N-CSRS

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, 2016 to June 30, 2016

Item 1. Reports to Shareholders.

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

Semi-Annual Report

June 30, 2016 (Unaudited)

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

Schedule of Investments
AQR Diversified Arbitrage Fund	2
AQR Equity Market Neutral Fund	23
AQR Global Macro Fund	52
AQR Long-Short Equity Fund	67
AQR Managed Futures Strategy Fund	96
AQR Managed Futures Strategy HV Fund	110
AQR Multi-Strategy Alternative Fund	124
AQR Risk-Balanced Commodities Strategy Fund	194
AQR Risk Parity Fund	200
AQR Risk Parity II HV Fund	211
AQR Risk Parity II MV Fund	217
AQR Style Premia Alternative Fund	223
AQR Style Premia Alternative LV Fund	253
Counterparty Abbreviations	283
Financial Statements and Notes	284
Fund Expense Examples	372

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

LONG INVESTMENTS - 131.4%	SHARES		VALUE (Note 5)
COMMON STOCKS - 27.3%
Communications - 0.0% (a)
FriendFinder Networks, Inc. (3)†(b)		6,483	$	183,262
Consumer Discretionary - 1.5%
Barnes & Noble Education, Inc. †		55,476		563,081
Carmike Cinemas, Inc. †(n)		20,530		618,364
China Networks International Holdings Ltd. (3)†(b)		2,287,278		43,893
DEMC Ltd., Class A (3)†(b)		13,027		130,268
DEMC Ltd., Class A-2 (3)†(b)		67,210,762		67,211
DEMC Ltd., Class B (3)†(b)		10,488		—
Diamond Resorts International, Inc. †		25,712		770,332
Education Management Corp. †*		25,040,049		638,521
Exide Technologies (3)†(b)		198,814		227,223
Ferrari NV (Italy) (c)		13,047		534,014
Interval Leisure Group, Inc.		767		12,195
MSG Networks, Inc., Class A †(c)		27,418		420,592
News Corp., Class A (c)		39,762		451,299
Starz, Class A †		12,546		375,376
Twenty-First Century Fox, Inc., Class A (c)		103,088		2,788,530
				7,640,899
Consumer Staples - 0.3%
Elizabeth Arden, Inc. †		53,082		730,408
Herbalife Ltd. †(c)		9,558		559,430
				1,289,838
Energy - 0.1%
Energy Fuels, Inc. (Canada) †		14,400		32,435
Songa Offshore (Cyprus) (3)†(b)		6,517,785		109,035
Technip SA (France) (2)		1,999		108,196
				249,666
Financials - 15.7%
1347 Capital Corp. †*		420,504		3,893,867
Arowana, Inc. (Australia) (2)†*		787,920		7,894,958
Bank of Cyprus PCL (Cyprus) (2)†		15,826,132		2,632,051
Care Capital Properties, Inc. REIT		19,569		512,904
CB Pharma Acquisition Corp. (2)†*		325,500		3,326,610
CF Corp. †		1,500,000		14,880,000
DT Asia Investments Ltd. (Hong Kong) †		209,241		1,956,403
Federal Home Loan Mortgage Corp. †(c)		98,324		181,900
Federal National Mortgage Association †(c)		34,608		69,216
FinTech Acquisition Corp. †*		693,805		6,854,793
Gibraltar Growth Corp., Class A (Canada) (2)†		1,273,900		9,525,039
Hydra Industries Acquisition Corp. (2)†*(c)		521,182		5,154,490
Jensyn Acquisition Corp. †		174,000		1,755,660
Kew Media Group, Inc. (Canada) (2)†		300,000		2,310,461
KLR Energy Acquisition Corp. †*		500,000		5,050,000
Landcadia Holdings, Inc. (2)†		500,000		5,015,000
NorthStar Asset Management Group, Inc.		32,370		330,498
NorthStar Realty Finance Corp. REIT		29,289		334,773
Pacific Special Acquisition Corp. (China) †*		373,500		3,768,615

	SHARES		VALUE (Note 5)
Financials - 15.7% (continued)
Parkway Properties, Inc. REIT		2,449	$	40,972
Pinecrest Resources Ltd. (Canada) (2)†		79,820		12,357
PJT Partners, Inc., Class A (c)		23,789		547,147
PNBK Holdings LLC, Class A (3)†(b)		2,090,900		1,261,649
PNBK Holdings LLC, Class B (3)†(b)		3,218		—
PrivateBancorp, Inc.		21,871		962,980
Rescap Liquidating Trust †(c)		125,811		1,132,299
Silver Run Acquisition Corp. (2)†		217,500		2,079,300
Suffolk Bancorp		21,440		671,286
TPT Acquisition, Inc. (3)†(b)		20,730		—
				82,155,228
Health Care - 0.6%
China Medical Technologies, Inc. ADR (China) (3)†(b)(c)		4,931		49
Envision Healthcare Holdings, Inc. †		13,271		336,685
HeartWare International, Inc. †		18,030		1,041,233
Quintiles Transnational Holdings, Inc. †		4,679		305,632
Quorum Health Corp. †(c)		127,200		1,362,312
Rotech Healthcare, Inc. (3)†(b)		16,828		160,435
				3,206,346
Industrials - 0.8%
American Science & Engineering, Inc.		7,544		282,221
Armstrong Flooring, Inc. †		39,727		673,373
IHS, Inc., Class A †		3,790		438,162
Jack Cooper Holdings Corp., Class B (3)†(b)		2,223		24,171
KUKA AG (Germany) (2)		6,543		776,073
Manitowoc Co., Inc. (The) (c)		147,009		801,199
Manitowoc Foodservice, Inc. †(c)		30,944		545,233
Pangaea Logistics Solutions Ltd. †		39,288		94,684
SPX Corp. †(c)		37,030		549,895
				4,185,011
Information Technology - 7.1%
Alibaba Group Holding Ltd. ADR (China) †		19,090		1,518,228
Aspire Holdings Ltd. (China) (3)†(b)		834,158		8
Citrix Systems, Inc. †		31,111		2,491,680
Demandware, Inc. †		11,411		854,684
Electro Rent Corp.		12,738		196,293
Fairchild Semiconductor International, Inc. †		77,972		1,547,744
FEI Co.		12,196		1,303,508
Hewlett Packard Enterprise Co. (c)		29,087		531,419
Higher One Holdings, Inc. †		104,713		535,083
LinkedIn Corp., Class A †		3,866		731,641
Marketo, Inc. †(c)		5,381		187,366
QLogic Corp. †		45,998		678,011
Telestone Technologies Corp. (China) (3)†(b)		115,818		12
Yahoo!, Inc. †(c)		702,029		26,368,209
				36,943,886
Materials - 0.8%
Axiall Corp.		9,679		315,632
Chemours Co. (The)		79,167		652,336
EI du Pont de Nemours & Co.		1,103		71,474

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

AQR Funds Semi-Annual Report June 2016

2

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 5)
Materials - 0.8% (continued)
GCP Applied Technologies, Inc. †(c)		25,528	$	664,749
Ingevity Corp. †(c)		25,045		852,532
Jaguar Mining, Inc. (3)†(b)		142,136		26,594
Jaguar Mining, Inc. (Canada) †(c)		25,812		9,990
Monsanto Co.		3,700		382,617
MPM Holdings, Inc. (2)†(c)		144,707		1,172,127
Southern Arc Minerals, Inc. (Canada) (2)†(c)		24,848		7,693
Valspar Corp. (The)		1,263		136,442
				4,292,186
Telecommunication Services - 0.3%
Cleveland Unlimited (3)†(b)		1		1,400,149
XO Holdings, Inc., Class O (3)†(b)		1,366,340		—
				1,400,149
Utilities - 0.1%
Empire District Electric Co. (The)		200		6,794
ITC Holdings Corp.		8,550		400,311
Talen Energy Corp. †		26,336		356,853
				763,958
TOTAL COMMON STOCKS (cost $149,816,298)				142,310,429
CONVERTIBLE PREFERRED STOCKS - 14.1%
Consumer Discretionary - 5.9%
Fiat Chrysler Automobiles NV, Series FCAU (Netherlands), $100.00 par, 7.875%, 12/15/16 (2)(c)		4,547,500		2,722,815
Sealy Corp., $25.00 par, 8.000%, 07/15/16 (3)†(b)(d)		299,536		28,450,624
				31,173,439

	SHARES		VALUE (Note 5)
Consumer Staples - 1.2%
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875%, 12/31/49 (c)(e)		67,625	$	6,255,989
Financials - 3.2%
Crown Castle International Corp., Series A, $100.00 par, 4.500%, 11/01/16 (2)(c)		14,850		1,794,771
Mandatory Exchangeable Trust 144A, $100.00 par, 5.750%, 06/01/19 (2)†(c)(f)		56,586		5,777,997
Welltower, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500%, 12/31/49 (c)(e)		137,075		9,293,685
				16,866,453
Health Care - 1.4%
Allergan plc, Series A, $1,000.00 par, 5.500%, 03/01/18 (c)		8,725		7,273,335
Industrials - 0.0% (a)
Timberjack Corp., $188,000.00 par, 8.000%, 12/31/16 (3)†(b)(g)		188,000		902
Telecommunication Services - 1.5%
T-Mobile US, Inc., $50.00 par, 5.500%, 12/15/17 (c)		103,375		7,607,366
Utilities - 0.9%
Dominion Resources, Inc., Series B, $49.00 par, 6.000% ,07/01/16 (c)		77,650		4,666,765
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $64,037,928)				73,844,249

CORPORATE BONDS - 3.4%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Consumer Discretionary - 1.2%
Brookstone Holdings Corp. (3)(b)(d)(g)		10.000%		07/07/21	$	62	$	7,795
Caesars Entertainment Operating Co., Inc. (2)(g)		10.750%		02/01/16		10,125		6,049,688
Exide Technologies (3)(b)(g)		8.625%		02/01/18		33,550		—
Quiksilver, Inc. / QS Wholesale, Inc. (3)(b)(g)		10.000%		08/01/20		6,325		411,125
RS Legacy Corp. (3)(b)(c)(g)		6.750%		05/15/19		6,230		62
								6,468,670
Consumer Staples - 0.4%
Elizabeth Arden, Inc. (2)(c)		7.375%		03/15/21		725		737,687
Rite Aid Corp. (2)		9.250%		03/15/20		1,175		1,239,837
								1,977,524
Energy - 0.8%
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(b)(g)		13.750%		12/01/15		2,833		28,334
Gold Point Energy Corp. (3)(b)(g)		4.500%		05/01/15		1,140		—
Memorial Resource Development Corp. (2)(c)		5.875%		07/01/22		825		822,938
NSA Bondco Ltd. (Norway) (3)(b)(d)		12.000%		08/31/20		4,480		1,792,034
Sabine Oil & Gas Corp. (2)(g)		7.250%		06/15/19		17,830		356,600
Sabine Oil & Gas Corp. (2)(g)		7.500%		09/15/20		10,750		215,000
Songa Offshore (Cyprus) (3)(b)(h)		0.000%		06/11/21		15,000		985,810

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

AQR Funds Semi-Annual Report June 2016

3

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Energy - 0.8% (continued)
ZaZa Energy Corp. (3)(b)(c)(g)		9.000%		08/01/17	$	3,550	$	11,360
								4,212,076
Financials - 0.2%
Washington Mutual Bank, Bank Note (2)(g)(i)		0.000%		05/01/09		5,000		1,050,000
Materials - 0.8%
Momentive Performance Materials USA, Inc. (3)(b)(g)		8.875%		10/15/20		13,550		—
Momentive Performance Materials, Inc. (2)(c)		3.880%		10/24/21		5,000		3,968,750
								3,968,750
TOTAL CORPORATE BONDS (cost $54,397,481)								17,677,020
CONVERTIBLE BONDS – 39.7%
Consumer Discretionary - 1.2%
Cenveo Corp. (2)(c)		7.000%		05/15/17		1,800		1,668,375
Exide Technologies (3)(b)(g)(i)		0.000%		09/18/13		650		1
JAKKS Pacific, Inc. 144A (2)(c)(f)		4.875%		06/01/20		4,425		4,330,969
Palm Harbor Homes, Inc. (3)(b)(g)		3.250%		05/15/24		70		1
								5,999,346
Consumer Staples - 2.5%
Herbalife Ltd. (2)(c)		2.000%		08/15/19		3,825		3,779,578
Vector Group Ltd. (2)(c)(i)		2.500%		01/15/19		6,650		9,640,738
								13,420,316
Energy - 5.0%
Aegean Marine Petroleum Network, Inc. (Greece) (2)(c)		4.000%		11/01/18		4,175		3,277,375
Alon USA Energy, Inc. (2)(c)		3.000%		09/15/18		1,950		1,694,062
Alpha Natural Resources, Inc. (2)(g)		4.875%		12/15/20		800		2,000
Amyris, Inc. 144A (2)(c)(f)		9.500%		04/15/19		7,678		3,627,855
Cal Dive International, Inc. (3)(b)(c)(g)		5.000%		07/15/17		2,275		23
Cheniere Energy, Inc. (2)(c)		4.250%		03/15/45		9,925		5,607,625
Emerald Oil, Inc. 144A (3)(b)(c)(f)(g)		2.000%		04/01/19		1,600		8,000
James River Coal Co. (3)(b)(g)		10.000%		06/01/18		310		—
SEACOR Holdings, Inc. (2)(c)		2.500%		12/15/27		1,150		1,124,125
Ship Finance International Ltd. (Norway) (2)(c)		3.250%		02/01/18		7,425		7,828,734
Whiting Petroleum Corp., Series 1 (2)		1.250%		06/05/20		3,350		2,989,875
								26,159,674
Financials - 3.6%
Element Financial Corp. 144A (Canada) (2)(c)(f)		5.125%		06/30/19		4,850		4,023,028
Lexington Realty Trust 144A (2)(c)(f)		6.000%		01/15/30		7,550		11,287,250
MBF Healthcare Acquisition Corp. (3)(b)(g)		3.375%		08/01/18		1,609		337,890
Spirit Realty Capital, Inc. (2)(c)		2.875%		05/15/19		3,000		3,236,250
								18,884,418
Health Care - 3.2%
Allscripts Healthcare Solutions, Inc. (2)(c)		1.250%		07/01/20		3,500		3,500,000
Anthem, Inc. (2)(c)		2.750%		10/15/42		1,279		2,328,579
China Medical Technologies, Inc. 144A (China) (3)(b)(f)(g)		6.250%		12/15/16		2,625		6,562
China Medical Technologies, Inc., Series CMT (China) (2)(g)		4.000%		08/15/13		250		250
Exelixis, Inc. (2)(c)		4.250%		08/15/19		2,575		3,815,828
Medicines Co. (The) (2)(c)		2.500%		01/15/22		2,325		2,739,141
Sequenom, Inc. (2)(c)		5.000%		01/01/18		7,325		4,248,500
								16,638,860

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

AQR Funds Semi-Annual Report June 2016

4

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Industrials - 2.2%
Meritor, Inc. (2)(c)		7.875%		03/01/26	$	3,521	$	3,952,322
Titan International, Inc. 144A (2)(c)(f)		5.625%		01/15/17		7,575		7,442,438
								11,394,760
Information Technology - 20.2%
CSG Systems International, Inc. 144A (2)(c)(f)		4.250%		03/15/36		1,475		1,552,438
Euronet Worldwide, Inc. (2)(c)		1.500%		10/01/44		2,944		3,376,400
GT Advanced Technologies, Inc. (3)(b)(g)		3.000%		10/01/17		2,650		—
Intel Corp. (2)(c)		3.250%		08/01/39		14,450		23,490,281
LinkedIn Corp. (2)(c)		0.500%		11/01/19		750		740,156
Microchip Technology, Inc. (2)(c)		2.125%		12/15/37		2,215		4,661,191
Nortel Networks Corp. (Canada) (2)(g)		1.750%		04/15/12		3,000		2,598,750
Novellus Systems, Inc. (2)(c)		2.625%		05/15/41		5,000		12,425,000
NVIDIA Corp. (2)(c)		1.000%		12/01/18		13,000		30,290,000
Pandora Media, Inc. 144A (2)(c)(f)		1.750%		12/01/20		7,625		7,601,172
Powerwave Technologies, Inc. (3)(b)(g)		3.875%		10/01/27		4,104		—
Powerwave Technologies, Inc. 144A (3)(b)(f)(g)		2.750%		07/15/41		3,900		4,875
Quantum Corp. (2)(c)		4.500%		11/15/17		1,650		1,209,656
SunEdison, Inc. (2)(c)(g)		2.000%		10/01/18		16,350		817,500
SunEdison, Inc. (2)(c)(g)		2.750%		01/01/21		4,400		220,000
SunEdison, Inc. 144A (2)(c)(f)(g)		0.250%		01/15/20		575		28,750
SunPower Corp. 144A (2)(c)(f)		4.000%		01/15/23		3,800		3,344,000
TiVo, Inc. (2)(c)		2.000%		10/01/21		2,075		2,025,719
VeriSign, Inc. (2)(c)		4.345%		08/15/37		1,510		3,800,481
Vishay Intertechnology, Inc. (2)(c)		2.250%		11/15/40		7,702		7,692,373
								105,878,742
Materials - 0.8%
A.M. Castle & Co. 144A (3)(b)(c)(f)		5.250%		12/30/19		647		557,432
Cemex SAB de CV (Mexico) (2)(c)		3.750%		03/15/18		3,375		3,463,594
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
								4,021,041
Utilities - 1.0%
NRG Yield, Inc. 144A (2)(c)(f)		3.500%		02/01/19		5,250		5,095,781
TOTAL CONVERTIBLE BONDS (cost $255,989,953)								207,492,938

CLOSED END FUNDS - 6.6%	SHARES		VALUE (Note 5)
Adams Diversified Equity Fund, Inc.		15,678	$	198,640
Advent Claymore Convertible Securities and Income Fund		13,768		192,064
Advent Claymore Convertible Securities and Income Fund II		123,881		683,823
AllianzGI NFJ Dividend Interest & Premium Strategy Fund		55		678
Alpine Global Dynamic Dividend Fund		63,117		533,970
Alpine Global Premier Properties Fund		347,417		1,907,319
Alpine Total Dynamic Dividend Fund		75,747		549,923
Apollo Senior Floating Rate Fund, Inc.		5,011		79,174
Apollo Tactical Income Fund, Inc.		4,682		67,561
Ares Dynamic Credit Allocation Fund, Inc.		64,166		882,282
Avenue Income Credit Strategies Fund		34,972		418,965
BlackRock Core Bond Trust		64,340		898,830

CLOSED END FUNDS - 6.6% (continued)	SHARES		VALUE (Note 5)
BlackRock Floating Rate Income Strategies Fund, Inc.		6,130	$	80,610
BlackRock MuniYield Michigan Quality Fund, Inc.		838		12,981
BlackRock Resources & Commodities Strategy Trust		336,482		2,590,911
Blackstone/GSO Long-Short Credit Income Fund		24,494		353,938
Brookfield Global Listed Infrastructure Income Fund, Inc.		43,295		569,762
Brookfield High Income Fund, Inc.		10,081		72,684
Calamos Global Dynamic Income Fund		27,781		195,023
CBRE Clarion Global Real Estate Income Fund		266,007		2,189,238
Central Securities Corp.		44,449		872,978
Clough Global Allocation Fund		4,877		57,061

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

AQR Funds Semi-Annual Report June 2016

5

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 6.6% (continued)	SHARES		VALUE (Note 5)
Clough Global Equity Fund		13,659	$	146,288
Clough Global Opportunities Fund		32,502		303,244
Cohen & Steers Quality Income Realty Fund, Inc.		115,147		1,579,817
Cohen & Steers REIT and Preferred Income Fund, Inc.		58,201		1,195,449
Delaware Enhanced Global Dividend & Income Fund		48,853		470,454
Dividend and Income Fund		6,021		65,689
Eaton Vance Senior Income Trust		67,259		404,227
Eaton Vance Short Duration Diversified Income Fund		22,789		307,652
Eaton Vance Tax-Advantaged Bond and Options Strategies Fund, Class B		997		12,173
First Trust Aberdeen Global Opportunity Income Fund		50,398		576,553
First Trust High Income Long/Short Fund (c)		99,003		1,468,214
First Trust Strategic High Income Fund II (c)		13,642		163,158
Franklin Limited Duration Income Trust		19,985		231,826
Gabelli Dividend & Income Trust (The)		359		6,868
Gabelli Healthcare & WellnessRx Trust (The)		33,823		361,230
Gabelli Multimedia Trust, Inc. (c)		700		4,935
General American Investors Co., Inc. (c)		30,591		942,815
Invesco Dynamic Credit Opportunities Fund (c)		62,919		693,367
Invesco High Income Trust II (c)		6,967		95,866
KKR Income Opportunities Fund (c)		1,991		29,984
Lazard Global Total Return and Income Fund, Inc. (c)		10,830		141,656
Liberty All Star Equity Fund		410,252		2,059,465
Liberty All Star Growth Fund, Inc. (c)		1,233		5,055
LMP Capital and Income Fund, Inc. (c)		32,654		428,747
Macquarie Global Infrastructure Total Return Fund, Inc. (c)		25,335		542,169
Morgan Stanley Income Securities, Inc. (c)		3,023		55,472

CLOSED END FUNDS - 6.6% (continued)	SHARES		VALUE (Note 5)
Neuberger Berman High Yield Strategies Fund, Inc. (c)		26,927	$	294,851
Nuveen Credit Strategies Income Fund (c)		193,637		1,564,587
Nuveen Diversified Dividend & Income Fund (c)		31,873		372,914
Nuveen Maryland Premium Income Municipal Fund (c)		26,260		373,155
Nuveen New Jersey Dividend Advantage Municipal Fund (c)		26,239		403,556
Nuveen North Carolina Premium Income Municipal Fund (c)		5,390		79,718
Nuveen Real Asset Income and Growth Fund (c)		500		8,450
Nuveen Short Duration Credit Opportunities Fund (c)		8,604		135,255
Putnam High Income Securities Fund		21,824		167,390
RMR Real Estate Income Fund (c)		39,230		834,030
Royce Micro-Cap Trust, Inc.		23,871		175,213
Royce Value Trust, Inc.		65,040		765,521
Sprott Focus Trust, Inc.		45,831		294,235
Stone Harbor Emerging Markets Total Income Fund (c)		103		1,360
Swiss Helvetia Fund, Inc. (The) (c)		29,687		307,260
Templeton Global Income Fund (c)		79,197		503,693
Tri-Continental Corp. (c)		30,199		620,287
Voya Infrastructure Industrials and Materials Fund (c)		7,996		98,831
Wells Fargo Global Dividend Opportunity Fund (c)		30,882		184,366
Wells Fargo Multi-Sector Income Fund (c)		48,125		608,781
Western Asset Global High Income Fund, Inc. (c)		26,896		261,160
Western Asset Global Partners Income Fund, Inc. (c)		38,311		328,325
Western Asset Worldwide Income Fund, Inc.		48,390		531,806
TOTAL CLOSED END FUNDS (cost $36,603,027)				34,615,532

LOAN PARTICIPATIONS - 0.5%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Energy - 0.4%
Black Elk Energy Offshore Investigation (3)(b)(i)		7.500%		03/22/17	$	198	$	76,591
Black Elk Energy Offshore Operations (3)(b)(i)		7.500%		09/22/16		1,384		692,198
Black Elk Roll Up Investigation DIP (3)(b)(i)		7.500%		03/22/17		198		76,591
Black Elk Roll Up Operations DIP (3)(b)(i)		7.500%		09/22/16		2,769		1,384,397
								2,229,777
Financials - 0.1%
J.G. Wentworth LLC (2)(i)		7.000%		01/22/18		1,539		523,318
TOTAL LOAN PARTICIPATIONS (cost $3,736,509)								2,753,095

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

AQR Funds Semi-Annual Report June 2016

6

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

PREFERRED STOCKS - 0.5%	SHARES		VALUE (Note 5)
Financials - 0.5%
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series V †(e)		119,409	$	394,050
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series W (2)†(e)		34,360		113,732
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series X †(e)		50,343		171,670
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series Z †(e)(i)		97,345		433,185
Federal National Mortgage Association, Perpetual Preferred Stock, Series S †(c)(e)(i)		97,345		435,132
First Banks, Inc., Series C (3)†(b)		2,458		841,787
TOTAL PREFERRED STOCKS (cost $4,604,625)				2,389,556
RIGHTS - 0.3%
Financials - 0.2%
1347 Capital Corp. †*		420,504		109,331
Arowana, Inc. (Australia) (2)†*		720,000		92,880
Barington/Hilco Acquisition Corp. (2)†		487,260		58,471
DT Asia Investments Ltd. (Hong Kong) †		209,241		77,419
Garnero Group Acquisition Co. (Brazil) †		2,430,200		206,567
Hydra Industries Acquisition Corp. (2)†*		1,720,000		266,256
Pacific Special Acquisition Corp. (China) †*		373,500		78,435
				889,359
Health Care - 0.1%
Ambit Biosciences Corp. (3)†(b)		146,272		133,031
Chelsea Therapeutics, Inc. (3)†(b)		4,668,137		193,168
Community Health Systems, Inc. †		7,762,436		34,931
Durata Therapeutics, Inc. (3)†(b)		261,441		213,142
EFG International Finance Guernsey Ltd., (3)†(b)		283,523		2,835
Furiex Pharmaceuticals, Inc. (3)†(b)		335,833		—
Prosensa Holding NV (Netherlands) (3)†(b)		197,426		35,707
				612,814
Information Technology - 0.0% (a)
Gerber Scientific, Inc. (3)†(b)		879,944		—
TOTAL RIGHTS (cost $284,220)				1,502,173
WARRANTS - 2.7%
Consumer Discretionary - 0.2%
Del Taco Restaurants, Inc. †		510,295		989,973
Education Management Corp. (3)†*(b)		16,528,497		3,636
Global Eagle Entertainment, Inc. (2)†		367,857		434,071
KBS Fashion Group Ltd. (China) (3)†(b)		763,024		763
				1,428,443
Energy - 0.0% (a)
Glori Energy, Inc. (3)†(b)		287,100		3,158
Financials - 1.8%
1347 Capital Corp. †*		420,504		126,151
Acasta Enterprises, Inc. (Canada) (2)†		579,085		112,056

	SHARES		VALUE (Note 5)
Financials - 1.8% (continued)
Alignvest Acquisition Corp. (Canada) (2)†		445,000	$	103,332
AR Capital Acquisition Corp. (2)†		697,500		48,825
Arowana, Inc. (Australia) (2)†*		720,000		48,960
Associated Banc-Corp. (2)†(c)		20,065		24,078
Barington/Hilco Acquisition Corp. (2)†		487,260		24,363
Boston Private Financial Holdings, Inc. (2)†		97,674		479,579
Boulevard Acquisition Corp. II (2)†		1,698,740		475,647
Capitol Acquisition Corp. III †		1,575,000		551,250
CB Pharma Acquisition Corp. †*		325,500		22,785
Comerica, Inc. †		9,708		32,619
Double Eagle Acquisition Corp. (2)†		2,047,500		368,550
DT Asia Investments Ltd. (Hong Kong) †		209,241		23,017
Dundee Acquisition Ltd. (Canada) (2)†		630,000		97,527
Easterly Acquisition Corp. †		823,250		518,648
Electrum Special Acquisition Corp. (2)†		990,000		227,700
FinTech Acquisition Corp. †*		810,000		648,000
Garnero Group Acquisition Co. (Brazil) †		2,430,200		97,451
Gibraltar Growth Corp. (Canada) (2)†		1,274,000		147,916
Global Partner Acquisition Corp. †		1,068,000		224,173
Gores Holdings, Inc. †		3,115,000		778,750
GP Investments Acquisition Corp. (2)†		1,237,500		618,750
Harmony Merger Corp. (2)†		1,475,100		295,020
Hennessy Capital Acquisition Corp. II †		1,028,837		647,653
Hydra Industries Acquisition Corp. (2)†*		1,720,000		309,600
Neostem (3)†(b)		243,000		2
Nexeo Solutions, Inc. †		1,947,000		1,343,430
Pace Holdings Corp. (2)†		455,000		85,313
Pacific Special Acquisition Corp. (China) †*(c)		373,500		37,350
Quinpario Acquisition Corp. 2 (2)†		2,880,708		461,201
ROI Acquisition Corp. II (3)†(b)		882,000		—
Silver Run Acquisition Corp. †		72,500		82,650
Terrapin 3 Acquisition Corp. †		1,428,000		228,480
Valley National Bancorp (2)†		49,509		3,466
				9,294,292
Health Care - 0.0% (a)
Mast Therapeutics, Inc. (3)†(b)		103,750		255
Pluristem Therapeutics, Inc. (Israel) (3)†(b)		63,750		2,550
Venaxis, Inc. (3)†(b)		24,000		24
				2,829
Industrials - 0.3%
Ability, Inc. (Israel) †		1,449,557		181,195
Blue Bird Corp. †		756,000		831,600
Jason Industries, Inc. †(c)		1,933,070		463,937
Pingtan Marine Enterprise Ltd. (China) (3)†(b)		395,000		3,950
Tempus Applied Solutions Holdings, Inc. (2)†		614,551		6,145
				1,486,827
Information Technology - 0.0% (a)
exceet Group SE (Germany) (3)†(b)		72,000		80
GT Advanced Technologies, Inc. (3)†(b)		2,101		—
Net Element, Inc. (Bulgaria) (3)†(b)		319,668		64
RMG Networks Holding Corp. †(c)		631,210		694
				838

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

AQR Funds Semi-Annual Report June 2016

7

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 5)
Materials - 0.4%
AgroFresh Solutions, Inc. †		504,000	$	478,296
Delta Technology Holdings Ltd. (China) †		818,832		139,201
Tecnoglass, Inc. †		330,838		1,432,529
				2,050,026
Utilities - 0.0% (a)
Electrawinds SE (Germany) (3)†(b)		621,000		1,379
TOTAL WARRANTS (cost $1,910,911)				14,267,792
SECURITIES IN LITIGATION - 0.0% (a)		NUMBER OF UNITS
Information Technology - 0.0% (a)
Timegate (3)†(b)(g)		5,091,250		99,820
TOTAL SECURITIES IN LITIGATION (cost $3,586,539)				99,820
SHORT-TERM INVESTMENTS - 36.3%		SHARES
Investment Companies - 26.7%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (2)(j)		3,489,174		3,489,174
Dreyfus Treasury Cash Management, Class I, 0.240% (2)(j)		13,956,696		13,956,696
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% (2)(j)(k)		82,556,783		82,556,783
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% (2)(j)(k)		21,984,451		21,984,451
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (2)(j)		17,445,870		17,445,870
Total Investment Companies (cost $139,432,974)				139,432,974
		PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 9.6%
U.S. Treasury Bill,0.498%, 07/07/2016 (2)(l)	$	26,334		26,333,737
U.S. Treasury Bill,0.370%, 07/21/2016 (2)(l)		9,084		9,083,073
U.S. Treasury Bill,0.479%, 09/01/2016 (2)(c)(l)		8,936		8,932,426
U.S. Treasury Bill,0.371%, 11/17/2016 (2)(c)(l)		4,018		4,014,058
U.S. Treasury Bill,0.480%, 11/25/2016 (2)(c)(l)		1,704		1,702,201
Total U.S. Treasury Obligations (cost $50,055,533)				50,065,495
TOTAL SHORT-TERM INVESTMENTS (cost $189,488,507)				189,498,469
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $764,455,998)				686,451,073

SECURITIES SOLD SHORT- (37.9)%	SHARES			VALUE (Note 5)
COMMON STOCKS - (36.9)%
Consumer Discretionary - (2.2)%
Comcast Corp., Class A		(37	)	$	(2,412	)
Del Taco Restaurants, Inc. †		(257,488	)		(2,343,141	)
Fiat Chrysler Automobiles NV (United Kingdom)		(310,877	)		(1,902,567	)
Global Eagle Entertainment, Inc. †		(191,346	)		(1,270,537	)
JAKKS Pacific, Inc. †		(321,401	)		(2,542,282	)
KBS Fashion Group Ltd. (China) †		(1,236	)		(446	)
Lions Gate Entertainment Corp., Class R		(8,511	)		(172,178	)
News Corp., Class B		(39,972	)		(466,473	)
Twenty-First Century Fox, Inc., Class B		(103,130	)		(2,810,293	)
					(11,510,329	)
Consumer Staples - (1.8)%
Bunge Ltd.		(44,008	)		(2,603,073	)
Vector Group Ltd.		(312,089	)		(6,997,036	)
					(9,600,109	)
Energy - (1.4)%
Aegean Marine Petroleum Network, Inc. (Greece)		(82,143	)		(451,786	)
Alon USA Energy, Inc.		(35,759	)		(231,718	)
Amyris, Inc. †		(131,009	)		(59,020	)
Cheniere Energy, Inc. †		(39,089	)		(1,467,792	)
FMC Technologies, Inc. †		(3,997	)		(106,600	)
SEACOR Holdings, Inc. †		(4,003	)		(231,974	)
Ship Finance International Ltd. (Norway)		(282,140	)		(4,158,744	)
Whiting Petroleum Corp. †		(78,008	)		(722,354	)
					(7,429,988	)
Financials - (4.9)%
Associated Banc-Corp.		(7,710	)		(132,226	)
Boston Private Financial Holdings, Inc.		(87,915	)		(1,035,639	)
Canadian Imperial Bank of Commerce (Canada)		(7,994	)		(600,439	)
Colony Capital, Inc., Class A REIT		(44,159	)		(677,841	)
Comerica, Inc.		(1,769	)		(72,759	)
Cousins Properties, Inc. REIT		(3,992	)		(41,517	)
Crown Castle International Corp. REIT		(16,014	)		(1,624,300	)
Element Financial Corp. (Canada)		(118,649	)		(1,258,169	)
Gaming and Leisure Properties, Inc. REIT		(1	)		(34	)
Lexington Realty Trust REIT		(1,170,143	)		(11,830,146	)
Markit Ltd. (United Kingdom) †		(13,485	)		(439,611	)
Penson Worldwide, Inc. (3)†(b)		(217,523	)		—
People’s United Financial, Inc.		(47,704	)		(699,340	)
Spirit Realty Capital, Inc. REIT		(104,236	)		(1,331,094	)
Valley National Bancorp		(2,808	)		(25,609	)
Welltower, Inc. REIT		(74,569	)		(5,679,921	)
Willis Towers Watson plc (United Kingdom)		(1	)		(116	)
					(25,448,761	)
Health Care - (2.8)%
Allergan plc †		(24,236	)		(5,600,697	)
Allscripts Healthcare Solutions, Inc. †		(109,973	)		(1,396,657	)
Amsurg Corp. †		(4,432	)		(343,657	)
Anthem, Inc.		(15,178	)		(1,993,479	)
China Medical Technologies, Inc. ADR (China) (3)†(b)		(45,264	)		(453	)
Exelixis, Inc. †		(416,847	)		(3,255,575	)
Medicines Co. (The) †		(54,188	)		(1,822,343	)

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

AQR Funds Semi-Annual Report June 2016

8

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES			VALUE (Note 5)
Health Care - (2.8)% (continued)
Pluristem Therapeutics, Inc. (Israel) †		(4,980	)	$	(6,623	)
Sequenom, Inc. †		(102,874	)		(93,996	)
					(14,513,480	)
Industrials - (0.4)%
Blue Bird Corp. †		(14,072	)		(167,457	)
Cenveo, Inc. †		(8,695	)		(7,094	)
Jason Industries, Inc. †		(8,221	)		(29,678	)
Meritor, Inc. †		(187,787	)		(1,352,066	)
Titan International, Inc.		(125,540	)		(778,348	)
					(2,334,643	)
Information Technology - (20.6)%
Alibaba Group Holding Ltd. ADR (China) †		(328,238	)		(26,104,768	)
Brocade Communications Systems, Inc.		(1	)		(9	)
Cavium, Inc. †		(4,510	)		(174,086	)
CSG Systems International, Inc.		(13,395	)		(539,952	)
Euronet Worldwide, Inc. †		(26,102	)		(1,805,997	)
IMS Health Holdings, Inc. †		(12,177	)		(308,809	)
Intel Corp.		(538,887	)		(17,675,494	)
Lam Research Corp.		(139,250	)		(11,705,355	)
Microchip Technology, Inc.		(88,125	)		(4,473,225	)
NVIDIA Corp.		(621,277	)		(29,206,232	)
Pandora Media, Inc. †		(332,046	)		(4,133,973	)
Quantum Corp. †		(155,282	)		(65,218	)

	SHARES			VALUE (Note 5)
Information Technology - (20.6)% (continued)
SunPower Corp. †		(84,152	)	$	(1,303,515	)
VeriSign, Inc. †		(43,936	)		(3,798,707	)
Vishay Intertechnology, Inc.		(505,634	)		(6,264,805	)
					(107,560,145	)
Materials - (0.3)%
A.M. Castle & Co. †		(20,687	)		(33,927	)
AgroFresh Solutions, Inc. †		(52,759	)		(280,150	)
Cemex SAB de CV ADR (Mexico) †		(162,734	)		(1,004,071	)
Dow Chemical Co. (The)		(1,413	)		(70,240	)
					(1,388,388	)
Telecommunication Services - (1.3)%
T-Mobile US, Inc. †		(155,959	)		(6,748,346	)
Utilities - (1.2)%
Dominion Resources, Inc.		(60,268	)		(4,696,685	)
Fortis, Inc. (Canada)		(6,420	)		(217,006	)
NRG Yield, Inc., Class A		(82,331	)		(1,253,078	)
					(6,166,769	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $201,676,395)					(192,700,958	)

CONVERTIBLE BONDS - (1.0)%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
Information Technology - (1.0)%
Citrix Systems, Inc. (2) (proceeds $5,319,035)		0.500%		04/15/19	$	(5,000	)	$	(5,562,500	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $206,995,430)									(198,263,458	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 93.5% (cost $557,460,568)									488,187,615
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.5% (m)								34,197,781
NET ASSETS - 100.0%								$	522,385,396

† 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 June 30, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $40,001,479 or 7.7% of total net assets.

(c) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $317,064,022. In addition, $57,392,936 of cash collateral was pledged.

(d) Represents a Pay-in-Kind security. 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) Represents a step bond. The rate shown reflects the rate as of close of the reporting period.

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

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

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

AQR Funds Semi-Annual Report June 2016

9

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

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

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

(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.

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

DIP - Debtor-in-Possession

REIT - Real Estate Investment Trust

Credit default swap contracts buy protection as of June 30, 2016:

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
CITG	Markit CDX North America High Yield Index Series 26		5.000%	USD		4.288%		36,250,000		$(573,891	)		06/20/2021		$(577,959	)
CITG	Markit CDX North America Investment Grade Index Series 26		1.000%	USD		0.789%		225,000		(2,175	)		06/20/2021		(159	)
										$(576,066	)				$(578,118	)

Open written options contracts outstanding at June 30, 2016:

Exchange Traded

Call options written

NUMBER OF CONTRACTS	ISSUER	COUNTERPARTY	EXPIRATION DATE		PROCEEDS			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
40	Anacor Pharmaceuticals, Inc. (Exercise price $100) (2)	JPMS		08/19/2016		$(5,387	)		$(200	)		$5,187
41	Carmike Cinemas, Inc. (Exercise price $30)	JPMS		09/16/2016		(5,492	)		(5,330	)		162
						$(10,879	)		$(5,530	)		$5,349

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

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

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

AQR Funds Semi-Annual Report June 2016

10

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS		COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
	Short Contracts:
	87	BARC	Euro Stoxx 50 Index Futures		09/2016		$(2,717,620	)		$(2,756,452	)		$(38,832	)
	356	BARC	S&P 500 E-Mini Futures		09/2016		(37,116,550	)		(37,205,560	)		(89,010	)
	75	BARC	U.S. Treasury 10-Year Note Futures		09/2016		(9,722,149	)		(9,973,828	)		(251,679	)
	268	JPMS	U.S. Treasury 2-Year Note Futures		09/2016		(58,383,238	)		(58,779,938	)		(396,700	)
	72	JPMS	U.S. Treasury 5-Year Note Futures		09/2016		(8,656,385	)		(8,795,813	)		(139,428	)
							$(116,595,942	)		$(117,511,591	)		$(915,649	)

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		1,274,471			$1,000,201			$986,626			$(13,575	)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		1,797,029			1,408,554			1,391,162			(17,392	)
Euro, Expiring 09/21/16	CITI	EUR		646,514			730,770			719,569			(11,201	)
Euro, Expiring 04/05/17	CITI	EUR		21,000			23,362			23,556			194
Euro, Expiring 09/21/16	JPMC	EUR		516,456			582,851			574,814			(8,037	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		6,044,333			741,902			716,902			(25,000	)
Swedish Krona, Expiring 09/21/16	JPMC	SEK		9,066,499			1,112,840			1,075,352			(37,488	)
							$5,600,480			$5,487,981			$(112,499	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(10,918,720	)		$(8,427,120	)		$(8,452,676	)		$(25,556	)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		(11,878,077	)		(9,115,049	)		(9,195,359	)		(80,310	)
Euro, Expiring 09/21/16	CITI	EUR		(2,048,292	)		(2,299,180	)		(2,279,744	)		19,436
Euro, Expiring 04/05/17	CITI	EUR		(21,000	)		(28,010	)		(23,556	)		4,454
Euro, Expiring 09/21/16	JPMC	EUR		(2,786,431	)		(3,125,150	)		(3,101,289	)		23,861

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

AQR Funds Semi-Annual Report June 2016

11

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Swedish Krona, Expiring 09/21/16	CITI	SEK		(6,044,333	)		$ (730,279	)		$ (716,902	)		$ 13,377
Swedish Krona, Expiring 09/21/16	JPMC	SEK		(9,066,499	)		(1,095,418	)		(1,075,353	)		20,065
							(24,820,206	)		(24,844,879	)		(24,673	)
							$(19,219,726	)		$(19,356,898	)		$(137,172	)

CAD - Canadian Dollar

EUR - Euro

SEK - Swedish Krona

USD - United States Dollar

Total Return Basket Swaps* Outstanding at June 30, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	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		$92,829

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

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
United States
Herbalife Ltd.		(33,720	)	$	(2,066,362	)	$	92,730
Net Cash and Other Receivables/ (Payables) (b)								99
Swaps, at Value							$	92,829

(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 Semi-Annual Report June 2016

12

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$(567,558	)

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Corporate Bonds
United Kingdom
Virgin Media Finance plc		6,400,000	$	6,047,061	$	(569,633	)
Net Cash and Other Receivables/ (Payables) (b)						2,075
Swaps, at Value					$	(567,558	)

(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)
DTBK	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		$654,893

** 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 short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Japan
Yahoo Japan Corp.		(1,529,550	)	$	(7,394,036	)	$	611,459
Net Cash and Other Receivables/ (Payables) (b)								43,434
Swaps, at Value							$	654,893

(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 Semi-Annual Report June 2016

13

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$45,882

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Italy
Telecom Italia SpA		471,432		$	480,785		$	(177,475	)
Short Positions
Common Stocks
Italy
Telecom Italia SpA		(471,432	)		(597,961	)		210,769
Total of Long and Short Equity Positions								33,294
Net Cash and Other Receivables/ (Payables) (b)								12,588
Swaps, at Value							$	45,882

(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 Semi-Annual Report June 2016

14

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$432,482

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Ireland
Shire plc		183	$	23,481	$	10,206
Singapore
InterOil Corp.		3,867		167,707		6,308
Taiwan
Inotera Memories, Inc.		782,676		672,042		(59,097	)
United States
AGL Resources, Inc.		30,171		1,967,449		22,932
Alere, Inc.		133,652		6,673,734		(1,103,118	)
American Capital Ltd.		50,451		806,711		(8,072	)
Apollo Education Group, Inc.		161,342		1,334,615		136,824
Apollo Residential Mortgage, Inc.		36,371		489,190		(1,819	)
Astoria Financial Corp.		61,331		932,660		7,545
Axiall Corp.		19,361		449,562		181,800
Carmike Cinemas, Inc.		930		27,810		202
Cash America International, Inc.		8,668		339,872		29,558
Celator Pharmaceuticals		38,203		1,151,723		1,244
Charter Communications, Inc.		160		32,393		4,189
Cigna Corp.		37,757		5,248,390		(415,872	)
Columbia Pipeline Group, Inc.		132,149		3,357,974		10,504
Cvent, Inc.		49,417		1,752,914		12,261
Demandware, Inc.		14,862		1,111,975		1,189
DreamWorks Animation SKG, Inc.		45,772		1,835,073		35,629
EI du Pont de Nemours & Co.		48,836		3,207,548		(42,976	)
Electro Rent Corp.		38,674		505,469		90,497
EMC Corp.		87,648		2,337,725		43,671
Empire District Electric Co. (The)		53,476		1,788,533		28,047
Envision Healthcare Holdings, Inc.		12,076		304,807		1,561

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ExamWorks Group, Inc.		21,515	$	748,535	$	1,263
FEI Co.		6,363		681,605		(1,527	)
Fidelity & Guaranty Life		94,022		2,395,681		(216,251	)
First Niagara Financial Group, Inc.		260,751		2,753,304		(213,590	)
FirstMerit Corp.		117,491		2,451,292		(69,749	)
FormFactor, Inc.		1,454		10,098		2,974
Hatteras Financial Corp.		125,908		2,020,597		44,295
Hawaiian Electric Industries, Inc.		85,372		2,530,426		268,922
Humana, Inc.		24,144		4,441,600		(98,577	)
inContact, Inc.		58,523		811,129		(585	)
Ingram Micro, Inc.		24,979		899,744		(30,974	)
Interval Leisure Group, Inc.		70		919		194
ITC Holdings Corp.		73,133		3,246,140		177,947
KLA-Tencor Corp.		62,470		4,304,297		271,631
Krispy Kreme Doughnuts, Inc.		21,102		443,971		(1,673	)
LDR Holding Corp.		13,925		514,180		348
Lexmark International, Inc.		55,013		2,089,620		(12,879	)
LinkedIn Corp.		1,853		351,606		(926	)
Marketo, Inc.		25,246		885,765		(6,699	)
Media General, Inc.		33,836		520,878		60,763
Medivation, Inc.		6,847		411,299		1,575
Memorial Resource Development Corp.		87,676		1,438,663		(46,368	)
Monsanto Co.		3,721		395,494		(10,706	)
National Interstate Corp.		13,318		398,727		4,142
Parkway Properties, Inc.		21,233		378,584		(23,356	)
Piedmont Natural Gas Co., Inc.		28,466		1,686,508		24,868
Pinnacle Entertainment, Inc.		100		—		1,108
Qlik Technologies, Inc.		43,099		1,297,263		(22,395	)
Questar Corp.		116,357		2,889,521		62,456
Quintiles Transnational Holdings, Inc.		12,278		785,763		16,236
Rite Aid Corp.		552,989		4,383,684		(241,796	)

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

AQR Funds Semi-Annual Report June 2016

15

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Rofin-Sinar Technologies, Inc.		49,524		$	1,590,914		$	(9,118	)
Rouse Properties, Inc.		33,658			615,941			(1,683	)
SciQuest, Inc.		23,014			405,737			690
St. Jude Medical, Inc.		32,347			2,510,503			12,563
Starwood Hotels & Resorts Worldwide, Inc.		47,400			3,417,327			87,903
Suffolk Bancorp		9,475			290,909			5,753
Talen Energy Corp.		19,678			270,179			(3,542	)
Talmer Bancorp, Inc.		84,681			1,524,374			98,961
TECO Energy, Inc.		86,731			2,379,334			17,910
TiVo, Inc.		64,463			634,961			3,223
tronc, Inc.		20,974			282,310			7,131
Tumi Holdings, Inc.		31,974			860,420			(5,436	)
Tyco International plc		89,805			3,422,930			402,763
Valspar Corp. (The)		21,432			2,287,597			27,702
Virgin America, Inc.		21,518			1,194,673			14,854
Westar Energy, Inc.		36,800			2,054,457			9,655
Wilshire Bancorp, Inc.		14,924			158,982			(3,474	)
XenoPort, Inc.		48,870			343,021			1,023
Xura, Inc.		25,310			628,052			(9,728	)
								(366,383	)
Total of Long Equity Positions								(408,966	)
Rights
Netherlands
Prosensa Holding NV (3)		7,998			—			1,446
United States
Durata Therapeutics, Inc. (3)		89,246			87,949			(15,190	)
Dyax Corp. (3)		50,988			19,885			43,003
Safeway, Inc. PDR (3)		351,185			—			17,486
Safeway, Inc. Casa Ley CVR (3)		351,185			—			56,709
								102,008
Total Rights								103,454
Total of Long Equity Positions and Rights								(305,512	)
Short Positions
Common Stocks
Canada
Waste Connections, Inc.		(818	)		(53,132	)		(5,805	)
United States
Abbott Laboratories		(29,259	)		(1,130,341	)		(19,831	)
Aetna, Inc.		(20,785	)		(2,244,624	)		(293,848	)
Amsurg Corp.		(4,025	)		(309,631	)		(2,468	)
Annaly Capital Management, Inc.		(127,136	)		(1,345,750	)		(61,645	)
Anthem, Inc.		(19,162	)		(2,703,428	)		186,691
Apollo Commercial Real Estate Finance, Inc.		(15,167	)		(246,009	)		2,275

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ares Capital Corp.		(24,353	)	$	(356,284	)	$	10,472
Ball Corp.		(18,113	)		(1,284,587	)		(24,802	)
BBCN Bancorp, Inc.		(10,498	)		(159,995	)		3,365
Brocade Communications Systems, Inc.		(7,972	)		(65,664	)		(7,519	)
Chemical Financial Corp.		(40,768	)		(1,459,358	)		(60,881	)
Cousins Properties, Inc.		(34,610	)		(379,326	)		19,382
Diebold, Inc.		(17,191	)		(530,715	)		103,862
Dow Chemical Co. (The)		(62,608	)		(3,321,354	)		209,111
First Cash Financial Services, Inc.		(7,284	)		(342,639	)		(31,248	)
Gaming and Leisure Properties, Inc.		(1	)		(30	)		(4	)
Great Plains Energy, Inc.		(7,863	)		(230,370	)		(8,665	)
Huntington Bancshares, Inc.		(203,369	)		(1,911,592	)		93,473
IMS Health Holdings, Inc.		(31,973	)		(795,384	)		(15,451	)
Johnson Controls, Inc.		(103,638	)		(4,172,906	)		(414,112	)
KeyCorp.		(179,776	)		(2,251,395	)		264,871
Lam Research Corp.		(30,652	)		(2,360,853	)		(215,755	)
Marriott International, Inc.		(39,611	)		(2,732,117	)		99,570
Mylan NV		(6,944	)		(316,789	)		16,531
New York Community Bancorp, Inc.		(61,343	)		(947,078	)		27,547
Nexstar Broadcasting Group, Inc.		(4,220	)		(227,809	)		27,021
NextEra Energy, Inc.		(20,419	)		(2,118,880	)		(543,758	)
Old National Bancorp		(12,024	)		(155,990	)		5,329
People’s United Financial, Inc.		(19,118	)		(275,336	)		(4,934	)
Range Resources Corp.		(32,879	)		(1,466,024	)		47,624
Rovi Corp.		(10,848	)		(172,049	)		2,387
VMware, Inc.		(9,728	)		(590,057	)		33,421
								(551,989	)
Total of Short Equity Positions								(557,794	)
Total of Long and Short Equity Positions and Rights								(863,306	)
Net Cash and Other Receivables/ (Payables) (b)								1,295,788
Swaps, at Value							$	432,482

(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 Semi-Annual Report June 2016

16

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$861,352

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Home Retail Group plc		179,571		$	400,058		$	(32,327	)
London Stock Exchange Group plc		19,449			659,701			1,146
Rexam plc		396,352			2,738,561			717,785
SABMiller plc		59,360			3,224,300			237,523
								924,127
Total of Long Equity Positions								924,127
Short Positions
Common Stocks
United Kingdom
J Sainsbury plc		(57,642	)		(205,325	)		25,759
Total of Long and Short Equity Positions								949,886
Net Cash and Other Receivables/ (Payables) (b)								(88,534	)
Swaps, at Value							$	861,352

(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 Semi-Annual Report June 2016

17

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$(66,097	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Axia NetMedia Corp.		147,630		$	478,897		$	(2,395	)
Bankers Petroleum Ltd.		306,488			433,417			55,275
Canexus Corp.		1,128,519			1,121,396			(12,051	)
InnVest Real Estate Investment Trust		134,720			719,089			7,718
Kaminak Gold Corp.		263,121			513,704			36,183
Manitoba Telecom Services, Inc.		100,909			2,932,270			30,290
								115,020
Total of Long Equity Positions								115,020
Short Positions
Common Stocks
Canada
BCE, Inc.		(36,191	)		(1,688,576	)		(24,121	)
Fortis, Inc.		(54,922	)		(1,743,917	)		(112,536	)
Goldcorp, Inc.		(28,670	)		(519,305	)		(29,263	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Canada (continued)
Superior Plus Corp.		(158,853	)	$	(1,293,054	)	$	(17,657	)
								(183,577	)
France
Endeavour Mining Corp.		(1	)		(9	)		(8	)
Total of Short Equity Positions								(183,585	)
Total of Long and Short Equity Positions								(68,565	)
Net Cash and Other Receivables/ (Payables) (b)								2,468
Swaps, at Value							$	(66,097	)

(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 Semi-Annual Report June 2016

18

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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 08/12/2016-04/20/2017		$300,712

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Delhaize Group		43,768		$	4,015,165		$	608,239
Germany
Wincor Nixdorf AG		39,608			2,052,575			73,114
Italy
Italcementi SpA		214,487			2,415,930			98,207
Spain
Fomento de Construcciones y Contratas SA		55,342			465,929			2,256
Total of Long Equity Positions								781,816
Short Positions
Common Stocks
Netherlands
Koninklijke Ahold NV		(222,468	)		(4,444,881	)		(467,785	)
Total of Long and Short Equity Positions								314,031
Net Cash and Other Receivables/ (Payables) (b)								(13,319	)
Swaps, at Value							$	300,712

(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 Semi-Annual Report June 2016

19

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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 08/19/2016		$(57,749	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Asciano Ltd.		709,614		$	4,758,017		$	(49,879	)
United States
Iron Mountain, Inc.		1			29			10
Total of Long Equity Positions								(49,869	)
Short Positions
Common Stocks
Australia
Oil Search Ltd.		(24,216	)		(117,310	)		(4,970	)
Total of Long and Short Equity Positions								(54,839	)
Net Cash and Other Receivables/ (Payables) (b)								(2,910	)
Swaps, at Value							$	(57,749	)

(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 Semi-Annual Report June 2016

20

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the SEK/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap.	13 months maturity 04/20/2017		$32,230

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Sweden
Meda AB		114,476	$	2,042,674	$	33,150
Net Cash and Other Receivables/ (Payables) (b)						(920	)
Swaps, at Value					$	32,230

(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)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the CHF/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	12 months maturity 09/15/2016		$(149,389)

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Syngenta AG		5,148	$	2,128,583	$	(152,530	)
Net Cash and Other Receivables/ (Payables) (b)						3,141
Swaps, at Value					$	(149,389	)

(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 Semi-Annual Report June 2016

21

Schedule of Investments June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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 04/20/2017		$430,227

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Private Placements
United States
Penson Technologies LLC (3)		9,326,216	$	9	$	430,116
Net Cash and Other Receivables/ (Payables) (b)						111
Swaps, at Value					$	430,227

(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).

Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Investment Companies		$531,052		$—		$531,052
BARC
Cash		—		1,843,472		1,843,472
CITG
Cash		—		2,201,054		2,201,054
CITI
Investment Companies		251,148		—		251,148
DTBK
Investment Companies		20,803,394		—		20,803,394
JPMC
Investment Companies		540,000		—		540,000
JPMS
Cash		—		745,360		745,360

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

AQR Funds Semi-Annual Report June 2016

22

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

LONG INVESTMENTS - 116.1%	SHARES		VALUE (Note 5)
COMMON STOCKS - 23.5%
Belgium - 0.6%
Ageas (a)		84,365	$	2,932,466
bpost SA (a)		46,573		1,192,207
Colruyt SA (a)		16,318		903,005
Proximus SADP (a)		11,757		373,620
				5,401,298
Canada - 4.6%
Air Canada (1)†(a)		339,136		2,333,619
Alimentation Couche-Tard, Inc., Class B (1)(a)		41,065		1,763,448
Barrick Gold Corp. (1)(a)		150,780		3,218,787
Baytex Energy Corp. (1)(a)		195,992		1,137,768
Cameco Corp. (1)(a)		36,076		396,237
Canadian Natural Resources Ltd. (1)(a)		12,600		388,742
Canadian Tire Corp. Ltd., Class A (1)(a)		17,455		1,901,615
Canfor Corp. (1)†(a)		28,619		289,081
CCL Industries, Inc., Class B (1)(a)		4,023		700,129
CGI Group, Inc., Class A (1)†(a)		17,130		731,766
Constellation Software, Inc. (1)(a)		4,315		1,669,990
Dollarama, Inc. (1)(a)		25,027		1,747,309
Element Financial Corp. (1)(a)		83,646		886,993
Empire Co. Ltd., Class A (1)(a)		76,669		1,139,991
Encana Corp., Class R (1)(a)		84,905		660,471
Enerplus Corp. (1)(a)		162,721		1,071,834
First Quantum Minerals Ltd. (1)(a)		49,606		348,254
George Weston Ltd. (1)(a)		23,927		2,070,729
Goldcorp, Inc. (1)(a)		54,414		1,041,150
Industrial Alliance Insurance & Financial Services, Inc. (1)(a)		28,538		897,038
Intact Financial Corp. (1)(a)		5,407		386,247
Kinross Gold Corp. (1)†(a)		429,596		2,108,161
Linamar Corp. (1)(a)		50,362		1,793,923
Loblaw Cos. Ltd. (1)(a)		26,569		1,421,250
Lundin Mining Corp. (1)†		145,005		489,356
Magna International, Inc. (1)(a)		49,019		1,720,664
MEG Energy Corp. (1)†(a)		65,196		341,636
Metro, Inc. (1)(a)		59,648		2,078,065
Open Text Corp. (1)(a)		27,614		1,632,751
Ritchie Bros Auctioneers, Inc. (1)(a)		47,372		1,600,882
Seven Generations Energy Ltd., Class A (1)†(a)		18,549		354,053
Shaw Communications, Inc., Class B (1)(a)		28,055		538,538
SNC-Lavalin Group, Inc. (1)(a)		17,459		733,252
Teck Resources Ltd., Class B (1)(a)		39,620		521,643
Yamana Gold, Inc. (1)(a)		260,412		1,354,517
				41,469,889
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd.		2,162,100		1,450,138
Denmark - 1.2%
DSV A/S (a)		21,906		921,107
ISS A/S (a)		67,364		2,533,582
Pandora A/S (a)		13,393		1,824,119

	SHARES		VALUE (Note 5)
Denmark - 1.2% (continued)
TDC A/S		425,268	$	2,084,013
Vestas Wind Systems A/S (a)		39,020		2,652,168
William Demant Holding A/S †(a)		28,690		558,474
				10,573,463
Finland - 1.1%
Amer Sports OYJ (a)		43,202		1,185,258
Cargotec OYJ, Class B		22,755		927,381
Elisa OYJ (a)		26,174		1,005,689
Huhtamaki OYJ (a)		6,101		253,190
Kesko OYJ, Class B (a)		49,555		2,104,431
Metso OYJ (a)		34,928		821,153
Neste OYJ (a)		80,627		2,891,198
Orion OYJ, Class B (a)		17,670		686,123
				9,874,423
Germany - 4.0%
adidas AG (a)		3,810		546,923
Allianz SE (a)		3,798		541,813
Aurubis AG (a)		34,296		1,559,534
Bayer AG (a)		3,641		365,683
Brenntag AG (a)		8,542		413,791
Covestro AG 144A (a)(b)		35,301		1,572,319
Deutsche Lufthansa AG (a)		118,380		1,391,855
E.ON SE (a)		102,840		1,038,151
Evonik Industries AG (a)		44,424		1,324,216
Fraport AG Frankfurt Airport Services Worldwide (a)		13,704		733,724
Freenet AG (a)		52,710		1,357,468
Hannover Rueck SE (a)		3,955		414,395
HeidelbergCement AG (a)		5,301		399,335
Hella KGaA Hueck & Co. (a)		18,853		605,113
HOCHTIEF AG (a)		37,191		4,801,759
KION Group AG (a)		30,457		1,476,189
Krones AG (a)		6,741		712,059
LANXESS AG (a)		7,792		341,858
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		10,513		1,762,978
OSRAM Licht AG (a)		120,118		6,240,955
Rheinmetall AG (a)		47,361		2,816,974
RHOEN-KLINIKUM AG (a)		8,859		259,315
Software AG (a)		53,224		1,809,729
STADA Arzneimittel AG †(a)		29,880		1,548,596
Symrise AG (a)		5,862		399,854
Talanx AG (a)		40,587		1,208,803
				35,643,389
Italy - 1.9%
A2A SpA		2,005,340		2,629,523
Atlantia SpA (a)		14,634		365,630
Autogrill SpA		13,433		108,601
Buzzi Unicem SpA		24,668		432,283
Davide Campari-Milano SpA (a)		17,176		170,018
Enel SpA		144,427		641,176
Eni SpA (a)		90,266		1,453,930
Hera SpA		481,307		1,313,668
Leonardo-Finmeccanica SpA †(a)		181,163		1,832,043
Mediobanca SpA (a)		106,401		613,061

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

AQR Funds Semi-Annual Report June 2016

23

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

	SHARES		VALUE (Note 5)
Italy - 1.9% (continued)
Moncler SpA		22,481	$	354,916
Poste Italiane SpA 144A (b)		332,158		2,205,507
Prysmian SpA (a)		76,215		1,672,855
Recordati SpA		49,021		1,474,526
Snam SpA (a)		195,611		1,169,447
Unipol Gruppo Finanziario SpA		254,822		600,037
UnipolSai SpA		194,859		294,066
				17,331,287
Luxembourg - 0.1%
Millicom International Cellular SA SDR		9,726		596,586
Netherlands - 1.6%
ABN AMRO Group NV CVA 144A (b)		22,170		364,489
Akzo Nobel NV (a)		7,404		459,942
ASM International NV (a)		28,569		1,102,718
BOSKALIS WESTMINSTER (a)		20,234		690,437
Delta Lloyd NV		118,949		417,950
Fugro NV CVA †		63,725		1,121,930
Heineken NV (a)		15,496		1,421,321
Koninklijke Ahold NV (a)		94,570		2,088,349
Koninklijke Vopak NV (a)		15,433		768,247
NN Group NV (a)		141,043		3,882,692
Randstad Holding NV (a)		30,388		1,215,246
Wolters Kluwer NV (a)		27,264		1,103,953
				14,637,274
Norway - 0.1%
Telenor ASA (a)		31,904		528,107
Yara International ASA (a)		20,457		649,854
				1,177,961
Portugal - 0.2%
Galp Energia SGPS SA (a)		73,959		1,028,646
Jeronimo Martins SGPS SA (a)		47,895		755,388
NOS SGPS SA		23,799		144,024
				1,928,058
Singapore - 0.7%
ComfortDelGro Corp. Ltd.		336,900		691,868
DBS Group Holdings Ltd.		72,700		857,200
Genting Singapore plc		1,578,700		856,376
Global Logistic Properties Ltd.		379,500		512,344
SATS Ltd.		310,900		950,544
Singapore Airlines Ltd.		132,900		1,055,348
United Overseas Bank Ltd.		49,200		677,875
Wilmar International Ltd.		196,700		478,828
				6,080,383
Spain - 2.4%
ACS Actividades de Construccion y Servicios SA (a)		70,324		1,928,930
Aena SA 144A (a)(b)		2,762		366,105
Almirall SA		79,075		1,188,906
Ebro Foods SA		48,747		1,122,063
Enagas SA (a)		59,270		1,810,715
Endesa SA (a)		122,163		2,451,261
Gamesa Corp. Tecnologica SA (a)		215,873		4,301,062

	SHARES		VALUE (Note 5)
Spain - 2.4% (continued)
Gas Natural SDG SA (a)		109,746	$	2,181,490
Iberdrola SA (a)		281,951		1,923,348
Mapfre SA		150,180		329,820
Mediaset Espana Comunicacion SA (a)		72,237		815,456
Prosegur Cia de Seguridad SA		126,796		764,140
Repsol SA (a)		204,069		2,615,936
				21,799,232
Sweden - 2.0%
Axfood AB		28,389		545,277
BillerudKorsnas AB		162,236		2,420,966
Boliden AB (a)		67,707		1,323,272
Bonava AB, Class B †		83,401		1,005,461
Electrolux AB, Series B (a)		85,660		2,335,507
Holmen AB, Series B		7,810		250,520
Husqvarna AB, Class B		104,637		779,177
NCC AB, Class B		94,868		2,202,757
Nibe Industrier AB		134,868		1,121,528
Saab AB, Class B		25,513		795,616
Securitas AB, Class B (a)		35,730		551,593
Skanska AB, Class B (a)		16,921		354,308
Swedish Match AB (a)		63,476		2,215,191
Swedish Orphan Biovitrum AB †		28,543		350,408
Telefonaktiebolaget LM Ericsson, Class B (a)		101,676		781,131
Telia Co. AB		131,052		620,594
				17,653,306
Switzerland - 2.4%
Actelion Ltd. †(a)		18,675		3,144,825
Adecco Group AG (a)		30,399		1,533,267
Clariant AG †(a)		34,521		583,383
DKSH Holding AG (a)		4,112		269,368
Flughafen Zuerich AG (a)		13,540		2,396,187
Galenica AG (a)		1,098		1,480,192
GAM Holding AG †(a)		12,772		136,346
Georg Fischer AG (a)		1,925		1,538,861
Helvetia Holding AG (a)		382		198,735
Kuehne + Nagel International AG (a)		2,663		373,112
Lonza Group AG †(a)		4,173		693,184
Schindler Holding AG (a)		4,232		766,195
SGS SA (a)		240		549,780
Sika AG (a)		197		826,033
STMicroelectronics NV (a)		235,375		1,382,268
Straumann Holding AG (a)		1,881		742,071
Swiss Life Holding AG †(a)		6,373		1,472,787
Swiss Re AG (a)		21,812		1,905,069
Zurich Insurance Group AG †(a)		5,708		1,412,061
				21,403,724
United Kingdom - 0.3%
Dialog Semiconductor plc †(a)		33,061		990,621
Fiat Chrysler Automobiles NV (a)		160,223		986,246
Subsea 7 SA †(a)		53,024		521,199
Unilever NV CVA (a)		9,570		446,944
				2,945,010

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

AQR Funds Semi-Annual Report June 2016

24

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

	SHARES		VALUE (Note 5)
United States - 0.1%
Thomson Reuters Corp. (1)(a)		12,456	$	503,948
TOTAL COMMON STOCKS (cost $202,915,444)				210,469,369
PREFERRED STOCKS - 0.1%
Germany - 0.1%
Henkel AG & Co. KGaA (a) (cost $524,206)		4,466		545,792
RIGHTS - 0.0% (c)
Spain - 0.0% (c)
ACS Actividades de Construccion y Servicios SA † (cost $49,888)		70,324		49,401
SHORT-TERM INVESTMENTS - 92.5%
Investment Companies - 68.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (d)		975,491		975,491
Dreyfus Treasury Cash Management, Class I, 0.240% (d)		3,901,963		3,901,963
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% (d)(e)		464,919,102		464,919,102
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% (d)(e)		134,954,600		134,954,600
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (d)		4,877,454		4,877,454
Total Investment Companies (cost $609,628,610)				609,628,610
	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 24.4%
U.S. Treasury Bill, 0.341%, 10/13/2016 (f)	$	29,173		29,153,396
U.S. Treasury Bill, 0.351%, 10/20/2016 (f)		22,215		22,198,916
U.S. Treasury Bill, 0.370%, 07/21/2016 (f)		67,813		67,806,083
U.S. Treasury Bill, 0.371%, 11/17/2016 (f)		15,078		15,063,209
U.S. Treasury Bill, 0.381%, 11/10/2016 (f)		3,458		3,454,760
U.S. Treasury Bill, 0.384%, 10/06/2016 (f)		11,733		11,724,904
U.S. Treasury Bill, 0.401%, 12/22/2016 (f)		3,736		3,730,882
U.S. Treasury Bill, 0.401%, 10/27/2016 (f)		19,283		19,269,078
U.S. Treasury Bill, 0.409%, 08/18/2016 (f)		6,261		6,259,084

	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Obligations - 24.4% (continued)
U.S. Treasury Bill, 0.471%, 07/14/2016 (f)	$	18,141		$	18,140,384
U.S. Treasury Bill, 0.480%, 11/25/2016 (f)		9,857			9,846,591
U.S. Treasury Bill, 0.498%, 07/07/2016 (f)		10,219			10,218,898
Total U.S. Treasury Obligations (cost $216,803,122)					216,866,185
TOTAL SHORT-TERM INVESTMENTS (cost $826,431,732)					826,494,795
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $1,029,921,270)					1,037,559,357
SECURITIES SOLD SHORT - (19.6)%	SHARES
COMMON STOCKS - (19.3)%
Austria - (0.1)%
ams AG		(23,551	)		(653,834	)
Belgium - (0.6)%
Anheuser-Busch InBev SA/NV		(24,059	)		(3,181,477	)
Telenet Group Holding NV †		(18,167	)		(830,711	)
UCB SA		(11,112	)		(834,371	)
Umicore SA		(11,893	)		(614,324	)
					(5,460,883	)
Canada - (4.6)%
AltaGas Ltd. (1)		(45,539	)		(1,106,796	)
Bank of Nova Scotia (The) (1)		(7,270	)		(356,255	)
BlackBerry Ltd. (1)†		(50,513	)		(338,982	)
Bombardier, Inc., Class B (1)†		(1,059,788	)		(1,591,384	)
Canadian National Railway Co. (1)		(14,875	)		(878,373	)
Canadian Pacific Railway Ltd. (1)		(4,365	)		(561,965	)
Canadian Utilities Ltd., Class A (1)		(103,842	)		(3,008,480	)
Cenovus Energy, Inc. (1)		(90,518	)		(1,252,027	)
DH Corp. (1)		(24,814	)		(616,725	)
Enbridge, Inc. (1)		(38,518	)		(1,631,712	)
Fairfax Financial Holdings Ltd. (1)		(752	)		(405,019	)
Finning International, Inc. (1)		(47,472	)		(773,103	)
Fortis, Inc. (1)		(26,879	)		(908,554	)
Franco-Nevada Corp. (1)		(9,094	)		(691,509	)
Gibson Energy, Inc. (1)		(38,103	)		(442,094	)
Gildan Activewear, Inc. (1)		(91,855	)		(2,690,347	)
Hudson’s Bay Co. (1)		(102,640	)		(1,238,560	)
IGM Financial, Inc. (1)		(5,278	)		(143,680	)
Imperial Oil Ltd. (1)		(44,146	)		(1,396,872	)
Inter Pipeline Ltd. (1)		(53,169	)		(1,127,621	)
Keyera Corp. (1)		(66,118	)		(2,022,511	)
Manulife Financial Corp. (1)		(77,070	)		(1,054,086	)
Methanex Corp. (1)		(80,131	)		(2,331,456	)
National Bank of Canada (1)		(10,559	)		(361,161	)
Pembina Pipeline Corp. (1)		(76,979	)		(2,339,251	)
Peyto Exploration & Development Corp. (1)		(14,150	)		(379,830	)

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

AQR Funds Semi-Annual Report June 2016

25

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

	SHARES			VALUE (Note 5)
Canada - (4.6)% (continued)
Potash Corp. of Saskatchewan, Inc. (1)		(57,029	)	$	(926,978	)
Power Financial Corp. (1)		(29,392	)		(674,541	)
PrairieSky Royalty Ltd. (1)		(41,471	)		(787,081	)
Precision Drilling Corp. (1)		(258,686	)		(1,371,569	)
Restaurant Brands International, Inc. (1)		(11,228	)		(467,388	)
Rogers Communications, Inc., Class B (1)		(9,704	)		(392,832	)
Royal Bank of Canada (1)		(7,344	)		(433,949	)
Silver Wheaton Corp. (1)		(33,020	)		(777,227	)
Tourmaline Oil Corp. (1)†		(14,536	)		(382,654	)
TransCanada Corp. (1)		(45,111	)		(2,041,247	)
Veresen, Inc. (1)		(121,733	)		(1,031,755	)
Vermilion Energy, Inc. (1)		(16,250	)		(517,454	)
West Fraser Timber Co. Ltd. (1)		(16,961	)		(495,853	)
Whitecap Resources, Inc. (1)		(52,332	)		(400,201	)
WSP Global, Inc. (1)		(23,608	)		(722,155	)
					(41,071,237	)
Denmark - (0.6)%
AP Moeller - Maersk A/S, Class B		(577	)		(753,651	)
Coloplast A/S, Class B		(5,210	)		(389,993	)
Danske Bank A/S		(22,219	)		(584,812	)
Jyske Bank A/S		(9,354	)		(355,098	)
Novozymes A/S, Class B		(38,164	)		(1,832,669	)
Tryg A/S		(85,073	)		(1,523,190	)
					(5,439,413	)
Finland - (0.5)%
Fortum OYJ		(52,193	)		(838,556	)
Nokia OYJ		(562,682	)		(3,204,722	)
Wartsila OYJ Abp		(17,369	)		(708,678	)
					(4,751,956	)
Germany - (2.5)%
Axel Springer SE		(12,947	)		(679,765	)
BASF SE		(5,633	)		(431,932	)
Bayerische Motoren Werke AG		(23,168	)		(1,686,054	)
Beiersdorf AG		(7,328	)		(693,775	)
Bilfinger SE †		(27,077	)		(793,647	)
Commerzbank AG		(52,926	)		(344,673	)
Continental AG		(4,171	)		(789,265	)
Daimler AG		(28,286	)		(1,692,587	)
Deutsche Bank AG †		(57,160	)		(790,130	)
Deutsche Post AG		(34,829	)		(981,220	)
Deutsche Telekom AG		(56,836	)		(969,183	)
Duerr AG		(8,657	)		(657,341	)
Fresenius Medical Care AG & Co. KGaA		(7,847	)		(683,524	)
GEA Group AG		(7,818	)		(369,020	)
HUGO BOSS AG		(12,719	)		(723,101	)
Merck KGaA		(19,323	)		(1,964,048	)
METRO AG		(14,170	)		(435,814	)
Rocket Internet SE 144A †(b)		(5,260	)		(102,701	)
RWE AG †		(325,735	)		(5,187,396	)
SAP SE		(10,906	)		(819,097	)
Telefonica Deutschland Holding AG		(198,052	)		(815,794	)

	SHARES			VALUE (Note 5)
Germany - (2.5)% (continued)
Zalando SE 144A †(b)		(38,849	)	$	(1,028,194	)
					(22,638,261	)
Italy - (0.8)%
Azimut Holding SpA		(32,164	)		(524,783	)
Banca Generali SpA		(26,385	)		(528,847	)
Intesa Sanpaolo SpA		(160,689	)		(306,066	)
Luxottica Group SpA		(36,123	)		(1,760,550	)
Mediaset SpA		(137,637	)		(481,324	)
Saipem SpA †		(1,799,966	)		(719,680	)
Salvatore Ferragamo SpA		(45,343	)		(924,266	)
Telecom Italia SpA †		(1,244,720	)		(1,022,300	)
Unione di Banche Italiane SpA		(354,431	)		(978,780	)
					(7,246,596	)
Luxembourg - (0.3)%
ArcelorMittal †		(90,146	)		(410,994	)
Tenaris SA		(136,466	)		(1,972,359	)
					(2,383,353	)
Netherlands - (1.2)%
Aegon NV		(128,551	)		(509,361	)
Altice NV, Class A †		(78,263	)		(1,168,579	)
ASML Holding NV		(12,360	)		(1,216,696	)
Gemalto NV		(26,436	)		(1,601,597	)
Koninklijke KPN NV		(681,445	)		(2,428,970	)
Koninklijke Philips NV		(51	)		(1,267	)
QIAGEN NV †		(33,313	)		(725,966	)
SBM Offshore NV		(241,465	)		(2,798,361	)
					(10,450,797	)
Norway - (0.5)%
DNB ASA		(177,814	)		(2,128,397	)
Gjensidige Forsikring ASA		(44,553	)		(742,292	)
Schibsted ASA, Class A		(62,008	)		(1,858,743	)
					(4,729,432	)
Portugal - (0.1)%
EDP - Energias de Portugal SA		(351,265	)		(1,075,423	)
Sonae SGPS SA		(138,732	)		(108,980	)
					(1,184,403	)
Singapore - (1.5)%
CapitaLand Ltd.		(515,300	)		(1,183,118	)
Golden Agri-Resources Ltd.		(430,800	)		(112,719	)
Hutchison Port Holdings Trust (1)		(910,700	)		(392,512	)
Jardine Cycle & Carriage Ltd.		(30,800	)		(842,561	)
Keppel Corp. Ltd.		(1,061,300	)		(4,378,189	)
Oversea-Chinese Banking Corp. Ltd.		(66,890	)		(434,921	)
Singapore Post Ltd.		(2,093,100	)		(2,293,614	)
Singapore Press Holdings Ltd.		(194,900	)		(574,328	)
Singapore Telecommunications Ltd.		(863,100	)		(2,665,787	)
StarHub Ltd.		(7,900	)		(22,291	)
UOL Group Ltd.		(183,700	)		(748,809	)
					(13,648,849	)
Spain - (1.8)%
Amadeus IT Holding SA, Class A		(40,375	)		(1,778,872	)
Atresmedia Corp. de Medios de Comunicacion SA		(59,682	)		(583,356	)

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

AQR Funds Semi-Annual Report June 2016

26

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

	SHARES			VALUE (Note 5)
Spain - (1.8)% (continued)
Banco de Sabadell SA		(461,263	)	$	(610,830	)
Bankinter SA		(153,691	)		(992,096	)
CaixaBank SA		(528,088	)		(1,163,891	)
Cellnex Telecom SAU 144A (b)		(140,751	)		(2,208,744	)
Distribuidora Internacional de Alimentacion SA		(379,279	)		(2,213,811	)
Grifols SA		(33,783	)		(767,427	)
Industria de Diseno Textil SA		(59,517	)		(1,999,412	)
Obrascon Huarte Lain SA †		(87,511	)		(308,276	)
Red Electrica Corp. SA		(10,923	)		(976,011	)
Telefonica SA		(194,371	)		(1,845,322	)
Zardoya Otis SA		(89,440	)		(844,610	)
					(16,292,658	)
Sweden - (1.6)%
Assa Abloy AB, Class B		(143,737	)		(2,957,077	)
Getinge AB, Class B		(9,039	)		(186,619	)
Hennes & Mauritz AB, Class B		(104,167	)		(3,064,679	)
Hexagon AB, Class B		(30,050	)		(1,099,709	)
Modern Times Group MTG AB, Class B		(17,459	)		(464,085	)
Nordea Bank AB		(44,106	)		(374,180	)
Sandvik AB		(50,916	)		(509,767	)
Skandinaviska Enskilda Banken AB, Class A		(106,987	)		(934,604	)
Svenska Cellulosa AB SCA, Class B		(18,976	)		(609,712	)
Svenska Handelsbanken AB, Class A		(168,694	)		(2,048,032	)
Swedbank AB, Class A		(32,578	)		(684,237	)
Tele2 AB, Class B		(137,252	)		(1,204,982	)
					(14,137,683	)
Switzerland - (2.0)%
Aryzta AG †		(21,319	)		(787,862	)
Barry Callebaut AG †		(469	)		(577,456	)
Chocoladefabriken Lindt & Spruengli AG		(93	)		(554,663	)
Cie Financiere Richemont SA		(55,922	)		(3,273,378	)
Credit Suisse Group AG †		(86,131	)		(917,504	)
Dufry AG †		(22,050	)		(2,637,248	)
EMS-Chemie Holding AG		(742	)		(383,100	)
Geberit AG		(1,057	)		(400,352	)
Julius Baer Group Ltd. †		(53,086	)		(2,136,622	)
LafargeHolcim Ltd. †		(38,641	)		(1,616,644	)
Novartis AG		(11,796	)		(973,625	)
OC Oerlikon Corp. AG †		(42,596	)		(373,991	)
Swatch Group AG (The)		(2,480	)		(721,685	)
Swisscom AG		(4,650	)		(2,310,147	)
					(17,664,277	)
United Kingdom - (0.5)%
CNH Industrial NV		(429,978	)		(3,118,912	)
RELX NV		(64,273	)		(1,111,964	)
					(4,230,876	)
United States - (0.1)%
Valeant Pharmaceuticals International, Inc. (1)†		(21,859	)		(440,750	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $176,236,420)					(172,425,258	)

PREFERRED STOCKS - (0.3)%	SHARES			VALUE (Note 5)
Germany - (0.3)%
Schaeffler AG		(19,553	)	$	(258,266	)
Volkswagen AG		(22,901	)		(2,773,777	)
TOTAL PREFERRED STOCKS SOLD SHORT (proceeds $3,503,986)					(3,032,043	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $179,740,406)					(175,457,301	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 96.5% (cost $850,180,864)					862,102,056
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.5% (g)				31,555,386
NET ASSETS - 100.0%				$	893,657,442

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(15,467,048	)		(1.7	)%
Consumer Staples		11,993,821			1.3
Energy		(8,969,250	)		(1.0	)
Financials		(63,193	)		0.0	(c)
Health Care		5,525,979			0.6
Industrials		37,719,874			4.2
Information Technology		(1,331,960	)		(0.2	)
Materials		12,354,952			1.4
Telecommunication Services		(9,320,274	)		(1.0	)
Utilities		3,164,360			0.4
Investment companies		609,628,610			68.1
U.S. Treasury Obligations		216,866,185			24.4
Total Investments In Securities, At Value		862,102,056			96.5
Other Assets in Excess of Liabilities (g)		31,555,386			3.5
Net Assets	$	893,657,442			100.0	%

† Non-income producing security.

(a) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $171,035,437. In addition, $19,813,781 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 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 and swap contracts.

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

AQR Funds Semi-Annual Report June 2016

27

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

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

SDR - Special Drawing Rights

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		490,283			$376,239			$379,550			$3,311
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		735,423			564,358			569,324			4,966
Swiss Franc, Expiring 09/21/16	CITI	CHF		74,800			76,334			76,952			618
Swiss Franc, Expiring 09/21/16	JPMC	CHF		97,200			98,852			99,998			1,146
Danish Krone, Expiring 09/21/16	CITI	DKK		5,829,000			891,294			872,343			(18,951	)
Euro, Expiring 09/21/16	CITI	EUR		3,553,000			3,938,876			3,954,478			15,602
Norwegian Krone, Expiring 09/21/16	CITI	NOK		8,873,800			1,066,377			1,060,188			(6,189	)
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		13,273,200			1,595,014			1,585,801			(9,213	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		1,445,000			177,361			171,387			(5,974	)
Singapore Dollar, Expiring 09/21/16	CITI	SGD		3,420,400			2,482,439			2,536,961			54,522
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		5,130,600			3,723,661			3,805,443			81,782
							$14,990,805			$15,112,425			$121,620
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(2,132,000	)		$(1,676,013	)		$(1,650,478	)		$25,535
Swiss Franc, Expiring 09/21/16	CITI	CHF		(48,000	)		(50,042	)		(49,381	)		661
Danish Krone, Expiring 09/21/16	CITI	DKK		(13,687,600	)		(2,066,139	)		(2,048,427	)		17,712
Danish Krone, Expiring 09/21/16	JPMC	DKK		(20,480,400	)		(3,091,436	)		(3,065,008	)		26,428
Euro, Expiring 09/21/16	CITI	EUR		(15,494,800	)		(17,398,865	)		(17,245,666	)		153,199
Euro, Expiring 09/21/16	JPMC	EUR		(15,880,200	)		(17,810,604	)		(17,674,615	)		135,989

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

AQR Funds Semi-Annual Report June 2016

28

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(160,000	)		$ (20,627	)		$ (20,643	)		$ (16	)
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		(240,000	)		(30,940	)		(30,965	)		(25	)
Norwegian Krone, Expiring 09/21/16	CITI	NOK		(563,000	)		(69,088	)		(67,264	)		1,824
Swedish Krona, Expiring 09/21/16	CITI	SEK		(11,291,400	)		(1,364,251	)		(1,339,242	)		25,009
Swedish Krona, Expiring 09/21/16	JPMC	SEK		(16,872,600	)		(2,038,554	)		(2,001,212	)		37,342
Singapore Dollar, Expiring 09/21/16	CITI	SGD		(473,000	)		(349,110	)		(350,831	)		(1,721	)
							(45,965,669	)		(45,543,732	)		421,937
							$(30,974,864	)		$(30,431,307	)		$543,557

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

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

AQR Funds Semi-Annual Report June 2016

29

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

Total Return Basket Swaps* Outstanding at June 30, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	5-25 months maturity 10/14/2016		$(761,064	)

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Ajinomoto Co., Inc.		47,400	$	1,151,573	$	(34,784	)
Alfresa Holdings Corp.		48,600		1,091,512		(76,156	)
Amada Holdings Co. Ltd.		161,400		1,810,016		(171,461	)
Astellas Pharma, Inc.		129,500		1,874,011		156,853
Bandai Namco Holdings, Inc.		139,200		3,701,965		(109,698	)
Bridgestone Corp.		29,500		1,040,994		(92,954	)
Central Japan Railway Co.		5,400		1,005,936		(45,473	)
Chiyoda Corp.		149,000		1,060,876		(75,523	)
Chubu Electric Power Co., Inc.		322,100		4,552,808		31,005
Chugoku Bank Ltd. (The)		16,300		192,011		(25,697	)
Citizen Holdings Co. Ltd.		96,900		544,111		(72,477	)
Dai Nippon Printing Co. Ltd.		37,000		393,874		18,489
Daicel Corp.		45,900		577,683		(102,064	)
Daido Steel Co. Ltd.		48,000		180,247		(15,842	)
Dai-ichi Life Insurance Co. Ltd. (The)		182,500		2,361,654		(318,677	)
Daiichi Sankyo Co. Ltd.		45,900		1,108,939		6,207
DeNA Co. Ltd.		17,800		391,976		24,428
Dentsu, Inc.		10,400		546,055		(58,546	)
Disco Corp.		3,800		393,881		(50,210	)
Ezaki Glico Co. Ltd.		8,100		478,751		(4,903	)
FamilyMart Co. Ltd.		7,600		447,173		15,981
Fuji Heavy Industries Ltd.		86,500		3,307,402		(334,104	)
FUJIFILM Holdings Corp.		27,400		1,131,008		(67,877	)
Gunma Bank Ltd. (The)		92,000		386,548		(52,452	)
Hachijuni Bank Ltd. (The)		32,000		149,685		(10,317	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Hakuhodo DY Holdings, Inc.		99,600	$	1,330,465	$	(136,678	)
Haseko Corp.		244,700		2,730,662		(267,070	)
Hikari Tsushin, Inc.		1,900		163,945		(4,776	)
Hiroshima Bank Ltd. (The)		45,000		168,607		(18,245	)
Hisamitsu Pharmaceutical Co., Inc.		19,400		1,139,790		(21,158	)
Hitachi Capital Corp.		11,600		277,449		(47,224	)
Hitachi Chemical Co. Ltd.		106,400		2,107,886		(120,717	)
Hitachi High-Technologies Corp.		39,600		1,192,378		(108,614	)
Hitachi Metals Ltd.		63,000		735,609		(95,581	)
Hokuhoku Financial Group, Inc.		132,000		168,344		(18,005	)
Hoya Corp.		90,900		3,284,978		(38,394	)
Idemitsu Kosan Co. Ltd.		103,900		2,267,153		(11,474	)
Inpex Corp.		325,100		2,670,321		(127,844	)
Isuzu Motors Ltd.		71,400		894,586		(15,153	)
ITOCHU Corp.		79,400		1,012,702		(41,385	)
Itochu Techno-Solutions Corp.		118,800		2,846,947		(287,609	)
Iyo Bank Ltd. (The)		25,300		169,074		(14,120	)
Japan Airlines Co. Ltd.		81,900		2,844,735		(209,797	)
Japan Petroleum Exploration Co. Ltd.		106,600		2,371,238		(222,497	)
JSR Corp.		38,400		580,462		(71,926	)
JTEKT Corp.		101,900		1,370,510		(215,527	)
JX Holdings, Inc.		786,700		3,250,588		(179,846	)
Kajima Corp.		58,000		391,389		11,522
Kaken Pharmaceutical Co. Ltd.		25,900		1,583,309		114,748
Kamigumi Co. Ltd.		84,000		816,253		(39,857	)

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

AQR Funds Semi-Annual Report June 2016

30

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Kaneka Corp.		263,000	$	2,090,537	$	(335,733	)
Kewpie Corp.		14,200		417,612		35,323
Kobayashi Pharmaceutical Co. Ltd.		7,600		334,189		3,303
Konami Holdings Corp.		51,200		1,989,906		(36,634	)
Konica Minolta, Inc.		208,500		1,781,378		(262,547	)
Kose Corp.		6,300		569,705		(35,844	)
Kuraray Co. Ltd.		35,700		490,120		(64,167	)
Kyocera Corp.		7,700		395,578		(29,190	)
LIXIL Group Corp.		62,700		1,147,414		(117,763	)
Mazda Motor Corp.		142,200		2,467,829		(586,056	)
Medipal Holdings Corp.		105,400		1,884,375		(151,511	)
MEIJI Holdings Co. Ltd.		10,400		1,048,665		19,990
Miraca Holdings, Inc.		11,200		498,947		(13,225	)
Mitsubishi Chemical Holdings Corp.		213,800		1,100,478		(120,421	)
Mitsubishi Electric Corp.		129,000		1,615,287		(75,239	)
Mitsubishi Gas Chemical Co., Inc.		81,000		462,801		(40,231	)
Mitsubishi Motors Corp.		333,100		1,828,141		(290,440	)
Mitsubishi Tanabe Pharma Corp.		131,200		2,326,755		43,791
Mitsui Chemicals, Inc.		542,000		2,107,054		(115,332	)
Mixi, Inc.		60,900		2,603,165		(85,233	)
MS&AD Insurance Group Holdings, Inc.		52,600		1,519,825		(156,952	)
Nankai Electric Railway Co. Ltd.		22,000		129,094		(5,041	)
Nexon Co. Ltd.		135,200		2,305,590		(304,624	)
NH Foods Ltd.		16,000		380,221		11,683
NHK Spring Co. Ltd.		225,600		1,974,849		(143,907	)
Nikon Corp.		70,800		1,039,319		(80,701	)
Nippon Electric Glass Co. Ltd.		82,000		399,278		(56,970	)
Nippon Express Co. Ltd.		345,000		1,517,203		59,349
Nippon Shokubai Co. Ltd.		29,400		1,832,173		(141,193	)
Nippon Telegraph & Telephone Corp.		97,500		4,480,138		92,116
Nippon Yusen KK		504,000		990,834		(104,179	)
Nissan Chemical Industries Ltd.		14,200		425,509		(11,191	)
Nisshin Seifun Group, Inc.		57,200		994,341		(74,858	)
Nitori Holdings Co. Ltd.		4,000		435,495		49,642
Nitto Denko Corp.		10,200		689,044		(42,015	)
Nomura Research Institute Ltd.		19,040		744,784		(46,487	)
NSK Ltd.		73,600		654,587		(115,840	)
NTN Corp.		231,000		769,466		(146,145	)
NTT Data Corp.		20,600		1,081,655		(108,750	)
Obayashi Corp.		82,100		873,866		245
Obic Co. Ltd.		3,200		184,116		(7,968	)
Olympus Corp.		9,200		392,151		(48,608	)
Oracle Corp. Japan		18,900		1,109,822		(102,016	)
Osaka Gas Co. Ltd.		316,000		1,238,075		(23,216	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Otsuka Corp.		36,400	$	1,770,314	$	(68,201	)
Otsuka Holdings Co. Ltd.		47,500		2,132,593		56,344
Panasonic Corp.		275,700		2,527,019		(155,023	)
Pola Orbis Holdings, Inc.		29,300		2,685,017		72,411
Recruit Holdings Co. Ltd.		29,100		1,057,380		5,763
Rohm Co. Ltd.		27,800		1,226,594		(129,325	)
Sankyo Co. Ltd.		56,100		2,226,189		(122,830	)
Santen Pharmaceutical Co. Ltd.		79,500		1,273,621		(24,105	)
Seiko Epson Corp.		24,000		435,098		(50,339	)
Sekisui Chemical Co. Ltd.		93,200		1,284,529		(136,231	)
Shimadzu Corp.		55,000		856,101		(29,271	)
Shimamura Co. Ltd.		8,500		1,145,965		118,722
Shionogi & Co. Ltd.		22,200		1,272,580		(58,993	)
SMC Corp.		1,600		417,499		(23,857	)
Sojitz Corp.		2,153,700		5,259,187		(155,924	)
Sompo Japan Nipponkoa Holdings, Inc.		22,800		634,613		(27,855	)
Sugi Holdings Co. Ltd.		15,700		894,266		(18,866	)
Sumitomo Chemical Co. Ltd.		404,000		1,887,994		(221,065	)
Sumitomo Corp.		171,100		1,750,948		(26,277	)
Sumitomo Electric Industries Ltd.		26,000		389,718		(45,597	)
Sumitomo Rubber Industries Ltd.		27,300		413,700		(48,210	)
Sundrug Co. Ltd.		12,800		1,157,222		44,634
Suzuken Co. Ltd.		77,600		2,722,308		(279,750	)
Suzuki Motor Corp.		67,600		1,809,769		20,699
Sysmex Corp.		10,100		774,872		(79,401	)
T&D Holdings, Inc.		224,300		2,210,295		(305,533	)
Taiheiyo Cement Corp.		714,000		1,891,784		(200,627	)
Takashimaya Co. Ltd.		54,000		393,192		(6,414	)
TDK Corp.		7,500		440,286		(20,463	)
Teijin Ltd.		329,000		1,197,571		(107,414	)
Toho Gas Co. Ltd.		179,000		1,405,987		58,720
Tohoku Electric Power Co., Inc.		76,100		1,013,778		(53,356	)
Tokio Marine Holdings, Inc.		29,700		1,036,182		(47,437	)
Tokyo Broadcasting System Holdings, Inc.		31,000		455,724		(36,416	)
Tokyo Electric Power Co. Holdings, Inc.		640,000		2,998,426		(288,001	)
Tokyo Electron Ltd.		6,900		531,716		51,394
Tokyo Gas Co. Ltd.		544,000		2,302,700		(56,654	)
Toppan Printing Co. Ltd.		232,000		2,182,359		(187,454	)
Tosoh Corp.		341,000		1,773,287		(200,381	)
Toyo Suisan Kaisha Ltd.		44,500		1,871,135		(66,079	)
Toyoda Gosei Co. Ltd.		36,100		710,408		(67,491	)
Toyota Boshoku Corp.		111,900		2,413,328		(77,425	)
Toyota Tsusho Corp.		40,400		922,557		(52,771	)

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

AQR Funds Semi-Annual Report June 2016

31

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
West Japan Railway Co.		23,700		$	1,590,659		$	(88,711	)
Yamaguchi Financial Group, Inc.		17,000			172,910			(12,153	)
Yamazaki Baking Co. Ltd.		26,000			686,721			39,138
Yokogawa Electric Corp.		34,100			385,383			(834	)
								(10,527,173	)
Total of Long Equity Positions								(10,527,173	)
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(6,000	)		(391,722	)		(10,949	)
Advantest Corp.		(99,400	)		(1,131,637	)		22,727
Aeon Co. Ltd.		(233,500	)		(3,745,689	)		120,236
AEON Financial Service Co. Ltd.		(59,100	)		(1,354,936	)		75,247
Aisin Seiki Co. Ltd.		(29,100	)		(1,272,756	)		87,417
Alps Electric Co. Ltd.		(65,900	)		(1,443,917	)		191,929
ANA Holdings, Inc.		(400,000	)		(1,194,995	)		55,152
Aozora Bank Ltd.		(150,000	)		(524,907	)		4,559
Asahi Glass Co. Ltd.		(140,000	)		(851,537	)		91,772
Asics Corp.		(124,200	)		(2,890,189	)		791,841
Bank of Kyoto Ltd. (The)		(112,000	)		(747,164	)		60,190
Brother Industries Ltd.		(41,200	)		(482,242	)		40,318
Calbee, Inc.		(30,900	)		(1,214,037	)		(78,694	)
Canon, Inc.		(54,300	)		(1,636,513	)		86,237
Century Tokyo Leasing Corp.		(18,500	)		(644,721	)		46,001
Chugai Pharmaceutical Co. Ltd.		(38,400	)		(1,408,706	)		40,198
Chugoku Electric Power Co., Inc. (The)		(243,700	)		(3,204,161	)		105,966
Credit Saison Co. Ltd.		(109,000	)		(2,129,857	)		298,822
Daikin Industries Ltd.		(14,000	)		(1,206,811	)		30,184
Daiwa Securities Group, Inc.		(187,000	)		(1,096,783	)		111,598
Denso Corp.		(84,300	)		(3,281,512	)		315,388
Don Quijote Holdings Co. Ltd.		(35,600	)		(1,305,296	)		(17,697	)
Eisai Co. Ltd.		(6,400	)		(391,874	)		34,523
Electric Power Development Co. Ltd.		(53,000	)		(1,401,025	)		166,216
FANUC Corp.		(13,800	)		(2,182,907	)		(61,984	)
Fast Retailing Co. Ltd.		(13,100	)		(3,818,013	)		300,919
Fuji Electric Co. Ltd.		(92,000	)		(389,060	)		6,015
Hamamatsu Photonics KK		(111,400	)		(3,129,004	)		3,218
Hankyu Hanshin Holdings, Inc.		(75,000	)		(553,236	)		(6,004	)
Hirose Electric Co. Ltd.		(3,100	)		(397,213	)		16,019

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Hitachi Construction Machinery Co. Ltd.		(25,600	)	$	(403,938	)	$	30,279
Hitachi Ltd.		(130,000	)		(620,238	)		75,556
Hokkaido Electric Power Co., Inc.		(2,700	)		(24,025	)		2,092
Hokuriku Electric Power Co.		(58,300	)		(751,938	)		29,533
Honda Motor Co. Ltd.		(27,000	)		(760,214	)		82,912
IHI Corp.		(1,021,000	)		(2,671,312	)		(80,786	)
Isetan Mitsukoshi Holdings Ltd.		(117,600	)		(1,172,172	)		125,438
Izumi Co. Ltd.		(6,000	)		(242,016	)		8,277
J Front Retailing Co. Ltd.		(40,400	)		(479,601	)		60,720
Japan Display, Inc.		(308,900	)		(615,546	)		113,023
Japan Post Bank Co. Ltd.		(32,200	)		(399,048	)		20,420
Japan Tobacco, Inc.		(53,700	)		(2,327,308	)		163,080
JFE Holdings, Inc.		(99,500	)		(1,414,686	)		116,688
Kakaku.com, Inc.		(22,600	)		(457,094	)		8,039
Kansai Electric Power Co., Inc. (The)		(38,500	)		(388,714	)		13,753
Kansai Paint Co. Ltd.		(47,100	)		(946,897	)		(4,037	)
Keihan Holdings Co. Ltd.		(87,000	)		(621,016	)		18,162
Keikyu Corp.		(209,000	)		(2,072,460	)		(30,726	)
Keio Corp.		(136,000	)		(1,243,770	)		(39,099	)
Keisei Electric Railway Co. Ltd.		(60,000	)		(847,135	)		73,748
Keyence Corp.		(2,100	)		(1,393,975	)		(38,915	)
Kikkoman Corp.		(36,000	)		(1,357,839	)		29,439
Kintetsu Group Holdings Co. Ltd.		(170,000	)		(717,042	)		(10,463	)
Kirin Holdings Co. Ltd.		(118,900	)		(2,097,799	)		92,412
Kobe Steel Ltd.		(2,341,000	)		(2,200,615	)		276,606
Kubota Corp.		(57,900	)		(874,685	)		91,569
Kyowa Hakko Kirin Co. Ltd.		(20,500	)		(388,579	)		38,936
Kyushu Electric Power Co., Inc.		(290,500	)		(3,039,125	)		125,582
Kyushu Financial Group, Inc.		(31,500	)		(165,273	)		9,139
M3, Inc.		(12,000	)		(393,359	)		(25,441	)
Mabuchi Motor Co. Ltd.		(13,600	)		(666,547	)		90,522
Makita Corp.		(16,700	)		(1,116,192	)		7,361
Marubeni Corp.		(89,400	)		(433,003	)		29,117
Marui Group Co. Ltd.		(274,900	)		(4,248,056	)		547,381
Maruichi Steel Tube Ltd.		(20,000	)		(729,786	)		30,782
Minebea Co. Ltd.		(87,000	)		(696,127	)		105,057
MISUMI Group, Inc.		(123,400	)		(2,083,140	)		(144,812	)
Mitsubishi Heavy Industries Ltd.		(245,000	)		(1,009,948	)		24,749
Mitsubishi Logistics Corp.		(221,000	)		(3,118,671	)		26,810

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

AQR Funds Semi-Annual Report June 2016

32

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Mitsubishi UFJ Financial Group, Inc.		(75,200	)	$	(382,068	)	$	44,957
Mitsui OSK Lines Ltd.		(1,458,000	)		(3,376,345	)		275,901
Murata Manufacturing Co. Ltd.		(8,400	)		(1,029,612	)		87,849
Nagoya Railroad Co. Ltd.		(263,000	)		(1,431,953	)		(49,902	)
NGK Insulators Ltd.		(37,000	)		(842,182	)		94,144
NGK Spark Plug Co. Ltd.		(152,700	)		(2,938,767	)		633,794
Nidec Corp.		(57,200	)		(4,511,892	)		157,656
Nippon Paint Holdings Co. Ltd.		(80,500	)		(2,367,759	)		377,655
Nippon Steel & Sumitomo Metal Corp.		(56,000	)		(1,151,198	)		67,058
Nissan Motor Co. Ltd.		(122,700	)		(1,265,818	)		170,804
Nomura Holdings, Inc.		(530,500	)		(2,272,860	)		386,105
Odakyu Electric Railway Co. Ltd.		(292,000	)		(3,331,169	)		(92,806	)
Oji Holdings Corp.		(103,000	)		(432,616	)		37,198
Omron Corp.		(25,500	)		(821,303	)		(11,037	)
Ono Pharmaceutical Co. Ltd.		(20,600	)		(956,429	)		59,071
Oriental Land Co. Ltd.		(39,300	)		(2,721,583	)		176,932
ORIX Corp.		(77,600	)		(1,103,466	)		99,285
Park24 Co. Ltd.		(51,700	)		(1,724,457	)		(52,183	)
Pigeon Corp.		(143,200	)		(4,143,453	)		(137,434	)
Rakuten, Inc.		(242,900	)		(2,734,495	)		98,219
Ricoh Co. Ltd.		(208,400	)		(1,862,189	)		55,676
Rinnai Corp.		(9,000	)		(821,481	)		26,214
Ryohin Keikaku Co. Ltd.		(2,500	)		(633,073	)		23,829
Sega Sammy Holdings, Inc.		(63,200	)		(796,608	)		115,938
Seibu Holdings, Inc.		(8,300	)		(155,843	)		15,263
Sekisui House Ltd.		(71,100	)		(1,306,014	)		60,905
Seven & i Holdings Co. Ltd.		(25,900	)		(1,174,187	)		88,249
Seven Bank Ltd.		(180,400	)		(660,575	)		100,629
Shikoku Electric Power Co., Inc.		(163,700	)		(1,987,740	)		48,650
Shimano, Inc.		(14,200	)		(2,290,620	)		119,475
Shimizu Corp.		(62,000	)		(580,772	)		(107	)
Shinsei Bank Ltd.		(816,000	)		(1,276,290	)		87,392
Shiseido Co. Ltd.		(55,200	)		(1,507,669	)		69,280
SoftBank Group Corp.		(56,300	)		(3,321,827	)		137,945
Sohgo Security Services Co. Ltd.		(22,900	)		(1,159,826	)		27,763
Sony Corp.		(80,100	)		(2,391,906	)		32,001
Sony Financial Holdings, Inc.		(51,200	)		(661,267	)		82,355
Stanley Electric Co. Ltd.		(69,100	)		(1,573,624	)		97,904
Sumco Corp.		(320,600	)		(2,262,983	)		209,132
Sumitomo Metal Mining Co. Ltd.		(65,000	)		(724,123	)		62,918
Sumitomo Mitsui Trust Holdings, Inc.		(185,000	)		(649,479	)		47,524

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Suntory Beverage & Food Ltd.		(7,900	)	$	(395,670	)	$	38,186
Suruga Bank Ltd.		(29,100	)		(688,937	)		31,302
Taisho Pharmaceutical Holdings Co. Ltd.		(5,200	)		(527,141	)		(20,054	)
Taiyo Nippon Sanso Corp.		(127,000	)		(1,182,630	)		15,375
Takeda Pharmaceutical Co. Ltd.		(31,000	)		(1,374,543	)		37,570
THK Co. Ltd.		(53,000	)		(1,022,554	)		119,200
Tobu Railway Co. Ltd.		(181,000	)		(965,817	)		(27,606	)
Tokyu Corp.		(90,000	)		(807,434	)		17,261
Toray Industries, Inc.		(44,000	)		(400,743	)		25,296
TOTO Ltd.		(11,900	)		(482,333	)		6,819
Toyo Seikan Group Holdings Ltd.		(88,300	)		(1,915,490	)		228,249
Toyota Industries Corp.		(58,100	)		(2,554,592	)		244,542
Toyota Motor Corp.		(20,400	)		(1,121,226	)		115,536
Tsuruha Holdings, Inc.		(9,600	)		(1,079,076	)		(83,375	)
Unicharm Corp.		(177,300	)		(3,631,892	)		(351,609	)
Yahoo Japan Corp.		(136,900	)		(693,611	)		86,547
Yakult Honsha Co. Ltd.		(55,800	)		(2,818,552	)		(81,551	)
Yamaha Corp.		(17,100	)		(520,560	)		59,657
Yamaha Motor Co. Ltd.		(112,100	)		(1,915,343	)		205,290
Yamato Holdings Co. Ltd.		(201,000	)		(4,383,525	)		(231,635	)
Yaskawa Electric Corp.		(169,800	)		(2,163,710	)		(53,271	)
Yokohama Rubber Co. Ltd. (The)		(39,900	)		(610,994	)		110,567
								9,444,764
Total of Short Equity Positions								9,444,764
Total of Long and Short Equity Positions								(1,082,409	)
Net Cash and Other Receivables/ (Payables) (b)								321,345
Swaps, at Value							$	(761,064	)

(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 Semi-Annual Report June 2016

33

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	4-12 months maturity 10/13/2016		$9,674,270

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Domtar Corp.		37,158	$	1,422,886	$	(121,985	)
Ireland
Accenture plc		14,616		1,748,074		(92,227	)
Endo International plc		29,277		524,225		(67,797	)
XL Group plc		32,679		1,102,589		(14,052	)
						(174,076	)
Singapore
Flextronics International Ltd.		114,617		1,457,928		(105,448	)
Switzerland
Allied World Assurance Co. Holdings AG		32,778		1,216,064		(64,245	)
Chubb Ltd.		3,002		380,371		12,021
TE Connectivity Ltd.		21,871		1,332,819		(83,766	)
Transocean Ltd.		144,822		1,617,662		104,272
						(31,718	)
United Kingdom
Ensco plc		74,749		820,961		(95,148	)
Michael Kors Holdings Ltd.		43,801		2,172,092		(4,818	)
Noble Corp plc		76,169		690,017		(62,384	)
						(162,350	)
United States
3M Co.		21,137		3,596,209		105,303
Aaron’s, Inc.		22,799		565,187		(66,117	)
Abbott Laboratories		55,216		2,162,811		7,730
Abercrombie & Fitch Co.		88,756		1,684,111		(103,366	)
Adobe Systems, Inc.		5,584		553,486		(18,595	)
AES Corp.		45,975		524,152		49,616
Aetna, Inc.		12,845		1,570,815		(2,055	)
Aflac, Inc.		42,461		2,944,670		119,315
AGCO Corp.		9,090		499,859		(71,447	)
Agilent Technologies, Inc.		47,553		2,181,275		(71,824	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Akamai Technologies, Inc.		51,034	$	2,784,987	$	69,345
Alaska Air Group, Inc.		14,915		972,607		(103,212	)
Alleghany Corp.		1,342		726,022		11,514
Allscripts Healthcare Solutions, Inc.		90,343		1,196,874		(49,518	)
Allstate Corp. (The)		39,168		2,648,540		91,261
Alphabet, Inc.		3,469		2,532,578		(92,033	)
Altria Group, Inc.		71,842		4,691,679		262,545
Amazon.com, Inc.		3,498		2,542,102		(38,863	)
Amdocs Ltd.		56,749		3,265,641		9,911
Ameren Corp.		108,273		5,377,435		423,832
American Eagle Outfitters, Inc.		84,297		1,326,835		16,016
American Electric Power Co., Inc.		47,634		3,129,554		209,113
American Financial Group, Inc.		25,687		1,863,722		35,318
American International Group, Inc.		56,611		3,243,244		(249,088	)
American Water Works Co., Inc.		35,503		2,692,192		308,166
Ameriprise Financial, Inc.		13,677		1,392,694		(163,816	)
AmerisourceBergen Corp.		35,637		2,717,685		109,042
Amgen, Inc.		12,772		2,045,947		(102,687	)
Analog Devices, Inc.		17,925		1,023,338		(8,066	)
Anthem, Inc.		22,455		2,973,940		(24,701	)
AO Smith Corp.		49,715		4,118,888		261,501
Applied Materials, Inc.		54,409		1,315,417		(11,234	)
Aramark		21,384		714,653		—
Archer-Daniels-Midland Co.		67,759		2,959,036		(52,852	)
Arrow Electronics, Inc.		51,767		3,443,630		(239,252	)
Aspen Insurance Holdings Ltd.		26,338		1,260,155		(38,599	)
Assurant, Inc.		11,643		986,046		18,862
Assured Guaranty Ltd.		101,468		2,724,497		(150,254	)
Automatic Data Processing, Inc.		4,564		399,937		19,358

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

AQR Funds Semi-Annual Report June 2016

34

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
AutoZone, Inc.		649	$	490,722	$	24,480
Avery Dennison Corp.		57,007		4,335,440		(74,166	)
Avnet, Inc.		88,377		3,645,788		(65,635	)
Avon Products, Inc.		124,729		534,588		(63,112	)
Axis Capital Holdings Ltd.		45,554		2,516,403		(10,933	)
Bank of America Corp.		27,424		396,608		(32,691	)
Baxter International, Inc.		55,936		2,459,506		69,920
Bed Bath & Beyond, Inc.		14,746		668,436		(31,114	)
Bemis Co., Inc.		54,164		2,742,323		46,581
Best Buy Co., Inc.		96,726		3,018,751		(58,936	)
Big Lots, Inc.		66,646		3,466,925		(127,294	)
Biogen, Inc.		13,506		3,914,579		(648,558	)
Bio-Rad Laboratories, Inc.		6,632		985,250		(36,741	)
Boeing Co. (The)		11,452		1,515,471		(28,200	)
Booz Allen Hamilton Holding Corp.		12,969		383,185		1,216
Boston Beer Co., Inc. (The)		7,840		1,230,556		110,320
Brinker International, Inc.		22,859		1,054,028		(13,258	)
Broadridge Financial Solutions, Inc.		24,360		1,570,002		18,270
Brocade Communications Systems, Inc.		562,598		5,052,130		112,520
Bruker Corp.		150,118		3,963,734		(550,051	)
Brunswick Corp.		47,840		2,245,131		(77,022	)
Bunge Ltd.		25,135		1,691,578		(204,843	)
BWX Technologies, Inc.		101,881		3,657,528		(13,245	)
CA, Inc.		79,239		2,594,543		6,873
Cabot Corp.		16,715		790,053		(26,846	)
Cadence Design Systems, Inc.		70,821		1,762,026		(41,076	)
California Resources Corp.		30,688		487,939		(113,546	)
Campbell Soup Co.		17,577		1,079,579		89,818
Capital One Financial Corp.		12,085		880,392		(112,874	)
Cardinal Health, Inc.		12,596		1,012,970		(30,356	)
Carlisle Cos., Inc.		59,283		5,973,456		291,571
Carnival Corp.		31,413		1,478,610		(90,155	)
Carter’s, Inc.		34,505		3,580,584		93,164
CDW Corp.		20,459		868,689		(48,692	)
CenterPoint Energy, Inc.		50,063		1,166,588		34,924
CenturyLink, Inc.		87,563		2,364,850		175,352
Cerner Corp.		27,059		1,523,025		62,633
CH Robinson Worldwide, Inc.		10,332		756,509		10,642
Charles River Laboratories International, Inc.		51,942		4,473,245		(191,147	)
Cheesecake Factory, Inc. (The)		33,890		1,707,546		(76,082	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Chico’s FAS, Inc.		84,952	$	965,904	$	(56,068	)
Choice Hotels International, Inc.		8,275		384,870		9,185
Church & Dwight Co., Inc.		20,837		2,054,737		89,182
Cinemark Holdings, Inc.		11,054		381,372		21,657
Cintas Corp.		19,101		1,818,376		56,005
Cisco Systems, Inc.		120,728		3,511,739		(48,053	)
CIT Group, Inc.		9,110		313,840		(23,139	)
Citigroup, Inc.		22,581		1,032,855		(75,646	)
Citizens Financial Group, Inc.		38,147		895,310		(133,133	)
Citrix Systems, Inc.		30,691		2,643,960		(185,918	)
Clorox Co. (The)		24,194		3,131,616		216,591
Coca-Cola Co. (The)		64,452		2,924,187		(2,578	)
Cognizant Technology Solutions Corp.		29,921		1,805,732		(93,054	)
Colgate-Palmolive Co.		30,057		2,159,295		40,878
Comcast Corp.		14,701		932,043		26,315
Commerce Bancshares, Inc.		18,292		898,503		(22,316	)
Commercial Metals Co.		71,652		1,268,957		(58,038	)
Community Health Systems, Inc.		144,893		2,061,827		(315,867	)
Computer Sciences Corp.		53,019		2,737,371		(104,978	)
comScore, Inc.		20,448		677,310		(189,012	)
ConAgra Foods, Inc.		42,488		1,984,291		47,061
Consolidated Edison, Inc.		56,018		4,203,591		302,497
Convergys Corp.		65,421		1,855,994		(220,469	)
CoreLogic, Inc.		23,597		912,511		(4,499	)
Corning, Inc.		33,153		698,202		(19,229	)
CR Bard, Inc.		10,632		2,355,307		144,914
Cracker Barrel Old Country Store, Inc.		4,316		730,138		9,927
Crane Co.		15,648		926,675		(39,120	)
Cree, Inc.		19,417		473,262		1,290
Crown Holdings, Inc.		25,597		1,375,517		(78,517	)
CSX Corp.		68,433		1,822,308		(37,576	)
Cummins, Inc.		19,206		2,233,658		(74,135	)
CVR Energy, Inc.		18,873		378,003		(85,471	)
Dana Holding Corp.		85,248		1,028,331		(128,112	)
Danaher Corp.		8,330		824,920		16,410
Darden Restaurants, Inc.		26,266		1,769,015		(105,327	)
Dean Foods Co.		134,148		2,451,287		(24,550	)
Deckers Outdoor Corp.		15,147		824,300		46,956
Delta Air Lines, Inc.		27,218		1,123,559		(132,007	)
Deluxe Corp.		15,225		1,016,117		(5,633	)
Denbury Resources, Inc.		341,337		1,467,117		(241,717	)
DENTSPLY SIRONA, Inc.		15,646		981,787		(11,109	)
DeVry Education Group, Inc.		31,383		522,440		37,432

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

AQR Funds Semi-Annual Report June 2016

35

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Diamond Offshore Drilling, Inc.		19,224	$	490,313	$	(22,593	)
Dick’s Sporting Goods, Inc.		20,634		873,850		55,918
Dillard’s, Inc.		29,929		1,807,029		6,669
Discover Financial Services		31,478		1,796,367		(109,461	)
Dolby Laboratories, Inc.		7,932		383,228		(3,682	)
Dollar General Corp.		9,055		822,828		28,342
Domino’s Pizza, Inc.		3,677		457,272		25,813
Dow Chemical Co. (The)		11,714		628,222		(45,919	)
DR Horton, Inc.		80,632		2,495,560		42,735
Dr. Pepper Snapple Group, Inc.		58,129		5,365,462		251,544
DST Systems, Inc.		11,833		1,428,716		(51,000	)
DSW, Inc.		46,735		978,164		11,684
DTE Energy Co.		17,434		1,626,835		101,223
Dun & Bradstreet Corp. (The)		12,879		1,653,020		(83,842	)
Eaton Corp. plc		9,162		574,183		(26,936	)
eBay, Inc.		245,142		5,880,957		(142,182	)
Edison International		5,542		402,017		28,430
Edwards Lifesciences Corp.		8,160		827,832		(14,035	)
Electronic Arts, Inc.		9,180		702,178		(6,701	)
Emerson Electric Co.		33,995		1,816,703		(43,524	)
Energen Corp.		17,954		867,950		(2,388	)
Energizer Holdings, Inc.		29,206		1,419,766		84,051
Entergy Corp.		33,926		2,660,605		99,275
EP Energy Corp.		87,681		491,014		(36,826	)
Equifax, Inc.		13,607		1,712,033		35,106
Estee Lauder Cos., Inc. (The)		21,928		2,040,620		(44,733	)
Esterline Technologies Corp.		37,858		2,591,466		(242,756	)
Everest Re Group Ltd.		14,996		2,678,600		60,719
Exelon Corp.		71,120		2,490,622		95,301
Expedia, Inc.		7,087		777,869		(24,521	)
Expeditors International of Washington, Inc.		8,319		412,117		(4,154	)
Express Scripts Holding Co.		15,657		1,189,932		(3,131	)
F5 Networks, Inc.		15,728		1,730,709		59,766
Facebook, Inc.		12,069		1,432,096		(52,851	)
FactSet Research Systems, Inc.		8,019		1,283,842		10,585
FedEx Corp.		9,483		1,548,289		(108,960	)
First Solar, Inc.		45,188		2,266,178		(75,464	)
FirstEnergy Corp.		93,949		3,185,304		94,456
Fiserv, Inc.		6,549		698,320		13,753
FLIR Systems, Inc.		12,927		404,121		(4,031	)
Flowers Foods, Inc.		20,698		387,410		677
Fluor Corp.		7,940		421,614		(30,331	)
Foot Locker, Inc.		21,077		1,150,593		5,691
Ford Motor Co.		28,521		376,919		(18,410	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Fortinet, Inc.		27,417	$	948,628	$	(82,525	)
Franklin Resources, Inc.		21,632		758,628		(36,768	)
FTI Consulting, Inc.		25,736		1,110,768		(63,828	)
GameStop Corp.		20,131		573,130		(38,048	)
Gannett Co., Inc.		74,540		1,143,327		(113,930	)
Gap, Inc. (The)		50,333		958,844		109,223
GCP Applied Technologies, Inc.		14,792		364,475		20,709
General Dynamics Corp.		22,244		3,121,723		(24,468	)
General Mills, Inc.		39,070		2,484,071		302,402
General Motors Co.		151,622		4,540,802		(249,900	)
Genpact Ltd.		63,322		1,790,746		(91,184	)
Genuine Parts Co.		8,907		863,712		38,122
Gilead Sciences, Inc.		41,961		3,675,784		(175,397	)
GNC Holdings, Inc.		23,571		620,153		(47,613	)
Goldman Sachs Group, Inc. (The)		2,820		442,909		(23,914	)
GoPro, Inc.		45,256		493,510		(4,293	)
Graham Holdings Co.		1,608		815,771		(28,590	)
Graphic Packaging Holding Co.		225,224		3,016,207		(191,898	)
Great Plains Energy, Inc.		43,239		1,294,334		20,132
Groupon, Inc.		649,133		2,312,311		(202,628	)
Guess?, Inc.		27,935		437,183		(16,761	)
Hanover Insurance Group, Inc. (The)		11,391		976,205		(12,299	)
Hartford Financial Services Group, Inc. (The)		15,998		710,951		(960	)
Hasbro, Inc.		18,210		1,570,430		(40,972	)
HCA Holdings, Inc.		14,980		1,178,477		(24,867	)
HD Supply Holdings, Inc.		61,825		2,163,660		(10,913	)
Herman Miller, Inc.		129,732		4,162,895		(285,206	)
Hershey Co. (The)		5,518		514,774		111,464
Hewlett Packard Enterprise Co.		73,984		1,398,298		(46,610	)
HollyFrontier Corp.		78,063		2,116,288		(260,730	)
Hologic, Inc.		34,486		1,190,146		3,070
Home Depot, Inc. (The)		9,879		1,276,268		(14,818	)
Honeywell International, Inc.		10,695		1,235,700		8,342
Hormel Foods Corp.		21,133		723,400		50,068
HP, Inc.		472,266		6,455,876		(528,938	)
HSN, Inc.		25,072		1,328,699		(101,926	)
Hubbell, Inc.		3,596		380,054		(784	)
Huntington Ingalls Industries, Inc.		38,428		6,087,764		369,293
Huntsman Corp.		91,128		1,480,830		(255,158	)
Hyatt Hotels Corp.		9,986		483,322		7,390
IAC/InterActiveCorp.		48,517		2,681,224		50,283
Illinois Tool Works, Inc.		3,699		399,122		(13,834	)
Ingersoll-Rand plc		13,125		859,716		(23,916	)
Ingredion, Inc.		34,982		4,162,635		364,385
Integrated Device Technology, Inc.		91,712		2,094,702		(248,540	)

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

AQR Funds Semi-Annual Report June 2016

36

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Intel Corp.		53,635	$	1,699,157	$	60,071
International Business Machines Corp.		18,512		2,829,075		(19,324	)
International Paper Co.		25,494		1,099,301		(18,866	)
Interpublic Group of Cos., Inc. (The)		79,052		1,876,485		(50,384	)
Intersil Corp.		45,059		609,198		901
Intrexon Corp.		35,289		1,048,083		(179,621	)
Intuit, Inc.		9,144		988,741		31,821
Intuitive Surgical, Inc.		1,868		1,197,433		38,081
Invesco Ltd.		23,622		723,069		(119,764	)
ITT, Inc.		19,300		697,502		(80,288	)
j2 Global, Inc.		26,894		1,826,372		(127,478	)
Jabil Circuit, Inc.		79,825		1,560,227		(85,859	)
Jack Henry & Associates, Inc.		22,862		1,943,553		51,613
Jack in the Box, Inc.		20,834		1,797,558		(7,500	)
JetBlue Airways Corp.		150,271		2,698,867		(210,379	)
JM Smucker Co. (The)		3,302		435,633		67,625
John Wiley & Sons, Inc.		32,090		1,727,084		(52,628	)
Johnson & Johnson		25,002		2,894,935		137,808
Joy Global, Inc.		33,517		744,748		(36,198	)
JPMorgan Chase & Co.		7,069		461,464		(22,197	)
Juniper Networks, Inc.		98,457		2,300,523		(86,225	)
KB Home		104,392		1,485,633		102,170
Kellogg Co.		12,065		899,084		86,023
Kennametal, Inc.		40,218		1,014,298		(125,078	)
KeyCorp.		46,256		593,927		(82,798	)
Kimberly-Clark Corp.		43,224		5,626,468		315,967
Kinder Morgan, Inc.		25,488		473,312		3,823
Kohl’s Corp.		37,435		1,397,638		21,897
L Brands, Inc.		5,462		382,227		(15,563	)
L-3 Communications Holdings, Inc.		16,715		2,366,008		85,915
Laboratory Corp. of America Holdings		5,398		706,120		(2,922	)
Lam Research Corp.		25,065		2,063,351		43,613
Lancaster Colony Corp.		15,735		1,947,762		60,181
Landstar System, Inc.		13,462		917,705		6,596
Lear Corp.		28,232		3,289,293		(416,404	)
Lennox International, Inc.		15,049		2,086,750		59,238
Liberty Interactive Corp. QVC Group		70,141		1,858,737		(79,259	)
LifePoint Health, Inc.		12,604		865,013		(41,089	)
Lincoln Electric Holdings, Inc.		10,933		672,688		(26,766	)
Lincoln National Corp.		46,980		2,137,120		(315,706	)
Linear Technology Corp.		14,820		698,022		(8,447	)
Lowe’s Cos., Inc.		25,516		2,001,730		18,372
LyondellBasell Industries NV		16,326		1,330,732		(115,751	)
Macy’s, Inc.		71,497		2,450,917		(47,903	)
Mallinckrodt plc		23,126		1,503,653		(98,054	)
Manhattan Associates, Inc.		14,011		947,984		(49,459	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ManpowerGroup, Inc.		42,719	$	3,378,209	$	(629,668	)
Marathon Oil Corp.		27,535		388,321		24,979
Marathon Petroleum Corp.		68,256		2,408,754		182,244
Marriott International, Inc.		13,012		882,864		(18,087	)
Marvell Technology Group Ltd.		175,540		1,760,722		(87,825	)
Masco Corp.		110,942		3,503,548		(71,003	)
Maxim Integrated Products, Inc.		41,161		1,551,133		(82,097	)
McCormick & Co., Inc.		3,857		378,119		33,307
McDonald’s Corp.		14,371		1,753,262		(23,856	)
McKesson Corp.		12,386		2,318,288		(6,441	)
Mentor Graphics Corp.		137,177		3,010,328		(93,945	)
Merck & Co., Inc.		36,067		2,061,950		15,869
Meredith Corp.		7,288		379,187		(866	)
MetLife, Inc.		34,026		1,524,025		(168,769	)
Mettler-Toledo International, Inc.		1,437		543,172		(18,782	)
Michaels Cos., Inc. (The)		40,638		1,224,829		(69,085	)
Micron Technology, Inc.		164,934		2,106,207		163,285
Microsoft Corp.		39,213		2,044,174		(37,644	)
Molina Healthcare, Inc.		29,040		1,493,527		(44,431	)
Mondelez International, Inc.		40,901		1,845,453		15,951
Morningstar, Inc.		7,663		645,838		(19,158	)
MSC Industrial Direct Co., Inc.		55,322		4,139,722		(236,201	)
MSCI, Inc.		34,642		2,679,905		(8,314	)
MSG Networks, Inc.		69,829		1,241,560		(170,383	)
Murphy USA, Inc.		18,544		1,286,269		88,954
Mylan NV		26,024		1,210,636		(85,359	)
Nasdaq, Inc.		61,093		3,978,987		(28,103	)
NetApp, Inc.		53,172		1,329,832		(22,332	)
NeuStar, Inc.		60,804		1,464,160		(34,658	)
New York Times Co. (The)		44,512		539,353		(758	)
News Corp.		84,325		1,014,860		(57,771	)
NIKE, Inc.		37,649		2,044,341		33,884
NiSource, Inc.		66,244		1,618,341		138,450
Norfolk Southern Corp.		12,625		1,074,096		670
Northrop Grumman Corp.		9,251		1,993,035		63,277
Nu Skin Enterprises, Inc.		99,876		4,159,835		453,437
Nuance Communications, Inc.		127,395		2,201,386		(210,202	)
Nucor Corp.		8,362		421,769		(8,603	)
NVR, Inc.		486		838,549		26,696
Oceaneering International, Inc.		29,848		1,027,368		(136,107	)
Office Depot, Inc.		110,812		391,643		(24,855	)
Old Republic International Corp.		53,811		1,017,566		20,448
Omnicom Group, Inc.		8,059		665,785		(9,057	)

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

AQR Funds Semi-Annual Report June 2016

37

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ON Semiconductor Corp.		181,676	$	1,782,242	$	(179,859	)
OneMain Holdings, Inc.		13,309		404,604		(100,892	)
Oracle Corp.		44,632		1,760,286		66,502
Orbital ATK, Inc.		9,860		883,555		(44,074	)
O’Reilly Automotive, Inc.		2,394		619,495		29,518
Owens & Minor, Inc.		33,654		1,268,756		(10,769	)
Owens Corning		97,813		4,940,535		98,791
Packaging Corp. of America		10,509		733,150		(29,782	)
Panera Bread Co.		4,373		956,375		(29,561	)
Parker-Hannifin Corp.		7,850		908,280		(60,088	)
PBF Energy, Inc.		21,922		584,221		(62,916	)
PepsiCo, Inc.		69,949		7,194,800		215,597
PerkinElmer, Inc.		6,929		378,276		(15,058	)
Pfizer, Inc.		48,076		1,679,295		13,461
PG&E Corp.		38,973		2,389,045		102,109
Philip Morris International, Inc.		14,531		1,457,750		20,343
Phillips 66		4,626		374,603		(7,576	)
Pilgrim’s Pride Corp.		37,133		915,053		31,095
Pinnacle West Capital Corp.		32,872		2,478,958		185,646
Pitney Bowes, Inc.		29,334		556,576		(34,430	)
Plantronics, Inc.		44,798		2,020,462		(49,350	)
PNC Financial Services Group, Inc. (The)		10,396		934,912		(88,782	)
PNM Resources, Inc.		11,119		378,725		15,332
Pool Corp.		4,136		377,690		11,218
Popular, Inc.		13,018		404,469		(23,042	)
PPG Industries, Inc.		3,434		375,457		(17,806	)
Priceline Group, Inc. (The)		1,675		2,259,742		(168,656	)
Principal Financial Group, Inc.		12,939		562,329		(30,407	)
ProAssurance Corp.		15,341		801,107		20,404
Procter & Gamble Co. (The)		65,908		5,455,205		125,225
Progressive Corp. (The)		58,757		1,926,658		41,701
Prudential Financial, Inc.		17,488		1,351,298		(103,704	)
Public Service Enterprise Group, Inc.		193,208		8,727,218		278,207
PVH Corp.		11,811		1,143,187		(30,236	)
QUALCOMM, Inc.		42,114		2,310,815		(54,768	)
Quanta Services, Inc.		80,315		1,925,484		(68,601	)
Quest Diagnostics, Inc.		18,147		1,411,292		66,055
Quintiles Transnational Holdings, Inc.		62,559		4,204,590		(118,237	)
Quorum Health Corp.		1,509		18,938		(2,777	)
Rackspace Hosting, Inc.		145,974		3,636,212		(591,195	)
Ralph Lauren Corp.		19,377		1,866,586		(130,020	)
Raymond James Financial, Inc.		9,714		545,830		(66,929	)
Raytheon Co.		18,057		2,415,846		39,003
Red Hat, Inc.		12,303		961,233		(68,036	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Regions Financial Corp.		99,515	$	990,174	$	(143,302	)
Reinsurance Group of America, Inc.		16,035		1,581,853		(26,618	)
Reliance Steel & Aluminum Co.		24,468		1,856,546		25,044
Republic Services, Inc.		30,688		1,504,633		69,969
ResMed, Inc.		9,978		599,659		31,250
Reynolds American, Inc.		28,057		1,432,310		80,804
Robert Half International, Inc.		106,640		4,360,990		(291,607	)
Rockwell Automation, Inc.		12,650		1,504,211		(51,738	)
Ross Stores, Inc.		33,466		1,751,610		145,577
Rowan Cos. plc		63,969		1,174,471		(44,778	)
RR Donnelley & Sons Co.		95,489		1,585,410		30,263
Sally Beauty Holdings, Inc.		18,797		574,624		(21,805	)
SCANA Corp.		36,224		2,574,086		166,622
Sealed Air Corp.		13,503		619,623		1,110
Service Corp. International		22,186		609,449		(9,540	)
Sherwin-Williams Co. (The)		2,575		755,685		515
Silicon Laboratories, Inc.		6,610		332,434		(10,262	)
Skechers U.S.A., Inc.		99,619		3,143,976		(183,299	)
Skyworks Solutions, Inc.		8,179		540,714		(23,147	)
Snap-on, Inc.		2,387		380,806		(4,090	)
Sonoco Products Co.		67,943		3,253,494		120,555
Southwest Airlines Co.		29,251		1,221,814		(74,883	)
Spirit AeroSystems Holdings, Inc.		111,498		5,272,755		(478,341	)
SPX Corp.		32,140		515,526		(38,247	)
SPX FLOW, Inc.		28,968		891,056		(135,860	)
Stanley Black & Decker, Inc.		10,936		1,244,399		(28,097	)
Staples, Inc.		124,218		1,114,235		(43,476	)
Starbucks Corp.		11,506		639,619		17,604
Steel Dynamics, Inc.		26,571		680,392		(29,402	)
SunTrust Banks, Inc.		18,461		811,730		(53,352	)
SUPERVALU, Inc.		455,810		2,164,847		(13,424	)
Symantec Corp.		71,462		1,227,717		240,112
Synaptics, Inc.		21,100		1,397,383		(263,258	)
Synchrony Financial		80,808		2,510,382		(467,556	)
SYNNEX Corp.		31,504		2,973,978		13,232
Synopsys, Inc.		32,320		1,698,146		49,720
Sysco Corp.		35,910		1,751,874		70,199
T Rowe Price Group, Inc.		10,762		822,324		(37,021	)
Tableau Software, Inc.		34,569		1,925,493		(234,378	)
Target Corp.		28,394		1,953,791		28,678
TCF Financial Corp.		26,872		383,374		(43,444	)
Tech Data Corp.		48,945		3,810,473		(293,775	)
Teekay Corp.		96,712		1,007,739		(318,182	)
Teledyne Technologies, Inc.		6,872		690,567		(9,896	)

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

AQR Funds Semi-Annual Report June 2016

38

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Telephone & Data Systems, Inc.		52,956	$	1,523,681	$	46,994
Teradata Corp.		67,088		1,923,674		(241,778	)
Teradyne, Inc.		97,783		1,935,210		(9,862	)
Tesoro Corp.		43,328		3,472,306		(226,172	)
Texas Instruments, Inc.		22,604		1,385,399		30,741
Textron, Inc.		42,701		1,714,018		(152,870	)
Thomson Reuters Corp.		13,998		594,075		(28,276	)
Thor Industries, Inc.		27,555		1,785,564		(1,653	)
Time Warner, Inc.		14,145		1,075,161		(34,938	)
Timken Co. (The)		25,080		851,712		(82,760	)
TJX Cos., Inc. (The)		28,289		2,149,964		34,795
Total System Services, Inc.		37,444		2,003,254		(14,603	)
Travelers Cos., Inc. (The)		18,347		2,097,613		86,414
Trinity Industries, Inc.		71,463		1,337,339		(10,271	)
TripAdvisor, Inc.		7,558		540,095		(54,115	)
Tyson Foods, Inc.		86,751		5,281,885		512,214
Union Pacific Corp.		6,131		540,115		(5,186	)
United Continental Holdings, Inc.		113,167		5,039,327		(394,953	)
United Natural Foods, Inc.		37,493		1,487,128		267,544
United Technologies Corp.		9,709		990,075		5,583
United Therapeutics Corp.		55,328		6,601,184		(740,842	)
UnitedHealth Group, Inc.		10,520		1,453,338		32,086
Universal Health Services, Inc.		5,507		754,239		(15,750	)
Unum Group		31,173		1,132,515		(141,525	)
Urban Outfitters, Inc.		104,816		2,993,545		(111,105	)
US Bancorp.		10,060		431,373		(25,653	)
Valero Energy Corp.		73,264		4,023,659		(287,195	)
Validus Holdings Ltd.		33,053		1,580,264		25,781
Vantiv, Inc.		19,659		1,057,654		55,045
Varian Medical Systems, Inc.		8,744		735,633		(16,614	)
VCA, Inc.		6,651		437,998		11,676
Vectren Corp.		7,901		400,544		15,602
VeriFone Systems, Inc.		17,915		439,689		(107,545	)
VeriSign, Inc.		9,423		799,259		15,454
Verizon Communications, Inc.		42,596		2,164,502		214,059
Viacom, Inc.		49,770		2,261,051		(197,089	)
Viavi Solutions, Inc.		241,228		1,665,086		(65,745	)
Vishay Intertechnology, Inc.		114,463		1,510,486		(92,289	)
VMware, Inc.		16,432		1,030,959		(90,720	)
Voya Financial, Inc.		12,016		372,228		(74,712	)
VWR Corp.		65,240		1,949,928		(64,492	)
Waddell & Reed Financial, Inc.		63,204		1,348,464		(260,091	)
Wal-Mart Stores, Inc.		51,333		3,647,700		100,636
Walt Disney Co. (The)		5,611		554,255		(5,387	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Waste Management, Inc.		29,129		$	1,805,070		$	125,309
Waters Corp.		8,840			1,226,815			16,531
Watsco, Inc.		16,651			2,264,956			77,673
WellCare Health Plans, Inc.		30,847			3,212,715			96,551
Wells Fargo & Co.		13,949			704,285			(44,079	)
Werner Enterprises, Inc.		48,803			1,250,333			(129,328	)
WESCO International, Inc.		6,590			399,036			(59,717	)
Western Digital Corp.		45,568			2,188,175			(34,632	)
Western Refining, Inc.		71,470			1,566,622			(92,196	)
Western Union Co. (The)		19,274			378,046			(8,371	)
Westlake Chemical Corp.		27,320			1,245,388			(72,813	)
Whirlpool Corp.		3,282			573,792			(26,880	)
World Fuel Services Corp.		46,200			2,159,850			34,188
Worthington Industries, Inc.		16,190			641,286			43,551
WR Berkley Corp.		13,089			737,434			46,859
Wyndham Worldwide Corp.		18,258			1,240,083			60,434
Xcel Energy, Inc.		9,036			384,016			20,616
Xerox Corp.		298,459			3,072,330			(239,954	)
Xilinx, Inc.		27,997			1,312,219			(20,718	)
Xylem, Inc.		11,178			510,723			(11,625	)
Yelp, Inc.		13,751			379,381			38,099
Yum! Brands, Inc.		28,456			2,367,255			(7,683	)
Zynga, Inc.		303,028			799,994			(45,454	)
								(12,406,295	)
Total of Long Equity Positions								(13,001,872	)
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(23,283	)		(1,642,905	)		(76,777	)
Waste Connections, Inc.		(43,493	)		(3,155,900	)		22,229
								(54,548	)
Ireland
Allegion plc		(29,510	)		(2,003,729	)		(45,150	)
Perrigo Co. plc		(29,949	)		(2,974,428	)		258,952
								213,802
Netherlands
Chicago Bridge & Iron Co. NV		(44,338	)		(1,718,541	)		183,116
Core Laboratories NV		(16,600	)		(2,136,918	)		80,344
Frank’s International NV		(7,143	)		(114,788	)		10,429
QIAGEN NV		(37,371	)		(835,500	)		20,439
Sensata Technologies Holding NV		(46,043	)		(1,732,138	)		125,697
								420,025

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

AQR Funds Semi-Annual Report June 2016

39

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Norway
Golar LNG Ltd.		(35,941	)	$	(637,294	)	$	80,209
Panama
Copa Holdings SA		(7,088	)		(378,739	)		8,320
Singapore
Broadcom Ltd.		(15,455	)		(2,530,310	)		128,603
Switzerland
Garmin Ltd.		(8,816	)		(378,025	)		4,050
Weatherford International plc		(267,597	)		(1,774,168	)		289,005
								293,055
United Kingdom
Aon plc		(21,719	)		(2,376,059	)		3,692
Delphi Automotive plc		(38,410	)		(2,593,827	)		189,361
Liberty Global plc		(75,076	)		(2,573,152	)		391,444
Liberty Global plc LiLAC		(9,367	)		(376,584	)		74,405
Pentair plc		(41,703	)		(2,532,206	)		101,338
STERIS plc		(25,505	)		(1,792,236	)		38,768
								799,008
United States
3D Systems Corp.		(136,820	)		(1,903,166	)		30,100
AbbVie, Inc.		(17,630	)		(1,074,464	)		(17,009	)
ABIOMED, Inc.		(3,651	)		(380,643	)		(18,375	)
Acadia Healthcare Co., Inc.		(98,351	)		(6,041,380	)		592,734
ACI Worldwide, Inc.		(18,056	)		(386,420	)		34,148
Acuity Brands, Inc.		(9,196	)		(2,332,172	)		51,932
Acxiom Corp.		(19,688	)		(431,955	)		(984	)
Advance Auto Parts, Inc.		(9,812	)		(1,505,561	)		(80,353	)
Advanced Micro Devices, Inc.		(211,421	)		(945,052	)		(141,652	)
AECOM		(56,880	)		(1,852,013	)		44,935
Agios Pharmaceuticals, Inc.		(11,693	)		(668,303	)		178,425
Air Lease Corp.		(71,173	)		(2,120,244	)		214,231
Air Products & Chemicals, Inc.		(4,036	)		(587,480	)		14,207
Akorn, Inc.		(96,270	)		(3,047,908	)		305,657
Albemarle Corp.		(32,877	)		(2,661,722	)		54,247
Alcoa, Inc.		(148,071	)		(1,457,019	)		84,400
Alexion Pharmaceuticals, Inc.		(26,470	)		(3,929,282	)		838,644
Align Technology, Inc.		(6,964	)		(548,067	)		(12,883	)
Allegheny Technologies, Inc.		(58,232	)		(791,373	)		48,915
Allergan plc		(6,884	)		(1,701,863	)		111,040
Alliance Data Systems Corp.		(5,478	)		(1,240,493	)		167,243
Alliant Energy Corp.		(47,040	)		(1,800,691	)		(66,797	)
Allison Transmission Holdings, Inc.		(13,081	)		(376,258	)		6,982

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ally Financial, Inc.		(154,492	)	$	(2,802,485	)	$	165,306
Alnylam Pharmaceuticals, Inc.		(42,255	)		(3,067,713	)		722,983
AMERCO		(1,931	)		(728,837	)		5,581
American Airlines Group, Inc.		(63,391	)		(2,095,634	)		301,035
American Express Co.		(5,751	)		(378,198	)		28,767
AMETEK, Inc.		(31,609	)		(1,526,650	)		65,366
Amphenol Corp.		(29,085	)		(1,727,940	)		60,497
Amsurg Corp.		(11,553	)		(901,160	)		5,340
AmTrust Financial Services, Inc.		(16,175	)		(427,667	)		31,379
Anadarko Petroleum Corp.		(26,325	)		(1,402,596	)		790
Apache Corp.		(61,324	)		(3,410,841	)		(3,066	)
Apple, Inc.		(7,943	)		(791,328	)		31,977
Aqua America, Inc.		(54,117	)		(1,792,355	)		(137,457	)
Arch Capital Group Ltd.		(5,690	)		(408,074	)		(1,606	)
Arista Networks, Inc.		(25,401	)		(1,896,439	)		261,122
ARRIS International plc		(167,916	)		(4,070,396	)		550,877
Arthur J Gallagher & Co.		(14,759	)		(705,775	)		3,247
Artisan Partners Asset Management, Inc.		(48,660	)		(1,617,458	)		270,550
Ascena Retail Group, Inc.		(136,118	)		(986,616	)		35,151
Ashland, Inc.		(12,084	)		(1,390,748	)		3,867
Associated Banc-Corp.		(23,701	)		(441,313	)		34,840
athenahealth, Inc.		(2,884	)		(378,323	)		(19,698	)
Atmos Energy Corp.		(5,515	)		(410,095	)		(38,384	)
Autodesk, Inc.		(29,634	)		(1,738,627	)		134,242
AutoNation, Inc.		(40,177	)		(1,976,159	)		88,644
Avis Budget Group, Inc.		(92,659	)		(3,017,904	)		31,504
Axalta Coating Systems Ltd.		(59,596	)		(1,669,284	)		88,202
B/E Aerospace, Inc.		(15,785	)		(761,028	)		32,156
Baker Hughes, Inc.		(51,603	)		(2,555,381	)		226,537
Ball Corp.		(93,102	)		(6,918,815	)		188,471
Bank of Hawaii Corp.		(21,410	)		(1,547,087	)		74,079
Bank of the Ozarks, Inc.		(41,730	)		(1,639,204	)		73,494
BankUnited, Inc.		(50,090	)		(1,671,002	)		132,238
BB&T Corp.		(29,068	)		(1,069,121	)		34,010
BioMarin Pharmaceutical, Inc.		(27,973	)		(2,504,143	)		327,844
Bio-Techne Corp.		(31,047	)		(3,485,481	)		(15,689	)
Black Hills Corp.		(34,876	)		(2,152,547	)		(46,036	)
Black Knight Financial Services, Inc.		(41,214	)		(1,516,675	)		(32,971	)
BlackRock, Inc.		(3,215	)		(1,164,023	)		62,789
Bluebird Bio, Inc.		(8,137	)		(381,588	)		29,338
BorgWarner, Inc.		(121,349	)		(4,170,770	)		588,548
Boston Scientific Corp.		(72,292	)		(1,644,643	)		(44,821	)
Bristol-Myers Squibb Co.		(39,075	)		(2,887,072	)		13,106
Brown & Brown, Inc.		(40,033	)		(1,447,593	)		(52,443	)
Brown-Forman Corp.		(22,570	)		(2,215,471	)		(36,112	)
Cabela’s, Inc.		(40,057	)		(2,020,876	)		15,622

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

AQR Funds Semi-Annual Report June 2016

40

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cable One, Inc.		(1,904	)	$	(969,574	)	$	(4,151	)
Cabot Oil & Gas Corp.		(62,744	)		(1,537,855	)		(77,175	)
CalAtlantic Group, Inc.		(68,834	)		(2,565,443	)		38,547
Calpine Corp.		(138,407	)		(2,197,075	)		155,572
CarMax, Inc.		(53,838	)		(2,795,269	)		155,592
Catalent, Inc.		(68,963	)		(1,757,374	)		171,914
Caterpillar, Inc.		(9,316	)		(712,438	)		6,192
Cathay General Bancorp		(27,884	)		(865,519	)		79,191
CBOE Holdings, Inc.		(19,685	)		(1,236,809	)		(74,606	)
CBS Corp.		(7,290	)		(392,494	)		(4,373	)
CDK Global, Inc.		(14,758	)		(833,975	)		15,053
CEB, Inc.		(10,777	)		(706,971	)		42,246
Celgene Corp.		(10,354	)		(1,103,065	)		81,850
Centene Corp.		(5,586	)		(374,824	)		(23,848	)
CF Industries Holdings, Inc.		(48,948	)		(1,522,086	)		342,439
Charles Schwab Corp. (The)		(93,352	)		(2,781,890	)		419,150
Chemours Co. (The)		(48,291	)		(409,201	)		11,283
Cheniere Energy, Inc.		(65,388	)		(2,211,271	)		(244,049	)
Chesapeake Energy Corp.		(114,160	)		(526,891	)		38,286
Chevron Corp.		(16,069	)		(1,625,701	)		(58,813	)
Chipotle Mexican Grill, Inc.		(5,628	)		(2,505,980	)		239,246
Ciena Corp.		(102,288	)		(2,175,666	)		257,766
Cimarex Energy Co.		(22,107	)		(2,598,236	)		(39,572	)
Cincinnati Financial Corp.		(5,885	)		(408,360	)		(32,367	)
Clean Harbors, Inc.		(7,017	)		(375,138	)		9,482
CME Group, Inc.		(7,802	)		(755,078	)		(4,837	)
CMS Energy Corp.		(58,739	)		(2,504,044	)		(189,727	)
CNO Financial Group, Inc.		(52,812	)		(1,050,431	)		128,333
Cobalt International Energy, Inc.		(220,724	)		(492,215	)		196,444
Cognex Corp.		(68,061	)		(3,030,756	)		97,327
Colfax Corp.		(28,373	)		(833,599	)		82,849
Comerica, Inc.		(9,892	)		(452,778	)		45,920
CommScope Holding Co., Inc.		(160,399	)		(5,158,432	)		181,251
CommVault Systems, Inc.		(9,925	)		(461,810	)		33,150
Compass Minerals International, Inc.		(28,780	)		(2,316,790	)		181,602
Concho Resources, Inc.		(22,221	)		(2,680,042	)		29,744
CONSOL Energy, Inc.		(25,285	)		(368,721	)		(38,115	)
Constellation Brands, Inc.		(5,384	)		(829,357	)		(61,156	)
Cooper Cos., Inc. (The)		(13,944	)		(2,273,848	)		(118,524	)
Copart, Inc.		(24,116	)		(1,188,152	)		6,226
CoStar Group, Inc.		(9,373	)		(1,963,737	)		(85,763	)
Costco Wholesale Corp.		(12,730	)		(1,938,015	)		(61,104	)
Covanta Holding Corp.		(215,015	)		(3,607,952	)		70,955
CST Brands, Inc.		(42,764	)		(1,883,989	)		41,716

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cullen/Frost Bankers, Inc.		(8,513	)	$	(572,670	)	$	30,136
Cypress Semiconductor Corp.		(257,804	)		(2,835,844	)		116,012
DaVita HealthCare Partners, Inc.		(11,636	)		(895,972	)		(3,724	)
Deere & Co.		(15,510	)		(1,356,815	)		99,884
Devon Energy Corp.		(28,706	)		(1,078,197	)		37,605
DexCom, Inc.		(47,006	)		(3,272,647	)		(456,339	)
Diebold, Inc.		(115,963	)		(3,102,010	)		222,649
Discovery Communications, Inc.		(28,167	)		(813,463	)		102,810
DISH Network Corp.		(15,768	)		(864,402	)		38,159
Dollar Tree, Inc.		(52,107	)		(4,721,936	)		(188,627	)
Dominion Resources, Inc.		(89,191	)		(6,490,429	)		(460,226	)
Donaldson Co., Inc.		(43,685	)		(1,611,103	)		110,086
Dover Corp.		(19,242	)		(1,343,092	)		9,236
Dunkin’ Brands Group, Inc.		(30,692	)		(1,392,496	)		53,711
E*TRADE Financial Corp.		(38,928	)		(1,058,842	)		144,423
Eagle Materials, Inc.		(20,551	)		(1,660,110	)		74,600
Eastman Chemical Co.		(7,973	)		(589,364	)		47,997
Eaton Vance Corp.		(15,189	)		(558,044	)		21,265
Ecolab, Inc.		(14,026	)		(1,684,943	)		21,460
Envision Healthcare Holdings, Inc.		(119,923	)		(3,034,052	)		(8,395	)
EOG Resources, Inc.		(41,027	)		(3,334,264	)		(88,208	)
EQT Corp.		(5,077	)		(378,945	)		(14,167	)
Eversource Energy		(32,862	)		(1,834,357	)		(134,077	)
Exxon Mobil Corp.		(12,135	)		(1,084,141	)		(53,394	)
Fastenal Co.		(8,285	)		(377,831	)		10,059
Federated Investors, Inc.		(28,190	)		(906,872	)		95,564
FEI Co.		(4,066	)		(436,810	)		2,236
Fidelity National Information Services, Inc.		(17,363	)		(1,307,087	)		27,781
FireEye, Inc.		(102,653	)		(1,755,366	)		64,671
First American Financial Corp.		(10,129	)		(383,256	)		(24,132	)
First Data Corp.		(345,582	)		(4,375,068	)		549,475
First Horizon National Corp.		(70,238	)		(1,012,697	)		44,818
First Republic Bank		(26,895	)		(1,896,098	)		13,716
FleetCor Technologies, Inc.		(8,888	)		(1,367,063	)		94,924
Flowserve Corp.		(25,209	)		(1,287,424	)		148,733
FMC Corp.		(68,200	)		(3,387,494	)		229,152
FNF Group		(51,337	)		(1,825,544	)		(99,594	)
Fortune Brands Home & Security, Inc.		(7,409	)		(428,008	)		(1,492	)
Freeport-McMoRan, Inc.		(114,285	)		(1,323,099	)		49,964
Frontier Communications Corp.		(195,320	)		(1,013,711	)		48,830

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

AQR Funds Semi-Annual Report June 2016

41

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Gartner, Inc.		(3,941	)	$	(402,888	)	$	18,996
GATX Corp.		(42,813	)		(2,033,954	)		151,467
General Electric Co.		(93,454	)		(2,817,526	)		(124,406	)
Genesee & Wyoming, Inc.		(45,053	)		(2,850,053	)		194,178
Gentex Corp.		(120,869	)		(1,984,669	)		117,243
Genworth Financial, Inc.		(331,849	)		(1,221,204	)		365,034
Global Payments, Inc.		(7,197	)		(555,249	)		41,527
Goodyear Tire & Rubber Co. (The)		(17,756	)		(490,602	)		34,983
Graco, Inc.		(7,781	)		(635,552	)		20,931
Granite Construction, Inc.		(25,659	)		(1,150,796	)		(17,972	)
Greif, Inc.		(13,629	)		(515,176	)		7,223
H&R Block, Inc.		(37,102	)		(798,767	)		(54,579	)
Hain Celestial Group, Inc. (The)		(18,272	)		(904,647	)		(4,385	)
Halliburton Co.		(85,982	)		(3,859,732	)		(34,393	)
Halyard Health, Inc.		(36,252	)		(1,188,341	)		9,426
Hancock Holding Co.		(24,164	)		(642,584	)		11,662
Hanesbrands, Inc.		(47,284	)		(1,284,056	)		95,809
Harley-Davidson, Inc.		(69,246	)		(3,121,610	)		(15,234	)
Harman International Industries, Inc.		(26,135	)		(2,086,096	)		209,080
Harris Corp.		(29,190	)		(2,363,310	)		(72,303	)
Helmerich & Payne, Inc.		(20,208	)		(1,308,266	)		(48,297	)
Henry Schein, Inc.		(6,885	)		(1,228,340	)		11,072
Hertz Global Holdings, Inc.		(136,481	)		(1,469,900	)		(40,944	)
Hess Corp.		(8,299	)		(500,513	)		1,743
Hexcel Corp.		(35,557	)		(1,563,827	)		83,234
Hill-Rom Holdings, Inc.		(15,735	)		(792,100	)		(1,731	)
Hilton Worldwide Holdings, Inc.		(40,153	)		(864,205	)		(40,442	)
Howard Hughes Corp. (The)		(29,593	)		(3,399,940	)		16,868
Huntington Bancshares, Inc.		(52,183	)		(549,487	)		82,971
IDEX Corp.		(7,849	)		(673,680	)		29,277
IDEXX Laboratories, Inc.		(29,890	)		(2,631,516	)		(144,070	)
Illumina, Inc.		(44,378	)		(6,550,193	)		320,409
Incyte Corp.		(29,173	)		(2,494,000	)		160,743
Intercontinental Exchange, Inc.		(5,226	)		(1,379,341	)		41,694
International Flavors & Fragrances, Inc.		(13,882	)		(1,788,557	)		38,453
Janus Capital Group, Inc.		(49,429	)		(762,195	)		74,143
JB Hunt Transport Services, Inc.		(8,295	)		(684,918	)		13,604
JC Penney Co., Inc.		(206,465	)		(1,738,982	)		(94,427	)
Johnson Controls, Inc.		(64,947	)		(2,900,830	)		26,276
Juno Therapeutics, Inc.		(12,620	)		(582,789	)		97,676
Kansas City Southern		(41,343	)		(3,775,443	)		50,852
KAR Auction Services, Inc.		(9,698	)		(400,534	)		(4,260	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Kate Spade & Co.		(32,274	)	$	(684,209	)	$	19,042
KBR, Inc.		(36,376	)		(544,185	)		62,567
Keysight Technologies, Inc.		(12,020	)		(378,446	)		28,784
Kirby Corp.		(21,472	)		(1,532,511	)		192,873
KLX, Inc.		(51,149	)		(1,754,411	)		168,792
Knowles Corp.		(193,151	)		(3,018,950	)		376,644
Kosmos Energy Ltd.		(295,759	)		(1,718,360	)		106,473
Kroger Co. (The)		(10,434	)		(382,159	)		(1,708	)
Laredo Petroleum, Inc.		(70,272	)		(879,128	)		142,677
Leggett & Platt, Inc.		(9,678	)		(490,287	)		(4,355	)
LendingClub Corp.		(109,391	)		(518,513	)		48,132
Lennar Corp.		(38,941	)		(1,783,887	)		(11,293	)
Leucadia National Corp.		(48,054	)		(854,444	)		21,668
Level 3 Communications, Inc.		(9,760	)		(516,206	)		13,664
Liberty Broadband Corp.		(45,938	)		(2,717,838	)		(38,442	)
LinkedIn Corp.		(2,847	)		(388,521	)		(150,273	)
Lions Gate Entertainment Corp.		(105,800	)		(2,430,226	)		289,892
Live Nation Entertainment, Inc.		(87,069	)		(2,134,529	)		88,408
LKQ Corp.		(23,668	)		(769,210	)		18,934
Lockheed Martin Corp.		(6,600	)		(1,580,040	)		(57,882	)
Loews Corp.		(113,612	)		(4,567,202	)		(101,115	)
Louisiana-Pacific Corp.		(134,086	)		(2,458,977	)		132,585
Lumentum Holdings, Inc.		(26,899	)		(675,434	)		24,478
M&T Bank Corp.		(10,850	)		(1,301,783	)		18,988
Macquarie Infrastructure Corp.		(57,036	)		(4,191,576	)		(31,940	)
Madison Square Garden Co. (The)		(3,697	)		(620,395	)		(17,374	)
Manitowoc Foodservice, Inc.		(37,124	)		(629,672	)		(24,452	)
Markel Corp.		(837	)		(797,971	)		494
MarketAxess Holdings, Inc.		(16,817	)		(2,407,040	)		(38,152	)
Marsh & McLennan Cos., Inc.		(27,432	)		(1,818,742	)		(59,253	)
Martin Marietta Materials, Inc.		(8,165	)		(1,527,916	)		(39,764	)
MasterCard, Inc.		(24,018	)		(2,321,100	)		206,074
Mattel, Inc.		(68,596	)		(2,170,319	)		23,950
MAXIMUS, Inc.		(31,504	)		(1,793,020	)		48,643
MDC Holdings, Inc.		(15,534	)		(372,438	)		(5,659	)
MDU Resources Group, Inc.		(208,502	)		(4,818,003	)		(186,045	)
MEDNAX, Inc.		(25,673	)		(1,760,475	)		(99,021	)
Memorial Resource Development Corp.		(70,729	)		(1,176,223	)		53,047
Mercury General Corp.		(12,113	)		(640,998	)		(2,929	)
MGM Resorts International		(28,657	)		(706,924	)		58,416
Microchip Technology, Inc.		(14,824	)		(767,290	)		14,824
Microsemi Corp.		(31,221	)		(1,059,876	)		39,574

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

AQR Funds Semi-Annual Report June 2016

42

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Middleby Corp. (The)		(25,732	)	$	(3,229,623	)	$	264,010
Minerals Technologies, Inc.		(2,939	)		(173,871	)		6,936
Mohawk Industries, Inc.		(5,465	)		(1,077,753	)		40,714
Molson Coors Brewing Co.		(22,945	)		(2,362,417	)		41,989
Monster Beverage Corp.		(29,818	)		(4,609,658	)		(182,393	)
Moody’s Corp.		(16,242	)		(1,639,558	)		117,521
Mosaic Co. (The)		(26,726	)		(751,990	)		52,303
Murphy Oil Corp.		(11,779	)		(372,928	)		(1,056	)
Nabors Industries Ltd.		(107,635	)		(1,117,756	)		36,025
National Fuel Gas Co.		(50,278	)		(2,821,601	)		(38,211	)
National Instruments Corp.		(47,590	)		(1,372,291	)		68,325
National Oilwell Varco, Inc.		(43,238	)		(1,507,709	)		52,750
Navient Corp.		(35,873	)		(484,484	)		55,802
Netflix, Inc.		(16,710	)		(1,676,034	)		147,403
NetScout Systems, Inc.		(168,331	)		(4,189,438	)		444,073
NetSuite, Inc.		(31,805	)		(2,674,800	)		359,396
Newell Brands, Inc.		(41,873	)		(2,012,416	)		(21,355	)
Newfield Exploration Co.		(52,516	)		(2,097,489	)		(222,668	)
NewMarket Corp.		(2,703	)		(1,093,418	)		(26,652	)
Nielsen Holdings plc		(56,143	)		(3,048,565	)		130,813
Noble Energy, Inc.		(44,274	)		(1,591,650	)		3,542
Nordson Corp.		(15,390	)		(1,361,861	)		75,103
Northern Trust Corp.		(28,683	)		(2,102,751	)		202,215
NorthStar Asset Management Group, Inc.		(60,290	)		(712,025	)		96,464
Norwegian Cruise Line Holdings Ltd.		(44,456	)		(2,019,165	)		248,038
NOW, Inc.		(52,345	)		(991,938	)		42,399
NRG Energy, Inc.		(250,020	)		(4,467,857	)		720,058
Occidental Petroleum Corp.		(42,755	)		(3,224,155	)		(6,413	)
OGE Energy Corp.		(34,514	)		(1,079,943	)		(50,390	)
Old Dominion Freight Line, Inc.		(17,255	)		(1,085,512	)		44,863
Olin Corp.		(79,797	)		(1,892,785	)		(89,373	)
ONEOK, Inc.		(56,403	)		(2,543,775	)		(132,547	)
Oshkosh Corp.		(16,646	)		(782,362	)		(11,819	)
Owens-Illinois, Inc.		(68,298	)		(1,369,375	)		139,328
PacWest Bancorp		(29,035	)		(1,201,014	)		46,002
Palo Alto Networks, Inc.		(35,944	)		(5,017,782	)		609,610
Pandora Media, Inc.		(298,874	)		(3,637,297	)		(83,685	)
PAREXEL International Corp.		(14,838	)		(934,200	)		1,187
Patterson Cos., Inc.		(41,347	)		(2,038,230	)		58,122
Patterson-UTI Energy, Inc.		(133,492	)		(2,696,538	)		(149,511	)
PayPal Holdings, Inc.		(33,483	)		(1,275,702	)		53,238
Penske Automotive Group, Inc.		(28,927	)		(1,105,898	)		195,854
People’s United Financial, Inc.		(23,980	)		(378,987	)		27,440

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Platform Specialty Products Corp.		(158,181	)	$	(1,657,737	)	$	253,090
PolyOne Corp.		(19,935	)		(757,331	)		54,821
PPL Corp.		(26,170	)		(1,026,387	)		38,470
Praxair, Inc.		(17,528	)		(1,957,001	)		(12,971	)
Premier, Inc.		(84,249	)		(2,866,151	)		111,209
Prestige Brands Holdings, Inc.		(8,234	)		(441,122	)		(15,041	)
Primerica, Inc.		(11,474	)		(666,984	)		10,212
Prosperity Bancshares, Inc.		(21,111	)		(1,146,116	)		69,666
PulteGroup, Inc.		(67,967	)		(1,270,983	)		(53,694	)
Qorvo, Inc.		(11,929	)		(653,828	)		(5,368	)
Range Resources Corp.		(23,190	)		(1,046,215	)		45,799
Regeneron Pharmaceuticals, Inc.		(2,203	)		(855,839	)		86,485
Restoration Hardware Holdings, Inc.		(35,293	)		(1,238,078	)		225,875
Rice Energy, Inc.		(28,579	)		(589,013	)		(40,868	)
Rockwell Collins, Inc.		(33,883	)		(3,013,011	)		128,213
Rollins, Inc.		(21,808	)		(628,943	)		(9,377	)
Roper Technologies, Inc.		(11,131	)		(1,934,345	)		35,842
Royal Caribbean Cruises Ltd.		(5,012	)		(381,861	)		45,305
RPC, Inc.		(35,704	)		(583,046	)		28,563
RPM International, Inc.		(7,383	)		(377,167	)		8,386
Ryder System, Inc.		(22,429	)		(1,557,021	)		185,712
S&P Global, Inc.		(7,383	)		(810,605	)		18,704
salesforce.com, Inc.		(18,180	)		(1,505,849	)		62,176
SBA Communications Corp.		(48,228	)		(4,926,490	)		(279,240	)
Schlumberger Ltd.		(44,145	)		(3,491,428	)		441
Scotts Miracle-Gro Co. (The)		(6,361	)		(448,132	)		3,435
Seagate Technology plc		(15,713	)		(376,063	)		(6,706	)
Seattle Genetics, Inc.		(48,366	)		(2,107,790	)		153,320
Sempra Energy		(20,243	)		(2,207,094	)		(101,013	)
ServiceNow, Inc.		(23,152	)		(1,737,789	)		200,496
Signature Bank		(8,798	)		(1,182,275	)		83,229
Signet Jewelers Ltd.		(13,471	)		(1,188,127	)		77,982
Silgan Holdings, Inc.		(16,320	)		(849,456	)		9,629
Sirius XM Holdings, Inc.		(294,148	)		(1,173,651	)		11,766
Six Flags Entertainment Corp.		(9,834	)		(565,750	)		(4,130	)
Snyder’s-Lance, Inc.		(17,195	)		(553,384	)		(29,354	)
Sotheby’s		(55,473	)		(1,749,519	)		229,559
Southern Co. (The)		(15,042	)		(754,055	)		(52,647	)
Spectra Energy Corp.		(30,547	)		(1,003,163	)		(115,773	)
Spectrum Brands Holdings, Inc.		(26,712	)		(3,164,838	)		(22,171	)
Spirit Airlines, Inc.		(61,373	)		(2,671,799	)		(82,008	)
Splunk, Inc.		(48,441	)		(2,864,316	)		239,783
Sprouts Farmers Market, Inc.		(102,057	)		(2,461,615	)		124,510
SS&C Technologies Holdings, Inc.		(100,478	)		(3,075,370	)		253,948

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

AQR Funds Semi-Annual Report June 2016

43

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
State Street Corp.		(6,971	)	$	(433,762	)	$	57,885
Stericycle, Inc.		(46,054	)		(4,575,925	)		(219,217	)
Stifel Financial Corp.		(19,504	)		(735,600	)		122,199
SunPower Corp.		(120,413	)		(2,097,404	)		232,207
Superior Energy Services, Inc.		(67,044	)		(1,255,734	)		21,454
SVB Financial Group		(8,046	)		(872,456	)		106,799
Targa Resources Corp.		(41,905	)		(1,884,049	)		118,172
Teleflex, Inc.		(2,727	)		(456,909	)		(26,616	)
Tempur Sealy International, Inc.		(21,030	)		(1,288,117	)		124,738
Tenet Healthcare Corp.		(73,874	)		(2,191,103	)		149,225
TerraForm Power, Inc.		(55,206	)		(486,365	)		(115,381	)
Tesla Motors, Inc.		(29,200	)		(6,536,033	)		337,457
Thermo Fisher Scientific, Inc.		(9,706	)		(1,486,862	)		52,704
Tiffany & Co.		(12,418	)		(781,504	)		28,476
TopBuild Corp.		(11,651	)		(419,436	)		(2,330	)
Torchmark Corp.		(8,715	)		(530,569	)		(8,192	)
Tractor Supply Co.		(4,175	)		(397,919	)		17,243
TransDigm Group, Inc.		(19,996	)		(5,305,309	)		32,564
TreeHouse Foods, Inc.		(10,775	)		(1,042,958	)		(63,096	)
TRI Pointe Group, Inc.		(98,649	)		(1,159,126	)		(6,905	)
Trustmark Corp.		(6,371	)		(157,746	)		(573	)
Tupperware Brands Corp.		(6,504	)		(377,084	)		11,039
Twenty-First Century Fox, Inc.		(29,075	)		(855,968	)		69,489
Twitter, Inc.		(71,112	)		(1,085,880	)		(116,624	)
Tyler Technologies, Inc.		(17,203	)		(2,741,174	)		(126,738	)
UGI Corp.		(10,065	)		(440,243	)		(15,198	)
Ulta Salon Cosmetics & Fragrance, Inc.		(2,221	)		(528,317	)		(12,807	)
Ultimate Software Group, Inc. (The)		(11,342	)		(2,360,837	)		(24,272	)
Umpqua Holdings Corp.		(38,755	)		(617,755	)		18,215
Under Armour, Inc.		(107,623	)		(4,033,117	)		(285,794	)
United Rentals, Inc.		(24,296	)		(1,790,482	)		160,221
United States Steel Corp.		(43,011	)		(688,606	)		(36,559	)
Valley National Bancorp		(115,872	)		(1,105,419	)		48,666
Veeva Systems, Inc.		(38,561	)		(1,352,334	)		36,633
Verisk Analytics, Inc.		(64,696	)		(5,167,024	)		(78,528	)
Vertex Pharmaceuticals, Inc.		(14,549	)		(1,388,983	)		137,478
VF Corp.		(12,231	)		(770,328	)		18,244
Visa, Inc.		(37,111	)		(2,988,920	)		236,397
Vista Outdoor, Inc.		(26,354	)		(1,264,201	)		6,325
Vulcan Materials Co.		(12,755	)		(1,484,554	)		(50,637	)
WABCO Holdings, Inc.		(4,130	)		(448,022	)		69,838
Wabtec Corp.		(13,270	)		(1,035,856	)		103,904
Walgreens Boots Alliance, Inc.		(5,096	)		(401,213	)		(23,131	)
Webster Financial Corp.		(33,724	)		(1,317,901	)		172,971
WEC Energy Group, Inc.		(118,851	)		(7,262,985	)		(497,986	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WestRock Co.		(60,057	)	$	(2,416,694	)	$	82,278
WEX, Inc.		(4,102	)		(389,837	)		26,113
WGL Holdings, Inc.		(19,818	)		(1,323,050	)		(79,867	)
White Mountains Insurance Group Ltd.		(491	)		(396,458	)		(16,964	)
WhiteWave Foods Co. (The)		(98,640	)		(4,549,984	)		(80,177	)
Whole Foods Market, Inc.		(40,946	)		(1,428,121	)		117,030
Williams-Sonoma, Inc.		(7,008	)		(378,152	)		12,825
WisdomTree Investments, Inc.		(293,752	)		(3,359,179	)		483,347
Woodward, Inc.		(6,416	)		(376,689	)		6,871
Workday, Inc.		(29,516	)		(2,415,589	)		211,630
WPX Energy, Inc.		(82,460	)		(900,412	)		132,709
Wynn Resorts Ltd.		(22,293	)		(2,220,164	)		199,526
Yahoo!, Inc.		(41,156	)		(1,525,653	)		(20,166	)
Zayo Group Holdings, Inc.		(197,872	)		(5,490,948	)		(35,617	)
Zebra Technologies Corp.		(18,942	)		(1,058,479	)		109,485
Zimmer Biomet Holdings, Inc.		(29,113	)		(3,538,394	)		33,771
Zions Bancorporation		(61,345	)		(1,783,824	)		242,224
Zoetis, Inc.		(27,660	)		(1,337,661	)		24,917
								20,270,436
Total of Short Equity Positions								22,158,910
Total of Long and Short Equity Positions								9,157,038
Net Cash and Other Receivables/ (Payables) (b)								517,232
Swaps, at Value							$	9,674,270

(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 Semi-Annual Report June 2016

44

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	4-25 months maturity 10/12/2016		$238,587

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
BHP Billiton plc		29,431	$	346,404	$	26,102
Ireland
DCC plc		31,752		2,662,868		131,296
Experian plc		30,209		523,608		49,520
						180,816
Japan
NOK Corp.		35,700		649,511		(42,410	)
Luxembourg
Regus plc		252,585		1,057,076		(80,419	)
Netherlands
Royal Dutch Shell plc		53,194		1,192,504		268,478
South Africa
Investec plc		54,698		341,751		(1,761	)
Mondi plc		83,825		1,497,304		72,108
						70,347
Switzerland
Coca-Cola HBC AG		49,123		915,601		78,379
Glencore plc		1,242,653		2,355,148		206,111
Wolseley plc		7,084		346,256		20,579
						305,069
United Kingdom
Amec Foster Wheeler plc		384,017		2,246,031		278,920
Anglo American plc		156,379		1,414,635		118,230
ASOS plc		24,715		1,156,460		163,795
Barratt Developments plc		244,690		1,852,870		(523,218	)
Bellway plc		69,618		2,449,738		(683,699	)
Berkeley Group Holdings plc		92,247		3,953,718		(838,750	)
BP plc		562,831		2,743,075		551,467
Britvic plc		101,609		908,060		(112,945	)
Centrica plc		255,310		706,835		65,221

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Close Brothers Group plc		25,585	$	445,339	$	(57,515	)
Daily Mail & General Trust plc		56,267		505,400		(56,223	)
GKN plc		93,135		343,035		(6,309	)
Henderson Group plc		23,908		83,235		(15,266	)
Howden Joinery Group plc		87,095		579,946		(132,621	)
ICAP plc		17,977		103,299		(2,147	)
Imperial Brands plc		84,474		4,263,610		317,650
Inchcape plc		94,851		858,657		(61,118	)
Indivior plc		227,708		631,954		134,243
Informa plc		49,809		453,793		31,911
Intermediate Capital Group plc		47,290		415,426		(105,588	)
John Wood Group plc		275,103		2,330,297		202,067
Johnson Matthey plc		9,456		385,724		(31,056	)
Jupiter Fund Management plc		26,800		155,253		(23,651	)
Kingfisher plc		223,910		1,093,750		(132,037	)
Man Group plc		204,286		360,225		(42,829	)
Marks & Spencer Group plc		239,847		1,158,051		(130,900	)
Meggitt plc		303,635		1,591,729		58,661
Melrose Industries plc		138,029		710,832		73,324
National Grid plc		75,344		983,220		124,738
Persimmon plc		98,330		2,653,639		(746,854	)
Petrofac Ltd.		155,958		1,612,269		8,853
Playtech plc		14,231		159,558		(8,162	)
Reckitt Benckiser Group plc		12,258		1,134,216		94,914
Rentokil Initial plc		482,525		1,175,723		70,355
Rightmove plc		2,911		163,834		(21,658	)
Rio Tinto plc		58,047		1,533,608		269,711
Royal Mail plc		410,880		2,931,908		(171,392	)
Severn Trent plc		65,162		1,989,632		136,553
Sky plc		30,835		387,621		(37,229	)
Smith & Nephew plc		40,582		631,650		57,480
Smiths Group plc		131,850		1,978,673		58,833
SSE plc		25,257		521,912		3,766
Stagecoach Group plc		283,566		973,755		(96,794	)
Tate & Lyle plc		43,391		367,216		20,741
Taylor Wimpey plc		760,730		1,909,551		(559,951	)

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

AQR Funds Semi-Annual Report June 2016

45

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Thomas Cook Group plc		1,085,081		$	1,027,285		$	(115,415	)
UBM plc		19,364			172,900			(6,829	)
Vedanta Resources plc		125,812			673,915			29,125
Weir Group plc (The)		22,951			382,182			61,081
William Hill plc		370,095			1,519,916			(245,106	)
WM Morrison Supermarkets plc		331,397			829,628			2,312
WPP plc		40,209			848,384			(10,372	)
								(2,041,683	)
Total of Long Equity Positions								(1,313,700	)
Short Positions
Common Stocks
Chile
Antofagasta plc		(238,094	)		(1,427,433	)		(61,371	)
Ireland
Shire plc		(40,950	)		(2,377,779	)		(153,034	)
United Kingdom
AA plc		(134,129	)		(500,429	)		70,997
Aberdeen Asset Management plc		(175,248	)		(624,008	)		(33,503	)
Admiral Group plc		(85,003	)		(2,227,648	)		(83,590	)
Aggreko plc		(21,825	)		(342,695	)		(30,578	)
ARM Holdings plc		(360,166	)		(4,794,381	)		(676,442	)
Ashtead Group plc		(307,281	)		(4,005,382	)		(383,797	)
Associated British Foods plc		(44,871	)		(1,763,552	)		128,527
AstraZeneca plc		(16,660	)		(903,789	)		(92,205	)
Auto Trader Group plc		(75,041	)		(407,739	)		52,999
Aviva plc		(198,302	)		(1,170,455	)		125,148
Babcock International Group plc		(44,706	)		(624,790	)		84,284
BAE Systems plc		(95,265	)		(621,969	)		(44,940	)
Balfour Beatty plc		(130,830	)		(405,852	)		29,802
Booker Group plc		(317,960	)		(759,806	)		23,479
British American Tobacco plc		(58,339	)		(3,312,494	)		(469,567	)
BTG plc		(241,897	)		(2,191,497	)		(144,815	)
Bunzl plc		(70,043	)		(1,918,426	)		(236,695	)
Capita plc		(267,351	)		(3,756,519	)		311,563
Cobham plc		(272,451	)		(494,059	)		(79,949	)
Croda International plc		(8,869	)		(346,247	)		(26,059	)
Diageo plc		(33,036	)		(825,745	)		(97,138	)
DS Smith plc		(119,645	)		(620,800	)		1,791
easyJet plc		(132,649	)		(2,653,904	)		726,300
Essentra plc		(129,596	)		(1,491,306	)		602,148
G4S plc		(150,967	)		(376,953	)		7,029
GlaxoSmithKline plc		(18,062	)		(350,296	)		(37,586	)
Halma plc		(104,597	)		(1,316,017	)		(106,609	)
Hargreaves Lansdown plc		(131,917	)		(2,334,503	)		133,991
Hays plc		(217,830	)		(393,360	)		108,744

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Hiscox Ltd.		(21,689	)	$	(280,958	)	$	(18,511	)
HSBC Holdings plc		(58,629	)		(348,115	)		(15,124	)
IMI plc		(47,478	)		(639,612	)		24,330
Inmarsat plc		(63,279	)		(588,618	)		(93,332	)
International Consolidated Airlines Group SA		(287,217	)		(1,992,441	)		567,932
ITV plc		(210,014	)		(590,199	)		86,654
Legal & General Group plc		(547,474	)		(1,708,431	)		306,844
Lloyds Banking Group plc		(1,834,967	)		(1,692,445	)		363,396
Merlin Entertainments plc		(144,583	)		(831,167	)		(20,279	)
Next plc		(5,133	)		(365,330	)		26,163
Old Mutual plc		(1,006,407	)		(2,451,790	)		(266,985	)
Pennon Group plc		(40,295	)		(456,447	)		(53,176	)
Provident Financial plc		(39,708	)		(1,515,448	)		291,097
Prudential plc		(129,269	)		(2,295,270	)		101,716
Rolls-Royce Holdings plc		(219,704	)		(1,781,423	)		(315,645	)
Rotork plc		(132,210	)		(343,935	)		(38,818	)
Royal Bank of Scotland Group plc		(331,984	)		(1,003,909	)		251,582
RSA Insurance Group plc		(123,841	)		(798,204	)		(31,824	)
Schroders plc		(32,537	)		(1,152,260	)		124,070
Serco Group plc		(352,642	)		(522,945	)		(1,860	)
Spectris plc		(17,899	)		(400,130	)		(35,562	)
Spirax-Sarco Engineering plc		(7,790	)		(363,297	)		(26,784	)
St. James’s Place plc		(273,918	)		(3,253,213	)		364,534
Standard Chartered plc		(178,994	)		(1,271,291	)		(86,732	)
Standard Life plc		(390,206	)		(1,717,747	)		178,244
Tesco plc		(1,245,478	)		(2,622,472	)		(302,653	)
Vodafone Group plc		(308,003	)		(927,909	)		(11,149	)
Whitbread plc		(6,625	)		(360,335	)		50,356
Worldpay Group plc		(293,782	)		(1,087,588	)		18,310
								1,300,123
Total of Short Equity Positions								1,085,718
Total of Long and Short Equity Positions								(227,982	)
Net Cash and Other Receivables/ (Payables) (b)								466,569
Swaps, at Value							$	238,587

(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 Semi-Annual Report June 2016

46

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	5-25 months maturity 10/13/2016		$556,036

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
AGL Energy Ltd.		225,506	$	3,182,160	$	92,888
Ansell Ltd.		125,684		1,788,581		(68,465	)
Aurizon Holdings Ltd.		991,698		3,393,221		204,946
Boral Ltd.		368,063		1,810,629		(82,637	)
Caltex Australia Ltd.		129,931		3,168,956		(36,325	)
CIMIC Group Ltd.		99,676		2,811,972		(120,956	)
Coca-Cola Amatil Ltd.		445,568		2,904,521		(154,029	)
Cochlear Ltd.		11,743		1,072,599		(1,174	)
Flight Centre Travel Group Ltd.		25,011		576,237		18,788
Fortescue Metals Group Ltd.		670,934		1,612,294		183,155
Harvey Norman Holdings Ltd.		319,224		1,049,680		61,088
Iluka Resources Ltd.		86,411		426,790		(793	)
Incitec Pivot Ltd.		144,385		363,158		(38,825	)
Newcrest Mining Ltd.		83,500		1,376,202		71,007
Oil Search Ltd.		169,293		838,765		16,091
Origin Energy Ltd.		186,670		793,317		22,268
Qantas Airways Ltd.		698,866		1,520,816		(40,393	)
Santos Ltd.		226,320		747,443		53,681
Star Entertainment Grp Ltd. (The)		310,051		1,291,870		(28,497	)
Tabcorp Holdings Ltd.		395,492		1,300,582		61,797
Tatts Group Ltd.		472,887		1,392,397		(31,555	)
Telstra Corp. Ltd.		421,641		1,754,636		7,711
TPG Telecom Ltd.		45,052		411,925		(7,950	)
Treasury Wine Estates Ltd.		370,911		2,864,741		(287,327	)
Woodside Petroleum Ltd.		99,310		2,001,398		12,336
WorleyParsons Ltd.		124,824		668,594		16,375
						(76,795	)
Total of Long Equity Positions						(76,795	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Australia
ALS Ltd.		(514,891	)	$	(1,977,519	)	$	71,521
Alumina Ltd.		(1,420,405	)		(1,538,392	)		142,177
AMP Ltd.		(360,258	)		(1,481,835	)		77,834
APA Group		(704,037	)		(4,579,512	)		(317,322	)
AusNet Services		(518,396	)		(601,249	)		(37,217	)
Australia & New Zealand Banking Group Ltd.		(22,196	)		(412,844	)		8,432
Bank of Queensland Ltd.		(100,433	)		(821,207	)		19,927
Brambles Ltd.		(184,725	)		(1,758,527	)		33,863
Commonwealth Bank of Australia		(24,939	)		(1,423,833	)		24,003
Computershare Ltd.		(288,151	)		(2,253,420	)		260,881
Crown Resorts Ltd.		(110,694	)		(971,419	)		(81,445	)
CSL Ltd.		(23,946	)		(2,092,794	)		73,367
Healthscope Ltd.		(1,447,946	)		(3,131,259	)		15,378
Insurance Australia Group Ltd.		(718,760	)		(3,064,864	)		104,099
Medibank Pvt Ltd.		(643,865	)		(1,549,639	)		121,830
National Australia Bank Ltd.		(19,310	)		(381,048	)		10,307
Platinum Asset Management Ltd.		(226,294	)		(1,077,505	)		94,692
QBE Insurance Group Ltd.		(66,665	)		(601,884	)		75,257
Ramsay Health Care Ltd.		(48,512	)		(2,649,078	)		27,222
SEEK Ltd.		(422,629	)		(4,968,730	)		117,100
Sonic Healthcare Ltd.		(115,646	)		(1,862,635	)		(12,810	)
South32 Ltd.		(319,452	)		(383,879	)		9,230
Suncorp Group Ltd.		(72,172	)		(675,696	)		13,884
Sydney Airport		(72,091	)		(385,318	)		8,885
Transurban Group		(164,918	)		(1,467,402	)		(17,977	)
Vocus Communications Ltd.		(63,721	)		(440,869	)		19,978
Westpac Banking Corp.		(49,727	)		(1,121,502	)		18,779
								881,875

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

AQR Funds Semi-Annual Report June 2016

47

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Ireland
James Hardie Industries plc		(32,891	)	$	(523,680	)	$	14,285
Total of Short Equity Positions								896,160
Total of Long and Short Equity Positions								819,365
Net Cash and Other Receivables/ (Payables) (b)								(263,329	)
Swaps, at Value							$	556,036

(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)
MSIP	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.	4-25 months maturity 10/12/2016		$(2,580,989	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		4,769	$	564,120	$	(41,578	)
Air France-KLM		81,922		622,426		(105,431	)
Arkema SA		6,136		491,158		(22,044	)
Atos SE		30,504		2,740,031		(225,008	)
AXA SA		42,352		1,024,961		(187,551	)
BioMerieux		3,195		421,062		11,859
Capgemini SA		17,707		1,698,926		(170,939	)
Cie de Saint-Gobain		13,401		580,694		(72,721	)
Cie Generale des Etablissements Michelin		13,209		1,360,587		(115,763	)
CNP Assurances		94,312		1,593,699		(202,243	)
Dassault Systemes		4,876		374,793		(7,162	)
Eiffage SA		26,532		1,986,038		(99,877	)
Elior Participations SCA		10,760		243,798		(10,315	)
Eutelsat Communications SA		39,373		708,047		35,122
Faurecia		35,095		1,362,724		(248,544	)
Imerys SA		2,643		186,759		(18,120	)
Ipsen SA		19,189		1,213,622		(37,895	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Lagardere SCA		32,452	$	751,832	$	(45,935	)
Numericable-SFR SA		15,427		480,717		(95,199	)
Orange SA		114,563		1,954,050		(91,197	)
Peugeot SA		265,557		4,039,773		(856,782	)
Publicis Groupe SA		11,037		755,717		(17,314	)
Renault SA		14,256		1,270,119		(193,827	)
Safran SA		21,282		1,449,151		(15,982	)
Sanofi		9,446		758,850		25,949
SCOR SE		50,299		1,634,942		(147,850	)
SEB SA		4,865		618,068		(31,465	)
Societe BIC SA		7,480		990,721		63,169
Sodexo SA		20,805		2,189,107		39,721
Technip SA		6,720		369,684		(5,964	)
Teleperformance		32,297		2,821,784		(70,659	)
Television Francaise 1		9,635		119,247		(17,209	)
Thales SA		41,968		3,567,933		(82,730	)
TOTAL SA		16,809		791,324		14,769
Valeo SA		41,109		2,046,229		(221,233	)
Veolia Environnement SA		80,706		1,827,103		(84,287	)
						(3,352,235	)

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

AQR Funds Semi-Annual Report June 2016

48

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Sports Direct International plc		142,071		$	684,051		$	(75,752	)
Total of Long Equity Positions								(3,427,987	)
Short Positions
Common Stocks
France
Accor SA		(20,967	)		(923,261	)		119,886
Air Liquide SA		(20,723	)		(2,179,927	)		20,970
Airbus Group SE		(21,063	)		(1,241,254	)		33,924
Alstom SA		(54,292	)		(1,369,813	)		116,290
Bollore SA		(451,466	)		(1,626,756	)		106,888
Bouygues SA		(22,697	)		(719,595	)		69,364
Bureau Veritas SA		(36,991	)		(805,621	)		28,993
Carrefour SA		(77,402	)		(2,084,215	)		180,463
Credit Agricole SA		(39,581	)		(380,408	)		47,653
Danone SA		(30,169	)		(2,101,814	)		(9,492	)
Edenred		(187,700	)		(3,485,239	)		(358,126	)
Electricite de France SA		(151,444	)		(1,906,016	)		69,724
Essilor International SA		(10,109	)		(1,332,897	)		4,281
Hermes International		(1,007	)		(363,530	)		(11,858	)
Iliad SA		(2,646	)		(565,306	)		31,174
Ingenico Group SA		(22,251	)		(2,675,162	)		96,161
JCDecaux SA		(8,429	)		(338,247	)		54,047
Kering		(3,924	)		(658,411	)		26,718
Legrand SA		(9,423	)		(518,895	)		36,519
L’Oreal SA		(12,324	)		(2,297,859	)		(61,613	)
LVMH Moet Hennessy Louis Vuitton SE		(3,244	)		(522,670	)		33,686

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Natixis SA		(187,319	)	$	(869,219	)	$	164,363
Orpea		(13,512	)		(1,104,781	)		(3,159	)
Pernod Ricard SA		(7,707	)		(842,619	)		(10,672	)
Plastic Omnium SA		(7,938	)		(264,494	)		42,579
Remy Cointreau SA		(6,935	)		(584,181	)		(12,792	)
Suez		(33,575	)		(555,467	)		31,780
Vallourec SA		(274,224	)		(1,023,765	)		53,850
Zodiac Aerospace		(153,146	)		(3,642,187	)		69,523
								971,124
Luxembourg
Eurofins Scientific SE		(2,320	)		(881,295	)		21,799
SES SA		(24,109	)		(503,012	)		(13,103	)
								8,696
Total of Short Equity Positions								979,820
Total of Long and Short Equity Positions								(2,448,167	)
Net Cash and Other Receivables/ (Payables) (b)								(132,822	)
Swaps, at Value							$	(2,580,989	)

(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 Semi-Annual Report June 2016

49

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	5-25 months maturity 10/14/2016		$278,302

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
BOC Hong Kong Holdings Ltd.		215,000		$	670,633		$	(22,762	)
CLP Holdings Ltd.		309,000			2,977,206			179,287
HKT Trust & HKT Ltd.		1,169,000			1,708,044			(21,862	)
Kerry Properties Ltd.		422,500			1,060,306			(14,274	)
Li & Fung Ltd.		1,352,000			696,965			(41,386	)
New World Development Co. Ltd.		2,153,817			2,079,373			113,998
Power Assets Holdings Ltd.		111,500			1,106,047			(80,857	)
Sino Land Co. Ltd.		720,000			1,132,236			53,234
SJM Holdings Ltd.		826,000			519,932			(14,175	)
Techtronic Industries Co. Ltd.		184,000			755,380			13,004
VTech Holdings Ltd.		64,800			703,507			(20,358	)
WH Group Ltd.		5,046,000			3,902,862			93,545
Wheelock & Co. Ltd.		171,000			800,093			3,204
Yue Yuen Industrial Holdings Ltd.		568,000			2,217,602			33,564
								274,162
Total of Long Equity Positions								274,162
Short Positions
Common Stocks
Hong Kong
AIA Group Ltd.		(494,200	)		(2,936,552	)		(35,431	)
ASM Pacific Technology Ltd.		(160,500	)		(1,189,223	)		35,157
Cathay Pacific Airways Ltd.		(902,000	)		(1,413,737	)		90,447
Cheung Kong Property Holdings Ltd.		(117,500	)		(761,034	)		20,707
Galaxy Entertainment Group Ltd.		(364,000	)		(1,188,099	)		99,003

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Haitong International Securities Group Ltd.		(842,000	)	$	(492,477	)	$	(18,815	)
Hang Lung Properties Ltd.		(1,132,000	)		(2,238,246	)		(48,733	)
Hong Kong & China Gas Co. Ltd.		(3,267,430	)		(5,941,467	)		(28,848	)
Hysan Development Co. Ltd.		(101,000	)		(442,661	)		(7,751	)
MGM China Holdings Ltd.		(1,506,000	)		(2,087,509	)		121,117
MTR Corp. Ltd.		(610,568	)		(2,894,889	)		(202,672	)
Sands China Ltd.		(117,600	)		(412,444	)		14,496
Sun Hung Kai Properties Ltd.		(36,000	)		(431,308	)		(3,172	)
Swire Pacific Ltd.		(36,000	)		(403,538	)		(3,306	)
Value Partners Group Ltd.		(1,401,000	)		(1,383,106	)		85,788
Wynn Macau Ltd.		(1,333,600	)		(2,033,594	)		101,096
							$	219,083
Total of Short Equity Positions								219,083
Total of Long and Short Equity Positions								493,245
Net Cash and Other Receivables/ (Payables) (b)								(214,943	)
Swaps, at Value							$	278,302

(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 Semi-Annual Report June 2016

50

Schedule of Investments June 30, 2016 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
JPMC
Cash		$1,670,000	$—		$1,670,000
CITI
Investment Companies		221,646	—		221,646
MSIP
Investment Companies		134,935,393	—		134,935,393

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

AQR Funds Semi-Annual Report June 2016

51

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

SHORT-TERM INVESTMENTS - 91.5%	SHARES		VALUE (Note 5)
Investment Companies - 29.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(a)(b)		9,423,002	$	9,423,002
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(a)(b)		190,051		190,051
Total Investment Companies (cost $9,613,053)				9,613,053
	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligation - 61.6%
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(c)
(cost $19,804,666)	$	19,833		19,813,543
TOTAL SHORT-TERM INVESTMENTS (cost $29,417,719)				29,426,596
TOTAL INVESTMENTS IN SECURITIES, AT VALUE-91.5% (cost $29,417,719)				29,426,596
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.5% (d)			2,724,156
NET ASSETS - 100.0%			$	32,150,752

(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 June 30, 2016:

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
CRSU	(1)		2.000	%	AUD		3,300,000		$(8,337	)		09/13/2018		$21,075
CRSU	(1)		2.000	%	AUD		2,700,000		(5,493	)		09/13/2018		15,915
CRSU	(1)		2.000	%	AUD		3,500,000		11,109			09/13/2018		2,401
CRSU	(1)		2.000	%	AUD		700,000		(1,769	)		09/13/2018		4,471
CRSU	(1)		2.000	%	AUD		2,800,000		6,210			09/13/2018		4,598
CRSU	(1)		2.000	%	AUD		37,600,000		(83,820	)		09/13/2018		228,958
CRSU	(1)		2.000	%	AUD		3,200,000		(4,278	)		09/13/2018		16,630
CRSU	(1)		2.000	%	AUD		3,300,000		10,474			09/13/2018		2,264
CRSU	(1)		2.000	%	AUD		1,700,000		6,108			09/13/2018		455
CRSU	(1)		2.000	%	AUD		11,900,000		32,550			09/13/2018		13,385
CRSU	(1)		2.000	%	AUD		2,900,000		6,432			09/13/2018		4,762
CRSU	(1)		2.000	%	AUD		2,700,000		(494	)		09/13/2018		10,916
CRSU	(1)		2.000	%	AUD		3,200,000		(6,533	)		09/13/2018		18,885
CRSU	(2)		3.000	%	AUD		7,800,000		181,810			09/10/2026		242,116
CRSU	(2)		3.000	%	AUD		7,800,000		166,415			09/10/2026		257,511
CRSU	2.000%			(1)	AUD		3,000,000		(5,023	)		09/13/2018		(6,557	)
CRSU	2.000%			(1)	AUD		2,700,000		3,103			09/13/2018		(13,525	)
CRSU	2.000%			(1)	AUD		34,950,000		(12,116	)		09/13/2018		(122,793	)
CRSU	2.000%			(1)	AUD		34,950,000		(18,441	)		09/13/2018		(116,468	)
CRSU	2.000%			(1)	AUD		15,700,000		27,491			09/13/2018		(88,094	)
CRSU	2.000%			(1)	AUD		5,400,000		9,456			09/13/2018		(30,299	)
CRSU	2.500%			(2)	AUD		700,000		(3,723	)		09/10/2026		(10,430	)
CRSU	2.500%			(2)	AUD		400,000		(7,508	)		09/10/2026		(580	)
CRSU	2.500%			(2)	AUD		600,000		(866	)		09/10/2026		(11,266	)

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

AQR Funds Semi-Annual Report June 2016

52

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	2.500%			(2)	AUD		2,800,000		$ (9,118	)		09/10/2026		$ (47,497	)
CRSU	3.000%			(2)	AUD		600,000		(7,599	)		09/10/2026		(25,011	)
CRSU	3.000%			(2)	AUD		8,400,000		(133,588	)		09/10/2026		(322,948	)
CRSU	3.000%			(2)	AUD		100,000		(1,852	)		09/10/2026		(3,583	)
CRSU	3.000%			(2)	AUD		100,000		(1,750	)		09/10/2026		(3,685	)
CRSU	3.000%			(2)	AUD		800,000		(11,023	)		09/10/2026		(32,457	)
CRSU	3.000%			(2)	AUD		600,000		(9,478	)		09/10/2026		(23,132	)
CRSU	3.000%			(2)	AUD		600,000		(13,202	)		09/10/2026		(19,408	)
CRSU	(3)		0.500	%	CAD		2,700,000		(11,869	)		09/17/2018		(3,130	)
CRSU	(3)		0.500	%	CAD		8,600,000		(41,867	)		09/17/2018		(5,905	)
CRSU	(3)		1.000	%	CAD		2,600,000		4,145			09/17/2018		1,356
CRSU	(3)		1.000	%	CAD		2,700,000		5,170			09/17/2018		542
CRSU	(3)		1.500	%	CAD		600,000		(1,975	)		09/14/2026		9,407
CRSU	(3)		1.500	%	CAD		3,900,000		21,956			09/14/2026		26,352
CRSU	(3)		1.500	%	CAD		2,300,000		9,694			09/14/2026		18,795
CRSU	(3)		1.500	%	CAD		900,000		(10,284	)		09/14/2026		21,432
CRSU	(3)		1.500	%	CAD		500,000		(4,430	)		09/14/2026		10,623
CRSU	(3)		1.500	%	CAD		600,000		(5,411	)		09/14/2026		12,843
CRSU	(3)		1.500	%	CAD		900,000		(5,070	)		09/14/2026		16,218
CRSU	(3)		1.500	%	CAD		600,000		(7,990	)		09/14/2026		15,422
CRSU	(3)		1.500	%	CAD		1,600,000		4,109			09/14/2026		15,709
CRSU	(3)		1.500	%	CAD		700,000		(14,117	)		09/14/2026		22,788
CRSU	0.500%			(3)	CAD		2,700,000		14,676			09/17/2018		323
CRSU	0.500%			(3)	CAD		3,600,000		19,412			09/17/2018		586
CRSU	0.500%			(3)	CAD		2,700,000		14,511			09/17/2018		487
CRSU	0.500%			(3)	CAD		11,100,000		71,988			09/17/2018		(10,329	)
CRSU	0.500%			(3)	CAD		30,000		194			09/17/2018		(28	)
CRSU	0.500%			(3)	CAD		18,200,000		48,940			09/17/2018		52,160
CRSU	0.500%			(3)	CAD		10,900,000		32,844			09/17/2018		27,706
CRSU	0.500%			(3)	CAD		7,400,000		25,235			09/17/2018		15,871
CRSU	0.500%			(3)	CAD		21,000,000		106,142			09/17/2018		10,512
CRSU	0.500%			(3)	CAD		4,000,000		16,067			09/17/2018		6,153
CRSU	0.500%			(3)	CAD		4,700,000		23,755			09/17/2018		2,353
CRSU	1.000%			(3)	CAD		2,600,000		2,880			09/17/2018		(8,381	)
CRSU	1.000%			(3)	CAD		2,600,000		(1,070	)		09/17/2018		(4,431	)
CRSU	1.000%			(3)	CAD		3,600,000		(208	)		09/17/2018		(7,409	)
CRSU	1.000%			(3)	CAD		400,000		(779	)		09/17/2018		(67	)
CRSU	1.500%			(3)	CAD		600,000		(6,745	)		09/14/2026		(687	)
CRSU	1.500%			(3)	CAD		600,000		(1,221	)		09/14/2026		(6,211	)
CRSU	1.500%			(3)	CAD		1,900,000		11,468			09/14/2026		(35,002	)
CRSU	1.500%			(3)	CAD		100,000		(714	)		09/14/2026		(525	)
CRSU	1.500%			(3)	CAD		600,000		5,649			09/14/2026		(13,081	)
CRSU	(4)		0.250	%	CHF		200,000		(2,955	)		09/16/2026		5,694
CRSU	(4)		0.250	%	CHF		400,000		(8,223	)		09/16/2026		13,700
CRSU	(4)		0.250	%	CHF		2,800,000		(42,588	)		09/16/2026		80,923
CRSU	(4)		0.250	%	CHF		400,000		(9,303	)		09/16/2026		14,780
CRSU	(4)		0.250	%	CHF		2,000,000		51,868			09/16/2026		88,868
CRSU	(4)		0.250	%	CHF		10,100,000		361,741			09/16/2026		348,975
CRSU	(4)		0.250	%	CHF		400,000		13,428			09/16/2026		14,719
CRSU	(4)		0.250	%	CHF		400,000		(6,441	)		09/16/2026		11,918
CRSU	(4)		0.250	%	CHF		400,000		(5,161	)		09/16/2026		10,638
CRSU	(4)		0.250	%	CHF		500,000		(9,455	)		09/16/2026		16,301
CRSU	(4)		0.750	%	CHF		37,500,000		29,005			09/19/2018		83,514
CRSU	(4)		0.750	%	CHF		1,300,000		—			09/19/2018		3,901
CRSU	(4)		0.750	%	CHF		25,000,000		19,279			09/19/2018		55,733

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

AQR Funds Semi-Annual Report June 2016

53

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	0.250%			(4)	CHF		7,500,000		$ (189,186	)		09/16/2026		$ (338,574	)
CRSU	0.250%			(4)	CHF		5,000,000		(126,342	)		09/16/2026		(225,498	)
CRSU	0.250%			(4)	CHF		100,000		(818	)		09/16/2026		(550	)
CRSU	0.750%			(4)	CHF		1,900,000		287			09/19/2018		(5,988	)
CRSU	0.750%			(4)	CHF		13,200,000		(33,009	)		09/19/2018		(6,597	)
CRSU	0.750%			(4)	CHF		3,700,000		6,034			09/19/2018		(17,136	)
CRSU	0.750%			(4)	CHF		2,000,000		2,917			09/19/2018		(8,918	)
CRSU	0.750%			(4)	CHF		1,900,000		183			09/19/2018		(5,884	)
CRSU	0.750%			(4)	CHF		2,000,000		(2,904	)		09/19/2018		(3,096	)
CRSU	0.750%			(4)	CHF		2,000,000		3,262			09/19/2018		(9,263	)
CRSU	0.750%			(4)	CHF		50,300,000		9,205			09/19/2018		(160,130	)
CRSU	0.750%			(4)	CHF		10,400,000		6,642			09/19/2018		(37,847	)
CRSU	0.750%			(4)	CHF		1,900,000		1,711			09/19/2018		(7,412	)
CRSU	0.750%			(4)	CHF		2,200,000		1,320			09/19/2018		(7,921	)
CRSU	(5)		0.500	%	EUR		2,200,000		32,354			09/19/2018		2,524
CRSU	(5)		0.500	%	EUR		1,900,000		25,103			09/19/2018		5,019
CRSU	(5)		0.500	%	EUR		9,500,000		118,578			09/19/2018		32,031
CRSU	(5)		0.500	%	EUR		400,000		5,301			09/19/2018		1,041
CRSU	(5)		0.500	%	EUR		19,000,000		232,727			09/19/2018		68,493
CRSU	(5)		0.500	%	EUR		300,000		3,938			09/19/2018		818
CRSU	(5)		0.500	%	EUR		2,800,000		38,501			09/19/2018		5,889
CRSU	(5)		0.500	%	EUR		2,000,000		27,128			09/19/2018		4,579
CRSU	(5)		0.500	%	EUR		1,800,000		27,927			09/19/2018		609
CRSU	(5)		0.500	%	EUR		41,800,000		548,637			09/19/2018		114,046
CRSU	(5)		0.500	%	EUR		1,800,000		21,046			09/19/2018		7,490
CRSU	(5)		0.500	%	EUR		37,700,000		447,813			09/19/2018		149,870
CRSU	(5)		1.000	%	EUR		600,000		15,357			09/16/2026		20,015
CRSU	(5)		1.000	%	EUR		2,000,000		81,284			09/16/2026		36,621
CRSU	(5)		1.000	%	EUR		1,200,000		56,097			09/16/2026		14,646
CRSU	(5)		1.000	%	EUR		500,000		18,585			09/16/2026		10,892
CRSU	(5)		1.000	%	EUR		3,200,000		126,057			09/16/2026		62,591
CRSU	(5)		1.000	%	EUR		1,100,000		32,099			09/16/2026		32,749
CRSU	(5)		1.000	%	EUR		400,000		16,451			09/16/2026		7,130
CRSU	(5)		1.000	%	EUR		2,300,000		100,878			09/16/2026		34,713
CRSU	0.500%			(5)	EUR		1,800,000		(24,651	)		09/19/2018		(3,886	)
CRSU	0.500%			(5)	EUR		2,300,000		(31,155	)		09/19/2018		(5,309	)
CRSU	0.500%			(5)	EUR		6,400,000		(94,531	)		09/19/2018		(6,933	)
CRSU	0.500%			(5)	EUR		3,500,000		(44,951	)		09/19/2018		(10,536	)
CRSU	0.500%			(5)	EUR		5,200,000		(73,400	)		09/19/2018		(9,039	)
CRSU	0.500%			(5)	EUR		300,000		(2,888	)		09/16/2026		1,973
CRSU	0.500%			(5)	EUR		2,000,000		(27,315	)		09/19/2018		(4,392	)
CRSU	0.500%			(5)	EUR		11,300,000		(154,333	)		09/19/2018		(24,813	)
CRSU	0.500%			(5)	EUR		5,500,000		(69,548	)		09/19/2018		(17,648	)
CRSU	0.500%			(5)	EUR		16,000,000		(207,265	)		09/19/2018		(46,394	)
CRSU	0.500%			(5)	EUR		10,100,000		(134,297	)		09/19/2018		(25,825	)
CRSU	0.500%			(5)	EUR		2,300,000		(30,583	)		09/19/2018		(5,880	)
CRSU	1.000%			(5)	EUR		400,000		(9,720	)		09/16/2026		(13,861	)
CRSU	1.000%			(5)	EUR		1,900,000		(63,058	)		09/16/2026		(48,952	)
CRSU	1.000%			(5)	EUR		400,000		(14,100	)		09/16/2026		(9,481	)
CRSU	1.000%			(5)	EUR		7,800,000		(255,186	)		09/16/2026		(204,645	)
CRSU	1.000%			(5)	EUR		3,900,000		(145,638	)		09/16/2026		(84,278	)
CRSU	1.000%			(5)	EUR		400,000		(14,415	)		09/16/2026		(9,166	)
CRSU	1.000%			(5)	EUR		400,000		(21,897	)		09/16/2026		(1,684	)
CRSU	(4)		1.000	%	GBP		17,000,000		57,278			09/19/2018		180,376
CRSU	(4)		1.000	%	GBP		30,200,000		123,316			09/19/2018		298,868

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

AQR Funds Semi-Annual Report June 2016

54

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	(4)		1.000	%	GBP		1,400,000		$ 4,558			09/19/2018		$ 15,013
CRSU	(4)		1.000	%	GBP		3,700,000		20,175			09/19/2018		31,549
CRSU	(4)		1.000	%	GBP		1,400,000		4,558			09/19/2018		15,013
CRSU	(4)		1.000	%	GBP		1,400,000		3,297			09/19/2018		16,275
CRSU	(4)		1.500	%	GBP		300,000		(2,329	)		09/16/2026		21,874
CRSU	(4)		1.500	%	GBP		300,000		2,258			09/16/2026		17,287
CRSU	(4)		1.500	%	GBP		4,700,000		(10,670	)		09/16/2026		316,869
CRSU	(4)		1.500	%	GBP		300,000		5,836			09/16/2026		13,709
CRSU	(4)		1.500	%	GBP		200,000		6,957			09/16/2026		6,073
CRSU	(4)		1.500	%	GBP		400,000		783			09/16/2026		25,276
CRSU	(4)		1.500	%	GBP		300,000		2,313			09/16/2026		17,232
CRSU	(4)		1.500	%	GBP		300,000		(1,380	)		09/16/2026		20,925
CRSU	1.000%			(4)	GBP		3,200,000		(14,210	)		09/19/2018		(30,525	)
CRSU	1.000%			(4)	GBP		8,300,000		(20,668	)		09/19/2018		(95,362	)
CRSU	1.000%			(4)	GBP		1,400,000		(10,246	)		09/19/2018		(9,325	)
CRSU	1.000%			(4)	GBP		21,700,000		(47,159	)		09/19/2018		(256,199	)
CRSU	1.000%			(4)	GBP		1,500,000		(3,493	)		09/19/2018		(17,477	)
CRSU	1.000%			(4)	GBP		1,400,000		(3,486	)		09/19/2018		(16,086	)
CRSU	1.000%			(4)	GBP		700,000		(2,359	)		09/19/2018		(7,427	)
CRSU	1.000%			(4)	GBP		1,500,000		(5,529	)		09/19/2018		(15,441	)
CRSU	1.000%			(4)	GBP		900,000		(7,755	)		09/19/2018		(4,827	)
CRSU	1.000%			(4)	GBP		1,400,000		(8,076	)		09/19/2018		(11,495	)
CRSU	1.500%			(4)	GBP		6,200,000		(15,763	)		09/16/2026		(388,160	)
CRSU	1.500%			(4)	GBP		300,000		2,398			09/16/2026		(21,943	)
CRSU	1.500%			(4)	GBP		300,000		2,073			09/16/2026		(21,618	)
CRSU	(4)		0.250	%	JPY		60,000,000		6,549			09/16/2026		10,603
CRSU	(4)		0.250	%	JPY		2,880,000,000		(70,417	)		09/19/2018		20,647
CRSU	(4)		0.250	%	JPY		220,000,000		(2,912	)		09/19/2018		(890	)
CRSU	(4)		0.250	%	JPY		210,000,000		61,500			09/16/2026		(1,469	)
CRSU	(4)		0.250	%	JPY		195,000,000		7,156			09/16/2026		48,587
CITG	(4)		0.250	%	JPY		2,170,000,000		(28,943	)		09/19/2018		(8,558	)
CRSU	(4)		0.250	%	JPY		40,000,000		4,366			09/16/2026		7,069
CRSU	(4)		0.250	%	JPY		40,000,000		4,319			09/16/2026		7,116
CRSU	(4)		0.250	%	JPY		1,370,000,000		(6,597	)		09/19/2018		(17,078	)
CRSU	(4)		0.250	%	JPY		620,000,000		(9,620	)		09/19/2018		(1,094	)
CRSU	(4)		0.250	%	JPY		2,990,000,000		(30,047	)		09/19/2018		(21,624	)
CRSU	(4)		0.250	%	JPY		620,000,000		(9,681	)		09/19/2018		(1,033	)
CRSU	(4)		0.250	%	JPY		1,370,000,000		(17,959	)		09/19/2018		(5,716	)
CRSU	(4)		0.250	%	JPY		80,000,000		14,263			09/16/2026		8,606
CRSU	(4)		0.250	%	JPY		6,490,000,000		(91,409	)		09/19/2018		(20,746	)
CRSU	(4)		0.250	%	JPY		2,770,000,000		(28,594	)		09/19/2018		(19,275	)
CRSU	(4)		0.250	%	JPY		1,380,000,000		(14,246	)		09/19/2018		(9,602	)
CRSU	(4)		0.250	%	JPY		50,000,000		3,493			09/16/2026		10,801
CRSU	(4)		0.250	%	JPY		50,000,000		10,587			09/16/2026		3,706
CRSU	(4)		0.250	%	JPY		195,000,000		15,021			09/16/2026		40,723
CRSU	0.250%			(4)	JPY		240,000,000		3,686			09/19/2018		461
CRSU	0.250%			(4)	JPY		120,000,000		(9,754	)		09/16/2026		(24,550	)
CRSU	0.250%			(4)	JPY		280,000,000		5,142			09/19/2018		(303	)
CRSU	0.250%			(4)	JPY		1,120,000,000		12,682			09/19/2018		6,674
CRSU	0.250%			(4)	JPY		580,000,000		(16,362	)		09/16/2026		(149,439	)
CRSU	0.250%			(4)	JPY		270,000,000		(27,491	)		09/16/2026		(49,692	)
CRSU	0.250%			(4)	JPY		250,000,000		3,894			09/19/2018		427
CRSU	0.250%			(4)	JPY		120,000,000		(9,693	)		09/16/2026		(24,611	)
CRSU	0.250%			(4)	JPY		50,000,000		(4,273	)		09/16/2026		(10,020	)
CRSU	0.250%			(4)	JPY		340,000,000		5,295			09/19/2018		580

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

AQR Funds Semi-Annual Report June 2016

55

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	0.250%			(4)	JPY		540,000,000		$ (50,539	)		09/16/2026		$ (103,827	)
CRSU	0.250%			(4)	JPY		230,000,000		4,096			09/19/2018		(122	)
CRSU	0.250%			(4)	JPY		220,000,000		2,719			09/19/2018		1,083
CRSU	0.250%			(4)	JPY		210,000,000		2,961			09/19/2018		668
CRSU	0.250%			(4)	JPY		540,000,000		(62,437	)		09/16/2026		(91,929	)
CRSU	0.250%			(4)	JPY		1,030,000,000		14,995			09/19/2018		2,805
CRSU	0.250%			(4)	JPY		280,000,000		(25,974	)		09/16/2026		(54,068	)
CRSU	0.250%			(4)	JPY		1,120,000,000		9,411			09/19/2018		9,944
CRSU	0.250%			(4)	JPY		820,000,000		11,938			09/19/2018		2,233
CRSU	0.250%			(4)	JPY		210,000,000		2,961			09/19/2018		668
CRSU	(6)		1.000	%	NOK		21,200,000		3,461			09/19/2018		3,510
CRSU	(6)		1.000	%	NOK		16,600,000		4,985			09/19/2018		473
CRSU	(6)		1.000	%	NOK		18,400,000		463			09/19/2018		5,587
CRSU	(6)		1.000	%	NOK		16,700,000		495			09/19/2018		4,996
CRSU	(6)		1.000	%	NOK		18,100,000		(454	)		09/19/2018		6,406
CRSU	(6)		1.000	%	NOK		17,500,000		3,045			09/19/2018		2,710
CRSU	(6)		1.000	%	NOK		31,100,000		18,208			09/19/2018		(7,981	)
CRSU	(6)		1.000	%	NOK		16,800,000		2,599			09/19/2018		2,926
CRSU	(6)		1.500	%	NOK		3,700,000		4,575			09/16/2026		1,787
CRSU	(6)		1.500	%	NOK		20,820,000		(39,139	)		09/16/2026		74,943
CRSU	(6)		1.500	%	NOK		3,600,000		3,021			09/16/2026		3,170
CRSU	(6)		1.500	%	NOK		5,800,000		(8,299	)		09/16/2026		18,273
CRSU	(6)		1.500	%	NOK		20,820,000		(38,706	)		09/16/2026		74,510
CRSU	(6)		1.500	%	NOK		2,400,000		(15	)		09/16/2026		4,142
CRSU	(6)		1.500	%	NOK		3,800,000		(4,523	)		09/16/2026		11,058
CRSU	(6)		1.500	%	NOK		27,760,000		(51,230	)		09/16/2026		98,968
CRSU	1.000%			(6)	NOK		98,430,000		(34,246	)		09/19/2018		1,878
CRSU	1.000%			(6)	NOK		17,500,000		(4,399	)		09/19/2018		(1,356	)
CRSU	1.000%			(6)	NOK		17,600,000		(8,755	)		09/19/2018		2,967
CRSU	1.000%			(6)	NOK		11,700,000		(5,836	)		09/19/2018		1,989
CRSU	1.000%			(6)	NOK		98,430,000		(33,927	)		09/19/2018		1,559
CRSU	1.000%			(6)	NOK		3,900,000		(2,188	)		09/19/2018		906
CRSU	1.000%			(6)	NOK		131,240,000		(44,758	)		09/19/2018		1,601
CRSU	1.000%			(6)	NOK		17,500,000		(9,200	)		09/19/2018		3,445
CRSU	1.000%			(6)	NOK		23,800,000		(8,792	)		09/19/2018		966
CRSU	1.000%			(6)	NOK		16,600,000		(4,985	)		09/19/2018		(473	)
CRSU	1.000%			(6)	NOK		22,200,000		556			09/19/2018		(7,857	)
CRSU	1.000%			(6)	NOK		163,600,000		(95,779	)		09/19/2018		41,981
CRSU	1.500%			(6)	NOK		3,700,000		11,350			09/16/2026		(17,712	)
CRSU	1.500%			(6)	NOK		4,300,000		4,158			09/16/2026		(11,553	)
CRSU	1.500%			(6)	NOK		3,600,000		8,669			09/16/2026		(14,860	)
CRSU	1.500%			(6)	NOK		3,800,000		2,824			09/16/2026		(9,359	)
CRSU	1.500%			(6)	NOK		3,600,000		13,073			09/16/2026		(19,264	)
CRSU	1.500%			(6)	NOK		3,600,000		11,653			09/16/2026		(17,844	)
CRSU	1.500%			(6)	NOK		3,600,000		5,788			09/16/2026		(11,979	)
CRSU	(1)		2.500	%	NZD		8,100,000		19,582			09/12/2018		12,454
CRSU	(1)		2.500	%	NZD		30,800,000		66,438			09/12/2018		55,379
CRSU	(1)		2.500	%	NZD		3,900,000		12,875			09/12/2018		2,550
CRSU	(1)		2.500	%	NZD		3,200,000		9,532			09/12/2018		3,125
CRSU	(1)		2.500	%	NZD		3,500,000		12,160			09/12/2018		1,683
CRSU	(1)		2.500	%	NZD		1,600,000		3,971			09/12/2018		2,358
CRSU	(1)		2.500	%	NZD		3,300,000		10,828			09/12/2018		2,224
CRSU	(1)		2.500	%	NZD		3,400,000		11,328			09/12/2018		2,119
CRSU	(1)		2.500	%	NZD		19,500,000		15,962			09/12/2018		61,163
CRSU	(1)		2.500	%	NZD		3,100,000		12,273			09/12/2018		(13	)

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

AQR Funds Semi-Annual Report June 2016

56

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	(1)		2.500	%	NZD		19,100,000		$ 737			09/12/2018		$ 74,806
CRSU	(1)		2.500	%	NZD		51,100,000		123,538			09/12/2018		78,568
CRSU	(1)		2.500	%	NZD		11,100,000		31,658			09/12/2018		12,244
CRSU	(1)		2.500	%	NZD		5,400,000		15,402			09/12/2018		5,956
CRSU	(1)		2.500	%	NZD		19,400,000		7,446			09/12/2018		69,283
CRSU	(1)		3.000	%	NZD		1,600,000		34,488			09/16/2026		(2,386	)
CRSU	(1)		3.500	%	NZD		1,400,000		25,410			09/16/2026		46,519
CRSU	(1)		3.500	%	NZD		1,200,000		19,555			09/16/2026		42,098
CRSU	(1)		3.500	%	NZD		1,200,000		19,256			09/16/2026		42,398
CRSU	(1)		3.500	%	NZD		7,000,000		132,860			09/16/2026		226,785
CRSU	(2)		3.500	%	NZD		500,000		9,777			09/16/2026		15,912
CRSU	2.500%			(1)	NZD		5,100,000		(2,981	)		09/12/2018		(17,190	)
CRSU	2.500%			(1)	NZD		4,100,000		(10,999	)		09/12/2018		(5,217	)
CRSU	2.500%			(1)	NZD		6,800,000		(3,040	)		09/12/2018		(23,855	)
CRSU	2.500%			(1)	NZD		2,100,000		(5,782	)		09/12/2018		(2,524	)
CRSU	2.500%			(1)	NZD		4,900,000		(10,985	)		09/12/2018		(8,395	)
CRSU	2.500%			(1)	NZD		61,500,000		(148,680	)		09/12/2018		(94,558	)
CRSU	2.500%			(1)	NZD		6,500,000		(29,322	)		09/12/2018		3,614
CRSU	2.500%			(1)	NZD		3,000,000		(9,995	)		09/12/2018		(1,870	)
CRSU	2.500%			(1)	NZD		25,500,000		(68,408	)		09/12/2018		(32,448	)
CRSU	3.000%			(1)	NZD		400,000		(603	)		09/16/2026		(7,423	)
CRSU	3.000%			(1)	NZD		700,000		(2,990	)		09/16/2026		(11,055	)
CRSU	3.000%			(1)	NZD		700,000		(4,483	)		09/16/2026		(9,562	)
CRSU	3.000%			(1)	NZD		700,000		1,766			09/16/2026		(15,810	)
CRSU	3.000%			(1)	NZD		700,000		(9,346	)		09/16/2026		(4,699	)
CRSU	3.000%			(1)	NZD		900,000		5,761			09/16/2026		(23,818	)
CRSU	3.000%			(1)	NZD		2,500,000		3,007			09/16/2026		(53,168	)
CRSU	3.500%			(1)	NZD		4,300,000		(62,807	)		09/16/2026		(158,118	)
CRSU	3.500%			(1)	NZD		4,400,000		(73,598	)		09/16/2026		(152,465	)
CRSU	3.500%			(1)	NZD		900,000		(27,078	)		09/16/2026		(19,162	)
CRSU	3.500%			(1)	NZD		4,300,000		(80,361	)		09/16/2026		(140,564	)
CRSU	(7)		0.500	%	SEK		324,500,000		(190,194	)		09/19/2018		122,194
CRSU	(7)		0.500	%	SEK		18,200,000		(8,244	)		09/19/2018		4,430
CRSU	(7)		0.500	%	SEK		17,100,000		(5,432	)		09/19/2018		1,849
CRSU	(7)		1.000	%	SEK		11,200,000		3,844			09/16/2026		24,829
CRSU	(7)		1.500	%	SEK		3,700,000		11,988			09/16/2026		19,409
CRSU	(7)		1.500	%	SEK		50,200,000		82,328			09/16/2026		343,657
CRSU	(7)		1.500	%	SEK		4,700,000		18,307			09/16/2026		21,576
CRSU	(7)		1.500	%	SEK		3,400,000		5,412			09/16/2026		23,440
CRSU	(7)		1.500	%	SEK		3,500,000		11,253			09/16/2026		18,447
CRSU	(7)		1.500	%	SEK		4,700,000		13,551			09/16/2026		26,332
CRSU	0.500%			(7)	SEK		6,000,000		3,463			09/19/2018		(2,206	)
CRSU	0.500%			(7)	SEK		22,300,000		7,582			09/19/2018		(2,908	)
CRSU	0.500%			(7)	SEK		17,100,000		13,403			09/19/2018		(9,820	)
CRSU	0.500%			(7)	SEK		17,000,000		10,498			09/19/2018		(6,936	)
CRSU	0.500%			(7)	SEK		233,300,000		(342,364	)		09/19/2018		(168,560	)
CRSU	0.500%			(7)	SEK		16,500,000		10,128			09/19/2018		(6,670	)
CRSU	0.500%			(7)	SEK		53,200,000		17,300			09/19/2018		(6,152	)
CRSU	0.500%			(7)	SEK		16,300,000		10,171			09/19/2018		(6,756	)
CRSU	1.000%			(7)	SEK		3,600,000		(4,834	)		09/16/2026		(4,382	)
CRSU	1.500%			(7)	SEK		3,700,000		(8,733	)		09/16/2026		(22,664	)
CRSU	1.500%			(7)	SEK		69,800,000		(187,534	)		09/16/2026		(404,771	)
CRSU	(8)		1.500	%	USD		2,000,000		28,629			09/21/2018		825
CRSU	(8)		1.500	%	USD		2,100,000		20,775			09/21/2018		10,151
CRSU	(8)		1.500	%	USD		2,000,000		19,786			09/21/2018		9,667

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

AQR Funds Semi-Annual Report June 2016

57

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	(8)		1.500	%	USD		10,000,000		$ 62,794			09/21/2018		$ 84,472
CRSU	(8)		1.500	%	USD		8,900,000		66,237			09/21/2018		64,831
CRSU	(8)		1.500	%	USD		2,000,000		22,441			09/21/2018		7,012
CRSU	(8)		1.500	%	USD		5,400,000		60,592			09/21/2018		18,932
CRSU	(8)		1.500	%	USD		2,900,000		32,540			09/21/2018		10,167
CRSU	(8)		1.500	%	USD		2,100,000		14,675			09/21/2018		16,251
CRSU	(8)		1.500	%	USD		2,000,000		17,130			09/21/2018		12,323
CRSU	(8)		1.500	%	USD		2,200,000		20,509			09/21/2018		11,889
CRSU	(8)		1.500	%	USD		2,000,000		20,643			09/21/2018		8,810
CRSU	(8)		1.500	%	USD		2,500,000		19,607			09/21/2018		17,210
CRSU	(8)		1.500	%	USD		18,000,000		144,232			09/21/2018		120,848
CRSU	(8)		1.500	%	USD		400,000		2,763			09/21/2018		3,127
CRSU	(8)		1.500	%	USD		300,000		2,078			09/21/2018		2,340
CRSU	(8)		1.500	%	USD		6,200,000		48,626			09/21/2018		42,680
CRSU	(8)		1.500	%	USD		3,200,000		31,417			09/21/2018		15,709
CRSU	(8)		2.000	%	USD		4,900,000		147,681			09/21/2026		129,126
CRSU	(8)		2.250	%	USD		2,000,000		99,620			09/21/2026		61,205
CRSU	(8)		2.250	%	USD		2,000,000		99,080			09/21/2026		61,746
CRSU	(8)		2.250	%	USD		1,900,000		66,550			09/21/2026		86,235
CRSU	(8)		2.250	%	USD		400,000		11,491			09/21/2026		20,674
CRSU	(8)		2.250	%	USD		1,400,000		55,870			09/21/2026		56,708
CRSU	1.000%			(8)	USD		23,700,000		(64,608	)		09/21/2018		(48,852	)
CRSU	1.500%			(8)	USD		2,100,000		(9,408	)		09/21/2018		(21,518	)
CRSU	1.500%			(8)	USD		9,800,000		(91,314	)		09/21/2018		(53,007	)
CRSU	1.500%			(8)	USD		5,600,000		(51,042	)		09/21/2018		(31,428	)
CRSU	1.500%			(8)	USD		3,400,000		(34,810	)		09/21/2018		(15,261	)
CRSU	1.500%			(8)	USD		6,700,000		(50,076	)		09/21/2018		(48,592	)
CRSU	1.500%			(8)	USD		22,700,000		(168,156	)		09/21/2018		(166,140	)
CRSU	1.500%			(8)	USD		9,600,000		(92,601	)		09/21/2018		(48,775	)
CRSU	1.500%			(8)	USD		8,500,000		(53,266	)		09/21/2018		(71,911	)
CRSU	1.500%			(8)	USD		2,900,000		(41,741	)		09/21/2018		(966	)
CRSU	1.500%			(8)	USD		9,400,000		(85,675	)		09/21/2018		(52,756	)
CRSU	1.500%			(8)	USD		3,100,000		(23,511	)		09/21/2018		(22,142	)
CITG	1.750%			(8)	USD		7,200,000		(98,353	)		09/21/2020		(135,030	)
CRSU	2.250%			(8)	USD		400,000		(23,716	)		09/21/2026		(8,449	)
CRSU	2.250%			(8)	USD		500,000		(34,832	)		09/21/2026		(5,374	)
CRSU	2.250%			(8)	USD		600,000		(32,661	)		09/21/2026		(15,587	)
CRSU	2.250%			(8)	USD		500,000		(21,312	)		09/21/2026		(18,894	)
CRSU	2.250%			(8)	USD		3,800,000		(190,599	)		09/21/2026		(114,969	)
CRSU	2.250%			(8)	USD		400,000		(15,906	)		09/21/2026		(16,259	)
CRSU	2.250%			(8)	USD		2,100,000		(91,967	)		09/21/2026		(76,900	)
CRSU	2.250%			(8)	USD		400,000		(15,628	)		09/21/2026		(16,537	)
CRSU	2.250%			(8)	USD		400,000		(32,919	)		09/21/2026		754
CRSU	2.250%			(8)	USD		400,000		(18,482	)		09/21/2026		(13,683	)
									$(156,658	)				$(114,412	)

(1) 3 Month Australian Bank-Bill Reference Rate

(2) 6 Month Australian Bank-Bill Reference Rate

(3) 3 Month Canadian Bankers’ Acceptance Rate

(4) 6 Month London Interbank Offered Rate

(5) 6 Month Euro Interbank Offered Rate

(6) 6 Month Norwegian Interbank Offered Rate

(7) 3 Month Stockholm Interbank Offered Rate

(8) 3 Month London Interbank Offered Rate

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

AQR Funds Semi-Annual Report June 2016

58

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	BIST 30 August Futures	08/2016		TRY		268,869			$(221	)
BANA	Bovespa Index August Futures	08/2016		BRL		753,381			9,601
SOCG	Corn September Futures^	08/2016		USD		(21,891	)		(2,375	)
SOCG	Corn September Futures^	08/2016		USD		21,891			3,616
MACQ	Corn September Futures^	08/2016		USD		(129,986	)		(13,495	)
MACQ	Corn September Futures^	08/2016		USD		129,986			20,336
BANA	H-SHARES Index July Futures	07/2016		HKD		834,060			4,954
GSIN	H-SHARES Index July Futures	07/2016		HKD		832,185			5,196
BANA	KOSPI Index 200 September Futures	09/2016		KRW		2,824,678,016			(12,086	)
GSIN	MSCI Singapore Index July Futures	07/2016		SGD		(92,985	)		(1,637	)
BANA	MSCI Taiwan Stock Index July Futures	07/2016		USD		92,692			2,558
BANA	NSE Nifty 50 Index July Futures	07/2016		INR		(6,710,168	)		(2,287	)
BANA	SGX S&P CNX Nifty Index July Futures	07/2016		USD		(49,236	)		(777	)
SOCG	Soybean Meal December Futures^	11/2016		USD		(39,093	)		(1,007	)
MACQ	Soybean Meal December Futures^	11/2016		USD		(41,244	)		1,144
SOCG	Soybean November Futures^	10/2016		USD		(58,137	)		474
BANA	Swiss Market Index September Futures	09/2016		CHF		(153,331	)		(6,488	)
BANA	Taiwan Stock Exchange July Futures	07/2016		TWD		(23,384,940	)		(14,522	)
BANA	Tel Aviv 25 Index July Futures	07/2016		ILS		(565,595	)		1,643
CITI	Wheat September Futures^	08/2016		USD		(51,176	)		6,626
BANA	WIG20 Index September Futures	09/2016		PLN		383,923			367
									$1,620

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

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
3	MSCL	Corn Futures^		09/2016		$60,719		$54,825		$(5,894	)
1	MSCL	Gasoline RBOB Futures^		07/2016		65,095		63,054		(2,041	)
13	MSCL	Gold 100 OZ Futures^		08/2016		1,700,733		1,716,780		16,047
1	MSCL	Heating Oil ULSD Futures^		07/2016		63,280		62,526		(754	)
2	JPPC	LME Aluminum Futures^		07/2016		76,734		82,150		5,416
1	JPPC	LME Aluminum Futures^		07/2016		37,643		41,084		3,441
3	JPPC	LME Aluminum Futures^		07/2016		113,378		123,307		9,929
1	JPPC	LME Aluminum Futures^		07/2016		37,949		41,107		3,158
1	JPPC	LME Aluminum Futures^		07/2016		38,881		41,112		2,231
1	JPPC	LME Aluminum Futures^		07/2016		39,046		41,117		2,071
1	JPPC	LME Aluminum Futures^		07/2016		39,348		41,140		1,792
1	JPPC	LME Aluminum Futures^		07/2016		40,097		41,144		1,047
1	JPPC	LME Aluminum Futures^		07/2016		40,841		41,119		278
4	JPPC	LME Aluminum Futures^		07/2016		164,806		164,490		(316	)
2	JPPC	LME Aluminum Futures^		07/2016		82,199		82,258		59
1	JPPC	LME Aluminum Futures^		08/2016		40,940		41,156		216
1	JPPC	LME Aluminum Futures^		08/2016		39,422		41,180		1,758
9	JPPC	LME Aluminum Futures^		09/2016		350,978		371,532		20,554

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

AQR Funds Semi-Annual Report June 2016

59

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	JPPC	LME Copper Futures^		07/2016		$ 116,653			$ 121,026			$ 4,373
2	JPPC	LME Copper Futures^		07/2016		239,712			242,118			2,406
2	JPPC	LME Copper Futures^		07/2016		246,919			242,088			(4,831	)
1	JPPC	LME Copper Futures^		07/2016		124,966			121,075			(3,891	)
1	JPPC	LME Copper Futures^		08/2016		118,252			121,192			2,940
4	JPPC	LME Copper Futures^		09/2016		460,266			484,800			24,534
1	JPPC	LME Lead Futures^		07/2016		43,853			44,639			786
1	JPPC	LME Nickel Futures^		07/2016		53,502			56,434			2,932
1	JPPC	LME Nickel Futures^		07/2016		54,544			56,477			1,933
1	JPPC	LME Nickel Futures^		07/2016		55,113			56,484			1,371
4	JPPC	LME Nickel Futures^		09/2016		205,978			226,608			20,630
1	JPPC	LME Zinc Futures^		07/2016		43,889			52,565			8,676
2	JPPC	LME Zinc Futures^		07/2016		93,421			105,143			11,722
1	JPPC	LME Zinc Futures^		07/2016		46,848			52,575			5,727
1	JPPC	LME Zinc Futures^		07/2016		48,284			52,550			4,266
1	JPPC	LME Zinc Futures^		07/2016		47,329			52,531			5,202
1	JPPC	LME Zinc Futures^		09/2016		51,827			52,667			840
2	JPPC	LME Zinc Futures^		09/2016		96,430			105,313			8,883
12	MSCL	Natural Gas Futures^		07/2016		324,513			350,880			26,367
2	MSCL	Silver Futures^		09/2016		173,688			186,230			12,542
12	BARC	Amsterdam Index Futures		07/2016		1,113,668			1,159,378			45,710
37	BARC	BIST 30 Futures		08/2016		122,726			123,226			500
1	BARC	DAX Index Futures		09/2016		262,276			268,240			5,964
94	BARC	Euro Stoxx 50 Index Futures		09/2016		2,925,009			2,978,236			53,227
16	BARC	FTSE 100 Index Futures		09/2016		1,293,204			1,367,992			74,788
3	BARC	FTSE Bursa Malaysia KLCI Index Futures		07/2016		60,663			61,522			859
1	BARC	H-SHARES Index Futures		07/2016		55,914			56,232			318
12	BARC	IBEX 35 Index Futures		07/2016		1,082,124			1,082,312			188
1	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		09/2016		24,589			25,221			632
58	BARC	OMXS30 Index Futures		07/2016		869,431			903,861			34,430
25	BARC	S&P 500 E-Mini Futures		09/2016		2,579,681			2,612,750			33,069
38	BARC	SET50 Index Futures		09/2016		192,339			195,234			2,895
27	BARC	SPI 200 Index Futures		09/2016		2,605,324			2,605,676			352
9	GSCO	10-Year Japanese Government Bond Futures		09/2016		1,326,202			1,331,981			5,779
8	GSCO	10-Year Japanese Government Bond Futures		09/2016		11,785,749			11,846,802			61,053
69	GSCO	Euro-Bund Futures		09/2016		12,652,858			12,796,838			143,980
94	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		12,460,003			12,500,532			40,529
						57,089,836			57,790,509			700,673
Short Contracts:
8	GSCO	Brent Crude Futures^		07/2016		$(389,733	)		$(397,680	)		$(7,947	)
2	JPPC	LME Aluminum Futures^		07/2016		(76,801	)		(82,150	)		(5,349	)
1	JPPC	LME Aluminum Futures^		07/2016		(37,610	)		(41,084	)		(3,474	)
3	JPPC	LME Aluminum Futures^		07/2016		(113,018	)		(123,308	)		(10,290	)
1	JPPC	LME Aluminum Futures^		07/2016		(37,910	)		(41,107	)		(3,197	)
1	JPPC	LME Aluminum Futures^		07/2016		(38,847	)		(41,111	)		(2,264	)
1	JPPC	LME Aluminum Futures^		07/2016		(39,048	)		(41,117	)		(2,069	)
1	JPPC	LME Aluminum Futures^		07/2016		(39,185	)		(41,140	)		(1,955	)
1	JPPC	LME Aluminum Futures^		07/2016		(40,035	)		(41,144	)		(1,109	)

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

AQR Funds Semi-Annual Report June 2016

60

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	JPPC	LME Aluminum Futures^		07/2016		$ (40,997	)		$ (41,119	)		$ (122	)
4	JPPC	LME Aluminum Futures^		07/2016		(164,988	)		(164,490	)		498
2	JPPC	LME Aluminum Futures^		07/2016		(82,595	)		(82,258	)		337
1	JPPC	LME Aluminum Futures^		08/2016		(40,851	)		(41,156	)		(305	)
1	JPPC	LME Aluminum Futures^		08/2016		(39,287	)		(41,179	)		(1,892	)
1	JPPC	LME Copper Futures^		07/2016		(115,973	)		(121,026	)		(5,053	)
2	JPPC	LME Copper Futures^		07/2016		(239,495	)		(242,117	)		(2,622	)
2	JPPC	LME Copper Futures^		07/2016		(246,495	)		(242,087	)		4,408
1	JPPC	LME Copper Futures^		07/2016		(125,204	)		(121,075	)		4,129
1	JPPC	LME Copper Futures^		08/2016		(117,944	)		(121,193	)		(3,249	)
1	JPPC	LME Lead Futures^		07/2016		(43,791	)		(44,638	)		(847	)
1	JPPC	LME Nickel Futures^		07/2016		(53,461	)		(56,434	)		(2,973	)
1	JPPC	LME Nickel Futures^		07/2016		(54,538	)		(56,478	)		(1,940	)
1	JPPC	LME Nickel Futures^		07/2016		(55,588	)		(56,484	)		(896	)
1	JPPC	LME Zinc Futures^		07/2016		(43,830	)		(52,564	)		(8,734	)
2	JPPC	LME Zinc Futures^		07/2016		(93,170	)		(105,143	)		(11,973	)
1	JPPC	LME Zinc Futures^		07/2016		(46,823	)		(52,575	)		(5,752	)
1	JPPC	LME Zinc Futures^		07/2016		(48,247	)		(52,550	)		(4,303	)
1	JPPC	LME Zinc Futures^		07/2016		(47,569	)		(52,532	)		(4,963	)
1	JPPC	LME Zinc Futures^		09/2016		(51,810	)		(52,668	)		(858	)
1	JPPC	LME Zinc Futures^		09/2016		(51,848	)		(52,657	)		(809	)
1	MSCL	Soybean Futures^		11/2016		(55,323	)		(57,663	)		(2,340	)
4	MSCL	Soybean Meal Futures^		12/2016		(156,339	)		(160,400	)		(4,061	)
27	MSCL	Soybean Oil Futures^		12/2016		(541,782	)		(519,533	)		22,249
1	MSCL	WTI Crude Futures^		07/2016		(47,393	)		(48,330	)		(937	)
28	BARC	CAC40 Index Futures		07/2016		(1,287,466	)		(1,315,631	)		(28,165	)
24	BARC	FTSE/JSE Top 40 Index Futures		09/2016		(762,117	)		(756,860	)		5,257
15	BARC	FTSE/MIB Index Futures		09/2016		(1,346,931	)		(1,347,598	)		(667	)
18	BARC	Hang Seng Index Futures		07/2016		(2,329,819	)		(2,430,015	)		(100,196	)
8	BARC	MSCI Singapore Index Futures		07/2016		(180,925	)		(188,435	)		(7,510	)
10	BARC	MSCI Taiwan Stock Index Futures		07/2016		(307,580	)		(317,500	)		(9,920	)
3	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		(373,155	)		(378,173	)		(5,018	)
38	BARC	SGX S&P CNX Nifty Index Futures		07/2016		(617,940	)		(633,498	)		(15,558	)
13	BARC	TOPIX Index Futures		09/2016		(1,644,417	)		(1,567,956	)		76,461
31	JPMS	Australia 10-Year Bond Futures		09/2016		(3,121,815	)		(3,148,906	)		(27,091	)
21	GSCO	Canadian 10-Year Bond Futures		09/2016		(2,350,708	)		(2,406,316	)		(55,608	)
69	GSCO	Long Gilt Futures		09/2016		(11,501,460	)		(11,802,610	)		(301,150	)
13	MSCL	U.S. Treasury 5-Year Note Futures		09/2016		(1,588,689	)		(1,588,133	)		556
						(30,830,550	)		(31,369,821	)		(539,271	)
						$26,259,286			$26,420,688			$161,402

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

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

AQR Funds Semi-Annual Report June 2016

61

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		419,600		$308,684		$312,034		$3,350
Australian Dollar, Expiring 09/21/16	JPMC	AUD		629,400		463,027		468,051		5,024
Brazilian Real, Expiring 09/21/16*	CITI	BRL		3,069,600		853,260		932,654		79,394
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		4,604,400		1,279,893		1,398,983		119,090
Canadian Dollar, Expiring 09/21/16	CITI	CAD		2,241,200		1,718,182		1,735,014		16,832
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		3,361,800		2,577,276		2,602,523		25,247
Swiss Franc, Expiring 09/21/16	CITI	CHF		109,200		111,103		112,344		1,241
Swiss Franc, Expiring 09/21/16	JPMC	CHF		154,800		157,265		159,254		1,989
Chilean Peso, Expiring 09/21/16*	CITI	CLP		144,200,000		206,771		216,315		9,544
Chilean Peso, Expiring 09/21/16*	JPMC	CLP		193,800,000		277,594		290,720		13,126
Colombian Peso, Expiring 09/21/16*	CITI	COP		1,087,200,000		345,200		366,017		20,817
Colombian Peso, Expiring 09/21/16*	JPMC	COP		1,480,800,000		468,810		498,527		29,717
Czech Republic Koruna, Expiring 09/21/16	CITI	CZK		16,080,000		667,100		660,954		(6,146	)
Czech Republic Koruna, Expiring 09/21/16	JPMC	CZK		24,120,000		1,000,651		991,430		(9,221	)
Euro, Expiring 09/21/16	CITI	EUR		1,393,000		1,574,993		1,550,405		(24,588	)
Euro, Expiring 09/21/16	JPMC	EUR		1,986,000		2,244,704		2,210,412		(34,292	)
British Pound, Expiring 09/21/16	CITI	GBP		1,075,200		1,558,329		1,432,465		(125,864	)
British Pound, Expiring 09/21/16	JPMC	GBP		1,612,800		2,337,348		2,148,697		(188,651	)
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		259,000		33,395		33,416		21
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		255,000		32,875		32,901		26
Hungarian Forint, Expiring 09/21/16	CITI	HUF		55,498,800		202,017		195,028		(6,989	)
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		83,248,200		303,022		292,541		(10,481	)
Indonesian Rupiah, Expiring 09/21/16*	CITI	IDR		1,914,000,000		139,293		142,833		3,540
Indonesian Rupiah, Expiring 09/21/16*	JPMC	IDR		2,346,000,000		170,073		175,071		4,998
Israeli Shekel, Expiring 09/21/16	CITI	ILS		40,000		10,459		10,384		(75	)

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

AQR Funds Semi-Annual Report June 2016

62

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		60,000		$ 15,688		$ 15,576		$ (112	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		15,053,000		219,727		219,963		236
Indian Rupee, Expiring 09/21/16*	JPMC	INR		9,300,000		135,650		135,896		246
Japanese Yen, Expiring 09/21/16	CITI	JPY		245,933,600		2,307,224		2,388,095		80,871
Japanese Yen, Expiring 09/21/16	JPMC	JPY		368,900,400		3,460,840		3,582,144		121,304
Korean Won, Expiring 09/21/16*	CITI	KRW		623,612,800		527,547		540,970		13,423
Korean Won, Expiring 09/21/16*	JPMC	KRW		775,363,200		656,622		672,610		15,988
Mexican Peso, Expiring 09/21/16	CITI	MXN		5,433,200		290,840		294,816		3,976
Mexican Peso, Expiring 09/21/16	JPMC	MXN		8,149,800		436,267		442,224		5,957
Malaysian Ringgit, Expiring 09/21/16*	CITI	MYR		2,480,000		603,622		611,859		8,237
Malaysian Ringgit, Expiring 09/21/16*	JPMC	MYR		3,720,000		905,435		917,790		12,355
Norwegian Krone, Expiring 09/21/16	CITI	NOK		10,957,400		1,315,228		1,309,124		(6,104	)
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		12,876,600		1,546,127		1,538,417		(7,710	)
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		1,830,000		1,257,445		1,301,354		43,909
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		2,745,000		1,886,171		1,952,029		65,858
Philippine Peso, Expiring 09/21/16*	CITI	PHP		12,740,000		273,402		269,878		(3,524	)
Philippine Peso, Expiring 09/21/16*	JPMC	PHP		7,560,000		162,329		160,147		(2,182	)
Poland Zloty, Expiring 09/21/16	CITI	PLN		1,500,800		382,658		379,715		(2,943	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		2,251,200		573,997		569,570		(4,427	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		19,589,600		2,366,843		2,323,468		(43,375	)
Swedish Krona, Expiring 09/21/16	JPMC	SEK		29,384,400		3,550,270		3,485,203		(65,067	)
Singapore Dollar, Expiring 09/21/16	CITI	SGD		984,000		724,565		729,851		5,286
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		606,000		447,126		449,481		2,355
Turkish Lira, Expiring 09/21/16	CITI	TRY		1,685,800		556,726		575,312		18,586
Turkish Lira, Expiring 09/21/16	JPMC	TRY		2,488,200		821,291		849,147		27,856
New Taiwan Dollar, Expiring 09/21/16*	CITI	TWD		18,660,000		574,461		579,473		5,012
New Taiwan Dollar, Expiring 09/21/16*	JPMC	TWD		1,740,000		53,539		54,034		495
South African Rand, Expiring 09/21/16	CITI	ZAR		4,026,000		257,867		268,960		11,093

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

AQR Funds Semi-Annual Report June 2016

63

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
South African Rand, Expiring 09/21/16	JPMC	ZAR		6,039,000		$ 387,004		$ 403,436		$ 16,432
						$45,737,835		$45,989,515		$251,680

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		(1,672,400	)		$(1,208,983	)		$(1,243,674	)		$(34,691	)
Australian Dollar, Expiring 09/21/16	JPMC	AUD		(2,508,600	)		(1,813,473	)		(1,865,511	)		(52,038	)
Brazilian Real, Expiring 09/21/16*	CITI	BRL		(3,305,400	)		(889,123	)		(1,004,300	)		(115,177	)
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		(957,600	)		(256,573	)		(290,953	)		(34,380	)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(895,600	)		(695,327	)		(693,324	)		2,003
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		(1,343,400	)		(1,042,952	)		(1,039,987	)		2,965
Swiss Franc, Expiring 09/21/16	CITI	CHF		(80,000	)		(82,839	)		(82,303	)		536
Chilean Peso, Expiring 09/21/16*	CITI	CLP		(50,000,000	)		(72,817	)		(75,005	)		(2,188	)
Colombian Peso, Expiring 09/21/16*	CITI	COP		(410,000,000	)		(133,919	)		(138,031	)		(4,112	)
Colombian Peso, Expiring 09/21/16*	JPMC	COP		(390,000,000	)		(128,927	)		(131,298	)		(2,371	)
Czech Republic Koruna, Expiring 09/21/16	CITI	CZK		(24,160,000	)		(1,002,935	)		(993,074	)		9,861
Czech Republic Koruna, Expiring 09/21/16	JPMC	CZK		(21,840,000	)		(908,334	)		(897,713	)		10,621
Euro, Expiring 09/21/16	CITI	EUR		(2,427,200	)		(2,714,643	)		(2,701,467	)		13,176
Euro, Expiring 09/21/16	JPMC	EUR		(3,640,800	)		(4,071,981	)		(4,052,198	)		19,783
British Pound, Expiring 09/21/16	CITI	GBP		(2,298,000	)		(3,353,010	)		(3,061,574	)		291,436
British Pound, Expiring 09/21/16	JPMC	GBP		(3,447,000	)		(5,029,508	)		(4,592,361	)		437,147
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(383,000	)		(49,365	)		(49,416	)		(51	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		(22,000,000	)		(77,650	)		(77,310	)		340
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		(33,000,000	)		(116,597	)		(115,966	)		631
Israeli Shekel, Expiring 09/21/16	CITI	ILS		(804,000	)		(209,415	)		(208,717	)		698
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		(1,206,000	)		(314,126	)		(313,076	)		1,050
Indian Rupee, Expiring 09/21/16*	CITI	INR		(22,040,000	)		(321,704	)		(322,062	)		(358	)
Indian Rupee, Expiring 09/21/16*	JPMC	INR		(33,060,000	)		(482,555	)		(483,092	)		(537	)

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

AQR Funds Semi-Annual Report June 2016

64

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Japanese Yen, Expiring 09/21/16	CITI	JPY		(114,621,200	)		$ (1,044,349	)		$ (1,113,009	)		$ (68,660	)
Japanese Yen, Expiring 09/21/16	JPMC	JPY		(171,931,800	)		(1,566,521	)		(1,669,514	)		(102,993	)
Korean Won, Expiring 09/21/16*	CITI	KRW		(614,448,600	)		(521,526	)		(533,020	)		(11,494	)
Korean Won, Expiring 09/21/16*	JPMC	KRW		(774,449,400	)		(653,877	)		(671,816	)		(17,939	)
Mexican Peso, Expiring 09/21/16	CITI	MXN		(8,443,600	)		(449,340	)		(458,166	)		(8,826	)
Mexican Peso, Expiring 09/21/16	JPMC	MXN		(10,742,400	)		(569,901	)		(582,904	)		(13,003	)
Malaysian Ringgit, Expiring 09/21/16*	CITI	MYR		(788,000	)		(191,746	)		(194,413	)		(2,667	)
Malaysian Ringgit, Expiring 09/21/16*	JPMC	MYR		(912,000	)		(221,263	)		(225,007	)		(3,744	)
Norwegian Krone, Expiring 09/21/16	CITI	NOK		(12,470,800	)		(1,498,578	)		(1,489,936	)		8,642
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		(18,706,200	)		(2,247,863	)		(2,234,902	)		12,961
Philippine Peso, Expiring 09/21/16*	CITI	PHP		(14,880,000	)		(316,702	)		(315,211	)		1,491
Philippine Peso, Expiring 09/21/16*	JPMC	PHP		(22,320,000	)		(475,052	)		(472,817	)		2,235
Poland Zloty, Expiring 09/21/16	CITI	PLN		(1,812,400	)		(457,566	)		(458,552	)		(986	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		(2,718,600	)		(686,393	)		(687,826	)		(1,433	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		(14,602,400	)		(1,760,419	)		(1,731,951	)		28,468
Swedish Krona, Expiring 09/21/16	JPMC	SEK		(21,903,600	)		(2,640,625	)		(2,597,925	)		42,700
Singapore Dollar, Expiring 09/21/16	CITI	SGD		(1,120,800	)		(813,442	)		(831,313	)		(17,871	)
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		(1,681,200	)		(1,220,162	)		(1,246,971	)		(26,809	)
New Taiwan Dollar, Expiring 09/21/16*	CITI	TWD		(26,360,000	)		(808,338	)		(818,591	)		(10,253	)
New Taiwan Dollar, Expiring 09/21/16*	JPMC	TWD		(39,540,000	)		(1,212,507	)		(1,227,885	)		(15,378	)
South African Rand, Expiring 09/21/16	CITI	ZAR		(894,800	)		(56,146	)		(59,777	)		(3,631	)
South African Rand, Expiring 09/21/16	JPMC	ZAR		(1,342,200	)		(84,219	)		(89,666	)		(5,447	)
							(44,473,291	)		(44,143,584	)		329,707
							$1,264,544			$1,845,931			$581,387

* Non-deliverable forward (See Note 4).

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

AQR Funds Semi-Annual Report June 2016

65

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR GLOBAL MACRO FUND

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

Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Investment Companies		$130,022			$—		$130,022
BARC
Cash		—			1,318,379		1,318,379
CITG
Cash		—			411,772		411,772
CITI
Cash		(30,000	)		—		(30,000	)
CRSU
Cash		—			1,031,900		1,031,900
GSCO
Cash		—			633,546		633,546
JPMC
Cash		80,000			—		80,000
JPMS
Cash		—			116,544		116,544
MSCL
Cash		—			81,441		81,441

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$60,028		$—		$60,028
GSCO
Cash		—		59,352		59,352
JPPC
Cash		—		54,699		54,699
MSCL
Cash		—		67,398		67,398

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

AQR Funds Semi-Annual Report June 2016

66

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

LONG INVESTMENTS - 112.8%	SHARES		VALUE (Note 5)
COMMON STOCKS - 22.9%
Belgium - 0.5%
Ageas (a)		97,929	$	3,403,941
bpost SA (a)		75,224		1,925,635
Colruyt SA (a)		12,124		670,917
Proximus SADP (a)		33,005		1,048,849
				7,049,342
Canada - 4.3%
Agnico Eagle Mines Ltd. (1)(a)		26,029		1,392,968
Air Canada (1)†(a)		421,019		2,897,062
Alimentation Couche-Tard, Inc., Class B (1)(a)		47,525		2,040,858
Bank of Montreal (1)(a)		8,434		534,979
Barrick Gold Corp. (1)(a)		180,551		3,854,326
Baytex Energy Corp. (1)(a)		90,419		524,898
BCE, Inc. (1)(a)		11,817		559,226
Canadian Imperial Bank of Commerce (1)(a)		6,849		514,437
Canadian Tire Corp. Ltd., Class A (1)(a)		26,926		2,933,422
Canfor Corp. (1)†(a)		60,056		606,626
CCL Industries, Inc., Class B (1)(a)		10,006		1,741,359
CGI Group, Inc., Class A (1)†(a)		28,965		1,237,338
Constellation Software, Inc. (1)(a)		4,544		1,758,617
Dollarama, Inc. (1)(a)		36,695		2,561,933
Eldorado Gold Corp. (1)		125,656		565,085
Element Financial Corp. (1)(a)		89,741		951,625
Empire Co. Ltd., Class A (1)(a)		91,199		1,356,038
Encana Corp., Class R (1)(a)		85,892		668,149
Enerplus Corp. (1)(a)		217,353		1,431,692
George Weston Ltd. (1)(a)		31,718		2,744,990
Goldcorp, Inc. (1)(a)		89,138		1,705,555
Industrial Alliance Insurance & Financial Services, Inc. (1)(a)		24,279		763,164
Kinross Gold Corp. (1)†(a)		610,168		2,994,284
Linamar Corp. (1)(a)		65,727		2,341,233
Loblaw Cos. Ltd. (1)(a)		40,817		2,183,415
Lundin Mining Corp. (1)†		198,129		668,635
Magna International, Inc. (1)(a)		69,900		2,453,628
Metro, Inc. (1)(a)		63,054		2,196,726
Onex Corp. (1)(a)		9,876		603,896
Open Text Corp. (1)(a)		37,560		2,220,835
Ritchie Bros Auctioneers, Inc. (1)(a)		39,995		1,351,586
Saputo, Inc. (1)(a)		31,074		922,876
Seven Generations Energy Ltd., Class A (1)†(a)		27,669		528,130
SNC-Lavalin Group, Inc. (1)(a)		18,453		774,999
Yamana Gold, Inc. (1)(a)		550,042		2,861,010
				55,445,600
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd.		2,920,200		1,958,600
Denmark - 1.1%
DSV A/S (a)		40,694		1,711,107
ISS A/S (a)		81,419		3,062,195
Novo Nordisk A/S, Class B (a)		10,122		545,099
Pandora A/S (a)		16,090		2,191,449
TDC A/S		440,611		2,159,201

	SHARES		VALUE (Note 5)
Denmark - 1.1% (continued)
Vestas Wind Systems A/S (a)		71,021	$	4,827,259
				14,496,310
Finland - 1.0%
Amer Sports OYJ (a)		46,895		1,286,577
Cargotec OYJ, Class B (a)		41,584		1,694,758
Elisa OYJ (a)		35,073		1,347,616
Huhtamaki OYJ (a)		15,862		658,270
Kesko OYJ, Class B (a)		71,119		3,020,180
Metso OYJ (a)		30,444		715,735
Neste OYJ (a)		90,644		3,250,397
Orion OYJ, Class B (a)		28,774		1,117,289
				13,090,822
Germany - 4.0%
adidas AG (a)		6,547		939,817
Allianz SE (a)		13,778		1,965,534
Aurubis AG (a)		38,845		1,766,389
Brenntag AG (a)		15,834		767,030
Covestro AG 144A (a)(b)		34,307		1,528,046
Deutsche Lufthansa AG (a)		231,917		2,726,769
Deutsche Post AG (a)		49,334		1,389,863
E.ON SE (a)		213,948		2,159,766
Evonik Industries AG (a)		85,758		2,556,323
Fraport AG Frankfurt Airport Services Worldwide (a)		22,573		1,208,578
Freenet AG (a)		91,059		2,345,091
Hannover Rueck SE (a)		11,083		1,161,249
HeidelbergCement AG (a)		24,090		1,814,749
Hella KGaA Hueck & Co. (a)		21,018		674,602
HOCHTIEF AG (a)		47,532		6,136,894
KION Group AG (a)		37,768		1,830,538
Krones AG (a)		5,679		599,879
LANXESS AG (a)		12,298		539,549
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		16,451		2,758,751
OSRAM Licht AG (a)		128,182		6,659,935
Rheinmetall AG (a)		64,751		3,851,309
RHOEN-KLINIKUM AG (a)		9,739		285,073
Salzgitter AG (a)		18,435		487,424
Software AG (a)		58,648		1,994,157
STADA Arzneimittel AG †(a)		42,871		2,221,883
Suedzucker AG (a)		28,645		630,921
Talanx AG (a)		45,223		1,346,877
				52,346,996
Italy - 1.7%
A2A SpA		2,282,796		2,993,340
Atlantia SpA (a)		24,328		607,834
Buzzi Unicem SpA (a)		35,509		622,261
Davide Campari-Milano SpA (a)		62,432		617,989
Enel SpA		123,189		546,891
Eni SpA (a)		64,357		1,036,609
Hera SpA		420,908		1,148,817
Leonardo-Finmeccanica SpA †(a)		272,945		2,760,204
Mediobanca SpA (a)		92,934		535,467
Moncler SpA (a)		32,944		520,099
Poste Italiane SpA 144A (b)		418,853		2,781,157
Prysmian SpA (a)		135,492		2,973,936
Recordati SpA		53,943		1,622,577

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

AQR Funds Semi-Annual Report June 2016

67

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

	SHARES		VALUE (Note 5)
Italy - 1.7% (continued)
Snam SpA (a)		331,683	$	1,982,943
Unipol Gruppo Finanziario SpA		350,551		825,451
UnipolSai SpA		443,452		669,223
				22,244,798
Luxembourg - 0.0% (c)
APERAM SA (a)		14,185		496,547
Netherlands - 1.7%
Akzo Nobel NV (a)		9,128		567,039
ASM International NV (a)		23,180		894,712
BOSKALIS WESTMINSTER (a)		29,000		989,556
Delta Lloyd NV		389,489		1,368,543
Fugro NV CVA †(a)		80,342		1,414,485
Heineken NV (a)		28,359		2,601,139
Koninklijke Ahold NV (a)		142,539		3,147,628
Koninklijke Vopak NV (a)		26,848		1,336,480
NN Group NV (a)		218,946		6,027,238
Randstad Holding NV (a)		39,028		1,560,768
Wolters Kluwer NV (a)		41,846		1,694,396
				21,601,984
Norway - 0.4%
Marine Harvest ASA †(a)		57,038		962,074
Norsk Hydro ASA		142,973		523,400
Orkla ASA (a)		62,120		552,468
Statoil ASA (a)		90,378		1,561,593
Yara International ASA (a)		27,982		888,899
				4,488,434
Portugal - 0.2%
Galp Energia SGPS SA (a)		114,841		1,597,247
Jeronimo Martins SGPS SA (a)		65,139		1,027,356
				2,624,603
Singapore - 0.8%
ComfortDelGro Corp. Ltd.		592,700		1,217,187
DBS Group Holdings Ltd.		56,000		660,292
Genting Singapore plc		3,221,100		1,747,306
Global Logistic Properties Ltd.		771,500		1,041,564
SATS Ltd.		385,400		1,178,320
Singapore Airlines Ltd.		275,400		2,186,929
United Overseas Bank Ltd.		73,700		1,015,435
Wilmar International Ltd.		323,300		787,010
				9,834,043
Spain - 2.4%
Abertis Infraestructuras SA (a)		38,492		568,819
Acciona SA (a)		8,867		647,046
ACS Actividades de Construccion y Servicios SA (a)		117,587		3,225,315
Almirall SA		84,344		1,268,127
Banco Santander SA		129,534		502,680
Ebro Foods SA		62,445		1,437,365
Enagas SA (a)		66,516		2,032,082
Endesa SA (a)		129,643		2,601,351
Gamesa Corp. Tecnologica SA (a)		304,641		6,069,679
Gas Natural SDG SA (a)		128,083		2,545,987
Iberdrola SA (a)		506,220		3,453,214
Mapfre SA		238,691		524,205

	SHARES		VALUE (Note 5)
Spain - 2.4% (continued)
Mediaset Espana Comunicacion SA (a)		112,737	$	1,272,644
Repsol SA (a)		389,705		4,995,581
				31,144,095
Sweden - 1.8%
Axfood AB		31,378		602,687
BillerudKorsnas AB		155,810		2,325,074
Boliden AB (a)		103,109		2,015,172
Bonava AB, Class B †		68,739		828,700
Electrolux AB, Series B (a)		141,945		3,870,109
Husqvarna AB, Class B		128,759		958,801
NCC AB, Class B		106,065		2,462,742
Nibe Industrier AB		91,132		757,830
Saab AB, Class B		24,833		774,410
Securitas AB, Class B (a)		82,750		1,277,480
Skanska AB, Class B (a)		53,183		1,113,598
Swedish Match AB (a)		100,279		3,499,548
Swedish Orphan Biovitrum AB †		56,977		699,477
Telefonaktiebolaget LM Ericsson, Class B (a)		201,556		1,548,465
Telia Co. AB		159,327		754,489
				23,488,582
Switzerland - 2.4%
ABB Ltd. †(a)		77,444		1,532,779
Actelion Ltd. †(a)		30,219		5,088,807
Adecco Group AG (a)		58,254		2,938,220
Clariant AG †		46,942		793,290
Flughafen Zuerich AG		14,826		2,623,772
Galenica AG		1,261		1,699,929
GAM Holding AG †		16,712		178,407
Georg Fischer AG		1,802		1,440,534
Lonza Group AG †		8,558		1,421,585
Roche Holding AG (a)		2,459		648,880
Schindler Holding AG		3,723		674,042
SGS SA (a)		712		1,631,015
Sika AG		261		1,094,389
STMicroelectronics NV (a)		413,281		2,427,042
Straumann Holding AG		1,909		753,117
Swiss Life Holding AG †(a)		9,566		2,210,682
Swiss Re AG (a)		31,426		2,744,760
Zurich Insurance Group AG †(a)		4,174		1,032,575
				30,933,825
United Kingdom - 0.4%
Dialog Semiconductor plc †(a)		50,793		1,521,933
Fiat Chrysler Automobiles NV (a)		207,588		1,277,799
Subsea 7 SA †(a)		111,376		1,094,769
Unilever NV CVA (a)		13,508		630,859
				4,525,360
United States - 0.0% (c)
Thomson Reuters Corp. (1)(a)		12,970		524,743
TOTAL COMMON STOCKS (cost $287,500,131)				296,294,684
PREFERRED STOCKS - 0.1%
Germany - 0.1%
Henkel AG & Co. KgaA (a) (cost $1,520,807)		13,564		1,657,664

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

AQR Funds Semi-Annual Report June 2016

68

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

RIGHTS - 0.0% (c)	SHARES		VALUE (Note 5)
Spain - 0.0% (c)
ACS Actividades de Construccion y Servicios SA † (cost $83,416)		117,587	$	82,602
SHORT-TERM INVESTMENTS - 89.8%
Investment Companies - 53.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (d)		3,194,161		3,194,161
Dreyfus Treasury Cash Management, Class I, 0.240% (d)		12,776,642		12,776,642
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% (d) (e)		400,616,048		400,616,048
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% (d)(e)		254,078,508		254,078,508
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (d)		15,970,803		15,970,803
Total Investment Companies (cost $686,636,162)				686,636,162
	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 36.8%
U.S. Treasury Bill, 0.351%, 10/20/2016 (f)	$	29,691		29,669,504
U.S. Treasury Bill, 0.370%, 07/21/2016 (f)		10,345		10,343,945
U.S. Treasury Bill, 0.371%, 11/17/2016 (f)		56,774		56,718,305
U.S. Treasury Bill, 0.384%, 10/06/2016 (f)		25,689		25,671,274
U.S. Treasury Bill, 0.401%, 12/15/2016 (f)		11,902		11,886,789
U.S. Treasury Bill, 0.409%, 08/18/2016 (f)		10,047		10,043,926
U.S. Treasury Bill, 0.422%, 08/11/2016 (f)		28,228		28,221,451
U.S. Treasury Bill, 0.431%, 12/08/2016 (f)		22,772		22,743,011
U.S. Treasury Bill, 0.455%, 09/29/2016 (f)		15,427		15,416,942
U.S. Treasury Bill, 0.456%, 08/25/2016 (f)		21,451		21,443,485
U.S. Treasury Bill, 0.465%, 08/04/2016 (f)		1,646		1,645,666
U.S. Treasury Bill, 0.471%, 07/14/2016 (f)		13,929		13,928,673
U.S. Treasury Bill, 0.477%, 12/01/2016 (f)		20,119		20,094,636
U.S. Treasury Bill, 0.479%, 09/01/2016 (f)		38,194		38,178,722
U.S. Treasury Bill, 0.480%, 11/25/2016 (f)		14,734		14,718,441
U.S. Treasury Bill, 0.498%, 07/07/2016 (f)		19,007		19,006,810

	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Obligations - 36.8% (continued)
U.S. Treasury Bill, 0.511%, 09/15/2016 (f)	$	17,673		$	17,665,401
U.S. Treasury Bill, 0.341%, 12/29/2016 (f)		8,149			8,134,861
U.S. Treasury Bill, 0.381%, 11/10/2016 (f)		15,288			15,273,675
U.S. Treasury Bill, 0.401%, 10/27/2016 (f)		49,269			49,233,428
U.S. Treasury Bill, 0.441%, 09/22/2016 (f)		31,077			31,059,721
U.S. Treasury Bill, 0.476%, 09/08/2016 (f)		14,700			14,694,282
Total U.S. Treasury Obligations (cost $475,582,989)					475,792,948
TOTAL SHORT-TERM INVESTMENTS (cost $1,162,219,151)					1,162,429,110
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $1,451,323,505)					1,460,464,060
SECURITIES SOLD SHORT - (19.6)%	SHARES
COMMON STOCKS - (19.2)%
Austria - (0.1)%
ams AG		(29,210	)		(810,942	)
Belgium - (0.6)%
Anheuser-Busch InBev SA/NV		(34,081	)		(4,506,750	)
KBC Group NV †		(9,639	)		(474,055	)
Telenet Group Holding NV †		(18,236	)		(833,867	)
UCB SA		(17,054	)		(1,280,540	)
Umicore SA		(10,979	)		(567,112	)
					(7,662,324	)
Canada - (4.1)%
Agrium, Inc. (1)		(10,356	)		(936,966	)
AltaGas Ltd. (1)		(90,616	)		(2,202,363	)
BlackBerry Ltd. (1)†		(98,295	)		(659,637	)
Canadian National Railway Co. (1)		(25,294	)		(1,493,618	)
Canadian Utilities Ltd., Class A (1)		(88,686	)		(2,569,385	)
Cenovus Energy, Inc. (1)		(116,413	)		(1,610,202	)
DH Corp. (1)		(40,194	)		(998,978	)
Enbridge, Inc. (1)		(54,310	)		(2,300,698	)
Fairfax Financial Holdings Ltd. (1)		(1,800	)		(969,460	)
Fortis, Inc. (1)		(54,858	)		(1,854,289	)
Gildan Activewear, Inc. (1)		(132,850	)		(3,891,052	)
Hudson’s Bay Co. (1)		(51,509	)		(621,561	)
Husky Energy, Inc. (1)		(46,648	)		(569,402	)
Imperial Oil Ltd. (1)		(53,056	)		(1,678,803	)
Inter Pipeline Ltd. (1)		(68,216	)		(1,446,742	)
Keyera Corp. (1)		(86,731	)		(2,653,051	)
Manulife Financial Corp. (1)		(126,688	)		(1,732,712	)
Methanex Corp. (1)		(113,119	)		(3,291,260	)
National Bank of Canada (1)		(15,425	)		(527,598	)
Pembina Pipeline Corp. (1)		(132,722	)		(4,033,179	)
Peyto Exploration & Development Corp. (1)		(20,249	)		(543,547	)

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

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Schedule of Investments June 30, 2016 (Unaudited)

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	SHARES			VALUE (Note 5)
Canada - (4.1)% (continued)
Potash Corp. of Saskatchewan, Inc. (1)		(111,597	)	$	(1,813,953	)
Power Financial Corp. (1)		(54,419	)		(1,248,905	)
PrairieSky Royalty Ltd. (1)		(43,789	)		(831,074	)
Precision Drilling Corp. (1)		(285,610	)		(1,514,322	)
Restaurant Brands International, Inc. (1)		(21,818	)		(908,218	)
Royal Bank of Canada (1)		(8,857	)		(523,351	)
Silver Wheaton Corp. (1)		(63,287	)		(1,489,653	)
Sun Life Financial, Inc. (1)		(20,253	)		(665,302	)
Suncor Energy, Inc. (1)		(20,108	)		(557,816	)
TransCanada Corp. (1)		(73,589	)		(3,329,860	)
Veresen, Inc. (1)		(131,910	)		(1,118,011	)
Vermilion Energy, Inc. (1)		(17,157	)		(546,336	)
West Fraser Timber Co. Ltd. (1)		(29,675	)		(867,545	)
Whitecap Resources, Inc. (1)		(76,767	)		(587,064	)
WSP Global, Inc. (1)		(20,872	)		(638,462	)
					(53,224,375	)
Denmark - (0.6)%
AP Moeller - Maersk A/S, Class B		(750	)		(979,616	)
Coloplast A/S, Class B		(15,432	)		(1,155,157	)
Danske Bank A/S		(25,265	)		(664,984	)
Novozymes A/S, Class B		(54,853	)		(2,634,090	)
Tryg A/S		(111,280	)		(1,992,413	)
					(7,426,260	)
Finland - (0.9)%
Fortum OYJ		(109,516	)		(1,759,532	)
Nokia OYJ		(1,158,135	)		(6,596,090	)
Sampo OYJ, Class A		(31,852	)		(1,302,630	)
Wartsila OYJ Abp		(37,919	)		(1,547,144	)
					(11,205,396	)
Germany - (2.7)%
Axel Springer SE		(19,899	)		(1,044,770	)
BASF SE		(7,235	)		(554,771	)
Bayerische Motoren Werke AG		(35,374	)		(2,574,347	)
Beiersdorf AG		(12,341	)		(1,168,379	)
Bilfinger SE †		(13,021	)		(381,655	)
Commerzbank AG		(73,696	)		(479,934	)
Continental AG		(4,513	)		(853,980	)
Daimler AG		(40,888	)		(2,446,670	)
Deutsche Bank AG †		(106,997	)		(1,479,032	)
Deutsche Telekom AG		(109,531	)		(1,867,753	)
Duerr AG		(10,303	)		(782,325	)
Fresenius Medical Care AG & Co. KGaA		(10,699	)		(931,952	)
GEA Group AG		(17,117	)		(807,946	)
HUGO BOSS AG		(16,480	)		(936,922	)
Linde AG		(5,604	)		(780,842	)
Merck KGaA		(33,326	)		(3,387,355	)
MTU Aero Engines AG		(7,615	)		(711,454	)
ProSiebenSat.1 Media SE †		(20,104	)		(879,391	)
Rocket Internet SE 144A †(b)		(9,438	)		(184,275	)
RWE AG †		(596,273	)		(9,495,769	)
SAP SE		(12,630	)		(948,578	)
Telefonica Deutschland Holding AG		(262,538	)		(1,081,418	)
Zalando SE 144A †(b)		(69,028	)		(1,826,924	)
					(35,606,442	)

	SHARES			VALUE (Note 5)
Italy - (1.0)%
Azimut Holding SpA		(86,027	)	$	(1,403,605	)
Intesa Sanpaolo SpA		(278,501	)		(530,464	)
Luxottica Group SpA		(85,362	)		(4,160,343	)
Saipem SpA †		(3,543,078	)		(1,416,628	)
Salvatore Ferragamo SpA		(88,325	)		(1,800,406	)
Telecom Italia SpA †		(1,638,619	)		(1,345,813	)
Unione di Banche Italiane SpA		(617,503	)		(1,705,267	)
					(12,362,526	)
Luxembourg - (0.4)%
ArcelorMittal †		(187,838	)		(856,391	)
Tenaris SA		(269,660	)		(3,897,428	)
					(4,753,819	)
Netherlands - (1.3)%
Aegon NV		(565,976	)		(2,242,581	)
Altice NV, Class A †		(153,458	)		(2,291,349	)
ASML Holding NV		(19,843	)		(1,953,310	)
Gemalto NV		(36,642	)		(2,219,917	)
Koninklijke KPN NV		(1,272,608	)		(4,536,132	)
QIAGEN NV †		(38,220	)		(832,901	)
SBM Offshore NV		(263,073	)		(3,048,778	)
					(17,124,968	)
Norway - (0.4)%
DNB ASA		(189,626	)		(2,269,784	)
Gjensidige Forsikring ASA		(35,114	)		(585,030	)
Schibsted ASA, Class A		(76,642	)		(2,297,410	)
					(5,152,224	)
Portugal - (0.1)%
EDP - Energias de Portugal SA		(382,668	)		(1,171,565	)
Singapore - (0.9)%
CapitaLand Ltd.		(499,600	)		(1,147,071	)
Hutchison Port Holdings Trust (1)		(1,346,400	)		(580,298	)
Keppel Corp. Ltd.		(1,218,700	)		(5,027,513	)
Oversea-Chinese Banking Corp. Ltd.		(5,431	)		(35,313	)
Singapore Post Ltd.		(1,531,200	)		(1,677,885	)
Singapore Telecommunications Ltd.		(1,142,700	)		(3,529,364	)
					(11,997,444	)
Spain - (1.9)%
Amadeus IT Holding SA, Class A		(68,505	)		(3,018,245	)
Atresmedia Corp. de Medios de Comunicacion SA		(68,733	)		(671,824	)
Banco de Sabadell SA		(692,415	)		(916,935	)
Bankia SA		(669,394	)		(487,299	)
Bankinter SA		(261,552	)		(1,688,353	)
CaixaBank SA		(734,711	)		(1,619,283	)
Cellnex Telecom SAU 144A (b)		(258,037	)		(4,049,259	)
Distribuidora Internacional de Alimentacion SA		(649,420	)		(3,790,596	)
Grifols SA		(73,656	)		(1,673,198	)
Industria de Diseno Textil SA		(126,975	)		(4,265,593	)
Obrascon Huarte Lain SA †		(123,495	)		(435,037	)
Telefonica SA		(129,110	)		(1,225,746	)
Zardoya Otis SA		(102,167	)		(964,793	)
					(24,806,161	)

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

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Schedule of Investments June 30, 2016 (Unaudited)

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	SHARES			VALUE (Note 5)
Sweden - (1.7)%
Assa Abloy AB, Class B		(198,676	)	$	(4,087,328	)
Atlas Copco AB, Class A		(24,246	)		(629,721	)
Getinge AB, Class B		(28,026	)		(578,625	)
Hennes & Mauritz AB, Class B		(164,310	)		(4,834,134	)
Hexagon AB, Class B		(74,318	)		(2,719,739	)
Nordea Bank AB		(96,290	)		(816,890	)
Sandvik AB		(62,610	)		(626,847	)
Skandinaviska Enskilda Banken AB, Class A		(174,501	)		(1,524,385	)
Svenska Cellulosa AB SCA, Class B		(20,940	)		(672,816	)
Svenska Handelsbanken AB, Class A		(225,025	)		(2,731,919	)
Swedbank AB, Class A		(67,232	)		(1,412,079	)
Tele2 AB, Class B		(199,732	)		(1,753,516	)
					(22,387,999	)
Switzerland - (2.1)%
Aryzta AG †		(40,680	)		(1,503,365	)
Barry Callebaut AG †		(646	)		(795,388	)
Chocoladefabriken Lindt & Spruengli AG		(203	)		(1,210,717	)
Cie Financiere Richemont SA		(84,968	)		(4,973,577	)
Credit Suisse Group AG †		(201,187	)		(2,143,128	)
Dufry AG †		(28,873	)		(3,453,300	)
Julius Baer Group Ltd. †		(92,761	)		(3,733,474	)
LafargeHolcim Ltd. †		(58,421	)		(2,444,191	)
Novartis AG		(24,387	)		(2,012,868	)
OC Oerlikon Corp. AG †		(67,129	)		(589,391	)
Swatch Group AG (The)		(4,500	)		(1,309,508	)
Swisscom AG		(6,398	)		(3,178,563	)
					(27,347,470	)
United Kingdom - (0.4)%
CNH Industrial NV		(656,419	)		(4,761,437	)
RELX NV		(33,343	)		(576,855	)
					(5,338,292	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $255,316,502)					(248,378,207	)
PREFERRED STOCKS - (0.4)%
Germany - (0.4)%
Schaeffler AG		(60,926	)		(804,741	)
Volkswagen AG		(38,858	)		(4,706,495	)
TOTAL PREFERRED STOCKS SOLD SHORT (proceeds $6,845,160)					(5,511,236	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $262,161,662)					(253,889,443	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 93.2% (cost $1,189,161,843)					1,206,574,617
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.8% (g)				88,448,749
NET ASSETS - 100.0%				$	1,295,023,366

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(24,885,979	)		(1.9	)%
Consumer Staples		19,642,699			1.5
Energy		(14,445,274	)		(1.1	)
Financials		(2,931,106	)		(0.2	)
Health Care		5,519,249			0.4
Industrials		60,014,830			4.5
Information Technology		(6,506,611	)		(0.5	)
Materials		18,829,895			1.5
Telecommunication Services		(14,353,093	)		(1.1	)
Utilities		3,260,897			0.3
Investment Companies		686,636,162			53.0
U.S. Treasury Obligations		475,792,948			36.8
Total Investments In Securities, At Value		1,206,574,617			93.2
Other Assets in Excess of Liabilities (g)		88,448,749			6.8
Net Assets	$	1,295,023,366			100.0	%

† Non-income producing security.

(a) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $241,883,591. In addition, $32,852,715 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 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 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 June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	MSCI Singapore Index July Futures	07/2016		SGD		150,035		$6,388
GSIN	Swiss Market Index September Futures	09/2016		CHF		25,371,020		1,161,689
								$1,168,077

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
140	BARC	Amsterdam Index Futures		07/2016		$13,022,669		$13,526,077		$503,408
594	BARC	CAC40 Index Futures		07/2016		27,339,488		27,910,168		570,680
92	BARC	DAX Index Futures		09/2016		24,407,960		24,678,121		270,161
616	BARC	FTSE 100 Index Futures		09/2016		48,003,773		52,667,710		4,663,937
73	BARC	FTSE/MIB Index Futures		09/2016		6,595,595		6,558,307		(37,288	)
69	BARC	Hang Seng Index Futures		07/2016		8,905,298		9,315,058		409,760
69	BARC	IBEX 35 Index Futures		07/2016		6,205,212		6,223,297		18,085
125	BARC	MSCI Singapore Index Futures		07/2016		2,824,642		2,944,288		119,646
556	BARC	OMXS30 Index Futures		07/2016		8,335,652		8,664,602		328,950
4,310	BARC	S&P 500 E-Mini Futures		09/2016		449,036,637		450,438,100		1,401,463
193	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		24,266,834		24,329,099		62,265
209	BARC	SPI 200 Index Futures		09/2016		20,053,825		20,169,861		116,036
531	BARC	TOPIX Index Futures		09/2016		68,249,697		64,044,981		(4,204,716	)
						$707,247,282		$711,469,669		$4,222,387

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		8,888,400		$6,393,843		$6,609,822		$215,979
Australian Dollar, Expiring 09/21/16	JPMC	AUD		13,332,600		9,590,778		9,914,735		323,957
Canadian Dollar, Expiring 09/21/16	CITI	CAD		12,125,765		9,308,002		9,387,104		79,102
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		18,188,645		13,962,105		14,080,656		118,551
Swiss Franc, Expiring 09/21/16	CITI	CHF		10,982,633		11,177,396		11,298,723		121,327
Swiss Franc, Expiring 09/21/16	JPMC	CHF		12,261,949		12,470,208		12,614,859		144,651

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

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Schedule of Investments June 30, 2016 (Unaudited)

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Danish Krone, Expiring 09/21/16	CITI	DKK		6,705,000			$ 1,010,447			$ 1,003,441			$ (7,006	)
Euro, Expiring 09/21/16	CITI	EUR		13,427,552			15,055,234			14,944,825			(110,409	)
Euro, Expiring 09/21/16	JPMC	EUR		20,141,328			22,582,886			22,417,238			(165,648	)
British Pound, Expiring 09/21/16	CITI	GBP		12,580,401			18,476,862			16,760,591			(1,716,271	)
British Pound, Expiring 09/21/16	JPMC	GBP		18,870,600			27,715,325			25,140,883			(2,574,442	)
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		23,712,200			3,056,871			3,059,409			2,538
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		33,487,800			4,317,227			4,320,680			3,453
Israeli Shekel, Expiring 09/21/16	CITI	ILS		2,940,200			768,591			763,270			(5,321	)
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		3,976,800			1,039,814			1,032,370			(7,444	)
Japanese Yen, Expiring 09/21/16	CITI	JPY		2,303,471,201			20,979,826			22,367,454			1,387,628
Japanese Yen, Expiring 09/21/16	JPMC	JPY		3,455,206,800			31,469,778			33,551,182			2,081,404
Norwegian Krone, Expiring 09/21/16	CITI	NOK		4,255,606			512,049			508,432			(3,617	)
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		4,497,909			542,001			537,381			(4,620	)
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		238,800			159,863			169,815			9,952
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		358,199			239,793			254,724			14,931
Swedish Krona, Expiring 09/21/16	CITI	SEK		22,278,905			2,690,395			2,642,439			(47,956	)
Swedish Krona, Expiring 09/21/16	JPMC	SEK		27,143,857			3,279,583			3,219,458			(60,125	)
Singapore Dollar, Expiring 09/21/16	CITI	SGD		1,803,086			1,308,917			1,337,375			28,458
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		2,704,629			1,963,377			2,006,065			42,688
							$220,071,171			$219,942,931			$(128,240	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(4,477,000	)		$(3,484,317	)		$(3,465,849	)		$18,468
Swiss Franc, Expiring 09/21/16	CITI	CHF		(53,400	)		(55,671	)		(54,937	)		734
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(15,600	)		(16,215	)		(16,049	)		166
Danish Krone, Expiring 09/21/16	CITI	DKK		(5,149,023	)		(777,873	)		(770,581	)		7,292
Danish Krone, Expiring 09/21/16	JPMC	DKK		(7,117,534	)		(1,074,364	)		(1,065,179	)		9,185
Euro, Expiring 09/21/16	CITI	EUR		(2,246,000	)		(2,529,578	)		(2,499,792	)		29,786

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

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Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Japanese Yen, Expiring 09/21/16	CITI	JPY		(29,184,000	)		$ (272,726	)		$ (283,386	)		$ (10,660	)
Japanese Yen, Expiring 09/21/16	JPMC	JPY		(43,776,000	)		(409,089	)		(425,079	)		(15,990	)
Norwegian Krone, Expiring 09/21/16	CITI	NOK		(1,383,000	)		(165,478	)		(165,232	)		246
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		(27,600	)		(18,955	)		(19,627	)		(672	)
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		(41,400	)		(28,434	)		(29,440	)		(1,006	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		(1,159,000	)		(140,606	)		(137,466	)		3,140
Swedish Krona, Expiring 09/21/16	JPMC	SEK		(282,000	)		(34,831	)		(33,447	)		1,384
Singapore Dollar, Expiring 09/21/16	CITI	SGD		(551,000	)		(406,037	)		(408,685	)		(2,648	)
							(9,414,174	)		(9,374,749	)		39,425
							$210,656,997			$210,568,182			$(88,815	)

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

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

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Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Total Return Basket Swaps* Outstanding at June 30, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$5,492,309

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Ajinomoto Co., Inc.		81,100	$	1,957,843	$	(47,049	)
Alfresa Holdings Corp.		97,900		2,048,278		(2,942	)
Amada Holdings Co. Ltd.		252,800		2,728,835		(162,375	)
Astellas Pharma, Inc.		221,500		3,320,025		153,614
Bandai Namco Holdings, Inc.		206,900		4,943,902		395,466
Bridgestone Corp.		44,700		1,662,192		(225,671	)
Central Japan Railway Co.		7,900		1,415,332		(10,210	)
Chiyoda Corp.		246,000		1,718,619		(91,794	)
Chubu Electric Power Co., Inc.		422,300		6,510,164		(500,402	)
Citizen Holdings Co. Ltd.		263,400		1,407,579		(125,552	)
Concordia Financial Group Ltd.		130,100		670,212		(167,778	)
Daicel Corp.		55,300		773,905		(200,883	)
Dai-ichi Life Insurance Co. Ltd. (The)		260,800		3,719,163		(799,665	)
Daiichi Sankyo Co. Ltd.		93,000		2,250,833		8,613
DeNA Co. Ltd.		44,900		736,237		314,132
Disco Corp.		11,400		1,130,670		(99,656	)
Ezaki Glico Co. Ltd.		10,100		570,948		19,900
FamilyMart Co. Ltd.		20,600		1,162,735		92,655
Fuji Heavy Industries Ltd.		110,400		4,301,305		(506,483	)
FUJIFILM Holdings Corp.		40,900		1,791,863		(204,925	)
Gunma Bank Ltd. (The)		145,000		806,088		(279,523	)
Hakuhodo DY Holdings, Inc.		142,300		1,718,544		(12,963	)
Haseko Corp.		326,800		3,830,006		(539,847	)
Hisamitsu Pharmaceutical Co., Inc.		17,500		980,001		29,074
Hitachi Capital Corp.		79,000		1,757,887		(189,974	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Hitachi Chemical Co. Ltd.		135,900	$	2,470,069	$	68,054
Hitachi High-Technologies Corp.		54,500		1,584,953		(93,408	)
Hitachi Metals Ltd.		70,100		840,682		(128,525	)
Hoya Corp.		144,100		5,739,779		(593,105	)
Idemitsu Kosan Co. Ltd.		157,400		3,234,602		182,566
Inpex Corp.		445,200		3,973,076		(491,344	)
Isuzu Motors Ltd.		134,100		1,680,958		(29,251	)
ITOCHU Corp.		91,000		1,257,232		(144,010	)
Itochu Techno-Solutions Corp.		158,800		3,458,920		(37,851	)
Japan Airlines Co. Ltd.		176,800		6,426,022		(737,904	)
Japan Petroleum Exploration Co. Ltd.		110,700		3,001,606		(770,221	)
JSR Corp.		65,900		1,052,252		(179,530	)
JTEKT Corp.		115,400		1,878,334		(570,335	)
JX Holdings, Inc.		1,391,400		5,956,963		(525,883	)
Kaken Pharmaceutical Co. Ltd.		41,400		3,283,545		(569,276	)
Kamigumi Co. Ltd.		98,000		962,913		(57,117	)
Kaneka Corp.		368,000		3,290,203		(834,813	)
KDDI Corp.		19,400		573,447		16,502
Kewpie Corp.		29,400		756,216		181,550
Kobayashi Pharmaceutical Co. Ltd.		17,200		747,511		16,288
Konami Holdings Corp.		80,000		2,423,034		628,953
Konica Minolta, Inc.		331,000		3,359,349		(948,159	)
Kose Corp.		10,900		985,267		(61,603	)
Kuraray Co. Ltd.		43,200		559,141		(43,701	)
Kurita Water Industries Ltd.		25,500		586,237		(17,797	)
Kyocera Corp.		18,300		892,057		(21,292	)
LIXIL Group Corp.		115,300		2,205,914		(312,474	)
Mazda Motor Corp.		211,000		4,011,915		(1,219,692	)

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)
Medipal Holdings Corp.		163,800	$	3,049,758	$	(356,750	)
MEIJI Holdings Co. Ltd.		17,600		1,564,396		244,098
Miraca Holdings, Inc.		17,800		803,714		(31,762	)
Mitsubishi Chemical Holdings Corp.		388,100		2,036,917		(257,870	)
Mitsubishi Electric Corp.		239,000		2,948,190		(94,923	)
Mitsubishi Gas Chemical Co., Inc.		218,000		1,227,097		(89,809	)
Mitsubishi Motors Corp.		509,600		2,117,759		234,725
Mitsubishi Tanabe Pharma Corp.		204,000		3,914,028		(228,117	)
Mitsubishi UFJ Lease & Finance Co. Ltd.		268,300		1,260,843		(229,881	)
Mitsui Chemicals, Inc.		811,000		3,304,644		(324,411	)
Mixi, Inc.		98,500		3,959,256		113,262
MS&AD Insurance Group Holdings, Inc.		121,600		3,443,218		(292,547	)
Nexon Co. Ltd.		188,900		3,165,106		(369,378	)
NHK Spring Co. Ltd.		264,300		2,818,656		(673,629	)
Nikon Corp.		210,700		2,941,778		(88,940	)
Nippon Express Co. Ltd.		616,000		3,158,813		(343,868	)
Nippon Shokubai Co. Ltd.		42,700		2,730,367		(274,419	)
Nippon Telegraph & Telephone Corp.		121,100		5,300,671		378,303
Nippon Yusen KK		827,000		1,586,495		(131,606	)
Nisshin Seifun Group, Inc.		84,000		1,476,141		(125,851	)
Nitori Holdings Co. Ltd.		5,300		467,584		175,221
Nitto Denko Corp.		12,000		722,992		38,218
NOK Corp.		47,400		1,125,808		(319,741	)
Nomura Research Institute Ltd.		23,940		1,009,478		(131,472	)
NSK Ltd.		94,400		1,055,675		(364,673	)
NTN Corp.		311,000		1,314,127		(474,938	)
NTT Data Corp.		37,900		1,915,851		(125,895	)
Obayashi Corp.		115,600		1,241,304		(10,522	)
Obic Co. Ltd.		10,500		573,207		4,780
Olympus Corp.		13,900		549,373		(30,325	)
Oracle Corp. Japan		25,500		1,331,481		28,256
Osaka Gas Co. Ltd.		503,000		1,995,612		(61,833	)
Otsuka Corp.		60,300		3,116,194		(296,485	)
Otsuka Holdings Co. Ltd.		74,700		2,883,096		559,295
Panasonic Corp.		360,300		3,647,361		(547,506	)
Pola Orbis Holdings, Inc.		46,500		3,484,679		891,443
Recruit Holdings Co. Ltd.		46,600		1,701,697		793
Rohm Co. Ltd.		51,300		2,481,825		(457,009	)
Sankyo Co. Ltd.		71,400		2,948,917		(271,914	)
Santen Pharmaceutical Co. Ltd.		96,600		1,635,470		(117,190	)
Seiko Epson Corp.		108,400		1,835,386		(97,558	)
Sekisui Chemical Co. Ltd.		172,500		2,394,701		(269,363	)
Shimadzu Corp.		74,000		1,292,834		(180,371	)
Shimamura Co. Ltd.		13,200		1,606,823		357,162

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Shin-Etsu Chemical Co. Ltd.		9,600		$	560,020		$	2,429
Shionogi & Co. Ltd.		38,500			2,022,468			82,176
SMC Corp.		2,200			550,562			(9,305	)
Sojitz Corp.		3,055,900			6,763,203			477,853
Sompo Japan Nipponkoa Holdings, Inc.		57,400			1,682,793			(155,253	)
Sugi Holdings Co. Ltd.		18,700			1,008,070			34,603
Sumitomo Chemical Co. Ltd.		670,000			3,538,376			(773,915	)
Sumitomo Corp.		350,400			3,525,189			6,808
Sundrug Co. Ltd.		16,400			1,179,622			360,256
Suzuken Co. Ltd.		108,200			4,217,463			(811,732	)
Suzuki Motor Corp.		124,800			3,441,260			(61,934	)
T&D Holdings, Inc.		442,500			4,810,465			(1,052,742	)
Taiheiyo Cement Corp.		1,107,000			2,861,804			(239,800	)
TDK Corp.		10,200			658,673			(87,715	)
Teijin Ltd.		431,000			1,678,933			(250,794	)
Toho Gas Co. Ltd.		225,000			1,690,717			150,395
Tohoku Electric Power Co., Inc.		147,700			2,258,157			(394,105	)
Tokio Marine Holdings, Inc.		61,400			2,031,701			12,372
Tokyo Broadcasting System Holdings, Inc.		51,000			767,485			(77,655	)
Tokyo Electric Power Co. Holdings, Inc.		1,052,800			6,212,143			(1,753,493	)
Tokyo Electron Ltd.		12,500			926,229			130,130
Tokyo Gas Co. Ltd.		751,000			3,790,262			(689,562	)
Toppan Printing Co. Ltd.		365,000			3,439,671			(301,135	)
Tosoh Corp.		449,000			2,278,572			(207,502	)
Toyo Suisan Kaisha Ltd.		49,800			1,997,745			22,295
Toyoda Gosei Co. Ltd.		49,900			1,055,653			(166,968	)
Toyota Boshoku Corp.		142,800			2,781,641			199,297
Toyota Tsusho Corp.		81,600			1,815,658			(58,863	)
West Japan Railway Co.		47,300			3,054,297			(56,739	)
Yamazaki Baking Co. Ltd.		28,000			644,832			136,862
								(20,626,352	)
Total of Long Equity Positions								(20,626,352	)
Short Positions
Common Stocks
Japan
Acom Co. Ltd.		(1,105,600	)		(5,283,319	)		(72,812	)
Advantest Corp.		(139,600	)		(1,378,542	)		(178,840	)
Aeon Co. Ltd.		(343,000	)		(5,148,551	)		(177,062	)
AEON Financial Service Co. Ltd.		(81,700	)		(1,847,326	)		78,281
Aisin Seiki Co. Ltd.		(36,400	)		(1,595,282	)		112,590
Alps Electric Co. Ltd.		(108,700	)		(2,312,409	)		247,293
ANA Holdings, Inc.		(704,000	)		(2,203,748	)		197,625

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

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Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Asahi Glass Co. Ltd.		(167,000	)	$	(1,114,900	)	$	208,609
Asahi Group Holdings Ltd.		(18,900	)		(680,540	)		69,412
Asics Corp.		(189,000	)		(4,395,578	)		1,202,439
Bank of Kyoto Ltd. (The)		(120,000	)		(826,903	)		90,859
Brother Industries Ltd.		(57,000	)		(701,100	)		89,699
Calbee, Inc.		(55,900	)		(2,473,761	)		135,132
Canon, Inc.		(118,000	)		(3,682,811	)		313,886
Casio Computer Co. Ltd.		(78,000	)		(1,491,330	)		368,112
Century Tokyo Leasing Corp.		(19,300	)		(714,205	)		89,594
Chugai Pharmaceutical Co. Ltd.		(71,900	)		(2,723,976	)		161,588
Chugoku Electric Power Co., Inc. (The)		(230,800	)		(3,332,733	)		398,537
Credit Saison Co. Ltd.		(175,000	)		(3,407,857	)		468,121
Daikin Industries Ltd.		(20,300	)		(1,643,568	)		(62,541	)
Daiwa Securities Group, Inc.		(281,000	)		(1,825,871	)		345,459
Denso Corp.		(108,800	)		(5,257,834	)		1,429,670
Don Quijote Holdings Co. Ltd.		(60,500	)		(2,239,464	)		(8,881	)
Eisai Co. Ltd.		(9,500	)		(588,551	)		58,108
Electric Power Development Co. Ltd.		(67,900	)		(2,202,770	)		620,816
FANUC Corp.		(22,000	)		(3,503,842	)		(74,969	)
Fast Retailing Co. Ltd.		(18,700	)		(6,103,236	)		1,082,650
Hamamatsu Photonics KK		(159,300	)		(4,567,688	)		97,870
Hankyu Hanshin Holdings, Inc.		(78,000	)		(544,570	)		(37,040	)
Hirose Electric Co. Ltd.		(4,400	)		(612,973	)		71,923
Hitachi Construction Machinery Co. Ltd.		(37,400	)		(602,379	)		56,487
Hitachi Ltd.		(150,000	)		(962,810	)		334,331
Hokuriku Electric Power Co.		(64,500	)		(862,640	)		63,410
Honda Motor Co. Ltd.		(32,400	)		(1,212,369	)		399,607
IHI Corp.		(1,614,000	)		(3,777,225	)		(573,299	)
Isetan Mitsukoshi Holdings Ltd.		(241,600	)		(2,723,391	)		572,957
J Front Retailing Co. Ltd.		(72,500	)		(920,902	)		169,196
Japan Display, Inc.		(408,600	)		(1,091,193	)		426,475
Japan Post Bank Co. Ltd.		(47,600	)		(605,715	)		46,003
Japan Tobacco, Inc.		(120,600	)		(4,946,325	)		85,879
JFE Holdings, Inc.		(152,000	)		(2,274,230	)		291,359
JGC Corp.		(39,000	)		(559,619	)		1,310
Kakaku.com, Inc.		(40,200	)		(835,666	)		36,905
Kansai Paint Co. Ltd.		(41,700	)		(724,124	)		(117,786	)
Kao Corp.		(12,000	)		(685,654	)		(13,252	)
Kawasaki Heavy Industries Ltd.		(191,000	)		(674,642	)		136,090

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Keihan Holdings Co. Ltd.		(90,000	)	$	(673,252	)	$	49,610
Keikyu Corp.		(296,000	)		(2,837,754	)		(140,922	)
Keio Corp.		(211,000	)		(1,975,523	)		(14,811	)
Keisei Electric Railway Co. Ltd.		(67,000	)		(981,193	)		117,578
Keyence Corp.		(3,300	)		(1,994,071	)		(257,613	)
Kikkoman Corp.		(46,000	)		(1,630,609	)		(66,791	)
Kintetsu Group Holdings Co. Ltd.		(256,000	)		(1,069,917	)		(25,619	)
Kirin Holdings Co. Ltd.		(157,200	)		(2,551,080	)		(100,282	)
Kobe Steel Ltd.		(4,066,000	)		(3,758,448	)		416,705
Koito Manufacturing Co. Ltd.		(12,000	)		(554,515	)		1,982
Kubota Corp.		(76,500	)		(1,371,620	)		336,932
Kyowa Hakko Kirin Co. Ltd.		(50,000	)		(932,722	)		79,933
Kyushu Electric Power Co., Inc.		(358,600	)		(4,370,986	)		774,441
M3, Inc.		(19,400	)		(494,753	)		(182,307	)
Mabuchi Motor Co. Ltd.		(40,400	)		(1,948,653	)		237,521
Makita Corp.		(20,000	)		(1,311,836	)		(16,105	)
Marubeni Corp.		(300,000	)		(1,518,146	)		162,825
Marui Group Co. Ltd.		(429,100	)		(6,266,700	)		490,201
Maruichi Steel Tube Ltd.		(16,000	)		(501,437	)		(57,766	)
Minebea Co. Ltd.		(142,700	)		(1,888,205	)		918,714
MISUMI Group, Inc.		(183,000	)		(2,864,771	)		(439,242	)
Mitsubishi Heavy Industries Ltd.		(439,000	)		(2,093,754	)		328,438
Mitsubishi Logistics Corp.		(272,000	)		(3,967,839	)		162,471
Mitsubishi Materials Corp.		(213,000	)		(603,260	)		93,262
Mitsui OSK Lines Ltd.		(1,993,000	)		(5,397,797	)		1,159,674
Murata Manufacturing Co. Ltd.		(6,300	)		(770,481	)		64,159
Nagoya Railroad Co. Ltd.		(351,000	)		(1,790,349	)		(187,337	)
NGK Insulators Ltd.		(72,000	)		(1,591,278	)		135,635
NGK Spark Plug Co. Ltd.		(210,600	)		(5,352,996	)		2,174,035
Nidec Corp.		(89,700	)		(7,071,695	)		243,460
Nippon Paint Holdings Co. Ltd.		(105,900	)		(2,614,687	)		(3,350	)
Nippon Steel & Sumitomo Metal Corp.		(71,500	)		(1,536,503	)		152,289
Nissan Motor Co. Ltd.		(191,900	)		(1,964,686	)		252,109
Nomura Holdings, Inc.		(860,400	)		(3,759,046	)		698,982
Odakyu Electric Railway Co. Ltd.		(427,000	)		(4,948,412	)		(58,564	)
Omron Corp.		(32,700	)		(1,109,094	)		41,740
Ono Pharmaceutical Co. Ltd.		(24,600	)		(1,114,690	)		43,088
Oriental Land Co. Ltd.		(50,400	)		(3,416,825	)		153,456

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

AQR Funds Semi-Annual Report June 2016

77

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Park24 Co. Ltd.		(47,700	)	$	(1,426,427	)	$	(212,756	)
Pigeon Corp.		(212,900	)		(5,628,364	)		(736,168	)
Rakuten, Inc.		(411,700	)		(4,446,535	)		(21,784	)
Ricoh Co. Ltd.		(348,400	)		(4,079,728	)		1,059,627
Rinnai Corp.		(11,600	)		(1,151,188	)		126,177
Ryohin Keikaku Co. Ltd.		(2,200	)		(511,676	)		(24,458	)
Sega Sammy Holdings, Inc.		(138,600	)		(1,744,276	)		251,540
Seibu Holdings, Inc.		(204,900	)		(4,327,381	)		856,932
Sekisui House Ltd.		(147,500	)		(2,686,494	)		103,462
Seven & i Holdings Co. Ltd.		(30,700	)		(1,470,024	)		182,831
Seven Bank Ltd.		(163,900	)		(653,245	)		144,514
Shikoku Electric Power Co., Inc.		(206,000	)		(3,033,672	)		593,522
Shimano, Inc.		(22,400	)		(3,765,024	)		340,118
Shimizu Corp.		(141,000	)		(1,301,195	)		(19,836	)
Shinsei Bank Ltd.		(1,219,000	)		(1,823,454	)		47,393
Shiseido Co. Ltd.		(72,300	)		(1,935,496	)		51,520
SoftBank Group Corp.		(82,300	)		(4,620,105	)		(34,131	)
Sohgo Security Services Co. Ltd.		(27,400	)		(1,474,985	)		120,465
Sony Corp.		(109,000	)		(3,095,088	)		(116,267	)
Stanley Electric Co. Ltd.		(77,500	)		(1,874,373	)		219,260
Sumco Corp.		(534,100	)		(5,262,815	)		1,841,224
Sumitomo Metal Mining Co. Ltd.		(105,000	)		(1,279,485	)		211,385
Sumitomo Mitsui Trust Holdings, Inc.		(170,000	)		(543,627	)		(9,522	)
Suntory Beverage & Food Ltd.		(16,300	)		(808,748	)		71,155
Suruga Bank Ltd.		(27,000	)		(579,958	)		(30,220	)
Taiyo Nippon Sanso Corp.		(130,400	)		(1,280,151	)		81,647
Takashimaya Co. Ltd.		(86,000	)		(872,400	)		256,421
Takeda Pharmaceutical Co. Ltd.		(53,500	)		(2,296,420	)		(10,938	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
THK Co. Ltd.		(63,800	)	$	(1,304,171	)	$	216,738
Tobu Railway Co. Ltd.		(169,000	)		(929,978	)		2,416
Tokyu Corp.		(135,000	)		(1,198,815	)		13,557
TOTO Ltd.		(32,200	)		(1,244,744	)		(41,943	)
Toyo Seikan Group Holdings Ltd.		(152,400	)		(3,091,304	)		179,236
Toyota Industries Corp.		(87,200	)		(4,411,217	)		944,155
Toyota Motor Corp.		(38,500	)		(2,213,020	)		315,027
Tsuruha Holdings, Inc.		(16,400	)		(1,835,414	)		(150,439	)
Unicharm Corp.		(326,300	)		(7,467,110	)		135,940
Yahoo Japan Corp.		(175,200	)		(766,917	)		(9,984	)
Yakult Honsha Co. Ltd.		(77,700	)		(4,438,661	)		400,346
Yamaha Motor Co. Ltd.		(175,700	)		(3,342,918	)		662,665
Yamato Holdings Co. Ltd.		(246,900	)		(5,724,514	)		55,445
Yaskawa Electric Corp.		(256,900	)		(3,382,365	)		28,170
Yokohama Rubber Co. Ltd. (The)		(113,600	)		(1,656,627	)		231,855
								25,306,628
Total of Short Equity Positions								25,306,628
Total of Long and Short Equity Positions								4,680,276
Net Cash and Other Receivables/ (Payables) (b)								812,033
Swaps, at Value							$	5,492,309

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

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

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

AQR Funds Semi-Annual Report June 2016

78

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$4,131,755

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Ireland
DCC plc		40,145	$	2,633,381	$	899,364
Luxembourg
Regus plc		289,050		1,119,857		(2,203	)
Netherlands
Royal Dutch Shell plc		76,194		1,268,786		823,895
South Africa
Mondi plc		117,500		2,083,601		116,290
Switzerland
Coca-Cola HBC AG		95,102		1,752,973		171,369
Glencore plc		1,666,480		2,724,494		710,323
Wolseley plc		10,674		497,488		55,250
						936,942
United Kingdom
AA plc		30,074		113,045		(16,759	)
Amec Foster Wheeler plc		519,586		2,841,012		575,319
Anglo American plc		198,224		1,560,065		382,975
ASOS plc		62,124		2,670,395		648,216
Barratt Developments plc		350,894		2,480,236		(573,469	)
Bellway plc		84,616		2,854,371		(707,869	)
Berkeley Group Holdings plc		131,114		5,598,131		(1,170,713	)
BP plc		641,836		3,056,958		700,041
Britvic plc		122,123		1,085,169		(129,528	)
Centrica plc		752,658		1,983,974		292,059
Close Brothers Group plc		30,657		521,685		(56,978	)
Daily Mail & General Trust plc		64,087		550,317		(38,714	)
DS Smith plc		104,402		536,548		3,598
GKN plc		140,876		546,487		(37,156	)
Howden Joinery Group plc		123,906		808,156		(171,767	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Imperial Brands plc		115,966	$	5,427,682	$	861,477
Inchcape plc		60,305		540,487		(33,422	)
Indivior plc		87,266		189,170		104,465
Informa plc		58,943		486,173		88,600
Intermediate Capital Group plc		70,798		518,712		(54,853	)
John Wood Group plc		412,692		3,253,122		545,770
Kingfisher plc		328,969		1,518,101		(105,151	)
Man Group plc		416,857		971,442		(323,777	)
Marks & Spencer Group plc		256,697		1,625,665		(526,353	)
Meggitt plc		332,691		1,608,463		199,859
Melrose Industries plc		147,661		544,459		294,418
Micro Focus International plc		24,210		470,057		52,251
National Grid plc		330,354		4,211,490		646,474
Persimmon plc		133,917		3,371,918		(775,040	)
Petrofac Ltd.		271,509		2,816,983		5,246
Reckitt Benckiser Group plc		25,107		2,191,304		326,217
Rentokil Initial plc		496,431		995,995		285,994
Rio Tinto plc		66,103		1,681,074		372,518
Royal Mail plc		481,639		2,885,796		350,118
Severn Trent plc		65,110		1,856,574		267,914
Smith & Nephew plc		63,924		944,551		140,953
Smiths Group plc		210,051		2,741,009		504,954
Sports Direct International plc		158,896		822,192		(141,854	)
SSE plc		121,363		2,388,415		137,532
Stagecoach Group plc		286,952		1,218,945		(331,512	)
Taylor Wimpey plc		1,244,744		2,909,897		(701,614	)
Thomas Cook Group plc		1,119,551		1,522,509		(581,671	)
Vedanta Resources plc		146,842		676,949		143,606
William Hill plc		540,889		2,401,269		(538,151	)
WM Morrison Supermarkets PLC		804,004		1,933,145		85,231
WPP plc		30,856		604,189		38,894
						1,038,348
Total of Long Equity Positions						3,812,636

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

AQR Funds Semi-Annual Report June 2016

79

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Chile
Antofagasta plc		(269,426	)	$	(1,431,453	)	$	(253,271	)
Ireland
Shire plc		(64,813	)		(3,501,823	)		(503,783	)
United Kingdom
Aberdeen Asset Management plc		(325,288	)		(1,265,041	)		44,596
Admiral Group plc		(110,637	)		(2,303,947	)		(704,281	)
Aggreko plc		(43,185	)		(649,612	)		(88,982	)
ARM Holdings plc		(484,171	)		(6,184,388	)		(1,170,038	)
Ashtead Group plc		(441,261	)		(5,185,903	)		(1,117,037	)
Associated British Foods plc		(46,353	)		(2,033,267	)		344,240
Auto Trader Group plc		(136,883	)		(718,219	)		71,134
Aviva plc		(306,036	)		(1,951,033	)		337,829
Babcock International Group plc		(38,255	)		(505,176	)		42,665
BAE Systems plc		(81,917	)		(524,579	)		(48,886	)
Balfour Beatty plc		(169,119	)		(530,288	)		44,183
Booker Group plc		(466,284	)		(1,019,009	)		(60,805	)
British American Tobacco plc		(34,025	)		(1,626,083	)		(579,725	)
BTG plc		(214,521	)		(1,730,038	)		(341,868	)
Bunzl plc		(101,323	)		(2,502,109	)		(615,452	)
Capita plc		(319,347	)		(4,576,582	)		461,632
Cobham plc		(340,975	)		(1,188,684	)		470,307
Croda International plc		(13,848	)		(537,664	)		(43,653	)
easyJet plc		(208,512	)		(4,122,345	)		1,092,329
Essentra plc		(139,486	)		(1,408,503	)		451,489
Halma plc		(102,649	)		(1,199,844	)		(196,287	)
Hargreaves Lansdown plc		(183,751	)		(2,758,543	)		(306,613	)
HSBC Holdings plc		(97,219	)		(607,732	)		5,406
IMI plc		(61,555	)		(730,405	)		(67,305	)
Inmarsat plc		(98,332	)		(1,245,766	)		186,054
International Consolidated Airlines Group SA		(614,096	)		(4,023,979	)		978,251
ITV plc		(193,903	)		(723,456	)		258,539
Legal & General Group plc		(868,257	)		(2,617,663	)		394,840
Lloyds Banking Group plc		(2,284,767	)		(1,864,706	)		209,871
Merlin Entertainments plc		(162,209	)		(925,333	)		(29,913	)
Old Mutual plc		(1,115,669	)		(2,554,813	)		(459,129	)
Pennon Group plc		(67,488	)		(759,530	)		(94,011	)
Provident Financial plc		(45,004	)		(1,874,637	)		486,990
Prudential plc		(240,460	)		(4,136,505	)		56,161
Rolls-Royce Holdings plc (3)		(25,855,573	)		3,356			(37,776	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Rolls-Royce Holdings plc		(381,742	)	$	(3,400,876	)	$	(242,840	)
Rotork plc		(231,297	)		(553,755	)		(115,857	)
Royal Bank of Scotland Group plc		(393,781	)		(1,329,282	)		436,914
RSA Insurance Group plc		(155,769	)		(844,395	)		(199,626	)
Schroders plc		(46,604	)		(1,545,995	)		73,278
Serco Group plc		(377,089	)		(418,642	)		(142,545	)
Spectris plc		(31,709	)		(681,295	)		(90,556	)
St. James’s Place plc		(390,452	)		(4,613,847	)		496,226
Standard Chartered plc		(338,979	)		(2,244,560	)		(327,265	)
Standard Life plc		(638,134	)		(3,214,797	)		697,130
Tesco plc		(1,966,677	)		(4,814,824	)		195,893
Travis Perkins plc		(29,917	)		(688,462	)		98,201
Vodafone Group plc		(681,328	)		(1,911,283	)		(165,990	)
Whitbread plc		(19,812	)		(1,038,018	)		111,029
Worldpay Group plc		(249,555	)		(936,831	)		28,526
								827,273
Total of Short Equity Positions								70,219
Total of Long and Short Equity Positions								3,882,855
Net Cash and Other Receivables/ (Payables) (b)								248,900
Swaps, at Value							$	4,131,755

(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 Semi-Annual Report June 2016

80

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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 08/19/2016		$578,502

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
AGL Energy Ltd.		243,501	$	3,383,894	$	152,498
Ansell Ltd.		134,996		1,911,433		(63,872	)
Aurizon Holdings Ltd.		1,514,378		4,720,830		773,771
Boral Ltd.		551,595		2,371,565		218,077
Caltex Australia Ltd.		195,712		4,813,835		(95,227	)
CIMIC Group Ltd.		166,173		3,644,098		842,181
Coca-Cola Amatil Ltd.		708,326		4,562,501		(190,004	)
Cochlear Ltd.		10,315		850,660		90,474
Flight Centre Travel Group Ltd.		36,465		1,016,065		(148,545	)
Fortescue Metals Group Ltd.		994,258		2,256,945		403,733
Harvey Norman Holdings Ltd.		433,823		1,383,811		125,713
Iluka Resources Ltd.		109,754		515,708		25,368
Incitec Pivot Ltd.		302,981		694,626		(14,037	)
Newcrest Mining Ltd.		178,270		2,736,970		352,777
Oil Search Ltd.		315,810		1,577,897		16,806
Origin Energy Ltd.		202,901		632,240		254,260
Qantas Airways Ltd.		1,060,907		2,768,603		(521,261	)
Santos Ltd.		325,210		1,018,096		133,078
Star Entertainment Grp Ltd. (The)		557,273		1,989,996		280,739
Tabcorp Holdings Ltd.		474,824		1,577,075		58,585
Tatts Group Ltd.		539,328		1,599,145		(47,103	)
Telstra Corp. Ltd.		516,315		2,093,245		64,814
TPG Telecom Ltd.		79,331		589,214		122,136
Treasury Wine Estates Ltd.		533,273		2,781,110		924,536
Woodside Petroleum Ltd.		153,606		3,078,862		35,845
WorleyParsons Ltd.		177,575		598,625		375,814
						4,171,156
Total of Long Equity Positions						4,171,156

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Australia
ALS Ltd.		(629,905	)	$	(1,935,063	)	$	(396,688	)
Alumina Ltd.		(1,865,724	)		(1,617,155	)		(216,794	)
AMP Ltd.		(696,372	)		(2,844,507	)		130,600
APA Group		(771,829	)		(4,932,312	)		(436,039	)
AusNet Services		(791,335	)		(809,091	)		(165,531	)
Australia & New Zealand Banking Group Ltd.		(31,088	)		(541,852	)		(24,573	)
Bank of Queensland Ltd.		(129,607	)		(1,203,131	)		169,094
Brambles Ltd.		(253,196	)		(2,092,498	)		(271,439	)
Challenger Ltd.		(80,662	)		(535,264	)		8,280
Commonwealth Bank of Australia		(37,874	)		(2,223,009	)		97,135
Computershare Ltd.		(279,311	)		(2,165,963	)		234,553
Crown Resorts Ltd.		(144,382	)		(1,310,371	)		(62,916	)
CSL Ltd.		(37,186	)		(2,783,751	)		(352,240	)
Healthscope Ltd.		(1,350,601	)		(2,676,570	)		(229,832	)
Insurance Australia Group Ltd.		(990,668	)		(3,936,483	)		(144,344	)
Lend Lease Group		(54,431	)		(533,738	)		16,689
Macquarie Group Ltd.		(13,011	)		(696,738	)		19,457
Medibank Pvt Ltd.		(350,394	)		(582,030	)		(194,990	)
Platinum Asset Management Ltd.		(259,605	)		(1,211,460	)		83,975
QBE Insurance Group Ltd.		(250,019	)		(2,194,288	)		219,238
Ramsay Health Care Ltd.		(46,135	)		(2,130,702	)		(362,688	)
REA Group Ltd.		(25,709	)		(881,621	)		(272,142	)
SEEK Ltd.		(677,258	)		(7,144,101	)		(630,579	)
Sonic Healthcare Ltd.		(112,158	)		(1,582,382	)		(236,498	)
South32 Ltd.		(498,559	)		(335,524	)		(249,180	)
Suncorp Group Ltd.		(125,632	)		(1,097,447	)		(54,588	)
Transurban Group		(187,131	)		(1,507,004	)		(178,442	)
Vocus Communications Ltd.		(114,537	)		(761,500	)		4,958

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

AQR Funds Semi-Annual Report June 2016

81

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
Westpac Banking Corp.		(63,427	)	$	(1,470,676	)	$	64,148
Woolworths Ltd.		(65,386	)		(1,200,224	)		171,797
								(3,259,579	)
Ireland
James Hardie Industries plc		(36,312	)		(457,341	)		(105,036	)
Total of Short Equity Positions								(3,364,615	)
Total of Long and Short Equity Positions								806,541
Net Cash and Other Receivables/ (Payables) (b)								(228,039	)
Swaps, at Value							$	578,502

(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)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	38-51 months maturity ranging from 08/22/2016 -09/20/2017		$2,458,509

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
BOC Hong Kong Holdings Ltd.		381,000	$	1,129,723	$	18,365
CLP Holdings Ltd.		496,000		4,371,424		695,309
HKT Trust & HKT Ltd.		814,000		1,168,516		5,610
Kerry Properties Ltd.		717,500		1,970,789		(194,391	)
Li & Fung Ltd.		2,194,000		1,157,352		(93,491	)
New World Development Co. Ltd.		2,502,000		1,542,831		1,005,119
Orient Overseas International Ltd.		28,500		127,465		(30,172	)
Power Assets Holdings Ltd.		234,500		2,273,398		(117,282	)
Sino Land Co. Ltd.		1,088,000		1,578,459		212,918
SJM Holdings Ltd.		1,263,000		821,980		(48,650	)
Techtronic Industries Co. Ltd.		261,000		985,001		104,935
VTech Holdings Ltd.		42,700		458,608		(8,447	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
WH Group Ltd.		7,119,500		$	4,574,222		$	1,064,387
Wheelock & Co. Ltd.		233,000			984,563			109,988
Xinyi Automobile Glass Hong Kong Enterprises Ltd. (3)		96,000			1			7,732
Xinyi Glass Holdings Ltd.		768,000			557,525			10,560
Yue Yuen Industrial Holdings Ltd.		692,000			2,473,905			268,713
								3,011,203
Total of Long Equity Positions								3,011,203
Short Positions
Common Stocks
Hong Kong
AIA Group Ltd.		(707,600	)		(4,072,100	)		(183,212	)
ASM Pacific Technology Ltd.		(174,300	)		(1,300,453	)		47,158

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

AQR Funds Semi-Annual Report June 2016

82

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Cathay Pacific Airways Ltd.		(920,000	)	$	(1,596,177	)	$	246,479
Cheung Kong Property Holdings Ltd.		(140,000	)		(739,015	)		(143,076	)
Esprit Holdings Ltd.		(341,000	)		(370,159	)		115,982
Galaxy Entertainment Group Ltd.		(647,000	)		(1,944,532	)		8,695
Hang Lung Properties Ltd.		(1,162,881	)		(2,215,070	)		(134,299	)
Hong Kong & China Gas Co. Ltd.		(3,740,832	)		(6,601,307	)		(234,018	)
Hysan Development Co. Ltd.		(193,000	)		(790,817	)		(69,870	)
MGM China Holdings Ltd.		(1,973,600	)		(2,980,244	)		403,304
MTR Corp. Ltd.		(510,000	)		(2,421,094	)		(166,260	)
Sands China Ltd.		(160,000	)		(504,977	)		(36,450	)
Value Partners Group Ltd.		(1,064,000	)		(1,047,981	)		62,723

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Wynn Macau Ltd.		(1,502,000	)	$	(1,892,050	)	$	(284,473	)
								(367,317	)
Total of Short Equity Positions								(367,317	)
Total of Long and Short Equity Positions								2,643,886
Net Cash and Other Receivables/ (Payables) (b)								(185,377	)
Swaps, at Value							$	2,458,509

(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 June 30, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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.	55-61months maturity 12/22/2020		$(11,479,663	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Domtar Corp.		55,685	$	2,009,101	$	(59,569	)
Ireland
Accenture plc		19,897		2,034,772		219,359
Endo International plc		35,565		554,439		19
Medtronic plc		7,237		563,762		64,192
XL Group plc		35,751		1,345,696		(154,830	)
						128,740

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Singapore
Flextronics International Ltd.		168,550	$	1,794,524	$	194,366
Switzerland
Allied World Assurance Co. Holdings AG		36,989		1,270,410		29,383
TE Connectivity Ltd.		26,770		1,584,196		(55,361	)
Transocean Ltd.		214,869		2,090,257		464,536
						438,558

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

AQR Funds Semi-Annual Report June 2016

83

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Ensco plc		128,374	$	1,257,065	$	(10,553	)
LivaNova plc		11,104		579,401		(21,647	)
Michael Kors Holdings Ltd.		60,410		2,648,901		340,186
Noble Corp. plc		158,381		1,497,060		(192,001	)
						115,985
United States
3M Co.		38,250		5,991,102		707,238
Aaron’s, Inc.		24,401		532,871		1,267
Abbott Laboratories		80,550		3,588,721		(422,301	)
Abercrombie & Fitch Co.		157,980		3,514,866		(701,242	)
Adobe Systems, Inc.		8,642		801,302		26,515
Aetna, Inc.		22,450		2,443,907		297,911
Aflac, Inc.		70,388		4,298,438		780,760
AGCO Corp.		18,340		840,226		24,138
Agilent Technologies, Inc.		86,649		3,552,304		291,446
Akamai Technologies, Inc.		83,659		4,300,240		378,808
Alaska Air Group, Inc.		29,596		2,033,459		(308,308	)
Alleghany Corp.		1,320		634,483		90,963
Allscripts Healthcare Solutions, Inc.		127,472		1,741,737		(122,843	)
Allstate Corp. (The)		62,363		3,847,256		515,036
Alphabet, Inc.		6,276		4,662,295		(246,940	)
Altria Group, Inc.		114,122		6,800,189		1,069,664
Amazon.com, Inc.		5,124		3,231,986		434,851
Amdocs Ltd.		84,449		4,643,437		230,959
Ameren Corp.		141,599		6,604,197		982,677
American Eagle Outfitters, Inc.		170,148		2,624,574		85,884
American Electric Power Co., Inc.		53,820		3,382,058		390,185
American Financial Group, Inc.		31,837		2,237,936		115,774
American International Group, Inc.		92,058		5,390,296		(521,348	)
American Water Works Co., Inc.		36,394		2,346,061		729,596
Ameriprise Financial, Inc.		23,701		2,399,454		(269,919	)
AmerisourceBergen Corp.		54,404		4,570,424		(255,098	)
Amgen, Inc.		22,581		3,602,395		(166,696	)
Analog Devices, Inc.		42,352		2,381,078		17,739
Anthem, Inc.		34,435		4,787,916		(265,223	)
AO Smith Corp.		70,590		4,982,562		1,237,123
Applied Materials, Inc.		126,565		2,790,542		243,221
Archer-Daniels-Midland Co.		95,403		3,282,499		809,336
Arrow Electronics, Inc.		78,942		4,614,299		272,210
Aspen Insurance Holdings Ltd.		35,050		1,608,907		16,712
Assurant, Inc.		19,030		1,542,401		100,079
Assured Guaranty Ltd.		154,437		3,939,343		(21,276	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Automatic Data Processing, Inc.		12,257	$	1,010,709	$	115,342
Avery Dennison Corp.		73,187		5,035,692		435,036
Avnet, Inc.		125,989		5,290,401		(186,587	)
Avon Products, Inc.		165,861		598,293		28,662
Axis Capital Holdings Ltd.		54,676		2,965,541		41,639
Bank of America Corp.		39,536		546,495		(21,853	)
Baxter International, Inc.		75,301		2,824,231		580,880
Becton Dickinson and Co.		3,735		628,245		5,173
Bed Bath & Beyond, Inc.		24,128		1,141,893		(99,081	)
Belden, Inc.		8,648		532,905		(10,825	)
Bemis Co., Inc.		79,009		3,620,595		447,578
Best Buy Co., Inc.		168,220		5,000,575		146,957
Big Lots, Inc.		75,374		2,817,279		959,712
Biogen, Inc.		19,266		5,387,476		(728,572	)
Bio-Rad Laboratories, Inc.		4,963		658,606		51,203
Boeing Co. (The)		21,839		2,799,755		36,476
Booz Allen Hamilton Holding Corp.		18,703		539,612		14,745
Boston Beer Co., Inc. (The)		10,218		1,683,668		63,916
Brinker International, Inc.		28,884		1,325,115		(10,026	)
Broadridge Financial Solutions, Inc.		39,239		2,089,243		469,140
Brocade Communications Systems, Inc.		812,178		7,047,831		407,963
Bruker Corp.		217,990		5,651,254		(694,161	)
Brunswick Corp.		76,501		3,363,317		103,708
Bunge Ltd.		46,837		2,746,187		24,221
BWX Technologies, Inc.		134,186		4,181,894		617,939
CA, Inc.		138,656		4,127,766		424,311
Cabot Corp.		25,361		1,134,816		23,168
Cadence Design Systems, Inc.		105,999		2,195,999		379,777
California Resources Corp.		70,277		458,146		399,233
Campbell Soup Co.		25,436		1,383,027		309,230
Capital One Financial Corp.		23,692		1,675,828		(171,149	)
Cardinal Health, Inc.		21,561		1,892,378		(210,404	)
Carlisle Cos., Inc.		81,293		7,767,470		823,575
Carnival Corp.		42,557		2,141,220		(260,200	)
Carter’s, Inc.		47,303		4,275,747		760,604
CDW Corp.		42,603		1,778,208		(70,680	)
CenterPoint Energy, Inc.		62,726		1,441,067		64,357
CenturyLink, Inc.		113,529		3,043,041		250,435
Cerner Corp.		37,010		2,043,829		124,957
CH Robinson Worldwide, Inc.		13,426		944,265		52,615
Charles River Laboratories International, Inc.		63,806		5,169,673		90,494

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

AQR Funds Semi-Annual Report June 2016

84

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cheesecake Factory, Inc. (The)		51,159	$	2,437,539	$	25,256
Chico’s FAS, Inc.		152,553		1,631,685		2,158
Choice Hotels International, Inc.		11,852		558,534		5,859
Church & Dwight Co., Inc.		31,489		2,680,102		559,801
Cintas Corp.		29,504		2,667,030		228,197
Cisco Systems, Inc.		206,335		5,518,318		401,433
CIT Group, Inc.		20,517		673,898		(19,201	)
Citigroup, Inc.		24,186		999,946		25,298
Citizens Financial Group, Inc.		27,932		657,497		(99,416	)
Citrix Systems, Inc.		47,442		3,581,051		218,578
Clorox Co. (The)		40,029		5,210,611		329,002
Coca-Cola Co. (The)		118,858		5,030,018		357,815
Cognizant Technology Solutions Corp.		48,532		2,862,786		(84,814	)
Colgate-Palmolive Co.		53,239		3,573,426		323,669
Comcast Corp.		19,322		1,109,827		149,774
Commerce Bancshares, Inc.		29,419		1,194,150		215,020
Commercial Metals Co.		97,514		1,346,777		301,209
Community Health Systems, Inc.		215,029		3,351,748		(760,648	)
Computer Sciences Corp.		34,542		1,095,764		619,246
comScore, Inc.		38,146		1,148,734		(237,807	)
ConAgra Foods, Inc.		50,964		2,306,653		129,936
Consolidated Edison, Inc.		68,013		4,664,957		806,009
Convergys Corp.		81,600		2,135,513		(95,513	)
CoreLogic, Inc.		34,309		1,231,668		88,542
Corning, Inc.		49,237		890,701		117,673
CR Bard, Inc.		13,913		2,625,490		646,291
Cracker Barrel Old Country Store, Inc.		7,549		930,055		364,372
Crane Co.		20,307		955,627		196,186
Cree, Inc.		34,794		874,974		(24,609	)
Crown Holdings, Inc.		47,590		2,481,381		(69,996	)
CSX Corp.		89,158		2,310,535		14,706
Cummins, Inc.		24,211		2,097,867		624,418
CVR Energy, Inc.		34,799		950,160		(410,776	)
Dana Holding Corp.		171,359		2,072,773		(263,221	)
Danaher Corp.		18,217		1,682,266		157,651
Darden Restaurants, Inc.		36,418		2,146,755		159,961
Dean Foods Co.		233,990		4,116,805		116,074
Deckers Outdoor Corp.		9,951		555,918		16,464
Delta Air Lines, Inc.		80,338		3,738,505		(811,791	)
Deluxe Corp.		22,696		1,292,009		214,324
Denbury Resources, Inc.		587,643		1,666,296		443,343
DeVry Education Group, Inc.		63,810		1,126,048		12,323
Diamond Offshore Drilling, Inc.		42,379		1,030,964		117
Dick’s Sporting Goods, Inc.		30,793		1,214,727		172,806

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dillard’s, Inc.		52,217	$	3,336,693	$	(172,342	)
Discover Financial Services		55,457		2,987,126		(15,185	)
Dollar General Corp.		8,577		674,120		132,118
Domino’s Pizza, Inc.		6,690		732,080		146,852
Dow Chemical Co. (The)		15,148		764,903		(11,896	)
DR Horton, Inc.		107,657		3,055,454		333,588
Dr. Pepper Snapple Group, Inc.		90,164		8,300,328		412,219
DST Systems, Inc.		14,118		1,561,824		81,934
DSW, Inc.		66,248		1,470,145		(67,013	)
DTE Energy Co.		30,809		2,663,558		390,230
Dun & Bradstreet Corp. (The)		18,593		1,862,457		402,915
Eaton Corp. plc		26,833		1,378,744		223,991
eBay, Inc.		343,089		8,671,552		(639,838	)
Edison International		12,776		942,501		49,811
Edwards Lifesciences Corp.		16,718		1,349,267		318,019
Electronic Arts, Inc.		16,416		1,167,506		76,170
Eli Lilly & Co.		7,425		636,228		(51,509	)
Emerson Electric Co.		47,007		2,214,547		237,338
Energen Corp.		27,711		1,245,181		90,767
Energizer Holdings, Inc.		28,215		1,052,280		400,511
Entergy Corp.		56,964		4,194,014		440,007
EP Energy Corp.		155,778		411,377		395,553
Equifax, Inc.		23,926		2,719,718		352,380
Estee Lauder Cos., Inc. (The)		38,863		3,540,584		(3,274	)
Esterline Technologies Corp.		55,270		3,594,331		(165,381	)
Everest Re Group Ltd.		15,711		2,736,195		133,734
Exelon Corp.		107,696		3,217,589		698,238
Expedia, Inc.		15,224		1,958,872		(340,561	)
Expeditors International of Washington, Inc.		26,902		1,279,694		39,580
Express Scripts Holding Co.		20,493		1,467,928		85,441
F5 Networks, Inc.		23,591		2,203,204		482,396
Facebook, Inc.		25,278		2,790,465		98,304
FactSet Research Systems, Inc.		11,954		1,923,457		6,158
Fairchild Semiconductor International, Inc.		31,548		632,537		(6,310	)
FedEx Corp.		13,446		2,104,286		(63,452	)
First Solar, Inc.		69,159		3,625,832		(273,004	)
FirstEnergy Corp.		145,806		4,859,708		230,379
Fiserv, Inc.		7,779		740,051		105,760
FLIR Systems, Inc.		17,208		510,319		22,269
Flowers Foods, Inc.		31,734		580,323		14,689
Foot Locker, Inc.		40,997		2,454,679		(205,584	)
Ford Motor Co.		69,452		896,602		(23,590	)
Fortinet, Inc.		30,227		906,202		48,668
Franklin Resources, Inc.		43,078		1,503,746		(66,233	)
FTI Consulting, Inc.		35,361		1,315,907		122,578

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

AQR Funds Semi-Annual Report June 2016

85

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
GameStop Corp.		25,574	$	784,523	$	(104,766	)
Gannett Co., Inc.		123,728		1,938,715		(230,032	)
Gap, Inc. (The)		61,246		1,223,288		76,352
General Dynamics Corp.		29,382		3,943,146		148,004
General Mills, Inc.		60,931		3,422,843		922,755
General Motors Co.		259,580		8,377,636		(1,031,522	)
Genpact Ltd.		81,376		2,034,963		149,169
Genuine Parts Co.		21,881		2,108,323		107,128
Gilead Sciences, Inc.		61,232		5,638,994		(531,021	)
GNC Holdings, Inc.		43,209		1,198,716		(149,169	)
GoPro, Inc.		85,214		859,188		61,976
Graham Holdings Co.		2,826		1,392,973		(9,533	)
Graphic Packaging Holding Co.		272,795		3,472,572		(51,723	)
Great Plains Energy, Inc.		89,854		2,705,639		25,923
Groupon, Inc.		1,007,160		2,872,037		401,233
Guess?, Inc.		39,124		713,841		(125,024	)
Hanover Insurance Group, Inc. (The)		16,296		1,342,108		36,860
Hartford Financial Services Group, Inc. (The)		19,963		844,899		41,058
Hasbro, Inc.		18,111		1,384,791		136,352
HCA Holdings, Inc.		29,271		1,910,048		344,112
HD Supply Holdings, Inc.		95,141		2,474,463		838,347
Herman Miller, Inc.		143,330		4,097,109		187,024
Hershey Co. (The)		5,674		535,134		108,808
Hewlett Packard Enterprise Co.		114,463		1,869,425		221,814
HollyFrontier Corp.		104,262		3,881,769		(1,403,462	)
Hologic, Inc.		40,116		1,453,991		(65,977	)
Home Depot, Inc. (The)		17,877		2,275,790		6,924
Honeywell International, Inc.		14,923		1,507,607		228,236
Hormel Foods Corp.		28,953		1,104,764		(45,084	)
HP, Inc.		742,866		8,777,116		545,853
HSN, Inc.		36,417		1,710,919		70,965
Hubbell, Inc.		7,988		784,833		57,661
Huntington Ingalls Industries, Inc.		50,981		6,702,329		1,864,009
Huntsman Corp.		157,215		1,505,150		609,392
IAC/InterActiveCorp.		28,495		1,753,012		(148,744	)
IDACORP, Inc.		12,571		946,890		75,760
Ingersoll-Rand plc		24,674		1,566,266		4,974
Ingredion, Inc.		46,189		4,651,166		1,326,153
Integrated Device Technology, Inc.		126,220		2,963,251		(422,442	)
Intel Corp.		68,693		2,367,895		(114,764	)
International Business Machines Corp.		32,346		4,450,546		458,929
International Paper Co.		44,562		1,582,193		306,345
Interpublic Group of Cos., Inc. (The)		124,882		2,820,113		64,661

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Intersil Corp.		52,884	$	707,697	$	8,352
Intrexon Corp.		63,471		1,759,175		(197,154	)
Intuit, Inc.		13,539		1,311,379		199,709
Intuitive Surgical, Inc.		3,239		2,076,706		65,601
Invesco Ltd.		55,061		1,622,504		(216,246	)
Ionis Pharmaceuticals, Inc.		98,954		2,181,055		123,584
ITT, Inc.		27,758		942,632		(54,932	)
j2 Global, Inc.		29,899		1,801,345		87,375
Jabil Circuit, Inc.		152,496		2,972,749		(156,148	)
Jack Henry & Associates, Inc.		34,257		2,738,628		250,980
Jack in the Box, Inc.		25,046		1,904,187		247,765
Jacobs Engineering Group, Inc.		35,859		1,691,950		94,187
JetBlue Airways Corp.		218,774		4,376,057		(753,159	)
JM Smucker Co. (The)		13,547		1,929,705		134,994
John Wiley & Sons, Inc.		40,105		1,724,093		368,585
Johnson & Johnson		47,786		4,855,860		940,582
Joy Global, Inc.		29,958		316,138		317,174
JPMorgan Chase & Co.		13,446		774,103		61,431
Juniper Networks, Inc.		171,623		4,270,984		(411,183	)
KB Home		143,804		1,789,453		397,806
Kellogg Co.		10,451		746,394		106,930
Kennametal, Inc.		66,071		1,215,601		245,229
KeyCorp.		60,241		720,585		(54,922	)
Kimberly-Clark Corp.		53,607		6,755,530		614,360
Kinder Morgan, Inc.		51,187		793,697		164,523
Kohl’s Corp.		67,466		2,529,983		28,328
L Brands, Inc.		10,299		928,814		(237,442	)
L-3 Communications Holdings, Inc.		24,327		2,900,996		667,531
Laboratory Corp. of America Holdings		13,421		1,716,554		31,800
Lam Research Corp.		34,579		2,663,059		243,652
Lancaster Colony Corp.		22,790		2,581,294		326,938
Landstar System, Inc.		8,241		495,389		70,438
Las Vegas Sands Corp.		11,697		542,854		(34,152	)
Lear Corp.		45,386		5,230,936		(612,457	)
Leggett & Platt, Inc.		11,272		484,967		91,145
Lennox International, Inc.		30,845		4,020,081		378,416
Liberty Interactive Corp. QVC Group		77,827		2,042,130		(67,659	)
Lincoln Electric Holdings, Inc.		16,283		821,879		140,120
Lincoln National Corp.		75,134		3,351,135		(438,190	)
Linear Technology Corp.		16,908		743,222		43,508
Lowe’s Cos., Inc.		35,347		2,614,600		183,822
LyondellBasell Industries NV		26,778		2,272,638		(279,819	)
Macy’s, Inc.		120,991		4,069,529		(3,022	)
Mallinckrodt plc		34,566		2,346,804		(245,883	)
Manhattan Associates, Inc.		24,139		1,542,403		5,631
ManpowerGroup, Inc.		59,553		4,760,642		(929,002	)

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

AQR Funds Semi-Annual Report June 2016

86

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Marathon Oil Corp.		50,851	$	661,980	$	101,294
Marathon Petroleum Corp.		101,033		4,572,292		(737,079	)
Marriott International, Inc.		8,568		588,619		(19,190	)
Marvell Technology Group Ltd.		323,046		2,757,113		321,516
Masco Corp.		155,376		4,568,109		239,225
Maxim Integrated Products, Inc.		73,978		2,700,517		(60,242	)
McDonald’s Corp.		16,939		1,990,472		47,967
McKesson Corp.		15,796		2,962,560		(14,237	)
Mentor Graphics Corp.		193,910		3,606,008		516,519
Merck & Co., Inc.		53,153		2,790,973		271,171
MetLife, Inc.		59,971		2,798,843		(410,198	)
Michaels Cos., Inc. (The)		39,706		1,098,480		30,759
Micron Technology, Inc.		266,980		3,130,082		543,563
Microsoft Corp.		72,342		3,825,781		(124,041	)
Molina Healthcare, Inc.		39,906		2,360,352		(369,043	)
Mondelez International, Inc.		58,335		2,553,884		100,942
Morgan Stanley		44,967		1,372,490		(204,247	)
Morningstar, Inc.		9,685		757,360		34,680
MSC Industrial Direct Co., Inc.		69,093		5,092,386		(217,184	)
MSCI, Inc.		61,423		4,274,697		462,245
MSG Networks, Inc.		99,519		1,996,120		(469,499	)
Murphy USA, Inc.		27,107		1,728,598		281,658
Mylan NV		49,393		2,125,399		10,354
Nasdaq, Inc.		86,605		5,188,038		412,707
NCR Corp.		21,464		543,602		52,453
NetApp, Inc.		73,565		1,916,417		(107,454	)
NeuStar, Inc.		75,806		1,774,450		7,749
New York Times Co. (The)		72,828		886,937		(5,718	)
News Corp.		132,781		1,643,035		(135,970	)
NIKE, Inc.		58,137		3,733,289		(524,126	)
NiSource, Inc.		39,723		891,821		161,633
Norfolk Southern Corp.		17,515		1,454,172		36,880
Northrop Grumman Corp.		17,763		3,344,951		603,409
Nu Skin Enterprises, Inc.		135,937		4,890,747		1,388,183
Nuance Communications, Inc.		188,132		3,396,421		(455,918	)
NVIDIA Corp.		11,764		384,330		168,696
NVR, Inc.		529		880,243		61,557
Oceaneering International, Inc.		78,146		2,435,936		(102,497	)
Office Depot, Inc.		154,600		524,372		(12,646	)
Old Republic International Corp.		39,775		737,530		29,730
Omnicom Group, Inc.		17,159		1,280,785		117,501
ON Semiconductor Corp.		275,639		2,521,151		(90,015	)
OneMain Holdings, Inc.		26,813		844,288		(232,415	)
Oracle Corp.		70,746		2,550,807		344,827

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Orbital ATK, Inc.		11,496	$	1,002,362	$	(23,593	)
O’Reilly Automotive, Inc.		2,400		568,900		81,740
Owens & Minor, Inc.		44,788		1,681,477		(7,302	)
Owens Corning		147,141		7,068,616		512,089
Packaging Corp. of America		19,677		1,276,244		40,737
Panera Bread Co.		3,805		720,813		85,619
Parker-Hannifin Corp.		18,405		2,035,686		(47,026	)
PBF Energy, Inc.		26,498		894,547		(264,424	)
PepsiCo, Inc.		106,779		10,682,682		629,485
PerkinElmer, Inc.		16,218		860,462		(10,315	)
Pfizer, Inc.		88,921		2,947,060		183,849
PG&E Corp.		52,516		2,914,941		441,881
Philip Morris International, Inc.		14,295		1,362,106		91,982
Phillips 66		8,823		674,109		25,908
Pilgrim’s Pride Corp.		51,175		1,230,764		73,175
Pinnacle West Capital Corp.		53,857		3,854,564		511,085
Pitney Bowes, Inc.		58,507		1,159,609		(118,184	)
Plantronics, Inc.		56,081		2,349,815		117,749
PNC Financial Services Group, Inc. (The)		18,044		1,591,000		(122,399	)
PNM Resources, Inc.		15,829		514,202		46,778
Pool Corp.		6,080		541,993		29,710
Popular, Inc.		18,358		468,048		69,842
Priceline Group, Inc. (The)		2,286		2,995,298		(141,433	)
Principal Financial Group, Inc.		20,705		832,809		18,373
ProAssurance Corp.		18,390		895,035		89,749
Procter & Gamble Co. (The)		89,407		7,130,068		440,023
Progressive Corp. (The)		87,890		2,843,494		100,821
Prudential Financial, Inc.		37,203		2,927,993		(273,931	)
Public Service Enterprise Group, Inc.		310,183		12,598,720		1,858,910
PVH Corp.		23,273		1,745,985		447,029
QEP Resources, Inc.		28,496		421,466		80,918
QUALCOMM, Inc.		75,005		3,727,194		290,824
Quanta Services, Inc.		173,718		3,514,940		501,420
Quest Diagnostics, Inc.		32,287		2,187,790		440,695
Quintiles Transnational Holdings, Inc.		92,372		6,318,879		(285,140	)
Rackspace Hosting, Inc.		221,195		4,568,759		45,368
Ralph Lauren Corp.		21,189		2,129,866		(230,908	)
Raytheon Co.		27,652		3,436,594		322,695
Red Hat, Inc.		12,835		979,881		(48,060	)
Regal Beloit Corp.		22,998		1,308,551		(42,511	)
Regions Financial Corp.		128,278		1,108,946		(17,300	)
Reinsurance Group of America, Inc.		25,260		2,171,257		278,711
Reliance Steel & Aluminum Co.		29,343		1,889,336		367,141
Republic Services, Inc.		41,413		1,937,110		187,791
ResMed, Inc.		17,562		1,006,803		103,643

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

AQR Funds Semi-Annual Report June 2016

87

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Reynolds American, Inc.		38,319	$	1,888,550	$	177,994
Robert Half International, Inc.		156,729		6,625,482		(644,704	)
Rockwell Automation, Inc.		22,114		2,211,842		327,287
Ross Stores, Inc.		35,004		1,948,846		35,530
Rowan Cos. plc		90,581		1,430,737		168,924
RR Donnelley & Sons Co.		182,482		2,617,700		469,895
Sally Beauty Holdings, Inc.		22,951		670,957		4,032
SCANA Corp.		56,162		3,863,902		385,315
Service Corp. International		21,681		568,332		17,922
Sherwin-Williams Co. (The)		5,478		1,550,203		58,522
Skechers U.S.A., Inc.		126,573		3,806,179		(44,430	)
Skyworks Solutions, Inc.		19,213		1,331,233		(115,434	)
Snap-on, Inc.		5,763		910,409		(893	)
Sonoco Products Co.		100,306		4,377,602		603,594
Southwest Airlines Co.		43,768		1,877,935		(161,791	)
Spirit AeroSystems Holdings, Inc.		158,729		7,482,496		(657,149	)
SPX Corp.		64,943		591,862		372,542
SPX FLOW, Inc.		24,927		472,783		177,064
Stanley Black & Decker, Inc.		20,285		2,240,178		15,920
Staples, Inc.		156,430		1,437,899		(89,472	)
Starbucks Corp.		21,496		1,277,123		(49,272	)
Steel Dynamics, Inc.		38,535		766,726		177,381
SunTrust Banks, Inc.		23,967		936,856		47,708
SUPERVALU, Inc.		629,829		3,374,784		(401,991	)
Symantec Corp.		80,757		1,499,660		159,089
Synaptics, Inc.		38,050		2,680,650		(635,462	)
Synchrony Financial		128,330		3,721,403		(477,221	)
SYNNEX Corp.		40,854		3,599,114		274,662
Synopsys, Inc.		49,304		2,284,632		381,729
Sysco Corp.		54,152		2,401,916		345,757
T Rowe Price Group, Inc.		14,714		1,042,198		31,483
Tableau Software, Inc.		48,965		2,099,656		295,711
Target Corp.		45,262		3,266,358		(106,165	)
Tech Data Corp.		78,482		5,420,223		218,709
Teekay Corp.		193,410		1,058,603		320,410
Teledyne Technologies, Inc.		9,040		733,202		162,210
Telephone & Data Systems, Inc.		79,914		2,001,063		369,186
Teradata Corp.		94,979		2,538,480		(157,356	)
Teradyne, Inc.		133,063		2,697,777		(77,767	)
Tesoro Corp.		61,510		5,310,695		(702,366	)
Texas Instruments, Inc.		34,771		1,927,948		250,455
Textron, Inc.		47,629		1,668,636		72,680
Thomson Reuters Corp.		12,983		489,121		35,652
Thor Industries, Inc.		47,752		2,661,383		430,082
Time Warner, Inc.		8,839		587,999		62,021
Timken Co. (The)		57,822		1,816,594		(43,771	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
TJX Cos., Inc. (The)		44,963	$	3,305,668	$	166,825
Toll Brothers, Inc.		33,629		922,060		(17,104	)
Toro Co. (The)		6,293		507,097		47,946
Total System Services, Inc.		54,752		2,758,894		148,985
Travelers Cos., Inc. (The)		29,616		3,338,699		186,790
Trinity Industries, Inc.		106,495		1,979,847		(2,235	)
TripAdvisor, Inc.		12,666		828,398		(13,974	)
Triumph Group, Inc.		14,073		527,153		(27,562	)
Tupperware Brands Corp.		9,559		531,540		6,440
Tyson Foods, Inc.		136,248		8,227,547		872,457
United Continental Holdings, Inc.		159,839		7,140,759		(580,966	)
United Natural Foods, Inc.		49,413		1,952,191		360,337
United Technologies Corp.		21,642		2,111,761		107,626
United Therapeutics Corp.		77,290		10,138,946		(1,952,390	)
UnitedHealth Group, Inc.		26,188		3,062,164		635,581
Universal Health Services, Inc.		8,888		1,009,663		182,217
Unum Group		59,893		1,934,763		(30,765	)
Urban Outfitters, Inc.		182,580		4,846,247		174,703
US Bancorp.		17,696		693,679		20,000
Valero Energy Corp.		104,039		6,699,536		(1,393,547	)
Validus Holdings Ltd.		49,111		2,224,110		162,194
Vantiv, Inc.		36,438		1,831,435		230,956
Varian Medical Systems, Inc.		8,809		691,259		33,105
VCA, Inc.		10,609		535,989		181,285
Vectren Corp.		28,667		1,249,292		260,599
VeriFone Systems, Inc.		28,137		558,100		(36,440	)
VeriSign, Inc.		16,652		1,339,838		99,894
Verizon Communications, Inc.		67,789		3,298,467		486,871
Viacom, Inc.		54,559		2,119,184		143,378
Viavi Solutions, Inc.		263,303		1,744,788		911
Vishay Intertechnology, Inc.		154,631		1,843,990		71,889
VMware, Inc.		25,786		1,441,337		34,138
Voya Financial, Inc.		28,176		885,263		(187,625	)
VWR Corp.		69,497		1,977,549		30,915
Waddell & Reed Financial, Inc.		125,212		2,713,015		(556,865	)
Wal-Mart Stores, Inc.		91,935		5,743,989		969,105
Waste Management, Inc.		54,739		3,148,807		478,747
Waters Corp.		10,114		1,313,037		109,497
Watsco, Inc.		26,507		3,337,354		391,916
WellCare Health Plans, Inc.		38,746		3,386,502		770,169
Wells Fargo & Co.		23,626		1,143,867		(25,648	)
Werner Enterprises, Inc.		66,202		1,595,094		(74,434	)
WESCO International, Inc.		17,099		685,518		194,909

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

AQR Funds Semi-Annual Report June 2016

88

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Western Digital Corp.		51,359		$	2,853,328		$	(426,101	)
Western Refining, Inc.		83,940			2,529,018			(797,336	)
Western Union Co. (The)		47,795			842,723			73,985
Westlake Chemical Corp.		42,709			2,109,372			(276,302	)
Whirlpool Corp.		6,236			916,879			122,288
World Fuel Services Corp.		73,529			2,953,695			538,197
Worthington Industries, Inc.		16,571			513,954			186,999
WR Berkley Corp.		10,643			528,912			108,817
Wyndham Worldwide Corp.		14,211			984,213			28,037
Xcel Energy, Inc.		19,578			832,874			43,829
Xerox Corp.		496,956			4,824,510			(108,397	)
Xilinx, Inc.		44,890			2,118,518			(47,742	)
Yelp, Inc.		23,162			422,739			280,459
Yum! Brands, Inc.		39,451			2,808,930			462,347
Zynga, Inc.		419,032			1,050,493			(7,103	)
								42,779,932
Total of Long Equity Positions								43,598,012
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(17,966	)		(1,003,715	)		(323,254	)
Waste Connections, Inc.		(58,862	)		(4,056,831	)		(184,176	)
								(507,430	)
Ireland
Alkermes plc		(15,898	)		(667,047	)		(20,065	)
Allegion plc		(40,553	)		(2,551,677	)		(263,918	)
Perrigo Co. plc		(48,363	)		(6,011,599	)		1,626,526
								1,342,543
Netherlands
Chicago Bridge & Iron Co. NV		(75,081	)		(2,731,263	)		131,208
Core Laboratories NV		(34,921	)		(3,683,206	)		(643,157	)
Frank’s International NV		(78,150	)		(1,178,009	)		36,238
QIAGEN NV		(69,195	)		(1,651,264	)		142,121
Sensata Technologies Holding NV		(77,089	)		(3,442,795	)		753,160
								419,570
Norway
Golar LNG Ltd.		(65,600	)		(998,605	)		(18,195	)
Singapore
Broadcom Ltd.		(21,412	)		(3,311,701	)		(15,724	)
Switzerland
Garmin Ltd.		(21,415	)		(912,985	)		4,561
Weatherford International plc		(409,877	)		(2,789,420	)		514,603
								519,164

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Aon plc		(32,007	)	$	(2,875,304	)	$	(620,821	)
Delphi Automotive plc		(44,731	)		(2,980,240	)		180,079
Liberty Global plc		(104,314	)		(3,512,315	)		480,950
Liberty Global plc LiLAC		(13,014	)		(438,192	)		18,360
Pentair plc		(65,952	)		(3,130,703	)		(713,639	)
STERIS plc		(39,527	)		(2,878,232	)		160,751
Willis Towers Watson plc		(8,734	)		(1,082,696	)		(3,028	)
								(497,348	)
United States
3D Systems Corp.		(247,324	)		(2,754,922	)		(630,944	)
AbbVie, Inc.		(30,867	)		(1,841,241	)		(69,735	)
Acadia Healthcare Co., Inc.		(154,598	)		(9,208,132	)		643,402
ACI Worldwide, Inc.		(25,914	)		(546,008	)		40,426
Acuity Brands, Inc.		(15,063	)		(3,633,753	)		(101,268	)
Acxiom Corp.		(43,564	)		(952,745	)		(5,228	)
Advance Auto Parts, Inc.		(17,702	)		(2,710,839	)		(150,335	)
Advanced Micro Devices, Inc.		(385,398	)		(828,704	)		(1,152,242	)
AECOM		(93,898	)		(2,610,757	)		(372,383	)
Agios Pharmaceuticals, Inc.		(31,603	)		(1,470,374	)		146,366
Air Lease Corp.		(114,138	)		(3,208,696	)		152,080
Air Products & Chemicals, Inc.		(5,534	)		(699,141	)		(86,909	)
Akorn, Inc.		(62,939	)		(1,537,969	)		(254,849	)
Albemarle Corp.		(53,750	)		(2,757,754	)		(1,505,159	)
Alcoa, Inc.		(256,558	)		(2,108,794	)		(269,498	)
Alexion Pharmaceuticals, Inc.		(38,885	)		(6,292,535	)		1,752,322
Align Technology, Inc.		(7,978	)		(516,735	)		(125,893	)
Allegheny Technologies, Inc.		(167,868	)		(1,783,854	)		(356,463	)
Allergan plc		(11,316	)		(2,568,281	)		(46,733	)
Alliance Data Systems Corp.		(9,706	)		(2,556,589	)		654,989
Alliant Energy Corp.		(76,286	)		(2,384,555	)		(644,000	)
Ally Financial, Inc.		(217,401	)		(3,744,002	)		32,967
Alnylam Pharmaceuticals, Inc.		(67,392	)		(4,251,313	)		511,731
American Airlines Group, Inc.		(41,567	)		(1,302,886	)		126,124
AMETEK, Inc.		(68,413	)		(3,495,335	)		332,602
Amphenol Corp.		(51,393	)		(2,658,682	)		(287,678	)
Amsurg Corp.		(22,549	)		(1,759,076	)		10,627
AmTrust Financial Services, Inc.		(41,557	)		(1,021,411	)		3,264
Anadarko Petroleum Corp.		(42,152	)		(1,758,319	)		(486,275	)
Apache Corp.		(82,188	)		(3,543,683	)		(1,031,723	)
Apple, Inc.		(7,532	)		(733,441	)		13,381
AptarGroup, Inc.		(14,147	)		(1,076,126	)		(43,326	)
Aqua America, Inc.		(73,660	)		(2,196,499	)		(430,217	)
Arista Networks, Inc.		(42,260	)		(3,055,369	)		334,671
ARRIS International plc		(284,203	)		(7,329,336	)		1,372,441

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

AQR Funds Semi-Annual Report June 2016

89

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Arthur J Gallagher & Co.		(22,727	)	$	(962,632	)	$	(119,173	)
Artisan Partners Asset Management, Inc.		(67,410	)		(2,126,988	)		261,079
Ascena Retail Group, Inc.		(208,421	)		(1,653,351	)		196,488
Ashland, Inc.		(15,911	)		(1,593,937	)		(232,168	)
Associated Banc-Corp.		(30,316	)		(519,830	)		(90	)
athenahealth, Inc.		(4,559	)		(693,977	)		64,790
Atmos Energy Corp.		(10,727	)		(668,673	)		(203,647	)
Autodesk, Inc.		(33,014	)		(1,746,766	)		(40,612	)
AutoNation, Inc.		(63,348	)		(3,055,933	)		79,844
Avangrid, Inc.		(14,604	)		(600,061	)		(72,600	)
Avis Budget Group, Inc.		(213,886	)		(6,534,661	)		(358,885	)
Axalta Coating Systems Ltd.		(79,812	)		(2,068,358	)		(49,054	)
B/E Aerospace, Inc.		(26,097	)		(1,122,931	)		(82,098	)
Baker Hughes, Inc.		(62,764	)		(2,843,092	)		10,553
Ball Corp.		(152,559	)		(10,681,121	)		(347,369	)
Bank of Hawaii Corp.		(25,687	)		(1,647,449	)		(119,817	)
Bank of New York Mellon Corp. (The)		(15,874	)		(641,848	)		25,143
Bank of the Ozarks, Inc.		(65,472	)		(2,679,128	)		222,619
BankUnited, Inc.		(67,783	)		(2,164,639	)		82,345
BB&T Corp.		(33,141	)		(1,003,775	)		(176,376	)
BioMarin Pharmaceutical, Inc.		(39,162	)		(3,195,290	)		148,487
Bio-Techne Corp.		(44,558	)		(4,135,478	)		(889,328	)
Black Hills Corp.		(53,423	)		(2,742,922	)		(624,864	)
Black Knight Financial Services, Inc.		(57,206	)		(1,764,754	)		(386,192	)
BlackRock, Inc.		(4,742	)		(1,391,320	)		(232,957	)
BorgWarner, Inc.		(179,338	)		(6,737,669	)		1,443,611
Boston Scientific Corp.		(75,765	)		(1,299,641	)		(470,987	)
Bristol-Myers Squibb Co.		(55,883	)		(3,886,799	)		(223,396	)
Brookdale Senior Living, Inc.		(57,120	)		(1,040,726	)		158,794
Brown & Brown, Inc.		(50,512	)		(1,589,736	)		(302,949	)
Brown-Forman Corp.		(34,183	)		(3,409,520	)		(576	)
Buffalo Wild Wings, Inc.		(5,888	)		(940,584	)		122,447
Cabela’s, Inc.		(70,050	)		(3,126,679	)		(380,024	)
Cable One, Inc.		(2,251	)		(951,612	)		(199,572	)
Cabot Oil & Gas Corp.		(97,471	)		(1,733,412	)		(775,492	)
CalAtlantic Group, Inc.		(89,916	)		(2,930,675	)		(370,141	)
Calpine Corp.		(282,861	)		(4,056,523	)		(115,677	)
CarMax, Inc.		(86,441	)		(4,429,059	)		190,856
Casey’s General Stores, Inc.		(4,558	)		(541,065	)		(58,357	)
Catalent, Inc.		(90,520	)		(2,144,049	)		62,994
Caterpillar, Inc.		(23,421	)		(1,620,882	)		(154,664	)
Cathay General Bancorp		(28,638	)		(818,765	)		11,174
CBOE Holdings, Inc.		(29,574	)		(1,904,187	)		(66,033	)
CBS Corp.		(11,625	)		(551,381	)		(81,484	)
CDK Global, Inc.		(29,173	)		(1,355,814	)		(262,996	)
CEB, Inc.		(8,617	)		(536,989	)		5,493
Celgene Corp.		(13,146	)		(1,319,559	)		22,969
CF Industries Holdings, Inc.		(77,546	)		(2,634,123	)		765,265

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Charles Schwab Corp. (The)		(120,268	)	$	(3,823,282	)	$	779,298
Chemours Co. (The)		(62,765	)		(487,445	)		(29,739	)
Cheniere Energy, Inc.		(100,926	)		(3,525,559	)		(264,212	)
Chesapeake Energy Corp.		(232,943	)		(965,243	)		(31,753	)
Chevron Corp.		(22,337	)		(1,946,887	)		(394,701	)
Chipotle Mexican Grill, Inc.		(9,189	)		(4,298,426	)		597,465
Ciena Corp.		(148,712	)		(2,797,750	)		9,400
Cimarex Energy Co.		(35,313	)		(3,433,420	)		(780,127	)
Cincinnati Financial Corp.		(10,398	)		(628,227	)		(150,479	)
Clean Harbors, Inc.		(21,323	)		(994,461	)		(116,681	)
CME Group, Inc.		(5,699	)		(530,721	)		(24,361	)
CMS Energy Corp.		(80,030	)		(2,899,829	)		(770,346	)
CNO Financial Group, Inc.		(76,783	)		(1,193,694	)		(146,937	)
Cobalt International Energy, Inc.		(325,080	)		(887,749	)		452,142
Cognex Corp.		(73,642	)		(2,550,012	)		(623,958	)
Colfax Corp.		(48,074	)		(1,055,669	)		(216,369	)
Comerica, Inc.		(20,690	)		(884,758	)		33,778
CommScope Holding Co., Inc.		(202,222	)		(4,706,372	)		(1,568,577	)
CommVault Systems, Inc.		(15,547	)		(530,579	)		(140,896	)
Compass Minerals International, Inc.		(43,943	)		(3,187,369	)		(72,762	)
Concho Resources, Inc.		(35,436	)		(3,657,412	)		(569,040	)
Cooper Cos., Inc. (The)		(13,834	)		(1,850,587	)		(522,912	)
Copart, Inc.		(44,495	)		(1,905,937	)		(274,763	)
CoStar Group, Inc.		(12,147	)		(2,334,040	)		(322,023	)
Costco Wholesale Corp.		(21,920	)		(3,349,849	)		(92,468	)
Covanta Holding Corp.		(345,103	)		(5,328,170	)		(348,775	)
CST Brands, Inc.		(60,968	)		(2,406,520	)		(219,981	)
Cullen/Frost Bankers, Inc.		(32,074	)		(1,647,550	)		(396,526	)
Cypress Semiconductor Corp.		(424,961	)		(3,758,607	)		(724,732	)
DaVita HealthCare Partners, Inc.		(24,116	)		(1,634,319	)		(230,330	)
Deere & Co.		(27,039	)		(2,059,455	)		(131,786	)
Devon Energy Corp.		(38,355	)		(1,147,113	)		(243,256	)
DexCom, Inc.		(85,761	)		(6,123,453	)		(679,967	)
Diebold, Inc.		(139,450	)		(3,798,190	)		335,647
Discovery Communications, Inc.		(57,365	)		(1,519,025	)		71,706
DISH Network Corp.		(33,134	)		(1,709,127	)		(27,094	)
Dollar Tree, Inc.		(83,127	)		(6,406,820	)		(1,427,068	)
Dominion Resources, Inc.		(144,703	)		(9,786,584	)		(1,490,121	)
Donaldson Co., Inc.		(55,846	)		(1,546,258	)		(372,611	)
Dover Corp.		(24,095	)		(1,519,934	)		(150,332	)
DreamWorks Animation SKG, Inc.		(41,430	)		(972,273	)		(720,971	)

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

AQR Funds Semi-Annual Report June 2016

90

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Duke Energy Corp.		(11,966	)	$	(843,603	)	$	(182,960	)
Dunkin’ Brands Group, Inc.		(54,417	)		(2,273,278	)		(100,391	)
E*TRADE Financial Corp.		(28,612	)		(664,059	)		(8,037	)
Eagle Materials, Inc.		(21,134	)		(1,235,413	)		(395,075	)
Eastman Chemical Co.		(19,956	)		(1,270,404	)		(84,608	)
Eaton Vance Corp.		(17,616	)		(501,906	)		(120,644	)
Ecolab, Inc.		(18,278	)		(2,023,129	)		(144,642	)
Envision Healthcare Holdings, Inc.		(165,384	)		(3,664,509	)		(531,283	)
EOG Resources, Inc.		(57,196	)		(4,168,388	)		(602,903	)
EQT Corp.		(11,859	)		(605,319	)		(312,923	)
Eversource Energy		(58,875	)		(3,020,219	)		(506,393	)
Exxon Mobil Corp.		(21,917	)		(1,708,649	)		(345,850	)
Fastenal Co.		(56,156	)		(2,506,231	)		13,466
Federated Investors, Inc.		(20,500	)		(475,616	)		(114,374	)
Fidelity National Information Services, Inc.		(31,053	)		(1,926,513	)		(361,472	)
FireEye, Inc.		(108,092	)		(1,712,722	)		(67,553	)
First Data Corp.		(450,220	)		(5,001,923	)		17,987
First Horizon National Corp.		(120,117	)		(1,581,801	)		(73,411	)
First Republic Bank		(42,510	)		(2,613,480	)		(361,795	)
FleetCor Technologies, Inc.		(13,434	)		(1,918,241	)		(4,568	)
Flowserve Corp.		(19,680	)		(764,140	)		(124,806	)
FMC Corp.		(88,609	)		(3,313,645	)		(789,837	)
FNB Corp.		(41,866	)		(532,573	)		7,574
FNF Group		(63,964	)		(2,080,934	)		(317,716	)
Fortune Brands Home & Security, Inc.		(14,891	)		(784,054	)		(79,178	)
Freeport-McMoRan, Inc.		(208,374	)		(2,239,995	)		(81,291	)
Frontier Communications Corp.		(470,320	)		(1,974,306	)		(349,075	)
GATX Corp.		(68,896	)		(2,846,541	)		(182,816	)
General Electric Co.		(181,533	)		(5,516,447	)		(198,212	)
Genesee & Wyoming, Inc.		(67,911	)		(3,353,191	)		(650,162	)
Gentex Corp.		(142,315	)		(2,110,770	)		(87,996	)
Genworth Financial, Inc.		(627,653	)		(1,774,815	)		155,470
Global Payments, Inc.		(7,882	)		(479,324	)		(83,293	)
Goodyear Tire & Rubber Co. (The)		(30,940	)		(825,343	)		31,423
Graco, Inc.		(11,971	)		(790,447	)		(155,142	)
Granite Construction, Inc.		(38,036	)		(1,623,933	)		(108,607	)
Greif, Inc.		(13,545	)		(342,180	)		(162,642	)
H&R Block, Inc.		(28,944	)		(590,559	)		(75,153	)
Hain Celestial Group, Inc. (The)		(27,478	)		(1,167,439	)		(199,591	)
Halliburton Co.		(112,209	)		(3,949,806	)		(1,132,140	)
Halyard Health, Inc.		(45,617	)		(1,353,364	)		(130,101	)
Hancock Holding Co.		(41,242	)		(1,050,495	)		(26,334	)
Hanesbrands, Inc.		(71,015	)		(1,995,345	)		210,738
Harley-Davidson, Inc.		(97,924	)		(4,233,116	)		(202,841	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Harman International Industries, Inc.		(34,207	)	$	(2,969,160	)	$	512,413
Harris Corp.		(47,334	)		(3,873,899	)		(75,650	)
Helmerich & Payne, Inc.		(34,932	)		(1,870,784	)		(474,201	)
Henry Schein, Inc.		(12,064	)		(2,061,303	)		(71,612	)
Hertz Global Holdings, Inc.		(178,477	)		(1,930,204	)		(45,537	)
Hess Corp.		(19,646	)		(973,342	)		(207,382	)
Hexcel Corp.		(58,206	)		(2,676,783	)		253,086
Hill-Rom Holdings, Inc.		(16,557	)		(808,129	)		(27,171	)
Hilton Worldwide Holdings, Inc.		(67,921	)		(1,433,615	)		(96,645	)
Howard Hughes Corp. (The)		(36,307	)		(3,885,689	)		(264,928	)
Huntington Bancshares, Inc.		(64,590	)		(582,337	)		4,902
IDEX Corp.		(8,343	)		(573,262	)		(111,699	)
IDEXX Laboratories, Inc.		(42,979	)		(2,974,136	)		(1,016,894	)
Illumina, Inc.		(58,764	)		(9,856,946	)		1,607,656
Incyte Corp.		(38,831	)		(2,723,827	)		(381,876	)
Intercontinental Exchange, Inc.		(9,094	)		(2,343,362	)		15,662
International Flavors & Fragrances, Inc.		(17,473	)		(1,990,287	)		(212,534	)
IPG Photonics Corp.		(7,238	)		(624,887	)		45,847
Janus Capital Group, Inc.		(37,310	)		(525,182	)		5,827
JB Hunt Transport Services, Inc.		(11,554	)		(852,088	)		(82,977	)
JC Penney Co., Inc.		(377,407	)		(2,942,489	)		(408,886	)
Johnson Controls, Inc.		(103,896	)		(4,451,341	)		(147,096	)
Juno Therapeutics, Inc.		(21,523	)		(876,361	)		49,016
Kansas City Southern		(66,610	)		(4,754,653	)		(1,246,241	)
KAR Auction Services, Inc.		(25,996	)		(976,765	)		(108,308	)
Kirby Corp.		(40,345	)		(2,553,132	)		36,008
KLX, Inc.		(77,632	)		(2,502,119	)		95,527
Knowles Corp.		(265,178	)		(3,353,209	)		(274,426	)
Kosmos Energy Ltd.		(375,586	)		(1,926,423	)		(120,521	)
Kroger Co. (The)		(31,216	)		(1,115,769	)		(32,668	)
Laredo Petroleum, Inc.		(109,905	)		(1,235,948	)		84,143
LendingClub Corp.		(231,114	)		(1,236,370	)		242,580
Lennar Corp.		(72,670	)		(3,338,044	)		(12,043	)
Leucadia National Corp.		(103,394	)		(1,727,522	)		(64,296	)
Level 3 Communications, Inc.		(29,480	)		(1,454,385	)		(63,540	)
Lexmark International, Inc.		(16,531	)		(471,012	)		(153,033	)
Liberty Broadband Corp.		(73,264	)		(4,038,863	)		(356,977	)
Lions Gate Entertainment Corp.		(176,239	)		(4,198,321	)		633,006
Live Nation Entertainment, Inc.		(134,935	)		(3,126,933	)		(44,039	)
LKQ Corp.		(18,506	)		(450,804	)		(135,836	)
Lockheed Martin Corp.		(8,716	)		(2,085,141	)		(77,909	)
Loews Corp.		(145,311	)		(5,338,911	)		(631,918	)
Louisiana-Pacific Corp.		(217,365	)		(3,621,143	)		(150,140	)

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

AQR Funds Semi-Annual Report June 2016

91

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Lumentum Holdings, Inc.		(39,181	)	$	(937,149	)	$	(11,031	)
M&T Bank Corp.		(16,306	)		(1,988,032	)		60,174
Macquarie Infrastructure Corp.		(77,452	)		(5,254,662	)		(480,659	)
Madison Square Garden Co. (The)		(9,771	)		(1,631,542	)		(54,053	)
Manitowoc Foodservice, Inc.		(99,474	)		(1,029,464	)		(723,268	)
Markel Corp.		(1,128	)		(1,028,353	)		(46,383	)
MarketAxess Holdings, Inc.		(20,319	)		(2,412,897	)		(541,485	)
Marsh & McLennan Cos., Inc.		(44,353	)		(2,484,513	)		(551,894	)
Martin Marietta Materials, Inc.		(14,284	)		(2,038,898	)		(703,630	)
MasterCard, Inc.		(37,475	)		(3,579,968	)		279,919
Mattel, Inc.		(101,508	)		(2,802,512	)		(373,673	)
MAXIMUS, Inc.		(50,534	)		(2,642,821	)		(155,247	)
MDC Holdings, Inc.		(22,919	)		(536,472	)		(21,376	)
MDU Resources Group, Inc.		(272,745	)		(4,814,002	)		(1,731,878	)
MEDNAX, Inc.		(45,968	)		(3,206,984	)		(122,478	)
Mercury General Corp.		(20,242	)		(985,515	)		(90,550	)
Mettler-Toledo International, Inc.		(1,659	)		(619,114	)		13,712
MGM Resorts International		(33,254	)		(741,456	)		(11,082	)
Microchip Technology, Inc.		(41,079	)		(1,739,254	)		(345,916	)
Microsemi Corp.		(73,249	)		(2,407,422	)		13,645
Middleby Corp. (The)		(32,535	)		(3,325,719	)		(423,939	)
Mohawk Industries, Inc.		(4,682	)		(824,678	)		(63,778	)
Molson Coors Brewing Co.		(42,107	)		(3,921,890	)		(336,391	)
Monster Beverage Corp.		(35,066	)		(5,287,581	)		(347,876	)
Moody’s Corp.		(28,734	)		(2,693,506	)		842
Mosaic Co. (The)		(58,412	)		(1,532,478	)		3,252
Murphy Oil Corp.		(22,506	)		(554,663	)		(159,903	)
Nabors Industries Ltd.		(175,744	)		(1,679,650	)		(86,577	)
National Fuel Gas Co.		(74,936	)		(3,244,262	)		(1,018,097	)
National Instruments Corp.		(63,889	)		(1,758,760	)		8,201
National Oilwell Varco, Inc.		(63,936	)		(2,030,084	)		(121,363	)
Navient Corp.		(42,143	)		(519,210	)		15,601
Netflix, Inc.		(27,874	)		(2,603,835	)		53,921
NetScout Systems, Inc.		(257,999	)		(6,195,089	)		454,611
NetSuite, Inc.		(56,183	)		(4,384,600	)		294,478
Newell Brands, Inc.		(60,413	)		(2,610,380	)		(323,879	)
Newfield Exploration Co.		(74,784	)		(2,060,793	)		(1,243,164	)
NewMarket Corp.		(2,439	)		(847,638	)		(163,035	)
NextEra Energy, Inc.		(8,185	)		(857,132	)		(210,192	)
Nielsen Holdings plc		(84,254	)		(3,881,535	)		(497,145	)
Noble Energy, Inc.		(64,542	)		(2,012,882	)		(302,240	)
Nordson Corp.		(20,095	)		(1,241,660	)		(438,483	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Northern Trust Corp.		(23,472	)	$	(1,466,562	)	$	(88,693	)
NorthStar Asset Management Group, Inc.		(190,860	)		(2,142,580	)		193,899
Norwegian Cruise Line Holdings Ltd.		(70,900	)		(3,401,832	)		577,176
NOW, Inc.		(74,090	)		(1,047,296	)		(296,696	)
NRG Energy, Inc.		(390,302	)		(5,100,849	)		(749,778	)
Occidental Petroleum Corp.		(60,393	)		(3,933,512	)		(629,783	)
OGE Energy Corp.		(71,670	)		(1,889,442	)		(457,751	)
Oil States International, Inc.		(15,665	)		(528,960	)		13,895
Old Dominion Freight Line, Inc.		(25,090	)		(1,443,767	)		(69,411	)
Olin Corp.		(118,583	)		(1,820,223	)		(1,125,379	)
ONE Gas, Inc.		(11,798	)		(608,418	)		(177,211	)
ONEOK, Inc.		(69,781	)		(1,390,665	)		(1,920,444	)
OPKO Health, Inc.		(67,227	)		(608,068	)		(19,832	)
Oshkosh Corp.		(22,688	)		(787,390	)		(295,054	)
Owens-Illinois, Inc.		(98,277	)		(1,306,492	)		(463,477	)
PACCAR, Inc.		(9,876	)		(533,241	)		20,973
PacWest Bancorp		(52,573	)		(2,082,259	)		(9,095	)
Palo Alto Networks, Inc.		(54,400	)		(8,100,140	)		1,428,524
Pandora Media, Inc.		(518,800	)		(5,087,931	)		(1,371,129	)
PAREXEL International Corp.		(24,715	)		(1,538,673	)		(15,406	)
Patterson Cos., Inc.		(65,821	)		(2,942,904	)		(209,263	)
Patterson-UTI Energy, Inc.		(171,999	)		(2,421,391	)		(1,245,628	)
PayPal Holdings, Inc.		(40,229	)		(1,386,329	)		(82,431	)
Penske Automotive Group, Inc.		(40,259	)		(1,468,306	)		201,758
People’s United Financial, Inc.		(106,732	)		(1,621,180	)		56,489
Platform Specialty Products Corp.		(230,309	)		(2,084,351	)		39,207
PolyOne Corp.		(25,232	)		(725,486	)		(163,689	)
Praxair, Inc.		(20,177	)		(2,033,195	)		(234,498	)
Premier, Inc.		(91,980	)		(3,063,027	)		55,281
Prestige Brands Holdings, Inc.		(25,838	)		(1,358,569	)		(72,856	)
Primerica, Inc.		(14,211	)		(670,321	)		(143,117	)
Prosperity Bancshares, Inc.		(25,707	)		(1,099,394	)		(211,406	)
PTC, Inc.		(14,557	)		(545,794	)		(1,258	)
PulteGroup, Inc.		(65,502	)		(1,050,024	)		(226,610	)
Range Resources Corp.		(33,497	)		(1,406,475	)		(38,586	)
Regeneron Pharmaceuticals, Inc.		(2,615	)		(952,853	)		39,616
RenaissanceRe Holdings Ltd.		(4,817	)		(548,278	)		(17,431	)
Restoration Hardware Holdings, Inc.		(84,433	)		(2,826,298	)		404,759
Rice Energy, Inc.		(32,565	)		(311,843	)		(405,890	)
Rockwell Collins, Inc.		(56,151	)		(4,806,206	)		25,510

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

AQR Funds Semi-Annual Report June 2016

92

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Rollins, Inc.		(29,565	)	$	(817,004	)	$	(48,364	)
Roper Technologies, Inc.		(20,508	)		(3,731,577	)		233,733
Royal Caribbean Cruises Ltd.		(7,422	)		(663,044	)		164,657
RPC, Inc.		(132,400	)		(1,595,237	)		(460,936	)
RPM International, Inc.		(11,381	)		(470,328	)		(98,153	)
Ryder System, Inc.		(29,807	)		(1,578,983	)		(243,417	)
S&P Global, Inc.		(15,309	)		(1,635,606	)		(6,437	)
salesforce.com, Inc.		(18,402	)		(1,400,964	)		(60,339	)
Santander Consumer USA Holdings, Inc.		(56,213	)		(589,331	)		8,651
SBA Communications Corp.		(67,868	)		(6,752,688	)		(572,984	)
Schlumberger Ltd.		(66,087	)		(4,691,833	)		(534,327	)
Seagate Technology plc		(23,699	)		(679,030	)		101,723
Seattle Genetics, Inc.		(79,244	)		(2,660,052	)		(542,198	)
Sempra Energy		(47,910	)		(4,831,540	)		(631,159	)
ServiceMaster Global Holdings, Inc.		(19,671	)		(768,583	)		(14,323	)
ServiceNow, Inc.		(30,781	)		(2,571,139	)		527,281
Signature Bank		(13,429	)		(1,815,017	)		137,466
Signet Jewelers Ltd.		(23,136	)		(2,266,690	)		360,052
Silgan Holdings, Inc.		(20,706	)		(1,069,164	)		3,633
Sirius XM Holdings, Inc.		(605,562	)		(2,361,580	)		(30,390	)
Six Flags Entertainment Corp.		(9,461	)		(518,743	)		(29,522	)
SLM Corp.		(141,080	)		(862,012	)		(9,862	)
Snyder’s-Lance, Inc.		(53,644	)		(1,668,375	)		(149,620	)
Sotheby’s		(105,637	)		(2,981,020	)		86,566
Southern Co. (The)		(29,080	)		(1,353,305	)		(206,256	)
Spectra Energy Corp.		(56,077	)		(1,286,406	)		(767,694	)
Spectrum Brands Holdings, Inc.		(40,636	)		(4,014,052	)		(834,230	)
Spirit Airlines, Inc.		(133,352	)		(5,812,843	)		(170,661	)
Splunk, Inc.		(66,603	)		(3,189,200	)		(419,350	)
Sprouts Farmers Market, Inc.		(147,188	)		(3,781,248	)		410,643
SS&C Technologies Holdings, Inc.		(152,928	)		(4,588,513	)		294,295
Stericycle, Inc.		(66,163	)		(7,689,204	)		800,313
Stifel Financial Corp.		(39,938	)		(1,357,931	)		101,881
Stryker Corp.		(9,012	)		(1,035,616	)		(44,292	)
SunPower Corp.		(149,581	)		(3,424,643	)		1,107,633
Superior Energy Services, Inc.		(75,390	)		(1,230,632	)		(157,298	)
SVB Financial Group		(15,002	)		(1,537,767	)		110,177
Synovus Financial Corp.		(17,747	)		(557,743	)		43,258
Targa Resources Corp.		(33,545	)		(1,239,718	)		(173,868	)
Tempur Sealy International, Inc.		(29,144	)		(2,098,233	)		485,987
Tenet Healthcare Corp.		(101,724	)		(2,799,787	)		(11,864	)
TerraForm Power, Inc.		(108,853	)		(1,148,375	)		(38,122	)
Tesla Motors, Inc.		(53,457	)		(11,856,732	)		508,880
Thermo Fisher Scientific, Inc.		(11,631	)		(1,432,816	)		(285,781	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Tiffany & Co.		(26,405	)	$	(1,825,992	)	$	224,793
Time, Inc.		(32,462	)		(487,936	)		(46,389	)
T-Mobile US, Inc.		(20,980	)		(799,558	)		(108,247	)
Torchmark Corp.		(16,778	)		(818,520	)		(218,696	)
Tractor Supply Co.		(7,150	)		(598,004	)		(53,933	)
TransDigm Group, Inc.		(29,597	)		(6,646,205	)		(1,158,228	)
TreeHouse Foods, Inc.		(29,424	)		(2,624,658	)		(395,715	)
TRI Pointe Group, Inc.		(120,628	)		(1,367,315	)		(58,508	)
Twenty-First Century Fox, Inc.		(50,698	)		(1,440,201	)		68,820
Twitter, Inc.		(98,260	)		(2,176,395	)		514,818
Tyler Technologies, Inc.		(25,970	)		(3,642,602	)		(686,856	)
UGI Corp.		(32,128	)		(1,037,151	)		(416,641	)
Ulta Salon Cosmetics & Fragrance, Inc.		(4,629	)		(891,303	)		(236,506	)
Ultimate Software Group, Inc. (The)		(15,790	)		(2,736,029	)		(584,450	)
Umpqua Holdings Corp.		(52,548	)		(828,281	)		15,364
Under Armour, Inc.		(163,971	)		(6,505,846	)		(74,310	)
United Parcel Service, Inc.		(7,126	)		(711,792	)		(55,821	)
United Rentals, Inc.		(42,776	)		(2,744,682	)		(125,587	)
United States Steel Corp.		(117,801	)		(1,584,459	)		(401,666	)
Valley National Bancorp		(176,665	)		(1,622,302	)		11,117
Veeva Systems, Inc.		(55,379	)		(1,332,897	)		(556,635	)
Verisk Analytics, Inc.		(108,916	)		(8,293,839	)		(537,070	)
Vertex Pharmaceuticals, Inc.		(25,456	)		(2,471,508	)		281,782
Visa, Inc.		(71,294	)		(5,558,317	)		270,441
Vista Outdoor, Inc.		(39,397	)		(1,727,873	)		(152,546	)
Visteon Corp.		(14,114	)		(1,625,227	)		696,385
Vulcan Materials Co.		(16,558	)		(1,414,192	)		(578,729	)
WABCO Holdings, Inc.		(5,499	)		(562,063	)		58,520
Wabtec Corp.		(20,694	)		(1,406,003	)		(47,336	)
Walgreens Boots Alliance, Inc.		(8,569	)		(714,140	)		600
Webster Financial Corp.		(53,863	)		(1,886,479	)		57,830
WEC Energy Group, Inc.		(175,930	)		(9,102,799	)		(2,385,430	)
WestRock Co.		(72,166	)		(2,489,940	)		(315,153	)
WEX, Inc.		(5,972	)		(525,417	)		(4,121	)
WGL Holdings, Inc.		(22,659	)		(1,468,823	)		(135,207	)
White Mountains Insurance Group Ltd.		(776	)		(629,736	)		(23,656	)
WhiteWave Foods Co. (The)		(158,528	)		(6,240,062	)		(1,201,243	)
Whole Foods Market, Inc.		(69,057	)		(2,219,008	)		7,803
WisdomTree Investments, Inc.		(555,780	)		(7,200,370	)		1,759,283
Workday, Inc.		(42,566	)		(2,977,149	)		(201,254	)
WPX Energy, Inc.		(121,555	)		(1,181,146	)		49,469
Wynn Resorts Ltd.		(32,052	)		(2,308,309	)		(596,885	)
Yahoo!, Inc.		(44,134	)		(1,328,291	)		(329,382	)
Zayo Group Holdings, Inc.		(242,842	)		(6,160,470	)		(622,107	)

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

AQR Funds Semi-Annual Report June 2016

93

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zebra Technologies Corp.		(36,790	)	$	(2,352,770	)	$	509,591
Zions Bancorporation		(101,967	)		(2,721,354	)		158,923
Zoetis, Inc.		(51,737	)		(2,346,726	)		(108,712	)
								(56,946,899	)
Total of Short Equity Positions								(55,704,319	)
Total of Long and Short Equity Positions								(12,106,307	)
Net Cash and Other Receivables/ (Payables) (b)								626,644
Swaps, at Value							$	(11,479,663	)

(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)
GSIN	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 07/20/2016 - 12/21/2020		$(4,283,081	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Common Stocks
France
Air France-KLM		266,067	$	1,969,034	$	(289,931	)
Arkema SA		9,968		771,032		(8,951	)
Atos SE		37,043		3,082,156		(27,999	)
AXA SA		42,077		1,129,826		(297,854	)
Capgemini SA		23,414		2,243,388		(222,928	)
Cie de Saint-Gobain		46,216		2,015,461		(263,615	)
Cie Generale des Etablissements Michelin		19,094		1,928,777		(129,347	)
CNP Assurances		116,121		1,633,189		80,033
Dassault Systemes		7,250		561,014		(14,393	)
Eiffage SA		36,277		2,524,880		54,053
Engie SA		62,612		943,414		61,926
Eutelsat Communications SA		41,810		1,109,258		(320,091	)
Faurecia		70,784		2,592,981		(345,763	)
Ipsen SA		18,910		1,162,830		(4,198	)
Lagardere SCA		46,982		1,192,978		(171,023	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Numericable-SFR SA		19,592	$	769,256	$	(279,655	)
Orange SA		153,974		2,718,650		(214,955	)
Peugeot SA		343,072		5,852,922		(1,740,830	)
Publicis Groupe SA		9,408		669,925		(40,506	)
Renault SA		24,992		2,397,402		(510,567	)
Rexel SA		54,345		722,338		(39,091	)
Safran SA		29,307		1,978,248		(4,661	)
Sanofi		7,415		626,650		(10,592	)
SCOR SE		80,192		2,850,792		(479,911	)
SEB SA		9,672		1,009,728		156,484
Societe BIC SA		7,290		1,208,705		(181,585	)
Sodexo SA		23,929		2,389,489		174,011
Teleperformance		34,067		2,880,594		21,304
Television Francaise 1		13,269		146,065		(5,542	)
Thales SA		50,304		4,014,256		163,203
TOTAL SA		56,482		2,386,423		322,229
Valeo SA		53,233		2,640,313		(277,082	)

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

AQR Funds Semi-Annual Report June 2016

94

Schedule of Investments June 30, 2016 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Veolia Environnement SA		196,043		$	4,423,757		$	(190,283	)
Vinci SA		14,878			1,014,922			34,972
Vivendi SA		31,124			532,288			50,003
								(4,953,135	)
Total of Long Equity Positions								(4,953,135	)
Short Positions
Common Stocks
France
Accor SA		(39,102	)		(1,631,799	)		133,561
Air Liquide SA		(34,145	)		(3,511,768	)		(45,515	)
Airbus Group SE		(38,355	)		(2,220,316	)		21,810
Alstom SA		(89,090	)		(2,020,337	)		(36,621	)
Bollore SA		(699,362	)		(2,907,136	)		552,721
Bouygues SA		(26,803	)		(860,202	)		92,342
Bureau Veritas SA		(45,742	)		(954,209	)		(6,146	)
Carrefour SA		(148,452	)		(4,000,623	)		349,351
Credit Agricole SA		(145,726	)		(1,416,610	)		191,501
Danone SA		(50,299	)		(3,419,422	)		(100,635	)
Edenred		(293,345	)		(5,301,156	)		(705,407	)
Electricite de France SA		(296,375	)		(3,803,712	)		210,099
Essilor International SA		(22,413	)		(2,810,024	)		(135,697	)
Hermes International		(4,007	)		(1,425,806	)		(67,916	)
Iliad SA		(3,534	)		(866,853	)		153,465
Ingenico Group SA		(32,241	)		(3,456,444	)		(280,448	)
Kering		(8,358	)		(1,441,890	)		96,402
Legrand SA		(21,174	)		(1,091,177	)		7,251

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
L’Oreal SA		(19,251	)	$	(3,411,569	)	$	(274,100	)
LVMH Moet Hennessy Louis Vuitton SE		(10,744	)		(1,737,558	)		118,064
Natixis SA		(240,864	)		(1,208,533	)		302,194
Orpea		(17,024	)		(1,316,427	)		(79,486	)
Pernod Ricard SA		(26,496	)		(3,049,912	)		116,371
Plastic Omnium SA		(30,914	)		(975,203	)		110,970
Remy Cointreau SA		(23,443	)		(1,785,017	)		(232,982	)
Vallourec SA		(489,814	)		(1,720,930	)		(11,517	)
Zodiac Aerospace		(251,678	)		(5,795,787	)		(75,479	)
								404,153
Luxembourg
SES SA		(43,123	)		(1,077,167	)		154,009
Total of Short Equity Positions								558,162
Total of Long and Short Equity Positions								(4,394,973	)
Net Cash and Other Receivables/ (Payables) (b)								111,892
Swaps, at Value							$	(4,283,081	)

(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 June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER	EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
BARC
Cash	$—	$40,606,988		$40,606,988
CITI
Investment Companies	2,000,673	—		2,000,673
DTBK
Investment Companies	58,128,508	—		58,128,508
GSIN
Investment Companies	198,050,000	—		198,050,000
JPMC
Cash	7,860,000	—		7,860,000

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

AQR Funds Semi-Annual Report June 2016

95

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

SHORT-TERM INVESTMENTS - 97.2%	SHARES			VALUE (Note 5)
Investment Companies - 16.2%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(a)		50,474,771		$	50,474,771
Dreyfus Treasury Cash Management, Class I, 0.240% ^(a)		201,899,082			201,899,082
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(a)(b)		1,582,831,433			1,582,831,433
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(a)(b)		64,802,948			64,802,948
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(a)		252,373,853			252,373,853
Total Investment Companies (cost $2,152,382,087)					2,152,382,087
		PRINCIPAL AMOUNT (000’s	)
U.S. Treasury Obligations - 81.0%
U.S. Treasury Bill, 0.401%, 12/15/2016 ^(c)(d)	$	760,008			759,036,710
U.S. Treasury Bill, 0.498%, 07/07/2016 (c)(d)		434,577			434,572,654
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(c)		418,594			418,496,886
U.S. Treasury Bill, 0.480%, 11/25/2016 ^(c)		637,415			636,741,890
U.S. Treasury Bill, 0.471%, 07/14/2016 (c)		152,110			152,103,555
U.S. Treasury Bill, 0.477%, 12/01/2016 ^(c)(d)		1,032,664			1,031,413,444
U.S. Treasury Bill, 0.384%, 10/06/2016 ^(c)(d)		391,847			391,576,626
U.S. Treasury Bill, 0.455%, 09/29/2016 ^(c)		704,042			703,582,964
U.S. Treasury Bill, 0.431%, 12/08/2016 ^(c)(d)		928,964			927,781,429
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(c)		599,562			599,378,534
U.S. Treasury Bill, 0.370%, 07/21/2016 ^(c)		336,723			336,688,654
U.S. Treasury Bill, 0.511%, 09/15/2016 ^(c)		928,892			928,492,577
U.S. Treasury Bill, 0.465%, 08/04/2016 ^(c)		685,787			685,647,785
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(c)(d)		987,354			987,223,669
U.S. Treasury Bill, 0.479%, 09/01/2016 ^(c)(d)		625,447			625,196,821
U.S. Treasury Bill, 0.401%, 10/27/2016 ^(c)(d)		14,152			14,141,782
U.S. Treasury Bill, 0.476%, 09/08/2016 (c)(d)		404,000			403,842,844
U.S. Treasury Bill, 0.401%, 12/22/2016 ^(c)(d)		455,261			454,637,292

	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Obligations - 81.0% (continued)
U.S. Treasury Bill, 0.341%, 10/13/2016 ^(c)	$	244,828	$	244,663,476
U.S. Treasury Bill, 0.441%, 09/22/2016 (c)		24,784		24,770,220
Total U.S. Treasury Obligations (cost $10,754,981,879)				10,759,989,812
TOTAL SHORT-TERM INVESTMENTS (cost $12,907,363,966)				12,912,371,899
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 97.2% (cost $12,907,363,966)				12,912,371,899
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.8% (e)			376,718,812
NET ASSETS - 100.0%			$	13,289,090,711

(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 Semi-Annual Report June 2016

96

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
BANA	Bovespa Index August Futures	08/2016		BRL		(183,737,297	)		$(1,836,823	)
SOCG	Cocoa September Futures^	08/2016		USD		(60,873	)		(910	)
SOCG	Cocoa September Futures^	08/2016		USD		60,873			1,613
MACQ	Corn September Futures^	08/2016		USD		43,592,802			(6,841,777	)
MLIN	Corn September Futures^	09/2016		USD		112,358,912			(17,328,913	)
CITI	Cotton No. 2 December Futures^	11/2016		USD		359,700			(6,765	)
SOCG	Cotton No. 2 December Futures^	11/2016		USD		7,351,658			(164,618	)
MACQ	Cotton No. 2 December Futures^	11/2016		USD		16,933,968			(378,108	)
MSCS	H-SHARES Index July Futures	07/2016		HKD		(308,264,524	)		(1,932,854	)
MSCS	KOSPI Index 200 September Futures	09/2016		KRW		59,769,232,992			(638,827	)
SOCG	Lean Hogs August Futures^	08/2016		USD		36,311,474			(2,235,344	)
MLIN	Lean Hogs July Futures^	07/2016		USD		3,829,040			(17,940	)
MLIN	Lean Hogs July Futures^	07/2016		USD		(3,829,040	)		(178,250	)
MLIN	Lean Hogs August Futures^	08/2016		USD		31,892,670			(1,813,740	)
MACQ	Live Cattle August Futures^	08/2016		USD		(165,701,262	)		5,910,792
MLIN	Live Cattle August Futures^	08/2016		USD		(13,445,830	)		447,640
SOCG	Live Cattle August Futures^	08/2016		USD		(67,692,317	)		2,242,067
MSCS	MSCI Singapore Index July Futures	07/2016		SGD		(2,323,949	)		(41,423	)
MSCS	SGX FTSE China A50 Index July Futures	07/2016		USD		(26,018,354	)		(421,451	)
CITI	Soybean November Futures^	10/2016		USD		(158,586,197	)		(191,194	)
CITI	Soybean November Futures^	10/2016		USD		230,638,915			1,740,960
MACQ	Soybean November Futures^	10/2016		USD		101,871,851			479,087
SOCG	Soybean November Futures^	10/2016		USD		57,505,959			271,866
MLIN	Soybean November Futures^	11/2016		USD		139,731,612			734,238
CITI	Soybean Meal December Futures^	11/2016		USD		9,275,980			187,620
MACQ	Soybean Meal December Futures^	11/2016		USD		78,963,548			(487,848	)
MLIN	Soybean Meal December Futures^	11/2016		USD		40,987,280			(85,280	)
MACQ	Soybean Oil December Futures^	11/2016		USD		(11,802,504	)		(89,052	)
BANA	Swiss Market Index September Futures	09/2016		CHF		(96,388,786	)		(4,139,397	)
BANA	Taiwan Stock Exchange July Futures	07/2016		TWD		(1,354,584,477	)		(843,452	)
CITI	Wheat September Futures^	08/2016		USD		(64,112,239	)		(5,985,021	)
CITI	Wheat September Futures^	08/2016		USD		38,462,745			5,518,020
									$(28,125,084	)

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

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
2,150	GSCO	Cocoa Futures^		09/2016		$65,903,313		$67,290,026		$1,386,713
116	MSCL	Cocoa Futures^		09/2016		3,474,084		3,437,080		(37,004	)
1,586	MSCL	Coffee ‘C’ Futures^		09/2016		83,325,686		86,625,337		3,299,651
32	MSCL	Corn Futures^		09/2016		685,267		584,800		(100,467	)
694	MSCL	Cotton No. 2 Futures^		12/2016		22,722,670		22,266,990		(455,680	)
165	GSCO	Gas Oil Futures^		08/2016		7,417,050		7,363,125		(53,925	)
10,192	MSCL	Gold 100 OZ Futures^		08/2016		1,312,270,321		1,345,955,520		33,685,199

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

AQR Funds Semi-Annual Report June 2016

97

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
77	MSCL	Lean Hogs Futures^		08/2016		$ 2,682,338		$ 2,564,870		$ (117,468	)
30	JPPC	LME Aluminum Futures^		07/2016		1,146,628		1,232,250		85,622
144	JPPC	LME Aluminum Futures^		07/2016		5,431,683		5,915,448		483,765
33	JPPC	LME Aluminum Futures^		07/2016		1,242,210		1,355,780		113,570
194	JPPC	LME Aluminum Futures^		07/2016		7,574,860		7,976,553		401,693
208	JPPC	LME Aluminum Futures^		07/2016		8,069,389		8,553,116		483,727
112	JPPC	LME Aluminum Futures^		07/2016		4,364,438		4,607,064		242,626
100	JPPC	LME Aluminum Futures^		07/2016		3,934,769		4,113,925		179,156
116	JPPC	LME Aluminum Futures^		07/2016		4,651,271		4,772,675		121,404
144	JPPC	LME Aluminum Futures^		07/2016		5,881,068		5,921,100		40,032
211	JPPC	LME Aluminum Futures^		07/2016		8,686,146		8,674,738		(11,408	)
160	JPPC	LME Aluminum Futures^		07/2016		6,592,222		6,579,600		(12,622	)
28	JPPC	LME Aluminum Futures^		07/2016		1,155,579		1,151,717		(3,862	)
22	JPPC	LME Aluminum Futures^		08/2016		899,130		905,438		6,308
421	JPPC	LME Aluminum Futures^		08/2016		16,313,263		17,338,148		1,024,885
214	JPPC	LME Aluminum Futures^		08/2016		8,246,693		8,816,104		569,411
212	JPPC	LME Aluminum Futures^		08/2016		8,232,744		8,734,400		501,656
213	JPPC	LME Aluminum Futures^		08/2016		8,185,153		8,771,606		586,453
475	JPPC	LME Aluminum Futures^		08/2016		18,526,533		19,552,188		1,025,655
237	JPPC	LME Aluminum Futures^		08/2016		9,145,226		9,761,438		616,212
227	JPPC	LME Aluminum Futures^		08/2016		8,796,806		9,350,981		554,175
205	JPPC	LME Aluminum Futures^		08/2016		7,954,502		8,446,000		491,498
331	JPPC	LME Aluminum Futures^		08/2016		12,888,469		13,639,268		750,799
221	JPPC	LME Aluminum Futures^		09/2016		8,587,773		9,114,869		527,096
184	JPPC	LME Aluminum Futures^		09/2016		7,231,651		7,590,000		358,349
117	JPPC	LME Aluminum Futures^		09/2016		4,683,444		4,830,637		147,193
404	JPPC	LME Aluminum Futures^		09/2016		16,050,895		16,682,675		631,780
209	JPPC	LME Aluminum Futures^		09/2016		8,296,006		8,631,909		335,903
211	JPPC	LME Aluminum Futures^		09/2016		8,474,529		8,714,880		240,351
225	JPPC	LME Aluminum Futures^		09/2016		9,128,424		9,293,513		165,089
431	JPPC	LME Aluminum Futures^		09/2016		17,352,230		17,802,993		450,763
3,009	JPPC	LME Aluminum Futures^		09/2016		121,371,046		124,215,281		2,844,235
225	JPPC	LME Aluminum Futures^		09/2016		9,133,668		9,293,906		160,238
211	JPPC	LME Aluminum Futures^		09/2016		8,623,774		8,706,387		82,613
210	JPPC	LME Aluminum Futures^		09/2016		8,436,780		8,659,613		222,833
212	JPPC	LME Aluminum Futures^		09/2016		8,568,332		8,741,290		172,958
184	JPPC	LME Aluminum Futures^		09/2016		7,482,429		7,586,090		103,661
157	JPPC	LME Aluminum Futures^		09/2016		6,436,221		6,472,325		36,104
44	JPPC	LME Copper Futures^		07/2016		5,252,608		5,324,000		71,392
39	JPPC	LME Copper Futures^		07/2016		4,638,171		4,719,332		81,161
6	JPPC	LME Copper Futures^		07/2016		703,215		726,104		22,889
54	JPPC	LME Copper Futures^		07/2016		6,262,782		6,535,390		272,608
49	JPPC	LME Copper Futures^		07/2016		5,684,145		5,931,524		247,379
103	JPPC	LME Copper Futures^		07/2016		12,082,152		12,469,206		387,054
11	JPPC	LME Copper Futures^		07/2016		1,325,046		1,331,757		6,711
4	JPPC	LME Copper Futures^		07/2016		493,837		484,175		(9,662	)
75	JPPC	LME Copper Futures^		07/2016		9,383,106		9,078,750		(304,356	)
84	JPPC	LME Copper Futures^		07/2016		10,550,198		10,168,725		(381,473	)
57	JPPC	LME Copper Futures^		07/2016		7,123,040		6,901,275		(221,765	)
24	JPPC	LME Copper Futures^		07/2016		2,967,339		2,905,950		(61,389	)
13	JPPC	LME Copper Futures^		07/2016		1,599,650		1,574,138		(25,512	)
53	JPPC	LME Copper Futures^		08/2016		6,554,240		6,420,023		(134,217	)
17	JPPC	LME Copper Futures^		08/2016		2,076,708		2,059,380		(17,328	)
180	JPPC	LME Copper Futures^		08/2016		21,285,441		21,814,650		529,209
238	JPPC	LME Copper Futures^		08/2016		27,662,851		28,845,600		1,182,749
143	JPPC	LME Copper Futures^		08/2016		16,559,750		17,329,204		769,454

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

AQR Funds Semi-Annual Report June 2016

98

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
37	JPPC	LME Copper Futures^		08/2016		$ 4,292,174		$ 4,483,475		$ 191,301
51	JPPC	LME Copper Futures^		08/2016		5,848,550		6,179,708		331,158
217	JPPC	LME Copper Futures^		08/2016		25,018,232		26,293,185		1,274,953
119	JPPC	LME Copper Futures^		08/2016		13,560,342		14,417,832		857,490
103	JPPC	LME Copper Futures^		08/2016		11,849,347		12,478,888		629,541
56	JPPC	LME Copper Futures^		08/2016		6,482,137		6,784,400		302,263
88	JPPC	LME Copper Futures^		08/2016		10,321,003		10,661,398		340,395
239	JPPC	LME Copper Futures^		09/2016		27,515,461		28,958,495		1,443,034
295	JPPC	LME Copper Futures^		09/2016		34,172,873		35,744,339		1,571,466
54	JPPC	LME Copper Futures^		09/2016		6,143,118		6,544,665		401,547
833	JPPC	LME Copper Futures^		09/2016		98,219,966		100,959,600		2,739,634
130	JPPC	LME Copper Futures^		09/2016		15,336,129		15,747,875		411,746
211	JPPC	LME Copper Futures^		09/2016		24,848,105		25,558,694		710,589
161	JPPC	LME Copper Futures^		09/2016		19,367,774		19,501,447		133,673
89	JPPC	LME Copper Futures^		09/2016		10,748,987		10,780,125		31,138
21	JPPC	LME Nickel Futures^		07/2016		1,166,043		1,185,660		19,617
40	JPPC	LME Nickel Futures^		07/2016		2,244,229		2,258,537		14,308
45	JPPC	LME Nickel Futures^		07/2016		2,475,556		2,541,008		65,452
12	JPPC	LME Nickel Futures^		07/2016		654,526		677,726		23,200
63	JPPC	LME Nickel Futures^		08/2016		3,619,255		3,560,004		(59,251	)
26	JPPC	LME Nickel Futures^		08/2016		1,475,568		1,469,297		(6,271	)
70	JPPC	LME Nickel Futures^		08/2016		3,891,921		3,956,039		64,118
22	JPPC	LME Nickel Futures^		08/2016		1,140,402		1,244,157		103,755
18	JPPC	LME Nickel Futures^		08/2016		937,277		1,018,008		80,731
25	JPPC	LME Nickel Futures^		08/2016		1,293,061		1,413,969		120,908
130	JPPC	LME Nickel Futures^		08/2016		6,681,833		7,352,990		671,157
58	JPPC	LME Nickel Futures^		08/2016		2,905,942		3,281,201		375,259
53	JPPC	LME Nickel Futures^		08/2016		2,661,816		2,998,485		336,669
38	JPPC	LME Nickel Futures^		08/2016		1,911,550		2,149,962		238,412
107	JPPC	LME Nickel Futures^		08/2016		5,415,175		6,054,130		638,955
39	JPPC	LME Nickel Futures^		09/2016		1,965,696		2,207,290		241,594
108	JPPC	LME Nickel Futures^		09/2016		5,490,698		6,112,785		622,087
53	JPPC	LME Nickel Futures^		09/2016		2,766,730		3,000,375		233,645
47	JPPC	LME Nickel Futures^		09/2016		2,433,775		2,660,839		227,064
20	JPPC	LME Nickel Futures^		09/2016		1,046,449		1,132,327		85,878
69	JPPC	LME Nickel Futures^		09/2016		3,682,264		3,908,040		225,776
386	JPPC	LME Nickel Futures^		09/2016		21,239,106		21,867,672		628,566
57	JPPC	LME Nickel Futures^		09/2016		3,152,301		3,229,007		76,706
27	JPPC	LME Nickel Futures^		09/2016		1,499,363		1,529,657		30,294
54	JPPC	LME Nickel Futures^		09/2016		2,923,152		3,059,856		136,704
52	JPPC	LME Nickel Futures^		09/2016		2,876,872		2,946,631		69,759
30	JPPC	LME Nickel Futures^		09/2016		1,681,990		1,700,040		18,050
42	JPPC	LME Nickel Futures^		09/2016		9,889,449		9,917,250		27,801
14	JPPC	LME Zinc Futures^		07/2016		660,408		735,542		75,134
24	JPPC	LME Zinc Futures^		07/2016		1,125,349		1,260,840		135,491
21	JPPC	LME Zinc Futures^		07/2016		993,917		1,103,156		109,239
19	JPPC	LME Zinc Futures^		07/2016		897,760		998,112		100,352
10	JPPC	LME Zinc Futures^		07/2016		485,079		525,333		40,254
26	JPPC	LME Zinc Futures^		08/2016		1,195,089		1,368,205		173,116
43	JPPC	LME Zinc Futures^		08/2016		1,958,648		2,262,875		304,227
86	JPPC	LME Zinc Futures^		08/2016		3,945,246		4,525,987		580,741
175	JPPC	LME Zinc Futures^		08/2016		8,208,215		9,210,294		1,002,079
266	JPPC	LME Zinc Futures^		09/2016		13,269,212		14,004,634		735,422
114	JPPC	LME Zinc Futures^		09/2016		5,766,166		6,003,211		237,045
13	JPPC	LME Zinc Futures^		09/2016		665,474		684,648		19,174
49	JPPC	LME Zinc Futures^		09/2016		2,531,295		2,580,720		49,425

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

AQR Funds Semi-Annual Report June 2016

99

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
50	JPPC	LME Zinc Futures^		09/2016		$ 2,588,695		$ 2,633,925		$ 45,230
30	JPPC	LME Zinc Futures^		09/2016		1,524,611		1,580,437		55,826
45	JPPC	LME Zinc Futures^		09/2016		2,301,780		2,370,431		68,651
81	JPPC	LME Zinc Futures^		09/2016		4,047,134		4,266,372		219,238
842	JPPC	LME Zinc Futures^		09/2016		42,497,010		44,336,562		1,839,552
37	JPPC	LME Zinc Futures^		09/2016		1,850,951		1,948,467		97,516
8	JPPC	LME Zinc Futures^		09/2016		409,824		420,950		11,126
106	JPPC	LME Zinc Futures^		09/2016		5,313,158		5,576,633		263,475
38	JPPC	LME Zinc Futures^		09/2016		1,950,426		1,999,208		48,782
1,077	MSCL	Natural Gas Futures^		07/2016		27,963,098		31,491,480		3,528,382
3,062	MSCL	Silver Futures^		09/2016		267,175,356		285,118,130		17,942,774
1,852	MSCL	Soybean Futures^		11/2016		102,605,999		106,790,950		4,184,951
418	MSCL	Soybean Meal Futures^		12/2016		16,990,282		16,761,800		(228,482	)
10,181	MSCL	Sugar #11 (World Markets) Futures^		09/2016		224,335,218		231,817,298		7,482,080
535	BARC	S&P MID 400 E-Mini Futures		09/2016		79,049,093		79,875,500		826,407
750	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		93,981,533		94,543,132		561,599
3,852	BARC	SGX S&P CNX Nifty Index Futures		07/2016		62,742,734		64,216,692		1,473,958
565	GSCO	10-Year Japanese Government Bond Futures		09/2016		832,374,650		836,680,385		4,305,735
5,212	JPMS	3-Month Euro Euribor Futures		12/2016		1,450,614,109		1,450,992,952		378,843
4,992	JPMS	3-Month Euro Euribor Futures		03/2017		1,389,517,721		1,389,884,625		366,904
4,444	JPMS	3-Month Euro Euribor Futures		06/2017		1,236,900,774		1,237,494,088		593,314
8,349	JPMS	3-Month Euro Euribor Futures		09/2017		2,323,800,961		2,325,127,705		1,326,744
9,790	JPMS	3-Month Euro Euribor Futures		12/2017		2,724,500,276		2,726,570,137		2,069,861
10,839	JPMS	3-Month Euro Euribor Futures		03/2018		3,016,150,616		3,018,572,188		2,421,572
6,702	JPMS	3-Month Euro Euribor Futures		06/2018		1,864,904,762		1,866,358,806		1,454,044
7,195	JPMS	90-Day EURODollar Futures		12/2016		1,784,605,170		1,786,608,437		2,003,267
7,155	JPMS	90-Day EURODollar Futures		03/2017		1,774,016,596		1,776,318,187		2,301,591
6,658	JPMS	90-Day EURODollar Futures		06/2017		1,649,747,162		1,652,349,150		2,601,988
6,003	JPMS	90-Day EURODollar Futures		09/2017		1,486,239,451		1,489,194,225		2,954,774
5,666	JPMS	90-Day EURODollar Futures		12/2017		1,401,901,748		1,404,813,875		2,912,127
5,371	JPMS	90-Day EURODollar Futures		03/2018		1,328,161,524		1,331,135,213		2,973,689
5,184	JPMS	90-Day EURODollar Futures		06/2018		1,281,205,435		1,284,206,400		3,000,965
5,532	JPMS	90-Day Sterling Futures		12/2016		915,945,067		917,429,448		1,484,381
6,805	JPMS	90-Day Sterling Futures		03/2017		1,126,017,826		1,128,657,711		2,639,885
7,258	JPMS	90-Day Sterling Futures		06/2017		1,199,846,546		1,203,790,987		3,944,441
5,146	JPMS	90-Day Sterling Futures		09/2017		850,391,236		853,586,380		3,195,144
4,525	JPMS	90-Day Sterling Futures		12/2017		747,303,014		750,503,474		3,200,460
4,172	JPMS	90-Day Sterling Futures		03/2018		688,728,304		691,886,416		3,158,112
3,928	JPMS	90-Day Sterling Futures		06/2018		648,815,552		651,290,680		2,475,128
4,530	JPMS	Australia 10-Year Bond Futures		09/2016		455,144,341		460,146,607		5,002,266
14,545	JPMS	Australia 3-Year Bond Futures		09/2016		1,225,546,594		1,227,782,664		2,236,070
3,277	GSCO	Canadian 10-Year Bond Futures		09/2016		368,546,897		375,499,888		6,952,991
2,186	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		09/2016		386,164,654		407,415,750		21,251,096
3,877	GSCO	Euro - OAT Futures		09/2016		674,381,828		691,799,089		17,417,261
19,946	GSCO	Euro - SCHATZ Futures		09/2016		2,476,186,956		2,480,566,990		4,380,034
84	JPMS	Euro CHF 3-Month LIFFE Futures		06/2017		21,729,339		21,739,785		10,446
15,731	GSCO	Euro-Bobl Futures		09/2016		2,311,533,560		2,332,318,940		20,785,380
1,594	GSCO	Euro-BTP Italian Government Bond Futures		09/2016		249,170,216		252,268,745		3,098,529

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

AQR Funds Semi-Annual Report June 2016

100

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
4,705	GSCO	Euro-Bund Futures		09/2016		$ 851,955,695			$ 872,595,973			$ 20,640,278
379	GSCO	Euro-Buxl 30-Year Bond Futures		09/2016		75,062,964			82,503,964			7,441,000
4,062	GSCO	Long Gilt Futures		09/2016		667,052,799			694,814,474			27,761,675
6,699	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		873,186,532			890,862,328			17,675,796
19,078	MSCL	U.S. Treasury 2-Year Note Futures		09/2016		4,170,612,916			4,184,341,968			13,729,052
13,640	MSCL	U.S. Treasury 5-Year Note Futures		09/2016		1,642,748,351			1,666,317,813			23,569,462
2,863	MSCL	U.S. Treasury Long Bond Futures		09/2016		471,129,151			493,420,156			22,291,005
						52,082,177,242			52,461,598,031			379,420,789
Short Contracts:
297	GSCO	Brent Crude Futures^		07/2016		$(14,569,896	)		$(14,763,870	)		$(193,974	)
2,957	MSCL	Copper Futures^		09/2016		(159,331,752	)		(162,302,337	)		(2,970,585	)
1,158	MSCL	Gasoline RBOB Futures^		07/2016		(73,461,108	)		(73,017,226	)		443,882
2,715	MSCL	Hard Red Winter Wheat Futures^		09/2016		(65,263,647	)		(57,354,375	)		7,909,272
88	MSCL	Heating Oil ULSD Futures^		07/2016		(5,438,653	)		(5,502,235	)		(63,582	)
1,710	MSCL	Live Cattle Futures^		08/2016		(78,376,030	)		(78,540,300	)		(164,270	)
30	JPPC	LME Aluminum Futures^		07/2016		(1,150,801	)		(1,232,249	)		(81,448	)
144	JPPC	LME Aluminum Futures^		07/2016		(5,424,847	)		(5,915,448	)		(490,601	)
33	JPPC	LME Aluminum Futures^		07/2016		(1,241,132	)		(1,355,781	)		(114,649	)
194	JPPC	LME Aluminum Futures^		07/2016		(7,575,225	)		(7,976,553	)		(401,328	)
208	JPPC	LME Aluminum Futures^		07/2016		(8,056,890	)		(8,553,116	)		(496,226	)
112	JPPC	LME Aluminum Futures^		07/2016		(4,356,526	)		(4,607,064	)		(250,538	)
100	JPPC	LME Aluminum Futures^		07/2016		(3,918,455	)		(4,113,925	)		(195,470	)
116	JPPC	LME Aluminum Futures^		07/2016		(4,644,066	)		(4,772,675	)		(128,609	)
144	JPPC	LME Aluminum Futures^		07/2016		(5,903,575	)		(5,921,100	)		(17,525	)
211	JPPC	LME Aluminum Futures^		07/2016		(8,676,753	)		(8,674,738	)		2,015
160	JPPC	LME Aluminum Futures^		07/2016		(6,599,528	)		(6,579,600	)		19,928
28	JPPC	LME Aluminum Futures^		07/2016		(1,154,231	)		(1,151,717	)		2,514
22	JPPC	LME Aluminum Futures^		08/2016		(900,571	)		(905,437	)		(4,866	)
421	JPPC	LME Aluminum Futures^		08/2016		(16,289,982	)		(17,338,148	)		(1,048,166	)
214	JPPC	LME Aluminum Futures^		08/2016		(8,254,612	)		(8,816,105	)		(561,493	)
212	JPPC	LME Aluminum Futures^		08/2016		(8,203,238	)		(8,734,400	)		(531,162	)
213	JPPC	LME Aluminum Futures^		08/2016		(8,219,241	)		(8,771,606	)		(552,365	)
475	JPPC	LME Aluminum Futures^		08/2016		(18,473,888	)		(19,552,187	)		(1,078,299	)
237	JPPC	LME Aluminum Futures^		08/2016		(9,137,032	)		(9,761,438	)		(624,406	)
227	JPPC	LME Aluminum Futures^		08/2016		(8,851,664	)		(9,350,982	)		(499,318	)
205	JPPC	LME Aluminum Futures^		08/2016		(7,936,298	)		(8,446,000	)		(509,702	)
331	JPPC	LME Aluminum Futures^		08/2016		(12,887,271	)		(13,639,269	)		(751,998	)
221	JPPC	LME Aluminum Futures^		09/2016		(8,598,148	)		(9,114,869	)		(516,721	)
184	JPPC	LME Aluminum Futures^		09/2016		(7,188,343	)		(7,590,000	)		(401,657	)
117	JPPC	LME Aluminum Futures^		09/2016		(4,659,238	)		(4,830,637	)		(171,399	)
404	JPPC	LME Aluminum Futures^		09/2016		(16,060,360	)		(16,682,675	)		(622,315	)
209	JPPC	LME Aluminum Futures^		09/2016		(8,234,088	)		(8,631,909	)		(397,821	)
211	JPPC	LME Aluminum Futures^		09/2016		(8,476,408	)		(8,714,880	)		(238,472	)
225	JPPC	LME Aluminum Futures^		09/2016		(9,072,461	)		(9,293,512	)		(221,051	)
431	JPPC	LME Aluminum Futures^		09/2016		(17,416,737	)		(17,802,994	)		(386,257	)
2,668	JPPC	LME Aluminum Futures^		09/2016		(104,124,564	)		(110,138,375	)		(6,013,811	)
225	JPPC	LME Aluminum Futures^		09/2016		(9,111,949	)		(9,293,907	)		(181,958	)
211	JPPC	LME Aluminum Futures^		09/2016		(8,629,278	)		(8,706,388	)		(77,110	)
210	JPPC	LME Aluminum Futures^		09/2016		(8,486,950	)		(8,659,612	)		(172,662	)

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

AQR Funds Semi-Annual Report June 2016

101

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
212	JPPC	LME Aluminum Futures^		09/2016		$ (8,537,781	)		$ (8,741,290	)		$ (203,509	)
184	JPPC	LME Aluminum Futures^		09/2016		(7,484,899	)		(7,586,090	)		(101,191	)
157	JPPC	LME Aluminum Futures^		09/2016		(6,409,062	)		(6,472,325	)		(63,263	)
44	JPPC	LME Copper Futures^		07/2016		(5,248,793	)		(5,324,000	)		(75,207	)
39	JPPC	LME Copper Futures^		07/2016		(4,648,067	)		(4,719,332	)		(71,265	)
6	JPPC	LME Copper Futures^		07/2016		(706,252	)		(726,104	)		(19,852	)
54	JPPC	LME Copper Futures^		07/2016		(6,286,273	)		(6,535,391	)		(249,118	)
49	JPPC	LME Copper Futures^		07/2016		(5,703,795	)		(5,931,523	)		(227,728	)
103	JPPC	LME Copper Futures^		07/2016		(12,121,943	)		(12,469,206	)		(347,263	)
11	JPPC	LME Copper Futures^		07/2016		(1,326,262	)		(1,331,756	)		(5,494	)
4	JPPC	LME Copper Futures^		07/2016		(492,990	)		(484,175	)		8,815
75	JPPC	LME Copper Futures^		07/2016		(9,418,879	)		(9,078,750	)		340,129
84	JPPC	LME Copper Futures^		07/2016		(10,541,794	)		(10,168,725	)		373,069
57	JPPC	LME Copper Futures^		07/2016		(7,136,617	)		(6,901,275	)		235,342
24	JPPC	LME Copper Futures^		07/2016		(2,957,287	)		(2,905,950	)		51,337
13	JPPC	LME Copper Futures^		07/2016		(1,605,358	)		(1,574,138	)		31,220
53	JPPC	LME Copper Futures^		08/2016		(6,505,620	)		(6,420,022	)		85,598
17	JPPC	LME Copper Futures^		08/2016		(2,073,533	)		(2,059,380	)		14,153
180	JPPC	LME Copper Futures^		08/2016		(21,229,892	)		(21,814,650	)		(584,758	)
238	JPPC	LME Copper Futures^		08/2016		(27,619,858	)		(28,845,600	)		(1,225,742	)
143	JPPC	LME Copper Futures^		08/2016		(16,608,297	)		(17,329,204	)		(720,907	)
37	JPPC	LME Copper Futures^		08/2016		(4,291,318	)		(4,483,475	)		(192,157	)
51	JPPC	LME Copper Futures^		08/2016		(5,853,148	)		(6,179,708	)		(326,560	)
217	JPPC	LME Copper Futures^		08/2016		(24,932,628	)		(26,293,184	)		(1,360,556	)
119	JPPC	LME Copper Futures^		08/2016		(13,581,363	)		(14,417,832	)		(836,469	)
103	JPPC	LME Copper Futures^		08/2016		(11,851,154	)		(12,478,888	)		(627,734	)
56	JPPC	LME Copper Futures^		08/2016		(6,499,766	)		(6,784,400	)		(284,634	)
88	JPPC	LME Copper Futures^		08/2016		(10,315,216	)		(10,661,398	)		(346,182	)
239	JPPC	LME Copper Futures^		09/2016		(27,419,041	)		(28,958,494	)		(1,539,453	)
295	JPPC	LME Copper Futures^		09/2016		(34,132,063	)		(35,744,339	)		(1,612,276	)
54	JPPC	LME Copper Futures^		09/2016		(6,169,368	)		(6,544,665	)		(375,297	)
1,745	JPPC	LME Copper Futures^		09/2016		(202,529,230	)		(211,494,000	)		(8,964,770	)
130	JPPC	LME Copper Futures^		09/2016		(15,333,181	)		(15,747,875	)		(414,694	)
211	JPPC	LME Copper Futures^		09/2016		(24,846,898	)		(25,558,694	)		(711,796	)
161	JPPC	LME Copper Futures^		09/2016		(19,364,481	)		(19,501,447	)		(136,966	)
89	JPPC	LME Copper Futures^		09/2016		(10,750,982	)		(10,780,125	)		(29,143	)
21	JPPC	LME Nickel Futures^		07/2016		(1,162,614	)		(1,185,660	)		(23,046	)
40	JPPC	LME Nickel Futures^		07/2016		(2,277,982	)		(2,258,537	)		19,445
45	JPPC	LME Nickel Futures^		07/2016		(2,473,090	)		(2,541,008	)		(67,918	)
12	JPPC	LME Nickel Futures^		07/2016		(654,451	)		(677,726	)		(23,275	)
63	JPPC	LME Nickel Futures^		08/2016		(3,598,374	)		(3,560,004	)		38,370
26	JPPC	LME Nickel Futures^		08/2016		(1,468,676	)		(1,469,297	)		(621	)
70	JPPC	LME Nickel Futures^		08/2016		(3,918,813	)		(3,956,038	)		(37,225	)
22	JPPC	LME Nickel Futures^		08/2016		(1,145,371	)		(1,244,157	)		(98,786	)
18	JPPC	LME Nickel Futures^		08/2016		(940,127	)		(1,018,008	)		(77,881	)
25	JPPC	LME Nickel Futures^		08/2016		(1,293,922	)		(1,413,969	)		(120,047	)
130	JPPC	LME Nickel Futures^		08/2016		(6,670,995	)		(7,352,990	)		(681,995	)
58	JPPC	LME Nickel Futures^		08/2016		(2,917,546	)		(3,281,202	)		(363,656	)
53	JPPC	LME Nickel Futures^		08/2016		(2,664,670	)		(2,998,485	)		(333,815	)
38	JPPC	LME Nickel Futures^		08/2016		(1,913,706	)		(2,149,962	)		(236,256	)
107	JPPC	LME Nickel Futures^		08/2016		(5,408,806	)		(6,054,131	)		(645,325	)
39	JPPC	LME Nickel Futures^		09/2016		(1,960,635	)		(2,207,289	)		(246,654	)
108	JPPC	LME Nickel Futures^		09/2016		(5,491,055	)		(6,112,784	)		(621,729	)
53	JPPC	LME Nickel Futures^		09/2016		(2,763,167	)		(3,000,375	)		(237,208	)
47	JPPC	LME Nickel Futures^		09/2016		(2,425,323	)		(2,660,839	)		(235,516	)
20	JPPC	LME Nickel Futures^		09/2016		(1,057,741	)		(1,132,327	)		(74,586	)

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

AQR Funds Semi-Annual Report June 2016

102

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
69	JPPC	LME Nickel Futures^		09/2016		$ (3,687,131	)		$ (3,908,040	)		$ (220,909	)
763	JPPC	LME Nickel Futures^		09/2016		(38,931,300	)		(43,225,476	)		(4,294,176	)
57	JPPC	LME Nickel Futures^		09/2016		(3,139,392	)		(3,229,007	)		(89,615	)
27	JPPC	LME Nickel Futures^		09/2016		(1,501,674	)		(1,529,658	)		(27,984	)
54	JPPC	LME Nickel Futures^		09/2016		(2,945,568	)		(3,059,856	)		(114,288	)
52	JPPC	LME Nickel Futures^		09/2016		(2,867,621	)		(2,946,631	)		(79,010	)
30	JPPC	LME Nickel Futures^		09/2016		(1,679,326	)		(1,700,040	)		(20,714	)
42	JPPC	LME Nickel Futures^		09/2016		(9,936,940	)		(9,917,250	)		19,690
14	JPPC	LME Zinc Futures^		07/2016		(660,591	)		(735,543	)		(74,952	)
24	JPPC	LME Zinc Futures^		07/2016		(1,122,541	)		(1,260,840	)		(138,299	)
21	JPPC	LME Zinc Futures^		07/2016		(998,940	)		(1,103,157	)		(104,217	)
19	JPPC	LME Zinc Futures^		07/2016		(892,003	)		(998,112	)		(106,109	)
10	JPPC	LME Zinc Futures^		07/2016		(484,940	)		(525,332	)		(40,392	)
26	JPPC	LME Zinc Futures^		08/2016		(1,196,983	)		(1,368,205	)		(171,222	)
43	JPPC	LME Zinc Futures^		08/2016		(1,963,365	)		(2,262,875	)		(299,510	)
86	JPPC	LME Zinc Futures^		08/2016		(3,946,291	)		(4,525,987	)		(579,696	)
175	JPPC	LME Zinc Futures^		08/2016		(8,222,163	)		(9,210,293	)		(988,130	)
266	JPPC	LME Zinc Futures^		09/2016		(13,266,293	)		(14,004,634	)		(738,341	)
114	JPPC	LME Zinc Futures^		09/2016		(5,770,971	)		(6,003,212	)		(232,241	)
13	JPPC	LME Zinc Futures^		09/2016		(658,012	)		(684,648	)		(26,636	)
49	JPPC	LME Zinc Futures^		09/2016		(2,537,115	)		(2,580,719	)		(43,604	)
50	JPPC	LME Zinc Futures^		09/2016		(2,587,352	)		(2,633,925	)		(46,573	)
30	JPPC	LME Zinc Futures^		09/2016		(1,530,676	)		(1,580,437	)		(49,761	)
45	JPPC	LME Zinc Futures^		09/2016		(2,290,390	)		(2,370,432	)		(80,042	)
81	JPPC	LME Zinc Futures^		09/2016		(4,074,577	)		(4,266,372	)		(191,795	)
312	JPPC	LME Zinc Futures^		09/2016		(15,315,632	)		(16,428,750	)		(1,113,118	)
37	JPPC	LME Zinc Futures^		09/2016		(1,851,759	)		(1,948,466	)		(96,707	)
8	JPPC	LME Zinc Futures^		09/2016		(409,180	)		(420,950	)		(11,770	)
106	JPPC	LME Zinc Futures^		09/2016		(5,312,990	)		(5,576,633	)		(263,643	)
38	JPPC	LME Zinc Futures^		09/2016		(1,926,982	)		(1,999,209	)		(72,227	)
963	MSCL	NYME Palladium Futures^		09/2016		(52,445,214	)		(57,524,805	)		(5,079,591	)
232	MSCL	Platinum Futures^		10/2016		(11,451,590	)		(11,881,880	)		(430,290	)
928	MSCL	Soybean Oil Futures^		12/2016		(18,239,289	)		(17,856,576	)		382,713
4,382	MSCL	Wheat Futures^		09/2016		(102,309,207	)		(97,609,050	)		4,700,157
696	MSCL	WTI Crude Futures^		07/2016		(32,985,765	)		(33,637,680	)		(651,915	)
669	BARC	Amsterdam Index Futures		07/2016		(62,230,279	)		(64,635,324	)		(2,405,045	)
2,542	BARC	CAC40 Index Futures		07/2016		(117,170,120	)		(119,440,483	)		(2,270,363	)
540	BARC	DAX Index Futures		09/2016		(143,237,698	)		(144,849,840	)		(1,612,142	)
656	BARC	E-Mini DJIA CBOT Futures		09/2016		(56,642,152	)		(58,446,320	)		(1,804,168	)
231	JPMS	E-Mini MSCI EAFE Index Futures		09/2016		(18,068,769	)		(18,655,560	)		(586,791	)
1,998	JPMS	E-Mini MSCI Emerging Markets Index Futures		09/2016		(81,079,317	)		(83,386,530	)		(2,307,213	)
983	BARC	E-Mini Russell 2000 Futures		09/2016		(108,287,438	)		(112,789,419	)		(4,501,981	)
4,120	BARC	Euro Stoxx 50 Index Futures		09/2016		(128,696,933	)		(130,535,453	)		(1,838,520	)
549	BARC	FTSE 100 Index Futures		09/2016		(44,497,606	)		(46,939,241	)		(2,441,635	)
2,505	JPMS	FTSE China A50 Index Fut Jul16		07/2016		(22,688,668	)		(23,133,675	)		(445,007	)
935	JPMS	FTSE/JSE Top 40 Index Futures		09/2016		(29,491,288	)		(29,486,020	)		5,268
525	BARC	FTSE/MIB Index Futures		09/2016		(47,142,574	)		(47,165,901	)		(23,327	)
935	BARC	Hang Seng Index Futures		07/2016		(120,614,413	)		(126,225,783	)		(5,611,370	)
770	BARC	H-SHARES Index Futures		07/2016		(41,787,554	)		(43,298,295	)		(1,510,741	)
1,379	BARC	IBEX 35 Index Futures		07/2016		(123,854,319	)		(124,375,748	)		(521,429	)
1,538	BARC	MSCI Singapore Index Futures		07/2016		(34,808,502	)		(36,226,516	)		(1,418,014	)
2,144	BARC	NASDAQ 100 E-Mini Futures		09/2016		(181,679,034	)		(188,972,160	)		(7,293,126	)

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

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103

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1,920	JPMS	Nikkei 225 Futures		09/2016		$ (306,396,713	)		$ (289,492,083	)		$ 16,904,630
2,761	JPMS	OMXS30 Index Futures		07/2016		(41,928,965	)		(43,026,918	)		(1,097,953	)
914	BARC	S&P 500 E-Mini Futures		09/2016		(92,210,788	)		(95,522,140	)		(3,311,352	)
216	BARC	SPI 200 Index Futures		09/2016		(20,843,322	)		(20,845,407	)		(2,085	)
2,244	BARC	TOPIX Index Futures		09/2016		(287,791,601	)		(270,653,368	)		17,138,233
1,807	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2016		(346,182,841	)		(346,588,181	)		(405,340	)
2,072	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2016		(397,188,763	)		(397,476,141	)		(287,378	)
591	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2017		(113,343,327	)		(113,384,215	)		(40,888	)
256	JPMS	Euro CHF 3-Month Futures		03/2017		(66,098,616	)		(66,248,029	)		(149,413	)
461	JPMS	Euro CHF 3-Month LIFFE Futures		09/2016		(118,973,196	)		(119,191,987	)		(218,791	)
480	JPMS	Euro CHF 3-Month LIFFE Futures		12/2016		(123,902,596	)		(124,178,188	)		(275,592	)
						(5,035,072,744	)		(5,092,115,442	)		(57,042,698	)
						$47,047,104,498			$47,369,482,589			$322,378,091

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

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		726,756,800		$535,970,548		$540,449,743		$4,479,195
Australian Dollar, Expiring 09/21/16	JPMC	AUD		1,090,135,200		803,959,880		810,674,613		6,714,733
Brazilian Real, Expiring 09/21/16*	CITI	BRL		280,419,200		77,804,780		85,201,450		7,396,670
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		420,628,800		116,707,318		127,802,172		11,094,854
Canadian Dollar, Expiring 09/21/16	CITI	CAD		432,636,800		337,741,546		334,923,791		(2,817,755	)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		648,955,200		506,608,416		502,385,684		(4,222,732	)
Chilean Peso, Expiring 09/21/16*	CITI	CLP		15,544,790,800		22,841,870		23,318,788		476,918
Chilean Peso, Expiring 09/21/16*	JPMC	CLP		23,317,186,200		34,262,850		34,978,180		715,330
Colombian Peso, Expiring 09/21/16*	CITI	COP		13,088,470,000		4,379,920		4,406,365		26,445
Colombian Peso, Expiring 09/21/16*	JPMC	COP		14,672,499,000		4,887,599		4,939,644		52,045
Euro, Expiring 09/21/16	CITI	EUR		839,472,389		941,175,414		934,330,229		(6,845,185	)
Euro, Expiring 09/21/16	JPMC	EUR		1,259,208,583		1,411,767,848		1,401,495,343		(10,272,505	)

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

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104

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
British Pound, Expiring 09/21/16	CITI	GBP		165,609,000		$ 243,461,451		$ 220,637,215		$ (22,824,236	)
British Pound, Expiring 09/21/16	JPMC	GBP		248,145,000		364,798,208		330,598,105		(34,200,103	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		20,446,548,000		74,003,725		71,851,070		(2,152,655	)
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		30,304,857,000		109,682,222		106,494,084		(3,188,138	)
Indonesian Rupiah, Expiring 09/21/16*	CITI	IDR		965,547,784,156		69,918,056		72,054,003		2,135,947
Indonesian Rupiah, Expiring 09/21/16*	JPMC	IDR		1,399,965,417,736		101,296,571		104,472,419		3,175,848
Israeli Shekel, Expiring 09/21/16	CITI	ILS		96,868,001		25,320,193		25,146,745		(173,448	)
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		131,922,000		34,491,500		34,246,694		(244,806	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		3,843,826,800		56,083,838		56,168,287		84,449
Indian Rupee, Expiring 09/21/16*	JPMC	INR		5,744,026,200		83,807,006		83,935,135		128,129
Japanese Yen, Expiring 09/21/16	CITI	JPY		194,304,883,601		1,782,602,644		1,886,763,568		104,160,924
Japanese Yen, Expiring 09/21/16	JPMC	JPY		291,457,325,399		2,673,907,309		2,830,145,354		156,238,045
Korean Won, Expiring 09/21/16*	CITI	KRW		182,226,725,600		156,657,344		158,077,310		1,419,966
Korean Won, Expiring 09/21/16*	JPMC	KRW		273,340,088,400		234,986,308		237,115,968		2,129,660
Mexican Peso, Expiring 09/21/16	CITI	MXN		1,675,718,800		88,997,131		90,927,830		1,930,699
Mexican Peso, Expiring 09/21/16	JPMC	MXN		2,513,578,200		133,478,722		136,391,742		2,913,020
Malaysian Ringgit, Expiring 09/21/16*	CITI	MYR		79,419,400		19,513,137		19,594,169		81,032
Malaysian Ringgit, Expiring 09/21/16*	JPMC	MYR		103,455,600		25,417,793		25,524,325		106,532
Norwegian Krone, Expiring 09/21/16	CITI	NOK		471,380,800		57,401,400		56,317,708		(1,083,692	)
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		707,071,200		86,102,207		84,476,563		(1,625,644	)
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		1,230,143,200		846,133,909		874,781,816		28,647,907
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		1,845,214,800		1,269,202,451		1,312,172,721		42,970,270
Philippine Peso, Expiring 09/21/16*	CITI	PHP		2,056,921,600		43,841,552		43,572,859		(268,693	)
Philippine Peso, Expiring 09/21/16*	JPMC	PHP		3,085,382,400		65,762,415		65,359,289		(403,126	)
Poland Zloty, Expiring 09/21/16	CITI	PLN		392,096,000		101,392,882		99,203,236		(2,189,646	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		588,144,000		152,102,369		148,804,853		(3,297,516	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		725,106,800		89,554,818		86,002,915		(3,551,903	)
Swedish Krona, Expiring 09/21/16	JPMC	SEK		1,087,660,200		134,332,394		129,004,375		(5,328,019	)

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

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105

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Singapore Dollar, Expiring 09/21/16	CITI	SGD		64,687,600			$ 47,686,315			$ 47,979,756			$ 293,441
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		97,031,400			71,527,069			71,969,633			442,564
Turkish Lira, Expiring 09/21/16	CITI	TRY		342,567,000			113,813,824			116,907,968			3,094,144
Turkish Lira, Expiring 09/21/16	JPMC	TRY		511,785,000			169,961,574			174,657,059			4,695,485
New Taiwan Dollar, Expiring 09/21/16*	CITI	TWD		644,074,000			19,859,029			20,001,244			142,215
New Taiwan Dollar, Expiring 09/21/16*	JPMC	TWD		689,517,000			21,309,263			21,412,443			103,180
South African Rand, Expiring 09/21/16	CITI	ZAR		2,052,425,200			134,545,397			137,112,708			2,567,311
South African Rand, Expiring 09/21/16	JPMC	ZAR		3,078,637,800			201,784,669			205,669,065			3,884,396
							$14,702,844,684			$14,990,456,236			$287,611,552
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		(1,272,764,000	)		$(916,060,923	)		$(946,485,777	)		$(30,424,854	)
Australian Dollar, Expiring 09/21/16	JPMC	AUD		(1,909,146,000	)		(1,374,089,666	)		(1,419,728,667	)		(45,639,001	)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(490,700,801	)		(376,873,738	)		(379,873,770	)		(3,000,032	)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		(736,051,200	)		(565,322,791	)		(569,810,653	)		(4,487,862	)
Swiss Franc, Expiring 09/21/16	CITI	CHF		(5,764,800	)		(5,881,331	)		(5,930,716	)		(49,385	)
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(6,697,200	)		(6,810,893	)		(6,889,951	)		(79,058	)
Chilean Peso, Expiring 09/21/16*	CITI	CLP		(17,695,970,800	)		(25,339,014	)		(26,545,779	)		(1,206,765	)
Chilean Peso, Expiring 09/21/16*	JPMC	CLP		(23,755,318,200	)		(34,000,957	)		(35,635,424	)		(1,634,467	)
Colombian Peso, Expiring 09/21/16*	CITI	COP		(6,557,264,000	)		(2,065,853	)		(2,207,568	)		(141,715	)
Colombian Peso, Expiring 09/21/16*	JPMC	COP		(5,513,199,000	)		(1,742,430	)		(1,856,074	)		(113,644	)
Euro, Expiring 09/21/16	CITI	EUR		(944,031,600	)		(1,066,826,103	)		(1,050,704,315	)		16,121,788
Euro, Expiring 09/21/16	JPMC	EUR		(1,416,047,400	)		(1,600,237,154	)		(1,576,056,470	)		24,180,684
British Pound, Expiring 09/21/16	CITI	GBP		(431,920,000	)		(618,185,362	)		(575,437,479	)		42,747,883
British Pound, Expiring 09/21/16	JPMC	GBP		(647,880,000	)		(927,263,061	)		(863,156,221	)		64,106,840
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(92,357,000	)		(11,911,389	)		(11,916,133	)		(4,744	)
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		(16,647,000	)		(2,146,104	)		(2,147,838	)		(1,734	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		(21,584,494,400	)		(76,504,637	)		(75,849,920	)		654,717

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

AQR Funds Semi-Annual Report June 2016

106

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		(32,376,741,598	)		$ (114,772,184	)		$ (113,774,881	)		$ 997,303
Indonesian Rupiah, Expiring 09/21/16*	CITI	IDR		(180,148,251,000	)		(12,972,438	)		(13,443,562	)		(471,124	)
Indonesian Rupiah, Expiring 09/21/16*	JPMC	IDR		(237,319,743,000	)		(17,015,633	)		(17,709,986	)		(694,353	)
Israeli Shekel, Expiring 09/21/16	CITI	ILS		(172,525,600	)		(44,734,223	)		(44,787,308	)		(53,085	)
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		(258,788,400	)		(67,093,191	)		(67,180,963	)		(87,772	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		(3,141,891,400	)		(45,781,393	)		(45,911,189	)		(129,796	)
Indian Rupee, Expiring 09/21/16*	JPMC	INR		(2,864,616,600	)		(41,690,032	)		(41,859,485	)		(169,453	)
Japanese Yen, Expiring 09/21/16	CITI	JPY		(81,417,933,202	)		(785,104,008	)		(790,594,591	)		(5,490,583	)
Japanese Yen, Expiring 09/21/16	JPMC	JPY		(122,126,899,798	)		(1,177,654,544	)		(1,185,891,889	)		(8,237,345	)
Korean Won, Expiring 09/21/16*	CITI	KRW		(372,006,210,400	)		(314,299,596	)		(322,706,460	)		(8,406,864	)
Korean Won, Expiring 09/21/16*	JPMC	KRW		(558,009,315,600	)		(471,448,806	)		(484,059,688	)		(12,610,882	)
Mexican Peso, Expiring 09/21/16	CITI	MXN		(3,878,785,200	)		(207,046,255	)		(210,470,586	)		(3,424,331	)
Mexican Peso, Expiring 09/21/16	JPMC	MXN		(5,818,177,800	)		(310,574,391	)		(315,705,877	)		(5,131,486	)
Malaysian Ringgit, Expiring 09/21/16*	CITI	MYR		(161,492,600	)		(39,143,052	)		(39,843,077	)		(700,025	)
Malaysian Ringgit, Expiring 09/21/16*	JPMC	MYR		(235,190,400	)		(57,025,847	)		(58,025,627	)		(999,780	)
Norwegian Krone, Expiring 09/21/16	CITI	NOK		(1,354,705,602	)		(162,351,658	)		(161,851,980	)		499,678
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		(2,008,640,402	)		(240,661,085	)		(239,980,128	)		680,957
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		(399,378,000	)		(269,667,480	)		(284,006,456	)		(14,338,976	)
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		(599,066,998	)		(404,504,847	)		(426,009,683	)		(21,504,836	)
Philippine Peso, Expiring 09/21/16*	CITI	PHP		(1,295,423,600	)		(27,657,501	)		(27,441,644	)		215,857
Philippine Peso, Expiring 09/21/16*	JPMC	PHP		(1,855,733,400	)		(39,611,231	)		(39,310,985	)		300,246
Poland Zloty, Expiring 09/21/16	CITI	PLN		(936,134,000	)		(236,819,204	)		(236,848,938	)		(29,734	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		(1,404,201,000	)		(355,232,058	)		(355,273,408	)		(41,350	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		(2,347,130,400	)		(282,084,361	)		(278,386,658	)		3,697,703
Swedish Krona, Expiring 09/21/16	JPMC	SEK		(3,520,695,599	)		(423,125,148	)		(417,579,987	)		5,545,161
Singapore Dollar, Expiring 09/21/16	CITI	SGD		(62,561,200	)		(45,512,292	)		(46,402,573	)		(890,281	)
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		(86,851,800	)		(63,221,263	)		(64,419,275	)		(1,198,012	)
Turkish Lira, Expiring 09/21/16	CITI	TRY		(34,675,600	)		(11,391,416	)		(11,833,755	)		(442,339	)

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

AQR Funds Semi-Annual Report June 2016

107

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Turkish Lira, Expiring 09/21/16	JPMC	TRY		(52,013,400	)		$ (17,087,102	)		$ (17,750,632	)		$ (663,530	)
New Taiwan Dollar, Expiring 09/21/16*	CITI	TWD		(1,576,599,401	)		(48,393,718	)		(48,960,134	)		(566,416	)
New Taiwan Dollar, Expiring 09/21/16*	JPMC	TWD		(2,231,016,600	)		(68,459,742	)		(69,282,578	)		(822,836	)
South African Rand, Expiring 09/21/16	CITI	ZAR		(2,052,425,200	)		(128,768,094	)		(137,112,709	)		(8,344,615	)
South African Rand, Expiring 09/21/16	JPMC	ZAR		(3,078,637,800	)		(193,173,516	)		(205,669,064	)		(12,495,548	)
							(14,335,338,715	)		(14,370,318,511	)		(34,979,796	)
							$367,505,969			$620,137,725			$252,631,756

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

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 Semi-Annual Report June 2016

108

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
BANA
Investment Companies		$7,750,000		$—		$7,750,000
BARC
Cash		—		121,476,834		121,476,834
CITI
Cash		(35,070,000	)	—		(35,070,000	)
GSCO
Cash		—		(108,426,642)		(108,426,642	)
U.S. Treasury Bills		—		77,289,133		77,289,133
JPMC
Cash		(17,670,000	)	—		(17,670,000	)
JPMS
Cash		—		(62,206,112)		(62,206,112	)
U.S. Treasury Bills		—		151,815,928		151,815,928
MSCS
Investment Companies		20,994,219		—		20,994,219
MSCL
Cash		—		(99,181,894)		(99,181,894	)
U.S. Treasury Bills		—		61,289,760		61,289,760

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
CITI
Cash		$(3,630,000	)	$—		$(3,630,000	)
DBTK
Investment Companies		1,861,414		—		1,861,414
GSCO
Cash		—		(873,376)		(873,376	)
U.S. Treasury Bills		—		3,565,401		3,565,401
JPPC
Cash		—		98,302		98,302
U.S. Treasury Bills		—		43,944,199		43,944,199
MACQ
Investment Companies		28,940,000		—		28,940,000
MLIN
Investment Companies		34,190,000		—		34,190,000
MSCL
Cash		—		(79,229,855)		(79,229,855	)
U.S. Treasury Bills		—		136,296,148		136,296,148
SOCG
Investment Companies		11,730,000		—		11,730,000

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

AQR Funds Semi-Annual Report June 2016

109

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

SHORT-TERM INVESTMENTS - 93.3%	SHARES		VALUE (Note 5)
Investment Companies - 18.1%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(a)(b)		128,285,225	$	128,285,225
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(a)(b)		1,531,104		1,531,104
Total Investment Companies (cost $129,816,329)				129,816,329
	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 75.2%
U.S. Treasury Bill, 0.479%, 09/01/2016 ^(c)	$	34,309		34,295,276
U.S. Treasury Bill, 0.480%, 11/25/2016 (c)		10,872		10,860,519
U.S. Treasury Bill, 0.465%, 08/04/2016 ^(c)		5,095		5,093,966
U.S. Treasury Bill, 0.401%, 12/15/2016 ^(c)(d)		5,753		5,745,648
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(c)(d)		43,531		43,488,296
U.S. Treasury Bill, 0.384%, 10/06/2016 ^(c)		24,188		24,171,310
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(c)(d)		148,407		148,372,570
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(c)		42,750		42,736,918
U.S. Treasury Bill, 0.370%, 07/21/2016 ^(c)		24,833		24,830,467
U.S. Treasury Bill, 0.410%, 07/28/2016 (c)		102,595		102,581,457
U.S. Treasury Bill, 0.471%, 07/14/2016 ^(c)		34,484		34,482,448
U.S. Treasury Bill, 0.498%, 07/07/2016 ^(c)		11,785		11,784,882

	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Obligations - 75.2% (continued)
U.S. Treasury Bill, 0.341%, 10/13/2016 ^(c)	$	27,714	$	27,695,376
U.S. Treasury Bill, 0.441%, 09/22/2016 ^(c)		2,031		2,029,871
U.S. Treasury Bill, 0.401%, 12/22/2016 ^(c)(d)		22,639		22,607,985
Total U.S. Treasury Obligations (cost $540,625,646)				540,776,989
TOTAL SHORT-TERM INVESTMENTS (cost $670,441,975)			670,593,318
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 93.3% (cost $670,441,975)				670,593,318
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.7% (e)			47,912,269
NET ASSETS - 100.0%			$	718,505,587

(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 June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
BANA	Bovespa Index August Futures	08/2016	BRL		(14,697,104	)		$(147,483	)
MACQ	Cocoa September Futures^	08/2016	USD		(212,870	)		4,487
MACQ	Cocoa September Futures^	08/2016	USD		212,870			(5,460	)
MACQ	Corn September Futures^	08/2016	USD		11,857,486			(1,861,061	)
CITI	Cotton No. 2 December Futures^	11/2016	USD		98,175			(1,920	)
MACQ	Cotton No. 2 December Futures^	11/2016	USD		1,838,045			(41,285	)
SOCG	Cotton No. 2 December Futures^	12/2016	USD		525,030			(11,670	)
GSIN	H-SHARES Index July Futures	07/2016	HKD		(24,133,373	)		(150,683	)
BANA	KOSPI Index 200 September Futures	09/2016	KRW		4,827,902,739			(53,130	)
SOCG	Lean Hogs July Futures^	07/2016	USD		332,420			(1,020	)
SOCG	Lean Hogs July Futures^	07/2016	USD		(332,420	)		(14,830	)

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

AQR Funds Semi-Annual Report June 2016

110

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
SOCG	Lean Hogs August Futures^	08/2016		USD		5,625,770			$ (329,480	)
SOCG	Live Cattle August Futures^	08/2016		USD		(7,053,809	)		210,239
MACQ	Live Cattle August Futures^	08/2016		USD		517,506			12,276
MACQ	Live Cattle August Futures^	08/2016		USD		(15,575,070	)		522,025
GSIN	MSCI Singapore Index July Futures	07/2016		SGD		(278,955	)		(4,910	)
GSIN	SGX FTSE China A50 Index July Futures	07/2016		USD		(1,853,924	)		(39,251	)
CITI	Soybean November Futures^	10/2016		USD		(12,048,734	)		(7,532	)
CITI	Soybean November Futures^	10/2016		USD		27,470,640			207,360
SOCG	Soybean November Futures^	10/2016		USD		4,131,830			19,870
MACQ	Soybean November Futures^	10/2016		USD		10,389,434			47,478
CITI	Soybean Meal December Futures^	11/2016		USD		2,358,300			47,700
MACQ	Soybean Meal December Futures^	11/2016		USD		5,850,924			(36,424	)
SOCG	Soybean Meal December Futures^	11/2016		USD		3,088,347			79,553
MACQ	Soybean Oil December Futures^	11/2016		USD		(1,031,498	)		(7,570	)
BANA	Swiss Market Index September Futures	09/2016		CHF		(7,663,218	)		(327,844	)
BANA	Taiwan Stock Exchange July Futures	07/2016		TWD		(108,567,190	)		(67,601	)
CITI	Wheat September Futures^	08/2016		USD		(4,726,354	)		(394,270	)
CITI	Wheat September Futures^	08/2016		USD		2,627,784			378,009
									$(1,974,427	)

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

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
9	MSCL	Cocoa Futures^		09/2016		$269,541		$266,670		$(2,871	)
175	GSCO	Cocoa Futures^		09/2016		5,362,601		5,477,096		114,495
130	MSCL	Coffee ‘C’ Futures^		09/2016		6,829,482		7,100,437		270,955
34	MSCL	Corn Futures^		09/2016		728,096		621,350		(106,746	)
40	MSCL	Cotton No. 2 Futures^		12/2016		1,310,225		1,283,400		(26,825	)
13	GSCO	Gas Oil Futures^		08/2016		584,374		580,125		(4,249	)
833	MSCL	Gold 100 OZ Futures^		08/2016		107,281,463		110,005,980		2,724,517
4	MSCL	Lean Hogs Futures^		08/2016		138,614		133,240		(5,374	)
10	JPPC	LME Aluminum Futures^		07/2016		377,200		410,795		33,595
3	JPPC	LME Aluminum Futures^		07/2016		112,928		123,253		10,325
16	JPPC	LME Aluminum Futures^		07/2016		624,731		657,860		33,129
18	JPPC	LME Aluminum Futures^		07/2016		698,313		740,174		41,861
9	JPPC	LME Aluminum Futures^		07/2016		350,714		370,211		19,497
8	JPPC	LME Aluminum Futures^		07/2016		314,782		329,115		14,333
10	JPPC	LME Aluminum Futures^		07/2016		400,972		411,438		10,466
12	JPPC	LME Aluminum Futures^		07/2016		490,089		493,425		3,336
18	JPPC	LME Aluminum Futures^		07/2016		740,998		740,025		(973	)
18	JPPC	LME Aluminum Futures^		07/2016		741,625		740,205		(1,420	)
8	JPPC	LME Aluminum Futures^		08/2016		332,582		329,224		(3,358	)
4	JPPC	LME Aluminum Futures^		08/2016		157,687		164,719		7,032
37	JPPC	LME Aluminum Futures^		08/2016		1,434,175		1,523,781		89,606
18	JPPC	LME Aluminum Futures^		08/2016		693,647		741,541		47,894
18	JPPC	LME Aluminum Futures^		08/2016		699,007		741,600		42,593
19	JPPC	LME Aluminum Futures^		08/2016		730,131		782,444		52,313
35	JPPC	LME Aluminum Futures^		08/2016		1,365,345		1,440,688		75,343

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

AQR Funds Semi-Annual Report June 2016

111

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
18	JPPC	LME Aluminum Futures^		08/2016		$ 694,574		$ 741,375		$ 46,801
18	JPPC	LME Aluminum Futures^		08/2016		697,544		741,487		43,943
17	JPPC	LME Aluminum Futures^		08/2016		659,642		700,400		40,758
26	JPPC	LME Aluminum Futures^		08/2016		1,012,368		1,071,362		58,994
17	JPPC	LME Aluminum Futures^		09/2016		660,598		701,144		40,546
17	JPPC	LME Aluminum Futures^		09/2016		668,142		701,250		33,108
1	JPPC	LME Aluminum Futures^		09/2016		38,869		41,281		2,412
10	JPPC	LME Aluminum Futures^		09/2016		400,294		412,875		12,581
32	JPPC	LME Aluminum Futures^		09/2016		1,271,349		1,321,400		50,051
16	JPPC	LME Aluminum Futures^		09/2016		635,101		660,816		25,715
17	JPPC	LME Aluminum Futures^		09/2016		682,782		702,147		19,365
18	JPPC	LME Aluminum Futures^		09/2016		730,274		743,481		13,207
34	JPPC	LME Aluminum Futures^		09/2016		1,368,831		1,404,412		35,581
242	JPPC	LME Aluminum Futures^		09/2016		9,760,721		9,990,062		229,341
18	JPPC	LME Aluminum Futures^		09/2016		730,693		743,512		12,819
17	JPPC	LME Aluminum Futures^		09/2016		694,806		701,462		6,656
17	JPPC	LME Aluminum Futures^		09/2016		682,977		701,016		18,039
17	JPPC	LME Aluminum Futures^		09/2016		687,083		700,952		13,869
15	JPPC	LME Aluminum Futures^		09/2016		609,981		618,432		8,451
13	JPPC	LME Aluminum Futures^		09/2016		532,935		535,925		2,990
5	JPPC	LME Copper Futures^		07/2016		596,887		605,000		8,113
2	JPPC	LME Copper Futures^		07/2016		237,855		242,017		4,162
1	JPPC	LME Copper Futures^		07/2016		117,202		121,017		3,815
5	JPPC	LME Copper Futures^		07/2016		579,887		605,129		25,242
4	JPPC	LME Copper Futures^		07/2016		464,012		484,206		20,194
9	JPPC	LME Copper Futures^		07/2016		1,055,722		1,089,542		33,820
6	JPPC	LME Copper Futures^		07/2016		750,648		726,300		(24,348	)
8	JPPC	LME Copper Futures^		07/2016		1,004,781		968,450		(36,331	)
11	JPPC	LME Copper Futures^		07/2016		1,374,622		1,331,825		(42,797	)
1	JPPC	LME Copper Futures^		08/2016		123,665		121,133		(2,532	)
2	JPPC	LME Copper Futures^		08/2016		244,319		242,280		(2,039	)
16	JPPC	LME Copper Futures^		08/2016		1,892,039		1,939,080		47,041
20	JPPC	LME Copper Futures^		08/2016		2,323,175		2,424,000		100,825
13	JPPC	LME Copper Futures^		08/2016		1,505,432		1,575,382		69,950
3	JPPC	LME Copper Futures^		08/2016		348,014		363,525		15,511
4	JPPC	LME Copper Futures^		08/2016		458,710		484,683		25,973
14	JPPC	LME Copper Futures^		08/2016		1,615,934		1,696,334		80,400
9	JPPC	LME Copper Futures^		08/2016		1,025,572		1,090,424		64,852
8	JPPC	LME Copper Futures^		08/2016		920,338		969,234		48,896
5	JPPC	LME Copper Futures^		08/2016		578,762		605,750		26,988
6	JPPC	LME Copper Futures^		08/2016		703,699		726,914		23,215
19	JPPC	LME Copper Futures^		09/2016		2,187,422		2,302,140		114,718
23	JPPC	LME Copper Futures^		09/2016		2,662,281		2,786,846		124,565
1	JPPC	LME Copper Futures^		09/2016		113,761		121,197		7,436
63	JPPC	LME Copper Futures^		09/2016		7,435,818		7,635,600		199,782
11	JPPC	LME Copper Futures^		09/2016		1,297,672		1,332,512		34,840
16	JPPC	LME Copper Futures^		09/2016		1,884,216		1,938,100		53,884
12	JPPC	LME Copper Futures^		09/2016		1,443,561		1,453,524		9,963
7	JPPC	LME Copper Futures^		09/2016		845,426		847,875		2,449
1	JPPC	LME Nickel Futures^		07/2016		55,526		56,460		934
3	JPPC	LME Nickel Futures^		07/2016		168,317		169,390		1,073
4	JPPC	LME Nickel Futures^		07/2016		220,049		225,867		5,818
12	JPPC	LME Nickel Futures^		07/2016		654,526		677,726		23,200
5	JPPC	LME Nickel Futures^		08/2016		287,242		282,540		(4,702	)
4	JPPC	LME Nickel Futures^		08/2016		207,346		226,211		18,865
1	JPPC	LME Nickel Futures^		08/2016		52,071		56,556		4,485

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

AQR Funds Semi-Annual Report June 2016

112

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2	JPPC	LME Nickel Futures^		08/2016		$ 103,445		$ 113,118		$ 9,673
8	JPPC	LME Nickel Futures^		08/2016		411,262		452,492		41,230
4	JPPC	LME Nickel Futures^		08/2016		200,410		226,290		25,880
4	JPPC	LME Nickel Futures^		08/2016		200,892		226,301		25,409
3	JPPC	LME Nickel Futures^		08/2016		150,912		169,734		18,822
8	JPPC	LME Nickel Futures^		08/2016		404,864		452,646		47,782
3	JPPC	LME Nickel Futures^		09/2016		151,207		169,791		18,584
9	JPPC	LME Nickel Futures^		09/2016		457,080		509,399		52,319
4	JPPC	LME Nickel Futures^		09/2016		208,810		226,444		17,634
5	JPPC	LME Nickel Futures^		09/2016		258,912		283,068		24,156
3	JPPC	LME Nickel Futures^		09/2016		156,967		169,849		12,882
3	JPPC	LME Nickel Futures^		09/2016		159,403		169,914		10,511
28	JPPC	LME Nickel Futures^		09/2016		1,544,796		1,586,256		41,460
5	JPPC	LME Nickel Futures^		09/2016		276,518		283,247		6,729
2	JPPC	LME Nickel Futures^		09/2016		111,064		113,308		2,244
4	JPPC	LME Nickel Futures^		09/2016		216,530		226,656		10,126
4	JPPC	LME Nickel Futures^		09/2016		221,298		226,664		5,366
2	JPPC	LME Nickel Futures^		09/2016		112,133		113,336		1,203
4	JPPC	LME Nickel Futures^		09/2016		941,852		944,500		2,648
10	JPPC	LME Zinc Futures^		07/2016		471,720		525,387		53,667
6	JPPC	LME Zinc Futures^		08/2016		286,091		315,267		29,176
3	JPPC	LME Zinc Futures^		08/2016		141,495		157,848		16,353
6	JPPC	LME Zinc Futures^		08/2016		275,790		315,740		39,950
4	JPPC	LME Zinc Futures^		08/2016		182,200		210,500		28,300
7	JPPC	LME Zinc Futures^		08/2016		321,125		368,395		47,270
14	JPPC	LME Zinc Futures^		08/2016		656,552		736,824		80,272
20	JPPC	LME Zinc Futures^		09/2016		997,380		1,052,980		55,600
9	JPPC	LME Zinc Futures^		09/2016		455,224		473,938		18,714
1	JPPC	LME Zinc Futures^		09/2016		51,190		52,665		1,475
4	JPPC	LME Zinc Futures^		09/2016		206,431		210,671		4,240
4	JPPC	LME Zinc Futures^		09/2016		207,096		210,714		3,618
3	JPPC	LME Zinc Futures^		09/2016		152,461		158,044		5,583
4	JPPC	LME Zinc Futures^		09/2016		204,603		210,705		6,102
7	JPPC	LME Zinc Futures^		09/2016		349,833		368,698		18,865
68	JPPC	LME Zinc Futures^		09/2016		3,433,905		3,580,625		146,720
2	JPPC	LME Zinc Futures^		09/2016		100,051		105,322		5,271
1	JPPC	LME Zinc Futures^		09/2016		51,228		52,619		1,391
9	JPPC	LME Zinc Futures^		09/2016		451,117		473,488		22,371
4	JPPC	LME Zinc Futures^		09/2016		205,308		210,443		5,135
87	MSCL	Natural Gas Futures^		07/2016		2,258,749		2,543,880		285,131
250	MSCL	Silver Futures^		09/2016		21,818,442		23,278,750		1,460,308
154	MSCL	Soybean Futures^		11/2016		8,543,845		8,880,025		336,180
13	MSCL	Soybean Meal Futures^		12/2016		531,916		521,300		(10,616	)
824	MSCL	Sugar #11 (World Markets) Futures^		09/2016		18,157,009		18,762,150		605,141
43	BARC	S&P MID 400 E-Mini Futures		09/2016		6,352,312		6,419,900		67,588
60	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		7,518,523		7,563,451		44,928
314	BARC	SGX S&P CNX Nifty Index Futures		07/2016		5,114,444		5,234,694		120,250
46	GSCO	10-Year Japanese Government Bond Futures		09/2016		67,771,648		68,119,111		347,463
423	JPMS	3-Month Euro Euribor Futures		12/2016		117,730,714		117,760,940		30,226
406	JPMS	3-Month Euro Euribor Futures		03/2017		113,011,639		113,039,494		27,855

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

AQR Funds Semi-Annual Report June 2016

113

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
362	JPMS	3-Month Euro Euribor Futures		06/2017		$ 100,758,029		$ 100,803,974		$ 45,945
678	JPMS	3-Month Euro Euribor Futures		09/2017		188,713,908		188,817,414		103,506
795	JPMS	3-Month Euro Euribor Futures		12/2017		221,244,786		221,411,977		167,191
880	JPMS	3-Month Euro Euribor Futures		03/2018		244,876,689		245,072,749		196,060
544	JPMS	3-Month Euro Euribor Futures		06/2018		151,374,996		151,491,971		116,975
584	JPMS	90-Day EURODollar Futures		12/2016		144,852,180		145,014,500		162,320
581	JPMS	90-Day EURODollar Futures		03/2017		144,053,970		144,240,513		186,543
541	JPMS	90-Day EURODollar Futures		06/2017		134,052,581		134,262,675		210,094
488	JPMS	90-Day EURODollar Futures		09/2017		120,822,404		121,060,600		238,196
460	JPMS	90-Day EURODollar Futures		12/2017		113,815,813		114,051,250		235,437
437	JPMS	90-Day EURODollar Futures		03/2018		108,062,441		108,304,988		242,547
423	JPMS	90-Day EURODollar Futures		06/2018		104,542,865		104,787,675		244,810
450	JPMS	90-Day Sterling Futures		12/2016		74,511,111		74,628,209		117,098
553	JPMS	90-Day Sterling Futures		03/2017		91,509,992		91,718,988		208,996
584	JPMS	90-Day Sterling Futures		06/2017		96,547,943		96,860,559		312,616
418	JPMS	90-Day Sterling Futures		09/2017		69,084,228		69,335,232		251,004
368	JPMS	90-Day Sterling Futures		12/2017		60,784,768		61,035,420		250,652
342	JPMS	90-Day Sterling Futures		03/2018		56,468,158		56,717,438		249,280
321	JPMS	90-Day Sterling Futures		06/2018		53,022,691		53,224,111		201,420
367	JPMS	Australia 10-Year Bond Futures		09/2016		36,873,144		37,278,985		405,841
1,180	JPMS	Australia 3-Year Bond Futures		09/2016		99,425,243		99,606,981		181,738
266	GSCO	Canadian 10-Year Bond Futures		09/2016		29,913,101		30,480,003		566,902
179	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		09/2016		31,606,048		33,361,125		1,755,077
315	GSCO	Euro - OAT Futures		09/2016		54,788,667		56,207,561		1,418,894
1,607	GSCO	Euro - SCHATZ Futures		09/2016		199,500,025		199,853,161		353,136
6	JPMS	Euro CHF 3-Month LIFFE Futures		06/2017		1,552,090		1,552,842		752
1,276	GSCO	Euro-Bobl Futures		09/2016		187,519,454		189,183,076		1,663,622
130	GSCO	Euro-BTP Italian Government Bond Futures		09/2016		20,320,372		20,573,988		253,616
382	GSCO	Euro-Bund Futures		09/2016		69,163,435		70,846,262		1,682,827
31	GSCO	Euro-Buxl 30-Year Bond Futures		09/2016		6,139,111		6,748,346		609,235
330	GSCO	Long Gilt Futures		09/2016		54,204,068		56,447,262		2,243,194
547	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		71,282,889		72,742,453		1,459,564
1,549	MSCL	U.S. Treasury 2-Year Note Futures		09/2016		338,626,911		339,739,265		1,112,354
1,114	MSCL	U.S. Treasury 5-Year Note Futures		09/2016		134,161,243		136,090,765		1,929,522
233	MSCL	U.S. Treasury Long Bond Futures		09/2016		38,331,868		40,156,093		1,824,225
						4,230,231,013		4,260,954,348		30,723,335

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

AQR Funds Semi-Annual Report June 2016

114

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
24	GSCO	Brent Crude Futures^		07/2016		$(1,176,503	)		$(1,193,040	)		$(16,537	)
238	MSCL	Copper Futures^		09/2016		(12,824,697	)		(13,063,225	)		(238,528	)
93	MSCL	Gasoline RBOB Futures^		07/2016		(5,897,453	)		(5,864,078	)		33,375
222	MSCL	Hard Red Winter Wheat Futures^		09/2016		(5,330,441	)		(4,689,750	)		640,691
8	MSCL	Heating Oil ULSD Futures^		07/2016		(494,423	)		(500,203	)		(5,780	)
93	MSCL	Live Cattle Futures^		08/2016		(4,233,227	)		(4,271,490	)		(38,263	)
10	JPPC	LME Aluminum Futures^		07/2016		(376,725	)		(410,794	)		(34,069	)
3	JPPC	LME Aluminum Futures^		07/2016		(112,830	)		(123,253	)		(10,423	)
16	JPPC	LME Aluminum Futures^		07/2016		(624,761	)		(657,860	)		(33,099	)
18	JPPC	LME Aluminum Futures^		07/2016		(697,231	)		(740,174	)		(42,943	)
9	JPPC	LME Aluminum Futures^		07/2016		(350,078	)		(370,211	)		(20,133	)
8	JPPC	LME Aluminum Futures^		07/2016		(313,476	)		(329,114	)		(15,638	)
10	JPPC	LME Aluminum Futures^		07/2016		(400,350	)		(411,437	)		(11,087	)
12	JPPC	LME Aluminum Futures^		07/2016		(491,965	)		(493,425	)		(1,460	)
18	JPPC	LME Aluminum Futures^		07/2016		(740,197	)		(740,025	)		172
18	JPPC	LME Aluminum Futures^		07/2016		(742,447	)		(740,205	)		2,242
8	JPPC	LME Aluminum Futures^		08/2016		(326,980	)		(329,224	)		(2,244	)
4	JPPC	LME Aluminum Futures^		08/2016		(157,150	)		(164,719	)		(7,569	)
37	JPPC	LME Aluminum Futures^		08/2016		(1,431,975	)		(1,523,780	)		(91,805	)
18	JPPC	LME Aluminum Futures^		08/2016		(694,313	)		(741,541	)		(47,228	)
18	JPPC	LME Aluminum Futures^		08/2016		(696,501	)		(741,600	)		(45,099	)
19	JPPC	LME Aluminum Futures^		08/2016		(733,172	)		(782,444	)		(49,272	)
35	JPPC	LME Aluminum Futures^		08/2016		(1,361,447	)		(1,440,688	)		(79,241	)
18	JPPC	LME Aluminum Futures^		08/2016		(693,952	)		(741,375	)		(47,423	)
18	JPPC	LME Aluminum Futures^		08/2016		(701,894	)		(741,487	)		(39,593	)
17	JPPC	LME Aluminum Futures^		08/2016		(658,132	)		(700,400	)		(42,268	)
26	JPPC	LME Aluminum Futures^		08/2016		(1,012,298	)		(1,071,362	)		(59,064	)
17	JPPC	LME Aluminum Futures^		09/2016		(661,396	)		(701,144	)		(39,748	)
17	JPPC	LME Aluminum Futures^		09/2016		(664,140	)		(701,250	)		(37,110	)
1	JPPC	LME Aluminum Futures^		09/2016		(38,848	)		(41,282	)		(2,434	)
10	JPPC	LME Aluminum Futures^		09/2016		(398,225	)		(412,874	)		(14,649	)
32	JPPC	LME Aluminum Futures^		09/2016		(1,272,097	)		(1,321,400	)		(49,303	)
16	JPPC	LME Aluminum Futures^		09/2016		(630,361	)		(660,816	)		(30,455	)
17	JPPC	LME Aluminum Futures^		09/2016		(682,933	)		(702,146	)		(19,213	)
18	JPPC	LME Aluminum Futures^		09/2016		(725,797	)		(743,481	)		(17,684	)
34	JPPC	LME Aluminum Futures^		09/2016		(1,373,933	)		(1,404,412	)		(30,479	)
215	JPPC	LME Aluminum Futures^		09/2016		(8,391,506	)		(8,875,469	)		(483,963	)
18	JPPC	LME Aluminum Futures^		09/2016		(728,956	)		(743,513	)		(14,557	)
17	JPPC	LME Aluminum Futures^		09/2016		(695,250	)		(701,463	)		(6,213	)
17	JPPC	LME Aluminum Futures^		09/2016		(687,039	)		(701,016	)		(13,977	)
17	JPPC	LME Aluminum Futures^		09/2016		(684,633	)		(700,952	)		(16,319	)
15	JPPC	LME Aluminum Futures^		09/2016		(610,182	)		(618,431	)		(8,249	)
13	JPPC	LME Aluminum Futures^		09/2016		(530,687	)		(535,925	)		(5,238	)
5	JPPC	LME Copper Futures^		07/2016		(596,454	)		(605,000	)		(8,546	)
2	JPPC	LME Copper Futures^		07/2016		(238,362	)		(242,017	)		(3,655	)
1	JPPC	LME Copper Futures^		07/2016		(117,709	)		(121,018	)		(3,309	)
5	JPPC	LME Copper Futures^		07/2016		(582,062	)		(605,128	)		(23,066	)
4	JPPC	LME Copper Futures^		07/2016		(465,616	)		(484,206	)		(18,590	)
9	JPPC	LME Copper Futures^		07/2016		(1,059,199	)		(1,089,542	)		(30,343	)
6	JPPC	LME Copper Futures^		07/2016		(753,510	)		(726,300	)		27,210
8	JPPC	LME Copper Futures^		07/2016		(1,003,980	)		(968,450	)		35,530
11	JPPC	LME Copper Futures^		07/2016		(1,377,242	)		(1,331,825	)		45,417
1	JPPC	LME Copper Futures^		08/2016		(122,748	)		(121,133	)		1,615
2	JPPC	LME Copper Futures^		08/2016		(243,945	)		(242,280	)		1,665
16	JPPC	LME Copper Futures^		08/2016		(1,887,101	)		(1,939,080	)		(51,979	)

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

AQR Funds Semi-Annual Report June 2016

115

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
20	JPPC	LME Copper Futures^		08/2016		$ (2,319,817	)		$ (2,424,000	)		$ (104,183	)
13	JPPC	LME Copper Futures^		08/2016		(1,509,845	)		(1,575,382	)		(65,537	)
3	JPPC	LME Copper Futures^		08/2016		(347,945	)		(363,525	)		(15,580	)
4	JPPC	LME Copper Futures^		08/2016		(459,070	)		(484,683	)		(25,613	)
14	JPPC	LME Copper Futures^		08/2016		(1,609,817	)		(1,696,335	)		(86,518	)
9	JPPC	LME Copper Futures^		08/2016		(1,027,162	)		(1,090,424	)		(63,262	)
8	JPPC	LME Copper Futures^		08/2016		(920,478	)		(969,234	)		(48,756	)
5	JPPC	LME Copper Futures^		08/2016		(580,336	)		(605,750	)		(25,414	)
6	JPPC	LME Copper Futures^		08/2016		(703,252	)		(726,913	)		(23,661	)
19	JPPC	LME Copper Futures^		09/2016		(2,179,756	)		(2,302,139	)		(122,383	)
23	JPPC	LME Copper Futures^		09/2016		(2,656,890	)		(2,786,846	)		(129,956	)
1	JPPC	LME Copper Futures^		09/2016		(114,248	)		(121,198	)		(6,950	)
138	JPPC	LME Copper Futures^		09/2016		(16,013,672	)		(16,725,600	)		(711,928	)
11	JPPC	LME Copper Futures^		09/2016		(1,297,423	)		(1,332,512	)		(35,089	)
16	JPPC	LME Copper Futures^		09/2016		(1,884,108	)		(1,938,100	)		(53,992	)
12	JPPC	LME Copper Futures^		09/2016		(1,443,308	)		(1,453,524	)		(10,216	)
7	JPPC	LME Copper Futures^		09/2016		(845,583	)		(847,875	)		(2,292	)
1	JPPC	LME Nickel Futures^		07/2016		(55,363	)		(56,460	)		(1,097	)
3	JPPC	LME Nickel Futures^		07/2016		(170,849	)		(169,391	)		1,458
4	JPPC	LME Nickel Futures^		07/2016		(219,830	)		(225,867	)		(6,037	)
12	JPPC	LME Nickel Futures^		07/2016		(654,451	)		(677,726	)		(23,275	)
5	JPPC	LME Nickel Futures^		08/2016		(285,585	)		(282,540	)		3,045
4	JPPC	LME Nickel Futures^		08/2016		(208,249	)		(226,210	)		(17,961	)
1	JPPC	LME Nickel Futures^		08/2016		(52,229	)		(56,556	)		(4,327	)
2	JPPC	LME Nickel Futures^		08/2016		(103,514	)		(113,118	)		(9,604	)
8	JPPC	LME Nickel Futures^		08/2016		(410,544	)		(452,491	)		(41,947	)
4	JPPC	LME Nickel Futures^		08/2016		(201,210	)		(226,290	)		(25,080	)
4	JPPC	LME Nickel Futures^		08/2016		(201,107	)		(226,301	)		(25,194	)
3	JPPC	LME Nickel Futures^		08/2016		(151,082	)		(169,734	)		(18,652	)
8	JPPC	LME Nickel Futures^		08/2016		(404,387	)		(452,645	)		(48,258	)
3	JPPC	LME Nickel Futures^		09/2016		(150,818	)		(169,791	)		(18,973	)
9	JPPC	LME Nickel Futures^		09/2016		(457,219	)		(509,399	)		(52,180	)
4	JPPC	LME Nickel Futures^		09/2016		(208,541	)		(226,443	)		(17,902	)
5	JPPC	LME Nickel Futures^		09/2016		(258,013	)		(283,068	)		(25,055	)
3	JPPC	LME Nickel Futures^		09/2016		(158,661	)		(169,849	)		(11,188	)
3	JPPC	LME Nickel Futures^		09/2016		(159,743	)		(169,915	)		(10,172	)
60	JPPC	LME Nickel Futures^		09/2016		(3,064,068	)		(3,399,120	)		(335,052	)
5	JPPC	LME Nickel Futures^		09/2016		(275,385	)		(283,246	)		(7,861	)
2	JPPC	LME Nickel Futures^		09/2016		(111,235	)		(113,308	)		(2,073	)
4	JPPC	LME Nickel Futures^		09/2016		(218,190	)		(226,656	)		(8,466	)
4	JPPC	LME Nickel Futures^		09/2016		(220,586	)		(226,664	)		(6,078	)
2	JPPC	LME Nickel Futures^		09/2016		(111,955	)		(113,336	)		(1,381	)
4	JPPC	LME Nickel Futures^		09/2016		(946,375	)		(944,500	)		1,875
10	JPPC	LME Zinc Futures^		07/2016		(471,850	)		(525,387	)		(53,537	)
6	JPPC	LME Zinc Futures^		08/2016		(284,535	)		(315,267	)		(30,732	)
3	JPPC	LME Zinc Futures^		08/2016		(141,099	)		(157,848	)		(16,749	)
6	JPPC	LME Zinc Futures^		08/2016		(276,227	)		(315,740	)		(39,513	)
4	JPPC	LME Zinc Futures^		08/2016		(182,639	)		(210,500	)		(27,861	)
7	JPPC	LME Zinc Futures^		08/2016		(321,210	)		(368,395	)		(47,185	)
14	JPPC	LME Zinc Futures^		08/2016		(657,678	)		(736,823	)		(79,145	)
20	JPPC	LME Zinc Futures^		09/2016		(997,247	)		(1,052,980	)		(55,733	)
9	JPPC	LME Zinc Futures^		09/2016		(455,603	)		(473,938	)		(18,335	)
1	JPPC	LME Zinc Futures^		09/2016		(50,616	)		(52,665	)		(2,049	)
4	JPPC	LME Zinc Futures^		09/2016		(207,064	)		(210,671	)		(3,607	)
4	JPPC	LME Zinc Futures^		09/2016		(206,988	)		(210,714	)		(3,726	)
3	JPPC	LME Zinc Futures^		09/2016		(153,068	)		(158,044	)		(4,976	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
4	JPPC	LME Zinc Futures^		09/2016		$ (203,590	)		$ (210,705	)		$ (7,115	)
7	JPPC	LME Zinc Futures^		09/2016		(352,108	)		(368,699	)		(16,591	)
24	JPPC	LME Zinc Futures^		09/2016		(1,177,338	)		(1,263,750	)		(86,412	)
2	JPPC	LME Zinc Futures^		09/2016		(100,095	)		(105,322	)		(5,227	)
1	JPPC	LME Zinc Futures^		09/2016		(51,148	)		(52,619	)		(1,471	)
9	JPPC	LME Zinc Futures^		09/2016		(451,103	)		(473,488	)		(22,385	)
4	JPPC	LME Zinc Futures^		09/2016		(202,840	)		(210,443	)		(7,603	)
79	MSCL	NYMEX Palladium Futures^		09/2016		(4,300,165	)		(4,719,065	)		(418,900	)
19	MSCL	Platinum Futures^		10/2016		(937,846	)		(973,085	)		(35,239	)
75	MSCL	Soybean Oil Futures^		12/2016		(1,472,929	)		(1,443,150	)		29,779
355	MSCL	Wheat Futures^		09/2016		(8,287,272	)		(7,907,625	)		379,647
56	MSCL	WTI Crude Futures^		07/2016		(2,654,027	)		(2,706,480	)		(52,453	)
53	BARC	Amsterdam Index Futures		07/2016		(4,930,447	)		(5,120,586	)		(190,139	)
206	BARC	CAC40 Index Futures		07/2016		(9,495,830	)		(9,679,284	)		(183,454	)
44	BARC	DAX Index Futures		09/2016		(11,671,176	)		(11,802,580	)		(131,404	)
53	BARC	E-Mini DJIA CBOT Futures		09/2016		(4,575,637	)		(4,722,035	)		(146,398	)
17	JPMS	E-Mini MSCI EAFE Index Futures		09/2016		(1,325,119	)		(1,372,920	)		(47,801	)
163	JPMS	E-Mini MSCI Emerging Markets Index Futures		09/2016		(6,613,751	)		(6,802,805	)		(189,054	)
80	BARC	E-Mini Russell 2000 Futures		09/2016		(8,812,492	)		(9,179,200	)		(366,708	)
334	BARC	Euro Stoxx 50 Index Futures		09/2016		(10,432,314	)		(10,582,243	)		(149,929	)
45	BARC	FTSE 100 Index Futures		09/2016		(3,644,985	)		(3,847,479	)		(202,494	)
224	JPMS	SGX FTSE China A50 Index Futures		07/2016		(2,028,847	)		(2,068,640	)		(39,793	)
78	JPMS	FTSE/JSE Top 40 Index Futures		09/2016		(2,459,892	)		(2,459,797	)		95
44	BARC	FTSE/MIB Index Futures		09/2016		(3,950,997	)		(3,952,952	)		(1,955	)
75	BARC	Hang Seng Index Futures		07/2016		(9,679,462	)		(10,125,063	)		(445,601	)
66	BARC	H-SHARES Index Futures		07/2016		(3,581,672	)		(3,711,283	)		(129,611	)
111	BARC	IBEX 35 Index Futures		07/2016		(9,970,444	)		(10,011,391	)		(40,947	)
121	BARC	MSCI Singapore Index Futures		07/2016		(2,739,916	)		(2,850,070	)		(110,154	)
174	BARC	NASDAQ 100 E-Mini Futures		09/2016		(14,737,758	)		(15,336,360	)		(598,602	)
158	JPMS	Nikkei 225 Futures		09/2016		(25,217,419	)		(23,822,786	)		1,394,633
225	JPMS	OMXS30 Index Futures		07/2016		(3,416,810	)		(3,506,359	)		(89,549	)
74	BARC	S&P 500 E-Mini Futures		09/2016		(7,465,015	)		(7,733,740	)		(268,725	)
17	BARC	SPI 200 Index Futures		09/2016		(1,640,447	)		(1,640,611	)		(164	)
184	BARC	TOPIX Index Futures		09/2016		(23,599,474	)		(22,192,611	)		1,406,863
149	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2016		(28,552,870	)		(28,578,661	)		(25,791	)
168	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2016		(32,205,298	)		(32,227,795	)		(22,497	)
47	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2017		(9,013,748	)		(9,017,019	)		(3,271	)
20	JPMS	Euro CHF 3-Month Futures		03/2017		(5,163,204	)		(5,175,628	)		(12,424	)
42	JPMS	Euro CHF 3-Month LIFFE Futures		09/2016		(10,839,005	)		(10,859,140	)		(20,135	)
38	JPMS	Euro CHF 3-Month LIFFE Futures		12/2016		(9,808,255	)		(9,830,773	)		(22,518	)
						(408,038,997	)		(412,666,335	)		(4,627,338	)
						$3,822,192,016			$3,848,288,013			$26,095,997

^ 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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117

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		57,052,800		$42,088,475		$42,427,082		$338,607
Australian Dollar, Expiring 09/21/16	JPMC	AUD		85,579,200		63,133,161		63,640,624		507,463
Brazilian Real, Expiring 09/21/16*	CITI	BRL		23,237,600		6,449,831		7,060,421		610,590
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		34,856,400		9,674,756		10,590,629		915,873
Canadian Dollar, Expiring 09/21/16	CITI	CAD		34,597,600		27,007,021		26,783,574		(223,447	)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		51,896,400		40,510,201		40,175,359		(334,842	)
Chilean Peso, Expiring 09/21/16*	CITI	CLP		1,230,968,000		1,809,113		1,846,579		37,466
Chilean Peso, Expiring 09/21/16*	JPMC	CLP		1,846,452,000		2,713,673		2,769,867		56,194
Colombian Peso, Expiring 09/21/16*	CITI	COP		1,077,371,200		360,644		362,708		2,064
Colombian Peso, Expiring 09/21/16*	JPMC	COP		1,179,748,800		392,990		397,174		4,184
Euro, Expiring 09/21/16	CITI	EUR		67,328,799		75,486,019		74,936,752		(549,267	)
Euro, Expiring 09/21/16	JPMC	EUR		100,993,198		113,229,391		112,405,124		(824,267	)
British Pound, Expiring 09/21/16	CITI	GBP		13,899,600		20,433,145		18,518,129		(1,915,016	)
British Pound, Expiring 09/21/16	JPMC	GBP		20,546,400		30,204,649		27,373,514		(2,831,135	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		1,643,337,800		5,947,458		5,774,843		(172,615	)
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		2,435,278,200		8,813,399		8,557,795		(255,604	)
Indonesian Rupiah, Expiring 09/21/16*	CITI	IDR		79,318,430,400		5,745,207		5,919,137		173,930
Indonesian Rupiah, Expiring 09/21/16*	JPMC	IDR		112,287,495,600		8,122,819		8,379,454		256,635
Israeli Shekel, Expiring 09/21/16	CITI	ILS		7,786,600		2,035,385		2,021,385		(14,000	)
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		10,718,400		2,802,369		2,782,476		(19,893	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		311,897,600		4,550,801		4,557,634		6,833
Indian Rupee, Expiring 09/21/16*	JPMC	INR		465,764,400		6,795,638		6,806,026		10,388
Japanese Yen, Expiring 09/21/16	CITI	JPY		15,370,512,002		140,938,534		149,252,668		8,314,134
Japanese Yen, Expiring 09/21/16	JPMC	JPY		23,055,768,002		211,408,065		223,879,001		12,470,936
Korean Won, Expiring 09/21/16*	CITI	KRW		14,558,127,200		12,517,062		12,628,825		111,763
Korean Won, Expiring 09/21/16*	JPMC	KRW		21,837,190,800		18,775,615		18,943,241		167,626

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY		CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Mexican Peso, Expiring 09/21/16	CITI		MXN		131,122,400			$6,969,292			$7,114,962			$145,670
Mexican Peso, Expiring 09/21/16	JPMC		MXN		196,683,600			10,452,382			10,672,442			220,060
Malaysian Ringgit, Expiring 09/21/16*	CITI		MYR		6,497,200			1,596,745			1,602,974			6,229
Malaysian Ringgit, Expiring 09/21/16*	JPMC		MYR		8,542,800			2,099,468			2,107,660			8,192
Norwegian Krone, Expiring 09/21/16	CITI		NOK		38,238,000			4,652,872			4,568,444			(84,428	)
Norwegian Krone, Expiring 09/21/16	JPMC		NOK		57,357,000			6,979,317			6,852,665			(126,652	)
New Zealand Dollar, Expiring 09/21/16	CITI		NZD		99,273,600			68,279,076			70,595,636			2,316,560
New Zealand Dollar, Expiring 09/21/16	JPMC		NZD		148,910,400			102,418,740			105,893,453			3,474,713
Philippine Peso, Expiring 09/21/16*	CITI		PHP		165,182,400			3,520,736			3,499,146			(21,590	)
Philippine Peso, Expiring 09/21/16*	JPMC		PHP		247,773,600			5,281,113			5,248,719			(32,394	)
Poland Zloty, Expiring 09/21/16	CITI		PLN		31,277,200			8,090,297			7,913,367			(176,930	)
Poland Zloty, Expiring 09/21/16	JPMC		PLN		46,915,800			12,136,132			11,870,049			(266,083	)
Swedish Krona, Expiring 09/21/16	CITI		SEK		57,824,400			7,141,602			6,858,392			(283,210	)
Swedish Krona, Expiring 09/21/16	JPMC		SEK		86,736,600			10,712,417			10,287,588			(424,829	)
Singapore Dollar, Expiring 09/21/16	CITI		SGD		5,187,200			3,823,760			3,847,422			23,662
Singapore Dollar, Expiring 09/21/16	JPMC		SGD		7,780,800			5,735,447			5,771,134			35,687
Turkish Lira, Expiring 09/21/16	CITI		TRY		27,878,600			9,264,152			9,514,140			249,988
Turkish Lira, Expiring 09/21/16	JPMC		TRY		41,651,400			13,834,859			14,214,388			379,529
New Taiwan Dollar, Expiring 09/21/16*	CITI		TWD		53,970,800			1,663,560			1,676,024			12,464
New Taiwan Dollar, Expiring 09/21/16*	JPMC		TWD		54,382,200			1,680,686			1,688,799			8,113
South African Rand, Expiring 09/21/16	CITI		ZAR		163,681,600			10,729,938			10,934,782			204,844
South African Rand, Expiring 09/21/16	JPMC		ZAR		245,522,400			16,092,252			16,402,179			309,927
							$	1,175,100,264		$	1,197,924,386		$	22,824,122
SALES CONTRACTS	COUNTERPARTY	CURRENCY		CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI		AUD		(101,346,800	)		$(72,932,534)			$(75,366,134)			$(2,433,600)
Australian Dollar, Expiring 09/21/16	JPMC		AUD		(152,020,200	)		(109,398,663	)		(113,049,204	)		(3,650,541	)
Brazilian Real, Expiring 09/21/16*	CITI		BRL		(162,800	)		(43,952	)		(49,464	)		(5,512	)

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

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119

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		(244,200	)		$ (65,928)			$ (74,197)			$ (8,269)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(39,376,400	)		(30,241,692	)		(30,483,059	)		(241,367	)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		(59,064,600	)		(45,363,601	)		(45,724,587	)		(360,986	)
Swiss Franc, Expiring 09/21/16	CITI	CHF		(495,400	)		(505,189	)		(509,659	)		(4,470	)
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(579,600	)		(589,439	)		(596,282	)		(6,843	)
Chilean Peso, Expiring 09/21/16*	CITI	CLP		(1,391,503,600	)		(1,992,014	)		(2,087,398	)		(95,384	)
Chilean Peso, Expiring 09/21/16*	JPMC	CLP		(1,888,070,400	)		(2,701,700	)		(2,832,299	)		(130,599	)
Colombian Peso, Expiring 09/21/16*	CITI	COP		(511,323,000	)		(161,159	)		(172,142	)		(10,983	)
Colombian Peso, Expiring 09/21/16*	JPMC	COP		(473,691,000	)		(149,709	)		(159,472	)		(9,763	)
Euro, Expiring 09/21/16	CITI	EUR		(75,874,800	)		(85,739,232	)		(84,448,425	)		1,290,807
Euro, Expiring 09/21/16	JPMC	EUR		(113,812,200	)		(128,608,687	)		(126,672,636	)		1,936,051
British Pound, Expiring 09/21/16	CITI	GBP		(35,647,001	)		(50,981,215	)		(47,491,710	)		3,489,505
British Pound, Expiring 09/21/16	JPMC	GBP		(53,274,001	)		(76,194,006	)		(70,975,776	)		5,218,230
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(8,254,200	)		(1,064,356	)		(1,064,979	)		(623	)
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		(1,870,800	)		(241,181	)		(241,376	)		(195	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		(1,737,739,200	)		(6,158,760	)		(6,106,577	)		52,183
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		(2,606,608,800	)		(9,239,355	)		(9,159,866	)		79,489
Indonesian Rupiah, Expiring 09/21/16*	CITI	IDR		(15,196,714,200	)		(1,094,492	)		(1,134,055	)		(39,563	)
Indonesian Rupiah, Expiring 09/21/16*	JPMC	IDR		(19,621,585,800	)		(1,406,227	)		(1,464,260	)		(58,033	)
Israeli Shekel, Expiring 09/21/16	CITI	ILS		(14,030,800	)		(3,638,004	)		(3,642,368	)		(4,364	)
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		(21,046,200	)		(5,456,342	)		(5,463,554	)		(7,212	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		(249,986,000	)		(3,642,591	)		(3,652,945	)		(10,354	)
Indian Rupee, Expiring 09/21/16*	JPMC	INR		(235,662,000	)		(3,429,717	)		(3,443,633	)		(13,916	)
Japanese Yen, Expiring 09/21/16	CITI	JPY		(6,204,735,200	)		(59,853,731	)		(60,249,997	)		(396,266	)
Japanese Yen, Expiring 09/21/16	JPMC	JPY		(9,307,102,800	)		(89,780,483	)		(90,374,993	)		(594,510	)
Korean Won, Expiring 09/21/16*	CITI	KRW		(30,082,037,200	)		(25,417,006	)		(26,095,445	)		(678,439	)
Korean Won, Expiring 09/21/16*	JPMC	KRW		(45,123,055,799	)		(38,125,460	)		(39,143,166	)		(1,017,706	)
Mexican Peso, Expiring 09/21/16	CITI	MXN		(309,770,800	)		(16,534,834	)		(16,808,780	)		(273,946	)

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

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120

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY		CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Mexican Peso, Expiring 09/21/16	JPMC		MXN		(464,656,200	)		$ (24,802,720)			$ (25,213,167)			$ (410,447)
Malaysian Ringgit, Expiring 09/21/16*	CITI		MYR		(13,113,200	)		(3,178,974	)		(3,235,258	)		(56,284	)
Malaysian Ringgit, Expiring 09/21/16*	JPMC		MYR		(19,246,800	)		(4,667,119	)		(4,748,525	)		(81,406	)
Norwegian Krone, Expiring 09/21/16	CITI		NOK		(109,550,000	)		(13,125,385	)		(13,088,368	)		37,017
Norwegian Krone, Expiring 09/21/16	JPMC		NOK		(164,325,000	)		(19,687,101	)		(19,632,549	)		54,552
New Zealand Dollar, Expiring 09/21/16	CITI		NZD		(31,723,200	)		(21,399,597	)		(22,559,064	)		(1,159,467	)
New Zealand Dollar, Expiring 09/21/16	JPMC		NZD		(47,584,800	)		(32,099,355	)		(33,838,595	)		(1,739,240	)
Philippine Peso, Expiring 09/21/16*	CITI		PHP		(104,888,200	)		(2,239,418	)		(2,221,903	)		17,515
Philippine Peso, Expiring 09/21/16*	JPMC		PHP		(147,310,800	)		(3,144,140	)		(3,120,563	)		23,577
Poland Zloty, Expiring 09/21/16	CITI		PLN		(75,516,800	)		(19,103,339	)		(19,106,319	)		(2,980	)
Poland Zloty, Expiring 09/21/16	JPMC		PLN		(113,275,199	)		(28,655,253	)		(28,659,478	)		(4,225	)
Swedish Krona, Expiring 09/21/16	CITI		SEK		(189,957,600	)		(22,826,793	)		(22,530,346	)		296,447
Swedish Krona, Expiring 09/21/16	JPMC		SEK		(284,936,400	)		(34,240,084	)		(33,795,518	)		444,566
Singapore Dollar, Expiring 09/21/16	CITI		SGD		(5,012,000	)		(3,646,463	)		(3,717,474	)		(71,011	)
Singapore Dollar, Expiring 09/21/16	JPMC		SGD		(6,972,000	)		(5,075,453	)		(5,171,236	)		(95,783	)
Turkish Lira, Expiring 09/21/16	CITI		TRY		(2,873,200	)		(943,886	)		(980,538	)		(36,652	)
Turkish Lira, Expiring 09/21/16	JPMC		TRY		(4,309,800	)		(1,415,827	)		(1,470,807	)		(54,980	)
New Taiwan Dollar, Expiring 09/21/16*	CITI		TWD		(129,275,600	)		(3,969,165	)		(4,014,558	)		(45,393	)
New Taiwan Dollar, Expiring 09/21/16*	JPMC		TWD		(181,472,400	)		(5,569,072	)		(5,635,490	)		(66,418	)
South African Rand, Expiring 09/21/16	CITI		ZAR		(163,334,800	)		(10,246,510	)		(10,911,616	)		(665,106	)
South African Rand, Expiring 09/21/16	JPMC		ZAR		(245,002,200	)		(15,371,168	)		(16,367,425	)		(996,257	)
								(1,146,158,081	)		(1,148,757,235	)		(2,599,154	)
							$	28,942,183		$	49,167,151		$	20,224,968

* 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 June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD- Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

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 June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
BANA
Investment Companies		$760,349		$—		$760,349
BARC
Cash		—		9,964,650		9,964,650
CITI
Cash		(2,700,000	)	—		(2,700,000	)
GSCO
Cash		—		(2,679,523)		(2,679,523	)
GSIN
Investment Companies		580,000		—		580,000
JPMC
Cash		(1,220,000	)	—		(1,220,000	)
JPMS
Cash		—		3,098,743		3,098,743
MSCL
Cash		—		(3,185,870)		(3,185,870	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
CITI
Cash		$(930,000	)	$—		$(930,000	)
DTBK
Investment Companies		190,121		—		190,121
GSCO
Cash		—		191,643		191,643
JPPC
Cash		—		2,634,409		2,634,409
MACQ
Investment Companies		4,190,100		—		4,190,100
MSCL
Cash		—		(6,259,265)		(6,259,265	)
U.S. Treasury Bills		—		10,991,136		10,991,136
SOCG
Investment Companies		920,461		—		920,461

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

LONG INVESTMENTS - 96.5%	SHARES		VALUE (Note 5)
COMMON STOCKS - 15.9%
Canada - 0.4%
Manitoba Telecom Services, Inc. (1)		438,923	$	12,886,218
Waste Connections, Inc. (1)		24		1,729
				12,887,947
France - 0.0% (a)
Technip SA		17,442		944,048
Germany - 0.4%
KUKA AG		77,820		9,230,325
Wincor Nixdorf AG †		56,314		3,022,269
				12,252,594
Italy - 0.1%
Italcementi SpA †		419,903		4,921,946
Spain - 0.1%
Fomento de Construcciones y Contratas SA †		326,201		2,759,613
United States - 14.9%
AGL Resources, Inc. (1)		161,984		10,686,084
Alere, Inc. (1)†		451,897		18,835,066
American Capital Ltd. (1)†		193,803		3,067,901
Apollo Education Group, Inc. (1)†		615,475		5,613,132
Astoria Financial Corp. (1)		215,873		3,309,333
Axiall Corp. (1)		135,629		4,422,862
Carmike Cinemas, Inc. (1)†(m)		281,056		8,465,407
Celator Pharmaceuticals, Inc. (1)†		212,243		6,405,494
Charter Communications, Inc. (1)†		89		20,349
Columbia Pipeline Group, Inc. (1)		410,069		10,452,659
Cvent, Inc. (1)†		219,219		7,830,503
Demandware, Inc. (1)†		156,873		11,749,788
Diamond Resorts International, Inc. (1)†		212,660		6,371,294
DreamWorks Animation SKG, Inc., Class A (1)†		225,707		9,224,645
EI du Pont de Nemours & Co. (1)		321,685		20,845,188
EMC Corp. (1)		440,800		11,976,536
Empire District Electric Co. (The) (1)		332,351		11,289,963
Envision Healthcare Holdings, Inc. (1)†		128,600		3,262,582
Equinix, Inc. REIT (1)		1		388
ExamWorks Group, Inc. (1)†		110,196		3,840,331
Fairchild Semiconductor International, Inc. (1)†		211,711		4,202,463
FEI Co. (1)		86,757		9,272,588
First Niagara Financial Group, Inc. (1)		581,362		5,662,466
FirstMerit Corp. (1)		961,017		19,479,815
Global Payments, Inc. (1)		1		71
Hatteras Financial Corp. REIT (1)		587,785		9,639,674
Hawaiian Electric Industries, Inc. (1)		75,862		2,487,515
HeartWare International, Inc. (1)†		151,626		8,756,401
Herbalife Ltd. (1)†		3,839		224,697
Humana, Inc. (1)		21,694		3,902,317
IHS, Inc., Class A (1)†		26,209		3,030,023
inContact, Inc. †		503,968		6,979,957
Ingram Micro, Inc., Class A (1)		200,449		6,971,616

	SHARES		VALUE (Note 5)
United States - 14.9% (continued)
Interval Leisure Group, Inc. (1)		16,791	$	266,977
ITC Holdings Corp. (1)		444,744		20,822,914
KLA-Tencor Corp. (1)		144,492		10,584,039
Krispy Kreme Doughnuts, Inc. (1)†		136,744		2,866,154
LDR Holding Corp. (1)†		86,637		3,201,237
Lexmark International, Inc., Class A (1)		163,328		6,165,632
LinkedIn Corp., Class A (1)†		43,835		8,295,774
Marketo, Inc. (1)†		170,134		5,924,066
Medivation, Inc. (1)†		59,718		3,600,995
Memorial Resource Development Corp. (1)†		152,639		2,423,907
Monsanto Co. (1)		29,300		3,029,913
NorthStar Asset Management Group, Inc. (1)		306,023		3,124,495
NorthStar Realty Finance Corp. REIT (1)		285,069		3,258,339
Parkway Properties, Inc. REIT (1)		215,944		3,612,743
Piedmont Natural Gas Co., Inc. (1)		118,838		7,144,541
PrivateBancorp, Inc. (1)		179,506		7,903,649
Qlik Technologies, Inc. (1)†		419,936		12,421,707
QLogic Corp. (1)†		444,195		6,547,434
Questar Corp. (1)		317,307		8,050,079
Quintiles Transnational Holdings, Inc. (1)†		189,992		12,410,277
Rite Aid Corp. (1)†		2,984,369		22,352,923
Rofin-Sinar Technologies, Inc. (1)†		289,234		9,238,134
Southwestern Energy Co. (1)†		23,111		290,736
St. Jude Medical, Inc. (1)		94,378		7,361,484
Starwood Hotels & Resorts Worldwide, Inc. (1)		261,356		19,327,276
Starz, Class A (1)†		102,305		3,060,966
Talen Energy Corp. (1)†		414,776		5,620,215
Talmer Bancorp, Inc., Class A (1)		107,809		2,066,699
TECO Energy, Inc. (1)		247,988		6,854,388
TiVo, Inc. (1)†		1,143,571		11,321,353
Tumi Holdings, Inc. (1)†		215,035		5,750,036
Tyco International plc (1)		679,547		28,948,702
Valspar Corp. (The) (1)		126,028		13,614,805
Virgin America, Inc. (1)†		79,092		4,445,761
Westar Energy, Inc. (1)		292,243		16,391,910
Western Digital Corp. (1)		21,963		1,037,971
Xura, Inc. (1)†		60,166		1,469,855
				529,087,194
TOTAL COMMON STOCKS (cost $557,246,060)				562,853,342

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

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124

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CONVERTIBLE PREFERRED STOCKS - 12.7%						SHARES		VALUE (Note 5)
Israel - 2.0%
Teva Pharmaceutical Industries Ltd., $1,000.00 par, 7.000% 12/15/18 (1)							85,700	$	70,873,900
Netherlands - 0.6%
Fiat Chrysler Automobiles NV, Series FCAU, $100.00 par, 7.875% 12/15/16 (b)							36,930,000		22,111,838
United States - 10.1%
Allergan plc, Series A, $1,000.00 par, 5.500% 03/01/18 (1)							32,175		26,821,724
Anthem, Inc., $50.00 par, 5.250% 05/01/18 (1)							633,300		28,327,509
Black Hills Corp., $50.00 par, 7.750% 11/01/18 (1)(c)							134,716		9,446,286
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% 12/31/49 (1)(d)							59,900		5,541,349
Crown Castle International Corp., Series A, $100.00 par, 4.500% 11/01/16 (c)							204,600		24,727,956
Dominion Resources, Inc., Series B, $49.00 par, 6.000% 07/01/16 (1)							652,475		39,213,747
Dynegy, Inc., $100.00 par, 7.000% 07/01/19 (1) †							58,650		6,317,778
Exelon Corp., $50.00 par, 6.500% 06/01/17 (1)							527,025		26,003,413
Frontier Communications Corp., Series A, $100.00 par, 11.125% 06/29/18 (1)							344,400		32,656,008
Mandatory Exchangeable Trust 144A, $100.00 par, 5.750% 06/01/19 †(e)							257,818		26,325,796
Post Holdings, Inc., Perpetual Preferred Stock, $100.00 par, 2.500% 12/31/49 (d)							44,502		6,964,563
Southwestern Energy Co., Series B, $50.00 par, 6.250% 01/15/18 (1)							379,300		11,416,930
T-Mobile US, Inc., $50.00 par, 5.500% 12/15/17 (1)							559,425		41,168,086
Tyson Foods, Inc., $50.00 par, 4.750% 07/15/17 (1)							596,175		44,045,409
Welltower, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500% 12/31/49 (1)(d)							221,875		15,043,125
Weyerhaeuser Co., Series A, $50.00 par, 6.375% 07/01/16 (1)							230,253		11,597,844
WPX Energy, Inc., Series A, $50.00 par, 6.250% 07/31/18 (1)(c)							65,450		3,021,826
									358,639,349
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $458,970,619)									451,625,087
CORPORATE BONDS – 0.0% (a)	INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’s)
United States - 0.0% (a)
Sabine Oil & Gas Corp. (b)
(cost $3,965,812)		7.250	%		06/15/19	$	3,950		79,000
CONVERTIBLE BONDS - 19.0%
Canada - 0.2%
Element Financial Corp. 144A (e)		4.250	%		06/30/20		7,675		6,015,484
Element Financial Corp. 144A (c)(e)		5.125	%		06/30/19		3,281		2,721,558
									8,737,042
Mexico - 0.5%
Cemex SAB de CV (c)		3.720	%		03/15/20		7,050		6,569,719
Cemex SAB de CV		3.750	%		03/15/18		9,400		9,646,750
									16,216,469
Monaco - 0.1%
Scorpio Tankers, Inc. 144A (c)(e)		2.375	%		07/01/19		5,475		4,126,781
Netherlands - 0.2%
Wright Medical Group NV 144A (c)(e)		2.250	%		11/15/21		5,625		5,786,719
Norway - 0.2%
Ship Finance International Ltd.		3.250	%		02/01/18		5,500		5,799,063

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

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125

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
United States - 17.8%
Acorda Therapeutics, Inc. (c)		1.750	%		06/15/21	$	4,100	$	3,582,375
Allegheny Technologies, Inc.		4.750	%		07/01/22		975		1,028,625
Allscripts Healthcare Solutions, Inc.		1.250	%		07/01/20		5,575		5,575,000
Alpha Natural Resources, Inc. (b)		4.875	%		12/15/20		200		500
Anthem, Inc.		2.750	%		10/15/42		13,475		24,532,922
CalAtlantic Group, Inc. (c)		1.250	%		08/01/32		4,325		4,649,375
Cheniere Energy, Inc. (c)		4.250	%		03/15/45		10,500		5,932,500
Ciena Corp. (c)		4.000	%		12/15/20		1,166		1,457,500
Ciena Corp. 144A (e)		3.750	%		10/15/18		275		320,891
Colony Capital, Inc.		3.875	%		01/15/21		3,150		2,984,625
Dycom Industries, Inc. 144A (c)(e)		0.750	%		09/15/21		6,375		7,259,531
Emergent BioSolutions, Inc.		2.875	%		01/15/21		4,525		5,121,734
Euronet Worldwide, Inc. (c)		1.500	%		10/01/44		7,000		8,028,125
Exelixis, Inc. (c)		4.250	%		08/15/19		1,875		2,778,516
General Cable Corp. (c)(f)		4.500	%		11/15/29		1,595		914,134
Herbalife Ltd.		2.000	%		08/15/19		13,625		13,463,203
Hologic, Inc., Series 2010 (f)		2.000	%		12/15/37		1,650		2,478,094
Horizon Pharma Investment Ltd. (c)		2.500	%		03/15/22		5,300		4,803,125
Huron Consulting Group, Inc. (c)		1.250	%		10/01/19		2,050		2,082,031
Intel Corp.		2.950	%		12/15/35		3,450		4,461,282
Intel Corp.		3.250	%		08/01/39		30,250		49,175,156
Lennar Corp. (c)		3.250	%		11/15/21		3,325		6,537,781
LinkedIn Corp. (c)		0.500	%		11/01/19		14,000		13,816,250
Medicines Co. (The)		2.500	%		01/15/22		7,875		9,277,734
Medidata Solutions, Inc. (c)		1.000	%		08/01/18		1,525		1,652,719
Mentor Graphics Corp. (c)		4.000	%		04/01/31		3,875		4,250,391
Meritor, Inc.		7.875	%		03/01/26		1,600		1,796,000
MGIC Investment Corp. (c)		2.000	%		04/01/20		13,700		15,207,000
Microchip Technology, Inc.		2.125	%		12/15/37		17,525		36,879,172
Micron Technology, Inc., Series C (c)		2.375	%		05/01/32		7,775		11,643,063
Micron Technology, Inc., Series F		2.125	%		02/15/33		4,400		6,366,250
Molina Healthcare, Inc.		1.125	%		01/15/20		18,775		25,404,922
Novellus Systems, Inc.		2.625	%		05/15/41		13,650		33,920,250
NRG Yield, Inc. 144A (c)(e)		3.500	%		02/01/19		6,450		6,260,531
NRG Yield, Inc. 144A (c)(e)		3.250	%		06/01/20		4,575		4,209,000
NuVasive, Inc. 144A (c)(e)		2.250	%		03/15/21		1,175		1,390,906
NVIDIA Corp.		1.000	%		12/01/18		30,700		71,531,000
ON Semiconductor Corp., Series B (c)		2.625	%		12/15/26		5,439		5,649,761
Palo Alto Networks, Inc.		0.000	%		07/01/19		15,225		19,402,359
Pandora Media, Inc. 144A (c)(e)		1.750	%		12/01/20		5,000		4,984,375
Priceline Group, Inc. (The) (c)		1.000	%		03/15/18		16,500		22,904,063
Prospect Capital Corp. (c)		4.750	%		04/15/20		1,100		1,040,188
SEACOR Holdings, Inc.		2.500	%		12/15/27		2,375		2,321,563
SL Green Operating Partnership LP 144A (c)(e)		3.000	%		10/15/17		8,275		11,233,313
Spirit Realty Capital, Inc.		3.750	%		05/15/21		2,525		2,823,265
Spirit Realty Capital, Inc.		2.875	%		05/15/19		4,025		4,341,969
Starwood Property Trust, Inc. (c)		4.550	%		03/01/18		5,925		6,173,110
Starwood Property Trust, Inc. (c)		3.750	%		10/15/17		1,650		1,663,406
Starwood Property Trust, Inc.		4.000	%		01/15/19		4,350		4,581,094
SunEdison, Inc. (b)(c)		2.000	%		10/01/18		5,950		297,500
SunEdison, Inc. (b)(c)		2.750	%		01/01/21		4,925		246,250
SunEdison, Inc. 144A (b)(e)		0.250	%		01/15/20		8,325		416,250
SunPower Corp. (c)		0.750	%		06/01/18		2,825		2,681,984
SunPower Corp. 144A (e)		4.000	%		01/15/23		6,975		6,138,000
Take-Two Interactive Software, Inc.		1.750	%		12/01/16		2,450		4,858,656
Tesla Motors, Inc. (m)		1.500	%		06/01/18		10,725		18,131,953

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

AQR Funds Semi-Annual Report June 2016

126

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
United States - 17.8% (continued)
Trinity Industries, Inc. (c)		3.875	%		06/01/36	$	6,300	$	6,811,875
TTM Technologies, Inc.		1.750	%		12/15/20		4,725		4,683,656
Vector Group Ltd. (g)		1.750	%		04/15/20		1,900		2,106,625
VeriSign, Inc.		4.345	%		08/15/37		22,869		57,558,414
Vishay Intertechnology, Inc. (c)		2.250	%		11/15/40		5,325		5,318,344
Weatherford International Ltd. (c)		5.875	%		07/01/21		14,794		16,079,229
WebMD Health Corp.		2.500	%		01/31/18		4,775		5,246,531
WebMD Health Corp. (c)		1.500	%		12/01/20		1,675		2,126,203
Whiting Petroleum Corp., Series 1		1.250	%		06/05/20		4,950		4,417,875
Workday, Inc.		0.750	%		07/15/18		5,975		6,632,250
Wright Medical Group, Inc. (c)		2.000	%		02/15/20		4,175		3,814,906
									635,457,180
TOTAL CONVERTIBLE BONDS (cost $641,032,035)									676,123,254

SHORT-TERM INVESTMENTS - 48.9%	SHARES		VALUE (Note 5)
Investment Companies - 44.4%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(h)		1,562,182	$	1,562,182
Dreyfus Treasury Cash Management, Class I, 0.240% ^(h)		6,248,730		6,248,730
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(h)(i)		865,600,590		865,600,590
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(h)(i)		695,479,807		695,479,807
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(i)		7,810,975		7,810,975
Total Investment Companies (cost $1,576,702,284)				1,576,702,284
	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 4.5%
U.S. Treasury Bill, 0.351%, 10/20/2016 ^(j)(k)	$	4,430		4,426,793
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(j)		31,209		31,178,384
U.S. Treasury Bill, 0.384%, 10/06/2016 ^(j)(k)		9,982		9,975,112
U.S. Treasury Bill, 0.396%, 11/03/2016 ^(j)(k)		1,712		1,710,560
U.S. Treasury Bill, 0.400%, 12/15/2016 ^(j)(k)		2,147		2,144,256
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(j)		12,298		12,294,237
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(j)		25,758		25,754,600
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(j)		5,402		5,400,747

	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Obligations - 4.5% (continued)
U.S. Treasury Bill, 0.431%, 12/08/2016 ^(j)(k)	$	4,662		$	4,656,065
U.S. Treasury Bill, 0.456%, 08/25/2016 ^(j)		12,512			12,507,233
U.S. Treasury Bill, 0.465%, 08/04/2016 ^(j)(k)		16,427			16,423,665
U.S. Treasury Bill, 0.471%, 07/14/2016 ^(j)		7,548			7,547,160
U.S. Treasury Bill, 0.480%, 11/25/2016 ^(j)(k)		9,946			9,935,497
U.S. Treasury Bill, 0.498%, 07/07/2016 ^(j)		3,328			3,327,967
U.S. Treasury Bill, 0.511%, 09/15/2016 ^(j)		11,698			11,692,970
Total U.S. Treasury Obligations (cost $158,916,445)					158,975,246
TOTAL SHORT-TERM INVESTMENTS (cost $1,735,618,729)					1,735,677,530
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $3,396,833,255)				$	3,426,358,213
SECURITIES SOLD SHORT - (27.4)%	SHARES
COMMON STOCKS - (27.4)%
Canada - (0.7)%
BCE, Inc. (1)		(158,860	)		(7,517,861	)
Canadian Imperial Bank of Commerce (1)		(65,628	)		(4,929,402	)
Element Financial Corp. (1)		(198,633	)		(2,106,329	)
Fortis, Inc. (1)		(334,314	)		(11,300,354	)
					(25,853,946	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES			VALUE (Note 5)
China - (0.4)%
Alibaba Group Holding Ltd. ADR (1)†		(188,269	)	$	(14,973,034	)
Ireland - 0.0% (a)
Shire plc ADR (1)		(2	)		(368	)
Israel - (1.5)%
Teva Pharmaceutical Industries Ltd. ADR (1)		(1,066,986	)		(53,594,706	)
Italy - 0.0% (a)
Ferrari NV (1)		(1	)		(20	)
Mexico - (0.2)%
Cemex SAB de CV ADR (1)†		(767,364	)		(4,734,636	)
Monaco - 0.0% (a)
Scorpio Tankers, Inc. (1)		(159,584	)		(670,253	)
Netherlands - (0.1)%
Wright Medical Group NV (1)†		(257,615	)		(4,474,773	)
Norway - (0.1)%
Ship Finance International Ltd. (1)		(212,564	)		(3,133,193	)
Switzerland - (0.2)%
Weatherford International plc (1)†		(1,478,431	)		(8,205,292	)
United Kingdom - (0.6)%
Fiat Chrysler Automobiles NV (1)		(2,591,487	)		(15,859,900	)
Markit Ltd. (1)†		(93,215	)		(3,038,809	)
					(18,898,709	)
United States - (23.6)%
Abbott Laboratories (1)		(82,185	)		(3,230,692	)
Acorda Therapeutics, Inc. (1)†		(46,242	)		(1,179,402	)
Aetna, Inc. (1)		(18,169	)		(2,218,980	)
Allegheny Technologies, Inc. (1)		(49,256	)		(628,014	)
Allergan plc (1)†		(89,374	)		(20,653,438	)
Allscripts Healthcare Solutions, Inc. (1)†		(175,172	)		(2,224,684	)
Amsurg Corp. (1)†		(42,953	)		(3,330,575	)
Annaly Capital Management, Inc. REIT (1)		(600,553	)		(6,648,122	)
Anthem, Inc. (1)		(296,393	)		(38,928,257	)
Ares Capital Corp. (1)		(93,507	)		(1,327,799	)
Black Hills Corp. (1)		(122,161	)		(7,701,029	)
Brocade Communications Systems, Inc. (1)		(2	)		(18	)
Bunge Ltd. (1)		(38,981	)		(2,305,726	)
CalAtlantic Group, Inc. (1)		(51,388	)		(1,886,453	)
Cavium, Inc. (1)†		(43,529	)		(1,680,219	)
Centene Corp. (1)†		(1	)		(71	)
Chemical Financial Corp. (1)		(50,968	)		(1,900,597	)
Cheniere Energy, Inc. (1)†		(41,354	)		(1,552,843	)
Ciena Corp. (1)†		(39,042	)		(732,037	)
Colony Capital, Inc., Class A REIT (1)		(448,450	)		(6,883,707	)
Cousins Properties, Inc. REIT (1)		(351,975	)		(3,660,540	)
Crown Castle International Corp. REIT (1)		(220,641	)		(22,379,617	)

	SHARES			VALUE (Note 5)
United States - (23.6)% (continued)
Diebold, Inc. (1)		(24,440	)	$	(606,845	)
Dominion Resources, Inc. (1)		(506,415	)		(39,464,921	)
Dow Chemical Co. (The) (1)		(412,367	)		(20,498,764	)
Dycom Industries, Inc. (1)†		(49,348	)		(4,429,476	)
Emergent BioSolutions, Inc. (1)†		(94,326	)		(2,652,447	)
Euronet Worldwide, Inc. (1)†		(62,063	)		(4,294,139	)
Exelixis, Inc. (1)†		(303,529	)		(2,370,561	)
Exelon Corp. (1)		(439,801	)		(15,991,164	)
FMC Technologies, Inc. (1)†		(34,884	)		(930,356	)
Frontier Communications Corp. (1)		(4,890,480	)		(24,158,971	)
General Cable Corp. (1)		(39,436	)		(501,232	)
Great Plains Energy, Inc. (1)		(62,439	)		(1,898,146	)
Hologic, Inc. (1)†		(69,496	)		(2,404,562	)
Horizon Pharma plc (1)†		(132,246	)		(2,178,092	)
Huntington Bancshares, Inc. (1)		(1,652,165	)		(14,770,355	)
Huron Consulting Group, Inc. (1)†		(13,600	)		(821,712	)
IMS Health Holdings, Inc. (1)†		(494,610	)		(12,543,310	)
Intel Corp. (1)		(1,170,587	)		(38,395,254	)
Johnson Controls, Inc. (1)		(783,853	)		(34,693,334	)
KeyCorp. (1)		(395,325	)		(4,368,341	)
Lam Research Corp. (1)		(452,296	)		(38,020,002	)
Lennar Corp., Class A (1)		(141,497	)		(6,523,012	)
Lions Gate Entertainment Corp., Class R (1)		(69,404	)		(1,404,043	)
Marriott International, Inc., Class A (1)		(209,085	)		(13,895,789	)
Medicines Co. (The) (1)†		(183,542	)		(6,172,517	)
Medidata Solutions, Inc. (1)†		(13,137	)		(615,731	)
Mentor Graphics Corp. (1)		(140,446	)		(2,985,882	)
Meritor, Inc. (1)†		(85,333	)		(614,398	)
MGIC Investment Corp. (1)†		(995,110	)		(5,920,904	)
Microchip Technology, Inc. (1)		(697,242	)		(35,392,004	)
Micron Technology, Inc. (1)†		(1,018,663	)		(14,016,803	)
Molina Healthcare, Inc. (1)†		(377,616	)		(18,843,038	)
New York Community Bancorp, Inc. (1)		(215,831	)		(3,235,307	)
NextEra Energy, Inc. (1)		(18,302	)		(2,386,581	)
NRG Yield, Inc., Class A (1)		(101,149	)		(1,539,488	)
NRG Yield, Inc., Class C (1)		(59,891	)		(933,701	)
NuVasive, Inc. (1)†		(14,534	)		(867,970	)
NVIDIA Corp. (1)		(1,467,169	)		(68,971,615	)
ON Semiconductor Corp. (1)†		(160,580	)		(1,416,316	)
Palo Alto Networks, Inc. (1)†		(104,926	)		(12,868,125	)
Pandora Media, Inc. (1)†		(217,735	)		(2,710,801	)
Post Holdings, Inc. (1)†		(77,293	)		(6,391,358	)
Priceline Group, Inc. (The) (1)†		(14,323	)		(17,880,976	)
Prospect Capital Corp. (1)		(8,430	)		(65,923	)
Range Resources Corp. (1)		(57,239	)		(2,469,290	)
Rovi Corp. (1)†		(192,435	)		(3,009,683	)
SEACOR Holdings, Inc. (1)†		(8,266	)		(479,015	)
SL Green Realty Corp. REIT (1)		(87,829	)		(9,351,154	)
Southwestern Energy Co. (1)†		(725,616	)		(9,128,249	)
Spirit Realty Capital, Inc. REIT (1)		(230,475	)		(2,943,166	)
Starwood Property Trust, Inc. REIT (1)		(247,062	)		(5,119,125	)
SunPower Corp. (1)†		(210,896	)		(3,266,779	)
Take-Two Interactive Software, Inc. (1)†		(128,318	)		(4,865,819	)
Tesla Motors, Inc. (1)†		(2,688	)		(570,609	)
T-Mobile US, Inc. (1)†		(843,991	)		(36,519,491	)
Trinity Industries, Inc. (1)		(111,984	)		(2,079,543	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES			VALUE (Note 5)
United States - (23.6)% (continued)
TTM Technologies, Inc. (1)†		(344,156	)	$	(2,591,495	)
Tyson Foods, Inc., Class A (1)		(579,392	)		(38,697,592	)
Vector Group Ltd. (1)		(26,221	)		(587,875	)
VeriSign, Inc. (1)†		(665,415	)		(57,531,781	)
Vishay Intertechnology, Inc. (1)		(349,585	)		(4,331,358	)
WebMD Health Corp. (1)†		(64,794	)		(3,765,179	)
Welltower, Inc. REIT (1)		(120,701	)		(9,193,795	)
Weyerhaeuser Co. REIT (1)		(390,169	)		(11,615,331	)
Whiting Petroleum Corp. (1)†		(115,281	)		(1,067,502	)
Workday, Inc., Class A (1)†		(42,001	)		(3,136,215	)
WPX Energy, Inc. (1)†		(268,928	)		(2,503,720	)
					(837,520,852	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $972,914,850)					(972,059,782	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $972,914,850)					(972,059,782	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 69.1% (cost $2,423,918,405)					2,454,298,431
OTHER ASSETS IN EXCESS OF LIABILITIES - 30.9% (l)					1,097,960,600
NET ASSETS - 100.0%				$	3,552,259,031

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	42,587,108		1.2	%
Consumer Staples		46,716,218		1.3
Energy		37,166,903		1.0
Financials		78,146,910		2.2
Health Care		115,314,814		3.2
Industrials		58,833,364		1.7
Information Technology		183,540,219		5.2
Materials		38,218,394		1.1
Telecommunication Services		18,513,989		0.5
Utilities		99,582,982		2.8
Investment Companies		1,576,702,284		44.4
U.S. Treasury Obligations		158,975,246		4.5
Total Investments In Securities, At Value		2,454,298,431		69.1
Other Assets in Excess of Liabilities (l)		1,097,960,600		30.9
Net Assets	$	3,552,259,031		100.0	%

† Non-income producing security.

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

(b) Defaulted security.

(c) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $227,520,118. In addition, $973,641,248 of cash collateral was pledged.

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

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

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

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

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

(k) All or a portion of the security is pledged as collateral to the brokers for futures contracts.

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

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

^ 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).

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Credit default swap contracts buy protection as of June 30, 2016:

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

CITG

Markit CDX North America High Yield Index Series 26

5.000%

USD

4.288%

5,400,000

$(129,821

)

06/20/2021

$(41,765

)

Open written options contracts outstanding at June 30, 2016:

Exchange Traded

Call options written

NUMBER OF CONTRACTS	ISSUER	COUNTERPARTY	EXPIRATION DATE		PROCEEDS			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
356	Anacor Pharmaceuticals, Inc. (Exercise price $100)	JPMS		08/19/2016		$(5,556	)		$(1,780	)		$3,776
282	Carmike Cinemas, Inc. (Exercise price $30) (1)	JPMS		09/16/2016		(37,776	)		(36,660	)		1,116
861	Tesla Motors, Inc. (Exercise price $125) (1)	JPMS		01/19/2018		(4,387,152	)		(7,749,000	)		(3,361,848	)
						$(4,430,484	)		$(7,787,440	)		$(3,356,956	)

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

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

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MSCS	BIST 30 August Futures	08/2016	TRY		8,692,082			$(7,766	)
MSCS	Bovespa Index August Futures	08/2016	BRL		(86,013,589	)		(753,774	)
MACQ	Cocoa September Futures^	08/2016	USD		(60,820	)		1,282
MACQ	Cocoa September Futures^	08/2016	USD		60,820			(1,560	)
CITI	Corn September Futures^	08/2016	USD		(1,046,493	)		14,884
CITI	Corn September Futures^	08/2016	USD		17,848,296			(2,698,321	)
SOCG	Corn September Futures^	08/2016	USD		43,436			(6,886	)
SOCG	Corn September Futures^	08/2016	USD		(43,436	)		376
MACQ	Corn September Futures^	08/2016	USD		(3,012,855	)		41,318
MACQ	Corn September Futures^	08/2016	USD		3,012,855			(472,630	)
MLIN	Corn September Futures^	09/2016	USD		9,399,263			(1,449,638	)
MLIN	Corn September Futures^	09/2016	USD		(9,399,262	)		734,212
SOCG	Cotton No. 2 December Futures^	11/2016	USD		590,969			(13,439	)
MACQ	Cotton No. 2 December Futures^	11/2016	USD		1,378,697			(31,127	)
MSCS	H-SHARES Index July Futures	07/2016	HKD		35,337,720			224,715
MSCS	KOSPI Index 200 September Futures	09/2016	KRW		86,743,262,077			(1,235,546	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MLIN	Lean Hogs July Futures^	07/2016		USD		(333,430	)		$ (15,500	)
MLIN	Lean Hogs July Futures^	07/2016		USD		333,430			(2,030	)
SOCG	Lean Hogs August Futures^	08/2016		USD		2,878,059			(179,949	)
MLIN	Lean Hogs August Futures^	08/2016		USD		2,578,320			(146,690	)
SOCG	Live Cattle August Futures^	08/2016		USD		(4,750,778	)		157,778
MACQ	Live Cattle August Futures^	08/2016		USD		(15,145,788	)		540,048
MLIN	Live Cattle August Futures^	08/2016		USD		(855,150	)		28,410
MSCS	MSCI Singapore Index July Futures	07/2016		SGD		(495,776	)		(8,837	)
MSCS	MSCI Taiwan Stock Index July Futures	07/2016		USD		(891,030	)		(29,720	)
GSIN	NSE Nifty 50 Index July Futures	07/2016		INR		(1,028,815,825	)		(290,503	)
MSCS	SGX FTSE China A50 Index July Futures	07/2016		USD		(1,599,452	)		(25,908	)
MSCS	SGX S&P CNX Nifty Index July Futures	07/2016		USD		(14,053,987	)		(366,428	)
CITI	Soybean November Futures^	10/2016		USD		38,058,283			287,280
CITI	Soybean November Futures^	10/2016		USD		(13,636,162	)		(4,833	)
SOCG	Soybean November Futures^	10/2016		USD		11,307,137			52,375
MACQ	Soybean November Futures^	10/2016		USD		38,969,492			183,346
CITI	Soybean Meal December Futures^	11/2016		USD		943,320			19,080
MACQ	Soybean Meal December Futures^	11/2016		USD		6,940,052			(42,852	)
MLIN	Soybean Meal December Futures^	11/2016		USD		3,456,160			(7,560	)
MACQ	Soybean Oil December Futures^	11/2016		USD		(821,605	)		(5,801	)
MSCS	Swiss Market Index September Futures	09/2016		CHF		(156,453,179	)		(7,063,411	)
MSCS	Taiwan Stock Exchange July Futures	07/2016		TWD		(119,823,379	)		(88,300	)
BANA	Tel Aviv 25 Index July Futures	07/2016		ILS		(16,194,357	)		101,914
CITI	Wheat September Futures^	08/2016		USD		(5,181,619	)		(525,626	)
CITI	Wheat September Futures^	08/2016		USD		3,328,820			477,620
GSIN	WIG20 Index September Futures	09/2016		PLN		25,623,642			23,054
									$(12,586,943	)

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

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
249	GSCO	Brent Crude Futures^		07/2016		$12,169,560		$12,377,790		$208,230
161	GSCO	Cocoa Futures^		09/2016		4,926,649		5,038,928		112,279
9	MSCL	Cocoa Futures^		09/2016		269,541		266,670		(2,871	)
118	MSCL	Coffee ‘C’ Futures^		09/2016		6,196,027		6,445,013		248,986
56	MSCL	Cotton No. 2 Futures^		12/2016		1,834,443		1,796,760		(37,683	)
13	GSCO	Gas Oil Futures^		08/2016		584,374		580,125		(4,249	)
984	MSCL	Gold 100 OZ Futures^		08/2016		126,431,958		129,947,040		3,515,082
4	MSCL	Lean Hogs Futures^		08/2016		138,614		133,240		(5,374	)
4	JPPC	LME Aluminum Futures^		07/2016		152,884		164,300		11,416
14	JPPC	LME Aluminum Futures^		07/2016		528,080		575,113		47,033
2	JPPC	LME Aluminum Futures^		07/2016		75,285		82,168		6,883
16	JPPC	LME Aluminum Futures^		07/2016		624,731		657,860		33,129
18	JPPC	LME Aluminum Futures^		07/2016		698,312		740,173		41,861
10	JPPC	LME Aluminum Futures^		07/2016		389,682		411,345		21,663
9	JPPC	LME Aluminum Futures^		07/2016		354,129		370,253		16,124
10	JPPC	LME Aluminum Futures^		07/2016		400,972		411,438		10,466
13	JPPC	LME Aluminum Futures^		07/2016		530,930		534,544		3,614

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
18	JPPC	LME Aluminum Futures^		07/2016		$ 740,998		$ 740,025		$ (973	)
14	JPPC	LME Aluminum Futures^		07/2016		576,819		575,715		(1,104	)
2	JPPC	LME Aluminum Futures^		07/2016		82,541		82,265		(276	)
2	JPPC	LME Aluminum Futures^		08/2016		81,739		82,312		573
37	JPPC	LME Aluminum Futures^		08/2016		1,433,525		1,523,780		90,255
19	JPPC	LME Aluminum Futures^		08/2016		732,183		782,738		50,555
19	JPPC	LME Aluminum Futures^		08/2016		737,840		782,800		44,960
19	JPPC	LME Aluminum Futures^		08/2016		730,131		782,444		52,313
35	JPPC	LME Aluminum Futures^		08/2016		1,365,345		1,440,688		75,343
18	JPPC	LME Aluminum Futures^		08/2016		694,574		741,375		46,801
18	JPPC	LME Aluminum Futures^		08/2016		697,544		741,487		43,943
18	JPPC	LME Aluminum Futures^		08/2016		698,444		741,600		43,156
28	JPPC	LME Aluminum Futures^		08/2016		1,090,274		1,153,775		63,501
19	JPPC	LME Aluminum Futures^		09/2016		738,315		783,631		45,316
17	JPPC	LME Aluminum Futures^		09/2016		668,142		701,250		33,108
5	JPPC	LME Aluminum Futures^		09/2016		194,344		206,406		12,062
11	JPPC	LME Aluminum Futures^		09/2016		440,324		454,163		13,839
33	JPPC	LME Aluminum Futures^		09/2016		1,310,991		1,362,694		51,703
17	JPPC	LME Aluminum Futures^		09/2016		674,795		702,117		27,322
17	JPPC	LME Aluminum Futures^		09/2016		682,782		702,147		19,365
18	JPPC	LME Aluminum Futures^		09/2016		730,274		743,481		13,207
35	JPPC	LME Aluminum Futures^		09/2016		1,409,185		1,445,719		36,534
247	JPPC	LME Aluminum Futures^		09/2016		9,953,823		10,196,469		242,646
18	JPPC	LME Aluminum Futures^		09/2016		730,693		743,512		12,819
17	JPPC	LME Aluminum Futures^		09/2016		694,806		701,462		6,656
17	JPPC	LME Aluminum Futures^		09/2016		682,977		701,016		18,039
16	JPPC	LME Aluminum Futures^		09/2016		646,667		659,720		13,053
14	JPPC	LME Aluminum Futures^		09/2016		569,315		577,202		7,887
12	JPPC	LME Aluminum Futures^		09/2016		491,940		494,700		2,760
4	JPPC	LME Copper Futures^		07/2016		477,510		484,000		6,490
3	JPPC	LME Copper Futures^		07/2016		356,782		363,025		6,243
1	JPPC	LME Copper Futures^		07/2016		117,202		121,017		3,815
4	JPPC	LME Copper Futures^		07/2016		463,910		484,103		20,193
5	JPPC	LME Copper Futures^		07/2016		580,015		605,258		25,243
9	JPPC	LME Copper Futures^		07/2016		1,055,722		1,089,542		33,820
1	JPPC	LME Copper Futures^		07/2016		120,459		121,069		610
54	JPPC	LME Copper Futures^		07/2016		6,472,212		6,537,173		64,961
26	JPPC	LME Copper Futures^		07/2016		3,119,128		3,147,398		28,270
25	JPPC	LME Copper Futures^		07/2016		3,028,156		3,026,218		(1,938	)
7	JPPC	LME Copper Futures^		07/2016		875,757		847,350		(28,407	)
7	JPPC	LME Copper Futures^		07/2016		879,183		847,394		(31,789	)
5	JPPC	LME Copper Futures^		07/2016		624,828		605,375		(19,453	)
2	JPPC	LME Copper Futures^		07/2016		247,278		242,162		(5,116	)
1	JPPC	LME Copper Futures^		07/2016		123,050		121,088		(1,962	)
2	JPPC	LME Copper Futures^		07/2016		244,555		242,188		(2,367	)
24	JPPC	LME Copper Futures^		08/2016		2,927,459		2,907,360		(20,099	)
16	JPPC	LME Copper Futures^		08/2016		1,892,039		1,939,080		47,041
32	JPPC	LME Copper Futures^		08/2016		3,744,710		3,878,400		133,690
13	JPPC	LME Copper Futures^		08/2016		1,505,432		1,575,382		69,950
3	JPPC	LME Copper Futures^		08/2016		348,014		363,525		15,511
4	JPPC	LME Copper Futures^		08/2016		458,710		484,683		25,973
13	JPPC	LME Copper Futures^		08/2016		1,500,182		1,575,168		74,986
9	JPPC	LME Copper Futures^		08/2016		1,025,572		1,090,424		64,852
10	JPPC	LME Copper Futures^		08/2016		1,150,422		1,211,543		61,121
5	JPPC	LME Copper Futures^		08/2016		578,762		605,750		26,988
8	JPPC	LME Copper Futures^		08/2016		938,268		969,218		30,950

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

AQR Funds Semi-Annual Report June 2016

132

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
21	JPPC	LME Copper Futures^		09/2016		$ 2,417,676		$ 2,544,470		$ 126,794
35	JPPC	LME Copper Futures^		09/2016		4,060,786		4,240,854		180,068
60	JPPC	LME Copper Futures^		09/2016		6,913,647		7,270,695		357,048
31	JPPC	LME Copper Futures^		09/2016		3,560,426		3,756,588		196,162
37	JPPC	LME Copper Futures^		09/2016		4,180,402		4,483,753		303,351
27	JPPC	LME Copper Futures^		09/2016		3,066,929		3,272,218		205,289
9	JPPC	LME Copper Futures^		09/2016		1,024,682		1,090,778		66,096
241	JPPC	LME Copper Futures^		09/2016		28,049,764		29,209,200		1,159,436
9	JPPC	LME Copper Futures^		09/2016		1,061,732		1,090,237		28,505
19	JPPC	LME Copper Futures^		09/2016		2,237,507		2,301,494		63,987
16	JPPC	LME Copper Futures^		09/2016		1,924,748		1,938,032		13,284
6	JPPC	LME Copper Futures^		09/2016		724,651		726,750		2,099
1	JPPC	LME Nickel Futures^		07/2016		55,526		56,460		934
4	JPPC	LME Nickel Futures^		07/2016		224,423		225,854		1,431
3	JPPC	LME Nickel Futures^		07/2016		165,037		169,400		4,363
1	JPPC	LME Nickel Futures^		07/2016		54,544		56,477		1,933
6	JPPC	LME Nickel Futures^		08/2016		344,691		339,048		(5,643	)
2	JPPC	LME Nickel Futures^		08/2016		113,505		113,023		(482	)
7	JPPC	LME Nickel Futures^		08/2016		389,192		395,604		6,412
3	JPPC	LME Nickel Futures^		08/2016		155,509		169,657		14,148
2	JPPC	LME Nickel Futures^		08/2016		104,142		113,112		8,970
2	JPPC	LME Nickel Futures^		08/2016		103,445		113,118		9,673
8	JPPC	LME Nickel Futures^		08/2016		411,262		452,492		41,230
4	JPPC	LME Nickel Futures^		08/2016		200,410		226,290		25,880
5	JPPC	LME Nickel Futures^		08/2016		251,115		282,876		31,761
3	JPPC	LME Nickel Futures^		08/2016		150,912		169,734		18,822
10	JPPC	LME Nickel Futures^		08/2016		506,079		565,806		59,727
3	JPPC	LME Nickel Futures^		09/2016		151,207		169,791		18,584
9	JPPC	LME Nickel Futures^		09/2016		457,080		509,399		52,319
4	JPPC	LME Nickel Futures^		09/2016		208,810		226,444		17,634
4	JPPC	LME Nickel Futures^		09/2016		207,130		226,455		19,325
2	JPPC	LME Nickel Futures^		09/2016		104,645		113,233		8,588
8	JPPC	LME Nickel Futures^		09/2016		427,207		453,106		25,899
33	JPPC	LME Nickel Futures^		09/2016		1,812,087		1,869,516		57,429
5	JPPC	LME Nickel Futures^		09/2016		276,518		283,247		6,729
2	JPPC	LME Nickel Futures^		09/2016		111,064		113,308		2,244
4	JPPC	LME Nickel Futures^		09/2016		216,530		226,656		10,126
4	JPPC	LME Nickel Futures^		09/2016		221,298		226,664		5,366
3	JPPC	LME Nickel Futures^		09/2016		168,199		170,004		1,805
3	JPPC	LME Nickel Futures^		09/2016		706,389		708,375		1,986
1	JPPC	LME Zinc Futures^		07/2016		46,890		52,535		5,645
2	JPPC	LME Zinc Futures^		07/2016		94,659		105,063		10,404
1	JPPC	LME Zinc Futures^		07/2016		47,251		52,533		5,282
1	JPPC	LME Zinc Futures^		07/2016		48,508		52,533		4,025
5	JPPC	LME Zinc Futures^		08/2016		227,750		263,125		35,375
7	JPPC	LME Zinc Futures^		08/2016		321,125		368,395		47,270
15	JPPC	LME Zinc Futures^		08/2016		703,354		789,454		86,100
22	JPPC	LME Zinc Futures^		09/2016		1,097,077		1,158,278		61,201
10	JPPC	LME Zinc Futures^		09/2016		505,804		526,597		20,793
1	JPPC	LME Zinc Futures^		09/2016		51,190		52,665		1,475
4	JPPC	LME Zinc Futures^		09/2016		206,756		210,671		3,915
4	JPPC	LME Zinc Futures^		09/2016		207,096		210,714		3,618
2	JPPC	LME Zinc Futures^		09/2016		101,641		105,363		3,722
3	JPPC	LME Zinc Futures^		09/2016		153,452		158,029		4,577
6	JPPC	LME Zinc Futures^		09/2016		299,966		316,028		16,062
67	JPPC	LME Zinc Futures^		09/2016		3,382,316		3,527,969		145,653

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

AQR Funds Semi-Annual Report June 2016

133

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
3	JPPC	LME Zinc Futures^		09/2016		$ 150,077		$ 157,984		$ 7,907
2	JPPC	LME Zinc Futures^		09/2016		102,456		105,238		2,782
7	JPPC	LME Zinc Futures^		09/2016		350,869		368,268		17,399
3	JPPC	LME Zinc Futures^		09/2016		153,981		157,832		3,851
662	MSCL	Silver Futures^		09/2016		57,735,061		61,642,130		3,907,069
108	MSCL	Soybean Futures^		11/2016		5,960,543		6,227,550		267,007
762	MSCL	Sugar #11 (World Markets) Futures^		09/2016		16,786,345		17,350,435		564,090
233	BARC	Amsterdam Index Futures		07/2016		21,495,394		22,511,256		1,015,862
565	JPMS	BIST 30 Futures		08/2016		1,890,963		1,881,697		(9,266	)
10	BARC	DAX Index Futures		09/2016		2,624,682		2,682,405		57,723
1,274	BARC	Euro Stoxx 50 Index Futures		09/2016		39,213,863		40,364,604		1,150,741
109	BARC	FTSE 100 Index Futures		09/2016		9,163,863		9,319,449		155,586
22	BARC	FTSE Bursa Malaysia KLCI Index Futures		07/2016		444,995		451,159		6,164
98	BARC	IBEX 35 Index Futures		07/2016		8,728,477		8,838,886		110,409
50	BARC	KOSPI Index 200 Futures		09/2016		5,412,205		5,301,254		(110,951	)
84	JPMS	KOSPI Index 200 Futures		09/2016		8,802,670		8,906,108		103,438
33	BARC	S&P MID 400 E-Mini Futures		09/2016		4,873,729		4,926,900		53,171
46	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		5,764,201		5,798,646		34,445
103	BARC	SET50 Index Futures		09/2016		521,325		529,187		7,862
880	BARC	SPI 200 Index Futures		09/2016		84,089,852		84,925,732		835,880
277	BARC	TOPIX Index Futures		09/2016		35,176,899		33,409,528		(1,767,371	)
394	JPMS	3-Month Euro Euribor Futures		09/2016		109,613,945		109,654,702		40,757
2,606	JPMS	3-Month Euro Euribor Futures		12/2016		725,234,224		725,496,476		262,252
2,594	JPMS	3-Month Euro Euribor Futures		03/2017		721,919,682		722,227,708		308,026
1,999	JPMS	3-Month Euro Euribor Futures		06/2017		556,418,047		556,649,569		231,522
510	JPMS	3-Month Euro Euribor Futures		09/2017		141,945,686		142,030,798		85,112
598	JPMS	3-Month Euro Euribor Futures		12/2017		166,412,690		166,546,368		133,678
662	JPMS	3-Month Euro Euribor Futures		03/2018		184,204,020		184,361,545		157,525
411	JPMS	3-Month Euro Euribor Futures		06/2018		114,358,975		114,454,412		95,437
370	JPMS	90-Day EURODollar Futures		09/2017		91,601,099		91,787,750		186,651
349	JPMS	90-Day EURODollar Futures		12/2017		86,348,336		86,530,187		181,851
333	JPMS	90-Day EURODollar Futures		03/2018		82,345,416		82,529,887		184,471
322	JPMS	90-Day EURODollar Futures		06/2018		79,581,380		79,767,450		186,070
749	JPMS	90-Day Sterling Futures		12/2016		123,959,545		124,214,507		254,962
830	JPMS	90-Day Sterling Futures		03/2017		137,237,556		137,661,411		423,855
780	JPMS	90-Day Sterling Futures		06/2017		128,978,767		129,368,555		389,788
316	JPMS	90-Day Sterling Futures		09/2017		52,218,449		52,416,109		197,660
282	JPMS	90-Day Sterling Futures		12/2017		46,572,796		46,771,708		198,912
258	JPMS	90-Day Sterling Futures		03/2018		42,596,006		42,786,839		190,833
238	JPMS	90-Day Sterling Futures		06/2018		39,317,719		39,462,114		144,395
919	JPMS	Australia 3-Year Bond Futures		09/2016		77,434,808		77,575,268		140,460
134	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		09/2016		23,680,363		24,974,250		1,293,887
237	GSCO	Euro - OAT Futures		09/2016		41,218,613		42,289,498		1,070,885
1,308	GSCO	Euro - SCHATZ Futures		09/2016		162,378,763		162,668,285		289,522
963	GSCO	Euro - Bobl Futures		09/2016		141,493,026		142,776,882		1,283,856
97	GSCO	Euro - BTP Italian Government Bond Futures		09/2016		15,155,635		15,351,361		195,726
1,452	GSCO	Euro - Bund Futures		09/2016		264,135,137		269,289,979		5,154,842
23	GSCO	Euro - Buxl 30-Year Bond Futures		09/2016		4,553,262		5,006,837		453,575
902	GSCO	Long Gilt Futures		09/2016		148,141,292		154,289,181		6,147,889
838	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		111,177,297		111,440,906		263,609

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

AQR Funds Semi-Annual Report June 2016

134

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
120	MSCL	U.S. Treasury 2-Year Note Futures		09/2016		$ 26,298,399			$ 26,319,375			$ 20,976
767	MSCL	U.S. Treasury 5-Year Note Futures		09/2016		92,416,059			93,699,836			1,283,777
176	MSCL	U.S. Treasury Long Bond Futures		09/2016		28,963,188			30,332,500			1,369,312
						5,373,811,189			5,412,573,017			38,761,828
Short Contracts:
222	MSCL	Copper Futures^		09/2016		$(11,966,125	)		$(12,185,025	)		$(218,900	)
89	MSCL	Gasoline RBOB Futures^		07/2016		(5,642,641	)		(5,611,859	)		30,782
200	MSCL	Hard Red Winter Wheat Futures^		09/2016		(4,855,424	)		(4,225,000	)		630,424
7	MSCL	Heating Oil ULSD Futures^		07/2016		(432,620	)		(437,678	)		(5,058	)
80	MSCL	Live Cattle Futures^		08/2016		(3,643,206	)		(3,674,400	)		(31,194	)
4	JPPC	LME Aluminum Futures^		07/2016		(153,440	)		(164,300	)		(10,860	)
14	JPPC	LME Aluminum Futures^		07/2016		(527,416	)		(575,113	)		(47,697	)
2	JPPC	LME Aluminum Futures^		07/2016		(75,220	)		(82,168	)		(6,948	)
16	JPPC	LME Aluminum Futures^		07/2016		(624,761	)		(657,860	)		(33,099	)
18	JPPC	LME Aluminum Futures^		07/2016		(697,231	)		(740,174	)		(42,943	)
10	JPPC	LME Aluminum Futures^		07/2016		(388,976	)		(411,346	)		(22,370	)
9	JPPC	LME Aluminum Futures^		07/2016		(352,661	)		(370,253	)		(17,592	)
10	JPPC	LME Aluminum Futures^		07/2016		(400,351	)		(411,438	)		(11,087	)
13	JPPC	LME Aluminum Futures^		07/2016		(532,962	)		(534,544	)		(1,582	)
18	JPPC	LME Aluminum Futures^		07/2016		(740,197	)		(740,025	)		172
14	JPPC	LME Aluminum Futures^		07/2016		(577,459	)		(575,715	)		1,744
2	JPPC	LME Aluminum Futures^		07/2016		(82,445	)		(82,265	)		180
2	JPPC	LME Aluminum Futures^		08/2016		(81,870	)		(82,312	)		(442	)
37	JPPC	LME Aluminum Futures^		08/2016		(1,431,539	)		(1,523,781	)		(92,242	)
19	JPPC	LME Aluminum Futures^		08/2016		(732,886	)		(782,738	)		(49,852	)
19	JPPC	LME Aluminum Futures^		08/2016		(735,196	)		(782,800	)		(47,604	)
19	JPPC	LME Aluminum Futures^		08/2016		(733,172	)		(782,444	)		(49,272	)
35	JPPC	LME Aluminum Futures^		08/2016		(1,361,447	)		(1,440,688	)		(79,241	)
18	JPPC	LME Aluminum Futures^		08/2016		(693,952	)		(741,375	)		(47,423	)
18	JPPC	LME Aluminum Futures^		08/2016		(701,894	)		(741,487	)		(39,593	)
18	JPPC	LME Aluminum Futures^		08/2016		(696,846	)		(741,600	)		(44,754	)
28	JPPC	LME Aluminum Futures^		08/2016		(1,090,159	)		(1,153,775	)		(63,616	)
19	JPPC	LME Aluminum Futures^		09/2016		(739,207	)		(783,631	)		(44,424	)
17	JPPC	LME Aluminum Futures^		09/2016		(664,140	)		(701,250	)		(37,110	)
5	JPPC	LME Aluminum Futures^		09/2016		(194,238	)		(206,407	)		(12,169	)
11	JPPC	LME Aluminum Futures^		09/2016		(438,048	)		(454,162	)		(16,114	)
33	JPPC	LME Aluminum Futures^		09/2016		(1,311,744	)		(1,362,694	)		(50,950	)
17	JPPC	LME Aluminum Futures^		09/2016		(669,758	)		(702,117	)		(32,359	)
17	JPPC	LME Aluminum Futures^		09/2016		(682,933	)		(702,146	)		(19,213	)
18	JPPC	LME Aluminum Futures^		09/2016		(725,797	)		(743,481	)		(17,684	)
35	JPPC	LME Aluminum Futures^		09/2016		(1,414,381	)		(1,445,719	)		(31,338	)
223	JPPC	LME Aluminum Futures^		09/2016		(8,703,393	)		(9,205,718	)		(502,325	)
18	JPPC	LME Aluminum Futures^		09/2016		(728,956	)		(743,513	)		(14,557	)
17	JPPC	LME Aluminum Futures^		09/2016		(695,250	)		(701,463	)		(6,213	)
17	JPPC	LME Aluminum Futures^		09/2016		(687,039	)		(701,016	)		(13,977	)
16	JPPC	LME Aluminum Futures^		09/2016		(644,361	)		(659,720	)		(15,359	)
14	JPPC	LME Aluminum Futures^		09/2016		(569,503	)		(577,202	)		(7,699	)
12	JPPC	LME Aluminum Futures^		09/2016		(489,865	)		(494,700	)		(4,835	)
4	JPPC	LME Copper Futures^		07/2016		(477,163	)		(484,000	)		(6,837	)
3	JPPC	LME Copper Futures^		07/2016		(357,544	)		(363,026	)		(5,482	)
1	JPPC	LME Copper Futures^		07/2016		(117,709	)		(121,018	)		(3,309	)
4	JPPC	LME Copper Futures^		07/2016		(465,650	)		(484,103	)		(18,453	)
5	JPPC	LME Copper Futures^		07/2016		(582,020	)		(605,258	)		(23,238	)
9	JPPC	LME Copper Futures^		07/2016		(1,059,199	)		(1,089,542	)		(30,343	)
1	JPPC	LME Copper Futures^		07/2016		(120,569	)		(121,068	)		(499	)

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

AQR Funds Semi-Annual Report June 2016

135

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
54	JPPC	LME Copper Futures^		07/2016		$ (6,466,368	)		$ (6,537,173	)		$ (70,805	)
26	JPPC	LME Copper Futures^		07/2016		(3,105,623	)		(3,147,397	)		(41,774	)
25	JPPC	LME Copper Futures^		07/2016		(3,018,189	)		(3,026,219	)		(8,030	)
7	JPPC	LME Copper Futures^		07/2016		(879,095	)		(847,350	)		31,745
7	JPPC	LME Copper Futures^		07/2016		(878,483	)		(847,394	)		31,089
5	JPPC	LME Copper Futures^		07/2016		(626,019	)		(605,375	)		20,644
2	JPPC	LME Copper Futures^		07/2016		(246,441	)		(242,163	)		4,278
1	JPPC	LME Copper Futures^		07/2016		(123,489	)		(121,087	)		2,402
2	JPPC	LME Copper Futures^		07/2016		(245,373	)		(242,187	)		3,186
24	JPPC	LME Copper Futures^		08/2016		(2,931,345	)		(2,907,360	)		23,985
16	JPPC	LME Copper Futures^		08/2016		(1,887,101	)		(1,939,080	)		(51,979	)
32	JPPC	LME Copper Futures^		08/2016		(3,734,429	)		(3,878,400	)		(143,971	)
13	JPPC	LME Copper Futures^		08/2016		(1,509,845	)		(1,575,382	)		(65,537	)
3	JPPC	LME Copper Futures^		08/2016		(347,945	)		(363,525	)		(15,580	)
4	JPPC	LME Copper Futures^		08/2016		(459,070	)		(484,683	)		(25,613	)
13	JPPC	LME Copper Futures^		08/2016		(1,494,607	)		(1,575,168	)		(80,561	)
9	JPPC	LME Copper Futures^		08/2016		(1,027,162	)		(1,090,424	)		(63,262	)
10	JPPC	LME Copper Futures^		08/2016		(1,150,597	)		(1,211,542	)		(60,945	)
5	JPPC	LME Copper Futures^		08/2016		(580,336	)		(605,750	)		(25,414	)
8	JPPC	LME Copper Futures^		08/2016		(937,702	)		(969,218	)		(31,516	)
21	JPPC	LME Copper Futures^		09/2016		(2,409,204	)		(2,544,470	)		(135,266	)
35	JPPC	LME Copper Futures^		09/2016		(4,062,836	)		(4,240,854	)		(178,018	)
60	JPPC	LME Copper Futures^		09/2016		(6,885,769	)		(7,270,695	)		(384,926	)
31	JPPC	LME Copper Futures^		09/2016		(3,559,734	)		(3,756,588	)		(196,854	)
37	JPPC	LME Copper Futures^		09/2016		(4,176,770	)		(4,483,753	)		(306,983	)
27	JPPC	LME Copper Futures^		09/2016		(3,056,403	)		(3,272,218	)		(215,815	)
9	JPPC	LME Copper Futures^		09/2016		(1,028,553	)		(1,090,778	)		(62,225	)
211	JPPC	LME Copper Futures^		09/2016		(24,202,483	)		(25,573,200	)		(1,370,717	)
9	JPPC	LME Copper Futures^		09/2016		(1,061,528	)		(1,090,238	)		(28,710	)
19	JPPC	LME Copper Futures^		09/2016		(2,237,400	)		(2,301,494	)		(64,094	)
16	JPPC	LME Copper Futures^		09/2016		(1,924,411	)		(1,938,032	)		(13,621	)
6	JPPC	LME Copper Futures^		09/2016		(724,785	)		(726,750	)		(1,965	)
1	JPPC	LME Nickel Futures^		07/2016		(55,363	)		(56,460	)		(1,097	)
4	JPPC	LME Nickel Futures^		07/2016		(227,798	)		(225,853	)		1,945
3	JPPC	LME Nickel Futures^		07/2016		(164,873	)		(169,401	)		(4,528	)
1	JPPC	LME Nickel Futures^		07/2016		(54,538	)		(56,478	)		(1,940	)
6	JPPC	LME Nickel Futures^		08/2016		(342,702	)		(339,048	)		3,654
2	JPPC	LME Nickel Futures^		08/2016		(112,975	)		(113,023	)		(48	)
7	JPPC	LME Nickel Futures^		08/2016		(391,881	)		(395,604	)		(3,723	)
3	JPPC	LME Nickel Futures^		08/2016		(156,187	)		(169,658	)		(13,471	)
2	JPPC	LME Nickel Futures^		08/2016		(104,459	)		(113,112	)		(8,653	)
2	JPPC	LME Nickel Futures^		08/2016		(103,514	)		(113,118	)		(9,604	)
8	JPPC	LME Nickel Futures^		08/2016		(410,544	)		(452,491	)		(41,947	)
4	JPPC	LME Nickel Futures^		08/2016		(201,210	)		(226,290	)		(25,080	)
5	JPPC	LME Nickel Futures^		08/2016		(251,384	)		(282,876	)		(31,492	)
3	JPPC	LME Nickel Futures^		08/2016		(151,082	)		(169,734	)		(18,652	)
10	JPPC	LME Nickel Futures^		08/2016		(505,484	)		(565,807	)		(60,323	)
3	JPPC	LME Nickel Futures^		09/2016		(150,818	)		(169,791	)		(18,973	)
9	JPPC	LME Nickel Futures^		09/2016		(457,219	)		(509,399	)		(52,180	)
4	JPPC	LME Nickel Futures^		09/2016		(208,541	)		(226,443	)		(17,902	)
4	JPPC	LME Nickel Futures^		09/2016		(206,411	)		(226,455	)		(20,044	)
2	JPPC	LME Nickel Futures^		09/2016		(105,774	)		(113,233	)		(7,459	)
8	JPPC	LME Nickel Futures^		09/2016		(427,720	)		(453,106	)		(25,386	)
62	JPPC	LME Nickel Futures^		09/2016		(3,163,507	)		(3,512,424	)		(348,917	)
5	JPPC	LME Nickel Futures^		09/2016		(275,385	)		(283,246	)		(7,861	)
2	JPPC	LME Nickel Futures^		09/2016		(111,235	)		(113,308	)		(2,073	)

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

AQR Funds Semi-Annual Report June 2016

136

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
4	JPPC	LME Nickel Futures^		09/2016		$ (218,190	)		$ (226,656	)		$ (8,466	)
4	JPPC	LME Nickel Futures^		09/2016		(220,586	)		(226,664	)		(6,078	)
3	JPPC	LME Nickel Futures^		09/2016		(167,933	)		(170,004	)		(2,071	)
3	JPPC	LME Nickel Futures^		09/2016		(709,781	)		(708,375	)		1,406
1	JPPC	LME Zinc Futures^		07/2016		(46,773	)		(52,535	)		(5,762	)
2	JPPC	LME Zinc Futures^		07/2016		(95,137	)		(105,062	)		(9,925	)
1	JPPC	LME Zinc Futures^		07/2016		(46,948	)		(52,533	)		(5,585	)
1	JPPC	LME Zinc Futures^		07/2016		(48,494	)		(52,533	)		(4,039	)
5	JPPC	LME Zinc Futures^		08/2016		(228,298	)		(263,125	)		(34,827	)
7	JPPC	LME Zinc Futures^		08/2016		(321,210	)		(368,395	)		(47,185	)
15	JPPC	LME Zinc Futures^		08/2016		(704,570	)		(789,453	)		(84,883	)
22	JPPC	LME Zinc Futures^		09/2016		(1,096,941	)		(1,158,278	)		(61,337	)
10	JPPC	LME Zinc Futures^		09/2016		(506,226	)		(526,598	)		(20,372	)
1	JPPC	LME Zinc Futures^		09/2016		(50,616	)		(52,665	)		(2,049	)
4	JPPC	LME Zinc Futures^		09/2016		(207,139	)		(210,671	)		(3,532	)
4	JPPC	LME Zinc Futures^		09/2016		(206,988	)		(210,714	)		(3,726	)
2	JPPC	LME Zinc Futures^		09/2016		(102,045	)		(105,362	)		(3,317	)
3	JPPC	LME Zinc Futures^		09/2016		(152,693	)		(158,029	)		(5,336	)
6	JPPC	LME Zinc Futures^		09/2016		(301,785	)		(316,027	)		(14,242	)
26	JPPC	LME Zinc Futures^		09/2016		(1,276,037	)		(1,369,062	)		(93,025	)
3	JPPC	LME Zinc Futures^		09/2016		(150,143	)		(157,984	)		(7,841	)
2	JPPC	LME Zinc Futures^		09/2016		(102,295	)		(105,237	)		(2,942	)
7	JPPC	LME Zinc Futures^		09/2016		(350,858	)		(368,268	)		(17,410	)
3	JPPC	LME Zinc Futures^		09/2016		(152,130	)		(157,832	)		(5,702	)
1,424	MSCL	Natural Gas Futures^		07/2016		(37,349,355	)		(41,637,760	)		(4,288,405	)
73	MSCL	NYMEX Palladium Futures^		09/2016		(3,976,695	)		(4,360,655	)		(383,960	)
18	MSCL	Platinum Futures^		10/2016		(888,485	)		(921,870	)		(33,385	)
71	MSCL	Soybean Oil Futures^		12/2016		(1,397,105	)		(1,366,182	)		30,923
335	MSCL	Wheat Futures^		09/2016		(7,827,770	)		(7,462,125	)		365,645
939	MSCL	WTI Crude Futures^		07/2016		(46,737,213	)		(45,381,870	)		1,355,343
16	BARC	CAC40 Index Futures		07/2016		(745,755	)		(751,789	)		(6,034	)
37	BARC	E-Mini DJIA CBOT Futures		09/2016		(3,191,334	)		(3,296,515	)		(105,181	)
12	JPMS	E-Mini MSCI EAFE Index Futures		09/2016		(936,753	)		(969,120	)		(32,367	)
124	BARC	E-Mini MSCI Emerging Markets Index Futures		09/2016		(5,030,892	)		(5,175,140	)		(144,248	)
964	BARC	E-Mini Russell 2000 Futures		09/2016		(110,686,296	)		(110,609,360	)		76,936
1,076	JPMS	FTSE/JSE Top 40 Index Futures		09/2016		(33,890,556	)		(33,932,575	)		(42,019	)
770	BARC	FTSE/MIB Index Futures		09/2016		(69,142,442	)		(69,176,655	)		(34,213	)
54	BARC	Hang Seng Index Futures		07/2016		(6,970,298	)		(7,290,045	)		(319,747	)
142	BARC	H-SHARES Index Futures		07/2016		(7,689,556	)		(7,984,881	)		(295,325	)
664	BARC	MSCI Singapore Index Futures		07/2016		(14,989,678	)		(15,640,056	)		(650,378	)
159	BARC	MSCI Taiwan Stock Index Futures		07/2016		(4,890,388	)		(5,048,250	)		(157,862	)
132	BARC	NASDAQ 100 E-Mini Futures		09/2016		(11,185,191	)		(11,634,480	)		(449,289	)
119	JPMS	Nikkei 225 Futures		09/2016		(18,990,652	)		(17,942,478	)		1,048,174
173	JPMS	OMXS30 Index Futures		07/2016		(2,627,052	)		(2,696,000	)		(68,948	)
1,368	BARC	S&P 500 E-Mini Futures		09/2016		(138,574,456	)		(142,969,680	)		(4,395,224	)
178	JPMS	SGX FTSE China A50 Index Futures		07/2016		(1,612,209	)		(1,643,830	)		(31,621	)
259	BARC	SGX S&P CNX Nifty Index Futures		07/2016		(4,211,447	)		(4,317,789	)		(106,342	)
271	GSCO	10-Year Japanese Government Bond Futures		09/2016		(399,221,973	)		(401,310,415	)		(2,088,442	)
1,149	JPMS	90-Day EURODollar Futures		12/2016		(284,925,357	)		(285,311,063	)		(385,706	)
1,153	JPMS	90-Day EURODollar Futures		03/2017		(285,779,151	)		(286,246,663	)		(467,512	)
1,191	JPMS	90-Day EURODollar Futures		06/2017		(295,251,934	)		(295,576,425	)		(324,491	)
2,116	JPMS	Australia 10-Year Bond Futures		09/2016		(212,720,207	)		(214,938,238	)		(2,218,031	)
2,143	GSCO	Canadian 10-Year Bond Futures		09/2016		(239,870,950	)		(245,558,822	)		(5,687,872	)

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

AQR Funds Semi-Annual Report June 2016

137

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
128	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2016		$ (24,549,422	)		$ (24,550,796	)		$ (1,374	)
146	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2016		(28,003,493	)		(28,007,489	)		(3,996	)
94	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2017		(18,030,821	)		(18,034,038	)		(3,217	)
60	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2017		(11,507,175	)		(11,511,668	)		(4,493	)
28	JPMS	Euro CHF 3-Month Futures		03/2017		(7,231,401	)		(7,245,878	)		(14,477	)
34	JPMS	Euro CHF 3-Month LIFFE Futures		09/2016		(8,774,503	)		(8,790,732	)		(16,229	)
40	JPMS	Euro CHF 3-Month LIFFE Futures		12/2016		(10,326,640	)		(10,348,183	)		(21,543	)
						(2,525,008,683	)		(2,550,818,999	)		(25,810,316	)
						$2,848,802,506			$2,861,754,018			$12,951,512

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

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		121,602,400		$88,950,361		$90,429,132		$1,478,771
Australian Dollar, Expiring 09/21/16	JPMC	AUD		182,403,600		133,425,821		135,643,696		2,217,875
Brazilian Real, Expiring 09/21/16*	CITI	BRL		88,757,400		25,489,835		26,967,695		1,477,860
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		112,545,600		32,462,284		34,195,404		1,733,120
Canadian Dollar, Expiring 09/21/16	CITI	CAD		108,059,981		83,267,515		83,654,137		386,622
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		162,517,106		125,236,161		125,811,869		575,708
Swiss Franc, Expiring 09/21/16	CITI	CHF		3,308,000		3,352,847		3,403,207		50,360
Swiss Franc, Expiring 09/21/16	JPMC	CHF		4,962,000		5,029,332		5,104,811		75,479
Chilean Peso, Expiring 09/21/16*	CITI	CLP		6,709,487,200		9,941,842		10,064,923		123,081
Chilean Peso, Expiring 09/21/16*	JPMC	CLP		10,064,230,800		14,912,780		15,097,382		184,602
Colombian Peso, Expiring 09/21/16*	CITI	COP		1,144,218,000		382,791		385,213		2,422
Colombian Peso, Expiring 09/21/16*	JPMC	COP		944,448,000		314,608		317,958		3,350
Czech Republic Koruna, Expiring 09/21/16	CITI	CZK		371,188,000		15,399,224		15,257,342		(141,882	)
Czech Republic Koruna, Expiring 09/21/16	JPMC	CZK		556,782,000		23,098,864		22,886,012		(212,852	)
Euro, Expiring 09/21/16	CITI	EUR		39,402,090		44,224,589		43,854,407		(370,182	)

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

AQR Funds Semi-Annual Report June 2016

138

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 04/05/17	CITI	EUR		3,562		$ 3,963		$ 3,996		$ 33
Euro, Expiring 09/21/16	JPMC	EUR		59,596,571		66,901,623		66,330,802		(570,821	)
British Pound, Expiring 09/21/16	CITI	GBP		44,879,800		65,229,978		59,792,367		(5,437,611	)
British Pound, Expiring 09/21/16	JPMC	GBP		65,692,200		95,454,306		87,520,267		(7,934,039	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		1,355,792,600		4,907,543		4,764,381		(143,162	)
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		2,013,827,400		7,289,304		7,076,776		(212,528	)
Indonesian Rupiah, Expiring 09/21/16*	CITI	IDR		94,155,668,200		6,888,826		7,026,366		137,540
Indonesian Rupiah, Expiring 09/21/16*	JPMC	IDR		117,561,967,800		8,582,560		8,773,062		190,502
Israeli Shekel, Expiring 09/21/16	CITI	ILS		647,000		168,705		167,960		(745	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		700,757,200		10,224,239		10,239,882		15,643
Indian Rupee, Expiring 09/21/16*	JPMC	INR		1,051,135,800		15,336,375		15,359,823		23,448
Japanese Yen, Expiring 09/21/16	CITI	JPY		27,167,401,202		248,635,928		263,804,295		15,168,367
Japanese Yen, Expiring 09/21/16	JPMC	JPY		40,751,101,800		372,954,354		395,706,439		22,752,085
Korean Won, Expiring 09/21/16*	CITI	KRW		35,825,172,400		30,410,831		31,077,479		666,648
Korean Won, Expiring 09/21/16*	JPMC	KRW		43,134,018,600		36,545,480		37,417,726		872,246
Mexican Peso, Expiring 09/21/16	CITI	MXN		387,077,200		20,502,817		21,003,578		500,761
Mexican Peso, Expiring 09/21/16	JPMC	MXN		580,615,800		30,749,138		31,505,366		756,228
Malaysian Ringgit, Expiring 09/21/16*	CITI	MYR		62,673,000		15,220,113		15,462,538		242,425
Malaysian Ringgit, Expiring 09/21/16*	JPMC	MYR		92,364,000		22,426,456		22,787,830		361,374
Norwegian Krone, Expiring 09/21/16	CITI	NOK		56,310,400		6,834,595		6,727,624		(106,971	)
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		84,465,600		10,251,904		10,091,435		(160,469	)
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		165,105,200		112,025,507		117,409,931		5,384,424
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		247,657,798		168,038,467		176,114,892		8,076,425
Philippine Peso, Expiring 09/21/16*	CITI	PHP		135,658,800		2,890,273		2,873,733		(16,540	)
Philippine Peso, Expiring 09/21/16*	JPMC	PHP		203,488,200		4,335,413		4,310,600		(24,813	)
Poland Zloty, Expiring 09/21/16	CITI	PLN		56,536,400		14,611,691		14,304,135		(307,556	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		84,804,600		21,918,951		21,456,200		(462,751	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		48,114,400		5,942,430		5,706,716		(235,714	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Swedish Krona, Expiring 09/21/16	JPMC	SEK		72,171,600		$ 8,913,656		$ 8,560,074		$ (353,582	)
Singapore Dollar, Expiring 09/21/16	CITI	SGD		44,640,800		32,677,461		33,110,747		433,286
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		66,961,200		49,016,001		49,666,120		650,119
Turkish Lira, Expiring 09/21/16	CITI	TRY		203,610,000		67,256,279		69,486,061		2,229,782
Turkish Lira, Expiring 09/21/16	JPMC	TRY		305,415,000		100,880,913		104,229,091		3,348,178
New Taiwan Dollar, Expiring 09/21/16*	CITI	TWD		74,708,000		2,304,003		2,320,003		16,000
New Taiwan Dollar, Expiring 09/21/16*	JPMC	TWD		96,450,000		2,977,404		2,995,184		17,780
South African Rand, Expiring 09/21/16	CITI	ZAR		381,551,399		24,490,953		25,489,625		998,672
South African Rand, Expiring 09/21/16	JPMC	ZAR		536,928,599		34,454,902		35,869,630		1,414,728
						$2,333,742,196		$2,389,615,922		$55,873,726

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		(66,612,800	)		$(47,926,373	)		$(49,536,339	)		$(1,609,966	)
Australian Dollar, Expiring 09/21/16	JPMC	AUD		(99,919,200	)		(71,889,470	)		(74,304,508	)		(2,415,038	)
Brazilian Real, Expiring 09/21/16*	CITI	BRL		(13,800,000	)		(3,797,493	)		(4,192,937	)		(395,444	)
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		(13,200,000	)		(3,647,902	)		(4,010,635	)		(362,733	)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(46,525,600	)		(35,859,890	)		(36,017,580	)		(157,690	)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		(69,788,400	)		(53,790,016	)		(54,026,367	)		(236,351	)
Swiss Franc, Expiring 09/21/16	CITI	CHF		(155,692,400	)		(158,366,057	)		(160,173,362	)		(1,807,305	)
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(232,377,600	)		(236,340,020	)		(239,065,626	)		(2,725,606	)
Chilean Peso, Expiring 09/21/16*	CITI	CLP		(22,456,952,200	)		(32,162,315	)		(33,687,741	)		(1,525,426	)
Chilean Peso, Expiring 09/21/16*	JPMC	CLP		(29,321,008,800	)		(41,941,191	)		(43,984,532	)		(2,043,341	)
Colombian Peso, Expiring 09/21/16*	CITI	COP		(497,173,200	)		(156,542	)		(167,379	)		(10,837	)
Colombian Peso, Expiring 09/21/16*	JPMC	COP		(357,742,800	)		(113,064	)		(120,437	)		(7,373	)
Czech Republic Koruna, Expiring 09/21/16	CITI	CZK		(208,000,000	)		(8,634,343	)		(8,549,649	)		84,694
Czech Republic Koruna, Expiring 09/21/16	JPMC	CZK		(312,000,000	)		(12,949,531	)		(12,824,474	)		125,057
Euro, Expiring 09/21/16	CITI	EUR		(78,824,385	)		(88,922,391	)		(87,731,303	)		1,191,088
Euro, Expiring 04/05/17	CITI	EUR		(3,562	)		(4,751	)		(3,996	)		755

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 09/21/16	JPMC	EUR		(111,367,800	)		$ (125,662,840	)		$ (123,952,024	)		$ 1,710,816
British Pound, Expiring 09/21/16	CITI	GBP		(92,834,000	)		(135,132,495	)		(123,680,689	)		11,451,806
British Pound, Expiring 09/21/16	JPMC	GBP		(139,250,998	)		(202,697,574	)		(185,521,030	)		17,176,544
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(14,769,400	)		(1,904,398	)		(1,905,586	)		(1,188	)
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		(15,117,600	)		(1,948,936	)		(1,950,511	)		(1,575	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		(8,245,369,600	)		(29,360,952	)		(28,974,995	)		385,957
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		(12,368,054,400	)		(44,042,079	)		(43,462,493	)		579,586
Indonesian Rupiah, Expiring 09/21/16*	CITI	IDR		(68,307,232,800	)		(4,994,198	)		(5,097,426	)		(103,228	)
Indonesian Rupiah, Expiring 09/21/16*	JPMC	IDR		(50,696,485,200	)		(3,655,790	)		(3,783,225	)		(127,435	)
Israeli Shekel, Expiring 09/21/16	CITI	ILS		(86,994,801	)		(22,696,116	)		(22,583,681	)		112,435
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		(130,492,200	)		(34,042,008	)		(33,875,521	)		166,487
Indian Rupee, Expiring 09/21/16*	CITI	INR		(227,554,000	)		(3,316,454	)		(3,325,155	)		(8,701	)
Indian Rupee, Expiring 09/21/16*	JPMC	INR		(192,405,000	)		(2,800,462	)		(2,811,536	)		(11,074	)
Japanese Yen, Expiring 09/21/16	CITI	JPY		(8,094,052,800	)		(78,220,945	)		(78,595,885	)		(374,940	)
Japanese Yen, Expiring 09/21/16	JPMC	JPY		(12,141,079,200	)		(117,331,268	)		(117,893,825	)		(562,557	)
Korean Won, Expiring 09/21/16*	CITI	KRW		(105,760,047,601	)		(89,417,052	)		(91,744,304	)		(2,327,252	)
Korean Won, Expiring 09/21/16*	JPMC	KRW		(158,608,451,400	)		(134,098,456	)		(137,589,023	)		(3,490,567	)
Mexican Peso, Expiring 09/21/16	CITI	MXN		(1,007,595,001	)		(53,770,470	)		(54,674,105	)		(903,635	)
Mexican Peso, Expiring 09/21/16	JPMC	MXN		(1,492,395,001	)		(79,659,606	)		(80,980,314	)		(1,320,708	)
Malaysian Ringgit, Expiring 09/21/16*	CITI	MYR		(16,333,600	)		(3,958,765	)		(4,029,788	)		(71,023	)
Malaysian Ringgit, Expiring 09/21/16*	JPMC	MYR		(23,456,400	)		(5,686,409	)		(5,787,108	)		(100,699	)
Norwegian Krone, Expiring 09/21/16	CITI	NOK		(240,874,001	)		(28,917,932	)		(28,778,159	)		139,773
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		(361,311,000	)		(43,375,990	)		(43,167,241	)		208,749
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		(6,718,400	)		(4,737,776	)		(4,777,601	)		(39,825	)
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		(10,077,600	)		(7,107,311	)		(7,166,403	)		(59,092	)
Philippine Peso, Expiring 09/21/16*	CITI	PHP		(86,234,200	)		(1,841,361	)		(1,826,746	)		14,615
Philippine Peso, Expiring 09/21/16*	JPMC	PHP		(123,991,800	)		(2,647,060	)		(2,626,584	)		20,476
Poland Zloty, Expiring 09/21/16	CITI	PLN		(79,656,000	)		(20,111,018	)		(20,153,566	)		(42,548	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		(119,484,000	)		$ (30,167,228	)		$ (30,230,349	)		$ (63,121	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		(709,005,200	)		(85,637,361	)		(84,093,152	)		1,544,209
Swedish Krona, Expiring 09/21/16	JPMC	SEK		(1,063,507,798	)		(128,452,137	)		(126,139,724	)		2,312,413
Singapore Dollar, Expiring 09/21/16	CITI	SGD		(8,439,000	)		(6,217,980	)		(6,259,331	)		(41,351	)
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		(12,132,000	)		(8,946,772	)		(8,998,484	)		(51,712	)
Turkish Lira, Expiring 09/21/16	CITI	TRY		(4,420,000	)		(1,469,151	)		(1,508,415	)		(39,264	)
Turkish Lira, Expiring 09/21/16	JPMC	TRY		(6,630,000	)		(2,203,766	)		(2,262,622	)		(58,856	)
New Taiwan Dollar, Expiring 09/21/16*	CITI	TWD		(251,939,202	)		(7,757,040	)		(7,823,788	)		(66,748	)
New Taiwan Dollar, Expiring 09/21/16*	JPMC	TWD		(175,828,801	)		(5,394,257	)		(5,460,233	)		(65,976	)
South African Rand, Expiring 09/21/16	CITI	ZAR		(122,508,000	)		(7,668,913	)		(8,184,174	)		(515,261	)
South African Rand, Expiring 09/21/16	JPMC	ZAR		(183,762,000	)		(11,504,231	)		(12,276,261	)		(772,030	)
							(2,375,055,906	)		(2,362,347,922	)		12,707,984
							$(41,313,710	)		$27,268,000			$68,581,710

* 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 June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at June 30, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	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.	43-67 months maturity 08/12/2019		$213,130

* 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 swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stock
United States
Herbalife Ltd.		(89,908	)	$	(5,509,562	)	$	247,247
Net Cash and Other Receivables/(Payables) (b)								(34,117	)
Swaps, at Value							$	213,130

(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)
DTBK	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		$4,411,898

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
BHP Billiton plc		293,794	$	3,096,073	$	622,460
Germany
TUI AG		179,605		2,668,393		(624,141	)
Ireland
DCC plc		68,168		3,200,710		2,798,049

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg
Regus plc		467,801	$	1,922,136	$	(113,315	)
Netherlands
Royal Dutch Shell plc		77,396		1,709,485		416,209
South Africa
Investec plc		595,286		3,956,973		(256,816	)
Mondi plc		164,730		2,414,741		669,412
						412,596

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
Coca-Cola HBC AG		56,771	$	1,094,297	$	54,436
Glencore plc		382,014		729,631		57,746
Wolseley plc		48,299		2,662,074		(160,977	)
						(48,795	)
United Kingdom
AA plc		72,118		271,038		(40,143	)
Amec Foster Wheeler plc		314,717		1,886,056		183,241
AstraZeneca plc		21,778		1,103,855		198,110
Aviva plc		366,999		2,262,068		(327,511	)
BAE Systems plc		258,708		1,594,674		216,428
Balfour Beatty plc		76,955		246,947		(25,752	)
Barclays plc		1,896,776		4,495,636		(967,848	)
Barratt Developments plc		711,918		3,710,236		158,345
Bellway plc		21,757		711,117		(159,195	)
Berkeley Group Holdings plc		87,839		3,326,320		(360,199	)
Booker Group plc		402,422		947,351		(15,428	)
BP plc		1,401,481		6,763,366		1,440,228
Britvic plc		124,543		1,199,085		(224,507	)
BT Group plc		842,833		5,207,636		(574,921	)
Close Brothers Group plc		153,059		3,005,413		(685,306	)
Direct Line Insurance Group plc		1,101,822		4,900,021		193,872
Dixons Carphone plc		243,338		1,422,890		(378,466	)
DS Smith plc		655,950		2,898,446		495,252
GKN plc		504,802		2,316,004		(490,915	)
GlaxoSmithKline plc		8,402		157,433		23,000
Halma plc		21,426		192,419		98,996
Hays plc		1,656,417		3,100,358		(936,087	)
Henderson Group plc		301		985		(129	)
Howden Joinery Group plc		385,703		2,498,578		(517,582	)
ICAP plc		12,274		62,370		6,692
Imperial Brands plc		243,471		10,540,379		2,663,730
Inchcape plc		621,551		5,269,292		(43,085	)
Indivior plc		53,421		111,865		67,887
Informa plc		229,891		1,893,696		348,050
Intermediate Capital Group plc		575,738		4,299,914		(527,751	)
John Wood Group plc		240,449		1,986,786		226,582
Johnson Matthey plc		242		9,255		(178	)
Jupiter Fund Management plc		169,609		940,956		(108,088	)
Kingfisher plc		1,363,528		6,424,042		(567,574	)
Legal & General Group plc		94,919		279,125		(36,123	)
Lloyds Banking Group plc		3,102,362		2,830,486		(583,475	)
Man Group plc		1,695,440		3,567,872		(933,688	)
Melrose Industries plc		166,760		1,240,733		(293,353	)
Merlin Entertainments plc		45,706		262,369		6,793

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Micro Focus International plc		3,242		$	66,617		$	3,326
National Grid plc		171,226			2,193,615			324,320
Persimmon plc		125,204			2,925,735			(497,817	)
Provident Financial plc		27,683			953,938			(100,364	)
Reckitt Benckiser Group plc		27,069			2,107,871			606,382
Rentokil Initial plc		1,372,455			2,361,371			1,182,871
Rightmove plc		5,187			273,160			(19,822	)
Rio Tinto plc		78,780			2,175,803			271,619
Royal Mail plc		252,011			1,583,252			109,895
Sage Group plc (The)		344,091			2,302,019			672,152
Sky plc		105,922			1,334,652			(131,013	)
Smith & Nephew plc		228,379			3,421,543			456,601
Spectris plc		18,787			438,910			18,397
SSE plc		20,543			401,898			25,667
Tate & Lyle plc		143,259			1,124,948			155,925
Taylor Wimpey plc		2,033,673			4,759,955			(1,152,043	)
Travis Perkins plc		108,515			2,647,174			(506,178	)
UBM plc		109,041			910,408			24,761
Vedanta Resources plc		133,055			574,195			169,318
Vodafone Group plc		1,404,315			4,321,394			(39,835	)
William Hill plc		750,535			3,447,077			(861,823	)
WM Morrison Supermarkets plc		452,614			1,080,123			56,121
Worldpay Group plc		49,078			165,386			13,243
WPP plc		254,345			4,524,377			776,531
								(911,864	)
Total of Long Equity Positions								2,551,199
Short Positions
Common Stocks
Chile
Antofagasta plc		(643,477	)		(4,127,633	)		103,966
Ireland
Experian plc		(170,146	)		(2,528,808	)		(699,214	)
Shire plc		(114,014	)		(6,372,326	)		(674,026	)
								(1,373,240	)
Luxembourg
B&M European Value Retail SA		(22,528	)		(77,881	)		1,116
United Kingdom
Aberdeen Asset Management plc		(2,330,738	)		(10,984,332	)		2,239,654
Admiral Group plc		(475,385	)		(8,688,541	)		(4,237,210	)
Aggreko plc		(343,443	)		(6,751,458	)		877,542
Anglo American plc		(1,860	)		(13,813	)		(4,419	)
ARM Holdings plc		(161,143	)		(2,087,657	)		(360,061	)
Ashtead Group plc		(303,327	)		(3,822,790	)		(509,911	)
ASOS plc		(30,398	)		(1,287,836	)		(335,999	)
Associated British Foods plc		(16,359	)		(718,375	)		122,280

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

AQR Funds Semi-Annual Report June 2016

144

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Auto Trader Group plc		(38,212	)	$	(197,971	)	$	17,333
Babcock International Group plc		(8,986	)		(118,757	)		10,114
British American Tobacco plc		(86,249	)		(4,215,425	)		(1,376,016	)
BTG plc		(340,538	)		(2,774,619	)		(514,396	)
Bunzl plc		(35,406	)		(884,078	)		(205,313	)
Burberry Group plc		(265,232	)		(5,439,049	)		1,313,252
Capita plc		(374,564	)		(5,300,618	)		474,168
Centrica plc		(982,824	)		(3,356,862	)		384,809
Cobham plc		(51,160	)		(176,841	)		69,056
Compass Group plc		(5,517	)		(88,623	)		(16,340	)
Croda International plc		(73,010	)		(2,343,299	)		(721,543	)
Daily Mail & General Trust plc		(45,317	)		(414,118	)		52,355
Diageo plc		(129,050	)		(3,078,418	)		(526,679	)
Drax Group plc		(598,146	)		(2,795,713	)		199,656
easyJet plc		(108,817	)		(2,138,968	)		557,681
Essentra plc		(138,433	)		(1,473,184	)		523,395
G4S plc		(192,989	)		(491,469	)		18,576
Greene King plc		(28,584	)		(323,096	)		25,425
Hargreaves Lansdown plc		(650,545	)		(8,752,222	)		(2,099,540	)
Hiscox Ltd.		(22,748	)		(282,863	)		(31,229	)
HSBC Holdings plc		(50,207	)		(325,994	)		14,934
IMI plc		(150,298	)		(2,547,422	)		599,665
Inmarsat plc		(64,436	)		(642,865	)		(51,554	)
InterContinental Hotels Group plc		(65,906	)		(2,421,159	)		(9,472	)
International Consolidated Airlines Group SA		(138,771	)		(876,628	)		188,366
Intertek Group plc		(114,399	)		(3,932,271	)		(1,397,956	)
ITV plc		(929,259	)		(2,583,036	)		354,974
J Sainsbury plc		(971,804	)		(3,392,998	)		365,643
Just Eat plc		(322,191	)		(1,639,277	)		(199,963	)
Marks & Spencer Group plc		(188,254	)		(1,307,757	)		501,554
Meggitt plc		(10,956	)		(54,722	)		(4,829	)
Next plc		(34,882	)		(2,675,287	)		370,428
Ocado Group plc		(109,868	)		(390,644	)		51,646
Old Mutual plc		(1,340,412	)		(3,648,207	)		27,128
Pearson plc		(104,839	)		(1,229,390	)		(134,368	)
Pennon Group plc		(208,241	)		(2,261,911	)		(371,774	)
Petrofac Ltd.		(145,875	)		(1,722,551	)		206,238
Playtech plc		(136	)		(1,394	)		(52	)
Prudential plc		(140,490	)		(2,612,438	)		228,476
Rolls-Royce Holdings plc (3)		(13,370,578	)		1,735			(19,535	)
Rolls-Royce Holdings plc		(205,720	)		(1,699,462	)		(264,130	)
Rotork plc		(674,708	)		(1,685,404	)		(267,898	)
Royal Bank of Scotland Group plc		(950,647	)		(3,062,142	)		907,829
RSA Insurance Group plc		(122,933	)		(764,426	)		(59,516	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Schroders plc		(53,061	)	$	(1,830,694	)	$	153,931
Serco Group plc		(427,536	)		(618,274	)		(17,988	)
Severn Trent plc		(17,235	)		(504,972	)		(57,392	)
Smiths Group plc		(42,530	)		(585,821	)		(71,405	)
Spirax-Sarco Engineering plc		(14,458	)		(587,785	)		(136,192	)
Sports Direct International plc		(480,842	)		(4,478,495	)		2,419,695
St. James’s Place plc		(265,105	)		(3,254,697	)		458,958
Stagecoach Group plc		(74,270	)		(242,254	)		12,565
Standard Chartered plc		(833,088	)		(9,381,175	)		3,060,557
Standard Life plc		(776,361	)		(4,673,219	)		1,610,196
Tesco plc		(2,249,174	)		(5,534,689	)		252,287
Thomas Cook Group plc		(254,808	)		(269,878	)		55,745
United Utilities Group plc		(178,740	)		(2,194,841	)		(282,554	)
Weir Group plc (The)		(117,360	)		(2,566,978	)		300,350
Whitbread plc		(31,289	)		(1,616,349	)		152,360
								4,893,587
Total of Short Equity Positions								3,625,429
Total of Long and Short Equity Positions								6,176,628
Net Cash and Other Receivables/ (Payables) (b)								(1,764,730	)
Swaps, at Value							$	4,411,898

(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 Semi-Annual Report June 2016

145

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$(2,975,423	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		6,673	$	716,622	$	14,543
Air France-KLM		195,904		1,484,815		(248,499	)
Atos SE		131,887		9,835,662		1,038,283
BNP Paribas SA		96,265		4,763,895		(542,142	)
Bouygues SA		21,770		768,275		(144,601	)
Capgemini SA		65,461		5,937,733		(288,919	)
Casino Guichard Perrachon SA		23,562		1,335,757		(27,865	)
Christian Dior SE		4,713		827,880		(72,896	)
Cie Generale des Etablissements Michelin		75,127		6,675,805		404,210
CNP Assurances		118,626		1,890,466		(140,287	)
Dassault Systemes		2,722		215,826		(10,598	)
Eiffage SA		44,763		2,749,291		432,913
Engie SA		191,872		2,898,722		182,102
Faurecia		101,702		3,791,741		(562,953	)
Iliad SA		16,018		3,560,757		(327,297	)
Imerys SA		11,204		727,860		(12,978	)
Ipsen SA		19,992		1,235,403		(10,475	)
Lagardere SCA		295,664		8,216,398		(1,785,098	)
Numericable-SFR SA		27,140		949,137		(270,913	)
Orange SA		312,652		5,370,251		(286,371	)
Orpea		490		39,902		277
Peugeot SA		715,669		12,411,241		(3,833,167	)
Renault SA		30,826		2,592,661		(265,374	)
Rexel SA		120,490		2,101,502		(586,654	)
Safran SA		27,624		1,892,886		(32,636	)
Sanofi		75,326		7,377,344		(1,119,054	)
SCOR SE		69,396		2,270,982		(219,286	)
SEB SA		5,784		572,858		124,555
Societe BIC SA		19,555		2,034,945		720,244
Societe Generale SA		123,377		4,736,933		(876,971	)
Sodexo SA		10,061		1,008,423		69,406
Suez		230,708		3,375,454		223,018
Teleperformance		27,969		2,286,653		95,804
Television Francaise 1		112,934		1,664,749		(468,742	)
Thales SA		55,109		3,750,425		826,061
Valeo SA		133,770		3,760,985		2,177,612

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Veolia Environnement SA		155,502		$	3,553,411		$	(195,404	)
Vinci SA		28,102			1,796,450			186,620
								(5,833,532	)
Portugal
Galp Energia SGPS SA		192,776			2,258,119			423,073
NOS SGPS SA		57,293			448,018			(101,299	)
Sonae SGPS SA		399,218			441,445			(127,842	)
								193,932
Total of Long Equity Positions								(5,639,600	)
Short Positions
Common Stocks
France
Accor SA		(143,586	)		(5,337,622	)		(164,040	)
Air Liquide SA		(29,239	)		(3,095,972	)		49,804
Airbus Group SE		(7,130	)		(444,600	)		35,909
Alstom SA		(49,537	)		(1,277,448	)		133,711
Arkema SA		(4,792	)		(330,549	)		(35,812	)
AXA SA		(10,564	)		(266,161	)		57,283
BioMerieux		(866	)		(109,520	)		(7,823	)
Bollore SA		(303,963	)		(1,565,056	)		541,759
Bureau Veritas SA		(154,117	)		(3,335,195	)		99,503
Carrefour SA		(93,548	)		(2,782,725	)		481,852
Cie de Saint-Gobain		(6,420	)		(221,664	)		(21,690	)
Credit Agricole SA		(251,274	)		(2,254,552	)		142,108
Danone SA		(22,425	)		(1,560,551	)		(8,810	)
Edenred		(322,789	)		(6,600,642	)		(8,819	)
Electricite de France SA		(433,660	)		(7,427,911	)		2,169,686
Essilor International SA		(26,905	)		(2,925,787	)		(610,313	)
Eutelsat Communications SA		(56,841	)		(1,516,819	)		443,939
Groupe Eurotunnel SE		(134,710	)		(1,536,857	)		113,956
Hermes International		(15,046	)		(5,293,659	)		(315,163	)
Ingenico Group SA		(8,745	)		(952,708	)		(60,880	)
JCDecaux SA		(55,031	)		(2,167,471	)		312,000
Kering		(40,407	)		(7,038,233	)		533,431
Legrand SA		(21,389	)		(1,014,333	)		(80,598	)

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

AQR Funds Semi-Annual Report June 2016

146

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
L’Oreal SA		(44,432	)	$	(7,657,872	)	$	(848,786	)
LVMH Moet Hennessy Louis Vuitton SE		(26,672	)		(4,373,727	)		353,330
Natixis SA		(24,974	)		(106,958	)		12,984
Pernod Ricard SA		(37,057	)		(4,138,619	)		35,802
Plastic Omnium SA		(18,154	)		(561,007	)		53,493
Publicis Groupe SA		(30,511	)		(1,923,572	)		(117,688	)
Remy Cointreau SA		(80,716	)		(5,519,247	)		(1,428,872	)
Schneider Electric SE		(41,992	)		(2,877,377	)		427,534
Technip SA		(118,687	)		(5,730,377	)		(693,555	)
TOTAL SA		(23,727	)		(1,069,985	)		(67,868	)
Vallourec SA		(635,462	)		(2,335,132	)		87,536
Vivendi SA		(112,198	)		(2,260,300	)		161,220
Zodiac Aerospace		(354,872	)		(8,741,934	)		463,310
								2,239,433
Luxembourg
Eurofins Scientific SE		(3,162	)		(1,136,100	)		(35,334	)
SES SA		(91,499	)		(2,092,622	)		133,852
								98,518

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Portugal
EDP - Energias de Portugal SA		(561,999	)	$	(2,018,220	)	$	297,620
Jeronimo Martins SGPS SA		(62,972	)		(868,976	)		(124,203	)
								173,417
Total of Short Equity Positions								2,511,368
Total of Long and Short Equity Positions								(3,128,232	)
Net Cash and Other Receivables/ (Payables) (b)								152,809
Swaps, at Value							$	(2,975,423	)

(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)
DTBK	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 10/19/2016		$(292,157	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Asciano Ltd.		5,930,301	$	39,575,244	$	(228,960	)
United States
Iron Mountain, Inc.		2		56		23
Total of Long Equity Positions					(228,937)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Australia
Oil Search Ltd.		(188,486	)	$	(913,087	)	$	(38,686	)
Total of Long and Short Equity Positions								(267,623	)
Net Cash and Other Receivables/ (Payables) (b)								(24,534	)
Swaps, at Value							$	(292,157	)

(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 Semi-Annual Report June 2016

147

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$5,606,149

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Home Retail Group plc		3,221,224		$	7,067,009		$	(470,482	)
London Stock Exchange Group plc		171,252			5,767,364			51,517
Rexam plc		3,485,864			27,621,155			2,776,954
SABMiller plc		692,096			37,020,618			3,341,815
								5,699,804
Total of Long Equity Positions								5,699,804
Short Positions
Common Stocks
United Kingdom
J Sainsbury plc		(1,034,160	)		(3,660,866	)		439,261
Total of Long and Short Equity Positions								6,139,065
Net Cash and Other Receivables/ (Payables) (b)								(532,916	)
Swaps, at Value							$	5,606,149

(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 Semi-Annual Report June 2016

148

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	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		$(99,789	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Singapore
InterOil Corp.		30,099		$	1,305,357		$	49,097
United Kingdom
Liberty Global plc, Series C		2			146			(89	)
Liberty Global plc		1			37			(8	)
								(97	)
Total of Long Equity Positions								49,000
Short Positions
Common Stocks
United States
Ball Corp.		(149,154	)		(10,606,278	)		(176,064	)
Diebold, Inc.		(32,032	)		(808,961	)		13,607
VMware, Inc.		(24,674	)		(1,535,377	)		123,531
								(38,926	)
Total of Short Equity Positions								(38,926	)
Total of Long and Short Equity Positions								10,074
Net Cash and Other Receivables/ (Payables) (b)								(109,863	)
Swaps, at Value							$	(99,789	)

(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 Semi-Annual Report June 2016

149

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the CHF/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	12 months maturity 09/05/2016		$(2,174,068	)

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Syngenta AG		81,072	$	33,328,968	$	(2,209,595	)
Net Cash and Other Receivables/ (Payables) (b)						35,527
Swaps, at Value					$	(2,174,068	)

(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)
DTBK	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.	13-24 months maturity ranging from 03/21/2017 - 04/20/2017		$99,006

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Finland
Nokia OYJ		11,551	$	83,205	$	(18,186	)
Germany
Wincor Nixdorf AG		73,807		3,847,310		113,777
Total of Long Equity Positions						95,591
Net Cash and Other Receivables/ (Payables) (b)						3,415
Swaps, at Value					$	99,006

(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 June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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.	55-60 months maturity 12/21/2020		$2,077,596

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
China
Agricultural Bank of China Ltd.		1,447,000	$	523,273	$	8,391
Air China Ltd.		2,350,000		1,511,107		104,497
ANTA Sports Products Ltd.		1,105,000		2,842,467		(615,735	)
AviChina Industry & Technology Co. Ltd.		921,000		618,552		24,915
Beijing Capital International Airport Co. Ltd.		1,618,000		1,550,006		212,176
Belle International Holdings Ltd.		935,000		633,967		(83,659	)
China Cinda Asset Management Co. Ltd.		4,340,000		1,346,996		124,671
China Communications Services Corp. Ltd.		2,544,000		1,089,767		243,574
China Everbright Bank Co. Ltd.		135,000		61,573		442
China Galaxy Securities Co. Ltd.		4,102,000		3,281,404		420,488
China Longyuan Power Group Corp. Ltd.		1,660,000		1,039,295		346,476
China Medical System Holdings Ltd.		257,000		308,246		85,639
China Petroleum & Chemical Corp.		3,248,000		1,987,151		359,916
China Shenhua Energy Co. Ltd.		1,370,000		1,986,754		561,310
China Southern Airlines Co. Ltd.		666,000		407,638		(30,846	)
Chongqing Rural Commercial Bank Co. Ltd.		1,393,000		678,539		30,934
CNOOC Ltd.		932,000		865,474		297,867
CSPC Pharmaceutical Group Ltd.		1,558,000		1,467,105		(75,089	)
Dongfeng Motor Group Co. Ltd.		2,218,000		2,695,757		(357,869	)
Geely Automobile Holdings Ltd.		7,495,000		3,288,087		800,000

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
Great Wall Motor Co. Ltd.		3,235,500	$	2,506,139	$	198,964
Huadian Power International Corp. Ltd.		1,342,000		783,238		(140,031	)
Jiangxi Copper Co. Ltd.		530,000		546,873		47,916
Kingsoft Corp. Ltd.		25,000		48,905		(331	)
People’s Insurance Co. Group of China Ltd. (The)		7,072,000		2,813,871		(91,270	)
PetroChina Co. Ltd.		1,158,000		792,083		6,055
Sinopec Engineering Group Co. Ltd.		710,500		594,496		50,212
Sinopec Shanghai Petrochemical Co. Ltd.		8,245,000		3,270,272		523,378
Sinopharm Group Co. Ltd.		466,400		1,701,897		538,544
Sinotrans Ltd.		105,000		44,163		2,715
Tencent Holdings Ltd.		90,400		1,671,954		401,793
TravelSky Technology Ltd.		450,000		745,558		124,392
Weichai Power Co. Ltd.		1,265,000		1,225,445		77,034
Zhuzhou CRRC Times Electric Co. Ltd.		406,500		1,848,698		409,082
Zijin Mining Group Co. Ltd.		924,000		274,178		36,202
ZTE Corp.		458,000		622,580		(40,025	)
						4,602,728
Hong Kong
Beijing Enterprises Holdings Ltd.		187,000		959,802		100,334
China Mobile Ltd.		48,775		521,411		42,146
China Power International Development Ltd.		2,267,000		1,106,494		(269,661	)
China Resources Power Holdings Co. Ltd.		478,000		828,285		(110,926	)
China Taiping Insurance Holdings Co. Ltd.		235,200		487,628		(45,014	)
CITIC Ltd.		564,000		824,121		348
Far East Horizon Ltd.		214,000		157,803		9,340
Guangdong Investment Ltd.		1,072,000		1,312,578		323,918

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

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151

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Nine Dragons Paper Holdings Ltd.		416,000		$	286,359		$	32,584
Sino Biopharmaceutical Ltd.		4,775,999			3,402,337			(267,735	)
Sun Art Retail Group Ltd.		216,000			138,777			13,111
								(171,555	)
Total of Long Equity Positions								4,431,173
Short Positions
Common Stocks
China
AAC Technologies Holdings, Inc.		(236,594	)		(1,395,067	)		(627,608	)
Aluminum Corp. of China Ltd.		(396,000	)		(119,188	)		(6,267	)
Anhui Conch Cement Co. Ltd.		(316,000	)		(689,663	)		(75,444	)
BYD Co. Ltd.		(356,500	)		(1,650,042	)		(502,621	)
CGN Power Co. Ltd.		(13,807,000	)		(4,288,539	)		429,600
China Conch Venture Holdings Ltd.		(116,000	)		(220,970	)		(9,701	)
China Life Insurance Co. Ltd.		(1,510,000	)		(3,275,798	)		20,053
China Mengniu Dairy Co. Ltd.		(201,000	)		(346,454	)		(5,178	)
China Merchants Bank Co. Ltd.		(1,025,500	)		(2,018,989	)		(294,664	)
China Minsheng Banking Corp. Ltd.		(2,247,000	)		(1,957,851	)		(224,976	)
China National Building Material Co. Ltd.		(1,658,000	)		(691,286	)		(37,890	)
China Oilfield Services Ltd.		(5,438,000	)		(3,742,591	)		(482,430	)
China Pacific Insurance Group Co. Ltd.		(521,200	)		(1,763,409	)		(3,015	)
China Railway Group Ltd.		(761,000	)		(463,987	)		(107,971	)
China Shipping Container Lines Co. Ltd.		(7,533,000	)		(1,631,684	)		58,920
CITIC Securities Co. Ltd.		(1,002,000	)		(1,948,172	)		(275,167	)
CRRC Corp. Ltd.		(3,784,000	)		(3,521,474	)		118,685
Datang International Power Generation Co. Ltd.		(3,804,000	)		(1,070,353	)		4,638
ENN Energy Holdings Ltd.		(96,000	)		(495,354	)		19,867
Fosun International Ltd.		(1,457,000	)		(1,908,542	)		13,778

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
GF Securities Co. Ltd.		(1,026,600	)	$	(2,064,804	)	$	(289,746	)
Haitong Securities Co. Ltd.		(774,400	)		(1,181,418	)		(138,066	)
Hengan International Group Co. Ltd.		(10,500	)		(74,354	)		(13,591	)
Huaneng Power International, Inc.		(672,000	)		(545,612	)		128,219
Huaneng Renewables Corp. Ltd.		(2,860,000	)		(669,433	)		(287,792	)
Huatai Securities Co. Ltd.		(1,416,800	)		(2,660,512	)		(390,676	)
Jiangsu Expressway Co. Ltd.		(270,000	)		(314,977	)		(62,074	)
Lenovo Group Ltd.		(3,500,000	)		(2,914,257	)		786,837
New China Life Insurance Co. Ltd.		(287,800	)		(996,382	)		(34,114	)
Ping An Insurance Group Co. of China Ltd.		(666,500	)		(2,977,514	)		24,469
Qinqin Foodstuffs Group Cayman Co. Ltd. (3)		(2,100	)		(14,869	)		11,891
Shandong Weigao Group Medical Polymer Co. Ltd.		(1,048,000	)		(639,849	)		39,324
Shanghai Fosun Pharmaceutical Group Co. Ltd.		(530,500	)		(1,284,448	)		(15,762	)
Shanghai Pharmaceuticals Holding Co. Ltd.		(62,300	)		(130,868	)		(7,274	)
Shenzhou International Group Holdings Ltd.		(146,000	)		(720,496	)		14,488
Tingyi Cayman Islands Holding Corp.		(1,980,000	)		(2,300,809	)		420,672
Yanzhou Coal Mining Co. Ltd.		(982,000	)		(512,023	)		(127,774	)
								(1,928,360	)
Hong Kong
Beijing Enterprises Water Group Ltd.		(1,792,000	)		(1,011,216	)		(74,002	)
Brilliance China Automotive Holdings Ltd.		(4,774,000	)		(4,715,637	)		(213,407	)
China Gas Holdings Ltd.		(2,624,000	)		(3,396,365	)		(620,118	)
China Resources Gas Group Ltd.		(484,000	)		(1,228,033	)		(243,879	)
China State Construction International Holdings Ltd.		(530,000	)		(778,884	)		75,642
China Unicom Hong Kong Ltd.		(484,000	)		(530,359	)		25,672
COSCO Pacific Ltd.		(230,000	)		(252,395	)		22,757
GCL-Poly Energy Holdings Ltd.		(6,097,000	)		(855,762	)		54,393

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

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152

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Haier Electronics Group		(43,000	)		$ (66,388)	$	687
						(972,255)
Total of Short Equity Positions							(2,900,615	)
Total of Long and Short Equity Positions							1,530,558
Net Cash and Other Receivables/ (Payables) (b)							547,038
Swaps, at Value						$	2,077,596

(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)
GSIN	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.	55-60 months maturity 12/21/2020		$(319,565	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Poland
Energa SA		141,285		$	425,248		$	(83,781	)
Eurocash SA		160,355			2,076,851			(197,875	)
KGHM Polska Miedz SA		45,150			725,219			36,766
PGE Polska Grupa Energetyczna SA		633,102			2,028,180			(121,185	)
Polskie Gornictwo Naftowe i Gazownictwo SA		849,634			1,055,543			155,726
							(210,349)
Total of Long Equity Positions								(210,349	)
Short Positions
Common Stocks
Poland
Bank Pekao SA		(47,744	)		(1,664,150	)		(2,799	)
Bank Zachodni WBK SA		(13,938	)		(927,115	)		(4,952	)
LPP SA		(15	)		(20,029	)		785
mBank SA		(10,021	)		(763,921	)		(24,403	)
Orange Polska SA		(144,495	)		(202,875	)		16,548

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Poland (continued)
Polski Koncern Naftowy Orlen SA		(5,923	)	$	(96,609	)	$	(7,431	)
Powszechna Kasa Oszczednosci Bank Polski SA		(207,740	)		(1,260,823	)		29,472
							7,220
Total of Short Equity Positions								7,220
Total of Long and Short Equity Positions								(203,129	)
Net Cash and Other Receivables/ (Payables) (b)								(116,436	)
Swaps, at Value							$	(319,565	)

(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 June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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.	12-60 months maturity 12/22/2020		$2,185,340

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Brazil
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros		275,800	$	721,148	$	808,832
BRF SA		164,020		1,975,881		314,160
Cia de Saneamento Basico do Estado de Sao Paulo		74,541		559,863		108,025
Cia Energetica de Minas Gerais		502,077		569,831		539,759
Cia Paranaense de Energia		5,779		40,577		11,319
Cielo SA		38,000		138,500		260,747
EDP - Energias do Brasil SA		190,700		521,745		286,814
Embraer SA		60,441		1,292,247		20,532
Equatorial Energia SA		99,400		917,939		589,940
Hypermarcas SA		4,800		40,650		(5,909	)
Itau Unibanco Holding SA		45,206		274,643		152,101
JBS SA		1,318,593		3,420,556		684,270
Natura Cosmeticos SA		19,600		123,603		31,925
Odontoprev SA		134,000		340,097		213,457
Porto Seguro SA		67,800		439,920		119,821
Qualicorp SA		195,300		614,507		521,799
TOTVS SA		26,500		215,402		34,642
						4,692,234
Chile
Empresa Nacional de Electricidad SA		9,269		239,178		17,851
Enersis Americas SA		56,741		461,004		25,834
Latam Airlines Group SA		24,445		151,263		10,074
						53,759
China
Bank of China Ltd.		2,235,000		875,636		22,628
Bank of Communications Co. Ltd.		2,008,000		1,222,435		54,879

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
China CITIC Bank Corp. Ltd.		3,122,000	$	1,779,776	$	129,913
China Construction Bank Corp.		3,632,000		2,213,543		207,686
China Telecom Corp. Ltd.		1,918,000		862,826		(269	)
GOME Electrical Appliances Holding Ltd.		13,325,000		1,854,739		(261,042	)
Industrial & Commercial Bank of China Ltd.		2,410,000		1,231,912		112,070
PICC Property & Casualty Co. Ltd.		2,386,000		4,091,364		(329,492	)
Semiconductor Manufacturing International Corp.		21,641,000		1,966,761		(223,598	)
Zhejiang Expressway Co. Ltd.		1,128,000		1,123,840		(56,718	)
						(343,943	)
Indonesia
AKR Corporindo Tbk. PT		45,600		26,168		(4,025	)
Indofood CBP Sukses Makmur Tbk. PT		110,700		135,053		10,475
Indofood Sukses Makmur Tbk. PT		1,549,900		676,257		176,527
Matahari Department Store Tbk. PT		89,500		126,007		10,400
Media Nusantara Citra Tbk. PT		822,900		141,453		(3,397	)
Semen Indonesia Persero Tbk. PT		40,600		30,620		(1,702	)
Telekomunikasi Indonesia Persero Tbk. PT		1,951,800		433,186		160,641
United Tractors Tbk. PT		1,232,000		1,442,004		(51,978	)
						296,941

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

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154

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of
CJ CheilJedang Corp.		5,425	$	1,671,910	$	165,453
CJ Corp.		6,420		1,172,330		(38,849	)
CJ E&M Corp.		7,354		451,894		(6,990	)
DGB Financial Group, Inc.		14,313		109,111		(728	)
Dongbu Insurance Co. Ltd.		59,524		3,464,901		117,880
Hana Financial Group, Inc.		16,134		281,170		46,848
Hanmi Pharm Co. Ltd.		152		85,862		8,211
Hanwha Chemical Corp.		92,162		1,926,917		(1,250	)
Hanwha Corp.		115,258		3,229,575		351,040
Hanwha Life Insurance Co. Ltd.		230,621		1,287,108		(125,031	)
Hyundai Department Store Co. Ltd.		4,748		505,717		28,439
Hyundai Development Co-Engineering & Construction		47,465		1,635,222		11,464
Hyundai Engineering & Construction Co. Ltd.		15,971		406,711		60,550
Hyundai Marine & Fire Insurance Co. Ltd.		84,337		2,280,107		(129,552	)
Hyundai Mobis Co. Ltd.		9,431		1,904,232		170,620
Hyundai Wia Corp.		7,664		707,407		(109,931	)
KB Financial Group, Inc.		26,186		645,549		99,075
Kia Motors Corp.		70,443		2,856,673		(202,423	)
Korea Aerospace Industries Ltd.		4,079		224,557		36,958
Korea Electric Power Corp.		56,274		2,465,303		488,632
Korea Zinc Co. Ltd.		1,829		756,962		54,107
Korean Air Lines Co. Ltd.		53,688		1,106,150		108,255
KT Corp.		15,906		355,898		54,906
LG Chem Ltd.		6,705		1,621,026		(89,813	)
LG Corp.		20,808		1,209,729		(52,558	)
LG Display Co. Ltd.		7,659		144,861		32,472
LG Household & Health Care Ltd.		706		504,787		184,661
LG Uplus Corp.		62,563		510,958		83,245
Lotte Chemical Corp.		12,687		2,598,252		559,385
Mirae Asset Daewoo Co. Ltd.		190,812		1,215,023		89,836
NCSoft Corp.		18,725		3,395,005		460,724
POSCO		680		141,578		(21,116	)
Posco Daewoo Corp.		99,410		1,783,476		400,172
Samsung Electronics Co. Ltd.		2,756		2,571,116		861,072
Samsung Life Insurance Co. Ltd.		3,575		305,382		7,469
Samsung Securities Co. Ltd.		4,325		130,456		3,751
Shinhan Financial Group Co. Ltd.		15,356		497,290		7,446
Shinsegae Co. Ltd.		5,892		1,087,694		(85,048	)
SK Hynix, Inc.		29,519		651,977		188,044
SK Innovation Co. Ltd.		46,889		5,761,952		15,440

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of (continued)
SK Networks Co. Ltd.		243,623	$	1,095,188	$	168,527
SK Telecom Co. Ltd.		12,103		2,091,961		181,792
S-Oil Corp.		30,218		1,978,047		24,473
Woori Bank		167,336		1,371,882		19,411
Yuhan Corp.		3,667		917,167		62,760
						4,289,829
Malaysia
AirAsia Bhd.		1,037,300		429,016		242,598
South Africa
Anglogold Ashanti Ltd.		104,690		1,535,603		355,098
Gold Fields Ltd.		215,072		808,444		245,409
						600,507
Taiwan
Casetek Holdings Ltd.		109,000		546,281		(161,959	)
Cathay Financial Holding Co. Ltd.		790,000		851,963		13,936
China Airlines Ltd.		2,829,000		939,488		(88,016	)
China Life Insurance Co. Ltd.		1,124,000		784,895		90,113
Compal Electronics, Inc.		988,000		536,296		88,720
Eva Airways Corp.		789,000		418,293		(58,051	)
Feng TAY Enterprise Co. Ltd.		270,060		1,389,711		(266,905	)
Foxconn Technology Co. Ltd.		444,770		882,794		167,842
Fubon Financial Holding Co. Ltd.		2,262,297		2,515,582		151,736
Hon Hai Precision Industry Co. Ltd.		297,000		685,287		79,870
Innolux Corp.		7,302,000		2,059,566		407,678
Inotera Memories, Inc.		2,764,842		2,326,338		(161,080	)
Inventec Corp.		712,000		456,918		52,169
Lite-On Technology Corp.		380,000		480,950		42,420
Nan Ya Plastics Corp.		37,000		65,145		5,341
Pegatron Corp.		786,000		1,519,327		150,081
Pou Chen Corp.		850,000		1,086,240		57,870
Powertech Technology, Inc.		956,000		1,950,570		183,969
Radiant Opto-Electronics Corp.		772,000		1,133,533		84,381
Realtek Semiconductor Corp.		46,000		132,578		10,890
Taiwan Fertilizer Co. Ltd.		217,000		274,537		15,164
Taiwan Semiconductor Manufacturing Co. Ltd.		1,136		25,418		4,379
Uni-President Enterprises Corp.		443,000		828,024		46,919
Zhen Ding Technology Holding Ltd.		557,000		1,120,030		(112,096	)
						805,371
Total of Long Common Stocks						10,637,296

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

AQR Funds Semi-Annual Report June 2016

155

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Preferred Stocks
Brazil
Braskem SA		346,000		$	2,169,738		$	(123,229	)
Centrais Eletricas Brasileiras SA		372,900			1,059,709			974,101
Cia Energetica de Sao Paulo		252,100			726,129			199,930
Gerdau SA		384,372			381,760			323,016
Itausa - Investimentos Itau SA		221,210			315,727			200,749
Suzano Papel e Celulose SA		253,200			963,741			(69,899	)
								1,504,668
Total of Long Equity Positions								12,141,964
Short Positions
Common Stocks
Brazil
Banco Bradesco SA		(103,221	)		(689,057	)		(117,099	)
Banco do Brasil SA		(254,500	)		(1,275,525	)		(71,329	)
BB Seguridade Participacoes SA		(239,600	)		(1,443,049	)		(638,711	)
CCR SA		(176,700	)		(795,309	)		(128,814	)
Cosan SA Industria e Comercio		(181,200	)		(1,305,522	)		(572,306	)
Duratex SA		(9,700	)		(20,492	)		(5,145	)
Fibria Celulose SA		(64,059	)		(551,682	)		118,643
Kroton Educacional SA		(46,300	)		(95,471	)		(100,119	)
Telefonica Brasil SA		(257,303	)		(2,254,213	)		(1,245,107	)
Tim Participacoes SA		(408,312	)		(3,273,096	)		(1,034,595	)
WEG SA		(7,400	)		(30,599	)		(1,030	)
								(3,795,612	)
Chile
Banco Santander Chile		(40,295	)		(648,347	)		(132,168	)
Sociedad Quimica y Minera de Chile SA		(81,412	)		(1,340,468	)		(672,037	)
								(804,205	)
China
China Communications Construction Co. Ltd.		(337,000	)		(365,917	)		579
China Railway Construction Corp. Ltd.		(181,500	)		(217,432	)		(11,220	)
								(10,641	)
Indonesia
Astra International Tbk. PT		(749,900	)		(375,554	)		(47,211	)
Korea, Republic of
Amorepacific Corp.		(557	)		(196,874	)		(13,109	)
BNK Financial Group, Inc.		(96,019	)		(658,639	)		(18,039	)
Cheil Worldwide, Inc.		(3,344	)		(56,634	)		7,277

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of (continued)
CJ Korea Express Corp.		(6,715	)	$	(1,182,789	)	$	(86,858	)
Daewoo Engineering & Construction Co. Ltd.		(361,151	)		(1,550,681	)		(223,037	)
Dongsuh Cos., Inc.		(18,359	)		(490,678	)		(43,424	)
Doosan Corp.		(20,372	)		(1,496,081	)		(158,615	)
Doosan Heavy Industries & Construction Co. Ltd.		(33,585	)		(643,691	)		20,307
E-MART, Inc.		(18,015	)		(2,569,492	)		(149,024	)
GS Engineering & Construction Corp.		(54,720	)		(1,074,427	)		(261,165	)
GS Holdings Corp.		(33,933	)		(1,344,367	)		(64,811	)
GS Retail Co. Ltd.		(3,788	)		(177,020	)		(3,103	)
Hankook Tire Co. Ltd.		(11,481	)		(441,868	)		(68,926	)
Hanon Systems		(12,689	)		(122,663	)		6,534
Hanssem Co. Ltd.		(3,940	)		(588,036	)		39,291
Hotel Shilla Co. Ltd.		(22,625	)		(1,242,962	)		(99,405	)
Hyosung Corp.		(12,666	)		(1,310,470	)		(75,875	)
Hyundai Glovis Co. Ltd.		(20,429	)		(3,283,053	)		222,899
Hyundai Heavy Industries Co. Ltd.		(61,809	)		(4,620,360	)		(1,102,194	)
Hyundai Motor Co.		(36,698	)		(4,256,511	)		(84,550	)
Industrial Bank of Korea		(240,355	)		(2,217,330	)		(124,568	)
Kangwon Land, Inc.		(18,636	)		(593,994	)		(82,215	)
KCC Corp.		(8,102	)		(2,721,281	)		26,428
Korea Investment Holdings Co. Ltd.		(749	)		(26,975	)		(639	)
Kumho Petrochemical Co. Ltd.		(29,713	)		(1,641,376	)		88,930
LG Electronics, Inc.		(7,940	)		(401,999	)		28,051
Lotte Chilsung Beverage Co. Ltd.		(230	)		(354,590	)		(2,972	)
Lotte Shopping Co.		(15,948	)		(3,072,242	)		251,325
NAVER Corp.		(603	)		(332,957	)		(40,611	)
NH Investment & Securities Co. Ltd.		(259,654	)		(2,032,764	)		(50,733	)
Orion Corp.		(659	)		(552,531	)		11,607
Ottogi Corp.		(836	)		(711,056	)		111,000
Samsung C&T Corp		(60,794	)		(6,780,086	)		235,107
Samsung Electro-Mechanics Co. Ltd.		(53,052	)		(2,450,120	)		125,589
Samsung Heavy Industries Co. Ltd.		(156,489	)		(1,288,489	)		28,848
Samsung SDI Co. Ltd.		(46,965	)		(4,229,737	)		(216,884	)
Samsung SDS Co. Ltd.		(15,448	)		(3,134,577	)		1,199,828
								(567,736	)
Malaysia
SapuraKencana Petroleum Bhd.		(500,000	)		(196,467	)		12,733
Mexico
America Movil SAB de CV		(88,793	)		(1,164,570	)		75,968
Grupo Aeroportuario del Sureste SAB de CV		(2,960	)		(433,218	)		(39,050	)

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

AQR Funds Semi-Annual Report June 2016

156

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Mexico (continued)
Grupo Financiero Santander Mexico SAB de CV		(347,101	)	$	(2,551,192	)	$	(603,956	)
								(567,038	)
Poland
Powszechny Zaklad Ubezpieczen SA		(15,828	)		(132,314	)		16,971
Tauron Polska Energia SA		(221,298	)		(147,665	)		(11,987	)
								4,984
Taiwan
Advanced Semiconductor Engineering, Inc.		(1,852,000	)		(1,947,039	)		(159,974	)
Asia Cement Corp.		(192,000	)		(143,684	)		(23,218	)
Asustek Computer, Inc.		(5,000	)		(38,829	)		(2,555	)
AU Optronics Corp.		(3,999,000	)		(1,062,524	)		(321,882	)
Chang Hwa Commercial Bank Ltd.		(921,130	)		(417,012	)		(63,952	)
Cheng Shin Rubber Industry Co. Ltd.		(269,000	)		(409,077	)		(158,091	)
China Development Financial Holding Corp.		(2,387,000	)		(545,239	)		(33,716	)
China Steel Corp.		(875,000	)		(454,765	)		(115,364	)
Delta Electronics Inc.		(286,000	)		(1,230,506	)		(164,980	)
E.Sun Financial Holding Co. Ltd.		(917,435	)		(449,495	)		(93,999	)
Far Eastern New Century Corp.		(275,000	)		(185,496	)		(20,299	)
Formosa Chemicals & Fibre Corp.		(795,000	)		(1,681,162	)		(325,987	)
Formosa Plastics Corp.		(488,000	)		(1,099,028	)		(84,426	)
Hotai Motor Co. Ltd.		(183,000	)		(1,799,990	)		(3,587	)
Largan Precision Co. Ltd.		(8,000	)		(640,237	)		(99,629	)
MediaTek, Inc.		(116,000	)		(708,265	)		(178,156	)
President Chain Store Corp.		(16,000	)		(103,838	)		(21,176	)
Quanta Computer, Inc.		(1,978,000	)		(3,016,868	)		(752,373	)
Ruentex Industries Ltd.		(29,000	)		(47,418	)		3,641

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Taiwan (continued)
Shin Kong Financial Holding Co. Ltd.		(2,607,000	)	$	(485,923	)	$	(27,254	)
SinoPac Financial Holdings Co. Ltd.		(641,135	)		(159,258	)		(31,012	)
Taishin Financial Holding Co. Ltd.		(3,665,000	)		(1,127,765	)		(289,193	)
Taiwan Cement Corp.		(748,000	)		(621,058	)		(127,083	)
United Microelectronics Corp.		(299,000	)		(104,284	)		(12,979	)
Wistron Corp.		(259,000	)		(125,739	)		(55,440	)
Yuanta Financial Holding Co. Ltd.		(969,000	)		(299,435	)		(15,216	)
								(3,177,900	)
Total of Short Common Stocks								(8,952,626	)
Preferred Stocks
Brazil
Cia Brasileira de Distribuicao		(46,500	)		(578,667	)		(95,752	)
Petroleo Brasileiro SA		(423,100	)		(902,956	)		(332,507	)
Vale SA		(547,901	)		(1,330,463	)		(881,745	)
								(1,310,004	)
Total of Short Equity Positions								(10,262,630	)
Total of Long and Short Equity Positions								1,879,334
Net Cash and Other Receivables/ (Payables) (b)								306,006
Swaps, at Value							$	2,185,340

(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 Semi-Annual Report June 2016

157

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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.	1-60 months maturity ranging from 07/25/2016 - 12/24/2020		$(2,613,123	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Malta
Brait SE		203,006	$	2,133,196	$	(198,070	)
South Africa
Anglo American Platinum Ltd.		74,841		1,945,508		(74,460	)
Barclays Africa Group Ltd.		10,376		100,595		1,175
Barloworld Ltd.		185,779		914,984		10,738
Bid Corp. Ltd.		7,968		99,335		49,984
Bidvest Group Ltd. (The)		7,968		96,786		(21,616	)
Exxaro Resources Ltd.		64,242		294,371		1,606
FirstRand Ltd.		77,560		207,763		28,942
Foschini Group Ltd. (The)		70,288		558,670		104,926
Imperial Holdings Ltd.		68,671		672,734		28,516
Investec Ltd.		244,608		1,720,973		(221,324	)
MMI Holdings Ltd.		29,996		44,966		1,311
Mondi Ltd.		93,887		1,785,132		(69,045	)
Netcare Ltd.		416,014		896,912		(13,471	)
Pick n Pay Stores Ltd.		52,090		242,554		11,077
PSG Group Ltd.		51,734		654,279		29,303
Rand Merchant Investment Holdings Ltd.		22,111		55,494		6,511
RMB Holdings Ltd.		432,287		1,533,020		123,782
Sibanye Gold Ltd.		179,121		559,986		49,893
Telkom SA SOC Ltd.		116,503		455,801		69,883
Truworths International Ltd.		108,745		697,375		(64,540	)
Vodacom Group Ltd.		2,871		29,844		2,870
Woolworths Holdings Ltd.		256,821		1,492,832		(22,259	)
						33,802
Total of Long Equity Positions						(164,268	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
South Africa
Aspen Pharmacare Holdings Ltd.		(6,776	)	$	(143,807	)	$	(23,351	)
Coronation Fund Managers Ltd.		(617,986	)		(2,523,446	)		(279,863	)
Discovery Ltd.		(340,358	)		(2,728,925	)		(114,306	)
Impala Platinum Holdings Ltd.		(548,172	)		(1,044,218	)		(721,952	)
Life Healthcare Group Holdings Ltd.		(174,526	)		(414,131	)		(15,261	)
Massmart Holdings Ltd.		(64,507	)		(416,847	)		(134,180	)
Mr Price Group Ltd.		(5,220	)		(69,712	)		(3,631	)
MTN Group Ltd.		(51,565	)		(445,206	)		(55,923	)
Naspers Ltd.		(14,620	)		(2,049,191	)		(183,211	)
Nedbank Group Ltd.		(18,281	)		(210,203	)		(21,860	)
Pioneer Foods Group Ltd.		(31,993	)		(293,709	)		(81,702	)
Sanlam Ltd.		(1,042,596	)		(4,046,300	)		(260,881	)
Sasol Ltd.		(32,299	)		(965,843	)		92,034
Shoprite Holdings Ltd.		(83,439	)		(840,654	)		(104,369	)
SPAR Group Ltd. (The)		(24,374	)		(278,118	)		(56,564	)
Tiger Brands Ltd.		(65,581	)		(1,235,374	)		(380,299	)
							(2,345,319)
Total of Short Equity Positions								(2,345,319	)
Total of Long and Short Equity Positions								(2,509,587	)
Net Cash and Other Receivables/ (Payables) (b)								(103,536	)
Swaps, at Value							$	(2,613,123	)

(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 Semi-Annual Report June 2016

158

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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.	55-60 months maturity 12/22/2020		$293,155

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Mexico
Alfa SAB de CV		158,800		$	267,273		$	6,159
Arca Continental SAB de CV		150,800			908,967			171,973
Gentera SAB de CV		159,500			277,119			6,504
Gruma SAB de CV		267,570			3,707,201			153,582
Grupo Lala SAB de CV		413,800			985,908			(77,848	)
Grupo Mexico SAB de CV		709,100			1,318,013			353,260
Industrias Penoles SAB de CV		36,630			644,812			227,774
Kimberly-Clark de Mexico SAB de CV		359,900			805,557			43,476
OHL Mexico SAB de CV		332,400			406,880			(1,438	)
Promotora y Operadora de Infraestructura SAB de CV		4,000			45,415			4,138
Wal-Mart de Mexico SAB de CV		84,900			200,187			3,721
								891,301
Total of Long Equity Positions								891,301
Short Positions
Common Stocks
Mexico
Coca-Cola Femsa SAB de CV		(44,500	)		(299,468	)		(69,602	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Mexico (continued)
El Puerto de Liverpool SAB de CV		(39,140	)	$	(426,702	)	$	13,477
Grupo Bimbo SAB de CV		(22,300	)		(63,341	)		(6,452	)
Grupo Financiero Banorte SAB de CV		(450,900	)		(2,102,347	)		(426,089	)
Grupo Financiero Inbursa SAB de CV		(1,179,300	)		(1,886,167	)		(113,461	)
Mexichem SAB de CV		(14,200	)		(31,045	)		1,026
								(601,101	)
Total of Short Equity Positions								(601,101	)
Total of Long and Short Equity Positions								290,200
Net Cash and Other Receivables/ (Payables) (b)								2,955
Swaps, at Value							$	293,155

(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 Semi-Annual Report June 2016

159

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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.	55-61 months maturity 01/14/2021		$1,405,921

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Ageas		144,325	$	5,936,227	$	(919,595	)
bpost SA		137,690		3,201,039		323,643
KBC Groep NV		45,213		2,589,366		(365,749	)
Proximus SADP		147,220		4,705,572		(27,145	)
Umicore SA		10,307		511,071		21,330
						(967,516	)
Finland
Amer Sports OYJ		39,353		1,084,632		(4,972	)
Huhtamaki OYJ		10,152		379,978		41,329
Kesko OYJ		124,527		4,758,795		529,440
Metso OYJ		35,579		719,498		116,960
Neste OYJ		45,299		1,427,824		196,549
Orion OYJ		47,565		1,486,834		360,106
Outokumpu OYJ		477,365		1,460,750		545,909
Stora Enso OYJ		89,170		731,941		(14,829	)
UPM-Kymmene OYJ		252,489		4,238,336		400,081
						2,170,573
Germany
adidas AG		1,755		213,441		38,488
Allianz SE		16,136		2,335,123		(33,202	)
Aurubis AG		123,701		5,857,083		(232,058	)
Beiersdorf AG		2,069		179,704		16,177
Brenntag AG		57,613		2,732,938		57,949
Commerzbank AG		692,065		6,134,012		(1,627,040	)
Covestro AG		39,622		1,506,975		257,803
Deutsche Lufthansa AG		240,918		3,517,787		(685,189	)
E.ON SE		121,474		1,224,095		2,163
Evonik Industries AG		78,996		2,388,665		(33,907	)
Freenet AG		83,816		2,643,779		(485,221	)
GEA Group AG		23,119		905,690		185,559
Hannover Rueck SE		35,095		3,706,887		(29,722	)
HeidelbergCement AG		15,212		1,079,611		66,341
Hella KGaA Hueck & Co.		35,589		1,426,063		(283,785	)
HOCHTIEF AG		44,046		4,072,201		1,614,613
Infineon Technologies AG		68,076		948,835		36,661
KION Group AG		61,655		2,892,502		95,790

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
Krones AG		4,162	$	445,856	$	(6,219	)
LANXESS AG		64,561		2,716,649		115,830
Merck KGaA		15,056		1,325,956		204,381
METRO AG		63,743		1,796,572		163,915
MTU Aero Engines AG		13,795		1,232,331		56,508
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		15,476		2,924,519		(329,270	)
OSRAM Licht AG		144,923		6,206,899		1,322,846
ProSiebenSat.1 Media SE		144		7,211		(912	)
Rheinmetall AG		72,378		4,775,583		(470,629	)
RHOEN-KLINIKUM AG		103,340		2,932,003		92,897
Rocket Internet SE		488		13,355		(3,827	)
Salzgitter AG		73,172		1,622,882		311,794
Software AG		61,404		2,056,423		31,445
STADA Arzneimittel AG		34,382		1,439,976		341,946
Suedzucker AG		97,077		1,516,443		621,727
Symrise AG		12,020		769,126		50,772
Talanx AG		43,273		1,295,438		(6,638	)
United Internet AG		53,694		2,672,795		(440,791	)
Zalando SE		53,271		1,775,265		(365,372	)
						651,823
Italy
A2A SpA		3,095,858		3,832,615		226,862
Atlantia SpA		78,153		1,945,700		6,949
Autogrill SpA		182,123		1,524,480		(52,077	)
Banca Monte dei Paschi di Siena SpA		1,040,242		580,125		(136,879	)
Enel SpA		1,803,770		7,488,305		519,439
FinecoBank Banca Fineco SpA		1,620		12,304		(1,724	)
Hera SpA		895,370		2,446,796		(2,993	)
Intesa Sanpaolo SpA		694,014		1,504,624		(182,728	)
Leonardo-Finmeccanica SpA		416,981		5,214,638		(997,844	)
Mediaset SpA		875,183		3,676,790		(616,228	)
Mediobanca SpA		1,331,886		10,477,330		(2,803,274	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Italy (continued)
Poste Italiane SpA		372,986	$	2,778,412	$	(301,809	)
Prysmian SpA		197,499		3,993,559		341,379
Recordati SpA		104,201		2,571,819		562,492
Snam SpA		818,463		4,658,379		234,744
Terna Rete Elettrica Nazionale SpA		438,504		2,345,596		94,724
UniCredit SpA		598,285		2,271,245		(955,464	)
Unipol Gruppo Finanziario SpA		923,273		3,759,060		(1,585,006	)
						(5,649,437	)
Netherlands
ABN AMRO Group NV		19,061		396,133		(82,757	)
Aegon NV		147,324		728,071		(144,325	)
Akzo Nobel NV		12,594		805,386		(23,037	)
ASM International NV		49,182		2,002,457		(104,109	)
Boskalis Westminster		54,849		2,085,676		(214,084	)
Delta Lloyd NV		305,980		1,442,927		(367,809	)
Heineken NV		38,489		3,319,420		210,861
Koninklijke Ahold NV		240,014		5,072,452		227,675
Koninklijke DSM NV		19,366		928,866		188,367
Koninklijke Philips NV		82,652		2,090,422		(37,654	)
NN Group NV		298,695		9,814,821		(1,592,218	)
Randstad Holding NV		82,200		4,413,310		(1,126,052	)
Wolters Kluwer NV		134,194		4,409,741		1,023,938
						(2,041,204	)
Spain
Abengoa SA		5,747,307		1,320,381		264,348
Acciona SA		10,672		816,175		(37,414	)
ACS Actividades de Construccion y Servicios SA		179,823		4,599,243		333,155
Almirall SA		134,515		2,426,233		(403,776	)
Banco Bilbao Vizcaya Argentaria SA		69,842		399,211		946
Banco Santander SA		675,468		3,070,237		(448,963	)
Bankinter SA		134,125		931,682		(65,887	)
Ebro Foods SA		114,876		2,269,731		374,496
Enagas SA		165,847		4,640,322		426,350
Endesa SA		419,960		8,032,295		394,409
Ferrovial SA		118,125		2,561,206		(248,559	)
Gamesa Corp. Tecnologica SA		346,527		5,753,376		1,150,841
Iberdrola SA		48,633		314,514		17,240
Industria de Diseno Textil SA		7,833		259,971		3,170
Mediaset Espana Comunicacion SA		142,227		1,389,499		216,047
Obrascon Huarte Lain SA		88,708		587,237		(274,745	)
Prosegur Cia de Seguridad SA		83,284		486,821		15,093
Red Electrica Corp. SA		20,386		1,663,734		157,832
Repsol SA		251,494		2,578,078		645,793

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain (continued)
Sacyr SA		125,696		$	200,186		$	6,950
								2,527,326
United Kingdom
Dialog Semiconductor plc	48,733			1,520,964			(60,756)
Fiat Chrysler Automobiles NV		1,037,573			7,530,965			(1,144,227	)
							(1,204,983)
Total of Long Common Stocks								(4,513,418	)
Rights
Spain
ACS Actividades de Construccion y Servicios SA		179,823			896			125,424
Total of Long Equity Positions and Rights								(4,387,994	)
Short Positions
Common Stocks
Belgium
Anheuser-Busch InBev SA/NV		(78,002	)		(9,448,740	)		(865,967	)
Colruyt SA		(14,230	)		(727,380	)		(60,080	)
Solvay SA		(4,082	)		(355,944	)		(25,347	)
Telenet Group Holding NV		(27,401	)		(1,337,588	)		84,640
UCB SA		(21,853	)		(1,759,116	)		118,232
								(748,522	)
Finland
Cargotec OYJ		(23,135	)		(731,937	)		(210,931	)
Elisa OYJ		(31,231	)		(1,148,854	)		(51,140	)
Fortum OYJ		(99,460	)		(1,423,649	)		(174,319	)
Kone OYJ		(72,816	)		(3,027,003	)		(333,481	)
Nokia OYJ		(1,030,532	)		(6,548,574	)		679,240
Nokian Renkaat OYJ		(131,720	)		(4,193,497	)		(527,598	)
Sampo OYJ		(13,819	)		(611,417	)		46,271
Wartsila OYJ Abp		(14,977	)		(679,942	)		68,861
								(503,097	)
Germany
Axel Springer SE		(7,582	)		(405,333	)		7,251
BASF SE		(28,540	)		(1,928,652	)		(259,759	)
Bayer AG		(11,005	)		(1,125,965	)		20,679
Bayerische Motoren Werke AG		(94,705	)		(8,270,824	)		1,378,657
Bilfinger SE		(6,198	)		(276,383	)		94,715
Continental AG		(4,305	)		(925,269	)		110,648
Daimler AG		(129,938	)		(9,224,252	)		1,448,978
Deutsche Bank AG		(45,449	)		(826,036	)		197,789
Deutsche Post AG		(5,007	)		(144,435	)		3,375
Deutsche Telekom AG		(179,295	)		(3,045,559	)		(11,829	)

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

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161

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
Duerr AG		(11,167	)	$	(765,498	)	$	(82,432	)
Fielmann AG		(4,996	)		(364,643	)		(761	)
Fraport AG Frankfurt Airport Services Worldwide		(26,858	)		(1,591,288	)		153,287
Fresenius Medical Care AG & Co. KGaA		(8,804	)		(722,976	)		(43,910	)
HUGO BOSS AG		(23,641	)		(1,585,060	)		241,020
K+S AG		(171,830	)		(3,843,431	)		325,692
Linde AG		(9,051	)		(1,297,613	)		36,477
MAN SE		(13,701	)		(1,387,168	)		(11,144	)
RWE AG		(114,139	)		(1,400,305	)		(417,382	)
SAP SE		(103,305	)		(8,148,339	)		389,600
Siemens AG		(1,341	)		(121,279	)		(16,336	)
Telefonica Deutschland Holding AG		(416,036	)		(2,064,889	)		351,199
ThyssenKrupp AG		(60,124	)		(1,054,844	)		(153,670	)
Wacker Chemie AG		(28,449	)		(2,097,072	)		(394,297	)
								3,367,847
Italy
Assicurazioni Generali SpA		(54,639	)		(914,815	)		270,491
Azimut Holding SpA		(268,292	)		(5,633,627	)		1,256,209
Banca Generali SpA		(32,250	)		(865,363	)		218,962
Banca Mediolanum SpA		(43,658	)		(290,068	)		(9,580	)
Banca Popolare dell’Emilia Romagna SC		(45,792	)		(287,631	)		119,509
Banco Popolare SC		(132,049	)		(367,665	)		50,837
Buzzi Unicem SpA		(40,014	)		(652,889	)		(48,317	)
Davide Campari-Milano SpA		(55,856	)		(468,275	)		(84,620	)
Eni SpA		(93,556	)		(1,376,943	)		(129,980	)
Luxottica Group SpA		(142,633	)		(7,608,071	)		656,475
Moncler SpA		(2,813	)		(45,153	)		743
Saipem SpA		(3,385,424	)		(1,314,687	)		(38,906	)
Salvatore Ferragamo SpA		(292,450	)		(6,706,505	)		745,239
Telecom Italia SpA		(3,927,302	)		(3,883,459	)		657,930
Unione di Banche Italiane SpA		(183,356	)		(539,314	)		32,966
UnipolSai SpA		(69,194	)		(141,334	)		36,912
								3,734,870
Luxembourg
APERAM SA		(27,685	)		(859,802	)		(109,314	)
ArcelorMittal		(1,034,119	)		(5,003,427	)		288,671
Tenaris SA		(921,030	)		(9,656,205	)		(3,655,549	)
								(3,476,192	)
Netherlands
Altice NV		(326,581	)		(4,769,542	)		(106,783	)
ASML Holding NV		(41,875	)		(3,614,978	)		(507,122	)
Fugro NV		(39,233	)		(544,651	)		(146,078	)
Gemalto NV		(71,896	)		(4,554,932	)		199,189
Koninklijke KPN NV		(936,204	)		(3,526,118	)		189,077
Koninklijke Vopak NV		(86,150	)		(3,667,160	)		(621,342	)
OCI NV		(20,785	)		(288,661	)		7,091
QIAGEN NV		(101,481	)		(2,233,383	)		21,882
SBM Offshore NV		(473,963	)		(5,568,197	)		75,395
								(888,691	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain
Abertis Infraestructuras SA		(135,515	)	$	(2,016,264	)	$	13,678
Acerinox SA		(32,934	)		(351,817	)		(14,521	)
Aena SA		(25,674	)		(2,849,069	)		(554,034	)
Amadeus IT Holding SA		(113,121	)		(4,660,882	)		(323,088	)
Atresmedia Corp. de Medios de Comunicacion SA		(174,513	)		(1,789,437	)		83,676
Banco de Sabadell SA		(3,096,178	)		(5,278,196	)		1,178,064
Bankia SA		(2,317,837	)		(2,428,872	)		741,555
CaixaBank SA		(2,790,347	)		(8,394,519	)		2,244,671
Cellnex Telecom SAU		(189,643	)		(3,295,301	)		319,318
Distribuidora Internacional de Alimentacion SA		(213,223	)		(1,228,341	)		(16,219	)
Gas Natural SDG SA		(42,080	)		(793,345	)		(43,106	)
Grifols SA		(10,889	)		(230,055	)		(17,304	)
Mapfre SA		(88,221	)		(196,155	)		2,407
Tecnicas Reunidas SA		(18,947	)		(560,942	)		(6,936	)
Telefonica SA		(329,973	)		(3,511,555	)		378,853
Zardoya Otis SA		(80,758	)		(852,557	)		89,935
								4,076,949
Switzerland
STMicroelectronics NV		(300,961	)		(1,837,027	)		69,598
United Kingdom
CNH Industrial NV		(732,740	)		(4,340,532	)		(974,511	)
RELX NV		(65,853	)		(1,101,036	)		(38,263	)
Unilever NV		(24,481	)		(1,071,103	)		(72,223	)
								(1,084,997	)
Total of Short Common Stocks								4,547,765
Preferred Stocks
Germany
FUCHS PETROLUB SE		(56,721	)		(2,373,081	)		141,624
Henkel AG & Co. KGaA		(20,946	)		(2,260,916	)		(298,906	)
Schaeffler AG		(13,229	)		(202,271	)		27,536
Volkswagen AG		(45,487	)		(6,019,796	)		510,395
								380,649
Total of Short Equity Positions								4,928,414
Total of Long and Short Equity Positions and Rights								540,420
Net Cash and Other Receivables/ (Payables) (b)								865,501
Swaps, at Value							$	1,405,921

(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 Semi-Annual Report June 2016

162

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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.	56-61 months maturity 01/14/2021		$620,483

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Actelion Ltd.		8,002		$	1,264,320		$	83,197
Adecco Group AG		80,090			4,952,957			(913,371	)
Baloise Holding AG		19,000			2,377,295			(261,068	)
Clariant AG		64,176			1,083,997			537
DKSH Holding AG		6,122			379,877			21,162
Flughafen Zurich AG		23,431			3,471,814			674,793
Galenica AG		1,398			1,952,750			(68,135	)
GAM Holding AG		104,275			1,480,529			(367,355	)
Geberit AG		2,369			810,635			86,654
Georg Fischer AG		1,735			1,241,150			145,824
Givaudan SA		1,303			2,370,930			252,692
Helvetia Holding AG		2,615			1,428,794			(68,344	)
Lonza Group AG		66,499			10,130,375			915,893
OC Oerlikon Corp. AG		280,077			2,401,021			58,046
Partners Group Holding AG		7,280			2,662,085			457,872
Schindler Holding AG		2,154			339,826			50,152
Sika AG		762			2,740,831			454,282
Straumann Holding AG		6,410			1,897,775			631,026
Sunrise Communications Group AG		8,668			510,492			43,722
Swiss Life Holding AG		48,977			13,003,321			(1,684,841	)
Swiss Re AG		68,058			6,464,949			(520,735	)
UBS Group AG		347,476			5,899,801			(1,391,093	)
Zurich Insurance Group AG		11,101			2,594,297			151,899
								(1,247,191	)
Total of Long Equity Positions								(1,247,191	)
Short Positions
Common Stocks
Austria
ams AG		(110,517	)		(3,205,502	)		137,277
Switzerland
Aryzta AG		(1,961	)		(74,754	)		2,283
Barry Callebaut AG		(2,423	)		(2,656,166	)		(327,154	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Chocoladefabriken Lindt & Spruengli AG		(322	)	$	(1,931,449	)	$	11,002
Cie Financiere Richemont SA		(147,496	)		(9,542,875	)		909,240
Credit Suisse Group AG		(707,598	)		(9,575,675	)		2,038,044
Dufry AG		(10,784	)		(1,154,023	)		(135,777	)
EMS-Chemie Holding AG		(1,807	)		(792,800	)		(140,168	)
Julius Baer Group Ltd.		(70,999	)		(3,032,074	)		174,484
Kuehne + Nagel International AG		(19,060	)		(2,563,509	)		(106,981	)
LafargeHolcim Ltd.		(150,588	)		(6,572,351	)		272,121
Nestle SA		(48,316	)		(3,602,488	)		(140,955	)
Novartis AG		(17,933	)		(1,265,111	)		(215,053	)
Roche Holding AG		(6,465	)		(1,701,244	)		(4,739	)
SGS SA		(2,967	)		(5,750,513	)		(1,046,146	)
Sonova Holding AG		(22,919	)		(2,827,449	)		(214,479	)
Swatch Group AG (The)		(23,956	)		(7,906,638	)		935,398
Swisscom AG		(2,476	)		(1,207,954	)		(22,137	)
Syngenta AG		(109	)		(41,986	)		146
							1,989,129
Total of Short Equity Positions								2,126,406
Total of Long and Short Equity Positions								879,215
Net Cash and Other Receivables/ (Payables) (b)								(258,732	)
Swaps, at Value							$	620,483

(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 Semi-Annual Report June 2016

163

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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.	56-61 months maturity 01/14/2021		$253,527

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Denmark
AP Moeller - Maersk A/S		133		$	154,714		$	19,004
Danske Bank A/S		193,549			5,129,439			(35,156	)
DSV A/S		126,048			4,745,109			554,975
Genmab A/S		4,289			710,991			71,096
H Lundbeck A/S		48,697			1,611,387			214,134
ISS A/S		97,485			3,376,109			290,333
Jyske Bank A/S		35,046			1,461,028			(130,605	)
Novo Nordisk A/S		41,640			2,265,970			(23,535	)
Pandora A/S		14,945			1,914,628			120,873
TDC A/S		892,601			4,383,836			(9,670	)
Vestas Wind Systems A/S		42,435			2,711,363			172,921
							1,244,370
Total of Long Equity Positions								1,244,370
Short Positions
Common Stocks
Denmark
Carlsberg A/S		(19,953	)		(1,580,033	)		(323,643	)
Chr Hansen Holding A/S		(48,196	)		(2,947,000	)		(218,287	)
Coloplast A/S		(8,885	)		(708,019	)		42,935

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Denmark (continued)
GN Store Nord A/S		(3,265	)	$	(64,389	)	$	5,409
Novozymes A/S		(96,513	)		(4,209,983	)		(424,657	)
Topdanmark A/S		(26,193	)		(663,049	)		38,809
Tryg A/S		(116,821	)		(2,146,236	)		54,614
William Demant Holding A/S		(133,701	)		(2,428,484	)		(174,111	)
							(998,931)
Total of Short Equity Positions								(998,931	)
Total of Long and Short Equity Positions								245,439
Net Cash and Other Receivables/ (Payables) (b)								8,088
Swaps, at Value							$	253,527

(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 Semi-Annual Report June 2016

164

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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.	55-61 months maturity 01/14/2021		$(15,825,662	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Ajinomoto Co., Inc.		387,700	$	9,610,802	$	(476,216	)
Alfresa Holdings Corp.		197,200		4,119,609		312
Amada Holdings Co. Ltd.		519,200		5,547,921		(276,934	)
Aozora Bank Ltd.		267,000		1,045,045		(118,825	)
Asahi Glass Co. Ltd.		35,000		223,384		(33,443	)
Astellas Pharma, Inc.		294,800		4,479,603		143,552
Bandai Namco Holdings, Inc.		480,100		11,822,336		567,373
Bank of Kyoto Ltd. (The)		11,000		89,037		(21,567	)
Benesse Holdings, Inc.		16,600		519,121		(129,423	)
Bridgestone Corp.		54,100		2,139,639		(401,030	)
Chiba Bank Ltd. (The)		14,000		101,206		(35,045	)
Chiyoda Corp.		271,000		2,137,484		(345,332	)
Chubu Electric Power Co., Inc.		413,700		6,046,154		(158,779	)
Chugoku Bank Ltd. (The)		92,500		1,246,083		(302,278	)
Citizen Holdings Co. Ltd.		298,300		1,778,968		(327,075	)
Concordia Financial Group Ltd.		852,600		4,960,946		(1,668,283	)
Dai Nippon Printing Co. Ltd.		172,000		1,783,600		133,328
Daicel Corp.		308,700		4,700,072		(1,501,301	)
Don Quijote Holdings Co. Ltd.		86,300		3,257,272		(50,128	)
East Japan Railway Co.		35,400		3,648,862		(368,226	)
Eisai Co. Ltd.		4,500		262,563		(11,301	)
Ezaki Glico Co. Ltd.		16,000		959,130		(23,133	)
FamilyMart Co. Ltd.		7,700		428,406		40,842
Fuji Electric Co. Ltd.		700,000		3,015,159		(100,686	)
Fuji Heavy Industries Ltd.		199,800		8,335,132		(1,467,329	)
FUJIFILM Holdings Corp.		141,900		6,198,930		(693,149	)
Fujitsu Ltd.		541,000		2,765,724		(776,295	)
Fukuoka Financial Group, Inc.		1,263,000		6,208,760		(2,044,333	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
GungHo Online Entertainment, Inc.		542,100	$	1,587,316	$	(118,420	)
Gunma Bank Ltd. (The)		252,000		1,424,356		(509,224	)
Hachijuni Bank Ltd. (The)		174,700		1,101,400		(340,534	)
Hakuhodo DY Holdings, Inc.		103,000		1,255,466		(20,927	)
Hankyu Hanshin Holdings, Inc.		89,000		624,422		39,211
Haseko Corp.		130,000		1,472,547		(163,732	)
Hikari Tsushin, Inc.		15,900		1,229,799		102,199
Hirose Electric Co. Ltd.		14,300		1,821,971		(63,558	)
Hiroshima Bank Ltd. (The)		184,000		820,989		(206,178	)
Hisamitsu Pharmaceutical Co., Inc.		35,900		1,918,075		151,970
Hitachi Chemical Co. Ltd.		176,700		3,376,229		(76,109	)
Hitachi High-Technologies Corp.		229,800		6,841,579		(552,463	)
Hitachi Metals Ltd.		254,500		3,115,496		(529,987	)
Hokuhoku Financial Group, Inc.		1,068,000		2,080,866		(864,487	)
Hoshizaki Electric Co. Ltd.		13,200		1,065,257		226,945
Hoya Corp.		195,900		8,523,251		(1,526,488	)
Ibiden Co. Ltd.		76,100		1,137,092		(276,671	)
Idemitsu Kosan Co. Ltd.		33,500		739,946		(12,658	)
Isetan Mitsukoshi Holdings Ltd.		134,800		1,744,364		(544,536	)
Isuzu Motors Ltd.		149,000		1,670,047		165,183
ITOCHU Corp.		60,300		780,447		(42,784	)
Izumi Co. Ltd.		9,500		396,736		(26,649	)
J Front Retailing Co. Ltd.		288,900		4,299,414		(1,303,995	)
Japan Airlines Co. Ltd.		360,000		14,956,246		(3,374,104	)
Japan Petroleum Exploration Co. Ltd.		23,100		616,360		(150,732	)
Japan Tobacco, Inc.		120,900		5,271,769		(399,233	)
JSR Corp.		27,000		433,813		(76,249	)
JTEKT Corp.		407,800		6,663,643		(2,041,443	)

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

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165

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Kajima Corp.		965,000	$	6,145,454	$	558,140
Kaken Pharmaceutical Co. Ltd.		60,600		4,239,051		(265,990	)
Kamigumi Co. Ltd.		241,000		2,337,708		(110,189	)
Kaneka Corp.		409,000		3,851,104		(1,122,151	)
Kansai Electric Power Co., Inc. (The)		72,500		807,487		(101,391	)
Kao Corp.		54,500		3,019,906		154,291
Keisei Electric Railway Co. Ltd.		81,000		1,196,936		(152,864	)
Koito Manufacturing Co. Ltd.		43,600		1,960,575		46,963
Komatsu Ltd.		80,900		1,450,194		(44,825	)
Konami Holdings Corp.		257,000		7,629,955		2,174,555
Konica Minolta, Inc.		599,400		6,057,316		(1,690,949	)
Kose Corp.		33,100		3,265,119		(460,232	)
Kurita Water Industries Ltd.		48,400		1,170,941		(92,020	)
Kyocera Corp.		33,700		1,674,968		(71,427	)
Kyowa Hakko Kirin Co. Ltd.		500		9,796		(1,268	)
Kyushu Financial Group, Inc.		54,000		311,729		(44,071	)
Mabuchi Motor Co. Ltd.		20,700		1,061,687		(184,944	)
Mazda Motor Corp.		89,300		1,604,483		(422,750	)
Medipal Holdings Corp.		295,200		5,357,100		(503,767	)
MEIJI Holdings Co. Ltd.		114,200		10,398,256		1,336,404
Miraca Holdings, Inc.		40,300		1,943,111		(195,377	)
Mitsubishi Chemical Holdings Corp.		956,100		5,663,348		(1,280,595	)
Mitsubishi Corp.		120,400		2,198,870		(78,947	)
Mitsubishi Electric Corp.		303,000		3,267,094		350,228
Mitsubishi Gas Chemical Co., Inc.		207,000		1,182,488		(102,586	)
Mitsubishi Motors Corp.		1,040,800		6,679,808		(1,875,127	)
Mitsubishi Tanabe Pharma Corp.		312,400		5,935,950		(291,448	)
Mitsubishi UFJ Lease & Finance Co. Ltd.		301,700		1,559,515		(400,211	)
Mitsui & Co. Ltd.		94,500		1,187,248		(59,185	)
Mitsui Chemicals, Inc.		1,661,000		6,094,714		9,067
Mixi, Inc.		33,800		1,360,484		36,989
MS&AD Insurance Group Holdings, Inc.		161,700		4,845,020		(655,353	)
Nankai Electric Railway Co. Ltd.		165,000		991,930		(61,527	)
Nexon Co. Ltd.		574,000		9,932,997		(1,437,773	)
NHK Spring Co. Ltd.		514,000		5,402,190		(1,230,629	)
Nintendo Co. Ltd.		20,200		3,008,555		(105,831	)
Nippon Express Co. Ltd.		1,195,000		5,961,950		(501,140	)
Nippon Shokubai Co. Ltd.		77,400		5,111,105		(659,340	)
Nippon Telegraph & Telephone Corp.		149,800		7,002,684		22,175
Nippon Yusen KK		1,241,000		2,782,988		(599,776	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nisshin Seifun Group, Inc.		154,000	$	2,712,895	$	(237,363	)
Nitori Holdings Co. Ltd.		12,400		1,281,450		222,472
Nitto Denko Corp.		65,900		4,319,263		(138,949	)
NOK Corp.		179,400		4,051,461		(1,000,651	)
Nomura Holdings, Inc.		32,900		195,405		(78,394	)
NSK Ltd.		186,900		2,060,810		(692,714	)
NTN Corp.		873,000		3,389,959		(1,034,293	)
NTT Data Corp.		4,300		210,346		(7,263	)
Obayashi Corp.		667,000		6,700,839		400,648
Obic Co. Ltd.		8,800		498,810		(14,402	)
Oji Holdings Corp.		4,000		15,805		(449	)
Oracle Corp. Japan		37,100		2,025,047		(46,762	)
ORIX Corp.		202,600		3,113,105		(491,367	)
Osaka Gas Co. Ltd.		591,000		2,457,040		(184,946	)
Otsuka Corp.		80,200		4,632,857		(882,597	)
Otsuka Holdings Co. Ltd.		22,800		885,650		165,040
Panasonic Corp.		362,900		3,783,657		(661,432	)
Pola Orbis Holdings, Inc.		31,600		2,396,369		577,511
Renesas Electronics Corp.		121,800		861,530		(164,879	)
Resona Holdings, Inc.		1,420,900		7,090,815		(1,897,550	)
Rohm Co. Ltd.		65,500		3,274,629		(689,338	)
Sankyo Co. Ltd.		124,800		5,232,512		(553,381	)
Sanrio Co. Ltd.		20,100		469,119		(111,232	)
Santen Pharmaceutical Co. Ltd.		380,600		6,784,175		(802,214	)
Secom Co. Ltd.		39,800		3,170,676		(228,150	)
Sega Sammy Holdings, Inc.		98,700		1,048,178		14,831
Seiko Epson Corp.		39,000		672,429		(47,195	)
Sekisui Chemical Co. Ltd.		257,200		3,470,222		(301,313	)
Seven & i Holdings Co. Ltd.		85,200		4,184,882		(612,607	)
Sharp Corp.		99,000		124,694		(17,488	)
Shimadzu Corp.		321,000		5,427,635		(601,951	)
Shimamura Co. Ltd.		36,300		4,680,966		719,992
Shimizu Corp.		458,000		3,996,222		294,786
Shin-Etsu Chemical Co. Ltd.		17,600		1,049,318		(18,160	)
Shionogi & Co. Ltd.		151,700		7,989,025		303,818
Shiseido Co. Ltd.		42,600		1,040,776		69,285
Sohgo Security Services Co. Ltd.		4,600		255,376		(27,975	)
Sojitz Corp.		2,976,500		6,947,467		105,448
Sompo Japan Nipponkoa Holdings, Inc.		137,400		4,238,376		(581,860	)
Sony Corp.		72,800		1,969,383		175,449
Sugi Holdings Co. Ltd.		39,900		2,281,129		(56,389	)
Sumitomo Chemical Co. Ltd.		1,195,590		6,479,970		(1,546,893	)
Sumitomo Corp.		197,400		2,095,305		(105,532	)

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

AQR Funds Semi-Annual Report June 2016

166

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Sumitomo Electric Industries Ltd.		330,400		$	4,818,586		$	(445,595	)
Sumitomo Heavy Industries Ltd.		994,000			4,702,033			(335,493	)
Sundrug Co. Ltd.		24,600			1,979,840			329,977
Suntory Beverage & Food Ltd.		22,600			1,070,313			(47,638	)
Suzuken Co. Ltd.		95,320			3,617,908			(617,591	)
Suzuki Motor Corp.		180,700			4,852,935			40,047
Taisei Corp.		726,000			5,051,152			914,171
Takashimaya Co. Ltd.		476,000			4,462,795			(1,053,423	)
Takeda Pharmaceutical Co. Ltd.		35,800			1,910,205			(366,216	)
TDK Corp.		90,200			5,996,608			(947,546	)
Teijin Ltd.		868,000			3,300,781			(424,621	)
Toho Gas Co. Ltd.		186,000			1,400,546			121,440
Tohoku Electric Power Co., Inc.		101,700			1,465,235			(181,727	)
Tokio Marine Holdings, Inc.		34,200			1,157,137			(18,582	)
Tokyo Broadcasting System Holdings, Inc.		29,900			487,581			(83,151	)
Tokyo Electric Power Co. Holdings, Inc.		497,200			2,909,018			(803,357	)
Tokyo Gas Co. Ltd.		77,000			381,834			(63,919	)
Tokyu Corp.		330,000			2,959,888			(62,590	)
Toppan Printing Co. Ltd.		427,000			4,088,259			(416,602	)
Tosoh Corp.		864,000			4,519,072			(533,761	)
Toyo Seikan Group Holdings Ltd.		136,700			2,763,303			(151,232	)
Toyo Suisan Kaisha Ltd.		93,300			3,634,539			149,994
Toyoda Gosei Co. Ltd.		103,200			2,379,562			(541,638	)
Toyota Boshoku Corp.		282,200			5,711,772			179,130
Toyota Tsusho Corp.		86,600			2,091,597			(227,155	)
Trend Micro, Inc.		24,300			1,046,690			(177,626	)
USS Co. Ltd.		286,300			4,775,791			(44,229	)
West Japan Railway Co.		108,800			7,924,402			(1,029,386	)
Yamaguchi Financial Group, Inc.		279,000			3,315,207			(676,901	)
Yamaha Corp.		93,400			2,478,969			38,479
Yamazaki Baking Co. Ltd.		327,000			7,826,586			1,302,491
								(50,055,887	)
Total of Long Equity Positions								(50,055,887	)
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(48,249	)		(3,007,982	)		(230,094	)
Acom Co. Ltd.		(744,630	)		(3,798,176	)		190,781
Advantest Corp.		(192,000	)		(1,822,168	)		(319,791	)
Aeon Co. Ltd.		(437,000	)		(6,610,151	)		(174,959	)
AEON Financial Service Co. Ltd.		(324,000	)		(7,570,980	)		555,428

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Aisin Seiki Co. Ltd.		(34,200	)	$	(1,414,307	)	$	21,228
Alps Electric Co. Ltd.		(61,200	)		(1,343,563	)		180,867
ANA Holdings, Inc.		(134,000	)		(425,337	)		43,489
Asahi Group Holdings Ltd.		(400	)		(14,095	)		1,161
Asahi Kasei Corp.		(561,000	)		(4,051,368	)		147,350
Asics Corp.		(489,500	)		(10,370,534	)		2,100,474
Brother Industries Ltd.		(166,100	)		(2,046,442	)		264,799
Calbee, Inc.		(175,500	)		(7,429,212	)		87,004
Canon, Inc.		(214,100	)		(6,485,640	)		373,041
Casio Computer Co. Ltd.		(105,500	)		(2,177,171	)		657,946
Central Japan Railway Co.		(18,500	)		(3,551,662	)		261,186
Chugai Pharmaceutical Co. Ltd.		(167,400	)		(5,935,342	)		(30,496	)
Chugoku Electric Power Co., Inc. (The)		(141,100	)		(2,052,652	)		258,826
Credit Saison Co. Ltd.		(134,013	)		(2,707,458	)		456,242
CYBERDYNE, Inc.		(16,900	)		(394,037	)		13,104
Daido Steel Co. Ltd.		(111,000	)		(414,882	)		34,696
Daihatsu Motor Co. Ltd.		(95,500	)		(1,480,448	)		236,463
Dai-ichi Life Insurance Co. Ltd. (The)		(17,200	)		(231,663	)		39,119
Daiichi Sankyo Co. Ltd.		(39,100	)		(876,314	)		(73,625	)
Daikin Industries Ltd.		(19,500	)		(1,486,020	)		(152,853	)
Daiwa Securities Group, Inc.		(398,000	)		(2,588,542	)		491,731
DeNA Co. Ltd.		(291,900	)		(5,209,278	)		(1,619,288	)
Denso Corp.		(87,700	)		(4,081,364	)		995,611
Dentsu, Inc.		(100	)		(5,987	)		1,299
Disco Corp.		(31,900	)		(3,156,907	)		271,877
Electric Power Development Co. Ltd.		(61,300	)		(1,976,535	)		548,351
FANUC Corp.		(23,700	)		(3,744,371	)		(110,985	)
Fast Retailing Co. Ltd.		(15,600	)		(5,421,234	)		1,232,939
Hamamatsu Photonics KK		(175,200	)		(5,047,211	)		131,253
Hino Motors Ltd.		(163,500	)		(2,001,689	)		373,236
Hitachi Capital Corp.		(5,500	)		(120,929	)		11,770
Hitachi Construction Machinery Co. Ltd.		(109,595	)		(1,795,064	)		195,411
Hitachi Ltd.		(850,000	)		(4,863,794	)		1,302,417
Hokuriku Electric Power Co.		(56,600	)		(802,838	)		101,499
Honda Motor Co. Ltd.		(103,000	)		(3,362,537	)		778,755
IHI Corp.		(1,674,000	)		(4,175,681	)		(336,572	)
Iida Group Holdings Co. Ltd.		(92,400	)		(1,899,088	)		6,821
Inpex Corp.		(513,100	)		(4,829,953	)		817,203
Itochu Techno-Solutions Corp.		(7,600	)		(177,058	)		13,330
Iyo Bank Ltd. (The)		(132,700	)		(976,495	)		163,752
Japan Airport Terminal Co. Ltd.		(51,700	)		(2,134,407	)		258,666
Japan Display, Inc.		(1,082,500	)		(2,674,628	)		913,598

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

AQR Funds Semi-Annual Report June 2016

167

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Japan Post Bank Co. Ltd.		(236,600	)	$	(3,066,422	)	$	284,327
Japan Post Holdings Co. Ltd.		(39,100	)		(540,533	)		64,866
JFE Holdings, Inc.		(426,400	)		(5,969,214	)		406,741
JGC Corp.		(14,000	)		(223,897	)		23,479
JX Holdings, Inc.		(454,800	)		(1,902,483	)		127,253
Kakaku.com, Inc.		(552,800	)		(11,398,088	)		414,126
Kansai Paint Co. Ltd.		(267,300	)		(4,546,063	)		(850,637	)
Kawasaki Heavy Industries Ltd.		(973,000	)		(3,002,753	)		259,240
KDDI Corp.		(174,000	)		(5,051,327	)		(239,967	)
Keikyu Corp.		(312,000	)		(2,969,086	)		(170,599	)
Keio Corp.		(36,000	)		(357,752	)		18,169
Kewpie Corp.		(85,500	)		(2,299,527	)		(427,648	)
Keyence Corp.		(7,200	)		(4,522,007	)		(390,758	)
Kikkoman Corp.		(190,000	)		(6,845,754	)		(165,245	)
Kintetsu Group Holdings Co. Ltd.		(643,000	)		(2,925,692	)		174,012
Kirin Holdings Co. Ltd.		(58,700	)		(955,664	)		(34,380	)
Kobayashi Pharmaceutical Co. Ltd.		(1,800	)		(77,136	)		(2,796	)
Kobe Steel Ltd.		(4,787,000	)		(4,259,887	)		325,573
Kubota Corp.		(399,600	)		(6,391,705	)		986,984
Kuraray Co. Ltd.		(243,300	)		(3,296,515	)		393,585
Kyushu Electric Power Co., Inc.		(871,200	)		(10,315,426	)		1,577,806
Lawson, Inc.		(7,600	)		(636,342	)		29,598
LIXIL Group Corp.		(111,100	)		(2,638,768	)		814,300
M3, Inc.		(415,300	)		(9,815,283	)		(4,678,681	)
Makita Corp.		(69,300	)		(4,384,600	)		(216,717	)
Marubeni Corp.		(332,500	)		(1,792,989	)		290,843
Marui Group Co. Ltd.		(336,300	)		(5,503,609	)		976,374
Maruichi Steel Tube Ltd.		(26,200	)		(853,835	)		(61,861	)
Minebea Co. Ltd.		(910,500	)		(7,975,402	)		1,789,548
MISUMI Group, Inc.		(239,300	)		(3,531,378	)		(789,115	)
Mitsubishi Heavy Industries Ltd.		(733,000	)		(3,119,182	)		171,627
Mitsubishi Logistics Corp.		(194,000	)		(2,802,212	)		88,089
Mitsubishi Materials Corp.		(238,000	)		(709,144	)		139,287
Mitsubishi UFJ Financial Group, Inc.		(652,400	)		(3,193,505	)		268,891
Mitsui OSK Lines Ltd.		(1,775,000	)		(4,287,387	)		512,841
Mizuho Financial Group, Inc.		(452,000	)		(925,681	)		275,227
Murata Manufacturing Co. Ltd.		(21,200	)		(2,701,599	)		324,768
Nabtesco Corp.		(99,700	)		(2,323,254	)		(55,604	)
Nagoya Railroad Co. Ltd.		(182,000	)		(977,835	)		(47,632	)
NGK Insulators Ltd.		(113,000	)		(2,580,943	)		296,393
NGK Spark Plug Co. Ltd.		(447,500	)		(10,385,404	)		3,630,489

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
NH Foods Ltd.		(59,000	)	$	(1,400,962	)	$	(44,184	)
Nidec Corp.		(102,900	)		(7,741,962	)		(91,097	)
Nikon Corp.		(28,495	)		(469,351	)		83,534
Nippon Electric Glass Co. Ltd.		(119,000	)		(570,100	)		73,335
Nippon Paint Holdings Co. Ltd.		(435,500	)		(9,964,303	)		(802,033	)
Nippon Steel & Sumitomo Metal Corp.		(279,600	)		(5,699,393	)		286,439
Nissan Chemical Industries Ltd.		(90,000	)		(2,431,899	)		(194,057	)
Nissan Motor Co. Ltd.		(679,500	)		(7,177,059	)		1,112,984
Nissin Foods Holdings Co. Ltd.		(28,000	)		(1,550,463	)		21,356
Nomura Research Institute Ltd.		(6,400	)		(254,448	)		19,727
Odakyu Electric Railway Co. Ltd.		(358,000	)		(4,255,935	)		58,048
Olympus Corp.		(39,300	)		(1,661,116	)		193,591
Omron Corp.		(137,300	)		(4,364,075	)		(117,503	)
Ono Pharmaceutical Co. Ltd.		(81,425	)		(3,255,203	)		(291,757	)
Oriental Land Co. Ltd.		(35,900	)		(2,583,956	)		259,453
Park24 Co. Ltd.		(33,900	)		(1,041,696	)		(123,257	)
Pigeon Corp.		(178,200	)		(4,636,583	)		(690,610	)
Rakuten, Inc.		(624,400	)		(7,264,327	)		487,503
Recruit Holdings Co. Ltd.		(76,000	)		(2,724,882	)		(51,711	)
Ricoh Co. Ltd.		(951,600	)		(10,396,748	)		2,147,817
Rinnai Corp.		(29,800	)		(3,032,879	)		399,661
Ryohin Keikaku Co. Ltd.		(15,400	)		(3,584,680	)		(168,264	)
Seibu Holdings, Inc.		(291,400	)		(6,164,369	)		1,228,844
Sekisui House Ltd.		(149,200	)		(2,758,446	)		145,643
Seven Bank Ltd.		(510,200	)		(2,352,437	)		768,821
Shikoku Electric Power Co., Inc.		(346,673	)		(5,619,392	)		1,512,916
Shimano, Inc.		(31,600	)		(5,178,466	)		346,902
Shinsei Bank Ltd.		(3,695,000	)		(6,702,221	)		1,318,672
Shizuoka Bank Ltd. (The)		(139,000	)		(1,154,790	)		175,866
SMC Corp.		(1,800	)		(458,378	)		15,531
SoftBank Group Corp.		(6,800	)		(335,237	)		(49,317	)
Sony Financial Holdings, Inc.		(360,800	)		(5,186,896	)		1,107,376
Stanley Electric Co. Ltd.		(88,200	)		(2,157,995	)		274,370
Sumco Corp.		(466,700	)		(3,565,255	)		575,447
Sumitomo Dainippon Pharma Co. Ltd.		(77,600	)		(994,160	)		(350,867	)
Sumitomo Metal Mining Co. Ltd.		(389,000	)		(4,579,293	)		622,235
Sumitomo Mitsui Financial Group, Inc.		(59,500	)		(2,233,671	)		515,605
Sumitomo Mitsui Trust Holdings, Inc.		(22,000	)		(85,159	)		13,575

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

AQR Funds Semi-Annual Report June 2016

168

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Sumitomo Rubber Industries Ltd.		(98,400	)	$	(1,480,501	)	$	163,131
Suruga Bank Ltd.		(100,000	)		(2,125,537	)		(134,378	)
Sysmex Corp.		(38,200	)		(2,686,649	)		56,255
T&D Holdings, Inc.		(246,900	)		(2,468,000	)		371,318
Taiheiyo Cement Corp.		(265,000	)		(682,347	)		54,677
Taisho Pharmaceutical Holdings Co. Ltd.		(12,400	)		(1,071,506	)		(233,346	)
Taiyo Nippon Sanso Corp.		(524,916	)		(5,203,887	)		379,392
Terumo Corp.		(17,300	)		(616,775	)		(121,508	)
THK Co. Ltd.		(90,900	)		(1,810,471	)		261,134
Tobu Railway Co. Ltd.		(148,000	)		(801,205	)		(11,097	)
Toho Co. Ltd.		(23,100	)		(664,806	)		25,136
Toray Industries, Inc.		(486,000	)		(4,736,569	)		589,581
TOTO Ltd.		(52,300	)		(1,890,948	)		(198,919	)
Toyota Industries Corp.		(50,300	)		(2,375,781	)		375,859
Toyota Motor Corp.		(110,600	)		(7,153,310	)		1,700,892
Tsuruha Holdings, Inc.		(10,000	)		(1,117,392	)		(93,494	)
Unicharm Corp.		(267,000	)		(5,679,878	)		(318,965	)
Yahoo Japan Corp.		(3,327,900	)		(14,588,837	)		(168,276	)
Yakult Honsha Co. Ltd.		(129,968	)		(6,645,456	)		(109,392	)
Yamada Denki Co. Ltd.		(1,359,970	)		(7,308,667	)		129,627
Yamaha Motor Co. Ltd.		(582,700	)		(11,163,921	)		2,275,000

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Yamato Holdings Co. Ltd.		(240,100	)	$	(5,532,961	)	$	20,026
Yaskawa Electric Corp.		(733,900	)		(10,092,333	)		510,226
Yokogawa Electric Corp.		(72,400	)		(871,566	)		55,104
Yokohama Rubber Co. Ltd. (The)		(220,900	)		(3,617,798	)		847,268
								35,232,701
Total of Short Equity Positions								35,232,701
Total of Long and Short Equity Positions								(14,823,186	)
Net Cash and Other Receivables/ (Payables) (b)								(1,002,476	)
Swaps, at Value							$	(15,825,662	)

(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)
JPMC	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.	55-61 months maturity 01/14/2021		$364,802

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Norway
DNB ASA		45,225	$	518,181	$	23,153
Gjensidige Forsikring ASA		14,279		233,549		4,352
Norsk Hydro ASA		285,153		1,178,302		(134,405	)
Orkla ASA		260,463		2,065,651		250,791
Telenor ASA		17,493		273,369		16,193
Yara International ASA		29,054		1,129,779		(206,826	)
						(46,742	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Subsea 7 SA		300,586		$	1,902,031		$	1,052,576
Total of Long Equity Positions								1,005,834
Short Positions
Common Stocks
Norway
Marine Harvest ASA		(111,352	)		(1,588,435	)		(289,768	)
Schibsted ASA, Class A		(122,432	)		(3,727,498	)		57,494
Schibsted ASA, Class B		(11,425	)		(347,721	)		20,851

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

AQR Funds Semi-Annual Report June 2016

169

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Norway (continued)
Statoil ASA		(91,041	)	$	(1,291,237	)	$	(281,811	)
TGS Nopec Geophysical Co. ASA		(36,971	)		(498,249	)		(105,843	)
								(599,077	)
Total of Short Equity Positions								(599,077	)
Total of Long and Short Equity Positions								406,757
Net Cash and Other Receivables/ (Payables) (b)								(41,955	)
Swaps, at Value							$	364,802

(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)
JPMC	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.	55-61 months maturity 01/14/2021		$(15,199,543	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Ireland
Accenture plc		3,368	$	314,302	$	67,259
Alkermes plc		73,400		2,133,004		1,039,344
Endo International plc		161,028		2,690,402		(179,975	)
XL Group plc		50,343		1,749,923		(72,997	)
						853,631
Singapore
Flextronics International Ltd.		1,136,069		11,292,526		2,113,088
Switzerland
Allied World Assurance Co. Holdings AG		187,318		6,004,832		577,523
TE Connectivity Ltd.		114,553		5,987,685		554,437
						1,131,960
United Kingdom
Ensco plc		386,163		4,016,132		(266,489	)
Liberty Global plc		99,374		3,396,175		(508,366	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Liberty Global plc LiLAC		12,398	$	—	$	399,959
LivaNova plc		13,112		652,975		5,641
Michael Kors Holdings Ltd.		24,184		1,331,180		(134,556	)
Willis Towers Watson plc		6,098		743,668		14,374
						(489,437	)
United States
3M Co.		29,971		4,814,737		433,784
Aaron’s, Inc.		85,168		1,915,456		(51,128	)
Abbott Laboratories		47,560		1,759,720		109,864
Abercrombie & Fitch Co.		377,309		9,803,597		(3,083,724	)
Activision Blizzard, Inc.		32,302		1,002,793		277,335
Acxiom Corp.		19,567		413,984		16,294
Adobe Systems, Inc.		97,414		8,281,456		1,049,831
Advance Auto Parts, Inc.		6,518		922,297		131,207
Advanced Micro Devices, Inc.		142,464		630,147		102,118
AECOM		16,855		509,642		25,842
Aetna, Inc.		101,915		9,906,138		2,540,741
Aflac, Inc.		167,464		10,498,343		1,585,859

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

AQR Funds Semi-Annual Report June 2016

170

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
AGCO Corp.		154,023	$	7,269,265	$	(10,161	)
Agilent Technologies, Inc.		223,813		7,940,478		1,987,867
Agios Pharmaceuticals, Inc.		2,015		100,839		(16,421	)
Air Products & Chemicals, Inc.		35,657		4,723,126		341,594
Akamai Technologies, Inc.		42,139		1,667,440		689,394
Alleghany Corp.		12,567		5,888,570		1,018,002
Allegheny Technologies, Inc.		47,159		762,781		(161,504	)
Alliant Energy Corp.		187,810		6,418,518		1,037,539
Allison Transmission Holdings, Inc.		65,871		1,750,617		108,921
Allscripts Healthcare Solutions, Inc.		161,674		2,082,072		(28,812	)
Allstate Corp. (The)		210,611		13,278,742		1,453,497
Alphabet, Inc.		3,950		2,769,029		9,914
Amazon.com, Inc.		11,890		5,783,407		2,725,315
Amdocs Ltd.		282,905		14,802,082		1,527,195
AMERCO		18,228		5,878,225		949,072
Ameren Corp.		193,302		9,001,144		1,355,978
American Airlines Group, Inc.		6,681		264,356		(75,217	)
American Eagle Outfitters, Inc.		212,398		2,833,389		550,111
American Electric Power Co., Inc.		326,119		20,498,547		2,359,134
American Financial Group, Inc.		112,590		7,513,614		810,164
American International Group, Inc.		246,202		13,118,978		(97,354	)
Ameriprise Financial, Inc.		35,622		3,468,724		(268,087	)
AmerisourceBergen Corp.		93,044		7,885,479		(505,229	)
Amgen, Inc.		66,841		9,575,013		594,845
Analog Devices, Inc.		43,109		2,128,899		312,795
ANSYS, Inc.		1,173		97,476		8,973
Anthem, Inc.		62,424		7,513,543		685,225
AO Smith Corp.		116,142		7,402,891		2,830,381
Apollo Education Group, Inc.		59,377		508,267		33,251
Applied Materials, Inc.		111,923		2,558,979		123,816
AptarGroup, Inc.		3,066		242,155		458
Aramark		48,621		1,560,164		64,750
Archer-Daniels-Midland Co.		230,319		7,890,330		1,988,052
Armstrong World Industries, Inc.		21,362		833,114		3,208
Arrow Electronics, Inc.		128,929		7,307,774		672,931
Ashland, Inc.		21,610		1,977,099		503,081
Aspen Insurance Holdings Ltd.		122,734		5,309,344		383,059
Associated Banc-Corp.		19,426		352,277		(19,121	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Assurant, Inc.		128,080	$	9,779,829	$	1,274,756
Atmos Energy Corp.		57,838		4,153,794		549,592
Automatic Data Processing, Inc.		1,308		105,516		14,650
Avery Dennison Corp.		85,208		5,670,834		698,464
Avnet, Inc.		228,482		8,881,095		374,710
Axis Capital Holdings Ltd.		90,492		4,816,423		160,637
Baker Hughes, Inc.		70,411		3,219,425		(41,777	)
BancorpSouth, Inc.		4,417		100,375		(154	)
Bank of America Corp.		250,108		3,455,576		(136,643	)
Bank of New York Mellon Corp. (The)		133,854		4,584,798		615,430
Baxter International, Inc.		221,696		8,838,616		1,186,477
Belden, Inc.		5,423		332,866		(5,480	)
Bemis Co., Inc.		72,753		3,536,406		209,645
Best Buy Co., Inc.		188,312		5,317,096		445,251
Big Lots, Inc.		159,561		5,936,603		2,058,999
Biogen, Inc.		24,102		6,079,181		(250,835	)
Bio-Rad Laboratories, Inc.		8,248		1,028,832		150,797
Boeing Co. (The)		10,515		1,250,023		115,560
BOK Financial Corp.		23,295		1,292,896		167,701
Booz Allen Hamilton Holding Corp.		23,086		592,848		91,421
Boston Scientific Corp.		219,676		3,807,392		1,326,436
Broadridge Financial Solutions, Inc.		90,848		4,744,083		1,179,207
Brocade Communications Systems, Inc.		1,129,001		8,772,338		1,591,891
Brookdale Senior Living, Inc.		20,252		314,793		(2,102	)
Bruker Corp.		312,709		8,386,427		(1,275,424	)
Brunswick Corp.		160,242		6,406,716		855,452
Bunge Ltd.		195,370		11,084,124		472,011
BWX Technologies, Inc.		351,404		10,503,327		2,066,395
CA, Inc.		128,898		3,553,718		678,003
Cable One, Inc.		2,835		1,316,795		133,052
Cabot Corp.		230,817		10,080,141		458,963
California Resources Corp.		150,962		1,286,352		555,384
Capital One Financial Corp.		106,255		6,632,437		115,818
Cardinal Health, Inc.		77,753		5,959,767		105,744
Carlisle Cos., Inc.		81,226		7,289,372		1,294,592
Carnival Corp.		164,319		7,060,787		202,112
Carter’s, Inc.		126,652		11,056,770		2,427,869
Casey’s General Stores, Inc.		6,146		636,871		171,390
CDK Global, Inc.		5,483		229,847		74,404
Celanese Corp.		106,481		7,204,097		(234,916	)
Celgene Corp.		7,077		713,738		(15,734	)
CenterPoint Energy, Inc.		345,977		7,632,363		671,085

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

AQR Funds Semi-Annual Report June 2016

171

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CenturyLink, Inc.		69,854	$	2,018,101	$	8,363
Charles River Laboratories International, Inc.		105,545		7,625,947		1,075,183
Charles Schwab Corp. (The)		213,516		5,688,864		(284,774	)
Cheesecake Factory, Inc. (The)		23,228		1,091,484		26,712
Chemours Co. (The)		309,536		2,724,757		(174,180	)
Chico’s FAS, Inc.		326,846		3,315,917		184,603
Choice Hotels International, Inc.		5,465		253,275		6,968
Cimarex Energy Co.		13,762		1,571,404		70,678
Cinemark Holdings, Inc.		80,158		2,185,107		737,454
Cintas Corp.		75,269		6,333,978		1,052,169
Cisco Systems, Inc.		348,606		7,895,926		2,105,580
Citigroup, Inc.		61,566		2,410,905		198,878
Citizens Financial Group, Inc.		635,691		12,427,759		273,347
Citrix Systems, Inc.		84,481		5,265,701		1,500,383
Clean Harbors, Inc.		45,728		2,173,438		209,448
Clorox Co. (The)		46,163		5,826,057		562,441
CME Group, Inc.		45,350		4,305,316		111,774
Coca-Cola Co. (The)		22,385		1,022,156		(7,444	)
Cognizant Technology Solutions Corp.		88,870		5,339,638		(252,719	)
Comcast Corp.		59,517		3,467,870		412,044
Comerica, Inc.		8,465		274,689		73,476
Commercial Metals Co.		462,637		6,236,679		1,581,886
Computer Sciences Corp.		488,015		15,148,529		9,081,416
ConAgra Foods, Inc.		327,628		13,008,190		2,655,705
ConocoPhillips		47,999		2,040,438		52,318
Consolidated Edison, Inc.		181,936		13,383,973		1,250,959
Constellation Brands, Inc.		17,542		2,410,557		490,889
Convergys Corp.		56,736		1,359,962		58,438
CoreLogic, Inc.		122,992		4,114,042		618,690
Costco Wholesale Corp.		12,020		1,778,239		109,382
Coty, Inc.		71,307		1,977,052		(123,783	)
CR Bard, Inc.		103,411		18,762,892		5,555,239
Cracker Barrel Old Country Store, Inc.		11,118		1,462,485		443,918
Crane Co.		131,817		6,325,563		1,151,097
Crown Holdings, Inc.		238,468		10,774,081		1,309,092
CSX Corp.		491,632		11,740,172		1,081,590
Cummins, Inc.		37,689		3,833,255		404,497
Curtiss-Wright Corp.		5,583		463,329		7,039
CVR Energy, Inc.		27,402		517,294		(92,563	)
Dana Holding Corp.		270,794		3,407,073		(547,488	)
Darden Restaurants, Inc.		197,147		11,529,157		958,134
Dean Foods Co.		363,894		6,747,561		(164,719	)
Delta Air Lines, Inc.		33,083		1,388,824		(183,611	)
Denbury Resources, Inc.		467,758		1,864,574		(185,323	)
Devon Energy Corp.		109,116		2,535,340		1,420,115

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Diamond Offshore Drilling, Inc.		66,473	$	1,642,322	$	(25,034	)
Dick’s Sporting Goods, Inc.		123,522		4,959,387		606,514
Dillard’s, Inc.		51,526		3,535,785		(413,310	)
Discover Financial Services		106,939		4,905,292		825,569
Domino’s Pizza, Inc.		8,137		1,008,643		60,396
Dow Chemical Co. (The)		232,083		10,815,068		721,778
DR Horton, Inc.		445,140		11,933,154		2,079,854
Dr. Pepper Snapple Group, Inc.		54,714		4,944,274		342,740
Dril-Quip, Inc.		15,677		944,452		(28,445	)
DST Systems, Inc.		97,257		9,756,253		1,567,379
DTE Energy Co.		113,414		10,004,619		1,236,976
Dun & Bradstreet Corp. (The)		1,874		223,352		4,976
E*TRADE Financial Corp.		433,104		11,113,441		(939,828	)
East West Bancorp, Inc.		68,318		2,058,547		276,562
Eastman Chemical Co.		30,442		2,262,768		(195,756	)
Eaton Corp. plc		48,961		2,667,395		257,045
eBay, Inc.		496,683		11,209,989		417,360
Edgewell Personal Care Co.		33,692		2,632,291		211,650
Edison International		157,005		10,391,303		1,803,275
Edwards Lifesciences Corp.		109,492		8,358,619		2,561,018
Eli Lilly & Co.		85,811		6,337,283		420,333
Emerson Electric Co.		94,461		4,559,036		368,049
Endurance Specialty Holdings Ltd.		25,152		1,584,528		104,681
Energen Corp.		90,365		3,112,536		1,243,961
Energizer Holdings, Inc.		12,321		538,060		96,349
Entergy Corp.		160,846		11,715,885		1,368,937
EP Energy Corp.		631,596		1,887,390		1,384,277
EQT Corp.		29,267		1,821,013		445,131
Equifax, Inc.		89,622		8,354,563		3,152,902
Estee Lauder Cos., Inc. (The)		26,178		2,367,538		15,183
Everest Re Group Ltd.		23,232		4,365,525		(121,736	)
Facebook, Inc.		32,133		3,529,057		143,102
Fair Isaac Corp.		15,102		1,423,126		283,551
FedEx Corp.		3,957		635,537		(34,943	)
First Solar, Inc.		98,583		5,362,342		(583,038	)
FirstEnergy Corp.		559,526		18,903,644		629,409
Fiserv, Inc.		31,247		2,879,565		517,922
FMC Technologies, Inc.		118,818		3,152,128		16,749
FNB Corp.		11,178		148,825		(8,653	)
Foot Locker, Inc.		77,995		4,961,703		(682,897	)
Fortinet, Inc.		96,898		3,110,447		(49,439	)
Fulton Financial Corp.		86,888		1,111,968		61,020
Gannett Co., Inc.		62,473		976,920		(114,168	)
Gartner, Inc.		9,533		771,601		157,008
General Dynamics Corp.		93,752		12,387,452		666,577
General Mills, Inc.		33,868		1,898,820		516,646

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

AQR Funds Semi-Annual Report June 2016

172

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
General Motors Co.		409,945	$	11,557,675	$	43,768
Genpact Ltd.		191,083		4,847,841		280,827
Gilead Sciences, Inc.		29,766		2,597,083		(114,004	)
GNC Holdings, Inc.		77,352		1,980,189		(101,309	)
GoDaddy, Inc.		63,971		1,985,916		9,340
Goldman Sachs Group, Inc. (The)		41,219		6,146,639		(22,320	)
Goodyear Tire & Rubber Co. (The)		282,937		7,921,790		(661,627	)
GoPro, Inc.		701,770		7,823,103		(236,969	)
Graham Holdings Co.		10,383		4,865,870		217,024
Graphic Packaging Holding Co.		241,761		2,906,635		125,048
Great Plains Energy, Inc.		319,187		9,637,435		65,850
Groupon, Inc.		579,227		1,285,884		596,604
Guess?, Inc.		202,833		3,793,359		(740,723	)
Hanover Insurance Group, Inc. (The)		58,518		4,757,865		193,929
Harman International Industries, Inc.		8,049		544,434		33,645
Hartford Financial Services Group, Inc. (The)		105,644		4,225,760		462,721
Hasbro, Inc.		55,847		4,111,403		579,187
HCA Holdings, Inc.		79,962		5,472,676		685,198
HD Supply Holdings, Inc.		176,979		3,996,186		2,166,223
Herman Miller, Inc.		150,172		3,881,227		607,414
Hertz Global Holdings, Inc.		570,790		5,364,738		953,908
Hess Corp.		9,548		369,508		204,327
Hewlett Packard Enterprise Co.		165,157		2,670,714		346,704
Hill-Rom Holdings, Inc.		38,459		1,850,081		90,176
Hilton Worldwide Holdings, Inc.		147,780		2,606,839		722,644
HNI Corp.		1,635		51,372		24,639
HollyFrontier Corp.		327,507		10,145,592		(2,360,750	)
Hologic, Inc.		501,131		16,648,160		690,973
Home Depot, Inc. (The)		33,618		3,839,287		453,395
Honeywell International, Inc.		465		47,765		6,324
HP, Inc.		925,441		8,786,860		2,827,425
HSN, Inc.		3,634		168,020		9,791
Hubbell, Inc.		26,186		2,496,652		265,186
Huntington Ingalls Industries, Inc.		161,935		20,363,540		6,846,399
Huntsman Corp.		471,103		6,624,887		(288,552	)
Hyatt Hotels Corp.		20,133		932,805		56,531
IAC/InterActiveCorp.		141,551		5,723,720		2,245,601
IDACORP, Inc.		53,809		3,866,527		510,835
IDEX Corp.		2,589		185,036		27,521
Illinois Tool Works, Inc.		37,365		3,504,342		387,596
IMS Health Holdings, Inc.		4,719		109,953		9,721
Incyte Corp.		18,144		1,452,866		(1,709	)
Ingersoll-Rand plc		116,401		6,012,100		1,400,316
Ingram Micro, Inc.		83,841		2,296,405		619,585

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ingredion, Inc.		96,068	$	10,046,017	$	2,386,143
Integrated Device Technology, Inc.		217,071		3,799,989		569,651
Intercontinental Exchange, Inc.		12,534		2,991,479		216,723
International Game Technology plc		288,828		3,849,964		1,562,673
International Paper Co.		110,412		3,878,774		800,487
Interpublic Group of Cos., Inc. (The)		262,694		5,386,353		681,878
Intersil Corp.		177,901		2,194,559		214,220
Intrexon Corp.		175,148		5,363,909		(1,053,517	)
Intuit, Inc.		1,352		121,856		29,041
Invesco Ltd.		276,302		7,392,556		(335,803	)
Ionis Pharmaceuticals, Inc.		221,461		5,653,127		(495,300	)
ITT, Inc.		200,191		6,374,081		28,027
Jabil Circuit, Inc.		619,707		11,882,069		(436,081	)
Jack Henry & Associates, Inc.		35,561		2,725,193		378,216
Jack in the Box, Inc.		101,244		7,037,389		1,661,495
Jacobs Engineering Group, Inc.		1,124		57,741		(1,755	)
JetBlue Airways Corp.		193,813		3,590,362		(380,819	)
John Wiley & Sons, Inc.		89,122		3,745,473		904,913
Johnson & Johnson		16,802		1,894,185		143,897
Joy Global, Inc.		25,526		397,460		142,159
Juniper Networks, Inc.		258,355		5,681,226		129,177
Juno Therapeutics, Inc.		15,649		646,349		(44,801	)
KAR Auction Services, Inc.		8,215		264,112		78,782
Kate Spade & Co.		222,532		4,419,109		167,276
KB Home		238,033		2,650,448		970,034
KBR, Inc.		446,203		5,531,297		376,431
Kennametal, Inc.		96,547		2,256,723		(122,069	)
Kimberly-Clark Corp.		106,346		13,908,993		711,455
L Brands, Inc.		22,874		1,757,159		(221,628	)
L-3 Communications Holdings, Inc.		78,731		9,496,491		2,052,560
Laboratory Corp. of America Holdings		9,988		1,269,786		31,350
Lam Research Corp.		752		62,203		1,010
Lancaster Colony Corp.		11,241		1,143,565		290,899
Las Vegas Sands Corp.		14,930		705,310		(56,004	)
Lear Corp.		133,024		13,640,301		(103,779	)
Leggett & Platt, Inc.		150,487		6,163,948		1,527,443
Leidos Holdings, Inc.		243		10,109		1,524
Lennox International, Inc.		23,163		3,074,184		228,860
Level 3 Communications, Inc.		8,135		429,371		(10,500	)
Lexmark International, Inc.		61,919		2,295,102		42,340
Liberty Broadband Corp.		21,101		978,415		287,645
Liberty Interactive Corp. QVC Group		64,011		1,451,769		172,190

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

AQR Funds Semi-Annual Report June 2016

173

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
LifePoint Health, Inc.		18,683	$	1,245,345	$	(24,037	)
Lincoln Electric Holdings, Inc.		68,190		3,834,797		193,868
Lincoln National Corp.		147,853		5,637,194		95,067
Live Nation Entertainment, Inc.		105,169		2,036,072		435,400
Lowe’s Cos., Inc.		119,430		7,661,434		1,793,839
Lumentum Holdings, Inc.		11,906		260,415		27,710
LyondellBasell Industries NV		60,990		4,618,163		(79,287	)
M&T Bank Corp.		339		37,978		2,102
Macy’s, Inc.		96,434		3,601,597		(360,450	)
Madison Square Garden Co. (The)		14,420		2,377,246		110,348
Manhattan Associates, Inc.		37,676		1,741,761		674,400
Manitowoc Co., Inc. (The)		144,608		813,073		(24,959	)
ManpowerGroup, Inc.		106,046		7,774,232		(951,233	)
Marathon Petroleum Corp.		204,856		6,491,796		1,284,538
Marriott International, Inc.		57,230		3,772,215		31,291
Marvell Technology Group Ltd.		1,114,050		9,692,235		924,661
Masco Corp.		489,013		12,767,873		2,362,189
Maxim Integrated Products, Inc.		302,794		9,451,163		1,355,554
McKesson Corp.		52,604		7,952,400		1,866,136
Mentor Graphics Corp.		57,889		1,182,056		48,664
Merck & Co., Inc.		103,121		5,252,737		688,064
MetLife, Inc.		216,291		8,747,860		(132,990	)
MGM Resorts International		232,970		4,959,792		312,319
Michaels Cos., Inc. (The)		110,790		2,835,052		315,816
Micron Technology, Inc.		142,910		1,548,332		418,109
Microsoft Corp.		199,980		10,021,369		211,608
Minerals Technologies, Inc.		93,479		4,369,442		940,165
Mohawk Industries, Inc.		43,416		6,673,039		1,565,581
Molina Healthcare, Inc.		35,024		2,260,267		(512,569	)
Molson Coors Brewing Co.		49,332		4,223,389		765,556
Mondelez International, Inc.		297,807		11,033,749		2,519,447
Monster Beverage Corp.		2,882		342,699		120,468
Morgan Stanley		285,519		7,580,264		(162,480	)
Morningstar, Inc.		3,144		269,683		(12,567	)
Motorola Solutions, Inc.		41,540		2,946,030		(205,637	)
MSC Industrial Direct Co., Inc.		7,137		515,315		(11,728	)
MSCI, Inc.		50,313		3,274,370		605,769
MSG Networks, Inc.		241,399		3,951,082		(248,021	)
Murphy USA, Inc.		102,565		6,165,839		1,440,381

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Nabors Industries Ltd.		478,455	$	2,918,575	$	1,889,897
Nasdaq, Inc.		183,987		11,370,685		527,754
NCR Corp.		185,274		3,656,431		1,488,628
New York Times Co. (The)		45,062		563,285		(18,034	)
Newfield Exploration Co.		133,111		4,047,044		1,833,800
News Corp.		638,131		6,843,831		398,956
NIKE, Inc.		158,846		8,844,545		(76,246	)
NiSource, Inc.		606,860		13,278,597		2,815,330
Norfolk Southern Corp.		51,371		4,482,023		(108,810	)
Northrop Grumman Corp.		77,519		14,520,859		2,710,064
NorthStar Asset Management Group, Inc.		349,730		3,441,142		129,601
NOW, Inc.		172,119		2,989,595		132,644
Nu Skin Enterprises, Inc.		60,871		2,165,640		645,991
Nuance Communications, Inc.		508,738		9,207,670		(1,256,095	)
Nucor Corp.		68,175		2,811,219		557,307
NVR, Inc.		3,791		6,014,388		734,881
Office Depot, Inc.		527,893		1,765,591		(18,265	)
Oil States International, Inc.		14,226		328,621		139,130
Old Republic International Corp.		350,621		6,319,831		443,648
Omnicom Group, Inc.		33,610		2,407,148		331,731
ON Semiconductor Corp.		710,703		5,090,645		1,177,755
ONE Gas, Inc.		16,160		959,244		116,850
Orbital ATK, Inc.		131,101		11,010,268		151,671
Owens Corning		273,805		11,726,767		2,379,667
Packaging Corp. of America		63,807		4,020,740		249,863
Parker-Hannifin Corp.		60,981		6,677,649		(88,652	)
Patterson-UTI Energy, Inc.		320,425		5,196,413		1,635,048
PBF Energy, Inc.		204,585		5,673,904		(808,873	)
People’s United Financial, Inc.		130,444		1,896,656		15,653
PepsiCo, Inc.		160,855		15,846,895		1,194,083
PerkinElmer, Inc.		36,580		1,872,199		45,325
Pfizer, Inc.		86,417		3,013,257		29,485
PG&E Corp.		385,662		21,787,455		2,864,060
Pilgrim’s Pride Corp.		47,812		1,106,235		112,014
Pinnacle West Capital Corp.		204,046		14,032,868		2,507,100
Pitney Bowes, Inc.		13,432		239,669		(579	)
Plantronics, Inc.		27,162		992,402		202,726
PNC Financial Services Group, Inc. (The)		134,150		11,072,369		(153,901	)
PNM Resources, Inc.		179,007		5,803,415		540,593
Polycom, Inc.		157,189		1,497,007		271,369
Popular, Inc.		19,096		564,277		(4,765	)
PPG Industries, Inc.		75,240		7,013,094		823,152
Privatebancorp, Inc.		5,665		229,896		19,533
ProAssurance Corp.		31,573		1,520,580		170,154

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

AQR Funds Semi-Annual Report June 2016

174

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Procter & Gamble Co. (The)		179,627	$	14,797,005	$	412,013
Progressive Corp. (The)		243,720		8,098,013		66,607
Prudential Financial, Inc.		84,795		5,392,114		657,161
Public Service Enterprise Group, Inc.		424,192		18,056,401		1,715,188
PVH Corp.		94,475		7,397,075		1,505,304
QEP Resources, Inc.		133,214		1,456,029		892,534
QUALCOMM, Inc.		53,465		2,697,710		166,410
Quanta Services, Inc.		195,197		4,438,665		74,290
Quintiles Transnational Holdings, Inc.		67,833		4,046,141		384,710
Rackspace Hosting, Inc.		130,638		2,954,912		(229,803	)
Ralph Lauren Corp.		18,479		1,717,626		(61,538	)
Raymond James Financial, Inc.		115,838		5,177,352		533,462
Raytheon Co.		76,611		9,696,708		718,558
Red Hat, Inc.		30,044		1,852,790		328,404
Regal Beloit Corp.		62,146		3,531,176		(110,039	)
Regions Financial Corp.		484,930		3,904,238		222,516
Reinsurance Group of America, Inc.		75,001		6,450,454		823,893
Reliance Steel & Aluminum Co.		132,028		7,716,858		2,436,096
Republic Services, Inc.		267,060		12,095,026		1,607,823
Robert Half International, Inc.		26,702		1,033,038		(14,090	)
Rockwell Automation, Inc.		5,467		611,556		16,165
Rollins, Inc.		38,145		1,040,821		75,684
Ross Stores, Inc.		116,494		6,386,353		217,691
Rowan Cos. plc		281,232		3,355,098		1,611,459
Royal Caribbean Cruises Ltd.		5,169		378,204		(31,105	)
RPM International, Inc.		7,800		386,402		3,208
RR Donnelley & Sons Co.		132,132		2,024,372		211,301
S&P Global, Inc.		33,605		2,809,042		795,430
SCANA Corp.		90,152		6,149,430		671,470
Science Applications International Corp.		3,072		169,785		9,466
Scotts Miracle-Gro Co. (The)		2,826		180,327		17,239
Sealed Air Corp.		128,873		5,805,872		118,420
SEI Investments Co.		131,306		4,543,188		1,773,944
Sensient Technologies Corp.		2,472		135,911		39,700
Service Corp. International		78,136		1,729,150		383,648
ServiceMaster Global Holdings, Inc.		24,141		922,742		38,070
Sherwin-Williams Co. (The)		20,341		5,450,140		523,402
Signature Bank		52,858		6,926,987		(323,966	)
Skechers U.S.A., Inc.		184,406		5,029,649		450,898
SM Energy Co.		100,558		2,809,683		(94,617	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Snap-on, Inc.		32,507	$	4,446,349	$	683,905
Sonoco Products Co.		8,425		396,712		21,673
Southwest Airlines Co.		85,928		3,492,099		(122,862	)
Spirit AeroSystems Holdings, Inc.		353,199		15,961,686		(774,129	)
SPX Corp.		244,866		2,701,374		934,886
SPX FLOW, Inc.		46,946		1,141,049		82,833
Stanley Black & Decker, Inc.		104,254		9,696,914		1,898,216
Staples, Inc.		489,182		4,168,711		48,038
Starbucks Corp.		2,723		148,186		7,352
Steel Dynamics, Inc.		488,671		8,557,475		3,414,965
SunTrust Banks, Inc.		171,895		5,866,538		1,194,908
Superior Energy Services, Inc.		358,808		3,507,912		3,097,743
SUPERVALU, Inc.		1,218,524		5,194,538		556,895
Symantec Corp.		120,252		2,101,771		368,205
Synaptics, Inc.		66,375		4,895,605		(1,327,949	)
Synchrony Financial		356,162		9,541,891		(538,116	)
SYNNEX Corp.		38,774		3,518,916		157,635
Synopsys, Inc.		64,142		2,627,256		841,543
Synovus Financial Corp.		142,138		4,283,665		(163,085	)
Sysco Corp.		63,935		3,009,965		234,097
Target Corp.		30,477		2,120,018		7,886
TCF Financial Corp.		229,410		2,730,837		171,200
Tech Data Corp.		157,660		10,412,426		915,445
Teekay Corp.		448,960		3,259,906		(58,821	)
Teleflex, Inc.		31,424		4,326,097		1,245,693
Telephone & Data Systems, Inc.		27,541		626,007		190,859
Teradata Corp.		9,201		250,619		(19,950	)
Teradyne, Inc.		359,033		6,469,358		600,002
TerraForm Power, Inc.		43,157		357,453		112,958
Tesoro Corp.		151,886		11,835,386		(456,087	)
Textron, Inc.		217,020		7,347,981		586,270
Thermo Fisher Scientific, Inc.		17,662		2,198,036		411,701
Thomson Reuters Corp.		5,056		186,908		17,455
Thor Industries, Inc.		26,058		1,564,130		122,865
Time Warner, Inc.		89,938		6,429,070		184,970
Time, Inc.		13,594		222,282		1,475
Timken Co. (The)		153,911		4,481,481		237,430
TJX Cos., Inc. (The)		66,598		4,722,374		420,989
TopBuild Corp.		123,572		3,469,001		1,004,306
Torchmark Corp.		41,168		2,104,096		440,909
Toro Co. (The)		44,641		3,620,224		317,113
Total System Services, Inc.		163,655		6,336,634		2,355,083
Travelers Cos., Inc. (The)		101,418		10,742,195		1,330,604
Trinity Industries, Inc.		65,259		1,276,956		(65,096	)
Tyson Foods, Inc.		304,943		19,743,992		623,151
UGI Corp.		160,519		6,034,889		1,228,596
United Continental Holdings, Inc.		161,090		7,325,007		(713,874	)
United Parcel Service, Inc.		11,470		1,182,564		52,985

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

AQR Funds Semi-Annual Report June 2016

175

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United States Steel Corp.		114,133	$	2,074,047	$	(149,765	)
United Therapeutics Corp.		34,053		4,063,204		(456,310	)
UnitedHealth Group, Inc.		60,157		6,687,052		1,807,116
Universal Health Services, Inc.		90,238		9,521,914		2,579,002
Unum Group		271,920		7,357,451		1,286,886
Urban Outfitters, Inc.		238,448		6,980,248		(422,928	)
US Bancorp.		26,893		1,117,128		(32,533	)
Valero Energy Corp.		129,333		7,093,584		(497,601	)
Validus Holdings Ltd.		142,013		6,246,816		653,596
Valmont Industries, Inc.		22,237		2,536,741		471,258
Vantiv, Inc.		33,597		1,665,910		235,680
VCA, Inc.		78,520		3,869,003		1,439,734
Vectren Corp.		60,065		2,751,707		411,917
VeriSign, Inc.		4,670		413,592		(9,823	)
Verizon Communications, Inc.		109,916		5,512,287		625,422
Viacom, Inc.		3,150		129,935		696
Viavi Solutions, Inc.		658,623		4,248,343		118,328
Visteon Corp.		131,453		8,173,519		477,403
Voya Financial, Inc.		203,852		5,512,148		(464,773	)
VWR Corp.		1,226		32,908		2,523
WABCO Holdings, Inc.		691		61,375		1,900
Waddell & Reed Financial, Inc.		148,141		3,019,199		(468,211	)
Walgreens Boots Alliance, Inc.		80,082		6,276,461		391,967
Wal-Mart Stores, Inc.		111,096		7,402,787		709,443
Walt Disney Co. (The)		1,878		184,353		(647	)
Waste Management, Inc.		269,254		14,448,319		3,395,143
Watsco, Inc.		28,802		3,509,444		542,709
WellCare Health Plans, Inc.		98,402		9,216,344		1,340,222
Wells Fargo & Co.		279,786		13,017,778		224,493
Werner Enterprises, Inc.		82,295		2,222,671		(332,355	)
West Pharmaceutical Services, Inc.		12,522		753,985		196,184
Westar Energy, Inc.		28,744		1,529,220		83,031
Western Refining, Inc.		139,443		3,522,865		(646,156	)
Westlake Chemical Corp.		115,047		5,040,123		(102,306	)
WEX, Inc.		1,850		154,840		9,199
WGL Holdings, Inc.		10,775		731,622		31,140
Whirlpool Corp.		61,188		8,385,204		1,811,165
White Mountains Insurance Group Ltd.		2,959		2,208,892		282,586
World Fuel Services Corp.		23,846		1,078,889		53,557
Worthington Industries, Inc.		138,506		4,249,958		1,608,846
WW Grainger, Inc.		4,421		937,319		67,353
Wyndham Worldwide Corp.		2,080		131,477		16,682
Xerox Corp.		863,702		7,780,739		415,792

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Xilinx, Inc.		94,369		$	4,456,104		$	(102,862	)
Xylem, Inc.		135,423			5,196,525			850,112
Yum! Brands, Inc.		192,280			12,780,852			3,163,006
Zoetis, Inc.		97,595			3,890,137			741,722
Zynga, Inc.		2,371,008			4,878,032			1,025,778
								246,610,792
Total of Long Equity Positions								250,220,034
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(103,791	)		(5,903,632	)		(1,762,371	)
Waste Connections, Inc.		(40,525	)		(2,762,912	)		(156,914	)
								(1,919,285	)
Ireland
Allegion plc		(41,806	)		(2,712,112	)		(190,479	)
Jazz Pharmaceuticals plc		(4,222	)		(621,272	)		24,661
Medtronic plc		(43,002	)		(3,142,586	)		(588,697	)
Perrigo Co. plc		(130,351	)		(16,487,050	)		4,668,125
								3,913,610
Netherlands
Chicago Bridge & Iron Co. NV		(261,909	)		(9,498,136	)		428,227
Core Laboratories NV		(42,600	)		(4,096,842	)		(1,180,872	)
Frank’s International NV		(56,342	)		(810,605	)		(12,552	)
QIAGEN NV		(18,426	)		(381,116	)		(20,755	)
Sensata Technologies Holding NV		(163,198	)		(5,119,521	)		(574,457	)
								(1,360,409	)
Norway
Golar LNG Ltd.		(297,133	)		(4,559,041	)		(46,520	)
Panama
Copa Holdings SA		(45,710	)		(2,549,402	)		160,597
Singapore
Broadcom Ltd.		(29,240	)		(4,597,948	)		54,052
Sweden
Autoliv, Inc.		(15,982	)		(1,737,345	)		20,080
Switzerland
Chubb Ltd.		(71,616	)		(7,919,297	)		(1,441,630	)
Garmin Ltd.		(163,141	)		(5,612,994	)		(1,307,447	)
Transocean Ltd.		(286,977	)		(2,859,908	)		(552,248	)
Weatherford International plc		(329,150	)		(2,180,146	)		353,364
								(2,947,961	)
United Kingdom
Aon plc		(78,205	)		(7,263,680	)		(1,278,652	)
Delphi Automotive plc		(29,173	)		(2,208,647	)		382,417

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

AQR Funds Semi-Annual Report June 2016

176

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Noble Corp. plc		(23,162	)	$	(213,906	)	$	23,051
Pentair plc		(244,438	)		(11,048,598	)		(3,199,693	)
STERIS plc		(120,063	)		(8,166,343	)		(87,988	)
								(4,160,865	)
United States
3D Systems Corp.		(182,556	)		(2,031,050	)		(468,141	)
AbbVie, Inc.		(68,789	)		(4,060,238	)		(198,489	)
ABIOMED, Inc.		(21,124	)		(2,126,447	)		(182,195	)
Acadia Healthcare Co., Inc.		(308,523	)		(17,303,996	)		211,821
ACI Worldwide, Inc.		(218,852	)		(3,920,750	)		(349,053	)
Acuity Brands, Inc.		(21,835	)		(5,378,177	)		(36,030	)
AES Corp.		(114,647	)		(1,244,366	)		(186,429	)
Air Lease Corp.		(205,025	)		(5,483,502	)		(7,068	)
Akorn, Inc.		(421,859	)		(10,342,123	)		(1,674,530	)
Alaska Air Group, Inc.		(28,912	)		(2,129,567	)		444,286
Albemarle Corp.		(127,235	)		(6,347,754	)		(3,743,254	)
Alcoa, Inc.		(890,235	)		(7,527,347	)		(725,131	)
Alexion Pharmaceuticals, Inc.		(85,651	)		(11,687,935	)		1,687,325
Align Technology, Inc.		(88,512	)		(5,218,936	)		(1,910,705	)
Allergan plc		(7,153	)		(1,609,725	)		(43,261	)
Alliance Data Systems Corp.		(33,316	)		(6,222,632	)		(304,639	)
Ally Financial, Inc.		(300,260	)		(4,877,267	)		(248,171	)
Alnylam Pharmaceuticals, Inc.		(55,680	)		(3,252,828	)		163,145
AMC Networks, Inc.		(27,458	)		(1,763,862	)		104,850
American Express Co.		(123,601	)		(6,670,960	)		(839,036	)
AMETEK, Inc.		(145,212	)		(6,690,167	)		(22,984	)
Amphenol Corp.		(229,099	)		(11,235,015	)		(1,899,231	)
Amsurg Corp.		(32,828	)		(2,508,794	)		(36,689	)
AmTrust Financial Services, Inc.		(199,232	)		(5,150,922	)		269,738
Anadarko Petroleum Corp.		(13,613	)		(620,772	)		(104,120	)
Antero Resources Corp.		(81,329	)		(2,048,199	)		(64,728	)
Apache Corp.		(50,235	)		(2,460,762	)		(335,820	)
Apple, Inc.		(46,748	)		(4,560,972	)		91,863
Arch Capital Group Ltd.		(45,796	)		(3,136,815	)		(160,497	)
Arista Networks, Inc.		(62,826	)		(3,329,778	)		(714,960	)
ARRIS International plc		(251,663	)		(5,791,344	)		516,488
Arthur J Gallagher & Co.		(9,033	)		(404,788	)		(25,183	)
Artisan Partners Asset Management, Inc.		(61,759	)		(1,804,280	)		94,791
Ascena Retail Group, Inc.		(299,286	)		(2,128,142	)		36,133
Assured Guaranty Ltd.		(147,716	)		(3,456,164	)		(291,391	)
AT&T, Inc.		(91,108	)		(3,339,108	)		(597,668	)
athenahealth, Inc.		(36,003	)		(4,415,519	)		(553,255	)
Autodesk, Inc.		(37,703	)		(2,162,200	)		120,960
AutoNation, Inc.		(168,247	)		(8,277,940	)		373,696
AutoZone, Inc.		(5,229	)		(3,647,646	)		(503,344	)
Avangrid, Inc.		(31,277	)		(1,287,366	)		(153,252	)
Avis Budget Group, Inc.		(233,327	)		(6,059,057	)		(1,461,073	)
Avon Products, Inc.		(436,296	)		(1,496,495	)		(152,704	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Axalta Coating Systems Ltd.		(85,004	)	$	(2,385,429	)	$	130,273
B/E Aerospace, Inc.		(392,281	)		(16,705,151	)		(1,408,425	)
Ball Corp.		(177,419	)		(12,643,116	)		(182,503	)
Bank of Hawaii Corp.		(19,180	)		(1,206,950	)		(112,634	)
Bank of the Ozarks, Inc.		(158,233	)		(6,257,794	)		320,892
BankUnited, Inc.		(77,816	)		(2,550,140	)		159,632
BB&T Corp.		(152,487	)		(4,919,902	)		(510,160	)
Becton Dickinson and Co.		(2,768	)		(371,853	)		(97,572	)
Bed Bath & Beyond, Inc.		(102,743	)		(4,435,156	)		(5,396	)
BioMarin Pharmaceutical, Inc.		(38,060	)		(3,358,323	)		397,255
Bio-Techne Corp.		(110,420	)		(9,696,286	)		(2,755,777	)
Black Hills Corp.		(117,931	)		(6,305,715	)		(1,128,655	)
Black Knight Financial Services, Inc.		(43,137	)		(1,207,244	)		(414,707	)
BlackRock, Inc.		(12,604	)		(3,738,999	)		(578,249	)
Bluebird Bio, Inc.		(73,020	)		(3,359,842	)		198,807
BorgWarner, Inc.		(383,287	)		(11,349,128	)		34,496
Boston Beer Co., Inc. (The)		(2,684	)		(483,898	)		24,854
Brinker International, Inc.		(8,401	)		(376,058	)		(6,439	)
Bristol-Myers Squibb Co.		(39,496	)		(2,592,743	)		(312,187	)
Brown & Brown, Inc.		(86,251	)		(2,909,283	)		(322,542	)
Brown-Forman Corp.		(135,387	)		(13,017,835	)		(488,372	)
Buffalo Wild Wings, Inc.		(35,175	)		(4,924,500	)		36,934
Cabela’s, Inc.		(308,386	)		(12,440,291	)		(2,997,512	)
Cabot Oil & Gas Corp.		(115,707	)		(2,459,792	)		(518,506	)
Cadence Design Systems, Inc.		(88,020	)		(1,744,556	)		(394,330	)
CalAtlantic Group, Inc.		(441,219	)		(13,675,197	)		(2,521,952	)
Calpine Corp.		(553,142	)		(8,006,099	)		(152,746	)
Campbell Soup Co.		(45,758	)		(2,617,815	)		(426,465	)
CarMax, Inc.		(267,869	)		(11,480,865	)		(1,652,752	)
Carpenter Technology Corp.		(96,088	)		(2,609,175	)		(555,003	)
Caterpillar, Inc.		(48,061	)		(3,622,680	)		(20,825	)
Cathay General Bancorp		(63,650	)		(1,794,266	)		(664	)
CBOE Holdings, Inc.		(25,274	)		(1,586,340	)		(97,414	)
CBS Corp.		(104,994	)		(4,834,355	)		(881,518	)
CDW Corp.		(22,171	)		(916,291	)		27,677
CEB, Inc.		(17,899	)		(1,098,116	)		(5,895	)
Centene Corp.		(3,018	)		(185,188	)		(30,207	)
Cerner Corp.		(93,225	)		(5,035,599	)		(427,386	)
CF Industries Holdings, Inc.		(299,273	)		(10,009,776	)		2,797,297
CH Robinson Worldwide, Inc.		(34,791	)		(2,517,004	)		(66,227	)
Cheniere Energy, Inc.		(258,766	)		(7,101,599	)		(2,615,064	)
Chesapeake Energy Corp.		(570,247	)		(2,608,350	)		167,693
Chevron Corp.		(54,209	)		(4,495,010	)		(1,187,719	)
Chipotle Mexican Grill, Inc.		(32,347	)		(14,713,438	)		1,685,360

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

AQR Funds Semi-Annual Report June 2016

177

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Church & Dwight Co., Inc.		(24,667	)	$	(2,182,783	)	$	(355,205	)
Ciena Corp.		(265,787	)		(4,824,584	)		(158,922	)
Cincinnati Financial Corp.		(120,053	)		(7,460,513	)		(1,530,256	)
CIT Group, Inc.		(289,464	)		(7,740,267	)		(1,496,529	)
CLARCOR, Inc.		(11,535	)		(532,802	)		(168,872	)
CMS Energy Corp.		(123,429	)		(4,935,703	)		(724,751	)
CNO Financial Group, Inc.		(30,026	)		(558,344	)		34,090
Coach, Inc.		(72,631	)		(2,473,086	)		(485,901	)
Cobalt International Energy, Inc.		(607,668	)		(1,642,123	)		827,847
Cognex Corp.		(123,052	)		(4,485,544	)		(817,997	)
Colfax Corp.		(232,851	)		(5,951,511	)		(209,727	)
Colgate-Palmolive Co.		(29,202	)		(1,923,828	)		(213,759	)
Commerce Bancshares, Inc.		(31,164	)		(1,280,729	)		(212,027	)
CommScope Holding Co., Inc.		(297,324	)		(6,853,503	)		(2,372,461	)
Community Health Systems, Inc.		(201,430	)		(2,938,761	)		511,529
CommVault Systems, Inc.		(59,105	)		(2,085,224	)		(467,521	)
Compass Minerals International, Inc.		(146,507	)		(10,621,132	)		(248,222	)
comScore, Inc.		(5,400	)		(153,156	)		24,204
Concho Resources, Inc.		(62,210	)		(5,741,897	)		(1,677,890	)
CONSOL Energy, Inc.		(234,851	)		(1,768,428	)		(2,010,325	)
Cooper Cos., Inc. (The)		(20,540	)		(2,672,452	)		(851,595	)
Copart, Inc.		(155,085	)		(6,095,992	)		(1,504,724	)
Corning, Inc.		(374,300	)		(7,316,742	)		(348,922	)
CoStar Group, Inc.		(31,465	)		(4,908,980	)		(1,971,157	)
Covanta Holding Corp.		(430,740	)		(6,093,319	)		(992,354	)
Cree, Inc.		(69,432	)		(1,911,124	)		214,206
CST Brands, Inc.		(5,761	)		(195,451	)		(52,733	)
Cullen/Frost Bankers, Inc.		(248,193	)		(12,469,542	)		(3,347,798	)
CVS Health Corp.		(45,769	)		(4,160,492	)		(221,432	)
Cypress Semiconductor Corp.		(1,280,221	)		(8,710,717	)		(4,795,614	)
Danaher Corp.		(4,260	)		(362,909	)		(67,351	)
DaVita HealthCare Partners, Inc.		(119,025	)		(7,485,411	)		(1,717,603	)
Deckers Outdoor Corp.		(48,367	)		(2,609,092	)		(172,978	)
Deere & Co.		(88,978	)		(7,012,341	)		(198,437	)
Deluxe Corp.		(35,483	)		(2,087,977	)		(267,030	)
DENTSPLY SIRONA, Inc.		(45,425	)		(2,853,752	)		35,585
DeVry Education Group, Inc.		(101,774	)		(1,804,903	)		(10,746	)
DexCom, Inc.		(128,112	)		(8,805,925	)		(1,357,200	)
Diebold, Inc.		(205,457	)		(5,392,825	)		291,328
Discovery Communications, Inc.		(411,440	)		(10,205,221	)		(175,410	)
DISH Network Corp.		(117,594	)		(5,683,303	)		(478,623	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dolby Laboratories, Inc.		(120,690	)	$	(4,522,973	)	$	(1,252,043	)
Dollar General Corp.		(14,668	)		(1,261,797	)		(116,995	)
Dollar Tree, Inc.		(155,970	)		(11,847,721	)		(2,850,892	)
Dominion Resources, Inc.		(250,584	)		(17,649,271	)		(1,878,740	)
Donaldson Co., Inc.		(242,764	)		(7,249,300	)		(1,092,071	)
Dover Corp.		(32,915	)		(2,079,560	)		(202,108	)
DreamWorks Animation SKG, Inc.		(43,566	)		(955,838	)		(824,704	)
DSW, Inc.		(74,683	)		(1,750,570	)		168,784
Duke Energy Corp.		(54,865	)		(4,202,083	)		(504,785	)
Dunkin’ Brands Group, Inc.		(400,161	)		(16,400,107	)		(1,054,916	)
Eaton Vance Corp.		(108,949	)		(3,096,194	)		(754,064	)
Ecolab, Inc.		(92,011	)		(9,863,579	)		(1,048,925	)
Electronic Arts, Inc.		(13,782	)		(1,012,162	)		(31,962	)
Envision Healthcare Holdings, Inc.		(533,377	)		(10,653,420	)		(2,878,354	)
EOG Resources, Inc.		(4,302	)		(307,375	)		(51,498	)
Esterline Technologies Corp.		(11,646	)		(634,006	)		(88,512	)
Eversource Energy		(123,403	)		(6,801,096	)		(590,744	)
Exelon Corp.		(201,799	)		(6,569,588	)		(767,823	)
Expedia, Inc.		(30,403	)		(3,268,605	)		36,766
Expeditors International of Washington, Inc.		(70,640	)		(3,293,079	)		(171,106	)
Express Scripts Holding Co.		(15,572	)		(1,092,624	)		(87,733	)
Exxon Mobil Corp.		(44,922	)		(3,597,354	)		(613,635	)
F5 Networks, Inc.		(10,250	)		(898,003	)		(268,858	)
FactSet Research Systems, Inc.		(24,576	)		(3,480,690	)		(486,368	)
Fastenal Co.		(23,015	)		(1,030,655	)		9,019
Federated Investors, Inc.		(239,217	)		(5,950,937	)		(933,728	)
FEI Co.		(46,869	)		(3,332,171	)		(1,677,188	)
Fidelity National Information Services, Inc.		(79,845	)		(5,332,320	)		(550,660	)
Fifth Third Bancorp		(70,705	)		(1,181,679	)		(62,022	)
FireEye, Inc.		(85,509	)		(1,358,122	)		(50,211	)
First American Financial Corp.		(61,161	)		(2,026,096	)		(433,800	)
First Data Corp.		(306,806	)		(4,011,909	)		615,566
First Horizon National Corp.		(598,682	)		(7,276,682	)		(973,156	)
First Republic Bank		(79,365	)		(4,595,234	)		(959,523	)
FleetCor Technologies, Inc.		(40,610	)		(4,624,261	)		(1,188,249	)
FLIR Systems, Inc.		(110,562	)		(3,179,942	)		(241,952	)
Flowers Foods, Inc.		(442,462	)		(8,337,904	)		41,742
Flowserve Corp.		(176,838	)		(7,034,398	)		(953,374	)
Fluor Corp.		(19,939	)		(860,567	)		(122,027	)
FMC Corp.		(356,572	)		(12,340,691	)		(4,172,158	)
FNF Group		(122,397	)		(3,716,689	)		(873,199	)
Ford Motor Co.		(395,083	)		(4,484,192	)		(482,001	)
Fortune Brands Home & Security, Inc.		(86,245	)		(4,336,491	)		(663,132	)

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

AQR Funds Semi-Annual Report June 2016

178

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Fossil Group, Inc.		(67,291	)	$	(2,264,702	)	$	344,889
Franklin Resources, Inc.		(149,631	)		(4,801,659	)		(191,528	)
Freeport-McMoRan, Inc.		(286,898	)		(1,434,490	)		(1,761,554	)
Frontier Communications Corp.		(270,817	)		(1,169,929	)		(167,907	)
FTI Consulting, Inc.		(68,450	)		(2,406,702	)		(377,844	)
GameStop Corp.		(45,717	)		(1,198,073	)		(17,084	)
Gap, Inc. (The)		(210,381	)		(4,895,566	)		431,281
GATX Corp.		(67,217	)		(2,858,106	)		(97,425	)
GCP Applied Technologies, Inc.		(6,759	)		(114,227	)		(61,777	)
General Electric Co.		(77,191	)		(2,182,961	)		(247,011	)
Genesee & Wyoming, Inc.		(156,167	)		(8,852,028	)		(354,017	)
Gentex Corp.		(639,252	)		(8,753,285	)		(1,123,159	)
Genworth Financial, Inc.		(1,225,282	)		(2,427,503	)		(733,725	)
Global Payments, Inc.		(52,362	)		(3,133,064	)		(604,535	)
Graco, Inc.		(85,564	)		(6,262,437	)		(496,263	)
Granite Construction, Inc.		(14,023	)		(623,503	)		(15,245	)
Greif, Inc.		(20,383	)		(537,395	)		(222,279	)
H&R Block, Inc.		(343,196	)		(8,533,951	)		640,443
Hain Celestial Group, Inc. (The)		(265,718	)		(9,175,433	)		(4,044,038	)
Halliburton Co.		(52,206	)		(2,088,523	)		(275,886	)
Halyard Health, Inc.		(134,425	)		(3,428,452	)		(943,049	)
Hancock Holding Co.		(230,549	)		(5,405,996	)		(613,638	)
Hanesbrands, Inc.		(288,604	)		(7,546,730	)		294,112
Harley-Davidson, Inc.		(106,182	)		(4,556,365	)		(253,679	)
Harris Corp.		(75,782	)		(5,573,568	)		(749,683	)
Helmerich & Payne, Inc.		(58,358	)		(3,369,027	)		(548,546	)
Henry Schein, Inc.		(32,233	)		(5,051,805	)		(646,990	)
Hershey Co. (The)		(78,716	)		(7,070,271	)		(1,863,208	)
Hexcel Corp.		(273,391	)		(10,881,193	)		(502,808	)
Hormel Foods Corp.		(171,295	)		(6,634,228	)		364,831
Huntington Bancshares, Inc.		(237,029	)		(2,273,711	)		154,672
IDEXX Laboratories, Inc.		(178,652	)		(12,235,875	)		(4,353,749	)
Illumina, Inc.		(128,932	)		(18,004,410	)		(95,064	)
Ingevity Corp.		(9,522	)		—			(324,129	)
Intel Corp.		(98,945	)		(2,912,204	)		(333,192	)
InterDigital, Inc.		(34,709	)		(1,474,785	)		(457,812	)
International Business Machines Corp.		(25,873	)		(3,210,063	)		(716,941	)
International Flavors & Fragrances, Inc.		(45,889	)		(5,323,967	)		(461,259	)
Intuitive Surgical, Inc.		(783	)		(500,293	)		(17,591	)
IPG Photonics Corp.		(76,250	)		(6,298,940	)		198,940
ITC Holdings Corp.		(172,698	)		(6,674,778	)		(1,410,943	)
j2 Global, Inc.		(57,179	)		(3,725,127	)		113,129
Janus Capital Group, Inc.		(189,976	)		(2,708,196	)		63,730
JB Hunt Transport Services, Inc.		(60,927	)		(4,576,836	)		(353,986	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
JC Penney Co., Inc.		(247,042	)	$	(1,970,934	)	$	(222,799	)
JM Smucker Co. (The)		(32,237	)		(4,105,382	)		(807,859	)
Johnson Controls, Inc.		(89,414	)		(3,969,937	)		12,473
Kansas City Southern		(92,779	)		(7,291,502	)		(1,066,959	)
Kellogg Co.		(1,932	)		(137,945	)		(19,803	)
KeyCorp.		(401,755	)		(4,764,365	)		324,973
Keysight Technologies, Inc.		(28,278	)		(783,410	)		(39,197	)
Kinder Morgan, Inc.		(175,603	)		(2,783,630	)		(503,658	)
KLX, Inc.		(178,741	)		(5,126,977	)		(413,994	)
Knowles Corp.		(253,852	)		(3,112,607	)		(360,089	)
Kohl’s Corp.		(18,422	)		(762,671	)		64,109
Kosmos Energy Ltd.		(402,691	)		(2,074,036	)		(120,630	)
Kroger Co. (The)		(28,886	)		(1,031,912	)		(30,804	)
Landstar System, Inc.		(59,819	)		(3,644,206	)		(462,966	)
Laredo Petroleum, Inc.		(167,230	)		(1,523,563	)		(229,007	)
Legg Mason, Inc.		(71,042	)		(1,974,031	)		(120,997	)
Lennar Corp.		(169,367	)		(6,535,387	)		(1,272,431	)
Leucadia National Corp.		(294,764	)		(4,609,346	)		(498,914	)
Linear Technology Corp.		(61,585	)		(2,519,442	)		(346,108	)
Lions Gate Entertainment Corp.		(580,501	)		(11,594,617	)		(148,918	)
Lockheed Martin Corp.		(1,394	)		(314,820	)		(31,129	)
Loews Corp.		(93,808	)		(3,412,735	)		(441,836	)
LPL Financial Holdings, Inc.		(126,594	)		(3,214,991	)		362,828
Mallinckrodt plc		(10,768	)		(651,403	)		(3,076	)
Manitowoc Foodservice, Inc.		(235,220	)		(252,351	)		(3,892,226	)
Marathon Oil Corp.		(136,549	)		(1,519,448	)		(530,152	)
Markel Corp.		(1,583	)		(1,314,602	)		(193,648	)
MarketAxess Holdings, Inc.		(13,317	)		(1,730,205	)		(206,087	)
Marsh & McLennan Cos., Inc.		(347,160	)		(19,235,698	)		(4,530,875	)
Mattel, Inc.		(108,345	)		(3,377,114	)		(13,001	)
MAXIMUS, Inc.		(111,855	)		(5,627,382	)		(566,030	)
McCormick & Co., Inc.		(84,353	)		(7,634,542	)		(1,363,392	)
McDonald’s Corp.		(38,248	)		(4,765,113	)		162,349
MDC Holdings, Inc.		(90,983	)		(1,798,734	)		(415,792	)
MDU Resources Group, Inc.		(142,660	)		(2,823,642	)		(600,198	)
Mead Johnson Nutrition Co.		(23,778	)		(1,615,002	)		(542,852	)
MEDNAX, Inc.		(196,659	)		(13,133,395	)		(1,110,616	)
Mercury General Corp.		(36,325	)		(1,847,184	)		(83,853	)
Meredith Corp.		(5,772	)		(296,842	)		(2,782	)
Mettler-Toledo International, Inc.		(12,371	)		(3,797,897	)		(716,528	)
Microchip Technology, Inc.		(221,227	)		(9,522,334	)		(1,707,148	)
Microsemi Corp.		(161,204	)		(5,588,236	)		320,089
Middleby Corp. (The)		(106,934	)		(9,195,646	)		(3,128,497	)
Moody’s Corp.		(47,984	)		(3,842,511	)		(654,070	)
Mosaic Co. (The)		(233,251	)		(6,178,458	)		71,947
Murphy Oil Corp.		(34,106	)		(1,002,454	)		(80,412	)

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

AQR Funds Semi-Annual Report June 2016

179

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Mylan NV		(263	)	$	(11,892	)	$	520
National Fuel Gas Co.		(38,102	)		(1,712,304	)		(454,938	)
National Instruments Corp.		(161,696	)		(4,461,473	)		31,002
National Oilwell Varco, Inc.		(149,201	)		(4,131,604	)		(889,009	)
Navient Corp.		(571,445	)		(5,032,071	)		(1,796,697	)
NetApp, Inc.		(78,482	)		(2,105,814	)		175,942
Netflix, Inc.		(32,616	)		(2,896,134	)		(87,578	)
NetScout Systems, Inc.		(353,987	)		(7,667,806	)		(208,405	)
NetSuite, Inc.		(214,942	)		(11,603,992	)		(4,043,786	)
NeuStar, Inc.		(23,492	)		(539,251	)		(13,046	)
Newell Brands, Inc.		(109,289	)		(4,519,419	)		(788,748	)
NewMarket Corp.		(8,762	)		(2,999,310	)		(631,487	)
NextEra Energy, Inc.		(141,054	)		(16,533,165	)		(1,860,276	)
Nielsen Holdings plc		(140,105	)		(6,322,939	)		(958,318	)
Noble Energy, Inc.		(103,241	)		(2,982,332	)		(720,923	)
Nordson Corp.		(83,746	)		(4,944,797	)		(2,057,206	)
Nordstrom, Inc.		(59,354	)		(2,987,880	)		729,461
Northern Trust Corp.		(639	)		(37,056	)		(5,285	)
Norwegian Cruise Line Holdings Ltd.		(121,335	)		(6,178,137	)		1,344,151
NRG Energy, Inc.		(376,788	)		(4,084,382	)		(1,563,670	)
NVIDIA Corp.		(71,095	)		(2,832,418	)		(509,758	)
Occidental Petroleum Corp.		(29,579	)		(1,996,573	)		(238,417	)
Oceaneering International, Inc.		(10,177	)		(301,682	)		(2,203	)
OGE Energy Corp.		(514,631	)		(14,039,276	)		(2,814,890	)
Old Dominion Freight Line, Inc.		(51,876	)		(3,499,697	)		371,055
Olin Corp.		(536,673	)		(10,625,038	)		(2,705,919	)
OneMain Holdings, Inc.		(16,662	)		(417,271	)		37,045
ONEOK, Inc.		(292,222	)		(6,602,343	)		(7,263,591	)
OPKO Health, Inc.		(549,136	)		(5,504,014	)		375,084
Oracle Corp.		(59,758	)		(2,096,311	)		(349,584	)
O’Reilly Automotive, Inc.		(6,330	)		(1,495,716	)		(220,347	)
Oshkosh Corp.		(88,348	)		(2,819,442	)		(1,395,641	)
Owens & Minor, Inc.		(94,601	)		(3,495,155	)		(41,030	)
Owens-Illinois, Inc.		(4,643	)		(85,091	)		1,471
PACCAR, Inc.		(29,152	)		(1,572,099	)		59,985
PacWest Bancorp		(124,282	)		(4,346,323	)		(597,615	)
Palo Alto Networks, Inc.		(59,129	)		(8,554,356	)		1,302,775
Pandora Media, Inc.		(1,198,599	)		(11,590,261	)		(3,332,297	)
Panera Bread Co.		(14,699	)		(2,817,885	)		(297,421	)
PAREXEL International Corp.		(116,733	)		(7,125,655	)		(214,516	)
Patterson Cos., Inc.		(142,312	)		(6,110,046	)		(705,275	)
Paychex, Inc.		(98,498	)		(4,718,808	)		(1,141,823	)
PayPal Holdings, Inc.		(59,631	)		(2,331,738	)		154,610
Penske Automotive Group, Inc.		(110,566	)		(3,858,188	)		379,781
Phillips 66		(10,420	)		(826,977	)		254
Pinnacle Foods, Inc.		(45,826	)		(1,985,725	)		(135,560	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Platform Specialty Products Corp.		(1,039,566	)	$	(6,647,241	)	$	(2,584,105	)
Polaris Industries, Inc.		(69,209	)		(5,468,344	)		(190,184	)
PolyOne Corp.		(2,431	)		(60,605	)		(25,064	)
Post Holdings, Inc.		(46,178	)		(2,894,437	)		(924,022	)
PPL Corp.		(102,970	)		(3,727,937	)		(159,180	)
Praxair, Inc.		(78,765	)		(8,177,382	)		(675,016	)
Premier, Inc.		(74,431	)		(2,446,091	)		12,197
Prestige Brands Holdings, Inc.		(12,865	)		(700,897	)		(11,824	)
Priceline Group, Inc. (The)		(2,624	)		(3,069,031	)		(206,796	)
Primerica, Inc.		(76,834	)		(3,444,785	)		(953,193	)
Principal Financial Group, Inc.		(185,701	)		(6,756,374	)		(877,794	)
Prosperity Bancshares, Inc.		(112,794	)		(4,869,082	)		(882,284	)
PTC, Inc.		(8,134	)		(312,220	)		6,545
PulteGroup, Inc.		(415,324	)		(7,006,188	)		(1,088,477	)
Qorvo, Inc.		(46,103	)		(1,644,866	)		(902,786	)
Quest Diagnostics, Inc.		(31,720	)		(1,920,646	)		(661,679	)
Quorum Health Corp.		(9,119	)		—			(97,664	)
Range Resources Corp.		(56,988	)		(1,597,944	)		(860,519	)
Regal Entertainment Group		(34,056	)		(645,828	)		(104,766	)
Regeneron Pharmaceuticals, Inc.		(14,289	)		(5,330,513	)		340,366
RenaissanceRe Holdings Ltd.		(26,912	)		(3,050,555	)		(109,991	)
Rent-A-Center, Inc.		(175,682	)		(2,048,822	)		(108,553	)
ResMed, Inc.		(132,258	)		(7,562,512	)		(800,161	)
Restoration Hardware Holdings, Inc.		(174,672	)		(6,241,285	)		1,231,692
Rice Energy, Inc.		(139,722	)		(1,797,773	)		(1,281,700	)
Rockwell Collins, Inc.		(166,454	)		(13,764,504	)		(407,390	)
Roper Technologies, Inc.		(32,790	)		(5,660,759	)		68,096
Rovi Corp.		(78,893	)		(1,403,112	)		169,225
RPC, Inc.		(48,284	)		(638,419	)		(111,431	)
Ryder System, Inc.		(10,467	)		(686,165	)		46,213
Sabre Corp.		(34,320	)		(936,624	)		17,191
salesforce.com, Inc.		(34,879	)		(1,999,613	)		(770,128	)
Sally Beauty Holdings, Inc.		(106,618	)		(3,158,999	)		23,363
Santander Consumer USA Holdings, Inc.		(42,536	)		(427,468	)		(11,928	)
SBA Communications Corp.		(66,339	)		(5,687,906	)		(1,472,726	)
Schlumberger Ltd.		(42,833	)		(2,940,802	)		(446,431	)
Scripps Networks Interactive, Inc.		(72,614	)		(3,993,770	)		(527,904	)
Seagate Technology plc		(99,939	)		(3,039,895	)		605,381
Seattle Genetics, Inc.		(175,465	)		(5,197,755	)		(1,892,786	)
Sempra Energy		(47,352	)		(4,840,732	)		(558,343	)
Semtech Corp.		(16,869	)		(273,615	)		(128,879	)
ServiceNow, Inc.		(83,233	)		(4,298,944	)		(1,227,727	)

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

AQR Funds Semi-Annual Report June 2016

180

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Signet Jewelers Ltd.		(19,057	)	$	(2,121,226	)	$	550,738
Silgan Holdings, Inc.		(29,306	)		(1,500,353	)		(7,734	)
Silicon Laboratories, Inc.		(31,719	)		(1,261,090	)		(284,894	)
Sirius XM Holdings, Inc.		(2,259,010	)		(7,567,684	)		(1,355,406	)
Six Flags Entertainment Corp.		(118,613	)		(5,663,967	)		(1,209,657	)
Skyworks Solutions, Inc.		(105,097	)		(7,251,864	)		601,326
SLM Corp.		(46,288	)		(285,733	)		(327	)
Snyder’s-Lance, Inc.		(47,982	)		(1,482,321	)		(143,789	)
Sotheby’s		(127,117	)		(2,908,437	)		(574,569	)
Southern Co. (The)		(372,666	)		(18,334,407	)		(1,651,671	)
Southwestern Energy Co.		(152,917	)		(1,803,699	)		(119,997	)
Spectra Energy Corp.		(179,066	)		(5,219,774	)		(1,339,414	)
Spectrum Brands Holdings, Inc.		(61,845	)		(6,265,311	)		(1,113,416	)
Spirit Airlines, Inc.		(72,843	)		(3,104,248	)		(164,217	)
Splunk, Inc.		(143,453	)		(4,579,020	)		(3,193,264	)
Sprouts Farmers Market, Inc.		(432,254	)		(9,682,490	)		(216,127	)
SS&C Technologies Holdings, Inc.		(219,400	)		(6,664,639	)		503,887
State Street Corp.		(61,198	)		(3,583,447	)		283,651
Stericycle, Inc.		(200,499	)		(21,189,340	)		313,384
Stifel Financial Corp.		(6,240	)		(216,561	)		20,313
Stryker Corp.		(20,782	)		(2,307,178	)		(183,129	)
SunPower Corp.		(483,914	)		(9,658,858	)		2,163,030
SVB Financial Group		(56,706	)		(5,814,618	)		418,475
T Rowe Price Group, Inc.		(53,471	)		(3,555,287	)		(346,492	)
Tableau Software, Inc.		(17,722	)		(861,097	)		(5,863	)
Talen Energy Corp.		(355	)		(4,842	)		32
Targa Resources Corp.		(157,853	)		(5,205,085	)		(1,446,840	)
TEGNA, Inc.		(43,817	)		(1,038,701	)		23,461
Teledyne Technologies, Inc.		(4,381	)		(343,186	)		(90,752	)
Tempur Sealy International, Inc.		(5,219	)		(304,415	)		15,700
Tenet Healthcare Corp.		(345,399	)		(8,362,110	)		(1,184,719	)
Tesla Motors, Inc.		(14,766	)		(2,912,201	)		(222,326	)
Texas Instruments, Inc.		(14,586	)		(899,666	)		(14,147	)
Tiffany & Co.		(92,097	)		(5,947,364	)		362,602
Toll Brothers, Inc.		(20,871	)		(555,277	)		(6,361	)
Tractor Supply Co.		(56,681	)		(4,616,667	)		(551,506	)
TransDigm Group, Inc.		(132,453	)		(25,121,813	)		(9,804,719	)
TreeHouse Foods, Inc.		(133,785	)		(11,024,132	)		(2,708,898	)
TRI Pointe Group, Inc.		(31,299	)		(364,854	)		(5,101	)
Trimble Navigation Ltd.		(58,422	)		(1,099,502	)		(323,658	)
TripAdvisor, Inc.		(101,732	)		(5,568,606	)		(972,761	)
Triumph Group, Inc.		(185,269	)		(4,835,306	)		(1,741,744	)
Trustmark Corp.		(17,237	)		(411,963	)		(16,377	)
Tupperware Brands Corp.		(57,797	)		(3,020,518	)		(232,297	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Twenty-First Century Fox, Inc.		(281,390	)	$	(6,937,703	)	$	(673,896	)
Twitter, Inc.		(6,910	)		(117,634	)		786
Tyler Technologies, Inc.		(48,217	)		(6,725,562	)		(1,312,694	)
Ulta Salon Cosmetics & Fragrance, Inc.		(19,087	)		(3,948,392	)		(701,965	)
Ultimate Software Group, Inc. (The)		(54,896	)		(8,707,003	)		(2,837,077	)
Umpqua Holdings Corp.		(68,705	)		(1,024,926	)		(37,941	)
Under Armour, Inc.		(420,686	)		(24,698,990	)		7,816,861
Under Armour, Inc.		(157,229	)		(2	)		(5,723,134	)
Union Pacific Corp.		(29,181	)		(2,250,439	)		(295,604	)
United Natural Foods, Inc.		(124,027	)		(4,107,671	)		(1,696,793	)
United Rentals, Inc.		(19,079	)		(1,128,735	)		(151,466	)
United Technologies Corp.		(64,722	)		(5,646,347	)		(990,894	)
USG Corp.		(277,495	)		(5,341,779	)		(2,139,486	)
Valley National Bancorp		(628,255	)		(5,679,394	)		(50,292	)
Varian Medical Systems, Inc.		(81,924	)		(6,133,650	)		(602,961	)
Veeva Systems, Inc.		(187,495	)		(4,354,876	)		(2,042,453	)
VeriFone Systems, Inc.		(115,176	)		(2,332,154	)		196,791
Verisk Analytics, Inc.		(127,377	)		(8,632,339	)		(1,695,388	)
Vertex Pharmaceuticals, Inc.		(47,858	)		(3,947,880	)		(168,865	)
VF Corp.		(21,165	)		(1,293,370	)		(8,066	)
Vishay Intertechnology, Inc.		(693	)		(8,362	)		(224	)
Vista Outdoor, Inc.		(9,733	)		(434,773	)		(29,783	)
VMware, Inc.		(67,114	)		(3,080,977	)		(759,286	)
Wabtec Corp.		(118,839	)		(7,478,238	)		(867,825	)
Waters Corp.		(13,878	)		(1,607,489	)		(344,452	)
WebMD Health Corp.		(34,824	)		(2,215,210	)		191,587
Webster Financial Corp.		(17,024	)		(630,722	)		52,757
WEC Energy Group, Inc.		(460,183	)		(26,383,646	)		(3,666,304	)
Wendy’s Co. (The)		(245,599	)		(2,390,701	)		28,039
WESCO International, Inc.		(61,705	)		(3,100,299	)		(76,891	)
Western Digital Corp.		(5,784	)		(220,019	)		(53,333	)
Western Union Co. (The)		(465,879	)		(7,919,943	)		(1,015,616	)
WestRock Co.		(280,841	)		(9,643,075	)		(1,273,214	)
WhiteWave Foods Co. (The)		(322,895	)		(11,968,430	)		(3,188,261	)
Whiting Petroleum Corp.		(91,885	)		(1,011,878	)		161,023
Whole Foods Market, Inc.		(282,302	)		(8,324,864	)		(714,446	)
Williams-Sonoma, Inc.		(91,451	)		(4,829,379	)		62,038
WisdomTree Investments, Inc.		(1,350,846	)		(14,746,155	)		1,521,372
Woodward, Inc.		(48,115	)		(2,106,956	)		(666,393	)
Workday, Inc.		(143,470	)		(7,093,106	)		(3,619,799	)
WPX Energy, Inc.		(176,380	)		(1,377,571	)		(264,526	)

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

AQR Funds Semi-Annual Report June 2016

181

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WR Berkley Corp.		(43,660	)	$	(2,320,722	)	$	(295,385	)
WR Grace & Co.		(17,083	)		(1,166,940	)		(83,707	)
Wynn Resorts Ltd.		(72,795	)		(4,254,868	)		(2,343,271	)
Xcel Energy, Inc.		(159,248	)		(6,309,406	)		(821,720	)
Yahoo!, Inc.		(116,239	)		(3,117,530	)		(1,248,407	)
Yelp, Inc.		(38,065	)		(878,853	)		(276,800	)
Zayo Group Holdings, Inc.		(35,122	)		(954,808	)		(26,150	)
Zebra Technologies Corp.		(87,041	)		(4,759,402	)		398,648
Zillow Group, Inc.		(148,788	)		(3,043,425	)		(2,354,604	)
Zimmer Biomet Holdings, Inc.		(221,680	)		(20,741,949	)		(5,943,889	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zions Bancorporation		(342,911	)	$	(7,189,257	)	$	(1,428,097	)
								(260,249,586	)
Total of Short Equity Positions								(266,536,287	)
Total of Long and Short Equity Positions								(16,316,253	)
Net Cash and Other Receivables/ (Payables) (b)								1,116,710
Swaps, at Value							$	(15,199,543	)

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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.	56-61 months maturity 01/14/2021		$5,877,921

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Sweden
BillerudKorsnas AB		61,930	$	980,685		$	(56,535	)
Boliden AB		254,146		3,454,958			1,512,096
Bonava AB		29,857		(16,114	)		376,063
Electrolux AB		643,670		13,941,131			3,608,432
Husqvarna AB		435,390		2,568,241			673,880
NCC AB		52,267		1,507,080			(293,483	)
Nibe Industrier AB		37,520		284,246			27,761
Saab AB		11,936		374,751			(2,531	)
Securitas AB		162,329		2,247,085			258,921
Skanska AB		190,910		3,436,961			560,500
SSAB AB		123,183		495,175			(208,302	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
Svenska Cellulosa AB SCA		338,101	$	9,600,920	$	1,262,491
Swedish Match AB		149,582		4,994,862		225,267
Swedish Orphan Biovitrum AB		15,975		195,463		653
TeliaSonera AB		376,554		1,761,944		21,219
Trelleborg AB		44,881		742,584		53,851
						8,020,283
Total of Long Equity Positions						8,020,283

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

AQR Funds Semi-Annual Report June 2016

182

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Luxembourg
Millicom International Cellular SA		(25,526	)	$	(1,156,304	)	$	(409,444	)
Sweden
Alfa Laval AB		(157,855	)		(2,590,485	)		102,561
Assa Abloy AB		(71,850	)		(1,392,778	)		(85,380	)
Atlas Copco AB		(191,697	)		(4,172,166	)		(806,616	)
Axfood AB		(17,554	)		(308,909	)		(28,257	)
Elekta AB		(113,373	)		(836,776	)		(85,471	)
Getinge AB		(25,522	)		(582,684	)		55,757
Hennes & Mauritz AB		(224,862	)		(7,358,726	)		743,102
Hexagon AB		(122,886	)		(4,028,292	)		(468,839	)
Hexpol AB		(43,195	)		(424,429	)		(19,136	)
ICA Gruppen AB		(4,209	)		(135,480	)		(5,586	)
Modern Times Group MTG AB		(76,887	)		(2,011,584	)		(32,182	)
Nordea Bank AB		(296,396	)		(3,025,638	)		511,119
Sandvik AB		(571,663	)		(4,549,305	)		(1,174,146	)
Skandinaviska Enskilda Banken AB		(325,152	)		(2,950,702	)		110,278
SKF AB		(44,723	)		(750,157	)		33,562
Svenska Handelsbanken AB		(280,973	)		(3,437,034	)		25,877

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
Swedbank AB		(154,074	)	$	(3,188,315	)	$	(47,715	)
Tele2 AB		(363,899	)		(3,215,202	)		20,408
Telefonaktiebolaget LM Ericsson		(25,194	)		(187,388	)		(6,167	)
Volvo AB		(342,850	)		(2,956,202	)		(449,778	)
								(1,606,609	)
Total of Short Equity Positions								(2,016,053	)
Total of Long and Short Equity Positions								6,004,230
Net Cash and Other Receivables/ (Payables) (b)								(126,309	)
Swaps, at Value							$	5,877,921

(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 Semi-Annual Report June 2016

183

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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.	56-60 months maturity 01/14/2021		$481,669

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Delhaize Group		190,031		$	19,954,995		$	118,806
Germany
KUKA AG		44,991			5,380,592			(44,154	)
Italy
Italcementi SpA		892,372			10,320,266			139,785
Total of Long Equity Positions								214,437
Short Positions
Common Stocks
Netherlands
Koninklijke Ahold NV		(964,939	)		(21,595,001	)		286,663
Total of Long and Short Equity Positions								501,100
Net Cash and Other Receivables/ (Payables) (b)								(19,431	)
Swaps, at Value							$	481,669

(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 Semi-Annual Report June 2016

184

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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.	59 months maturity 01/14/2021		$(86,695	)

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Syngenta AG		2,883	$	1,194,740	$	(88,105	)
Net Cash and Other Receivables/ (Payables) (b)						1,410
Swaps, at Value					$	(86,695	)

(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)
JPMC	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.	55-61 months maturity 01/14/2021		$3,023,613

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Ireland
Shire plc		2,543	$	381,180	$	86,935
United States
AGL Resources, Inc.		336,970		21,686,811		543,100
Alere, Inc.		298,459		15,879,965		(3,440,194	)
American Capital Ltd.		202,682		3,262,284		(53,828	)
Apollo Education Group, Inc.		346,621		2,913,663		247,520

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Astoria Financial Corp.		840,452	$	12,222,445	$	661,684
Axiall Corp.		206,702		5,311,348		1,429,204
Carmike Cinemas, Inc.		1,100		32,904		228
Cash America International, Inc.		94,489		3,503,042		524,079
Celator Pharmaceuticals		111,400		3,356,142		5,910
Centene Corp.		2		114		29
Charter Communications, Inc.		396		76,270		14,272
Cigna Corp.		339,916		46,964,998		(3,459,149	)

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

AQR Funds Semi-Annual Report June 2016

185

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Columbia Pipeline Group, Inc.		398,517	$	10,141,713	$	16,486
Cvent, Inc.		154,526		5,512,184		7,485
Demandware, Inc.		51,198		3,831,617		3,113
DreamWorks Animation SKG, Inc.		150,564		6,017,105		136,446
EMC Corp.		247,511		6,233,090		491,784
Empire District Electric Co. (The)		43,142		1,449,497		16,037
Envision Healthcare Holdings, Inc.		91,300		2,309,297		6,984
ExamWorks Group, Inc.		95,298		3,316,211		4,924
Fairchild Semiconductor International, Inc.		345,414		6,936,619		(80,152	)
FEI Co.		45,204		4,797,228		34,176
First Niagara Financial Group, Inc.		2,995,372		28,800,474		374,450
FirstMerit Corp.		666,426		12,886,551		621,904
Hatteras Financial Corp.		274,117		4,461,409		34,110
Hawaiian Electric Industries, Inc.		751,049		22,163,756		2,463,141
Humana, Inc.		219,186		36,409,420		3,017,757
inContact, Inc.		41,100		568,350		885
ITC Holdings Corp.		51,444		2,175,788		232,820
KLA-Tencor Corp.		567,829		38,155,437		3,438,038
Krispy Kreme Doughnuts, Inc.		1,700		35,565		67
LDR Holding Corp.		34,163		1,260,512		1,811
Lexmark International, Inc.		139,000		5,269,603		(22,353	)
LinkedIn Corp.		61,384		11,687,389		(70,467	)
Marketo, Inc.		78,500		2,741,369		(7,999	)
Media General, Inc.		899,192		14,330,415		1,126,695
Memorial Resource Development Corp.		554,288		8,298,449		503,644
Monsanto Co.		29,085		3,097,814		(90,134	)
Parkway Properties, Inc.		78,200		1,327,793		(19,507	)
Piedmont Natural Gas Co., Inc.		202,072		11,872,321		276,248
Pinnacle Entertainment, Inc.		100		—		1,108
Qlik Technologies, Inc.		264,500		7,948,806		(124,896	)
Questar Corp.		644,172		16,013,839		328,805
Rite Aid Corp.		1,599,726		12,291,225		(309,277	)
Rofin-Sinar Technologies, Inc.		19,800		629,011		3,401
St. Jude Medical, Inc.		392,523		30,585,647		31,147
Starwood Hotels & Resorts Worldwide, Inc.		220,430		16,077,624		223,175
Talen Energy Corp.		81,400		1,110,331		(7,361	)
Talmer Bancorp, Inc.		366,766		5,858,019		1,172,885
TECO Energy, Inc.		628,952		17,199,914		184,319
Tumi Holdings, Inc.		40,200		1,071,536		3,412
Tyco International plc		286,371		11,710,264		489,141
Valspar Corp. (The)		167,185		17,896,150		164,846

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Virgin America, Inc.		56,921		$	3,168,336		$	31,193
Westar Energy, Inc.		114,164			6,383,498			19,961
Western Digital Corp.		31,547			381,880			1,109,031
Wilshire Bancorp, Inc.		242,000			2,539,222			(17,582	)
Xura, Inc.		60,553			1,489,510			(10,200	)
								12,284,356
Total of Long Equity Positions								12,371,291
Short Positions
Common Stocks
Canada
Waste Connections, Inc.		(8,970	)		(554,682	)		(91,607	)
United States
Abbott Laboratories		(355,989	)		(14,093,279	)		99,352
Aetna, Inc.		(184,719	)		(19,396,912	)		(3,162,819	)
Amsurg Corp.		(30,600	)		(2,356,707	)		(16,017	)
Annaly Capital Management, Inc.		(276,201	)		(2,974,153	)		(83,392	)
Anthem, Inc.		(174,252	)		(23,934,812	)		1,048,554
Ares Capital Corp.		(97,895	)		(1,454,054	)		63,945
Ball Corp.		(10,150	)		(696,290	)		(37,454	)
BBCN Bancorp, Inc.		(194,562	)		(2,914,784	)		11,919
Brocade Communications Systems, Inc.		(1	)		(9	)		—
Chemical Financial Corp.		(178,182	)		(5,661,903	)		(982,504	)
Cousins Properties, Inc.		(140,437	)		(1,472,394	)		11,849
Diebold, Inc.		(36,127	)		(910,762	)		13,728
First Cash Financial Services, Inc.		(81,616	)		(3,662,466	)		(526,883	)
Gaming and Leisure Properties, Inc.		(1	)		(25	)		(10	)
Global Payments, Inc.		(1	)		(69	)		(2	)
Great Plains Energy, Inc.		(24,392	)		(718,106	)		(23,411	)
Huntington Bancshares, Inc.		(1,148,518	)		(9,975,181	)		(292,570	)
Interval Leisure Group, Inc.		(16,514	)		(227,135	)		(35,437	)
Johnson Controls, Inc.		(329,103	)		(13,974,585	)		(591,514	)
KeyCorp.		(2,065,380	)		(23,060,751	)		238,302
Lam Research Corp.		(283,589	)		(20,669,227	)		(3,169,264	)
Marriott International, Inc.		(182,726	)		(12,295,640	)		151,670
Mylan NV		(45,999	)		(1,946,454	)		(42,543	)
New York Community Bancorp, Inc.		(840,663	)		(12,539,698	)		(61,840	)
Nexstar Broadcasting Group, Inc.		(112,288	)		(5,228,682	)		(113,981	)
NextEra Energy, Inc.		(186,403	)		(20,363,380	)		(3,943,571	)

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

AQR Funds Semi-Annual Report June 2016

186

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Range Resources Corp.		(207,858	)	$	(8,460,552	)	$	(506,442	)
								(11,950,335	)
Total of Short Equity Positions								(12,041,942	)
Total of Long and Short Equity Positions								329,349
Net Cash and Other Receivables/ (Payables) (b)								2,694,264
Swaps, at Value							$	3,023,613

(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)
JPMC	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.	56-59 months maturity 01/14/2021		$289,100

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Sweden
Meda AB		631,830	$	11,158,472	$	298,670
Net Cash and Other Receivables/ (Payables) (b)						(9,570	)
Swaps, at Value					$	289,100

(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 Semi-Annual Report June 2016

187

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	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.	56-59 months maturity 01/14/2021		$(145,132	)

** 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 short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Canada
BCE, Inc.		(6,695	)	$	(309,514	)	$	(7,319	)
Fortis, Inc.		(38,686	)		(1,169,007	)		(138,643	)
								(145,962	)
Total of Short Equity Positions								(145,962	)
Net Cash and Other Receivables/ (Payables) (b)								830
Swaps, at Value							$	(145,132	)

(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)
JPMC	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.	59 months maturity 01/14/2021		$50,172

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
SABMiller plc		26,391	$	1,486,409	$	52,691
Net Cash and Other Receivables/ (Payables) (b)						(2,519	)
Swaps, at Value					$	50,172

(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 Semi-Annual Report June 2016

188

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	12-25 months maturity ranging from 07/27/2016 - 03/05/2018		$691,541

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United States
Charter Communications, Inc.		1,144		$	253,602		$	7,962
FirstMerit Corp.		126,904			2,902,294			(329,950	)
ITC Holdings Corp.		188,374			8,508,854			310,817
Talmer Bancorp, Inc.		48,849			993,589			(57,153	)
								(68,324	)
Total of Long Equity Positions								(68,324	)
Short Positions
Common Stocks
United States
Chemical Financial Corp.		(23,081	)		(921,394	)		60,703
Diebold, Inc.		(1,433	)		(38,333	)		2,751
Huntington Bancshares, Inc.		(218,274	)		(2,298,425	)		347,056
Mylan NV		(19,876	)		(924,632	)		65,193

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
VMware, Inc.		(51,728	)	$	(3,235,586	)	$	275,710
Western Digital Corp.		(53,520	)		(2,570,030	)		40,675
								792,088
Total of Short Equity Positions								792,088
Total of Long and Short Equity Positions								723,764
Net Cash and Other Receivables/ (Payables) (b)								(32,223	)
Swaps, at Value							$	691,541

(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 Semi-Annual Report June 2016

189

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	13-22 months maturity 04/05/2017		$322,334

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Delhaize Group		234,230		$	24,944,907		$	(202,173	)
Finland
Nokia OYJ		11,045			61,424			746
Germany
Wincor Nixdorf AG		87,079			4,696,673			(23,303	)
Italy
Italcementi SpA		867,755			10,149,628			21,872
Total of Long Equity Positions								(202,858	)
Short Positions
Common Stocks
Finland
Nokia OYJ		(22,222	)		(123,481	)		(3,083	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Netherlands
Koninklijke Ahold NV		(1,189,800	)	$	(26,869,812	)	$	595,965
Total of Short Equity Positions								592,882
Total of Long and Short Equity Positions								390,024
Net Cash and Other Receivables/ (Payables) (b)								(67,690	)
Swaps, at Value							$	322,334

(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 Semi-Annual Report June 2016

190

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	11-25 months maturity ranging from 01/12/2017 - 05/22/2018		$(311,370	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Manitoba Telecom Services, Inc.		310,600		$	9,046,689		$	72,130
Short Positions
Common Stocks
Canada
BCE, Inc.		(104,700	)		(4,846,299	)		(108,504	)
Fortis, Inc.		(141,966	)		(4,518,173	)		(280,508	)
Waste Connections, Inc.		(1	)		(72	)		—
								(389,012	)
Total of Short Equity Positions								(389,012	)
Total of Long and Short Equity Positions								(316,882	)
Net Cash and Other Receivables/ (Payables) (b)								5,512
Swaps, at Value							$	(311,370	)

(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 Semi-Annual Report June 2016

191

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	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.	24 months maturity 02/14/2018		$129,869

** 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 positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Sweden
Meda AB		434,924	$	7,750,235	$	136,359
Net Cash and Other Receivables/ (Payables) (b)						(6,490	)
Swaps, at Value					$	129,869

(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)
MSIP	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.	12-25 months maturity ranging from 07/27/2016 - 03/05/2018		$(77,046	)

** 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 short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Rights
United States
Leap Wireless International, Inc. (3)		(110,787	)	$	(279,183	)	$	(72,565	)
Net Cash and Other Receivables/ (Payables) (b)								(4,481	)
Swaps, at Value							$	(77,046	)

(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 Semi-Annual Report June 2016

192

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Investment Companies		$151,023			$—			$151,023
BARC
Cash		—			52,032,186			52,032,186
CITG
Cash		—			1,145,408			1,145,408
CITI
Cash		(15,260,000	)		—			(15,260,000	)
DTBK
Investment Companies		52,325,649			—			52,325,649
GSCO
Cash		—			8,877,090			8,877,090
GSIN
Investment Companies		35,870,000			—			35,870,000
JPMC
Investment Companies		531,350,000			—			531,350,000
JPMS
Cash		—			13,214,257			13,214,257
MSCL
Cash		—			(976,689	)		(976,689	)
MSIP
Investment Companies		73,562,143			—			73,562,143

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Cash		$(3,530,000	)		$—			$(3,530,000	)
DTBK
Investment Companies		140,019			—			140,019
GSCO
Cash		—			443,207			443,207
JPPC
Cash		—			1,607,695			1,607,695
MACQ
Investment Companies		4,940,006			—			4,940,006
MLIN
Investment Companies		1,900,127			—			1,900,127
MSCL
Cash		—			(5,152,609	)		(5,152,609	)
U.S. Treasury Bills		—			29,208,382			29,208,382
SOCG
Cash		(3,160,000	)		—			(3,160,000	)

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

AQR Funds Semi-Annual Report June 2016

193

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

SHORT-TERM INVESTMENTS - 91.2%	SHARES		VALUE (Note 5)
Investment Companies - 49.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(a)		2,246,739	$	2,246,739
Dreyfus Treasury Cash Management, Class I, 0.240% ^(a)		8,986,957		8,986,957
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(a)(b)		56,936,299		56,936,299
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(a)(b)		60,543		60,543
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(a)		11,233,696		11,233,696
Total Investment Companies (cost $79,464,234)				79,464,234
	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 42.1%
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(c)	$	30,723		30,692,861
U.S. Treasury Bill, 0.409%, 08/18/2016 (c)		1,058		1,057,676
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(c)		17,221		17,217,005
U.S. Treasury Bill, 0.477%, 12/01/2016 ^(c)		1,746		1,743,886
U.S. Treasury Bill, 0.479%, 11/25/2016 (c)		1,529		1,527,385
U.S. Treasury Bill, 0.511%, 09/15/2016 (c)		1,302		1,301,440
U.S. Treasury Bill, 0.350%, 10/20/2016 (c)		1,127		1,126,184

	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Obligations - 42.1% (continued)
U.S. Treasury Bill, 0.401%, 12/15/2016 (c)	$	3,804	$	3,799,139
U.S. Treasury Bill, 0.401%, 10/27/2016 (c)		3,602		3,599,399
U.S. Treasury Bill, 0.431%, 12/08/2016 (c)		3,114		3,110,036
U.S. Treasury Bill, 0.441%, 09/22/2016 (c)		1,301		1,300,277
U.S. Treasury Bill, 0.476%, 09/08/2016 (c)		1,621		1,620,369
Total U.S. Treasury Obligations (cost $68,065,622)				68,095,657
TOTAL SHORT-TERM INVESTMENTS (cost $147,529,856)				147,559,891
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 91.2% (cost $147,529,856)				147,559,891
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.8% (d)			14,242,104
NET ASSETS - 100.0%			$	161,801,995

(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 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 June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CITI	Corn September Futures^	08/2016	USD		170,271			$(5,796	)
SOCG	Corn September Futures^	08/2016	USD		3,851,247			(141,422	)
SOCG	Corn September Futures^	08/2016	USD		(1,245,987	)		215,312
MACQ	Corn September Futures^	08/2016	USD		3,766,955			(514,004	)
CITI	Cotton No. 2 December Futures^	11/2016	USD		1,372,840			38,900
SOCG	Cotton No. 2 December Futures^	11/2016	USD		153,435			6,990
MACQ	Cotton No. 2 December Futures^	11/2016	USD		660,851			12,934
SOCG	Lean Hogs August Futures^	08/2016	USD		(99,266	)		(50	)
SOCG	Lean Hogs August Futures^	08/2016	USD		339,501			(6,401	)
SOCG	Lean Hogs July Futures^	07/2016	USD		(298,729	)		7,812
SOCG	Lean Hogs July Futures^	07/2016	USD		298,729			(469	)
SOCG	Lean Hogs October Futures^	10/2016	USD		743,948			1,732
DTBK	Live Cattle August Futures^	08/2016	USD		1,867,948			1,019,632

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

AQR Funds Semi-Annual Report June 2016

194

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
DTBK	Live Cattle August Futures^	08/2016		USD		(500,169	)		$ (1,005,399	)
SOCG	Live Cattle August Futures^	08/2016		USD		964,465			65
SOCG	Live Cattle August Futures^	08/2016		USD		(182,055	)		455
DTBK	Live Cattle October Futures^	10/2016		USD		321,741			(721	)
SOCG	Live Cattle October Futures^	10/2016		USD		183,751			(311	)
SOCG	Natural Gas August Futures^	08/2016		USD		(726,068	)		(90,972	)
SOCG	Natural Gas July Futures^	07/2016		USD		(651,252	)		104,524
SOCG	Natural Gas July Futures^	07/2016		USD		651,252			(167,468	)
CITI	Soybean Meal December Futures^	11/2016		USD		(546,658	)		6,770
CITI	Soybean Meal December Futures^	11/2016		USD		624,752			16,848
CITI	Soybean November Futures^	10/2016		USD		(3,319,282	)		(328,811	)
CITI	Soybean November Futures^	10/2016		USD		9,163,128			1,043,135
SOCG	Soybean November Futures^	10/2016		USD		988,336			107,251
MACQ	Soybean November Futures^	10/2016		USD		1,356,697			142,528
MACQ	Soybean Oil December Futures^	11/2016		USD		1,080,420			(22,110	)
CITI	Wheat September Futures^	08/2016		USD		1,467,292			86,242
CITI	Wheat September Futures^	08/2016		USD		(1,467,292	)		(170,903	)
DTBK	Wheat September Futures^	08/2016		USD		1,370,946			(2,678,898	)
DTBK	Wheat September Futures^	08/2016		USD		(1,370,946	)		2,662,896
									$340,291

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

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
262	GSCO	Brent Crude Futures^		08/2016		$13,633,410		$13,141,920		$(491,490	)
183	MSCL	Coffee ‘C’ Futures^		09/2016		8,934,491		9,995,231		1,060,740
350	MSCL	Corn Futures^		09/2016		6,717,373		6,396,250		(321,123	)
35	MSCL	Cotton No. 2 Futures^		12/2016		1,129,315		1,122,975		(6,340	)
159	GSCO	Gas Oil Futures^		09/2016		7,324,712		7,158,975		(165,737	)
260	MSCL	Gold 100 OZ Futures^		08/2016		33,177,026		34,335,600		1,158,574
84	MSCL	Gold 100 OZ Futures^		12/2016		11,153,237		11,150,160		(3,077	)
26	MSCL	Lean Hogs Futures^		08/2016		913,451		866,060		(47,391	)
7	MSCL	Lean Hogs Futures^		10/2016		200,077		200,760		683
133	MSCL	Live Cattle Futures^		08/2016		6,158,465		6,108,690		(49,775	)
21	JPPC	LME Aluminum Futures^		07/2016		790,497		862,769		72,272
63	JPPC	LME Aluminum Futures^		07/2016		2,459,877		2,590,324		130,447
86	JPPC	LME Aluminum Futures^		07/2016		3,512,305		3,536,213		23,908
2	JPPC	LME Aluminum Futures^		07/2016		82,541		82,265		(276	)
3	JPPC	LME Aluminum Futures^		08/2016		121,865		123,478		1,613
24	JPPC	LME Aluminum Futures^		08/2016		936,834		987,900		51,066
2	JPPC	LME Aluminum Futures^		08/2016		77,405		82,375		4,970
6	JPPC	LME Aluminum Futures^		08/2016		234,315		247,163		12,848
7	JPPC	LME Aluminum Futures^		08/2016		271,092		288,400		17,308
32	JPPC	LME Aluminum Futures^		08/2016		1,245,812		1,318,600		72,788
3	JPPC	LME Aluminum Futures^		09/2016		117,907		123,750		5,843
9	JPPC	LME Aluminum Futures^		09/2016		349,845		371,475		21,630
59	JPPC	LME Aluminum Futures^		09/2016		2,293,260		2,435,594		142,334
11	JPPC	LME Aluminum Futures^		09/2016		440,324		454,163		13,839

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

AQR Funds Semi-Annual Report June 2016

195

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
18	JPPC	LME Aluminum Futures^		09/2016		$ 715,986		$ 743,288		$ 27,302
6	JPPC	LME Aluminum Futures^		09/2016		240,982		247,817		6,835
8	JPPC	LME Aluminum Futures^		09/2016		321,329		330,450		9,121
579	JPPC	LME Aluminum Futures^		09/2016		23,010,674		23,901,843		891,169
20	JPPC	LME Aluminum Futures^		09/2016		819,901		824,500		4,599
34	JPPC	LME Copper Futures^		07/2016		4,097,313		4,116,168		18,855
4	JPPC	LME Copper Futures^		07/2016		501,060		484,200		(16,860	)
1	JPPC	LME Copper Futures^		07/2016		122,315		121,088		(1,227	)
8	JPPC	LME Copper Futures^		07/2016		979,220		968,750		(10,470	)
24	JPPC	LME Copper Futures^		08/2016		2,882,350		2,907,540		25,190
4	JPPC	LME Copper Futures^		08/2016		473,560		484,800		11,240
10	JPPC	LME Copper Futures^		08/2016		1,158,279		1,211,832		53,553
2	JPPC	LME Copper Futures^		08/2016		229,605		242,342		12,737
13	JPPC	LME Copper Futures^		08/2016		1,495,532		1,575,168		79,636
2	JPPC	LME Copper Futures^		08/2016		228,105		242,317		14,212
2	JPPC	LME Copper Futures^		08/2016		230,505		242,309		11,804
22	JPPC	LME Copper Futures^		08/2016		2,580,312		2,665,349		85,037
1	JPPC	LME Copper Futures^		09/2016		115,127		121,165		6,038
1	JPPC	LME Copper Futures^		09/2016		116,452		121,167		4,715
1	JPPC	LME Copper Futures^		09/2016		118,353		121,176		2,823
6	JPPC	LME Copper Futures^		09/2016		691,365		727,070		35,705
7	JPPC	LME Copper Futures^		09/2016		803,967		848,262		44,295
21	JPPC	LME Copper Futures^		09/2016		2,376,633		2,544,832		168,199
4	JPPC	LME Copper Futures^		09/2016		454,360		484,773		30,413
11	JPPC	LME Copper Futures^		09/2016		1,251,376		1,333,173		81,797
215	JPPC	LME Copper Futures^		09/2016		25,886,101		26,058,001		171,900
14	JPPC	LME Copper Futures^		09/2016		1,690,852		1,695,750		4,898
3	JPPC	LME Lead Futures^		07/2016		127,282		133,899		6,617
5	JPPC	LME Lead Futures^		07/2016		218,637		223,193		4,556
18	JPPC	LME Lead Futures^		07/2016		809,032		803,619		(5,413	)
7	JPPC	LME Lead Futures^		07/2016		304,108		312,606		8,498
5	JPPC	LME Lead Futures^		08/2016		217,940		223,362		5,422
1	JPPC	LME Lead Futures^		08/2016		42,502		44,693		2,191
6	JPPC	LME Lead Futures^		08/2016		254,115		268,163		14,048
1	JPPC	LME Lead Futures^		08/2016		41,440		44,703		3,263
4	JPPC	LME Lead Futures^		08/2016		164,710		178,823		14,113
2	JPPC	LME Lead Futures^		08/2016		82,655		89,416		6,761
5	JPPC	LME Lead Futures^		08/2016		211,787		223,552		11,765
3	JPPC	LME Lead Futures^		09/2016		126,232		134,174		7,942
2	JPPC	LME Lead Futures^		09/2016		86,655		89,454		2,799
8	JPPC	LME Lead Futures^		09/2016		345,722		357,912		12,190
9	JPPC	LME Lead Futures^		09/2016		389,073		402,694		13,621
6	JPPC	LME Lead Futures^		09/2016		253,789		268,407		14,618
100	JPPC	LME Lead Futures^		09/2016		4,356,834		4,471,875		115,041
22	JPPC	LME Lead Futures^		09/2016		979,425		983,400		3,975
13	JPPC	LME Nickel Futures^		07/2016		663,461		733,343		69,882
4	JPPC	LME Nickel Futures^		07/2016		214,090		225,736		11,646
1	JPPC	LME Nickel Futures^		07/2016		56,864		56,463		(401	)
4	JPPC	LME Nickel Futures^		07/2016		220,752		225,950		5,198
8	JPPC	LME Nickel Futures^		08/2016		444,791		452,119		7,328
2	JPPC	LME Nickel Futures^		08/2016		106,414		113,078		6,664
4	JPPC	LME Nickel Futures^		08/2016		206,232		226,235		20,003
3	JPPC	LME Nickel Futures^		08/2016		153,665		169,685		16,020
3	JPPC	LME Nickel Futures^		08/2016		150,879		169,717		18,838
3	JPPC	LME Nickel Futures^		08/2016		150,189		169,726		19,537
18	JPPC	LME Nickel Futures^		08/2016		911,645		1,018,452		106,807

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

AQR Funds Semi-Annual Report June 2016

196

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	JPPC	LME Nickel Futures^		09/2016		$ 50,483			$ 56,600			$ 6,117
10	JPPC	LME Nickel Futures^		09/2016		516,073			566,136			50,063
17	JPPC	LME Nickel Futures^		09/2016		911,377			962,524			51,147
1	JPPC	LME Nickel Futures^		09/2016		53,103			56,633			3,530
95	JPPC	LME Nickel Futures^		09/2016		5,049,249			5,381,940			332,691
2	JPPC	LME Nickel Futures^		09/2016		470,926			472,250			1,324
4	JPPC	LME Zinc Futures^		07/2016		175,560			210,200			34,640
8	JPPC	LME Zinc Futures^		07/2016		376,020			420,600			44,580
10	JPPC	LME Zinc Futures^		08/2016		466,804			525,582			58,778
1	JPPC	LME Zinc Futures^		08/2016		47,854			52,602			4,748
9	JPPC	LME Zinc Futures^		08/2016		427,470			473,672			46,202
1	JPPC	LME Zinc Futures^		09/2016		49,639			52,649			3,010
12	JPPC	LME Zinc Futures^		09/2016		603,910			631,950			28,040
5	JPPC	LME Zinc Futures^		09/2016		258,836			263,338			4,502
2	JPPC	LME Zinc Futures^		09/2016		102,055			105,363			3,308
6	JPPC	LME Zinc Futures^		09/2016		300,724			316,028			15,304
88	JPPC	LME Zinc Futures^		09/2016		4,238,503			4,633,750			395,247
45	MSCL	Natural Gas Futures^		08/2016		1,298,640			1,313,100			14,460
284	MSCL	Silver Futures^		09/2016		23,276,990			26,444,660			3,167,670
36	MSCL	Soybean Futures^		11/2016		1,930,374			2,075,851			145,477
141	MSCL	Soybean Meal Futures^		12/2016		4,892,624			5,654,100			761,476
283	MSCL	Soybean Oil Futures^		12/2016		5,593,672			5,445,486			(148,186	)
515	MSCL	Sugar #11 (World Markets) Futures^		09/2016		9,615,439			11,726,344			2,110,905
270	MSCL	Wheat Futures^		09/2016		6,497,758			6,014,250			(483,508	)
168	MSCL	WTI Crude Futures^		08/2016		8,077,962			8,233,680			155,718
						263,440,015			274,249,957			10,809,942
Short Contracts:
45	MSCL	Cocoa Futures^		09/2016		$(1,346,836	)		$(1,333,350	)		$13,486
71	MSCL	Gasoline RBOB Futures^		08/2016		(4,495,913	)		(4,495,067	)		846
6	MSCL	Heating Oil ULSD Futures^		08/2016		(367,491	)		(380,091	)		(12,600	)
21	JPPC	LME Aluminum Futures^		07/2016		(789,811	)		(862,769	)		(72,958	)
63	JPPC	LME Aluminum Futures^		07/2016		(2,463,146	)		(2,590,324	)		(127,178	)
86	JPPC	LME Aluminum Futures^		07/2016		(3,534,389	)		(3,536,212	)		(1,823	)
2	JPPC	LME Aluminum Futures^		07/2016		(82,395	)		(82,265	)		130
3	JPPC	LME Aluminum Futures^		08/2016		(121,718	)		(123,479	)		(1,761	)
24	JPPC	LME Aluminum Futures^		08/2016		(933,865	)		(987,900	)		(54,035	)
2	JPPC	LME Aluminum Futures^		08/2016		(77,106	)		(82,375	)		(5,269	)
6	JPPC	LME Aluminum Futures^		08/2016		(233,965	)		(247,163	)		(13,198	)
7	JPPC	LME Aluminum Futures^		08/2016		(270,996	)		(288,400	)		(17,404	)
32	JPPC	LME Aluminum Futures^		08/2016		(1,247,122	)		(1,318,600	)		(71,478	)
3	JPPC	LME Aluminum Futures^		09/2016		(117,201	)		(123,750	)		(6,549	)
9	JPPC	LME Aluminum Futures^		09/2016		(349,403	)		(371,475	)		(22,072	)
59	JPPC	LME Aluminum Futures^		09/2016		(2,292,005	)		(2,435,593	)		(143,588	)
11	JPPC	LME Aluminum Futures^		09/2016		(438,048	)		(454,162	)		(16,114	)
18	JPPC	LME Aluminum Futures^		09/2016		(716,581	)		(743,288	)		(26,707	)
6	JPPC	LME Aluminum Futures^		09/2016		(241,035	)		(247,816	)		(6,781	)
8	JPPC	LME Aluminum Futures^		09/2016		(322,976	)		(330,450	)		(7,474	)
42	JPPC	LME Aluminum Futures^		09/2016		(1,641,352	)		(1,733,812	)		(92,460	)
20	JPPC	LME Aluminum Futures^		09/2016		(816,441	)		(824,500	)		(8,059	)
34	JPPC	LME Copper Futures^		07/2016		(4,096,492	)		(4,116,168	)		(19,676	)
4	JPPC	LME Copper Futures^		07/2016		(500,549	)		(484,200	)		16,349
1	JPPC	LME Copper Futures^		07/2016		(123,049	)		(121,088	)		1,961
8	JPPC	LME Copper Futures^		07/2016		(981,493	)		(968,750	)		12,743
24	JPPC	LME Copper Futures^		08/2016		(2,891,941	)		(2,907,540	)		(15,599	)

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

AQR Funds Semi-Annual Report June 2016

197

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
4	JPPC	LME Copper Futures^		08/2016		$ (471,537	)		$ (484,800	)		$ (13,263	)
10	JPPC	LME Copper Futures^		08/2016		(1,161,419	)		(1,211,832	)		(50,413	)
2	JPPC	LME Copper Futures^		08/2016		(229,535	)		(242,341	)		(12,806	)
13	JPPC	LME Copper Futures^		08/2016		(1,492,263	)		(1,575,168	)		(82,905	)
2	JPPC	LME Copper Futures^		08/2016		(228,258	)		(242,316	)		(14,058	)
2	JPPC	LME Copper Futures^		08/2016		(230,120	)		(242,309	)		(12,189	)
22	JPPC	LME Copper Futures^		08/2016		(2,579,446	)		(2,665,349	)		(85,903	)
1	JPPC	LME Copper Futures^		09/2016		(114,724	)		(121,165	)		(6,441	)
1	JPPC	LME Copper Futures^		09/2016		(116,976	)		(121,168	)		(4,192	)
1	JPPC	LME Copper Futures^		09/2016		(118,148	)		(121,176	)		(3,028	)
6	JPPC	LME Copper Futures^		09/2016		(688,577	)		(727,070	)		(38,493	)
7	JPPC	LME Copper Futures^		09/2016		(803,811	)		(848,262	)		(44,451	)
21	JPPC	LME Copper Futures^		09/2016		(2,372,218	)		(2,544,832	)		(172,614	)
4	JPPC	LME Copper Futures^		09/2016		(452,800	)		(484,773	)		(31,973	)
11	JPPC	LME Copper Futures^		09/2016		(1,256,723	)		(1,333,172	)		(76,449	)
86	JPPC	LME Copper Futures^		09/2016		(9,974,677	)		(10,423,200	)		(448,523	)
14	JPPC	LME Copper Futures^		09/2016		(1,691,166	)		(1,695,750	)		(4,584	)
3	JPPC	LME Lead Futures^		07/2016		(127,941	)		(133,899	)		(5,958	)
5	JPPC	LME Lead Futures^		07/2016		(218,548	)		(223,194	)		(4,646	)
18	JPPC	LME Lead Futures^		07/2016		(805,260	)		(803,619	)		1,641
7	JPPC	LME Lead Futures^		07/2016		(303,258	)		(312,606	)		(9,348	)
5	JPPC	LME Lead Futures^		08/2016		(217,363	)		(223,362	)		(5,999	)
1	JPPC	LME Lead Futures^		08/2016		(42,597	)		(44,694	)		(2,097	)
6	JPPC	LME Lead Futures^		08/2016		(253,793	)		(268,163	)		(14,370	)
1	JPPC	LME Lead Futures^		08/2016		(41,210	)		(44,704	)		(3,494	)
4	JPPC	LME Lead Futures^		08/2016		(164,888	)		(178,823	)		(13,935	)
2	JPPC	LME Lead Futures^		08/2016		(82,339	)		(89,416	)		(7,077	)
5	JPPC	LME Lead Futures^		08/2016		(211,863	)		(223,553	)		(11,690	)
3	JPPC	LME Lead Futures^		09/2016		(125,794	)		(134,174	)		(8,380	)
2	JPPC	LME Lead Futures^		09/2016		(86,719	)		(89,454	)		(2,735	)
8	JPPC	LME Lead Futures^		09/2016		(345,980	)		(357,912	)		(11,932	)
9	JPPC	LME Lead Futures^		09/2016		(391,878	)		(402,694	)		(10,816	)
6	JPPC	LME Lead Futures^		09/2016		(255,435	)		(268,407	)		(12,972	)
42	JPPC	LME Lead Futures^		09/2016		(1,828,091	)		(1,878,188	)		(50,097	)
22	JPPC	LME Lead Futures^		09/2016		(975,701	)		(983,400	)		(7,699	)
13	JPPC	LME Nickel Futures^		07/2016		(662,260	)		(733,343	)		(71,083	)
4	JPPC	LME Nickel Futures^		07/2016		(213,258	)		(225,736	)		(12,478	)
1	JPPC	LME Nickel Futures^		07/2016		(56,038	)		(56,464	)		(426	)
4	JPPC	LME Nickel Futures^		07/2016		(220,310	)		(225,949	)		(5,639	)
8	JPPC	LME Nickel Futures^		08/2016		(444,700	)		(452,118	)		(7,418	)
2	JPPC	LME Nickel Futures^		08/2016		(106,843	)		(113,078	)		(6,235	)
4	JPPC	LME Nickel Futures^		08/2016		(207,110	)		(226,235	)		(19,125	)
3	JPPC	LME Nickel Futures^		08/2016		(153,713	)		(169,685	)		(15,972	)
3	JPPC	LME Nickel Futures^		08/2016		(151,463	)		(169,718	)		(18,255	)
3	JPPC	LME Nickel Futures^		08/2016		(150,473	)		(169,726	)		(19,253	)
18	JPPC	LME Nickel Futures^		08/2016		(912,556	)		(1,018,452	)		(105,896	)
1	JPPC	LME Nickel Futures^		09/2016		(50,417	)		(56,600	)		(6,183	)
10	JPPC	LME Nickel Futures^		09/2016		(517,776	)		(566,137	)		(48,361	)
17	JPPC	LME Nickel Futures^		09/2016		(911,559	)		(962,524	)		(50,965	)
1	JPPC	LME Nickel Futures^		09/2016		(53,131	)		(56,633	)		(3,502	)
12	JPPC	LME Nickel Futures^		09/2016		(645,856	)		(679,824	)		(33,968	)
2	JPPC	LME Nickel Futures^		09/2016		(473,188	)		(472,250	)		938
4	JPPC	LME Zinc Futures^		07/2016		(176,822	)		(210,200	)		(33,378	)
8	JPPC	LME Zinc Futures^		07/2016		(374,932	)		(420,600	)		(45,668	)
10	JPPC	LME Zinc Futures^		08/2016		(468,726	)		(525,583	)		(56,857	)
1	JPPC	LME Zinc Futures^		08/2016		(48,023	)		(52,602	)		(4,579	)

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

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198

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
9	JPPC	LME Zinc Futures^		08/2016		$ (427,928	)		$ (473,672	)		$ (45,744	)
1	JPPC	LME Zinc Futures^		09/2016		(49,697	)		(52,649	)		(2,952	)
12	JPPC	LME Zinc Futures^		09/2016		(608,971	)		(631,950	)		(22,979	)
5	JPPC	LME Zinc Futures^		09/2016		(258,985	)		(263,339	)		(4,354	)
2	JPPC	LME Zinc Futures^		09/2016		(101,659	)		(105,363	)		(3,704	)
6	JPPC	LME Zinc Futures^		09/2016		(301,635	)		(316,027	)		(14,392	)
14	JPPC	LME Zinc Futures^		09/2016		(686,441	)		(737,188	)		(50,747	)
						(71,388,845	)		(74,079,177	)		(2,690,332	)
						$192,051,170			$200,170,780			$8,119,610

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

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
CITI
Cash		$(1,720,000	)	$—		$(1,720,000	)
DTBK
Investment Companies		60,260		—		60,260
GSCO
Cash		—		1,598,710		1,598,710
JPPC
Cash		—		3,408,267		3,408,267
MACQ
Investment Companies		770,021		—		770,021
MSCL
Cash		—		(711,831)		(711,831	)
SOCG
Investment Companies		100,116		—		100,116

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

AQR Funds Semi-Annual Report June 2016

199

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

FOREIGN GOVERNMENT SECURITIES - 14.9%	INTEREST RATE		MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100%		04/15/23		EUR		4,036	$	4,821,667
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100%		04/15/26		EUR		8,965		11,023,234
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750%		04/15/20		EUR		7,008		8,587,684
France Government Bond OAT (France)		0.100%		07/25/21		EUR		2,124		2,487,495
France Government Bond OAT (France)		0.100%		03/01/25		EUR		2,907		3,470,804
France Government Bond OAT (France)		0.250%		07/25/24		EUR		3,046		3,699,257
France Government Bond OAT (France)		1.100%		07/25/22		EUR		2,602		3,254,171
France Government Bond OAT (France)		2.250%		07/25/20		EUR		6,464		8,167,547
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125%		03/22/24		GBP		7,332		11,165,416
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125%		03/22/26		GBP		5,871		9,099,899
TOTAL FOREIGN GOVERNMENT SECURITIES (cost $66,677,209)										65,777,174
U.S. TREASURY OBLIGATIONS - 25.4%
U.S. Treasury Inflation Protected Securities		0.125%		04/15/19		USD		28,300		29,507,524
U.S. Treasury Inflation Protected Securities (a)		0.125%		04/15/20		USD		31,500		32,921,615
U.S. Treasury Inflation Protected Securities		0.125%		07/15/24		USD		13,100		13,332,771
U.S. Treasury Inflation Protected Securities		0.250%		01/15/25		USD		17,200		17,639,439
U.S. Treasury Inflation Protected Securities		0.375%		07/15/25		USD		18,400		19,115,449
TOTAL U.S. TREASURY OBLIGATIONS (cost $109,136,622)										112,516,798
SHORT-TERM INVESTMENTS - 52.7%							SHARES
Investment Companies - 33.4%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(b)								7,675,736		7,675,736
Dreyfus Treasury Cash Management, Class I, 0.240% ^(b)								30,702,943		30,702,943
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(b)(c)								60,224,511		60,224,511
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(b)(c)								10,925,725		10,925,725
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(b)								38,379,523		38,379,523
Total Investment Companies (cost $147,908,438)										147,908,438
							PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 19.3%
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(d)							$	1,926		1,925,410
U.S. Treasury Bill, 0.465%, 08/04/2016 (d)								12,040		12,037,556
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(d)								35,887		35,878,674
U.S. Treasury Bill, 0.479%, 09/01/2016 (d)								25,205		25,194,918
U.S. Treasury Bill, 0.511%, 09/15/2016 ^(d)								1,550		1,549,333
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(d)								5,902		5,901,221
U.S. Treasury Bill, 0.480%, 11/25/2016 ^(d)								1,688		1,686,217
U.S. Treasury Bill, 0.476%, 12/01/2016 ^(d)								1,106		1,104,661
Total U.S. Treasury Obligations (cost $85,250,715)										85,277,990
TOTAL SHORT-TERM INVESTMENTS (cost $233,159,153)										233,186,428
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 93.0% (cost $408,972,984)										411,480,400
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.0% (e)										31,062,954
NET ASSETS - 100.0%									$	442,543,354

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

AQR Funds Semi-Annual Report June 2016

200

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

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

(a) All or a portion of the security is pledged as collateral to the brokers for futures contracts.

(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

Credit default swap contracts sell protection as of June 30, 2016:

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
CITG	iTraxx Europe Crossover Series 25.V1	5.000%		EUR		3.658%		39,475,000		$3,342,794			06/20/2021		$(714,222	)
CITG	iTraxx Europe Series 25.V1	1.000%		EUR		0.839%		78,000,000		1,115,981			06/20/2021		(406,414	)
CITG	Markit CDX Emerging Market Index Series 25.V1	1.000%		USD		2.673%		16,500,000		(1,361,501	)		06/20/2021		120,497
CITG	Markit CDX North America High Yield Index Series 26.V1	5.000%		USD		4.288%		25,550,000		408,654			06/20/2021		403,202
CITG	Markit CDX North America Investment Grade Index Series 26.V1	1.000%		USD		0.789%		87,125,000		736,960			06/20/2021		166,847
										$4,242,888					$(430,090	)

Forward effective interest rate swap contracts outstanding as of June 30, 2016:

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
CITG	(1)		0.500%		CZK		10,000,000		$3,836			09/15/2021		$608
CITG	(1)		0.500%		CZK		130,000,000		51,985			09/15/2021		5,776
CITG	(1)		0.500%		CZK		10,000,000		—			09/15/2021		4,443
CITG	(1)		0.500%		CZK		10,000,000		4,330			09/15/2021		113
CITG	(1)		0.500%		CZK		3,000,000		729			09/15/2021		604
CITG	(1)		0.500%		CZK		140,000,000		54,158			09/15/2021		8,047
CITG	0.500%		(1	)	CZK		10,000,000		(932	)		09/15/2021		(3,511	)
CITG	0.500%		(1	)	CZK		1,000,000		(227	)		09/15/2021		(217	)
CITG	0.500%		(1	)	CZK		10,000,000		557			09/15/2021		(5,000	)

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

AQR Funds Semi-Annual Report June 2016

201

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CITG	0.500%		(1	)	CZK		40,000,000		$ (2,305	)		09/15/2021		$ (15,468	)
CITG	0.500%		(1	)	CZK		10,000,000		(1,948	)		09/15/2021		(2,496	)
CITG	(2)		1.500%		HKD		6,000,000		(4,986	)		09/15/2021		17,370
CITG	(2)		1.500%		HKD		6,000,000		2,643			09/15/2021		9,741
CITG	(2)		1.500%		HKD		2,000,000		2,377			09/15/2021		1,751
CITG	(2)		1.500%		HKD		3,000,000		486			09/15/2021		5,707
CITG	(2)		1.500%		HKD		58,000,000		(31,259	)		09/15/2021		150,976
CITG	(2)		1.500%		HKD		58,000,000		16,219			09/15/2021		103,499
CITG	(2)		1.500%		HKD		57,000,000		(22,967	)		09/15/2021		140,620
CITG	1.500%		(2	)	HKD		9,000,000		4,437			09/15/2021		(23,014	)
CITG	1.500%		(2	)	HKD		19,000,000		(13,094	)		09/15/2021		(26,123	)
CITG	1.500%		(2	)	HKD		3,000,000		(1,427	)		09/15/2021		(4,765	)
CITG	1.500%		(2	)	HKD		7,000,000		(2,596	)		09/15/2021		(11,852	)
CITG	1.500%		(2	)	HKD		2,000,000		1,500			09/15/2021		(5,628	)
CITG	(3)		1.500%		HUF		1,900,000,000		(4,571	)		09/15/2021		71,457
CITG	(3)		1.500%		HUF		100,000,000		3,600			09/15/2021		(80	)
CITG	(3)		1.500%		HUF		100,000,000		(944	)		09/15/2021		4,465
CITG	(3)		1.500%		HUF		1,300,000,000		(3,114	)		09/15/2021		48,879
CITG	(3)		1.500%		HUF		100,000,000		781			09/15/2021		2,739
CITG	(3)		1.500%		HUF		100,000,000		1,378			09/15/2021		2,142
CITG	1.500%		(3	)	HUF		50,000,000		(2,675	)		09/15/2021		915
CITG	1.500%		(3	)	HUF		200,000,000		1,841			09/15/2021		(8,882	)
CITG	1.500%		(3	)	HUF		400,000,000		(794	)		09/15/2021		(13,287	)
CITG	1.500%		(3	)	HUF		20,000,000		(734	)		09/15/2021		30
CITG	1.500%		(3	)	HUF		100,000,000		(2,225	)		09/15/2021		(1,295	)
CITG	(4)		2.000%		PLN		3,000,000		4,578			09/15/2021		1,871
CITG	(4)		2.000%		PLN		45,000,000		92,027			09/15/2021		4,716
CITG	(4)		2.000%		PLN		1,000,000		1,270			09/15/2021		880
CITG	(4)		2.000%		PLN		1,000,000		151			09/15/2021		1,999
CITG	(4)		2.000%		PLN		45,000,000		89,533			09/15/2021		7,211
CITG	(4)		2.000%		PLN		2,000,000		3,593			09/15/2021		707
CITG	(4)		2.000%		PLN		2,000,000		(3,279	)		09/15/2021		7,579
CITG	(4)		2.000%		PLN		1,000,000		2,416			09/15/2021		(266	)
CITG	(4)		2.000%		PLN		2,000,000		3,372			09/15/2021		928
CITG	2.000%		(4	)	PLN		5,000,000		898			09/15/2021		(11,647	)
CITG	2.000%		(4	)	PLN		2,000,000		742			09/15/2021		(5,042	)
CITG	2.000%		(4	)	PLN		2,000,000		(4,922	)		09/15/2021		622
CITG	2.000%		(4	)	PLN		2,000,000		(4,347	)		09/15/2021		47
CITG	2.000%		(4	)	PLN		9,000,000		3,324			09/15/2021		(22,672	)
CITG	(5)		2.000%		SGD		1,000,000		179			09/15/2021		6,888
CITG	(5)		2.000%		SGD		1,000,000		(2,847	)		09/15/2021		9,914
CITG	(5)		2.000%		SGD		1,000,000		8,871			09/15/2021		(1,804	)
CITG	(5)		2.000%		SGD		1,000,000		(5,289	)		09/15/2021		12,355
CITG	(5)		2.500%		SGD		16,000,000		119,139			09/15/2021		281,868
CITG	(5)		2.500%		SGD		17,000,000		137,577			09/15/2021		288,493
CITG	(5)		2.500%		SGD		4,000,000		32,779			09/15/2021		67,473
CITG	(5)		2.500%		SGD		16,000,000		87,645			09/15/2021		313,362
CITG	(5)		2.500%		SGD		13,000,000		69,476			09/15/2021		256,343
CITG	2.000%		(5	)	SGD		3,000,000		(889	)		09/15/2021		(20,311	)
CITG	2.000%		(5	)	SGD		1,000,000		(8,122	)		09/15/2021		1,055
CITG	2.000%		(5	)	SGD		6,000,000		19,674			09/15/2021		(62,074	)
CITG	2.000%		(5	)	SGD		4,000,000		27,689			09/15/2021		(55,955	)
CITG	2.000%		(5	)	SGD		1,000,000		4,556			09/15/2021		(11,623	)
CITG	2.500%		(5	)	SGD		2,000,000		(29,253	)		09/15/2021		(20,873	)
CITG	(6)		8.500%		ZAR		120,000,000		(66,406	)		09/15/2021		242,436
CITG	(6)		8.500%		ZAR		10,000,000		15,558			09/15/2021		(889	)

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

AQR Funds Semi-Annual Report June 2016

202

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CITG	(6)		8.500	%	ZAR		10,000,000		$ (1,506	)		09/15/2021		$ 16,175
CITG	(6)		8.500	%	ZAR		10,000,000		15,069			09/15/2021		(400	)
CITG	(6)		8.500	%	ZAR		110,000,000		(63,505	)		09/15/2021		224,866
CITG	(6)		8.500	%	ZAR		10,000,000		15,206			09/15/2021		(537	)
CITG	(6)		8.500	%	ZAR		40,000,000		(21,891	)		09/15/2021		80,567
CITG	(6)		8.500	%	ZAR		91,500,000		(51,243	)		09/15/2021		185,466
CITG	(6)		8.500	%	ZAR		138,500,000		(77,779	)		09/15/2021		280,948
CITG	8.500%		(6	)	ZAR		10,000,000		(6,947	)		09/15/2021		(7,722	)
CITG	8.500%		(6	)	ZAR		10,000,000		(6,008	)		09/15/2021		(8,661	)
CITG	8.500%		(6	)	ZAR		20,000,000		10,246			09/15/2021		(39,585	)
CITG	8.500%		(6	)	ZAR		50,000,000		(10,608	)		09/15/2021		(62,738	)
CITG	8.500%		(6	)	ZAR		20,000,000		(7,326	)		09/15/2021		(22,012	)
CITG	8.500%		(6	)	ZAR		20,000,000		(14,873	)		09/15/2021		(14,465	)
CITG	8.500%		(6	)	ZAR		50,000,000		7,959			09/15/2021		(81,305	)
									$440,546					$2,302,452

Interest rate swap contracts outstanding as of June 30, 2016:

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
CITI	(7)		1.200	%	KRW*		2,000,000,000		$—		09/15/2021		$(1,007	)
CITI	(7)		1.482	%	KRW*		1,000,000,000		—		09/15/2021		11,285
CITI	(7)		1.498	%	KRW*		11,000,000,000		—		09/15/2021		131,267
CITI	(7)		1.503	%	KRW*		1,000,000,000		—		09/15/2021		12,163
CITI	(7)		1.530	%	KRW*		11,000,000,000		—		09/15/2021		146,212
CITI	(7)		1.539	%	KRW*		11,000,000,000		—		09/15/2021		150,121
CITI	(7)		1.540	%	KRW*		11,000,000,000		—		09/15/2021		150,811
CITI	(7)		1.543	%	KRW*		11,000,000,000		—		09/15/2021		151,960
CITI	(7)		1.545	%	KRW*		1,000,000,000		—		09/15/2021		13,919
CITI	1.183%		(7	)	KRW*		1,000,000,000		—		09/15/2021		1,235
CITI	1.336%		(7	)	KRW*		1,000,000,000		—		09/15/2021		(5,190	)
CITI	1.343%		(7	)	KRW*		5,000,000,000		—		09/15/2021		(27,269	)
CITI	1.455%		(7	)	KRW*		1,000,000,000		—		09/15/2021		(10,157	)
CITI	1.470%		(7	)	KRW*		2,000,000,000		—		09/15/2021		(21,567	)
CITI	1.495%		(7	)	KRW*		1,000,000,000		—		09/15/2021		(11,829	)
CITI	1.513%		(7	)	KRW*		2,000,000,000		—		09/15/2021		(25,121	)
CITI	1.518%		(7	)	KRW*		1,000,000,000		—		09/15/2021		(12,769	)
									$—				$654,064

* 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

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

AQR Funds Semi-Annual Report June 2016

203

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MSCS	Bovespa Index August Futures	08/2016		BRL		3,035,110			$32,062
CITI	Corn September Futures^	08/2016		USD		302,563			(10,163	)
DTBK	Corn September Futures^	08/2016		USD		379,395			(13,895	)
SOCG	Corn September Futures^	08/2016		USD		1,802,271			(66,146	)
MACQ	Corn September Futures^	08/2016		USD		968,627			(36,602	)
MLIN	Corn September Futures^	09/2016		USD		20,863			(2,588	)
CITI	Cotton No. 2 December Futures^	11/2016		USD		950,150			44,485
SOCG	Cotton No. 2 December Futures^	11/2016		USD		61,374			2,796
MACQ	Cotton No. 2 December Futures^	11/2016		USD		(91,906	)		285
MACQ	Cotton No. 2 December Futures^	11/2016		USD		275,731			13,034
SOCG	Hard Red Winter Wheat September Futures^	08/2016		USD		70,527			(7,152	)
BANA	H-SHARES Index July Futures	07/2016		HKD		39,200,824			232,853
MSCS	KOSPI Index 200 September Futures	09/2016		KRW		5,225,565,897			(79,469	)
MACQ	Lean Hogs August Futures^	08/2016		USD		(229,432	)		699
MACQ	Lean Hogs August Futures^	08/2016		USD		978,260			(12,270	)
MLIN	Lean Hogs August Futures^	08/2016		USD		(98,910	)		—
MLIN	Lean Hogs August Futures^	08/2016		USD		542,160			(9,200	)
DTBK	Lean Hogs July Futures^	07/2016		USD		(231,492	)		(463,472	)
DTBK	Lean Hogs July Futures^	07/2016		USD		231,492			464,532
SOCG	Lean Hogs July Futures^	07/2016		USD		(298,851	)		(5,027	)
SOCG	Lean Hogs July Futures^	07/2016		USD		298,851			(591	)
MACQ	Lean Hogs July Futures^	07/2016		USD		(1,028,222	)		19,246
MACQ	Lean Hogs July Futures^	07/2016		USD		1,028,222			(882	)
MLIN	Lean Hogs July Futures^	07/2016		USD		(531,680	)		13,800
MLIN	Lean Hogs July Futures^	07/2016		USD		531,680			(1,440	)
SOCG	Lean Hogs October Futures^	10/2016		USD		257,522			598
MACQ	Lean Hogs October Futures^	10/2016		USD		142,874			526
MLIN	Lean Hogs October Futures^	10/2016		USD		85,950			90
DTBK	Live Cattle August Futures^	08/2016		USD		(318,084	)		(639,594	)
DTBK	Live Cattle August Futures^	08/2016		USD		1,685,460			654,475
DTBK	Live Cattle October Futures^	10/2016		USD		321,741			(721	)
MSCS	MSCI Taiwan Stock Index July Futures	07/2016		USD		1,721,318			56,682
MSCS	SGX S&P CNX Nifty Index July Futures	07/2016		USD		243,774			6,291
CITI	Soybean Meal December Futures^	11/2016		USD		134,784			25,616
MACQ	Soybean Meal December Futures^	11/2016		USD		67,265			12,935
CITI	Soybean November Futures^	10/2016		USD		2,795,531			318,244
CITI	Soybean November Futures^	10/2016		USD		(2,795,531	)		(239,300	)
SOCG	Soybean November Futures^	10/2016		USD		2,656,449			284,339
MACQ	Soybean November Futures^	10/2016		USD		(1,015,701	)		(23,623	)
MACQ	Soybean November Futures^	10/2016		USD		2,659,613			281,175
SOCG	Soybean Oil December Futures^	11/2016		USD		59,366			(1,640	)
MACQ	Soybean Oil December Futures^	11/2016		USD		117,864			(2,412	)
MSCS	Swiss Market Index September Futures	09/2016		CHF		1,376,290			62,231
									$910,807

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

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

AQR Funds Semi-Annual Report June 2016

204

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
179	GSCO	Brent Crude Futures^		08/2016		$9,318,759		$8,978,640		$(340,119	)
6	MSCL	Cocoa Futures^		09/2016		185,159		177,780		(7,379	)
47	MSCL	Coffee ‘C’ Futures^		09/2016		2,250,065		2,567,081		317,016
83	MSCL	Corn Futures^		09/2016		1,587,213		1,516,825		(70,388	)
2	MSCL	Cotton No. 2 Futures^		12/2016		60,985		64,170		3,185
5	MSCL	Feeder Cattle Futures^		09/2016		360,825		358,750		(2,075	)
75	GSCO	Gas Oil Futures^		09/2016		3,461,162		3,376,875		(84,287	)
23	MSCL	Gasoline RBOB Futures^		08/2016		1,535,045		1,456,148		(78,897	)
78	MSCL	Gold 100 OZ Futures^		08/2016		10,110,437		10,300,680		190,243
22	MSCL	Gold 100 OZ Futures^		12/2016		2,920,748		2,920,280		(468	)
5	MSCL	Hard Red Winter Wheat Futures^		09/2016		117,325		105,625		(11,700	)
28	MSCL	Heating Oil ULSD Futures^		08/2016		1,825,756		1,773,761		(51,995	)
3	MSCL	Lean Hogs Futures^		08/2016		102,207		99,930		(2,277	)
1	MSCL	Lean Hogs Futures^		10/2016		28,582		28,680		98
27	MSCL	Live Cattle Futures^		08/2016		1,259,874		1,240,110		(19,764	)
3	MSCL	Live Cattle Futures^		10/2016		137,149		137,580		431
27	JPPC	LME Aluminum Futures^		07/2016		1,102,700		1,110,206		7,506
6	JPPC	LME Aluminum Futures^		07/2016		246,999		246,675		(324	)
11	JPPC	LME Aluminum Futures^		07/2016		453,978		452,461		(1,517	)
1	JPPC	LME Aluminum Futures^		08/2016		40,577		41,159		582
2	JPPC	LME Aluminum Futures^		08/2016		78,016		82,367		4,351
9	JPPC	LME Aluminum Futures^		08/2016		351,372		370,462		19,090
3	JPPC	LME Aluminum Futures^		08/2016		117,009		123,619		6,610
8	JPPC	LME Aluminum Futures^		09/2016		314,420		330,000		15,580
16	JPPC	LME Aluminum Futures^		09/2016		621,239		660,400		39,161
2	JPPC	LME Aluminum Futures^		09/2016		79,471		82,588		3,117
1	JPPC	LME Aluminum Futures^		09/2016		40,164		41,303		1,139
1	JPPC	LME Aluminum Futures^		09/2016		40,166		41,306		1,140
184	JPPC	LME Aluminum Futures^		09/2016		7,355,855		7,595,750		239,895
3	JPPC	LME Aluminum Futures^		09/2016		122,985		123,675		690
1	JPPC	LME Copper Futures^		07/2016		119,856		121,059		1,203
2	JPPC	LME Copper Futures^		07/2016		250,216		242,100		(8,116	)
1	JPPC	LME Copper Futures^		08/2016		120,098		121,148		1,050
1	JPPC	LME Copper Futures^		08/2016		118,390		121,200		2,810
7	JPPC	LME Copper Futures^		08/2016		804,992		848,167		43,175
4	JPPC	LME Copper Futures^		09/2016		461,510		484,669		23,159
7	JPPC	LME Copper Futures^		09/2016		827,067		848,232		21,165
6	JPPC	LME Copper Futures^		09/2016		681,167		727,095		45,928
5	JPPC	LME Copper Futures^		09/2016		567,950		605,966		38,016
59	JPPC	LME Copper Futures^		09/2016		7,178,465		7,150,800		(27,665	)
2	JPPC	LME Lead Futures^		07/2016		89,892		89,291		(601	)
1	JPPC	LME Lead Futures^		07/2016		44,627		44,647		20
1	JPPC	LME Lead Futures^		07/2016		43,327		44,658		1,331
3	JPPC	LME Lead Futures^		08/2016		127,082		134,081		6,999
1	JPPC	LME Lead Futures^		08/2016		41,230		44,711		3,481
1	JPPC	LME Lead Futures^		09/2016		43,240		44,727		1,487
2	JPPC	LME Lead Futures^		09/2016		87,006		89,473		2,467
1	JPPC	LME Lead Futures^		09/2016		43,242		44,744		1,502
25	JPPC	LME Lead Futures^		09/2016		1,089,813		1,117,969		28,156
3	JPPC	LME Lead Futures^		09/2016		133,558		134,100		542
3	JPPC	LME Nickel Futures^		07/2016		153,106		169,233		16,127

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

AQR Funds Semi-Annual Report June 2016

205

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

NUMBER OF CONTRACTS		COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
	Long Contracts: (continued)
	1	JPPC	LME Nickel Futures^		07/2016		$ 54,962		$ 56,466		$ 1,504
	1	JPPC	LME Nickel Futures^		07/2016		55,188		56,487		1,299
	2	JPPC	LME Nickel Futures^		08/2016		111,198		113,030		1,832
	1	JPPC	LME Nickel Futures^		08/2016		53,207		56,539		3,332
	1	JPPC	LME Nickel Futures^		09/2016		52,109		56,611		4,502
	3	JPPC	LME Nickel Futures^		09/2016		161,051		169,857		8,806
	18	JPPC	LME Nickel Futures^		09/2016		984,125		1,019,736		35,611
	1	JPPC	LME Nickel Futures^		09/2016		235,463		236,125		662
	1	JPPC	LME Zinc Futures^		07/2016		47,827		52,542		4,715
	1	JPPC	LME Zinc Futures^		08/2016		47,177		52,616		5,439
	1	JPPC	LME Zinc Futures^		08/2016		46,702		52,630		5,928
	2	JPPC	LME Zinc Futures^		09/2016		103,053		105,335		2,282
	26	JPPC	LME Zinc Futures^		09/2016		1,243,222		1,369,062		125,840
	1	JPPC	LME Zinc Futures^		09/2016		52,046		52,612		566
	40	MSCL	Natural Gas Futures^		08/2016		1,038,370		1,167,200		128,830
	78	MSCL	Silver Futures^		09/2016		6,345,295		7,262,970		917,675
	6	MSCL	Soybean Futures^		11/2016		309,744		345,975		36,231
	31	MSCL	Soybean Meal Futures^		12/2016		1,026,591		1,243,100		216,509
	62	MSCL	Soybean Oil Futures^		12/2016		1,222,705		1,193,004		(29,701	)
	178	MSCL	Sugar #11 (World Markets) Futures^		09/2016		3,241,540		4,052,989		811,449
	111	MSCL	Wheat Futures^		09/2016		2,660,340		2,472,525		(187,815	)
	167	MSCL	WTI Crude Futures^		08/2016		8,467,430		8,184,670		(282,760	)
	2	BARC	DAX Index Futures		09/2016		530,702		536,481		5,779
	34	BARC	E-Mini Russell 2000 Futures		09/2016		3,945,957		3,901,160		(44,797	)
	120	BARC	Euro Stoxx 50 Index Futures		09/2016		3,747,661		3,802,003		54,342
	40	BARC	FTSE 100 Index Futures		09/2016		3,208,208		3,419,981		211,773
	20	JPMS	FTSE/JSE Top 40 Index Futures		09/2016		627,640		630,717		3,077
	1	BARC	Hang Seng Index Futures		07/2016		133,815		135,001		1,186
	5	BARC	H-SHARES Index Futures		07/2016		279,565		281,158		1,593
	15	BARC	MSCI Taiwan Stock Index Futures		07/2016		474,633		476,251		1,618
	334	BARC	S&P 500 E-Mini Futures		09/2016		34,696,916		34,906,340		209,424
	31	BARC	S&P MID 400 E-Mini Futures		09/2016		4,603,782		4,628,300		24,518
	2	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		250,617		252,115		1,498
	57	BARC	SGX S&P CNX Nifty Index Futures		07/2016		928,620		950,247		21,627
	42	BARC	TOPIX Index Futures		09/2016		5,436,987		5,065,705		(371,282	)
	42	GSCO	10-Year Japanese Government Bond Futures		09/2016		61,874,918		62,195,710		320,792
	62	JPMS	Australia 10-Year Bond Futures		09/2016		6,231,458		6,297,812		66,354
	104	GSCO	Canadian 10-Year Bond Futures		09/2016		11,635,577		11,916,994		281,417
	490	GSCO	Euro-Bund Futures		09/2016		88,832,070		90,876,095		2,044,025
	1,365	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		177,134,259		181,523,672		4,389,413
							491,384,806		500,800,779		9,415,973

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

AQR Funds Semi-Annual Report June 2016

206

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
27	JPPC	LME Aluminum Futures^		07/2016		$(1,109,634	)		$(1,110,206	)		$(572	)
6	JPPC	LME Aluminum Futures^		07/2016		(246,585	)		(246,675	)		(90	)
11	JPPC	LME Aluminum Futures^		07/2016		(453,173	)		(452,460	)		713
1	JPPC	LME Aluminum Futures^		08/2016		(40,530	)		(41,160	)		(630	)
2	JPPC	LME Aluminum Futures^		08/2016		(78,145	)		(82,366	)		(4,221	)
9	JPPC	LME Aluminum Futures^		08/2016		(350,257	)		(370,463	)		(20,206	)
3	JPPC	LME Aluminum Futures^		08/2016		(116,832	)		(123,619	)		(6,787	)
8	JPPC	LME Aluminum Futures^		09/2016		(312,537	)		(330,000	)		(17,463	)
16	JPPC	LME Aluminum Futures^		09/2016		(621,719	)		(660,400	)		(38,681	)
2	JPPC	LME Aluminum Futures^		09/2016		(79,520	)		(82,587	)		(3,067	)
1	JPPC	LME Aluminum Futures^		09/2016		(40,173	)		(41,303	)		(1,130	)
1	JPPC	LME Aluminum Futures^		09/2016		(40,372	)		(41,306	)		(934	)
37	JPPC	LME Aluminum Futures^		09/2016		(1,446,667	)		(1,527,407	)		(80,740	)
3	JPPC	LME Aluminum Futures^		09/2016		(122,466	)		(123,675	)		(1,209	)
1	JPPC	LME Copper Futures^		07/2016		(119,910	)		(121,059	)		(1,149	)
2	JPPC	LME Copper Futures^		07/2016		(250,520	)		(242,100	)		8,420
1	JPPC	LME Copper Futures^		08/2016		(120,498	)		(121,148	)		(650	)
1	JPPC	LME Copper Futures^		08/2016		(117,884	)		(121,200	)		(3,316	)
7	JPPC	LME Copper Futures^		08/2016		(803,346	)		(848,167	)		(44,821	)
4	JPPC	LME Copper Futures^		09/2016		(458,956	)		(484,669	)		(25,713	)
7	JPPC	LME Copper Futures^		09/2016		(826,339	)		(848,232	)		(21,893	)
6	JPPC	LME Copper Futures^		09/2016		(678,736	)		(727,094	)		(48,358	)
5	JPPC	LME Copper Futures^		09/2016		(566,001	)		(605,967	)		(39,966	)
30	JPPC	LME Copper Futures^		09/2016		(3,460,913	)		(3,636,000	)		(175,087	)
2	JPPC	LME Lead Futures^		07/2016		(89,473	)		(89,291	)		182
1	JPPC	LME Lead Futures^		07/2016		(44,650	)		(44,647	)		3
1	JPPC	LME Lead Futures^		07/2016		(43,465	)		(44,658	)		(1,193	)
3	JPPC	LME Lead Futures^		08/2016		(126,897	)		(134,081	)		(7,184	)
1	JPPC	LME Lead Futures^		08/2016		(41,541	)		(44,710	)		(3,169	)
1	JPPC	LME Lead Futures^		09/2016		(43,251	)		(44,727	)		(1,476	)
2	JPPC	LME Lead Futures^		09/2016		(86,882	)		(89,473	)		(2,591	)
1	JPPC	LME Lead Futures^		09/2016		(43,673	)		(44,744	)		(1,071	)
11	JPPC	LME Lead Futures^		09/2016		(476,953	)		(491,906	)		(14,953	)
3	JPPC	LME Lead Futures^		09/2016		(133,050	)		(134,100	)		(1,050	)
3	JPPC	LME Nickel Futures^		07/2016		(152,829	)		(169,233	)		(16,404	)
1	JPPC	LME Nickel Futures^		07/2016		(55,070	)		(56,467	)		(1,397	)
1	JPPC	LME Nickel Futures^		07/2016		(55,078	)		(56,488	)		(1,410	)
2	JPPC	LME Nickel Futures^		08/2016		(111,175	)		(113,030	)		(1,855	)
1	JPPC	LME Nickel Futures^		08/2016		(53,422	)		(56,539	)		(3,117	)
1	JPPC	LME Nickel Futures^		09/2016		(52,198	)		(56,611	)		(4,413	)
3	JPPC	LME Nickel Futures^		09/2016		(160,733	)		(169,858	)		(9,125	)
1	JPPC	LME Nickel Futures^		09/2016		(55,108	)		(56,652	)		(1,544	)
1	JPPC	LME Nickel Futures^		09/2016		(236,594	)		(236,125	)		469
1	JPPC	LME Zinc Futures^		07/2016		(47,922	)		(52,542	)		(4,620	)
1	JPPC	LME Zinc Futures^		08/2016		(47,033	)		(52,616	)		(5,583	)
1	JPPC	LME Zinc Futures^		08/2016		(46,892	)		(52,630	)		(5,738	)
2	JPPC	LME Zinc Futures^		09/2016		(103,494	)		(105,335	)		(1,841	)
4	JPPC	LME Zinc Futures^		09/2016		(194,055	)		(210,625	)		(16,570	)
1	JPPC	LME Zinc Futures^		09/2016		(52,352	)		(52,612	)		(260	)
						(15,015,503	)		(15,648,963	)		(633,460	)
						$476,369,303			$485,151,816			$8,782,513

^ 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 June 30, 2016 (Unaudited)

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Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/21/16*	CITI	BRL		20,248,000		$5,466,664		$6,152,071		$685,407
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		30,372,000		8,200,006		9,228,107		1,028,101
Chinese Renminbi, Expiring 09/21/16*	CITI	CNY		9,902,200		1,499,883		1,480,885		(18,998	)
Chinese Renminbi, Expiring 09/21/16*	JPMC	CNY		13,369,800		2,024,970		1,999,469		(25,501	)
Euro, Expiring 09/21/16	CITI	EUR		7,076,250		8,043,444		7,875,845		(167,599	)
Euro, Expiring 09/21/16	JPMC	EUR		3,539,400		4,008,540		3,939,340		(69,200	)
British Pound, Expiring 09/21/16	CITI	GBP		703,845		1,015,198		937,717		(77,481	)
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		1,387,800		178,971		179,057		86
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		952,200		122,757		122,855		98
Hungarian Forint, Expiring 09/21/16	CITI	HUF		1,185,336,800		4,255,407		4,165,385		(90,022	)
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		1,558,789,200		5,597,788		5,477,730		(120,058	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		310,271,200		4,526,871		4,533,868		6,997
Indian Rupee, Expiring 09/21/16*	JPMC	INR		465,406,800		6,790,315		6,800,802		10,487
Korean Won, Expiring 09/21/16*	CITI	KRW		5,352,986,800		4,522,770		4,643,587		120,817
Korean Won, Expiring 09/21/16*	JPMC	KRW		7,964,023,199		6,729,075		6,908,597		179,522
Mexican Peso, Expiring 09/21/16	CITI	MXN		68,338,800		3,645,996		3,708,200		62,204
Mexican Peso, Expiring 09/21/16	JPMC	MXN		102,508,200		5,468,899		5,562,299		93,400
Poland Zloty, Expiring 09/21/16	CITI	PLN		15,020,800		3,832,001		3,800,375		(31,626	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		22,531,200		5,748,117		5,700,563		(47,554	)
Turkish Lira, Expiring 09/21/16	CITI	TRY		22,310,800		7,365,975		7,614,016		248,041
Turkish Lira, Expiring 09/21/16	JPMC	TRY		33,466,200		11,048,980		11,421,024		372,044
South African Rand, Expiring 09/21/16	CITI	ZAR		50,154,001		3,160,821		3,350,548		189,727
South African Rand, Expiring 09/21/16	JPMC	ZAR		75,231,001		4,741,164		5,025,823		284,659
						$107,994,612		$110,628,163		$2,633,551

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/21/16*	CITI	BRL		(1,986,000	)		$(570,924	)		$(603,418	)		$(32,494	)
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		(2,979,000	)		(856,385	)		(905,128	)		(48,743	)
Swiss Franc, Expiring 09/21/16	CITI	CHF		(172,200	)		(176,695	)		(177,157	)		(462	)
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(109,800	)		(111,664	)		(112,961	)		(1,297	)
Chinese Renminbi, Expiring 09/21/16*	CITI	CNY		(3,214,000	)		(484,586	)		(480,657	)		3,929
Chinese Renminbi, Expiring 09/21/16*	JPMC	CNY		(2,091,000	)		(316,254	)		(312,711	)		3,543
Euro, Expiring 09/21/16	CITI	EUR		(34,007,943	)		(38,166,113	)		(37,850,737	)		315,376
Euro, Expiring 09/21/16	JPMC	EUR		(51,011,912	)		(57,249,127	)		(56,776,104	)		473,023
British Pound, Expiring 09/21/16	CITI	GBP		(6,099,900	)		(8,965,050	)		(8,126,762	)		838,288
British Pound, Expiring 09/21/16	JPMC	GBP		(9,149,850	)		(13,447,559	)		(12,190,143	)		1,257,416
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(3,221,000	)		(415,174	)		(415,581	)		(407	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		(402,161,200	)		(1,438,546	)		(1,413,232	)		25,314
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		(603,241,800	)		(2,158,126	)		(2,119,847	)		38,279
Indian Rupee, Expiring 09/21/16*	CITI	INR		(145,920,200	)		(2,128,069	)		(2,132,273	)		(4,204	)
Indian Rupee, Expiring 09/21/16*	JPMC	INR		(45,979,800	)		(669,319	)		(671,885	)		(2,566	)
Korean Won, Expiring 09/21/16*	CITI	KRW		(1,585,085,600	)		(1,354,291	)		(1,375,024	)		(20,733	)
Korean Won, Expiring 09/21/16*	JPMC	KRW		(2,377,628,400	)		(2,031,435	)		(2,062,536	)		(31,101	)
Mexican Peso, Expiring 09/21/16	CITI	MXN		(15,238,000	)		(810,544	)		(826,844	)		(16,300	)
Mexican Peso, Expiring 09/21/16	JPMC	MXN		(22,857,000	)		(1,216,278	)		(1,240,265	)		(23,987	)
Poland Zloty, Expiring 09/21/16	CITI	PLN		(6,830,600	)		(1,737,680	)		(1,728,193	)		9,487
Poland Zloty, Expiring 09/21/16	JPMC	PLN		(4,997,400	)		(1,264,693	)		(1,264,380	)		313
Turkish Lira, Expiring 09/21/16	CITI	TRY		(3,874,400	)		(1,306,547	)		(1,322,218	)		(15,671	)
Turkish Lira, Expiring 09/21/16	JPMC	TRY		(1,098,600	)		(371,139	)		(374,920	)		(3,781	)
South African Rand, Expiring 09/21/16	CITI	ZAR		(11,868,400	)		(765,576	)		(792,871	)		(27,295	)
South African Rand, Expiring 09/21/16	JPMC	ZAR		(17,802,600	)		(1,148,362	)		(1,189,307	)		(40,945	)
							(139,160,136	)		(136,465,154	)		2,694,982
							$(31,165,524	)		$(25,836,991	)		$5,328,533

* 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 June 30, 2016 (Unaudited)

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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

Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Cash		$(120,000	)		$—			$(120,000	)
BARC
Cash		—			3,347,578			3,347,578
CITG
Cash		—			6,439,722			6,439,722
CITI
Cash		(1,140,000	)		—			(1,140,000	)
GSCO
Cash		—			(2,491,307	)		(2,491,307	)
U.S. Treasury Inflation Protected Securities		—			1,895,575			1,895,575
JPMC
Investment Companies		7,160,000			—			7,160,000
JPMS
Cash		—			126,250			126,250
MSCL
Cash		—			(4,494,459	)		(4,494,459	)
U.S. Treasury Inflation Protected Securities		—			2,097,755			2,097,755
MSCS
Investment Companies		1,322,428			—			1,322,428

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Cash		$(600,000	)		$—		$(600,000	)
DTBK
Investment Companies		40,266			—		40,266
GSCO
Cash		—			1,017,015		1,017,015
JPPC
Cash		—			1,108,466		1,108,466
MLIN
Investment Companies		40,427			—		40,427
MSCL
Cash		—			3,390,624		3,390,624
SOCG
Cash		(350,000	)		—		(350,000	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

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FOREIGN GOVERNMENT SECURITIES - 19.0%	INTEREST RATE		MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100%		04/15/23		EUR		621	$	741,795
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.101%		04/15/26		EUR		1,511		1,857,849
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750%		04/15/20		EUR		1,161		1,422,335
France Government Bond OAT (France)		0.100%		07/25/21		EUR		303		355,356
France Government Bond OAT (France)		0.100%		03/01/25		EUR		501		598,415
France Government Bond OAT (France)		0.250%		07/25/24		EUR		609		739,851
France Government Bond OAT (France)		1.100%		07/25/22		EUR		434		542,362
France Government Bond OAT (France)		2.250%		07/25/20		EUR		976		1,232,837
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125%		03/22/24		GBP		1,229		1,871,849
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125%		03/22/26		GBP		911		1,412,053
TOTAL FOREIGN GOVERNMENT SECURITIES (cost $10,886,334)										10,774,702
U.S. TREASURY OBLIGATIONS - 35.6%
U.S. Treasury Inflation Protected Securities (a)		0.125%		04/15/19		USD		5,040		5,255,050
U.S. Treasury Inflation Protected Securities (a)		0.125%		04/15/20		USD		5,600		5,852,732
U.S. Treasury Inflation Protected Securities		0.125%		07/15/24		USD		2,370		2,412,112
U.S. Treasury Inflation Protected Securities		0.250%		01/15/25		USD		3,100		3,179,201
U.S. Treasury Inflation Protected Securities		0.375%		07/15/25		USD		3,330		3,459,481
TOTAL U.S. TREASURY OBLIGATIONS (cost $19,658,809)										20,158,576
SHORT-TERM INVESTMENTS - 57.2%							SHARES
Investment Companies - 41.3%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(b)								240,162		240,162
Dreyfus Treasury Cash Management, Class I, 0.240% ^(b)								960,649		960,649
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(b)(c)								20,895,987		20,895,987
J.P. Morgan U.S. Treasury Plus Money Market Fund -Institutional Shares, 0.230% ^(b)(c)								200,149		200,149
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(b)								1,200,811		1,200,811
Total Investment Companies (cost $23,497,758)										23,497,758
							PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 15.9%
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(d)							$	2,589		2,588,659
U.S. Treasury Bill, 0.465%, 08/04/2016 (d)								941		940,809
U.S. Treasury Bill, 0.479%, 09/01/2016 (d)								2,204		2,203,118
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(d)								2,986		2,983,071
U.S. Treasury Bill, 0.479%, 11/25/2016 ^(d)								250		249,736
Total U.S. Treasury Obligations (cost $8,962,224)										8,965,393
TOTAL SHORT-TERM INVESTMENTS (cost $32,459,982)										32,463,151
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 111.8% (cost $63,005,125)										63,396,429
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.8%) (e)										(6,688,961	)
NET ASSETS - 100.0%									$	56,707,468

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

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

(a) On June 30, 2016, securities valued at $11,107,782 were pledged as collateral for 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 June 30, 2016:

Over the Counter

COUNTERPARTY	TRADE DATE	RATE		DUE DATE		PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT
JPMS	06/10/2016		0.57%		07/20/2016		$4,979,150
JPMS	06/16/2016		0.57%		07/20/2016		102,875
JPMS	06/30/2016		0.70%		07/20/2016		103,250
MPFS	06/10/2016		0.60%		07/20/2016		5,562,000
MPFS	06/16/2016		0.60%		07/20/2016		102,960
MPFS	06/30/2016		0.65%		07/20/2016		103,455
							$10,953,690

The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2016 was $8,771,877 at a net weighted average interest rate of 0.537%

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Bovespa Index August Futures	08/2016	BRL		1,020,683			$8,162
CITI	Corn September Futures^	08/2016	USD		75,640			(2,541	)
DTBK	Corn September Futures^	08/2016	USD		151,964			(5,764	)
SOCG	Corn September Futures^	08/2016	USD		341,562			(12,612	)
MACQ	Corn September Futures^	08/2016	USD		38,269			(1,719	)
CITI	Cotton No. 2 December Futures^	11/2016	USD		122,600			5,740
MACQ	Cotton No. 2 December Futures^	11/2016	USD		30,405			1,680
BANA	H-SHARES Index July Futures	07/2016	HKD		7,923,571			47,066
GSIN	H-SHARES Index July Futures	07/2016	HKD		3,328,741			20,784
BANA	KOSPI Index 200 September Futures	09/2016	KRW		494,244,065			(4,614	)
DTBK	Lean Hogs July Futures^	07/2016	USD		99,124			198,329
DTBK	Lean Hogs July Futures^	07/2016	USD		(99,124	)		(198,544	)
SOCG	Lean Hogs July Futures^	07/2016	USD		66,268			12
SOCG	Lean Hogs July Futures^	07/2016	USD		(66,268	)		1,230

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY II HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
DTBK	Lean Hogs August Futures^	08/2016		USD		32,552			$ 66,585
DTBK	Lean Hogs August Futures^	08/2016		USD		(32,552	)		(65,862	)
SOCG	Lean Hogs August Futures^	08/2016		USD		67,238			(618	)
MACQ	Lean Hogs August Futures^	08/2016		USD		202,164			(2,304	)
MACQ	Lean Hogs August Futures^	08/2016		USD		(32,776	)		(62	)
DTBK	Lean Hogs October Futures^	10/2016		USD		28,607			73
SOCG	Lean Hogs October Futures^	10/2016		USD		57,227			133
MACQ	Lean Hogs October Futures^	10/2016		USD		28,575			105
DTBK	Live Cattle August Futures^	08/2016		USD		318,819			94,194
DTBK	Live Cattle August Futures^	08/2016		USD		(45,441	)		(91,371	)
DTBK	Live Cattle October Futures^	10/2016		USD		45,963			(103	)
GSIN	MSCI Taiwan Stock Index July Futures	07/2016		USD		338,293			10,957
GSIN	SGX S&P CNX Nifty Index July Futures	07/2016		USD		277,065			6,342
CITI	Soybean November Futures^	10/2016		USD		674,684			74,929
CITI	Soybean November Futures^	10/2016		USD		(305,900	)		(15,023	)
DTBK	Soybean November Futures^	10/2016		USD		(53,616	)		(111,278	)
DTBK	Soybean November Futures^	10/2016		USD		53,616			110,700
MACQ	Soybean November Futures^	10/2016		USD		468,277			50,685
SOCG	Soybean November Futures^	10/2016		USD		53,031			4,632
CITI	Soybean Meal December Futures^	11/2016		USD		105,296			15,004
SOCG	Soybean Oil December Futures^	11/2016		USD		99,011			(2,801	)
MACQ	Soybean Oil December Futures^	11/2016		USD		39,288			(804	)
GSIN	Swiss Market Index September Futures	09/2016		CHF		458,505			21,012
GSIN	Taiwan Stock Exchange July Futures	07/2016		TWD		6,676,066			4,314
									$226,648

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

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
42	GSCO	Brent Crude Futures^		08/2016		$2,185,232		$2,106,720		$(78,512	)
1	MSCL	Cocoa Futures^		09/2016		30,944		29,630		(1,314	)
11	MSCL	Coffee ‘C’ Futures^		09/2016		531,356		600,806		69,450
32	MSCL	Corn Futures^		09/2016		618,439		584,800		(33,639	)
4	MSCL	Cotton No. 2 Futures^		12/2016		121,775		128,340		6,565
1	MSCL	Feeder Cattle Futures^		09/2016		72,165		71,750		(415	)
17	GSCO	Gas Oil Futures^		09/2016		785,531		765,425		(20,106	)
6	MSCL	Gasoline RBOB Futures^		08/2016		400,785		379,865		(20,920	)
18	MSCL	Gold 100 OZ Futures^		08/2016		2,326,730		2,377,080		50,350
5	MSCL	Gold 100 OZ Futures^		12/2016		663,863		663,700		(163	)
1	MSCL	Hard Red Winter Wheat Futures^		09/2016		23,465		21,125		(2,340	)
7	MSCL	Heating Oil ULSD Futures^		08/2016		456,123		443,440		(12,683	)
2	MSCL	Lean Hogs Futures^		08/2016		67,550		66,620		(930	)
8	MSCL	Live Cattle Futures^		08/2016		372,590		367,440		(5,150	)
2	MSCL	Live Cattle Futures^		10/2016		91,433		91,720		287
4	JPPC	LME Aluminum Futures^		07/2016		163,363		164,475		1,112
1	JPPC	LME Aluminum Futures^		07/2016		41,271		41,133		(138	)
5	JPPC	LME Aluminum Futures^		08/2016		192,950		205,917		12,967
1	JPPC	LME Aluminum Futures^		08/2016		38,777		41,162		2,385

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	JPPC	LME Aluminum Futures^		08/2016		$ 39,003			$ 41,206			$ 2,203
34	JPPC	LME Aluminum Futures^		09/2016		1,350,987			1,403,562			52,575
1	JPPC	LME Aluminum Futures^		09/2016		40,995			41,225			230
1	JPPC	LME Copper Futures^		08/2016		115,735			121,200			5,465
1	JPPC	LME Copper Futures^		09/2016		114,003			121,183			7,180
1	JPPC	LME Copper Futures^		09/2016		113,590			121,193			7,603
11	JPPC	LME Copper Futures^		09/2016		1,331,319			1,333,200			1,881
4	JPPC	LME Lead Futures^		09/2016		175,949			178,875			2,926
1	JPPC	LME Lead Futures^		09/2016		44,519			44,700			181
1	JPPC	LME Nickel Futures^		09/2016		53,691			56,619			2,928
4	JPPC	LME Nickel Futures^		09/2016		218,434			226,608			8,174
1	JPPC	LME Zinc Futures^		08/2016		47,112			52,602			5,490
1	JPPC	LME Zinc Futures^		09/2016		51,527			52,668			1,141
6	JPPC	LME Zinc Futures^		09/2016		288,508			315,938			27,430
9	MSCL	Natural Gas Futures^		08/2016		232,964			262,620			29,656
18	MSCL	Silver Futures^		09/2016		1,470,044			1,676,070			206,026
4	MSCL	Soybean Futures^		11/2016		206,246			230,650			24,404
6	MSCL	Soybean Meal Futures^		12/2016		198,695			240,600			41,905
12	MSCL	Soybean Oil Futures^		12/2016		236,202			230,904			(5,298	)
41	MSCL	Sugar #11 (World Markets) Futures^		09/2016		751,337			933,554			182,217
26	MSCL	Wheat Futures^		09/2016		623,908			579,150			(44,758	)
41	MSCL	WTI Crude Futures^		08/2016		2,076,753			2,009,410			(67,343	)
1	BARC	DAX Index Futures		09/2016		265,795			268,241			2,446
10	BARC	E-Mini Russell 2000 Futures		09/2016		1,159,159			1,147,400			(11,759	)
32	BARC	Euro Stoxx 50 Index Futures		09/2016		1,000,764			1,013,867			13,103
12	BARC	FTSE 100 Index Futures		09/2016		954,317			1,025,995			71,678
7	JPMS	FTSE/JSE Top 40 Index Futures		09/2016		219,674			220,751			1,077
1	BARC	H-SHARES Index Futures		07/2016		55,913			56,232			319
7	BARC	KOSPI Index 200 Futures		09/2016		755,766			742,175			(13,591	)
3	BARC	MSCI Taiwan Stock Index Futures		07/2016		95,043			95,250			207
93	BARC	S&P 500 E-Mini Futures		09/2016		9,662,343			9,719,430			57,087
9	BARC	S&P MID 400 E-Mini Futures		09/2016		1,339,860			1,343,700			3,840
2	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		252,873			252,115			(758	)
6	BARC	SGX S&P CNX Nifty Index Futures		07/2016		97,858			100,026			2,168
12	BARC	TOPIX Index Futures		09/2016		1,553,355			1,447,344			(106,011	)
105	GSCO	10-Year Japanese Government Bond Futures		09/2016		15,464,554			15,539,776			75,222
17	JPMS	Australia 10-Year Bond Futures		09/2016		1,707,669			1,726,820			19,151
26	GSCO	Canadian 10-Year Bond Futures		09/2016		2,908,894			2,979,248			70,354
123	GSCO	Euro-Bund Futures		09/2016		22,311,073			22,811,754			500,681
338	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		43,935,984			44,948,719			1,012,735
						122,706,757			124,863,728			2,156,971
Short Contracts:
4	JPPC	LME Aluminum Futures^		07/2016		$(164,390	)		$(164,475	)		$(85	)
1	JPPC	LME Aluminum Futures^		07/2016		(41,198	)		(41,133	)		65
5	JPPC	LME Aluminum Futures^		08/2016		(192,713	)		(205,917	)		(13,204	)
1	JPPC	LME Aluminum Futures^		08/2016		(38,662	)		(41,162	)		(2,500	)
1	JPPC	LME Aluminum Futures^		08/2016		(38,944	)		(41,206	)		(2,262	)
2	JPPC	LME Aluminum Futures^		09/2016		(77,957	)		(82,562	)		(4,605	)
1	JPPC	LME Aluminum Futures^		09/2016		(40,822	)		(41,225	)		(403	)

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

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	JPPC	LME Copper Futures^		08/2016		$ (115,647	)		$ (121,200	)		$ (5,553	)
1	JPPC	LME Copper Futures^		09/2016		(113,309	)		(121,182	)		(7,873	)
1	JPPC	LME Copper Futures^		09/2016		(113,200	)		(121,193	)		(7,993	)
2	JPPC	LME Copper Futures^		09/2016		(227,620	)		(242,400	)		(14,780	)
1	JPPC	LME Lead Futures^		09/2016		(44,350	)		(44,700	)		(350	)
1	JPPC	LME Nickel Futures^		09/2016		(53,638	)		(56,620	)		(2,982	)
1	JPPC	LME Zinc Futures^		08/2016		(46,873	)		(52,602	)		(5,729	)
1	JPPC	LME Zinc Futures^		09/2016		(51,747	)		(52,668	)		(921	)
						(1,361,070	)		(1,430,245	)		(69,175	)
						$121,345,687			$123,433,483			$2,087,796

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

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		431,400			$55,630			$55,660			$30
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		153,600			19,802			19,818			16
							$75,432			$75,478			$46
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/21/16*	CITI	BRL		(12,000	)		$(3,232	)		$(3,646	)		$(414	)
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		(18,000	)		(4,847	)		(5,470	)		(623	)
Swiss Franc, Expiring 09/21/16	CITI	CHF		(31,200	)		(32,424	)		(32,096	)		328
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(4,800	)		(4,882	)		(4,939	)		(57	)
Euro, Expiring 09/21/16	CITI	EUR		(2,698,954	)		(3,027,045	)		(3,003,927	)		23,118
Euro, Expiring 09/21/16	JPMC	EUR		(4,048,429	)		(4,540,558	)		(4,505,889	)		34,669
British Pound, Expiring 09/21/16	CITI	GBP		(965,005	)		(1,413,140	)		(1,285,655	)		127,485
British Pound, Expiring 09/21/16	JPMC	GBP		(1,447,507	)		(2,119,707	)		(1,928,482	)		191,225
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(554,000	)		(71,411	)		(71,479	)		(68	)
							(11,217,246	)		(10,841,583	)		375,663
							$(11,141,814	)		$(10,766,105	)		$375,709

* 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 June 30, 2016 (Unaudited)

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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 June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BARC
Cash		$—		$1,055,531			$1,055,531
CITI
Investment Companies		30,404		—			30,404
GSCO
Cash		—		(127,622	)		(127,622	)
GSIN
Investment Companies		190,000		—			190,000
JPMC
Cash		120,000		—			120,000
JPMS
Cash		—		36,976			36,976
U.S. Treasury Inflation Protected Securities		5,255,050		—			5,255,050
MPFS
U.S. Treasury Inflation Protected Securities		5,852,732		—			5,852,732
MSCL
Cash		—		(536,201	)		(536,201	)

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Cash		$(100,000	)		$—		$(100,000	)
DTBK
Investment Companies		10,083			—		10,083
GSCO
Cash		—			239,049		239,049
JPPC
Cash		—			239,011		239,011
MSCL
Cash		—			171,186		171,186

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

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FOREIGN GOVERNMENT SECURITIES - 12.7%	INTEREST RATE			MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/23		EUR		724	$	865,427
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/26		EUR		1,712		2,105,562
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750	%		04/15/20		EUR		1,205		1,476,008
France Government Bond OAT (France)		0.100	%		07/25/21		EUR		404		473,808
France Government Bond OAT (France)		0.100	%		03/01/25		EUR		501		598,415
France Government Bond OAT (France)		0.250	%		07/25/24		EUR		609		739,851
France Government Bond OAT (France)		1.100	%		07/25/22		EUR		434		542,362
France Government Bond OAT (France)		2.250	%		07/25/20		EUR		1,098		1,386,942
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/24		GBP		1,402		2,134,565
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/26		GBP		1,113		1,725,843
TOTAL FOREIGN GOVERNMENT SECURITIES (cost $12,276,433)											12,048,783
U.S. TREASURY OBLIGATIONS - 24.5%
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/19		USD		5,700		5,943,211
U.S. Treasury Inflation Protected Securities (a)		0.125	%		04/15/20		USD		6,400		6,688,836
U.S. Treasury Inflation Protected Securities		0.125	%		07/15/24		USD		2,800		2,849,753
U.S. Treasury Inflation Protected Securities		0.250	%		01/15/25		USD		3,600		3,691,976
U.S. Treasury Inflation Protected Securities		0.375	%		07/15/25		USD		3,900		4,051,644
TOTAL U.S. TREASURY OBLIGATIONS (cost $22,597,654)											23,225,420
SHORT-TERM INVESTMENTS - 58.9%								SHARES
Investment Companies - 43.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(b)									658,126		658,126
Dreyfus Treasury Cash Management, Class I, 0.240% ^(b)									2,632,502		2,632,502
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(b)(c)									33,906,620		33,906,620
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(b)(c)									300,201		300,201
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(b)									3,290,627		3,290,627
Total Investment Companies (cost $40,788,076)											40,788,076
								PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 15.9%
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(d)								$	5,110		5,109,325
U.S. Treasury Bill, 0.465%, 08/04/2016 ^(d)									3,513		3,512,286
U.S. Treasury Bill, 0.479%, 09/01/2016 ^(d)									2,628		2,626,949
U.S. Treasury Bill, 0.476%, 09/29/2016 (d)									1,120		1,119,270
U.S. Treasury Bill, 0.384%, 10/06/2016 (d)									2,754		2,752,100
Total U.S. Treasury Obligations (cost $15,115,559)											15,119,930
TOTAL SHORT-TERM INVESTMENTS (cost $55,903,635)											55,908,006
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 96.1% (cost $90,777,722)											91,182,209
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.9% (e)											3,681,333
NET ASSETS - 100.0%										$	94,863,542

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

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

(a) All or a portion of the security is pledged as collateral to the brokers for futures contracts.

(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

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Bovespa Index August Futures	08/2016	BRL		1,020,683			$8,162
MACQ	Brent Crude August Futures^	09/2016	USD		51,780			(1,620	)
MACQ	Brent Crude July Futures^	08/2016	USD		46,360			3,350
MACQ	Brent Crude July Futures^	08/2016	USD		(46,360	)		1,765
MACQ	Brent Crude June Futures^	07/2016	USD		42,730			6,950
MACQ	Brent Crude June Futures^	07/2016	USD		(42,730	)		(3,765	)
MACQ	Cocoa September Futures^	08/2016	USD		(31,005	)		(515	)
MACQ	Cocoa September Futures^	08/2016	USD		31,005			(1,375	)
MACQ	Coffee ‘C’ September Futures^	08/2016	USD		47,325			7,294
CITI	Corn September Futures^	08/2016	USD		94,631			(3,256	)
SOCG	Corn September Futures^	08/2016	USD		322,433			(11,758	)
MACQ	Corn September Futures^	08/2016	USD		178,369			(13,894	)
DTBK	Corn September Futures^	09/2016	USD		341,207			(12,257	)
CITI	Cotton No. 2 December Futures^	11/2016	USD		245,200			11,480
MACQ	Cotton No. 2 December Futures^	11/2016	USD		124,380			3,960
SOCG	Gold 100 OZ August Futures^	07/2016	USD		(130,020	)		30
SOCG	Gold 100 OZ August Futures^	07/2016	USD		130,020			1,980
MACQ	Gold 100 OZ August Futures^	08/2016	USD		(130,040	)		70
MACQ	Gold 100 OZ August Futures^	08/2016	USD		130,040			2,020
SOCG	Gold 100 OZ December Futures^	11/2016	USD		132,720			20
MACQ	Gold 100 OZ December Futures^	12/2016	USD		132,820			(80	)
SOCG	Hard Red Winter Wheat September Futures^	08/2016	USD		23,509			(2,384	)
BANA	H-SHARES Index July Futures	07/2016	HKD		8,340,601			49,543
GSIN	H-SHARES Index July Futures	07/2016	HKD		4,160,926			25,980
BANA	KOSPI Index 200 September Futures	09/2016	KRW		1,112,167,030			(10,472	)
DTBK	Lean Hogs August Futures^	08/2016	USD		195,313			399,735
DTBK	Lean Hogs August Futures^	08/2016	USD		(195,313	)		(395,173	)
SOCG	Lean Hogs August Futures^	08/2016	USD		34,590			(1,280	)
MACQ	Lean Hogs August Futures^	08/2016	USD		(32,776	)		(62	)
MACQ	Lean Hogs August Futures^	08/2016	USD		202,236			(2,376	)
DTBK	Lean Hogs July Futures^	07/2016	USD		(231,798	)		(463,778	)
DTBK	Lean Hogs July Futures^	07/2016	USD		231,798			460,892
SOCG	Lean Hogs July Futures^	07/2016	USD		(33,249	)		1,585
SOCG	Lean Hogs July Futures^	07/2016	USD		33,249			(109	)
MACQ	Lean Hogs July Futures^	07/2016	USD		199,075			(235	)
MACQ	Lean Hogs July Futures^	07/2016	USD		(199,075	)		4,200
DTBK	Lean Hogs October Futures^	10/2016	USD		143,035			365
SOCG	Lean Hogs October Futures^	10/2016	USD		57,227			133

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

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COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MACQ	Lean Hogs October Futures^	10/2016		USD		28,575			$ 105
DTBK	Live Cattle August Futures^	08/2016		USD		410,103			186,274
DTBK	Live Cattle August Futures^	08/2016		USD		(90,881	)		(182,741	)
DTBK	Live Cattle October Futures^	10/2016		USD		91,926			(206	)
GSIN	MSCI Taiwan Stock Index July Futures	07/2016		USD		553,077			18,423
BANA	NSE Nifty 50 Index July Futures	07/2016		INR		13,399,309			4,883
MACQ	Silver July Futures^	07/2016		USD		(75,310	)		(12,760	)
MACQ	Silver July Futures^	07/2016		USD		75,310			17,600
MACQ	Silver September Futures^	09/2016		USD		80,432			12,683
CITI	Soybean Meal December Futures^	11/2016		USD		33,696			6,404
MACQ	Soybean Meal December Futures^	11/2016		USD		33,632			6,468
CITI	Soybean November Futures^	10/2016		USD		878,389			101,874
CITI	Soybean November Futures^	10/2016		USD		(560,360	)		(34,097	)
SOCG	Soybean November Futures^	10/2016		USD		313,508			32,467
MACQ	Soybean November Futures^	10/2016		USD		521,315			55,310
MACQ	Soybean November Futures^	10/2016		USD		(50,835	)		(2,200	)
SOCG	Soybean Oil December Futures^	11/2016		USD		19,822			(580	)
MACQ	Soybean Oil December Futures^	11/2016		USD		58,932			(1,206	)
CITI	Sugar #11 (World Markets) September Futures^	09/2016		USD		18,010			4,760
GSIN	Swiss Market Index September Futures	09/2016		CHF		458,505			21,012
									$299,598

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

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
47	GSCO	Brent Crude Futures^		08/2016		$2,445,562		$2,357,520		$(88,042	)
1	MSCL	Cocoa Futures^		09/2016		30,944		29,630		(1,314	)
12	MSCL	Coffee ‘C’ Futures^		09/2016		571,622		655,425		83,803
24	MSCL	Corn Futures^		09/2016		455,961		438,600		(17,361	)
1	MSCL	Feeder Cattle Futures^		09/2016		72,165		71,750		(415	)
20	GSCO	Gas Oil Futures^		09/2016		922,836		900,500		(22,336	)
7	MSCL	Gasoline RBOB Futures^		08/2016		467,582		443,175		(24,407	)
18	MSCL	Gold 100 OZ Futures^		08/2016		2,331,341		2,377,080		45,739
5	MSCL	Gold 100 OZ Futures^		12/2016		663,759		663,700		(59	)
1	MSCL	Hard Red Winter Wheat Futures^		09/2016		23,465		21,125		(2,340	)
9	MSCL	Heating Oil ULSD Futures^		08/2016		587,076		570,138		(16,938	)
1	MSCL	Lean Hogs Futures^		08/2016		34,657		33,310		(1,347	)
9	MSCL	Live Cattle Futures^		08/2016		416,510		413,370		(3,140	)
1	MSCL	Live Cattle Futures^		10/2016		45,716		45,860		144
6	JPPC	LME Aluminum Futures^		07/2016		245,045		246,713		1,668
1	JPPC	LME Aluminum Futures^		07/2016		41,167		41,113		(54	)
2	JPPC	LME Aluminum Futures^		07/2016		82,541		82,265		(276	)
1	JPPC	LME Aluminum Futures^		08/2016		39,008		41,183		2,175
1	JPPC	LME Aluminum Futures^		08/2016		39,003		41,206		2,203
38	JPPC	LME Aluminum Futures^		09/2016		1,517,576		1,568,687		51,111
1	JPPC	LME Copper Futures^		07/2016		125,202		121,056		(4,146	)
1	JPPC	LME Copper Futures^		09/2016		114,003		121,183		7,180
2	JPPC	LME Copper Futures^		09/2016		227,180		242,387		15,207

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY II MV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
14	JPPC	LME Copper Futures^		09/2016		$ 1,701,221			$ 1,696,800			$ (4,421	)
1	JPPC	LME Lead Futures^		08/2016		41,230			44,711			3,481
1	JPPC	LME Lead Futures^		09/2016		42,298			44,734			2,436
5	JPPC	LME Lead Futures^		09/2016		215,599			223,594			7,995
1	JPPC	LME Nickel Futures^		08/2016		53,207			56,539			3,332
1	JPPC	LME Nickel Futures^		09/2016		53,691			56,619			2,928
5	JPPC	LME Nickel Futures^		09/2016		271,956			283,260			11,304
1	JPPC	LME Zinc Futures^		09/2016		51,527			52,668			1,141
6	JPPC	LME Zinc Futures^		09/2016		288,420			315,937			27,517
11	MSCL	Natural Gas Futures^		08/2016		284,734			320,980			36,246
18	MSCL	Silver Futures^		09/2016		1,475,939			1,676,070			200,131
4	MSCL	Soybean Futures^		11/2016		208,764			230,650			21,886
9	MSCL	Soybean Meal Futures^		12/2016		298,043			360,901			62,858
18	MSCL	Soybean Oil Futures^		12/2016		354,429			346,356			(8,073	)
46	MSCL	Sugar #11 (World Markets) Futures^		09/2016		836,520			1,047,401			210,881
30	MSCL	Wheat Futures^		09/2016		718,383			668,250			(50,133	)
46	MSCL	WTI Crude Futures^		08/2016		2,332,052			2,254,460			(77,592	)
1	BARC	DAX Index Futures		09/2016		265,795			268,241			2,446
11	BARC	E-Mini Russell 2000 Futures		09/2016		1,276,678			1,262,140			(14,538	)
37	BARC	Euro Stoxx 50 Index Futures		09/2016		1,157,344			1,172,285			14,941
13	BARC	FTSE 100 Index Futures		09/2016		1,032,224			1,111,494			79,270
10	JPMS	FTSE/JSE Top 40 Index Futures		09/2016		313,820			315,359			1,539
2	BARC	H-SHARES Index Futures		07/2016		110,068			112,463			2,395
3	BARC	KOSPI Index 200 Futures		09/2016		323,463			318,075			(5,388	)
5	BARC	MSCI Taiwan Stock Index Futures		07/2016		157,055			158,750			1,695
105	BARC	S&P 500 E-Mini Futures		09/2016		10,906,893			10,973,550			66,657
11	BARC	S&P MID 400 E-Mini Futures		09/2016		1,634,808			1,642,300			7,492
2	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		250,845			252,115			1,270
12	BARC	SGX S&P CNX Nifty Index Futures		07/2016		195,569			200,052			4,483
14	BARC	TOPIX Index Futures		09/2016		1,812,746			1,688,568			(124,178	)
19	GSCO	10-Year Japanese Government Bond Futures		09/2016		2,801,536			2,811,960			10,424
10	GSCO	10-Year Japanese Government Bond Futures		09/2016		14,731,527			14,808,502			76,975
19	JPMS	Australia 10-Year Bond Futures		09/2016		1,908,640			1,929,975			21,335
28	GSCO	Canadian 10-Year Bond Futures		09/2016		3,132,655			3,208,421			75,766
137	GSCO	Euro-Bund Futures		09/2016		24,846,507			25,408,215			561,708
376	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		48,867,077			50,002,125			1,135,048
						136,453,184			138,851,496			2,398,312
Short Contracts:
6	JPPC	LME Aluminum Futures^		07/2016		$(246,585	)		$(246,712	)		$(127	)
1	JPPC	LME Aluminum Futures^		07/2016		(41,098	)		(41,113	)		(15	)
2	JPPC	LME Aluminum Futures^		07/2016		(82,395	)		(82,265	)		130
1	JPPC	LME Aluminum Futures^		08/2016		(39,073	)		(41,184	)		(2,111	)
1	JPPC	LME Aluminum Futures^		08/2016		(38,944	)		(41,206	)		(2,262	)
1	JPPC	LME Aluminum Futures^		09/2016		(39,085	)		(41,282	)		(2,197	)
1	JPPC	LME Copper Futures^		07/2016		(125,605	)		(121,057	)		4,548
1	JPPC	LME Copper Futures^		09/2016		(113,309	)		(121,182	)		(7,873	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY II MV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2	JPPC	LME Copper Futures^		09/2016		$ (226,400	)		$ (242,386	)		$ (15,986	)
4	JPPC	LME Copper Futures^		09/2016		(466,315	)		(484,800	)		(18,485	)
1	JPPC	LME Lead Futures^		08/2016		(41,541	)		(44,710	)		(3,169	)
1	JPPC	LME Lead Futures^		09/2016		(42,573	)		(44,735	)		(2,162	)
1	JPPC	LME Lead Futures^		09/2016		(41,273	)		(44,719	)		(3,446	)
1	JPPC	LME Nickel Futures^		08/2016		(53,422	)		(56,539	)		(3,117	)
1	JPPC	LME Nickel Futures^		09/2016		(53,638	)		(56,620	)		(2,982	)
1	JPPC	LME Zinc Futures^		09/2016		(51,747	)		(52,668	)		(921	)
						(1,703,003	)		(1,763,178	)		(60,175	)
						$134,750,181			$137,088,318			$2,338,137

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

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		611,800			$78,887			$78,935			$48
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		655,200			84,468			84,535			67
							$163,355			$163,470			$115
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/21/16*	CITI	BRL		(20,000	)		$(5,387	)		$(6,076	)		$(689	)
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		(30,000	)		(8,080	)		(9,115	)		(1,035	)
Swiss Franc, Expiring 09/21/16	CITI	CHF		(26,600	)		(27,623	)		(27,366	)		257
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(5,400	)		(5,492	)		(5,556	)		(64	)
Euro, Expiring 09/21/16	CITI	EUR		(2,939,904	)		(3,297,284	)		(3,272,104	)		25,180
Euro, Expiring 09/21/16	JPMC	EUR		(4,409,856	)		(4,945,920	)		(4,908,156	)		37,764
British Pound, Expiring 09/21/16	CITI	GBP		(1,252,251	)		(1,835,503	)		(1,668,346	)		167,157
British Pound, Expiring 09/21/16	JPMC	GBP		(1,531,176	)		(2,250,374	)		(2,039,952	)		210,422
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(1,448,000	)		(186,679	)		(186,825	)		(146	)
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		(858,000	)		(110,643	)		(110,701	)		(58	)
							(12,672,985	)		(12,234,197	)		438,788
							$(12,509,630	)		$(12,070,727	)		$438,903

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR RISK PARITY II MV FUND

* 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

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Investment Companies		$140,051		$—			$140,051
BARC
Cash		—		1,139,352			1,139,352
CITI
Investment Companies		20,519		—			20,519
GSCO
Cash		—		(715,525	)		(715,525	)
U.S. Treasury Inflation Protected Securities		—		550,533			550,533
GSIN
Investment Companies		160,000		—			160,000
JPMC
Cash		130,000		—			130,000
JPMS
Cash		—		47,998			47,998
MSCL
Cash		—		(1,195,758	)		(1,195,758	)
U.S. Treasury Inflation Protected Securities		—		593,980			593,980

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Cash		$(210,000	)		$—		$(210,000	)
GSCO
Cash		—			265,509		265,509
JPPC
Cash		—			289,565		289,565
MSCL
Cash		—			168,371		168,371

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

LONG INVESTMENTS - 111.8%	SHARES		VALUE (Note 5)
COMMON STOCKS - 27.2%
Belgium - 0.6%
Ageas (a)		148,721	$	5,169,434
bpost SA (a)		170,934		4,375,685
Colruyt SA (a)		31,392		1,737,169
KBC Group NV †(a)		113,205		5,567,525
Proximus SADP (a)		108,211		3,438,781
Umicore SA (a)		7,928		409,515
				20,698,109
Denmark - 0.8%
Chr Hansen Holding A/S (a)		6,965		457,429
Danske Bank A/S (a)		52,027		1,369,370
DSV A/S (a)		74,303		3,124,303
GN Store Nord A/S (a)		20,312		366,923
H Lundbeck A/S †		47,834		1,793,170
ISS A/S (a)		98,650		3,710,258
Jyske Bank A/S (a)		43,445		1,649,266
Novo Nordisk A/S, Class B (a)		80,961		4,359,984
Pandora A/S (a)		9,602		1,307,787
TDC A/S		362,359		1,775,730
Vestas Wind Systems A/S (a)		64,837		4,406,936
William Demant Holding A/S †(a)		162,250		3,158,324
				27,479,480
Finland - 0.7%
Amer Sports OYJ (a)		49,476		1,357,387
Cargotec OYJ, Class B (a)		36,431		1,484,747
Elisa OYJ (a)		82,980		3,188,356
Huhtamaki OYJ (a)		24,211		1,004,752
Kesko OYJ, Class B (a)		27,427		1,164,731
Metso OYJ (a)		66,153		1,555,249
Neste OYJ (a)		172,955		6,201,981
Orion OYJ, Class B (a)		54,787		2,127,369
Sampo OYJ, Class A (a)		13,980		571,730
Stora Enso OYJ, Class R (a)		341,749		2,748,374
UPM-Kymmene OYJ (a)		219,332		4,029,297
				25,433,973
Germany - 2.8%
Allianz SE (a)		55,850		7,967,419
Aurubis AG		85,191		3,873,869
Axel Springer SE (a)		7,343		385,534
Brenntag AG (a)		43,956		2,129,315
Covestro AG 144A (a)(b)		69,123		3,078,763
Deutsche Lufthansa AG (a)		708,937		8,335,340
Duerr AG (a)		10,086		765,848
Evonik Industries AG (a)		105,177		3,135,175
Fraport AG Frankfurt Airport Services Worldwide (a)		7,639		408,999
Freenet AG (a)		186,562		4,804,630
Fresenius Medical Care AG & Co. KGaA (a)		75,740		6,597,441
GEA Group AG (a)		7,761		366,330
Hannover Rueck SE (a)		93,503		9,797,008
HeidelbergCement AG (a)		24,662		1,857,839
Hella KGaA Hueck & Co. (a)		38,076		1,222,102
HOCHTIEF AG (a)		31,014		4,004,242
K+S AG (a)		121,876		2,495,071

	SHARES		VALUE (Note 5)
Germany - 2.8% (continued)
KION Group AG (a)		63,879	$	3,096,085
Krones AG		8,674		916,244
Linde AG (a)		6,090		848,560
METRO AG (a)		71,474		2,198,263
MTU Aero Engines AG (a)		17,017		1,589,863
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		34,835		5,841,657
OSRAM Licht AG (a)		74,183		3,854,316
ProSiebenSat.1 Media SE †(a)		36,933		1,615,526
Rheinmetall AG		10,850		645,345
RHOEN-KLINIKUM AG (a)		38,966		1,140,587
Siemens AG (a)		37,638		3,862,457
Software AG (a)		98,938		3,364,103
Suedzucker AG (a)		178,721		3,936,421
Symrise AG (a)		29,670		2,023,825
Talanx AG (a)		65,766		1,958,710
United Internet AG (a)		40,794		1,695,764
Zalando SE 144A †(a)(b)		26,770		708,506
				100,521,157
Italy - 1.5%
A2A SpA		4,228,822		5,545,088
Assicurazioni Generali SpA		56,696		668,581
Atlantia SpA		26,831		670,371
Autogrill SpA		58,094		469,671
Banca Generali SpA		22,841		457,813
Buzzi Unicem SpA		133,193		2,334,077
Davide Campari-Milano SpA		169,730		1,680,088
Enel SpA		665,842		2,955,971
FinecoBank Banca Fineco SpA		453,442		2,961,403
Hera SpA		498,096		1,359,492
Intesa Sanpaolo SpA		1,229,686		2,342,197
Leonardo-Finmeccanica SpA †		198,275		2,005,091
Mediobanca SpA		1,089,523		6,277,610
Poste Italiane SpA 144A (b)		260,885		1,732,259
Prysmian SpA		173,005		3,797,315
Recordati SpA		111,089		3,341,498
Snam SpA		873,649		5,223,049
Telecom Italia SpA †		455,713		374,281
Terna Rete Elettrica Nazionale SpA		978,593		5,445,971
Unipol Gruppo Finanziario SpA		141,120		332,299
UnipolSai SpA		1,203,819		1,816,709
				51,790,834
Japan - 15.0%
ABC-Mart, Inc. (a)		49,000		3,288,476
Air Water, Inc. (a)		97,000		1,427,244
Aisin Seiki Co. Ltd. (a)		37,300		1,519,352
Ajinomoto Co., Inc. (a)		65,700		1,547,955
Alfresa Holdings Corp. (a)		244,300		5,103,940
Amada Holdings Co. Ltd. (a)		215,200		2,184,739
ANA Holdings, Inc. (a)		2,896,000		8,252,461
Aozora Bank Ltd. (a)		2,848,000		9,879,677
Asahi Group Holdings Ltd. (a)		15,700		507,656
Astellas Pharma, Inc. (a)		209,000		3,277,610
Bandai Namco Holdings, Inc. (a)		268,500		6,929,050
Benesse Holdings, Inc. (a)		51,100		1,199,611
Bridgestone Corp. (a)		55,000		1,767,532

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Japan - 15.0% (continued)
Brother Industries Ltd. (a)		139,900	$	1,500,614
Canon, Inc. (a)		52,000		1,484,611
Central Japan Railway Co. (a)		22,300		3,966,358
Century Tokyo Leasing Corp. (a)		38,200		1,236,275
Chubu Electric Power Co., Inc. (a)		278,100		3,957,648
Chugoku Bank Ltd. (The) (a)		108,500		1,107,058
Concordia Financial Group Ltd. †(a)		424,000		1,637,449
Dai Nippon Printing Co. Ltd. (a)		109,000		1,214,798
Daicel Corp. (a)		184,600		1,912,838
Daiichi Sankyo Co. Ltd. (a)		350,500		8,515,437
Don Quijote Holdings Co. Ltd. (a)		31,500		1,170,626
East Japan Railway Co. (a)		46,300		4,290,775
Electric Power Development Co. Ltd.		13,200		307,537
Ezaki Glico Co. Ltd. (a)		43,300		2,533,041
FamilyMart Co. Ltd. (a)		82,600		5,033,750
Fuji Electric Co. Ltd. (a)		143,000		595,385
Fuji Heavy Industries Ltd. (a)		301,900		10,377,326
FUJIFILM Holdings Corp. (a)		119,200		4,625,011
Fukuoka Financial Group, Inc. (a)		95,000		313,239
Gunma Bank Ltd. (The) (a)		362,000		1,314,595
Hakuhodo DY Holdings, Inc. (a)		255,600		3,063,574
Hankyu Hanshin Holdings, Inc. (a)		265,000		1,975,985
Haseko Corp. (a)		518,000		5,215,124
Hikari Tsushin, Inc. (a)		18,800		1,574,941
Hino Motors Ltd. (a)		31,000		308,759
Hiroshima Bank Ltd. (The) (a)		125,000		417,671
Hisamitsu Pharmaceutical Co., Inc. (a)		37,500		2,162,304
Hitachi Capital Corp. (a)		68,100		1,351,580
Hitachi Chemical Co. Ltd. (a)		76,300		1,425,009
Hitachi High-Technologies Corp. (a)		113,700		3,111,717
Hitachi Metals Ltd. (a)		73,500		746,699
Hokuhoku Financial Group, Inc.		1,883,000		2,144,608
Hokuriku Electric Power Co. (a)		34,700		429,973
Hoya Corp. (a)		71,900		2,567,980
Ibiden Co. Ltd.		48,200		544,971
Idemitsu Kosan Co. Ltd. (a)		181,500		3,940,381
Iida Group Holdings Co. Ltd. (a)		73,800		1,511,356
Isetan Mitsukoshi Holdings Ltd. (a)		156,200		1,390,305
ITOCHU Corp. (a)		589,700		7,213,925
Itochu Techno-Solutions Corp. (a)		165,600		3,567,563
Izumi Co. Ltd. (a)		24,700		962,225
J Front Retailing Co. Ltd. (a)		195,000		2,021,830
Japan Airlines Co. Ltd. (a)		408,600		13,145,731
Japan Petroleum Exploration Co. Ltd. (a)		33,300		671,230
Japan Post Holdings Co. Ltd. (a)		102,300		1,244,519
JSR Corp. (a)		83,000		1,099,180
JTEKT Corp. (a)		168,200		1,906,459
JX Holdings, Inc. (a)		81,000		316,169
Kajima Corp. (a)		623,000		4,327,813
Kaken Pharmaceutical Co. Ltd. (a)		30,700		2,012,755
Kamigumi Co. Ltd. (a)		93,000		859,582
Kaneka Corp. (a)		613,000		4,090,094
Kao Corp. (a)		27,200		1,584,187
KDDI Corp. (a)		250,300		7,611,557
Keihan Holdings Co. Ltd. (a)		45,000		311,821

	SHARES		VALUE (Note 5)
Japan - 15.0% (continued)
Kewpie Corp. (a)		189,400	$	6,041,253
Kobayashi Pharmaceutical Co. Ltd. (a)		10,200		452,950
Konami Holdings Corp. (a)		274,300		10,464,502
Konica Minolta, Inc. (a)		181,400		1,321,420
Kose Corp. (a)		42,700		3,618,389
Kuraray Co. Ltd. (a)		119,700		1,428,198
Kurita Water Industries Ltd. (a)		36,800		820,336
Lawson, Inc. (a)		17,200		1,373,159
Makita Corp. (a)		17,800		1,181,868
Marubeni Corp. (a)		320,700		1,448,838
Maruichi Steel Tube Ltd. (a)		14,300		499,788
McDonald’s Holdings Co. Japan Ltd.		14,100		382,995
Medipal Holdings Corp. (a)		214,400		3,524,914
MEIJI Holdings Co. Ltd. (a)		50,700		5,209,696
Miraca Holdings, Inc. (a)		24,500		1,062,518
Mitsubishi Chemical Holdings Corp. (a)		855,000		3,919,312
Mitsubishi Electric Corp. (a)		216,000		2,578,685
Mitsubishi Gas Chemical Co., Inc. (a)		703,000		3,667,491
Mitsubishi Motors Corp. (a)		411,000		1,897,313
Mitsubishi Tanabe Pharma Corp. (a)		332,300		6,004,059
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)		566,500		2,176,817
Mitsui & Co. Ltd. (a)		282,700		3,374,640
Mitsui Chemicals, Inc. (a)		1,588,000		5,835,523
Mixi, Inc.		56,000		2,315,340
Mizuho Financial Group, Inc.		2,486,300		3,577,932
MS&AD Insurance Group Holdings, Inc. (a)		162,900		4,220,759
Nagoya Railroad Co. Ltd. (a)		879,000		4,952,667
Nankai Electric Railway Co. Ltd. (a)		284,000		1,601,420
Nexon Co. Ltd. (a)		324,000		4,795,214
NH Foods Ltd. (a)		77,000		1,886,037
NHK Spring Co. Ltd. (a)		393,200		3,191,163
Nikon Corp. (a)		160,300		2,170,432
Nippon Express Co. Ltd. (a)		195,000		891,094
Nippon Shokubai Co. Ltd. (a)		73,000		4,198,693
Nippon Telegraph & Telephone Corp. (a)		223,200		10,466,945
Nippon Yusen KK		1,910,000		3,360,141
Nissan Motor Co. Ltd. (a)		271,400		2,422,060
Nisshin Seifun Group, Inc. (a)		189,600		3,047,798
Nissin Foods Holdings Co. Ltd. (a)		26,900		1,469,034
Nitori Holdings Co. Ltd. (a)		74,600		9,047,792
NOK Corp. (a)		45,100		766,954
Nomura Holdings, Inc. (a)		134,300		477,646
Nomura Research Institute Ltd. (a)		59,350		2,176,679
NTT Data Corp. (a)		51,800		2,446,431
Obayashi Corp. (a)		648,900		6,908,778
Obic Co. Ltd. (a)		11,000		605,510
Oracle Corp. Japan (a)		23,600		1,258,424
ORIX Corp. (a)		508,700		6,582,815
Osaka Gas Co. Ltd. (a)		941,000		3,617,666
Otsuka Corp. (a)		97,500		4,559,231
Otsuka Holdings Co. Ltd.		259,700		11,967,724
Park24 Co. Ltd. (a)		104,000		3,573,900

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

AQR Funds Semi-Annual Report June 2016

224

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Japan - 15.0% (continued)
Pola Orbis Holdings, Inc. (a)		61,700	$	5,806,596
Renesas Electronics Corp. †(a)		53,700		307,144
Resona Holdings, Inc. (a)		3,039,500		11,109,107
Rohm Co. Ltd. (a)		24,300		959,123
Sankyo Co. Ltd. (a)		72,200		2,706,997
Santen Pharmaceutical Co. Ltd. (a)		225,100		3,537,939
Secom Co. Ltd. (a)		34,500		2,550,682
Seiko Epson Corp.		59,500		953,882
Sekisui Chemical Co. Ltd. (a)		208,000		2,562,726
Sekisui House Ltd. (a)		116,200		2,034,904
Seven & i Holdings Co. Ltd. (a)		119,300		5,002,024
Seven Bank Ltd. (a)		253,500		786,842
Shimadzu Corp. (a)		162,000		2,435,392
Shimamura Co. Ltd. (a)		62,000		9,224,777
Shimizu Corp. (a)		431,000		4,038,044
Shinsei Bank Ltd.		1,747,000		2,545,348
Shionogi & Co. Ltd.		19,000		1,038,655
Shiseido Co. Ltd. (a)		32,200		839,060
SoftBank Group Corp.		7,900		446,761
Sohgo Security Services Co. Ltd. (a)		57,800		2,857,347
Sojitz Corp. (a)		3,441,100		8,153,800
Sompo Japan Nipponkoa Holdings, Inc.		20,200		537,566
Sugi Holdings Co. Ltd. (a)		38,600		2,152,255
Sumitomo Chemical Co. Ltd. (a)		703,000		2,900,621
Sumitomo Corp. (a)		273,700		2,758,869
Sumitomo Dainippon Pharma Co. Ltd. (a)		154,700		2,681,388
Sumitomo Electric Industries Ltd. (a)		32,200		426,181
Sumitomo Heavy Industries Ltd. (a)		285,000		1,251,976
Sumitomo Rubber Industries Ltd. (a)		416,100		5,570,706
Sundrug Co. Ltd. (a)		31,200		2,929,524
Suntory Beverage & Food Ltd. (a)		25,200		1,140,328
Suzuken Co. Ltd. (a)		89,710		2,823,735
Sysmex Corp. (a)		13,800		950,247
Taisei Corp. (a)		508,000		4,174,083
Taisho Pharmaceutical Holdings Co. Ltd. (a)		9,500		999,685
Takashimaya Co. Ltd. (a)		291,000		2,084,301
TDK Corp.		18,600		1,041,159
Teijin Ltd. (a)		469,000		1,554,054
Toho Gas Co. Ltd. (a)		825,000		6,750,744
Tohoku Electric Power Co., Inc. (a)		260,600		3,288,909
Tokyo Electric Power Co. Holdings, Inc. †(a)		1,402,900		5,941,337
Tokyo Gas Co. Ltd. (a)		585,000		2,415,326
Tokyu Corp. (a)		161,000		1,413,531
Toppan Printing Co. Ltd. (a)		254,000		2,184,077
Tosoh Corp. (a)		675,000		3,113,524
Toyo Suisan Kaisha Ltd. (a)		101,400		4,113,094
Toyoda Gosei Co. Ltd. (a)		110,100		1,960,808
Toyota Boshoku Corp. (a)		55,100		1,150,208
Tsuruha Holdings, Inc. (a)		18,400		2,228,030
USS Co. Ltd. (a)		73,700		1,218,010
West Japan Railway Co. (a)		148,100		9,385,588
Yamada Denki Co. Ltd. (a)		428,500		2,261,975
Yamaguchi Financial Group, Inc. (a)		568,000		5,371,175

	SHARES		VALUE (Note 5)
Japan - 15.0% (continued)
Yamaha Corp. (a)		50,800	$	1,369,233
Yamazaki Baking Co. Ltd. (a)		282,000		7,872,783
				535,562,374
Netherlands - 1.1%
Aalberts Industries NV (a)		26,397		791,336
ABN AMRO Group NV CVA 144A (b)		16,698		274,526
Akzo Nobel NV (a)		15,727		976,974
ASM International NV (a)		38,065		1,469,249
Boskalis Westminster (a)		63,828		2,177,980
Delta Lloyd NV		166,292		584,298
Heineken NV (a)		49,862		4,573,434
Koninklijke Ahold NV (a)		345,334		7,625,864
Koninklijke Philips NV (a)		84,056		2,087,638
NN Group NV (a)		270,651		7,450,595
Randstad Holding NV (a)		59,713		2,387,982
SBM Offshore NV (a)		142,975		1,656,951
Wolters Kluwer NV		138,617		5,612,772
				37,669,599
Norway - 0.3%
DNB ASA (a)		188,255		2,253,374
Gjensidige Forsikring ASA (a)		19,168		319,356
Marine Harvest ASA †(a)		216,625		3,653,870
Orkla ASA (a)		168,852		1,501,695
Telenor ASA (a)		49,292		815,932
Yara International ASA (a)		100,023		3,177,412
				11,721,639
Portugal - 0.0% (c)
EDP - Energias de Portugal SA		463,806		1,419,975
NOS SGPS SA		45,531		275,539
				1,695,514
Spain - 1.1%
ACS Actividades de Construccion y Servicios SA (a)		43,878		1,203,538
Almirall SA		121,562		1,827,706
Banco de Sabadell SA		477,352		632,136
Bankinter SA (a)		43,460		280,540
Ebro Foods SA		232,583		5,353,619
Enagas SA (a)		55,874		1,706,966
Endesa SA (a)		284,518		5,708,994
Ferrovial SA (a)		125,283		2,452,787
Gamesa Corp. Tecnologica SA (a)		100,189		1,996,169
Gas Natural SDG SA (a)		142,328		2,829,143
Iberdrola SA (a)		835,893		5,702,101
Industria de Diseno Textil SA (a)		42,235		1,418,841
Mediaset Espana Comunicacion SA (a)		30,734		346,944
Red Electrica Corp. SA (a)		16,280		1,454,679
Repsol SA (a)		373,931		4,793,376
Tecnicas Reunidas SA (a)		53,865		1,614,438
				39,321,977
Sweden - 0.9%
Assa Abloy AB, Class B (a)		28,688		590,193
BillerudKorsnas AB		71,800		1,071,435

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

AQR Funds Semi-Annual Report June 2016

225

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Sweden - 0.9% (continued)
Boliden AB (a)		110,865	$	2,166,756
Bonava AB, Class B †		29,416		354,632
Electrolux AB, Series B		147,383		4,018,375
Husqvarna AB, Class B		189,229		1,409,089
ICA Gruppen AB		96,540		3,235,554
Modern Times Group MTG AB, Class B		24,097		640,533
NCC AB, Class B		29,416		683,015
Saab AB, Class B		15,822		493,405
Securitas AB, Class B		340,362		5,254,447
Skanska AB, Class B (a)		26,986		565,059
Svenska Cellulosa AB SCA, Class B (a)		225,718		7,252,470
Swedbank AB, Class A (a)		14,506		304,671
Swedish Match AB (a)		52,547		1,833,791
Tele2 AB, Class B (a)		97,841		858,980
Telia Co. AB		546,128		2,586,177
Trelleborg AB, Class B		27,956		496,092
				33,814,674
Switzerland - 2.0%
Adecco Group AG (a)		26,740		1,348,714
Baloise Holding AG (a)		14,652		1,631,945
Barry Callebaut AG †(a)		473		582,382
Chocoladefabriken Lindt & Spruengli AG (a)		81		483,094
DKSH Holding AG (a)		9,053		593,042
Flughafen Zuerich AG		6,640		1,175,087
Galenica AG (a)		6,773		9,130,545
GAM Holding AG †(a)		23,574		251,661
Geberit AG (a)		840		318,160
Georg Fischer AG (a)		2,447		1,956,153
Givaudan SA (a)		1,489		2,998,138
Helvetia Holding AG (a)		1,684		876,099
Kuehne + Nagel International AG (a)		2,199		308,101
Lonza Group AG †(a)		31,412		5,217,904
Nestle SA (a)		83,955		6,504,694
Novartis AG (a)		69,312		5,720,912
Partners Group Holding AG (a)		4,786		2,051,115
Roche Holding AG (a)		16,616		4,384,627
Schindler Holding AG (a)		3,884		703,190
Sonova Holding AG (a)		2,446		324,646
Straumann Holding AG (a)		2,557		1,008,759
Swiss Life Holding AG †(a)		20,901		4,830,176
Swiss Re AG (a)		154,114		13,460,381
Swisscom AG (a)		6,652		3,304,752
UBS Group AG (a)		223,365		2,898,293
				72,062,570
United Kingdom - 0.4%
Fiat Chrysler Automobiles NV (a)		133,151		819,606
Subsea 7 SA †(a)		350,704		3,447,242
Unilever NV CVA (a)		196,657		9,184,390
				13,451,238
TOTAL COMMON STOCKS (cost $953,685,327)				971,223,138

PREFERRED STOCKS - 0.3%	SHARES		VALUE (Note 5)
Germany - 0.3%
FUCHS PETROLUB SE (a)		10,763	$	423,426
Henkel AG & Co. KGaA (a)		66,233		8,094,372
TOTAL PREFERRED STOCKS (cost $8,032,711)				8,517,798
RIGHTS - 0.0% (c)
Spain - 0.0% (c)
ACS Actividades de Construccion y Servicios SA †
(cost $31,127)		43,878		30,823
SHORT-TERM INVESTMENTS - 84.3%
Investment Companies - 60.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (d)		3,204,079		3,204,079
Dreyfus Treasury Cash Management, Class I, 0.240% (d)		12,816,316		12,816,316
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(d)(e)		1,672,595,219		1,672,595,219
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(d)(e)		435,676,766		435,676,766
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (d)		16,020,395		16,020,395
Total Investment Companies (cost $2,140,312,775)				2,140,312,775
		PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 24.3%
U.S. Treasury Bill, 0.370%, 07/21/2016 ^(f)	$	287,700		287,670,655
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(f)		210,322		210,115,674
U.S. Treasury Bill, 0.396%, 11/03/2016 (f)		1,136		1,135,045
U.S. Treasury Bill, 0.401%, 12/15/2016 ^(f)		14,318		14,299,701
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(f)(g)		148,633		148,587,518
U.S. Treasury Bill, 0.431%, 12/08/2016 ^(f)		24,906		24,874,295
U.S. Treasury Bill, 0.471%, 07/14/2016 (f)		28,893		28,891,300
U.S. Treasury Bill, 0.477%, 12/01/2016 ^(f)		3,511		3,506,748
U.S. Treasury Bill, 0.480%, 11/25/2016 (f)(g)		13,707		13,692,525
U.S. Treasury Bill, 0.498%, 07/07/2016 ^(f)		45,093		45,092,549
U.S. Treasury Bill, 0.341%, 12/29/2016 ^(f)		1,047		1,045,184
U.S. Treasury Bill, 0.381%, 11/10/2016 ^(f)		59,578		59,522,175

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

AQR Funds Semi-Annual Report June 2016

226

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Obligations - 24.3% (continued)
U.S. Treasury Bill, 0.401%, 12/22/2016 ^(f)	$	30,441		$	30,399,296
Total U.S. Treasury Obligations (cost $868,582,423)					868,832,665
TOTAL SHORT-TERM INVESTMENTS (cost $3,008,895,198)					3,009,145,440
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $3,970,644,363)					3,988,917,199
SECURITIES SOLD SHORT - (20.4)%	SHARES
COMMON STOCKS - (20.1)%
Austria - (0.1)%
ams AG		(120,215	)		(3,337,465	)
Belgium - (0.4)%
Anheuser-Busch InBev SA/NV		(80,499	)		(10,644,901	)
Solvay SA		(5,679	)		(530,463	)
Telenet Group Holding NV †		(41,015	)		(1,875,468	)
UCB SA		(28,012	)		(2,103,348	)
					(15,154,180	)
Denmark - (0.3)%
AP Moeller - Maersk A/S, Class B		(2,635	)		(3,441,718	)
Carlsberg A/S, Class B		(3,407	)		(325,055	)
Coloplast A/S, Class B		(37,711	)		(2,822,842	)
Novozymes A/S, Class B		(53,458	)		(2,567,101	)
Topdanmark A/S †		(15,597	)		(371,713	)
Tryg A/S		(27,298	)		(488,757	)
					(10,017,186	)
Finland - (0.5)%
Fortum OYJ		(39,407	)		(633,130	)
Kone OYJ, Class B		(15,001	)		(692,302	)
Nokia OYJ		(2,122,276	)		(12,087,298	)
Nokian Renkaat OYJ		(118,011	)		(4,229,738	)
					(17,642,468	)
Germany - (1.8)%
BASF SE		(34,405	)		(2,638,132	)
Bayer AG		(50,559	)		(5,077,888	)
Bayerische Motoren Werke AG		(14,935	)		(1,086,896	)
Beiersdorf AG		(37,325	)		(3,533,728	)
Bilfinger SE †		(56,358	)		(1,651,896	)
Commerzbank AG		(156,409	)		(1,018,591	)
Continental AG		(5,810	)		(1,099,407	)
Daimler AG		(71,849	)		(4,299,325	)
Deutsche Bank AG †		(569,291	)		(7,869,377	)
Deutsche Post AG		(159,696	)		(4,499,037	)
Deutsche Telekom AG		(236,530	)		(4,033,374	)
E.ON SE		(445,576	)		(4,498,009	)
HUGO BOSS AG		(6,991	)		(397,453	)
Infineon Technologies AG		(89,166	)		(1,290,804	)
LANXESS AG		(48,807	)		(2,141,305	)
Merck KGaA		(38,385	)		(3,901,567	)

	SHARES			VALUE (Note 5)
Germany - (1.8)% (continued)
RWE AG †		(551,719	)	$	(8,786,237	)
Salzgitter AG		(32,244	)		(852,535	)
STADA Arzneimittel AG †		(6,147	)		(318,582	)
Telefonica Deutschland Holding AG		(258,454	)		(1,064,595	)
Thyssenkrupp AG		(156,317	)		(3,142,027	)
Wacker Chemie AG		(4,662	)		(408,266	)
					(63,609,031	)
Italy - (0.5)%
Azimut Holding SpA		(145,860	)		(2,379,833	)
Banca Mediolanum SpA		(113,259	)		(777,358	)
Banca Popolare dell’Emilia Romagna SC		(142,678	)		(523,830	)
Eni SpA		(247,684	)		(3,989,489	)
Luxottica Group SpA		(27,788	)		(1,354,322	)
Mediaset SpA		(693,469	)		(2,425,098	)
Moncler SpA		(108,167	)		(1,707,671	)
Saipem SpA †		(3,267,423	)		(1,306,412	)
Unione di Banche Italiane SpA		(1,444,320	)		(3,988,566	)
					(18,452,579	)
Japan - (11.9)%
Acom Co. Ltd. †		(514,900	)		(2,494,457	)
Advantest Corp.		(336,300	)		(3,751,776	)
Aeon Co. Ltd.		(265,200	)		(4,117,646	)
AEON Financial Service Co. Ltd.		(84,800	)		(1,836,169	)
Alps Electric Co. Ltd.		(160,700	)		(3,053,028	)
Asahi Glass Co. Ltd.		(157,000	)		(852,022	)
Asahi Kasei Corp.		(176,000	)		(1,224,790	)
Asics Corp.		(381,400	)		(6,443,720	)
Bank of Kyoto Ltd. (The)		(437,000	)		(2,680,427	)
Calbee, Inc.		(169,800	)		(7,103,742	)
Chiba Bank Ltd. (The)		(588,000	)		(2,778,747	)
Chugai Pharmaceutical Co. Ltd.		(134,700	)		(4,800,468	)
Chugoku Electric Power Co., Inc. (The)		(147,000	)		(1,868,834	)
Citizen Holdings Co. Ltd.		(65,000	)		(316,370	)
Credit Saison Co. Ltd.		(125,100	)		(2,101,491	)
Daido Steel Co. Ltd.		(279,000	)		(955,603	)
Dai-ichi Life Insurance Co. Ltd. (The)		(73,900	)		(827,266	)
Daikin Industries Ltd.		(32,300	)		(2,714,646	)
Daiwa Securities Group, Inc.		(626,000	)		(3,298,000	)
DeNA Co. Ltd.		(62,000	)		(1,450,398	)
Denso Corp.		(152,600	)		(5,369,282	)
Dentsu, Inc.		(32,800	)		(1,537,528	)
Disco Corp.		(15,100	)		(1,365,641	)
Eisai Co. Ltd.		(101,100	)		(5,645,029	)
FANUC Corp.		(53,800	)		(8,751,821	)
Fast Retailing Co. Ltd.		(30,500	)		(8,188,655	)
Fujitsu Ltd.		(75,000	)		(275,799	)
Hachijuni Bank Ltd. (The)		(392,100	)		(1,707,701	)
Hamamatsu Photonics KK		(144,600	)		(4,057,349	)
Hirose Electric Co. Ltd.		(10,100	)		(1,241,956	)
Hitachi Construction Machinery Co. Ltd.		(203,400	)		(2,968,835	)
Hitachi Ltd.		(1,098,000	)		(4,600,462	)
Honda Motor Co. Ltd.		(133,300	)		(3,343,866	)
IHI Corp.		(2,721,000	)		(7,334,434	)

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 - (11.9)% (continued)
Inpex Corp.		(760,100	)	$	(5,944,439	)
Iyo Bank Ltd. (The)		(314,100	)		(1,923,756	)
Japan Airport Terminal Co. Ltd.		(13,700	)		(497,053	)
Japan Display, Inc. †		(2,294,100	)		(3,732,082	)
Japan Post Bank Co. Ltd.		(127,100	)		(1,494,523	)
Japan Tobacco, Inc.		(57,400	)		(2,313,347	)
JFE Holdings, Inc.		(390,300	)		(5,091,542	)
JGC Corp.		(128,000	)		(1,832,398	)
Kakaku.com, Inc.		(266,900	)		(5,303,219	)
Kansai Electric Power Co., Inc. (The) †		(265,600	)		(2,586,746	)
Kansai Paint Co. Ltd.		(260,800	)		(5,265,468	)
Kawasaki Heavy Industries Ltd.		(1,068,000	)		(3,011,379	)
Keikyu Corp.		(217,000	)		(2,183,691	)
Keio Corp.		(102,000	)		(962,152	)
Keisei Electric Railway Co. Ltd.		(138,000	)		(1,778,790	)
Kikkoman Corp.		(240,000	)		(8,855,998	)
Kintetsu Group Holdings Co. Ltd.		(356,000	)		(1,523,481	)
Kirin Holdings Co. Ltd.		(138,400	)		(2,334,278	)
Kobe Steel Ltd.		(7,661,000	)		(6,296,382	)
Koito Manufacturing Co. Ltd.		(42,800	)		(1,970,703	)
Komatsu Ltd.		(172,300	)		(2,993,140	)
Kubota Corp.		(102,700	)		(1,389,051	)
Kyocera Corp.		(34,500	)		(1,641,607	)
Kyowa Hakko Kirin Co. Ltd.		(80,800	)		(1,378,107	)
Kyushu Electric Power Co., Inc. †		(719,700	)		(7,218,164	)
Kyushu Financial Group, Inc.		(73,300	)		(363,321	)
LIXIL Group Corp.		(55,800	)		(916,339	)
M3, Inc.		(71,500	)		(2,495,349	)
Mabuchi Motor Co. Ltd.		(19,200	)		(813,211	)
Marui Group Co. Ltd.		(102,300	)		(1,377,152	)
Mazda Motor Corp.		(73,800	)		(976,617	)
Minebea Co. Ltd.		(465,000	)		(3,159,167	)
MISUMI Group, Inc.		(179,900	)		(3,248,043	)
Mitsubishi Corp.		(66,600	)		(1,172,648	)
Mitsubishi Heavy Industries Ltd.		(1,103,000	)		(4,435,407	)
Mitsubishi Logistics Corp.		(279,000	)		(3,903,300	)
Mitsubishi Materials Corp.		(581,000	)		(1,391,122	)
Mitsubishi UFJ Financial Group, Inc.		(713,900	)		(3,200,309	)
Mitsui OSK Lines Ltd.		(1,318,000	)		(2,802,733	)
Murata Manufacturing Co. Ltd.		(26,500	)		(2,971,038	)
Nabtesco Corp.		(110,200	)		(2,629,390	)
NGK Insulators Ltd.		(65,000	)		(1,314,122	)
NGK Spark Plug Co. Ltd.		(499,300	)		(7,536,824	)
Nidec Corp.		(62,900	)		(4,788,138	)
Nintendo Co. Ltd.		(57,000	)		(8,190,855	)
Nippon Electric Glass Co. Ltd.		(160,000	)		(667,918	)
Nippon Paint Holdings Co. Ltd.		(383,800	)		(9,488,220	)
Nippon Steel & Sumitomo Metal Corp.		(212,900	)		(4,121,667	)
Nissan Chemical Industries Ltd.		(63,700	)		(1,858,593	)
Nitto Denko Corp.		(30,100	)		(1,909,370	)
NSK Ltd.		(43,300	)		(316,953	)
Odakyu Electric Railway Co. Ltd.		(311,000	)		(3,646,767	)
Olympus Corp.		(85,200	)		(3,181,504	)
Omron Corp.		(187,100	)		(6,107,089	)
Ono Pharmaceutical Co. Ltd.		(25,700	)		(1,119,520	)
Oriental Land Co. Ltd.		(78,200	)		(5,063,402	)
Panasonic Corp.		(163,300	)		(1,404,958	)

	SHARES			VALUE (Note 5)
Japan - (11.9)% (continued)
Pigeon Corp.		(167,400	)	$	(5,004,333	)
Rakuten, Inc.		(980,400	)		(10,640,612	)
Recruit Holdings Co. Ltd.		(71,400	)		(2,608,536	)
Ricoh Co. Ltd.		(41,200	)		(357,142	)
Ryohin Keikaku Co. Ltd.		(4,400	)		(1,072,269	)
Sega Sammy Holdings, Inc.		(278,500	)		(2,999,473	)
Seibu Holdings, Inc.		(130,700	)		(2,213,703	)
Shikoku Electric Power Co., Inc.		(261,700	)		(3,099,938	)
Shimano, Inc.		(8,400	)		(1,284,340	)
Shin-Etsu Chemical Co. Ltd.		(68,300	)		(4,001,594	)
Shizuoka Bank Ltd. (The)		(677,000	)		(4,767,852	)
SMC Corp.		(6,100	)		(1,500,760	)
Sony Corp.		(143,200	)		(4,218,955	)
Sony Financial Holdings, Inc.		(428,200	)		(4,841,604	)
Stanley Electric Co. Ltd.		(142,700	)		(3,047,543	)
Sumco Corp.		(606,200	)		(3,883,483	)
Sumitomo Metal Mining Co. Ltd.		(566,000	)		(5,757,570	)
Sumitomo Mitsui Financial Group, Inc.		(33,400	)		(964,427	)
Suruga Bank Ltd.		(35,400	)		(800,010	)
Suzuki Motor Corp.		(107,500	)		(2,910,877	)
T&D Holdings, Inc.		(490,700	)		(4,167,038	)
Taiheiyo Cement Corp.		(381,000	)		(902,424	)
Taiyo Nippon Sanso Corp.		(418,700	)		(3,848,265	)
Takeda Pharmaceutical Co. Ltd.		(101,300	)		(4,368,886	)
Terumo Corp.		(29,100	)		(1,241,853	)
THK Co. Ltd.		(47,600	)		(811,314	)
Tobu Railway Co. Ltd.		(355,000	)		(1,948,428	)
Toho Co. Ltd.		(30,000	)		(830,741	)
Tokio Marine Holdings, Inc.		(41,700	)		(1,388,238	)
Tokyo Electron Ltd.		(33,200	)		(2,805,689	)
Toray Industries, Inc.		(106,000	)		(904,487	)
TOTO Ltd.		(15,000	)		(599,388	)
Toyo Seikan Group Holdings Ltd.		(113,300	)		(2,164,942	)
Toyota Industries Corp.		(49,900	)		(1,984,018	)
Toyota Motor Corp.		(81,400	)		(4,012,901	)
Toyota Tsusho Corp.		(19,900	)		(428,434	)
Trend Micro, Inc.		(25,300	)		(904,828	)
Unicharm Corp.		(101,700	)		(2,284,953	)
Yahoo Japan Corp.		(1,332,500	)		(5,908,787	)
Yakult Honsha Co. Ltd.		(165,100	)		(8,580,769	)
Yamaha Motor Co. Ltd.		(484,500	)		(7,390,908	)
Yamato Holdings Co. Ltd.		(239,900	)		(5,508,343	)
Yaskawa Electric Corp.		(484,000	)		(6,319,308	)
Yokogawa Electric Corp.		(193,200	)		(2,178,735	)
					(424,609,198	)
Luxembourg - (0.5)%
APERAM SA		(15,384	)		(538,518	)
ArcelorMittal †		(1,595,609	)		(7,274,703	)
Millicom International Cellular SA SDR		(42,740	)		(2,621,644	)
Tenaris SA		(487,923	)		(7,052,008	)
					(17,486,873	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES			VALUE (Note 5)
Netherlands - (0.9)%
Aegon NV		(655,211	)	$	(2,596,160	)
Altice NV, Class A †		(400,986	)		(5,987,299	)
ASML Holding NV		(129,558	)		(12,753,460	)
Fugro NV CVA †		(175,961	)		(3,097,934	)
Gemalto NV		(9,801	)		(593,783	)
Koninklijke DSM NV		(13,113	)		(756,495	)
Koninklijke KPN NV		(1,578,929	)		(5,627,995	)
Koninklijke Vopak NV		(41,048	)		(2,043,348	)
OCI NV †		(21,403	)		(289,942	)
					(33,746,416	)
Norway - (0.2)%
Norsk Hydro ASA		(589,825	)		(2,159,250	)
Schibsted ASA, Class A		(136,284	)		(4,085,230	)
Statoil ASA		(139,547	)		(2,411,157	)
					(8,655,637	)
Portugal - 0.0% (c)
Banco Espirito Santo SA (3)†(h)		(216,618	)		(3	)
Jeronimo Martins SGPS SA		(75,969	)		(1,198,164	)
Sonae SGPS SA		(375,519	)		(294,986	)
					(1,493,153	)
Spain - (1.0)%
Abertis Infraestructuras SA		(384,201	)		(5,677,565	)
Acciona SA		(8,461	)		(617,419	)
Aena SA 144A (b)		(7,589	)		(1,005,926	)
Amadeus IT Holding SA, Class A		(59,538	)		(2,623,170	)
Atresmedia Corp. de Medios de Comunicacion SA		(120,526	)		(1,178,069	)
Banco Bilbao Vizcaya Argentaria SA		(264,572	)		(1,515,853	)
Banco Santander SA		(629,970	)		(2,444,711	)
Bankia SA		(1,973,544	)		(1,436,682	)
CaixaBank SA		(659,456	)		(1,453,423	)
Cellnex Telecom SAU 144A (b)		(210,678	)		(3,306,076	)
Distribuidora Internacional de Alimentacion SA		(418,707	)		(2,443,948	)
Mapfre SA		(922,889	)		(2,026,817	)
Obrascon Huarte Lain SA †		(174,673	)		(615,322	)
Telefonica SA		(829,173	)		(7,872,015	)
Zardoya Otis SA		(141,510	)		(1,336,321	)
					(35,553,317	)
Sweden - (0.6)%
Alfa Laval AB		(48,630	)		(766,449	)
Atlas Copco AB, Class A		(71,754	)		(1,863,605	)
Getinge AB, Class B		(32,957	)		(680,430	)
Hennes & Mauritz AB, Class B		(135,047	)		(3,973,193	)
Hexagon AB, Class B		(14,268	)		(522,151	)
Sandvik AB		(126,193	)		(1,263,436	)
Skandinaviska Enskilda Banken AB, Class A		(118,293	)		(1,033,370	)
SKF AB, Class B		(50,321	)		(806,292	)
Svenska Handelsbanken AB, Class A		(222,510	)		(2,701,386	)
Telefonaktiebolaget LM Ericsson, Class B		(611,255	)		(4,696,000	)
Volvo AB, Class B		(177,400	)		(1,762,348	)
					(20,068,660	)

	SHARES			VALUE (Note 5)
Switzerland - (1.2)%
Aryzta AG †		(56,567	)	$	(2,090,483	)
Cie Financiere Richemont SA		(105,542	)		(6,177,870	)
Clariant AG †		(20,837	)		(352,132	)
Credit Suisse Group AG †		(958,643	)		(10,211,868	)
Dufry AG †		(25,089	)		(3,000,722	)
EMS-Chemie Holding AG		(1,198	)		(618,537	)
Julius Baer Group Ltd. †		(44,305	)		(1,783,202	)
LafargeHolcim Ltd. †		(163,736	)		(6,850,310	)
OC Oerlikon Corp. AG †		(183,192	)		(1,608,420	)
SGS SA		(826	)		(1,892,160	)
STMicroelectronics NV		(755,391	)		(4,436,124	)
Sunrise Communications Group AG 144A †(b)		(26,909	)		(1,720,508	)
Zurich Insurance Group AG †		(9,826	)		(2,430,783	)
					(43,173,119	)
United Kingdom - (0.2)%
CNH Industrial NV		(278,825	)		(2,022,500	)
Dialog Semiconductor plc †		(27,095	)		(811,859	)
RELX NV		(197,605	)		(3,418,693	)
					(6,253,052	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $775,545,431)					(719,252,334	)
PREFERRED STOCKS - (0.3)%
Germany - (0.3)%
Schaeffler AG		(22,927	)		(302,831	)
Volkswagen AG		(74,853	)		(9,066,221	)
TOTAL PREFERRED STOCKS SOLD SHORT (proceeds $10,377,847)					(9,369,052	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $785,923,278)					(728,621,386	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 91.4% (cost $3,184,721,085)					3,260,295,813
OTHER ASSETS IN EXCESS OF LIABILITIES -8.6% (i)				307,940,372
NET ASSETS - 100.0%				$	3,568,236,185

† Non-income producing security.

(a) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $791,469,597.

(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.

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

(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) All or a portion of the security is pledged as collateral to the brokers for futures contracts.

(h) Security fair valued as of June 30, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $(3) or 0.0% of total net assets.

(i) 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	$	(22,867,143	)		(0.6	)%
Consumer Staples		75,858,168			2.1
Energy		(3,203,022	)		(0.1	)
Financials		63,925,221			1.8
Health Care		69,595,911			2.0
Industrials		83,978,945			2.4
Information Technology		(57,233,620	)		(1.6	)
Materials		(9,082,854	)		(0.3	)
Telecommunication Services		13,426,675			0.4
Utilities		36,752,092			1.0
Investment Companies		2,140,312,775			60.0
U.S. Treasury Obligations		868,832,665			24.3
Total Investments In Securities, At Value		3,260,295,813			91.4
Other Assets in Excess of Liabilities (i)		307,940,372			8.6
Net Assets	$	3,568,236,185			100.0	%

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	BIST 30 August Futures	08/2016		TRY		20,500,981			$(16,750	)
BANA	Bovespa Index August Futures	08/2016		BRL		(362,072,815	)		(3,866,641	)
DTBK	Corn July Futures^	08/2016		USD		20,931,146			68,944,709
DTBK	Corn July Futures^	08/2016		USD		(20,931,146	)		(68,951,006	)
CITI	Corn September Futures^	08/2016		USD		17,030,628			(2,575,103	)
SOCG	Corn September Futures^	08/2016		USD		(28,661,316	)		2,668,558
SOCG	Corn September Futures^	08/2016		USD		70,997,307			(11,128,407	)
MACQ	Corn September Futures^	08/2016		USD		30,477,856			(4,783,206	)
BANA	Hang Seng Index July Futures	07/2016		HKD		770,201,768			4,403,201
GSIN	Hang Seng Index July Futures	07/2016		HKD		255,998,984			1,562,453
BANA	H-SHARES Index July Futures	07/2016		HKD		(161,326,084	)		(966,979	)
GSIN	H-SHARES Index July Futures	07/2016		HKD		(27,045,731	)		(168,906	)
BANA	KOSPI Index 200 September Futures	09/2016		KRW		90,611,964,951			(877,727	)
GSIN	KOSPI Index 200 September Futures	09/2016		KRW		621,975,000			(9,312	)
BANA	MSCI Taiwan Stock Index July Futures	07/2016		USD		8,280,490			228,510
BANA	SGX S&P CNX Nifty Index July Futures	07/2016		USD		12,073,949			312,604
CITI	Soybean November Futures^	10/2016		USD		36,283,594			274,431
SOCG	Soybean November Futures^	10/2016		USD		4,305,184			19,503
MACQ	Soybean November Futures^	10/2016		USD		32,598,653			153,647
BANA	Swiss Market Index September Futures	09/2016		CHF		120,702,737			5,322,312
BANA	Taiwan Stock Exchange July Futures	07/2016		TWD		71,971,481			40,087
BANA	Tel Aviv 25 Index July Futures	07/2016		ILS		95,177,351			(603,434	)
GSIN	WIG20 Index September Futures	09/2016		PLN		35,333,954			57,088
									$(9,960,368	)

^ 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 June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
38	JPPC	LME Copper Futures^		07/2016		$4,554,519		$4,600,232		$45,713
75	JPPC	LME Copper Futures^		07/2016		8,997,484		9,079,032		81,548
76	JPPC	LME Copper Futures^		07/2016		9,205,595		9,199,705		(5,890	)
69	JPPC	LME Copper Futures^		07/2016		8,518,691		8,352,019		(166,672	)
1	JPPC	LME Copper Futures^		07/2016		125,108		121,050		(4,058	)
9	JPPC	LME Copper Futures^		07/2016		1,130,378		1,089,506		(40,872	)
34	JPPC	LME Copper Futures^		07/2016		4,257,096		4,116,550		(140,546	)
40	JPPC	LME Copper Futures^		07/2016		4,945,565		4,843,250		(102,315	)
5	JPPC	LME Copper Futures^		07/2016		615,250		605,438		(9,812	)
2	JPPC	LME Copper Futures^		07/2016		245,345		242,188		(3,157	)
1	JPPC	LME Copper Futures^		07/2016		125,432		121,100		(4,332	)
5	JPPC	LME Copper Futures^		08/2016		618,324		605,662		(12,662	)
10	JPPC	LME Copper Futures^		08/2016		1,221,593		1,211,400		(10,193	)
4	JPPC	LME Copper Futures^		08/2016		480,392		484,590		4,198
19	JPPC	LME Copper Futures^		08/2016		2,240,944		2,302,658		61,714
10	JPPC	LME Copper Futures^		08/2016		1,180,236		1,212,000		31,764
1	JPPC	LME Copper Futures^		08/2016		114,853		121,171		6,318
5	JPPC	LME Copper Futures^		09/2016		563,538		605,912		42,374
1,233	JPPC	LME Copper Futures^		09/2016		142,759,209		149,439,600		6,680,391
1,845	MSCL	Silver Futures^		09/2016		161,067,022		171,797,174		10,730,152
833	MSCL	Soybean Futures^		11/2016		46,751,746		48,032,863		1,281,117
2,743	JPMS	BIST 30 Futures		08/2016		9,180,378		9,135,387		(44,991	)
293	BARC	CAC40 Index Futures		07/2016		13,661,288		13,767,136		105,848
378	BARC	DAX Index Futures		09/2016		100,451,845		101,394,888		943,043
1,243	BARC	FTSE 100 Index Futures		09/2016		99,549,471		106,275,914		6,726,443
666	BARC	FTSE Bursa Malaysia KLCI Index Futures		07/2016		13,467,241		13,657,832		190,591
1,087	BARC	FTSE/JSE Top 40 Index Futures		09/2016		34,345,128		34,279,469		(65,659	)
1,041	BARC	Hang Seng Index Futures		07/2016		134,273,037		140,535,872		6,262,835
738	BARC	IBEX 35 Index Futures		07/2016		66,462,990		66,562,220		99,230
585	BARC	KOSPI Index 200 Futures		09/2016		63,134,603		62,024,678		(1,109,925	)
74	JPMS	KOSPI Index 200 Futures		09/2016		7,964,884		7,845,856		(119,028	)
807	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		09/2016		19,897,398		20,353,162		455,764
168	BARC	MSCI Taiwan Stock Index Futures		07/2016		5,167,092		5,334,000		166,908
729	BARC	S&P 500 E-Mini Futures		09/2016		75,790,093		76,187,790		397,697
1,110	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		139,927,111		139,923,836		(3,275	)
4,481	BARC	SET50 Index Futures		09/2016		22,680,811		23,022,190		341,379
398	BARC	SGX S&P CNX Nifty Index Futures		07/2016		6,481,859		6,635,058		153,199
3,559	BARC	SPI 200 Index Futures		09/2016		341,472,811		343,466,681		1,993,870
292	JPMS	3-Month Euro Euribor Futures		09/2016		81,231,632		81,266,937		35,305
1,678	JPMS	3-Month Euro Euribor Futures		12/2016		467,102,247		467,146,234		43,987
1,678	JPMS	3-Month Euro Euribor Futures		03/2017		467,074,824		467,192,788		117,964
1,298	JPMS	3-Month Euro Euribor Futures		06/2017		361,231,548		361,446,293		214,745
6,476	JPMS	90-Day EURODollar Futures		12/2016		1,603,334,583		1,608,071,750		4,737,167
6,476	JPMS	90-Day EURODollar Futures		03/2017		1,604,324,895		1,607,747,950		3,423,055
6,476	JPMS	90-Day EURODollar Futures		06/2017		1,604,374,282		1,607,181,299		2,807,017
5,173	JPMS	Australia 3-Year Bond Futures		09/2016		435,846,854		436,666,877		820,023

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

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231

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
30,230	GSCO	Euro -SCHATZ Futures		09/2016		$ 3,750,273,878			$ 3,759,527,731			$ 9,253,853
1,113	GSCO	Euro-Bobl Futures		09/2016		163,361,647			165,016,273			1,654,626
7,507	GSCO	Long Gilt Futures		09/2016		1,226,994,287			1,284,089,674			57,095,387
2,964	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		394,835,613			394,165,687			(669,926	)
17,985	MSCL	U.S. Treasury 2-Year Note Futures		09/2016		3,918,275,241			3,944,616,328			26,341,087
30	MSCL	U.S. Treasury 5-Year Note Futures		09/2016		3,602,926			3,664,922			61,996
						17,635,490,817			17,776,385,812			140,894,995
Short Contracts:
433	GSCO	Brent Crude Futures^		07/2016		$(21,803,901	)		$(21,524,430	)		$279,471
87	MSCL	Gold 100 OZ Futures^		08/2016		(10,892,199	)		(11,489,220	)		(597,021	)
38	JPPC	LME Copper Futures^		07/2016		(4,550,407	)		(4,600,233	)		(49,826	)
75	JPPC	LME Copper Futures^		07/2016		(8,958,529	)		(9,079,032	)		(120,503	)
76	JPPC	LME Copper Futures^		07/2016		(9,175,294	)		(9,199,705	)		(24,411	)
69	JPPC	LME Copper Futures^		07/2016		(8,504,081	)		(8,352,019	)		152,062
1	JPPC	LME Copper Futures^		07/2016		(125,585	)		(121,050	)		4,535
9	JPPC	LME Copper Futures^		07/2016		(1,129,478	)		(1,089,506	)		39,972
34	JPPC	LME Copper Futures^		07/2016		(4,249,360	)		(4,116,550	)		132,810
40	JPPC	LME Copper Futures^		07/2016		(4,928,812	)		(4,843,250	)		85,562
5	JPPC	LME Copper Futures^		07/2016		(617,445	)		(605,437	)		12,008
2	JPPC	LME Copper Futures^		07/2016		(244,545	)		(242,187	)		2,358
1	JPPC	LME Copper Futures^		07/2016		(125,573	)		(121,100	)		4,473
5	JPPC	LME Copper Futures^		08/2016		(613,738	)		(605,663	)		8,075
10	JPPC	LME Copper Futures^		08/2016		(1,219,726	)		(1,211,400	)		8,326
4	JPPC	LME Copper Futures^		08/2016		(480,190	)		(484,590	)		(4,400	)
19	JPPC	LME Copper Futures^		08/2016		(2,246,703	)		(2,302,657	)		(55,954	)
10	JPPC	LME Copper Futures^		08/2016		(1,184,563	)		(1,212,000	)		(27,437	)
1	JPPC	LME Copper Futures^		08/2016		(114,673	)		(121,171	)		(6,498	)
5	JPPC	LME Copper Futures^		09/2016		(563,747	)		(605,912	)		(42,165	)
5	JPPC	LME Copper Futures^		09/2016		(563,714	)		(606,000	)		(42,286	)
7,560	MSCL	Natural Gas Futures^		07/2016		(198,690,198	)		(221,054,400	)		(22,364,202	)
2,091	MSCL	WTI Crude Futures^		07/2016		(104,516,514	)		(101,058,030	)		3,458,484
1,211	BARC	Amsterdam Index Futures		07/2016		(112,871,850	)		(117,000,564	)		(4,128,714	)
10,015	BARC	Euro Stoxx 50 Index Futures		09/2016		(312,659,526	)		(317,308,873	)		(4,649,347	)
1,011	BARC	FTSE/MIB Index Futures		09/2016		(90,295,232	)		(90,828,048	)		(532,816	)
976	BARC	H-SHARES Index Futures		07/2016		(52,967,226	)		(54,881,994	)		(1,914,768	)
781	BARC	MSCI Singapore Index Futures		07/2016		(17,717,192	)		(18,395,909	)		(678,717	)
11,819	BARC	OMXS30 Index Futures		07/2016		(178,282,848	)		(184,185,132	)		(5,902,284	)
222	BARC	TOPIX Index Futures		09/2016		(28,714,378	)		(26,775,867	)		1,938,511
981	GSCO	10-Year Japanese Government Bond Futures		09/2016		(1,448,601,485	)		(1,452,714,085	)		(4,112,600	)
7,494	JPMS	90-Day Sterling Futures		09/2016		(1,239,531,261	)		(1,242,372,095	)		(2,840,834	)
8,665	JPMS	90-Day Sterling Futures		12/2016		(1,433,100,978	)		(1,437,007,621	)		(3,906,643	)
8,665	JPMS	90-Day Sterling Futures		03/2017		(1,433,550,308	)		(1,437,151,956	)		(3,601,648	)
1,105	JPMS	90-Day Sterling Futures		06/2017		(183,031,619	)		(183,272,120	)		(240,501	)
7,440	JPMS	Australia 10-Year Bond Futures		09/2016		(749,278,076	)		(755,737,474	)		(6,459,398	)
7,800	GSCO	Canadian 10-Year Bond Futures		09/2016		(872,551,394	)		(893,774,527	)		(21,223,133	)
34	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2016		(6,532,628	)		(6,521,305	)		11,323
2,476	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2016		(475,261,410	)		(474,976,315	)		285,095

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

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232

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2,476	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2017		$ (475,219,808	)		$ (475,024,227	)		$ 195,581
2,442	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2017		(468,399,502	)		(468,524,904	)		(125,402	)
8,240	GSCO	Euro-Bund Futures		09/2016		(1,491,388,771	)		(1,528,202,088	)		(36,813,317	)
404	GSCO	Euro-Buxl 30-Year Bond Futures		09/2016		(79,922,723	)		(87,946,178	)		(8,023,455	)
1,330	MSCL	U.S. Treasury Long Bond Futures		09/2016		(217,174,653	)		(229,217,188	)		(12,042,535	)
						(11,752,551,843	)		(11,886,464,012	)		(133,912,169	)
						$5,882,938,974			$5,889,921,800			$6,982,826

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

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		176,767,596		$128,364,248		$131,452,503		$3,088,255
Australian Dollar, Expiring 09/21/16	JPMC	AUD		265,151,393		192,546,612		197,178,756		4,632,144
Brazilian Real, Expiring 09/21/16*	CITI	BRL		148,888,229		41,180,777		45,237,605		4,056,828
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		223,332,341		61,771,241		67,856,404		6,085,163
Canadian Dollar, Expiring 09/21/16	CITI	CAD		229,744,540		176,727,072		177,855,680		1,128,608
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		344,616,810		265,090,044		266,783,519		1,693,475
Swiss Franc, Expiring 09/21/16	CITI	CHF		51,950,400		53,554,298		53,445,577		(108,721	)
Swiss Franc, Expiring 09/21/16	JPMC	CHF		77,916,600		80,322,157		80,159,107		(163,050	)
Danish Krone, Expiring 09/21/16	CITI	DKK		2,183,000		333,796		326,698		(7,098	)
Euro, Expiring 09/21/16	CITI	EUR		78,612,451		88,184,322		87,495,420		(688,902	)
Euro, Expiring 09/21/16	JPMC	EUR		117,482,177		131,782,041		130,757,308		(1,024,733	)
British Pound, Expiring 09/21/16	CITI	GBP		53,737,600		74,654,063		71,593,419		(3,060,644	)
British Pound, Expiring 09/21/16	JPMC	GBP		80,606,400		111,975,518		107,390,129		(4,585,389	)
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		23,722,000		3,058,228		3,060,672		2,444
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		35,583,000		4,587,348		4,591,008		3,660
Hungarian Forint, Expiring 09/21/16	CITI	HUF		4,824,400,000		17,302,719		16,953,390		(349,329	)

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

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233

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		7,236,600,000			$ 25,952,509			$ 25,430,084			$ (522,425	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		2,306,099,476			33,657,040			33,698,102			41,062
Indian Rupee, Expiring 09/21/16*	JPMC	INR		3,204,149,214			46,758,463			46,820,939			62,476
Japanese Yen, Expiring 09/21/16	CITI	JPY		25,979,889,942			237,465,861			252,273,174			14,807,313
Japanese Yen, Expiring 09/21/16	JPMC	JPY		37,100,758,414			338,591,716			360,260,422			21,668,706
Korean Won, Expiring 09/21/16*	CITI	KRW		21,520,000,000			18,405,811			18,668,084			262,273
Korean Won, Expiring 09/21/16*	JPMC	KRW		32,280,000,000			27,608,752			28,002,126			393,374
Mexican Peso, Expiring 09/21/16	CITI	MXN		380,000,000			20,165,268			20,619,554			454,286
Mexican Peso, Expiring 09/21/16	JPMC	MXN		570,000,000			30,255,584			30,929,332			673,748
Norwegian Krone, Expiring 09/21/16	CITI	NOK		75,279,400			8,906,943			8,993,924			86,981
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		112,917,600			13,360,250			13,490,708			130,458
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		143,903,600			97,965,061			102,333,007			4,367,946
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		215,855,400			146,947,775			153,499,511			6,551,736
Poland Zloty, Expiring 09/21/16	CITI	PLN		107,196,180			27,158,028			27,121,439			(36,589	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		160,794,270			40,737,093			40,682,159			(54,934	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		4,420,000			542,517			524,244			(18,273	)
Turkish Lira, Expiring 09/21/16	CITI	TRY		285,205,180			94,149,495			97,332,077			3,182,582
Turkish Lira, Expiring 09/21/16	JPMC	TRY		427,807,770			141,224,418			145,998,116			4,773,698
South African Rand, Expiring 09/21/16	CITI	ZAR		134,129,197			8,416,312			8,960,530			544,218
South African Rand, Expiring 09/21/16	JPMC	ZAR		201,193,795			12,624,484			13,440,795			816,311
							$2,802,327,864			$2,871,215,522			$68,887,658
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		(66,936,800	)		$(48,005,194	)		$(49,777,279	)		$(1,772,085	)
Australian Dollar, Expiring 09/21/16	JPMC	AUD		(100,405,200	)		(72,007,701	)		(74,665,919	)		(2,658,218	)
Brazilian Real, Expiring 09/21/16*	CITI	BRL		(2,800,000	)		(773,798	)		(850,741	)		(76,943	)
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		(4,200,000	)		(1,160,696	)		(1,276,111	)		(115,415	)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(41,686,000	)		(31,940,816	)		(32,271,025	)		(330,209	)

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

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234

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		(62,529,000	)		$ (47,911,163	)		$ (48,406,538	)		$ (495,375	)
Swiss Franc, Expiring 09/21/16	CITI	CHF		(346,794,290	)		(353,045,716	)		(356,775,328	)		(3,729,612	)
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(507,430,932	)		(516,272,236	)		(522,035,230	)		(5,762,994	)
Danish Krone, Expiring 09/21/16	CITI	DKK		(46,925,370	)		(7,083,282	)		(7,022,647	)		60,635
Danish Krone, Expiring 09/21/16	JPMC	DKK		(70,307,053	)		(10,612,573	)		(10,521,849	)		90,724
Euro, Expiring 09/21/16	CITI	EUR		(33,075,600	)		(36,848,230	)		(36,813,043	)		35,187
Euro, Expiring 09/21/16	JPMC	EUR		(45,716,400	)		(50,842,501	)		(50,882,215	)		(39,714	)
British Pound, Expiring 09/21/16	CITI	GBP		(41,942,301	)		(61,613,723	)		(55,878,801	)		5,734,922
British Pound, Expiring 09/21/16	JPMC	GBP		(62,913,450	)		(92,420,465	)		(83,818,201	)		8,602,264
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(48,154,000	)		(6,207,980	)		(6,212,951	)		(4,971	)
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		(45,096,000	)		(5,813,738	)		(5,818,400	)		(4,662	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		(1,240,000,000	)		(4,435,362	)		(4,357,476	)		77,886
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		(1,860,000,000	)		(6,651,599	)		(6,536,213	)		115,386
Israeli Shekel, Expiring 09/21/16	CITI	ILS		(136,703,637	)		(35,667,438	)		(35,487,997	)		179,441
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		(205,055,454	)		(53,500,955	)		(53,231,995	)		268,960
Japanese Yen, Expiring 09/21/16	CITI	JPY		(12,596,834,400	)		(120,795,750	)		(122,319,356	)		(1,523,606	)
Japanese Yen, Expiring 09/21/16	JPMC	JPY		(15,901,281,600	)		(151,956,899	)		(154,406,613	)		(2,449,714	)
Korean Won, Expiring 09/21/16*	CITI	KRW		(114,191,867,584	)		(96,319,205	)		(99,058,705	)		(2,739,500	)
Korean Won, Expiring 09/21/16*	JPMC	KRW		(171,287,801,376	)		(144,478,629	)		(148,588,055	)		(4,109,426	)
Mexican Peso, Expiring 09/21/16	CITI	MXN		(963,546,264	)		(51,415,991	)		(52,283,934	)		(867,943	)
Mexican Peso, Expiring 09/21/16	JPMC	MXN		(1,445,319,395	)		(77,123,890	)		(78,425,900	)		(1,302,010	)
Norwegian Krone, Expiring 09/21/16	CITI	NOK		(1,469,912,760	)		(177,237,820	)		(175,616,230	)		1,621,590
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		(2,194,337,638	)		(264,564,046	)		(262,166,105	)		2,397,941
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		(72,258,858	)		(48,404,301	)		(51,384,859	)		(2,980,558	)
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		(108,388,285	)		(72,606,360	)		(77,077,287	)		(4,470,927	)
Poland Zloty, Expiring 09/21/16	CITI	PLN		(35,200,000	)		(8,817,336	)		(8,905,864	)		(88,528	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		(52,800,000	)		(13,233,762	)		(13,358,798	)		(125,036	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		(251,757,908	)		(30,417,348	)		(29,860,311	)		557,037

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

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235

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Swedish Krona, Expiring 09/21/16	JPMC	SEK		(377,566,360	)		$ (45,617,419	)		$ (44,782,104	)		$ 835,315
Singapore Dollar, Expiring 09/21/16	CITI	SGD		(41,857,800	)		(30,468,462	)		(31,046,553	)		(578,091	)
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		(62,786,699	)		(45,702,197	)		(46,569,831	)		(867,634	)
Turkish Lira, Expiring 09/21/16	CITI	TRY		(48,400,000	)		(16,282,910	)		(16,517,487	)		(234,577	)
Turkish Lira, Expiring 09/21/16	JPMC	TRY		(72,600,000	)		(24,404,551	)		(24,776,228	)		(371,677	)
New Taiwan Dollar, Expiring 09/21/16*	CITI	TWD		(1,053,705,474	)		(32,452,487	)		(32,722,047	)		(269,560	)
New Taiwan Dollar, Expiring 09/21/16*	JPMC	TWD		(1,085,558,210	)		(33,451,246	)		(33,711,211	)		(259,965	)
South African Rand, Expiring 09/21/16	CITI	ZAR		(52,000,000	)		(3,302,422	)		(3,473,872	)		(171,450	)
South African Rand, Expiring 09/21/16	JPMC	ZAR		(78,000,000	)		(4,953,904	)		(5,210,806	)		(256,902	)
							(2,936,822,101	)		(2,954,902,115	)		(18,080,014	)
							$(134,494,237)			$(83,686,593)			$50,807,644

* 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 June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at June 30, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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 GBP based on the local currencies of the positions within the swaps.	1-61 months maturity ranging from 07/20/2016 -12/21/2020		$(33,055,498	)

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		170,791	$	2,793,639	$	(849,707	)
Ireland
DCC plc		52,183		3,814,924		777,161
Paddy Power Betfair plc		2,746		329,226		(40,283	)
						736,878
Luxembourg
Regus plc		447,649		1,814,860		(83,959	)
South Africa
Investec plc		139,933		873,012		(3,221	)
Mondi plc		208,675		3,573,922		332,990
						329,769
Switzerland
Coca-Cola HBC AG		57,713		1,087,601		80,192
Glencore plc		269,035		483,522		70,992
Wolseley plc		23,557		1,158,329		61,538
						212,722
United Kingdom
AA plc		107,989		414,316		(68,575	)
Aggreko plc		79,857		842,402		523,394
Amec Foster Wheeler plc		251,818		1,492,644		163,085
Anglo American plc		149,932		1,451,389		18,281
Ashtead Group plc		125,093		1,871,554		(84,734	)
Associated British Foods plc		60,848		2,800,224		(583,024	)
Aviva plc		423,394		2,881,033		(649,200	)
Babcock International Group plc		166,384		2,101,249		(89,629	)
BAE Systems plc		356,845		2,354,246		143,870

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Barratt Developments plc		601,030	$	4,943,969	$	(1,677,956	)
Bellway plc		102,962		3,471,323		(859,428	)
Berkeley Group Holdings plc		170,174		7,657,788		(1,911,404	)
Britvic plc		104,691		996,161		(176,929	)
BT Group plc		1,184,355		7,446,367		(936,442	)
Bunzl plc		67,602		1,651,891		428,124
Close Brothers Group plc		116,195		2,056,056		(294,742	)
Cobham plc		196,830		563,498		(148,811	)
Compass Group plc		145,125		2,252,413		508,648
Daily Mail & General Trust plc		49,187		448,221		(55,564	)
Direct Line Insurance Group plc		823,927		4,420,532		(611,390	)
Dixons Carphone plc		428,710		2,739,652		(899,598	)
easyJet plc		169,833		3,863,079		(1,395,132	)
GKN plc		442,556		1,752,629		(152,588	)
Greene King plc		148,411		1,807,046		(261,512	)
Hays plc		177,662		315,927		(83,794	)
Henderson Group plc		359,929		1,346,413		(323,151	)
Howden Joinery Group plc		205,238		1,430,442		(376,326	)
HSBC Holdings plc		521,720		3,740,987		(508,643	)
Imperial Brands plc		131,144		6,112,036		1,000,268
Inchcape plc		206,191		2,113,309		(379,587	)
Indivior plc		655,304		1,547,740		657,243
Informa plc		34,643		306,739		31,076
Inmarsat plc		100,041		1,545,249		(467,120	)
Intermediate Capital Group plc		551,031		4,402,087		(791,802	)
International Consolidated Airlines Group SA		1,039,671		8,218,313		(3,061,864	)
ITV plc		937,603		3,363,255		(1,115,187	)

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

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237

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
J Sainsbury plc		1,593,771		$	5,522,847		$	(557,948	)
John Wood Group plc		109,834			936,758			74,280
Jupiter Fund Management plc		75,639			411,584			(40,157	)
Kingfisher plc		475,904			2,068,647			(24,598	)
Legal & General Group plc		336,609			1,160,309			(298,557	)
Man Group plc		1,020,860			2,347,813			(761,716	)
Marks & Spencer Group plc		286,108			1,774,847			(549,582	)
Meggitt plc		148,707			706,690			101,598
Melrose Industries plc		190,633			953,936			129,069
Merlin Entertainments plc		55,513			328,653			(1,738	)
Micro Focus International plc		127,182			2,492,846			250,986
National Grid plc		678,943			8,564,717			1,419,363
Next plc		14,644			1,472,371			(504,755	)
Persimmon plc		181,652			4,709,834			(1,187,294	)
Playtech plc		238,848			2,522,962			18,012
Provident Financial plc		72,241			3,261,654			(1,034,185	)
Reckitt Benckiser Group plc		14,883			1,364,249			128,094
Rentokil Initial plc		672,037			1,383,009			352,466
Rexam plc		47,938			378,229			39,809
Rightmove plc		56,099			3,002,781			(262,852	)
Royal Mail plc		814,927			4,776,069			699,056
Sage Group plc (The)		291,608			2,304,230			216,302
Sky plc		379,354			5,641,535			(1,330,766	)
Smith & Nephew plc		36,077			535,323			77,307
SSE plc		160,986			3,164,668			185,959
Taylor Wimpey plc		2,373,633			6,277,064			(2,066,035	)
Travis Perkins plc		45,152			1,152,828			(261,981	)
United Utilities Group plc		73,969			909,847			115,387
Vodafone Group plc		2,664,654			7,624,173			499,982
Whitbread plc		24,650			1,471,698			(318,342	)
William Hill plc		604,880			2,914,657			(831,118	)
WM Morrison Supermarkets plc		981,829			2,470,557			(5,769	)
Worldpay Group plc		80,922			326,578			(32,047	)
WPP plc		251,535			5,055,840			186,504
								(20,065,409	)
Total of Long Equity Positions								(19,719,706	)
Short Positions
Common Stocks
Australia
BHP Billiton plc		(197,075	)		(1,880,135	)		(614,232	)
Chile
Antofagasta plc		(230,007	)		(1,166,777	)		(271,459	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Ireland
Experian plc		(404,100	)	$	(6,114,298	)	$	(1,552,315	)
Shire plc		(14,621	)		(833,317	)		(70,297	)
								(1,622,612	)
Netherlands
Royal Dutch Shell plc		(190,769	)		(3,443,604	)		(1,795,898	)
United Kingdom
Aberdeen Asset Management plc		(375,282	)		(1,346,871	)		(61,147	)
Admiral Group plc		(64,346	)		(1,403,957	)		(345,615	)
ARM Holdings plc		(253,836	)		(3,466,845	)		(388,855	)
ASOS plc		(121,132	)		(5,033,632	)		(1,437,136	)
AstraZeneca plc		(42,978	)		(2,569,316	)		(60	)
Auto Trader Group plc		(130,352	)		(738,996	)		122,786
Balfour Beatty plc		(174,767	)		(596,418	)		94,079
Barclays plc		(672,012	)		(1,438,815	)		188,949
Booker Group plc		(549,709	)		(1,255,662	)		(17,347	)
BP plc		(943,995	)		(4,016,904	)		(1,508,788	)
British American Tobacco plc		(35,600	)		(1,737,494	)		(570,420	)
BTG plc		(194,676	)		(1,598,455	)		(281,783	)
Burberry Group plc		(189,846	)		(3,185,916	)		232,780
Capita plc		(213,088	)		(3,362,107	)		616,359
Centrica plc		(2,884,190	)		(8,061,794	)		(659,976	)
Croda International plc		(38,348	)		(1,537,752	)		(72,035	)
Diageo plc		(445,377	)		(10,856,416	)		(1,585,485	)
Drax Group plc		(686,248	)		(1,986,427	)		(992,008	)
DS Smith plc		(65,295	)		(347,066	)		9,248
G4S plc		(300,079	)		(746,743	)		11,441
GlaxoSmithKline plc		(334,301	)		(5,967,841	)		(1,211,277	)
Hargreaves Lansdown plc		(329,983	)		(6,514,616	)		1,010,159
ICAP plc		(134,923	)		(829,886	)		70,714
IMI plc		(163,064	)		(1,825,320	)		(287,875	)
InterContinental Hotels Group plc		(73,580	)		(2,847,526	)		133,876
Intertek Group plc		(83,103	)		(2,987,489	)		(884,554	)
Johnson Matthey plc		(12,331	)		(453,075	)		(9,426	)
Just Eat plc		(57,929	)		(340,449	)		9,759
Lloyds Banking Group plc		(3,976,587	)		(3,784,194	)		903,990
Ocado Group plc		(114,660	)		(420,247	)		66,463
Old Mutual plc		(1,949,005	)		(4,277,933	)		(987,240	)
Pearson plc		(234,651	)		(2,468,397	)		(583,972	)
Pennon Group plc		(72,816	)		(848,902	)		(72,023	)
Petrofac Ltd.		(250,977	)		(2,531,825	)		(76,982	)
Prudential plc		(166,742	)		(3,365,543	)		536,114
Rio Tinto plc		(96,881	)		(2,313,060	)		(696,698	)
Rolls-Royce Holdings plc (3)		(14,223,430	)		1,846			(20,781	)
Rolls-Royce Holdings plc (3)		(676,779	)		141			(1,042	)
Rolls-Royce Holdings plc		(200,330	)		(1,515,431	)		(396,713	)
Rotork plc		(228,441	)		(501,693	)		(159,651	)

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

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238

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Royal Bank of Scotland Group plc		(2,074,806	)	$	(7,562,291	)	$	2,860,459
RSA Insurance Group plc		(637,382	)		(3,500,349	)		(771,620	)
SABMiller plc		(131,262	)		(7,046,640	)		(608,445	)
Schroders plc		(16,387	)		(587,142	)		69,302
Serco Group plc		(2,749,574	)		(3,348,975	)		(742,964	)
Severn Trent plc		(79,498	)		(2,277,664	)		(316,294	)
Smiths Group plc		(21,276	)		(257,259	)		(71,523	)
Spectris plc		(25,416	)		(552,001	)		(66,667	)
Spirax-Sarco Engineering plc		(13,695	)		(554,758	)		(131,012	)
Sports Direct International plc		(67,552	)		(534,023	)		244,789
St. James’s Place plc		(202,605	)		(2,673,085	)		536,457
Standard Chartered plc		(836,740	)		(5,306,554	)		(1,041,772	)
Standard Life plc		(921,124	)		(4,546,310	)		912,145
Tate & Lyle plc		(180,762	)		(1,433,037	)		(183,149	)
Tesco plc		(5,630,480	)		(10,835,447	)		(2,388,279	)
Thomas Cook Group plc		(999,417	)		(1,620,992	)		781,111

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Weir Group plc (The)		(89,837	)	$	(1,058,382	)	$	(676,682	)
								(10,896,316	)
Total of Short Equity Positions								(15,200,517	)
Total of Long and Short Equity Positions								(34,920,223	)
Net Cash and Other Receivables/ (Payables) (b)								1,864,725
Swaps, at Value							$	(33,055,498	)

(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 June 30, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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.	55-61 months maturity 12/22/2020		$(5,327,485	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Waste Connections, Inc.		59,707	$	3,248,075	$	1,053,814
Ireland
Accenture plc		57,496		5,902,239		611,483
XL Group plc		49,202		1,838,094		(199,175	)
						412,308
Netherlands
Frank’s International NV		23,999		359,043		(8,418	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Singapore
Broadcom Ltd.		16,648	$	2,338,711	$	248,388
Flextronics International Ltd.		330,544		3,630,563		269,856
						518,244
Sweden
Autoliv, Inc.		15,917		1,876,153		(165,872	)
Switzerland
Allied World Assurance Co. Holdings AG		80,588		2,856,039		(24,176	)
Chubb Ltd.		30,403		3,514,587		459,389
TE Connectivity Ltd.		35,882		2,274,560		(225,339	)

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

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239

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Transocean Ltd.		632,741	$	7,853,520	$	(330,229	)
						(120,355	)
United Kingdom
Noble Corp. plc		489,110		4,612,772		(582,505	)
STERIS plc		48,878		3,595,954		(235,592	)
Willis Towers Watson plc		2,548		303,526		13,216
						(804,881	)
United States
3M Co.		16,026		2,366,903		439,570
Aaron’s, Inc.		127,205		2,815,824		(31,307	)
Abbott Laboratories		188,377		8,167,667		(762,567	)
Abercrombie & Fitch Co.		116,207		2,867,742		(798,095	)
ACI Worldwide, Inc.		21,814		388,913		36,678
Activision Blizzard, Inc.		238,549		9,139,567		314,130
Acuity Brands, Inc.		6,067		1,411,791		92,582
Aetna, Inc.		124,909		13,487,823		1,767,313
Aflac, Inc.		119,528		7,217,101		1,408,040
AGCO Corp.		197,530		9,006,277		303,311
Air Lease Corp.		75,334		2,222,880		(205,435	)
Akamai Technologies, Inc.		42,873		2,204,314		193,573
Alaska Air Group, Inc.		79,543		6,453,324		(1,816,762	)
Albemarle Corp.		9,814		789,290		(10,942	)
Alleghany Corp.		1,767		846,163		124,945
Allstate Corp. (The)		95,604		5,962,821		724,678
Alphabet, Inc.		7,764		5,929,280		(467,073	)
Amazon.com, Inc.		4,241		2,788,752		246,192
AMC Networks, Inc.		68,505		5,189,639		(1,050,566	)
Amdocs Ltd.		202,822		11,064,999		641,887
AMERCO		17,010		6,361,141		9,954
Ameren Corp.		278,892		12,414,524		2,528,509
American Airlines Group, Inc.		44,541		1,882,926		(621,970	)
American Eagle Outfitters, Inc.		551,400		8,008,825		774,977
American Electric Power Co., Inc.		369,963		21,721,079		4,209,628
American Financial Group, Inc.		73,480		5,166,194		266,182
American International Group, Inc.		101,851		5,833,905		(447,006	)
Ameriprise Financial, Inc.		62,261		6,469,873		(875,723	)
AmerisourceBergen Corp.		43,191		4,311,874		(885,964	)
Amgen, Inc.		33,754		5,271,866		(136,195	)
Amsurg Corp.		25,128		1,827,992		120,433
AmTrust Financial Services, Inc.		273,685		8,202,015		(1,496,733	)
Analog Devices, Inc.		18,038		979,132		42,541
ANSYS, Inc.		10,223		900,638		27,099
Antero Resources Corp.		307,561		7,587,012		403,423
Anthem, Inc.		107,781		14,982,637		(826,680	)
AO Smith Corp.		116,696		8,389,572		1,892,513
Apple, Inc.		18,963		2,066,588		(253,725	)
Arch Capital Group Ltd.		49,437		3,457,126		102,338

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Archer-Daniels-Midland Co.		143,512	$	4,921,026	$	1,234,203
Arrow Electronics, Inc.		102,982		5,899,977		474,608
Ashland, Inc.		13,136		1,357,343		150,276
Aspen Insurance Holdings Ltd.		90,318		4,308,839		(119,890	)
Associated Banc-Corp.		17,793		328,824		(23,674	)
Assurant, Inc.		75,573		6,016,974		505,731
Assured Guaranty Ltd.		182,270		4,607,856		16,334
AT&T, Inc.		205,809		7,214,346		1,678,661
Atmos Energy Corp.		81,059		5,566,908		1,024,810
AutoNation, Inc.		57,899		2,888,353		(168,258	)
AutoZone, Inc.		5,454		4,119,461		210,143
Avery Dennison Corp.		80,083		4,945,347		1,040,857
Avnet, Inc.		168,634		7,014,246		(182,882	)
Axis Capital Holdings Ltd.		113,384		6,260,499		(24,379	)
Bank of Hawaii Corp.		11,663		737,678		64,736
Bank of New York Mellon Corp. (The)		219,852		8,240,599		300,652
BankUnited, Inc.		34,426		1,172,103		(114,536	)
Baxter International, Inc.		157,135		6,652,634		453,011
BB&T Corp.		85,379		3,229,819		(189,473	)
Becton Dickinson and Co.		28,584		4,456,531		391,029
Bed Bath & Beyond, Inc.		26,631		1,377,089		(226,097	)
Bemis Co., Inc.		97,308		4,432,521		577,868
Best Buy Co., Inc.		182,226		5,367,093		209,023
Big Lots, Inc.		85,829		3,249,987		1,050,905
Bio-Rad Laboratories, Inc.		21,650		2,889,859		206,524
BlackRock, Inc.		7,754		2,533,793		122,184
Boeing Co. (The)		45,742		6,516,302		(575,788	)
BOK Financial Corp.		59,918		3,119,945		636,913
Booz Allen Hamilton Holding Corp.		64,888		1,887,482		35,799
Boston Beer Co., Inc. (The)		3,384		582,512		(3,747	)
Boston Scientific Corp.		84,063		1,562,410		402,142
Brinker International, Inc.		129,724		5,860,930		45,403
Broadridge Financial Solutions, Inc.		95,479		5,079,537		1,145,694
Brocade Communications Systems, Inc.		715,619		6,326,525		242,858
Bruker Corp.		12,615		325,160		(38,295	)
Brunswick Corp.		96,151		4,039,809		317,754
Bunge Ltd.		36,491		2,298,940		(140,497	)
CA, Inc.		142,011		3,982,027		680,194
Cabot Corp.		93,120		4,195,800		56,060
Cadence Design Systems, Inc.		199,405		4,049,814		795,727
Campbell Soup Co.		54,399		2,982,432		636,734
Capital One Financial Corp.		130,238		9,614,491		(1,343,076	)
Cardinal Health, Inc.		94,853		8,098,366		(698,884	)
Carlisle Cos., Inc.		42,444		3,862,169		623,312

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

AQR Funds Semi-Annual Report June 2016

240

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Carnival Corp.		237,317	$	11,707,556	$	(1,218,145	)
Carter’s, Inc.		46,900		4,378,707		614,736
Casey’s General Stores, Inc.		73,487		8,528,063		1,136,212
Catalent, Inc.		40,172		985,722		(62,168	)
Cathay General Bancorp		20,927		573,242		16,899
CDW Corp.		114,572		4,754,545		(162,499	)
Celanese Corp.		123,014		8,007,716		43,550
Centene Corp.		23,766		1,464,977		231,202
CenturyLink, Inc.		252,907		7,166,303		170,529
Charles River Laboratories International, Inc.		95,656		7,419,841		466,039
Cheesecake Factory, Inc. (The)		107,385		5,188,329		(18,816	)
Church & Dwight Co., Inc.		58,598		4,966,427		1,062,722
Cinemark Holdings, Inc.		104,238		3,201,971		598,547
Cintas Corp.		77,992		6,960,276		693,079
Cisco Systems, Inc.		381,818		10,202,177		752,181
Citigroup, Inc.		69,213		3,496,237		(562,298	)
Citrix Systems, Inc.		76,383		5,174,944		942,570
Clorox Co. (The)		57,256		7,492,708		430,950
CME Group, Inc.		33,531		3,143,056		122,864
CMS Energy Corp.		105,463		3,826,245		1,010,288
Cognizant Technology Solutions Corp.		48,722		2,872,381		(83,534	)
Comcast Corp.		116,341		6,670,154		914,116
Commerce Bancshares, Inc.		103,294		4,375,907		571,876
Commercial Metals Co.		566,038		7,878,909		1,687,133
Community Health Systems, Inc.		151,960		2,706,829		(875,711	)
Computer Sciences Corp.		180,706		5,575,117		3,396,936
ConAgra Foods, Inc.		32,213		1,322,932		217,171
Concho Resources, Inc.		22,684		2,029,674		675,847
ConocoPhillips		88,066		3,989,594		(149,917	)
Consolidated Edison, Inc.		328,466		21,582,348		4,839,457
Constellation Brands, Inc.		47,816		6,753,812		1,154,954
Convergys Corp.		259,924		6,574,946		(76,846	)
Cooper Cos., Inc. (The)		6,792		926,683		238,620
CoreLogic, Inc.		49,502		1,760,070		144,767
Costco Wholesale Corp.		21,999		3,534,799		(80,076	)
Coty, Inc.		80,290		1,954,576		132,162
CR Bard, Inc.		22,517		4,292,191		1,002,907
Cracker Barrel Old Country Store, Inc.		29,982		3,791,975		1,349,039
Crane Co.		16,991		780,372		183,357
Credit Acceptance Corp.		2,687		545,290		(47,980	)
Crown Holdings, Inc.		84,254		4,018,857		250,294
CST Brands, Inc.		101,096		3,909,444		445,772
CSX Corp.		86,672		2,193,168		67,238
Cummins, Inc.		52,383		4,502,843		1,387,102
Curtiss-Wright Corp.		7,694		671,072		(22,853	)
CVR Energy, Inc.		71,250		2,078,674		(974,299	)
CVS Health Corp.		57,343		5,430,956		59,063

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Danaher Corp.		68,721	$	6,206,187	$	734,634
Darden Restaurants, Inc.		143,575		8,516,932		577,108
Dean Foods Co.		394,526		7,157,689		(20,714	)
Deckers Outdoor Corp.		29,456		1,452,181		242,128
Delta Air Lines, Inc.		220,197		11,078,217		(3,056,440	)
Deluxe Corp.		114,323		6,291,405		1,296,212
DENTSPLY SIRONA, Inc.		111,735		6,447,474		484,565
DeVry Education Group, Inc.		24,377		499,127		(64,241	)
Diamond Offshore Drilling, Inc.		203,797		5,008,986		(50,605	)
Dick’s Sporting Goods, Inc.		15,134		548,361		133,577
Dillard’s, Inc.		18,326		1,242,864		(132,308	)
Discover Financial Services		72,114		3,707,130		157,460
Dover Corp.		16,710		973,891		184,446
Dow Chemical Co. (The)		292,922		13,978,018		583,135
DR Horton, Inc.		361,643		10,694,547		689,975
Dr. Pepper Snapple Group, Inc.		122,431		11,391,009		439,499
Dril-Quip, Inc.		69,656		3,942,932		127,068
DST Systems, Inc.		57,603		6,583,270		123,447
DTE Energy Co.		143,622		11,423,493		2,812,320
Dun & Bradstreet Corp. (The)		9,863		1,017,801		183,907
East West Bancorp, Inc.		54,185		2,186,498		(334,455	)
Eastman Chemical Co.		79,013		5,202,534		162,449
eBay, Inc.		255,250		7,159,758		(1,184,355	)
Edison International		142,533		8,680,260		2,390,278
Edwards Lifesciences Corp.		63,995		5,182,955		1,199,266
Electronic Arts, Inc.		102,461		7,287,026		475,419
Eli Lilly & Co.		83,947		7,237,079		(626,253	)
Endurance Specialty Holdings Ltd.		55,586		3,516,370		216,785
Energen Corp.		16,893		591,289		223,123
Entergy Corp.		87,613		5,890,222		1,237,096
EOG Resources, Inc.		15,206		1,114,600		153,885
EP Energy Corp.		267,332		907,286		477,494
EQT Corp.		43,047		2,527,182		805,947
Equifax, Inc.		112,401		12,273,912		2,158,377
Everest Re Group Ltd.		18,407		3,374,198		(11,791	)
Exelon Corp.		312,756		9,356,667		2,015,141
Expedia, Inc.		35,076		4,234,795		(506,216	)
Expeditors International of Washington, Inc.		157,551		6,996,399		729,902
Facebook, Inc.		7,922		937,358		(32,032	)
FactSet Research Systems, Inc.		25,588		4,061,517		68,898
Fair Isaac Corp.		26,981		2,491,519		557,603
FedEx Corp.		30,926		5,026,702		(332,753	)
Fidelity National Information Services, Inc.		19,230		1,151,492		265,374
Fifth Third Bancorp		336,549		5,622,422		297,475

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

AQR Funds Semi-Annual Report June 2016

241

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
First American Financial Corp.		111,648	$	3,934,799	$	555,683
First Solar, Inc.		141,249		9,160,244		(2,312,493	)
FirstEnergy Corp.		12,673		423,263		19,151
Fiserv, Inc.		58,389		5,407,472		941,164
Flowers Foods, Inc.		167,871		3,566,791		(419,210	)
FNF Group		72,049		2,382,660		319,177
Foot Locker, Inc.		132,347		8,464,446		(1,203,889	)
Fortune Brands Home & Security, Inc.		58,992		3,394,212		25,554
Fulton Financial Corp.		186,873		2,403,090		119,695
GameStop Corp.		255,645		7,386,276		(591,232	)
Gannett Co., Inc.		237,220		3,704,088		(428,080	)
GATX Corp.		57,650		2,540,470		(5,599	)
General Dynamics Corp.		65,762		9,083,734		72,966
General Mills, Inc.		76,165		4,308,967		1,123,121
General Motors Co.		153,620		5,046,821		(699,375	)
Genpact Ltd.		225,055		5,450,142		590,335
Gilead Sciences, Inc.		89,768		8,882,252		(1,393,805	)
Global Payments, Inc.		109,898		6,669,185		1,175,334
Goodyear Tire & Rubber Co. (The)		394,012		12,109,683		(1,999,335	)
Graham Holdings Co.		7,404		3,642,163		(17,609	)
Graphic Packaging Holding Co.		108,171		1,320,243		36,221
Great Plains Energy, Inc.		161,565		4,901,491		10,085
Guess?, Inc.		27,593		474,766		(59,492	)
Hanesbrands, Inc.		34,915		1,024,755		(147,341	)
Hanover Insurance Group, Inc. (The)		89,361		7,300,968		260,760
Harris Corp.		34,915		2,890,689		22,618
Hartford Financial Services Group, Inc. (The)		148,856		6,345,152		261,077
Hasbro, Inc.		68,108		4,839,759		880,632
HCA Holdings, Inc.		70,988		4,595,763		871,023
HD Supply Holdings, Inc.		35,157		1,272,761		(48,594	)
Helmerich & Payne, Inc.		74,383		3,682,236		1,311,095
Herman Miller, Inc.		124,948		3,499,308		235,388
Hess Corp.		63,273		2,875,550		927,157
Hill-Rom Holdings, Inc.		25,237		1,230,074		43,132
HollyFrontier Corp.		214,779		8,473,646		(3,368,350	)
Hologic, Inc.		50,519		1,769,403		(21,445	)
Home Depot, Inc. (The)		31,958		4,176,943		(96,226	)
Honeywell International, Inc.		44,846		4,517,261		699,225
Hormel Foods Corp.		263,135		10,248,432		(617,691	)
HP, Inc.		326,165		3,612,593		480,778
HSN, Inc.		21,809		1,101,354		(34,240	)
Hubbell, Inc.		6,224		577,488		78,958
Huntington Ingalls Industries, Inc.		102,630		13,119,677		4,125,241
IAC/InterActiveCorp.		30,980		1,905,890		(161,716	)
IDACORP, Inc.		65,242		4,578,112		729,325
Ingersoll-Rand plc		21,537		1,410,596		(39,120	)
Ingredion, Inc.		122,073		12,107,044		3,690,423
Integrated Device Technology, Inc.		118,535		2,540,326		(154,217	)
Intel Corp.		164,753		5,751,527		(347,629	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Intercontinental Exchange, Inc.		33,644	$	8,347,322	$	264,196
InterDigital, Inc.		43,863		2,081,299		360,992
International Business Machines Corp.		21,734		2,914,161		384,625
International Flavors & Fragrances, Inc.		11,632		1,373,134		93,312
International Game Technology plc		225,937		3,399,617		834,442
Interpublic Group of Cos., Inc. (The)		199,323		4,406,844		197,517
Intrexon Corp.		141,339		3,603,154		(124,802	)
Intuit, Inc.		11,758		1,150,755		161,555
Ionis Pharmaceuticals, Inc.		41,034		879,326		76,356
ITT, Inc.		121,569		4,004,962		(117,186	)
j2 Global, Inc.		43,049		2,886,045		(166,640	)
Jabil Circuit, Inc.		503,555		10,553,390		(1,252,729	)
Jack Henry & Associates, Inc.		62,860		4,892,616		593,176
Jack in the Box, Inc.		4,699		332,224		71,514
JetBlue Airways Corp.		536,540		11,903,349		(3,018,246	)
JM Smucker Co. (The)		28,458		3,540,381		796,903
John Wiley & Sons, Inc.		41,198		1,729,233		420,479
Johnson & Johnson		56,177		5,504,027		1,310,243
JPMorgan Chase & Co.		181,815		11,719,396		(421,412	)
Juniper Networks, Inc.		214,500		5,896,523		(1,072,418	)
Juno Therapeutics, Inc.		41,923		1,865,184		(253,664	)
KAR Auction Services, Inc.		11,947		409,166		89,502
KB Home		378,263		4,318,568		1,434,812
KeyCorp.		94,982		1,234,755		(185,204	)
Kimberly-Clark Corp.		59,021		7,473,831		640,376
Kohl’s Corp.		45,759		2,033,988		(298,806	)
Kroger Co. (The)		263,264		10,986,379		(1,300,896	)
L Brands, Inc.		25,267		2,440,287		(744,113	)
L-3 Communications Holdings, Inc.		8,917		1,312,886		(4,852	)
Lam Research Corp.		89,174		6,895,237		600,730
Lancaster Colony Corp.		36,095		3,850,181		755,902
Laredo Petroleum, Inc.		233,119		1,618,418		824,670
Las Vegas Sands Corp.		22,904		1,079,514		(83,419	)
Lear Corp.		144,983		17,408,906		(2,655,436	)
Leggett & Platt, Inc.		58,825		2,509,073		497,472
Lennar Corp.		62,910		2,777,272		122,879
Lennox International, Inc.		19,616		2,427,265		369,977
Level 3 Communications, Inc.		60,206		3,124,966		(24,959	)
Lexmark International, Inc.		52,490		1,656,584		324,913
Liberty Interactive Corp. QVC Group		46,197		1,204,434		(32,417	)
LifePoint Health, Inc.		49,287		3,393,042		(171,151	)
Lincoln National Corp.		43,051		2,142,310		(473,223	)
Lockheed Martin Corp.		28,750		6,187,575		947,313
Lowe’s Cos., Inc.		59,276		4,439,772		253,109
LPL Financial Holdings, Inc.		30,876		819,906		(124,269	)

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

AQR Funds Semi-Annual Report June 2016

242

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
LyondellBasell Industries NV		171,082	$	14,874,291	$	(2,142,368	)
Mallinckrodt plc		22,548		1,508,000		(137,533	)
Manhattan Associates, Inc.		57,277		3,743,200		(70,026	)
ManpowerGroup, Inc.		100,003		7,732,551		(1,298,358	)
Marathon Petroleum Corp.		136,158		6,476,667		(1,308,109	)
Markel Corp.		337		283,523		37,564
MarketAxess Holdings, Inc.		11,128		1,430,217		187,794
Marriott International, Inc.		53,713		3,465,100		104,666
Marvell Technology Group Ltd.		194,031		1,626,798		222,318
Masco Corp.		192,405		5,211,157		741,854
Mattel, Inc.		27,207		868,526		(17,219	)
MAXIMUS, Inc.		9,394		520,803		(658	)
McCormick & Co., Inc.		21,419		1,816,117		468,648
MEDNAX, Inc.		20,090		1,357,226		97,893
Memorial Resource Development Corp.		226,752		2,527,887		1,072,935
Mentor Graphics Corp.		247,309		4,362,098		895,691
Merck & Co., Inc.		83,039		4,314,698		469,178
Meredith Corp.		20,700		1,049,656		24,881
MetLife, Inc.		184,051		8,620,050		(1,289,299	)
Microsoft Corp.		117,784		6,438,284		(411,277	)
Minerals Technologies, Inc.		51,123		2,217,434		686,353
Mohawk Industries, Inc.		17,949		3,466,622		(60,619	)
Molina Healthcare, Inc.		153,204		8,669,321		(1,024,441	)
Mondelez International, Inc.		87,337		3,618,862		355,845
Morgan Stanley		119,594		3,131,030		(23,978	)
Mosaic Co. (The)		88,828		2,489,658		(164,140	)
MSC Industrial Direct Co., Inc.		17,431		1,314,849		(84,917	)
MSCI, Inc.		78,495		5,431,731		621,803
MSG Networks, Inc.		158,646		3,039,873		(606,244	)
Murphy Oil Corp.		75,415		2,503,507		(109,080	)
Murphy USA, Inc.		90,318		5,631,833		1,066,150
Mylan NV		102,579		4,906,820		(471,304	)
Nasdaq, Inc.		184,204		10,555,303		1,357,170
NeuStar, Inc.		185,822		4,453,438		(84,763	)
Newfield Exploration Co.		107,440		3,437,223		1,309,476
NewMarket Corp.		1,544		575,912		63,891
NextEra Energy, Inc.		49,832		5,201,669		1,296,424
NIKE, Inc.		97,404		6,302,480		(925,779	)
NiSource, Inc.		411,862		8,266,839		2,655,741
Northern Trust Corp.		47,306		3,404,600		(270,105	)
Northrop Grumman Corp.		74,263		13,984,466		2,522,714
Norwegian Cruise Line Holdings Ltd.		33,196		1,670,849		(348,320	)
Nu Skin Enterprises, Inc.		81,534		2,659,562		1,106,494
Nuance Communications, Inc.		277,821		5,028,501		(686,159	)
NVIDIA Corp.		146,365		4,361,822		2,518,796

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
NVR, Inc.		4,341	$	7,017,199	$	711,257
Oceaneering International, Inc.		95,190		2,916,895		(74,522	)
Old Republic International Corp.		386,814		7,085,415		376,227
Omnicom Group, Inc.		47,008		3,385,874		444,808
ON Semiconductor Corp.		151,138		1,472,344		(139,307	)
ONE Gas, Inc.		90,631		5,114,055		921,063
OneMain Holdings, Inc.		47,358		1,407,302		(326,592	)
Orbital ATK, Inc.		40,173		3,535,253		(114,924	)
O’Reilly Automotive, Inc.		16,112		4,098,087		269,876
Oshkosh Corp.		97,044		3,141,890		1,488,079
Owens & Minor, Inc.		17,730		654,358		8,390
Owens Corning		271,584		12,475,332		1,516,676
PACCAR, Inc.		89,455		4,174,958		465,073
Packaging Corp. of America		55,139		3,495,655		194,798
PAREXEL International Corp.		5,901		382,400		(11,345	)
Patterson-UTI Energy, Inc.		244,830		3,156,451		2,063,325
Paychex, Inc.		21,581		1,061,770		222,300
PBF Energy, Inc.		130,057		4,044,201		(951,446	)
Penske Automotive Group, Inc.		58,735		2,086,452		(238,649	)
People’s United Financial, Inc.		303,386		4,833,193		(385,554	)
PepsiCo, Inc.		79,405		7,956,381		455,785
Pfizer, Inc.		117,364		3,752,548		379,838
PG&E Corp.		195,075		10,504,789		1,964,405
Phillips 66		78,940		6,445,504		(182,404	)
Pilgrim’s Pride Corp.		218,911		4,758,310		819,542
Pinnacle Foods, Inc.		125,284		5,196,780		602,616
Pinnacle West Capital Corp.		226,662		15,297,551		3,075,671
Plantronics, Inc.		31,767		1,505,962		(108,214	)
PNC Financial Services Group, Inc. (The)		145,242		13,793,184		(1,971,937	)
Popular, Inc.		125,317		3,429,589		242,199
Post Holdings, Inc.		62,522		4,737,874		432,070
PPL Corp.		141,180		4,928,376		401,169
Prestige Brands Holdings, Inc.		14,607		823,028		(13,801	)
Procter & Gamble Co. (The)		64,283		5,088,275		354,566
Progressive Corp. (The)		138,674		4,370,483		275,096
Prudential Financial, Inc.		70,203		4,789,767		218,515
Public Service Enterprise Group, Inc.		493,156		18,822,603		4,163,398
QEP Resources, Inc.		256,977		3,133,999		1,396,506
Quest Diagnostics, Inc.		37,303		2,515,931		520,906
Quintiles Transnational Holdings, Inc.		156,132		10,628,708		(430,165	)
Rackspace Hosting, Inc.		140,826		3,439,733		(502,103	)
Ralph Lauren Corp.		6,188		624,456		(69,887	)
Raytheon Co.		79,580		10,032,054		786,847
Red Hat, Inc.		18,045		1,237,605		72,462

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

AQR Funds Semi-Annual Report June 2016

243

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Regal Entertainment Group		53,043	$	974,139	$	194,929
Regions Financial Corp.		143,552		1,384,229		(162,601	)
Reinsurance Group of America, Inc.		91,502		7,894,118		980,661
Reliance Steel & Aluminum Co.		127,929		7,114,969		2,722,771
RenaissanceRe Holdings Ltd.		23,442		2,606,557		146,471
Republic Services, Inc.		310,078		13,876,862		2,033,240
Rockwell Automation, Inc.		26,728		2,571,401		497,508
Ross Stores, Inc.		63,892		3,441,223		180,814
Rowan Cos. plc		577,645		9,852,461		348,750
Royal Caribbean Cruises Ltd.		117,777		10,267,270		(2,358,544	)
RPM International, Inc.		8,010		347,210		52,890
Ryder System, Inc.		93,027		5,166,336		521,335
S&P Global, Inc.		28,259		2,693,648		337,412
Sabre Corp.		55,938		1,516,790		(18,211	)
SCANA Corp.		154,995		9,689,004		2,037,918
Science Applications International Corp.		21,463		1,168,100		84,266
Scotts Miracle-Gro Co. (The)		17,574		1,134,263		94,335
Scripps Networks Interactive, Inc.		20,002		1,292,735		(47,211	)
SEI Investments Co.		38,979		1,998,030		(122,750	)
Sensient Technologies Corp.		29,356		1,820,656		264,794
Service Corp. International		74,435		1,822,333		190,389
Sherwin-Williams Co. (The)		11,904		3,133,133		362,715
Signature Bank		11,835		1,718,971		(240,543	)
Skechers U.S.A., Inc.		268,000		7,733,421		231,539
Skyworks Solutions, Inc.		35,989		2,505,863		(228,479	)
SM Energy Co.		69,615		872,680		1,006,925
Snap-on, Inc.		33,653		5,631,674		(320,557	)
Sonoco Products Co.		83,686		3,434,746		721,101
Southern Co. (The)		228,473		10,983,470		1,269,537
Southwest Airlines Co.		105,468		4,588,913		(453,512	)
Spectrum Brands Holdings, Inc.		34,845		3,626,884		530,473
Spirit AeroSystems Holdings, Inc.		356,227		16,669,283		(1,351,522	)
SS&C Technologies Holdings, Inc.		35,574		1,216,663		(217,745	)
Stanley Black & Decker, Inc.		74,470		7,311,743		970,811
State Street Corp.		72,542		4,605,134		(693,670	)
Stryker Corp.		28,269		2,607,557		779,917
SunTrust Banks, Inc.		218,598		9,014,294		(34,289	)
SUPERVALU, Inc.		425,152		2,707,138		(700,420	)
Synaptics, Inc.		38,995		2,790,535		(694,554	)
Synchrony Financial		133,596		3,968,336		(591,029	)
SYNNEX Corp.		63,821		5,677,368		374,139
Synopsys, Inc.		95,951		4,299,931		889,099

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Sysco Corp.		25,128	$	1,073,567	$	201,428
Tableau Software, Inc.		15,161		688,123		53,553
Talen Energy Corp.		56,562		339,841		426,574
Target Corp.		50,191		3,630,315		(125,979	)
Tech Data Corp.		170,002		11,512,004		702,639
Teekay Corp.		177,240		1,128,767		134,954
TEGNA, Inc.		271,547		7,057,829		(766,085	)
Teledyne Technologies, Inc.		17,516		1,432,127		302,833
Teleflex, Inc.		51,827		6,988,563		2,200,882
Teradyne, Inc.		294,115		5,677,594		113,530
Tesoro Corp.		108,174		10,931,909		(2,827,513	)
Textron, Inc.		166,958		5,852,503		251,481
Thermo Fisher Scientific, Inc.		14,420		1,986,532		144,168
Thomson Reuters Corp.		56,164		2,066,554		203,595
Thor Industries, Inc.		47,435		2,525,908		545,034
Time, Inc.		26,054		379,858		48,990
TJX Cos., Inc. (The)		16,017		1,142,428		94,565
TopBuild Corp.		97,142		2,829,452		687,088
Torchmark Corp.		106,123		5,951,829		608,695
Toro Co. (The)		25,627		2,003,923		256,379
Total System Services, Inc.		268,746		12,719,462		1,553,638
Travelers Cos., Inc. (The)		119,464		13,531,687		689,307
Trinity Industries, Inc.		403,493		8,756,384		(1,263,519	)
Trustmark Corp.		110,268		2,464,435		275,725
Tupperware Brands Corp.		25,567		1,374,291		64,620
Tyler Technologies, Inc.		14,801		2,520,521		(53,047	)
Tyson Foods, Inc.		348,096		18,689,585		4,559,747
UGI Corp.		143,863		5,014,540		1,495,261
Ulta Salon Cosmetics & Fragrance, Inc.		4,505		799,827		297,771
United Continental Holdings, Inc.		119,437		5,341,588		(439,894	)
United Parcel Service, Inc.		115,701		12,064,478		398,834
United Therapeutics Corp.		71,870		10,659,728		(3,047,258	)
UnitedHealth Group, Inc.		99,429		11,853,925		2,185,449
Universal Health Services, Inc.		47,353		5,424,178		925,860
Unum Group		105,215		3,468,795		(124,011	)
US Bancorp.		126,148		5,529,067		(441,518	)
Valero Energy Corp.		191,618		13,735,178		(3,962,660	)
Validus Holdings Ltd.		129,924		5,975,147		337,860
Valmont Industries, Inc.		11,875		1,281,024		325,307
Vantiv, Inc.		25,562		1,349,564		97,245
Vectren Corp.		21,776		913,347		233,595
VeriSign, Inc.		47,934		3,923,031		221,343
Verizon Communications, Inc.		119,101		5,615,700		1,034,900
Visa, Inc.		34,191		2,690,490		(154,543	)
Vishay Intertechnology, Inc.		125,988		1,390,000		170,991
Vista Outdoor, Inc.		18,402		877,691		637

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

AQR Funds Semi-Annual Report June 2016

244

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
VMware, Inc.		46,860		$	2,321,825		$	359,504
Voya Financial, Inc.		144,147			5,291,636			(1,722,557	)
VWR Corp.		107,128			2,845,644			250,355
Wal-Mart Stores, Inc.		107,054			6,314,045			1,503,038
Walt Disney Co. (The)		57,203			5,916,998			(321,401	)
Waste Management, Inc.		256,455			13,663,922			3,331,350
Waters Corp.		25,107			3,238,992			292,308
WebMD Health Corp.		22,849			1,468,178			(140,423	)
WellCare Health Plans, Inc.		100,017			9,310,775			1,419,048
Wells Fargo & Co.		171,730			9,525,863			(1,397,882	)
Werner Enterprises, Inc.		252,701			6,185,065			(380,523	)
West Pharmaceutical Services, Inc.		39,666			2,314,311			695,545
Western Digital Corp.		14,667			717,841			(24,679	)
Western Refining, Inc.		153,574			5,457,202			(2,288,971	)
Western Union Co. (The)		71,783			1,290,970			85,828
Westlake Chemical Corp.		82,820			3,812,634			(258,000	)
WGL Holdings, Inc.		66,970			4,230,298			510,508
Whirlpool Corp.		39,233			5,768,428			769,359
White Mountains Insurance Group Ltd.		1,106			825,299			105,953
Woodward, Inc.		54,075			2,621,805			495,078
World Fuel Services Corp.		65,745			2,568,726			553,504
Worthington Industries, Inc.		7,899			313,884			20,244
WPX Energy, Inc.		122,478			1,053,592			86,678
WR Berkley Corp.		25,861			1,407,358			142,233
Wyndham Worldwide Corp.		53,148			3,707,338			78,394
Xcel Energy, Inc.		458,998			16,713,082			3,840,849
Xerox Corp.		59,621			666,247			(100,443	)
Xilinx, Inc.		33,767			1,473,475			84,197
Xylem, Inc.		18,993			879,095			(31,057	)
								115,188,828
Total of Long Equity Positions								116,073,668
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(57,919	)		(3,123,435	)		(1,154,463	)
Ireland
Alkermes plc		(77,441	)		(3,266,327	)		(80,673	)
Allegion plc		(89,612	)		(5,375,607	)		(846,154	)
Endo International plc		(322,065	)		(8,276,354	)		3,255,361
Jazz Pharmaceuticals plc		(32,219	)		(4,244,998	)		(307,868	)
Medtronic plc		(74,150	)		(5,682,727	)		(751,269	)
Perrigo Co. plc		(28,258	)		(3,716,553	)		1,154,400
								2,423,797
Netherlands
Chicago Bridge & Iron Co. NV		(193,475	)		(7,418,991	)		718,952

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Netherlands (continued)
Core Laboratories NV		(8,491	)	$	(848,852	)	$	(203,098	)
QIAGEN NV		(171,924	)		(4,268,048	)		518,386
Sensata Technologies Holding NV		(188,906	)		(8,030,494	)		1,439,564
								2,473,804
Norway
Golar LNG Ltd.		(511,526	)		(8,176,826	)		248,173
Switzerland
Garmin Ltd.		(63,170	)		(2,119,474	)		(560,197	)
Weatherford International plc		(1,583,796	)		(11,884,862	)		3,094,794
								2,534,597
United Kingdom
Aon plc		(128,761	)		(11,390,402	)		(2,674,162	)
Delphi Automotive plc		(50,601	)		(3,618,275	)		450,653
Ensco plc		(426,397	)		(4,876,774	)		736,460
Liberty Global plc		(162,232	)		(5,290,824	)		576,362
Liberty Global plc LiLAC		(20,240	)		(660,079	)		7,137
LivaNova plc		(54,139	)		(2,923,744	)		204,342
Michael Kors Holdings Ltd.		(18,151	)		(679,013	)		(219,098	)
Pentair plc		(146,080	)		(6,821,046	)		(1,693,957	)
								(2,612,263	)
United States
3D Systems Corp.		(91,902	)		(1,164,885	)		(93,253	)
AbbVie, Inc.		(26,732	)		(1,447,129	)		(207,849	)
Acadia Healthcare Co., Inc.		(145,441	)		(8,765,116	)		707,685
Acxiom Corp.		(102,180	)		(2,233,478	)		(13,461	)
Adobe Systems, Inc.		(29,038	)		(2,735,380	)		(46,170	)
Advance Auto Parts, Inc.		(10,082	)		(1,478,812	)		(150,742	)
Advanced Micro Devices, Inc.		(716,407	)		(1,753,134	)		(1,929,198	)
AECOM		(44,669	)		(1,306,122	)		(113,013	)
AES Corp.		(678,934	)		(6,200,957	)		(2,272,140	)
Agilent Technologies, Inc.		(150,599	)		(5,976,397	)		(704,175	)
Agios Pharmaceuticals, Inc.		(99,327	)		(3,994,824	)		(166,480	)
Air Products & Chemicals, Inc.		(16,221	)		(2,121,246	)		(182,785	)
Akorn, Inc.		(126,156	)		(3,138,936	)		(454,617	)
Alcoa, Inc.		(995,247	)		(8,372,408	)		(853,532	)
Alexion Pharmaceuticals, Inc.		(33,151	)		(5,898,757	)		2,028,046
Align Technology, Inc.		(72,465	)		(4,695,187	)		(1,141,869	)
Allegheny Technologies, Inc.		(444,960	)		(4,788,771	)		(884,469	)
Allergan plc		(17,782	)		(4,031,221	)		(78,021	)
Alliance Data Systems Corp.		(23,380	)		(6,205,584	)		1,624,975
Alliant Energy Corp.		(94,082	)		(2,960,039	)		(775,016	)

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

AQR Funds Semi-Annual Report June 2016

245

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Allison Transmission Holdings, Inc.		(80,314	)	$	(1,942,820	)	$	(324,444	)
Allscripts Healthcare Solutions, Inc.		(211,007	)		(3,137,674	)		457,885
Ally Financial, Inc.		(74,683	)		(1,341,168	)		66,329
Alnylam Pharmaceuticals, Inc.		(153,367	)		(10,622,543	)		2,112,208
American Express Co.		(109,779	)		(7,242,101	)		571,929
AMETEK, Inc.		(45,402	)		(2,263,701	)		164,767
Amphenol Corp.		(135,189	)		(6,540,387	)		(1,209,999	)
Anadarko Petroleum Corp.		(129,174	)		(5,734,706	)		(1,143,809	)
Apache Corp.		(67,792	)		(2,911,666	)		(862,314	)
Applied Materials, Inc.		(90,644	)		(1,637,031	)		(535,706	)
Arista Networks, Inc.		(50,074	)		(3,423,332	)		199,567
Armstrong World Industries, Inc.		(33,413	)		(1,030,234	)		(277,885	)
ARRIS International plc		(177,309	)		(4,353,474	)		637,077
Arthur J Gallagher & Co.		(189,309	)		(7,350,283	)		(1,660,825	)
Artisan Partners Asset Management, Inc.		(141,976	)		(4,650,297	)		720,401
Ascena Retail Group, Inc.		(392,845	)		(3,427,531	)		681,544
athenahealth, Inc.		(3,962	)		(574,167	)		27,371
Autodesk, Inc.		(145,251	)		(8,670,563	)		806,674
Automatic Data Processing, Inc.		(65,012	)		(5,337,960	)		(634,692	)
Avangrid, Inc.		(21,818	)		(840,711	)		(164,226	)
Avis Budget Group, Inc.		(26,057	)		(763,920	)		(75,898	)
Avon Products, Inc.		(866,726	)		(3,457,916	)		181,692
Axalta Coating Systems Ltd.		(129,619	)		(3,652,257	)		213,465
B/E Aerospace, Inc.		(403,169	)		(16,784,539	)		(1,831,790	)
Baker Hughes, Inc.		(119,483	)		(5,516,084	)		123,816
Ball Corp.		(81,091	)		(5,588,814	)		(273,254	)
BancorpSouth, Inc.		(42,632	)		(1,008,121	)		40,801
Bank of America Corp.		(145,540	)		(2,517,842	)		586,526
Bank of the Ozarks, Inc.		(17,026	)		(656,294	)		17,479
Belden, Inc.		(22,006	)		(995,421	)		(333,081	)
Biogen, Inc.		(10,326	)		(2,730,571	)		233,538
BioMarin Pharmaceutical, Inc.		(97,352	)		(7,924,938	)		350,953
Bio-Techne Corp.		(66,611	)		(5,897,711	)		(1,614,011	)
Black Hills Corp.		(86,432	)		(4,081,038	)		(1,367,635	)
Black Knight Financial Services, Inc.		(89,284	)		(2,868,420	)		(488,658	)
Bluebird Bio, Inc.		(87,095	)		(3,644,645	)		(125,697	)
BorgWarner, Inc.		(238,800	)		(9,807,516	)		2,758,140
Bristol-Myers Squibb Co.		(20,459	)		(1,446,595	)		(58,165	)
Brookdale Senior Living, Inc.		(420,263	)		(7,440,617	)		951,757
Brown & Brown, Inc.		(133,720	)		(4,136,142	)		(874,346	)
Brown-Forman Corp.		(26,566	)		(2,531,724	)		(118,501	)
Buffalo Wild Wings, Inc.		(14,223	)		(2,210,982	)		234,696
BWX Technologies, Inc.		(29,559	)		(891,928	)		(165,398	)
Cabela’s, Inc.		(106,829	)		(4,915,842	)		(432,017	)
Cable One, Inc.		(1,965	)		(825,852	)		(179,069	)
Cabot Oil & Gas Corp.		(193,664	)		(3,049,910	)		(1,935,001	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CalAtlantic Group, Inc.		(232,210	)	$	(7,685,202	)	$	(839,227	)
California Resources Corp.		(155,344	)		(2,582,305	)		687,108
Calpine Corp.		(620,671	)		(8,793,535	)		(361,363	)
CarMax, Inc.		(132,794	)		(6,789,996	)		279,106
Carpenter Technology Corp.		(137,128	)		(3,735,674	)		(779,951	)
Caterpillar, Inc.		(64,604	)		(4,192,800	)		(704,830	)
CBOE Holdings, Inc.		(84,639	)		(5,417,748	)		(220,903	)
CBS Corp.		(87,454	)		(4,068,360	)		(692,636	)
CDK Global, Inc.		(16,243	)		(757,910	)		(143,414	)
CEB, Inc.		(49,576	)		(2,955,131	)		(102,716	)
Celgene Corp.		(12,261	)		(1,197,903	)		(11,399	)
CenterPoint Energy, Inc.		(373,879	)		(6,766,974	)		(2,206,122	)
Cerner Corp.		(119,004	)		(6,939,755	)		(33,880	)
CF Industries Holdings, Inc.		(118,832	)		(3,732,001	)		868,150
CH Robinson Worldwide, Inc.		(60,337	)		(3,730,543	)		(749,479	)
Charles Schwab Corp. (The)		(286,576	)		(9,517,189	)		2,263,950
Chemours Co. (The)		(565,625	)		(2,910,780	)		(1,749,970	)
Cheniere Energy, Inc.		(149,393	)		(5,484,171	)		(125,536	)
Chesapeake Energy Corp.		(712,177	)		(3,386,776	)		338,658
Chevron Corp.		(50,997	)		(4,150,603	)		(1,195,412	)
Chico’s FAS, Inc.		(227,892	)		(2,444,327	)		3,604
Chipotle Mexican Grill, Inc.		(29,709	)		(15,181,737	)		3,216,140
Choice Hotels International, Inc.		(14,446	)		(759,990	)		72,072
Ciena Corp.		(158,840	)		(3,135,502	)		157,252
Cimarex Energy Co.		(10,133	)		(859,730	)		(349,340	)
Cincinnati Financial Corp.		(20,213	)		(1,173,229	)		(340,523	)
CIT Group, Inc.		(47,994	)		(1,673,332	)		141,844
CLARCOR, Inc.		(25,632	)		(1,173,595	)		(385,600	)
Clean Harbors, Inc.		(28,499	)		(1,197,755	)		(287,328	)
CNO Financial Group, Inc.		(66,340	)		(1,180,225	)		21,929
Coach, Inc.		(74,370	)		(2,427,437	)		(602,397	)
Cobalt International Energy, Inc.		(1,438,110	)		(6,046,436	)		4,119,369
Coca-Cola Co. (The)		(76,462	)		(3,325,332	)		(140,690	)
Cognex Corp.		(198,727	)		(6,792,916	)		(1,772,218	)
Colfax Corp.		(188,517	)		(4,373,570	)		(614,590	)
Colgate-Palmolive Co.		(203,431	)		(13,694,072	)		(1,197,077	)
Comerica, Inc.		(140,927	)		(5,574,925	)		(221,403	)
CommScope Holding Co., Inc.		(159,669	)		(3,587,638	)		(1,366,891	)
CommVault Systems, Inc.		(104,665	)		(4,125,620	)		(394,861	)
Compass Minerals International, Inc.		(92,698	)		(6,638,512	)		(238,753	)
comScore, Inc.		(39,652	)		(1,169,066	)		222,176
CONSOL Energy, Inc.		(184,087	)		(2,405,076	)		(556,884	)

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

AQR Funds Semi-Annual Report June 2016

246

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Copart, Inc.		(23,614	)	$	(849,764	)	$	(307,558	)
Corning, Inc.		(218,822	)		(3,859,094	)		(622,381	)
CoStar Group, Inc.		(20,921	)		(4,067,187	)		(507,399	)
Covanta Holding Corp.		(437,268	)		(6,775,621	)		(417,438	)
Cree, Inc.		(59,490	)		(1,587,752	)		133,816
Cullen/Frost Bankers, Inc.		(56,827	)		(2,577,548	)		(1,044,037	)
Cypress Semiconductor Corp.		(949,949	)		(8,505,843	)		(1,516,119	)
Dana Holding Corp.		(167,430	)		(2,164,919	)		396,858
DaVita HealthCare Partners, Inc.		(115,552	)		(7,838,784	)		(1,095,696	)
Deere & Co.		(58,721	)		(4,349,757	)		(408,993	)
Devon Energy Corp.		(49,830	)		(1,244,501	)		(561,837	)
DexCom, Inc.		(123,884	)		(8,645,672	)		(1,182,046	)
Diebold, Inc.		(107,481	)		(3,099,673	)		430,920
Discovery Communications, Inc.		(238,866	)		(6,324,955	)		298,366
DISH Network Corp.		(82,925	)		(4,376,204	)		30,934
Dolby Laboratories, Inc.		(51,064	)		(1,720,631	)		(722,781	)
Dollar General Corp.		(32,822	)		(2,287,070	)		(798,198	)
Dollar Tree, Inc.		(75,028	)		(5,746,456	)		(1,324,183	)
Dominion Resources, Inc.		(210,434	)		(14,235,558	)		(2,163,564	)
Domino’s Pizza, Inc.		(23,666	)		(2,689,700	)		(419,539	)
Donaldson Co., Inc.		(214,050	)		(5,907,365	)		(1,447,393	)
DreamWorks Animation SKG, Inc.		(80,269	)		(1,921,836	)		(1,358,758	)
DSW, Inc.		(123,278	)		(2,899,043	)		288,015
Duke Energy Corp.		(79,221	)		(5,585,081	)		(1,211,289	)
Dunkin’ Brands Group, Inc.		(181,643	)		(7,467,796	)		(455,472	)
E*TRADE Financial Corp.		(85,845	)		(2,571,058	)		554,559
Eaton Corp plc		(55,968	)		(2,795,115	)		(547,853	)
Eaton Vance Corp.		(153,229	)		(4,387,218	)		(1,027,895	)
Ecolab, Inc.		(36,471	)		(4,205,106	)		(120,354	)
Edgewell Personal Care Co.		(33,448	)		(2,416,190	)		(407,155	)
Emerson Electric Co.		(119,618	)		(5,381,179	)		(858,096	)
Envision Healthcare Holdings, Inc.		(407,378	)		(9,546,225	)		(788,955	)
Estee Lauder Cos., Inc. (The)		(33,430	)		(2,982,290	)		(60,508	)
Esterline Technologies Corp.		(59,592	)		(4,868,117	)		1,171,029
Express Scripts Holding Co.		(24,189	)		(2,073,566	)		240,040
Exxon Mobil Corp.		(54,910	)		(4,048,344	)		(1,098,919	)
F5 Networks, Inc.		(23,894	)		(2,322,355	)		(397,738	)
Fairchild Semiconductor International, Inc.		(23,805	)		(477,290	)		4,761
Federated Investors, Inc.		(18,667	)		(530,796	)		(6,440	)
FEI Co.		(34,784	)		(2,680,375	)		(1,037,339	)
FireEye, Inc.		(229,025	)		(3,806,148	)		34,106
First Data Corp.		(632,089	)		(7,765,404	)		768,179
First Horizon National Corp.		(520,143	)		(6,824,717	)		(342,854	)
First Republic Bank		(22,558	)		(1,493,620	)		(85,215	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
FleetCor Technologies, Inc.		(51,098	)	$	(6,888,228	)	$	(425,429	)
FLIR Systems, Inc.		(80,556	)		(2,447,411	)		(45,797	)
Flowserve Corp.		(131,564	)		(5,321,371	)		(621,375	)
Fluor Corp.		(55,382	)		(2,554,218	)		(175,007	)
FMC Corp.		(293,395	)		(10,849,564	)		(2,737,559	)
Fortinet, Inc.		(79,279	)		(2,387,542	)		(116,882	)
Fossil Group, Inc.		(10,373	)		(295,594	)		(348	)
Franklin Resources, Inc.		(63,989	)		(2,268,410	)		133,097
Freeport-McMoRan, Inc.		(429,034	)		(2,478,104	)		(2,301,335	)
Frontier Communications Corp.		(395,752	)		(1,895,652	)		(59,363	)
FTI Consulting, Inc.		(12,234	)		(422,542	)		(75,137	)
Gap, Inc. (The)		(175,799	)		(4,120,824	)		390,369
Gartner, Inc.		(35,278	)		(3,039,978	)		(396,452	)
GCP Applied Technologies, Inc.		(32,853	)		(1,559,439	)		703,947
General Electric Co.		(132,907	)		(4,060,309	)		(123,604	)
Genesee & Wyoming, Inc.		(158,331	)		(8,165,465	)		(1,168,148	)
Gentex Corp.		(214,872	)		(2,979,305	)		(340,468	)
Genworth Financial, Inc.		(1,621,487	)		(5,702,509	)		1,519,073
GNC Holdings, Inc.		(161,983	)		(4,951,027	)		1,016,460
Graco, Inc.		(41,951	)		(2,861,989	)		(451,720	)
Granite Construction, Inc.		(7,431	)		(281,370	)		(57,112	)
Greif, Inc.		(49,504	)		(1,394,948	)		(450,066	)
Groupon, Inc.		(118,406	)		(308,361	)		(76,458	)
H&R Block, Inc.		(93,427	)		(1,998,366	)		(150,455	)
Hain Celestial Group, Inc. (The)		(214,154	)		(8,062,293	)		(2,591,868	)
Halliburton Co.		(143,120	)		(4,777,458	)		(1,704,447	)
Halyard Health, Inc.		(39,793	)		(1,165,515	)		(128,554	)
Harley-Davidson, Inc.		(41,996	)		(1,850,785	)		(51,634	)
Harman International Industries, Inc.		(16,468	)		(1,338,871	)		156,139
Henry Schein, Inc.		(11,806	)		(1,832,291	)		(255,010	)
Hershey Co. (The)		(104,791	)		(9,186,452	)		(2,706,278	)
Hertz Global Holdings, Inc.		(162,108	)		(2,335,976	)		541,441
Hexcel Corp.		(37,421	)		(1,705,661	)		147,451
Hilton Worldwide Holdings, Inc.		(231,138	)		(5,112,773	)		(94,767	)
Huntington Bancshares, Inc.		(42,502	)		(472,622	)		92,654
Huntsman Corp.		(43,612	)		(363,109	)		(223,472	)
IDEX Corp.		(10,858	)		(774,140	)		(117,301	)
IDEXX Laboratories, Inc.		(98,823	)		(6,911,830	)		(2,264,874	)
Illinois Tool Works, Inc.		(17,277	)		(1,535,027	)		(264,545	)
Illumina, Inc.		(85,889	)		(14,766,777	)		2,709,680
Incyte Corp.		(83,489	)		(7,260,041	)		582,590
International Paper Co.		(49,838	)		(1,682,700	)		(429,434	)
Intersil Corp.		(142,321	)		(1,750,081	)		(176,946	)
Intuitive Surgical, Inc.		(2,403	)		(1,295,385	)		(293,983	)
Invesco Ltd.		(30,156	)		(933,173	)		162,989

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

AQR Funds Semi-Annual Report June 2016

247

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
IPG Photonics Corp.		(5,148	)	$	(443,970	)	$	32,130
ITC Holdings Corp.		(242,785	)		(9,450,972	)		(1,916,222	)
Janus Capital Group, Inc.		(49,473	)		(681,736	)		(6,928	)
JB Hunt Transport Services, Inc.		(42,511	)		(3,024,126	)		(416,290	)
Johnson Controls, Inc.		(13,043	)		(583,115	)		5,832
Joy Global, Inc.		(284,715	)		(2,651,164	)		(3,367,711	)
Kansas City Southern		(110,287	)		(7,882,074	)		(2,053,682	)
Kate Spade & Co.		(399,421	)		(7,199,891	)		(1,032,176	)
KBR, Inc.		(248,966	)		(4,232,422	)		936,112
Kellogg Co.		(83,717	)		(5,992,992	)		(842,501	)
Kennametal, Inc.		(235,404	)		(4,062,333	)		(1,142,450	)
Keysight Technologies, Inc.		(57,602	)		(1,482,567	)		(193,075	)
Kinder Morgan, Inc.		(281,920	)		(4,397,829	)		(879,713	)
KLX, Inc.		(121,070	)		(3,713,885	)		(39,285	)
Knowles Corp.		(151,025	)		(1,878,562	)		(187,460	)
Kosmos Energy Ltd.		(121,108	)		(620,284	)		(39,755	)
Laboratory Corp. of America Holdings		(19,299	)		(2,348,302	)		(165,778	)
Landstar System, Inc.		(45,633	)		(2,602,981	)		(530,180	)
Legg Mason, Inc.		(200,641	)		(6,610,972	)		694,069
LendingClub Corp.		(379,388	)		(1,452,866	)		(178,502	)
Leucadia National Corp.		(277,373	)		(4,503,422	)		(303,452	)
Liberty Broadband Corp.		(58,757	)		(3,052,587	)		(472,833	)
Lincoln Electric Holdings, Inc.		(40,653	)		(2,061,332	)		(340,448	)
Linear Technology Corp.		(100,599	)		(4,284,408	)		(396,463	)
LinkedIn Corp.		(31,030	)		(5,543,736	)		(328,692	)
Lions Gate Entertainment Corp.		(402,382	)		(9,403,930	)		1,263,742
Live Nation Entertainment, Inc.		(201,592	)		(4,758,482	)		21,070
Loews Corp.		(246,133	)		(9,048,416	)		(1,065,189	)
M&T Bank Corp.		(52,233	)		(5,648,824	)		(526,684	)
Macy’s, Inc.		(116,028	)		(4,202,256	)		302,555
Manitowoc Co., Inc. (The)		(53,450	)		(385,216	)		93,914
Manitowoc Foodservice, Inc.		(391,251	)		(3,020,282	)		(3,873,561	)
Marathon Oil Corp.		(116,862	)		(1,266,387	)		(487,712	)
Marsh & McLennan Cos., Inc.		(224,840	)		(12,208,659	)		(3,183,887	)
MasterCard, Inc.		(77,044	)		(7,616,162	)		831,668
Maxim Integrated Products, Inc.		(48,976	)		(1,620,738	)		(127,215	)
McDonald’s Corp.		(19,347	)		(2,273,273	)		(54,945	)
McKesson Corp.		(8,528	)		(1,514,947	)		(76,804	)
MDC Holdings, Inc.		(15,956	)		(396,983	)		8,614
MDU Resources Group, Inc.		(310,883	)		(5,204,992	)		(2,256,200	)
Mead Johnson Nutrition Co.		(158,587	)		(11,960,396	)		(2,431,374	)
Mercury General Corp.		(23,547	)		(1,063,378	)		(188,381	)
Mettler-Toledo International, Inc.		(5,750	)		(1,791,991	)		(306,299	)
MGM Resorts International		(88,245	)		(1,892,855	)		(104,129	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Michaels Cos., Inc. (The)		(37,666	)	$	(828,302	)	$	(242,919	)
Microchip Technology, Inc.		(51,690	)		(2,166,027	)		(457,757	)
Micron Technology, Inc.		(52,443	)		(503,196	)		(218,420	)
Microsemi Corp.		(8,885	)		(301,937	)		11,575
Middleby Corp. (The)		(40,586	)		(3,837,869	)		(839,668	)
Monster Beverage Corp.		(20,823	)		(2,709,034	)		(637,430	)
Moody’s Corp.		(7,230	)		(622,678	)		(54,845	)
Motorola Solutions, Inc.		(20,961	)		(1,396,317	)		13,520
Nabors Industries Ltd.		(431,137	)		(3,373,500	)		(959,427	)
National Fuel Gas Co.		(17,792	)		(798,596	)		(213,413	)
National Instruments Corp.		(113,108	)		(3,199,703	)		100,544
National Oilwell Varco, Inc.		(153,310	)		(4,730,239	)		(428,642	)
Navient Corp.		(240,864	)		(2,330,730	)		(547,595	)
NCR Corp.		(61,444	)		(1,572,966	)		(133,333	)
NetApp, Inc.		(168,162	)		(4,428,627	)		293,523
Netflix, Inc.		(17,423	)		(1,861,278	)		267,422
NetScout Systems, Inc.		(305,577	)		(7,050,119	)		251,031
NetSuite, Inc.		(109,307	)		(8,457,759	)		500,209
New York Times Co. (The)		(64,988	)		(869,539	)		83,185
Newell Brands, Inc.		(51,967	)		(2,020,118	)		(503,919	)
News Corp.		(79,253	)		(988,477	)		88,956
Nielsen Holdings plc		(16,963	)		(784,185	)		(97,382	)
Noble Energy, Inc.		(85,103	)		(2,656,916	)		(395,729	)
Nordson Corp.		(66,259	)		(3,933,964	)		(1,605,951	)
NorthStar Asset Management Group, Inc.		(560,652	)		(6,402,987	)		678,730
NOW, Inc.		(62,429	)		(1,113,393	)		(19,069	)
NRG Energy, Inc.		(670,300	)		(7,440,357	)		(2,607,440	)
Nucor Corp.		(200,145	)		(7,463,393	)		(2,425,771	)
Occidental Petroleum Corp.		(136,320	)		(8,240,175	)		(2,060,164	)
Ocwen Financial Corp.		(60,158	)		(400,652	)		297,782
Office Depot, Inc.		(285,443	)		(1,000,760	)		55,944
OGE Energy Corp.		(539,881	)		(13,863,231	)		(3,817,872	)
Oil States International, Inc.		(49,106	)		(1,369,543	)		(245,062	)
Old Dominion Freight Line, Inc.		(42,576	)		(2,379,959	)		(187,799	)
Olin Corp.		(398,771	)		(6,682,774	)		(3,222,698	)
ONEOK, Inc.		(42,239	)		(851,962	)		(1,152,279	)
Oracle Corp.		(91,854	)		(3,226,983	)		(532,601	)
Owens-Illinois, Inc.		(384,042	)		(5,573,664	)		(1,342,933	)
PacWest Bancorp		(131,096	)		(4,959,961	)		(255,038	)
Palo Alto Networks, Inc.		(41,214	)		(6,487,911	)		1,433,426
Pandora Media, Inc.		(529,159	)		(5,839,497	)		(748,532	)
Panera Bread Co.		(12,663	)		(2,365,764	)		(318,032	)
Parker-Hannifin Corp.		(7,118	)		(676,611	)		(92,489	)
Patterson Cos., Inc.		(123,266	)		(5,235,831	)		(667,378	)
PayPal Holdings, Inc.		(154,751	)		(5,502,079	)		(147,880	)
PerkinElmer, Inc.		(13,240	)		(687,686	)		(6,355	)
Pitney Bowes, Inc.		(79,939	)		(1,602,144	)		179,230
Platform Specialty Products Corp.		(783,369	)		(7,534,238	)		577,922
PolyOne Corp.		(24,325	)		(738,915	)		(118,298	)

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

AQR Funds Semi-Annual Report June 2016

248

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
PPG Industries, Inc.		(14,289	)	$	(1,342,531	)	$	(145,668	)
Praxair, Inc.		(91,540	)		(9,326,548	)		(961,632	)
Premier, Inc.		(129,100	)		(4,263,343	)		41,773
Priceline Group, Inc. (The)		(1,779	)		(2,337,143	)		116,222
Primerica, Inc.		(31,060	)		(1,340,741	)		(437,133	)
Principal Financial Group, Inc.		(154,497	)		(6,559,758	)		208,386
ProAssurance Corp.		(25,427	)		(1,233,281	)		(128,334	)
Prosperity Bancshares, Inc.		(74,622	)		(3,059,219	)		(745,757	)
PTC, Inc.		(70,733	)		(2,200,994	)		(457,152	)
PulteGroup, Inc.		(91,196	)		(1,478,457	)		(298,953	)
PVH Corp.		(13,553	)		(1,004,142	)		(272,957	)
Qorvo, Inc.		(43,282	)		(2,036,633	)		(355,130	)
QUALCOMM, Inc.		(80,348	)		(3,819,744	)		(484,498	)
Quanta Services, Inc.		(116,442	)		(2,291,453	)		(400,686	)
Range Resources Corp.		(6,893	)		(267,017	)		(30,347	)
Regal Beloit Corp.		(14,352	)		(783,499	)		(6,579	)
Regeneron Pharmaceuticals, Inc.		(1,780	)		(714,626	)		92,996
Rent-A-Center, Inc.		(62,016	)		(896,538	)		134,982
ResMed, Inc.		(37,030	)		(2,108,636	)		(232,771	)
Restoration Hardware Holdings, Inc.		(77,253	)		(2,533,323	)		317,707
Rice Energy, Inc.		(64,776	)		(627,527	)		(800,136	)
Robert Half International, Inc.		(36,785	)		(1,603,788	)		200,073
Rockwell Collins, Inc.		(16,239	)		(1,448,375	)		65,787
Rollins, Inc.		(41,536	)		(1,058,089	)		(157,670	)
Roper Technologies, Inc.		(26,661	)		(4,921,621	)		374,320
RPC, Inc.		(25,698	)		(307,143	)		(91,947	)
RR Donnelley & Sons Co.		(85,172	)		(1,118,590	)		(322,520	)
salesforce.com, Inc.		(65,518	)		(5,138,577	)		(64,208	)
Sally Beauty Holdings, Inc.		(134,207	)		(3,766,990	)		(180,038	)
Santander Consumer USA Holdings, Inc.		(124,530	)		(1,293,824	)		7,429
SBA Communications Corp.		(58,196	)		(5,878,378	)		(403,298	)
Schlumberger Ltd.		(70,504	)		(4,805,285	)		(770,171	)
Seagate Technology plc		(145,486	)		(3,996,245	)		452,206
Sealed Air Corp.		(65,616	)		(2,739,582	)		(276,785	)
Seattle Genetics, Inc.		(116,473	)		(4,667,564	)		(39,110	)
Sempra Energy		(133,444	)		(12,760,518	)		(2,454,767	)
ServiceNow, Inc.		(50,029	)		(3,713,015	)		391,090
Signet Jewelers Ltd.		(30,027	)		(3,644,450	)		1,169,925
Silgan Holdings, Inc.		(34,072	)		(1,790,232	)		36,887
Silicon Laboratories, Inc.		(20,870	)		(997,450	)		(19,753	)
Sirius XM Holdings, Inc.		(1,694,711	)		(6,812,737	)		118,629
Six Flags Entertainment Corp.		(76,633	)		(4,079,316	)		(361,567	)
SLM Corp.		(1,159,288	)		(7,224,304	)		59,905
Sotheby’s		(225,383	)		(5,838,512	)		(336,982	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Southwestern Energy Co.		(64,757	)	$	(748,436	)	$	(66,208	)
Spectra Energy Corp.		(255,586	)		(5,921,668	)		(3,440,447	)
Spirit Airlines, Inc.		(51,121	)		(2,155,101	)		(138,699	)
Splunk, Inc.		(159,022	)		(8,535,403	)		(80,409	)
Sprouts Farmers Market, Inc.		(408,281	)		(10,488,736	)		1,139,102
SPX Corp.		(177,612	)		(2,095,048	)		(542,490	)
Staples, Inc.		(339,959	)		(3,131,970	)		201,523
Starbucks Corp.		(37,873	)		(2,265,160	)		101,855
Steel Dynamics, Inc.		(46,946	)		(827,761	)		(322,416	)
Stericycle, Inc.		(57,629	)		(6,859,149	)		858,817
Stifel Financial Corp.		(91,351	)		(3,206,631	)		333,642
SunPower Corp.		(188,147	)		(4,078,421	)		1,164,024
Superior Energy Services, Inc.		(424,069	)		(5,348,262	)		(2,458,849	)
SVB Financial Group		(76,367	)		(7,888,341	)		621,257
Synovus Financial Corp.		(119,718	)		(3,790,108	)		319,483
T Rowe Price Group, Inc.		(25,565	)		(1,776,507	)		(88,971	)
Targa Resources Corp.		(188,987	)		(5,266,425	)		(2,697,487	)
TCF Financial Corp.		(120,955	)		(1,580,635	)		50,554
Tempur Sealy International, Inc.		(74,942	)		(5,482,012	)		1,336,220
Tenet Healthcare Corp.		(271,685	)		(7,506,657	)		(2,717	)
Teradata Corp.		(192,315	)		(4,966,387	)		145,050
TerraForm Power, Inc.		(365,773	)		(3,527,760	)		(459,166	)
Texas Instruments, Inc.		(30,081	)		(1,700,459	)		(184,115	)
Tiffany & Co.		(110,110	)		(8,021,483	)		1,344,413
Time Warner, Inc.		(17,024	)		(1,201,882	)		(50,062	)
Timken Co. (The)		(49,862	)		(1,262,480	)		(266,289	)
Toll Brothers, Inc.		(57,863	)		(1,818,208	)		261,115
TransDigm Group, Inc.		(31,483	)		(7,015,155	)		(1,286,597	)
TreeHouse Foods, Inc.		(69,203	)		(5,304,508	)		(1,799,180	)
TRI Pointe Group, Inc.		(124,490	)		(1,280,331	)		(191,141	)
Trimble Navigation Ltd.		(352,383	)		(7,727,756	)		(856,293	)
TripAdvisor, Inc.		(58,793	)		(5,019,746	)		1,239,356
Triumph Group, Inc.		(104,147	)		(2,688,831	)		(1,008,387	)
Twenty-First Century Fox, Inc.		(82,792	)		(2,275,938	)		36,414
Twitter, Inc.		(343,795	)		(6,311,018	)		497,445
Ultimate Software Group, Inc. (The)		(6,495	)		(1,214,638	)		(151,196	)
Umpqua Holdings Corp.		(87,894	)		(1,389,433	)		29,713
Under Armour, Inc.		(43,777	)		(1,676,270	)		(80,501	)
Union Pacific Corp.		(137,738	)		(10,651,280	)		(1,366,361	)
United Natural Foods, Inc.		(54,033	)		(2,061,944	)		(466,801	)
United Rentals, Inc.		(73,169	)		(4,895,006	)		(14,634	)
United Technologies Corp.		(76,558	)		(7,173,612	)		(677,410	)
Urban Outfitters, Inc.		(132,228	)		(3,111,019	)		(525,251	)
USG Corp.		(182,801	)		(4,395,836	)		(532,479	)
Valley National Bancorp		(207,223	)		(1,845,458	)		(44,416	)
Varian Medical Systems, Inc.		(3,775	)		(293,700	)		(16,718	)
VCA, Inc.		(32,121	)		(1,632,722	)		(538,979	)
Veeva Systems, Inc.		(226,471	)		(5,855,155	)		(1,872,036	)

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

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249

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
VeriFone Systems, Inc.		(180,841	)	$	(4,792,715	)	$	1,439,923
Verisk Analytics, Inc.		(11,276	)		(866,995	)		(47,263	)
Vertex Pharmaceuticals, Inc.		(125,859	)		(13,280,282	)		2,453,890
VF Corp.		(42,820	)		(2,534,579	)		(98,423	)
Viacom, Inc.		(40,185	)		(1,599,363	)		(67,109	)
Viavi Solutions, Inc.		(663,726	)		(3,803,351	)		(597,152	)
Visteon Corp.		(21,819	)		(2,512,458	)		1,076,549
WABCO Holdings, Inc.		(31,966	)		(3,164,814	)		237,688
Wabtec Corp.		(7,407	)		(587,993	)		67,799
Waddell & Reed Financial, Inc.		(89,533	)		(2,444,316	)		902,558
Walgreens Boots Alliance, Inc.		(13,323	)		(1,110,101	)		695
Watsco, Inc.		(3,477	)		(402,058	)		(87,121	)
Webster Financial Corp.		(8,614	)		(318,886	)		26,440
WEC Energy Group, Inc.		(216,575	)		(11,554,863	)		(2,587,484	)
Wendy’s Co. (The)		(268,639	)		(2,732,345	)		148,038
WESCO International, Inc.		(53,351	)		(2,104,283	)		(642,760	)
WestRock Co.		(42,283	)		(1,370,330	)		(273,211	)
WEX, Inc.		(50,722	)		(4,069,395	)		(428,124	)
WhiteWave Foods Co. (The)		(352,767	)		(13,167,856	)		(3,391,027	)
Whole Foods Market, Inc.		(142,455	)		(4,668,975	)		107,566
Williams-Sonoma, Inc.		(56,633	)		(3,004,546	)		52,268
WisdomTree Investments, Inc.		(796,866	)		(11,259,407	)		3,458,089
Workday, Inc.		(90,227	)		(6,993,324	)		256,074
WR Grace & Co.		(88,512	)		(4,574,166	)		(1,905,798	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Wynn Resorts Ltd.		(61,191	)	$	(3,653,833	)	$	(1,892,519	)
Yahoo!, Inc.		(295,011	)		(9,684,208	)		(1,396,405	)
Yelp, Inc.		(160,788	)		(4,051,031	)		(830,492	)
Yum! Brands, Inc.		(76,178	)		(5,497,005	)		(819,675	)
Zayo Group Holdings, Inc.		(68,569	)		(1,853,009	)		(62,124	)
Zebra Technologies Corp.		(138,286	)		(7,905,381	)		977,252
Zions Bancorporation		(484,673	)		(12,346,861	)		167,028
Zoetis, Inc.		(120,029	)		(5,484,200	)		(212,376	)
Zynga, Inc.		(1,356,479	)		(3,519,094	)		141,462
								(120,778,371	)
Total of Short Equity Positions								(116,864,726	)
Total of Long and Short Equity Positions								(791,058	)
Net Cash and Other Receivables/ (Payables) (b)								(4,536,427	)
Swaps, at Value							$	(5,327,485	)

(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.

Total Return Basket Swaps Outstanding at June 30, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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 07/20/2016 -12/21/2020		$(9,240,453	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		6,125	$	727,598	$	(56,478	)
Air France-KLM		460,257		3,950,507		(1,045,905	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Atos SE		67,373	$	5,647,830	$	(92,997	)
AXA SA		298,545		7,854,817		(1,951,802	)
BNP Paribas SA		161,062		8,673,288		(1,609,829	)
Capgemini SA		75,191		7,142,085		(653,642	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Christian Dior SE		20,120		$	3,468,220		$	(245,161	)
Cie Generale des Etablissements Michelin		81,963			7,816,356			(92,112	)
CNP Assurances		32,325			462,872			14,043
Credit Agricole SA		103,349			1,223,531			(354,683	)
Danone SA		7,238			505,221			1,313
Dassault Systemes		13,349			1,106,430			(99,969	)
Eiffage SA		22,154			1,451,546			123,383
Electricite de France SA		26,358			377,213			(57,616	)
Eutelsat Communications SA		80,751			2,536,161			(1,011,978	)
Imerys SA		11,999			821,171			(55,564	)
Ipsen SA		19,572			1,189,098			10,096
Lagardere SCA		83,042			2,414,260			(607,926	)
L’Oreal SA		7,254			1,294,491			94,312
Orange SA		369,842			6,553,528			(539,709	)
Orpea		7,503			618,045			(2,824	)
Peugeot SA		364,442			6,232,904			(1,864,669	)
Publicis Groupe SA		28,684			1,776,718			142,311
Rexel SA		27,366			360,122			(16,066	)
Safran SA		24,423			1,719,923			(75,234	)
Sanofi		64,773			5,712,270			(330,753	)
SCOR SE		155,894			5,808,288			(1,199,275	)
SEB SA		14,688			1,512,814			258,209
Societe BIC SA		13,285			2,260,401			(388,620	)
Societe Generale SA		197,005			8,393,827			(2,230,346	)
Sodexo SA		31,244			3,100,121			247,030
Suez		117,259			2,284,411			(455,462	)
Teleperformance		51,910			4,424,056			(2,255	)
Television Francaise 1		24,400			274,666			(16,263	)
Thales SA		71,786			5,647,759			313,657
Valeo SA		88,818			4,203,478			(260,484	)
Veolia Environnement SA		415,108			9,918,255			(954,155	)
Vinci SA		57,802			3,800,757			278,149
								(14,789,274	)
Total of Long Equity Positions								(14,789,274	)
Short Positions
Common Stocks
France
Accor SA		(89,745	)		(3,621,884	)		183,202
Air Liquide SA		(16,235	)		(1,695,900	)		4,511
Airbus Group SE		(48,017	)		(3,477,019	)		724,688
Alstom SA		(82,194	)		(2,055,617	)		157,878
Arkema SA		(12,221	)		(882,589	)		(51,740	)
Bollore SA		(616,741	)		(2,821,528	)		745,259

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Bureau Veritas SA		(133,103	)	$	(2,614,138	)	$	(180,365	)
Carrefour SA		(66,079	)		(1,939,767	)		314,512
Cie de Saint-Gobain		(50,148	)		(2,207,902	)		307,012
Edenred		(178,766	)		(3,216,238	)		(444,193	)
Engie SA		(205,341	)		(3,668,082	)		370,992
Essilor International SA		(30,323	)		(3,681,928	)		(303,396	)
Faurecia		(8,299	)		(327,061	)		63,588
Hermes International		(19,682	)		(6,815,027	)		(521,995	)
Iliad SA		(15,338	)		(3,703,335	)		607,142
Ingenico Group SA		(11,737	)		(1,367,923	)		7,547
JCDecaux SA		(10,705	)		(426,140	)		65,201
Kering		(15,849	)		(2,587,262	)		35,857
Legrand SA		(5,907	)		(343,411	)		41,024
LVMH Moet Hennessy Louis Vuitton SE		(37,065	)		(6,052,289	)		465,306
Natixis SA		(850,171	)		(4,423,780	)		1,224,699
Numericable-SFR SA		(53,405	)		(1,980,435	)		645,854
Pernod Ricard SA		(35,451	)		(4,035,408	)		110,402
Plastic Omnium SA		(61,237	)		(1,945,473	)		233,529
Remy Cointreau SA		(61,393	)		(4,388,475	)		(896,300	)
Renault SA		(7,447	)		(756,301	)		194,071
Schneider Electric SE		(57,325	)		(3,401,870	)		57,489
Technip SA		(64,286	)		(3,093,577	)		(385,902	)
TOTAL SA		(140,514	)		(6,341,075	)		(397,418	)
Vallourec SA		(632,598	)		(2,787,922	)		550,456
Vivendi SA		(318,378	)		(6,679,490	)		723,045
Zodiac Aerospace		(279,108	)		(6,069,905	)		(441,260	)
								4,210,695
Luxembourg
SES SA		(57,583	)		(1,571,767	)		339,055
Total of Short Equity Positions								4,549,750
Total of Long and Short Equity Positions								(10,239,524	)
Net Cash and Other Receivables/ (Payables) (b)								999,071
Swaps, at Value							$	(9,240,453	)

(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 Semi-Annual Report June 2016

251

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Investment Companies		$9,060,000			$—		$9,060,000
BARC
Cash		—			142,073,930		142,073,930
CITI
Cash		(7,390,000	)		—		(7,390,000	)
GSCO
Cash		—			1,964,198		1,964,198
U.S. Treasury Bills		—			67,805,255		67,805,255
GSIN
Investment Companies		426,610,000			—		426,610,000
JPMC
Cash		43,470,000			—		43,470,000
JPMS
Cash		—			36,376,364		36,376,364
MSCL
Cash		—			3,283,378		3,283,378

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Cash		$(5,801,000	)		$—		$(5,801,000	)
DTBK
Cash		(4,700,000	)		—		(4,700,000	)
GSCO
Cash		—			693,675		693,675
JPPC
Cash		—			9,630,607		9,630,607
MACQ
Investment Companies		9,220,024			—		9,220,024
MSCL
Cash		—			39,911,277		39,911,277
SOCG
Cash		(1,350,000	)		—		(1,350,000	)

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

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252

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

LONG INVESTMENTS - 104.1%	SHARES		VALUE (Note 5)
COMMON STOCKS - 13.0%
Belgium - 0.2%
Ageas (a)		6,821	$	237,093
bpost SA (a)		7,864		201,308
Colruyt SA (a)		1,961		108,518
KBC Group NV †(a)		5,308		261,052
Proximus SADP (a)		3,054		97,052
				905,023
Denmark - 0.4%
Danske Bank A/S (a)		3,439		90,516
DSV A/S (a)		3,828		160,960
FLSmidth & Co. A/S (a)		420		14,998
GN Store Nord A/S (a)		776		14,018
H Lundbeck A/S †		2,875		107,776
ISS A/S (a)		6,788		255,299
Jyske Bank A/S (a)		3,003		114,000
Novo Nordisk A/S, Class B (a)		4,581		246,700
TDC A/S		12,076		59,178
Vestas Wind Systems A/S (a)		2,992		203,365
William Demant Holding A/S †(a)		21,390		416,373
				1,683,183
Finland - 0.4%
Amer Sports OYJ (a)		3,224		88,451
Cargotec OYJ, Class B		4,352		177,366
Elisa OYJ (a)		5,568		213,940
Huhtamaki OYJ (a)		1,096		45,484
Kesko OYJ, Class B (a)		2,661		113,004
Metso OYJ (a)		2,968		69,777
Neste OYJ (a)		10,266		368,128
Orion OYJ, Class B (a)		2,265		87,949
Stora Enso OYJ, Class R (a)		14,465		116,329
UPM-Kymmene OYJ (a)		7,743		142,245
				1,422,673
Germany - 1.4%
adidas AG (a)		577		82,828
Allianz SE		1,949		278,039
Aurubis AG (a)		3,871		176,025
Axel Springer SE (a)		487		25,569
Brenntag AG (a)		1,405		68,061
Covestro AG 144A (b)		3,025		134,735
Deutsche Lufthansa AG (a)		41,671		489,948
Duerr AG (a)		366		27,791
Evonik Industries AG (a)		5,394		160,787
Fraport AG Frankfurt Airport Services Worldwide (a)		396		21,202
Freenet AG (a)		11,226		289,109
Fresenius Medical Care AG & Co. KGaA (a)		1,735		151,130
Hannover Rueck SE		4,250		445,304
HeidelbergCement AG (a)		204		15,368
Hella KGaA Hueck & Co. (a)		3,077		98,761
HOCHTIEF AG (a)		1,826		235,756
K+S AG (a)		5,321		108,933
KION Group AG (a)		3,378		163,725
Krones AG		616		65,069
MAN SE (a)		144		14,696

	SHARES		VALUE (Note 5)
Germany - 1.4% (continued)
MTU Aero Engines AG (a)		381	$	35,596
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		1,527		256,070
OSRAM Licht AG (a)		4,159		216,089
ProSiebenSat.1 Media SE †(a)		1,700		74,362
Rheinmetall AG (a)		3,434		204,250
RHOEN-KLINIKUM AG (a)		2,769		81,052
Salzgitter AG (a)		3,573		94,470
Software AG (a)		7,797		265,115
STADA Arzneimittel AG †(a)		4,881		252,968
Suedzucker AG (a)		25,869		569,778
Symrise AG (a)		499		34,037
Talanx AG (a)		6,992		208,243
United Internet AG (a)		1,631		67,799
Zalando SE 144A †(a)(b)		2,304		60,979
				5,473,644
Italy - 0.8%
A2A SpA		320,673		420,486
Assicurazioni Generali SpA (a)		1,565		18,455
Autogrill SpA		2,903		23,470
Banca Generali SpA		1,355		27,159
Banca Mediolanum SpA		7,495		51,442
Buzzi Unicem SpA		9,884		173,207
Davide Campari-Milano SpA (a)		14,962		148,103
Enel SpA		32,822		145,711
Eni SpA (a)		2,726		43,908
FinecoBank Banca Fineco SpA		22,177		144,837
Hera SpA		17,683		48,264
Intesa Sanpaolo SpA		16,470		31,371
Leonardo-Finmeccanica SpA †		3,224		32,603
Mediobanca SpA (a)		51,942		299,279
Poste Italiane SpA 144A (b)		11,679		77,548
Prysmian SpA (a)		6,871		150,813
Recordati SpA		8,526		256,458
Snam SpA (a)		70,092		419,040
Terna Rete Elettrica Nazionale SpA (a)		51,769		288,100
Unipol Gruppo Finanziario SpA		19,861		46,767
UnipolSai SpA		66,421		100,237
				2,947,258
Japan - 7.5%
ABC-Mart, Inc. (a)		1,500		100,668
Air Water, Inc. (a)		2,000		29,428
Aisin Seiki Co. Ltd. (a)		1,000		40,733
Ajinomoto Co., Inc. (a)		1,000		23,561
Alfresa Holdings Corp. (a)		14,800		309,203
Amada Holdings Co. Ltd. (a)		14,500		147,206
ANA Holdings, Inc. (a)		146,000		416,043
Aozora Bank Ltd. (a)		132,000		457,906
Asahi Group Holdings Ltd. (a)		1,800		58,203
Astellas Pharma, Inc. (a)		6,700		105,072
Bandai Namco Holdings, Inc. (a)		13,500		348,388
Bridgestone Corp. (a)		9,500		305,301
Brother Industries Ltd. (a)		2,000		21,453
Canon, Inc. (a)		1,600		45,680
Central Japan Railway Co. (a)		1,300		231,223
Century Tokyo Leasing Corp. (a)		5,200		168,289

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

AQR Funds Semi-Annual Report June 2016

253

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES		VALUE (Note 5)
Japan - 7.5% (continued)
Chiyoda Corp. (a)		11,000	$	72,744
Chubu Electric Power Co., Inc. (a)		19,000		270,389
Chugoku Bank Ltd. (The) (a)		7,000		71,423
Citizen Holdings Co. Ltd. (a)		7,500		36,504
Concordia Financial Group Ltd. †(a)		16,000		61,791
Dai Nippon Printing Co. Ltd. (a)		2,000		22,290
Daicel Corp. (a)		4,400		45,593
Daiichi Sankyo Co. Ltd. (a)		16,600		403,299
Dentsu, Inc. (a)		500		23,438
Don Quijote Holdings Co. Ltd. (a)		1,500		55,744
East Japan Railway Co. (a)		3,000		278,020
Ezaki Glico Co. Ltd. (a)		4,300		251,549
FamilyMart Co. Ltd. (a)		6,800		414,401
Fuji Heavy Industries Ltd. (a)		13,800		474,353
FUJIFILM Holdings Corp. (a)		4,900		190,122
Gunma Bank Ltd. (The) (a)		15,000		54,472
Hakuhodo DY Holdings, Inc. (a)		11,300		135,440
Hankyu Hanshin Holdings, Inc. (a)		12,000		89,479
Haseko Corp. (a)		32,900		331,231
Hikari Tsushin, Inc. (a)		900		75,396
Hiroshima Bank Ltd. (The) (a)		25,000		83,534
Hisamitsu Pharmaceutical Co., Inc. (a)		2,200		126,855
Hitachi Capital Corp. (a)		2,700		53,587
Hitachi Chemical Co. Ltd.		2,000		37,353
Hitachi High-Technologies Corp. (a)		3,800		103,998
Hitachi Metals Ltd. (a)		3,900		39,621
Hokuhoku Financial Group, Inc.		171,000		194,757
Hoshizaki Electric Co. Ltd. (a)		400		39,158
Hoya Corp. (a)		2,000		71,432
Ibiden Co. Ltd. (a)		5,000		56,532
Idemitsu Kosan Co. Ltd. (a)		8,400		182,365
Iida Group Holdings Co. Ltd. (a)		6,800		139,258
Isetan Mitsukoshi Holdings Ltd. (a)		7,000		62,306
ITOCHU Corp. (a)		24,500		299,714
Itochu Techno-Solutions Corp. (a)		8,800		189,581
Izumi Co. Ltd. (a)		2,800		109,078
J Front Retailing Co. Ltd. (a)		13,300		137,899
Japan Airlines Co. Ltd. (a)		23,200		746,405
Japan Petroleum Exploration Co. Ltd. (a)		2,000		40,314
Japan Post Holdings Co. Ltd. (a)		8,000		97,323
JSR Corp. (a)		3,700		49,000
JTEKT Corp. (a)		9,600		108,811
JX Holdings, Inc. (a)		3,800		14,833
Kajima Corp. (a)		36,000		250,082
Kaken Pharmaceutical Co. Ltd. (a)		2,100		137,680
Kamigumi Co. Ltd. (a)		5,000		46,214
Kaneka Corp. (a)		36,000		240,201
Kao Corp. (a)		1,600		93,187
KDDI Corp. (a)		14,800		450,064
Keihan Electric Railway Co. Ltd. (a)		13,000		90,082
Kewpie Corp. (a)		12,300		392,331
Kobayashi Pharmaceutical Co. Ltd. (a)		600		26,644
Konami Holdings Corp. (a)		15,200		579,878
Konica Minolta, Inc. (a)		6,000		43,707
Kose Corp. (a)		2,600		220,323
Kuraray Co. Ltd. (a)		6,600		78,748
Kurita Water Industries Ltd. (a)		1,700		37,896

	SHARES		VALUE (Note 5)
Japan - 7.5% (continued)
Lawson, Inc. (a)		900	$	71,851
Marubeni Corp. (a)		11,300		51,050
Maruichi Steel Tube Ltd. (a)		1,000		34,950
Medipal Holdings Corp. (a)		15,400		253,189
MEIJI Holdings Co. Ltd. (a)		2,700		277,439
Miraca Holdings, Inc. (a)		1,300		56,378
Mitsubishi Chemical Holdings Corp. (a)		36,400		166,857
Mitsubishi Electric Corp. (a)		7,000		83,568
Mitsubishi Gas Chemical Co., Inc.		57,000		297,364
Mitsubishi Motors Corp. (a)		17,300		79,863
Mitsubishi Tanabe Pharma Corp. (a)		19,600		354,136
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)		48,600		186,749
Mitsui & Co. Ltd. (a)		10,200		121,759
Mitsui Chemicals, Inc. (a)		84,000		308,680
Mixi, Inc.		2,800		115,767
Mizuho Financial Group, Inc.		78,900		113,542
MS&AD Insurance Group Holdings, Inc. (a)		13,000		336,832
Nagoya Railroad Co. Ltd. (a)		35,000		197,205
Nankai Electric Railway Co. Ltd. (a)		39,000		219,913
Nexon Co. Ltd. (a)		16,200		239,761
NH Foods Ltd. (a)		2,000		48,988
NHK Spring Co. Ltd. (a)		50,700		411,475
Nikon Corp. (a)		7,900		106,964
Nippon Express Co. Ltd. (a)		20,000		91,394
Nippon Shokubai Co. Ltd. (a)		4,800		276,078
Nippon Telegraph & Telephone Corp. (a)		9,200		431,433
Nippon Yusen KK		71,000		124,906
Nissan Motor Co. Ltd. (a)		7,900		70,502
Nisshin Seifun Group, Inc. (a)		9,800		157,534
Nissin Foods Holdings Co. Ltd. (a)		700		38,228
Nitori Holdings Co. Ltd. (a)		2,900		351,724
NOK Corp. (a)		2,600		44,215
Nomura Holdings, Inc. (a)		5,700		20,272
Nomura Research Institute Ltd. (a)		3,100		113,693
NTN Corp. (a)		5,000		13,492
NTT Data Corp. (a)		2,800		132,239
Obayashi Corp. (a)		32,300		343,895
Obic Co. Ltd. (a)		500		27,523
Oji Holdings Corp. (a)		4,000		15,356
Oracle Corp. Japan (a)		2,200		117,311
ORIX Corp. (a)		23,500		304,101
Osaka Gas Co. Ltd. (a)		41,000		157,624
Otsuka Corp. (a)		5,000		233,807
Otsuka Holdings Co. Ltd. (a)		10,800		497,695
Park24 Co. Ltd. (a)		7,000		240,551
Pola Orbis Holdings, Inc. (a)		6,300		592,894
Renesas Electronics Corp. †(a)		3,300		18,875
Resona Holdings, Inc. (a)		152,000		555,547
Sankyo Co. Ltd. (a)		4,300		161,220
Santen Pharmaceutical Co. Ltd. (a)		10,500		165,030
Secom Co. Ltd. (a)		700		51,753
Seiko Epson Corp. (a)		3,600		57,714
Sekisui Chemical Co. Ltd. (a)		7,600		93,638
Sekisui House Ltd. (a)		5,000		87,560
Seven & i Holdings Co. Ltd. (a)		5,600		234,797

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

AQR Funds Semi-Annual Report June 2016

254

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES		VALUE (Note 5)
Japan - 7.5% (continued)
Shimadzu Corp. (a)		10,000	$	150,333
Shimamura Co. Ltd. (a)		3,400		505,875
Shimizu Corp. (a)		24,000		224,856
Shinsei Bank Ltd.		182,000		265,171
Shionogi & Co. Ltd.		800		43,733
Sohgo Security Services Co. Ltd. (a)		3,900		192,797
Sojitz Corp. (a)		181,000		428,885
Sugi Holdings Co. Ltd. (a)		2,700		150,546
Sumitomo Chemical Co. Ltd. (a)		35,000		144,412
Sumitomo Corp. (a)		10,000		100,799
Sumitomo Dainippon Pharma Co. Ltd. (a)		8,600		149,062
Sumitomo Rubber Industries Ltd. (a)		22,400		299,889
Sundrug Co. Ltd. (a)		2,200		206,569
Suntory Beverage & Food Ltd. (a)		1,300		58,826
Suzuken Co. Ltd. (a)		7,570		238,275
Taisei Corp. (a)		24,000		197,201
Taisho Pharmaceutical Holdings Co. Ltd. (a)		1,100		115,753
Takashimaya Co. Ltd. (a)		20,000		143,251
Teijin Ltd. (a)		21,000		69,585
Toho Gas Co. Ltd. (a)		72,000		589,156
Tohoku Electric Power Co., Inc. (a)		7,100		89,606
Tokyo Broadcasting System Holdings, Inc. (a)		6,900		93,330
Tokyo Electric Power Co. Holdings, Inc. †(a)		77,800		329,486
Tokyo Gas Co. Ltd. (a)		19,000		78,446
Tokyu Corp. (a)		26,000		228,272
Toppan Printing Co. Ltd. (a)		10,000		85,987
Tosoh Corp. (a)		57,000		262,920
Toyo Suisan Kaisha Ltd. (a)		4,700		190,646
Toyoda Gosei Co. Ltd. (a)		12,400		220,836
Toyota Boshoku Corp. (a)		4,800		100,200
Tsuruha Holdings, Inc. (a)		1,200		145,306
West Japan Railway Co. (a)		6,200		392,915
Yamada Denki Co. Ltd. (a)		37,500		197,956
Yamaguchi Financial Group, Inc.		45,000		425,533
Yamaha Corp. (a)		2,300		61,993
Yamazaki Baking Co. Ltd.		13,000		362,930
				29,335,003
Netherlands - 0.4%
Aalberts Industries NV (a)		647		19,396
ABN AMRO Group NV CVA 144A (b)		1,735		28,525
ASM International NV (a)		3,341		128,957
BOSKALIS WESTMINSTER (a)		2,335		79,676
Delta Lloyd NV		3,895		13,686
Heineken NV (a)		2,251		206,466
Koninklijke Ahold NV (a)		16,679		368,315
NN Group NV (a)		13,434		369,817
Randstad Holding NV (a)		6,213		248,464
SBM Offshore NV (a)		6,091		70,589
Wolters Kluwer NV (a)		5,171		209,380
				1,743,271
Norway - 0.1%
DNB ASA (a)		5,315		63,620
Gjensidige Forsikring ASA (a)		957		15,944

	SHARES		VALUE (Note 5)
Norway - 0.1% (continued)
Marine Harvest ASA †(a)		10,234	$	172,620
Orkla ASA (a)		10,217		90,865
Yara International ASA (a)		3,769		119,729
				462,778
Portugal - 0.0% (c)
EDP - Energias de Portugal SA		22,108		67,685
NOS SGPS SA		2,272		13,750
				81,435
Spain - 0.5%
Aena SA 144A (a)(b)		425		56,334
Almirall SA		18,248		274,362
Banco de Sabadell SA		33,635		44,541
Ebro Foods SA		21,521		495,373
Enagas SA (a)		1,371		41,884
Endesa SA (a)		15,545		311,918
Ferrovial SA (a)		2,727		53,389
Gamesa Corp. Tecnologica SA		6,133		122,194
Gas Natural SDG SA (a)		3,104		61,700
Iberdrola SA (a)		25,260		172,313
Red Electrica Corp. SA (a)		471		42,086
Repsol SA (a)		18,375		235,547
Tecnicas Reunidas SA		3,029		90,785
				2,002,426
Sweden - 0.4%
BillerudKorsnas AB		2,929		43,708
Boliden AB (a)		3,519		68,776
Electrolux AB, Series B (a)		10,050		274,012
Husqvarna AB, Class B		8,619		64,181
ICA Gruppen AB		4,887		163,789
Modern Times Group MTG AB, Class B		1,696		45,082
Saab AB, Class B		506		15,779
Securitas AB, Class B (a)		16,862		260,312
SKF AB, Class B (a)		899		14,405
Svenska Cellulosa AB SCA, Class B (a)		9,861		316,840
Swedish Match AB (a)		1,421		49,590
Tele2 AB, Class B (a)		3,935		34,547
Telia Co. AB		31,245		147,960
				1,498,981
Switzerland - 0.8%
Adecco Group AG (a)		1,020		51,447
Baloise Holding AG (a)		553		61,594
Barry Callebaut AG †(a)		69		84,956
DKSH Holding AG		264		17,294
Flughafen Zuerich AG		545		96,449
Galenica AG		360		485,309
Georg Fischer AG (a)		123		98,327
Givaudan SA (a)		21		42,284
Helvetia Holding AG (a)		108		56,187
Kuehne + Nagel International AG (a)		110		15,412
Lonza Group AG †(a)		1,414		234,882
Nestle SA (a)		3,903		302,398
Novartis AG (a)		3,446		284,428
Partners Group Holding AG (a)		177		75,856
Roche Holding AG (a)		315		83,122
Straumann Holding AG (a)		47		18,542

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

AQR Funds Semi-Annual Report June 2016

255

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES		VALUE (Note 5)
Switzerland - 0.8% (continued)
Swiss Life Holding AG †(a)		919	$	212,379
Swiss Re AG (a)		6,478		565,791
Swisscom AG (a)		326		161,959
UBS Group AG (a)		7,364		95,552
				3,044,168
United Kingdom - 0.1%
Fiat Chrysler Automobiles NV (a)		2,914		17,937
Subsea 7 SA †(a)		28,174		276,936
Unilever NV CVA (a)		3,965		185,176
				480,049
TOTAL COMMON STOCKS (cost $50,031,376)				51,079,892
PREFERRED STOCKS - 0.1%
Germany - 0.1%
FUCHS PETROLUB SE (a)		540		21,244
Henkel AG & Co. KGaA (a)		2,836		346,589
TOTAL PREFERRED STOCKS (cost $328,602)				367,833
SHORT-TERM INVESTMENTS - 91.0%
Investment Companies - 61.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (d)		288,227		288,227
Dreyfus Treasury Cash Management, Class I, 0.240% (d)		1,152,907		1,152,907
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(d)(e)		215,946,055		215,946,055
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(d)(e)		21,230,963		21,230,963
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (d)		1,441,133		1,441,133
Total Investment Companies (cost $240,059,285)				240,059,285
		PRINCIPAL AMOUNT (000’s)
U.S. Treasury Obligations - 30.0%
U.S. Treasury Bill, 0.340%, 10/13/2016 (f)	$	1,092		1,091,266
U.S. Treasury Bill, 0.351%, 10/20/2016 ^(f)		15,295		15,283,927
U.S. Treasury Bill, 0.370%, 07/21/2016 ^(f)		38,901		38,897,032
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(f)		12,517		12,504,721
U.S. Treasury Bill, 0.381%, 11/10/2016 ^(f)		16,611		16,595,435
U.S. Treasury Bill, 0.384%, 10/06/2016 ^(f)		9,870		9,863,190

	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Obligations - 30.0% (continued)
U.S. Treasury Bill, 0.396%, 11/03/2016 ^(f)	$	3,583		$	3,579,986
U.S. Treasury Bill, 0.400%, 12/15/2016 ^(f)		1,163			1,161,514
U.S. Treasury Bill, 0.401%, 12/22/2016 (f)		3,164			3,159,665
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(f)		12,786			12,782,088
U.S. Treasury Bill, 0.480%, 11/25/2016 (f)		2,214			2,211,662
U.S. Treasury Bill, 0.499%, 07/07/2016 (f)		1,661			1,660,983
Total U.S. Treasury Obligations (cost $118,755,633)					118,791,469
TOTAL SHORT-TERM INVESTMENTS (cost $358,814,918)					358,850,754
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $409,174,896)					410,298,479
SECURITIES SOLD SHORT - (9.8)%	SHARES
COMMON STOCKS - (9.7)%
Austria - (0.1)%
ams AG		(9,241	)		(256,553	)
Belgium - (0.2)%
Anheuser-Busch InBev SA/NV		(3,468	)		(458,596	)
Solvay SA		(354	)		(33,066	)
Telenet Group Holding NV †		(5,062	)		(231,467	)
UCB SA		(774	)		(58,118	)
					(781,247	)
Denmark - (0.2)%
AP Moeller - Maersk A/S, Class B		(131	)		(171,106	)
Coloplast A/S, Class B		(2,296	)		(171,866	)
Novozymes A/S, Class B		(3,115	)		(149,585	)
Pandora A/S		(541	)		(73,684	)
Topdanmark A/S †		(1,179	)		(28,099	)
Tryg A/S		(7,458	)		(133,532	)
					(727,872	)
Finland - (0.2)%
Fortum OYJ		(5,921	)		(95,129	)
Kone OYJ, Class B		(734	)		(33,874	)
Nokia OYJ		(102,825	)		(585,634	)
Nokian Renkaat OYJ		(4,703	)		(168,565	)
Wartsila OYJ Abp		(357	)		(14,566	)
					(897,768	)
Germany - (0.7)%
BASF SE		(1,078	)		(82,660	)
Bayer AG		(2,119	)		(212,821	)
Bayerische Motoren Werke AG		(2,500	)		(181,938	)
Beiersdorf AG		(1,078	)		(102,059	)
Bilfinger SE †		(350	)		(10,259	)
Commerzbank AG		(13,867	)		(90,307	)

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

AQR Funds Semi-Annual Report June 2016

256

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES			VALUE (Note 5)
Germany - (0.7)% (continued)
Daimler AG		(2,456	)	$	(146,963	)
Deutsche Bank AG †		(31,260	)		(432,111	)
Deutsche Post AG		(4,985	)		(140,440	)
Deutsche Telekom AG		(9,017	)		(153,760	)
E.ON SE		(19,738	)		(199,251	)
HUGO BOSS AG		(1,131	)		(64,300	)
Infineon Technologies AG		(7,427	)		(107,516	)
LANXESS AG		(2,131	)		(93,493	)
Linde AG		(218	)		(30,375	)
Merck KGaA		(1,340	)		(136,202	)
Rocket Internet SE 144A †(b)		(2,513	)		(49,066	)
RWE AG †		(28,302	)		(450,715	)
Telefonica Deutschland Holding AG		(5,734	)		(23,619	)
ThyssenKrupp AG		(6,040	)		(121,406	)
					(2,829,261	)
Italy - (0.2)%
Azimut Holding SpA		(7,985	)		(130,282	)
Banca Popolare dell’Emilia Romagna SC		(10,589	)		(38,877	)
Luxottica Group SpA		(525	)		(25,587	)
Mediaset SpA		(45,867	)		(160,399	)
Moncler SpA		(3,741	)		(59,060	)
Saipem SpA †		(221,606	)		(88,605	)
Unione di Banche Italiane SpA		(75,619	)		(208,826	)
					(711,636	)
Japan - (5.9)%
Acom Co. Ltd. †		(15,400	)		(74,606	)
Advantest Corp.		(21,200	)		(236,508	)
Aeon Co. Ltd.		(15,600	)		(242,214	)
AEON Financial Service Co. Ltd.		(1,800	)		(38,975	)
Alps Electric Co. Ltd.		(9,700	)		(184,284	)
Asahi Kasei Corp.		(5,000	)		(34,795	)
Asics Corp.		(21,700	)		(366,620	)
Bank of Kyoto Ltd. (The)		(22,000	)		(134,941	)
Benesse Holdings, Inc.		(11,300	)		(265,276	)
Calbee, Inc.		(10,800	)		(451,828	)
Chiba Bank Ltd. (The)		(31,000	)		(146,499	)
Chugai Pharmaceutical Co. Ltd.		(8,900	)		(317,180	)
Chugoku Electric Power Co., Inc. (The)		(17,800	)		(226,294	)
Credit Saison Co. Ltd.		(4,500	)		(75,593	)
Daido Steel Co. Ltd.		(23,000	)		(78,777	)
Dai-ichi Life Insurance Co. Ltd. (The)		(8,000	)		(89,555	)
Daikin Industries Ltd.		(1,100	)		(92,449	)
Daiwa Securities Group, Inc.		(25,000	)		(131,709	)
DeNA Co. Ltd.		(3,700	)		(86,556	)
Denso Corp.		(7,100	)		(249,816	)
Disco Corp.		(1,000	)		(90,440	)
Eisai Co. Ltd.		(3,200	)		(178,675	)
Electric Power Development Co. Ltd.		(1,800	)		(41,937	)
FANUC Corp.		(2,600	)		(422,950	)
Fast Retailing Co. Ltd.		(1,600	)		(429,569	)
Fukuoka Financial Group, Inc.		(35,000	)		(115,404	)
Hachijuni Bank Ltd. (The)		(40,200	)		(175,082	)
Hamamatsu Photonics KK		(8,600	)		(241,308	)
Hirose Electric Co. Ltd.		(300	)		(36,890	)
Hitachi Construction Machinery Co. Ltd.		(11,900	)		(173,693	)
Hitachi Ltd.		(49,000	)		(205,303	)

	SHARES			VALUE (Note 5)
Japan - (5.9)% (continued)
Hokuriku Electric Power Co.		(1,400	)	$	(17,348	)
Honda Motor Co. Ltd.		(5,500	)		(137,969	)
IHI Corp.		(147,000	)		(396,237	)
Inpex Corp.		(37,500	)		(293,273	)
Isuzu Motors Ltd.		(1,600	)		(19,707	)
Iyo Bank Ltd. (The)		(53,000	)		(324,607	)
Japan Airport Terminal Co. Ltd.		(4,700	)		(170,522	)
Japan Display, Inc. †		(100,900	)		(164,146	)
Japan Post Bank Co. Ltd.		(7,600	)		(89,366	)
JFE Holdings, Inc.		(19,000	)		(247,859	)
JGC Corp.		(8,000	)		(114,525	)
Kakaku.com, Inc.		(10,500	)		(208,632	)
Kansai Electric Power Co., Inc. (The) †		(12,000	)		(116,871	)
Kansai Paint Co. Ltd.		(16,400	)		(331,111	)
Kawasaki Heavy Industries Ltd.		(44,000	)		(124,064	)
Keikyu Corp.		(40,000	)		(402,524	)
Keio Corp.		(8,000	)		(75,463	)
Keisei Electric Railway Co. Ltd.		(9,000	)		(116,008	)
Keyence Corp.		(100	)		(68,233	)
Kikkoman Corp.		(14,000	)		(516,600	)
Kintetsu Group Holdings Co. Ltd.		(4,000	)		(17,118	)
Kirin Holdings Co. Ltd.		(3,900	)		(65,778	)
Kobe Steel Ltd.		(472,000	)		(387,925	)
Koito Manufacturing Co. Ltd.		(2,700	)		(124,320	)
Komatsu Ltd.		(8,700	)		(151,134	)
Kubota Corp.		(8,000	)		(108,203	)
Kyocera Corp.		(1,500	)		(71,374	)
Kyowa Hakko Kirin Co. Ltd.		(3,800	)		(64,812	)
Kyushu Electric Power Co., Inc. †		(31,900	)		(319,938	)
Kyushu Financial Group, Inc.		(13,000	)		(64,436	)
LIXIL Group Corp.		(2,800	)		(45,981	)
M3, Inc.		(3,400	)		(118,660	)
Mabuchi Motor Co. Ltd.		(2,200	)		(93,180	)
Marui Group Co. Ltd.		(1,200	)		(16,154	)
Mazda Motor Corp.		(8,300	)		(109,836	)
Minebea Co. Ltd.		(19,500	)		(132,481	)
MISUMI Group, Inc.		(9,700	)		(175,131	)
Mitsubishi Corp.		(2,200	)		(38,736	)
Mitsubishi Heavy Industries Ltd.		(41,000	)		(164,870	)
Mitsubishi Logistics Corp.		(17,000	)		(237,836	)
Mitsubishi Materials Corp.		(25,000	)		(59,859	)
Mitsubishi UFJ Financial Group, Inc.		(27,800	)		(124,623	)
Mitsui OSK Lines Ltd.		(41,000	)		(87,187	)
Murata Manufacturing Co. Ltd.		(1,300	)		(145,749	)
Nabtesco Corp.		(6,300	)		(150,319	)
NGK Insulators Ltd.		(5,000	)		(101,086	)
NGK Spark Plug Co. Ltd.		(29,900	)		(451,334	)
Nidec Corp.		(2,500	)		(190,308	)
Nintendo Co. Ltd.		(2,800	)		(402,358	)
Nippon Paint Holdings Co. Ltd.		(21,300	)		(526,574	)
Nippon Steel & Sumitomo Metal Corp.		(8,300	)		(160,685	)
Nissan Chemical Industries Ltd.		(4,100	)		(119,627	)
Nitto Denko Corp.		(1,200	)		(76,121	)
NSK Ltd.		(5,500	)		(40,260	)
Odakyu Electric Railway Co. Ltd.		(21,000	)		(246,245	)
Olympus Corp.		(6,100	)		(227,784	)
Omron Corp.		(10,500	)		(342,728	)

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

AQR Funds Semi-Annual Report June 2016

257

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES			VALUE (Note 5)
Japan - (5.9)% (continued)
Oriental Land Co. Ltd.		(4,500	)	$	(291,372	)
Panasonic Corp.		(8,000	)		(68,828	)
Pigeon Corp.		(9,200	)		(275,029	)
Rakuten, Inc.		(46,500	)		(504,680	)
Recruit Holdings Co. Ltd.		(5,300	)		(193,631	)
Ricoh Co. Ltd.		(2,600	)		(22,538	)
Rinnai Corp.		(300	)		(26,509	)
Sega Sammy Holdings, Inc.		(17,500	)		(188,477	)
Seibu Holdings, Inc.		(8,200	)		(138,886	)
Seven Bank Ltd.		(45,100	)		(139,986	)
Shikoku Electric Power Co., Inc.		(11,700	)		(138,591	)
Shimano, Inc.		(800	)		(122,318	)
Shin-Etsu Chemical Co. Ltd.		(2,800	)		(164,048	)
Shizuoka Bank Ltd. (The)		(35,000	)		(246,492	)
SMC Corp.		(300	)		(73,808	)
SoftBank Group Corp.		(1,200	)		(67,862	)
Sompo Japan Nipponkoa Holdings, Inc.		(600	)		(15,967	)
Sony Corp.		(6,900	)		(203,288	)
Sony Financial Holdings, Inc.		(22,600	)		(255,535	)
Stanley Electric Co. Ltd.		(10,200	)		(217,834	)
Sumco Corp.		(39,400	)		(252,407	)
Sumitomo Electric Industries Ltd.		(2,500	)		(33,089	)
Sumitomo Heavy Industries Ltd.		(17,000	)		(74,679	)
Sumitomo Metal Mining Co. Ltd.		(19,000	)		(193,275	)
Sumitomo Mitsui Financial Group, Inc.		(3,000	)		(86,625	)
Sumitomo Mitsui Trust Holdings, Inc.		(19,000	)		(61,822	)
Suruga Bank Ltd.		(3,000	)		(67,797	)
Sysmex Corp.		(800	)		(55,087	)
T&D Holdings, Inc.		(28,400	)		(241,174	)
Taiheiyo Cement Corp.		(15,000	)		(35,529	)
Taiyo Nippon Sanso Corp.		(52,200	)		(479,769	)
Takeda Pharmaceutical Co. Ltd.		(4,200	)		(181,138	)
TDK Corp.		(300	)		(16,793	)
THK Co. Ltd.		(1,000	)		(17,044	)
Tobu Railway Co. Ltd.		(20,000	)		(109,771	)
Tokio Marine Holdings, Inc.		(1,400	)		(46,608	)
Tokyo Electron Ltd.		(1,700	)		(143,665	)
Toray Industries, Inc.		(2,000	)		(17,066	)
Toyo Seikan Group Holdings Ltd.		(2,400	)		(45,859	)
Toyota Industries Corp.		(2,400	)		(95,424	)
Toyota Motor Corp.		(2,900	)		(142,966	)
Unicharm Corp.		(4,400	)		(98,857	)
USS Co. Ltd.		(5,200	)		(85,938	)
Yahoo Japan Corp.		(54,500	)		(241,673	)
Yakult Honsha Co. Ltd.		(7,900	)		(410,588	)
Yamaha Motor Co. Ltd.		(25,700	)		(392,046	)
Yamato Holdings Co. Ltd.		(11,900	)		(273,236	)
Yaskawa Electric Corp.		(24,800	)		(323,799	)
Yokogawa Electric Corp.		(3,100	)		(34,959	)
Yokohama Rubber Co. Ltd. (The)		(5,000	)		(62,710	)
					(23,208,613	)
Luxembourg - (0.3)%
APERAM SA		(2,591	)		(90,698	)
ArcelorMittal †		(83,662	)		(381,432	)
Millicom International Cellular SA SDR		(4,054	)		(248,670	)
Tenaris SA		(25,630	)		(370,433	)
					(1,091,233	)

	SHARES			VALUE (Note 5)
Netherlands - (0.4)%
Aegon NV		(20,108	)	$	(79,675	)
Altice NV, Class A †		(21,729	)		(324,445	)
ASML Holding NV		(6,666	)		(656,189	)
Fugro NV CVA †		(5,670	)		(99,825	)
Gemalto NV		(615	)		(37,259	)
Koninklijke DSM NV		(1,183	)		(68,248	)
Koninklijke KPN NV		(56,673	)		(202,007	)
Koninklijke Vopak NV		(4,260	)		(212,061	)
OCI NV †		(1,379	)		(18,681	)
QIAGEN NV †		(976	)		(21,269	)
					(1,719,659	)
Norway - (0.2)%
Norsk Hydro ASA		(37,775	)		(138,288	)
Schibsted ASA, Class A		(10,634	)		(318,763	)
Statoil ASA		(12,571	)		(217,208	)
					(674,259	)
Portugal - 0.0% (c)
Galp Energia SGPS SA		(2,434	)		(33,853	)
Spain - (0.5)%
Abertis Infraestructuras SA		(18,174	)		(268,568	)
Amadeus IT Holding SA, Class A		(2,855	)		(125,788	)
Atresmedia Corp. de Medios de Comunicacion SA		(6,437	)		(62,918	)
Banco Bilbao Vizcaya Argentaria SA		(24,794	)		(142,056	)
Banco Santander SA		(29,457	)		(114,313	)
Bankia SA		(119,061	)		(86,673	)
CaixaBank SA		(19,584	)		(43,163	)
Cellnex Telecom SAU 144A (b)		(19,648	)		(308,327	)
Distribuidora Internacional de Alimentacion SA		(12,266	)		(71,595	)
Mapfre SA		(37,909	)		(83,254	)
Obrascon Huarte Lain SA †		(17,950	)		(63,233	)
Telefonica SA		(37,391	)		(354,983	)
Zardoya Otis SA		(5,150	)		(48,633	)
					(1,773,504	)
Sweden - (0.2)%
Alfa Laval AB		(2,008	)		(31,648	)
Atlas Copco AB, Class A		(3,671	)		(95,344	)
Hennes & Mauritz AB, Class B		(3,390	)		(99,736	)
Sandvik AB		(3,186	)		(31,898	)
Svenska Handelsbanken AB, Class A		(8,278	)		(100,499	)
Telefonaktiebolaget LM Ericsson, Class B		(33,159	)		(254,746	)
Trelleborg AB, Class B		(1,569	)		(27,843	)
Volvo AB, Class B		(2,386	)		(23,703	)
					(665,417	)
Switzerland - (0.5)%
Aryzta AG †		(3,415	)		(126,204	)
Cie Financiere Richemont SA		(4,378	)		(256,265	)
Credit Suisse Group AG †		(54,702	)		(582,709	)
Dufry AG †		(1,693	)		(202,488	)
Julius Baer Group Ltd. †		(1,965	)		(79,088	)
LafargeHolcim Ltd. †		(6,274	)		(262,489	)
OC Oerlikon Corp. AG †		(5,303	)		(46,560	)

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

AQR Funds Semi-Annual Report June 2016

258

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES			VALUE (Note 5)
Switzerland - (0.5)% (continued)
SGS SA		(55	)	$	(125,991	)
STMicroelectronics NV		(38,751	)		(227,570	)
Sunrise Communications Group AG 144A †(b)		(2,482	)		(158,694	)
Zurich Insurance Group AG †		(329	)		(81,389	)
					(2,149,447	)
United Kingdom - (0.1)%
CNH Industrial NV		(14,741	)		(106,926	)
Dialog Semiconductor plc †		(1,452	)		(43,507	)
RELX NV		(23,569	)		(407,759	)
					(558,192	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $41,115,638)					(38,078,514	)
PREFERRED STOCKS - (0.1)%
Germany - (0.1)%
Schaeffler AG		(1,477	)		(19,509	)
Volkswagen AG		(4,287	)		(519,243	)
TOTAL PREFERRED STOCKS SOLD SHORT (proceeds $594,310)					(538,752	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $41,709,948)					(38,617,266	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 94.3% (cost $367,464,948)					371,681,213
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.7% (g)				22,444,265
NET ASSETS - 100.0%				$	394,125,478

† Non-income producing security.

(a) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $41,965,548.

(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

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(1,480,687	)		(0.4	)%
Consumer Staples		4,919,784			1.3
Energy		8,148			0.0	(c)
Financials		2,539,479			0.6
Health Care		4,278,251			1.1
Industrials		4,015,279			1.0
Information Technology		(2,927,821	)		(0.7	)
Materials		(817,112	)		(0.2	)
Telecommunication Services		367,318			0.1
Utilities		1,927,820			0.5
Investment Companies		240,059,285			61.0
U.S. Treasury Obligations		118,791,469			30.0
Total Investments In Securities, At Value		371,681,213			94.3
Other Assets in Excess of Liabilities (g)		22,444,265			5.7
Net Assets	$	394,125,478			100.0	%

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

AQR Funds Semi-Annual Report June 2016

259

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total return swap contracts outstanding as of June 30, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	BIST 30 August Futures	08/2016		TRY		518,480			$(408	)
MSCS	BIST 30 August Futures	08/2016		TRY		614,762			(575	)
BANA	Bovespa Index August Futures	08/2016		BRL		(20,485,746	)		(217,335	)
CITI	Corn September Futures^	08/2016		USD		624,494			(94,519	)
SOCG	Corn September Futures^	08/2016		USD		(3,047,553	)		359,990
SOCG	Corn September Futures^	08/2016		USD		4,095,799			(641,824	)
MACQ	Corn September Futures^	08/2016		USD		3,273,489			(513,964	)
BANA	Hang Seng Index July Futures	07/2016		HKD		55,157,679			315,333
MSCS	Hang Seng Index July Futures	07/2016		HKD		14,010,278			84,115
BANA	H-SHARES Index July Futures	07/2016		HKD		(8,337,265	)		(49,973	)
MSCS	H-SHARES Index July Futures	07/2016		HKD		(414,851	)		(2,758	)
MSCS	KOSPI Index 200 September Futures	09/2016		KRW		5,724,757,166			(88,309	)
BANA	MSCI Taiwan Stock Index July Futures	07/2016		USD		587,050			16,200
BANA	SGX S&P CNX Nifty Index July Futures	07/2016		USD		796,263			20,616
CITI	Soybean November Futures^	10/2016		USD		1,887,767			15,096
SOCG	Soybean November Futures^	10/2016		USD		745,513			4,099
MACQ	Soybean November Futures^	10/2016		USD		1,493,019			6,206
BANA	Swiss Market Index September Futures	09/2016		CHF		6,893,474			298,644
BANA	Taiwan Stock Exchange July Futures	07/2016		TWD		1,701,777			65
BANA	Tel Aviv 25 Index July Futures	07/2016		ILS		6,736,981			(42,721	)
GSIN	WIG20 Index September Futures	09/2016		PLN		1,463,283			2,062
									$(529,960	)

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

Open futures contracts outstanding at June 30, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
6	JPMS	KOSPI Index 200 Futures		09/2016		$645,801		$636,150		$(9,651	)
8	JPPC	LME Copper Futures^		07/2016		958,846		968,470		9,624
5	JPPC	LME Copper Futures^		07/2016		599,832		605,269		5,437
5	JPPC	LME Copper Futures^		07/2016		605,631		605,243		(388	)
3	JPPC	LME Copper Futures^		07/2016		370,378		363,131		(7,247	)
1	JPPC	LME Copper Futures^		07/2016		125,209		121,075		(4,134	)
2	JPPC	LME Copper Futures^		07/2016		247,278		242,162		(5,116	)
1	JPPC	LME Copper Futures^		08/2016		122,159		121,140		(1,019	)
1	JPPC	LME Copper Futures^		09/2016		113,002		121,182		8,180
70	JPPC	LME Copper Futures^		09/2016		8,103,695		8,484,000		380,305
104	MSCL	Silver Futures^		09/2016		9,078,634		9,683,960		605,326
49	MSCL	Soybean Futures^		11/2016		2,750,103		2,825,463		75,360
265	JPMS	BIST 30 Futures		08/2016		886,912		882,565		(4,347	)
16	BARC	CAC40 Index Futures		07/2016		746,009		751,789		5,780
20	BARC	DAX Index Futures		09/2016		5,315,892		5,364,809		48,917
69	BARC	FTSE 100 Index Futures		09/2016		5,527,720		5,899,468		371,748
34	JPMS	FTSE Bursa Malaysia KLCI Index Futures		07/2016		681,046		697,247		16,201

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
58	BARC	FTSE/JSE Top 40 Index Futures		09/2016		$ 1,831,374			$ 1,829,079			$ (2,295	)
43	BARC	Hang Seng Index Futures		07/2016		5,543,993			5,805,036			261,043
41	BARC	IBEX 35 Index Futures		07/2016		3,692,137			3,697,901			5,764
23	BARC	KOSPI Index 200 Futures		09/2016		2,481,921			2,438,577			(43,344	)
47	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		09/2016		1,158,640			1,185,377			26,737
6	BARC	MSCI Taiwan Stock Index Futures		07/2016		184,539			190,500			5,961
38	JPMS	S&P 500 E-Mini Futures		09/2016		3,947,325			3,971,380			24,055
64	JPMS	S&P/Toronto Stock Exchange 60 Index Futures		09/2016		8,149,488			8,067,681			(81,807	)
241	JPMS	SET50 Index Futures		09/2016		1,223,989			1,238,195			14,206
29	JPMS	SGX S&P CNX Nifty Index Futures		07/2016		469,806			483,459			13,653
198	JPMS	SPI 200 Index Futures		09/2016		18,926,156			19,108,290			182,134
14	JPMS	3-Month Euro Euribor Futures		09/2016		3,894,909			3,896,360			1,451
88	JPMS	3-Month Euro Euribor Futures		12/2016		24,495,269			24,498,730			3,461
88	JPMS	3-Month Euro Euribor Futures		03/2017		24,494,924			24,501,171			6,247
70	JPMS	3-Month Euro Euribor Futures		06/2017		19,480,803			19,492,481			11,678
364	JPMS	90-Day EURODollar Futures		12/2016		90,115,231			90,385,750			270,519
364	JPMS	90-Day EURODollar Futures		03/2017		90,173,427			90,367,550			194,123
364	JPMS	90-Day EURODollar Futures		06/2017		90,173,180			90,335,700			162,520
357	JPMS	Australia 3-Year Bond Futures		09/2016		30,078,512			30,135,333			56,821
1,642	GSCO	Euro-SCHATZ Futures		09/2016		203,706,621			204,205,906			499,285
63	GSCO	Euro-Bobl Futures		09/2016		9,246,847			9,340,544			93,697
419	GSCO	Long Gilt Futures		09/2016		68,506,136			71,670,917			3,164,781
156	MSCL	U.S. Treasury 10-Year Note Futures		09/2016		20,779,456			20,745,563			(33,893	)
990	MSCL	U.S. Treasury 2-Year Note Futures		09/2016		215,683,742			217,134,844			1,451,102
33	MSCL	U.S. Treasury 5-Year Note Futures		09/2016		3,962,180			4,031,414			69,234
						979,278,752			987,130,861			7,852,109
Short Contracts:
24	GSCO	Brent Crude Futures^		07/2016		$(1,208,530	)		$(1,193,040	)		$15,490
5	MSCL	Gold 100 OZ Futures^		08/2016		(625,988	)		(660,300	)		(34,312	)
8	JPPC	LME Copper Futures^		07/2016		(957,980	)		(968,470	)		(10,490	)
5	JPPC	LME Copper Futures^		07/2016		(597,235	)		(605,268	)		(8,033	)
5	JPPC	LME Copper Futures^		07/2016		(603,638	)		(605,244	)		(1,606	)
3	JPPC	LME Copper Futures^		07/2016		(369,743	)		(363,132	)		6,611
1	JPPC	LME Copper Futures^		07/2016		(124,981	)		(121,075	)		3,906
2	JPPC	LME Copper Futures^		07/2016		(246,441	)		(242,163	)		4,278
1	JPPC	LME Copper Futures^		08/2016		(121,973	)		(121,140	)		833
1	JPPC	LME Copper Futures^		09/2016		(112,749	)		(121,182	)		(8,433	)
1	JPPC	LME Copper Futures^		09/2016		(113,042	)		(121,200	)		(8,158	)
422	MSCL	Natural Gas Futures^		07/2016		(11,107,147	)		(12,339,280	)		(1,232,133	)
118	MSCL	WTI Crude Futures^		07/2016		(5,897,805	)		(5,702,940	)		194,865
67	BARC	Amsterdam Index Futures		07/2016		(6,244,954	)		(6,473,193	)		(228,239	)
553	BARC	Euro Stoxx 50 Index Futures		09/2016		(17,264,176	)		(17,520,900	)		(256,724	)
56	BARC	FTSE/MIB Index Futures		09/2016		(5,001,715	)		(5,031,029	)		(29,314	)
59	BARC	H-SHARES Index Futures		07/2016		(3,201,917	)		(3,317,662	)		(115,745	)
47	JPMS	MSCI Singapore Index Futures		07/2016		(1,066,969	)		(1,107,052	)		(40,083	)
654	BARC	OMXS30 Index Futures		07/2016		(9,864,472	)		(10,191,816	)		(327,344	)
11	BARC	TOPIX Index Futures		09/2016		(1,421,770	)		(1,326,732	)		95,038

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
80	GSCO	10-Year Japanese Government Bond Futures		09/2016		$ (11,812,970	)		$ (11,839,829	)		$ (26,859	)
46	GSCO	10-Year Japanese Government Bond Futures		09/2016		(67,927,917	)		(68,119,111	)		(191,194	)
416	JPMS	90-Day Sterling Futures		09/2016		(68,806,126	)		(68,965,412	)		(159,286	)
481	JPMS	90-Day Sterling Futures		12/2016		(79,548,651	)		(79,769,264	)		(220,613	)
481	JPMS	90-Day Sterling Futures		03/2017		(79,574,101	)		(79,777,275	)		(203,174	)
61	JPMS	90-Day Sterling Futures		06/2017		(10,109,587	)		(10,117,284	)		(7,697	)
440	JPMS	Australia 10-Year Bond Futures		09/2016		(44,307,728	)		(44,694,152	)		(386,424	)
429	GSCO	Canadian 10-Year Bond Futures		09/2016		(47,987,258	)		(49,157,599	)		(1,170,341	)
133	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2016		(25,525,583	)		(25,513,672	)		11,911
133	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2017		(25,527,155	)		(25,516,245	)		10,910
133	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2017		(25,510,007	)		(25,517,532	)		(7,525	)
464	GSCO	Euro-Bund Futures		09/2016		(83,995,294	)		(86,054,098	)		(2,058,804	)
21	GSCO	Euro-Buxl 30-Year Bond Futures		09/2016		(4,156,582	)		(4,571,460	)		(414,878	)
74	MSCL	U.S. Treasury Long Bond Futures		09/2016		(12,082,215	)		(12,753,438	)		(671,223	)
						(653,024,399	)		(660,499,189	)		(7,474,790	)
						$326,254,353			$326,631,672			$377,319

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

Forward foreign currency exchange contracts outstanding as of June 30, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		9,818,000		$7,128,921		$7,301,115		$172,194
Australian Dollar, Expiring 09/21/16	JPMC	AUD		14,727,000		10,693,394		10,951,673		258,279
Brazilian Real, Expiring 09/21/16*	CITI	BRL		8,416,000		2,328,302		2,557,083		228,781
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		12,624,000		3,492,458		3,835,625		343,167
Canadian Dollar, Expiring 09/21/16	CITI	CAD		12,821,600		9,861,257		9,925,782		64,525
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		19,232,400		14,791,860		14,888,675		96,815
Swiss Franc, Expiring 09/21/16	CITI	CHF		3,178,800		3,276,118		3,270,289		(5,829	)
Swiss Franc, Expiring 09/21/16	JPMC	CHF		4,768,200		4,914,183		4,905,433		(8,750	)
Danish Krone, Expiring 09/21/16	CITI	DKK		224,000		34,251		33,523		(728	)
Euro, Expiring 09/21/16	CITI	EUR		4,687,000		5,257,582		5,216,619		(40,963	)

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 09/21/16	JPMC	EUR		7,014,000		$ 7,867,706		$ 7,806,560		$ (61,146	)
British Pound, Expiring 09/21/16	CITI	GBP		3,007,200		4,177,746		4,006,426		(171,320	)
British Pound, Expiring 09/21/16	JPMC	GBP		4,510,800		6,266,311		6,009,638		(256,673	)
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		1,919,000		247,398		247,594		196
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		2,850,000		367,421		367,714		293
Hungarian Forint, Expiring 09/21/16	CITI	HUF		269,600,000		966,690		947,399		(19,291	)
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		404,400,000		1,449,957		1,421,099		(28,858	)
Indian Rupee, Expiring 09/21/16*	CITI	INR		136,120,000		1,986,483		1,989,067		2,584
Indian Rupee, Expiring 09/21/16*	JPMC	INR		198,180,000		2,891,910		2,895,925		4,015
Japanese Yen, Expiring 09/21/16	CITI	JPY		1,434,157,800		13,107,087		13,926,138		819,051
Japanese Yen, Expiring 09/21/16	JPMC	JPY		2,067,859,200		18,875,202		20,079,585		1,204,383
Korean Won, Expiring 09/21/16*	CITI	KRW		1,348,000,000		1,153,880		1,169,357		15,477
Korean Won, Expiring 09/21/16*	JPMC	KRW		2,022,000,000		1,730,824		1,754,036		23,212
Mexican Peso, Expiring 09/21/16	CITI	MXN		22,000,000		1,168,350		1,193,765		25,415
Mexican Peso, Expiring 09/21/16	JPMC	MXN		33,000,000		1,752,972		1,790,645		37,673
Norwegian Krone, Expiring 09/21/16	CITI	NOK		5,076,000		600,584		606,450		5,866
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		7,614,000		900,878		909,674		8,796
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		7,998,800		5,450,287		5,688,123		237,836
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		11,998,200		8,175,439		8,532,183		356,744
Poland Zloty, Expiring 09/21/16	CITI	PLN		5,992,000		1,517,815		1,516,022		(1,793	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		8,988,000		2,276,725		2,274,032		(2,693	)
Turkish Lira, Expiring 09/21/16	CITI	TRY		15,992,000		5,279,162		5,457,597		178,435
Turkish Lira, Expiring 09/21/16	JPMC	TRY		23,988,000		7,918,754		8,186,393		267,639
South African Rand, Expiring 09/21/16	CITI	ZAR		7,264,000		455,800		485,273		29,473
South African Rand, Expiring 09/21/16	JPMC	ZAR		10,896,000		683,701		727,910		44,209
						$159,047,408		$162,874,422		$3,827,014

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/16	CITI	AUD		(3,742,800	)		$(2,684,919	)		$(2,783,318	)		$(98,399	)
Australian Dollar, Expiring 09/21/16	JPMC	AUD		(5,614,200	)		(4,027,374	)		(4,174,977	)		(147,603	)
Brazilian Real, Expiring 09/21/16*	CITI	BRL		(200,000	)		(55,271	)		(60,767	)		(5,496	)
Brazilian Real, Expiring 09/21/16*	JPMC	BRL		(300,000	)		(82,907	)		(91,151	)		(8,244	)
Canadian Dollar, Expiring 09/21/16	CITI	CAD		(2,459,200	)		(1,884,289	)		(1,903,778	)		(19,489	)
Canadian Dollar, Expiring 09/21/16	JPMC	CAD		(3,688,800	)		(2,826,431	)		(2,855,668	)		(29,237	)
Swiss Franc, Expiring 09/21/16	CITI	CHF		(19,144,600	)		(19,492,411	)		(19,695,599	)		(203,188	)
Swiss Franc, Expiring 09/21/16	JPMC	CHF		(27,974,400	)		(28,464,652	)		(28,779,527	)		(314,875	)
Danish Krone, Expiring 09/21/16	CITI	DKK		(2,597,200	)		(392,046	)		(388,686	)		3,360
Danish Krone, Expiring 09/21/16	JPMC	DKK		(3,886,800	)		(586,697	)		(581,682	)		5,015
Euro, Expiring 09/21/16	CITI	EUR		(2,167,800	)		(2,418,631	)		(2,412,755	)		5,876
Euro, Expiring 09/21/16	JPMC	EUR		(2,794,200	)		(3,107,985	)		(3,109,936	)		(1,951	)
British Pound, Expiring 09/21/16	CITI	GBP		(2,346,000	)		(3,446,228	)		(3,125,524	)		320,704
British Pound, Expiring 09/21/16	JPMC	GBP		(3,519,000	)		(5,169,335	)		(4,688,286	)		481,049
Hong Kong Dollar, Expiring 09/21/16	CITI	HKD		(3,996,000	)		(515,129	)		(515,574	)		(445	)
Hong Kong Dollar, Expiring 09/21/16	JPMC	HKD		(2,820,000	)		(363,552	)		(363,844	)		(292	)
Hungarian Forint, Expiring 09/21/16	CITI	HUF		(68,000,000	)		(243,245	)		(238,959	)		4,286
Hungarian Forint, Expiring 09/21/16	JPMC	HUF		(102,000,000	)		(364,789	)		(358,438	)		6,351
Israeli Shekel, Expiring 09/21/16	CITI	ILS		(7,796,000	)		(2,033,208	)		(2,023,826	)		9,382
Israeli Shekel, Expiring 09/21/16	JPMC	ILS		(11,694,000	)		(3,049,797	)		(3,035,739	)		14,058
Japanese Yen, Expiring 09/21/16	CITI	JPY		(604,354,800	)		(5,775,078	)		(5,868,481	)		(93,403	)
Japanese Yen, Expiring 09/21/16	JPMC	JPY		(906,532,200	)		(8,662,606	)		(8,802,722	)		(140,116	)
Korean Won, Expiring 09/21/16*	CITI	KRW		(6,454,800,000	)		(5,444,701	)		(5,599,383	)		(154,682	)
Korean Won, Expiring 09/21/16*	JPMC	KRW		(9,682,200,000	)		(8,167,043	)		(8,399,075	)		(232,032	)
Mexican Peso, Expiring 09/21/16	CITI	MXN		(54,156,000	)		(2,889,773	)		(2,938,612	)		(48,839	)
Mexican Peso, Expiring 09/21/16	JPMC	MXN		(81,234,000	)		(4,334,653	)		(4,407,917	)		(73,264	)
Norwegian Krone, Expiring 09/21/16	CITI	NOK		(81,766,800	)		(9,854,508	)		(9,768,999	)		85,509
Norwegian Krone, Expiring 09/21/16	JPMC	NOK		(122,197,200	)		(14,726,159	)		(14,599,378	)		126,781

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

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Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 09/21/16	CITI	NZD		(3,828,000	)		$ (2,564,276	)		$ (2,722,175	)		$ (157,899	)
New Zealand Dollar, Expiring 09/21/16	JPMC	NZD		(5,742,000	)		(3,846,409	)		(4,083,262	)		(236,853	)
Poland Zloty, Expiring 09/21/16	CITI	PLN		(2,160,000	)		(541,040	)		(546,498	)		(5,458	)
Poland Zloty, Expiring 09/21/16	JPMC	PLN		(3,240,000	)		(812,010	)		(819,744	)		(7,734	)
Swedish Krona, Expiring 09/21/16	CITI	SEK		(13,335,200	)		(1,611,286	)		(1,581,651	)		29,635
Swedish Krona, Expiring 09/21/16	JPMC	SEK		(19,885,800	)		(2,402,563	)		(2,358,600	)		43,963
Singapore Dollar, Expiring 09/21/16	CITI	SGD		(2,388,400	)		(1,737,949	)		(1,771,513	)		(33,564	)
Singapore Dollar, Expiring 09/21/16	JPMC	SGD		(3,582,600	)		(2,606,902	)		(2,657,268	)		(50,366	)
Turkish Lira, Expiring 09/21/16	CITI	TRY		(2,840,000	)		(956,310	)		(969,208	)		(12,898	)
Turkish Lira, Expiring 09/21/16	JPMC	TRY		(4,260,000	)		(1,433,119	)		(1,453,811	)		(20,692	)
New Taiwan Dollar, Expiring 09/21/16*	CITI	TWD		(57,800,000	)		(1,780,103	)		(1,794,938	)		(14,835	)
New Taiwan Dollar, Expiring 09/21/16*	JPMC	TWD		(61,200,000	)		(1,885,788	)		(1,900,521	)		(14,733	)
South African Rand, Expiring 09/21/16	CITI	ZAR		(2,800,000	)		(178,481	)		(187,054	)		(8,573	)
South African Rand, Expiring 09/21/16	JPMC	ZAR		(4,200,000	)		(267,664	)		(280,581	)		(12,917	)
							(163,687,317	)		(164,699,425	)		(1,012,108	)
							$(4,639,909)			$(1,825,003)			$2,814,906

* 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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265

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total Return Basket Swaps* Outstanding at June 30, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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.	1-60 months maturity ranging from 07/20/2016 - 12/21/2020		$(1,469,173	)

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		15,733	$	253,070	$	(73,998	)
Ireland
DCC plc		3,170		225,185		53,774
Paddy Power Betfair plc		128		14,996		(1,528	)
Shire plc		670		36,176		5,232
						57,478
Luxembourg
Regus plc		28,148		109,943		(1,104	)
South Africa
Mondi plc		7,243		112,309		23,298
Switzerland
Coca-Cola HBC AG		13,325		247,450		22,174
Wolseley plc		962		42,449		7,367
						29,541
United Kingdom
Aggreko plc		11,210		116,459		75,266
Amec Foster Wheeler plc		27,229		135,895		43,139
Ashtead Group plc		1,226		15,255		2,257
Aviva plc		13,329		82,681		(12,420	)
Babcock International Group plc		7,753		95,514		(1,779	)
Barratt Developments plc		28,553		217,309		(62,151	)
Bellway plc		5,801		193,270		(46,113	)
Berkeley Group Holdings plc		11,474		493,790		(106,339	)
Britvic plc		9,875		92,417		(15,143	)
BT Group plc		43,812		271,498		(30,681	)
Bunzl plc		1,811		42,331		13,391

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Close Brothers Group plc		7,321	$	121,738	$	(10,764	)
Compass Group plc		6,499		99,551		24,095
Daily Mail & General Trust plc		2,713		23,703		(2,045	)
Direct Line Insurance Group plc		48,476		234,853		(10,741	)
Dixons Carphone plc		24,565		149,510		(44,076	)
DS Smith plc		14,847		72,032		4,782
easyJet plc		9,931		213,562		(69,249	)
GKN plc		11,710		43,064		(727	)
Greene King plc		12,813		147,810		(14,377	)
Henderson Group plc		20,073		72,926		(15,859	)
Howden Joinery Group plc		13,956		90,114		(18,435	)
HSBC Holdings plc		6,665		43,341		(2,047	)
Imperial Brands plc		5,537		260,227		40,059
Inchcape plc		12,321		116,081		(12,482	)
Indivior plc		110,837		227,934		145,014
Informa plc		1,614		14,536		1,203
Inmarsat plc		3,988		55,960		(12,982	)
Intermediate Capital Group plc		56,855		430,495		(57,988	)
International Consolidated Airlines Group SA		47,160		348,097		(114,198	)
ITV plc		38,890		130,107		(36,861	)
J Sainsbury plc		80,672		272,400		(21,092	)
John Wood Group plc		10,811		83,196		16,321
Jupiter Fund Management plc		10,859		56,540		(3,216	)
Kingfisher plc		35,231		155,663		(4,342	)
Legal & General Group plc		8,137		25,995		(5,163	)
Man Group plc		40,658		83,391		(20,221	)
Marks & Spencer Group plc		18,675		106,569		(26,593	)

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

AQR Funds Semi-Annual Report June 2016

266

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Meggitt plc		6,966		$	32,935		$	4,928
Merlin Entertainments plc		3,648			20,024			1,459
Micro Focus International plc		15,115			283,062			43,030
National Grid plc		37,774			481,457			74,022
Next plc		205			17,784			(4,239	)
Persimmon plc		10,365			263,597			(62,602	)
Playtech plc		17,917			180,102			10,507
Provident Financial plc		3,460			136,929			(30,244	)
Reckitt Benckiser Group plc		1,019			90,723			11,454
Rentokil Initial plc		49,065			97,708			28,998
Rexam plc		1,142			9,250			708
Rightmove plc		3,493			177,544			(6,942	)
Royal Mail plc		52,351			299,913			51,810
Sage Group plc (The)		16,241			120,077			20,303
Sky plc		25,503			359,666			(69,864	)
Smith & Nephew plc		936			13,833			2,061
Sports Direct International plc		3,570			19,516			(4,230	)
SSE plc		5,755			108,346			11,433
Stagecoach Group plc		6,329			22,640			(3,067	)
Taylor Wimpey plc		90,030			219,958			(60,237	)
Travis Perkins plc		1,727			42,101			(8,028	)
United Utilities Group plc		5,302			64,071			9,416
Whitbread plc		329			17,331			(1,938	)
William Hill plc		54,787			282,235			(93,518	)
WM Morrison Supermarkets plc		60,705			152,524			(130	)
WPP plc		10,961			209,387			19,056
								(468,411	)
Total of Long Equity Positions								(433,196	)
Short Positions
Common Stocks
Australia
BHP Billiton plc		(12,010	)		(114,749	)		(37,261	)
Chile
Antofagasta plc		(18,667	)		(90,127	)		(26,598	)
Ireland
Experian plc		(16,503	)		(245,378	)		(67,718	)
Luxembourg
B&M European Value Retail SA		(15,513	)		(56,808	)		3,946
Netherlands
Royal Dutch Shell plc		(6,002	)		(101,640	)		(63,206	)
South Africa
Investec plc		(2,317	)		(12,871	)		(1,531	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
AA plc		(20,308	)	$	(75,245	)	$	10,226
Aberdeen Asset Management plc		(29,637	)		(86,592	)		(24,603	)
Admiral Group plc		(1,846	)		(39,246	)		(10,947	)
ARM Holdings plc		(8,555	)		(106,307	)		(23,641	)
ASOS plc		(5,712	)		(226,588	)		(78,543	)
Associated British Foods plc		(5,625	)		(226,888	)		21,922
AstraZeneca plc		(1,881	)		(106,808	)		(5,644	)
Auto Trader Group plc		(2,804	)		(14,815	)		1,560
Barclays plc		(31,526	)		(69,795	)		11,160
Booker Group plc		(64,010	)		(131,399	)		(16,835	)
BP plc		(45,425	)		(193,735	)		(72,161	)
British American Tobacco plc		(1,063	)		(50,227	)		(18,687	)
BTG plc		(27,249	)		(214,064	)		(49,115	)
Burberry Group plc		(7,168	)		(110,775	)		(727	)
Capita plc		(8,992	)		(136,722	)		20,856
Centrica plc		(126,668	)		(348,560	)		(34,483	)
Croda International plc		(621	)		(24,472	)		(1,597	)
Diageo plc		(20,833	)		(502,232	)		(79,751	)
Drax Group plc		(22,768	)		(61,449	)		(37,368	)
G4S plc		(46,352	)		(123,619	)		10,040
GlaxoSmithKline plc		(13,010	)		(235,528	)		(43,862	)
Halma plc		(2,556	)		(27,517	)		(7,247	)
Hargreaves Lansdown plc		(13,880	)		(223,148	)		(8,385	)
ICAP plc		(16,908	)		(102,738	)		7,602
IMI plc		(5,036	)		(52,126	)		(13,137	)
InterContinental Hotels Group plc		(5,705	)		(208,133	)		(2,269	)
Intertek Group plc		(4,409	)		(156,422	)		(49,008	)
Johnson Matthey plc		(410	)		(13,011	)		(2,367	)
Just Eat plc		(2,368	)		(13,917	)		399
Lloyds Banking Group plc		(160,136	)		(137,203	)		21,218
Old Mutual plc		(79,497	)		(158,950	)		(55,808	)
Pearson plc		(9,550	)		(97,392	)		(26,836	)
Pennon Group plc		(23,826	)		(276,984	)		(24,351	)
Petrofac Ltd.		(18,575	)		(173,343	)		(19,737	)
Prudential plc		(5,124	)		(91,019	)		4,070
Rio Tinto plc		(3,607	)		(84,935	)		(27,122	)
Rolls-Royce Holdings plc (3)		(349,746	)		45			(511	)
Rolls-Royce Holdings plc (3)		(9,409	)		2			(14	)
Rolls-Royce Holdings plc		(4,926	)		(35,169	)		(11,850	)
Rotork plc		(13,065	)		(27,158	)		(10,665	)
Royal Bank of Scotland Group plc		(85,620	)		(295,271	)		101,243
RSA Insurance Group plc		(28,262	)		(149,807	)		(39,615	)
SABMiller plc		(5,484	)		(296,934	)		(22,888	)
Serco Group plc		(403,336	)		(430,653	)		(169,595	)
Severn Trent plc		(4,422	)		(123,350	)		(20,936	)

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

AQR Funds Semi-Annual Report June 2016

267

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Smiths Group plc		(1,090	)	$	(12,731	)	$	(4,113	)
Spectris plc		(1,261	)		(26,020	)		(4,675	)
Spirax-Sarco Engineering plc		(813	)		(31,491	)		(9,219	)
St. James’s Place plc		(6,530	)		(77,302	)		8,438
Standard Chartered plc		(51,123	)		(335,803	)		(52,066	)
Standard Life plc		(55,243	)		(265,759	)		47,806
Tate & Lyle plc		(13,968	)		(111,205	)		(13,683	)
Tesco plc		(295,200	)		(641,070	)		(52,235	)
Thomas Cook Group plc		(62,485	)		(91,972	)		39,462
UBM plc		(2,941	)		(22,372	)		(2,851	)
Vodafone Group plc		(28,973	)		(85,025	)		(3,309	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Weir Group plc (The)		(3,689	)	$	(38,429	)	$	(32,818	)
								(879,272	)
Total of Short Equity Positions								(1,071,640	)
Total of Long and Short Equity Positions								(1,504,836	)
Net Cash and Other Receivables/ (Payables) (b)								35,663
Swaps, at Value							$	(1,469,173	)

(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 June 30, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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.	55-60 months maturity 12/22/2020		$(50,276	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Waste Connections, Inc.		1,715	$	93,896	$	29,670
Ireland
Accenture plc		2,392		242,501		28,489
XL Group plc		1,345		47,586		(2,784	)
						25,705
Netherlands
Frank’s International NV		2,142		29,457		1,838

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Singapore
Broadcom Ltd.		1,118	$	134,238	$	39,499
Flextronics International Ltd.		20,622		192,175		51,165
						90,664
Sweden
Autoliv, Inc.		283		29,766		642
Switzerland
Allied World Assurance Co. Holdings AG		3,347		116,409		1,205
Chubb Ltd.		200		22,174		3,968

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

AQR Funds Semi-Annual Report June 2016

268

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
TE Connectivity Ltd.		1,300	$	71,994	$	2,249
Transocean Ltd.		28,632		355,733		(15,298	)
						(7,876	)
United Kingdom
Noble Corp. plc		23,804		231,962		(35,817	)
STERIS plc		2,931		196,611		4,895
Willis Towers Watson plc		127		14,072		1,716
						(29,206	)
United States
3M Co.		475		65,735		17,447
Aaron’s, Inc.		8,034		180,726		(4,862	)
Abbott Laboratories		8,640		349,892		(10,254	)
AbbVie, Inc.		1,972		108,440		13,646
Abercrombie & Fitch Co.		4,943		134,765		(46,730	)
ACI Worldwide, Inc.		4,132		74,202		6,413
Activision Blizzard, Inc.		9,926		348,763		44,604
Acuity Brands, Inc.		200		41,302		8,290
Adobe Systems, Inc.		840		72,312		8,152
Aetna, Inc.		5,910		619,604		102,184
Aflac, Inc.		8,684		490,559		136,078
AGCO Corp.		10,479		467,468		26,407
Air Lease Corp.		6,016		149,983		11,125
Air Products & Chemicals, Inc.		221		26,429		4,961
Akamai Technologies, Inc.		1,206		54,810		12,642
Alaska Air Group, Inc.		4,550		305,078		(39,858	)
Albemarle Corp.		733		58,951		(817	)
Alleghany Corp.		54		25,013		4,665
Allstate Corp. (The)		2,544		148,671		29,281
Alphabet, Inc.		254		182,671		(3,974	)
Amazon.com, Inc.		130		74,682		18,348
AMC Networks, Inc.		3,468		254,031		(44,494	)
Amdocs Ltd.		10,522		556,945		50,384
AMERCO		894		316,174		18,674
Ameren Corp.		17,443		754,291		180,305
American Airlines Group, Inc.		5,938		230,751		(62,646	)
American Eagle Outfitters, Inc.		27,593		399,082		40,474
American Electric Power Co., Inc.		18,456		1,100,447		193,134
American Financial Group, Inc.		4,026		272,790		24,852
American International Group, Inc.		2,115		118,778		(6,916	)
Ameriprise Financial, Inc.		2,307		213,490		(6,206	)
AmerisourceBergen Corp.		3,229		298,812		(42,687	)
Amgen, Inc.		1,945		294,664		1,268
Amsurg Corp.		1,766		128,472		8,464
AmTrust Financial Services, Inc.		16,014		444,759		(52,416	)
Analog Devices, Inc.		739		36,499		5,358

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Antero Resources Corp.		15,576	$	380,251	$	24,414
Anthem, Inc.		5,923		810,563		(32,636	)
AO Smith Corp.		6,451		415,503		152,895
Apple, Inc.		1,882		181,914		(1,995	)
AptarGroup, Inc.		296		21,146		2,277
Arch Capital Group Ltd.		2,493		166,408		13,088
Archer-Daniels-Midland Co.		7,204		219,794		89,186
Armstrong World Industries, Inc.		1,247		31,874		16,946
Arrow Electronics, Inc.		4,959		270,059		36,903
Ashland, Inc.		480		46,195		8,894
Aspen Insurance Holdings Ltd.		5,897		267,740		5,763
Associated Banc-Corp.		856		14,203		477
Assurant, Inc.		3,938		310,277		29,611
Assured Guaranty Ltd.		14,490		342,833		24,778
AT&T, Inc.		6,396		237,584		38,787
Atmos Energy Corp.		4,258		306,255		40,006
AutoNation, Inc.		2,659		118,914		6,006
AutoZone, Inc.		295		211,134		23,048
Avery Dennison Corp.		3,651		215,299		57,613
Avnet, Inc.		9,145		350,081		20,383
Axis Capital Holdings Ltd.		6,752		359,650		11,710
Bank of Hawaii Corp.		638		40,117		3,777
Bank of New York Mellon Corp. (The)		9,196		330,412		26,852
Baxter International, Inc.		6,707		289,405		13,886
BB&T Corp.		1,617		53,232		4,350
Becton Dickinson and Co.		597		85,073		16,173
Bed Bath & Beyond, Inc.		791		34,187		—
Bemis Co., Inc.		7,053		311,672		51,487
Best Buy Co., Inc.		9,251		239,323		43,757
Big Lots, Inc.		4,036		146,338		55,906
Bio-Rad Laboratories, Inc.		2,239		281,709		38,513
Boeing Co. (The)		3,128		394,316		11,918
BOK Financial Corp.		4,504		212,249		70,151
Booz Allen Hamilton Holding Corp.		2,000		59,400		(120	)
Boston Beer Co., Inc. (The)		189		32,471		(146	)
Boston Scientific Corp.		6,332		111,253		36,726
Brinker International, Inc.		7,215		347,979		(19,481	)
Bristol-Myers Squibb Co.		758		47,913		7,838
Broadridge Financial Solutions, Inc.		4,305		218,737		61,949
Brocade Communications Systems, Inc.		34,128		269,166		44,129
Bruker Corp.		2,713		72,099		(10,405	)
Brunswick Corp.		6,867		291,672		19,541

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

AQR Funds Semi-Annual Report June 2016

269

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Bunge Ltd.		1,555	$	94,622	$	(2,644	)
CA, Inc.		6,672		174,139		44,903
Cabot Corp.		5,004		221,010		7,473
Cadence Design Systems, Inc.		10,747		203,319		57,833
Campbell Soup Co.		3,364		204,218		19,588
Capital One Financial Corp.		6,622		411,822		8,741
Cardinal Health, Inc.		3,793		310,644		(14,752	)
Carlisle Cos., Inc.		3,124		245,234		84,910
Carnival Corp.		11,342		555,563		(54,247	)
Carter’s, Inc.		2,087		192,011		30,191
Casey’s General Stores, Inc.		3,902		438,816		74,336
Catalent, Inc.		2,732		65,349		(2,541	)
CDK Global, Inc.		720		30,226		9,727
CDW Corp.		4,292		160,314		11,710
Celanese Corp.		5,599		339,523		26,931
Centene Corp.		885		54,922		8,241
CenturyLink, Inc.		11,481		315,062		18,001
Charles River Laboratories International, Inc.		5,250		397,950		34,860
Cheesecake Factory, Inc. (The)		5,716		271,091		4,078
Church & Dwight Co., Inc.		3,863		308,419		89,046
Cinemark Holdings, Inc.		7,196		217,110		45,256
Cintas Corp.		4,572		381,112		67,539
Cisco Systems, Inc.		20,348		485,300		98,484
Citigroup, Inc.		2,156		90,423		970
Citrix Systems, Inc.		3,071		203,780		42,177
Clorox Co. (The)		3,672		463,167		45,001
CME Group, Inc.		479		41,418		5,237
CMS Energy Corp.		4,784		178,540		40,854
Cognizant Technology Solutions Corp.		2,047		122,697		(5,527	)
Comcast Corp.		4,635		251,449		50,707
Commerce Bancshares, Inc.		6,102		252,149		40,137
Commercial Metals Co.		35,194		461,680		133,099
Community Health Systems, Inc.		4,629		81,748		(25,969	)
Computer Sciences Corp.		9,560		286,525		188,129
ConAgra Foods, Inc.		2,139		83,143		19,123
Concho Resources, Inc.		1,095		97,492		33,109
ConocoPhillips		4,882		177,705		35,150
Consolidated Edison, Inc.		16,643		1,161,055		177,707
Constellation Brands, Inc.		2,513		369,275		46,375
Convergys Corp.		20,473		475,152		36,673
Cooper Cos., Inc. (The)		108		13,855		4,674
Copart, Inc.		1,067		35,607		16,687
CoreLogic, Inc.		3,794		122,129		23,864

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Costco Wholesale Corp.		508	$	76,439	$	3,338
Coty, Inc.		5,291		117,629		19,884
CR Bard, Inc.		1,729		308,955		97,637
Cracker Barrel Old Country Store, Inc.		2,033		252,844		95,754
Crane Co.		585		26,931		6,250
Credit Acceptance Corp.		231		41,328		1,425
Crown Holdings, Inc.		5,285		236,927		30,864
CST Brands, Inc.		6,066		224,416		36,907
CSX Corp.		2,203		50,074		7,380
Cummins, Inc.		3,276		273,612		94,742
Curtiss-Wright Corp.		496		43,261		(1,473	)
CVR Energy, Inc.		3,349		98,842		(46,932	)
CVS Health Corp.		1,465		139,263		996
Danaher Corp.		3,070		262,823		47,247
Darden Restaurants, Inc.		7,235		440,105		18,160
Dean Foods Co.		20,646		378,762		(5,276	)
Deckers Outdoor Corp.		1,412		59,685		21,533
Delta Air Lines, Inc.		13,897		645,077		(138,810	)
Deluxe Corp.		5,897		309,734		81,650
DENTSPLY SIRONA, Inc.		5,666		324,038		27,481
Diamond Offshore Drilling, Inc.		10,533		259,929		(3,661	)
Dick’s Sporting Goods, Inc.		5,117		175,820		54,752
Dillard’s, Inc.		908		57,313		(2,288	)
Discover Financial Services		2,121		103,285		10,380
Dollar General Corp.		488		34,326		11,546
Dow Chemical Co. (The)		12,134		511,494		91,687
DR Horton, Inc.		19,638		539,040		79,164
Dr. Pepper Snapple Group, Inc.		5,858		531,321		34,738
Dril-Quip, Inc.		3,931		214,373		15,315
DST Systems, Inc.		2,761		295,785		25,679
DTE Energy Co.		6,193		509,250		104,600
Duke Energy Corp.		709		52,973		7,852
Dun & Bradstreet Corp. (The)		398		38,196		10,296
East West Bancorp, Inc.		1,891		65,383		(748	)
Eastman Chemical Co.		3,253		220,171		708
eBay, Inc.		13,218		340,628		(31,194	)
Edison International		9,054		544,326		158,898
Edwards Lifesciences Corp.		1,286		98,558		29,695
Electronic Arts, Inc.		3,914		263,686		32,838
Eli Lilly & Co.		3,707		308,534		(16,607	)
Endurance Specialty Holdings Ltd.		1,821		109,825		12,474
EOG Resources, Inc.		883		53,845		19,815
EP Energy Corp.		51,144		175,567		89,359
EQT Corp.		2,049		121,624		37,030
Equifax, Inc.		4,980		517,223		122,209
Everest Re Group Ltd.		500		85,620		5,715

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

AQR Funds Semi-Annual Report June 2016

270

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Exelon Corp.		20,580	$	636,021	$	112,268
Expedia, Inc.		982		102,746		1,641
Expeditors International of Washington, Inc.		6,706		297,465		31,397
Express Scripts Holding Co.		1,339		98,391		3,105
Facebook, Inc.		1,120		134,364		(6,370	)
FactSet Research Systems, Inc.		1,335		194,510		20,986
Fair Isaac Corp.		1,074		91,623		29,750
FedEx Corp.		1,397		227,864		(15,827	)
Fidelity National Information Services, Inc.		1,133		66,518		16,961
Fifth Third Bancorp		10,182		172,358		6,744
First American Financial Corp.		6,808		226,364		47,454
First Solar, Inc.		7,206		449,151		(99,804	)
FirstEnergy Corp.		2,936		99,790		2,706
Fiserv, Inc.		1,814		161,519		35,718
Flowers Foods, Inc.		11,440		231,130		(16,630	)
FNF Group		9,667		307,604		54,909
Foot Locker, Inc.		6,452		405,766		(51,810	)
Fortune Brands Home & Security, Inc.		4,829		277,775		2,162
FTI Consulting, Inc.		1,517		47,315		14,396
Fulton Financial Corp.		8,771		110,811		7,598
GameStop Corp.		13,567		347,395		13,216
Gannett Co., Inc.		12,899		200,063		(21,928	)
GATX Corp.		1,956		78,896		7,109
General Dynamics Corp.		3,261		415,386		38,675
General Mills, Inc.		2,356		130,566		37,464
General Motors Co.		9,356		275,066		(10,292	)
Genpact Ltd.		15,653		371,642		48,485
Gilead Sciences, Inc.		4,287		386,038		(28,416	)
Global Payments, Inc.		4,549		260,729		63,979
Goodyear Tire & Rubber Co. (The)		15,931		441,319		(32,529	)
Graham Holdings Co.		458		199,015		25,195
Graphic Packaging Holding Co.		7,839		93,990		4,311
Great Plains Energy, Inc.		11,967		367,736		(3,940	)
Guess?, Inc.		9,111		163,936		(26,815	)
Hanover Insurance Group, Inc. (The)		6,668		534,757		29,489
Harris Corp.		1,924		164,376		(3,837	)
Hartford Financial Services Group, Inc. (The)		6,872		268,764		36,215
Hasbro, Inc.		3,547		253,417		44,495
HCA Holdings, Inc.		3,196		202,850		43,274
HD Supply Holdings, Inc.		2,950		106,796		(4,077	)
Helmerich & Payne, Inc.		3,277		144,004		75,981
Herman Miller, Inc.		14,381		355,863		73,986
Hess Corp.		2,823		103,785		65,877
Hill-Rom Holdings, Inc.		2,466		118,220		6,190

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
HollyFrontier Corp.		10,001	$	337,066	$	(99,342	)
Hologic, Inc.		1,807		65,472		(2,950	)
Home Depot, Inc. (The)		839		101,224		5,908
Honeywell International, Inc.		1,181		127,800		9,574
Hormel Foods Corp.		14,008		538,680		(25,987	)
HP, Inc.		15,190		148,254		42,380
HSN, Inc.		416		19,764		591
Huntington Bancshares, Inc.		10,077		95,530		(5,442	)
Huntington Ingalls Industries, Inc.		5,218		644,098		232,683
IAC/InterActiveCorp.		1,124		58,639		4,642
IDACORP, Inc.		4,445		303,582		58,019
Illinois Tool Works, Inc.		621		55,756		8,927
Ingram Micro, Inc.		225		6,180		1,645
Ingredion, Inc.		6,565		596,460		253,117
Integrated Device Technology, Inc.		7,679		161,605		(7,027	)
Intel Corp.		4,894		146,379		14,144
Intercontinental Exchange, Inc.		1,648		405,250		16,572
InterDigital, Inc.		2,317		100,071		28,939
International Business Machines Corp.		1,177		150,785		27,860
International Flavors & Fragrances, Inc.		721		81,819		9,077
International Game Technology plc		11,875		168,971		53,566
Interpublic Group of Cos., Inc. (The)		9,452		207,644		10,697
Intrexon Corp.		5,604		138,714		(800	)
Ionis Pharmaceuticals, Inc.		4,169		89,338		7,758
ITT, Inc.		12,686		392,021		13,678
j2 Global, Inc.		2,355		163,273		(14,508	)
Jabil Circuit, Inc.		24,859		472,374		(13,228	)
Jack Henry & Associates, Inc.		3,465		264,694		37,696
Jack in the Box, Inc.		234		16,778		3,327
Jacobs Engineering Group, Inc.		655		34,328		(1,703	)
JetBlue Airways Corp.		27,128		567,174		(117,935	)
JM Smucker Co. (The)		1,108		137,573		31,298
John Wiley & Sons, Inc.		3,820		159,673		39,655
Johnson & Johnson		2,190		217,869		47,778
JPMorgan Chase & Co.		6,292		364,035		26,950
Juniper Networks, Inc.		10,002		255,791		(30,846	)
Juno Therapeutics, Inc.		1,979		88,047		(11,974	)
KAR Auction Services, Inc.		414		13,889		3,392
KB Home		18,123		244,169		31,481
KeyCorp.		5,146		58,304		(1,441	)
Kimberly-Clark Corp.		2,675		341,620		26,139
Kohl’s Corp.		1,066		49,441		(9,018	)

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

AQR Funds Semi-Annual Report June 2016

271

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Kroger Co. (The)		14,351	$	543,425	$	(15,452	)
L Brands, Inc.		926		86,257		(24,095	)
L-3 Communications Holdings, Inc.		482		67,516		3,188
Lam Research Corp.		4,742		343,380		55,232
Lancaster Colony Corp.		1,353		152,236		20,420
Laredo Petroleum, Inc.		10,130		70,520		35,642
Las Vegas Sands Corp.		1,977		82,560		3,420
Lear Corp.		6,577		674,471		(5,196	)
Leggett & Platt, Inc.		1,897		72,655		24,301
Leidos Holdings, Inc.		833		39,140		736
Lennar Corp.		1,499		62,697		6,407
Lennox International, Inc.		1,129		136,012		24,983
Level 3 Communications, Inc.		2,322		121,732		(2,173	)
Liberty Interactive Corp. QVC Group		601		15,187		60
LifePoint Health, Inc.		2,819		190,690		(6,411	)
Lockheed Martin Corp.		949		204,310		31,203
Lowe’s Cos., Inc.		1,757		122,178		16,924
LyondellBasell Industries NV		7,645		565,922		3,019
Mallinckrodt plc		1,252		80,666		(4,570	)
Manhattan Associates, Inc.		2,895		159,569		26,088
ManpowerGroup, Inc.		5,577		413,376		(54,552	)
Marathon Petroleum Corp.		7,924		325,932		(25,137	)
MarketAxess Holdings, Inc.		1,052		132,650		20,311
Marriott International, Inc.		550		32,109		4,444
Masco Corp.		9,906		278,361		28,130
Mattel, Inc.		1,949		61,714		(730	)
McCormick & Co., Inc.		351		28,529		8,912
McKesson Corp.		557		94,420		9,544
MDC Holdings, Inc.		2,388		50,772		7,352
MEDNAX, Inc.		1,225		82,112		6,615
Memorial Resource Development Corp.		13,522		135,080		79,649
Mentor Graphics Corp.		14,963		248,045		70,068
Merck & Co., Inc.		2,983		152,821		19,029
Meredith Corp.		667		34,654		(30	)
MetLife, Inc.		9,407		402,055		(27,374	)
Microsoft Corp.		4,300		217,408		2,623
Minerals Technologies, Inc.		2,923		108,239		57,788
Mohawk Industries, Inc.		556		90,817		14,690
Molina Healthcare, Inc.		9,534		518,164		(42,417	)
Molson Coors Brewing Co.		1,003		99,963		1,471
Mondelez International, Inc.		2,642		109,214		11,024
Monster Beverage Corp.		153		21,093		3,496
Morgan Stanley		6,150		161,010		(1,233	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Mosaic Co. (The)		3,135	$	77,842	$	4,232
MSC Industrial Direct Co., Inc.		1,546		110,031		(945	)
MSCI, Inc.		3,553		236,690		37,317
MSG Networks, Inc.		12,236		216,825		(29,125	)
Murphy Oil Corp.		2,578		85,580		(3,729	)
Murphy USA, Inc.		4,645		263,815		80,658
Mylan NV		5,474		273,156		(36,461	)
Nasdaq, Inc.		10,156		606,238		50,550
NeuStar, Inc.		11,258		248,463		16,213
Newfield Exploration Co.		5,464		140,506		100,893
NewMarket Corp.		62		22,418		3,274
NextEra Energy, Inc.		2,860		308,337		64,607
Nielsen Holdings plc		1,635		84,769		202
NIKE, Inc.		2,932		172,364		(10,518	)
NiSource, Inc.		28,215		566,447		181,815
Northern Trust Corp.		1,672		106,891		3,896
Northrop Grumman Corp.		3,563		665,390		126,593
Norwegian Cruise Line Holdings Ltd.		1,674		78,986		(12,294	)
Nu Skin Enterprises, Inc.		5,088		154,820		80,195
Nuance Communications, Inc.		16,215		293,541		(40,100	)
NVIDIA Corp.		6,938		193,233		132,923
NVR, Inc.		223		344,049		52,967
Oceaneering International, Inc.		4,193		142,122		(16,919	)
Old Republic International Corp.		22,673		410,419		26,943
Omnicom Group, Inc.		2,192		152,524		26,102
ON Semiconductor Corp.		6,840		55,199		5,130
ONE Gas, Inc.		6,134		344,427		64,036
OneMain Holdings, Inc.		2,015		54,831		(8,849	)
Oracle Corp.		2,300		79,465		14,674
Orbital ATK, Inc.		1,456		125,241		(1,277	)
O’Reilly Automotive, Inc.		744		175,353		26,345
Oshkosh Corp.		3,745		127,315		51,359
Owens & Minor, Inc.		2,482		95,055		(2,278	)
Owens Corning		14,180		617,183		113,371
PACCAR, Inc.		4,708		212,001		32,203
Packaging Corp. of America		3,048		186,502		17,501
Panera Bread Co.		126		23,848		2,856
PAREXEL International Corp.		1,106		71,425		(1,880	)
Parker-Hannifin Corp.		728		63,969		14,691
Patterson-UTI Energy, Inc.		12,613		152,234		116,675
PBF Energy, Inc.		6,748		216,165		(55,697	)
Penske Automotive Group, Inc.		2,823		91,473		(2,661	)
People’s United Financial, Inc.		14,514		209,872		2,903
PepsiCo, Inc.		2,037		195,083		20,716

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

AQR Funds Semi-Annual Report June 2016

272

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Pfizer, Inc.		12,026	$	369,078	$	54,358
PG&E Corp.		11,977		634,541		131,028
Phillips 66		2,837		223,187		1,901
Pilgrim’s Pride Corp.		12,136		274,392		34,834
Pinnacle Foods, Inc.		6,767		278,936		34,309
Pinnacle West Capital Corp.		11,833		805,379		153,804
Plantronics, Inc.		2,107		89,836		2,872
PNC Financial Services Group, Inc. (The)		7,588		647,484		(29,897	)
PNM Resources, Inc.		9,812		296,749		50,988
Polycom, Inc.		3,693		37,312		4,234
Popular, Inc.		8,000		200,099		34,301
Post Holdings, Inc.		4,060		273,962		61,759
PPG Industries, Inc.		400		36,640		5,020
PPL Corp.		5,161		178,319		16,508
Prestige Brands Holdings, Inc.		1,076		60,768		(1,158	)
Procter & Gamble Co. (The)		3,401		273,907		14,055
Progressive Corp. (The)		11,746		376,992		16,499
Prudential Financial, Inc.		3,612		251,626		6,054
Public Service Enterprise Group, Inc.		25,816		1,028,251		175,032
PVH Corp.		950		63,090		26,429
QEP Resources, Inc.		10,712		119,679		69,173
Quest Diagnostics, Inc.		1,381		90,767		21,660
Quintiles Transnational Holdings, Inc.		8,332		530,373		13,873
Rackspace Hosting, Inc.		6,306		115,526		16,017
Ralph Lauren Corp.		417		44,999		(7,628	)
Raytheon Co.		3,818		461,397		57,661
Red Hat, Inc.		490		33,957		1,617
Regal Entertainment Group		1,885		33,647		7,898
Regeneron Pharmaceuticals, Inc.		192		85,660		(18,608	)
Reinsurance Group of America, Inc.		3,858		311,341		62,847
Reliance Steel & Aluminum Co.		7,838		406,159		196,583
RenaissanceRe Holdings Ltd.		613		68,015		3,976
Republic Services, Inc.		16,676		745,450		110,195
Rockwell Automation, Inc.		1,080		98,561		25,445
Ross Stores, Inc.		1,600		84,128		6,576
Rowan Cos. plc		29,390		420,353		98,675
Royal Caribbean Cruises Ltd.		5,905		463,132		(66,611	)
Ryder System, Inc.		6,146		293,717		82,049
S&P Global, Inc.		619		51,581		14,813
Sabre Corp.		1,430		36,494		1,816
SCANA Corp.		9,441		584,217		130,089
Science Applications International Corp.		1,458		78,813		6,261

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Scotts Miracle-Gro Co. (The)		1,393	$	91,882	$	5,502
Scripps Networks Interactive, Inc.		1,386		89,578		(3,271	)
SEI Investments Co.		1,014		45,518		3,265
Sensient Technologies Corp.		2,581		143,529		39,825
Service Corp. International		4,774		113,573		15,515
ServiceMaster Global Holdings, Inc.		800		30,984		856
Skechers U.S.A., Inc.		13,361		365,958		31,131
Skyworks Solutions, Inc.		2,212		133,561		6,415
SM Energy Co.		2,997		37,880		43,039
Snap-on, Inc.		1,448		225,149		3,375
Sonoco Products Co.		4,466		170,294		51,488
Southern Co. (The)		10,863		520,541		62,042
Southwest Airlines Co.		4,274		169,250		(1,667	)
Spectrum Brands Holdings, Inc.		1,905		189,085		38,200
Spirit AeroSystems Holdings, Inc.		16,922		742,854		(15,208	)
SS&C Technologies Holdings, Inc.		3,026		95,697		(10,727	)
Stanley Black & Decker, Inc.		2,995		293,535		39,569
Starbucks Corp.		611		35,774		(874	)
State Street Corp.		2,004		111,302		(3,246	)
Stryker Corp.		1,917		175,521		54,194
SunTrust Banks, Inc.		9,768		362,588		38,681
SUPERVALU, Inc.		22,731		93,652		13,639
Synaptics, Inc.		1,557		101,766		(18,077	)
Synchrony Financial		7,186		204,868		(23,206	)
SYNNEX Corp.		3,471		309,075		20,045
Synopsys, Inc.		5,538		225,341		74,154
Sysco Corp.		1,156		51,595		7,060
Talen Energy Corp.		3,952		24,384		29,166
Target Corp.		3,619		250,580		2,099
Tech Data Corp.		9,522		600,488		83,668
Teekay Corp.		25,973		166,619		18,568
TEGNA, Inc.		12,865		298,486		(404	)
Teledyne Technologies, Inc.		1,428		110,425		31,019
Teleflex, Inc.		2,836		380,390		122,461
Teradyne, Inc.		14,815		295,528		(3,821	)
Tesoro Corp.		5,437		479,441		(72,101	)
Texas Instruments, Inc.		274		13,356		3,810
Textron, Inc.		7,252		250,388		14,745
Thermo Fisher Scientific, Inc.		627		93,136		(490	)
Thomson Reuters Corp.		3,084		109,204		15,451
Thor Industries, Inc.		3,076		154,086		45,054
Time Warner, Inc.		980		67,792		4,277
Time, Inc.		2,659		36,216		7,552
TJX Cos., Inc. (The)		473		32,500		4,030

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

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273

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
TopBuild Corp.		5,867	$	161,462	$	50,935
Torchmark Corp.		5,189		274,342		46,442
Toro Co. (The)		1,622		121,575		21,486
Total System Services, Inc.		10,724		475,126		94,425
Travelers Cos., Inc. (The)		5,327		563,606		70,520
Trinity Industries, Inc.		20,737		405,088		(20,002	)
Trustmark Corp.		5,713		118,496		23,472
Tupperware Brands Corp.		2,058		100,863		14,962
Tyler Technologies, Inc.		724		113,718		6,980
Tyson Foods, Inc.		18,440		976,209		255,399
UGI Corp.		9,161		320,928		93,607
Ulta Salon Cosmetics & Fragrance, Inc.		160		28,220		10,763
United Continental Holdings, Inc.		7,929		351,968		(26,561	)
United Parcel Service, Inc.		5,023		509,167		31,911
United Therapeutics Corp.		4,166		534,037		(92,775	)
UnitedHealth Group, Inc.		4,610		518,994		131,938
Universal Health Services, Inc.		1,883		205,108		47,403
Unum Group		6,817		213,195		3,517
US Bancorp.		4,438		173,659		5,326
Valero Energy Corp.		9,804		652,358		(152,354	)
Validus Holdings Ltd.		7,729		334,280		41,272
Valmont Industries, Inc.		572		56,599		20,775
Vantiv, Inc.		2,241		97,973		28,868
Varian Medical Systems, Inc.		394		29,920		2,478
Vectren Corp.		900		37,314		10,089
VeriSign, Inc.		2,972		221,711		35,248
Verizon Communications, Inc.		3,521		162,165		34,448
Visa, Inc.		643		45,904		1,788
Vishay Intertechnology, Inc.		9,619		104,566		14,613
Vista Outdoor, Inc.		1,186		56,567		41
VMware, Inc.		1,107		49,891		13,452
Voya Financial, Inc.		3,300		99,561		(17,853	)
VWR Corp.		7,114		185,717		19,878
Wabtec Corp.		547		34,472		3,944
Wal-Mart Stores, Inc.		4,788		299,537		50,082
Walt Disney Co. (The)		2,094		198,609		6,226
Waste Management, Inc.		12,562		661,012		171,471
Waters Corp.		1,469		184,874		21,741
WebMD Health Corp.		1,539		98,890		(9,458	)
WellCare Health Plans, Inc.		5,635		497,512		107,010
Wells Fargo & Co.		6,055		291,912		(5,328	)
Werner Enterprises, Inc.		15,920		349,121		16,561
West Pharmaceutical Services, Inc.		2,709		164,810		40,749

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Western Refining, Inc.		6,309		$	205,792		$	(75,638	)
Western Union Co. (The)		2,631			43,254			7,209
Westlake Chemical Corp.		3,898			169,287			(1,985	)
WGL Holdings, Inc.		5,748			360,227			46,674
Whirlpool Corp.		2,355			299,580			92,858
White Mountains Insurance Group Ltd.		80			58,758			8,602
Woodward, Inc.		3,587			177,480			29,275
World Fuel Services Corp.		4,877			183,083			48,526
WPX Energy, Inc.		4,861			41,816			3,440
WR Berkley Corp.		1,544			83,879			8,638
Wyndham Worldwide Corp.		1,307			84,797			8,301
Xcel Energy, Inc.		24,889			928,246			186,284
Xilinx, Inc.		1,242			53,145			4,148
Xylem, Inc.		1,124			48,371			1,816
								11,584,107
Total of Long Equity Positions							11,695,544
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(2,603	)		(150,748	)		(41,510	)
Ireland
Alkermes plc		(6,119	)		(250,020	)		(14,443	)
Allegion plc		(5,184	)		(303,745	)		(56,181	)
Endo International plc		(13,604	)		(492,592	)		280,506
Jazz Pharmaceuticals plc		(1,315	)		(158,694	)		(27,128	)
Medtronic plc		(2,837	)		(211,583	)		(34,583	)
Perrigo Co. plc		(1,414	)		(161,452	)		33,245
								181,416
Netherlands
Chicago Bridge & Iron Co. NV		(10,584	)		(403,295	)		36,771
Core Laboratories NV		(392	)		(35,965	)		(12,600	)
QIAGEN NV		(9,308	)		(206,967	)		3,959
Sensata Technologies Holding NV		(8,290	)		(289,321	)		83
								28,213
Norway
Golar LNG Ltd.		(26,703	)		(371,394	)		(42,503	)
Switzerland
Garmin Ltd.		(2,524	)		(85,443	)		(21,625	)
Weatherford International plc		(83,550	)		(501,667	)		37,964
								16,339
United Kingdom
Aon plc		(4,801	)		(412,628	)		(111,786	)
Delphi Automotive plc		(1,515	)		(103,957	)		9,118

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

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274

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Ensco plc		(23,909	)	$	(222,363	)	$	(9,794	)
Liberty Global plc		(7,965	)		(246,131	)		14,668
Liberty Global plc LiLAC		(992	)		(30,654	)		(1,348	)
LivaNova plc		(3,250	)		(174,033	)		10,785
Michael Kors Holdings Ltd.		(1,098	)		(41,141	)		(13,188	)
Pentair plc		(5,994	)		(266,623	)		(82,767	)
								(184,312	)
United States
3D Systems Corp.		(2,525	)		(33,102	)		(1,465	)
Acadia Healthcare Co., Inc.		(7,431	)		(436,312	)		24,635
Acxiom Corp.		(4,788	)		(87,149	)		(18,139	)
Advance Auto Parts, Inc.		(326	)		(49,686	)		(3,006	)
Advanced Micro Devices, Inc.		(49,361	)		(106,297	)		(147,418	)
AECOM		(4,378	)		(112,646	)		(26,443	)
AES Corp.		(29,626	)		(264,047	)		(105,685	)
Agilent Technologies, Inc.		(5,311	)		(197,569	)		(38,027	)
Agios Pharmaceuticals, Inc.		(4,766	)		(204,768	)		5,096
Akorn, Inc.		(12,031	)		(306,621	)		(36,082	)
Alcoa, Inc.		(51,539	)		(364,261	)		(113,506	)
Alexion Pharmaceuticals, Inc.		(1,478	)		(231,676	)		59,105
Align Technology, Inc.		(2,953	)		(176,501	)		(61,363	)
Allegheny Technologies, Inc.		(18,361	)		(190,658	)		(43,445	)
Allergan plc		(610	)		(146,352	)		5,387
Alliance Data Systems Corp.		(959	)		(241,639	)		53,752
Alliant Energy Corp.		(700	)		(22,078	)		(5,712	)
Allison Transmission Holdings, Inc.		(5,123	)		(118,195	)		(26,427	)
Allscripts Healthcare Solutions, Inc.		(5,668	)		(80,769	)		8,785
Ally Financial, Inc.		(901	)		(14,124	)		(1,256	)
Alnylam Pharmaceuticals, Inc.		(7,446	)		(486,799	)		73,621
American Express Co.		(4,722	)		(280,763	)		(6,146	)
AMETEK, Inc.		(1,266	)		(59,307	)		780
Amphenol Corp.		(4,602	)		(209,508	)		(54,325	)
Anadarko Petroleum Corp.		(7,082	)		(233,543	)		(143,573	)
Apache Corp.		(2,470	)		(85,166	)		(52,339	)
Applied Materials, Inc.		(4,605	)		(75,752	)		(34,630	)
Arista Networks, Inc.		(2,772	)		(173,367	)		(5,094	)
ARRIS International plc		(8,191	)		(196,029	)		24,346
Arthur J Gallagher & Co.		(9,191	)		(341,688	)		(95,804	)
Artisan Partners Asset Management, Inc.		(7,349	)		(220,982	)		17,561
Ascena Retail Group, Inc.		(25,438	)		(214,148	)		36,337
athenahealth, Inc.		(356	)		(50,762	)		1,630
Autodesk, Inc.		(6,718	)		(321,942	)		(41,770	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Automatic Data Processing, Inc.		(2,280	)	$	(180,371	)	$	(29,093	)
Avis Budget Group, Inc.		(1,471	)		(40,258	)		(7,152	)
Avon Products, Inc.		(50,201	)		(123,640	)		(66,120	)
Axalta Coating Systems Ltd.		(6,419	)		(183,614	)		13,318
B/E Aerospace, Inc.		(19,075	)		(727,559	)		(153,230	)
Baker Hughes, Inc.		(5,754	)		(260,504	)		826
Ball Corp.		(5,102	)		(353,773	)		(15,051	)
BancorpSouth, Inc.		(2,300	)		(47,357	)		(4,830	)
Bank of America Corp.		(13,559	)		(193,080	)		13,152
Bank of the Ozarks, Inc.		(884	)		(34,075	)		908
BankUnited, Inc.		(1,788	)		(58,539	)		3,612
Belden, Inc.		(2,464	)		(98,166	)		(50,586	)
Biogen, Inc.		(166	)		(42,311	)		2,169
BioMarin Pharmaceutical, Inc.		(4,550	)		(380,179	)		26,189
Bio-Techne Corp.		(3,594	)		(296,669	)		(108,627	)
Black Hills Corp.		(4,165	)		(199,947	)		(62,615	)
Black Knight Financial Services, Inc.		(13,670	)		(399,865	)		(114,127	)
BlackRock, Inc.		(106	)		(31,339	)		(4,969	)
Bluebird Bio, Inc.		(4,994	)		(209,251	)		(6,939	)
BorgWarner, Inc.		(12,848	)		(389,808	)		10,535
Brookdale Senior Living, Inc.		(25,449	)		(383,510	)		(9,422	)
Brown & Brown, Inc.		(6,000	)		(177,495	)		(47,325	)
Brown-Forman Corp.		(851	)		(78,828	)		(6,068	)
Buffalo Wild Wings, Inc.		(512	)		(74,445	)		3,302
BWX Technologies, Inc.		(1,288	)		(36,644	)		(9,428	)
Cabela’s, Inc.		(7,264	)		(303,780	)		(59,855	)
Cable One, Inc.		(124	)		(52,183	)		(11,232	)
Cabot Oil & Gas Corp.		(11,351	)		(186,497	)		(105,678	)
CalAtlantic Group, Inc.		(14,194	)		(442,406	)		(78,656	)
California Resources Corp.		(7,956	)		(133,229	)		36,166
Calpine Corp.		(31,803	)		(454,341	)		(14,754	)
CarMax, Inc.		(5,512	)		(241,570	)		(28,684	)
Carpenter Technology Corp.		(7,758	)		(195,191	)		(60,280	)
Caterpillar, Inc.		(5,056	)		(298,456	)		(84,840	)
CBOE Holdings, Inc.		(2,413	)		(154,693	)		(6,061	)
CBS Corp.		(3,457	)		(156,913	)		(31,286	)
CEB, Inc.		(4,058	)		(230,717	)		(19,580	)
Celgene Corp.		(219	)		(22,779	)		1,179
CenterPoint Energy, Inc.		(17,211	)		(299,655	)		(113,409	)
Cerner Corp.		(4,378	)		(247,066	)		(9,485	)
CF Industries Holdings, Inc.		(6,503	)		(208,440	)		51,717
CH Robinson Worldwide, Inc.		(3,499	)		(223,077	)		(36,724	)
Charles Schwab Corp. (The)		(12,807	)		(339,514	)		15,368
Chemours Co. (The)		(36,435	)		(156,687	)		(143,538	)
Cheniere Energy, Inc.		(8,237	)		(245,755	)		(63,545	)

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

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275

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Chesapeake Energy Corp.		(37,993	)	$	(201,408	)	$	38,797
Chevron Corp.		(2,407	)		(199,745	)		(52,581	)
Chico’s FAS, Inc.		(10,118	)		(101,490	)		(6,873	)
Chipotle Mexican Grill, Inc.		(1,488	)		(697,213	)		97,906
Choice Hotels International, Inc.		(589	)		(30,827	)		2,778
Ciena Corp.		(10,002	)		(177,394	)		(10,144	)
Cimarex Energy Co.		(546	)		(44,330	)		(20,819	)
CLARCOR, Inc.		(1,798	)		(82,003	)		(27,370	)
Clean Harbors, Inc.		(831	)		(32,841	)		(10,462	)
CNO Financial Group, Inc.		(4,694	)		(76,137	)		(5,821	)
Coach, Inc.		(3,000	)		(93,480	)		(28,740	)
Cobalt International Energy, Inc.		(86,601	)		(250,621	)		134,576
Coca-Cola Co. (The)		(1,844	)		(77,300	)		(6,288	)
Cognex Corp.		(14,933	)		(456,590	)		(187,022	)
Colfax Corp.		(11,536	)		(223,337	)		(81,906	)
Colgate-Palmolive Co.		(8,884	)		(571,152	)		(79,156	)
Comerica, Inc.		(5,665	)		(193,602	)		(39,399	)
CommScope Holding Co., Inc.		(8,328	)		(183,447	)		(74,971	)
CommVault Systems, Inc.		(5,715	)		(177,222	)		(69,609	)
Compass Minerals International, Inc.		(7,709	)		(558,597	)		(13,334	)
comScore, Inc.		(2,148	)		(64,251	)		12,957
CONSOL Energy, Inc.		(9,753	)		(113,643	)		(43,283	)
Corning, Inc.		(6,823	)		(122,256	)		(17,479	)
CoStar Group, Inc.		(1,081	)		(191,588	)		(44,784	)
Covanta Holding Corp.		(46,541	)		(640,807	)		(124,793	)
Cree, Inc.		(4,960	)		(127,975	)		6,753
Cypress Semiconductor Corp.		(51,177	)		(394,650	)		(145,267	)
Dana Holding Corp.		(8,436	)		(94,701	)		5,617
DaVita HealthCare Partners, Inc.		(5,293	)		(347,803	)		(61,452	)
Deere & Co.		(2,761	)		(201,285	)		(22,466	)
Devon Energy Corp.		(2,026	)		(47,120	)		(26,323	)
DexCom, Inc.		(6,467	)		(450,077	)		(62,950	)
Diebold, Inc.		(4,369	)		(112,168	)		3,686
Discovery Communications, Inc.		(13,608	)		(350,950	)		7,620
DISH Network Corp.		(3,416	)		(171,003	)		(7,995	)
Dolby Laboratories, Inc.		(3,799	)		(119,805	)		(61,977	)
Dollar Tree, Inc.		(6,232	)		(479,178	)		(108,125	)
Dominion Resources, Inc.		(9,838	)		(687,676	)		(78,999	)
Domino’s Pizza, Inc.		(1,840	)		(204,550	)		(37,189	)
Donaldson Co., Inc.		(15,298	)		(409,451	)		(116,188	)
Dover Corp.		(750	)		(39,930	)		(12,060	)
DreamWorks Animation SKG, Inc.		(4,891	)		(123,906	)		(75,989	)
DSW, Inc.		(7,450	)		(170,742	)		12,951

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dunkin’ Brands Group, Inc.		(9,146	)	$	(346,527	)	$	(52,422	)
E*TRADE Financial Corp.		(3,200	)		(79,392	)		4,224
Eaton Corp plc		(2,066	)		(100,905	)		(22,497	)
Eaton Vance Corp.		(6,370	)		(177,920	)		(47,195	)
Ecolab, Inc.		(1,339	)		(137,073	)		(21,732	)
Edgewell Personal Care Co.		(624	)		(44,447	)		(8,224	)
Emerson Electric Co.		(5,904	)		(254,699	)		(53,254	)
Energen Corp.		(495	)		(16,987	)		(6,877	)
Entergy Corp.		(1,893	)		(131,688	)		(22,307	)
Envision Healthcare Holdings, Inc.		(18,383	)		(409,869	)		(56,508	)
Estee Lauder Cos., Inc. (The)		(900	)		(75,492	)		(6,426	)
Esterline Technologies Corp.		(3,703	)		(276,540	)		46,806
Eversource Energy		(3,176	)		(166,226	)		(24,016	)
Exxon Mobil Corp.		(2,197	)		(167,864	)		(38,082	)
F5 Networks, Inc.		(728	)		(68,147	)		(14,729	)
Fairchild Semiconductor International, Inc.		(2,193	)		(44,540	)		1,009
FEI Co.		(1,338	)		(92,145	)		(50,860	)
FireEye, Inc.		(13,228	)		(180,251	)		(37,614	)
First Data Corp.		(34,229	)		(425,269	)		46,354
First Horizon National Corp.		(36,516	)		(458,313	)		(44,877	)
First Republic Bank		(800	)		(50,728	)		(5,264	)
FleetCor Technologies, Inc.		(2,436	)		(279,775	)		(68,890	)
FLIR Systems, Inc.		(6,288	)		(185,167	)		(9,446	)
Flowserve Corp.		(7,459	)		(264,049	)		(72,874	)
Fluor Corp.		(3,093	)		(127,339	)		(25,084	)
FMC Corp.		(14,652	)		(510,034	)		(168,500	)
Ford Motor Co.		(3,987	)		(47,645	)		(2,472	)
Fortinet, Inc.		(3,206	)		(84,856	)		(16,422	)
Fossil Group, Inc.		(1,070	)		(30,766	)		239
Franklin Resources, Inc.		(4,845	)		(160,127	)		(1,550	)
Freeport-McMoRan, Inc.		(20,758	)		(97,069	)		(134,176	)
Frontier Communications Corp.		(14,318	)		(59,849	)		(10,882	)
Gap, Inc. (The)		(7,015	)		(161,191	)		12,333
Gartner, Inc.		(2,184	)		(184,759	)		(27,984	)
GCP Applied Technologies, Inc.		(881	)		(39,372	)		16,431
General Electric Co.		(1,876	)		(53,447	)		(5,609	)
Genesee & Wyoming, Inc.		(8,776	)		(451,322	)		(66,023	)
Gentex Corp.		(15,778	)		(211,874	)		(31,897	)
Genworth Financial, Inc.		(89,321	)		(220,486	)		(9,962	)
GNC Holdings, Inc.		(7,693	)		(181,247	)		(5,616	)
GoPro, Inc.		(6,355	)		(56,916	)		(11,782	)
Graco, Inc.		(1,573	)		(103,886	)		(20,365	)
Granite Construction, Inc.		(610	)		(23,558	)		(4,227	)

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

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276

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Greif, Inc.		(6,151	)	$	(159,873	)	$	(69,375	)
Groupon, Inc.		(12,730	)		(31,743	)		(9,629	)
H&R Block, Inc.		(5,596	)		(117,297	)		(11,411	)
Hain Celestial Group, Inc. (The)		(10,254	)		(370,944	)		(139,192	)
Halliburton Co.		(7,497	)		(223,336	)		(116,204	)
Halyard Health, Inc.		(5,040	)		(133,498	)		(30,403	)
Hanesbrands, Inc.		(1,676	)		(47,816	)		5,698
Harley-Davidson, Inc.		(642	)		(26,104	)		(2,979	)
Harman International Industries, Inc.		(461	)		(37,002	)		3,893
Hershey Co. (The)		(3,752	)		(317,945	)		(107,869	)
Hertz Global Holdings, Inc.		(16,941	)		(165,227	)		(22,310	)
Hexcel Corp.		(2,013	)		(78,366	)		(5,455	)
Hilton Worldwide Holdings, Inc.		(11,945	)		(206,768	)		(62,353	)
Hubbell, Inc.		(433	)		(38,316	)		(7,352	)
Huntsman Corp.		(2,694	)		(23,143	)		(13,091	)
IDEXX Laboratories, Inc.		(4,898	)		(325,391	)		(129,438	)
Illumina, Inc.		(4,203	)		(697,589	)		107,571
Incyte Corp.		(3,853	)		(276,783	)		(31,380	)
International Paper Co.		(491	)		(16,252	)		(4,556	)
Intersil Corp.		(9,830	)		(112,239	)		(20,859	)
Intuit, Inc.		(988	)		(89,789	)		(20,481	)
Invesco Ltd.		(555	)		(15,995	)		1,820
IPG Photonics Corp.		(444	)		(38,291	)		2,771
ITC Holdings Corp.		(13,730	)		(525,740	)		(117,099	)
Janus Capital Group, Inc.		(1,132	)		(13,736	)		(2,021	)
JB Hunt Transport Services, Inc.		(1,315	)		(88,065	)		(18,357	)
Johnson Controls, Inc.		(1,174	)		(41,814	)		(10,147	)
Joy Global, Inc.		(17,437	)		(157,955	)		(210,663	)
Kansas City Southern		(5,410	)		(356,411	)		(130,976	)
Kate Spade & Co.		(20,897	)		(330,219	)		(100,469	)
KBR, Inc.		(17,742	)		(249,197	)		14,293
Kellogg Co.		(2,360	)		(168,446	)		(24,248	)
Kennametal, Inc.		(14,544	)		(242,325	)		(79,243	)
Keysight Technologies, Inc.		(6,434	)		(152,268	)		(34,897	)
Kinder Morgan, Inc.		(14,804	)		(189,943	)		(87,188	)
KLX, Inc.		(5,440	)		(151,610	)		(17,030	)
Knowles Corp.		(14,686	)		(179,808	)		(21,096	)
Kosmos Energy Ltd.		(13,496	)		(48,046	)		(25,507	)
Landstar System, Inc.		(2,695	)		(155,978	)		(29,060	)
Legg Mason, Inc.		(9,950	)		(323,168	)		29,742
LendingClub Corp.		(23,514	)		(92,321	)		(8,790	)
Leucadia National Corp.		(16,498	)		(262,978	)		(22,932	)
Lexmark International, Inc.		(3,442	)		(94,346	)		(35,590	)
Liberty Broadband Corp.		(3,098	)		(149,660	)		(36,220	)
Lincoln Electric Holdings, Inc.		(952	)		(48,637	)		(7,608	)
Linear Technology Corp.		(2,285	)		(90,952	)		(15,369	)
LinkedIn Corp.		(1,668	)		(211,427	)		(104,242	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Lions Gate Entertainment Corp.		(22,155	)	$	(500,454	)	$	52,258
Live Nation Entertainment, Inc.		(9,886	)		(220,612	)		(11,709	)
Loews Corp.		(8,394	)		(294,379	)		(50,531	)
M&T Bank Corp.		(1,585	)		(170,518	)		(16,877	)
Macy’s, Inc.		(3,714	)		(143,955	)		19,127
Manitowoc Co., Inc. (The)		(2,712	)		(18,002	)		3,222
Manitowoc Foodservice, Inc.		(18,759	)		(124,521	)		(206,012	)
Marathon Oil Corp.		(10,959	)		(118,758	)		(45,736	)
Marsh & McLennan Cos., Inc.		(9,426	)		(491,566	)		(153,738	)
Marvell Technology Group Ltd.		(3,607	)		(29,888	)		(4,486	)
MasterCard, Inc.		(3,529	)		(304,270	)		(6,493	)
MAXIMUS, Inc.		(2,061	)		(107,087	)		(7,031	)
MDU Resources Group, Inc.		(17,665	)		(294,829	)		(129,131	)
Mead Johnson Nutrition Co.		(7,364	)		(509,683	)		(158,600	)
Mercury General Corp.		(11,934	)		(535,560	)		(98,851	)
MGM Resorts International		(4,757	)		(93,380	)		(14,271	)
Michaels Cos., Inc. (The)		(4,115	)		(87,599	)		(29,431	)
Microchip Technology, Inc.		(1,197	)		(52,229	)		(8,531	)
Micron Technology, Inc.		(5,222	)		(50,602	)		(21,253	)
Middleby Corp. (The)		(1,759	)		(158,192	)		(44,533	)
Moody’s Corp.		(503	)		(44,391	)		(2,746	)
Motorola Solutions, Inc.		(982	)		(60,030	)		(4,753	)
Nabors Industries Ltd.		(25,594	)		(171,511	)		(85,709	)
National Fuel Gas Co.		(425	)		(18,113	)		(6,061	)
National Instruments Corp.		(8,289	)		(233,711	)		6,592
National Oilwell Varco, Inc.		(7,534	)		(228,532	)		(24,987	)
Navient Corp.		(12,135	)		(106,509	)		(38,504	)
NetApp, Inc.		(8,890	)		(208,639	)		(9,966	)
Netflix, Inc.		(506	)		(54,592	)		8,303
NetScout Systems, Inc.		(16,998	)		(411,551	)		33,345
NetSuite, Inc.		(6,953	)		(483,562	)		(22,616	)
New York Times Co. (The)		(1,540	)		(19,219	)		585
Newell Brands, Inc.		(876	)		(33,089	)		(9,458	)
News Corp.		(1,359	)		(16,896	)		1,471
Noble Energy, Inc.		(3,994	)		(103,125	)		(40,140	)
Nordson Corp.		(4,151	)		(235,266	)		(111,799	)
NorthStar Asset Management Group, Inc.		(22,843	)		(253,329	)		20,102
NOW, Inc.		(5,578	)		(100,182	)		(1,003	)
NRG Energy, Inc.		(36,269	)		(444,320	)		(99,353	)
Nucor Corp.		(8,446	)		(299,956	)		(117,360	)
Occidental Petroleum Corp.		(6,991	)		(397,657	)		(130,583	)

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

AQR Funds Semi-Annual Report June 2016

277

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ocwen Financial Corp.		(5,500	)	$	(30,415	)	$	21,010
Office Depot, Inc.		(18,886	)		(66,652	)		4,140
OGE Energy Corp.		(30,273	)		(753,440	)		(238,001	)
Oil States International, Inc.		(6,520	)		(165,608	)		(48,770	)
Old Dominion Freight Line, Inc.		(2,826	)		(146,080	)		(24,356	)
Olin Corp.		(22,748	)		(366,935	)		(198,125	)
ONEOK, Inc.		(1,297	)		(26,965	)		(34,578	)
Owens-Illinois, Inc.		(24,527	)		(321,181	)		(120,550	)
PacWest Bancorp		(3,529	)		(125,327	)		(15,057	)
Palo Alto Networks, Inc.		(2,159	)		(301,615	)		36,835
Pandora Media, Inc.		(24,992	)		(265,330	)		(45,820	)
Patterson Cos., Inc.		(6,423	)		(260,133	)		(47,464	)
Paychex, Inc.		(550	)		(26,125	)		(6,600	)
PayPal Holdings, Inc.		(7,131	)		(229,618	)		(30,735	)
PerkinElmer, Inc.		(704	)		(33,630	)		(3,274	)
Pitney Bowes, Inc.		(4,202	)		(77,527	)		2,731
Platform Specialty Products Corp.		(44,064	)		(330,208	)		(61,081	)
Polaris Industries, Inc.		(585	)		(44,450	)		(3,380	)
PolyOne Corp.		(610	)		(15,287	)		(6,210	)
Praxair, Inc.		(3,940	)		(387,042	)		(55,774	)
Premier, Inc.		(13,456	)		(428,776	)		(11,235	)
Priceline Group, Inc. (The)		(62	)		(67,859	)		(9,542	)
Primerica, Inc.		(1,555	)		(67,105	)		(21,903	)
Principal Financial Group, Inc.		(6,029	)		(229,489	)		(18,363	)
PTC, Inc.		(3,158	)		(95,056	)		(23,622	)
PulteGroup, Inc.		(4,512	)		(73,198	)		(14,741	)
Qorvo, Inc.		(2,422	)		(89,871	)		(43,969	)
QUALCOMM, Inc.		(4,594	)		(211,977	)		(34,124	)
Quanta Services, Inc.		(10,062	)		(176,588	)		(56,045	)
Regal Beloit Corp.		(778	)		(41,914	)		(915	)
Rent-A-Center, Inc.		(5,466	)		(76,994	)		9,872
ResMed, Inc.		(2,082	)		(121,265	)		(10,380	)
Restoration Hardware Holdings, Inc.		(4,494	)		(154,760	)		25,872
Rice Energy, Inc.		(3,353	)		(28,433	)		(45,467	)
Robert Half International, Inc.		(1,032	)		(44,924	)		5,543
Rockwell Collins, Inc.		(1,487	)		(127,317	)		714
Rollins, Inc.		(7,669	)		(200,165	)		(24,307	)
Roper Technologies, Inc.		(1,472	)		(249,533	)		(1,531	)
RR Donnelley & Sons Co.		(3,637	)		(47,717	)		(13,821	)
salesforce.com, Inc.		(2,175	)		(153,990	)		(18,727	)
Sally Beauty Holdings, Inc.		(8,379	)		(217,351	)		(29,075	)
Santander Consumer USA Holdings, Inc.		(9,190	)		(105,156	)		10,223
SBA Communications Corp.		(3,181	)		(288,898	)		(54,459	)
Schlumberger Ltd.		(3,914	)		(254,165	)		(55,354	)
Seagate Technology plc		(7,402	)		(200,797	)		20,484
Sealed Air Corp.		(1,958	)		(78,257	)		(11,752	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Seattle Genetics, Inc.		(5,110	)	$	(179,281	)	$	(27,215	)
Sempra Energy		(6,547	)		(605,597	)		(140,891	)
ServiceNow, Inc.		(1,907	)		(134,574	)		7,949
Sherwin-Williams Co. (The)		(466	)		(117,098	)		(19,752	)
Signet Jewelers Ltd.		(1,201	)		(146,415	)		47,440
Silgan Holdings, Inc.		(5,062	)		(262,479	)		1,989
Silicon Laboratories, Inc.		(1,469	)		(62,932	)		(8,667	)
Sirius XM Holdings, Inc.		(73,872	)		(270,372	)		(21,423	)
Six Flags Entertainment Corp.		(3,518	)		(168,829	)		(35,039	)
SLM Corp.		(60,323	)		(337,474	)		(35,322	)
Sotheby’s		(12,367	)		(308,473	)		(30,382	)
Southwestern Energy Co.		(3,357	)		(40,241	)		(1,990	)
Spectra Energy Corp.		(10,663	)		(260,924	)		(129,662	)
Spirit Airlines, Inc.		(1,920	)		(89,119	)		2,969
Splunk, Inc.		(8,760	)		(423,366	)		(51,251	)
Sprouts Farmers Market, Inc.		(20,913	)		(456,949	)		(21,959	)
SPX Corp.		(13,260	)		(141,253	)		(55,658	)
Staples, Inc.		(13,856	)		(122,929	)		3,491
Steel Dynamics, Inc.		(2,864	)		(46,626	)		(23,542	)
Stericycle, Inc.		(2,437	)		(283,956	)		30,215
Stifel Financial Corp.		(5,391	)		(184,366	)		14,819
SunPower Corp.		(11,292	)		(220,420	)		45,507
Superior Energy Services, Inc.		(22,070	)		(259,287	)		(147,021	)
SVB Financial Group		(3,271	)		(321,162	)		9,894
Synovus Financial Corp.		(4,641	)		(136,003	)		1,461
T Rowe Price Group, Inc.		(356	)		(23,339	)		(2,638	)
Targa Resources Corp.		(10,037	)		(239,342	)		(183,617	)
TCF Financial Corp.		(15,633	)		(188,293	)		(9,464	)
Tempur Sealy International, Inc.		(4,061	)		(224,189	)		(466	)
Tenet Healthcare Corp.		(17,648	)		(423,728	)		(64,062	)
Teradata Corp.		(11,249	)		(256,563	)		(25,450	)
TerraForm Power, Inc.		(19,824	)		(177,644	)		(38,437	)
Tiffany & Co.		(5,914	)		(379,797	)		21,172
Timken Co. (The)		(3,038	)		(72,444	)		(20,701	)
Toll Brothers, Inc.		(1,016	)		(29,027	)		1,687
TransDigm Group, Inc.		(1,435	)		(316,877	)		(61,518	)
TreeHouse Foods, Inc.		(3,254	)		(236,280	)		(97,743	)
TRI Pointe Group, Inc.		(3,559	)		(36,011	)		(6,057	)
Trimble Navigation Ltd.		(17,803	)		(348,227	)		(85,454	)
TripAdvisor, Inc.		(3,050	)		(217,129	)		21,015
Triumph Group, Inc.		(4,238	)		(138,554	)		(11,895	)
Twenty-First Century Fox, Inc.		(1,909	)		(50,321	)		(1,317	)
Twitter, Inc.		(20,069	)		(363,429	)		24,062
Ultimate Software Group, Inc. (The)		(168	)		(28,792	)		(6,537	)
Umpqua Holdings Corp.		(8,530	)		(119,498	)		(12,461	)
Under Armour, Inc.		(2,066	)		(69,603	)		(13,306	)
Union Pacific Corp.		(6,373	)		(465,333	)		(90,712	)

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

AQR Funds Semi-Annual Report June 2016

278

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United Natural Foods, Inc.		(2,365	)	$	(83,745	)	$	(26,937	)
United Rentals, Inc.		(3,400	)		(183,600	)		(44,540	)
United Technologies Corp.		(3,575	)		(304,733	)		(61,883	)
Urban Outfitters, Inc.		(6,189	)		(128,669	)		(41,528	)
USG Corp.		(9,375	)		(168,937	)		(83,813	)
Valley National Bancorp		(19,047	)		(161,728	)		(11,981	)
VCA, Inc.		(280	)		(13,082	)		(5,849	)
Veeva Systems, Inc.		(12,975	)		(311,465	)		(131,242	)
VeriFone Systems, Inc.		(8,964	)		(199,167	)		32,974
Verisk Analytics, Inc.		(951	)		(68,025	)		(9,082	)
Vertex Pharmaceuticals, Inc.		(5,925	)		(549,251	)		39,582
VF Corp.		(1,698	)		(100,030	)		(4,381	)
Viacom, Inc.		(1,778	)		(74,178	)		445
Viavi Solutions, Inc.		(44,240	)		(217,826	)		(75,485	)
Visteon Corp.		(1,143	)		(117,386	)		42,165
WABCO Holdings, Inc.		(1,473	)		(146,100	)		11,217
Waddell & Reed Financial, Inc.		(2,875	)		(71,731	)		22,224
Walgreens Boots Alliance, Inc.		(532	)		(42,932	)		(1,367	)
WEC Energy Group, Inc.		(8,113	)		(439,643	)		(90,135	)
Wendy’s Co. (The)		(18,350	)		(178,019	)		1,492
WESCO International, Inc.		(3,038	)		(111,431	)		(44,996	)
WestRock Co.		(3,884	)		(121,381	)		(29,591	)
WEX, Inc.		(2,498	)		(175,613	)		(45,884	)
WhiteWave Foods Co. (The)		(19,386	)		(697,199	)		(212,779	)
Whiting Petroleum Corp.		(4,383	)		(39,793	)		(794	)
Whole Foods Market, Inc.		(5,318	)		(156,402	)		(13,880	)
Williams-Sonoma, Inc.		(2,244	)		(113,759	)		(3,220	)
WisdomTree Investments, Inc.		(40,907	)		(475,436	)		74,956

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Workday, Inc.		(4,492	)	$	(296,649	)	$	(38,769	)
Worthington Industries, Inc.		(1,433	)		(39,135	)		(21,481	)
WR Grace & Co.		(4,222	)		(215,498	)		(93,595	)
Wynn Resorts Ltd.		(3,322	)		(201,946	)		(99,160	)
Xerox Corp.		(3,380	)		(30,889	)		(1,187	)
Yahoo!, Inc.		(11,406	)		(339,214	)		(89,195	)
Yelp, Inc.		(8,447	)		(196,981	)		(59,470	)
Yum! Brands, Inc.		(3,666	)		(252,111	)		(51,874	)
Zayo Group Holdings, Inc.		(3,454	)		(93,295	)		(3,175	)
Zebra Technologies Corp.		(6,885	)		(394,681	)		49,743
Zions Bancorporation		(21,147	)		(464,077	)		(67,347	)
Zoetis, Inc.		(4,920	)		(212,495	)		(21,008	)
Zynga, Inc.		(73,159	)		(168,377	)		(13,789	)
								(11,771,579	)
Total of Short Equity Positions								(11,813,936	)
Total of Long and Short Equity Positions								(118,392	)
Net Cash and Other Receivables/ (Payables) (b)								68,116
Swaps, at Value							$	(50,276	)

(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 Semi-Annual Report June 2016

279

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total Return Basket Swaps Outstanding at June 30, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	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 - 60 months maturity ranging from 07/20/2016 - 12/21/2020		$(337,882	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		659	$	72,232	$	(25	)
Air France-KLM		27,655		239,902		(65,376	)
Atos SE		3,506		283,737		5,329
AXA SA		11,667		292,138		(61,451	)
BNP Paribas SA		5,544		276,285		(33,150	)
Capgemini SA		3,283		287,272		(3,972	)
Christian Dior SE		1,244		205,335		(6,056	)
Cie Generale des Etablissements Michelin		3,802		336,403		21,900
Credit Agricole SA		2,267		24,497		(5,438	)
Dassault Systemes		352		25,250		1,289
Eiffage SA		1,684		105,373		14,342
Eutelsat Communications SA		3,312		99,218		(36,704	)
Imerys SA		1,156		74,210		(450	)
Ipsen SA		3,730		224,649		3,891
Lagardere SCA		10,015		278,061		(60,215	)
Orange SA		22,651		398,535		(30,219	)
Orpea		864		68,292		2,553
Peugeot SA		15,478		235,617		(50,097	)
Publicis Groupe SA		1,360		79,803		11,185
Safran SA		607		37,439		3,437
Sanofi		2,060		164,143		7,008
SCOR SE		10,374		355,909		(49,201	)
SEB SA		1,716		171,448		35,461
Societe BIC SA		513		82,286		(10,007	)
Societe Generale SA		8,543		339,385		(72,109	)
Sodexo SA		1,921		186,703		19,092
Suez		3,530		63,482		(8,423	)
Teleperformance		3,067		248,660		12,593
Television Francaise 1		1,275		13,916		(413	)
Thales SA		3,442		261,748		24,090
Valeo SA		3,180		144,674		(3,501	)
Veolia Environnement SA		24,354		561,432		(35,516	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Vinci SA		3,140		$	200,672		$	20,908
								(349,245	)
Total of Long Equity Positions								(349,245	)
Short Positions
Common Stocks
France
Accor SA		(2,780	)		(104,134	)		(2,385	)
Air Liquide SA		(346	)		(36,282	)		235
Airbus Group SE		(785	)		(49,155	)		4,159
Alstom SA		(1,378	)		(33,873	)		2,057
Arkema SA		(626	)		(38,425	)		(9,435	)
Bollore SA		(27,896	)		(113,179	)		19,267
Bureau Veritas SA		(4,536	)		(87,454	)		(7,779	)
Carrefour SA		(582	)		(15,525	)		1,211
Cie de Saint-Gobain		(1,688	)		(66,533	)		2,548
Edenred		(18,477	)		(327,204	)		(51,133	)
Electricite de France SA		(1,411	)		(17,262	)		154
Engie SA		(8,422	)		(133,599	)		(1,630	)
Hermes International		(1,250	)		(414,941	)		(51,032	)
Iliad SA		(499	)		(122,194	)		21,464
Ingenico Group SA		(554	)		(61,210	)		(3,002	)
JCDecaux SA		(1,382	)		(52,143	)		5,546
Kering		(341	)		(53,640	)		(1,255	)
L’Oreal SA		(523	)		(88,588	)		(11,542	)
LVMH Moet Hennessy Louis Vuitton SE		(970	)		(157,591	)		11,378
Natixis SA		(52,338	)		(249,008	)		52,067
Numericable-SFR SA		(3,987	)		(147,645	)		48,010
Pernod Ricard SA		(1,145	)		(127,898	)		1,128
Plastic Omnium SA		(4,749	)		(153,932	)		21,168
Remy Cointreau SA		(3,204	)		(216,259	)		(59,544	)
Renault SA		(369	)		(30,936	)		3,078
Rexel SA		(2,148	)		(24,395	)		(2,611	)
Schneider Electric SE		(2,157	)		(111,411	)		(14,430	)
Technip SA		(4,547	)		(184,879	)		(61,227	)

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

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280

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
TOTAL SA		(4,588	)	$	(186,847	)	$	(33,175	)
Vallourec SA		(44,225	)		(198,906	)		42,484
Vivendi SA		(10,737	)		(235,995	)		35,119
Zodiac Aerospace		(13,126	)		(279,414	)		(26,795	)
								(65,902	)
Luxembourg
Eurofins Scientific SE		(66	)		(22,192	)		(2,259	)
SES SA		(8,704	)		(231,113	)		44,781
								42,522
Total of Short Equity Positions								(23,380	)
Total of Long and Short Equity Positions								(372,625	)
Net Cash and Other Receivables/ (Payables) (b)								34,743
Swaps, at Value							$	(337,882	)

(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 June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Cash		$(190,000	)		$—		$(190,000	)
BARC
Cash		—			5,498,078		5,498,078
CITI
Cash		(340,000	)		—		(340,000	)
GSCO
Cash		—			3,830,901		3,830,901
GSIN
Investment Companies		20,200,000			—		20,200,000
JPMC
Cash		2,440,000			—		2,440,000
JPMS
Cash		—			4,402,776		4,402,776
MSCL
Cash		—			141,829		141,829
MSCS
Investment Companies		1,030,341			—		1,030,341

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

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281

Consolidated Schedule of Investments June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Cash		$(360,000	)		$—		$(360,000	)
GSCO
Cash		—			44,632		44,632
JPPC
Cash		—			547,566		547,566
MACQ
Investment Companies		720,005			—		720,005
MSCL
Cash		—			2,237,128		2,237,128
SOCG
Cash		(460,000	)		—		(460,000	)

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

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282

Schedule of Investments June 30, 2016 (Unaudited)

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America NA

BARC - Barclays Capital, Inc.

CITG - Citigroup Global Markets, Inc.

CITI - Citibank NA

CRSU - Credit Suisse Securities (USA) LLC

DTBK - Deutsche Bank AG

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MPFS - Merrill Lynch, Pierce, Fenner & Smith, Inc.

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

MSIP - Morgan Stanley & Co. International plc

SOCG - Societe Generale

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

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283

Statements of Assets and Liabilities June 30, 2016 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
ASSETS:
Investments in securities, at cost	$	764,455,998		$	1,029,921,270		$	29,417,719		$	1,451,323,505
Investments in securities, at value	$	686,451,073		$	1,037,559,357		$	29,426,596		$	1,460,464,060
Cash		—			2,020,643			—			—
Cash denominated in foreign currencies‡		1,422,415			842,707			1,312			1,031,637
Due from brokers		57,392,936			21,483,781			96,472			40,712,715
Unrealized appreciation on forward foreign currency exchange contracts		81,387			585,646			1,680,175			4,645,020
Unrealized appreciation on OTC swaps		2,850,607			10,747,195			56,515			13,829,152
Deposits with brokers for exchange-traded and centrally cleared derivatives		3,331,946			52			3,761,928			37,092,621
Variation margin on exchange-traded and centrally cleared derivatives		—			—			72,606			7,736,754
Receivables:
Securities sold		38,438,174			209,236			944,449			2,611
Foreign tax reclaims		65,461			190,063			—			285,790
Dividends and interest		2,126,855			270,420			3,122			307,951
Capital shares sold		168,529			3,933,026			12,868			9,170,335
Prepaid expenses		62,627			108,409			44,185			155,560
Total Assets		792,392,010			1,077,950,535			36,100,228			1,575,434,206
LIABILITIES:
Securities sold short, at value (proceeds $206,995,430, $179,740,406, $— and $262,161,662, respectively)		198,263,458			175,457,301			—			253,889,443
Options written, at value (proceeds $10,879, $—, $— and $—, respectively)		5,530			—			—			—
Due to custodian		27,741,636			—			—			15,008
Due to brokers		—			—			118,015			2,611
Unrealized depreciation on forward foreign currency exchange contracts		218,559			42,089			1,098,788			4,733,835
Unrealized depreciation on OTC swaps		840,793			3,342,053			54,895			15,762,744
Variation margin on exchange-traded and centrally cleared derivatives		611,892			—			169,172			—
Payables:
Securities purchased		39,980,150			209,854			945,032			2,608
Accrued investment advisory fees		381,997			778,739			18,657			1,133,384
Accrued distribution fees—Class N		27,356			39,389			1,462			32,350
Accrued Trustee fees		1,158			98			23			53
Capital shares redeemed		858,460			3,843,844			1,453,067			3,499,216
Dividends and interest payable on securities sold short		470,403			403,103			—			616,694
Other accrued expenses and liabilities		605,222			176,623			90,365			722,894
Total Liabilities		270,006,614			184,293,093			3,949,476			280,410,840
Net Assets	$	522,385,396		$	893,657,442		$	32,150,752		$	1,295,023,366
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	854,270,078		$	897,333,500		$	33,666,446		$	1,268,661,385
Undistributed accumulated net investment income (loss)		11,610,807			(7,417,069	)		(203,584	)		(779,863	)
Undistributed accumulated net realized gain (loss)		(274,347,669	)		(16,073,239	)		(1,991,168	)		7,745,150
Net unrealized appreciation (depreciation)		(69,147,820	)		19,814,250			679,058			19,396,694
Net Assets	$	522,385,396		$	893,657,442		$	32,150,752		$	1,295,023,366
NET ASSETS:
Class I	$	405,300,510		$	564,685,255		$	23,894,863		$	984,543,684
Class N		113,449,924			182,821,745			4,030,802			155,919,745
Class R6		3,634,962			146,150,442			4,225,087			154,559,937
SHARES OUTSTANDING:
Class I		43,963,762			49,083,849			2,570,508			79,851,497
Class N		12,332,692			15,939,789			436,203			12,714,201
Class R6		394,748			12,694,896			454,425			12,517,119
NET ASSET VALUE:
Class I	$	9.22		$	11.50		$	9.30		$	12.33
Class N	$	9.20		$	11.47		$	9.24		$	12.26
Class R6	$	9.21		$	11.51		$	9.30		$	12.35
‡Cash denominated in foreign currencies at cost	$	1,595,819		$	848,795		$	1,321		$	1,036,906

** 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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284

Statements of Assets and Liabilities June 30, 2016 (Unaudited)

	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	$	12,907,363,966		$	670,441,975		$	3,396,833,255		$	147,529,856
Investments in securities, at value	$	12,912,371,899		$	670,593,318		$	3,426,358,213		$	147,559,891
Cash		24,770,378			2,119,507			2,019,163			—
Cash denominated in foreign currencies‡		2,555,698			59,743			30,753,653			—
Due from brokers		39,345,817			2,195,939			984,412,268			786,602
Unrealized appreciation on forward foreign currency exchange contracts		552,050,171			44,320,263			109,791,404			—
Unrealized appreciation on OTC swaps		17,533,903			1,528,997			31,284,918			5,474,026
Deposits with brokers for exchange-traded and centrally cleared derivatives		136,307,740			30,424,112			76,581,436			13,408,773
Variation margin on exchange-traded and centrally cleared derivatives		10,106,031			946,734			8,535,391			—
Receivables:
Securities sold		2,878,440,222			230,571,312			466,944,660			—
Foreign tax reclaims		—			—			1,012,119			—
Dividends and interest		371,577			22,733			4,806,979			14,851
Capital shares sold		51,125,133			1,293,082			3,502,140			1,178,989
Prepaid expenses		479,215			104,332			192,119			39,362
Total Assets		16,625,457,784			984,180,072			5,146,194,463			168,462,494
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $972,914,850 and $—, respectively)		—			—			972,059,782			—
Options written, at value (proceeds $—, $—, $4,430,484 and $—, respectively)		—			—			7,787,440			—
Due to brokers		62,938,987			4,585,184			23,021,725			332,777
Unrealized depreciation on forward foreign currency exchange contracts		299,418,415			24,095,295			41,209,694			—
Unrealized depreciation on OTC swaps		45,658,987			3,503,424			55,594,208			5,133,735
Deposits from brokers for exchange-traded and centrally cleared derivatives		20,342,872			70,968			—			—
Variation margin on exchange-traded and centrally cleared derivatives		32,035,552			1,439,095			1,146,356			994,017
Payables:
Securities purchased		2,849,629,590			230,578,283			482,220,251			—
Accrued investment advisory fees		11,017,870			797,174			5,290,618			93,932
Accrued distribution fees—Class N		612,059			30,393			99,220			740
Accrued Trustee fees		91			10			226			34
Capital shares redeemed		13,139,874			515,545			3,218,528			8,710
Dividends and interest payable on securities sold short		—			—			1,309,705			—
Other accrued expenses and liabilities		1,572,776			59,114			977,679			96,554
Total Liabilities		3,336,367,073			265,674,485			1,593,935,432			6,660,499
Net Assets	$	13,289,090,711		$	718,505,587		$	3,552,259,031		$	161,801,995
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	13,200,274,037		$	716,594,134		$	3,688,767,371		$	148,237,112
Undistributed accumulated net investment income (loss)		23,540,772			2,294,310			(155,486,850	)		(9,069,829	)
Undistributed accumulated net realized gain (loss)		(488,743,115	)		(45,110,439	)		(60,942,698	)		14,144,776
Net unrealized appreciation (depreciation)		554,019,017			44,727,582			79,921,208			8,489,936
Net Assets	$	13,289,090,711		$	718,505,587		$	3,552,259,031		$	161,801,995
NET ASSETS:
Class I	$	9,577,768,224		$	369,183,988		$	2,789,500,908		$	65,610,621
Class N		3,059,908,587			153,790,133			481,776,036			3,844,036
Class R6		651,413,900			195,531,466			280,982,087			92,347,338
SHARES OUTSTANDING:
Class I		920,359,232			33,693,000			293,616,308			9,787,793
Class N		297,019,556			14,106,060			50,888,439			579,602
Class R6		62,601,744			17,838,522			29,558,095			13,747,606
NET ASSET VALUE:
Class I	$	10.41		$	10.96		$	9.50		$	6.70
Class N	$	10.30		$	10.90		$	9.47		$	6.63
Class R6	$	10.41		$	10.96		$	9.51		$	6.72
‡Cash denominated in foreign currencies at cost	$	2,520,525		$	59,754		$	30,806,526		$	—

** 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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285

Statements of Assets and Liabilities June 30, 2016 (Unaudited)

	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	$	408,972,984		$	63,005,125		$	90,777,722		$	3,970,644,363
Investments in securities, at value	$	411,480,400		$	63,396,429		$	91,182,209		$	3,988,917,199
Cash		2,679			120,310			130,201			11,442,045
Cash denominated in foreign currencies‡		922,982			16,769			86,543			7,380,575
Due from brokers		280,505			176,054			318,620			66,525,538
Unrealized appreciation on forward foreign currency exchange contracts		6,246,558			376,871			440,895			100,085,033
Unrealized appreciation on OTC swaps		3,295,967			742,668			1,457,777			83,987,103
Deposits with brokers for exchange-traded and centrally cleared derivatives		23,036,780			3,165,188			2,344,963			233,635,797
Variation margin on exchange-traded and centrally cleared derivatives		1,695,501			223,857			300,218			15,147,365
Receivables:
Securities sold		1,030,940			209,256			—			20,915,543
Foreign tax reclaims		—			—			—			1,584,241
Dividends and interest		337,037			54,488			64,003			1,237,822
Capital shares sold		115,857			225,114			233,464			8,957,653
Prepaid expenses		43,038			36,812			43,226			406,623
Total Assets		448,488,244			68,743,816			96,602,119			4,540,222,537
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $— and $785,923,278, respectively)		—			—			—			728,621,386
Reverse repurchase agreements, at value		—			10,953,690			—			—
Due to brokers		1,437,163			11,908			88,449			13,825,604
Unrealized depreciation on forward foreign currency exchange contracts		918,025			1,162			1,992			49,277,389
Unrealized depreciation on OTC swaps		1,731,096			516,020			1,158,179			141,570,907
Deposits from brokers for exchange-traded and centrally cleared derivatives		35,533			—			95,268			—
Variation margin on exchange-traded and centrally cleared derivatives		914,552			223,319			212,263			7,866,907
Payables:
Securities purchased		—			211,209			—			20,864,241
Accrued investment advisory fees		263,187			26,484			44,144			3,768,103
Accrued distribution fees—Class N		4,318			1,260			1,502			41,841
Accrued Trustee fees		366			5			3			89
Capital shares redeemed		354,562			9			25,264			3,497,302
Dividends and interest payable on securities sold short		—			—			—			1,451,883
Interest payable for reverse repurchase agreements		—			2,791			—			—
Other accrued expenses and liabilities		286,088			88,491			111,513			1,200,700
Total Liabilities		5,944,890			12,036,348			1,738,577			971,986,352
Net Assets	$	442,543,354		$	56,707,468		$	94,863,542		$	3,568,236,185
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	425,233,499		$	54,916,931		$	92,534,473		$	3,582,911,094
Undistributed accumulated net investment income (loss)		(12,425,491	)		(2,623,521	)		(3,040,585	)		20,159,309
Undistributed accumulated net realized gain (loss)		9,719,596			1,338,329			1,900,537			(112,515,695	)
Net unrealized appreciation (depreciation)		20,015,750			3,075,729			3,469,117			77,681,477
Net Assets	$	442,543,354		$	56,707,468		$	94,863,542		$	3,568,236,185
NET ASSETS:
Class I	$	420,574,386		$	47,697,288		$	86,845,590		$	2,199,855,538
Class N		21,562,630			6,313,053			7,404,207			224,580,873
Class R6		406,338			2,697,127			613,745			1,143,799,774
SHARES OUTSTANDING:
Class I		41,711,713			5,302,710			9,170,595			217,589,147
Class N		2,145,858			701,864			785,365			22,254,413
Class R6		40,261			299,966			64,823			112,979,585
NET ASSET VALUE:
Class I	$	10.08		$	8.99		$	9.47		$	10.11
Class N	$	10.05		$	8.99		$	9.43		$	10.09
Class R6	$	10.09		$	8.99		$	9.47		$	10.12
‡Cash denominated in foreign currencies at cost	$	1,009,854		$	16,978		$	91,362		$	7,392,874

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

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

AQR Funds Semi-Annual Report June 2016

286

Statements of Assets and Liabilities June 30, 2016 (Unaudited)

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
ASSETS:
Investments in securities, at cost	$	409,174,896
Investments in securities, at value	$	410,298,479
Cash		1,201,261
Cash denominated in foreign currencies‡		328,207
Due from brokers		3,412,787
Unrealized appreciation on forward foreign currency exchange contracts		5,561,027
Unrealized appreciation on OTC swaps		1,122,426
Deposits with brokers for exchange-traded and centrally cleared derivatives		16,616,222
Variation margin on exchange-traded and centrally cleared derivatives		724,419
Receivables:
Securities sold		2,033,627
Foreign tax reclaims		43,778
Dividends and interest		103,615
Capital shares sold		3,189,912
Prepaid expenses		48,061
Total Assets		444,683,821
LIABILITIES:
Securities sold short, at value (proceeds $41,709,948)		38,617,266
Due to brokers		903,098
Unrealized depreciation on forward foreign currency exchange contracts		2,746,121
Unrealized depreciation on OTC swaps		3,509,717
Variation margin on exchange-traded and centrally cleared derivatives		260,414
Payables:
Securities purchased		2,083,266
Accrued investment advisory fees		202,288
Accrued distribution fees—Class N		9,551
Accrued Trustee fees		11
Capital shares redeemed		1,965,435
Dividends and interest payable on securities sold short		72,617
Other accrued expenses and liabilities		188,559
Total Liabilities		50,558,343
Net Assets	$	394,125,478
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	393,162,956
Undistributed accumulated net investment income (loss)		(1,669,411	)
Undistributed accumulated net realized gain (loss)		(2,473,799	)
Net unrealized appreciation (depreciation)		5,105,732
Net Assets	$	394,125,478
NET ASSETS:
Class I	$	293,849,188
Class N		47,293,621
Class R6		52,982,669
SHARES OUTSTANDING:
Class I		28,108,466
Class N		4,532,182
Class R6		5,062,811
NET ASSET VALUE:
Class I	$	10.45
Class N	$	10.44
Class R6	$	10.47
‡ Cash denominated in foreign currencies at cost	$	326,788

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

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

AQR Funds Semi-Annual Report June 2016

287

Statements of Operations June 30, 2016 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND**		AQR LONG-SHORT EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016
INVESTMENT INCOME:
Dividend income†		$4,334,537		$4,247,952		$15,167		$5,537,071
Interest income		4,903,342		313,685		46,048		651,793
Total Income		9,237,879		4,561,637		61,215		6,188,864
EXPENSES:
Investment advisory fees		3,373,890		3,687,296		291,034		5,178,540
Custody fees		76,256		8,843		12,161		17,856
Administration & accounting fees		91,200		95,777		8,096		136,931
Legal fees		53,098		4,696		4,598		6,672
Audit & tax fees		126,032		23,843		34,227		21,765
Shareholder reporting fees		63,978		43,199		5,420		49,958
Transfer agent fees		310,211		264,105		20,393		334,342
Trustee fees		16,110		11,290		3,770		14,785
Distribution fees—Class N		203,609		229,253		12,910		160,341
Dividends and interest on securities sold short (Note 4)		3,529,255		4,194,375		—		5,356,123
Recoupment of waiver		—		58,892		—		120,090
Registration fees		44,103		34,894		25,431		40,491
Pricing fee		160,131		10,575		24,478		10,616
Other expenses		27,666		19,887		2,760		25,457
Total Expenses		8,075,539		8,686,925		445,278		11,473,967
Less fee waivers and/or reimbursements		(336,239)		—		(105,625)		—
Net Expenses		7,739,300		8,686,925		339,653		11,473,967
Net Investment Income (Loss)		1,498,579		(4,125,288)		(278,438)		(5,285,103)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(160,005,097)		142,048		(170,934)		(2,010,182)
Foreign currency and foreign currency transactions		(109,591)		59,474		34,060		(121,861)
Forward foreign currency exchange contracts		(453,452)		(490,674)		220,595		4,921,572
Futures contracts		(2,208,227)		813,308		(884,295)		15,583,838
Securities sold short		99,511,709		(5,357,590)		—		(2,404,696)
Swap contracts		(3,860,571)		(11,225,942)		(256,893)		(1,442,151)
Written options		2,400,355		—		—		—
Net realized gain (loss)		(64,724,874)		(16,059,376)		(1,057,467)		14,526,520
Net change in unrealized appreciation (depreciation) on:
Investments in securities		144,421,918		7,411,469		8,908		11,407,760
Foreign currency and foreign currency translations		113,374		(2,619)		30,798		(77,887)
Forward foreign currency exchange contracts		(1,240,512)		613,295		71,565		(353,864)
Futures contracts		(718,546)		—		165,938		926,124
Securities sold short		(85,723,085)		1,980,144		—		(2,040,778)
Swap contracts		1,741,847		1,704,979		(470,195)		(2,301,280)
Written options		(2,181,646)		—		—		—
Net change in unrealized appreciation (depreciation)		56,413,350		11,707,268		(192,986)		7,560,075
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(8,311,524)		(4,352,108)		(1,250,453)		22,086,595
Net increase (decrease) in net assets resulting from operations		$(6,812,945)		$(8,477,396)		$(1,528,891)		$16,801,492
†  Net of foreign taxes withheld of		$6,245		$579,015		$10		$796,376

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

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

AQR Funds Semi-Annual Report June 2016

288

Statements of Operations June 30, 2016 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**		AQR MANAGED FUTURES STRATEGY HV FUND**		AQR MULTI- STRATEGY ALTERNATIVE FUND**		AQR RISK- BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016
INVESTMENT INCOME:
Dividend income†		$1,617,865		$115,501		$13,502,275		$63,026
Interest income		19,555,491		921,310		6,311,649		107,672
Total Income		21,173,356		1,036,811		19,813,924		170,698
EXPENSES:
Investment advisory fees		58,648,096		4,555,489		28,884,936		533,545
Custody fees		507,422		30,776		37,016		6,914
Administration & accounting fees		1,834,492		103,424		506,201		21,641
Legal fees		128,441		5,500		34,329		2,603
Audit & tax fees		57,990		56,779		115,389		56,718
Shareholder reporting fees		487,463		44,279		118,275		5,374
Transfer agent fees		4,214,374		207,235		1,280,892		15,639
Trustee fees		162,217		11,940		48,149		4,817
Distribution fees—Class N		2,550,356		178,564		466,978		3,317
Dividends and interest on securities sold short (Note 4)		—		—		8,207,892		—
Recoupment of waiver		31,142		—		222,194		—
Registration fees		209,555		43,509		58,209		17,485
Pricing fee		—		—		12,543		—
Other expenses		230,110		13,964		80,431		3,957
Total Expenses		69,061,658		5,251,459		40,073,434		672,010
Less fee waivers and/or reimbursements		—		(8,470)		—		(61,580)
Net Expenses		69,061,658		5,242,989		40,073,434		610,430
Net Investment Income (Loss)		(47,888,302)		(4,206,178)		(20,259,510)		(439,732)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		31,038		(217)		29,556,425		281
Foreign currency and foreign currency transactions		(10,970,868)		(768,683)		(2,540,153)		—
Forward foreign currency exchange contracts		(111,663,080)		(11,505,393)		18,590,098		—
Futures contracts		(183,887,508)		(18,058,471)		(76,000,643)		12,449,413
Securities sold short		—		—		(7,397,475)		—
Swap contracts		35,512,389		2,285,023		64,661,678		1,707,712
Written options		—		—		51,630		—
Net realized gain (loss)		(270,978,029)		(28,047,741)		26,921,560		14,157,406
Net change in unrealized appreciation (depreciation) on:
Investments in securities		3,756,479		117,404		(1,626,269)		27,032
Foreign currency and foreign currency translations		1,589,062		182,293		(982,218)		—
Forward foreign currency exchange contracts		294,276,065		23,511,340		54,871,521		—
Futures contracts		325,952,280		26,271,440		15,521,344		11,474,732
Securities sold short		—		—		(103,404)		—
Swap contracts		(38,196,998)		(2,662,823)		(160,953,327)		574,213
Written options		—		—		(3,356,956)		—
Net change in unrealized appreciation (depreciation)		587,376,888		47,419,654		(96,629,309)		12,075,977
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		316,398,859		19,371,913		(69,707,749)		26,233,383
Net increase (decrease) in net assets resulting from operations		$268,510,557		$15,165,735		$(89,967,259)		$25,793,651
†  Net of foreign taxes withheld of		$29,053		$261		$335,330		$3,222

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

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

AQR Funds Semi-Annual Report June 2016

289

Statements of Operations June 30, 2016 (Unaudited)

	AQR RISK PARITY FUND**		AQR RISK PARITY II HV FUND**		AQR RISK PARITY II MV FUND**		AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016		FOR THE SIX MONTHS ENDED JUNE 30, 2016
INVESTMENT INCOME:
Dividend income†		$174,378		$20,827		$37,829		$18,817,088
Interest income		1,144,711		182,343		203,050		1,407,421
Total Income		1,319,089		203,170		240,879		20,224,509
EXPENSES:
Investment advisory fees		1,830,003		233,597		327,988		19,346,668
Custody fees		32,930		10,802		10,094		38,722
Administration & accounting fees		83,453		8,039		14,634		432,326
Legal fees		11,857		2,064		2,744		18,867
Audit & tax fees		65,275		56,799		56,799		51,353
Shareholder reporting fees		22,205		1,947		3,628		104,178
Transfer agent fees		167,237		16,563		48,727		893,380
Trustee fees		10,733		3,700		4,303		39,381
Distribution fees—Class N		25,458		7,258		7,754		205,601
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4)		—		23,873		—		15,077,715
Registration fees		22,767		19,605		21,943		62,039
Pricing fee		15,049		25		25		10,617
Other expenses		11,717		2,568		2,885		74,224
Total Expenses		2,298,684		386,840		501,524		36,355,071
Less fee waivers and/or reimbursements		(37,845)		(88,594)		(80,673)		(108,022)
Net Expenses		2,260,839		298,246		420,851		36,247,049
Net Investment Income (Loss)		(941,750)		(95,076)		(179,972)		(16,022,540)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(673,849)		11,526		(16,720)		(17,174,030)
Foreign currency and foreign currency transactions		1,226,764		84,989		170,506		(2,137,482)
Forward foreign currency exchange contracts		(4,543,675)		(265,414)		(335,204)		53,810,526
Futures contracts		18,559,790		3,318,577		4,500,984		(92,036,371)
Securities sold short		—		—		—		(1,914,773)
Swap contracts		3,868,277		(78,474)		(204,384)		(21,612,740)
Net realized gain (loss)		18,437,307		3,071,204		4,115,182		(81,064,870)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		6,836,097		745,002		1,076,789		2,728,224
Foreign currency and foreign currency translations		(1,395,189)		(62,819)		(161,440)		1,854,955
Forward foreign currency exchange contracts		9,249,223		492,576		592,950		43,175,351
Futures contracts		13,958,213		2,798,430		3,352,574		27,014,454
Securities sold short		—		—		—		37,683,294
Swap contracts		3,077,895		330,976		534,050		(34,659,955)
Net change in unrealized appreciation (depreciation)		31,726,239		4,304,165		5,394,923		77,796,323
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		50,163,546		7,375,369		9,510,105		(3,268,547)
Net increase (decrease) in net assets resulting from operations		$49,221,796		$7,280,293		$9,330,133		$(19,291,087)
†  Net of foreign taxes withheld of		$9,530		$1,490		$1,637		$2,787,009

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

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

AQR Funds Semi-Annual Report June 2016

290

Statements of Operations June 30, 2016 (Unaudited)

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016
INVESTMENT INCOME:
Dividend income†		$1,044,104
Interest income		176,242
Total Income		1,220,346
EXPENSES:
Investment advisory fees		1,011,349
Custody fees		6,669
Administration & accounting fees		46,482
Legal fees		16,253
Audit & tax fees		51,990
Shareholder reporting fees		10,870
Transfer agent fees		119,303
Trustee fees		6,882
Distribution fees—Class N		44,965
Dividends and interest on securities sold short (Note 4)		742,264
Registration fees		27,012
Pricing fee		10,568
Other expenses		9,704
Total Expenses		2,104,311
Less fee waivers and/or reimbursements		(37,120)
Net Expenses		2,067,191
Net Investment Income (Loss)		(846,845)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(656,473)
Foreign currency and foreign currency transactions		246,360
Forward foreign currency exchange contracts		2,705,724
Futures contracts		(5,255,244)
Securities sold short		(77,857)
Swap contracts		1,853,882
Net realized gain (loss)		(1,183,608)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		229,479
Foreign currency and foreign currency translations		88,143
Forward foreign currency exchange contracts		2,424,872
Futures contracts		1,397,623
Securities sold short		2,494,660
Swap contracts		(3,697,032)
Net change in unrealized appreciation (depreciation)		2,937,745
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		1,754,137
Net increase (decrease) in net assets resulting from operations		$907,292
†  Net of foreign taxes withheld of		$139,444

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

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

AQR Funds Semi-Annual Report June 2016

291

Statements of Changes in Net Assets June 30, 2016

	AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$1,498,579			$10,123,129			$(4,125,288	)		$(956,286	)
Net realized gain (loss)		(64,724,874	)		(55,638,448	)		(16,059,376	)		3,359,474
Net change in unrealized appreciation (depreciation)		56,413,350			(20,671,654	)		11,707,268			7,770,120
Net increase (decrease) in net assets resulting from operations		(6,812,945	)		(66,186,973	)		(8,477,396	)		10,173,308
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(40,065,363	)		—			(3,278,442	)
Class N		—			(7,997,308	)		—			(1,906,094	)
Class R6		—			(37,869	)		—			(3,572	)
Total		—			(48,100,540	)		—			(5,188,108	)
Net realized gain:
Class I		—			—			—			(142,370	)
Class N		—			—			—			(85,124	)
Class R6		—			—			—			(154	)
Total		—			—			—			(227,648	)
Total distributions		—			(48,100,540	)		—			(5,415,756	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		91,592,193			411,629,572			507,308,704			181,517,201
Reinvestment of distributions		—			32,791,578			—			3,185,521
Cost of shares redeemed		(452,036,504	)		(1,125,689,923	)		(117,956,534	)		(9,905,135	)
Net increase (decrease) from capital transactions		(360,444,311	)		(681,268,773	)		389,352,170			174,797,587
CLASS N
Proceeds from shares sold		16,348,292			61,092,221			194,078,275			104,772,329
Reinvestment of distributions		—			7,939,623			—			1,973,213
Cost of shares redeemed		(85,732,744	)		(543,339,575	)		(98,677,591	)		(19,614,748	)
Net increase (decrease) from capital transactions		(69,384,452	)		(474,307,731	)		95,400,684			87,130,794
CLASS R6
Proceeds from shares sold		3,573,796			1,113,193			152,532,939			—
Reinvestment of distributions		—			37,869			—			3,726
Cost of shares redeemed		(835,937	)		(305,690	)		(4,366,230	)		(3,363,015	)
Net increase (decrease) from capital transactions		2,737,859			845,372			148,166,709			(3,359,289	)
Net increase (decrease) in net assets resulting from capital transactions		(427,090,904	)		(1,154,731,132	)		632,919,563			258,569,092
Total increase (decrease) in net assets		(433,903,849	)		(1,269,018,645	)		624,442,167			263,326,644
NET ASSETS:
Beginning of period		956,289,245			2,225,307,890			269,215,275			5,888,631
End of period		$522,385,396			$956,289,245			$893,657,442			$269,215,275
Undistributed accumulated net investment income (loss)		$11,610,807			$10,112,228			$(7,417,069	)		$(3,291,781	)

The accompanying notes are an integral part of these financial statements. (continued on p. 293)

AQR Funds Semi-Annual Report June 2016

292

Statements of Changes in Net Assets June 30, 2016

	AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		83,828,615			152,568,773			15,613,151			144,471
Shares sold		10,023,991			41,096,650			43,648,136			16,108,285
Shares issued on reinvestment of distributions		—			3,575,962			—			274,141
Shares redeemed		(49,888,844	)		(113,412,770	)		(10,177,438	)		(913,746	)
Shares outstanding, end of period		43,963,762			83,828,615			49,083,849			15,613,151
CLASS N
Shares outstanding, beginning of period		19,881,331			67,172,038			7,826,988			123,239
Shares sold		1,792,211			6,110,275			16,674,443			9,253,007
Shares issued on reinvestment of distributions		—			866,771			—			169,958
Shares redeemed		(9,340,850	)		(54,267,753	)		(8,561,642	)		(1,719,216	)
Shares outstanding, end of period		12,332,692			19,881,331			15,939,789			7,826,988
CLASS R6
Shares outstanding, beginning of period		94,204			9,281			12,859			320,778
Shares sold		391,643			111,175			13,060,255			—
Shares issued on reinvestment of distributions		—			4,139			—			320
Shares redeemed		(91,099	)		(30,391	)		(378,218	)		(308,239	)
Shares outstanding, end of period		394,748			94,204			12,694,896			12,859

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

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Statements of Changes in Net Assets June 30, 2016

	AQR GLOBAL MACRO FUND**						AQR LONG-SHORT EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(278,438	)		$(1,077,510	)		$(5,285,103	)		$(2,581,503	)
Net realized gain (loss)		(1,057,467	)		1,388,379			14,526,520			27,471,141
Net change in unrealized appreciation (depreciation)		(192,986	)		80,064			7,560,075			7,649,879
Net increase (decrease) in net assets resulting from operations		(1,528,891	)		390,933			16,801,492			32,539,517
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			—			—			(17,673,255	)
Class N		—			—			—			(3,926,547	)
Class R6		—			—			—			(740,867	)
Total		—			—			—			(22,340,669	)
Net realized gain:
Class I		—			(1,495,562	)		—			(606,302	)
Class N		—			(1,247,409	)		—			(137,481	)
Class R6		—			(5,243	)		—			(25,262	)
Total		—			(2,748,214	)		—			(769,045	)
Total distributions		—			(2,748,214	)		—			(23,109,714	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		10,780,175			14,970,480			738,740,197			424,856,199
Reinvestment of distributions		—			1,453,010			—			18,090,946
Cost of shares redeemed		(17,131,110	)		(19,541,806	)		(222,300,775	)		(42,029,793	)
Net increase (decrease) from capital transactions		(6,350,935	)		(3,118,316	)		516,439,422			400,917,352
CLASS N
Proceeds from shares sold		4,976,521			92,106,568			122,730,699			94,735,102
Reinvestment of distributions		—			1,247,361			—			4,042,317
Cost of shares redeemed		(21,647,131	)		(72,106,801	)		(58,781,190	)		(20,804,635	)
Net increase (decrease) from capital transactions		(16,670,610	)		21,247,128			63,949,509			77,972,784
CLASS R6
Proceeds from shares sold		5,432,564			—			141,949,347			15,455,318
Reinvestment of distributions		—			5,243			—			766,129
Cost of shares redeemed		(1,126,719	)		—			(3,124,543	)		(315,394	)
Net increase (decrease) from capital transactions		4,305,845			5,243			138,824,804			15,906,053
Net increase (decrease) in net assets resulting from capital transactions		(18,715,700	)		18,134,055			719,213,735			494,796,189
Total increase (decrease) in net assets		(20,244,591	)		15,776,774			736,015,227			504,225,992
NET ASSETS:
Beginning of period		52,395,343			36,618,569			559,008,139			54,782,147
End of period		$32,150,752			$52,395,343			$1,295,023,366			$559,008,139
Undistributed accumulated net investment income (loss)		$(203,584	)		$74,854			$(779,863	)		$4,505,240

The accompanying notes are an integral part of these financial statements. (continued on p. 295)

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Statements of Changes in Net Assets June 30, 2016

	AQR GLOBAL MACRO FUND**						AQR LONG-SHORT EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,276,016			3,569,196			37,352,680			4,018,314
Shares sold		1,113,590			1,496,068			60,604,704			35,398,027
Shares issued on reinvestment of distributions		—			151,830			—			1,487,742
Shares redeemed		(1,819,098	)		(1,941,078	)		(18,105,887	)		(3,551,403	)
Shares outstanding, end of period		2,570,508			3,276,016			79,851,497			37,352,680
CLASS N
Shares outstanding, beginning of period		2,181,378			105,875			7,468,130			985,542
Shares sold		519,034			9,137,851			10,062,658			7,884,421
Shares issued on reinvestment of distributions		—			131,025			—			333,800
Shares redeemed		(2,264,209	)		(7,193,373	)		(4,816,587	)		(1,735,633	)
Shares outstanding, end of period		436,203			2,181,378			12,714,201			7,468,130
CLASS R6
Shares outstanding, beginning of period		10,855			10,307			1,335,480			39,315
Shares sold		561,243			—			11,436,305			1,260,159
Shares issued on reinvestment of distributions		—			548			—			62,953
Shares redeemed		(117,673	)		—			(254,666	)		(26,947	)
Shares outstanding, end of period		454,425			10,855			12,517,119			1,335,480

** 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 Changes in Net Assets June 30, 2016

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(47,888,302	)		$(100,238,136	)		$(4,206,178	)		$(5,452,820	)
Net realized gain (loss)		(270,978,029	)		497,065,985			(28,047,741	)		22,303,745
Net change in unrealized appreciation (depreciation)		587,376,888			(315,151,266	)		47,419,654			(15,569,317	)
Net increase (decrease) in net assets resulting from operations		268,510,557			81,676,583			15,165,735			1,281,608
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(333,412,139	)		—			(10,861,577	)
Class N		—			(62,161,470	)		—			(5,846,098	)
Class R6		—			(9,756,818	)		—			(5,368,164	)
Total		—			(405,330,427	)		—			(22,075,839	)
Net realized gain:
Class I		—			(150,600,543	)		—			(6,374,127	)
Class N		—			(29,875,741	)		—			(3,527,619	)
Class R6		—			(4,339,168	)		—			(3,115,965	)
Total		—			(184,815,452	)		—			(13,017,711	)
Total distributions		—			(590,145,879	)		—			(35,093,550	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		3,183,028,080			4,675,004,433			197,047,039			260,007,721
Reinvestment of distributions		—			364,985,185			—			15,296,145
Cost of shares redeemed		(1,559,393,364	)		(2,479,666,459	)		(95,923,332	)		(146,144,807	)
Net increase (decrease) from capital transactions		1,623,634,716			2,560,323,159			101,123,707			129,159,059
CLASS N
Proceeds from shares sold		1,760,708,357			757,841,192			39,691,180			165,922,423
Reinvestment of distributions		—			91,102,480			—			9,373,717
Cost of shares redeemed		(366,392,355	)		(498,673,872	)		(26,592,150	)		(38,822,595	)
Net increase (decrease) from capital transactions		1,394,316,002			350,269,800			13,099,030			136,473,545
CLASS R6
Proceeds from shares sold		456,123,512			272,280,313			80,495,567			107,102,117
Reinvestment of distributions		—			11,617,386			—			5,273,052
Cost of shares redeemed		(59,762,150	)		(24,442,841	)		(20,906,450	)		(15,732,433	)
Net increase (decrease) from capital transactions		396,361,362			259,454,858			59,589,117			96,642,736
Net increase (decrease) in net assets resulting from capital transactions		3,414,312,080			3,170,047,817			173,811,854			362,275,340
Total increase (decrease) in net assets		3,682,822,637			2,661,578,521			188,977,589			328,463,398
NET ASSETS:
Beginning of period		9,606,268,074			6,944,689,553			529,527,998			201,064,600
End of period		$13,289,090,711			$9,606,268,074			$718,505,587			$529,527,998
Undistributed accumulated net investment income (loss)		$23,540,772			$71,429,074			$2,294,310			$6,500,488

The accompanying notes are an integral part of these financial statements. (continued on p. 297)

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Statements of Changes in Net Assets June 30, 2016

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		763,949,205			530,096,760			24,165,693			13,022,456
Shares sold		308,198,407			425,915,818			18,243,429			22,257,187
Shares issued on reinvestment of distributions		—			35,817,977			—			1,426,879
Shares redeemed		(151,788,380	)		(227,881,350	)		(8,716,122	)		(12,540,829	)
Shares outstanding, end of period		920,359,232			763,949,205			33,693,000			24,165,693
CLASS N
Shares outstanding, beginning of period		157,339,524			124,354,461			12,859,668			835,483
Shares sold		175,796,650			69,839,741			3,709,865			14,517,195
Shares issued on reinvestment of distributions		—			9,020,048			—			877,689
Shares redeemed		(36,116,618	)		(45,874,726	)		(2,463,473	)		(3,370,699	)
Shares outstanding, end of period		297,019,556			157,339,524			14,106,060			12,859,668
CLASS R6
Shares outstanding, beginning of period		23,597,686			10,639			12,494,290			4,047,305
Shares sold		44,763,948			24,725,163			7,248,399			9,320,019
Shares issued on reinvestment of distributions		—			1,140,077			—			492,349
Shares redeemed		(5,759,890	)		(2,278,193	)		(1,904,167	)		(1,365,383	)
Shares outstanding, end of period		62,601,744			23,597,686			17,838,522			12,494,290

** 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 Changes in Net Assets June 30, 2016

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(20,259,510	)		$(28,174,290	)		$(439,732	)		$(809,925	)
Net realized gain (loss)		26,921,560			122,351,560			14,157,406			(22,173,242	)
Net change in unrealized appreciation (depreciation)		(96,629,309	)		83,853,640			12,075,977			2,497,671
Net increase (decrease) in net assets resulting from operations		(89,967,259	)		178,030,910			25,793,651			(20,485,496	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(157,002,548	)		—			—
Class N		—			(6,675,209	)		—			—
Class R6		—			(5,408,560	)		—			—
Total		—			(169,086,317	)		—			—
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	)		—			—
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,091,284,086			1,169,866,016			32,825,252			80,849,012
Reinvestment of distributions		—			156,410,369			—			—
Cost of shares redeemed		(513,463,591	)		(460,959,852	)		(47,392,010	)		(40,454,118	)
Net increase (decrease) from capital transactions		577,820,495			865,316,533			(14,566,758	)		40,394,894
CLASS N
Proceeds from shares sold		437,241,074			46,717,322			1,482,314			1,419,312
Reinvestment of distributions		—			8,127,028			—			—
Cost of shares redeemed		(47,848,931	)		(35,225,745	)		(227,315	)		(3,390,548	)
Net increase (decrease) from capital transactions		389,392,143			19,618,605			1,254,999			(1,971,236	)
CLASS R6
Proceeds from shares sold		214,429,381			72,737,226			48,121,537			20,111,252
Reinvestment of distributions		—			3,351,013			—			—
Cost of shares redeemed		(28,163,463	)		(8,953,831	)		(1,327,822	)		(2,211,786	)
Net increase (decrease) from capital transactions		186,265,918			67,134,408			46,793,715			17,899,466
Net increase (decrease) in net assets resulting from capital transactions		1,153,478,556			952,069,546			33,481,956			56,323,124
Total increase (decrease) in net assets		1,063,511,297			925,240,599			59,275,607			35,837,628
NET ASSETS:
Beginning of period		2,488,747,734			1,563,507,135			102,526,388			66,688,760
End of period		$3,552,259,031			$2,488,747,734			$161,801,995			$102,526,388
Undistributed accumulated net investment income (loss)		$(155,486,850	)		$(135,227,340	)		$(9,069,829	)		$(8,630,097	)

The accompanying notes are an integral part of these financial statements. (continued on p. 299)

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Statements of Changes in Net Assets June 30, 2016

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		234,044,091			147,968,675			12,690,552			6,649,535
Shares sold		112,730,856			116,000,850			5,791,509			12,903,642
Shares issued on reinvestment of distributions		—			16,042,089			—			—
Shares redeemed		(53,158,639	)		(45,967,523	)		(8,694,268	)		(6,862,625	)
Shares outstanding, end of period		293,616,308			234,044,091			9,787,793			12,690,552
CLASS N
Shares outstanding, beginning of period		10,628,943			8,674,153			374,027			686,315
Shares sold		45,269,986			4,641,085			244,456			220,408
Shares issued on reinvestment of distributions		—			836,114			—			—
Shares redeemed		(5,010,490	)		(3,522,409	)		(38,881	)		(532,696	)
Shares outstanding, end of period		50,888,439			10,628,943			579,602			374,027
CLASS R6
Shares outstanding, beginning of period		10,345,164			3,611,564			5,175,399			2,214,833
Shares sold		22,133,674			7,257,387			8,794,950			3,321,846
Shares issued on reinvestment of distributions		—			344,047			—			—
Shares redeemed		(2,920,743	)		(867,834	)		(222,743	)		(361,280	)
Shares outstanding, end of period		29,558,095			10,345,164			13,747,606			5,175,399

** 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 Changes in Net Assets June 30, 2016

	AQR RISK PARITY FUND**						AQR RISK PARITY II HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(941,750	)		$(4,531,218	)		$(95,076	)		$(482,677	)
Net realized gain (loss)		18,437,307			(45,198,822	)		3,071,204			(7,796,961	)
Net change in unrealized appreciation (depreciation)		31,726,239			(1,165,631	)		4,304,165			358,287
Net increase (decrease) in net assets resulting from operations		49,221,796			(50,895,671	)		7,280,293			(7,921,351	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			—			—			(137,937	)
Class R6		—			—			—			(9,369	)
Total		—			—			—			(147,306	)
Net realized gain:
Class I		—			(12,535,697	)		—			(2,013,017	)
Class N		—			(576,410	)		—			(314,049	)
Class R6		—			(68,124	)		—			(131,274	)
Total		—			(13,180,231	)		—			(2,458,340	)
Total distributions		—			(13,180,231	)		—			(2,605,646	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		50,828,452			163,806,681			14,068,041			31,920,624
Reinvestment of distributions		—			12,321,075			—			2,110,673
Cost of shares redeemed		(170,393,962	)		(206,762,569	)		(13,399,911	)		(27,142,112	)
Net increase (decrease) from capital transactions		(119,565,510	)		(30,634,813	)		668,130			6,889,185
CLASS N
Proceeds from shares sold		1,711,439			6,056,561			1,369,926			4,174,086
Reinvestment of distributions		—			573,734			—			314,049
Cost of shares redeemed		(4,192,623	)		(17,543,068	)		(1,375,273	)		(5,237,521	)
Net increase (decrease) from capital transactions		(2,481,184	)		(10,912,773	)		(5,347	)		(749,386	)
CLASS R6
Proceeds from shares sold		367,486			3,728,681			2,285,018			3,295,675
Reinvestment of distributions		—			68,124			—			140,643
Cost of shares redeemed		(2,777,200	)		(650,157	)		(2,316,557	)		(460,254	)
Net increase (decrease) from capital transactions		(2,409,714	)		3,146,648			(31,539	)		2,976,064
Net increase (decrease) in net assets resulting from capital transactions		(124,456,408	)		(38,400,938	)		631,244			9,115,863
Total increase (decrease) in net assets		(75,234,612	)		(102,476,840	)		7,911,537			(1,411,134	)
NET ASSETS:
Beginning of period		517,777,966			620,254,806			48,795,931			50,207,065
End of period		$442,543,354			$517,777,966			$56,707,468			$48,795,931
Undistributed accumulated net investment income (loss)		$(12,425,491	)		$(11,483,741	)		$(2,623,521	)		$(2,528,445	)

The accompanying notes are an integral part of these financial statements. (continued on p. 301)

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Statements of Changes in Net Assets June 30, 2016

	AQR RISK PARITY FUND**						AQR RISK PARITY II HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		54,203,404			57,585,796			5,250,810			4,427,252
Shares sold		5,446,067			16,155,868			1,692,211			3,429,710
Shares issued on reinvestment of distributions		—			1,356,946			—			270,252
Shares redeemed		(17,937,758	)		(20,895,206	)		(1,640,311	)		(2,876,404	)
Shares outstanding, end of period		41,711,713			54,203,404			5,302,710			5,250,810
CLASS N
Shares outstanding, beginning of period		2,424,293			3,571,499			704,394			819,606
Shares sold		184,083			595,100			163,523			417,890
Shares issued on reinvestment of distributions		—			63,326			—			40,160
Shares redeemed		(462,518	)		(1,805,632	)		(166,053	)		(573,262	)
Shares outstanding, end of period		2,145,858			2,424,293			701,864			704,394
CLASS R6
Shares outstanding, beginning of period		307,370			9,472			310,087			9,937
Shares sold		40,261			354,328			289,411			330,887
Shares issued on reinvestment of distributions		—			7,503			—			18,031
Shares redeemed		(307,370	)		(63,933	)		(299,532	)		(48,768	)
Shares outstanding, end of period		40,261			307,370			299,966			310,087

** 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 Changes in Net Assets June 30, 2016

	AQR RISK PARITY II MV FUND**						AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(179,972	)		$(836,894	)		$(16,022,540	)		$(13,944,348	)
Net realized gain (loss)		4,115,182			(7,484,622	)		(81,064,870	)		145,026,929
Net change in unrealized appreciation (depreciation)		5,394,923			488,161			77,796,323			(15,233,229	)
Net increase (decrease) in net assets resulting from operations		9,330,133			(7,833,355	)		(19,291,087	)		115,849,352
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(226,926	)		—			(63,874,268	)
Class N		—			—			—			(3,935,997	)
Class R6		—			(323	)		—			(20,714,913	)
Total		—			(227,249	)		—			(88,525,178	)
Net realized gain:
Class I		—			(4,531,332	)		—			(2,856,032	)
Class N		—			(232,047	)		—			(180,968	)
Class R6		—			(4,866	)		—			(918,104	)
Total		—			(4,768,245	)		—			(3,955,104	)
Total distributions		—			(4,995,494	)		—			(92,480,282	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		14,288,153			57,846,534			1,296,237,183			1,212,906,493
Reinvestment of distributions		—			4,373,088			—			61,353,974
Cost of shares redeemed		(21,948,899	)		(70,812,276	)		(425,927,197	)		(335,771,223	)
Net increase (decrease) from capital transactions		(7,660,746	)		(8,592,654	)		870,309,986			938,489,244
CLASS N
Proceeds from shares sold		4,373,255			1,827,231			187,959,385			76,216,175
Reinvestment of distributions		—			232,047			—			4,116,723
Cost of shares redeemed		(1,897,222	)		(4,760,078	)		(54,663,681	)		(14,178,162	)
Net increase (decrease) from capital transactions		2,476,033			(2,700,800	)		133,295,704			66,154,736
CLASS R6
Proceeds from shares sold		459,405			11,115			806,542,951			300,087,686
Reinvestment of distributions		—			5,189			—			18,986,659
Cost of shares redeemed		—			—			(51,368,788	)		(7,472,854	)
Net increase (decrease) from capital transactions		459,405			16,304			755,174,163			311,601,491
Net increase (decrease) in net assets resulting from capital transactions		(4,725,308	)		(11,277,150	)		1,758,779,853			1,316,245,471
Total increase (decrease) in net assets		4,604,825			(24,105,999	)		1,739,488,766			1,339,614,541
NET ASSETS:
Beginning of period		90,258,717			114,364,716			1,828,747,419			489,132,878
End of period		$94,863,542			$90,258,717			$3,568,236,185			$1,828,747,419
Undistributed accumulated net investment income (loss)		$(3,040,585	)		$(2,860,613	)		$20,159,309			$36,181,849

The accompanying notes are an integral part of these financial statements. (continued on p. 303)

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Statements of Changes in Net Assets June 30, 2016

	AQR RISK PARITY II MV FUND**						AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		10,090,660			10,758,104			132,222,963			39,308,249
Shares sold		1,603,990			6,110,780			127,347,367			120,523,767
Shares issued on reinvestment of distributions		—			512,672			—			5,974,097
Shares redeemed		(2,524,055	)		(7,290,896	)		(41,981,183	)		(33,583,150	)
Shares outstanding, end of period		9,170,595			10,090,660			217,589,147			132,222,963
CLASS N
Shares outstanding, beginning of period		499,865			790,138			9,168,045			2,694,354
Shares sold		500,981			184,037			18,518,548			7,463,692
Shares issued on reinvestment of distributions		—			27,300			—			401,240
Shares redeemed		(215,481	)		(501,610	)		(5,432,180	)		(1,391,241	)
Shares outstanding, end of period		785,365			499,865			22,254,413			9,168,045
CLASS R6
Shares outstanding, beginning of period		11,671			9,763			38,861,071			7,587,508
Shares sold		53,152			1,300			79,172,581			30,135,455
Shares issued on reinvestment of distributions		—			608			—			1,846,951
Shares redeemed		—			—			(5,054,067	)		(708,843	)
Shares outstanding, end of period		64,823			11,671			112,979,585			38,861,071

** 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 Changes in Net Assets June 30, 2016

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(846,845	)		$(577,078	)
Net realized gain (loss)		(1,183,608	)		1,803,761
Net change in unrealized appreciation (depreciation)		2,937,745			1,841,412
Net increase (decrease) in net assets resulting from operations		907,292			3,068,095
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(2,291,598	)
Class N		—			(161,010	)
Class R6		—			(350,210	)
Total		—			(2,802,818	)
Net realized gain:
Class I		—			(467,704	)
Class N		—			(39,469	)
Class R6		—			(70,896	)
Total		—			(578,069	)
Total distributions		—			(3,380,887	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		222,378,041			158,309,029
Reinvestment of distributions		—			2,746,926
Cost of shares redeemed		(81,407,745	)		(36,778,993	)
Net increase (decrease) from capital transactions		140,970,296			124,276,962
CLASS N
Proceeds from shares sold		39,280,159			6,450,074
Reinvestment of distributions		—			199,845
Cost of shares redeemed		(5,472,616	)		(1,965,686	)
Net increase (decrease) from capital transactions		33,807,543			4,684,233
CLASS R6
Proceeds from shares sold		33,205,436			22,000,001
Reinvestment of distributions		—			421,106
Cost of shares redeemed		(2,557,542	)		(23,642,959	)
Net increase (decrease) from capital transactions		30,647,894			(1,221,852	)
Net increase (decrease) in net assets resulting from capital transactions		205,425,733			127,739,343
Total increase (decrease) in net assets		206,333,025			127,426,551
NET ASSETS:
Beginning of period		187,792,453			60,365,902
End of period		$394,125,478			$187,792,453
Undistributed accumulated net investment income (loss)		$(1,669,411	)		$(822,566	)

The accompanying notes are an integral part of these financial statements. (continued on p. 305)

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Statements of Changes in Net Assets June 30, 2016

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		14,645,410			2,760,295
Shares sold		21,261,393			15,255,549
Shares issued on reinvestment of distributions		—			263,115
Shares redeemed		(7,798,337	)		(3,633,549	)
Shares outstanding, end of period		28,108,466			14,645,410
CLASS N
Shares outstanding, beginning of period		1,294,548			843,532
Shares sold		3,762,822			624,669
Shares issued on reinvestment of distributions		—			19,161
Shares redeemed		(525,188	)		(192,814	)
Shares outstanding, end of period		4,532,182			1,294,548
CLASS R6
Shares outstanding, beginning of period		2,132,230			2,329,001
Shares sold		3,176,237			2,091,933
Shares issued on reinvestment of distributions		—			40,297
Shares redeemed		(245,656	)		(2,329,001	)
Shares outstanding, end of period		5,062,811			2,132,230

** 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 June 30, 2016 (Unaudited)

	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	$	(6,812,945	)	$	(8,477,396	)	$	16,801,492
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities		(399,984,084	)		(187,531,082	)		(201,705,261	)
Payments to cover short securities		(374,166,158	)		(86,550,888	)		(96,341,187	)
Proceeds from sales of securities		772,985,513			59,668,149			67,712,346
Proceeds from securities sold short		240,141,574			195,026,138			222,553,520
Proceeds from written options		22,803			—			—
(Purchases) sales of short-term investments, net		222,585,799			(597,433,178	)		(683,352,895	)
Realized (gain) loss on investments in securities		160,005,097			(142,048	)		2,010,182
Realized (gain) loss on securities sold short		(99,511,709	)		5,357,590			2,404,696
Realized (gain) loss on written options		(2,400,355	)		—			—
Realized (gain) loss on paydowns		(14,071	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		(144,421,918	)		(7,411,469	)		(11,407,760	)
Change in unrealized (appreciation) depreciation on securities sold short		85,723,085			(1,980,144	)		2,040,778
Change in unrealized (appreciation) depreciation on written options		2,181,646			—			—
Amortization (accretion) of bond premium (discount)		2,830,161			(313,685	)		(663,063	)
(Increases) decreases in operating assets:
Due from brokers		(57,392,936	)		(10,790,373	)		(12,202,660	)
Unrealized appreciation on forward foreign currency exchange contracts		1,386,341			(531,305	)		(3,680,366	)
Unrealized appreciation on OTC swaps		1,587,860			(4,670,695	)		(8,006,412	)
Deposits with brokers for exchange-traded and centrally cleared derivatives		4,137,003			751			(21,497,465	)
Variation margin on exchange-traded and centrally cleared derivatives		377,552			—			(7,736,754	)
Receivable for securities sold		(19,101,302	)		10,710,701			27,013,685
Foreign tax reclaims		(2,507	)		(180,569	)		(253,466	)
Dividends and interest		2,353,398			(251,913	)		(272,471	)
Prepaid expenses		11,033			(60,849	)		(99,393	)
Increases (decreases) in operating liabilities
Due to brokers		(21,215,234	)		—			(287,389	)
Unrealized depreciation on forward foreign currency exchange contracts		(145,829	)		(81,990	)		4,034,230
Unrealized depreciation on OTC swaps		(2,269,820	)		2,965,716			10,307,692
Deposits from brokers for exchange-traded and centrally cleared derivatives		—			—			—
Variation margin on exchange-traded and centrally cleared derivatives		566,117			—			(2,159,684	)
Payable for securities purchased		25,511,580			(10,204,157	)		(22,385,826	)
Accrued investment advisory fees		(293,708	)		616,502			741,358
Accrued distribution fees—Class N		(12,931	)		22,540			14,263
Accrued Trustees fees		310			(31	)		(206	)
Dividends and Interest payable on securities sold short		(682,278	)		315,098			467,632
Other accrued expenses and liabilities		(235,241	)		83,476			548,152
Net cash provided by (used in) operating activities	$	393,743,846		$	(641,845,111	)	$	(715,402,232	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		111,996,829			853,649,599			1,003,678,783
Payments on shares redeemed		(543,781,059	)		(217,176,907	)		(281,791,281	)
Due to custodian		25,410,857			—			(7,093,043	)
Net cash provided by (used in) financing activities	$	(406,373,373	)	$	636,472,692		$	714,794,459
Net change in cash and cash denominated in foreign currencies		(12,629,527	)		(5,372,419	)		(607,773	)
Cash, beginning of period		14,051,942			8,235,769			1,639,410
Cash, end of period	$	1,422,415		$	2,863,350		$	1,031,637

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $1,399,607, $477,459 and $585,917.

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

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Statements of Cash Flows June 30, 2016 (Unaudited)

	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	$	(89,967,259	)	$	7,280,293		$	(19,291,087	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities		(1,398,692,590	)		(14,824,358	)		(417,605,540	)
Payments to cover short securities		(509,409,917	)		—			(180,202,006	)
Proceeds from sales of securities		668,544,047			1,877,313			101,877,836
Proceeds from securities sold short		885,562,019			—			456,252,525
Proceeds from written options		4,482,355			—			—
(Purchases) sales of short-term investments, net		(378,372,110	)		3,077,512			(1,526,497,936	)
Realized (gain) loss on investments in securities		(29,556,425	)		(11,526	)		17,174,030
Realized (gain) loss on securities sold short		7,397,475			—			1,914,773
Realized (gain) loss on written options		(51,630	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		1,626,269			(745,002	)		(2,728,224	)
Change in unrealized (appreciation) depreciation on securities sold short		103,404			—			(37,683,294	)
Change in unrealized (appreciation) depreciation on written options		3,356,956			—			—
Amortization (accretion) of bond premium (discount)		(667,271	)		(116,825	)		(1,428,328	)
(Increases) decreases in operating assets:
Due from brokers		(428,556,253	)		(167,994	)		(61,979,066	)
Repurchase Agreements		—			2,525,961			—
Unrealized appreciation on forward foreign currency exchange contracts		(73,545,045	)		(335,719	)		(80,616,545	)
Unrealized appreciation on OTC swaps		119,354,502			(706,278	)		(81,594,739	)
Deposits with brokers for exchange-traded and centrally cleared derivatives		(606,449	)		(571,524	)		(98,099,300	)
Variation margin on exchange-traded and centrally cleared derivatives		1,917,015			(86,389	)		(10,882,252	)
Receivable for securities sold		(444,641,366	)		(197,427	)		(20,140,522	)
Foreign tax reclaims		125,835			—			(1,040,789	)
Dividends and interest		(1,346,500	)		(24,360	)		(742,196	)
Due from Investment Adviser		—			5,604			—
Prepaid expenses		(90,401	)		(6,901	)		(308,273	)
Increases (decreases) in operating liabilities
Due to brokers		16,050,208			(55,220	)		10,888,772
Unrealized depreciation on forward foreign currency exchange contracts		18,673,524			(156,857	)		37,441,194
Unrealized depreciation on OTC swaps		41,684,990			375,302			116,254,694
Variation margin on exchange-traded and centrally cleared derivatives		68,781			93,538			4,389,758
Payable for securities purchased		455,343,090			199,381			20,094,828
Accrued investment advisory fees		1,813,876			26,484			2,148,476
Accrued Shareholder servicing fees		—			—			—
Accrued distribution fees—Class N		78,623			48			25,311
Accrued Trustees fees		(39	)		(26	)		(435	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		835,220			(2,771	)		928,354
Other accrued expenses and liabilities		(23,464	)		(12,129	)		673,863
Net cash provided by (used in) operating activities	$	(1,128,508,530	)	$	(2,559,870	)	$	(1,770,776,118	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		1,778,623,256			18,152,420			2,315,136,239
Net change in reverse repurchase agreements		—			1,720,655			—
Payments on shares redeemed		(592,649,971	)		(17,195,537	)		(531,760,563	)
Due to custodian		(68,691,851	)		(13,813	)		—
Net cash provided by (used in) financing activities	$	1,117,281,434		$	2,663,725		$	1,783,375,676
Net change in cash and cash denominated in foreign currencies		(11,227,096	)		103,855			12,599,558
Cash, beginning of period		43,999,912			33,224			6,223,062
Cash, end of period	$	32,772,816		$	137,079		$	18,822,620

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $469,012, $23,873 and $2,246,424.

** 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 June 30, 2016 (Unaudited)

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	907,292
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities		(17,815,811	)
Payments to cover short securities		(5,678,295	)
Proceeds from sales of securities		3,205,064
Proceeds from securities sold short		18,974,535
(Purchases) sales of short-term investments, net		(190,736,712	)
Realized (gain) loss on investments in securities		656,473
Realized (gain) loss on securities sold short		77,857
Change in unrealized (appreciation) depreciation on investments in securities		(229,479	)
Change in unrealized (appreciation) depreciation on securities sold short		(2,494,660	)
Amortization (accretion) of bond premium (discount)		(177,013	)
(Increases) decreases in operating assets:
Due From Brokers		(3,397,264	)
Unrealized appreciation on forward foreign currency exchange contracts		(4,491,476	)
Unrealized appreciation on OTC swaps		554,301
Deposits with brokers for exchange-traded and centrally cleared derivatives		(9,281,521	)
Variation margin on exchange-traded and centrally cleared derivatives		(475,176	)
Receivable for securities sold		2,014,933
Foreign tax reclaims		(37,024	)
Dividends and interest		(66,421	)
Prepaid expenses		(11,229	)
Increases (decreases) in operating liabilities:
Due to brokers		813,407
Unrealized depreciation on forward foreign currency exchange contracts		2,066,604
Unrealized depreciation on OTC swaps		3,142,731
Variation margin on exchange-traded and centrally cleared derivatives		119,125
Payable for securities purchased		(1,567,067	)
Accrued investment advisory fees		159,011
Accrued distribution fees—Class N		6,945
Accrued Trustees fees		(92	)
Dividends and Interest payable on securities sold short		44,477
Other accrued expenses and liabilities		43,094
Net cash provided by (used in) operating activities	$	(203,673,391	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		292,449,784
Payments on shares redeemed		(87,474,942	)
Net cash provided by (used in) financing activities	$	204,974,842
Net change in cash and cash denominated in foreign currencies		1,301,451
Cash, beginning of period		228,017
Cash, end of period	$	1,529,468

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $121,262.

** 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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[Intentionally Left Blank]

Financial Highlights June 30, 2016

	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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.21		0.02			(0.01	)		0.01			—			—			—			—
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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.21		0.01			(0.02	)		(0.01	)		—			—			—			—
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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.20		0.05			(0.04	)		0.01			—			—			—			—
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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$11.48		(0.07	)		0.09	8		0.02			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.15	)		1.91			1.76			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)11		(0.59	)
AQR EQUITY MARKET NEUTRAL FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$11.47		(0.08	)		0.08	8		—			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.19	)		1.94			1.75			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.03	)		0.62			0.59			(0.58	)		—			(0.00	)11		(0.58	)
AQR EQUITY MARKET NEUTRAL FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$11.49		(0.07	)		0.09	8		0.02			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.13	)		1.90			1.77			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)11		(0.59	)
AQR GLOBAL MACRO FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.60		(0.05	)		(0.25	)		(0.30	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.15	)		0.32			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/1410—12/31/14		$10.00		(0.10	)		0.06			(0.04	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.55		(0.07	)		(0.24	)		(0.31	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.92		(0.16	)		0.30			0.14			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/1410—12/31/14		$10.00		(0.12	)		0.06			(0.06	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.60		(0.05	)		(0.25	)		(0.30	)		—			—			—			—
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	)

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

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Financial Highlights June 30, 2016

					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, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$9.22		0.11	%		$405,300		2.33	%		2.23	%		1.19	%		0.49	%		129	%
	$9.21		(4.67	)%		$772,394		2.44	%		2.42	%		1.19	%		0.71	%		249	%
	$10.14		(5.25	)%		$1,546,685		1.88	%		1.88	%		1.20	%		2.07	%		380	%
	$10.91		1.75	%		$1,876,481		1.64	%		1.64	%		1.20	%		1.52	%		349	%
	$11.05		3.13	%		$1,752,724		2.32	%		2.30	%		1.21	%		0.88	%6		312	%
	$10.89		0.99	%		$1,456,748		2.84	%		2.75	%		1.20	%		1.18	%		298	%
	$9.20		(0.11	)%		$113,450		2.58	%		2.48	%		1.43	%		0.28	%		129	%
	$9.21		(4.75	)%		$183,029		2.69	%		2.67	%		1.45	%		0.32	%		249	%
	$10.10		(5.51	)%		$678,528		2.12	%		2.12	%		1.44	%		1.99	%		380	%
	$10.87		1.51	%		$836,355		1.88	%		1.88	%		1.44	%		1.21	%		349	%
	$11.01		2.83	%		$761,371		2.62	%		2.62	%		1.52	%		0.57	%6		312	%
	$10.85		0.68	%		$651,791		3.08	%		3.05	%		1.50	%		0.89	%		298	%
	$9.21		0.11	%		$3,635		2.28	%		2.15	%		1.10	%		1.16	%		129	%
	$9.20		(4.55	)%		$866		2.36	%		2.33	%		1.10	%		0.92	%		249	%
	$10.13		(5.99	)%		$94		1.94	%		1.94	%		1.10	%		4.69	%		380	%
	$11.50		0.17	%		$564,685		2.52	%		2.52	%		1.27	%		(1.17	)%		150	%
	$11.48		17.60	%		$179,312		2.17	%9		1.90	%		1.25	%		(1.36	)%		383	%
	$10.01		5.93	%		$1,445		4.57	%9		1.63	%		1.30	%		(1.04	)%		152	%
	$11.47		0.00	%		$182,822		2.79	%		2.79	%		1.54	%		(1.40	)%		150	%
	$11.47		17.43	%		$89,755		2.41	%9		2.16	%		1.51	%		(1.69	)%		383	%
	$10.01		5.88	%		$1,233		4.83	%9		1.88	%		1.55	%		(1.29	)%		152	%
	$11.51		0.17	%		$146,150		2.45	%		2.45	%		1.20	%		(1.17	)%		150	%
	$11.49		17.72	%		$148		3.05	%9		1.85	%		1.20	%		(1.26	)%		383	%
	$10.01		5.95	%		$3,210		4.49	%9		1.53	%		1.20	%		(0.95	)%		152	%
	$9.30		(3.12	)%		$23,895		1.87	%		1.41	%		1.41	%		(1.14	)%		0	%
	$9.60		1.71	%		$31,453		1.78	%9		1.38	%		1.38	%		(1.45	)%		0	%
	$9.94		(0.42	)%		$35,466		2.24	%9		1.45	%		1.45	%		(1.44	)%		0	%
	$9.24		(3.25	)%		$4,031		2.10	%		1.65	%		1.65	%		(1.42	)%		0	%
	$9.55		1.41	%		$20,838		1.88	%9		1.70	%		1.70	%		(1.56	)%		0	%
	$9.92		(0.62	)%		$1,050		2.49	%9		1.70	%		1.70	%		(1.69	)%		0	%
	$9.30		(3.12	)%		$4,225		1.82	%		1.35	%		1.35	%		(1.06	)%		0	%
	$9.60		1.71	%		$104		1.72	%9		1.35	%		1.35	%		(1.41	)%		0	%
	$9.94		2.45	%		$102		2.02	%9		1.35	%		1.35	%		(1.37	)%		0	%

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

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Financial Highlights June 30, 2016

	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 LONG-SHORT EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$12.12		(0.07	)		0.28			0.21			—			—			—			—
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 7/16/1310—12/31/13		$10.00		(0.06	)		1.17			1.11			(0.67	)		(0.23	)		—			(0.90	)
AQR LONG-SHORT EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$12.07		(0.09	)		0.28			0.19			—			—			—			—
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 7/16/1310—12/31/13		$10.00		(0.07	)		1.17			1.10			(0.66	)		(0.23	)		—			(0.89	)
AQR LONG-SHORT EQUITY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$12.13		(0.06	)		0.28			0.22			—			—			—			—
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	)
AQR MANAGED FUTURES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.18		(0.04	)		0.27			0.23			—			—			—			—
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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.09		(0.05	)		0.26			0.21			—			—			—			—
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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.18		(0.04	)		0.27			0.23			—			—			—			—
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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.70		(0.07	)		0.33			0.26			—			—			—			—
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 7/16/1310—12/31/13		$10.00		(0.08	)		0.89			0.81			—			(0.01	)		—			(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.66		(0.08	)		0.32			0.24			—			—			—			—
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 7/16/1310—12/31/13		$10.00		(0.09	)		0.89			0.80			—			(0.01	)		—			(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.70		(0.07	)		0.33			0.26			—			—			—			—
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	)

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

AQR Funds Semi-Annual Report June 2016

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Financial Highlights June 30, 2016

					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, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$12.33		1.73	%		$984,543		2.40	%		2.40	%		1.27	%		(1.09	)%		124	%
	$12.12		17.04	%		$452,667		1.86	%		1.81	%		1.27	%		(1.28	)%		303	%
	$10.87		14.91	%		$43,667		2.34	%		1.30	%		1.30	%		(1.26	)%		0	%
	$10.21		11.17	%		$5,246		3.56	%9		1.30	%		1.30	%		(1.29	)%		0	%
	$12.26		1.57	%		$155,920		2.69	%		2.69	%		1.53	%		(1.42	)%		124	%
	$12.07		16.79	%		$90,141		2.12	%		2.07	%		1.53	%		(1.58	)%		303	%
	$10.84		14.55	%		$10,688		2.46	%		1.55	%		1.55	%		(1.81	)%		0	%
	$10.21		11.04	%		$910		5.49	%9		1.55	%		1.55	%		(1.54	)%		0	%
	$12.35		1.81	%		$154,560		2.33	%		2.33	%		1.18	%		(0.91	)%		124	%
	$12.13		17.16	%		$16,200		1.77	%		1.74	%		1.20	%		(1.21	)%		303	%
	$10.87		6.19	%		$427		1.99	%		1.20	%		1.20	%		(2.21	)%		0	%
	$10.41		2.26	%		$9,577,768		1.19	%		1.19	%		1.19	%		(0.81	)%		0	%
	$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		1.30	%		1.25	%		1.25	%		(1.22	)%		0	%
	$10.30		2.08	%		$3,059,909		1.46	%		1.46	%		1.46	%		(1.07	)%		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		1.52	%		1.50	%		1.50	%		(1.48	)%		0	%
	$9.55		(6.59	)%		$476,854		1.57	%		1.50	%		1.50	%		(1.47	)%		0	%
	$10.41		2.26	%		$651,414		1.12	%		1.12	%		1.12	%		(0.73	)%		0	%
	$10.18		2.16	%		$240,185		1.13	%		1.13	%		1.13	%		(1.01	)%		0	%
	$10.62		12.99	%		$113		1.16	%		1.15	%		1.15	%		(1.11	)%		0	%
	$10.96		2.43	%		$369,184		1.64	%		1.64	%		1.64	%		(1.31	)%		0	%
	$10.70		2.48	%		$258,691		1.65	%		1.61	%		1.61	%		(1.52	)%		0	%
	$11.23		14.68	%		$146,261		1.76	%9		1.65	%		1.65	%		(1.62	)%		0	%
	$10.80		8.14	%		$37,078		2.51	%9		1.68	%		1.65	%		(1.66	)%		0	%
	$10.90		2.25	%		$153,790		1.89	%		1.88	%		1.88	%		(1.56	)%		0	%
	$10.66		2.19	%		$137,115		1.92	%		1.89	%		1.89	%		(1.78	)%		0	%
	$11.21		14.37	%		$9,367		2.12	%9		1.90	%		1.90	%		(1.88	)%		0	%
	$10.79		8.04	%		$1,644		4.03	%9		1.93	%		1.90	%		(1.92	)%		0	%
	$10.96		2.43	%		$195,532		1.55	%		1.55	%		1.55	%		(1.22	)%		0	%
	$10.70		2.54	%		$133,722		1.59	%		1.55	%		1.55	%		(1.45	)%		0	%
	$11.23		19.94	%		$45,436		1.68	%9		1.55	%		1.55	%		(1.52	)%		0	%

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

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Financial Highlights June 30, 2016

	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 MULTI-STRATEGY ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.76		(0.06	)		(0.20	)		(0.26	)		—			—			—		—
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 7/18/1110—12/31/11		$10.00		(0.05	)		(0.21	)		(0.26	)		(0.04	)		—			—		(0.04	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.74		(0.06	)		(0.21	)		(0.27	)		—			—			—		—
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 7/18/1110—12/31/11		$10.00		(0.06	)		(0.21	)		(0.27	)		(0.04	)		—			—		(0.04	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.76		(0.04	)		(0.21	)		(0.25	)		—			—			—		—
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	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$5.62		(0.02	)		1.10			1.08			—			—			—		—
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 7/09/1210—12/31/12		$10.00		(0.05	)		(0.08	)		(0.13	)		—			—			—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$5.57		(0.03	)		1.09			1.06			—			—			—		—
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 7/09/1210—12/31/12		$10.00		(0.06	)		(0.08	)		(0.14	)		—			—			—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$5.63		(0.02	)		1.11			1.09			—			—			—		—
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	)		—			—			—		—

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

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Financial Highlights June 30, 2016

					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, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$9.50		(2.66	)%14		$2,789,501		2.48	%		2.48	%		1.96	%		(1.28	)%		118	%
	$9.76		9.25	%		$2,284,285		2.41	%		2.41	%		1.97	%		(1.44	)%		208	%
	$9.76		7.31	%		$1,443,799		3.67	%		3.65	%		1.98	%		(1.46	)%		204	%
	$9.78		4.46	%		$1,453,977		3.37	%		3.34	%		1.98	%		(1.67	)%		137	%
	$9.90		2.36	%		$808,262		3.60	%		3.52	%		1.98	%		(1.73	)%		208	%
	$9.70		(2.57	)%12		$257,168		2.59	%		2.23	%		1.98	%		(1.09	)%		133	%
	$9.47		(2.77	)%14		$481,776		2.72	%		2.72	%		2.20	%		(1.29	)%		118	%
	$9.74		9.02	%		$103,504		2.68	%		2.67	%		2.23	%		(1.66	)%		208	%
	$9.74		7.03	%		$84,480		3.96	%		3.91	%		2.23	%		(1.75	)%		204	%
	$9.76		4.16	%		$74,641		3.66	%		3.59	%		2.23	%		(1.95	)%		137	%
	$9.89		2.22	%		$43,104		3.93	%		3.76	%		2.23	%		(2.32	)%		208	%
	$9.69		(2.73	)%12		$44,676		2.85	%		2.48	%		2.23	%		(1.37	)%		133	%
	$9.51		(2.56	)%14		$280,982		2.38	%		2.38	%		1.87	%		(0.94	)%		118	%
	$9.76		9.44	%		$100,959		2.33	%		2.32	%		1.88	%		(1.29	)%		208	%
	$9.75		6.19	%		$35,228		3.21	%		3.14	%		1.88	%		(3.41	)%		204	%
	$6.70		19.22	%		$65,611		1.02	%		0.92	%		0.92	%		(0.65	)%		0	%
	$5.62		(19.48	)%		$71,321		1.14	%		0.94	%		0.94	%		(0.88	)%		0	%
	$6.98		(15.80	)%		$46,443		1.34	%		1.01	%		1.01	%		(1.00	)%		0	%
	$8.29		(16.01	)%		$28,375		1.32	%		1.05	%		1.05	%		(1.05	)%		0	%
	$9.87		(1.30	)%		$63,331		1.72	%		1.05	%		1.05	%		(1.04	)%		0	%
	$6.63		19.03	%		$3,844		1.34	%		1.25	%		1.25	%		(1.01	)%		0	%
	$5.57		(19.74	)%		$2,083		1.48	%		1.25	%		1.25	%		(1.21	)%		0	%
	$6.94		(16.08	)%		$4,764		1.59	%		1.26	%		1.26	%		(1.25	)%		0	%
	$8.27		(16.13	)%		$3,861		1.70	%		1.30	%		1.30	%		(1.28	)%		0	%
	$9.86		(1.40	)%		$2,206		4.00	%		1.30	%		1.30	%		(1.30	)%		0	%
	$6.72		19.36	%		$92,347		0.99	%		0.90	%		0.90	%		(0.66	)%		0	%
	$5.63		(19.46	)%		$29,122		1.11	%		0.90	%		0.90	%		(0.85	)%		0	%
	$6.99		(18.72	)%		$15,482		1.31	%		0.90	%		0.90	%		(0.89	)%		0	%

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

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Financial Highlights June 30, 2016

	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 RISK PARITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.09		(0.02	)		1.01			0.99			—			—			—		—
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	8		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	)11		—		(0.21	)
AQR RISK PARITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.08		(0.03	)		1.00			0.97			—			—			—		—
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	8		(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	)11		—		(0.20	)
AQR RISK PARITY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$9.10		(0.01	)		1.00			0.99			—			—			—		—
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	)8		(0.47	)		(0.30	)		(1.10	)		—		(1.40	)
AQR RISK PARITY II HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$7.79		(0.02	)		1.22			1.20			—			—			—		—
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 11/05/1210—12/31/12		$10.00		0.01			0.23			0.24			(0.03	)		—			—		(0.03	)
AQR RISK PARITY II HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$7.80		(0.02	)		1.21			1.19			—			—			—		—
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 11/05/1210—12/31/12		$10.00		(0.01	)		0.25			0.24			(0.01	)		—			—		(0.01	)
AQR RISK PARITY II HV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$7.78		(0.00	)11		1.21			1.21			—			—			—		—
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	)8		(0.58	)		(0.06	)		(1.18	)		—		(1.24	)
AQR RISK PARITY II MV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$8.51		(0.02	)		0.98			0.96			—			—			—		—
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	)11		—		(0.01	)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		—			0.19			0.19			(0.02	)		—			—		(0.02	)
AQR RISK PARITY II MV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$8.49		(0.02	)		0.96			0.94			—			—			—		—
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	)11		—		(0.01	)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		—			0.18			0.18			—			—			—		—
AQR RISK PARITY II MV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$8.51		(0.01	)		0.97			0.96			—			—			—		—
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	)8		(0.37	)		(0.03	)		(0.71	)		—		(0.74	)

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

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Financial Highlights June 30, 2016

					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, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$10.08		10.89	%		$420,574		0.93	%		0.92	%		0.92	%		(0.38	)%		25	%
	$9.09		(8.10	)%		$492,977		0.94	%		0.93	%		0.93	%		(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	%		0.89	%		0.88	%		(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		1.06	%		0.95	%		0.95	%		0.41	%		66	%
	$10.05		10.68	%		$21,563		1.20	%		1.18	%		1.18	%		(0.59	)%		25	%
	$9.08		(8.20	)%		$22,005		1.19	%		1.18	%		1.18	%		(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		1.23	%		1.20	%		1.20	%		(0.26	)%		72	%
	$10.59		5.12	%13		$51,560		1.42	%		1.20	%		1.20	%		0.30	%		66	%
	$10.09		10.88	%		$406		0.87	%		0.85	%		0.85	%		(0.25	)%		25	%
	$9.10		(8.00	)%		$2,796		0.86	%		0.85	%		0.85	%		(0.37	)%		157	%
	$10.14		(3.96	)%		$96		0.86	%		0.85	%		0.85	%		(0.99	)%		94	%
	$8.99		15.40	%		$47,697		1.54	%		1.18	%		1.08	%		(0.37	)%		8	%
	$7.79		(13.33	)%		$40,890		1.43	%		1.13	%		1.08	%		(0.83	)%		184	%
	$9.55		9.23	%		$42,279		1.54	%		1.20	%		1.15	%		(0.28	)%		108	%
	$9.87		(2.83	)%		$17,577		1.85	%		1.23	%		1.15	%		(0.62	)%		257	%
	$10.21		2.44	%		$16,254		2.26	%		1.28	%		1.15	%		0.53	%		0	%
	$8.99		15.26	%		$6,313		1.86	%		1.49	%		1.40	%		(0.61	)%		8	%
	$7.80		(13.64	)%		$5,493		1.77	%		1.45	%		1.40	%		(1.04	)%		184	%
	$9.56		9.02	%		$7,834		1.86	%		1.45	%		1.40	%		(0.37	)%		108	%
	$9.86		(3.12	)%		$8,652		2.22	%		1.48	%		1.40	%		(0.84	)%		257	%
	$10.23		2.38	%		$5,805		3.44	%		1.53	%		1.40	%		(0.62	)%		0	%
	$8.99		15.55	%		$2,697		1.51	%		1.15	%		1.05	%		(0.04	)%		8	%
	$7.78		(13.42	)%		$2,413		1.43	%		1.11	%		1.05	%		(0.36	)%		184	%
	$9.55		(5.10	)%		$95		1.47	%		1.10	%		1.05	%		(1.49	)%		108	%
	$9.47		11.28	%		$86,846		1.13	%		0.95	%		0.95	%		(0.41	)%		1	%
	$8.51		(8.77	)%		$85,918		1.10	%		0.93	%		0.93	%		(0.80	)%		159	%
	$9.90		6.04	%		$106,473		1.12	%		0.95	%		0.95	%		(0.34	)%		128	%
	$10.02		(1.32	)%		$37,848		1.18	%		0.95	%		0.95	%		(0.61	)%		234	%
	$10.17		1.87	%		$29,993		2.07	%		0.95	%		0.95	%		0.18	%		0	%
	$9.43		11.07	%		$7,404		1.38	%		1.19	%		1.19	%		(0.52	)%		1	%
	$8.49		(8.94	)%		$4,242		1.38	%		1.20	%		1.20	%		(0.99	)%		159	%
	$9.87		5.87	%		$7,795		1.44	%		1.20	%		1.20	%		(0.54	)%		128	%
	$9.99		(1.71	)%		$9,397		1.59	%		1.20	%		1.20	%		(0.71	)%		234	%
	$10.18		1.80	%		$2,259		2.81	%		1.20	%		1.20	%		(0.29	)%		0	%
	$9.47		11.28	%		$614		1.04	%		0.85	%		0.85	%		(0.13	)%		1	%
	$8.51		(8.59	)%		$99		1.03	%		0.85	%		0.85	%		(0.68	)%		159	%
	$9.89		(3.44	)%		$97		1.03	%		0.85	%		0.85	%		(1.13	)%		128	%

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

AQR Funds Semi-Annual Report June 2016

317

Financial Highlights June 30, 2016

	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 STYLE PREMIA ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.14		(0.06	)		0.03	8		(0.03	)		—			—			—		—
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 10/30/1310—12/31/13		$10.00		(0.03	)		0.44			0.41			(0.20	)		(0.03	)		—		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.14		(0.07	)		0.02	8		(0.05	)		—			—			—		—
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 10/30/1310—12/31/13		$10.00		(0.04	)		0.45			0.41			(0.20	)		(0.03	)		—		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.15		(0.05	)		0.02	8		(0.03	)		—			—			—		—
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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.39		(0.03	)		0.09			0.06			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.18		(0.08	)		0.49			0.41			(0.17	)		(0.03	)		—		(0.20	)
FOR THE PERIOD 9/17/1410—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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.39		(0.04	)		0.09			0.05			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.09	)		0.48			0.39			(0.14	)		(0.03	)		—		(0.17	)
FOR THE PERIOD 9/17/1410—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
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited)		$10.40		(0.02	)		0.09			0.07			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.05	)		0.48			0.43			(0.17	)		(0.03	)		—		(0.20	)
FOR THE PERIOD 9/17/1410—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.

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Financial Highlights June 30, 2016

					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, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$10.11		(0.30	)%		$2,199,855		2.55	%		2.54	%		1.49	%		(1.18	)%		62	%
	$10.14		8.76	%		$1,341,232		2.29	%		2.25	%		1.48	%		(1.39	)%		138	%
	$9.86		11.30	%		$387,666		2.56	%		2.56	%		1.50	%		(0.95	)%		145	%
	$10.18		4.08	%		$403,243		2.11	%9		2.07	%		1.50	%		(1.77	)%		133	%
	$10.09		(0.49	)%		$224,581		2.80	%		2.79	%		1.74	%		(1.38	)%		62	%
	$10.14		8.50	%		$92,947		2.56	%		2.52	%		1.75	%		(1.65	)%		138	%
	$9.87		11.08	%		$26,594		2.92	%		2.81	%		1.75	%		(1.50	)%		145	%
	$10.18		4.05	%		$15,972		2.70	%9		2.44	%		1.75	%		(2.05	)%		133	%
	$10.12		(0.30	)%		$1,143,800		2.46	%		2.45	%		1.40	%		(0.92	)%		62	%
	$10.15		8.80	%		$394,568		2.21	%		2.17	%		1.40	%		(1.37	)%		138	%
	$9.87		7.67	%		$74,872		2.57	%		2.46	%		1.40	%		(1.94	)%		145	%
	$10.45		0.58	%		$293,849		1.33	%		1.31	%		0.83	%		(0.53	)%		46	%
	$10.39		4.02	%		$152,172		1.46	%		1.11	%		0.79	%		(0.80	)%		213	%
	$10.18		3.07	%		$28,094		1.49	%9		1.01	%		0.85	%		(0.68	)%		191	%
	$10.44		0.48	%		$47,294		1.58	%		1.56	%		1.08	%		(0.72	)%		46	%
	$10.39		3.85	%		$13,444		1.90	%		1.41	%		1.09	%		(0.91	)%		213	%
	$10.17		2.94	%		$8,577		1.92	%9		1.32	%		1.10	%		(0.91	)%		191	%
	$10.47		0.67	%		$52,983		1.26	%		1.23	%		0.75	%		(0.43	)%		46	%
	$10.40		4.23	%		$22,176		1.57	%		1.08	%		0.75	%		(0.50	)%		213	%
	$10.17		2.98	%		$23,695		1.75	%9		1.00	%		0.75	%		(0.32	)%		191	%

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

AQR Funds Semi-Annual Report June 2016

319

Financial Highlights June 30, 2016

  * 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 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.

  ⁹ Certain expenses incurred by the Fund were not annualized for the period.

¹⁰  Commencement of operations.

¹¹  Amount is less than $.005 per share.

¹²  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%.

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%.

¹⁴ The Adviser made a payment to the AQR Multi-Strategy Alternative Fund of $3,553,831 relating to a trading error. The impact of the Adviser’s contribution on the Fund’s total return was 0.11%, 0.10% and 0.10% for Class I, N and R6 respectively. The amount has been included in Net realized gain (loss) from investments in securities in the Statements of Operations.

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

AQR Funds Semi-Annual Report June 2016

320

Notes to Financial Statements June 30, 2016 (Unaudited)

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 June 30, 2016, 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 fund offers 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.

The following Funds are closed to new investors, subject to certain exceptions: AQR Diversified Arbitrage Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.

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 invest up to 25% of their total assets in its respective Subsidiary, 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 JUNE 30, 2016		% OF TOTAL NET ASSETS AT JUNE 30, 2016			NET REALIZED GAIN(LOSS) ON INVESTMENTS HELD IN SUBSIDIARY
AQR Global Macro Offshore Fund Ltd.		April 8, 2014	$	7,705,411		24.0	%	$	(485,374	)
AQR Managed Futures Strategy Offshore Fund Ltd.		January 5, 2010		3,081,268,943		23.2	%		26,968,110
AQR Managed Futures Strategy HV Offshore Fund Ltd.		July 16, 2013		168,129,439		23.4	%		224,877
AQR Multi-Strategy Alternative Offshore Fund Ltd.		July 18, 2011		563,841,977		15.9	%		35,462,444
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd.		July 9, 2012		36,814,487		22.8	%		14,154,234
AQR Risk Parity Offshore Fund Ltd.		September 29, 2010		88,446,240		20.0	%		4,916,577
AQR Risk Parity II HV Offshore Fund Ltd.		November 5, 2012		12,763,423		22.5	%		991,761
AQR Risk Parity II MV Offshore Fund Ltd.		November 5, 2012		14,007,979		14.8	%		1,097,869
AQR Style Premia Alternative Offshore Fund Ltd.		October 30, 2013		817,722,927		22.9	%		67,695,321
AQR Style Premia Alternative LV Offshore Fund Ltd.		September 17, 2014		91,491,888		23.2	%		3,718,994

AQR Funds Semi-Annual Report June 2016

321

Notes to Financial Statements June 30, 2016 (Unaudited)

3. Significant Accounting Policies

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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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 June 30, 2016, 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.

Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund 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

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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 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 June 30, 2016.

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, a 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 liquid 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	$	739,455
AQR Equity Market Neutral Fund		300,529
AQR Long-Short Equity Fund		375,543
AQR Multi-Strategy Alternative Fund		344,850
AQR Style Premia Alternative Fund		1,148,079
AQR Style Premia Alternative LV Fund		64,599

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

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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 (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.

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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.

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 $11,107,782 for AQR Risk Parity II HV Fund.

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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, 2015		(4,796	)	$	(2,216,380	)
Options written		(335	)		(22,777	)
Options terminated		—			—
Options expired		4,870			2,222,893
Options exercised		180			5,385
Options outstanding, June 30, 2016		(81	)	$	(10,879	)
	PUT OPTIONS
AQR DIVERSIFIED ARBITRAGE FUND	NUMBER OF CONTRACTS SUBJECT TO PUT			PREMIUM
Options outstanding, December 31, 2015		(67	)	$	(172,051	)
Options written		—			—
Options terminated		—			—
Options expired		—			—
Options exercised		67			172,051
Options outstanding, June 30, 2016		—		$	—
	CALL OPTIONS
AQR MULTI-STRATEGY ALTERNATIVE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2015		—		$	—
Options written		(2,080	)		(4,481,955	)
Options terminated		—			—
Options expired		581			51,471
Options exercised		—			—
Options outstanding, June 30, 2016		(1,499	)	$	(4,430,484	)

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 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

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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 exchange-traded and centrally cleared derivatives 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 exchange-traded and centrally cleared derivatives. 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, money market funds and other securities 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 of Trustees (the “Board”).

The Board has delegated responsibility for applying approved valuation policies to the Adviser, subject to Board oversight. The Adviser has established a Valuation Committee (the “VC”) whose function is to administer, implement and oversee the continual appropriateness of valuation methods applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. 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

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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 within the of the fair value hierarchy.

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

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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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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	$	98,662,115		$	40,014,355		$	3,633,959		$	142,310,429
Convertible Preferred Stocks		35,097,140			10,295,583			28,451,526			73,844,249
Corporate Bonds		—			14,440,500			3,236,520			17,677,020
Convertible Bonds		—			206,578,139			914,799			207,492,938
Closed End Funds		34,615,532			—			—			34,615,532
Loan Participations		—			523,318			2,229,777			2,753,095
Preferred Stocks		1,434,037			113,732			841,787			2,389,556
Rights		506,683			417,607			577,883			1,502,173
Securities in Litigation		—			—			99,820			99,820
Warrants		9,879,832			4,372,099			15,861			14,267,792
Short-Term Investments		—			189,498,469			—			189,498,469
Forward Foreign Currency Exchange Contracts*		—			81,387			—			81,387
Total Return Basket Swaps Contracts*		—			2,420,380			430,227			2,850,607
Total Assets	$	180,195,339		$	468,755,569		$	40,432,159		$	689,383,067
LIABILITIES
Common Stocks (Sold Short)	$	(192,700,505	)	$	—		$	(453	)	$	(192,700,958	)
Convertible Bonds (Sold Short)		—			(5,562,500	)		—			(5,562,500	)
Written Options (Sold Short)*		(5,330	)		(200	)		—			(5,530	)
Futures Contracts*		(915,649	)		—			—			(915,649	)
Forward Foreign Currency Exchange Contracts*		—			(218,559	)		—			(218,559	)
Credit Default Swap Contracts*		—			(1,154,184	)		—			(1,154,184	)
Total Return Basket Swaps Contracts*		—			(840,793	)		—			(840,793	)
Total Liabilities	$	(193,621,484	)	$	(7,776,236	)	$	(453	)	$	(201,398,173	)
AQR EQUITY MARKET NEUTRAL FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	41,973,837		$	168,495,532		$	—		$	210,469,369
Preferred Stocks†		—			545,792			—			545,792
Rights†		—			49,401			—			49,401
Short-Term Investments		—			826,494,795			—			826,494,795
Forward Foreign Currency Exchange Contracts*		—			585,646			—			585,646
Total Return Basket Swaps Contracts*		—			10,747,195			—			10,747,195
Total Assets	$	41,973,837		$	1,006,918,361		$	—		$	1,048,892,198
LIABILITIES
Common Stocks (Sold Short)†	$	(41,904,499	)	$	(130,520,759	)	$	—		$	(172,425,258	)
Preferred Stocks (Sold Short)†		—			(3,032,043	)		—			(3,032,043	)
Forward Foreign Currency Exchange Contracts*		—			(42,089	)		—			(42,089	)
Total Return Basket Swaps Contracts*		—			(3,342,053	)		—			(3,342,053	)
Total Liabilities	$	(41,904,499	)	$	(136,936,944	)	$	—		$	(178,841,443	)

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AQR GLOBAL MACRO FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	29,426,596		$	—	$	29,426,596
Futures Contracts*		341,754			—			—		341,754
Forward Foreign Currency Exchange Contracts*		—			1,680,175			—		1,680,175
Total Return Swap Contracts*		—			56,515			—		56,515
Total Assets	$	341,754		$	31,163,286		$	—	$	31,505,040
LIABILITIES
Futures Contracts*	$	(180,352	)	$	—		$	—	$	(180,352	)
Forward Foreign Currency Exchange Contracts*		—			(1,098,788	)		—		(1,098,788	)
Interest Rate Swap Contracts*		—			(271,070	)		—		(271,070	)
Total Return Swap Contracts*		—			(54,895	)		—		(54,895	)
Total Liabilities	$	(180,352	)	$	(1,424,753	)	$	—	$	(1,605,105	)
AQR LONG-SHORT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	55,970,343		$	240,324,341		$	—	$	296,294,684
Preferred Stocks†		—			1,657,664			—		1,657,664
Rights†		—			82,602			—		82,602
Short-Term Investments		—			1,162,429,110			—		1,162,429,110
Futures Contracts*		4,222,387			—			—		4,222,387
Forward Foreign Currency Exchange Contracts*		—			4,645,020			—		4,645,020
Total Return Basket Swaps Contracts*		—			12,661,075			—		12,661,075
Total Return Swap Contracts*		—			1,168,077			—		1,168,077
Total Assets	$	60,192,730		$	1,422,967,889		$	—	$	1,483,160,619
LIABILITIES
Common Stocks (Sold Short)†	$	(53,804,673	)	$	(194,573,534	)	$	—	$	(248,378,207	)
Preferred Stocks (Sold Short)†		—			(5,511,236	)		—		(5,511,236	)
Forward Foreign Currency Exchange Contracts*		—			(4,733,835	)		—		(4,733,835	)
Total Return Basket Swaps Contracts*		—			(15,762,744	)		—		(15,762,744	)
Total Liabilities	$	(53,804,673	)	$	(220,581,349	)	$	—	$	(274,386,022	)
AQR MANAGED FUTURES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	12,912,371,899		$	—	$	12,912,371,899
Futures Contracts*		351,499,383			—			—		351,499,383
Forward Foreign Currency Exchange Contracts*		—			552,050,171			—		552,050,171
Total Return Swap Contracts*		—			17,533,903			—		17,533,903
Total Assets	$	351,499,383		$	13,481,955,973		$	—	$	13,833,455,356
LIABILITIES
Futures Contracts*	$	(29,121,292	)	$	—		$	—	$	(29,121,292	)
Forward Foreign Currency Exchange Contracts*		—			(299,418,415	)		—		(299,418,415	)
Total Return Swap Contracts*		—			(45,658,987	)		—		(45,658,987	)
Total Liabilities	$	(29,121,292	)	$	(345,077,402	)	$	—	$	(374,198,694	)
AQR MANAGED FUTURES STRATEGY HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	670,593,318		$	—	$	670,593,318
Futures Contracts*		28,446,466			—			—		28,446,466
Forward Foreign Currency Exchange Contracts *		—			44,320,263			—		44,320,263
Total Return Swap Contracts*		—			1,528,997			—		1,528,997
Total Assets	$	28,446,466		$	716,442,578		$	—	$	744,889,044

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AQR MANAGED FUTURES STRATEGY HV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
LIABILITIES
Futures Contracts*	$	(2,350,469	)	$	—		$	—		$	(2,350,469	)
Forward Foreign Currency Exchange Contracts*		—			(24,095,295	)		—			(24,095,295	)
Total Return Swap Contracts*		—			(3,503,424	)		—			(3,503,424	)
Total Liabilities	$	(2,350,469	)	$	(27,598,719	)	$	—		$	(29,949,188	)
AQR MULTI-STRATEGY ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	534,995,184		$	27,858,158		$	—		$	562,853,342
Convertible Preferred Stocks†		371,494,934			80,130,153			—			451,625,087
Corporate Bonds†		—			79,000			—			79,000
Convertible Bonds†		—			676,123,254			—			676,123,254
Short-Term Investments		—			1,735,677,530			—			1,735,677,530
Futures Contracts*		18,776,862			—			—			18,776,862
Forward Foreign Currency Exchange Contracts*		—			109,791,404			—			109,791,404
Total Return Basket Swap Contracts*		—			28,397,226			—			28,397,226
Total Return Swap Contracts*		—			2,887,692			—			2,887,692
Total Assets	$	925,266,980		$	2,660,944,417		$	—		$	3,586,211,397
LIABILITIES
Common Stocks (Sold Short)†	$	(972,059,782	)	$	—		$	—		$	(972,059,782	)
Written Options (Sold Short)*		(7,785,660	)		(1,780	)		—			(7,787,440	)
Futures Contracts*		(5,825,350	)		—			—			(5,825,350	)
Forward Foreign Currency Exchange Contracts*		—			(41,209,694	)		—			(41,209,694	)
Credit Default Swap Contracts*		—			(171,586	)		—			(171,586	)
Total Return Basket Swap Contracts*		—			(40,042,527	)		(77,046	)		(40,119,573	)
Total Return Swap Contracts*		—			(15,474,635	)		—			(15,474,635	)
Total Liabilities	$	(985,670,792	)	$	(96,900,222	)	$	(77,046	)	$	(1,082,648,060	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Short-Term Investments	$	—		$	147,559,891		$	—		$	147,559,891
Futures Contracts*		8,776,837			—			—			8,776,837
Total Return Swap Contracts*		—			5,474,026			—			5,474,026
Total Assets	$	8,776,837		$	153,033,917		$	—		$	161,810,754
LIABILITIES
Futures Contracts*	$	(657,227	)	$	—		$	—		$	(657,227	)
Total Return Swap Contracts*		—			(5,133,735	)		—			(5,133,735	)
Total Liabilities	$	(657,227	)	$	(5,133,735	)	$	—		$	(5,790,962	)
AQR RISK PARITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Foreign Government Securities	$	—		$	65,777,174		$	—		$	65,777,174
U.S. Treasury Obligations		—			112,516,798			—			112,516,798
Short-Term Investments		—			233,186,428			—			233,186,428
Futures Contracts*		9,206,919			—			—			9,206,919
Forward Foreign Currency Exchange Contracts*		—			6,246,558			—			6,246,558
Interest Rate Swap Contracts*		—			3,511,971			—			3,511,971
Credit Default Swap Contracts*		—			3,812,798			—			3,812,798
Total Return Swap Contracts*		—			2,526,994			—			2,526,994
Total Assets	$	9,206,919		$	427,578,721		$	—		$	436,785,640

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AQR RISK PARITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
LIABILITIES
Futures Contracts*	$	(424,406	)	$	—		$	—	$	(424,406	)
Forward Foreign Currency Exchange Contracts*		—			(918,025	)		—		(918,025	)
Interest Rate Swap Contracts*		—			(114,909	)		—		(114,909	)
Total Return Swap Contracts*		—			(1,616,187	)		—		(1,616,187	)
Total Liabilities	$	(424,406	)	$	(2,649,121	)	$	—	$	(3,073,527	)
AQR RISK PARITY II HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	10,774,702		$	—	$	10,774,702
U.S. Treasury Obligations		—			20,158,576			—		20,158,576
Short-Term Investments		—			32,463,151			—		32,463,151
Futures Contracts*		2,186,414			—			—		2,186,414
Forward Foreign Currency Exchange Contracts*		—			376,871			—		376,871
Total Return Swap Contracts*		—			742,668			—		742,668
Total Assets	$	2,186,414		$	64,515,968		$	—	$	66,702,382
LIABILITIES
Reverse Repurchase Agreements (Sold Short)	$	—		$	(10,953,690	)	$	—	$	(10,953,690	)
Futures Contracts*		(98,618	)		—			—		(98,618	)
Forward Foreign Currency Exchange Contracts*		—			(1,162	)		—		(1,162	)
Total Return Swap Contracts*		—			(516,020	)		—		(516,020	)
Total Liabilities	$	(98,618	)	$	(11,470,872	)	$	—	$	(11,569,490	)
AQR RISK PARITY II MV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	12,048,783		$	—	$	12,048,783
U.S. Treasury Obligations		—			23,225,420			—		23,225,420
Short-Term Investments		—			55,908,006			—		55,908,006
Futures Contracts*		2,448,515			—			—		2,448,515
Forward Foreign Currency Exchange Contracts*		—			440,895			—		440,895
Total Return Swap Contracts*		—			1,457,777			—		1,457,777
Total Assets	$	2,448,515		$	93,080,881		$	—	$	95,529,396
LIABILITIES
Futures Contracts*	$	(110,378	)	$	—		$	—	$	(110,378	)
Forward Foreign Currency Exchange Contracts*		—			(1,992	)		—		(1,992	)
Total Return Swap Contracts*		—			(1,158,179	)		—		(1,158,179	)
Total Liabilities	$	(110,378	)	$	(1,160,171	)	$	—	$	(1,270,549	)
AQR STYLE PREMIA ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	—		$	971,223,138		$	—	$	971,223,138
Preferred Stocks†		—			8,517,798			—		8,517,798
Rights†		—			30,823			—		30,823
Short-Term Investments		—			3,009,145,440			—		3,009,145,440
Futures Contracts*		20,834,354			—			—		20,834,354
Forward Foreign Currency Exchange Contracts*		—			100,085,033			—		100,085,033
Total Return Swap Contracts*		—			83,987,103			—		83,987,103
Total Assets	$	20,834,354		$	4,172,989,335		$	—	$	4,193,823,689

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Notes to Financial Statements June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(719,252,331	)	$	(3	)	$	(719,252,334	)
Preferred Stocks (Sold Short)†		—			(9,369,052	)		—			(9,369,052	)
Futures Contracts*		(13,851,528	)		—			—			(13,851,528	)
Forward Foreign Currency Exchange Contracts*		—			(49,277,389	)		—			(49,277,389	)
Total Return Basket Swaps Contracts*		—			(47,623,436	)		—			(47,623,436	)
Total Return Swap Contracts*		—			(93,947,471	)		—			(93,947,471	)
Total Liabilities	$	(13,851,528	)	$	(919,469,679	)	$	(3	)	$	(933,321,210	)
AQR STYLE PREMIA ALTERNATIVE LV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	51,079,892		$	—		$	51,079,892
Preferred Stocks†		—			367,833			—			367,833
Short-Term Investments		—			358,850,754			—			358,850,754
Futures Contracts*		1,195,260			—			—			1,195,260
Forward Foreign Currency Exchange Contracts*		—			5,561,027			—			5,561,027
Total Return Swap Contracts*		—			1,122,426			—			1,122,426
Total Assets	$	1,195,260		$	416,981,932		$	—		$	418,177,192
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(38,078,514	)	$	—		$	(38,078,514	)
Preferred Stocks (Sold Short)†		—			(538,752	)		—			(538,752	)
Futures Contracts*		(817,941	)		—			—			(817,941	)
Forward Foreign Currency Exchange Contracts*		—			(2,746,121	)		—			(2,746,121	)
Total Return Basket Swaps Contracts*		—			(1,857,268	)		—			(1,857,268	)
Total Return Swap Contracts*		—			(1,652,386	)		—			(1,652,386	)
Total Liabilities	$	(817,941	)	$	(44,873,041	)	$	—		$	(45,690,982	)

* 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 period ended June 30, 2016, the amount of securities that transferred from Level 1 into Level 2 for the AQR Diversified Arbitrage Fund was $9,557,483 and the amount transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund was $13,656,724 and $37,773,795, respectively. There were no transfers of investments between levels for any of the remaining Funds.

There were no other Level 3 securities held at period end, except where note in AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund. Securities classified as Level 3 in the Schedules of Investments are considered quantitatively insignificant in the aggregate for AQR Style Premia Alternative Fund.

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335

Notes to Financial Statements June 30, 2016 (Unaudited)

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 PARTICIPATIONS/ CORPORATE BONDS			CONVERTIBLE BOND			PREFERRED STOCK		RIGHTS			WARRANT			SECURITIES IN LITIGATION		SHORT COMMON STOCKS			TOTAL RETURN BASKET SWAP CONTRACTS
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	)	$	—
Accrued discounts/(premiums)		—			—			594,850			2,449			—		—			—			—		—			—
Realized gain/(loss)		8			1,453			(21,631,870	)		(5,039,860	)		—		261,441			—			—		—			—
Change in unrealized appreciation/(depreciation)		2,069,294			1,066,107			19,422,507			5,076,657			24,525		(138,017	)		(124,933	)		8,825		—			(131,016	)
Purchases1		67,812			—			3,626,905			591,532			—		—			—			—		—			—
Sales2		(6,334,831	)		(9,158	)		(2,580,456	)		(648,701	)		—		(261,441	)		—			—		—			—
Transfers in to Level 3		114,480			—			1,418,873			358,003			—		—			32,866			—		—			561,243
Transfers out of Level 3		(3,678,975	)		—			(2,335,235	)		—			—		—			(1,465,272	)		—		—			—
Balance as of June 30, 2016	$	3,633,959		$	28,451,526		$	5,466,297		$	914,799		$	841,787	$	577,883		$	15,861		$	99,820	$	(453	)	$	430,227
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2016	$	40,331		$	1,067,543		$	(1,091,760	)	$	(570,675	)	$	24,525	$	(138,015	)	$	(124,933	)	$	8,825	$	—		$	(131,016	)

AQR MULTI-STRATEGY ALTERNATIVE FUND	COMMON STOCK			CONVERTIBLE BOND			TOTAL RETURN BASKET SWAP CONTRACTS— SHORT
Balance as of December 31, 2015	$	408,524		$	416,739		$	—
Accrued discounts/(premiums)		—			717			—
Realized gain/(loss)		(54,988	)		(1	)		—
Change in unrealized appreciation/(depreciation)		(90,483	)		(455	)		121,210
Purchases1		—			—			—
Sales2		(263,053	)		(417,000	)		—
Transfers in to Level 3		—			—			(198,256	)
Transfers out of Level 3		—			—			—
Balance as of June 30, 2016	$	—		$	—		$	(77,046	)
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2016	$	—		$	—		$	121,210

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.

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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336

Notes to Financial Statements June 30, 2016 (Unaudited)

At June 30, 2016, 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 period ended June 30, 2016 for the AQR Diversified Arbitrage Fund:

Quantitative Information about Level 3 Fair Value Measurements*

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Common Stock		$24,171	Black-Scholes	EBITDA Multiple	5.25x	N/A
				Discount for Lack of Marketability**	23.4%	N/A
				Term	2.0 yrs	N/A
				Volatility	43.2%	N/A
		$1,605,346	Enterprise Value Waterfall Analysis	Discount for Lack of Marketability**	19.0%—30.4%	28.85%
				Revenue Multiple	1.05x to 1.10x	N/A
				Selected Point in Range	Midpoint	N/A
				Term	2.0 yrs	N/A
				Volatility	51.2%—56.8%	60.79%
				EBITDA Multiple	7.0x to 8.0x	N/A
		$1,627,372	Probability Weighted Expected Return	Discount for Lack of Marketability**	6.4%—44.6%	39.24%
				Equity Cost of Capital	30.0%	N/A
				Scenario Probability	10.0%—90.0%	N/A
				Term	0.2—2.0 yrs	N/A
				Volatility	39.4%—85.4%	78.97%
				Legal Fees	$1,159,533	N/A
				EBITDA Multiple	7.0x
		$70,487	Public Price Adjusted for Lack of Marketability	Discount for Lack of Marketability**	44.6%—50.8%	46.90%
				Term	2.0 yrs	N/A
				Volatility	85.4%—145.1%	107.91%
Convertible Preferred Stock		$28,450,624	Discounted Cash Flows Analysis	Discount Rate	5.7%	N/A
Loan Participation		$2,229,777	Probability Weighted Expected Return	Scenario Probability	50.0%	N/A
				Discount Rate	26.2%	26.2%
Preferred Stock		$841,787	Enterprise Value Waterfall Analysis	Equity Cost of Capital	13.8%	N/A

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337

Notes to Financial Statements June 30, 2016 (Unaudited)

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Right		$193,168	Options Pricing Model	Discount for Lack of Marketability**	20.5%	N/A
				Term	1.5 yrs	N/A
				Volatility	66.2%	N/A
		$485,335	Probability Weighted Expected Return	Discount for Lack of Marketability**	14.0%—39.8%	30.02%
				Equity Cost of Capital	7.5%—19.0%	16.05%
				Scenario Probability	0.0%—75.0%	N/A
				Term	0.6—4.2yrs	N/A
				Volatility	29.3%—102.3%	62.47%
Securities in Litigation		$99,820	Liquidation Analysis	Recovery Probability	2.5%	N/A
				Liquidation Cost (% of capital)	28.1%	N/A
Warrant		$3,636	Options Pricing Model	Discount for Lack of Marketability**	32.9%	N/A
				Term	6.0 yrs	N/A
				Volatility	39.8%	N/A

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2016, the value of these securities was $4,800,184. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.

** Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments.

6. Federal Income Tax Matters

At June 30, 2016, 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	$	764,738,393	$	50,458,009	$	(128,745,329	)	$	(78,287,320	)
AQR Equity Market Neutral Fund		1,030,427,930		16,247,956		(9,116,529	)		7,131,427
AQR Global Macro Fund		29,417,719		8,877		—			8,877
AQR Long-Short Equity Fund		1,451,777,725		22,535,061		(13,848,726	)		8,686,335
AQR Managed Futures Strategy Fund		12,907,363,966		5,007,933		—			5,007,933
AQR Managed Futures Strategy HV Fund		670,441,975		151,343		—			151,343
AQR Multi-Strategy Alternative Fund		3,397,276,600		132,517,309		(103,435,696	)		29,081,613
AQR Risk-Balanced Commodities Strategy Fund		147,529,856		30,035		—			30,035
AQR Risk Parity Fund		410,346,703		2,977,666		(1,843,969	)		1,133,697
AQR Risk Parity II HV Fund		63,227,857		394,550		(225,978	)		168,572
AQR Risk Parity II MV Fund		91,005,516		584,117		(407,424	)		176,693
AQR Style Premia Alternative Fund		3,970,809,094		83,862,904		(65,754,799	)		18,108,105
AQR Style Premia Alternative LV Fund		409,175,121		4,828,924		(3,705,566	)		1,123,358

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

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338

Notes to Financial Statements June 30, 2016 (Unaudited)

As of December 31, 2015, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG-TERM
AQR 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 period ended June 30, 2016, 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	$	396,325,822	$	780,452,298	$	240,141,574	$	374,178,326
AQR Equity Market Neutral Fund		187,405,224		59,586,478		194,952,827		86,217,146
AQR Long-Short Equity Fund		201,472,924		67,527,736		222,468,016		96,020,983
AQR Multi-Strategy Alternative Fund		1,385,332,844		654,147,710		885,562,019		509,409,678
AQR Risk Parity Fund		58,206,535		43,322,284		—		—
AQR Risk Parity II HV Fund		14,698,305		1,776,220		—		—
AQR Risk Parity II MV Fund		8,708,988		212,110		—		—
AQR Style Premia Alternative Fund		417,292,164		101,351,422		456,098,196		178,460,025
AQR Style Premia Alternative LV Fund		17,805,392		3,194,040		18,968,959		5,588,227

During the period ended June 30, 2016, the Funds had purchases and sales of long-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES
AQR Diversified Arbitrage Fund	$	465,256	$	465,394
AQR Risk Parity Fund		41,459,805		28,210,271
AQR Risk Parity II HV Fund		10,635,220		1,528,195
AQR Risk Parity II MV Fund		7,062,606		96,576

8. Transactions with Affiliates

The funds are permitted to purchase and sell securities from and/or to other affiliated Funds that have a common investment adviser (or affiliated investment advisers), common Trustees and/or common Officers under specified conditions pursuant to procedures adopted by the Board in compliance with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. For the period ended June 30, 2016, the following Funds engaged in purchase and sale transactions with an affiliate:

AQR Diversified Arbitrage Fund—sales $58,184,315

AQR Multi-Strategy Alternative Fund—purchases $58,184,315

9. 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, 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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339

Notes to Financial Statements June 30, 2016 (Unaudited)

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 June 30, 2016.

	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	$	—	$	2,850,607	$	—	$	127,842	$	273,235	$	—	$	5,530
AQR Equity Market Neutral Fund		—		10,747,195		—		—		3,342,053		—		—
AQR Global Macro Fund		334,650		24,319		—		167,034		38,018		—		—
AQR Long-Short Equity Fund		8,464,391		13,829,152		—		4,242,004		15,762,744		—		—
AQR Managed Futures Strategy Fund		36,910,095		—		—		41,002,262		9,854,227		—		—
AQR Managed Futures Strategy HV Fund		3,034,357		—		—		3,332,482		790,903		—		—
AQR Multi-Strategy Alternative Fund		4,656,391		28,746,909		—		8,726,386		49,989,766		—		7,787,440
AQR Risk Parity Fund		536,435		390,119		—		416,079		79,469		—		—
AQR Risk Parity II HV Fund		151,925		118,637		—		26,108		4,614		—		—
AQR Risk Parity II MV Fund		182,188		128,003		—		144,104		10,472		—		—
AQR Style Premia Alternative Fund		19,775,318		11,926,255		—		19,149,524		54,133,185		—		—
AQR Style Premia Alternative LV Fund		1,071,237		737,035		—		1,138,893		2,259,410		—		—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		81,387		—		—		218,559		—
AQR Equity Market Neutral Fund		—		—		585,646		—		—		42,089		—
AQR Global Macro Fund		—		—		1,680,175		—		—		1,098,788		—
AQR Long-Short Equity Fund		—		—		4,645,020		—		—		4,733,835		—
AQR Managed Futures Strategy Fund		—		—		552,050,171		—		—		299,418,415		—
AQR Managed Futures Strategy HV Fund		—		—		44,320,263		—		—		24,095,295		—
AQR Multi-Strategy Alternative Fund		—		—		109,791,404		—		—		41,209,694		—
AQR Risk Parity Fund		—		—		6,246,558		—		—		918,025		—
AQR Risk Parity II HV Fund		—		—		376,871		—		—		1,162		—
AQR Risk Parity II MV Fund		—		—		440,895		—		—		1,992		—
AQR Style Premia Alternative Fund		—		—		100,085,033		—		—		49,277,389		—
AQR Style Premia Alternative LV Fund		—		—		5,561,027		—		—		2,746,121		—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		—		787,807		567,558		—		—
AQR Global Macro Fund		251,897		11,309,676		—		383,849		11,580,746		—		—
AQR Managed Futures Strategy Fund		266,005,310		—		—		1,377,402		—		—		—
AQR Managed Futures Strategy HV Fund		21,606,733		—		—		106,636		—		—		—
AQR Multi-Strategy Alternative Fund		22,822,073		—		—		11,237,383		—		—		—
AQR Risk Parity Fund		7,102,001		4,116,354		—		—		719,292		—		—
AQR Risk Parity II HV Fund		1,678,143		—		—		106,011		—		—		—
AQR Risk Parity II MV Fund		1,881,256		—		—		—		—		—		—
AQR Style Premia Alternative Fund		107,098,211		—		—		100,059,392		—		—		—
AQR Style Premia Alternative LV Fund		6,007,740		—		—		5,551,911		—		—		—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		—		—		1,154,184		—		—
AQR Multi-Strategy Alternative Fund		—		—		—		—		171,586		—		—
AQR Risk Parity Fund		—		5,053,802		—		—		1,241,004		—		—
Commodity Risk Exposure:
AQR Global Macro Fund		245,748		32,196		—		120,010		16,877		—		—
AQR Managed Futures Strategy Fund		127,473,306		17,533,903		—		65,630,956		35,804,760		—		—
AQR Managed Futures Strategy HV Fund		10,362,738		1,528,997		—		5,468,713		2,712,521		—		—

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340

Notes to Financial Statements June 30, 2016 (Unaudited)

	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
AQR Multi-Strategy Alternative Fund	$	17,005,395		$	2,538,009		$	—		$	11,568,578		$	5,604,442		$	—		$	—
AQR Risk-Balanced Commodities Strategy Fund		12,609,310			5,474,026			—			4,489,700			5,133,735			—			—
AQR Risk Parity Fund		3,411,251			2,136,875			—			1,851,095			1,536,718			—			—
AQR Risk Parity II HV Fund		752,796			624,031			—			362,949			511,406			—			—
AQR Risk Parity II MV Fund		806,044			1,329,774			—			387,247			1,147,707			—			—
AQR Style Premia Alternative Fund		23,153,425			72,060,848			—			23,835,212			87,437,722			—			—
AQR Style Premia Alternative LV Fund		1,310,215			385,391			—			1,321,069			1,250,307			—			—
Netting:
AQR Diversified Arbitrage Fund		—			(1,994,977	)		(81,387	)		—			(1,994,977	)		(81,387	)		—
AQR Equity Market Neutral Fund		—			(3,342,053	)		(42,089	)		—			(3,342,053	)		(42,089	)		—
AQR Global Macro Fund		(670,893	)		(11,366,191	)		(1,098,788	)		(670,893	)		(11,366,191	)		(1,098,788	)		—
AQR Long-Short Equity Fund		(4,242,004	)		(13,829,152	)		(4,645,020	)		(4,242,004	)		(13,829,152	)		(4,645,020	)		—
AQR Managed Futures Strategy Fund		(108,010,620	)		(17,533,903	)		(299,418,415	)		(108,010,620	)		(17,533,903	)		(299,418,415	)		—
AQR Managed Futures Strategy HV Fund		(8,907,831	)		(1,528,997	)		(24,095,295	)		(8,907,831	)		(1,528,997	)		(24,095,295	)		—
AQR Multi-Strategy Alternative Fund		(31,532,347	)		(31,284,918	)		(41,209,694	)		(31,532,347	)		(31,284,918	)		(41,209,694	)		—
AQR Risk-Balanced Commodities Strategy Fund		(4,489,700	)		(5,133,735	)		—			(4,489,700	)		(5,133,735	)		—			—
AQR Risk Parity Fund		(2,267,174	)		(3,576,483	)		(918,025	)		(2,267,174	)		(3,576,483	)		(918,025	)		—
AQR Risk Parity II HV Fund		(495,068	)		(516,020	)		(1,162	)		(495,068	)		(516,020	)		(1,162	)		—
AQR Risk Parity II MV Fund		(531,351	)		(1,158,179	)		(1,992	)		(531,351	)		(1,158,179	)		(1,992	)		—
AQR Style Premia Alternative Fund		(143,044,128	)		(83,987,103	)		(49,277,389	)		(143,044,128	)		(83,987,103	)		(49,277,389	)		—
AQR Style Premia Alternative LV Fund		(8,011,873	)		(1,122,426	)		(2,746,121	)		(8,011,873	)		(1,122,426	)		(2,746,121	)		—
Net Fair Value of Derivative Contracts:
AQR Diversified Arbitrage Fund		—			855,630			—			915,649			—			137,172			5,530
AQR Equity Market Neutral Fund		—			7,405,142			543,557			—			—			—			—
AQR Global Macro Fund		161,402			—			581,387			—			269,450			—			—
AQR Long-Short Equity Fund		4,222,387			—			—			—			1,933,592			88,815			—
AQR Managed Futures Strategy Fund		322,378,091			—			252,631,756			—			28,125,084			—			—
AQR Managed Futures Strategy HV Fund		26,095,997			—			20,224,968			—			1,974,427			—			—
AQR Multi-Strategy Alternative Fund		12,951,512			—			68,581,710			—			24,480,876			—			7,787,440
AQR Risk-Balanced Commodities Strategy Fund		8,119,610			340,291			—			—			—			—			—
AQR Risk Parity Fund		8,782,513			8,120,667			5,328,533			—			—			—			—
AQR Risk Parity II HV Fund		2,087,796			226,648			375,709			—			—			—			—
AQR Risk Parity II MV Fund		2,338,137			299,598			438,903			—			—			—			—
AQR Style Premia Alternative Fund		6,982,826			—			50,807,644			—			57,583,804			—			—
AQR Style Premia Alternative LV Fund		377,319			—			2,814,906			—			2,387,291			—			—

* 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 Semi-Annual Report June 2016

341

Notes to Financial Statements June 30, 2016 (Unaudited)

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended June 30, 2016:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS											NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)ONDERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS		FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	(55,843	)	$	(354,695	)	$	—		$	2,400,355	$	407,137		$	1,439,857		$	—		$	(2,181,646	)
AQR Equity Market Neutral Fund		813,308			(11,225,942	)		—			—		—			1,704,979			—			—
AQR Global Macro Fund		(555,823	)		(426,721	)		—			—		(10,606	)		(106,753	)		—			—
AQR Long-Short Equity Fund		15,583,838			(1,442,151	)		—			—		926,124			(2,301,280	)		—			—
AQR Managed Futures Strategy Fund		(304,373,150	)		(31,855,148	)		—			—		13,525,722			(14,910,634	)		—			—
AQR Managed Futures Strategy HV Fund		(25,817,773	)		(3,186,436	)		—			—		1,095,274			(1,128,849	)		—			—
AQR Multi-Strategy Alternative Fund		(67,851,231	)		40,582,618			—			51,630		(599,577	)		(159,160,471	)		—			(3,356,956	)
AQR Risk Parity Fund		(1,981,592	)		5,162,895			—			—		(941,254	)		452,624			—			—
AQR Risk Parity II HV Fund		(307,032	)		(189,077	)		—			—		(52,210	)		124,795			—			—
AQR Risk Parity II MV Fund		(649,984	)		(336,561	)		—			—		(229,024	)		143,956			—			—
AQR Style Premia Alternative Fund		(22,196,040	)		(65,832,902	)		—			—		12,237,727			(22,668,030	)		—			—
AQR Style Premia Alternative LV Fund		(1,412,069	)		(602,995	)		—			—		602,729			(2,998,365	)		—			—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—			—			(453,452	)		—		—			—			(1,240,512	)		—
AQR Equity Market Neutral Fund		—			—			(490,674	)		—		—			—			613,295			—
AQR Global Macro Fund		—			—			220,595			—		—			—			71,565			—
AQR Long-Short Equity Fund		—			—			4,921,572			—		—			—			(353,864	)		—
AQR Managed Futures Strategy Fund		—			—			(111,663,080	)		—		—			—			294,276,065			—
AQR Managed Futures Strategy HV Fund		—			—			(11,505,393	)		—		—			—			23,511,340			—
AQR Multi-Strategy Alternative Fund		—			—			18,590,098			—		—			—			54,871,521			—
AQR Risk Parity Fund		—			—			(4,543,675	)		—		—			—			9,249,223			—
AQR Risk Parity II HV Fund		—			—			(265,414	)		—		—			—			492,576			—
AQR Risk Parity II MV Fund		—			—			(335,204	)		—		—			—			592,950			—
AQR Style Premia Alternative Fund		—			—			53,810,526			—		—			—			43,175,351			—
AQR Style Premia Alternative LV Fund		—			—			2,705,724			—		—			—			2,424,872			—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		(2,152,384	)		(707,707	)		—			—		(1,125,683	)		(757,897	)		—			—
AQR Global Macro Fund		8,893			317,697			—			—		212,497			(365,333	)		—			—
AQR Managed Futures Strategy Fund		160,933,765			—			—			—		289,007,891			—			—			—
AQR Managed Futures Strategy HV Fund		12,961,881			—			—			—		23,400,199			—			—			—
AQR Multi-Strategy Alternative Fund		(17,509,556	)		(1,255,223	)		—			—		12,563,835			(164,019	)		—			—
AQR Risk Parity Fund		16,442,334			(3,957,067	)		—			—		8,889,297			3,245,288			—			—

AQR Funds Semi-Annual Report June 2016

342

Notes to Financial Statements June 30, 2016 (Unaudited)

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS										NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
AQR Risk Parity II HV Fund	$	2,743,163		$	—		$	—	$	—	$	1,842,155		$	—		$	—	$	—
AQR Risk Parity II MV Fund		4,185,826			—			—		—		2,281,795			—			—		—
AQR Style Premia Alternative Fund		(93,334,422	)		—			—		—		10,164,621			—			—		—
AQR Style Premia Alternative LV Fund		(5,106,001	)		—			—		—		679,079			—			—		—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—			(2,798,169	)		—		—		—			1,059,887			—		—
AQR Multi-Strategy Alternative Fund		—			(769,385	)		—		—		—			86,165			—		—
AQR Risk Parity Fund		—			1,842,810			—		—		—			(1,777,745	)		—		—
Commodity Risk Exposure:
AQR Global Macro Fund		(337,365	)		(147,869	)		—		—		(35,953	)		1,891			—		—
AQR Managed Futures Strategy Fund		(40,448,123	)		67,367,537			—		—		23,418,667			(23,286,364	)		—		—
AQR Managed Futures Strategy HV Fund		(5,202,579	)		5,471,459			—		—		1,775,967			(1,533,974	)		—		—
AQR Multi-Strategy Alternative Fund		9,360,144			26,103,668			—		—		3,557,086			(1,715,002	)		—		—
AQR Risk-Balanced Commodities Strategy Fund		12,449,413			1,707,712			—		—		11,474,732			(574,213	)		—		—
AQR Risk Parity Fund		4,099,048			819,639			—		—		6,010,170			1,157,728			—		—
AQR Risk Parity II HV Fund		882,446			110,603			—		—		1,008,485			206,181			—		—
AQR Risk Parity II MV Fund		965,142			132,177			—		—		1,299,803			390,094			—		—
AQR Style Premia Alternative Fund		23,494,091			44,220,162			—		—		4,612,106			(11,991,925	)		—		—
AQR Style Premia Alternative LV Fund		1,262,826			2,456,877			—		—		115,815			(698,667	)		—		—

AQR Funds Semi-Annual Report June 2016

343

Notes to Financial Statements June 30, 2016 (Unaudited)

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 June 30, 2016.

AQR DIVERSIFIED ARBITRAGE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED INTHE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	92,829	$	—		$	92,829	$	—	$	—		$	92,829
CITI	Forward Foreign Currency Exchange Contracts		37,461		(37,461	)		—		—		—			—
DTBK	Total Return Basket Swaps Contracts		2,327,551		(840,793	)		1,486,758		—		—			1,486,758
JPMC	Forward Foreign Currency Exchange Contracts		43,926		(43,926	)		—		—		—			—
	Total Return Basket Swaps Contracts		430,227		—			430,227		—		—			430,227
	Total JPMC		474,153		(43,926	)		430,227		—		—			430,227
Total financial instruments subject to a master netting arrangement or similar arrangement			2,931,994		(922,180	)		2,009,814		—		—			2,009,814
				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
CITI	Forward Foreign Currency Exchange Contracts	$	75,332	$	(37,461	)	$	37,871	$	—	$	(37,871	)	$	—
DTBK	Total Return Basket Swaps Contracts		840,793		(840,793	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		143,227		(43,926	)		99,301		—		(99,301	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,059,352		(922,180	)		137,172		—		(137,172	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $21,988,422.

AQR Funds Semi-Annual Report June 2016

344

Notes to Financial Statements June 30, 2016 (Unaudited)

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
CITI	Forward Foreign Currency Exchange Contracts	$	297,993	$	(32,851	)	$	265,142	$	—	$	—	$	265,142
JPMC	Forward Foreign Currency Exchange Contracts		287,653		(9,238	)		278,415		—		—		278,415
MSIP	Total Return Basket Swaps Contracts		10,747,195		(3,342,053	)		7,405,142		—		—		7,405,142
Total financial instruments subject to a master netting arrangement or similar arrangement			11,332,841		(3,384,142	)		7,948,699		—		—		7,948,699
				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
CITI	Forward Foreign Currency Exchange Contracts	$	32,851	$	(32,851	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		9,238		(9,238	)		—		—		—		—
MSIP	Total Return Basket Swaps Contracts		3,342,053		(3,342,053	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,384,142		(3,384,142	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $136,827,039.

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			NET AMOUNT
BANA	Total Return Swap Contracts	$	19,123	$	(19,123	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		682,019		(500,573	)		181,446		—		(30,000	)		151,446
GSIN	Total Return Swap Contracts		5,196		(1,858	)		3,338		—		—			3,338
JPMC	Forward Foreign Currency Exchange Contracts		998,156		(598,215	)		399,941		—		—			399,941
Total financial instruments subject to a master netting arrangement or similar arrangement			1,704,494		(1,119,769	)		584,725		—		(30,000	)		554,725

AQR Funds Semi-Annual Report June 2016

345

Notes to Financial Statements June 30, 2016 (Unaudited)

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 (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	36,160	$	(19,123	)	$	17,037	$	—	$	(17,037	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		500,573		(500,573	)		—		—		—			—
GSIN	Total Return Swap Contracts		1,858		(1,858	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		598,215		(598,215	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,136,806		(1,119,769	)		17,037		—		(17,037	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $192,985.

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		NET AMOUNT
CITI	Total Return Swap Contracts	$	6,626	$	—		$	6,626	$	—	$	—	$	6,626
MACQ	Total Return Swap Contracts		21,480		(13,495	)		7,985		—		—		7,985
SOCG	Total Return Swap Contracts		4,090		(3,382	)		708		—		—		708
Total financial instruments subject to a master netting arrangement or similar arrangement			32,196		(16,877	)		15,319		—		—		15,319
				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
MACQ	Total Return Swap Contracts	$	13,495	$	(13,495	)	$	—	$	—	$	—	$	—
SOCG	Total Return Swap Contracts		3,382		(3,382	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			16,877		(16,877	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $60,028.

AQR Funds Semi-Annual Report June 2016

346

Notes to Financial Statements June 30, 2016 (Unaudited)

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			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	1,904,650	$	(1,904,560	)	$	90	$	—	$	—		$	90
DTBK	Total Return Basket Swaps Contracts		12,661,075		—			12,661,075		—		—			12,661,075
GSIN	Total Return Swap Contracts		1,168,077		(1,168,077	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		2,740,370		(2,740,370	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			18,474,172		(5,813,007	)		12,661,165		—		—			12,661,165
				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
CITI	Forward Foreign Currency Exchange Contracts	$	1,904,560	$	(1,904,560	)	$	—	$	—	$	—		$	—
GSIN	Total Return Basket Swaps Contracts		15,762,744		(1,168,077	)		14,594,667		—		(14,594,667	)		—
JPMC	Forward Foreign Currency Exchange Contracts		2,829,275		(2,740,370	)		88,905		—		(88,905	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			20,496,579		(5,813,007	)		14,683,572		—		(14,683,572	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $251,355,609.

AQR Funds Semi-Annual Report June 2016

347

Notes to Financial Statements June 30, 2016 (Unaudited)

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
CITI	Forward Foreign Currency Exchange Contracts	$	220,874,889	$	(120,022,877	)	$	100,852,012	$	—	$	(35,070,000	)	$	65,782,012
JPMC	Forward Foreign Currency Exchange Contracts		331,175,282		(179,395,538	)		151,779,744		—		(17,670,000	)		134,109,744
Total financial instruments subject to a master netting arrangement or similar arrangement			552,050,171		(299,418,415	)		252,631,756		—		(52,740,000	)		199,891,756
				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
BANA	Total Return Swap Contracts	$	6,819,672	$	—		$	6,819,672	$	—	$	(6,819,672	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		120,022,877		(120,022,877	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		179,395,538		(179,395,538	)		—		—		—			—
MSCS	Total Return Swap Contracts		3,034,555		—			3,034,555		—		(3,034,555	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			309,272,642		(299,418,415	)		9,854,227		—		(9,854,227	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $18,889,992.

AQR Funds Semi-Annual Report June 2016

348

Notes to Financial Statements June 30, 2016 (Unaudited)

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 (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	7,446,600	$	(6,182,980	)	$	1,263,620	$	—	$	(1,263,620	)	$	—
MACQ	Total Return Swap Contracts		6,389,879		(6,389,879	)		—		—		—			—
MLIN	Total Return Swap Contracts		1,181,878		(1,181,878	)		—		—		—			—
SOCG	Total Return Swap Contracts		2,515,546		(2,400,872	)		114,674		—		—			114,674
Total financial instruments subject to a master netting arrangement or similar arrangement			17,533,903		(16,155,609	)		1,378,294		—		(1,263,620	)		114,674
				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
CITI	Total Return Swap Contracts	$	6,182,980	$	(6,182,980	)	$	—	$	—	$	—		$	—
MACQ	Total Return Swap Contracts		7,796,785		(6,389,879	)		1,406,906		—		(1,406,906	)		—
MLIN	Total Return Swap Contracts		19,424,123		(1,181,878	)		18,242,245		—		(18,242,245	)		—
SOCG	Total Return Swap Contracts		2,400,872		(2,400,872	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			35,804,760		(16,155,609	)		19,649,151		—		(19,649,151	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $2,366,380.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $57,072,263.

AQR Funds Semi-Annual Report June 2016

349

Notes to Financial Statements June 30, 2016 (Unaudited)

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
CITI	Forward Foreign Currency Exchange Contracts	$	17,738,278	$	(9,672,267	)	$	8,066,011	$	—	$	(2,700,000	)	$	5,366,011
JPMC	Forward Foreign Currency Exchange Contracts		26,581,985		(14,423,028	)		12,158,957		—		(1,220,000	)		10,938,957
Total financial instruments subject to a master netting arrangement or similar arrangement			44,320,263		(24,095,295	)		20,224,968		—		(3,920,000	)		16,304,968
				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
BANA	Total Return Swap Contracts	$	596,058	$	—		$	596,058	$	—	$	(596,058	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		9,672,267		(9,672,267	)		—		—		—			—
GSIN	Total Return Swap Contracts		194,844		—			194,844		—		(194,844	)		—
JPMC	Forward Foreign Currency Exchange Contracts		14,423,028		(14,423,028	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			24,886,197		(24,095,295	)		790,902		—		(790,902	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $549,447.

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 (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	633,069	$	(403,722	)	$	229,347	$	—	$	(229,347	)	$	—
MACQ	Total Return Swap Contracts		586,266		(586,266	)		—		—		—			—
SOCG	Total Return Swap Contracts		309,662		(309,662	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,528,997		(1,299,650	)		229,347		—		(229,347	)		—

AQR Funds Semi-Annual Report June 2016

350

Notes to Financial Statements June 30, 2016 (Unaudited)

AQR MANAGED FUTURES STRATEGY 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 (b)			NET AMOUNT
CITI	Total Return Swap Contracts	$	403,722	$	(403,722	)	$	—	$	—	$	—		$	—
MACQ	Total Return Swap Contracts		1,951,800		(586,266	)		1,365,534		—		(1,365,534	)		—
SOCG	Total Return Swap Contracts		357,000		(309,662	)		47,338		—		(47,338	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,712,522		(1,299,650	)		1,412,872		—		(1,412,872	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $700,653.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,887,810.

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
BANA	Total Return Swap Contracts	$	101,914
	Total Return Basket Swaps Contracts		213,130
	Total BANA		315,044	$	—		$	315,044	$	—	$	—		$	315,044
CITI	Forward Foreign Currency Exchange Contracts		44,238,029		(16,801,995	)		27,436,034		—		(15,260,000	)		12,176,034
DTBK	Total Return Basket Swaps Contracts		10,117,053		(5,541,437	)		4,575,616		—		—			4,575,616
GSIN	Total Return Swap Contracts		23,054
	Total Return Basket Swaps Contracts		4,556,091
	Total GSIN		4,579,145		(3,223,191	)		1,355,954		—		—			1,355,954
JPMC	Forward Foreign Currency Exchange Contracts		65,553,375		(24,407,699	)		41,145,676		—		—			41,145,676
	Total Return Basket Swaps Contracts		12,367,208		(12,367,208	)		—		—		—			—
	Total JPMC		77,920,583		(36,774,907	)		41,145,676		—		—			41,145,676
MSCS	Total Return Swap Contracts		224,715		(224,715	)		—		—		—			—
MSIP	Total Return Basket Swaps Contracts		1,143,744		(388,416	)		755,328		—		—			755,328
Total financial instruments subject to a master netting arrangement or similar arrangement			138,538,313		(62,954,661	)		75,583,652		—		(15,260,000	)		60,323,652

AQR Funds Semi-Annual Report June 2016

351

Notes to Financial Statements June 30, 2016 (Unaudited)

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
CITI	Forward Foreign Currency Exchange Contracts	$	16,801,995	$	(16,801,995	)	$	—	$	—	$	—		$	—
DTBK	Total Return Basket Swaps Contracts		5,541,437		(5,541,437	)		—		—		—			—
GSIN	Total Return Swap Contracts		290,503
	Total Return Basket Swaps Contracts		2,932,688
	Total GSIN		3,223,191		(3,223,191	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		24,407,699		(24,407,699	)		—		—		—			—
	Total Return Basket Swaps Contracts		31,257,032		(12,367,208	)		18,889,824		—		(18,889,824	)		—
	Total JPMC		55,664,731		(36,774,907	)		18,889,824		—		(18,889,824	)		—
MSCS	Total Return Swap Contracts		9,579,690		(224,715	)		9,354,975		—		—			9,354,975
MSIP	Total Return Basket Swaps Contracts		388,416		(388,416	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			91,199,460		(62,954,661	)		28,244,799		—		(18,889,824	)		9,354,975

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $674,368,991.

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 (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	798,864	$	(798,864	)	$	—	$	—	$	—		$	—
MACQ	Total Return Swap Contracts		765,994		(553,970	)		212,024		—		—			212,024
MLIN	Total Return Swap Contracts		762,622		(762,622	)		—		—		—			—
SOCG	Total Return Swap Contracts		210,529		(200,274	)		10,255		—		(10,255	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,538,009		(2,315,730	)		222,279		—		(10,255	)		212,024

AQR Funds Semi-Annual Report June 2016

352

Notes to Financial Statements June 30, 2016 (Unaudited)

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 (b)			NET AMOUNT
CITI	Total Return Swap Contracts	$	3,228,780	$	(798,864	)	$	2,429,916	$	—	$	—		$	2,429,916
MACQ	Total Return Swap Contracts		553,970		(553,970	)		—		—		—			—
MLIN	Total Return Swap Contracts		1,621,418		(762,622	)		858,796		—		(858,796	)		—
SOCG	Total Return Swap Contracts		200,274		(200,274	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,604,442		(2,315,730	)		3,288,712		—		(858,796	)		2,429,916

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $6,679,745.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $6,121,356.

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 (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,191,895	$	(505,510	)	$	686,385	$	—	$	(686,385	)	$	—
DTBK	Total Return Swap Contracts		3,682,528		(3,682,528	)		—		—		—			—
MACQ	Total Return Swap Contracts		155,462		(155,462	)		—		—		—			—
SOCG	Total Return Swap Contracts		444,141		(407,093	)		37,048		—		—			37,048
Total financial instruments subject to a master netting arrangement or similar arrangement			5,474,026		(4,750,593	)		723,433		—		(686,385	)		37,048

AQR Funds Semi-Annual Report June 2016

353

Notes to Financial Statements June 30, 2016 (Unaudited)

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 (b)			NET AMOUNT
CITI	Total Return Swap Contracts	$	505,510	$	(505,510	)	$	—	$	—	$	—		$	—
DTBK	Total Return Swap Contracts		3,685,018		(3,682,528	)		2,490		—		(2,490	)		—
MACQ	Total Return Swap Contracts		536,114		(155,462	)		380,652		—		(380,652	)		—
SOCG	Total Return Swap Contracts		407,093		(407,093	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,133,735		(4,750,593	)		383,142		—		(383,142	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $1,033,615.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $547,255.

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 (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	232,853	$	—		$	232,853	$	—	$	(120,000	)	$	112,853
CITI	Forward Foreign Currency Exchange Contracts		2,505,673		(503,292	)		2,002,381		—		—			2,002,381
	Interest Rate Swap Contracts		768,973		(114,909	)		654,064		—		(654,064	)		—
	Total CITI		3,274,646		(618,201	)		2,656,445		—		(654,064	)		2,002,381
JPMC	Forward Foreign Currency Exchange Contracts		3,740,885		(414,733	)		3,326,152		—		—			3,326,152
MSCS	Total Return Swap Contracts		157,266		(79,469	)		77,797		—		—			77,797
Total financial instruments subject to a master netting arrangement or similar arrangement			7,405,650		(1,112,403	)		6,293,247		—		(774,064	)		5,519,183

AQR Funds Semi-Annual Report June 2016

354

Notes to Financial Statements June 30, 2016 (Unaudited)

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 (b)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	503,292	$	(503,292	)	$	—	$	—	$	—	$	—
	Interest Rate Swap Contracts		114,909		(114,909	)		—		—		—		—
	Total CITI		618,201		(618,201	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		414,733		(414,733	)		—		—		—		—
MSCS	Total Return Swap Contracts		79,469		(79,469	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,112,403		(1,112,403	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $485,936.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $8,482,428.

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 (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	388,345	$	(249,463	)	$	138,882	$	—	$	(138,882	)	$	—
DTBK	Total Return Swap Contracts		1,119,007		(1,117,682	)		1,325		—		—			1,325
MACQ	Total Return Swap Contracts		327,900		(75,789	)		252,111		—		—			252,111
MLIN	Total Return Swap Contracts		13,890		(13,228	)		662		—		—			662
SOCG	Total Return Swap Contracts		287,733		(80,556	)		207,177		—		(207,177	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,136,875		(1,536,718	)		600,157		—		(346,059	)		254,098

AQR Funds Semi-Annual Report June 2016

355

Notes to Financial Statements June 30, 2016 (Unaudited)

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 (b)		NET AMOUNT
CITI	Total Return Swap Contracts	$	249,463	$	(249,463	)	$	—	$	—	$	—	$	—
DTBK	Total Return Swap Contracts		1,117,682		(1,117,682	)		—		—		—		—
MACQ	Total Return Swap Contracts		75,789		(75,789	)		—		—		—		—
MLIN	Total Return Swap Contracts		13,228		(13,228	)		—		—		—		—
SOCG	Total Return Swap Contracts		80,556		(80,556	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,536,718		(1,536,718	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $603,941.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $80,948.

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
BANA	Total Return Swap Contracts	$	47,066	$	(4,614	)	$	42,452	$	—	$	—	$	42,452
CITI	Forward Foreign Currency Exchange Contracts		150,961		(482	)		150,479		—		—		150,479
GSIN	Total Return Swap Contracts		71,571		—			71,571		—		—		71,571
JPMC	Forward Foreign Currency Exchange Contracts		225,910		(680	)		225,230		—		—		225,230
Total financial instruments subject to a master netting arrangement or similar arrangement			495,508		(5,776	)		489,732		—		—		489,732

AQR Funds Semi-Annual Report June 2016

356

Notes to Financial Statements June 30, 2016 (Unaudited)

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
BANA	Total Return Swap Contracts	$	4,614	$	(4,614	)	$	—	$	—		$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		482		(482	)		—		—			—		—
JPMC	Forward Foreign Currency Exchange Contracts		680		(680	)		—		—			—		—
JPMS	Reverse Repurchase Agreements		5,185,275		—			5,185,275		(5,185,275	)		—		—
MPFS	Reverse Repurchase Agreements		5,768,415		—			5,768,415		(5,768,415	)		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			10,959,466		(5,776	)		10,953,690		(10,953,690	)		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $340,404.

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 (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	95,673	$	(17,564	)	$	78,109	$	—	$	(78,109	)	$	—
DTBK	Total Return Swap Contracts		469,881		(469,881	)		—		—		—			—
MACQ	Total Return Swap Contracts		52,470		(4,889	)		47,581		—		—			47,581
SOCG	Total Return Swap Contracts		6,007		(6,007	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			624,031		(498,341	)		125,690		—		(78,109	)		47,581

				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
CITI	Total Return Swap Contracts	$	17,564	$	(17,564	)	$	—	$	—	$	—		$	—
DTBK	Total Return Swap Contracts		472,922		(469,881	)		3,041		—		(3,041	)		—
MACQ	Total Return Swap Contracts		4,889		(4,889	)		—		—		—			—
SOCG	Total Return Swap Contracts		16,031		(6,007	)		10,024		—		—			10,024
Total financial instruments subject to a master netting arrangement or similar arrangement			511,406		(498,341	)		13,065		—		(3,041	)		10,024

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $21,891.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $7,042.

AQR Funds Semi-Annual Report June 2016

357

Notes to Financial Statements June 30, 2016 (Unaudited)

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
BANA	Total Return Swap Contracts	$	54,426	$	(10,472	)	$	43,954	$	—	$	—	$	43,954
CITI	Forward Foreign Currency Exchange Contracts		192,642		(835	)		191,807		—		—		191,807
GSIN	Total Return Swap Contracts		73,577		—			73,577		—		—		73,577
JPMC	Forward Foreign Currency Exchange Contracts		248,253		(1,157	)		247,096		—		—		247,096
Total financial instruments subject to a master netting arrangement or similar arrangement			568,898		(12,464	)		556,434		—		—		556,434
				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
BANA	Total Return Swap Contracts	$	10,472	$	(10,472	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		835		(835	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		1,157		(1,157	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			12,464		(12,464	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $450,570.

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 (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	124,518	$	(37,353	)	$	87,165	$	—	$	(87,165	)	$	—
DTBK	Total Return Swap Contracts		1,047,266		(1,047,266	)		—		—		—			—
MACQ	Total Return Swap Contracts		121,775		(40,088	)		81,687		—		—			81,687
SOCG	Total Return Swap Contracts		36,215		(16,111	)		20,104		—		—			20,104
Total financial instruments subject to a master netting arrangement or similar arrangement			1,329,774		(1,140,818	)		188,956		—		(87,165	)		101,791

AQR Funds Semi-Annual Report June 2016

358

Notes to Financial Statements June 30, 2016 (Unaudited)

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		NET AMOUNT
CITI	Total Return Swap Contracts	$	37,353	$	(37,353	)	$	—	$	—	$	—	$	—
DTBK	Total Return Swap Contracts		1,054,155		(1,047,266	)		6,889		—		—		6,889
MACQ	Total Return Swap Contracts		40,088		(40,088	)		—		—		—		—
SOCG	Total Return Swap Contracts		16,111		(16,111	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,147,707		(1,140,818	)		6,889		—		—		6,889

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $122,835.

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
BANA	Total Return Swap Contracts	$	10,306,714	$	(6,314,781	)	$	3,991,933	$	—	$	—		$	3,991,933
CITI	Forward Foreign Currency Exchange Contracts		40,289,494		(19,637,189	)		20,652,305		—		(7,390,000	)		13,262,305
GSIN	Total Return Swap Contracts		1,619,541		(1,619,541	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		59,795,539		(29,640,200	)		30,155,339		—		—			30,155,339
Total financial instruments subject to a master netting arrangement or similar arrangement			112,011,288		(57,211,711	)		54,799,577		—		(7,390,000	)		47,409,577

AQR Funds Semi-Annual Report June 2016

359

Notes to Financial Statements June 30, 2016 (Unaudited)

AQR STYLE PREMIA 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
BANA	Total Return Swap Contracts	$	6,314,781	$	(6,314,781	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		19,637,189		(19,637,189	)		—		—		—			—
GSIN	Total Return Swap Contracts		194,968
	Total Return Basket Swap Contracts		47,623,436
	Total GSIN		47,818,404		(1,619,541	)		46,198,863		—		(46,198,863	)		—
JPMC	Forward Foreign Currency Exchange Contracts		29,640,200		(29,640,200	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			103,410,574		(57,211,711	)		46,198,863		—		(46,198,863	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $432,941,137.

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 (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	274,431	$	(274,431	)	$	—	$	—	$	—	$	—
DTBK	Total Return Swap Contracts		68,944,709		(68,944,709	)		—		—		—		—
MACQ	Total Return Swap Contracts		153,647		(153,647	)		—		—		—		—
SOCG	Total Return Swap Contracts		2,688,061		(2,688,061	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			72,060,848		(72,060,848	)		—		—		—		—

AQR Funds Semi-Annual Report June 2016

360

Notes to Financial Statements June 30, 2016 (Unaudited)

AQR STYLE PREMIA 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 (b)			NET AMOUNT
CITI	Total Return Swap Contracts	$	2,575,103	$	(274,431	)	$	2,300,672	$	—	$	—		$	2,300,672
DTBK	Total Return Swap Contracts		68,951,006		(68,944,709	)		6,297		—		—			6,297
MACQ	Total Return Swap Contracts		4,783,206		(153,647	)		4,629,559		—		(4,629,559	)		—
SOCG	Total Return Swap Contracts		11,128,407		(2,688,061	)		8,440,346		—		—			8,440,346
Total financial instruments subject to a master netting arrangement or similar arrangement			87,437,722		(72,060,848	)		15,376,874		—		(4,629,559	)		10,747,315

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $11,851,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,590,465.

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
BANA	Total Return Swap Contracts	$	650,858	$	(310,029	)	$	340,829	$	—	$	(190,000	)	$	150,829
CITI	Forward Foreign Currency Exchange Contracts		2,238,585		(1,097,092	)		1,141,493		—		(340,000	)		801,493
GSIN	Total Return Swap Contracts		2,062		(2,062	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		3,322,442		(1,649,029	)		1,673,413		—		—			1,673,413
MSCS	Total Return Swap Contracts		84,115		(84,115	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			6,298,062		(3,142,327	)		3,155,735		—		(530,000	)		2,625,735

AQR Funds Semi-Annual Report June 2016

361

Notes to Financial Statements June 30, 2016 (Unaudited)

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
BANA	Total Return Swap Contracts	$	310,029	$	(310,029	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		1,097,092		(1,097,092	)		—		—		—			—
GSIN	Total Return Swap Contracts		408
	Total Return Basket Swap Contracts		1,857,331
	Total GSIN		1,857,739		(2,062	)		1,855,677		—		(1,855,677	)		—
JPMC	Forward Foreign Currency Exchange Contracts		1,649,029		(1,649,029	)		—		—		—			—
MSCS	Total Return Swap Contracts		91,642		(84,115	)		7,527		—		(7,527	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,005,531		(3,142,327	)		1,863,204		—		(1,863,204	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $21,807,137.

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 (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	15,096	$	(15,096	)	$	—	$	—	$	—	$	—
MACQ	Total Return Swap Contracts		6,206		(6,206	)		—		—		—		—
SOCG	Total Return Swap Contracts		364,089		(364,089	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			385,391		(385,391	)		—		—		—		—

AQR Funds Semi-Annual Report June 2016

362

Notes to Financial Statements June 30, 2016 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV 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 (B)			NET AMOUNT
CITI	Total Return Swap Contracts	$	94,519	$	(15,096	)	$	79,423	$	—	$	—		$	79,423
MACQ	Total Return Swap Contracts		513,964		(6,206	)		507,758		—		(507,758	)		—
SOCG	Total Return Swap Contracts		641,824		(364,089	)		277,735		—		—			277,735
Total financial instruments subject to a master netting arrangement or similar arrangement			1,250,307		(385,391	)		864,916		—		(507,758	)		357,158

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $820,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $212,247.

For the period ended June 30, 2016, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	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
Futures Contracts:
Average Notional Balance—Long	$	—	$	—	$	184,245,455	$	518,848,436	$	37,238,950,676	$	3,044,022,937	$	4,495,814,045	$	184,539,584
Average Notional Balance—Short		151,637,176		—		159,085,846		—		8,620,248,451		697,278,827		2,509,030,384		49,525,435
Ending Notional Balance—Long		—		—		57,790,509		711,469,669		52,461,598,031		4,260,954,348		5,412,573,017		274,249,957
Ending Notional Balance—Short		117,511,591		—		31,369,821		—		5,092,115,442		412,666,335		2,550,818,999		74,079,177
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		7,257,695		14,059,475		41,030,817		164,791,557		12,129,904,190		985,303,239		2,128,786,134		—
Average Settlement Value—Sold		37,714,796		38,785,352		40,366,455		18,545,678		12,522,807,208		1,011,410,839		2,245,872,897		—
Ending Value—Purchased		5,600,480		14,990,805		45,737,835		220,071,171		14,702,844,684		1,175,100,264		2,333,742,196		—
Ending Value—Sold		24,820,206		45,965,669		44,473,291		9,414,174		14,335,338,715		1,146,158,081		2,375,055,906		—
Exchange-Traded Options:
Average Number of Contracts—Written		1,639		—		—		—		—		—		1,321		—
Ending Number of Contracts— Written		81		—		—		—		—		—		1,499		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		62,366,667		—		—		—		—		—		6,100,000		—
Average Notional Balance—Sell Protection		—		—		—		—		—		—		15,125,000		—
Ending Notional Balance—Buy Protection		36,475,000		—		—		—		—		—		5,400,000		—
Ending Notional Balance—Sell Protection		—		—		—		—		—		—		—		—

AQR Funds Semi-Annual Report June 2016

363

Notes to Financial Statements June 30, 2016 (Unaudited)

	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
Total Return Swaps:
Average Notional Balance—Long	$	—	$	—	$	2,922,595	$	19,155,789	$	555,671,577	$	45,246,033	$	182,586,668	$	32,455,072
Average Notional Balance— Short		—		—		1,938,330		—		868,876,344		70,693,954		376,393,018		14,824,280
Ending Notional Balance— Long		—		—		3,335,153		26,080,877		1,001,977,933		81,112,671		230,422,902		31,398,504
Ending Notional Balance—Short		—		—		1,587,599		—		750,546,352		61,936,216		281,332,297		10,407,704
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		—		686,723,703		—		—		—		—		—
Average Notional Balance—Receives Fixed rate		—		—		750,327,844		—		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		—		—		862,062,552		—		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		—		—		947,413,345		—		—		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		196,182,376		809,624,689		—		1,231,267,006		—		—		4,602,354,287		—
Average Notional of Underlying Positions—Short		76,508,310		754,474,324		—		1,137,097,459		—		—		3,791,996,461		—
Ending Notional Balance—Long		145,294,855		1,151,350,911		—		1,640,120,596		—		—		4,634,936,473		—
Ending Notional Balance—Short		56,728,233		1,060,346,349		—		1,494,207,096		—		—		3,820,569,226		—

	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
Futures Contracts:
Average Notional Balance—Long	$	555,162,253	$	105,177,233	$	134,795,063	$	13,333,783,287	$	727,557,306
Average Notional Balance—Short		15,838,587		1,748,409		2,353,095		8,522,975,061		468,569,951
Ending Notional Balance—Long		500,800,779		124,863,728		138,851,496		17,776,385,812		987,130,861
Ending Notional Balance—Short		15,648,963		1,430,245		1,763,178		11,886,464,012		660,499,189
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		128,008,603		1,017,100		744,508		1,849,199,841		101,414,607
Average Settlement Value—Sold		154,866,656		10,040,287		12,089,385		1,966,199,380		106,315,159
Ending Value—Purchased		139,160,136		75,432		163,355		2,802,327,864		159,047,408
Ending Value—Sold		139,160,135		11,217,246		12,672,985		2,936,822,101		163,687,317
Credit Default Swaps:
Average Notional Balance—Buy Protection		—		—		—		—		—
Average Notional Balance—Sell Protection		287,483,333		—		—		—		—
Ending Notional Balance—Buy Protection		—		—		—		—		—
Ending Notional Balance—Sell Protection		246,650,000		—		—		—		—
Total Return Swaps:
Average Notional Balance—Long		39,639,594		6,525,786		9,676,835		403,090,423		23,299,502
Average Notional Balance—Short		7,484,300		1,128,846		2,101,998		134,428,712		7,145,858
Ending Notional Balance—Long		33,330,656		6,688,378		7,864,891		610,883,431		37,002,431
Ending Notional Balance—Short		6,639,809		635,676		1,241,621		186,579,768		10,552,223
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		65,017,031		—		—		—		—
Average Notional Balance—Receives Fixed rate		238,519,721		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		52,839,112		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		216,142,486		—		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		—		2,366,411,644		118,749,118
Average Notional of Underlying Positions—Short		—		—		—		1,904,259,402		94,589,600
Ending Notional Balance—Long		—		—		—		2,624,507,742		127,975,648
Ending Notional Balance—Short		—		—		—		2,010,627,895		93,628,826

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

AQR Funds Semi-Annual Report June 2016

364

Notes to Financial Statements June 30, 2016 (Unaudited)

10. 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, 2017 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

AQR Funds Semi-Annual Report June 2016

365

Notes to Financial Statements June 30, 2016 (Unaudited)

For the period ended June 30, 2016 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Diversified Arbitrage Fund	$	331,151	$	5,088	$	336,239
AQR Global Macro Fund		103,123		2,502		105,625
AQR Managed Futures Strategy HV Fund		6,282		2,188		8,470
AQR Risk-Balanced Commodity Fund		59,907		1,673		61,580
AQR Risk Parity Fund		37,845		—		37,845
AQR Risk Parity II HV Fund		88,403		191		88,594
AQR Risk Parity II MV Fund		80,645		28		80,673
AQR Style Premia Alternative Fund		102,524		5,498		108,022
AQR Style Premia Alternative LV Fund		32,725		4,395		37,120

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 period ended June 30, 2016, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at June 30, 2016 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2016		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2016		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2016		2017		2018		2019
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	250,273	$	549,947	$	—	$	6,759	$	292,915	$	250,273
Class N		84,578		155,664		—		—		71,086		84,578
Class R6		1,388		1,595		—		1		206		1,388
Totals	$	336,239	$	707,206	$	—	$	6,760	$	364,207	$	336,239
AQR EQUITY MARKET NEUTRAL FUND
Class I	$	—	$	87,104	$	—	$	—	$	87,104	$	—
Class N		—		53,323		—		—		53,323		—
Class R6		—		68,059		—		41,711		26,348		—
Totals	$	—	$	208,486	$	—	$	41,711	$	166,775	$	—
AQR GLOBAL MACRO FUND
Class I	$	73,243	$	411,005	$	—	$	211,421	$	126,341	$	73,243
Class N		22,871		101,649		—		7,011		71,767		22,871
Class R6		9,511		10,259		—		365		383		9,511
Totals	$	105,625	$	522,913	$	—	$	218,797	$	198,491	$	105,625
AQR LONG-SHORT EQUITY FUND
Class I	$	—	$	234,635	$	—	$	154,030	$	80,605	$	—
Class N		—		45,006		4,250		24,081		16,675		—
Class R6		—		—		—		—		—		—
Totals	$	—	$	279,641	$	4,250	$	178,111	$	97,280	$	—
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	4,698	$	390,953	$	180,370	$	132,064	$	73,821	$	4,698
Class N		1,427		50,907		16,709		13,815		18,956		1,427
Class R6		2,345		33,103		—		187		30,571		2,345
Totals	$	8,470	$	474,963	$	197,079	$	146,066	$	123,348	$	8,470

AQR Funds Semi-Annual Report June 2016

366

Notes to Financial Statements June 30, 2016 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2016		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2016		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2016		2017		2018		2019
AQR MULTI-STRATEGY ALTERNATIVE FUND
Class I	$	—	$	426,573	$	74,376	$	193,951	$	158,246	$	—
Class N		—		60,401		11,925		39,755		8,721		—
Class R6		—		—		—		—		—		—
Totals	$	—	$	486,974	$	86,301	$	233,706	$	166,967	$	—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	25,156	$	460,465	$	150,384	$	146,283	$	138,642	$	25,156
Class N		1,188		53,017		17,595		26,863		7,371		1,188
Class R6		35,236		77,757		—		366		42,155		35,236
Totals	$	61,580	$	591,239	$	167,979	$	173,512	$	188,168	$	61,580
AQR RISK PARITY FUND
Class I	$	36,227	$	105,345	$	—	$	—	$	69,118	$	36,227
Class N		1,589		6,282		—		—		4,693		1,589
Class R6		29		289		—		1		259		29
Totals	$	37,845	$	111,916	$	—	$	1	$	74,070	$	37,845
AQR RISK PARITY II HV FUND
Class I	$	74,452	$	474,093	$	141,678	$	118,124	$	139,839	$	74,452
Class N		10,461		173,040		95,743		38,672		28,164		10,461
Class R6		3,681		11,138		—		122		7,335		3,681
Totals	$	88,594	$	658,271	$	237,421	$	156,918	$	175,338	$	88,594
AQR RISK PARITY II MV FUND
Class I	$	74,475	$	496,260	$	130,853	$	126,164	$	164,768	$	74,475
Class N		5,755		93,179		58,403		16,202		12,819		5,755
Class R6		443		667		—		57		167		443
Totals	$	80,673	$	590,106	$	189,256	$	142,423	$	177,754	$	80,673
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	68,750	$	468,715	$	111,025	$	—	$	288,940	$	68,750
Class N		6,473		56,525		9,672		23,532		16,848		6,473
Class R6		32,799		114,537		—		3,725		78,013		32,799
Totals	$	108,022	$	639,777	$	120,697	$	27,257	$	383,801	$	108,022
AQR STYLE PREMIA ALTERNATIVE LV FUND
Class I	$	29,382	$	219,006	$	—	$	12,440	$	177,184	$	29,382
Class N		3,827		66,701		—		12,768		50,106		3,827
Class R6		3,911		190,198		—		113,104		73,183		3,911
Totals	$	37,120	$	475,905	$	—	$	138,312	$	300,473	$	37,120

During the period ended June 30, 2016, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Equity Market Neutral Fund	$	38,265	$	18,886	$	1,741
AQR Long-Short Equity Fund		100,900		17,531		1,659
AQR Managed Futures Strategy Fund		—		31,134		8
AQR Multi-Strategy Alternative Fund		189,601		27,885		4,708

AQR Funds Semi-Annual Report June 2016

367

Notes to Financial Statements June 30, 2016 (Unaudited)

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 the 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 Multi-Strategy Alternative 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.

The Adviser made a payment to the AQR Multi-Strategy Alternative Fund of $3,553,831 relating to a trading error. The impact of the Adviser’s contribution on the Fund’s total return was 0.11%, 0.10% and 0.10% for Class I, N and R6 respectively. The amount has been included in Net realized gain (loss) from investments in securities in the Statements of Operations.

11. 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.

12. 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 nonconvertible 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 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.

AQR Funds Semi-Annual Report June 2016

368

Notes to Financial Statements June 30, 2016 (Unaudited)

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.

13. 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 period ended June 30, 2016:

AQR DIVERSIFIED ARBITRAGE FUND
NAME OF ISSUER	NUMBER OF SHARES/ UNITS AT 12/31/15		GROSS ADDITIONS		GROSS REDUCTIONS			NUMBER OF SHARES/ UNITS HELD AT END OF PERIOD 6/30/16		VALUE AT END OF PERIOD 6/30/16		INVESTMENT INCOME		REALIZED GAIN (LOSS)
1347 Capital Corp. (Common Stock)		420,504		—		—			420,504	$	3,893,867	$	—	$	—
Arowana, Inc. (Common Stock)		787,920		—		—			787,920		7,894,958		—		—
Barington/Hilco Acquisition Corp. (Common Stock)		487,260		—		(487,260	)		—		—		—		(68,321	)
CB Pharma Acquisition Corp. (Common Stock)		325,500		—		—			325,500		3,326,610		—		—
Dundee Acquisition Ltd., Class A (Common Stock)		1,260,000		—		(1,260,000	)		—		—		—		(1,302,864	)
Education Management Corp. (Common Stock)*		26,919,323		—		(1,879,274	)		25,040,049		638,521		—		(32,197	)
FinTech Acquisition Corp. (Common Stock)		810,000		—		(116,195	)		693,805		6,854,793		—		25,494

AQR Funds Semi-Annual Report June 2016

369

Notes to Financial Statements June 30, 2016 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND (continued)
NAME OF ISSUER	NUMBER OF SHARES/ UNITS AT 12/31/15		GROSS ADDITIONS		GROSS REDUCTIONS			NUMBER OF SHARES/ UNITS HELD AT END OF PERIOD 6/30/16		VALUE AT END OF PERIOD 6/30/16		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Garnero Group Acquisition Co. (Common Stock)		1,800,200		—		(1,800,200	)		—	$	—	$	—	$	90,011
Gibraltar Growth Corp., Class A (Common Stock)**		1,274,000		—		(100	)		1,273,900		9,525,039		—		(63	)
GP Investments Acquisition Corp. (Common Stock)		2,130,000		—		(2,130,000	)		—		—		—		(916,345	)
HarmonyMerger Corp. (Common Stock)		1,375,100		—		(1,375,100	)		—		—		—		(214,926	)
Hydra Industries Acquisition Corp. (Common Stock)		1,620,000		—		(1,098,818	)		521,182		5,154,490		—		(146,387	)
KLR Energy Acquisition (Common Stock)		—		500,000		—			500,000		5,050,000		—		—
Pacific Special Acquisition Corp. (Common Stock)*		373,500		—		—			373,500		3,768,615		—		—
1347 Capital Corp. (Rights)		420,504		—		—			420,504		109,331		—		—
Arowana, Inc. (Rights)		720,000		—		—			720,000		92,880		—		—
Barington/Hilco Acquisition Corp. (Rights)**		487,260		—		—			487,260		58,471		—		—
CB Pharma Acquisition Corp. (Rights)		325,500		—		(325,500	)		—		—		—		—
Garnero Group Acquisition Co. (Rights)**		2,430,200		—		—			2,430,200		206,567		—		—
Hydra Industries Acquisition Corp. (Rights)		1,720,000		—		—			1,720,000		266,256		—		—
Pacific Special Acquisition Corp. (Rights)*		373,500		—		—			373,500		78,435		—		—
1347 Capital Corp. (Warrants)		420,504		—		—			420,504		126,151		—		—
Arowana, Inc. (Warrants)		720,000		—		—			720,000		48,960		—		—
Barington/Hilco Acquisition Corp. (Warrants)**		487,260		—		—			487,260		24,363		—		—
CB Pharma Acquisition Corp. (Warrants)		325,500		—		—			325,500		22,785		—		—
Dundee Acquisition Ltd. (Warrants)**		630,000		—		—			630,000		97,527		—		—
Education Management corp. (Warrants)*		16,528,497		—		—			16,528,497		3,636		—		—
FinTech Acquisition Corp. (Warrants)		810,000		—		—			810,000		648,000		—		—
Garnero Group Acquisition Co. (Warrants)**		2,430,200		—		—			2,430,200		97,451		—		—
Gibraltar Growth Corp. (Warrants)**		1,274,000		—		—			1,274,000		147,916		—		—
GP Investments Acquisition Corp. (Warrants)**		1,237,500		—		—			1,237,500		618,750		—		—
HarmonyMerger Corp. (Warrants)**		1,475,100		—		—			1,475,100		295,020		—		—
Hydra Industries Acquisition Corp. (Warrants)		1,720,000		—		—			1,720,000		309,600		—		—
Pacific Special Acquisition Corp. (Warrants)*		373,500		—		—			373,500		37,350		—		—
										$	49,396,342	$	—	$	(2,565,598	)

* Affiliated as of June 30, 2016.

** No longer affiliated as of June 30, 2016.

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Notes to Financial Statements June 30, 2016 (Unaudited)

14. Line of Credit

Effective February 29, 2016 and terminating on February 28, 2017, 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, as incurred, 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 monthly. The maximum loan amount is the lesser of an amount which will not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and will 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. Effective July 22, 2016 the line of credit was increased to $285,000,000 from $275,000,000. Prior to February 29, 2016, the line of credit available was $225,000,000, subject to substantially similar terms. The Funds did not have any borrowings for the period ended June 30, 2016.

15. Principal Ownership

As of June 30, 2016, 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		84.59	%
AQR Equity Market Neutral Fund		5		73.45	%
AQR Global Macro Fund*		6		85.24	%
AQR Long-Short Equity Fund		6		79.65	%
AQR Managed Futures Strategy Fund		8		79.99	%
AQR Managed Futures Strategy HV Fund		5		83.32	%
AQR Multi-Strategy Alternative Fund		4		79.85	%
AQR Risk-Balanced Commodities Strategy Fund		6		95.23	%
AQR Risk Parity Fund		4		77.61	%
AQR Risk Parity II HV Fund*		8		91.51	%
AQR Risk Parity II MV Fund		6		83.08	%
AQR Style Premia Alternative Fund		5		74.55	%
AQR Style Premia Alternative LV Fund		5		84.88	%

* The percentage held by the Adviser and/or affiliates is 23.56% and 18.78% respectively.

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

16. 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.

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371

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 06/30/16” 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.

FUND	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/16		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/16
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$1,001.10		2.23	%		$11.10
Hypothetical Return		$1,000.00		$1,013.77		2.23	%		$11.17
Class N
Actual Return		$1,000.00		$998.90		2.48	%		$12.33
Hypothetical Return		$1,000.00		$1,012.53		2.48	%		$12.41
Class R6
Actual Return		$1,000.00		$1,001.10		2.15	%		$10.70
Hypothetical Return		$1,000.00		$1,014.17		2.15	%		$10.77
AQR Equity Market Neutral Fund
Class I
Actual Return		$1,000.00		$1,001.70		2.52	%		$12.54
Hypothetical Return		$1,000.00		$1,012.33		2.52	%		$12.61
Class N
Actual Return		$1,000.00		$1,000.00		2.79	%		$13.87
Hypothetical Return		$1,000.00		$1,010.99		2.79	%		$13.95
Class R6
Actual Return		$1,000.00		$1,001.70		2.45	%		$12.19
Hypothetical Return		$1,000.00		$1,012.68		2.45	%		$12.26

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Fund Expense Examples (Unaudited)

FUND	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/16		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/16
AQR Global Macro Fund
Class I
Actual Return		$1,000.00		$968.80		1.41	%		$6.90
Hypothetical Return		$1,000.00		$1,017.85		1.41	%		$7.07
Class N
Actual Return		$1,000.00		$967.50		1.65	%		$8.07
Hypothetical Return		$1,000.00		$1,016.66		1.65	%		$8.27
Class R6
Actual Return		$1,000.00		$968.80		1.35	%		$6.61
Hypothetical Return		$1,000.00		$1,018.15		1.35	%		$6.77
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$1,017.30		2.40	%		$12.04
Hypothetical Return		$1,000.00		$1,012.93		2.40	%		$12.01
Class N
Actual Return		$1,000.00		$1,015.70		2.69	%		$13.48
Hypothetical Return		$1,000.00		$1,011.49		2.69	%		$13.45
Class R6
Actual Return		$1,000.00		$1,018.10		2.33	%		$11.69
Hypothetical Return		$1,000.00		$1,013.28		2.33	%		$11.66
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$1,022.60		1.19	%		$5.98
Hypothetical Return		$1,000.00		$1,018.95		1.19	%		$5.97
Class N
Actual Return		$1,000.00		$1,020.80		1.46	%		$7.34
Hypothetical Return		$1,000.00		$1,017.60		1.46	%		$7.32
Class R6
Actual Return		$1,000.00		$1,022.60		1.12	%		$5.63
Hypothetical Return		$1,000.00		$1,019.29		1.12	%		$5.62
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$1,024.30		1.64	%		$8.25
Hypothetical Return		$1,000.00		$1,016.71		1.64	%		$8.22
Class N
Actual Return		$1,000.00		$1,022.50		1.88	%		$9.45
Hypothetical Return		$1,000.00		$1,015.51		1.88	%		$9.42
Class R6
Actual Return		$1,000.00		$1,024.30		1.55	%		$7.80
Hypothetical Return		$1,000.00		$1,017.16		1.55	%		$7.77
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$973.40		2.48	%		$12.17
Hypothetical Return		$1,000.00		$1,012.53		2.48	%		$12.41
Class N
Actual Return		$1,000.00		$972.30		2.72	%		$13.34
Hypothetical Return		$1,000.00		$1,011.34		2.72	%		$13.60
Class R6
Actual Return		$1,000.00		$974.40		2.38	%		$11.68
Hypothetical Return		$1,000.00		$1,013.03		2.38	%		$11.91

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Fund Expense Examples (Unaudited)

FUND	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/16		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/16
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$1,192.20		0.92	%		$5.01
Hypothetical Return		$1,000.00		$1,020.29		0.92	%		$4.62
Class N
Actual Return		$1,000.00		$1,190.30		1.25	%		$6.81
Hypothetical Return		$1,000.00		$1,018.65		1.25	%		$6.27
Class R6
Actual Return		$1,000.00		$1,193.60		0.90	%		$4.91
Hypothetical Return		$1,000.00		$1,020.39		0.90	%		$4.52
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$1,108.90		0.92	%		$4.82
Hypothetical Return		$1,000.00		$1,020.29		0.92	%		$4.62
Class N
Actual Return		$1,000.00		$1,106.80		1.18	%		$6.18
Hypothetical Return		$1,000.00		$1,019.00		1.18	%		$5.92
Class R6
Actual Return		$1,000.00		$1,108.80		0.85	%		$4.46
Hypothetical Return		$1,000.00		$1,020.64		0.85	%		$4.27
AQR Risk Parity II HV Fund
Class I
Actual Return		$1,000.00		$1,154.00		1.18	%		$6.32
Hypothetical Return		$1,000.00		$1,019.00		1.18	%		$5.92
Class N
Actual Return		$1,000.00		$1,152.60		1.49	%		$7.97
Hypothetical Return		$1,000.00		$1,017.45		1.49	%		$7.47
Class R6
Actual Return		$1,000.00		$1,155.50		1.15	%		$6.16
Hypothetical Return		$1,000.00		$1,019.14		1.15	%		$5.77
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$1,112.80		0.95	%		$4.99
Hypothetical Return		$1,000.00		$1,020.14		0.95	%		$4.77
Class N
Actual Return		$1,000.00		$1,110.70		1.19	%		$6.25
Hypothetical Return		$1,000.00		$1,018.95		1.19	%		$5.97
Class R6
Actual Return		$1,000.00		$1,112.80		0.85	%		$4.47
Hypothetical Return		$1,000.00		$1,020.64		0.85	%		$4.27
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$997.00		2.54	%		$12.61
Hypothetical Return		$1,000.00		$1,012.23		2.54	%		$12.71
Class N
Actual Return		$1,000.00		$995.10		2.79	%		$13.84
Hypothetical Return		$1,000.00		$1,010.99		2.79	%		$13.95
Class R6
Actual Return		$1,000.00		$997.00		2.45	%		$12.16
Hypothetical Return		$1,000.00		$1,012.68		2.45	%		$12.26

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Fund Expense Examples (Unaudited)

FUND	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/16		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/16
AQR Style Premia Alternative LV Fund
Class I
Actual Return		$1,000.00		$1,005.80		1.31	%		$6.53
Hypothetical Return		$1,000.00		$1,018.35		1.31	%		$6.57
Class N
Actual Return		$1,000.00		$1,004.80		1.56	%		$7.78
Hypothetical Return		$1,000.00		$1,017.11		1.56	%		$7.82
Class R6
Actual Return		$1,000.00		$1,006.70		1.23	%		$6.14
Hypothetical Return		$1,000.00		$1,018.75		1.23	%		$6.17

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/366 (to reflect the one-half year period unless stated otherwise).

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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.

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

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

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

Item 5. Audit Committee of Listed Registrants.

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

Item 6. Investments

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

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

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

Item 11. Controls and Procedures.

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

(b) There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not required for this filing.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.

(b) Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

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

AQR Funds
By:	/s/ Marco Hanig
Marco Hanig,
Principal Executive Officer
August 30, 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.

By:	/s/ Marco Hanig
Marco Hanig,
Principal Executive Officer
August 30, 2016

By:	/s/ Heather Bonner
Heather Bonner,
Principal Financial Officer
August 30, 2016

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940

AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002

I, Marco Hanig, certify that:

1. I have reviewed this report on Form N-CSR of the AQR Funds (the “Registrant”);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

4. The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

5. The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: August 30, 2016	By:	/s/ Marco Hanig
		Marco Hanig
		Principal Executive Officer

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940

AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002

I, Heather Bonner, certify that:

1. I have reviewed this report on Form N-CSR of the AQR Funds (the “Registrant”);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

4. The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

5. The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: August 30, 2016	By:	/s/ Heather Bonner
		Heather Bonner
		Principal Financial Officer

EX-99.906CERT

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of

section 1350, chapter 63 of title 18, United States Code)

In connection with the attached Report of the AQR Funds (the “Fund”) on Form N-CSR to be filed with the Securities and Exchange Commission (the “Report”), each of the undersigned officers of the Fund does hereby certify that, to the best of such officer’s knowledge:

1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund as of, and for, the periods presented in the Report.

Dated: August 30, 2016
By:	/s/ Marco Hanig
	Marco Hanig
	Principal Executive Officer
By:	/s/ Heather Bonner
	Heather Bonner
	Principal Financial Officer

A signed original of this written statement required by Section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Securities and Exchange Commission or its staff upon request.