AQR Funds N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 3^rd Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

Bradley D. Asness, Esq.

Principal and Chief Legal Officer

Two Greenwich Plaza

3rd Floor

Greenwich, CT 06830

(Name and Address of Agent for Service)

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

Date of fiscal year end: December 31

Date of reporting period: January 1, 2011 to December 31, 2011

Item 1. Reports to Shareholders.

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

AQR FUNDS Annual Report December 31, 2011

Table of Contents

Shareholder Letters (unaudited)
AQR Global Equity Fund	1
AQR International Equity Fund	5
AQR Diversified Arbitrage Fund	9
AQR Managed Futures Strategy Fund	14
AQR Risk Parity Fund	18
AQR Multi-Strategy Alternative Fund	22
AQR Momentum Fund	27
AQR Small Cap Momentum Fund	29
AQR International Momentum Fund	31
Schedule of Investments
AQR Global Equity Fund	37
AQR International Equity Fund	47
AQR Diversified Arbitrage Fund	54
AQR Managed Futures Strategy Fund	72
AQR Risk Parity Fund	79
AQR Multi-Strategy Alternative Fund	88
AQR Momentum Fund	126
AQR Small Cap Momentum Fund	131
AQR International Momentum Fund	139
Financial Statements and Notes	144
Report of Independent Registered Public Accounting Firm	192
Other Federal Tax Information (unaudited)	193
Fund Expense Examples (unaudited)	194
Trustees and Officers (unaudited)	197
Board Approval of Investment Management Agreement (unaudited)	199

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

Cliff Asness

Managing & Founding Principal

Ronen Israel

Principal

Oktay Kurbanov

Principal

John Liew

Founding Principal

Lars Nielsen

Principal

Dear Shareholder:

Global equity markets experienced significant headwinds in 2011, particularly during the second half of the year. During the first half of the year, the MSCI World Index (the “Index”) posted a positive return of +5.29%, but this was followed by a sharp decline of -10.29% in the second half of the year. For the full year, the index finished down -5.54%. In particular the third quarter was challenging for markets as we faced not only the resurgence of the European sovereign debt crisis, a crisis surrounding the United States debt ceiling, and the downgrade of the country’s long term credit by Standard and Poor’s, but also a rapidly deteriorating world economic outlook. Not surprisingly, these events were followed by a spike in risk-aversion and a significant deterioration in market sentiment. Towards the end of the year, however, equity markets rebounded after a series of surprisingly strong economic data releases in the US, changing governments in a number of European countries, and a coordinated effort by central banks, particularly the European Central Bank (“ECB”), to support the viability of the financial system. During this period, the AQR Global Equity Fund Class I shares (the “Fund”) returned -6.68% for the year, underperforming its benchmark index by -1.14%.

The Fund is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures and forwards contracts to over-and under-weight countries and currencies relative to the benchmark. Details on each of the strategies are provided below.

The stock selection strategies had a good year driven by positive performance in the US, continental Europe and Japan. The UK strategy detracted while the Canada strategy was flat for the period. The US strategy performed well in 2011 driven by the momentum, valuation and industry valuation signals, outweighing detraction from industry momentum factors. In continental Europe outperformance came from the positive performance in momentum oriented investment themes, both within and across industries, outweighing negative performance in valuation signals. The positive performance in Japan was mainly driven by valuation and industry valuation signals. The negative performance in the UK was due to valuation and earnings quality signals, outweighing positive performance of momentum factors.

Tactically, we now are underweight value in continental Europe and Japan, while being overweight value in the UK and the US.

The country selection strategy contributed positively to fund performance in 2011. Both value and fundamental momentum added, while price momentum detracted. The high volatility in equity markets was challenging for price momentum, but moves in exchange rates and trade based indicators performed well during 2011. Overall, value performed well in the first half of the year, while momentum based signals contributed in the second half. The third quarter was the only down quarter in the year.

The portfolio’s gains were concentrated in our overweights of the UK and US equity markets. The UK overweight, which was motivated by strong price momentum and

AQR Funds Annual Report December 2011 1

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

attractive valuation, outperformed as the UK equity market proved relatively immune to the eurozone financial and sovereign debt problems. Gains to the US overweight occurred mainly during the third quarter, when US markets held up relatively well in a de-risking environment marked by a global economic slowdown and an escalating crisis in Europe. Germany and France were also positive contributors, primarily because of outperformance during the first half of the year. By contrast, an overweight in Italy detracted from performance as its equity market was hit by a worsening economic outlook and concerns about the country’s ability to finance its national debt. Our positioning in Japan, where we were underweight during the first half of the year, and overweight during the second half, also contributed negatively. Japanese equities rallied early in the year due to positive earnings announcements, but declined during the second half as exporting firms were hurt by an appreciating Japanese Yen.

The UK remains the top overweight position in the portfolio as strong price momentum more than offsets the decline in economic fundamentals and worsening valuation we have seen in recent months. France is now the second-largest overweight based on a combination of attractive value and an improving sentiment view. Improving sentiment is driven by companies in the CAC 40 index experiencing lower deterioration in earnings expectations than companies in other European indices. Meanwhile, Australia continues to be our largest underweight due to expensive valuations and deteriorating fundamentals. The US and Japan are additional underweights. The US positioning is motivated by expensive valuations, while Japanese positioning is driven principally by negative price momentum and a strengthening currency.

We continue to favor European equity markets. Over the recent quarter, our overweight in eurozone countries has moderately increased as we continue to see attractive value opportunities in the region. Valuation spreads across developed equity markets widened over the course of the year, particularly during the third quarter. This widening was caused by a flight to quality associated with de-risking moves, which favored expensive equity markets and hurt cheap ones, especially those in Europe.

The currency selection strategy detracted significantly from fund performance in 2011, as interest rate and price momentum related factors underperformed. Fluctuations in sentiment created risk-on and risk-off moves that prevented clear trends from emerging in currency markets, making momentum trading very challenging. Heightened volatility associated with these moves also created an unfavorable environment for carry trades. In addition, the sharp changes in monetary policy over the year proved a challenging environment for our attempts to predict the direction of interest rates. An example of this is the interest rate increases by the ECB mid-year that were later reversed. Valuation themes had relatively flat performance over the course of the year as we saw mixed performance from our different indicators. Losses were concentrated in the second and third quarters, while we saw some positive contributions at the start and at the end of the year.

Our least successful positions were our underweights in the over-valued Japanese yen and Swiss franc. Both of these low yielding currencies appreciated significantly during the first three quarters of 2011, as investors sought a safe haven from the ongoing European sovereign credit crisis. In response to this move, the Swiss National Bank intervened meaningfully in the currency markets in early September to devalue the currency and effectively cap its exchange rate versus the euro. This caused a reversal in the franc appreciation trend, and resulted in some gains to our short position during the fourth quarter. Similar attempts to intervene by the Bank of Japan proved less successful however, and the yen continued to outperform into the end of the year. One currency that contributed positively throughout the year was the U.S. dollar, which benefited on both an underweight position during the first half, and an overweight during the second half.

Going forward, we see attractive opportunities in the British pound and U.S. dollar, where cheap valuation is coupled with improving fundamentals. We also favor the Scandinavian currencies, which offer high and

2 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

improving levels of carry. Conversely, we continue to hold a large underweight in the euro, where the ongoing sovereign credit crisis has driven weakening economic fundamentals, poor price momentum and forced the ECB to lower interest rates. Additionally, we continue to view the Japanese yen and Swiss franc as expensive at current levels, and maintain our underweights in these two currencies.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND
	1 Year		Since Inception (12/31/2009)
Fund - Class I: AQGIX		-6.68%		3.20%
Fund - Class N: AQGNX		-7.03%		2.87%
Fund - Class Y: AQGYX		-6.22%		3.64%
MSCI World Total Return (net of dividends) Index		-5.54%		2.75%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y shares are 0.79%, 1.10% and 0.71%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR GLOBAL EQUITY FUND VS. MSCI WORLD TOTAL RETURN INDEX

VALUE OF $10,000 INVESTED ON 12/31/09

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

AQR Funds Annual Report December 2011 3

Shareholder Letter (Unaudited)

AQR GLOBAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP
	1 Year		3 Year		5 Year		Since Inception (6/30/2006)
Fund - Class I: AQGIX		-6.68%		11.77%		-3.33%		-0.78%
Fund - Class N: AQGNX		-7.03%		11.41%		-3.65%		-1.11%
Fund - Class Y: AQGYX		-6.22%		12.22%		-2.96%		-0.40%
MSCI World Total Return (net of dividends) Index		-5.54%		11.13%		-2.37%		0.08%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y shares are 0.79%, 1.10% and 0.71%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR GLOBAL EQUITY FUND VS. MSCI WORLD TOTAL RETURN INDEX

VALUE OF $10,000 INVESTED ON 6/30/06

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

4 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Cliff Asness

Managing & Founding Principal

Ronen Israel

Principal

Oktay Kurbanov

Principal

John Liew

Founding Principal

Lars Nielsen

Principal

Dear Shareholder:

International equity markets experienced significant headwinds in 2011, particularly during the second half of the year. During the first half of the year, the MSCI EAFE Index (the “Index”) posted a positive return of +4.98%, but this was followed by a sharp decline of -16.31% in the second half of the year. For the full year, the index finished down -12.14%. In particular the third quarter was challenging for markets as we faced not only the resurgence of the European sovereign debt crisis, a crisis surrounding the United States debt ceiling, and the downgrade of the country’s long term credit by Standard and Poor’s, but also a rapidly deteriorating world economic outlook. Not surprisingly, these events were followed by a spike in risk-aversion and a significant deterioration in market sentiment. Towards the end of the year, however, equity markets rebounded after a series of surprisingly strong economic data releases in the US, changing governments in a number of European countries, and a coordinated effort by central banks, particularly the ECB, to support the viability of the financial system. During this period, the AQR International Equity Fund Class I shares (the “Fund”) returned -15.00% for the year, underperforming its benchmark index by -2.86%.

The Fund is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures and forwards contracts to over-and under-weight countries and currencies relative to the benchmark. Details on each of the strategies are provided below.

The stock selection strategies had a good year driven by positive performance in continental Europe and Japan, while the UK strategy detracted. In continental Europe, outperformance came from positive performance in momentum oriented investment themes, both within and across industries, outweighing negative performance in valuation signals. The positive performance in Japan was driven mainly by valuation and industry valuation factors, outweighing negative performance in our management signaling theme. The negative performance in the UK was due to valuation signals, both within and across industries, while momentum worked well also both within and across industries.

Tactically, we now are underweight value in continental Europe and Japan, and overweight value in the UK.

The country selection strategy contributed positively to fund performance in 2011 driven by strong performance of valuation signals during the first half of the year in particular. Momentum had a negative contribution as volatile equity markets resulted in losses to our price based signals, though we saw some gains to our fundamental momentum signals based on exchange rates and trade. The third quarter was the only down quarter in the year.

The portfolio’s gains were concentrated in our overweight of the UK equity market, which was motivated by strong price momentum and attractive valuation. The UK was one of the top performing equity markets in the developed world, as it continued to be

AQR Funds Annual Report December 2011 5

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

relatively immune to the eurozone financial and sovereign debt problems. Germany and France were also positive contributors, primarily because of outperformance during the first half of the year. By contrast, an overweight in Italy detracted from performance as its equity market was hit by a worsening economic outlook and concerns about the country’s ability to finance its national debt. Our positioning in Japan, where we were underweight during the first half of the year, and overweight during the second half, also contributed negatively. Japanese equities rallied early in the year due to positive earnings announcements, but declined during the second half as exporting firms were hurt by an appreciating Japanese Yen.

The UK remains the top overweight position in the portfolio as strong price momentum more than offsets the decline in economic fundamentals and worsening valuation we have seen in recent months. France is now the second-largest overweight based on a combination of attractive value and an improving sentiment view. Improving sentiment is driven by companies in the CAC 40 index experiencing lower deterioration in earnings expectations than companies in other European indices. Meanwhile, Australia continues to be our largest underweight due to expensive valuations and deteriorating fundamentals. Japan is a modest underweight driven principally by negative price momentum and the strengthening of the Japanese Yen.

We continue to favor European equity markets. Over the recent quarter, our overweight in eurozone countries has moderately increased as we continue to see attractive value opportunities in the region. Valuation spreads across developed equity markets widened over the course of 2011, particularly during the third quarter. This widening was caused by a flight to quality associated with de-risking moves, which favored expensive equity markets and hurt cheap ones, especially those in Europe.

The currency selection strategy detracted significantly from fund performance in 2011, as interest rate and price momentum related factors underperformed. Fluctuations in sentiment created risk-on and risk-off moves that prevented clear trends from emerging in currency markets, making momentum trading very challenging. Heightened volatility associated with these moves also created an unfavorable environment for carry trades. In addition, the sharp changes in monetary policy over the year proved a challenging environment for our attempts to predict the direction of interest rates. An example of this is the interest rate increases by the ECB mid-year that were later reversed. Valuation themes had relatively flat performance over the course of the year as we saw mixed performance from our different signals. Losses were concentrated in the second and third quarters, while we saw some positive contributions at the start and at the end of the year.

Our least successful positions were our underweights in the over-valued Japanese yen and Swiss franc. Both of these low yielding currencies appreciated significantly during the first three quarters of 2011, as investors sought a safe haven from the ongoing European sovereign credit crisis. In response to this move, the Swiss National Bank intervened meaningfully in the currency markets in early September to devalue the currency and effectively cap its exchange rate versus the euro. This caused a reversal in the franc appreciation trend, and resulted in some gains to our short position during the fourth quarter. Similar attempts to intervene by the Bank of Japan proved less successful however, and the yen continued to outperform into the end of the year. The biggest positive contributor was the U.S. dollar, which benefited on an overweight position during the second half.

Going forward, we see attractive opportunities in the British pound and U.S. dollar, where cheap valuation is coupled with improving fundamentals. We also favor the Scandinavian currencies, which offer high and improving levels of carry. Conversely, we continue to hold a large underweight in the euro, where the ongoing sovereign credit crisis has driven weakening economic fundamentals, poor price momentum and forced the ECB to lower interest rates. Additionally, we continue to view the Japanese yen and Swiss franc as expensive at current levels, and maintain our underweights in these two currencies.

6 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND
	1 Year		Since 9/29/2009		Since Inception (8/28/2009)
Fund - Class I: AQIIX		-15.00%		-1.84%		na
Fund - Class N: AQINX		-15.27%		-2.04%		na
Fund - Class Y: AQIYX		-14.66%		-1.45%		0.15%
MSCI EAFE Index		-12.14%		-1.26%		-0.05%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y shares are 1.03%, 3.50% and 0.77%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR INTERNATIONAL EQUITY FUND VS. MSCI EAFE INDEX

VALUE OF $10,000 INVESTED ON 9/29/09

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

AQR Funds Annual Report December 2011 7

Shareholder Letter (Unaudited)

AQR INTERNATIONAL EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP
	1 Year		3 Year		5 Year		Since Inception (7/31/2004)
Fund - Class I: AQIIX		-15.00%		8.72%		-5.51%		3.58%
Fund - Class N: AQINX		-15.27%		8.46%		-5.78%		3.27%
Fund - Class Y: AQIYX		-14.66%		9.10%		-5.17%		3.95%
MSCI EAFE Index		-12.14%		7.65%		-4.72%		4.01%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y shares are 1.03%, 3.50% and 0.77%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR INTERNATIONAL EQUITY FUND VS. MSCI EAFE INDEX

VALUE OF $10,000 INVESTED ON 7/31/2004

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

8 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Ronen Israel

Principal

Mark Mitchell, Ph.D.

Founding Principal, CNH Partners

Lars Nielsen

Principal

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

The Diversified Arbitrage Fund Class I returned 0.99% during the 2011 calendar year. During the corresponding period, the BofA Merrill Lynch 3 Month Treasury Bill Index (the Fund’s benchmark) returned 0.10% and the S&P 500 returned 2.11%. Based on monthly return data, the Fund’s equity market beta (relative to the S&P 500) since inception (January 15, 2009) through December 31, 2011 is 0.06 and its annualized volatility is 2.8%.

Arbitrage strategies involving corporate securities were stable through the first half of 2011. However, beginning in early August, increased uncertainty involving European sovereign debt caused an increase in risk aversion and a commensurate widening of arbitrage spreads. Spread widening first affected the merger market and was likely exacerbated by redemption-related selling by one or more large merger arbitrage hedge funds. This resulted in a doubling of annualized merger spreads, from roughly 5% to more than 10%. Cheapening in the convertible bond market followed approximately one month later as long-only convertible funds and Wall Street trading desks reduced their convertible exposures. By the end of 2011, the discount of convertible bonds relative to their theoretical values was in the 90^th percentile.

The Fund invests in multiple arbitrage and alternative investment strategies, and tactically allocates to strategies based on relative attractiveness. The long-run strategic allocations to merger arbitrage, convertible arbitrage, and event arbitrage are 33% each. However, as displayed in the table below, strategy weights have varied significantly since the Fund’s inception. For example, the allocation to merger arbitrage decreased to 23% at the end of 2010 and subsequently rebounded to 35% by year-end 2011. Other notable changes in strategy weights during the year include a reduction in credit-related trades reflecting fewer corporate bond issuances and a reduction in secondary market trading, a reduction in dual-class arbitrage trades caused by tightening dual-class spreads, a reduction in price-pressure trades caused by abnormally low corporate security issuance, and an increase in SPAC (Special Purpose Acquisition Corporations) holdings resulting from increased activity in the SPAC IPO market. While the convertible arbitrage strategy displays only minor year-end variations, as discussed below, intra-year variations have been significant.

AQR Funds Annual Report December 2011 9

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

ARBITRAGE STRATEGY WEIGHTS AS PERCENTAGE OF TOTAL LONG MARKET VALUE
Strategy	12/31/09		12/31/10		12/31/11
Convertible Arbitrage		44%		38%		36%
Merger Arbitrage		34%		23%		35%
Credit		1%		15%		10%
Dual-Class Arbitrage		12%		8%		5%
Price Pressure		4%		6%		1%
SPACs		1%		3%		6%
Private Investment in Public Equity (“PIPEs”)		0%		3%		2%
Closed-End Fund Arbitrage		2%		0%		2%
Other Arbitrage and Alternative Investment Strategies		2%		4%		3%

As measured by the percentage of long market value, convertible arbitrage continues to have the largest strategy weight. Convertible arbitrage involves the purchase of a convertible security at a price below its fundamental or intrinsic value, and the contemporaneous hedging of the convertible’s risk via shorting the underlying stock. In addition to hedging equity risk, convertible arbitrage investments often require hedging of credit and interest rate risk. With a fully hedged position, the arbitrageur profits when the difference between the convertible security’s fundamental value and its traded value converges. As discussed in prior letters, the convertible bond market unraveled during the 2008 financial crisis causing convertible bonds to trade at significant discounts to fundamental values. As financial markets stabilized in 2009, convertibles richened and as of mid-2011, the median discount of convertible prices relative to their theoretical values was roughly at the long-term historical average. In response to systematic richening in the convertible market, we took two actions. First, we reduced the Fund’s allocation to convertible arbitrage. Second, we repositioned the convertible portfolio to hold equity-sensitive convertibles where the equity short provides a direct hedge to the long convertible position. Both of these actions helped to insulate the Fund from losses during the second half of 2011 when convertible securities cheapened considerably as the European sovereign risk crisis unfolded. Although bond cheapening causes losses even if positions are perfectly hedged (this is essentially the definition of “cheapening”), cheapening episodes are often accompanied by unexpectedly high volatility in the underlying stocks. Because of the convexity inherent in a convertible security’s structure, this volatility allows the arbitrageur to create trading profits as the convertible’s hedge ratio changes with stock price changes. That is, as the stock price underlying the convertible security falls, the arbitrageur reduces the short position by buying stock (buy low) and as the stock price rises, the arbitrageur increases the short position by selling stock (sell high). These trading profits are more likely to be obtained with equity-sensitive convertible bonds where the equity option embedded in the convertible security comprises more of the bond’s value. Whereas, convertible arbitrage funds, as reported by various hedge-fund indices, suffered portfolio losses in 2011, the Fund actually profited. Convertible arbitrage contributed -0.01% to the Fund’s return in the second half of 2011 and contributed +0.32% to the Fund’s return for the year. Importantly, in light of the substantial cheapening that occurred due to selling by long-only holders and by Wall Street market makers, the Fund’s year-end portfolio of hedged convertible securities are attractively cheap relative to historical measures.¹

Merger arbitrage involves the assumption of deal failure risk following publicly announced mergers and acquisitions. The most common merger arbitrage trade involves the purchase of the target company’s

¹  It is important to note that the Fund’s investment in a convertible bond is based on the cheapness of the bond relative to its fundamental value rather than on a view about the underlying stock price. Specifically, we hedge our long position and attempt to capture the cheapness of the convertible by shorting the stock of the underlying issuer, and by hedging systematic credit and interest rate risk.

10 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

equity. Depending on the structure of the transaction, additional trades are used to hedge market and industry risk. For example, in a merger where the consideration is the acquirer’s stock, the Fund seeks to hedge market and industry exposure by shorting the stock of the acquiring company in an amount based on the exchange ratio specified in the merger agreement. Conditions for investing in merger arbitrage are especially attractive when deal spreads (the percentage difference between the consideration offered by the acquiring firm and the stock price of the target firm) are wide and when merger activity is robust. The Fund began 2011 with a low weight in merger arbitrage, a result of the large number of merger closings in December 2010.² Because of strong deal flow at the beginning of 2011, the Fund quickly increased its allocation to merger arbitrage back to long-term target levels. During the third quarter of 2011, annualized merger spreads, which began the year around 5%, more than doubled to over 10%. This was caused by significant selling in the merger market in part caused by greater fundamental risk related to increased macroeconomic uncertainty but also caused by redemption-induced selling by some large funds. In our view, since spread widening was in excess of that due solely to declining fundamentals, the Fund increased its exposure to merger arbitrage to 40% during the fourth quarter. By year-end, merger deal spreads had contracted to their beginning-of-year levels. Overall, the Fund realized +0.95% from the merger arbitrage strategy for the year, a result of a substantial number of investable mergers, frequent increased offers, few adverse merger failures, and the tactical allocation towards merger arbitrage when spreads widened during the third quarter. Looking forward to 2012, we expect merger activity and spreads to be similar to those observed in 2011.

As shown in the table above, within the credit event driven/alternative investments category, credit has the largest sub-strategy weight at 10% of total long market value. The credit sub-strategy consists primarily of short-term (average duration of 12-15 months) corporate debentures. Historically, as we have documented using our proprietary corporate debenture database, short-dated corporate debentures, particularly in the high-yield arena, produce excess returns after accounting for systematic credit and interest rate risk. We postulate that the reason for the excess returns is that fixed-income investors often choose to exchange short-term debentures for longer-term debentures in order to generate higher-expected returns associated with bearing greater systematic credit risk. We focus on short-dated debentures issued by companies that have stable near-term cash flow and sufficient assets to retire the debenture at maturity. We view this trade as similar to a long-dated cash merger trade, but one in which the downside is contractually protected by the underlying indenture. This is not to say that the trade is absent risk. Rather, the systematic component of risk is minimal, a direct result of the short-dated nature of the investments. Our analysis using our proprietary database shows that the modest systematic credit and interest rate risk that remains can be hedged at the portfolio level using credit default swaps and Treasury futures. The Fund’s exposure to Credit declined in 2011 from 15% as of year-end 2010 because of a reduction in the issuance of new debentures which resulted in a contraction in portfolio rebalancing by investors that choose to exchange short-term debentures for newly issued longer-term debentures.

The second largest sub-strategy within the event-driven/alternative investment category is SPACs. SPACs are corporations that raise cash through an initial public offering, and place the cash in a trust to be used to acquire an operating company. The number of SPAC initial public offerings has increased during the past year allowing the Fund to increase its exposure from 3% a year ago to its current 6%. Because SPAC assets are held in trust accounts invested in Treasury securities while the SPAC sponsors search for assets to acquire, these investments have very little risk. On the low side, SPACs will generate Treasury bill returns. However, if the SPAC sponsor finds a good acquisition at a great price, the embedded call option on the acquisition target provides significant upside to SPAC investors.

²  It is not uncommon for a disproportionate number of pending mergers to close in December as merging companies often prefer to avoid having multiple legal entities in the ensuing year.

AQR Funds Annual Report December 2011 11

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Dual-class arbitrage represents the third largest sub-strategy within the event-driven/alternative investment category. Dual-class arbitrage involves trading two classes of stocks issued by the same firm where each class has identical rights to the underlying cash flows of the firm. When the prices of the two classes of stock diverge, buying the low-price share class and shorting the high-price share class generates excess returns on average. In addition, because the dual-class arbitrage strategy has a negative beta, it helps to reduce the systematic equity market risk in the portfolio. As dual-class spreads tightened during the year, the Fund reduced its exposure to dual-class arbitrage from 8% to 5%.

Other sub-strategies (price pressure, PIPEs, closed-end-funds, and other arbitrage and alternative investments) collectively account for 8% of the Fund’s portfolio. The price pressure sub-strategy saw a reduction in exposure from 6% to 1%, a direct result of the decrease in corporate security issuances, particularly in the convertible market. The event-driven/alternative investments category contributed -0.19% to the Fund’s return in 2011, with positive contributions from credit, SPACs, and closed-end-fund arbitrage, offset by negative contributions from dual-class arbitrage, price pressure and other arbitrage and alternative investments.

Overall, the Fund realized a modest +0.99% return in 2011. As of year-end, arbitrage markets in corporate securities are largely stable, especially in the context of current worldwide economic and financial uncertainty. An exception is convertible arbitrage. As noted above, convertible securities are trading well below fundamental values relative to historical levels as a result of widespread selling by long-only holders and by Wall Street market makers seeking to reduce their inventories of convertibles in response to changing regulations and increased macro-economic uncertainty. As of year-end, strategy weights are near long-run expected levels. We anticipate increasing the exposure to convertible arbitrage, however, our ability to do so is constrained by the weak new-issue market and thin secondary market trading. In addition, our leverage is constrained as a 40-Act fund which forces us to focus on less equity-sensitive convertibles that are slightly cheaper but less efficiently hedged. We are exploring various ways to loosen this leverage constraint to allow us to increase the Fund’s exposure in well-hedged equity sensitive convertibles. With respect to the merger market, predicting the deal pipeline with any degree of reliability is difficult due to shocks from the macro-economic environment. If anything, we expect a continuation of the current environment, that is, a steady but less than robust flow of high-quality mergers and somewhat tight spreads and roughly average expected returns. Opportunities in event-driven/alternative investments will depend on the level of corporate activity related to new capital issues and restructuring events. Importantly, irrespective of where the Fund deploys capital in 2012, we will continue to hedge systematic equity, credit, and interest rate risk, with the intention of delivering uncorrelated positive returns.³

³  Note that the Fund utilizes various derivatives instruments (e.g., futures, options, forwards, and swaps), primarily to hedge against systematic risks including credit risk and interest rate risk. While the purpose of employing derivatives instruments is to decrease the Fund’s overall risk, hedging instruments are imperfect tools and their success depends on the degree of price correlation between the derivative instruments and the assets being hedged. Imperfect correlation may be caused by several factors, including temporary price disparities between derivative markets and markets for the underlying assets.

12 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR DIVERSIFIED ARBITRAGE FUND
	1 Year		Since Inception (1/15/2009)
Fund - Class I: ADAIX		0.99%		5.03%
Fund - Class N: ADANX		0.68%		4.71%
Merrill Lynch 3-Month T-Bill Index		0.10%		0.15%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N shares are 2.63% and 2.93%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR DIVERSIFIED ARBITRAGE FUND VS MERRILL LYNCH 3-MONTH T-BILL INDEX

VALUE OF $10,000 INVESTED ON 1/15/2009

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

AQR Funds Annual Report December 2011 13

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

In 2011, the Fund’s Class I shares returned -6.37% and realized an annualized volatility of 9.0%. During this same period, the BofA Merrill Lynch 3 Month Treasury Bill Index (the Fund’s benchmark) returned 0.10%. The Barclay BTOP50 index, which contains 28 of the largest Managed Futures hedge funds by AUM, was down -4.11% over this same period. The Fund’s assets grew to $1.6 B by the end of December, reflecting strong investor demand for an actively run managed futures fund in the mutual fund space.

The Fund invests both long and short across a portfolio of futures contracts and futures-related instruments, utilizing more than 100 contracts across four major asset classes: commodities, currencies, fixed income, and equity markets. The Fund pursues a trend-following strategy, and as such, it tends to perform well when there are persistent trends in markets and suffers when there is a lack of trends or when trends reverse sharply. In 2011, the Fund realized gains in fixed income markets, benefiting from a consistent decline in global interest rates throughout the year. Those gains were offset by losses in equity, currency, and commodity markets, where choppy markets and sharp reversals resulted in losses for trend following strategies. For example, global equity and commodity markets declined sharply in mid-March following the Japanese earthquake, only to rebound back strongly by the end of the month, leading to losses for short-term trend-following strategies. In the third quarter of 2011, there was a reversal in long-standing bullish trends in equities, commodities and carry-sensitive currencies due to the European sovereign debt crisis, which led to losses for long-term trend following strategies. Additionally, both short-term and long-term trend following strategies suffered losses in October, as risky markets rebounded very sharply following bearish trends that had been building up throughout Q3.

By design, the Fund tactically changes the amount of risk it takes in pursuing trends across the four major asset classes depending on the relative attractiveness of the trend-following opportunities within each asset class. The Fund will invest more in an asset class when there are perceived strong trends across many assets within that particular asset class. The Fund began the year with a reduced allocation to fixed income, and ended the year with its largest risk allocation in fixed income and commodities.

14 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

In addition, the Fund also tactically changes the level of risk it targets depending on the strength and correlation of trends across the four asset classes. The Fund started 2011 targeting 13% annualized volatility (the maximum ex-ante risk the Fund will target), as there were strong and correlated trends in equity, risk currency, and commodity markets following the strong performance of those markets in late 2010. The Fund reduced its risk target over May and June as the performance of different markets diverged, and did not take risk back up until September. The Fund ended the year at a reduced target of 7% annualized volatility. Below is a summary of the asset class risk exposures throughout 2011:

Asset Class Exposure (% of Risk Allocation)
	12/31/2010		3/31/2011		6/30/2011		9/30/2011		12/31/2011
Fixed Income		7%		15%		30%		28%		30%
Commodities		32%		16%		13%		19%		32%
Currencies		29%		39%		38%		22%		17%
Equities		32%		30%		19%		31%		21%

Within each of the asset classes, the fund pursues short-term trend strategies, long-term trend strategies and over-extended trend strategies. Overall, short-term trend strategies were slightly positive in 2011. Within short term trend strategies, the shorter horizon signals (a month or less) performed very poorly, while longer horizon signals (around three months) performed very well. Long-term trend strategies performed poorly, detracting in every asset class outside of fixed income. Long-term trend following strategies were particularly hurt in Q3, when long-standing bullish trends in a number of markets reversed sharply. The over-extended trend strategies helped dampen volatility and even added to performance over this period, especially in commodities, where the Fund’s long exposures were reduced on long-term overextended trend indicators.

The Fund gained 7.0% in the fixed income markets in 2011. The Fund started the year with small long positions in most fixed income instruments. The first quarter saw fixed income losses, as optimism about economic recovery led to increases in global bond yields. However, sovereign debt fears resurfaced and macro fears led to worldwide yield declines over the course of the rest of the year, especially in the third quarter. By the end of the year, central banks such as the European Central Bank (“ECB”) and Reserve Bank of Australia (“RBA”) were cutting interest rates and turning increasingly dovish. The Fund benefitted from these yield declines as it increased its fixed income longs throughout the year.

The Fund lost -6.8% in equities in 2011. The Fund suffered losses in long term trend following signals, particularly in the third quarter when equity markets dropped sharply following a choppy but generally up-trending period over the prior 12 months. Short term trend signals did not help to mitigate the losses, as uncertainty over the year led to very choppy markets. The largest losses were in European countries, where worries over the sovereign debt crisis alternating with proposed solutions to the crisis led to extreme choppiness in those markets.

The Fund lost -4.0% in currencies over the course of the year. Most of the losses came in the third quarter, when risk aversion led to a strong carry unwind, as growing economies which had started to raise interest rates saw their currencies depreciate relative to low yielding (or safe-haven) currencies like the U.S. Dollar, Japanese Yen, and Swiss Franc. The Fund lost money over the quarter due to long positions in high carry, high growth currencies as well as from U.S. Dollar strengthening. Over the course of the year, the Swiss

AQR Funds Annual Report December 2011 15

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Franc and British Pound were large positive contributors, while the Fund suffered losses in the Swedish Krona, Japanese Yen, Norwegian Krone, and the Euro.

In commodities, the Fund lost -2.6% in 2011. The Fund profited from a bearish trend in natural gas and bullish trends in gold, and brent crude oil, but lost money in the agricultural commodities, industrial metals, and the other energies. Commodities markets generally suffered from choppiness, for example exhibiting sharp sell-offs in the first week of May and in September. Long term overextended trend signals helped to mitigate some of those losses

The Fund’s performance in 2011 was disappointing. While we are always disappointed by negative performance, the Fund did behave as expected in this environment. Trend following strategies tend to do poorly in sharp reversals and choppy markets, which characterized the markets this year. However, losses were mitigated by the Fund’s construction which emphasizes diversification across assets, asset classes, and signals. In particular, strong trends in fixed income markets helped to offset the losses from trend following in other markets. Short-term trend-following and overextended strategies were positive throughout the year, helping offset losses from long-term trend following. We continue to pursue a risk-balanced approach in investing across the major asset classes, and trust that doing so will benefit the Fund in the long-run.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR MANAGED FUTURES STRATEGY FUND
	1 Year		Since Inception (1/6/2010)
Fund - Class I: AQMIX		-6.37%		-0.66%
Fund - Class N: AQMNX		-6.59%		-0.91%
Merrill Lynch 3-Month T-Bill Index		0.10%		0.12%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N shares are 1.28% and 1.56%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

16 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

AQR MANAGED FUTURES STRATEGY FUND VS. MERRILL LYNCH 3-MONTH T-BILL INDEX

VALUE OF $10,000 INVESTED ON 1/6/10

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

AQR Funds Annual Report December 2011 17

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael

Mendelson

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

On December 31, 2011, the AQR Risk Parity Fund completed its first full fiscal year. From December 31, 2010 through December 31, 2011, the Fund’s Class I shares returned +5.45% and realized an annualized volatility of 8.24%. During this same period, the Fund’s benchmark the BofA Merrill Lynch 3 Month Treasury returned 0.10% and a 60/40 benchmark consisting of 60% S&P 500 Index/40% Barclays U.S. Aggregate Bond Index returned 5.19% at an average realized volatility of 13.21%. The Fund’s net assets across all share classes grew to $389 million by the end of 2011.

Through the use of derivatives such as futures and swaps, the Fund invests across a wide variety of global markets, including: developed and emerging market equities, fixed income and currencies, global credit (corporate, government, and mortgage), and commodities in an attempt to build a truly diversified portfolio where all asset classes matter, but no one asset class matters too much. Risk Parity investing involves allocating investments by risk which means that instruments which have lower risk will generally be allocated larger capital than instruments which are deemed more risky. As markets move through different risk regimes, the portfolio is dynamically adjusted to help keep the overall portfolio risk and balance of risks across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risk associated with investments in the capital markets, and enables the investor to remain invested through more difficult market environments.

In addition to varying position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected return models, which include signals based on carry, momentum, valuation, and other important economic variables. These views determine over- and underweights across a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts. The Fund will remain long all of the markets in which we invest while averaging a moderate (under 0.5 on average) beta to the stock market over a full market cycle.

The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes we trade. Over the first half of the year, our tactical signals indicated an attractive environment for all four major risk premia in the Fund. In addition, our estimates of market risk were moderate, leading to Fund exposure levels that were higher than normal.

The resurgence of European sovereign concerns in the third quarter led to a big increase in volatility of all risky assets, and our tactical models picked up on the negative trends in equities and commodities, leading to a more bearish stance on those markets. As a result, we reduced exposures in all asset classes during the third

18 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

quarter, with the largest reductions in equities and credit. Overall, Fund exposures were reduced by about one-third over the third quarter. Due to persisting higher volatility in equities, credit, and commodities, exposure levels remained low toward the end of the year. In order to maintain portfolio risk at a steady target, the Fund moved from a 0.45 beta versus the S&P 500 Index in the second quarter to a 0.20 beta in the third and fourth quarters. However, given the recovery in markets in the fourth quarter, the Fund ended the year with bullish tilts toward fixed-income, credit, and equities and a bearish tilt toward commodities.

The Fund experienced gains in only two of the four major asset class buckets for the full year. To a net return of 5.4% for 2011, fixed income contributed 10.1%, inflation-linked assets contributed 1.7%, equities detracted -3.5%, and credit assets detracted -3.1%. Returns to cash in the portfolio added another 0.1%. The tactical tilts we made in the Fund added to returns in fixed income and credit, but detracted in equities and inflation, on net adding 0.1% to the Fund’s return. Like risk, returns for the year were shaped heavily by the declining global economic outlook and fiscal problems in the European periphery. These dual trends took hold in the third quarter, generating poor returns for nearly all risky assets, especially for markets outside the U.S.

In the equity bucket, the Fund was tactically overweight equities through the first half due to short- and long-term momentum signals. With the global market declines and rising volatility in August, we trimmed notional positions by over 50%, largely driven by higher estimates of equity volatility, and partially due to increasingly bearish views in our trend-following signals. Despite the rapid reduction in position size through August, third quarter equities losses were still large enough to outweigh gains from the rest of the year. Our tactical tilts in equities detracted for the year, with a -0.6% return to trend-following strategies and -0.3% return to macro timing strategies. Both tactical tilts were hurt by overweights in equities going into the third quarter based on positive momentum in both prices and fundamental economic data up to that point. Capital allocation to equities rose slightly from the lows of August, but still finished the year well below our expected long-term average due to elevated risk expectations.

In the nominal bond bucket, the Fund entered the year with a weak tactical overweight on bonds that grew stronger through the year based mostly on positive price trends. Nominal rates continued to fall in the second half as economic news turned more negative and central banks coordinated to provide greater liquidity to markets. Tactical overweights to bonds from asset-timing and trend-following models contributed 1.3% to performance, mostly in the second and third quarters. Relative value trades in fixed-income were flat for the year. The Fund finished the year bullish on fixed-income, and especially bullish on Japanese bonds due to positive price momentum. U.K. gilts were underweight at year-end due to high relative valuation.

In the inflation bucket, the Fund began the year with an overweight on commodities based on strong macroeconomic growth indicators as well as positive market momentum. This contributed modestly to performance in the first quarter as improving economic forecasts and political turmoil in the Middle East pushed most commodity sectors higher, but detracted heavily during the third quarter as assets sensitive to macro economic growth declined. For the year, commodities detracted 1.7% from Fund performance, of which 0.3% was due to poor trend-following performance. The Fund ended the year with a tactical underweight in commodities driven by deteriorating global economic growth. Inflation-linked bonds performed well throughout the year, contributing 3.5%, as real rates fell in the U.S., UK, and France on expectations of lower growth.

In the credit bucket, the Fund suffered from large losses during the third quarter as credit spreads widened drastically and emerging market currencies fell in value. A strong fundamental environment for credit spreads and positive credit market momentum led us to overweight high yield credit at the start of

AQR Funds Annual Report December 2011 19

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

the year. Although notional exposure to credit assets fell nearly 60% due to rising risk estimates in the third quarter’s resurgence of European debt worries, we maintained a tactical overweight on high yield debt due to attractive spreads and strong corporate balance sheets through the end of the year. While our tactical overweight to high yield credit hurt us throughout the year, we benefited from tactical underweights to emerging currencies and commercial mortgage backed spreads throughout the year.

This has been a good first full year for the Fund, as it managed to beat the benchmark’s return at a much lower level of volatility. We believe the Fund’s especially strong relative performance in the third quarter’s adverse environment showed the benefits of broad risk-based diversification and volatility targeting. We remain significantly concerned about the health of the European economy and, in particular, its financial system. Further, the potential global spillover effects of a bad resolution of the current crisis adds risk to all markets, something we believe is reflected in our current elevated risk estimates. We remain confident, however, that the diversification of a risk parity approach provides a sound allocation for the unusually wide variety of potential market environments we may face in the coming year.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011

AQR RISK PARITY FUND

	1 Year		Since Inception (9/29/2010)
Fund - Class I: AQRIX		5.45%		7.62%
Fund - Class N: AQRNX		5.12%		7.27%
Merrill Lynch 3-Month T-Bill Index		0.10%		0.12%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N shares are 3.80% and 3.96%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

20 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

AQR RISK PARITY FUND VS. MERRILL LYNCH 3-MONTH T-BILL INDEX

VALUE OF $10,000 INVESTED ON 9/30/10

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

AQR Funds Annual Report December 2011 21

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

John Liew

Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Mark Mitchell, Ph.D.

Founding Principal, CNH Partners

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

The Multi-Strategy Alternative Fund attempts to provide attractive risk-adjusted returns by providing exposure to a broadly-diversified portfolio of classic, relative-value alternative strategies. We include strategies that are liquid and which can be built to be low-to-uncorrelated with traditional markets, something we believe should be a key feature of alternative strategies that are meant to be a source of diversifying returns. We believe in providing a great deal of transparency, which means providing insight into our investment process and the economic themes we seek to capture in addition to positions.

Our focus on providing a broadly-diversified portfolio starts with including nine major categories in our Fund. They are Long/Short Equity, Equity Market Neutral, Dedicated Short Bias, Emerging Markets, Convertible Arbitrage, Event Driven, Global Macro, Managed Futures and Fixed Income Relative Value. We believe that each of these categories offers good long term risk-adjusted returns, but they each go through good times and bad times. The key is that they usually go through ups and downs at different times, thus allowing us to benefit by diversifying across the nine and generating more consistent long-term performance. Underlying the nine major categories are approximately 60+ strategies that make up the economic themes and classic strategies within the Fund. Each strategy is built from the bottom up by internal, experienced teams at AQR.

Our portfolio construction approach is to be as diversified and balanced as possible, starting with equal risk weighting as a baseline and then making small tactical tilts around the strategic risk allocation when we think strategies are conditionally attractive or unattractive. Because we are trading in these markets daily and because all of the strategies are managed in one portfolio, we can stay disciplined about rebalancing to our strategic weights, stay nimble by taking advantage of tactical opportunities and also provide efficient exposure by netting positions and transactions costs.

We target 10% annual volatility in the Fund and an annual return of 7-8% net of fees in excess of cash.

The Multi-Strategy Alternative Fund’s I shares returned -2.6% in 2011. This was a partial year for the Fund as it launched on July 18, 2011. While during the same period the Fund’s benchmark, the Bank of America Merrill Lynch 3 Month Treasury Index, had a slight positive return of 0.02%, the MSCI World Index lost 8.0% and the S&P 500 Index lost 2.6%. The year was challenging for funds like ours, which employ hedge fund-like investment strategies. The hedge fund industry, as measured by its major indices, posted its second worst annual performance ever. The Dow Jones Credit Suisse (DJCS) Hedge Fund Index lost 2.5% net of fees for the year and 4.1% over the July to December period. The investable DJCS Core Index lost 7.4% net of fees in 2011 and 6.5% since the Fund’s inception. The HFRI Fund Weighted Composite Index lost 5.0% net of fees in 2011 and 5.7% over the July to December period. The investable HFRX Global Hedge Fund Index lost 8.9% net of fees in 2011 and 6.9% since the Fund’s inception.

22 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

The main themes developing over the year were the sovereign debt crisis in Europe, US budget issues accompanied by a downgrade by S&P, and renewed uncertainty about the global economic recovery. Prices reacted sharply to these themes, which in some cases may have created price dislocations unrelated to fundamentals, such as excessive flow into perceived safe-havens. This was particularly true in the third quarter when global equity and commodity markets fell sharply and a strong flight-to-quality scenario played out across and within asset classes. The fourth quarter started with renewed optimism and risk appetite which saw global stock and commodity markets recover much of their third quarter losses. This rebound proved difficult to sustain, however, as concerns about the sovereign debt crisis in Europe and the threat of contagion for the global economy triggered a new wave of risk aversion for the remainder of the year. These developments affected adversely strategies with a beta to de-risking and flight-to-quality scenarios. Policymakers globally took active steps to accommodate economic growth by reducing or keeping stable key interest rates which helped sustain the rally in fixed income securities.

On a relative basis the Fund’s performance was slightly better than the performance of the major hedge fund indices and global equity markets. The Fund’s realized volatility was below target, realizing 5.5% volatility based on daily returns. The Fund’s realized beta to the MSCI World index was less than 0.1. Of the nine major categories, four had positive returns and five had negative returns. The estimated contributions were as follows:

Long/Short Equity: -1.1%

Equity Market Neutral: -1.1%

Dedicated Short Bias: 1.6%

Emerging Markets: -1.1%

Event Driven: 0.6%

Convertible Arbitrage: 0.5%

Global Macro: -2.1%

Managed Futures: -0.1%

Fixed Income Relative Value: 0.2%

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

Dedicated Short Bias: The Fund profited from shorting stocks based on investor sentiment in US, Japanese and European markets. The UK portfolio detracted slightly. The category also benefited from being slightly net short the equity market (recall for the most part we hedge out the market exposure via a long portfolio) as stock markets fell on a net basis during the period since the Fund’s inception. The strategy contributed both in the third quarter and in the fourth quarter with September, October and particularly November contributing, and August and December detracting. Portfolio gains were driven largely by the US region, particularly in the month of November when heavily shorted stocks underperformed with the strong market reversal. The Japanese portfolio had modest contributions in both quarters, while the region of Europe detracted in the third quarter but contributed in the fourth quarter with heavily shorted stocks underperforming during both the rally and the subsequent reversal.

Event Driven: The category provided a strong contribution during the period, particularly in the fourth quarter. Returns were driven by merger deal spreads contracting from a high of above 15% in early August to below 7% at year-end accompanied by a very low incidence of deal failure. The Fund tactically increased its exposure to the category in mid-August to take advantage of merger spreads increasing sharply with the global de-risking early in the month. The Fund ended the year with a tactical underweight in the strategy to reflect normal spread levels but very slow deal flow.

AQR Funds Annual Report December 2011 23

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Convertible Arbitrage: Converts cheapened in the third quarter due to increased market volatility around the US debt ceiling vote and later due to continuing macroeconomic uncertainty worldwide. However, the increased volatility benefited the strategy as the option component of equity sensitive names strengthened and gamma trading yielded some gains. New issuance remained very slow during this period. Cheapness continued to increase in the fourth quarter as high as 6.5% and remains above 5.5% levels, making converts attractively priced. We increased our tactical weight to 90% as a result with a view towards increasing it further to 100% once new issuance improves.

Emerging Markets: The category detracted significantly during the period with losses in the currency, equity directional and stock selection components. The currency relative value strategy drove the bulk of the performance with losses due mostly to carry and trend themes. Carry underperformed as high-yielding emerging currencies in Eastern Europe and Latin America sold off due to high beta to the global economic downturn. These losses were mitigated somewhat by our systematic carry drawdown control process. Trend factors took a hit as prior positive trends in Eastern European and Latin American currencies reversed in the third quarter. The equity directional and stock selection components, which were long throughout the period, also detracted with the global sell-off. The equity index relative value component contributed modestly.

Long/Short Equity: The category detracted significantly during the period with losses concentrated in the third quarter and positive performance in the fourth quarter. In the third quarter, losses came from being net long the market (recall again here for the most part we hedge out the market exposure of this strategy) while global equity markets sold off sharply. The UK portfolio also detracted with losses in most themes. In the fourth quarter, positive performance was concentrated in the month of October when global equity markets rallied on optimism about the global economic recovery. October saw positive performance from all geographical regions and from the directional component of the strategy. Renewed risk aversion in November and December resulted in negative performance. Our growth indicators in the stock portfolio contributed in all regions except the US, while our industry selection model contributed in all regions.

Equity Market Neutral: The category underperformed during the period, both in the third quarter and in the fourth quarter. In the third quarter, value themes suffered, particularly in Europe and the UK. The Japanese portfolio’s strong performance helped partially offset losses in the other regions. In the fourth quarter, losses were concentrated mostly in the region of Europe where valuation themes struggled with continuing risk aversion and uncertainty about reliable solutions to the region’s sovereign debt crisis leading investors towards safer, more expensive stocks. Earnings quality themes also detracted in Europe, the UK and the US.

Global Macro: The category was the biggest detractor in the Fund during the period. The primary source of underperformance was the developed currencies relative value strategy where trend and carry themes detracted significantly, while value was flat. Carry was hit especially hard in the third quarter when global de-risking directed funds into low-yielding (or safe-haven) currencies such as the Japanese Yen. Rate predicting factors also took a hit as we saw a complete re-pricing of expected policy moves. Trend losses were entirely driven by price momentum themes with the worsening risk environment causing a reversal in the general trend of outperformance in high-yielding and risk-sensitive currencies. Position-wise, the biggest detractors were our value-driven shorts in Japanese Yen and Swiss Francs as both of them appreciated with the risk-off moves in the third quarter, and our trend and carry driven long in New Zealand Dollars which depreciated with the carry-trade unwind. The developed equity relative value strategy also detracted for the period with the losses concentrated in the third quarter when European debt concerns hurt our value-driven long European positions while our value and trend driven short in Australia lost as Gross Domestic Product growth positively surprised markets and the global slowdown led to speculation

24 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

of rate cuts by the RBA. The developed equity directional strategy also detracted as its long position in the basket of developed equity markets was hurt during the sell-off in the third quarter. We saw some gains from our long positions in the fixed income directional category which benefited from aggressive monetary policy actions globally.

While we attempt to build each strategy to be uncorrelated either at all points in time or on average over time, we also recognize that strategies can take on conditional correlations to traditional markets, either because of changing tactical views, as in managed futures, or because a relative value strategy is trading with more correlation than expected. As such, we monitor the Fund’s positions on a daily basis and estimate the conditional beta of the Fund to traditional markets, specifically equity markets. If that beta is beyond a threshold we’ll put on a hedge overlay at the Fund-level to attempt to bring the beta back down to within the threshold. During the period, the overlay contributed 3.8% to the Fund’s return, mostly in the third quarter when the position was relatively large. In the fourth quarter, the Fund’s estimated residual long market exposure was small on average and our overlay position was modest. The overlay return is incorporated in the contributions presented above for each of the underlying categories as we allocate the contribution to each category on the basis of its contribution to the estimated beta of the Fund.

As of the end of the year, the Fund was tactically underweight managed futures due to the misalignment of trends at different time horizons in equities and currencies. The Fund was also underweight global macro strategies and fixed income relative value strategies, as we are seeing relatively fewer opportunities to invest in cheap and improving asset classes while earning carry. The Fund reduced its tactical underweight in convertible arbitrage to reflect improved cheapness (prices relative to fair value) levels in the aggregate convertible bond space, while new issuance remains slow but is expected to improve in the first quarter of 2012. Finally, we implemented a tactical underweight in the event driven category as merger deal flow is relatively weak and median deal spreads have reverted to moderate levels from the peaks early in the fourth quarter.

The Fund makes extensive use of derivative instruments such as futures, forwards and swaps in order to implement investment ideas in a diverse array of markets. Derivatives account for the majority of positions in the Fund with -3.1% of performance during the period attributable to these positions.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR MULTI-STRATEGY ALTERNATIVE FUND
	Since Inception (7/18/2011)
Fund - Class I: ASAIX		-2.57%
Fund - Class N: ASANX		-2.73%
Merrill Lynch 3-Month T-Bill Index		0.02%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N shares are 7.38% and 7.63%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2011 25

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

AQR MULTI-STRATEGY ALTERNATIVE FUND VS. MERRILL LYNCH 3-MONTH T-BILL INDEX

VALUE OF $10,000 INVESTED ON 7/18/11

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

26 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Markets ended 2011 on a stronger note, after what had been a volatile year by historical standards. Despite a -15% drop in the third quarter on European sovereign debt troubles, US equity markets rebounded in the fourth quarter encouraged by an improved outlook on the US economy due to a decrease in unemployment and positive changes in manufacturing production, as well as some progress on the European crises. For the full year, the Russell 1000 Index returned 1.50% while the Russell 1000 Growth Index returned 2.64%. The AQR Momentum Fund (the “Fund”) underperformed the market, losing -2.68% for the year.

Most of the underperformance to the Russell 1000 Index was driven by stock-level underweights of past losers and overweights of past winners within sectors, particularly in the Information Technology, Energy, and Healthcare sectors. In Information Technology, large negative contributors were overweights in Juniper Networks, a provider of Internet infrastructure solutions for telecommunication services companies, and EMC Corporation, a provider of enterprise storage, who both experienced large price drops at the end of July on poor second quarter performance results. Underweights in IBM and Google, especially in the third quarter, further detracted from performance. Large contributors to underperformance in Energy include the Fund’s overweights in oil servicing companies that performed particularly poorly compared to other Energy companies in the third quarter due to higher sensitivities to drops in oil prices.

Relative exposures across sectors played a smaller role in underperformance. The Fund’s overweight in the Energy sector detracted, particularly in the second and third quarters, as declining oil prices underscored investor concerns of global economic weakness.

The AQR Momentum Fund invests in stocks of large and mid-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the Fund’s investment universe, which is comprised of the 1000 largest U.S. companies by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.

Note that the Fund sometimes uses derivatives, such as S&P500 EMini futures, to gain market exposure and equitize daily flows. The Fund’s derivatives positions in 2011 contributed about 0.05% over the year, consistent with market performance for the year.

AQR Funds Annual Report December 2011 27

Shareholder Letter (Unaudited)

AQR MOMENTUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR MOMENTUM FUND
	1 Year		Since Inception (7/9/2009)
Fund - Class L: AMOMX		-2.68%		16.15%
Russell 1000® Index		1.50%		18.13%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L shares is 0.98%. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR MOMENTUM FUND VS. RUSSELL 1000^® INDEX

VALUE OF $10,000 INVESTED ON 7/9/09

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

28 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR SMALL CAP MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

US small cap stocks fared worse than their large- and mid-cap peers, particularly in the third quarter. The Russell 2000 Index finished down -4.18% for the year and the Russell 2000 Growth Index returned -2.91% for the year. The AQR Small Cap Momentum Fund (the “Fund”) outperformed both Russell indices, down -2.62% in 2011.

Outperformance relative to the Russell 2000 Index was driven by relative exposures within the Health Care and Consumer Discretionary sectors, while defensive sector exposures, like Utilities detracted. In Health Care, the Fund benefitted from its overweight in Pharmasset, the developer of the first all-oral regimen for treating hepatitis C. Returning almost 500% for the year, the stock was trending up even before the announcement of its acquisition by Gilead in mid November. In Consumer Discretionary, large contributors to outperformance included the Fund’s overweight in retailers, Crocs and Select Comfort, who both reported strong sales growth and earnings ahead of expectations in the second quarter, and underweight in Eastman Kodak, who lost a major patent battle in the second quarter.

The AQR Small Cap Momentum Fund invests in stocks of small-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the investment universe, which is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th smallest company by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.

Note that the Fund sometimes uses derivatives, such as Russell 2000 Mini futures, to gain market exposure and equitize daily flows. The Fund’s derivatives positions in 2011 contributed about -0.22% to performance over the year, consistent with market performance for the year.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR SMALL CAP MOMENTUM FUND
	1 Year		Since Inception (7/9/2009)
Fund - Class L: ASMOX		-2.62%		18.01%
Russell 2000® Index		-4.18%		20.77%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L shares is 1.85%. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2011 29

Shareholder Letter (Unaudited)

AQR SMALL CAP MOMENTUM FUND

AQR SMALL CAP MOMENTUM FUND VS. RUSSELL 2000^® INDEX

VALUE OF $10,000 INVESTED ON 7/9/09

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

30 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

Cliff Asness

Managing & Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Similar to the US market, global markets also suffered a dismal third quarter on European debt concerns and general economic weakness, but lacking strengthening global economic indicators, did not recover in the fourth quarter. The MSCI World ex-USA Index fell by -12.21%, while the MSCI World ex-USA Growth Index fell by a similar -12.71% for the year. The AQR International Momentum Fund (the “Fund”) underperformed both benchmarks, returning -14.36%.

The Fund’s underperformance relative to the broader MSCI World ex-USA Index, was primarily driven by over and underweights across sectors. Specifically, in the third quarter, the fund was underweight Consumer Staples and Health Care, defensive sectors that outperformed during the volatile third quarter, and overweight Materials and Industrials, two sectors that underperformed relative to the market due to higher sensitivities to the perceived economic slowdown.

Stock-level overweights of past winners and underweights of past losers in Materials, Industrials, and Energy detracted from performance. Within the Materials sector, underperformance was due primarily to the fund’s overweights of Xstrata and Rio Tinto, mining companies whose prices fell relative to those of peers in August, after missing analysts’ estimates and on higher sensitivity to the general perceived downturn in that month. In Industrials, a large contributor to negative performance was an overweight in Siemens, a German industrial conglomerate whose price dropped in August on below consensus second quarter earnings.

Stock exposures within countries also detracted from performance. As mentioned above, overweights in UK mining companies such as Rio Tinto, Xstrata, and Anglo American, hurt the Fund relative to the broader markets as UK mining companies underperformed the rest of the UK market. In Canada, Energy companies also underperformed the broader markets in Canada, especially in August on concerns of an economic slowdown. Here, the Fund’s underweight in Barrick Gold, a Canadian gold mining company that gained significantly versus the rest of the market in the third quarter on strengthening gold prices, further decreased performance.

The AQR International Momentum Fund invests in stocks of large and mid-cap non-U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the investment universe, which is comprised of approximately the top 85% of stocks by market capitalization of each of the 20 major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.

Note that the Fund sometimes uses derivatives to implement its strategy. In particular, the Fund will sometimes trade swaps in UK securities to minimize certain trading costs. Its derivatives positions in 2011 contributed about -0.07% to performance over the year, consistent with UK equity markets being down for the year.

AQR Funds Annual Report December 2011 31

Shareholder Letter (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2011 AQR INTERNATIONAL MOMENTUM FUND
	1 Year		Since Inception (7/9/2009)
Fund - Class L: AIMOX		-14.42%		7.74%
MSCI World ex-USA Index		-12.21%		8.15%

Performance data quoted represents past performance and does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L shares is 1.46%. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR INTERNATIONAL MOMENTUM FUND VS. WORLD ex-USA INDEX

VALUE OF $10,000 INVESTED ON 7/9/09

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

32 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

PRINCIPAL RISKS:

AQR Global Equity Fund and AQR International Equity Fund: The AQR Global Equity Fund and the AQR International Equity Fund use derivatives to manage their country and currency exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty. The Funds are not suitable for all investors.

AQR Diversified Arbitrage Fund: As the AQR Diversified Arbitrage Fund (the “Fund”) employs arbitrage and alternative strategies, the Fund has the risk that the anticipated opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Fund uses derivatives to hedge certain economic exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This Fund is not suitable for all investors.

AQR Managed Futures Strategy Fund: The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Concentration generally will lead to greater price volatility. The Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. This Fund is not suitable for all investors.

AQR Risk Parity Fund: Foreign investing involves special risks such as currency fluctuations and political uncertainty. The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. When investing in bonds, yield and share price will vary with changes in interest rates and market conditions. Investors should note that if interest rates rise significantly from current levels, bond total returns will decline and may even turn negative in the short term. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Actual or realized volatility can and will differ from the forecasted or target volatility. This Fund is not suitable for all investors.

AQR Momentum Fund: Securities with positive momentum generally will be more volatile than a broad crosssection of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund, which uses a momentum strategy, generally will suffer. Derivatives are generally more sensitive to changes in economic or market conditions than other types of investments, which could result in losses that significantly exceed the Fund’s original investment. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. This Fund is not suitable for all investors.

AQR Funds Annual Report December 2011 33

Shareholder Letter (Unaudited)

AQR Small Cap Momentum Fund: Securities with positive momentum generally will be more volatile than a broad crosssection of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund, which uses a momentum strategy, generally will suffer. Derivatives are generally more sensitive to changes in economic or market conditions than other types of investments, which could result in losses that significantly exceed the Fund’s original investment. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Funds that emphasize investments in smaller companies generally will experience greater price volatility. This Fund is not suitable for all investors.

AQR International Momentum Fund: Securities with positive momentum generally will be more volatile than a broad crosssection of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund, which uses a momentum strategy, generally will suffer. Derivatives are generally more sensitive to changes in economic or market conditions than other types of investments, which could result in losses that significantly exceed the Fund’s original investment. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty. This Fund is not suitable for all investors.

An investment in any of the AQR Funds (the “Funds”) involves risk, including loss of principal. Diversification does not eliminate this risk. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.

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

Cliff Asness, David Kabiller, Brian Hurst, Yao Hua Ooi and Marco Hanig are registered representatives of ALPS Distributors, Inc.

DEFINITIONS:

Arbitrage: The simultaneous purchase and sale of an asset or two related assets in order to profit from a difference in price.

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

Beta is a measure of the volatility of a security or portfolio in comparison to an index or the market as a whole, where a security with a beta of 1.0 has equivalent volatility to the index or market it is compared to.

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

Cheapness: A measure of the discount a security price relative to its fundamental value.

34 AQR Funds Annual Report December 2011

Shareholder Letter (Unaudited)

Closed-end fund arbitrage is the practice of buying (selling) closed-end funds that trade at abnormally wide discounts (or premiums) to their underlying net asset values. Positions are unwound when the discount or premium converges to expected levels.

Convertible Bonds: Fixed-income securities that are convertible into common stock.

Correlation: A measurement to identify the relationship and impact on return of two or more assets.

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

Dovish: A monetary policy that involves the maintenance of low interest rates in the belief that inflation and its negative effects will have a minimal impact on society.

Dual-Class Arbitrage: An investment strategy that takes advantage of inefficiencies in the prices at which different classes of a publicly traded company’s stock are trading.

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

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

Price to Book: A valuation ratio of a company’s current share price compared to its book value.

Price Pressure: This strategy captures a risk premium by providing liquidity around different types of securities issues and restructuring events. The Fund may employ additional arbitrage and alternative strategies as they arise.

Quantitative Easing: The term quantitative easing describes an extreme form of monetary policy used to stimulate an economy when the interbank interest rate (which in the US is called the federal funds rate) is either at, or close to zero.

Richness: A measure of the premium of a security price relative to its fundamental value.

Sovereign Risk: The probability that the government of a country will refuse to comply with the terms of a loan agreement during economically difficult or politically volatile times.

Special Purpose Acquisition Companies (SPACs): SPACs, often called “blank check” companies, are publicly traded companies whose primary asset is a trust invested in short-term high-grade securities. The Fund seeks to capture a liquidity premium when these securities, which are typically thinly traded, are selling at a discount.

Spread: The percentage difference between two related securities.

S&P 500 Index: An Index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. Indexes are unmanaged and one cannot invest directly in an index.

The CAC 40 Index is a free float-adjusted market capitalization index that is designed to measure the performance of the 40 most significant values among the 100 highest market caps on the Euronext Paris. Indexes are unmanaged and one cannot invest directly in an index.

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

AQR Funds Annual Report December 2011 35

Shareholder Letter (Unaudited)

The Morgan Stanley Capital International EAFE Index is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, excluding the United States and Canada. Indexes are unmanaged and one cannot invest directly in an index.

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

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

The Russell 1000^® Index measures the performance of the large and mid-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 90% of the U.S. market. Indexes are unmanaged and one cannot invest directly in an index.

The Russell 2000^® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000^® Index is a subset of the Russell 3000^® Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. Indexes are unmanaged and one cannot invest directly in an index.

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

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

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

36 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

COMMON STOCKS - 89.4%	SHARES		VALUE (Note 3)
Australia - 3.3%
AGL Energy Ltd.		9,138	$	133,706
Alumina Ltd.		37,995		43,499
Amcor Ltd.		32,520		239,400
Ansell Ltd.		4,330		64,291
Asciano Ltd.		13,184		60,585
ASX Ltd.		2,722		84,966
Australia & New Zealand Banking Group Ltd.		30,372		636,138
BHP Billiton Ltd.		61,290		2,163,454
Caltex Australia Ltd.		12,553		150,732
CFS Retail Property Trust REIT		36,456		62,773
Coca-Cola Amatil Ltd.		4,321		50,770
Commonwealth Bank of Australia (a)		21,370		1,073,445
Computershare Ltd.		7,001		57,226
CSL Ltd.		9,106		296,881
Dexus Property Group REIT (a)		74,910		63,484
Downer EDI Ltd. †		44,189		144,239
Fortescue Metals Group Ltd. (a)		19,404		84,883
Goodman Group REIT		93,620		54,434
GPT Group - In Specie REIT (3)†(b)		96,388		—
GPT Group REIT (a)		29,672		93,000
Incitec Pivot Ltd.		78,566		249,415
Lend Lease Group		8,523		62,414
Mirvac Group REIT		51,825		62,441
Mount Gibson Iron Ltd.		21,558		24,637
National Australia Bank Ltd.		53,942		1,284,982
Newcrest Mining Ltd.		12,358		376,611
Nufarm Ltd. †		49,826		211,259
Orica Ltd.		3,687		91,231
Origin Energy Ltd.		34,214		466,563
OZ Minerals Ltd.		5,222		53,417
Pacific Brands Ltd.		756,439		425,197
Paladin Energy Ltd. †		10,415		14,646
Primary Health Care Ltd.		24,228		76,244
Qantas Airways Ltd. †		55,973		83,316
QBE Insurance Group Ltd.		2,557		33,840
QR National Ltd.		27,325		95,453
Rio Tinto Ltd. (a)		10,357		638,501
Santos Ltd.		27,891		349,044
Sonic Healthcare Ltd.		14,263		164,399
SP AusNet		258,686		248,244
Stockland REIT		43,746		142,909
TABCORP Holdings Ltd.		37,593		104,716
Telstra Corp. Ltd.		69,795		237,374
Wesfarmers Ltd.		7,310		220,750
Westfield Group REIT		35,184		280,712
Westfield Retail Trust REIT		46,500		118,505
Westpac Banking Corp.		29,734		606,997
Woolworths Ltd. (a)		32,414		832,015
				13,113,738
Belgium - 0.2%
Solvay SA		8,432		692,228
Canada - 4.5% (1)
AGF Management Ltd., Class B		1,618		25,126
AltaGas Ltd. (a)		4,000		125,016
ARC Resources Ltd. (a)		4,700		115,799

	SHARES		VALUE (Note 3)
Canada - 4.5% (1) (continued)
Atco Ltd., Class I		1,849	$	109,334
Bank of Montreal		5,180		284,131
Bank of Nova Scotia		2,999		149,634
Barrick Gold Corp.		12,005		543,834
BCE, Inc.		22,909		955,038
Bombardier, Inc., Class B		52,791		210,387
Bonavista Energy Corp.		1,300		33,267
Brookfield Asset Management, Inc., Class A		8,102		222,999
Brookfield Office Properties, Inc.		2,845		44,598
Canadian Imperial Bank of Commerce		9,500		688,103
Canadian National Railway Co.		15,300		1,203,725
Canadian Oil Sands Ltd.		7,934		181,070
Canadian Tire Corp. Ltd., Class A		4,500		291,092
Canadian Utilities Ltd., Class A		3,100		187,263
Celestica, Inc. †		23,111		169,915
Cenovus Energy, Inc.		19,500		647,544
CGI Group, Inc., Class A †		12,700		239,352
Enerplus Corp.		2,951		74,879
Ensign Energy Services, Inc.		34,700		553,497
Finning International, Inc.		14,700		320,478
Goldcorp, Inc.		14,088		625,196
Great-West Lifeco, Inc.		3,145		62,977
Groupe Aeroplan, Inc.		21,800		255,501
IAMGOLD Corp.		6,000		95,293
Imperial Oil Ltd.		13,400		597,032
Industrial Alliance Insurance & Financial Services, Inc.		4,300		110,966
Inmet Mining Corp.		8,780		564,506
Intact Financial Corp.		4,800		275,773
Ivanhoe Mines Ltd. †		4,885		86,743
Laurentian Bank of Canada		4,937		231,791
Magna International, Inc.		5,634		188,030
Manulife Financial Corp.		45,600		485,654
Methanex Corp.		2,400		54,938
National Bank of Canada (a)		5,514		390,459
Nexen, Inc.		32,800		521,902
Niko Resources Ltd.		700		33,140
Onex Corp.		11,700		381,061
Pacific Rubiales Energy Corp.		4,000		73,541
Penn West Petroleum Ltd.		7,500		148,638
Petrobank Energy & Resources Ltd. †		1,600		16,616
Potash Corp of Saskatchewan, Inc.		9,500		392,682
Power Corp. of Canada		4,746		110,969
Precision Drilling Corp. †		32,600		336,000
Research In Motion Ltd. †		4,900		71,185
RioCan Real Estate Investment Trust REIT (a)		2,100		54,482
Rogers Communications, Inc., Class B		7,700		296,663
Royal Bank of Canada (a)		5,824		297,160
Russel Metals, Inc.		21,400		470,958
Sherritt International Corp.		52,300		280,302
Silver Wheaton Corp.		5,300		153,472
Suncor Energy, Inc.		35,382		1,020,391
Teck Resources Ltd., Class B		4,493		158,374
TELUS Corp., Class A		2,307		123,734
TMX Group, Inc.		1,200		49,107

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

AQR Funds Annual Report December 2011 37

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
Canada - 4.5% (1) (continued)
Toronto-Dominion Bank/The		5,612	$	420,260
TransCanada Corp. (a)		12,800		559,494
Valeant Pharmaceuticals International, Inc. †		4,574		213,985
Yamana Gold, Inc.		49,800		734,229
Yellow Media, Inc. (a)		8,100		1,471
				18,320,756
Denmark - 0.6%
AP Moeller - Maersk A/S, Class B		24		157,864
Carlsberg A/S, Class B		3,798		267,431
Danske Bank A/S †		10,597		133,903
DSV A/S		6,431		114,922
Novo Nordisk A/S, Class B		16,084		1,847,782
				2,521,902
Finland - 0.3%
Metso OYJ		16,997		627,751
Wartsila OYJ		17,030		489,829
				1,117,580
France - 3.4%
Alcatel-Lucent †(a)		172,350		267,836
Arkema SA		6,610		464,477
AXA SA		30,119		389,324
BNP Paribas SA		16,706		650,522
Bouygues SA (a)		4,316		135,741
Christian Dior SA		3,779		446,065
Cie Generale de Geophysique - Veritas †		33,400		775,280
Cie Generale d’Optique Essilor International SA		4,974		350,625
Compagnie de Saint-Gobain		21,523		822,732
Eramet (a)		1,508		183,663
European Aeronautic Defence and Space Co NV		19,724		614,187
Faurecia		13,077		246,464
Hermes International (a)		2,290		680,636
Klepierre REIT		1,740		49,439
Legrand SA		8,172		261,755
L’Oreal SA		4,180		435,346
LVMH Moet Hennessy Louis Vuitton SA		2,897		408,085
PPR		3,504		500,158
Safran SA		17,853		533,913
Sanofi		6,600		482,445
Schneider Electric SA		5,872		306,996
Societe BIC SA		7,938		702,256
Societe Generale SA		16,650		367,559
Societe Television Francaise 1		712		6,926
Total SA		46,230		2,359,019
Unibail-Rodamco SE REIT		1,690		302,465
Valeo SA		18,407		728,476
Vivendi SA		9,021		196,924
				13,669,314
Germany - 2.9%
Adidas AG		7,561		491,261
Allianz SE		1,462		139,627
Aurubis AG		14,113		751,055

	SHARES		VALUE (Note 3)
Germany - 2.9% (continued)
BASF SE		15,928	$	1,108,882
Bayer AG		26,363		1,683,632
Bayerische Motoren Werke AG		2,931		195,932
Bilfinger Berger SE		5,899		502,284
Daimler AG		12,534		549,096
Deutsche Boerse AG		2,471		137,752
Deutsche Post AG		13,671		210,181
Deutsche Telekom AG		44,861		514,595
Fresenius SE & Co. KGaA		1,761		162,843
Infineon Technologies AG		4,285		32,183
K+S AG		11,175		504,012
Kloeckner & Co. SE		12,498		159,969
Linde AG		1,819		270,326
Merck KGaA		7,345		731,446
SAP AG		31,663		1,674,708
Siemens AG		15,279		1,461,831
Suedzucker AG		9,499		302,598
TUI AG †(a)		31,794		197,217
				11,781,430
Hong Kong - 1.1%
AIA Group Ltd.		134,800		419,622
ASM Pacific Technology Ltd. (a)		2,982		33,399
Cheung Kong Holdings Ltd.		35,201		417,568
Cheung Kong Infrastructure Holdings Ltd.		5,749		33,613
Chinese Estates Holdings Ltd.		25,000		40,192
CLP Holdings Ltd.		24,511		208,242
Esprit Holdings Ltd. (a)		98,800		127,195
Foxconn International Holdings Ltd. †		32,101		20,643
Hang Lung Group Ltd.		11,791		64,528
Hang Seng Bank Ltd. (a)		17,057		202,047
Hong Kong & China Gas Co., Ltd.		33,000		76,407
Hong Kong Exchanges and Clearing Ltd.		16,169		257,281
Hopewell Holdings Ltd.		65,695		167,808
Hutchison Whampoa Ltd.		56,489		471,392
Hysan Development Co., Ltd.		59,823		195,894
Li & Fung Ltd.		1,468		2,705
Lifestyle International Holdings Ltd.		9,000		19,810
Link REIT/The REIT (a)		34,329		126,252
Mongolia Energy Corp. Ltd. †		48,885		4,385
New World Development Co., Ltd.		40,173		32,256
NWS Holdings Ltd.		19,500		28,672
PCCW Ltd.		65,406		22,443
Power Assets Holdings Ltd.		42,500		314,246
Sands China Ltd. †		41,200		115,590
SJM Holdings Ltd.		25,000		40,569
Sun Hung Kai Properties Ltd.		19,022		237,716
Swire Pacific Ltd., Class A		11,818		142,390
Television Broadcasts Ltd.		14,442		87,454
Wharf Holdings Ltd.		24,604		110,907
Wheelock & Co., Ltd.		54,844		135,613
Wynn Macau Ltd.		25,600		63,907
Yue Yuen Industrial Holdings Ltd.		31,623		99,791
				4,320,537
Italy - 0.7%
Assicurazioni Generali SpA		18,525		278,085
Enel SpA		94,899		384,980

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

38 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
Italy - 0.7% (continued)
ENI SpA		68,444	$	1,411,153
Intesa Sanpaolo SpA		181,257		301,886
Telecom Italia SpA		84,774		90,612
UniCredit SpA (a)		23,340		192,508
				2,659,224
Japan - 8.1%
Aeon Co., Ltd. (a)		17,300		236,978
Aeon Mall Co., Ltd.		900		19,093
Aisin Seiki Co., Ltd.		1,300		36,842
Ajinomoto Co., Inc.		9,000		108,041
Asahi Glass Co., Ltd.		236		1,973
Asahi Kasei Corp.		78,000		470,067
Astellas Pharma, Inc.		5,100		207,097
Brother Industries Ltd.		32,800		401,456
Canon, Inc. (a)		13,345		587,278
Central Japan Railway Co.		51		430,403
Chiyoda Corp.		45,000		456,880
Chubu Electric Power Co., Inc.		54		1,011
Credit Saison Co., Ltd.		15,075		301,063
Daicel Corp.		60,000		364,446
Daido Steel Co., Ltd.		49,000		305,901
Daihatsu Motor Co., Ltd.		27,000		480,136
Dai-ichi Life Insurance Co., Ltd./The		129		126,639
Daiichi Sankyo Co., Ltd.		4,300		85,162
Daito Trust Construction Co., Ltd.		1,586		135,804
Daiwa House Industry Co., Ltd.		8,151		97,443
Dena Co., Ltd.		15,200		455,338
DIC Corp.		495		897
East Japan Railway Co.		512		32,634
Ebara Corp.		70,000		240,227
FANUC Corp.		2,000		305,065
Fuji Heavy Industries Ltd.		733		4,396
Fuji Media Holdings, Inc.		220		332,621
FUJIFILM Holdings Corp.		44		1,038
Fujitsu Ltd.		36,115		187,254
Hakuhodo DY Holdings, Inc.		7,090		406,497
Hino Motors Ltd.		975		5,903
Hitachi High-Technologies Corp.		10,758		233,049
Hitachi Ltd.		37,000		192,473
Hokuhoku Financial Group, Inc.		146,000		283,886
Honda Motor Co., Ltd.		13,597		414,177
Hoya Corp.		6		129
Idemitsu Kosan Co., Ltd.		1,800		185,503
IHI Corp.		4,000		9,698
Inpex Corp.		75		472,217
Isuzu Motors Ltd.		67,000		308,437
ITOCHU Corp.		41,588		421,680
Japan Petroleum Exploration Co.		3,700		144,383
Japan Real Estate Investment Corp. REIT		7		54,500
Japan Retail Fund Investment Corp. REIT		18		26,627
Japan Tobacco, Inc.		71		333,879
JGC Corp.		21,000		504,182
JS Group Corp.		3,100		59,414
JTEKT Corp.		47,488		464,112
JX Holdings, Inc.		35,614		214,916
Kaneka Corp.		354		1,879
Kansai Electric Power Co., Inc./The		4,600		70,661

	SHARES		VALUE (Note 3)
Japan - 8.1% (continued)
KDDI Corp.		115	$	738,565
Keisei Electric Railway Co., Ltd.		461		3,389
Keyence Corp.		700		168,728
Kinden Corp.		22,284		187,857
Kobe Steel Ltd.		158,759		245,365
Koito Manufacturing Co., Ltd.		11,000		153,752
Konami Corp.		2,800		83,731
Konica Minolta Holdings, Inc.		31,500		234,227
Kubota Corp.		343		2,870
Kuraray Co., Ltd.		32,800		465,487
Makita Corp.		46		1,484
Marubeni Corp.		60,000		365,207
Miraca Holdings, Inc.		10,228		407,765
Mitsubishi Chemical Holdings Corp.		59,000		323,346
Mitsubishi Corp.		19,136		385,682
Mitsubishi Electric Corp.		71,000		680,452
Mitsubishi Estate Co., Ltd.		18,764		279,798
Mitsubishi Heavy Industries, Ltd.		26,000		110,427
Mitsubishi Materials Corp.		51,000		137,885
Mitsubishi UFJ Financial Group, Inc.		168,249		712,279
Mitsubishi UFJ Lease & Finance Co., Ltd.		7,988		316,167
Mitsui & Co., Ltd.		56,889		881,737
Mitsui Chemicals, Inc.		68,000		206,470
Mitsui Fudosan Co., Ltd.		17,598		256,609
Mitsui Mining & Smelting Co., Ltd.		53,000		136,285
Mitsumi Electric Co., Ltd.		16,040		118,790
Mizuho Financial Group, Inc.		155,841		211,026
Namco Bandai Holdings, Inc.		5,400		76,640
NHK Spring Co., Ltd.		22,400		197,977
Nikon Corp.		13,700		303,599
Nippon Building Fund, Inc. REIT		8		65,471
Nippon Electric Glass Co., Ltd.		26,000		255,950
Nippon Kayaku Co., Ltd.		546		5,250
Nippon Meat Packers, Inc.		97		1,202
Nippon Sheet Glass Co., Ltd.		86,000		160,276
Nippon Shokubai Co., Ltd.		20,000		214,274
Nippon Telegraph & Telephone Corp.		7,948		404,632
Nishi-Nippon City Bank Ltd./The		125,363		359,594
Nissan Motor Co., Ltd.		14,900		133,431
Nisshin Steel Co., Ltd.		103,000		157,594
Nitto Denko Corp.		12,094		430,188
NTT DoCoMo, Inc.		422		774,800
OJI Paper Co., Ltd.		682		3,501
Omron Corp.		31		622
ORIX Corp.		1,599		131,824
Osaka Gas Co., Ltd.		129,446		511,428
Otsuka Corp.		2,300		158,279
Pacific Metals Co., Ltd.		16,720		80,812
Rengo Co., Ltd.		884		6,164
Sankyo Co., Ltd.		6,300		318,511
Sapporo Hokuyo Holdings, Inc.		14,068		50,310
SBI Holdings, Inc.		261		19,054
Sega Sammy Holdings, Inc.		6,600		142,582
Seino Holdings Corp.		30,100		232,760
Sekisui Chemical Co., Ltd.		52,000		428,354
Sekisui House Ltd.		9,000		79,978
Seven & I Holdings Co., Ltd.		25,030		697,579

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

AQR Funds Annual Report December 2011 39

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
Japan - 8.1% (continued)
Showa Shell Sekiyu KK (a)		36,700	$	246,760
Softbank Corp.		14,500		425,837
Sojitz Corp.		47,016		72,615
Sony Corp.		8,817		158,979
Sumitomo Corp.		17,000		229,791
Sumitomo Heavy Industries Ltd.		69,000		402,704
Sumitomo Metal Industries Ltd.		36,493		66,182
Sumitomo Mitsui Financial Group, Inc.		12,449		345,245
Sumitomo Realty & Development Co., Ltd.		5,624		98,264
Taiheiyo Cement Corp.		42,000		80,382
Taisei Corp.		14,000		35,488
Taisho Pharmaceutical Holdings Co., Ltd. †		1,100		84,890
Takeda Pharmaceutical Co., Ltd.		10,369		455,463
THK Co., Ltd.		7,200		141,824
Tohoku Electric Power Co., Inc.		6,900		66,292
Tokai Rika Co., Ltd.		15,865		242,270
Tokuyama Corp. (a)		55,000		174,435
Tokyo Electric Power Co., Inc./The †		26,870		64,484
Tokyo Electron Ltd.		9,800		496,543
Tokyu Land Corp.		5,000		18,868
TonenGeneral Sekiyu KK (a)		37,000		403,439
Toshiba Corp.		21,000		85,702
Tosoh Corp.		30,000		79,722
Toyota Motor Corp.		34,041		1,125,646
Ube Industries Ltd.		129,000		352,595
UNY Co., Ltd.		9,300		83,660
USS Co., Ltd.		5		452
Yamada Denki Co., Ltd.		6,450		439,369
Yamaguchi Financial Group, Inc.		5,000		47,644
Yamaha Motor Co., Ltd.		32,400		409,785
Yamatake Corp.		17,100		371,618
				32,746,349
Netherlands - 1.3%
ASML Holding NV		45,315		1,892,874
Corio NV REIT		1,027		44,470
Delta Lloyd NV		11,563		193,720
ING Groep NV CVA †		79,880		571,270
Koninklijke Ahold NV		68,517		920,909
Koninklijke DSM NV		5,904		272,892
Koninklijke KPN NV		27,946		333,596
Unilever NV CVA		24,960		858,213
				5,087,944
Singapore - 0.6%
Ascendas Real Estate Investment Trust REIT		22,478		31,739
CapitaLand Ltd.		99,000		168,483
CapitaMall Trust REIT		34,494		45,163
DBS Group Holdings Ltd.		30,054		266,768
Genting Singapore PLC †(a)		73,000		84,942
Golden Agri-Resources Ltd.		354,000		195,052
Jardine Cycle & Carriage Ltd.		6,291		233,417
Keppel Corp. Ltd.		18,000		128,841
Oversea-Chinese Banking Corp. Ltd.		11,422		68,884
SembCorp Industries Ltd.		11,777		36,733

	SHARES		VALUE (Note 3)
Singapore - 0.6% (continued)
SembCorp Marine Ltd.		61,000	$	179,272
Singapore Airlines Ltd.		18,000		140,859
Singapore Exchange Ltd.		10,967		51,838
Singapore Technologies Engineering Ltd.		25,103		52,070
Singapore Telecommunications Ltd.		129,635		308,758
StarHub Ltd.		7,476		16,773
United Overseas Bank Ltd.		30,201		355,422
UOL Group Ltd.		10,340		31,851
Yangzijiang Shipbuilding Holdings Ltd.		24,404		17,080
				2,413,945
Spain - 1.3%
Acciona SA		4,976		427,660
Amadeus IT Holding SA, A Shares		34,957		564,493
Banco Bilbao Vizcaya Argentaria SA		68,218		587,644
Banco Santander SA		134,231		1,014,068
Endesa SA		14,781		302,558
Inditex SA		15,320		1,250,646
Repsol YPF SA (a)		28,033		857,678
Telefonica SA		20,829		358,845
				5,363,592
Sweden - 1.2%
Boliden AB		29,363		425,984
Investor AB, B Shares		9,034		168,021
Lundin Petroleum AB †		48,860		1,196,710
Nordea Bank AB		30,297		233,519
Sandvik AB		39,133		478,419
Skandinaviska Enskilda Banken AB, Class A		22,123		128,358
Swedbank AB		18,603		240,064
Swedish Match AB		23,242		823,313
Telefonaktiebolaget LM Ericsson, B Shares		90,528		918,010
TeliaSonera AB		34,247		232,057
				4,844,455
Switzerland - 3.5%
ABB Ltd. †		32,755		615,344
Compagnie Financiere Richemont SA, Class A		21,302		1,071,548
Nestle SA		75,867		4,356,551
Novartis AG		37,718		2,153,437
Panalpina Welttransport Holding AG †		2,228		227,356
Roche Holding AG		16,074		2,718,408
Sulzer AG		1,351		143,863
Swiss Life Holding AG †		3,509		321,384
Syngenta AG †		3,435		1,009,377
Synthes, Inc. (United States) 144A (c)		1,002		167,714
Transocean Ltd.		6,407		246,593
UBS AG †		76,957		912,917
				13,944,492
United Kingdom - 8.7%
Anglo American PLC		6,428		237,451
AstraZeneca PLC		44,835		2,071,019
Aviva PLC		41,784		194,351
BAE Systems PLC		39,696		175,409

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

40 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
United Kingdom - 8.7% (continued)
Barclays PLC		203,838	$	558,249
Berkeley Group Holdings PLC †		24,755		490,464
BG Group PLC		4,517		96,500
BHP Billiton PLC		35,178		1,028,453
BP PLC		305,475		2,175,987
British American Tobacco PLC		27,563		1,307,599
British Land Co. PLC REIT		13,261		95,179
British Sky Broadcasting Group PLC		34,200		389,104
BT Group PLC		180,206		534,164
Cairn Energy PLC †		23,881		98,182
Capital Shopping Centres Group PLC REIT		6,502		31,503
Eurasian Natural Resources Corp PLC		12,647		124,731
Ferrexpo PLC		81,780		341,376
GKN PLC		46,670		132,530
GlaxoSmithKline PLC		129,214		2,944,261
Glencore International PLC		14,355		87,650
Hammerson PLC REIT		10,329		57,679
HSBC Holdings PLC		339,032		2,588,186
Imperial Tobacco Group PLC		23,724		897,729
Inchcape PLC		44,795		203,806
Intermediate Capital Group PLC		172,658		612,990
ITV PLC		495,170		523,115
Kazakhmys PLC		12,715		183,589
Kesa Electricals PLC		80,984		84,843
Ladbrokes PLC		109,087		220,036
Land Securities Group PLC REIT		12,541		123,692
Legal & General Group PLC		454,004		725,533
Misys PLC †		51,333		185,110
Mondi PLC		40,119		283,387
National Grid PLC		41,526		401,381
Pearson PLC		20,882		391,928
Persimmon PLC		99,972		729,331
Prudential PLC		13,299		131,583
Randgold Resources Ltd.		1,514		154,789
Reed Elsevier PLC		20,306		163,466
Rentokil Initial PLC †		140,758		136,952
Resolution Ltd.		24,269		94,606
Rio Tinto PLC		23,550		1,150,336
Royal Bank of Scotland Group PLC †		2,904,920		915,653
Royal Dutch Shell PLC, A Shares		56,073		2,057,278
Royal Dutch Shell PLC, B Shares		69,242		2,633,819
Segro PLC REIT		13,080		42,353
Shire PLC		2,839		98,667
SSE PLC		18,098		362,273
Standard Life PLC		116,674		373,823
Tate & Lyle PLC		55,485		606,591
Tesco PLC		208,210		1,302,737
Tullow Oil PLC		14,217		308,910
Vodafone Group PLC		834,653		2,327,102
William Hill PLC		120,008		377,217
WM Morrison Supermarkets PLC		23,454		118,630
Wolseley PLC		11,597		383,574
				35,066,856
United States - 47.7% (1)
3M Co.		6,600		539,418
Abbott Laboratories		42,484		2,388,875

	SHARES		VALUE (Note 3)
United States - 47.7% (1) (continued)
Accenture PLC, Class A		7,574	$	403,164
ACE Ltd.		16,496		1,156,700
Aflac, Inc.		2,400		103,824
Alcoa, Inc.		30,000		259,500
Allstate Corp./The		10,000		274,100
Altria Group, Inc.		56,596		1,678,071
Ameren Corp.		13,100		434,003
American Eagle Outfitters, Inc.		56,300		860,827
American Electric Power Co., Inc.		9,100		375,921
American Financial Group, Inc.		33,825		1,247,804
Ameriprise Financial, Inc.		27,100		1,345,244
AmerisourceBergen Corp.		17,300		643,387
Amgen, Inc.		38,249		2,455,968
Annaly Capital Management, Inc. REIT		14,918		238,091
Apollo Group, Inc., Class A †		14,200		764,954
Apple, Inc. †		12,828		5,195,340
Applied Materials, Inc.		29,300		313,803
Archer-Daniels-Midland Co.		8,433		241,184
Assurant, Inc.		34,700		1,424,782
AT&T, Inc.		152,997		4,626,629
AvalonBay Communities, Inc. REIT		1,311		171,217
Baker Hughes, Inc.		3,100		150,784
Bank of America Corp.		116,538		647,951
Bank of New York Mellon Corp/The		9,200		183,172
Becton Dickinson and Co.		4,786		357,610
Bed Bath & Beyond, Inc. †		4,300		249,271
Berkshire Hathaway, Inc., Class B †		13,150		1,003,345
Best Buy Co., Inc.		32,400		757,188
Big Lots, Inc. †		7,500		283,200
Biogen Idec, Inc. †		5,300		583,265
BlackRock, Inc.		2,000		356,480
Boston Properties, Inc. REIT		1,463		145,715
Bristol-Myers Squibb Co.		23,832		839,840
Capella Education Co. †		1,600		57,680
Cardinal Health, Inc.		15,700		637,577
Career Education Corp. †		34,259		273,044
Caterpillar, Inc.		5,000		453,000
CBS Corp., Class B		16,700		453,238
CF Industries Holdings, Inc.		4,500		652,410
Chemed Corp.		380		19,460
Chevron Corp.		45,800		4,873,120
Chubb Corp/The		6,649		460,244
Cimarex Energy Co.		3,200		198,080
Cisco Systems, Inc.		108,489		1,961,481
Citigroup, Inc.		66,419		1,747,484
Coca-Cola Co./The		32,880		2,300,614
Colgate-Palmolive Co.		1,828		168,889
Comerica, Inc.		27,100		699,180
Commercial Metals Co.		1,600		22,128
Computer Sciences Corp.		11,831		280,395
ConAgra Foods, Inc.		46,074		1,216,354
ConocoPhillips		35,175		2,563,202
Convergys Corp. †		12,000		153,240
Corning, Inc.		10,400		134,992
Covance, Inc. †		9,600		438,912
CSX Corp.		19,594		412,650
CVS Caremark Corp.		29,700		1,211,166

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

AQR Funds Annual Report December 2011 41

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
United States - 47.7% (1) (continued)
Dell, Inc. †		67,000	$	980,210
Devon Energy Corp.		8,390		520,180
Diamond Offshore Drilling, Inc.		3,200		176,832
DIRECTV, Class A †		13,869		593,038
Discover Financial Services		69,000		1,656,000
DISH Network Corp., Class A		21,374		608,732
Dr Pepper Snapple Group, Inc.		26,432		1,043,535
DTE Energy Co.		17,400		947,430
Eastman Chemical Co.		13,200		515,592
Edison International		12,156		503,258
Eli Lilly & Co.		13,000		540,280
Entergy Corp.		13,700		1,000,785
Equity Residential REIT		4,548		259,372
Exelon Corp.		9,800		425,026
Exxon Mobil Corp.		92,789		7,864,796
FedEx Corp.		6,100		509,411
Fifth Third Bancorp		21,700		276,024
Fluor Corp.		4,600		231,150
Foot Locker, Inc.		16,900		402,896
Ford Motor Co. †		47,100		506,796
Forest Laboratories, Inc. †		7,786		235,604
Freeport-McMoRan Copper & Gold, Inc.		50,000		1,839,500
Gap, Inc./The		35,219		653,312
General Dynamics Corp.		12,938		859,213
General Electric Co.		206,102		3,691,287
Goldman Sachs Group, Inc./The		1,205		108,968
Google, Inc., Class A †		2,302		1,486,862
Guess?, Inc.		20,800		620,256
Harman International Industries, Inc.		7,000		266,280
Hartford Financial Services Group, Inc.		51,200		832,000
HCP, Inc. REIT		5,972		247,420
Health Care REIT, Inc. REIT		2,485		135,507
Health Net, Inc. †		20,100		611,442
Helix Energy Solutions Group, Inc. †		19,100		301,780
Hess Corp.		3,200		181,760
Hewlett-Packard Co.		21,352		550,028
Hill-Rom Holdings, Inc.		13,600		458,184
Home Depot, Inc./The		18,206		765,380
Honeywell International, Inc.		9,802		532,739
Host Hotels & Resorts, Inc. REIT		9,300		137,361
Humana, Inc.		17,000		1,489,370
Huntington Bancshares, Inc.		41,800		229,482
Ingersoll-Rand PLC		5,600		170,632
Intel Corp.		87,867		2,130,775
International Business Machines Corp.		17,023		3,130,189
International Paper Co.		13,200		390,720
ITT Corp.		1,900		36,727
ITT Educational Services, Inc. †		10,500		597,345
Johnson & Johnson		68,896		4,518,200
Jones Lang LaSalle, Inc.		6,800		416,568
JPMorgan Chase & Co.		101,873		3,387,277
KBR, Inc.		10,900		303,783
KeyCorp		199,700		1,535,693
Kimberly-Clark Corp.		25,563		1,880,414
Kimco Realty Corp. REIT		6,500		105,560
Kohl’s Corp.		10,200		503,370
Kraft Foods, Inc., Class A		5,321		198,793

	SHARES		VALUE (Note 3)
United States - 47.7% (1) (continued)
L-3 Communications Holdings, Inc.		21,653	$	1,443,822
Lexmark International, Inc., Class A		18,400		608,488
Lincoln National Corp.		9,700		188,374
Lockheed Martin Corp.		15,743		1,273,609
Loews Corp.		14,300		538,395
Lorillard, Inc.		1,000		114,000
Lowe’s Cos., Inc.		44,200		1,121,796
Ltd. Brands, Inc.		9,661		389,821
Macerich Co./The REIT		2,100		106,260
Macy’s, Inc.		32,600		1,049,068
Marathon Oil Corp.		48,229		1,411,663
McDermott International, Inc. †		32,200		370,622
McDonald’s Corp.		20,525		2,059,273
McKesson Corp.		2,700		210,357
Medco Health Solutions, Inc. †		11,921		666,384
Medtronic, Inc.		6,082		232,636
Merck & Co., Inc.		75,219		2,835,756
MGM Resorts International †		17,400		181,482
Microsoft Corp.		163,550		4,245,758
Monsanto Co.		2,600		182,182
Morgan Stanley		12,700		192,151
Motorola Solutions, Inc.		24,700		1,143,363
Murphy Oil Corp.		10,394		579,362
National Oilwell Varco, Inc.		3,300		224,367
Navistar International Corp. †		7,500		284,100
Newmont Mining Corp.		5,161		309,712
News Corp., Class A		83,900		1,496,776
Noble Energy, Inc.		2,300		217,097
Norfolk Southern Corp.		9,323		679,274
Northrop Grumman Corp.		35,479		2,074,812
Nucor Corp.		12,700		502,539
Occidental Petroleum Corp.		15,090		1,413,933
Omnicare, Inc.		55,000		1,894,750
Omnicom Group, Inc.		4,200		187,236
Oracle Corp.		52,386		1,343,701
Patriot Coal Corp. †		13,000		110,110
PDL BioPharma, Inc.		103,643		642,587
PepsiCo, Inc.		20,772		1,378,222
PetSmart, Inc.		1,554		79,705
Pfizer, Inc.		183,043		3,961,050
Philip Morris International, Inc.		43,493		3,413,331
Plum Creek Timber Co., Inc. REIT		2,131		77,909
PNC Financial Services Group, Inc.		22,500		1,297,575
Popular, Inc. †		214,400		298,016
Procter & Gamble Co./The		68,108		4,543,485
ProLogis, Inc. REIT		5,980		170,968
Protective Life Corp.		29,398		663,219
Public Storage REIT		1,669		224,414
PulteGroup, Inc. †		68,300		430,973
RadioShack Corp.		23,900		232,069
Rayonier, Inc. REIT		3,871		172,763
Raytheon Co.		13,067		632,181
Reinsurance Group of America, Inc.		5,500		287,375
Reynolds American, Inc.		18,374		761,051
Sara Lee Corp.		8,136		153,933
SEACOR Holdings, Inc. †		2,100		186,816
Sealed Air Corp.		9,599		165,199

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

42 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
United States - 47.7% (1) (continued)
Service Corp. International		57,000	$	607,050
Simon Property Group, Inc. REIT		4,342		559,857
Smithfield Foods, Inc. †		22,600		548,728
Southwest Airlines Co.		19,200		164,352
Sprint Nextel Corp. †		65,800		153,972
Starbucks Corp.		4,700		216,247
State Street Corp.		5,500		221,705
Steel Dynamics, Inc.		36,600		481,290
Target Corp.		26,300		1,347,086
TE Connectivity Ltd.		19,860		611,887
Tekelec †		15,100		165,043
Thomas & Betts Corp. †		914		49,904
Time Warner Cable, Inc.		5,300		336,921
Time Warner, Inc.		22,266		804,693
Timken Co.		5,833		225,795
Torchmark Corp.		9,300		403,527
Travelers Cos., Inc./The		35,301		2,088,760
Tyco International Ltd.		14,200		663,282
Tyson Foods, Inc., Class A		25,800		532,512
United Technologies Corp.		17,449		1,275,347
UnitedHealth Group, Inc.		15,000		760,200
Unum Group		38,309		807,171
URS Corp. †		22,000		772,640
Valero Energy Corp.		40,500		852,525
Ventas, Inc. REIT		2,400		132,312
Verizon Communications, Inc.		66,912		2,684,509
Viacom, Inc., Class B		6,637		301,386
Visa, Inc., Class A		7,500		761,475
Vishay Intertechnology, Inc. †		29,200		262,508
Vornado Realty Trust REIT		2,748		211,211
W&T Offshore, Inc.		10,900		231,189
Walgreen Co.		33,040		1,092,302
Wal-Mart Stores, Inc.		62,205		3,717,371
Warnaco Group, Inc./The †		1,700		85,068
Waste Management, Inc.		2,373		77,621
WellPoint, Inc.		26,191		1,735,154
Wells Fargo & Co.		88,670		2,443,745
Western Digital Corp. †		35,000		1,083,250
Weyerhaeuser Co. REIT		8,600		160,562
Whirlpool Corp.		3,500		166,075
Williams Cos., Inc./The		13,000		429,260
Wyndham Worldwide Corp.		7,544		285,390
Wynn Resorts Ltd.		2,000		220,980
				191,578,023
TOTAL COMMON STOCKS (cost $331,671,575)				359,242,365
PREFERRED STOCKS - 0.2%
Germany - 0.2%
Porsche Automobil Holding SE		10,215		545,329
ProSiebenSat.1 Media AG		8,908		162,308
Volkswagen AG		2,748		410,857
TOTAL PREFERRED STOCKS (cost $1,056,849)				1,118,494

	SHARES		VALUE (Note 3)
MONEY MARKET FUNDS - 8.0%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130% (d)(e)		910,611	$	910,611
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (d)		31,035,686		31,035,686
TOTAL MONEY MARKET FUNDS (cost $31,946,297)				31,946,297
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 1.7%
J.P. Morgan Prime Money Market Fund -
Capital Shares, 0.130% (d)(f) (cost $6,787,138)		6,787,138		6,787,138
TOTAL INVESTMENTS - 99.3% (cost $371,461,859)				399,094,294
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% (g)				2,690,107
NET ASSETS - 100.0%			$	401,784,401

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $6,517,796; cash collateral of $6,787,138 was received with which the Fund purchased a money market fund.

(b) Security fair valued at $0 as of December 31, 2011 using procedures approved by the Board of Trustees.

(c) 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.

(d) Represents annualized seven-day yield as of December 31, 2011.

(e) A portion of the security is pledged as collateral to the brokers for forward foreign exchange contracts.

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

(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).

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

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certificate of Shares

REIT - Real Estate Investment Trust

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

AQR Funds Annual Report December 2011 43

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	40,748,567		10.1	%
Consumer Staples		41,151,526		10.2
Energy		44,764,999		11.1
Financials		62,156,437		15.5
Health Care		46,625,305		11.6
Industrials		37,090,671		9.2
Information Technology		37,105,089		9.2
Materials		26,770,434		6.7

SECTOR	VALUE		% OF NET ASSETS
Telecommunication Services	$	16,357,624		4.1	%
Utilities		7,590,207		1.9
Money Market Funds		38,733,435		9.7
Total Investments		399,094,294		99.3
Other Assets in Excess of Liabilities (g)		2,690,107		0.7
Net Assets	$	401,784,401		100.0	%

Total return swap contract outstanding as of December 31, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Swiss Market Index Futures	3/16/2012	CHF		(2,316,393)		$(104,972)

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

Open futures contracts outstanding at December 31, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
455	CAC40 10 Euro Futures	January 20, 2012		$17,903,703		$18,641,115		$737,412
1	DAX Index Futures	March 16, 2012		186,954		190,902		3,948
347	FTSE 100 Index Futures	March 16, 2012		29,174,371		29,833,005		658,634
104	FTSE/MIB Index Futures	March 16, 2012		10,014,250		10,171,200		156,950
43	IBEX 35 Index Futures	January 20, 2012		4,590,097		4,717,127		127,030
9	MSCI Singapore Index Futures	January 30, 2012		423,817		416,746		(7,071)
71	S&P 500 E-Mini Futures	March 16, 2012		4,363,845		4,446,730		82,885
				66,657,037		68,416,825		1,759,788
Short Contracts:
12	Amsterdam Index Futures	January 20, 2012		$(916,340)		$(973,017)		$(56,677)
207	OMXS30 Index Futures	January 20, 2012		(2,865,438)		(2,974,738)		(109,300)
41	S&P/Toronto Stock Exchange 60 Index Futures	March 15, 2012		(5,388,974)		(5,464,521)		(75,547)
185	SPI 200 Index Futures	March 15, 2012		(19,788,373)		(19,011,678)		776,695
43	TOPIX Index Futures	March 8, 2012		(4,079,577)		(4,067,039)		12,538
				(33,038,702)		(32,490,993)		547,709
				$33,618,335		$35,925,832		$2,307,497

Cash held as collateral with broker for futures contracts was $5,583,765 at December 31, 2011.

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

44 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	AUD		7,300,000		$7,307,130		$7,402,131		$95,001
Canadian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	CAD		9,697,000		9,462,040		9,502,167		40,127
Swiss Franc, Expiring 03/21/12	The Royal Bank of Scotland	CHF		6,472,000		6,902,961		6,901,643		(1,318)
Danish Krone, Expiring 03/21/12	The Royal Bank of Scotland	DKK		260,000		46,183		45,311		(872)
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		2,377,000		3,095,512		3,078,573		(16,939)
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		40,162,000		62,647,021		62,324,574		(322,447)
Hong Kong Dollar, Expiring 03/21/12	The Royal Bank of Scotland	HKD		3,422,000		439,804		440,742		938
Israeli Shekel, Expiring 03/21/12	The Royal Bank of Scotland	ILS		4,389,000		1,163,510		1,150,189		(13,321)
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		315,076,000		4,054,623		4,099,316		44,693
Norwegian Krone, Expiring 03/21/12	The Royal Bank of Scotland	NOK		181,860,000		31,068,703		30,322,054		(746,649)
New Zealand Dollar, Expiring 03/21/12	The Royal Bank of Scotland	NZD		10,883,000		$8,217,438		$8,426,845		$209,407
Swedish Krona, Expiring 03/21/12	The Royal Bank of Scotland	SEK		242,859,000		35,363,480		35,164,059		(199,421)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		544,000		416,612		419,412		2,800
						170,185,017		169,277,016		(908,001)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	AUD		(5,589,000)		$(5,525,905)		$(5,667,193)		$(141,288)
Canadian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	CAD		(13,888,000)		(13,541,734)		(13,608,961)		(67,227)
Swiss Franc, Expiring 03/21/12	The Royal Bank of Scotland	CHF		(27,513,000)		(29,696,192)		(29,339,448)		356,744
Danish Krone, Expiring 03/21/12	The Royal Bank of Scotland	DKK		(4,511,000)		(805,694)		(786,143)		19,551
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		(53,136,000)		(69,851,495)		(68,819,124)		1,032,371
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		(2,809,000)		(4,369,861)		(4,359,089)		10,772
Hong Kong Dollar, Expiring 03/21/12	The Royal Bank of Scotland	HKD		(293,000)		(37,664)		(37,737)		(73)
Israeli Shekel, Expiring 03/21/12	The Royal Bank of Scotland	ILS		(58,000)		(15,321)		(15,200)		121
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		(2,897,786,000)		(37,252,150)		(37,701,824)		(449,674)

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

AQR Funds Annual Report December 2011 45

Schedule of Investments December 31, 2011

AQR GLOBAL EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone, Expiring 03/21/12	The Royal Bank of Scotland	NOK		(40,771,000)		$(6,815,293)		$(6,797,869)		$17,424
New Zealand Dollar, Expiring 03/21/12	The Royal Bank of Scotland	NZD		(4,209,000)		(3,232,933)		(3,259,082)		(26,149)
Swedish Krona, Expiring 03/21/12	The Royal Bank of Scotland	SEK		(14,127,000)		(2,025,196)		(2,045,478)		(20,282)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		(20,000)		(15,334)		(15,420)		(86)
						(173,184,772)		(172,452,568)		732,204
						$(2,999,755)		$(3,175,552)		$(175,797)

Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $910,611.

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.

46 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR INTERNATIONAL EQUITY FUND

COMMON STOCKS - 86.6%	SHARES		VALUE (Note 3)
Australia - 7.6%
AGL Energy Ltd.		22,459	$	328,616
Alumina Ltd.		85,028		97,345
Amcor Ltd.		28,354		208,732
Ansell Ltd. (a)		53,827		799,209
Asciano Ltd.		92,252		423,931
ASX Ltd.		5,817		181,576
Australia & New Zealand Banking Group Ltd.		61,472		1,287,525
Bendigo and Adelaide Bank Ltd.		28,235		231,094
BHP Billiton Ltd.		174,625		6,164,026
Caltex Australia Ltd.		85,269		1,023,881
CFS Retail Property Trust REIT		69,740		120,085
Commonwealth Bank of Australia (a)		59,000		2,963,653
Computershare Ltd.		15,439		126,198
CSL Ltd. (a)		23,476		765,384
CSR Ltd. (a)		50,104		100,316
Dexus Property Group REIT (a)		186,006		157,633
Downer EDI Ltd. †		222,310		725,650
Fortescue Metals Group Ltd. (a)		45,904		200,807
Goodman Group REIT		275,420		160,138
GPT Group - In Specie REIT (3)†(b)		143,427		—
GPT Group REIT (a)		79,625		249,567
Incitec Pivot Ltd.		209,634		665,502
Lend Lease Group		21,131		154,742
Mirvac Group REIT		133,089		160,350
Mount Gibson Iron Ltd.		91,914		105,042
National Australia Bank Ltd.		143,368		3,415,247
Newcrest Mining Ltd.		31,842		970,388
Nufarm Ltd. †		61,567		261,040
Origin Energy Ltd.		83,107		1,133,297
OZ Minerals Ltd.		11,735		120,040
Pacific Brands Ltd.		1,284,563		722,057
Paladin Energy Ltd. †		24,740		34,791
Qantas Airways Ltd. †		227,188		338,169
QBE Insurance Group Ltd.		5,873		77,726
QR National Ltd.		64,128		224,016
Rio Tinto Ltd. (a)		24,800		1,528,899
Santos Ltd.		63,385		793,236
Sonic Healthcare Ltd.		82,946		956,056
SP AusNet		558,015		535,491
Stockland REIT		108,979		356,012
Suncorp Group Ltd.		28,819		246,320
TABCORP Holdings Ltd. (a)		198,302		552,373
Tatts Group Ltd.		18,460		46,015
Telstra Corp. Ltd.		197,228		670,777
Wesfarmers Ltd.		21,915		660,162
Westfield Group REIT		96,725		771,710
Westfield Retail Trust REIT		109,594		279,300
Westpac Banking Corp. (a)		118,311		2,415,229
Woodside Petroleum Ltd.		4,852		151,883
Woolworths Ltd.		85,614		2,197,572
				36,858,808
Belgium - 0.4%
Anheuser-Busch InBev NV		7,392		451,158
Groupe Bruxelles Lambert SA		2,641		175,691
Solvay SA		17,514		1,437,817
				2,064,666

	SHARES		VALUE (Note 3)
Denmark - 1.6%
Carlsberg A/S, Class B		24,258	$	1,708,092
Danske Bank A/S †		31,768		401,420
DSV A/S		13,807		246,731
Novo Nordisk A/S, Class B		48,099		5,525,768
				7,882,011
Finland - 0.7%
Metso OYJ		51,246		1,892,670
Sampo OYJ, A Shares		16,756		414,478
UPM-Kymmene OYJ		33,428		366,326
Wartsila OYJ		25,720		739,777
				3,413,251
France - 7.8%
Alcatel-Lucent †(a)		479,720		745,495
Arkema SA		23,890		1,678,721
AXA SA		78,177		1,010,532
BNP Paribas SA		44,081		1,716,488
Bouygues SA (a)		5,418		170,400
Christian Dior SA		13,165		1,553,967
Cie Generale de Geophysique - Veritas †		108,050		2,508,055
Cie Generale d’Optique Essilor International SA		14,586		1,028,190
Compagnie de Saint-Gobain		41,017		1,567,905
Credit Agricole SA		59,088		331,057
European Aeronautic Defence and Space Co. NV		77,381		2,409,570
Faurecia		48,792		919,590
France Telecom SA		78,349		1,226,291
Hermes International		5,726		1,701,889
Klepierre REIT		3,675		104,418
Legrand SA		20,624		660,601
L’Oreal SA		10,722		1,116,694
LVMH Moet Hennessy Louis Vuitton SA		6,597		929,284
PPR		8,171		1,166,323
Safran SA		50,764		1,518,151
Sanofi		15,188		1,110,208
Schneider Electric SA		6,425		335,908
Societe BIC SA		7,961		704,291
Societe Generale SA		45,655		1,007,862
Thales SA		5,928		186,594
Total SA		120,598		6,153,861
Unibail-Rodamco SE REIT		3,619		647,704
Valeo SA		55,452		2,194,570
Vivendi SA		42,381		925,157
Zodiac Aerospace		6,731		568,625
				37,898,401
Germany - 6.7%
Adidas AG		15,045		977,520
Allianz SE		6,725		642,265
Aurubis AG		7,693		409,400
BASF SE		47,708		3,321,354
Bayer AG		82,372		5,260,558
Bayerische Motoren Werke AG		8,717		582,715
Bilfinger Berger SE		14,040		1,195,469
Daimler AG		40,399		1,769,820
Deutsche Boerse AG		5,256		293,008

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

AQR Funds Annual Report December 2011 47

Schedule of Investments December 31, 2011

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
Germany - 6.7% (continued)
Deutsche Post AG		29,931	$	460,166
Deutsche Telekom AG		104,618		1,200,061
Fresenius SE & Co. KGaA		4,600		425,371
GEA Group AG		37,411		1,056,149
Infineon Technologies AG		41,937		314,969
K+S AG		27,426		1,236,960
Kloeckner & Co. SE		31,926		408,639
Linde AG		7,752		1,152,044
Merck KGaA		22,921		2,282,569
SAP AG		78,031		4,127,188
Siemens AG		43,820		4,192,516
Software AG		31,167		1,149,039
Suedzucker AG		9,548		304,158
				32,761,938
Hong Kong - 2.5%
AIA Group Ltd.		368,400		1,146,801
ASM Pacific Technology Ltd.		6,404		71,726
BOC Hong Kong Holdings Ltd.		64,553		152,322
Cheung Kong Holdings Ltd.		110,278		1,308,160
Cheung Kong Infrastructure Holdings Ltd.		14,827		86,691
CLP Holdings Ltd.		53,509		454,606
Foxconn International Holdings Ltd. †		69,406		44,633
Hang Lung Group Ltd.		30,276		165,691
Hang Seng Bank Ltd. (a)		14,935		176,911
Hong Kong & China Gas Co., Ltd.		266,000		615,889
Hong Kong Exchanges and Clearing Ltd.		43,054		685,075
Hopewell Holdings Ltd.		103,500		264,375
Hutchison Whampoa Ltd.		155,832		1,300,393
Hysan Development Co., Ltd.		211,000		690,931
Li & Fung Ltd.		1,336		2,462
Lifestyle International Holdings Ltd.		20,500		45,123
Link REIT/The REIT (a)		100,382		369,174
Mongolia Energy Corp. Ltd. †		95,406		8,557
New World Development Co., Ltd.		154,896		124,372
NWS Holdings Ltd.		39,000		57,343
Orient Overseas International Ltd.		52,500		305,197
PCCW Ltd.		131,000		44,950
Power Assets Holdings Ltd.		114,000		842,920
Sands China Ltd. †		95,200		267,092
Shanghai Industrial Urban Development Group Ltd. †		8		1
Shangri-La Asia Ltd.		102,000		175,704
SJM Holdings Ltd.		56,000		90,874
Sun Hung Kai Properties Ltd.		70,046		875,359
Swire Pacific Ltd., Class A		31,530		379,891
Television Broadcasts Ltd.		50,403		305,217
Wharf Holdings Ltd.		67,243		303,110
Wheelock & Co., Ltd.		183,621		454,040
Wing Hang Bank Ltd.		16,500		134,992
Wynn Macau Ltd.		56,800		141,793
Yue Yuen Industrial Holdings Ltd.		29,109		91,858
				12,184,233
Italy - 1.6%
Assicurazioni Generali SpA		52,361		786,008
Banca Monte dei Paschi di Siena SpA		192,544		62,532
Enel SpA		355,437		1,441,914

	SHARES		VALUE (Note 3)
Italy - 1.6% (continued)
ENI SpA		196,048	$	4,042,046
Intesa Sanpaolo SpA		450,059		749,580
Parmalat Finanziaria SpA (3)†(b)		45,800		—
UniCredit SpA (a)		59,948		494,460
				7,576,540
Japan - 18.9%
Acom Co., Ltd. †		12,810		227,928
Aeon Co., Ltd. (a)		78,700		1,078,046
Aeon Mall Co., Ltd.		2,900		61,523
Ajinomoto Co., Inc.		48,000		576,218
Asahi Glass Co., Ltd.		413		3,453
Asahi Kasei Corp.		190,000		1,145,036
Brother Industries Ltd.		83,600		1,023,223
Canon, Inc. (a)		27,215		1,197,660
Central Japan Railway Co.		124		1,046,471
Chiba Bank Ltd./The		49,000		315,037
Chiyoda Corp.		49,000		497,491
Chubu Electric Power Co., Inc.		18,797		351,747
Cosmo Oil Co., Ltd.		248,000		692,246
Credit Saison Co., Ltd.		44,612		890,947
Daicel Corp.		193,000		1,172,302
Daido Steel Co., Ltd.		148,000		923,947
Daihatsu Motor Co., Ltd.		58,000		1,031,403
Dai-ichi Life Insurance Co., Ltd./The		288		282,729
Daito Trust Construction Co., Ltd.		2,787		238,641
Daiwa House Industry Co., Ltd.		17,295		206,756
Dena Co., Ltd.		42,300		1,267,157
DIC Corp.		125,000		226,623
East Japan Railway Co.		7,813		497,988
Ebara Corp.		233,000		799,612
Elpida Memory, Inc. †(a)		105,200		486,717
FamilyMart Co., Ltd.		7,200		290,757
FANUC Corp.		2,800		427,090
Fuji Heavy Industries Ltd.		101,721		610,104
Fuji Media Holdings, Inc.		221		334,133
FUJIFILM Holdings Corp.		43		1,014
Fujitsu Ltd.		210,000		1,088,839
Fukuoka Financial Group, Inc.		164,046		687,327
Hino Motors Ltd.		161,000		974,829
Hitachi High-Technologies Corp.		13,800		298,947
Hitachi Ltd.		169,000		879,133
Honda Motor Co., Ltd.		20,797		633,495
Idemitsu Kosan Co., Ltd.		6,400		659,565
IHI Corp.		432,000		1,047,369
Inpex Corp.		172		1,082,951
Isuzu Motors Ltd.		311,000		1,431,701
ITOCHU Corp.		184,044		1,866,107
Japan Petroleum Exploration Co.		5,900		230,232
Japan Prime Realty Investment Corp. REIT		21		49,350
Japan Real Estate Investment Corp. REIT		17		132,356
Japan Retail Fund Investment Corp. REIT		48		71,005
Japan Tobacco, Inc.		363		1,707,013
JGC Corp.		72,000		1,728,625
JS Group Corp.		45,300		868,215
JTEKT Corp.		122,570		1,197,906
JX Holdings, Inc.		84,695		511,100

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

48 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
Japan - 18.9% (continued)
Kaneka Corp.		82,625	$	438,457
Kansai Electric Power Co., Inc./The		41,832		642,588
Kao Corp.		7,085		193,321
Kawasaki Kisen Kaisha Ltd.		141,000		253,893
KDDI Corp.		315		2,023,026
Kinden Corp.		70,564		594,862
Kobe Steel Ltd.		639,000		987,587
Komatsu Ltd.		38		886
Konica Minolta Holdings, Inc.		95,500		710,118
Kuraray Co., Ltd.		65,000		922,458
Lawson, Inc.		5,500		342,680
Marubeni Corp.		96,974		590,260
Maruichi Steel Tube Ltd.		23,400		520,381
Miraca Holdings, Inc.		25,606		1,020,847
Mitsubishi Chemical Holdings Corp.		147,000		805,624
Mitsubishi Corp.		19,100		384,956
Mitsubishi Electric Corp.		229,000		2,194,699
Mitsubishi Estate Co., Ltd.		56,020		835,337
Mitsubishi Heavy Industries, Ltd.		161,000		683,800
Mitsubishi UFJ Financial Group, Inc.		503,291		2,130,673
Mitsui & Co., Ltd.		156,743		2,429,398
Mitsui Chemicals, Inc.		195,000		592,083
Mitsui Fudosan Co., Ltd.		35,205		513,349
Mitsumi Electric Co., Ltd.		34,989		259,124
Mizuho Financial Group, Inc.		148,210		200,693
Namco Bandai Holdings, Inc.		62,600		888,453
NHK Spring Co., Ltd.		83,000		733,577
Nikon Corp.		18,300		405,538
Nippon Building Fund, Inc. REIT		19		155,495
Nippon Electric Glass Co., Ltd.		71,000		698,941
Nippon Kayaku Co., Ltd.		31,000		298,093
Nippon Meat Packers, Inc.		42,000		520,437
Nippon Sheet Glass Co., Ltd.		282,000		525,558
Nippon Telegraph & Telephone Corp.		19,019		968,256
Nishi-Nippon City Bank Ltd./The		97,737		280,351
Nisshin Seifun Group, Inc.		84		1,017
Nisshin Steel Co., Ltd.		147,000		224,916
Nitto Denko Corp.		34,583		1,230,131
Nomura Real Estate Holdings, Inc.		3,300		48,967
Nomura Real Estate Office Fund, Inc. REIT		10		51,320
NSK Ltd.		35,000		226,074
NTN Corp.		19,000		76,213
NTT DoCoMo, Inc.		1,043		1,914,969
ORIX Corp.		4,549		375,026
Osaka Gas Co., Ltd.		323,802		1,279,309
Pacific Metals Co., Ltd.		107,000		517,157
Rengo Co., Ltd.		24,299		169,443
Resona Holdings, Inc.		54,800		241,230
Sankyo Co., Ltd.		4,100		207,285
Sapporo Hokuyo Holdings, Inc.		55,600		198,838
SBI Holdings, Inc.		600		43,803
Sega Sammy Holdings, Inc.		82,800		1,788,759
Seino Holdings Corp.		68,837		532,309
Sekisui Chemical Co., Ltd.		109,000		897,897
Sekisui House Ltd.		26,000		231,046
Seven & I Holdings Co., Ltd.		62,339		1,737,370

	SHARES		VALUE (Note 3)
Japan - 18.9% (continued)
Shionogi & Co. Ltd.		23,900	$	306,601
Showa Shell Sekiyu KK (a)		69,800		469,314
Softbank Corp.		29,900		878,105
Sojitz Corp.		62		96
Sony Corp.		71		1,280
Sumitomo Heavy Industries Ltd.		200,000		1,167,259
Sumitomo Metal Industries Ltd.		123,000		223,068
Sumitomo Mitsui Financial Group, Inc.		36,236		1,004,925
Sumitomo Mitsui Trust Holdings, Inc.		341		1,000
Sumitomo Realty & Development Co., Ltd.		13,261		231,699
T&D Holdings, Inc.		38,800		361,264
Taisei Corp.		426,000		1,079,846
Takeda Pharmaceutical Co., Ltd.		36,081		1,584,876
THK Co., Ltd.		40,200		791,849
Toho Co., Ltd.		4,000		71,232
Tohoku Electric Power Co., Inc.		15,700		150,837
Tokai Rika Co., Ltd.		7,799		119,096
Tokyo Electric Power Co., Inc./The †		62,373		149,685
Tokyo Electron Ltd.		13,900		704,280
Tokyo Gas Co., Ltd.		71		327
Tokyo Tatemono Co., Ltd. (a)		14,000		42,182
Tokyu Corp.		52,000		256,078
Tokyu Land Corp.		26,483		99,937
TonenGeneral Sekiyu KK (a)		38,000		414,343
Tosoh Corp.		179,000		475,671
Toyo Suisan Kaisha Ltd.		11,000		266,197
Toyota Motor Corp.		78,079		2,581,836
Ube Industries Ltd.		388,000		1,060,519
UNY Co., Ltd.		52,800		474,975
USS Co., Ltd.		16,584		1,498,837
West Japan Railway Co.		9,200		399,753
Yamada Denki Co., Ltd.		24,050		1,638,267
Yamaha Motor Co., Ltd.		74,500		942,252
Yamatake Corp.		7,537		163,795
				92,400,223
Netherlands - 2.9%
ASML Holding NV		122,478		5,116,086
Corio NV REIT		2,174		94,136
Delta Lloyd NV		40,175		673,068
ING Groep NV CVA †		159,010		1,137,176
Koninklijke Ahold NV		156,082		2,097,835
Koninklijke DSM NV		15,145		700,024
Koninklijke KPN NV		206,778		2,468,343
Unilever NV CVA		59,667		2,051,563
				14,338,231
Singapore - 1.4%
Ascendas Real Estate Investment Trust REIT		80,637		113,861
CapitaLand Ltd.		197,000		335,264
CapitaMall Trust REIT		71,994		94,261
Cosco Corp. Singapore Ltd. (a)		580,000		390,318
DBS Group Holdings Ltd.		77,128		684,610
Fraser and Neave Ltd.		106,000		506,018
Genting Singapore PLC †(a)		628,000		730,738
Golden Agri-Resources Ltd.		905,000		498,649

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

AQR Funds Annual Report December 2011 49

Schedule of Investments December 31, 2011

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
Singapore - 1.4% (continued)
Jardine Cycle & Carriage Ltd.		15,066	$	559,000
Keppel Corp. Ltd.		41,728		298,682
Oversea-Chinese Banking Corp. Ltd.		21,479		129,537
SembCorp Industries Ltd.		32,017		99,863
Singapore Airlines Ltd.		27,000		211,289
Singapore Exchange Ltd.		29,472		139,305
Singapore Press Holdings Ltd.		45,000		127,910
Singapore Technologies Engineering Ltd.		63,265		131,227
Singapore Telecommunications Ltd.		351,524		837,242
StarHub Ltd.		23,988		53,820
United Overseas Bank Ltd.		68,097		801,403
UOL Group Ltd.		18,000		55,446
Yangzijiang Shipbuilding Holdings Ltd.		63,319		44,316
				6,842,759
Spain - 3.2%
Acciona SA		7,635		656,186
Amadeus IT Holding SA, A Shares		95,131		1,536,195
Banco Bilbao Vizcaya Argentaria SA		196,454		1,692,294
Banco Santander SA		424,844		3,209,548
Endesa SA		56,918		1,165,076
Inditex SA		38,099		3,110,208
Repsol YPF SA (a)		103,109		3,154,650
Telefonica SA		57,668		993,513
				15,517,670
Sweden - 2.9%
Atlas Copco AB, A Shares		15,690		336,182
Boliden AB		74,676		1,083,363
Getinge AB, B Shares		18,745		473,999
Investor AB, B Shares		19,364		360,146
Lundin Petroleum AB †		116,880		2,862,698
NCC AB, Class B		19,576		342,917
Nordea Bank AB		121,593		937,195
Sandvik AB		139,873		1,710,013
Scania AB, B Shares		28,826		425,505
Skandinaviska Enskilda Banken AB, Class A		143,341		831,666
Swedbank AB		53,455		689,816
Swedish Match AB		41,164		1,458,174
Telefonaktiebolaget LM Ericsson, B Shares		196,839		1,996,068
TeliaSonera AB		90,089		610,442
				14,118,184
Switzerland - 8.0%
ABB Ltd. †		83,894		1,576,055
Compagnie Financiere Richemont SA, Class A		69,122		3,477,024
Nestle SA		176,041		10,108,895
Novartis AG		112,540		6,425,256
Roche Holding AG		52,104		8,811,742
Sulzer AG		7,563		805,355
Swiss Life Holding AG †		10,426		954,901
Swisscom AG		843		318,846
Syngenta AG †		13,101		3,849,736
Synthes, Inc. (United States) 144A (c)		2,591		433,681
Transocean Ltd.		11,824		455,083

	SHARES		VALUE (Note 3)
Switzerland - 8.0% (continued)
UBS AG †		140,294	$	1,664,264
				38,880,838
United Kingdom - 20.4%
Anglo American PLC		17,662		652,437
AstraZeneca PLC		161,783		7,473,084
Aviva PLC		124,093		577,198
Babcock International Group PLC		20,635		235,417
BAE Systems PLC		93,248		412,046
Berkeley Group Holdings PLC †		40,037		793,243
BG Group PLC		34,458		736,148
BHP Billiton PLC		97,117		2,839,282
BP PLC		998,678		7,113,872
British American Tobacco PLC		64,385		3,054,449
British Land Co. PLC REIT		29,205		209,615
BT Group PLC		240,564		713,076
Cairn Energy PLC †		56,625		232,802
Cookson Group PLC		33,568		264,931
Drax Group PLC		64,147		542,530
easyJet PLC †		51,296		311,986
Eurasian Natural Resources Corp PLC		57,584		567,921
Experian PLC		124,392		1,690,805
Ferrexpo PLC		143,901		600,688
GKN PLC		679,063		1,928,348
GlaxoSmithKline PLC		346,273		7,890,152
Glencore International PLC		35,733		218,183
Hammerson PLC REIT		28,872		161,225
Home Retail Group plc		192,174		247,726
HSBC Holdings PLC		509,333		3,888,272
Imperial Tobacco Group PLC		60,782		2,300,023
Inchcape PLC		145,688		662,843
Intermediate Capital Group PLC		306,321		1,087,536
Investec PLC		60,893		320,459
ITV PLC		1,312,343		1,386,406
Kazakhmys PLC		108,062		1,560,286
Kesa Electricals PLC		308,926		323,648
Ladbrokes PLC		329,851		665,331
Land Securities Group PLC REIT		24,126		237,954
Legal & General Group PLC		832,979		1,331,164
Lloyds Banking Group PLC †		3,765,916		1,512,694
Misys PLC †		215,424		776,831
Mondi PLC		268,609		1,897,361
National Grid PLC		69,697		673,676
Pearson PLC		54,048		1,014,410
Persimmon PLC		270,264		1,971,671
Prudential PLC		8,343		82,547
Randgold Resources Ltd.		3,761		384,520
Reed Elsevier PLC		49,673		399,873
Rentokil Initial PLC †		629,339		612,321
Resolution Ltd.		60,324		235,157
Rio Tinto PLC		65,621		3,205,360
Royal Bank of Scotland Group PLC †		6,438,979		2,029,616
Royal Dutch Shell PLC, A Shares		162,255		5,953,021
Royal Dutch Shell PLC, B Shares		230,716		8,775,948
Sage Group PLC/The		139,260		636,330
Segro PLC REIT		49,428		160,047
SSE PLC		124,542		2,492,995
Tate & Lyle PLC		115,956		1,267,692

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

50 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
United Kingdom - 20.4% (continued)
Tesco PLC		621,574	$	3,889,089
TUI Travel PLC		133,608		344,617
Tullow Oil PLC		33,537		728,698
Vedanta Resources PLC		24,161		381,197
Vodafone Group PLC		2,016,778		5,622,993
William Hill PLC		86,074		270,554
Wolseley PLC		29,720		982,996
				99,533,300
TOTAL COMMON STOCKS (cost $432,335,070)				422,271,053
PREFERRED STOCKS - 0.6%
Germany - 0.6%
Porsche Automobil Holding SE		26,333		1,405,789
ProSiebenSat.1 Media AG		25,049		456,404
Volkswagen AG		6,683		999,184
				2,861,377
Switzerland - 0.0% (d)
Schindler Holding AG		613		71,255
TOTAL PREFERRED STOCKS (cost $2,685,925)				2,932,632
MONEY MARKET FUNDS - 9.7%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130% (e)(f)		3,821,179		3,821,179
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (e)		43,579,548		43,579,548
TOTAL MONEY MARKET FUNDS (cost $47,400,727)				47,400,727
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.7%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130% (e)(g) (cost $13,302,060)		13,302,060		13,302,060
TOTAL INVESTMENTS - 99.6% (cost $495,723,782)				485,906,472
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% (h)				2,170,903
NET ASSETS - 100.0%			$	488,077,375

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $12,763,613; cash collateral of $13,302,060 was received with which the Fund purchased a money market fund.

(b) Security fair valued at $0 as of December 31, 2011 using procedures approved by the Board of Trustees.

(c) 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.

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

(e) Represents annualized seven-day yield as of December 31, 2011.

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

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

(h) 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.

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

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certificate of Shares

REIT - Real Estate Investment Trust

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	51,157,365		10.5	%
Consumer Staples		40,352,234		8.3
Energy		49,922,279		10.2
Financials		65,707,686		13.5
Health Care		52,573,550		10.8
Industrials		56,391,618		11.6
Information Technology		25,419,705		5.2
Materials		49,798,299		10.2
Telecommunication Services		21,469,867		4.4
Utilities		12,411,082		2.5
Money Market Funds		60,702,787		12.4
Total Investments		485,906,472		99.6
Other Assets in Excess of Liabilities (h)		2,170,903		0.4
Net Assets	$	488,077,375		100.0	%

Total return swap contract outstanding as of December 31, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Swiss Market Index Futures	3/16/2012	CHF		(18,079,168)		$(819,294)

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

AQR Funds Annual Report December 2011 51

Schedule of Investments December 31, 2011

AQR INTERNATIONAL EQUITY FUND

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

Open futures contracts outstanding at December 31, 2011:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
836	CAC40 10 Euro Futures	January 20, 2012		$32,794,077		$34,250,488		$1,456,411
4	DAX Index Futures	March 16, 2012		747,816		763,608		15,792
616	FTSE 100 Index Futures	March 16, 2012		51,728,432		52,960,031		1,231,599
188	FTSE/MIB Index Futures	March 16, 2012		18,079,819		18,386,400		306,581
70	IBEX 35 Index Futures	January 20, 2012		7,452,965		7,679,045		226,080
27	MSCI Singapore Index Futures	January 30, 2012		1,271,653		1,250,237		(21,416)
85	TOPIX Index Futures	March 8, 2012		8,169,868		8,039,496		(130,372)
				120,244,630		123,329,305		3,084,675
Short Contracts:
44	Amsterdam Index Futures	January 20, 2012		(3,359,913)		(3,567,729)		(207,816)
37	Hang Seng Index Futures	January 30, 2012		(4,430,368)		(4,396,210)		34,158
594	OMXS30 Index Futures	January 20, 2012		(8,222,551)		(8,536,207)		(313,656)
335	SPI 200 Index Futures	March 15, 2012		(35,875,333)		(34,426,552)		1,448,781
				(51,888,165)		(50,926,698)		961,467
				$68,356,465		$72,402,607		$4,046,142

Cash held as collateral with broker for futures contracts was $10,142,877 at December 31, 2011.

Forward foreign currency exchange contracts outstanding as of December 31, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	AUD		15,673,000		$15,649,703		$15,892,275		$242,572
Swiss Franc, Expiring 03/21/12	The Royal Bank of Scotland	CHF		7,729,000		8,243,554		8,242,089		(1,465)
Danish Krone, Expiring 03/21/12	The Royal Bank of Scotland	DKK		581,000		102,912		101,252		(1,660)
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		6,826,000		8,909,774		8,840,698		(69,076)
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		72,943,300		113,751,534		113,195,560		(555,974)
Hong Kong Dollar, Expiring 03/21/12	The Royal Bank of Scotland	HKD		12,741,000		1,637,490		1,641,000		3,510
Israeli Shekel, Expiring 03/21/12	The Royal Bank of Scotland	ILS		12,828,000		3,400,536		3,361,728		(38,808)
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		630,892,000		8,119,501		8,208,259		88,758
Norwegian Krone, Expiring 03/21/12	The Royal Bank of Scotland	NOK		282,847,000		48,321,135		47,159,914		(1,161,221)
New Zealand Dollar, Expiring 03/21/12	The Royal Bank of Scotland	NZD		13,222,000		10,016,918		10,237,962		221,044
Swedish Krona, Expiring 03/21/12	The Royal Bank of Scotland	SEK		375,908,000		54,715,191		54,428,500		(286,691)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		1,810,300		1,386,185		1,395,703		9,518
						274,254,433		272,704,940		(1,549,493)

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

52 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR INTERNATIONAL EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	AUD		(14,379,900)		$(14,241,470)		$(14,581,083)		$(339,613)
Swiss Franc, Expiring 03/21/12	The Royal Bank of Scotland	CHF		(42,067,800)		(45,397,399)		(44,860,468)		536,931
Danish Krone, Expiring 03/21/12	The Royal Bank of Scotland	DKK		(16,367,000)		(2,923,894)		(2,852,317)		71,577
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		(80,479,600)		(105,749,247)		(104,233,205)		1,516,042
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		(4,149,000)		(6,449,162)		(6,438,540)		10,622
Hong Kong Dollar, Expiring 03/21/12	The Royal Bank of Scotland	HKD		(1,385,000)		(177,979)		(178,384)		(405)
Israeli Shekel, Expiring 03/21/12	The Royal Bank of Scotland	ILS		(344,000)		(90,871)		(90,149)		722
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		(5,027,782,200)		(64,636,337)		(65,414,272)		(777,935)
Norwegian Krone, Expiring 03/21/12	The Royal Bank of Scotland	NOK		(72,254,000)		(12,076,623)		(12,047,122)		29,501
Swedish Krona, Expiring 03/21/12	The Royal Bank of Scotland	SEK		(3,489,000)		(505,144)		(505,180)		(36)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		(143,000)		(109,688)		(110,249)		(561)
						(252,357,814)		(251,310,969)		1,046,845
						$21,896,619		$21,393,971		$(502,648)

Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $3,821,179.

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

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

AQR Funds Annual Report December 2011 53

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

LONG INVESTMENTS - 121.5%	SHARES		VALUE (Note 3)
COMMON STOCKS - 54.8%
Consumer Discretionary - 3.2%
99 Cents Only Stores †		1,087,339	$	23,867,091
AMC Networks, Inc., Class A †		116,903		4,393,215
China Century Dragon Media, Inc. (3)†(a)(b)		150,272		150
China Networks International Holdings Ltd. (3)†(a)		2,287,278		11,436
Cumulus Media, Inc., Class A †		33,276		111,142
Emmis Communications Corp., Class A †		305,531		201,620
Express, Inc. †		97,205		1,938,268
Jakks Pacific, Inc.		562,893		7,942,420
Lennar Corp. B Shares, Class B		87,399		1,361,677
Little Sheep Group Ltd. (China) (2)		12,885,344		10,659,813
McCormick & Schmick’s Seafood Restaurants, Inc. †		665,110		5,813,061
Morton’s Resturant Group, Inc. †		570,490		3,924,971
Talbots, Inc. †		717,099		1,907,483
TripAdvisor, Inc. †		124,027		3,126,721
Viacom, Inc., Class B		71,249		3,235,417
				68,494,485
Consumer Staples - 0.9%
Celsius Holdings, Inc. †		161,622		33,941
Central Garden and Pet Co. †		675,146		5,509,191
Embotelladora Andina SA, Class A ADR (Chile)		3,000		61,710
Green Mountain Coffee Roasters, Inc. †		31,981		1,434,348
Molson Coors Brewing Co., Class B		2,626		114,336
Susser Holdings Corp. †		65,412		1,479,619
Winn-Dixie Stores, Inc. †		995,996		9,342,443
				17,975,588
Energy - 7.5%
Complete Production Services, Inc. †		725,760		24,356,506
Compton Petroleum Corp. (Canada) †		239,381		1,017,369
GreenHouse Holdings, Inc. †		92,130		6,449
Gulf United Energy, Inc. †		1,959,798		431,156
Mission NewEnergy Ltd. (Australia) †		20,132		45,700
Royal Dutch Shell PLC, Class A ADR (Netherlands)		742,443		54,265,159
Sevan Marine ASA (Norway) †		90,199		124,910
Southern Union Co.		786,673		33,126,800
Superior Energy Services, Inc. †		19,200		546,048
SV Unsecured Ltd. (Cayman Islands) †		360		498
TGC Industries, Inc. †		70,249		501,578
Venoco, Inc. †		643,177		4,354,308
Williams Cos., Inc./The		1,169,061		38,602,394
				157,378,875
Financials - 11.5%
Australia Acquisition Corp. (Australia) (2)†		612,000		5,997,600
Azteca Acquisition Corp. (2)†		800,000		8,000,000
Bancorp Rhode Island, Inc.		112,282		4,947,567
BBCN Bancorp, Inc. †		2,997		28,322
Blue Wolf Mongolia Holdings Corp. (2)†		526,500		5,265,000

	SHARES		VALUE (Note 3)
Financials - 11.5% (continued)
Cazador Acquisition Corp. Ltd. (Cayman Islands) (2)†		306,257	$	2,995,193
China Growth Equity Investment Ltd. (Cayman Islands) (2)†		395,000		3,890,750
China VantagePoint Acquisition Co. (2)†		199,098		1,178,660
Delphi Financial Group, Inc., Class A		270,652		11,989,884
Empeiria Acquisition Corp. (2)†		680,000		6,806,800
European CleanTech SE, Class A (Luxembourg) (2)†		621,000		7,837,968
FlatWorld Acquisition Corp. (Virgin Islands, British) (2)†		219,450		2,157,193
General American Investors Co., Inc.		7,047		175,541
General Growth Properties, Inc. REIT		95,138		1,428,973
Global Cornerstone Holdings Ltd. (2)†		632,000		6,320,000
Global Eagle Acquisition Corp. (2)†		1,382,500		13,755,875
Harleysville Group, Inc.		280,616		15,874,447
Herald National Bank †		120,341		422,397
Hicks Acquisition Co. II, Inc. (2)†		810,000		7,832,700
IFM Investments Ltd. ADR (China) †		10,475		3,352
Italy1 Investment SA (Luxembourg) (2)†		590,301		7,493,472
Janus Capital Group, Inc.		2,500		15,775
JWC Acquisition Corp. (2)†		1,032,750		10,069,312
Kennedy-Wilson Holdings, Inc.		66,959		708,426
L&L Acquisition Corp. (2)†		306,000		3,023,280
Loews Corp.		7,700		289,905
Lone Oak Acquisition Corp. (Hong Kong) (2)†		328,820		2,548,355
Nautilus Marine Acquisition Corp. (Greece) (2)†		777,600		7,449,408
NYSE Euronext		233,938		6,105,782
Parkvale Financial Corp.		230,039		5,654,359
Patriot National Bank ADR (3)†(a)		2,000,000		1,754,400
PMI Group, Inc./The †		263		7
Prime Acquisition Corp. (China) (2)†		423,935		4,040,101
Primerica, Inc.		116,000		2,695,840
Retail Opportunity Investments Corp. REIT		221,168		2,618,629
RLJ Acquisition, Inc. (2)†		974,044		9,282,639
Santa Monica Media Corp. (3)†(a)		15,377		—
SCG Financial Acquistion Corp. (2)†		631,210		6,248,979
Selway Capital Acquisition Corp., Class A (2)†		414,792		3,992,373
Solar Senior Capital Ltd.		175		2,756
SP Acquisition Holdings, Inc. (3)†(a)		27,000		—
State Bancorp, Inc.		341,430		4,165,446
SWS Group, Inc.		134,338		922,902
TMX Group, Inc. (Canada)		239,750		9,811,217
Tower Bancorp, Inc.		466,051		13,301,096
Transatlantic Holdings, Inc.		410,490		22,466,118
Trian Acquisition I Corp. (3)†(a)		15,200		—
Trio Merger Corp. (2)†		456,000		4,377,600
Universal Business Payment Solutions Acquisition Corp. (2)†		947,052		5,634,959
Wells Fargo & Co.		190		5,236
				241,586,594
Health Care - 5.9%
Acadia Healthcare Co., Inc. †		79,000		787,630

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

54 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Health Care - 5.9% (continued)
Access Pharmaceuticals, Inc. †(b)		228,024	$	328,355
American Dental Partners, Inc. †(b)		681,164		12,826,318
Amgen, Inc.		49,600		3,184,816
Antares Pharma, Inc. †(b)		365,000		803,000
Ariad Pharmaceuticals, Inc. †		236,000		2,891,000
AVI BioPharma, Inc. †		376,250		280,306
Cormedix, Inc. †		144,641		40,485
CryoPort, Inc. †		412,654		280,605
Delcath Systems, Inc. †		75,000		228,750
Exact Sciences Corp. †		329,345		2,674,281
Forest Laboratories, Inc. (3)†(a)		335,833		319,041
Healthspring, Inc. †		479,147		26,132,677
Indevus Pharmaceuticals, Inc. (3)†(a)		6,006		—
InspireMD, Inc. (United Kingdom) (3)†(a)(b)		135,823		296,094
ISTA Pharmaceuticals, Inc. †		173,218		1,221,187
Kips Bay Medical, Inc. †		85,121		108,955
MannKind Corp. †		7		18
Medco Health Solutions, Inc. †		387,656		21,669,970
Neostem, Inc. †		324,000		164,268
Pacira Pharmaceuticals, Inc. †		129,165		1,117,277
Pharmasset, Inc. †		165,544		21,222,741
PharMerica Corp. †		412,562		6,262,691
Provectus Pharmaceuticals, Inc. †		706,665		572,399
Rosetta Genomics Ltd. (Israel) †		261,279		47,030
SonoSite, Inc. †		277,890		14,967,156
Synovis Life Technologies, Inc. †		194,898		5,424,011
Unilife Corp. †		83,957		261,946
				124,113,007
Industrials - 3.9%
Allied Defense Group, Inc./The †(b)(2)		190,011		598,535
Barnes Group, Inc.		374		9,017
Broadwind Energy, Inc. †		410,000		278,800
China Dredging Group Co., Ltd. ADR (China) (2)†		1,000,000		5,000,000
China Electric Motor, Inc. (China) †		2,400		192
Dollar Thrifty Automotive Group, Inc. †		149,296		10,489,537
Goodrich Corp.		224,236		27,737,993
HEICO Corp., Class A		224,069		8,817,115
Huntington Ingalls Industries, Inc. †		19,129		598,355
Kratos Defense & Security Solutions, Inc. †		67,232		401,375
RSC Holdings, Inc. †		1,223,532		22,635,342
Sapphire Industry Corp. (3)†(a)		25,025		—
TNT Express NV (Netherlands) (2)		304,208		2,265,732
WCA Waste Corp. †		556,186		3,620,771
				82,452,764
Information Technology - 11.5%
Advanced Analogic Technologies, Inc. †		1,705,108		9,855,524
Bankrate, Inc. †		106,561		2,291,061
Blue Coat Systems, Inc. †		747,584		19,026,013
DemandTec, Inc. †		630,492		8,303,580
Equinix, Inc. †		7,162		726,227
Fundtech Ltd. (Israel) (3)(a)		372,242		8,684,406
Gerber Scientific, Inc. (3)†(a)		879,944		—

	SHARES		VALUE (Note 3)
Information Technology - 11.5% (continued)
Identive Group, Inc. †(c)		158,000	$	352,340
Intel Corp.		8,120		196,910
INX, Inc. †		455,987		3,989,886
LoopNet, Inc. †		1,069,724		19,554,555
Magic Software Enterprises Ltd. (Israel) †		238,075		1,230,848
Magma Design Automation, Inc. †		1,938,220		13,916,420
Mentor Graphics Corp. †		111,827		1,516,374
Micron Technology, Inc. †		31,163		196,015
Molex, Inc., Class A		126,649		2,505,117
Motorola Mobility Holdings, Inc. †		603,420		23,412,696
Neonode, Inc. †		155,625		739,219
Netlogic Microsystems, Inc. †		540,199		26,777,664
Novellus Systems, Inc. †		347,293		14,339,728
Orckit Communications Ltd. (Israel) †		15,174		15,326
Pinnacle Data Systems, Inc. †		68,723		163,561
Procera Networks, Inc. †		51,800		807,044
RightNow Technologies, Inc. †		537,675		22,974,853
S1 Corp. †		1,980,902		18,957,232
Shanda Interactive Entertainment Ltd. ADR (Cayman Islands) †		302,697		12,110,907
SinoHub, Inc. (China) †		577,161		220,879
SouthPeak Interactive Corp. (3)†(a)		1,500,000		22,650
SuccessFactors, Inc. †		704,122		28,073,344
Tekelec †		41,318		451,606
Telestone Technologies Corp. (China) †(c)		115,818		481,803
Trunkbow International Holdings Ltd. (China) †		142,819		285,638
Uni-Pixel, Inc. †		38,764		193,820
Visa, Inc., Class A		6,452		655,071
				243,028,317
Materials - 3.0%
A.M. Castle & Co. †		49,135		464,817
Agnico-Eagle Mines Ltd. (Canada)		1		36
Anvil Mining Ltd. (Canada) †		828,191		5,967,040
Aurcana Corp. (Canada) †		1,246,774		868,917
B2Gold Corp. (Canada) †		376,072		1,144,367
Calvista Gold Corp. (Canada) †		200,000		98,160
Cereplast, Inc. †		258,156		247,830
China GengSheng Minerals, Inc. (China) †(c)		193,262		133,158
Commercial Metals Co.		143,384		1,983,001
Edgewater Exploration Ltd. (Canada) †		417,850		180,470
Energy Fuels, Inc. (Canada) †		720,000		197,890
Grande Cache Coal Corp. (Canada) †		2,426,089		23,600,041
Independence Gold Corp. (Canada) †		179,440		77,500
Kangaroo Resources Ltd. (Australia) (2)†		307,701		45,687
Lion One Metals Ltd. (Canada) (3)†(a)		775,282		852,335
Mines Management, Inc. †		16,120		32,240
Monsanto Co.		3,820		267,667
New Gold, Inc. (Canada) †		48,449		488,886
Quaker Chemical Corp.		3,650		141,948
Sealed Air Corp.		132,750		2,284,627
Solitario Exploration & Royalty Corp. †		59,250		83,542

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

AQR Funds Annual Report December 2011 55

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Materials - 3.0% (continued)
Southern Arc Minerals, Inc. (Canada) (3)†(a)		248,481	$	165,857
Temple-Inland, Inc.		780,401		24,746,516
				64,072,532
Telecommunication Services - 2.8%
Clearwire Corp., Class A †		1,580,000		3,065,200
Cleveland Unlimited (3)†(a)		1		1,296,111
Telephone & Data Systems, Inc. Special Shares, Class L		2,253,386		53,653,121
Towerstream Corp. †		75,000		157,500
Windstream Corp.		2		23
XO holdings, Inc. O Shares (3)†(a)		1,366,340		—
				58,171,955

	SHARES		VALUE (Note 3)
Utilities - 4.6%
Central Vermont Public Service Corp.		242,442	$	8,509,714
China Hydroelectric Corp. ADR (China) †		6,651		7,582
Constellation Energy Group, Inc.		982,153		38,962,010
Genie Energy Ltd., Class B		49,936		395,993
Northeast Utilities		38,287		1,381,012
Pennichuck Corp.		107,341		3,094,641
Progress Energy, Inc.		800,153		44,824,571
				97,175,523
TOTAL COMMON STOCKS (cost $1,134,363,291)				1,154,449,640

CONVERTIBLE PREFERRED STOCKS - 3.7%	MOODY’S RATING* (UNAUDITED)			SHARES		VALUE (Note 3)
Consumer Discretionary - 0.0% (d)
Beazer Homes USA, Inc., $25.00 par, 7.250%		NR			52,875	$	637,144
Beazer Homes USA, Inc., $25.00 par, 7.500%		CCC	**		5,000		67,100
							704,244
Consumer Staples - 0.4%
Universal Corp., Perpetual, $1,000.00 par, 6.750%		BB	**		8,350		8,642,250
Energy - 0.7%
Chesapeake Energy Corp., Perpetual 144A, $1,000.00 par, 5.750% (2)(e)		B+	**		10,000		9,800,000
Energy XXI Bermuda Ltd., Perpetual (Bermuda), $250.00 par, 5.625% (2)		NR			9,535		3,229,981
Superior Well Services, Inc., Perpetual, Series A, $1,000.00 par, 4.000% (2)		NR			1,169		1,038,072
Whiting Petroleum Corp., Perpetual, $100.00 par, 6.250%		B	**		1,144		251,737
							14,319,790
Financials - 2.1%
Ally Financial, Inc., Perpetual 144A, $1,000.00 par, 7.000% (2)(e)		B3			2,175		1,559,135
Boston Private Capital Trust I, $50.00 par, 4.875% (2)		NR			3,750		115,547
Citigroup, Inc., $100.00 par, 7.500%		NR			40,000		3,250,000
Dole Food Automatic Common Exchange 144A, $12.50 par, 7.000% (2)†(e)		NR			62,250		532,045
Jack Cooper Holdings Corp. 144A, $99.08 par, 12.750% (2)(e)		NR			6,950,000		6,915,250
Jack Cooper Holdings Corp., Perpetual 144A, $100.00 par, 0.000% (2)†(e)(f)		NR			2,000		200,000
MetLife, Inc., $82.88 par, 5.000%		BBB-	**		105,250		6,485,505
MF Global Holdings Ltd., Perpetual, $100.00 par, 9.750% (2)		NR			19,550		178,394
SLM Corp., Perpetual, Series A, $50.00 par, 6.970%		Ba3			12,500		501,250
Sovereign Capital Trust IV, $50.00 par, 4.375% (2)		Baa3			455,495		21,636,012
UBS AG (Switzerland), $25.00 par, 9.375% (2)		NR			26,000		351,520
Wells Fargo & Co., Perpetual, Series L, $1,000.00 par, 7.500%		Baa3			500		527,000
Wintrust Financial Corp., $50.00 par, 7.500% (2)		NR			24,300		1,095,930
							43,347,588
Industrials - 0.1%
Nielsen Holdings NV (Netherlands), $50.00 par, 6.250% (2)		B	**		6,800		393,125
Timberjack Corp. $188,000.00 par, 8.000% (3)†(a)		NR			188,000		736,772
							1,129,897

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

56 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING* (UNAUDITED)							SHARES		VALUE (Note 3)
Information Technology - 0.0% (d)
Authentidate Holding Corp., Series C, ADR $1.60 par, 15.000% (3)†(a)		NR							218,000	$	444,720
Materials - 0.3%
North Atlantic Trading Co. 144A, $97.00 par, 19.000% (2)(b)(e)(g)		Caa2							2,000,000		1,880,000
North Atlantic Trading Co. 144A, $98.00 par, 11.500% (2)(b)(e)		B2							5,625,000		5,371,875
											7,251,875
Utilities - 0.1%
PPL Corp., $50.00 par, 8.750%									44,700		2,480,850
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $83,209,624)											78,321,214
CORPORATE BONDS - 18.0%				INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)
Communications - 0.5%
Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(e)(g)		CCC+	**		11.500%		04/30/14	$	2,544		1,399,281
Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(b)(e)		B	**		14.000%		09/30/13		831		756,334
Primus Telecommunications Holding, Inc./Primus Telecommunications Canada, Inc. 144A (2)(e)		WR			13.000%		12/15/16		1,150		1,127,000
WCP Wireless Site Funding LLC/WCP Wireless Site RE Funding LLC 144A (2)(e)		NR			9.247%		11/15/15		3,000		3,070,965
WCP Wireless Site Funding LLC/WCP Wireless Site RE Funding LLC 144A (2)(e)		NR			6.829%		11/15/15		3,325		3,458,485
											9,812,065
Consumer Discretionary - 2.3%
American Airlines Equipment Trust 1990, Series 90-Y (2)(b)(h)		Caa1			11.000%		05/07/14		1,851		1,166,398
Baker & Taylor, Inc. 144A (2)(b)(e)		B3			11.500%		07/01/13		3,250		2,535,000
Broder Brothers Co. 144A (2)(b)(e)(g)		NR			12.000%		10/15/13		3,975		3,895,500
Brookstone Co., Inc. 144A (2)(e)		CCC+	**		13.000%		10/15/14		516		412,155
Continental Airlines, Inc., Series 02G2 (2)		Ba1			6.563%		02/15/12		9,650		9,674,125
Eastman Kodak Co. (2)		NR			7.000%		04/01/17		3,500		918,750
Empire Today LLC/Empire Today Finance Corp. 144A (2)(e)		B3			11.375%		02/01/17		3,250		3,030,625
Goodyear Tire & Rubber Co./The (2)(b)		B1			10.500%		05/15/16		2,976		3,281,040
MGM Resorts International (2)(b)		Caa1			4.250%		04/15/15		6,375		6,048,281
Pegasus Solutions, Inc. 144A (2)(e)(g)		NR			13.000%		04/15/14		3,336		3,160,735
TRW Automotive, Inc. (2)(b)		BB-	**		3.500%		12/01/15		5,850		7,882,875
Unifi, Inc. (2)(b)		Caa1			11.500%		05/15/14		2,721		2,741,408
Wallace Theater Holdings, Inc., Series UNIT 144A (2)(e)(f)		CCC	**		12.500%		06/15/13		4,675		4,534,750
											49,281,642
Consumer Staples - 1.9%
Archer-Daniels-Midland Co. (2)		A	**		0.875%		02/15/14		1,500		1,507,500
Great Atlantic & Pacific Tea Co., Inc./The 144A (2)(e)		WR			11.375%		08/01/15		22,492		25,978,260
Smithfield Foods, Inc. (2)(b)		BB-	**		4.000%		06/30/13		7,975		9,779,344
Vector Group Ltd. (2)(b)		B1			11.000%		08/15/15		1,700		1,759,500
											39,024,604
Energy - 2.6%
Black Elk Energy Offshore Operations LLC and Black Elk Finance Corp. (2)(b)		B	**		13.750%		12/01/15		5,800		5,894,250
CCS, Inc. 144A (Canada) (2)(b)(e)		Caa2			11.000%		11/15/15		4,800		4,680,000

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

AQR Funds Annual Report December 2011 57

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING* (UNAUDITED)			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Energy - 2.6% (continued)
Chesapeake Energy Corp. (2)(b)		Ba3			7.625%		07/15/13	$	7,250	$	7,666,875
Global Industries Ltd. (2)(b)		NR			2.750%		08/01/27		12,600		12,568,500
Global Rig Co. ASA (Norway) (2)		NR			13.000%		06/15/15		3,800		3,724,000
Golden Close Maritime Corp. Ltd. MTN (Bermuda) (2)		NR			11.000%		12/09/15		2,500		2,612,500
Green Field Energy Services, Inc.144A (2)(b)(e)		Caa2			13.000%		11/15/16		2,025		1,964,250
Harvest Operations Corp. (Canada) (2)(b)		NR			7.500%		05/31/15	CAD	275		280,088
InterOil Exploration and Production ASA (Norway) (2)		NR			15.000%		03/14/14	NOK	6,500		1,037,896
James River Coal Co. (2)(b)		B2			4.500%		12/01/15	$	500		388,750
Panoro Energy ASA 144A (Norway) (2)(e)		NR			12.000%		11/15/18		2,300		2,300,000
Polarcus Alima AS (Norway) (2)		NR			12.500%		10/29/15		3,800		3,610,000
RDS Ultra-Deepwater Ltd. 144A (Cayman Islands) (2)(b)(e)		B3			11.875%		03/15/17		845		891,475
Regency Energy Partners LP/Regency Energy Finance Corp. (2)(b)		B1			9.375%		06/01/16		5,786		6,364,600
											53,983,184
Financials - 4.2%
Avatar Holdings, Inc. (2)(b)		NR			7.500%		02/15/16		5,900		5,310,000
CIT Group, Inc. (2)(b)		B2			7.000%		05/01/15		12,970		12,995,765
CNG Holdings, Inc. 144A (2)(b)(e)		B3			12.250%		02/15/15		5,975		6,139,312
CNO Financial Group, Inc. (2)(b)		B2			7.000%		12/30/16		3,635		4,802,744
CNO Financial Group, Inc., Series UNRE (2)(b)		NR			7.000%		12/30/16		2,367		3,127,399
Health Care REIT, Inc. (2)(b)		Baa2			3.000%		12/01/29		1,275		1,458,281
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (2)(b)		Ba3			8.000%		01/15/18		2,055		2,137,200
ING Capital Funding Trust III, Perpetual Bond, Series 9 (2)(b)(f)		B1			3.969%		12/29/49		3,875		3,048,203
Jasper Explorer Ltd. (Cyprus) (2)		NR			13.500%		05/27/16		6,000		4,978,268
Landry’s Holdings, Inc. 144A (2)(b)(e)		Caa1			11.500%		06/01/14		1,545		1,514,100
Liberty Mutual Group, Inc. 144A (2)(b)(e)(f)		Baa3			10.750%		06/15/58		3,550		4,455,250
MF Global Holdings Ltd. (2)(h)		Baa2			3.375%		08/01/18		2,750		893,750
Offshore Group Investments Ltd. (Cayman Islands) (2)(b)		B3			11.500%		08/01/15		2,400		2,595,000
PHH Corp. (2)(b)		Ba2			4.000%		04/15/12		1,350		1,277,437
Rare Restaurant Group LLC/RRG Finance Corp. 144A (2)(b)(e)		WR			9.250%		05/15/14		1,300		1,040,000
Rouse Co. LP (2)(b)		WR			7.200%		09/15/12		2,700		2,743,875
Rouse Co. LP (The) (2)(b)		BB+	**		6.750%		11/09/15		4,045		4,090,506
Speedy Cash, Inc. 144A (2)(b)(e)		B3			10.750%		05/15/18		9,175		9,220,875
Synovus Financial Corp. (2)(b)		B3			5.125%		06/15/17		1,375		1,161,875
TMX Finance LLC/TitleMax Finance Corp. 144A (2)(b)(e)		B2			13.250%		07/15/15		1,375		1,512,500
TMX Finance LLC/TitleMax Finance Corp. (2)(b)		B2			13.250%		07/15/15		5,905		6,495,500
Unicredit Luxembourg Finance SA (Luxembourg) (2)(b)		NR			5.584%		01/13/17		4,275		4,277,638
Washington Mutual, Inc. (2)(b)(h)		WR			4.000%		01/15/09		3,050		3,339,750
											88,615,228
Health Care - 1.2%
Adcare Health Systems, Inc. (3)(a)		NR			10.000%		10/26/13		1,850		1,879,837
Amgen, Inc., Series B (2)		Baa1			0.375%		02/01/13		5,825		5,846,843
Incyte Corp. Ltd. (2)(b)		NR			4.750%		10/01/15		1,000		1,875,000
KV Pharmaceutical Co. (2)(b)		NR			12.000%		03/15/15		8,175		5,599,875
MannKind Corp. (2)(b)		NR			5.750%		08/15/15		1,540		935,550
Merge Healthcare, Inc. (2)(b)		B2			11.750%		05/01/15		1,930		2,045,800
Omnicare, Inc. (2)(b)		Ba3			3.750%		12/15/25		2,400		3,336,000
PDL BioPharma, Inc. 144A (2)(b)(e)		NR			2.875%		02/15/15		1,400		1,470,000
Viropharma, Inc. (2)		NR			2.000%		03/15/17		1,500		2,373,750
											25,362,655

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

58 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING* (UNAUDITED)			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Industrials - 1.7%
Boa Deep C AS (Norway) (2)(f)		NR			8.510%		04/27/16	NOK	18,406	$	2,831,328
Chart Industries, Inc. (2)		B+	**		2.000%		08/01/18	$	1,325		1,399,531
Chloe Marine Corp. Ltd. (Bermuda) (2)		NR			12.000%		12/28/16		1,400		1,372,000
EOAL Cyprus Holdings Ltd. (Cyprus) (2)		NR			15.000%		07/15/14		4,000		2,800,000
Floatel Superior Ltd. (Bahamas) (2)		NR			13.000%		09/02/15		1,100		1,221,000
GenCorp, Inc. (2)(b)		CCC+	**		4.063%		12/31/39		3,575		3,221,969
General Cable Corp. (2)(b)(i)		B2			4.500%		11/15/29		3,475		3,288,219
Hawaiian Holdings, Inc. (2)(b)		NR			5.000%		03/15/16		300		299,625
MasTec, Inc. (2)(b)		NR			4.250%		12/15/14		2,400		3,237,000
Ship Finance International Ltd. (Bermuda) (2)		B1			8.500%		12/15/13		3,250		3,055,000
Songa Offshore SE (Cyprus) (2)(f)		NR			13.130%		11/17/16	NOK	15,000		2,470,385
Tempel Steel Co. 144A (2)(e)		B3			12.000%		08/15/16	$	5,625		5,343,750
United Continental Holdings, Inc. (2)		NR			6.860%		04/22/14		4,109		4,108,517
Western Express, Inc. 144A (2)(b)(e)		Caa2			12.500%		04/15/15		2,300		977,500
											35,625,824
Information Technology - 2.4%
Bankrate, Inc. (2)(b)		B1			11.750%		07/15/15		1,077		1,229,126
CDW LLC/CDW Finance Corp. (2)(g)		Caa1			11.500%		10/12/15		4,506		4,731,184
CDW LLC/CDW Finance Corp. (2)(b)		Caa1			11.000%		10/12/15		8,565		8,993,250
LDK Solar Co. Ltd., Series EXCH (Cayman Islands) (2)(b)		NR			4.750%		04/15/13		625		387,500
NCO Group, Inc. (2)(f)		Caa2			5.332%		11/15/13		4,500		4,196,250
Salesforce.com, Inc. (2)(b)		NR			0.750%		01/15/15		12,975		17,727,094
SouthPeak Interactive Corp. (3)(a)		NR			10.000%		07/19/13		2,500		1,177,495
SouthPeak Interactive Corp. (3)(a)		NR			29.000%		01/31/12		1,091		1,094,942
Xilinx, Inc. (2)(b)		BB+	**		3.125%		03/15/37		10,250		11,633,750
											51,170,591
Materials - 0.5%
Appleton Papers, Inc. (2)(b)		B3			11.250%		12/15/15		1,810		1,629,000
Appleton Papers, Inc. 144A (2)(b)(e)		B1			10.500%		06/15/15		600		591,750
Cemex SAB de CV (Mexico) (2)(b)		NR			4.875%		03/15/15		3,200		2,088,000
Standard Steel LLC/Standard Steel Finance Corp. 144A (2)(b)(e)		B3			12.000%		05/01/15		5,631		6,531,960
											10,840,710
Telecommunication Services - 0.7%
Clear Channel Communications, Inc. (2)		Ca			5.000%		03/15/12		10,375		10,349,062
FiberTower Corp. (2)(b)		NR			9.000%		01/01/16		4,189		2,272,518
MediMedia USA, Inc. 144A (2)(b)(e)		Caa2			11.375%		11/15/14		2,350		2,068,000
Morris Publishing Group LLC (2)(b)		NR			10.000%		09/01/14		792		673,254
											15,362,834
TOTAL CORPORATE BONDS (cost $403,682,495)											379,079,337
CONVERTIBLE BONDS - 36.3%
Communications - 0.0% (d)
Clearwire Communications LLC/Clearwire Finance, Inc. 144A (2)(e)		NR			8.250%		12/01/40		700		444,500
Consumer Discretionary - 6.2%
Coinstar, Inc. (2)(b)		BB-	**		4.000%		09/01/14		2,150		2,803,063
DR Horton, Inc., Series DHI (2)(b)		Ba3			2.000%		05/15/14		14,481		16,906,568
Exide Technologies (2)(b)(f)		CCC+	**		0.000%		09/18/13		650		485,466
Ford Motor Co. (2)(b)		Ba2			4.250%		11/15/16		3,500		5,018,125
Gaylord Entertainment Co.144A (2)(b)(e)		NR			3.750%		10/01/14		5,425		6,035,312
Jakks Pacific, Inc. 144A (2)(b)(e)		NR			4.500%		11/01/14		3,925		4,577,531

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

AQR Funds Annual Report December 2011 59

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING* (UNAUDITED)			INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Consumer Discretionary - 6.2% (continued)
Lennar Corp. (2)		B3			3.250%			11/15/21	$	1,700	$	1,859,375
Lennar Corp.144A (2)(b)(e)		B3			2.750%			12/15/20		12,400		13,826,000
Lennar Corp.144A (2)(b)(e)		B3			2.000%			12/01/20		600		603,000
Liz Claiborne, Inc. 144A (2)(b)(e)		CCC	**		6.000%			06/15/14		6,250		15,812,500
Palm Harbor Homes, Inc. (3)(a)(b)(h)		NR			3.250%			05/15/24		70		7,000
priceline.com, Inc.144A (2)(b)(e)		BBB-	**		1.250%			03/15/15		12,400		20,413,500
Regis Corp. (2)(b)		NR			5.000%			07/15/14		10,000		12,487,500
Saks, Inc. 144A (2)(b)(e)		NR	**		7.500%			12/01/13		800		1,531,000
Sonic Automotive, Inc. (2)(b)		B+	**		5.000%			10/01/29		14,250		18,863,437
Stewart Enterprises, Inc. (2)(b)		B1			3.125%			07/15/14		25		23,781
Virgin Media, Inc. (2)(b)		B+	**		6.500%			11/15/16		7,000		9,686,250
												130,939,408
Consumer Staples - 1.4%
Alliance One International, Inc. (2)(b)		Caa1			5.500%			07/15/14		4,500		3,436,875
American Oriental Bioengineering, Inc. 144A (2)(b)(e)		NR			5.000%			07/15/15		1,000		490,000
Central European Distribution Corp. (2)		CCC	**		3.000%			03/15/13		2,475		1,980,000
Chiquita Brands International, Inc. (2)(b)		B-	**		4.250%			08/15/16		5,000		4,281,250
Nash Finch Co. (2)(b)(i)		B3			1.631%			03/15/35		4,275		1,966,500
Rite Aid Corp. (2)(b)		Ca			8.500%			05/15/15		300		271,500
Tyson Foods, Inc. (2)(b)		BB+	**		3.250%			10/15/13		6,600		8,753,250
Vector Group Ltd. (2)(b)(f)		NR			3.750%			11/15/14		6,504		8,617,800
Vector Group Ltd. (2)(b)(f)		NR			3.875%			06/15/26		383		433,269
												30,230,444
Energy - 1.7%
Bristow Group, Inc. (2)(b)		BB	**		3.000%			06/15/38		1,000		1,021,250
Exterran Holdings, Inc. (2)(b)		BB	**		4.250%			06/15/14		3,675		3,261,563
GMX Resources, Inc. (2)(b)		NR			4.500%			05/01/15		1,875		897,656
Goodrich Petroleum Corp. (2)(b)		CCC+	**		5.000%			10/01/29		1,000		926,250
Green Plains Renewable Energy, Inc. 144A (2)(b)(e)		NR			5.750%			11/01/15		4,100		3,930,875
Harvest Natural Resources, Inc. (2)(b)		NR			8.250%			03/01/13		475		632,938
PetroBakken Energy Ltd., Reg S (Canada) (2)(b)		NR			3.125%			02/08/16		5,900		5,457,500
Petrominerales Ltd., Series PMG (Canada) (2)		NR			2.625%			08/25/16		1,900		1,706,200
Pioneer Natural Resources Co. (2)(b)		BBB-	**		2.875%			01/15/38		750		1,150,312
Polarcus Ltd. MTN (Cayman Islands) (2)		NR			2.875%			04/27/16		400		301,800
Western Refining, Inc. (2)(b)		CCC+	**		5.750%			06/15/14		11,375		16,351,562
												35,637,906
Financials - 7.4%
American Equity Investment Life Holding Co. 144A (2)(b)(e)		NR			5.250%			12/06/29		5,525		6,788,844
American Equity Investment Life Holding Co. 144A (2)(b)(e)		NR			3.500%			09/15/15		8,925		9,070,031
Ares Capital Corp.144A (2)(e)		BBB	**		5.750%			02/01/16		3,725		3,585,313
Ares Capital Corp. 144A (2)(b)(e)		BBB	**		5.125%			06/01/16		1,200		1,114,500
BGC Partners, Inc. 144A (2)(b)(e)		BBB-	**		4.500%			07/15/16		1,400		1,225,000
BioMed Realty LP 144A (2)(b)(e)		NR			3.750%			01/15/30		5,150		5,928,938
Boston Properties LP 144A (2)(b)(e)		A-	**		3.625%			02/15/14		3,750		4,045,312
Boston Properties LP (2)(b)		A-	**		3.750%			05/15/36		5,750		6,569,375
CNO Financial Group, Inc., Series 1 (2)(b)		NR			7.000%			12/30/16		3,963		5,236,114
DDR Corp. (2)		NR			1.750%	��		11/15/40		8,775		8,599,500
DFC Global Corp. (2)(b)		NR			2.875%			06/30/27		150		161,625
Digital Realty Trust LP 144A (2)(b)(e)		NR			5.500%			04/15/29		8,450		14,021,719
Hilltop Holdings, Inc. (2)(b)		NR			7.500%			08/15/25		998		1,055,385
Host Hotels & Resorts LP 144A (2)(b)(e)		BB+	**		2.500%			10/15/29		15,250		18,890,938
Janus Capital Group, Inc. (2)(b)		Baa3			3.250%			07/15/14		250		245,625
Kilroy Realty LP 144A (2)(b)(e)		NR			4.250%			11/15/14		7,390		8,683,250

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

60 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING* (UNAUDITED)			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Financials - 7.4% (continued)
KKR Financial Holdings LLC (2)		NR			7.000%		07/15/12	$	125	$	129,062
Kohlberg Capital Corp. 144A (2)(b)(e)		NR			8.750%		03/15/16		4,000		3,660,000
Leucadia National Corp. (2)(b)		B2			3.750%		04/15/14		250		277,188
Lexington Realty Trust 144A (2)(b)(e)		NR			6.000%		01/15/30		7,550		8,984,500
MGIC Investment Corp. (2)(b)		CCC+	**		5.000%		05/01/17		10,850		6,523,562
National Financial Partners Corp. (2)(b)		NR			4.000%		06/15/17		4,025		4,960,812
NorthStar Realty Finance LP 144A (2)(b)(e)		NR			7.500%		03/15/31		3,400		3,085,500
Penson Worldwide, Inc. 144A (2)(b)(e)		NR			8.000%		06/01/14		8,515		2,724,800
ProLogis LP (2)(b)		BBB-	**		3.250%		03/15/15		8,275		8,533,594
Radian Group, Inc. (2)		CCC+	**		3.000%		11/15/17		5,175		2,231,719
SL Green Operating Partnership LP 144A (2)(b)(e)		NR			3.000%		10/15/17		11,825		12,194,531
Stewart Information Services Corp. (2)		NR			6.000%		10/15/14		6,125		6,844,687
											155,371,424
Health Care - 0.5%
Accuray, Inc. 144A (2)(b)(e)		NR			3.750%		08/01/16		700		561,750
China Medical Technologies, Inc. 144A (Cayman Islands) (2)(b)(e)		B+	**		6.250%		12/15/16		2,625		826,875
China Medical Technologies, Inc., Series CMT (Cayman Islands) (2)(b)		NR			4.000%		08/15/13		250		143,125
Enzon Pharmaceuticals, Inc. (2)(b)		NR			4.000%		06/01/13		1,850		1,863,875
MannKind Corp. (2)(b)		NR			3.750%		12/15/13		500		260,625
Molina Healthcare, Inc., Series MOH (2)(b)		NR			3.750%		10/01/14		3,375		3,522,656
SonoSite, Inc. (2)(b)		NR			3.750%		07/15/14		1,000		1,463,750
West Pharmaceutical Services, Inc. (2)(b)		NR			4.000%		03/15/47		2,000		1,697,500
											10,340,156
Industrials - 5.8%
Avis Budget Group, Inc. (2)(b)		NR			3.500%		10/01/14		9,575		9,766,500
CBIZ, Inc. 144A (2)(b)(e)		NR			4.875%		10/01/15		1,400		1,494,500
China Linen Textile Industry Ltd. (Cayman Islands) (3)(a)		NR			7.500%		11/12/12		1,850		1,423,027
EnPro Industries, Inc. (2)(b)		NR			3.938%		10/15/15		3,575		4,236,375
FTI Consulting, Inc. (2)(b)		B1			3.750%		07/15/12		1,325		1,825,188
Genco Shipping & Trading Ltd. (Marshall Islands) (2)(b)		NR			5.000%		08/15/15		500		316,875
General Cable Corp. (2)(b)		Ba3			0.875%		11/15/13		3,000		2,760,000
Hertz Global Holdings, Inc. (2)(b)		B-	**		5.250%		06/01/14		14,500		22,565,625
Kaman Corp. 144A (2)(e)		NR			3.250%		11/15/17		3,800		3,971,000
MasTec, Inc. (2)(b)		NR			4.000%		06/15/14		2,125		2,767,812
Meritor, Inc. (2)(b)(i)		CCC+	**		4.625%		03/01/26		2,000		1,475,000
Navistar International Corp. (2)(b)		B	**		3.000%		10/15/14		6,875		7,407,812
Terex Corp. (2)(b)		Caa1			4.000%		06/01/15		9,500		10,568,750
Textron, Inc., Series TXT (2)(b)		Baa3			4.500%		05/01/13		4,400		6,754,000
Titan International, Inc. 144A (2)(b)(e)		B+	**		5.625%		01/15/17		5,475		11,880,750
Trex Co., Inc. (2)(b)		NR			6.000%		07/01/12		6,970		7,780,263
Ultrapetrol Bahamas Ltd. 144A (Bahamas) (2)(b)(e)		NR			7.250%		01/15/17		900		644,625
United Rentals, Inc. (2)(b)		NR			4.000%		11/15/15		8,500		23,375,000
											121,013,102
Information Technology - 7.3%
3D Systems Corp.144A (2)(e)		NR			5.500%		12/15/16		11,725		10,874,938
Alliance Data Systems Corp. (2)(b)		NR			4.750%		05/15/14		10,500		23,703,750
Alliance Data Systems Corp. (2)(b)		NR			1.750%		08/01/13		3,000		4,113,750
Amkor Technology, Inc. (2)(b)		NR			6.000%		04/15/14		5,950		9,386,125
Arris Group, Inc. (2)(b)		NR			2.000%		11/15/26		650		654,875
Cadence Design Systems, Inc. (2)(b)		NR			2.625%		06/01/15		6,925		10,465,406
Ciena Corp.144A (2)(b)(e)		NR			4.000%		03/15/15		16,075		15,793,687

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

AQR Funds Annual Report December 2011 61

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING* (UNAUDITED)			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Information Technology - 7.3% (continued)
Concur Technologies, Inc. 144A (2)(b)(e)		NR			2.500%		04/15/15	$	200	$	239,250
Convergys Corp. (2)(b)		BB-	**		5.750%		09/15/29		7,825		10,700,688
Digital River, Inc. 144A (2)(b)(e)		NR			2.000%		11/01/30		2,600		2,128,750
DST Systems, Inc., Series C (2)(b)(f)		NR			0.000%		08/15/23		975		1,104,187
Equinix, Inc. (2)(b)		B	**		4.750%		06/15/16		11,050		15,552,875
Finisar Corp. 144A (2)(b)(e)		NR			5.000%		10/15/29		400		739,000
Hutchinson Technology, Inc. (2)(b)		NR			8.500%		01/15/26		195		138,206
Micron Technology, Inc., Series A 144A (2)(b)(e)		NR			1.500%		08/01/31		400		359,000
Nuance Communications, Inc.144A (2)(b)(e)		BB-	**		2.750%		11/01/31		600		644,250
ON Semiconductor Corp. (2)(b)		Ba2			1.875%		12/15/25		250		304,062
Photronics, Inc. (2)(b)		NR			5.500%		10/01/14		2,200		3,110,250
Powerwave Technologies, Inc. 144A (2)(b)(e)		NR			2.750%		07/15/41		3,900		2,149,875
Rambus, Inc. (2)(b)		NR			5.000%		06/15/14		6,450		6,312,937
SYNNEX Corp. (2)(b)		NR			4.000%		05/15/18		2,750		3,220,938
Take-Two Interactive Software, Inc. (2)(b)		NR			4.375%		06/01/14		3,825		5,498,438
Take-Two Interactive Software, Inc. 144A (2)(b)(e)		NR			1.750%		12/01/16		2,200		2,136,750
THQ, Inc. (2)(b)		NR			5.000%		08/15/14		1,525		716,750
TTM Technologies, Inc. (2)(b)		BB-	**		3.250%		05/15/15		2,450		2,554,125
VeriFone Systems, Inc. (2)		BB-	**		1.375%		06/15/12		600		615,000
VeriSign, Inc. (2)(b)		NR			3.250%		08/15/37		17,435		20,834,825
											154,052,687
Materials - 3.7%
A.M. Castle & Co.144A (2)(e)		NR			7.000%		12/15/17		925		1,003,625
Alcoa, Inc. (2)(b)		Baa3			5.250%		03/15/14		6,900		10,436,250
Allegheny Technologies, Inc. (2)(b)		BBB-	**		4.250%		06/01/14		17,650		24,687,937
ArcelorMittal (Luxembourg) (2)(b)		Baa3			5.000%		05/15/14		6,875		7,227,344
Cemex SAB de CV 144A(Mexico) (2)(b)(e)		NR			3.250%		03/15/16		900		586,125
Cemex SAB de CV 144A (Mexico) (2)(b)(e)		NR			3.750%		03/15/18		500		324,375
Cereplast, Inc.144A (3)(a)(e)		NR			7.000%		06/01/16		4,450		2,942,149
Jaguar Mining, Inc. 144A (Canada) (2)(b)(e)		NR			5.500%		03/31/16		500		528,750
Kaiser Aluminum Corp. 144A (2)(b)(e)		NR			4.500%		04/01/15		300		348,570
Northgate Minerals Corp. (Canada) (2)(b)		NR			3.500%		10/01/16		2,825		2,923,875
RTI International Metals, Inc. (2)		NR			3.000%		12/01/15		5,250		5,256,562
ShengdaTech, Inc. 144A (2)(b)(e)(h)		NR			6.500%		12/15/15		1,200		90,000
ShengdaTech, Inc. 144A (2)(b)(e)(h)		NR			6.000%		06/01/18		200		30,000
Sino-Forest Corp. 144A (Canada) (2)(b)(e)		NR	**		4.250%		12/15/16	CAD	1,525		396,500
Sterlite Industries India Ltd. (India) (2)(b)		NR			4.000%		10/30/14	$	5,350		4,226,500
Stillwater Mining Co. (2)(b)		B+	**		1.875%		03/15/28		1,000		956,250
United States Steel Corp. (2)(b)		Ba2			4.000%		05/15/14		14,934		16,520,738
											78,485,550
Telecommunication Services - 2.3%
Level 3 Communications, Inc. (2)(b)		NR			6.500%		10/01/16		8,525		10,368,531
Level 3 Communications, Inc. (2)(b)		CCC	**		15.000%		01/15/13		10,975		12,580,094
Level 3 Communications, Inc., Series B (2)(b)		NR			7.000%		03/15/15		1,280		1,387,200
NII Holdings, Inc. (2)(b)		B-	**		3.125%		06/15/12		1,980		1,992,375
tw telecom inc (2)(b)		B3			2.375%		04/01/26		1,075		1,265,813
XM Satellite Radio, Inc.144A (2)(b)(e)		BB	**		7.000%		12/01/14		16,100		20,809,250
											48,403,263
TOTAL CONVERTIBLE BONDS (cost $777,204,926)											764,918,440

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

62 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 2.7%	SHARES		VALUE (Note 3)
Adams Express Co. (b)		9,080	$	87,531
Advent Claymore Convertible Securities and Income Fund (b)		8,929		131,524
Advent Claymore Enhanced Growth & Income Fund (b)		4,481		40,239
Advent Claymore Global Convertible Securities & Income Fund (b)		26,923		169,615
Alpine Global Premier Properties Fund		4,755		25,202
Apollo Senior Floating Rate Fund, Inc. (b)		28,539		456,909
ASA Gold and Precious Metals Ltd. (Bermuda) (b)		33,440		875,794
Avenue Income Credit Strategies Fund (b)		3,979		61,237
Blackrock Core Bond Trust		190,391		2,574,086
BlackRock Corporate High Yield Fund III, Inc.		14,825		104,961
BlackRock Corporate High Yield Fund V, Inc.		10,893		127,339
BlackRock Credit Allocation Income Trust II, Inc.		299,422		2,943,318
Blackrock Credit Allocation Income Trust III, Inc.		163,105		1,719,127
Blackrock Credit Allocation Income Trust IV		274,593		3,336,305
BlackRock Defined Opportunity Credit Trust		3,459		43,065
BlackRock Diversified Income Strategies Fund, Inc.		13,104		124,488
BlackRock EcoSolutions Investment Trust		3,840		30,029
BlackRock Energy and Resources Trust		478		11,687
BlackRock Enhanced Capital and Income Fund, Inc.		25,877		318,287
BlackRock Enhanced Equity Dividend Trust		36,524		258,225
BlackRock Equity Dividend Trust		12,823		116,176
BlackRock Floating Rate Income		15,286		205,902
BlackRock Floating Rate Income Strategies Fund II, Inc.		15,209		187,527
BlackRock Floating Rate Income Strategies Fund, Inc.		24,096		321,923
BlackRock Global Opportunities Equity Trust		9,369		123,765
BlackRock Income Opportunity Trust, Inc.		224,796		2,297,415
BlackRock International Growth and Income Trust		46,562		333,384
BlackRock Limited Duration Income Trust (b)		400		6,388
Blackrock Resources & Commodities Strategy Trust		49,715		660,215
BlackRock Strategic Equity Dividend Trust		13,611		133,388
Blackstone/GSO Long-Short Credit Income Fund		2,413		41,166
Blackstone/GSO Senior Floating Rate Term Fund		33		606
Calamos Convertible and High Income Fund		11,581		133,876

CLOSED END FUNDS - 2.7% (continued)	SHARES		VALUE (Note 3)
CBRE Clarion Global Real Estate Income Fund		113,366	$	775,423
Central Securities Corp.		217		4,440
Clough Global Equity Fund		11,146		134,086
Cohen & Steers Closed-End Opportunity Fund, Inc.		995		11,910
Cohen & Steers Global Income Builder, Inc.		25,967		241,493
Columbia Seligman Premium Technology Growth Fund		288		4,510
Eaton Vance Enhanced Equity Income Fund		93,219		948,969
Eaton Vance Enhanced Equity Income Fund II		94,935		969,286
Eaton Vance Floating-Rate Income Trust		26,452		376,412
Eaton Vance Limited Duration Income Fund		86,614		1,319,131
Eaton Vance Risk-Managed Diversified Equity Income Fund		349,871		3,656,152
Eaton Vance Senior Floating-Rate Trust		13,008		187,055
Eaton Vance Senior Income Trust		40,621		265,255
Eaton Vance Short Duration Diversified Income Fund		3,959		64,136
Eaton Vance Tax Managed Global Buy Write Opportunities Fund		252,203		2,592,647
Eaton Vance Tax-Advantaged Dividend Income Fund		56,095		818,987
Eaton Vance Tax-Advantaged Global Dividend Income Fund		19,969		244,221
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund		21,864		371,688
Eaton Vance Tax-Managed Buy-Write Income Fund		53,421		685,926
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		130,550		1,530,046
Eaton Vance Tax-Managed Diversified Equity Income Fund		306,239		2,716,340
Eaton Vance Tax-Managed Global Diversified Equity Income Fund		522,080		4,307,160
First Opportunity Fund, Inc. †		19,292		119,996
First Trust Aberdeen Emerging Opportunity Fund		5,205		92,753
First Trust Aberdeen Global Opportunity Income Fund		3,607		56,846
First Trust Enhanced Equity Income Fund		16,073		174,071
First Trust High Income Long/Short Fund		53,513		817,144
Fort Dearborn Income Securities, Inc.		474		7,565
Gabelli Global Multimedia Trust, Inc.		11,493		71,716
GAMCO Natural Resources Gold & Income Trust by Gabelli		3,323		44,661
Guggenheim Enhanced Equity, Inc.		2,412		19,682
ING Emerging Markets High Dividend Equity Fund		14,218		185,829
ING Global Equity Dividend & Premium Opportunity Fund		5,688		49,144
ING Infrastructure Industrials and Materials Fund		4,139		63,699
ING Prime Rate Trust		110,923		565,707

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

AQR Funds Annual Report December 2011 63

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 2.7% (continued)	SHARES		VALUE (Note 3)
ING Risk Managed Natural Resources Fund		2,487	$	28,352
Invesco Van Kampen Bond Fund		69,437		1,451,233
Invesco Van Kampen Dynamic Credit Opportunities Fund		111,071		1,174,020
John Hancock Hedged Equity & Income Fund		16,306		239,372
Kayne Anderson Midsteam/Energy Fund, Inc.		12,166		303,420
Lazard Global Total Return and Income Fund, Inc.		5,284		70,753
LMP Corporate Loan Fund, Inc.		3,601		40,007
LMP Real Estate Income Fund, Inc.		8,600		79,550
Madison/Claymore Covered Call & Equity Strategy Fund		34,274		256,027
MLP & Strategic Equity Fund, Inc.		4,357		74,418
Montgomery Street Income Securities, Inc.		6,794		104,764
Morgan Stanley Emerging Markets Fund, Inc. †		7,344		94,885
Morgan Stanley Income Securities, Inc.		30,032		520,755
Nuveen Core Equity Alpha Fund		1,077		13,430
Nuveen Equity Premium Advantage Fund		32,758		375,407
Nuveen Equity Premium and Growth Fund		24,909		300,652
Nuveen Equity Premium Income Fund		45,450		508,131
Nuveen Equity Premium Opportunity Fund		48,603		555,046
Nuveen Quality Preferred Income Fund		139,343		1,054,827
Nuveen Quality Preferred Income Fund II		381,955		2,990,708
Nuveen Quality Preferred Income Fund III		47,462		372,102
Nuveen Short Duration Credit Opportunities Fund		8,506		148,770
Nuveen Tax-Advantaged Dividend Growth Fund		6,124		75,264
Nuveen Tax-Advantaged Total Return Strategy Fund		8,843		84,539
Petroleum & Resources Corp.		23,657		579,123
Royce Focus Trust, Inc.		83,209		524,217
Source Capital, Inc.		2,214		104,014
Wells Fargo Advantage Global Dividend Opportunity Fund		1,393		10,573
Wells Fargo Advantage Multi-Sector Income Fund		22,813		337,176
Western Asset Global Corporate Defined Opportunity Fund, Inc.		124,980		2,249,640
Western Asset Income Fund		26,204		361,877
Western Asset Investment Grade Defined Opportunity Trust, Inc.		1,755		38,487
TOTAL CLOSED END FUNDS (cost $57,774,215)				57,616,324
EXCHANGE TRADED FUNDS - 0.2%
Sprott Physical Gold Trust (Canada) † (cost $3,545,866)		303,963		4,194,689

	SHARES		VALUE (Note 3)
RIGHTS - 0.0% (d)
Energy - 0.0% (d)
Sevan Marine ASA (Norway) (2)† (cost $129,341)		90,160	$	124,856
WARRANTS - 0.8%
Consumer Discretionary - 0.0% (d)
Kandi Technologies Corp. (3)†(a)		169,478		80,316
Consumer Staples - 0.0% (d)
Celsius Holdings, Inc. †		52,500		525
HQ Sustainable Maritime Industries, Inc. (3)†(a)		62,284		6
				531
Energy - 0.0% (d)
Camac Energy, Inc. (3)†(a)		88,191		15,089
China Integrated Energy, Inc. (China) (3)†(a)		195,194		20
Green Field Energy Services, Inc. †		2,025		91,125
Plug Power, Inc. (3)†(a)		88,875		44,926
Syntroleum Corp. (3)†(a)		253,165		40,228
				191,388
Financials - 0.6%
Associated Banc-Corp †		20,065		24,279
Australia Acquisition Corp. (Australia) (2)†(b)		612,000		177,480
Boston Private Financial Holdings, Inc. †		97,674		312,557
Cazador Acquisition Corp. Ltd. (Cayman Islands) (2)†		319,668		63,934
Comerica, Inc. †		35,800		192,604
Comerica, Inc. †		9,708		11,358
European CleanTech SE (Germany) (2)†		621,000		217,007
exceet Group SE (Germany) (2)†		72,000		13,978
FlatWorld Acquisition Corp. (Virgin Islands, British) (2)†		219,450		54,862
Gerova Financial Group Ltd. (3)†(a)		138,792		1,388
Hicks Acquisition Co. II, Inc. (2)†		810,000		251,100
Italy1 Investment SA (Luxembourg) (2)†		590,301		168,079
Jack Cooper Holdings Corp. †		448		26,880
Jack Cooper Holdings Corp. †		1,775		106,500
JWC Acquisition Corp. (2)†		1,032,750		516,375
L&L Acquisition Corp. (2)†		306,000		168,300
Lincoln National Corp. †		50,433		620,326
Lone Oak Acquisition Corp. (2)†		328,820		82,205
MSCIR (3)†(a)		243,000		22,745
Nautilus Marine Acquisition Corp. (Greece) (2)†		777,600		194,400
Prime Acquisition Corp. (2)†		423,935		105,984
RLJ Acquisition, Inc. (2)†		974,044		340,915
Selway Capital Acquisition Corp.(2)†		414,792		107,846
Signature Bank †		107,610		3,787,872
Texas Capital Bancshares, Inc. †		16,077		281,990
Trio Merger Corp. (2)†		456,000		342,000
Valley National Bancorp †		49,509		75,254

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

64 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Financials - 0.6%(continued)
Wintrust Financial Corp. †		415,782	$	5,164,012
				13,432,230
Health Care - 0.1%
Access Pharmaceuticals, Inc. (3)†(a)		68,407		4,234
ADVENTRX Pharmaceuticals, Inc. (3)†(a)		103,750		23,458
American Medical Alert Corp. (2)†		283,523		2,835
Bionovo, Inc. (3)†(a)		39,373		870
Cormedix, Inc. †(b)		75,400		3,016
CryoPort, Inc. (3)†(a)		571,428		96,686
CryoPort, Inc. (3)†(a)		1,133,397		203,671
CytRx Corp. (3)†(a)		2,268,000		63,277
InspireMD, Inc. (3)†(a)		67,911		46,159
IntelliPharmaCeutics International, Inc., Series A (3)†(a)		220,000		194,590
IntelliPharmaCeutics International, Inc., Series B (3)†(a)		220,000		114,774
Opexa Therapeutics, Inc. (3)†(a)		47,362		7,270
Pluristem Therapeutics, Inc. (3)†(a)		173,242		93,533
Provectus Pharmaceuticals, Inc., Series A (3)†(a)		881,558		79,164
Provectus Pharmaceuticals, Inc., Series C (3)†(a)		617,090		55,415
ReGeneRx Biopharmaceuticals, Inc. †		240,000		7,200
Repros Therapeutics, Inc. (3)†(a)		92,675		156,269
Rosetta Genomics Ltd. (Israel) (3)†(a)		496,961		2,783
Rosetta Genomics Ltd. (Israel) (3)†(a)		191,250		689
RXi Pharmaceuticals Corp. (3)†(a)		144,175		16,551
RXi Pharmaceuticals Corp. (3)†(a)		144,175		1,615
Synergy Pharmaceuticals, Inc. (3)†(a)		82,000		95,719
				1,269,778
Industrials - 0.0% (d)
China Wood, Inc. (3)†(a)		94,000		168,824
Greenhouse Holdings (3)†(a)		256,092		26
Plastec Technologies Ltd. (Cayman Islands) †		56,004		5,600
Spherix, Inc. (3)†(a)		196,441		6,915
				181,365
Information Technology - 0.0% (d)
Authentidate Holding Corp. (3)†(a)		1,090,000		185,518
Magic Software Enterprises Ltd. (Israel) (3)†(a)		132,782		55,370
Orckit Communications Ltd. (Israel) (3)†(a)		84,282		5,217
SinoHub, Inc. (China) (3)†(a)		267,392		161
				246,266
Materials - 0.1%
Aurcana Corp. (Canada) (3)†(a)		623,387		132,968
Calvista Gold Corp. (Canada) †(b)		100,000		6,871
Cereplast, Inc. (3)†(a)		64,539		2,033
China GengSheng Minerals, Inc. (China) (3)†(a)		195,194		20
China Shen Zhou Mining & Resources, Inc. (China) (3)†(a)		66,762		1,676

	SHARES		VALUE (Note 3)
Materials - 0.1% (continued)
Edgewater Exploration Ltd. (Canada) (3)†(a)		250,000	$	5,178
Energy Fuels, Inc. (Canada) (3)†(a)		360,000		15,018
Kangaroo Resources Ltd. (Australia) (3)†(a)		24,137,931		943,793
Kinross Gold Corp. (Canada) †		37,797		53,797
Lion One Metals Ltd. (3)†(a)		387,641		39
Pretium Resources, Inc. (Canada) †		18,750		23,006
				1,184,399
Utilities - 0.0% (d)
China Hydroelectric Corp. †		24,500		1,029
TOTAL WARRANTS (cost $13,741,305)				16,587,302
MONEY MARKET FUNDS - 5.0%
J.P. Morgan Prime Money Market Fund Capital Shares, 0.130% (2)(j)(k)		898		898
JPMorgan U.S. Treasury Plus Money Market Fund, 0.000% (2)(j)		106,249,285		106,249,285
TOTAL MONEY MARKET FUNDS (cost $106,250,183)				106,250,183
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.0% (d)
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130%(2)(j)(l) (cost $686,099)		686,099		686,099
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT (cost $2,580,587,345)				2,562,228,084
SECURITIES SOLD SHORT - (46.4)%
COMMON STOCKS - (44.1)%
Consumer Discretionary - (5.4)%
Beazer Homes USA, Inc. †		(224,471)		(556,688)
Coinstar, Inc. †		(41,036)		(1,872,883)
DR Horton, Inc.		(676,382)		(8,529,177)
Eastman Kodak Co. †		(39)		(25)
Exide Technologies †		(3,457)		(9,092)
Expedia, Inc.		(1)		(29)
Ford Motor Co. †		(291,667)		(3,138,337)
Gaylord Entertainment Co. †		(137,319)		(3,314,881)
Goodyear Tire & Rubber Co./The †		(137)		(1,941)
Jakks Pacific, Inc.		(156,292)		(2,205,280)
Lennar Corp., Class A		(526,683)		(10,349,321)
Liz Claiborne, Inc. †		(1,625,378)		(14,027,012)
MGM Resorts International †		(193,977)		(2,023,180)
priceline.com, Inc. †		(35,597)		(16,649,073)
Regis Corp.		(472,181)		(7,814,596)
Saks, Inc. †		(130,121)		(1,268,680)
Sirius XM Radio, Inc. †		(6,268,226)		(11,408,171)
Sonic Automotive, Inc., Class A		(819,896)		(12,142,660)
Stewart Enterprises, Inc., Class A		(559)		(3,220)
TripAdvisor, Inc. †		(124,028)		(3,126,746)
TRW Automotive Holdings Corp. †		(148,500)		(4,841,100)
Viacom, Inc., Class A		(71,249)		(3,799,709)

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

AQR Funds Annual Report December 2011 65

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Consumer Discretionary - (5.4)% (continued)
Virgin Media, Inc.		(287,685)	$	(6,150,705)
				(113,232,506)
Consumer Staples - (1.5)%
Alliance One International, Inc. †		(458,292)		(1,246,554)
American Oriental Bioengineering, Inc. (China) †		(9,522)		(5,340)
Archer-Daniels-Midland Co.		(7,909)		(226,197)
Central Garden and Pet Co., Class A †		(675,146)		(5,617,215)
Chiquita Brands International, Inc. †		(93,635)		(780,916)
Dole Food Co., Inc. †		(54,682)		(472,999)
Embotelladora Andina SA, Class B ADR (Chile)		(3,000)		(78,090)
Green Mountain Coffee Roasters, Inc. †		(31,981)		(1,434,348)
Nash Finch Co.		(8,110)		(237,461)
Rite Aid Corp. †		(64,321)		(81,044)
Smithfield Foods, Inc. †		(244,410)		(5,934,275)
Tyson Foods, Inc., Class A		(296,876)		(6,127,521)
Universal Corp.		(122,701)		(5,639,338)
Vector Group Ltd.		(277,100)		(4,921,296)
				(32,802,594)
Energy - (7.1)%
Boardwalk Pipeline Partners LP		(2,300)		(63,641)
Bristow Group, Inc.		(9,698)		(459,588)
Chesapeake Energy Corp.		(279,231)		(6,224,059)
Dawson Geophysical Co. †		(13,314)		(526,302)
Diamond Offshore Drilling, Inc.		(1,240)		(68,522)
Energy Transfer Equity LP		(193,422)		(7,849,065)
Energy XXI Bermuda Ltd. (Bermuda) †		(83,373)		(2,657,931)
Exterran Holdings, Inc. †		(58,648)		(533,697)
GMX Resources, Inc. †		(12,546)		(15,683)
Goodrich Petroleum Corp. †		(12,174)		(167,149)
Green Plains Renewable Energy, Inc. †		(183,138)		(1,787,427)
Harvest Natural Resources, Inc. †		(55,430)		(409,073)
James River Coal Co. †		(10,300)		(71,276)
PetroBakken Energy Ltd., Class A (Canada)		(28,152)		(354,543)
Petrominerales Ltd. (Canada)		(22,719)		(369,302)
Pioneer Natural Resources Co.		(12,775)		(1,143,107)
Polarcus Ltd. (United Arab Emirates) (2)†		(113,725)		(52,976)
Royal Dutch Shell PLC, Class B ADR (Netherlands)		(742,443)		(56,433,092)
Superior Energy Services, Inc. †		(704,857)		(20,046,133)
Western Refining, Inc. †		(868,865)		(11,547,216)
Whiting Petroleum Corp. †		(4,950)		(231,116)
Williams Cos., Inc./The †		(1,169,061)		(31,576,338)
WPX Energy, Inc., Class W †		(389,672)		(7,080,340)
				(149,667,576)
Financials - (7.3)%
Alleghany Corp. †		(47,821)		(13,642,853)
American Equity Investment Life Holding Co.		(882,083)		(9,173,663)
Ares Capital Corp.		(85,682)		(1,323,787)
Associated Banc-Corp		(6,988)		(78,056)
Avatar Holdings, Inc. †		(32,547)		(233,687)

	SHARES		VALUE (Note 3)
Financials - (7.3)% (continued)
BankUnited, Inc.		(12,467)	$	(274,149)
BGC Partners, Inc., Class A		(41,199)		(244,722)
BioMed Realty Trust, Inc. REIT		(177,696)		(3,212,744)
Boston Private Financial Holdings, Inc.		(70,941)		(563,272)
Boston Properties, Inc. REIT		(44,402)		(4,422,439)
Brookline Bancorp, Inc.		(253,083)		(2,136,021)
Citigroup, Inc.		(95,200)		(2,504,712)
CNA Financial Corp.		(4,275)		(114,356)
CNO Financial Group, Inc. †		(1,415,690)		(8,933,004)
Comerica, Inc.		(23,668)		(610,634)
DDR Corp. REIT		(307,311)		(3,739,975)
Deutsche Boerse AG (Germany) (2)†		(109,944)		(5,755,431)
DFC Global Corp. †		(2,733)		(49,358)
Digital Realty Trust, Inc. REIT		(181,850)		(12,123,940)
FNB Corp.		(502,588)		(5,684,270)
Health Care REIT, Inc. REIT		(14,116)		(769,745)
Hilltop Holdings, Inc.†		(30,675)		(259,204)
Host Hotels & Resorts, Inc. REIT		(788,842)		(11,651,196)
Kilroy Realty Corp. REIT		(121,308)		(4,618,196)
KKR Financial Holdings LLC		(700)		(6,111)
Leucadia National Corp.		(7,462)		(169,686)
Lexington Realty Trust REIT		(713,851)		(5,346,744)
Lincoln National Corp.		(44,633)		(866,773)
MetLife, Inc.		(172,938)		(5,392,207)
MGIC Investment Corp. †		(565,210)		(2,108,233)
National Financial Partners Corp. †		(265,689)		(3,592,115)
NorthStar Realty Finance Corp. REIT		(263,169)		(1,255,316)
Penson Worldwide, Inc. †		(217,998)		(252,878)
PHH Corp. †		(420)		(4,494)
PMI Group, Inc./The †		(263)		(7)
ProLogis, Inc. REIT		(98,363)		(2,812,198)
Radian Group, Inc.		(402,681)		(942,274)
Signature Bank †		(98,452)		(5,906,136)
SL Green Realty Corp. REIT		(92,295)		(6,150,539)
Stewart Information Services Corp.		(290,148)		(3,351,209)
Susquehanna Bancshares, Inc.		(1,182,224)		(9,907,037)
Texas Capital Bancshares, Inc. †		(14,595)		(446,753)
Valley National Bancorp		(361,371)		(4,470,159)
Wells Fargo & Co.		(1,500)		(41,340)
Wintrust Financial Corp.		(353,004)		(9,901,762)
				(155,043,385)
Health Care - (1.4)%
Accuray, Inc. †		(44,333)		(187,529)
Amgen, Inc.		(64,400)		(4,135,124)
China Medical Technologies, Inc. ADR (China) †		(122,810)		(348,780)
Enzon Pharmaceuticals, Inc. †		(59,979)		(401,859)
Express Scripts, Inc. †		(313,252)		(13,999,232)
Incyte Corp. Ltd. †		(103,687)		(1,556,342)
Molina Healthcare, Inc. †		(60,334)		(1,347,258)
Omnicare, Inc.		(78,233)		(2,695,127)
PDL BioPharma, Inc.		(167,454)		(1,038,215)
ViroPharma, Inc. †		(70,800)		(1,939,212)
West Pharmaceutical Services, Inc.		(27,208)		(1,032,544)
				(28,681,222)

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

66 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Industrials - (5.5)%
Avis Budget Group, Inc. †		(341,754)	$	(3,663,603)
CBIZ, Inc. †		(124,623)		(761,447)
Chart Industries, Inc. †		(15,606)		(843,816)
CoStar Group, Inc. †		(39,953)		(2,666,064)
EnPro Industries, Inc. †		(81,450)		(2,686,221)
FTI Consulting, Inc. †		(39,522)		(1,676,523)
GenCorp, Inc. †		(205,629)		(1,093,946)
General Cable Corp. †		(109,100)		(2,728,591)
Hawaiian Holdings, Inc. †		(27,474)		(159,349)
HEICO Corp.		(223,671)		(13,080,280)
Hertz Global Holdings, Inc. †		(1,615,498)		(18,933,637)
Kaman Corp.		(70,536)		(1,927,043)
MasTec, Inc. †		(224,764)		(3,904,151)
Meritor, Inc. †		(33,900)		(180,348)
Navistar International Corp. †		(82,750)		(3,134,570)
Nielsen Holdings NV †		(100)		(2,969)
Nielsen Holdings NV (Netherlands) †		(9,016)		(267,685)
Terex Corp. †		(441,288)		(5,961,801)
Textron, Inc.		(278,222)		(5,144,325)
Titan International, Inc.		(519,307)		(10,105,714)
Trex Co., Inc. †		(223,954)		(5,130,786)
Ultrapetrol Bahamas Ltd. (Bahamas) †		(105,789)		(315,251)
United Rentals, Inc. †		(1,067,896)		(31,556,327)
				(115,924,447)
Information Technology - (6.8)%
3D Systems Corp. †		(313,626)		(4,516,214)
ACI Worldwide, Inc. †		(189,396)		(5,424,301)
Alliance Data Systems Corp. †		(247,311)		(25,680,774)
Amkor Technology, Inc. †		(1,691,805)		(7,376,270)
Arris Group, Inc. †		(13,665)		(147,855)
Cadence Design Systems, Inc. †		(770,908)		(8,017,443)
Ciena Corp. †		(441,597)		(5,343,324)
Concur Technologies, Inc. †		(2,700)		(137,133)
Convergys Corp. †		(596,173)		(7,613,129)
Digital River, Inc. †		(12,661)		(190,168)
DST Systems, Inc.		(10,474)		(476,777)
Equinix, Inc. †		(117,255)		(11,889,657)
Finisar Corp. †		(32,912)		(551,112)
Lam Research Corp. †		(390,280)		(14,448,166)
Micron Technology, Inc. †		(59,785)		(376,048)
Molex, Inc.		(126,649)		(3,021,845)
Novellus Systems, Inc. †		(25)		(1,032)
Nuance Communications, Inc. †		(13,304)		(334,729)
ON Semiconductor Corp. †		(22,801)		(176,024)
Photronics, Inc. †		(363,559)		(2,210,439)
Powerwave Technologies, Inc. †		(112,451)		(233,898)
Rambus, Inc. †		(106,933)		(807,344)
Salesforce.com, Inc. †		(115,503)		(11,718,934)
SYNNEX Corp. †		(60,700)		(1,848,922)
Take-Two Interactive Software, Inc. †		(341,183)		(4,623,030)
THQ, Inc. †		(19,644)		(14,929)
TTM Technologies, Inc. †		(95,949)		(1,051,601)
VeriFone Systems, Inc. †		(4,120)		(146,342)
VeriSign, Inc.		(441,377)		(15,765,986)

	SHARES		VALUE (Note 3)
Information Technology - (6.8)% (continued)
Visa, Inc., Class A		(6,452)	$	(655,072)
Xilinx, Inc.		(273,428)		(8,766,102)
				(143,564,600)
Materials - (1.9)%
Agnico-Eagle Mines Ltd. (Canada)		(1)		(36)
Alcoa, Inc.		(831,578)		(7,193,150)
Allegheny Technologies, Inc.		(304,006)		(14,531,487)
ArcelorMittal NYRS ADR (Luxembourg)		(104,639)		(1,903,383)
AuRico Gold, Inc. (Canada) †		(199,528)		(1,598,219)
B2Gold Corp. (Canada) †		(382,658)		(1,164,407)
Cemex SAB de CV ADR (Mexico) †		(252,030)		(1,358,442)
Commercial Metals Co.		(6,500)		(89,895)
Jaguar Mining, Inc. †		(3,900)		(24,882)
Jaguar Mining, Inc. (Canada) †		(47,777)		(304,817)
Kaiser Aluminum Corp.		(4,143)		(190,081)
Kinross Gold Corp. (Canada)		(13,335)		(152,019)
Monsanto Co.		(3,820)		(267,667)
New Gold, Inc. (Canada) †		(48,076)		(485,125)
RTI International Metals, Inc. †		(95,055)		(2,206,227)
Sino-Forest Corp. (Hong Kong) (3)†(a)		(46,847)		(64,415)
Sterlite Industries India Ltd. ADR (India)		(23,022)		(159,543)
Stillwater Mining Co. †		(38,367)		(401,319)
United States Steel Corp.		(302,122)		(7,994,148)
				(40,089,262)
Telecommunication Services - (3.0)%
Clearwire Corp., Class A †		(80,144)		(155,479)
Level 3 Communications, Inc. †		(498,535)		(8,470,110)
Telephone & Data Systems, Inc.		(2,073,032)		(53,670,799)
tw telecom inc †		(38,117)		(738,707)
Windstream Corp.		(2)		(23)
				(63,035,118)
Utilities - (4.2)%
Duke Energy Corp.		(2,085,727)		(45,885,994)
Exelon Corp.		(915,122)		(39,688,841)
NSTAR		(29,304)		(1,376,116)
PPL Corp.		(54,771)		(1,611,363)
				(88,562,314)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $961,578,659)				(930,603,024)

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

AQR Funds Annual Report December 2011 67

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

CONVERTIBLE BONDS - (0.1)%	MOODY’S RATING* (UNAUDITED)			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Consumer Staples - (0.1)%
Molson Coors Brewing Co. (2)		BBB-	**		2.500%		07/30/13	$	(550)	$	(582,313)
Information Technology - 0.0% (d)
Intel Corp. (2)		A-	**		2.950%		12/15/35		(500)		(520,625)
TOTAL CONVERTIBLE BONDS SOLD SHORT (proceeds $1,100,168)										$	(1,102,938)

EXCHANGE TRADED FUNDS - (2.2)%	SHARES		VALUE (Note 3)
iShares Silver Trust †		(21,824)	$	(587,939)
SPDR Barclays Capital High Yield Bond ETF		(1,045,019)		(40,180,980)
SPDR Gold Shares †		(33,601)		(5,107,016)
SPDR S&P 500 ETF Trust		(4,164)		(522,582)
TOTAL EXCHANGE TRADED FUNDS SOLD SHORT (proceeds $47,396,469)				(46,398,517)
TOTAL SECURITIES SOLD SHORT (proceeds $1,010,075,296)				(978,104,479)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 75.1% (cost $1,570,512,049)				1,584,123,605
OTHER ASSETS IN EXCESS OF LIABILITIES - 24.9% (m)				524,415,036
NET ASSETS - 100.0%			$	2,108,538,641

† Non income-producing security.

(a) Security fair valued at December 31, 2011 using procedures approved by the Board of Trustees. The total value of positions fair valued was $26,028,208 or 1.2% of total net assets.

(b) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2011, the value of these securities was $956,762,705. In addition, $468,516,712 of cash collateral was pledged.

(c) All or a portion of the security on loan. The aggregate market value of such securities is $592,984; cash collateral of $686,099 was received with which the Fund purchased a money market fund.

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

(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) Indicates a variable rate security. The interest rate shown represents the discount rate at December 31, 2011.

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

(h) Defaulted security. It is the Fund’s policy to cease accruing interest and write off interest receivable for positions in default.

(i) Represents a step bond. The rate shown reflects the yield at December 31, 2011.

(j) Represents annualized seven-day yield as of December 31, 2011.

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

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

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

* The rating reflected is as of December 31, 2011 and is unaudited. Rating of certain bonds may have changed subsequent to the date.

** S & P Rating provided and is unaudited.

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

ADR - American Depositary Receipt

CAD - Canadian Dollar

MTN - Medium Term Note

NOK - Norwegian Krone

NR - Not Rated by Moody’s

NYRS - New York Registry Shares

REIT - Real Estate Investment Trust

WR - Withheld Ratings

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

68 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

Open Written Options contracts outstanding at December 31, 2011:

Call Options Written

SHARES	ISSUER	COUNTERPARTY	EXPIRATION DATE	PROCEEDS		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
374	Comerica, Inc. (Exercise price $45)	J.P. Morgan	January 21, 2012		$(261,422)		$(1,122)		$260,300
899	Motorola Mobility Holdings (Exercise price $40)	J.P. Morgan	January 21, 2012		(25,531)		(4,495)		21,036
946	Synovis Life Technologies, Inc. (Exercise price $30)	J.P. Morgan	January 21, 2012		(13,244)		(4,730)		8,514
322	Wells Fargo & Co. (Exercise price $35)	J.P. Morgan	January 21, 2012		(118,816)		(644)		118,172
					$(419,013)		$(10,991)		$408,022

Credit default swap contracts buy protection as of December 31, 2011

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND	CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Markit CDX North America High Yield Index Series 17	5.00%	USD		150,850,000		$14,155,733		12/20/16		$(4,009,741)
Bank of America	Host Hotels & Resorts LP	1.00%	USD		3,450,000		155,784		12/20/15		46,297
							$14,311,517				$(3,963,444)

Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $621. Additional collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.

Open futures contracts outstanding at December 31, 2011:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED DEPRECIATION
Short Contracts:
1,301	S&P 500 E-Mini Futures	March 16, 2012		$(80,727,343)		$(81,481,630)		$(754,287)
1,148	U.S. Treasury 2-Year Note Futures	March 30, 2012		(253,067,519)		(253,187,813)		(120,294)
564	U.S. Treasury 5-Year Note Futures	March 30, 2012		(69,204,528)		(69,517,407)		(312,879)
				$(402,999,390)		$(404,186,850)		$(1,187,460)

Cash held as collateral with broker for futures contracts was $7,510,453 at December 31, 2011.

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

AQR Funds Annual Report December 2011 69

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 01/17/12	The Royal Bank of Scotland	CAD		3,573,395		$3,472,695		$3,506,562		$33,867
Canadian Dollar, Expiring 02/29/12	The Royal Bank of Scotland	CAD		4,625,289		4,544,708		4,534,342		(10,366)
Norwegian Krone, Expiring 06/22/12	The Royal Bank of Scotland	NOK		840,000		148,494		139,656		(8,838)
Norwegian Krone, Expiring 12/21/12	The Royal Bank of Scotland	NOK		12,840,000		2,242,756		2,123,143		(119,613)
						10,408,653		10,303,703		(104,950)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 01/31/12	The Royal Bank of Scotland	AUD		(59,407)		$(59,999)		$(60,558)		$(559)
Canadian Dollar, Expiring 01/17/12	The Royal Bank of Scotland	CAD		(36,225,373)		(35,522,707)		(35,547,848)		(25,141)
Canadian Dollar, Expiring 01/31/12	The Royal Bank of Scotland	CAD		(7,599,178)		(7,315,159)		(7,454,668)		(139,509)
Canadian Dollar, Expiring 02/29/12	The Royal Bank of Scotland	CAD		(28,947,979)		(28,614,272)		(28,378,778)		235,494
Canadian Dollar, Expiring 03/30/12	The Royal Bank of Scotland	CAD		(11,987,500)		(11,727,157)		(11,744,488)		(17,331)
Euro, Expiring 01/31/12	The Royal Bank of Scotland	EUR		(1,654,892)		(2,183,696)		(2,142,237)		41,459	��
Euro, Expiring 04/30/12	The Royal Bank of Scotland	EUR		(725,040)		(984,517)		(939,587)		44,930
Euro, Expiring 10/22/12	The Royal Bank of Scotland	EUR		(6,210,000)		(8,471,372)		(8,073,342)		398,030
Euro, Expiring 01/28/13	The Royal Bank of Scotland	EUR		(5,855,786)		(7,902,383)		(7,627,363)		275,020
Hong Kong Dollar, Expiring 01/31/12	The Royal Bank of Scotland	HKD		(801,756)		(103,024)		(103,238)		(214)
Hong Kong Dollar, Expiring 02/15/12	The Royal Bank of Scotland	HKD		(82,952,986)		(10,665,552)		(10,682,192)		(16,640)
Norwegian Krone, Expiring 03/14/12	The Royal Bank of Scotland	NOK		(245,753)		(40,887)		(40,985)		(98)
Norwegian Krone, Expiring 05/18/12	The Royal Bank of Scotland	NOK		(978,750)		(170,327)		(162,896)		7,431
Norwegian Krone, Expiring 06/14/12	The Royal Bank of Scotland	NOK		(245,753)		(40,775)		(40,868)		(93)
Norwegian Krone, Expiring 06/22/12	The Royal Bank of Scotland	NOK		(840,000)		(138,326)		(139,656)		(1,330)
Norwegian Krone, Expiring 09/14/12	The Royal Bank of Scotland	NOK		(6,745,753)		(1,056,697)		(1,118,652)		(61,955)
Norwegian Krone, Expiring 11/19/12	The Royal Bank of Scotland	NOK		(978,750)		(169,318)		(161,991)		7,327
Norwegian Krone, Expiring 12/21/12	The Royal Bank of Scotland	NOK		(12,840,000)		(2,095,711)		(2,123,143)		(27,432)
Norwegian Krone, Expiring 05/21/13	The Royal Bank of Scotland	NOK		(978,750)		(168,040)		(161,034)		7,006

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

70 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone, Expiring 11/18/13	The Royal Bank of Scotland	NOK		(978,750)		$(166,612)		$(160,061)		$6,551
Norwegian Krone, Expiring 05/19/14	The Royal Bank of Scotland	NOK		(978,750)		(164,808)		(158,913)		5,895
Norwegian Krone, Expiring 11/18/14	The Royal Bank of Scotland	NOK		(17,178,750)		(2,863,290)		(2,768,182)		95,108
Norwegian Krone, Expiring 04/27/16	The Royal Bank of Scotland	NOK		(19,387,600)		(3,266,931)		(3,055,963)		210,968
						(123,891,560)		(122,846,643)		1,044,917
						$(113,482,907)		$(112,542,940)		$939,967

Money Market Fund is pledged as collateral to the broker for forward foreign currency exchange contracts in the amount of $269.

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

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

AQR Funds Annual Report December 2011 71

Consolidated Schedule of Investments December 31, 2011

AQR MANAGED FUTURES STRATEGY FUND

	SHARES		VALUE (Note 3)
MONEY MARKET FUNDS - 83.4%
BlackRock Liquidity Funds TempFund Portfolio, Class I, 0.110% (2)(a)		92,424,148	$	92,424,148
Dreyfus Treasury Cash Management, Class I, 0.010% (2)(a)		369,696,590		369,696,590
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130% (2)(a)(b)(c)		29,908,909		29,908,909
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a)		342,552,938		342,552,938
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (2)(a)		462,120,737		462,120,737
TOTAL INVESTMENTS - 83.4% (cost $1,296,703,322)				1,296,703,322
OTHER ASSETS IN EXCESS OF LIABILITIES - 16.6% (d)				258,813,052
NET ASSETS - 100.0%			$	1,555,516,374

(a) Represents annualized seven-day yield as of December 31, 2011.

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

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

(d) 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.

Total return swap contracts outstanding as of December 31, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Barclays Capital	Cocoa Future	3/15/2012	USD		(5,370,190)		$646,030
Barclays Capital	Coffee ‘C’ Futures	3/20/2012	USD		(17,990,344)		(214,369)
Bank of America	Euro-Bobl Futures	3/8/2012	EUR		29,196,006		595,134
Bank of America	Euro-SCHATZ Futures	3/8/2012	EUR		118,476,139		472,193
Barclays Capital	Gold 100 OZ Futures	2/27/2012	USD		(642,880)		16,160
Merrill Lynch	LME Aluminum Futures	3/19/2012	USD		(5,150,225)		53,513
Merrill Lynch	LME Copper Futures	3/19/2012	USD		(12,582,700)		421,100
Merrill Lynch	LME Nickel Futures	3/19/2012	USD		(1,383,486)		(76,284)
Barclays Capital	Silver Futures	3/28/2012	USD		(2,333,600)		100,400
Merrill Lynch	Silver Futures	3/28/2012	USD		(166,250)		26,675
Barclays Capital	Soybean Futures	3/14/2012	USD		(33,723,125)		(2,328,213)
Barclays Capital	Soybean Oil Futures	3/14/2012	USD		(10,747,692)		(606,480)
The Royal Bank of Scotland	Swiss Market Index Futures	3/16/2012	CHF		11,084,572		301,473
Bank of America	U.S. Treasury 2-Year Note Futures	3/30/2012	USD		451,509,957		170,043
Bank of America	U.S. Treasury 5-Year Note Futures	3/30/2012	USD		13,762,907		41,968
Barclays Capital	Wheat Futures	3/14/2012	USD		(20,735,239)		(446,498)
							$(827,155)

Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $25,072,477. Additional collateral for positions held at Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.

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

72 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MANAGED FUTURES STRATEGY FUND

Open futures contracts outstanding at December 31, 2011:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
146	10-Year Japanese Government Bond Futures	March 9, 2012		$269,469,519		$270,129,401		$659,882
707	3-Month Euro Euribor Futures	June 18, 2012		226,504,300		226,608,353		104,053
797	3-Month Euro Euribor Futures	September 17, 2012		255,426,299		255,571,290		144,991
778	3-Month Euro Euribor Futures	December 17, 2012		249,227,828		249,428,278		200,450
780	3-Month Euro Euribor Futures	March 18, 2013		249,734,840		249,993,768		258,928
782	3-Month Euro Euribor Futures	June 17, 2013		250,179,787		250,482,962		303,175
765	3-Month Euro Euribor Futures	September 16, 2013		244,503,203		244,864,413		361,210
744	3-Month Euro Euribor Futures	December 16, 2013		237,387,044		237,913,951		526,907
279	90-Day EURODollar Futures	March 18, 2013		69,285,217		69,226,875		(58,342)
326	90-Day EURODollar Futures	June 17, 2013		80,929,662		80,876,525		(53,137)
420	90-Day EURODollar Futures	September 16, 2013		104,222,955		104,170,500		(52,455)
554	90-Day EURODollar Futures	December 16, 2013		137,337,828		137,329,675		(8,153)
899	90-Day GBP LIBOR Futures	December 18, 2013		172,417,816		172,493,958		76,142
125	90-Day Sterling Futures	June 20, 2012		24,000,850		24,001,129		279
482	90-Day Sterling Futures	September 19, 2012		92,618,881		92,576,424		(42,457)
767	90-Day Sterling Futures	December 19, 2012		147,368,297		147,315,596		(52,701)
753	90-Day Sterling Futures	March 20, 2013		144,687,939		144,641,272		(46,667)
843	90-Day Sterling Futures	June 19, 2013		161,906,106		161,896,343		(9,763)
844	90-Day Sterling Futures	September 18, 2013		162,010,374		162,022,855		12,481
109	Amsterdam Index Futures	January 20, 2012		8,615,388		8,838,239		222,851
488	Australia 10-Year Bond Futures	March 15, 2012		58,719,306		59,343,607		624,301
1,517	Australia 3-Year Bond Futures	March 15, 2012		168,445,869		168,093,472		(352,397)
117	CAC40 10 Euro Futures	January 20, 2012		4,673,445		4,793,429		119,984
592	Canadian 10-Year Bond Futures	March 21, 2012		76,835,788		77,774,999		939,211
59	Canadian 3-Month Bank Acceptance Futures	June 18, 2012		14,341,059		14,306,233		(34,826)
117	Canadian 3-Month Bank Acceptance Futures	September 17, 2012		28,438,527		28,390,086		(48,441)
161	Corn Futures	March 14, 2012		5,175,527		5,204,325		28,798
169	Crude Oil Financial Futures	January 19, 2012		16,877,540		16,702,270		(175,270)
734	DJIA Mini E-CBOT Futures	March 16, 2012		43,959,037		44,590,500		631,463
187	E-Mini Russell 2000 Futures	March 16, 2012		13,668,018		13,815,560		147,542
156	Euro - Bund Futures	March 8, 2012		27,909,005		28,072,593		163,588
308	Euro CHF 3-Month LIFFE Futures	June 18, 2012		82,107,865		82,049,718		(58,147)
280	Euro CHF 3-Month LIFFE Futures	September 17, 2012		74,660,239		74,605,558		(54,681)
383	Euro - Bobl Futures	March 8, 2012		61,175,818		62,016,745		840,927
247	Euro-Buxl 30-Year Bond Futures	March 8, 2012		39,175,473		40,899,827		1,724,354
2,732	Euro-SCHATZ Futures	March 8, 2012		389,101,393		390,150,209		1,048,816
183	FTSE 100 Index Futures	March 16, 2012		15,444,816		15,733,256		288,440
680	FTSE/JSE Top 40 Index Futures	March 15, 2012		24,241,532		24,083,097		(158,435)
5	FTSE/MIB Index Futures	March 16, 2012		491,256		489,000		(2,256)
246	Globex Brent FCL Futures	January 13, 2012		26,687,700		26,415,480		(272,220)
81	Globex Heat Oil Futures	January 30, 2012		9,953,055		9,914,108		(38,947)
259	Globex RBOB Gas Futures	January 30, 2012		28,730,033		28,907,197		177,164
236	ICE Euro Gasoil Futures	January 11, 2012		22,141,100		21,806,400		(334,700)
38	KOSPI Index 200 Futures	March 8, 2012		3,997,476		3,935,243		(62,233)

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

AQR Funds Annual Report December 2011 73

Consolidated Schedule of Investments December 31, 2011

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
4	LME Aluminum Futures	January 12, 2012		$224,005		$199,585		$(24,420)
16	LME Aluminum Futures	January 13, 2012		887,020		798,416		(88,604)
55	LME Aluminum Futures	January 17, 2012		3,093,819		2,745,614		(348,205)
77	LME Aluminum Futures	January 20, 2012		4,113,821		3,845,591		(268,230)
13	LME Aluminum Futures	January 24, 2012		706,566		649,720		(56,846)
88	LME Aluminum Futures	January 25, 2012		4,924,594		4,398,900		(525,694)
28	LME Aluminum Futures	January 26, 2012		1,571,781		1,399,902		(171,879)
114	LME Aluminum Futures	January 27, 2012		6,414,305		5,700,599		(713,706)
45	LME Aluminum Futures	February 1, 2012		2,458,181		2,252,250		(205,931)
163	LME Aluminum Futures	February 2, 2012		8,661,616		8,159,617		(501,999)
21	LME Aluminum Futures	February 3, 2012		1,125,101		1,051,422		(73,679)
60	LME Aluminum Futures	February 10, 2012		3,191,775		3,007,815		(183,960)
6	LME Aluminum Futures	February 29, 2012		303,366		301,740		(1,626)
8	LME Aluminum Futures	March 1, 2012		418,858		402,386		(16,472)
171	LME Aluminum Futures	March 15, 2012		8,481,758		8,620,666		138,908
171	LME Aluminum Futures	March 19, 2012		8,499,983		8,629,088		129,105
25	LME Aluminum Futures	March 28, 2012		1,254,250		1,262,294		8,044
33	LME Aluminum Futures	March 29, 2012		1,641,791		1,666,360		24,569
1	LME Copper Futures	January 5, 2012		170,001		189,759		19,758
3	LME Copper Futures	January 13, 2012		553,504		569,491		15,987
4	LME Copper Futures	January 17, 2012		762,505		759,464		(3,041)
10	LME Copper Futures	January 20, 2012		1,743,763		1,898,830		155,067
19	LME Copper Futures	January 25, 2012		3,656,559		3,608,162		(48,397)
45	LME Copper Futures	January 27, 2012		8,995,192		8,546,006		(449,186)
9	LME Copper Futures	February 2, 2012		1,780,099		1,709,418		(70,681)
3	LME Copper Futures	February 10, 2012		558,754		569,903		11,149
18	LME Copper Futures	February 15, 2012		3,486,195		3,419,775		(66,420)
20	LME Copper Futures	February 29, 2012		3,740,025		3,800,305		60,280
6	LME Copper Futures	March 1, 2012		1,171,808		1,140,102		(31,706)
56	LME Copper Futures	March 19, 2012		10,614,870		10,641,400		26,530
56	LME Copper Futures	March 28, 2012		10,561,222		10,640,406		79,184
9	LME Copper Futures	March 29, 2012		1,658,374		1,710,032		51,658
5	LME Nickel Futures	January 24, 2012		570,006		561,611		(8,395)
16	LME Nickel Futures	February 10, 2012		1,740,020		1,795,644		55,624
25	LME Zinc Futures	January 12, 2012		1,221,875		1,143,281		(78,594)
43	LME Zinc Futures	January 13, 2012		2,071,525		1,966,712		(104,813)
16	LME Zinc Futures	January 17, 2012		778,100		732,200		(45,900)
10	LME Zinc Futures	March 1, 2012		507,426		459,855		(47,571)
19	LME Zinc Futures	March 29, 2012		860,724		876,290		15,566
342	Long Gilt Futures	March 28, 2012		60,828,178		62,115,184		1,287,006
265	NASDAQ 100 E-Mini Futures	March 16, 2012		12,071,886		12,054,850		(17,036)
424	S&P 500 E-Mini Futures	March 16, 2012		26,172,231		26,555,120		382,889
209	S&P MID 400 E-Mini Futures	March 16, 2012		18,086,983		18,335,570		248,587
5	U.S. Long Bond Futures	March 21, 2012		722,220		724,062		1,842
174	U.S. Treasury 10-Year Note Futures	March 21, 2012		22,780,682		22,815,750		35,068
99	U.S. Treasury 2-Year Note Futures	March 30, 2012		21,844,258		21,834,141		(10,117)
955	U.S. Treasury 5-Year Note Futures	March 30, 2012		117,184,413		117,711,211		526,798
				4,919,650,998		4,926,451,218		6,800,220

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

74 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
286	90-Day EURODollar Futures	June 18, 2012		$(70,976,055)		$(70,995,925)		$(19,870)
313	90-Day EURODollar Futures	September 17, 2012		(77,674,147)		(77,674,863)		(716)
58	90-Day EURODollar Futures	December 17, 2012		(14,380,468)		(14,390,525)		(10,057)
1,114	Cocoa Futures	March 15, 2012		(29,955,761)		(23,494,260)		6,461,501
163	Coffee ‘C’ Futures	March 20, 2012		(13,691,752)		(13,866,207)		(174,455)
992	Cotton No. 2 Futures	March 8, 2012		(45,533,200)		(45,532,800)		400
3	DAX Index Futures	March 16, 2012		(563,974)		(572,706)		(8,732)
59	Gold 100 OZ Futures	February 27, 2012		(9,493,717)		(9,244,120)		249,597
36	Hang Seng Index Futures	January 30, 2012		(4,253,137)		(4,277,393)		(24,256)
7	H-SHARES Index Futures	January 30, 2012		(455,430)		(449,341)		6,089
649	Lean Hogs Futures	February 14, 2012		(21,985,035)		(21,884,280)		100,755
4	LME Aluminum Futures	January 12, 2012		(222,815)		(199,585)		23,230
16	LME Aluminum Futures	January 13, 2012		(893,776)		(798,416)		95,360
55	LME Aluminum Futures	January 17, 2012		(3,099,540)		(2,745,613)		353,927
77	LME Aluminum Futures	January 20, 2012		(4,158,214)		(3,845,592)		312,622
13	LME Aluminum Futures	January 24, 2012		(710,222)		(649,720)		60,502
88	LME Aluminum Futures	January 25, 2012		(4,901,490)		(4,398,900)		502,590
28	LME Aluminum Futures	January 26, 2012		(1,565,865)		(1,399,902)		165,963
114	LME Aluminum Futures	January 27, 2012		(6,383,858)		(5,700,599)		683,259
45	LME Aluminum Futures	February 1, 2012		(2,452,624)		(2,252,250)		200,374
163	LME Aluminum Futures	February 2, 2012		(8,682,506)		(8,159,617)		522,889
21	LME Aluminum Futures	February 3, 2012		(1,113,166)		(1,051,422)		61,744
60	LME Aluminum Futures	February 10, 2012		(3,188,530)		(3,007,815)		180,715
6	LME Aluminum Futures	February 29, 2012		(303,142)		(301,739)		1,403
8	LME Aluminum Futures	March 1, 2012		(419,990)		(402,386)		17,604
171	LME Aluminum Futures	March 15, 2012		(8,489,936)		(8,620,666)		(130,730)
843	LME Aluminum Futures	March 19, 2012		(43,675,552)		(42,539,887)		1,135,665
25	LME Aluminum Futures	March 28, 2012		(1,255,515)		(1,262,294)		(6,779)
33	LME Aluminum Futures	March 29, 2012		(1,641,871)		(1,666,360)		(24,489)
1	LME Copper Futures	January 5, 2012		(174,053)		(189,759)		(15,706)
3	LME Copper Futures	January 13, 2012		(555,127)		(569,490)		(14,363)
4	LME Copper Futures	January 17, 2012		(759,328)		(759,464)		(136)
10	LME Copper Futures	January 20, 2012		(1,741,790)		(1,898,830)		(157,040)
19	LME Copper Futures	January 25, 2012		(3,640,851)		(3,608,161)		32,690
45	LME Copper Futures	January 27, 2012		(9,041,794)		(8,546,006)		495,788
9	LME Copper Futures	February 2, 2012		(1,790,730)		(1,709,417)		81,313
3	LME Copper Futures	February 10, 2012		(554,696)		(569,902)		(15,206)
18	LME Copper Futures	February 15, 2012		(3,468,127)		(3,419,774)		48,353
20	LME Copper Futures	February 29, 2012		(3,709,626)		(3,800,305)		(90,679)
6	LME Copper Futures	March 1, 2012		(1,173,742)		(1,140,102)		33,640
78	LME Copper Futures	March 19, 2012		(15,141,443)		(14,821,951)		319,492
56	LME Copper Futures	March 28, 2012		(10,611,930)		(10,640,406)		(28,476)
9	LME Copper Futures	March 29, 2012		(1,664,665)		(1,710,031)		(45,366)
5	LME Nickel Futures	January 24, 2012		(571,044)		(561,611)		9,433
16	LME Nickel Futures	February 10, 2012		(1,734,788)		(1,795,645)		(60,857)
154	LME Nickel Futures	March 19, 2012		(16,734,834)		(17,292,661)		(557,827)
25	LME Zinc Futures	January 12, 2012		(1,210,625)		(1,143,281)		67,344
43	LME Zinc Futures	January 13, 2012		(2,082,228)		(1,966,713)		115,515
16	LME Zinc Futures	January 17, 2012		(779,561)		(732,200)		47,361
10	LME Zinc Futures	March 1, 2012		(509,988)		(459,855)		50,133
483	LME Zinc Futures	March 19, 2012		(24,187,696)		(22,263,281)		1,924,415
19	LME Zinc Futures	March 29, 2012		(861,822)		(876,290)		(14,468)
375	MSCI Singapore Index Futures	January 30, 2012		(17,660,887)		(17,364,404)		296,483
487	MSCI Taiwan Stock Index Futures	January 30, 2012		(12,376,828)		(12,345,450)		31,378

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

AQR Funds Annual Report December 2011 75

Consolidated Schedule of Investments December 31, 2011

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
3,881	Natural Gas Swap Futures	January 27, 2012		$(31,693,365)		$(29,000,772)		$2,692,593
94	S&P/Toronto Stock Exchange 60 Index Futures	March 15, 2012		(12,272,103)		(12,528,413)		(256,310)
2,480	SGX S&P CNX Nifty Index Futures	January 25, 2012		(23,636,584)		(22,944,960)		691,624
139	Silver Futures	March 28, 2012		(19,632,807)		(19,400,925)		231,882
57	Soybean Futures	March 14, 2012		(3,283,629)		(3,442,087)		(158,458)
1,273	Soybean Meal Futures	March 14, 2012		(36,445,801)		(39,857,630)		(3,411,829)
610	Soybean Oil Futures	March 14, 2012		(18,191,380)		(19,185,720)		(994,340)
79	SPI 200 Index Futures	March 15, 2012		(8,135,602)		(8,118,501)		17,101
1,049	Sugar #11 (World Markets) Futures	February 29, 2012		(28,299,016)		(27,374,704)		924,312
320	TOPIX Index Futures	March 8, 2012		(30,186,707)		(30,266,338)		(79,631)
				(726,636,485)		(713,690,222)		12,946,263
				$4,193,014,513		$4,212,760,996		$19,746,483

Cash held as collateral with broker for futures contracts was $88,048,261 at December 31, 2011.

Forward foreign currency exchange contracts outstanding as of December 31, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	AUD		334,036,000		$334,141,502		$338,709,363		$4,567,861
Brazilian Real, Expiring 03/21/12	The Royal Bank of Scotland	BRL		5,100,000		2,698,467		2,688,327		(10,140)
Canadian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	CAD		103,857,000		101,599,744		101,770,295		170,551
Czech Republic Koruna, Expiring 03/21/12	The Royal Bank of Scotland	CZK		34,000,000		1,753,662		1,722,480		(31,182)
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		133,466,000		176,908,842		172,858,574		(4,050,268)
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		112,509,000		176,164,242		174,594,778		(1,569,464)
Indonesian Rupiah, Expiring 03/21/12	The Royal Bank of Scotland	IDR		30,900,000,000		3,352,625		3,381,171		28,546
Indian Rupee, Expiring 03/21/12	The Royal Bank of Scotland	INR		560,000,000		10,321,188		10,390,036		68,848
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		31,714,733,000		408,248,519		412,626,500		4,377,981
Korean Won, Expiring 03/21/12	The Royal Bank of Scotland	KRW		41,800,000,000		35,960,972		36,099,692		138,720
Mexican Peso, Expiring 03/21/12	The Royal Bank of Scotland	MXN		29,000,000		2,090,841		2,065,350		(25,491)
Malaysian Ringgit, Expiring 03/21/12	The Royal Bank of Scotland	MYR		39,300,000		12,336,503		12,347,394		10,891
Norwegian Krone, Expiring 03/21/12	The Royal Bank of Scotland	NOK		304,745,000		51,828,289		50,811,033		(1,017,256)
New Zealand Dollar, Expiring 03/21/12	The Royal Bank of Scotland	NZD		145,978,000		111,186,376		113,032,614		1,846,238
Philippine Peso, Expiring 03/21/12	The Royal Bank of Scotland	PHP		430,000,000		9,833,740		9,766,756		(66,984)

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

76 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Polish Zloty, Expiring 03/21/12	The Royal Bank of Scotland	PLN		40,000,000		$11,763,596		$11,506,934		$(256,662)
Russian Ruble, Expiring 03/21/12	The Royal Bank of Scotland	RUB		1,668,200,000		52,334,711		51,224,602		(1,110,109)
Swedish Krona, Expiring 03/21/12	The Royal Bank of Scotland	SEK		912,674,000		132,953,525		132,147,963		(805,562)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		27,900,000		21,590,307		21,510,306		(80,001)
Turkish Lira, Expiring 03/21/12	The Royal Bank of Scotland	TRY		2,300,000		1,196,320		1,193,093		(3,227)
Taiwanese Dollar, Expiring 03/21/12	The Royal Bank of Scotland	TWD		1,420,000,000		46,952,557		46,969,171		16,614
South African Rand, Expiring 03/22/12	The Royal Bank of Scotland	ZAR		73,000,000		8,867,908		8,934,194		66,286
						1,714,084,436		1,716,350,626		2,266,190

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	AUD		(86,516,000)		$(86,096,813)		$(87,726,411)		$(1,629,598)
Brazilian Real, Expiring 03/21/12	The Royal Bank of Scotland	BRL		(14,860,000)		(7,996,975)		(7,833,048)		163,927
Canadian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	CAD		(81,659,000)		(79,532,545)		(80,018,299)		(485,754)
Chilean Peso, Expiring 03/21/12	The Royal Bank of Scotland	CLP		(2,748,000,000)		(5,283,022)		(5,240,365)		42,657
Colombian Peso, Expiring 03/21/12	The Royal Bank of Scotland	COP		(10,230,000,000)		(5,291,471)		(5,284,378)		7,093
Czech Republic Koruna, Expiring 03/21/12	The Royal Bank of Scotland	CZK		(661,832,000)		(34,274,850)		(33,529,195)		745,655
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		(504,792,026)		(667,251,151)		(653,781,710)		13,469,441
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		(7,087,001)		(11,063,614)		(10,997,817)		65,797
Hungarian Forint, Expiring 03/21/12	The Royal Bank of Scotland	HUF		(3,304,000,000)		(14,061,875)		(13,460,000)		601,875
Israeli Shekel, Expiring 03/21/12	The Royal Bank of Scotland	ILS		(87,390,000)		(23,118,417)		(22,901,574)		216,843
Indian Rupee, Expiring 03/21/12	The Royal Bank of Scotland	INR		(4,597,600,000)		(85,163,903)		(85,302,197)		(138,294)
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		(29,719,329,000)		(382,012,318)		(386,665,173)		(4,652,855)
Korean Won, Expiring 03/21/12	The Royal Bank of Scotland	KRW		(24,066,280,000)		(20,675,083)		(20,784,337)		(109,254)
Mexican Peso, Expiring 03/21/12	The Royal Bank of Scotland	MXN		(423,000,000)		(30,518,810)		(30,125,618)		393,192
Malaysian Ringgit, Expiring 03/21/12	The Royal Bank of Scotland	MYR		(53,210,000)		(16,675,390)		(16,717,681)		(42,291)
Norwegian Krone, Expiring 03/21/12	The Royal Bank of Scotland	NOK		(30,652,000)		(5,132,240)		(5,110,698)		21,542
New Zealand Dollar, Expiring 03/21/12	The Royal Bank of Scotland	NZD		(221,127,000)		(170,016,036)		(171,221,436)		(1,205,400)

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

AQR Funds Annual Report December 2011 77

Consolidated Schedule of Investments December 31, 2011

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Philippine Peso, Expiring 03/21/12	The Royal Bank of Scotland	PHP		(355,500,000)		$(8,004,954)		$(8,074,608)		$(69,654)
Polish Zloty, Expiring 03/21/12	The Royal Bank of Scotland	PLN		(91,190,000)		(26,422,694)		(26,232,934)		189,760
Russian Ruble, Expiring 03/21/12	The Royal Bank of Scotland	RUB		(790,000,000)		(24,386,097)		(24,258,144)		127,953
Swedish Krona, Expiring 03/21/12	The Royal Bank of Scotland	SEK		(485,462,000)		(69,844,472)		(70,291,051)		(446,579)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		(63,510,000)		(48,698,627)		(48,964,859)		(266,232)
Turkish Lira, Expiring 03/21/12	The Royal Bank of Scotland	TRY		(31,390,000)		(16,414,870)		(16,283,123)		131,747
Taiwanese Dollar, Expiring 03/21/12	The Royal Bank of Scotland	TWD		(2,149,700,000)		(70,911,112)		(71,105,371)		(194,259)
South African Rand, Expiring 03/22/12	The Royal Bank of Scotland	ZAR		(245,600,000)		(29,391,293)		(30,058,057)		(666,764)
						(1,938,238,632)		(1,931,968,084)		6,270,548
						$(224,154,196)		$(215,617,458)		$8,536,738

Money Market Fund is pledged as collateral to the broker for forward foreign currency exchange contracts in the amount of $4,836,432.

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

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 - Polish Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwan Dollar

ZAR - South African Rand

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

78 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

	MOODY’S RATING* (UNAUDITED)		INTEREST RATE		MATURITY DATE		CURRENCY	PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
GOVERNMENT RELATED OBLIGATIONS - 22.2%
Sovereign Debt - 22.2%
France Government Bond OAT (France)		NR		1.600%		07/25/15	EUR		29,966	$	40,470,387
France Government Bond OAT (France)		NR		2.250%		07/25/20	EUR		12,752		17,693,690
United Kingdom Treasury Gilt (United Kingdom)		NR		1.875%		11/22/22	GBP		14,236		28,250,779
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $88,786,237)											86,414,856
U.S. TREASURY OBLIGATIONS - 15.7%
U.S. Treasury Inflation Protected Securities Bonds - 15.7%
U.S. Treasury Bond		NR		1.250%		07/15/20	USD		14,900		17,497,434
U.S. Treasury Bond		NR		0.500%		04/15/15	USD		39,700		43,400,178
TOTAL U.S. TREASURY OBLIGATIONS (cost $59,847,715)											60,897,612
MONEY MARKET FUNDS - 56.5%								SHARES
BlackRock Liquidity Funds TempFund Portfolio, Series I, Class I, 0.110% (a)									4,000,858		4,000,858
Dreyfus Treasury Cash Management, Series I, Class I, 0.010% (a)									16,003,433		16,003,433
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.123% (a)(b)									16,971,293		16,971,293
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)									162,987,098		162,987,098
UBS Money Series - UBS Select Treasury Preferred Fund, Series I, Class I, 0.010% (a)									20,004,292		20,004,292
TOTAL MONEY MARKET FUNDS (cost $219,966,974)											219,966,974
TOTAL INVESTMENTS - 94.4% (cost $368,600,926)											367,279,442
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.6% (c)											21,807,280
NET ASSETS - 100.0%										$	389,086,722

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

(a) Represents annualized seven-day yield as of December 31, 2011.

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

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

* The rating reflected is as December 31, 2011 and is unaudited. Rating of certain bonds may have changed subsequent to the date.

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

NR - Not Rated by Moody’s

USD - United States Dollar

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

AQR Funds Annual Report December 2011 79

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

Credit default swap contracts sell protection as of December 31, 2011

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND	CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank Of America	Markit CMBX North America AJ 3	1.470%	USD		225,000		$(45,932)		12/13/2049		$(40,910)
Bank Of America	Markit CMBX North America AJ 4	0.960%	USD		325,000		(81,719)		2/17/2051		(59,339)
Bank Of America	Markit CMBX North America AJ 5	0.980%	USD		150,000		(27,618)		2/15/2051		(35,815)
Morgan Stanley Capital Services Inc.	Markit CMBX North America AJ 3	1.470%	USD		450,000		(177,809)		12/13/2049		4,126
Morgan Stanley Capital Services Inc.	Markit CMBX North America AJ 4	0.960%	USD		500,000		(227,118)		2/17/2051		10,106
Morgan Stanley Capital Services Inc.	Markit CMBX North America AJ 5	0.980%	USD		550,000		(207,295)		2/15/2051		(25,293)
Royal Bank Of Scotland	iTraxx Europe Crossover Series 16.V1	1.000%	EUR		22,500,000		(1,228,959)		12/20/2016		272,270
Royal Bank Of Scotland	iTraxx Europe Crossover Series 16.V1	5.000%	EUR		14,975,000		(2,327,714)		12/20/2016		583,536
Royal Bank Of Scotland	Markit CDX Emerging Market Index Series 16	5.000%	USD		14,700,000		1,006,965		12/20/2016		276,485
Royal Bank Of Scotland	Markit CDX North America High Yield Index Series 17	5.000%	USD		48,950,000		(4,469,597)		12/20/2016		1,177,277
Royal Bank Of Scotland	Markit CDX North America Investment Grade Index Series 17	1.000%	USD		56,875,000		(929,287)		12/20/2016		412,964
Royal Bank Of Scotland	Markit CMBX North America AJ 3	1.470%	USD		175,000		(23,036)		12/13/2049		(44,507)
Royal Bank Of Scotland	Markit CMBX North America AJ 4	0.960%	USD		100,000		(22,740)		2/17/2051		(20,662)
Royal Bank Of Scotland	Markit CMBX North America AJ 5	0.980%	USD		150,000		(25,318)		2/15/2051		(38,115)
							$(8,787,177)				$2,472,123

Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $1,577,189. Additional

collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.

Interest rate swap contracts outstanding as of December 31, 2011

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY	NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	1.922%	(1)	CZK		68,000,000		9/21/2016		$(48,793)
The Royal Bank of Scotland	2.010%	(1)	CZK		38,000,000		9/21/2016		(35,601)
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.690%	CZK		51,000,000		9/21/2016		134,709
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	3.110%	CZK		9,000,000		9/21/2016		33,247
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	3.225%	CZK		6,000,000		9/21/2016		23,894
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	3.268%	CZK		37,000,000		9/21/2016		151,290

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

80 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY	NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	1.680%	CZK		20,000,000		3/15/2017		$(1,586)
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	1.724%	CZK		18,000,000		3/15/2017		537
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	1.750%	CZK		4,000,000		3/15/2017		377
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	1.810%	CZK		11,000,000		3/15/2017		2,674
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	1.890%	CZK		12,000,000		3/15/2017		5,298
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	1.920%	CZK		13,000,000		3/15/2017		6,707
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	1.960%	CZK		40,000,000		3/15/2017		24,606
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.043%	CZK		69,000,000		3/15/2017		56,563
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.050%	CZK		7,000,000		3/15/2017		5,869
The Royal Bank of Scotland	2.495%	(2)	HKD		15,800,000		3/16/2016		(121,351)
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.630%	HKD		1,590,000		3/16/2016		4,758
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.748%	HKD		2,760,959		3/16/2016		10,020
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.145%	HKD		1,550,000		3/16/2016		8,964
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.205%	HKD		7,400,000		3/16/2016		45,204
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.210%	HKD		1,320,000		3/16/2016		8,099
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.235%	HKD		1,300,000		3/16/2016		8,153
The Royal Bank of Scotland	1.180%	(2)	HKD		35,100,000		9/21/2016		2,834
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.990%	HKD		13,700,000		9/21/2016		66,193
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.530%	HKD		1,800,000		9/21/2016		14,592
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.880%	HKD		2,500,000		9/21/2016		25,573
The Royal Bank of Scotland	3 month Hong Kong Interbank OfferedRate	2.915%	HKD		15,900,000		9/21/2016		166,019
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.300%	HKD		13,000,000		3/15/2017		(3,492)
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.370%	HKD		10,500,000		3/15/2017		1,835
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.390%	HKD		35,400,000		3/15/2017		10,673
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.410%	HKD		12,000,000		3/15/2017		5,138
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.415%	HKD		3,700,000		3/15/2017		1,702
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.470%	HKD		5,000,000		3/15/2017		4,041
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.490%	HKD		2,800,000		3/15/2017		2,618
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.500%	HKD		7,500,000		3/15/2017		7,488
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.505%	HKD		7,900,000		3/15/2017		8,137
The Royal Bank of Scotland	6.050%	(3)	HUF		630,000,000		9/21/2016		178,424
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.150%	HUF		70,000,000		9/21/2016		(18,534)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.580%	HUF		100,000,000		9/21/2016		(18,544)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.730%	HUF		70,000,000		9/21/2016		(11,043)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.930%	HUF		50,000,000		9/21/2016		(6,043)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	7.110%	HUF		320,000,000		9/21/2016		(28,051)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.110%	HUF		640,000,000		3/16/2017		(192,408)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.160%	HUF		130,000,000		3/16/2017		(37,912)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.220%	HUF		80,000,000		3/16/2017		(20,929)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.880%	HUF		120,000,000		3/16/2017		(19,425)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.880%	HUF		90,000,000		3/16/2017		(14,569)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	7.030%	HUF		210,000,000		3/16/2017		(28,318)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	7.130%	HUF		70,000,000		3/16/2017		(8,178)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	7.270%	HUF		200,000,000		3/16/2017		(18,319)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	7.565%	HUF		400,000,000		3/16/2017		(15,374)
The Royal Bank of Scotland	3.950%	(4)	KRW		220,000,000		3/16/2016		(4,614)
The Royal Bank of Scotland	4.270%	(4)	KRW		5,100,000,000		3/16/2016		(162,793)
The Royal Bank of Scotland	4.270%	(4)	KRW		5,100,000,000		3/16/2016		(162,793)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.680%	KRW		200,000,000		3/16/2016		2,346
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.690%	KRW		380,000,000		3/16/2016		4,588
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.690%	KRW		330,000,000		3/16/2016		3,985
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.700%	KRW		200,000,000		3/16/2016		2,483
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.750%	KRW		1,455,153,531		3/16/2016		20,562
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.930%	KRW		860,000,000		3/16/2016		17,446
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.115%	KRW		490,000,000		3/16/2016		13,042
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.240%	KRW		5,100,000,000		3/16/2016		157,558

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

AQR Funds Annual Report December 2011 81

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	��	PAYMENTS RECEIVED BY THE FUND	CURRENCY	NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		4.255%	KRW		630,000,000		3/16/2016		$19,786
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		4.285%	KRW		700,000,000		3/16/2016		22,703
The Royal Bank of Scotland	3.405%		(4)	KRW		22,400,000,000		9/21/2016		(39,464)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.490%	KRW		5,200,000,000		9/21/2016		25,969
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		4.035%	KRW		3,500,000,000		9/21/2016		90,101
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		4.265%	KRW		1,800,000,000		9/21/2016		62,099
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		4.395%	KRW		5,100,000,000		9/21/2016		201,189
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		4.400%	KRW		1,400,000,000		9/21/2016		55,495
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		4.405%	KRW		5,000,000,000		9/21/2016		199,148
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.340%	KRW		7,000,000,000		3/15/2017		(8,617)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.370%	KRW		3,700,000,000		3/15/2017		(178)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.370%	KRW		5,000,000,000		3/15/2017		(241)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.388%	KRW		22,500,000,000		3/15/2017		14,902
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.440%	KRW		3,000,000,000		3/15/2017		8,136
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.440%	KRW		3,500,000,000		3/15/2017		9,492
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.450%	KRW		5,400,000,000		3/15/2017		16,775
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.515%	KRW		4,600,000,000		3/15/2017		26,079
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.550%	KRW		4,000,000,000		3/15/2017		28,198
The Royal Bank of Scotland	3 month Korean Certificate of Deposit		3.380%	KRW		7,000,000,000		3/15/2017		2,423
The Royal Bank of Scotland	5.600%		(5)	PLN		14,400,000		3/16/2016		(268,038)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.940%	PLN		2,060,979		3/16/2016		19,485
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.980%	PLN		990,000		3/16/2016		10,105
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.270%	PLN		590,000		3/16/2016		8,342
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.560%	PLN		1,780,000		3/16/2016		32,167
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.600%	PLN		500,000		3/16/2016		9,307
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.640%	PLN		1,280,000		3/16/2016		24,520
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.690%	PLN		7,200,000		3/16/2016		142,805
The Royal Bank of Scotland	4.560%		(5)	PLN		16,500,000		9/21/2016		49,354
The Royal Bank of Scotland	4.600%		(5)	PLN		16,500,000		9/21/2016		40,557
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.700%	PLN		11,600,000		9/21/2016		(43,497)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.550%	PLN		3,500,000		9/21/2016		35,715
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.690%	PLN		2,400,000		9/21/2016		28,969
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.740%	PLN		14,500,000		9/21/2016		184,685
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.554%	PLN		16,600,000		3/15/2017		(53,124)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.600%	PLN		7,300,000		3/15/2017		(18,972)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.615%	PLN		16,600,000		3/15/2017		(39,887)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.670%	PLN		4,600,000		3/15/2017		(7,746)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.740%	PLN		3,600,000		3/15/2017		(2,768)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.780%	PLN		7,000,000		3/15/2017		20,514
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.840%	PLN		8,800,000		3/15/2017		4,738
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.850%	PLN		5,000,000		3/15/2017		3,345
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.880%	PLN		1,900,000		3/15/2017		2,016
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		4.900%	PLN		15,000,000		3/15/2017		19,840
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate		5.023%	PLN		7,000,000		3/15/2017		(1,722)
The Royal Bank of Scotland	2.185%		(6)	SGD		2,300,000		3/16/2016		(87,327)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		1.750%	SGD		220,000		3/16/2016		5,042
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		1.815%	SGD		365,898		3/16/2016		9,423
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		2.055%	SGD		1,200,000		3/16/2016		40,165
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		2.145%	SGD		260,000		3/16/2016		9,512
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		2.190%	SGD		220,000		3/16/2016		8,391
The Royal Bank of Scotland	0.940%		(6)	SGD		400,000		9/21/2016		4,805
The Royal Bank of Scotland	1.040%		(6)	SGD		4,800,000		9/21/2016		39,162
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		1.945%	SGD		2,200,000		9/21/2016		58,766
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		2.250%	SGD		200,000		9/21/2016		7,693
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		2.540%	SGD		2,300,000		9/21/2016		114,167
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate		2.550%	SGD		300,000		9/21/2016		15,007

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

82 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.290%		SGD		600,000		3/15/2017		$(3,792)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.295%		SGD		1,500,000		3/15/2017		(9,191)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.298%		SGD		1,400,000		3/15/2017		(8,445)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.300%		SGD		4,900,000		3/15/2017		(29,090)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.320%		SGD		900,000		3/15/2017		(4,654)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.340%		SGD		900,000		3/15/2017		(3,964)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.400%		SGD		2,000,000		3/15/2017		(4,190)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.410%		SGD		900,000		3/15/2017		(1,551)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.460%		SGD		3,000,000		3/15/2017		575
The Royal Bank of Scotland	6.955%	(7)		ZAR		1,560,000		3/16/2016		(2,860)
The Royal Bank of Scotland	7.930%	(7)		ZAR		25,700,000		3/16/2016		(165,083)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.040%		ZAR		1,320,000		3/16/2016		2,948
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.080%		ZAR		1,320,000		3/16/2016		3,196
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.155%		ZAR		3,282,843		3/16/2016		9,109
The Royal Bank of Scotland	3 month Johannesburg Interbank Offered Rate	7.350%		ZAR		1,370,000		3/16/2016		5,060
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.390%		ZAR		2,390,000		3/16/2016		9,276
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.610%		ZAR		2,810,000		3/16/2016		13,816
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.785%		ZAR		1,800,000		3/16/2016		10,333
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.990%		ZAR		13,100,000		3/16/2016		87,848
The Royal Bank of Scotland	6.470%	(7)		ZAR		29,400,000		9/21/2016		36,698
The Royal Bank of Scotland	6.500%	(7)		ZAR		29,400,000		9/21/2016		32,867
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	6.790%		ZAR		10,800,000		9/21/2016		4,533
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.750%		ZAR		5,300,000		9/21/2016		28,746
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.840%		ZAR		8,000,000		9/21/2016		47,143
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	8.275%		ZAR		5,100,000		9/21/2016		41,617
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	8.310%		ZAR		1,700,000		9/21/2016		14,183
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	8.332%		ZAR		25,900,000		9/21/2016		219,046
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	6.620%		ZAR		11,700,000		3/15/2017		(18,324)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	6.720%		ZAR		29,700,000		3/15/2017		(30,606)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	6.750%		ZAR		29,700,000		3/15/2017		(25,834)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	6.830%		ZAR		16,300,000		3/15/2017		(7,193)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	6.960%		ZAR		6,700,000		3/15/2017		1,710
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	6.990%		ZAR		14,500,000		3/15/2017		6,029
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	6.990%		ZAR		18,000,000		3/15/2017		7,484
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.000%		ZAR		9,600,000		3/15/2017		4,506
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.190%		ZAR		19,000,000		3/15/2017		28,254
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.190%		ZAR		21,000,000		3/15/2017		31,228
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.300%		ZAR		17,500,000		3/15/2017		36,298
										$1,796,813

(1) 6 month Prague Interbank Offered Rate

(2) 3 month Hong Kong Interbank Offered Rate

(3) 6 month Budapest Interbank Offered Rate

(4) 3 month Korean Certificate of Deposit

(5) 6 month Warsaw Interbank Offered Rate

(6) 6 month Singapore Interbank Offered Rate

(7) 3 month Johannesburg Interbank Agreed Rate

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

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

AQR Funds Annual Report December 2011 83

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

Total return swap contracts outstanding as of December 31, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Morgan Stanley and Co., International PLC	Bovespa Index	2/15/2012	BRL		3,791,800		$(42,051)
Bank of America	Euro - Bund Futures	3/8/2012	EUR		57,206,710		1,735,509
Bank of America	Long Gilt Futures	3/28/2012	GBP		12,514,101		363,522
Bank of America	Mini Japanese 10-Year Treasury Bond	3/9/2012	JPY		14,335,144,600		622,529
Morgan Stanley and Co., International PLC	Russian Depository Index	6/15/2050	USD		524,617		(6,117)
Morgan Stanley and Co., International PLC	Russian Trading System Index Futures	3/15/2012	USD		709,885		3,689
Barclays Capital	Soybean Futures	3/14/2012	USD		63,963		(3,575)
Morgan Stanley and Co., International PLC	Swiss Market Index Futures	3/16/2012	CHF		2,222,972		78,991
Bank of America	U.S. Treasury 10-Year Note Futures	3/21/2012	USD		127,647,464		986,161
							$3,738,658

Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $291,375.

Open futures contracts outstanding at December 31, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
17	Amsterdam Index Futures	January 20, 2012		$1,331,640		$1,378,441		$46,801
18	Australia 10-Year Bond Futures	March 15, 2012		2,168,702		2,188,904		20,202
68	CAC40 10 Euro Futures	January 20, 2012		2,674,894		2,785,925		111,031
1	Cattle Feeder Futures	January 26, 2012		71,938		73,175		1,237
1	Cocoa Futures	May 15, 2012		25,168		21,310		(3,858)
3	Coffee ‘C’ Futures	May 18, 2012		266,138		258,356		(7,782)
100	Corn Futures	May 14, 2012		3,225,395		3,273,750		48,355
33	Cotton No. 2 Futures	March 8, 2012		1,654,677		1,514,700		(139,977)
132	Crude Oil Financial Futures	February 17, 2012		12,635,740		13,068,000		432,260
12	DAX Index Futures	March 16, 2012		2,259,892		2,290,822		30,930
27	E-Mini Russell 2000 Futures	March 16, 2012		1,970,947		1,994,760		23,813
71	FTSE 100 Index Futures	March 16, 2012		5,967,208		6,104,160		136,952
46	FTSE/JSE Top 40 Index Futures	March 15, 2012		1,645,055		1,629,150		(15,905)
10	FTSE/MIB Index Futures	March 16, 2012		962,410		978,000		15,590
33	Globex Brent FCL Futures	February 13, 2012		3,631,460		3,526,710		(104,750)
9	Globex Heat Oil Futures	February 28, 2012		1,070,328		1,098,430		28,102
9	Globex RBOB Gas Futures	February 28, 2012		968,528		1,003,665		35,137
47	Gold 100 OZ Futures	February 27, 2012		8,076,733		7,363,960		(712,773)
32	H-SHARES Index Futures	January 30, 2012		2,081,736		2,054,129		(27,607)
18	IBEX 35 Index Futures	January 20, 2012		1,930,108		1,974,611		44,503
16	ICE Euro Gasoil Futures	February 9, 2012		1,526,225		1,468,800		(57,425)
23	KOSPI Index 200 Futures	March 8, 2012		2,464,208		2,381,858		(82,350)
8	Lean Hogs Futures	April 16, 2012		293,407		280,640		(12,767)
12	Live Cattle Futures	April 30, 2012		615,008		602,160		(12,848)
3	LME Aluminum Futures	January 4, 2012		165,641		149,587		(16,054)
1	LME Aluminum Futures	January 5, 2012		55,065		49,862		(5,203)
2	LME Aluminum Futures	January 19, 2012		110,103		99,868		(10,235)
3	LME Aluminum Futures	January 25, 2012		167,884		149,963		(17,921)

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

84 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
7	LME Aluminum Futures	January 27, 2012		$393,745		$350,037		$(43,708)
14	LME Aluminum Futures	February 2, 2012		743,768		700,826		(42,942)
2	LME Aluminum Futures	February 3, 2012		107,203		100,136		(7,067)
9	LME Aluminum Futures	February 17, 2012		479,849		451,724		(28,125)
4	LME Aluminum Futures	February 29, 2012		202,244		201,160		(1,084)
1	LME Aluminum Futures	March 1, 2012		52,357		50,298		(2,059)
5	LME Aluminum Futures	March 8, 2012		260,631		251,778		(8,853)
3	LME Aluminum Futures	March 15, 2012		148,803		151,240		2,437
71	LME Aluminum Futures	March 19, 2012		4,111,573		3,582,838		(528,735)
1	LME Aluminum Futures	March 22, 2012		50,039		50,467		428
3	LME Aluminum Futures	March 29, 2012		149,404		151,488		2,084
29	LME Aluminum Futures	June 18, 2012		1,535,886		1,482,806		(53,080)
2	LME Copper Futures	January 4, 2012		340,503		379,501		38,998
1	LME Copper Futures	January 5, 2012		174,217		189,759		15,542
1	LME Copper Futures	January 19, 2012		183,376		189,879		6,503
1	LME Copper Futures	January 20, 2012		174,121		189,883		15,762
1	LME Copper Futures	January 25, 2012		192,450		189,903		(2,547)
2	LME Copper Futures	January 27, 2012		398,713		379,823		(18,890)
1	LME Copper Futures	February 2, 2012		197,876		189,935		(7,941)
1	LME Copper Futures	February 10, 2012		186,501		189,967		3,466
2	LME Copper Futures	February 17, 2012		379,965		379,983		18
2	LME Copper Futures	February 29, 2012		373,753		380,031		6,278
1	LME Copper Futures	March 1, 2012		195,301		190,017		(5,284)
2	LME Copper Futures	March 15, 2012		362,853		380,051		17,198
24	LME Copper Futures	March 19, 2012		5,176,953		4,560,600		(616,353)
2	LME Copper Futures	March 22, 2012		375,380		380,043		4,663
5	LME Copper Futures	March 28, 2012		942,966		950,036		7,070
1	LME Copper Futures	March 29, 2012		184,376		190,003		5,627
13	LME Copper Futures	June 18, 2012		2,508,404		2,473,250		(35,154)
1	LME Lead Futures	March 19, 2012		60,675		50,831		(9,844)
1	LME Lead Futures	June 18, 2012		52,840		51,262		(1,578)
1	LME Nickel Futures	March 19, 2012		127,452		112,290		(15,162)
1	LME Nickel Futures	June 18, 2012		107,791		112,410		4,619
1	LME Zinc Futures	March 19, 2012		56,000		46,094		(9,906)
1	LME Zinc Futures	June 18, 2012		50,976		46,568		(4,408)
65	MSCI Taiwan Stock Index Futures	January 30, 2012		1,652,241		1,647,750		(4,491)
396	Natural Gas Swap Futures	February 27, 2012		3,135,838		2,985,840		(149,998)
423	S&P 500 E-Mini Futures	March 16, 2012		26,184,410		26,492,490		308,080
26	S&P MID 400 E-Mini Futures	March 16, 2012		2,263,117		2,280,980		17,863
9	S&P/Toronto Stock Exchange 60 Index Futures	March 15, 2012		1,188,208		1,199,529		11,321
1	Silver Futures	March 28, 2012		171,602		139,575		(32,027)
7	Soybean Futures	May 14, 2012		402,244		426,125		23,881
3	SPI 200 Index Futures	March 15, 2012		319,887		308,297		(11,590)
27	Sugar #11 (World Markets) Futures	February 29, 2012		803,491		704,592		(98,899)
22	TOPIX Index Futures	March 8, 2012		2,118,418		2,080,811		(37,607)
54	Wheat Futures	May 14, 2012		1,772,022		1,812,375		40,353
				121,066,660		119,568,977		(1,497,683)
Short Contracts:
16	Cotton No. 2 Futures	May 8, 2012		(730,312)		(733,440)		(3,128)
3	LME Aluminum Futures	January 4, 2012		(165,371)		(149,587)		15,784
1	LME Aluminum Futures	January 5, 2012		(54,299)		(49,863)		4,436
2	LME Aluminum Futures	January 19, 2012		(110,065)		(99,867)		10,198
3	LME Aluminum Futures	January 25, 2012		(167,096)		(149,962)		17,134

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

AQR Funds Annual Report December 2011 85

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
7	LME Aluminum Futures	January 27, 2012		$(392,741)		$(350,037)		$42,704
14	LME Aluminum Futures	February 2, 2012		(745,737)		(700,826)		44,911
2	LME Aluminum Futures	February 3, 2012		(106,016)		(100,136)		5,880
9	LME Aluminum Futures	February 17, 2012		(474,614)		(451,724)		22,890
4	LME Aluminum Futures	February 29, 2012		(201,995)		(201,160)		835
1	LME Aluminum Futures	March 1, 2012		(52,624)		(50,299)		2,325
5	LME Aluminum Futures	March 8, 2012		(260,860)		(251,779)		9,081
3	LME Aluminum Futures	March 15, 2012		(148,721)		(151,240)		(2,519)
71	LME Aluminum Futures	March 19, 2012		(3,861,847)		(3,582,838)		279,009
1	LME Aluminum Futures	March 22, 2012		(49,874)		(50,467)		(593)
3	LME Aluminum Futures	March 29, 2012		(149,261)		(151,487)		(2,226)
8	LME Aluminum Futures	June 18, 2012		(415,377)		(409,050)		6,327
2	LME Copper Futures	January 4, 2012		(344,348)		(379,499)		(35,151)
1	LME Copper Futures	January 5, 2012		(169,749)		(189,759)		(20,010)
1	LME Copper Futures	January 19, 2012		(183,578)		(189,879)		(6,301)
1	LME Copper Futures	January 20, 2012		(174,374)		(189,883)		(15,509)
1	LME Copper Futures	January 25, 2012		(191,124)		(189,903)		1,221
2	LME Copper Futures	January 27, 2012		(401,872)		(379,822)		22,050
1	LME Copper Futures	February 2, 2012		(198,970)		(189,935)		9,035
1	LME Copper Futures	February 10, 2012		(184,899)		(189,968)		(5,069)
2	LME Copper Futures	February 17, 2012		(377,551)		(379,983)		(2,432)
2	LME Copper Futures	February 29, 2012		(370,963)		(380,031)		(9,068)
1	LME Copper Futures	March 1, 2012		(195,374)		(190,017)		5,357
2	LME Copper Futures	March 15, 2012		(362,390)		(380,050)		(17,660)
24	LME Copper Futures	March 19, 2012		(4,735,551)		(4,560,600)		174,951
2	LME Copper Futures	March 22, 2012		(376,247)		(380,043)		(3,796)
5	LME Copper Futures	March 28, 2012		(947,494)		(950,037)		(2,543)
1	LME Copper Futures	March 29, 2012		(184,963)		(190,004)		(5,041)
3	LME Copper Futures	June 18, 2012		(548,221)		(570,750)		(22,529)
1	LME Lead Futures	March 19, 2012		(52,385)		(50,832)		1,553
1	LME Nickel Futures	March 19, 2012		(107,699)		(112,290)		(4,591)
1	LME Zinc Futures	March 19, 2012		(50,542)		(46,093)		4,449
11	Sugar #11 (World Markets) Futures	April 30, 2012		(280,845)		(282,744)		(1,899)
				(18,525,949)		(18,005,884)		520,065
				$102,540,711		$101,563,093		$(977,618)

Cash held as collateral with broker for futures contracts was $10,907,942 at December 31, 2011.

Forward foreign currency exchange contracts outstanding as of December 31, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/21/12	The Royal Bank of Scotland	BRL		15,487,000		$8,289,453		$8,163,554		$(125,899)
Israeli Shekel, Expiring 03/21/12	The Royal Bank of Scotland	ILS		17,770,000		4,704,536		4,656,837		(47,699)
Korean Won, Expiring 03/21/12	The Royal Bank of Scotland	KRW		9,713,198,000		8,365,547		8,388,599		23,052
Mexican Peso, Expiring 03/21/12	The Royal Bank of Scotland	MXN		158,645,000		11,473,267		11,298,531		(174,736)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		7,288,000		5,590,160		5,618,893		28,733

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

86 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR RISK PARITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(Continued)
Turkish Lira, Expiring 03/21/12	The Royal Bank of Scotland	TRY		9,954,000		$5,194,730		$5,163,499		$(31,231)
Taiwanese Dollar, Expiring 03/21/12	The Royal Bank of Scotland	TWD		136,598,000		4,514,046		4,518,236		4,190
South African Rand, Expiring 03/22/12	The Royal Bank of Scotland	ZAR		14,788,000		1,775,436		1,809,847		34,411
						49,907,175		49,617,996		(289,179)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/21/12	The Royal Bank of Scotland	BRL		(24,000)		$(12,735)		$(12,651)		$84
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		(64,617,000)		(85,020,456)		(83,688,748)		1,331,708
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		(18,550,000)		(28,909,870)		(28,786,436)		123,434
Hong Kong Dollar, Expiring 03/21/12	The Royal Bank of Scotland	HKD		(33,000)		(4,241)		(4,250)		(9)
Hungarian Forint, Expiring 03/21/12	The Royal Bank of Scotland	HUF		(4,008,000)		(17,252)		(16,328)		924
Israeli Shekel, Expiring 03/21/12	The Royal Bank of Scotland	ILS		(2,911,000)		(769,195)		(762,862)		6,333
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		(4,126,000)		(53,055)		(53,682)		(627)
Russian Ruble, Expiring 03/21/12	The Royal Bank of Scotland	RUB		(41,220,000)		(1,286,216)		(1,265,722)		20,494
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		(1,034,000)		(797,173)		(797,192)		(19)
Taiwanese Dollar, Expiring 03/21/12	The Royal Bank of Scotland	TWD		(41,310,000)		(1,367,425)		(1,366,405)		1,020
South African Rand, Expiring 03/22/12	The Royal Bank of Scotland	ZAR		(727,000)		(88,566)		(88,975)		(409)
						(118,326,184)		(116,843,251)		1,482,933
						$(68,419,009)		$(67,225,255)		$1,193,754

Money Market Fund is pledged as collateral to the broker for forward foreign currency exchange, credit default swap and interest rate swap contracts in the amount of $15,102,650.

BRL - Brazilian Real

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

RUB - Russian Ruble

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwan Dollar

ZAR - South African Rand

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

AQR Funds Annual Report December 2011 87

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

LONG INVESTMENTS - 37.6%	SHARES		VALUE (Note 3)
COMMON STOCKS - 1.3%
Energy - 0.0% (a)
Superior Energy Services, Inc. †		1,500	$	42,660
Health Care - 0.6%
Pharmasset, Inc. †		13,257		1,699,548
Information Technology - 0.7%
SuccessFactors, Inc. †		55,291		2,204,452
TOTAL COMMON STOCKS (Cost $4,009,209)				3,946,660

CONVERTIBLE PREFERRED STOCKS - 0.5%	MOODY’S RATING* (UNAUDITED)							SHARES		VALUE (Note 3)
Financials - 0.5%
Citigroup, Inc., $100.00 par, 7.500%		NR							10,000	$	812,500
MetLife, Inc., $82.88 par, 5.000%		BBB-	**						9,560		589,087
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $1,509,735)											1,401,587
CORPORATE BONDS - 14.2%				INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)
Consumer Staples - 1.4%
Archer-Daniels-Midland Co. (2)		A	**		0.875%		02/15/14	$	600		603,000
Smithfield Foods, Inc. (2)(b)		BB-	**		4.000%		06/30/13		3,075		3,770,719
											4,373,719
Energy - 0.1%
Global Industries Ltd. (2)		NR			2.750%		08/01/27		375		374,062
Financials - 2.4%
Health Care REIT, Inc. (2)(b)		Baa2			3.000%		12/01/29		2,525		2,887,969
PHH Corp. (2)(b)		Ba2			4.000%		04/15/12		1,175		1,111,843
SL Green Operating Partnership LP 144A (2)(b)		NR			3.000%		10/15/17		3,000		3,093,750
											7,093,562
Health Care - 2.3%
Amgen, Inc., Series B (2)(b)		Baa1			0.375%		02/01/13		2,500		2,509,375
Gilead Sciences, Inc. (2)		Baa1			1.625%		05/01/16		3,000		3,416,250
Omnicare, Inc. (2)(b)		Ba3			3.750%		12/15/25		725		1,007,750
											6,933,375
Industrials - 1.7%
Chart Industries, Inc. (2)		B+	**		2.000%		08/01/18		2,225		2,350,156
General Cable Corp. (2)(b)(c)		B2			4.500%		11/15/29		1,650		1,561,313
L-3 Communications Holdings, Inc. (2)		Ba1			3.000%		08/01/35		1,400		1,340,500
											5,251,969
Information Technology - 5.0%
Equinix, Inc. (2)		NR			4.750%		06/15/16		1,675		2,357,563
Microchip Technology, Inc. (2)		NR			2.125%		12/15/37		2,050		2,767,500
NetApp, Inc. (2)		NR			1.750%		06/01/13		2,500		3,156,250
Salesforce.com, Inc. (2)(b)		NR			0.750%		01/15/15		1,725		2,356,781
Xilinx, Inc. (2)(b)		BB+**			3.125%		03/15/37		4,000		4,540,000
											15,178,094

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

88 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

	MOODY’S RATING* (UNAUDITED)			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Materials - 1.3%
United States Steel Corp. (2)		NR			4.000%		05/15/14	$	3,450	$	3,816,563
TOTAL CORPORATE BONDS (Cost $43,147,080)											43,021,344
CONVERTIBLE BONDS - 21.6%
Consumer Discretionary - 2.8%
DR Horton, Inc., Series DHI (2)(b)		Ba3			2.000%		05/15/14		2,800		3,269,000
Ford Motor Co. (2)(b)		Ba2			4.250%		11/15/16		1,250		1,792,187
Gaylord Entertainment Co. 144A (2)(b)(d)		NR			3.750%		10/01/14		1,175		1,307,188
Lennar Corp. 144A (2)(d)		B3			3.250%		11/15/21		100		109,375
Lennar Corp. 144A (2)(b)(d)		B3			2.750%		12/15/20		500		557,500
Lennar Corp. 144A (2)(b)(d)		B3			2.000%		12/01/20		1,000		1,005,000
priceline.com, Inc. 144A (2)(b)(d)		BBB-	**		1.250%		03/15/15		275		452,719
											8,492,969
Consumer Staples - 1.3%
Tyson Foods, Inc. (2)(b)		BB+	**		3.250%		10/15/13		2,975		3,945,593
Financials - 4.1%
Ares Capital Corp. 144A (2)(d)		BBB	**		5.750%		02/01/16		800		770,000
Boston Properties LP 144A (2)(b)(d)		A-	**		3.625%		02/15/14		1,500		1,618,125
Boston Properties LP (2)(b)		A-	**		3.750%		05/15/36		750		856,875
DDR Corp. (2)		NR			1.750%		11/15/40		820		803,600
Digital Realty Trust LP 144A (2)(b)(d)		NR			5.500%		04/15/29		1,650		2,737,969
Host Hotels & Resorts LP 144A (2)(b)(d)		BB+	**		2.500%		10/15/29		2,150		2,663,312
PHH Corp. (2)		Ba2			4.000%		09/01/14		600		483,000
ProLogis LP (2)(b)		BBB-	**		3.250%		03/15/15		2,250		2,320,313
											12,253,194
Health Care - 0.3%
Mylan, Inc. (2)		BB	**		1.250%		03/15/12		1,000		1,002,500
Industrials - 4.0%
Avis Budget Group, Inc. (2)(b)		NR			3.500%		10/01/14		3,300		3,366,000
Hertz Global Holdings, Inc. (2)(b)		B-	**		5.250%		06/01/14		4,000		6,225,000
Navistar International Corp. (2)(b)		B	**		3.000%		10/15/14		1,000		1,077,500
Textron, Inc., Series TXT (2)(b)		Baa3			4.500%		05/01/13		875		1,343,125
											12,011,625
Information Technology - 3.9%
Amkor Technology, Inc. (2)(b)		NR			6.000%		04/15/14		1,175		1,853,563
Cadence Design Systems, Inc. (2)(b)		NR			2.625%		06/01/15		2,900		4,382,625
Ciena Corp. 144A (2)(b)(d)		NR			4.000%		03/15/15		500		491,250
SanDisk Corp. (2)		BB	**		1.500%		08/15/17		1,475		1,736,812
Take-Two Interactive Software, Inc. 144A (2)(b)(d)		NR			1.750%		12/01/16		200		194,250
VeriFone Systems, Inc. (2)		BB-	**		1.375%		06/15/12		175		179,375
VeriSign, Inc. (2)(b)		NR			3.250%		08/15/37		2,344		2,801,080
											11,638,955
Materials - 3.5%
Alcoa, Inc.(2)(b)		Baa3			5.250%		03/15/14		3,550		5,369,375
Allegheny Technologies, Inc.(2)(b)		BBB-	**		4.250%		06/01/14		3,425		4,790,719
Cemex SAB de CV 144A (Mexico)(2)(b)(d)		NR			3.250%		03/15/16		500		325,625
Sterlite Industries India Ltd. (India)(2)(b)		NR			4.000%		10/30/14		225		177,750
											10,663,469

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

AQR Funds Annual Report December 2011 89

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

	MOODY’S RATING* (UNAUDITED)			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Materials - 3.5% (continued)
Telecommunication Services - 1.7%
Level 3 Communications, Inc. (2)(b)		CCC	**		15.000%		01/15/13	$	1,550	$	1,776,687
XM Satellite Radio, Inc. 144A (2)(d)		BB	**		7.000%		12/01/14		2,550		3,295,875
											5,072,562
TOTAL CONVERTIBLE BONDS (Cost $65,550,711)											65,080,867
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT (Cost $114,216,735)											113,450,458

	SHARES		VALUE (Note 3)
SECURITIES SOLD SHORT - (21.1)%
COMMON STOCKS - (21.1)%
Consumer Discretionary - (2.1)%
DR Horton, Inc.		(130,774)	$	(1,649,060)
Ford Motor Co. †		(104,264)		(1,121,881)
Gaylord Entertainment Co. †		(29,698)		(716,910)
Lennar Corp., Class A		(33,713)		(662,460)
priceline.com, Inc. †		(803)		(375,571)
Sirius XM Radio, Inc. †		(992,737)		(1,806,781)
				(6,332,663)
Consumer Staples - (1.7)%
Archer-Daniels-Midland Co.		(3,165)		(90,519)
Smithfield Foods, Inc. †		(94,216)		(2,287,565)
Tyson Foods, Inc., Class A		(133,825)		(2,762,148)
				(5,140,232)
Energy - 0.0% (a)
Superior Energy Services, Inc. †		(1,500)		(42,660)
Financials - (3.5)%
Ares Capital Corp.		(13,775)		(212,824)
Boston Properties, Inc. REIT		(9,415)		(937,734)
Citigroup, Inc.		(23,800)		(626,178)
DDR Corp. REIT		(28,625)		(348,366)
Digital Realty Trust, Inc. REIT		(35,505)		(2,367,118)
Health Care REIT, Inc. REIT		(28,125)		(1,533,656)
Host Hotels & Resorts, Inc. REIT		(112,214)		(1,657,401)
MetLife, Inc.		(15,618)		(486,969)
PHH Corp. †		(7,244)		(77,511)
ProLogis, Inc. REIT		(26,764)		(765,183)
SL Green Realty Corp. REIT		(23,370)		(1,557,377)
				(10,570,317)
Health Care - (1.0)%
Amgen, Inc.		(6,300)		(404,523)
Gilead Sciences, Inc. †		(39,300)		(1,608,549)

	SHARES		VALUE (Note 3)
Health Care - (1.0)% (continued)
Mylan, Inc. †		(12,846)	$	(275,675)
Omnicare, Inc.		(23,605)		(813,192)
				(3,101,939)
Industrials - (3.3)%
Avis Budget Group, Inc. †		(117,803)		(1,262,848)
Chart Industries, Inc. †		(26,207)		(1,417,012)
General Cable Corp. †		(41,781)		(1,044,943)
Hertz Global Holdings, Inc. †		(410,246)		(4,808,083)
L-3 Communications Holdings, Inc.		(424)		(28,272)
Navistar International Corp. †		(12,036)		(455,924)
Textron, Inc.		(55,273)		(1,021,998)
				(10,039,080)
Information Technology - (6.5)%
Amkor Technology, Inc. †		(334,053)		(1,456,471)
Cadence Design Systems, Inc. †		(322,857)		(3,357,713)
Ciena Corp. †		(13,713)		(165,927)
Equinix, Inc. †		(16,779)		(1,701,391)
Microchip Technology, Inc.		(69,022)		(2,528,276)
NetApp, Inc. †		(56,465)		(2,047,986)
Salesforce.com, Inc. †		(15,300)		(1,552,338)
SanDisk Corp. †		(22,182)		(1,091,576)
Take-Two Interactive Software, Inc. †		(6,921)		(93,780)
VeriFone Systems, Inc. †		(1,197)		(42,517)
VeriSign, Inc.		(59,400)		(2,121,768)
Xilinx, Inc.		(106,705)		(3,420,962)
				(19,580,705)
Materials - (2.9)%
Alcoa, Inc.		(427,802)		(3,700,488)
Allegheny Technologies, Inc.		(58,944)		(2,817,523)
Cemex SAB de CV ADR (Mexico) †		(33,485)		(180,484)
Sterlite Industries India Ltd. ADR (India)		(975)		(6,757)
United States Steel Corp.		(69,724)		(1,844,897)
				(8,550,149)

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

90 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Telecommunication Services - (0.1)%
Level 3 Communications, Inc. †		(18,169)	$	(308,691)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $64,254,023)				(63,666,436)
TOTAL SECURITIES SOLD SHORT (proceeds $64,254,023)				(63,666,436)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 16.5% (Cost $49,962,712)				49,784,022
OTHER ASSETS IN EXCESS OF LIABILITIES - 83.5% (e)				252,060,742
NET ASSETS - 100.0%			$	301,844,764

† Non income-producing security.

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

(b) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2011, the value of these securities was $15,088,763. In addition, $64,600,150 of cash collateral was pledged.

(c) Represents a step bond. The rate shown reflects the yield at December 31, 2011.

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

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

* The rating reflected is as of December 31, 2011 and is unaudited. Rating of certain bonds may have changed subsequent to the date.

** S & P Rating provided and is unaudited.

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

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

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

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

ADR - American Depositary Receipt

NR - Not Rated by Moody’s

REIT - Real Estate Investment Trust

Credit default swap contracts sell protections as of December 31, 2011:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND	CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Markit CDX North America High Yield Index Series 17	5.000%	USD		2,950,000		$(253,457)		12/20/2016		$55,043
							$(253,457)				$55,043

Collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.

Total return swap contracts outstanding as of December 31, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Canadian 10-Year Bond Futures	3/21/2012	CAD		11,495,978		$13,281
Barclays Capital	Coffee ‘C’ Futures	3/20/2012	USD		(173,325)		3,187
Bank of America	Euro - Bund Futures	3/8/2012	EUR		(6,769,130)		(56,654)
Bank of America	Euro-Bobl Futures	3/8/2012	EUR		2,347,642		38,481
Bank of America	Euro-Buxl 30-Year Bond Futures	3/8/2012	EUR		982,662		53,399
Bank of America	Euro-SCHATZ Futures	3/8/2012	EUR		15,313,632		30,973
Bank of America	Long Gilt Futures	3/28/2012	GBP		3,123,568		52,893

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

AQR Funds Annual Report December 2011 91

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Morgan Stanley and Co., International PLC	Russian Trading System Index Futures	3/15/2012	USD		21,712		$160
Barclays Capital	Soybean Futures	3/14/2012	USD		(225,600)		(15,950)
Barclays Capital	Soybean Oil Futures	3/14/2012	USD		(535,896)		(30,240)
Morgan Stanley and Co., International PLC	Swiss Market Index Futures	3/16/2012	CHF		(2,204,409)		(98,780)
Bank of America	U.S. Long Bond Futures	3/21/2012	USD		577,998		1,252
Bank of America	U.S. Treasury 10-Year Note Futures	3/21/2012	USD		17,254,448		54,052
Bank of America	U.S. Treasury 2-Year Note Futures	3/30/2012	USD		1,985,323		(401)
Bank of America	U.S. Treasury 5-Year Note Futures	3/30/2012	USD		1,477,738		1,355
Barclays Capital	Wheat Futures	3/14/2012	USD		(976,071)		(35,692)
							$11,316

Cash pledged as collateral for total return swap contracts is included in the collateral for the total return basket swaps.

Open futures contracts outstanding at December 31, 2011:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
11	Corn Futures	March 14, 2012		$353,608		$355,576		$1,968
11	Crude Oil Financial Futures	January 19, 2012		1,100,000		1,087,130		(12,870)
17	Globex Brent FCL Futures	January 13, 2012		1,843,980		1,825,460		(18,520)
5	Globex Heat Oil Futures	January 30, 2012		614,565		611,982		(2,583)
17	Globex RBOB Gas Futures	January 30, 2012		1,888,043		1,897,384		9,341
16	ICE Euro Gasoil Futures	January 11, 2012		1,495,550		1,478,400		(17,150)
1	LME Aluminum Futures	January 12, 2012		56,001		49,896		(6,105)
1	LME Aluminum Futures	January 13, 2012		55,439		49,901		(5,538)
5	LME Aluminum Futures	January 17, 2012		281,256		249,601		(31,655)
1	LME Aluminum Futures	January 20, 2012		53,426		49,942		(3,484)
6	LME Aluminum Futures	January 24, 2012		326,107		299,870		(26,237)
1	LME Aluminum Futures	January 26, 2012		56,135		49,996		(6,139)
6	LME Aluminum Futures	January 27, 2012		337,595		300,032		(37,563)
1	LME Aluminum Futures	February 1, 2012		54,626		50,050		(4,576)
8	LME Aluminum Futures	February 2, 2012		425,110		400,472		(24,638)
1	LME Aluminum Futures	February 3, 2012		53,576		50,068		(3,508)
4	LME Aluminum Futures	February 10, 2012		212,355		200,521		(11,834)
1	LME Aluminum Futures	February 15, 2012		53,676		50,175		(3,501)
7	LME Aluminum Futures	February 23, 2012		362,259		351,686		(10,573)
4	LME Aluminum Futures	March 1, 2012		210,005		201,193		(8,812)
7	LME Aluminum Futures	March 8, 2012		364,884		352,490		(12,394)
13	LME Aluminum Futures	March 15, 2012		644,812		655,372		10,560
13	LME Aluminum Futures	March 19, 2012		646,198		656,013		9,815
4	LME Aluminum Futures	March 22, 2012		198,540		201,867		3,327
6	LME Aluminum Futures	March 28, 2012		301,020		302,951		1,931
2	LME Aluminum Futures	March 29, 2012		99,503		100,992		1,489
1	LME Copper Futures	January 17, 2012		190,626		189,866		(760)
1	LME Copper Futures	January 24, 2012		184,476		189,899		5,423
3	LME Copper Futures	January 27, 2012		600,753		569,734		(31,019)
1	LME Copper Futures	February 2, 2012		197,789		189,935		(7,854)
2	LME Copper Futures	February 10, 2012		374,427		379,934		5,507
1	LME Copper Futures	February 29, 2012		191,376		190,015		(1,361)

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

92 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
3	LME Copper Futures	March 19, 2012		$568,654		$570,075		$1,421
3	LME Copper Futures	March 28, 2012		565,780		570,022		4,242
1	LME Copper Futures	March 29, 2012		184,264		190,004		5,740
1	LME Nickel Futures	January 17, 2012		114,619		112,383		(2,236)
1	LME Nickel Futures	January 24, 2012		114,001		112,322		(1,679)
2	LME Nickel Futures	February 10, 2012		217,503		224,456		6,953
1	LME Nickel Futures	March 1, 2012		103,081		112,211		9,130
1	LME Zinc Futures	January 12, 2012		48,875		45,731		(3,144)
2	LME Zinc Futures	January 13, 2012		96,350		91,475		(4,875)
3	LME Zinc Futures	January 17, 2012		145,894		137,288		(8,606)
1	LME Zinc Futures	January 25, 2012		46,876		45,802		(1,074)
4	LME Zinc Futures	March 22, 2012		186,505		184,375		(2,130)
1	LME Zinc Futures	March 28, 2012		45,914		46,116		202
5	LME Zinc Futures	March 29, 2012		226,506		230,602		4,096
18	CAC40 10 Euro Futures	January 20, 2012		713,588		737,451		23,863
3	DAX Index Futures	March 16, 2012		565,210		572,705		7,495
31	DJIA Mini E-CBOT Futures	March 16, 2012		1,861,163		1,883,250		22,087
41	Euro Stoxx 50 Index	March 16, 2012		1,217,611		1,224,723		7,112
50	FTSE 100 Index Futures	March 16, 2012		4,199,638		4,298,704		99,066
54	FTSE/JSE Top 40 Index Futures	March 15, 2012		1,924,477		1,912,481		(11,996)
6	FTSE/MIB Index Futures	March 16, 2012		578,709		586,800		8,091
25	H-SHARES Index Futures	January 30, 2012		1,626,713		1,604,788		(21,925)
31	IBEX 35 Index Futures	January 20, 2012		3,339,204		3,400,719		61,515
50	KOSPI Index 200 Futures	March 8, 2012		5,349,075		5,177,952		(171,123)
11	NASDAQ 100 E-Mini Futures	March 16, 2012		501,798		500,390		(1,408)
267	S&P 500 E-Mini Futures	March 16, 2012		16,602,017		16,722,210		120,193
9	S&P MID 400 E-Mini Futures	March 16, 2012		782,731		789,570		6,839
169	3-Month Euro Euribor Futures	June 18, 2012		54,121,219		54,168,050		46,831
125	3-Month Euro Euribor Futures	September 17, 2012		40,048,798		40,083,327		34,529
32	3-Month Euro Euribor Futures	December 17, 2012		10,253,026		10,259,261		6,235
32	3-Month Euro Euribor Futures	March 18, 2013		10,247,988		10,256,154		8,166
32	3-Month Euro Euribor Futures	June 17, 2013		10,239,848		10,249,942		10,094
32	3-Month Euro Euribor Futures	September 16, 2013		10,230,321		10,242,694		12,373
31	3-Month Euro Euribor Futures	December 16, 2013		9,893,915		9,913,082		19,167
119	90-Day EURODollar Futures	June 18, 2012		29,544,785		29,540,262		(4,523)
11	90-Day EURODollar Futures	March 18, 2013		2,730,964		2,729,375		(1,589)
13	90-Day EURODollar Futures	June 17, 2013		3,226,781		3,225,138		(1,643)
17	90-Day EURODollar Futures	September 16, 2013		4,217,937		4,216,425		(1,512)
23	90-Day EURODollar Futures	December 16, 2013		5,700,515		5,701,413		898
36	90-Day GBP LIBOR Futures	December 18, 2013		6,904,533		6,907,434		2,901
31	90-Day Sterling Futures	December 19, 2012		5,954,915		5,954,085		(830)
31	90-Day Sterling Futures	March 20, 2013		5,955,420		5,954,687		(733)
35	90-Day Sterling Futures	June 19, 2013		6,721,566		6,721,675		109
34	90-Day Sterling Futures	September 18, 2013		6,526,941		6,526,987		46
154	Australia 10-Year Bond Futures	March 15, 2012		18,546,613		18,727,286		180,673
53	Australia 3-Year Bond Futures	March 15, 2012		5,884,280		5,872,745		(11,535)
13	Euro CHF 3-Month LIFFE Futures	June 18, 2012		3,464,753		3,463,138		(1,615)
11	Euro CHF 3-Month LIFFE Futures	September 17, 2012		2,932,374		2,930,932		(1,442)
				309,101,964		309,317,100		215,136
Short Contracts:
88	Cocoa Futures	March 15, 2012		(2,211,704)		(1,855,920)		355,784
23	Coffee ‘C’ Futures	March 20, 2012		(1,920,204)		(1,956,581)		(36,377)
63	Cotton No. 2 Futures	March 8, 2012		(2,868,923)		(2,891,700)		(22,777)
4	Gold 100 OZ Futures	February 27, 2012		(642,945)		(626,720)		16,225

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

AQR Funds Annual Report December 2011 93

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
41	Lean Hogs Futures	February 14, 2012		$(1,392,284)		$(1,382,520)		$9,764
1	LME Aluminum Futures	January 12, 2012		(55,704)		(49,896)		5,808
1	LME Aluminum Futures	January 13, 2012		(55,861)		(49,901)		5,960
5	LME Aluminum Futures	January 17, 2012		(281,776)		(249,601)		32,175
1	LME Aluminum Futures	January 20, 2012		(54,003)		(49,943)		4,060
6	LME Aluminum Futures	January 24, 2012		(327,795)		(299,871)		27,924
1	LME Aluminum Futures	January 26, 2012		(55,924)		(49,997)		5,927
6	LME Aluminum Futures	January 27, 2012		(335,992)		(300,031)		35,961
1	LME Aluminum Futures	February 1, 2012		(54,503)		(50,050)		4,453
8	LME Aluminum Futures	February 2, 2012		(426,135)		(400,472)		25,663
1	LME Aluminum Futures	February 3, 2012		(53,008)		(50,068)		2,940
4	LME Aluminum Futures	February 10, 2012		(212,153)		(200,521)		11,632
1	LME Aluminum Futures	February 15, 2012		(54,092)		(50,175)		3,917
7	LME Aluminum Futures	February 23, 2012		(357,866)		(351,685)		6,181
4	LME Aluminum Futures	March 1, 2012		(209,514)		(201,193)		8,321
7	LME Aluminum Futures	March 8, 2012		(365,204)		(352,491)		12,713
13	LME Aluminum Futures	March 15, 2012		(645,434)		(655,373)		(9,939)
64	LME Aluminum Futures	March 19, 2012		(3,289,991)		(3,229,600)		60,391
4	LME Aluminum Futures	March 22, 2012		(200,036)		(201,867)		(1,831)
6	LME Aluminum Futures	March 28, 2012		(301,323)		(302,950)		(1,627)
2	LME Aluminum Futures	March 29, 2012		(99,507)		(100,991)		(1,484)
1	LME Copper Futures	January 17, 2012		(189,832)		(189,866)		(34)
1	LME Copper Futures	January 24, 2012		(185,543)		(189,900)		(4,357)
3	LME Copper Futures	January 27, 2012		(602,821)		(569,733)		33,088
1	LME Copper Futures	February 2, 2012		(198,970)		(189,935)		9,035
2	LME Copper Futures	February 10, 2012		(372,564)		(379,935)		(7,371)
1	LME Copper Futures	February 29, 2012		(183,799)		(190,016)		(6,217)
9	LME Copper Futures	March 19, 2012		(1,743,771)		(1,710,225)		33,546
3	LME Copper Futures	March 28, 2012		(568,496)		(570,021)		(1,525)
1	LME Copper Futures	March 29, 2012		(184,963)		(190,004)		(5,041)
1	LME Nickel Futures	January 17, 2012		(113,935)		(112,383)		1,552
1	LME Nickel Futures	January 24, 2012		(114,209)		(112,323)		1,886
2	LME Nickel Futures	February 10, 2012		(216,848)		(224,455)		(7,607)
1	LME Nickel Futures	March 1, 2012		(103,713)		(112,212)		(8,499)
9	LME Nickel Futures	March 19, 2012		(977,743)		(1,010,610)		(32,867)
1	LME Zinc Futures	January 12, 2012		(48,425)		(45,731)		2,694
2	LME Zinc Futures	January 13, 2012		(96,848)		(91,475)		5,373
3	LME Zinc Futures	January 17, 2012		(146,168)		(137,288)		8,880
1	LME Zinc Futures	January 25, 2012		(47,424)		(45,802)		1,622
32	LME Zinc Futures	March 19, 2012		(1,556,971)		(1,474,999)		81,972
4	LME Zinc Futures	March 22, 2012		(187,072)		(184,375)		2,697
1	LME Zinc Futures	March 28, 2012		(46,099)		(46,116)		(17)
5	LME Zinc Futures	March 29, 2012		(226,795)		(230,602)		(3,807)
260	Natural Gas Swap Futures	January 27, 2012		(2,101,250)		(1,942,850)		158,400
10	Silver Futures	March 28, 2012		(1,414,399)		(1,395,750)		18,649
40	Soybean Futures	March 14, 2012		(2,273,257)		(2,415,500)		(142,243)
79	Soybean Meal Futures	March 14, 2012		(2,283,516)		(2,473,490)		(189,974)
47	Soybean Oil Futures	March 14, 2012		(1,403,312)		(1,478,244)		(74,932)
70	Sugar #11 (World Markets) Futures	February 29, 2012		(1,870,357)		(1,826,720)		43,637
13	Wheat Futures	March 14, 2012		(400,212)		(424,288)		(24,076)
11	Amsterdam Index Futures	January 20, 2012		(839,455)		(891,933)		(52,478)
87	E-Mini Russell 2000 Futures	March 16, 2012		(6,378,472)		(6,427,560)		(49,088)
2	Hang Seng Index Futures	January 30, 2012		(235,647)		(237,633)		(1,986)
18	MSCI Singapore Index Futures	January 30, 2012		(847,255)		(833,491)		13,764
108	MSCI Taiwan Stock Index Futures	January 30, 2012		(2,748,731)		(2,737,800)		10,931

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

94 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
4	S&P/Toronto Stock Exchange 60 Index Futures	March 15, 2012		$(522,144)		$(533,124)		$(10,980)
762	SGX S&P CNX Nifty Index Futures	January 25, 2012		(7,254,958)		(7,050,024)		204,934
68	SPI 200 Index Futures	March 15, 2012		(7,165,617)		(6,988,076)		177,541
59	TOPIX Index Futures	March 8, 2012		(5,579,199)		(5,580,356)		(1,157)
13	90-Day EURODollar Futures	September 17, 2012		(3,225,034)		(3,226,113)		(1,079)
3	90-Day EURODollar Futures	December 17, 2012		(743,817)		(744,337)		(520)
133	90-Day Sterling Futures	June 20, 2012		(25,532,564)		(25,537,201)		(4,637)
95	90-Day Sterling Futures	September 19, 2012		(18,243,250)		(18,246,391)		(3,141)
162	Canadian 3-Month Bank Acceptance Futures	June 18, 2012		(39,338,708)		(39,281,522)		57,186
71	Canadian 3-Month Bank Acceptance Futures	September 17, 2012		(17,246,651)		(17,228,172)		18,479
131	Mini Japanese 10-Year Treasury Bond Futures	March 8, 2012		(24,135,451)		(24,254,657)		(119,206)
20	U.S. Treasury 2-Year Note Futures	March 30, 2012		(4,411,888)		(4,410,937)		951
7	U.S. Treasury 5-Year Note Futures	March 30, 2012		(861,891)		(862,805)		(914)
				(201,641,925)		(200,947,097)		694,828
				$107,460,039		$108,370,003		$909,964

Cash held as collateral with broker for futures contracts was $10,116,955 at December 31, 2011.

Forward foreign currency exchange contracts outstanding as of December 31, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	AUD		17,518,000		$17,530,933		$17,763,087		$232,154
Brazilian Real, Expiring 03/21/12	The Royal Bank of Scotland	BRL		100,000		52,911		52,712		(199)
Canadian Dollar, Expiring 03/21/12	The��Royal Bank of Scotland	CAD		4,147,000		4,052,761		4,063,678		10,917
Swiss Franc, Expiring 03/21/12	The Royal Bank of Scotland	CHF		10,000		10,817		10,664		(153)
Czech Republic Koruna, Expiring 03/21/12	The Royal Bank of Scotland	CZK		16,400,000		848,392		830,843		(17,549)
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		11,597,000		15,296,301		15,019,862		(276,439)
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		7,693,000		12,033,472		11,938,224		(95,248)
Hungarian Forint, Expiring 03/21/12	The Royal Bank of Scotland	HUF		1,912,400,000		8,206,626		7,790,831		(415,795)
Indonesian Rupiah, Expiring 03/21/12	The Royal Bank of Scotland	IDR		700,000,000		75,340		76,596		1,256
Indian Rupee, Expiring 03/21/12	The Royal Bank of Scotland	INR		17,000,000		306,253		315,412		9,159
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		648,845,000		8,372,202		8,441,838		69,636

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

AQR Funds Annual Report December 2011 95

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Korean Won, Expiring 03/21/12	The Royal Bank of Scotland	KRW		11,871,193,000		$10,212,492		$10,252,306		$39,814
Mexican Peso, Expiring 03/21/12	The Royal Bank of Scotland	MXN		13,678,000		986,207		974,133		(12,074)
Malaysian Ringgit, Expiring 03/21/12	The Royal Bank of Scotland	MYR		1,500,000		470,815		471,275		460
Norwegian Krone, Expiring 03/21/12	The Royal Bank of Scotland	NOK		104,798,000		17,893,868		17,473,280		(420,588)
New Zealand Dollar, Expiring 03/21/12	The Royal Bank of Scotland	NZD		14,273,000		10,932,429		11,051,765		119,336
Philippine Peso, Expiring 03/21/12	The Royal Bank of Scotland	PHP		14,000,000		320,259		317,987		(2,272)
Polish Zloty, Expiring 03/21/12	The Royal Bank of Scotland	PLN		28,467,000		8,288,788		8,189,198		(99,590)
Russian Ruble, Expiring 03/21/12	The Royal Bank of Scotland	RUB		186,707,000		5,824,760		5,733,121		(91,639)
Swedish Krona, Expiring 03/21/12	The Royal Bank of Scotland	SEK		69,900,000		10,188,757		10,120,966		(67,791)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		990,000		764,910		763,269		(1,641)
Turkish Lira, Expiring 03/21/12	The Royal Bank of Scotland	TRY		9,522,000		4,953,732		4,939,405		(14,327)
Taiwanese Dollar, Expiring 03/21/12	The Royal Bank of Scotland	TWD		43,000,000		1,421,158		1,422,306		1,148
South African Rand, Expiring 03/22/12	The Royal Bank of Scotland	ZAR		1,700,000		203,095		208,057		4,962
						139,247,278		138,220,815		(1,026,463)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	AUD		(4,139,000)		$(4,125,627)		$(4,196,907)		$(71,280)
Brazilian Real, Expiring 03/21/12	The Royal Bank of Scotland	BRL		(3,459,000)		(1,850,643)		(1,823,318)		27,325
Canadian Dollar, Expiring 03/21/12	The Royal Bank of Scotland	CAD		(12,804,000)		(12,474,730)		(12,546,741)		(72,011)
Chilean Peso, Expiring 03/21/12	The Royal Bank of Scotland	CLP		(204,067,000)		(392,076)		(389,150)		2,926
Colombian Peso, Expiring 03/21/12	The Royal Bank of Scotland	COP		(214,000,000)		(110,692)		(110,543)		149
Czech Republic Koruna, Expiring 03/21/12	The Royal Bank of Scotland	CZK		(42,346,000)		(2,195,906)		(2,145,299)		50,607
Euro, Expiring 03/21/12	The Royal Bank of Scotland	EUR		(45,898,000)		(60,405,017)		(59,444,824)		960,193
British Pound, Expiring 03/21/12	The Royal Bank of Scotland	GBP		(2,846,000)		(4,398,033)		(4,416,507)		(18,474)
Hong Kong Dollar, Expiring 03/21/12	The Royal Bank of Scotland	HKD		(15,031,000)		(1,932,370)		(1,935,944)		(3,574)
Hungarian Forint, Expiring 03/21/12	The Royal Bank of Scotland	HUF		(70,000,000)		(290,564)		(285,169)		5,395

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

96 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Indonesian Rupiah, Expiring 03/21/12	The Royal Bank of Scotland	IDR		(5,714,000,000)		$(621,192)		$(625,243)		$(4,051)
Israeli Shekel, Expiring 03/21/12	The Royal Bank of Scotland	ILS		(17,325,000)		(4,584,350)		(4,540,219)		44,131
Indian Rupee, Expiring 03/21/12	The Royal Bank of Scotland	INR		(896,148,000)		(16,594,378)		(16,626,804)		(32,426)
Japanese Yen, Expiring 03/21/12	The Royal Bank of Scotland	JPY		(1,049,728,000)		(13,505,100)		(13,657,551)		(152,451)
Korean Won, Expiring 03/21/12	The Royal Bank of Scotland	KRW		(630,986,000)		(541,183)		(544,938)		(3,755)
Mexican Peso, Expiring 03/21/12	The Royal Bank of Scotland	MXN		(9,018,000)		(644,397)		(642,253)		2,144
Malaysian Ringgit, Expiring 03/21/12	The Royal Bank of Scotland	MYR		(8,117,000)		(2,541,316)		(2,550,224)		(8,908)
Norwegian Krone, Expiring 03/21/12	The Royal Bank of Scotland	NOK		(1,832,000)		(304,636)		(305,455)		(819)
New Zealand Dollar, Expiring 03/21/12	The Royal Bank of Scotland	NZD		(2,663,000)		(2,033,546)		(2,061,995)		(28,449)
Peru Nuevo Sol, Expiring 03/21/12	The Royal Bank of Scotland	PEN		(84,000)		(30,976)		(30,978)		(2)
Philippine Peso, Expiring 03/21/12	The Royal Bank of Scotland	PHP		(334,500,000)		(7,538,321)		(7,597,627)		(59,306)
Polish Zloty, Expiring 03/21/12	The Royal Bank of Scotland	PLN		(96,000)		(27,963)		(27,617)		346
Russian Ruble, Expiring 03/21/12	The Royal Bank of Scotland	RUB		(21,044,000)		(645,997)		(646,188)		(191)
Swedish Krona, Expiring 03/21/12	The Royal Bank of Scotland	SEK		(10,484,000)		(1,506,053)		(1,518,000)		(11,947)
Singapore Dollar, Expiring 03/21/12	The Royal Bank of Scotland	SGD		(11,768,000)		(9,037,410)		(9,072,878)		(35,468)
Thailand Baht, Expiring 03/21/12	The Royal Bank of Scotland	THB		(2,582,000)		(82,875)		(81,432)		1,443
Turkish Lira, Expiring 03/21/12	The Royal Bank of Scotland	TRY		(530,000)		(273,694)		(274,930)		(1,236)
Taiwanese Dollar, Expiring 03/21/12	The Royal Bank of Scotland	TWD		(171,761,000)		(5,667,436)		(5,681,318)		(13,882)
South African Rand, Expiring 03/22/12	The Royal Bank of Scotland	ZAR		(64,733,000)		(7,749,924)		(7,922,428)		(172,504)
						(162,106,405)		(161,702,480)		403,925
						$(22,859,127)		$(23,481,665)		$(622,538)

Cash held as collateral with broker for forward foreign currency exchange contracts was $3,860,600 at December 31, 2011.

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

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

AQR Funds Annual Report December 2011 97

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Nuevo Sol

PHP - Philippine Peso

PLN - Polish Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

ZAR - South African Rand

Total Return Basket Swap* Outstanding at December 31, 2011

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	07/23/12		$(108,302)
Total

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2011.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Australia
Alfresa Holdings Corp.		12,800	JPY	39,696,367	$	23,027
Austria
Andritz AG		8,701	EUR	564,535		(11,067)
OMV AG		22,749		548,597		(20,909)
Voestalpine AG		19,445		426,343		(6,988)
Wienerberger AG		4,924		44,687		(13,513)
						(52,477)
Belgium
Belgacom SA		3,192	EUR	75,601		2,030
Delhaize Group SA		942		42,470		(2,165)
Mobistar SA		10,571		463,016		(47,417)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Belgium (continued)
Solvay SA		9,277	EUR	745,269	$	(202,967)
						(250,519)
Bermuda
Catlin Group Ltd.		52,879	GBP	204,441		9,954
Denmark
AP Moller - Maersk A/S		68	DKK	2,364,173		35,642
DSV A/S		20,987		2,171,020		(2,971)
FLSmidth & Co. A/S		496		168,843		(400)
H Lundbeck A/S		33,296		3,786,471		(34,865)
Novo Nordisk A/S		3,399		2,036,149		35,962
Topdanmark A/S		1,046		913,786		3,614
						36,982

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

98 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Finland
Kesko OYJ		27,002	EUR	697,408	$	2,548
Metso OYJ		37,902		1,003,418		101,161
Neste Oil OYJ		2,786		20,352		1,679
Nokia OYJ		46,574		171,891		2,055
Orion OYJ		1,678		25,540		(451)
Sampo OYJ		6,052		117,818		(2,783)
Stora Enso OYJ		11,080		45,502		7,100
Wartsila OYJ		20,537		433,438		29,723
YIT OYJ		10,465		117,462		15,045
						156,077
France
Aeroports de Paris		2,258	EUR	127,389		(10,412)
Alcatel-Lucent/France		280,486		485,650		(192,671)
Arkema SA		24,731		1,257,064		110,862
AtoS		16,390		559,189		(7,665)
BioMerieux		3,737		212,558		(8,387)
Cap Gemini SA		14,496		377,937		(38,462)
Cie de St-Gobain		87		3,577		(1,304)
Cie Generale de Geophysique - Veritas		15,667		231,842		63,600
Cie Generale des Etablissements Michelin		3,507		157,958		2,199
Cie Generale d’Optique Essilor International SA		903		46,936		2,907
Danone		497		23,604		638
Dassault Systemes SA		3,318		194,492		13,329
Eramet		3,570		355,079		(24,762)
Hermes International		1,646		395,017		(22,024)
Imerys SA		1,297		45,488		615
Ipsen SA		23,297		519,230		58,330
Lagardere SCA		1,818		32,278		6,088
LVMH Moet Hennessy Louis Vuitton SA		1,029		116,180		(5,416)
Nexans SA		10,880		482,864		(63,096)
PPR		1,216		129,461		6,016
Safran SA		8,613		208,862		(12,738)
Sanofi		1,314		70,102		5,321
Societe BIC SA		3,288		215,146		12,429
Societe Television Francaise 1		33,155		302,556		(69,070)
Technip SA		5,702		386,046		34,922
Teleperformance SA		35,858		595,685		25,623
Thales SA		1,202		28,755		619
Total SA		4,330		163,171		9,767
UBISOFT Entertainment		26,401		121,276		18,679
Valeo SA		27,217		926,571		(122,074)
Vivendi SA		6,634		108,249		4,716
						(201,421)
Germany
Adidas AG		1,874	EUR	94,053		31
Aurubis AG		20,803		847,159		10,643
Bayer AG		3,455		157,063		17,369
Bilfinger Berger SE		11,452		679,711		95,391
Celesio AG		12,157		139,015		12,379

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
Deutsche Lufthansa AG		31,814	EUR	346,088	$	(69,511)
Deutsche Post AG		40,746		449,799		44,287
GEA Group AG		25,861		518,253		59,332
Henkel AG & Co. KGaA		251		11,255		(97)
Hochtief AG		1,146		47,775		4,337
Infineon Technologies AG		36,578		212,139		159
K+S AG		10,175		424,336		(90,287)
Linde AG		314		32,013		5,231
Merck KGaA		3,552		261,067		15,837
Metro AG		13,010		404,652		(49,335)
Rheinmetall AG		7		219		27
Rhoen Klinikum AG		5,345		79,754		(1,496)
Salzgitter AG		15,584		617,406		(21,791)
SAP AG		9,543		407,486		(22,644)
Siemens AG		1,942		140,097		4,483
Software AG		1,801		46,632		6,045
Suedzucker AG		10,674		225,094		48,701
ThyssenKrupp AG		21,822		432,003		(58,463)
Tognum AG		361		9,440		(65)
WInc.or Nixdorf AG		7,089		250,366		(7,411)
						3,152
India
Reliance Industries Ltd.		1,464	$	48,221		(9,339)
State Bank of India		2,937		207,859		(20,102)
						(29,441)
Italy
A2A SpA		117,340	EUR	96,588		(15,048)
Davide Campari-Milano SpA		11,242		59,032		(1,680)
Enel SpA		163,266		537,940		(33,902)
ENI SpA		11,247		175,580		4,642
ERG SpA		30,959		271,007		111
Fiat SpA		156,819		597,778		(57,938)
Impregilo SpA		319,062		598,913		209,414
Lottomatica SpA		4,475		52,442		(903)
Prysmian SpA		32		312		(9)
Saipem SpA		11,133		351,100		16,557
Saras SpA		29,742		29,016		(431)
Telecom Italia SpA		125,389		102,896		850
						121,663
Japan
Acom Co., Ltd.		25,280	JPY	35,403,166		(10,155)
Advantest Corp.		1,200		1,057,620		(2,344)
Aisin Seiki Co., Ltd.		8,200		18,295,776		(5,311)
Ajinomoto Co., Inc.		13,000		11,984,448		356
All Nippon Airways Co., Ltd.		21,000		4,752,833		(3,071)
Alps Electric Co., Ltd.		56,200		36,367,332		(87,714)
Amada Co., Ltd.		8,000		3,997,697		(1,302)
Aozora Bank Ltd.		74,000		13,590,449		27,040
Asahi Kasei Corp.		84,000		40,748,284		(23,178)
Astellas Pharma, Inc.		7,300		22,606,956		2,722

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

AQR Funds Annual Report December 2011 99

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Bank of Yokohama Ltd./The		11,000	JPY	4,086,000	$	(1,188)
Brother Industries Ltd.		20,400		20,099,898		(11,454)
Canon Marketing Japan, Inc.		34,000		30,668,754		(2,350)
Capcom Co., Ltd.		2,400		4,808,539		(5,720)
Casio Computer Co., Ltd.		16,400		7,627,012		149
Central Japan Railway Co.		38		24,705,542		(284)
Chiyoda Corp.		72,000		57,421,761		(15,021)
Chubu Electric Power Co., Inc.		8,600		12,067,212		4,153
Circle K Sunkus Co., Ltd.		34,000		43,740,694		(5,839)
Citizen Holdings Co., Ltd.		8,700		3,578,056		3,936
Coca-Cola West Co., Ltd.		8,500		12,134,764		(10,346)
COMSYS Holdings Corp.		2,800		2,070,062		2,470
Credit Saison Co., Ltd.		14,500		21,295,580		12,906
Daihatsu Motor Co., Ltd.		28,000		37,623,726		9,108
Daiichi Sankyo Co., Ltd.		600		908,059		85
Daiseki Co., Ltd.		11,800		15,617,230		(11,170)
Daiwa House Industry Co., Ltd.		4,000		3,882,350		(2,621)
Dena Co., Ltd.		13,400		36,303,902		(70,247)
Dentsu, Inc.		3,500		8,111,319		1,092
DIC Corp.		152,000		23,156,542		(25,278)
East Japan Railway Co.		2,500		11,590,749		8,758
Ebara Corp.		169,000		54,821,115		(132,264)
FANUC Corp.		2,200		27,111,745		(16,667)
Fast Retailing Co., Ltd.		2,400		32,520,191		14,067
Fuji Heavy Industries Ltd.		83,000		41,355,308		(39,472)
Fuji Media Holdings, Inc.		414		46,893,506		16,689
Fujikura Ltd.		26,000		6,221,157		(5,096)
Fujitsu Ltd.		39,000		15,488,097		990
Fukuoka Financial Group, Inc.		50,000		15,624,601		6,496
Glory Ltd.		1,100		1,878,929		(750)
Gunma Bank Ltd./The		3,000		1,272,152		(80)
Hachijuni Bank Ltd./The		2,000		893,158		(210)
Hakuhodo DY Holdings, Inc.		7,050		30,355,553		9,822
Hamamatsu Photonics KK		1,500		4,814,507		(10,253)
Heiwa Corp.		20,900		27,781,189		(184)
Hikari Tsushin, Inc.		300		528,150		591
Hitachi Capital Corp.		2,800		2,682,321		3,816
Hitachi High-Technologies Corp.		30,700		47,412,118		49,067

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Hitachi Ltd.		1,000	JPY	410,470	$	(131)
Hitachi Transport System Ltd.		400		562,752		(451)
Hokuetsu Kishu Paper Co., Ltd.		22,000		11,316,480		714
Hokuhoku Financial Group, Inc.		127,000		19,548,021		(7,027)
Hosiden Corp.		40,700		23,638,248		(36,020)
House Foods Corp.		200		276,900		158
Idemitsu Kosan Co., Ltd.		2,400		19,005,671		414
IHI Corp.		140,000		25,296,466		10,772
Isetan Mitsukoshi Holdings Ltd.		2,700		2,099,865		926
Isuzu Motors Ltd.		82,000		28,109,354		12,292
Ito En Ltd.		300		423,120		(343)
ITOCHU Corp.		12,100		9,654,600		(2,746)
Japan TobacCo., Inc.		190		69,340,629		(7,401)
JGC Corp.		39,000		76,847,337		(62,068)
JS Group Corp.		21,700		31,718,451		3,812
JSR Corp.		13,100		17,792,842		10,270
JTEKT Corp.		75,900		64,209,533		(92,426)
Kajima Corp.		99,000		23,928,643		(7,052)
Kaken Pharmaceutical Co., Ltd.		27,000		28,517,762		(12,070)
Kandenko Co., Ltd.		78,000		27,968,208		14,604
Kaneka Corp.		4,000		1,707,211		(954)
Kansai Electric Power Co., Inc./The		12,200		16,398,423		(25,643)
Kao Corp.		900		1,838,636		670
Kawasaki Kisen Kaisha Ltd.		117,000		17,773,612		(20,239)
KDDI Corp.		31		17,402,850		(27,008)
Keisei Electric Railway Co., Ltd.		6,000		3,003,091		5,098
Keyence Corp.		1,100		21,534,076		(14,629)
Kinden Corp.		21,000		13,426,772		2,591
Kintetsu Corp.		13,000		3,648,580		3,375
Kissei Pharmaceutical Co., Ltd.		5,600		8,406,082		5,964
Kobayashi Pharmaceutical Co., Ltd.		2,000		7,946,714		1,971
Kobe Steel Ltd.		274,000		35,344,190		(35,722)
Koito Manufacturing Co., Ltd.		31,000		34,232,703		(11,451)
Konami Corp.		6,500		15,500,815		(7,013)
Kose Corp.		3,900		7,565,628		(867)
K’s Holdings Corp.		4,800		15,122,471		(6,541)
Kuraray Co., Ltd.		20,000		21,942,319		(1,243)
Kyocera Corp.		500		3,748,118		(8,599)
Lawson, Inc.		2,100		9,623,189		5,816
Lintec Co., Inc.		2,700		3,852,074		(1,186)
Makita Corp.		5,400		15,260,961		(24,060)
Marubeni Corp.		7,000		3,216,077		824
Maruichi Steel Tube Ltd.		2,400		4,320,809		(2,764)
Medipal Holdings Corp.		36,800		27,120,789		31,859

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

100 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Miraca Holdings, Inc.		9,700	JPY	30,247,054	$	(6,257)
Mitsubishi Chemical Holdings Corp.		26,000		12,347,072		(17,923)
Mitsubishi Electric Corp.		74,000		54,639,384		(675)
Mitsubishi Gas Chemical Co., Inc.		27,000		12,519,306		(12,936)
Mitsubishi Materials Corp.		24,000		4,952,101		549
Mitsubishi UFJ Financial Group, Inc.		28,700		9,537,727		(2,414)
Mitsubishi UFJ Lease & Finance Co., Ltd.		17,000		51,374,104		5,407
Mitsui & Co., Ltd.		8,400		11,157,268		(14,762)
Mitsui Chemicals, Inc.		56,000		14,069,652		(12,760)
Mitsui Engineering & Shipbuilding Co., Ltd.		24,000		2,880,504		(148)
Mitsui Mining & Smelting Co., Ltd.		187,000		39,880,549		(37,278)
Mitsumi Electric Co., Ltd.		76,500		44,654,874		(13,610)
Mizuho Financial Group, Inc.		182,900		19,413,140		(4,550)
Nabtesco Corp.		7,800		11,774,257		(11,087)
Namco Bandai Holdings, Inc.		11,300		12,202,675		1,838
NET One Systems Co., Ltd.		213		41,586,831		39,477
NHK Spring Co Ltd.		70,800		50,135,310		(25,612)
Nikon Corp.		18,800		31,746,912		4,160
Nippon Kayaku Co., Ltd.		25,000		19,456,536		(12,383)
Nippon Meat Packers, Inc.		26,000		25,639,507		(10,935)
Nippon Paper Group, Inc.		3,400		6,517,938		(10,441)
Nippon Sheet Glass Co., Ltd.		379,000		61,616,613		(94,193)
Nippon Shokubai Co., Ltd.		31,000		27,852,391		(29,736)
Nippon Suisan Kaisha, Inc.		7,200		1,909,834		(159)
Nippon Television Network Corp.		2,590		29,004,979		18,630
Nishi-Nippon City Bank Ltd./The		152,000		34,367,212		(10,501)
Nissha Printing Co., Ltd.		9,900		9,305,928		1,494
Nisshin Seifun Group, Inc.		8,000		7,725,251		(3,520)
Nisshin Steel Co., Ltd.		73,000		8,615,511		(240)
Nisshinbo Holdings, Inc.		6,000		4,133,358		248
Nitto Denko Corp.		12,900		39,764,768		(57,769)
NSK Ltd.		18,000		9,989,701		(13,520)
NTT DoCoMo, Inc.		24		3,415,500		(310)
Obayashi Corp.		114,000		39,997,946		(12,748)
Okinawa Electric Power Co., Inc./The		7,300		25,110,818		(15,086)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Omron Corp.		2,600	JPY	4,526,626	$	(6,620)
Onward Holdings Co., Ltd.		3,000		1,857,325		(2,158)
Osaka Gas Co., Ltd.		20,000		6,026,399		722
Otsuka Corp.		3,900		20,776,893		(1,550)
Pacific Metals Co., Ltd.		18,000		8,006,451		(17,022)
Point, Inc.		4,570		15,077,540		(2,042)
Renesas Electronics Corp.		106,900		55,867,319		(75,583)
Rengo Co., Ltd.		25,000		13,564,054		(1,894)
Rohto Pharmaceutical Co., Ltd.		5,000		4,541,796		5,167
Ryohin Keikaku Co., Ltd.		8,500		30,984,422		12,498
Sankyo Co., Ltd.		4,900		20,399,508		(17,301)
Sankyu, Inc.		39,000		12,141,324		(10,811)
Santen Pharmaceutical Co., Ltd.		12,500		38,432,079		16,905
Sapporo Hokuyo Holdings, Inc.		50,500		14,135,944		(3,056)
Sapporo Holdings Ltd.		6,000		1,723,288		236
Secom Co., Ltd.		4,900		17,539,257		(2,548)
Sega Sammy Holdings, Inc.		19,100		32,275,187		(6,697)
Seiko Epson Corp.		2,100		2,166,470		(390)
Seino Holdings Corp.		1,000		560,000		457
Sekisui Chemical Co., Ltd.		42,000		27,809,114		(15,320)
Seven & I Holdings Co., Ltd.		10,000		21,329,632		1,581
Shimachu Co., Ltd.		10,600		19,353,732		(8,699)
Shimadzu Corp.		29,000		18,611,031		2,762
Shimizu Corp.		45,000		14,380,105		2,305
Shinko Electric Industries Co., Ltd.		32,400		19,363,746		(31,893)
Shionogi & Co., Ltd.		2,600		2,572,150		(63)
Showa Shell Sekiyu KK		20,900		12,183,638		(17,766)
Softbank Corp.		800		1,846,575		(496)
Sojitz Corp.		20,100		2,440,102		(658)
Sony Corp		19,000		26,052,558		4,112
Square Enix Holdings Co., Ltd.		4,200		6,486,019		(1,953)
Sugi Holdings Co., Ltd.		17,300		36,609,479		27,781
Sumitomo Bakelite Co., Ltd.		75,000		34,099,933		(24,635)
Sumitomo Heavy Industries Ltd.		94,000		41,850,805		4,883
Sumitomo Metal Mining Co., Ltd.		4,000		3,931,688		128
Sundrug Co., Ltd.		3,400		8,256,479		(4,500)
Suzuken Co., Ltd.		12,100		24,206,805		20,553
Suzuki Motor Corp		17,600		28,341,772		(5,833)
T&D Holdings, Inc.		6,400		4,552,690		441
Taisei Corp.		62,000		12,605,347		(6,609)
Takara Holdings, Inc.		16,000		7,336,412		7,412

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

AQR Funds Annual Report December 2011 101

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Takashimaya Co., Ltd.		5,000	JPY	2,776,700	$	(62)
Teijin Ltd.		61,000		16,935,109		(32,873)
THK Co., Ltd.		13,300		18,901,392		16,411
Tokai Rika Co., Ltd.		37,400		48,644,929		(60,875)
Tokuyama Corp.		87,000		24,082,399		(36,956)
Tokyo Electron Ltd.		16,700		66,285,360		(15,035)
Tokyo Gas Co., Ltd.		24,000		8,373,083		1,822
Tokyu Co., Ltd.		6,000		2,282,400		(106)
TonenGeneral Sekiyu KK		3,000		2,834,000		(4,108)
Toray Industries, Inc.		24,000		13,234,315		(230)
Toshiba Corp.		128,000		41,840,829		(21,226)
Toyo Suisan Kaisha Ltd.		14,000		27,237,082		(15,070)
Toyota Boshoku Corp.		26,300		20,848,948		2,917
Toyota Tsusho Corp.		9,300		12,099,962		6,726
Trend Micro, Inc.		3,700		8,711,724		(2,851)
UNY Co., Ltd.		9,500		6,833,259		(3,319)
USS Co., Ltd.		530		3,435,219		3,270
West Japan Railway Co.		4,700		15,478,410		3,125
Yamada Denki Co., Ltd.		1,880		10,178,100		(4,171)
Yamaguchi Financial Group, Inc.		14,000		10,268,291		(3)
Yamaha Corp.		400		282,049		(11)
Yamaha Motor Co., Ltd.		40,700		43,387,530		(48,933)
Yamatake Corp.		19,000		31,244,102		6,984
Yamato Kogyo Co., Ltd.		12,300		24,065,008		39,389
Yamazaki Baking Co., Ltd.		9,000		9,590,496		(6,349)
						(1,318,218)
Jersey, Channel Islands
WPP PLC		4,263	GBP	25,949		4,408
Luxembourg
SES SA		637	EUR	11,737		70
Netherlands
Aegon NV		36,517	EUR	113,942		(1,522)
Akzo Nobel NV		335		12,094		491
ASML Holding NV		9,164		237,843		74,966
CSM		1,960		21,212		3,013
European Aeronautic Defence and Space Co. NV		24,483		538,176		65,842
Imtech NV		3,196		61,649		2,637
ING Groep NV		46,838		252,367		8,340
Koninklijke Ahold NV		32,457		316,359		26,794
Koninklijke BAM Groep NV		126,605		389,975		26,871
Koninklijke Boskalis Westminster NV		9,712		243,763		40,230
Koninklijke DSM NV		12,235		430,134		8,818
Nutreco NV		7,017		329,948		33,776
SBM Offshore NV		6,851		97,109		14,754
SNS REAAL NV		157,508		315,829		(66,497)
USG People NV		5,080		33,604		(1,611)
						236,902

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Norway
Aker Solutions ASA		60,242	NOK	3,826,527	$	(8,347)
DnB NOR ASA		17,282		1,000,937		1,087
Marine Harvest ASA		1,358,054		3,765,642		(43,941)
Orkla ASA		6,634		277,437		3,013
Seadrill Ltd.		5,051		1,009,514		(345)
Statoil ASA		14,449		2,156,335		9,503
Telenor ASA		17,684		1,710,497		3,381
Yara International ASA		5,046		1,327,363		(20,501)
						(56,150)
Portugal
Banco Comercial Portugues SA		3,947	EUR	509		33
Jeronimo Martins SGPS SA		17,329		222,897		(2,255)
						(2,222)
Russia
Gazprom OAO		42,849	$	497,860		(41,350)
Lukoil OAO		7,200		399,713		(18,622)
MMC Norilsk Nickel OJSC		11,456		205,152		(30,095)
Rosneft Oil Co.		22,723		161,187		(11,645)
Surgutneftegas OJSC		20,880		166,508		(3,418)
Tatneft		1,454		43,943		(968)
						(106,098)
Spain
Ebro Foods SA		3,942	EUR	52,813		4,651
Endesa SA		9,897		173,686		(22,208)
Ferrovial SA		50,736		442,051		38,014
Fomento de Construcciones y Contratas SA		304		5,278		1,017
Gamesa Corp. Tecnologica SA		1		3		(1)
Gas Natural SDG SA		19,290		234,365		27,282
Inditex SA		10,129		643,694		(6,221)
Indra Sistemas SA		32,048		320,105		(7,992)
Obrascon Huarte Lain SA		6,437		120,849		4,135
Red Electrica Corp. SA		287		9,543		(96)
Repsol YPF SA		9,502		204,233		26,388
Sacyr Vallehermoso SA		18,619		89,364		(20,651)
Tecnicas Reunidas SA		21,073		525,983		73,538
						117,856
Sweden
Boliden AB		70,919	SEK	6,286,939		115,332
Electrolux AB		19,815		2,083,342		12,121
Getinge AB		8,757		1,486,642		5,418
Lundin Petroleum AB		3,892		638,777		2,508
Nordea Bank AB		35,546		1,875,630		1,436
Skandinaviska Enskilda Banken AB		42,024		1,630,302		6,932
Skanska AB		50,520		5,122,703		89,466

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

102 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
SKF AB		18,687	SEK	2,617,704	$	13,564
Swedbank AB		45,837		3,962,194		15,780
Swedish Match AB		9,380		2,136,990		21,756
Tele2 AB		40,988		5,334,780		19,156
Telefonaktiebolaget LM Ericsson		102,881		7,255,493		(10,987)
Volvo AB		9,806		744,352		(1,332)
						291,150
Switzerland
ABB Ltd.		20,918	CHF	357,233		12,653
Actelion Ltd.		15,379		482,002		12,918
Aryzta AG		233		9,621		998
Baloise Holding AG		1,299		90,992		(8,002)
Cie Financiere Richemont SA		6,394		296,057		6,446
Logitech International SA		50,575		361,137		7,873
Nestle SA		502		26,009		1,137
Panalpina Welttransport Holding AG		2,310		195,832		27,236
Petroplus Holdings AG		191,052		559,071		(244,052)
Roche Holding AG		3,446		497,714		52,904
Schindler Holding AG		905		96,690		2,259
SGS SA		45		69,577		147
Sulzer AG		15,358		1,556,816		(22,007)
Swiss Life Holding AG		7,902		797,942		(125,775)
Swiss Reinsurance Co., Ltd.		669		31,499		478
Swisscom AG		69		23,806		753
Syngenta AG		4,765		1,263,575		54,968
UBS AG		8,379		92,130		1,314
						(217,752)
United Kingdom
Aegis Group PLC		84,191	GBP	120,695		1,249
Arpechim Pitesti		34,336		113,784		32,127
ASA Gold and Precious Metals Ltd.		12,276		71,462		8,157
Aveva Group PLC		30,906		480,276		(58,816)
Babcock International Group PLC		77,951		502,023		109,672
Barclays PLC		471,706		821,300		16,376
Bearing Power Canada Ltd.		45,330		177,691		7,669
Berkeley Group Holdings PLC		32,551		393,995		33,050
BGL BNP Paribas SA		50,806		146,737		4,269
British American Tobacco PLC		4,861		147,418		1,668
Britvic PLC		15,849		49,203		2,704
BT Group PLC		63,096		114,188		9,695
Burberry Group PLC		37,555		472,838		(43,769)
Cascade Bancorp		1,300		5,045		(720)
Charter International PLC		1,933		16,849		2,174
De La Rue PLC		26,503		222,690		20,700

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Dixons Retail PLC		354,136	GBP	41,293	$	(10,224)
Drax Group PLC		26,568		138,474		9,651
Ferrexpo PLC		210,538		634,663		(106,779)
FIH Erhvervsbank A/S		9,859		53,951		9,763
G4S PLC		10,371		27,633		863
GKN PLC		354,034		657,947		(16,435)
Goldman Sachs Global Technology Portfolio		1,562		45,231		1,909
Hays PLC		574,893		406,637		(60,416)
Hong Kong Exchanges and Clearing Ltd.		31,841		290,080		(2,065)
HSBC Holdings PLC		109,595		531,250		11,622
IMI PLC		49,561		410,141		(51,943)
Inc.hcape PLC		189,346		579,150		(37,944)
Inmarsat PLC		5,529		22,610		(487)
Intercontinental Hotels Group PLC		6,858		77,288		3,277
Intermediate Capital Group PLC		262,153		628,193		(44,858)
Investec PLC		26,283		97,545		(13,169)
ITV PLC		375,098		234,335		32,345
John Wood Group PLC		64,906		374,065		64,680
Kesa Electricals PLC		354,340		230,648		13,030
Kingfisher PLC		82,107		196,381		14,088
Legal & General Group PLC		668,738		673,673		22,479
Michael Page International PLC		32,776		117,755		(5,307)
Misys PLC		106,669		278,513		(47,876)
Mondi PLC		9,799		45,761		(1,851)
National Grid PLC		3,395		20,386		1,155
Pearson PLC		20,375		222,664		36,615
Petrofac Ltd.		3,856		52,534		4,656
ProLogis LP		16,294		284,689		14,020
Provident Financial PLC		1,766		19,560		(4,564)
Rolls-Royce Holdings PLC		9,388		67,097		4,495
Serco Group PLC		42,769		210,769		(12,634)
Shinsei Bank Ltd.		12,078		283,848		16,221
Shire PLC		7,933		161,350		25,128
SSE PLC		43,668		566,791		(6,111)
Stagecoach Group PLC		13,740		33,937		5,329
Stagecoach Group PLC		17,176		7,975		151
Tate & Lyle PLC		107,409		648,999		166,356
TUI Travel PLC		120,213		184,708		23,215
UBS AG		249,666		50,682		(13)
Unilever PLC		2,407		50,170		2,802
United Utilities Group PLC		4,122		24,953		8
Vedanta Resources PLC		33,282		396,115		(90,064)
William Hill PLC		100,016		221,208		(29,158)
Wolseley PLC		19,933		334,220		140,246
Xstrata PLC		24,528		242,898		(3,778)
						224,633

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

AQR Funds Annual Report December 2011 103

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
Samsung Electronics Co., Ltd.		1,712	$	694,295	$	92,947
Total Long Positions						(915,477)
Short Positions
Austria
Erste Group Bank AG		(27,644)	EUR	(430,717)		72,181
Telekom Austria AG		(37,082)		(319,502)		(30,109)
Vienna Insurance Group AG Wiener Versicherung Gruppe		(9,215)		(267,967)		(17,148)
						24,924
Belgium
Anheuser-Busch InBev NV		(14,474)	EUR	(558,248)		(160,883)
Colruyt SA		(15,964)		(491,204)		32,637
Telenet Group Holding NV		(10,896)		(303,038)		(22,696)
UCB SA		(730)		(23,423)		(310)
						(151,252)
Bermuda
Frontline Ltd.		(15,180)	NOK	(473,841)		14,972
Denmark
Carlsberg A/S		(817)	DKK	(327,377)		(526)
Coloplast A/S		(518)		(419,210)		(1,342)
D/S Norden		(1,566)		(241,060)		5,400
NKT Holding A/S		(13,804)		(2,545,035)		(13,439)
Novozymes A/S		(13,453)		(2,160,820)		(38,227)
Tryg A/S		(17,101)		(4,784,381)		(114,254)
Vestas Wind Systems A/S		(50,172)		(3,324,852)		39,305
William Demant Holding A/S		(2,565)		(1,191,100)		(5,358)
						(128,441)
Finland
Elisa OYJ		(26,814)	EUR	(400,721)		(39,660)
Fortum OYJ		(2,054)		(36,608)		3,634
Kone OYJ		(366)		(15,001)		467
Konecranes OYJ		(15,016)		(241,206)		31,358
Nokian Renkaat OYJ		(24,903)		(599,326)		(23,892)
Outokumpu OYJ		(20,064)		(142,906)		53,713
Pohjola Bank PLC		(262)		(1,983)		27
Rautaruukki OYJ		(82,546)		(754,604)		220,646
Tieto OYJ		(4,023)		(40,994)		(4,042)
UPM-Kymmene OYJ		(12,606)		(105,401)		(1,729)
						240,522
France
Accor SA		(8,274)	EUR	(167,271)		7,973
Alstom SA		(1,011)		(32,773)		11,875
Bouygues SA		(8,044)		(206,485)		14,253
Bureau Veritas SA		(4,937)		(267,997)		(11,746)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Carrefour SA		(11,962)	EUR	(221,251)	$	14,198
Casino Guichard Perrachon SA		(2,125)		(132,586)		(7,091)
Christian Dior SA		(218)		(21,198)		1,704
EDF SA		(33,215)		(708,761)		111,358
Eiffage SA		(33,218)		(739,027)		156,148
Eutelsat Communications SA		(7,836)		(232,992)		(3,670)
France Telecom SA		(2,757)		(33,023)		(411)
GDF Suez		(12,195)		(250,717)		(6,886)
Iliad SA		(2,887)		(248,799)		(33,329)
JCDecaux SA		(4,258)		(79,891)		5,636
Lafarge SA		(39,666)		(1,115,647)		55,330
Legrand SA		(21,032)		(521,145)		822
L’Oreal SA		(314)		(25,950)		883
Metropole Television SA		(2,441)		(28,156)		139
Neopost SA		(11,960)		(639,377)		23,218
Pernod-Ricard SA		(10,911)		(709,636)		(91,463)
Peugeot SA		(46,788)		(611,996)		63,197
Publicis Groupe SA		(3,467)		(110,888)		(15,599)
Renault SA		(10,460)		(275,046)		(5,241)
Schneider Electric SA		(358)		(14,169)		(379)
Sodexo		(3,421)		(185,209)		(5,141)
Suez Environnement Co.		(16,884)		(153,412)		4,574
Vallourec SA		(28,408)		(1,547,988)		168,415
Veolia Environnement SA		(15,618)		(173,756)		53,768
Zodiac Aerospace		(2,325)		(131,701)		(25,959)
						486,576
Germany
Allianz SE		(3,827)	EUR	(283,783)		1,792
BASF SE		(2,316)		(116,707)		(10,188)
Bayerische Motoren Werke AG		(5,974)		(321,436)		16,668
Beiersdorf AG		(1,290)		(53,021)		(4,480)
Commerzbank AG		(100,714)		(150,272)		24,977
Continental AG		(5,433)		(292,404)		41,063
Deutsche Telekom AG		(8,933)		(78,677)		(642)
E.ON AG		(22,575)		(357,225)		(24,157)
Fraport AG Frankfurt Airport Services Worldwide		(4,858)		(227,931)		56,252
Fresenius Medical Care AG & Co. KGaA		(13,681)		(705,897)		(15,663)
Hamburger Hafen und Logistik AG		(26,735)		(593,169)		(21,019)
Hannover Rueckversicherung AG		(2,730)		(92,313)		(15,797)
Lanxess AG		(4,790)		(189,596)		(2,003)
MTU Aero Engines Holding AG		(130)		(5,874)		(699)
Muenchener Rueckversicherungs AG		(2,747)		(257,558)		(3,280)
Porsche Automobil Holding SE		(2,342)		(96,856)		328

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

104 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
RWE AG		(23,357)	EUR	(643,163)	$	12,504
Stada Arzneimittel AG		(21,240)		(433,418)		32,474
Symrise AG		(22,527)		(414,105)		(63,973)
TUI AG		(11,388)		(47,318)		(9,398)
United Internet AG		(2,398)		(30,184)		(3,679)
Vossloh AG		(2,971)		(240,590)		26,904
Wacker Chemie AG		(2,082)		(211,235)		106,154
						144,138
Italy
Atlantia SpA		(41,429)	EUR	(484,614)		(34,052)
Autogrill SpA		(8,314)		(60,500)		(2,518)
Buzzi Unicem SpA		(1,040)		(6,889)		(143)
Finmeccanica SpA		(85,364)		(284,738)		54,205
Geox S.P.A. PLC		(41,517)		(90,116)		573
Italcementi SpA		(7,340)		(34,602)		1,617
Luxottica Group SpA		(17,816)		(378,486)		(8,320)
Mediaset SpA		(209,156)		(498,477)		68,229
Pirelli & C SpA		(22,925)		(156,651)		10,570
Snam Rete Gas SpA		(4,496)		(17,251)		2,524
Terna Rete Elettrica Nazionale SpA		(257,442)		(710,561)		53,260
						145,945
Japan
77 Bank Ltd./The		(50,000)	JPY	(16,305,101)		(2,760)
ABC-Mart, Inc.		(2,500)		(7,266,128)		(568)
Aeon Co., Ltd.		(2,000)		(2,126,128)		226
Aeon Credit Service Co., Ltd.		(18,000)		(20,471,295)		(17,663)
Air Water, Inc.		(5,000)		(4,593,838)		(3,777)
Asahi Glass Co., Ltd.		(104,000)		(71,945,197)		65,288
Asahi Group Holdings Ltd.		(1,300)		(2,185,779)		(120)
Asics Corp.		(14,400)		(15,879,368)		44,448
Bank of Kyoto Ltd./The		(36,000)		(23,922,047)		1,280
Benesse Holdings, Inc.		(4,900)		(16,543,104)		(21,946)
Bridgestone Corp.		(400)		(671,933)		(329)
Canon, Inc.		(6,700)		(23,158,893)		6,033
Chiba Bank Ltd./The		(1,000)		(504,667)		127
Chugai Pharmaceutical Co., Ltd.		(6,500)		(8,466,204)		2,851
Chugoku Bank Ltd./The		(15,000)		(15,347,082)		(9,334)
Chugoku Electric Power Co., Inc./The		(21,800)		(27,833,378)		(20,361)
Cosmo Oil Co., Ltd.		(23,000)		(4,888,144)		(693)
Dai Nippon Printing Co., Ltd.		(22,000)		(16,786,484)		6,895
Daicel Corp.		(9,000)		(3,987,302)		(2,864)
Daido Steel Co., Ltd.		(2,000)		(941,835)		(249)
Daikin Industries Ltd.		(25,400)		(59,363,139)		77,904

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Dainippon Sumitomo Pharma Co., Ltd.		(27,600)	JPY	(22,956,171)	$	(15,865)
Daiwa Securities Group, Inc.		(83,000)		(23,881,052)		52,188
Denki Kagaku Kogyo KK		(4,000)		(1,133,802)		(10)
Denso Corp.		(800)		(1,665,436)		(339)
Don Quijote Co., Ltd.		(13,100)		(36,684,473)		26,836
Dowa Holdings Co., Ltd.		(94,000)		(44,513,659)		(13,486)
Eisai Co., Ltd.		(8,500)		(26,935,112)		(1,627)
Elpida Memory, Inc.		(11,000)		(4,898,992)		12,756
FamilyMart Co., Ltd.		(800)		(2,328,448)		(2,055)
Fuji Electric Co., Ltd.		(7,000)		(1,468,743)		(86)
Furukawa Electric Co., Ltd.		(159,000)		(36,289,417)		106,669
Hankyu Hanshin Holdings, Inc.		(39,000)		(12,490,021)		(1,925)
Hino Motors Ltd.		(7,000)		(3,161,944)		(1,304)
Hirose Electric Co., Ltd.		(1,900)		(13,359,276)		7,378
Hiroshima Bank Ltd./The		(13,000)		(4,768,893)		1,661
Hisamitsu Pharmaceutical Co., Inc.		(13,100)		(44,025,845)		16,730
Hitachi Chemical Co., Ltd.		(15,600)		(21,116,503)		1,273
Hitachi Construction Machinery Co., Ltd.		(7,900)		(10,711,517)		6,645
Hitachi Metals Ltd.		(79,000)		(72,594,393)		85,839
Hokkaido Electric Power Co., Inc.		(400)		(421,626)		(208)
Hokuriku Electric Power Co.		(10,200)		(13,745,053)		(11,915)
Honda Motor Co., Ltd.		(23,600)		(56,213,334)		11,451
Hoya Corp.		(500)		(810,158)		(224)
Ibiden Co., Ltd.		(6,100)		(10,136,149)		11,592
Inpex Corp.		(3)		(1,495,238)		538
IT Holdings Corp.		(16,800)		(15,212,738)		(3,486)
Itochu Techno-Solutions Corp.		(500)		(1,678,706)		(618)
Iyo Bank Ltd./The		(3,000)		(2,229,000)		(603)
J Front Retailing Co., Ltd.		(39,000)		(13,650,611)		(10,653)
Jafco Co., Ltd.		(33,500)		(49,278,349)		28,320
Japan Petroleum Exploration Co.		(900)		(2,970,250)		3,470
JFE Holdings, Inc.		(40,900)		(65,664,883)		113,652
Joyo Bank Ltd./The		(23,000)		(7,672,743)		(1,817)
Jupiter Telecommunications Co., Ltd.		(125)		(9,701,883)		(478)
Kakaku.com, Inc.		(7,500)		(21,650,511)		6,274
Kamigumi Co., Ltd.		(10,000)		(6,555,852)		(1,141)

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

AQR Funds Annual Report December 2011 105

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Kansai Paint Co., Ltd.		(21,000)	JPY	(14,723,669)	$	4,252
Kawasaki Heavy Industries Ltd.		(47,000)		(9,133,401)		2,061
Keikyu Corp.		(26,000)		(16,862,161)		(14,428)
Keio Corp.		(10,000)		(4,695,000)		(9,535)
Kewpie Corp.		(6,100)		(6,474,187)		(2,591)
Kikkoman Corp.		(34,000)		(28,850,156)		(15,172)
Kirin Holdings Co., Ltd.		(50,000)		(50,311,104)		46,109
Komatsu Ltd.		(36,400)		(68,969,459)		47,285
Konica Minolta Holdings, Inc.		(18,500)		(10,049,882)		(6,993)
Kubota Corp.		(89,000)		(55,779,646)		(20,107)
Kurita Water Industries Ltd.		(12,800)		(27,010,868)		18,667
Kyowa Exeo Corp.		(4,400)		(3,262,533)		910
Kyowa Hakko Kirin Co., Ltd.		(37,000)		(30,906,693)		(50,108)
Kyushu Electric Power Co., Inc.		(19,100)		(22,819,512)		22,869
Mabuchi Motor Co., Ltd.		(3,200)		(10,878,296)		8,425
Marui Group Co., Ltd.		(72,600)		(43,531,690)		1,189
Matsui Securities Co., Ltd.		(45,900)		(16,826,260)		(4,573)
Matsumotokiyoshi Holdings Co., Ltd.		(2,600)		(4,092,801)		562
Mazda Motor Corp.		(148,000)		(23,726,727)		48,034
McDonald’s Holdings Co., Japan Ltd.		(20,500)		(42,198,423)		(3,759)
Minebea Co., Ltd.		(195,000)		(60,511,789)		(26,011)
MISUMI Group, Inc.		(5,400)		(9,295,735)		(2,810)
Mitsubishi Corp.		(3,000)		(4,715,475)		800
Mitsubishi Heavy Industries Ltd.		(55,000)		(18,557,769)		7,508
Mitsubishi Tanabe Pharma Corp.		(23,800)		(30,590,471)		21,439
Mitsui OSK Lines Ltd.		(138,000)		(44,084,791)		40,643
Mori Seiki Co., Ltd.		(48,200)		(37,335,069)		56,948
MS&AD Insurance Group Holdings		(2,300)		(3,745,544)		6,208
Murata Manufacturing Co., Ltd.		(13,000)		(55,722,719)		58,201
NEC Corp.		(127,000)		(20,804,723)		13,262
NGK Insulators Ltd.		(9,000)		(9,000,426)		10,379
NGK Spark Plug Co., Ltd.		(8,000)		(8,232,977)		8,092
Nichirei Corp.		(19,000)		(6,649,196)		(5,449)
Nidec Corp.		(12,600)		(81,980,200)		(28,914)
Nintendo Co., Ltd.		(400)		(4,404,296)		2,304
Nippon Electric Glass Co., Ltd.		(26,000)		(19,736,545)		469
Nippon Express Co., Ltd.		(10,000)		(3,005,142)		170
Nippon Steel Corp.		(287,000)		(64,323,578)		121,762
Nippon Yusen KK		(21,000)		(4,176,367)		733

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nissan Chemical Industries Ltd.		(39,500)	JPY	(31,844,582)	$	32,346
Nissan Motor Co., Ltd.		(18,100)		(12,810,925)		4,353
Nissin Foods Holdings Co., Ltd.		(1,700)		(5,028,438)		(1,323)
Nitori Holdings Co., Ltd.		(7,050)		(53,787,261)		37,746
NKSJ Holdings, Inc.		(3,350)		(5,247,844)		2,648
NOK Corp.		(15,300)		(19,877,821)		(2,751)
Nomura Holdings, Inc.		(500)		(118,079)		29
Nomura Research Institute Ltd.		(11,600)		(20,281,213)		1,802
NTN Corp.		(54,000)		(16,930,291)		3,355
NTT Data Corp.		(204)		(51,416,690)		18,433
Obic Co., Ltd.		(1,070)		(15,316,699)		(4,896)
OJI Paper Co Ltd.		(3,000)		(1,193,991)		110
Ono Pharmaceutical Co., Ltd.		(1,500)		(6,390,381)		(1,101)
Oracle Corp. Japan		(15,800)		(40,716,137)		6,704
Oriental Land Co., Ltd.		(4,400)		(33,527,344)		(28,938)
Panasonic Corp.		(4,600)		(3,157,179)		2,196
Rakuten, Inc.		(555)		(46,299,536)		4,430
Resona Holdings, Inc.		(17,200)		(5,783,089)		(580)
Ricoh Co., Ltd.		(84,000)		(59,222,515)		38,760
Rinnai Corp.		(1,800)		(10,163,838)		3,161
Rohm Co., Ltd.		(5,300)		(20,110,984)		14,828
Saizeriya Co., Ltd.		(10,400)		(13,680,352)		4,925
Seven Bank Ltd.		(183,300)		(27,566,082)		(563)
Sharp Corp.		(70,000)		(45,840,176)		(14,635)
Shikoku Electric Power Co., Inc.		(19,300)		(37,326,410)		(68,729)
Shimano, Inc.		(9,400)		(36,867,554)		21,470
Shin-Etsu Chemical Co., Ltd.		(4,700)		(18,108,962)		4,410
Shiseido Co Ltd.		(14,900)		(21,764,269)		9,158
Shizuoka Bank Ltd./The		(11,000)		(8,520,436)		(5,025)
Showa Denko KK		(34,000)		(5,311,452)		387
SMC Corp.		(1,000)		(12,208,862)		(2,267)
Sony Financial Holdings, Inc.		(10,300)		(11,896,696)		2,657
Stanley Electric Co., Ltd.		(29,700)		(33,206,650)		(3,819)
Sumco Corp.		(67,300)		(54,665,747)		214,807
Sumitomo Chemical Co., Ltd.		(210,000)		(60,858,390)		28,206
Sumitomo Corp.		(21,100)		(20,983,132)		(12,597)
Sumitomo Electric Industries Ltd.		(10,500)		(8,719,073)		(401)
Sumitomo Mitsui Financial Group, Inc.		(5,400)		(11,575,882)		638
Sumitomo Mitsui Trust Holdings, Inc.		(108,000)		(27,748,248)		43,793
Sumitomo Rubber Industries Ltd.		(19,200)		(18,273,370)		6,849

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

106 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Suruga Bank Ltd.		(32,000)	JPY	(22,014,280)	$	398
Sysmex Corp.		(5,000)		(13,017,871)		6,569
Taiheiyo Cement Corp.		(249,000)		(36,763,238)		1,083
Taiyo Nippon Sanso Corp.		(104,000)		(58,348,733)		34,834
Takeda Pharmaceutical Co., Ltd.		(8,500)		(28,066,902)		(8,719)
TDK Corp.		(10,300)		(33,663,675)		(16,904)
Terumo Corp.		(10,700)		(41,977,565)		42,374
Tobu Railway Co., Ltd.		(16,000)		(5,470,937)		(10,560)
Toho Gas Co., Ltd.		(20,000)		(9,300,753)		(6,511)
Tokai Carbon Co., Ltd.		(153,000)		(62,686,595)		(14,254)
Tokio Marine Holdings, Inc.		(7,800)		(14,977,065)		21,861
Tokyo Broadcasting System Holdings, Inc.		(12,900)		(12,436,803)		(4,197)
Tokyo Steel Manufacturing Co., Ltd.		(10,000)		(6,728,534)		6,417
Toppan Printing Co., Ltd.		(16,000)		(9,111,314)		910
Tosoh Corp.		(3,000)		(739,071)		1,630
TOTO Ltd.		(12,000)		(7,565,559)		5,664
Toyo Seikan Kaisha Ltd.		(2,600)		(2,725,366)		24
Toyoda Gosei Co., Ltd.		(8,800)		(11,411,077)		8,888
Toyota Industries Corp.		(15,500)		(34,816,110)		32,969
Toyota Motor Corp.		(22,300)		(61,079,360)		56,151
Tsumura & Co.		(20,300)		(47,018,226)		12,415
Ube Industries Ltd.		(16,000)		(3,391,407)		329
Unicharm Corp.		(7,000)		(25,304,678)		(16,369)
Ushio, Inc.		(20,300)		(23,036,682)		7,528
Wacoal Holdings Corp.		(9,000)		(8,811,476)		(4,850)
Yahoo Japan Corp.		(3,554)		(88,299,599)		3,823
Yakult Honsha Co., Ltd.		(24,200)		(55,201,167)		(43,634)
Yamato Holdings Co., Ltd.		(5,700)		(7,402,824)		243
Yaskawa Electric Corp.		(1,000)		(618,892)		(428)
Yokogawa Electric Corp.		(9,700)		(6,886,538)		2,370
						1,389,281
Luxembourg
ArcelorMittal		(12,406)	EUR	(168,313)		(7,584)
Oriflame Cosmetics SA		(18,380)	SEK	(4,672,740)		100,090
Subsea 7 SA		(19,545)	NOK	(2,222,321)		10,769
Tenaris SA		(60,906)		(750,060)		(149,367)
						(46,092)
Netherlands
Aalberts Industries NV		(40,708)	EUR	(495,866)		(39,290)
Fugro NV		(19,623)		(836,119)		(53,737)
Gemalto NV		(6,573)		(221,958)		(31,301)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Netherlands (continued)
Heineken NV		(5,078)	EUR	(193,029)	$	15,000
Koninklijke KPN NV		(6,965)		(69,242)		6,474
Koninklijke Philips Electronics NV		(11,994)		(189,720)		(6,110)
Koninklijke Vopak NV		(4,772)		(157,256)		(48,113)
PostNL NV		(219,219)		(643,366)		137,123
Randstad Holding NV		(22,011)		(502,819)		3,266
Wolters Kluwer NV		(10,034)		(130,515)		(4,117)
						(20,805)
Norway
Fred Olsen Energy ASA		(5,709)	NOK	(1,102,291)		(7,085)
Norsk Hydro ASA		(82,779)		(2,305,085)		3,291
Petroleum Geo-Services ASA		(58,475)		(3,891,047)		13,294
Storebrand ASA		(91,902)		(2,841,380)		(358)
						9,142
Portugal
EDP - Energias de Portugal SA		(645)	EUR	(1,525)		(18)
Galp Energia SGPS SA		(25,844)		(302,530)		11,836
Portugal Telecom SGPS SA		(95,496)		(460,414)		45,890
						57,708
Spain
Abertis Infraestructuras SA		(49,957)	EUR	(578,850)		(44,727)
Acciona SA		(4,891)		(312,824)		(15,482)
Acerinox SA		(3,460)		(32,441)		(2,240)
ACS Actividades de Construccion y Servicios SA		(5,106)		(136,813)		26,312
Enagas SA		(7,221)		(100,176)		(3,668)
Grifols SA		(20,654)		(286,134)		24,255
Telefonica SA		(7,360)		(112,175)		18,384
Zardoya Otis SA		(8,689)		(88,345)		(4,483)
						(1,649)
Sweden
Alfa Laval AB		(19,027)	SEK	(2,303,030)		(24,690)
Assa Abloy AB		(32,326)		(4,666,555)		(130,257)
Atlas Copco AB		(6,573)		(925,553)		(6,348)
Elekta AB		(7,873)		(2,332,777)		(1,457)
Hennes & Mauritz AB		(4,654)		(1,013,269)		(2,066)
Hexagon AB		(88,297)		(8,683,127)		(52,760)
Holmen AB		(21,697)		(3,834,993)		(64,115)
Husqvarna AB		(202,037)		(6,302,850)		(11,778)
Meda AB		(16,050)		(1,010,835)		(19,670)
Modern Times Group AB		(5,925)		(1,909,537)		(4,747)
Sandvik AB		(8,926)		(748,177)		(410)
Scania AB		(13,965)		(1,365,105)		(7,782)
Securitas AB		(16,248)		(878,702)		(12,076)
SSAB AB		(146,480)		(8,834,008)		924

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

AQR Funds Annual Report December 2011 107

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
Svenska Cellulosa AB		(15,662)	SEK	(1,313,171)	$	(40,395)
Svenska Handelsbanken AB		(12,751)		(2,335,047)		5,148
Trelleborg AB		(7,343)		(358,979)		(11,297)
						(383,776)
Switzerland
Adecco SA		(3,934)	CHF	(153,069)		(994)
Clariant AG		(52,739)		(493,004)		7,073
Credit Suisse Group AG		(24,588)		(582,528)		43,874
Galenica AG		(420)		(219,738)		(11,377)
Geberit AG		(103)		(17,214)		(1,473)
Givaudan SA		(531)		(437,300)		(39,011)
Holcim Ltd.		(15,021)		(749,923)		(2,311)
Julius Baer Group Ltd.		(33,802)		(1,161,180)		(80,451)
Kuehne + Nagel International AG		(57)		(6,458)		493
Lonza Group AG		(8,810)		(490,933)		3,550
Nobel Biocare Holding AG		(14,715)		(156,555)		(4,079)
Novartis AG		(3,787)		(183,132)		(21,245)
Sika AG		(13)		(22,970)		11
Sonova Holding AG		(15,012)		(1,165,349)		(323,330)
Straumann Holding AG		(1,240)		(192,122)		(9,029)
Swatch Group AG/The		(93)		(30,532)		(2,111)
Temenos Group AG		(90,148)		(1,325,767)		(60,243)
Zurich Financial Services AG		(192)		(34,047)		(7,012)
						(507,665)
United Kingdom
Admiral Group PLC		(67,942)	GBP	(648,651)		106,584
Aggreko PLC		(20,857)		(405,832)		(22,376)
Amlin PLC		(60,412)		(186,420)		(4,713)
Anglo American PLC		(11,514)		(269,460)		(6,859)
Banca Popolare di Crema SpA		(55,728)		(365,678)		(66,136)
Barloworld Ltd.		(7,562)		(105,704)		(1,242)
BG Group PLC		(31,099)		(408,688)		(29,695)
BP PLC		(15,651)		(67,849)		(6,116)
Bunzl PLC		(12,360)		(92,922)		(25,291)
Capita Group PLC/The		(68,790)		(474,804)		66,552
Carnival PLC		(23,646)		(485,117)		(26,033)
Centrica PLC		(11,643)		(33,245)		(664)
Chemring Group PLC		(11,537)		(59,932)		21,387
Cobham PLC		(66,099)		(117,485)		(5,758)
Consumers Packaging, Inc.		(7,761)		(99,885)		(21,721)
Cookson Group PLC		(64,846)		(319,730)		(15,247)
Daily Mail & General Trust PLC		(65,397)		(255,192)		(9,410)
Depfa Funding III LP		(42,377)		(499,108)		(26,343)
Diageo PLC		(26,158)		(325,679)		(65,776)
Dresdner Bank AG		(75,344)		(222,547)		(35,474)
Eurasian Natural Resources Corp. PLC		(17,963)		(119,545)		8,493
Experian PLC		(9,635)	GBP	(79,064)		(8,178)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Home Retail Group PLC		(194,598)		(207,754)	$	71,791
HSBC Fund Administration Ltd.		(10,141)		(59,626)		(1,007)
ICAP PLC		(29,717)		(101,579)		(2,318)
Informa PLC		(22,267)		(75,687)		(7,305)
International Power PLC		(65,803)		(213,164)		(13,038)
Intertek Group PLC		(23,833)		(470,008)		(22,701)
Invensys PLC		(19,337)		(38,173)		(3,954)
J Sainsbury PLC		(42,079)		(126,599)		(1,226)
Johnson Matthey PLC		(6,555)		(115,951)		(6,693)
Kazakhmys PLC		(25,880)		(230,727)		(15,357)
Kotak Mahindra Prime Ltd.		(16,826)		(297,501)		(69,073)
Kreis-Und Stadtsparkasse Erding		(167,231)		(336,058)		33,333
Ladbrokes PLC		(172,360)		(221,232)		(4,089)
Lloyds Banking Group PLC		(2,272,841)		(670,907)		128,963
Lonmin PLC		(43,231)		(464,662)		62,935
Man Group PLC		(540,095)		(684,570)		9,122
Marks & Spencer Group PLC		(283,117)		(931,733)		79,582
Mitchells & Butlers PLC		(105,904)		(248,303)		1,215
Next PLC		(11,502)		(299,299)		(23,152)
Northwest Equity Corp.		(15,590)		(42,815)		(2,398)
Old Mutual PLC		(12,101)		(13,688)		(4,195)
Pennon Group PLC		(1,401)		(9,768)		(346)
Persimmon PLC		(56,133)		(259,745)		(6,125)
Prudential PLC		(13,526)		(83,160)		(4,681)
Reckitt Benckiser Group PLC		(4,569)		(151,751)		10,326
Rentokil Initial PLC		(141,022)		(110,767)		34,813
Rexam PLC		(29,054)		(99,039)		(5,200)
Rolls-Royce Holdings PLC		(499,353)		—		(776)
Royal Dutch Shell PLC		(3,534)		(77,113)		(14,669)
SABMiller PLC		(21,279)		(467,782)		(21,631)
Severn Trent PLC		(8,606)		(127,652)		(1,465)
Signature Metals Ltd.		(58,535)		(635,868)		(18,009)
Smiths Group PLC		(70,645)		(664,538)		29,450
Standard Life PLC		(180,354)		(357,478)		(22,690)
UBM PLC		(20,257)		(97,021)		340
UBS AG		(52,458)		(414,152)		(4,191)
UBS AG		(6,682)		(22,846)		459
Vodafone Group PLC		(26,620)		(45,786)		(3,113)
Whitbread PLC		(4,519)		(70,012)		(986)
						7,925
Total Short Positions						1,281,453
Total of Long and Short Positions of Portfolio Swap						365,976
Net Cash and Other Receivables (b)						(474,278)
Swaps, at Value					$	(108,302)

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

108 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

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

(b) Cash and other receivables includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be

realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Cash held as collateral was $18,930,000 at December 31, 2011.

Total Return Basket Swap* Outstanding at December 31, 2011

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	07/24/13		$175,120
Total

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

Additional Information – Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2011.

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

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Bermuda
Accenture PLC		11,200	$	615,388	$	(19,212)
Bunge Ltd.		4,800		283,208		(8,648)
CrediCorp. Ltd.		100		8,356		2,591
Everest Re Group Ltd.		2,200		177,526		7,472
GOME Electrical Appliances Holding Ltd.		586,000	HKD	1,225,084		(22,938)
InvesCo., Ltd.		18,400	$	340,317		29,339
Marvell Technology Group Ltd.		36,900		508,993		2,072
Nabors Industries Ltd.		25,300		470,643		(31,941)
Sinofert Holdings Ltd.		462,000	HKD	977,831		3,056
						(38,209)
Brazil
Amil Participacoes SA		4,900	BRL	78,874		875
Banco Bradesco SA		9,700	$	165,898		(4,102)
Banco do Brasil SA		14,900	BRL	364,262		(5,968)
Banco do Estado do Rio Grande do Sul		4,900		80,822		9,209
BR Malls Participacoes SA		3,200		57,987		(1)
Brasil Telecom SA		7,200	$	151,379		(23,291)
Centrais Eletricas Brasileiras SA		17,100		165,224		817
Cia de Saneamento Basico do Estado de Sao Paulo		2,700		143,788		6,467

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Brazil (continued)
Cia Energetica de Minas Gerais		5,400	$	92,648	$	3,418
Cia Paranaense de Energia		1,300		28,308		(1,034)
Cielo SA		4,900	BRL	204,154		17,170
Cosan SA Industria e Comercio		14,200		352,917		16,342
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		10,100		311,180		30,811
Embraer SA		4,600	$	122,478		(6,466)
Energias Do Brasil SA		1,000	BRL	36,157		2,865
Itau Unibanco Holding SA		11,500	$	205,663		7,777
Metalurgica Gerdau SA		6,300	BRL	112,589		131
Multiplan Empreendimentos Imobilirios SA		400		14,277		553
OGX Petroleo e Gas Participacoes SA		2,800		37,755		204
Tim Participacoes SA		17,500	$	435,839		15,661
						71,438
Canada
Tim Hortons, Inc.		2,000	$	96,548		292

AQR Funds Annual Report December 2011 109

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Cayman Islands
China Resources Land Ltd.		12,000	HKD	145,997	$	397
China Shanshui Cement Group Ltd.		224,000		1,284,582		(17,251)
China Zhongwang Holdings Ltd.		186		475		2
Country Garden Holdings Co.		26,000		67,725		992
Dongyue Group Limited		174,000		1,119,708		(30,141)
Evergrande Real Estate Group Ltd.		20,000		78,110		(1,828)
GCL-Poly Energy Holdings Ltd.		624,000		1,342,963		338
Longfor Properties Co., Ltd.		8,000		69,514		64
Semiconductor Manufacturing International Co.		1,482,000		547,747		676
Shimao Property Holdings Ltd.		5,000		37,644		(596)
SoHo China Limited		13,000		66,798		30
						(47,317)
China
Bank of China Ltd.		311,000	HKD	901,049		(1,973)
Bank of Communications Co., Ltd.		23,000		132,160		(1,014)
China Bluechemical Ltd.		72,000		395,280		3,495
China Citic Bank Corp. Ltd.		22,000		94,575		145
China Communications Construction Co., Ltd.		255,000		1,508,537		4,450
China Life Insurance Co., Ltd.		2,400	$	89,517		(789)
China Minsheng Banking Corp. Ltd.		15,000	HKD	97,065		457
China Railway Construction Corp. Ltd.		121,500		507,688		1,291
China Shenhua Energy Co., Ltd.		9,500		347,175		(3,620)
China Southern Airlines, H Shares		142,000		591,998		(4,667)
China Telecom Corp. Ltd.		320,000		1,545,742		(17,012)
Great Wall Motor Co., Ltd.		19,500		179,876		5,197
Industrial & Commercial Bank of China		389,000		1,780,068		570
Jiangsu Expressway Co., H Shares		118,000		839,912		147
Ping An Insurance Group Co.		11,000		559,986		67
Sinopec Shanghai Petrochemical Co., Ltd.		124,000		371,230		(6,586)
Zhejiang Expressway Co., Ltd.		164,000		830,609		(726)
						(20,568)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Colombia
CAP SA		3,307	CLP	60,996,303	$	3,440
Empresa Nacional de Electricidad SA		300	$	14,411		(1,106)
Enersis SA		5,300		98,002		(4,563)
ENTEL Chile SA		6,720	CLP	64,665,963		1,247
						(982)
Hong Kong
Beijing Enterprise Holdings		8,000	HKD	371,298		89
China Mobile Ltd.		10,300	$	502,643		(3,196)
China Overseas Land & Investment Ltd.		26,000	HKD	334,246		113
CNOOC Ltd.		1,800	$	332,111		(17,687)
Guangdong Investment Ltd.		6,000	HKD	25,390		363
Lenovo Group Ltd.		180,000		937,727		(996)
Sino-Ocean Land Holdings Ltd.		27,000		96,014		95
						(21,219)
India
HDFC Bank Ltd.		5,000	$	137,792		(6,392)
ICICI Bank Ltd.		1,800		61,924		(14,350)
Infosys Ltd.		5,600		299,681		(11,953)
Tata Motors Ltd.		11,500		191,898		2,452
						(30,243)
Indonesia
Aneka Tambang Tbk PT		48,500	IDR	91,945,000		(1,493)
Astra Agro Lestari Tbk PT		44,500		978,284,700		(1,542)
Bank Rakyat Indonesia Persero Tbk PT		66,000		413,327,948		3,476
Indofood Sukses Makmur Tbk PT		315,000		1,575,633,338		(14,133)
Kalbe Farma Tbk PT		451,000		1,549,427,788		(1,885)
Telekomunikasi Indonesia Tbk PT		800	$	26,673		(2,081)
United Tractors Tbk PT		7,500	IDR	175,739,770		2,380
						(15,278)
Ireland
Covidien PLC		5,400	$	249,861		(6,807)
Ingersoll-Rand PLC		11,000		338,601		(3,431)
Seagate Technology PLC		13,100		205,560		9,280
						(958)

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

110 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea
BS Financial Group, Inc.		7,740	KRW	95,168,074	$	(8,308)
Daelim Industrial Co., Ltd.		1,211		116,376,157		(6,378)
DGB Financial Group, Inc.		1,320		18,609,000		(1,315)
Dongbu Insurance		676		33,723,824		2,140
Dongkuk Steel Mill Co., Ltd.		5,460		127,780,338		(13,547)
GS Engineering & Construction Corp.		113		12,206,060		(1,540)
Hanwha Corp.		2,320		76,328,514		612
Hyundai Department Store Co.		557		90,556,387		335
Hyundai Motor Co.		2,187		476,018,332		(8,117)
Hyundai Securities Co.		19,100		166,981,026		(1,674)
Industrial Bank of Korea		1,830		30,068,500		(6,236)
Kia Motors Corp.		1,286		94,776,198		(7,647)
Korea Investment Holdings Co., Ltd.		3,070		103,946,473		6,805
Korean Air Lines Co., Ltd.		3,739		172,661,948		(8,376)
KP Chemical		4,390		62,265,273		(73)
LG Display Co., Ltd.		16,200	$	164,812		5,774
Lotte Shopping Co.		216	KRW	72,211,223		1,074
Mirae Asset Securities Co.		1,830		55,661,494		1,923
Samsung Card Co.		7		413,113		(122)
Samsung Heavy Industries Co., Ltd.		4,320		129,679,539		(7,623)
Shinhan Financial Group Co., Ltd.		900	$	69,451		(8,062)
Shinsegae Co.		875	KRW	223,945,693		(8,107)
SK Holdings Co., Ltd.		161		21,773,160		(1,978)
SK Innovation Co., Ltd.		62		10,179,867		(1,182)
SK Telecom Co., Ltd.		25,500	$	353,633		(6,578)
Woori Finance Holdings Co., Ltd.		3,928	KRW	137,861,635		(8,090)
						(86,290)
Malyasia
AirAsia BHD		1,600	MYR	6,194		(53)
Alliance Financial Group		31,300		110,276		4,201
AMMB Holdings Bhd		33,900		215,804		(4,467)
Axiata Group Bhd		4,900		24,843		109
DiGi.Com Bhd		132,400		502,802		3,325
Genting Bhd		1,200		12,696		155
Hong Leong Bank Bhd		19,200		208,362		278

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Malyasia (continued)
Petronas Chemicals Group		52,800	MYR	325,127	$	567
Petronas Gas BHD		17,600		253,047		4,530
RHB Capital Bhd		9,600		70,492		398
SP Setia Bhd		6,900		26,610		(8)
Telekom Malaysia Bhd		6,300		25,194		1,914
						10,949
Mexico
Alfa SAB de CV		24,700	MXN	3,996,241		(17,171)
Coca-Cola Femsa SAB de CV		1,100	$	101,748		2,982
Grupo Mexico SA		23,300	MXN	861,434		(470)
Grupo Modelo SAB de CV		33,800		2,778,567		14,034
Kimberly-Clark de Mexico SAB de CV		9,400		682,001		2,254
Wal-Mart de Mexico SAB de CV		27,400		953,682		6,861
						8,490
Peru
Cia de Minas Buenaventura SA		1,300	$	53,209		(3,367)
Poland
KGHM Polska Miedz SA		872	PLN	149,724		(15,573)
Polskie Gornictwo Naftowe i Gazownictwo SA		12,540		51,301		(68)
Powszechny Zaklad Ubezpieczen SA		281		90,049		(1,022)
Tauron Polska Energia SA		89,177		473,506		545
						(16,118)
South Africa
ABSA Group		1,522	ZAR	214,762		(61)
Arrowhead Properties Ltd., A Shares		418		—		294
Arrowhead Properties Ltd., B Shares		418		—		210
Barlowworld Ltd.		14,425		1,066,611		1,968
Discovery Holdings Ltd.		873		34,945		369
Growthpoint Properties Ltd.		12,545		232,342		44
Imperial Holdings		4,855		590,141		1,175
Investec Ltd.		11,387		514,837		(1,748)
Liberty Holdings Ltd.		17,673		1,403,542		79
Naspers Ltd.		1,765		625,116		(339)
Nedbank Group Ltd.		4,640		664,851		835
Redefine Properties Ltd.		13,262		106,426		(1,023)
Sanlam Ltd.		49,748		1,428,825		272
Sasol Ltd.		700	$	32,590		590
Woolworths Holdings Ltd.		45,244	ZAR	1,738,631		2,879
						5,544

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

AQR Funds Annual Report December 2011 111

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
ACE Ltd.		1,900	$	121,438	$	11,790
TE Connectivity Ltd.		15,400		454,764		19,710
Tyco International Ltd.		3,600		165,891		2,265
						33,765
Taiwan
Acer, Inc.		131,000	TWD	4,557,590		1,087
Advanced Semiconductor Engineering		108,000		3,011,267		(6,924)
Asustek Computer, Inc.		16,220		3,631,132		(4,669)
Catcher Technology Co., Ltd.		6,000		1,000,700		(5,261)
China Life Insurance		61,000		1,474,730		531
China Motor Corp.		211,000		6,124,594		(10,890)
China Petrochemical Development Corp.		177,900		5,590,338		(26,518)
Chunghwa Telecom Co., Ltd.		1,000	$	34,446		(1,166)
E Sun Financial Holdings		35,000	TWD	484,911		(945)
Eva Airways Corp.		30,500		598,332		(453)
Evergreen Marine Corp.		125,000		1,947,763		(1,245)
Formosa Chemical & Fire Co.		23,000		1,964,892		(4,284)
Formosa Plastics Corp.		7,000		606,600		(1,374)
Fubon Financial Holding Co., Ltd.		46,000		1,469,272		70
HTC Corp.		9,000		5,490,961		(33,829)
Lite-On Technology Corp.		18,000		518,650		3,122
Nan Ya Plastics Corp.		37,000		2,410,513		(6,232)
Pegatron Corp.		54,000		1,647,352		4,270
President Chain Store Corp.		28,000		4,745,063		(4,226)
Realtek Semiconductor Corp.		62,100		2,838,539		(2,889)
SinoPac Financial Holdings Co., Ltd.		146,000		1,344,534		(1)
Taishin Financial Holding Co., Ltd.		32,000		357,475		(726)
Taiwan Business Bank		162,000		1,474,411		1,168
Taiwan Cooperative Financial Holding		25,000		451,760		107
Taiwan Semiconductor Manufacturing Co., Ltd.		25,900	$	321,893		12,476
Teco Electric and Machinery Co., Ltd.		149,000	TWD	2,508,356		4,892
Tripod Technology Corp.		44,330		3,332,550		(3,286)
Uni-President Enterprises Corp.		195,960		8,271,837		12,758
Yang Ming Marine Transport Corp.		78,100		1,181,400		(7,853)
						(82,290)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Thailand
Advanced Info Service PCL		11,000	THB	1,452,314	$	2,871
Bangkok Bank PCL		1,000		167,250		(443)
Charoen Pokphand Foods PCL		88,300		2,897,203		410
Krung Thai Bank PCL		14,800		300,740		(2,556)
PTT PCL		400		140,400		(426)
Thai Oil PCL		3,400		257,100		(1,859)
					��	(2,003)
Turkey
Asya Katilim Bankasi AS		56,248	TRY	105,946		(8,825)
BIM Birlesik Magazalar AS		1,158		63,448		(1,436)
Turkiye Vakiflar Bankasi Tao		94,876		286,051		(28,566)
						(38,827)
United Kingdom
China Construction Bank Corp.		375,000	HKD	2,033,975		(1,409)
Ensco PLC		100	$	4,162		530
						(879)
United States
99 Cents Only Stores		13,600	$	273,833		24,687
Acxiom Corp.		10,700		121,403		9,244
Advance Auto Parts, Inc.		2,600		143,733		37,305
AECOM Technology Corp.		15,100		320,716		(10,109)
Aeropostale, Inc.		49,200		690,250		60,050
AES Corp./The		46,900		530,336		24,959
Aetna, Inc.		9,800		393,368		20,094
AGCO Corp.		10,900		466,586		1,787
Agilent Technologies, Inc.		22,700		818,181		(25,270)
AK Steel Holding Corp.		82,700		683,268		(166)
Alaska Air Group, Inc.		4,500		273,621		64,284
Albemarle Corp.		3,600		175,373		10,063
Alexander & Baldwin, Inc.		600		24,670		(178)
Alexandria Real Estate Equities, Inc.		8,600		593,862		(720)
Alliant Energy Corp.		200		8,068		754
Alliant Techsystems, Inc.		6,700		399,159		(16,187)
Alpha Natural Resources, Inc.		8,300		163,539		6,030
Altera Corp.		3,400		127,505		(1,365)
Amazon.com, Inc.		1,000		173,625		(525)
American Capital Ltd.		203,300		1,429,017		(60,808)
American Eagle Outfitters, Inc.		51,300		630,289		154,088
American Electric Power Co., Inc.		1,500		56,253		5,712

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

112 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
American Financial Group, Inc.		11,400	$	387,074	$	33,472
Ameriprise Financial, Inc.		26,000		1,188,308		102,332
AmerisourceBergen Corp.		10,600		397,876		(3,662)
Anadarko Petroleum Corp.		800		61,156		(92)
Analog Devices, Inc.		1,300		45,446		1,068
AO Smith Corp.		4,300		163,817		8,699
Aon Corp.		5,900		284,617		(8,497)
Apartment Investment & Management Co.		3,600		83,900		(1,424)
Apollo Group, Inc.		8,200		387,788		53,946
Applied Industrial Technologies, Inc.		6,100		198,496		16,041
Applied Materials, Inc.		30,300		332,308		(7,795)
AptarGroup, Inc.		3,000		146,871		9,639
Archer-Daniels-Midland Co		15,300		439,891		(2,311)
Ariba , Inc.		300		9,544		(1,120)
Armstrong World Industries, Inc.		4,700		173,497		32,692
Arris Group, Inc.		800		8,682		(26)
Arrow Electronics, Inc.		10,700		359,719		40,568
Associated Banc-Corp.		23,900		265,053		1,910
Assurant, Inc.		23,200		860,144		92,448
AT&T, Inc.		9,600		278,606		11,698
Atmel Corp.		32,600		319,954		(55,894)
Atmos Energy Corp.		500		16,779		(104)
Autodesk, Inc.		9,400		262,230		22,872
Autoliv, Inc.		1,300		65,481		4,056
Automatic Data Processing, Inc.		700		32,392		5,415
AutoNation, Inc.		1,500		49,100		6,205
AutoZone, Inc.		1,500		493,336		(5,881)
Avista Corp.		2,600		63,590		3,360
Avnet, Inc.		20,800		597,078		49,594
Avon Products, Inc.		9,900		219,691		(46,738)
Baker Hughes, Inc.		3,600		185,976		(10,872)
Ball Corp.		100		3,490		81
Banco Santander Chile		200		15,176		(36)
Bank of America Corp.		1,500		7,967		373
Barnes & Noble, Inc.		28,300		388,118		21,666
BB&T Corp.		1,500		34,164		3,591
Bed Bath & Beyond, Inc.		11,400		664,721		(3,863)
Belden, Inc.		5,600		153,336		33,032
Benchmark Electronics, Inc.		10,000		132,120		2,580
Best Buy Co., Inc.		4,600		106,639		863
Big Lots, Inc.		21,700		764,762		54,630
Biogen Idec, Inc.		8,000		814,490		65,910
Bio-Rad Laboratories, Inc.		4,900		488,366		(17,770)
BMC Software, Inc.		31,400		1,194,097		(164,805)
Brady Corp.		900		28,503		(90)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
BRE Properties, Inc.		300	$	15,287	$	(143)
Brinker International, Inc.		1,100		25,660		3,776
Brink’s Co/The		14,500		377,213		12,547
Broadridge Financial Solutions, Inc.		6,100		125,017		12,538
Brocade Communications Systems, Inc.		172,900		784,457		112,894
Brown & Brown, Inc.		5,800		119,059		12,195
Buckle, Inc./The		1,900		75,733		1,920
CA, Inc.		100		2,106		(85)
Cabot Corp.		15,500		511,313		(13,143)
Cabot Oil & Gas Corp.		5,300		392,928		9,342
Cadence Design Systems, Inc.		600		6,022		218
Camden Property Trust		4,100		244,129		11,055
Cameron International Corp.		6,900		338,921		490
Capella Education Co.		8,700		283,665		29,970
Capital One Financial Corp.		1,300		54,625		352
CapitalSource, Inc.		57,900		374,289		13,641
Cardinal Health, Inc.		22,900		957,084		(27,115)
Career Education Corp.		29,895		228,217		10,047
Carlisle Cos, Inc.		4,900		204,755		12,315
Carpenter Technology Corp.		4,400		221,660		4,852
Catalyst Health Solutions, Inc.		11,900		652,692		(33,892)
CBS Corp.		20,400		504,898		48,758
Celanese Corp.		12,400		534,355		14,593
CenterPoint Energy, Inc.		21,300		424,183		3,734
Central European Distribution Corp.		1,700		10,301		(2,863)
CF Industries Holdings, Inc.		3,300		475,079		3,355
Charles River Laboratories International, Inc.		6,300		169,478		2,701
Chemed Corp.		2,700		139,783		(1,516)
China Petroleum & Chemical Corp.		2,700		273,312		10,323
Church & Dwight Co., Inc.		400		18,480		(176)
Cia de Bebidas das Americas		2,100		71,719		4,070
CIGNA Corp.		18,800		834,009		(44,409)
Cimarex Energy Co.		3,100		210,224		(18,334)
Cisco Systems, Inc.		8,300		131,891		18,173
Citrix Systems, Inc.		400		24,453		(165)
CLARCOR, Inc.		2,700		133,196		1,777
Clean Harbors , Inc.		5,700		313,274		49,987
CNA Financial Corp.		8,600		215,777		14,273
Coach, Inc.		4,200		257,698		(1,330)

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

AQR Funds Annual Report December 2011 113

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Coca-Cola Enterprises , Inc.		10,300	$	276,554	$	(11,020)
Colgate-Palmolive Co.		900		82,948		203
Columbia Sportswear Co.		600		30,427		(2,497)
Commerce Bancshares, Inc.		2,505		93,018		2,473
CommonWealth REIT		24,700		477,461		(66,453)
Community Health Systems, Inc.		22,500		414,648		(22,023)
Computer Sciences Corp.		19,300		548,811		(91,401)
Compuware Corp.		57,300		490,682		(13,946)
Comtech Telecommunications Corp.		3,600		101,348		1,684
ConAgra Foods, Inc.		9,500		235,341		15,459
Consol Energy, Inc.		22,100		871,529		(60,459)
Constellation Brands, Inc.		5,200		101,379		6,105
Continental Resources , Inc.		100		6,902		(231)
Convergys Corp.		7,800		77,877		21,729
Con-way, Inc.		35,700		961,912		79,100
Cooper Cos., Inc./The		6,900		484,886		1,702
Copart, Inc.		3,500		161,638		5,978
CoreLogic, Inc.		22,900		247,007		49,090
Corn Products International, Inc.		11,800		566,371		54,191
Corning, Inc.		6,800		88,115		149
Corporate Executive Board Co./The		4,200		133,870		26,150
Corrections Corp. of America		15,800		337,089		(15,243)
Costco Wholesale Corp.		2,200		175,040		8,264
Covance, Inc.		11,100		521,737		(14,245)
Coventry Health Care, Inc.		11,800		367,405		(9,039)
CR Bard, Inc.		1,500		134,103		(5,853)
Crane Co.		13,300		579,902		41,341
Crown Holdings, Inc.		26,400		889,802		(3,290)
CSX Corp.		16,700		358,669		(6,967)
Cummins, Inc.		8,600		785,107		(28,135)
Curtiss-Wright Corp.		800		24,122		4,142
Cytec Industries, Inc.		8,100		325,586		36,079
DaVita, Inc.		6,900		509,061		14,028
Dell, Inc.		10,900		162,215		(2,748)
Delta Air Lines, Inc.		19,600		152,309		6,255
Denbury Resources, Inc.		23,400		355,926		(2,586)
Devon Energy Corp.		3,200		205,397		(6,997)
DeVry, Inc.		30,000		1,211,325		(57,525)
Digital River, Inc.		10,500		158,881		(1,171)
Discover Financial Services		40,500		968,676		3,324
DISH Network Corp.		65,100		1,685,962		168,086

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dolby Laboratories, Inc.		15,200	$	462,730	$	1,022
Dollar Tree, Inc.		2,000		149,678		16,542
Donaldson Co., Inc.		1,300		71,334		17,170
Dr Pepper Snapple Group, Inc.		1,100		43,627		(198)
DreamWorks Animation SKG, Inc.		1,600		28,216		(1,664)
Dresser-Rand Group, Inc.		10,500		497,266		26,789
DST Systems, Inc.		8,800		405,765		(5,189)
DTE Energy Co.		1,300		68,458		2,327
Dun & Bradstreet Corp./The		2,400		159,800		19,792
Earthlink, Inc.		24,200		172,956		(17,108)
East West BanCorp., Inc.		20,500		370,759		34,116
Eastman Chemical Co.		11,500		465,067		(15,877)
Eastman Kodak Co.		171,000		219,369		(108,305)
eBay, Inc.		6,300		189,351		1,728
Edison International		9,300		349,270		35,750
Edwards Lifesciences Corp.		800		54,784		1,776
Electronic Arts, Inc.		24,800		569,073		(58,193)
EMCOR Group, Inc.		7,200		170,020		23,012
Endo Pharmaceuticals Holdings, Inc.		13,300		389,638		69,611
Energen Corp.		3,200		164,408		(4,408)
Entergy Corp.		1,300		85,289		9,676
EQT Corp.		4,500		246,479		76
Expeditors International of Washington, Inc.		1,300		64,930		(11,682)
EzCorp., Inc.		18,200		491,754		(11,820)
Family Dollar Stores, Inc.		1,400		76,732		3,992
Fidelity National Financial, Inc.		15,400		238,142		7,180
Fifth Third BanCorp.		56,400		645,061		72,347
FirstEnergy Corp.		900		39,427		443
Fiserv, Inc.		3,900		212,828		16,258
Flowserve Corp.		200		16,964		2,900
Fluor Corp.		4,000		203,739		(2,739)
FMC Corp.		2,000		155,028		17,052
Fomento Economico Mexcano SAB de CV		900		58,592		4,147
Foot Locker, Inc.		19,800		426,289		45,743
Forest Laboratories, Inc.		12,300		395,193		(22,995)
Forest Oil Corp.		20,000		242,202		28,798
Fossil, Inc.		400		32,422		(678)
Fulton Financial Corp.		42,400		390,394		25,550
GameStop Corp.		12,300		294,189		2,610
Gardner Denver, Inc.		6,700		516,691		(389)
Gartner, Inc.		8,900		326,174		(16,721)
General Cable Corp.		8,500		217,340		(4,755)
General Dynamics Corp.		2,400		151,649		7,735
GenOn Energy, Inc.		54,100		147,810		(6,609)
Gen-Probe, Inc.		2,200		130,218		(154)
Genuine Parts Co.		3,100		175,353		14,367

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

114 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Global Payments, Inc.		7,400	$	325,709	$	24,903
Gold Fields Ltd.		3,900		65,632		(6,157)
Graco, Inc.		4,500		172,796		11,209
GrafTech International Ltd.		12,700		169,968		3,387
Greif, Inc.		2,900		137,207		(5,112)
Grupo Televisa SAB		800		14,919		1,929
Guess?, Inc.		38,400		1,267,773		(122,685)
Halliburton Co.		16,200		560,386		(1,324)
Hanover Insurance Group, Inc./The		9,500		334,479		(2,454)
Hansen Natural Corp.		13,900		1,229,273		51,473
Harman International Industries, Inc.		29,400		1,095,969		22,407
Hartford Financial Services Group, Inc.		17,000		286,470		(10,220)
Hasbro, Inc.		4,200		151,951		(18,013)
HB Fuller Co.		3,600		81,982		1,214
HCC Insurance Holdings, Inc.		21,600		590,386		3,614
Health Net, Inc.		25,100		640,032		123,510
Heartland Express, Inc.		4,900		68,490		1,531
Helix Energy Solutions Group, Inc.		10,000		158,681		(681)
Herman Miller, Inc.		3,500		65,937		(1,362)
Hershey Co./The		2,400		138,765		9,507
Hess Corp.		13,600		814,834		(42,354)
Hill-Rom Holdings, Inc.		10,800		335,221		28,631
HollyFrontier Corp.		22,400		633,535		(109,375)
Honeywell International, Inc.		1,100		50,567		9,218
Hormel Foods Corp.		7,000		195,992		9,038
Hospitality Properties Trust		7,700		175,792		1,154
HUB Group, Inc.		12,500		410,131		(4,756)
Hubbell, Inc.		1,300		80,527		6,391
Humana, Inc.		13,000		1,041,679		97,251
Huntington Bancshares, Inc.		128,900		677,586		30,075
IAC/InterActiveCorp.		6,700		278,183		7,237
IHS, Inc.		1,300		101,367		10,641
Informatica Corp.		500		19,964		(1,499)
Ingram Micro, Inc.		51,500		904,610		32,175
Integrated Device Technology, Inc.		43,000		260,512		(25,732)
Integrys Energy Group, Inc.		600		31,117		1,391
International Game Technology		12,000		187,951		18,449
International Rectifier Corp.		12,400		247,932		(7,124)
Interpublic Group of Cos, Inc./The		124,500		1,100,837		110,548
Itron, Inc.		6,900		244,573		2,240
ITT Corp.		69,100		1,342,179		(6,476)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ITT Educational Services, Inc.		12,400	$	743,243	$	(37,807)
Jabil Circuit, Inc.		47,500		835,988		97,862
Jacobs Engineering Group, Inc.		1,200		46,419		2,277
JDS Uniphase Corp.		32,400		345,936		(7,680)
JM Smucker Co./The		5,600		423,735		14,017
Jones Lang LaSalle, Inc.		9,100		546,035		11,431
Joy Global, Inc.		1,900		155,400		(12,957)
JPMorgan Chase & Co.		1,300		42,642		583
KBR, Inc.		47,400		1,376,083		(55,045)
Kennametal, Inc.		3,800		135,365		3,411
KeyCorp.		103,200		728,609		64,999
Knight Capital Group, Inc.		19,400		255,736		(26,428)
Kroger Co./The		14,800		345,636		12,820
L, Inc.are Holdings, Inc.		1,000		23,530		2,180
L, Inc.oln Electric Holdings, Inc.		6,300		227,572		18,884
L, Inc.oln National Corp.		8,700		171,635		(2,681)
Lam Research Corp.		11,400		439,800		(17,772)
Landstar System, Inc.		9,800		432,931		36,685
Las Vegas Sands Corp.		2,400		98,568		3,984
Leucadia National Corp.		3,200		82,252		(9,484)
Lexmark International, Inc.		1,900		60,825		2,008
Liberty Interactive Corp.		29,700		464,891		16,694
Liberty Property Trust		1,300		43,497		(3,353)
Life Technologies Corp.		5,800		227,570		(1,892)
LKQ Corp.		1,100		32,485		603
Loews Corp.		10,100		380,150		115
Lorillard, Inc.		1,700		189,850		3,950
LSI Corp.		124,300		775,196		(35,611)
Mack-Cali Realty Corp.		1,400		43,184		(5,818)
Macy’s, Inc.		15,700		448,312		56,914
Magellan Health Services, Inc.		3,100		152,877		480
Manitowoc Co., Inc./The		7,600		67,705		2,139
Manpower, Inc.		15,200		598,458		(55,058)
Marathon Oil Corp.		33,000		870,839		95,071
Marsh & McLennan Cos., Inc.		5,100		147,066		14,196
Mattel, Inc.		3,100		83,007		3,049
McDermott International, Inc.		129,200		1,720,809		(233,717)
McGraw-Hill Cos., Inc./The		2,500		105,337		7,088
McKesson Corp.		8,400		651,251		3,193
MeadWestvaco Corp.		4,500		130,916		3,859
Medicis Pharmaceutical Corp.		3,000		97,846		1,904
Meredith Corp.		1,100		30,172		5,743
MetroPCS Communications , Inc.		73,100		685,239		(50,731)
MICROS Systems, Inc.		5,300		246,155		719

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

AQR Funds Annual Report December 2011 115

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Microsemi Corp.		100	$	1,626	$	49
Microsoft Corp.		1,700		44,831		(699)
Minerals Technologies, Inc.		7,800		441,959		(1,025)
MKS Instruments, Inc.		39,200		948,731		141,813
Molex, Inc.		3,900		92,146		908
Monsanto Co.		1,600		116,898		(4,786)
Monster Worldwide, Inc.		13,500		120,938		(13,883)
Mosaic Co./The		1,600		98,838		(18,150)
Motorola Solutions, Inc.		14,100		632,802		19,887
Murphy Oil Corp.		13,500		716,043		36,447
Myriad Genetics, Inc.		21,800		432,890		23,602
National Fuel Gas Co.		1,100		72,850		(11,712)
National Instruments Corp.		2,300		59,525		160
Navistar International Corp.		26,400		1,005,447		(5,415)
NCR Corp.		46,700		820,856		(52,174)
NeuStar, Inc.		400		13,462		206
New York Times Co./The		43,400		320,540		14,942
Newfield Exploration Co.		10,600		434,548		(34,610)
News Corp.		19,900		335,913		19,103
NII Holdings, Inc.		20,900		636,606		(191,436)
NIKE, Inc.		2,800		236,506		33,330
NiSource, Inc.		400		9,458		66
Noble Energy, Inc.		1,800		168,382		1,520
Nordson Corp.		5,000		217,852		(11,952)
Norfolk Southern Corp.		1,600		113,451		3,124
Northeast Utilities		500		17,322		713
NRG Energy, Inc.		3,700		76,836		(9,792)
NuVasive, Inc.		1,200		14,699		409
NV Energy, Inc.		12,300		184,420		16,685
NVIDIA Corp.		500		6,925		5
Oceaneering International, Inc.		12,300		516,416		50,983
OGE Energy Corp.		6,700		337,980		41,977
Oil States International, Inc.		500		37,357		828
Old Dominion Freight Line, Inc.		6,200		212,032		39,254
Old National BanCorp.		4,800		55,355		565
Olin Corp.		200		3,859		71
Omnicare, Inc.		800		27,707		(147)
Omnicom Group, Inc.		1,300		52,004		5,950
ON Semiconductor Corp.		45,900		342,154		12,194
ONEOK, Inc.		900		75,800		2,221
Onyx Pharmaceuticals, Inc.		6,700		216,913		77,552
Orbital Sciences Corp.		42,000		632,427		(22,167)
Owens & Minor, Inc.		600		17,350		(676)
Owens-Illinois, Inc.		39,100		723,041		34,717
Packaging Corp. of America		2,600		68,358		(2,734)
Pall Corp.		5,500		270,784		43,541
Panera Bread Co.		200		27,946		344

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Parker Hannifin Corp.		1,500	$	114,918	$	(543)
Patriot Coal Corp.		36,200		362,266		(55,652)
Patterson-UTI Energy, Inc.		64,300		1,372,007		(87,293)
Penn National Gaming, Inc.		1,500		56,959		146
PerkinElmer, Inc.		10,000		219,600		(19,600)
Perrigo Co.		1,500		148,792		(2,842)
Petroleo Brasileiro SA		15,300		374,238		(14,841)
PetSmart, Inc.		1,400		59,472		12,334
Plains Exploration & Production Co.		12,500		357,179		101,821
Plexus Corp.		8,100		223,941		(2,163)
PMC - Sierra, Inc.		36,700		210,417		(8,200)
PNC Financial Services Group, Inc.		7,000		365,175		38,515
PNM Resources, Inc.		1,200		21,992		(116)
Polaris Industries, Inc.		2,800		166,434		(9,690)
Polycom, Inc.		29,800		487,926		(2,186)
Pool Corp.		3,500		94,302		11,048
Popular, Inc.		289,000		517,940		(116,230)
Portland General Electric Co.		4,700		110,408		8,455
ProAssurance Corp.		600		45,304		2,588
Protective Life Corp.		40,000		752,033		150,367
Public Service Enterprise Group, Inc.		2,900		93,732		1,997
Pulte Group, Inc.		71,500		364,038		87,127
PVH Corp.		7,600		518,736		16,988
QLogic Corp.		40,700		602,175		8,325
Quest Software, Inc.		17,900		304,310		28,630
RadioShack Corp.		40,400		476,847		(84,563)
RalCorp. Holdings, Inc.		3,600		291,656		16,144
Rayonier, Inc.		4,200		179,332		8,114
Raytheon Co.		4,900		213,026		24,036
Red Hat, Inc.		9,000		377,447		(5,837)
Reinsurance Group of America, Inc.		14,100		731,760		4,965
Reliance Steel & Aluminum Co.		7,000		304,531		36,299
Republic Services, Inc.		1,300		37,380		(1,565)
Reynolds American, Inc.		1,100		40,569		4,993
Rock-Tenn Co.		1,600		89,212		3,108
Rockwell Automation, Inc.		5,400		325,695		70,503
Rockwood Holdings, Inc.		11,500		454,962		(2,207)
Ross Stores, Inc.		24,900		999,895		183,602
Rowan Cos., Inc.		23,900		783,409		(58,522)
RPM International, Inc.		5,100		113,717		11,488
Ruddick Corp.		2,300		98,588		(516)
Ryder System, Inc.		8,600		392,796		64,208
SAIC, Inc.		2,500		30,913		(188)
Sara Lee Corp.		25,000		447,480		25,520
Scripps Networks Interactive, Inc.		2,900		124,682		(1,664)

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

116 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
SEACOR Holdings, Inc.		7,900	$	703,087	$	(303)
Sealed Air Corp.		26,100		467,618		(18,437)
Sears Holdings Corp.		13,100		550,538		(134,220)
SEI Investments Co.		2,700		43,498		3,347
Sempra Energy		600		31,059		1,941
Semtech Corp.		1,000		22,220		2,600
Sensient Technologies Corp.		400		14,191		969
Service Corp. International		39,300		404,353		14,192
Shaw Group, Inc./The		34,300		825,387		97,283
Silgan Holdings, Inc.		2,700		101,586		2,742
Skyworks Solutions, Inc.		3,800		61,205		431
SLM Corp.		36,300		494,636		(8,216)
SM Energy Co.		8,800		670,061		(26,781)
Snap-on, Inc.		7,900		409,481		(9,583)
Sohu.com , Inc.		3,800		209,556		(19,556)
Solera Holdings, Inc.		400		18,020		(204)
Sotheby’s		18,400		550,105		(25,153)
Southern Copper Corp.		100		3,546		(528)
Southwestern Energy Co.		8,800		285,944		(4,872)
Sprint Nextel Corp.		51,400		122,192		(1,916)
SPX Corp.		15,000		836,903		67,147
St Jude Medical, Inc.		1,300		46,162		(1,572)
Staples, Inc.		21,100		311,347		(18,268)
Starbucks Corp.		13,100		544,372		58,359
State Street Corp.		6,300		231,085		22,868
Steel Dynamics, Inc.		58,400		699,750		68,210
Stifel Financial Corp.		1,300		41,451		214
Stryker Corp.		300		14,625		288
SunTrust Banks, Inc.		5,300		104,250		(10,440)
SUPERVALU, Inc.		2,100		16,128		924
Symantec Corp.		10,400		177,524		(14,764)
Synopsys, Inc.		21,500		551,882		32,918
Taubman Centers, Inc.		1,800		106,370		5,410
Tech Data Corp.		14,100		667,200		29,481
Techne Corp.		2,700		189,113		(4,811)
Tekelec		57,600		477,504		152,064
Teledyne Technologies, Inc.		10,000		539,733		8,767
Tellabs, Inc.		256,300		1,080,628		(45,176)
Teradata Corp.		15,000		757,898		(30,248)
Teradyne, Inc.		5,100		68,789		724
Tetra Tech, Inc.		4,400		86,940		8,056
Thermo Fisher Scientific, Inc.		900		40,043		430
Thomas & Betts Corp.		8,100		383,045		59,215
Thoratec Corp.		14,800		486,560		10,128
TIBCO Software, Inc.		27,100		633,117		14,844
Time Warner Cable, Inc.		5,000		316,441		1,409
Timken Co.		23,000		901,503		(11,173)
TJX Cos., Inc.		1,000		58,948		5,602
Toro Co./The		5,000		268,531		34,769
Total System Services, Inc.		8,900		173,683		401

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Towers Watson & Co.		10,500	$	624,613	$	4,652
Tractor Supply Co.		5,700		397,120		2,735
Travelers Cos., Inc./The		3,200		163,004		26,340
Trimble Navigation Ltd.		2,400		86,750		17,410
Tupperware Brands Corp.		17,200		995,201		(32,517)
Tutor Perini Corp.		49,400		680,195		(70,599)
tw telecom, Inc.		8,600		157,176		9,492
Tyson Foods, Inc.		26,500		505,347		41,613
UDR, Inc.		5,800		142,623		2,957
UGI Corp.		5,500		153,005		8,695
Unit Corp.		16,400		789,160		(28,200)
United Continental Holdings, Inc.		5,300		109,017		(9,006)
United Microelectronics Corp.		6,100		11,696		1,358
United States Steel Corp.		20,400		523,550		16,234
Universal Health Services, Inc.		19,100		723,431		18,795
Unum Group		21,000		452,580		(10,110)
URS Corp.		13,100		462,203		(2,131)
US BanCorp.		1,600		37,265		6,015
Vale SA		27,300		627,285		(64,905)
Valero Energy Corp.		21,100		473,827		(29,672)
Varian Medical Systems, Inc.		600		33,673		6,605
VeriSign, Inc.		5,500		163,938		32,522
Verizon Communications, Inc.		400		15,938		110
Vertex Pharmaceuticals, Inc.		2,100		68,090		1,651
Viacom, Inc.		4,700		218,032		(4,605)
Vishay Intertechnology, Inc.		2,600		26,480		(3,106)
Vornado Realty Trust		300		22,880		178
WABCO Holdings, Inc.		20,500		937,382		(47,682)
Wabtec Corp.		3,200		194,238		29,602
Walter Energy, Inc.		10,000		721,312		(115,712)
Warnaco Group, Inc./The		3,700		180,941		4,207
Washington Federal, Inc.		7,300		98,033		4,094
Washington Post Co./The		100		41,382		(3,701)
Waters Corp.		2,500		212,660		(27,535)
Watson Pharmaceuticals, Inc.		9,500		617,982		(44,752)
Websense, Inc.		4,700		88,848		(817)
Webster Financial Corp.		1,900		34,847		3,894
WellPoint, Inc.		2,100		137,032		2,093
Wells Fargo & Co.		3,600		94,058		5,158
Werner Enterprises, Inc.		2,300		54,165		1,265
Western Digital Corp.		18,200		542,055		21,235
WGL Holdings, Inc.		800		34,617		759
Whiting Petroleum Corp.		11,100		498,785		19,474
Whole Foods Market, Inc.		500		34,015		775

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

AQR Funds Annual Report December 2011 117

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Williams-Sonoma, Inc.		24,000	$	851,037	$	72,963
Wolverine World Wide, Inc.		7,300		265,154		(4,982)
Wyndham Worldwide Corp.		17,900		560,793		116,364
Yahoo!, Inc.		18,100		285,066		6,887
Yum! Brands, Inc.		3,500		182,191		24,344
Zebra Technologies Corp.		15,100		524,136		16,142
Zimmer Holdings, Inc.		300		16,188		(162)
						2,490,213
Total Long Positions						2,216,143
Short Positions
Netherlands
Schlumberger Ltd.		(8,900)		(627,353)		19,394
Panama
Carnival Corp.		(8,700)		(288,535)		4,567
Switzerland
Noble Corp.		(16,600)		(551,305)		49,653
Transocean Ltd.		(19,100)		(856,202)		122,953
Weatherford International Ltd.		(48,300)		(758,257)		51,145
						223,751
United States
3M Co.		(4,900)		(399,294)		(1,183)
Abbott Laboratories		(1,700)		(90,058)		(5,533)
Abercrombie & Fitch Co.		(1,700)		(104,144)		21,116
Activision Blizzard, Inc.		(5,800)		(67,929)		(3,527)
Actuant Corp.		(32,400)		(688,622)		(46,534)
Acuity Brands, Inc.		(15,900)		(736,300)		(106,400)
Adobe Systems, Inc.		(13,800)		(383,085)		(7,041)
ADTRAN, Inc.		(18,900)		(576,605)		6,581
Advent Software, Inc.		(6,700)		(157,757)		(5,455)
Aflac, Inc.		(7,900)		(315,969)		(25,785)
Air Products & Chemicals, Inc.		(2,900)		(243,373)		(3,678)
Airgas, Inc.		(700)		(48,050)		(6,606)
Akamai Technologies, Inc.		(9,200)		(289,459)		(7,517)
Alcoa, Inc.		(51,000)		(466,189)		25,039
Alere, Inc.		(10,100)		(253,689)		20,480
Alexion Pharmaceuticals, Inc.		(2,000)		(112,691)		(30,309)
Alkermes Plc		(5,600)		(97,105)		(111)
Allegheny Technologies, Inc.		(25,300)		(1,183,776)		(25,564)
Allegiant Travel Co		(1,500)		(66,988)		(13,022)
Alliance Data Systems Corp.		(6,400)		(626,658)		(37,918)
Allstate Corp./The		(900)		(22,869)		(1,800)
Altria Group, Inc.		(8,200)		(228,103)		(15,027)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Amedisys, Inc.		(54,900)	$	(723,611)	$	124,652
Ameren Corp.		(500)		(14,840)		(1,725)
American Express Co.		(12,200)		(588,545)		13,071
American Public Education, Inc.		(13,600)		(496,409)		(92,199)
American Tower Corp.		(200)		(11,634)		(368)
American Water Works Co., Inc.		(400)		(11,695)		(1,049)
AMERIGROUP Corp.		(13,000)		(685,154)		(82,886)
AMETEK, Inc.		(1,600)		(63,399)		(3,961)
Amgen, Inc.		(3,200)		(181,946)		(23,526)
Amphenol Corp.		(18,200)		(812,261)		(13,837)
Anixter International, Inc.		(6,400)		(363,916)		(17,780)
Annaly Capital Management, Inc.		(1,000)		(17,866)		1,906
ANSYS, Inc.		(2,400)		(139,377)		1,905
Apache Copr.		(1,800)		(173,785)		10,741
Apple, Inc.		(1,200)		(466,246)		(19,754)
Arch Coal, Inc.		(5,600)		(101,279)		20,023
Arthur J Gallagher & Co.		(2,500)		(82,440)		(1,160)
Ashland, Inc.		(7,000)		(379,570)		(20,550)
Astoria Financial Corp.		(3,000)		(26,001)		531
athenahealth, Inc.		(2,700)		(154,242)		21,618
Atwood Oceanics, Inc.		(7,400)		(302,149)		7,703
AvalonBay Communities, Inc.		(300)		(39,494)		314
Avery Dennison Corp.		(1,600)		(45,288)		(600)
Bally Technologies, Inc.		(15,900)		(545,137)		(83,867)
BanCorp.South, Inc.		(20,500)		(210,422)		(15,488)
Bank of Hawaii Corp.		(2,800)		(117,675)		(6,897)
Bank of New York Mellon Corp./The		(28,000)		(551,708)		(5,772)
Barnes Group, Inc.		(15,000)		(322,905)		(38,745)
Baxter International, Inc.		(1,200)		(58,738)		(638)
BE Aerospace, Inc.		(8,300)		(309,759)		(11,534)
Beam, Inc.		(4,300)		(211,765)		(8,524)
Becton Dickinson & Co.		(2,100)		(153,704)		(3,208)
Bemis Co., Inc.		(2,500)		(77,089)		1,889
Berry Petroleum Co.		(10,000)		(412,548)		(7,652)
Bill Barrett Corp.		(22,300)		(876,358)		116,597
BioMarin Pharmaceutical, Inc.		(26,500)		(809,734)		(101,336)
Black Hills Corp.		(19,300)		(604,859)		(43,235)
Boeing Co./The		(1,300)		(95,750)		395
BorgWarner, Inc.		(10,500)		(707,891)		38,621
Boston Properties, Inc.		(200)		(20,990)		1,070
Boston Scientific Corp.		(62,700)		(402,637)		67,819
Briggs & Stratton Corp.		(36,000)		(538,923)		(18,717)
Bristol-Myers Squibb Co.		(29,600)		(896,181)		(146,923)
Bristow Group, Inc.		(3,500)		(171,842)		5,977
Broadcom Corp.		(4,700)		(157,722)		19,730
Brown-Forman Corp.		(700)		(51,855)		(4,502)
CACI International, Inc.		(600)		(30,136)		(3,416)
Calpine Corp.		(27,200)		(387,158)		(57,018)
Campbell Soup Co.		(5,200)		(169,774)		(3,074)

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

118 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CARBO Ceramics, Inc.		(7,700)	$	(989,554)	$	39,913
CarMax, Inc.		(46,700)		(1,334,044)		(89,372)
Carter’s, Inc.		(2,700)		(87,570)		(19,917)
Casey’s General Stores, Inc.		(1,900)		(84,888)		(12,981)
Cash America International, Inc.		(16,700)		(861,589)		82,868
Caterpillar, Inc.		(8,700)		(786,821)		(1,399)
Cathay General BanCorp.		(8,100)		(106,197)		(14,736)
Celgene Corp.		(8,500)		(537,901)		(36,699)
Centene Corp.		(5,000)		(163,582)		(34,368)
CenturyLink, Inc.		(7,100)		(248,722)		(15,398)
Cerner Corp.		(4,200)		(266,193)		8,943
CH Robinson Worldwide, Inc.		(6,200)		(424,860)		(7,776)
Charles Schwab Corp./The		(95,800)		(1,164,024)		85,316
Chesapeake Energy Corp.		(1,900)		(43,579)		1,228
Chevron Corp.		(900)		(90,403)		(5,357)
Childrens Place Retail Stores, Inc./The		(8,500)		(372,839)		(78,681)
Chipotle Mexican Gril , Inc.		(1,700)		(533,378)		(40,780)
Choice Hotels International, Inc.		(2,000)		(58,090)		(18,010)
Ciena Corp.		(178,200)		(2,231,543)		75,323
Cincinnati Financial Corp.		(37,400)		(1,070,003)		(69,201)
Cintas Corp.		(3,500)		(109,059)		(12,776)
CitiGroup, Inc.		(31,500)		(882,519)		53,754
Cliffs Natural Resources, Inc.		(10,300)		(678,623)		36,418
Clorox Co./The		(800)		(52,261)		(987)
CMS Energy Corp.		(8,600)		(175,158)		(14,730)
Coca-Cola Co./The		(11,400)		(775,874)		(21,784)
Cognizant Technology Solutions Corp.		(1,100)		(74,710)		3,969
Comcast Corp.		(1,200)		(29,544)		1,092
Comerica, Inc.		(1,000)		(25,203)		(597)
Compass Minerals International, Inc.		(900)		(65,964)		3,999
Comstock Resources, Inc.		(53,600)		(1,022,105)		202,025
Concho Resources, Inc.		(5,200)		(468,678)		(18,822)
Concur Technologies, Inc.		(19,300)		(838,397)		(141,850)
ConocoPhillips		(4,000)		(279,602)		(11,878)
Consolidated Edison, Inc.		(200)		(12,479)		73
Cree, Inc.		(57,600)		(1,430,731)		161,227
Crown Castle International Corp.		(2,800)		(118,043)		(7,397)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cubist Pharmaceuticals, Inc.		(7,900)	$	(283,387)	$	(29,611)
Cullen/Frost Bankers, Inc.		(2,400)		(120,592)		(6,392)
CVS Caremark Corp.		(11,700)		(419,981)		(57,145)
Cymer, Inc.		(700)		(29,084)		(5,748)
Danaher Corp.		(10,700)		(502,701)		(627)
Darden Restaurants, Inc.		(3,400)		(155,646)		674
Dean Foods Co.		(3,600)		(34,740)		(5,580)
Deckers Outdoor Corp.		(2,400)		(204,153)		22,785
Deere & Co.		(3,900)		(295,180)		(6,485)
Deluxe Corp.		(1,200)		(25,221)		(2,091)
DENTSPLY International, Inc.		(13,100)		(453,905)		(4,464)
Diamond Offshore Drilling, Inc.		(1,500)		(83,351)		461
Dick’s Sporting Goods, Inc.		(100)		(3,661)		(27)
Diebold, Inc.		(16,700)		(482,358)		(19,810)
Discovery Communications, Inc.		(11,200)		(455,186)		(3,678)
Dominion Resources, Inc.		(4,500)		(221,498)		(17,362)
Douglas Emmett, Inc.		(28,500)		(522,184)		2,344
Dover Corp.		(1,300)		(75,497)		32
Dow Chemical Co./The		(47,500)		(1,317,331)		(48,769)
DR Horton, Inc.		(46,800)		(499,644)		(90,504)
Dril-Quip, Inc.		(500)		(32,531)		(379)
Duke Realty Corp.		(10,800)		(128,313)		(1,827)
Eagle Materials, Inc.		(21,200)		(392,837)		(151,155)
Ecolab, Inc.		(7,000)		(351,544)		(53,126)
EI du Pont de Nemours & Co.		(15,100)		(679,333)		(11,945)
Eli Lilly & Co.		(10,100)		(383,060)		(36,696)
EMC Corp.		(23,700)		(546,265)		35,767
Emerson Electric Co.		(10,200)		(506,022)		30,804
Energizer Holdings, Inc.		(1,600)		(121,271)		(2,697)
EOG Resources, Inc.		(3,100)		(277,026)		(28,355)
Equifax, Inc.		(3,400)		(120,019)		(11,697)
Equinix, Inc.		(8,800)		(845,682)		(46,638)
Estee Lauder Cos., Inc./The		(900)		(102,125)		1,037
Esterline Technologies Corp.		(300)		(16,355)		(436)
EXCO Resources, Inc.		(24,700)		(303,136)		45,021
Exelon Corp.		(5,900)		(256,074)		191
Expedia, Inc.		(4,750)		(130,986)		(6,859)
Express Scripts, Inc.		(26,500)		(1,165,508)		(18,777)
Exterran Holdings, Inc.		(51,700)		(512,368)		41,898
Exxon Mobil Corp.		(7,500)		(582,169)		(53,531)
F5 Networks, Inc.		(1,300)		(128,889)		(9,067)
Factset Research Systems, Inc.		(1,500)		(136,570)		5,650
Fair Isaac Corp.		(600)		(15,437)		(6,067)

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

AQR Funds Annual Report December 2011 119

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Fastenal Co.		(17,600)	$	(671,978)	$	(95,558)
FedEx Corp.		(1,600)		(126,575)		(7,041)
Fidelity National Information Services, Inc.		(200)		(5,055)		(263)
First Horizon National Corp.		(27,100)		(178,534)		(38,266)
First Midwest BanCorp., Inc.		(10,400)		(96,172)		(9,180)
First Niagara Financial Group, Inc.		(5,400)		(45,862)		(740)
First Solar, Inc.		(9,300)		(441,968)		128,000
FirstMerit Corp.		(11,600)		(166,749)		(8,759)
FLIR Systems, Inc.		(37,400)		(967,078)		29,460
Flowers Foods, Inc.		(10,500)		(202,604)		3,314
FMC Technologies, Inc.		(4,000)		(172,848)		(36,072)
FNB Corp.		(15,100)		(141,561)		(29,220)
Forest City Enterprises, Inc.		(68,000)		(903,709)		99,949
Franklin Resources, Inc.		(3,500)		(365,450)		29,240
Freeport-McMoRan Copper & Gold, Inc.		(3,800)		(141,450)		1,648
Frontier Communications Corp.		(58,800)		(399,012)		96,192
FTI Consulting, Inc.		(14,100)		(530,520)		(67,602)
Gannett Co., Inc.		(53,600)		(577,641)		(138,991)
Gap, Inc./The		(10,600)		(201,410)		4,780
GATX Corp.		(19,200)		(739,395)		(98,877)
General Electric Co.		(69,400)		(1,173,575)		(69,379)
General Mills, Inc.		(4,000)		(155,441)		(6,199)
Genesee & Wyoming, Inc.		(4,100)		(222,121)		(26,257)
Gentex Corp.		(500)		(14,640)		(155)
Geo Group, Inc./The		(19,300)		(361,452)		38,177
Glacier BanCorp., Inc.		(32,300)		(373,429)		(15,140)
Goldman Sachs Group, Inc./The		(3,000)		(335,014)		63,724
Goodyear Tire & Rubber Co./The		(9,300)		(125,723)		(6,058)
Google, Inc.		(100)		(60,765)		(3,825)
Granite Construction, Inc.		(6,600)		(135,971)		(20,581)
Great Plains Energy, Inc.		(3,900)		(79,493)		(5,449)
Green Mountain Coffee Roasters, Inc.		(32,000)		(2,063,047)		627,847
H&R Block, Inc.		(35,700)		(521,854)		(61,127)
Haemonetics Corp.		(300)		(17,652)		(714)
Hain Celestial Group, Inc./The		(1,000)		(30,192)		(6,468)
Hancock Holding Co.		(2,400)		(74,396)		(2,332)
Hanesbrands, Inc.		(9,300)		(234,709)		31,411
Harley-Davidson, Inc.		(9,300)		(337,234)		(24,257)
Harris Corp.		(28,500)		(1,080,519)		53,379
Harsco Corp.		(6,000)		(130,218)		6,738
HCP, Inc.		(4,900)		(183,293)		(19,714)
HealthSouth Corp.		(2,400)		(42,657)		249

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Helmerich & Payne, Inc.		(2,900)	$	(142,767)	$	(26,477)
Hertz Global Holdings, Inc.		(105,600)		(1,197,185)		(40,447)
Hexcel Corp.		(28,300)		(653,320)		(31,823)
Hologic, Inc.		(12,000)		(192,372)		(17,748)
Home Depot, Inc.		(25,200)		(925,075)		(134,333)
Hospira, Inc.		(13,100)		(410,683)		12,836
Host Hotels & Resorts, Inc.		(12,500)		(177,701)		(6,924)
Hudson City BanCorp., Inc.		(62,200)		(390,075)		1,325
Huntsman Corp.		(4,500)		(47,977)		2,977
IDEX Corp.		(4,200)		(149,466)		(6,396)
IDEXX Laboratories, Inc.		(800)		(62,967)		1,398
Illinois Tool Works, Inc.		(3,900)		(189,928)		7,759
Illumina, Inc.		(28,400)		(907,666)		42,034
Intel Corp.		(22,100)		(483,901)		(52,023)
InterDigital, Inc.		(100)		(4,479)		122
International Business Machines Corp.		(600)		(102,390)		(7,938)
International Flavors & Fragrances, Inc.		(100)		(5,306)		64
International Paper Co.		(17,200)		(471,873)		(37,247)
Intersil Corp.		(13,600)		(141,266)		(718)
Intrepid Potash, Inc.		(30,700)		(839,911)		145,170
Intuit, Inc.		(1,700)		(89,305)		(98)
Intuitive Surgical, Inc.		(100)		(39,716)		(6,585)
Iron Mountain, Inc.		(11,100)		(364,397)		22,517
iShares MSCI Emerging Markets Index Fund		(259,300)		(10,041,890)		204,048
ITC Holdings Corp.		(700)		(51,080)		(2,036)
Jack Henry & Associates, Inc.		(3,700)		(112,575)		(11,782)
Jack in the Box, Inc.		(1,300)		(27,092)		(78)
Jarden Corp.		(2,700)		(78,093)		(2,583)
JB Hunt Transport Services, Inc.		(4,500)		(189,635)		(13,180)
JC Penney Co., Inc.		(3,700)		(108,069)		(21,986)
JetBlue Airways Corp.		(104,200)		(480,322)		(61,518)
John Wiley & Sons, Inc.		(300)		(13,970)		650
Johnson & Johnson		(4,300)		(275,633)		(6,361)
Johnson Controls, Inc.		(16,100)		(509,266)		5,980
Juniper Networks, Inc.		(17,400)		(381,941)		26,807
Kansas City Southern		(1,000)		(65,169)		(2,841)
Kaydon Corp.		(2,000)		(63,589)		2,589
KB Home		(8,400)		(57,486)		1,038
Kellogg Co		(6,600)		(347,837)		14,075
Kimberly-Clark Corp.		(700)		(46,758)		(4,734)
Kirby Corp.		(7,900)		(436,187)		(83,949)
KLA-Tencor Corp.		(3,800)		(174,862)		(8,488)
Knight Transportation, Inc.		(17,700)		(262,184)		(14,644)
Kraft Foods, Inc.		(4,200)		(146,226)		(10,686)
L-3 Communications Holdings, Inc.		(1,900)		(127,004)		312

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

120 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Laboratory Corp. of America Holdings		(2,600)	$	(216,024)	$	(7,498)
Lamar Advertising Co.		(25,400)		(521,582)		(176,918)
Leap Wireless International, Inc.		(145,400)		(1,092,181)		(258,585)
Legg Mason, Inc.		(36,500)		(980,426)		102,601
Leggett & Platt, Inc.		(22,900)		(493,520)		(34,096)
Lender Processing Services, Inc.		(15,800)		(257,314)		19,208
Lennar Corp.		(64,400)		(1,037,034)		(228,426)
Lennox International, Inc.		(2,600)		(78,246)		(9,504)
Liberty Global, Inc.		(5,200)		(210,250)		(3,106)
Life Time Fitness, Inc.		(24,100)		(970,255)		(156,420)
LifePoint Hospitals, Inc.		(7,600)		(266,006)		(16,334)
Linear Technology Corp.		(2,500)		(71,713)		(3,362)
Lockheed Martin Corp.		(3,400)		(265,387)		(9,673)
Lowe’s Cos, Inc.		(19,700)		(483,537)		(16,449)
Ltd. Brands, Inc.		(5,100)		(201,215)		(4,570)
Lufkin Industries, Inc.		(4,900)		(324,514)		(5,305)
Lululemon Athletica, Inc.		(8,900)		(466,719)		51,445
Macerich Co./The		(2,900)		(139,172)		(7,568)
Mantech International Corp.		(3,900)		(135,714)		13,878
Markel Corp.		(400)		(157,320)		(8,548)
Marriott International, Inc.		(14,800)		(421,428)		(10,288)
Martin Marietta Materials, Inc.		(7,800)		(558,963)		(29,235)
Masco Corp.		(24,100)		(202,322)		(50,246)
Masimo Corp.		(12,100)		(243,771)		17,682
Mastercard, Inc.		(700)		(235,557)		(25,417)
Maxim Integrated Products, Inc.		(400)		(10,476)		60
McCormick & Co., Inc.		(2,000)		(98,059)		(2,781)
McDonald’s Corp.		(2,000)		(179,305)		(21,355)
McMoRan Exploration Co.		(25,100)		(312,719)		(52,486)
MDC Holdings, Inc.		(2,000)		(38,975)		3,715
MDU Resources Group, Inc.		(800)		(17,038)		(130)
Mednax, Inc.		(800)		(56,625)		(983)
Medtronic, Inc.		(8,200)		(279,492)		(34,158)
MEMC Electronic Materials, Inc.		(91,700)		(586,436)		225,138
Men’s Wearhouse, Inc./The		(2,100)		(63,620)		(4,441)
Merck & Co., Inc.		(18,700)		(649,845)		(55,145)
Mercury General Corp.		(4,400)		(178,027)		(22,701)
MetLife, Inc.		(26,000)		(851,946)		41,266
Mettler-Toledo International, Inc.		(400)		(61,456)		2,372
MGM Resorts International		(9,500)		(97,033)		(2,052)
Microchip Technology, Inc.		(400)		(13,992)		(660)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Micron Technology, Inc.		(148,900)	$	(891,626)	$	(44,955)
Mohawk Industries, Inc.		(7,400)		(370,907)		(71,983)
Molson Coors Brewing Co.		(4,300)		(184,752)		(2,470)
Moody’s Corp.		(25,200)		(820,135)		(28,601)
MSC Industrial Direct Co., Inc.		(600)		(39,726)		(3,204)
MSCI, Inc.		(700)		(23,043)		(8)
Mylan, Inc.		(40,600)		(823,930)		(47,346)
National Oilwell Varco, Inc.		(3,100)		(208,935)		(1,834)
NetApp, Inc.		(19,400)		(711,479)		7,841
Netflix, Inc.		(300)		(20,731)		(56)
New York Community BanCorp., Inc.		(27,100)		(336,696)		1,469
Newell Rubbermaid, Inc.		(8,500)		(110,729)		(26,546)
NextEra Energy, Inc.		(6,700)		(386,257)		(21,639)
Nordstrom, Inc.		(8,500)		(427,839)		5,304
Northern Trust Corp.		(1,700)		(66,432)		(990)
Northrop Grumman Corp.		(100)		(5,872)		24
Nuance Communications, Inc.		(23,300)		(522,537)		(63,691)
Nucor Corp.		(15,200)		(575,087)		(26,377)
Occidental Petroleum Corp.		(800)		(75,053)		93
Old Republic International Corp.		(157,300)		(1,493,956)		35,785
OM Group, Inc.		(200)		(4,408)		(70)
Oracle Corp.		(4,800)		(156,288)		33,168
O’Reilly Automotive, Inc.		(2,500)		(161,093)		(38,782)
Oshkosh Corp.		(21,500)		(429,035)		(30,635)
Owens Corning		(22,700)		(614,522)		(37,422)
PACCAR, Inc.		(6,600)		(259,314)		12,012
Parametric Technology Corp.		(13,500)		(253,562)		7,052
Patterson Cos., Inc.		(800)		(23,316)		(300)
Paychex, Inc.		(100)		(2,694)		(317)
Peabody Energy Corp.		(1,200)		(51,893)		12,161
Penn Virginia Corp.		(88,000)		(657,028)		191,508
Penske Automotive Group, Inc.		(16,600)		(308,701)		(10,849)
Pentair, Inc.		(5,600)		(199,143)		12,719
People’s United Financial, Inc.		(10,600)		(127,046)		(9,164)
Pepco Holdings, Inc.		(700)		(13,713)		(497)
PepsiCo., Inc.		(6,100)		(388,153)		(16,582)
Pfizer, Inc.		(41,600)		(842,526)		(57,698)
PG&E Corp.		(700)		(28,400)		(454)
Piedmont Natural Gas Co., Inc.		(600)		(18,041)		(2,347)
Pioneer Natural Resources Co.		(1,600)		(133,753)		(9,415)
Pitney Bowes , Inc.		(68,000)		(1,343,317)		82,597
Plantronics, Inc.		(14,300)		(476,713)		(32,939)

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

AQR Funds Annual Report December 2011 121

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Power Integrations, Inc.		(13,100)	$	(443,590)	$	9,194
PPG Industries, Inc.		(3,200)		(267,400)		232
PPL Corp.		(3,100)		(87,327)		(3,875)
Praxair, Inc.		(5,400)		(543,891)		(33,369)
Precision Castparts Corp.		(2,400)		(383,590)		(11,906)
priceline.com, Inc.		(1,900)		(936,544)		47,895
Principal Financial Group, Inc.		(2,800)		(71,616)		2,736
PrivateBanCorp., Inc.		(20,300)		(191,830)		(31,064)
Progressive Corp./The		(15,000)		(275,218)		(17,432)
Prosperity Bancshares, Inc.		(1,500)		(63,612)		3,087
Prudential Financial, Inc.		(3,100)		(154,240)		(1,132)
PSS World Medical, Inc.		(8,700)		(203,015)		(7,438)
QUALCOMM, Inc.		(8,300)		(424,179)		(29,831)
Quality Systems, Inc.		(7,700)		(323,982)		39,159
Quanta Services, Inc.		(11,300)		(219,470)		(23,932)
Quest Diagnostics, Inc.		(9,100)		(466,578)		(61,768)
Questar Corp.		(3,300)		(60,522)		(5,016)
Quicksilver Resources, Inc.		(33,900)		(303,932)		76,463
Ralph Lauren Corp.		(1,300)		(187,187)		7,683
Rambus, Inc.		(46,800)		(495,536)		142,196
Range Resources Corp.		(8,700)		(563,088)		24,210
Regal-Beloit Corp.		(4,100)		(209,157)		180
Regency Centers Corp.		(8,100)		(301,566)		(3,156)
Regions Financial Corp.		(91,800)		(404,077)		9,337
Rent-A-Center, Inc.		(10,700)		(351,276)		(44,624)
ResMed, Inc.		(6,900)		(184,925)		9,665
Riverbed Technology, Inc.		(17,200)		(425,863)		21,663
Robert Half International, Inc.		(16,500)		(405,384)		(64,206)
Rockwell Collins, Inc.		(2,200)		(121,592)		(222)
Roper Industries, Inc.		(5,700)		(462,905)		(32,254)
Rovi Corp.		(9,800)		(368,385)		127,501
RR Donnelley & Sons Co.		(31,700)		(489,510)		32,079
Safeway, Inc.		(16,900)		(337,212)		(18,364)
Saks, Inc.		(9,300)		(88,582)		(2,093)
Salesforce.com, Inc.		(14,700)		(1,725,710)		234,248
Sanderson Farms, Inc.		(4,900)		(247,267)		1,630
SanDisk Corp.		(16,300)		(742,668)		(59,455)
SandRidge Energy, Inc.		(73,100)		(539,938)		(56,558)
SBA Communications Corp.		(8,400)		(311,060)		(49,804)
SCANA Corp.		(1,200)		(51,100)		(2,972)
Schnitzer Steel Industries, Inc.		(5,000)		(214,073)		2,673
Scientific Games Corp.		(3,900)		(36,231)		(1,599)
Sherwin-Williams Co./The		(700)		(53,985)		(8,504)
Silicon Laboratories, Inc.		(9,100)		(342,022)		(53,100)
Simon Property Group, Inc.		(100)		(11,898)		(996)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Simpson Manufacturing Co., Inc.		(1,200)	$	(36,247)	$	(4,145)
Skechers U.S.A., Inc.		(34,900)		(484,229)		61,241
SL Green Realty Corp.		(3,300)		(221,510)		1,598
Smithfield Foods, Inc.		(19,900)		(416,960)		(66,212)
Sonoco Products Co.		(400)		(12,739)		(445)
Southern Co.		(11,600)		(494,077)		(42,887)
StanCorp. Financial Group, Inc.		(11,200)		(385,844)		(25,756)
Starwood Hotels & Resorts Worldwide, Inc.		(3,600)		(163,494)		(9,198)
Stericycle, Inc.		(2,000)		(156,241)		401
STERIS Corp.		(8,200)		(240,430)		(4,094)
Sunoco, Inc.		(7,700)		(297,725)		(18,129)
Susquehanna Bancshares, Inc.		(59,000)		(387,031)		(107,389)
SVB Financial Group		(7,900)		(361,530)		(15,221)
Swift Energy Co.		(3,900)		(116,535)		627
Synovus Financial Corp.		(730,200)		(1,001,346)		(28,236)
Sysco Corp.		(13,000)		(367,021)		(14,269)
T Rowe Price Group, Inc.		(22,200)		(1,180,240)		(84,050)
Take-Two Interactive Software, Inc.		(11,300)		(148,677)		(4,438)
Target Corp.		(3,300)		(165,887)		(3,139)
TCF Financial Corp.		(13,200)		(135,276)		(948)
TECO Energy, Inc.		(300)		(5,580)		(162)
Teleflex, Inc.		(1,100)		(64,031)		(3,388)
Telephone & Data Systems, Inc.		(3,600)		(91,858)		(1,346)
Terex Corp.		(12,200)		(174,612)		9,790
Tesoro Corp.		(3,500)		(78,658)		(3,102)
Texas Industries, Inc.		(500)		(15,001)		(389)
Texas Instruments, Inc.		(18,900)		(555,573)		5,394
Textron, Inc.		(29,100)		(523,637)		(14,422)
Tidewater, Inc.		(10,100)		(525,604)		27,674
Tiffany & Co.		(10,100)		(707,356)		38,130
Time Warner, Inc.		(14,300)		(478,343)		(38,459)
Titanium Metals Corp.		(44,300)		(685,854)		22,240
Toll Brothers, Inc.		(9,700)		(157,242)		(40,832)
Torchmark Corp.		(1,100)		(46,903)		(826)
TransDigm Group, Inc.		(1,800)		(168,213)		(4,011)
TreeHouse Foods, Inc.		(6,900)		(387,559)		(63,563)
Trinity Industries, Inc.		(2,900)		(75,697)		(11,477)
TripAdvisor, Inc.		(6,350)		(193,132)		33,048
Triumph Group, Inc.		(16,300)		(847,082)		(105,653)
Trustmark Corp.		(3,100)		(68,339)		(6,960)
UMB Financial Corp.		(800)		(29,751)		(49)
Under Armour, Inc.		(14,800)		(1,117,956)		55,464
Union Pacific Corp.		(100)		(9,978)		(616)
United Natural Foods, Inc.		(2,900)		(111,221)		(4,808)
United Parcel Service, Inc.		(7,300)		(496,206)		(38,081)
United Technologies Corp.		(1,600)		(121,883)		4,939

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

122 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United Therapeutics Corp.		(1,800)	$	(77,490)	$	(7,560)
UnitedHealth Group, Inc.		(8,900)		(417,265)		(33,787)
Universal Corp.		(1,100)		(43,971)		(6,585)
Urban Outfitters, Inc.		(50,200)		(1,357,412)		(26,100)
US Airways Group, Inc.		(28,100)		(149,731)		7,264
USG Corp.		(44,500)		(400,706)		(51,414)
Vail Resorts, Inc.		(11,900)		(505,098)		1,014
Valmont Industries, Inc.		(200)		(17,608)		(550)
Valspar Corp.		(1,300)		(41,064)		(9,597)
ValueClick, Inc.		(33,700)		(557,702)		8,729
VCA Antech, Inc.		(16,200)		(279,217)		(40,733)
Vectren Corp.		(400)		(11,700)		(392)
VF Corp.		(1,200)		(138,315)		(14,073)
Virgin Media, Inc.		(30,900)		(744,481)		83,839
Viropharma, Inc.		(200)		(5,477)		(1)
Visa, Inc.		(8,200)		(708,111)		(124,435)
VMware, Inc.		(900)		(88,637)		13,766
Volcano Corp.		(9,400)		(248,944)		25,318
Waddell & Reed Financial, Inc.		(1,700)		(42,716)		607
Walgreen Co.		(2,100)		(70,118)		692
Wal-Mart Stores, Inc.		(9,900)		(543,138)		(48,486)
Walt Disney Co./The		(3,600)		(123,041)		(11,959)
Waste Management, Inc.		(8,700)		(276,270)		(8,307)
Watsco, Inc.		(10,000)		(592,343)		(64,257)
Watts Water Technologies, Inc.		(7,800)		(229,465)		(37,373)
Weight Watchers International, Inc.		(6,200)		(427,235)		86,173
Weingarten Realty Investors		(7,400)		(174,727)		13,259
WESCO International, Inc.		(13,900)		(681,437)		(55,402)
West Pharmaceutical Services, Inc.		(2,300)		(91,377)		4,092

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Westamerica BanCorporation		(4,300)	$	(177,895)	$	(10,875)
Westar Energy, Inc.		(3,900)		(101,230)		(11,012)
Western Union Co./The		(41,700)		(735,174)		(26,268)
Whirlpool Corp.		(7,800)		(370,851)		741
Williams Cos, Inc./The		(2,400)		(75,888)		(3,360)
Windstream Corp.		(9,800)		(115,483)		431
WMS Industries, Inc.		(19,000)		(379,681)		(10,199)
Woodward, Inc.		(15,200)		(494,405)		(127,731)
Worthington Industries, Inc.		(5,700)		(96,396)		3,030
WR Berkley Corp.		(4,200)		(137,606)		(6,832)
Wynn Resorts Ltd.		(3,800)		(470,611)		50,749
Xcel Energy, Inc.		(400)		(10,095)		(961)
Xerox Corp.		(38,200)		(309,111)		5,039
Xilinx, Inc.		(3,800)		(122,619)		791
Zions BanCorporation		(54,400)		(913,725)		28,093
						(2,541,568)
Total Short Positions						(2,293,856)
Total of Long and Short Positions of Portfolio Swap						(77,713)
Net Cash and Other Receivables (b)						252,833
Swaps, at Value					$	175,120

(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 includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Total Return Basket Swap* Outstanding at December 31, 2011

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	VALUE ($)
Morgan Stanley	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.	07/24/13—08/08/13		$565,691
Total

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

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

AQR Funds Annual Report December 2011 123

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

Additional Information – Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2011.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Anvil Mining Ltd.		55,400	CAD	423,550	$	(16,603)
Daylight Energy Ltd.		113,735		1,116,474		28,306
Grande Cache Coal Corp.		156,018		1,527,935		17,869
TMX Group, Inc.		22,880		982,577		(28,181)
						1,391
Cayman Islands
Little Sheep Group Ltd.		1,084,718	HKD	6,432,519		69,139
Shanda Interactive		23,637	$	951,630		(5,913)
						63,226
United States
99 Cents Only Stores		68,153		1,467,276		28,683
Blue Coat Systems, Inc.		78,362		1,984,594		9,719
Central Vermont Public Service Corp.		25,840		903,358		3,626
Commercial Metals Co.		16,895		234,608		(950)
Complete Production Services, Inc.		68,906		2,280,607		31,879
Constellation Energy Group, Inc.		125,233		4,839,813		128,180
Delphi Financial Group, Inc.		51,877		2,287,086		11,065
Dollar Thrifty Automotive Group, Inc.		11,481		730,424		76,231
Goodrich Corp.		23,967		2,944,799		19,919
Harleysville Group, Inc.		23,956		1,415,145		(59,954)
Healthspring, Inc.		65,217		3,542,731		14,204
Jakks Pacific, Inc.		49,387		959,662		(262,811)
LoopNet, Inc.		94,135		1,671,836		48,952
Magma Design Automation, Inc.		184,600		1,323,238		2,190
Medco Health Solutions, Inc.		31,323		1,595,334		155,622
Motorola Mobility Holdings, Inc.		53,521		2,079,345		(2,730)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Netlogic Microsystems, Inc.		50,579	$	2,498,318	$	8,883
Northeast Utilities		1,774		59,753		4,235
Novellus Systems, Inc.		44,556		1,816,041		23,676
NYSE Euronext		33,159		911,712		(46,262)
Progress Energy, Inc.		82,704		4,275,276		357,802
RightNow Technologies, Inc.		110,360		4,718,628		(2,946)
RSC Holdings, Inc.		94,403		1,713,550		32,906
S1 Corp.		69,663		628,475		38,200
Sonosite, Inc.		42,666		2,295,004		2,987
Southern Union Co.		50,808		2,123,625		15,900
Tekelec		23,377		255,487		23
Temple-Inland, Inc.		77,448		2,372,467		83,409
Transatlantic Holdings, Inc.		75,323		4,036,845		85,582
Venoco, Inc.		44,400		459,343		(158,756)
Winn-Dixie Stores, Inc.		198,606		1,850,663		12,261
						661,725
Total Long Positions						726,342
Short Positions
Denmark
Deutsche Boerse AG		(15,609)	EUR	(649,330)		23,454
United States
ACI Worldwide, Inc.		(6,661)	$	(175,198)		(15,573)
Alleghany Corp.		(10,966)		(3,139,198)		10,708
Colfax Corp.		(221)		(4,756)		(1,538)
CoStar Group, Inc.		(3,547)		(186,250)		(50,441)
Duke Energy Corp.		(217,356)		(4,379,338)		(402,494)
Energy Transfer Equity LP		(14,503)		(558,358)		(30,173)
Exelon Corp.		(115,742)		(4,967,521)		(52,209)
Express Scripts, Inc.		(27,892)		(1,161,660)		(84,834)
Hertz Global Holdings, Inc.		(9,890)		(103,351)		(12,560)
Lam Research Corp.		(49,666)		(1,827,002)		(11,633)
NSTAR		(1,352)		(59,668)		(3,822)

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

124 AQR Funds Annual Report December 2011

Consolidated Schedule of Investments December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Superior Energy Services, Inc.		(66,652)	$	(1,881,607)	$	(13,976)
United Rentals, Inc.		(26,024)		(737,712)		(31,298)
						(699,843)
Total Short Positions						(676,389)
Total of Long and Short Positions of Portfolio Swap						49,953
Net Cash and Other Receivables (b)						515,738
Swaps, at Value					$	565,691

(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 includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty.

Cash held as collateral was $40,000 for both Morgan Stanley total return basket swaps at December 31, 2011.

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

AQR Funds Annual Report December 2011 125

Schedule of Investments December 31, 2011

AQR MOMENTUM FUND

COMMON STOCKS - 99.5%	SHARES		VALUE (Note 3)
Consumer Discretionary - 17.8%
Abercrombie & Fitch Co., Class A		6,400	$	312,576
Advance Auto Parts, Inc.		2,300		160,149
Amazon.com, Inc. †		23,400		4,050,540
Apollo Group, Inc., Class A †		8,300		447,121
AutoNation, Inc. †(a)		14,700		541,989
AutoZone, Inc. †		2,900		942,413
Bed Bath & Beyond, Inc. †		18,700		1,084,039
Big Lots, Inc. †		7,800		294,528
BorgWarner, Inc. †(a)		8,700		554,538
Brinker International, Inc. (a)		12,400		331,824
Buckle, Inc./The		7,400		302,438
Carter’s, Inc. †		7,700		306,537
CBS Corp., Class B (a)		45,800		1,243,012
Chipotle Mexican Grill, Inc. †		2,500		844,350
Cinemark Holdings, Inc.		15,800		292,142
Clear Channel Outdoor Holdings, Inc., Class A †(a)		9,300		116,715
Coach, Inc.		8,107		494,851
Comcast Corp., Class A		43,300		1,026,643
Deckers Outdoor Corp. †		5,600		423,192
Dick’s Sporting Goods, Inc.		4,600		169,648
Dillard’s, Inc., Class A (a)		10,500		471,240
DIRECTV, Class A †		7,800		333,528
Discovery Communications, Inc., Class A †		3,166		129,711
DISH Network Corp., Class A		29,800		848,704
Dollar General Corp. †		19,600		806,344
Dollar Tree, Inc. †(a)		10,800		897,588
Domino’s Pizza, Inc. †(a)		10,800		366,660
DSW, Inc., Class A		6,600		291,786
Family Dollar Stores, Inc.		4,900		282,534
Foot Locker, Inc.		7,900		188,336
Fossil, Inc. †(a)		6,900		547,584
Gentex Corp. (a)		13,000		384,670
Genuine Parts Co.		10,000		612,000
Goodyear Tire & Rubber Co./The †		21,900		310,323
H&R Block, Inc.		25,400		414,782
Harley-Davidson, Inc. (a)		13,200		513,084
Hasbro, Inc. (a)		3,200		102,048
Home Depot, Inc./The		66,700		2,804,068
HSN, Inc.		8,000		290,080
Hyatt Hotels Corp., Class A †		10,100		380,164
Liberty Global, Inc., Class A †		4,300		176,429
Liberty Media Corp. - Liberty Capital, Class A †		6,300		491,715
LKQ Corp. †		10,700		321,856
Ltd. Brands, Inc.		20,900		843,315
Macy’s, Inc.		23,900		769,102
Mattel, Inc. (a)		20,700		574,632
McDonald’s Corp.		49,400		4,956,302
McGraw-Hill Cos., Inc./The		24,400		1,097,268
News Corp., Class A (a)		53,500		954,440
NIKE, Inc., Class B		12,800		1,233,536
Nordstrom, Inc.		11,100		551,781
O’Reilly Automotive, Inc. †		7,800		623,610
Panera Bread Co., Class A †		2,400		339,480
PetSmart, Inc.		9,200		471,868
Polaris Industries, Inc. (a)		10,200		570,996

	SHARES		VALUE (Note 3)
Consumer Discretionary - 17.8% (continued)
priceline.com, Inc. †		2,226	$	1,041,123
Ralph Lauren Corp.		5,700		787,056
Rent-A-Center, Inc.		8,000		296,000
Ross Stores, Inc.		17,600		836,528
Sally Beauty Holdings, Inc. †		22,600		477,538
Signet Jewelers Ltd. (Bermuda)		3,900		171,444
Sirius XM Radio, Inc. †(a)		148,900		270,998
Six Flags Entertainment Corp.		7,600		313,424
Starbucks Corp.		42,734		1,966,191
Tempur-Pedic International, Inc. †(a)		8,800		462,264
Tenneco, Inc. †		3,100		92,318
Tiffany & Co. (a)		5,500		364,430
Time Warner Cable, Inc.		6,400		406,848
Time Warner, Inc.		13,700		495,118
TJX Cos., Inc.		21,300		1,374,915
Tractor Supply Co.		8,000		561,200
Tupperware Brands Corp.		4,600		257,462
Ulta Salon Cosmetics & Fragrance, Inc. †		8,300		538,836
Under Armour, Inc., Class A †		6,900		495,351
VF Corp.		8,600		1,092,114
Viacom, Inc., Class B		13,100		594,871
Weight Watchers International, Inc. (a)		8,600		473,086
Wolverine World Wide, Inc.		8,400		299,376
Wyndham Worldwide Corp.		8,300		313,989
Wynn Resorts Ltd.		6,900		762,381
Yum! Brands, Inc.		6,000		354,060
				53,989,730
Consumer Staples - 13.1%
Altria Group, Inc.		92,200		2,733,730
Beam, Inc.		5,400		276,642
Brown-Forman Corp., Class B		3,800		305,938
Casey’s General Stores, Inc.		5,900		303,909
Church & Dwight Co., Inc. (a)		12,500		572,000
Coca-Cola Co./The		38,300		2,679,851
Coca-Cola Enterprises, Inc.		6,823		175,897
Colgate-Palmolive Co.		22,500		2,078,775
ConAgra Foods, Inc.		20,200		533,280
Corn Products International, Inc.		4,600		241,914
Costco Wholesale Corp.		26,600		2,216,312
CVS Caremark Corp.		60,100		2,450,878
Darling International, Inc. †		15,500		205,995
Dr Pepper Snapple Group, Inc. (a)		2,700		106,596
Estee Lauder Cos., Inc./The, Class A (a)		12,800		1,437,696
General Mills, Inc.		9,300		375,813
Green Mountain Coffee Roasters, Inc. †(a)		15,500		695,175
Hansen Natural Corp. †		8,900		820,046
Herbalife Ltd. (Cayman Islands)		12,700		656,209
Hershey Co./The (a)		15,800		976,124
HJ Heinz Co. (a)		5,600		302,624
Hormel Foods Corp.		19,500		571,155
JM Smucker Co./The		6,800		531,556
Kellogg Co. (a)		6,500		328,705
Kimberly-Clark Corp.		15,100		1,110,756
Kraft Foods, Inc., Class A		78,500		2,932,760
Lorillard, Inc.		8,500		969,000
McCormick & Co., Inc. (a)		3,300		166,386

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

126 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Consumer Staples - 13.1% (continued)
Mead Johnson Nutrition Co.		13,100	$	900,363
Nu Skin Enterprises, Inc., Class A (a)		5,900		286,563
Philip Morris International, Inc.		86,200		6,764,976
Pricesmart, Inc.		7,900		549,761
Reynolds American, Inc.		38,600		1,598,812
Sara Lee Corp.		44,800		847,616
Smithfield Foods, Inc. †		14,000		339,920
TreeHouse Foods, Inc. †		4,700		307,286
Tyson Foods, Inc., Class A		22,700		468,528
Whole Foods Market, Inc.		10,200		709,716
				39,529,263
Energy - 13.6%
Anadarko Petroleum Corp.		10,600		809,098
Atwood Oceanics, Inc. †		7,100		282,509
Berry Petroleum Co., Class A		3,600		151,272
Cabot Oil & Gas Corp.		10,400		789,360
Cameron International Corp. †		1,800		88,542
CARBO Ceramics, Inc. (a)		3,900		480,987
Chesapeake Energy Corp.		22,900		510,441
Chevron Corp.		92,700		9,863,280
Concho Resources, Inc. †(a)		5,200		487,500
ConocoPhillips		44,800		3,264,576
Consol Energy, Inc.		2,500		91,750
Continental Resources, Inc. †		4,500		300,195
CVR Energy, Inc. †(a)		16,300		305,299
Dresser-Rand Group, Inc. †(a)		3,600		179,676
El Paso Corp.		31,000		823,670
Energen Corp.		2,800		140,000
Energy XXI Bermuda Ltd. (Bermuda) †		4,500		143,460
EOG Resources, Inc.		4,200		413,742
EQT Corp.		14,200		778,018
Exxon Mobil Corp.		143,200		12,137,632
FMC Technologies, Inc. †(a)		6,600		344,718
Golar LNG Ltd. (Bermuda)		10,300		457,835
Helmerich & Payne, Inc.		2,800		163,408
HollyFrontier Corp.		18,200		425,880
Key Energy Services, Inc. †(a)		18,800		290,836
Lufkin Industries, Inc. (a)		1,900		127,889
Marathon Oil Corp.		32,100		939,567
National Oilwell Varco, Inc.		1,300		88,387
Noble Energy, Inc.		3,200		302,048
Oceaneering International, Inc.		7,300		336,749
Oil States International, Inc. †		2,600		198,562
Range Resources Corp.		15,400		953,876
Rosetta Resources, Inc. †(a)		10,000		435,000
SM Energy Co.		8,300		606,730
Spectra Energy Corp.		28,100		864,075
Sunoco, Inc.		4,400		180,488
Superior Energy Services, Inc. †(a)		3,800		108,072
Tesoro Corp. †		20,700		483,552
Tidewater, Inc.		2,900		142,970
Valero Energy Corp.		14,500		305,225
Williams Cos., Inc./The		31,100		1,026,922
World Fuel Services Corp. (a)		7,000		293,860
				41,117,656

	SHARES		VALUE (Note 3)
Financials - 7.0%
American Campus Communities, Inc. REIT		7,300	$	306,308
American Capital Ltd. †(a)		17,800		119,794
American Express Co.		54,400		2,566,048
American Financial Group, Inc.		8,200		302,498
American Tower Corp.		5,000		300,050
Aon Corp.		11,400		533,520
Arch Capital Group Ltd. (Bermuda) †		13,000		483,990
AvalonBay Communities, Inc. REIT (a)		7,300		953,380
BGC Partners, Inc., Class A (a)		14,300		84,942
Boston Properties, Inc. REIT (a)		7,000		697,200
Camden Property Trust REIT		3,800		236,512
Capital One Financial Corp.		16,300		689,327
Capitol Federal Financial, Inc. (a)		26,600		306,964
Chubb Corp.		12,600		872,172
Digital Realty Trust, Inc. REIT		4,400		293,348
Discover Financial Services		39,000		936,000
Douglas Emmett, Inc. REIT (a)		8,500		155,040
Equity Residential REIT		13,200		752,796
Erie Indemnity Co., Class A		1,200		93,792
Essex Property Trust, Inc. REIT (a)		1,800		252,918
Extra Space Storage, Inc. REIT (a)		11,900		288,337
Fidelity National Financial, Inc., Class A		21,800		347,274
General Growth Properties, Inc. REIT (a)		8,100		121,662
HCP, Inc. REIT		7,500		310,725
Leucadia National Corp.		7,700		175,098
Marsh & McLennan Cos., Inc.		39,900		1,261,638
Mid-America Apartment Communities, Inc. REIT		1,800		112,590
Moody’s Corp. (a)		18,400		619,712
NASDAQ OMX Group, Inc./The †		5,000		122,550
Post Properties, Inc. REIT		5,900		257,948
ProLogis, Inc. REIT		8,130		232,437
Public Storage REIT		11,800		1,586,628
Rayonier, Inc. REIT		13,850		618,126
RenaissanceRe Holdings Ltd. (Bermuda)		4,100		304,917
Signature Bank †		5,800		347,942
Simon Property Group, Inc. REIT		16,000		2,063,040
SL Green Realty Corp. REIT (a)		1,200		79,968
Taubman Centers, Inc. REIT		6,500		403,650
UDR, Inc. REIT		7,900		198,290
Weingarten Realty Investors REIT		5,400		117,828
Weyerhaeuser Co. REIT		7,100		132,557
WR Berkley Corp.		13,700		471,143
				21,110,659
Health Care - 12.8%
Abbott Laboratories		45,100		2,535,973
Aetna, Inc.		25,600		1,080,064
Alexion Pharmaceuticals, Inc. †		15,700		1,122,550
Allergan, Inc.		18,400		1,614,416
AMERIGROUP Corp. †		5,100		301,308
AmerisourceBergen Corp. (a)		15,000		557,850
Ariad Pharmaceuticals, Inc. †		25,500		312,375
athenahealth, Inc. †		6,800		334,016
Baxter International, Inc.		7,300		361,204
Biogen Idec, Inc. †		15,300		1,683,765
BioMarin Pharmaceutical, Inc. †(a)		13,400		460,692

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

AQR Funds Annual Report December 2011 127

Schedule of Investments December 31, 2011

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Health Care - 12.8% (continued)
Bristol-Myers Squibb Co.		77,500	$	2,731,100
Cardinal Health, Inc.		22,500		913,725
Catalyst Health Solutions, Inc. †(a)		5,500		286,000
Cepheid, Inc. †		11,200		385,392
Cerner Corp. †(a)		10,100		618,625
CIGNA Corp.		22,700		953,400
Cooper Cos., Inc./The		1,500		105,780
Coventry Health Care, Inc. †		8,000		242,960
Cubist Pharmaceuticals, Inc. †		8,600		340,732
Eli Lilly & Co.		32,200		1,338,232
Gen-Probe, Inc. †		3,700		218,744
Healthspring, Inc. †		6,100		332,694
Henry Schein, Inc. †		4,600		296,378
Hill-Rom Holdings, Inc.		3,500		117,915
HMS Holdings Corp. †(a)		5,700		182,286
Humana, Inc.		13,000		1,138,930
IDEXX Laboratories, Inc. †		4,000		307,840
Intuitive Surgical, Inc. †		2,700		1,250,127
Jazz Pharmaceuticals, Inc. †		8,000		309,040
McKesson Corp.		16,300		1,269,933
Medicis Pharmaceutical Corp., Class A		9,100		302,575
Omnicare, Inc. (a)		8,700		299,715
Onyx Pharmaceuticals, Inc. †		7,100		312,045
Perrigo Co. (a)		9,300		904,890
Pfizer, Inc.		221,100		4,784,604
Pharmasset, Inc. †		5,200		666,640
Questcor Pharmaceuticals, Inc. †(a)		15,400		640,332
Regeneron Pharmaceuticals, Inc. †(a)		11,900		659,617
SXC Health Solutions Corp. †		5,900		333,232
UnitedHealth Group, Inc.		56,200		2,848,216
Vertex Pharmaceuticals, Inc. †		13,300		441,693
ViroPharma, Inc. †		10,700		293,073
Watson Pharmaceuticals, Inc. †		11,800		712,012
WellCare Health Plans, Inc. †		10,500		551,250
WellPoint, Inc.		20,200		1,338,250
				38,792,190
Industrials - 6.0%
Acacia Research - Acacia Technologies †		8,700		317,637
Acuity Brands, Inc. (a)		2,600		137,800
Alaska Air Group, Inc. †		3,900		292,851
Amerco, Inc. (a)		1,900		167,960
AMETEK, Inc. (a)		4,600		193,660
Chart Industries, Inc. †		5,200		281,164
Clean Harbors, Inc. †		4,800		305,904
Copa Holdings SA, Class A		5,000		293,350
Copart, Inc. †		7,200		344,808
CSX Corp.		12,300		259,038
Dollar Thrifty Automotive Group, Inc. †		4,300		302,118
Donaldson Co., Inc.		4,400		299,552
Fastenal Co. (a)		19,100		832,951
Fluor Corp.		2,700		135,675
Fortune Brands Home & Security, Inc. †		5,400		91,962
Gardner Denver, Inc.		2,100		161,826
Genesee & Wyoming, Inc., Class A †		2,300		139,334
Goodrich Corp.		5,200		643,240
Hexcel Corp. †		15,700		380,097
Hubbell, Inc., Class B		3,700		247,382

	SHARES		VALUE (Note 3)
Industrials - 6.0% (continued)
IHS, Inc., Class A †		4,100	$	353,256
Iron Mountain, Inc. (a)		17,400		535,920
JB Hunt Transport Services, Inc.		6,700		301,969
Kansas City Southern †(a)		7,900		537,279
KBR, Inc.		3,900		108,693
Kennametal, Inc. (a)		7,500		273,900
Kirby Corp. †(a)		4,600		302,864
Lockheed Martin Corp.		6,600		533,940
Mueller Industries, Inc.		6,500		249,730
Nordson Corp. (a)		3,200		131,776
Norfolk Southern Corp.		13,000		947,180
Old Dominion Freight Line, Inc. †		7,400		299,922
Pall Corp.		7,000		400,050
Polypore International, Inc. †(a)		10,200		448,698
Precision Castparts Corp.		7,500		1,235,925
Robbins & Myers, Inc.		6,700		325,285
SPX Corp.		4,900		295,323
Stericycle, Inc. †		7,700		599,984
Timken Co.		3,700		143,227
Towers Watson & Co., Class A		5,000		299,650
TransDigm Group, Inc. †		4,900		468,832
Triumph Group, Inc.		6,300		368,235
Union Pacific Corp.		8,000		847,520
United Parcel Service, Inc., Class B		1,300		95,147
Verisk Analytics, Inc., Class A †		8,300		333,079
WABCO Holdings, Inc. †		2,900		125,860
Wabtec Corp.		4,400		307,780
Waste Connections, Inc.		8,300		275,062
Werner Enterprises, Inc. (a)		10,900		262,690
Woodward, Inc.		3,200		130,976
WW Grainger, Inc.		4,600		861,074
				18,229,135
Information Technology - 19.5%
Acme Packet, Inc. †(a)		6,600		204,006
Alliance Data Systems Corp. †		4,600		477,664
Altera Corp.		2,500		92,750
ANSYS, Inc. †		5,600	��	320,768
Apple, Inc. †		41,300		16,726,500
Ariba, Inc. †		14,400		404,352
Arrow Electronics, Inc. †		8,600		321,726
Automatic Data Processing, Inc.		28,800		1,555,488
Cadence Design Systems, Inc. †(a)		23,600		245,440
Citrix Systems, Inc. †		1,300		78,936
Cypress Semiconductor Corp. †		6,900		116,541
Dell, Inc. †(a)		56,200		822,206
Electronic Arts, Inc. †		30,800		634,480
Equinix, Inc. †		2,900		294,060
Factset Research Systems, Inc. (a)		1,300		113,464
Fairchild Semiconductor International, Inc. †		7,700		92,708
Fortinet, Inc. †		19,300		420,933
Gartner, Inc. †		6,200		215,574
IAC/InterActiveCorp		6,700		285,420
Informatica Corp. †		2,300		84,939
Intel Corp. (a)		239,700		5,812,725
InterDigital, Inc. (a)		6,200		270,134
International Business Machines Corp.		56,900		10,462,772
Intuit, Inc.		8,200		431,238

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

128 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Information Technology - 19.5% (continued)
IPG Photonics Corp. †(a)		3,700	$	125,319
Jabil Circuit, Inc. (a)		15,000		294,900
Jack Henry & Associates, Inc.		8,800		295,768
KLA-Tencor Corp. (a)		11,300		545,225
Mastercard, Inc., Class A		7,000		2,609,740
Maxim Integrated Products, Inc.		21,200		552,048
Molex, Inc.		9,000		214,740
Motorola Solutions, Inc.		19,400		898,026
NCR Corp. †		8,300		136,618
Netlogic Microsystems, Inc. †		6,000		297,420
NetSuite, Inc. †		8,500		344,675
NeuStar, Inc., Class A †		8,700		297,279
Nuance Communications, Inc. †		23,600		593,776
Oracle Corp.		80,100		2,054,565
Polycom, Inc. †		7,200		117,360
QUALCOMM, Inc.		23,100		1,263,570
Rackspace Hosting, Inc. †(a)		11,300		486,013
Riverbed Technology, Inc. †		4,500		105,750
SanDisk Corp. †		6,100		300,181
SolarWinds, Inc. †		12,600		352,170
Solera Holdings, Inc.		5,700		253,878
Teradata Corp. †		14,100		683,991
TIBCO Software, Inc. †		20,000		478,200
Total System Services, Inc.		15,100		295,356
Trimble Navigation Ltd. †		3,400		147,560
Universal Display Corp. †(a)		8,600		315,534
VeriFone Systems, Inc. †		8,300		294,816
Visa, Inc., Class A		31,600		3,208,348
Vishay Intertechnology, Inc. †(a)		8,200		73,718
VMware, Inc., Class A †		7,300		607,287
Xilinx, Inc.		9,300		298,158
Zebra Technologies Corp., Class A †		3,200		114,496
				59,141,309
Materials - 1.7%
Albemarle Corp. (a)		4,000		206,040
Allied Nevada Gold Corp. †		15,600		472,368
Ball Corp.		5,200		185,692
Carpenter Technology Corp.		5,700		293,436
Celanese Corp., Series A		7,000		309,890
CF Industries Holdings, Inc.		2,100		304,458
Cliffs Natural Resources, Inc.		1,400		87,290
Eastman Chemical Co.		2,500		97,650
International Flavors & Fragrances, Inc.		6,500		340,730
International Paper Co.		3,100		91,760
MeadWestvaco Corp.		5,200		155,740
Monsanto Co.		11,800		826,826
NewMarket Corp.		1,600		316,976
Newmont Mining Corp.		4,800		288,048
Rockwood Holdings, Inc. †		5,700		224,409
Royal Gold, Inc. (a)		9,900		667,557
Stillwater Mining Co. †(a)		5,700		59,622
WR Grace & Co. †		3,700		169,904
				5,098,396
Telecommunication Services - 1.2%
Level 3 Communications, Inc. †(a)		21,386		363,348
Verizon Communications, Inc. (a)		83,700		3,358,044
				3,721,392

	SHARES		VALUE (Note 3)
Utilities - 6.8%
AGL Resources, Inc.		7,100	$	300,046
Alliant Energy Corp.		7,000		308,770
Ameren Corp.		10,100		334,613
American Electric Power Co., Inc.		16,200		669,222
American Water Works Co., Inc.		20,500		653,130
Atmos Energy Corp.		9,100		303,485
Calpine Corp. †		27,100		442,543
CenterPoint Energy, Inc.		25,700		516,313
Cleco Corp.		8,100		308,610
CMS Energy Corp.		14,000		309,120
Consolidated Edison, Inc.		23,400		1,451,502
Dominion Resources, Inc.		28,000		1,486,240
DTE Energy Co.		9,300		506,385
Duke Energy Corp. (a)		68,300		1,502,600
Edison International		7,500		310,500
Exelon Corp.		13,200		572,484
FirstEnergy Corp.		33,900		1,501,770
Hawaiian Electric Industries, Inc.		11,500		304,520
ITC Holdings Corp. (a)		7,500		569,100
National Fuel Gas Co.		5,400		300,132
NiSource, Inc. (a)		25,700		611,917
Northeast Utilities		14,800		533,836
OGE Energy Corp.		7,300		413,983
Oneok, Inc.		11,200		970,928
Pinnacle West Capital Corp.		7,600		366,168
Portland General Electric Co.		12,000		303,480
PPL Corp.		28,600		841,412
Public Service Enterprise Group, Inc. (a)		8,800		290,488
Questar Corp.		15,300		303,858
Southern Co.		40,300		1,865,487
UIL Holdings Corp.		7,700		272,349
WGL Holdings, Inc.		6,900		305,118
Wisconsin Energy Corp.		8,700		304,152
Xcel Energy, Inc.		15,400		425,656
				20,459,917
TOTAL COMMON STOCKS (cost $284,019,961)				301,189,647
MONEY MARKET FUNDS - 0.6%
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(b)
(cost $1,766,980)		1,766,980		1,766,980
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.4%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130% (2)(b)(c)
(cost $7,396,308)		7,396,308		7,396,308
TOTAL INVESTMENTS - 102.5% (cost $293,183,249)				310,352,935
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.5)% (d)				(7,597,651)
NET ASSETS - 100.0%			$	302,755,284

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

AQR Funds Annual Report December 2011 129

Schedule of Investments December 31, 2011

AQR MOMENTUM FUND

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

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $7,154,113; cash collateral of $7,396,308 was received with which the Fund purchased a money market fund.

(b) Represents annualized seven-day yield as of December 31, 2011.

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

(d) Includes appreciation on futures contracts.

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

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

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

Open futures contracts outstanding at December 31, 2011:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION
Long Contracts:
40	S&P 500 E-Mini Futures	March 16, 2012		$2,466,452		$2,505,200		$38,748

Cash held as collateral with broker for futures contracts was $112,350 at December 31, 2011.

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

130 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR SMALL CAP MOMENTUM FUND

COMMON STOCKS - 99.8%	SHARES		VALUE (Note 3)
Consumer Discretionary - 13.5%
99 Cents Only Stores †		15,600	$	342,420
A. H. Belo Corp., Class A		3,400		16,150
AFC Enterprises, Inc. †		5,000		73,500
American Public Education, Inc. †(a)		3,300		142,824
America’s Car-Mart, Inc. †		3,100		121,458
Amerigon, Inc. †		8,800		125,488
Ameristar Casinos, Inc.		3,700		63,973
Arbitron, Inc.		5,000		172,050
Arctic Cat, Inc. †		8,600		193,930
Asbury Automotive Group, Inc. †		7,200		155,232
Ascent Capital Group, Inc., Class A †		4,800		243,456
Barnes & Noble, Inc. †		3,200		46,336
Bebe Stores, Inc.		15,100		125,783
BJ’s Restaurants, Inc. †		7,200		326,304
Blyth, Inc.		3,400		193,120
Bob Evans Farms, Inc.		5,800		194,532
Body Central Corp. †		4,000		99,840
Bridgepoint Education, Inc. †(a)		11,000		253,000
Buffalo Wild Wings, Inc. †(a)		4,400		297,044
Build-A-Bear Workshop, Inc. †		3,600		30,456
Cabela’s, Inc. †		8,100		205,902
Caribou Coffee Co., Inc. †		11,000		153,450
Carrols Restaurant Group, Inc. †		1,900		21,983
Cavco Industries, Inc. †		1,300		52,078
Charming Shoppes, Inc. †		8,800		43,120
Children’s Place Retail Stores, Inc./The †		3,200		169,984
Churchill Downs, Inc.		3,600		187,668
Collectors Universe		4,900		71,393
Conn’s, Inc. †		12,400		137,640
Core-Mark Holding Co., Inc.		2,900		114,840
Cost Plus, Inc. †		9,800		95,550
CSS Industries, Inc.		1,000		19,920
Delta Apparel, Inc. †		900		17,181
Denny’s Corp. †(a)		18,100		68,056
Dorman Products, Inc. †		1,332		49,191
Drew Industries, Inc. †		2,600		63,778
Einstein Noah Restaurant Group, Inc.		3,600		56,952
Ethan Allen Interiors, Inc. (a)		4,400		104,324
Express, Inc. †		14,600		291,124
Finish Line, Inc./The, Class A		12,800		246,848
Fisher Communications, Inc. †		1,800		51,894
Geeknet, Inc. †		1,800		30,690
Genesco, Inc. †		5,700		351,918
Global Sources Ltd. (Bermuda) †		2,900		14,065
Group 1 Automotive, Inc.		5,100		264,180
Helen of Troy Ltd. (Bermuda) †		3,500		107,450
Hibbett Sports, Inc. †		6,300		284,634
Hillenbrand, Inc.		6,100		136,152
Hot Topic, Inc.		24,900		164,589
International Speedway Corp., Class A		3,500		88,725
iRobot Corp. †		7,100		211,935
Jakks Pacific, Inc.		2,800		39,508
Jos. A. Bank Clothiers, Inc. †		6,300		307,188
K12, Inc. †(a)		2,600		46,644
Kenneth Cole Productions, Inc., Class A †		1,900		20,121
Kingold Jewelry, Inc. (China) †		9,300		10,602
Kona Grill, Inc. †		2,300		14,076

	SHARES		VALUE (Note 3)
Consumer Discretionary - 13.5% (continued)
Krispy Kreme Doughnuts, Inc. †		21,300	$	139,302
La-Z-Boy, Inc. †		9,100		108,290
Libbey, Inc. †		4,300		54,782
Life Time Fitness, Inc. †		2,100		98,175
Lions Gate Entertainment Corp. †		7,800		64,896
Lithia Motors, Inc., Class A		7,300		159,578
Liz Claiborne, Inc. †		5,800		50,054
Mac-Gray Corp.		1,900		26,201
Men’s Wearhouse, Inc./The		5,400		175,014
Monro Muffler Brake, Inc.		7,600		294,804
Motorcar Parts of America, Inc. †		4,400		33,000
Movado Group, Inc.		6,900		125,373
Multimedia Games Holding Co., Inc. †		8,900		70,666
Nexstar Broadcasting Group, Inc., Class A †		1,700		13,328
Oxford Industries, Inc. (a)		4,300		194,016
Papa John’s International, Inc. †		7,200		271,296
Peet’s Coffee & Tea, Inc. †		4,400		275,792
Penske Automotive Group, Inc.		13,400		257,950
Pier 1 Imports, Inc. †(a)		24,500		341,285
Pool Corp.		12,700		382,270
Red Robin Gourmet Burgers, Inc. †		5,500		152,350
RG Barry Corp.		2,100		25,368
Ruth’s Hospitality Group, Inc. †(a)		11,400		56,658
Saga Communications, Inc., Class A †		200		7,476
Select Comfort Corp. †		12,600		273,294
Shoe Carnival, Inc. †		2,800		71,960
Sinclair Broadcast Group, Inc., Class A		15,400		174,482
Sonic Automotive, Inc., Class A		11,200		165,872
Sonic Corp. †		400		2,692
Standard Motor Products, Inc.		7,000		140,350
Steiner Leisure Ltd. †		1,700		77,163
Steinway Musical Instruments, Inc. †		3,000		75,120
Steven Madden Ltd. †		9,536		328,992
Stewart Enterprises, Inc., Class A (a)		15,600		89,856
Sturm, Ruger & Co., Inc.		7,600		254,296
Systemax, Inc. †		1,200		19,692
Town Sports International Holdings, Inc. †		10,200		74,970
True Religion Apparel, Inc. †		7,000		242,060
U.S. Auto Parts Network, Inc. †(a)		2,500		10,925
Unifi, Inc. †(a)		3,700		28,120
Vera Bradley, Inc. †(a)		3,200		103,200
Vitamin Shoppe, Inc. †		6,900		275,172
Wet Seal, Inc./The, Class A †		24,700		80,522
Winmark Corp.		200		11,474
ZAGG, Inc. †		15,800		111,706
Zale Corp. †		14,700		56,007
				13,578,098
Consumer Staples - 5.2%
Andersons, Inc./The		3,300		144,078
B&G Foods, Inc.		14,200		341,794
Boston Beer Co., Inc./The, Class A †(a)		2,200		238,832
Calavo Growers, Inc.		2,000		51,360
Cal-Maine Foods, Inc.		8,400		307,188
Coca-Cola Bottling Co. Consolidated		700		40,985
Craft Brewers Alliance, Inc. †		4,500		27,090
Cyanotech Corp. †		1,300		9,035

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

AQR Funds Annual Report December 2011 131

Schedule of Investments December 31, 2011

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Consumer Staples - 5.2% (continued)
Darling International, Inc. †		8,000	$	106,320
Dean Foods Co. †		8,400		94,080
Dole Food Co., Inc. †(a)		10,100		87,365
Elizabeth Arden, Inc. †		9,300		344,472
Fresh Del Monte Produce, Inc.		10,800		270,108
Hain Celestial Group, Inc./The †		10,900		399,594
Heckmann Corp. †		30,700		204,155
Ingles Markets, Inc., Class A		2,200		33,132
J&J Snack Foods Corp.		4,700		250,416
Lancaster Colony Corp. (a)		5,100		353,634
Limoneira Co.		1,600		27,056
National Beverage Corp. †		1,200		19,284
Omega Protein Corp. †		16,200		115,506
Pizza Inn Holdings, Inc. †		6,300		34,650
Revlon, Inc., Class A †		1,800		26,766
Rite Aid Corp. †(a)		193,800		244,188
Sanderson Farms, Inc.		6,000		300,780
Smart Balance, Inc. †		21,200		113,632
Snyders-Lance, Inc. (a)		7,300		164,250
Spartan Stores, Inc.		3,300		61,050
Star Scientific, Inc. †(a)		31,700		69,106
Susser Holdings Corp. †		9,000		203,580
Universal Corp.		1,800		82,728
Vector Group Ltd.		19,800		351,648
WD-40 Co.		2,000		80,820
				5,198,682
Energy - 6.3%
Alon USA Energy, Inc.		14,500		126,295
Approach Resources, Inc. †(a)		8,100		238,221
Basic Energy Services, Inc. †(a)		10,100		198,970
Bristow Group, Inc.		5,000		236,950
Callon Petroleum Co. †		7,900		39,263
Cheniere Energy, Inc. †		26,800		232,892
Contango Oil & Gas Co. †		3,900		226,902
Crosstex Energy, Inc.		12,400		156,736
CVR Energy, Inc. †		5,400		101,142
Dawson Geophysical Co. †		3,100		122,543
Delek US Holdings, Inc.		16,700		190,547
Double Eagle Petroleum Co. †		9,500		65,360
Enbridge Energy Management LLC †		4,653		161,738
Energy Partners Ltd. †		4,800		70,080
Evolution Petroleum Corp. †(a)		10,800		86,940
FX Energy, Inc. †		4,600		22,080
GeoResources, Inc. †		2,800		82,068
Gulf Island Fabrication, Inc.		3,100		90,551
Gulfmark Offshore, Inc., Class A †		7,200		302,472
Gulfport Energy Corp. †		12,600		371,070
Helix Energy Solutions Group, Inc. †		6,600		104,280
Hercules Offshore, Inc. †		35,700		158,508
Hornbeck Offshore Services, Inc. †(a)		7,400		229,548
Houston American Energy Corp. †(a)		4,600		56,074
Hyperdynamics Corp. †(a)		10,100		24,745
Kodiak Oil & Gas Corp. †		26,600		252,700
Matrix Service Co. †		3,700		34,928
Miller Energy Resources, Inc. †(a)		5,300		14,787
Mitcham Industries, Inc. †(a)		8,200		179,088
Newpark Resources, Inc. †		23,900		227,050

	SHARES		VALUE (Note 3)
Energy - 6.3% (continued)
Panhandle Oil and Gas, Inc., Class A		900	$	29,529
Parker Drilling Co. †		29,100		208,647
PHI, Inc. †		1,400		34,790
Pioneer Drilling Co. †		20,500		198,440
Rentech, Inc. †		52,300		68,513
REX American Resources Corp. †		1,600		35,376
Rex Energy Corp. †		11,600		171,216
Royale Energy, Inc. †		18,600		85,188
Stone Energy Corp. †		11,600		306,008
Tesco Corp. †		8,200		103,648
TGC Industries, Inc. †		5,000		35,700
Union Drilling, Inc. †		13,300		82,992
Uranerz Energy Corp. †(a)		14,800		26,936
Uranium Resources, Inc. †(a)		12,500		9,075
W&T Offshore, Inc.		14,000		296,940
Warren Resources, Inc. †(a)		9,100		29,666
Western Refining, Inc. †		18,500		245,865
				6,373,057
Financials - 17.0%
1st Source Corp.		2,000		50,660
Acadia Realty Trust REIT		8,500		171,190
Advance America Cash Advance Centers, Inc.		20,900		187,055
American Safety Insurance Holdings Ltd. †		1,900		41,325
Ameris Bancorp †		4,001		41,130
AMERISAFE, Inc. †		2,100		48,825
Amtrust Financial Services, Inc.		18,300		434,625
Arlington Asset Investment Corp., Class A		4,600		98,118
Associated Estates Realty Corp. REIT		13,900		221,705
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		10,900		174,945
Bancorp, Inc. †		2,800		20,244
Bank of Marin Bancorp		500		18,795
Bank of the Ozarks, Inc.		13,100		388,153
Banner Corp.		6,300		108,045
Beneficial Mutual Bancorp, Inc. †		2,600		21,736
Berkshire Hills Bancorp, Inc.		3,500		77,665
BofI Holding, Inc. †		1,600		26,000
Boston Private Financial Holdings, Inc.		19,800		157,212
Bryn Mawr Bank Corp.		1,000		19,490
Cardinal Financial Corp.		6,300		67,662
Cash America International, Inc.		7,200		335,736
Citizens & Northern Corp.		3,000		55,410
Citizens Republic Bancorp, Inc. †		8,000		91,200
Citizens, Inc. †		3,200		31,008
CNB Financial Corp.		900		14,202
CNO Financial Group, Inc. †		20,800		131,248
Cohen & Steers, Inc. (a)		2,300		66,470
Columbia Banking System, Inc.		4,700		90,569
Community Bank System, Inc.		9,700		269,660
Coresite Realty Corp. REIT		4,300		76,626
Crawford & Co., Class B (a)		4,500		27,720
Credit Acceptance Corp. †		400		32,912
CubeSmart REIT		22,700		241,528
CVB Financial Corp.		33,400		335,002
DFC Global Corp. †		7,300		131,838
Diamond Hill Investment Group, Inc. (a)		500		36,990

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

132 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Financials - 17.0% (continued)
Eagle Bancorp, Inc. †		4,400	$	63,976
EastGroup Properties, Inc. REIT		6,200		269,576
Education Realty Trust, Inc. REIT		22,900		234,267
eHealth, Inc. †		4,600		67,620
Enstar Group Ltd. (Bermuda) †		2,500		245,500
Enterprise Financial Services Corp.		2,600		38,480
Epoch Holding Corp.		5,200		115,596
ESB Financial Corp.		700		9,849
Ezcorp, Inc., Class A †		12,400		326,988
FBL Financial Group, Inc., Class A		5,500		187,110
Federal Agricultural Mortgage Corp., Class C		7,100		127,942
Financial Engines, Inc. †(a)		9,200		205,436
First Busey Corp.		6,900		34,500
First Cash Financial Services, Inc. †		7,600		266,684
First Defiance Financial Corp.		800		11,672
First Financial Corp.		1,000		33,280
First Industrial Realty Trust, Inc. REIT †		22,200		227,106
First Merchants Corp.		5,800		49,126
FNB Corp.		29,200		330,252
Fox Chase Bancorp, Inc.		1,900		23,997
GAMCO Investors, Inc., Class A		1,600		69,584
German American Bancorp, Inc.		800		14,552
Gladstone Capital Corp.		7,300		55,699
Gladstone Commercial Corp. REIT		4,400		77,220
Gladstone Investment Corp.		9,900		71,973
Glimcher Realty Trust REIT		16,400		150,880
Global Indemnity PLC (Ireland) †(a)		1,500		29,745
Gramercy Capital Corp. REIT †		20,400		51,000
Gyrodyne Co. of America, Inc. REIT †		100		10,163
Harleysville Group, Inc.		2,200		124,454
HFF, Inc., Class A †		9,100		94,003
Home Bancshares, Inc.		8,300		215,053
Horizon Technology Finance Corp.		900		14,652
Hudson Valley Holding Corp.		1,300		27,586
Infinity Property & Casualty Corp.		3,300		187,242
INTL FCStone, Inc. †		3,000		70,710
Investors Bancorp, Inc. †		17,800		239,944
Kansas City Life Insurance Co.		500		16,410
Kemper Corp.		5,500		160,655
Ladenburg Thalmann Financial Services, Inc. †(a)		39,400		97,712
Lakeland Financial Corp.		4,500		116,415
LTC Properties, Inc. REIT		5,800		178,988
Maiden Holdings Ltd. (Bermuda)		15,800		138,408
Main Street Capital Corp.		8,500		180,540
MainSource Financial Group, Inc.		3,300		29,139
MarketAxess Holdings, Inc.		10,282		309,591
MB Financial, Inc.		10,600		181,260
Meadowbrook Insurance Group, Inc.		7,800		83,304
Medallion Financial Corp.		2,900		33,002
Mission West Properties, Inc. REIT		3,300		29,766
Monmouth Real Estate Investment Corp., Class A REIT		5,700		52,155
MVC Capital, Inc.		4,300		49,837
National Financial Partners Corp. †		5,800		78,416
National Penn Bancshares, Inc.		37,800		319,032

	SHARES		VALUE (Note 3)
Financials - 17.0% (continued)
NewStar Financial, Inc. †		11,100	$	112,887
Northfield Bancorp, Inc.		1,300		18,408
Northwest Bancshares, Inc.		32,000		398,080
OceanFirst Financial Corp.		1,500		19,605
Ocwen Financial Corp. †		14,000		202,720
Old National Bancorp		14,300		166,595
OmniAmerican Bancorp, Inc. †		1,000		15,700
One Liberty Properties, Inc. REIT		1,300		21,450
OneBeacon Insurance Group Ltd., Class A		9,000		138,510
Oritani Financial Corp.		27,300		348,621
Pacific Capital Bancorp NA †		600		16,944
Penns Woods Bancorp, Inc.		300		11,634
Pinnacle Financial Partners, Inc. †		11,500		185,725
Presidential Life Corp.		1,800		17,982
Primerica, Inc.		8,300		192,892
Retail Opportunity Investments Corp. REIT		18,200		215,488
RLI Corp. (a)		6,200		451,732
Rockville Financial, Inc.		4,100		42,476
Safeguard Scientifics, Inc. †		6,700		105,793
Safety Insurance Group, Inc.		1,900		76,912
Seacoast Banking Corp of Florida †		8,500		12,920
Solar Capital Ltd.		6,500		143,585
Southside Bancshares, Inc. (a)		3,600		77,976
Sovran Self Storage, Inc. REIT		5,100		217,617
Sun Communities, Inc. REIT		8,109		296,222
SWS Group, Inc.		6,300		43,281
Tejon Ranch Co. †		2,500		61,200
Territorial Bancorp, Inc.		2,500		49,375
Texas Capital Bancshares, Inc. †		13,200		404,052
TICC Capital Corp.		6,600		57,090
Tompkins Financial Corp.		800		30,808
Triangle Capital Corp.		7,200		137,664
Umpqua Holdings Corp.		17,500		216,825
United Financial Bancorp, Inc.		5,100		82,059
Universal Health Realty Income Trust REIT		1,400		54,600
ViewPoint Financial Group		12,300		160,023
Virginia Commerce Bancorp, Inc. †		11,900		91,987
Virtus Investment Partners, Inc. †		2,800		212,828
Walter Investment Management Corp.		8,820		180,898
Washington Trust Bancorp, Inc.		2,100		50,106
Webster Financial Corp.		5,600		114,184
WesBanco, Inc.		9,200		179,124
West Bancorporation, Inc.		1,100		10,538
West Coast Bancorp †		10,120		157,872
WisdomTree Investments, Inc. †		18,800		113,740
World Acceptance Corp. †		4,500		330,750
WSFS Financial Corp.		2,000		71,920
				17,090,144
Health Care - 16.3%
Aastrom Biosciences, Inc. †		16,500		30,030
ABIOMED, Inc. †(a)		11,600		214,252
Achillion Pharmaceuticals, Inc. †		22,600		172,212
Acura Pharmaceuticals, Inc. †(a)		2,400		8,376
Aegerion Pharmaceuticals, Inc. †		2,500		41,850
Affymetrix, Inc. †		17,700		72,393
Air Methods Corp. †(a)		3,400		287,130
Akorn, Inc. †(a)		25,800		286,896

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

AQR Funds Annual Report December 2011 133

Schedule of Investments December 31, 2011

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Health Care - 16.3% (continued)
Alexza Pharmaceuticals, Inc. †		62,200	$	51,626
Align Technology, Inc. †		4,600		109,135
Alkermes PLC (Ireland) †		13,700		237,832
Amsurg Corp. †		8,000		208,320
Analogic Corp.		3,500		200,620
AngioDynamics, Inc. †		3,100		45,911
Antares Pharma, Inc. †(a)		83,900		184,580
Anthera Pharmaceuticals, Inc. †		5,900		36,226
Apricus Biosciences, Inc. †		7,900		40,764
Ariad Pharmaceuticals, Inc. †		22,200		271,950
Arqule, Inc. †		6,200		34,968
ArthroCare Corp. †		2,900		91,872
AtriCure, Inc. †		6,300		69,930
Atrion Corp.		200		48,046
AVEO Pharmaceuticals, Inc. †		7,800		134,160
BioLase Technology, Inc. †(a)		20,783		53,412
BioSante Pharmaceuticals, Inc. †(a)		222,400		111,667
BioScrip, Inc. †		15,900		86,814
BSD Medical Corp. †		8,200		19,434
Cambrex Corp. †(a)		8,300		59,594
Cantel Medical Corp. (a)		3,100		86,583
Capital Senior Living Corp. †		12,300		97,662
Cardiovascular Systems, Inc. †(a)		7,900		77,815
Celsion Corp. †(a)		24,300		41,796
Centene Corp. †		7,000		277,130
Cerus Corp. †(a)		13,000		36,400
Columbia Laboratories, Inc. †		38,100		95,250
Computer Programs & Systems, Inc.		2,200		112,442
CONMED Corp. †		5,500		141,185
Corcept Therapeutics, Inc. †		9,500		32,490
Corvel Corp. †		1,600		82,736
Curis, Inc. †		40,700		190,476
Cyberonics, Inc. †		2,400		80,400
Delcath Systems, Inc. †		3,900		11,895
Depomed, Inc. †(a)		10,900		56,462
Dusa Pharmaceuticals, Inc. †		3,600		15,768
Dynavax Technologies Corp. †		28,700		95,284
Echo Therapeutics, Inc. †		6,500		14,690
Endologix, Inc. †		18,700		214,676
Ensign Group, Inc./The		3,500		85,750
Exact Sciences Corp. †		14,000		113,680
Exelixis, Inc. †		16,400		77,654
Five Star Quality Care, Inc. †		3,000		9,000
Furiex Pharmaceuticals, Inc. †		3,000		50,130
Genomic Health, Inc. †		7,700		195,503
GTx, Inc. †		12,200		40,992
Halozyme Therapeutics, Inc. †		16,300		155,013
Hanger Orthopedic Group, Inc. †		3,100		57,939
Hansen Medical, Inc. †		19,600		50,568
HealthStream, Inc. †		12,100		223,245
Hi-Tech Pharmacal Co., Inc. †		4,700		182,783
ICU Medical, Inc. †		1,600		72,000
Idenix Pharmaceuticals, Inc. †		27,400		203,993
Immunogen, Inc. †		19,300		223,494
Immunomedics, Inc. †		19,800		65,934
Infinity Pharmaceuticals, Inc. †		3,200		28,288
Inhibitex, Inc. †		36,900		403,686

	SHARES		VALUE (Note 3)
Health Care - 16.3% (continued)
Insulet Corp. †(a)		9,300	$	175,119
InterMune, Inc. †		14,700		185,220
IPC The Hospitalist Co., Inc. †		4,800		219,456
Ironwood Pharmaceuticals, Inc. †		15,100		180,747
Jazz Pharmaceuticals, Inc. †		3,800		146,794
Lexicon Pharmaceuticals, Inc. †(a)		13,400		17,286
Ligand Pharmaceuticals, Inc., Class B †(a)		8,400		99,708
Luminex Corp. †		9,900		210,177
Magellan Health Services, Inc. †		3,400		168,198
MAKO Surgical Corp. †(a)		11,600		292,436
Maxygen, Inc. †		6,300		35,469
MedCath Corp. †		10,300		75,087
Medicines Co./The †		12,700		236,728
Medivation, Inc. †		9,200		424,212
Medtox Scientific, Inc. †		800		11,240
MELA Sciences, Inc. †		19,800		73,062
Merge Healthcare, Inc. †(a)		30,200		146,470
Merit Medical Systems, Inc. †		7,600		101,688
Metropolitan Health Networks, Inc. †		19,700		147,159
Molina Healthcare, Inc. †		5,300		118,349
MWI Veterinary Supply, Inc. †		3,400		225,896
Myriad Genetics, Inc. †		8,400		175,896
Neogen Corp. †(a)		2,300		70,472
Neoprobe Corp. †		46,100		120,782
Neurocrine Biosciences, Inc. †(a)		7,100		60,350
NxStage Medical, Inc. †		4,100		72,898
Omnicell, Inc. †		6,600		109,032
Oncothyreon, Inc. †		19,600		148,568
OPKO Health, Inc. †		69,700		341,530
Optimer Pharmaceuticals, Inc. †		10,800		132,192
OraSure Technologies, Inc. †(a)		19,300		175,823
Pain Therapeutics, Inc. †(a)		10,200		38,760
PAREXEL International Corp. †		3,300		68,442
PDL BioPharma, Inc.		34,900		216,380
Pharmacyclics, Inc. †		18,900		280,098
Progenics Pharmaceuticals, Inc. †		14,200		121,268
PSS World Medical, Inc. †		3,300		79,827
Quidel Corp. †		9,600		145,248
Rigel Pharmaceuticals, Inc. †		6,000		47,340
Rockwell Medical Technologies, Inc. †		5,100		43,197
RTI Biologics, Inc. †		21,000		93,240
Sangamo Biosciences, Inc. †		14,700		41,748
Santarus, Inc. †		7,200		23,832
SciClone Pharmaceuticals, Inc. †(a)		20,600		88,374
Select Medical Holdings Corp. †		11,200		94,976
Skilled Healthcare Group, Inc., Class A †(a)		3,700		20,202
Solta Medical, Inc. †		10,900		34,226
Spectranetics Corp. †		4,600		33,212
Spectrum Pharmaceuticals, Inc. †		16,500		241,395
Staar Surgical Co. †(a)		14,800		155,252
Sunrise Senior Living, Inc. †		16,100		104,328
SurModics, Inc. †		2,000		29,320
Synergetics USA, Inc. †		7,300		53,874
Synovis Life Technologies, Inc. †		1,600		44,528
Team Health Holdings, Inc. †		12,300		271,461
Transcend Services, Inc. †		6,900		163,737

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

134 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Health Care - 16.3% (continued)
Transcept Pharmaceuticals, Inc. †		6,100	$	47,763
Trius Therapeutics, Inc. †		3,500		25,025
Universal American Corp.		19,100		242,761
Uroplasty, Inc. †		11,800		50,150
US Physical Therapy, Inc.		3,000		59,040
Vascular Solutions, Inc. †		2,200		24,486
Vical, Inc. †		32,800		144,648
ViroPharma, Inc. †		9,300		254,727
Vivus, Inc. †		22,000		214,500
Volcano Corp. †		4,400		104,676
West Pharmaceutical Services, Inc.		7,000		265,650
Wright Medical Group, Inc. †		5,900		97,350
Young Innovations, Inc.		700		20,741
Zalicus, Inc. †(a)		29,600		35,816
ZIOPHARM Oncology, Inc. †		24,900		109,809
Zoll Medical Corp. †(a)		3,700		233,766
				16,374,009
Industrials - 13.6%
AAON, Inc. (a)		4,700		96,303
AAR Corp. (a)		300		5,751
Acacia Research - Acacia Technologies †		3,026		110,479
ACCO Brands Corp. †(a)		6,200		59,830
Aceto Corp. (a)		7,400		51,060
Active Power, Inc. †(a)		14,200		9,372
Advisory Board Co./The †		4,100		304,261
Aerovironment, Inc. †		5,400		169,938
Air Transport Services Group, Inc. †		3,200		15,104
Aircastle Ltd.		15,800		200,976
Alamo Group, Inc.		2,500		67,325
Albany International Corp., Class A		3,800		87,856
Allegiant Travel Co. †		2,700		144,018
American Railcar Industries, Inc. †		6,000		143,580
Applied Industrial Technologies, Inc.		3,100		109,027
Argan, Inc.		1,100		16,731
Astec Industries, Inc. †		4,900		157,829
Astronics Corp. †(a)		5,400		193,374
Astronics Corp., Class B †		210		7,613
AT Cross Co., Class A †		900		10,152
AZZ, Inc.		2,600		118,144
Barnes Group, Inc.		11,200		270,032
Barrett Business Services, Inc.		2,800		55,888
Beacon Roofing Supply, Inc. †		7,000		141,610
Belden, Inc.		2,800		93,184
Blount International, Inc. †(a)		4,400		63,888
Brink’s Co./The		4,700		126,336
Capstone Turbine Corp. †(a)		93,200		108,112
Cascade Corp.		2,500		117,925
Casella Waste Systems, Inc., Class A †		10,100		64,640
CBIZ, Inc. †		10,400		63,544
Ceradyne, Inc. †		4,200		112,476
Chart Industries, Inc. †		4,600		248,722
Coleman Cable, Inc. †		6,900		60,030
Colfax Corp. †(a)		9,200		262,016
Consolidated Graphics, Inc. †		1,500		72,420
CoStar Group, Inc. †(a)		3,300		220,209
Covenant Transportation Group, Inc., Class A †		2,600		7,722

	SHARES		VALUE (Note 3)
Industrials - 13.6% (continued)
CPI Aerostructures, Inc. †		1,800	$	21,150
CRA International, Inc. †		2,200		43,648
Deluxe Corp.		8,000		182,080
Douglas Dynamics, Inc.		6,500		95,030
DXP Enterprises, Inc. †		3,700		119,140
Dycom Industries, Inc. †		9,100		190,372
Dynamic Materials Corp.		5,600		110,768
Encore Capital Group, Inc. †		5,074		107,873
Encore Wire Corp.		2,900		75,110
EnPro Industries, Inc. †(a)		2,300		75,854
Exponent, Inc. †		4,900		225,253
Flow International Corp. †		11,400		39,900
Forward Air Corp.		4,300		137,815
Franklin Electric Co., Inc.		5,300		230,868
FTI Consulting, Inc. †		4,700		199,374
Furmanite Corp. †		7,300		46,063
G&K Services, Inc., Class A		4,000		116,440
GATX Corp.		6,500		283,790
Generac Holdings, Inc. †		9,200		257,876
Global Power Equipment Group, Inc. †		5,200		123,500
Gorman-Rupp Co./The		3,500		95,025
GP Strategies Corp. †		3,300		44,484
Graham Corp.		1,900		42,636
Great Lakes Dredge & Dock Corp.		2,400		13,344
H&E Equipment Services, Inc. †		4,900		65,758
Hardinge, Inc.		4,300		34,615
Healthcare Services Group, Inc.		14,800		261,812
Heritage-Crystal Clean, Inc. †		500		8,280
Houston Wire & Cable Co.		4,500		62,190
Hudson Highland Group, Inc. †		5,400		25,866
Hurco Cos., Inc. †		4,400		92,400
Huron Consulting Group, Inc. †		5,900		228,566
Innerworkings, Inc. †		12,900		120,099
Insteel Industries, Inc.		3,700		40,663
Intersections, Inc.		2,300		25,507
Kadant, Inc. †(a)		3,300		74,613
Kaman Corp.		7,100		193,972
LMI Aerospace, Inc. †		1,000		17,550
Lydall, Inc. †		8,800		83,512
Macquarie Infrastructure Co. LLC		11,600		324,220
MasTec, Inc. †		3,800		66,006
McGrath RentCorp.		2,100		60,879
Metalico, Inc. †(a)		10,700		35,203
Middleby Corp. †		2,400		225,696
Miller Industries, Inc.		7,800		122,694
Mine Safety Appliances Co.		6,100		202,032
Mistras Group, Inc. †		8,900		226,861
Mobile Mini, Inc. †(a)		4,600		80,270
Mueller Industries, Inc.		2,600		99,892
Multi-Color Corp.		6,200		159,526
MYR Group, Inc. †		5,800		111,012
Navigant Consulting, Inc. †		7,300		83,293
Northwest Pipe Co. †		2,800		64,008
Odyssey Marine Exploration, Inc. †(a)		41,200		112,888
On Assignment, Inc. †		14,100		157,638
Park-Ohio Holdings Corp. †		2,600		46,384
PMFG, Inc. †		3,900		76,089

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

AQR Funds Annual Report December 2011 135

Schedule of Investments December 31, 2011

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Industrials - 13.6% (continued)
Portfolio Recovery Associates, Inc. †		1,200	$	81,024
Powell Industries, Inc. †		1,200		37,536
Primoris Services Corp.		13,000		194,090
Quality Distribution, Inc. †		12,000		135,000
Raven Industries, Inc.		4,800		297,120
RBC Bearings, Inc. †		2,800		116,760
Roadrunner Transportation Systems, Inc. †		3,000		42,390
RSC Holdings, Inc. †		4,800		88,800
Rush Enterprises, Inc., Class A †		8,400		175,728
SeaCube Container Leasing Ltd.		2,600		38,506
Seaspan Corp. (Hong Kong)		3,700		50,616
Simpson Manufacturing Co., Inc.		4,300		144,738
Standex International Corp.		3,500		119,595
Sun Hydraulics Corp.		6,700		156,981
SYKES Enterprises, Inc. †		1,000		15,660
Taser International, Inc. †		20,400		104,448
Team, Inc. †		6,600		196,350
Tennant Co.		5,000		194,350
Titan International, Inc.		6,400		124,544
Titan Machinery, Inc. †		3,900		84,747
TRC Cos., Inc. †		1,100		6,611
TriMas Corp. †(a)		400		7,180
Twin Disc, Inc.		4,800		174,336
Unifirst Corp.		2,100		119,154
United Rentals, Inc. †		3,300		97,515
United Stationers, Inc.		3,500		113,960
US Ecology, Inc.		3,900		73,242
Valence Technology, Inc. †(a)		9,700		9,506
Xerium Technologies, Inc. †		2,500		16,350
XPO Logistics, Inc. †		4,300		53,105
				13,704,806
Information Technology - 18.4%
3D Systems Corp. †		8,500		122,400
Accelrys, Inc. †		7,200		48,384
ACI Worldwide, Inc. †		7,900		226,256
Actuate Corp. †		14,700		86,142
Agilysys, Inc. †		10,000		79,500
Alliance Fiber Optic Products, Inc. †(a)		3,000		22,980
American Software, Inc., Class A		5,400		51,030
Anaren, Inc. †		4,700		78,114
Aspen Technology, Inc. †		21,200		367,820
ATMI, Inc. †		5,200		104,156
AuthenTec, Inc. †		10,100		32,421
Axcelis Technologies, Inc. †(a)		25,300		33,649
Blackbaud, Inc.		5,500		152,350
Bottomline Technologies, Inc. †		9,800		227,066
Brightpoint, Inc. †		18,300		196,908
BroadSoft, Inc. †(a)		7,300		220,460
Brooks Automation, Inc.		16,100		165,347
BSQUARE Corp. †		6,800		23,256
CACI International, Inc., Class A †(a)		3,300		184,536
CalAmp Corp. †		3,200		13,600
Callidus Software, Inc. †		16,900		108,498
Cardtronics, Inc. †		11,300		305,778
CEVA, Inc. †(a)		6,700		202,742
CIBER, Inc. †		10,100		38,986
Cirrus Logic, Inc. †		7,800		123,630

	SHARES		VALUE (Note 3)
Information Technology - 18.4% (continued)
Cognex Corp. (a)		9,500	$	340,005
Coherent, Inc. †		4,900		256,123
CommVault Systems, Inc. †		7,200		307,584
Computer Task Group, Inc. †		2,800		39,424
Comtech Telecommunications Corp.		4,000		114,480
Convio, Inc. †		1,800		19,908
CVD Equipment Corp. †		11,300		135,939
Cymer, Inc. †		3,300		164,208
Daktronic, Inc.		4,800		45,936
Datalink Corp. †		11,900		98,294
DDi Corp.		8,200		76,506
DealerTrack Holdings, Inc. †		5,400		147,204
Digi International, Inc. †		7,200		80,352
Digimarc Corp. †		2,200		52,558
Diodes, Inc. †(a)		500		10,650
Dot Hill Systems Corp. †		19,100		25,403
EasyLink Services International Corp., Class A †		18,400		73,232
Echo Global Logistics, Inc. †		2,600		41,990
eGain Communications Corp. †		2,200		15,202
Electro Rent Corp.		3,100		53,165
Electro Scientific Industries, Inc. †		4,300		62,264
Electronics for Imaging, Inc. †		9,400		133,950
eMagin Corp. †		6,100		22,570
Emcore Corp. †(a)		29,000		25,007
Entegris, Inc. †		31,000		270,475
EPIQ Systems, Inc.		4,100		49,282
ePlus, Inc. †(a)		2,300		65,044
Euronet Worldwide, Inc. †		6,900		127,512
ExlService Holdings, Inc. †		9,000		201,330
Fabrinet †		3,300		45,144
Fair Isaac Corp.		4,900		175,616
FalconStor Software, Inc. †		9,600		24,768
FARO Technologies, Inc. †		5,300		243,800
FEI Co. †		9,100		371,098
Forrester Research, Inc. †		3,800		128,972
Global Cash Access Holdings, Inc. †		21,200		94,340
Globecomm Systems, Inc. †		5,100		69,768
Glu Mobile, Inc. †		36,800		115,552
GSI Group, Inc. †		6,900		70,587
GSI Technology, Inc. †		5,000		23,400
GT Advanced Technologies, Inc. †(a)		7,500		54,300
Hackett Group, Inc./The †		3,700		13,838
Heartland Payment Systems, Inc.		9,500		231,420
iGO, Inc. †(a)		12,500		9,650
Immersion Corp. †(a)		13,500		69,930
InfoSpace, Inc. †		8,300		91,217
Insight Enterprises, Inc. †		11,200		171,248
Integrated Silicon Solution, Inc. †		7,500		68,550
Internap Network Services Corp. †		7,800		46,332
IXYS Corp. †		8,400		90,972
j2 Global, Inc. (a)		6,200		174,468
JDA Software Group, Inc. †		5,400		174,906
Kenexa Corp. †		4,700		125,490
Keynote Systems, Inc.		7,200		147,888
Kulicke & Soffa Industries, Inc. †		19,000		175,750
Lattice Semiconductor Corp. †		35,200		209,088
LeCroy Corp. †		7,300		61,393
Liquidity Services, Inc. †		7,100		261,990

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

136 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Information Technology - 18.4% (continued)
LivePerson, Inc. †(a)		13,451	$	168,810
Magma Design Automation, Inc. †		13,000		93,340
Majesco Entertainment Co. †		42,600		103,944
Manhattan Associates, Inc. †		5,800		234,784
Marchex, Inc., Class B (a)		13,700		85,625
MAXIMUS, Inc.		9,200		380,420
Maxwell Technologies, Inc. †(a)		6,400		103,936
Measurement Specialties, Inc. †		3,900		109,044
Mercury Computer Systems, Inc. †		4,500		59,805
MicroStrategy, Inc., Class A †		2,600		281,632
Mitek Systems, Inc. †		15,900		115,275
MKS Instruments, Inc.		11,400		317,148
Monotype Imaging Holdings, Inc. †		10,400		162,136
MoSys, Inc. †(a)		5,300		22,260
MTS Systems Corp.		2,200		89,650
Nanometrics, Inc. †		8,800		162,096
Netgear, Inc. †		4,867		163,385
NetList, Inc. †		13,900		34,889
NIC, Inc.		20,500		272,855
NVE Corp. †		2,400		133,272
OCZ Technology Group, Inc. †(a)		20,700		136,827
Opnet Technologies, Inc.		6,200		227,354
Opnext, Inc. †(a)		28,800		23,264
ORBCOMM, Inc. †		4,000		11,960
OSI Systems, Inc. †		3,800		185,364
PC Connection, Inc.		6,800		75,412
PDF Solutions, Inc. †		12,000		83,640
Pegasystems, Inc.		4,800		141,120
PFSweb, Inc. †		9,900		32,571
Procera Networks, Inc. †		9,600		149,568
PROS Holdings, Inc. †		8,200		122,016
QuickLogic Corp. †		5,700		14,820
RealNetworks, Inc.		4,000		30,000
Richardson Electronics Ltd.		9,500		116,755
RightNow Technologies, Inc. †		5,100		217,923
Rogers Corp. †		4,500		165,870
Saba Software, Inc. †(a)		13,200		104,148
Scansource, Inc. †		3,700		133,200
SciQuest, Inc. †		2,000		28,540
Seachange International, Inc. †		4,300		30,229
Silicon Graphics International Corp. †(a)		14,500		166,170
Sourcefire, Inc. †		4,400		142,472
SPS Commerce, Inc. †(a)		4,000		103,800
Stamps.com, Inc. †		6,000		156,780
Super Micro Computer, Inc. †		9,400		147,392
support.com, Inc. †		12,700		28,575
Sycamore Networks, Inc. †		3,300		59,070
Synaptics, Inc. †		4,800		144,720
Synchronoss Technologies, Inc. †		7,400		223,554
Take-Two Interactive Software, Inc. †(a)		18,400		249,320
Taleo Corp., Class A †		1,900		73,511
TeleNav, Inc. †		9,300		72,633
TeleTech Holdings, Inc. †		4,600		74,520
TiVo, Inc. †(a)		20,800		186,576
Tyler Technologies, Inc. †(a)		8,700		261,957
Ultimate Software Group, Inc. †		3,900		253,968
Ultratech, Inc. †		5,100		125,307

	SHARES		VALUE (Note 3)
Information Technology - 18.4% (continued)
Universal Display Corp. †		3,700	$	135,753
ValueClick, Inc. †		9,900		161,271
VASCO Data Security International, Inc. †		5,200		33,904
VirnetX Holding Corp. †(a)		6,800		169,796
Virtusa Corp. †		4,600		66,608
Vocus, Inc. †		1,300		28,717
Web.com Group, Inc. †		11,500		131,675
Westell Technologies, Inc., Class A †(a)		19,600		43,512
Wright Express Corp. †		2,400		130,272
X-Rite, Inc. †		7,900		36,656
Zix Corp. †(a)		14,200		40,044
Zygo Corp. †		7,800		137,670
				18,524,171
Materials - 3.9%
ADA-ES, Inc. †		2,400		54,336
AMCOL International Corp. (a)		2,800		75,180
American Vanguard Corp.		8,800		117,392
Balchem Corp.		8,500		344,590
Buckeye Technologies, Inc.		9,700		324,368
Deltic Timber Corp.		1,900		114,741
Flotek Industries, Inc. †		17,800		177,288
Gold Resource Corp.		1,600		34,000
Graphic Packaging Holding Co. †		20,800		88,608
Handy & Harman Ltd. †		4,800		47,520
Hawkins, Inc.		1,700		62,662
Haynes International, Inc.		4,100		223,860
Innophos Holdings, Inc.		6,000		291,360
Innospec, Inc. †		6,700		188,069
Kaiser Aluminum Corp.		2,000		91,760
KapStone Paper and Packaging Corp. †		10,900		171,566
Koppers Holdings, Inc.		5,600		192,416
LSB Industries, Inc. †		6,400		179,392
Material Sciences Corp. †		6,600		53,856
Midway Gold Corp. (Canada) †		30,700		64,777
Myers Industries, Inc.		8,000		98,720
Paramount Gold and Silver Corp. †(a)		40,300		86,242
PH Glatfelter Co.		12,300		173,676
Quaker Chemical Corp.		1,000		38,890
Schweitzer-Mauduit International, Inc.		2,200		146,212
Senomyx, Inc. †		8,600		29,928
Stepan Co.		2,400		192,384
UFP Technologies, Inc. †		3,400		50,218
Universal Stainless & Alloy †		2,600		97,136
Vista Gold Corp. †		33,900		104,073
				3,915,220
Telecommunication Services - 1.5%
8x8, Inc. †		33,400		105,878
AboveNet, Inc. †		3,800		247,038
Atlantic Tele-Network, Inc.		1,300		50,765
Cincinnati Bell, Inc. †(a)		42,200		127,866
Cogent Communications Group, Inc. †		12,400		209,436
Consolidated Communications Holdings, Inc.		4,700		89,535
Elephant Talk Communications, Inc. †		14,600		38,690
General Communication, Inc., Class A †		4,600		45,034
HickoryTech Corp.		1,000		11,080

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

AQR Funds Annual Report December 2011 137

Schedule of Investments December 31, 2011

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Telecommunication Services - 1.5% (continued)
IDT Corp., Class B		12,100	$	113,498
inContact, Inc. †		9,500		42,085
Lumos Networks Corp.		1,850		28,379
NTELOS Holdings Corp.		6,450		131,451
Premiere Global Services, Inc. †		10,600		89,782
SureWest Communications		3,000		36,090
Towerstream Corp. †		7,900		16,590
Vonage Holdings Corp. †		53,700		131,565
				1,514,762
Utilities - 4.1%
Allete, Inc.		7,700		323,246
Artesian Resources Corp., Class A		1,900		35,777
Avista Corp.		14,500		373,375
Black Hills Corp.		7,600		255,208
CH Energy Group, Inc.		5,400		315,252
Chesapeake Utilities Corp. (a)		7,400		320,790
Connecticut Water Service, Inc.		1,300		35,269
El Paso Electric Co.		10,900		377,576
Genie Energy Ltd., Class B		5,900		46,787
Laclede Group, Inc./The		8,600		348,042
MGE Energy, Inc.		3,300		154,341
Middlesex Water Co.		4,300		80,238
NorthWestern Corp.		10,400		372,216
PNM Resources, Inc.		22,700		413,821
South Jersey Industries, Inc.		3,400		193,154
Unisource Energy Corp.		8,500		313,820
Unitil Corp.		3,100		87,978
York Water Co. (a)		2,800		49,392
				4,096,282
TOTAL COMMON STOCKS (cost $93,462,972)				100,369,231
RIGHTS - 0.0% (b)
Information Technology - 0.0% (b)
Gerber Scientific, Inc., Expires (3)†(c) (cost $-)		4,000		—
WARRANTS - 0.0% (b)
Energy - 0.0% (b)
Magnum Hunter Resources Corp. (3)†(c) (cost $-)		2,980		—

	SHARES		VALUE (Note 3)
MONEY MARKET FUNDS - 0.2%
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(d)
(cost $230,578)		230,578	$	230,578
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.0%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130% (2)(d)(e) (cost $1,982,597)		1,982,597		1,982,597
TOTAL INVESTMENTS - 102.0% (cost $95,676,147)				102,582,406
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.0)% (f)				(2,048,052)
NET ASSETS - 100.0%			$	100,534,354

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

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $1,902,367; cash collateral of $1,982,597 was received with which the Fund purchased a money market fund.

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

(c) Securities fair valued at $0 as of December 31, 2011 using procedures approved by the Board of Trustees.

(d) Represents annualized seven-day yield as of December 31, 2011.

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

(f) Includes appreciation on futures.

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:

REIT - Real Estate Investment Trust

Open futures contracts outstanding at December 31, 2011:

NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2011		UNREALIZED APPRECIATION
Long Contracts:
7	E-Mini Russell 2000 Futures	March 16, 2012		$500,972		$517,160		$16,188

Cash held as collateral with broker for futures contracts was $30,560 at December 31, 2011.

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

138 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR INTERNATIONAL MOMENTUM FUND

COMMON STOCKS - 98.5%	SHARES		VALUE (Note 3)
Australia - 5.6%
Amcor Ltd.		30,438	$	224,073
Aston Resources Ltd. †		4,440		41,290
Atlas Iron Ltd.		18,245		50,357
Brambles Ltd. (a)		28,216		206,012
Caltex Australia Ltd.		4,085		49,051
Campbell Brothers Ltd. (a)		2,345		117,425
CFS Retail Property Trust REIT		41,469		71,405
Coca-Cola Amatil Ltd.		10,216		120,033
Commonwealth Property Office Fund REIT		75,980		74,183
Dexus Property Group REIT		90,954		77,080
GPT Group REIT		38,389		120,322
Iluka Resources Ltd.		10,979		173,897
Mesoblast Ltd. †		10,394		73,068
Mirvac Group REIT		60,599		73,012
National Australia Bank Ltd.		27,347		651,448
New Hope Corp. Ltd.		7,835		44,271
Oil Search Ltd.		12,347		78,917
Orica Ltd.		4,011		99,248
OZ Minerals Ltd.		4,289		43,873
Paladin Energy Ltd. †		12,165		17,107
QR National Ltd.		27,946		97,623
Ramsay Health Care Ltd.		3,907		76,898
Santos Ltd.		8,185		102,432
Sonic Healthcare Ltd.		6,491		74,817
Telecom Corp of New Zealand Ltd.		36,210		57,828
Telstra Corp. Ltd.		231,576		787,595
Wesfarmers Ltd.		6,797		204,751
Westpac Banking Corp.		21,215		433,088
WorleyParsons Ltd.		2,954		77,354
				4,318,458
Austria - 0.2%
Andritz AG		915		75,672
Lenzing AG		606		50,036
				125,708
Belgium - 1.0%
Anheuser-Busch InBev NV		7,378		450,303
RTL Group SA		766		76,323
Telenet Group Holding NV †		2,042		77,756
UCB SA		3,497		146,710
				751,092
Canada - 16.1% (1)
Alimentation Couche Tard, Inc., Class B		3,800		118,243
Atco Ltd., Class I		1,000		59,131
Bank of Montreal		3,600		197,466
Barrick Gold Corp.		3,700		167,612
Baytex Energy Corp. (a)		800		44,737
BCE, Inc.		14,700		612,819
Boardwalk Real Estate Investment Trust REIT		1,500		74,268
Brookfield Asset Management, Inc., Class A		1,400		38,534
Brookfield Office Properties, Inc.		7,200		112,868
Calloway Real Estate Investment Trust REIT		3,200		84,087
Canadian National Railway Co.		8,000		629,399

	SHARES		VALUE (Note 3)
Canada - 16.1% (1) (continued)
Canadian Utilities Ltd., Class A		3,500	$	211,426
Cenovus Energy, Inc.		18,800		624,298
Centerra Gold, Inc.		4,900		86,577
CGI Group, Inc., Class A †		10,200		192,236
CI Financial Corp.		3,300		68,349
Crescent Point Energy Corp. (a)		4,500		198,331
Detour Gold Corp. †		1,600		39,499
Dollarama, Inc.		2,100		91,730
Domtar Corp.		900		71,994
Eldorado Gold Corp.		10,200		140,372
Emera, Inc.		2,100		68,107
Empire Co., Ltd., Class A		1,100		63,824
Enbridge, Inc.		14,900		557,095
Enerplus Corp.		1,900		48,211
Fairfax Financial Holdings Ltd.		200		85,793
First Capital Realty, Inc.		2,200		37,360
First Majestic Silver Corp. †		4,300		72,514
First Quantum Minerals Ltd.		3,700		72,820
Fortis, Inc.		4,800		157,228
Franco-Nevada Corp.		3,600		137,039
Gabriel Resources Ltd. †		8,100		49,932
Gildan Activewear, Inc.		3,000		56,422
Goldcorp, Inc.		17,300		767,738
H&R Real Estate Investment Trust REIT		5,400		123,292
Husky Energy, Inc.		3,200		77,114
IAMGOLD Corp.		10,900		173,116
IGM Financial, Inc.		4,500		195,372
Imperial Oil Ltd.		6,600		294,060
Intact Financial Corp.		2,700		155,122
Jean Coutu Group PJC, Inc./The, Class A		3,400		42,552
Keyera Corp. (a)		1,700		83,436
Lululemon Athletica, Inc. †		3,000		139,936
MEG Energy Corp. †		3,100		126,495
Methanex Corp.		2,000		45,782
Metro, Inc., Class A		2,300		121,914
National Bank of Canada (a)		2,300		162,868
New Gold, Inc. †		12,200		123,108
Onex Corp.		2,400		78,166
Open Text Corp. †		2,300		117,918
Paramount Resources Ltd., Class A †		2,400		100,123
Pembina Pipeline Corp. (a)		4,600		133,925
Pengrowth Energy Corp. (a)		5,300		55,978
Precision Drilling Corp. †		5,700		58,749
Progress Energy Resources Corp.		5,900		76,678
RioCan Real Estate Investment Trust REIT (a)		8,000		207,549
Rogers Communications, Inc., Class B		2,700		104,025
Saputo, Inc.		5,700		218,376
Shaw Communications, Inc., Class B		3,900		77,521
Shoppers Drug Mart Corp.		4,300		173,646
Silver Wheaton Corp.		3,000		86,871
TELUS Corp.		7,300		413,028
Tim Hortons, Inc.		5,100		247,103
TMX Group, Inc.		2,200		90,030
Toronto-Dominion Bank/The		9,300		696,439
Tourmaline Oil Corp. †		2,900		75,806
TransAlta Corp.		5,500		113,482

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

AQR Funds Annual Report December 2011 139

Schedule of Investments December 31, 2011

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Canada - 16.1% (1) (continued)
TransCanada Corp. (a)		12,300	$	537,638
Trilogy Energy Corp.		4,600		169,641
Valeant Pharmaceuticals International, Inc. †		6,529		305,445
Vermilion Energy, Inc.		1,300		57,895
Viterra, Inc.		5,500		57,983
Yamana Gold, Inc.		20,600		303,717
				12,459,958
Denmark - 1.0%
Coloplast A/S, Class B		894		128,288
DSV A/S		2,710		48,428
H Lundbeck A/S		3,734		70,026
Novo Nordisk A/S, Class B		2,276		261,474
Novozymes A/S, B Shares		5,195		160,048
William Demant Holding A/S †		1,394		115,622
				783,886
Finland - 0.5%
Elisa OYJ		3,629		75,559
Kesko OYJ, B Shares		1,282		42,975
Kone OYJ, Class B		1,926		99,710
Nokian Renkaat OYJ		1,747		56,092
Sampo OYJ, A Shares		4,733		117,076
				391,412
France - 7.1%
Air Liquide SA		2,554		315,362
AXA SA		8,862		114,552
Bureau Veritas SA		591		42,928
Cie Generale d’Optique Essilor International SA		3,545		249,893
Danone		10,033		629,595
Dassault Systemes SA		716		57,196
Edenred		3,620		88,799
European Aeronautic Defence and Space Co NV		14,081		438,469
Eutelsat Communications SA		3,108		121,059
Hermes International		842		250,260
Pernod-Ricard SA		1,984		183,637
Rexel SA (a)		4,367		74,369
Safran SA		2,192		65,554
Sanofi		17,840		1,304,063
SCOR SE		2,421		56,451
SEB SA		592		44,360
Sodexo		1,964		140,567
Technip SA		1,542		144,562
Total SA		19,611		1,000,708
Unibail-Rodamco SE REIT		738		132,082
				5,454,466
Germany - 2.9%
Adidas AG		2,841		184,588
Fresenius Medical Care AG & Co. KGaA		4,011		272,444
Fresenius SE & Co. KGaA		2,724		251,893
GEA Group AG		2,796		78,934
Kabel Deutschland Holding AG †		2,893		146,662
Linde AG		1,914		284,444
Merck KGaA		1,708		170,090

	SHARES		VALUE (Note 3)
Germany - 2.9% (continued)
SAP AG		15,595	$	824,845
Suedzucker AG		2,234		71,166
				2,285,066
Hong Kong - 3.5%
AIA Group Ltd.		40,800		127,007
ASM Pacific Technology Ltd.		9,700		108,642
Cheung Kong Infrastructure Holdings Ltd.		16,000		93,550
China Metal Recycling Holdings Ltd.		56,400		60,749
CLP Holdings Ltd.		26,000		220,893
First Pacific Co., Ltd.		72,000		74,707
Galaxy Entertainment Group Ltd. †(a)		92,000		167,237
Giordano International Ltd.		64,000		46,236
Global Bio-Chem Technology Group Co., Ltd.		198,000		40,031
Great Wall Motor Co., Ltd. (a)		250		364
Hang Seng Bank Ltd. (a)		2,800		33,167
Hong Kong & China Gas Co., Ltd.		57,000		131,976
International Mining Machinery Holdings Ltd.		36,500		40,174
Lifestyle International Holdings Ltd.		33,500		73,737
Link REIT/The REIT (a)		37,500		137,914
Luk Fook Holdings International Ltd.		22,000		76,281
Melco International Development Ltd. †		103,000		76,011
NWS Holdings Ltd.		33,000		48,521
Power Assets Holdings Ltd.		31,500		232,912
Sands China Ltd. †		73,600		206,491
Shangri-La Asia Ltd.		24,000		41,342
Silver base Group Holdings Ltd.		93,000		75,205
SJM Holdings Ltd.		38,000		61,665
SmarTone Telecommunications Holding Ltd.		31,500		54,314
Stella International Holdings Ltd.		32,500		70,546
Swire Pacific Ltd., Class A		1,500		18,073
Television Broadcasts Ltd.		10,000		60,555
Towngas China Co., Ltd.		18,000		9,721
Vinda International Holdings Ltd.		37,000		47,370
Wheelock & Co., Ltd.		16,000		39,563
Wynn Macau Ltd.		58,800		146,786
Yingde Gases		63,500		64,572
				2,686,312
Israel - 0.2%
Bezeq The Israeli Telecommunication Corp. Ltd.		22,496		41,280
Israel Corp. Ltd./The		62		38,830
Mellanox Technologies Ltd. †		1,786		58,389
				138,499
Italy - 1.0%
Davide Campari-Milano SpA		11,007		73,160
ENI SpA		21,812		449,712
Mediobanca SpA		12,085		69,365
Snam Rete Gas SpA		22,123		97,441
Tenaris SA		1,525		28,046
Terna Rete Elettrica Nazionale SpA		16,361		55,061
				772,785

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

140 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Japan - 21.2%
ABC-Mart, Inc.		2,700	$	102,567
Acom Co., Ltd. †		4,470		79,534
Aeon Co., Ltd. (a)		11,200		153,420
Aeon Credit Service Co., Ltd.		5,400		85,088
Ajinomoto Co., Inc.		24,000		288,109
Alps Electric Co., Ltd.		7,400		50,664
Aozora Bank Ltd.		58,000		159,585
Asahi Glass Co., Ltd.		7,000		58,519
Asics Corp.		5,100		57,325
Autobacs Seven Co., Ltd.		1,100		50,301
Bridgestone Corp.		9,600		217,423
Calsonic Kansei Corp.		14,000		79,557
Capcom Co., Ltd.		3,500		82,764
Central Japan Railway Co.		35		295,375
Century Tokyo Leasing Corp.		2,600		48,952
Chiba Bank Ltd./The		12,000		77,152
Chiyoda Corp.		7,000		71,070
Chugoku Bank Ltd./The		5,000		69,575
Credit Saison Co., Ltd.		3,800		75,890
CyberAgent, Inc.		27		87,469
Daido Steel Co., Ltd.		12,000		74,915
Daihatsu Motor Co., Ltd.		5,000		88,914
Dainippon Screen Manufacturing Co., Ltd.		7,000		58,818
Dainippon Sumitomo Pharma Co., Ltd.		6,800		77,390
Daito Trust Construction Co., Ltd.		3,700		316,819
Daiwa House Industry Co., Ltd.		9,000		107,592
Dena Co., Ltd.		3,200		95,861
Dentsu, Inc.		5,900		179,486
Don Quijote Co., Ltd.		2,100		72,101
Eisai Co., Ltd.		6,400		264,711
FANUC Corp.		1,000		152,532
Fast Retailing Co., Ltd.		1,100		200,095
Fuji Electric Co., Ltd.		17,000		46,551
Fuji Heavy Industries Ltd.		15,000		89,967
Gree, Inc.		4,700		161,569
Gunma Bank Ltd./The		15,000		82,241
Hachijuni Bank Ltd./The		12,000		68,362
Heiwa Corp.		3,300		56,961
Hino Motors Ltd.		17,000		102,932
Hiroshima Bank Ltd./The		10,000		46,382
Hitachi Ltd.		54,660		284,340
Hitachi Transport System Ltd.		3,200		54,881
Hokuhoku Financial Group, Inc.		23,000		44,722
Hoshizaki Electric Co., Ltd.		2,000		46,921
House Foods Corp.		3,600		67,607
Idemitsu Kosan Co., Ltd.		500		51,529
IHI Corp.		27,000		65,461
Inpex Corp.		43		270,738
Isuzu Motors Ltd.		24,000		110,485
Ito En Ltd.		2,600		44,673
ITOCHU Corp.		24,300		246,389
Itochu Techno-Solutions Corp.		1,700		76,255
Iyo Bank Ltd./The		6,000		59,124
Japan Retail Fund Investment Corp. REIT		33		48,816
Japan Tobacco, Inc.		90		423,226
JGC Corp.		4,000		96,035
Joyo Bank Ltd./The		19,000		83,849

	SHARES		VALUE (Note 3)
Japan - 21.2% (continued)
JS Group Corp.		6,700	$	128,412
Kajima Corp.		30,000		92,070
Kakaku.com, Inc.		2,100		77,003
Kao Corp.		4,000		109,144
KDDI Corp.		60		385,338
Kewpie Corp.		4,700		66,804
Keyence Corp.		700		168,728
Kintetsu Corp.		41,000		160,143
Kobayashi Pharmaceutical Co., Ltd.		900		47,347
Komeri Co., Ltd.		2,500		76,863
Konami Corp.		4,500		134,567
K’s Holdings Corp.		1,800		71,224
Kyowa Hakko Kirin Co., Ltd.		6,000		73,241
Lawson, Inc.		3,300		205,608
M3, Inc.		23		103,558
Makita Corp.		1,700		54,844
McDonald’s Holdings Co., Japan Ltd.		3,700		99,630
Miraca Holdings, Inc.		1,700		67,775
Mitsubishi Chemical Holdings Corp.		29,500		161,673
Mitsubishi Heavy Industries, Ltd.		59,000		250,585
Mitsubishi Materials Corp.		19,000		51,369
Mitsubishi Tanabe Pharma Corp.		7,500		118,486
Mizuho Financial Group, Inc.		121,700		164,795
Namco Bandai Holdings, Inc.		12,300		174,568
NHK Spring Co., Ltd.		12,500		110,478
Nikon Corp.		4,800		106,371
Nippon Building Fund, Inc. REIT		8		65,471
Nippon Shokubai Co., Ltd.		7,000		74,996
Nippon Telegraph & Telephone Corp.		11,600		590,555
Nippon Television Network Corp.		510		77,872
Nishi-Nippon City Bank Ltd./The		21,000		60,237
Nissin Foods Holdings Co., Ltd.		1,900		74,494
Nitori Holdings Co., Ltd.		750		70,326
Nitto Denko Corp.		2,600		92,483
Nomura Research Institute Ltd.		3,500		78,959
NTT DoCoMo, Inc.		157		288,255
OJI Paper Co., Ltd.		15,000		77,012
Ono Pharmaceutical Co., Ltd.		2,500		140,208
Oriental Land Co., Ltd.		1,300		137,247
Osaka Gas Co., Ltd.		37,000		146,183
Park24 Co., Ltd.		5,400		71,423
Rakuten, Inc.		101		108,661
Rinnai Corp.		2,000		143,210
Sanrio Co., Ltd. (a)		2,600		133,357
Santen Pharmaceutical Co., Ltd.		2,100		86,725
Sawai Pharmaceutical Co., Ltd.		700		72,620
Secom Co., Ltd.		2,700		124,158
Sega Sammy Holdings, Inc.		6,700		144,743
Sekisui Chemical Co., Ltd.		10,000		82,376
Seven & I Holdings Co., Ltd.		12,700		353,945
Shimano, Inc.		1,600		77,875
Shizuoka Bank Ltd./The		16,000		168,324
SKY Perfect JSAT Holdings, Inc.		133		66,339
Start Today Co., Ltd. (a)		3,600		84,456
Sugi Holdings Co., Ltd.		2,600		75,658
Sumitomo Forestry Co., Ltd.		5,000		44,307
Sumitomo Realty & Development Co., Ltd.		3,000		52,417

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

AQR Funds Annual Report December 2011 141

Schedule of Investments December 31, 2011

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Japan - 21.2% (continued)
Sumitomo Rubber Industries Ltd.		6,400	$	76,853
Suruga Bank Ltd.		8,000		71,403
Sysmex Corp.		3,100		100,787
Taiheiyo Cement Corp.		49,000		93,778
Taisei Corp.		28,000		70,976
Toho Gas Co., Ltd.		17,000		108,245
Tokyu Corp.		19,000		93,567
TonenGeneral Sekiyu KK		7,000		76,326
Toray Industries, Inc.		34,000		243,258
TOTO Ltd.		12,000		92,628
Toyo Suisan Kaisha Ltd.		3,000		72,599
Toyota Industries Corp.		2,800		75,756
Ube Industries Ltd.		25,000		68,332
Unicharm Corp.		5,900		290,895
USS Co., Ltd.		1,250		112,973
West Japan Railway Co.		7,900		343,266
Yakult Honsha Co., Ltd.		2,400		75,452
Yamada Denki Co., Ltd.		1,270		86,511
Yamaguchi Financial Group, Inc.		5,000		47,644
Yamato Holdings Co., Ltd.		14,600		245,728
Yamazaki Baking Co., Ltd.		5,000		65,695
Yokogawa Electric Corp. †		8,300		74,529
Zensho Holdings Co., Ltd.		4,900		66,034
				16,388,340
Netherlands - 5.6%
ASML Holding NV		6,895		288,014
Koninklijke DSM NV		1,137		52,554
Koninklijke Vopak NV		762		40,182
Royal Dutch Shell PLC, Class A		95,419		3,478,103
Unilever NV CVA		14,529		499,559
				4,358,412
Norway - 1.2%
Golar LNG Ltd.		2,009		88,190
Seadrill Ltd.		5,490		183,086
Statoil ASA		15,572		398,804
Telenor ASA		9,487		155,243
TGS Nopec Geophysical Co. ASA		3,376		74,563
				899,886
Portugal - 0.3%
Galp Energia SGPS SA, Class B		4,497		66,072
Jeronimo Martins SGPS SA †		6,068		100,228
Portugal Telecom SGPS SA (a)		7,413		42,694
				208,994
Singapore - 2.3%
Ascendas Real Estate Investment Trust REIT		52,000		73,425
Dairy Farm International Holdings, Ltd.		6,300		58,863
Fraser and Neave Ltd.		11,000		52,511
Jardine Cycle & Carriage Ltd.		2,000		74,207
Jardine Matheson Holdings Ltd.		9,600		451,035
Jardine Strategic Holdings Ltd.		7,000		193,602
Noble Group Ltd.		19,363		16,824
SembCorp Industries Ltd.		13,000		40,548
SembCorp Marine Ltd.		17,000		49,961

	SHARES		VALUE (Note 3)
Singapore - 2.3% (continued)
Singapore Telecommunications Ltd.		285,000	$	678,799
StarHub Ltd.		33,000		74,039
				1,763,814
Spain - 2.0%
Abertis Infraestructuras SA		4,681		74,389
CaixaBank		13,314		65,065
Ferrovial SA		11,268		135,506
Gas Natural SDG SA		7,628		130,736
Iberdrola SA		22,830		142,606
Inditex SA		3,993		325,968
Mapfre SA		29,275		92,596
Red Electrica Corp. SA		2,354		100,522
Repsol YPF SA (a)		15,623		477,990
				1,545,378
Sweden - 1.2%
Alfa Laval AB		2,024		38,224
Assa Abloy AB, Class B		2,745		68,640
Elekta AB, Class B		1,681		72,685
Getinge AB, B Shares		4,444		112,374
Industrivarden AB, Class C		4,099		48,721
Kinnevik Investment AB, Class B		2,074		40,311
Lundin Petroleum AB †		3,113		76,246
Meda AB, A Shares		7,554		78,388
Swedbank AB		5,826		75,182
Swedish Match AB		4,571		161,921
Tele2 AB, B Shares		8,069		156,374
				929,066
Switzerland - 2.4%
Geberit AG †		236		45,364
Roche Holding AG		10,758		1,819,375
				1,864,739
United Kingdom - 23.2%
Aggreko PLC		7,624		238,562
ARM Holdings PLC		32,854		303,258
Associated British Foods PLC		4,384		75,308
AstraZeneca PLC		11,674		539,246
BG Group PLC		56,345		1,203,734
BP PLC		173,436		1,235,435
British American Tobacco PLC		32,025		1,519,278
British Land Co. PLC REIT		7,565		54,297
British Sky Broadcasting Group PLC		8,943		101,747
BT Group PLC		130,732		387,514
Bunzl PLC		7,883		108,167
Burberry Group PLC		10,227		188,050
Compass Group PLC		31,671		300,519
CRH PLC		13,354		265,059
Croda International PLC		3,164		88,574
Diageo PLC		42,091		919,692
Experian PLC		10,667		144,992
Fresnillo PLC		4,192		99,328
G4S PLC		22,026		92,973
GlaxoSmithKline PLC		79,897		1,820,527
Hammerson PLC REIT		10,324		57,651
IMI PLC		4,267		50,367

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

142 AQR Funds Annual Report December 2011

Schedule of Investments December 31, 2011

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
United Kingdom - 23.2% (continued)
Imperial Tobacco Group PLC		16,750	$	633,829
International Power PLC		27,719		144,942
Intertek Group PLC		2,171		68,558
Kingfisher PLC		42,770		166,204
Land Securities Group PLC REIT		11,094		109,420
Legal & General Group PLC		62,913		100,540
Meggitt PLC		17,966		98,342
Mondi PLC		7,018		49,573
National Grid PLC		66,060		638,522
Next PLC		4,208		178,521
Pearson PLC		15,946		299,286
Petrofac Ltd.		2,329		52,089
Prudential PLC		9,540		94,390
Randgold Resources Ltd.		1,618		165,422
Reed Elsevier PLC		9,377		75,486
Resolution Ltd.		18,139		70,710
Rexam PLC		12,637		69,160
Rolls-Royce Holdings PLC †		19,168		221,930
Rolls-Royce Holdings PLC, Class C (3)†(b)		690,966		1,073
SABMiller PLC		13,117		461,149
Sage Group PLC/The		14,253		65,127
Severn Trent PLC		3,568		82,798
Shire PLC		11,684		406,067
Smith & Nephew PLC		13,747		133,413
SSE PLC		20,596		412,276
Standard Life PLC		35,622		114,133
Tate & Lyle PLC		14,485		158,358
Tullow Oil PLC		15,029		326,553
United Utilities Group PLC		13,217		124,280
Vodafone Group PLC		800,723		2,232,501
Weir Group PLC/The		3,452		108,958
WM Morrison Supermarkets PLC		42,179		213,341
Wolseley PLC		2,380		78,719
				17,949,948
TOTAL COMMON STOCKS (cost $73,318,116)				76,076,219
PREFERRED STOCKS - 0.1%
Switzerland - 0.1%
Schindler Holding AG (cost $54,580)		631		73,347
EXCHANGE-TRADED FUNDS - 0.7%
iShares MSCI EAFE Index Fund (cost $550,117)		11,271		558,253
MONEY MARKET FUNDS - 0.0% (c)
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130% (d)
(cost $987)		987		987

	SHARES		VALUE (Note 3)
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.8%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.130% (d)(e)
(cost $2,153,886)		2,153,886	$	2,153,886
TOTAL INVESTMENTS - 102.1% (cost $76,077,686)				78,862,692
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.1)%				(1,637,781)
NET ASSETS - 100.0%			$	77,224,911

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $2,065,517; cash collateral of $2,153,886 was received with which the Fund purchased a money market fund.

(b) Security fair valued at December 31, 2011 using procedures approved by the Board of Trustees. The total value of positions fair valued was $1,073 or 0.0% of total net assets.

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

(d) Represents annualized seven-day yield as of December 31, 2011.

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

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

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

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

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certificate of Shares

REIT - Real Estate Investment Trust

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	8,065,749		10.4	%
Consumer Staples		9,875,763		12.8
Energy		13,371,830		17.3
Financials		7,908,469		10.2
Health Care		9,588,307		12.4
Industrials		7,609,258		9.9
Information Technology		3,359,681		4.4
Materials		5,672,955		7.4
Mutual Fund		558,253		0.7
Telecommunication Services		7,215,517		9.3
Utilities		3,482,037		4.5
Money Market Funds		2,154,873		2.8
Total Investments		78,862,692		102.1
Liabilities in Excess of Other Assets		(1,637,781)		(2.1)
Net Assets	$	77,224,911		100.0	%

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

AQR Funds Annual Report December 2011 143

Statements of Assets and Liabilities December 31, 2011

	AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND		AQR DIVERSIFIED ARBITRAGE FUND
ASSETS:
Investments in securities, at cost		$371,461,859		$495,723,782		$2,580,587,345
Investments in securities, at value*		$399,094,294		$485,906,472		$2,562,228,084
Cash (including foreign currency of $1,086,459, $1,169,530 and $—, respectively)		1,087,219		1,169,724		1,117,766
Due from brokers		5,583,765		10,142,877		476,027,165
Unrealized appreciation on forward foreign currency exchange contracts		—		—		939,967
Swaps, at value		—		—		10,348,073
Unrealized appreciation on futures contracts		2,307,497		4,046,142		—
Receivables:
Securities sold		67,016		252,744		93,898,382
Foreign tax reclaim		475,460		796,880		—
Dividends and interest		624,442		560,385		13,783,393
Capital shares sold		—		747,869		4,249,070
Prepaid expenses		36,478		45,207		198,318
Total Assets		409,276,171		503,668,300		3,162,790,218
LIABILITIES:
Securities sold short, at value (proceeds $—, $— and $1,010,075,296, respectively)		—		—		978,104,479
Options written, at value (proceeds $—, $— and $419,013, respectively)		—		—		10,991
Due to brokers		—		—		1,640,000
Unrealized depreciation on forward foreign currency exchange contracts		175,797		502,648		—
Swaps, at value		104,972		819,294		—
Unrealized depreciation on futures contracts		—		—		1,187,460
Payables:
Securities purchased		134,153		505,945		67,153,005
Collateral received on securities loaned		6,787,138		13,302,060		686,099
Accrued Investment advisory fees		120,775		178,883		1,328,189
Accrued Shareholder servicing fees		1,067		35,520		—
Accrued Distribution fees—Class N		377		246		137,637
Capital shares redeemed		34,075		16,208		2,089,802
Dividends and interest payable on securities sold short		—		—		838,553
Other accrued expenses and liabilities		133,416		230,121		1,075,362
Total Liabilities		7,491,770		15,590,925		1,054,251,577
Net Assets		$401,784,401		$488,077,375		$2,108,538,641
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$384,119,027		$519,281,644		$2,139,363,520
Undistributed (accumulated) net investment income (loss)		3,812,624		5,593,024		(1,386,575)
Undistributed (accumulated) net realized gain (loss)		(16,174,225)		(29,758,443)		(39,375,929)
Net unrealized appreciation (depreciation)		30,026,975		(7,038,850)		9,937,625
Net Assets		$401,784,401		$488,077,375		$2,108,538,641
NET ASSETS:
Class I		$2,102,815		$138,229,387		$1,456,748,122
Class N		2,019,253		1,166,515		651,790,519
Class Y		397,662,333		348,681,473		—
SHARES OUTSTANDING:
Class I		210,532		16,066,790		133,778,788
Class N		202,461		133,174		60,071,714
Class Y		39,780,661		38,834,729		—
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$9.99		$8.60		$10.89
Class N		$9.97		$8.76		$10.85
Class Y		$10.00		$8.98		—

Foreign currency at cost of $1,081,726, $1,164,122 and $—, respectively.

* Investments in securities includes the market value of securities out on loan of $6,517,796, $12,763,613 and $592,984, respectively.

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

144 AQR Funds Annual Report December 2011

Statements of Assets and Liabilities December 31, 2011

	AQR MANAGED FUTURES STRATEGY FUND**		AQR RISK PARITY FUND**		AQR MULTI- STRATEGY ALTERNATIVE FUND**
ASSETS:
Investments in securities, at cost		$1,296,703,322		$368,600,926		$114,216,735
Investments in securities, at value		$1,296,703,322		$367,279,442		$113,450,458
Cash (including foreign currency of $1,885,289, $6,901,852 and $90,402, respectively)		148,578,215		18,313,217		157,162,815
Due from brokers		88,048,261		10,907,942		97,547,705
Unrealized appreciation on forward foreign currency exchange contracts		8,536,738		1,193,754		—
Swaps, at value		2,005,815		3,416,388		830,822
Unrealized appreciation on futures contracts		19,746,483		—		909,964
Receivables:
Securities sold		—		—		962,755
Dividends and interest		26,646		519,906		697,590
Capital shares sold		3,290,677		1,039,357		906,259
Contributions from service provider		—		354,026		—
Prepaid expenses		124,212		37,678		38,150
Total Assets		1,567,060,369		403,061,710		372,506,518
LIABILITIES:
Securities sold short, at value (proceeds $—, $— and $64,254,023, respectively)		—		—		63,666,436
Due to brokers		511		2,560,000		423,371
Unrealized depreciation on forward foreign currency exchange contracts		—		—		622,538
Swaps, at value		2,832,970		4,195,971		385,411
Unrealized depreciation on futures contracts		—		977,618		—
Payables:
Securities purchased		—		5,732,409		1,025,622
Accrued Investment advisory fees		1,302,147		172,911		216,764
Accrued Distribution fees—Class N		102,661		14,930		6,480
Capital shares redeemed		6,532,255		130,388		4,063,654
Dividends and interest payable on securities sold short		—		—		43,177
Other accrued expenses and liabilities		773,451		190,761		208,301
Total Liabilities		11,543,995		13,974,988		70,661,754
Net Assets		$1,555,516,374		$389,086,722		$301,844,764
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$1,600,188,241		$385,974,463		$306,248,985
Undistributed (accumulated) net investment income (loss)		17,343,520		(3,415,164)		(1,092,123)
Undistributed (accumulated) net realized gain (loss)		(89,414,145)		(334,603)		(4,102,892)
Net unrealized appreciation (depreciation)		27,398,758		6,862,026		790,794
Net Assets		$1,555,516,374		$389,086,722		$301,844,764
NET ASSETS:
Class I		$1,078,662,373		$337,526,380		$257,168,435
Class N		476,854,001		51,560,342		44,676,329
SHARES OUTSTANDING:
Class I		112,731,031		31,791,062		26,521,933
Class N		49,946,509		4,868,266		4,608,787
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$9.57		$10.62		$9.70
Class N		$9.55		$10.59		$9.69

Foreign currency at cost of $1,913,796, $6,902,994 and $94,056, respectively.

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

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

AQR Funds Annual Report December 2011 145

Statements of Assets and Liabilities December 31, 2011

	AQR MOMENTUM FUND		AQR SMALL CAP MOMENTUM FUND		AQR INTERNATIONAL MOMENTUM FUND
ASSETS:
Investments in securities, at cost		$293,183,249		$95,676,147		$76,077,686
Investments in securities, at value*		$310,352,935		$102,582,406		$78,862,692
Cash (including foreign currency of $—, $— and $31,813, respectively)		—		—		163,825
Due from brokers		112,350		30,560		—
Unrealized appreciation on futures contracts		38,748		16,188		—
Receivables:
Securities sold		—		767		—
Foreign tax reclaim		—		—		16,548
Dividends and interest		383,060		73,477		242,883
Capital shares sold		121,235		137,164		181,324
Due from Investment Advisor		—		—		17,822
Prepaid expenses		25,908		12,695		11,684
Total Assets		311,034,236		102,853,257		79,496,778
LIABILITIES:
Due to custodian		—		9		—
Payables:
Collateral received on securities loaned		7,396,308		1,982,597		2,153,886
Accrued Investment advisory fees		26,356		6,978		—
Accrued Shareholder servicing fees		38,164		12,786		10,058
Capital shares redeemed		654,573		221,384		10,520
Other accrued expenses and liabilities		163,551		95,149		97,403
Total Liabilities		8,278,952		2,318,903		2,271,867
Net Assets		$302,755,284		$100,534,354		$77,224,911
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$306,818,095		$99,303,595		$86,975,005
Undistributed (accumulated) net investment income (loss)		716,277		30,383		92,674
Undistributed (accumulated) net realized gain (loss)		(21,987,522)		(5,722,071)		(12,625,362)
Net unrealized appreciation (depreciation)		17,208,434		6,922,447		2,782,594
Net Assets		$302,755,284		$100,534,354		$77,224,911
NET ASSETS:
Class L		$302,755,284		$100,534,354		$77,224,911
SHARES OUTSTANDING:
Class L		21,793,766		7,238,497		6,789,578
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class L		$13.89		$13.89		$11.37

Foreign currency at cost of $—, $— and $31,814, respectively.

* Investments in securities includes the market value of securities out on loan of $7,154,113, $1,902,367 and $2,065,517, respectively.

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

146 AQR Funds Annual Report December 2011

Statements of Operations December 31, 2011

	AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND		AQR DIVERSIFIED ARBITRAGE FUND
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2011
INVESTMENT INCOME:
Dividend income†		$11,386,761		$14,826,305		$15,958,855
Interest income		—		—		50,256,791
Securities lending income, net		267,732		614,372		1,224,371
Total Income		11,654,493		15,440,677		67,440,017
EXPENSES:
Investment advisory fees		1,706,563		2,189,627		17,148,478
Shareholder servicing fees		14,200		394,697		—
Custody, administration & accounting fees		184,834		231,607		684,342
Legal fees		49,669		51,380		412,229
Audit & tax fees		44,627		61,950		197,060
Shareholder reporting fees		13,709		22,248		803,280
Transfer agent fees		14,493		77,822		2,204,058
Trustee fees		32,637		37,578		111,585
Distribution fees—Class N		4,086		3,435		1,227,046
Dividends and interest on securities sold short		—		—		26,371,476
Other fees		255,136		240,859		674,800
Total Expenses		2,319,954		3,311,203		49,834,354
Less waivers:
Investment advisory fees waived		(47,932)		(6,668)		(1,170,872)
Shareholder servicing fees waived		(14,200)		(4,809)		—
Net Expenses		2,257,822		3,299,726		48,663,482
Net Investment Income (Loss)		9,396,671		12,140,951		18,776,535
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		5,185,684		1,532,860		25,861,544
Foreign currency and foreign currency translations		(265,440)		(242,730)		(860,729)
Forward foreign currency exchange contracts		(7,081,866)		(10,271,626)		(1,018,934)
Futures contracts		(9,506,900)		(16,835,104)		(11,070,615)
Securities sold short		—		—		(7,350,687)
Swap and swaps on futures contracts		6,655,849		4,549,756		4,520,901
Written options		—		—		3,905,864
Net realized gain (loss)		(5,012,673)		(21,266,844)		13,987,344
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(30,776,087)		(67,359,573)		(124,770,226)
Foreign currency and foreign currency translations		(804,925)		(44,984)		149,446
Forward foreign currency exchange contracts		(2,466,542)		(5,071,763)		1,226,432
Futures contracts		2,875,365		5,304,818		(641,513)
Securities sold short		—		—		103,880,201
Swap and swaps on futures contracts		(598,500)		(1,259,017)		(1,540,741)
Written options		—		—		272,061
Net change in unrealized appreciation (depreciation)		(31,770,689)		(68,430,519)		(21,424,340)
Net gain (loss) and change in unrealized appreciation (depreciation)		(36,783,362)		(89,697,363)		(7,436,996)
Net increase (decrease) in net assets resulting from operations		$(27,386,691)		$(77,556,412)		$11,339,539
†  Net of foreign taxes withheld of		$615,667		$1,272,922		$32,608

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

AQR Funds Annual Report December 2011 147

Statements of Operations December 31, 2011

	AQR MANAGED FUTURES STRATEGY FUND**		AQR RISK PARITY FUND**		AQR MULTI-STRATEGY ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE PERIOD 07/18/11*-12/31/11
INVESTMENT INCOME:
Dividend income		$361,550		$22,046		$27,713
Interest income		—		2,369,048		781,128
Total Income		361,550		2,391,094		808,841
EXPENSES:
Investment advisory fees		14,093,811		1,283,044		1,302,627
Custody, administration & accounting fees		742,522		95,470		35,562
Legal fees		178,030		16,587		22,932
Audit & tax fees		125,578		137,249		140,746
Shareholder reporting fees		376,832		70,161		62,764
Transfer agent fees		1,550,212		122,009		48,562
Trustee fees		79,548		8,930		3,397
Organization and offering costs		—		—		101,582
Distribution fees—Class N		1,065,682		110,899		24,772
Dividends and interest on securities sold short		—		—		182,598
Other fees		366,144		134,065		61,517
Total Expenses		18,578,359		1,978,414		1,987,059
Less waivers:
Investment advisory fees waived		(737,986)		(241,718)		(382,473)
Net Expenses		17,840,373		1,736,696		1,604,586
Net Investment Income (Loss)		(17,478,823)		654,398		(795,745)
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		(15,411)		(14,245)		(110,118)
Foreign currency and foreign currency translations		(223,625)		(135,451)		(38,587)
Forward foreign currency exchange contracts		(54,819,534)		728,764		(3,663,069)
Futures contracts		(30,306,211)		(6,842,183)		1,400,310
Securities sold short		—		—		436,184
Swap and swaps on futures contracts		8,804,432		5,425,098		(1,114,099)
Voluntary reimbursement by Adviser for investment transaction losses		—		—		208,438
Net realized gain (loss)		(76,560,349)		(838,017)		(2,880,941)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		—		(1,167,733)		(766,277)
Foreign currency and foreign currency translations		(56,522)		(8,177)		(16,810)
Forward foreign currency exchange contracts		2,289,329		1,148,132		(622,538)
Futures contracts		8,959,326		(1,337,796)		909,964
Securities sold short		—		—		587,587
Swap and swaps on futures contracts		(4,104,481)		8,014,935		698,868
Net change in unrealized appreciation (depreciation)		7,087,652		6,649,361		790,794
Net gain (loss) and change in unrealized appreciation (depreciation)		(69,472,697)		5,811,344		(2,090,147)
Net increase (decrease) in net assets resulting from operations		$(86,951,520)		$6,465,742		$(2,885,892)

* Commencement of operations

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

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

148 AQR Funds Annual Report December 2011

Statements of Operations December 31, 2011

	AQR MOMENTUM FUND		AQR SMALL CAP MOMENTUM FUND		AQR INTERNATIONAL MOMENTUM FUND
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2011
INVESTMENT INCOME:
Dividend income†		$3,679,770		$757,224		$2,108,121
Interest income		1,842		1,780		—
Securities lending income, net		11,029		47,461		56,414
Total Income		3,692,641		806,465		2,164,535
EXPENSES:
Investment advisory fees		588,539		308,523		262,162
Shareholder servicing fees		353,125		132,225		112,356
Custody, administration & accounting fees		91,909		76,874		66,838
Legal fees		19,875		2,198		3,180
Audit & tax fees		59,139		59,139		66,976
Shareholder reporting fees		98,829		31,248		29,822
Transfer agent fees		281,624		94,259		86,975
Trustee fees		13,632		5,407		5,178
Other fees		81,740		40,989		89,887
Total Expenses		1,588,412		750,862		723,374
Less waivers:
Investment advisory fees waived		(65,231)		(39,405)		(118,251)
Shareholder servicing fees waived		(353,125)		(132,225)		(112,356)
Net Expenses		1,170,056		579,232		492,767
Net Investment Income (Loss)		2,522,585		227,233		1,671,768
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		(21,196,557)		(5,164,687)		(12,204,603)
Foreign currency and foreign currency translations		—		—		285,327
Forward foreign currency exchange contracts		—		—		(260,164)
Futures contracts		(644,981)		(522,699)		—
Swap and swaps on futures contracts		—		—		7,848
Net realized gain (loss)		(21,841,538)		(5,687,386)		(12,171,592)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		6,981,783		1,206,056		(3,040,622)
Foreign currency and foreign currency translations		—		—		(38,658)
Forward foreign currency exchange contracts		—		—		(10,442)
Futures contracts		40,182		27,497		—
Swap and swaps on futures contracts		—		—		(72,399)
Net change in unrealized appreciation (depreciation)		7,021,965		1,233,553		(3,162,121)
Net gain (loss) and change in unrealized appreciation (depreciation)		(14,819,573)		(4,453,833)		(15,333,713)
Net increase (decrease) in net assets resulting from operations		$(12,296,988)		$(4,226,600)		$(13,661,945)
† Net of foreign taxes withheld of		$—		$—		$181,126

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

AQR Funds Annual Report December 2011 149

Statements of Changes in Net Assets December 31, 2011

	AQR GLOBAL EQUITY FUND				AQR INTERNATIONAL EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010
OPERATIONS:
Net investment income (loss)		$9,396,671		$6,758,950		$12,140,951		$8,347,504
Net realized gain (loss)		(5,012,673)		19,174,656		(21,266,844)		10,063,553
Net change in unrealized appreciation (depreciation)		(31,770,689)		28,446,319		(68,430,519)		27,034,263
Net increase (decrease) in net assets resulting from operations		(27,386,691)		54,379,925		(77,556,412)		45,445,320
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(22,319)		(57,496)		(3,204,118)		(1,939,218)
Class N		(14,377)		(43,413)		(20,121)		(30,891)
Class Y		(6,318,978)		(14,066,551)		(8,730,438)		(8,858,115)
Total		(6,355,674)		(14,167,460)		(11,954,677)		(10,828,224)
Net realized gain:
Class I		(27,548)		(12,252)		(1,042,406)		(751,420)
Class N		(21,102)		(10,061)		(8,687)		(12,796)
Class Y		(5,068,282)		(2,827,146)		(2,482,902)		(3,126,673)
Total		(5,116,932)		(2,849,459)		(3,533,995)		(3,890,889)
Total distributions		(11,472,606)		(17,016,919)		(15,488,672)		(14,719,113)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		2,662,793		1,656,523		100,254,223		44,905,053
Reinvestment of distributions		49,867		69,748		4,080,915		2,584,353
Cost of shares redeemed		(1,826,180)		—		(19,241,187)		(12,356,169)
Redemption fees		—		—		2,037		92
Net increase (decrease) from capital transactions		886,480		1,726,271		85,095,988		35,133,329
CLASS N
Proceeds from shares sold		1,035,527		2,068,625		92,400		1,454,807
Reinvestment of distributions		35,479		52,615		28,595		42,682
Cost of shares redeemed		(392,823)		(754,495)		(178,203)		(97,610)
Redemption fees		—		2		—		—
Net increase (decrease) from capital transactions		678,183		1,366,747		(57,208)		1,399,879
CLASS Y
Proceeds from shares sold		6,057		—		49,085,024		3,598,979
In-kind subscription (See Note 11)		—		370,340,997		—		—
Reinvestment of distributions		11,387,260		16,893,697		11,213,340		11,984,789
Cost of shares redeemed		—		(5,000)		(23,486,766)		(28,131,786)
Redemption fees		—		—		31,881		15,873
Net increase (decrease) from capital transactions		11,393,317		387,229,694		36,843,479		(12,532,145)
Net increase (decrease) in net assets resulting from capital transactions		12,957,980		390,322,712		121,882,259		24,001,063
Total increase (decrease) in net assets		(25,901,317)		427,685,718		28,837,175		54,727,270
NET ASSETS:
Beginning of period		427,685,718		—		459,240,200		404,512,930
End of period		$401,784,401		$427,685,718		$488,077,375		$459,240,200
Undistributed accumulated net investment income (loss) at end of year		$3,812,624		$1,172,016		$5,593,024		$5,785,081

The accompanying notes are an integral part of these financial statements. (continued on p. 151)

150 AQR Funds Annual Report December 2011

Statements of Changes in Net Assets December 31, 2011

	AQR GLOBAL EQUITY FUND				AQR INTERNATIONAL EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		167,896		—		8,227,394		4,502,376
Shares sold		226,766		161,426		9,343,360		4,730,717
Shares issued on reinvestment of distributions		5,184		6,470		492,270		253,120
Shares redeemed		(189,314)		—		(1,996,234)		(1,258,819)
Shares outstanding, end of period		210,532		167,896		16,066,790		8,227,394
CLASS N
Shares outstanding, beginning of period		136,540		—		138,711		584
Shares sold		100,038		203,862		9,129		144,573
Shares issued on reinvestment of distributions		3,692		4,880		3,388		4,116
Shares redeemed		(37,809)		(72,202)		(18,054)		(10,562)
Shares outstanding, end of period		202,461		136,540		133,174		138,711
CLASS Y
Shares outstanding, beginning of period		38,596,429		—		34,152,071		35,486,692
Shares sold		525		—		5,482,006		343,970
Shares issued in connection with in-kind subscription (See Note 11)		—		37,034,100		—		—
Shares issued on reinvestment of distributions		1,183,707		1,562,784		1,296,340		1,126,390
Shares redeemed		—		(455)		(2,095,688)		(2,804,981)
Shares outstanding, end of period		39,780,661		38,596,429		38,834,729		34,152,071

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

AQR Funds Annual Report December 2011 151

Statements of Changes in Net Assets December 31, 2011

	AQR DIVERSIFIED ARBITRAGE FUND				AQR MANAGED FUTURES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE PERIOD 1/06/10*-12/31/10
OPERATIONS:
Net investment income (loss)		$18,776,535		$6,921,419		$(17,478,823)		$(3,689,893)
Net realized gain (loss)		13,987,344		6,466,867		(76,560,349)		26,125,282
Net change in unrealized appreciation (depreciation)		(21,424,340)		26,362,020		7,087,652		20,311,106
Net increase (decrease) in net assets resulting from operations		11,339,539		39,750,306		(86,951,520)		42,746,495
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(11,719,651)		(2,529,523)		(4,266,973)		(4,988,075)
Class N		(3,932,191)		(496,243)		(878,801)		(1,283,887)
Total		(15,651,842)		(3,025,766)		(5,145,774)		(6,271,962)
Net realized gain:
Class I		(35,178,186)		(9,148,432)		(4,032,084)		(8,519,610)
Class N		(16,128,531)		(4,389,758)		(1,840,539)		(2,443,893)
Total		(51,306,717)		(13,538,190)		(5,872,623)		(10,963,503)
Total distributions		(66,958,559)		(16,563,956)		(11,018,397)		(17,235,465)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,014,567,810		744,268,095		729,947,536		658,743,237
Contributions from Adviser		—		354,186		—		—
Reinvestment of distributions		41,800,931		10,961,113		7,389,845		13,031,535
Cost of shares redeemed		(385,285,948)		(105,043,527)		(246,691,399)		(33,812,899)
Redemption fees		—		29		20,254		12,633
Net increase (decrease) from capital transactions		671,082,793		650,539,896		490,666,236		637,974,506
CLASS N
Proceeds from shares sold		452,133,887		366,554,088		423,947,640		289,880,071
Contributions from Adviser		—		190,013		—		—
Reinvestment of distributions		19,853,899		4,779,404		2,697,407		3,704,252
Cost of shares redeemed		(185,908,766)		(77,340,720)		(192,116,250)		(28,806,659)
Redemption fees		58		5,055		10,871		17,187
Net increase (decrease) from capital transactions		286,079,078		294,187,840		234,539,668		264,794,851
Net increase (decrease) in net assets resulting from capital transactions		957,161,871		944,727,736		725,205,904		902,769,357
Total increase (decrease) in net assets		901,542,851		967,914,086		627,235,987		928,280,387
NET ASSETS:
Beginning of period		1,206,995,790		239,081,704		928,280,387		—
End of period		$2,108,538,641		$1,206,995,790		$1,555,516,374		$928,280,387
Undistributed accumulated net investment income (loss) at end of year		$(1,386,575)		$2,523,534		$17,343,520		$2,742,185

The accompanying notes are an integral part of these financial statements. (continued on p. 153)

152 AQR Funds Annual Report December 2011

Statements of Changes in Net Assets December 31, 2011

	AQR DIVERSIFIED ARBITRAGE FUND				AQR MANAGED FUTURES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE PERIOD 1/06/10*-12/31/10
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		73,942,810		14,819,735		63,824,670		—
Shares sold		90,365,152		67,644,901		73,078,580		65,937,073
Shares issued on reinvestment of distributions		3,838,469		990,163		763,414		1,286,430
Shares redeemed		(34,367,643)		(9,511,989)		(24,935,633)		(3,398,833)
Shares outstanding, end of period		133,778,788		73,942,810		112,731,031		63,824,670
CLASS N
Shares outstanding, beginning of period		34,430,118		7,332,864		26,365,662		—
Shares sold		40,438,007		33,746,669		42,737,324		28,893,378
Shares issued on reinvestment of distributions		1,829,852		432,917		279,235		366,394
Shares redeemed		(16,626,263)		(7,082,332)		(19,435,712)		(2,894,110)
Shares outstanding, end of period		60,071,714		34,430,118		49,946,509		26,365,662

* Commencement of operations.

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

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

AQR Funds Annual Report December 2011 153

Statements of Changes in Net Assets December 31, 2011

	AQR RISK PARITY FUND**				AQR MULTI-STRATEGY ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE PERIOD 9/30/10*-12/31/10		FOR THE PERIOD 7/18/11*-12/31/11
OPERATIONS:
Net investment income (loss)		$654,398		$15,932		$(795,745)
Net realized gain (loss)		(838,017)		404,456		(2,880,941)
Net change in unrealized appreciation (depreciation)		6,649,361		212,665		790,794
Net increase (decrease) in net assets resulting from operations		6,465,742		633,053		(2,885,892)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(5,049,564)		(127,380)		(937,657)
Class N		(1,569,186)		(121,230)		(105,452)
Total		(6,618,750)		(248,610)		(1,043,109)
Net realized gain:
Class I		(66,070)		—		—
Class N		(21,926)		—		—
Total		(87,996)		—		—
Total distributions		(6,706,746)		(248,610)		(1,043,109)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		353,204,416		12,413,848		294,713,422
Contributions from service provider or Adviser		305,701		—		—
Reinvestment of distributions		4,940,908		127,380		908,123
Cost of shares redeemed		(34,286,993)		(12,269)		(35,134,145)
Redemption fees		2,899		—		—
Net increase (decrease) from capital transactions		324,166,931		12,528,959		260,487,400
CLASS N
Proceeds from shares sold		96,623,560		11,092,756		56,013,187
Contributions from service provider or Adviser		48,325		—		—
Reinvestment of distributions		729,224		120,969		105,452
Cost of shares redeemed		(56,223,377)		(145,014)		(10,832,274)
Redemption fees		518		432		—
Net increase (decrease) from capital transactions		41,178,250		11,069,143		45,286,365
Net increase (decrease) in net assets resulting from capital transactions		365,345,181		23,598,102		305,773,765
Total increase (decrease) in net assets		365,104,177		23,982,545		301,844,764
NET ASSETS:
Beginning of period		23,982,545		—		—
End of period		$389,086,722		$23,982,545		$301,844,764
Undistributed accumulated net investment income (loss) at end of year		$(3,415,164)		$47,308		$(1,092,123)

The accompanying notes are an integral part of these financial statements. (continued on p. 155)

154 AQR Funds Annual Report December 2011

Statements of Changes in Net Assets December 31, 2011

	AQR RISK PARITY FUND**				AQR MULTI-STRATEGY ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE PERIOD 9/30/10*-12/31/10		FOR THE PERIOD 7/18/11*-12/31/11
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		1,240,567		—		—
Shares sold		33,312,865		1,229,100		30,030,309
Shares issued on reinvestment of distributions		473,267		12,687		93,141
Shares redeemed		(3,235,637)		(1,220)		(3,601,517)
Shares outstanding, end of period		31,791,062		1,240,567		26,521,933
CLASS N
Shares outstanding, beginning of period		1,094,489		—		—
Shares sold		9,042,347		1,096,773		5,701,028
Shares issued on reinvestment of distributions		70,051		12,061		10,815
Shares redeemed		(5,338,621)		(14,345)		(1,103,056)
Shares outstanding, end of period		4,868,266		1,094,489		4,608,787

* Commencement of operations.

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

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

AQR Funds Annual Report December 2011 155

Statements of Changes in Net Assets December 31, 2011

	AQR MOMENTUM FUND				AQR SMALL CAP MOMENTUM FUND
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010
OPERATIONS:
Net investment income (loss)		$2,522,585		$476,664		$227,233		$93,134
Net realized gain (loss)		(21,841,538)		296,966		(5,687,386)		1,019,454
Net change in unrealized appreciation (depreciation)		7,021,965		9,823,731		1,233,553		5,493,162
Net increase (decrease) in net assets resulting from operations		(12,296,988)		10,597,361		(4,226,600)		6,605,750
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L		(2,025,248)		(134,564)		(150,004)		(88,580)
Total		(2,025,248)		(134,564)		(150,004)		(88,580)
Net realized gain:
Class L		(566,418)		(309,664)		(713,111)		(487,666)
Total		(566,418)		(309,664)		(713,111)		(487,666)
Total distributions		(2,591,666)		(444,228)		(863,115)		(576,246)
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		234,799,847		113,707,968		69,908,520		47,944,290
Reinvestment of distributions		2,589,299		443,920		860,975		576,046
Cost of shares redeemed		(44,238,993)		(6,747,740)		(19,650,773)		(3,285,924)
Redemption fees		2,432		1,497		765		1,061
Net increase (decrease) from capital transactions		193,152,585		107,405,645		51,119,487		45,235,473
Net increase (decrease) in net assets resulting from capital transactions		193,152,585		107,405,645		51,119,487		45,235,473
Total increase (decrease) in net assets		178,263,931		117,558,778		46,029,772		51,264,977
NET ASSETS:
Beginning of period		124,491,353		6,932,575		54,504,582		3,239,605
End of period		$302,755,284		$124,491,353		$100,534,354		$54,504,582
Undistributed accumulated net investment income (loss) at end of year		$716,277		$322,578		$30,383		$—
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		8,646,886		568,597		3,788,903		284,134
Shares sold		16,107,289		8,561,328		4,790,883		3,707,891
Shares issued on reinvestment of distributions		192,513		31,043		63,354		40,199
Shares redeemed		(3,152,922)		(514,082)		(1,404,643)		(243,321)
Shares outstanding, end of period		21,793,766		8,646,886		7,238,497		3,788,903

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

156 AQR Funds Annual Report December 2011

Statements of Changes in Net Assets December 31, 2011

	AQR INTERNATIONAL MOMENTUM FUND
	FOR THE YEAR ENDED DECEMBER 31, 2011		FOR THE YEAR ENDED DECEMBER 31, 2010
OPERATIONS:
Net investment income (loss)		$1,671,768		$485,477
Net realized gain (loss)		(12,171,592)		(517,845)
Net change in unrealized appreciation (depreciation)		(3,162,121)		5,421,094
Net increase (decrease) in net assets resulting from operations		(13,661,945)		5,388,726
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L		(1,944,737)		(198,118)
Total		(1,944,737)		(198,118)
Net realized gain:
Class L		—		(61,012)
Total		—		(61,012)
Total distributions		(1,944,737)		(259,130)
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		57,657,994		45,816,669
Reinvestment of distributions		1,943,164		259,022
Cost of shares redeemed		(28,862,650)		(18,877,307)
Redemption fees		1,706		1,346
Net increase (decrease) from capital transactions		30,740,214		27,199,730
Net increase (decrease) in net assets resulting from capital transactions		30,740,214		27,199,730
Total increase (decrease) in net assets		15,133,532		32,329,326
NET ASSETS:
Beginning of period		62,091,379		29,762,053
End of period		$77,224,911		$62,091,379
Undistributed accumulated net investment income (loss) at end of year		$92,674		$72,009
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		4,559,775		2,485,331
Shares sold		4,299,973		3,653,199
Shares issued on reinvestment of distributions		176,171		19,417
Shares redeemed		(2,246,341)		(1,598,172)
Shares outstanding, end of period		6,789,578		4,559,775

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

AQR Funds Annual Report December 2011 157

Statement of Cash Flows December 31, 2011

	AQR DIVERSIFIED ARBITRAGE FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations		$11,339,539
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities		(5,322,815,457)
Payments to cover short securities		(1,576,754,988)
Proceeds from securities sold short		2,000,122,991
Proceeds from sale of securities		4,184,909,979
Realized gain on investments in securities		(25,861,544)
Realized loss on securities sold short and written options		3,444,823
Change in unrealized depreciation on investments in securities		124,770,226
Change in unrealized appreciation on securities sold short and written options		(104,152,262)
Amortization of bond premium		(1,120,927)
Decreases in operating assets:
Restricted cash		4,797,323
Due from brokers		(139,397,874)
Unrealized appreciation on forward foreign contracts		(939,967)
Swaps, at value		(10,348,073)
Receivable for securities sold		(84,052,038)
Dividends and interest		(6,370,754)
Prepaid expenses		(88,192)
Increases in operating liabilities
Due to custodian/broker		(840,977)
Unrealized depreciation on forward foreign currency exchange contracts		(286,465)
Swaps, at value		(1,452,422)
Unrealized depreciation on futures contracts		641,513
Payable for securities purchased		52,695,911
Collateral received on securities loaned		686,099
Accrued Investment advisory fees		574,212
Accrued Distribution fees—Class N		59,014
Dividends on securities sold short		219,337
Other accrued expenses		855,709
Net cash used in operating activities		$(889,365,264)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		1,465,482,251
Payments on shares redeemed		(569,695,492)
Cash distributions paid		(5,303,729)
Net cash provided by financing activities		$890,483,030
Net change in cash		1,117,766
Cash, beginning of period		—
Cash, end of period		$1,117,766

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

158 AQR Funds Annual Report December 2011

[Intentionally Left Blank]

AQR Funds Annual Report December 2011 159

Financial Highlights December 31, 2011

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR GLOBAL EQUITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 20115		$10.97		0.21			(0.95	)		(0.74	)		(0.11	)		(0.13	)		(0.24	)
FOR THE YEAR ENDED 12/31/20105		$10.00		0.16			1.25			1.41			(0.36	)		(0.08	)		(0.44	)
AQR GLOBAL EQUITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 20115		$10.97		0.16			(0.94	)		(0.78	)		(0.09	)		(0.13	)		(0.22	)
FOR THE YEAR ENDED 12/31/2010†,5		$10.00		0.13			1.25			1.38			(0.33	)		(0.08	)		(0.41	)
AQR GLOBAL EQUITY FUND CLASS Y
FOR THE YEAR ENDED DECEMBER 31, 20115		$10.99		0.24			(0.94	)		(0.70	)		(0.16	)		(0.13	)		(0.29	)
FOR THE YEAR ENDED 12/31/20105		$10.00		0.18			1.27			1.45			(0.38	)		(0.08	)		(0.46	)
AQR INTERNATIONAL EQUITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.45		0.21			(1.78	)		(1.57	)		(0.21	)		(0.07	)		(0.28	)
FOR THE YEAR ENDED DECEMBER 31, 2010†,5		$9.78		0.16			0.84			1.00			(0.24	)		(0.09	)		(0.33	)
FOR THE PERIOD ENDED 9/30/096—12/31/09†,5		$10.00		(0.01	)		0.22			0.21			(0.14	)		(0.29	)		(0.43	)
AQR INTERNATIONAL EQUITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 20115		$10.61		0.20			(1.83	)		(1.63	)		(0.15	)		(0.07	)		(0.22	)
FOR THE YEAR ENDED DECEMBER 31, 20105		$9.91		0.14			0.88			1.02			(0.23	)		(0.09	)		(0.32	)
FOR THE PERIOD ENDED 9/30/096—12/31/09†,5		$10.00		—			0.20			0.20			—			(0.29	)		(0.29	)
AQR INTERNATIONAL EQUITY FUND CLASS Y
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.89		0.28			(1.88	)		(1.60	)		(0.24	)		(0.07	)		(0.31	)
FOR THE YEAR ENDED DECEMBER 31, 2010†,5		$10.16		0.20			0.89			1.09			(0.27	)		(0.09	)		(0.36	)
FOR THE PERIOD ENDED 8/28/098—12/31/09†,5		$10.00		0.03			0.57			0.60			(0.15	)		(0.29	)		(0.44	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 20115		$11.15		0.13			(0.02	)		0.11			(0.09	)		(0.28	)		(0.37	)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$10.80		0.06			0.46			0.52			(0.04	)		(0.13	)		(0.17	)
FOR THE PERIOD ENDED 1/15/098—12/31/09†,5		$10.00		0.13			0.79			0.92			(0.03	)		(0.09	)		(0.12	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$11.12		0.10			(0.02	)		0.08			(0.07	)		(0.28	)		(0.35	)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$10.78		0.05			0.43			0.48			(0.01	)		(0.13	)		(0.14	)
FOR THE PERIOD ENDED 1/15/098—12/31/09†,5		$10.00		0.10			0.79			0.89			(0.02	)		(0.09	)		(0.11	)

  * Annualized for periods less than one year.

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

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

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

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

  4 Portfolio turnover is not annualized.

  5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  6 Commencement of offering of shares.

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

  8 Commencement of operations.

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

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

160 AQR Funds Annual Report December 2011

Financial Highlights December 31, 2011

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$9.99		(6.68	)%		$2,102,815		0.96	%		0.95	%		2.03	%		1.90	%		59	%
	$10.97		14.12	%		$1,841,838		0.79	%		0.79	%		0.79	%		1.41	%		72	%
	$9.97		(7.03	)%		$2,019,253		1.27	%		1.26	%		3.22	%		1.46	%		59	%
	$10.97		13.83	%		$1,497,723		1.10	%		1.10	%		1.10	%		1.28	%		72	%
	$10.00		(6.22	)%		$397,662,333		0.52	%		0.51	%		0.52	%		2.21	%		59	%
	$10.99		14.54	%		$424,346,157		0.50	%		0.50	%		0.71	%		1.81	%		72	%
	$8.60		(15.00	)%		$138,229,387		0.94	%		0.93	%		0.94	%		2.13	%		60	%
	$10.45		10.40	%		$85,968,655		0.90	%		0.90	%		1.03	%		1.72	%		93	%
	$9.78		2.20	%		$44,016,038		0.90	%		0.90	%		1.01	%		(0.47	)%		29	%
	$8.76		(15.27	)%		$1,166,515		1.35	%		1.34	%		2.18	%		1.96	%		60	%
	$10.61		10.40	%		$1,472,368		1.25	%		1.25	%		3.50	%		1.51	%		93	%
	$9.91		2.04	%		$5,785		1.25	%		1.25	%		472.86	%7		(0.07	)%		29	%
	$8.98		(14.66	)%		$348,681,473		0.58	%		0.57	%		0.58	%		2.63	%		60	%
	$10.89		10.84	%		$371,799,177		0.55	%		0.55	%		0.77	%		2.02	%		93	%
	$10.16		6.08	%		$360,491,107		0.55	%		0.55	%		0.98	%		0.99	%		29	%
	$10.89		0.99	%		$1,456,748,122		2.75	%		1.20	%		2.84	%		1.18	%		298	%
	$11.15		4.81	%9		$824,237,659		2.59	%		1.20	%		2.62	%		1.13	%		361	%
	$10.80		9.24	%		$160,026,814		2.46	%		1.20	%		3.25	%		1.30	%		482	%
	$10.85		0.68	%		$651,790,519		3.05	%		1.50	%		3.08	%		0.89	%		298	%
	$11.12		4.52	%9		$382,758,131		2.89	%		1.50	%		2.92	%		0.85	%		361	%
	$10.78		8.88	%		$79,054,890		2.69	%		1.50	%		3.42	%		0.98	%		482	%

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

AQR Funds Annual Report December 2011 161

Financial Highlights December 31, 2011

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR MANAGED FUTURES STRATEGY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.30		(0.12	)		(0.53	)		(0.65	)		(0.04	)		(0.04	)		(0.08	)
FOR THE PERIOD ENDED 1/06/108—12/31/10†,5		$10.00		(0.12	)		0.66			0.54			(0.09	)		(0.15	)		(0.24	)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.28		(0.15	)		(0.52	)		(0.67	)		(0.02	)		(0.04	)		(0.06	)
FOR THE PERIOD ENDED 1/06/108—12/31/10†,5		$10.00		(0.15	)		0.66			0.51			(0.08	)		(0.15	)		(0.23	)
AQR RISK PARITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.28		0.04			0.51			0.55			(0.21	)		(0.00	)9		(0.21	)
FOR THE PERIOD ENDED 9/30/108—12/31/10		$10.00		0.02			0.38			0.40			(0.12	)		—			(0.12	)
AQR RISK PARITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.27		0.03			0.49			0.52			(0.20	)		(0.00	)9		(0.20	)
FOR THE PERIOD ENDED 9/30/108—12/31/10†		$10.00		0.01			0.38			0.39			(0.12	)		—			(0.12	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
FOR THE PERIOD ENDED 7/18/118—12/31/115		$10.00		(0.05	)		(0.21	)		(0.26	)		(0.04	)		—			(0.04	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
FOR THE PERIOD ENDED 7/18/118—12/31/115		$10.00		(0.06	)		(0.21	)		(0.27	)		(0.04	)		—			(0.04	)
AQR MOMENTUM FUND CLASS L
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$14.40		0.15			(0.54	)		(0.39	)		(0.09	)		(0.03	)		(0.12	)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$12.19		0.06			2.21			2.27			(0.02	)		(0.04	)		(0.06	)
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5		$10.00		0.07			2.48			2.55			(0.05	)		(0.31	)		(0.36	)
AQR SMALL CAP MOMENTUM FUND CLASS L
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$14.39		0.04			(0.42	)		(0.38	)		(0.02	)		(0.10	)		(0.12	)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$11.40		0.03			3.13			3.16			(0.03	)		(0.14	)		(0.17	)
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5		$10.00		0.04			2.06			2.10			(0.03	)		(0.67	)		(0.70	)
AQR INTERNATIONAL MOMENTUM FUND CLASS L
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$13.62		0.29			(2.26	)		(1.97	)		(0.28	)		—			(0.28	)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$11.98		0.08			1.62			1.70			(0.05	)		(0.01	)		(0.06	)
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5		$10.00		0.04			2.26			2.30			(0.09	)		(0.23	)		(0.32	)

  * Annualized for periods less than one year.

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

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

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

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

  4 Portfolio turnover is not annualized.

  5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  6 For the year ended December 31, 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%.

  7 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%.

  8 Commencement of operations.

  9 Amount is less than $.005 per share.

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

162 AQR Funds Annual Report December 2011

Financial Highlights December 31, 2011

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return1,2			Net Assets, End of Period		Expenses, Net of Reimbursements and/or Waivers3			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3			Expenses, Before Reimbursements and/or Waivers3			Net Investment Income (Loss)			Portfolio Turnover Rate4
	$9.57		(6.37	)%		$1,078,662,373		1.25	%		1.25	%		1.30	%		(1.22	)%		0	%
	$10.30		5.41	%		$657,237,349		1.25	%		1.25	%		1.28	%		(1.27	)%		0	%
	$9.55		(6.59	)%		$476,854,001		1.50	%		1.50	%		1.57	%		(1.47	)%		0	%
	$10.28		5.12	%		$271,043,038		1.50	%		1.50	%		1.56	%		(1.54	)%		0	%
	$10.62		5.45	%6		$337,526,380		0.95	%		0.95	%		1.06	%		0.41	%		66	%
	$10.28		3.98	%		$12,747,565		0.95	%		0.95	%		3.80	%		0.44	%		19	%
	$10.59		5.12	%6		$51,560,342		1.20	%		1.20	%		1.42	%		0.30	%		66	%
	$10.27		3.88	%		$11,234,980		1.20	%		1.20	%		3.96	%		0.22	%		19	%
	$9.70		(2.57	)%7		$257,168,435		2.23	%		1.98	%		2.59	%		(1.09	)%		133	%
	$9.69		(2.73	)%7		$44,676,329		2.48	%		2.23	%		2.85	%		(1.37	)%		133	%
	$13.89		(2.68	)%		$302,755,284		0.50	%		0.49	%		0.67	%		1.07	%		162	%
	$14.40		18.60	%		$124,491,353		0.49	%		0.49	%		0.98	%		1.37	%		180	%
	$12.19		25.58	%		$6,932,575		0.49	%		0.49	%		5.08	%		1.23	%		163	%
	$13.89		(2.62	)%		$100,534,354		0.66	%		0.65	%		0.85	%		0.26	%		121	%
	$14.39		27.69	%		$54,504,582		0.65	%		0.65	%		1.85	%		0.66	%		380	%
	$11.40		21.24	%		$3,239,605		0.65	%		0.65	%		7.53	%		0.65	%		136	%
	$11.37		(14.42	)%		$77,224,911		0.66	%		0.65	%		0.97	%		2.23	%		203	%
	$13.62		14.20	%		$62,091,379		0.65	%		0.65	%		1.46	%		1.44	%		269	%
	$11.98		23.08	%		$29,762,053		0.65	%		0.65	%		2.22	%		0.63	%		160	%

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

AQR Funds Annual Report December 2011 163

Notes to Financial Statements December 31, 2011

1. Organization

AQR Funds (the “Trust”), organized as a Delaware statutory trust on September 4, 2008, is an open-end management investment company, under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2011, the Trust consists of nine active series (collectively, the “Funds” and each individually a “Fund”): AQR Global Equity Fund, AQR International Equity Fund, AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, and AQR International Momentum Fund. AQR Capital Management, LLC (“the Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (“the Sub-Adviser”) an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund.

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

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

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

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

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

The investment objective of the AQR Multi-Strategy Alternative Fund is to seek positive absolute returns. A “positive absolute return” seeks to earn a positive total return over a reasonable period of time regardless of market conditions or general market direction. However, while seeking to generate positive performance over a multi-year period of time, the Fund may have positive or negative returns over shorter time periods. The Fund invests globally (including in emerging markets) in a broad range of instruments, including, but not limited to, equities, bonds, currencies, commodities, credit derivatives, convertible securities, futures, forwards, options and swaps. The AQR Multi-Strategy Alternative Fund commenced operations on July 18, 2011. The Fund offers Class I and Class N shares.

164 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

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

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

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

2. Consolidation of Subsidiaries — AQR Managed Futures Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd. and AQR Multi-Strategy Alternative Offshore Fund Ltd.

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

The Subsidiaries are classified as controlled foreign corporations under the Code. Each Subsidiary’s taxable income is included in the calculation of the relevant Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.

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

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

	INCEPTION DATE OF SUBSIDIARY	SUBSIDIARY NET ASSETS AT DECEMBER 31, 2011		% OF TOTAL NET ASSETS AT DECEMBER 31, 2011
AQR Managed Futures Strategy Offshore Fund, Ltd.	January 6, 2010	$	351,568,733		22.6	%
AQR Risk Parity Offshore Fund, Ltd.	September 30, 2010		75,805,197		19.5	%
AQR Multi-Strategy Alternative Offshore Fund, Ltd.	July 18, 2011		30,215,982		10.0	%

AQR Funds Annual Report December 2011 165

Notes to Financial Statements December 31, 2011

3. Significant Accounting Policies

The following summarizes the significant accounting policies of the Funds:

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

Securities Valuation: Each Fund’s portfolio securities are valued as of the close of business of the regular session of trading on the NYSE (normally 4:00 p.m. Eastern time). Equity securities, including securities sold short and warrants, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. The value of securities listed on the NASDAQ shall generally be the NASDAQ Official Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities on a daily basis utilizing the quotations of an independent pricing service, unless the Adviser determines that use of another valuation methodology is appropriate. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time the Funds calculate their net asset value. Securities traded in the over-the-counter market, and which are not quoted by NASDAQ, are valued at the last sale price, if available, otherwise at the last quoted bid price (in the case of short sales, at the ask price). Bonds are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. The Funds value debt securities maturing less than 61 days from the date of purchase at amortized cost, which approximates market value. The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current settlement prices. Futures and options contracts are valued at the last quoted sales price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. Prices of futures contracts are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation. Investments in open-end investment companies are valued at such investment company’s current day closing net asset value per share. Exchange-Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price. Equity, total return and commodity swap contracts are valued at fair value, based on the price of the underlying referenced instrument. Credit default swaps are valued daily primarily using independent pricing services or market makers. Interest rate swap contracts are valued at fair value as determined by an independent pricing service based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.

The Funds may use pricing services to obtain readily available market quotations. Where market quotations are not readily available, or if an available market quotation is determined not to be reliable, a security will be valued based on its fair value as determined in accordance with the valuation procedures approved by the Funds’ Board of Trustees, which may include the use of proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets.

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

166 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

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

The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedule 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 of $5,015,807 and $34,744 are included in dividend and interest on securities sold short in the Statements of Operations for AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.

Futures Contracts: The Funds invest in futures contracts. The Funds, excluding AQR Managed Futures Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund, invest in futures in order to hedge their investments or equitize their cash flows against fluctuations in value caused by changes in prevailing interest rates or market conditions. The AQR Managed Futures Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund invest in futures as part of their primary investment strategy. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not be entitled to the return of all of the margin owed to the Funds, potentially resulting in a loss. No monies are paid to or received by a Fund upon the purchase or sale of a futures contract. Initially, a Fund will be required to deposit with the broker an amount of cash or cash equivalents, known as initial margin, based on the value of the contract. Subsequent payments to and from the broker, will be made on a periodic basis as the price of the underlying instruments fluctuates. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited are recorded on the Statements of Assets and Liabilities. The use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the contract amount of the futures contracts. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

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

AQR Funds Annual Report December 2011 167

Notes to Financial Statements December 31, 2011

Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Forward currency contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

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

Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an 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. An upfront payment received by a Fund, as the protection seller, or an upfront payment made by a Fund, as the protection buyer, is recorded on the Statements of Assets and Liabilities. Upfront payments are amortized over the term of the contract. Periodic payments received or paid by a Fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

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

The credit default swaps in which the AQR Risk Parity Fund is providing protection at December 31, 2011 are summarized as follows:

	MAXIMUM PAYOUT/NOTIONAL AMOUNT BY PERIOD OF EXPIRATION ($ IN THOUSANDS)
CREDIT SPREAD ON UNDERLYING (BASIS POINTS)	0-5 YEARS USD		0-5 YEARS EUR		35-40 YEARS USD		WRITTEN CREDIT DERIVATIVES AT FAIR VALUE
0-250		56,875		22,500		2,625		$(2,562,006)
251 or greater		63,650		14,975		—		(3,753,048)
Total		120,525		37,475		2,625		$(6,315,054)

168 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

The credit default swaps in which the AQR Multi-Strategy Alternative Fund is providing protection at December 31, 2011 are summarized as follows:

	MAXIMUM PAYOUT/NOTIONAL AMOUNT BY PERIOD OF EXPIRATION ($ IN THOUSANDS)
CREDIT SPREAD ON UNDERLYING (BASIS POINTS)	0-5 YEARS USD		WRITTEN CREDIT DERIVATIVES AT FAIR VALUE
251-500		2,950		(198,414)
Total		2,950		$(198,414)

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

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

High Yield Securities: Certain Funds may invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities 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.

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

AQR Funds Annual Report December 2011 169

Notes to Financial Statements December 31, 2011

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

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

Transactions in call and put options written during the period ended December 31, 2011 for the AQR Diversified Arbitrage Fund were as follows:

	CALL OPTIONS						PUT OPTIONS
	SHARES SUBJECT TO CALL			PREMIUM			SHARES SUBJECT TO PUT			PREMIUM
Options outstanding, December 31, 2010		(6,130	)	$	(1,113,694	)		—		$	—
Options written		(39,105	)		(3,782,605	)		(8,583	)		(86,455	)
Options expired		26,110			470,491			8,187			67,051
Options exercised		16,584			4,006,795			396			19,404
Options outstanding, December 31, 2011		(2,541	)	$	(419,013	)		—		$	—

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

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

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

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

Management evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax

170 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The returns of the Funds for the period from commencement of operations through December 31, 2011 are open for examination. As of December 31, 2011, the Funds had no examinations in progress.

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

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

Allocation of Income and Expenses: In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Series, such as advisory fees and registration costs. Trust level expenses are allocated among the Funds based on the ratio of average net assets or some 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, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Organization and Offering Costs: Costs incurred by the AQR Multi-Strategy Alternative Fund in connection with the organization of the Fund, professional fees, printing fees and the offering of the initial registration were $101,582. All costs were expensed during the initial reporting period.

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

Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions.

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

AQR Funds Annual Report December 2011 171

Notes to Financial Statements December 31, 2011

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

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

Distributions to Shareholders: The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Distributions to shareholders are recorded on the ex-dividend date. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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

4. Federal Income Tax Matters

At December 31, 2011, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Global Equity Fund	$	377,765,901	$	46,011,736	$	(24,683,343	)	$	21,328,393
AQR International Equity Fund		499,539,050		36,007,876		(49,640,454	)		(13,632,578	)
AQR Diversified Arbitrage Fund		2,594,045,910		115,133,053		(146,950,879	)		(31,817,826	)
AQR Managed Futures Strategy Fund		1,296,703,322		—		—			—
AQR Risk Parity Fund		369,010,864		482,960,887		(484,692,309	)		(1,731,422	)
AQR Multi-Strategy Alternative Fund		114,259,073		11,947,159		(12,755,774	)		(808,615	)
AQR Momentum Fund		294,651,033		20,875,138		(5,173,236	)		15,701,902
AQR Small Cap Momentum Fund		95,681,000		11,025,942		(4,124,536	)		6,901,406
AQR International Momentum Fund		76,586,843		4,689,959		(2,414,110	)		2,275,849

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to loss deferrals and passive foreign investment companies (AQR Global Equity Fund, AQR International Equity Fund and AQR International Momentum Fund).

At December 31, 2011, the components of accumulated earnings / (loss) on a tax basis were as follows:

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR TAX BASIS CAPITAL LOSS CARRYFORWARDS			NET UNREALIZED APPRECIATION (DEPRECIATION)			POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS			OTHER TEMPORARY DIFFERENCES		TOTAL ACCUMULATED EARNINGS
AQR Global Equity Fund	$	3,952,909	$	(5,220,654	)	$	23,170,816		$	(4,237,697	)	$	—	$	17,665,374
AQR International Equity Fund		6,115,323		(18,796,207	)		(11,501,092	)		(7,022,293	)		—		(31,204,269	)

172 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR TAX BASIS CAPITAL LOSS CARRYFORWARDS			NET UNREALIZED APPRECIATION (DEPRECIATION)			POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS			OTHER TEMPORARY DIFFERENCES			TOTAL ACCUMULATED EARNINGS
AQR Diversified Arbitrage Fund	$	13,078,133	$	—		$	(43,734,534	)	$	—		$	(168,478	)	$	(30,824,879	)
AQR Managed Futures Strategy Fund		17,398,683		(69,776,826	)		12,349,743			(4,643,467	)		—			(44,671,867	)
AQR Risk Parity Fund		1,011,540		705,851			2,486,269			(1,091,401	)		—			3,112,259
AQR Multi-Strategy Alternative Fund		—		(1,801,175	)		(1,478,556	)		(1,124,490	)		—			(4,404,221	)
AQR Momentum Fund		716,277		(15,780,193	)		15,701,902			(4,700,797	)		—			(4,062,811	)
AQR Small Cap Momentum Fund		45,444		(2,555,158	)		6,901,406			(3,160,933	)		—			1,230,759
AQR International Momentum Fund		126,796		(9,384,337	)		2,273,437			(2,765,990	)		—			(9,750,094	)

The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral losses on wash sales and other book and tax differences including capital loss carryforwards, passive foreign investment companies (“PFIC”), forward foreign currency exchange contracts, swap contracts and the tax treatment of income and gain or loss from the subsidiary.

At December 31, 2011, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	UNDISTRIBUTED NET INVESTMENT INCOME			ACCUMULATED NET REALIZED GAIN(LOSS) ON INVESTMENTS			PAID-IN CAPITAL
AQR Global Equity Fund	$	(400,389	)	$	(636,327	)	$	1,036,716
AQR International Equity Fund		(378,331	)		(64,957	)		443,288
AQR Diversified Arbitrage Fund		(7,034,802	)		6,190,586			844,216
AQR Managed Futures Strategy Fund		37,225,932			(2,515,953	)		(34,709,979	)
AQR Risk Parity Fund		2,501,880			714,962			(3,216,842	)
AQR Multi-Strategy Alternative Fund		746,731			(1,221,951	)		475,220
AQR Momentum Fund		(103,638	)		103,638			—
AQR Small Cap Momentum Fund		(46,846	)		48,155			(1,309	)
AQR International Momentum Fund		293,634			(293,632	)		(2	)

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the tax treatment of swap contracts, distribution reclassifications, foreign currency reclassifications, sale of Real Estate Investment Trusts, PFIC’s and the tax treatment of income and gain or loss from the subsidiary. Results of operations and net assets were not affected by these reclassifications.

The tax character of the distributions paid during the periods ended December 31, 2011 and December 31, 2010, were as follows:

FUND	DECEMBER 31, 2011 ORDINARY INCOME		CAPITAL GAINS		DECEMBER 31, 2010 ORDINARY INCOME		CAPITAL GAINS
AQR Global Equity Fund	$	9,967,013	$	1,505,593	$	14,994,426	$	2,022,493
AQR International Equity Fund		13,160,157		2,328,515		14,719,113		—
AQR Diversified Arbitrage Fund		66,958,559		—		16,563,956		—

AQR Funds Annual Report December 2011 173

Notes to Financial Statements December 31, 2011

FUND	DECEMBER 31, 2011 ORDINARY INCOME		CAPITAL GAINS		DECEMBER 31, 2010 ORDINARY INCOME		CAPITAL GAINS
AQR Managed Futures Strategy Fund	$	10,675,579	$	342,818	$	9,578,985	$	7,656,480
AQR Risk Parity Fund		6,618,750		87,996		248,610		—
AQR Multi-Strategy Alternative Fund		1,043,109		—		N/A		N/A
AQR Momentum Fund		2,360,576		231,090		431,429		12,799
AQR Small Cap Momentum Fund		596,501		266,614		546,289		29,957
AQR International Momentum Fund		1,944,737		—		259,130		—

The AQR Managed Futures Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund commenced operations on January 6, 2010, September 30, 2010 and July 18, 2011, respectively.

As of December 31, 2011, 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 Treasury regulations.

FUND	SHORT-TERM		LONG TERM		YEAR OF EXPIRATION
AQR Global Equity Fund	$	2,953,779	$	2,266,875		N/A
AQR International Equity Fund		14,000,520		4,795,687		N/A
AQR Managed Futures Strategy Fund		49,365,405		20,411,421		N/A
AQR Multi-Strategy Alternative Fund		566,262		1,234,913		N/A
AQR Momentum Fund		15,780,193		—		N/A
AQR Small Cap Momentum Fund		2,555,158		—		N/A
AQR International Momentum Fund		107,993		—		2018
AQR International Momentum Fund		7,610,865		1,665,479		N/A

FUND	POST OCTOBER CAPITAL LOSSES		LATE YEAR ORDINARY LOSS DEFERRALS
AQR Global Equity Fund	$	4,237,697	$	—
AQR International Equity Fund		7,022,293		—
AQR Managed Futures Strategy Fund		4,643,467		—
AQR Risk Parity Fund		—		1,091,401
AQR Multi-Strategy Alternative Fund		698,457		426,033
AQR Momentum Fund		4,700,797		—
AQR Small Cap Momentum Fund		3,160,933		—
AQR International Momentum Fund		2,765,990		—

Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law. Any post-enactment capital losses generated will be required to be utilized prior to the losses incurred in pre-enactment tax years.

5. Fair Value Measurements

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

Level 1 — quoted prices in active markets for identical securities

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

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

174 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

Valuation methodology and inputs

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

The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs.

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

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

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

AQR Funds Annual Report December 2011 175

Notes to Financial Statements December 31, 2011

Credit default swaps are carried at their estimated fair value, as determined in good faith by pricing services approved by the Board of Trustees. In addition to credit quality, the Funds monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. The change in value is recorded within unrealized appreciation/(depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain/(loss) is recorded. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

Transfers

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

The following summarizes inputs used as of December 31, 2011 in valuing the Funds’ assets carried at fair value:

AQR GLOBAL EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	209,898,779	$	149,343,586		$	—	$	359,242,365
Preferred Stocks†		—		1,118,494			—		1,118,494
Money Market Funds		—		38,733,435			—		38,733,435
Futures Contracts*		2,307,497		—			—		2,307,497
Total Assets	$	212,206,276	$	189,195,515		$	—	$	401,401,791
LIABILITIES
Total Return Swap Contracts*	$	—	$	(104,972	)	$	—		(104,972	)
Forward Foreign Currency Exchange Contracts*				(175,797	)				(175,797	)
Total Liabilities	$	—	$	(280,769	)	$	—	$	(280,769	)
*   Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the net unrealized appreciation (depreciation) on the instrument. †   Please refer to the Schedule of Investments to view securities segregated by country.

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

176 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

AQR INTERNATIONAL EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	—	$	422,271,053		$	—	$	422,271,053
Preferred Stocks†		—		2,932,632			—		2,932,632
Money Market Funds		—		60,702,787			—		60,702,787
Futures Contracts*		4,046,142		—			—		4,046,142
Total Assets	$	4,046,142	$	485,906,472		$	—	$	489,952,614
LIABILITIES
Total Return Swap Contracts*	$	—	$	(819,294	)	$	—	$	(819,294	)
Forward Foreign Currency Exchange Contracts*				(502,648	)				(502,648	)
Total Liabilities	$	—	$	(1,321,942	)	$	—	$	(1,321,942	)
† Please refer to the Schedule of Investments to view securities segregated by country.

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

AQR INTERNATIONAL EQUITY FUND	COMMON STOCKS
Balance as of December 31, 2010	$	8,335
Accrued discounts/(premiums)		—
Realized gain/(loss)		8,258
Change in unrealized appreciation/(depreciation)		(8,335	)
Purchases		—
Sales		(8,258	)
Transfers in to Level 3		—
Transfers out of Level 3		—
Balance as of December 31, 2011	$	—
*   Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the net unrealized appreciation (depreciation) on the instrument.

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

AQR Funds Annual Report December 2011 177

Notes to Financial Statements December 31, 2011

AQR DIVERSIFIED ARBITRAGE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTALS
ASSETS
Common Stocks†	$	986,279,176		$	154,767,984		$	13,402,480		$	1,154,449,640
Convertible Preferred Stocks†		22,842,836			54,296,886			1,181,492			78,321,214
Corporate Bonds†		—			374,927,063			4,152,274			379,079,337
Convertible Bonds†		—			760,546,264			4,372,176			764,918,440
Closed End Funds		57,616,324			—			—			57,616,324
Exchange Traded Funds		4,194,689			—			—			4,194,689
Rights†		—			124,856			—			124,856
Warrants†		10,795,801			2,807,300			2,984,201			16,587,302
Money Market Funds		—			106,936,282			—			106,936,282
Forward Foreign Currency Exchange Contracts*		—			939,967			—			939,967
Credit Default Swap Contracts*		—			10,348,073			—			10,348,073
Total Assets	$	1,081,728,826		$	1,465,694,675		$	26,092,623		$	2,573,516,124
LIABILITIES
Common Stocks (Sold Short)†	$	(924,730,202	)	$	(5,808,407	)	$	(64,415	)	$	(930,603,024	)
Convertible Bonds (Sold Short)†		—			(1,102,938	)		—			(1,102,938	)
Exchange Traded Funds (Sold Short)		(46,398,517	)		—			—			(46,398,517	)
Futures Contracts*		(1,187,460	)		—			—			(1,187,460	)
Written Option Contracts*		(10,991	)		—			—			(10,991	)
Total Liabilities	$	(972,327,170	)	$	(6,911,345	)	$	(64,415	)	$	(979,302,930	)
† Please refer to the Schedule of Investments to view securities segregated by industry type.

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

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCKS			CONVERTIBLE PREFERRED STOCK		CORPORATE BONDS			CONVERTIBLE BONDS			WARRANTS			SHORT COMMON STOCK
Balance as of December 31, 2010	$	3,323,774		$	580,905	$	3,240,078		$	1,864,435		$	3,543,581		$	—
Accrued discounts/(premiums)		—			—		(84,872	)		—			—			—
Realized gain/(loss)		659,560			—		—			—			572			—
Change in unrealized appreciation/(depreciation)		(1,122,896	)		278,939		(946,091	)		(1,954,859	)		145,933			—
Purchases		12,300,581			—		1,943,159			4,450,000			26,322			—
Sales		(1,436,891	)		—		—			—			(814,095	)		—
Transfers in to Level 3		—			321,648		—			12,600			81,888			(64,415	)
Transfers out of Level 3		(321,648	)		—		—			—			—			—
Balance as of December 31, 2011	$	13,402,480		$	1,181,492	$	4,152,274		$	4,372,176		$	2,984,201		$	(64,415	)

The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at December 31, 2011 is $(1,122,896), $278,939, $(946,091), $(1,954,859), $20,852, and $— for common stocks, convertible preferred stock, corporate bonds, convertible bonds, warrants, and short common stock respectively.

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

178 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

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

AQR MANAGED FUTURES STRATEGY	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Money Market Funds	$	—	$	1,296,703,322		$	—	$	1,296,703,322
Forward Foreign Currency Exchange Contracts*		—		8,536,738			—		8,536,738
Total Return Swap Contracts*		—		2,005,815			—		2,005,815
Futures Contracts*		19,746,483		—			—		19,746,483
Total Assets	$	19,746,483	$	1,307,245,875		$	—	$	1,326,992,358
LIABILITIES
Total Return Swap Contracts*	$	—	$	(2,832,970	)	$	—	$	(2,832,970	)
Total Liabilities	$	—	$	(2,832,970	)	$	—	$	(2,832,970	)

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

There were no Level 3 securities held during the period.

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

AQR RISK PARITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Government Related Obligations	$	—		$	86,414,856		$	—	$	86,414,856
U.S. Treasury Obligations		—			60,897,612			—		60,897,612
Money Market Funds		—			219,966,974			—		219,966,974
Forward Foreign Currency Exchange Contracts*		—			1,193,754	��		—		1,193,754
Interest Rate Swap Contracts*		—			1,796,813			—		1,796,813
Total Return Swap Contracts*		—			3,742,233			—		3,742,233
Total Assets	$	—		$	374,012,242		$	—	$	374,012,242
LIABILITIES
Credit Default Swap Contracts*	$	—		$	(6,315,054	)	$	—	$	(6,315,054	)
Total Return Swap Contracts*		—			(3,575	)		—		(3,575	)
Futures Contracts*		(977,618	)		—			—		(977,618	)
Total Liabilities	$	(977,618	)	$	(6,318,629	)	$	—	$	(7,296,247	)
*   Derivative instruments, including futures, forward foreign currency exchange, interest rate swap and total return swap contracts, are valued at the unrealized appreciation (depreciation) on the instrument. Credit default swap contracts are reported at market value.

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

There were no Level 3 securities held during the period.

AQR Funds Annual Report December 2011 179

Notes to Financial Statements December 31, 2011

AQR MULTI-STRATEGY ALTERNATIVE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	3,946,660		$	—		$	—	$	3,946,660
Convertible Preferred Stock†		1,401,587			—			—		1,401,587
Corporate Bonds†		—			43,021,344			—		43,021,344
Convertible Bonds†		—			65,080,867			—		65,080,867
Futures Contracts*		909,964			—			—		909,964
Total Return Swap Contracts*		—			188,631			—		188,631
Total Return Basket Swaps*		—			740,811			—		740,811
Total Assets	$	6,258,211		$	109,031,653		$	—	$	115,289,864
LIABILITIES
Common Stocks (Sold Short)†	$	(63,666,436	)	$	—		$	—	$	(63,666,436	)
Forward Foreign Currency Exchange Contracts*		—			(622,538	)		—		(622,538	)
Credit Default Swaps Contracts*		—			(198,414	)		—		(198,414	)
Total Return Swap Contracts*		—			(177,315	)		—		(177,315	)
Total Return Basket Swaps*		—			(108,302	)		—		(108,302	)
Total Liabilities	$	(63,666,436	)	$	(1,106,569	)	$	—	$	(64,773,005	)
*   Derivative instruments, including futures, total return swap, equity basket swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) on the instrument. Credit default swap contracts are reported at market value. † Please refer to the Schedule of Investments to view securities segregated by industry type.

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

There were no Level 3 securities held during the period.

AQR MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	301,189,647	$	—	$	—	$	301,189,647
Money Market Funds		—		9,163,288		—		9,163,288
Futures Contracts*		38,748		—		—		38,748
Total Assets	$	301,228,395	$	9,163,288	$	—	$	310,391,683
*   Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) on the instrument. † Please refer to the Schedule of Investments to view securities segregated by industry type.

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

There were no Level 3 securities held during the period.

180 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

AQR SMALL CAP MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	100,369,231	$	—	$	—	$	100,369,231
Warrants		—		—		—		—
Rights†		—		—		—		—
Money Market Funds		—		2,213,175		—		2,213,175
Futures Contracts*		16,188		—		—		16,188
Total Assets	$	100,385,419	$	2,213,175	$	—	$	102,598,594
*   Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) on the instrument. † Please refer to the Schedule of Investments to view securities segregated by industry type.

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

AQR INTERNATIONAL MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	12,459,958	$	63,615,188	$	1,073	$	76,076,219
Preferred Stocks†		—		73,347		—		73,347
Exchange Traded Funds		558,253		—		—		558,253
Money Market Funds		—		2,154,873		—		2,154,873
Total Assets	$	13,018,211	$	65,843,408	$	1,073	$	78,862,692
† Please refer to the Schedule of Investments to view securities segregated by country.

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

AQR INTERNATIONAL MOMENTUM FUND	COMMON STOCKS
Balance as of December 31, 2010	$	—
Accrued discounts/(premiums)		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		1,073
Purchases		—
Sales		—
Transfers in to Level 3		—
Transfers out of Level 3		—
Balance as of December 31, 2011	$	1,073

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

New Accounting Pronouncement

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

AQR Funds Annual Report December 2011 181

Notes to Financial Statements December 31, 2011

6. Investment Transactions

During the period ended December 31, 2011, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Global Equity Fund	$	229,974,407	$	226,925,406	$	—	$	—
AQR International Equity Fund		344,717,605		254,808,475		—		—
AQR Diversified Arbitrage Fund		5,234,741,675		4,184,909,979		1,993,708,778		1,574,289,246
AQR Managed Futures Strategy Fund		—		—		—		—
AQR Risk Parity Fund		185,826,682		48,026,289		—		—
AQR Multi-Strategy Alternative Fund		117,176,432		3,082,025		82,330,240		17,646,682
AQR Momentum Fund		563,203,753		368,966,924		—		—
AQR Small Cap Momentum Fund		155,300,359		104,111,867		—		—
AQR International Momentum Fund		182,626,476		151,485,903		—		—

The AQR Risk Parity Fund had purchases and sales of long-term U.S. Government obligations of $75,166,010 and $19,869,106, respectively.

7. Derivative Instruments and Hedging Activities

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The effect of such derivative instruments on the Funds’ financial position and financial performance as reflected in the Statements of Assets and Liabilities and Statements of Operations for the period ended December 31, 2011 are as follows:

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Global Equity Fund		$2,556,092		$—		$—		$—		$248,595		$104,972		$—
AQR International Equity Fund		4,719,402		—		—		—		673,260		819,294		—
AQR Diversified Arbitrage Fund		—		—		—		10,991		754,287		—		—
AQR Managed Futures Strategy Fund		3,084,431		301,473		—		—		608,889		—		—
AQR Risk Parity Fund		746,884		82,680		—		—		179,550		48,168		—
AQR Multi-Strategy Alternative Fund		763,431		740,971		—		—		322,141		207,082		—
AQR Momentum Fund		38,748		—		—		—		—		—		—
AQR Small Cap Momentum Fund		16,188		—		—		—		—		—		—
AQR International Momentum Fund		—		—		—		—		—		—		—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—		—		1,829,949		—		—		—		2,005,746
AQR International Equity Fund		—		—		2,730,797		—		—		—		3,233,445
AQR Diversified Arbitrage Fund		—		—		1,369,086		—		—		—		429,119
AQR Managed Futures Strategy Fund		—		—		27,470,018		—		—		—		18,933,280
AQR Risk Parity Fund		—		—		1,574,383		—		—		—		380,629
AQR Multi-Strategy Alternative Fund		—		—		1,583,501		—		—		—		2,206,039
AQR International Momentum Fund		—		—		—		—		—		—		—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		—		—		433,173		—		—
AQR Managed Futures Strategy Fund		9,840,409		1,279,338		—		—		912,927		—		—
AQR Risk Parity Fund		20,202		7,369,562		—		—		—		1,865,028		—
AQR Multi-Strategy Alternative Fund		398,638		245,686		—		—		154,919		57,055		—

182 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		$—		$10,348,073		$—		$—		$—		$—		$—
AQR Risk Parity Fund		—		1,283,450		—		—		—		7,598,504		—
AQR Multi-Strategy Alternative Fund		—		—		—		—		—		198,414		—
Commodity Exposure:
AQR Managed Futures Strategy Fund		19,201,755		1,263,878		—		—		10,858,296		3,671,844		—
AQR Risk Parity Fund		1,420,148		—		—		—		2,985,302		3,575		—
AQR Multi-Strategy Alternative Fund		1,119,975		3,187		—		—		895,020		81,882		—
Netting:
AQR Global Equity Fund		(248,595)		—		(1,829,949)		—		(248,595)		—		(1,829,949)
AQR International Equity Fund		(673,260)		—		(2,730,797)		—		(673,260)		—		(2,730,797)
AQR Diversified Arbitrage Fund		—		—		(429,119)		—		—		—		(429,119)
AQR Managed Futures Strategy Fund		(12,380,112)		(2,844,689)		(18,933,280)		—		(12,380,112)		(2,844,689)		(18,933,280)
AQR Risk Parity Fund		(2,187,234)		(8,735,692)		(380,629)		—		(2,187,234)		(8,735,692)		(380,629)
AQR Multi-Strategy Alternative Fund		(1,372,080)		(544,433)		(1,583,501)		—		(1,372,080)		(544,433)		(1,583,501)
AQR Momentum Fund		—		—		—		—		—		—		—
AQR Small Cap Momentum Fund		—		—		—		—		—		—		—
AQR International Momentum Fund		—		—		—		—		—		—		—
Net Fair Value of Derivative Contracts:
AQR Global Equity Fund		2,307,497		—		—		—		—		104,972		175,797
AQR International Equity Fund		4,046,142		—		—		—		—		819,294		502,648
AQR Diversified Arbitrage Fund		—		10,348,073		939,967		10,991		1,187,460		—		—
AQR Managed Futures Strategy Fund		19,746,483		—		8,536,738		—		—		827,155		—
AQR Risk Parity Fund		—		—		1,193,754		—		977,618		779,583		—
AQR Multi-Strategy Alternative Fund		909,964		445,411		—		—		—		—		622,538
AQR Momentum Fund		38,748		—		—		—		—		—		—
AQR Small Cap Momentum Fund		16,188		—		—		—		—		—		—
AQR International Momentum Fund		—		—		—		—		—		—		—

The following is the effect of Derivative Instruments on the Statements of Operations for the period ended December 31, 2011:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS								NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS		SWAPS AND SWAPS ON FUTURES CONTRACTS*		FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS		SWAPS AND SWAPS ON FUTURES CONTRACTS*		FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
Equity Risk Exposure:
AQR Global Equity Fund		$(9,506,900)		$6,655,849		$—		$—		$2,875,365		$(598,500)		$—		$—
AQR International Equity Fund		(16,835,104)		4,549,756		—		—		5,304,818		(1,259,017)		—		—
AQR Diversified Arbitrage Fund		(4,553,964)		—		—		3,905,864		1,351,686		—		—		272,061
AQR Managed Futures Strategy Fund		(85,984,073)		(5,225,489)		—		—		(270,332)		(968,712)		—		—
AQR Risk Parity Fund		(4,702,570)		(943,426)		—		—		499,656		143,905		—		—
AQR Multi-Strategy Alternative Fund		(46,840)		(1,094,381)		—		—		441,290		533,889		—		—
AQR Momentum Fund		(644,981)		—		—		—		40,182		—		—		—
AQR Small Cap Momentum Fund		(522,699)		—		—		—		27,497		—		—		—
AQR International Momentum Fund		—		7,848		—		—		—		(72,399)		—		—

AQR Funds Annual Report December 2011 183

Notes to Financial Statements December 31, 2011

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS								NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS		SWAPS AND SWAPS ON FUTURES CONTRACTS*		FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS		SWAPS AND SWAPS ON FUTURES CONTRACTS*		FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		$—		$—		$(7,081,866)		$—		$—		$—		$(2,466,542)		$—
AQR International Equity Fund		—		—		(10,271,626)		—		—		—		(5,071,763)		—
AQR Diversified Arbitrage Fund		—		—		(1,018,934)		—		—		—		1,226,432		—
AQR Managed Futures Strategy Fund		—		—		(54,819,534)		—		(166,314)		—		2,289,329		—
AQR Risk Parity Fund		—		—		728,764		—		—		—		1,148,132		—
AQR Multi-Strategy Alternative Fund		—		—		(3,663,069)		—		—		—		(622,538)		—
AQR International Momentum Fund		—		—		(260,164)		—		—		—		(10,442)		—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		(6,516,651)		—		—		—		(1,993,199)		—		—		—
AQR Managed Futures Strategy Fund		88,732,302		9,360,378		—		—		8,653,428		1,339,924		—		—
AQR Risk Parity Fund		501,359		10,197,689		—		—		14,084		5,614,131		—		—
AQR Multi-Strategy Alternative Fund		1,342,690		19,951		—		—		243,719		188,631		—		—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		4,520,901		—		—		—		(1,540,741)		—		—
AQR Risk Parity Fund		—		(3,795,375)		—		—		—		2,260,474		—		—
AQR Multi-Strategy Alternative Fund		—		(94,195)		—		—		—		55,043		—		—
Commodity Exposure:
AQR Managed Futures Strategy Fund		(33,054,440)		4,669,543		—		—		742,544		(4,475,693)		—		—
AQR Risk Parity Fund		(2,640,972)		(33,790)		—		—		(1,851,536)		(3,575)		—		—
AQR Multi-Strategy Alternative Fund		104,460		54,526		—		—		224,955		(78,695)		—		—

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

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

As of December 31, 2011, the following Funds had net liability positions:

FUND	DERIVATIVES IN NET LIABILITY POSITION		COLLATERAL POSTED
AQR Risk Parity Fund		$(563,447)		$27,879,156

For the period ended December 31, 2011, the quarterly average values of the derivatives held by the Funds were as follows:

FUND	SWAP CONTRACTS (NOTIONAL VALUE)		FUTURES CONTRACTS		WRITTEN OPTION CONTRACTS		FOREIGN FORWARD CURRENCY CONTRACTS
AQR Global Equity Fund	$	23,184,431	$	153,391,696	$	—	$	352,254,451
AQR International Equity Fund		27,901,287		210,452,029		—		537,383,739

184 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

FUND	SWAP CONTRACTS (NOTIONAL VALUE)*		FUTURES CONTRACTS*		WRITTEN OPTION CONTRACTS*		FOREIGN FORWARD CURRENCY CONTRACTS*
AQR Diversified Arbitrage Fund	$	137,575,000	$	365,382,983	$	274,416	$	110,915,121
AQR Managed Futures Strategy Fund		690,962,454		5,398,659,991		—		4,024,009,764
AQR Risk Parity Fund		526,979,635		103,812,192		—		128,175,908
AQR Multi-Strategy Alternative Fund**		23,920,228		187,825,289				132,151,064
AQR Momentum Fund		—		2,519,156		—		—
AQR Small Cap Momentum Fund		—		993,378		—		—
AQR International Momentum Fund		110,997		—		—		777,453

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

** For the period July 8, 2011 (commencement of operations) to December 31, 2011.

The Funds’ derivative contracts held at December 31, 2011, are not accounted for as hedging instruments under GAAP.

8. Investment Advisory and Other Agreements

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

FUND	RATIO
AQR Global Equity Fund		0.40	%
AQR International Equity Fund		0.45
AQR Diversified Arbitrage Fund		1.00
AQR Managed Futures Strategy Fund		1.05
AQR Risk Parity Fund		0.75	*
AQR Multi-Strategy Alternative Fund		1.85	**
AQR Momentum Fund		0.25
AQR Small Cap Momentum Fund		0.35
AQR International Momentum Fund		0.35

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

** The AQR Multi-Strategy Alternative Fund Advisory Fee is based on the following two tier structure. The first tier charges 1.85% on the first $1 billion dollars of net assets and the second tier charges 1.80% on net assets in excess of $1 billion dollars

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through May 1, 2012 (May 1, 2013 for AQR Multi-Strategy Alternative Fund). 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	RATIO
AQR Global Equity Fund — Class I		0.90	%
AQR Global Equity Fund — Class N		1.20
AQR International Equity Fund — Class I		0.95

AQR Funds Annual Report December 2011 185

Notes to Financial Statements December 31, 2011

FUND CLASS	RATIO
AQR International Equity Fund — Class N		1.25	%
AQR Diversified Arbitrage Fund — Class I		1.20
AQR Diversified Arbitrage Fund — Class N		1.50
AQR Managed Futures Strategy Fund — Class I		1.25
AQR Managed Futures Strategy Fund — Class N		1.50
AQR Risk Parity Fund — Class I		0.95
AQR Risk Parity Fund — Class N		1.20
AQR Multi-Strategy Alternative Fund — Class I		1.98
AQR Multi-Strategy Alternative Fund — Class N		2.23
AQR Momentum Fund — Class L		0.49
AQR Small Cap Momentum Fund — Class L		0.65
AQR International Momentum Fund — Class L		0.65

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

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

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios 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 December 31, 2011, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at December 31, 2011 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED DECEMBER 31, 2011		TOTAL POTENTIAL RECOUPMENT AMOUNT		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2012		2013			2014
AQR GLOBAL EQUITY FUND
Class I	$	30,212	$	30,212	$	—	$	—		$	30,212
Class N		31,920		31,920		—		—			31,920
Class Y		—		287,811		—		287,811	**		—
Totals	$	62,132	$	349,943	$	—	$	287,811		$	62,132

186 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED DECEMBER 31, 2011		TOTAL POTENTIAL RECOUPMENT AMOUNT		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2012			2013			2014
AQR INTERNATIONAL EQUITY FUND
Class I	$	—	$	68,908	$	8,330		$	60,578		$	—
Class N		11,477		32,597		1,375			19,745			11,477
Class Y		—		488,290		242,140	*		246,150	**		—
Totals	$	11,477	$	589,795	$	251,845		$	326,473		$	11,477
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	1,027,719	$	1,459,622	$	302,711	*	$	129,192		$	1,027,719
Class N		143,153		452,274		202,927			106,194			143,153
Totals	$	1,170,872	$	1,911,896	$	505,638		$	235,386		$	1,170,872
AQR MANAGED FUTURES STRATEGY FUND
Class I	$	430,511	$	474,078	$	—		$	43,567		$	430,511
Class N		307,475		360,458		—			52,983			307,475
Totals	$	737,986	$	834,536	$	—		$	96,550		$	737,986
AQR RISK PARITY FUND
Class I	$	145,154	$	214,135	$	—		$	68,981		$	145,154
Class N		96,564		161,166		—			64,602			96,564
Totals	$	241,718	$	375,301	$	—		$	133,583		$	241,718
AQR MULTI-STRATEGY ALTERNATIVE FUND
Class I	$	322,982	$	322,982	$	—		$	—		$	322,982
Class N		59,491		59,491		—			—			59,491
Totals	$	382,473	$	382,473	$	—		$	—		$	382,473
AQR MOMENTUM FUND
Class L	$	418,356	$	708,674	$	125,259		$	165,059		$	418,356
AQR SMALL CAP MOMENTUM FUND
Class L	$	171,630	$	464,795	$	124,592		$	168,573		$	171,630
AQR INTERNATIONAL MOMENTUM FUND
Class L	$	230,607	$	618,333	$	121,539		$	266,187		$	230,607

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

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

AQR Funds Annual Report December 2011 187

Notes to Financial Statements December 31, 2011

Pursuant to the Sub-Advisory Agreement between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 1.00% and 0.35% of the average daily net assets for AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.

A service provider contributed capital in the amount of $354,026 into the AQR Risk Parity Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%.

The Adviser contributed capital in the amount of $208,438 into the AQR Multi-Strategy Alternative 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%.

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

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor. Fees incurred by the Funds for sub-transfer agency services for the period ended December 31, 2011, were as follows:

FUND CLASS	AMOUNT
AQR Global Equity Fund — Class I	$	472
AQR Global Equity Fund — Class N		504
AQR International Equity Fund — Class I		60,809
AQR International Equity Fund — Class N		100
AQR Diversified Arbitrage Fund — Class I		1,430,848
AQR Diversified Arbitrage Fund — Class N		499,366
AQR Managed Futures Strategy Fund — Class I		780,857
AQR Managed Futures Strategy Fund — Class N		434,918
AQR Risk Parity Fund — Class I		55,159
AQR Risk Parity Fund — Class N		35,442
AQR Multi-Strategy Alternative Fund — Class I		34,426
AQR Multi-Strategy Alternative Fund — Class N		7,781
AQR Momentum Fund — Class L		262,995
AQR Small Cap Momentum Fund — Class L		79,012
AQR International Momentum Fund — Class L		72,147

9. Distribution and Service Plans

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

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

188 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

customers that are shareholders of the Funds. Fees incurred by the Funds under the Plan and/or the shareholder services agreement for the period ended December 31, 2011, were as follows:

FUND CLASS	AMOUNT
AQR Global Equity Fund — Class I	$	8,479
AQR Global Equity Fund — Class N		5,721
AQR International Equity Fund — Class I		389,888
AQR International Equity Fund — Class N		4,809
AQR Momentum Fund — Class L		353,125
AQR Small Cap Momentum Fund — Class L		132,225
AQR International Momentum Fund — Class L		112,356

10. Purchases and Redemption of Shares

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

11. In-Kind Transactions

Effective January 1, 2010, the AQR Global Equity Fund acquired substantially all of the assets and liabilities of three privately offered funds (“Private Funds”) managed by the Adviser in exchange for Class Y shares of the Fund. This transaction was structured to qualify as a tax-free reorganization under the Code. The investment portfolios of the Private Funds, with a fair value of $369,372,153 and identified cost of $335,420,940 as of the date of the reorganization, was the principal asset acquired by the Fund. For financial statement purposes, assets received and shares issued by the Fund were recorded at fair value, and the Fund recorded the cost of such investments at their historical cost as recorded by the Private Funds. The cost basis of the investments received from the Private Funds was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable for tax purposes. The net assets of the Private Funds at the date of acquisition were $370,340,997, including unrealized appreciation of $33,351,345. The net assets of the AQR Global Equity Fund immediately after the reorganization was $370,340,997. The Fund had no net assets or liabilities prior to the reorganization.

12. Risks and Concentrations

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

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

Swap agreements involve, to varying degrees, elements of market risk (generally equity price risk related to equity index swap agreements, interest rate risk related to bond swap agreements and commodity risk related to synthetic swap agreements utilizing futures) and exposure to loss in excess of the amount reflected on the Statements of Assets and

AQR Funds Annual Report December 2011 189

Notes to Financial Statements December 31, 2011

Liabilities. The notional amounts, which are disclosed as of period end in the swap tables included in the Schedules of Investments, reflect the current investment exposure each Fund has under the swap agreement which may exceed the net asset value of the Fund.

The Funds are not limited in the percentage of its assets that may be invested in convertible securities. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, the convertible security’s market value tends to reflect the market price of the common stock of the issuing company when that stock price is greater than the convertible’s “conversion price,” which is the predetermined price at which the convertible security could be exchanged for the associated stock.

Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Credit risk is the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status. The Funds’ investments in convertible and nonconvertible debt securities involve credit risk. However, in general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends.

As of December 31, 2011, a substantial portion of the AQR Global Equity, AQR International Equity and AQR International Momentum Funds’ net assets consisted of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of and investment income from such securities.

As of December 31, 2011, the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund pledged a substantial portion of their assets for securities sold short to JP Morgan Chase Bank N.A.

13. Line of Credit

The Trust (excluding the AQR Managed Futures Strategy Fund and AQR Risk Parity Fund) has secured a committed, $150,000,000 line of credit with JPMorgan Chase Bank, N.A. Borrowings, if any, under this arrangement bear interest at the Federal Funds Rate plus the sum of (a) 1.5% per annum plus (b) if the LIBOR Reference Rate exceeds the Federal Funds Rate, the amount of such excess, which shall be paid quarterly. The maximum loan amount outstanding per Fund will be the lesser of an amount which does not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and does not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. This line of credit expires on March 16, 2012. It is Management’s intention to enter into an agreement with similar terms through 2012. As of and for the period ended December 31, 2011, the Funds did not have any outstanding borrowings under this agreement.

14. Principal Ownership

As of December 31, 2011, the Funds had individual shareholder accounts, owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF SHAREHOLDERS		TOTAL PERCENTAGE INTEREST HELD
AQR Global Equity Fund		3		92.54%
AQR International Equity Fund		4		68.93%
AQR Risk Parity Fund		3		30.26%

190 AQR Funds Annual Report December 2011

Notes to Financial Statements December 31, 2011

FUND	NUMBER OF SHAREHOLDERS		TOTAL PERCENTAGE INTEREST HELD
AQR Multi-Strategy Alternative Fund		1		5.38%
AQR Momentum Fund		1		27.22%

15. Subsequent Events

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

AQR Funds Annual Report December 2011 191

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of AQR Funds:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations, of cash flows and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of AQR Global Equity Fund, AQR International Equity Fund, AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund and AQR International Momentum Fund (nine of the portfolios constituting AQR Funds, hereinafter referred to as the “Funds”) at December 31, 2011, and the results of each of their operations, the changes in each of their net assets, the cash flows of AQR Diversified Arbitrage Fund and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2011 by correspondence with the custodian and brokers, and the application of alternative procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

February 27, 2012

192 AQR Funds Annual Report December 2011

Other Federal Tax Information (Unaudited)

For the year ended December 31, 2011, certain dividends paid by the Funds may be subject to a maximum tax of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate the maximum allowable as taxed at the 15% rate. The following represents the percentage of ordinary income distributions treated as qualifying dividends:

FUND	PERCENTAGE
AQR Global Equity Fund		86.67%
AQR International Equity Fund		63.59%
AQR Diversified Arbitrage Fund		17.46%
AQR Multi-Strategy Alternative Fund		2.66%
AQR Momentum Fund		100.00%
AQR Small Cap Momentum Fund		87.10%
AQR International Momentum Fund		65.20%

For the taxable year ended December 31, 2011, the following percentages of income dividends paid by the Fund qualify for the 70% dividends received deductions available to corporations:

FUND	PERCENTAGE
AQR Global Equity Fund		31.98%
AQR Diversified Arbitrage Fund		13.45%
AQR Momentum Fund		91.29%
AQR Small Cap Momentum Fund		34.52%

The Funds designate the following amounts, or the maximum allowable under the Internal Revenue Code, as long term capital gain distributions qualifying for the maximum 15% income tax rate for individuals:

FUND	TOTAL
AQR Global Equity Fund	$	1,505,593
AQR International Equity Fund	$	2,328,515
AQR Managed Futures Strategy Fund	$	342,818
AQR Risk Parity Fund	$	87,996
AQR Momentum Fund	$	231,091
AQR Small Cap Momentum Fund	$	266,614

Certain Funds have derived net income from sources within foreign countries. As of December 31, 2011, the foreign source income for each Fund was as follows:

FUND	TOTAL		PER SHARE
AQR International Equity Fund	$	16,065,241	$	0.2919
AQR International Momentum Fund	$	2,211,074	$	0.9426

Certain Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. As of December 31, 2011, the foreign tax credit for each Fund was as follows:

FUND	TOTAL		PER SHARE
AQR International Equity Fund	$	303,303	$	0.0055
AQR International Momentum Fund	$	90,731	$	0.0130

AQR Funds Annual Report December 2011 193

Fund Expense Examples (Unaudited)

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

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ended 12/31/11” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Hypothetical Example for Comparison Purposes

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

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

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/11		ANNUALIZED EXPENSE RATIO FOR THE PERIOD		EXPENSES PAID FOR THE PERIOD ENDING 12/31/11
AQR Global Equity Fund
Class I
Actual Return		$1,000.00		$   874.20		0.95%		$4.49
Hypothetical Return		$1,000.00		$1,020.42		0.95%		$4.84
Class N
Actual Return		$1,000.00		$   871.70		1.26%		$5.94
Hypothetical Return		$1,000.00		$1,018.85		1.26%		$6.41
Class Y
Actual Return		$1,000.00		$   875.70		0.52%		$2.46
Hypothetical Return		$1,000.00		$1,022.58		0.52%		$2.65
AQR International Equity Fund
Class I
Actual Return		$1,000.00		$   795.20		0.93%		$4.21
Hypothetical Return		$1,000.00		$1,020.52		0.93%		$4.74
Class N
Actual Return		$1,000.00		$   794.20		1.33%		$6.01
Hypothetical Return		$1,000.00		$1,018.50		1.33%		$6.77
Class Y
Actual Return		$1,000.00		$   797.70		0.57%		$2.58
Hypothetical Return		$1,000.00		$1,022.33		0.57%		$2.91

194 AQR Funds Annual Report December 2011

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE			ENDING ACCOUNT VALUE 12/31/11		ANNUALIZED EXPENSE RATIO FOR THE PERIOD		EXPENSES PAID FOR THE PERIOD ENDING 12/31/11
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00			$1,002.70		1.21%		$6.11
Hypothetical Return		$1,000.00			$1,019.11		1.21%		$6.16
Class N
Actual Return		$1,000.00			$1,001.40		1.51%		$7.62
Hypothetical Return		$1,000.00			$1,017.59		1.51%		$7.68
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00			$   973.10		1.25%		$6.22
Hypothetical Return		$1,000.00			$1,018.90		1.25%		$6.36
Class N
Actual Return		$1,000.00			$   972.00		1.50%		$7.46
Hypothetical Return		$1,000.00	��		$1,017.64		1.50%		$7.63
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00			$   993.60		0.95%		$4.77
Hypothetical Return		$1,000.00			$1,020.42		0.95%		$4.84
Class N
Actual Return		$1,000.00			$   992.30		1.20%		$6.03
Hypothetical Return		$1,000.00			$1,019.16		1.20%		$6.11
AQR Multi-Strategy Alternative Fund
Class I (1)		07/18/11
Actual Return		$1,000.00			$   974.30		1.98%		$9.85	(a)
Hypothetical Return		$1,000.00			$1,015.22		1.98%		$10.06
Class N (1)		07/18/11
Actual Return		$1,000.00			$   972.70		2.23%		$11.09	(a)
Hypothetical Return		$1,000.00			$1,013.96		2.23%		$11.32
AQR Momentum Fund
Class L
Actual Return		$1,000.00			$   917.10		0.49%		$2.37
Hypothetical Return		$1,000.00			$1,022.74		0.49%		$2.50
AQR Small Cap Momentum Fund
Class L
Actual Return		$1,000.00			$   898.20		0.65%		$3.11
Hypothetical Return		$1,000.00			$1,021.93		0.65%		$3.31
AQR International Momentum Fund
Class L
Actual Return		$1,000.00			$   814.00		0.65%		$2.97
Hypothetical Return		$1,000.00			$1,021.93		0.65%		$3.31

(1) Commencement of operations was July 18, 2011,

(a) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 167/365 (to reflect the period since commencement of operations)

AQR Funds Annual Report December 2011 195

Fund Expense Examples (Unaudited)

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the one-half year period unless stated otherwise).

196 AQR Funds Annual Report December 2011

Trustees and Officers (Unaudited) December 31, 2011

Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 3rd Floor, Greenwich CT 06830.

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Disinterested Trustees2
Timothy K. Armour, 1948	Chairman of the Board since 2010 and Trustee, since 2008	Interim Chief Executive Officer of Janus Capital Group (2009 to 2010); Managing Director, Morningstar Inc. (2000 to 2008).	14	Janus Capital Group (since 2008); ETF Securities (since 2010); AARP Services, Inc. (since 2008)
L. Joe Moravy, 1950	Trustee, since 2008	Managing Director, Finance Scholars Group (since 2010) (consulting firm); Managing Director, LJM Advisory (2008-2010) (consulting firm); Partner, Ernst & Young LLP (2002 to 2008).	14	N/A
William L. Atwell, 1950	Trustee, since 2011	President (International), CIGNA (since 2008) (financial services); Managing Director, Atwell Associates LLC (2006 to 2008) (financial services)	14	USI Holdings Corporation (2006 to 2007)
Gregg D. Behrens, 1952	Trustee, since 2011	Governor, Iowa State University Foundation (since 2004); Executive Vice President, Northern Trust Company (1980 to 2009) (financial services)	14	None
Brian Posner, 1961	Trustee, since 2011	President, Point Rider Group LLC (since 2008) (consulting and advisory services); President and Chief Executive Officer, ClearBridge Advisors LLC (2005 to 2008) (financial services)	14	Biogen Idec (since 2008); Arch Capital Group (since 2010); RiverPark Funds (since 2010)
Interested Trustee3
David Kabiller, 1963	Trustee, since 2010	Founding Principal, AQR Capital Management, LLC (since 1998)	14	N/A
Officers
Marco Hanig, 1958	Chief Executive Officer, since 2009; President, since 2008	Vice President, AQR Capital Management, LLC (since 2008); prior thereto, Principal, William Blair & Company, L.L.C. (1999 to 2007).	N/A	N/A

AQR Funds Annual Report December 2011 197

Trustees and Officers (Unaudited) December 31, 2011

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Abdon Bolivar, 1965	Chief Compliance Officer, since 2008	Chief Compliance Officer, AQR Capital Management, LLC (since 2002).	N/A	N/A
Nir Messafi, 1975	Chief Financial Officer, since 2010; Vice President, since 2009; Treasurer from 2009 to 2010	Vice President, AQR Capital Management, LLC (since 2003).	N/A	N/A
Aaron Masek, 1974	Vice President and Treasurer, since 2010	Vice President, AQR Capital Management, LLC (since 2010); prior thereto Audit Manager, Cohen Fund Audit Services, Ltd. (2008 to 2009); prior thereto Senior Vice President, Citi Fund Services Ohio, Inc. (1996 to 2008)	N/A	N/A
Bradley Asness, 1969	Vice President and Chief Legal Officer, since 2009	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 1998).	N/A	N/A
Brendan R. Kalb, 1975	Executive Vice President, since 2009; Secretary, since 2008	General Counsel, AQR Capital Management, LLC (since 2004).	N/A	N/A
Nicole DonVito, 1979	Vice President, since 2009	Vice President, AQR Capital Management, LLC (since 2007), prior thereto, Associate, Schulte Roth & Zabel LLP (2006 to 2007); prior thereto, Associate Dewey & LeBoeuf LLP (2004 to 2006).	N/A	N/A

(1) Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust.

(2) A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act.

(3) An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller is an interested person of the Trust because of his position with the Adviser.

198 AQR Funds Annual Report December 2011

Board Approval of Investment Management Agreement (Unaudited)

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on May 18, 2011, to consider the approval of the investment management agreement (the “Investment Management Agreement”) between the Trust, on behalf of the AQR Multi-Strategy Alternative Fund (the “Fund”), and AQR Capital Management, LLC (“AQR”) and the approval of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) by and among the Trust, on behalf of the Fund, AQR and CNH Partners, LLC (“CNH” or the “Sub-Adviser”). In accordance with Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), the Board requested, reviewed, and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the Investment Management Agreement and Sub-Advisory Agreement. These materials included (a) memoranda and materials prepared by AQR, describing personnel and services to be provided to the Fund; (b) performance information for strategies and model portfolios relevant to the consideration of the Investment Management Agreement and Sub-Advisory Agreement; (c) information independently compiled and prepared by Lipper, Inc. (“Lipper”) relating to the proposed Fund’s fees and expenses; (d) a discussion of the financial statements of AQR and CNH; and (e) a discussion of the compliance programs of AQR and CNH and regulatory exam histories of each. AQR and the Sub-Advisor are referred to herein as the “Adviser,” as applicable. The Investment Management Agreement and the Sub-Advisory Agreement are referred to herein as the “Management Agreement,” as applicable.

At the in person meeting held on May 18, 2011, the Board, including the Board Members who are not “interested persons” as defined in the 1940 Act (the “Independent Board Members”), unanimously approved the Investment Management Agreement and Sub-Advisory Agreement for an initial two-year period. The Board considered all factors it believed relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Fund; (d) economies of scale; and (e) other factors.

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

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

The nature, extent and quality of the services to be provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the Fund under the Management Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Fund’s investment objective, strategy and process. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the Fund, the Board Members took into account detailed discussions they had with officers of the Adviser regarding the management of the Fund’s investments in accordance with the Fund’s stated investment objective and policies and the types of transactions that would be entered into on behalf of the Fund. During these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the Adviser regarding the formulation and proposed implementation of the Fund’s investment strategy its efficacy and potential risks. The Board considered information about how portfolio managers are compensated by the Adviser.

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

Finally, the Independent Board Members had an opportunity to meet outside the presence of management in executive session separately with counsel to discuss and consider the Management Agreement. Based on the presentations at the May 18, 2011, Board meeting, the Board concluded that the services to be provided to the Fund by AQR pursuant to the Management Agreement were likely to be of a high quality and would benefit the Fund.

AQR Funds Annual Report December 2011 199

Board Approval of Investment Management Agreement (Unaudited)

Investment Performance of the Adviser’s Portfolio Management. Because the Fund is newly formed, the Board did not consider the investment performance of the Fund. The Board based its review of the Adviser’s performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Fund. The Board reviewed performance information for strategies and model portfolios similar to that of the Fund. The Board also considered the experience, resources and strengths of the Adviser and its affiliates with respect to the investment strategies proposed for the Fund. Based on these factors, the Board Members determined that AQR would be an appropriate investment adviser for the Fund and that CNH would be an appropriate sub-adviser for the Fund.

The Management Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the Fund. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Fund to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the Fund.

To assist in this analysis, the Board received a report independently prepared by Lipper. The report showed comparative fee information for the Fund’s expense group and expense universe, including expense comparisons of contractual management fees and actual total operating expenses. The Board noted that breakpoints are part of the Fund’s proposed management fee rate and that the proposed management fee rate would decrease as the Fund increases in size.

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

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

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

Economies of Scale. Because the Fund is newly formed and had not commenced operations as of May 18, 2011, and the eventual aggregate amount of Fund assets was uncertain, the Adviser was not able to provide the Board members with specific information concerning the extent to which economies of scale would be realized as the Fund grows and whether fee levels would reflect such economies of scale, if any. The Board noted that the Fund does have breakpoints in its management fee that would allow investors to benefit directly in the form of lower fees as Fund assets grow. However, the Adviser presented information to show that the fees were set at a level that is competitive relative to funds of a larger scale. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations.

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

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the proposed management fee rates and projected total expense ratios are reasonable in relation to the services to be provided by the Adviser to the Fund, as well as the costs incurred and

200 AQR Funds Annual Report December 2011

Board Approval of Investment Management Agreement (Unaudited)

benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar, actual or anticipated size. As a result, all of the Board Members, including the Independent Board Members, approved the Investment Management Agreement and the Sub-Advisory Agreement with respect to the Fund. The Independent Board Members were represented by counsel who assisted them in their deliberations.

AQR Funds Annual Report December 2011 201

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

Sub-Adviser

CNH Partners, LLC

Two Greenwich Plaza, 1st Floor,

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

J.P. Morgan Investor Services Co.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

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

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

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

AQR FUNDS P.O. Box 2248 Denver, CO 80201-2248 1-866-290-2688 www.aqrfunds.com

Item 2. Code of Ethics.

a). As of the end of the period, December 31, 2011, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12 (a)(1).

b). Not Applicable.

c). There has been no amendment to the Registrant’s Code of Ethics during the fiscal year ending December 31, 2011 (“Reporting Period”).

d). Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a). The Registrant’s Board of Trustees has determined that its Audit Committee has one “audit committee financial expert”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy, the Registrant’s audit committee financial expert, is “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the years ended December 31, 2010 and December 31, 2011 were:

	2010		2011
Audit Fees (a)	$	311,000	$	655,000
Audit Related Fees (b)	$	55,000	$	65,000
Tax Fees (c)	$	73,000	$	86,450
All Other Fees (d)		0	$	0
Total:	$	439,000	$	741,450

(a) Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b) Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of audit services in connection with December 31, 2010 and December 31, 2011 annual financial statements. The audit related services provided by PricewaterhouseCoopers LLP in connection with the December 31, 2010 annual financial statements, include the procedures related to the service provider conversion for 7 funds and procedures related to the AQR Global Equity Fund conversion from a privately held fund to a registered investment company. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2011 related to services provided in connection with the review of the June 30, 2011 semi-annual financial statements.

(c) Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP related to the review of the Registrant’s federal and state income tax returns and excise tax calculations.

(d) All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e) Audit Committee Pre-approval Policies and Procedures:

(i) Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.

(f) Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2010 and December 31, 2011: $692,420 and $1,072,168.

(h) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy and Brian S. Posner, are members of Audit Committee.

(b) Not Applicable.

Item 6. Investments

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

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

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a)(1) The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.

(b) Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

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

AQR Funds
By:	/s/ Marco Hanig
	Marco Hanig,
	Principal Executive Officer
	March 7, 2012

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

By:	/s/ Marco Hanig
	Marco Hanig,
	Principal Executive Officer
Date: March 7, 2012

By:	/s/ Nir Messafi
	Nir Messafi,
	Principal Financial Officer
Date: March 7, 2012