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, 4^th Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

Bradley D. Asness, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza

4^th Floor

Greenwich, CT 06830

(Name and Address of Agent for Service)

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

Date of fiscal year end: December 31

Date of reporting period: January 1, 2016 to December 31, 2016

Item 1. Reports to Shareholders.

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

Annual Report

December 31, 2016

AQR Diversified Arbitrage Fund

AQR Equity Market Neutral Fund

AQR Global Macro Fund

AQR Long-Short Equity Fund

AQR Multi-Strategy Alternative Fund

AQR Risk-Balanced Commodities Strategy Fund

AQR Risk Parity Fund

AQR Risk Parity II HV Fund

AQR Risk Parity II MV Fund

AQR Style Premia Alternative Fund

AQR Style Premia Alternative LV Fund

Table of Contents

Shareholder Letters (unaudited)
AQR Diversified Arbitrage Fund	2
AQR Equity Market Neutral Fund	5
AQR Global Macro Fund	7
AQR Long-Short Equity Fund	10
AQR Multi-Strategy Alternative Fund	12
AQR Risk-Balanced Commodities Strategy Fund	14
AQR Risk Parity Fund	16
AQR Risk Parity II HV Fund	19
AQR Risk Parity II MV Fund	22
AQR Style Premia Alternative Fund	25
AQR Style Premia Alternative LV Fund	27
Schedule of Investments
AQR Diversified Arbitrage Fund	31
AQR Equity Market Neutral Fund	61
AQR Global Macro Fund	89
AQR Long-Short Equity Fund	103
AQR Multi-Strategy Alternative Fund	133
AQR Risk-Balanced Commodities Strategy Fund	206
AQR Risk Parity Fund	212
AQR Risk Parity II HV Fund	224
AQR Risk Parity II MV Fund	231
AQR Style Premia Alternative Fund	237
AQR Style Premia Alternative LV Fund	267
Financial Statements and Notes	296
Report of Independent Registered Public Accounting Firm	376
Other Federal Tax Information (unaudited)	377
Fund Expense Examples (unaudited)	378
Trustees and Officers (unaudited)	381
Board Approval of Investment Advisory Agreements (unaudited)	383

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Jacques Friedman

Principal

Ronen Israel

Principal

Mark Mitchell Ph.D.

Founding Principal, CNH Partners

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

The AQR Diversified Arbitrage Fund (the “Fund”) invests in merger arbitrage, convertible arbitrage, and event-driven strategies. The investment process seeks to efficiently capture a liquidity premium around corporate control and capital raising events by maintaining a diversified portfolio of corporate securities. Over the 2016 calendar year, the Fund’s Class I shares returned +7.6%, despite continued regulatory headwinds in merger arbitrage and a slow primary market in convertible bonds. As described below, the event-driven strategy performance attribution ranked highest amongst all three positively-contributing core strategies in which the Fund invests. Since its inception on January 15, 2009, the Fund’s correlation with overall equity and credit markets continues to be low. Based on monthly returns since inception through December 31, 2016, the Fund’s equity market beta (relative to the S&P 500 Total Return Index^®) is 0.06, its annualized volatility is 3.0% and its Sharpe ratio is 0.7.

Fund Description

Unlike textbook arbitrage that requires no capital and where identical securities can simultaneously be bought and sold for different prices, corporate arbitrage investments require significant capital and involve the purchase and sale of related but not identical securities at advantageous prices. For example, in merger arbitrage, the target stock can often be purchased for a price that is less than the merger consideration offered by the acquiring company. Arbitrageurs attempt to capture this difference by buying the target stock, and in the case of a stock merger, short-selling the acquirer’s stock. Similarly, in the case of convertible arbitrage, investors typically purchase a convertible bond at a price below fundamental value and hedge the risk of the underlying equity call option that is embedded in the bond by short selling the issuer’s common stock. Arbitrageurs generally profit when the prices of securities purchased increase relative to their fundamental values.

Like merger arbitrage and convertible arbitrage, the event-driven strategies employed by the Fund involve the purchase of securities around corporate events at discounts to their fundamental values. For every investment, an attempt is made to hedge the embedded systematic risk. Where there is no direct hedge for a purchased security, correlated indirect hedges are employed. For example, systematic equity market risk is hedged by shorting S&P 500 futures. Similarly, credit and interest rate risks are hedged using derivative contracts (credit default swap indices and Treasury futures). Although indirect hedges effectively mitigate systematic risk (e.g. beta) on average, they expose the Fund to basis risk – the basket of securities purchased around corporate events do not necessarily move in lockstep with the hedging instruments.

Performance Attribution

Over a long horizon, we expect arbitrage returns to have a low correlation to equity and credit markets and exceed short-term Treasury bill performance by an average of 3% to 4%. In some years, as in 2014 and 2015, arbitrage investments will fail to reach this excess return expectation. In other years, as in 2016, arbitrage strategies will generate returns that are greater than the long-run expected average. Since its inception in 2009, the Fund has averaged 2.0% above short-term Treasury bills annually, slightly below expectations for the long-term horizon. Albeit below expectations, the Fund’s performance is not surprising given the macro-economic distortions caused by record low interest rates since the financial crisis, including suppression of convertible bond issuance.

The Fund’s Class I shares +7.6% return in 2016 resulted from contributions of approximately +6.0% from event-driven investments, +1.3% from merger arbitrage, and +0.3% from convertible arbitrage. Within the event-driven strategy, each of the individual sub-strategies generated positive returns in 2016. The most profitable sub-strategy involves Special Purpose Acquisition Companies (“SPACs”). SPACs are publicly-traded private equity vehicles where sponsors raise capital via an IPO and spend the next one to two years searching for assets to be acquired using the IPO proceeds. SPAC investors have the option of maintaining an equity interest in the acquired assets or redeeming their interests for cash and a Treasury bill return. In addition to the option to swap their Treasury bill exposure for equity exposure in the acquired assets, SPAC investors that purchase shares in the IPO are typically given

AQR Funds Annual Report December 2016

2

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

warrants that become convertible into common stock should the SPAC sponsor successfully consummate an acquisition. The Fund generally does not assume risk in the post-acquisition equity and instead optimally sells its shares in the market or redeems them for cash. Warrants are typically retained and, when feasible, hedged via short positions in the underlying stocks. In 2016, a number of SPAC acquisitions were successfully consummated creating profits in both SPAC shares and SPAC warrants.

The biggest winner in the event-driven category was a negative stub value trade, namely a long position in Yahoo and a short position in Alibaba. Yahoo has been trying for a couple of years to restructure by separating its core assets from its equity ownership in Alibaba and Yahoo! Japan. Although the situation is still fluid and continues to bear downside risk, Yahoo’s restructuring has made progress and this generated positive returns for the Fund.

Merger arbitrage contributed positively to the Fund’s returns. The 1.2% contribution was broad based with the biggest contributor in the merger arbitrage sector contributing approximately 0.1% to the Fund’s 2016 return. Like 2015, the primary source of deal failure, and therefore losses, was regulatory action. The federal government took a number of steps to block mergers in 2016, including the Treasury’s alteration of inter-company lending rules to thwart Allergan’s takeover of Pfizer, the Department of Justice (“DOJ”) filing suit to block a couple of health insurance mergers, and the Federal Trade Commission (“FTC”) litigating to block Staples’ merger with Office Depot. On the positive side, deal flow continued the strength exhibited in 2015 allowing merger arbitrage portfolios to be well-diversified. As a result, positive returns from the majority of mergers that were consummated as planned more than offset negative returns that resulted from regulatory actions.

Unlike merger arbitrage, new deal flow in the convertible market remained slow in 2016. Approximately $35 billion of new convertible bonds were issued in 2016 and $42 billion matured or were redeemed. Slow growth of the convertible market that has persisted since the financial crisis is the result of historically low interest rates which keep the level of coupons on newly issued corporate debt low thereby mitigating the incentive for companies to further reduce cash coupons by including a call option in the debt contract. Although the new-issue market was not as active as we would have liked, the Federal Reserve’s December increase in short-term interest rates seems to have increased companies’ appetites to issue convertible bonds. In December, $4 billion of new convertible bonds were issued (compared to less than $1 billion in each of the prior two months) and bankers are suggesting that the pipeline for future deals is robust.

Despite the slow primary market for convertible bonds, convertible arbitrage contributed +0.3% to the Fund’s 2016 return. This positive return was driven partially by overall decrease in the discount to theoretical value (“richening”) in the convertible market – the discount of the median equity-sensitive convertible bond’s market price compared to its theoretical value decreased from 1.5% at the beginning of the year to 0% by the end of the year. Although there were bankruptcies by convertible issuers that generated losses, these were largely offset by positive events. Volatility, particularly in the energy sector, allowed frequent hedge adjustments generating significant profits for the Fund.

Looking Forward

2016 was an above average year for corporate arbitrage strategies, and although we don’t expect a repeat in 2017, the overall environment remains conducive to positive returns. In the convertible bond market, prices are not particularly cheap. However, from a macroeconomic perspective, rising interest rates will likely cause a continuation of the uptick in the primary market issuance of convertible bonds observed in December. Similarly, in merger arbitrage, spreads are relatively tight, but recent deal flow has been strong in high quality deals that are likely to complete without trouble. Regulatory risk remains in a sub-set of legacy deals, although we expect the government to be less aggressive in blocking newly announced mergers than it has been in recent years. Predicting opportunities in the event-driven strategy is more difficult. However, even if only a small fraction of the firms that have issued high yield debt over the past several years face difficulties, opportunities to make distressed investments will be plentiful. Relative to prior years where we have experienced strong headwinds in identifying opportunities for investment, we expect investment opportunities to be about average in 2017. Irrespective of where the Fund deploys capital in 2017, we will continue to hedge systematic equity, credit, and interest rate market risks, with the intention of delivering uncorrelated excess returns.¹

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

AQR Funds Annual Report December 2016

3

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR DIVERSIFIED ARBITRAGE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ADAIX		7.63%*		-0.94%		0.38%		2.08%		1/15/2009
Fund - Class N: ADANX		7.27%*		-1.17%		0.13%		1.81%		1/15/2009
Fund - Class R6: QDARX		7.64%*		na		na		-1.52%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.58%, 2.83% and 2.50%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2016 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

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

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

AQR Funds Annual Report December 2016

4

Shareholder Letter (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Dear Shareholder:

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

Since the Fund targets a beta of zero, an appropriate benchmark is U.S. cash returns, which remain at near-zero levels. In 2016, the Fund handily outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM, its benchmark, with the Class I shares returning 5.85% vs the benchmark return of 0.33% during this period.

Fund returns were driven by strong performance of our valuation, investor sentiment, and quality investment themes. In contrast, our momentum themes underperformed in 2016. Geographically, stocks in the U.S. and Japan contributed the most to overall returns, while in Canada and Hong Kong stock selection detracted most from returns. At the sector level, the stock selection strategy worked best in information technology and industrials in 2016.

The Fund ended the year with a highly diversified stock portfolio of 935 long positions and 844 short positions, including its long/short equity positions within Total Return Basket Swaps. Securities remained globally diversified with nearly 40% of the Fund invested outside of the U.S. The Fund does take small industry views. As of the end of the year, our largest sector overweights were in industrials and materials, while our largest underweights were in consumer discretionary and health care.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR EQUITY MARKET NEUTRAL FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QMNIX		5.85%		13.19%		10/7/2014
Fund - Class N: QMNNX		5.43%		12.88%		10/7/2014
Fund - Class R6: QMNRX		5.82%		13.23%		10/7/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.22%, 2.46% and 3.10%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2016

5

Shareholder Letter (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

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

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

AQR Funds Annual Report December 2016

6

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

John Liew

Founding Principal

Michael Katz

Principal

Jordan Brooks

Managing Director

David Kupersmith

Managing Director

Dear Shareholders:

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

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

Macro momentum is at the core of our investment philosophy and we also consider price momentum, value and carry indicators. This multifactor approach provides a more holistic picture of each asset’s attractiveness than trading on macro momentum alone. Macro momentum tends to drive asset positioning (long or short) in our portfolio, however the degree of agreement between macro momentum, on the one hand, and price momentum, value and carry, on the other, determines ultimate position sizing. The bottom-up portfolio construction – in which we evaluate the attractiveness of each asset across a large number of dimensions – allows us to build a highly diversified portfolio that does not depend on a few “best ideas.”

The Fund’s benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM, was up +0.33% over the course of 2016. The Fund underperformed this benchmark, with the Class I shares returning +0.02% net of fees on the year. The Fund experienced gains in fixed income (developed interest rates up +1.51%, although somewhat offset by developed bond markets which was down -0.23% and yield curve which was down -0.22%) and in equities (emerging equities up +0.61% although somewhat offset by developed equities which was down -0.32%). The Fund saw losses in currencies (developed currencies down -1.41% although somewhat offset by emerging currencies which was up +0.72%) and commodities (down -0.63%).

Equity markets broadly sold off over the month of January and into the first half of February, as oil prices continued to fall, concerns over slower growth in China and the potential of a global recession increased. Equity markets bounced off their lows as oil prices rallied and the Federal Reserve took a more dovish stance than expected at the March monetary policy meeting. Volatility returned in June leading up to the U.K.’s European Union referendum vote and equity markets sold off sharply on June 24th following a surprise “Leave” vote. The U.S. presidential election gave rise to large moves across asset classes during the fourth quarter. Developed sovereign bonds, which had already been under pressure in October due to stronger than expected economic data in the U.S. and Europe, suffered a large selloff after the surprise result of the presidential election. Ultimately, major bond markets experienced their worst quarter in decades. In contrast to the weakness seen in bond markets, developed stocks fared quite well. U.S. indexes such as the S&P500, Dow Jones Industrial Average, and Nasdaq Composite, all rose to new record highs towards the end of the year.

Developed Interest Rates

The Fund’s developed interest rates strategy was the largest contributor. Gains were concentrated in directional views, with larger positive returns seen in a long Japanese interest rate swaps position in the first and second quarters, a long U.K. interest rate swaps position in the second and third quarters and a short U.S. interest rate swaps view in the fourth quarter. The long Japanese interest rate swaps

AQR Funds Annual Report December 2016

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Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

position was driven by currency appreciation and expectations of more dovish monetary policy. The Fund’s position performed well as the Bank of Japan surprised markets on January 29^th by cutting its deposit rate into negative territory. The long U.K. interest rate swaps position was driven by lower growth and inflation forecast revisions, negative equity market momentum and positive price momentum. U.K. interest rate swaps were volatile over the second quarter, due to the changing odds of the U.K.’s June 23^rd European Union referendum vote. After U.K. voters surprised markets by voting to leave the European Union, U.K. interest rate swaps rallied sharply. The third quarter saw further gains in the long U.K. interest rate swaps position, as the Bank of England announced a larger than expected easing package at the beginning of August. The Fund was short U.S. interest rate swaps in the fourth quarter on positive equity market momentum, bearish monetary policy factors and negative price momentum. U.S. interest rate swaps sold off over the fourth quarter, weighed down by increased inflation expectations, increased expectations of meaningful fiscal stimulus under a Trump presidency and a more hawkish than expected Federal Reserve at its December monetary policy meeting.

Emerging Currencies

The emerging currencies strategy also performed well, with gains concentrated in the fourth quarter. A long position in the Brazilian real was a meaningful contributor. The Fund was long the Brazilian real on positive equity market momentum, positive growth forecast revisions, positive current account dynamics and positive price momentum. The Brazilian real performed well, as the government saw progress on reform measures. A long Russian ruble position over the fourth quarter also contributed to returns. The ruble position was supported by positive equity momentum, positive current account dynamics, attractive carry and positive price momentum. The ruble performed well, boosted by higher oil prices, a meaningful export for the country, and increased expectations of more friendly relations with the U.S. under a Trump presidency.

Developed Currencies

The developed currency strategy was the largest detractor, with losses concentrated in the fourth quarter. A long position in the Japanese yen was the largest detractor over the fourth quarter. The long position was supported by favorable current account dynamics, bullish option sentiment and attractive value. The Japanese yen sold off on improved risk sentiment after the U.S. election and diverging interest rates between the U.S. and Japan, which was aided by the Bank of Japan’s yield curve control policy. A short position in the Canadian dollar, driven by negative growth forecast revisions, negative current account dynamics and negative price momentum also saw losses. The Canadian dollar depreciated against the U.S. dollar, but outperformed the cross section, benefiting from a rally in oil prices and stronger than expected growth and employment data

Commodities

The Fund’s directional commodities strategies also detracted over the year. The largest losses were seen in the first and second quarters in the Fund’s agricultural related commodities positions. Notably, short positions in soybeans and soymeal detracted. These positions were driven by dollar appreciation, downward revisions to growth and industrial production forecasts in commodity consuming countries, unattractive carry and negative price momentum. Soybeans and soymeal rallied over the first two quarters, boosted by heavy rainfall and flooding in Argentina, the world’s third largest producer of soybeans and increased demand for livestock feed. Further, United States Department of Agriculture estimates for soybean acreage and ending inventory were lower than expected. Losses were partially offset by a long copper position in the Fund’s directional metals strategy. The long copper position was supported by positive equity market momentum and attractive value. Copper performed well in the fourth quarter, boosted by supply disruptions and expectations of increased infrastructure spending in the U.S. under a Trump presidency.

AQR Funds Annual Report December 2016

8

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR GLOBAL MACRO FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QGMIX		0.02%		0.48%		4/8/2014
Fund - Class N: QGMNX		-0.19%		0.22%		4/8/2014
Fund - Class R6: QGMRX		0.14%		1.84%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.83%, 1.93% and 1.77%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

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

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

AQR Funds Annual Report December 2016

9

Shareholder Letter (Unaudited)

AQR LONG-SHORT EQUITY FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Hoon Kim

Principal

Dear Shareholder:

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

Global developed equity markets performed positively in 2016, with the MSCI World Index returning 7.51%. The Fund’s custom benchmark (0.5 * MSCI World + 0.5* Bofa Merrill Lynch 3-Month U.S. Treasury Bill Index^SM) delivered a more modest returns of 4.00% over this period. The Fund handily outperformed both this benchmark and the overall MSCI World index, with the Class I shares returning 11.09%.

The stock selection strategy, through the use of basket swaps, contributed to the majority of the outperformance and returned 6.40% for the year. Returns were driven by the strong performance of our valuation, investor sentiment, and quality investment themes. Conversely, our momentum themes underperformed. Geographically, stocks in the U.S. and Japan contributed the most to overall returns, while Canadian and U.K. stocks detracted from performance. At the sector level, the stock selection strategy worked best in information technology and industrials sectors.

The Fund also benefited from its static long-term beta exposure of 0.5 to the MSCI World, given this index’s positive performance in 2016. In addition, our tactical market exposure (the desired deviation from a beta of 0.5) modestly contributed to outperformance.

The Fund ended the year with a highly diversified stock portfolio of 967 long positions and 883 short positions, including its long/short equity positions within Total Return Basket Swaps. Securities remained globally diversified, with nearly 40% of the Fund invested outside of the U.S. The stock selection strategy does take small industry views. As of the end of the year, our largest sector overweights were in industrials and materials, while our largest underweights were in health care and consumer discretionary.

Our tactical market view was slightly negative at the end of the year and as a consequence, our ex-ante beta to the MSCI World was 0.48, slightly below our static long-term beta exposure of 0.5.

AQR Funds Annual Report December 2016

10

Shareholder Letter (Unaudited)

AQR LONG-SHORT EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR LONG-SHORT EQUITY FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QLEIX		11.09%		14.32%		15.79%		7/16/2013
Fund - Class N: QLENX		10.80%		14.02%		15.49%		7/16/2013
Fund - Class R6: QLERX		11.22%*		na		14.96%		9/2/2014
50% MSCI World index**/50% BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		4.00%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.91%, 2.17% and 1.82%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2016 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

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

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

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

AQR Funds Annual Report December 2016

11

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Jacques Friedman

Principal

Ronen Israel

Principal

Michael Katz

Principal

John Liew

Founding Principal

Mark Mitchell, Ph.D.

Founding Principal, CNH Partners

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

The Fund’s Class I shares returned -0.20% in 2016. For the year, the Fund realized +6.0% annualized daily volatility and a -0.4 correlation to equities. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM, which is the fund’s benchmark, had a slight positive return of +0.33%. The hedge fund industry, as measured by its representative indices, posted gains, with the Credit Suisse Hedge Fund Index^SM (“CS Index”) gaining +1.26% and the HFRI^TM Fund Weighted Composite Index (“HFRI Index”) gaining +5.58% net of fees for the year. These indices had monthly correlations to global equities, as represented by the MSCI World Index**, of +0.7 and +0.9, respectively in the past 24 months.

Six of the Fund’s nine strategies had positive results for the year. The Arbitrage strategies in aggregate were the largest source of profits, with even contributions from both Event Driven and Convertible arbitrage strategies. The stock selection strategy group also contributed positively, while macro strategies detracted from gains.

Following is a more detailed review of the three strategy groups

Arbitrage Strategies – Both Event Driven (+1.1%) and Convertible Arbitrage (+0.9%) contributed to performance this year. Gains from mergers were not concentrated in any particular deal but rather were the product of numerous relatively small gains. In fact, the largest profit from any deal (CIBC/PrivateBancorp) was less than +0.2%. Low rate of deal cancellations (10 of 242) and a compression on the median annualized deal spread in the portfolio throughout the year generated a tailwind to returns. The solid gains in Convertible Arbitrage resulted from the universe of convertible securities richening relative to fair value. Gains were broad, occurring in more than 80% of the holdings.

Stock Selection Strategies – Dedicated Equity Market Neutral (+1.9%) and Dedicated Short Bias (+1.1%) contributed while Long/Short Equity lost (-2.3%) in light of market reversals that particularly affected momentum strategies. The net effect of the directional components of Long/Short Equity and Dedicated Short Bias was slightly down (-0.2%), with the remaining stock selection gains all coming from market neutral themes within the three strategies. Among the underlying themes, the largest contributors this year came from valuation and investor sentiment themes, while momentum generated the largest losses.

Macro Strategies – As a group, macro strategies generated negative returns driven mostly by Managed Futures (-2.0%). Trend following generated negative returns in three out of the four asset classes. Most of the losses came from commodities as price reversals, especially in the second half of the year, generated mistimed positions driven by both short and long-term signals. Among the noteworthy events that generated the prices swings include OPEC’s agreement to cut oil production and the U.S. election. Within commodities, losses were driven by energy and precious metals. Global Macro (+0.76%) offset some of the losses given relative large gains in developed currencies, especially from a long position Japanese Yen in the second quarter. Gains in developed currencies were supported by positive returns in commodities and, in aggregated terms, these more than counterbalance losses elsewhere. Fixed Income relative value (+0.41%) also contributed positively over the year with almost all gains being driven by the currency-oriented strategy as 8 out of the 10 traded positions generated profits.

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

AQR Funds Annual Report December 2016

12

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR MULTI-STRATEGY ALTERNATIVE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ASAIX		-0.20%		5.38%		4.58%		3.69%		7/18/2011
Fund - Class N: ASANX		-0.40%*		5.14%		4.33%		3.45%		7/18/2011
Fund - Class R6: QSARX		-0.10%		na		na		6.62%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.46%, 2.73% and 2.38%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2016 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

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

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

AQR Funds Annual Report December 2016

13

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Brian Hurst

Principal

Ari Levine

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

The AQR Risk-Balanced Commodities Fund (the “Fund”) Class I shares returned 16.6% in 2016, as energy and base metal prices rose significantly. Earlier this year, supply and demand effects both contributed to the rally in oil prices, with Canadian wildfires and militant attacks in Nigeria reducing production estimates while demand from India, China, and Russia exceeded expectations. The petroleum complex later rallied on news that Organization of the Petroleum Exporting Countries (OPEC) had reached an agreement to cap production. For base metals, increased demand from China, decreasing stockpiles and news of mine closures contributed to the rise in prices.

While the Class I shares were up 16.6% in 2016, the Fund’s benchmark, the Bloomberg Commodity Total Return Index^SM (“BCOM”) was up 11.8%, which means that the Fund outperformed its benchmark by 4.8%. This brings the three-year outperformance to 3.7% annualized, and the since inception outperformance to 0.8% annualized. While the fund uses the BCOM as a benchmark, we do not aim to replicate it. The Fund’s construction is sufficiently different than the benchmark and we would expect a difference in the performance of the Fund and this benchmark. Specifically, we expect the magnitude of performance differences to be 10% per year on average, in either direction.

The outperformance in 2016 relative to the passive BCOM benchmark was due to a number of factors. The largest source of outperformance was the volatility targeting, which led to higher levels of exposure to commodities, but the reduction in volatility due to our drawdown control process partly offset these gains. Tactical models also contributed significantly to the outperformance, with gains primarily driven by tactical views in agriculturals. The outperformance to the benchmark was reduced due to the Fund’s risk-balanced strategic allocation. Given the strong performance in the energies, the Fund’s lower exposure to energies relative to its benchmark reduced the outperformance.

The Fund began the year at a volatility target of 11.3%, reflecting both a lowered strategic risk target due to drawdown control and bearish tactical views on commodities. At year-end, the fund was no longer in drawdown control and had more mixed tactical views. As a result, the volatility target of the Fund was 18.3%, close to its 18% long run target.

The strategic portion of the portfolio returned 13.9%, and tactical tilts added 2.7%. The strategic return in this attribution is the return to a long-only portfolio with risk-balanced sector weights and an annual volatility target of 18% (subject to drawdown control). The tactical returns are the returns from the active views in the individual commodities and sectors.

Relative value strategies in agriculturals and softs contributed the most to the positive tactical performance this year, while relative value strategies in base metals detracted. Within agricultural commodities, the fund was overweight soybeans and underweight wheat, contributing meaningfully to performance. In softs, the positive tactical performance is mostly attributable to value signals. In base metals, momentum signals contributed negatively to tactical performance. Negative performance from individual asset timing models, including both fundamental and technical signals, also reduced tactical performance.

At year-end, the Fund’s tactical positioning reflected mixed views on commodities. While short term results can be noisy, we believe the Fund’s broader diversification, strong risk management and active commodity selection can ultimately deliver more steady volatility and strong returns across market environments in the long term.

AQR Funds Annual Report December 2016

14

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR RISK-BALANCED COMMODITIES STRATEGY FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: ARCIX		16.58%		-7.54%		-9.01%		7/9/2012
Fund - Class N: ARCNX		16.16%		-7.82%		-9.26%		7/9/2012
Fund - Class R6: QRCRX		16.61%		na		-10.95%		9/2/2014
Bloomberg Commodity Total Return IndexSM		11.77%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.22%, 1.56% and 1.19%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

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

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

AQR Funds Annual Report December 2016

15

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

John J. Huss

Managing Director

Dear Shareholder:

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

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

Total exposures ended the year higher than where they began, driven by decreased forecasted risk, a shift away from bearish tactical tilts, and the Fund’s return to its long-term risk target, which was temporarily at a reduced level entering the year as a result of the portfolio’s risk management processes. Equities, credit, and inflation-sensitive assets all experienced increased year-over-year exposures. Nominal fixed income exposures ended the year lower than where they began on increased volatility and bearish active views. For the year ended December 31, 2016, the Fund’s Class I shares returned +10.10% and realized an annualized volatility of 8.8%. During this period, the Fund’s benchmark the 60% S&P 500 Index^®/40% Barclays^® U.S. Aggregate Bond Index returned +8.31% at an average realized volatility of 7.0% and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM returned +0.33%. The Fund’s net assets across all share classes were over $400 million at the end of 2016. The Fund experienced gains in all four major risk sources for the full year. To the net total return of +10.10% for 2016, inflation-sensitive assets contributed +4.0%, fixed income contributed +2.5%, credit-related assets contributed +2.2%, and equities contributed +1.4%. Tactical tilts detracted from performance in all asset classes except fixed income.

Equities contributed positively as developed equity markets rallied in the second half of the year. U.S. equity markets outperformed on better-than-expected economic data as well as expectations of fiscal stimulus and market-friendly policies following the U.S. election. U.K. markets also performed well on a weaker pound and a surprisingly accommodative Bank of England following the Brexit vote. Emerging equities gained, but underperformed developed markets due to a weak fourth quarter, caused by fears of increasing tension in global trade policy. Nominal bonds contributed positively on the year. U.K gilts and German bunds outperformed as their central banks were surprisingly accommodative. U.S. treasuries gained, but underperformed, on robust employment data and expectations that the new U.S. administration will pursue stimulative fiscal policy. Inflation-sensitive assets contributed to the Fund. Commodity markets rallied, led by gains in energies and base metals which benefited from expectations of reduced production. Inflation-linked bonds outperformed nominals, buoyed by expectations of higher inflation in the U.S. and U.K. Credit assets performed positively as credit spreads gained on improved risk sentiment and emerging currencies strengthen as commodities rebounded and developed central banks remained accommodative.

AQR Funds Annual Report December 2016

16

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

Tactical tilts in equities detracted from performance, driven mostly from trend reversals and relative-value views within developed equities. Active views in inflation-sensitive assets detracted on bearish inflation-linked bonds timing signals and trend reversals in commodities. Tactical tilts also detracted in credit assets on bearish views in credit spreads. Fixed income active views contributed positively, driven by bullish trend-following views in the first quarter and bearish timing tilts in the fourth quarter. Going forward, the portfolio is tactically underweight in fixed income, tactically overweight equities and inflation-sensitive assets and relatively neutral credit assets.

As all major asset classes performed positively on the year, it is no surprise risk parity outperformed; years when everything goes up tend to be particularly fruitful for risk parity strategies. The great strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is a sound one. We remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR RISK PARITY FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQRIX		10.10%		2.69%		4.38%		4.99%		9/29/2010
Fund - Class N: AQRNX		9.66%		2.41%		4.08%		4.70%		9/29/2010
Fund - Class R6: AQRRX		10.06%		na		na		-1.19%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%
60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index		8.31%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.99%, 1.24% and 0.91%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2016

17

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

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

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

AQR Funds Annual Report December 2016

18

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

John J. Huss

Managing Director

Dear Shareholder:

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

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

Total exposures ended the year higher than where they began, driven by decreased risk forecasts, a shift away from bearish tactical tilts, and the Fund’s return to its long-term risk target, which was temporarily at a reduced level entering the year as a result of the portfolio’s risk management processes. Equities and inflation-sensitive assets experienced increased year-over-year exposures. Nominal fixed income exposure increases were more muted as increased volatility and bearish active views nearly offset the fund-wide, risk-management-induced exposure increase. For the year ended December 31, 2016, the Fund’s Class I shares returned +12.77% and realized an annualized volatility of 10.7%. During this period, the Fund’s benchmark the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM returned +0.33% and a “60/40 benchmark” consisting of 60% S&P 500^®/40% Barclays^® U.S. Aggregate Bond Index returned +8.31% at an average realized volatility of 7.0%. The Fund experienced gains in all three major risk sources for the full year. To the net total return of +12.77% for 2016, inflation-sensitive assets contributed +5.9%, fixed income contributed +3.3%, and equities contributed +3.6%. Tactical tilts detracted from performance in all asset classes except fixed income.

Equities contributed positively as developed equity markets rallied in the second half of the year. U.S. equity markets outperformed on better-than-expected economic data and expectations of fiscal stimulus and market-friendly policies following the U.S. election. U.K. markets also performed well on a weaker pound and a surprisingly accommodative Bank of England following the Brexit vote. Emerging equities gained, but underperformed developed markets due to a weak fourth quarter, caused by fears of increasing tension in global trade policy. Nominal bonds contributed positively on the year. U.K gilts and German bunds outperformed as their central banks were surprisingly accommodative. U.S. Treasuries gained, but underperformed, on robust employment data and expectations that the new U.S. administration will pursue stimulative fiscal policy. Inflation-sensitive assets contributed to the Fund. Commodity markets rallied, led by gains in energies and base metals which benefited from expectations of reduced production. Inflation-linked bonds outperformed nominals, buoyed by expectations of higher inflation in the U.S. and U.K.

Tactical tilts in equities detracted from performance, driven mostly from trend reversals and relative-value views within developed equities. Active views in inflation-sensitive assets detracted on bearish

AQR Funds Annual Report December 2016

19

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

inflation-linked bonds timing signals and trend reversals in commodities. Fixed income active views contributed positively, driven by bullish trend-following views in the first quarter and bearish timing tilts in the fourth quarter. Going forward, the portfolio is tactically underweight in fixed income and tactically overweight equities and inflation-sensitive assets.

As all major asset classes perform positively on the year, it is no surprise risk parity outperformed; years when everything goes up tend to be particularly fruitful for risk parity strategies. The great strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is a sound one. We remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR RISK PARITY II HV FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QRHIX		12.77%		2.21%		1.48%		11/5/2012
Fund - Class N: QRHNX		12.47%		1.89%		1.19%		11/5/2012
Fund - Class R6: QRHRX		12.85%		na		-3.19%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%
60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index		8.31%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.48%, 1.82% and 1.48%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2016

20

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

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

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

AQR Funds Annual Report December 2016

21

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

John J. Huss

Managing Director

Dear Shareholder:

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

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

Total exposures ended the year higher than where they began, driven by decreased forecasted risk, a shift away from bearish tactical tilts, and the Fund’s return to its long-term risk target, which was temporarily at a reduced level entering the year as a result of the portfolio’s risk management processes. Equities and inflation-sensitive assets experienced increased year-over-year exposures. Nominal fixed income exposures ended the year lower than where they began on increased volatility and bearish active views. For the year ended December 31, 2016, the Fund’s Class I shares returned +9.66% and realized an annualized volatility of 7.4%. During this period, the Fund’s benchmark the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM returned +0.33% and a “60/40 benchmark” consisting of 60% S&P 500^®/40% Barclays^® U.S. Aggregate Bond Index returned +8.31% at an average realized volatility of 7.0%. The Fund’s net assets across all share classes were over $80 million at the end of 2016. The Fund experienced gains in all three major risk sources for the full year. To the net total return of +9.66% for 2016, inflation-sensitive assets contributed +4.4%, fixed income contributed +3.0%, and equities contributed +2.2%. Tactical tilts detracted from performance in all asset classes except fixed income.

Equities contributed positively as developed equity markets rallied in the second half of the year. U.S. equity markets outperformed on better-than-expected economic data as well as expectations of fiscal stimulus and market-friendly policies following the U.S. election. U.K. markets also performed well on a weaker pound and a surprisingly accommodative Bank of England following the Brexit vote. Emerging equities gained, but underperformed developed markets due to a weak fourth quarter, caused by fears of increasing tension in global trade policy. Nominal bonds contributed positively on the year. U.K gilts and German bunds outperformed as their central banks were surprisingly accommodative. U.S. treasuries gained, but underperformed, on robust employment data and expectations that the new U.S. administration will pursue stimulative fiscal policy. Inflation-sensitive assets contributed to the Fund. Commodity markets rallied, led by gains in energies and base metals which benefited from expectations of reduced production. Inflation-linked bonds outperformed nominals, buoyed by expectations of higher inflation in the U.S. and U.K.

AQR Funds Annual Report December 2016

22

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

Tactical tilts in equities detracted from performance, driven mostly from trend reversals and relative-value views within developed equities. Active views in inflation-sensitive assets detracted on bearish inflation-linked bonds timing signals and trend reversals in commodities. Fixed income active views contributed positively, driven by bullish trend-following views in the first quarter and bearish timing tilts in the fourth quarter. Going forward, the portfolio is tactically underweight in fixed income and tactically overweight equities and inflation-sensitive assets.

As all major asset classes perform positively on the year, it is no surprise risk parity outperformed; years when everything goes up tend to be particularly fruitful for risk parity strategies. The great strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is a sound one. We remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR RISK PARITY II MV FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QRMIX		9.66%		2.02%		1.56%		11/5/2012
Fund - Class N: QRMNX		9.25%		1.74%		1.27%		11/5/2012
Fund - Class R6: QRMRX		9.64%		na		-1.40%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%
60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index		8.31%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.15%, 1.43% and 1.08%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2016

23

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

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

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

AQR Funds Annual Report December 2016

24

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Michael Katz

Principal

Dear Shareholder:

The AQR Style Premia Alternative Fund (the “Fund”), which targets 10% annual volatility, returned -0.47% (Class I shares) in 2016. For the year ended December 31,2016 , the Fund realized +6.7% annualized daily volatility and a -0.2 correlation to equities. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM, which is the Fund’s benchmark, had a slight positive return of +0.33% over this period. We invest long and short across six different asset groups: stocks of major developed markets, country indices, bond futures, interest rate futures, currencies and commodities. We employ market-neutral, long-short strategies across these asset groups based on four investment styles:

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

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

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

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

returns

Performance this year could be characterized by the rotation of styles that detracted. Three of the four styles each had a quarter of meaningful detraction, with the notable exception of Carry which contributed in each of the four quarters, albeit marginally in the second and third quarters.

The year began with a significant detraction (-8.2%) from Momentum which was offset by meaningful contributions from the three other styles leading the fund to being essentially flat. Value followed, detracting in the second quarter (-3.3%), but similar to the first quarter, the three other styles offset those losses and more. The third quarter was impacted by Defensive (-2.8%) but, unlike prior quarters, performance across the other styles was flat, leading the Fund to bear the brunt of the underperformance. The characteristics of the fourth quarter were somewhat different, with sizeable gains from Value (+9.0%) driving outperformance.

The yearly results were driven by gains in Value, primarily from stock & industry selection, with smaller contribution from Carry, in which profits were concentrated in currencies and fixed income. Some of the gains were offset by a double-digit loss in Momentum, which was spread out across all five asset groups while with larger concentration in stock & industry selection. From an asset group perspective, positive performance this year was driven by gains in currencies, which happened mostly in the first half of the year, while equity indices and fixed income detracted. Currencies gains were largely driven by Carry and Value. Commodities, which also contributed positively, were driven essentially by Value, while Momentum offset a portion of the gains. Despite being essentially flat in aggregate, the performance of stocks & industries was pronounced for two of the three underlying styles with Value being the sole driver of positive performance while Momentum and Defensive detracted. Losses in equity indices were widespread across styles while fixed income losses were concentrated in Value with offsetting gains in Carry and Defensive.

AQR Funds Annual Report December 2016

25

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR STYLE PREMIA ALTERNATIVE FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QSPIX		-0.47%		6.41%		7.40%		10/30/2013
Fund - Class N: QSPNX		-0.76%		6.15%		7.14%		10/30/2013
Fund - Class R6: QSPRX		-0.37%		na		6.86%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.35%, 2.62% and 2.27%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

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

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

AQR Funds Annual Report December 2016

26

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Michael Katz

Principal

Dear Shareholder:

The Fund, which targets 5% annual volatility, returned +0.65% (Class I shares) in 2016. For the year, the Fund realized +3.5% annualized daily volatility and a -0.2 correlation to equities. The BofA Merrill Lynch 3-Month U.S Treasury Bill Index^SM, which is the fund’s benchmark, had a slight positive return of +0.33% over this period.

We invest long and short across six different asset groups: stocks of major developed markets, country indices, bond futures, interest rate futures, currencies and commodities. We employ market-neutral, long-short strategies across these asset groups based on four investment styles:

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

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

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

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

returns

Performance this year could be characterized by the rotation of styles that detracted. Three of the four styles each had a quarter of meaningful detraction, with the notable exception of Carry which contributed in each of the four quarters, albeit marginally in the second and third quarters.

The year began with a significant detraction (-3.9%) from Momentum which was offset by meaningful contributions from the three other styles leading to small gains in the fund. Value followed, detracting in the second quarter (-1.6%), but similar to the first quarter, the three other styles offset those losses and more. The third quarter was impacted by Defensive (-1.4%) but, unlike prior quarters, performance across the other styles only slightly positive, leading the Fund to bear the brunt of the underperformance. The characteristics of the fourth quarter were somewhat different, despite sizeable losses from Momentum, gains from Value and Carry drove outperformance.

The yearly results were driven by gains in Value, primarily from stock & industry selection, with smaller contribution from Carry, in which profits were concentrated in currencies and fixed income. Some of the gains were offset by a sizeable loss in Momentum, which was spread out across all five asset groups while with larger concentration in stock & industry selection. From an asset group perspective, positive performance this year was driven by gains in currencies, which happened mostly in the first half of the year, and stocks & industries, which was concentrated in the fourth quarter. Currencies gains were largely driven by Carry and Value, while Momentum detracted marginally. In stocks and industries, large gains in Value were offset by losses in Momentum and Defensive. Equity indices and fixed income generated negative return this year. Losses in equity indices were widespread across styles, while fixed income losses were concentrated in Value with offsetting gains in Carry and Defensive.

AQR Funds Annual Report December 2016

27

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR STYLE PREMIA ALTERNATIVE LV FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QSLIX		0.65%		3.38%		9/17/2014
Fund - Class N: QSLNX		0.26%		3.08%		9/17/2014
Fund - Class R6: QSLRX		0.65%		3.44%		9/17/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.53%, 1.97% and 1.64%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

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

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

AQR Funds Annual Report December 2016

28

Shareholder Letter (Unaudited)

DEFINITIONS:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

AQR Funds Annual Report December 2016

29

Shareholder Letter (Unaudited)

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

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

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.

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.

AQR Funds Annual Report December 2016

30

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 132.5%
COMMON STOCKS - 34.2%
Auto Components - 0.4%
Adient plc *		28,428	$	1,665,881
Automobiles - 0.1%
Ferrari NV (Italy)		4,972		289,072
Banks - 1.0%
Bank of Cyprus PCL (Cyprus) (2)*		13,676,132		2,001,515
Heritage Oaks Bancorp		96,532		1,190,240
Southwest Bancorp, Inc.		51,781		1,501,649
				4,693,404
Biotechnology - 0.2%
Actelion Ltd. (Switzerland) (2)*		2,034		439,565
Aptevo Therapeutics, Inc. *		132,502		323,305
Caladrius Biosciences, Inc. *		1		3
				762,873
Building Products - 0.1%
Armstrong Flooring, Inc. *		13,995		278,641
Capital Markets - 1.4%
Bats Global Markets, Inc.		36,521		1,223,819
Donnelley Financial Solutions, Inc. *		12,726		292,443
Landcadia Holdings, Inc. (2)*(c)		500,000		4,875,000
PJT Partners, Inc., Class A		9,524		294,101
				6,685,363
Chemicals - 0.7%
AdvanSix, Inc. *		13,011		288,064
Agrium, Inc. (Canada)		8,212		825,717
Chemours Co. (The)		10,000		220,900
GCP Applied Technologies, Inc. *		9,754		260,920
Ingevity Corp. *		6,261		343,478
Linde AG (Germany) (2)		1,126		184,706
MPM Holdings, Inc. *		144,707		1,157,656
				3,281,441
Commercial Services & Supplies - 0.1%
LSC Communications, Inc.		10,871		322,651
Construction Materials - 0.5%
Headwaters, Inc. *		63,656		1,497,189
Tecnoglass, Inc.		71,021		870,007
				2,367,196
Diversified Consumer Services - 0.0% (b)
Education Management Corp. *(c)		18,525,063		111,150
LifeLock, Inc. *		2,475		59,202
				170,352
Diversified Financial Services - 17.2%
Avista Healthcare Public Acquisition Corp. (2)*		1,000,000		10,050,000
CF Corp., Class A *		1,400,000		13,972,000
Conyers Park Acquisition Corp. *		25,000		271,250
ECN Capital Corp. (Canada)		148,120		364,053

INVESTMENTS	SHARES		VALUE
Diversified Financial Services - 17.2% (continued)
Gibraltar Growth Corp., Class A (Canada) (2)*		1,273,900	$	9,345,634
Hunter Maritime Acquisition Corp. *(c)(d)		950,000		9,642,500
Jensyn Acquisition Corp. (2)*		174,000		1,769,580
Kew Media Group, Inc., Class A (Canada) (2)*		300,000		2,212,043
KLR Energy Acquisition Corp., Class A *(c)		500,000		5,175,000
M I Acquisitions, Inc. *		250,000		2,540,000
M III Acquisition Corp. *		808,712		7,998,162
Origo Acquisition Corp. (3)*(a)(c)		325,500		3,385,200
Pacific Special Acquisition Corp. (China) (2)*(c)		373,500		3,828,375
PNBK Holdings LLC, Class A (3)*(a)		2,090,900		1,390,846
PNBK Holdings LLC, Class B (3)*(a)		3,218		—
Rescap Liquidating Trust *		125,811		1,270,691
Saban Capital Acquisition Corp. *		84,000		871,080
Stellar Acquisition III, Inc. (Greece) *(c)		600,000		6,180,000
TPT Acquisition, Inc. (3)*(a)		20,730		—
				80,266,414
Diversified Telecommunication Services - 0.2%
Level 3 Communications, Inc. *		18,673		1,052,410
Electric Utilities - 0.0% (b)
Fortis, Inc. (Canada)		7,728		238,641
Electronic Equipment, Instruments & Components - 0.2%
InvenSense, Inc. *		68,330		873,941
Energy Equipment & Services - 0.3%
Seventy Seven Energy, Inc. *		30,923		1,391,535
Songa Offshore (Norway) (2)*		65,178		237,146
				1,628,681
Equity Real Estate Investment Trusts (REITs) - 0.8%
Care Capital Properties, Inc.		10,345		258,625
Cousins Properties, Inc.		2,482		21,122
Equity One, Inc.		51,204		1,571,451
Mid-America Apartment Communities, Inc.		6,032		590,669
Parkway, Inc. *		12,408		276,078
Quality Care Properties, Inc. *		62,697		971,803
				3,689,748
Food Products - 0.3%
Lamb Weston Holdings, Inc. *		41,137		1,557,035
Health Care Equipment & Supplies - 0.0% (b)
China Medical Technologies, Inc., ADR (China) (3)*(a)		4,931		49
Health Care Providers & Services - 0.6%
Envision Healthcare Corp. *		24,617		1,558,010
Quorum Health Corp. *		47,681		346,641
Rotech Healthcare, Inc. (3)*(a)		16,828		43,275
Team Health Holdings, Inc. *		19,606		851,881
				2,799,807

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

AQR Funds Annual Report December 2016

31

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 0.7%
Inspired Entertainment, Inc. *		172,000	$	1,453,400
Marriott International, Inc., Class A		1		83
Vail Resorts, Inc.		5,124		826,552
Yum! China Holdings, Inc. *		45,964		1,200,580
				3,480,615
Independent Power and Renewable Electricity Producers - 0.1%
VivoPower International plc (United Kingdom) *		108,000		594,000
Insurance - 0.1%
Allied World Assurance Co. Holdings AG		8,753		470,124
Delta Lloyd NV (Netherlands) (2)		7,431		41,533
				511,657
Internet & Direct Marketing Retail - 0.1%
Priceline Group, Inc. (The) *(d)		236		345,990
Internet Software & Services - 3.7%
Aspire Holdings Ltd., Class B (China) (3)*(a)		834,158		8
Intralinks Holdings, Inc. *		7,513		101,576
Yahoo!, Inc. *		443,982		17,168,784
				17,270,368
IT Services - 0.3%
Blackhawk Network Holdings, Inc. *(d)		13,164		495,954
Datalink Corp. *		377		4,245
Lionbridge Technologies, Inc. *		71,004		411,823
NeuStar, Inc., Class A *		11,968		399,731
				1,311,753
Life Sciences Tools & Services - 0.2%
Quintiles IMS Holdings, Inc. *		10,644		809,476
Machinery - 0.5%
Fortive Corp.		5,025		269,491
KUKA AG (Germany) (2)*		6,543		790,885
Manitowoc Co., Inc. (The) *		55,865		334,073
Manitowoc Foodservice, Inc. *		16,639		321,632
SPX Corp. *		37,030		878,351
				2,594,432
Media - 0.2%
China Networks International Holdings Ltd. (3)*(a)		2,287,278		40,508
FriendFinder Networks, Inc. (3)*(a)		6,483		80,306
MSG Networks, Inc., Class A *		13,277		285,455
News Corp., Class A		39,762		455,672
World Wrestling Entertainment, Inc., Class A (d)		9,069		166,870
				1,028,811
Metals & Mining - 0.9%
Alcoa Corp.		50,305		1,412,565
Jaguar Mining (3)*(a)		142,136		29,645
Jaguar Mining, Inc. (Canada) *(d)		25,812		11,150
Southern Arc Minerals, Inc. (Canada) (2)*		24,848		8,606

INVESTMENTS	SHARES		VALUE
Metals & Mining - 0.9% (continued)
Stillwater Mining Co. *		163,657	$	2,636,514
				4,098,480
Oil, Gas & Consumable Fuels - 0.2%
Amyris, Inc. *(d)		15,000		10,950
InterOil Corp. (Singapore) *		2,461		117,095
Quicksilver Resources, Inc. (3)*(a)		14,730		168,594
Western Refining, Inc.		13,754		520,589
				817,228
Personal Products - 0.2%
Herbalife Ltd. *(d)		17,316		833,592
Semiconductors & Semiconductor Equipment - 1.6%
Applied Micro Circuits Corp. *		45,982		379,352
Lattice Semiconductor Corp. *		12,048		88,673
NXP Semiconductors NV (Netherlands) *		42,675		4,182,577
ON Semiconductor Corp. *(d)		181,774		2,319,436
Versum Materials, Inc. *		10,287		288,756
				7,258,794
Software - 0.4%
Dell Technologies, Inc., Class V *		23,600		1,297,292
Mentor Graphics Corp.		17,814		657,159
				1,954,451
Specialty Retail - 0.1%
Barnes & Noble Education, Inc. *		27,916		320,197
Technology Hardware, Storage & Peripherals - 0.1%
Hewlett Packard Enterprise Co.		11,638		269,303
Textiles, Apparel & Luxury Goods - 0.2%
Under Armour, Inc., Class C *		43,718		1,100,382
Thrifts & Mortgage Finance - 0.1%
Federal Home Loan Mortgage Corp. *		98,324		367,732
Federal National Mortgage Association *		34,608		134,971
				502,703
Trading Companies & Distributors - 0.1%
Herc Holdings, Inc.*		7,787		312,726
Transportation Infrastructure - 0.0%
Jack Cooper Holdings Corp., Class B (3)*(a)		2,223		—
Wireless Telecommunication Services - 0.3%
Cleveland Unlimited (3)*(a)		1		1,355,706
TOTAL COMMON STOCKS (Cost $158,547,100)				159,394,264
PREFERRED STOCKS - 0.6%
Banks - 0.1%
First Banks, Inc., Series C (3)*(a)		2,458		692,778

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

AQR Funds Annual Report December 2016

32

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Thrifts & Mortgage Finance - 0.5%
Federal Home Loan Mortgage Corp., Series W, 5.66% *(e)		34,360	$	206,160
Federal Home Loan Mortgage Corp., Series V, 5.57% *(e)		89,409		527,513
Federal Home Loan Mortgage Corp., Series Z, 8.38% *(e)(f)		57,345		433,528
Federal Home Loan Mortgage Corp., Series X, 6.02% *(e)		50,343		312,127
Federal National Mortgage Association, Series S, 8.25% *(e)(f)		97,345		778,760
				2,258,088
TOTAL PREFERRED STOCKS (Cost $3,926,125)				2,950,866
CONVERTIBLE PREFERRED STOCKS - 9.4%
Capital Markets - 1.3%
Mandatory Exchangeable Trust (China) $100 par, 5.75%, 6/3/2019 (2)(d)(g)		56,586		6,182,020
Commercial Services & Supplies - 0.2%
Stericycle, Inc. $100 par, 5.25%, 9/15/2018 (d)		14,650		926,905
Electric Utilities - 0.6%
Great Plains Energy, Inc. $50 par, 7.00%, 9/15/2019 (d)		51,675		2,614,755
Equity Real Estate Investment Trusts (REITs) - 1.8%
Welltower, Inc. Series I, $50 par, 6.50%, 12/31/2049 (d)(e)		137,075		8,249,174
Food Products - 1.5%
Bunge Ltd. $100 par, 4.88%, 12/31/2049 (d)(e)		67,625		6,905,189
Machinery - 0.0% (b)
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (d)		4,975		243,775
Pharmaceuticals - 1.9%
Allergan plc Series A, $1,000 par, 5.50%, 3/1/2018 (d)		11,525		8,787,352
Wireless Telecommunication Services - 2.1%
T-Mobile US, Inc. $50 par, 5.50%, 12/15/2017 (d)		103,375		9,762,735
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $40,794,174)				43,671,905
CLOSED END FUNDS - 3.5%
Adams Diversified Equity Fund, Inc.		52,841		671,609
Adams Natural Resources Fund, Inc.		18,463		372,399
Advent Claymore Convertible Securities and Income Fund II		40,146		236,058

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 3.5% (continued)
Alliance California Municipal Income Fund, Inc.		7,831	$	103,761
AllianceBernstein National Municipal Income Fund, Inc.		843		11,144
AllianzGI NFJ Dividend Interest & Premium Strategy Fund		16,500		208,065
Alpine Global Dynamic Dividend Fund		48,725		427,318
Alpine Global Premier Properties Fund		308,277		1,581,461
Alpine Total Dynamic Dividend Fund		55,630		421,675
Ares Dynamic Credit Allocation Fund, Inc.		32,905		496,207
Avenue Income Credit Strategies Fund		17,639		236,892
BlackRock Global Opportunities Equity Trust		29,300		339,001
BlackRock MuniHoldings New York Quality Fund, Inc.		133		1,785
BlackRock MuniYield California Quality Fund, Inc.		1,000		14,500
BlackRock MuniYield New York Quality Fund, Inc.		1,055		13,388
BlackRock Resources & Commodities Strategy Trust		186,103		1,539,072
CBRE Clarion Global Real Estate Income Fund		104,915		765,880
Central Securities Corp.		36,941		804,944
Clough Global Opportunities Fund		74,604		667,706
Delaware Enhanced Global Dividend & Income Fund		22,877		231,286
Dividend and Income Fund		6,941		82,251
Dreyfus Municipal Income, Inc.		1,671		14,421
Eaton Vance California Municipal Bond Fund		5,369		61,099
Eaton Vance Municipal Bond Fund II		3,838		47,207
First Trust Aberdeen Global Opportunity Income Fund		20,447		228,189
First Trust High Income Long/Short Fund		5,628		90,498
Gabelli Healthcare & WellnessRx Trust (The)		5,856		55,222
General American Investors Co., Inc.		30,591		952,298
Guggenheim Taxable Municipal Managed Duration Trust		8,747		187,273
Invesco California Value Municipal Income Trust		15,143		183,836
Invesco Value Municipal Income Trust		30,342		443,903
Liberty All Star Equity Fund		410,252		2,116,900
Liberty All Star Growth Fund, Inc.		1,233		5,154
Macquarie Global Infrastructure Total Return Fund, Inc.		12,827		253,077
Nuveen California AMT-Free Quality Municipal Income Fund		2,100		30,051
Nuveen California Quality Municipal Income Fund		24,144		341,396
Nuveen Select Tax-Free Income Portfolio		500		6,950
Nuveen Select Tax-Free Income 2 Portfolio		1,386		18,448

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

AQR Funds Annual Report December 2016

33

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 3.5% (continued)
Nuveen Select Tax-Free Income 3 Portfolio		2,834	$	40,158
RMR Real Estate Income Fund		29,473		603,018
Royce Micro-Cap Trust, Inc.		19,243		156,446
Royce Value Trust, Inc.		8,412		112,637
Sprott Focus Trust, Inc.		22,757		158,389
Templeton Emerging Markets Fund		1,000		12,090
Templeton Global Income Fund		53,903		349,291
Tri-Continental Corp.		25,728		567,302
Wells Fargo Global Dividend Opportunity Fund		5,793		31,572
Western Asset Municipal High Income Fund, Inc.		4,392		31,491
TOTAL CLOSED END FUNDS (Cost $17,497,532)				16,324,718
	PRINCIPAL AMOUNT
CORPORATE BONDS - 3.6%
Auto Components - 0.0%
Exide Technologies 8.63%, 2/1/2018 (3)(a)(h)	$	33,550,000		—
Chemicals - 1.0%
Momentive Performance Materials USA, Inc. 8.88%, 10/15/2020 (3)(a)(h)		13,550,000		—
Momentive Performance Materials, Inc.
3.88%, 10/24/2021 (2)		5,000,000		4,700,000
				4,700,000
Food & Staples Retailing - 0.3%
Rite Aid Corp. 9.25%, 3/15/2020 (2)		1,175,000		1,219,063
Gas Utilities - 0.5%
NSA Bondco Ltd. (Norway) 12.00%, 8/31/2020 (3)(a)(i)		4,752,922		2,376,461
Hotels, Restaurants & Leisure - 1.3%
Caesars Entertainment Operating Co., Inc. 10.75%, 2/1/2016 (2)(h)		7,125,000		6,091,875
Multiline Retail - 0.0% (b)
Brookstone Holdings Corp. 10.00%, 7/7/2021 (3)(a)(i)		65,475		14,476
Oil, Gas & Consumable Fuels - 0.1%
Black Elk Energy Escrow 13.75%, 12/1/2015 (3)(a)(h)		2,833,436		—
Sabine Oil & Gas Corp. 7.25%, 6/15/2019 (3)(a)(h)		17,830,000		2
7.50%, 9/15/2020 (3)(a)(h)		10,750,000		1
Samson Investment Co. 9.67%, 2/15/2020 (2)(h)		6,300,000		330,750
				330,753
Pharmaceuticals - 0.2%
Concordia International Corp. (Canada) 9.00%, 4/1/2022 (2)(g)		850,000		720,375

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Specialty Retail - 0.0% (b)
RS Legacy Corp. 6.75%, 5/15/2019 (2)(h)	$	6,230,000	$	62
Textiles, Apparel & Luxury Goods - 0.0%
Quiksilver, Inc. 10.00%, 8/1/2020 (3)(a)(h)		6,325,000		—
Thrifts & Mortgage Finance - 0.2%
Washington Mutual Bank, Bank Note
0.00%, 5/1/2009 (2)(f)(h)		5,000,000		1,062,500
TOTAL CORPORATE BONDS (Cost $44,112,464)				16,515,565
CONVERTIBLE BONDS - 42.2%
Aerospace & Defense - 0.2%
Aerojet Rocketdyne Holdings, Inc. 2.25%, 12/15/2023 (2)(g)		775,000		754,656
Auto Components - 0.0% (b)
Exide Technologies 0.00%, 9/18/2013 (3)(a)(d)(f)(h)		650,000		1
Biotechnology - 1.7%
Amicus Therapeutics, Inc. 3.00%, 12/15/2023 (2)(d)(g)		725,000		735,422
Emergent BioSolutions, Inc. 2.88%, 1/15/2021 (2)(d)		4,500,000		5,731,875
PDL BioPharma, Inc. 2.75%, 12/1/2021 (2)(d)		1,850,000		1,485,781
				7,953,078
Capital Markets - 0.1%
MF Global Holdings Ltd. 3.38%, 8/1/2018 (2)(h)		1,609,000		486,723
Communications Equipment - 1.4%
Brocade Communications Systems, Inc. 1.38%, 1/1/2020 (2)		1,556,000		1,562,808
Ciena Corp. 3.75%, 10/15/2018 (2)(d)(g)		650,000		877,906
Finisar Corp. 0.50%, 12/15/2036 (2)(d)(g)		1,175,000		1,184,547
Nortel Networks Corp. (Canada) 1.75%, 4/15/2012 (2)(d)(h)		3,000,000		2,868,750
				6,494,011
Construction Materials - 0.8%
Cemex SAB de CV (Mexico) 3.75%, 3/15/2018 (2)(d)		3,375,000		3,786,328
Consumer Finance - 1.0%
EZCORP, Inc. 2.13%, 6/15/2019 (2)(d)		4,975,000		4,794,656
Diversified Financial Services - 0.9%
Element Fleet Management Corp. (Canada) 5.13%, 6/30/2019 (2)(d)(g)		CAD 4,850,000		4,008,235

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

AQR Funds Annual Report December 2016

34

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Electronic Equipment, Instruments & Components - 2.1%
Vishay Intertechnology, Inc. 2.25%, 11/15/2040 (2)(d)	$	7,702,000	$	9,824,864
Energy Equipment & Services - 0.9%
Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 (2)(d)(g)		150,000		153,000
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (2)(d)		1,150,000		1,187,375
Weatherford International Ltd. 5.88%, 7/1/2021 (2)(d)		2,600,000		2,821,000
				4,161,375
Equity Real Estate Investment Trusts (REITs) - 0.7%
Spirit Realty Capital, Inc. 2.88%, 5/15/2019 (2)(d)		3,000,000		3,121,875
Food Products - 0.0% (b)
Marine Harvest ASA (Norway) Series MHG, 0.88%, 5/6/2019 (2)(d)(j)		EUR 100,000		188,845
Health Care Equipment & Supplies - 0.0%
China Medical Technologies, Inc. (China) Series CMT, 4.00%, 8/15/2013 (3)(a)(d)(h)	$	250,000		—
6.25%, 12/15/2016 (3)(a)(d)(g)(h)		2,625,000		—
				—
Health Care Providers & Services - 0.5%
Anthem, Inc. 2.75%, 10/15/2042 (2)(d)		1,279,000		2,545,210
Health Care Technology - 0.7%
Allscripts Healthcare Solutions, Inc.
1.25%, 7/1/2020 (2)(d)		3,500,000		3,276,875
Independent Power and Renewable Electricity Producers - 0.7%
NRG Yield, Inc. 3.50%, 2/1/2019 (2)(d)(g)		3,475,000		3,457,625
Internet Software & Services - 1.9%
Pandora Media, Inc. 1.75%, 12/1/2020 (2)(d)		5,125,000		5,253,125
VeriSign, Inc. 4.49%, 8/15/2037 (2)(d)		1,510,000		3,360,694
				8,613,819
IT Services - 0.7%
Euronet Worldwide, Inc. 1.50%, 10/1/2044 (2)(d)		2,944,000		3,407,680
Leisure Products - 0.7%
JAKKS Pacific, Inc. 4.88%, 6/1/2020 (2)(d)(g)		4,425,000		3,434,906
Machinery - 2.9%
Meritor, Inc. 7.88%, 3/1/2026 (2)(d)		3,521,000		5,090,045
Titan International, Inc. 5.63%, 1/15/2017(2)(d)(g)		7,575,000		8,379,844
				13,469,889

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Media - 0.4%
Cenveo Corp. 7.00%, 5/15/2017 (2)(d)	$	1,800,000	$	1,782,000
Metals & Mining - 0.8%
A. M. Castle & Co. 5.25%, 12/30/2019 (3)(a)(d)(g)		647,000		246,990
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (2)(d)		2,700,000		3,607,875
				3,854,865
Mortgage Real Estate Investment Trusts (REITs) - 0.1%
Starwood Property Trust, Inc. 4.00%, 1/15/2019 (2)(d)		300,000		336,563
Oil, Gas & Consumable Fuels - 3.5%
Aegean Marine Petroleum Network, Inc. (Greece) 4.25%, 12/15/2021 (2)(d)(g)		375,000		364,922
Alon USA Energy, Inc. 3.00%, 9/15/2018 (2)(d)		1,950,000		2,048,719
Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (2)(d)(h)		800,000		52,000
Amyris, Inc. 9.50%, 4/15/2019 (2)		6,461,000		4,050,239
Cal Dive International, Inc. 5.00%, 7/15/2017 (3)(a)(d)(h)		2,275,000		23
Chesapeake Energy Corp. 5.50%, 9/15/2026 (2)(d)(g)		1,400,000		1,515,500
Emerald Oil, Inc. 2.00%, 4/1/2019 (3)(a)(d)(g)(h)		1,600,000		2,000
Gold Point Energy Corp. 4.50%, 5/1/2015 (3)(a)(h)		1,140,000		—
James River Coal Co. 10.00%, 6/1/2018 (3)(a)(h)		310,000		—
Ship Finance International Ltd. (Norway) 5.75%, 10/15/2021 (2)		8,050,000		8,044,969
				16,078,372
Personal Products - 0.8%
Herbalife Ltd. 2.00%, 8/15/2019 (2)(d)		3,825,000		3,492,703
Pharmaceuticals - 0.9%
Innoviva, Inc. 2.13%, 1/15/2023 (2)(d)		1,700,000		1,440,750
Medicines Co. (The) 2.50%, 1/15/2022 (2)(d)		2,325,000		2,787,094
				4,227,844
Semiconductors & Semiconductor Equipment - 13.6%
GT Advanced Technologies, Inc. 3.00%, 10/1/2017 (3)(a)(h)		2,650,000		—
Inphi Corp. 1.13%, 12/1/2020 (2)(d)		5,450,000		7,040,719
Integrated Device Technology, Inc. 0.88%, 11/15/2022 (2)(d)		3,550,000		3,654,281
Intel Corp. 3.25%, 8/1/2039 (2)(d)		14,450,000		25,477,156
Microchip Technology, Inc. 2.13%, 12/15/2037 (2)(d)		2,215,000		5,947,275
Novellus Systems, Inc. 2.63%, 5/15/2041 (2)(d)		5,000,000		15,565,625

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

AQR Funds Annual Report December 2016

35

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Semiconductors & Semiconductor Equipment - 13.6% (continued)
NXP Semiconductors NV (Netherlands) 1.00%, 12/1/2019 (2)	$	3,025,000	$	3,440,937
SunEdison, Inc. 2.00%, 10/1/2018 (3)(a)(d)(h)		16,350,000		408,750
0.25%, 1/15/2020 (3)(a)(d)(g)(h)		575,000		14,375
2.75%, 1/1/2021 (3)(a)(d)(h)		4,400,000		110,000
SunPower Corp. 4.00%, 1/15/2023 (2)(d)		2,500,000		1,782,813
				63,441,931
Software - 0.6%
Mentor Graphics Corp. 4.00%, 4/1/2031 (2)		1,600,000		2,983,000
Thrifts & Mortgage Finance - 1.4%
MGIC Investment Corp. 2.00%, 4/1/2020 (2)(d)		4,375,000		6,485,937
Tobacco - 2.2%
Vector Group Ltd. 2.50%, 1/15/2019 (2)(d)(f)		6,650,000		10,357,149
TOTAL CONVERTIBLE BONDS (Cost $227,164,547)				196,821,015
LOAN PARTICIPATIONS - 0.2%
Consumer Finance - 0.2%
J.G. Wentworth LLC 7.00%, 2/8/2019 (3)(a)(f)		1,539,171		800,369
Oil, Gas & Consumable Fuels - 0.0% (b)
Black Elk Energy Offshore Investigation DIP 7.50%, 3/22/2017 (3)(a)(f)		197,771		14,017
Black Elk Roll Up Investigation DIP
7.50%, 3/22/2017 (3)(a)(f)		197,771		14,018
				28,035
TOTAL LOAN PARTICIPATIONS (Cost $1,841,231)				828,404
	NO. OF RIGHTS
RIGHTS - 0.2%
Banks - 0.0% (b)
EFG International Finance Guernsey Ltd., expiring 12/31/2049 (Switzerland) (3)*(a)		283,523		2,835
Biotechnology - 0.1%
Ambit Biosciences Corp. CVR (3)*(a)		146,272		144,637
Chelsea Therapeutics, Inc. (Denmark) (3)*(a)		4,668,137		179,723
Durata Therapeutics, Inc. CVR (3)*(a)		261,441		73,112
Prosensa Holding NV CVR (3)*(a)		197,426		2
Tobira Therapeutics, Inc. CVR (3)*(a)		11,880		167,353
				564,827

INVESTMENTS	NO. OF RIGHTS		VALUE
Diversified Financial Services - 0.1%
Barington/Hilco Acquisition Corp., expiring 2/13/2017 *(c)		487,260	$	121,766
Jensyn Acquisition Corp., expiring 3/7/2021 *		174,000		40,890
Origo Acquisition Corp., expiring 12/17/2021 (2)*(c)		325,500		113,925
Pacific Special Acquisition Corp., expiring 4/20/2017 (China) *(c)		373,500		197,955
				474,536
Electronic Equipment, Instruments & Components - 0.0%
Gerber Scientific, Inc. (3)*(a)		879,944		—
Health Care Providers & Services - 0.0% (b)
Community Health Systems, Inc.		7,762,436		34,931
Pharmaceuticals - 0.0%
Furiex Pharmaceuticals, Inc. (3)*(a)		335,833		—
TOTAL RIGHTS (Cost $111,420)				1,077,129
	NO. OF WARRANTS
WARRANTS - 3.1%
Aerospace & Defense - 0.0% (b)
Ability, Inc., expiring 12/17/2018 (Israel) *(c)		1,449,557		46,386
Tempus Applied Solutions Holdings, Inc., expiring 7/31/2020 (3)*(a)(c)		614,551		676
				47,062
Banks - 0.0% (b)
Associated Banc-Corp., expiring 11/21/2018 (2)*		20,065		108,351
Valley National Bancorp, expiring 11/14/2018 (2)*		49,509		9,907
				118,258
Biotechnology - 0.0% (b)
Bioptix, Inc., expiring 5/30/2018 (3)*(a)		24,000		24
Pluristem Therapeutics, Inc., expiring 9/19/2017 (3)*(a)		63,750		1,913
				1,937
Capital Markets - 0.1%
Landcadia Holdings, Inc., expiring 6/1/2023 *(c)		500,000		330,000
Chemicals - 0.0% (b)
AgroFresh Solutions, Inc., expiring 2/19/2019 *		504,000		88,200
Delta Technology Holdings Ltd., expiring 12/18/2017 (China) (2)*		818,832		45,445
				133,645
Construction & Engineering - 0.2%
Limbach Holdings, Inc., expiring 7/20/2021 *		336,504		878,276

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

AQR Funds Annual Report December 2016

36

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF WARRANTS		VALUE
Consumer Finance - 0.0% (b)
China Lending Corp., expiring 7/6/2021 (China) *		142,386	$	24,191
Distributors - 0.0% (b)
KBS Fashion Group Ltd., expiring 1/22/2018 (China) (3)*(a)		763,024		153
Diversified Consumer Services - 0.0% (b)
Education Management Corp., expiring 1/5/2022 (3)*(a)(c)		16,528,497		165
Diversified Financial Services - 2.2%
Acasta Enterprises, Inc., expiring 1/3/2022 (Canada) *		579,085		560,690
Alignvest Acquisition Corp., expiring 6/15/2023 (Canada) (2)*		445,000		391,092
Axar Acquisition Corp., expiring 10/28/2019 *		697,500		52,312
Barington/Hilco Acquisition Corp., expiring 2/11/2018 *		487,260		62,369
Boulevard Acquisition Corp. II, expiring 9/25/2020 *		1,698,740		849,370
Capitol Acquisition Corp. III, expiring 10/19/2020 (2)*		1,575,000		1,370,250
CF Corp., expiring 7/8/2021 *		750,000		937,500
Double Eagle Acquisition Corp., expiring 10/16/2020 *		2,047,500		962,325
Dundee Acquisition Ltd., expiring 4/14/2020 (Canada) (2)*		630,000		98,536
Easterly Acquisition Corp., expiring 7/29/2020 (2)*		823,250		265,087
Electrum Special Acquisition Corp., expiring 6/11/2021 *		990,000		277,200
Gibraltar Growth Corp., expiring 11/11/2020 (Canada) (2)*		1,274,000		308,383
Global Partner Acquisition Corp., expiring 8/13/2020 *		1,068,000		331,080
GP Investments Acquisition Corp., expiring 5/26/2022(2) *		987,500		444,375
Harmony Merger Corp., expiring 1/1/2021 *(c)		1,475,100		553,163
Hennessy Capital Acquisition Corp. II, expiring 9/11/2020 *		1,028,837		874,511
Jensyn Acquisition Corp., expiring 4/26/2021 *		174,000		19,105
Kew Media Group, Inc., expiring 7/25/2021 (Canada) *		300,000		127,360
KLR Energy Acquisition Corp., expiring 9/16/2022 *(c)		500,000		700,000
Origo Acquisition Corp., expiring 12/17/2021 *(c)		325,500		88,211
Pace Holdings Corp., expiring 10/29/2020 *		455,000		273,000
Pacific Special Acquisition Corp., expiring 10/27/2020 (China) *(c)		373,500		104,580
Quinpario Acquisition Corp. 2, expiring 1/1/2023 *(c)		2,880,708		576,142

INVESTMENTS	NO. OF WARRANTS		VALUE
Diversified Financial Services - 2.2% (continued)
ROI Acquisition Corp. II, expiring 9/17/2018 (3)*(a)		882,000	$	—
				10,226,641
Electronic Equipment, Instruments & Components - 0.0% (b)
RMG Networks Holding Corp., expiring 4/8/2018 (2)*		631,210		1,263
Energy Equipment & Services - 0.0% (b)
Glori Energy, Inc., expiring 7/25/2019 *		287,100		1,148
Hotels, Restaurants & Leisure - 0.2%
Inspired Entertainment, Inc., expiring 12/9/2019 (2)*		1,533,043		797,182
Independent Power and Renewable Electricity Producers - 0.0% (b)
Electrawinds SE, expiring 10/11/2017 (Luxembourg) (3)*(a)		621,000		1,307
Internet & Direct Marketing Retail - 0.2%
Yatra Online, Inc., expiring 12/16/2021 (India) *		1,428,000		992,460
Internet Software & Services - 0.0% (b)
Net Element, Inc., expiring 10/2/2017 (3)*(a)		319,668		9,590
Machinery - 0.2%
Blue Bird Corp., expiring 2/24/2020*		302,439		650,244
Jason Industries, Inc., expiring 6/30/2019 *		1,933,070		81,382
				731,626
Media - 0.0% (b)
Global Eagle Entertainment, Inc., expiring 1/31/2018 (2)*		367,857		91,964
Semiconductors & Semiconductor Equipment - 0.0%
GT Advanced Technologies, Inc., expiring 3/17/2019 (3)*(a)		2,101		—
Transportation Infrastructure - 0.0% (b)
Pingtan Marine Enterprise Ltd., expiring 2/26/2018 (3)*(a)		395,000		3,950
TOTAL WARRANTS (Cost $2,182,755)				14,390,818
	NO. OF UNITS
SECURITIES IN LITIGATION - 0.1%
Auto Components - 0.1%
DEMC, Ltd., Class A-1 (3)*(a)		13,027		130,269
DEMC, Ltd., Class A-2 (3)*(a)		120,764,937		120,765
DEMC, Ltd., Class B-1 (3)*(a)		10,488		—
				251,034

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

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Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF UNITS			VALUE
Software - 0.0% (b)
TimeGate Studios, Inc. (3)*(a)(h)		3,591,250		$	201,735
TimeGate Studios, Inc. (3)*(a)		1,500,000			—
					201,735
TOTAL SECURITIES IN LITIGATION (Cost $3,838,734)					452,769
	SHARES
SHORT-TERM INVESTMENTS - 35.4%
INVESTMENT COMPANIES - 24.6%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (2)(k)		4,321,238			4,321,238
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (2)(k)		17,284,954			17,284,954
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (2)(k)(l)		50,339,592			50,339,592
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (2)(k)(l)		21,210,352			21,210,352
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (2)(k)		21,606,193			21,606,193
TOTAL INVESTMENT COMPANIES (Cost $114,762,329)					114,762,329
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 10.8%
U.S. Treasury Bills
0.43%, 1/19/2017 (2)(m)	$	39,990,000			39,982,642
0.43%, 1/26/2017 (2)(m)		2,201,000			2,200,408
0.48%, 3/2/2017 (2)(m)		95,000			94,926
0.63%, 5/18/2017 (2)(m)		650,000			648,523
0.61%, 5/25/2017 (2)(m)		2,225,000			2,219,669
0.65%, 6/15/2017 (2)(m)		5,109,000			5,094,945
TOTAL U.S. TREASURY OBLIGATIONS (Cost $50,238,653)					50,241,113
TOTAL SHORT-TERM INVESTMENTS (Cost $165,000,982)					165,003,442
TOTAL LONG POSITIONS (Cost $665,017,064)					617,430,895
	SHARES
SHORT POSITIONS - (39.5)%
COMMON STOCKS - (38.4)%
Air Freight & Logistics - 0.0% (b)
bpost SA (Belgium) (2)		(7	)		(165	)
Banks - (0.6)%
Associated Banc-Corp.		(14,001	)		(345,825	)
Comerica, Inc.		(727	)		(49,516	)
Pacific Premier Bancorp, Inc. *		(33,506	)		(1,184,437	)
Simmons First National Corp., Class A		(20,210	)		(1,256,051	)
Valley National Bancorp		(7,164	)		(83,389	)
					(2,919,218	)

INVESTMENTS	SHARES			VALUE
Biotechnology - (0.8)%
Emergent BioSolutions, Inc. *		(98,372	)	$	(3,230,537	)
PDL BioPharma, Inc.		(165,285	)		(350,404	)
Pluristem Therapeutics, Inc. *		(4,430	)		(6,335	)
					(3,587,276	)
Capital Markets - (0.2)%
CBOE Holdings, Inc.		(11,690	)		(863,774	)
Penson Worldwide, Inc. (3)*(a)		(217,523	)		—
					(863,774	)
Chemicals - (0.3)%
AgroFresh Solutions, Inc. *		(73,423	)		(194,571	)
Potash Corp. of Saskatchewan, Inc. (Canada)		(45,782	)		(828,196	)
Praxair, Inc.		(1,734	)		(203,208	)
					(1,225,975	)
Commercial Services & Supplies - (0.2)%
Stericycle, Inc. *		(9,892	)		(762,080	)
Communications Equipment - (0.1)%
Ciena Corp.*		(25,141	)		(613,692	)
Construction Materials - (0.4)%
Cemex SAB de CV, ADR (Mexico) *		(206,677	)		(1,659,616	)
Consumer Finance - (0.3)%
EZCORP, Inc., Class A *		(151,020	)		(1,608,363	)
Distributors - 0.0% (b)
KBS Fashion Group Ltd. (China) *		(3,018	)		(845	)
Diversified Financial Services - (0.3)%
Element Fleet Management Corp. (Canada)		(133,032	)		(1,234,558	)
Diversified Telecommunication Services - (0.1)%
CenturyLink, Inc.		(26,676	)		(634,355	)
Electric Utilities - (0.4)%
Fortis, Inc. (Canada)		(7,728	)		(238,635	)
Great Plains Energy, Inc.		(64,473	)		(1,763,336	)
					(2,001,971	)
Electronic Equipment, Instruments & Components - (1.8)%
Vishay Intertechnology, Inc.		(521,760	)		(8,452,512	)
Energy Equipment & Services - (0.7)%
Patterson-UTI Energy, Inc.		(54,811	)		(1,475,512	)
SEACOR Holdings, Inc. *		(5,149	)		(367,021	)
Weatherford International plc *		(245,156	)		(1,223,328	)
					(3,065,861	)
Equity Real Estate Investment Trusts (REITs) - (1.6)%
Cousins Properties, Inc.		(2,472	)		(21,037	)
Mid-America Apartment Communities, Inc.		(6,023	)		(589,772	)
Parkway, Inc. *		(309	)		(6,875	)

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

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38

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
Equity Real Estate Investment Trusts (REITs) - (1.6)% (continued)
Regency Centers Corp.		(23,042	)	$	(1,588,746	)
Spirit Realty Capital, Inc.		(64,145	)		(696,615	)
Welltower, Inc.		(68,327	)		(4,573,126	)
					(7,476,171	)
Food Products - (0.7)%
Bunge Ltd.		(39,686	)		(2,866,916	)
Marine Harvest ASA (Norway) (2)*		(9,971	)		(180,281	)
					(3,047,197	)
Health Care Equipment & Supplies - 0.0% (b)
China Medical Technologies, Inc., ADR (China) (3)*(a)		(40,234	)		(402	)
Health Care Providers & Services - (0.8)%
Anthem, Inc.		(15,791	)		(2,270,272	)
Envision Healthcare Corp. *		(24,617	)		(1,558,010	)
					(3,828,282	)
Health Care Technology - (0.2)%
Allscripts Healthcare Solutions, Inc. *		(76,370	)		(779,738	)
Hotels, Restaurants & Leisure - (0.2)%
Vail Resorts, Inc.		(5,137	)		(828,649	)
Independent Power and Renewable Electricity Producers - (0.1)%
NRG Yield, Inc., Class A		(35,131	)		(539,612	)
Insurance - (0.1)%
Fairfax Financial Holdings Ltd. (Canada)		(794	)		(383,502	)
Internet Software & Services - (5.8)%
Alibaba Group Holding Ltd., ADR (China)*		(239,746	)		(21,052,096	)
Pandora Media, Inc. *		(199,768	)		(2,604,975	)
VeriSign, Inc. *		(43,936	)		(3,342,212	)
					(26,999,283	)
IT Services - (0.4)%
Euronet Worldwide, Inc. *		(27,111	)		(1,963,650	)
Leisure Products - (0.2)%
JAKKS Pacific, Inc. *		(215,798	)		(1,111,360	)
Life Sciences Tools & Services - (0.2)%
Quintiles IMS Holdings, Inc. *		(10,642	)		(809,324	)
Machinery - (2.3)%
Jason Industries, Inc. *		(11,068	)		(19,922	)
Meritor, Inc. *		(237,859	)		(2,954,209	)
Titan International, Inc.		(695,083	)		(7,791,881	)
					(10,766,012	)
Media - (0.3)%
Global Eagle Entertainment, Inc. *		(107,084	)		(691,763	)
News Corp., Class B		(39,972	)		(471,669	)
					(1,163,432	)
Metals & Mining - (0.5)%
Allegheny Technologies, Inc.		(158,824	)		(2,530,066	)

INVESTMENTS	SHARES			VALUE
Mortgage Real Estate Investment Trusts (REITs) - 0.0% (b)
Starwood Property Trust, Inc.		(9,942	)	$	(218,227	)
Oil, Gas & Consumable Fuels - (1.1)%
Alon USA Energy, Inc.		(53,018	)		(603,345	)
Chesapeake Energy Corp. *		(128,268	)		(900,441	)
Ship Finance International Ltd. (Norway)		(215,376	)		(3,198,334	)
Tesoro Corp.		(5,669	)		(495,754	)
					(5,197,874	)
Pharmaceuticals - (2.1)%
Allergan plc *		(34,015	)		(7,143,490	)
Innoviva, Inc. *		(53,313	)		(570,449	)
Medicines Co. (The) *		(54,743	)		(1,857,978	)
					(9,571,917	)
Semiconductors & Semiconductor Equipment - (10.7)%
Inphi Corp. *		(107,880	)		(4,813,606	)
Integrated Device Technology, Inc. *		(68,976	)		(1,625,074	)
Intel Corp.		(593,074	)		(21,510,794	)
Lam Research Corp.		(144,747	)		(15,304,100	)
MACOM Technology Solutions Holdings, Inc. *		(5,008	)		(231,770	)
Microchip Technology, Inc.		(92,852	)		(5,956,456	)
SunPower Corp. *		(41,765	)		(276,067	)
					(49,717,867	)
Software - 0.0% (b)
Dell Technologies, Inc., Class V *		(2,472	)		(135,886	)
Thrifts & Mortgage Finance - (1.2)%
MGIC Investment Corp. *		(547,465	)		(5,578,668	)
Tobacco - (1.7)%
Vector Group Ltd.		(358,032	)		(8,141,648	)
Wireless Telecommunication Services - (2.0)%
T-Mobile US, Inc. *		(163,957	)		(9,429,167	)
TOTAL COMMON STOCKS (Proceeds $(174,534,540))					(178,848,195	)
EXCHANGE TRADED FUNDS - (0.5)%
Consumer Discretionary Select Sector SPDR Fund		(16,092	)		(1,309,888	)
Powershares QQQ Trust Series 1		(8,354	)		(989,782	)
TOTAL EXCHANGE TRADED FUNDS (Proceeds $(2,302,121))					(2,299,670	)
	PRINCIPAL AMOUNT
CONVERTIBLE BONDS - (0.6)%
Internet & Direct Marketing Retail - (0.2)%
Priceline Group, Inc. (The)
0.90%, 9/15/2021 (2)	$	(900,000	)		(950,625	)
IT Services - (0.2)%
Blackhawk Network Holdings, Inc.
1.50%, 1/15/2022 (2)(g)		(1,025,000	)		(1,050,625	)

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

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39

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
Semiconductors & Semiconductor Equipment - (0.2)%
ON Semiconductor Corp.
1.00%, 12/1/2020(2)	$	(850,000	)	$	(870,719	)
TOTAL CONVERTIBLE BONDS (Proceeds $(2,836,171))					(2,871,969	)
TOTAL SHORT POSITIONS (Proceeds $(179,672,832))					(184,019,834	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 93.0% (Cost $485,344,232)					433,411,061
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.0% (n)				32,606,190
NET ASSETS - 100.0%				$466,017,251

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	17,802,667			3.8	%
Consumer Staples		13,364,731			2.9
Energy		14,781,856			3.2
Exchange Traded Fund		(2,299,670	)		(0.5	)
Financials		134,462,280			28.9
Health Care		13,907,695			3.0
Industrials		9,036,333			1.9
Information Technology		34,112,269			7.3
Materials		16,806,298			3.6
Real Estate		7,584,626			1.6
Telecommunication Services		2,107,329			0.5
Utilities		6,741,205			1.4
Short-Term Investment		165,003,442			35.4
Total Investments In Securities At Value		433,411,061			93.0
Other Assets in Excess of Liabilities (n)		32,606,190			7.0
Net Assets	$	466,017,251			100.0	%

* Non-income producing security.

(a) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 12/31/2016 amounted to $12,226,205, which represents approximately 2.62% of net assets of the fund.

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

(c) Affiliated company as defined under the Investment Company Act of 1940.

(d) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $239,341,153. In addition, $22,713,003 of cash collateral was pledged.

(e) Perpetual security. The rate reflected was the rate in effect on 12/31/2016. The maturity date reflects the next call date.

(f) Variable or floating rate security. The interest rate shown was the current rate as of 12/31/2016 and changes periodically.

(g) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 12/31/2016 amounted to $30,981,698, which represents approximately 6.65% of net assets of the fund.

(h) Defaulted security.

(i) Payment in-kind security.

(j) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At 12/31/2016, the value of these securities amounted to $188,845 or 0.04% of net assets.

(k) Represents 7-day effective yield as of 12/31/2016.

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

(m) The rate shown was the effective yield at the date of purchase.

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

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).

Abbreviations

ADR - American Depositary Receipt

CVR - Contingent Value Rights

DIP - Debtor-in-Possession

SPDR - Standard & Poor’s Depositary Receipt

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

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Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

Credit default swap contracts buy protection as of December 31, 2016:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND		CURRENCY	CREDIT SPREAD		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CITG	Markit CDX North America High Yield Index Series 27.V1		5.000%	USD		3.540%		20,650,000		$(704,526	)		12/20/2021		$(604,182	)
CITG	Markit CDX North America Investment Grade Index Series 27.V1		1.000%	USD		0.680%		225,000		(2,015	)		12/20/2021		(1,458	)
										$(706,541	)				$(605,640	)

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
58	BARC	Euro Stoxx 50 Index Futures		03/2017		$(1,966,126	)		$(2,000,730	)		$(34,604	)
330	BARC	S&P 500 E-Mini Futures		03/2017		(37,182,728	)		(36,897,300	)		285,428
49	BARC	U.S. Treasury 10-Year Note Futures		03/2017		(6,129,248	)		(6,089,781	)		39,467
183	JPMS	U.S. Treasury 2-Year Note Futures		03/2017		(39,689,558	)		(39,653,812	)		35,746
54	JPMS	U.S. Treasury 5-Year Note Futures		03/2017		(6,373,489	)		(6,353,860	)		19,629
						$(91,341,149	)		$(90,995,483	)		$345,666

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

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Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY		CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/15/17	CITI		CAD		725,969		$536,433		$541,147		$4,714
Canadian Dollar, Expiring 03/15/17	JPMC		CAD		816,715		603,608		608,790		5,182
Euro, Expiring 03/15/17	CITI		EUR		215,982		231,097		228,155		(2,942	)
Euro, Expiring 04/05/17	CITI		EUR		21,000		23,362		22,211		(1,151	)
							$1,394,500		$1,400,303		$5,803

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		(8,556,501	)		$(6,429,343	)		$(6,378,126	)		$51,217
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		(12,834,748	)		(9,644,002	)		(9,567,188	)		76,814
Swiss Franc, Expiring 03/15/17	CITI	CHF		(500,364	)		(497,284	)		(493,549	)		3,735
Euro, Expiring 03/15/17	CITI	EUR		(1,414,091	)		(1,515,110	)		(1,493,789	)		21,321
Euro, Expiring 04/05/17	CITI	EUR		(21,000	)		(28,010	)		(22,211	)		5,799
Euro, Expiring 03/15/17	JPMC	EUR		(2,092,258	)		(2,241,891	)		(2,210,178	)		31,713
							(20,355,640	)		(20,165,041	)		190,599
							$(18,961,140	)		$(18,764,738	)		$196,402

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

USD - United States Dollar

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

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Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at December 31, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	66-67 months maturity 08/12/2019		$18,463

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

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
United States
Herbalife Ltd.		(33,720	)	$	(1,641,490	)	$	18,209
Net Cash and Other Receivables/ (Payables) (b)								254
Swaps, at Value							$	18,463

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Warsaw Interbank Effective Rate plus or minus a specified spread, which is denominated in PLN based on the local currencies of the positions within the swap.	25 months maturity 12/27/2018		$(5,066	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Poland
Bank Pekao SA		(8,700	)	$	(256,211	)	$	(5,021	)
Net Cash and Other Receivables/ (Payables) (b)								(45	)
Swaps, at Value							$	(5,066	)

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

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

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

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Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	24-25 months maturity ranging from 11/26/2018 - 12/27/2018		$265,338

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	PRINCIPAL			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Convertible Bonds
Germany
Bayer Capital Corp. BV 5.63%, 11/22/2019	$	5,000,000		$	5,260,380		$	513,460
Italy
UniCredit SpA 0.00%, 12/15/2019 (c)		270,294			244,342			8,885
Total of Long Positions							522,345
Short Positions	SHARES
Common Stocks
Germany
Bayer AG		(41,111	)		(4,095,755	)		(187,331	)
Total of Long and Short Positions								335,014
Net Cash and Other Receivables/ (Payables) (b)								(69,676	)
Swaps, at Value							$	265,338

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

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

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Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	85 months maturity 11/10/2021		$430,824

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Convertible Bond
United Kingdom
Virgin Media Finance plc 4.88%, 2/15/2022	$	6,400,000	$	5,425,600	$	435,400
Net Cash and Other Receivables/ (Payables) (b)						(4,576	)
Swaps, at Value					$	430,824

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	37 months maturity 10/22/2017		$158,682

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Japan
Yahoo Japan Corp.		(956,459	)	$	(3,777,421	)	$	114,219
Net Cash and Other Receivables/ (Payables) (b)								44,463
Swaps, at Value							$	158,682

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

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

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

AQR Funds Annual Report December 2016

45

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	73 months maturity 12/20/2021		$(4,221	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Italy
Telecom Italia SpA		471,432		$	309,990		$	32,172
Short Positions
Common Stocks
Italy
Telecom Italia SpA		(471,432	)		(380,404	)		(35,842	)
Total of Long and Short Equity Positions								(3,670	)
Net Cash and Other Receivables/ (Payables) (b)								(551	)
Swaps, at Value							$	(4,221	)

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

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

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

AQR Funds Annual Report December 2016

46

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	86 months maturity 09/30/2021		$2,646,360

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Singapore
InterOil Corp.		3,867	$	191,262	$	(7,270	)
United States
Alere, Inc.		129,914		4,871,775		190,974
American Capital Ltd.		50,451		830,928		73,154
Apollo Education Group, Inc.		168,887		1,518,294		153,687
Cigna Corp.		37,757		4,869,143		167,264
Dell Technologies, Inc.		2,472		93,817		42,069
Empire District Electric Co. (The)		53,476		1,803,745		19,251
Envision Healthcare Corp.		36		2,577		(298	)
Fidelity & Guaranty Life		94,022		2,055,321		173,000
Humana, Inc.		24,144		4,166,047		760,053
Linear Technology Corp.		1,005		59,402		3,260
Media General, Inc.		55,436		975,119		68,741
Monsanto Co.		3,721		397,291		(5,805	)
Rite Aid Corp.		552,989		3,870,923		685,706
St. Jude Medical, Inc.		32,347		2,686,095		(92,189	)
Suffolk Bancorp		38,288		1,260,058		379,434
Valspar Corp. (The)		31,335		3,336,237		(89,618	)
Westar Energy, Inc.		38,810		2,156,672		30,272
WhiteWave Foods Co. (The)		11,325		628,424		1,246
					2,560,201
Total of Long Equity Positions					2,552,931
Rights
Netherlands
Prosensa Holding NV CVR (c)		7,998		—		—
United States
Durata Therapeutics, Inc. CVR (c)		89,246		66,935		(41,977	)
Dyax Corp. CVR (c)		50,988		19,885		47,242
Safeway, Inc. Casa Ley CVR (c)		351,185		—		70,813

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Safeway, Inc. PDR CVR (c)		351,185		$	—		$	24,095
								100,173
Total Rights								100,173
Total of Long Equity Positions and Rights								2,653,104
Short Positions
Common Stocks
United States
Abbott Laboratories		(28,168	)		(1,260,518	)		178,585
Aetna, Inc.		(20,785	)		(2,394,640	)		(182,908	)
Analog Devices, Inc.		(252	)		(15,836	)		(2,464	)
Anthem, Inc.		(19,452	)		(2,558,832	)		(237,782	)
Ares Capital Corp.		(24,353	)		(368,704	)		(32,877	)
Ball Corp.		(8	)		(565	)		(35	)
Cousins Properties, Inc.		(2	)		(21	)		4
Great Plains Energy, Inc.		(8,366	)		(249,139	)		20,329
Marriott International, Inc.		(1	)		(72	)		(11	)
Nexstar Broadcasting Group, Inc.		(6,924	)		(350,057	)		(88,232	)
People’s United Financial, Inc.		(85,191	)		(1,290,595	)		(358,703	)
Quintiles IMS Holdings, Inc.		(6	)		(391	)		(65	)
								(704,159	)
Total of Short Equity Positions								(704,159	)
Total of Long and Short Equity Positions and Rights								1,948,945
Net Cash and Other Receivables/ (Payables) (b)								697,415
Swaps, at Value							$	2,646,360

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

AQR Funds Annual Report December 2016

47

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	36 months maturity 08/21/2017		$60,980

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Entertainment One Ltd.		138,322	$	372,204	$	20,262
United Kingdom
London Stock Exchange Group plc		24,406		830,441		41,856
Total of Long Equity Positions						62,118
Net Cash and Other Receivables/ (Payables) (b)						(1,138	)
Swaps, at Value					$	60,980

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

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

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

AQR Funds Annual Report December 2016

48

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	86 months maturity 09/30/2021		$53,702

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Fortis, Inc.		74		$	2,312		$	(27	)
Manitoba Telecom Services, Inc.		111,473			3,205,271			(53,656	)
								(53,683	)
Total of Long Equity Positions								(53,683	)
Short Positions
Common Stocks
Canada
BCE, Inc.		(37,323	)		(1,739,132	)		126,013
Total of Long and Short Equity Positions								72,330
Net Cash and Other Receivables/ (Payables) (b)								(18,628	)
Swaps, at Value							$	53,702

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

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

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

AQR Funds Annual Report December 2016

49

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	61 months maturity 09/13/2021		$(25,035	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Austria
Conwert Immobilien Invest SE		37,763	$	666,906	$	(24,526	)
Net Cash and Other Receivables/ (Payables) (b)						(509	)
Swaps, at Value					$	(25,035	)

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the CHF/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	25 months maturity 09/20/2017		$107,639

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Syngenta AG		5,148	$	1,921,853	$	112,137
Net Cash and Other Receivables/ (Payables) (b)						(4,498	)
Swaps, at Value					$	107,639

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

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

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

AQR Funds Annual Report December 2016

50

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	61 months maturity 11/30/2021		$4,750

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Calsonic Kansei Corp.		32,000	$	485,805	$	4,671
Net Cash and Other Receivables/ (Payables) (b)						79
Swaps, at Value					$	4,750

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

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

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

AQR Funds Annual Report December 2016

51

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Australian Bank-Bill Swap Reference Rate and Australian Overnight Indexed Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	2-51 months maturity ranging from 02/21/2017 - 12/21/2020		$58,427

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
DUET Group		199,533		$	390,429		$	3,616
Tatts Group Ltd.		172,180			512,173			42,655
								46,271
Total of Long Equity Positions								46,271
Short Positions
Common Stocks
Australia
Tabcorp Holdings Ltd.		(110,432	)		(385,988	)		3,397
Total of Long and Short Equity Positions								49,668
Net Cash and Other Receivables/ (Payables) (b)								8,759
Swaps, at Value							$	58,427

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

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

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

AQR Funds Annual Report December 2016

52

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Dollar Offered Rate and Canadian Overnight Repurchase Rate Average plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	49-50 months maturity 12/22/2020		$(236,096	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Manitoba Telecom Services, Inc.		3,025		$	84,460		$	1,065
Short Positions
Common Stocks
Canada
BCE, Inc.		(867	)		(39,357	)		1,885
Canadian Imperial Bank of Commerce		(29,357	)		(2,224,823	)		(170,703	)
Kirkland Lake Gold Ltd.		(7	)		(49	)		12
								(168,806	)
Total of Short Equity Positions								(168,806	)
Total of Long and Short Equity Positions								(167,741	)
Net Cash and Other Receivables/ (Payables) (b)								(68,355	)
Swaps, at Value							$	(236,096	)

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

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

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

AQR Funds Annual Report December 2016

53

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	49 months maturity 12/21/2020		$65,766

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Actelion Ltd.		2,279	$	427,367	$	65,144
Net Cash and Other Receivables/ (Payables) (b)						622
Swaps, at Value					$	65,766

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

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

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

AQR Funds Annual Report December 2016

54

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	49-50 months maturity 12/21/2020		$(235,036	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Austria
Conwert Immobilien Invest SE		9,772		$	165,785		$	445
Short Positions
Common Stocks
France
Technip SA		(30,383	)		(1,927,869	)		(236,365	)
Total of Long and Short Equity Positions								(235,920	)
Net Cash and Other Receivables/ (Payables) (b)								884
Swaps, at Value							$	(235,036	)

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

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

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

AQR Funds Annual Report December 2016

55

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	48-61 months maturity ranging from 12/21/2020 - 12/22/2021		$4,780

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Sky plc		105,850		$	1,294,033		$	(3,623	)
Short Positions
Common Stocks
United Kingdom
British American Tobacco plc		(8,408	)		(472,113	)		(4,414	)
Total of Long and Short Equity Positions								(8,037	)
Net Cash and Other Receivables/ (Payables) (b)								12,817
Swaps, at Value							$	4,780

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

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

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

AQR Funds Annual Report December 2016

56

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	48-50 months maturity 12/22/2020		$2,002,680

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Agrium, Inc.		24,876	$	2,360,151	$	141,131
United States
AEP Industries, Inc.		28,681		3,380,056		(50,192	)
Apollo Education Group, Inc.		28,975		254,690		32,162
Applied Micro Circuits Corp.		42,108		362,129		(14,738	)
B/E Aerospace, Inc.		93,630		5,576,607		58,982
Bats Global Markets, Inc.		53,383		1,569,994		218,870
Blue Nile, Inc.		30,798		1,245,163		6,160
Brocade Communications Systems, Inc.		342,912		4,238,864		44,107
Cabela’s, Inc.		41,440		2,553,118		(126,806	)
Cardinal Financial Corp.		51,001		1,419,384		252,939
Cascade Bancorp		219,659		1,574,955		208,676
Chemtura Corp.		67,270		2,206,456		26,908
CLARCOR, Inc.		15,497		1,277,789		249
CST Brands, Inc.		108,084		5,190,933		13,312
Datalink Corp.		66,442		742,157		5,980
Dow Chemical Co. (The)		79,755		4,292,008		271,573
Empire District Electric Co. (The)		200		6,846		(28	)
Endurance Specialty Holdings Ltd.		56,418		5,188,786		24,237
Equity One, Inc.		72,166		2,159,928		54,846
EverBank Financial Corp.		140,648		2,715,549		20,055
FairPoint Communications, Inc.		78,905		1,499,984		(24,461	)
FMC Technologies, Inc.		60,766		1,960,919		198,097
G&K Services, Inc.		27,340		2,590,931		46,012
Genworth Financial, Inc.		158,985		662,609		(56,877	)
Harman International Industries, Inc.		38,151		4,175,627		65,238
Headwaters, Inc.		74,386		1,759,229		(9,670	)
Humana, Inc.		2,952		506,357		95,940
Inteliquent, Inc.		21,551		492,009		1,940

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Intersil Corp.		158,621	$	3,502,352	$	34,897
Isle of Capri Casinos, Inc.		116,670		2,592,407		288,175
Joy Global, Inc.		86,302		2,406,497		9,959
Lattice Semiconductor Corp.		79,489		559,603		25,436
Level 3 Communications, Inc.		22,266		1,257,488		(2,576	)
LifeLock, Inc.		56,159		1,336,584		6,739
Linear Technology Corp.		116,260		7,040,383		208,428
Mentor Graphics Corp.		81,326		2,975,718		24,398
Merchants Bancshares, Inc.		26,280		1,130,040		294,336
Metaldyne Performance Group, Inc.		77,022		1,548,142		219,513
Mid-America Apartment Communities, Inc.		25		2,317		131
Monsanto Co.		21,281		2,144,486		94,488
NeuStar, Inc.		7,143		236,259		2,317
NorthStar Asset Management Group, Inc.		33,382		457,333		40,726
NorthStar Realty Finance Corp.		24,949		367,519		10,458
PrivateBancorp, Inc.		80,275		3,663,974		686,129
Reynolds American, Inc.		15,282		841,733		14,671
Spectra Energy Corp.		121,030		5,060,264		(87,142	)
St. Jude Medical, Inc.		38,344		2,984,697		90,108
Suffolk Bancorp		21,440		878,826		39,235
Team Health Holdings, Inc.		58,818		2,515,987		39,655
Time Warner, Inc.		33,236		2,957,672		250,599
Universal American Corp.		51,749		518,525		(3,622	)
Valspar Corp. (The)		1,263		125,795		5,065
Vascular Solutions, Inc.		6,857		383,009		1,668
WCI Communities, Inc.		36,764		851,087		11,029
Westar Energy, Inc.		21,980		1,259,894		(21,321	)
Western Refining, Inc.		80,820		2,875,576		183,461

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

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57

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WhiteWave Foods Co. (The)		49,524		$	2,698,563		$	54,972
Yadkin Financial Corp.		65,976			1,830,174			430,164
								4,315,607
Total of Long Equity Positions								4,456,738
Short Positions
Common Stocks
Canada
Enbridge, Inc.		(119,094	)		(5,141,287	)		125,048
Potash Corp. of Saskatchewan, Inc.		(138,684	)		(2,342,176	)		(166,618	)
								(41,570	)
United States
Abbott Laboratories		(33,390	)		(1,310,224	)		27,714
Aetna, Inc.		(1,908	)		(204,824	)		(31,787	)
American Axle & Manufacturing Holdings, Inc.		(38,511	)		(591,914	)		(151,348	)
Analog Devices, Inc.		(26,965	)		(1,784,205	)		(173,993	)
Ares Capital Corp.		(15	)		(241	)		(7	)
AT&T, Inc.		(37,563	)		(1,381,943	)		(215,612	)
Berry Plastics Group, Inc.		(37,755	)		(1,891,275	)		51,474
CBOE Holdings, Inc.		(17,088	)		(1,080,132	)		(182,500	)
CenturyLink, Inc.		(31,809	)		(850,846	)		94,428
Colony Capital, Inc.		(41,476	)		(797,525	)		(42,364	)
Community Bank System, Inc.		(18,587	)		(882,801	)		(265,690	)
Consolidated Communications Holdings, Inc.		(57,601	)		(1,579,114	)		32,527

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
EI du Pont de Nemours & Co.		(62,208	)	$	(4,283,959	)	$	(282,108	)
Eldorado Resorts, Inc.		(80,232	)		(1,085,435	)		(274,497	)
First Interstate BancSystem, Inc.		(32,650	)		(1,217,845	)		(171,413	)
FNB Corp.		(142,509	)		(1,862,593	)		(421,827	)
Great Plains Energy, Inc.		(4,365	)		(123,878	)		4,495
MACOM Technology Solutions Holdings, Inc.		(4,585	)		(226,958	)		14,764
People’s United Financial, Inc.		(47,704	)		(882,047	)		(41,502	)
Regency Centers Corp.		(32,474	)		(2,172,511	)		(66,572	)
Rockwell Collins, Inc.		(21,326	)		(1,842,069	)		(136,131	)
Tesoro Corp.		(33,284	)		(2,734,613	)		(176,072	)
United Bankshares, Inc.		(36,211	)		(1,448,240	)		(226,519	)
								(2,634,540	)
Total of Short Equity Positions								(2,676,110	)
Total of Long and Short Equity Positions								1,780,628
Net Cash and Other Receivables/ (Payables) (b)								222,052
Swaps, at Value							$	2,002,680

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

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

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

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58

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	12-13 months maturity ranging from 04/20/2017 - 12/28/2017		$432,995

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Private Placements
United States
Penson Technologies LLC, Class B Shares(c)		9,326,216		$	9		$	420,137
Short Positions
Common Stocks
United States
World Wrestling Entertainment, Inc.		(9,069	)		(179,657	)		12,787
Total of Long and Short Equity Positions								432,924
Net Cash and Other Receivables/ (Payables) (b)								71
Swaps, at Value(3)							$	432,995

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

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

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

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59

Schedule of Investments December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Investment Companies		$680,000		$—		$680,000
BARC
Cash		—		1,612,259		1,612,259
CITG
Cash		—		1,988,934		1,988,934
CITI
Investment Companies		80,001		—		80,001
DTBK
Investment Companies		5,377,871		—		5,377,871
GSIN
Investment Companies		15,381,930		—		15,381,930
JPMC
Investment Companies		450,000		—		450,000
JPMS
Cash		—		90,100		90,100

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

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60

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 119.4%
COMMON STOCKS - 31.0%
Belgium - 0.6%
Ageas (a)		82,157	$	3,247,403
bpost SA (a)		60,266		1,424,725
Colruyt SA (a)		3,456		170,813
Galapagos NV *(a)		4,998		320,098
KBC Group NV (a)		6,371		393,650
Proximus SADP (a)		5,894		169,434
Solvay SA (a)		5,423		633,984
Umicore SA (a)		16,581		943,316
				7,303,423
Canada - 3.7%
Agnico Eagle Mines Ltd. (1)(a)		3,902		164,055
Air Canada (1)*(a)		319,089		3,248,759
Alimentation Couche-Tard, Inc., Class B (1)(a)		38,630		1,751,606
Atco Ltd., Class I (1)(a)		7,856		261,311
Bank of Montreal (1)(a)		29,445		2,117,829
Bank of Nova Scotia (The) (1)(a)		23,688		1,318,970
Barrick Gold Corp. (1)(a)		81,368		1,302,349
CAE, Inc. (1)(a)		30,854		431,563
Canadian Imperial Bank of Commerce (1)(a)		14,849		1,211,676
Canadian Natural Resources Ltd. (1)(a)		15,722		501,057
Canadian Tire Corp. Ltd., Class A (1)(a)		17,786		1,844,901
CCL Industries, Inc., Class B (1)(a)		2,347		461,132
CGI Group, Inc., Class A (1)*(a)		17,540		841,826
Constellation Software, Inc. (1)(a)		2,655		1,206,471
Dollarama, Inc. (1)(a)		26,198		1,919,606
Empire Co. Ltd., Class A (1)(a)		42,794		501,040
Enerplus Corp. (1)(a)		50,024		474,663
First Quantum Minerals Ltd. (1)(a)		109,595		1,089,706
George Weston Ltd. (1)(a)		22,209		1,878,911
Industrial Alliance Insurance & Financial Services, Inc. (1)(a)		28,538		1,134,803
Kinross Gold Corp. (1)*(a)		328,702		1,025,778
Linamar Corp. (1)(a)		40,226		1,728,401
Loblaw Cos. Ltd. (1)(a)		9,152		482,872
Lundin Mining Corp. (1)*(a)		109,606		522,458
Magna International, Inc. (1)(a)		34,702		1,506,816
Metro, Inc. (1)(a)		61,209		1,830,822
Open Text Corp. (1)(a)		25,322		1,563,848
Ritchie Bros Auctioneers, Inc. (1)(a)		24,057		816,144
Saputo, Inc. (1)(a)		51,732		1,830,549
Seven Generations Energy Ltd., Class A (1)*(a)		30,066		701,126
SNC-Lavalin Group, Inc. (1)(a)		9,027		388,538
Teck Resources Ltd., Class B (1)(a)		121,950		2,440,544
Toronto-Dominion Bank (The) (1)(a)		15,184		748,881
Tourmaline Oil Corp. (1)*(a)		13,504		361,173
TransCanada Corp. (1)(a)		24,027		1,083,376
Yamana Gold, Inc. (1)(a)		304,894		856,106
				41,549,666

INVESTMENTS	SHARES		VALUE
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd.		3,136,300	$	1,758,552
Denmark - 1.4%
Danske Bank A/S (a)		41,614		1,258,980
Genmab A/S *(a)		3,283		543,837
GN Store Nord A/S (a)		45,552		942,030
H Lundbeck A/S *(a)		28,158		1,143,244
ISS A/S (a)		76,855		2,590,238
Pandora A/S (a)		1,853		241,891
TDC A/S *(a)		543,543		2,786,403
Vestas Wind Systems A/S (a)		101,561		6,577,556
William Demant Holding A/S *(a)		10,040		174,390
				16,258,569
Finland - 1.7%
Amer Sports OYJ (a)		22,491		596,831
Cargotec OYJ, Class B (a)		39,409		1,774,274
Elisa OYJ (a)		22,823		740,868
Huhtamaki OYJ (a)		30,516		1,130,946
Kesko OYJ, Class B (a)		49,555		2,473,077
Metso OYJ (a)		16,564		471,228
Neste OYJ (a)		162,022		6,200,184
Nokian Renkaat OYJ (a)		9,625		357,837
Orion OYJ, Class B (a)		25,300		1,124,125
Outokumpu OYJ *		19,417		172,896
Stora Enso OYJ, Class R (a)		116,386		1,244,980
UPM-Kymmene OYJ (a)		92,873		2,271,261
				18,558,507
Germany - 6.1%
adidas AG (a)		8,028		1,266,161
Allianz SE (a)		8,421		1,389,784
Aurubis AG (a)		34,296		1,973,819
Brenntag AG (a)		9,228		511,497
Continental AG (a)		6,328		1,219,132
Covestro AG (a)(b)		96,956		6,636,410
Deutsche Post AG (a)		66,443		2,179,000
Evonik Industries AG (a)		105,221		3,136,513
Freenet AG (a)		46,991		1,320,663
Hannover Rueck SE (a)		6,773		731,670
HeidelbergCement AG (a)		33,858		3,151,502
Hella KGaA Hueck & Co. (a)		24,498		922,027
HOCHTIEF AG (a)		38,057		5,313,250
Infineon Technologies AG (a)		206,196		3,566,670
KION Group AG (a)		44,314		2,460,379
LANXESS AG (a)		17,093		1,119,305
Linde AG (a)		5,557		911,557
METRO AG (a)		27,670		919,671
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		19,789		3,737,705
OSRAM Licht AG (a)		93,686		4,905,902
Rheinmetall AG (a)		58,097		3,898,933
Salzgitter AG (a)		26,575		932,401
Siemens AG (a)		41,010		5,021,262
Software AG (a)		73,442		2,661,791
STADA Arzneimittel AG (a)		68,528		3,540,282
Suedzucker AG (a)		57,309		1,366,051
Talanx AG (a)		52,983		1,769,576

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

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Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
Germany - 6.1% (continued)
thyssenkrupp AG (a)		46,916	$	1,114,502
Wacker Chemie AG (a)		2,112		219,203
				67,896,618
Italy - 3.3%
A2A SpA (a)		3,211,022		4,146,972
Assicurazioni Generali SpA (a)		70,771		1,048,993
Autogrill SpA (a)		57,090		515,152
BPER Banca (a)		395,843		2,100,894
Buzzi Unicem SpA (a)		54,684		1,293,925
Davide Campari-Milano SpA (a)		142,430		1,391,150
DiaSorin SpA (a)		5,054		298,883
Enel SpA (a)		1,769,583		7,778,554
Hera SpA (a)		319,945		736,417
Intesa Sanpaolo SpA, RNC (a)		380,013		962,627
Italgas SpA *(a)		67,715		266,445
Leonardo-Finmeccanica SpA *(a)		197,697		2,768,800
Mediobanca SpA (a)		175,735		1,431,201
Moncler SpA (a)		65,960		1,146,156
Poste Italiane SpA (a)(b)		326,201		2,163,076
Prysmian SpA (a)		116,793		2,993,443
Recordati SpA (a)		68,454		1,939,502
Snam SpA (a)		520,143		2,139,270
Unipol Gruppo Finanziario SpA (a)		435,681		1,566,655
				36,688,115
Luxembourg - 0.1%
APERAM SA (a)		15,343		700,192
Malta - 0.0% (c)
Kindred Group plc, SDR		53,281		499,085
Netherlands - 2.1%
Aalberts Industries NV (a)		6,397		207,250
ABN AMRO Group NV, CVA (a)(b)		22,170		490,883
Akzo Nobel NV (a)		20,560		1,284,729
ASM International NV (a)		34,267		1,536,284
ASML Holding NV (a)		3,523		394,824
Boskalis Westminster (a)		6,656		230,910
Delta Lloyd NV (a)		150,411		840,677
Fugro NV, CVA *(a)		153		2,336
Heineken NV (a)		2,262		169,510
Koninklijke Ahold Delhaize NV (a)		167,473		3,527,483
Koninklijke DSM NV (a)		35,784		2,144,437
Koninklijke Philips NV (a)		92,297		2,821,696
Koninklijke Vopak NV (a)		25,382		1,197,524
NN Group NV (a)		148,365		5,022,531
Randstad Holding NV (a)		13,037		706,182
Wolters Kluwer NV (a)		98,272		3,554,415
				24,131,671
Norway - 0.6%
Leroy Seafood Group ASA (a)		6,569		365,720
Marine Harvest ASA *(a)		46,706		844,468
Norsk Hydro ASA (a)		337,467		1,610,640
Orkla ASA (a)		124,634		1,127,780
Salmar ASA (a)		12,100		361,317
Yara International ASA (a)		51,585		2,029,305
				6,339,230

INVESTMENTS	SHARES		VALUE
Singapore - 0.9%
City Developments Ltd.		40,200	$	229,412
ComfortDelGro Corp. Ltd.		486,000		825,846
DBS Group Holdings Ltd.		112,800		1,345,799
Genting Singapore plc		2,103,000		1,308,905
Global Logistic Properties Ltd.		399,400		604,778
Oversea-Chinese Banking Corp. Ltd.		86,100		528,796
SATS Ltd.		463,400		1,550,435
Singapore Airlines Ltd.		132,900		885,366
StarHub Ltd.		216,300		418,724
United Overseas Bank Ltd.		126,500		1,777,186
Wilmar International Ltd.		376,800		930,868
				10,406,115
Spain - 2.8%
ACS Actividades de Construccion y Servicios SA (a)		74,438		2,349,083
Aena SA (a)(b)		13,798		1,879,854
Almirall SA (a)		44,039		683,169
Banco Santander SA (a)		192,885		1,003,440
Ebro Foods SA (a)		77,351		1,618,816
Enagas SA (a)		19,697		499,186
Endesa SA (a)		268,141		5,670,666
Gamesa Corp. Tecnologica SA (a)		125,115		2,529,535
Gas Natural SDG SA (a)		82,782		1,557,401
Iberdrola SA (a)		417,784		2,735,600
Mapfre SA (a)		344,337		1,048,885
Mediaset Espana Comunicacion SA (a)		45,196		529,415
Prosegur Cia de Seguridad SA (a)		230,690		1,439,592
Repsol SA (a)		471,818		6,630,526
Tecnicas Reunidas SA (a)		33,822		1,383,223
				31,558,391
Sweden - 2.8%
Axfood AB (a)		35,614		559,247
BillerudKorsnas AB (a)		168,748		2,826,213
Boliden AB (a)		207,399		5,387,189
Bonava AB, Class B *(a)		47,194		731,110
Electrolux AB, Series B (a)		130,797		3,238,669
Holmen AB, Class B (a)		21,214		759,389
Husqvarna AB, Class B (a)		186,020		1,443,348
NCC AB, Class B (a)		140,346		3,466,712
Nibe Industrier AB, Class B (a)		112,489		884,557
Saab AB, Class B (a)		52,509		1,958,270
Securitas AB, Class B (a)		78,762		1,235,449
Skanska AB, Class B (a)		71,196		1,676,266
SKF AB, Class B (a)		13,065		239,562
SSAB AB, Class A *(a)		404,722		1,528,567
Svenska Cellulosa AB SCA, Class B (a)		53,427		1,503,784
Swedish Match AB (a)		121,779		3,863,804
				31,302,136
Switzerland - 4.2%
ABB Ltd. *(a)		323,419		6,805,293
Actelion Ltd. *(a)		29,432		6,360,508
Adecco Group AG (a)		47,749		3,116,902
Baloise Holding AG (a)		2,907		365,802
Clariant AG *(a)		80,412		1,385,926

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

AQR Funds Annual Report December 2016

62

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
Switzerland - 4.2% (continued)
dormakaba Holding AG *(a)		249	$	184,853
Flughafen Zuerich AG (a)		12,918		2,393,797
Geberit AG (a)		4,194		1,679,096
Georg Fischer AG (a)		2,929		2,395,410
Givaudan SA (a)		306		560,033
Helvetia Holding AG (a)		382		205,535
Lonza Group AG *(a)		4,173		721,216
Partners Group Holding AG (a)		2,803		1,312,191
Schindler Holding AG (a)		7,456		1,313,100
SGS SA (a)		517		1,050,422
Sika AG (a)		420		2,015,100
Sonova Holding AG (a)		1,395		168,781
STMicroelectronics NV (a)		400,719		4,547,604
Straumann Holding AG (a)		4,229		1,647,878
Swiss Life Holding AG *(a)		6,373		1,800,238
Swiss Re AG (a)		26,122		2,471,479
Temenos Group AG *(a)		19,267		1,339,267
Zurich Insurance Group AG *(a)		10,927		3,002,956
				46,843,387
United Kingdom - 0.5%
Dialog Semiconductor plc *(a)		63,867		2,683,366
Fiat Chrysler Automobiles NV (a)		282,474		2,569,617
Subsea 7 SA *(a)		60,603		765,372
				6,018,355
TOTAL COMMON STOCKS (Cost $322,385,275)				347,812,012
PREFERRED STOCK - 0.2%
Germany - 0.2%
Henkel AG & Co. KGaA
(Cost $2,901,916) (a)		22,427		2,669,705
SHORT-TERM INVESTMENTS - 88.2%
INVESTMENT COMPANIES - 66.4%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (d)		5,661,611		5,661,611
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (d)		22,646,443		22,646,443
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (d)(e)		688,872,449		688,872,449
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (d)		28,308,053		28,308,053
TOTAL INVESTMENT COMPANIES (Cost $745,488,556)				745,488,556

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 21.8%
U.S. Treasury Bills
0.39%, 1/12/2017 (f)	$	18,141,200		$	18,139,386
0.43%, 1/19/2017 (f)		79,293,000			79,278,410
0.44%, 2/9/2017 (f)		2,539,000			2,537,832
0.45%, 2/16/2017 (f)		2,653,000			2,651,573
0.45%, 2/23/2017 (f)		2,798,000			2,796,134
0.48%, 3/2/2017 (f)		2,197,000			2,195,286
0.47%, 3/9/2017 (f)		1,844,000			1,842,403
0.49%, 4/6/2017 (f)		4,460,000			4,453,930
0.50%, 4/13/2017 (f)		31,121,000			31,074,225
0.47%, 4/20/2017 (f)		27,345,000			27,301,002
0.48%, 4/27/2017 (f)		13,201,000			13,178,109
0.53%, 5/11/2017 (f)		8,378,000			8,360,239
0.63%, 5/18/2017 (f)		15,782,000			15,746,143
0.61%, 5/25/2017 (f)		9,900,000			9,876,280
0.61%, 6/1/2017 (f)		7,255,000			7,236,268
0.65%, 6/15/2017 (f)		4,094,000			4,082,737
0.65%, 6/22/2017 (f)		12,982,000			12,944,028
TOTAL U.S. TREASURY OBLIGATIONS (Cost $243,699,300)					243,693,985
TOTAL SHORT-TERM INVESTMENTS (Cost $989,187,856)					989,182,541
TOTAL LONG POSITIONS (Cost $1,314,475,047)					1,339,664,258
		SHARES
SHORT POSITIONS - (27.4)%
COMMON STOCKS - (26.8)%
Austria - (0.2)%
ams AG		(58,035	)		(1,644,529	)
Belgium - (0.6)%
Anheuser-Busch InBev SA/NV		(41,081	)		(4,348,175	)
Telenet Group Holding NV*		(37,878	)		(2,099,452	)
UCB SA		(6,084	)		(389,260	)
					(6,836,887	)
Canada - (3.6)%
AltaGas Ltd. (1)		(56,745	)		(1,432,730	)
BlackBerry Ltd. (1)*		(199,061	)		(1,369,920	)
Bombardier, Inc., Class B (1)*		(1,364,991	)		(2,195,941	)
Cameco Corp. (1)		(120,517	)		(1,260,238	)
Canadian Utilities Ltd., Class A (1)		(106,030	)		(2,857,949	)
Cenovus Energy, Inc. (1)		(92,992	)		(1,405,979	)
DH Corp. (1)		(40,013	)		(663,978	)
Eldorado Gold Corp. (1)*		(198,802	)		(639,649	)
Element Fleet Management Corp. (1)		(100,615	)		(933,723	)
Fairfax Financial Holdings Ltd. (1)		(1,303	)		(629,349	)
Finning International, Inc. (1)		(20,444	)		(400,308	)
Franco-Nevada Corp. (1)		(10,812	)		(646,473	)
Gildan Activewear, Inc. (1)		(99,198	)		(2,518,646	)
Goldcorp, Inc. (1)		(26,678	)		(363,217	)
Hudson’s Bay Co. (1)		(54,314	)		(533,573	)
Imperial Oil Ltd. (1)		(44,146	)		(1,535,813	)
Inter Pipeline Ltd. (1)		(18,837	)		(415,841	)
Keyera Corp. (1)		(68,026	)		(2,049,925	)

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

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63

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES			VALUE
Canada - (3.6)% (continued)
Manulife Financial Corp. (1)		(73,783	)	$	(1,313,933	)
Methanex Corp. (1)		(91,530	)		(4,014,599	)
Onex Corp. (1)		(5,060	)		(344,381	)
Pembina Pipeline Corp. (1)		(63,228	)		(1,975,978	)
Potash Corp. of Saskatchewan, Inc. (1)		(159,029	)		(2,877,008	)
Power Financial Corp. (1)		(18,943	)		(473,487	)
PrairieSky Royalty Ltd. (1)		(73,054	)		(1,737,865	)
Restaurant Brands International, Inc. (1)		(8,355	)		(397,946	)
Silver Wheaton Corp. (1)		(12,145	)		(234,642	)
Stantec, Inc. (1)		(10,612	)		(268,096	)
Suncor Energy, Inc. (1)		(7,334	)		(239,796	)
Veresen, Inc. (1)		(92,266	)		(900,910	)
Waste Connections, Inc. (1)		(9,614	)		(754,284	)
West Fraser Timber Co. Ltd. (1)		(17,788	)		(636,057	)
Whitecap Resources, Inc. (1)		(90,978	)		(823,962	)
WSP Global, Inc. (1)		(46,971	)		(1,563,426	)
					(40,409,622	)
Denmark - (0.9)%
AP Moller - Maersk A/S, Class B		(882	)		(1,405,876	)
Carlsberg A/S, Class B		(2,111	)		(181,819	)
Chr Hansen Holding A/S		(21,278	)		(1,176,788	)
Coloplast A/S, Class B		(26,960	)		(1,815,988	)
DSV A/S		(5,923	)		(263,042	)
Novo Nordisk A/S, Class B		(18,553	)		(665,537	)
Novozymes A/S, Class B		(86,466	)		(2,975,461	)
Tryg A/S		(78,483	)		(1,417,287	)
					(9,901,798	)
Finland - (0.8)%
Fortum OYJ		(29,994	)		(458,494	)
Nokia OYJ		(901,513	)		(4,323,803	)
Sampo OYJ, Class A		(60,726	)		(2,714,612	)
Wartsila OYJ Abp		(40,991	)		(1,837,887	)
					(9,334,796	)
Germany - (4.1)%
Axel Springer SE		(23,156	)		(1,122,807	)
Bayerische Motoren Werke AG		(55,776	)		(5,194,755	)
Beiersdorf AG		(7,328	)		(620,739	)
Bilfinger SE *		(34,827	)		(1,340,926	)
Commerzbank AG		(427,040	)		(3,251,396	)
Daimler AG		(30,282	)		(2,247,396	)
Deutsche Bank AG *		(242,323	)		(4,395,580	)
Deutsche Lufthansa AG		(113,400	)		(1,461,809	)
Deutsche Telekom AG		(52,046	)		(892,964	)
Duerr AG		(6,944	)		(556,780	)
E.ON SE		(699,016	)		(4,917,538	)
Fresenius Medical Care AG & Co. KGaA		(11,114	)		(939,365	)
GEA Group AG		(18,073	)		(725,277	)
HUGO BOSS AG		(21,182	)		(1,293,141	)
K+S AG		(37,249	)		(887,310	)
Krones AG		(1,872	)		(170,976	)
MAN SE		(8,147	)		(808,642	)
Merck KGaA		(34,302	)		(3,571,555	)
MTU Aero Engines AG		(1,761	)		(203,131	)

INVESTMENTS	SHARES			VALUE
Germany - (4.1)% (continued)
Nordex SE *		(77,109	)	$	(1,651,612	)
ProSiebenSat.1 Media SE		(26,630	)		(1,025,041	)
RWE AG *		(101,550	)		(1,260,099	)
Symrise AG		(3,517	)		(213,685	)
Telefonica Deutschland Holding AG		(509,170	)		(2,176,398	)
United Internet AG		(65,525	)		(2,556,947	)
Wirecard AG		(9,525	)		(408,694	)
Zalando SE *(b)		(63,235	)		(2,408,889	)
					(46,303,452	)
Hong Kong - 0.0% (c)
Hutchison Port Holdings Trust (1)		(910,700	)		(409,815	)
Italy - (2.6)%
Azimut Holding SpA		(191,151	)		(3,179,486	)
Banca Generali SpA		(62,224	)		(1,479,980	)
Banco Popolare SC		(799,043	)		(1,922,940	)
Eni SpA		(57,576	)		(933,368	)
Luxottica Group SpA		(130,573	)		(7,017,835	)
Mediaset SpA		(293,271	)		(1,263,098	)
Saipem SpA *		(2,439,790	)		(1,364,606	)
Salvatore Ferragamo SpA		(127,961	)		(3,018,046	)
Telecom Italia SpA, RNC *		(4,077,276	)		(3,599,989	)
Terna Rete Elettrica Nazionale SpA		(132,350	)		(605,282	)
UniCredit SpA		(772,456	)		(2,218,286	)
Unione di Banche Italiane SpA		(165,235	)		(452,425	)
UnipolSai SpA		(324,693	)		(692,545	)
Yoox Net-A-Porter Group SpA *		(35,055	)		(991,252	)
					(28,739,138	)
Luxembourg - (0.8)%
ArcelorMittal *		(56,758	)		(417,030	)
Tenaris SA		(458,466	)		(8,183,859	)
					(8,600,889	)
Netherlands - (1.4)%
Aegon NV		(30,993	)		(170,265	)
Altice NV, Class A *		(352,314	)		(6,972,247	)
Gemalto NV		(23,948	)		(1,383,031	)
Koninklijke KPN NV		(1,132,547	)		(3,349,080	)
OCI NV *		(38,250	)		(667,120	)
SBM Offshore NV		(228,683	)		(3,580,336	)
					(16,122,079	)
Norway - (0.6)%
DNB ASA		(90,886	)		(1,349,230	)
Gjensidige Forsikring ASA		(19,658	)		(311,651	)
Schibsted ASA, Class A		(100,758	)		(2,306,072	)
Statoil ASA		(169,742	)		(3,098,077	)
					(7,065,030	)
Singapore - (1.0)%
CapitaLand Ltd.		(686,700	)		(1,427,040	)
Jardine Cycle & Carriage Ltd.		(15,700	)		(445,880	)
Keppel Corp. Ltd.		(1,061,300	)		(4,223,913	)
Singapore Post Ltd.		(2,650,000	)		(2,676,364	)
Singapore Press Holdings Ltd.		(86,700	)		(210,841	)
Singapore Telecommunications Ltd.		(866,300	)		(2,173,059	)
UOL Group Ltd.		(137,100	)		(565,204	)
					(11,722,301	)

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

AQR Funds Annual Report December 2016

64

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES			VALUE
Spain - (2.8)%
Abertis Infraestructuras SA		(85,136	)	$	(1,189,477	)
Acciona SA		(3,266	)		(239,897	)
Acerinox SA		(74,913	)		(989,853	)
Amadeus IT Group SA		(49,356	)		(2,238,499	)
Atresmedia Corp. de Medios de Comunicacion SA		(89,159	)		(973,275	)
Banco Bilbao Vizcaya Argentaria SA		(37,138	)		(250,270	)
Banco de Sabadell SA		(502,017	)		(697,590	)
Banco Popular Espanol SA		(5,750,715	)		(5,540,796	)
Bankia SA		(1,049,568	)		(1,069,556	)
Bankinter SA		(98,805	)		(764,104	)
CaixaBank SA		(664,928	)		(2,191,455	)
Cellnex Telecom SA (b)		(282,734	)		(4,058,401	)
Distribuidora Internacional de Alimentacion SA		(469,245	)		(2,301,450	)
Ferrovial SA		(181,804	)		(3,242,336	)
Grifols SA		(106,959	)		(2,123,284	)
Industria de Diseno Textil SA		(59,517	)		(2,027,504	)
Red Electrica Corp. SA		(43,692	)		(823,164	)
Zardoya Otis SA		(77,488	)		(653,906	)
					(31,374,817	)
Sweden - (2.6)%
Alfa Laval AB		(89,490	)		(1,476,170	)
Assa Abloy AB, Class B		(168,592	)		(3,119,564	)
Getinge AB, Class B		(45,641	)		(731,305	)
Hennes & Mauritz AB, Class B		(205,225	)		(5,689,066	)
Hexagon AB, Class B		(51,538	)		(1,835,574	)
Hexpol AB		(36,606	)		(338,405	)
Modern Times Group MTG AB, Class B		(14,113	)		(417,142	)
Nordea Bank AB		(96,060	)		(1,064,405	)
Skandinaviska Enskilda Banken AB, Class A		(232,207	)		(2,426,608	)
Svenska Handelsbanken AB, Class A		(307,957	)		(4,265,345	)
Swedbank AB, Class A		(61,796	)		(1,488,943	)
Swedish Orphan Biovitrum AB *		(14,562	)		(170,030	)
Tele2 AB, Class B		(275,344	)		(2,201,647	)
Telefonaktiebolaget LM Ericsson, Class B		(258,579	)		(1,515,524	)
Telia Co. AB		(424,463	)		(1,705,151	)
Trelleborg AB, Class B		(13,011	)		(255,498	)
					(28,700,377	)
Switzerland - (3.6)%
Aryzta AG *		(47,938	)		(2,108,137	)
Barry Callebaut AG *		(469	)		(572,986	)
Chocoladefabriken Lindt & Spruengli AG		(572	)		(2,959,780	)
Cie Financiere Richemont SA		(106,002	)		(7,005,731	)
Credit Suisse Group AG *		(426,604	)		(6,096,612	)
Dufry AG *		(30,599	)		(3,808,781	)
EMS-Chemie Holding AG		(429	)		(217,859	)
GAM Holding AG *		(28,184	)		(326,176	)
Julius Baer Group Ltd. *		(64,683	)		(2,865,569	)
LafargeHolcim Ltd. *		(29,364	)		(1,541,377	)
Novartis AG		(23,195	)		(1,686,822	)

INVESTMENTS	SHARES			VALUE
Switzerland - (3.6)% (continued)
OC Oerlikon Corp. AG *		(124,465	)	$	(1,221,068	)
Roche Holding AG		(2,589	)		(590,169	)
Sunrise Communications Group AG *(b)		(4,251	)		(279,376	)
Swatch Group AG (The)		(17,443	)		(5,413,654	)
Swisscom AG		(7,733	)		(3,456,608	)
					(40,150,705	)
United Kingdom - (0.9)%
CNH Industrial NV		(243,126	)		(2,109,604	)
RELX NV		(59,874	)		(1,007,073	)
Unilever NV, CVA		(168,755	)		(6,932,259	)
					(10,048,936	)
United States - (0.3)%
QIAGEN NV *		(61,507	)		(1,723,632	)
Valeant Pharmaceuticals International, Inc. (1)*		(87,101	)		(1,263,067	)
					(2,986,699	)
TOTAL COMMON STOCKS (Proceeds $(296,675,885))					(300,351,870	)
PREFERRED STOCKS - (0.6)%
Germany - (0.6)%
FUCHS PETROLUB SE		(5,580	)		(233,742	)
Sartorius AG		(4,277	)		(316,882	)
Schaeffler AG		(51,283	)		(756,743	)
Volkswagen AG		(43,503	)		(6,086,812	)
TOTAL PREFERRED STOCKS (Proceeds $(7,083,525))					(7,394,179	)
TOTAL SHORT POSITIONS (Proceeds $(303,759,410))					(307,746,049	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 92.0% (Cost $1,010,715,637)					1,031,918,209
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.0% (g)				90,132,792
NET ASSETS - 100.0%				$	1,122,051,001

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

AQR Funds Annual Report December 2016

65

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(49,660,565	)		(4.4	)%
Consumer Staples		12,113,720			1.1
Energy		(9,499,455	)		(0.8	)
Financials		(6,747,215	)		(0.6	)
Health Care		3,621,047			0.3
Industrials		59,053,973			5.2
Information Technology		2,401,452			0.2
Materials		38,577,213			3.4
Real Estate		(1,158,054	)		(0.1	)
Telecommunication Services		(18,456,580	)		(1.6	)
Utilities		12,490,132			1.1
Short-Term Investments		989,182,541			88.2
Total Investments In Securities At Value		1,031,918,209			92.0
Other Assets in Excess of Liabilities (g)		90,132,792			8.0
Net Assets	$	1,122,051,001			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $348,713,192. In addition, $866 of cash collateral was pledged.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 12/31/2016 amounted to $4,423,557, which represents approximately 0.39% of net assets of the fund.

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

(d) Represents 7-day effective yield as of 12/31/2016.

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

(f) The rate shown was the effective yield at the date of purchase.

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

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

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

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		6,000		$4,516		$4,473		$(43	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		5,109,000		5,051,183		5,039,418		(11,765	)
Danish Krone, Expiring 03/15/17	CITI	DKK		543,000		77,342		77,181		(161	)
Euro, Expiring 03/15/17	CITI	EUR		5,577,000		5,902,774		5,891,319		(11,455	)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		1,130,800		134,626		131,011		(3,615	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		1,696,200		201,941		196,517		(5,424	)
Swedish Krona, Expiring 03/15/17	CITI	SEK		1,925,600		211,606		212,239		633
Swedish Krona, Expiring 03/15/17	JPMC	SEK		2,888,400		317,409		318,357		948
Singapore Dollar, Expiring 03/15/17	CITI	SGD		334,000		234,496		230,556		(3,940	)
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		501,000		351,743		345,834		(5,909	)
						$12,487,636		$12,446,905		$(40,731	)

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

AQR Funds Annual Report December 2016

66

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		(2,387,518	)		$(1,785,562	)		$(1,779,687	)		$5,875
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		(1,278,776	)		(960,868	)		(953,215	)		7,653
Swiss Franc, Expiring 03/15/17	CITI	CHF		(1,749,600	)		(1,737,109	)		(1,725,772	)		11,337
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(2,624,400	)		(2,605,662	)		(2,588,658	)		17,004
Danish Krone, Expiring 03/15/17	CITI	DKK		(16,794,400	)		(2,436,042	)		(2,387,118	)		48,924
Danish Krone, Expiring 03/15/17	JPMC	DKK		(25,191,600	)		(3,654,058	)		(3,580,676	)		73,382
Euro, Expiring 03/15/17	CITI	EUR		(14,420,000	)		(15,451,181	)		(15,232,711	)		218,470
Euro, Expiring 03/15/17	JPMC	EUR		(21,591,000	)		(23,135,134	)		(22,807,868	)		327,266
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(160,000	)		(20,646	)		(20,639	)		7
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		(240,000	)		(30,969	)		(30,959	)		10
Norwegian Krone, Expiring 03/15/17	CITI	NOK		(1,759,000	)		(204,327	)		(203,792	)		535
Swedish Krona, Expiring 03/15/17	CITI	SEK		(20,775,000	)		(2,298,394	)		(2,289,802	)		8,592
Singapore Dollar, Expiring 03/15/17	CITI	SGD		(247,000	)		(170,734	)		(170,501	)		233
							(54,490,686	)		(53,771,398	)		719,288
							$(42,003,050	)		$(41,324,493	)		$678,557

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

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

AQR Funds Annual Report December 2016

67

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

Total Return Basket Swaps * Outstanding at December 31, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE **	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	22-49 months maturity 10/16/2018		$9,790,213

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Advantest Corp.		15,300	$	203,860	$	52,892
Ajinomoto Co., Inc.		39,600		770,941		25,913
Alfresa Holdings Corp.		69,800		1,373,291		(220,406	)
Amada Holdings Co. Ltd.		379,700		3,488,423		741,653
Aozora Bank Ltd.		441,000		1,421,849		136,317
Asahi Group Holdings Ltd.		7,600		239,414		(127	)
Asahi Kasei Corp.		52,000		426,366		26,101
Astellas Pharma, Inc.		265,400		3,474,714		207,274
Bandai Namco Holdings, Inc.		146,000		3,366,468		652,176
Bridgestone Corp.		46,600		1,398,116		278,588
Brother Industries Ltd.		41,300		717,240		25,227
Chiyoda Corp.		233,000		1,380,334		227,968
Chubu Electric Power Co., Inc.		310,500		3,845,104		475,623
Chugoku Bank Ltd. (The)		16,300		164,377		69,392
Citizen Watch Co. Ltd.		305,500		1,369,750		451,676
Coca-Cola West Co. Ltd.		31,600		793,155		137,109
Daicel Corp.		98,000		1,046,916		30,500
Daiichi Sankyo Co. Ltd.		63,100		1,346,236		(57,782	)
Daikin Industries Ltd.		19,000		1,509,170		231,399
DeNA Co. Ltd.		106,800		2,481,602		(147,481	)
Disco Corp.		7,400		629,072		265,596
Ezaki Glico Co. Ltd.		27,400		1,257,375		25,006
Fuji Heavy Industries Ltd.		73,600		2,412,178		586,610
FUJIFILM Holdings Corp.		59,800		2,153,367		111,008
Fujitsu Ltd.		523,000		2,566,678		329,461
Gunma Bank Ltd. (The)		265,300		1,102,240		347,548
Hakuhodo DY Holdings, Inc.		162,400		1,796,883		202,778
Haseko Corp.		220,300		2,199,201		34,426
Hikari Tsushin, Inc.		2,900		223,549		46,406

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Hisamitsu Pharmaceutical Co., Inc.		16,000	$	839,944	$	(40,792	)
Hitachi Capital Corp.		11,600		244,523		40,313
Hitachi Chemical Co. Ltd.		190,500		3,430,940		1,321,328
Hitachi Construction Machinery Co. Ltd.		47,400		851,055		173,680
Hitachi High-Technologies Corp.		89,700		2,815,204		792,569
Hitachi Metals Ltd.		48,600		484,138		170,185
Hoya Corp.		70,500		2,196,279		759,745
Ibiden Co. Ltd.		21,300		280,307		5,356
Idemitsu Kosan Co. Ltd.		126,500		2,269,087		1,086,367
Iida Group Holdings Co. Ltd.		20,700		354,232		38,183
Inpex Corp.		44,100		309,286		131,529
Ito En Ltd.		7,800		226,766		31,785
ITOCHU Corp.		116,200		1,293,569		245,008
Itochu Techno-Solutions Corp.		122,700		2,525,823		658,805
Japan Airlines Co. Ltd.		65,200		2,007,383		(104,796	)
Japan Petroleum Exploration Co. Ltd.		66,000		1,291,506		171,681
JSR Corp.		31,300		404,261		88,412
JTEKT Corp.		66,500		771,726		288,669
JX Holdings, Inc.		455,700		1,547,616		377,908
Kajima Corp.		265,000		1,661,755		168,632
Kaken Pharmaceutical Co. Ltd.		16,800		912,078		(22,395	)
Kamigumi Co. Ltd.		84,000		724,892		75,152
Kaneka Corp.		318,000		2,173,986		412,602
Kao Corp.		7,800		381,720		(12,508	)
Kewpie Corp.		19,000		498,465		(37,642	)
Kobayashi Pharmaceutical Co. Ltd.		7,600		290,958		33,647
Konami Holdings Corp.		84,700		2,857,560		560,785
Konica Minolta, Inc.		187,300		1,406,718		449,557
Kuraray Co. Ltd.		132,300		1,594,155		389,758

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

AQR Funds Annual Report December 2016

68

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Kurita Water Industries Ltd.		10,500	$	208,354	$	22,653
Kyocera Corp.		18,000		789,261		103,189
Lion Corp.		119,000		1,748,822		201,751
LIXIL Group Corp.		7,400		96,789		70,934
Matsumotokiyoshi Holdings Co. Ltd.		38,200		1,713,737		165,550
Mazda Motor Corp.		60,600		723,986		262,823
Medipal Holdings Corp.		106,400		1,669,388		6,637
MEIJI Holdings Co. Ltd.		10,400		940,256		(126,682	)
Miraca Holdings, Inc.		14,200		548,390		86,718
Mitsubishi Chemical Holdings Corp.		255,500		1,203,565		448,412
Mitsubishi Corp.		71,700		1,489,308		33,503
Mitsubishi Electric Corp.		296,800		3,207,618		920,622
Mitsubishi Gas Chemical Co., Inc.		155,700		1,783,515		869,524
Mitsubishi Tanabe Pharma Corp.		160,000		2,460,121		672,663
Mitsui Chemicals, Inc.		705,000		2,501,247		657,535
Mixi, Inc.		98,800		3,277,273		322,806
MS&AD Insurance Group Holdings, Inc.		172,800		4,480,377		870,817
Nabtesco Corp.		12,900		301,772		(2,737	)
Nexon Co. Ltd.		80,900		1,175,281		(6,180	)
NH Foods Ltd.		13,000		266,949		83,746
NHK Spring Co. Ltd.		160,700		1,225,886		302,442
Nikon Corp.		160,400		2,059,153		431,931
Nippon Electric Glass Co. Ltd.		31,000		129,517		37,742
Nippon Express Co. Ltd.		573,000		2,411,957		664,634
Nippon Shinyaku Co. Ltd.		4,300		203,705		7,943
Nippon Shokubai Co. Ltd.		33,100		1,780,767		280,604
Nippon Telegraph & Telephone Corp.		96,200		3,942,904		106,651
Nissan Chemical Industries Ltd.		14,200		366,388		106,952
Nisshin Seifun Group, Inc.		43,400		678,260		(27,958	)
Nitori Holdings Co. Ltd.		9,400		907,513		164,228
Nomura Research Institute Ltd.		18,304		575,868		(19,580	)
NSK Ltd.		14,700		110,825		58,952
NTN Corp.		114,000		329,894		130,006
NTT Data Corp.		32,100		1,416,462		134,341
Obayashi Corp.		151,400		1,402,793		42,676
Oji Holdings Corp.		155,000		531,725		98,598
Oracle Corp. Japan		18,900		995,130		(44,382	)
ORIX Corp.		107,700		1,572,660		103,610
Osaka Gas Co. Ltd.		316,000		1,086,444		126,068
Otsuka Corp.		34,600		1,484,635		129,257
Otsuka Holdings Co. Ltd.		27,000		1,073,599		102,532
Pola Orbis Holdings, Inc.		17,700		1,451,980		7,263
Recruit Holdings Co. Ltd.		10,900		370,334		66,498

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Resona Holdings, Inc.		632,000	$	2,724,452	$	514,560
Rohm Co. Ltd.		24,300		874,874		519,288
Sankyo Co. Ltd.		51,500		1,833,716		(173,269	)
SCSK Corp.		5,100		180,462		(2,497	)
Secom Co. Ltd.		5,000		322,549		42,771
Sega Sammy Holdings, Inc.		21,300		316,880		(361	)
Seiko Epson Corp.		119,500		1,646,451		876,502
Sekisui Chemical Co. Ltd.		128,300		1,596,537		445,812
Shimadzu Corp.		24,000		330,379		50,908
Shimamura Co. Ltd.		19,300		2,177,749		228,630
Shin-Etsu Chemical Co. Ltd.		25,100		1,490,754		451,710
Shionogi & Co. Ltd.		38,300		1,842,995		(12,524	)
Sojitz Corp.		2,325,700		4,905,186		725,709
Sompo Holdings, Inc.		49,900		1,522,742		162,446
Square Enix Holdings Co. Ltd.		88,300		2,307,199		(43,269	)
Start Today Co. Ltd.		22,500		343,428		44,164
Sugi Holdings Co. Ltd.		4,900		249,923		(17,457	)
Sumitomo Chemical Co. Ltd.		144,000		592,002		90,605
Sumitomo Corp.		156,500		1,369,862		467,356
Sumitomo Dainippon Pharma Co. Ltd.		76,600		1,229,007		85,781
Sumitomo Electric Industries Ltd.		152,700		1,867,479		331,296
Sumitomo Heavy Industries Ltd.		389,000		1,829,564		668,266
Sumitomo Mitsui Financial Group, Inc.		6,500		185,985		61,554
Sumitomo Mitsui Trust Holdings, Inc.		72,300		1,950,059		636,742
Sumitomo Rubber Industries Ltd.		86,300		1,120,615		244,854
Sundrug Co. Ltd.		2,500		179,841		(6,988	)
Suzuken Co. Ltd.		73,400		2,266,340		131,091
Suzuki Motor Corp.		70,100		1,605,314		855,819
T&D Holdings, Inc.		80,400		654,112		406,960
Taiheiyo Cement Corp.		289,000		666,147		244,968
Taisei Corp.		238,000		1,610,418		51,529
Teijin Ltd.		103,300		1,685,009		402,240
Terumo Corp.		17,100		578,211		52,186
Toho Gas Co. Ltd.		149,000		1,026,861		183,293
Tokyo Broadcasting System Holdings, Inc.		39,800		493,864		140,870
Tokyo Electron Ltd.		34,600		2,532,677		721,433
Tokyo Gas Co. Ltd.		359,000		1,332,844		287,732
Toppan Printing Co. Ltd.		323,000		2,567,359		512,511
Tosoh Corp.		549,000		2,564,179		1,308,460
Toyo Suisan Kaisha Ltd.		44,500		1,669,041		(59,060	)
Toyoda Gosei Co. Ltd.		63,700		1,144,800		341,907
Toyota Boshoku Corp.		128,200		2,401,747		537,118
Toyota Tsusho Corp.		104,200		2,004,438		703,950

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

AQR Funds Annual Report December 2016

69

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Yamaha Corp.		10,500		$	243,508		$	76,664
Yamazaki Baking Co. Ltd.		26,000			621,465			(120,200	)
Yokogawa Electric Corp.		57,300			617,743			209,518
								35,603,244
Total of Long Equity Positions								35,603,244
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(9,500	)		(544,723	)		7,292
Aeon Co. Ltd.		(432,300	)		(5,853,288	)		(256,669	)
AEON Financial Service Co. Ltd.		(114,000	)		(2,123,929	)		104,745
Air Water, Inc.		(11,700	)		(190,502	)		(20,258	)
Alps Electric Co. Ltd.		(262,200	)		(5,758,046	)		(542,087	)
ANA Holdings, Inc.		(594,000	)		(1,513,053	)		(84,823	)
Asahi Glass Co. Ltd.		(107,000	)		(564,455	)		(161,503	)
Asics Corp.		(228,100	)		(4,324,147	)		(221,411	)
Bank of Kyoto Ltd. (The)		(321,000	)		(2,031,676	)		(347,756	)
Calbee, Inc.		(154,300	)		(5,252,957	)		426,280
Canon, Inc.		(30,000	)		(781,647	)		(63,218	)
Casio Computer Co. Ltd.		(44,000	)		(575,368	)		(44,730	)
Chiba Bank Ltd. (The)		(170,000	)		(865,855	)		(176,268	)
Chugai Pharmaceutical Co. Ltd.		(82,600	)		(2,543,444	)		174,142
Chugoku Electric Power Co., Inc. (The)		(398,200	)		(4,468,872	)		(191,905	)
Concordia Financial Group Ltd.		(199,200	)		(825,579	)		(132,996	)
Credit Saison Co. Ltd.		(31,800	)		(549,511	)		(16,398	)
Daiwa Securities Group, Inc.		(212,000	)		(1,012,400	)		(293,038	)
Denso Corp.		(24,800	)		(837,145	)		(235,616	)
Don Quijote Holdings Co. Ltd.		(103,000	)		(3,393,701	)		(407,547	)
East Japan Railway Co.		(8,000	)		(625,978	)		(63,772	)
Eisai Co. Ltd.		(34,900	)		(1,898,811	)		(101,217	)
Electric Power Development Co. Ltd.		(163,900	)		(3,563,179	)		(198,583	)
FamilyMart UNY Holdings Co. Ltd.		(4,600	)		(248,645	)		(57,439	)
FANUC Corp.		(16,000	)		(2,170,490	)		(506,222	)
Fast Retailing Co. Ltd.		(9,800	)		(2,323,251	)		(1,175,615	)
Fuji Electric Co. Ltd.		(34,000	)		(122,628	)		(52,938	)
Hamamatsu Photonics KK		(111,400	)		(2,757,279	)		(168,675	)
Hirose Electric Co. Ltd.		(1,500	)		(170,229	)		(15,270	)
Hitachi Ltd.		(108,000	)		(446,058	)		(136,293	)
Hokkaido Electric Power Co., Inc.		(2,700	)		(21,564	)		519
Hokuriku Electric Power Co.		(158,500	)		(1,698,314	)		(74,514	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Honda Motor Co. Ltd.		(61,000	)	$	(1,606,186	)	$	(174,728	)
Hoshizaki Corp.		(3,100	)		(244,117	)		(1,307	)
IHI Corp.		(856,000	)		(1,947,407	)		(269,547	)
Isetan Mitsukoshi Holdings Ltd.		(292,200	)		(2,356,758	)		(789,549	)
Isuzu Motors Ltd.		(17,800	)		(191,061	)		(34,011	)
Iyo Bank Ltd. (The)		(133,800	)		(822,367	)		(98,496	)
Izumi Co. Ltd.		(23,200	)		(861,721	)		(135,824	)
J Front Retailing Co. Ltd.		(64,000	)		(619,130	)		(242,546	)
Japan Post Bank Co. Ltd.		(96,000	)		(998,547	)		(151,874	)
Japan Post Holdings Co. Ltd.		(47,400	)		(555,123	)		(35,077	)
JFE Holdings, Inc.		(141,500	)		(1,741,424	)		(398,399	)
JGC Corp.		(54,600	)		(811,401	)		(177,749	)
Kakaku.com, Inc.		(95,500	)		(1,515,443	)		(62,514	)
Kansai Electric Power Co., Inc. (The)		(210,600	)		(1,599,037	)		(696,852	)
Kansai Paint Co. Ltd.		(47,100	)		(835,251	)		(31,090	)
Kawasaki Heavy Industries Ltd.		(137,000	)		(397,974	)		(30,859	)
Keihan Holdings Co. Ltd.		(174,000	)		(1,076,153	)		(65,185	)
Keikyu Corp.		(287,000	)		(2,452,851	)		(871,521	)
Keio Corp.		(199,000	)		(1,573,620	)		(61,004	)
Keisei Electric Railway Co. Ltd.		(37,400	)		(918,267	)		12,668
Kikkoman Corp.		(49,000	)		(1,573,496	)		10,089
Kintetsu Group Holdings Co. Ltd.		(504,000	)		(1,825,391	)		(95,195	)
Kirin Holdings Co. Ltd.		(118,900	)		(1,850,314	)		(79,579	)
Kobe Steel Ltd.		(392,600	)		(3,101,723	)		(631,192	)
Kubota Corp.		(57,900	)		(768,443	)		(56,679	)
Kyowa Hakko Kirin Co. Ltd.		(30,900	)		(504,182	)		77,966
Kyushu Electric Power Co., Inc.		(297,300	)		(2,670,092	)		(550,699	)
M3, Inc.		(9,900	)		(289,666	)		40,770
Mabuchi Motor Co. Ltd.		(28,600	)		(1,191,116	)		(295,057	)
Marubeni Corp.		(85,300	)		(355,798	)		(126,665	)
Marui Group Co. Ltd.		(286,800	)		(3,926,263	)		(252,308	)
Minebea Co. Ltd.		(188,000	)		(1,371,947	)		(382,322	)
MISUMI Group, Inc.		(83,500	)		(1,219,830	)		(151,801	)
Mitsubishi Heavy Industries Ltd.		(487,000	)		(1,767,462	)		(446,461	)
Mitsubishi Logistics Corp.		(226,000	)		(2,823,077	)		(363,145	)
Mitsubishi Motors Corp.		(77,900	)		(441,151	)		(1,680	)
Mitsui OSK Lines Ltd.		(995,000	)		(1,987,840	)		(758,428	)
MonotaRO Co. Ltd.		(88,300	)		(1,908,958	)		108,394
Murata Manufacturing Co. Ltd.		(21,900	)		(2,596,493	)		(327,961	)
Nagoya Railroad Co. Ltd.		(335,000	)		(1,600,870	)		(16,575	)
NGK Insulators Ltd.		(37,000	)		(758,254	)		42,050
NGK Spark Plug Co. Ltd.		(242,200	)		(4,174,001	)		(1,194,301	)
Nidec Corp.		(43,300	)		(3,008,294	)		(719,432	)
Nifco, Inc.		(4,500	)		(211,458	)		(25,644	)

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

AQR Funds Annual Report December 2016

70

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nippon Paint Holdings Co. Ltd.		(48,900	)	$	(1,240,982	)	$	(86,395	)
Nippon Steel & Sumitomo Metal Corp.		(33,700	)		(601,257	)		(145,159	)
Nippon Yusen KK		(1,602,000	)		(2,673,018	)		(293,706	)
Nissin Foods Holdings Co. Ltd.		(4,400	)		(230,146	)		(650	)
NOK Corp.		(26,300	)		(487,516	)		(44,418	)
Nomura Holdings, Inc.		(52,300	)		(189,168	)		(120,038	)
Obic Co. Ltd.		(5,200	)		(236,579	)		9,776
Odakyu Electric Railway Co. Ltd.		(178,400	)		(3,588,651	)		63,473
Olympus Corp.		(20,700	)		(671,661	)		(41,553	)
Omron Corp.		(30,400	)		(868,933	)		(292,802	)
Ono Pharmaceutical Co. Ltd.		(22,100	)		(812,282	)		330,621
Orient Corp.		(398,500	)		(674,358	)		(48,353	)
Oriental Land Co. Ltd.		(57,800	)		(3,438,179	)		175,851
Park24 Co. Ltd.		(36,800	)		(1,097,104	)		100,583
Pigeon Corp.		(172,100	)		(4,335,091	)		(53,142	)
Rakuten, Inc.		(422,200	)		(4,157,995	)		21,344
Ricoh Co. Ltd.		(381,900	)		(3,015,173	)		(211,037	)
Rinnai Corp.		(7,700	)		(625,997	)		6,427
Ryohin Keikaku Co. Ltd.		(10,400	)		(2,082,982	)		47,356
Santen Pharmaceutical Co. Ltd.		(22,300	)		(287,980	)		15,890
Sawai Pharmaceutical Co. Ltd.		(7,100	)		(430,846	)		50,256
Seibu Holdings, Inc.		(8,300	)		(138,458	)		(10,144	)
Seven & i Holdings Co. Ltd.		(29,500	)		(1,180,611	)		58,750
Seven Bank Ltd.		(1,090,100	)		(3,109,876	)		(7,129	)
Shikoku Electric Power Co., Inc.		(276,100	)		(2,747,662	)		(42,435	)
Shimano, Inc.		(28,000	)		(3,837,324	)		(548,395	)
Shiseido Co. Ltd.		(68,400	)		(1,604,329	)		(124,412	)
Shizuoka Bank Ltd. (The)		(116,000	)		(796,382	)		(177,152	)
SMC Corp.		(1,100	)		(285,670	)		23,953
SoftBank Group Corp.		(9,200	)		(491,876	)		(116,925	)
Sohgo Security Services Co. Ltd.		(22,900	)		(1,041,268	)		162,281
Sony Corp.		(57,500	)		(1,502,711	)		(103,950	)
Sony Financial Holdings, Inc.		(282,700	)		(3,327,465	)		(1,079,384	)
Sosei Group Corp.		(6,400	)		(834,911	)		102,120
Stanley Electric Co. Ltd.		(46,600	)		(902,875	)		(366,634	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Sumco Corp.		(242,700	)	$	(1,274,466	)	$	(1,845,768	)
Sumitomo Metal Mining Co. Ltd.		(23,000	)		(222,558	)		(70,868	)
Suruga Bank Ltd.		(29,100	)		(605,212	)		(44,519	)
Taisho Pharmaceutical Holdings Co. Ltd.		(2,900	)		(263,620	)		23,213
Taiyo Nippon Sanso Corp.		(98,000	)		(801,398	)		(330,706	)
Takeda Pharmaceutical Co. Ltd.		(37,300	)		(1,470,338	)		(77,091	)
Tobu Railway Co. Ltd.		(331,000	)		(1,503,029	)		(137,864	)
Toho Co. Ltd.		(7,200	)		(173,332	)		(29,772	)
Tokyu Corp.		(108,000	)		(838,624	)		46,102
Toray Industries, Inc.		(69,000	)		(560,830	)		3,619
TOTO Ltd.		(23,200	)		(819,103	)		(97,264	)
Toyota Industries Corp.		(81,700	)		(3,143,388	)		(741,059	)
Toyota Motor Corp.		(7,700	)		(369,428	)		(82,010	)
Trend Micro, Inc.		(21,300	)		(676,688	)		(79,329	)
Unicharm Corp.		(181,500	)		(3,261,220	)		(702,789	)
USS Co. Ltd.		(22,200	)		(332,619	)		(20,046	)
Yahoo Japan Corp.		(204,500	)		(863,922	)		80,695
Yakult Honsha Co. Ltd.		(116,400	)		(5,054,644	)		(330,766	)
Yamaha Motor Co. Ltd.		(155,800	)		(2,327,428	)		(1,089,120	)
Yamato Holdings Co. Ltd.		(105,500	)		(2,027,058	)		(111,535	)
Yaskawa Electric Corp.		(169,800	)		(1,840,007	)		(792,733	)
Yokohama Rubber Co. Ltd. (The)		(9,400	)		(88,838	)		(79,189	)
								(24,799,033	)
Total of Short Equity Positions								(24,799,033	)
Total of Long and Short Equity Positions								10,804,211
Net Cash and Other Receivables/ (Payables) (b)								(1,013,998	)
Swaps, at Value							$	9,790,213

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

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

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

AQR Funds Annual Report December 2016

71

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	9-25 months maturity 10/13/2017		$52,713,813

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United States
3M Co.		14,161	$	2,409,901	$	118,829
Aaron’s, Inc.		11,969		296,711		86,177
Accenture plc		14,616		1,748,074		(36,102	)
Activision Blizzard, Inc.		53,059		2,280,057		(364,097	)
Adobe Systems, Inc.		17,991		1,826,443		25,730
Advanced Micro Devices, Inc.		90,572		549,066		478,021
AdvanSix, Inc.		21,185		398,734		70,302
Aetna, Inc.		36,307		4,233,495		268,936
Aflac, Inc.		101,020		7,129,428		(98,436	)
AGCO Corp.		16,278		839,602		102,243
Agilent Technologies, Inc.		70,085		3,203,675		(10,602	)
Air Products & Chemicals, Inc.		5,066		677,837		50,756
Akamai Technologies, Inc.		49,480		2,700,247		599,079
Align Technology, Inc.		6,654		604,780		34,869
Allied World Assurance Co. Holdings AG		38,639		1,639,723		435,577
Allscripts Healthcare Solutions, Inc.		22,958		307,392		(72,991	)
Allstate Corp. (The)		70,952		4,821,658		437,304
Alphabet, Inc.		3,372		2,461,762		210,379
Altria Group, Inc.		31,324		2,049,906		68,223
Amazon.com, Inc.		1,217		884,430		28,161
AMC Networks, Inc.		20,708		1,035,302		48,555
Amdocs Ltd.		56,749		3,265,641		39,988
Ameren Corp.		121,885		6,038,936		355,151
American Eagle Outfitters, Inc.		93,867		1,478,995		(55,033	)
American Electric Power Co., Inc.		73,571		4,791,856		(159,825	)
American Financial Group, Inc.		25,687		1,863,722		399,817
American International Group, Inc.		56,611		3,243,244		454,020
American Water Works Co., Inc.		41,842		3,173,172		(145,485	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ameriprise Financial, Inc.		33,667	$	3,372,648	$	362,369
Amgen, Inc.		15,068		2,417,832		(214,740	)
Analog Devices, Inc.		15,511		939,436		186,973
Antero Resources Corp.		24,969		661,541		(71,024	)
Anthem, Inc.		43,217		5,566,009		647,299
AO Smith Corp.		86,857		3,826,396		286,283
Applied Materials, Inc.		311,184		8,435,461		1,606,447
Archer-Daniels-Midland Co.		67,759		2,959,036		134,163
Arrow Electronics, Inc.		65,349		4,296,150		363,233
Aspen Insurance Holdings Ltd.		26,338		1,260,155		188,435
Assurant, Inc.		13,419		1,138,063		108,026
Assured Guaranty Ltd.		144,386		4,084,750		1,368,709
AT&T, Inc.		10,345		408,096		31,877
Avery Dennison Corp.		84,914		6,475,793		(513,131	)
Avnet, Inc.		106,216		4,358,332		698,612
Axis Capital Holdings Ltd.		42,808		2,364,714		429,364
BancorpSouth, Inc.		23,953		585,717		158,023
Bank of America Corp.		91,479		1,443,028		578,658
Baxter International, Inc.		150,107		6,914,313		(258,569	)
Belden, Inc.		10,176		656,909		103,950
Bemis Co., Inc.		66,241		3,354,672		(187,027	)
Best Buy Co., Inc.		96,726		3,018,751		1,108,547
Big Lots, Inc.		67,440		3,515,997		(129,835	)
Biogen, Inc.		10,616		3,103,566		(93,081	)
Boeing Co. (The)		13,855		1,868,938		288,008
Booz Allen Hamilton Holding Corp.		37,289		1,110,652		234,363
Boston Beer Co., Inc. (The)		4,464		706,432		51,779
Boston Scientific Corp.		112,873		2,654,064		(212,621	)
Brinker International, Inc.		21,135		974,535		72,282
Broadridge Financial Solutions, Inc.		34,720		2,257,908		44,028
Brocade Communications Systems, Inc.		374,531		3,499,009		1,178,883
Bruker Corp.		236,197		5,770,178		(767,525	)
Brunswick Corp.		62,853		2,951,328		476,674

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

AQR Funds Annual Report December 2016

72

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Bunge Ltd.		9,103	$	610,220	$	47,381
Burlington Stores, Inc.		38,121		3,032,379		198,376
BWX Technologies, Inc.		124,880		4,538,795		418,941
CA, Inc.		95,051		3,113,594		(93,824	)
Cabot Corp.		64,622		3,201,905		64,090
Cadence Design Systems, Inc.		70,821		1,762,026		24,079
Campbell Soup Co.		27,492		1,609,650		52,792
Capital One Financial Corp.		35,205		2,795,894		275,390
Carlisle Cos., Inc.		69,788		7,087,911		609,008
Carnival Corp.		18,948		891,882		94,551
Carter’s, Inc.		36,138		3,721,435		(599,473	)
CBS Corp.		36,587		1,950,409		377,256
CDW Corp.		36,818		1,519,475		398,375
Celanese Corp.		50,228		3,332,671		622,282
Celgene Corp.		8,616		890,555		106,747
CenterPoint Energy, Inc.		101,572		2,330,203		172,531
CenturyLink, Inc.		50,555		1,361,512		(159,314	)
Charles River Laboratories International, Inc.		38,967		3,355,838		(386,942	)
Cheesecake Factory, Inc. (The)		30,648		1,544,279		290,923
Chicago Bridge & Iron Co. NV		23,202		741,291		(4,628	)
Chico’s FAS, Inc.		84,952		965,904		256,555
Choice Hotels International, Inc.		4,356		202,598		41,556
Church & Dwight Co., Inc.		15,856		781,780		(81,103	)
Cintas Corp.		22,969		2,237,632		416,666
Cirrus Logic, Inc.		44,737		2,566,632		(37,202	)
Cisco Systems, Inc.		165,197		4,782,085		210,168
Citigroup, Inc.		33,404		1,523,437		461,763
Citizens Financial Group, Inc.		67,155		1,821,436		571,296
Citrix Systems, Inc.		27,362		2,357,300		86,400
CLARCOR, Inc.		2,405		148,298		50,042
CNO Financial Group, Inc.		84,065		1,491,303		118,541
Cognizant Technology Solutions Corp.		22,356		1,199,396		53,211
Comcast Corp.		55,066		3,580,386		221,921
Comerica, Inc.		38,388		1,915,386		699,221
Commerce Bancshares, Inc.		46,392		2,316,482		365,440
Commercial Metals Co.		124,002		2,104,280		596,484
CommScope Holding Co., Inc.		17,033		620,445		13,182
Computer Sciences Corp.		11,144		575,365		86,812
comScore, Inc.		5,281		131,805		34,969
Conagra Brands, Inc.		40,449		1,470,612		129,146
ConocoPhillips		76,978		3,090,005		769,672

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CONSOL Energy, Inc.		50,184	$	936,048	$	(21,194	)
Consolidated Edison, Inc.		64,399		4,824,479		(79,561	)
Constellation Brands, Inc.		4,766		790,800		(60,125	)
Convergys Corp.		84,547		2,406,358		(329,884	)
CoreLogic, Inc.		32,918		1,276,264		(63,894	)
Corning, Inc.		86,491		1,969,148		129,989
CR Bard, Inc.		10,223		2,264,701		31,998
Crane Co.		38,377		2,471,492		296,258
Crown Holdings, Inc.		67,622		3,618,933		(64,045	)
CSX Corp.		128,815		3,580,995		1,047,328
Cummins, Inc.		41,465		4,982,837		684,185
Curtiss-Wright Corp.		23,881		2,218,587		130,348
Dana, Inc.		152,255		1,862,642		1,027,158
Danaher Corp.		30,173		2,303,907		44,759
Darden Restaurants, Inc.		26,266		1,769,015		141,048
Dean Foods Co.		113,064		2,068,814		393,720
Deckers Outdoor Corp.		10,837		589,750		10,512
Delta Air Lines, Inc.		55,166		2,241,255		472,361
Deluxe Corp.		16,967		1,130,098		84,909
DeVry Education Group, Inc.		54,421		959,935		738,000
Diamond Offshore Drilling, Inc.		71,814		1,296,912		(25,804	)
Dick’s Sporting Goods, Inc.		41,542		2,083,825		122,055
Dillard’s, Inc.		29,386		1,770,450		71,759
Discover Financial Services		31,478		1,796,367		472,882
Dolby Laboratories, Inc.		31,893		1,586,012		(144,767	)
Dollar General Corp.		7,973		724,507		(133,946	)
Domino’s Pizza, Inc.		3,677		457,272		128,254
Domtar Corp.		29,839		1,142,788		21,828
Dow Chemical Co. (The)		24,362		1,310,783		83,211
DR Horton, Inc.		136,303		4,135,817		(410,656	)
Dr. Pepper Snapple Group, Inc.		36,442		3,363,318		(59,122	)
Dril-Quip, Inc.		24,202		1,324,009		129,321
DST Systems, Inc.		19,916		2,346,388		(212,388	)
DTE Energy Co.		47,747		4,435,758		267,799
Dun & Bradstreet Corp. (The)		10,365		1,326,999		(69,518	)
E*TRADE Financial Corp.		13,786		468,504		9,180
Eastman Chemical Co.		41,390		2,713,241		399,701
Eaton Corp. plc		32,268		2,041,931		122,929
eBay, Inc.		235,775		5,747,866		1,252,294
Edison International		19,055		1,376,143		(4,374	)
Electronic Arts, Inc.		12,575		984,125		6,282
EMCOR Group, Inc.		20,420		1,421,951		22,968
Emerson Electric Co.		36,705		1,941,588		104,716
Energen Corp.		19,298		1,003,416		109,500
Energizer Holdings, Inc.		26,231		1,304,613		(134,448	)
EnerSys		8,354		658,613		(6,166	)
Entergy Corp.		49,380		3,820,898		(192,950	)
Equifax, Inc.		1,833		238,569		(21,853	)

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

AQR Funds Annual Report December 2016

73

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Esterline Technologies Corp.		41,751	$	2,854,371	$	869,818
Everest Re Group Ltd.		16,445		2,984,092		574,606
Exelon Corp.		53,023		1,856,865		24,921
F5 Networks, Inc.		24,518		2,773,310		774,935
Facebook, Inc.		12,069		1,432,096		(43,557	)
Fair Isaac Corp.		3,266		401,280		(11,907	)
FedEx Corp.		8,492		1,386,489		194,722
Fifth Third Bancorp		46,099		1,188,022		55,268
FirstEnergy Corp.		22,386		764,343		(71,049	)
Fiserv, Inc.		12,912		1,332,682		39,605
Flex Ltd.		265,725		3,436,948		381,520
FLIR Systems, Inc.		28,941		928,369		119,005
Foot Locker, Inc.		26,304		1,439,155		425,536
Ford Motor Co.		28,521		376,919		(30,960	)
Fortune Brands Home & Security, Inc.		5,811		313,114		(2,458	)
Franklin Resources, Inc.		38,644		1,364,844		164,685
FTI Consulting, Inc.		47,703		2,035,346		115,105
Fulton Financial Corp.		29,408		523,702		29,169
General Dynamics Corp.		21,200		2,975,208		685,184
General Motors Co.		155,339		4,656,520		755,491
Genpact Ltd.		69,210		1,889,262		(204,690	)
Genuine Parts Co.		17,922		1,711,732		536
Gilead Sciences, Inc.		80,015		6,225,144		(495,270	)
Goldman Sachs Group, Inc. (The)		4,238		717,663		297,126
Goodyear Tire & Rubber Co. (The)		16,857		537,235		(16,860	)
Graham Holdings Co.		1,608		815,771		7,445
Graphic Packaging Holding Co.		268,920		3,624,327		(268,205	)
Great Plains Energy, Inc.		65,280		1,915,385		(129,977	)
Greif, Inc.		19,377		919,433		74,801
Groupon, Inc.		142,187		497,444		(25,383	)
Hanover Insurance Group, Inc. (The)		11,391		976,205		60,490
Hartford Financial Services Group, Inc. (The)		41,215		1,904,166		59,729
Hasbro, Inc.		4,828		416,367		(40,797	)
Hawaiian Electric Industries, Inc.		39,795		1,182,113		133,907
HCA Holdings, Inc.		13,032		1,025,227		(60,599	)
HD Supply Holdings, Inc.		79,968		2,799,696		599,743
Herman Miller, Inc.		125,587		4,046,398		248,677
Hershey Co. (The)		2,375		226,879		18,767
Hewlett Packard Enterprise Co.		326,831		7,124,774		438,095
Home Depot, Inc. (The)		9,270		1,197,591		45,330
Honeywell International, Inc.		40,254		4,509,499		153,927
HP, Inc.		472,256		6,456,508		551,771
HSN, Inc.		22,632		1,199,452		(423,175	)
Hubbell, Inc.		24,645		2,594,450		281,621
Huntington Bancshares, Inc.		27,908		348,444		20,500

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Huntington Ingalls Industries, Inc.		53,456	$	8,514,442	$	1,331,619
Huntsman Corp.		293,770		4,528,175		1,076,957
Hyatt Hotels Corp.		21,136		1,077,052		90,923
IAC/InterActiveCorp.		46,001		2,542,240		438,165
IDACORP, Inc.		6,995		546,278		17,170
Illinois Tool Works, Inc.		26,458		3,057,408		182,638
Ingersoll-Rand plc		100,666		6,565,265		988,711
Ingredion, Inc.		41,262		5,005,885		150,215
Integrated Device Technology, Inc.		65,126		1,238,215		296,154
Intel Corp.		27,654		957,260		45,751
InterDigital, Inc.		31,368		2,441,620		423,847
International Business Machines Corp.		17,931		2,740,339		236,027
International Game Technology plc		111,295		3,082,059		(241,811	)
International Paper Co.		97,458		4,517,057		654,064
Interpublic Group of Cos., Inc. (The)		111,348		2,607,635		(978	)
Intuit, Inc.		23,819		2,586,672		143,223
Intuitive Surgical, Inc.		2,072		1,352,117		(38,117	)
Invesco Ltd.		50,295		1,527,913		(1,963	)
ITT, Inc.		19,300		697,502		46,899
j2 Global, Inc.		24,031		1,631,945		333,791
Jabil Circuit, Inc.		131,541		2,522,745		590,831
Jack Henry & Associates, Inc.		22,862		1,943,553		86,135
Jack in the Box, Inc.		20,834		1,797,557		528,350
Jacobs Engineering Group, Inc.		43,519		2,217,450		263,133
Jazz Pharmaceuticals plc		3,535		424,204		(38,783	)
JetBlue Airways Corp.		75,921		1,363,541		338,608
JM Smucker Co. (The)		1,301		173,090		(6,484	)
John Wiley & Sons, Inc.		40,239		2,133,512		59,514
Johnson & Johnson		42,427		4,909,579		(21,564	)
JPMorgan Chase & Co.		41,711		2,768,661		830,581
Juniper Networks, Inc.		67,126		1,569,884		327,097
Kate Spade & Co.		17,910		292,901		41,478
KB Home		121,677		1,748,304		175,409
KBR, Inc.		13,843		216,774		14,265
Kennametal, Inc.		31,006		794,668		174,580
KeyCorp		174,357		2,194,545		990,958
Kimberly-Clark Corp.		26,166		3,406,028		(419,964	)
KLA-Tencor Corp.		32,096		2,311,148		214,165
Kohl’s Corp.		33,609		1,254,775		404,837
L-3 Communications Holdings, Inc.		41,718		6,078,557		267,168
Laboratory Corp. of America Holdings		1,765		231,426		(4,835	)
Lam Research Corp.		25,065		2,063,351		586,772
Lancaster Colony Corp.		16,868		2,097,046		287,920
Landstar System, Inc.		12,135		827,243		207,873
Las Vegas Sands Corp.		13,022		804,969		(109,464	)
Lear Corp.		66,405		7,660,180		1,129,850

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

AQR Funds Annual Report December 2016

74

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Leidos Holdings, Inc.		79,008	$	3,310,200	$	730,269
Lennox International, Inc.		15,049		2,086,750		218,306
Lincoln Electric Holdings, Inc.		10,933		672,688		165,545
Lincoln National Corp.		73,399		3,377,611		1,486,541
Lowe’s Cos., Inc.		25,516		2,001,730		(187,032	)
LSC Communications, Inc.		23,262		487,966		202,450
LyondellBasell Industries NV		60,624		4,802,156		398,171
Macy’s, Inc.		42,284		1,446,908		67,282
Mallinckrodt plc		29,318		1,893,784		(433,162	)
ManpowerGroup, Inc.		46,056		3,589,121		503,876
Marathon Petroleum Corp.		22,457		792,508		338,202
MarketAxess Holdings, Inc.		4,775		738,483		(36,940	)
Marvell Technology Group Ltd.		185,821		1,853,128		724,209
Masco Corp.		94,063		3,068,177		(93,905	)
Maxim Integrated Products, Inc.		59,471		2,326,189		(32,393	)
McKesson Corp.		17,392		2,800,552		(357,846	)
Medtronic plc		18,711		1,578,136		(245,352	)
Merck & Co., Inc.		57,907		3,415,370		(6,385	)
Meredith Corp.		15,643		806,655		118,628
MetLife, Inc.		34,026		1,524,025		309,637
Mettler-Toledo International, Inc.		4,272		1,711,998		76,091
Michael Kors Holdings Ltd.		55,343		2,742,790		(364,148	)
Michaels Cos., Inc. (The)		36,970		1,114,276		(358,239	)
Micron Technology, Inc.		48,738		622,384		445,953
Microsoft Corp.		78,171		4,269,878		587,668
Molina Healthcare, Inc.		8,115		417,354		22,965
Molson Coors Brewing Co.		10,255		1,099,443		(101,529	)
Morningstar, Inc.		6,327		533,240		(67,825	)
MSC Industrial Direct Co., Inc.		13,466		1,001,402		242,722
MSCI, Inc.		36,840		2,877,795		24,460
Murphy USA, Inc.		26,203		1,874,547		(263,849	)
Nabors Industries Ltd.		114,204		1,626,566		246,379
Nasdaq, Inc.		69,328		4,534,366		118,929
NCR Corp.		43,159		1,300,802		449,727
NetApp, Inc.		50,953		1,274,335		522,778
NeuStar, Inc.		29,773		716,934		277,484
New York Times Co. (The)		86,181		1,038,311		107,896
Newmont Mining Corp.		100,558		3,529,487		(103,476	)
News Corp.		29,202		344,564		(9,909	)
NiSource, Inc.		101,549		2,444,823		(196,528	)
Norfolk Southern Corp.		36,980		3,381,699		614,730
Northrop Grumman Corp.		24,073		5,173,791		425,108

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Nu Skin Enterprises, Inc.		94,138	$	3,920,848	$	577,066
Nuance Communications, Inc.		94,872		1,620,375		(206,782	)
Nucor Corp.		43,525		2,106,270		484,338
NVIDIA Corp.		6,588		390,648		312,555
NVR, Inc.		1,430		2,380,755		5,915
Oceaneering International, Inc.		78,957		2,417,617		(190,240	)
Office Depot, Inc.		206,343		735,014		197,656
Old Republic International Corp.		53,811		1,017,566		4,843
Omnicom Group, Inc.		29,455		2,432,357		74,558
ON Semiconductor Corp.		23,173		236,847		58,841
ONE Gas, Inc.		20,628		1,300,628		18,739
Oracle Corp.		33,621		1,326,012		(33,285	)
Orbital ATK, Inc.		9,860		883,555		(18,537	)
Oshkosh Corp.		37,738		2,174,240		264,012
Owens & Minor, Inc.		21,836		823,217		(52,625	)
Owens Corning		103,674		5,254,170		91,261
Packaging Corp. of America		7,328		565,519		56,042
Parker-Hannifin Corp.		36,180		4,385,035		680,165
PepsiCo, Inc.		7,680		794,326		9,232
PerkinElmer, Inc.		24,733		1,321,965		(32,139	)
Pfizer, Inc.		125,994		4,275,969		(183,683	)
PG&E Corp.		46,908		2,878,150		(27,551	)
Pilgrim’s Pride Corp.		82,090		1,810,011		(251,122	)
Pinnacle West Capital Corp.		44,001		3,313,406		119,992
Plantronics, Inc.		42,417		1,898,063		424,692
PNC Financial Services Group, Inc. (The)		68,533		6,209,584		1,806,036
Pool Corp.		4,136		377,690		53,860
Popular, Inc.		69,047		2,651,029		374,610
PPG Industries, Inc.		11,832		1,094,466		26,734
Priceline Group, Inc. (The)		143		192,921		16,725
ProAssurance Corp.		11,885		620,635		47,302
Procter & Gamble Co. (The)		64,032		5,299,929		83,882
Progressive Corp. (The)		58,757		1,926,658		159,215
Prudential Financial, Inc.		26,706		2,078,367		700,659
Public Service Enterprise Group, Inc.		191,347		8,642,915		(246,608	)
PVH Corp.		18,864		1,882,949		(180,662	)
QEP Resources, Inc.		72,590		1,235,830		100,552
QUALCOMM, Inc.		51,583		2,901,649		461,563
Quanta Services, Inc.		124,773		2,999,309		1,349,031
Quest Diagnostics, Inc.		16,680		1,297,204		235,688
Quintiles IMS Holdings, Inc.		32,553		2,187,887		287,769
Raymond James Financial, Inc.		15,174		864,528		186,575
Raytheon Co.		39,800		5,422,740		228,860
Regal Beloit Corp.		20,283		1,183,290		221,308
Regions Financial Corp.		229,914		2,710,797		590,769

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

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75

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Reinsurance Group of America, Inc.		36,868	$	3,961,184	$	677,917
Reliance Steel & Aluminum Co.		47,430		3,547,468		225,114
Republic Services, Inc.		30,688		1,504,633		246,118
Rice Energy, Inc.		48,188		1,166,657		(137,843	)
Robert Half International, Inc.		11,027		451,374		86,523
Rockwell Automation, Inc.		22,707		2,676,707		375,114
Ross Stores, Inc.		32,210		1,685,871		427,105
Rowan Cos. plc		51,790		950,864		27,449
RPM International, Inc.		20,706		1,018,403		96,201
SCANA Corp.		77,968		5,548,122		165,373
Science Applications International Corp.		16,861		1,217,156		212,657
Scripps Networks Interactive, Inc.		12,756		790,124		120,271
Seagate Technology plc		18,269		627,041		70,287
Sealed Air Corp.		13,503		619,623		(7,397	)
ServiceMaster Global Holdings, Inc.		4,925		172,496		13,029
Sherwin-Williams Co. (The)		6,541		1,776,683		(18,854	)
Silicon Laboratories, Inc.		18,400		970,234		225,766
Skechers U.S.A., Inc.		85,166		2,687,839		(594,459	)
Snap-on, Inc.		2,387		380,806		28,015
Sonoco Products Co.		73,931		3,558,269		337,895
Southwest Airlines Co.		12,704		530,646		102,521
Southwest Gas Corp.		11,237		831,098		29,881
Southwestern Energy Co.		167,931		2,139,368		(322,355	)
Spirit AeroSystems Holdings, Inc.		118,703		5,674,767		1,251,553
Stanley Black & Decker, Inc.		36,316		4,328,949		(163,867	)
Staples, Inc.		18,448		165,479		1,476
State Street Corp.		18,325		1,344,107		80,112
Steel Dynamics, Inc.		147,365		3,690,031		1,553,216
SunTrust Banks, Inc.		93,755		4,364,676		777,786
SUPERVALU, Inc.		103,258		490,225		(8,011	)
Symantec Corp.		29,381		504,766		197,147
Synaptics, Inc.		62,016		3,400,906		(78,088	)
Synchrony Financial		89,853		2,754,326		504,642
SYNNEX Corp.		36,721		3,486,829		957,146
Synopsys, Inc.		57,215		3,169,537		198,138
Synovus Financial Corp.		34,357		1,323,184		88,201
Sysco Corp.		17,522		854,908		115,286
T Rowe Price Group, Inc.		10,762		822,324		(12,376	)
TCF Financial Corp.		22,566		321,583		120,485
TE Connectivity Ltd.		21,871		1,332,819		182,404
Tech Data Corp.		64,890		4,925,181		569,704
TEGNA, Inc.		21,636		451,198		11,596
Teledyne Technologies, Inc.		6,872		690,567		154,689

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Telephone & Data Systems, Inc.		27,914	$	801,971	$	3,906
Teradata Corp.		58,103		1,686,737		(108,078	)
Teradyne, Inc.		116,211		2,317,053		634,707
Terex Corp.		8,173		198,388		59,306
Tesoro Corp.		15,204		1,218,449		111,141
Texas Instruments, Inc.		46,913		3,073,525		349,717
Texas Roadhouse, Inc.		7,870		309,905		69,744
Textron, Inc.		45,114		1,808,822		381,914
Thomson Reuters Corp.		3,831		162,588		5,134
Thor Industries, Inc.		44,304		3,020,002		1,412,613
Timken Co. (The)		59,803		1,989,458		384,721
TJX Cos., Inc. (The)		28,289		2,149,964		(24,611	)
Toll Brothers, Inc.		23,364		676,141		48,144
Torchmark Corp.		16,598		1,132,281		91,987
Toro Co. (The)		21,714		1,024,222		190,676
Total System Services, Inc.		8,452		452,182		(37,780	)
Travelers Cos., Inc. (The)		21,914		2,511,560		171,152
Tyson Foods, Inc.		110,160		6,933,646		(138,977	)
U.S. Bancorp		27,875		1,370,207		61,732
UGI Corp.		76,083		3,447,424		58,480
Union Pacific Corp.		12,548		1,134,600		166,376
United Continental Holdings, Inc.		68,520		3,051,196		1,942,542
United States Steel Corp.		19,652		356,735		291,977
United Technologies Corp.		25,404		2,597,543		187,243
United Therapeutics Corp.		32,404		3,850,896		796,809
UnitedHealth Group, Inc.		18,236		2,572,724		345,765
Universal Health Services, Inc.		4,093		560,577		(125,164	)
Unum Group		69,680		2,517,240		543,802
Urban Outfitters, Inc.		102,669		2,932,227		(8,214	)
Vail Resorts, Inc.		7,280		1,162,127		12,210
Valero Energy Corp.		65,955		3,622,249		883,797
Validus Holdings Ltd.		39,358		1,919,601		245,483
Vantiv, Inc.		3,180		171,084		18,508
VCA, Inc.		5,690		379,633		10,985
Vectren Corp.		27,430		1,363,698		66,776
Verizon Communications, Inc.		40,741		2,070,435		104,320
Versum Materials, Inc.		60,857		1,471,779		236,477
Viavi Solutions, Inc.		97,715		632,011		167,298
Vishay Intertechnology, Inc.		114,463		1,510,486		343,815
Visteon Corp.		21,974		1,540,087		225,305
VMware, Inc.		14,194		890,972		226,521
Voya Financial, Inc.		12,016		372,228		99,039
VWR Corp.		54,952		1,626,543		(251,094	)
Waddell & Reed Financial, Inc.		81,313		1,568,522		17,894
Wal-Mart Stores, Inc.		84,423		5,930,771		(95,453	)

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

AQR Funds Annual Report December 2016

76

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Waste Management, Inc.		49,301		$	3,069,986		$	425,948
Waters Corp.		10,328			1,460,476			(72,496	)
Watsco, Inc.		16,651			2,264,956			201,390
WellCare Health Plans, Inc.		61,583			6,740,215			1,701,583
Wells Fargo & Co.		77,139			3,743,901			507,229
Werner Enterprises, Inc.		6,161			157,845			8,194
WESCO International, Inc.		22,411			1,353,616			137,836
West Pharmaceutical Services, Inc.		21,611			1,685,911			147,350
Western Alliance Bancorp		8,832			319,967			110,239
Westlake Chemical Corp.		57,963			2,896,523			348,825
Whirlpool Corp.		19,475			3,246,482			293,488
World Fuel Services Corp.		47,717			2,226,325			(35,637	)
Worthington Industries, Inc.		56,957			2,442,060			259,980
Wyndham Worldwide Corp.		20,700			1,408,084			172,775
Xcel Energy, Inc.		32,352			1,331,577			(14,850	)
Xerox Corp.		342,255			3,476,514			(488,628	)
Xilinx, Inc.		20,642			1,063,713			182,444
Xylem, Inc.		32,352			1,545,700			56,371
Yum! Brands, Inc.		16,170			967,259			56,787
Zions Bancorp		21,468			824,750			99,233
Zynga, Inc.		414,708			1,159,104			(93,305	)
								83,719,946
Total of Long Equity Positions								83,719,946
Short Positions
Common Stocks
Canada
Waste Connections, Inc.		(41,476	)		(3,009,667	)		(249,932	)
Ireland
XL Group Ltd.		(59,392	)		(2,033,710	)		(179,236	)
Sweden
Autoliv, Inc.		(1,803	)		(177,833	)		(26,176	)
United Kingdom
Liberty Global plc		(195,646	)		(6,344,494	)		359,683
Pentair plc		(40,174	)		(2,439,365	)		186,809
								546,492
United States
Abbott Laboratories		(66,852	)		(2,705,137	)		137,351
Acadia Healthcare Co., Inc.		(235,002	)		(12,338,999	)		4,560,433
ACI Worldwide, Inc.		(65,362	)		(1,274,102	)		87,781
Acuity Brands, Inc.		(19,834	)		(5,000,383	)		421,506
Acxiom Corp.		(23,102	)		(523,038	)		(96,096	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Advance Auto Parts, Inc.		(26,442	)	$	(3,941,356	)	$	(530,515	)
AECOM		(54,219	)		(1,728,570	)		(242,833	)
Agios Pharmaceuticals, Inc.		(20,643	)		(1,324,471	)		463,038
Air Lease Corp.		(112,520	)		(3,194,382	)		(668,430	)
Akorn, Inc.		(93,359	)		(2,641,376	)		603,350
Albemarle Corp.		(9,116	)		(738,031	)		(46,674	)
Alexion Pharmaceuticals, Inc.		(11,158	)		(1,556,075	)		190,894
Alkermes plc		(44,328	)		(2,064,030	)		(399,720	)
Allegheny Technologies, Inc.		(48,814	)		(703,563	)		(74,044	)
Allegion plc		(27,070	)		(1,838,053	)		105,573
Allergan plc		(28,209	)		(6,725,435	)		801,263
Alliance Data Systems Corp.		(16,405	)		(3,586,844	)		(161,699	)
Alliant Energy Corp.		(41,506	)		(1,588,850	)		16,187
Ally Financial, Inc.		(123,641	)		(2,201,738	)		(149,913	)
Alnylam Pharmaceuticals, Inc.		(51,121	)		(2,158,048	)		244,077
AMERCO		(3,539	)		(1,254,749	)		(53,230	)
American Express Co.		(20,773	)		(1,301,007	)		(237,857	)
AmerisourceBergen Corp.		(18,576	)		(1,458,219	)		5,761
AMETEK, Inc.		(30,127	)		(1,455,173	)		(8,999	)
Amphenol Corp.		(30,259	)		(1,841,979	)		(191,426	)
AmTrust Financial Services, Inc.		(22,956	)		(612,885	)		(15,650	)
Aon plc		(4,967	)		(543,390	)		(10,580	)
Apache Corp.		(25,128	)		(1,397,619	)		(197,255	)
AptarGroup, Inc.		(10,448	)		(815,983	)		48,578
Aqua America, Inc.		(49,973	)		(1,655,106	)		153,917
Arch Capital Group Ltd.		(7,655	)		(565,992	)		(94,558	)
Arconic, Inc.		(63,038	)		(1,819,297	)		650,572
Arista Networks, Inc.		(22,458	)		(1,676,714	)		(496,546	)
Armstrong World Industries, Inc.		(37,070	)		(1,501,194	)		(48,332	)
ARRIS International plc		(141,984	)		(3,440,767	)		(837,211	)
Arthur J Gallagher & Co.		(33,863	)		(1,624,287	)		(135,235	)
Artisan Partners Asset Management, Inc.		(45,467	)		(1,364,923	)		12,280
Ascena Retail Group, Inc.		(315,012	)		(2,081,154	)		131,230
Ashland Global Holdings, Inc.		(11,285	)		(1,298,791	)		65,453
Associated Banc-Corp.		(23,701	)		(441,313	)		(144,102	)
athenahealth, Inc.		(22,111	)		(2,438,688	)		113,274
Autodesk, Inc.		(33,858	)		(2,060,034	)		(445,797	)
Automatic Data Processing, Inc.		(8,331	)		(728,950	)		(127,311	)
AutoNation, Inc.		(46,824	)		(2,285,555	)		7,567
AutoZone, Inc.		(4,454	)		(3,298,755	)		(218,969	)
Avangrid, Inc.		(13,773	)		(563,520	)		41,799
Avis Budget Group, Inc.		(148,312	)		(4,869,963	)		(570,121	)
Avon Products, Inc.		(92,909	)		(476,735	)		8,473
Axalta Coating Systems Ltd.		(59,596	)		(1,669,284	)		48,273

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

AQR Funds Annual Report December 2016

77

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ball Corp.		(130,325	)	$	(9,613,373	)	$	(170,125	)
Bank of Hawaii Corp.		(17,194	)		(1,213,805	)		(311,131	)
Bank of the Ozarks, Inc.		(115,093	)		(4,477,794	)		(1,574,947	)
BankUnited, Inc.		(59,286	)		(1,939,918	)		(294,571	)
Berry Plastics Group, Inc.		(3,869	)		(178,125	)		(10,411	)
BioMarin Pharmaceutical, Inc.		(45,388	)		(4,028,317	)		268,375
Bio-Rad Laboratories, Inc.		(4,818	)		(827,512	)		(50,713	)
Bio-Techne Corp.		(30,219	)		(3,392,654	)		285,235
Black Hills Corp.		(33,684	)		(2,078,976	)		12,800
Black Knight Financial Services, Inc.		(17,260	)		(635,168	)		(17,260	)
Blue Buffalo Pet Products, Inc.		(32,256	)		(733,026	)		(42,408	)
BorgWarner, Inc.		(122,550	)		(4,111,379	)		(721,993	)
Bristol-Myers Squibb Co.		(35,947	)		(2,654,693	)		553,950
Brookdale Senior Living, Inc.		(281,991	)		(4,054,798	)		552,470
Brown & Brown, Inc.		(38,276	)		(1,391,939	)		(325,122	)
Brown-Forman Corp.		(88,472	)		(4,299,502	)		325,340
Cable One, Inc.		(1,029	)		(523,998	)		(115,762	)
CalAtlantic Group, Inc.		(33,115	)		(1,145,392	)		19,151
Calpine Corp.		(67,322	)		(773,148	)		3,658
CarMax, Inc.		(56,992	)		(2,974,732	)		(694,982	)
Casey’s General Stores, Inc.		(1,440	)		(175,117	)		3,930
Catalent, Inc.		(118,733	)		(2,993,993	)		(207,049	)
Caterpillar, Inc.		(19,015	)		(1,559,975	)		(203,476	)
Cathay General Bancorp		(34,180	)		(1,034,377	)		(265,488	)
CBOE Holdings, Inc.		(19,685	)		(1,236,809	)		(217,716	)
CEB, Inc.		(40,529	)		(2,424,290	)		(31,767	)
CF Industries Holdings, Inc.		(269,860	)		(6,727,324	)		(1,767,868	)
CH Robinson Worldwide, Inc.		(27,008	)		(1,848,005	)		(130,601	)
Charles Schwab Corp. (The)		(55,003	)		(1,639,089	)		(531,879	)
Charter Communications, Inc.		(10,424	)		(2,758,436	)		(242,842	)
Cheniere Energy, Inc.		(146,352	)		(5,497,707	)		(565,657	)
Chesapeake Energy Corp.		(179,857	)		(795,908	)		(466,689	)
Chevron Corp.		(9,439	)		(954,944	)		(156,027	)
Chipotle Mexican Grill, Inc.		(17,958	)		(7,446,634	)		670,721
Ciena Corp.		(123,893	)		(2,618,222	)		(406,006	)
Clean Harbors, Inc.		(44,464	)		(2,215,264	)		(259,158	)
CMS Energy Corp.		(10,308	)		(439,430	)		10,411
Cognex Corp.		(55,373	)		(2,465,760	)		(1,057,071	)
Colfax Corp.		(11,588	)		(340,455	)		(75,901	)
CommVault Systems, Inc.		(4,790	)		(231,165	)		(15,041	)
Compass Minerals International, Inc.		(31,933	)		(2,523,442	)		21,492

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Concho Resources, Inc.		(29,233	)	$	(3,686,452	)	$	(189,843	)
Cooper Cos., Inc. (The)		(12,824	)		(2,091,210	)		(152,093	)
Copart, Inc.		(30,490	)		(1,507,156	)		(182,295	)
Core Laboratories NV		(16,600	)		(2,136,918	)		144,254
CoStar Group, Inc.		(9,373	)		(1,963,737	)		197,020
Costco Wholesale Corp.		(30,482	)		(4,612,671	)		(267,802	)
Coty, Inc.		(224,176	)		(5,038,929	)		934,267
Covanta Holding Corp.		(299,738	)		(4,875,899	)		199,986
Cree, Inc.		(15,068	)		(399,981	)		2,336
Cypress Semiconductor Corp.		(218,987	)		(2,431,453	)		(73,758	)
DaVita, Inc.		(27,504	)		(1,887,545	)		121,788
Deere & Co.		(7,302	)		(638,779	)		(113,619	)
Delphi Automotive plc		(39,804	)		(2,689,646	)		8,847
Denbury Resources, Inc.		(57,329	)		(183,515	)		(27,456	)
DENTSPLY SIRONA, Inc.		(22,602	)		(1,354,891	)		50,077
Devon Energy Corp.		(3,655	)		(156,989	)		(9,935	)
DexCom, Inc.		(111,375	)		(8,251,336	)		1,602,249
Diebold Nixdorf, Inc.		(154,218	)		(4,096,657	)		218,074
Discovery Communications, Inc.		(131,139	)		(3,393,918	)		(200,602	)
DISH Network Corp.		(44,098	)		(2,422,828	)		(131,770	)
Dollar Tree, Inc.		(48,720	)		(4,415,006	)		654,797
Dominion Resources, Inc.		(176,540	)		(12,924,794	)		(596,405	)
Donaldson Co., Inc.		(32,263	)		(1,189,859	)		(167,768	)
Duke Energy Corp.		(6,506	)		(513,449	)		8,453
Dunkin’ Brands Group, Inc.		(73,901	)		(3,509,459	)		(365,910	)
Dycom Industries, Inc.		(6,569	)		(605,231	)		77,806
Eaton Vance Corp.		(10,058	)		(369,531	)		(51,698	)
Ecolab, Inc.		(16,812	)		(2,011,014	)		40,312
Endo International plc		(102,513	)		(1,802,100	)		113,711
Ensco plc		(42,394	)		(360,883	)		(51,186	)
Envision Healthcare Corp.		(91,373	)		(6,366,477	)		583,479
EQT Corp.		(15,208	)		(1,058,864	)		64,261
Eversource Energy		(27,910	)		(1,521,486	)		(19,983	)
Expedia, Inc.		(4,794	)		(592,036	)		48,972
Expeditors International of Washington, Inc.		(29,879	)		(1,490,208	)		(92,184	)
Exxon Mobil Corp.		(11,228	)		(1,003,110	)		(10,330	)
Fastenal Co.		(120,204	)		(4,951,327	)		(695,857	)
Federated Investors, Inc.		(22,763	)		(732,286	)		88,548
FireEye, Inc.		(254,169	)		(3,643,912	)		619,301
First Data Corp.		(510,551	)		(6,620,615	)		(624,104	)
First Horizon National Corp.		(90,275	)		(1,276,925	)		(529,478	)
First Republic Bank		(1,843	)		(123,427	)		(46,387	)
First Solar, Inc.		(41,799	)		(1,348,360	)		7,030
Fitbit, Inc.		(143,022	)		(1,051,741	)		4,820
FleetCor Technologies, Inc.		(7,915	)		(1,217,406	)		97,275
Flowers Foods, Inc.		(45,949	)		(707,993	)		(209,608	)
Flowserve Corp.		(23,941	)		(1,153,628	)		3,263

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

AQR Funds Annual Report December 2016

78

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
FMC Corp.		(55,204	)	$	(2,741,983	)	$	(380,356	)
FNB Corp.		(111,326	)		(1,361,119	)		(423,437	)
FNF Group		(69,452	)		(2,504,534	)		145,944
Fossil Group, Inc.		(33,758	)		(932,009	)		59,027
Freeport-McMoRan, Inc.		(80,089	)		(816,156	)		(240,218	)
Frontier Communications Corp.		(1,376,446	)		(6,561,424	)		1,909,037
Gap, Inc. (The)		(7,813	)		(205,225	)		29,901
Gartner, Inc.		(5,641	)		(552,610	)		(17,526	)
GATX Corp.		(26,968	)		(1,281,317	)		(379,372	)
General Electric Co.		(122,669	)		(3,744,802	)		(131,538	)
Genesee & Wyoming, Inc.		(56,464	)		(3,619,239	)		(299,927	)
Gentex Corp.		(107,100	)		(1,758,582	)		(350,217	)
Global Payments, Inc.		(47,284	)		(3,546,443	)		264,461
GoDaddy, Inc.		(17,766	)		(586,099	)		(34,823	)
Graco, Inc.		(6,825	)		(557,466	)		(9,623	)
Granite Construction, Inc.		(34,238	)		(1,572,458	)		(310,632	)
Guess?, Inc.		(26,976	)		(396,374	)		69,964
Guidewire Software, Inc.		(32,472	)		(1,877,669	)		275,825
H&R Block, Inc.		(60,358	)		(1,339,001	)		(48,629	)
Hain Celestial Group, Inc. (The)		(49,452	)		(2,330,906	)		400,795
Halyard Health, Inc.		(72,890	)		(2,479,485	)		(215,987	)
Hancock Holding Co.		(8,520	)		(214,016	)		(153,196	)
Hanesbrands, Inc.		(135,212	)		(3,518,136	)		601,613
Harley-Davidson, Inc.		(14,839	)		(668,942	)		(196,765	)
Harris Corp.		(28,369	)		(2,350,022	)		(556,949	)
HEICO Corp.		(16,734	)		(1,173,580	)		(117,449	)
Henry Schein, Inc.		(15,911	)		(2,669,700	)		255,842
Hertz Global Holdings, Inc.		(10,024	)		(215,216	)		(902	)
Hess Corp.		(26,122	)		(1,389,431	)		(237,709	)
Hexcel Corp.		(38,101	)		(1,667,584	)		(292,331	)
Hill-Rom Holdings, Inc.		(15,735	)		(792,100	)		(91,263	)
Hilton Worldwide Holdings, Inc.		(40,153	)		(864,205	)		(227,957	)
HollyFrontier Corp.		(7,392	)		(171,452	)		(70,710	)
Howard Hughes Corp. (The)		(29,593	)		(3,399,940	)		23,378
IDEX Corp.		(6,912	)		(593,257	)		(29,238	)
IDEXX Laboratories, Inc.		(12,133	)		(1,068,189	)		(354,648	)
IHS Markit Ltd.		(85,605	)		(3,043,302	)		12,029
Illumina, Inc.		(45,486	)		(6,757,715	)		933,687
Incyte Corp.		(15,677	)		(1,309,963	)		(261,970	)
International Flavors & Fragrances, Inc.		(19,545	)		(2,520,082	)		217,094
Intrexon Corp.		(17,983	)		(556,454	)		119,467
Ionis Pharmaceuticals, Inc.		(14,178	)		(646,118	)		(32,016	)
IPG Photonics Corp.		(19,457	)		(1,748,056	)		(172,544	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
JB Hunt Transport Services, Inc.		(37,941	)	$	(3,060,950	)	$	(621,983	)
JC Penney Co., Inc.		(340,241	)		(3,029,774	)		202,371
Juno Therapeutics, Inc.		(52,368	)		(1,270,528	)		283,391
Kansas City Southern		(2,030	)		(185,380	)		13,134
KAR Auction Services, Inc.		(9,698	)		(400,534	)		(12,795	)
Keysight Technologies, Inc.		(30	)		(942	)		(155	)
Kirby Corp.		(37,615	)		(2,455,580	)		(45,817	)
KLX, Inc.		(107,351	)		(3,699,135	)		(1,143,469	)
Knowles Corp.		(243,294	)		(3,748,039	)		(317,404	)
Kosmos Energy Ltd.		(438,709	)		(2,532,275	)		(543,075	)
Kraft Heinz Co. (The)		(14,778	)		(1,230,937	)		(59,478	)
Kroger Co. (The)		(24,930	)		(814,764	)		(45,571	)
L Brands, Inc.		(39,312	)		(2,829,363	)		241,060
Laredo Petroleum, Inc.		(121,792	)		(1,602,904	)		(119,235	)
Legg Mason, Inc.		(7,774	)		(248,496	)		15,976
Leggett & Platt, Inc.		(7,774	)		(393,831	)		13,838
Lennar Corp.		(54,481	)		(2,436,153	)		97,284
Leucadia National Corp.		(111,007	)		(1,965,987	)		(614,926	)
Liberty Broadband Corp.		(25,517	)		(1,511,774	)		(378,271	)
LifePoint Health, Inc.		(45,841	)		(2,673,773	)		70,004
Lions Gate Entertainment Corp.		(58,942	)		(2,339,700	)		754,160
LivaNova plc		(31,127	)		(1,793,503	)		393,722
Live Nation Entertainment, Inc.		(94,528	)		(2,307,022	)		(207,422	)
Loews Corp.		(61,393	)		(2,467,999	)		(407,036	)
Louisiana-Pacific Corp.		(71,389	)		(1,299,687	)		(51,706	)
M&T Bank Corp.		(1,595	)		(191,368	)		(58,138	)
Macquarie Infrastructure Corp.		(53,789	)		(3,958,570	)		(435,991	)
Madison Square Garden Co. (The)		(13,457	)		(2,295,987	)		(12,024	)
Manitowoc Foodservice, Inc.		(81,605	)		(1,367,578	)		(209,846	)
Marathon Oil Corp.		(29,185	)		(477,829	)		(27,364	)
Markel Corp.		(3,094	)		(2,848,820	)		50,297
Marriott International, Inc.		(14,590	)		(1,127,858	)		(78,444	)
Martin Marietta Materials, Inc.		(747	)		(139,786	)		(25,697	)
Mastercard, Inc.		(31,702	)		(3,063,848	)		(209,383	)
Mattel, Inc.		(82,830	)		(2,624,514	)		342,548
MAXIMUS, Inc.		(44,352	)		(2,527,150	)		52,752
McCormick & Co., Inc.		(6,282	)		(576,619	)		(9,680	)
McDonald’s Corp.		(21,684	)		(2,455,250	)		(184,127	)
MDU Resources Group, Inc.		(157,383	)		(3,637,666	)		(890,243	)
Mead Johnson Nutrition Co.		(43,492	)		(3,625,880	)		548,386
MEDNAX, Inc.		(101,495	)		(6,834,336	)		68,679
Mercury General Corp.		(27,600	)		(1,479,754	)		(182,042	)
MGM Resorts International		(6,726	)		(175,028	)		(18,883	)

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

AQR Funds Annual Report December 2016

79

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Microchip Technology, Inc.		(51,898	)	$	(3,006,159	)	$	(323,097	)
Microsemi Corp.		(26,831	)		(886,151	)		(561,918	)
Middleby Corp. (The)		(40,624	)		(5,089,805	)		(142,973	)
Minerals Technologies, Inc.		(2,939	)		(173,871	)		(53,166	)
Mondelez International, Inc.		(28,381	)		(1,202,993	)		(55,136	)
Monster Beverage Corp.		(87,684	)		(4,518,585	)		630,677
Moody’s Corp.		(15,527	)		(1,567,343	)		103,613
Mosaic Co. (The)		(125,511	)		(3,253,181	)		(428,056	)
Mylan NV		(10,956	)		(401,860	)		(16,111	)
National Fuel Gas Co.		(38,520	)		(2,161,742	)		(20,030	)
National Instruments Corp.		(69,794	)		(2,006,597	)		(144,454	)
National Oilwell Varco, Inc.		(18,595	)		(685,137	)		(11,059	)
Navient Corp.		(23,052	)		(269,748	)		(108,997	)
Netflix, Inc.		(26,727	)		(2,670,424	)		(638,378	)
NetScout Systems, Inc.		(178,122	)		(4,476,482	)		(1,134,361	)
Neurocrine Biosciences, Inc.		(84,242	)		(4,097,115	)		836,949
New Jersey Resources Corp.		(42,449	)		(1,409,239	)		(97,701	)
Newell Brands, Inc.		(46,928	)		(2,251,666	)		156,330
Newfield Exploration Co.		(35,959	)		(1,470,701	)		14,361
NewMarket Corp.		(2,703	)		(1,093,418	)		(52,222	)
NextEra Energy, Inc.		(10,372	)		(1,270,604	)		31,565
Nielsen Holdings plc		(71,679	)		(3,711,927	)		704,993
Noble Corp. plc		(358,998	)		(2,050,528	)		(74,740	)
Noble Energy, Inc.		(44,274	)		(1,591,650	)		(93,418	)
Nordson Corp.		(3,371	)		(298,300	)		(79,421	)
Norwegian Cruise Line Holdings Ltd.		(95,232	)		(3,942,321	)		(107,896	)
NOW, Inc.		(57,235	)		(1,112,730	)		(58,870	)
NRG Energy, Inc.		(93,743	)		(1,156,705	)		7,416
NuVasive, Inc.		(36,102	)		(2,315,613	)		(116,218	)
Occidental Petroleum Corp.		(47,883	)		(3,607,423	)		196,717
OGE Energy Corp.		(80,899	)		(2,512,857	)		(193,215	)
Old Dominion Freight Line, Inc.		(17,512	)		(1,158,439	)		(343,916	)
Olin Corp.		(127,110	)		(2,845,970	)		(409,318	)
OneMain Holdings, Inc.		(54,497	)		(1,351,073	)		144,510
ONEOK, Inc.		(50,544	)		(2,385,071	)		(516,660	)
O’Reilly Automotive, Inc.		(6,952	)		(1,901,018	)		(34,488	)
Owens-Illinois, Inc.		(148,567	)		(2,797,601	)		211,049
PacWest Bancorp		(86,886	)		(3,544,166	)		(1,185,908	)
Palo Alto Networks, Inc.		(42,902	)		(5,723,403	)		358,508
Pandora Media, Inc.		(477,290	)		(5,875,536	)		(348,326	)
Panera Bread Co.		(14,357	)		(2,868,396	)		(76,081	)
Patheon NV		(19,259	)		(523,928	)		(28,998	)
Patterson Cos., Inc.		(66,302	)		(3,202,954	)		482,583
Patterson-UTI Energy, Inc.		(59,319	)		(1,198,244	)		(398,624	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Paychex, Inc.		(6,238	)	$	(350,895	)	$	(28,874	)
PayPal Holdings, Inc.		(20,505	)		(781,241	)		(28,092	)
PBF Energy, Inc.		(107,628	)		(2,317,244	)		(683,425	)
Penske Automotive Group, Inc.		(31,160	)		(1,284,684	)		(330,650	)
People’s United Financial, Inc.		(179,584	)		(2,788,610	)		(688,137	)
Perrigo Co. plc		(43,883	)		(4,225,206	)		572,824
Philip Morris International, Inc.		(37,164	)		(3,626,013	)		225,879
Pinnacle Foods, Inc.		(13,821	)		(690,366	)		(48,367	)
Platform Specialty Products Corp.		(442,632	)		(4,023,752	)		(318,468	)
PNM Resources, Inc.		(21,829	)		(706,092	)		(42,642	)
Post Holdings, Inc.		(22,120	)		(1,733,640	)		(44,587	)
PPL Corp.		(24,068	)		(802,190	)		(17,326	)
Praxair, Inc.		(17,528	)		(1,957,001	)		(97,105	)
Premier, Inc.		(125,764	)		(4,131,394	)		313,199
Prestige Brands Holdings, Inc.		(49,594	)		(2,468,648	)		(115,200	)
Principal Financial Group, Inc.		(11,712	)		(625,093	)		(52,563	)
Prosperity Bancshares, Inc.		(30,511	)		(1,645,232	)		(544,847	)
PTC, Inc.		(5,430	)		(203,256	)		(47,990	)
QIAGEN NV		(41,527	)		(959,972	)		(203,614	)
RenaissanceRe Holdings Ltd.		(8,928	)		(1,066,235	)		(149,937	)
ResMed, Inc.		(12,308	)		(719,420	)		(44,291	)
Restoration Hardware Holdings, Inc.		(106,665	)		(3,164,692	)		(109,924	)
Rockwell Collins, Inc.		(57,779	)		(4,970,003	)		(389,577	)
Rollins, Inc.		(56,501	)		(1,621,721	)		(286,883	)
Roper Technologies, Inc.		(40,766	)		(7,199,325	)		(264,114	)
Royal Caribbean Cruises Ltd.		(29,402	)		(2,046,529	)		(365,611	)
Royal Gold, Inc.		(11,935	)		(911,588	)		155,506
RR Donnelley & Sons Co.		(24,990	)		(441,903	)		34,067
Ryder System, Inc.		(15,289	)		(1,041,549	)		(96,565	)
Sabre Corp.		(94,022	)		(2,535,049	)		189,200
salesforce.com, Inc.		(34,667	)		(2,725,823	)		352,520
Sally Beauty Holdings, Inc.		(13,151	)		(344,182	)		(3,268	)
Santander Consumer USA Holdings, Inc.		(130,050	)		(1,371,718	)		(383,957	)
SBA Communications Corp.		(47,522	)		(4,854,372	)		(52,749	)
Scotts Miracle-Gro Co. (The)		(10,527	)		(812,002	)		(193,853	)
Seattle Genetics, Inc.		(38,520	)		(1,921,310	)		(111,391	)
Sempra Energy		(79,636	)		(8,452,559	)		437,992
Sensata Technologies Holding NV		(188,754	)		(6,929,052	)		(422,916	)
Service Corp. International		(33,036	)		(874,260	)		(63,963	)

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

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Schedule of Investments December 31, 2016

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REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ServiceNow, Inc.		(47,147	)	$	(3,607,803	)	$	102,895
Signature Bank		(8,798	)		(1,182,275	)		(139,184	)
Signet Jewelers Ltd.		(36,639	)		(3,024,006	)		(429,586	)
Silgan Holdings, Inc.		(26,291	)		(1,348,872	)		3,298
Six Flags Entertainment Corp.		(14,902	)		(833,069	)		(60,455	)
SM Energy Co.		(9,594	)		(318,792	)		(12,009	)
Snyder’s-Lance, Inc.		(112,289	)		(3,909,966	)		(395,194	)
Sotheby’s		(35,105	)		(1,048,932	)		(350,353	)
Southern Co. (The)		(49,399	)		(2,469,129	)		39,192
Spectrum Brands Holdings, Inc.		(20,308	)		(2,406,092	)		(78,186	)
Spirit Airlines, Inc.		(56,075	)		(2,377,222	)		(867,278	)
Splunk, Inc.		(66,477	)		(3,903,867	)		503,569
Sprouts Farmers Market, Inc.		(201,124	)		(4,517,013	)		711,746
SS&C Technologies Holdings, Inc.		(139,417	)		(4,321,359	)		334,033
Starbucks Corp.		(58,918	)		(3,166,611	)		(104,517	)
Stericycle, Inc.		(75,308	)		(6,978,895	)		1,177,167
STERIS plc		(47,694	)		(3,340,707	)		126,608
Stifel Financial Corp.		(37,272	)		(1,369,272	)		(492,464	)
SunPower Corp.		(47,504	)		(316,979	)		2,977
Superior Energy Services, Inc.		(118,997	)		(2,180,623	)		171,954
SVB Financial Group		(19,149	)		(2,147,836	)		(1,139,281	)
Tableau Software, Inc.		(26,696	)		(1,192,421	)		67,184
Targa Resources Corp.		(35,102	)		(1,578,186	)		(389,983	)
Tempur Sealy International, Inc.		(39,893	)		(2,476,384	)		(247,510	)
Tenet Healthcare Corp.		(107,577	)		(2,626,030	)		1,029,588
Tesla Motors, Inc.		(5,341	)		(996,428	)		(144,890	)
Thermo Fisher Scientific, Inc.		(8,009	)		(1,226,899	)		96,829
Tiffany & Co.		(51,675	)		(3,387,622	)		(613,574	)
Time, Inc.		(32,155	)		(461,460	)		(112,506	)
T-Mobile US, Inc.		(17,783	)		(839,208	)		(183,493	)
Tractor Supply Co.		(26,958	)		(1,988,007	)		(55,679	)
TransDigm Group, Inc.		(35,380	)		(9,650,389	)		842,184
Transocean Ltd.		(47,006	)		(500,898	)		(191,970	)
TransUnion		(34,538	)		(1,132,857	)		64,596
TreeHouse Foods, Inc.		(69,200	)		(5,884,159	)		888,611
TRI Pointe Group, Inc.		(161,411	)		(1,883,712	)		30,713
TripAdvisor, Inc.		(14,841	)		(731,995	)		43,818
Triumph Group, Inc.		(56,986	)		(1,569,937	)		59,808
Trustmark Corp.		(16,064	)		(387,000	)		(185,681	)
Tupperware Brands Corp.		(3,941	)		(229,019	)		21,644
Twenty-First Century Fox, Inc.		(8,347	)		(208,908	)		(25,142	)
Twitter, Inc.		(83,013	)		(1,515,631	)		162,519
Tyler Technologies, Inc.		(29,075	)		(4,669,676	)		518,639
Ultimate Software Group, Inc. (The)		(18,012	)		(3,738,969	)		454,481
Umpqua Holdings Corp.		(9,952	)		(154,391	)		(32,507	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United Parcel Service, Inc.		(11,926	)	$	(1,290,974	)	$	(76,223	)
USG Corp.		(37,874	)		(1,003,179	)		(90,622	)
Valley National Bancorp		(242,238	)		(2,273,164	)		(546,486	)
Veeva Systems, Inc.		(13,090	)		(473,239	)		(59,524	)
VeriFone Systems, Inc.		(61,353	)		(1,046,238	)		(41,551	)
VeriSign, Inc.		(4,714	)		(362,041	)		3,447
Verisk Analytics, Inc.		(86,461	)		(6,938,246	)		(79,793	)
Vertex Pharmaceuticals, Inc.		(14,088	)		(1,259,191	)		221,328
VF Corp.		(37,193	)		(2,174,303	)		190,057
Viacom, Inc.		(36,359	)		(1,415,990	)		139,789
ViaSat, Inc.		(33,964	)		(2,493,137	)		244,041
Visa, Inc.		(91,515	)		(7,381,907	)		241,906
Vista Outdoor, Inc.		(27,412	)		(1,279,224	)		267,721
WABCO Holdings, Inc.		(6,440	)		(692,915	)		9,309
Wabtec Corp.		(22,494	)		(1,821,367	)		(46,084	)
Walgreens Boots Alliance, Inc.		(17,532	)		(1,420,794	)		(30,154	)
Walt Disney Co. (The)		(15,303	)		(1,410,205	)		(184,674	)
Weatherford International plc		(1,491,327	)		(8,470,089	)		1,028,368
Webster Financial Corp.		(60,510	)		(2,309,722	)		(974,761	)
WEC Energy Group, Inc.		(57,570	)		(3,518,103	)		141,622
Wendy’s Co. (The)		(140,093	)		(1,517,292	)		(376,765	)
Western Refining, Inc.		(20,880	)		(766,734	)		(23,574	)
Western Union Co. (The)		(96,751	)		(1,968,354	)		(133,077	)
WestRock Co.		(25,123	)		(1,023,478	)		(252,017	)
WEX, Inc.		(19,275	)		(1,999,580	)		(151,510	)
WGL Holdings, Inc.		(19,818	)		(1,323,050	)		(188,667	)
White Mountains Insurance Group Ltd.		(615	)		(499,695	)		(14,475	)
Whiting Petroleum Corp.		(384,846	)		(3,176,525	)		(1,449,323	)
Whole Foods Market, Inc.		(110,900	)		(3,409,295	)		(1,989	)
Williams Cos., Inc. (The)		(68,520	)		(1,822,043	)		(311,670	)
Williams-Sonoma, Inc.		(17,634	)		(903,672	)		50,363
Willis Towers Watson plc		(15,099	)		(1,895,697	)		49,391
WisdomTree Investments, Inc.		(432,910	)		(4,774,363	)		(48,255	)
Workday, Inc.		(73,026	)		(5,843,646	)		1,017,358
WPX Energy, Inc.		(96,435	)		(1,117,205	)		(287,853	)
WR Berkley Corp.		(8,750	)		(508,783	)		(73,180	)
Wynn Resorts Ltd.		(16,862	)		(1,715,925	)		257,193
Yahoo!, Inc.		(37,321	)		(1,383,489	)		(59,714	)
Zayo Group Holdings, Inc.		(97,085	)		(2,694,109	)		(496,104	)
Zebra Technologies Corp.		(47,023	)		(2,979,559	)		(1,053,134	)
Zillow Group, Inc.		(79,907	)		(2,800,869	)		(113,339	)

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

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Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zimmer Biomet Holdings, Inc.		(19,631	)	$	(2,385,952	)	$	360,033
Zoetis, Inc.		(66,398	)		(3,294,485	)		(259,800	)
								(18,412,182	)
Total of Short Equity Positions								(18,321,034	)
Rights
United States
Lions Gate Entertainment Corp.		(58,942	)		—			(1,446,437	)
Total of Short Equity Positions and Rights								(19,767,471	)
Total of Long and Short Equity Positions and Rights								63,952,475
Net Cash and Other Receivables/ (Payables) (b)								(11,238,662	)
Swaps, at Value							$	52,713,813

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Sterling Overnight Index Average plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	9-37 months maturity 10/12/2017		$1,425,111

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
India
Vedanta Resources plc		87,199	$	462,038	$	473,702
Isle of Man
Paysafe Group plc		96,043		540,332		(101,551	)
South Africa
Investec plc		199,917		1,196,307		114,868
Mondi plc		44,517		724,741		184,396
						299,264

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
Coca-Cola HBC AG		81,397	$	1,448,644	$	323,798
Glencore plc		385,891		652,870		651,012
IWG plc		209,171		812,396		(179,691	)
Wolseley plc		7,084		315,096		117,355
						912,474
United Kingdom
Aberdeen Asset Management plc		56,687		199,267		(20,034	)
Amec Foster Wheeler plc		351,869		1,842,858		189,029
Anglo American plc		105,468		902,930		587,211

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

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Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
ASOS plc		27,191	$	1,191,354	$	469,961
Barclays plc		201,329		400,943		151,574
Barratt Developments plc		809,966		5,067,230		(462,481	)
Bellway plc		91,649		2,938,577		(144,867	)
Berendsen plc		29,401		327,121		(11,897	)
BP plc		159,987		707,366		294,701
Britvic plc		103,574		846,623		(123,431	)
BT Group plc		564,185		2,626,747		(79,845	)
Burberry Group plc		23,786		411,376		26,975
Centrica plc		668,141		1,841,375		82,901
Close Brothers Group plc		52,605		861,830		72,470
Compass Group plc		12,821		229,921		7,031
Daily Mail & General Trust plc		56,267		465,368		73,462
DCC plc		31,752		2,447,233		(87,074	)
Direct Line Insurance Group plc		163,515		729,142		15,039
Dixons Carphone plc		415,533		1,766,332		48,503
GKN plc		358,584		1,362,318		99,232
GlaxoSmithKline plc		60,345		1,198,697		(39,560	)
Greene King plc		46,306		428,901		(31,003	)
Howden Joinery Group plc		278,007		1,404,906		(92,987	)
HSBC Holdings plc		116,568		826,091		114,451
Imperial Brands plc		47,032		2,186,544		(136,864	)
Inchcape plc		147,634		1,210,532		65,315
Indivior plc		298,044		1,088,166		(2,200	)
Informa plc		49,809		417,993		(784	)
InterContinental Hotels Group plc		7,378		293,182		36,719
Intermediate Capital Group plc		104,859		885,015		17,774
International Consolidated Airlines Group SA		152,554		738,014		88,586
John Wood Group plc		253,239		1,965,701		768,889
Johnson Matthey plc		42,372		1,713,330		(55,430	)
Jupiter Fund Management plc		126,423		659,038		29,436
Kingfisher plc		366,179		1,653,020		(75,379	)
Lloyds Banking Group plc		2,215,059		1,498,280		202,614
Man Group plc		351,761		544,206		(32,394	)
Marks & Spencer Group plc		132,488		597,569		(26,852	)
Meggitt plc		102,631		491,898		87,679
Micro Focus International plc		30,615		803,502		18,696
Moneysupermarket.com Group plc		75,484		257,469		15,930
National Grid plc		21,984		278,093		(21,237	)
Persimmon plc		182,860		4,314,116		(324,542	)
Petrofac Ltd.		178,821		1,657,862		255,810

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Playtech plc		21,908		$	235,929		$	(13,040	)
Reckitt Benckiser Group plc		40,986			3,571,099			(99,258	)
Rentokil Initial plc		413,086			918,875			211,238
Rightmove plc		4,721			240,387			(13,607	)
Royal Mail plc		911,450			5,736,873			(555,837	)
Sage Group plc (The)		175,339			1,538,876			(125,464	)
Severn Trent plc		98,815			2,869,378			(168,884	)
Sky plc		47,532			482,933			96,526
Smiths Group plc		127,033			1,728,346			482,932
Sports Direct International plc		65,986			270,152			(43,970	)
SSE plc		95,505			1,837,621			(14,042	)
Stagecoach Group plc		217,378			666,160			(87,543	)
Tate & Lyle plc		249,450			2,156,861			14,014
Taylor Wimpey plc		1,831,723			3,714,291			(259,509	)
Thomas Cook Group plc		284,890			250,058			55,965
UBM plc		27,650			231,856			17,029
WH Smith plc		29,063			546,286			10,585
William Hill plc		838,860			3,031,956			(35,760	)
Wm Morrison Supermarkets plc		995,803			2,415,255			413,108
WPP plc		144,285			3,069,750			141,085
								2,076,695
Total of Long Equity Positions								3,660,584
Short Positions
Common Stocks
Australia
BHP Billiton plc		(159,828	)		(2,140,592	)		(404,352	)
Chile
Antofagasta plc		(380,469	)		(2,516,944	)		(633,207	)
Jordan
Hikma Pharmaceuticals plc		(81,697	)		(1,829,254	)		(74,915	)
Netherlands
Royal Dutch Shell plc		(206,695	)		(5,053,174	)		(652,340	)
South Africa
Mediclinic International plc		(120,041	)		(1,109,467	)		(30,790	)
United Kingdom
AA plc		(284,010	)		(960,435	)		(9,729	)
Admiral Group plc		(71,472	)		(1,728,267	)		120,928
Aggreko plc		(209,165	)		(2,551,935	)		190,797
Ashtead Group plc		(65,472	)		(768,314	)		(504,486	)
Associated British Foods plc		(92,787	)		(3,222,057	)		91,231
AstraZeneca plc		(44,007	)		(2,491,634	)		88,510
Auto Trader Group plc		(34,070	)		(174,697	)		3,410

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

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Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Aviva plc		(338,656	)	$	(1,775,515	)	$	(241,733	)
Babcock International Group plc		(39,561	)		(513,318	)		49,291
Balfour Beatty plc		(290,606	)		(807,451	)		(152,235	)
Berkeley Group Holdings plc		(15,567	)		(480,111	)		(58,022	)
Booker Group plc		(369,079	)		(811,161	)		13,362
British American Tobacco plc		(81,003	)		(4,371,947	)		(218,933	)
BTG plc		(297,108	)		(2,482,112	)		324,524
Bunzl plc		(57,867	)		(1,456,242	)		(46,062	)
Capita plc		(429,111	)		(4,920,049	)		2,114,268
Cobham plc		(807,248	)		(1,528,085	)		(97,263	)
Croda International plc		(8,869	)		(316,703	)		(32,111	)
DS Smith plc		(54,318	)		(260,454	)		(12,309	)
easyJet plc		(144,866	)		(2,474,660	)		682,751
Essentra plc		(142,865	)		(1,504,555	)		693,387
Halma plc		(122,834	)		(1,476,615	)		117,643
Hargreaves Lansdown plc		(228,041	)		(3,558,614	)		165,278
Hays plc		(367,836	)		(571,883	)		(103,065	)
Hiscox Ltd.		(17,350	)		(214,006	)		(3,402	)
IMI plc		(74,374	)		(941,875	)		(9,278	)
Inmarsat plc		(260,058	)		(2,248,777	)		(157,436	)
Intertek Group plc		(10,293	)		(444,052	)		2,914
ITV plc		(170,060	)		(445,426	)		13,642
Just Eat plc		(201,852	)		(1,397,679	)		(52,735	)
Legal & General Group plc		(387,387	)		(1,090,204	)		(89,923	)
Merlin Entertainments plc		(311,527	)		(1,694,277	)		(25,506	)
NEX Group plc		(63,721	)		(360,624	)		(4,147	)
Next plc		(15,682	)		(1,033,555	)		71,532
Old Mutual plc		(714,141	)		(1,595,997	)		(225,042	)
Pearson plc		(21,532	)		(197,919	)		(18,125	)
Pennon Group plc		(153,211	)		(1,573,843	)		14,504
Provident Financial plc		(54,636	)		(1,902,008	)		(8,742	)
Prudential plc		(80,510	)		(1,317,431	)		(289,346	)
Rio Tinto plc		(15,151	)		(486,928	)		(91,507	)
Rolls-Royce Holdings plc		(247,830	)		(1,893,147	)		(142,405	)
Rotork plc		(332,897	)		(834,592	)		(153,317	)
Royal Bank of Scotland Group plc		(1,218,279	)		(2,976,466	)		(389,828	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Schroders plc		(34,613	)	$	(1,120,778	)	$	(150,487	)
Smith & Nephew plc		(19,344	)		(291,971	)		1,633
Spectris plc		(15,150	)		(333,264	)		(98,434	)
Spirax-Sarco Engineering plc		(5,723	)		(242,377	)		(52,154	)
St. James’s Place plc		(279,139	)		(2,980,804	)		(501,115	)
Standard Chartered plc		(182,799	)		(1,214,561	)		(276,150	)
Standard Life plc		(282,137	)		(1,145,789	)		(146,170	)
Tesco plc		(1,183,515	)		(2,338,008	)		(679,717	)
TP ICAP plc		(52,072	)		(266,060	)		(10,876	)
Travis Perkins plc		(41,972	)		(804,083	)		53,783
United Utilities Group plc		(168,460	)		(1,891,904	)		24,643
Vodafone Group plc		(1,204,841	)		(3,307,870	)		342,902
Weir Group plc (The)		(37,207	)		(795,748	)		(68,913	)
Whitbread plc		(51,207	)		(2,421,247	)		39,191
Worldpay Group plc		(185,338	)		(633,592	)		18,253
								117,674
United States
Shire plc		(35,098	)		(1,856,794	)		(147,275	)
Total of Short Equity Positions								(1,825,205	)
Total of Long and Short Equity Positions								1,835,379
Net Cash and Other Receivables/ (Payables) (b)								(410,268	)
Swaps, at Value							$	1,425,111

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

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

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

AQR Funds Annual Report December 2016

84

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Reserve Bank of Australia Cash rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	24-49 months maturity 10/15/2018		$2,836,715

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Adelaide Brighton Ltd.		92,361		$	349,202		$	12,064
AGL Energy Ltd.		225,506			3,067,193			520,710
Ansell Ltd.		63,445			859,515			269,355
Aristocrat Leisure Ltd.		41,794			455,395			10,884
Aurizon Holdings Ltd.		679,458			2,244,144			226,241
Boral Ltd.		341,598			1,633,964			(304,097	)
Caltex Australia Ltd.		134,050			3,174,486			(235,353	)
CIMIC Group Ltd.		112,240			3,039,170			(215,085	)
Coca-Cola Amatil Ltd.		415,768			2,605,509			426,673
Cochlear Ltd.		11,743			1,038,292			(1,847	)
Flight Centre Travel Group Ltd.		22,166			494,176			5,370
Fortescue Metals Group Ltd.		546,311			1,211,107			1,071,928
Harvey Norman Holdings Ltd.		251,368			796,598			134,783
Newcrest Mining Ltd.		98,060			1,795,481			(389,393	)
Origin Energy Ltd.		186,670			762,691			120,492
Qantas Airways Ltd.		358,900			749,303			110,454
Santos Ltd.		141,817			453,308			(44,785	)
South32 Ltd.		784,466			1,463,219			81,044
Star Entertainment Group Ltd. (The)		287,025			1,163,587			(95,379	)
Tabcorp Holdings Ltd.		309,177			981,463			89,680
Tatts Group Ltd.		172,268			487,234			67,878
Telstra Corp. Ltd.		378,512			1,534,374			(143,463	)
Treasury Wine Estates Ltd.		430,794			3,153,727			160,209
Woodside Petroleum Ltd.		54,198			1,041,381			172,561
								2,050,924
Total of Long Equity Positions								2,050,924
Short Positions
Common Stocks
Australia
ALS Ltd.		(272,007	)		(991,743	)		(190,226	)
Alumina Ltd.		(1,390,211	)		(1,433,146	)		(384,686	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
AMP Ltd.		(360,258	)	$	(1,442,227	)	$	135,627
APA Group		(692,210	)		(4,380,245	)		107,018
AusNet Services		(518,396	)		(584,295	)		(5,847	)
Bank of Queensland Ltd.		(91,907	)		(725,266	)		(60,174	)
Brambles Ltd.		(165,905	)		(1,533,567	)		53,017
Challenger Ltd.		(20,826	)		(135,302	)		(32,971	)
Commonwealth Bank of Australia		(21,932	)		(1,208,864	)		(92,232	)
Computershare Ltd.		(281,442	)		(2,074,290	)		(450,827	)
Crown Resorts Ltd.		(82,360	)		(703,254	)		16,837
CSL Ltd.		(23,946	)		(2,040,334	)		308,564
Healthscope Ltd.		(1,520,650	)		(3,205,136	)		698,420
Iluka Resources Ltd.		(48,672	)		(211,688	)		(41,745	)
Insurance Australia Group Ltd.		(625,873	)		(2,585,463	)		(113,507	)
Medibank Pvt Ltd.		(254,517	)		(597,689	)		80,597
Platinum Asset Management Ltd.		(271,133	)		(1,228,259	)		197,885
Ramsay Health Care Ltd.		(45,718	)		(2,425,309	)		177,509
REA Group Ltd.		(16,714	)		(602,452	)		(61,765	)
SEEK Ltd.		(415,807	)		(4,748,014	)		294,660
Sonic Healthcare Ltd.		(126,769	)		(1,976,061	)		25,088
Sydney Airport		(72,091	)		(375,402	)		64,226
Transurban Group		(164,918	)		(1,432,886	)		205,517
Vocus Communications Ltd.		(79,941	)		(463,126	)		240,512
Westpac Banking Corp.		(33,004	)		(717,167	)		(57,566	)
								1,113,931
Total of Short Equity Positions								1,113,931
Total of Long and Short Equity Positions								3,164,855
Net Cash and Other Receivables/ (Payables) (b)								(328,140	)
Swaps, at Value							$	2,836,715

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

AQR Funds Annual Report December 2016

85

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Overnight Index Average plus or minus a specified spread which is denominated in EUR based on the local currencies of the positions within the swap.	10-37 months maturity 10/12/2017		$5,758,842

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Arkema SA		25,667	$	2,183,183	$	325,784
Atos SE		54,110		4,931,076		771,987
BNP Paribas SA		66,398		3,433,478		791,950
Capgemini SA		31,060		2,789,551		(172,773	)
Cie de Saint-Gobain		89,707		3,612,316		560,618
Cie Generale des Etablissements Michelin		45,254		4,496,536		533,844
CNP Assurances		118,128		1,898,449		288,019
Eiffage SA		27,193		1,943,598		(49,565	)
Elior Group		37,744		793,235		69,000
Faurecia		72,017		2,553,084		236,366
Ipsen SA		25,033		1,525,306		283,454
Lagardere SCA		43,853		975,965		241,195
Orange SA		62,463		861,078		86,109
Peugeot SA		440,146		6,281,265		887,470
Publicis Groupe SA		19,225		1,328,276		(3,586	)
Renault SA		32,383		2,522,016		354,139
Rexel SA		73,911		935,496		278,853
Safran SA		16,102		1,064,106		94,012
Schneider Electric SE		30,764		2,028,880		108,248
SCOR SE		47,759		1,472,149		176,051
SEB SA		7,320		981,480		10,408
Societe BIC SA		5,311		666,881		54,760
Societe Generale SA		18,158		767,674		125,460
Sodexo SA		27,365		2,793,578		348,288
Teleperformance		46,115		3,957,853		665,444
Thales SA		54,708		4,465,619		834,532
Ubisoft Entertainment SA		22,404		781,364		14,777
Valeo SA		55,925		2,838,941		371,591

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Veolia Environnement SA		29,681		$	638,949		$	(134,614	)
								8,151,821
Total of Long Equity Positions								8,151,821
Short Positions
Common Stocks
France
Accor SA		(105,564	)		(3,976,012	)		43,471
Air Liquide SA		(36,152	)		(3,567,784	)		(452,274	)
Airbus Group SE		(27,769	)		(1,581,750	)		(252,356	)
Alstom SA		(44,124	)		(1,049,067	)		(164,281	)
Bollore SA		(824,658	)		(2,741,728	)		(161,959	)
Bouygues SA		(31,398	)		(941,523	)		(182,503	)
Bureau Veritas SA		(68,614	)		(1,348,036	)		20,059
Carrefour SA		(112,620	)		(2,833,043	)		121,608
Casino Guichard Perrachon SA		(37,807	)		(1,753,415	)		(58,091	)
Credit Agricole SA		(90,376	)		(837,343	)		(281,393	)
Danone SA		(27,862	)		(1,847,143	)		84,076
Edenred		(293,572	)		(5,520,698	)		(292,181	)
Electricite de France SA		(228,140	)		(2,659,177	)		337,884
Engie SA		(116,694	)		(1,645,854	)		160,462
Essilor International SA		(24,998	)		(2,905,341	)		84,862
Eutelsat Communications SA		(31,376	)		(560,679	)		(46,059	)
Groupe Eurotunnel SE		(161,161	)		(1,485,131	)		(45,887	)
Hermes International		(3,022	)		(1,054,621	)		(185,057	)
Iliad SA		(4,633	)		(930,566	)		40,811
Ingenico Group SA		(42,835	)		(4,441,515	)		1,023,890
JCDecaux SA		(38,649	)		(1,227,914	)		91,485
Kering		(1,014	)		(158,765	)		(68,679	)

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

AQR Funds Annual Report December 2016

86

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
L’Oreal SA		(12,186	)	$	(2,156,618	)	$	(64,467	)
LVMH Moet Hennessy Louis Vuitton SE		(7,094	)		(1,169,649	)		(182,976	)
Natixis SA		(248,546	)		(1,083,978	)		(315,674	)
Orpea		(23,257	)		(1,827,790	)		(49,853	)
Pernod Ricard SA		(32,189	)		(3,369,684	)		(113,811	)
Remy Cointreau SA		(6,935	)		(555,597	)		(35,526	)
Sanofi		(24,807	)		(1,977,634	)		(28,388	)
SFR Group SA		(50,687	)		(1,263,612	)		(165,390	)
TOTAL SA		(24,026	)		(1,113,802	)		(118,542	)
Vivendi SA		(93,408	)		(1,763,462	)		(8,199	)
Zodiac Aerospace		(183,711	)		(4,111,747	)		(100,929	)
								(1,365,867	)
Luxembourg
Eurofins Scientific SE		(5,469	)		(2,122,982	)		(207,052	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg (continued)
SES SA		(78,425	)	$	(1,667,506	)	$	(58,063	)
								(265,115	)
Total of Short Equity Positions								(1,630,982	)
Total of Long and Short Equity Positions								6,520,839
Net Cash and Other Receivables/ (Payables) (b)								(761,997	)
Swaps, at Value							$	5,758,842

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Overnight Index Average plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	23-49 months maturity 10/16/2018		$(1,009,453	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
BOC Hong Kong Holdings Ltd.		198,000	$	608,969	$	96,220
Cheung Kong Property Holdings Ltd.		146,500		1,041,111		(146,436	)
CLP Holdings Ltd.		308,000		3,029,045		(204,413	)
HKT Trust & HKT Ltd.		1,179,000		1,742,251		(298,150	)
Kerry Properties Ltd.		543,000		1,381,896		86,499
Li & Fung Ltd.		1,756,000		857,739		(88,156	)
New World Development Co. Ltd.		1,914,817		1,849,382		168,083
Power Assets Holdings Ltd.		117,000		1,058,021		(28,763	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Sino Land Co. Ltd.		720,000	$	1,132,660	$	(59,105	)
SJM Holdings Ltd.		741,000		461,903		116,324
Sun Hung Kai Properties Ltd.		105,000		1,411,027		(88,817	)
Swire Properties Ltd.		62,400		177,767		(5,987	)
Techtronic Industries Co. Ltd.		47,500		195,086		(25,109	)
VTech Holdings Ltd.		61,500		670,080		150,966
WH Group Ltd.		3,051,000		2,360,006		99,395
Wharf Holdings Ltd. (The)		67,000		477,913		(34,106	)
Wheelock & Co. Ltd.		273,000		1,330,247		201,896
Xinyi Glass Holdings Ltd.		1,972,000		1,672,525		(65,981	)

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

AQR Funds Annual Report December 2016

87

Schedule of Investments December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Yue Yuen Industrial Holdings Ltd.		679,000		$	2,672,337		$	(211,161	)
								(336,801	)
Total of Long Equity Positions								(336,801	)
Short Positions
Common Stocks
China
Guotai Junan International Holdings Ltd.		(875,000	)		(352,304	)		84,364
Hong Kong
AIA Group Ltd.		(284,800	)		(1,693,045	)		97,641
ASM Pacific Technology Ltd.		(158,300	)		(1,186,349	)		(487,737	)
Cathay Pacific Airways Ltd.		(1,492,000	)		(2,275,662	)		317,649
Haitong International Securities Group Ltd.		(1,062,345	)		(616,922	)		11,363
Hang Lung Properties Ltd.		(1,176,000	)		(2,325,039	)		(154,733	)
Hang Seng Bank Ltd.		(14,600	)		(264,552	)		(6,198	)
HK Electric Investments & HK Electric Investments Ltd.		(230,000	)		(219,201	)		29,587
Hong Kong & China Gas Co. Ltd.		(2,813,430	)		(5,035,367	)		66,308
Hysan Development Co. Ltd.		(101,000	)		(442,828	)		26,300
MTR Corp. Ltd.		(550,622	)		(2,606,730	)		(62,814	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Sands China Ltd.		(99,600	)	$	(444,052	)	$	14,360
Swire Pacific Ltd.		(21,000	)		(233,629	)		33,797
Value Partners Group Ltd.		(2,003,000	)		(1,928,093	)		345,816
								231,339
Macau
MGM China Holdings Ltd.		(1,106,400	)		(1,523,199	)		(762,222	)
Wynn Macau Ltd.		(1,392,000	)		(2,141,666	)		(58,836	)
								(821,058	)
United States
Samsonite International SA		(85,800	)		(274,065	)		29,829
Total of Short Equity Positions								(475,526	)
Total of Long and Short Equity Positions								(812,327	)
Net Cash and Other Receivables/ (Payables) (b)								(197,126	)
Swaps, at Value							$	(1,009,453	)

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

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

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$290,312		$—		$290,312
JPMC
Cash		1,630,000		—		1,630,000
MSIP
Investment Companies		131,823,286		—		131,823,286

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

AQR Funds Annual Report December 2016

88

Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 84.9%
INVESTMENT COMPANIES - 36.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (a)(b)(c)		9,660,861	$	9,660,861
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (a)(c)		110,038		110,038
TOTAL INVESTMENT COMPANIES (Cost $9,770,899)				9,770,899
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATION - 48.1%
U.S. Treasury Bill 0.63%, 5/18/2017     (Cost $12,787,512) (b)(d)	$	12,818,000		12,788,877
TOTAL SHORT-TERM INVESTMENTS (Cost $22,558,411)				22,559,776
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 84.9% (Cost $22,558,411)				22,559,776
OTHER ASSETS IN EXCESS OF LIABILITIES - 15.1% (e)			4,003,660
NET ASSETS - 100.0%			$26,563,436

(a) Represents 7-day effective yield as of 12/31/2016.

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

(c) All or a portion of the security pledged as collateral for swap contracts.

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

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

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

Forward effective interest rate swap contracts outstanding as of December 31, 2016:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CRSU	(1)		1.500	%	AUD		1,460,000		$(5,846	)		03/07/2019		$(5,754	)
CRSU	(1)		1.500	%	AUD		2,750,000		(12,253	)		03/07/2019		(9,597	)
CRSU	(1)		1.500	%	AUD		2,930,000		(2,243	)		03/07/2019		(21,037	)
CRSU	(1)		1.500	%	AUD		8,810,000		(12,213	)		03/07/2019		(57,786	)
CRSU	(1)		1.500	%	AUD		2,750,000		(12,253	)		03/07/2019		(9,597	)
CRSU	(1)		1.500	%	AUD		5,140,000		(1,317	)		03/07/2019		(39,522	)
CRSU	(1)		1.500	%	AUD		1,560,000		(7,167	)		03/07/2019		(5,228	)
CRSU	(1)		1.500	%	AUD		2,800,000		(7,068	)		03/07/2019		(15,179	)
CRSU	(1)		1.500	%	AUD		1,610,000		(4,475	)		03/07/2019		(8,317	)
CRSU	(1)		1.500	%	AUD		1,460,000		(5,698	)		03/07/2019		(5,902	)
CRSU	(1)		1.500	%	AUD		1,850,000		(8,500	)		03/07/2019		(6,199	)
CRSU	(1)		1.500	%	AUD		9,090,000		(13,360	)		03/07/2019		(58,864	)
CRSU	(1)		1.500	%	AUD		4,660,000		(11,829	)		03/07/2019		(25,196	)
CRSU	(1)		1.500	%	AUD		9,100,000		(13,393	)		03/07/2019		(58,910	)
CRSU	1.500%			(1)	AUD		5,530,000		7,666			03/07/2019		36,272
CRSU	2.000%			(2)	AUD		680,000		9,472			03/11/2027		35,081
CRSU	2.000%			(2)	AUD		610,000		11,060			03/11/2027		28,906
CRSU	2.000%			(2)	AUD		1,990,000		16,624			03/11/2027		113,758
CRSU	2.000%			(2)	AUD		1,120,000		23,063			03/11/2027		50,317
CRSU	2.000%			(2)	AUD		510,000		13,361			03/11/2027		20,054
CRSU	2.000%			(2)	AUD		510,000		13,156			03/11/2027		20,258
CRSU	2.000%			(2)	AUD		630,000		12,334			03/11/2027		28,943
CRSU	2.000%			(2)	AUD		2,000,000		16,700			03/11/2027		114,337
CRSU	2.500%			(2)	AUD		630,000		(434	)		03/11/2027		21,598

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

AQR Funds Annual Report December 2016

89

Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	3.000%			(2)	AUD		360,000		$(374	)		03/11/2027		$975
CRSU	(3)		1.000	%	CAD		3,280,000		458			03/18/2019		(7,848	)
CRSU	(3)		1.000	%	CAD		2,660,000		7,742			03/18/2019		(13,735	)
CRSU	(3)		1.000	%	CAD		20,530,000		18,227			03/18/2019		(64,482	)
CRSU	(3)		1.000	%	CAD		1,530,000		(1,254	)		03/18/2019		(2,193	)
CRSU	(3)		1.000	%	CAD		2,680,000		2,131			03/18/2019		(8,169	)
CRSU	(3)		1.000	%	CAD		3,270,000		474			03/18/2019		(7,841	)
CRSU	(3)		1.000	%	CAD		2,660,000		2,832			03/18/2019		(8,825	)
CRSU	(3)		1.000	%	CAD		4,490,000		3,669			03/18/2019		(13,786	)
CRSU	(3)		1.000	%	CAD		2,660,000		7,742			03/18/2019		(13,735	)
CRSU	(3)		1.000	%	CAD		1,550,000		(1,324	)		03/18/2019		(2,169	)
CRSU	(3)		1.000	%	CAD		9,030,000		11,664			03/18/2019		(32,009	)
CRSU	(3)		1.000	%	CAD		7,700,000		18,019			03/18/2019		(35,367	)
CRSU	(3)		1.000	%	CAD		2,710,000		2,885			03/18/2019		(8,990	)
CRSU	(3)		1.000	%	CAD		6,820,000		6,055			03/18/2019		(21,421	)
CRSU	(3)		1.500	%	CAD		4,140,000		56,544			03/15/2027		(189,666	)
CRSU	(3)		1.500	%	CAD		4,140,000		50,434			03/15/2027		(183,556	)
CRSU	1.000%			(3)	CAD		19,540,000		(15,215	)		03/18/2019		59,240
CRSU	1.000%			(3)	CAD		4,390,000		(6,824	)		03/18/2019		16,715
CRSU	1.000%			(3)	CAD		20,760,000		(22,164	)		03/18/2019		68,937
CRSU	1.000%			(3)	CAD		15,620,000		(16,677	)		03/18/2019		51,870
CRSU	1.000%			(3)	CAD		19,530,000		(20,058	)		03/18/2019		64,060
CRSU	1.500%			(3)	CAD		690,000		(873	)		03/15/2027		23,060
CRSU	1.500%			(3)	CAD		470,000		10,763			03/15/2027		4,350
CRSU	1.500%			(3)	CAD		1,860,000		(26,541	)		03/15/2027		86,350
CRSU	1.500%			(3)	CAD		580,000		(4,577	)		03/15/2027		23,227
CRSU	1.500%			(3)	CAD		1,020,000		(14,387	)		03/15/2027		47,185
CRSU	1.500%			(3)	CAD		600,000		(11,446	)		03/15/2027		30,739
CRSU	1.500%			(3)	CAD		600,000		(2,134	)		03/15/2027		21,427
CRSU	1.500%			(3)	CAD		1,370,000		(3,482	)		03/15/2027		47,535
CRSU	1.500%			(3)	CAD		690,000		(869	)		03/15/2027		23,056
CRSU	(4)		0.250	%	CHF		1,400,000		(1,540	)		03/17/2027		(61,626	)
CRSU	(4)		0.250	%	CHF		1,550,000		(1,718	)		03/17/2027		(68,216	)
CRSU	(4)		0.250	%	CHF		1,250,000		(1,361	)		03/17/2027		(55,037	)
CRSU	(4)		0.750	%	CHF		1,930,000		(2,929	)		03/20/2019		(3,813	)
CRSU	(4)		0.750	%	CHF		2,150,000		(4,716	)		03/20/2019		(2,795	)
CRSU	(4)		0.750	%	CHF		1,290,000		(1,450	)		03/20/2019		(3,056	)
CRSU	(4)		0.750	%	CHF		2,050,000		(4,601	)		03/20/2019		(2,561	)
CRSU	(4)		0.750	%	CHF		2,070,000		(3,898	)		03/20/2019		(3,333	)
CRSU	(4)		0.750	%	CHF		2,000,000		(4,144	)		03/20/2019		(2,843	)
CRSU	(4)		0.750	%	CHF		1,910,000		(2,607	)		03/20/2019		(4,065	)
CRSU	(4)		0.750	%	CHF		1,960,000		(4,036	)		03/20/2019		(2,811	)
CRSU	0.250%			(4)	CHF		390,000		4,280			03/17/2027		13,316
CRSU	0.250%			(4)	CHF		390,000		4,904			03/17/2027		12,692
CRSU	0.250%			(4)	CHF		410,000		2,699			03/17/2027		15,800
CRSU	0.250%			(4)	CHF		390,000		5,212			03/17/2027		12,385
CRSU	0.250%			(4)	CHF		410,000		30			03/17/2027		18,469
CRSU	0.250%			(4)	CHF		380,000		(499	)		03/17/2027		17,644
CRSU	0.250%			(4)	CHF		400,000		5,880			03/17/2027		12,168
CRSU	0.750%			(4)	CHF		6,250,000		9,177			03/20/2019		12,656
CRSU	0.750%			(4)	CHF		7,810,000		11,535			03/20/2019		15,748
CRSU	0.750%			(4)	CHF		5,650,000		6,350			03/20/2019		13,388
CRSU	0.750%			(4)	CHF		7,050,000		10,465			03/20/2019		14,163
CRSU	(5)		0.500	%	EUR		23,190,000		362,537			03/20/2019		(45,066	)
CRSU	(5)		0.500	%	EUR		1,800,000		23,742			03/20/2019		900

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

AQR Funds Annual Report December 2016

90

Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	(5)		0.500	%	EUR		1,610,000		$25,425			03/20/2019		$(3,384	)
CRSU	(5)		0.500	%	EUR		1,460,000		23,084			03/20/2019		(3,097	)
CITG	(5)		0.500	%	EUR		8,000,000		106,849			03/20/2019		2,671
CRSU	(5)		0.500	%	EUR		1,300,000		20,385			03/20/2019		(2,588	)
CRSU	(5)		0.500	%	EUR		1,620,000		22,610			03/20/2019		(432	)
CRSU	(5)		0.500	%	EUR		360,000		6,663			03/17/2027		(13,918	)
CRSU	(5)		0.500	%	EUR		400,000		557			03/17/2027		(8,619	)
CRSU	(5)		0.500	%	EUR		530,000		3,482			03/17/2027		(14,164	)
CRSU	(5)		0.500	%	EUR		370,000		5,244			03/17/2027		(12,701	)
CRSU	(5)		0.500	%	EUR		350,000		7,310			03/17/2027		(14,363	)
CRSU	(5)		0.500	%	EUR		370,000		3,457			03/17/2027		(10,914	)
CRSU	(5)		0.500	%	EUR		360,000		7,118			03/17/2027		(14,373	)
CRSU	(5)		0.500	%	EUR		360,000		1,733			03/17/2027		(8,988	)
CRSU	0.500%			(5)	EUR		14,080,000		(184,707	)		03/20/2019		(8,048	)
CITG	0.500%			(5)	EUR		8,120,000		(110,201	)		03/20/2019		(962	)
CRSU	0.500%			(5)	EUR		2,500,000		(33,401	)		03/20/2019		(824	)
CRSU	0.500%			(5)	EUR		2,510,000		(40,939	)		03/20/2019		6,577
CRSU	0.500%			(5)	EUR		2,500,000		(32,822	)		03/20/2019		(1,403	)
CRSU	0.500%			(5)	EUR		1,750,000		(29,005	)		03/20/2019		5,047
CRSU	0.500%			(5)	EUR		1,770,000		(28,453	)		03/20/2019		4,222
CRSU	0.500%			(5)	EUR		1,760,000		(31,694	)		03/20/2019		7,599
CRSU	0.500%			(5)	EUR		3,260,000		(54,488	)		03/20/2019		9,859
CRSU	0.500%			(5)	EUR		4,270,000		(58,812	)		03/20/2019		356
CRSU	0.500%			(5)	EUR		4,950,000		(79,758	)		03/20/2019		11,993
CRSU	0.500%			(5)	EUR		14,180,000		(177,385	)		03/20/2019		(16,739	)
CRSU	0.500%			(5)	EUR		1,750,000		(29,115	)		03/20/2019		5,157
CRSU	0.500%			(5)	EUR		1,770,000		(27,347	)		03/20/2019		3,115
CRSU	0.500%			(5)	EUR		1,810,000		(30,512	)		03/20/2019		5,733
CRSU	0.500%			(5)	EUR		1,770,000		(27,347	)		03/20/2019		3,116
CRSU	0.500%			(5)	EUR		2,040,000		(31,517	)		03/20/2019		3,589
CRSU	0.500%			(5)	EUR		1,740,000		(28,607	)		03/20/2019		4,786
CRSU	0.500%			(5)	EUR		2,590,000		(42,927	)		03/20/2019		7,470
CRSU	0.500%			(5)	EUR		270,000		(2,989	)		03/17/2027		8,430
CRSU	0.500%			(5)	EUR		300,000		(3,344	)		03/17/2027		9,390
CRSU	0.500%			(5)	EUR		330,000		(3,672	)		03/17/2027		10,323
CRSU	0.500%			(5)	EUR		210,000		2,116			03/17/2027		2,116
CRSU	0.500%			(5)	EUR		390,000		(1,358	)		03/17/2027		9,218
CRSU	(4)		0.500	%	GBP		910,000		(4,859	)		03/20/2019		1,893
CRSU	(4)		0.500	%	GBP		1,520,000		2,115			03/20/2019		(7,067	)
CRSU	(4)		0.500	%	GBP		880,000		(4,298	)		03/20/2019		1,431
CRSU	(4)		0.500	%	GBP		1,660,000		(4,183	)		03/20/2019		(1,225	)
CRSU	(4)		0.500	%	GBP		1,500,000		2,974			03/20/2019		(7,861	)
CRSU	(4)		0.500	%	GBP		1,430,000		2,944			03/20/2019		(7,603	)
CRSU	(4)		0.500	%	GBP		1,420,000		2,836			03/20/2019		(7,462	)
CRSU	(4)		0.500	%	GBP		1,510,000		1,500			03/20/2019		(6,420	)
CRSU	(4)		0.500	%	GBP		1,640,000		3,034			03/20/2019		(8,377	)
CRSU	(4)		1.000	%	GBP		1,120,000		(48,485	)		03/17/2027		13,998
CRSU	(4)		1.000	%	GBP		340,000		11,054			03/17/2027		(21,523	)
CRSU	(4)		1.000	%	GBP		330,000		7,054			03/17/2027		(17,215	)
CRSU	(4)		1.000	%	GBP		320,000		(15,387	)		03/17/2027		5,534
CRSU	(4)		1.000	%	GBP		350,000		(2,254	)		03/17/2027		(8,523	)
CRSU	(4)		1.000	%	GBP		210,000		(9,634	)		03/17/2027		3,168
CRSU	0.500%			(4)	GBP		2,620,000		(5,578	)		03/20/2019		14,114
CRSU	0.500%			(4)	GBP		1,530,000		(3,033	)		03/20/2019		8,018
CRSU	0.500%			(4)	GBP		1,520,000		(2,812	)		03/20/2019		7,764

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

AQR Funds Annual Report December 2016

91

Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	0.500%			(4)	GBP		1,570,000		$(3,343	)		03/20/2019		$8,458
CRSU	0.500%			(4)	GBP		1,530,000		(4,373	)		03/20/2019		9,358
CRSU	0.500%			(4)	GBP		4,760,000		25,416			03/20/2019		(9,908	)
CRSU	0.500%			(4)	GBP		1,760,000		3,827			03/20/2019		1,907
CRSU	0.500%			(4)	GBP		1,910,000		(2,647	)		03/20/2019		8,870
CRSU	0.500%			(4)	GBP		7,060,000		45,151			03/20/2019		(22,150	)
CRSU	0.500%			(4)	GBP		2,370,000		11,879			03/20/2019		(4,158	)
CRSU	0.500%			(4)	GBP		760,000		(1,518	)		03/20/2019		3,994
CRSU	0.500%			(4)	GBP		9,270,000		(9,210	)		03/20/2019		39,411
CRSU	0.500%			(4)	GBP		1,410,000		7,067			03/20/2019		(2,473	)
CRSU	0.500%			(4)	GBP		1,640,000		3,603			03/20/2019		1,740
CRSU	0.500%			(4)	GBP		1,000,000		4,659			03/20/2019		(1,401	)
CRSU	0.500%			(4)	GBP		1,530,000		(4,596	)		03/20/2019		9,581
CRSU	0.500%			(4)	GBP		770,000		(1,585	)		03/20/2019		4,094
CRSU	0.500%			(4)	GBP		1,850,000		4,661			03/20/2019		1,366
CRSU	0.500%			(4)	GBP		920,000		3,727			03/20/2019		(730	)
CRSU	0.500%			(4)	GBP		2,260,000		(6,788	)		03/20/2019		14,151
CRSU	1.000%			(4)	GBP		360,000		3,570			03/17/2027		7,515
CRSU	1.000%			(4)	GBP		290,000		(9,694	)		03/17/2027		18,624
CRSU	1.000%			(4)	GBP		300,000		(10,344	)		03/17/2027		19,582
CRSU	1.000%			(4)	GBP		330,000		(1,708	)		03/17/2027		11,869
CRSU	1.000%			(4)	GBP		320,000		(3,037	)		03/17/2027		12,890
CRSU	1.000%			(4)	GBP		310,000		(10,288	)		03/17/2027		19,834
CRSU	(4)		0.250	%	JPY		985,000,000		66,424			03/20/2019		(28,227	)
CRSU	(4)		0.250	%	JPY		1,681,000,000		110,831			03/20/2019		(45,645	)
CRSU	(4)		0.250	%	JPY		1,680,000,000		112,342			03/20/2019		(47,195	)
CRSU	(4)		0.250	%	JPY		122,000,000		4,619			03/20/2019		112
CRSU	(4)		0.250	%	JPY		1,810,000,000		120,991			03/20/2019		(50,803	)
CRSU	(4)		0.250	%	JPY		5,015,000,000		338,322			03/20/2019		(143,851	)
CRSU	(4)		0.250	%	JPY		41,000,000		4,945			03/17/2027		(4,326	)
CRSU	(4)		0.250	%	JPY		46,000,000		8,701			03/17/2027		(8,006	)
CRSU	(4)		0.250	%	JPY		41,000,000		4,286			03/17/2027		(3,666	)
CRSU	(4)		0.250	%	JPY		41,000,000		6,832			03/17/2027		(6,213	)
CRSU	(4)		0.250	%	JPY		42,000,000		6,285			03/17/2027		(5,651	)
CRSU	(4)		0.250	%	JPY		43,000,000		5,718			03/17/2027		(5,068	)
CRSU	(4)		0.250	%	JPY		41,000,000		5,896			03/17/2027		(5,276	)
CRSU	(4)		0.250	%	JPY		41,000,000		6,136			03/17/2027		(5,516	)
CRSU	0.250%			(4)	JPY		209,000,000		6,421			03/20/2019		3,494
CRSU	0.250%			(4)	JPY		218,000,000		(17,292	)		03/20/2019		8,837
CRSU	0.250%			(4)	JPY		227,000,000		4,893			03/20/2019		5,877
CRSU	0.250%			(4)	JPY		585,000,000		(21,980	)		03/20/2019		(705	)
CRSU	0.250%			(4)	JPY		115,000,000		(4,398	)		03/20/2019		(61	)
CRSU	0.250%			(4)	JPY		207,000,000		7,291			03/20/2019		2,530
CRSU	0.250%			(4)	JPY		200,000,000		5,900			03/20/2019		3,589
CRSU	0.250%			(4)	JPY		214,000,000		(15,619	)		03/20/2019		7,320
CRSU	0.250%			(4)	JPY		1,040,000,000		(37,585	)		03/20/2019		(2,744	)
CRSU	0.250%			(4)	JPY		203,000,000		5,970			03/20/2019		3,661
CRSU	0.250%			(4)	JPY		210,000,000		5,749			03/20/2019		4,214
CRSU	0.250%			(4)	JPY		268,000,000		(9,685	)		03/20/2019		(708	)
CRSU	0.250%			(4)	JPY		364,000,000		(58,704	)		03/17/2027		53,204
CRSU	0.250%			(4)	JPY		34,000,000		(1,139	)		03/17/2027		625
CRSU	0.250%			(4)	JPY		337,000,000		(54,216	)		03/17/2027		49,124
CRSU	0.250%			(4)	JPY		198,000,000		(31,807	)		03/17/2027		28,815
CRSU	0.250%			(4)	JPY		338,000,000		(53,784	)		03/17/2027		48,677
CRSU	(6)		1.000	%	NOK		9,560,000		(8,368	)		03/20/2019		2,014

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

AQR Funds Annual Report December 2016

92

Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	(6)		1.000	%	NOK		19,670,000		$(7,024	)		03/20/2019		$(6,049	)
CRSU	(6)		1.000	%	NOK		9,790,000		(5,768	)		03/20/2019		(739	)
CRSU	(6)		1.000	%	NOK		19,840,000		(6,077	)		03/20/2019		(7,109	)
CRSU	(6)		1.500	%	NOK		3,500,000		(562	)		03/17/2027		(17,485	)
CRSU	(6)		1.500	%	NOK		17,560,000		26,764			03/17/2027		(117,307	)
CRSU	(6)		1.500	%	NOK		3,650,000		(4,398	)		03/17/2027		(14,422	)
CRSU	(6)		1.500	%	NOK		21,950,000		33,205			03/17/2027		(146,384	)
CRSU	(6)		1.500	%	NOK		4,310,000		(5,123	)		03/17/2027		(17,100	)
CRSU	(6)		1.500	%	NOK		3,800,000		(2,098	)		03/17/2027		(17,496	)
CRSU	(6)		1.500	%	NOK		19,810,000		30,307			03/17/2027		(132,452	)
CRSU	1.000%			(6)	NOK		17,700,000		4,302			03/20/2019		7,462
CRSU	1.000%			(6)	NOK		9,450,000		5,567			03/20/2019		713
CRSU	1.000%			(6)	NOK		83,810,000		6,446			03/20/2019		49,255
CRSU	1.000%			(6)	NOK		104,720,000		7,995			03/20/2019		61,604
CRSU	1.000%			(6)	NOK		10,550,000		6,096			03/20/2019		915
CRSU	1.000%			(6)	NOK		94,500,000		7,296			03/20/2019		55,510
CRSU	1.000%			(6)	NOK		7,690,000		1,322			03/20/2019		3,789
CRSU	1.000%			(6)	NOK		17,620,000		7,427			03/20/2019		4,283
CRSU	1.000%			(6)	NOK		16,980,000		5,619			03/20/2019		5,667
CRSU	1.000%			(6)	NOK		16,750,000		9,051			03/20/2019		2,081
CRSU	1.000%			(6)	NOK		163,350,000		28,076			03/20/2019		80,488
CRSU	1.500%			(6)	NOK		3,620,000		2,198			03/17/2027		16,468
CRSU	1.500%			(6)	NOK		3,610,000		51			03/17/2027		18,563
CRSU	(1)		2.000	%	NZD		3,800,000		2,702			03/13/2019		(32,143	)
CRSU	(1)		2.000	%	NZD		3,380,000		2,415			03/13/2019		(28,602	)
CRSU	(1)		2.000	%	NZD		3,270,000		(12,690	)		03/13/2019		(12,645	)
CRSU	(1)		2.000	%	NZD		2,340,000		(5,888	)		03/13/2019		(12,241	)
CRSU	(1)		2.000	%	NZD		6,180,000		(6,614	)		03/13/2019		(41,266	)
CRSU	(1)		2.000	%	NZD		2,930,000		(6,372	)		03/13/2019		(16,329	)
CRSU	(1)		2.000	%	NZD		1,620,000		(4,076	)		03/13/2019		(8,475	)
CRSU	(1)		2.000	%	NZD		3,810,000		2,515			03/13/2019		(32,034	)
CRSU	(1)		2.000	%	NZD		14,630,000		10,660			03/13/2019		(124,008	)
CRSU	(1)		2.000	%	NZD		1,020,000		743			03/13/2019		(8,646	)
CRSU	(1)		2.000	%	NZD		2,580,000		1,843			03/13/2019		(21,832	)
CRSU	(1)		2.000	%	NZD		2,530,000		1,810			03/13/2019		(21,411	)
CRSU	(1)		2.500	%	NZD		640,000		(4,770	)		03/10/2027		(34,522	)
CRSU	(1)		2.500	%	NZD		660,000		(978	)		03/10/2027		(39,542	)
CRSU	(1)		2.500	%	NZD		650,000		(5,342	)		03/10/2027		(34,564	)
CRSU	2.000%			(1)	NZD		2,860,000		903			03/13/2019		21,256
CRSU	2.000%			(1)	NZD		2,840,000		(1,416	)		03/13/2019		23,419
CRSU	2.000%			(1)	NZD		3,060,000		1,080			03/13/2019		22,628
CRSU	2.500%			(1)	NZD		560,000		(573	)		03/10/2027		34,954
CRSU	2.500%			(1)	NZD		750,000		(770	)		03/10/2027		46,815
CRSU	2.500%			(1)	NZD		790,000		22,981			03/10/2027		25,520
CRSU	2.500%			(1)	NZD		850,000		(2,664	)		03/10/2027		54,849
CRSU	2.500%			(1)	NZD		850,000		(857	)		03/10/2027		53,042
CRSU	2.500%			(1)	NZD		1,410,000		19,149			03/10/2027		67,416
CRSU	2.500%			(1)	NZD		450,000		11,163			03/10/2027		16,464
CRSU	2.500%			(1)	NZD		580,000		(595	)		03/10/2027		36,203
CRSU	2.500%			(1)	NZD		680,000		11,837			03/10/2027		29,911
CRSU	3.500%			(1)	NZD		410,000		569			03/10/2027		606
CRSU	(7)		1.000	%	SEK		370,000		888			03/17/2027		(1,512	)
CRSU	(7)		1.000	%	SEK		3,680,000		5,947			03/17/2027		(12,151	)
CRSU	(7)		1.000	%	SEK		3,500,000		10,879			03/17/2027		(16,779	)
CRSU	(7)		1.000	%	SEK		240,000		576			03/17/2027		(981	)

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

AQR Funds Annual Report December 2016

93

Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	(7)		1.000	%	SEK		3,550,000		$5,696			03/17/2027		$(11,681	)
CRSU	(7)		1.000	%	SEK		3,690,000		7,472			03/17/2027		(13,693	)
CRSU	(7)		1.000	%	SEK		3,620,000		6,609			03/17/2027		(12,712	)
CRSU	0.500%			(7)	SEK		16,880,000		7,250			03/20/2019		1,589
CRSU	0.500%			(7)	SEK		17,320,000		6,072			03/20/2019		2,997
CRSU	0.500%			(7)	SEK		17,030,000		6,550			03/20/2019		2,367
CRSU	0.500%			(7)	SEK		1,570,000		528			03/20/2019		294
CRSU	0.500%			(7)	SEK		85,730,000		28,338			03/20/2019		16,553
CRSU	0.500%			(7)	SEK		17,460,000		5,576			03/20/2019		3,567
CRSU	0.500%			(7)	SEK		1,040,000		350			03/20/2019		195
CRSU	0.500%			(7)	SEK		18,240,000		4,426			03/20/2019		5,125
CRSU	(8)		1.250	%	USD		4,350,000		(9,993	)		03/15/2019		(16,575	)
CRSU	(8)		1.250	%	USD		1,150,000		(5,203	)		03/15/2019		(1,821	)
CRSU	(8)		1.250	%	USD		6,730,000		10,506			03/15/2019		(51,610	)
CRSU	(8)		1.250	%	USD		1,210,000		(4,639	)		03/15/2019		(2,751	)
CRSU	(8)		1.250	%	USD		1,310,000		(5,157	)		03/15/2019		(2,844	)
CRSU	(8)		1.250	%	USD		1,190,000		(3,913	)		03/15/2019		(3,355	)
CRSU	(8)		1.250	%	USD		11,840,000		(27,200	)		03/15/2019		(45,113	)
CRSU	(8)		1.250	%	USD		2,040,000		8,864			03/15/2019		(21,323	)
CRSU	(8)		1.250	%	USD		3,230,000		10,338			03/15/2019		(30,065	)
CRSU	(8)		1.250	%	USD		1,900,000		(6,247	)		03/15/2019		(5,357	)
CRSU	(8)		1.250	%	USD		1,150,000		(5,203	)		03/15/2019		(1,821	)
CITG	(8)		1.500	%	USD		7,300,000		76,159			03/15/2021		(190,987	)
CRSU	(8)		1.500	%	USD		960,000		—			03/15/2027		(76,239	)
CRSU	(8)		1.750	%	USD		540,000		1,383			03/15/2027		(31,986	)
CRSU	(8)		1.750	%	USD		440,000		6,225			03/15/2027		(31,161	)
CRSU	(8)		1.750	%	USD		880,000		5,886			03/15/2027		(55,758	)
CRSU	(8)		1.750	%	USD		250,000		(2,529	)		03/15/2027		(11,639	)
CRSU	(8)		1.750	%	USD		430,000		11,066			03/15/2027		(35,435	)
CRSU	(8)		1.750	%	USD		460,000		5,700			03/15/2027		(31,769	)
CRSU	(8)		1.750	%	USD		560,000		6,976			03/15/2027		(38,713	)
CRSU	1.000%			(8)	USD		4,550,000		7,016			03/15/2019		43,182
CRSU	1.000%			(8)	USD		4,540,000		—			03/15/2019		50,088
CRSU	1.000%			(8)	USD		3,700,000		5,705			03/15/2019		35,115
CRSU	1.250%			(8)	USD		2,050,000		(4,957	)		03/15/2019		17,477
CRSU	1.250%			(8)	USD		2,050,000		(7,006	)		03/15/2019		19,526
CRSU	1.250%			(8)	USD		2,030,000		(8,059	)		03/15/2019		20,457
CRSU	1.250%			(8)	USD		2,050,000		(4,957	)		03/15/2019		17,477
CRSU	1.250%			(8)	USD		2,530,000		(8,094	)		03/15/2019		23,546
CRSU	1.250%			(8)	USD		2,060,000		(5,689	)		03/15/2019		18,271
CRSU	1.250%			(8)	USD		2,990,000		(7,728	)		03/15/2019		25,990
CRSU	1.250%			(8)	USD		4,130,000		(6,794	)		03/15/2019		32,018
CRSU	1.250%			(8)	USD		1,170,000		5,417			03/15/2019		1,729
CITG	1.500%			(8)	USD		3,650,000		(40,854	)		03/15/2021		98,268
CITG	1.500%			(8)	USD		3,650,000		(42,137	)		03/15/2021		99,551
CRSU	1.750%			(8)	USD		1,110,000		38,886			03/15/2027		24,020
CRSU	1.750%			(8)	USD		1,450,000		(11,944	)		03/15/2027		94,119
CRSU	1.750%			(8)	USD		260,000		11,582			03/15/2027		3,153
CRSU	1.750%			(8)	USD		260,000		12,020			03/15/2027		2,715
									$407,184					$(341,137	)

(1) 3 Month Australian Bank-Bill Reference Rate

(2) 6 Month Australian Bank-Bill Reference Rate

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

AQR Funds Annual Report December 2016

94

Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

(3) 3 Month Canadian Bankers’ Acceptance Rate

(4) 6 Month London Interbank Offered Rate

(5) 6 Month Euro Interbank Offered Rate

(6) 6 Month Norwegian Interbank Offered Rate

(7) 3 Month Stockholm Interbank Offered Rate

(8) 3 Month London Interbank Offered Rate

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
BANA	Bovespa Index February Futures	02/2017	BRL		2,739,599			$3,679
CITI	Corn March Futures^	02/2017	USD		34,975			225
MACQ	Corn March Futures^	02/2017	USD		142,073			(1,273	)
BANA	H-SHARES Index January Futures	01/2017	HKD		457,412			1,545
GSIN	H-SHARES Index January Futures	01/2017	HKD		3,683,571			9,236
BANA	KOSPI Index 200 March Futures	03/2017	KRW		1,871,186,250			67,677
BANA	MSCI Taiwan Stock Index January Futures	01/2017	USD		67,825			935
BANA	NSE Nifty 50 Index January Futures	01/2017	INR		(11,411,064	)		(3,763	)
GSIN	SGX S&P CNX Nifty Index January Futures	01/2017	USD		(320,347	)		(7,033	)
SOCG	Soybean Meal March Futures^	02/2017	USD		(32,081	)		421
MACQ	Soybean Meal March Futures^	02/2017	USD		(32,005	)		344
BANA	Swiss Market Index March Futures	03/2017	CHF		(2,321,406	)		(47,476	)
BANA	Taiwan Stock Exchange January Futures	01/2017	TWD		3,703,406			43
BANA	Tel Aviv 25 Index January Futures	01/2017	ILS		(1,461,322	)		(2,463	)
CITI	Wheat March Futures^	02/2017	USD		(106,325	)		4,325
BANA	WIG20 Index March Futures	03/2017	PLN		(796,895	)		(4,659	)
								$21,763

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

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
10	MSCL	Corn Futures^		03/2017		$179,356		$176,000		$(3,356	)
2	MSCL	Gasoline RBOB Futures^		01/2017		129,637		140,355		10,718
2	MSCL	Gold 100 OZ Futures^		02/2017		243,152		230,340		(12,812	)
1	MSCL	Heating Oil ULSD Futures^		01/2017		71,072		72,584		1,512
1	JPPC	LME Aluminum Futures^		01/2017		41,916		42,525		609
3	JPPC	LME Aluminum Futures^		02/2017		133,042		126,804		(6,238	)
2	JPPC	LME Aluminum Futures^		02/2017		85,587		84,500		(1,087	)
2	JPPC	LME Aluminum Futures^		02/2017		87,005		84,598		(2,407	)
13	JPPC	LME Aluminum Futures^		03/2017		560,932		550,144		(10,788	)
1	JPPC	LME Aluminum Futures^		03/2017		42,865		42,316		(549	)
1	JPPC	LME Aluminum Futures^		03/2017		43,102		42,317		(785	)
3	JPPC	LME Aluminum Futures^		03/2017		129,007		126,969		(2,038	)
2	JPPC	LME Copper Futures^		01/2017		233,094		276,237		43,143
1	JPPC	LME Copper Futures^		02/2017		135,109		138,288		3,179
1	JPPC	LME Copper Futures^		02/2017		147,952		138,279		(9,673	)
1	JPPC	LME Copper Futures^		02/2017		148,852		138,311		(10,541	)

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

AQR Funds Annual Report December 2016

95

Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2	JPPC	LME Copper Futures^		03/2017		$289,105			$276,634			$(12,471	)
4	JPPC	LME Copper Futures^		03/2017		583,055			553,475			(29,580	)
1	JPPC	LME Nickel Futures^		03/2017		67,502			60,012			(7,490	)
3	JPPC	LME Nickel Futures^		03/2017		204,956			180,198			(24,758	)
2	JPPC	LME Zinc Futures^		03/2017		136,940			128,700			(8,240	)
1	JPPC	LME Zinc Futures^		03/2017		64,090			64,393			303
14	MSCL	Natural Gas Futures^		01/2017		501,038			521,360			20,322
2	MSCL	Silver Futures^		03/2017		168,493			159,890			(8,603	)
4	MSCL	Soybean Futures^		03/2017		210,836			200,800			(10,036	)
8	MSCL	WTI Crude Futures^		01/2017		417,053			429,760			12,707
9	BARC	DAX Index Futures		03/2017		2,667,728			2,715,442			47,714
92	BARC	Euro Stoxx 50 Index Futures		03/2017		3,118,660			3,173,572			54,912
75	BARC	FTSE 100 Index Futures		03/2017		6,361,714			6,516,315			154,601
3	BARC	H-SHARES Index Futures		01/2017		177,999			181,598			3,599
7	BARC	MSCI Taiwan Stock Index Futures		01/2017		239,211			240,660			1,449
3	BARC	SET50 Index Futures		03/2017		15,853			16,108			255
30	BARC	TOPIX Index Futures		03/2017		3,869,878			3,896,471			26,593
26	GSCO	Euro-Bund Futures		03/2017		4,442,337			4,492,605			50,268
59	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		7,340,654			7,332,593			(8,061	)
17	MSCL	U.S. Treasury 5-Year Note Futures		03/2017		2,004,834			2,000,289			(4,545	)
						35,293,616			35,551,442			257,826
Short Contracts:
2	GSCO	Brent Crude Futures^		01/2017		$(111,496	)		$(113,640	)		$(2,144	)
1	JPPC	LME Aluminum Futures^		01/2017		(41,960	)		(42,525	)		(565	)
3	JPPC	LME Aluminum Futures^		02/2017		(132,826	)		(126,804	)		6,022
2	JPPC	LME Aluminum Futures^		02/2017		(85,430	)		(84,500	)		930
2	JPPC	LME Aluminum Futures^		02/2017		(87,172	)		(84,597	)		2,575
7	JPPC	LME Aluminum Futures^		03/2017		(301,983	)		(296,231	)		5,752
1	JPPC	LME Aluminum Futures^		03/2017		(42,837	)		(42,316	)		521
1	JPPC	LME Aluminum Futures^		03/2017		(43,055	)		(42,317	)		738
3	JPPC	LME Aluminum Futures^		03/2017		(128,395	)		(126,969	)		1,426
2	JPPC	LME Copper Futures^		01/2017		(233,470	)		(276,237	)		(42,767	)
1	JPPC	LME Copper Futures^		02/2017		(134,463	)		(138,288	)		(3,825	)
1	JPPC	LME Copper Futures^		02/2017		(144,603	)		(138,280	)		6,323
1	JPPC	LME Copper Futures^		02/2017		(148,426	)		(138,312	)		10,114
2	JPPC	LME Copper Futures^		03/2017		(289,438	)		(276,634	)		12,804
3	JPPC	LME Copper Futures^		03/2017		(438,039	)		(415,106	)		22,933
1	JPPC	LME Nickel Futures^		03/2017		(67,314	)		(60,012	)		7,302
1	JPPC	LME Nickel Futures^		03/2017		(67,531	)		(60,066	)		7,465
1	JPPC	LME Zinc Futures^		03/2017		(64,097	)		(64,350	)		(253	)
1	JPPC	LME Zinc Futures^		03/2017		(64,344	)		(64,393	)		(49	)
3	MSCL	Soybean Meal Futures^		03/2017		(97,583	)		(94,980	)		2,603
14	MSCL	Soybean Oil Futures^		03/2017		(320,006	)		(291,144	)		28,862
7	BARC	Amsterdam Index Futures		01/2017		(696,917	)		(711,949	)		(15,032	)
102	BARC	BIST 30 Futures		02/2017		(275,242	)		(278,433	)		(3,191	)
12	BARC	CAC40 Index Futures		01/2017		(603,750	)		(614,285	)		(10,535	)
14	BARC	FTSE Bursa Malaysia KLCI Index Futures		01/2017		(253,371	)		(255,205	)		(1,834	)
31	BARC	FTSE/JSE Top 40 Index Futures		03/2017		(1,012,799	)		(1,000,081	)		12,718
10	BARC	FTSE/MIB Index Futures		03/2017		(982,478	)		(1,010,807	)		(28,329	)
5	BARC	Hang Seng Index Futures		01/2017		(695,232	)		(708,041	)		(12,809	)
11	BARC	IBEX 35 Index Futures		01/2017		(1,066,373	)		(1,078,412	)		(12,039	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
5	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		03/2017		$ (112,756	)		$ (110,432	)		$ 2,324
31	BARC	MSCI Singapore Index Futures		01/2017		(686,263	)		(684,584	)		1,679
4	BARC	OMXS30 Index Futures		01/2017		(67,743	)		(66,691	)		1,052
58	BARC	S&P 500 E-Mini Futures		03/2017		(6,529,826	)		(6,484,980	)		44,846
5	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		(667,787	)		(668,007	)		(220	)
36	BARC	SGX S&P CNX Nifty Index Futures		01/2017		(576,984	)		(589,284	)		(12,300	)
37	BARC	SPI 200 Index Futures		03/2017		(3,692,529	)		(3,758,840	)		(66,311	)
54	GSCO	10-Year Japanese Government Bond Futures		03/2017		(6,937,392	)		(6,943,418	)		(6,026	)
1	GSCO	10-Year Japanese Government Bond Futures		03/2017		(1,284,118	)		(1,285,476	)		(1,358	)
14	JPMS	Australia 10-Year Bond Futures		03/2017		(1,284,889	)		(1,290,595	)		(5,706	)
35	GSCO	Canadian 10-Year Bond Futures		03/2017		(3,617,200	)		(3,585,111	)		32,089
5	GSCO	Euro-OAT Futures		03/2017		(790,515	)		(799,067	)		(8,552	)
70	GSCO	Long Gilt Futures		03/2017		(10,640,247	)		(10,855,102	)		(214,855	)
4	MSCL	U.S. Treasury Long Bond Futures		03/2017		(598,617	)		(602,625	)		(4,008	)
						(46,117,496	)		(46,359,126	)		(241,630	)
						$(10,823,880	)		$(10,807,684	)		$16,196

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

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		156,800		$116,509		$112,961		$(3,548	)
Australian Dollar, Expiring 03/15/17	JPMC	AUD		235,200		174,764		169,440		(5,324	)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		2,098,976		596,804		632,436		35,632
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		3,028,462		861,081		912,498		51,417
Canadian Dollar, Expiring 03/15/17	CITI	CAD		3,418,000		2,562,960		2,547,822		(15,138	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		5,127,000		3,844,550		3,821,733		(22,817	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		40,000		39,565		39,455		(110	)
Swiss Franc, Expiring 03/15/17	JPMC	CHF		60,000		59,347		59,183		(164	)
Chilean Peso, Expiring 03/15/17*	CITI	CLP		194,400,000		286,806		288,804		1,998
Chilean Peso, Expiring 03/15/17*	JPMC	CLP		291,600,000		430,209		433,206		2,997
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		1,372,400		194,471		193,105		(1,366	)
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		651,600		92,213		91,684		(529	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Colombian Peso, Expiring 03/15/17*	CITI	COP		369,200,000		$ 119,728		$ 121,485		$ 1,757
Colombian Peso, Expiring 03/15/17*	JPMC	COP		358,800,000		115,357		118,063		2,706
Czech Republic Koruna, Expiring 03/15/17	CITI	CZK		5,120,000		198,939		200,166		1,227
Czech Republic Koruna, Expiring 03/15/17	JPMC	CZK		3,180,000		123,301		124,322		1,021
Euro, Expiring 03/15/17	CITI	EUR		1,031,400		1,082,031		1,089,529		7,498
Euro, Expiring 03/15/17	JPMC	EUR		945,600		995,099		998,895		3,796
British Pound, Expiring 03/15/17	CITI	GBP		1,119,200		1,405,412		1,381,711		(23,701	)
British Pound, Expiring 03/15/17	JPMC	GBP		1,678,800		2,108,072		2,072,568		(35,504	)
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		3,345,800		431,710		431,587		(123	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		4,585,200		591,680		591,461		(219	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		42,596,800		145,801		145,260		(541	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		63,895,200		218,700		217,891		(809	)
Indonesian Rupiah, Expiring 03/15/17*	CITI	IDR		3,424,000,000		250,245		251,503		1,258
Indonesian Rupiah, Expiring 03/15/17*	JPMC	IDR		5,136,000,000		375,370		377,254		1,884
Israeli Shekel, Expiring 03/15/17	CITI	ILS		694,000		181,069		180,517		(552	)
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		396,000		103,785		103,004		(781	)
Japanese Yen, Expiring 03/15/17	CITI	JPY		338,277,200		2,967,088		2,904,468		(62,620	)
Japanese Yen, Expiring 03/15/17	JPMC	JPY		507,415,800		4,450,743		4,356,701		(94,042	)
Korean Won, Expiring 03/15/17*	CITI	KRW		135,723,600		116,219		112,383		(3,836	)
Korean Won, Expiring 03/15/17*	JPMC	KRW		203,585,400		174,331		168,576		(5,755	)
Mexican Peso, Expiring 03/15/17	CITI	MXN		5,578,800		269,771		266,605		(3,166	)
Mexican Peso, Expiring 03/15/17	JPMC	MXN		8,368,200		404,665		399,906		(4,759	)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		10,194,200		1,209,844		1,181,069		(28,775	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		10,864,800		1,291,635		1,258,761		(32,874	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		2,728,200		1,939,924		1,891,299		(48,625	)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		3,850,800		2,735,859		2,669,529		(66,330	)
Philippine Peso, Expiring 03/15/17*	CITI	PHP		2,680,000		53,296		53,779		483

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

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Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Philippine Peso, Expiring 03/15/17*	JPMC	PHP		2,820,000		$ 56,086		$ 56,588		$ 502
Poland Zloty, Expiring 03/15/17	CITI	PLN		218,800		51,777		52,222		445
Poland Zloty, Expiring 03/15/17	JPMC	PLN		328,200		77,663		78,334		671
Russian Ruble, Expiring 03/15/17*	CITI	RUB		50,300,000		773,785		808,041		34,256
Russian Ruble, Expiring 03/15/17*	JPMC	RUB		37,800,000		579,316		607,236		27,920
Singapore Dollar, Expiring 03/15/17	CITI	SGD		270,400		189,963		186,653		(3,310	)
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		393,600		276,275		271,697		(4,578	)
Turkish Lira, Expiring 03/15/17	CITI	TRY		886,800		248,362		247,698		(664	)
Turkish Lira, Expiring 03/15/17	JPMC	TRY		1,330,200		372,501		371,547		(954	)
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		320,000		10,027		9,960		(67	)
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		480,000		15,041		14,941		(100	)
South African Rand, Expiring 03/15/17	CITI	ZAR		2,614,600		185,778		187,878		2,100
South African Rand, Expiring 03/15/17	JPMC	ZAR		3,665,400		260,291		263,384		3,093
						$36,415,818		$36,126,798		$(289,020	)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		(781,600	)		$(578,253	)		$(563,074	)		$15,179
Australian Dollar, Expiring 03/15/17	JPMC	AUD		(1,172,400	)		(867,372	)		(844,610	)		22,762
Brazilian Real, Expiring 03/15/17*	CITI	BRL		(276,400	)		(80,576	)		(83,280	)		(2,704	)
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		(414,600	)		(120,864	)		(124,923	)		(4,059	)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		(2,367,200	)		(1,776,723	)		(1,764,541	)		12,182
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		(3,550,800	)		(2,665,091	)		(2,646,813	)		18,278
Swiss Franc, Expiring 03/15/17	CITI	CHF		(1,980,000	)		(1,950,015	)		(1,953,035	)		(3,020	)
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(1,647,000	)		(1,626,632	)		(1,624,570	)		2,062
Chilean Peso, Expiring 03/15/17*	CITI	CLP		(99,600,000	)		(147,038	)		(147,968	)		(930	)
Chilean Peso, Expiring 03/15/17*	JPMC	CLP		(149,400,000	)		(220,556	)		(221,950	)		(1,394	)
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		(3,005,400	)		(430,676	)		(422,881	)		7,795
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		(4,071,600	)		(584,174	)		(572,903	)		11,271

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

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Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Colombian Peso, Expiring 03/15/17*	CITI	COP		(672,000,000	)		$ (214,670	)		$ (221,120	)		$ (6,450	)
Colombian Peso, Expiring 03/15/17*	JPMC	COP		(1,008,000,000	)		(322,004	)		(331,680	)		(9,676	)
Czech Republic Koruna, Expiring 03/15/17	CITI	CZK		(8,060,000	)		(319,074	)		(315,105	)		3,969
Czech Republic Koruna, Expiring 03/15/17	JPMC	CZK		(3,540,000	)		(139,937	)		(138,396	)		1,541
Euro, Expiring 03/15/17	CITI	EUR		(3,149,200	)		(3,371,029	)		(3,326,692	)		44,337
Euro, Expiring 03/15/17	JPMC	EUR		(4,723,800	)		(5,056,405	)		(4,990,033	)		66,372
British Pound, Expiring 03/15/17	CITI	GBP		(456,800	)		(573,547	)		(563,944	)		9,603
British Pound, Expiring 03/15/17	JPMC	GBP		(685,200	)		(860,336	)		(845,914	)		14,422
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(1,690,800	)		(217,950	)		(218,104	)		(154	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		(739,200	)		(95,343	)		(95,352	)		(9	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		(81,592,400	)		(277,371	)		(278,242	)		(871	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		(122,388,600	)		(416,034	)		(417,363	)		(1,329	)
Indonesian Rupiah, Expiring 03/15/17*	CITI	IDR		(580,000,000	)		(41,813	)		(42,603	)		(790	)
Indonesian Rupiah, Expiring 03/15/17*	JPMC	IDR		(840,000,000	)		(60,562	)		(61,701	)		(1,139	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		(616,000	)		(162,156	)		(160,229	)		1,927
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		(924,000	)		(243,236	)		(240,344	)		2,892
Indian Rupee, Expiring 03/15/17*	CITI	INR		(11,274,800	)		(163,869	)		(164,822	)		(953	)
Indian Rupee, Expiring 03/15/17*	JPMC	INR		(12,712,200	)		(184,110	)		(185,833	)		(1,723	)
Japanese Yen, Expiring 03/15/17	CITI	JPY		(108,044,000	)		(947,293	)		(927,672	)		19,621
Japanese Yen, Expiring 03/15/17	JPMC	JPY		(162,066,000	)		(1,420,960	)		(1,391,508	)		29,452
Korean Won, Expiring 03/15/17*	CITI	KRW		(275,855,600	)		(233,099	)		(228,417	)		4,682
Korean Won, Expiring 03/15/17*	JPMC	KRW		(296,228,400	)		(248,914	)		(245,286	)		3,628
Mexican Peso, Expiring 03/15/17	CITI	MXN		(4,100,780	)		(196,102	)		(195,971	)		131
Mexican Peso, Expiring 03/15/17	JPMC	MXN		(4,190,670	)		(199,313	)		(200,267	)		(954	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		(285,200	)		(196,302	)		(197,712	)		(1,410	)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		(427,800	)		(294,453	)		(296,568	)		(2,115	)
Philippine Peso, Expiring 03/15/17*	CITI	PHP		(13,520,000	)		(268,665	)		(271,304	)		(2,639	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Philippine Peso, Expiring 03/15/17*	JPMC	PHP		(20,280,000	)		$ (402,994	)		$ (406,956	)		$ (3,962	)
Poland Zloty, Expiring 03/15/17	CITI	PLN		(714,400	)		(170,077	)		(170,509	)		(432	)
Poland Zloty, Expiring 03/15/17	JPMC	PLN		(1,071,600	)		(255,120	)		(255,764	)		(644	)
Russian Ruble, Expiring 03/15/17*	CITI	RUB		(12,540,000	)		(200,101	)		(201,447	)		(1,346	)
Russian Ruble, Expiring 03/15/17*	JPMC	RUB		(4,560,000	)		(73,383	)		(73,254	)		129
Swedish Krona, Expiring 03/15/17	CITI	SEK		(17,058,400	)		(1,869,157	)		(1,880,162	)		(11,005	)
Swedish Krona, Expiring 03/15/17	JPMC	SEK		(25,587,600	)		(2,803,608	)		(2,820,241	)		(16,633	)
Singapore Dollar, Expiring 03/15/17	CITI	SGD		(959,600	)		(673,714	)		(662,398	)		11,316
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		(1,439,400	)		(1,010,571	)		(993,599	)		16,972
Turkish Lira, Expiring 03/15/17	CITI	TRY		(1,628,800	)		(462,003	)		(454,949	)		7,054
Turkish Lira, Expiring 03/15/17	JPMC	TRY		(2,443,200	)		(693,000	)		(682,425	)		10,575
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		(1,800,000	)		(55,778	)		(56,029	)		(251	)
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		(2,700,000	)		(83,667	)		(84,044	)		(377	)
South African Rand, Expiring 03/15/17	CITI	ZAR		(236,000	)		(16,486	)		(16,958	)		(472	)
South African Rand, Expiring 03/15/17	JPMC	ZAR		(354,000	)		(24,730	)		(25,437	)		(707	)
							(36,566,906	)		(36,306,902	)		260,004
							$(151,088	)		$(180,104	)		$(29,016	)

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2016

AQR GLOBAL MACRO FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—		$1,915,592		$1,915,592
CITG
Cash		—		24,219		24,219
Investment Companies		—		170,505		170,505
CRSU
Cash		—		791,399		791,399
GSCO
Cash		—		494,360		494,360
GSIN
Investment Companies		110,037		—		110,037
JPMC
Cash		440,000		—		440,000
JPMS
Cash		—		38,271		38,271
MSCL
Cash		—		126,547		126,547

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$60,079		$—		$60,079
GSCO
Cash		—		10,866		10,866
JPPC
Cash		—		99,888		99,888
MSCL
Cash		—		84,521		84,521

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 118.1%
COMMON STOCKS - 28.1%
Belgium - 0.8%
Ageas (a)		161,164	$	6,370,296
bpost SA (a)		125,533		2,967,677
Colruyt SA (a)		10,364		512,240
Galapagos NV *(a)		15,464		990,394
KBC Group NV (a)		37,960		2,345,465
Proximus SADP (a)		21,003		603,769
Solvay SA (a)		25,897		3,027,530
Umicore SA (a)		64,719		3,681,956
				20,499,327
Canada - 3.5%
Agnico Eagle Mines Ltd. (1)(a)		41,574		1,747,926
Air Canada (1)*(a)		430,288		4,380,916
Alimentation Couche-Tard, Inc., Class B (1)(a)		101,775		4,614,801
Atco Ltd., Class I (1)(a)		36,427		1,211,656
Bank of Montreal (1)(a)		68,124		4,899,814
Bank of Nova Scotia (The) (1)(a)		34,744		1,934,578
Barrick Gold Corp. (1)(a)		227,066		3,634,341
CAE, Inc. (1)(a)		44,782		626,378
Canadian Imperial Bank of Commerce (1)(a)		42,922		3,502,428
Canadian Natural Resources Ltd. (1)(a)		41,552		1,324,254
Canadian Pacific Railway Ltd. (1)(a)		5,139		733,197
Canadian Tire Corp. Ltd., Class A (1)(a)		34,425		3,570,826
CCL Industries, Inc., Class B (1)(a)		10,860		2,133,742
CGI Group, Inc., Class A (1)*(a)		31,749		1,523,782
Constellation Software, Inc. (1)(a)		2,083		946,546
Dollarama, Inc. (1)(a)		51,698		3,788,068
Empire Co. Ltd., Class A (1)(a)		44,804		524,574
Enerplus Corp. (1)(a)		38,454		364,878
First Quantum Minerals Ltd. (1)(a)		248,118		2,467,043
George Weston Ltd. (1)(a)		28,182		2,384,235
Industrial Alliance Insurance & Financial Services, Inc. (1)(a)		40,124		1,595,517
Kinross Gold Corp. (1)*(a)		983,929		3,070,541
Linamar Corp. (1)(a)		45,990		1,976,065
Lundin Mining Corp. (1)*(a)		218,549		1,041,756
Magna International, Inc. (1)(a)		48,906		2,123,576
Metro, Inc. (1)(a)		103,920		3,108,351
National Bank of Canada (1)(a)		13,614		552,915
Open Text Corp. (1)(a)		36,870		2,277,034
Peyto Exploration & Development Corp. (1)(a)		25,571		632,490
Quebecor, Inc., Class B (1)(a)		20,484		569,369
Saputo, Inc. (1)(a)		151,049		5,344,906
Seven Generations Energy Ltd., Class A (1)*(a)		79,945		1,864,282
Teck Resources Ltd., Class B (1)(a)		362,932		7,263,235
Toronto-Dominion Bank (The) (1)(a)		28,867		1,423,731
Tourmaline Oil Corp. (1)*(a)		45,417		1,214,706
TransCanada Corp. (1)(a)		74,261		3,348,424
Yamana Gold, Inc. (1)(a)		561,453		1,576,493
				85,297,374

INVESTMENTS	SHARES		VALUE
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd.		5,842,100	$	3,275,719
Denmark - 1.3%
Carlsberg A/S, Class B (a)		13,570		1,168,773
Danske Bank A/S		12,655		382,861
Genmab A/S *(a)		14,151		2,344,149
GN Store Nord A/S (a)		60,017		1,241,171
H Lundbeck A/S *(a)		38,291		1,554,654
ISS A/S (a)		119,409		4,024,432
TDC A/S *(a)		871,823		4,469,288
Vestas Wind Systems A/S (a)		223,064		14,446,647
				29,631,975
Finland - 1.4%
Amer Sports OYJ (a)		16,139		428,271
Cargotec OYJ, Class B (a)		73,219		3,296,468
Elisa OYJ (a)		21,617		701,720
Fortum OYJ (a)		33,804		516,734
Huhtamaki OYJ (a)		67,793		2,512,460
Kesko OYJ, Class B (a)		81,177		4,051,194
Kone OYJ, Class B (a)		22,422		1,001,895
Metso OYJ (a)		30,444		866,099
Neste OYJ (a)		263,183		10,071,367
Nokian Renkaat OYJ (a)		48,440		1,800,896
Orion OYJ, Class B (a)		67,870		3,015,589
Outokumpu OYJ *		93,332		831,060
Stora Enso OYJ, Class R (a)		153,365		1,640,544
UPM-Kymmene OYJ (a)		323,817		7,919,126
				38,653,423
Germany - 5.5%
adidas AG (a)		58,639		9,248,432
Allianz SE (a)		47,143		7,780,379
Aurubis AG (a)		57,722		3,322,043
BASF SE (a)		18,747		1,737,405
Bayer AG (a)		5,053		526,439
Brenntag AG (a)		10,940		606,392
Continental AG (a)		9,775		1,883,219
Covestro AG (a)(b)		193,692		13,257,762
Deutsche Post AG (a)		166,274		5,452,961
Evonik Industries AG (a)		176,351		5,256,814
Freenet AG (a)		63,151		1,774,833
Hannover Rueck SE (a)		18,488		1,997,210
HeidelbergCement AG (a)		84,774		7,890,763
Hella KGaA Hueck & Co. (a)		36,526		1,374,723
HOCHTIEF AG (a)		59,581		8,318,279
Infineon Technologies AG (a)		636,847		11,015,846
KION Group AG (a)		81,848		4,544,323
LANXESS AG (a)		38,279		2,506,632
Linde AG (a)		9,494		1,557,373
METRO AG (a)		104,878		3,485,843
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		28,665		5,414,185
OSRAM Licht AG (a)		117,731		6,165,028
Rheinmetall AG (a)		89,535		6,008,761
Salzgitter AG (a)		64,247		2,254,148
Siemens AG (a)		69,258		8,479,944
Software AG (a)		119,974		4,348,271
STADA Arzneimittel AG (a)		137,585		7,107,892

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Germany - 5.5% (continued)
Suedzucker AG (a)		153,173	$	3,651,121
Talanx AG (a)		88,035		2,940,275
thyssenkrupp AG (a)		80,398		1,909,876
Uniper SE *		37,765		519,815
Wacker Chemie AG (a)		4,595		476,912
				142,813,899
Italy - 2.6%
A2A SpA (a)		4,850,141		6,263,863
Assicurazioni Generali SpA (a)		110,465		1,637,352
BPER Banca (a)		588,633		3,124,106
Brembo SpA (a)		11,974		724,370
Buzzi Unicem SpA (a)		55,143		1,304,786
Davide Campari-Milano SpA (a)		178,074		1,739,294
Enel SpA (a)		4,118,203		18,102,381
Ferrari NV		9,144		532,368
Hera SpA (a)		280,756		646,215
Intesa Sanpaolo SpA, RNC (a)		449,908		1,139,681
Italgas SpA *(a)		116,498		458,397
Leonardo-Finmeccanica SpA *(a)		427,168		5,982,603
Mediobanca SpA (a)		263,500		2,145,968
Moncler SpA (a)		140,775		2,446,181
Poste Italiane SpA (a)(b)		483,151		3,203,830
Prysmian SpA (a)		221,567		5,678,835
Recordati SpA (a)		85,151		2,412,577
Snam SpA (a)		1,493,844		6,143,956
Unipol Gruppo Finanziario SpA (a)		560,358		2,014,978
				65,701,741
Luxembourg - 0.1%
APERAM SA (a)		68,064		3,106,164
Malta - 0.0% (c)
Kindred Group plc, SDR		75,655		708,663
Netherlands - 2.1%
Aalberts Industries NV (a)		23,763		769,873
ABN AMRO Group NV, CVA (b)		17,303		383,119
Akzo Nobel NV (a)		30,862		1,928,468
ASM International NV (a)		50,376		2,258,495
ASML Holding NV (a)		10,957		1,227,956
Delta Lloyd NV (a)		370,845		2,072,728
Koninklijke Ahold Delhaize NV (a)		369,954		7,792,339
Koninklijke DSM NV (a)		134,442		8,056,740
Koninklijke Philips NV (a)		360,322		11,015,733
Koninklijke Vopak NV (a)		60,980		2,877,039
NN Group NV (a)		222,901		7,545,763
Randstad Holding NV (a)		38,083		2,062,863
Wolters Kluwer NV (a)		181,781		6,574,864
				54,565,980
Norway - 0.5%
Leroy Seafood Group ASA (a)		25,688		1,430,143
Marine Harvest ASA *(a)		198,661		3,591,890
Norsk Hydro ASA (a)		463,788		2,213,536
Orkla ASA (a)		250,158		2,263,613
Yara International ASA (a)		67,806		2,667,424
				12,166,606

INVESTMENTS	SHARES		VALUE
Singapore - 0.6%
ComfortDelGro Corp. Ltd.		835,000	$	1,418,893
DBS Group Holdings Ltd.		76,600		913,902
Genting Singapore plc		5,878,600		3,658,834
Global Logistic Properties Ltd.		459,900		696,388
SATS Ltd.		735,400		2,460,487
Singapore Airlines Ltd.		172,600		1,149,843
StarHub Ltd.		435,600		843,255
United Overseas Bank Ltd.		106,400		1,494,803
Wilmar International Ltd.		528,700		1,306,131
				13,942,536
Spain - 2.6%
Acciona SA (a)		6,414		471,126
ACS Actividades de Construccion y Servicios SA (a)		117,087		3,694,982
Aena SA (a)(b)		21,682		2,953,979
Almirall SA (a)		27,245		422,647
Banco Bilbao Vizcaya Argentaria SA		57,432		387,030
Banco Santander SA (a)		702,165		3,652,852
Ebro Foods SA (a)		123,940		2,593,839
Enagas SA (a)		86,385		2,189,276
Endesa SA (a)		424,807		8,983,851
Gamesa Corp. Tecnologica SA (a)		314,877		6,366,083
Gas Natural SDG SA (a)		91,121		1,714,285
Iberdrola SA (a)		942,620		6,172,164
Mapfre SA		171,520		522,467
Mediaset Espana Comunicacion SA (a)		147,014		1,722,085
Melia Hotels International SA (a)		46,438		540,608
Prosegur Cia de Seguridad SA (a)		210,511		1,313,667
Repsol SA (a)		1,170,814		16,453,616
Tecnicas Reunidas SA (a)		58,201		2,380,255
				62,534,812
Sweden - 2.3%
Axfood AB (a)		80,284		1,260,701
BillerudKorsnas AB (a)		241,244		4,040,385
Boliden AB (a)		505,436		13,128,700
Electrolux AB, Series B (a)		262,276		6,494,224
Husqvarna AB, Class B (a)		353,447		2,742,431
NCC AB, Class B (a)		198,404		4,900,813
Nibe Industrier AB, Class B (a)		91,132		716,616
Saab AB, Class B (a)		86,316		3,219,067
Securitas AB, Class B (a)		234,704		3,681,531
Skanska AB, Class B (a)		229,338		5,399,623
SKF AB, Class B (a)		55,549		1,018,556
SSAB AB, Class A *(a)		952,415		3,597,113
Svenska Cellulosa AB SCA, Class B (a)		120,437		3,389,883
Swedish Match AB (a)		220,206		6,986,695
				60,576,338
Switzerland - 4.1%
ABB Ltd. *(a)		701,560		14,762,032
Actelion Ltd. *(a)		47,179		10,195,787
Adecco Group AG (a)		90,658		5,917,865
Clariant AG *(a)		190,458		3,282,603
Cohu, Inc. (a)		17,826		2,243,133
dormakaba Holding AG *(a)		609		452,111
EMS-Chemie Holding AG (a)		1,053		534,746
Flughafen Zuerich AG (a)		18,670		3,459,683

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Switzerland - 4.1% (continued)
Geberit AG (a)		13,775	$	5,514,914
Georg Fischer AG (a)		5,168		4,226,520
Lonza Group AG *(a)		8,558		1,479,072
Nestle SA (a)		9,804		702,335
Partners Group Holding AG (a)		7,932		3,713,270
Schindler Holding AG (a)		11,301		1,990,256
SGS SA (a)		543		1,103,248
Sika AG (a)		1,191		5,714,248
STMicroelectronics NV (a)		816,870		9,270,340
Straumann Holding AG (a)		7,505		2,924,409
Swiss Life Holding AG *(a)		9,566		2,702,194
Swiss Re AG (a)		93,717		8,866,839
Temenos Group AG *(a)		40,015		2,781,480
Zurich Insurance Group AG *(a)		50,149		13,781,939
				105,619,024
United Kingdom - 0.6%
Dialog Semiconductor plc *(a)		109,890		4,617,017
Fiat Chrysler Automobiles NV (a)		835,550		7,600,853
Subsea 7 SA *(a)		194,710		2,459,047
				14,676,917
TOTAL COMMON STOCKS (Cost $683,261,585)				713,770,498
PREFERRED STOCK - 0.3%
Germany - 0.3%
Henkel AG & Co. KGaA
(Cost $7,137,643) (a)		55,996		6,665,751
SHORT-TERM INVESTMENTS - 89.7%
INVESTMENT COMPANIES - 54.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (d)		6,575,976		6,575,976
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (d)		26,303,905		26,303,905
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (d)(e)		965,323,689		965,323,689
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (d)(e)		340,231,846		340,231,846
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (d)		32,879,881		32,879,881
TOTAL INVESTMENT COMPANIES (Cost $1,371,315,297)				1,371,315,297
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 35.7%
U.S. Treasury Bills
0.34%, 1/5/2017 (f)	$	18,049,000		18,048,639
0.39%, 1/12/2017 (f)		13,929,300		13,927,907
0.43%, 1/19/2017 (f)		38,519,000		38,511,913
0.43%, 1/26/2017 (f)		8,593,000		8,590,688

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 35.7% (continued)
0.39%, 2/2/2017 (f)	$	290,000		$	289,898
0.44%, 2/9/2017 (f)		35,204,000			35,187,806
0.45%, 2/16/2017 (f)		30,644,000			30,627,514
0.45%, 2/23/2017 (f)		83,331,000			83,275,418
0.48%, 3/2/2017 (f)		15,538,000			15,525,880
0.47%, 3/9/2017 (f)		52,591,000			52,545,456
0.54%, 3/16/2017 (f)		24,032,000			24,007,968
0.50%, 3/23/2017 (f)		30,228,000			30,194,840
0.42%, 3/30/2017 (f)		42,338,000			42,287,533
0.49%, 4/6/2017 (f)		1,737,000			1,734,636
0.50%, 4/13/2017 (f)		13,735,000			13,714,356
0.47%, 4/20/2017 (f)		37,503,000			37,442,658
0.48%, 4/27/2017 (f)		79,603,000			79,464,968
0.50%, 5/4/2017 (f)		16,753,000			16,719,779
0.63%, 5/18/2017 (f)		54,524,000			54,400,121
0.61%, 5/25/2017 (f)		49,923,000			49,803,385
0.61%, 6/1/2017 (f)		41,440,000			41,333,002
0.62%, 6/8/2017 (f)		41,730,000			41,617,872
0.65%, 6/15/2017 (f)		96,376,000			96,110,870
0.65%, 6/22/2017 (f)		28,764,000			28,679,865
0.64%, 6/29/2017 (f)		52,859,000			52,699,842
TOTAL U.S. TREASURY OBLIGATIONS (Cost $906,731,707)					906,742,814
TOTAL SHORT-TERM INVESTMENTS (Cost $2,278,047,004)					2,278,058,111
TOTAL LONG POSITIONS (Cost $2,968,446,232)					2,998,494,360
SHORT POSITIONS - (25.7)%	SHARES
COMMON STOCKS - (25.1)%
Austria - (0.1)%
ams AG		(127,924	)		(3,624,963	)
Belgium - (0.8)%
Anheuser-Busch InBev SA/NV		(157,147	)		(16,633,060	)
Telenet Group Holding NV *		(52,433	)		(2,906,187	)
UCB SA		(16,265	)		(1,040,650	)
					(20,579,897	)
Canada - (3.3)%
AltaGas Ltd. (1)		(109,747	)		(2,770,955	)
BlackBerry Ltd. (1)*		(435,170	)		(2,994,802	)
Bombardier, Inc., Class B (1)*		(926,482	)		(1,490,486	)
Cameco Corp. (1)		(230,266	)		(2,407,876	)
Canadian National Railway Co. (1)		(78,364	)		(5,273,877	)
Canadian Utilities Ltd., Class A (1)		(108,691	)		(2,929,674	)
Cenovus Energy, Inc. (1)		(260,586	)		(3,939,892	)
CI Financial Corp. (1)		(36,159	)		(777,500	)
DH Corp. (1)		(139,295	)		(2,311,468	)
Element Fleet Management Corp. (1)		(311,280	)		(2,888,727	)
Emera, Inc. (1)		(17,937	)		(606,383	)
Enbridge, Inc. (1)		(84,691	)		(3,563,878	)
Encana Corp. (1)		(43,215	)		(507,257	)
Fairfax Financial Holdings Ltd. (1)		(2,763	)		(1,334,529	)
Franco-Nevada Corp. (1)		(29,020	)		(1,735,170	)
Gildan Activewear, Inc. (1)		(230,155	)		(5,843,656	)

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

SHORT POSITIONS - (25.7)%	SHARES			VALUE
Canada - (3.3)% (continued)
Goldcorp, Inc. (1)		(122,982	)	$	(1,674,384	)
Husky Energy, Inc. (1) *		(117,806	)		(1,429,308	)
Imperial Oil Ltd. (1)		(73,042	)		(2,541,088	)
Inter Pipeline Ltd. (1)		(38,113	)��		(841,373	)
Keyera Corp. (1)		(66,648	)		(2,008,400	)
Manulife Financial Corp. (1)		(42,186	)		(751,251	)
Methanex Corp. (1)		(149,816	)		(6,571,083	)
Pembina Pipeline Corp. (1)		(47,197	)		(1,474,983	)
Potash Corp. of Saskatchewan, Inc. (1)		(392,298	)		(7,097,098	)
Power Financial Corp. (1)		(109,119	)		(2,727,467	)
PrairieSky Royalty Ltd. (1)		(114,653	)		(2,727,455	)
Restaurant Brands International, Inc. (1)		(30,035	)		(1,430,558	)
Rogers Communications, Inc., Class B (1)		(63,728	)		(2,458,178	)
Silver Wheaton Corp. (1)		(18,970	)		(366,500	)
Veresen, Inc. (1)		(82,224	)		(802,857	)
Waste Connections, Inc. (1)		(8,709	)		(683,280	)
West Fraser Timber Co. Ltd. (1)		(18,334	)		(655,581	)
Whitecap Resources, Inc. (1)		(233,059	)		(2,110,749	)
WSP Global, Inc. (1)		(57,753	)		(1,922,304	)
					(81,650,027	)
Denmark - (0.8)%
AP Moller - Maersk A/S, Class B		(1,889	)		(3,010,998	)
Chr Hansen Holding A/S		(43,616	)		(2,412,199	)
Coloplast A/S, Class B		(78,476	)		(5,286,034	)
DSV A/S		(16,384	)		(727,618	)
Jyske Bank A/S		(17,136	)		(814,869	)
Novo Nordisk A/S, Class B		(98,565	)		(3,535,742	)
Novozymes A/S, Class B		(164,708	)		(5,667,918	)
Tryg A/S		(101,133	)		(1,826,313	)
					(23,281,691	)
Finland - (0.9)%
Nokia OYJ		(2,710,265	)		(12,998,872	)
Sampo OYJ, Class A		(118,668	)		(5,304,773	)
Wartsila OYJ Abp		(79,111	)		(3,547,048	)
					(21,850,693	)
Germany - (4.1)%
Axel Springer SE		(51,953	)		(2,519,139	)
Bayerische Motoren Werke AG		(78,653	)		(7,325,428	)
Beiersdorf AG		(11,569	)		(979,985	)
Bilfinger SE *		(50,449	)		(1,942,412	)
Commerzbank AG		(1,147,089	)		(8,733,702	)
Daimler AG		(94,255	)		(6,995,190	)
Deutsche Bank AG *		(477,215	)		(8,656,367	)
Deutsche Lufthansa AG		(252,219	)		(3,251,287	)
Duerr AG		(6,555	)		(525,590	)
E.ON SE		(1,558,457	)		(10,963,656	)
Fielmann AG		(28,601	)		(1,887,446	)
Fresenius Medical Care AG & Co. KGaA		(20,909	)		(1,767,247	)
GEA Group AG		(33,083	)		(1,327,635	)
HUGO BOSS AG		(41,882	)		(2,556,856	)
K+S AG		(145,224	)		(3,459,388	)
Krones AG		(10,973	)		(1,002,201	)
MAN SE		(6,095	)		(604,968	)

SHORT POSITIONS - (25.7)%	SHARES			VALUE
Germany - (4.1)% (continued)
Merck KGaA		(54,691	)	$	(5,694,476	)
MTU Aero Engines AG		(10,718	)		(1,236,319	)
Nordex SE *		(61,550	)		(1,318,351	)
ProSiebenSat.1 Media SE		(176,171	)		(6,781,169	)
RWE AG *		(267,110	)		(3,314,475	)
Symrise AG		(39,207	)		(2,382,128	)
Telefonica Deutschland Holding AG		(1,037,238	)		(4,433,574	)
United Internet AG		(127,403	)		(4,971,579	)
Wirecard AG		(43,056	)		(1,847,425	)
Zalando SE *(b)		(110,996	)		(4,228,308	)
					(100,706,301	)
Hong Kong - 0.0% (c)
Hutchison Port Holdings Trust (1)		(2,015,200	)		(906,840	)
Noble Group Ltd. *		(3,196,500	)		(372,782	)
					(1,279,622	)
Italy - (2.3)%
Atlantia SpA		(30,419	)		(711,693	)
Azimut Holding SpA		(344,002	)		(5,721,915	)
Banca Generali SpA		(97,119	)		(2,309,947	)
Banco Popolare SC		(1,645,388	)		(3,959,714	)
Eni SpA		(33,940	)		(550,204	)
Luxottica Group SpA		(254,819	)		(13,695,616	)
Mediaset SpA		(530,041	)		(2,282,850	)
Saipem SpA *		(7,796,844	)		(4,360,876	)
Salvatore Ferragamo SpA		(256,023	)		(6,038,474	)
Telecom Italia SpA, RNC *		(7,002,274	)		(6,182,585	)
Terna Rete Elettrica Nazionale SpA		(727,873	)		(3,328,812	)
UniCredit SpA		(1,296,487	)		(3,723,162	)
Unione di Banche Italiane SpA		(375,160	)		(1,027,214	)
UnipolSai SpA		(554,679	)		(1,183,088	)
Yoox Net-A-Porter Group SpA *		(96,160	)		(2,719,122	)
					(57,795,272	)
Luxembourg - (0.6)%
ArcelorMittal *		(51,963	)		(381,799	)
Millicom International Cellular SA, SDR		(29,494	)		(1,256,869	)
Tenaris SA		(826,760	)		(14,758,100	)
					(16,396,768	)
Netherlands - (1.4)%
Aegon NV		(506,303	)		(2,781,451	)
Altice NV, Class A *		(716,057	)		(14,170,673	)
Gemalto NV		(29,729	)		(1,716,891	)
Heineken NV		(26,043	)		(1,951,608	)
Koninklijke KPN NV		(2,904,031	)		(8,587,575	)
OCI NV *		(108,459	)		(1,891,640	)
SBM Offshore NV		(301,285	)		(4,717,016	)
					(35,816,854	)
Norway - (0.5)%
DNB ASA		(246,896	)		(3,665,246	)
Gjensidige Forsikring ASA		(28,760	)		(455,950	)
Schibsted ASA, Class A		(148,244	)		(3,392,894	)
Statoil ASA		(275,294	)		(5,024,579	)
Telenor ASA		(134,701	)		(2,010,644	)
					(14,549,313	)

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

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SHORT POSITIONS - (25.7)%	SHARES			VALUE
Singapore - (0.6)%
CapitaLand Ltd.		(1,344,900	)	$	(2,794,854	)
Keppel Corp. Ltd.		(1,725,200	)		(6,866,197	)
Singapore Post Ltd.		(3,215,600	)		(3,247,591	)
Singapore Telecommunications Ltd.		(1,207,600	)		(3,029,189	)
					(15,937,831	)
Spain - (2.5)%
Abertis Infraestructuras SA		(109,540	)		(1,530,438	)
Acerinox SA		(92,900	)		(1,227,522	)
Amadeus IT Group SA		(28,543	)		(1,294,543	)
Atresmedia Corp. de Medios de Comunicacion SA		(148,114	)		(1,616,838	)
Banco de Sabadell SA		(1,067,492	)		(1,483,360	)
Banco Popular Espanol SA		(11,947,026	)		(11,510,922	)
Bankia SA		(2,428,930	)		(2,475,187	)
Bankinter SA		(193,174	)		(1,493,903	)
CaixaBank SA		(1,116,247	)		(3,678,902	)
Cellnex Telecom SA (b)		(541,238	)		(7,769,001	)
Distribuidora Internacional de Alimentacion SA		(781,916	)		(3,834,970	)
Ferrovial SA		(464,828	)		(8,289,854	)
Grifols SA		(204,374	)		(4,057,107	)
Industria de Diseno Textil SA		(99,283	)		(3,382,171	)
Obrascon Huarte Lain SA		(362,406	)		(1,253,435	)
Red Electrica Corp. SA		(95,399	)		(1,797,331	)
Telefonica SA		(557,695	)		(5,148,839	)
Zardoya Otis SA		(87,677	)		(739,889	)
					(62,584,212	)
Sweden - (2.4)%
Alfa Laval AB		(163,823	)		(2,702,321	)
Assa Abloy AB, Class B		(204,752	)		(3,788,656	)
Elekta AB, Class B		(119,590	)		(1,055,812	)
Getinge AB, Class B		(171,704	)		(2,751,212	)
Hennes & Mauritz AB, Class B		(577,855	)		(16,018,784	)
Hexagon AB, Class B		(103,267	)		(3,677,951	)
Nordea Bank AB		(273,849	)		(3,034,418	)
Skandinaviska Enskilda Banken AB, Class A		(326,466	)		(3,411,633	)
Svenska Handelsbanken AB, Class A		(543,366	)		(7,525,868	)
Swedbank AB, Class A		(78,877	)		(1,900,501	)
Swedish Orphan Biovitrum AB *		(33,183	)		(387,453	)
Tele2 AB, Class B		(601,471	)		(4,809,355	)
Telefonaktiebolaget LM Ericsson, Class B		(765,537	)		(4,486,791	)
Telia Co. AB		(818,724	)		(3,288,974	)
Trelleborg AB, Class B		(25,188	)		(494,618	)
					(59,334,347	)
Switzerland - (3.7)%
Aryzta AG *		(112,029	)		(4,926,622	)
Barry Callebaut AG *		(646	)	��	(789,231	)
Chocoladefabriken Lindt & Spruengli AG		(1,056	)		(5,464,209	)
Cie Financiere Richemont SA		(219,531	)		(14,508,925	)
Credit Suisse Group AG *		(816,753	)		(11,672,244	)
DKSH Holding AG		(12,257	)		(841,355	)
Dufry AG *		(51,355	)		(6,392,363	)
Galenica AG		(2,000	)		(2,253,697	)

SHORT POSITIONS - (25.7)%	SHARES			VALUE
Switzerland - (3.7)% (continued)
Julius Baer Group Ltd. *		(92,070	)	$	(4,078,860	)
Kuehne + Nagel International AG		(6,316	)		(833,704	)
LafargeHolcim Ltd. *		(20,827	)		(1,093,253	)
Novartis AG		(63,809	)		(4,640,414	)
OC Oerlikon Corp. AG *		(243,734	)		(2,391,161	)
Roche Holding AG		(10,659	)		(2,429,746	)
Sonova Holding AG		(7,581	)		(917,223	)
Sunrise Communications Group AG *(b)		(10,866	)		(714,113	)
Swatch Group AG (The)		(51,893	)		(16,105,645	)
Swisscom AG		(28,984	)		(12,955,687	)
					(93,008,452	)
United Kingdom - (0.9)%
CNH Industrial NV		(497,402	)		(4,315,957	)
RELX NV		(144,616	)		(2,432,423	)
Unilever NV, CVA		(393,603	)		(16,168,752	)
					(22,917,132	)
United States - (0.2)%
QIAGEN NV *		(105,340	)		(2,951,979	)
Thomson Reuters Corp. (1)		(15,434	)		(675,457	)
Valeant Pharmaceuticals International, Inc. (1)*		(225,046	)		(3,263,431	)
					(6,890,867	)
TOTAL COMMON STOCKS (Proceeds $ (638,298,362))					(638,204,242	)
PREFERRED STOCKS - (0.6)%
Germany - (0.6)%
Sartorius AG		(10,588	)		(784,464	)
Schaeffler AG		(90,149	)		(1,330,258	)
Volkswagen AG		(92,254	)		(12,907,908	)
TOTAL PREFERRED STOCKS (Proceeds $ (15,281,294))					(15,022,630	)
TOTAL SHORT POSITIONS (Proceeds $ (653,579,656))					(653,226,872	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 92.4% (Cost $2,314,866,576)					2,345,267,488
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.6% (g)				194,540,158
NET ASSETS - 100.0%				$	2,539,807,646

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

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SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(103,102,394	)		(4.1	)%
Consumer Staples		17,820,215			0.7
Energy		(7,402,532	)		(0.3	)
Financials		(8,898,832	)		(0.4	)
Health Care		(8,601,905	)		(0.3	)
Industrials		111,525,727			4.4
Information Technology		341,480			0.0	(c)
Materials		97,568,371			3.9
Real Estate		(2,098,466	)		(0.1	)
Telecommunication Services		(54,251,718	)		(2.1	)
Utilities		24,309,431			1.0
Short-Term Investment		2,278,058,111			89.7
Total Investments In Securities At Value	2,345,267,488			92.4
Other Assets in Excess of Liabilities (g)		194,540,158			7.6
Net Assets	$	2,539,807,646			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $643,836,688. In addition, $1,014 of cash collateral was pledged.

(b) Securities exempt from registration under Rule 144A or section 4 (2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 12/31/2016 amounted to $7,087,268, which represents approximately 0.28% of net assets of the fund.

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

(d) Represents 7-day effective yield as of 12/31/2016.

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

(f) The rate shown was the effective yield at the date of purchase.

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

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

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

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	MSCI Singapore Index January Futures	01/2017		SGD		704,255		$ (487	)
GSIN	Swiss Market Index March Futures	03/2017		CHF		39,925,243		918,983
								$918,496

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
342	BARC	Amsterdam Index Futures		01/2017		$34,088,476		$34,783,808		$695,332
838	BARC	CAC40 Index Futures		01/2017		42,185,917		42,897,529		711,612
117	BARC	DAX Index Futures		03/2017		34,691,599		35,300,749		609,150
906	BARC	FTSE 100 Index Futures		03/2017		76,955,254		78,717,083		1,761,829
88	BARC	FTSE/MIB Index Futures		03/2017		8,665,491		8,895,103		229,612
109	BARC	Hang Seng Index Futures		01/2017		15,153,940		15,435,283		281,343
177	BARC	IBEX 35 Index Futures		01/2017		17,208,864		17,352,638		143,774
257	BARC	MSCI Singapore Index Futures		01/2017		5,702,190		5,675,420		(26,770	)
726	BARC	OMXS30 Index Futures		01/2017		12,256,624		12,104,516		(152,108	)
6,446	BARC	S&P 500 E-Mini Futures		03/2017		725,403,320		720,727,260		(4,676,060	)

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

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
168	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		$ 22,445,594		$ 22,445,045		$ (549	)
358	BARC	SPI 200 Index Futures		03/2017		35,702,472		36,369,318		666,846
782	BARC	TOPIX Index Futures		03/2017		98,838,499		101,568,000		2,729,501
						$1,129,298,240		$1,132,271,752		$2,973,512

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		18,892,000		$13,964,260		$13,610,017		$ (354,243	)
Australian Dollar, Expiring 03/15/17	JPMC	AUD		28,338,000		20,946,719		20,415,025		(531,694	)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		22,988,564		17,249,348		17,135,974		(113,374	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		34,362,846		25,782,960		25,614,510		(168,450	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		30,136,432		29,913,991		29,725,989		(188,002	)
Swiss Franc, Expiring 03/15/17	JPMC	CHF		13,193,150		13,098,884		13,013,465		(85,419	)
Danish Krone, Expiring 03/15/17	CITI	DKK		37,051,000		5,308,104		5,266,345		(41,759	)
Danish Krone, Expiring 03/15/17	JPMC	DKK		1,305,000		189,229		185,490		(3,739	)
Euro, Expiring 03/15/17	CITI	EUR		39,028,752		41,540,277		41,228,410		(311,867	)
Euro, Expiring 03/15/17	JPMC	EUR		42,184,128		44,919,471		44,561,624		(357,847	)
British Pound, Expiring 03/15/17	CITI	GBP		26,981,201		33,808,932		33,309,730		(499,202	)
British Pound, Expiring 03/15/17	JPMC	GBP		40,471,800		50,718,272		49,964,594		(753,678	)
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		45,584,400		5,882,170		5,880,088		(2,082	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		68,376,600		8,823,260		8,820,132		(3,128	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		4,850,000		1,274,159		1,261,540		(12,619	)
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		7,275,000		1,911,218		1,892,310		(18,908	)
Japanese Yen, Expiring 03/15/17	CITI	JPY		5,163,323,601		45,304,745		44,332,586		(972,159	)
Japanese Yen, Expiring 03/15/17	JPMC	JPY		7,744,985,400		67,956,086		66,498,878		(1,457,208	)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		18,399,806		2,180,533		2,131,744		(48,789	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		17,015,709		2,015,569		1,971,387		(44,182	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		453,600		321,576		314,453		(7,123	)

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

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		680,399			$ 482,363			$ 471,680			$ (10,683	)
Swedish Krona, Expiring 03/15/17	CITI	SEK		82,135,905			9,060,548			9,052,945			(7,603	)
Swedish Krona, Expiring 03/15/17	JPMC	SEK		39,188,857			4,289,698			4,319,359			29,661
Singapore Dollar, Expiring 03/15/17	CITI	SGD		5,699,085			4,002,678			3,933,999			(68,679	)
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		3,802,630			2,669,289			2,624,901			(44,388	)
							$453,614,339			$447,537,175			$ (6,077,164	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		(2,893,000	)		$ (2,171,874	)		$ (2,156,480	)		$15,394
Swiss Franc, Expiring 03/15/17	CITI	CHF		(214,000	)		(211,742	)		(211,085	)		657
Danish Krone, Expiring 03/15/17	CITI	DKK		(9,071,823	)		(1,315,696	)		(1,289,449	)		26,247
Danish Krone, Expiring 03/15/17	JPMC	DKK		(13,448,734	)		(1,950,748	)		(1,911,572	)		39,176
Euro, Expiring 03/15/17	CITI	EUR		(8,371,000	)		(8,941,877	)		(8,842,789	)		99,088
Norwegian Krone, Expiring 03/15/17	CITI	NOK		(2,155,000	)		(250,327	)		(249,672	)		655
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		(47,600	)		(33,030	)		(32,998	)		32
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		(71,400	)		(49,545	)		(49,497	)		48
Singapore Dollar, Expiring 03/15/17	CITI	SGD		(530,000	)		(366,351	)		(365,852	)		499
							(15,291,190	)		(15,109,394	)		181,796
							$438,323,149			$432,427,781			$ (5,895,368	)

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

Total Return Basket Swaps* Outstanding at December 31, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	99 months maturity 08/20/2021		$15,784,719

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Advantest Corp.		71,100	$	939,973	$	253,168
Ajinomoto Co., Inc.		82,100		1,629,647		22,416
Alfresa Holdings Corp.		143,900		2,798,252		(421,459	)
Amada Holdings Co. Ltd.		611,400		5,805,114		1,006,232
Aozora Bank Ltd.		762,000		2,277,026		415,315
Asahi Group Holdings Ltd.		67,700		2,061,847		69,695
Asahi Kasei Corp.		331,000		2,901,474		(21,352	)
Astellas Pharma, Inc.		438,100		6,268,021		(190,105	)
Bandai Namco Holdings, Inc.		301,100		7,071,927		1,215,838
Bridgestone Corp.		150,100		4,296,302		1,104,414
Chiyoda Corp.		431,000		2,670,462		304,552
Chubu Electric Power Co., Inc.		536,800		6,762,560		707,218
Citizen Watch Co. Ltd.		726,500		3,361,434		970,042
Coca-Cola West Co. Ltd.		24,100		581,074		128,400
CyberAgent, Inc.		24,600		633,910		(28,216	)
Daicel Corp.		183,100		1,943,423		69,587
Daiichi Sankyo Co. Ltd.		117,100		2,460,033		(68,941	)
Daikin Industries Ltd.		32,200		2,684,761		265,045
DeNA Co. Ltd.		354,800		8,397,120		(642,942	)
Disco Corp.		13,100		1,229,358		354,446
Ezaki Glico Co. Ltd.		44,200		2,041,704		26,955
Fuji Electric Co. Ltd.		334,000		1,336,600		388,076
Fuji Heavy Industries Ltd.		137,900		4,360,477		1,258,177
FUJIFILM Holdings Corp.		99,500		3,185,897		581,751
Fujitsu Ltd.		1,381,000		6,856,411		790,944

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Fukuoka Financial Group, Inc.		86,000	$	380,639	$	770
Gunma Bank Ltd. (The)		412,100		1,555,792		696,217
Hakuhodo DY Holdings, Inc.		286,000		2,918,875		602,696
Haseko Corp.		402,200		3,945,106		132,808
Hirose Electric Co. Ltd.		4,400		499,220		44,910
Hisamitsu Pharmaceutical Co., Inc.		24,000		1,155,416		43,312
Hitachi Capital Corp.		77,300		1,208,708		689,377
Hitachi Chemical Co. Ltd.		330,100		6,405,212		1,829,559
Hitachi Construction Machinery Co. Ltd.		113,500		2,079,854		373,890
Hitachi High-Technologies Corp.		165,100		5,579,789		1,060,606
Hitachi Metals Ltd.		58,100		561,933		220,292
Hoya Corp.		105,200		3,213,737		1,197,238
Ibiden Co. Ltd.		118,800		1,415,728		177,548
Idemitsu Kosan Co. Ltd.		238,300		4,057,706		2,263,280
Iida Group Holdings Co. Ltd.		95,900		1,526,415		291,584
Inpex Corp.		320,300		2,142,469		1,059,189
Ito En Ltd.		17,000		523,162		40,347
ITOCHU Corp.		433,000		4,791,197		942,054
Itochu Techno-Solutions Corp.		192,700		4,058,320		943,130
Japan Airlines Co. Ltd.		124,400		3,407,981		222,108
Japan Petroleum Exploration Co. Ltd.		27,300		492,082		113,145
JSR Corp.		88,100		1,048,497		338,228
JTEKT Corp.		112,100		1,360,802		426,722
JX Holdings, Inc.		903,400		2,933,126		884,119
Kajima Corp.		639,000		4,135,929		277,719
Kaken Pharmaceutical Co. Ltd.		33,000		1,960,766		(213,175	)

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Kamigumi Co. Ltd.		101,000	$	835,367	$	126,590
Kaneka Corp.		561,000		3,719,101		844,030
Kao Corp.		47,800		2,269,068		(6,461	)
KDDI Corp.		44,300		1,211,355		(92,648	)
Kewpie Corp.		47,600		1,307,766		(153,285	)
Kobayashi Pharmaceutical Co. Ltd.		20,300		832,280		34,757
Konami Holdings Corp.		191,100		6,209,391		1,503,073
Konica Minolta, Inc.		286,300		1,993,479		843,955
Kuraray Co. Ltd.		254,300		3,095,515		717,858
Kurita Water Industries Ltd.		67,400		1,309,191		173,655
Kyocera Corp.		44,800		1,859,135		362,072
Kyushu Financial Group, Inc.		227,100		1,429,492		109,225
Lion Corp.		273,000		3,935,566		539,279
Makita Corp.		8,400		534,304		26,975
Maruichi Steel Tube Ltd.		26,100		780,962		67,189
Matsumotokiyoshi Holdings Co. Ltd.		55,500		2,573,780		156,597
Mazda Motor Corp.		164,000		2,143,850		526,723
Medipal Holdings Corp.		175,700		2,558,631		209,016
MEIJI Holdings Co. Ltd.		34,800		3,086,706		(364,362	)
Miraca Holdings, Inc.		26,600		1,091,430		98,281
Mitsubishi Chemical Holdings Corp.		565,400		2,832,157		823,528
Mitsubishi Corp.		329,000		6,678,656		308,861
Mitsubishi Electric Corp.		468,000		4,755,706		1,753,783
Mitsubishi Gas Chemical Co., Inc.		343,300		4,235,287		1,614,348
Mitsubishi Motors Corp.		643,200		2,528,456		1,127,887
Mitsubishi Tanabe Pharma Corp.		283,500		4,631,655		919,247
Mitsubishi UFJ Lease & Finance Co. Ltd.		799,800		2,927,128		1,198,031
Mitsui & Co. Ltd.		81,500		852,911		263,828
Mitsui Chemicals, Inc.		1,359,000		5,421,652		667,403
Mixi, Inc.		152,300		4,748,244		801,270
Mizuho Financial Group, Inc.		1,346,600		2,413,714		2,807
MS&AD Insurance Group Holdings, Inc.		264,800		7,180,105		1,020,105
Nabtesco Corp.		31,900		796,006		(56,533	)
Nexon Co. Ltd.		177,900		2,321,712		249,155
NH Foods Ltd.		27,000		731,862		(3,495	)
NHK Spring Co. Ltd.		184,300		1,411,608		341,167
Nikon Corp.		360,700		4,434,831		1,167,001
Nippon Electric Glass Co. Ltd.		165,000		655,419		234,832
Nippon Express Co. Ltd.		1,283,000		5,808,559		1,080,213
Nippon Shinyaku Co. Ltd.		15,200		701,073		47,077
Nippon Shokubai Co. Ltd.		62,300		3,409,841		470,022

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nippon Telegraph & Telephone Corp.		153,700	$	6,435,913	$	34,113
Nissan Chemical Industries Ltd.		31,900		863,912		199,436
Nissan Motor Co. Ltd.		219,300		1,759,020		440,809
Nisshin Seifun Group, Inc.		76,400		1,076,062		68,708
Nitori Holdings Co. Ltd.		18,800		2,018,146		125,335
NSK Ltd.		54,800		409,067		223,844
NTN Corp.		223,000		624,976		274,654
NTT Data Corp.		43,000		1,863,596		213,805
Obayashi Corp.		411,200		3,574,463		351,407
Oji Holdings Corp.		93,000		378,328		(134	)
Oracle Corp. Japan		29,300		1,580,526		(106,614	)
ORIX Corp.		462,600		6,659,305		540,719
Osaka Gas Co. Ltd.		552,000		1,971,860		146,198
Otsuka Corp.		63,600		2,821,015		145,560
Park24 Co. Ltd.		14,200		385,257		(730	)
Pola Orbis Holdings, Inc.		28,700		2,532,344		(166,226	)
Recruit Holdings Co. Ltd.		21,700		741,260		128,398
Resona Holdings, Inc.		1,866,600		8,753,960		812,399
Rohm Co. Ltd.		41,800		1,689,452		708,737
Sankyo Co. Ltd.		65,600		2,101,213		13,841
SCSK Corp.		11,000		388,785		(4,939	)
Secom Co. Ltd.		15,600		997,455		142,345
Sega Sammy Holdings, Inc.		55,200		821,336		(1,062	)
Seiko Epson Corp.		273,800		4,215,786		1,564,838
Sekisui Chemical Co. Ltd.		343,100		4,588,993		872,659
Shimamura Co. Ltd.		33,800		4,026,587		187,693
Shin-Etsu Chemical Co. Ltd.		40,200		2,421,086		689,951
Shionogi & Co. Ltd.		89,200		3,876,830		386,302
Sojitz Corp.		3,571,200		7,446,473		1,199,978
Sompo Holdings, Inc.		69,000		2,342,732		(12,511	)
Square Enix Holdings Co. Ltd.		143,000		4,022,186		(355,799	)
Start Today Co. Ltd.		56,300		880,416		89,425
Sumitomo Chemical Co. Ltd.		256,000		964,277		249,247
Sumitomo Corp.		366,400		3,301,671		999,649
Sumitomo Dainippon Pharma Co. Ltd.		156,700		2,460,359		229,291
Sumitomo Electric Industries Ltd.		253,300		3,106,919		540,427
Sumitomo Heavy Industries Ltd.		835,000		4,208,714		1,152,954
Sumitomo Mitsui Financial Group, Inc.		39,700		1,363,504		148,390
Sumitomo Mitsui Trust Holdings, Inc.		144,100		4,163,048		992,665
Sumitomo Rubber Industries Ltd.		163,600		2,183,592		404,945

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Sundrug Co. Ltd.		12,700		$	991,064		$	(112,970	)
Suzuken Co. Ltd.		96,300			2,712,968			432,435
Suzuki Motor Corp.		149,500			4,080,693			1,168,085
T&D Holdings, Inc.		198,900			2,561,024			63,941
Taiheiyo Cement Corp.		834,000			2,083,944			545,363
Taisei Corp.		555,000			3,786,604			88,944
Taisho Pharmaceutical Holdings Co. Ltd.		7,700			671,069			(32,746	)
Teijin Ltd.		199,800			3,326,393			710,706
Terumo Corp.		69,200			2,448,721			102,360
THK Co. Ltd.		17,300			381,763			282
Toho Gas Co. Ltd.		122,000			946,243			44,621
Tohoku Electric Power Co., Inc.		43,600			514,150			35,469
Tokio Marine Holdings, Inc.		89,400			3,652,801			7,511
Tokyo Broadcasting System Holdings, Inc.		85,700			1,049,878			316,874
Tokyo Century Corp.		29,900			958,810			61,407
Tokyo Electron Ltd.		82,000			6,395,523			1,316,530
Tokyo Gas Co. Ltd.		641,000			2,372,271			521,293
Toppan Printing Co. Ltd.		579,000			4,443,730			1,077,152
Tosoh Corp.		1,237,000			6,529,898			2,195,884
Toyo Suisan Kaisha Ltd.		81,900			3,166,427			(203,339	)
Toyoda Gosei Co. Ltd.		99,400			1,917,047			402,869
Toyota Boshoku Corp.		204,500			4,163,213			524,759
Toyota Tsusho Corp.		187,600			3,555,976			1,320,161
Tsuruha Holdings, Inc.		24,000			2,239,746			31,677
Yamaha Corp.		73,500			2,051,263			189,941
Yamazaki Baking Co. Ltd.		97,600			2,163,776			(282,104	)
Yokogawa Electric Corp.		162,700			1,889,418			459,540
								67,587,337
Total of Long Equity Positions								67,587,337
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(10,600	)		(596,311	)		(3,349	)
Acom Co. Ltd.		(1,302,000	)		(5,427,668	)		(257,784	)
Aeon Co. Ltd.		(973,000	)		(12,464,105	)		(1,287,890	)
AEON Financial Service Co. Ltd.		(288,100	)		(5,115,569	)		12,702
Air Water, Inc.		(39,000	)		(648,524	)		(54,011	)
Alps Electric Co. Ltd.		(479,500	)		(10,505,894	)		(1,015,516	)
ANA Holdings, Inc.		(1,443,000	)		(3,460,428	)		(421,281	)
Asics Corp.		(446,000	)		(7,611,761	)		(1,276,090	)
Bank of Kyoto Ltd. (The)		(685,000	)		(4,422,721	)		(654,885	)
Benesse Holdings, Inc.		(24,400	)		(616,273	)		(54,117	)
Calbee, Inc.		(280,500	)		(9,730,393	)		956,038
Canon, Inc.		(137,400	)		(3,436,758	)		(432,726	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Casio Computer Co. Ltd.		(172,900	)	$	(2,337,912	)	$	(98,789	)
Chiba Bank Ltd. (The)		(130,000	)		(698,297	)		(98,620	)
Chugai Pharmaceutical Co. Ltd.		(210,000	)		(6,462,419	)		438,770
Chugoku Electric Power Co., Inc. (The)		(623,000	)		(6,911,625	)		(380,349	)
Concordia Financial Group Ltd.		(214,100	)		(947,626	)		(82,650	)
Credit Saison Co. Ltd.		(83,300	)		(1,207,632	)		(274,766	)
Dai-ichi Life Holdings, Inc.		(23,000	)		(381,235	)		(1,174	)
Daiwa Securities Group, Inc.		(396,000	)		(1,983,289	)		(455,171	)
Denso Corp.		(66,500	)		(2,254,731	)		(621,826	)
Dentsu, Inc.		(22,200	)		(1,005,875	)		(38,043	)
Don Quijote Holdings Co. Ltd.		(214,800	)		(7,347,492	)		(579,770	)
East Japan Railway Co.		(42,800	)		(3,409,885	)		(280,276	)
Eisai Co. Ltd.		(93,300	)		(5,028,657	)		(318,124	)
Electric Power Development Co. Ltd.		(289,400	)		(6,307,948	)		(334,235	)
FamilyMart UNY Holdings Co. Ltd.		(21,200	)		(1,184,606	)		(226,043	)
FANUC Corp.		(35,400	)		(5,498,815	)		(423,410	)
Fast Retailing Co. Ltd.		(19,600	)		(5,480,599	)		(1,517,133	)
Hamamatsu Photonics KK		(202,400	)		(5,314,013	)		(2,082	)
Hiroshima Bank Ltd. (The)		(211,000	)		(849,875	)		(133,347	)
Hokuriku Electric Power Co.		(290,100	)		(3,062,622	)		(182,157	)
Honda Motor Co. Ltd.		(211,000	)		(6,087,964	)		(72,247	)
IHI Corp.		(1,316,000	)		(3,244,348	)		(163,960	)
Isetan Mitsukoshi Holdings Ltd.		(513,700	)		(4,294,249	)		(1,237,092	)
Iyo Bank Ltd. (The)		(362,400	)		(2,255,293	)		(238,883	)
Izumi Co. Ltd.		(13,100	)		(513,919	)		(49,350	)
J Front Retailing Co. Ltd.		(195,700	)		(1,942,315	)		(692,529	)
Japan Post Bank Co. Ltd.		(170,200	)		(1,793,082	)		(246,519	)
Japan Post Holdings Co. Ltd.		(150,600	)		(1,713,436	)		(161,756	)
Japan Post Insurance Co. Ltd.		(21,200	)		(452,292	)		(1,122	)
Japan Tobacco, Inc.		(11,800	)		(393,963	)		6,644
JFE Holdings, Inc.		(267,800	)		(3,164,659	)		(885,127	)
JGC Corp.		(135,100	)		(2,089,297	)		(358,216	)
Kakaku.com, Inc.		(229,700	)		(3,674,175	)		(121,183	)
Kansai Electric Power Co., Inc. (The)		(334,400	)		(2,650,857	)		(994,657	)
Kansai Paint Co. Ltd.		(41,700	)		(774,661	)		7,645
Kawasaki Heavy Industries Ltd.		(754,000	)		(2,468,979	)		108,834

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

AQR Funds Annual Report December 2016

113

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Keihan Holdings Co. Ltd.		(259,000	)	$	(1,594,589	)	$	(104,300	)
Keikyu Corp.		(571,000	)		(5,121,759	)		(1,492,236	)
Keio Corp.		(383,000	)		(3,028,952	)		(117,083	)
Keisei Electric Railway Co. Ltd.		(60,200	)		(1,368,634	)		(89,042	)
Keyence Corp.		(2,300	)		(1,426,237	)		(147,537	)
Kikkoman Corp.		(104,000	)		(3,115,219	)		(203,032	)
Kintetsu Group Holdings Co. Ltd.		(1,047,000	)		(3,833,720	)		(156,069	)
Kirin Holdings Co. Ltd.		(246,700	)		(3,653,520	)		(350,723	)
Kobe Steel Ltd.		(808,000	)		(6,268,290	)		(1,414,328	)
Koito Manufacturing Co. Ltd.		(10,400	)		(428,921	)		(120,303	)
Kose Corp.		(9,900	)		(820,927	)		136
Kubota Corp.		(44,400	)		(613,133	)		(19,603	)
Kyowa Hakko Kirin Co. Ltd.		(94,700	)		(1,376,039	)		69,807
Kyushu Electric Power Co., Inc.		(572,600	)		(4,796,851	)		(1,406,394	)
LIXIL Group Corp.		(42,100	)		(953,738	)		(470	)
M3, Inc.		(23,600	)		(648,839	)		55,511
Mabuchi Motor Co. Ltd.		(74,800	)		(2,950,195	)		(936,718	)
Marubeni Corp.		(103,400	)		(436,859	)		(147,979	)
Marui Group Co. Ltd.		(565,200	)		(7,206,219	)		(1,028,537	)
Minebea Co. Ltd.		(359,600	)		(2,687,377	)		(668,130	)
MISUMI Group, Inc.		(114,900	)		(1,855,398	)		(32,031	)
Mitsubishi Heavy Industries Ltd.		(1,104,000	)		(4,502,462	)		(516,371	)
Mitsubishi Logistics Corp.		(306,000	)		(3,790,877	)		(523,210	)
Mitsubishi Materials Corp.		(28,500	)		(640,465	)		(231,270	)
Mitsubishi UFJ Financial Group, Inc.		(62,200	)		(381,905	)		(1,702	)
Mitsui OSK Lines Ltd.		(1,413,000	)		(2,573,829	)		(1,326,147	)
MonotaRO Co. Ltd.		(122,700	)		(2,736,364	)		234,335
Murata Manufacturing Co. Ltd.		(39,800	)		(4,798,653	)		(516,108	)
Nagoya Railroad Co. Ltd.		(497,000	)		(2,412,064	)		12,451
Nankai Electric Railway Co. Ltd.		(307,000	)		(1,373,396	)		(182,074	)
NGK Insulators Ltd.		(79,300	)		(1,686,618	)		151,618
NGK Spark Plug Co. Ltd.		(460,700	)		(7,488,743	)		(2,722,558	)
Nidec Corp.		(90,500	)		(7,165,788	)		(625,418	)
Nintendo Co. Ltd.		(6,800	)		(1,174,860	)		(238,693	)
Nippon Paint Holdings Co. Ltd.		(82,200	)		(1,970,401	)		(260,897	)
Nippon Yusen KK		(3,068,000	)		(5,277,117	)		(404,474	)
Nissin Foods Holdings Co. Ltd.		(14,100	)		(722,587	)		(17,011	)
Nitto Denko Corp.		(5,000	)		(383,339	)		533
Nomura Holdings, Inc.		(165,300	)		(641,010	)		(336,270	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Obic Co. Ltd.		(16,600	)	$	(753,304	)	$	29,279
Odakyu Electric Railway Co. Ltd.		(376,000	)		(7,570,679	)		140,932
Olympus Corp.		(62,400	)		(2,154,035	)		4,059
Omron Corp.		(67,600	)		(2,082,818	)		(500,514	)
Ono Pharmaceutical Co. Ltd.		(230,100	)		(5,488,024	)		473,080
Orient Corp.		(525,800	)		(912,583	)		(40,997	)
Oriental Land Co. Ltd.		(120,200	)		(6,529,128	)		(255,160	)
Pigeon Corp.		(342,300	)		(7,595,204	)		(1,132,816	)
Rakuten, Inc.		(1,069,400	)		(10,981,644	)		503,826
Ricoh Co. Ltd.		(980,500	)		(7,728,203	)		(554,851	)
Rinnai Corp.		(10,900	)		(946,256	)		69,203
Ryohin Keikaku Co. Ltd.		(27,600	)		(5,277,480	)		(124,760	)
Santen Pharmaceutical Co. Ltd.		(78,400	)		(952,511	)		(4,072	)
Sawai Pharmaceutical Co. Ltd.		(12,500	)		(759,597	)		89,545
Seibu Holdings, Inc.		(503,300	)		(7,783,624	)		(1,227,405	)
Seven & i Holdings Co. Ltd.		(79,200	)		(3,007,982	)		(3,929	)
Seven Bank Ltd.		(1,920,100	)		(5,560,699	)		70,412
Sharp Corp.		(817,000	)		(1,731,540	)		(158,805	)
Shikoku Electric Power Co., Inc.		(533,700	)		(4,826,347	)		(566,897	)
Shimano, Inc.		(62,900	)		(8,671,003	)		(1,181,201	)
Shimizu Corp.		(176,000	)		(1,463,460	)		(143,063	)
Shiseido Co. Ltd.		(90,700	)		(2,269,280	)		(23,072	)
Shizuoka Bank Ltd. (The)		(240,000	)		(1,770,095	)		(244,114	)
SoftBank Group Corp.		(24,100	)		(1,326,027	)		(268,768	)
Sohgo Security Services Co. Ltd.		(47,400	)		(2,048,960	)		229,572
Sony Corp.		(95,100	)		(2,668,690	)		11,411
Sony Financial Holdings, Inc.		(617,900	)		(7,500,334	)		(2,131,759	)
Sosei Group Corp.		(21,100	)		(2,936,772	)		520,852
Stanley Electric Co. Ltd.		(42,200	)		(883,857	)		(265,785	)
Sumco Corp.		(421,600	)		(2,771,314	)		(2,648,920	)
Sumitomo Metal Mining Co. Ltd.		(105,000	)		(1,079,820	)		(259,738	)
Suntory Beverage & Food Ltd.		(23,400	)		(915,359	)		(53,907	)
Suruga Bank Ltd.		(33,500	)		(667,835	)		(80,136	)
Sysmex Corp.		(26,900	)		(1,549,752	)		(4,516	)
Taiyo Nippon Sanso Corp.		(133,100	)		(1,236,842	)		(300,740	)
Takeda Pharmaceutical Co. Ltd.		(110,500	)		(4,318,039	)		(266,169	)
Tobu Railway Co. Ltd.		(583,000	)		(2,656,264	)		(233,889	)
Tokyo Electric Power Co. Holdings, Inc.		(550,800	)		(2,234,228	)		17,419
Tokyu Corp.		(214,000	)		(1,510,123	)		(60,245	)
Toray Industries, Inc.		(189,000	)		(1,591,906	)		65,630

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

AQR Funds Annual Report December 2016

114

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
TOTO Ltd.		(13,700	)	$	(485,325	)	$	(55,805	)
Toyota Industries Corp.		(157,000	)		(6,221,105	)		(1,243,501	)
Toyota Motor Corp.		(61,500	)		(3,065,357	)		(540,290	)
Trend Micro, Inc.		(109,200	)		(3,594,639	)		(281,277	)
Unicharm Corp.		(373,200	)		(6,623,872	)		(1,526,917	)
USS Co. Ltd.		(43,600	)		(656,382	)		(36,238	)
Welcia Holdings Co. Ltd.		(7,300	)		(440,304	)		(4,015	)
Yahoo Japan Corp.		(844,400	)	��	(3,188,481	)		(45,539	)
Yakult Honsha Co. Ltd.		(204,600	)		(8,579,737	)		(886,370	)
Yamada Denki Co. Ltd.		(130,700	)		(593,427	)		(110,321	)
Yamaha Motor Co. Ltd.		(347,500	)		(5,327,964	)		(2,292,386	)
Yamato Holdings Co. Ltd.		(129,800	)		(2,847,155	)		215,977
Yaskawa Electric Corp.		(297,300	)		(3,625,629	)		(983,992	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Yokohama Rubber Co. Ltd. (The)		(31,400	)	$	(353,760	)	$	(207,523	)
								(49,519,154	)
Total of Short Equity Positions								(49,519,154	)
Total of Long and Short Equity Positions								18,068,183
Net Cash and Other Receivables/ (Payables) (b)								(2,283,464	)
Swaps, at Value							$	15,784,719

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	50 months maturity 08/21/2017		$1,076,322

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		43,403	$	574,220	$	47,187
India
Vedanta Resources plc		85,118		574,934		338,475
Isle of Man
Paysafe Group plc		554,565		2,723,813		(190,234	)
Luxembourg
B&M European Value Retail SA		118,550		343,769		62,406

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
South Africa
Investec plc		291,553	$	1,829,093	$	83,086
Switzerland
Coca-Cola HBC AG		118,522		2,292,851		287,997
Glencore plc		1,445,815		4,785,334		99,908
IWG plc		154,400		558,644		(91,612	)
Wolseley plc		6,294		384,139		86
					296,379
United Kingdom
Aberdeen Asset Management plc		168,935		536,362		(2,225	)

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

AQR Funds Annual Report December 2016

115

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Amec Foster Wheeler plc		497,134	$	2,654,911	$	215,815
Anglo American plc		140,556		1,485,764		500,130
ASOS plc		63,517		3,544,045		336,714
Auto Trader Group plc		113,217		539,063		30,138
BAE Systems plc		72,421		467,158		59,600
Barclays plc		552,342		1,127,306		388,512
Barratt Developments plc		1,831,482		10,293,286		118,898
Bellway plc		195,764		5,323,573		643,846
Berkeley Group Holdings plc		99,171		3,449,787		(21,560	)
BP plc		453,502		2,376,928		463,550
Britvic plc		154,914		1,174,169		(92,502	)
BT Group plc		1,201,710		5,714,500		(289,618	)
Burberry Group plc		21,019		385,912		1,445
Centrica plc		1,923,566		5,431,954		108,002
Close Brothers Group plc		98,481		1,617,879		131,209
Compass Group plc		45,480		836,267		4,274
Daily Mail & General Trust plc		85,429		752,731		65,363
DCC plc		42,595		3,529,008		(362,877	)
Direct Line Insurance Group plc		462,929		2,039,842		67,017
Dixons Carphone plc		783,512		3,342,362		79,616
GKN plc		868,168		3,354,378		184,184
GlaxoSmithKline plc		135,941		2,782,687	��	(171,464	)
Greene King plc		99,445		919,857		(65,347	)
Howden Joinery Group plc		405,570		2,031,052		(117,161	)
HSBC Holdings plc		459,989		3,698,740		12,734
Imperial Brands plc		74,966		3,733,931		(466,873	)
Inchcape plc		216,024		1,794,134		72,737
Indivior plc		457,895		1,734,293		(65,887	)
InterContinental Hotels Group plc		17,600		679,922		107,046
Intermediate Capital Group plc		210,372		1,615,717		195,492
International Consolidated Airlines Group SA		100,001		538,783		3,063
J Sainsbury plc		309,347		953,270		(2,508	)
John Wood Group plc		398,822		3,213,823		1,092,838
Johnson Matthey plc		57,873		2,375,403		(110,992	)
Kingfisher plc		868,299		3,773,318		(32,348	)
Lloyds Banking Group plc		5,133,465		3,582,630		359,243
Man Group plc		305,934		472,236		(27,102	)
Marks & Spencer Group plc		423,196		1,711,181		111,815
Micro Focus International plc		127,720		3,238,238		191,817
National Grid plc		203,192		2,717,514		(343,470	)
Persimmon plc		393,471		8,298,940		285,669
Petrofac Ltd.		360,735		3,349,599		510,845

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Playtech plc		54,814		$	555,310		$	2,359
Reckitt Benckiser Group plc		65,685			5,942,025			(377,981	)
Rentokil Initial plc		307,809			815,366			26,732
Royal Mail plc		1,525,438			9,345,412			(674,228	)
RPC Group plc		54,120			666,005			43,407
Sage Group plc (The)		247,120			2,226,398			(234,357	)
Severn Trent plc		146,383			4,415,700			(415,230	)
Sky plc		32,219			322,165			70,615
Smiths Group plc		217,609			3,356,020			431,926
SSE plc		138,420			2,593,201			49,800
Stagecoach Group plc		198,662			514,901			13,897
Tate & Lyle plc		430,153			3,811,719			(68,250	)
Taylor Wimpey plc		4,051,846			7,525,080			117,040
Thomas Cook Group plc		475,096			434,986			75,352
UBM plc		64,778			575,918			7,167
WH Smith plc		48,804			910,996			24,129
William Hill plc		1,534,335			6,019,004			(538,748	)
Wm Morrison Supermarkets plc		2,344,505			5,851,819			807,238
WPP plc		329,991			7,243,913			99,516
							3,630,062
Total of Long Equity Positions								4,267,361
Short Positions
Common Stocks
Australia
BHP Billiton plc		(350,921	)		(5,260,040	)		(327,683	)
Chile
Antofagasta plc		(790,082	)		(5,546,824	)		(994,782	)
Jordan
Hikma Pharmaceuticals plc		(133,782	)		(3,014,998	)		(103,153	)
Netherlands
Royal Dutch Shell plc		(424,071	)		(10,125,635	)		(1,580,225	)
South Africa
Mediclinic International plc		(226,370	)		(2,181,016	)		30,750
United Kingdom
Admiral Group plc		(126,038	)		(3,362,727	)		528,249
Aggreko plc		(366,644	)		(4,355,973	)		217,150
Ashtead Group plc		(219,508	)		(3,204,932	)		(1,062,387	)
Associated British Foods plc		(174,313	)		(5,918,409	)		36,727
AstraZeneca plc		(149,599	)		(8,778,199	)		608,933
Aviva plc		(685,291	)		(3,351,853	)		(730,172	)
Balfour Beatty plc		(474,101	)		(1,337,806	)		(227,846	)
Booker Group plc		(568,895	)		(1,227,023	)		(2,697	)
British American Tobacco plc		(183,042	)		(10,905,902	)		531,919
BTG plc		(401,555	)		(3,227,408	)		311,328

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

AQR Funds Annual Report December 2016

116

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Bunzl plc		(109,839	)	$	(3,218,893	)	$	367,328
Capita plc		(900,764	)		(8,843,726	)		2,954,000
Cobham plc		(1,573,451	)		(3,106,571	)		(61,483	)
Croda International plc		(23,617	)		(973,241	)		44,394
Diageo plc		(124,066	)		(3,205,133	)		(14,361	)
easyJet plc		(289,544	)		(3,840,021	)		258,528
Essentra plc		(233,117	)		(1,353,336	)		29,729
Halma plc		(141,745	)		(1,841,421	)		273,227
Hargreaves Lansdown plc		(406,122	)		(6,331,596	)		288,347
Hays plc		(623,646	)		(934,069	)		(210,270	)
Henderson Group plc		(199,164	)		(572,020	)		(2,805	)
Hiscox Ltd.		(42,663	)		(549,992	)		15,396
IMI plc		(115,820	)		(1,493,818	)		12,620
Inmarsat plc		(509,296	)		(4,686,924	)		(25,389	)
ITV plc		(152,900	)		(385,912	)		(2,302	)
Just Eat plc		(326,151	)		(2,247,147	)		(96,421	)
Legal & General Group plc		(417,517	)		(1,100,585	)		(171,329	)
Merlin Entertainments plc		(503,560	)		(2,925,061	)		145,161
NEX Group plc		(43,511	)		(424,357	)		175,279
Next plc		(47,471	)		(3,082,559	)		170,419
Old Mutual plc		(568,448	)		(1,464,407	)		14,881
Pearson plc		(132,337	)		(1,232,049	)		(95,772	)
Pennon Group plc		(392,081	)		(4,114,228	)		123,737
Provident Financial plc		(100,862	)		(3,376,705	)		(150,678	)
Prudential plc		(242,081	)		(4,059,145	)		(772,182	)
Rio Tinto plc		(77,017	)		(2,690,942	)		(249,413	)
Rolls-Royce Holdings plc (LSE)		(560,084	)		(5,485,737	)		885,486
Rolls-Royce Holdings plc (c)		(25,763,864	)		(192	)		(31,559	)
Rotork plc		(750,873	)		(2,005,998	)		(222,300	)
Royal Bank of Scotland Group plc		(2,519,474	)		(5,723,208	)		(1,238,490	)
RSA Insurance Group plc		(65,791	)		(409,432	)		(65,007	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Schroders plc		(65,192	)	$	(2,114,939	)	$	(279,430	)
Smith & Nephew plc		(117,263	)		(1,808,560	)		48,534
Spectris plc		(33,318	)		(773,112	)		(176,280	)
St. James’s Place plc		(409,517	)		(4,689,771	)		(418,454	)
Standard Chartered plc		(307,783	)		(2,301,619	)		(208,327	)
Standard Life plc		(354,082	)		(1,332,469	)		(288,940	)
Tesco plc		(2,479,809	)		(4,921,712	)		(1,401,302	)
TP ICAP plc		(35,557	)		—			(189,104	)
Travis Perkins plc		(104,262	)		(2,029,801	)		165,992
United Utilities Group plc		(189,697	)		(2,205,621	)		102,963
Vodafone Group plc		(2,145,295	)		(5,962,336	)		683,023
Weir Group plc (The)		(98,342	)		(1,947,798	)		(337,593	)
Whitbread plc		(78,262	)		(3,644,828	)		4,222
Worldpay Group plc		(206,063	)		(754,713	)		70,565
							335,844
United States
Shire plc		(77,682	)		(4,700,268	)		264,685
Total of Short Equity Positions								(2,374,564	)
Total of Long and Short Equity Positions								1,892,797
Net Cash and Other Receivables/ (Payables) (b)								(816,475	)
Swaps, at Value							$	1,076,322

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

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

AQR Funds Annual Report December 2016

117

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	61 months maturity 09/21/2021		$3,986,978

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Adelaide Brighton Ltd.		114,472		$	448,216		$	(464	)
AGL Energy Ltd.		439,223			5,491,060			1,497,177
Amcor Ltd.		62,482			680,161			(7,679	)
Ansell Ltd.		50,459			792,870			104,942
Aristocrat Leisure Ltd.		96,408			1,105,888			(30,302	)
Aurizon Holdings Ltd.		1,173,474			3,667,365			599,172
Boral Ltd.		481,713			2,202,772			(327,425	)
Caltex Australia Ltd.		267,879			6,268,512			(395,090	)
CIMIC Group Ltd.		195,489			3,852,375			1,066,349
Coca-Cola Amatil Ltd.		621,575			4,402,337			130,789
Cochlear Ltd.		10,315			1,022,758			(112,350	)
Flight Centre Travel Group Ltd.		29,185			740,335			(82,604	)
Fortescue Metals Group Ltd.		1,227,367			4,502,563			626,606
Harvey Norman Holdings Ltd.		372,729			1,380,053			1,000
Newcrest Mining Ltd.		239,191			3,736,428			(306,655	)
Origin Energy Ltd.		503,103			1,754,155			626,152
Qantas Airways Ltd.		400,271			924,359			34,503
South32 Ltd.		1,393,095			2,784,005			(41,625	)
Star Entertainment Group Ltd. (The)		394,376			1,697,608			(229,877	)
Tabcorp Holdings Ltd.		222,757			794,520			(22,779	)
Treasury Wine Estates Ltd.		585,231			4,648,952			(146,990	)
Woodside Petroleum Ltd.		134,729			2,619,244			398,453
							3,381,303
Total of Long Equity Positions								3,381,303
Short Positions
Common Stocks
Australia
ALS Ltd.		(95,678	)		(373,343	)		(42,412	)
Alumina Ltd.		(2,134,500	)		(2,132,022	)		(659,038	)
AMP Ltd.		(1,230,175	)		(4,789,928	)		328,276
APA Group		(1,008,694	)		(6,212,190	)		(14,790	)
AusNet Services		(579,027	)		(672,144	)		12,980
Bank of Queensland Ltd.		(116,967	)		(914,962	)		(84,642	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
Brambles Ltd.		(194,219	)	$	(1,642,931	)	$	(90,295	)
Challenger Ltd.		(171,259	)		(1,178,014	)		(205,743	)
Commonwealth Bank of Australia		(12,477	)		(646,927	)		(93,260	)
Computershare Ltd.		(380,851	)		(2,723,838	)		(693,184	)
Crown Resorts Ltd.		(63,523	)		(591,400	)		61,978
CSL Ltd.		(35,409	)		(2,609,372	)		48,600
Domino’s Pizza Enterprises Ltd.		(22,615	)		(1,187,115	)		129,563
Healthscope Ltd.		(1,991,153	)		(4,296,931	)		1,014,614
Insurance Australia Group Ltd.		(981,024	)		(3,764,592	)		(465,905	)
Platinum Asset Management Ltd.		(353,610	)		(1,303,585	)		(40,223	)
Ramsay Health Care Ltd.		(67,222	)		(3,808,291	)		503,212
REA Group Ltd.		(62,870	)		(2,487,133	)		(11,327	)
SEEK Ltd.		(699,873	)		(7,777,048	)		281,306
Sonic Healthcare Ltd.		(224,967	)		(3,373,347	)		(88,891	)
Suncorp Group Ltd.		(55,257	)		(509,578	)		(28,467	)
Sydney Airport		(237,587	)		(1,047,405	)		21,874
TPG Telecom Ltd.		(196,564	)		(1,024,855	)		59,889
Transurban Group		(315,797	)		(2,407,244	)		56,988
Vocus Communications Ltd.		(497,161	)		(2,407,972	)		1,023,513
Woolworths Ltd.		(56,856	)		(922,498	)		(64,388	)
							960,228
Total of Short Equity Positions								960,228
Total of Long and Short Equity Positions								4,341,531
Net Cash and Other Receivables/ (Payables) (b)								(354,553	)
Swaps, at Value							$3,986,978

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

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

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

AQR Funds Annual Report December 2016

118

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	51 months maturity 09/20/2017		$(3,150,302	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
BOC Hong Kong Holdings Ltd.		299,000		$	981,305		$	83,601
Cheung Kong Property Holdings Ltd.		313,500			2,277,584			(363,041	)
CLP Holdings Ltd.		505,500			5,255,099			(619,217	)
HKT Trust & HKT Ltd.		1,627,000			2,508,755			(515,920	)
Kerry Properties Ltd.		764,000			2,129,978			(63,949	)
Li & Fung Ltd.		2,116,000			1,059,713			(132,357	)
New World Development Co. Ltd.		2,396,000			2,786,790			(262,347	)
Power Assets Holdings Ltd.		58,000			547,777			(37,546	)
Sino Land Co. Ltd.		1,088,000			1,941,655			(319,394	)
SJM Holdings Ltd.		1,263,000			788,279			197,283
Sun Hung Kai Properties Ltd.		235,000			3,419,934			(460,701	)
Swire Properties Ltd.		168,000			470,903			(8,417	)
VTech Holdings Ltd.		51,900			569,601			123,281
WH Group Ltd.		7,236,500			5,704,899			128,422
Wharf Holdings Ltd. (The)		148,000			1,050,857			(70,508	)
Wheelock & Co. Ltd.		474,000			2,601,664			58,541
Xinyi Glass Holdings Ltd.		3,402,000			2,767,052			4,480
Yue Yuen Industrial Holdings Ltd.		986,000			4,015,958			(441,995	)
							(2,699,784)
Total of Long Equity Positions								(2,699,784	)
Short Positions
Common Stocks
Hong Kong
AIA Group Ltd.		(570,400	)		(3,516,075	)		320,785
ASM Pacific Technology Ltd.		(235,000	)		(1,763,016	)		(722,202	)
Cathay Pacific Airways Ltd.		(2,625,000	)		(3,957,129	)		512,233
CK Hutchison Holdings Ltd.		(109,500	)		(1,289,039	)		52,953
Galaxy Entertainment Group Ltd.		(114,000	)		(389,557	)		(104,191	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Haitong International Securities Group Ltd.		(1,117,000	)	$	(690,642	)	$	53,928
Hang Lung Properties Ltd.		(1,815,881	)		(3,972,134	)		143,077
Hang Seng Bank Ltd.		(21,100	)		(381,330	)		(9,961	)
Hong Kong & China Gas Co. Ltd.		(4,679,832	)		(8,693,249	)		427,764
Hysan Development Co. Ltd.		(242,000	)		(1,128,003	)		129,985
MTR Corp. Ltd.		(695,774	)		(3,896,481	)		523,206
Sands China Ltd.		(133,200	)		(522,825	)		(51,823	)
Swire Pacific Ltd.		(53,500	)		(571,235	)		62,141
Techtronic Industries Co. Ltd.		(106,000	)		(377,478	)		(1,840	)
Value Partners Group Ltd.		(2,712,000	)		(2,343,982	)		201,628
							1,537,683
Macau
MGM China Holdings Ltd.		(1,152,800	)		(1,670,897	)		(710,369	)
Wynn Macau Ltd.		(2,237,200	)		(3,567,018	)		30,405
							(679,964)
United States
Samsonite International SA		(186,300	)		(593,655	)		63,337
Total of Short Equity Positions								921,056
Total of Long and Short Equity Positions								(1,778,728	)
Net Cash and Other Receivables/ (Payables) (b)								(1,371,574	)
Swaps, at Value							$	(3,150,302	)

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

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

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

AQR Funds Annual Report December 2016

119

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

Total Return Basket Swaps* Outstanding at December 31, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	48-54 months maturity 12/22/2020		$75,669,965

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Panama
Copa Holdings SA		4,149	$	377,738	$	(885	)
United States
3M Co.		14,453		2,597,941		(17,069	)
Aaron’s, Inc.		17,341		478,959		75,780
ABIOMED, Inc.		6,833		825,837		(55,894	)
Accenture plc		22,609		2,588,653		59,539
Activision Blizzard, Inc.		138,595		5,615,751		(611,086	)
Adobe Systems, Inc.		39,161		4,125,595		(93,970	)
Advanced Micro Devices, Inc.		256,231		1,979,326		926,333
AdvanSix, Inc.		25,488		512,603		51,701
Aetna, Inc.		140,176		16,428,681		954,545
Aflac, Inc.		233,210		16,597,126		(365,710	)
AGCO Corp.		63,237		3,135,125		523,768
Agilent Technologies, Inc.		200,555		9,230,167		(92,881	)
Air Products & Chemicals, Inc.		9,287		1,241,466		94,190
Akamai Technologies, Inc.		111,752		6,720,171		731,452
Albemarle Corp.		11,199		936,511		27,498
Align Technology, Inc.		31,580		2,814,922		220,863
Allstate Corp. (The)		174,961		12,034,226		933,883
Alphabet, Inc.		7,904		6,034,920		228,605
Altria Group, Inc.		15,661		1,077,967		(18,970	)
Amazon.com, Inc.		3,330		2,602,259		(105,192	)
AMC Networks, Inc.		55,627		2,790,517		121,000
Amdocs Ltd.		99,153		5,753,597		22,065
Ameren Corp.		287,820		14,848,104		250,934
American Eagle Outfitters, Inc.		242,692		4,242,009		(560,372	)
American Electric Power Co., Inc.		188,057		12,489,014		(648,945	)
American Financial Group, Inc.		47,935		3,481,708		742,325

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
American International Group, Inc.		110,165	$	6,157,465	$	1,037,411
American Water Works Co., Inc.		113,256		8,927,119		(731,914	)
Ameriprise Financial, Inc.		72,437		6,871,551		1,164,610
Amgen, Inc.		25,948		4,232,312		(438,455	)
Anadarko Petroleum Corp.		29,432		1,787,319		264,975
Antero Resources Corp.		103,097		2,734,053		(295,809	)
Anthem, Inc.		113,018		14,867,249		1,381,349
AO Smith Corp.		208,203		9,664,044		194,368
Apple, Inc.		51,971		5,631,088		388,193
Applied Materials, Inc.		591,570		16,665,250		2,424,713
Archer-Daniels-Midland Co.		137,279		6,050,343		216,444
Arrow Electronics, Inc.		148,222		9,747,041		821,188
Aspen Insurance Holdings Ltd.		48,186		2,211,043		439,187
Assurant, Inc.		40,891		3,468,097		329,041
Assured Guaranty Ltd.		354,937		10,533,564		2,872,406
AT&T, Inc.		69,106		2,536,093		402,985
Atmos Energy Corp.		21,201		1,588,246		(16,192	)
Avery Dennison Corp.		185,179		13,718,819		(715,550	)
Avnet, Inc.		160,353		6,553,391		1,081,015
Axis Capital Holdings Ltd.		59,316		3,181,418		690,137
BancorpSouth, Inc.		63,581		1,539,437		434,753
Bank of America Corp.		1,007,500		20,749,493		1,516,257
Bank of New York Mellon Corp. (The)		8,091		383,690		(338	)
Baxter International, Inc.		343,615		16,312,828		(1,076,939	)
BB&T Corp.		8,175		383,966		422
Belden, Inc.		24,451		1,770,038		58,163
Bemis Co., Inc.		149,894		7,720,672		(552,741	)
Best Buy Co., Inc.		306,465		11,055,850		2,021,011

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

AQR Funds Annual Report December 2016

120

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Big Lots, Inc.		106,372	$	5,748,837	$	(407,898	)
Biogen, Inc.		31,816		8,993,434		28,947
BlackRock, Inc.		4,409		1,507,020		170,781
Boeing Co. (The)		27,339		3,664,913		591,223
Booz Allen Hamilton Holding Corp.		146,067		4,706,264		562,373
Boston Beer Co., Inc. (The)		3,085		485,314		38,673
Boston Scientific Corp.		219,130		5,174,815		(435,033	)
Brinker International, Inc.		41,217		2,022,022		19,456
Broadridge Financial Solutions, Inc.		85,122		5,684,820		(41,231	)
Brocade Communications Systems, Inc.		872,705		8,285,036		2,615,049
Bruker Corp.		393,559		9,367,187		(1,031,607	)
Brunswick Corp.		162,900		7,666,884		1,217,682
Buffalo Wild Wings, Inc.		2,412		373,836		(1,423	)
Burlington Stores, Inc.		105,256		8,423,180		497,266
BWX Technologies, Inc.		205,276		7,555,508		593,949
CA, Inc.		229,083		7,730,847		(452,880	)
Cable One, Inc.		609		378,424		209
Cabot Corp.		111,781		5,692,460		(43,048	)
Cabot Oil & Gas Corp.		50,483		1,046,586		132,697
Cadence Design Systems, Inc.		141,617		3,618,555		(46,974	)
Campbell Soup Co.		83,505		4,709,527		340,021
Capital One Financial Corp.		39,804		2,803,470		669,031
Cardinal Health, Inc.		11,895		947,648		(91,565	)
Carlisle Cos., Inc.		114,325		12,160,707		448,197
Carter’s, Inc.		61,489		6,561,683		(1,249,648	)
CDK Global, Inc.		11,920		668,404		43,100
CDW Corp.		108,859		4,657,142		1,013,323
Celanese Corp.		93,610		6,481,460		889,391
Celgene Corp.		28,910		3,065,949		280,384
Centene Corp.		20,733		1,171,696		(75	)
CenterPoint Energy, Inc.		316,438		7,397,363		399,669
CenturyLink, Inc.		128,727		3,909,471		(848,343	)
Charles River Laboratories International, Inc.		60,456		5,147,828		(541,686	)
Cheesecake Factory, Inc. (The)		51,009		2,632,288		422,131
Chemical Financial Corp.		7,095		384,718		(382	)
Chico’s FAS, Inc.		190,641		2,384,731		358,593
Choice Hotels International, Inc.		9,784		504,149		44,244
Church & Dwight Co., Inc.		39,273		1,952,443		(216,969	)
Cinemark Holdings, Inc.		10,023		384,563		(80	)
Cintas Corp.		53,189		5,519,001		627,520
Cirrus Logic, Inc.		105,162		5,820,800		125,059

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cisco Systems, Inc.		342,707	$	10,367,199	$	(10,594	)
Citigroup, Inc.		72,923		3,265,970		1,067,844
Citizens Financial Group, Inc.		274,771		8,674,318		1,115,773
Citrix Systems, Inc.		58,546		5,041,633		187,110
CME Group, Inc.		3,305		380,926		306
CNO Financial Group, Inc.		130,340		2,467,016		28,995
Coach, Inc.		25,939		1,017,849		(109,465	)
Comcast Corp.		122,665		7,926,927		543,091
Comerica, Inc.		69,887		3,446,557		1,313,446
Commerce Bancshares, Inc.		73,373		3,574,500		667,194
Commercial Metals Co.		329,908		5,794,793		1,390,604
CommScope Holding Co., Inc.		21,680		801,431		5,065
CommVault Systems, Inc.		11,004		588,878		(23,272	)
Computer Sciences Corp.		34,595		1,716,263		339,372
Conagra Brands, Inc.		54,066		2,567,840		(429,529	)
ConocoPhillips		139,343		5,664,783		1,321,875
CONSOL Energy, Inc.		290,910		5,824,909		(521,620	)
Consolidated Edison, Inc.		165,445		12,799,670		(609,683	)
Constellation Brands, Inc.		30,207		4,584,558		46,477
Convergys Corp.		164,620		4,534,578		(491,511	)
CoreLogic, Inc.		64,878		2,532,040		(142,583	)
Corning, Inc.		340,676		7,867,281		400,926
CR Bard, Inc.		10,691		2,468,615		(66,775	)
Cracker Barrel Old Country Store, Inc.		2,265		379,120		(910	)
Crane Co.		82,880		5,534,600		442,705
Crown Holdings, Inc.		132,173		7,057,008		(108,673	)
CSX Corp.		224,107		6,674,023		1,378,142
Cummins, Inc.		137,860		17,694,349		1,146,977
Curtiss-Wright Corp.		59,665		5,661,383		207,266
CVS Health Corp.		4,826		380,409		410
Dana, Inc.		303,916		3,899,126		1,869,200
Danaher Corp.		67,907		5,334,796		(48,915	)
Darden Restaurants, Inc.		49,666		3,107,083		504,628
Dean Foods Co.		179,913		3,310,783		607,722
Delta Air Lines, Inc.		284,455		12,588,653		1,403,688
Deluxe Corp.		34,263		2,279,211		174,362
DeVry Education Group, Inc.		120,502		3,035,521		724,142
Diamond Offshore Drilling, Inc.		138,842		2,832,652		(375,149	)
Dick’s Sporting Goods, Inc.		98,015		5,286,906		(82,309	)
Dillard’s, Inc.		51,290		3,353,209		(137,839	)
Discover Financial Services		74,778		4,307,183		1,083,563
Dolby Laboratories, Inc.		113,804		5,493,386		(350,583	)

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

AQR Funds Annual Report December 2016

121

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dollar General Corp.		7,741	$	707,931	$	(134,556	)
Domino’s Pizza, Inc.		9,159		1,307,897		150,582
Domtar Corp.		58,871		2,135,718		162,017
Dover Corp.		51,896		3,719,289		169,279
Dow Chemical Co. (The)		68,994		3,698,764		249,073
DR Horton, Inc.		262,740		8,154,024		(973,339	)
Dr. Pepper Snapple Group, Inc.		67,471		6,519,048		(401,452	)
Dril-Quip, Inc.		66,785		3,511,249		499,190
DST Systems, Inc.		52,846		5,844,766		(182,317	)
DTE Energy Co.		110,635		10,622,630		276,024
Dun & Bradstreet Corp. (The)		21,780		2,789,743		(147,394	)
E*TRADE Financial Corp.		127,111		4,428,232		(23,836	)
Eagle Materials, Inc.		20,168		1,862,687		124,466
East West Bancorp, Inc.		7,540		384,459		(1,201	)
Eastman Chemical Co.		93,188		6,602,033		406,636
Eaton Corp. plc		68,516		4,356,067		240,672
eBay, Inc.		476,600		13,008,514		1,141,740
Edison International		44,823		3,369,554		(142,746	)
Electronic Arts, Inc.		32,882		2,595,264		(5,478	)
EMCOR Group, Inc.		42,809		3,066,734		(37,569	)
Emerson Electric Co.		77,279		4,159,063		149,241
Energen Corp.		47,197		2,409,917		311,934
Energizer Holdings, Inc.		14,213		702,792		(68,750	)
EnerSys		15,427		1,226,085		(21,236	)
Entergy Corp.		153,568		11,863,154		(580,513	)
EOG Resources, Inc.		3,784		383,347		(785	)
Equifax, Inc.		30,046		3,756,520		(204,181	)
Estee Lauder Cos., Inc. (The)		36,211		3,291,933		(522,154	)
Esterline Technologies Corp.		71,230		4,704,155		1,649,561
Everest Re Group Ltd.		20,796		3,789,147		711,107
Exelon Corp.		102,115		3,737,125		(113,063	)
F5 Networks, Inc.		48,085		5,773,961		1,184,900
Facebook, Inc.		28,415		3,464,056		(194,910	)
Fair Isaac Corp.		19,002		2,340,501		(75,082	)
Fifth Third BanCorp.		216,621		5,801,524		40,745
First American Financial Corp.		62,256		2,487,470		(207,032	)
FirstEnergy Corp.		205,384		7,279,097		(918,355	)
Fiserv, Inc.		37,540		3,854,400		135,351
Flex Ltd.		634,305		8,425,687		689,276
FLIR Systems, Inc.		98,102		3,351,952		198,359
Foot Locker, Inc.		65,176		4,069,795		550,532
Ford Motor Co.		59,140		713,045		4,324
Fortive Corp.		23,005		1,237,475		(3,717	)
Fortune Brands Home & Security, Inc.		25,139		1,420,469		(76,538	)
Franklin Resources, Inc.		85,986		3,043,467		359,859
FTI Consulting, Inc.		91,800		3,896,625		241,719
Fulton Financial Corp.		51,965		817,129		159,813
GameStop Corp.		15,027		381,873		(2,291	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
General Dynamics Corp.		19,187	$	2,705,367	$	607,460
General Motors Co.		378,979		11,833,878		1,369,750
Genpact Ltd.		126,685		3,182,338		(98,825	)
Genuine Parts Co.		42,628		4,250,825		(178,146	)
Gilead Sciences, Inc.		182,298		14,646,121		(1,591,761	)
Goodyear Tire & Rubber Co. (The)		93,907		2,723,613		175,296
Graham Holdings Co.		2,573		1,294,039		23,208
Graphic Packaging Holding Co.		667,468		8,699,673		(369,672	)
Greif, Inc.		27,450		1,349,005		59,454
Groupon, Inc.		600,038		2,310,146		(318,020	)
Halliburton Co.		32,753		1,760,146		11,464
Hanover Insurance Group, Inc. (The)		10,039		831,530		82,119
Hartford Financial Services Group, Inc. (The)		59,447		2,659,416		173,233
Hasbro, Inc.		4,900		380,999		172
Hawaiian Electric Industries, Inc.		66,823		2,019,898		189,939
HD Supply Holdings, Inc.		177,028		6,401,163		1,124,297
Herman Miller, Inc.		179,252		5,737,123		393,295
Hershey Co. (The)		20,016		2,104,541		(34,286	)
Hewlett Packard Enterprise Co.		893,670		20,540,204		139,320
Home Depot, Inc. (The)		9,669		1,318,133		(21,714	)
Honeywell International, Inc.		78,848		8,899,379		235,161
HP, Inc.		1,106,367		15,656,383		762,104
HSN, Inc.		28,659		1,363,104		(380,100	)
Hubbell, Inc.		49,016		5,223,095		497,072
Huntington Bancshares, Inc.		58,829		775,235		2,484
Huntington Ingalls Industries, Inc.		108,173		18,199,298		1,725,087
Huntsman Corp.		707,740		11,741,717		1,761,963
IAC/InterActiveCorp.		38,249		2,321,205		156,948
IDACORP, Inc.		28,941		2,293,202		37,995
Illinois Tool Works, Inc.		51,031		6,006,505		242,751
Ingersoll-Rand plc		238,460		16,092,157		1,801,881
Ingredion, Inc.		83,576		11,096,935		(653,278	)
Integrated Device Technology, Inc.		199,459		4,170,640		528,614
Intel Corp.		159,630		5,595,251		194,529
InterDigital, Inc.		79,610		6,183,430		1,088,943
International Business Machines Corp.		30,390		4,858,145		186,291
International Game Technology plc		295,093		7,733,818		(203,044	)
International Paper Co.		247,902		11,379,265		1,774,416
Interpublic Group of Cos., Inc. (The)		369,202		8,451,735		191,284
Intuit, Inc.		36,393		3,986,642		184,360

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

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Schedule of Investments December 31, 2016

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Intuitive Surgical, Inc.		3,891	$	2,696,707	$	(229,152	)
Invesco Ltd.		130,172		3,711,641		237,777
ITT, Inc.		31,641		1,078,691		141,703
j2 Global, Inc.		29,924		1,988,731		459,052
Jabil Circuit, Inc.		249,229		5,158,449		740,801
Jack Henry & Associates, Inc.		44,581		3,869,056		88,845
Jack in the Box, Inc.		26,747		2,409,608		576,427
Jacobs Engineering Group, Inc.		142,053		7,708,787		388,234
Jazz Pharmaceuticals plc		27,660		3,272,206		(256,436	)
JetBlue Airways Corp.		119,476		2,211,501		467,151
JM Smucker Co. (The)		23,842		3,382,808		(329,602	)
John Wiley & Sons, Inc.		62,654		3,435,964		(21,321	)
Johnson & Johnson		99,799		11,988,295		(490,452	)
JPMorgan Chase & Co.		110,145		7,451,910		2,052,502
Juniper Networks, Inc.		108,377		2,508,928		553,806
Kansas City Southern		4,511		382,446		312
Kate Spade & Co.		98,784		1,922,473		(78,175	)
KB Home		188,590		3,071,659		(90,051	)
Kennametal, Inc.		91,056		2,300,402		546,009
KeyCorp.		588,546		9,118,876		1,633,860
Keysight Technologies, Inc.		20,151		736,782		140
Kimberly-Clark Corp.		79,276		9,945,227		(898,250	)
KLA-Tencor Corp.		79,070		5,928,109		293,119
Kohl’s Corp.		66,484		2,743,435		539,545
L-3 Communications Holdings, Inc.		97,894		14,343,372		547,284
Laboratory Corp. of America Holdings		14,408		1,966,176		(116,477	)
Lam Research Corp.		33,152		2,961,468		543,693
Lancaster Colony Corp.		29,048		3,739,154		367,942
Landstar System, Inc.		4,487		384,181		(1,440	)
Las Vegas Sands Corp.		164,840		9,283,581		(479,476	)
Lear Corp.		121,980		14,042,019		2,104,474
Leggett & Platt, Inc.		18,078		953,005		(69,353	)
Leidos Holdings, Inc.		142,296		6,039,086		1,237,932
Lennox International, Inc.		42,832		6,352,581		207,996
Lincoln Electric Holdings, Inc.		36,821		2,477,127		345,939
Lincoln National Corp.		146,648		6,630,177		3,088,186
LKQ Corp.		14,515		466,981		(22,097	)
Lockheed Martin Corp.		1,521		380,561		(403	)
Lowe’s Cos., Inc.		40,907		3,314,678		(405,372	)
Lululemon Athletica, Inc.		8,816		508,306		64,646
LyondellBasell Industries NV		92,760		7,304,086		652,867
Macy’s, Inc.		58,535		2,067,112		29,026
Mallinckrodt plc		72,824		4,659,541		(1,031,450	)
ManpowerGroup, Inc.		98,180		6,841,258		1,883,999
Marathon Petroleum Corp.		75,253		2,787,371		1,001,617

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
MarketAxess Holdings, Inc.		40,566	$	6,286,045	$	(326,089	)
Marvell Technology Group Ltd.		301,546		3,039,584		1,142,859
Masco Corp.		295,198		10,020,436		(686,275	)
Maxim Integrated Products, Inc.		120,118		4,788,069		(155,118	)
McKesson Corp.		53,414		8,366,740		(864,743	)
Medtronic plc		23,886		1,988,043		(286,643	)
Merck & Co., Inc.		115,307		6,928,613		(140,490	)
Meredith Corp.		45,310		2,294,216		385,871
MetLife, Inc.		116,206		5,601,466		660,875
Mettler-Toledo International, Inc.		9,433		3,831,626		116,650
Michael Kors Holdings Ltd.		143,792		7,350,125		(1,169,945	)
Michaels Cos., Inc. (The)		42,814		1,162,330		(286,783	)
Micron Technology, Inc.		165,670		2,276,679		1,354,808
Microsoft Corp.		160,475		9,084,650		887,267
Mohawk Industries, Inc.		5,940		1,138,600		47,500
Molina Healthcare, Inc.		24,951		1,310,177		43,664
Morgan Stanley		193,376		6,264,311		1,905,825
Morningstar, Inc.		8,160		671,748		(71,498	)
MSC Industrial Direct Co., Inc.		56,235		4,145,883		1,049,669
MSCI, Inc.		64,938		5,283,393		(167,578	)
Murphy USA, Inc.		51,018		3,812,747		(676,670	)
Nabors Industries Ltd.		286,870		4,365,555		339,113
Nasdaq, Inc.		151,197		10,276,577		(128,234	)
Navient Corp.		102,409		1,684,808		(2,228	)
NCR Corp.		96,306		3,248,290		657,881
NetApp, Inc.		146,271		4,491,309		667,669
NeuStar, Inc.		39,220		945,202		364,746
New York Times Co. (The)		167,708		2,087,245		143,272
Newmont Mining Corp.		264,677		9,342,671		(325,126	)
NiSource, Inc.		213,165		5,175,184		(455,711	)
Norfolk Southern Corp.		105,954		9,875,844		1,574,605
Northrop Grumman Corp.		61,175		13,632,165		595,917
Nu Skin Enterprises, Inc.		179,669		9,377,246		(792,661	)
Nuance Communications, Inc.		108,544		1,625,257		(7,952	)
Nucor Corp.		116,879		6,196,296		760,342
NVIDIA Corp.		22,356		1,363,560		1,022,720
NVR, Inc.		3,341		5,375,278		200,851
Oceaneering International, Inc.		189,632		5,373,971		(24,453	)
Office Depot, Inc.		227,559		828,429		200,138
Old Republic International Corp.		181,402		3,256,865		189,773
Omnicom Group, Inc.		60,854		4,997,903		181,381
ONE Gas, Inc.		34,927		2,185,639		48,292
Oracle Corp.		30,450		1,267,502		(96,699	)
Orbital ATK, Inc.		35,488		2,809,761		303,602

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

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Oshkosh Corp.		128,952	$	7,810,884	$	520,704
Owens Corning		199,589		10,737,905		(447,096	)
PACCAR, Inc.		9,417		519,562		82,184
Packaging Corp. of America		24,680		1,926,334		167,023
Parker-Hannifin Corp.		88,413		10,676,938		1,700,882
Parsley Energy, Inc.		14,922		525,257		594
PepsiCo, Inc.		17,166		1,873,136		(77,057	)
PerkinElmer, Inc.		36,745		1,975,418		(59,166	)
Pfizer, Inc.		222,897		7,739,197		(499,503	)
PG&E Corp.		107,749		6,821,393		(273,486	)
Pilgrim’s Pride Corp.		181,116		3,952,456		(513,063	)
Pinnacle West Capital Corp.		97,252		7,635,147		(46,573	)
Plantronics, Inc.		49,592		2,312,967		402,691
PNC Financial Services Group, Inc. (The)		151,634		13,831,332		3,903,781
PolyOne Corp.		48,484		1,464,776		88,651
Popular, Inc.		131,687		5,124,654		645,870
PPG Industries, Inc.		50,953		4,788,190		40,117
ProAssurance Corp.		7,259		372,314		35,642
Procter & Gamble Co. (The)		122,145		10,535,590		(265,638	)
Progressive Corp. (The)		56,030		1,806,995		182,070
Prudential Financial, Inc.		83,611		6,788,745		1,911,815
Public Service Enterprise Group, Inc.		347,861		15,820,534		(556,393	)
PulteGroup, Inc.		133,004		2,468,085		(23,472	)
PVH Corp.		53,136		5,501,927		(706,934	)
QEP Resources, Inc.		83,721		1,516,062		25,242
Qorvo, Inc.		14,438		900,260		(138,944	)
QUALCOMM, Inc.		90,075		5,180,610		692,280
Quanta Services, Inc.		252,530		6,538,382		2,262,289
Quest Diagnostics, Inc.		29,810		2,456,559		282,980
Quintiles IMS Holdings, Inc.		62,022		4,569,669		147,104
Ralph Lauren Corp.		7,411		747,196		(77,834	)
Raymond James Financial, Inc.		44,755		2,906,386		193,793
Raytheon Co.		87,764		12,202,570		259,918
Regal Beloit Corp.		49,787		3,045,433		402,317
Regions Financial Corp.		1,022,533		12,701,075		1,982,499
Reinsurance Group of America, Inc.		74,202		7,913,600		1,423,237
Reliance Steel & Aluminum Co.		115,368		8,857,711		318,659
Republic Services, Inc.		54,442		2,796,902		309,014
Rice Energy, Inc.		253,790		5,785,142		(366,726	)
Robert Half International, Inc.		45,015		1,727,799		468,033
Rockwell Automation, Inc.		51,265		6,117,183		772,833
Ross Stores, Inc.		53,068		3,244,494		236,767
Rowan Cos. plc		80,963		1,353,515		175,876
RPM International, Inc.		56,282		2,839,320		190,340

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
RR Donnelley & Sons Co.		104,225	$	2,506,132	$	(805,180	)
SCANA Corp.		163,281		12,015,081		(49,850	)
Schlumberger Ltd.		4,535		381,035		(321	)
Science Applications International Corp.		44,628		3,401,766		382,688
Scripps Networks Interactive, Inc.		34,712		2,233,167		244,229
Seagate Technology plc		64,901		2,103,514		373,758
Sherwin-Williams Co. (The)		5,324		1,303,888		126,883
Silicon Laboratories, Inc.		26,788		1,496,725		244,495
Skechers U.S.A., Inc.		103,867		3,383,987		(830,936	)
Skyworks Solutions, Inc.		13,569		1,017,488		(4,427	)
Snap-on, Inc.		13,532		2,117,804		199,822
Sonoco Products Co.		150,986		7,713,403		243,559
Southwest Airlines Co.		31,488		1,359,652		209,710
Southwest Gas Corp.		10,255		768,077		17,661
Southwestern Energy Co.		370,403		4,330,016		(322,256	)
Spirit AeroSystems Holdings, Inc.		278,216		13,385,518		2,848,385
Stanley Black & Decker, Inc.		81,516		9,703,825		(354,755	)
Staples, Inc.		96,110		832,351		37,444
State Street Corp.		96,545		7,148,281		355,196
Steel Dynamics, Inc.		316,993		8,520,153		2,758,458
SunTrust Banks, Inc.		198,186		8,822,154		2,048,348
SUPERVALU, Inc.		98,347		524,190		(64,909	)
Symantec Corp.		62,412		1,298,170		192,853
Synaptics, Inc.		116,995		6,272,400		(3,808	)
Synchrony Financial		205,703		5,825,140		1,635,708
SYNNEX Corp.		65,103		6,687,676		1,191,089
Synopsys, Inc.		127,446		7,309,263		192,208
Synovus Financial Corp.		40,160		1,417,643		232,130
Sysco Corp.		23,420		1,223,386		73,380
TE Connectivity Ltd.		52,983		3,257,047		413,616
Tech Data Corp.		133,325		10,378,106		911,855
TEGNA, Inc.		45,192		919,971		46,686
Teledyne Technologies, Inc.		10,591		1,131,483		171,210
Teleflex, Inc.		19,815		3,036,287		156,900
Telephone & Data Systems, Inc.		36,323		1,138,363		(89,718	)
Teradata Corp.		124,397		3,724,829		(344,962	)
Teradyne, Inc.		329,101		6,969,643		1,389,522
Tesoro Corp.		71,724		5,490,621		781,642
Texas Instruments, Inc.		124,780		8,616,884		488,313
Texas Roadhouse, Inc.		17,744		747,767		108,204
Textron, Inc.		107,400		4,253,945		961,399
Thor Industries, Inc.		101,153		7,681,134		2,439,224
Timken Co. (The)		153,778		5,193,225		911,762

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

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Schedule of Investments December 31, 2016

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
TJX Cos., Inc. (The)		73,980	$	5,846,110	$	(287,993	)
Toll Brothers, Inc.		45,741		1,299,469		118,502
Torchmark Corp.		48,582		3,147,441		435,967
Toro Co. (The)		81,959		3,947,449		638,157
Total System Services, Inc.		39,627		2,175,126		(232,214	)
Travelers Cos., Inc. (The)		62,831		7,101,618		590,153
Trimble, Inc.		23,794		663,637		53,752
Tupperware Brands Corp.		43,365		2,648,519		(366,652	)
Tyson Foods, Inc.		299,533		20,566,756		(2,091,561	)
U.S. Bancorp		79,378		3,467,865		609,783
UGI Corp.		157,374		7,211,907		39,887
Ulta Salon Cosmetics & Fragrance, Inc.		1,484		379,046		(715	)
Union Pacific Corp.		61,647		5,626,539		765,022
United Continental Holdings, Inc.		139,979		6,674,785		3,526,885
United Natural Foods, Inc.		19,356		927,764		(4,096	)
United Rentals, Inc.		13,392		1,099,146		314,782
United Technologies Corp.		55,167		5,884,046		163,360
United Therapeutics Corp.		72,604		8,048,879		2,364,712
UnitedHealth Group, Inc.		60,311		8,506,239		1,145,933
Unum Group		270,281		9,843,694		2,029,751
Urban Outfitters, Inc.		271,242		7,929,718		(204,746	)
Vail Resorts, Inc.		32,839		5,233,173		64,086
Valero Energy Corp.		132,405		6,835,279		2,210,631
Validus Holdings Ltd.		58,286		2,854,071		352,242
Vantiv, Inc.		28,758		1,696,434		18,118
VCA, Inc.		12,451		866,042		(11,281	)
Vectren Corp.		66,707		3,408,891		69,879
Verizon Communications, Inc.		31,681		1,694,236		(3,104	)
Versum Materials, Inc.		106,936		2,765,365		236,329
Vishay Intertechnology, Inc.		228,035		2,998,594		695,573
Visteon Corp.		60,054		4,233,097		591,641
VMware, Inc.		19,748		1,235,632		319,128
Voya Financial, Inc.		53,535		1,469,735		629,907
VWR Corp.		79,517		2,343,017		(352,707	)
Waddell & Reed Financial, Inc.		104,970		1,940,901		107,064
Wal-Mart Stores, Inc.		167,959		12,287,010		(677,684	)
Waste Management, Inc.		135,218		8,858,241		730,068
Waters Corp.		10,114		1,506,278		(147,058	)
Watsco, Inc.		40,859		5,768,049		283,987
WellCare Health Plans, Inc.		130,794		14,970,840		2,958,402
Wells Fargo & Co.		113,800		5,244,227		1,027,291
Werner Enterprises, Inc.		19,348		491,485		29,943

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WESCO International, Inc.		69,539		$	4,219,222		$	408,599
West Pharmaceutical Services, Inc.		63,879			4,873,872			544,983
Western Alliance Bancorp		26,183			1,024,000			251,374
Westlake Chemical Corp.		88,296			4,540,609			403,084
Whirlpool Corp.		44,104			7,222,775			794,009
Woodward, Inc.		39,578			2,483,407			249,454
World Fuel Services Corp.		104,286			4,871,865			(84,095	)
Worthington Industries, Inc.		143,091			6,818,754			(30,517	)
Wyndham Worldwide Corp.		34,743			2,496,715			156,608
Xcel Energy, Inc.		99,505			4,211,267			(161,413	)
Xerox Corp.		792,475			7,690,706			(772,399	)
Xilinx, Inc.		53,377			2,805,427			416,942
Xylem, Inc.		68,506			3,406,230			(13,813	)
Yum! Brands, Inc.		18,082			1,511,779			(366,645	)
Zynga, Inc.		916,188			2,567,079			(212,476	)
							135,197,755
Total of Long Equity Positions								135,196,870
Short Positions
Common Stocks
Canada
Waste Connections, Inc.		(87,678	)		(6,581,451	)		(309,163	)
Ireland
XL Group Ltd.		(191,428	)		(6,509,880	)		(622,727	)
Singapore
Broadcom Ltd.		(9,922	)		(1,693,252	)		(60,660	)
Sweden
Autoliv, Inc.		(11,131	)		(1,207,626	)		(51,847	)
United Kingdom
Liberty Global plc		(518,447	)		(16,402,470	)		543,177
Pentair plc		(55,896	)		(3,513,154	)		379,065
							922,242
United States
Abbott Laboratories		(135,168	)		(5,686,905	)		495,102
Acadia Healthcare Co., Inc.		(499,480	)		(23,359,469	)		6,826,681
ACI Worldwide, Inc.		(129,571	)		(2,432,713	)		80,999
Acuity Brands, Inc.		(35,832	)		(9,090,648	)		818,473
Acxiom Corp.		(34,337	)		(780,823	)		(139,408	)
Advance Auto Parts, Inc.		(68,487	)		(10,432,702	)		(1,149,819	)
AECOM		(120,602	)		(3,757,463	)		(627,626	)

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Agios Pharmaceuticals, Inc.		(21,255	)	$	(973,802	)	$	86,830
Air Lease Corp.		(204,976	)		(6,016,187	)		(1,020,639	)
Akorn, Inc.		(133,882	)		(3,580,312	)		657,668
Alexion Pharmaceuticals, Inc.		(6,226	)		(831,900	)		70,149
Alkermes plc		(129,862	)		(6,432,668	)		(785,062	)
Alleghany Corp.		(2,712	)		(1,435,317	)		(213,905	)
Allegheny Technologies, Inc.		(255,187	)		(3,901,795	)		(163,334	)
Allegion plc		(37,570	)		(2,667,651	)		263,171
Allergan plc		(91,262	)		(20,366,863	)		1,200,930
Alliance Data Systems Corp.		(43,585	)		(9,134,902	)		(824,271	)
Alliant Energy Corp.		(70,540	)		(2,730,623	)		57,862
Allscripts Healthcare Solutions, Inc.		(81,066	)		(835,672	)		7,988
Ally Financial, Inc.		(301,224	)		(5,459,255	)		(270,026	)
Alnylam Pharmaceuticals, Inc.		(150,098	)		(7,661,863	)		2,042,194
AMERCO		(6,055	)		(1,954,950	)		(282,918	)
American Airlines Group, Inc.		(70,499	)		(2,520,297	)		(771,301	)
American Express Co.		(43,580	)		(2,874,497	)		(353,910	)
AmerisourceBergen Corp.		(38,708	)		(2,934,222	)		(92,356	)
AMETEK, Inc.		(104,379	)		(4,899,573	)		(173,247	)
Amphenol Corp.		(97,104	)		(6,050,695	)		(474,694	)
AmTrust Financial Services, Inc.		(99,914	)		(2,526,794	)		(208,851	)
Aon plc		(27,639	)		(3,054,662	)		(27,915	)
Apache Corp.		(76,925	)		(4,260,074	)		(622,356	)
AptarGroup, Inc.		(70,636	)		(5,359,030	)		170,815
Aqua America, Inc.		(57,649	)		(1,962,948	)		231,172
Arch Capital Group Ltd.		(26,722	)		(2,110,403	)		(195,438	)
Arconic, Inc.		(143,078	)		(4,134,218	)		1,481,552
Arista Networks, Inc.		(26,656	)		(1,952,846	)		(626,655	)
Armstrong World Industries, Inc.		(101,810	)		(4,227,296	)		(28,362	)
ARRIS International plc		(233,696	)		(5,835,389	)		(1,205,871	)
Arthur J Gallagher & Co.		(98,410	)		(4,789,413	)		(323,970	)
Artisan Partners Asset Management, Inc.		(133,705	)		(3,840,264	)		(137,460	)
Ascena Retail Group, Inc.		(749,991	)		(5,010,145	)		367,701
Ashland Global Holdings, Inc.		(15,911	)		(1,926,345	)		187,432
Associated Banc-Corp.		(40,600	)		(739,629	)		(263,191	)
athenahealth, Inc.		(78,266	)		(8,342,991	)		111,756
Autodesk, Inc.		(96,140	)		(6,421,269	)		(694,052	)
Automatic Data Processing, Inc.		(30,131	)		(2,628,184	)		(468,681	)
AutoNation, Inc.		(80,109	)		(3,987,256	)		89,953
AutoZone, Inc.		(10,361	)		(7,987,496	)		(195,518	)
Avangrid, Inc.		(45,295	)		(1,992,658	)		276,884

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Avis Budget Group, Inc.		(323,669	)	$	(11,574,427	)	$	(297,752	)
Avon Products, Inc.		(190,943	)		(1,071,133	)		108,780
Axalta Coating Systems Ltd.		(214,021	)		(5,868,106	)		46,735
Ball Corp.		(276,994	)		(20,219,384	)		(574,556	)
Bank of Hawaii Corp.		(23,528	)		(1,635,431	)		(451,267	)
Bank of the Ozarks, Inc.		(226,658	)		(9,010,599	)		(2,909,345	)
BankUnited, Inc.		(67,783	)		(2,211,081	)		(343,660	)
Becton Dickinson and Co.		(12,581	)		(2,204,074	)		121,290
Bed Bath & Beyond, Inc.		(20,098	)		(865,230	)		48,447
BioMarin Pharmaceutical, Inc.		(120,936	)		(10,211,770	)		193,432
Bio-Rad Laboratories, Inc.		(19,041	)		(2,984,854	)		(485,939	)
Bio-Techne Corp.		(52,839	)		(5,858,139	)		424,704
Black Hills Corp.		(69,807	)		(4,342,817	)		60,855
Black Knight Financial Services, Inc.		(10,149	)		(389,620	)		5,988
Blue Buffalo Pet Products, Inc.		(61,972	)		(1,507,210	)		17,403
BorgWarner, Inc.		(168,131	)		(5,408,774	)		(1,222,312	)
Bristol-Myers Squibb Co.		(53,639	)		(4,074,418	)		939,755
Brookdale Senior Living, Inc.		(635,440	)		(9,049,753	)		1,157,588
Brown & Brown, Inc.		(87,208	)		(3,165,505	)		(746,646	)
Brown-Forman Corp.		(203,705	)		(9,725,045	)		574,617
CalAtlantic Group, Inc.		(52,958	)		(1,883,225	)		82,123
Calpine Corp.		(246,800	)		(2,802,795	)		(18,129	)
CarMax, Inc.		(152,144	)		(8,267,082	)		(1,529,471	)
Carpenter Technology Corp.		(11,131	)		(351,985	)		(50,623	)
Casey’s General Stores, Inc.		(28,228	)		(3,396,170	)		40,425
Catalent, Inc.		(216,468	)		(5,394,180	)		(441,797	)
Caterpillar, Inc.		(51,763	)		(4,369,645	)		(430,855	)
Cathay General Bancorp		(28,638	)		(852,553	)		(236,550	)
CBOE Holdings, Inc.		(56,539	)		(3,721,379	)		(456,287	)
CBS Corp.		(15,144	)		(821,467	)		(141,995	)
CEB, Inc.		(78,647	)		(4,583,971	)		(182,037	)
Cerner Corp.		(37,059	)		(1,761,787	)		6,302
CF Industries Holdings, Inc.		(559,810	)		(13,804,594	)		(3,818,224	)
CH Robinson Worldwide, Inc.		(72,099	)		(4,894,680	)		(387,293	)
Charles Schwab Corp. (The)		(159,952	)		(4,812,329	)		(1,500,976	)
Charter Communications, Inc.		(11,006	)		(2,748,533	)		(420,314	)
Cheniere Energy, Inc.		(344,067	)		(14,116,816	)		(137,879	)
Chesapeake Energy Corp.		(433,401	)		(2,168,645	)		(873,830	)
Chicago Bridge & Iron Co. NV		(26,731	)		(934,191	)		85,482

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

AQR Funds Annual Report December 2016

126

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Chipotle Mexican Grill, Inc.		(48,394	)	$	(18,628,859	)	$	368,835
Chubb Ltd.		(15,372	)		(1,932,725	)		(98,224	)
Ciena Corp.		(290,150	)		(5,867,721	)		(1,214,841	)
Cimarex Energy Co.		(5,109	)		(604,446	)		(89,867	)
Cincinnati Financial Corp.		(12,148	)		(917,996	)		(2,215	)
CIT Group, Inc.		(123,711	)		(4,485,189	)		(794,796	)
Clean Harbors, Inc.		(103,653	)		(5,403,867	)		(364,422	)
Clorox Co. (The)		(36,203	)		(4,349,298	)		4,214
CMS Energy Corp.		(43,885	)		(1,971,753	)		145,259
Coca-Cola Co. (The)		(523,823	)		(21,722,724	)		5,022
Cognex Corp.		(78,737	)		(3,468,023	)		(1,541,225	)
Colfax Corp.		(14,218	)		(448,433	)		(62,420	)
Colgate-Palmolive Co.		(112,999	)		(7,404,743	)		10,088
Compass Minerals International, Inc.		(91,755	)		(6,746,984	)		(442,021	)
Concho Resources, Inc.		(58,515	)		(7,315,738	)		(443,351	)
Cooper Cos., Inc. (The)		(24,197	)		(4,387,800	)		155,019
Copart, Inc.		(70,473	)		(3,589,701	)		(315,207	)
Core Laboratories NV		(34,154	)		(4,222,205	)		122,358
CoStar Group, Inc.		(12,147	)		(2,669,546	)		379,958
Costco Wholesale Corp.		(61,614	)		(9,563,914	)		(301,104	)
Coty, Inc.		(693,661	)		(14,463,412	)		1,762,479
Covanta Holding Corp.		(588,746	)		(9,482,741	)		298,304
Cree, Inc.		(47,009	)		(1,244,262	)		3,695
Cullen/Frost Bankers, Inc.		(30,700	)		(2,113,615	)		(595,046	)
Cypress Semiconductor Corp.		(489,360	)		(5,467,265	)		(131,014	)
DaVita, Inc.		(155,309	)		(10,073,761	)		102,923
Delphi Automotive plc		(57,275	)		(3,988,500	)		131,029
Denbury Resources, Inc.		(146,241	)		(416,123	)		(122,044	)
DENTSPLY SIRONA, Inc.		(107,803	)		(6,279,480	)		56,013
Devon Energy Corp.		(42,427	)		(1,594,861	)		(342,780	)
DexCom, Inc.		(255,068	)		(18,786,290	)		3,558,731
Diebold Nixdorf, Inc.		(363,528	)		(9,290,485	)		147,756
Discovery Communications, Inc.		(308,967	)		(8,036,530	)		(432,255	)
DISH Network Corp.		(122,502	)		(6,621,417	)		(475,124	)
Dollar Tree, Inc.		(79,909	)		(7,649,689	)		1,482,312
Dominion Resources, Inc.		(338,573	)		(26,002,573	)		71,267
Donaldson Co., Inc.		(36,867	)		(1,307,304	)		(244,060	)
Dunkin’ Brands Group, Inc.		(187,124	)		(8,973,267	)		(839,515	)
Dycom Industries, Inc.		(4,676	)		(376,325	)		889
Eaton Vance Corp.		(20,971	)		(791,834	)		(86,431	)
Ecolab, Inc.		(49,012	)		(5,818,585	)		73,398
Edgewell Personal Care Co.		(17,027	)		(1,244,290	)		1,489
Eli Lilly & Co.		(81,541	)		(6,075,006	)		77,666
Endo International plc		(138,844	)		(2,593,090	)		306,330

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ensco plc		(129,945	)	$	(1,065,276	)	$	(197,789	)
Envision Healthcare Corp.		(158,710	)		(10,539,218	)		494,462
EQT Corp.		(21,036	)		(1,502,087	)		126,333
Eversource Energy		(54,499	)		(3,062,204	)		52,224
Expedia, Inc.		(20,160	)		(2,323,917	)		40,193
Expeditors International of Washington, Inc.		(59,041	)		(3,034,929	)		(91,882	)
Exxon Mobil Corp.		(7,786	)		(738,269	)		35,504
FactSet Research Systems, Inc.		(2,423	)		(396,631	)		640
Fastenal Co.		(332,474	)		(14,576,336	)		(1,043,293	)
Fidelity National Information Services, Inc.		(29,440	)		(2,294,945	)		68,104
FireEye, Inc.		(752,026	)		(10,567,472	)		1,618,363
First Data Corp.		(1,098,274	)		(14,257,592	)		(1,326,916	)
First Horizon National Corp.		(153,447	)		(2,255,339	)		(815,135	)
First Republic Bank		(16,075	)		(1,142,933	)		(338,218	)
First Solar, Inc.		(11,732	)		(378,502	)		2,022
Fitbit, Inc.		(131,527	)		(1,041,308	)		78,531
FleetCor Technologies, Inc.		(21,835	)		(3,429,828	)		339,739
Flowers Foods, Inc.		(258,559	)		(3,988,840	)		(1,174,584	)
Flowserve Corp.		(80,134	)		(3,518,555	)		(331,883	)
Fluor Corp.		(7,259	)		(382,005	)		762
FMC Corp.		(66,819	)		(3,272,795	)		(506,488	)
FNB Corp.		(301,065	)		(3,857,914	)		(968,158	)
FNF Group		(150,041	)		(5,530,610	)		435,217
Fossil Group, Inc.		(112,222	)		(3,267,734	)		365,673
Freeport-McMoRan, Inc.		(209,378	)		(2,703,173	)		(58,523	)
Frontier Communications Corp.		(3,529,303	)		(15,368,430	)		3,439,385
Garmin Ltd.		(11,200	)		(539,410	)		(3,678	)
Gartner, Inc.		(17,582	)		(1,559,232	)		(217,781	)
GATX Corp.		(105,446	)		(4,940,006	)		(1,553,359	)
General Electric Co.		(259,610	)		(8,245,985	)		42,309
Genesee & Wyoming, Inc.		(116,783	)		(7,763,591	)		(342,317	)
Gentex Corp.		(136,503	)		(2,218,584	)		(469,160	)
Global Payments, Inc.		(153,320	)		(11,274,664	)		632,723
GoDaddy, Inc.		(82,374	)		(2,662,257	)		(216,715	)
Graco, Inc.		(7,336	)		(550,516	)		(59,032	)
Granite Construction, Inc.		(69,907	)		(3,481,740	)		(363,145	)
Great Plains Energy, Inc.		(17,417	)		(492,919	)		16,564
Guess?, Inc.		(109,456	)		(1,499,334	)		174,916
Guidewire Software, Inc.		(101,117	)		(5,670,530	)		682,428
H&R Block, Inc.		(135,282	)		(3,132,728	)		22,595
Hain Celestial Group, Inc. (The)		(73,550	)		(3,516,102	)		645,446

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

AQR Funds Annual Report December 2016

127

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Halyard Health, Inc.		(133,801	)	$	(4,682,131	)	$	(265,830	)
Hancock Holding Co.		(59,661	)		(1,670,696	)		(900,693	)
Hanesbrands, Inc.		(262,290	)		(6,861,569	)		1,203,974
Harley-Davidson, Inc.		(53,113	)		(2,838,169	)		(260,443	)
Harris Corp.		(68,447	)		(6,065,976	)		(947,788	)
HEICO Corp.		(33,792	)		(2,343,697	)		(263,356	)
Henry Schein, Inc.		(41,509	)		(6,754,886	)		457,556
Hertz Global Holdings, Inc.		(87,568	)		(2,017,915	)		129,949
Hess Corp.		(60,551	)		(3,366,302	)		(405,420	)
Hexcel Corp.		(68,851	)		(2,897,068	)		(644,628	)
Hill-Rom Holdings, Inc.		(22,230	)		(1,147,385	)		(100,607	)
Hilton Worldwide Holdings, Inc.		(94,738	)		(2,289,610	)		(287,264	)
HollyFrontier Corp.		(35,852	)		(889,498	)		(285,014	)
Hologic, Inc.		(60,154	)		(2,398,888	)		(14,490	)
Howard Hughes Corp. (The)		(47,348	)		(5,514,939	)		112,532
IDEXX Laboratories, Inc.		(15,306	)		(1,435,091	)		(359,844	)
IHS Markit Ltd.		(330,854	)		(11,857,690	)		142,149
Illumina, Inc.		(102,249	)		(15,627,595	)		2,535,633
Incyte Corp.		(46,723	)		(3,843,206	)		(841,710	)
International Flavors & Fragrances, Inc.		(42,772	)		(5,751,079	)		711,254
Intrexon Corp.		(15,666	)		(381,613	)		929
Ionis Pharmaceuticals, Inc.		(38,568	)		(1,361,016	)		(483,691	)
IPG Photonics Corp.		(26,285	)		(2,366,263	)		(228,330	)
JB Hunt Transport Services, Inc.		(79,180	)		(6,434,674	)		(1,251,329	)
JC Penney Co., Inc.		(860,945	)		(7,503,257	)		348,804
Juno Therapeutics, Inc.		(82,493	)		(1,968,016	)		413,023
KAR Auction Services, Inc.		(22,820	)		(966,199	)		(6,390	)
Kellogg Co.		(13,469	)		(1,008,732	)		15,932
Kirby Corp.		(88,237	)		(5,284,549	)		(583,212	)
KLX, Inc.		(204,384	)		(7,421,489	)		(1,798,273	)
Knowles Corp.		(443,037	)		(6,861,629	)		(541,519	)
Kosmos Energy Ltd.		(678,890	)		(3,943,037	)		(815,982	)
Kraft Heinz Co. (The)		(38,162	)		(3,393,287	)		60,981
L Brands, Inc.		(84,451	)		(6,062,714	)		502,460
Laredo Petroleum, Inc.		(271,686	)		(3,088,421	)		(753,219	)
Legg Mason, Inc.		(24,512	)		(764,561	)		31,407
Lennar Corp.		(115,836	)		(5,347,359	)		374,519
Leucadia National Corp.		(272,479	)		(4,948,044	)		(1,387,093	)
Liberty Broadband Corp.		(31,407	)		(1,946,920	)		(379,397	)
LifePoint Health, Inc.		(98,941	)		(5,731,923	)		112,074
Lions Gate Entertainment Corp., Class A		(162,922	)		(3,444,556	)		(553,549	)
Lions Gate Entertainment Corp., Class B		(136,178	)		(2,782,135	)		(881,053	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
LivaNova plc		(50,900	)	$	(2,765,736	)	$	476,763
Live Nation Entertainment, Inc.		(168,235	)		(4,258,351	)		(216,700	)
Loews Corp.		(84,301	)		(3,476,573	)		(471,243	)
Louisiana-Pacific Corp.		(99,430	)		(1,958,771	)		76,561
LPL Financial Holdings, Inc.		(46,029	)		(1,405,201	)		(215,480	)
M&T Bank Corp.		(15,080	)		(1,787,432	)		(571,532	)
Macquarie Infrastructure Corp.		(100,801	)		(7,785,995	)		(449,447	)
Madison Square Garden Co. (The)		(30,014	)		(5,326,810	)		179,109
Manhattan Associates, Inc.		(21,957	)		(1,167,365	)		2,986
Manitowoc Foodservice, Inc.		(179,132	)		(3,072,749	)		(389,873	)
Marathon Oil Corp.		(139,147	)		(2,075,321	)		(333,313	)
Markel Corp.		(11,266	)		(10,180,636	)		(9,461	)
Marriott International, Inc.		(4,570	)		(378,806	)		958
Marsh & McLennan Cos., Inc.		(39,375	)		(2,616,863	)		(44,494	)
Martin Marietta Materials, Inc.		(11,131	)		(2,222,669	)		(243,182	)
Mastercard, Inc.		(58,567	)		(5,474,174	)		(572,868	)
Mattel, Inc.		(76,122	)		(2,487,637	)		390,476
MAXIMUS, Inc.		(86,530	)		(4,933,189	)		105,681
McCormick & Co., Inc.		(25,099	)		(2,428,495	)		86,005
McDonald’s Corp.		(28,741	)		(3,232,543	)		(265,811	)
MDU Resources Group, Inc.		(202,142	)		(4,932,265	)		(883,361	)
Mead Johnson Nutrition Co.		(101,708	)		(8,428,508	)		1,231,650
MEDNAX, Inc.		(205,529	)		(14,035,079	)		334,516
Mercury General Corp.		(58,614	)		(3,207,875	)		(321,274	)
Microchip Technology, Inc.		(136,876	)		(8,163,480	)		(617,115	)
Microsemi Corp.		(103,057	)		(3,767,173	)		(1,794,813	)
Middleby Corp. (The)		(67,113	)		(7,824,102	)		(820,723	)
Mondelez International, Inc.		(279,611	)		(12,494,056	)		98,901
Monster Beverage Corp.		(127,806	)		(6,543,282	)		876,364
Moody’s Corp.		(23,233	)		(2,425,754	)		235,579
Mosaic Co. (The)		(281,896	)		(7,751,088	)		(516,922	)
Murphy Oil Corp.		(42,210	)		(1,168,659	)		(145,339	)
Mylan NV		(10,244	)		(391,598	)		790
National Fuel Gas Co.		(68,303	)		(3,895,868	)		27,186
National Instruments Corp.		(175,536	)		(5,077,176	)		(332,843	)
National Oilwell Varco, Inc.		(60,097	)		(1,997,675	)		(252,357	)
Netflix, Inc.		(27,501	)		(2,687,897	)		(716,727	)
NetScout Systems, Inc.		(302,776	)		(7,602,496	)		(1,934,948	)
Neurocrine Biosciences, Inc.		(144,082	)		(6,767,504	)		1,191,530

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

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Schedule of Investments December 31, 2016

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REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
New Jersey Resources Corp.		(51,136	)	$	(1,724,474	)	$	(90,854	)
Newell Brands, Inc.		(145,768	)		(7,334,990	)		826,449
Newfield Exploration Co.		(64,845	)		(2,889,493	)		263,271
NewMarket Corp.		(2,439	)		(1,035,599	)		1,854
News Corp.		(66,163	)		(759,736	)		1,508
NextEra Energy, Inc.		(16,912	)		(2,131,896	)		111,589
Nielsen Holdings plc		(119,867	)		(6,435,735	)		1,407,314
NIKE, Inc.		(165,665	)		(8,429,174	)		8,422
Noble Corp. plc		(809,139	)		(4,314,977	)		(475,126	)
Noble Energy, Inc.		(72,489	)		(2,653,099	)		(105,833	)
Norwegian Cruise Line Holdings Ltd.		(199,171	)		(7,953,177	)		(517,566	)
NOW, Inc.		(140,847	)		(3,041,675	)		158,537
NRG Energy, Inc.		(675,380	)		(8,211,250	)		(68,908	)
NuVasive, Inc.		(37,507	)		(2,510,336	)		(16,136	)
Occidental Petroleum Corp.		(76,550	)		(5,877,234	)		424,577
OGE Energy Corp.		(104,299	)		(3,360,604	)		(128,198	)
Oil States International, Inc.		(33,254	)		(1,043,934	)		(252,972	)
Old Dominion Freight Line, Inc.		(69,761	)		(4,922,930	)		(1,061,866	)
Olin Corp.		(308,822	)		(7,093,739	)		(815,192	)
ON Semiconductor Corp.		(29,433	)		(377,762	)		2,197
OneMain Holdings, Inc.		(60,684	)		(1,752,891	)		409,347
ONEOK, Inc.		(120,203	)		(5,771,023	)		(1,129,831	)
O’Reilly Automotive, Inc.		(17,231	)		(4,738,270	)		(59,013	)
Owens-Illinois, Inc.		(292,796	)		(5,369,979	)		272,401
PacWest Bancorp		(150,274	)		(6,294,169	)		(1,886,747	)
Palo Alto Networks, Inc.		(117,291	)		(15,138,743	)		471,503
Pandora Media, Inc.		(1,057,828	)		(13,709,232	)		(84,845	)
Panera Bread Co.		(36,416	)		(7,251,659	)		(216,898	)
Patheon NV		(35,394	)		(984,192	)		(31,969	)
Patterson Cos., Inc.		(216,030	)		(9,838,217	)		974,506
Patterson-UTI Energy, Inc.		(34,659	)		(694,110	)		(238,910	)
Paychex, Inc.		(25,448	)		(1,402,739	)		(146,535	)
PBF Energy, Inc.		(250,418	)		(5,763,309	)		(1,218,345	)
Penske Automotive Group, Inc.		(70,876	)		(2,884,704	)		(789,508	)
People’s United Financial, Inc.		(443,572	)		(7,017,676	)		(1,569,878	)
Perrigo Co. plc		(135,535	)		(11,783,485	)		502,907
Philip Morris International, Inc.		(70,155	)		(6,809,668	)		391,187
Phillips 66		(14,187	)		(1,104,766	)		(121,133	)
Pinnacle Foods, Inc.		(37,447	)		(1,867,367	)		(134,175	)
Platform Specialty Products Corp.		(894,485	)		(7,888,275	)		(886,623	)
PNM Resources, Inc.		(38,722	)		(1,305,279	)		(22,885	)
Post Holdings, Inc.		(69,976	)		(5,486,254	)		(139,117	)
Praxair, Inc.		(20,177	)		(2,394,203	)		29,660

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Premier, Inc.		(218,474	)	$	(7,018,954	)	$	386,084
Prestige Brands Holdings, Inc.		(95,126	)		(4,759,958	)		(196,106	)
Primerica, Inc.		(22,504	)		(1,250,515	)		(305,636	)
Principal Financial Group, Inc.		(22,694	)		(1,250,236	)		(62,839	)
Prosperity Bancshares, Inc.		(48,586	)		(2,622,902	)		(864,601	)
PTC, Inc.		(10,265	)		(435,672	)		(39,289	)
QIAGEN NV		(127,709	)		(3,079,774	)		(498,632	)
Regeneron Pharmaceuticals, Inc.		(5,497	)		(1,915,506	)		(102,388	)
RenaissanceRe Holdings Ltd.		(23,094	)		(2,726,839	)		(419,025	)
ResMed, Inc.		(69,325	)		(4,204,002	)		(97,614	)
Restoration Hardware Holdings, Inc.		(233,814	)		(7,443,755	)		265,665
Rockwell Collins, Inc.		(143,429	)		(12,189,436	)		(1,115,038	)
Rollins, Inc.		(113,141	)		(3,300,021	)		(521,882	)
Roper Technologies, Inc.		(106,939	)		(18,987,651	)		(590,741	)
Royal Caribbean Cruises Ltd.		(39,210	)		(2,811,174	)		(405,614	)
Royal Gold, Inc.		(30,422	)		(2,206,084	)		278,850
RPC, Inc.		(68,673	)		(1,090,582	)		(269,830	)
Ryder System, Inc.		(39,339	)		(2,670,338	)		(258,058	)
Sabre Corp.		(227,951	)		(6,133,705	)		446,328
salesforce.com, Inc.		(149,680	)		(11,012,604	)		765,511
Sally Beauty Holdings, Inc.		(65,145	)		(1,677,940	)		(43,191	)
Santander Consumer USA Holdings, Inc.		(280,164	)		(3,323,899	)		(458,315	)
SBA Communications Corp.		(97,067	)		(11,035,398	)		1,012,260
Scotts Miracle-Gro Co. (The)		(22,596	)		(1,961,679	)		(197,369	)
Sealed Air Corp.		(24,265	)		(1,108,633	)		8,458
Seattle Genetics, Inc.		(82,069	)		(3,486,538	)		(844,243	)
SEI Investments Co.		(26,882	)		(1,238,734	)		(88,162	)
Sempra Energy		(193,231	)		(21,007,970	)		1,561,202
Sensata Technologies Holding NV		(390,864	)		(14,376,084	)		(848,069	)
Service Corp. International		(113,386	)		(3,038,591	)		(181,572	)
ServiceNow, Inc.		(119,967	)		(9,158,413	)		240,066
Signature Bank		(12,297	)		(1,587,666	)		(259,344	)
Signet Jewelers Ltd.		(107,169	)		(9,031,053	)		(1,070,697	)
Silgan Holdings, Inc.		(41,898	)		(2,142,193	)		(2,146	)
Sirius XM Holdings, Inc.		(312,340	)		(1,302,458	)		(87,455	)
Six Flags Entertainment Corp.		(60,017	)		(3,222,951	)		(375,668	)
SLM Corp.		(141,080	)		(1,011,544	)		(543,158	)
SM Energy Co.		(38,661	)		(1,206,382	)		(126,650	)
Snyder’s-Lance, Inc.		(244,345	)		(8,646,724	)		(721,463	)
Sotheby’s		(112,928	)		(3,535,660	)		(965,650	)
Southern Co. (The)		(191,316	)		(9,506,614	)		95,780

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

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Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Spectrum Brands Holdings, Inc.		(3,943	)	$	(458,255	)	$	(24,092	)
Spirit Airlines, Inc.		(159,312	)		(7,143,451	)		(2,074,341	)
Splunk, Inc.		(217,316	)		(12,376,968	)		1,261,255
Sprouts Farmers Market, Inc.		(445,936	)		(9,593,480	)		1,156,371
SS&C Technologies Holdings, Inc.		(325,053	)		(10,049,227	)		752,712
Starbucks Corp.		(142,231	)		(7,627,229	)		(269,436	)
Stericycle, Inc.		(178,994	)		(16,188,774	)		2,399,076
STERIS plc		(143,746	)		(9,797,048	)		110,005
Stifel Financial Corp.		(76,949	)		(2,760,702	)		(1,082,900	)
Stryker Corp.		(36,942	)		(4,256,263	)		(169,758	)
SunPower Corp.		(77,376	)		(566,272	)		54,817
Superior Energy Services, Inc.		(204,923	)		(3,343,749	)		(115,351	)
SVB Financial Group		(58,269	)		(6,640,547	)		(3,361,910	)
Tableau Software, Inc.		(87,036	)		(3,895,705	)		227,137
Targa Resources Corp.		(75,987	)		(3,272,538	)		(988,053	)
Tempur Sealy International, Inc.		(106,382	)		(6,302,351	)		(961,412	)
Tenet Healthcare Corp.		(360,039	)		(8,987,425	)		3,644,446
Tesla Motors, Inc.		(30,477	)		(6,172,777	)		(339,853	)
Thomson Reuters Corp.		(27,864	)		(1,162,416	)		(57,469	)
Tiffany & Co.		(133,947	)		(9,266,037	)		(1,105,479	)
Time, Inc.		(153,253	)		(2,363,694	)		(371,872	)
T-Mobile US, Inc.		(77,177	)		(3,627,202	)		(811,247	)
Tractor Supply Co.		(71,636	)		(5,493,282	)		62,557
TransDigm Group, Inc.		(78,743	)		(21,842,717	)		2,238,859
Transocean Ltd.		(196,236	)		(1,925,817	)		(966,702	)
TreeHouse Foods, Inc.		(169,139	)		(14,685,887	)		2,475,743
TRI Pointe Group, Inc.		(346,809	)		(4,339,968	)		358,601
Trinity Industries, Inc.		(13,667	)		(381,081	)		1,685
TripAdvisor, Inc.		(45,567	)		(2,160,922	)		47,981
Triumph Group, Inc.		(127,923	)		(3,442,974	)		53,015
Trustmark Corp.		(28,958	)		(771,740	)		(260,613	)
Twenty-First Century Fox, Inc.		(17,486	)		(436,500	)		(53,808	)
Twitter, Inc.		(201,647	)		(3,787,657	)		500,810
Tyler Technologies, Inc.		(71,805	)		(11,380,142	)		1,128,543
Ultimate Software Group, Inc. (The)		(54,575	)		(11,051,185	)		1,099,434
Umpqua Holdings Corp.		(75,332	)		(1,179,308	)		(235,427	)
United Parcel Service, Inc.		(66,022	)		(7,249,554	)		(319,208	)
Universal Health Services, Inc.		(8,048	)		(970,271	)		114,125
USG Corp.		(82,044	)		(2,160,044	)		(209,387	)
Valley National Bancorp		(388,351	)		(3,676,203	)		(844,203	)
Varian Medical Systems, Inc.		(13,267	)		(1,263,564	)		72,452
Veeva Systems, Inc.		(22,370	)		(840,296	)		(70,163	)
VeriFone Systems, Inc.		(211,792	)		(3,438,587	)		(316,485	)
Verisk Analytics, Inc.		(175,794	)		(14,857,340	)		588,141

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Vertex Pharmaceuticals, Inc.		(38,071	)	$	(3,598,116	)	$	793,426
VF Corp.		(69,024	)		(3,955,581	)		273,151
Viacom, Inc.		(83,139	)		(3,460,740	)		542,562
ViaSat, Inc.		(81,930	)		(5,920,708	)		495,304
Visa, Inc.		(156,305	)		(12,398,160	)		203,244
Vista Outdoor, Inc.		(39,397	)		(1,954,091	)		500,342
Vulcan Materials Co.		(12,520	)		(1,494,355	)		(72,523	)
WABCO Holdings, Inc.		(26,912	)		(2,721,203	)		(135,506	)
Wabtec Corp.		(26,776	)		(1,961,838	)		(261,106	)
Walgreens Boots Alliance, Inc.		(40,512	)		(3,345,807	)		(6,966	)
Walt Disney Co. (The)		(31,121	)		(2,988,873	)		(254,557	)
Weatherford International plc		(3,581,923	)		(19,025,477	)		1,151,681
Webster Financial Corp.		(124,360	)		(4,677,954	)		(2,072,307	)
WEC Energy Group, Inc.		(72,730	)		(4,672,903	)		407,288
Wendy’s Co. (The)		(387,658	)		(4,106,172	)		(1,134,964	)
Western Union Co. (The)		(228,467	)		(4,685,048	)		(277,255	)
WestRock Co.		(81,693	)		(3,512,520	)		(635,033	)
WEX, Inc.		(38,888	)		(4,078,982	)		(260,918	)
WGL Holdings, Inc.		(47,139	)		(3,461,220	)		(134,543	)
White Mountains Insurance Group Ltd.		(1,695	)		(1,390,309	)		(26,796	)
Whiting Petroleum Corp.		(721,822	)		(5,730,697	)		(2,945,604	)
Whole Foods Market, Inc.		(186,828	)		(5,714,469	)		(32,361	)
Williams Cos., Inc. (The)		(130,409	)		(3,227,720	)		(833,216	)
Williams-Sonoma, Inc.		(48,939	)		(2,504,946	)		136,788
Willis Towers Watson plc		(50,755	)		(6,289,835	)		83,514
WisdomTree Investments, Inc.		(979,137	)		(10,886,460	)		(21,126	)
Workday, Inc.		(226,772	)		(16,990,773	)		2,003,411
WPX Energy, Inc.		(160,933	)		(1,955,175	)		(389,619	)
WR Berkley Corp.		(51,425	)		(2,968,553	)		(451,724	)
WW Grainger, Inc.		(19,797	)		(4,403,304	)		(194,549	)
Wynn Resorts Ltd.		(27,925	)		(2,658,912	)		243,120
Yahoo!, Inc.		(77,441	)		(3,135,402	)		140,759
Yelp, Inc.		(9,939	)		(378,272	)		(702	)
Zayo Group Holdings, Inc.		(222,030	)		(6,381,272	)		(914,634	)
Zebra Technologies Corp.		(96,174	)		(6,265,419	)		(1,982,464	)
Zillow Group, Inc.		(156,912	)		(5,534,419	)		(188,161	)
Zimmer Biomet Holdings, Inc.		(18,055	)		(2,253,625	)		390,349

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

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130

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zoetis, Inc.		(165,159	)	$	(8,428,676	)	$	(412,285	)
							(42,275,364)
Total of Short Equity Positions								(42,397,519	)
Total of Long and Short Equity Positions								92,799,351
Net Cash and Other Receivables/ (Payables) (b)								(17,129,386	)
Swaps, at Value							$	75,669,965

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate, plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	1-54 months maturity ranging from 01/12/2017 - 12/21/2020		$6,984,610

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Arkema SA		66,848	$	5,860,346	$	674,092
Atos SE		113,604		10,451,030		1,522,557
BNP Paribas SA		170,704		9,242,159		1,621,084
Capgemini SA		82,487		6,932,276		17,183
Cie de Saint-Gobain		202,115		8,144,406		1,257,454
Cie Generale des Etablissements Michelin		131,674		13,459,632		1,177,090
CNP Assurances		182,305		2,824,472		549,868
Danone SA		7,485		498,488		(24,848	)
Eiffage SA		68,616		4,830,178		(50,971	)
Elior Group		46,093		985,448		67,514
Faurecia		126,289		4,445,070		446,510
Ipsen SA		33,203		2,023,735		375,350
Lagardere SCA		85,522		1,979,580		394,121
Orange SA		84,727		1,246,012		38,785
Peugeot SA		817,998		11,377,438		1,945,438
Publicis Groupe SA		61,528		4,169,552		70,008
Renault SA		63,327		4,981,260		643,242

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Rexel SA		75,864	$	1,040,575	$	205,862
Safran SA		60,600		3,940,757		417,830
Schneider Electric SE		101,171		6,535,151		493,042
SCOR SE		80,192		2,225,115		542,371
SEB SA		13,805		1,838,912		31,718
Societe BIC SA		2,964		402,583		156
Societe Generale SA		97,540		4,394,341		403,340
Sodexo SA		47,708		5,190,634		286,879
Technip SA		47,385		2,492,415		882,902
Teleperformance		63,687		5,640,016		744,976
Thales SA		99,556		8,334,780		1,310,278
Ubisoft Entertainment SA		40,571		1,365,651		76,066
Valeo SA		161,349		8,366,988		895,703
Veolia Environnement SA		176,730		3,625,075		(622,104	)
Vinci SA		21,921		1,583,311		(92,143	)
						16,301,353
Total of Long Equity Positions						16,301,353

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

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131

Schedule of Investments December 31, 2016

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
France
Accor SA		(282,370	)	$	(10,500,984	)	$	(18,054	)
Aeroports de Paris		(13,935	)		(1,353,800	)		(138,455	)
Air Liquide SA		(106,198	)		(10,695,843	)		(1,113,242	)
Airbus Group SE		(60,020	)		(3,417,652	)		(546,590	)
Alstom SA		(52,958	)		(1,205,189	)		(251,082	)
Bollore SA (LSE)		(1,414,477	)		(4,606,987	)		(373,501	)
Bollore SA		(6,726	)		120			(23,272	)
Bouygues SA		(76,103	)		(2,249,974	)		(474,460	)
Bureau Veritas SA		(112,544	)		(2,186,425	)		8,214
Carrefour SA		(251,234	)		(6,095,622	)		46,921
Casino GuichardPerrachon SA		(58,984	)		(2,762,252	)		(63,941	)
Christian Dior SE		(1,838	)		(339,175	)		(45,907	)
Cie Plastic Omnium SA		(14,965	)		(425,249	)		(52,007	)
Credit Agricole SA		(206,555	)		(1,842,730	)		(714,148	)
Edenred		(535,738	)		(11,229,085	)		621,191
Electricite de France SA		(709,051	)		(7,861,171	)		646,675
Engie SA		(455,296	)		(6,076,495	)		281,056
Essilor International SA		(88,000	)		(9,975,737	)		46,855
Eutelsat Communications SA		(119,090	)		(2,284,469	)		(18,452	)
Hermes International		(7,374	)		(2,854,159	)		(170,786	)
Iliad SA		(15,246	)		(2,805,239	)		(122,714	)
Ingenico Group SA		(91,518	)		(9,110,321	)		1,808,483
JCDecaux SA		(59,979	)		(1,791,319	)		27,706
Kering		(5,051	)		(1,022,044	)		(110,914	)
Legrand SA		(19,578	)		(1,103,468	)		(7,294	)
L’Oreal SA		(39,583	)		(7,004,555	)		(210,052	)
LVMH Moet Hennessy Louis Vuitton SE		(27,336	)		(4,492,906	)		(719,293	)
Natixis SA		(729,943	)		(3,095,871	)		(1,014,702	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Orpea		(44,987	)	$	(3,573,205	)	$	(58,799	)
Pernod Ricard SA		(67,345	)		(7,320,266	)		32,187
Remy Cointreau SA		(30,386	)		(2,440,230	)		(149,799	)
Sanofi		(38,031	)		(2,939,511	)		(135,872	)
SFR Group SA		(69,099	)		(1,841,653	)		(106,433	)
Suez		(52,220	)		(767,719	)		(1,716	)
TOTAL SA		(98,477	)		(4,326,203	)		(724,888	)
Vallourec SA		(368,842	)		(1,679,003	)		(855,330	)
Vivendi SA		(146,910	)		(2,839,374	)		52,944
Zodiac Aerospace		(332,276	)		(7,082,045	)		(537,374	)
							(5,186,845)
Luxembourg
Eurofins Scientific SE		(6,375	)		(2,581,415	)		(134,615	)
SES SA		(207,904	)		(4,493,334	)		(81,136	)
							(215,751)
Total of Short Equity Positions								(5,402,596	)
Total of Long and Short Equity Positions								10,898,757
Net Cash and Other Receivables/ (Payables) (b)								(3,914,147	)
Swaps, at Value							$	6,984,610

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

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

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—		$49,777,245		$49,777,245
CITI
Investment Companies		7,785,336		—		7,785,336
DTBK
Investment Companies		97,472,082		—		97,472,082
GSIN
Investment Companies		239,009,754		—		239,009,754
JPMC
Cash		17,420,000		—		17,420,000

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

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132

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 89.1%
COMMON STOCKS - 9.2%
Canada - 0.4%
Kirkland Lake Gold Ltd. *		275,719	$	1,441,589
Manitoba Telecom Services, Inc.		419,623		11,863,769
				13,305,358
Germany - 0.3%
KUKA AG (2)*		77,820		9,406,496
United States - 8.5%
Adient plc *		154		9,024
AMC Entertainment Holdings, Inc., Class A		98,492		3,314,256
Blackhawk Network Holdings, Inc. *		51,051		1,923,346
Cabela’s, Inc. *		406,953		23,827,098
Cavium, Inc. *		1		62
Chemical Financial Corp.		4,886		264,675
Cousins Properties, Inc., REIT		175,464		1,493,199
Dow Chemical Co. (The)		17,590		1,006,500
EverBank Financial Corp.		73,975		1,438,814
FMC Technologies, Inc. *		455,737		16,192,336
Global Payments, Inc.		1		69
Herbalife Ltd. *		31,476		1,515,255
Johnson Controls International plc		1,547		63,721
Joy Global, Inc.		285,742		8,000,776
KeyCorp.		1		18
Linear Technology Corp.		507,679		31,653,785
Macquarie Infrastructure Corp.		6,436		525,821
Mentor Graphics Corp.		5,858		216,102
Mid-America Apartment Communities, Inc., REIT		111,652		10,932,940
Monsanto Co.		154,642		16,269,885
NorthStar Asset Management Group, Inc.		244,936		3,654,445
NorthStar Realty Finance Corp., REIT		209,654		3,176,258
ON Semiconductor Corp. *		159,922		2,040,605
Parkway, Inc., REIT *		21,933		488,009
Priceline Group, Inc. (The) *		1,290		1,891,217
PrivateBancorp, Inc.		304,591		16,505,786
Quintiles IMS Holdings, Inc. *		230,703		17,544,963
Rite Aid Corp. *		2,219,416		18,287,988
Southwestern Energy Co. *		30,279		327,619
Spectra Energy Corp.		608,508		25,003,594
St. Jude Medical, Inc.		45,851		3,676,792
TiVo Corp. *		438,518		9,165,026
Vail Resorts, Inc.		38,160		6,155,590
Valspar Corp. (The)		190,998		19,789,303
Westar Energy, Inc.		259,756		14,637,251
WhiteWave Foods Co. (The) *		464,269		25,813,356
Yadkin Financial Corp.		378,440		12,965,354
				299,770,838
TOTAL COMMON STOCKS (Cost $310,131,363)				322,482,692
CONVERTIBLE PREFERRED STOCKS - 11.5%
China - 1.2%
Mandatory Exchangeable Trust
$100 par, 5.75%, 6/3/2019 (2)(a)		396,743		43,344,173

INVESTMENTS	SHARES		VALUE
Israel - 1.6%
Teva Pharmaceutical Industries Ltd.
$1,000 par, 7.00%, 12/15/2018		85,700	$	55,276,500
United States - 8.7%
Allergan plc Series A, $1,000 par, 5.50%, 3/1/2018		43,225		32,957,334
Anthem, Inc. $50 par, 5.25%, 5/1/2018		629,150		29,538,592
Black Hills Corp. $50 par, 7.75%, 11/1/2018 (2)		134,716		9,203,797
Bunge Ltd. $100 par, 4.88%, 12/31/2049 (b)		59,900		6,116,389
Dominion Resources, Inc. $50 par, 6.38%, 7/1/2017		200,000		10,012,000
Series A, $50 par, 6.75%, 8/15/2019		277,350		14,033,910
Dynegy, Inc. $100 par, 7.00%, 7/1/2019		90,900		5,648,526
Exelon Corp. $50 par, 6.50%, 6/1/2017		675,800		32,715,478
Great Plains Energy, Inc. $50 par, 7.00%, 9/15/2019		732,800		37,079,680
Post Holdings, Inc. $100 par, 2.50%, 12/31/2049 (2)(b)		44,502		6,761,523
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019		35,625		1,745,625
Southwestern Energy Co. Series B, $50 par, 6.25%, 1/15/2018		379,300		9,660,771
Stericycle, Inc. $100 par, 5.25%, 9/15/2018		55,325		3,500,413
T-Mobile US, Inc. $50 par, 5.50%, 12/15/2017		559,425		52,832,097
Tyson Foods, Inc. $50 par, 4.75%, 7/15/2017		596,175		40,331,239
Welltower, Inc. Series I, $50 par, 6.50%, 12/31/2049 (b)		221,875		13,352,437
				305,489,811
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $420,172,174)				404,110,484
	PRINCIPAL AMOUNT
CORPORATE BOND - 0.0%
United States - 0.0%
Sabine Oil & Gas Corp.
7.25%, 6/15/2019 (Cost $3,965,813) (3)(c)(d)	$	3,950,000		—
CONVERTIBLE BONDS - 18.3%
Canada - 0.4%
Element Fleet Management Corp.
5.13%, 6/30/2019 (2)(a)(e)		3,281,000		2,711,550
4.25%, 6/30/2020 (2)(a)		14,346,000		10,951,961
				13,663,511

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

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133

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Mexico - 0.5%
Cemex SAB de CV
3.75%, 3/15/2018 (2)	$	9,400,000	$	10,545,625
3.72%, 3/15/2020 (2)(e)		7,050,000		7,543,500
				18,089,125
Monaco - 0.1%
Scorpio Tankers, Inc. 2.38%, 7/1/2019 (2)(a)(e)		5,475,000		4,421,062
Norway - 0.3%
Marine Harvest ASA
Series MHG, 0.88%, 5/6/2019 (2)(f)		900,000		1,699,609
Ship Finance International Ltd.
5.75%, 10/15/2021 (2)		7,475,000		7,470,328
				9,169,937
United States - 17.0%
Acorda Therapeutics, Inc.
1.75%, 6/15/2021 (2)(e)		4,100,000		3,116,000
Aerojet Rocketdyne Holdings, Inc.
2.25%, 12/15/2023 (2)(a)(e)		1,025,000		998,094
Allegheny Technologies, Inc.
4.75%, 7/1/2022 (2)(e)		6,750,000		9,019,687
Allscripts Healthcare Solutions, Inc.
1.25%, 7/1/2020 (2)(e)		5,575,000		5,219,594
Alpha Natural Resources, Inc.
4.88%, 12/15/2020 (2)(d)(e)		200,000		13,000
Amicus Therapeutics, Inc.
3.00%, 12/15/2023 (2)(a)(e)		1,150,000		1,166,531
Anthem, Inc. 2.75%, 10/15/2042 (2)		13,475,000		26,815,250
Brookdale Senior Living, Inc. 2.75%, 6/15/2018 (2)(e)		1,175,000		1,143,422
CalAtlantic Group, Inc. 1.25%, 8/1/2032 (2)(e)		4,325,000		4,452,047
Chesapeake Energy Corp. 5.50%, 9/15/2026 (2)(a)(e)		10,375,000		11,230,937
Ciena Corp. 3.75%, 10/15/2018 (2)(a)		2,650,000		3,579,156
Colony Capital, Inc. 3.88%, 1/15/2021 (2)		3,150,000		3,142,125
DISH Network Corp. 3.38%, 8/15/2026 (2)(a)(e)		13,600,000		15,478,500
Echo Global Logistics, Inc. 2.50%, 5/1/2020 (2)(e)		1,025,000		1,004,500
Emergent BioSolutions, Inc. 2.88%, 1/15/2021 (2)		5,375,000		6,846,406
Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 (2)(a)(e)		950,000		969,000
Euronet Worldwide, Inc. 1.50%, 10/1/2044 (2)(e)		7,000,000		8,102,500
EZCORP, Inc. 2.12%, 6/15/2019 (2)(e)		3,975,000		3,830,906
Finisar Corp. 0.50%, 12/15/2036 (2)(a)(e)		3,475,000		3,503,234
General Cable Corp. 4.50%, 11/15/2029 (2)(e)(g)		1,595,000		1,247,091
Herbalife Ltd. 2.00%, 8/15/2019 (2)		13,625,000		12,441,328

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 17.0% (continued)
Horizon Pharma Investment Ltd. 2.50%, 3/15/2022 (2)(e)	$	6,825,000	$	6,492,281
Huron Consulting Group, Inc. 1.25%, 10/1/2019 (2)(e)		3,000,000		2,930,625
Innoviva, Inc. 2.13%, 1/15/2023 (2)		2,500,000		2,118,750
Inphi Corp. 1.13%, 12/1/2020 (2)(e)		3,925,000		5,070,609
Integrated Device Technology, Inc. 0.88%, 11/15/2022 (2)(e)		5,325,000		5,481,422
Intel Corp.
2.95%, 12/15/2035 (2)		3,450,000		4,659,657
3.25%, 8/1/2039 (2)		30,250,000		53,334,531
j2 Global, Inc. 3.25%, 6/15/2029 (2)(e)		2,900,000		3,831,625
Medicines Co. (The) 2.50%, 1/15/2022 (2)		7,875,000		9,440,156
Meritor, Inc. 7.88%, 3/1/2026 (2)(e)		1,600,000		2,313,000
MGIC Investment Corp. 2.00%, 4/1/2020 (2)(e)		2,025,000		3,002,062
Microchip Technology, Inc. 2.13%, 12/15/2037 (2)		17,525,000		47,054,625
Micron Technology, Inc. Series F, 2.13%, 2/15/2033 (2)		7,175,000		15,067,500
Molina Healthcare, Inc.
1.13%, 1/15/2020 (2)		18,775,000		26,906,922
1.63%, 8/15/2044 (2)(e)		3,474,000		3,949,504
Novellus Systems, Inc. 2.63%, 5/15/2041 (2)		13,650,000		42,494,156
NRG Yield, Inc.
3.50%, 2/1/2019 (2)(a)(e)		6,450,000		6,417,750
3.25%, 6/1/2020 (2)(a)(e)		4,575,000		4,392,000
ON Semiconductor Corp. Series B, 2.63%, 12/15/2026 (3)(c)		5,439,000		6,639,387
Palo Alto Networks, Inc. Zero Coupon, 7/1/2019 (2)		15,225,000		19,307,203
Pandora Media, Inc. 1.75%, 12/1/2020 (2)(e)		6,925,000		7,098,125
Priceline Group, Inc. (The) 1.00%, 3/15/2018 (2)(e)		16,500,000		25,977,188
Prospect Capital Corp. 4.75%, 4/15/2020 (3)(c)(e)		1,100,000		1,073,188
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (2)(e)		5,575,000		5,756,188
Spirit Realty Capital, Inc.
2.88%, 5/15/2019 (2)		4,025,000		4,188,516
3.75%, 5/15/2021 (2)		2,525,000		2,652,828
Starwood Property Trust, Inc.
4.55%, 3/1/2018 (2)(e)		5,925,000		6,454,547
4.00%, 1/15/2019 (2)		4,650,000		5,216,719
SunEdison, Inc.
2.00%, 10/1/2018 (3)(c)(d)(e)		5,950,000		148,750
0.25%, 1/15/2020 (3)(a)(c)(d)(e)		8,325,000		208,125
2.75%, 1/1/2021 (3)(c)(d)(e)		4,925,000		123,125
SunPower Corp.
0.75%, 6/1/2018 (2)(e)		2,825,000		2,577,812
4.00%, 1/15/2023 (2)		3,500,000		2,495,938
Tesla Motors, Inc. 1.50%, 6/1/2018 (2)		5,000,000		8,681,250

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

AQR Funds Annual Report December 2016

134

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 17.0% (continued)
TTM Technologies, Inc. 1.75%, 12/15/2020 (2)(e)	$	5,725,000	$	8,719,891
Unisys Corp. 5.50%, 3/1/2021 (2)(a)(e)		1,250,000		2,157,813
Vector Group Ltd.
2.50%, 1/15/2019 (2)(i)		3,925,000		6,113,054
1.75%, 4/15/2020 (2)(i)		3,275,000		3,756,016
VEREIT, Inc.
3.00%, 8/1/2018 (2)(e)		4,000,000		3,995,000
3.75%, 12/15/2020 (2)(e)		3,875,000		3,875,000
VeriSign, Inc. 4.49%, 8/15/2037 (2)		22,869,000		50,897,818
Vishay Intertechnology, Inc. 2.25%, 11/15/2040 (2)(e)		5,325,000		6,792,703
Weatherford International Ltd. 5.88%, 7/1/2021 (2)		23,650,000		25,660,250
WebMD Health Corp.
2.50%, 1/31/2018 (2)		4,775,000		4,876,469
1.50%, 12/1/2020 (2)(e)		1,675,000		1,889,609
Wright Medical Group NV 2.25%, 11/15/2021 (2)(a)(e)		6,675,000		8,322,891
				593,931,886
TOTAL CONVERTIBLE BONDS (Cost $593,556,870)				639,275,521
	SHARES
SHORT-TERM INVESTMENTS - 50.1%
INVESTMENT COMPANIES - 45.6%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (2)(j)(k)		1,001,518		1,001,518
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (2)(j)(k)		4,006,070		4,006,070
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (2)(j)(k)(l)		912,679,559		912,679,559
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (2)(j)(l)		671,143,088		671,143,088
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (2)(j)(k)		5,007,650		5,007,650
TOTAL INVESTMENT COMPANIES (Cost $1,593,837,885)				1,593,837,885
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 4.5%
U.S. Treasury Bills
0.34%, 1/5/2017 (2)(k)(m)	$	5,500,000		5,499,890
0.39%, 1/12/2017 (2)(k)(m)		7,547,500		7,546,745
0.43%, 1/26/2017 (2)(k)(m)		20,829,000		20,823,397
0.39%, 2/2/2017 (2)(k)(m)		16,027,000		16,021,359
0.44%, 2/9/2017 (2)(k)(m)		6,918,000		6,914,818
0.45%, 2/16/2017 (2)(k)(m)		11,601,000		11,594,759
0.45%, 2/23/2017 (2)(k)(m)		10,872,000		10,864,748
0.47%, 3/9/2017 (2)(k)(m)		1,076,000		1,075,068

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 4.5% (continued)
0.54%, 3/16/2017 (2)(k)(m)(n)	$	12,091,000		$	12,078,909
0.42%, 3/30/2017 (2)(k)(m)		4,602,000			4,596,514
0.49%, 4/6/2017 (2)(k)(m)(n)		7,883,000			7,872,271
0.47%, 4/20/2017 (2)(k)(m)(n)		7,838,000			7,825,389
0.50%, 5/4/2017 (2)(k)(m)(n)		2,334,000			2,329,372
0.63%, 5/18/2017 (2)(k)(m)(n)		28,488,000			28,423,275
0.61%, 5/25/2017 (2)(k)(m)		4,946,000			4,934,149
0.61%, 6/1/2017 (2)(k)(m)		3,607,000			3,597,687
0.62%, 6/8/2017 (2)(k)(m)(n)		1,866,000			1,860,986
0.65%, 6/15/2017 (2)(k)(m)(n)		4,132,000			4,120,633
TOTAL U.S. TREASURY OBLIGATIONS (Cost $157,976,976)					157,979,969
TOTAL SHORT-TERM INVESTMENTS (Cost $1,751,814,861)					1,751,817,854
TOTAL LONG POSITIONS (Cost $3,079,641,081)					3,117,686,551
	SHARES
SHORT POSITIONS - (25.3)%
COMMON STOCKS - (24.8)%
Canada - (1.3)%
BCE, Inc.		(139,959	)		(6,049,097	)
Canadian Imperial Bank of Commerce		(111,405	)		(9,090,628	)
Element Fleet Management Corp.		(349,648	)		(3,244,788	)
Enbridge, Inc.		(598,772	)		(25,220,277	)
Kirkland Lake Gold Ltd. *		(275,742	)		(1,441,708	)
					(45,046,498	)
China - (1.0)%
Alibaba Group Holding Ltd., ADR *		(408,709	)		(35,888,737	)
France - (0.5)%
Technip SA (2)		(227,869	)		(16,231,510	)
Israel - (1.3)%
Teva Pharmaceutical Industries Ltd., ADR		(1,212,825	)		(43,964,906	)
Mexico - (0.2)%
Cemex SAB de CV, ADR *		(934,065	)		(7,500,542	)
Monaco - 0.0% (o)
Scorpio Tankers, Inc.		(181,876	)		(823,898	)
Norway - (0.1)%
Marine Harvest ASA (2) *		(89,742	)		(1,622,580	)
Ship Finance International Ltd.		(199,991	)		(2,969,867	)
					(4,592,447	)
United States - (20.4)%
Abbott Laboratories		(39,928	)		(1,533,634	)
Acorda Therapeutics, Inc. *		(37,283	)		(700,920	)
Allegheny Technologies, Inc.		(397,059	)		(6,325,150	)
Allergan plc *		(127,573	)		(26,791,606	)

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

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135

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AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
United States - (20.4)% (continued)
Allscripts Healthcare Solutions, Inc. *		(121,647	)	$	(1,242,016	)
AMC Entertainment Holdings, Inc., Class A		(98,492	)		(3,314,256	)
Analog Devices, Inc.		(117,831	)		(8,556,887	)
Anthem, Inc.		(280,085	)		(40,267,820	)
Black Hills Corp.		(123,835	)		(7,596,039	)
Brookdale Senior Living, Inc. *		(4,007	)		(49,767	)
Bunge Ltd.		(35,153	)		(2,539,453	)
CalAtlantic Group, Inc.		(32,263	)		(1,097,265	)
Centene Corp. *		(1	)		(56	)
Chesapeake Energy Corp. *		(950,558	)		(6,672,917	)
Ciena Corp. *		(102,497	)		(2,501,952	)
Colony Capital, Inc., Class A, REIT		(379,959	)		(7,694,170	)
Cousins Properties, Inc., REIT		(176,643	)		(1,503,232	)
Dell Technologies, Inc., Class V *		(22,381	)		(1,230,284	)
Diebold Nixdorf, Inc.		(232	)		(5,835	)
DISH Network Corp., Class A *		(180,494	)		(10,456,017	)
Dominion Resources, Inc.		(160,767	)		(12,313,144	)
Dynegy, Inc. *		(479,012	)		(4,052,441	)
Echo Global Logistics, Inc. *		(12,829	)		(321,366	)
EI du Pont de Nemours & Co.		(13,720	)		(1,007,048	)
Emergent BioSolutions, Inc. *		(117,500	)		(3,858,700	)
Euronet Worldwide, Inc. *		(64,461	)		(4,668,910	)
Exelon Corp.		(473,069	)		(16,789,219	)
EZCORP, Inc., Class A *		(120,664	)		(1,285,072	)
FNB Corp.		(817,431	)		(13,103,419	)
General Cable Corp.		(41,800	)		(796,290	)
Great Plains Energy, Inc.		(967,824	)		(26,469,986	)
Horizon Pharma plc *		(142,907	)		(2,312,235	)
Huron Consulting Group, Inc. *		(12,057	)		(610,687	)
Innoviva, Inc. *		(78,402	)		(838,901	)
Inphi Corp. *		(77,694	)		(3,466,706	)
Integrated Device Technology, Inc. *		(103,464	)		(2,437,612	)
Intel Corp.		(1,310,251	)		(47,522,804	)
j2 Global, Inc.		(33,058	)		(2,704,144	)
Lam Research Corp.		(395,161	)		(41,780,372	)
Marriott International, Inc., Class A		(1	)		(83	)
Medicines Co. (The) *		(185,419	)		(6,293,121	)
Meritor, Inc. *		(108,087	)		(1,342,441	)
MGIC Investment Corp. *		(253,398	)		(2,582,126	)
Microchip Technology, Inc.		(734,643	)		(47,127,349	)
Micron Technology, Inc. *		(603,140	)		(13,220,829	)
Mid-America Apartment Communities, Inc., REIT		(111,537	)		(10,921,703	)
Molina Healthcare, Inc. *		(422,112	)		(22,903,797	)
NRG Yield, Inc., Class A		(65,207	)		(1,001,580	)
NRG Yield, Inc., Class C		(41,092	)		(649,254	)
ON Semiconductor Corp. *		(336,700	)		(4,296,292	)
Palo Alto Networks, Inc. *		(103,545	)		(12,948,302	)
Pandora Media, Inc. *		(269,931	)		(3,519,900	)
Parkway, Inc., REIT *		(22,080	)		(491,280	)
Post Holdings, Inc. *		(76,471	)		(6,147,504	)
Priceline Group, Inc. (The) *		(16,332	)		(23,943,692	)
Quintiles IMS Holdings, Inc. *		(226,672	)		(17,238,406	)
SEACOR Holdings, Inc. *		(24,960	)		(1,779,149	)
Southwestern Energy Co. *		(758,599	)		(8,208,041	)
Spirit Realty Capital, Inc., REIT		(151,620	)		(1,646,593	)

INVESTMENTS	SHARES			VALUE
United States - (20.4)% (continued)
Starwood Property Trust, Inc., REIT		(301,748	)	$	(6,623,369	)
Stericycle, Inc. *		(37,357	)		(2,877,983	)
SunPower Corp. *		(70,928	)		(468,834	)
TiVo Corp. *		(438,518	)		(9,165,026	)
T-Mobile US, Inc. *		(887,273	)		(51,027,070	)
TTM Technologies, Inc. *		(528,690	)		(7,206,045	)
Tyson Foods, Inc., Class A		(580,757	)		(35,821,092	)
Unisys Corp. *		(115,228	)		(1,722,659	)
Vail Resorts, Inc.		(38,253	)		(6,170,591	)
Vector Group Ltd.		(262,703	)		(5,973,866	)
VEREIT, Inc., REIT		(21,816	)		(184,563	)
VeriSign, Inc. *		(665,415	)		(50,618,119	)
Vishay Intertechnology, Inc.		(360,734	)		(5,843,891	)
Weatherford International plc *		(2,229,980	)		(11,127,600	)
WebMD Health Corp. *		(44,421	)		(2,201,949	)
Welltower, Inc., REIT		(110,597	)		(7,402,257	)
Wright Medical Group NV *		(259,375	)		(5,960,438	)
					(713,075,126	)
TOTAL COMMON STOCKS (Proceeds $(860,485,648))					(867,123,664	)
	PRINCIPAL AMOUNT
CONVERTIBLE BONDS - (0.5)%
United States - (0.5)%
Blackhawk Network Holdings, Inc. 1.50%, 1/15/2022 (2)(a)	$	(3,975,000	)		(4,074,375	)
Macquarie Infrastructure Corp. 2.00%, 10/1/2023 (2)		(2,150,000	)		(2,164,781	)
ON Semiconductor Corp. 1.00%, 12/1/2020 (2)		(5,100,000	)		(5,224,313	)
Priceline Group, Inc. (The) 0.90%, 9/15/2021 (2)		(5,200,000	)		(5,492,500	)
TOTAL CONVERTIBLE BONDS (Proceeds $(16,775,779))					(16,955,969	)
TOTAL SHORT POSITIONS (Proceeds $(877,261,427))					(884,079,633	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 63.8% (Cost $2,202,379,654)					2,233,606,918
OTHER ASSETS IN EXCESS OF LIABILITIES - 36.2% (h)				1,264,244,557
NET ASSETS - 100.0%				$	3,497,851,475

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

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AQR MULTI-STRATEGY ALTERNATIVE FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	39,311,766		1.1	%
Consumer Staples		70,731,261		2.0
Energy		33,671,827		1.0
Financials		70,932,752		2.0
Health Care		66,575,564		1.9
Industrials		23,622,612		0.7
Information Technology		32,708,654		0.9
Materials		49,341,642		1.4
Real Estate		22,004,559		0.6
Telecommunication Services		7,619,698		0.2
Utilities		65,268,729		1.9
Short-Term Investments		1,751,817,854		50.1
Total Investments In Securities, At Value		2,233,606,918		63.8
Other Assets in Excess of Liabilities (h)		1,264,244,557		36.2
Net Assets	$	3,497,851,475		100.0	%

* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 12/31/2016 amounted to $115,778,402, which represents approximately 3.31% of net assets of the fund.

(b) Perpetual security. The rate reflected was the rate in effect on 12/31/2016. The maturity date reflects the next call date.

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 12/31/2016 amounted to $8,192,575, which represents approximately 0.23% of net assets of the fund.

(d) Defaulted security.

(e) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $213,692,018. In addition, $894,883,779 of cash collateral was pledged.

(f) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At 12/31/2016, the value of these securities amounted to $1,699,609 or 0.05% of net assets.

(g) Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency.

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

(i) Variable or floating rate security. The interest rate shown was the current rate as of 12/31/2016 and changes periodically.

(j) Represents 7-day effective yield as of 12/31/2016.

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

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

(m) The rate shown was the effective yield at the date of purchase.

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

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

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).

Abbreviations

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

Credit default swap contracts sell protection as of December 31, 2016:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND		CURRENCY	CREDIT SPREAD		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CITG	iTraxx Europe Crossover Series 26.V1		5.000%	EUR		2.882%		105,579,000		$9,989,140		12/20/2021		$743,199
CITG	Markit CDX North America High Yield Index Series 27.V1		5.000%	USD		3.542%		179,504,000		9,061,688		12/20/2021		2,314,504
CITG	Markit CDX North America Investment Grade Index Series 27.V1		1.000%	USD		0.677%		158,900,000		1,450,841		12/20/2021		1,001,777
										$20,501,669				$4,059,480

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

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AQR MULTI-STRATEGY ALTERNATIVE FUND

Credit default swap contracts buy protection as of December 31, 2016:

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE PAID BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared

CITG

iTraxx Europe Series 26.V1

1.000%

EUR

0.721%

72,012,000

$(998,161

)

12/20/2021

$(60,497

)

Open written options contracts outstanding at December 31, 2016:

Exchange Traded

Call options written

NUMBER OF CONTRACTS	ISSUER	COUNTERPARTY	EXPIRATION DATE		PROCEEDS			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
411	Tesla Motors, Inc. (Exercise price $125)	JPMS		01/19/2018		$(2,146,186	)		$(3,779,145	)		$(1,632,959	)

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MSCS	BIST 30 February Futures	02/2017	TRY		14,213,524			$45,387
MSCS	Bovespa Index February Futures	02/2017	BRL		81,515,399			37,003
CITI	Cocoa March Futures^	02/2017	USD		(2,352,305	)		366,805
CITI	Cocoa March Futures^	02/2017	USD		369,110			71,470
SOCG	Cocoa March Futures^	02/2017	USD		(475,125	)		92,445
GSIN	Cocoa March Futures^	02/2017	USD		662,850			88,830
GSIN	Cocoa March Futures^	02/2017	USD		(1,006,550	)		3,670
MACQ	Cocoa March Futures^	02/2017	USD		395,095			76,195
MACQ	Cocoa March Futures^	02/2017	USD		(1,690,559	)		241,040
MLIN	Cocoa March Futures^	03/2017	USD		210,720			40,640
MLIN	Cocoa March Futures^	03/2017	USD		(1,836,100	)		273,610
CITI	Coffee ‘C’ March Futures^	02/2017	USD		(3,266,991	)		67,322
CITI	Coffee ‘C’ March Futures^	02/2017	USD		3,266,991			(645,909	)
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		(1,839,332	)		51,394
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		3,738,857			(758,019	)
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		(3,666,444	)		107,402
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		6,380,383			(1,292,402	)
MLIN	Coffee ‘C’ March Futures^	03/2017	USD		(4,179,731	)		102,694
MLIN	Coffee ‘C’ March Futures^	03/2017	USD		4,179,731			(890,531	)
CITI	Corn March Futures^	02/2017	USD		23,501,392			(163,793	)
MACQ	Corn March Futures^	02/2017	USD		32,212,811			(233,611	)
MACQ	Corn March Futures^	02/2017	USD		(26,367,401	)		329,491
MLIN	Corn March Futures^	03/2017	USD		(6,451,200	)		(59,150	)
MLIN	Corn March Futures^	03/2017	USD		6,451,200			(44,800	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		1,435,685			(22,685	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		(827,425	)		(7,800	)
SOCG	Cotton No. 2 March Futures^	02/2017	USD		491,142			3,408

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

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COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
SOCG	Cotton No. 2 March Futures^	02/2017	USD		(103,773	)		$ (1,396	)
GSIN	Cotton No. 2 March Futures^	02/2017	USD		932,360			(13,910	)
MACQ	Cotton No. 2 March Futures^	02/2017	USD		1,462,227			21,423
MACQ	Cotton No. 2 March Futures^	02/2017	USD		(242,787	)		(2,380	)
MLIN	Cotton No. 2 March Futures^	03/2017	USD		1,155,805			(25,405	)
MLIN	Cotton No. 2 March Futures^	03/2017	USD		(542,360	)		(4,575	)
BANA	Hang Seng Index January Futures	01/2017	HKD		9,709,291			22,384
GSIN	Hang Seng Index January Futures	01/2017	HKD		7,560,876			16,224
JPMC	Hang Seng Index January Futures	01/2017	HKD		33,367,962			86,787
MSCS	Hang Seng Index January Futures	01/2017	HKD		5,392,806			12,596
MACQ	Hard Red Winter Wheat March Futures^	02/2017	USD		(1,181,087	)		30,212
MLIN	Hard Red Winter Wheat March Futures^	03/2017	USD		(608,638	)		1,812
GSIN	H-SHARES Index January Futures	01/2017	HKD		127,004,188			328,823
JPMC	H-SHARES Index January Futures	01/2017	HKD		132,899,304			476,496
MSCS	H-SHARES Index January Futures	01/2017	HKD		75,301,737			216,585
JPMC	KOSPI Index 200 March Futures	03/2017	KRW		13,775,478,323			339,625
MSCS	KOSPI Index 200 March Futures	03/2017	KRW		84,418,618,150			2,417,595
SOCG	Lean Hogs February Futures^	02/2017	USD		(64,215	)		2,997
SOCG	Lean Hogs February Futures^	02/2017	USD		64,215			(15,165	)
MACQ	Lean Hogs February Futures^	02/2017	USD		(1,774,035	)		(95,957	)
MACQ	Lean Hogs February Futures^	02/2017	USD		1,057,537			(239,003	)
MLIN	Lean Hogs February Futures^	02/2017	USD		194,990			(43,150	)
MLIN	Lean Hogs February Futures^	02/2017	USD		(194,990	)		4,740
SOCG	Live Cattle February Futures^	02/2017	USD		(6,919,317	)		216,038
SOCG	Live Cattle February Futures^	02/2017	USD		6,397,374			(658,466	)
MACQ	Live Cattle February Futures^	02/2017	USD		(8,837,238	)		99,098
MACQ	Live Cattle February Futures^	02/2017	USD		6,516,204			(725,316	)
MLIN	Live Cattle February Futures^	02/2017	USD		(4,398,690	)		224,250
MLIN	Live Cattle February Futures^	02/2017	USD		4,398,690			(475,410	)
BANA	MSCI Taiwan Stock Index January Futures	01/2017	USD		3,527,057			48,463
GSIN	MSCI Taiwan Stock Index January Futures	01/2017	USD		6,835,574			74,806
MSCS	MSCI Taiwan Stock Index January Futures	01/2017	USD		7,014,945			67,335
GSIN	NSE Nifty 50 Index January Futures	01/2017	INR		(3,390,017,453	)		(1,194,344	)
BANA	OMXS30 Index January Futures	01/2017	SEK		33,571,345			(49,674	)
MSCS	SGX S&P CNX Nifty Index January Futures	01/2017	USD		(15,004,629	)		(185,803	)
CITI	Soybean March Futures^	02/2017	USD		(7,342,351	)		17,670
CITI	Soybean March Futures^	02/2017	USD		19,189,149			(765,749	)
SOCG	Soybean March Futures^	02/2017	USD		(8,418,380	)		135,777
SOCG	Soybean March Futures^	02/2017	USD		8,418,380			(336,180	)
GSIN	Soybean March Futures^	02/2017	USD		10,663,991			(189,085	)
GSIN	Soybean March Futures^	02/2017	USD		(2,325,853	)		(120,207	)
MACQ	Soybean March Futures^	02/2017	USD		7,737,667			(308,067	)
MACQ	Soybean March Futures^	02/2017	USD		(7,737,667	)		206,922
MLIN	Soybean March Futures^	03/2017	USD		(3,840,725	)		35,588
MLIN	Soybean March Futures^	03/2017	USD		12,238,938			(492,138	)
CITI	Soybean Meal March Futures^	02/2017	USD		2,151,650			(30,430	)
SOCG	Soybean Meal March Futures^	02/2017	USD		1,091,507			(15,067	)
GSIN	Soybean Meal March Futures^	02/2017	USD		3,499,910			(48,970	)
MLIN	Soybean Meal March Futures^	03/2017	USD		5,653,680			(81,520	)
CITI	Soybean Oil March Futures^	02/2017	USD		629,439			(47,151	)
CITI	Soybean Oil March Futures^	02/2017	USD		(629,439	)		25,992
SOCG	Soybean Oil March Futures^	02/2017	USD		(2,206,696	)		16,847
SOCG	Soybean Oil March Futures^	02/2017	USD		5,153,136			(390,852	)
MACQ	Soybean Oil March Futures^	02/2017	USD		(91,968	)		6,000
MACQ	Soybean Oil March Futures^	02/2017	USD		2,697,993			(202,473	)
MLIN	Soybean Oil March Futures^	03/2017	USD		(412,056	)		(30,750	)
MLIN	Soybean Oil March Futures^	03/2017	USD		412,056			37,728

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

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AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MSCS	Swiss Market Index March Futures	03/2017		CHF		(276,658,589	)		$ (6,607,420	)
BANA	Taiwan Stock Exchange January Futures	01/2017		TWD		100,193,731			(5,518	)
GSIN	Taiwan Stock Exchange January Futures	01/2017		TWD		27,751,055			984
JPMC	Taiwan Stock Exchange January Futures	01/2017		TWD		53,797,428			(2,641	)
MSCS	Taiwan Stock Exchange January Futures	01/2017		TWD		1,240,219,361			(34,942	)
BANA	Tel Aviv 25 Index January Futures	01/2017		ILS		(83,879,906	)		(141,382	)
CITI	Wheat March Futures^	02/2017		USD		(8,123,338	)		330,538
SOCG	Wheat March Futures^	02/2017		USD		2,334,898			111,298
SOCG	Wheat March Futures^	02/2017		USD		(3,959,224	)		19,855
MACQ	Wheat March Futures^	02/2017		USD		364,717			17,917
MACQ	Wheat March Futures^	02/2017		USD		(1,746,401	)		35,059
MLIN	Wheat March Futures^	03/2017		USD		2,096,975			97,775
MLIN	Wheat March Futures^	03/2017		USD		(4,560,150	)		30,150
GSIN	WIG20 Index March Futures	03/2017		PLN		(20,950,038	)		(149,922	)
									$(10,015,923	)

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

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1,196	GSCO	Brent Crude Futures^		01/2017		$66,647,731		$67,956,720		$1,308,989
274	MSCL	Copper Futures^		03/2017		17,258,110		17,162,675		(95,435	)
486	GSCO	Gas Oil Futures^		02/2017		23,655,989		24,530,850		874,861
141	MSCL	Gasoline RBOB Futures^		01/2017		9,351,504		9,895,070		543,566
44	MSCL	Gold 100 OZ Futures^		02/2017		5,102,595		5,067,480		(35,115	)
237	MSCL	Heating Oil ULSD Futures^		01/2017		16,578,899		17,202,502		623,603
74	JPPC	LME Aluminum Futures^		01/2017		3,103,929		3,149,625		45,696
35	JPPC	LME Aluminum Futures^		01/2017		1,474,311		1,488,812		14,501
15	JPPC	LME Aluminum Futures^		01/2017		628,743		637,875		9,132
3	JPPC	LME Aluminum Futures^		01/2017		126,309		127,462		1,153
11	JPPC	LME Aluminum Futures^		01/2017		463,578		466,950		3,372
4	JPPC	LME Aluminum Futures^		01/2017		165,698		169,600		3,902
4	JPPC	LME Aluminum Futures^		01/2017		166,956		169,400		2,444
16	JPPC	LME Aluminum Futures^		01/2017		646,039		677,144		31,105
21	JPPC	LME Aluminum Futures^		01/2017		857,912		888,610		30,698
11	JPPC	LME Aluminum Futures^		01/2017		456,532		465,423		8,891
29	JPPC	LME Aluminum Futures^		01/2017		1,252,866		1,226,635		(26,231	)
40	JPPC	LME Aluminum Futures^		02/2017		1,731,136		1,691,770		(39,366	)
79	JPPC	LME Aluminum Futures^		02/2017		3,412,142		3,340,712		(71,430	)
41	JPPC	LME Aluminum Futures^		02/2017		1,764,521		1,733,470		(31,051	)
27	JPPC	LME Aluminum Futures^		02/2017		1,161,890		1,141,445		(20,445	)
6	JPPC	LME Aluminum Futures^		02/2017		261,396		253,632		(7,764	)
5	JPPC	LME Aluminum Futures^		02/2017		218,826		211,301		(7,525	)
19	JPPC	LME Aluminum Futures^		02/2017		800,357		802,632		2,275
9	JPPC	LME Aluminum Futures^		02/2017		384,772		380,374		(4,398	)
10	JPPC	LME Aluminum Futures^		02/2017		434,900		422,688		(12,212	)
6	JPPC	LME Aluminum Futures^		02/2017		264,341		253,792		(10,549	)
15	JPPC	LME Aluminum Futures^		03/2017		646,012		634,556		(11,456	)

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

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140

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
28	JPPC	LME Aluminum Futures^		03/2017		$ 1,195,294		$ 1,184,645		$ (10,649	)
75	JPPC	LME Aluminum Futures^		03/2017		3,212,925		3,174,656		(38,269	)
9	JPPC	LME Aluminum Futures^		03/2017		387,027		381,004		(6,023	)
14	JPPC	LME Aluminum Futures^		03/2017		603,784		592,742		(11,042	)
11	JPPC	LME Aluminum Futures^		03/2017		477,977		465,781		(12,196	)
353	JPPC	LME Aluminum Futures^		03/2017		15,248,027		14,938,519		(309,508	)
1	JPPC	LME Aluminum Futures^		03/2017		43,502		42,331		(1,171	)
2	JPPC	LME Aluminum Futures^		03/2017		86,705		84,650		(2,055	)
6	JPPC	LME Aluminum Futures^		03/2017		257,325		253,913		(3,412	)
17	JPPC	LME Aluminum Futures^		03/2017		731,042		719,496		(11,546	)
5	JPPC	LME Aluminum Futures^		03/2017		212,531		211,620		(911	)
14	JPPC	LME Aluminum Futures^		03/2017		590,187		592,550		2,363
4	JPPC	LME Copper Futures^		01/2017		469,012		552,569		83,557
15	JPPC	LME Copper Futures^		01/2017		1,762,582		2,072,250		309,668
16	JPPC	LME Copper Futures^		01/2017		1,867,899		2,209,900		342,001
115	JPPC	LME Copper Futures^		01/2017		13,373,830		15,884,576		2,510,746
9	JPPC	LME Copper Futures^		01/2017		1,044,397		1,243,431		199,034
4	JPPC	LME Copper Futures^		01/2017		473,435		552,668		79,233
1	JPPC	LME Copper Futures^		01/2017		118,419		138,175		19,756
2	JPPC	LME Copper Futures^		01/2017		242,691		276,431		33,740
2	JPPC	LME Copper Futures^		02/2017		244,412		276,447		32,035
11	JPPC	LME Copper Futures^		02/2017		1,362,875		1,520,632		157,757
6	JPPC	LME Copper Futures^		02/2017		759,294		829,629		70,335
6	JPPC	LME Copper Futures^		02/2017		768,870		829,677		60,807
7	JPPC	LME Copper Futures^		02/2017		941,824		968,012		26,188
35	JPPC	LME Copper Futures^		02/2017		5,031,474		4,839,792		(191,682	)
14	JPPC	LME Copper Futures^		02/2017		1,961,159		1,935,696		(25,463	)
23	JPPC	LME Copper Futures^		02/2017		3,143,762		3,179,750		35,988
1	JPPC	LME Copper Futures^		02/2017		136,910		138,250		1,340
7	JPPC	LME Copper Futures^		02/2017		1,017,926		968,180		(49,746	)
3	JPPC	LME Copper Futures^		03/2017		434,196		414,951		(19,245	)
1	JPPC	LME Copper Futures^		03/2017		143,855		138,323		(5,532	)
1	JPPC	LME Copper Futures^		03/2017		147,502		138,351		(9,151	)
47	JPPC	LME Copper Futures^		03/2017		6,856,280		6,503,331		(352,949	)
3	JPPC	LME Nickel Futures^		01/2017		181,168		179,619		(1,549	)
10	JPPC	LME Nickel Futures^		01/2017		619,405		598,770		(20,635	)
9	JPPC	LME Nickel Futures^		02/2017		623,156		539,414		(83,742	)
21	JPPC	LME Nickel Futures^		02/2017		1,465,226		1,258,714		(206,512	)
11	JPPC	LME Nickel Futures^		02/2017		739,478		659,496		(79,982	)
9	JPPC	LME Nickel Futures^		02/2017		608,087		539,656		(68,431	)
5	JPPC	LME Nickel Futures^		02/2017		332,054		299,828		(32,226	)
2	JPPC	LME Nickel Futures^		02/2017		134,487		119,963		(14,524	)
4	JPPC	LME Nickel Futures^		02/2017		273,692		239,955		(33,737	)
4	JPPC	LME Nickel Futures^		02/2017		281,945		240,033		(41,912	)
1	JPPC	LME Nickel Futures^		03/2017		68,252		60,042		(8,210	)
98	JPPC	LME Nickel Futures^		03/2017		6,765,895		5,886,468		(879,427	)
5	JPPC	LME Nickel Futures^		03/2017		340,212		300,291		(39,921	)
4	JPPC	LME Nickel Futures^		03/2017		261,970		240,336		(21,634	)
3	JPPC	LME Nickel Futures^		03/2017		197,017		180,262		(16,755	)
3	JPPC	LME Nickel Futures^		03/2017		192,316		180,274		(12,042	)
1	JPPC	LME Nickel Futures^		03/2017		63,669		60,094		(3,575	)
5	JPPC	LME Nickel Futures^		03/2017		306,012		300,564		(5,448	)
9	JPPC	LME Nickel Futures^		03/2017		546,502		541,048		(5,454	)
4	JPPC	LME Nickel Futures^		03/2017		242,626		240,480		(2,146	)
4	JPPC	LME Zinc Futures^		01/2017		232,902		255,857		22,955
2	JPPC	LME Zinc Futures^		02/2017		123,150		128,325		5,175

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

AQR Funds Annual Report December 2016

141

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	JPPC	LME Zinc Futures^		02/2017		$ 63,576		$ 64,188		$ 612
2	JPPC	LME Zinc Futures^		02/2017		128,442		128,405		(37	)
12	JPPC	LME Zinc Futures^		02/2017		852,534		771,006		(81,528	)
2	JPPC	LME Zinc Futures^		03/2017		136,205		128,519		(7,686	)
11	JPPC	LME Zinc Futures^		03/2017		737,577		706,951		(30,626	)
22	JPPC	LME Zinc Futures^		03/2017		1,501,781		1,414,682		(87,099	)
4	JPPC	LME Zinc Futures^		03/2017		285,210		257,250		(27,960	)
1	JPPC	LME Zinc Futures^		03/2017		68,628		64,319		(4,309	)
3	JPPC	LME Zinc Futures^		03/2017		204,009		192,975		(11,034	)
2	JPPC	LME Zinc Futures^		03/2017		137,255		128,700		(8,555	)
128	JPPC	LME Zinc Futures^		03/2017		8,822,795		8,236,800		(585,995	)
1	JPPC	LME Zinc Futures^		03/2017		63,934		64,373		439
1	JPPC	LME Zinc Futures^		03/2017		65,402		64,376		(1,026	)
3	JPPC	LME Zinc Futures^		03/2017		192,271		193,179		908
39	MSCL	NYMEX Palladium Futures^		03/2017		2,934,552		2,664,675		(269,877	)
367	MSCL	Silver Futures^		03/2017		30,818,872		29,339,815		(1,479,057	)
232	MSCL	Sugar #11 (World Markets) Futures^		02/2017		5,978,973		5,069,478		(909,495	)
113	JPMS	BIST 30 Futures		02/2017		305,989		308,460		2,471
472	BARC	DAX Index Futures		03/2017		140,187,088		142,409,858		2,222,770
390	BARC	E-Mini DJIA CBOT Futures		03/2017		38,451,379		38,598,300		146,921
73	JPMS	E-Mini MSCI EAFE Index Futures		03/2017		6,169,464		6,115,940		(53,524	)
14	BARC	E-Mini MSCI Emerging Markets Index Futures		03/2017		611,179		601,230		(9,949	)
2,134	BARC	E-Mini Russell 2000 Futures		03/2017		147,251,876		144,781,230		(2,470,646	)
1,378	BARC	Euro Stoxx 50 Index Futures		03/2017		46,887,816		47,534,579		646,763
2,427	BARC	FTSE 100 Index Futures		03/2017		205,933,874		210,867,949		4,934,075
313	BARC	H-SHARES Index Futures		01/2017		18,548,135		18,946,702		398,567
212	BARC	IBEX 35 Index Futures		01/2017		20,621,765		20,783,951		162,186
1	BARC	KOSPI Index 200 Futures		03/2017		104,823		107,654		2,831
1	JPMS	KOSPI Index 200 Futures		03/2017		106,823		107,655		832
271	BARC	MSCI Taiwan Stock Index Futures		01/2017		9,249,404		9,316,981		67,577
211	BARC	NASDAQ 100 E-Mini Futures		03/2017		20,584,571		20,744,465		159,894
49	JPMS	Nikkei 225 Futures		03/2017		7,895,412		8,007,700		112,288
327	JPMS	OMXS30 Index Futures		01/2017		5,537,555		5,452,033		(85,522	)
99	BARC	S&P MID 400 E-Mini Futures		03/2017		16,705,761		16,425,090		(280,671	)
198	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		26,452,283		26,453,089		806
79	BARC	SGX S&P CNX Nifty Index Futures		01/2017		1,265,666		1,293,151		27,485
705	BARC	SPI 200 Index Futures		03/2017		70,416,147		71,621,144		1,204,997
1,802	BARC	TOPIX Index Futures		03/2017		228,969,015		234,048,000		5,078,985
244	JPMS	90-Day Sterling Futures		12/2017		37,391,403		37,411,539		20,136
238	JPMS	ASX 90 Day Bank Accepted Bills Futures		03/2017		171,036,641		170,981,170		(55,471	)
760	JPMS	ASX 90 Day Bank Accepted Bills Futures		06/2017		546,193,265		545,936,685		(256,580	)
778	JPMS	ASX 90 Day Bank Accepted Bills Futures		09/2017		559,139,483		558,784,479		(355,004	)
710	JPMS	ASX 90 Day Bank Accepted Bills Futures		12/2017		510,002,751		509,844,607		(158,144	)
3,100	GSCO	Euro - SCHATZ Futures		03/2017		366,108,695		366,426,406		317,711
905	GSCO	Euro-Bobl Futures		03/2017		126,732,059		127,302,384		570,325
1,115	GSCO	Euro-Bund Futures		03/2017		190,244,231		192,663,632		2,419,401
3,054	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		379,022,806		379,554,938		532,132
						4,190,085,520		4,206,372,314		16,286,794

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

AQR Funds Annual Report December 2016

142

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
260	GSCO	Cocoa Futures^		03/2017		$ (6,426,351	)		$ (5,549,743	)		$ 876,608
149	MSCL	Hard Red Winter Wheat Futures^		03/2017		(3,187,977	)		(3,117,825	)		70,152
74	JPPC	LME Aluminum Futures^		01/2017		(3,102,649	)		(3,149,625	)		(46,976	)
35	JPPC	LME Aluminum Futures^		01/2017		(1,470,789	)		(1,488,812	)		(18,023	)
15	JPPC	LME Aluminum Futures^		01/2017		(629,401	)		(637,875	)		(8,474	)
3	JPPC	LME Aluminum Futures^		01/2017		(125,880	)		(127,462	)		(1,582	)
11	JPPC	LME Aluminum Futures^		01/2017		(462,900	)		(466,950	)		(4,050	)
4	JPPC	LME Aluminum Futures^		01/2017		(165,280	)		(169,600	)		(4,320	)
4	JPPC	LME Aluminum Futures^		01/2017		(164,428	)		(169,400	)		(4,972	)
16	JPPC	LME Aluminum Futures^		01/2017		(647,698	)		(677,144	)		(29,446	)
21	JPPC	LME Aluminum Futures^		01/2017		(856,728	)		(888,610	)		(31,882	)
11	JPPC	LME Aluminum Futures^		01/2017		(458,393	)		(465,424	)		(7,031	)
29	JPPC	LME Aluminum Futures^		01/2017		(1,254,164	)		(1,226,634	)		27,530
40	JPPC	LME Aluminum Futures^		02/2017		(1,734,967	)		(1,691,770	)		43,197
79	JPPC	LME Aluminum Futures^		02/2017		(3,406,411	)		(3,340,713	)		65,698
41	JPPC	LME Aluminum Futures^		02/2017		(1,767,506	)		(1,733,470	)		34,036
27	JPPC	LME Aluminum Futures^		02/2017		(1,156,634	)		(1,141,445	)		15,189
6	JPPC	LME Aluminum Futures^		02/2017		(261,623	)		(253,632	)		7,991
5	JPPC	LME Aluminum Futures^		02/2017		(219,488	)		(211,301	)		8,187
19	JPPC	LME Aluminum Futures^		02/2017		(803,256	)		(802,631	)		625
9	JPPC	LME Aluminum Futures^		02/2017		(386,305	)		(380,374	)		5,931
10	JPPC	LME Aluminum Futures^		02/2017		(435,760	)		(422,687	)		13,073
6	JPPC	LME Aluminum Futures^		02/2017		(264,210	)		(253,792	)		10,418
15	JPPC	LME Aluminum Futures^		03/2017		(645,660	)		(634,557	)		11,103
28	JPPC	LME Aluminum Futures^		03/2017		(1,199,389	)		(1,184,645	)		14,744
75	JPPC	LME Aluminum Futures^		03/2017		(3,218,391	)		(3,174,656	)		43,735
9	JPPC	LME Aluminum Futures^		03/2017		(387,318	)		(381,004	)		6,314
14	JPPC	LME Aluminum Futures^		03/2017		(602,619	)		(592,742	)		9,877
11	JPPC	LME Aluminum Futures^		03/2017		(479,329	)		(465,782	)		13,547
197	JPPC	LME Aluminum Futures^		03/2017		(8,441,830	)		(8,336,793	)		105,037
1	JPPC	LME Aluminum Futures^		03/2017		(43,565	)		(42,331	)		1,234
2	JPPC	LME Aluminum Futures^		03/2017		(86,785	)		(84,650	)		2,135
6	JPPC	LME Aluminum Futures^		03/2017		(257,885	)		(253,913	)		3,972
17	JPPC	LME Aluminum Futures^		03/2017		(727,574	)		(719,495	)		8,079
5	JPPC	LME Aluminum Futures^		03/2017		(211,623	)		(211,620	)		3
14	JPPC	LME Aluminum Futures^		03/2017		(593,976	)		(592,550	)		1,426
4	JPPC	LME Copper Futures^		01/2017		(468,576	)		(552,569	)		(83,993	)
15	JPPC	LME Copper Futures^		01/2017		(1,758,583	)		(2,072,250	)		(313,667	)
16	JPPC	LME Copper Futures^		01/2017		(1,864,450	)		(2,209,900	)		(345,450	)
115	JPPC	LME Copper Futures^		01/2017		(13,370,744	)		(15,884,576	)		(2,513,832	)
9	JPPC	LME Copper Futures^		01/2017		(1,045,178	)		(1,243,431	)		(198,253	)
4	JPPC	LME Copper Futures^		01/2017		(473,223	)		(552,668	)		(79,445	)
1	JPPC	LME Copper Futures^		01/2017		(118,348	)		(138,175	)		(19,827	)
2	JPPC	LME Copper Futures^		01/2017		(241,970	)		(276,430	)		(34,460	)
2	JPPC	LME Copper Futures^		02/2017		(244,163	)		(276,447	)		(32,284	)
11	JPPC	LME Copper Futures^		02/2017		(1,359,282	)		(1,520,632	)		(161,350	)
6	JPPC	LME Copper Futures^		02/2017		(759,735	)		(829,629	)		(69,894	)
6	JPPC	LME Copper Futures^		02/2017		(759,885	)		(829,677	)		(69,792	)
7	JPPC	LME Copper Futures^		02/2017		(943,469	)		(968,012	)		(24,543	)
35	JPPC	LME Copper Futures^		02/2017		(5,136,641	)		(4,839,792	)		296,849
14	JPPC	LME Copper Futures^		02/2017		(1,968,366	)		(1,935,696	)		32,670
23	JPPC	LME Copper Futures^		02/2017		(3,144,028	)		(3,179,750	)		(35,722	)
1	JPPC	LME Copper Futures^		02/2017		(136,747	)		(138,250	)		(1,503	)
7	JPPC	LME Copper Futures^		02/2017		(1,019,332	)		(968,180	)		51,152
3	JPPC	LME Copper Futures^		03/2017		(433,493	)		(414,951	)		18,542
1	JPPC	LME Copper Futures^		03/2017		(143,747	)		(138,323	)		5,424

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

AQR Funds Annual Report December 2016

143

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	JPPC	LME Copper Futures^		03/2017		$ (147,998	)		$ (138,351	)		$ 9,647
3	JPPC	LME Nickel Futures^		01/2017		(180,985	)		(179,619	)		1,366
10	JPPC	LME Nickel Futures^		01/2017		(617,020	)		(598,770	)		18,250
9	JPPC	LME Nickel Futures^		02/2017		(623,895	)		(539,413	)		84,482
21	JPPC	LME Nickel Futures^		02/2017		(1,474,917	)		(1,258,713	)		216,204
11	JPPC	LME Nickel Futures^		02/2017		(742,358	)		(659,496	)		82,862
9	JPPC	LME Nickel Futures^		02/2017		(610,718	)		(539,657	)		71,061
5	JPPC	LME Nickel Futures^		02/2017		(332,538	)		(299,829	)		32,709
2	JPPC	LME Nickel Futures^		02/2017		(133,964	)		(119,963	)		14,001
4	JPPC	LME Nickel Futures^		02/2017		(272,700	)		(239,955	)		32,745
4	JPPC	LME Nickel Futures^		02/2017		(282,710	)		(240,032	)		42,678
1	JPPC	LME Nickel Futures^		03/2017		(68,268	)		(60,043	)		8,225
5	JPPC	LME Nickel Futures^		03/2017		(340,324	)		(300,291	)		40,033
35	JPPC	LME Nickel Futures^		03/2017		(2,217,329	)		(2,102,310	)		115,019
4	JPPC	LME Nickel Futures^		03/2017		(262,849	)		(240,336	)		22,513
3	JPPC	LME Nickel Futures^		03/2017		(196,326	)		(180,263	)		16,063
3	JPPC	LME Nickel Futures^		03/2017		(192,240	)		(180,273	)		11,967
1	JPPC	LME Nickel Futures^		03/2017		(63,489	)		(60,095	)		3,394
5	JPPC	LME Nickel Futures^		03/2017		(305,123	)		(300,564	)		4,559
9	JPPC	LME Nickel Futures^		03/2017		(545,170	)		(541,048	)		4,122
4	JPPC	LME Nickel Futures^		03/2017		(241,878	)		(240,480	)		1,398
4	JPPC	LME Zinc Futures^		01/2017		(234,088	)		(255,857	)		(21,769	)
2	JPPC	LME Zinc Futures^		02/2017		(122,803	)		(128,325	)		(5,522	)
1	JPPC	LME Zinc Futures^		02/2017		(63,403	)		(64,188	)		(785	)
2	JPPC	LME Zinc Futures^		02/2017		(130,208	)		(128,405	)		1,803
12	JPPC	LME Zinc Futures^		02/2017		(840,313	)		(771,006	)		69,307
2	JPPC	LME Zinc Futures^		03/2017		(137,105	)		(128,519	)		8,586
11	JPPC	LME Zinc Futures^		03/2017		(740,981	)		(706,951	)		34,030
22	JPPC	LME Zinc Futures^		03/2017		(1,512,699	)		(1,414,682	)		98,017
4	JPPC	LME Zinc Futures^		03/2017		(282,114	)		(257,250	)		24,864
1	JPPC	LME Zinc Futures^		03/2017		(68,323	)		(64,318	)		4,005
3	JPPC	LME Zinc Futures^		03/2017		(204,117	)		(192,975	)		11,142
2	JPPC	LME Zinc Futures^		03/2017		(137,073	)		(128,700	)		8,373
66	JPPC	LME Zinc Futures^		03/2017		(4,525,642	)		(4,247,100	)		278,542
1	JPPC	LME Zinc Futures^		03/2017		(64,331	)		(64,373	)		(42	)
1	JPPC	LME Zinc Futures^		03/2017		(65,088	)		(64,377	)		711
3	JPPC	LME Zinc Futures^		03/2017		(193,031	)		(193,179	)		(148	)
716	MSCL	Natural Gas Futures^		01/2017		(25,679,853	)		(26,663,841	)		(983,988	)
20	MSCL	Platinum Futures^		04/2017		(919,687	)		(905,700	)		13,987
186	MSCL	Soybean Futures^		03/2017		(9,435,580	)		(9,337,200	)		98,380
189	MSCL	WTI Crude Futures^		01/2017		(9,707,008	)		(10,153,080	)		(446,072	)
209	BARC	Amsterdam Index Futures		01/2017		(20,807,820	)		(21,256,771	)		(448,951	)
396	BARC	CAC40 Index Futures		01/2017		(19,930,786	)		(20,271,386	)		(340,600	)
995	BARC	FTSE Bursa Malaysia KLCI Index Futures		01/2017		(18,008,702	)		(18,137,790	)		(129,088	)
265	JPMS	FTSE China A50 Index Futures		01/2017		(2,639,583	)		(2,640,063	)		(480	)
1,063	JPMS	FTSE/JSE Top 40 Index Futures		03/2017		(34,637,829	)		(34,293,094	)		344,735
343	BARC	FTSE/MIB Index Futures		03/2017		(33,663,962	)		(34,670,685	)		(1,006,723	)
313	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		03/2017		(7,058,507	)		(6,912,993	)		145,514
541	BARC	MSCI Singapore Index Futures		01/2017		(11,979,040	)		(11,947,091	)		31,949
2,673	BARC	S&P 500 E-Mini Futures		03/2017		(301,080,561	)		(298,868,131	)		2,212,430
1,560	BARC	SET50 Index Futures		03/2017		(8,249,973	)		(8,376,225	)		(126,252	)
434	GSCO	10-Year Japanese Government Bond Futures		03/2017		(557,222,140	)		(557,896,556	)		(674,416	)
113	JPMS	3-Month Euro Euribor Futures		06/2017		(29,822,061	)		(29,826,575	)		(4,514	)

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

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
274	JPMS	3-Month Euro Euribor Futures		09/2017		$ (72,302,405	)		$ (72,308,422	)		$ (6,017	)
199	JPMS	3-Month Euro Euribor Futures		12/2017		(52,503,195	)		(52,508,116	)		(4,921	)
446	JPMS	3-Month Euro Euribor Futures		03/2018		(117,614,902	)		(117,658,031	)		(43,129	)
422	JPMS	3-Month Euro Euribor Futures		06/2018		(111,265,630	)		(111,309,999	)		(44,369	)
307	JPMS	3-Month Euro Euribor Futures		09/2018		(80,909,031	)		(80,960,547	)		(51,516	)
146	JPMS	3-Month Euro Euribor Futures		12/2018		(38,476,818	)		(38,492,805	)		(15,987	)
1,651	JPMS	90-Day EURODollar Futures		06/2017		(408,332,999	)		(407,776,363	)		556,636
1,627	JPMS	90-Day EURODollar Futures		09/2017		(402,199,405	)		(401,238,537	)		960,868
1,351	JPMS	90-Day EURODollar Futures		12/2017		(332,985,135	)		(332,616,200	)		368,935
617	JPMS	90-Day EURODollar Futures		03/2018		(151,934,517	)		(151,720,300	)		214,217
567	JPMS	90-Day EURODollar Futures		06/2018		(139,440,626	)		(139,255,200	)		185,426
507	JPMS	90-Day EURODollar Futures		09/2018		(124,498,111	)		(124,373,438	)		124,673
456	JPMS	90-Day EURODollar Futures		12/2018		(111,761,415	)		(111,720,000	)		41,415
688	JPMS	90-Day Sterling Futures		06/2017		(105,516,154	)		(105,541,255	)		(25,101	)
594	JPMS	90-Day Sterling Futures		09/2017		(91,071,401	)		(91,103,082	)		(31,681	)
33	JPMS	90-Day Sterling Futures		03/2018		(5,051,965	)		(5,057,723	)		(5,758	)
57	JPMS	90-Day Sterling Futures		06/2018		(8,726,667	)		(8,732,555	)		(5,888	)
53	JPMS	90-Day Sterling Futures		09/2018		(8,112,992	)		(8,115,662	)		(2,670	)
9	JPMS	90-Day Sterling Futures		12/2018		(1,375,793	)		(1,377,438	)		(1,645	)
2,704	JPMS	Australia 10-Year Bond Futures		03/2017		(247,815,485	)		(249,269,323	)		(1,453,838	)
1,485	JPMS	Australia 3-Year Bond Futures		03/2017		(119,650,961	)		(119,453,805	)		197,156
2,446	GSCO	Canadian 10-Year Bond Futures		03/2017		(252,901,751	)		(250,548,081	)		2,353,670
338	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2017		(62,373,359	)		(62,353,089	)		20,270
1,105	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2017		(203,839,544	)		(203,764,337	)		75,207
1,084	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2017		(199,884,304	)		(199,770,789	)		113,515
347	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2017		(63,884,276	)		(63,897,078	)		(12,802	)
172	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		03/2017		(27,447,127	)		(27,563,000	)		(115,873	)
90	JPMS	Euro CHF 3-Month LIFFE Futures		06/2017		(22,271,260	)		(22,265,786	)		5,474
65	JPMS	Euro CHF 3-Month LIFFE Futures		09/2017		(16,085,610	)		(16,079,250	)		6,360
41	JPMS	Euro CHF 3-Month LIFFE Futures		12/2017		(10,142,101	)		(10,139,276	)		2,825
273	GSCO	Euro-BTP Italian Government Bond Futures		03/2017		(38,153,788	)		(38,884,501	)		(730,713	)
5	GSCO	Euro-Buxl 30-Year Bond Futures		03/2017		(920,206	)		(913,279	)		6,927
1,505	GSCO	Long Gilt Futures		03/2017		(229,167,495	)		(233,384,697	)		(4,217,202	)
2,549	MSCL	U.S. Treasury 2-Year Note Futures		03/2017		(552,708,681	)		(552,336,438	)		372,243
1,082	MSCL	U.S. Treasury 5-Year Note Futures		03/2017		(127,299,272	)		(127,312,516	)		(13,244	)
246	MSCL	U.S. Treasury Long Bond Futures		03/2017		(36,886,932	)		(37,061,437	)		(174,505	)
						(5,767,203,225	)		(5,770,860,237	)		(3,657,012	)
						$(1,577,117,705	)		$(1,564,487,923	)		$12,629,782

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

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

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AQR MULTI-STRATEGY ALTERNATIVE FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		224,522,800		$166,661,807		$161,748,836		$(4,912,971	)
Australian Dollar, Expiring 03/15/17	JPMC	AUD		336,784,200		249,993,110		242,623,250		(7,369,860	)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		119,352,600		33,892,644		35,961,790		2,069,146
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		177,011,400		50,248,683		53,334,799		3,086,116
Canadian Dollar, Expiring 03/15/17	CITI	CAD		122,977,631		92,458,638		91,669,119		(789,519	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		184,466,446		138,688,126		137,503,675		(1,184,451	)
Chilean Peso, Expiring 03/15/17*	CITI	CLP		4,852,884,400		7,246,165		7,209,529		(36,636	)
Chilean Peso, Expiring 03/15/17*	JPMC	CLP		7,279,245,600		10,869,138		10,814,171		(54,967	)
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		10,337,600		1,471,647		1,454,572		(17,075	)
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		5,588,400		797,200		786,327		(10,873	)
Colombian Peso, Expiring 03/15/17*	CITI	COP		3,432,884,000		1,119,161		1,129,585		10,424
Colombian Peso, Expiring 03/15/17*	JPMC	COP		5,149,326,000		1,678,742		1,694,376		15,634
Czech Republic Koruna, Expiring 03/15/17	CITI	CZK		112,000,000		4,370,439		4,378,640		8,201
Czech Republic Koruna, Expiring 03/15/17	JPMC	CZK		168,000,000		6,555,583		6,567,960		12,377
Euro, Expiring 03/15/17	CITI	EUR		46,047,600		48,886,251		48,642,842		(243,409	)
Euro, Expiring 04/05/17	CITI	EUR		3,562		3,963		3,767		(196	)
Euro, Expiring 03/15/17	JPMC	EUR		68,951,400		73,198,860		72,837,498		(361,362	)
British Pound, Expiring 03/15/17	CITI	GBP		8,986,800		11,311,458		11,094,683		(216,775	)
British Pound, Expiring 03/15/17	JPMC	GBP		13,480,200		16,967,436		16,642,026		(325,410	)
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		74,049,800		9,555,120		9,551,939		(3,181	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		108,058,200		13,943,676		13,938,797		(4,879	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		606,180,400		2,050,805		2,067,162		16,357
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		909,270,600		3,075,971		3,100,744		24,773
Indonesian Rupiah, Expiring 03/15/17*	CITI	IDR		41,262,923,400		3,022,407		3,030,887		8,480
Indonesian Rupiah, Expiring 03/15/17*	JPMC	IDR		53,921,157,600		3,940,876		3,960,670		19,794

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

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		12,496,400		$ 3,284,895		$ 3,250,455		$ (34,440	)
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		18,744,600		4,929,435		4,875,679		(53,756	)
Indian Rupee, Expiring 03/15/17*	CITI	INR		840,511,000		12,273,523		12,287,014		13,491
Indian Rupee, Expiring 03/15/17*	JPMC	INR		1,102,353,000		16,082,852		16,114,752		31,900
Japanese Yen, Expiring 03/15/17	CITI	JPY		12,241,636,002		107,679,592		105,107,372		(2,572,220	)
Japanese Yen, Expiring 03/15/17	JPMC	JPY		18,362,454,000		161,521,611		157,661,058		(3,860,553	)
Korean Won, Expiring 03/15/17*	CITI	KRW		34,008,753,200		29,073,444		28,160,302		(913,142	)
Korean Won, Expiring 03/15/17*	JPMC	KRW		46,996,483,800		40,165,396		38,914,544		(1,250,852	)
Mexican Peso, Expiring 03/15/17	CITI	MXN		1,268,262,400		60,656,136		60,608,677		(47,459	)
Mexican Peso, Expiring 03/15/17	JPMC	MXN		1,872,153,600		89,517,586		89,467,883		(49,703	)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		432,261,200		51,466,467		50,080,430		(1,386,037	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		648,391,799		77,199,795		75,120,640		(2,079,155	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		219,941,201		155,917,339		152,472,019		(3,445,320	)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		329,911,797		233,877,320		228,708,026		(5,169,294	)
Philippine Peso, Expiring 03/15/17*	CITI	PHP		102,950,800		2,036,578		2,065,903		29,325
Philippine Peso, Expiring 03/15/17*	JPMC	PHP		154,426,200		3,054,871		3,098,854		43,983
Poland Zloty, Expiring 03/15/17	CITI	PLN		65,717,200		15,551,094		15,685,003		133,909
Poland Zloty, Expiring 03/15/17	JPMC	PLN		98,575,800		23,329,727		23,527,502		197,775
Swedish Krona, Expiring 03/15/17	CITI	SEK		207,418,000		22,625,998		22,861,426		235,428
Swedish Krona, Expiring 03/15/17	JPMC	SEK		311,127,000		33,937,923		34,292,136		354,213
Singapore Dollar, Expiring 03/15/17	CITI	SGD		24,498,200		16,986,851		16,910,763		(76,088	)
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		35,854,800		24,861,177		24,750,064		(111,113	)
Turkish Lira, Expiring 03/15/17	CITI	TRY		29,462,000		8,272,234		8,229,200		(43,034	)
Turkish Lira, Expiring 03/15/17	JPMC	TRY		44,193,000		12,406,309		12,343,799		(62,510	)
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		147,870,999		4,656,950		4,602,872		(54,078	)
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		113,033,998		3,546,326		3,518,479		(27,847	)
South African Rand, Expiring 03/15/17	CITI	ZAR		757,570,600		53,915,413		54,436,612		521,199
South African Rand, Expiring 03/15/17	JPMC	ZAR		1,135,691,398		80,837,190		81,607,165		769,975
						$2,301,671,938		$2,272,506,273		$(29,165,665	)

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

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		(41,604,400	)		$(29,868,949	)		$(29,972,293	)		$(103,344	)
Australian Dollar, Expiring 03/15/17	JPMC	AUD		(62,406,600	)		(44,802,819	)		(44,958,440	)		(155,621	)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		(79,765,400	)		(23,030,055	)		(24,033,884	)		(1,003,829	)
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		(70,074,600	)		(20,615,488	)		(21,113,978	)		(498,490	)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		(8,021,600	)		(5,965,568	)		(5,979,404	)		(13,836	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		(12,032,400	)		(8,948,357	)		(8,969,107	)		(20,750	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		(154,541,400	)		(153,436,895	)		(152,436,629	)		1,000,266
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(231,666,600	)		(230,012,445	)		(228,511,424	)		1,501,021
Chilean Peso, Expiring 03/15/17*	CITI	CLP		(6,893,883,600	)		(10,207,313	)		(10,241,670	)		(34,357	)
Chilean Peso, Expiring 03/15/17*	JPMC	CLP		(10,340,825,400	)		(15,310,949	)		(15,362,507	)		(51,558	)
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		(65,357,600	)		(9,369,599	)		(9,196,270	)		173,329
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		(94,568,400	)		(13,559,759	)		(13,306,432	)		253,327
Colombian Peso, Expiring 03/15/17*	CITI	COP		(451,165,200	)		(140,426	)		(148,455	)		(8,029	)
Colombian Peso, Expiring 03/15/17*	JPMC	COP		(676,747,800	)		(210,639	)		(222,683	)		(12,044	)
Czech Republic Koruna, Expiring 03/15/17	CITI	CZK		(232,812,000	)		(9,188,932	)		(9,101,785	)		87,147
Czech Republic Koruna, Expiring 03/15/17	JPMC	CZK		(349,218,000	)		(13,783,448	)		(13,652,677	)		130,771
Euro, Expiring 03/15/17	CITI	EUR		(192,652,971	)		(206,303,925	)		(203,510,887	)		2,793,038
Euro, Expiring 04/05/17	CITI	EUR		(3,562	)		(4,751	)		(3,767	)		984
Euro, Expiring 03/15/17	JPMC	EUR		(288,979,453	)		(309,455,304	)		(305,266,325	)		4,188,979
British Pound, Expiring 03/15/17	CITI	GBP		(91,477,200	)		(114,745,819	)		(112,933,477	)		1,812,342
British Pound, Expiring 03/15/17	JPMC	GBP		(137,215,798	)		(172,116,986	)		(169,400,213	)		2,716,773
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(26,688,600	)		(3,440,767	)		(3,442,653	)		(1,886	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		(6,029,400	)		(777,026	)		(777,753	)		(727	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		(5,556,681,600	)		(18,898,740	)		(18,949,084	)		(50,344	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		(7,435,022,400	)		(25,324,793	)		(25,354,497	)		(29,704	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		(102,280,601	)		(26,915,649	)		(26,604,333	)		311,316
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		(151,364,400	)		(39,839,696	)		(39,371,580	)		468,116

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

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AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Indian Rupee, Expiring 03/15/17*	CITI	INR		(900,471,200	)		$ (13,097,716	)		$ (13,163,542	)		$ (65,826	)
Indian Rupee, Expiring 03/15/17*	JPMC	INR		(1,350,706,800	)		(19,646,551	)		(19,745,314	)		(98,763	)
Japanese Yen, Expiring 03/15/17	CITI	JPY		(6,390,720,400	)		(55,104,222	)		(54,871,085	)		233,137
Japanese Yen, Expiring 03/15/17	JPMC	JPY		(9,586,080,600	)		(82,655,495	)		(82,306,624	)		348,871
Korean Won, Expiring 03/15/17*	CITI	KRW		(85,635,565,001	)		(73,164,419	)		(70,908,904	)		2,255,515
Korean Won, Expiring 03/15/17*	JPMC	KRW		(128,452,488,000	)		(109,745,765	)		(106,362,642	)		3,383,123
Mexican Peso, Expiring 03/15/17	CITI	MXN		(132,061,000	)		(6,358,004	)		(6,311,030	)		46,974
Mexican Peso, Expiring 03/15/17	JPMC	MXN		(198,000,000	)		(9,532,978	)		(9,462,173	)		70,805
Norwegian Krone, Expiring 03/15/17	CITI	NOK		(92,548,200	)		(10,657,781	)		(10,722,345	)		(64,564	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		(131,899,800	)		(15,194,503	)		(15,281,499	)		(86,996	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		(67,991,400	)		(47,897,790	)		(47,134,353	)		763,437
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		(78,972,600	)		(55,587,328	)		(54,746,958	)		840,370
Philippine Peso, Expiring 03/15/17*	CITI	PHP		(254,511,400	)		(5,056,612	)		(5,107,255	)		(50,643	)
Philippine Peso, Expiring 03/15/17*	JPMC	PHP		(365,757,600	)		(7,266,374	)		(7,339,618	)		(73,244	)
Poland Zloty, Expiring 03/15/17	CITI	PLN		(60,562,400	)		(14,433,480	)		(14,454,685	)		(21,205	)
Poland Zloty, Expiring 03/15/17	JPMC	PLN		(90,843,600	)		(21,649,668	)		(21,682,025	)		(32,357	)
Swedish Krona, Expiring 03/15/17	CITI	SEK		(1,283,534,800	)		(141,038,467	)		(141,470,044	)		(431,577	)
Swedish Krona, Expiring 03/15/17	JPMC	SEK		(1,925,302,198	)		(211,557,304	)		(212,205,063	)		(647,759	)
Singapore Dollar, Expiring 03/15/17	CITI	SGD		(96,282,800	)		(67,600,748	)		(66,462,666	)		1,138,082
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		(139,108,200	)		(97,664,991	)		(96,024,436	)		1,640,555
Turkish Lira, Expiring 03/15/17	CITI	TRY		(50,080,000	)		(14,095,131	)		(13,988,133	)		106,998
Turkish Lira, Expiring 03/15/17	JPMC	TRY		(75,120,000	)		(21,142,669	)		(20,982,198	)		160,471
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		(164,017,200	)		(5,095,938	)		(5,105,464	)		(9,526	)
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		(246,025,800	)		(7,643,897	)		(7,658,195	)		(14,298	)
South African Rand, Expiring 03/15/17	CITI	ZAR		(139,314,200	)		(9,922,044	)		(10,010,676	)		(88,632	)
South African Rand, Expiring 03/15/17	JPMC	ZAR		(110,722,800	)		(7,870,844	)		(7,956,188	)		(85,344	)
							(2,636,955,816	)		(2,614,285,322	)		22,670,494
							$(335,283,878	)		$(341,779,049	)		$(6,495,171	)

* Non-deliverable forward (See Note 4).

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

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Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps* Outstanding at December 31, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	40-67 months maturity 08/12/2019		$(1,459	)

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

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
United States
Herbalife Ltd.		(89,908	)	$	(4,376,722	)	$	48,550
Net Cash and Other Receivables/ (Payables) (b)								(50,009	)
Swaps, at Value							$	(1,459	)

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

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

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

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COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Warsaw Interbank Effective Rate plus or minus a specified spread, which is denominated in PLN based on the local currencies of the positions within the swap.	25 months maturity 12/27/2018		$(20,265	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Poland
Bank Pekao SA		(34,800	)	$	(1,024,844	)	$	(20,083	)
Net Cash and Other Receivables/ (Payables) (b)								(182	)
Swaps, at Value							$	(20,265	)

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

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

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

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COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	24-25 months maturity ranging from 11/26/2018 - 12/27/2018		$983,876

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	PRINCIPAL			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Convertible Bonds
Germany
Bayer Capital Corp. BV 5.63%, 11/22/2019	$	34,000,000		$	36,812,259		$	2,449,848
Italy
UniCredit SpA 0.00%, 12/15/2019 (c)		1,081,176			977,369			35,540
Total of Long Positions								2,485,388
		SHARES
Short Positions
Common Stocks
Germany
Bayer AG		(282,044	)		(28,165,634	)		(1,218,682	)
Total of Long and Short Positions								1,266,706
Net Cash and Other Receivables/ (Payables) (b)								(282,830	)
Swaps, at Value							$	983,876

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

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

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Consolidated Schedule of Investments December 31, 2016

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COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	61 months maturity 12/22/2017		$(1,605,029	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		220,093	$	2,690,198	$	460,907
Isle of Man
Paysafe Group plc		118,885		605,519		(62,383	)
South Africa
Investec plc		879,766		4,979,339		790,693
Mondi plc		127,958		2,401,524		211,667
						1,002,360
Switzerland
Coca-Cola HBC AG		77,424		1,481,887		204,041
IWG plc		548,198		1,979,637		(321,438	)
Wolseley plc		44,566		2,296,900		423,684
						306,287
United Kingdom
AA plc		27,822		89,016		6,022
Amec Foster Wheeler plc		195,627		1,047,183		82,475
AstraZeneca plc		14,266		789,151		(10,116	)
Babcock International Group plc		32,299		394,950		(16,101	)
BAE Systems plc		311,556		2,039,676		226,441
Balfour Beatty plc		71,884		193,754		43,633
Barclays plc		372,294		783,619		238,085
Barratt Developments plc		1,831,556		10,258,124		154,481
Bellway plc		135,215		3,681,613		440,108
Berkeley Group Holdings plc		25,791		830,084		61,481
Booker Group plc		541,000		1,153,045		16,377
BP plc		1,137,735		5,828,314		1,297,808
Britvic plc		149,656		1,159,087		(114,133	)
BT Group plc		617,640		3,145,322		(357,108	)
Close Brothers Group plc		236,735		3,729,206		475,365
Compass Group plc		88,639		1,560,125		78,062
DCC plc		73,998		6,114,930		(614,583	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Direct Line Insurance Group plc		994,782	$	4,315,573	$	211,829
Dixons Carphone plc		1,185,531		5,055,901		121,889
DS Smith plc		625,024		3,014,681		123,934
GKN plc		836,213		3,121,201		287,116
GlaxoSmithKline plc		411,487		8,517,741		(613,691	)
Halma plc		21,426		276,916		(39,870	)
Hays plc		1,233,993		1,800,630		463,646
Howden Joinery Group plc		391,346		2,013,825		(167,057	)
HSBC Holdings plc		402,978		2,984,234		267,240
Imperial Brands plc		97,775		4,813,309		(552,222	)
Inchcape plc		622,819		5,186,105		196,270
Indivior plc		51,243		181,401		5,310
Informa plc		295,181		2,514,575		(42,087	)
Intermediate Capital Group plc		737,657		5,739,933		610,966
International Consolidated Airlines Group SA		90,529		423,811		66,712
John Wood Group plc		147,901		1,191,414		405,689
Johnson Matthey plc		68,351		2,844,949		(170,563	)
Jupiter Fund Management plc		319,314		1,666,734		72,186
Kingfisher plc		1,384,164		5,697,490		266,026
Lloyds Banking Group plc		6,601,775		4,413,963		655,393
Man Group plc		2,210,967		3,179,691		37,260
Micro Focus International plc		122,101		3,032,145		247,006
National Grid plc		122,967		1,546,297		(109,582	)
NEX Group plc		117,849		682,401		(7,775	)
Old Mutual plc		145,846		335,679		36,223
Persimmon plc		520,233		10,998,605		351,653
Reckitt Benckiser Group plc		64,729		5,847,151		(364,088	)
Rentokil Initial plc		1,121,116		2,963,675		103,453
Royal Mail plc		1,003,182		6,150,805		(448,328	)
RSA Insurance Group plc		32,747		216,288		19,861
Sage Group plc (The)		731,903		6,438,565		(538,674	)

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

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REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Severn Trent plc		22,112		$	610,293		$	(5,998	)
Sky plc		14,999			182,899			(47	)
Smith & Nephew plc		72,529			1,107,581			(18,978	)
Smiths Group plc		21,894			380,879			232
Spectris plc		21,330			501,791			106,005
SSE plc		12,169			228,441			3,915
Tate & Lyle plc		710,507			6,246,004			(62,713	)
Taylor Wimpey plc		5,077,070			9,600,286			(24,508	)
TP ICAP plc		96,304			503,460			8,717
UBM plc		180,927			1,493,753			134,822
Vodafone Group plc		169,482			397,742			19,333
William Hill plc		1,228,211			4,799,942			(413,084	)
Wm Morrison Supermarkets plc		2,404,079			6,003,512			824,752
Worldpay Group plc		611,322			2,139,624			(109,979	)
WPP plc		340,158			7,134,912			434,769
								4,401,260
Total of Long Equity Positions								6,108,431
Short Positions
Common Stocks
Australia
BHP Billiton plc		(499,176	)		(6,680,635	)		(1,267,755	)
Chile
Antofagasta plc		(1,658,812	)		(11,106,829	)		(2,627,560	)
Ireland
Experian plc		(27,674	)		(501,720	)		(34,094	)
Jordan
Hikma Pharmaceuticals plc		(182,964	)		(4,159,471	)		(104,999	)
Netherlands
Royal Dutch Shell plc		(207,626	)		(4,964,937	)		(766,275	)
South Africa
Mediclinic International plc		(144,630	)		(1,282,143	)		(91,683	)
Switzerland
Glencore plc		(348,847	)		(934,079	)		(244,635	)
United Kingdom
Aberdeen Asset Management plc		(1,389,900	)		(5,442,291	)		1,047,721
Admiral Group plc		(426,089	)		(11,409,351	)		1,827,004
Aggreko plc		(681,713	)		(9,328,936	)		1,633,489
Anglo American plc		(125,894	)		(1,553,195	)		(225,542	)
Ashtead Group plc		(51,032	)		(745,094	)		(246,987	)
ASOS plc		(6,900	)		(405,365	)		(16,211	)
Associated British Foods plc		(201,810	)		(6,660,456	)		(149,032	)
Auto Trader Group plc		(156,913	)		(774,735	)		(14,149	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Aviva plc		(471,674	)	$	(2,407,847	)	$	(401,741	)
British American Tobacco plc		(139,637	)		(8,264,289	)		350,302
BTG plc		(382,548	)		(3,142,871	)		364,820
Bunzl plc		(40,672	)		(1,180,867	)		124,968
Burberry Group plc		(100,695	)		(1,632,676	)		(223,025	)
Capita plc		(405,244	)		(4,637,853	)		1,988,129
Centrica plc		(110,082	)		(283,692	)		(33,349	)
Cobham plc		(1,016,588	)		(2,079,465	)		32,622
Croda International plc		(67,293	)		(2,751,035	)		104,431
Daily Mail & General Trust plc		(14,288	)		(126,037	)		(10,789	)
Diageo plc		(55,236	)		(1,466,310	)		32,944
Drax Group plc		(408,581	)		(1,722,483	)		(177,851	)
easyJet plc		(217,448	)		(2,763,544	)		73,837
Essentra plc		(477,738	)		(2,847,347	)		134,815
G4S plc		(23,903	)		(54,021	)		(15,068	)
Greene King plc		(71,905	)		(694,063	)		76,199
Hargreaves Lansdown plc		(695,772	)		(11,037,587	)		684,237
Henderson Group plc		(387,109	)		(1,136,875	)		19,606
Hiscox Ltd.		(41,786	)		(538,768	)		15,161
IMI plc		(189,086	)		(2,436,881	)		18,700
Inmarsat plc		(833,739	)		(7,670,918	)		(43,338	)
InterContinental Hotels Group plc		(9,900	)		(366,030	)		(76,640	)
Intertek Group plc		(91,051	)		(4,065,025	)		162,757
ITV plc		(2,739,732	)		(6,329,612	)		(626,585	)
J Sainsbury plc		(860,464	)		(2,369,971	)		(274,621	)
Just Eat plc		(442,286	)		(3,012,507	)		(165,553	)
Legal & General Group plc		(373,732	)		(965,881	)		(172,648	)
Marks & Spencer Group plc		(289,146	)		(1,204,003	)		(41,547	)
Meggitt plc		(281,743	)		(1,579,811	)		(11,246	)
Merlin Entertainments plc		(264,900	)		(1,495,433	)		33,054
Next plc		(71,823	)		(4,459,258	)		53,228
Ocado Group plc		(151,229	)		(495,421	)		3,459
Pearson plc		(449,601	)		(4,565,185	)		54,050
Pennon Group plc		(483,887	)		(5,118,924	)		194,058
Petrofac Ltd.		(55,166	)		(522,663	)		(67,702	)
Playtech plc		(48,192	)		(538,937	)		48,639
Provident Financial plc		(23,269	)		(822,076	)		8,304
Prudential plc		(106,882	)		(1,790,195	)		(342,901	)
Rightmove plc		(7,177	)		(342,109	)		(2,648	)
Rio Tinto plc		(104,389	)		(3,212,892	)		(772,472	)
Rolls-Royce Holdings plc (LSE)		(286,053	)		(2,750,108	)		400,611
Rolls-Royce Holdings plc (c)		(13,158,438	)		(98	)		(16,118	)
Rotork plc		(1,534,175	)		(4,069,983	)		(482,851	)
Royal Bank of Scotland Group plc		(3,435,199	)		(8,012,337	)		(1,479,651	)

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

AQR Funds Annual Report December 2016

154

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
RPC Group plc		(10,493	)	$	(127,431	)	$	(10,112	)
Schroders plc		(81,592	)		(2,649,111	)		(347,596	)
Spirax-Sarco Engineering plc		(18,239	)		(907,990	)		(30,669	)
Sports Direct International plc		(362,850	)		(1,291,373	)		47,624
St. James’s Place plc		(75,273	)		(856,096	)		(82,843	)
Stagecoach Group plc		(37,810	)		(94,885	)		(5,758	)
Standard Chartered plc		(353,275	)		(2,691,862	)		(189,068	)
Standard Life plc		(149,404	)		(550,918	)		(133,232	)
Tesco plc		(1,066,578	)		(2,176,487	)		(543,072	)
Thomas Cook Group plc		(783,703	)		(629,449	)		(212,389	)
Travis Perkins plc		(16,979	)		(302,010	)		(1,510	)
United Utilities Group plc		(78,473	)		(935,334	)		65,516
Weir Group plc (The)		(176,295	)		(3,166,033	)		(930,925	)
Whitbread plc		(127,808	)		(6,067,964	)		122,569
								1,145,415

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
Shire plc		(56,970	)	$	(3,412,206	)	$	159,262
Total of Short Equity Positions								(3,832,324	)
Total of Long and Short Equity Positions								2,276,107
Net Cash and Other Receivables/ (Payables) (b)								(3,881,136	)
Swaps, at Value							$	(1,605,029	)

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward FX Swap rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	37-61 months maturity 12/22/2017		$8,645,130

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Air France-KLM		99,305	$	532,243	$	7,921
Arkema SA		41,198		3,625,828		401,305
Atos SE		181,755		16,885,143		2,271,394
BNP Paribas SA		157,502		7,265,426		2,757,670
Capgemini SA		59,199		5,381,148		(393,683	)
Casino Guichard Perrachon SA		9,700		497,637		(32,865	)
Cie de Saint-Gobain		89,476		3,577,388		584,801
Cie Generale des Etablissements Michelin		109,019		10,657,048		1,461,372

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Cie Plastic Omnium SA		3,241	$	97,560	$	5,801
CNP Assurances		212,315		3,145,980		783,826
Eiffage SA		55,558		4,030,096		(160,398	)
Faurecia		176,172		6,447,076		376,634
Imerys SA		3,991		265,907		36,460
Ipsen SA		34,084		2,122,997		339,744
Lagardere SCA		360,849		8,649,873		1,365,648
Orange SA		559,718		8,018,755		468,791
Peugeot SA		881,377		12,544,983		1,810,159
Renault SA		59,984		4,886,220		441,367
Rexel SA		214,951		2,997,419		534,201
Safran SA		22,689		1,459,818		172,063
Sanofi		4,597		345,106		26,632

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

AQR Funds Annual Report December 2016

155

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Schneider Electric SE		38,150		$	2,466,658		$	183,564
SCOR SE		95,998			2,658,433			654,530
SEB SA		4,496			586,553			22,672
SFR Group SA		3,083			71,108			15,810
Societe BIC SA		16,589			2,318,402			(64,343	)
Societe Generale SA		61,113			1,951,500			1,054,453
Sodexo SA		32,163			3,508,551			184,189
Suez		133,624			2,055,963			(87,081	)
Teleperformance		57,909			5,274,294			531,421
Thales SA		108,472			9,242,093			1,266,754
Ubisoft Entertainment SA		41,114			1,370,127			90,886
Valeo SA		152,110			7,392,634			1,339,666
Vinci SA		28,102			2,017,946			(106,318	)
								18,345,046
Portugal
Sonae SGPS SA		235,866			171,131			45,628
Total of Long Equity Positions								18,390,674
Short Positions
Common Stocks
France
Accor SA		(246,937	)		(9,456,541	)		257,477
Aeroports de Paris		(9,052	)		(870,831	)		(98,519	)
Air Liquide SA		(95,704	)		(9,475,938	)		(1,166,227	)
Airbus Group SE		(3,665	)		(228,740	)		(13,328	)
Alstom SA		(88,455	)		(2,066,962	)		(365,426	)
Bollore SA		(843,090	)		(2,817,296	)		(151,291	)
Bollore SA		(614	)		11			(2,124	)
Bouygues SA		(10,046	)		(331,291	)		(28,349	)
Bureau Veritas SA		(193,660	)		(3,975,695	)		227,541
Carrefour SA		(259,430	)		(6,054,758	)		(191,270	)
Christian Dior SE		(1,944	)		(379,927	)		(27,364	)
Credit Agricole SA		(62,567	)		(578,325	)		(196,172	)
Danone SA		(11,033	)		(805,912	)		107,760
Edenred		(368,194	)		(7,869,232	)		578,798
Electricite de France SA		(703,685	)		(8,143,406	)		983,508
Engie SA		(204,110	)		(2,865,835	)		267,729
Essilor International SA		(27,631	)		(3,325,377	)		207,821
Eutelsat Communications SA		(167,787	)		(3,095,382	)		(149,224	)
Groupe Eurotunnel SE		(472,682	)		(4,578,542	)		88,098

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Hermes International		(16,645	)	$	(6,731,323	)	$	(96,750	)
Iliad SA		(157	)		(28,649	)		(1,502	)
Ingenico Group SA		(28,847	)		(2,522,893	)		221,311
JCDecaux SA		(92,296	)		(2,877,926	)		164,069
Kering		(26,297	)		(4,667,620	)		(1,230,892	)
Legrand SA		(2,978	)		(154,090	)		(14,867	)
L’Oreal SA		(45,581	)		(8,082,926	)		(224,908	)
LVMH Moet Hennessy Louis Vuitton SE		(34,042	)		(5,445,249	)		(1,045,594	)
Natixis SA		(367,806	)		(1,719,763	)		(351,486	)
Orpea		(10,109	)		(802,440	)		(13,705	)
Pernod Ricard SA		(83,423	)		(8,978,726	)		(49,315	)
Publicis Groupe SA		(5,703	)		(401,617	)		8,654
Remy Cointreau SA		(80,549	)		(6,566,098	)		(299,702	)
Technip SA		(109,788	)		(5,985,700	)		(1,834,693	)
TOTAL SA		(124,186	)		(5,387,730	)		(982,029	)
Veolia Environnement SA		(46,798	)		(768,158	)		(27,027	)
Vivendi SA		(105,331	)		(1,959,740	)		(38,064	)
Zodiac Aerospace		(315,847	)		(6,664,145	)		(578,540	)
								(6,065,602	)
Luxembourg
Eurofins Scientific SE		(4,271	)		(1,582,339	)		(237,295	)
SES SA		(256,589	)		(5,397,305	)		(248,372	)
								(485,667	)
Total of Short Equity Positions								(6,551,269	)
Total of Long and Short Equity Positions								11,839,405
Net Cash and Other Receivables/ (Payables) (b)								(3,194,275	)
Swaps, at Value							$	8,645,130

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

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

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

AQR Funds Annual Report December 2016

156

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	61 months maturity 12/20/2017		$437,807

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Entertainment One Ltd.		1,120,987	$	3,021,381	$	159,236
United Kingdom
London Stock Exchange Group plc		179,808		6,141,309		285,229
Total of Long Equity Positions						444,465
Net Cash and Other Receivables/ (Payables) (b)						(6,658	)
Swaps, at Value					$	437,807

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

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

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

AQR Funds Annual Report December 2016

157

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	85 months maturity 11/22/2021		$1,605,153

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Agrium, Inc.		140,522	$	12,769,234	$	1,360,253
Singapore
InterOil Corp.		49,820		2,457,195		(86,759	)
United States
Alere, Inc.		202,109		8,615,907		(739,719	)
American Capital Ltd.		193,803		3,283,023		189,927
Apollo Education Group, Inc.		713,941		5,647,273		1,420,743
Ball Corp.		10,080		712,354		44,352
Cardinal Financial Corp.		86,273		2,213,765		615,126
CST Brands, Inc.		684,473		32,615,138		342,236
Dow Chemical Co. (The)		580,089		30,495,279		2,697,414
Empire District Electric Co. (The)		381,961		13,009,592		11,459
Envision Healthcare Corp.		14		869		17
EverBank Financial Corp.		615,114		11,834,793		129,174
G&K Services, Inc.		197,491		19,049,982		(1,975	)
Humana, Inc.		21,694		3,786,037		640,190
Intersil Corp.		508,463		11,059,070		279,655
						5,628,599
Total of Long Equity Positions						6,902,093

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Canada
Potash Corp. of Saskatchewan, Inc.		(783,400	)	$	(12,487,396	)	$	(1,684,310	)
United States
Aetna, Inc.		(18,169	)		(2,082,712	)		(170,425	)
Ares Capital Corp.		(93,689	)		(1,459,675	)		(85,257	)
EI du Pont de Nemours & Co.		(452,473	)		(30,179,949	)		(3,031,569	)
United Bankshares, Inc.		(61,099	)		(2,280,215	)		(545,614	)
								(3,832,865	)
Total of Short Equity Positions								(5,517,175	)
Total of Long and Short Equity Positions								1,384,918
Net Cash and Other Receivables/ (Payables) (b)								220,235
Swaps, at Value							$	1,605,153

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

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

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

AQR Funds Annual Report December 2016

158

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the CHF/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	25 months maturity 09/20/2017		$1,475,371

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Syngenta AG		70,562	$	26,342,231	$	1,537,022
Net Cash and Other Receivables/ (Payables) (b)						(61,651	)
Swaps, at Value					$	1,475,371

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	61 months maturity 09/23/2021		$4

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

Additional Information — Total Return Basket Swaps

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

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Fortis, Inc.		8	$	245	$	2
Net Cash and Other Receivables/ (Payables) (b)						2
Swaps, at Value					$	4

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

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

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

AQR Funds Annual Report December 2016

159

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Interbank Offered Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	49-60 months maturity 12/21/2020		$1,248,099

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
China
AAC Technologies Holdings, Inc.		109,500	$	1,001,698	$	(10,531	)
Agricultural Bank of China Ltd.		3,712,000		1,455,900		59,031
Air China Ltd.		1,712,000		1,103,487		(15,969	)
ANTA Sports Products Ltd.		260,000		669,044		103,628
AviChina Industry & Technology Co. Ltd.		921,000		618,844		12,930
Bank of China Ltd.		2,235,000		876,012		109,458
Bank of Communications Co. Ltd.		2,008,000		1,222,949		221,194
Beijing Capital International Airport Co. Ltd.		1,960,000		1,923,220		52,500
Beijing Enterprises Holdings Ltd.		499,000		2,713,917		(365,116	)
Belle International Holdings Ltd.		935,000		634,222		(110,462	)
China Cinda Asset Management Co. Ltd.		9,181,000		3,016,334		289,593
China CITIC Bank Corp. Ltd.		3,122,000		1,780,555		195,001
China Communications Services Corp. Ltd.		2,610,000		1,127,838		530,484
China Construction Bank Corp.		6,995,000		4,703,205		653,779
China Everbright Bank Co. Ltd.		135,000		61,596		(348	)
China Galaxy Securities Co. Ltd.		3,694,500		2,991,228		320,624
China Longyuan Power Group Corp. Ltd.		1,292,000		809,324		194,625
China Medical System Holdings Ltd.		223,000		273,491		78,578
China Mobile Ltd.		622,775		7,320,154		(754,127	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
China Petroleum & Chemical Corp.		8,550,000	$	5,758,670	$	262,819
China Power International Development Ltd.		2,267,000		1,106,874		(288,300	)
China Resources Power Holdings Co. Ltd.		1,068,000		1,675,786		13,449
China Shenhua Energy Co. Ltd.		2,031,500		3,238,291		559,019
China Telecom Corp. Ltd.		1,750,000		787,561		15,180
Chongqing Rural Commercial Bank Co. Ltd.		1,415,000		691,389		136,362
CITIC Ltd.		55,000		80,395		(2,067	)
CNOOC Ltd.		2,149,000		2,476,253		194,385
CSPC Pharmaceutical Group Ltd.		2,692,000		2,571,321		295,063
Dongfeng Motor Group Co. Ltd.		1,914,000		2,327,034		(467,663	)
ENN Energy Holdings Ltd.		48,000		227,253		(30,585	)
Far East Horizon Ltd.		692,000		589,199		1,782
Geely Automobile Holdings Ltd.		5,325,000		2,336,302		2,724,873
GOME Electrical Appliances Holding Ltd.		8,658,000		1,205,465		(159,096	)
Great Wall Motor Co. Ltd.		1,694,000		1,317,644		253,766
Guangdong Investment Ltd.		1,584,000		2,104,894		(18,961	)
Industrial & Commercial Bank of China Ltd.		6,494,000		3,711,810		160,123
Jiangxi Copper Co. Ltd.		244,000		376,402		(37,724	)
People’s Insurance Co. Group of China Ltd. (The)		10,804,000		4,303,100		(67,077	)

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

AQR Funds Annual Report December 2016

160

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
PetroChina Co. Ltd.		1,068,000		$	734,588		$	58,594
PICC Property & Casualty Co. Ltd.		2,320,000			3,980,162			(391,883	)
Semiconductor Manufacturing International Corp.		363,900			324,914			243,994
Shanghai Industrial Holdings Ltd.		190,000			548,160			(35,905	)
Sinopec Engineering Group Co. Ltd.		1,785,000			1,537,084			(50,516	)
Sinopec Shanghai Petrochemical Co. Ltd.		8,245,000			3,272,119			1,178,193
Sinopharm Group Co. Ltd.		457,600			1,767,435			107,968
Sinotrans Ltd.		2,027,000			945,018			(43,960	)
Tencent Holdings Ltd.		45,800			1,205,915			(95,397	)
TravelSky Technology Ltd.		596,000			1,080,398			168,688
Want Want China Holdings Ltd.		1,924,000			1,237,885			(9,122	)
Weichai Power Co. Ltd.		1,346,000			1,368,286			695,856
Zhejiang Expressway Co. Ltd.		1,128,000			1,124,253			(50,398	)
Zhuzhou CRRC Times Electric Co. Ltd.		371,000			1,747,843			125,737
								7,012,069
Hong Kong
Nine Dragons Paper Holdings Ltd.		1,495,000			1,278,900			71,075
Sino Biopharmaceutical Ltd.		4,526,999			3,225,008			(50,540	)
Sun Art Retail Group Ltd.		216,000			138,849			50,414
								70,949
Total of Long Equity Positions								7,083,018
Short Positions
Common Stocks
China
3SBio, Inc.		(750,500	)		(762,498	)		33,518
Aluminum Corp. of China Ltd.		(258,000	)		(96,384	)		(9,290	)
Anhui Conch Cement Co. Ltd.		(324,000	)		(762,738	)		(114,067	)
Beijing Enterprises Water Group Ltd.		(3,462,000	)		(2,205,105	)		(86,231	)
Brilliance China Automotive Holdings Ltd.		(4,898,000	)		(4,868,738	)		(1,853,890	)
BYD Co. Ltd.		(397,000	)		(1,886,850	)		(194,150	)
CGN Power Co. Ltd.		(14,975,000	)		(4,637,076	)		544,412

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
China Coal Energy Co. Ltd.		(1,305,000	)	$	(713,002	)	$	97,270
China Communications Construction Co. Ltd.		(3,028,000	)		(3,396,880	)		(63,863	)
China Conch Venture Holdings Ltd.		(106,500	)		(202,958	)		13,817
China Life Insurance Co. Ltd.		(2,107,000	)		(4,792,319	)		(654,168	)
China Mengniu Dairy Co. Ltd.		(67,000	)		(114,818	)		(13,651	)
China Merchants Bank Co. Ltd.		(834,000	)		(1,645,562	)		(299,443	)
China Minsheng Banking Corp. Ltd.		(2,247,000	)		(1,958,774	)		(432,178	)
China National Building Material Co. Ltd.		(3,114,000	)		(1,378,507	)		(129,558	)
China Oilfield Services Ltd.		(6,780,000	)		(4,850,130	)		(1,407,560	)
China Pacific Insurance Group Co. Ltd.		(243,800	)		(825,172	)		(18,814	)
China Railway Construction Corp. Ltd.		(658,500	)		(802,523	)		(41,311	)
China Railway Group Ltd.		(685,000	)		(420,333	)		(139,425	)
China Resources Gas Group Ltd.		(484,000	)		(1,228,493	)		(127,447	)
China Southern Airlines Co. Ltd.		(2,778,000	)		(1,579,234	)		141,796
China State Construction International Holdings Ltd.		(98,000	)		(127,944	)		(18,085	)
China Taiping Insurance Holdings Co. Ltd.		(581,200	)		(1,250,539	)		59,008
China Unicom Hong Kong Ltd.		(1,594,000	)		(1,771,522	)		(73,308	)
CITIC Securities Co. Ltd.		(1,027,500	)		(2,008,094	)		(68,192	)
COSCO Shipping Development Co. Ltd.		(12,325,000	)		(2,694,938	)		164,552
COSCO SHIPPING Ports Ltd.		(444,000	)		(476,986	)		32,042
CRRC Corp. Ltd.		(3,547,000	)		(3,303,563	)		135,634
Fosun International Ltd.		(3,287,000	)		(4,494,452	)		(139,108	)
GF Securities Co. Ltd.		(919,200	)		(1,852,663	)		(54,734	)
Haitong Securities Co. Ltd.		(2,052,000	)		(3,447,437	)		(48,545	)
Hengan International Group Co. Ltd.		(10,500	)		(74,385	)		(2,519	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
Huadian Power International Corp. Ltd.		(260,000	)	$	(109,581	)	$	(7,753	)
Huaneng Power International, Inc.		(898,000	)		(554,826	)		(37,925	)
Huaneng Renewables Corp. Ltd.		(898,000	)		(222,602	)		(67,710	)
Huatai Securities Co. Ltd.		(1,881,600	)		(3,648,204	)		80,716
Jiangsu Expressway Co. Ltd.		(280,000	)		(328,850	)		(24,169	)
Kingsoft Corp. Ltd.		(19,000	)		(45,542	)		6,769
Lenovo Group Ltd.		(2,606,000	)		(2,171,825	)		600,912
New China Life Insurance Co. Ltd.		(609,100	)		(2,353,754	)		(419,855	)
Ping An Insurance Group Co. of China Ltd.		(5,000	)		(22,200	)		(2,640	)
Shandong Weigao Group Medical Polymer Co. Ltd.		(1,144,000	)		(702,099	)		(59,805	)
Shanghai Electric Group Co. Ltd.		(2,218,000	)		(1,039,910	)		51,591
Shanghai Fosun Pharmaceutical Group Co. Ltd.		(517,000	)		(1,252,376	)		(325,670	)
Shanghai Pharmaceuticals Holding Co. Ltd.		(286,000	)		(706,914	)		54,172
Shenzhou International Group Holdings Ltd.		(27,000	)		(136,419	)		(33,807	)
Tingyi Cayman Islands Holding Corp.		(2,012,000	)		(2,320,923	)		(118,280	)
Yanzhou Coal Mining Co. Ltd.		(2,426,000	)		(1,509,492	)		(135,329	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
Zijin Mining Group Co. Ltd.		(1,358,000	)	$	(448,673	)	$	15,615
ZTE Corp.		(471,000	)		(719,787	)		(95,420	)
								(5,286,076	)
Hong Kong
Alibaba Pictures Group Ltd.		(1,340,000	)		(252,198	)		35,197
China Gas Holdings Ltd.		(2,446,000	)		(3,167,433	)		(144,964	)
GCL-Poly Energy Holdings Ltd.		(8,360,000	)		(1,176,639	)		178,001
Haier Electronics Group Co. Ltd.		(50,000	)		(78,487	)		49
								68,283
Total of Short Equity Positions								(5,217,793	)
Total of Long and Short Equity Positions								1,865,225
Net Cash and Other Receivables/ (Payables) (b)								(617,126	)
Swaps, at Value							$	1,248,099

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

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

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

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Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Warsaw Interbank Offered Rate plus or minus a specified spread, which is denominated in PLN based on the local currencies of the positions within the swaps.	49-60 months maturity 12/21/2020		$(900,189	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Poland
Eurocash SA		201,066		$	2,488,855		$	(599,556	)
KGHM Polska Miedz SA		5,668			93,529			31,117
PGE Polska Grupa Energetyczna SA		649,306			1,994,383			(374,904	)
Polski Koncern Naftowy ORLEN SA		34,638			618,198			87,236
Polskie Gornictwo Naftowe i Gazownictwo SA		1,530,137			1,869,942			186,158
Tauron Polska Energia SA		165,137			99,477			12,942
								(657,007	)
Total of Long Equity Positions								(657,007	)
Short Positions
Common Stocks
Poland
Bank Pekao SA		(43,425	)		(1,439,720	)		135,813
Bank Zachodni WBK SA		(16,108	)		(1,004,736	)		(210,933	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Poland (continued)
LPP SA		(257	)	$	(337,553	)	$	(10,585	)
mBank SA		(9,200	)		(688,646	)		(47,894	)
Orange Polska SA		(651,160	)		(853,497	)		(3,000	)
Powszechna Kasa Oszczednosci Bank Polski SA		(122,236	)		(694,112	)		(127,000	)
Powszechny Zaklad Ubezpieczen SA		(133,132	)		(891,278	)		(164,333	)
								(427,932	)
Total of Short Equity Positions								(427,932	)
Total of Long and Short Equity Positions								(1,084,939	)
Net Cash and Other Receivables/ (Payables) (b)								184,750
Swaps, at Value							$	(900,189	)

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

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

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

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Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	7-60 months maturity ranging from 06/02/2017 - 12/22/2020		$5,797,941

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Brazil
AES Tiete SA		269,300	$	1,286,404	$	(128,017	)
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros		556,400		2,701,541		119,180
Cia de Saneamento Basico do Estado de Sao Paulo, ADR		198,426		1,702,942		19,396
Cia Energetica de Minas Gerais, ADR		492,084		558,839		563,112
Cia Paranaense de Energia, ADR		28,821		269,961		(25,559	)
Cielo SA		38,000		138,500		187,128
CPFL Energia SA		24,800		176,601		15,493
EDP—Energias do Brasil SA		463,700		1,692,797		216,313
Engie Brasil Energia SA		37,100		451,790		(52,829	)
Equatorial Energia SA		135,300		1,471,210		790,233
Hypermarcas SA		210,400		1,685,875		3,298
JBS SA		1,035,693		2,690,396		937,250
Kroton Educacional SA		136,400		598,083		(39,441	)
Lojas Renner SA		165,500		1,272,735		(94,552	)
M Dias Branco SA		18,300		622,384		24,276
Odontoprev SA		88,300		262,726		79,112
Porto Seguro SA		43,000		283,385		72,009
Qualicorp SA		502,700		2,522,955		450,276
Raia Drogasil SA		26,000		482,792		6,021
Sul America SA		114,800		599,487		35,410
Transmissora Alianca de Energia Eletrica SA		213,800		1,398,158		(35,755	)
						3,142,354
Chile
Banco de Chile, ADR		386		25,786		1,408
Enel Americas SA, ADR		199,516		1,666,958		(28,931	)
Enel Generacion Chile SA, ADR		16,521		432,659		(111,491	)
						(139,014	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of
CJ E&M Corp.		7,832	$	477,198	$	(17,703	)
Daelim Industrial Co. Ltd.		13,116		933,083		11,022
DGB Financial Group, Inc.		39,992		304,186		18,960
Dongbu Insurance Co. Ltd.		61,618		3,583,937		(393,854	)
Doosan Heavy Industries & Construction Co. Ltd.		31,114		718,651		(19,639	)
Hana Financial Group, Inc.		42,142		954,508		133,180
Hanwha Chemical Corp.		94,727		1,985,296		(54,281	)
Hanwha Corp.		82,806		2,320,257		78,833
Hanwha Life Insurance Co. Ltd.		230,621		1,287,108		(41,168	)
Hyundai Department Store Co. Ltd.		9,693		984,351		(109,314	)
Hyundai Development Co-Engineering & Construction		74,005		2,629,982		119,400
Hyundai Engineering & Construction Co. Ltd.		38,769		1,208,469		162,996
Hyundai Glovis Co. Ltd.		5,971		788,719		(25,849	)
Hyundai Marine & Fire Insurance Co. Ltd.		114,333		3,076,014		(99,937	)
Hyundai Mobis Co. Ltd.		9,431		1,904,232		154,774
Hyundai Steel Co.		3,697		162,942		11,066
KB Financial Group, Inc.		71,045		2,278,548		232,145
Kia Motors Corp.		70,443		2,856,673		(570,329	)
Korea Electric Power Corp.		66,708		3,002,131		(568,754	)
Korea Gas Corp.		2,524		97,173		4,122
Korea Zinc Co. Ltd.		3,950		1,678,097		(124,370	)
Korean Air Lines Co. Ltd.		44,205		910,769		86,771
KT Corp.		15,906		355,898		31,105
LG Chem Ltd.		7,138		1,711,816		(172,528	)
LG Corp.		45,742		2,525,854		(254,848	)
LG Uplus Corp.		65,926		545,923		78,917
Lotte Chemical Corp.		14,715		3,156,325		1,327,944
NAVER Corp.		482		372,870		(64,208	)
NCSoft Corp.		8,099		1,468,419		188,281

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

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Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of (continued)
POSCO		11,467	$	2,328,080	$	106,533
Posco Daewoo Corp.		91,413		1,832,377		208,181
Samsung Card Co. Ltd.		25,643		961,094		(117,973	)
Samsung Life Insurance Co. Ltd.		16,717		1,488,899		67,042
Shinhan Financial Group Co. Ltd.		17,663		583,293		79,091
SK Hynix, Inc.		24,141		606,986		281,309
SK Innovation Co. Ltd.		49,138		6,048,801		(102,214	)
SK Networks Co. Ltd.		264,527		1,211,727		302,068
SK Telecom Co. Ltd.		23,477		4,301,283		49,970
Woori Bank		232,343		1,914,431		534,186
Yuhan Corp.		3,772		898,818		(276,401	)
						1,254,526
Malaysia
AirAsia Bhd.		1,784,100		957,719		(48,201	)
Mexico
Cemex SAB de CV, ADR		113,417		841,529		69,210
Grupo Aeroportuario del Pacifico SAB de CV, ADR		2,386		223,713		(26,821	)
						42,389
South Africa
AngloGold Ashanti Ltd., ADR		97,255		1,131,978		(109,828	)
Gold Fields Ltd., ADR		114,290		446,435		(102,422	)
						(212,250	)
Taiwan
Casetek Holdings Ltd.		54,000		280,603		(137,691	)
Cathay Financial Holding Co. Ltd.		790,000		851,963		322,464
China Life Insurance Co. Ltd.		1,819,960		1,373,536		425,940
Compal Electronics, Inc.		1,177,000		658,083		14,228
Feng TAY Enterprise Co. Ltd.		265,467		1,206,778		(223,555	)
Formosa Petrochemical Corp.		32,000		112,789		(2,050	)
Foxconn Technology Co. Ltd.		454,217		897,004		298,055
Fubon Financial Holding Co. Ltd.		1,247,297		1,403,087		563,087
Hon Hai Precision Industry Co. Ltd.		326,700		685,287		164,489
Inventec Corp.		712,000		456,918		28,790
Lite-On Technology Corp.		439,945		565,658		95,954
Nien Made Enterprise Co. Ltd.		125,000		1,374,688		(91,040	)
Novatek Microelectronics Corp.		112,000		389,232		(21,133	)
Pegatron Corp.		955,000		1,950,694		321,281

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Taiwan (continued)
Phison Electronics Corp.		240,000		$	1,815,358		$	72,184
Pou Chen Corp.		850,000			1,086,240			(29,975	)
Powertech Technology, Inc.		991,000			2,042,708			616,636
Realtek Semiconductor Corp.		599,000			2,103,748			(211,951	)
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		4,618			130,888			1,879
Uni-President Enterprises Corp.		1,116,000			2,082,334			(242,201	)
Wistron Corp.		2,305,412			1,690,929			85,746
								2,051,137
United States
Samsung Electronics Co. Ltd.		3,953			4,241,115			1,642,187
Total of Long Common Stocks								7,733,128
Preferred Stocks
Brazil
Braskem SA		213,400			1,366,540			879,120
Centrais Eletricas Brasileiras SA		372,900			1,068,920			1,897,369
Cia Energetica de Sao Paulo		138,300			398,348			174,874
Itausa - Investimentos Itau SA		255,710			399,318			251,211
								3,202,574
Total of Long Equity Positions								10,935,702
Short Positions
Common Stocks
Brazil
Banco Bradesco SA, ADR		(33,371	)		(232,699	)		(57,962	)
Banco do Brasil SA		(271,800	)		(1,605,584	)		(740,212	)
BB Seguridade Participacoes SA		(124,600	)		(821,301	)		(262,111	)
BRF SA		(11,700	)		(187,745	)		14,296
CCR SA		(216,400	)		(1,001,126	)		(60,030	)
Duratex SA		(129,900	)		(356,359	)		84,961
Embraer SA, ADR		(51,503	)		(915,762	)		(75,670	)
Fibria Celulose SA, ADR		(415,804	)		(3,444,427	)		(551,449	)
Itau Unibanco Holding SA, ADR		(48,705	)		(469,462	)		(31,226	)
Telefonica Brasil SA, ADR		(220,686	)		(1,956,517	)		(996,261	)
TIM Participacoes SA, ADR		(366,515	)		(3,342,464	)		(982,413	)
								(3,658,077	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Chile
Banco Santander Chile, ADR		(19,468	)	$	(313,240	)	$	(112,525	)
Sociedad Quimica y Minera de Chile SA, ADR		(54,153	)		(911,180	)		(640,303	)
								(752,828	)
Korea, Republic of
Amorepacific Corp.		(8,899	)		(2,518,978	)		153,757
BGF retail Co. Ltd.		(26,064	)		(2,214,931	)		450,362
BNK Financial Group, Inc.		(89,846	)		(619,848	)		(24,661	)
Cheil Worldwide, Inc.		(3,344	)		(56,634	)		13,150
CJ CheilJedang Corp.		(618	)		(199,546	)		16,705
CJ Corp.		(11,228	)		(1,737,400	)		1,129
CJ Korea Express Corp.		(8,937	)		(1,610,581	)		287,008
Daewoo Engineering & Construction Co. Ltd.		(361,151	)		(1,550,681	)		33,495
Dongsuh Cos., Inc.		(6,391	)		(182,301	)		36,624
E-MART, Inc.		(17,887	)		(2,535,212	)		(173,359	)
GS Holdings Corp.		(14,445	)		(573,455	)		(72,689	)
GS Retail Co. Ltd.		(30,295	)		(1,277,592	)		84,248
Hankook Tire Co. Ltd.		(11,481	)		(441,868	)		(110,089	)
Hanmi Pharm Co. Ltd.		(1,523	)		(411,900	)		27,842
Hanmi Science Co. Ltd.		(30,443	)		(2,057,679	)		522,653
Hanon Systems		(18,621	)		(179,191	)		20,615
Hanssem Co. Ltd.		(15,432	)		(2,346,301	)		(190,727	)
Hotel Shilla Co. Ltd.		(32,407	)		(1,732,068	)		443,836
Hyundai Heavy Industries Co. Ltd.		(20,417	)		(1,697,752	)		(754,583	)
Hyundai Motor Co.		(30,748	)		(3,577,366	)		(131,997	)
Hyundai Wia Corp.		(4,168	)		(285,639	)		34,055
Industrial Bank of Korea		(4,349	)		(41,512	)		(4,132	)
Kakao Corp.		(12,788	)		(866,103	)		52,465
Kangwon Land, Inc.		(18,636	)		(593,994	)		42,544
KCC Corp.		(4,598	)		(1,565,891	)		199,387
Korea Aerospace Industries Ltd.		(57,391	)		(3,509,982	)		334,765
Korea Investment Holdings Co. Ltd.		(10,868	)		(387,796	)		11,167
Kumho Petrochemical Co. Ltd.		(72,899	)		(4,186,142	)		(756,464	)
LG Display Co. Ltd.		(55,034	)		(1,374,903	)		(53,002	)
LG Electronics, Inc.		(10,028	)		(489,320	)		61,200
LG Household & Health Care Ltd.		(1,428	)		(1,051,194	)		38,039
LG Innotek Co. Ltd.		(7,631	)		(526,091	)		(31,423	)
Lotte Chilsung Beverage Co. Ltd.		(1,091	)		(1,527,295	)		207,690
Lotte Confectionery Co. Ltd.		(518	)		(83,050	)		6,525
Lotte Shopping Co. Ltd.		(18,218	)		(3,481,388	)		140,011
NH Investment & Securities Co. Ltd.		(220,251	)		(1,742,931	)		(11,961	)
Orion Corp.		(6,185	)		(4,171,409	)		819,072
Ottogi Corp.		(1,685	)		(1,292,077	)		368,210
Samsung C&T Corp.		(52,899	)		(5,895,200	)		417,719

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of (continued)
Samsung Electro-Mechanics Co. Ltd.		(121,799	)	$	(5,229,009	)	$	116,034
Samsung SDI Co. Ltd.		(85,655	)		(7,484,487	)		(226,465	)
Samsung SDS Co. Ltd.		(10,962	)		(2,175,906	)		912,152
Samsung Securities Co. Ltd.		(42,192	)		(1,263,508	)		158,298
Shinsegae, Inc.		(6,797	)		(1,092,798	)		103,061
SK Holdings Co. Ltd.		(516	)		(99,221	)		1,268
S-Oil Corp.		(8,560	)		(593,218	)		(5,904	)
								3,567,630
Mexico
America Movil SAB de CV, ADR		(155,886	)		(1,887,799	)		(71,688	)
Grupo Financiero Santander Mexico SAB de CV, ADR		(383,937	)		(2,833,875	)		73,368
Grupo Televisa SAB, ADR		(97,348	)		(2,266,176	)		232,576
								234,256
Taiwan
Advanced Semiconductor Engineering, Inc.		(1,852,000	)		(1,947,039	)		58,951
Asia Cement Corp.		(265,000	)		(207,996	)		(7,560	)
Asustek Computer, Inc.		(10,000	)		(82,580	)		707
AU Optronics Corp.		(5,021,000	)		(1,454,894	)		(368,432	)
Catcher Technology Co. Ltd.		(32,000	)		(268,172	)		46,997
Chang Hwa Commercial Bank Ltd.		(976,397	)		(417,012	)		(101,238	)
Cheng Shin Rubber Industry Co. Ltd.		(322,000	)		(513,569	)		(90,857	)
China Development Financial Holding Corp.		(6,012,000	)		(1,447,014	)		(49,637	)
China Steel Corp.		(875,000	)		(454,765	)		(210,364	)
Delta Electronics, Inc.		(272,000	)		(1,202,686	)		(134,501	)
E.Sun Financial Holding Co. Ltd.		(1,009,178	)		(449,496	)		(123,260	)
Far Eastern New Century Corp.		(1,048,000	)		(761,556	)		(23,274	)
Formosa Chemicals & Fibre Corp.		(348,000	)		(735,905	)		(300,489	)
Formosa Plastics Corp.		(517,000	)		(1,170,158	)		(254,997	)
Hiwin Technologies Corp.		(37,000	)		(174,803	)		5,891
Hotai Motor Co. Ltd.		(279,000	)		(2,839,275	)		(343,255	)
Largan Precision Co. Ltd.		(5,000	)		(400,148	)		(182,659	)
Nan Ya Plastics Corp.		(475,000	)		(913,342	)		(132,949	)
Nanya Technology Corp.		(513,000	)		(751,479	)		(11,572	)
OBI Pharma, Inc.		(6,000	)		(49,464	)		(3,353	)
President Chain Store Corp.		(16,000	)		(103,838	)		(10,534	)

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

AQR Funds Annual Report December 2016

166

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Taiwan (continued)
Quanta Computer, Inc.		(369,000	)	$	(609,008	)	$	(78,583	)
Shin Kong Financial Holding Co. Ltd.		(7,930,000	)		(1,724,126	)		(212,824	)
SinoPac Financial Holdings Co. Ltd.		(854,191	)		(212,177	)		(27,922	)
Synnex Technology International Corp.		(39,000	)		(42,221	)		3,031
Taishin Financial Holding Co. Ltd.		(3,894,205	)		(1,116,936	)		(305,154	)
Taiwan Cement Corp.		(840,000	)		(720,707	)		(192,216	)
United Microelectronics Corp.		(854,000	)		(307,912	)		7,157
Vanguard International Semiconductor Corp.		(128,000	)		(249,844	)		28,049
Yuanta Financial Holding Co. Ltd.		(1,771,000	)		(584,427	)		(72,352	)
								(3,087,199	)
Total of Short Common Stocks								(3,696,218	)
Preferred Stocks
Brazil
Cia Brasileira de Distribuicao		(155,900	)		(2,269,072	)		(353,451	)
Petroleo Brasileiro SA		(582,200	)		(1,615,101	)		(1,044,841	)
Suzano Papel e Celulose SA		(26,200	)		(103,549	)		(10,759	)
Vale SA		(25,001	)		(122,483	)		(56,804	)
								(1,465,855	)
Total of Short Equity Positions								(5,162,073	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Rights
Taiwan
Taishin Financial Holding Co. Ltd.(c)		(149,174	)	$	—	$	—
Total of Short Equity Positions and Rights							(5,162,073	)
Total of Long and Short Equity Positions and Rights							5,773,629
Net Cash and Other Receivables/ (Payables) (b)							24,312
Swaps, at Value						$	5,797,941

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

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

AQR Funds Annual Report December 2016

167

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread, which is denominated in ZAR based on the local currencies of the positions within the swaps.	49-60 months maturity ranging from 12/22/2020 - 12/24/2020		$(925,494	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
South Africa
Anglo American Platinum Ltd.		74,309		$	2,088,401		$	(670,715	)
Barclays Africa Group Ltd.		42,934			444,610			82,374
Bidvest Group Ltd. (The)		87,304			1,017,034			132,530
Brait SE		185,928			1,966,304			(783,674	)
Exxaro Resources Ltd.		33,944			183,217			35,960
Imperial Holdings Ltd.		105,586			1,142,557			254,330
Investec Ltd.		214,433			1,504,290			(97,501	)
MMI Holdings Ltd.		29,996			48,016			3,210
Mondi Ltd.		96,722			1,987,912			(19,631	)
Pick n Pay Stores Ltd.		141,835			717,693			(59,855	)
Rand Merchant Investment Holdings Ltd.		122,297			374,575			(21,564	)
RMB Holdings Ltd.		461,961			1,779,591			453,195
Sappi Ltd.		232,515			1,451,286			65,543
Sasol Ltd.		5,991			157,910			14,027
Shoprite Holdings Ltd.		12,529			169,619			(13,029	)
Sibanye Gold Ltd.		202,073			363,406			(553	)
SPAR Group Ltd. (The)		11,820			158,557			12,736
Telkom SA SOC Ltd.		94,454			406,997			99,422
Tiger Brands Ltd.		26,721			749,772			22,691
Tsogo Sun Holdings Ltd.		45,152			95,181			(4,610	)
Vodacom Group Ltd.		97,483			1,124,146			(44,186	)
Woolworths Holdings Ltd.		109,096			634,560			(70,092	)
							(609,392)
Total of Long Equity Positions								(609,392	)
Short Positions
Common Stocks
South Africa
Aspen Pharmacare Holdings Ltd.		(22,927	)		(500,718	)		28,405

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
South Africa (continued)
Coronation Fund Managers Ltd.		(719,607	)	$	(3,257,356	)	$	(423,471	)
Discovery Ltd.		(695,962	)		(5,931,264	)		135,323
Impala Platinum Holdings Ltd.		(270,086	)		(966,117	)		135,131
Massmart Holdings Ltd.		(48,930	)		(367,293	)		(82,716	)
MTN Group Ltd.		(373,907	)		(3,472,955	)		48,451
Naspers Ltd.		(14,620	)		(2,200,693	)		66,294
Pioneer Foods Group Ltd.		(3,907	)		(39,186	)		(4,603	)
PSG Group Ltd.		(22,836	)		(337,776	)		(24,092	)
Sanlam Ltd.		(458,975	)		(2,005,141	)		(94,317	)
Truworths International Ltd.		(13,924	)		(80,138	)		(392	)
							(215,987)
Total of Short Equity Positions								(215,987	)
Total of Long and Short Equity Positions								(825,379	)
Net Cash and Other Receivables/ (Payables) (b)								(100,115	)
Swaps, at Value							$	(925,494	)

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

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

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

AQR Funds Annual Report December 2016

168

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread, which is denominated in MXN based on the local currencies of the positions within the swaps.	49-60 months maturity 12/22/2020		$247,160

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Mexico
Arca Continental SAB de CV		152,900		$	805,668		$	(8,554	)
Gentera SAB de CV		249,200			394,698			6,577
Gruma SAB de CV		260,225			3,178,904			119,093
Grupo Bimbo SAB de CV		126,700			306,616			(19,290	)
Grupo Lala SAB de CV		550,400			1,133,499			(331,383	)
Grupo Mexico SAB de CV		1,509,300			2,957,675			1,150,923
Industrias Penoles SAB de CV		31,180			649,018			(70,997	)
Kimberly-Clark de Mexico SAB de CV		359,900			704,345			(56,063	)
OHL Mexico SAB de CV		471,800			501,894			(37,824	)
Promotora y Operadora de Infraestructura SAB de CV		4,000			39,862			(6,484	)
Wal-Mart de Mexico SAB de CV		144,800			282,775			(23,975	)
							722,023
Total of Long Equity Positions								722,023
Short Positions
Common Stocks
Mexico
El Puerto de Liverpool SAB de CV		(86,540	)		(815,880	)		191,554
Grupo Financiero Banorte SAB de CV		(338,900	)		(1,339,202	)		(333,256	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Mexico (continued)
Grupo Financiero Inbursa SAB de CV		(2,369,000	)	$	(3,339,721	)	$	(245,266	)
Mexichem SAB de CV		(289,993	)		(556,925	)		(101,970	)
							(488,938)
Total of Short Equity Positions								(488,938	)
Total of Long and Short Equity Positions								233,085
Net Cash and Other Receivables/ (Payables) (b)								14,075
Swaps, at Value							$	247,160

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

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

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

AQR Funds Annual Report December 2016

169

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD/USD Bank-Bill Swap Reference Rate/Overnight Indexed Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	2-51 months maturity ranging from 02/21/2017 - 12/21/2020		$452,857

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
DUET Group		1,589,790		$	3,110,712		$	28,858
Tatts Group Ltd.		1,311,467			3,904,821			321,212
							350,070
Total of Long Equity Positions								350,070
Short Positions
Common Stocks
Australia
Tabcorp Holdings Ltd.		(833,296	)		(2,911,713	)		24,759
Total of Long and Short Equity Positions								374,829
Net Cash and Other Receivables/ (Payables) (b)								78,028
Swaps, at Value							$	452,857

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

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

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

AQR Funds Annual Report December 2016

170

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	48-49 months maturity 12/21/2020		$(25,237	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Sky plc		834,719	$	10,204,437	$	(28,433	)
Net Cash and Other Receivables/ (Payables) (b)						3,196
Swaps, at Value					$	(25,237	)

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	49-61 months maturity 01/14/2021		$15,288,091

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Ageas		198,731	$	7,439,595	$	415,605
bpost SA		121,228		2,664,103		201,802
Galapagos NV		24,730		1,497,920		85,917
KBC Groep NV		36,752		2,027,847		242,978
Proximus SADP		80,215		2,442,444		(136,519	)
UCB SA		5,135		348,362		(19,820	)
Umicore SA		70,094		3,885,628		102,119
					892,082

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Finland
Amer Sports OYJ		33,073	$	871,928	$	5,712
Huhtamaki OYJ		53,491		2,018,640		(36,222	)
Kesko OYJ		129,229		4,667,334		1,781,929
Metso OYJ		38,784		750,744		352,619
Neste OYJ		120,292		4,232,180		371,100
Orion OYJ		41,104		1,303,137		523,189
Stora Enso OYJ		162,210		1,306,653		428,506
UPM-Kymmene OYJ		401,258		6,897,974		2,915,015
					6,341,848

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

AQR Funds Annual Report December 2016

171

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany
adidas AG		54,920	$	8,307,351	$	354,527
Allianz SE		28,690		3,957,363		777,573
Aurubis AG		68,041		3,011,738		904,188
Bayer AG		24,554		2,405,291		152,829
Brenntag AG		58,609		2,652,828		595,801
Covestro AG		132,834		6,419,945		2,672,230
Deutsche Lufthansa AG		231,130		3,013,251		(33,816	)
Deutsche Post AG		219,574		6,351,773		849,162
Evonik Industries AG		82,453		2,397,859		59,967
Freenet AG		15,522		466,681		(30,442	)
Hannover Rueck SE		42,528		4,213,448		380,740
HeidelbergCement AG		24,259		1,720,812		537,216
Hella KGaA Hueck & Co.		53,033		1,960,943		35,052
HOCHTIEF AG		55,534		5,219,775		2,533,490
Infineon Technologies AG		416,929		6,418,505		793,315
KION Group AG		72,108		3,267,555		735,988
LANXESS AG		75,068		3,200,351		1,715,344
METRO AG		121,809		3,358,693		689,888
MTU Aero Engines AG		14,307		1,219,121		431,189
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen		21,987		3,851,713		301,145
OSRAM Licht AG		151,786		6,203,357		1,744,973
Rheinmetall AG		100,520		6,313,449		432,524
RHOEN-KLINIKUM AG		67,429		1,819,516		603
RWE AG		157,832		2,014,780		(56,298	)
Salzgitter AG		78,776		1,668,820		1,095,087
Siemens AG		25,176		2,772,177		310,371
Software AG		115,274		3,872,041		305,886
STADA Arzneimittel AG		137,169		6,459,228		627,173
Suedzucker AG		234,245		4,722,431		861,171
Talanx AG		68,969		1,957,829		345,662
Zalando SE		55,216		1,907,731		195,680
					20,318,218
Italy
A2A SpA		5,968,258		7,282,381		425,508
Assicurazioni Generali SpA		28,764		351,355		74,996
Atlantia SpA		91,258		2,116,098		19,006
Autogrill SpA		248,704		1,987,282		256,900
Banca Monte dei Paschi di Siena SpA		111,235		2,873,941		(1,153,319	)
Banco Popolare SC		253,517		646,602		(36,500	)
BPER Banca		38,695		164,480		40,890
Buzzi Unicem SpA		76,808		1,528,056		289,364
Davide Campari-Milano SpA		97,091		915,141		33,171
Enel SpA		4,547,276		18,534,575		1,453,881
Hera SpA		532,061		1,399,493		(174,850	)
Intesa Sanpaolo SpA		996,431		2,073,313		450,789
Leonardo-Finmeccanica SpA		419,746		4,941,410		937,246

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Italy (continued)
Mediaset SpA		1,630,270	$	5,297,180	$	1,724,281
Mediobanca SpA		797,844		5,459,868		1,037,845
Moncler SpA		85,498		1,398,298		87,361
Poste Italiane SpA		819,502		5,515,012		(80,801	)
Prysmian SpA		364,400		7,554,026		1,785,664
Recordati SpA		154,566		3,927,166		452,141
Snam SpA		652,798		3,645,036		(960,176	)
Unipol Gruppo Finanziario SpA		1,126,767		4,081,948		(30,233	)
					6,633,164
Netherlands
ABN AMRO Group NV		115,939		2,097,614		469,479
Akzo Nobel NV		18,951		1,162,977		21,210
ASM International NV		49,002		1,897,672		299,222
Boskalis Westminster		11,143		405,102		(18,528	)
Delta Lloyd NV		942,919		3,520,037		1,750,127
Koninklijke Ahold Delhaize NV		103,549		2,310,608		(129,556	)
Koninklijke DSM NV		85,491		4,980,158		143,082
Koninklijke Philips NV		214,030		5,427,197		1,116,109
NN Group NV		367,143		10,815,137		1,613,583
Randstad Holding NV		53,208		2,662,761		219,386
Wolters Kluwer NV		227,614		7,844,730		387,875
					5,871,989
Spain
Abengoa SA		2,740,366		660,105		(117,477	)
ACS Actividades de Construccion y Servicios SA		169,493		4,102,081		1,246,707
Almirall SA		82,736		1,334,826		(51,357	)
Banco Bilbao Vizcaya Argentaria SA		137,845		949,766		(20,839	)
Banco Santander SA		661,008		2,970,179		468,563
Bankinter SA		327,853		2,199,103		336,334
Ebro Foods SA		140,109		2,692,148		240,078
Enagas SA		112,002		2,987,969		(149,476	)
Endesa SA		355,758		6,462,036		1,061,562
Gamesa Corp. Tecnologica SA		118,425		2,545,500		(151,221	)
Grifols SA		44,961		910,488		(17,950	)
Mapfre SA		446,097		1,326,362		32,493
Mediaset Espana Comunicacion SA		128,211		1,252,998		248,833
Obrascon Huarte Lain SA		38,312		101,896		30,612
Prosegur Cia de Seguridad SA		237,960		1,407,893		77,067
Red Electrica Corp. SA		4,778		96,855		(6,837	)
Repsol SA		408,731		5,018,315		725,640
Tecnicas Reunidas SA		11,049		407,382		44,491
					3,997,223
Switzerland
STMicroelectronics NV		325,137		2,803,190		886,664

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

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Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Dialog Semiconductor plc		34,306		$	1,214,134		$	227,229
Fiat Chrysler Automobiles NV		1,270,334			8,285,147			3,270,861
							3,498,090
Total of Long Common Stocks								48,439,278
Preferred Stocks
Germany
Schaeffler AG		34,873			475,139			39,455
Total of Long Equity Positions								48,478,733
Short Positions
Common Stocks
Belgium
Anheuser-Busch InBev SA/NV		(99,009	)		(11,484,033	)		1,004,529
Colruyt SA		(20,185	)		(1,007,921	)		10,279
Solvay SA		(6,297	)		(613,672	)		(122,489	)
Telenet Group Holding NV		(46,531	)		(2,153,189	)		(425,870	)
							466,449
Finland
Cargotec OYJ		(9,879	)		(290,652	)		(154,120	)
Elisa OYJ		(7,787	)		(271,364	)		18,586
Fortum OYJ		(77,029	)		(1,147,830	)		(29,648	)
Kone OYJ		(46,047	)		(1,815,880	)		(241,664	)
Nokia OYJ		(1,510,368	)		(8,231,890	)		987,919
Nokian Renkaat OYJ		(102,506	)		(3,117,127	)		(693,827	)
Outokumpu OYJ		(16,283	)		(144,976	)		(14	)
Sampo OYJ		(67,061	)		(2,758,807	)		(238,997	)
Wartsila OYJ Abp		(22,703	)		(957,026	)		(60,894	)
							(412,659)
Germany
Axel Springer SE		(10,720	)		(534,827	)		15,027
BASF SE		(12,538	)		(882,562	)		(279,415	)
Bayerische Motoren Werke AG		(129,369	)		(10,593,368	)		(1,455,546	)
Beiersdorf AG		(24,833	)		(2,084,947	)		(18,602	)
Commerzbank AG		(106,776	)		(848,144	)		35,173
Continental AG		(6,537	)		(1,212,368	)		(47,029	)
Daimler AG		(195,392	)		(12,760,569	)		(1,740,563	)
Deutsche Bank AG		(257,791	)		(3,117,524	)		(1,558,636	)
Deutsche Telekom AG		(102,834	)		(1,671,514	)		(92,830	)
Duerr AG		(9,653	)		(655,270	)		(118,722	)
E.ON SE		(237,243	)		(1,596,003	)		(72,988	)
Fielmann AG		(9,465	)		(652,763	)		28,146
Fraport AG Frankfurt Airport Services Worldwide		(60,530	)		(3,324,106	)		(247,645	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
Fresenius Medical Care AG & Co. KGaA		(3,621	)	$	(303,478	)	$	(2,572	)
GEA Group AG		(9,116	)		(360,965	)		(4,865	)
HUGO BOSS AG		(132,840	)		(7,554,063	)		(555,692	)
K+S AG		(230,949	)		(4,802,409	)		(699,038	)
Linde AG		(1,362	)		(220,956	)		(2,463	)
MAN SE		(24,161	)		(2,341,278	)		(56,855	)
Merck KGaA		(14,686	)		(1,479,207	)		(49,912	)
Nordex SE		(46,826	)		(1,237,875	)		234,900
ProSiebenSat.1 Media SE		(91,308	)		(3,622,499	)		107,874
SAP SE		(78,462	)		(5,840,196	)		(947,161	)
Symrise AG		(11,277	)		(741,702	)		56,538
Telefonica Deutschland Holding AG		(927,026	)		(3,937,471	)		(25,013	)
thyssenkrupp AG		(53,052	)		(1,099,321	)		(160,943	)
United Internet AG		(85,267	)		(3,285,211	)		(42,117	)
Wacker Chemie AG		(24,488	)		(1,700,074	)		(841,520	)
Wirecard AG		(40,344	)		(1,869,196	)		138,135
							(8,404,334)
Italy
Azimut Holding SpA		(561,820	)		(9,964,339	)		619,376
Banca Generali SpA		(95,516	)		(2,107,338	)		(164,482	)
Eni SpA		(530,594	)		(7,240,310	)		(1,361,186	)
FinecoBank Banca Fineco SpA		(34,491	)		(177,582	)		(15,264	)
Luxottica Group SpA		(294,063	)		(14,175,483	)		(1,629,358	)
Saipem SpA		(5,150,587	)		(1,994,110	)		(886,680	)
Salvatore Ferragamo SpA		(350,609	)		(7,611,707	)		(657,641	)
Telecom Italia SpA		(4,487,064	)		(3,904,889	)		(56,918	)
Terna Rete Elettrica Nazionale SpA		(355,849	)		(1,526,710	)		(100,709	)
UniCredit SpA		(1,496,819	)		(3,147,106	)		(1,151,356	)
UnipolSai SpA		(646,078	)		(1,011,492	)		(366,543	)
Yoox Net-A-Porter Group SpA		(10,905	)		(321,315	)		12,954
							(5,757,807)
Luxembourg
APERAM SA		(29,439	)		(1,086,965	)		(256,511	)
ArcelorMittal		(298,574	)		(1,593,941	)		(599,835	)
Tenaris SA		(1,264,578	)		(13,606,464	)		(8,966,917	)
							(9,823,263)
Netherlands
Aegon NV		(342,752	)		(1,544,582	)		(338,377	)
Altice NV		(245,456	)		(3,565,902	)		(1,291,640	)
ASML Holding NV		(26,981	)		(2,450,440	)		(573,332	)
Gemalto NV		(47,333	)		(2,940,461	)		206,914
Koninklijke KPN NV		(1,126,041	)		(3,935,964	)		606,123
Koninklijke Vopak NV		(90,027	)		(3,721,288	)		(526,190	)
OCI NV		(70,139	)		(1,030,130	)		(193,169	)
SBM Offshore NV		(473,963	)		(5,206,897	)		(2,213,623	)
							(4,323,294)

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

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Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain
Abertis Infraestructuras SA		(204,896	)	$	(2,935,272	)	$	72,568
Acciona SA		(16,764	)		(1,175,823	)		(55,540	)
Acerinox SA		(114,629	)		(1,404,310	)		(110,326	)
Aena SA		(14,313	)		(1,501,019	)		(448,999	)
Amadeus IT Group SA		(79,257	)		(3,098,986	)		(495,647	)
Atresmedia Corp. de Medios de Comunicacion SA		(235,391	)		(2,312,393	)		(257,175	)
Banco de Sabadell SA		(1,644,951	)		(2,588,054	)		302,271
Banco Popular Espanol SA		(7,209,969	)		(8,393,110	)		1,446,328
Bankia SA		(2,847,955	)		(2,607,704	)		(294,488	)
CaixaBank SA		(1,932,583	)		(5,095,439	)		(1,273,924	)
Cellnex Telecom SA		(219,802	)		(3,654,225	)		499,158
Distribuidora Internacional de Alimentacion SA		(240,185	)		(1,369,561	)		191,554
Ferrovial SA		(34,485	)		(669,817	)		54,803
Gas Natural SDG SA		(180,856	)		(3,405,365	)		2,869
Iberdrola SA		(35,642	)		(225,137	)		(8,243	)
Industria de Diseno Textil SA		(3,344	)		(113,099	)		(817	)
Telefonica SA		(181,635	)		(1,796,644	)		119,725
Zardoya Otis SA		(48,747	)		(458,352	)		46,985
							(208,898)
United Kingdom
CNH Industrial NV		(68,520	)		(405,891	)		(188,657	)
RELX NV		(119,019	)		(1,903,637	)		(98,248	)
Unilever NV		(224,430	)		(9,344,157	)		124,835
							(162,070)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
QIAGEN NV		(125,206	)	$	(2,696,114	)		(812,577	)
Total of Short Common Stocks								(29,438,453	)
Preferred Stocks
Germany
FUCHS PETROLUB SE		(71,384	)		(2,861,854	)		(128,373	)
Henkel AG & Co. KGaA		(220	)		(23,486	)		(2,703	)
Volkswagen AG		(76,179	)		(9,719,704	)		(939,037	)
							(1,070,113)
Total of Short Equity Positions								(30,508,566	)
Total of Long and Short Equity Positions								17,970,167
Net Cash and Other Receivables/ (Payables) (b)								(2,682,076	)
Swaps, at Value							$	15,288,091

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

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

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

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174

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	50-61 months maturity 01/14/2021		$4,885,559

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
ABB Ltd.		233,580		$	4,931,432		$	(16,506	)
Actelion Ltd.		29,771			4,861,126			1,572,643
Baloise Holding AG		33,598			3,927,543			300,258
Clariant AG		77,678			1,268,449			70,355
Flughafen Zurich AG		25,729			3,719,618			1,048,147
GAM Holding AG		63,999			795,643			(54,977	)
Geberit AG		6,597			2,505,628			135,525
Georg Fischer AG		2,629			1,878,994			271,068
Givaudan SA		317			553,002			27,163
Helvetia Holding AG		4,434			2,251,226			134,493
Lonza Group AG		66,499			9,649,523			1,843,446
OC Oerlikon Corp. AG		123,428			1,012,265			198,630
Partners Group Holding AG		10,368			3,980,373			873,281
Sika AG		1,231			4,725,326			1,180,837
Straumann Holding AG		10,088			3,178,537			752,368
Sunrise Communications Group AG		27,484			1,697,703			108,545
Swiss Life Holding AG		48,977			12,452,014			1,382,958
Swiss Re AG		49,738			4,282,811			423,046
Temenos Group AG		28,483			1,811,151			168,729
Zurich Insurance Group AG		23,638			5,808,967			687,224
							11,107,233
Total of Long Equity Positions								11,107,233
Short Positions
Common Stocks
Austriaams AG		(157,295	)		(4,515,940	)		58,696
Switzerland
Aryzta AG		(30,454	)		(1,166,251	)		(173,003	)
Barry Callebaut AG		(2,544	)		(2,686,378	)		(421,677	)
Chocoladefabriken Lindt & Spruengli AG		(953	)		(5,173,799	)		242,558

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Cie Financiere Richemont SA		(219,689	)	$	(13,253,781	)	$	(1,265,587	)
Credit Suisse Group AG		(720,324	)		(8,188,800	)		(2,105,374	)
DKSH Holding AG		(6,435	)		(441,801	)		85
Dufry AG		(19,521	)		(2,138,302	)		(291,555	)
EMS-Chemie Holding AG		(1,807	)		(756,329	)		(161,321	)
Galenica AG		(1,081	)		(1,210,401	)		(7,722	)
Julius Baer Group Ltd.		(3,736	)		(145,538	)		(19,974	)
Kuehne + Nagel International AG		(27,518	)		(3,558,159	)		(74,182	)
LafargeHolcim Ltd.		(68,827	)		(2,989,452	)		(623,420	)
Nestle SA		(24,950	)		(1,863,025	)		75,667
Novartis AG		(35,575	)		(2,591,709	)		4,571
Roche Holding AG		(1,537	)		(349,914	)		(450	)
SGS SA		(1,680	)		(3,238,257	)		(175,107	)
Sonova Holding AG		(21,956	)		(2,652,990	)		(3,459	)
Swatch Group AG (The)		(53,143	)		(15,203,554	)		(1,290,045	)
Swisscom AG		(11,258	)		(5,115,310	)		83,047
Syngenta AG		(109	)		(40,141	)		(2,926	)
UBS Group AG		(33,895	)		(540,549	)		10,585
							(6,199,289)
Total of Short Equity Positions								(6,140,593	)
Total of Long and Short Equity Positions								4,966,640
Net Cash and Other Receivables/ (Payables) (b)								(81,081	)
Swaps, at Value							$	4,885,559

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

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

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

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175

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap.	50-61 months maturity 01/14/2021		$1,940,448

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Denmark
AP Moeller - Maersk A/S		1,297		$	2,021,079		$	46,292
Danske Bank A/S		212,717			5,392,304			1,043,186
DSV A/S		64,244			2,321,620			531,472
Genmab A/S		22,953			3,871,436			(69,213	)
GN Store Nord A/S		21,596			430,731			15,881
H Lundbeck A/S		117,078			4,031,555			721,933
ISS A/S		120,473			4,051,629			8,663
Jyske Bank A/S		24,492			1,058,889			105,780
TDC A/S		1,442,009			7,004,305			387,969
Vestas Wind Systems A/S		107,860			7,322,642			(337,134	)
							2,454,829
Total of Long Equity Positions								2,454,829
Short Positions
Common Stocks
Denmark
Carlsberg A/S		(9,607	)		(719,881	)		(107,562	)
Chr Hansen Holding A/S		(70,478	)		(4,046,026	)		148,214
Coloplast A/S		(36,409	)		(2,515,570	)		63,110
Novo Nordisk A/S		(77,776	)		(2,646,981	)		(143,014	)
Novozymes A/S		(148,904	)		(6,022,268	)		898,195
Pandora A/S		(79,056	)		(9,234,570	)		(1,085,405	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Denmark (continued)
Topdanmark A/S		(36,049	)	$	(860,393	)	$	(53,106	)
Tryg A/S		(165,115	)		(2,905,810	)		(75,923	)
William Demant Holding A/S		(151,506	)		(2,633,173	)		1,592
							(353,899)
Total of Short Equity Positions								(353,899	)
Total of Long and Short Equity Positions								2,100,930
Net Cash and Other Receivables/ (Payables) (b)								(160,482	)
Swaps, at Value							$	1,940,448

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

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

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

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176

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	49-61 months maturity 01/14/2021		$17,464,264

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Advantest Corp.		120,200	$	1,551,967	$	465,129
Aisin Seiki Co. Ltd.		2,400		94,835		9,011
Ajinomoto Co., Inc.		447,900		9,353,942		(341,045	)
Alfresa Holdings Corp.		201,600		3,743,272		(413,450	)
Amada Holdings Co. Ltd.		807,100		7,430,426		1,561,131
Aozora Bank Ltd.		1,092,000		3,450,921		407,394
Asahi Glass Co. Ltd.		88,000		554,808		42,241
Asahi Group Holdings Ltd.		26,300		786,928		41,131
Astellas Pharma, Inc.		452,800		6,196,932		84,922
Bandai Namco Holdings, Inc.		372,900		7,825,469		2,438,588
Benesse Holdings, Inc.		9,500		269,083		(8,070	)
Bridgestone Corp.		117,400		3,699,178		524,966
Chiyoda Corp.		378,584		2,515,181		98,027
Chubu Electric Power Co., Inc.		454,200		5,718,351		602,017
Chugoku Bank Ltd. (The)		145,900		1,788,477		303,964
Citizen Watch Co. Ltd.		490,500		2,173,009		751,408
Coca-Cola West Co. Ltd.		14,000		365,676		46,466
Concordia Financial Group Ltd.		82,900		292,118		106,807
Cosmos Pharmaceutical Corp.		200		34,229		2,590
Credit Saison Co. Ltd.		33,300		518,623		73,980
CYBERDYNE, Inc.		80,500		1,233,504		(98,369	)
Daicel Corp.		58,000		725,477		(87,823	)
Dai-ichi Life Holdings, Inc.		79,700		952,931		372,200
Daiichi Sankyo Co. Ltd.		150,700		3,079,825		(2,646	)
Daikin Industries Ltd.		27,100		2,451,193		31,408
Eisai Co. Ltd.		21,861		1,106,160		146,637
Ezaki Glico Co. Ltd.		18,800		804,873		75,009
Fuji Electric Co. Ltd.		682,000		2,516,169		1,005,474
Fuji Heavy Industries Ltd.		5,000		162,132		41,590

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
FUJIFILM Holdings Corp.		173,200	$	6,347,241	$	211,116
Fujitsu Ltd.		1,683,000		7,883,761		1,435,934
Fukuoka Financial Group, Inc.		1,640,000		6,478,732		794,640
GungHo Online Entertainment, Inc.		95,800		234,653		(31,091	)
Gunma Bank Ltd. (The)		292,400		1,091,629		506,253
Hachijuni Bank Ltd. (The)		136,700		760,311		30,685
Hakuhodo DY Holdings, Inc.		93,600		1,007,695		144,819
Hankyu Hanshin Holdings, Inc.		80,700		2,485,540		98,541
Haseko Corp.		172,100		1,632,315		112,610
Hikari Tsushin, Inc.		19,300		1,310,764		485,836
Hirose Electric Co. Ltd.		21,000		2,345,165		251,817
Hiroshima Bank Ltd. (The)		176,000		645,121		175,007
Hisamitsu Pharmaceutical Co., Inc.		43,500		2,042,159		130,534
Hitachi Capital Corp.		15,900		274,495		115,926
Hitachi Chemical Co. Ltd.		381,500		6,689,962		2,827,048
Hitachi Construction Machinery Co. Ltd.		21,500		444,367		20,440
Hitachi High-Technologies Corp.		290,400		7,799,093		3,880,923
Hitachi Ltd.		328,000		1,718,300		50,323
Hitachi Metals Ltd.		198,600		2,043,250		630,585
Hokuhoku Financial Group, Inc.		23,800		376,736		33,289
Hoshizaki Corp.		9,500		698,733		53,374
Hoya Corp.		92,400		3,558,031		316,247
Ibiden Co. Ltd.		66,400		877,472		13,046
Idemitsu Kosan Co. Ltd.		88,300		1,787,625		554,562
Isetan Mitsukoshi Holdings Ltd.		65,900		654,547		55,041
ITOCHU Corp.		60,300		678,165		120,253
Itochu Techno-Solutions Corp.		15,600		363,707		41,184
Izumi Co. Ltd.		7,000		287,738		13,246

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

AQR Funds Annual Report December 2016

177

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
J Front Retailing Co. Ltd.		169,700	$	2,221,271	$	63,516
Japan Airlines Co. Ltd.		79,800		2,032,452		296,175
JTEKT Corp.		307,800		4,194,465		713,652
Kajima Corp.		883,000		4,909,766		1,189,220
Kaken Pharmaceutical Co. Ltd.		51,800		3,194,368		(451,179	)
Kamigumi Co. Ltd.		342,000		2,919,438		337,884
Kaneka Corp.		472,000		3,619,853		219,359
Kao Corp.		35,400		1,596,376		79,279
Keisei Electric Railway Co. Ltd.		45,000		1,178,080		(88,455	)
Kirin Holdings Co. Ltd.		63,400		929,076		99,984
Kobayashi Pharmaceutical Co. Ltd.		13,700		588,010		(2,867	)
Koito Manufacturing Co. Ltd.		23,700		932,303		319,294
Komatsu Ltd.		58,500		1,147,444		177,590
Konami Holdings Corp.		350,000		9,616,263		4,509,130
Konica Minolta, Inc.		53,000		530,556		(5,289	)
Kurita Water Industries Ltd.		65,500		1,360,387		80,658
Kyowa Hakko Kirin Co. Ltd.		117,600		1,623,083		(982	)
Kyushu Financial Group, Inc.		81,200		420,909		129,262
Lion Corp.		255,000		3,988,781		191,020
Matsumotokiyoshi Holdings Co. Ltd.		26,500		1,169,953		133,740
Mazda Motor Corp.		123,500		1,779,526		231,545
Medipal Holdings Corp.		194,900		3,190,974		(120,886	)
MEIJI Holdings Co. Ltd.		92,300		7,448,473		(228,003	)
Miraca Holdings, Inc.		55,500		2,366,566		115,725
Mitsubishi Chemical Holdings Corp.		448,200		2,069,877		828,033
Mitsubishi Corp.		205,400		3,547,322		815,098
Mitsubishi Electric Corp.		376,600		3,725,786		1,512,405
Mitsubishi Gas Chemical Co., Inc.		206,400		2,409,933		1,107,005
Mitsubishi Materials Corp.		4,700		153,059		(9,299	)
Mitsubishi Motors Corp.		903,400		3,659,478		1,476,001
Mitsubishi Tanabe Pharma Corp.		358,600		5,923,718		1,097,635
Mitsubishi UFJ Lease & Finance Co. Ltd.		808,700		3,435,993		735,069
Mitsui & Co. Ltd.		29,600		428,380		(22,791	)
Mitsui Chemicals, Inc.		1,718,000		5,419,003		2,278,566
Mizuho Financial Group, Inc.		2,219,700		3,612,808		370,521
MS&AD Insurance Group Holdings, Inc.		248,700		6,193,043		1,508,588
Nankai Electric Railway Co. Ltd.		36,000		182,087		313
Nexon Co. Ltd.		228,200		3,341,609		(43,848	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
NH Foods Ltd.		11,000	$	292,740	$	4,002
NHK Spring Co. Ltd.		357,400		3,354,119		44,912
Nifco, Inc.		2,500		133,372		(1,649	)
Nintendo Co. Ltd.		200		44,812		(3,237	)
Nippon Electric Glass Co. Ltd.		193,000		906,518		134,805
Nippon Express Co. Ltd.		1,485,000		6,542,801		1,430,563
Nippon Shinyaku Co. Ltd.		13,500		627,282		37,194
Nippon Shokubai Co. Ltd.		64,500		3,635,274		381,598
Nippon Telegraph & Telephone Corp.		146,200		6,110,537		43,776
Nisshin Seifun Group, Inc.		279,000		4,171,026		9,483
Nitori Holdings Co. Ltd.		52,800		5,175,264		844,726
Nitto Denko Corp.		13,100		733,142		269,808
NOK Corp.		89,600		1,762,120		50,096
Nomura Research Institute Ltd.		5,500		153,541		13,613
NSK Ltd.		29,600		236,022		105,842
NTN Corp.		325,000		1,003,459		307,660
NTT Data Corp.		45,000		1,919,402		254,622
Obayashi Corp.		663,200		5,909,095		422,708
Oji Holdings Corp.		354,000		1,320,052		119,526
Oracle Corp. Japan		31,700		1,558,000		36,642
ORIX Corp.		299,000		4,197,849		455,863
Osaka Gas Co. Ltd.		589,000		2,144,353		115,676
Otsuka Corp.		44,700		2,324,978		(239,979	)
Otsuka Holdings Co. Ltd.		23,000		963,213		38,676
Panasonic Corp.		36,500		315,421		54,768
Pola Orbis Holdings, Inc.		17,000		1,184,140		217,393
Renesas Electronics Corp.		66,400		370,198		156,593
Resona Holdings, Inc.		2,128,000		9,039,348		1,866,691
Rohm Co. Ltd.		55,800		2,388,032		813,378
Sankyo Co. Ltd.		98,400		3,713,128		(540,546	)
Santen Pharmaceutical Co. Ltd.		9,500		137,492		(21,579	)
Secom Co. Ltd.		61,300		4,200,253		278,577
Sega Sammy Holdings, Inc.		170,700		2,424,055		112,553
Seiko Epson Corp.		265,300		3,985,449		1,615,718
Sekisui Chemical Co. Ltd.		244,800		3,180,121		716,738
Seven & i Holdings Co. Ltd.		71,300		3,021,874		(310,394	)
Sharp Corp.		80,000		116,834		68,267
Shimadzu Corp.		181,000		2,709,505		166,038
Shimamura Co. Ltd.		50,700		5,803,867		517,553
Shimizu Corp.		390,000		3,205,494		354,414
Shin-Etsu Chemical Co. Ltd.		32,300		1,934,265		565,399
Shionogi & Co. Ltd.		207,800		9,627,893		303,483
Shiseido Co. Ltd.		30,000		646,733		111,487

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

AQR Funds Annual Report December 2016

178

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
SoftBank Group Corp.		7,000	$	407,688	$	55,531
Sojitz Corp.		3,673,100		7,640,910		1,252,257
Sompo Holdings, Inc.		180,500		5,169,638		926,083
Sony Corp.		70,700		2,054,632		(79,137	)
Sosei Group Corp.		8,100		1,054,492		(127,053	)
Square Enix Holdings Co. Ltd.		94,600		2,538,414		(112,958	)
Start Today Co. Ltd.		63,700		915,920		181,396
Sugi Holdings Co. Ltd.		28,600		1,405,545		(48,702	)
Sumitomo Chemical Co. Ltd.		254,000		1,178,229		25,814
Sumitomo Corp.		315,300		2,726,954		974,482
Sumitomo Dainippon Pharma Co. Ltd.		214,800		3,397,631		289,267
Sumitomo Electric Industries Ltd.		258,600		3,250,907		472,755
Sumitomo Heavy Industries Ltd.		1,045,000		4,398,723		2,311,388
Sumitomo Mitsui Financial Group, Inc.		23,100		901,551		(21,834	)
Sumitomo Mitsui Trust Holdings, Inc.		279,700		7,824,088		2,183,217
Sumitomo Rubber Industries Ltd.		64,300		1,007,497		9,880
Sundrug Co. Ltd.		30,600		2,169,828		(54,105	)
Suntory Beverage & Food Ltd.		31,700		1,258,323		54,743
Suzuken Co. Ltd.		82,520		2,795,552		(100,239	)
Suzuki Motor Corp.		234,300		6,437,960		1,788,050
T&D Holdings, Inc.		49,200		681,293		(31,980	)
Taisei Corp.		753,000		4,726,961		531,215
Takashimaya Co. Ltd.		550,000		4,319,248		208,204
TDK Corp.		54,400		3,065,350		664,763
Teijin Ltd.		202,600		3,397,343		696,331
Terumo Corp.		38,100		1,358,866		45,703
Toho Gas Co. Ltd.		106,000		700,935		159,980
Tohoku Electric Power Co., Inc.		11,600		152,559		(6,330	)
Tokio Marine Holdings, Inc.		5,600		240,545		(11,263	)
Tokyo Broadcasting System Holdings, Inc.		26,000		369,887		44,763
Tokyo Electric Power Co. Holdings, Inc.		843,300		3,561,753		(167,717	)
Tokyo Electron Ltd.		35,000		2,568,990		722,740
Tokyo Gas Co. Ltd.		153,000		665,862		24,802
Tokyu Corp.		440,000		3,321,868		(93,073	)
Toppan Printing Co. Ltd.		358,000		3,019,900		393,702
Toshiba Corp.		607,000		1,975,709		(509,474	)
Tosoh Corp.		939,000		4,139,017		2,484,677
Toyo Seikan Group Holdings Ltd.		224,800		3,906,500		273,821
Toyo Suisan Kaisha Ltd.		94,800		3,274,807		154,994
Toyoda Gosei Co. Ltd.		184,800		3,688,591		624,492
Toyota Boshoku Corp.		347,900		6,219,170		1,756,113
Toyota Tsusho Corp.		131,500		2,507,854		910,121

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Tsuruha Holdings, Inc.		19,400		$	1,836,377		$	(310	)
USS Co. Ltd.		176,000			2,616,740			179,157
Yamaguchi Financial Group, Inc.		206,000			2,101,942			140,803
Yamaha Corp.		122,900			2,870,761			876,776
Yamato Holdings Co. Ltd.		20,300			408,680			2,822
Yamazaki Baking Co. Ltd.		348,300			7,446,328			(731,302	)
Yokogawa Electric Corp.		130,600			1,636,972			248,547
							72,492,912
Total of Long Equity Positions								72,492,912
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(41,249	)		(2,290,078	)		(43,449	)
Acom Co. Ltd.		(1,122,730	)		(5,006,459	)		103,827
Aeon Co. Ltd.		(480,900	)		(6,439,668	)		(357,181	)
AEON Financial Service Co. Ltd.		(412,400	)		(8,326,430	)		1,021,945
Air Water, Inc.		(32,000	)		(474,921	)		(101,518	)
Alps Electric Co. Ltd.		(666,800	)		(14,336,216	)		(1,685,632	)
ANA Holdings, Inc.		(1,331,000	)		(3,158,985	)		(421,441	)
Asahi Intecc Co. Ltd.		(8,600	)		(341,816	)		(5,794	)
Asahi Kasei Corp.		(68,000	)		(421,889	)		(169,797	)
Asics Corp.		(528,000	)		(9,682,808	)		(839,131	)
Bank of Kyoto Ltd. (The)		(619,000	)		(3,931,379	)		(656,997	)
Brother Industries Ltd.		(81,400	)		(1,166,512	)		(296,850	)
Calbee, Inc.		(433,400	)		(15,300,546	)		1,743,307
Canon, Inc.		(233,000	)		(6,094,170	)		(467,617	)
Casio Computer Co. Ltd.		(89,300	)		(1,091,930	)		(166,586	)
Central Japan Railway Co.		(15,600	)		(2,490,267	)		(71,092	)
Chiba Bank Ltd. (The)		(667,000	)		(3,389,544	)		(699,253	)
Chugai Pharmaceutical Co. Ltd.		(164,200	)		(5,025,864	)		315,944
Chugoku Electric Power Co., Inc. (The)		(454,200	)		(5,220,013	)		(96,222	)
CyberAgent, Inc.		(28,400	)		(595,013	)		(104,243	)
Dai Nippon Printing Co. Ltd.		(9,000	)		(75,696	)		(13,104	)
Daiwa Securities Group, Inc.		(203,000	)		(1,062,793	)		(187,226	)
DeNA Co. Ltd.		(30,200	)		(739,134	)		79,111
Denso Corp.		(77,300	)		(2,744,081	)		(599,645	)
Dentsu, Inc.		(23,600	)		(1,042,726	)		(67,025	)
Disco Corp.		(15,100	)		(1,244,452	)		(581,154	)
Don Quijote Holdings Co. Ltd.		(79,100	)		(2,784,202	)		(135,009	)
East Japan Railway Co.		(21,700	)		(1,773,187	)		(97,759	)
Electric Power Development Co. Ltd.		(242,600	)		(5,604,341	)		36,290

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

AQR Funds Annual Report December 2016

179

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
FamilyMart UNY Holdings Co. Ltd.		(11,200	)	$	(602,298	)	$	(142,951	)
FANUC Corp.		(38,300	)		(5,555,944	)		(851,435	)
Fast Retailing Co. Ltd.		(12,700	)		(3,740,869	)		(793,376	)
Hamamatsu Photonics KK		(217,200	)		(5,549,144	)		(155,677	)
Hino Motors Ltd.		(220,800	)		(2,310,065	)		66,725
Hokuriku Electric Power Co.		(254,300	)		(2,788,016	)		(56,338	)
Honda Motor Co. Ltd.		(92,500	)		(2,516,300	)		(184,267	)
IHI Corp.		(884,000	)		(1,938,398	)		(351,074	)
Inpex Corp.		(110,500	)		(873,504	)		(231,033	)
Isuzu Motors Ltd.		(509,100	)		(5,520,359	)		(916,970	)
Iyo Bank Ltd. (The)		(443,600	)		(2,652,688	)		(400,337	)
Japan Airport Terminal Co. Ltd.		(50,975	)		(1,861,897	)		19,963
Japan Display, Inc.		(396,500	)		(517,786	)		(608,256	)
Japan Post Bank Co. Ltd.		(144,800	)		(1,616,500	)		(118,719	)
Japan Post Holdings Co. Ltd.		(14,600	)		(173,710	)		(8,081	)
Japan Tobacco, Inc.		(120,800	)		(4,034,007	)		68,911
JFE Holdings, Inc.		(527,500	)		(6,350,379	)		(1,626,701	)
JGC Corp.		(137,700	)		(2,202,743	)		(291,872	)
JSR Corp.		(84,300	)		(1,225,135	)		(101,777	)
JX Holdings, Inc.		(386,900	)		(1,404,309	)		(230,507	)
Kakaku.com, Inc.		(615,900	)		(11,264,922	)		1,088,338
Kansai Electric Power Co., Inc. (The)		(118,500	)		(1,066,228	)		(225,618	)
Kansai Paint Co. Ltd.		(280,700	)		(4,187,895	)		(975,205	)
Kawasaki Heavy Industries Ltd.		(1,709,000	)		(4,808,227	)		(541,227	)
KDDI Corp.		(73,100	)		(1,904,381	)		58,388
Keikyu Corp.		(417,000	)		(3,463,082	)		(1,367,103	)
Keio Corp.		(20,000	)		(177,828	)		13,544
Kewpie Corp.		(72,200	)		(1,776,639	)		25,514
Keyence Corp.		(6,100	)		(3,351,144	)		(822,779	)
Kikkoman Corp.		(178,000	)		(5,608,376	)		(70,940	)
Kintetsu Group Holdings Co. Ltd.		(798,000	)		(3,167,767	)		126,840
Kobe Steel Ltd.		(840,000	)		(6,332,931	)		(1,653,948	)
Kose Corp.		(2,400	)		(199,589	)		610
Kubota Corp.		(181,500	)		(2,192,378	)		(394,145	)
Kuraray Co. Ltd.		(67,700	)		(808,289	)		(206,911	)
Kyushu Electric Power Co., Inc.		(865,400	)		(8,855,031	)		(520,255	)
LIXIL Group Corp.		(173,800	)		(3,170,948	)		(768,275	)
M3, Inc.		(217,711	)		(4,544,604	)		(928,872	)
Mabuchi Motor Co. Ltd.		(13,100	)		(622,387	)		(58,342	)
Makita Corp.		(21,400	)		(1,169,786	)		(260,138	)
Marubeni Corp.		(209,000	)		(984,804	)		(197,316	)
Marui Group Co. Ltd.		(446,700	)		(6,347,669	)		(160,585	)
Maruichi Steel Tube Ltd.		(14,200	)		(418,074	)		(43,372	)
Minebea Co. Ltd.		(594,400	)		(4,338,549	)		(1,207,928	)
MISUMI Group, Inc.		(265,000	)		(3,526,040	)		(827,038	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Mitsubishi Heavy Industries Ltd.		(1,629,000	)	$	(6,275,184	)	$	(1,130,323	)
Mitsubishi Logistics Corp.		(170,000	)		(2,175,231	)		(221,484	)
Mitsubishi UFJ Financial Group, Inc.		(488,500	)		(3,206,408	)		193,670
Mitsui OSK Lines Ltd.		(478,000	)		(961,082	)		(358,230	)
Mixi, Inc.		(42,300	)		(1,318,348	)		(222,981	)
MonotaRO Co. Ltd.		(103,700	)		(2,301,452	)		186,860
Murata Manufacturing Co. Ltd.		(75,300	)		(8,191,080	)		(1,864,234	)
Nabtesco Corp.		(24,400	)		(538,753	)		(26,863	)
Nagoya Railroad Co. Ltd.		(421,000	)		(1,995,187	)		(37,483	)
NGK Insulators Ltd.		(139,100	)		(2,815,431	)		122,891
NGK Spark Plug Co. Ltd.		(583,500	)		(11,157,111	)		(1,776,021	)
Nidec Corp.		(42,500	)		(2,736,661	)		(922,192	)
Nikon Corp.		(158,900	)		(2,174,788	)		(293,000	)
Nippon Paint Holdings Co. Ltd.		(292,800	)		(5,636,307	)		(2,311,672	)
Nippon Steel & Sumitomo Metal Corp.		(214,700	)		(3,750,461	)		(1,004,897	)
Nippon Yusen KK		(403,000	)		(729,039	)		(17,272	)
Nissan Chemical Industries Ltd.		(74,800	)		(1,789,917	)		(703,450	)
Nissan Motor Co. Ltd.		(317,700	)		(2,842,985	)		(343,910	)
Nissin Foods Holdings Co. Ltd.		(56,100	)		(2,712,417	)		(230,237	)
Nomura Holdings, Inc.		(238,200	)		(837,375	)		(570,902	)
Obic Co. Ltd.		(700	)		(30,698	)		167
Odakyu Electric Railway Co. Ltd.		(223,400	)		(4,665,996	)		251,620
Olympus Corp.		(77,000	)		(2,670,191	)		17,175
Omron Corp.		(95,400	)		(2,759,273	)		(886,434	)
Ono Pharmaceutical Co. Ltd.		(33,600	)		(699,538	)		(32,762	)
Orient Corp.		(148,900	)		(251,244	)		(18,798	)
Oriental Land Co. Ltd.		(58,000	)		(3,489,765	)		216,149
Park24 Co. Ltd.		(6,100	)		(173,698	)		8,514
Pigeon Corp.		(176,800	)		(4,075,722	)		(432,353	)
Rakuten, Inc.		(559,100	)		(5,879,410	)		401,434
Recruit Holdings Co. Ltd.		(24,700	)		(791,251	)		(198,636	)
Ricoh Co. Ltd.		(1,460,400	)		(13,467,388	)		1,130,242
Rinnai Corp.		(31,600	)		(2,814,273	)		271,622
Ryohin Keikaku Co. Ltd.		(33,700	)		(6,581,705	)		(14,507	)
Sawai Pharmaceutical Co. Ltd.		(4,700	)		(287,667	)		35,727
Seibu Holdings, Inc.		(561,900	)		(9,502,164	)		(558,033	)
Sekisui House Ltd.		(22,900	)		(395,530	)		15,063
Seven Bank Ltd.		(3,182,500	)		(9,735,204	)		635,242
Shikoku Electric Power Co., Inc.		(494,673	)		(5,791,365	)		792,504
Shimano, Inc.		(47,300	)		(6,579,173	)		(829,559	)
Shinsei Bank Ltd.		(1,544,000	)		(2,181,954	)		(401,687	)

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

AQR Funds Annual Report December 2016

180

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Shizuoka Bank Ltd. (The)		(439,000	)	$	(3,286,894	)	$	(397,432	)
SMC Corp.		(6,700	)		(1,800,148	)		206,054
Sohgo Security Services Co. Ltd.		(23,700	)		(974,141	)		64,447
Sony Financial Holdings, Inc.		(836,000	)		(10,025,171	)		(3,006,759	)
Stanley Electric Co. Ltd.		(17,800	)		(363,906	)		(121,014	)
Sumco Corp.		(104,500	)		(569,297	)		(774,191	)
Sumitomo Metal Mining Co. Ltd.		(328,000	)		(3,361,782	)		(822,741	)
Suruga Bank Ltd.		(127,800	)		(2,439,481	)		(413,973	)
Sysmex Corp.		(59,800	)		(3,638,008	)		182,796
Taiheiyo Cement Corp.		(526,000	)		(1,227,937	)		(430,355	)
Taisho Pharmaceutical Holdings Co. Ltd.		(2,700	)		(249,829	)		26,002
Taiyo Nippon Sanso Corp.		(648,816	)		(5,548,856	)		(1,946,319	)
Takeda Pharmaceutical Co. Ltd.		(41,400	)		(1,667,901	)		(49,621	)
Temp Holdings Co. Ltd.		(53,300	)		(776,992	)		(47,278	)
THK Co. Ltd.		(8,700	)		(140,213	)		(51,914	)
Tobu Railway Co. Ltd.		(336,000	)		(1,522,990	)		(142,690	)
Toho Co. Ltd.		(23,100	)		(584,244	)		(67,382	)
Toray Industries, Inc.		(526,000	)		(4,555,216	)		307,486
TOTO Ltd.		(34,900	)		(1,114,292	)		(264,209	)
Toyota Industries Corp.		(80,200	)		(3,229,398	)		(583,732	)
Toyota Motor Corp.		(35,272	)		(1,833,435	)		(234,507	)
Trend Micro, Inc.		(71,900	)		(2,502,329	)		(49,671	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Unicharm Corp.		(174,800	)	$	(3,302,069	)	$	(515,611	)
West Japan Railway Co.		(5,600	)		(318,391	)		(24,643	)
Yahoo Japan Corp.		(2,793,300	)		(10,942,733	)		244,498
Yakult Honsha Co. Ltd.		(191,868	)		(8,480,082	)		(396,962	)
Yamada Denki Co. Ltd.		(1,328,670	)		(6,261,515	)		(892,637	)
Yamaha Motor Co. Ltd.		(475,900	)		(6,230,675	)		(4,205,367	)
Yaskawa Electric Corp.		(491,400	)		(5,820,767	)		(1,798,366	)
Yokohama Rubber Co. Ltd. (The)		(62,300	)		(764,858	)		(348,770	)
							(49,077,737)
Total of Short Equity Positions								(49,077,737	)
Total of Long and Short Equity Positions								23,415,175
Net Cash and Other Receivables/ (Payables) (b)								(5,950,911	)
Swaps, at Value							$	17,464,264

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

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

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

AQR Funds Annual Report December 2016

181

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap.	50-61 months maturity 01/14/2021		$2,141,446

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Norway
Gjensidige Forsikring ASA		49,892		$	810,830		$	(19,861	)
Marine Harvest ASA		24,468			378,422			63,971
Norsk Hydro ASA		222,000			886,005			173,542
Orkla ASA		396,331			3,220,741			365,552
Yara International ASA		20,515			644,786			162,255
							745,459
United Kingdom
Subsea 7 SA		257,267			1,825,236			1,423,861
Total of Long Equity Positions								2,169,320
Short Positions
Common Stocks
Norway
DNB ASA		(19,533	)		(251,211	)		(38,762	)
Schibsted ASA		(140,612	)		(4,174,811	)		956,592
Statoil ASA		(265,925	)		(3,992,959	)		(860,620	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Norway (continued)
Telenor ASA		(98,381	)	$	(1,511,799	)	$	43,293
TGS Nopec Geophysical Co. ASA		(6,357	)		(104,774	)		(36,152	)
							64,351
Total of Short Equity Positions								64,351
Total of Long and Short Equity Positions								2,233,671
Net Cash and Other Receivables/ (Payables) (b)								(92,225	)
Swaps, at Value							$	2,141,446

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

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

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

AQR Funds Annual Report December 2016

182

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	49-61 months maturity 01/14/2021		$131,206,392

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Waste Connections, Inc.		14,198	$	1,098,476	$	17,345
Indonesia
Adaro Energy Tbk PT		3,530,200		444,114		(3,365	)
Indofood CBP Sukses Makmur Tbk. PT		589,000		417,216		(43,353	)
Indofood Sukses Makmur Tbk. PT		1,516,000		949,895		(61,998	)
Telekomunikasi Indonesia Persero Tbk PT		1,951,800		614,463		(40,259	)
United Tractors Tbk. PT		1,107,000		1,922,270		(180,632	)
					(329,607)
Panama
Copa Holdings SA		10,434		968,050		(20,330	)
United Kingdom
Liberty Global plc		35,546		1,082,973		4,379
United States
3M Co.		32,556		5,671,492		142,033
Aaron’s, Inc.		72,390		1,776,334		539,422
Abercrombie & Fitch Co.		128,939		2,426,416		(879,148	)
ABIOMED, Inc.		5,859		659,094		1,098
Accenture plc		13,080		1,547,338		(15,278	)
Activision Blizzard, Inc.		146,861		5,572,551		(269,401	)
Acxiom Corp.		65,879		1,567,103		198,454
Adobe Systems, Inc.		111,332		9,861,232		1,600,397
Advanced Micro Devices, Inc.		419,421		3,606,956		1,149,278
AdvanSix, Inc.		33,583		605,558		137,969
AECOM		42,723		1,542,770		10,639
Aetna, Inc.		213,437		22,965,022		3,503,300
Aflac, Inc.		232,498		15,218,874		962,986
AGCO Corp.		6,329		306,860		59,336

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Agilent Technologies, Inc.		233,413	$	8,890,559	$	1,743,737
Agios Pharmaceuticals, Inc.		35,602		1,812,005		(326,334	)
Air Products & Chemicals, Inc.		41,828		5,576,416		439,287
Akamai Technologies, Inc.		90,221		5,573,928		442,008
Alaska Air Group, Inc.		11,976		1,062,350		281
Albemarle Corp.		61,541		5,071,284		226,165
Alleghany Corp.		14,754		7,119,717		1,852,486
Alliant Energy Corp.		9,147		312,604		33,976
Allied World Assurance Co. Holdings AG		260,205		9,345,011		4,630,600
Allison Transmission Holdings, Inc.		180,824		5,040,986		1,050,975
Allstate Corp. (The)		281,371		18,333,107		2,522,111
Alphabet, Inc.		2,736		2,085,596		82,547
Amazon.com, Inc.		4,533		2,346,524		1,052,637
AMC Networks, Inc.		4,314		231,127		(5,332	)
Amdocs Ltd.		313,365		16,656,394		1,597,117
AMERCO		18,660		6,092,461		804,089
Ameren Corp.		348,079		16,983,819		1,276,406
American Eagle Outfitters, Inc.		299,674		4,505,070		40,984
American Electric Power Co., Inc.		338,060		21,718,607		(434,349	)
American Financial Group, Inc.		140,861		9,601,455		2,811,216
American International Group, Inc.		159,767		8,957,071		1,477,312
Ameriprise Financial, Inc.		75,555		7,412,199		969,873
Amgen, Inc.		68,961		10,618,295		(535,507	)
Anadarko Petroleum Corp.		112,298		7,089,823		740,717
Anthem, Inc.		151,833		18,902,030		2,927,001
AO Smith Corp.		155,284		5,186,722		2,165,976
Applied Materials, Inc.		500,737		14,588,392		1,570,391

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

AQR Funds Annual Report December 2016

183

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Archer-Daniels-Midland Co.		236,434	$	8,594,042	$	2,199,170
Arrow Electronics, Inc.		162,651		9,548,567		2,048,449
Ashland Global Holdings, Inc.		27,058		2,721,398		235,771
Aspen Insurance Holdings Ltd.		169,037		7,556,440		1,740,595
Associated Banc-Corp.		80,277		1,727,239		255,603
Assurant, Inc.		160,608		12,628,803		2,285,256
Assured Guaranty Ltd.		15,774		612,729		(16,945	)
Atmos Energy Corp.		67,189		4,897,987		84,077
Avery Dennison Corp.		170,793		12,103,011		(109,926	)
Avnet, Inc.		239,170		9,380,108		2,006,776
Axis Capital Holdings Ltd.		79,409		4,285,029		897,997
BancorpSouth, Inc.		57,316		1,419,173		360,489
Bank of America Corp.		65,455		1,498,503		(51,948	)
Bank of New York Mellon Corp. (The)		65,565		2,603,435		503,034
Baxter International, Inc.		422,175		18,395,259		323,980
Becton Dickinson and Co.		31,820		5,482,120		(214,319	)
Belden, Inc.		41,543		2,899,473		206,698
Bemis Co., Inc.		81,346		3,967,059		(77,093	)
Berry Plastics Group, Inc.		6,335		286,832		21,873
Best Buy Co., Inc.		206,365		6,380,385		2,425,209
Big Lots, Inc.		146,595		5,768,240		1,592,295
Biogen, Inc.		52,000		14,647,164		98,996
Blue Buffalo Pet Products, Inc.		43,032		1,031,929		2,560
Boeing Co. (The)		17,045		2,482,077		171,488
BOK Financial Corp.		6,098		336,715		169,662
Booz Allen Hamilton Holding Corp.		100,564		3,004,720		622,624
Boston Beer Co., Inc. (The)		5,656		863,929		96,742
Boston Scientific Corp.		549,488		11,647,031		238,395
Broadridge Financial Solutions, Inc.		116,742		6,542,666		1,197,328
Brocade Communications Systems, Inc.		452,279		4,215,396		1,433,569
Bruker Corp.		539,877		13,487,182		(2,052,587	)
Brunswick Corp.		172,377		7,433,683		1,967,759
Buffalo Wild Wings, Inc.		12,553		2,088,729		(150,546	)
Bunge Ltd.		85,943		4,874,142		1,334,381
Burlington Stores, Inc.		151,020		11,780,505		1,018,440
BWX Technologies, Inc.		366,443		11,464,744		3,083,043
CA, Inc.		174,599		5,133,234		413,776
Cable One, Inc.		3,920		1,948,500		488,681
Cabot Corp.		305,412		13,791,611		1,643,912
Campbell Soup Co.		37,216		2,254,231		(3,779	)
Capital One Financial Corp.		19,499		1,351,624		349,469
Cardinal Health, Inc.		81,976		6,320,109		(420,297	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Carlisle Cos., Inc.		104,441	$	9,776,752	$	1,742,046
Carter’s, Inc.		126,626		11,446,143		(506,923	)
Casey’s General Stores, Inc.		3,192		421,030		(41,565	)
CDK Global, Inc.		36,266		1,989,294		175,423
Celanese Corp.		207,620		13,727,251		2,620,747
Celgene Corp.		85,398		9,591,652		293,166
Centene Corp.		162,366		9,361,642		(186,339	)
CenterPoint Energy, Inc.		853,883		19,521,239		1,518,438
CenturyLink, Inc.		111,028		3,223,451		(583,205	)
Charles River Laboratories International, Inc.		146,709		11,072,897		104,862
Cheesecake Factory, Inc. (The)		31,117		1,577,080		286,206
Chemical Financial Corp.		17,881		914,093		54,521
Chico’s FAS, Inc.		464,656		5,112,383		1,574,016
Cimarex Energy Co.		40,543		5,138,760		371,034
Cinemark Holdings, Inc.		83,466		2,582,296		619,460
Cintas Corp.		83,028		7,204,854		2,389,862
Cirrus Logic, Inc.		70,584		3,816,611		174,208
Cisco Systems, Inc.		244,152		5,891,279		1,486,995
Citizens Financial Group, Inc.		422,692		8,263,629		6,796,887
Citrix Systems, Inc.		73,603		4,799,794		1,773,690
CLARCOR, Inc.		23,319		1,504,764		418,354
Clean Harbors, Inc.		31,971		1,545,835		233,351
CME Group, Inc.		3,791		464,462		(27,171	)
CNO Financial Group, Inc.		179,549		3,080,175		358,189
Coach, Inc.		182,718		6,852,099		(453,315	)
Colgate-Palmolive Co.		43,108		3,127,512		(306,525	)
Comcast Corp.		80,020		4,826,624		698,757
Comerica, Inc.		81,407		4,177,787		1,366,844
Commercial Metals Co.		491,418		6,966,704		3,736,380
CommScope Holding Co., Inc.		134,575		4,871,856		134,334
CommVault Systems, Inc.		15,831		853,584		(39,871	)
Computer Sciences Corp.		182,001		5,723,297		5,091,202
Conagra Brands, Inc.		327,813		10,219,950		2,745,054
ConocoPhillips		96,099		3,907,407		910,997
CONSOL Energy, Inc.		266,713		5,272,931		(410,753	)
Consolidated Edison, Inc.		183,541		13,497,653		25,648
Constellation Brands, Inc.		39,847		6,257,675		(148,731	)
Convergys Corp.		152,192		3,952,770		(214,935	)
Cooper Cos., Inc. (The)		2,623		460,584		(1,743	)
CoreLogic, Inc.		198,806		7,093,439		228,586
CR Bard, Inc.		69,816		12,667,415		3,017,448
Crane Co.		167,794		8,793,813		3,307,490
Crown Holdings, Inc.		255,459		11,993,565		1,435,915
CSX Corp.		56,406		1,346,975		679,692
Cummins, Inc.		95,895		11,306,252		1,799,718

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

AQR Funds Annual Report December 2016

184

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Curtiss-Wright Corp.		86,071	$	7,910,753	$	555,191
CVS Health Corp.		2,990		237,264		(1,323	)
Dana, Inc.		437,191		5,877,079		2,420,806
Danaher Corp.		33,293		2,544,643		46,884
Darden Restaurants, Inc.		158,905		9,292,764		2,262,807
Dean Foods Co.		300,750		5,510,742		1,039,593
Deckers Outdoor Corp.		15,162		892,358		(52,535	)
Dell Technologies, Inc.		67,393		3,516,454		188,139
Delta Air Lines, Inc.		162,511		6,931,459		1,062,457
Denbury Resources, Inc.		256,992		1,007,676		(61,945	)
Devon Energy Corp.		169,713		5,386,206		2,364,587
Diamond Offshore Drilling, Inc.		191,299		3,719,736		(333,744	)
Dick’s Sporting Goods, Inc.		123,511		5,859,005		699,429
Dillard’s, Inc.		66,580		4,468,997		(295,097	)
Discover Financial Services		154,000		7,766,483		3,335,377
Domino’s Pizza, Inc.		25,821		3,768,861		342,875
Donnelley Financial Solutions, Inc.		28,749		186,864		473,789
Dow Chemical Co. (The)		24,089		1,204,533		173,840
DR Horton, Inc.		393,608		10,794,387		(37,080	)
Dr. Pepper Snapple Group, Inc.		24,100		2,099,737		85,410
DST Systems, Inc.		115,043		11,841,966		484,892
DTE Energy Co.		256,299		23,556,385		1,691,629
Duke Energy Corp.		12,232		933,292		16,156
Dun & Bradstreet Corp. (The)		13,220		1,664,207		(60,356	)
E*TRADE Financial Corp.		516,561		13,325,865		4,572,974
East West Bancorp, Inc.		59,017		1,982,250		1,017,584
Eastman Chemical Co.		47,680		3,342,045		243,968
Eaton Corp. plc		80,874		5,152,740		273,097
eBay, Inc.		376,076		9,370,128		1,795,568
Edgewell Personal Care Co.		10,602		821,717		(47,877	)
Edison International		107,419		7,377,000		356,094
Edwards Lifesciences Corp.		68,532		5,818,607		602,842
Eli Lilly & Co.		144,298		11,148,767		(535,650	)
EMCOR Group, Inc.		38,579		2,707,733		22,117
Endo International plc		233,213		4,237,084		(396,066	)
Energen Corp.		80,387		3,893,002		742,916
Energizer Holdings, Inc.		14,751		736,983		(78,941	)
EnerSys		3,029		233,842		2,723
Ensco plc		406,951		3,766,242		189,322
Entergy Corp.		262,983		19,964,774		(643,413	)
EOG Resources, Inc.		24,898		2,598,247		(81,059	)
Equifax, Inc.		47,332		4,412,289		1,183,773
Estee Lauder Cos., Inc. (The)		12,391		1,089,096		(141,308	)
Esterline Technologies Corp.		5,409		467,424		15,059
Euronet Worldwide, Inc.		64,201		4,858,045		(207,967	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Everest Re Group Ltd.		12,818	$	2,644,874	$	128,941
F5 Networks, Inc.		24,110		3,028,058		461,141
Facebook, Inc.		12,015		1,402,870		(20,545	)
Fair Isaac Corp.		44,974		5,026,390		335,410
Fidelity National Information Services, Inc.		28,561		2,190,921		(30,567	)
First American Financial Corp.		11,237		404,808		6,803
FirstEnergy Corp.		578,756		19,453,860		(1,529,786	)
Fiserv, Inc.		64,562		6,550,127		311,522
Flex Ltd.		1,325,987		13,880,044		5,174,389
FLIR Systems, Inc.		28,909		1,048,528		(2,312	)
Foot Locker, Inc.		109,723		7,258,312		519,952
Ford Motor Co.		234,104		2,824,488		15,193
Fortinet, Inc.		188,363		6,122,199		(448,706	)
Fortive Corp.		8,882		481,319		(4,978	)
Frank’s International NV		30,832		382,267		(2,725	)
FTI Consulting, Inc.		2,483		112,431		(497	)
Fulton Financial Corp.		88,523		1,209,068		455,165
Gartner, Inc.		10,559		1,014,366		52,832
General Dynamics Corp.		31,814		4,203,584		1,289,421
General Mills, Inc.		17,721		1,166,566		(71,940	)
General Motors Co.		362,717		10,535,474		2,101,586
Genpact Ltd.		249,267		6,266,282		(199,123	)
Gilead Sciences, Inc.		167,959		13,369,824		(1,342,280	)
GoDaddy, Inc.		104,365		3,414,127		233,430
Goldman Sachs Group, Inc. (The)		10,735		2,064,752		505,743
Goodyear Tire & Rubber Co. (The)		78,743		2,316,665		114,132
Graham Holdings Co.		10,450		4,905,601		444,277
Graphic Packaging Holding Co.		332,242		4,343,191		(196,810	)
Great Plains Energy, Inc.		62,087		1,853,708		(155,628	)
Groupon, Inc.		170,571		629,070		(62,775	)
Guess?, Inc.		78,070		1,546,378		(601,731	)
Halliburton Co.		33,294		1,790,027		10,845
Hanover Insurance Group, Inc. (The)		50,681		4,120,483		491,995
Harman International Industries, Inc.		38,201		3,137,640		1,108,784
Hartford Financial Services Group, Inc. (The)		116,110		4,958,469		574,173
Hasbro, Inc.		46,587		3,598,561		25,441
Hawaiian Electric Industries, Inc.		68,353		2,058,989		201,445
HCA Holdings, Inc.		87,955		6,447,766		62,663
HD Supply Holdings, Inc.		261,891		7,225,683		3,907,303
Helen of Troy Ltd.		21,569		1,870,810		(49,307	)
Herc Holdings, Inc.		51,797		2,085,461		(5,293	)
Herman Miller, Inc.		156,918		4,327,563		1,039,033

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

AQR Funds Annual Report December 2016

185

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Hershey Co. (The)		74,029	$	7,268,537	$	388,283
Hertz Global Holdings, Inc.		184,732		5,579,721		(1,596,899	)
Hewlett Packard Enterprise Co.		691,557		16,112,881		(110,252	)
Hill-Rom Holdings, Inc.		57,341		3,141,793		77,331
Hologic, Inc.		323,718		10,973,838		2,013,728
Home Depot, Inc. (The)		41,160		4,870,448		648,285
Honeywell International, Inc.		31,030		3,511,944		82,882
HP, Inc.		1,021,734		11,898,828		3,263,704
HSN, Inc.		23,104		866,672		(74,204	)
Hubbell, Inc.		51,900		5,219,745		836,985
Huntington Ingalls Industries, Inc.		203,601		27,494,515		10,006,754
Huntsman Corp.		1,020,442		15,610,937		3,859,097
Hyatt Hotels Corp.		44,670		2,350,622		117,842
IAC/InterActiveCorp.		110,900		4,484,807		2,700,404
IDACORP, Inc.		57,790		4,218,480		436,505
Illinois Tool Works, Inc.		22,038		2,580,060		118,714
Ingersoll-Rand plc		223,743		14,654,692		2,134,983
Ingredion, Inc.		110,757		11,996,421		1,843,774
Integrated Device Technology, Inc.		209,512		4,066,489		869,614
Intercontinental Exchange, Inc.		98,811		5,162,885		412,032
InterDigital, Inc.		44,143		3,537,604		494,859
International Game Technology plc		722,175		14,783,526		3,646,380
International Paper Co.		237,177		10,497,534		2,087,078
Interpublic Group of Cos., Inc. (The)		256,749		5,294,759		715,735
Intrexon Corp.		8,323		227,477		(25,228	)
Intuit, Inc.		63,952		7,029,755		299,784
Intuitive Surgical, Inc.		2,159		1,486,037		(116,864	)
Invesco Ltd.		176,618		4,918,076		440,514
ITT, Inc.		133,872		4,262,484		900,959
Jabil Circuit, Inc.		554,155		10,684,893		2,431,955
Jack Henry & Associates, Inc.		43,552		3,495,302		371,244
Jack in the Box, Inc.		122,872		9,378,799		4,338,631
Jacobs Engineering Group, Inc.		73,634		3,902,141		294,997
Jazz Pharmaceuticals plc		49,754		6,667,211		(1,242,533	)
JetBlue Airways Corp.		104,759		1,744,126		604,570
JM Smucker Co. (The)		55,112		8,277,366		(1,219,723	)
John Wiley & Sons, Inc.		119,142		5,329,258		1,163,981
Johnson & Johnson		72,593		8,591,845		(228,405	)
Johnson Controls International plc		70,314		3,080,692		(184,459	)
Juniper Networks, Inc.		55,632		1,246,353		325,808
Juno Therapeutics, Inc.		82,846		1,928,610		(366,963	)
Kansas City Southern		7,242		626,708		(12,224	)
KAR Auction Services, Inc.		6,583		282,067		(1,500	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Kate Spade & Co.		469,219	$	8,928,465	$	(168,146	)
KB Home		647,711		9,169,129		1,071,182
KBR, Inc.		228,241		2,852,544		956,798
Kellogg Co.		18,272		1,378,209		(31,380	)
Kennametal, Inc.		210,586		5,292,110		1,290,808
Kimberly-Clark Corp.		89,829		11,678,945		(1,427,659	)
Kinder Morgan, Inc.		88,702		1,883,453		(46,434	)
KLA-Tencor Corp.		53,976		3,881,199		365,633
Kohl’s Corp.		14,549		788,529		(70,099	)
L-3 Communications Holdings, Inc.		175,729		23,966,154		2,763,984
Laboratory Corp. of America Holdings		53,042		7,102,571		(293,039	)
Lamb Weston Holdings, Inc.		33,169		884,456		370,991
Lancaster Colony Corp.		16,640		1,832,695		520,035
Lear Corp.		192,125		20,712,157		4,719,430
Legg Mason, Inc.		32,581		1,066,996		(92,498	)
Leggett & Platt, Inc.		134,305		5,879,585		685,243
Leidos Holdings, Inc.		136,599		5,737,948		1,247,725
Lennox International, Inc.		11,102		1,593,848		106,645
Liberty Broadband Corp.		32,308		2,223,945		169,109
Lincoln Electric Holdings, Inc.		21,885		1,232,919		445,004
Lincoln National Corp.		240,238		10,781,158		5,139,414
Live Nation Entertainment, Inc.		35,786		698,576		253,331
Lockheed Martin Corp.		755		189,383		(679	)
Lowe’s Cos., Inc.		58,564		3,756,881		408,191
LSC Communications, Inc.		41,912		509,091		734,857
LyondellBasell Industries NV		33,212		2,561,489		287,436
M&T Bank Corp.		12,050		1,376,156		508,825
Macy’s, Inc.		178,095		6,800,241		(422,659	)
Madison Square Garden Co. (The)		8,405		1,427,096		14,446
Mallinckrodt plc		168,191		11,025,887		(2,646,612	)
ManpowerGroup, Inc.		90,465		7,084,584		955,041
Marathon Petroleum Corp.		147,009		4,768,350		2,633,553
MarketAxess Holdings, Inc.		19,651		3,231,065		(343,940	)
Marvell Technology Group Ltd.		971,939		9,108,283		4,372,511
Masco Corp.		403,512		11,634,729		1,124,320
Maxim Integrated Products, Inc.		308,763		10,201,066		1,707,923
MB Financial, Inc.		7,999		337,744		40,049
McKesson Corp.		100,855		16,392,553		(2,227,468	)
Medtronic plc		12,911		1,081,310		(161,659	)
Merck & Co., Inc.		241,305		13,700,108		505,517
Meredith Corp.		20,120		1,088,923		101,175
MetLife, Inc.		58,399		2,771,990		375,132
MGM Resorts International		249,233		5,658,153		1,527,234

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

AQR Funds Annual Report December 2016

186

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Michael Kors Holdings Ltd.		43,183	$	2,109,462	$	(253,457	)
Michael’s Cos., Inc. (The)		97,787		2,596,075		(596,331	)
Micron Technology, Inc.		22,262		446,067		41,916
Microsoft Corp.		209,618		10,897,186		2,128,477
Minerals Technologies, Inc.		86,249		4,105,543		2,557,193
Mohawk Industries, Inc.		50,537		8,509,524		1,581,704
Molson Coors Brewing Co.		94,188		9,357,108		(191,673	)
Monster Beverage Corp.		43,192		1,818,393		96,741
Morgan Stanley		112,328		3,470,048		1,275,810
Morningstar, Inc.		18,383		1,459,376		(107,122	)
Motorola Solutions, Inc.		1,286		90,306		16,291
MSC Industrial Direct Co., Inc.		62,881		4,729,042		1,080,533
MSCI, Inc.		84,208		6,178,014		455,892
Murphy USA, Inc.		149,846		9,721,524		(510,490	)
Nabors Industries Ltd.		783,838		7,369,068		5,485,875
Nasdaq, Inc.		214,330		13,660,347		725,483
NCR Corp.		181,478		4,094,804		3,265,944
Neurocrine Biosciences, Inc.		30,424		1,484,262		(306,853	)
New York Times Co. (The)		131,592		1,644,839		105,335
Newfield Exploration Co.		161,503		5,804,145		736,726
Newmont Mining Corp.		189,802		7,163,460		(696,906	)
News Corp.		591,168		7,195,082		(420,296	)
NiSource, Inc.		854,020		19,432,309		(524,306	)
Norfolk Southern Corp.		97,019		8,655,102		1,829,742
Northern Trust Corp.		52,720		3,652,534		1,042,182
Northrop Grumman Corp.		79,710		15,494,050		3,044,902
NorthStar Asset Management Group, Inc.		4,256		52,838		10,662
NOW, Inc.		195,479		3,672,906		328,549
Nu Skin Enterprises, Inc.		158,321		7,439,482		125,095
Nuance Communications, Inc.		384,947		6,739,807		(1,004,097	)
Nucor Corp.		37,311		2,230,486		(9,735	)
NVR, Inc.		5,408		8,763,739		262,213
Oceaneering International, Inc.		144,600		4,081,074		(1,908	)
Office Depot, Inc.		1,284,278		4,413,166		1,391,770
Old Republic International Corp.		483,153		8,823,217		356,689
Omnicom Group, Inc.		39,800		3,069,258		318,120
ONE Gas, Inc.		34,580		2,133,666		78,070
Orbital ATK, Inc.		108,480		9,080,001		436,949
Oshkosh Corp.		161,272		10,027,129		392,655
Owens Corning		285,671		12,450,030		2,279,167

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
PACCAR, Inc.		50,552	$	3,199,376	$	30,897
Packaging Corp. of America		31,480		2,395,997		274,137
Parker-Hannifin Corp.		132,143		15,515,862		2,984,158
Patterson-UTI Energy, Inc.		145,595		3,128,134		791,283
PayPal Holdings, Inc.		66,904		2,607,117		33,584
PepsiCo, Inc.		83,313		8,226,067		490,972
PerkinElmer, Inc.		32,887		1,713,486		1,571
Pfizer, Inc.		236,270		8,254,232		(580,182	)
PG&E Corp.		557,782		32,526,609		1,369,803
Pilgrim’s Pride Corp.		7,166		132,064		4,018
Pinnacle West Capital Corp.		162,427		11,305,690		1,368,489
Pitney Bowes, Inc.		18,034		283,307		(9,370	)
Plantronics, Inc.		17,918		756,140		225,050
PNC Financial Services Group, Inc. (The)		46,756		4,435,894		1,032,688
PNM Resources, Inc.		160,642		5,233,441		276,580
PolyOne Corp.		53,748		1,797,258		(75,172	)
Popular, Inc.		233,156		8,776,129		1,440,767
Post Holdings, Inc.		29,829		2,304,503		93,450
PPG Industries, Inc.		18,580		1,860,097		(99,457	)
ProAssurance Corp.		31,573		1,520,580		253,823
Procter & Gamble Co. (The)		129,188		10,756,763		105,364
Progressive Corp. (The)		218,683		7,021,270		741,977
Prudential Financial, Inc.		51,874		4,267,600		1,130,409
Public Service Enterprise Group, Inc.		298,422		12,681,583		413,174
PVH Corp.		150,684		13,848,114		(250,390	)
QEP Resources, Inc.		194,656		3,377,006		206,611
QIAGEN NV		51,870		1,442,063		11,334
Qorvo, Inc.		18,658		1,001,047		(17,211	)
QUALCOMM, Inc.		4,822		323,406		(9,011	)
Quanta Services, Inc.		251,005		5,967,050		2,780,474
Quintiles IMS Holdings, Inc.		5,684		441,091		(8,823	)
Ralph Lauren Corp.		10,985		1,042,628		(50,463	)
Range Resources Corp.		68,922		2,455,823		(87,663	)
Raymond James Financial, Inc.		178,353		8,767,574		3,586,938
Raytheon Co.		158,330		21,133,878		1,348,982
Red Hat, Inc.		4,455		329,343		(18,830	)
Regal Beloit Corp.		92,241		5,407,327		980,362
Regions Financial Corp.		691,495		6,791,771		3,138,097
Reinsurance Group of America, Inc.		110,061		10,407,520		3,441,456
Reliance Steel & Aluminum Co.		114,905		6,893,846		2,245,697
Republic Services, Inc.		259,025		11,742,772		3,034,605
Rice Energy, Inc.		186,676		4,410,439		(424,906	)
Ross Stores, Inc.		127,803		7,220,779		1,163,098
Rowan Cos. plc		75,445		1,345,721		79,435
RPM International, Inc.		35,073		1,829,931		58,049

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

AQR Funds Annual Report December 2016

187

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
RR Donnelley & Sons Co.		187,866	$	5,015,490	$	(1,949,517	)
S&P Global, Inc.		2,612		316,394		(35,500	)
Santander Consumer USA Holdings, Inc.		54,716		754,439		(15,773	)
SCANA Corp.		225,190		15,966,535		535,389
Science Applications International Corp.		59,832		4,245,527		828,226
Sealed Air Corp.		116,327		5,328,152		(53,886	)
SEI Investments Co.		26,232		907,627		387,184
Service Corp. International		25,913		573,455		162,474
ServiceMaster Global Holdings, Inc.		27,347		968,192		61,970
Sherwin-Williams Co. (The)		24,132		6,653,038		(167,804	)
Signature Bank		47,775		5,991,832		1,183,973
Skechers U.S.A., Inc.		211,441		5,433,787		(236,568	)
SLM Corp.		148,110		1,487,829		144,343
SM Energy Co.		33,680		1,164,613		(3,327	)
Sonoco Products Co.		60,922		3,114,116		96,473
Southwest Airlines Co.		60,817		2,423,125		607,994
Southwest Gas Corp.		21,087		1,539,360		76,326
Southwestern Energy Co.		322,823		3,742,286		(249,342	)
Spirit AeroSystems Holdings, Inc.		248,260		11,205,100		3,280,871
SPX Corp.		156,852		1,895,165		1,825,364
Stanley Black & Decker, Inc.		130,675		13,018,740		1,968,375
Staples, Inc.		577,083		4,894,567		328,034
State Street Corp.		31,102		2,403,177		14,070
Steel Dynamics, Inc.		453,663		8,807,271		7,334,059
SunTrust Banks, Inc.		334,328		12,871,630		5,466,260
Superior Energy Services, Inc.		128,836		1,903,416		271,336
SUPERVALU, Inc.		743,210		3,311,650		159,141
Symantec Corp.		133,345		3,172,731		12,881
Synaptics, Inc.		146,012		8,982,918		(1,159,595	)
Synchrony Financial		404,583		11,284,955		3,389,271
SYNNEX Corp.		82,197		8,083,364		1,864,117
Synopsys, Inc.		100,727		4,739,280		1,189,511
Synovus Financial Corp.		282,250		8,626,589		2,968,241
TCF Financial Corp.		335,592		4,263,480		2,310,767
Tech Data Corp.		151,432		10,176,200		2,647,062
Teekay Corp.		20,625		160,490		5,129
TEGNA, Inc.		120,262		2,461,220		111,184
Teledyne Technologies, Inc.		3,993		493,442		(2,303	)
Teleflex, Inc.		47,892		7,292,377		425,419
Teradata Corp.		160,338		4,793,474		(437,090	)
Teradyne, Inc.		520,640		9,946,832		3,277,424
Terex Corp.		93,794		2,734,214		223,110
Tesoro Corp.		102,111		7,944,924		984,683
Texas Instruments, Inc.		29,540		2,101,174		54,360
Texas Roadhouse, Inc.		19,381		790,473		144,467

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Textron, Inc.		314,743	$	11,327,571	$	3,956,349
Thor Industries, Inc.		59,714		4,660,615		1,313,771
Time, Inc.		28,541		498,301		11,156
Timken Co. (The)		199,128		6,052,044		1,853,338
TJX Cos., Inc. (The)		109,447		8,015,866		206,887
Toll Brothers, Inc.		50,235		1,534,916		22,369
TopBuild Corp.		32,326		1,118,613		32,192
Torchmark Corp.		86,940		5,182,955		1,229,740
Toro Co. (The)		213,032		9,516,018		2,403,123
Total System Services, Inc.		70,422		3,305,537		147,254
TransUnion		122,060		4,003,346		(228,030	)
Travelers Cos., Inc. (The)		19,303		2,044,574		318,499
TRI Pointe Group, Inc.		33,942		417,815		(28,161	)
Trimble, Inc.		50,158		1,407,584		104,680
Twitter, Inc.		20,204		369,381		(40,056	)
Tyson Foods, Inc.		278,260		17,989,334		(826,257	)
UGI Corp.		243,870		9,814,697		1,422,832
Ulta Salon Cosmetics & Fragrance, Inc.		3,836		930,119		47,831
Umpqua Holdings Corp.		111,652		1,975,870		120,955
Union Pacific Corp.		30,157		3,004,806		121,871
United Continental Holdings, Inc.		128,238		6,103,409		3,242,576
United Parcel Service, Inc.		15,020		1,576,428		145,465
United Rentals, Inc.		10,946		824,707		330,972
United States Steel Corp.		48,124		846,944		741,629
United Technologies Corp.		12,830		1,306,987		99,437
United Therapeutics Corp.		36,954		4,566,100		734,212
UnitedHealth Group, Inc.		54,855		6,336,421		2,442,574
Universal Health Services, Inc.		85,398		9,168,771		(84,132	)
Unum Group		305,852		8,949,380		4,486,698
Urban Outfitters, Inc.		197,577		5,680,445		(53,452	)
Vail Resorts, Inc.		31,797		4,918,042		211,132
Valero Energy Corp.		41,271		2,369,988		449,647
Validus Holdings Ltd.		145,296		6,549,164		1,443,569
Valmont Industries, Inc.		14,230		1,726,121		278,886
Vantiv, Inc.		50,711		2,732,391		290,999
VCA, Inc.		63,239		3,270,975		1,070,382
Vectren Corp.		86,464		4,175,996		333,102
Versum Materials, Inc.		154,896		3,393,583		954,348
Vertex Pharmaceuticals, Inc.		6,169		477,541		(23,071	)
Viavi Solutions, Inc.		337,036		2,235,896		521,059
Vishay Intertechnology, Inc.		126,765		1,818,647		234,946
Vista Outdoor, Inc.		10,361		396,389		(14,068	)
Visteon Corp.		185,240		12,090,223		2,791,959
VWR Corp.		37,492		1,047,715		(109,290	)
Waddell & Reed Financial, Inc.		245,495		4,592,382		197,226

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

AQR Funds Annual Report December 2016

188

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Walgreens Boots Alliance, Inc.		108,285		$	8,778,613		$	183,053
Wal-Mart Stores, Inc.		192,195			13,310,245			(25,727	)
Waste Management, Inc.		295,758			16,120,807			4,851,393
Watsco, Inc.		47,404			6,171,045			850,436
WebMD Health Corp.		2,610			139,329			(9,951	)
WellCare Health Plans, Inc.		222,057			23,345,715			7,093,859
Wells Fargo & Co.		155,657			7,180,584			1,397,673
WESCO International, Inc.		8,796			609,763			(24,389	)
West Pharmaceutical Services, Inc.		73,846			5,539,452			724,904
Westlake Chemical Corp.		72,354			3,640,238			410,862
Whirlpool Corp.		55,166			8,246,723			1,780,801
White Mountains Insurance Group Ltd.		4,706			3,687,379			247,072
Woodward, Inc.		7,982			559,051			(7,894	)
World Fuel Services Corp.		67,997			3,103,392			18,350
Worthington Industries, Inc.		143,558			4,944,216			1,866,175
WR Grace & Co.		63,289			4,619,991			(339,123	)
Wyndham Worldwide Corp.		21,124			1,505,595			107,645
Xcel Energy, Inc.		143,197			5,574,803			253,315
Xerox Corp.		1,337,097			12,360,723			(687,866	)
Xilinx, Inc.		26,591			1,321,286			284,012
Xylem, Inc.		113,451			4,573,275			1,044,818
Yum! Brands, Inc.		129,289			6,557,897			1,629,975
Zynga, Inc.		3,129,045			7,237,199			804,447
							376,041,273
Total of Long Equity Positions								375,713,060
Short Positions
Common Stocks
Canada
Fortis, Inc.		(50,822	)		(1,086,732	)		(482,652	)
Indonesia
Astra International Tbk. PT		(548,300	)		(344,958	)		9,689
Jasa Marga Persero Tbk. PT		(82,200	)		(27,937	)		1,656
Perusahaan Gas Negara Persero Tbk.		(1,446,400	)		(313,461	)		24,913
XL Axiata Tbk. PT		(1,324,300	)		(224,789	)		(1,754	)
							34,504
Ireland
XL Group Ltd.		(353,071	)		(12,166,310	)		(989,116	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Singapore
Broadcom Ltd.		(25,437	)	$	(4,170,401	)	$	(326,097	)
Sweden
Autoliv, Inc.		(43,276	)		(4,396,001	)		(500,678	)
United Kingdom
Pentair plc		(96,700	)		(4,749,446	)		(672,523	)
United States
3D Systems Corp.		(11,251	)		(180,186	)		30,660
Abbott Laboratories		(422,109	)		(18,348,872	)		2,135,665
AbbVie, Inc.		(7,880	)		(498,498	)		5,053
Acadia Healthcare Co., Inc.		(592,842	)		(30,643,779	)		11,020,709
ACI Worldwide, Inc.		(317,900	)		(5,764,152	)		(5,733	)
Acuity Brands, Inc.		(55,109	)		(13,878,161	)		1,155,697
Advance Auto Parts, Inc.		(56,122	)		(8,830,599	)		(660,754	)
Air Lease Corp.		(259,023	)		(7,011,175	)		(1,881,084	)
Akorn, Inc.		(317,197	)		(7,829,579	)		905,169
Alexion Pharmaceuticals, Inc.		(28,360	)		(3,777,554	)		307,708
Align Technology, Inc.		(20,974	)		(1,355,309	)		(660,921	)
Alkermes plc		(41,103	)		(2,338,815	)		54,310
Allegheny Technologies, Inc.		(335,788	)		(5,702,054	)		352,951
Allegion plc		(39,198	)		(2,590,712	)		82,040
Allergan plc		(36,535	)		(8,465,240	)		792,525
Alliance Data Systems Corp.		(70,582	)		(14,240,857	)		(1,887,130	)
Allscripts Healthcare Solutions, Inc.		(27,862	)		(296,074	)		11,603
Ally Financial, Inc.		(265,399	)		(4,414,393	)		(633,496	)
Alnylam Pharmaceuticals, Inc.		(85,518	)		(4,976,825	)		1,775,031
American Airlines Group, Inc.		(89,606	)		(3,284,835	)		(898,870	)
American Express Co.		(90,321	)		(5,524,776	)		(1,166,204	)
AmerisourceBergen Corp.		(127,607	)		(10,117,614	)		140,022
AMETEK, Inc.		(256,009	)		(11,925,227	)		(516,810	)
Amphenol Corp.		(282,534	)		(14,707,275	)		(4,279,010	)
AmTrust Financial Services, Inc.		(377,186	)		(9,780,996	)		(546,357	)
Analog Devices, Inc.		(52,544	)		(3,632,663	)		(183,082	)
ANSYS, Inc.		(10,866	)		(1,012,357	)		7,360
Antero Resources Corp.		(84,729	)		(2,148,562	)		144,722
Aon plc		(26,251	)		(2,438,193	)		(489,581	)
Apache Corp.		(27,876	)		(1,702,765	)		(66,524	)
Apple, Inc.		(57,385	)		(6,276,715	)		(369,616	)
AptarGroup, Inc.		(34,743	)		(2,625,325	)		73,452
Aramark		(5,149	)		(186,801	)		2,879
Arch Capital Group Ltd.		(47,578	)		(3,341,369	)		(764,137	)
Arconic, Inc.		(188,664	)		(4,496,787	)		998,956
Arista Networks, Inc.		(73,355	)		(5,169,472	)		(1,929,092	)
Armstrong World Industries, Inc.		(62,033	)		(2,577,923	)		(15,056	)

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

AQR Funds Annual Report December 2016

189

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ARRIS International plc		(179,839	)	$	(4,510,434	)	$	(908,115	)
Arthur J Gallagher & Co.		(50,184	)		(2,491,194	)		(116,366	)
Artisan Partners Asset Management, Inc.		(59,868	)		(1,746,197	)		(34,876	)
Ascena Retail Group, Inc.		(330,347	)		(2,297,863	)		253,015
AT&T, Inc.		(88,594	)		(3,479,018	)		(288,884	)
athenahealth, Inc.		(59,597	)		(6,981,234	)		713,418
Autodesk, Inc.		(19,349	)		(1,497,981	)		65,961
Automatic Data Processing, Inc.		(12,324	)		(1,237,213	)		(29,447	)
AutoNation, Inc.		(128,781	)		(6,276,991	)		11,795
AutoZone, Inc.		(4,337	)		(3,101,595	)		(323,724	)
Avangrid, Inc.		(48,226	)		(2,110,822	)		284,021
Avis Budget Group, Inc.		(357,827	)		(10,546,493	)		(2,578,601	)
Avon Products, Inc.		(118,568	)		(601,377	)		3,794
Axalta Coating Systems Ltd.		(32,842	)		(913,235	)		19,933
B/E Aerospace, Inc.		(151,067	)		(7,200,171	)		(1,892,551	)
Ball Corp.		(377,391	)		(27,961,784	)		(368,959	)
Bank of Hawaii Corp.		(28,680	)		(1,989,039	)		(554,590	)
Bank of the Ozarks, Inc.		(364,662	)		(14,588,005	)		(4,589,569	)
BankUnited, Inc.		(146,804	)		(4,568,630	)		(964,413	)
BB&T Corp.		(99,562	)		(3,402,301	)		(1,279,104	)
Bed Bath & Beyond, Inc.		(70,295	)		(3,045,765	)		188,976
BioMarin Pharmaceutical, Inc.		(51,534	)		(4,436,778	)		167,702
Bio-Rad Laboratories, Inc.		(6,444	)		(1,089,734	)		(84,878	)
Bio-Techne Corp.		(101,376	)		(8,962,490	)		(1,462,004	)
Black Hills Corp.		(132,364	)		(7,206,683	)		(912,525	)
Black Knight Financial Services, Inc.		(7,862	)		(242,834	)		(54,350	)
BlackRock, Inc.		(22,452	)		(7,912,925	)		(630,959	)
BorgWarner, Inc.		(296,358	)		(8,848,983	)		(2,839,377	)
Brinker International, Inc.		(4,657	)		(235,077	)		4,415
Bristol-Myers Squibb Co.		(14,589	)		(819,543	)		(33,038	)
Brookdale Senior Living, Inc.		(361,593	)		(5,777,219	)		1,286,234
Brown & Brown, Inc.		(70,084	)		(2,487,338	)		(656,630	)
Brown-Forman Corp.		(399,038	)		(19,062,143	)		1,137,356
Cabela’s, Inc.		(39,973	)		(1,612,511	)		(727,908	)
Cabot Oil & Gas Corp.		(109,447	)		(2,553,303	)		(3,379	)
Cadence Design Systems, Inc.		(65,360	)		(1,682,905	)		34,526
CalAtlantic Group, Inc.		(313,076	)		(10,054,657	)		(593,057	)
Calpine Corp.		(36,895	)		(407,434	)		(14,275	)
CarMax, Inc.		(248,023	)		(10,630,266	)		(5,339,935	)
Carnival Corp.		(41,476	)		(2,055,399	)		(103,842	)
Carpenter Technology Corp.		(58,989	)		(1,611,583	)		(522,049	)
Catalent, Inc.		(173,574	)		(4,369,978	)		(309,577	)
Caterpillar, Inc.		(122,705	)		(9,708,661	)		(1,671,001	)
Cathay General Bancorp		(117,757	)		(3,512,301	)		(965,998	)
CBOE Holdings, Inc.		(37,359	)		(2,428,648	)		(331,809	)
CBS Corp.		(23,618	)		(1,307,118	)		(195,460	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CDW Corp.		(34,645	)	$	(1,587,277	)	$	(217,381	)
CEB, Inc.		(56,892	)		(3,381,903	)		(65,752	)
Cerner Corp.		(66,190	)		(3,493,864	)		358,444
CF Industries Holdings, Inc.		(802,621	)		(21,870,679	)		(3,395,830	)
CH Robinson Worldwide, Inc.		(96,101	)		(6,772,083	)		(268,277	)
Charles Schwab Corp. (The)		(35,832	)		(1,369,962	)		(44,327	)
Charter Communications, Inc.		(40,335	)		(10,504,322	)		(1,108,931	)
Cheniere Energy, Inc.		(292,123	)		(8,958,725	)		(3,143,931	)
Chesapeake Energy Corp.		(758,766	)		(3,798,726	)		(1,527,811	)
Chevron Corp.		(61,103	)		(5,757,187	)		(1,434,636	)
Chicago Bridge & Iron Co. NV		(168,865	)		(5,826,427	)		464,963
Chipotle Mexican Grill, Inc.		(45,357	)		(19,772,938	)		2,658,835
Choice Hotels International, Inc.		(8,242	)		(436,731	)		(25,233	)
Chubb Ltd.		(57,571	)		(6,521,333	)		(1,084,948	)
Church & Dwight Co., Inc.		(29,516	)		(1,316,399	)		12,087
Churchill Downs, Inc.		(17	)		(2,416	)		(142	)
Ciena Corp.		(133,217	)		(2,929,362	)		(322,465	)
Cincinnati Financial Corp.		(151,869	)		(9,944,562	)		(1,559,514	)
CIT Group, Inc.		(228,517	)		(6,266,880	)		(3,486,226	)
Clorox Co. (The)		(30,588	)		(3,489,836	)		(181,336	)
CMS Energy Corp.		(143,838	)		(6,016,151	)		29,613
Coca-Cola Co. (The)		(116,233	)		(4,746,845	)		(72,175	)
Cognex Corp.		(165,816	)		(6,895,057	)		(3,654,157	)
Cognizant Technology Solutions Corp.		(2,559	)		(140,099	)		(3,282	)
Colfax Corp.		(81,866	)		(2,202,553	)		(738,892	)
Commerce Bancshares, Inc.		(2,622	)		(102,843	)		(48,735	)
Compass Minerals International, Inc.		(255,167	)		(18,493,694	)		(1,498,640	)
comScore, Inc.		(21,104	)		(640,756	)		(25,708	)
Concho Resources, Inc.		(108,613	)		(11,689,523	)		(2,712,561	)
Copart, Inc.		(254,890	)		(11,335,786	)		(2,787,669	)
Core Laboratories NV		(55,558	)		(5,811,800	)		(857,382	)
Corning, Inc.		(125,452	)		(2,585,406	)		(459,314	)
CoStar Group, Inc.		(12,371	)		(1,968,313	)		(363,497	)
Costco Wholesale Corp.		(39,603	)		(6,016,392	)		(324,444	)
Coty, Inc.		(501,101	)		(10,782,482	)		1,607,323
Covanta Holding Corp.		(543,490	)		(7,792,942	)		(685,502	)
Cracker Barrel Old Country Store, Inc.		(13,437	)		(1,832,047	)		(411,663	)
Cree, Inc.		(124,613	)		(3,267,199	)		(21,338	)
Cullen/Frost Bankers, Inc.		(231,137	)		(12,076,192	)		(8,317,026	)
Cypress Semiconductor Corp.		(265,505	)		(2,008,518	)		(1,028,859	)

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

AQR Funds Annual Report December 2016

190

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
DaVita, Inc.		(150,741	)	$	(9,404,688	)	$	(272,884	)
Deere & Co.		(46,959	)		(3,665,568	)		(1,173,088	)
Delphi Automotive plc		(100,753	)		(6,890,347	)		104,632
Deluxe Corp.		(33,554	)		(2,093,139	)		(309,663	)
DENTSPLY SIRONA, Inc.		(248,118	)		(15,256,716	)		932,864	��
DeVry Education Group, Inc.		(59,497	)		(1,265,818	)		(590,488	)
DexCom, Inc.		(314,176	)		(24,006,867	)		5,250,560
Diebold Nixdorf, Inc.		(356,015	)		(9,146,619	)		192,842
Discovery Communications, Inc.		(619,238	)		(15,576,784	)		(1,396,530	)
DISH Network Corp.		(191,281	)		(10,333,700	)		(747,208	)
Dolby Laboratories, Inc.		(75,855	)		(2,931,681	)		(496,206	)
Dollar General Corp.		(56,141	)		(4,269,003	)		110,640
Dollar Tree, Inc.		(60,750	)		(4,683,368	)		(5,317	)
Dominion Resources, Inc.		(523,910	)		(38,162,158	)		(1,964,109	)
Donaldson Co., Inc.		(215,798	)		(6,609,322	)		(2,471,457	)
Dover Corp.		(14,778	)		(1,031,934	)		(75,382	)
Dril-Quip, Inc.		(4,254	)		(266,865	)		11,412
Dunkin’ Brands Group, Inc.		(297,852	)		(12,507,799	)		(3,111,560	)
Dycom Industries, Inc.		(53,487	)		(4,533,423	)		238,952
Eaton Vance Corp.		(85,889	)		(2,514,539	)		(1,082,492	)
Ecolab, Inc.		(96,265	)		(10,409,090	)		(875,093	)
Electronic Arts, Inc.		(682	)		(56,632	)		2,917
Emerson Electric Co.		(133	)		(7,331	)		(84	)
Envision Healthcare Corp.		(206,052	)		(12,876,080	)		(164,951	)
EQT Corp.		(79,603	)		(5,532,100	)		326,064
Eversource Energy		(50,458	)		(2,864,135	)		77,339
Exelon Corp.		(139,848	)		(4,801,228	)		(161,978	)
Expedia, Inc.		(65,554	)		(7,393,407	)		(32,550	)
Expeditors International of Washington, Inc.		(156,427	)		(7,780,293	)		(504,081	)
Express Scripts Holding Co.		(46,421	)		(3,410,017	)		216,716
Extended Stay America, Inc.		(10,201	)		(167,214	)		2,468
Exxon Mobil Corp.		(62,091	)		(5,210,304	)		(394,030	)
FactSet Research Systems, Inc.		(43,906	)		(6,768,414	)		(407,144	)
Fastenal Co.		(375,686	)		(16,423,608	)		(1,226,120	)
Federated Investors, Inc.		(263,407	)		(6,728,542	)		(720,608	)
Fifth Third Bancorp		(56,423	)		(1,162,165	)		(359,563	)
FireEye, Inc.		(450,583	)		(7,041,959	)		1,680,021
First Data Corp.		(1,095,038	)		(14,466,761	)		(1,071,828	)
First Horizon National Corp.		(672,022	)		(8,419,055	)		(5,028,105	)
First Republic Bank		(81,299	)		(4,844,517	)		(2,646,373	)
First Solar, Inc.		(140,872	)		(4,737,859	)		217,277
Fitbit, Inc.		(886,078	)		(6,889,612	)		403,522

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
FleetCor Technologies, Inc.		(27,259	)	$	(3,683,768	)	$	(173,926	)
Flowers Foods, Inc.		(921,081	)		(16,036,333	)		(2,357,655	)
Flowserve Corp.		(185,171	)		(7,761,699	)		(1,135,768	)
Fluor Corp.		(42,083	)		(2,296,611	)		86,412
FMC Corp.		(75,264	)		(2,627,126	)		(1,629,806	)
FNB Corp.		(336,605	)		(4,657,960	)		(737,818	)
FNF Group		(157,846	)		(5,453,420	)		92,970
Fortune Brands Home & Security, Inc.		(48,821	)		(2,711,557	)		101,586
Fossil Group, Inc.		(184,772	)		(5,707,675	)		929,471
Franklin Resources, Inc.		(121,307	)		(3,892,742	)		(908,589	)
Freeport-McMoRan, Inc.		(356,074	)		(4,629,826	)		(66,790	)
Frontier Communications Corp.		(2,186,961	)		(9,607,272	)		2,215,343
GameStop Corp.		(181,406	)		(5,066,028	)		483,713
Gap, Inc. (The)		(67,081	)		(1,655,879	)		150,581
Garmin Ltd.		(197,699	)		(7,569,738	)		(2,016,687	)
GATX Corp.		(103,998	)		(4,492,521	)		(1,911,676	)
General Electric Co.		(178,536	)		(5,203,547	)		(438,190	)
Genesee & Wyoming, Inc.		(205,308	)		(12,235,861	)		(2,014,568	)
Gentex Corp.		(458,441	)		(6,389,727	)		(2,636,977	)
Genworth Financial, Inc.		(133,173	)		(377,973	)		(129,416	)
Global Payments, Inc.		(30,710	)		(2,137,204	)		5,623
Graco, Inc.		(93,985	)		(6,895,336	)		(913,877	)
Granite Construction, Inc.		(24,311	)		(1,124,331	)		(212,774	)
Greif, Inc.		(14,342	)		(543,204	)		(192,684	)
Guidewire Software, Inc.		(67,283	)		(3,903,290	)		584,220
H&R Block, Inc.		(174,675	)		(4,005,449	)		(10,329	)
Hain Celestial Group, Inc. (The)		(103,938	)		(3,729,091	)		(327,609	)
Halyard Health, Inc.		(125,577	)		(3,424,761	)		(1,219,077	)
Hancock Holding Co.		(188,295	)		(4,517,743	)		(3,597,772	)
Hanesbrands, Inc.		(631,705	)		(16,241,605	)		2,615,729
Harley-Davidson, Inc.		(22,652	)		(1,143,007	)		(178,510	)
Harris Corp.		(44,507	)		(3,748,259	)		(812,373	)
HEICO Corp.		(36,535	)		(2,579,264	)		(239,411	)
Helmerich & Payne, Inc.		(95,835	)		(5,983,418	)		(1,434,211	)
Henry Schein, Inc.		(59,536	)		(9,471,514	)		439,308
Hess Corp.		(100,521	)		(5,389,865	)		(871,589	)
Hexcel Corp.		(281,171	)		(11,254,786	)		(3,208,650	)
Hilton Worldwide Holdings, Inc.		(52,230	)		(1,265,248	)		(155,408	)
HollyFrontier Corp.		(43,224	)		(1,259,673	)		(156,345	)
Hormel Foods Corp.		(330,079	)		(12,410,589	)		920,539
Huntington Bancshares, Inc.		(261,295	)		(2,503,808	)		(950,512	)
IDEX Corp.		(17,332	)		(1,581,607	)		20,687
IDEXX Laboratories, Inc.		(40,300	)		(2,760,147	)		(1,965,834	)
IHS Markit Ltd.		(132,483	)		(4,702,742	)		11,519

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

AQR Funds Annual Report December 2016

191

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Illumina, Inc.		(162,035	)	$	(23,091,424	)	$	2,344,462
Incyte Corp.		(10,236	)		(902,187	)		(124,177	)
Intel Corp.		(165,497	)		(5,646,074	)		(356,502	)
International Business Machines Corp.		(23,964	)		(3,117,373	)		(860,411	)
International Flavors & Fragrances, Inc.		(85,045	)		(10,661,965	)		641,113
Ionis Pharmaceuticals, Inc.		(70,582	)		(3,327,610	)		(48,327	)
IPG Photonics Corp.		(100,440	)		(8,424,667	)		(1,489,765	)
j2 Global, Inc.		(97,487	)		(6,427,348	)		(1,547,088	)
Janus Capital Group, Inc.		(213,560	)		(3,130,981	)		297,039
JB Hunt Transport Services, Inc.		(123,351	)		(9,727,837	)		(2,245,845	)
JC Penney Co., Inc.		(404,878	)		(3,571,514	)		206,977
KeyCorp		(81,099	)		(948,784	)		(532,895	)
Keysight Technologies, Inc.		(48,003	)		(1,488,087	)		(267,382	)
KLX, Inc.		(299,382	)		(9,558,244	)		(3,946,878	)
Knowles Corp.		(428,081	)		(5,610,396	)		(1,542,837	)
Kosmos Energy Ltd.		(769,361	)		(4,195,766	)		(1,197,454	)
L Brands, Inc.		(19,402	)		(1,429,716	)		152,288
Lam Research Corp.		(8,479	)		(850,988	)		(45,497	)
Landstar System, Inc.		(45,340	)		(2,885,426	)		(982,076	)
Laredo Petroleum, Inc.		(338,513	)		(4,203,675	)		(582,899	)
Las Vegas Sands Corp.		(12,342	)		(619,449	)		(39,738	)
Lennar Corp.		(642	)		(26,624	)		(937	)
Leucadia National Corp.		(72,785	)		(1,337,722	)		(354,529	)
Liberty Interactive Corp. QVC Group		(45,858	)		(961,605	)		45,362
LifePoint Health, Inc.		(89,773	)		(5,150,781	)		51,674
Lions Gate Entertainment Corp., Class A		(193,292	)		(3,956,242	)		(1,243,313	)
Lions Gate Entertainment Corp., Class B		(193,291	)		(3,956,201	)		(787,160	)
LivaNova plc		(69,784	)		(3,101,959	)		(36,227	)
Loews Corp.		(61,570	)		(2,239,917	)		(643,407	)
LPL Financial Holdings, Inc.		(195,043	)		(5,187,843	)		(1,679,621	)
Lululemon Athletica, Inc.		(41,100	)		(2,329,245	)		(341,844	)
Manhattan Associates, Inc.		(12,736	)		(659,777	)		(15,613	)
Manitowoc Foodservice, Inc.		(349,457	)		(2,200,144	)		(4,554,860	)
Marathon Oil Corp.		(631,466	)		(9,464,381	)		(1,466,296	)
Markel Corp.		(1,042	)		(894,323	)		(48,166	)
Marriott International, Inc.		(25,480	)		(2,160,276	)		53,589
Marsh & McLennan Cos., Inc.		(264,616	)		(14,672,666	)		(3,212,730	)
Mattel, Inc.		(75,644	)		(2,305,827	)		221,835
MAXIMUS, Inc.		(114,636	)		(6,156,025	)		(239,517	)
McCormick & Co., Inc.		(89,702	)		(8,148,331	)		(223,557	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
McDonald’s Corp.		(32,117	)	$	(4,023,866	)	$	114,584
MDC Holdings, Inc.		(37,033	)		(697,288	)		(252,979	)
MDU Resources Group, Inc.		(201,201	)		(4,656,833	)		(1,131,720	)
Mead Johnson Nutrition Co.		(16,499	)		(1,220,983	)		53,514
MEDNAX, Inc.		(316,788	)		(21,032,982	)		(84,106	)
Mercury General Corp.		(51,427	)		(2,660,799	)		(435,620	)
Mettler-Toledo International, Inc.		(10,537	)		(3,259,963	)		(1,150,404	)
Microchip Technology, Inc.		(322,503	)		(15,941,147	)		(4,747,420	)
Microsemi Corp.		(225,442	)		(7,970,822	)		(4,196,283	)
Middleby Corp. (The)		(141,003	)		(13,401,072	)		(4,761,524	)
Molina Healthcare, Inc.		(46,605	)		(2,565,305	)		36,518
Mondelez International, Inc.		(21,066	)		(874,283	)		(59,572	)
Moody’s Corp.		(16,107	)		(1,483,224	)		(35,182	)
Mosaic Co. (The)		(482,832	)		(12,767,880	)		(1,393,582	)
Murphy Oil Corp.		(69,000	)		(2,144,226	)		(3,744	)
Mylan NV		(82,827	)		(3,142,175	)		(17,675	)
National Fuel Gas Co.		(91,728	)		(4,721,405	)		(474,069	)
National Instruments Corp.		(278,719	)		(7,802,642	)		(787,477	)
National Oilwell Varco, Inc.		(74,078	)		(2,363,609	)		(409,872	)
Navient Corp.		(216,413	)		(2,275,767	)		(1,279,899	)
NetApp, Inc.		(82,985	)		(2,782,548	)		(144,333	)
Netflix, Inc.		(61,486	)		(5,845,597	)		(1,766,369	)
NetScout Systems, Inc.		(474,262	)		(11,230,518	)		(3,708,735	)
NeuStar, Inc.		(134,193	)		(3,349,427	)		(1,132,619	)
New Jersey Resources Corp.		(92,237	)		(3,178,116	)		(96,298	)
Newell Brands, Inc.		(240,608	)		(11,214,768	)		471,621
NewMarket Corp.		(9,293	)		(3,218,100	)		(720,645	)
NextEra Energy, Inc.		(250,564	)		(30,661,746	)		729,370
Nielsen Holdings plc		(182,090	)		(8,295,761	)		657,086
NIKE, Inc.		(91,449	)		(4,624,379	)		(23,973	)
Noble Corp. plc		(1,302,754	)		(7,749,938	)		37,634
Noble Energy, Inc.		(57,944	)		(1,746,296	)		(459,053	)
Nordson Corp.		(50,094	)		(2,958,319	)		(2,654,714	)
Nordstrom, Inc.		(38,917	)		(1,883,478	)		18,187
Norwegian Cruise Line Holdings Ltd.		(192,760	)		(8,425,673	)		227,590
NuVasive, Inc.		(61,636	)		(3,967,665	)		(184,136	)
NVIDIA Corp.		(61,979	)		(4,859,363	)		(1,756,275	)
Occidental Petroleum Corp.		(29,620	)		(2,110,730	)		897
OGE Energy Corp.		(680,948	)		(19,334,333	)		(3,443,378	)
Oil States International, Inc.		(68,377	)		(2,182,382	)		(484,321	)
Old Dominion Freight Line, Inc.		(69,256	)		(4,763,420	)		(1,178,052	)
Olin Corp.		(605,494	)		(12,912,325	)		(2,594,377	)
ON Semiconductor Corp.		(50,686	)		(655,906	)		9,153

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

AQR Funds Annual Report December 2016

192

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
OneMain Holdings, Inc.		(71,948	)	$	(2,008,621	)	$	415,692
ONEOK, Inc.		(284,742	)		(10,023,070	)		(6,323,969	)
OPKO Health, Inc.		(919,081	)		(9,145,135	)		597,681
Oracle Corp.		(69,555	)		(2,660,178	)		(14,212	)
O’Reilly Automotive, Inc.		(16,859	)		(4,446,232	)		(247,483	)
Owens & Minor, Inc.		(133,025	)		(4,780,481	)		86,029
Owens-Illinois, Inc.		(339,904	)		(6,077,569	)		159,840
PacWest Bancorp		(118,315	)		(4,556,633	)		(1,884,435	)
Palo Alto Networks, Inc.		(84,702	)		(11,691,591	)		1,099,606
Pandora Media, Inc.		(1,428,337	)		(14,815,203	)		(3,810,311	)
Panera Bread Co.		(33,300	)		(6,655,407	)		(174,090	)
PAREXEL International Corp.		(100,941	)		(6,303,684	)		(330,159	)
Parsley Energy, Inc.		(157,161	)		(5,283,492	)		(254,862	)
Patterson Cos., Inc.		(229,636	)		(10,213,530	)		791,565
Paychex, Inc.		(137,002	)		(7,121,099	)		(1,219,583	)
PBF Energy, Inc.		(89,764	)		(1,957,348	)		(545,272	)
Penske Automotive Group, Inc.		(128,359	)		(5,086,591	)		(1,567,540	)
People’s United Financial, Inc.		(265,549	)		(4,481,849	)		(659,179	)
Perrigo Co. plc		(109,002	)		(11,999,952	)		2,927,715
Phillips 66		(33,855	)		(2,685,268	)		(240,142	)
Pinnacle Foods, Inc.		(167,116	)		(8,084,436	)		(847,914	)
Platform Specialty Products Corp.		(1,215,160	)		(8,407,700	)		(3,513,020	)
Polaris Industries, Inc.		(4,155	)		(372,592	)		30,261
PPL Corp.		(139,015	)		(4,846,371	)		112,910
Praxair, Inc.		(78,765	)		(8,210,029	)		(1,020,442	)
Premier, Inc.		(145,108	)		(4,627,130	)		221,651
Prestige Brands Holdings, Inc.		(60,162	)		(2,940,710	)		(193,730	)
Priceline Group, Inc. (The)		(4,676	)		(6,119,500	)		(735,797	)
Primerica, Inc.		(140,027	)		(7,616,049	)		(2,066,818	)
Principal Financial Group, Inc.		(90,010	)		(3,478,439	)		(1,729,540	)
Prosperity Bancshares, Inc.		(104,150	)		(4,572,929	)		(2,902,958	)
PTC, Inc.		(53,474	)		(2,343,252	)		(130,990	)
PulteGroup, Inc.		(411,046	)		(7,497,246	)		(57,779	)
Quest Diagnostics, Inc.		(4,848	)		(293,546	)		(151,985	)
Regal Entertainment Group		(137,964	)		(2,911,299	)		69,241
Regeneron Pharmaceuticals, Inc.		(12,589	)		(5,221,205	)		599,909
RenaissanceRe Holdings Ltd.		(35,668	)		(4,109,327	)		(749,368	)
ResMed, Inc.		(162,843	)		(9,570,229	)		(534,179	)
Restoration Hardware Holdings, Inc.		(345,281	)		(10,722,263	)		122,137
Robert Half International, Inc.		(103,708	)		(4,253,577	)		(805,299	)
Rockwell Automation, Inc.		(8,585	)		(1,142,470	)		(11,354	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Rockwell Collins, Inc.		(207,190	)	$	(17,191,555	)	$	(2,027,389	)
Rollins, Inc.		(27,485	)		(861,375	)		(67,068	)
Roper Technologies, Inc.		(79,610	)		(13,864,806	)		(710,193	)
Royal Caribbean Cruises Ltd.		(67,455	)		(4,825,447	)		(708,562	)
Royal Gold, Inc.		(61,596	)		(4,748,427	)		846,321
RPC, Inc.		(234,720	)		(3,756,649	)		(893,155	)
Ryder System, Inc.		(29,183	)		(2,147,229	)		(25,154	)
Sabre Corp.		(505,946	)		(13,626,267	)		1,002,914
salesforce.com, Inc.		(110,565	)		(8,083,734	)		514,454
Sally Beauty Holdings, Inc.		(151,368	)		(4,309,477	)		310,334
SBA Communications Corp.		(66,776	)		(5,922,289	)		(973,000	)
Schlumberger Ltd.		(39,909	)		(3,054,841	)		(295,519	)
Scotts Miracle-Gro Co. (The)		(51,756	)		(4,395,124	)		(550,162	)
Scripps Networks Interactive, Inc.		(4,043	)		(247,438	)		(41,111	)
Seagate Technology plc		(98,398	)		(3,765,478	)		9,627
Seattle Genetics, Inc.		(138,333	)		(4,448,780	)		(2,851,053	)
Sempra Energy		(201,522	)		(20,945,314	)		664,140
Sensata Technologies Holding NV		(333,700	)		(11,585,977	)		(1,411,638	)
Sensient Technologies Corp.		(7,782	)		(561,414	)		(50,095	)
ServiceNow, Inc.		(93,345	)		(6,712,373	)		(226,894	)
Signet Jewelers Ltd.		(118,771	)		(10,385,969	)		(809,386	)
Silgan Holdings, Inc.		(53,431	)		(2,685,269	)		(49,330	)
Silicon Laboratories, Inc.		(22,127	)		(887,098	)		(551,157	)
Sirius XM Holdings, Inc.		(2,944,085	)		(10,931,452	)		(2,169,727	)
Six Flags Entertainment Corp.		(174,808	)		(8,842,573	)		(1,638,915	)
Skyworks Solutions, Inc.		(98,951	)		(6,788,652	)		(599,030	)
Snap-on, Inc.		(8,757	)		(1,475,012	)		(24,799	)
Snyder’s-Lance, Inc.		(267,546	)		(9,284,369	)		(973,345	)
Sotheby’s		(61,832	)		(1,617,245	)		(847,379	)
Southern Co. (The)		(534,485	)		(26,267,974	)		(23,344	)
Spectrum Brands Holdings, Inc.		(24,151	)		(2,741,543	)		(212,849	)
Spirit Airlines, Inc.		(46,733	)		(1,909,022	)		(794,949	)
Splunk, Inc.		(158,380	)		(5,589,408	)		(2,511,729	)
Sprouts Farmers Market, Inc.		(669,498	)		(14,916,075	)		2,249,173
SS&C Technologies Holdings, Inc.		(490,917	)		(15,189,631	)		1,149,404
Starbucks Corp.		(95,665	)		(5,284,360	)		(26,961	)
Stericycle, Inc.		(255,303	)		(25,590,734	)		5,922,190
STERIS plc		(107,011	)		(7,402,122	)		190,651
Stifel Financial Corp.		(78,597	)		(2,837,076	)		(1,088,844	)
Stryker Corp.		(58,896	)		(6,727,233	)		(329,097	)
SunPower Corp.		(119,681	)		(1,781,639	)		990,548
SVB Financial Group		(66,336	)		(6,790,629	)		(4,596,608	)

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

AQR Funds Annual Report December 2016

193

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Sysco Corp.		(21,636	)	$	(1,151,255	)	$	(46,730	)
T Rowe Price Group, Inc.		(62,290	)		(4,278,332	)		(409,613	)
Tableau Software, Inc.		(67,443	)		(3,391,111	)		548,389
Targa Resources Corp.		(119,859	)		(5,588,373	)		(1,132,121	)
Target Corp.		(9,913	)		(759,571	)		43,555
TE Connectivity Ltd.		(19,985	)		(1,382,359	)		(2,201	)
Tempur Sealy International, Inc.		(99,084	)		(6,804,557	)		39,102
Tenet Healthcare Corp.		(202,933	)		(4,693,808	)		1,682,283
Tesla Motors, Inc.		(18,308	)		(3,372,168	)		(540,069	)
Thomson Reuters Corp.		(376	)		(15,427	)		(1,034	)
Tiffany & Co.		(228,671	)		(15,053,677	)		(2,652,319	)
Tractor Supply Co.		(146,051	)		(10,869,438	)		(202,688	)
TransDigm Group, Inc.		(102,363	)		(19,904,310	)		(5,579,983	)
Transocean Ltd.		(531,114	)		(5,624,834	)		(2,203,786	)
TreeHouse Foods, Inc.		(226,811	)		(18,990,003	)		2,616,517
Trinity Industries, Inc.		(287,473	)		(7,523,887	)		(456,364	)
TripAdvisor, Inc.		(123,153	)		(6,477,483	)		766,878
Triumph Group, Inc.		(72,969	)		(2,060,812	)		127,134
Trustmark Corp.		(47,118	)		(1,268,861	)		(410,896	)
Tupperware Brands Corp.		(50,022	)		(2,823,320	)		191,162
Twenty-First Century Fox, Inc.		(279,582	)		(7,047,930	)		(791,549	)
Tyler Technologies, Inc.		(75,716	)		(11,039,186	)		229,213
U.S. Bancorp		(4,749	)		(239,945	)		(4,011	)
Ultimate Software Group, Inc. (The)		(58,258	)		(9,385,881	)		(1,237,465	)
United Natural Foods, Inc.		(93,326	)		(3,290,436	)		(1,163,080	)
USG Corp.		(226,250	)		(4,533,275	)		(2,000,825	)
Valley National Bancorp		(814,182	)		(7,502,111	)		(1,974,968	)
Varian Medical Systems, Inc.		(120,054	)		(9,870,535	)		(907,914	)
Veeva Systems, Inc.		(70,883	)		(2,151,795	)		(733,143	)
VeriFone Systems, Inc.		(265,417	)		(4,481,679	)		(224,164	)
VeriSign, Inc.		(49,988	)		(3,880,309	)		77,721
Verisk Analytics, Inc.		(102,127	)		(6,921,147	)		(1,368,502	)
Verizon Communications, Inc.		(13,379	)		(673,905	)		(40,266	)
VF Corp.		(79,071	)		(4,624,837	)		406,400
Viacom, Inc.		(150,335	)		(6,078,153	)		801,395
ViaSat, Inc.		(54,162	)		(3,928,429	)		341,821
VMware, Inc.		(16,518	)		(1,012,761	)		(287,701	)
WABCO Holdings, Inc.		(17,892	)		(1,874,154	)		(25,082	)
Wabtec Corp.		(128,920	)		(8,775,487	)		(1,927,451	)
Walt Disney Co. (The)		(83,050	)		(7,881,106	)		(774,365	)
Waters Corp.		(4,805	)		(759,787	)		114,043
Weatherford International plc		(2,580,965	)		(14,706,133	)		1,827,117
Webster Financial Corp.		(84,811	)		(3,251,568	)		(1,351,974	)
WEC Energy Group, Inc.		(335,010	)		(19,284,900	)		(363,436	)
Wendy’s Co. (The)		(494,446	)		(4,998,391	)		(1,686,519	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Werner Enterprises, Inc.		(44,122	)	$	(1,203,884	)	$	14,796
Western Alliance Bancorp		(54,040	)		(2,280,410	)		(351,878	)
Western Digital Corp.		(47,551	)		(2,741,364	)		(489,726	)
Western Union Co. (The)		(457,722	)		(7,830,788	)		(2,110,933	)
WestRock Co.		(36,396	)		(1,588,154	)		(259,671	)
WEX, Inc.		(17,263	)		(1,855,877	)		(70,674	)
WGL Holdings, Inc.		(19,274	)		(1,340,452	)		(129,769	)
Whiting Petroleum Corp.		(842,168	)		(6,814,416	)		(3,308,444	)
Whole Foods Market, Inc.		(327,381	)		(9,801,912	)		(268,328	)
Williams Cos., Inc. (The)		(160,394	)		(4,200,023	)		(794,646	)
Williams-Sonoma, Inc.		(125,408	)		(6,601,086	)		532,593
Willis Towers Watson plc		(30,109	)		(3,710,540	)		28,811
WisdomTree Investments, Inc.		(1,559,266	)		(16,887,879	)		(482,344	)
Workday, Inc.		(195,172	)		(11,506,737	)		(1,392,181	)
WPX Energy, Inc.		(190,018	)		(2,737,077	)		(31,485	)
WR Berkley Corp.		(84,983	)		(4,754,826	)		(897,393	)
WW Grainger, Inc.		(26,025	)		(5,667,692	)		(376,614	)
Wynn Resorts Ltd.		(10,902	)		(1,077,686	)		134,554
Yahoo!, Inc.		(108,477	)		(3,389,586	)		(805,220	)
Yelp, Inc.		(66,871	)		(2,326,882	)		(222,909	)
Zayo Group Holdings, Inc.		(51,169	)		(1,505,657	)		(175,756	)
Zebra Technologies Corp.		(93,925	)		(5,640,089	)		(2,414,919	)
Zillow Group, Inc.		(336,382	)		(9,713,354	)		(2,554,498	)
Zimmer Biomet Holdings, Inc.		(25,554	)		(2,717,970	)		80,797
Zions Bancorp		(245,057	)		(5,602,571	)		(4,944,682	)
Zoetis, Inc.		(169,125	)		(8,494,075	)		(559,186	)
							(250,490,678)
Total of Short Equity Positions								(253,427,240	)
Total of Long and Short Equity Positions								122,285,820
Net Cash and Other Receivables/ (Payables) (b)								8,920,572
Swaps, at Value							$	131,206,392

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

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

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

AQR Funds Annual Report December 2016

194

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap.	50-61 months maturity 01/14/2021		$2,877,854

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Sweden
BillerudKorsnas AB		95,037		$	1,452,366		$	139,326
Boliden AB		295,744			4,233,236			3,448,714
Electrolux AB		578,941			11,700,080			2,635,096
Fingerprint Cards AB		84,368			917,713			(338,719	)
Husqvarna AB		599,161			3,650,547			998,403
NCC AB		120,023			2,987,375			(22,665	)
Nibe Industrier AB		50,158			367,719			26,699
Saab AB		26,152			803,171			172,142
Securitas AB		227,516			3,183,992			384,789
Skanska AB		230,143			3,942,269			1,476,307
SSAB AB		299,765			1,011,596			120,567
Svenska Cellulosa AB SCA		246,248			6,533,681			397,344
Swedish Match AB		233,230			7,414,162			(14,241	)
Swedish Orphan Biovitrum AB		22,434			252,750			9,195
							9,432,957
Total of Long Equity Positions								9,432,957
Short Positions
Common Stocks
Luxembourg
Millicom International Cellular SA		(39,237	)		(1,738,858	)		66,797
Sweden
Alfa Laval AB		(249,461	)		(3,770,674	)		(344,277	)
Assa Abloy AB		(67,886	)		(1,227,014	)		(29,124	)
Atlas Copco AB		(144,219	)		(2,834,895	)		(1,540,214	)
Axfood AB		(35,795	)		(588,162	)		26,073
Elekta AB		(103,636	)		(741,098	)		(173,862	)
Getinge AB		(41,195	)		(760,102	)		100,035
Hennes & Mauritz AB		(491,688	)		(14,377,874	)		747,735
Hexagon AB		(116,671	)		(3,531,032	)		(624,315	)
Hexpol AB		(80,041	)		(706,717	)		(33,223	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
ICA Gruppen AB		(6,351	)	$	(190,451	)	$	(2,859	)
Modern Times Group MTG AB		(49,118	)		(1,205,198	)		(246,596	)
Nordea Bank AB		(100,179	)		(849,342	)		(260,704	)
Sandvik AB		(312,840	)		(2,248,189	)		(1,611,029	)
Skandinaviska Enskilda Banken AB		(498,462	)		(4,231,438	)		(977,586	)
SKF AB		(29,593	)		(526,198	)		(16,424	)
Svenska Handelsbanken AB		(321,913	)		(3,728,830	)		(729,812	)
Tele2 AB		(786,708	)		(6,379,664	)		89,157
Telefonaktiebolaget LM Ericsson		(550,810	)		(3,157,463	)		(70,819	)
Telia Co. AB		(233,085	)		(877,238	)		(59,109	)
Trelleborg AB		(306	)		(6,072	)		63
Volvo AB		(245,748	)		(1,994,397	)		(866,604	)
							(6,623,494)
Total of Short Equity Positions								(6,556,697	)
Total of Long and Short Equity Positions								2,876,260
Net Cash and Other Receivables/ (Payables) (b)								1,594
Swaps, at Value							$	2,877,854

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

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

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

AQR Funds Annual Report December 2016

195

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	49-55 months maturity 01/14/2021		$(272,234	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Austria
Conwert Immobilien Invest SE		374,677	$	6,483,930	$	(110,365	)
Germany
KUKA AG		44,991		5,105,952		332,337
Linde AG		37,935		6,339,166		(116,398	)
						215,939
Netherlands
Delta Lloyd NV		60,015		336,342		(906	)
Total of Long Equity Positions						104,668
Net Cash and Other Receivables/ (Payables) (b)						(376,902	)
Swaps, at Value					$	(272,234	)

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

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

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

AQR Funds Annual Report December 2016

196

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	50-59 months maturity 01/14/2021		$787,828

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Actelion Ltd.		33,269	$	6,405,459	$	784,258
Syngenta AG		2,883		1,145,909		(6,827	)
					777,431
Total of Long Equity Positions						777,431
Net Cash and Other Receivables/ (Payables) (b)						10,397
Swaps, at Value					$	787,828

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

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

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

AQR Funds Annual Report December 2016

197

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	49-61 months maturity 01/14/2021		$8,169,715

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Agrium, Inc.		119,703	$	11,914,487	$	121,650
Netherlands
NXP Semiconductors NV		393,687		39,132,208		(546,945	)
United States
Alere, Inc.		298,459		15,879,965		(4,249,018	)
Allied World Assurance Co. Holdings AG		59,005		3,032,959		136,199
American Capital Ltd.		202,682		3,262,284		369,777
Apollo Education Group, Inc.		383,521		3,247,731		549,127
Applied Micro Circuits Corp.		645,171		5,317,687		4,974
B/E Aerospace, Inc.		620,435		36,713,362		630,621
Bats Global Markets, Inc.		803,705		24,903,011		2,029,143
Brocade Communications Systems, Inc.		2,654,293		32,794,733		357,387
Cabela’s, Inc.		12,337		767,059		(44,727	)
Cardinal Financial Corp.		296,199		7,924,690		1,787,675
Centene Corp.		2		114		(1	)
Chemtura Corp.		690,312		22,585,335		333,023
Cigna Corp.		339,916		46,964,998		(1,623,603	)
CLARCOR, Inc.		105,115		8,665,325		3,509
CST Brands, Inc.		126,086		6,053,896		17,145
Dell Technologies, Inc. Class V		22,381		227,526		1,002,758
EI du Pont de Nemours & Co.		4		298		(4	)
Empire District Electric Co. (The)		59,142		1,989,548		26,603
Endurance Specialty Holdings Ltd.		423,100		38,794,221		300,219
Envision Healthcare Corp.		272		18,462		(1,247	)
Equity One, Inc.		567,052		16,992,614		410,212

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
EverBank Financial Corp.		318,800	$	6,160,567	$	40,093
G&K Services, Inc.		7,543		715,326		12,196
Genworth Financial, Inc.		1,190,243		5,565,198		(1,030,373	)
Harman International Industries, Inc.		288,926		31,698,828		418,186
Headwaters, Inc.		619,243		14,633,989		(69,393	)
Humana, Inc.		181,795		30,249,627		6,842,007
Inteliquent, Inc.		172,966		3,920,966		43,415
Intersil Corp.		676,084		14,869,417		207,256
Intralinks Holdings, Inc.		72,596		983,706		(2,208	)
InvenSense, Inc.		602,724		7,704,879		3,961
Isle of Capri Casinos, Inc.		288,966		6,399,029		735,542
Joy Global, Inc.		379,066		10,568,438		45,410
Lattice Semiconductor Corp.		710,718		5,360,023		(129,139	)
Level 3 Communications, Inc.		300,621		16,959,777		(16,778	)
LifeLock, Inc.		480,948		11,478,209		26,067
Linear Technology Corp.		278,699		16,488,098		888,785
Mentor Graphics Corp.		663,772		24,254,754		231,795
Mid-America Apartment Communities, Inc.		400		36,885		2,283
Monsanto Co.		160,887		16,657,703		269,218
NeuStar, Inc.		105,060		3,481,034		27,970
NorthStar Realty Finance Corp.		108,991		1,608,578		42,635
PrivateBancorp, Inc.		341,885		15,682,378		2,844,370
Quintiles IMS Holdings, Inc.		1		74		3
Reynolds American, Inc.		114,565		6,270,750		149,473
Rite Aid Corp.		1,599,726		12,291,225		890,517
Shire plc, ADR		2		300		41
Spectra Energy Corp.		307,508		12,964,844		(329,340	)
St. Jude Medical, Inc.		435,421		34,162,593		753,817
Stillwater Mining Co.		984,339		17,091,337		(1,233,636	)
Team Health Holdings, Inc.		610,350		25,858,773		660,934
Time Warner, Inc.		263,466		23,066,968		2,365,405

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

AQR Funds Annual Report December 2016

198

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Valspar Corp. (The)		179,085		$	19,177,726		$	(622,729	)
Vascular Solutions, Inc.		31,400			1,755,116			6,424
WCI Communities, Inc.		275,705			6,419,393			45,890
Westar Energy, Inc.		418,629			23,465,798			123,946
Western Refining, Inc.		556,155			20,986,991			63,476
WhiteWave Foods Co. (The)		241,944			13,280,450			171,637
Yadkin Financial Corp.		116,334			3,106,430			879,172
							17,398,100
Total of Long Equity Positions								16,972,805
Short Positions
Common Stocks
Canada
Enbridge, Inc.		(302,588	)		(13,200,705	)		455,698
Potash Corp. of Saskatchewan, Inc.		(667,354	)		(11,975,460	)		(96,974	)
Waste Connections, Inc.		(8,969	)		(554,620	)		(150,254	)
							208,470
United States
Abbott Laboratories		(379,165	)		(15,205,111	)		641,383
Adient plc		(155	)		(7,145	)		(1,938	)
Aetna, Inc.		(152,253	)		(16,019,150	)		(2,861,745	)
Analog Devices, Inc.		(64,687	)		(4,040,487	)		(657,083	)
Anthem, Inc.		(175,125	)		(24,061,666	)		(1,116,055	)
Ares Capital Corp.		(97,814	)		(1,452,853	)		(160,100	)
AT&T, Inc.		(297,931	)		(10,942,214	)		(1,728,791	)
Ball Corp.		(10,150	)		(696,290	)		(65,671	)
Cavium, Inc.		(1	)		(47	)		(16	)
CBOE Holdings, Inc.		(257,266	)		(17,432,409	)		(1,576,976	)
CenturyLink, Inc.		(429,467	)		(11,048,740	)		836,015
Chemical Financial Corp.		(4,886	)		(185,165	)		(79,510	)
Colony Capital, Inc.		(81,727	)		(1,640,868	)		(14,104	)
Diebold Nixdorf, Inc.		(36,127	)		(910,762	)		2,168
Eldorado Resorts, Inc.		(198,717	)		(2,786,619	)		(581,635	)
FNB Corp.		(251,282	)		(3,157,732	)		(870,318	)
Global Payments, Inc.		(1	)		(69	)		–

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Great Plains Energy, Inc.		(86,397	)	$	(2,534,221	)	$	171,263
Johnson Controls International plc		(1,547	)		(60,854	)		(2,867	)
MACOM Technology Solutions Holdings, Inc.		(70,259	)		(3,244,559	)		(7,027	)
Praxair, Inc.		(58,420	)		(6,871,154	)		24,915
Regency Centers Corp.		(255,173	)		(17,130,192	)		(463,986	)
Rockwell Collins, Inc.		(141,312	)		(11,787,712	)		(1,320,390	)
Tesoro Corp.		(228,811	)		(19,984,337	)		(25,185	)
United Bankshares, Inc.		(210,457	)		(8,112,802	)		(1,620,834	)
							(11,478,487)
Total of Short Equity Positions								(11,270,017	)
Total of Long and Short Equity Positions								5,702,788
Net Cash and Other Receivables/ (Payables) (b)								2,466,927
Swaps, at Value							$	8,169,715

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

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

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

AQR Funds Annual Report December 2016

199

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	49-59 months maturity 01/14/2021		$(1,170,014	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Manitoba Telecom Services, Inc.		47,839		$	1,325,978		$	26,547
Short Positions
Common Stocks
Canada
BCE, Inc.		(14,856	)		(669,125	)		27,041
Canadian Imperial Bank of Commerce		(125,028	)		(9,383,477	)		(818,785	)
Fairfax Financial Holdings Ltd.		(5,399	)		(2,417,683	)		(190,034	)
Fortis, Inc.		(1	)		(29	)		(2	)
Kirkland Lake Gold Ltd.		(5	)		(31	)		5
							(981,775)
Total of Short Equity Positions								(981,775	)
Total of Long and Short Equity Positions								(955,228	)
Net Cash and Other Receivables/ (Payables) (b)								(214,786	)
Swaps, at Value							$	(1,170,014	)

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

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

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

AQR Funds Annual Report December 2016

200

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	52 months maturity 01/14/2021		$117,481

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
United Kingdom
British American Tobacco plc		(63,034	)	$	(3,690,519	)	$	118,040
Net Cash and Other Receivables/ (Payables) (b)								(559	)
Swaps, at Value							$	117,481

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	50 months maturity 01/14/2021		$48,964

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Calsonic Kansei Corp.		248,000	$	3,753,143	$	48,047
Net Cash and Other Receivables/ (Payables) (b)						917
Swaps, at Value					$	48,964

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

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

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

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201

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	11-25 months maturity 07/27/2017		$(116,266	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United States
Diebold Nixdorf, Inc.		36,359		$	1,030,090		$	(115,662	)
Short Positions
Common Stocks
Canada
Waste Connections, Inc.		(1	)		(73	)		(6	)
United States
Western Digital Corp.		(10	)		(480	)		(199	)
Total of Short Equity Positions								(205	)
Total of Long and Short Equity Positions								(115,867	)
Net Cash and Other Receivables/ (Payables) (b)								(399	)
Swaps, at Value							$	(116,266	)

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

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

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

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202

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	11-25 months maturity ranging from 01/12/2017 - 05/22/2018		$168,895

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Manitoba Telecom Services, Inc.		331,600		$	9,308,991		$	66,153
Short Positions
Common Stocks
Canada
BCE, Inc.		(111,700	)		(4,986,013	)		158,284
Fortis, Inc.		(309	)		(9,445	)		(97	)
							158,187
Total of Short Equity Positions								158,187
Total of Long and Short Equity Positions								224,340
Net Cash and Other Receivables/ (Payables) (b)								(55,445	)
Swaps, at Value							$	168,895

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

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

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

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203

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	20 months maturity 01/24/2018		$(71,858	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Rights
United States
Leap Wireless International, Inc.(c)		(110,787	)	$	(279,183	)	$	(72,565	)
Net Cash and Other Receivables/ (Payables) (b)								707
Swaps, at Value(3)							$	(71,858	)

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

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

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Investment Companies		$2,060,000		$—			$2,060,000
BARC
Cash		—		66,215,653			66,215,653
CITG
Cash		—		(6,501,512	)		(6,501,512	)
CITI
Investment Companies		15,976,378		—			15,976,378
DTBK
Investment Companies		67,190,479		—			67,190,479
GSCO
Cash		—		14,470,665			14,470,665
GSIN
Investment Companies		54,588,628		—			54,588,628
JPMC
Investment Companies		546,515,000		—			546,515,000
JPMS
Cash		—		13,041,940			13,041,940
MSCL
Cash		—		1,729,259			1,729,259
MSIP
Investment Companies		79,430,092		—			79,430,092

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

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204

Consolidated Schedule of Investments December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$4,044,361		$—		$4,044,361
GSCO
Cash		—		3,690,007		3,690,007
GSIN
Cash		1,440,000		—		1,440,000
JPPC
Cash		—		3,703,120		3,703,120
MACQ
Investment Companies		3,400,000		—		3,400,000
MLIN
Investment Companies		5,080,000		—		5,080,000
MSCL
Cash		—		3,249,923		3,249,923
U.S. Treasury Bills		—		13,486,703		13,486,703
SOCG
Investment Companies		1,570,000		—		1,570,000

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

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205

Consolidated Schedule of Investments December 31, 2016

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 88.4%
INVESTMENT COMPANIES - 47.2%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (a)(b)		2,249,297	$	2,249,297
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (a)(b)		8,997,188		8,997,188
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (a)(b)(c)		73,329,964		73,329,964
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (a)(b)		11,246,485		11,246,485
TOTAL INVESTMENT COMPANIES (Cost $95,822,934)				95,822,934
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 41.2%
U.S. Treasury Bills
0.34%, 1/5/2017 (d)	$	1,130,000		1,129,977
0.43%, 1/19/2017 (d)		5,960,000		5,958,903
0.44%, 2/9/2017 (b)(d)		19,901,000		19,891,846
0.45%, 2/16/2017 (d)		1,587,000		1,586,146
0.45%, 2/23/2017 (d)		7,495,000		7,490,001
0.42%, 3/30/2017 (d)		3,340,000		3,336,019
0.48%, 4/27/2017 (d)		2,384,000		2,379,866
0.50%, 5/4/2017 (d)		2,731,000		2,725,584
0.63%, 5/18/2017 (b)(d)		30,438,000		30,368,845

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 41.2% (continued)
0.61%, 6/1/2017 (b)(d)	$	2,737,000	$	2,729,933
0.62%, 6/8/2017 (d)		3,680,000		3,670,112
0.65%, 6/15/2017 (d)		2,586,000		2,578,886
TOTAL U.S. TREASURY OBLIGATIONS (Cost $83,843,638)				83,846,118
TOTAL SHORT-TERM INVESTMENTS (Cost $179,666,572)				179,669,052
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 88.4% (Cost $179,666,572)				179,669,052
OTHER ASSETS IN EXCESS OF LIABILITIES - 11.6% (e)			23,549,499
NET ASSETS - 100.0%			$	203,218,551

(a) Represents 7-day effective yield as of 12/31/2016.

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

(c) All or a portion of the security pledged as collateral for swap contracts.

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

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

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

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CITI	Cocoa March Future^	02/2017	USD		(27,435	)		$6,175
SOCG	Cocoa March Future^	02/2017	USD		(472,010	)		89,330
MACQ	Cocoa March Future^	02/2017	USD		(474,909	)		70,969
CITI	Coffee ‘C’ March Futures^	02/2017	USD		2,843,447			(325,153	)
CITI	Coffee ‘C’ March Futures^	02/2017	USD		(511,059	)		15,643
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		1,691,930			(252,905	)
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		(1,041,583	)		174,731
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		1,625,743			(186,718	)
CITI	Corn March Futures^	02/2017	USD		1,681,040			(26,640	)
SOCG	Corn March Futures^	02/2017	USD		2,419,138			(7,938	)
MACQ	Corn March Futures^	02/2017	USD		5,933,372			(19,772	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		(747,355	)		(2,890	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		4,899,568			151,907
SOCG	Cotton No. 2 March Futures^	02/2017	USD		1,711,908			54,342
SOCG	Cotton No. 2 March Futures^	02/2017	USD		(1,088,338	)		(1,028	)
GSIN	Cotton No. 2 March Futures^	02/2017	USD		216,180			(4,230	)
GSIN	Cotton No. 2 March Futures^	02/2017	USD		(108,090	)		1,500
MACQ	Cotton No. 2 March Futures^	02/2017	USD		(308,765	)		7,830
MACQ	Cotton No. 2 March Futures^	02/2017	USD		308,765			9,160
SOCG	Lean Hogs February Futures^	02/2017	USD		(1,660,553	)		(381,073	)
SOCG	Lean Hogs February Futures^	02/2017	USD		4,004,794			943,226
GSIN	Lean Hogs February Futures^	02/2017	USD		691,008			49,872

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

AQR Funds Annual Report December 2016

206

Consolidated Schedule of Investments December 31, 2016

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MACQ	Lean Hogs February Futures^	02/2017		USD		754,927			$ 171,173
MACQ	Lean Hogs February Futures^	02/2017		USD		(728,949	)		(173,998	)
SOCG	Live Cattle February Futures^	02/2017		USD		(591,958	)		(59,770	)
SOCG	Live Cattle February Futures^	02/2017		USD		884,583			90,237
MACQ	Live Cattle February Futures^	02/2017		USD		2,444,759			247,601
SOCG	Natural Gas February Futures^	02/2017		USD		(1,012,648	)		(18,872	)
SOCG	Natural Gas January Futures^	01/2017		USD		841,176			(201,544	)
SOCG	Natural Gas January Futures^	01/2017		USD		(841,176	)		15,372
CITI	Soybean March Futures^	02/2017		USD		5,626,381			(3,981	)
SOCG	Soybean March Futures^	02/2017		USD		954,834			(1,034	)
MACQ	Soybean March Futures^	02/2017		USD		2,418,362			(8,762	)
CITI	Soybean Meal March Futures^	02/2017		USD		63,047			273
CITI	Soybean Meal March Futures^	02/2017		USD		(63,047	)		(892	)
GSIN	Soybean Meal March Futures^	02/2017		USD		2,769,440			(78,340	)
CITI	Soybean Oil March Futures^	02/2017		USD		(2,106,315	)		172,287
CITI	Soybean Oil March Futures^	02/2017		USD		2,555,885			(226,733	)
SOCG	Soybean Oil March Futures^	02/2017		USD		4,871,221			(420,877	)
MACQ	Soybean Oil March Futures^	02/2017		USD		1,955,607			(167,151	)
CITI	Wheat March Futures^	02/2017		USD		(2,947,301	)		132,101
SOCG	Wheat March Futures^	02/2017		USD		(2,825,346	)		50,946
MACQ	Wheat March Futures^	02/2017		USD		(3,023,164	)		105,964
									$(9,662	)

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

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
362	GSCO	Brent Crude Futures^		02/2017		$20,219,889		$20,811,380		$591,491
18	MSCL	Cocoa Futures^		03/2017		396,593		382,680		(13,913	)
156	MSCL	Coffee ‘C’ Futures^		03/2017		8,904,003		8,017,425		(886,578	)
872	MSCL	Corn Futures^		03/2017		15,337,300		15,347,200		9,900
59	MSCL	Cotton No. 2 Futures^		03/2017		2,097,231		2,084,175		(13,056	)
191	GSCO	Gas Oil Futures^		03/2017		9,343,743		9,693,250		349,507
295	MSCL	Gasoline RBOB Futures^		02/2017		19,410,985		20,894,496		1,483,511
478	MSCL	Gold 100 OZ Futures^		02/2017		60,824,388		55,051,261		(5,773,127	)
142	MSCL	Lean Hogs Futures^		02/2017		3,084,658		3,757,320		672,662
212	MSCL	Live Cattle Futures^		02/2017		9,006,135		9,841,040		834,905
8	JPPC	LME Aluminum Futures^		01/2017		334,934		340,500		5,566
74	JPPC	LME Aluminum Futures^		01/2017		3,084,905		3,131,032		46,127
95	JPPC	LME Aluminum Futures^		01/2017		3,997,358		4,018,928		21,570
35	JPPC	LME Aluminum Futures^		02/2017		1,509,461		1,480,063		(29,398	)
3	JPPC	LME Aluminum Futures^		02/2017		132,009		126,816		(5,193	)
34	JPPC	LME Aluminum Futures^		02/2017		1,509,333		1,437,112		(72,221	)
46	JPPC	LME Aluminum Futures^		02/2017		2,008,013		1,943,972		(64,041	)
36	JPPC	LME Aluminum Futures^		02/2017		1,519,438		1,520,775		1,337
43	JPPC	LME Aluminum Futures^		02/2017		1,874,661		1,817,556		(57,105	)
35	JPPC	LME Aluminum Futures^		02/2017		1,540,535		1,479,581		(60,954	)
34	JPPC	LME Aluminum Futures^		03/2017		1,464,308		1,438,327		(25,981	)
22	JPPC	LME Aluminum Futures^		03/2017		944,779		931,233		(13,546	)

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

AQR Funds Annual Report December 2016

207

Consolidated Schedule of Investments December 31, 2016

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
24	JPPC	LME Aluminum Futures^		03/2017		$ 1,035,059		$ 1,016,130		$ (18,929	)
1,098	JPPC	LME Aluminum Futures^		03/2017		46,616,077		46,465,988		(150,089	)
31	JPPC	LME Aluminum Futures^		03/2017		1,345,882		1,312,075		(33,807	)
2	JPPC	LME Copper Futures^		01/2017		238,842		276,112		37,270
2	JPPC	LME Copper Futures^		01/2017		238,655		276,222		37,567
18	JPPC	LME Copper Futures^		01/2017		2,094,344		2,486,281		391,937
66	JPPC	LME Copper Futures^		01/2017		7,809,067		9,119,022		1,309,955
36	JPPC	LME Copper Futures^		01/2017		4,295,754		4,974,588		678,834
47	JPPC	LME Copper Futures^		02/2017		5,802,809		6,497,245		694,436
10	JPPC	LME Copper Futures^		02/2017		1,265,490		1,382,715		117,225
9	JPPC	LME Copper Futures^		02/2017		1,153,305		1,244,515		91,210
13	JPPC	LME Copper Futures^		02/2017		1,749,102		1,797,737		48,635
28	JPPC	LME Copper Futures^		02/2017		4,050,813		3,871,833		(178,980	)
16	JPPC	LME Copper Futures^		02/2017		2,184,047		2,212,000		27,953
1	JPPC	LME Copper Futures^		02/2017		140,474		138,278		(2,196	)
14	JPPC	LME Copper Futures^		03/2017		2,023,734		1,936,438		(87,296	)
322	JPPC	LME Copper Futures^		03/2017		39,893,169		44,554,737		4,661,568
21	JPPC	LME Copper Futures^		03/2017		2,868,924		2,905,612		36,688
2	JPPC	LME Copper Futures^		03/2017		276,956		276,769		(187	)
5	JPPC	LME Lead Futures^		01/2017		256,270		250,015		(6,255	)
6	JPPC	LME Lead Futures^		01/2017		309,720		300,675		(9,045	)
12	JPPC	LME Lead Futures^		01/2017		619,718		601,437		(18,281	)
2	JPPC	LME Lead Futures^		02/2017		103,755		100,290		(3,465	)
1	JPPC	LME Lead Futures^		02/2017		52,642		50,159		(2,483	)
5	JPPC	LME Lead Futures^		02/2017		268,103		250,830		(17,273	)
13	JPPC	LME Lead Futures^		02/2017		708,538		652,392		(56,146	)
37	JPPC	LME Lead Futures^		02/2017		1,998,842		1,857,234		(141,608	)
8	JPPC	LME Lead Futures^		02/2017		435,024		401,692		(33,332	)
11	JPPC	LME Lead Futures^		02/2017		603,636		552,373		(51,263	)
2	JPPC	LME Lead Futures^		02/2017		109,838		100,439		(9,399	)
15	JPPC	LME Lead Futures^		03/2017		892,912		753,656		(139,256	)
5	JPPC	LME Lead Futures^		03/2017		288,781		251,319		(37,462	)
6	JPPC	LME Lead Futures^		03/2017		347,637		301,632		(46,005	)
147	JPPC	LME Lead Futures^		03/2017		7,798,868		7,394,100		(404,768	)
3	JPPC	LME Lead Futures^		03/2017		175,817		150,888		(24,929	)
2	JPPC	LME Lead Futures^		03/2017		106,431		100,725		(5,706	)
8	JPPC	LME Lead Futures^		03/2017		408,320		403,250		(5,070	)
2	JPPC	LME Nickel Futures^		01/2017		121,964		119,587		(2,377	)
7	JPPC	LME Nickel Futures^		01/2017		432,294		419,139		(13,155	)
28	JPPC	LME Nickel Futures^		02/2017		1,757,349		1,677,529		(79,820	)
13	JPPC	LME Nickel Futures^		02/2017		916,622		779,204		(137,418	)
23	JPPC	LME Nickel Futures^		02/2017		1,544,276		1,378,945		(165,331	)
3	JPPC	LME Nickel Futures^		02/2017		199,233		179,898		(19,335	)
2	JPPC	LME Nickel Futures^		02/2017		133,626		119,962		(13,664	)
14	JPPC	LME Nickel Futures^		02/2017		957,834		839,790		(118,044	)
1	JPPC	LME Nickel Futures^		03/2017		67,232		60,012		(7,220	)
11	JPPC	LME Nickel Futures^		03/2017		770,595		660,344		(110,251	)
4	JPPC	LME Nickel Futures^		03/2017		272,361		240,156		(32,205	)
206	JPPC	LME Nickel Futures^		03/2017		13,159,829		12,373,596		(786,233	)
6	JPPC	LME Nickel Futures^		03/2017		411,514		360,373		(51,141	)
14	JPPC	LME Nickel Futures^		03/2017		897,474		841,277		(56,197	)
1	JPPC	LME Nickel Futures^		03/2017		60,722		60,116		(606	)
2	JPPC	LME Zinc Futures^		01/2017		116,451		127,929		11,478
7	JPPC	LME Zinc Futures^		02/2017		432,048		449,137		17,089
22	JPPC	LME Zinc Futures^		02/2017		1,361,210		1,411,894		50,684
9	JPPC	LME Zinc Futures^		02/2017		554,860		577,626		22,766
1	JPPC	LME Zinc Futures^		02/2017		64,753		64,203		(550	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
5	JPPC	LME Zinc Futures^		02/2017		$ 319,565			$ 321,031			$ 1,466
2	JPPC	LME Zinc Futures^		02/2017		130,563			128,413			(2,150	)
18	JPPC	LME Zinc Futures^		03/2017		1,225,844			1,156,671			(69,173	)
167	JPPC	LME Zinc Futures^		03/2017		10,056,075			10,746,450			690,375
6	JPPC	LME Zinc Futures^		03/2017		412,455			386,101			(26,354	)
22	JPPC	LME Zinc Futures^		03/2017		1,424,103			1,416,212			(7,891	)
35	MSCL	Natural Gas Futures^		02/2017		1,252,946			1,289,400			36,454
291	MSCL	Silver Futures^		03/2017		26,602,169			23,263,995			(3,338,174	)
301	MSCL	Soybean Futures^		03/2017		15,114,827			15,110,200			(4,627	)
319	MSCL	Soybean Meal Futures^		03/2017		10,011,727			10,099,540			87,813
417	MSCL	Soybean Oil Futures^		03/2017		9,487,647			8,671,932			(815,715	)
584	MSCL	Sugar #11 (World Markets) Futures^		02/2017		13,119,307			12,761,101			(358,206	)
154	MSCL	Wheat Futures^		03/2017		3,227,760			3,141,600			(86,160	)
100	MSCL	WTI Crude Futures^		02/2017		5,236,916			5,466,000			229,084
						430,966,165			429,462,888			(1,503,277	)
Short Contracts:
13	MSCL	Heating Oil ULSD Futures^		02/2017		$(902,024	)		$(948,948	)		$(46,924	)
8	JPPC	LME Aluminum Futures^		01/2017		(334,430	)		(340,500	)		(6,070	)
74	JPPC	LME Aluminum Futures^		01/2017		(3,070,819	)		(3,131,033	)		(60,214	)
95	JPPC	LME Aluminum Futures^		01/2017		(4,001,080	)		(4,018,927	)		(17,847	)
35	JPPC	LME Aluminum Futures^		02/2017		(1,513,372	)		(1,480,062	)		33,310
3	JPPC	LME Aluminum Futures^		02/2017		(130,302	)		(126,816	)		3,486
34	JPPC	LME Aluminum Futures^		02/2017		(1,506,315	)		(1,437,112	)		69,203
46	JPPC	LME Aluminum Futures^		02/2017		(2,010,624	)		(1,943,972	)		66,652
36	JPPC	LME Aluminum Futures^		02/2017		(1,521,002	)		(1,520,775	)		227
43	JPPC	LME Aluminum Futures^		02/2017		(1,873,620	)		(1,817,557	)		56,063
35	JPPC	LME Aluminum Futures^		02/2017		(1,541,664	)		(1,479,581	)		62,083
34	JPPC	LME Aluminum Futures^		03/2017		(1,463,495	)		(1,438,327	)		25,168
22	JPPC	LME Aluminum Futures^		03/2017		(948,922	)		(931,233	)		17,689
24	JPPC	LME Aluminum Futures^		03/2017		(1,033,062	)		(1,016,130	)		16,932
329	JPPC	LME Aluminum Futures^		03/2017		(14,133,281	)		(13,922,869	)		210,412
31	JPPC	LME Aluminum Futures^		03/2017		(1,351,524	)		(1,312,075	)		39,449
2	JPPC	LME Copper Futures^		01/2017		(238,641	)		(276,113	)		(37,472	)
2	JPPC	LME Copper Futures^		01/2017		(237,581	)		(276,222	)		(38,641	)
18	JPPC	LME Copper Futures^		01/2017		(2,092,983	)		(2,486,282	)		(393,299	)
66	JPPC	LME Copper Futures^		01/2017		(7,812,588	)		(9,119,022	)		(1,306,434	)
36	JPPC	LME Copper Futures^		01/2017		(4,309,112	)		(4,974,588	)		(665,476	)
47	JPPC	LME Copper Futures^		02/2017		(5,802,035	)		(6,497,245	)		(695,210	)
10	JPPC	LME Copper Futures^		02/2017		(1,264,975	)		(1,382,715	)		(117,740	)
9	JPPC	LME Copper Futures^		02/2017		(1,138,028	)		(1,244,516	)		(106,488	)
13	JPPC	LME Copper Futures^		02/2017		(1,751,409	)		(1,797,737	)		(46,328	)
28	JPPC	LME Copper Futures^		02/2017		(4,142,531	)		(3,871,833	)		270,698
16	JPPC	LME Copper Futures^		02/2017		(2,187,093	)		(2,212,000	)		(24,907	)
1	JPPC	LME Copper Futures^		02/2017		(141,123	)		(138,278	)		2,845
14	JPPC	LME Copper Futures^		03/2017		(2,026,065	)		(1,936,438	)		89,627
76	JPPC	LME Copper Futures^		03/2017		(10,121,228	)		(10,516,025	)		(394,797	)
21	JPPC	LME Copper Futures^		03/2017		(2,872,371	)		(2,905,613	)		(33,242	)
2	JPPC	LME Copper Futures^		03/2017		(276,211	)		(276,769	)		(558	)
5	JPPC	LME Lead Futures^		01/2017		(254,988	)		(250,015	)		4,973
6	JPPC	LME Lead Futures^		01/2017		(309,885	)		(300,675	)		9,210
12	JPPC	LME Lead Futures^		01/2017		(621,871	)		(601,437	)		20,434
2	JPPC	LME Lead Futures^		02/2017		(103,662	)		(100,290	)		3,372
1	JPPC	LME Lead Futures^		02/2017		(52,848	)		(50,159	)		2,689
5	JPPC	LME Lead Futures^		02/2017		(267,238	)		(250,830	)		16,408

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

AQR Funds Annual Report December 2016

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Consolidated Schedule of Investments December 31, 2016

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
13	JPPC	LME Lead Futures^		02/2017		$ (705,175	)		$ (652,391	)		$ 52,784
37	JPPC	LME Lead Futures^		02/2017		(1,999,435	)		(1,857,234	)		142,201
8	JPPC	LME Lead Futures^		02/2017		(435,584	)		(401,692	)		33,892
11	JPPC	LME Lead Futures^		02/2017		(606,348	)		(552,373	)		53,975
2	JPPC	LME Lead Futures^		02/2017		(110,145	)		(100,439	)		9,706
15	JPPC	LME Lead Futures^		03/2017		(889,258	)		(753,656	)		135,602
5	JPPC	LME Lead Futures^		03/2017		(287,485	)		(251,319	)		36,166
6	JPPC	LME Lead Futures^		03/2017		(347,232	)		(301,632	)		45,600
97	JPPC	LME Lead Futures^		03/2017		(5,399,544	)		(4,879,100	)		520,444
3	JPPC	LME Lead Futures^		03/2017		(175,343	)		(150,888	)		24,455
2	JPPC	LME Lead Futures^		03/2017		(106,128	)		(100,725	)		5,403
8	JPPC	LME Lead Futures^		03/2017		(400,083	)		(403,250	)		(3,167	)
2	JPPC	LME Nickel Futures^		01/2017		(122,037	)		(119,587	)		2,450
7	JPPC	LME Nickel Futures^		01/2017		(433,003	)		(419,139	)		13,864
28	JPPC	LME Nickel Futures^		02/2017		(1,756,958	)		(1,677,529	)		79,429
13	JPPC	LME Nickel Futures^		02/2017		(906,365	)		(779,204	)		127,161
23	JPPC	LME Nickel Futures^		02/2017		(1,545,183	)		(1,378,945	)		166,238
3	JPPC	LME Nickel Futures^		02/2017		(199,523	)		(179,898	)		19,625
2	JPPC	LME Nickel Futures^		02/2017		(133,826	)		(119,962	)		13,864
14	JPPC	LME Nickel Futures^		02/2017		(959,666	)		(839,790	)		119,876
1	JPPC	LME Nickel Futures^		03/2017		(67,498	)		(60,012	)		7,486
11	JPPC	LME Nickel Futures^		03/2017		(766,893	)		(660,344	)		106,549
4	JPPC	LME Nickel Futures^		03/2017		(274,430	)		(240,156	)		34,274
84	JPPC	LME Nickel Futures^		03/2017		(5,519,288	)		(5,045,544	)		473,744
6	JPPC	LME Nickel Futures^		03/2017		(413,265	)		(360,373	)		52,892
14	JPPC	LME Nickel Futures^		03/2017		(897,121	)		(841,277	)		55,844
1	JPPC	LME Nickel Futures^		03/2017		(60,574	)		(60,116	)		458
2	JPPC	LME Zinc Futures^		01/2017		(117,044	)		(127,928	)		(10,884	)
7	JPPC	LME Zinc Futures^		02/2017		(432,929	)		(449,137	)		(16,208	)
22	JPPC	LME Zinc Futures^		02/2017		(1,361,746	)		(1,411,894	)		(50,148	)
9	JPPC	LME Zinc Futures^		02/2017		(551,059	)		(577,627	)		(26,568	)
1	JPPC	LME Zinc Futures^		02/2017		(64,224	)		(64,202	)		22
5	JPPC	LME Zinc Futures^		02/2017		(314,363	)		(321,032	)		(6,669	)
2	JPPC	LME Zinc Futures^		02/2017		(129,795	)		(128,412	)		1,383
18	JPPC	LME Zinc Futures^		03/2017		(1,233,940	)		(1,156,671	)		77,269
19	JPPC	LME Zinc Futures^		03/2017		(1,292,147	)		(1,222,650	)		69,497
6	JPPC	LME Zinc Futures^		03/2017		(413,907	)		(386,100	)		27,807
22	JPPC	LME Zinc Futures^		03/2017		(1,410,146	)		(1,416,211	)		(6,065	)
						(118,198,692	)		(118,779,158	)		(580,466	)
						$312,767,473			$310,683,730			$(2,083,743	)

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

USD - United States Dollar

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

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210

Consolidated Schedule of Investments December 31, 2016

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$910,737		$ —		$910,737
GSCO
Cash		—		1,062,440		1,062,440
GSIN
Cash		630,000		—		630,000
JPPC
Cash		—		3,492,117		3,492,117
MACQ
Investment Companies		970,000		—		970,000
MSCL
Cash		—		19,150,306		19,150,306
SOCG
Investment Companies		1,001,275		—		1,001,275

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

INVESTMENTS		PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 15.5%
Deutsche Bundesrepublik Inflation Linked Bond
1.75%, 4/15/2020	EUR		7,053,376	$	8,240,128
0.10%, 4/15/2023	EUR		4,062,396		4,686,086
0.10%, 4/15/2026	EUR		9,023,087		10,646,669
France Government Bond OAT
2.25%, 7/25/2020	EUR		6,506,121		7,802,715
0.10%, 7/25/2021	EUR		2,128,602		2,402,001
1.20%, 7/25/2022	EUR		2,619,048		3,127,280
0.26%, 7/25/2024	EUR		2,963,597		3,422,297
0.10%, 3/1/2025	EUR		2,713,419		3,087,965
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP		7,210,566		10,451,748
0.13%, 3/22/2026	GBP		5,538,078		8,242,651
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $65,335,048)					62,109,540
U.S. TREASURY OBLIGATIONS - 21.1%
U.S. Treasury Inflation Protected Securities
0.13%, 4/15/2020 (a)	$		21,790,000		22,725,987
0.13%, 4/15/2021			25,500,000		26,156,804
0.38%, 7/15/2025			9,340,000		9,468,919
0.63%, 1/15/2026			12,430,000		12,756,451
0.13%, 7/15/2026			13,880,000		13,535,524
TOTAL U.S. TREASURY OBLIGATIONS (Cost $84,187,946)					84,643,685
		SHARES
SHORT-TERM INVESTMENTS - 56.2%
INVESTMENT COMPANIES - 39.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (b)(c)			7,683,014		7,683,014
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (b)(c)			30,732,057		30,732,057
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (b)(c)(d)			69,131,698		69,131,698
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (b)(c)(d)			10,484,243		10,484,243
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (b)(c)			38,415,917		38,415,917
TOTAL INVESTMENT COMPANIES (Cost $156,446,929)					156,446,929

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 17.1%
U.S. Treasury Bills
0.43%, 1/26/2017 (c)(e)	$	2,719,000	$	2,718,269
0.44%, 2/9/2017 (c)(e)		32,417,000		32,402,088
0.45%, 2/16/2017 (c)(e)		1,926,000		1,924,964
0.48%, 3/2/2017 (e)		20,056,000		20,040,356
0.54%, 3/16/2017 (c)(e)		2,271,000		2,268,729
0.48%, 4/27/2017 (e)		2,065,000		2,061,419
0.61%, 5/25/2017 (c)(e)		963,000		960,693
0.61%, 6/1/2017 (c)(e)		692,000		690,213
0.62%, 6/8/2017 (e)		1,321,000		1,317,451
0.65%, 6/15/2017 (e)		3,983,000		3,972,043
TOTAL U.S. TREASURY OBLIGATIONS (Cost $68,354,538)				68,356,225
TOTAL SHORT-TERM INVESTMENTS (Cost $224,801,467)				224,803,154
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 92.8% (Cost $374,324,461)				371,556,379
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.2% (f)			28,792,282
NET ASSETS - 100.0%			$400,348,661

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

(b) Represents 7-day effective yield as of 12/31/2016.

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

(d) All or a portion of the security pledged as collateral for swap contracts.

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

Credit default swap contracts sell protection as of December 31, 2016:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND			CURRENCY	CREDIT SPREAD			NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CITG	iTraxx Europe Crossover Series 26.V1		5.000	%	EUR		2.882	%		55,975,000		$4,680,559			12/20/2021		$1,009,424
CITG	iTraxx Europe Series 26.V1		1.000	%	EUR		0.721	%		112,250,000		1,704,348			12/20/2021		(54,147	)
CITG	Markit CDX Emerging Market Index Series 26.V1		1.000	%	USD		2.408	%		15,000,000		(941,289	)		12/20/2021		4,223
CITG	Markit CDX North America High Yield Index Series 27.V1		5.000	%	USD		3.542	%		57,550,000		2,685,631			12/20/2021		961,641
CITG	Markit CDX North America Investment Grade Index Series 27.V1		1.000	%	USD		0.677	%		110,125,000		1,099,661			12/20/2021		600,116
												$9,228,910					$2,521,257

Forward effective interest rate swap contracts outstanding as of December 31, 2016:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CITG	(1)		0.500	%	CZK		47,000,000		$12,340			03/16/2022		$(15,313	)
CITG	(1)		0.500	%	CZK		10,000,000		(3,452	)		03/16/2022		2,820
CITG	(1)		0.500	%	CZK		69,000,000		18,456			03/16/2022		(22,820	)
CITG	(1)		0.500	%	CZK		36,000,000		9,377			03/16/2022		(11,654	)
CITG	(1)		0.500	%	CZK		10,000,000		450			03/16/2022		(1,082	)
CITG	(1)		0.500	%	CZK		10,000,000		(2,846	)		03/16/2022		2,214
CITG	(1)		0.500	%	CZK		10,000,000		(2,603	)		03/16/2022		1,971
CITG	(1)		0.500	%	CZK		70,000,000		18,092			03/16/2022		(22,519	)
CITG	(1)		0.500	%	CZK		10,000,000		304			03/16/2022		(937	)
CITG	0.500%			(1)	CZK		10,000,000		(1,594	)		03/16/2022		2,227
CITG	0.500%			(1)	CZK		10,000,000		3,275			03/16/2022		(2,643	)
CITG	0.500%			(1)	CZK		10,000,000		391			03/16/2022		241
CITG	0.500%			(1)	CZK		20,000,000		7,665			03/16/2022		(6,400	)
CITG	0.500%			(1)	CZK		20,000,000		7,843			03/16/2022		(6,578	)
CITG	0.500%			(1)	CZK		10,000,000		3,577			03/16/2022		(2,944	)
CITG	(2)		1.000	%	HKD		37,000,000		(54,354	)		03/16/2022		(260,867	)
CITG	(2)		1.000	%	HKD		37,000,000		(54,081	)		03/16/2022		(261,140	)
CITG	(2)		1.000	%	HKD		37,000,000		(54,728	)		03/16/2022		(260,493	)
CITG	(2)		1.000	%	HKD		37,000,000		(55,681	)		03/16/2022		(259,540	)
CITG	(2)		1.000	%	HKD		4,000,000		(7,717	)		03/16/2022		(26,361	)
CITG	(2)		1.500	%	HKD		3,000,000		(6,071	)		03/16/2022		(10,250	)
CITG	(2)		1.500	%	HKD		4,000,000		(8,676	)		03/16/2022		(13,085	)
CITG	(2)		1.500	%	HKD		2,000,000		(3,757	)		03/16/2022		(7,123	)
CITG	(2)		1.500	%	HKD		3,000,000		(5,664	)		03/16/2022		(10,657	)

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

AQR Funds Annual Report December 2016

213

Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CITG	(2)		1.500	%	HKD		4,000,000		$ (8,957	)		03/16/2022		$ (12,804	)
CITG	(2)		2.000	%	HKD		3,000,000		(1,563	)		03/16/2022		(5,520	)
CITG	1.000%			(2)	HKD		2,000,000		7,156			03/16/2022		9,883
CITG	1.000%			(2)	HKD		3,000,000		5,276			03/16/2022		20,282
CITG	1.000%			(2)	HKD		1,000,000		2,091			03/16/2022		6,428
CITG	1.500%			(2)	HKD		11,000,000		22,047			03/16/2022		37,796
CITG	1.500%			(2)	HKD		8,000,000		17,891			03/16/2022		25,630
CITG	1.500%			(2)	HKD		4,000,000		9,017			03/16/2022		12,744
CITG	1.500%			(2)	HKD		11,000,000		19,639			03/16/2022		40,203
CITG	1.500%			(2)	HKD		7,000,000		15,205			03/16/2022		22,877
CITG	(3)		1.000	%	HUF		900,000,000		(32,989	)		03/16/2022		1,404
CITG	(3)		1.000	%	HUF		900,000,000		(33,076	)		03/16/2022		1,491
CITG	(3)		1.000	%	HUF		100,000,000		(3,422	)		03/16/2022		(87	)
CITG	(3)		1.000	%	HUF		900,000,000		(33,328	)		03/16/2022		1,743
CITG	(3)		1.500	%	HUF		100,000,000		(1,144	)		03/16/2022		6,056
CITG	(3)		1.500	%	HUF		100,000,000		2,675			03/16/2022		2,236
CITG	(3)		1.500	%	HUF		100,000,000		(1,319	)		03/16/2022		6,230
CITG	1.000%			(3)	HUF		100,000,000		7,932			03/16/2022		(4,422	)
CITG	1.000%			(3)	HUF		100,000,000		4,644			03/16/2022		(1,135	)
CITG	1.500%			(3)	HUF		200,000,000		5,600			03/16/2022		(15,422	)
CITG	1.500%			(3)	HUF		100,000,000		2,204			03/16/2022		(7,115	)
CITG	1.500%			(3)	HUF		100,000,000		4,217			03/16/2022		(9,128	)
CITG	1.500%			(3)	HUF		200,000,000		6,941			03/16/2022		(16,763	)
CITG	(4)		2.000	%	PLN		11,000,000		9,906			03/16/2022		(59,242	)
CITG	(4)		2.000	%	PLN		12,000,000		11,151			03/16/2022		(64,972	)
CITG	(4)		2.000	%	PLN		2,000,000		(9,663	)		03/16/2022		693
CITG	(4)		2.000	%	PLN		14,000,000		12,605			03/16/2022		(75,396	)
CITG	(4)		2.000	%	PLN		14,000,000		12,911			03/16/2022		(75,702	)
CITG	(4)		2.000	%	PLN		11,000,000		10,286			03/16/2022		(59,622	)
CITG	(4)		2.000	%	PLN		1,000,000		(3,710	)		03/16/2022		(775	)
CITG	(4)		2.000	%	PLN		13,000,000		12,052			03/16/2022		(70,359	)
CITG	(4)		2.000	%	PLN		3,000,000		(2,997	)		03/16/2022		(10,458	)
CITG	(4)		2.000	%	PLN		3,000,000		(3,117	)		03/16/2022		(10,338	)
CITG	(4)		2.500	%	PLN		2,000,000		(125	)		03/16/2022		2,403
CITG	(4)		2.500	%	PLN		1,000,000		344			03/16/2022		795
CITG	(4)		2.500	%	PLN		2,000,000		1,509			03/16/2022		769
CITG	(4)		2.500	%	PLN		2,000,000		1,388			03/16/2022		890
CITG	2.000%			(4)	PLN		3,000,000		13,112			03/16/2022		343
CITG	2.000%			(4)	PLN		1,000,000		401			03/16/2022		4,084
CITG	2.000%			(4)	PLN		2,000,000		10,589			03/16/2022		(1,618	)
CITG	2.000%			(4)	PLN		3,000,000		13,656			03/16/2022		(201	)
CITG	2.000%			(4)	PLN		3,000,000		15,377			03/16/2022		(1,921	)
CITG	2.000%			(4)	PLN		3,000,000		17,795			03/16/2022		(4,340	)
CITG	2.000%			(4)	PLN		4,000,000		7,634			03/16/2022		10,307
CITG	2.000%			(4)	PLN		5,000,000		26,169			03/16/2022		(3,744	)
CITG	(5)		2.000	%	SGD		3,000,000		13,625			03/16/2022		(61,356	)
CITG	(5)		2.000	%	SGD		1,000,000		7,000			03/16/2022		(22,911	)
CITG	(5)		2.000	%	SGD		1,000,000		(10,214	)		03/16/2022		(5,697	)
CITG	(5)		2.000	%	SGD		1,000,000		(8,517	)		03/16/2022		(7,394	)
CITG	(5)		2.000	%	SGD		1,000,000		(10,208	)		03/16/2022		(5,703	)
CITG	(5)		2.000	%	SGD		13,000,000		40,935			03/16/2022		(247,773	)
CITG	(5)		2.000	%	SGD		14,000,000		121,318			03/16/2022		(344,066	)
CITG	(5)		2.000	%	SGD		9,000,000		66,884			03/16/2022		(210,079	)
CITG	(5)		2.000	%	SGD		8,000,000		60,022			03/16/2022		(187,307	)

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

AQR Funds Annual Report December 2016

214

Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CITG	(5)		2.000	%	SGD		2,000,000		$ 16,593			03/16/2022		$ (48,415	)
CITG	(5)		2.000	%	SGD		1,000,000		(8,133	)		03/16/2022		(7,778	)
CITG	(5)		2.000	%	SGD		8,000,000		60,335			03/16/2022		(187,620	)
CITG	(5)		2.000	%	SGD		1,000,000		(12,825	)		03/16/2022		(3,086	)
CITG	(5)		2.000	%	SGD		1,000,000		(7,430	)		03/16/2022		(8,481	)
CITG	2.000%			(5)	SGD		3,000,000		(10,667	)		03/16/2022		58,399
CITG	2.000%			(5)	SGD		2,000,000		15,425			03/16/2022		16,396
CITG	2.000%			(5)	SGD		2,000,000		(11,596	)		03/16/2022		43,417
CITG	2.000%			(5)	SGD		1,000,000		10,156			03/16/2022		5,754
CITG	2.000%			(5)	SGD		1,000,000		13,190			03/16/2022		2,721
CITG	2.000%			(5)	SGD		2,000,000		19,457			03/16/2022		12,364
CITG	2.000%			(5)	SGD		1,000,000		10,062			03/16/2022		5,848
CITG	2.000%			(5)	SGD		2,000,000		20,656			03/16/2022		11,165
CITG	2.000%			(5)	SGD		2,000,000		16,120			03/16/2022		15,701
CITG	2.000%			(5)	SGD		2,000,000		25,389			03/16/2022		6,433
CITG	2.000%			(5)	SGD		1,000,000		(1,794	)		03/16/2022		17,705
CITG	(6)		8.000	%	ZAR		10,000,000		3,947			03/16/2022		(132	)
CITG	(6)		8.000	%	ZAR		10,000,000		3,502			03/16/2022		312
CITG	(6)		8.000	%	ZAR		50,000,000		(8,470	)		03/16/2022		27,541
CITG	(6)		8.000	%	ZAR		10,000,000		(1,877	)		03/16/2022		5,691
CITG	(6)		8.000	%	ZAR		40,000,000		(6,587	)		03/16/2022		21,844
CITG	(6)		8.000	%	ZAR		10,000,000		(1,002	)		03/16/2022		4,816
CITG	(6)		8.000	%	ZAR		60,000,000		(9,875	)		03/16/2022		32,760
CITG	(6)		8.000	%	ZAR		70,000,000		(11,437	)		03/16/2022		38,137
CITG	(6)		8.000	%	ZAR		50,000,000		(8,264	)		03/16/2022		27,335
CITG	(6)		8.000	%	ZAR		60,000,000		(9,989	)		03/16/2022		32,874
CITG	8.000%			(6)	ZAR		10,000,000		3,500			03/16/2022		(7,314	)
CITG	8.000%			(6)	ZAR		10,000,000		4,556			03/16/2022		(8,371	)
CITG	8.000%			(6)	ZAR		20,000,000		13,822			03/16/2022		(21,451	)
CITG	8.000%			(6)	ZAR		10,000,000		3,426			03/16/2022		(7,240	)
CITG	8.000%			(6)	ZAR		30,000,000		(22,115	)		03/16/2022		10,672
CITG	8.000%			(6)	ZAR		10,000,000		(4,671	)		03/16/2022		857
CITG	8.000%			(6)	ZAR		20,000,000		13,994			03/16/2022		(21,623	)
CITG	8.000%			(6)	ZAR		10,000,000		223			03/16/2022		(4,037	)
									$393,022					$(2,507,822	)

Forward effective Interest rate swap contracts outstanding as of December 31, 2016:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Over the Counter
CITI	(7)		1.255	%	KRW*		8,000,000,000		$—		03/16/2022		$(137,530	)
CITI	(7)		1.318	%	KRW*		13,000,000,000		—		03/16/2022		(191,313	)
CITI	(7)		1.335	%	KRW*		13,000,000,000		—		03/16/2022		(182,304	)
CITI	(7)		1.355	%	KRW*		1,000,000,000		—		03/16/2022		(13,231	)
CITI	(7)		1.393	%	KRW*		2,000,000,000		—		03/16/2022		(23,453	)
CITI	(7)		1.683	%	KRW*		1,000,000,000		—		03/16/2022		(263	)
CITI	(7)		1.683	%	KRW*		1,000,000,000		—		03/16/2022		(263	)
CITI	(7)		1.690	%	KRW*		1,000,000,000		—		03/16/2022		34

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

AQR Funds Annual Report December 2016

215

Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Over the Counter (continued)
CITI	(7)		1.720	%	KRW*		1,000,000,000		$ —		03/16/2022		$ 1,222
CITI	(7)		1.720	%	KRW*		1,000,000,000		—		03/16/2022		1,222
CITI	(7)		1.274	%	KRW*		9,000,000,000		—		03/16/2022		(147,950	)
CITI	1.340%			(7)	KRW*		1,000,000,000		—		03/16/2022		13,825
CITI	1.397%			(7)	KRW*		1,000,000,000		—		03/16/2022		11,568
CITI	1.490%			(7)	KRW*		2,000,000,000		—		03/16/2022		15,772
CITI	1.635%			(7)	KRW*		2,000,000,000		—		03/16/2022		4,288
CITI	1.665%			(7)	KRW*		1,000,000,000		—		03/16/2022		956
CITI	1.665%			(7)	KRW*		1,000,000,000		—		03/16/2022		956
CITI	1.668%			(7)	KRW*		1,000,000,000		—		03/16/2022		857
CITI	1.670%			(7)	KRW*		2,000,000,000		—		03/16/2022		1,516
CITI	1.675%			(7)	KRW*		2,000,000,000		—		03/16/2022		1,120
CITI	1.695%			(7)	KRW*		1,000,000,000		—		03/16/2022		(232	)
									$—				$(643,203	)

* Non-deliverable swap (See Note 4).

(1) 6 Month Prague Interbank Offered Rate

(2) 3 Month Hong Kong Interbank Offered Rate

(3) 6 Month Budapest Interbank Offered Rate

(4) 6 Month Warsaw Interbank Offered Rate

(5) 6 Month Singapore Interbank Offered Rate

(6) 3 Month Johannesburg Interbank Agreed Rate

(7) 3 Month Korean Certificate of Deposit

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MSCS	Bovespa Index February Futures	02/2017	BRL		7,650,446			$(2,029	)
CITI	Coffee ‘C’ March Futures^	02/2017	USD		697,612			(80,887	)
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		415,399			(55,643	)
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		232,830			(27,255	)
CITI	Corn March Futures^	02/2017	USD		956,158			(23,358	)
SOCG	Corn March Futures^	02/2017	USD		1,677,600			(5,600	)
MACQ	Corn March Futures^	02/2017	USD		1,254,254			(4,654	)
MLIN	Corn March Futures^	03/2017	USD		625,912			(9,912	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		(169,720	)		(2,335	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		1,610,780			49,495
SOCG	Cotton No. 2 March Futures^	02/2017	USD		342,382			10,868
SOCG	Cotton No. 2 March Futures^	02/2017	USD		(67,923	)		1,163
BANA	Hang Seng Index January Futures	01/2017	HKD		8,627,388			20,296
GSIN	Hang Seng Index January Futures	01/2017	HKD		1,081,510			2,139
JPMC	Hang Seng Index January Futures	01/2017	HKD		4,305,543			11,198
MSCS	Hang Seng Index January Futures	01/2017	HKD		5,400,258			11,636
SOCG	Hard Red Winter Wheat March Futures^	02/2017	USD		63,011			(236	)
BANA	H-SHARES Index January Futures	01/2017	HKD		39,995,196			108,640
GSIN	H-SHARES Index January Futures	01/2017	HKD		16,565,764			42,890
JPMC	H-SHARES Index January Futures	01/2017	HKD		3,652,730			13,210
MSCS	H-SHARES Index January Futures	01/2017	HKD		13,783,983			38,423

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

AQR Funds Annual Report December 2016

216

Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
JPMC	KOSPI Index 200 March Futures	03/2017		KRW		126,320,800			$ 3,167
MSCS	KOSPI Index 200 March Futures	03/2017		KRW		4,025,414,350			115,731
SOCG	Lean Hogs February Futures^	02/2017		USD		449,246			106,414
GSIN	Lean Hogs February Futures^	02/2017		USD		147,764			10,996
MACQ	Lean Hogs February Futures^	02/2017		USD		(302,370	)		(70,242	)
MACQ	Lean Hogs February Futures^	02/2017		USD		725,059			148,121
MLIN	Lean Hogs February Futures^	02/2017		USD		517,440			117,600
SOCG	Live Cattle February Futures^	02/2017		USD		84,178			8,662
MACQ	Live Cattle February Futures^	02/2017		USD		42,175			4,245
MLIN	Live Cattle February Futures^	02/2017		USD		1,602,240			161,720
BANA	MSCI Taiwan Stock Index January Futures	01/2017		USD		780,005			10,735
GSIN	MSCI Taiwan Stock Index January Futures	01/2017		USD		1,938,518			21,142
JPMC	MSCI Taiwan Stock Index January Futures	01/2017		USD		101,861			1,279
MSCS	MSCI Taiwan Stock Index January Futures	01/2017		USD		2,317,257			20,583
BANA	SGX S&P CNX Nifty Index January Futures	01/2017		USD		366,361			10,126
MSCS	SGX S&P CNX Nifty Index January Futures	01/2017		USD		371,917			4,570
CITI	Soybean March Futures^	02/2017		USD		100,249			151
SOCG	Soybean March Futures^	02/2017		USD		2,562,833			(2,633	)
MACQ	Soybean March Futures^	02/2017		USD		403,137			(1,537	)
MLIN	Soybean March Futures^	03/2017		USD		2,060,662			(2,462	)
CITI	Soybean Meal March Futures^	02/2017		USD		126,094			546
MACQ	Soybean Meal March Futures^	02/2017		USD		63,038			282
CITI	Soybean Oil March Futures^	02/2017		USD		114,042			(10,063	)
SOCG	Soybean Oil March Futures^	02/2017		USD		1,138,260			(98,460	)
MACQ	Soybean Oil March Futures^	02/2017		USD		227,366			(19,406	)
MLIN	Soybean Oil March Futures^	03/2017		USD		68,532			(6,144	)
MSCS	Swiss Market Index March Futures	03/2017		CHF		1,036,998			24,881
BANA	Taiwan Stock Exchange January Futures	01/2017		TWD		16,654,231			539
MSCS	Taiwan Stock Exchange January Futures	01/2017		TWD		25,953,869			(734	)
MACQ	Wheat March Futures^	02/2017		USD		338,928			(12,528	)
MACQ	Wheat March Futures^	02/2017		USD		(338,928	)		16,117
MLIN	Wheat March Futures^	03/2017		USD		20,850			(450	)
MLIN	Wheat March Futures^	03/2017		USD		(20,850	)		1,388
									$662,385

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

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
240	GSCO	Brent Crude Futures^		02/2017		$13,417,616		$13,797,600		$379,984
6	MSCL	Cocoa Futures^		03/2017		163,731		127,560		(36,171	)
20	MSCL	Coffee ‘C’ Futures^		03/2017		1,159,637		1,027,875		(131,762	)
52	MSCL	Corn Futures^		03/2017		934,836		915,200		(19,636	)
2	MSCL	Cotton No. 2 Futures^		03/2017		71,357		70,650		(707	)
5	MSCL	Feeder Cattle Futures^		03/2017		288,567		312,750		24,183
72	GSCO	Gas Oil Futures^		03/2017		3,527,120		3,654,000		126,880
84	MSCL	Gasoline RBOB Futures^		02/2017		5,545,252		5,949,619		404,367
87	MSCL	Gold 100 OZ Futures^		02/2017		11,195,553		10,019,790		(1,175,763	)

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

AQR Funds Annual Report December 2016

217

Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
5	MSCL	Hard Red Winter Wheat Futures^		03/2017		$ 105,402		$ 104,625		$ (777	)
36	MSCL	Heating Oil ULSD Futures^		02/2017		2,513,286		2,627,856		114,570
5	MSCL	Lean Hogs Futures^		02/2017		118,946		132,300		13,354
31	MSCL	Live Cattle Futures^		02/2017		1,333,843		1,439,020		105,177
4	JPPC	LME Aluminum Futures^		01/2017		168,405		169,800		1,395
1	JPPC	LME Aluminum Futures^		01/2017		40,677		42,325		1,648
3	JPPC	LME Aluminum Futures^		01/2017		121,160		126,964		5,804
8	JPPC	LME Aluminum Futures^		01/2017		336,020		338,464		2,444
4	JPPC	LME Aluminum Futures^		01/2017		168,310		169,218		908
3	JPPC	LME Aluminum Futures^		02/2017		129,835		126,883		(2,952	)
3	JPPC	LME Aluminum Futures^		02/2017		129,654		126,863		(2,791	)
6	JPPC	LME Aluminum Futures^		02/2017		265,515		253,608		(11,907	)
13	JPPC	LME Aluminum Futures^		02/2017		567,482		549,383		(18,099	)
1	JPPC	LME Aluminum Futures^		02/2017		42,852		42,250		(602	)
13	JPPC	LME Aluminum Futures^		02/2017		549,282		549,169		(113	)
5	JPPC	LME Aluminum Futures^		03/2017		215,337		211,518		(3,819	)
6	JPPC	LME Aluminum Futures^		03/2017		257,365		253,972		(3,393	)
2	JPPC	LME Aluminum Futures^		03/2017		86,255		84,678		(1,577	)
4	JPPC	LME Aluminum Futures^		03/2017		174,401		169,375		(5,026	)
3	JPPC	LME Aluminum Futures^		03/2017		130,799		126,994		(3,805	)
224	JPPC	LME Aluminum Futures^		03/2017		9,499,328		9,479,400		(19,928	)
16	JPPC	LME Aluminum Futures^		03/2017		694,649		677,200		(17,449	)
3	JPPC	LME Aluminum Futures^		03/2017		127,519		126,972		(547	)
4	JPPC	LME Copper Futures^		01/2017		466,188		552,475		86,287
1	JPPC	LME Copper Futures^		01/2017		116,118		138,127		22,009
3	JPPC	LME Copper Futures^		02/2017		434,016		414,840		(19,176	)
14	JPPC	LME Copper Futures^		02/2017		1,961,159		1,935,696		(25,463	)
4	JPPC	LME Copper Futures^		02/2017		547,641		553,000		5,359
1	JPPC	LME Copper Futures^		03/2017		143,677		138,322		(5,355	)
55	JPPC	LME Copper Futures^		03/2017		7,028,753		7,610,281		581,528
1	JPPC	LME Lead Futures^		01/2017		51,052		50,003		(1,049	)
1	JPPC	LME Lead Futures^		01/2017		50,252		50,056		(196	)
1	JPPC	LME Lead Futures^		01/2017		49,321		50,091		770
3	JPPC	LME Lead Futures^		01/2017		154,468		150,348		(4,120	)
1	JPPC	LME Lead Futures^		01/2017		51,643		50,120		(1,523	)
1	JPPC	LME Lead Futures^		02/2017		52,007		50,145		(1,862	)
2	JPPC	LME Lead Futures^		02/2017		108,480		100,340		(8,140	)
5	JPPC	LME Lead Futures^		02/2017		272,515		250,920		(21,595	)
3	JPPC	LME Lead Futures^		02/2017		162,007		150,586		(11,421	)
1	JPPC	LME Lead Futures^		03/2017		59,527		50,243		(9,284	)
1	JPPC	LME Lead Futures^		03/2017		57,803		50,276		(7,527	)
29	JPPC	LME Lead Futures^		03/2017		1,516,119		1,458,700		(57,419	)
1	JPPC	LME Lead Futures^		03/2017		58,452		50,296		(8,156	)
1	JPPC	LME Lead Futures^		03/2017		51,040		50,406		(634	)
2	JPPC	LME Nickel Futures^		01/2017		122,047		119,587		(2,460	)
1	JPPC	LME Nickel Futures^		01/2017		61,803		59,854		(1,949	)
1	JPPC	LME Nickel Futures^		02/2017		62,763		59,912		(2,851	)
1	JPPC	LME Nickel Futures^		02/2017		70,111		59,938		(10,173	)
5	JPPC	LME Nickel Futures^		02/2017		335,712		299,771		(35,941	)
1	JPPC	LME Nickel Futures^		02/2017		67,863		59,966		(7,897	)
1	JPPC	LME Nickel Futures^		03/2017		68,090		60,039		(8,051	)
34	JPPC	LME Nickel Futures^		03/2017		2,147,452		2,042,244		(105,208	)
3	JPPC	LME Zinc Futures^		01/2017		176,412		192,284		15,872
1	JPPC	LME Zinc Futures^		02/2017		61,827		64,162		2,335
1	JPPC	LME Zinc Futures^		02/2017		64,753		64,203		(550	)
2	JPPC	LME Zinc Futures^		03/2017		136,205		128,519		(7,686	)

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

AQR Funds Annual Report December 2016

218

Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	JPPC	LME Zinc Futures^		03/2017		$ 67,927			$ 64,303			$ (3,624	)
1	JPPC	LME Zinc Futures^		03/2017		71,302			64,312			(6,990	)
39	JPPC	LME Zinc Futures^		03/2017		2,283,622			2,509,650			226,028
2	JPPC	LME Zinc Futures^		03/2017		129,464			128,747			(717	)
2	JPPC	LME Zinc Futures^		03/2017		127,437			128,793			1,356
44	MSCL	Natural Gas Futures^		02/2017		1,604,767			1,620,960			16,193
56	MSCL	Silver Futures^		03/2017		5,084,119			4,476,920			(607,199	)
41	MSCL	Soybean Futures^		03/2017		2,071,959			2,058,200			(13,759	)
26	MSCL	Soybean Meal Futures^		03/2017		826,643			823,160			(3,483	)
28	MSCL	Soybean Oil Futures^		03/2017		635,992			582,288			(53,704	)
137	MSCL	Sugar #11 (World Markets) Futures^		02/2017		3,113,489			2,993,615			(119,874	)
42	MSCL	Wheat Futures^		03/2017		883,617			856,800			(26,817	)
190	MSCL	WTI Crude Futures^		02/2017		10,010,854			10,385,400			374,546
22	BARC	Amsterdam Index Futures		01/2017		2,209,139			2,237,555			28,416
74	BARC	CAC40 Index Futures		01/2017		3,719,935			3,788,087			68,152
24	BARC	DAX Index Futures		03/2017		7,121,385			7,241,180			119,795
77	BARC	E-Mini Russell 2000 Futures		03/2017		5,316,234			5,224,065			(92,169	)
276	BARC	Euro Stoxx 50 Index Futures		03/2017		9,333,554			9,520,714			187,160
134	BARC	FTSE 100 Index Futures		03/2017		11,369,806			11,642,482			272,676
13	JPMS	FTSE/JSE Top 40 Index Futures		03/2017		421,512			419,389			(2,123	)
20	BARC	Hang Seng Index Futures		01/2017		2,785,051			2,832,162			47,111
5	BARC	H-SHARES Index Futures		01/2017		297,496			302,663			5,167
1	BARC	IBEX 35 Index Futures		01/2017		97,976			98,038			62
5	BARC	MSCI Taiwan Stock Index Futures		01/2017		171,462			171,900			438
627	BARC	S&P 500 E-Mini Futures		03/2017		70,539,392			70,104,870			(434,522	)
39	BARC	S&P MID 400 E-Mini Futures		03/2017		6,576,746			6,470,490			(106,256	)
6	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		801,607			801,609			2
41	BARC	SGX S&P CNX Nifty Index Futures		01/2017		656,805			671,129			14,324
21	BARC	SPI 200 Index Futures		03/2017		2,091,711			2,133,396			41,685
100	BARC	TOPIX Index Futures		03/2017		12,702,453			12,988,235			285,782
5	JPMS	Australia 10-Year Bond Futures		03/2017		458,958			460,927			1,969
32	GSCO	Canadian 10-Year Bond Futures		03/2017		3,310,868			3,277,816			(33,052	)
402	GSCO	Euro-Bund Futures		03/2017		68,785,897			69,462,583			676,686
1,221	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		152,455,897			151,747,407			(708,490	)
						458,982,343			459,209,476			227,133
Short Contracts:
4	JPPC	LME Aluminum Futures^		01/2017		$(168,090	)		$(169,800	)		$(1,710	)
1	JPPC	LME Aluminum Futures^		01/2017		(40,623	)		(42,325	)		(1,702	)
3	JPPC	LME Aluminum Futures^		01/2017		(121,193	)		(126,965	)		(5,772	)
8	JPPC	LME Aluminum Futures^		01/2017		(335,567	)		(338,464	)		(2,897	)
4	JPPC	LME Aluminum Futures^		01/2017		(168,466	)		(169,218	)		(752	)
3	JPPC	LME Aluminum Futures^		02/2017		(130,454	)		(126,883	)		3,571
3	JPPC	LME Aluminum Futures^		02/2017		(129,330	)		(126,862	)		2,468
6	JPPC	LME Aluminum Futures^		02/2017		(265,401	)		(253,608	)		11,793
13	JPPC	LME Aluminum Futures^		02/2017		(568,220	)		(549,383	)		18,837
1	JPPC	LME Aluminum Futures^		02/2017		(42,715	)		(42,250	)		465
13	JPPC	LME Aluminum Futures^		02/2017		(549,071	)		(549,168	)		(97	)
5	JPPC	LME Aluminum Futures^		03/2017		(215,220	)		(211,519	)		3,701
6	JPPC	LME Aluminum Futures^		03/2017		(258,372	)		(253,973	)		4,399
2	JPPC	LME Aluminum Futures^		03/2017		(86,088	)		(84,677	)		1,411
4	JPPC	LME Aluminum Futures^		03/2017		(173,990	)		(169,375	)		4,615
3	JPPC	LME Aluminum Futures^		03/2017		(130,193	)		(126,994	)		3,199

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

AQR Funds Annual Report December 2016

219

Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
61	JPPC	LME Aluminum Futures^		03/2017		$ (2,618,228	)		$ (2,581,444	)		$ 36,784
16	JPPC	LME Aluminum Futures^		03/2017		(697,561	)		(677,200	)		20,361
3	JPPC	LME Aluminum Futures^		03/2017		(126,974	)		(126,972	)		2
4	JPPC	LME Copper Futures^		01/2017		(466,988	)		(552,475	)		(85,487	)
1	JPPC	LME Copper Futures^		01/2017		(115,898	)		(138,127	)		(22,229	)
3	JPPC	LME Copper Futures^		02/2017		(443,843	)		(414,840	)		29,003
14	JPPC	LME Copper Futures^		02/2017		(1,956,466	)		(1,935,696	)		20,770
4	JPPC	LME Copper Futures^		02/2017		(546,490	)		(553,000	)		(6,510	)
1	JPPC	LME Copper Futures^		03/2017		(143,589	)		(138,323	)		5,266
1	JPPC	LME Copper Futures^		03/2017		(143,698	)		(138,369	)		5,329
1	JPPC	LME Lead Futures^		01/2017		(51,068	)		(50,003	)		1,065
1	JPPC	LME Lead Futures^		01/2017		(50,317	)		(50,056	)		261
1	JPPC	LME Lead Futures^		01/2017		(49,574	)		(50,091	)		(517	)
3	JPPC	LME Lead Futures^		01/2017		(154,418	)		(150,348	)		4,070
1	JPPC	LME Lead Futures^		01/2017		(51,823	)		(50,120	)		1,703
1	JPPC	LME Lead Futures^		02/2017		(51,898	)		(50,145	)		1,753
2	JPPC	LME Lead Futures^		02/2017		(108,295	)		(100,339	)		7,956
5	JPPC	LME Lead Futures^		02/2017		(271,221	)		(250,920	)		20,301
3	JPPC	LME Lead Futures^		02/2017		(162,500	)		(150,587	)		11,913
1	JPPC	LME Lead Futures^		03/2017		(59,284	)		(50,244	)		9,040
1	JPPC	LME Lead Futures^		03/2017		(57,473	)		(50,276	)		7,197
13	JPPC	LME Lead Futures^		03/2017		(703,839	)		(653,900	)		49,939
1	JPPC	LME Lead Futures^		03/2017		(58,562	)		(50,296	)		8,266
1	JPPC	LME Lead Futures^		03/2017		(50,010	)		(50,406	)		(396	)
2	JPPC	LME Nickel Futures^		01/2017		(121,986	)		(119,587	)		2,399
1	JPPC	LME Nickel Futures^		01/2017		(61,599	)		(59,854	)		1,745
1	JPPC	LME Nickel Futures^		02/2017		(62,748	)		(59,911	)		2,837
1	JPPC	LME Nickel Futures^		02/2017		(70,558	)		(59,939	)		10,619
5	JPPC	LME Nickel Futures^		02/2017		(335,909	)		(299,770	)		36,139
1	JPPC	LME Nickel Futures^		02/2017		(67,631	)		(59,966	)		7,665
1	JPPC	LME Nickel Futures^		03/2017		(68,608	)		(60,039	)		8,569
8	JPPC	LME Nickel Futures^		03/2017		(528,838	)		(480,528	)		48,310
3	JPPC	LME Zinc Futures^		01/2017		(176,693	)		(192,285	)		(15,592	)
1	JPPC	LME Zinc Futures^		02/2017		(61,481	)		(64,163	)		(2,682	)
1	JPPC	LME Zinc Futures^		02/2017		(64,224	)		(64,202	)		22
2	JPPC	LME Zinc Futures^		03/2017		(137,104	)		(128,519	)		8,585
1	JPPC	LME Zinc Futures^		03/2017		(68,476	)		(64,303	)		4,173
1	JPPC	LME Zinc Futures^		03/2017		(70,529	)		(64,313	)		6,216
6	JPPC	LME Zinc Futures^		03/2017		(402,406	)		(386,100	)		16,306
2	JPPC	LME Zinc Futures^		03/2017		(128,195	)		(128,746	)		(551	)
2	JPPC	LME Zinc Futures^		03/2017		(128,095	)		(128,793	)		(698	)
						(15,078,090	)		(14,776,659	)		301,431
						$443,904,253			$444,432,817			$528,564

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

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

AQR Funds Annual Report December 2016

220

Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		19,694,800		$5,624,063		$5,934,183		$310,120
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		27,280,200		7,773,048		8,219,719		446,671
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		10,137,800		1,450,327		1,426,459		(23,868	)
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		10,780,200		1,545,589		1,516,849		(28,740	)
Euro, Expiring 03/15/17	CITI	EUR		931,600		1,000,879		984,105		(16,774	)
Euro, Expiring 03/15/17	JPMC	EUR		1,397,400		1,500,885		1,476,157		(24,728	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		1,092,878,800		3,728,768		3,726,874		(1,894	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		1,639,318,200		5,593,170		5,590,311		(2,859	)
Indian Rupee, Expiring 03/15/17*	CITI	INR		257,897,400		3,770,496		3,770,074		(422	)
Indian Rupee, Expiring 03/15/17*	JPMC	INR		280,536,600		4,093,287		4,101,026		7,739
Korean Won, Expiring 03/15/17*	CITI	KRW		4,445,700,400		3,804,740		3,681,176		(123,564	)
Korean Won, Expiring 03/15/17*	JPMC	KRW		6,061,947,599		5,186,869		5,019,482		(167,387	)
Mexican Peso, Expiring 03/15/17	CITI	MXN		100,075,400		4,788,744		4,782,480		(6,264	)
Mexican Peso, Expiring 03/15/17	JPMC	MXN		134,850,600		6,437,523		6,444,343		6,820
Poland Zloty, Expiring 03/15/17	CITI	PLN		12,536,000		2,971,750		2,992,019		20,269
Poland Zloty, Expiring 03/15/17	JPMC	PLN		18,804,000		4,457,601		4,488,030		30,429
Turkish Lira, Expiring 03/15/17	CITI	TRY		15,122,400		4,288,281		4,223,924		(64,357	)
Turkish Lira, Expiring 03/15/17	JPMC	TRY		21,567,600		6,119,989		6,024,170		(95,819	)
South African Rand, Expiring 03/15/17	CITI	ZAR		70,667,801		5,043,482		5,077,964		34,482
South African Rand, Expiring 03/15/17	JPMC	ZAR		92,257,201		6,575,596		6,629,310		53,714
						$85,755,087		$86,108,655		$353,568

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		(768,000	)		$(223,428	)		$(231,404	)		$(7,976	)
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		(1,152,000	)		(335,142	)		(347,106	)		(11,964	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		(114,400	)		(113,565	)		(112,841	)		724

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(162,600	)		$ (161,441	)		$ (160,385	)		$ 1,056
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		(128,000	)		(18,152	)		(18,010	)		142
Euro, Expiring 03/15/17	CITI	EUR		(33,588,122	)		(35,891,582	)		(35,481,146	)		410,436
Euro, Expiring 03/15/17	JPMC	EUR		(47,289,181	)		(50,608,315	)		(49,954,398	)		653,917
British Pound, Expiring 03/15/17	CITI	GBP		(6,052,612	)		(7,600,471	)		(7,472,272	)		128,199
British Pound, Expiring 03/15/17	JPMC	GBP		(9,078,916	)		(11,400,689	)		(11,208,406	)		192,283
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(6,310,600	)		(813,676	)		(814,026	)		(350	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		(1,382,400	)		(178,386	)		(178,320	)		66
Hungarian Forint, Expiring 03/16/17	CITI	HUF		(428,404,000	)		(1,453,656	)		(1,460,920	)		(7,264	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		(415,962,000	)		(1,411,748	)		(1,418,489	)		(6,741	)
Indian Rupee, Expiring 03/15/17*	CITI	INR		(32,785,200	)		(476,909	)		(479,270	)		(2,361	)
Indian Rupee, Expiring 03/15/17*	JPMC	INR		(49,177,800	)		(715,361	)		(718,906	)		(3,545	)
Korean Won, Expiring 03/15/17*	CITI	KRW		(113,573,600	)		(94,747	)		(94,042	)		705
Korean Won, Expiring 03/15/17*	JPMC	KRW		(170,360,400	)		(142,119	)		(141,064	)		1,055
Mexican Peso, Expiring 03/15/17	CITI	MXN		(2,740,000	)		(132,726	)		(130,941	)		1,785
Mexican Peso, Expiring 03/15/17	JPMC	MXN		(4,110,000	)		(199,088	)		(196,412	)		2,676
Poland Zloty, Expiring 03/15/17	CITI	PLN		(3,988,200	)		(951,654	)		(951,880	)		(226	)
Poland Zloty, Expiring 03/15/17	JPMC	PLN		(4,777,800	)		(1,140,134	)		(1,140,337	)		(203	)
Turkish Lira, Expiring 03/15/17	CITI	TRY		(2,033,200	)		(573,779	)		(567,905	)		5,874
Turkish Lira, Expiring 03/15/17	JPMC	TRY		(3,049,800	)		(861,406	)		(851,857	)		9,549
							(115,498,174	)		(114,130,337	)		1,367,837
							$(29,743,087	)		$(28,021,682	)		$1,721,405

* Non-deliverable forward (See Note 4).

BRL - Brazilian Real

CHF - Swiss Franc

CNY - Chinese Renminbi

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

INR - Indian Rupee

KRW - Korean Won

MXN - Mexican Peso

PLN - Poland Zloty

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Investment Companies		$160,000		$—			$160,000
BARC
Cash		—		6,046,154			6,046,154
CITG
Cash		—		4,045,880			4,045,880
CITI
Investment Companies		1,260,793		—			1,260,793
GSCO
Cash		—		(839,823	)		(839,823	)
U.S. Treasury Inflation Protected Securities		—		1,168,686			1,168,686
GSIN
Investment Companies		530,156		—			530,156
JPMC
Investment Companies		7,800,000		—			7,800,000
JPMS
Cash		—		22,029			22,029
MSCL
Cash		—		1,129,263			1,129,263
U.S. Treasury Inflation Protected Securities		—		2,011,525			2,011,525
MSCS
Investment Companies		1,744,282		—			1,744,282

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$320,275		$—		$320,275
GSCO
Cash		—		661,665		661,665
JPPC
Cash		—		1,073,411		1,073,411
MACQ
Investment Companies		80,376		—		80,376
MLIN
Investment Companies		60,577		—		60,577
MSCL
Cash		—		3,951,856		3,951,856
SOCG
Investment Companies		300,722		—		300,722

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY II HV FUND

INVESTMENTS		PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 23.8%
Deutsche Bundesrepublik Inflation Linked Bond
1.75%, 4/15/2020	EUR		1,498,842	$	1,751,027
0.10%, 4/15/2023	EUR		833,312		961,248
0.10%, 4/15/2026	EUR		1,926,277		2,272,885
France Government Bond OAT
2.25%, 7/25/2020	EUR		1,350,327		1,619,432
0.10%, 7/25/2021	EUR		405,448		457,524
1.10%, 7/25/2022	EUR		545,635		651,517
0.25%, 7/25/2024	EUR		613,158		708,061
0.10%, 3/1/2025	EUR		602,982		686,214
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP		1,573,214		2,280,381
0.13%, 3/22/2026	GBP		1,230,684		1,831,701
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $13,852,662)					13,219,990
U.S. TREASURY OBLIGATIONS - 32.7%
U.S. Treasury Inflation Protected Securities
0.13%, 4/15/2020 (a)	$		4,720,000		4,922,747
0.13%, 4/15/2021 (a)			5,460,000		5,600,633
0.38%, 7/15/2025			1,990,000		2,017,468
0.63%, 1/15/2026			2,700,000		2,770,911
0.13%, 7/15/2026			2,960,000		2,886,538
TOTAL U.S. TREASURY OBLIGATIONS (Cost $18,127,376)					18,198,297
SHORT-TERM INVESTMENTS - 59.2%
REPURCHASE AGREEMENTS - 5.9%
BNP Paribas, 0.60%, dated 12/29/2016, due 1/5/2017, repurchase price $1,350,533, collateralized by U.S. Treasury Inflation Indexed Note, 0.13%, due 4/15/2020			1,350,375		1,350,375
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.60%, dated 12/29/2016, due 1/5/2017, repurchase price $1,928,850, collateralized by U.S. Treasury Inflation Indexed Note, 0.13%, due 4/15/2019			1,928,625		1,928,625
TOTAL REPURCHASE AGREEMENTS (Cost $3,279,000)					3,279,000
		SHARES
INVESTMENT COMPANIES - 36.7%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36%(b)(c)			240,354		240,354
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (b)(c)			961,416		961,416

INVESTMENTS	SHARES		VALUE
INVESTMENT COMPANIES - 36.7% (continued)
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (b)(c)(d)		17,339,287	$	17,339,287
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (b)(c)(d)		620,336		620,336
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (b)(c)		1,201,770		1,201,770
TOTAL INVESTMENT COMPANIES (Cost $20,363,163)				20,363,163
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 16.6%
U.S. Treasury Bills
0.43%, 1/26/2017 (c)(e)	$	3,535,000		3,534,049
0.40%, 2/2/2017 (e)		904,000		903,682
0.48%, 3/2/2017 (e)		2,162,000		2,160,314
0.63%, 5/18/2017 (c)(e)		2,631,000		2,625,022
TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,222,653)				9,223,067
TOTAL SHORT-TERM INVESTMENTS (Cost $32,864,816)				32,865,230
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 115.7% (Cost $64,844,854)				64,283,517
LIABILITIES IN EXCESS OF OTHER ASSETS - (15.7%) (f)			(8,737,518)
NET ASSETS - 100.0%			$55,545,999

(a) On 12/31/2016, securities valued at $10,523,380 were pledged as collateral for reverse repurchase agreements outstanding.

(b) Represents 7-day effective yield as of 12/31/2016.

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

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

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY II HV FUND

Reverse repurchase agreements at December 31, 2016:

Over the Counter

COUNTERPARTY	TRADE DATE		RATE			DUE DATE		PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT
BNP Paribas		12/6/2016		1.15	%		1/12/2017	$	6,208,125
Merrill Lynch, Pierce, Fenner & Smith, Inc.		12/6/2016		0.95	%		1/12/2017		5,419,712
Merrill Lynch, Pierce, Fenner & Smith, Inc.		12/7/2016		1.05	%		1/12/2017		1,016,250
Merrill Lynch, Pierce, Fenner & Smith, Inc.		12/8/2016		1.10	%		1/12/2017		203,500
Merrill Lynch, Pierce, Fenner & Smith, Inc.		12/12/2016		1.10	%		1/12/2017		813,000
								$	13,660,587

The weighted average daily balance of the reverse repurchase agreements during the year ended December 31, 2016 was $11,022,335 at a net weighted average interest rate of 0.592%

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Bovespa Index February Futures	02/2017	BRL		2,754,924			$(900	)
CITI	Coffee ‘C’ March Futures^	02/2017	USD		231,619			(26,044	)
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		177,496			(23,315	)
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		58,575			(7,181	)
CITI	Corn March Futures^	02/2017	USD		536,510			(8,510	)
SOCG	Corn March Futures^	02/2017	USD		317,782			(982	)
MACQ	Corn March Futures^	02/2017	USD		176,747			(747	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		307,667			10,258
CITI	Cotton No. 2 March Futures^	02/2017	USD		(33,818	)		(895	)
SOCG	Cotton No. 2 March Futures^	02/2017	USD		(34,086	)		581
SOCG	Cotton No. 2 March Futures^	02/2017	USD		137,286			4,014
MACQ	Cotton No. 2 March Futures^	02/2017	USD		34,915			410
BANA	Hang Seng Index January Futures	01/2017	HKD		2,158,239			4,895
GSIN	Hang Seng Index January Futures	01/2017	HKD		1,081,510			2,139
MACQ	Hard Red Winter Wheat March Futures^	02/2017	USD		21,049			(124	)
BANA	H-SHARES Index January Futures	01/2017	HKD		10,573,510			28,712
GSIN	H-SHARES Index January Futures	01/2017	HKD		9,663,362			25,019
BANA	KOSPI Index 200 March Futures	03/2017	KRW		498,983,000			18,047
GSIN	KOSPI Index 200 March Futures	03/2017	KRW		126,237,500			3,238
SOCG	Lean Hogs February Futures^	02/2017	USD		171,559			40,121
GSIN	Lean Hogs February Futures^	02/2017	USD		49,372			3,548
MACQ	Lean Hogs February Futures^	02/2017	USD		(86,447	)		(19,398	)
MACQ	Lean Hogs February Futures^	02/2017	USD		256,702			60,818
SOCG	Live Cattle February Futures^	02/2017	USD		84,545			8,295
MACQ	Live Cattle February Futures^	02/2017	USD		295,361			29,579
BANA	MSCI Taiwan Stock Index January Futures	01/2017	USD		67,825			935
GSIN	MSCI Taiwan Stock Index January Futures	01/2017	USD		1,190,502			12,798
GSIN	SGX S&P CNX Nifty Index January Futures	01/2017	USD		399,972			9,253
CITI	Soybean March Futures^	02/2017	USD		251,143			(142	)
SOCG	Soybean March Futures^	02/2017	USD		50,404			(204	)
MACQ	Soybean March Futures^	02/2017	USD		907,097			(3,497	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY II HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CITI	Soybean Meal March Futures^	02/2017		USD		94,570			$ 410
GSIN	Soybean Meal March Futures^	02/2017		USD		32,250			(590	)
CITI	Soybean Oil March Futures^	02/2017		USD		91,282			(8,098	)
SOCG	Soybean Oil March Futures^	02/2017		USD		341,321			(29,381	)
MACQ	Soybean Oil March Futures^	02/2017		USD		45,542			(3,949	)
GSIN	Swiss Market Index March Futures	03/2017		CHF		478,585			11,534
GSIN	Taiwan Stock Exchange January Futures	01/2017		TWD		11,098,782			445
CITI	Wheat March Futures^	02/2017		USD		(20,781	)		1,619
CITI	Wheat March Futures^	02/2017		USD		20,781			(381	)
MACQ	Wheat March Futures^	02/2017		USD		63,719			(2,519	)
MACQ	Wheat March Futures^	02/2017		USD		(63,719	)		4,599
									$144,410

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

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
61	GSCO	Brent Crude Futures^		02/2017		$3,413,613		$3,506,890		$93,277
1	MSCL	Cocoa Futures^		03/2017		27,288		21,260		(6,028	)
4	MSCL	Coffee ‘C’ Futures^		03/2017		233,400		205,575		(27,825	)
24	MSCL	Corn Futures^		03/2017		426,759		422,400		(4,359	)
1	MSCL	Cotton No. 2 Futures^		03/2017		35,727		35,325		(402	)
2	MSCL	Feeder Cattle Futures^		03/2017		115,427		125,100		9,673
19	GSCO	Gas Oil Futures^		03/2017		929,210		964,250		35,040
20	MSCL	Gasoline RBOB Futures^		02/2017		1,313,215		1,416,576		103,361
24	MSCL	Gold 100 OZ Futures^		02/2017		3,095,487		2,764,080		(331,407	)
2	MSCL	Hard Red Winter Wheat Futures^		03/2017		42,161		41,850		(311	)
11	MSCL	Heating Oil ULSD Futures^		02/2017		770,514		802,957		32,443
1	MSCL	Lean Hogs Futures^		02/2017		24,468		26,460		1,992
11	MSCL	Live Cattle Futures^		02/2017		467,471		510,620		43,149
1	JPPC	LME Aluminum Futures^		01/2017		42,101		42,450		349
1	JPPC	LME Aluminum Futures^		01/2017		40,387		42,322		1,935
2	JPPC	LME Aluminum Futures^		01/2017		84,155		84,609		454
1	JPPC	LME Aluminum Futures^		02/2017		44,252		42,268		(1,984	)
3	JPPC	LME Aluminum Futures^		02/2017		130,957		126,780		(4,177	)
1	JPPC	LME Aluminum Futures^		02/2017		42,852		42,250		(602	)
3	JPPC	LME Aluminum Futures^		02/2017		126,757		126,731		(26	)
3	JPPC	LME Aluminum Futures^		03/2017		129,207		126,911		(2,296	)
1	JPPC	LME Aluminum Futures^		03/2017		43,127		42,338		(789	)
1	JPPC	LME Aluminum Futures^		03/2017		43,600		42,332		(1,268	)
58	JPPC	LME Aluminum Futures^		03/2017		2,456,913		2,454,487		(2,426	)
4	JPPC	LME Aluminum Futures^		03/2017		173,662		169,300		(4,362	)
1	JPPC	LME Aluminum Futures^		03/2017		43,102		42,317		(785	)
1	JPPC	LME Aluminum Futures^		03/2017		42,506		42,324		(182	)
1	JPPC	LME Aluminum Futures^		03/2017		42,156		42,325		169
2	JPPC	LME Copper Futures^		01/2017		233,094		276,237		43,143
4	JPPC	LME Copper Futures^		02/2017		560,331		553,056		(7,275	)
1	JPPC	LME Copper Futures^		02/2017		136,910		138,250		1,340
16	JPPC	LME Copper Futures^		03/2017		2,014,217		2,213,900		199,683

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

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Consolidated Schedule of Investments December 31, 2016

AQR RISK PARITY II HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2	JPPC	LME Copper Futures^		03/2017		$ 274,506			$ 276,713			$ 2,207
1	JPPC	LME Lead Futures^		01/2017		49,321			50,091			770
1	JPPC	LME Lead Futures^		01/2017		51,643			50,120			(1,523	)
1	JPPC	LME Lead Futures^		02/2017		54,503			50,184			(4,319	)
1	JPPC	LME Lead Futures^		02/2017		54,003			50,196			(3,807	)
8	JPPC	LME Lead Futures^		03/2017		416,585			402,400			(14,185	)
1	JPPC	LME Nickel Futures^		01/2017		61,023			59,793			(1,230	)
2	JPPC	LME Nickel Futures^		02/2017		134,285			119,908			(14,377	)
1	JPPC	LME Nickel Futures^		02/2017		66,813			59,981			(6,832	)
10	JPPC	LME Nickel Futures^		03/2017		625,362			600,660			(24,702	)
1	JPPC	LME Nickel Futures^		03/2017		60,610			60,116			(494	)
1	JPPC	LME Zinc Futures^		03/2017		68,102			64,259			(3,843	)
10	JPPC	LME Zinc Futures^		03/2017		590,441			643,500			53,059
1	JPPC	LME Zinc Futures^		03/2017		65,601			64,367			(1,234	)
1	JPPC	LME Zinc Futures^		03/2017		63,719			64,397			678
12	MSCL	Natural Gas Futures^		02/2017		437,808			442,080			4,272
14	MSCL	Silver Futures^		03/2017		1,276,853			1,119,230			(157,623	)
13	MSCL	Soybean Futures^		03/2017		653,786			652,600			(1,186	)
7	MSCL	Soybean Meal Futures^		03/2017		221,839			221,620			(219	)
4	MSCL	Soybean Oil Futures^		03/2017		90,696			83,184			(7,512	)
37	MSCL	Sugar #11 (World Markets) Futures^		02/2017		841,306			808,494			(32,812	)
12	MSCL	Wheat Futures^		03/2017		251,485			244,800			(6,685	)
49	MSCL	WTI Crude Futures^		02/2017		2,577,309			2,678,340			101,031
4	BARC	Amsterdam Index Futures		01/2017		400,179			406,828			6,649
19	BARC	CAC40 Index Futures		01/2017		955,349			972,617			17,268
5	BARC	DAX Index Futures		03/2017		1,482,326			1,508,579			26,253
24	BARC	E-Mini Russell 2000 Futures		03/2017		1,656,728			1,628,280			(28,448	)
67	BARC	Euro Stoxx 50 Index Futures		03/2017		2,266,882			2,311,188			44,306
31	BARC	FTSE 100 Index Futures		03/2017		2,630,299			2,693,410			63,111
3	JPMS	FTSE/JSE Top 40 Index Futures		03/2017		97,188			96,782			(406	)
6	BARC	Hang Seng Index Futures		01/2017		834,469			849,649			15,180
1	BARC	IBEX 35 Index Futures		01/2017		98,418			98,037			(381	)
5	BARC	KOSPI Index 200 Futures		03/2017		521,649			538,273			16,624
159	BARC	S&P 500 E-Mini Futures		03/2017		17,893,264			17,777,790			(115,474	)
12	BARC	S&P MID 400 E-Mini Futures		03/2017		2,021,494			1,990,920			(30,574	)
4	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		534,373			534,406			33
4	BARC	SGX S&P CNX Nifty Index Futures		01/2017		64,091			65,476			1,385
5	BARC	SPI 200 Index Futures		03/2017		497,810			507,952			10,142
25	BARC	TOPIX Index Futures		03/2017		3,158,505			3,247,059			88,554
14	JPMS	Australia 10-Year Bond Futures		03/2017		1,284,055			1,290,595			6,540
23	GSCO	Canadian 10-Year Bond Futures		03/2017		2,380,388			2,355,930			(24,458	)
129	GSCO	Euro-Bund Futures		03/2017		22,069,351			22,290,232			220,881
368	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		45,935,903			45,735,500			(200,403	)
						133,095,346			133,261,066			165,720
Short Contracts:
1	JPPC	LME Aluminum Futures^		01/2017		$(42,023	)		$(42,450	)		$(427	)
1	JPPC	LME Aluminum Futures^		01/2017		(40,398	)		(42,322	)		(1,924	)
2	JPPC	LME Aluminum Futures^		01/2017		(84,233	)		(84,609	)		(376	)
1	JPPC	LME Aluminum Futures^		02/2017		(44,233	)		(42,267	)		1,966
3	JPPC	LME Aluminum Futures^		02/2017		(131,128	)		(126,781	)		4,347
1	JPPC	LME Aluminum Futures^		02/2017		(42,715	)		(42,250	)		465
3	JPPC	LME Aluminum Futures^		02/2017		(126,709	)		(126,731	)		(22	)

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

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Consolidated Schedule of Investments December 31, 2016

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
3	JPPC	LME Aluminum Futures^		03/2017		$ (129,132	)		$ (126,911	)		$ 2,221
1	JPPC	LME Aluminum Futures^		03/2017		(43,044	)		(42,339	)		705
1	JPPC	LME Aluminum Futures^		03/2017		(43,398	)		(42,332	)		1,066
17	JPPC	LME Aluminum Futures^		03/2017		(729,507	)		(719,419	)		10,088
4	JPPC	LME Aluminum Futures^		03/2017		(174,390	)		(169,300	)		5,090
1	JPPC	LME Aluminum Futures^		03/2017		(43,060	)		(42,317	)		743
1	JPPC	LME Aluminum Futures^		03/2017		(42,324	)		(42,324	)		—
1	JPPC	LME Aluminum Futures^		03/2017		(42,427	)		(42,325	)		102
2	JPPC	LME Copper Futures^		01/2017		(233,494	)		(276,237	)		(42,743	)
4	JPPC	LME Copper Futures^		02/2017		(558,990	)		(553,056	)		5,934
1	JPPC	LME Copper Futures^		02/2017		(136,622	)		(138,249	)		(1,627	)
2	JPPC	LME Copper Futures^		03/2017		(274,494	)		(276,737	)		(2,243	)
2	JPPC	LME Copper Futures^		03/2017		(274,337	)		(276,713	)		(2,376	)
1	JPPC	LME Lead Futures^		01/2017		(49,574	)		(50,091	)		(517	)
1	JPPC	LME Lead Futures^		01/2017		(51,823	)		(50,120	)		1,703
1	JPPC	LME Lead Futures^		02/2017		(54,244	)		(50,184	)		4,060
1	JPPC	LME Lead Futures^		02/2017		(54,167	)		(50,196	)		3,971
3	JPPC	LME Lead Futures^		03/2017		(158,123	)		(150,900	)		7,223
1	JPPC	LME Nickel Futures^		01/2017		(60,993	)		(59,793	)		1,200
2	JPPC	LME Nickel Futures^		02/2017		(134,364	)		(119,909	)		14,455
1	JPPC	LME Nickel Futures^		02/2017		(66,913	)		(59,981	)		6,932
3	JPPC	LME Nickel Futures^		03/2017		(201,308	)		(180,198	)		21,110
1	JPPC	LME Nickel Futures^		03/2017		(60,702	)		(60,116	)		586
1	JPPC	LME Zinc Futures^		03/2017		(68,552	)		(64,259	)		4,293
1	JPPC	LME Zinc Futures^		03/2017		(68,185	)		(64,350	)		3,835
1	JPPC	LME Zinc Futures^		03/2017		(64,773	)		(64,367	)		406
1	JPPC	LME Zinc Futures^		03/2017		(64,048	)		(64,397	)		(349	)
						(4,394,427	)		(4,344,530	)		49,897
						$128,700,919			$128,916,536			$215,617

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

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		199,000			$25,679			$25,670			$(9	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		243,000			31,357			31,345			(12	)
							$57,036			$57,015			$(21	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		(12,000	)		$(3,408	)		$(3,616	)		$(208	)
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		(18,000	)		(5,109	)		(5,423	)		(314	)

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

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Consolidated Schedule of Investments December 31, 2016

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 03/15/17	CITI	CHF		(17,600	)		$ (17,336	)		$ (17,359	)		$ (23	)
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(14,400	)		(14,297	)		(14,205	)		92
Euro, Expiring 03/15/17	CITI	EUR		(3,421,655	)		(3,666,368	)		(3,614,499	)		51,869
Euro, Expiring 03/15/17	JPMC	EUR		(5,132,482	)		(5,499,545	)		(5,421,748	)		77,797
British Pound, Expiring 03/15/17	CITI	GBP		(1,311,593	)		(1,647,104	)		(1,619,232	)		27,872
British Pound, Expiring 03/15/17	JPMC	GBP		(1,967,388	)		(2,470,652	)		(2,428,846	)		41,806
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(1,374,000	)		(177,144	)		(177,237	)		(93	)
							(13,500,963	)		(13,302,165	)		198,798
							$(13,443,927	)		$(13,245,150	)		$198,777

* Non-deliverable forward (See Note 4).

BRL - Brazilian Real

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

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

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Consolidated Schedule of Investments December 31, 2016

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Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—		$1,574,987		$1,574,987
BNPP
U.S. Treasury Inflation Protected Securities		4,922,747		—		4,922,747
CITI
Investment Companies		100,519		—		100,519
GSCO
Cash		—		134,154		134,154
GSIN
Investment Companies		620,336		—		620,336
JPMC
Cash		330,000		—		330,000
JPMS
Cash		—		28,755		28,755
MSCL
Cash		—		914,650		914,650
MPFS
U.S. Treasury Inflation Protected Securities		5,600,633		—		5,600,633

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$100,087		$—		$100,087
GSCO
Cash		—		159,811		159,811
JPPC
Cash		—		240,258		240,258
MSCL
Cash		—		1,016,887		1,016,887
SOCG
Investment Companies		110,071		—		110,071

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

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INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 14.7%
Deutsche Bundesrepublik Inflation Linked Bond
1.75%, 4/15/2020		EUR 1,432,717	$	1,673,776
0.10%, 4/15/2023		EUR 729,148		841,093
0.10%, 4/15/2026		EUR 1,824,894		2,153,259
France Government Bond OAT
2.25%, 7/25/2020		EUR 1,227,570		1,472,210
0.10%, 7/25/2021		EUR405,448		457,524
1.20%, 7/25/2022		EUR545,635		651,517
0.26%, 7/25/2024		EUR613,158		708,062
0.10%, 3/1/2025		EUR602,982		686,214
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024		GBP1,529,514		2,217,037
0.13%, 3/22/2026		GBP1,128,127		1,679,059
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $13,241,598)				12,539,751
U.S. TREASURY OBLIGATIONS - 20.7%
U.S. Treasury Inflation Protected Securities
0.13%, 4/15/2020 (a)		$        4,550,000		4,745,445
0.13%, 4/15/2021		5,360,000		5,498,057
0.13%, 7/15/2024		50,000		50,006
0.38%, 7/15/2025		1,910,000		1,936,364
0.63%, 1/15/2026		2,520,000		2,586,183
0.13%, 7/15/2026		2,850,000		2,779,268
TOTAL U.S. TREASURY OBLIGATIONS (Cost $17,498,493)				17,595,323
	SHARES
SHORT-TERM INVESTMENTS - 56.2%
INVESTMENT COMPANIES - 37.9%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (b)(c)		658,753		658,753
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (b)(c)		2,635,013		2,635,013
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (b)(c)(d)		25,078,854		25,078,854
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (b)(d)		580,336		580,336
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (b)(c)		3,293,767		3,293,767
TOTAL INVESTMENT COMPANIES (Cost $32,246,723)				32,246,723

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 18.3%
U.S. Treasury Bills
0.34%, 1/5/2017 (e)	$	1,184,000	$	1,183,976
0.43%, 1/26/2017 (c)(e)		5,468,000		5,466,529
0.40%, 2/2/2017 (c)(e)		3,467,000		3,465,780
0.48%, 3/2/2017 (c)(e)		2,384,000		2,382,141
0.42%, 3/30/2017 (e)		489,000		488,417
0.49%, 4/6/2017 (e)		2,653,000		2,649,389
TOTAL U.S. TREASURY OBLIGATIONS (Cost $15,636,303)				15,636,232
TOTAL SHORT-TERM INVESTMENTS (Cost $47,883,026)				47,882,955
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 91.6% (Cost $78,623,117)				78,018,029
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.4% (f)			7,121,710
NET ASSETS - 100.0%			$85,139,739

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

(b) Represents 7-day effective yield as of 12/31/2016.

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

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

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

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Consolidated Schedule of Investments December 31, 2016

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Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Bovespa Index January Futures	02/2017		BRL		2,138,781			$479
MACQ	Brent Crude February Futures^	03/2017		USD		54,705			2,785
MACQ	Brent Crude January Futures^	02/2017		USD		(47,905	)		(2,725	)
MACQ	Brent Crude January Futures^	02/2017		USD		47,905			8,915
CITI	Coffee ‘C’ March Futures^	02/2017		USD		290,203			(33,234	)
SOCG	Coffee ‘C’ March Futures^	02/2017		USD		56,876			(5,482	)
MACQ	Coffee ‘C’ March Futures^	02/2017		USD		58,178			(6,784	)
CITI	Corn March Futures^	02/2017		USD		628,135			(12,135	)
SOCG	Corn March Futures^	02/2017		USD		300,168			(968	)
MACQ	Corn March Futures^	02/2017		USD		300,697			(1,497	)
CITI	Cotton No. 2 March Futures^	02/2017		USD		(33,818	)		(895	)
CITI	Cotton No. 2 March Futures^	02/2017		USD		342,545			10,705
SOCG	Cotton No. 2 March Futures^	02/2017		USD		68,847			1,803
MACQ	Cotton No. 2 March Futures^	02/2017		USD		102,498			3,477
MACQ	Cotton No. 2 March Futures^	02/2017		USD		(34,075	)		125
SOCG	Gold 100 OZ February Futures^	01/2017		USD		127,770			(12,600	)
MACQ	Gold 100 OZ February Futures^	02/2017		USD		127,870			(12,700	)
BANA	Hang Seng Index January Futures	01/2017		HKD		1,076,335			2,806
GSIN	Hang Seng Index January Futures	01/2017		HKD		1,076,943			2,728
SOCG	Hard Red Winter Wheat March Futures^	02/2017		USD		21,004			(79	)
BANA	H-SHARES Index January Futures	01/2017		HKD		9,652,794			26,380
GSIN	H-SHARES Index January Futures	01/2017		HKD		11,043,842			28,593
BANA	KOSPI Index 200 January Futures	03/2017		KRW		1,122,711,750			40,606
SOCG	Lean Hogs February Futures^	02/2017		USD		149,723			35,497
GSIN	Lean Hogs February Futures^	02/2017		USD		24,696			1,764
MACQ	Lean Hogs February Futures^	02/2017		USD		352,105			71,255
MACQ	Lean Hogs February Futures^	02/2017		USD		(108,298	)		(25,055	)
MACQ	Live Cattle February Futures^	02/2017		USD		379,786			37,994
BANA	MSCI Taiwan Stock Index January Futures	01/2017		USD		67,825			935
GSIN	MSCI Taiwan Stock Index January Futures	01/2017		USD		1,156,390			12,530
BANA	NSE Nifty 50 Index January Futures	01/2017		INR		1,190,991			546
BANA	SGX S&P CNX Nifty Index January Futures	01/2017		USD		127,441			3,511
GSIN	SGX S&P CNX Nifty Index January Futures	01/2017		USD		32,000			738
MACQ	Silver March Futures^	03/2017		USD		89,575			(9,630	)
CITI	Soybean March Futures^	02/2017		USD		200,809			(9	)
SOCG	Soybean March Futures^	02/2017		USD		301,713			(513	)
MACQ	Soybean March Futures^	02/2017		USD		705,499			(2,699	)
CITI	Soybean Oil March Futures^	02/2017		USD		45,553			(3,961	)
SOCG	Soybean Oil March Futures^	02/2017		USD		250,269			(21,513	)
MACQ	Soybean Oil March Futures^	02/2017		USD		68,077			(5,689	)
CITI	Sugar #11 (World Markets) February Futures^	02/2017		USD		22,719			(868	)
GSIN	Swiss Market Index January Futures	03/2017		EUR		398,830			9,603
GSIN	Taiwan Stock Exchange January Futures	01/2017		TWD		12,952,678			391
MACQ	Wheat March Futures^	02/2017		USD		105,827			(3,827	)
MACQ	Wheat March Futures^	02/2017		USD		(105,827	)		7,179
									$148,482

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

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

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Consolidated Schedule of Investments December 31, 2016

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Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
60	GSCO	Brent Crude Futures^		02/2017		$3,353,770		$3,449,400		$95,630
1	MSCL	Cocoa Futures^		03/2017		27,288		21,260		(6,028	)
5	MSCL	Coffee ‘C’ Futures^		03/2017		291,436		256,969		(34,467	)
14	MSCL	Corn Futures^		03/2017		249,868		246,400		(3,468	)
1	MSCL	Feeder Cattle Futures^		03/2017		57,713		62,550		4,837
19	GSCO	Gas Oil Futures^		03/2017		931,368		964,250		32,882
20	MSCL	Gasoline RBOB Futures^		02/2017		1,318,791		1,416,576		97,785
22	MSCL	Gold 100 OZ Futures^		02/2017		2,833,018		2,533,740		(299,278	)
1	MSCL	Hard Red Winter Wheat Futures^		03/2017		21,081		20,925		(156	)
9	MSCL	Heating Oil ULSD Futures^		02/2017		625,129		656,964		31,835
12	MSCL	Live Cattle Futures^		02/2017		506,529		557,040		50,511
2	JPPC	LME Aluminum Futures^		01/2017		84,155		84,609		454
1	JPPC	LME Aluminum Futures^		02/2017		43,278		42,294		(984	)
1	JPPC	LME Aluminum Futures^		02/2017		44,252		42,268		(1,984	)
4	JPPC	LME Aluminum Futures^		02/2017		174,610		169,041		(5,569	)
2	JPPC	LME Aluminum Futures^		02/2017		84,505		84,488		(17	)
1	JPPC	LME Aluminum Futures^		03/2017		43,077		42,303		(774	)
1	JPPC	LME Aluminum Futures^		03/2017		42,653		42,329		(324	)
1	JPPC	LME Aluminum Futures^		03/2017		43,127		42,338		(789	)
54	JPPC	LME Aluminum Futures^		03/2017		2,288,320		2,285,213		(3,107	)
4	JPPC	LME Aluminum Futures^		03/2017		173,662		169,300		(4,362	)
4	JPPC	LME Copper Futures^		02/2017		560,331		553,056		(7,275	)
1	JPPC	LME Copper Futures^		02/2017		136,910		138,250		1,340
15	JPPC	LME Copper Futures^		03/2017		1,901,250		2,075,532		174,282
1	JPPC	LME Lead Futures^		01/2017		50,252		50,056		(196	)
1	JPPC	LME Lead Futures^		01/2017		51,643		50,120		(1,523	)
1	JPPC	LME Lead Futures^		02/2017		54,503		50,184		(4,319	)
1	JPPC	LME Lead Futures^		02/2017		54,002		50,195		(3,807	)
7	JPPC	LME Lead Futures^		03/2017		363,780		352,100		(11,680	)
2	JPPC	LME Nickel Futures^		02/2017		134,285		119,908		(14,377	)
9	JPPC	LME Nickel Futures^		03/2017		564,699		540,594		(24,105	)
1	JPPC	LME Zinc Futures^		03/2017		68,102		64,259		(3,843	)
9	JPPC	LME Zinc Futures^		03/2017		520,336		579,150		58,814
12	MSCL	Natural Gas Futures^		02/2017		437,808		442,080		4,272
14	MSCL	Silver Futures^		03/2017		1,273,189		1,119,230		(153,959	)
12	MSCL	Soybean Futures^		03/2017		603,255		602,400		(855	)
10	MSCL	Soybean Meal Futures^		03/2017		315,253		316,600		1,347
10	MSCL	Soybean Oil Futures^		03/2017		227,886		207,960		(19,926	)
38	MSCL	Sugar #11 (World Markets) Futures^		02/2017		865,928		830,346		(35,582	)
12	MSCL	Wheat Futures^		03/2017		251,475		244,800		(6,675	)
49	MSCL	WTI Crude Futures^		02/2017		2,583,458		2,678,340		94,882
4	BARC	Amsterdam Index Futures		01/2017		402,679		406,828		4,149
18	BARC	CAC40 Index Futures		01/2017		905,330		921,426		16,096
5	BARC	DAX Index Futures		03/2017		1,482,326		1,508,579		26,253
23	BARC	E-Mini Russell 2000 Futures		03/2017		1,588,563		1,560,435		(28,128	)
69	BARC	Euro Stoxx 50 Index Futures		03/2017		2,333,783		2,380,179		46,396
33	BARC	FTSE 100 Index Futures		03/2017		2,799,357		2,867,179		67,822
5	JPMS	FTSE/JSE Top 40 Index Futures		03/2017		162,656		161,304		(1,352	)
7	BARC	Hang Seng Index Futures		01/2017		974,213		991,256		17,043

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

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2	BARC	KOSPI Index 200 Futures		03/2017		$ 209,260			$ 215,308			$ 6,048
161	BARC	S&P 500 E-Mini Futures		03/2017		18,114,856			18,001,410			(113,446	)
11	BARC	S&P MID 400 E-Mini Futures		03/2017		1,854,432			1,825,010			(29,422	)
3	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		400,835			400,805			(30	)
14	BARC	SGX S&P CNX Nifty Index Futures		01/2017		224,317			229,166			4,849
5	BARC	SPI 200 Index Futures		03/2017		497,810			507,952			10,142
24	BARC	TOPIX Index Futures		03/2017		3,032,901			3,117,177			84,276
15	JPMS	Australia 10-Year Bond Futures		03/2017		1,375,436			1,382,781			7,345
24	GSCO	Canadian 10-Year Bond Futures		03/2017		2,483,853			2,458,362			(25,491	)
127	GSCO	Euro-Bund Futures		03/2017		21,732,353			21,944,646			212,293
372	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		46,441,941			46,232,625			(209,316	)
						131,272,876			131,367,845			94,969
Short Contracts:
2	JPPC	LME Aluminum Futures^		01/2017		$(84,233	)		$(84,609	)		$(376	)
1	JPPC	LME Aluminum Futures^		02/2017		(43,485	)		(42,295	)		1,190
1	JPPC	LME Aluminum Futures^		02/2017		(44,233	)		(42,267	)		1,966
4	JPPC	LME Aluminum Futures^		02/2017		(174,837	)		(169,041	)		5,796
2	JPPC	LME Aluminum Futures^		02/2017		(84,472	)		(84,487	)		(15	)
1	JPPC	LME Aluminum Futures^		03/2017		(43,044	)		(42,304	)		740
1	JPPC	LME Aluminum Futures^		03/2017		(42,708	)		(42,329	)		379
1	JPPC	LME Aluminum Futures^		03/2017		(43,044	)		(42,339	)		705
12	JPPC	LME Aluminum Futures^		03/2017		(516,758	)		(507,825	)		8,933
4	JPPC	LME Aluminum Futures^		03/2017		(174,390	)		(169,300	)		5,090
4	JPPC	LME Copper Futures^		02/2017		(558,990	)		(553,056	)		5,934
1	JPPC	LME Copper Futures^		02/2017		(136,622	)		(138,249	)		(1,627	)
1	JPPC	LME Lead Futures^		01/2017		(50,317	)		(50,056	)		261
1	JPPC	LME Lead Futures^		01/2017		(51,823	)		(50,120	)		1,703
1	JPPC	LME Lead Futures^		02/2017		(54,244	)		(50,184	)		4,060
1	JPPC	LME Lead Futures^		02/2017		(54,167	)		(50,196	)		3,971
3	JPPC	LME Lead Futures^		03/2017		(159,036	)		(150,900	)		8,136
2	JPPC	LME Nickel Futures^		02/2017		(134,364	)		(119,909	)		14,455
2	JPPC	LME Nickel Futures^		03/2017		(134,426	)		(120,132	)		14,294
1	JPPC	LME Zinc Futures^		03/2017		(68,552	)		(64,259	)		4,293
1	JPPC	LME Zinc Futures^		03/2017		(68,185	)		(64,350	)		3,835
						(2,721,930	)		(2,638,207	)		83,723
						$128,550,946			$128,729,638			$178,692

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

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

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Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		373,400		$48,182		$48,167		$(15	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		459,600		59,308		59,285		(23	)
						$107,490		$107,452		$(38	)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		(20,000	)		$(5,677	)		$(6,025	)		$(348	)
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		(30,000	)		(8,517	)		(9,040	)		(523	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		(12,000	)		(11,812	)		(11,837	)		(25	)
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(3,000	)		(2,978	)		(2,960	)		18
Euro, Expiring 03/15/17	CITI	EUR		(3,231,102	)		(3,462,186	)		(3,413,208	)		48,978
Euro, Expiring 03/15/17	JPMC	EUR		(4,846,652	)		(5,193,273	)		(5,119,808	)		73,465
British Pound, Expiring 03/15/17	CITI	GBP		(1,281,246	)		(1,608,995	)		(1,581,766	)		27,229
British Pound, Expiring 03/15/17	JPMC	GBP		(1,921,868	)		(2,413,488	)		(2,372,648	)		40,840
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(1,288,000	)		(166,055	)		(166,144	)		(89	)
							(12,872,981	)		(12,683,436	)		189,545
							$(12,765,491	)		$(12,575,984	)		$189,507

* Non-deliverable forward (See Note 4).

BRL - Brazilian Real

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

INR - Indian Rupee

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

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

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Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BARC
Cash		$—		$1,548,354			$1,548,354
CITI
Investment Companies		90,048		—			90,048
GSCO
Cash		—		(244,049	)		(244,049	)
U.S. Treasury Inflation Protected Securities		—		385,515			385,515
GSIN
Investment Companies		480,336		—			480,336
JPMC
Cash		320,000		—			320,000
JPMS
Cash		—		35,669			35,669
MSCL
Cash		—		345,254			345,254
U.S. Treasury Inflation Protected Securities		—		604,813			604,813

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$160,086		$—		$160,086
GSCO
Cash		—		162,721		162,721
GSIN
Cash		130,000		—		130,000
JPPC
Cash		—		263,770		263,770
MSCL
Cash		—		997,113		997,113
MACQ
Investment Companies		30,138		—		30,138
SOCG
Investment Companies		110,110		—		110,110

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

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AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 113.4%
COMMON STOCKS - 33.7%
Belgium - 0.6%
Ageas (a)		107,020	$	4,230,157
bpost SA (a)		170,934		4,040,985
Colruyt SA (a)		29,528		1,459,420
KBC Group NV (a)		106,680		6,591,522
Proximus SADP (a)		60,847		1,749,157
Solvay SA (a)		9,731		1,137,618
Umicore SA (a)		49,709		2,828,015
				22,036,874
Denmark - 0.8%
Danske Bank A/S (a)		52,027		1,574,013
DSV A/S (a)		74,303		3,299,815
GN Store Nord A/S (a)		36,805		761,139
H Lundbeck A/S *(a)		95,792		3,889,255
ISS A/S (a)		135,315		4,560,510
Jyske Bank A/S (a)		31,201		1,483,702
TDC A/S *(a)		362,359		1,857,587
Vestas Wind Systems A/S (a)		153,395		9,934,564
William Demant Holding A/S *(a)		151,271		2,627,497
				29,988,082
Finland - 1.2%
Amer Sports OYJ (a)		49,476		1,312,917
Cargotec OYJ, Class B (a)		68,203		3,070,638
Elisa OYJ (a)		48,157		1,563,247
Huhtamaki OYJ (a)		41,177		1,526,051
Kesko OYJ, Class B (a)		54,766		2,733,135
Kone OYJ, Class B (a)		13,535		604,792
Metso OYJ (a)		66,153		1,881,982
Neste OYJ (a)		390,500		14,943,477
Orion OYJ, Class B (a)		65,785		2,922,948
Stora Enso OYJ, Class R (a)		418,320		4,474,766
UPM-Kymmene OYJ (a)		427,780		10,461,599
				45,495,552
Germany - 4.1%
adidas AG (a)		86,723		13,677,787
Allianz SE (a)		45,298		7,475,885
Aurubis AG (a)		62,709		3,609,057
Axel Springer SE (a)		11,091		537,789
Brenntag AG (a)		43,956		2,436,430
Covestro AG (a)(b)		199,921		13,684,122
Deutsche Lufthansa AG (a)		1,021,127		13,163,073
Deutsche Telekom AG (a)		81,164		1,392,547
Duerr AG (a)		8,033		644,098
Evonik Industries AG (a)		117,943		3,515,741
Freenet AG (a)		177,171		4,979,318
Fresenius Medical Care AG & Co. KGaA (a)		45,684		3,861,253
Hannover Rueck SE (a)		93,503		10,100,885
HeidelbergCement AG (a)		52,396		4,877,019
Hella KGaA Hueck & Co. (a)		38,076		1,433,060
HOCHTIEF AG (a)		47,933		6,692,068
Infineon Technologies AG (a)		378,891		6,553,858
KION Group AG (a)		67,632		3,755,029
Krones AG (a)		5,060		462,147

INVESTMENTS	SHARES		VALUE
Germany - 4.1% (continued)
METRO AG (a)		164,864	$	5,479,606
MTU Aero Engines AG (a)		22,148		2,554,768
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		53,362		10,078,902
OSRAM Licht AG (a)		83,455		4,370,152
Rheinmetall AG (a)		47,713		3,202,055
RHOEN-KLINIKUM AG		16,383		442,228
SAP SE (a)		6,654		575,605
Siemens AG (a)		68,026		8,329,099
Software AG (a)		147,497		5,345,800
STADA Arzneimittel AG (a)		84,663		4,373,845
Suedzucker AG (a)		284,466		6,780,698
Talanx AG (a)		78,847		2,633,406
Zalando SE *(a)(b)		17,320		659,792
				157,677,122
Italy - 1.8%
A2A SpA		5,860,850		7,569,173
Atlantia SpA (a)		19,546		457,305
Autogrill SpA		94,575		853,398
Banca Generali SpA		22,841		543,267
Brembo SpA		22,703		1,373,423
Buzzi Unicem SpA		188,897		4,469,653
Davide Campari-Milano SpA (a)		193,362		1,888,616
Enel SpA (a)		3,175,554		13,958,779
FinecoBank Banca Fineco SpA		162,194		906,857
Hera SpA		298,943		688,076
Italgas SpA *		205,695		809,371
Leonardo-Finmeccanica SpA *(a)		182,166		2,551,284
Mediobanca SpA (a)		711,171		5,791,840
Poste Italiane SpA (b)		745,448		4,943,151
Prysmian SpA (a)		277,616		7,115,389
Recordati SpA		141,774		4,016,873
Snam SpA (a)		1,028,476		4,229,967
Terna Rete Elettrica Nazionale SpA (a)		1,144,164		5,232,652
UnipolSai SpA (a)		1,302,015		2,777,098
				70,176,172
Japan - 18.5%
ABC-Mart, Inc. (a)		39,800		2,251,554
Air Water, Inc. (a)		87,000		1,567,193
Aisin Seiki Co. Ltd. (a)		60,800		2,630,782
Alfresa Holdings Corp. (a)		278,000		4,591,719
Amada Holdings Co. Ltd. (a)		425,100		4,735,858
ANA Holdings, Inc. (a)		2,243,000		6,033,731
Aozora Bank Ltd. (a)		2,497,000		8,822,541
Asahi Group Holdings Ltd. (a)		15,700		494,316
Asahi Kasei Corp. (a)		401,000		3,489,211
Astellas Pharma, Inc. (a)		468,900		6,505,216
Bandai Namco Holdings, Inc. (a)		282,400		7,773,048
Bridgestone Corp. (a)		174,200		6,267,853
Brother Industries Ltd. (a)		262,400		4,717,276
Central Japan Railway Co. (a)		32,800		5,385,420
Chubu Electric Power Co., Inc. (a)		511,600		7,119,111
Chugoku Bank Ltd. (The) (a)		108,500		1,556,065
Citizen Watch Co. Ltd. (a)		87,500		521,685
Coca-Cola West Co. Ltd. (a)		80,200		2,360,988
Cosmos Pharmaceutical Corp. (a)		5,300		975,723

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

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INVESTMENTS	SHARES		VALUE
Japan - 18.5% (continued)
Dai Nippon Printing Co. Ltd. (a)		90,000	$	887,999
Daicel Corp. (a)		166,000		1,825,011
Daiichi Sankyo Co. Ltd. (a)		394,100		8,047,222
Daikin Industries Ltd. (a)		11,600		1,062,663
DeNA Co. Ltd.		209,500		4,578,637
East Japan Railway Co. (a)		16,700		1,439,853
Ezaki Glico Co. Ltd. (a)		47,200		2,209,065
FamilyMart UNY Holdings Co. Ltd. (a)		80,100		5,329,857
Fuji Electric Co. Ltd. (a)		143,000		738,409
Fuji Heavy Industries Ltd. (a)		366,800		14,945,049
FUJIFILM Holdings Corp. (a)		119,200		4,513,604
Fujitsu Ltd. (a)		921,000		5,100,083
Fukuoka Financial Group, Inc. (a)		391,000		1,734,078
Gunma Bank Ltd. (The) (a)		257,600		1,407,710
Hakuhodo DY Holdings, Inc. (a)		293,100		3,608,995
Hankyu Hanshin Holdings, Inc. (a)		86,500		2,769,802
Haseko Corp. (a)		678,500		6,879,326
Hikari Tsushin, Inc. (a)		18,800		1,750,057
Hino Motors Ltd. (a)		47,900		486,667
Hiroshima Bank Ltd. (The) (a)		125,000		582,477
Hisamitsu Pharmaceutical Co., Inc. (a)		65,400		3,266,532
Hitachi Capital Corp. (a)		126,400		3,103,725
Hitachi Chemical Co. Ltd. (a)		234,600		5,852,400
Hitachi High-Technologies Corp. (a)		233,600		9,395,495
Hitachi Metals Ltd. (a)		174,100		2,343,981
Hokuhoku Financial Group, Inc. (a)		94,300		1,624,597
Hoya Corp. (a)		40,600		1,702,335
Idemitsu Kosan Co. Ltd. (a)		399,200		10,588,912
Iida Group Holdings Co. Ltd. (a)		217,300		4,119,408
Inpex Corp.		140,700		1,406,411
Isuzu Motors Ltd. (a)		140,900		1,781,614
Ito En Ltd. (a)		22,500		745,820
ITOCHU Corp. (a)		658,200		8,715,071
Itochu Techno-Solutions Corp. (a)		183,100		4,752,285
Izumi Co. Ltd. (a)		20,500		881,451
J Front Retailing Co. Ltd. (a)		180,500		2,430,195
Japan Airlines Co. Ltd. (a)		158,600		4,628,072
JSR Corp. (a)		49,500		779,147
JTEKT Corp. (a)		155,600		2,481,166
JX Holdings, Inc. (a)		186,000		785,928
Kajima Corp. (a)		1,280,000		8,841,112
Kaken Pharmaceutical Co. Ltd. (a)		27,400		1,451,030
Kamigumi Co. Ltd. (a)		160,000		1,523,894
Kaneka Corp. (a)		573,000		4,660,738
Kao Corp. (a)		118,700		5,618,651
KDDI Corp. (a)		415,200		10,485,037
Keihan Holdings Co. Ltd. (a)		70,000		459,159
Kewpie Corp. (a)		189,400		4,593,673
Kobayashi Pharmaceutical Co. Ltd. (a)		10,200		435,654
Konami Holdings Corp. (a)		282,500		11,401,209
Konica Minolta, Inc. (a)		49,800		493,553
Kose Corp. (a)		7,600		630,102
Kuraray Co. Ltd. (a)		261,900		3,927,339
Kurita Water Industries Ltd. (a)		36,800		809,625
Lion Corp. (a)		257,000		4,212,583
M3, Inc. (a)		21,900		550,588

INVESTMENTS	SHARES		VALUE
Japan - 18.5% (continued)
Makita Corp. (a)		17,800	$	1,189,376
Maruichi Steel Tube Ltd. (a)		21,200		688,919
Marubeni Corp. (a)		320,700		1,813,904
Matsumotokiyoshi Holdings Co. Ltd. (a)		23,000		1,131,508
Mazda Motor Corp. (a)		196,300		3,196,544
Medipal Holdings Corp. (a)		214,400		3,377,254
MEIJI Holdings Co. Ltd. (a)		57,400		4,490,303
Miraca Holdings, Inc. (a)		21,100		943,718
Mitsubishi Chemical Holdings Corp. (a)		791,700		5,118,865
Mitsubishi Corp. (a)		41,200		875,033
Mitsubishi Electric Corp. (a)		312,000		4,339,659
Mitsubishi Gas Chemical Co., Inc. (a)		478,800		8,158,478
Mitsubishi Tanabe Pharma Corp. (a)		399,700		7,826,087
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)		981,300		5,061,288
Mitsui & Co. Ltd. (a)		268,300		3,676,332
Mitsui Chemicals, Inc. (a)		1,535,000		6,877,630
Mixi, Inc.		115,500		4,208,594
Mizuho Financial Group, Inc. (a)		6,276,100		11,262,680
MS&AD Insurance Group Holdings, Inc. (a)		177,400		5,493,645
Nagoya Railroad Co. Ltd. (a)		1,027,000		4,958,556
Nankai Electric Railway Co. Ltd. (a)		88,000		445,868
Nexon Co. Ltd. (a)		181,200		2,618,555
NH Foods Ltd. (a)		208,000		5,611,124
NHK Spring Co. Ltd. (a)		393,200		3,739,505
Nikon Corp. (a)		232,800		3,615,488
Nippon Express Co. Ltd. (a)		1,127,000		6,051,166
Nippon Shokubai Co. Ltd. (a)		71,500		4,452,812
Nippon Telegraph & Telephone Corp. (a)		347,500		14,628,069
Nissan Motor Co. Ltd. (a)		386,100		3,873,024
Nisshin Seifun Group, Inc. (a)		249,000		3,730,992
Nissin Foods Holdings Co. Ltd. (a)		21,700		1,138,246
Nitori Holdings Co. Ltd. (a)		73,100		8,334,495
Nomura Research Institute Ltd. (a)		54,285		1,649,808
NTT Data Corp. (a)		60,500		2,922,854
Obayashi Corp. (a)		891,000		8,506,689
Oracle Corp. Japan (a)		32,000		1,609,733
ORIX Corp. (a)		770,400		11,990,702
Osaka Gas Co. Ltd. (a)		1,409,000		5,406,420
Otsuka Corp. (a)		97,500		4,547,816
Otsuka Holdings Co. Ltd. (a)		206,700		9,003,938
Park24 Co. Ltd. (a)		175,300		4,747,012
Pola Orbis Holdings, Inc. (a)		73,700		6,076,059
Renesas Electronics Corp. *(a)		76,500		606,920
Resona Holdings, Inc. (a)		3,039,500		15,577,493
Rohm Co. Ltd. (a)		20,700		1,187,620
Sankyo Co. Ltd. (a)		46,800		1,508,911
Santen Pharmaceutical Co. Ltd. (a)		184,000		2,245,043
Sawai Pharmaceutical Co. Ltd. (a)		10,100		541,402
SCSK Corp. (a)		15,800		551,344
Secom Co. Ltd. (a)		46,500		3,397,481
Seiko Epson Corp. (a)		222,900		4,705,994
Sekisui Chemical Co. Ltd. (a)		279,900		4,455,600
Sekisui House Ltd. (a)		157,900		2,623,398
Seven & i Holdings Co. Ltd. (a)		64,600		2,456,685

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

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238

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
Japan - 18.5% (continued)
Shimadzu Corp. (a)		31,000	$	492,496
Shimamura Co. Ltd. (a)		69,800		8,702,862
Shimizu Corp. (a)		473,000		4,317,529
Shinsei Bank Ltd. (a)		838,000		1,402,261
Shionogi & Co. Ltd. (a)		59,400		2,838,901
Shiseido Co. Ltd. (a)		24,100		609,103
SoftBank Group Corp. (a)		147,000		9,727,586
Sohgo Security Services Co. Ltd. (a)		41,200		1,581,409
Sojitz Corp. (a)		3,675,500		8,898,978
Sompo Holdings, Inc. (a)		199,800		6,747,508
Sosei Group Corp. *		65,900		7,545,458
Square Enix Holdings Co. Ltd. (a)		65,400		1,676,795
Sugi Holdings Co. Ltd. (a)		45,800		2,172,847
Sumitomo Corp. (a)		379,500		4,455,107
Sumitomo Dainippon Pharma Co. Ltd. (a)		538,000		9,234,408
Sumitomo Heavy Industries Ltd. (a)		424,000		2,722,571
Sumitomo Mitsui Financial Group, Inc. (a)		128,800		4,905,087
Sumitomo Mitsui Trust Holdings, Inc. (a)		142,800		5,109,200
Sumitomo Rubber Industries Ltd. (a)		485,200		7,677,005
Sundrug Co. Ltd. (a)		36,000		2,489,087
Suzuken Co. Ltd. (a)		89,710		2,930,157
Suzuki Motor Corp. (a)		141,000		4,950,352
Sysmex Corp. (a)		8,300		479,570
Taisei Corp. (a)		985,000		6,878,226
Taisho Pharmaceutical Holdings Co. Ltd. (a)		15,000		1,243,486
Takashimaya Co. Ltd. (a)		291,000		2,395,434
TDK Corp. (a)		12,400		850,246
Teijin Ltd. (a)		148,000		2,990,444
Terumo Corp. (a)		71,600		2,639,557
Toho Gas Co. Ltd. (a)		886,000		7,195,947
Tohoku Electric Power Co., Inc. (a)		201,800		2,543,879
Tokyo Century Corp. (a)		65,300		2,228,100
Tokyo Electron Ltd. (a)		71,100		6,686,914
Tokyo Gas Co. Ltd. (a)		470,000		2,121,646
Tokyu Corp. (a)		83,000		609,068
Toppan Printing Co. Ltd. (a)		299,000		2,851,025
Tosoh Corp. (a)		1,034,000		7,293,823
Toyo Suisan Kaisha Ltd. (a)		133,900		4,844,414
Toyoda Gosei Co. Ltd. (a)		121,100		2,826,376
Toyota Boshoku Corp. (a)		69,200		1,586,345
Tsuruha Holdings, Inc. (a)		18,400		1,741,425
USS Co. Ltd. (a)		38,800		616,368
Welcia Holdings Co. Ltd. (a)		13,600		827,772
West Japan Railway Co. (a)		86,200		5,280,264
Yamada Denki Co. Ltd. (a)		566,800		3,051,904
Yamaguchi Financial Group, Inc. (a)		568,000		6,183,878
Yamaha Corp. (a)		50,800		1,549,023
Yamazaki Baking Co. Ltd. (a)		373,700		7,204,723
Yokohama Rubber Co. Ltd. (The) (a)		44,800		800,811
				705,128,360
Netherlands - 1.4%
Aalberts Industries NV (a)		32,067		1,038,905
ABN AMRO Group NV, CVA (a)(b)		95,537		2,115,357
Akzo Nobel NV (a)		20,695		1,293,164

INVESTMENTS	SHARES		VALUE
Netherlands - 1.4% (continued)
ASM International NV (a)		38,065	$	1,706,559
Boskalis Westminster (a)		32,237		1,118,369
Heineken NV (a)		49,862		3,736,554
Koninklijke Ahold Delhaize NV (a)		366,941		7,728,876
Koninklijke DSM NV (a)		93,924		5,628,608
Koninklijke Philips NV (a)		142,322		4,351,056
NN Group NV (a)		332,349		11,250,855
Randstad Holding NV (a)		59,713		3,234,508
Wolters Kluwer NV (a)		242,983		8,788,489
				51,991,300
Norway - 0.2%
Gjensidige Forsikring ASA (a)		29,581		468,966
Marine Harvest ASA *(a)		338,482		6,119,923
Orkla ASA (a)		93,183		843,188
Yara International ASA (a)		40,932		1,610,227
				9,042,304
Spain - 1.3%
ACS Actividades de Construccion y Servicios SA (a)		43,878		1,384,683
Aena SA (a)(b)		17,686		2,409,560
Almirall SA (a)		85,140		1,320,761
Banco de Sabadell SA (a)		553,033		768,481
Bankinter SA (a)		65,710		508,165
Ebro Foods SA (a)		244,576		5,118,530
Enagas SA (a)		26,258		665,463
Endesa SA (a)		413,757		8,750,165
Gas Natural SDG SA (a)		133,847		2,518,102
Iberdrola SA (a)		1,061,265		6,949,038
Mediaset Espana Comunicacion SA (a)		45,662		534,873
Repsol SA (a)		1,112,009		15,627,221
Tecnicas Reunidas SA (a)		31,152		1,274,028
				47,829,070
Sweden - 1.1%
Assa Abloy AB, Class B		28,688		530,832
BillerudKorsnas AB		84,346		1,412,638
Boliden AB		232,792		6,046,772
Electrolux AB, Series B		140,972		3,490,612
Husqvarna AB, Class B		335,428		2,602,619
ICA Gruppen AB		80,301		2,444,191
Modern Times Group MTG AB, Class B		24,097		712,242
NCC AB, Class B		88,233		2,179,459
Saab AB, Class B		56,980		2,125,011
Securitas AB, Class B		382,142		5,994,221
Skanska AB, Class B		141,769		3,337,864
Svenska Cellulosa AB SCA, Class B		231,845		6,525,631
Swedbank AB, Class A		37,767		909,977
Swedish Match AB		73,316		2,326,170
Trelleborg AB, Class B		27,956		548,973
				41,187,212
Switzerland - 2.1%
ABB Ltd. *(a)		335,920		7,068,336
Actelion Ltd. *(a)		10,492		2,267,411
Adecco Group AG (a)		23,451		1,530,806
Baloise Holding AG		19,398		2,440,946

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

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239

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
Switzerland - 2.1% (continued)
Barry Callebaut AG *		775	$	946,833
DKSH Holding AG		9,053		621,423
Flughafen Zuerich AG		10,044		1,861,224
Galenica AG		3,992		4,498,378
Geberit AG (a)		6,545		2,620,335
Georg Fischer AG		4,348		3,555,903
Givaudan SA (a)		1,327		2,428,639
Helvetia Holding AG		1,684		906,078
Lonza Group AG *		31,412		5,428,911
Nestle SA (a)		64,115		4,593,044
Novartis AG (a)		64,816		4,713,646
Partners Group Holding AG		4,786		2,240,508
Roche Holding AG (a)		19,309		4,401,536
Schindler Holding AG		3,492		614,988
SGS SA (a)		429		871,627
Sika AG		616		2,955,480
Straumann Holding AG		2,715		1,057,931
Swiss Life Holding AG *(a)		20,901		5,904,093
Swiss Re AG (a)		156,322		14,790,081
Temenos Group AG *		22,580		1,569,557
UBS Group AG (a)		28,361		443,437
				80,331,151
United Kingdom - 0.6%
Fiat Chrysler Automobiles NV		1,357,636		12,350,179
Subsea 7 SA *(a)		429,656		5,426,246
Unilever NV, CVA (a)		92,749		3,810,021
				21,586,446
TOTAL COMMON STOCKS (Cost $1,200,461,125)				1,282,469,645
PREFERRED STOCKS - 0.3%
Germany - 0.3%
FUCHS PETROLUB SE (a)		10,763		450,855
Henkel AG & Co. KGaA (a)		79,920		9,513,659
TOTAL PREFERRED STOCKS (Cost $9,856,647)				9,964,514
SHORT-TERM INVESTMENTS - 79.4%
INVESTMENT COMPANIES - 55.2%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (c)		342,265		342,265
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (c)		1,369,060		1,369,060
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (c)(d)(e)		1,715,161,572		1,715,161,572
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (c)(e)		378,846,425		378,846,425
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (c)		1,711,325		1,711,325
TOTAL INVESTMENT COMPANIES (Cost $2,097,430,647)				2,097,430,647

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 24.2%
U.S. Treasury Bills
0.39%, 1/12/2017 (f)	$	28,892,600		$	28,889,711
0.43%, 1/19/2017 (d)(f)		381,001,000			380,930,896
0.43%, 1/26/2017 (f)		13,155,000			13,151,461
0.45%, 2/16/2017 (d)(f)(g)		123,537,000			123,470,537
0.42%, 3/30/2017 (d)(f)		4,222,000			4,216,967
0.53%, 5/11/2017 (d)(f)(g)		37,109,000			37,030,329
0.63%, 5/18/2017 (d)(f)		200,191,000			199,736,166
0.61%, 5/25/2017 (f)(g)		36,561,000			36,473,400
0.62%, 6/8/2017 (f)(g)		21,725,000			21,666,625
0.65%, 6/15/2017 (d)(f)		20,702,000			20,645,049
0.65%, 6/22/2017 (d)(f)		45,189,000			45,056,822
0.64%, 6/29/2017 (d)(f)		9,091,000			9,063,627
TOTAL U.S. TREASURY OBLIGATIONS (Cost $920,287,681)					920,331,590
TOTAL SHORT-TERM INVESTMENTS (Cost $3,017,718,328)					3,017,762,237
TOTAL LONG POSITIONS (Cost $4,228,036,100)					4,310,196,396
	SHARES
SHORT POSITIONS - (26.9)%
COMMON STOCKS - (26.7)%
Austria - (0.1)%
ams AG		(120,215	)		(3,406,514	)
Belgium - (0.4)%
Anheuser-Busch InBev SA/NV		(118,944	)		(12,589,503	)
Telenet Group Holding NV *		(67,579	)		(3,745,680	)
UCB SA		(12,585	)		(805,200	)
					(17,140,383	)
Denmark - (0.5)%
AP Moller—Maersk A/S, Class B		(2,491	)		(3,970,565	)
Carlsberg A/S, Class B		(14,158	)		(1,219,417	)
Chr Hansen Holding A/S		(10,748	)		(594,422	)
Coloplast A/S, Class B		(91,030	)		(6,131,654	)
Genmab A/S *		(5,205	)		(862,221	)
Novo Nordisk A/S, Class B		(42,605	)		(1,528,335	)
Novozymes A/S, Class B		(97,011	)		(3,338,335	)
Tryg A/S		(39,143	)		(706,865	)
					(18,351,814	)
Finland - (0.8)%
Fortum OYJ		(366,414	)		(5,601,066	)
Nokia OYJ		(4,424,501	)		(21,220,627	)
Nokian Renkaat OYJ		(93,595	)		(3,479,662	)
Sampo OYJ, Class A		(13,478	)		(602,502	)
					(30,903,857	)
Germany - (2.5)%
Bayer AG		(48,926	)		(5,097,279	)
Bayerische Motoren Werke AG		(33,982	)		(3,164,948	)
Beiersdorf AG		(64,459	)		(5,460,183	)
Bilfinger SE *		(54,216	)		(2,087,451	)
Commerzbank AG		(973,061	)		(7,408,688	)
Continental AG		(4,919	)		(947,678	)

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

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240

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
Germany - (2.5)% (continued)
Daimler AG		(107,423	)	$	(7,972,461	)
Deutsche Bank AG *		(1,085,279	)		(19,686,250	)
E.ON SE		(1,461,295	)		(10,280,127	)
Fraport AG Frankfurt Airport Services Worldwide		(7,699	)		(454,302	)
HUGO BOSS AG		(105,544	)		(6,443,360	)
K+S AG		(30,245	)		(720,468	)
LANXESS AG		(25,618	)		(1,677,549	)
Linde AG		(5,037	)		(826,258	)
MAN SE		(8,565	)		(850,131	)
Merck KGaA		(36,511	)		(3,801,558	)
RWE AG *		(642,853	)		(7,976,938	)
Salzgitter AG		(32,244	)		(1,131,302	)
Telefonica Deutschland Holding AG		(955,729	)		(4,085,172	)
thyssenkrupp AG		(156,317	)		(3,713,351	)
United Internet AG		(33,141	)		(1,293,244	)
Wacker Chemie AG		(6,994	)		(725,903	)
					(95,804,601	)
Italy - (1.3)%
Azimut Holding SpA		(203,873	)		(3,391,096	)
Banco Popolare SC		(3,735,188	)		(8,988,930	)
Eni SpA		(247,684	)		(4,015,223	)
Luxottica Group SpA		(172,626	)		(9,278,034	)
Mediaset SpA		(1,323,410	)		(5,699,836	)
Moncler SpA		(108,167	)		(1,879,567	)
Saipem SpA *		(6,778,414	)		(3,791,255	)
Salvatore Ferragamo SpA		(43,317	)		(1,021,660	)
Unione di Banche Italiane SpA		(2,531,519	)		(6,931,474	)
Unipol Gruppo Finanziario SpA		(506,964	)		(1,822,980	)
Yoox Net-A-Porter Group SpA *		(40,965	)		(1,158,370	)
					(47,978,425	)
Japan - (14.8)%
Acom Co. Ltd. *		(672,700	)		(2,937,484	)
Advantest Corp.		(68,100	)		(1,142,797	)
Aeon Co. Ltd.		(527,500	)		(7,455,475	)
AEON Financial Service Co. Ltd.		(190,500	)		(3,374,162	)
Alps Electric Co. Ltd.		(672,700	)		(16,163,613	)
Asahi Glass Co. Ltd.		(126,000	)		(854,867	)
Asics Corp.		(511,300	)		(10,189,143	)
Bank of Kyoto Ltd. (The)		(1,143,000	)		(8,472,560	)
Calbee, Inc.		(237,100	)		(7,416,754	)
Casio Computer Co. Ltd.		(166,200	)		(2,342,277	)
Chiba Bank Ltd. (The)		(1,101,000	)		(6,749,274	)
Chugai Pharmaceutical Co. Ltd.		(178,000	)		(5,105,760	)
Chugoku Electric Power Co., Inc. (The)		(386,100	)		(4,519,151	)
Credit Saison Co. Ltd.		(83,100	)		(1,478,839	)
Daido Steel Co. Ltd.		(45,000	)		(185,629	)
Dai-ichi Life Holdings, Inc.		(146,200	)		(2,430,792	)
Daiwa Securities Group, Inc.		(689,000	)		(4,242,675	)
Denso Corp.		(190,300	)		(8,231,710	)
Dentsu, Inc.		(29,300	)		(1,377,784	)
Disco Corp.		(3,400	)		(411,064	)
Don Quijote Holdings Co. Ltd.		(47,900	)		(1,767,765	)
Eisai Co. Ltd.		(155,000	)		(8,882,647	)
Electric Power Development Co. Ltd.		(336,200	)		(7,716,317	)
FANUC Corp.		(52,700	)		(8,816,420	)
Fast Retailing Co. Ltd.		(38,000	)		(13,567,032	)

INVESTMENTS	SHARES			VALUE
Japan - (14.8)% (continued)
Hachijuni Bank Ltd. (The)		(607,600	)	$	(3,515,793	)
Hamamatsu Photonics KK		(172,500	)		(4,530,763	)
Hirose Electric Co. Ltd.		(10,100	)		(1,249,024	)
Hitachi Construction Machinery Co. Ltd.		(144,000	)		(3,113,120	)
Hitachi Ltd.		(892,000	)		(4,809,792	)
Honda Motor Co. Ltd.		(133,300	)		(3,891,736	)
Ibiden Co. Ltd.		(169,700	)		(2,275,916	)
IHI Corp. *		(2,861,000	)		(7,409,704	)
Iyo Bank Ltd. (The)		(792,600	)		(5,454,977	)
Japan Display, Inc. *		(1,007,300	)		(2,860,687	)
Japan Post Bank Co. Ltd.		(111,200	)		(1,332,571	)
Japan Post Insurance Co. Ltd.		(20,700	)		(442,720	)
Japan Tobacco, Inc.		(78,900	)		(2,589,785	)
JFE Holdings, Inc.		(456,200	)		(6,898,851	)
JGC Corp.		(25,100	)		(454,719	)
Kakaku.com, Inc.		(368,800	)		(6,093,724	)
Kansai Electric Power Co., Inc. (The) *		(245,300	)		(2,674,176	)
Kansai Paint Co. Ltd.		(243,200	)		(4,473,338	)
Kawasaki Heavy Industries Ltd.		(2,114,000	)		(6,617,171	)
Keikyu Corp.		(224,000	)		(2,594,632	)
Keio Corp.		(102,000	)		(837,847	)
Keisei Electric Railway Co. Ltd.		(69,000	)		(1,670,758	)
Kikkoman Corp.		(304,000	)		(9,699,505	)
Kintetsu Group Holdings Co. Ltd.		(356,000	)		(1,356,604	)
Kirin Holdings Co. Ltd.		(118,000	)		(1,915,285	)
Kobe Steel Ltd. *		(1,130,400	)		(10,748,058	)
Koito Manufacturing Co. Ltd.		(32,300	)		(1,705,762	)
Kubota Corp.		(143,000	)		(2,037,867	)
Kyowa Hakko Kirin Co. Ltd.		(80,800	)		(1,114,505	)
Kyushu Electric Power Co., Inc.		(636,400	)		(6,894,421	)
Kyushu Financial Group, Inc.		(88,500	)		(599,632	)
LIXIL Group Corp.		(153,000	)		(3,467,786	)
Mabuchi Motor Co. Ltd.		(52,200	)		(2,712,525	)
Marui Group Co. Ltd.		(87,900	)		(1,280,671	)
Minebea Co. Ltd.		(377,500	)		(3,522,535	)
MISUMI Group, Inc.		(104,900	)		(1,723,162	)
Mitsubishi Heavy Industries Ltd.		(1,338,000	)		(6,082,607	)
Mitsubishi Logistics Corp.		(239,000	)		(3,369,500	)
Mitsubishi Materials Corp.		(81,000	)		(2,477,565	)
Mitsubishi Motors Corp.		(1,554,700	)		(8,837,868	)
Mitsubishi UFJ Financial Group, Inc.		(116,000	)		(715,410	)
Mitsui OSK Lines Ltd.		(1,952,000	)		(5,387,652	)
Murata Manufacturing Co. Ltd.		(82,200	)		(10,976,718	)
Nabtesco Corp.		(87,200	)		(2,021,383	)
NGK Insulators Ltd.		(119,300	)		(2,309,274	)
NGK Spark Plug Co. Ltd.		(643,500	)		(14,263,017	)
Nidec Corp.		(60,500	)		(5,208,486	)
Nintendo Co. Ltd.		(6,700	)		(1,392,765	)
Nippon Electric Glass Co. Ltd.		(160,000	)		(863,274	)
Nippon Paint Holdings Co. Ltd.		(277,000	)		(7,519,092	)
Nippon Steel & Sumitomo Metal Corp.		(222,100	)		(4,919,259	)
Nippon Yusen KK		(2,793,000	)		(5,172,322	)
Nissan Chemical Industries Ltd.		(26,700	)		(890,012	)
Nitto Denko Corp.		(45,800	)		(3,506,500	)
NOK Corp.		(81,900	)		(1,656,479	)
Nomura Holdings, Inc.		(207,100	)		(1,224,409	)
NSK Ltd.		(43,300	)		(500,092	)

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

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INVESTMENTS	SHARES			VALUE
Japan - (14.8)% (continued)
NTN Corp.		(560,000	)	$	(2,259,159	)
Odakyu Electric Railway Co. Ltd.		(155,500	)		(3,072,675	)
Oji Holdings Corp.		(149,000	)		(605,924	)
Olympus Corp.		(144,300	)		(4,971,822	)
Omron Corp.		(181,500	)		(6,936,016	)
Ono Pharmaceutical Co. Ltd.		(107,600	)		(2,345,102	)
Oriental Land Co. Ltd.		(128,900	)		(7,275,331	)
Panasonic Corp.		(126,200	)		(1,279,941	)
Pigeon Corp.		(332,800	)		(8,485,787	)
Rakuten, Inc.		(1,097,400	)		(10,752,158	)
Recruit Holdings Co. Ltd.		(10,400	)		(416,794	)
Ricoh Co. Ltd.		(666,000	)		(5,626,225	)
Rinnai Corp.		(8,900	)		(716,126	)
Ryohin Keikaku Co. Ltd.		(23,600	)		(4,619,306	)
Sega Sammy Holdings, Inc.		(149,200	)		(2,217,117	)
Seibu Holdings, Inc.		(309,800	)		(5,546,626	)
Seven Bank Ltd.		(1,812,600	)		(5,182,904	)
Sharp Corp. *		(785,000	)		(1,816,304	)
Shikoku Electric Power Co., Inc.		(659,300	)		(6,662,480	)
Shimano, Inc.		(30,500	)		(4,777,301	)
Shizuoka Bank Ltd. (The)		(1,011,000	)		(8,484,859	)
SMC Corp.		(12,900	)		(3,069,226	)
Sony Corp.		(108,200	)		(3,023,317	)
Sony Financial Holdings, Inc.		(1,140,600	)		(17,780,166	)
Stanley Electric Co. Ltd.		(135,100	)		(3,680,487	)
Sumco Corp.		(333,300	)		(4,285,019	)
Sumitomo Chemical Co. Ltd.		(106,000	)		(502,475	)
Sumitomo Metal Mining Co. Ltd.		(595,000	)		(7,590,827	)
T&D Holdings, Inc.		(631,700	)		(8,336,803	)
Taiheiyo Cement Corp.		(551,000	)		(1,737,108	)
Taiyo Nippon Sanso Corp.		(452,200	)		(5,223,851	)
Takeda Pharmaceutical Co. Ltd.		(199,000	)		(8,255,721	)
THK Co. Ltd.		(47,600	)		(1,051,177	)
Tobu Railway Co. Ltd.		(355,000	)		(1,759,870	)
Toho Co. Ltd.		(23,700	)		(668,552	)
Toray Industries, Inc.		(86,000	)		(694,496	)
Toshiba Corp. *		(976,000	)		(2,357,570	)
Toyo Seikan Group Holdings Ltd.		(82,500	)		(1,534,148	)
Toyota Industries Corp.		(66,400	)		(3,157,005	)
Toyota Motor Corp.		(69,300	)		(4,062,949	)
Trend Micro, Inc.		(88,500	)		(3,141,196	)
Unicharm Corp.		(227,400	)		(4,966,478	)
Yahoo Japan Corp.		(1,143,100	)		(4,378,030	)
Yakult Honsha Co. Ltd.		(231,500	)		(10,710,674	)
Yamaha Motor Co. Ltd.		(468,800	)		(10,280,345	)
Yamato Holdings Co. Ltd.		(46,900	)		(950,711	)
Yaskawa Electric Corp.		(484,000	)		(7,504,396	)
					(564,448,351	)
Luxembourg - (0.6)%
ArcelorMittal *		(946,155	)		(6,951,886	)
Millicom International Cellular SA, SDR		(70,318	)		(2,996,560	)
Tenaris SA		(762,067	)		(13,603,296	)
					(23,551,742	)
Netherlands - (1.0)%
Aegon NV		(1,704,531	)		(9,364,096	)
Altice NV, Class A *		(750,900	)		(14,860,211	)

INVESTMENTS	SHARES			VALUE
Netherlands - (1.0)% (continued)
ASML Holding NV		(55,287	)	$	(6,196,038	)
Fugro NV, CVA *		(30,262	)		(462,098	)
Koninklijke KPN NV		(1,575,105	)		(4,657,778	)
Koninklijke Vopak NV		(8,873	)		(418,629	)
OCI NV *		(131,759	)		(2,298,017	)
					(38,256,867	)
Norway - (0.4)%
Norsk Hydro ASA		(630,440	)		(3,008,921	)
Schibsted ASA, Class A		(199,480	)		(4,565,545	)
Statoil ASA		(242,351	)		(4,423,314	)
Telenor ASA		(168,737	)		(2,518,689	)
					(14,516,469	)
Portugal - 0.0% (h)
Banco Espirito Santo SA (3) *(i)		(216,618	)		(2	)
Spain - (1.3)%
Abertis Infraestructuras SA		(268,441	)		(3,750,523	)
Acciona SA		(15,008	)		(1,102,379	)
Amadeus IT Group SA		(10,278	)		(466,150	)
Atresmedia Corp. de Medios de Comunicacion SA		(168,613	)		(1,840,608	)
Banco Popular Espanol SA		(11,968,511	)		(11,531,623	)
Bankia SA		(2,300,469	)		(2,344,280	)
CaixaBank SA		(659,456	)		(2,173,420	)
Cellnex Telecom SA (b)		(420,986	)		(6,042,888	)
Distribuidora Internacional de Alimentacion SA		(418,707	)		(2,053,582	)
Industria de Diseno Textil SA		(143,482	)		(4,887,852	)
Mapfre SA		(622,624	)		(1,896,574	)
Telefonica SA		(1,001,041	)		(9,241,968	)
Zardoya Otis SA		(74,520	)		(628,860	)
					(47,960,707	)
Sweden - (1.0)%
Alfa Laval AB		(156,262	)		(2,577,599	)
Atlas Copco AB, Class A		(33,227	)		(1,007,993	)
Getinge AB, Class B		(91,144	)		(1,460,400	)
Hennes & Mauritz AB, Class B		(365,922	)		(10,143,765	)
Hexagon AB, Class B		(30,885	)		(1,099,998	)
Skandinaviska Enskilda Banken AB, Class A		(376,853	)		(3,938,187	)
Svenska Handelsbanken AB, Class A		(272,452	)		(3,773,585	)
Swedish Orphan Biovitrum AB *		(83,543	)		(975,470	)
Telefonaktiebolaget LM Ericsson, Class B		(2,195,001	)		(12,864,840	)
					(37,841,837	)
Switzerland - (1.8)%
Aryzta AG *		(51,863	)		(2,280,744	)
Chocoladefabriken Lindt & Spruengli AG		(482	)		(2,494,080	)
Cie Financiere Richemont SA		(223,502	)		(14,771,371	)
Clariant AG *		(31,654	)		(545,566	)
Credit Suisse Group AG *		(1,478,056	)		(21,122,947	)
Dufry AG *		(26,619	)		(3,313,374	)
EMS-Chemie Holding AG		(1,235	)		(627,171	)
Julius Baer Group Ltd. *		(44,305	)		(1,962,788	)
LafargeHolcim Ltd. *		(113,821	)		(5,974,701	)

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

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Consolidated Schedule of Investments December 31, 2016

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INVESTMENTS	SHARES			VALUE
Switzerland - (1.8)% (continued)
OC Oerlikon Corp. AG *		(318,139	)	$	(3,121,114	)
STMicroelectronics NV		(262,969	)		(2,984,333	)
Sunrise Communications Group AG *(b)		(26,909	)		(1,768,459	)
Swatch Group AG (The)		(21,564	)		(6,692,659	)
					(67,659,307	)
United Kingdom - (0.2)%
CNH Industrial NV		(278,825	)		(2,419,364	)
Dialog Semiconductor plc *		(32,465	)		(1,364,014	)
RELX NV		(154,181	)		(2,593,305	)
					(6,376,683	)
United States - 0.0% (h)
QIAGEN NV *		(72,472	)		(2,030,908	)
TOTAL COMMON STOCKS
(Proceeds $(1,019,348,283))					(1,016,228,467	)
PREFERRED STOCKS - (0.2)%
Germany - (0.2)%
Schaeffler AG		(35,099	)		(517,928	)
Volkswagen AG		(44,669	)		(6,249,955	)
TOTAL PREFERRED STOCKS
(Proceeds $(6,935,825))					(6,767,883	)
TOTAL SHORT POSITIONS (Proceeds $(1,026,284,108))					(1,022,996,350	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 86.5% (Cost $3,201,751,992)					3,287,200,046
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.5% (j)				514,414,048
NET ASSETS - 100.0%				$3,801,614,094

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(79,710,540	)		(2.1	)%
Consumer Staples		64,841,564			1.7
Energy		27,568,377			0.7
Financials		6,268,349			0.2
Health Care		70,178,653			1.8
Industrials		144,022,441			3.9
Information Technology		(39,995,883	)		(1.1	)
Materials		43,093,051			1.1
Telecommunication Services		15,071,033			0.4
Utilities		18,100,764			0.5
Short-Term Investments		3,017,762,237			79.4
Total Investments In Securities At Value		3,287,200,046			86.5
Other Assets in Excess of Liabilities (j)		514,414,048			13.5
Net Assets	$	3,801,614,094			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,142,817,060. In addition, $25,255,655 of cash collateral was pledged.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 12/31/2016 amounted to $16,000,635, which represents approximately 0.42% of net assets of the fund.

(c) Represents 7-day effective yield as of 12/31/2016.

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

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

(f) The rate shown was the effective yield at the date of purchase.

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

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

(i) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 12/31/2016 amounted to $(2), which represents approximately (0.00)% of net assets of the fund.

(j) 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).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	BIST 30 February Futures	02/2017		TRY		11,154,733			$22,824
BANA	Bovespa Index February Futures	02/2017		BRL		(324,883,886	)		(135,001	)
CITI	Corn March Futures^	02/2017		USD		(21,204,001	)		(232,798	)
GSIN	Corn March Futures^	02/2017		USD		(22,675,049	)		(116,950	)
MACQ	Corn March Futures^	02/2017		USD		(27,772,218	)		(35,782	)
BANA	Hang Seng Index January Futures	01/2017		HKD		1,129,423,278			2,615,767
GSIN	Hang Seng Index January Futures	01/2017		HKD		1,179,000,948			2,453,309
BANA	H-SHARES Index January Futures	01/2017		HKD		6,896,536			18,626
BANA	KOSPI Index 200 March Futures	03/2017		KRW		92,067,006,555			3,325,728
GSIN	KOSPI Index 200 March Futures	03/2017		KRW		7,938,728,300			216,117
GSIN	MSCI Singapore Index January Futures	01/2017		SGD		(19,859,190	)		44,042
BANA	MSCI Taiwan Stock Index January Futures	01/2017		USD		9,088,940			124,900
GSIN	SGX S&P CNX Nifty Index January Futures	01/2017		USD		(96,095	)		(2,119	)
CITI	Soybean March Futures^	02/2017		USD		33,149,889			(1,323,089	)
SOCG	Soybean March Futures^	02/2017		USD		8,678,831			(345,630	)
MACQ	Soybean March Futures^	02/2017		USD		29,695,038			(1,181,438	)
BANA	SwissMarket Index March Futures	03/2017		CHF		(189,275,150	)		(3,835,407	)
BANA	Taiwan Stock Exchange January Futures	01/2017		TWD		1,752,750,276			(76,365	)
BANA	Tel Aviv 25 Index January Futures	01/2017		ILS		(14,467,092	)		(24,385	)
GSIN	WIG20 Index March Futures	03/2017		PLN		(11,286,597	)		(80,769	)
									$1,431,580

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

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
3,006	GSCO	Brent Crude Futures^		01/2017		$167,379,007		$170,800,920		$3,421,913
5	JPPC	LME Copper Futures^		01/2017		594,707		690,555		95,848
89	JPPC	LME Copper Futures^		01/2017		10,350,133		12,293,281		1,943,148
2	JPPC	LME Copper Futures^		02/2017		248,518		276,478		27,960
2	JPPC	LME Copper Futures^		02/2017		269,093		276,575		7,482
3	JPPC	LME Copper Futures^		02/2017		422,000		414,839		(7,161	)
3	JPPC	LME Copper Futures^		03/2017		434,196		414,951		(19,245	)
1,392	JPPC	LME Copper Futures^		03/2017		203,176,046		192,609,300		(10,566,746	)
2	JPPC	LME Copper Futures^		03/2017		276,297		276,719		422
7	JPPC	LME Copper Futures^		03/2017		957,751		968,538		10,787
1	JPPC	LME Copper Futures^		03/2017		137,772		138,366		594
1	JPPC	LME Copper Futures^		03/2017		138,519		138,384		(135	)
1,574	MSCL	Silver Futures^		03/2017		132,409,609		125,833,430		(6,576,179	)
31	MSCL	Soybean Futures^		03/2017		1,639,588		1,556,200		(83,388	)
3,548	JPMS	BIST 30 Futures		02/2017		9,607,262		9,685,097		77,835
3,984	BARC	CAC40 Index Futures		01/2017		200,284,702		203,942,429		3,657,727
1,560	BARC	DAX Index Futures		03/2017		462,523,370		470,676,651		8,153,281
3,296	BARC	FTSE 100 Index Futures		03/2017		279,508,513		286,370,317		6,861,804
261	BARC	FTSE Bursa Malaysia KLCI Index Futures		01/2017		4,736,550		4,757,752		21,202

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

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
536	BARC	Hang Seng Index Futures		01/2017		$ 74,422,798			$ 75,901,941			$ 1,479,143
26	BARC	H-SHARES Index Futures		01/2017		1,555,394			1,573,847			18,453
1	JPMS	KOSPI Index 200 Futures		03/2017		106,823			107,655			832
559	BARC	KOSPI Index 200 Futures		03/2017		58,362,162			60,178,817			1,816,655
212	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		03/2017		4,717,709			4,682,283			(35,426	)
106	BARC	MSCI Taiwan Stock Index Futures		01/2017		3,616,407			3,644,280			27,873
97	BARC	S&P 500 E-Mini Futures		03/2017		10,887,233			10,845,570			(41,663	)
1,077	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		143,884,283			143,888,772			4,489
2,847	BARC	SET50 Index Futures		03/2017		15,097,274			15,286,611			189,337
1,527	BARC	SPI 200 Index Futures		03/2017		152,133,508			155,128,349			2,994,841
294	GSCO	10-Year Japanese Government Bond Futures		03/2017		377,748,788			377,929,925			181,137
111	JPMS	3-Month Euro Euribor Futures		06/2017		29,296,090			29,298,670			2,580
111	JPMS	3-Month Euro Euribor Futures		09/2017		29,292,618			29,292,828			210
111	JPMS	3-Month Euro Euribor Futures		12/2017		29,288,811			29,288,446			(365	)
16	JPMS	ASX 90 Day Bank Accepted Bills Futures		03/2017		11,496,254			11,494,533			(1,721	)
652	JPMS	ASX 90 Day Bank Accepted Bills Futures		06/2017		468,422,424			468,356,208			(66,216	)
652	JPMS	ASX 90 Day Bank Accepted Bills Futures		09/2017		468,360,631			468,287,249			(73,382	)
637	JPMS	ASX 90 Day Bank Accepted Bills Futures		12/2017		457,495,724			457,423,964			(71,760	)
6,096	JPMS	Australia 3-Year Bond Futures		03/2017		491,205,436			490,363,904			(841,532	)
1,707	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2017		314,876,084			314,774,411			(101,673	)
1,707	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2017		314,771,884			314,583,706			(188,178	)
1,707	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2017		314,367,323			314,329,433			(37,890	)
13,604	GSCO	Euro—SCHATZ Futures		03/2017		1,606,440,330			1,608,020,915			1,580,585
1,180	GSCO	Euro-Bobl Futures		03/2017		165,029,447			165,985,428			955,981
1,522	GSCO	Euro-Bund Futures		03/2017		261,334,687			262,990,177			1,655,490
3,328	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		411,730,373			413,608,000			1,877,627
17,046	MSCL	U.S. Treasury 2-Year Note Futures		03/2017		3,697,133,308			3,693,655,125			(3,478,183	)
28	MSCL	U.S. Treasury 5-Year Note Futures		03/2017		3,306,875			3,294,594			(12,281	)
						11,391,474,311			11,406,336,423			14,862,112
Short Contracts:
4,921	MSCL	Corn Futures^		03/2017		$(87,204,948	)		$(86,609,599	)		$595,349
1,114	MSCL	Gold 100 OZ Futures^		02/2017		(127,226,231	)		(128,299,380	)		(1,073,149	)
5	JPPC	LME Copper Futures^		01/2017		(596,644	)		(690,555	)		(93,911	)
89	JPPC	LME Copper Futures^		01/2017		(10,356,648	)		(12,293,281	)		(1,936,633	)
2	JPPC	LME Copper Futures^		02/2017		(248,188	)		(276,479	)		(28,291	)
2	JPPC	LME Copper Futures^		02/2017		(269,563	)		(276,575	)		(7,012	)
3	JPPC	LME Copper Futures^		02/2017		(423,143	)		(414,840	)		8,303
3	JPPC	LME Copper Futures^		03/2017		(433,493	)		(414,951	)		18,542
2	JPPC	LME Copper Futures^		03/2017		(276,544	)		(276,719	)		(175	)
7	JPPC	LME Copper Futures^		03/2017		(956,008	)		(968,538	)		(12,530	)
1	JPPC	LME Copper Futures^		03/2017		(137,822	)		(138,366	)		(544	)
1	JPPC	LME Copper Futures^		03/2017		(138,548	)		(138,385	)		163
4,668	MSCL	Natural Gas Futures^		01/2017		(167,929,153	)		(173,836,320	)		(5,907,167	)
1,116	MSCL	WTI Crude Futures^		01/2017		(57,288,685	)		(59,951,520	)		(2,662,835	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1,300	BARC	Amsterdam Index Futures		01/2017		$ (129,328,598	)		$ (132,219,153	)		$ (2,890,555	)
13,130	BARC	Euro Stoxx 50 Index Futures		03/2017		(443,766,755	)		(452,923,813	)		(9,157,058	)
1,645	BARC	FTSE/JSE Top 40 Index Futures		03/2017		(53,750,145	)		(53,068,805	)		681,340
1,694	BARC	FTSE/MIB Index Futures		03/2017		(166,004,208	)		(171,230,731	)		(5,226,523	)
1,385	BARC	IBEX 35 Index Futures		01/2017		(134,309,345	)		(135,781,942	)		(1,472,597	)
14,330	BARC	OMXS30 Index Futures		01/2017		(242,484,237	)		(238,922,464	)		3,561,773
16	BARC	SGX S&P CNX Nifty Index Futures		01/2017		(256,431	)		(261,904	)		(5,473	)
416	BARC	TOPIX Index Futures		03/2017		(52,304,433	)		(54,031,059	)		(1,726,626	)
1,206	JPMS	90-Day EURODollar Futures		06/2017		(297,902,674	)		(297,866,925	)		35,749
1,206	JPMS	90-Day EURODollar Futures		09/2017		(297,564,133	)		(297,414,675	)		149,458
1,206	JPMS	90-Day EURODollar Futures		12/2017		(297,121,444	)		(296,917,200	)		204,244
16	JPMS	90-Day Sterling Futures		03/2017		(2,454,433	)		(2,455,064	)		(631	)
774	JPMS	90-Day Sterling Futures		06/2017		(118,753,136	)		(118,733,911	)		19,225
774	JPMS	90-Day Sterling Futures		09/2017		(118,731,527	)		(118,710,077	)		21,450
758	JPMS	90-Day Sterling Futures		12/2017		(116,153,083	)		(116,221,091	)		(68,008	)
8,406	JPMS	Australia 10-Year Bond Futures		03/2017		(770,630,852	)		(774,910,476	)		(4,279,624	)
6,367	GSCO	Canadian 10-Year Bond Futures		03/2017		(658,889,253	)		(652,183,004	)		6,706,249
497	GSCO	Euro-Buxl 30-Year Bond Futures		03/2017		(90,364,692	)		(90,779,945	)		(415,253	)
140	GSCO	Long Gilt Futures		03/2017		(21,684,897	)		(21,710,205	)		(25,308	)
1,645	MSCL	U.S. Treasury Long Bond Futures		03/2017		(249,771,429	)		(247,829,531	)		1,941,898
						(4,715,711,323	)		(4,738,757,483	)		(23,046,160	)
						$6,675,762,988			$6,667,578,940			$(8,184,048	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		155,582,396		$115,405,741		$112,083,367		$(3,322,374	)
Australian Dollar, Expiring 03/15/17	JPMC	AUD		233,373,593		173,108,829		168,125,049		(4,983,780	)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		220,980,229		62,767,494		66,582,922		3,815,428
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		329,970,341		93,720,938		99,422,421		5,701,483
Canadian Dollar, Expiring 03/15/17	CITI	CAD		252,698,540		190,254,197		188,364,762		(1,889,435	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		379,047,810		285,381,654		282,547,142		(2,834,512	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		32,822,000		32,150,758		32,374,982		224,224
Swiss Franc, Expiring 03/15/17	JPMC	CHF		38,757,000		37,832,566		38,229,150		396,584
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		45,646,800		6,538,383		6,422,823		(115,560	)
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		51,019,200		7,321,741		7,178,757		(142,984	)
Danish Krone, Expiring 03/15/17	CITI	DKK		49,106,000		7,042,732		6,979,815		(62,917	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 03/15/17	CITI	EUR		2,311,000		$ 2,426,502		$ 2,441,248		$ 14,746
British Pound, Expiring 03/15/17	CITI	GBP		23,093,200		29,406,313		28,509,785		(896,528	)
British Pound, Expiring 03/15/17	JPMC	GBP		34,639,800		44,109,032		42,764,679		(1,344,353	)
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		82,301,400		10,616,563		10,616,340		(223	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		112,152,600		14,469,200		14,466,947		(2,253	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		224,400,000		768,078		765,238		(2,840	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		336,600,000		1,152,119		1,147,853		(4,266	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		5,200,000		1,364,197		1,352,578		(11,619	)
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		7,800,000		2,046,114		2,028,868		(17,246	)
Indian Rupee, Expiring 03/15/17*	CITI	INR		1,692,099,476		24,676,501		24,735,965		59,464
Indian Rupee, Expiring 03/15/17*	JPMC	INR		2,538,149,214		37,014,798		37,103,947		89,149
Japanese Yen, Expiring 03/15/17	CITI	JPY		20,852,563,942		183,625,902		179,041,280		(4,584,622	)
Japanese Yen, Expiring 03/15/17	JPMC	JPY		31,275,373,414		275,408,734		268,532,109		(6,876,625	)
Mexican Peso, Expiring 03/15/17	CITI	MXN		624,453,737		29,862,678		29,841,864		(20,814	)
Mexican Peso, Expiring 03/15/17	JPMC	MXN		936,680,604		44,793,871		44,762,798		(31,073	)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		331,252,000		39,209,145		38,377,818		(831,327	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		434,694,000		51,394,352		50,362,285		(1,032,067	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		48,569,943		34,468,653		33,670,624		(798,029	)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		72,854,914		51,703,040		50,505,933		(1,197,107	)
Poland Zloty, Expiring 03/15/17	CITI	PLN		52,400,000		12,449,073		12,506,529		57,456
Poland Zloty, Expiring 03/15/17	JPMC	PLN		78,600,000		18,673,633		18,759,794		86,161
Swedish Krona, Expiring 03/15/17	CITI	SEK		47,459,000		5,212,867		5,230,888		18,021
Turkish Lira, Expiring 03/15/17	CITI	TRY		110,005,180		31,291,592		30,726,178		(565,414	)
Turkish Lira, Expiring 03/15/17	JPMC	TRY		165,007,770		46,937,447		46,089,268		(848,179	)
South African Rand, Expiring 03/15/17	CITI	ZAR		374,800,000		26,663,632		26,931,932		268,300
South African Rand, Expiring 03/15/17	JPMC	ZAR		547,200,000		38,938,775		39,320,049		381,274
						$2,070,207,844		$2,048,903,987		$(21,303,857	)

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

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Consolidated Schedule of Investments December 31, 2016

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		(14,818,800	)		$(10,692,317	)		$(10,675,636	)		$16,681
Australian Dollar, Expiring 03/15/17	JPMC	AUD		(22,228,200	)		(16,038,455	)		(16,013,454	)		25,001
Swiss Franc, Expiring 03/15/17	CITI	CHF		(380,843,890	)		(378,289,810	)		(375,656,999	)		2,632,811
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(565,189,332	)		(561,414,354	)		(557,491,752	)		3,922,602
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		(49,770,000	)		(7,130,058	)		(7,002,985	)		127,073
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		(63,978,000	)		(9,179,617	)		(9,002,150	)		177,467
Danish Krone, Expiring 03/15/17	CITI	DKK		(54,752,970	)		(7,941,964	)		(7,782,463	)		159,501
Danish Krone, Expiring 03/15/17	JPMC	DKK		(82,129,453	)		(11,912,931	)		(11,673,695	)		239,236
Euro, Expiring 03/15/17	CITI	EUR		(79,666,550	)		(85,411,216	)		(84,156,555	)		1,254,661
Euro, Expiring 03/15/17	JPMC	EUR		(103,173,822	)		(110,529,929	)		(108,988,694	)		1,541,235
British Pound, Expiring 03/15/17	CITI	GBP		(18,748,701	)		(23,509,124	)		(23,146,271	)		362,853
British Pound, Expiring 03/15/17	JPMC	GBP		(28,123,050	)		(35,264,020	)		(34,719,403	)		544,617
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(207,568,400	)		(26,769,499	)		(26,774,957	)		(5,458	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		(51,582,600	)		(6,656,108	)		(6,653,816	)		2,292
Hungarian Forint, Expiring 03/16/17	CITI	HUF		(1,020,000,000	)		(3,432,062	)		(3,478,347	)		(46,285	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		(780,000,000	)		(2,629,495	)		(2,659,914	)		(30,419	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		(158,303,637	)		(41,672,207	)		(41,176,553	)		495,654
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		(237,455,454	)		(62,508,232	)		(61,764,830	)		743,402
Indian Rupee, Expiring 03/15/17*	CITI	INR		(430,000,000	)		(6,274,648	)		(6,285,956	)		(11,308	)
Indian Rupee, Expiring 03/15/17*	JPMC	INR		(510,000,000	)		(7,438,917	)		(7,455,436	)		(16,519	)
Japanese Yen, Expiring 03/15/17	CITI	JPY		(4,692,507,000	)		(40,399,084	)		(40,290,128	)		108,956
Korean Won, Expiring 03/15/17*	CITI	KRW		(83,031,867,584	)		(71,075,755	)		(68,752,960	)		2,322,795
Korean Won, Expiring 03/15/17*	JPMC	KRW		(124,547,801,376	)		(106,613,501	)		(103,129,442	)		3,484,059
Mexican Peso, Expiring 03/15/17	CITI	MXN		(164,000,000	)		(7,951,978	)		(7,837,355	)		114,623
Mexican Peso, Expiring 03/15/17	JPMC	MXN		(246,000,000	)		(11,927,954	)		(11,756,033	)		171,921
Norwegian Krone, Expiring 03/15/17	CITI	NOK		(131,473,160	)		(15,648,930	)		(15,232,068	)		416,862
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		(195,807,238	)		(23,311,578	)		(22,685,613	)		625,965
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		(5,012,000	)		(3,444,369	)		(3,474,518	)		(30,149	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		(7,518,000	)		$ (5,166,547	)		$ (5,211,778	)		$ (45,231	)
Swedish Krona, Expiring 03/15/17	CITI	SEK		(678,104,307	)		(74,319,670	)		(74,740,043	)		(420,373	)
Swedish Krona, Expiring 03/15/17	JPMC	SEK		(859,210,961	)		(94,092,797	)		(94,701,454	)		(608,657	)
Singapore Dollar, Expiring 03/15/17	CITI	SGD		(97,807,800	)		(68,665,495	)		(67,515,350	)		1,150,145
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		(145,526,699	)		(102,170,929	)		(100,455,036	)		1,715,893
Turkish Lira, Expiring 03/15/17	CITI	TRY		(6,000,000	)		(1,699,996	)		(1,675,895	)		24,101
Turkish Lira, Expiring 03/15/17	JPMC	TRY		(9,000,000	)		(2,549,998	)		(2,513,842	)		36,156
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		(455,705,474	)		(14,279,099	)		(14,185,022	)		94,077
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		(683,558,210	)		(21,418,623	)		(21,277,534	)		141,089
							(2,079,431,266	)		(2,057,993,937	)		21,437,329
							$(9,223,422	)		$(9,089,950	)		$133,472

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at December 31, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	2-61 months maturity ranging from 01/19/2017 - 12/21/2020		$(22,383,878	)

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		97,179	$	1,471,371	$	(80,045	)
Ireland
Paddy Power Betfair plc		2,746		306,702		(9,559	)
Isle of Man
Paysafe Group plc		358,673		1,872,865		(234,236	)
South Africa
Investec plc		369,937		2,201,473		224,795
Mondi plc		200,203		3,105,830		982,766
						1,207,561
Switzerland
Coca-Cola HBC AG		37,811		645,302		178,043
IWG plc		465,514		1,738,679		(330,584	)
Wolseley plc		23,557		1,054,710		383,355
						230,814
United Kingdom
Aberdeen Asset Management plc		154,730		510,179		(20,955	)
Aggreko plc		37,203		345,718		74,244
Amec Foster Wheeler plc		111,990		634,970		11,722
Ashtead Group plc		364,398		5,747,089		1,336,947
Babcock International Group plc		197,221		2,332,850		(19,563	)
BAE Systems plc		487,827		3,057,634		490,600
Barratt Developments plc		1,698,101		10,972,172		(1,318,274	)
Bellway plc		271,608		7,856,781		422,569
Berkeley Group Holdings plc		164,798		6,956,771		(1,259,894	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
BP plc		282,541	$	1,578,094	$	191,581
Britvic plc		61,582		551,175		(121,186	)
BT Group plc		1,035,759		5,796,131		(1,120,402	)
Bunzl plc		67,602		1,501,548		253,489
Close Brothers Group plc		198,107		3,226,836		291,677
Compass Group plc		244,963		3,847,611		679,686
Daily Mail & General Trust plc		69,517		591,088		74,628
DCC plc		60,487		4,180,623		315,438
Direct Line Insurance Group plc		579,918		2,869,109		(229,815	)
Dixons Carphone plc		376,675		2,264,341		(619,218	)
easyJet plc		93,394		2,012,843		(857,613	)
GKN plc		818,912		3,131,728		206,071
Greene King plc		247,646		2,650,815		(522,846	)
Hays plc		286,375		421,020		104,455
Henderson Group plc		172,063		576,090		(79,484	)
Howden Joinery Group plc		205,238		1,345,481		(376,959	)
HSBC Holdings plc		1,323,703		9,395,580		1,284,870
Imperial Brands plc		85,083		3,641,180		66,783
Inchcape plc		138,673		1,328,198		(129,792	)
Indivior plc		833,862		2,440,099		598,197
Informa plc		53,254		445,125		940
Intermediate Capital Group plc		665,265		5,423,879		303,757
J Sainsbury plc		1,684,547		5,398,935		(221,566	)
John Wood Group plc		104,586		828,183		301,185
Johnson Matthey plc		23,216		988,040		(79,662	)
Jupiter Fund Management plc		112,182		579,039		31,882
Kingfisher plc		536,398		2,173,166		137,845
Legal & General Group plc		484,399		1,477,037		(1,375	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Lloyds Banking Group plc		1,214,921		$	809,097		$	123,814
Meggitt plc		116,747			501,020			158,273
Micro Focus International plc		210,107			4,376,466			1,266,180
National Grid plc		780,829			9,233,729			(110,720	)
Persimmon plc		504,999			11,199,618			(181,731	)
Playtech plc		238,848			2,321,892			108,111
Provident Financial plc		72,241			3,055,509			(529,070	)
Reckitt Benckiser Group plc		49,491			4,461,197			(268,915	)
Rentokil Initial plc		807,959			1,614,397			596,002
Rightmove plc		34,355			1,700,422			(50,131	)
Royal Mail plc		1,133,316			6,340,583			101,626
RPC Group plc		139,841			1,656,487			176,565
Sage Group plc (The)		360,472			2,732,935			172,840
Sky plc		364,777			5,082,145			(635,173	)
SSE plc		148,811			2,698,882			142,525
Taylor Wimpey plc		4,993,740			10,666,109			(1,247,499	)
Travis Perkins plc		41,731			848,648			(102,656	)
Vodafone Group plc		2,392,186			6,329,497			(442,615	)
Whitbread plc		15,010			840,042			(141,804	)
William Hill plc		946,278			4,060,282			(680,416	)
Wm Morrison Supermarkets plc		3,350,215			8,415,582			1,099,975
WPP plc		322,940			6,201,669			984,852
								739,995
Total of Long Equity Positions								1,854,530
Short Positions
Common Stocks
Australia
BHP Billiton plc		(817,001	)		(10,208,249	)		(2,800,875	)
Chile
Antofagasta plc		(1,038,486	)		(6,892,347	)		(1,705,957	)
Ireland
Experian plc		(404,100	)		(5,509,303	)		(2,314,734	)
Jordan
Hikma Pharmaceuticals plc		(109,648	)		(2,517,730	)		(37,913	)
Switzerland
Glencore plc		(756,297	)		(2,030,846	)		(524,594	)
United Kingdom
Admiral Group plc		(24,260	)		(502,829	)		(42,756	)
Anglo American plc		(55,203	)		(774,386	)		(5,569	)
ASOS plc		(58,589	)		(2,110,797	)		(1,468,872	)
Associated British Foods plc		(34,677	)		(1,102,157	)		(67,917	)
AstraZeneca plc		(138,927	)		(8,647,765	)		1,061,273

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Aviva plc		(898,896	)	$	(4,832,113	)	$	(522,278	)
Balfour Beatty plc		(237,578	)		(768,356	)		(16,212	)
Barclays plc		(900,451	)		(1,711,005	)		(760,146	)
Booker Group plc		(438,272	)		(914,467	)		(32,899	)
British American Tobacco plc		(9,126	)		(394,633	)		(122,587	)
BTG plc		(194,676	)		(1,475,265	)		61,534
Burberry Group plc		(286,180	)		(4,505,142	)		(768,848	)
Capita plc		(717,159	)		(7,492,982	)		2,803,774
Centrica plc		(2,749,253	)		(7,063,195	)		(854,777	)
Cobham plc		(836,969	)		(1,674,684	)		(10,505	)
Croda International plc		(38,348	)		(1,410,009	)		(98,201	)
Diageo plc		(377,294	)		(8,385,556	)		(1,405,168	)
Drax Group plc		(369,290	)		(954,253	)		(763,336	)
G4S plc		(945,216	)		(2,202,847	)		(529,183	)
GlaxoSmithKline plc		(144,089	)		(2,355,601	)		(412,133	)
Hargreaves Lansdown plc		(343,617	)		(6,287,975	)		1,174,824
IMI plc		(208,638	)		(2,240,406	)		(427,822	)
Inmarsat plc		(453,810	)		(4,206,253	)		7,330
InterContinental Hotels Group plc		(24,398	)		(830,800	)		(260,136	)
International Consolidated Airlines Group SA		(155,750	)		(851,596	)		7,679
Intertek Group plc		(111,583	)		(3,913,038	)		(869,191	)
ITV plc		(261,537	)		(653,657	)		(10,387	)
Just Eat plc		(380,628	)		(2,537,344	)		(197,671	)
Marks & Spencer Group plc		(170,655	)		(711,491	)		(23,637	)
NEX Group plc		(166,062	)		(1,614,446	)		663,824
Next plc		(71,166	)		(4,506,621	)		140,896
Old Mutual plc		(1,369,680	)		(2,693,548	)		(799,095	)
Pearson plc		(296,874	)		(2,902,219	)		(76,508	)
Pennon Group plc		(197,307	)		(2,050,306	)		42,171
Petrofac Ltd.		(363,840	)		(3,413,873	)		(479,799	)
Prudential plc		(62,745	)		(1,177,266	)		(74,966	)
Rio Tinto plc		(345,862	)		(10,301,442	)		(2,902,878	)
Rolls-Royce Holdings plc (c)		(23,039,468	)		(172	)		(28,222	)
Rolls-Royce Holdings plc (LSE)		(500,858	)		(4,199,613	)		85,815
Rotork plc		(415,078	)		(918,613	)		(313,177	)
Royal Bank of Scotland Group plc		(2,959,152	)		(9,322,062	)		1,145,465
RSA Insurance Group plc		(637,382	)		(3,152,232	)		(1,444,131	)
Schroders plc		(16,387	)		(543,356	)		(58,505	)
Serco Group plc		(1,917,860	)		(2,080,768	)		(1,302,766	)
Severn Trent plc		(87,062	)		(2,285,277	)		(94,023	)
Smith & Nephew plc		(224,457	)		(3,337,564	)		(31,361	)
Spectris plc		(25,416	)		(500,231	)		(223,994	)
Spirax-Sarco Engineering plc		(9,551	)		(345,434	)		(146,103	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Sports Direct International plc		(127,056	)	$	(728,728	)	$	293,216
St. James’s Place plc		(153,917	)		(1,883,766	)		(36,161	)
Standard Chartered plc		(284,886	)		(1,703,677	)		(619,546	)
Standard Life plc		(800,705	)		(3,664,324	)		(2,257	)
Tesco plc		(4,226,457	)		(7,376,421	)		(3,400,193	)
Thomas Cook Group plc		(999,417	)		(1,552,033	)		478,480
TP ICAP plc		(135,704	)		—			(721,718	)
United Utilities Group plc		(104,341	)		(1,114,273	)		(42,274	)
Weir Group plc (The)		(90,692	)		(906,782	)		(1,200,829	)
Worldpay Group plc		(175,871	)		(656,417	)		72,509
								(15,629,947	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
Shire plc		(223,293	)	$	(13,392,774	)	$	642,913
Total of Short Equity Positions								(22,371,107	)
Total of Long and Short Equity Positions								(20,516,577	)
Net Cash and Other Receivables/ (Payables) (b)								(1,867,301	)
Swaps, at Value							$	(22,383,878	)

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

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

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees.

Total Return Basket Swaps Outstanding at December 31, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	48-61 months maturity 12/22/2020		$174,225,480

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Waste Connections, Inc.		54,932	$	2,988,314	$	1,328,792
Panama
Copa Holdings SA		10,706		980,138		(7,712	)
Singapore
Broadcom Ltd.		15,488		2,175,754		562,060
Sweden
Autoliv, Inc.		11,509		1,225,865		76,378

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
3M Co.		54,267	$	9,089,021	$	601,437
Aaron’s, Inc.		127,205		2,815,824		1,253,464
Accenture plc		72,618		7,615,138		890,609
Activision Blizzard, Inc.		284,685		11,048,605		(768,630	)
Acuity Brands, Inc.		6,277		1,467,072		(17,964	)
AdvanSix, Inc.		21,390		740,171		(266,596	)
Aetna, Inc.		302,952		34,571,152		2,997,926
Aflac, Inc.		290,585		19,548,709		676,007
AGCO Corp.		161,033		7,379,241		1,938,128
Air Lease Corp.		75,334		2,222,880		363,336
Air Products & Chemicals, Inc.		3,067		406,417		34,679

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Akamai Technologies, Inc.		46,008	$	2,800,820	$	266,993
Alaska Air Group, Inc.		191,564		14,831,768		2,165,706
Albemarle Corp.		9,814		789,290		55,499
Alleghany Corp.		2,640		1,313,764		291,673
Allied World Assurance Co. Holdings AG		52,049		1,844,617		950,935
Allstate Corp. (The)		300,352		20,033,161		2,228,929
Alphabet, Inc.		7,306		5,576,698		212,942
Amdocs Ltd.		202,822		11,064,999		749,382
AMERCO		20,265		7,501,395		(11,653	)
Ameren Corp.		461,142		21,481,853		2,709,656
American Airlines Group, Inc.		105,748		4,859,149		78,225
American Eagle Outfitters, Inc.		593,594		8,811,389		193,432
American Electric Power Co., Inc.		401,500		23,763,311		1,515,129
American Financial Group, Inc.		100,009		7,148,790		1,664,003
American International Group, Inc.		93,461		5,352,671		751,267
Ameriprise Financial, Inc.		85,288		8,683,259		778,591
AmerisourceBergen Corp.		14,971		1,423,839		(253,257	)
Amgen, Inc.		84,092		12,815,139		(520,048	)
AmTrust Financial Services, Inc.		246,217		7,375,087		(633,665	)
Analog Devices, Inc.		18,038		979,132		330,788
Antero Resources Corp.		544,477		14,589,279		(1,712,398	)
Anthem, Inc.		232,837		31,441,352		2,033,623
AO Smith Corp.		283,705		10,828,689		2,604,743
Apple, Inc.		6,850		746,513		46,854
Applied Materials, Inc.		485,789		13,937,157		1,739,254
Aramark		23,846		894,098		(42,318	)
Arch Capital Group Ltd.		47,092		3,293,140		770,428
Archer-Daniels-Midland Co.		166,317		5,911,258		1,681,113
Arrow Electronics, Inc.		185,122		11,188,392		2,010,807
Ashland Global Holdings, Inc.		13,136		1,357,343		78,291
Aspen Insurance Holdings Ltd.		120,656		5,753,746		882,334
Associated Banc-Corp.		52,681		1,015,425		285,796
Assurant, Inc.		88,206		7,109,576		1,081,233
Assured Guaranty Ltd.		319,052		8,900,246		3,150,348
AT&T, Inc.		363,250		13,600,444		1,848,578
Atmos Energy Corp.		97,869		6,822,999		433,987
AutoZone, Inc.		1,673		1,263,634		57,685
Avery Dennison Corp.		165,199		11,384,039		216,234

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Avnet, Inc.		228,440	$	9,467,596	$	1,408,433
Axis Capital Holdings Ltd.		131,955		7,306,737		1,305,966
Bank of America Corp.		31,941		703,129		2,767
Bank of Hawaii Corp.		19,951		1,336,641		432,813
Bank of New York Mellon Corp. (The)		260,321		9,919,188		2,414,821
Baxter International, Inc.		260,830		11,500,630		64,572
BB&T Corp.		241,242		9,173,218		2,169,980
Becton Dickinson and Co.		40,000		6,462,805		159,195
Bed Bath & Beyond, Inc.		58,747		2,842,603		(455,125	)
Bemis Co., Inc.		203,424		9,770,986		(43,250	)
Best Buy Co., Inc.		401,326		13,759,730		3,364,850
Big Lots, Inc.		108,188		4,365,614		1,066,505
Biogen, Inc.		16,474		5,092,799		(421,102	)
Bio-Rad Laboratories, Inc.		13,490		1,765,900		693,057
BlackRock, Inc.		14,941		5,208,848		476,800
Boeing Co. (The)		44,271		6,302,183		589,927
BOK Financial Corp.		59,918		3,119,945		1,855,645
Booz Allen Hamilton Holding Corp.		209,496		6,551,260		1,005,261
Boston Beer Co., Inc. (The)		3,569		628,567		(22,372	)
Boston Scientific Corp.		36,529		678,278		111,845
Brinker International, Inc.		129,724		5,860,930		564,299
Broadridge Financial Solutions, Inc.		99,451		5,362,180		1,231,422
Brocade Communications Systems, Inc.		185,181		1,727,231		585,679
Bruker Corp.		115,671		2,574,857		(124,946	)
Brunswick Corp.		142,830		6,318,431		1,471,517
Burlington Stores, Inc.		78,583		6,301,166		358,743
BWX Technologies, Inc.		23,119		893,630		24,194
CA, Inc.		289,378		8,949,819		243,720
Cabot Corp.		167,897		7,942,000		543,514
Cadence Design Systems, Inc.		231,143		4,858,489		970,937
Campbell Soup Co.		63,150		3,495,224		323,457
Capital One Financial Corp.		192,889		14,136,540		2,691,096
Cardinal Health, Inc.		93,304		7,930,289		(1,215,201	)
Carlisle Cos., Inc.		55,772		5,260,001		891,093
Carnival Corp.		237,317		11,707,556		647,167
Carter’s, Inc.		58,066		5,460,390		(444,068	)
Casey’s General Stores, Inc.		79,770		9,275,517		207,540
Cathay General Bancorp		11,406		307,121		126,649

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CDW Corp.		114,572	$	4,754,545	$	1,213,511
Celanese Corp.		111,176		7,227,355		1,526,643
Centene Corp.		39,122		2,479,339		(268,554	)
CenturyLink, Inc.		458,758		13,222,908		(2,313,643	)
CH Robinson Worldwide, Inc.		8,278		585,797		20,649
Charles River Laboratories International, Inc.		95,656		7,419,841		(131,811	)
Cheesecake Factory, Inc. (The)		147,637		7,493,877		1,346,626
Chemical Financial Corp.		9,381		402,162		106,007
Chubb Ltd.		101,348		12,449,415		940,683
Church & Dwight Co., Inc.		100,943		4,299,058		161,613
Cinemark Holdings, Inc.		104,238		3,201,971		796,599
Cintas Corp.		116,594		11,157,025		2,316,577
Cirrus Logic, Inc.		121,205		6,610,006		242,924
Cisco Systems, Inc.		495,474		13,787,819		1,185,405
Citizens Financial Group, Inc.		160,365		3,974,919		1,738,886
Citrix Systems, Inc.		78,077		5,402,923		1,570,134
Clorox Co. (The)		26,644		3,394,987		(197,174	)
CME Group, Inc.		35,369		3,355,249		724,565
CMS Energy Corp.		260,160		10,380,770		447,090
Comcast Corp.		186,433		11,230,698		1,642,500
Commerce Bancshares, Inc.		150,942		6,381,909		2,344,048
Commercial Metals Co.		644,047		9,180,825		4,846,519
Computer Sciences Corp.		180,706		5,575,117		5,162,433
Conagra Brands, Inc.		27,961		862,639		243,219
ConocoPhillips		40,919		1,699,849		351,830
CONSOL Energy, Inc.		327,481		6,563,832		(593,853	)
Consolidated Edison, Inc.		469,464		32,016,048		2,574,059
Constellation Brands, Inc.		105,765		16,365,765		(150,933	)
Convergys Corp.		355,694		9,314,001		(578,157	)
Cooper Cos., Inc. (The)		5,757		785,468		221,604
CoreLogic, Inc.		49,502		1,760,070		63,089
Corning, Inc.		546,547		12,565,801		698,895
CR Bard, Inc.		21,630		4,123,111		736,285
Cracker Barrel Old Country Store, Inc.		48,571		6,733,186		1,377,199
Crane Co.		75,291		4,666,851		763,136
Crown Holdings, Inc.		84,254		4,018,857		410,376
CSX Corp.		219,543		6,054,129		1,834,051
Cummins, Inc.		109,189		11,565,045		3,357,815
Curtiss-Wright Corp.		53,413		4,684,181		569,522
CVS Health Corp.		53,462		5,063,386		(844,700	)
Danaher Corp.		104,095		6,932,072		1,170,683

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Darden Restaurants, Inc.		175,251	$	10,818,141	$	1,926,112
Dean Foods Co.		484,886		8,738,242		1,822,575
Deckers Outdoor Corp.		26,958		1,329,029		164,174
Delta Air Lines, Inc.		483,506		22,189,820		1,593,840
Deluxe Corp.		164,007		9,614,591		2,129,950
Diamond Offshore Drilling, Inc.		340,342		7,617,826		(1,593,773	)
Dick’s Sporting Goods, Inc.		95,113		4,790,386		260,114
Dillard’s, Inc.		32,085		2,075,047		(63,638	)
Discover Financial Services		190,464		10,649,180		3,081,370
Dover Corp.		41,423		2,808,829		294,997
Dow Chemical Co. (The)		374,142		18,355,475		3,052,930
DR Horton, Inc.		453,317		13,655,117		(1,265,963	)
Dr. Pepper Snapple Group, Inc.		151,651		13,990,654		(240,458	)
Dril-Quip, Inc.		115,616		6,544,798		397,943
DST Systems, Inc.		53,326		6,086,539		(372,658	)
DTE Energy Co.		241,355		20,737,549		3,038,332
Duke Energy Corp.		117,557		9,320,051		(195,277	)
Dun & Bradstreet Corp. (The)		9,863		1,017,801		178,778
East West Bancorp, Inc.		29,088		1,125,146		353,397
Eastman Chemical Co.		79,013		5,202,534		740,034
Eaton Corp. plc		121,940		8,035,491		145,463
eBay, Inc.		358,184		10,037,841		596,642
Edison International		203,372		13,071,230		1,569,521
Electronic Arts, Inc.		97,931		6,964,853		748,193
Eli Lilly & Co.		74,332		6,408,074		(940,955	)
EMCOR Group, Inc.		49,515		3,336,108		167,573
Entergy Corp.		338,140		24,939,768		(96,622	)
EQT Corp.		37,646		2,213,229		248,820
Equifax, Inc.		115,865		12,715,988		982,731
Euronet Worldwide, Inc.		24,205		1,879,073		(125,905	)
Everest Re Group Ltd.		60,542		11,574,991		1,526,298
Exelon Corp.		605,030		19,410,664		2,061,851
Expedia, Inc.		23,971		2,805,915		(90,480	)
Expeditors International of Washington, Inc.		32,749		1,510,440		223,947
Exxon Mobil Corp.		23,718		2,099,622		41,165
FactSet Research Systems, Inc.		9,833		1,515,509		91,498
Fair Isaac Corp.		37,614		3,782,319		702,022
Federated Investors, Inc.		44,970		1,320,851		(49,100	)
FedEx Corp.		49,555		8,109,931		1,117,210
Fidelity National Information Services, Inc.		35,462		2,439,828		242,518

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

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254

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Fifth Third Bancorp		727,875	$	13,369,803	$	6,260,986
First American Financial Corp.		138,533		5,038,300		36,164
FirstEnergy Corp.		29,311		976,324		(68,563	)
Fiserv, Inc.		74,210		7,044,698		842,341
Flex Ltd.		633,173		7,531,199		1,567,497
FNF Group		33,782		1,159,458		(12,221	)
Foot Locker, Inc.		132,347		8,464,446		917,633
Ford Motor Co.		712,958		8,705,859		(57,678	)
Fortune Brands Home & Security, Inc.		149,515		9,073,303		(1,080,232	)
FTI Consulting, Inc.		10,183		446,484		12,566
Fulton Financial Corp.		221,915		2,906,525		1,265,477
GameStop Corp.		193,180		5,543,021		(663,294	)
Gannett Co., Inc.		14,985		205,247		(59,742	)
GATX Corp.		99,039		4,371,343		1,727,478
General Dynamics Corp.		64,493		8,908,409		2,226,952
General Mills, Inc.		81,886		4,730,555		327,543
General Motors Co.		514,572		16,204,583		1,723,105
Genpact Ltd.		225,055		5,450,142		27,697
Gilead Sciences, Inc.		124,268		11,570,786		(2,671,954	)
Goodyear Tire & Rubber Co. (The)		432,304		12,859,944		485,281
Graham Holdings Co.		7,021		3,452,199		142,202
Graphic Packaging Holding Co.		108,171		1,320,243		29,731
Great Plains Energy, Inc.		171,367		4,830,986		(144,098	)
Hancock Holding Co.		20,400		666,393		212,847
Hanover Insurance Group, Inc. (The)		101,385		8,264,057		962,991
Harris Corp.		34,915		2,890,689		687,051
Hartford Financial Services Group, Inc. (The)		148,856		6,345,152		747,836
Hasbro, Inc.		65,733		4,682,083		431,287
Hawaiian Electric Industries, Inc.		131,607		3,969,607		382,637
HCA Holdings, Inc.		98,127		6,537,622		725,739
HD Supply Holdings, Inc.		74,917		2,532,318		652,404
Helmerich & Payne, Inc.		71,283		3,521,656		1,995,648
Herc Holdings, Inc.		12,649		389,055		118,929
Herman Miller, Inc.		163,876		4,885,381		719,179
Hewlett Packard Enterprise Co.		1,637,834		38,012,196		(112,718	)
Hill-Rom Holdings, Inc.		18,291		891,665		135,192
Home Depot, Inc. (The)		35,601		4,656,983		116,399
Honeywell International, Inc.		121,546		12,648,314		1,432,790
Hormel Foods Corp.		258,005		10,044,865		(1,063,711	)
HP, Inc.		943,176		12,684,474		1,312,257
Hubbell, Inc.		20,675		2,092,177		320,596

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Huntington Ingalls Industries, Inc.		172,937	$	24,692,479	$	7,160,787
Huntsman Corp.		409,665		6,845,965		970,443
IAC/InterActiveCorp.		28,107		1,729,143		91,910
IDACORP, Inc.		65,242		4,578,112		677,131
Illinois Tool Works, Inc.		89,290		10,474,814		459,639
Ingersoll-Rand plc		270,558		18,562,352		1,740,320
Ingredion, Inc.		160,496		17,270,981		2,784,600
Intel Corp.		368,935		13,008,450		372,823
Intercontinental Exchange, Inc.		164,785		8,176,692		1,120,478
InterDigital, Inc.		88,438		5,469,036		2,609,775
International Business Machines Corp.		54,788		8,196,289		897,971
International Game Technology plc		411,680		8,201,849		2,304,224
International Paper Co.		289,841		13,358,280		2,020,684
Interpublic Group of Cos., Inc. (The)		321,727		7,197,862		333,767
Intuit, Inc.		6,025		589,667		100,859
Intuitive Surgical, Inc.		1,977		1,407,915		(154,161	)
ITT, Inc.		121,569		4,004,962		683,954
j2 Global, Inc.		49,789		3,356,855		715,885
Jabil Circuit, Inc.		394,378		7,972,446		1,362,481
Jack Henry & Associates, Inc.		72,597		5,735,930		709,232
Jacobs Engineering Group, Inc.		99,542		5,185,138		488,756
JetBlue Airways Corp.		597,386		12,836,714		556,680
JM Smucker Co. (The)		92,775		12,801,349		(920,582	)
John Wiley & Sons, Inc.		62,561		2,907,063		502,511
Johnson & Johnson		176,894		19,886,114		493,844
Johnson Controls International plc		16,477		718,080		(39,393	)
JPMorgan Chase & Co.		337,306		22,070,228		7,035,907
Juniper Networks, Inc.		115,193		2,734,992		520,362
KB Home		585,267		7,561,359		1,691,712
Kimberly-Clark Corp.		56,834		7,276,329		(790,433	)
KLA-Tencor Corp.		17,158		1,246,426		103,566
Kohl’s Corp.		45,759		2,033,988		225,592
Kroger Co. (The)		338,642		12,970,195		(1,283,660	)
L-3 Communications Holdings, Inc.		112,333		16,553,409		533,563
Lam Research Corp.		89,174		6,895,237		2,533,130
Lancaster Colony Corp.		36,095		3,850,181		1,253,291
Las Vegas Sands Corp.		12,877		696,433		(8,673	)
Lear Corp.		214,040		25,341,814		2,990,660
Leggett & Platt, Inc.		70,855		3,138,798		324,594
Leidos Holdings, Inc.		204,562		8,635,245		1,826,056
Lennar Corp.		62,910		2,777,272		(76,545	)

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

AQR Funds Annual Report December 2016

255

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Lennox International, Inc.		31,861	$	4,274,330	$	605,819
Lincoln National Corp.		37,277		1,753,266		717,081
Lockheed Martin Corp.		33,554		7,334,471		1,052,016
Lowe’s Cos., Inc.		69,005		5,163,059		(255,423	)
LyondellBasell Industries NV		165,690		14,401,466		(188,578	)
Mallinckrodt plc		174,508		11,471,740		(2,777,751	)
ManpowerGroup, Inc.		97,311		7,506,020		1,142,009
Marathon Petroleum Corp.		122,122		5,756,339		392,503
MarketAxess Holdings, Inc.		44,787		6,621,408		(41,301	)
Marriott International, Inc.		39,626		2,534,935		741,343
Masco Corp.		133,342		3,722,137		494,137
Mattel, Inc.		58,126		1,877,215		(275,844	)
McCormick & Co., Inc.		21,419		1,816,117		182,918
McKesson Corp.		5,617		965,703		(176,795	)
Mentor Graphics Corp.		87,572		1,498,014		1,732,517
Merck & Co., Inc.		186,275		10,701,982		264,027
Meredith Corp.		81,039		4,169,042		624,414
MetLife, Inc.		109,632		4,874,971		1,033,098
Michael Kors Holdings Ltd.		171,980		8,582,923		(1,191,222	)
Micron Technology, Inc.		131,748		2,445,030		442,887
Microsoft Corp.		140,095		7,719,915		985,589
Minerals Technologies, Inc.		56,140		2,563,203		1,773,612
Mohawk Industries, Inc.		17,949		3,466,622		117,435
Molina Healthcare, Inc.		153,204		8,669,321		(356,472	)
Molson Coors Brewing Co.		107,676		10,990,148		(512,196	)
Morgan Stanley		340,097		10,660,939		3,708,160
MSC Industrial Direct Co., Inc.		76,846		5,689,196		1,410,606
MSCI, Inc.		95,808		6,879,530		668,224
MSG Networks, Inc.		4,162		70,994		18,489
Murphy Oil Corp.		84,207		2,641,385		(20,021	)
Murphy USA, Inc.		141,893		9,369,718		(647,555	)
Mylan NV		62,734		2,482,407		(89,105	)
Nasdaq, Inc.		233,461		13,976,638		1,693,264
Navient Corp.		281,259		4,277,456		343,629
NeuStar, Inc.		223,178		5,403,758		2,050,387
Newfield Exploration Co.		69,752		2,208,218		616,738
NewMarket Corp.		2,029		771,364		88,608
News Corp.		35,565		425,610		(18,035	)
NextEra Energy, Inc.		59,422		6,397,205		701,348
NiSource, Inc.		458,046		9,359,886		781,253
Norfolk Southern Corp.		99,142		9,032,504		1,681,772
Northern Trust Corp.		47,306		3,404,600		807,999

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Northrop Grumman Corp.		123,130	$	25,135,374	$	3,502,201
Nu Skin Enterprises, Inc.		104,180		4,000,481		977,239
Nuance Communications, Inc.		36,972		680,935		(130,052	)
NVIDIA Corp.		140,226		4,161,261		10,806,462
NVR, Inc.		6,102		10,020,080		164,157
Oceaneering International, Inc.		123,416		3,484,054		(2,488	)
Old Republic International Corp.		475,437		8,765,052		268,251
Omnicom Group, Inc.		117,593		9,206,842		801,499
ON Semiconductor Corp.		133,181		1,293,492		405,897
ONE Gas, Inc.		147,646		8,662,155		781,283
ONEOK, Inc.		85,831		4,073,397		854,161
Orbital ATK, Inc.		68,445		5,741,524		263,156
O’Reilly Automotive, Inc.		2,377		604,590		57,191
Oshkosh Corp.		245,309		12,020,853		3,828,561
Owens Corning		418,966		20,136,228		1,465,659
PACCAR, Inc.		89,455		4,174,958		1,541,217
Packaging Corp. of America		109,202		7,628,049		1,634,464
PAREXEL International Corp.		36,211		2,225,589		154,198
Parker-Hannifin Corp.		58,411		7,214,775		962,765
Patterson-UTI Energy, Inc.		204,338		2,625,609		2,875,170
Paychex, Inc.		31,074		1,642,429		249,356
Penske Automotive Group, Inc.		50,256		1,719,820		885,451
People’s United Financial, Inc.		292,483		4,655,910		1,006,561
PepsiCo, Inc.		91,195		9,217,216		324,517
Pfizer, Inc.		312,771		10,495,004		(336,202	)
PG&E Corp.		204,139		11,056,578		1,348,949
Phillips 66		76,497		6,245,715		364,391
Pilgrim’s Pride Corp.		499,042		10,820,814		(1,344,006	)
Pinnacle Foods, Inc.		118,017		4,895,345		1,412,663
Pinnacle West Capital Corp.		345,432		24,356,705		2,597,354
Plantronics, Inc.		12,099		540,263		122,278
PNC Financial Services Group, Inc. (The)		183,923		17,303,542		4,208,092
Popular, Inc.		287,433		9,804,429		2,790,885
Procter & Gamble Co. (The)		291,574		24,981,157		(465,615	)
Progressive Corp. (The)		35,291		1,146,589		106,242
Prudential Financial, Inc.		190,117		14,088,630		5,694,945

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

AQR Funds Annual Report December 2016

256

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Public Service Enterprise Group, Inc.		516,019	$	19,803,552	$	2,839,362
PulteGroup, Inc.		141,898		2,602,179		5,907
PVH Corp.		11,655		1,240,599		(188,852	)
QEP Resources, Inc.		239,983		3,798,462		619,625
Quanta Services, Inc.		56,880		1,932,718		49,550
Quest Diagnostics, Inc.		62,322		4,615,177		1,112,215
Quintiles IMS Holdings, Inc.		65,101		4,269,282		681,649
Raymond James Financial, Inc.		75,954		4,377,073		884,260
Raytheon Co.		193,874		25,887,377		1,642,731
Regal Entertainment Group		53,043		974,139		118,547
Regions Financial Corp.		647,720		6,445,172		2,856,087
Reinsurance Group of America, Inc.		159,906		15,485,103		4,635,869
Reliance Steel & Aluminum Co.		180,240		11,073,581		3,262,709
RenaissanceRe Holdings Ltd.		37,361		4,294,528		794,787
Republic Services, Inc.		367,633		16,769,931		4,203,531
Rice Energy, Inc.		113,806		2,584,529		(154,771	)
Rockwell Automation, Inc.		26,728		2,571,401		1,020,842
Ross Stores, Inc.		63,892		3,441,223		750,092
Rowan Cos. plc		856,712		13,849,774		2,333,516
Royal Caribbean Cruises Ltd.		86,864		7,362,993		(236,671	)
RPC, Inc.		20,809		411,500		726
RPM International, Inc.		35,518		1,820,144		91,790
Ryder System, Inc.		157,107		9,538,590		2,156,455
S&P Global, Inc.		46,753		5,024,451		3,366
SCANA Corp.		266,039		17,629,980		1,865,358
Science Applications International Corp.		73,733		4,878,962		1,373,596
Scotts Miracle-Gro Co. (The)		25,699		1,799,738		655,801
Scripps Networks Interactive, Inc.		96,965		6,274,288		646,105
Sensient Technologies Corp.		29,356		1,820,656		486,139
Service Corp. International		14,965		353,470		71,536
Sherwin-Williams Co. (The)		9,109		2,407,790		40,162
Skechers U.S.A., Inc.		120,137		3,435,353		(482,386	)
Skyworks Solutions, Inc.		33,274		2,294,636		189,601
Snap-on, Inc.		33,653		5,631,674		132,076
Sonoco Products Co.		167,224		7,706,324		1,106,381
Southern Co. (The)		284,667		13,830,924		171,846
Southwest Airlines Co.		235,705		9,483,480		2,264,058
Southwest Gas Corp.		14,416		1,086,690		17,864

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Southwestern Energy Co.		225,817	$	2,249,499	$	193,841
Spectrum Brands Holdings, Inc.		73,043		8,735,884		199,466
Spirit AeroSystems Holdings, Inc.		356,227		16,669,283		4,116,562
Spirit Airlines, Inc.		28,918		1,668,424		4,771
Stanley Black & Decker, Inc.		107,653		11,372,076		974,646
State Street Corp.		112,314		7,476,536		1,252,509
Steel Dynamics, Inc.		378,353		10,461,465		3,000,335
STERIS plc		6,136		451,426		(37,920	)
Stryker Corp.		28,269		2,607,557		779,352
SunTrust Banks, Inc.		424,371		17,912,763		5,363,986
Synaptics, Inc.		30,806		2,047,456		(396,870	)
Synchrony Financial		126,561		3,757,215		833,152
SYNNEX Corp.		104,323		9,864,231		2,760,938
Synopsys, Inc.		111,284		5,216,075		1,334,102
Sysco Corp.		25,128		1,073,567		317,771
Target Corp.		50,191		3,630,315		(5,019	)
TE Connectivity Ltd.		35,882		2,274,560		211,345
Tech Data Corp.		206,759		14,365,350		3,143,002
TEGNA, Inc.		251,895		6,479,954		(1,091,920	)
Teledyne Technologies, Inc.		17,516		1,432,127		722,341
Teleflex, Inc.		55,828		7,682,043		1,314,639
Teradyne, Inc.		266,912		5,141,624		1,637,941
Tesoro Corp.		109,688		9,446,995		145,221
Texas Instruments, Inc.		79,451		5,515,304		282,235
Texas Roadhouse, Inc.		125,976		5,493,560		583,523
Textron, Inc.		225,873		8,179,741		2,788,652
Thermo Fisher Scientific, Inc.		14,420		1,986,532		48,130
Thomson Reuters Corp.		56,164		2,066,554		392,306
Thor Industries, Inc.		135,938		10,206,481		3,394,116
Timken Co. (The)		29,827		1,011,844		172,288
TJX Cos., Inc. (The)		21,516		1,563,803		52,694
TopBuild Corp.		43,165		1,495,426		41,248
Torchmark Corp.		106,123		5,951,829		1,875,804
Toro Co. (The)		143,481		6,486,216		1,541,546
Total System Services, Inc.		77,203		3,047,444		737,820
Transocean Ltd.		421,889		5,241,661		976,983
Travelers Cos., Inc. (The)		219,735		25,267,273		1,632,686
Trinity Industries, Inc.		373,147		8,053,583		2,304,977
Trustmark Corp.		132,125		3,089,840		1,620,416
Tupperware Brands Corp.		20,831		1,197,328		(101,201	)
Tyson Foods, Inc.		530,438		31,655,584		1,061,832
U.S. Bancorp		285,758		12,497,320		2,182,068
UGI Corp.		267,547		10,617,585		1,710,980
Ulta Salon Cosmetics & Fragrance, Inc.		6,940		1,425,734		343,549

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

AQR Funds Annual Report December 2016

257

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United Continental Holdings, Inc.		342,898	$	16,424,505	$	8,565,901
United Parcel Service, Inc.		151,921		16,018,731		1,397,492
United States Steel Corp.		47,574		884,776		685,641
United Therapeutics Corp.		97,249		13,814,645		133,779
UnitedHealth Group, Inc.		149,356		19,948,941		3,953,993
Universal Health Services, Inc.		36,970		4,218,504		(285,635	)
Unum Group		272,345		9,261,855		2,702,261
Urban Outfitters, Inc.		61,281		1,760,059		(14,776	)
Vail Resorts, Inc.		6,140		960,039		30,404
Valero Energy Corp.		272,395		18,489,398		120,629
Validus Holdings Ltd.		162,048		7,612,279		1,301,981
Valmont Industries, Inc.		11,875		1,281,024		392,164
Vantiv, Inc.		25,562		1,349,564		174,442
Vectren Corp.		33,033		1,467,339		255,332
VeriSign, Inc.		6,912		538,675		(12,879	)
Verizon Communications, Inc.		158,480		7,685,763		773,899
Versum Materials, Inc.		41,161		1,019,331		136,058
Vishay Intertechnology, Inc.		265,441		3,338,016		962,129
Vista Outdoor, Inc.		13,243		631,630		(142,963	)
VMware, Inc.		46,860		2,321,825		1,367,463
VWR Corp.		146,253		3,994,121		(333,408	)
Wal-Mart Stores, Inc.		308,450		20,703,185		616,879
Walt Disney Co. (The)		53,306		5,480,495		75,056
Waste Management, Inc.		322,227		17,896,483		4,952,634
Waters Corp.		21,457		2,791,384		92,222
WebMD Health Corp.		26,084		1,611,641		(318,657	)
WellCare Health Plans, Inc.		181,749		19,342,032		5,572,121
Wells Fargo & Co.		258,711		13,860,005		397,559
Werner Enterprises, Inc.		231,780		5,668,734		577,737
West Pharmaceutical Services, Inc.		49,522		3,078,142		1,122,809
Western Union Co. (The)		111,511		2,140,275		281,744
Westlake Chemical Corp.		78,184		3,654,095		723,427
WGL Holdings, Inc.		42,142		2,661,665		552,927
Whirlpool Corp.		75,997		12,480,178		1,333,797
Woodward, Inc.		92,965		4,962,469		1,456,764
World Fuel Services Corp.		128,795		5,378,980		533,998
Worthington Industries, Inc.		140,735		6,416,750		259,719
WR Berkley Corp.		38,568		2,151,324		413,834

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Wyndham Worldwide Corp.		111,711		$	7,784,289		$	747,080
Xcel Energy, Inc.		635,271			24,077,051			1,778,478
Xerox Corp.		665,429			6,630,660			(821,465	)
Xilinx, Inc.		33,767			1,473,475			565,039
Xylem, Inc.		95,410			4,575,686			149,017
								395,461,762
Total of Long Equity Positions								397,421,280
Short Positions
Common Stocks
Canada
Fortis, Inc.		(5,567	)		(126,772	)		(45,137	)
Ireland
XL Group Ltd.		(165,517	)		(5,849,495	)		(317,669	)
Norway
Golar LNG Ltd.		(189,237	)		(3,313,736	)		(1,027,361	)
United Kingdom
Liberty Global plc		(488,259	)		(15,572,407	)		636,565
Pentair plc		(140,305	)		(6,534,722	)		(1,332,180	)
								(695,615	)
United States
3D Systems Corp.		(45,128	)		(604,352	)		4,601
ABIOMED, Inc.		(41,981	)		(5,016,745	)		286,326
Acadia Healthcare Co., Inc.		(411,909	)		(20,482,966	)		6,848,778
Acxiom Corp.		(102,180	)		(2,233,478	)		(504,946	)
Adobe Systems, Inc.		(22,355	)		(2,105,841	)		(195,606	)
Advance Auto Parts, Inc.		(84,311	)		(12,687,771	)		(1,570,905	)
AECOM		(44,669	)		(1,306,122	)		(318,043	)
Agilent Technologies, Inc.		(122,708	)		(4,839,002	)		(751,575	)
Agios Pharmaceuticals, Inc.		(135,739	)		(5,544,367	)		(120,022	)
Akorn, Inc.		(137,698	)		(3,084,780	)		78,833
Alexion Pharmaceuticals, Inc.		(58,034	)		(9,048,981	)		1,948,521
Align Technology, Inc.		(56,741	)		(3,676,744	)		(1,777,769	)
Alkermes plc		(207,748	)		(9,462,915	)		(2,083,719	)
Allegheny Technologies, Inc.		(540,895	)		(6,375,859	)		(2,240,598	)
Allegion plc		(89,612	)		(5,375,607	)		(359,561	)
Allergan plc		(123,698	)		(26,980,316	)		1,002,499
Alliance Data Systems Corp.		(28,055	)		(7,222,840	)		812,272
Alliant Energy Corp.		(55,555	)		(1,753,093	)		(351,886	)
Allison Transmission Holdings, Inc.		(184,030	)		(4,876,366	)		(1,323,605	)
Allscripts Healthcare Solutions, Inc.		(438,563	)		(5,753,120	)		1,275,392

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

AQR Funds Annual Report December 2016

258

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ally Financial, Inc.		(64,937	)	$	(1,161,549	)	$	(73,552	)
Alnylam Pharmaceuticals, Inc.		(174,598	)		(8,557,766	)		2,020,817
Amazon.com, Inc.		(9,211	)		(7,037,186	)		130,133
American Express Co.		(101,379	)		(6,657,713	)		(852,443	)
AMETEK, Inc.		(223,946	)		(10,618,111	)		(265,665	)
Amphenol Corp.		(113,241	)		(5,383,069	)		(2,226,726	)
Anadarko Petroleum Corp.		(151,986	)		(7,145,442	)		(3,452,542	)
Aon plc		(105,694	)		(9,238,943	)		(2,549,109	)
Apache Corp.		(23,916	)		(1,027,192	)		(490,756	)
AptarGroup, Inc.		(6,599	)		(486,030	)		1,334
Arconic, Inc.		(450,932	)		(10,312,961	)		1,952,682
Arista Networks, Inc.		(62,072	)		(4,308,426	)		(1,698,281	)
Armstrong World Industries, Inc.		(140,354	)		(5,500,679	)		(366,118	)
ARRIS International plc		(177,309	)		(4,353,474	)		(988,847	)
Arthur J Gallagher & Co.		(185,435	)		(7,190,442	)		(2,444,761	)
Artisan Partners Asset Management, Inc.		(260,431	)		(7,961,504	)		213,682
Ascena Retail Group, Inc.		(1,177,827	)		(8,351,947	)		1,061,198
athenahealth, Inc.		(129,093	)		(14,427,127	)		850,417
Autodesk, Inc.		(182,739	)		(10,941,447	)		(2,583,067	)
Automatic Data Processing, Inc.		(4,036	)		(331,703	)		(83,117	)
Avangrid, Inc.		(65,588	)		(2,739,472	)		254,999
Avis Budget Group, Inc.		(311,942	)		(11,183,591	)		(258,441	)
Avon Products, Inc.		(1,489,723	)		(6,343,912	)		(1,164,292	)
Axalta Coating Systems Ltd.		(446,950	)		(12,425,497	)		268,457
B/E Aerospace, Inc.		(230,993	)		(9,585,860	)		(4,317,608	)
Ball Corp.		(111,467	)		(8,045,736	)		(322,092	)
BancorpSouth, Inc.		(89,216	)		(2,140,958	)		(629,199	)
Bank of the Ozarks, Inc.		(374,700	)		(14,856,069	)		(4,849,404	)
BankUnited, Inc.		(17,212	)		(625,236	)		(23,485	)
Belden, Inc.		(6,317	)		(252,090	)		(220,233	)
BioMarin Pharmaceutical, Inc.		(179,672	)		(15,763,298	)		879,269
Bio-Techne Corp.		(73,230	)		(6,627,579	)		(902,662	)
Black Hills Corp.		(27,775	)		(1,369,799	)		(333,919	)
Black Knight Financial Services, Inc.		(42,262	)		(1,308,230	)		(289,274	)
Blue Buffalo Pet Products, Inc.		(110,339	)		(2,665,106	)		12,557
BorgWarner, Inc.		(239,023	)		(9,787,416	)		360,349
Bristol-Myers Squibb Co.		(191,340	)		(11,159,724	)		(22,186	)
Brookdale Senior Living, Inc.		(951,693	)		(15,032,723	)		3,212,696
Brown & Brown, Inc.		(118,693	)		(3,660,387	)		(1,664,181	)
Brown-Forman Corp.		(78,980	)		(3,742,414	)		194,632

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Buffalo Wild Wings, Inc.		(11,839	)	$	(1,840,385	)	$	12,444
Bunge Ltd.		(31,315	)		(2,132,826	)		(129,369	)
Cable One, Inc.		(680	)		(285,615	)		(137,162	)
Cabot Oil & Gas Corp.		(185,479	)		(2,924,270	)		(1,408,519	)
CalAtlantic Group, Inc.		(177,316	)		(5,615,888	)		(414,629	)
CarMax, Inc.		(132,794	)		(6,789,996	)		(1,760,610	)
Carpenter Technology Corp.		(144,056	)		(4,028,556	)		(1,181,949	)
Caterpillar, Inc.		(62,269	)		(4,041,258	)		(1,733,569	)
CBOE Holdings, Inc.		(79,259	)		(5,067,832	)		(788,615	)
CBS Corp. (Non-Voting)		(87,454	)		(4,068,360	)		(1,495,463	)
CEB, Inc.		(113,908	)		(6,574,859	)		(327,966	)
CenterPoint Energy, Inc.		(147,679	)		(2,712,494	)		(926,317	)
Cerner Corp.		(194,732	)		(11,056,142	)		1,831,687
CF Industries Holdings, Inc.		(1,078,300	)		(28,053,454	)		(5,891,430	)
Charles Schwab Corp. (The)		(247,913	)		(8,233,191	)		(1,551,935	)
Cheniere Energy, Inc.		(403,859	)		(16,214,372	)		(517,507	)
Chesapeake Energy Corp.		(1,416,551	)		(6,807,839	)		(3,136,349	)
Chicago Bridge & Iron Co. NV		(354,990	)		(12,159,487	)		888,555
Chico’s FAS, Inc.		(288,223	)		(3,209,660	)		(937,869	)
Chipotle Mexican Grill, Inc.		(84,772	)		(36,630,966	)		4,644,794
Choice Hotels International, Inc.		(33,192	)		(1,649,912	)		(210,500	)
Ciena Corp.		(206,874	)		(4,236,154	)		(813,640	)
Cimarex Energy Co.		(17,914	)		(2,204,457	)		(230,055	)
Clean Harbors, Inc.		(89,886	)		(4,238,190	)		(763,966	)
CNO Financial Group, Inc.		(66,340	)		(1,180,225	)		(90,186	)
Coach, Inc.		(52,917	)		(1,727,211	)		(125,942	)
Cobalt International Energy, Inc.		(308,614	)		(415,178	)		38,669
Coca-Cola Co. (The)		(55,776	)		(2,425,698	)		113,225
Cognex Corp.		(204,323	)		(7,337,511	)		(5,661,518	)
Cognizant Technology Solutions Corp.		(23,840	)		(1,307,329	)		(28,427	)
Colfax Corp.		(273,819	)		(6,943,415	)		(2,894,901	)
Colgate-Palmolive Co.		(235,866	)		(16,113,126	)		678,055
Comerica, Inc.		(136,779	)		(5,399,423	)		(3,916,595	)
CommScope Holding Co., Inc.		(16,163	)		(352,811	)		(248,453	)
CommVault Systems, Inc.		(100,950	)		(3,976,203	)		(1,212,627	)
Compass Minerals International, Inc.		(97,280	)		(6,974,353	)		(647,535	)
comScore, Inc.		(160,588	)		(4,654,948	)		(416,421	)
Concho Resources, Inc.		(27,564	)		(3,688,089	)		33,102
Copart, Inc.		(7,993	)		(404,921	)		(37,972	)

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

AQR Funds Annual Report December 2016

259

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Core Laboratories NV		(19,753	)	$	(1,918,664	)	$	(452,486	)
CoStar Group, Inc.		(22,012	)		(4,273,622	)		124,580
Costco Wholesale Corp.		(43,870	)		(6,490,679	)		(533,347	)
Coty, Inc.		(817,596	)		(16,273,535	)		1,303,353
Covanta Holding Corp.		(719,507	)		(10,991,734	)		(232,576	)
Cree, Inc.		(75,449	)		(2,007,394	)		16,295
Cullen/Frost Bankers, Inc.		(56,827	)		(2,577,548	)		(2,436,299	)
Cypress Semiconductor Corp.		(1,267,883	)		(12,076,355	)		(2,428,227	)
Dana, Inc.		(154,290	)		(1,989,237	)		(939,187	)
DaVita, Inc.		(118,798	)		(8,042,173	)		415,341
Delphi Automotive plc		(92,136	)		(6,497,229	)		291,869
Denbury Resources, Inc.		(471,818	)		(1,593,569	)		(142,722	)
DENTSPLY SIRONA, Inc.		(43,955	)		(2,527,767	)		(9,755	)
Devon Energy Corp.		(23,271	)		(611,855	)		(450,931	)
DexCom, Inc.		(362,553	)		(26,494,970	)		4,850,556
Diebold Nixdorf, Inc.		(337,995	)		(8,768,256	)		267,682
Discovery Communications, Inc.		(231,050	)		(6,117,987	)		(215,093	)
DISH Network Corp.		(170,484	)		(8,966,566	)		(909,572	)
Dollar Tree, Inc.		(75,028	)		(5,746,456	)		(44,205	)
Dominion Resources, Inc.		(263,974	)		(18,312,262	)		(1,905,506	)
Domino’s Pizza, Inc.		(35,507	)		(4,963,454	)		(690,680	)
Donaldson Co., Inc.		(214,050	)		(5,907,365	)		(3,099,859	)
Dunkin’ Brands Group, Inc.		(269,407	)		(11,773,344	)		(2,354,359	)
Eaton Vance Corp.		(143,825	)		(4,087,324	)		(1,936,067	)
Ecolab, Inc.		(36,471	)		(4,205,106	)		(70,024	)
Edgewell Personal Care Co.		(33,448	)		(2,416,190	)		(25,179	)
Edwards Lifesciences Corp.		(36,700	)		(3,438,181	)		(609	)
Emerson Electric Co.		(56,196	)		(2,527,189	)		(605,738	)
Endo International plc		(768,037	)		(12,116,998	)		(532,571	)
Energen Corp.		(30,780	)		(1,795,179	)		20,096
Ensco plc		(938,460	)		(8,932,842	)		(188,990	)
Envision Healthcare Corp.		(319,277	)		(21,680,984	)		1,473,942
EOG Resources, Inc.		(26,584	)		(2,531,225	)		(156,418	)
Estee Lauder Cos., Inc. (The)		(22,201	)		(1,980,551	)		282,397
Esterline Technologies Corp.		(54,547	)		(4,451,097	)		(414,495	)
Express Scripts Holding Co.		(21,506	)		(1,843,570	)		364,172
Extended Stay America, Inc.		(81,207	)		(1,314,134	)		2,641
F5 Networks, Inc.		(12,978	)		(1,242,326	)		(635,850	)
Facebook, Inc.		(54,623	)		(7,016,139	)		731,763
Fastenal Co.		(213,035	)		(9,429,276	)		(579,108	)
FireEye, Inc.		(904,770	)		(12,795,752	)		2,028,989

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
First Data Corp.		(1,589,921	)	$	(20,751,710	)	$	(1,809,269	)
First Horizon National Corp.		(520,143	)		(6,824,717	)		(3,583,345	)
First Republic Bank		(22,558	)		(1,493,620	)		(584,874	)
Fitbit, Inc.		(829,516	)		(6,453,785	)		381,728
FleetCor Technologies, Inc.		(66,495	)		(9,432,510	)		22,137
FLIR Systems, Inc.		(68,254	)		(2,097,419	)		(372,693	)
Flowers Foods, Inc.		(71,781	)		(1,433,673	)		207
Flowserve Corp.		(207,651	)		(9,018,691	)		(958,939	)
Fluor Corp.		(38,072	)		(1,755,881	)		(243,661	)
FMC Corp.		(258,219	)		(9,529,057	)		(5,075,810	)
FNB Corp.		(147,023	)		(1,885,603	)		(471,176	)
Fortinet, Inc.		(271,470	)		(8,605,431	)		428,754
Fossil Group, Inc.		(207,487	)		(5,938,963	)		573,349
Franklin Resources, Inc.		(53,836	)		(1,908,486	)		(222,343	)
Freeport-McMoRan, Inc.		(715,831	)		(5,941,837	)		(3,499,974	)
Frontier Communications Corp.		(3,610,825	)		(14,190,679	)		1,986,091
Gartner, Inc.		(44,064	)		(3,829,063	)		(624,486	)
General Electric Co.		(126,594	)		(3,867,447	)		(132,924	)
Genesee & Wyoming, Inc.		(158,331	)		(8,165,465	)		(2,824,290	)
Gentex Corp.		(203,921	)		(2,825,782	)		(1,189,423	)
Genworth Financial, Inc.		(802,914	)		(2,294,925	)		(764,177	)
GoDaddy, Inc.		(50,450	)		(1,666,740	)		(96,487	)
Graco, Inc.		(59,930	)		(4,190,500	)		(789,084	)
Granite Construction, Inc.		(7,431	)		(326,716	)		(81,989	)
Groupon, Inc.		(1,353,517	)		(5,814,943	)		1,321,266
Guess?, Inc.		(127,316	)		(1,720,793	)		180,269
Guidewire Software, Inc.		(95,670	)		(5,467,887	)		748,486
H&R Block, Inc.		(270,002	)		(5,989,056	)		(218,290	)
Hain Celestial Group, Inc. (The)		(245,086	)		(9,581,280	)		15,573
Halyard Health, Inc.		(146,688	)		(4,964,865	)		(459,657	)
Hanesbrands, Inc.		(165,202	)		(4,231,758	)		668,351
HEICO Corp.		(7,552	)		(529,255	)		(53,382	)
Henry Schein, Inc.		(11,806	)		(1,832,291	)		41,203
Hershey Co. (The)		(97,740	)		(8,553,061	)		(1,556,187	)
Hertz Global Holdings, Inc.		(165,499	)		(3,322,893	)		(245,266	)
Hess Corp.		(52,066	)		(2,882,863	)		(360,329	)
Hexcel Corp.		(37,421	)		(1,705,661	)		(219,275	)
Hilton Worldwide Holdings, Inc.		(210,427	)		(4,654,645	)		(1,068,969	)
HollyFrontier Corp.		(24,234	)		(553,533	)		(240,373	)
Hologic, Inc.		(215,791	)		(8,327,396	)		(330,139	)
HSN, Inc.		(21,657	)		(784,909	)		42,074
Huntington Bancshares, Inc.		(320,895	)		(3,216,130	)		(1,026,102	)
IDEX Corp.		(6,458	)		(460,374	)		(121,234	)

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

AQR Funds Annual Report December 2016

260

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
IDEXX Laboratories, Inc.		(68,311	)	$	(4,781,177	)	$	(3,229,654	)
IHS Markit Ltd.		(173,386	)		(6,315,958	)		176,360
Illumina, Inc.		(128,427	)		(21,842,924	)		5,399,131
Incyte Corp.		(117,595	)		(9,915,415	)		(1,875,836	)
Inovalon Holdings, Inc.		(49,394	)		(621,357	)		112,599
Integrated Device Technology, Inc.		(50,016	)		(1,184,756	)		6,379
Intrexon Corp.		(16,943	)		(417,808	)		6,093
Invesco Ltd.		(18,109	)		(557,427	)		8,000
Ionis Pharmaceuticals, Inc.		(164,881	)		(5,278,016	)		(2,608,242	)
IPG Photonics Corp.		(45,106	)		(3,949,099	)		(503,314	)
Jack in the Box, Inc.		(3,713	)		(360,483	)		(54,036	)
Jazz Pharmaceuticals plc		(35,298	)		(4,575,557	)		727,016
JB Hunt Transport Services, Inc.		(11,772	)		(845,904	)		(296,804	)
JC Penney Co., Inc.		(1,020,684	)		(8,993,728	)		511,844
Juno Therapeutics, Inc.		(220,378	)		(4,584,209	)		430,084
Kansas City Southern		(100,254	)		(7,160,500	)		(1,346,052	)
Kate Spade & Co.		(617,544	)		(11,089,521	)		(440,026	)
KBR, Inc.		(397,757	)		(6,494,291	)		(144,273	)
Kellogg Co.		(76,429	)		(5,471,099	)		(162,483	)
Kennametal, Inc.		(244,472	)		(4,323,008	)		(3,319,187	)
Keysight Technologies, Inc.		(51,900	)		(1,320,288	)		(577,695	)
Kinder Morgan, Inc.		(317,709	)		(6,054,467	)		(525,286	)
KLX, Inc.		(231,991	)		(7,794,283	)		(2,670,831	)
Knowles Corp.		(348,147	)		(4,774,927	)		(1,042,609	)
Kosmos Energy Ltd.		(355,575	)		(2,035,221	)		(457,360	)
L Brands, Inc.		(83,315	)		(5,940,271	)		454,811
Laboratory Corp. of America Holdings		(9,200	)		(1,119,456	)		(61,640	)
Landstar System, Inc.		(31,217	)		(1,785,603	)		(877,207	)
Laredo Petroleum, Inc.		(232,674	)		(3,036,337	)		(253,674	)
Legg Mason, Inc.		(323,760	)		(10,326,415	)		642,754
Liberty Broadband Corp.		(66,052	)		(3,710,424	)		(1,182,048	)
Liberty Interactive Corp. QVC Group		(57,701	)		(1,101,188	)		(51,678	)
LifePoint Health, Inc.		(7,669	)		(440,217	)		4,618
Lincoln Electric Holdings, Inc.		(23,350	)		(1,207,536	)		(582,709	)
Lions Gate Entertainment Corp.		(285,602	)		(6,404,465	)	��	(1,278,229	)
Lions Gate Entertainment Corp.		(312,749	)		(7,082,793	)		(592,067	)
LivaNova plc		(133,346	)		(7,255,730	)		1,259,160
Live Nation Entertainment, Inc.		(317,866	)		(7,862,744	)		(592,491	)
Loews Corp.		(283,679	)		(10,635,768	)		(2,648,919	)
Lululemon Athletica, Inc.		(51,992	)		(2,803,806	)		(575,154	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
M&T Bank Corp.		(15,803	)	$	(1,673,218	)	$	(798,845	)
Macy’s, Inc.		(52,731	)		(1,998,901	)		110,604
Madison Square Garden Co. (The)		(25,616	)		(4,464,368	)		70,968
Manhattan Associates, Inc.		(15,867	)		(846,434	)		5,007
Manitowoc Foodservice, Inc.		(480,672	)		(4,563,670	)		(4,727,720	)
Marathon Oil Corp.		(315,292	)		(4,367,956	)		(1,089,749	)
Markel Corp.		(3,092	)		(2,718,688	)		(78,026	)
Marsh & McLennan Cos., Inc.		(193,902	)		(10,482,938	)		(2,622,899	)
Mastercard, Inc.		(114,890	)		(11,391,785	)		(470,607	)
Maxim Integrated Products, Inc.		(44,050	)		(1,457,725	)		(241,284	)
MAXIMUS, Inc.		(19,601	)		(1,136,866	)		43,326
McDonald’s Corp.		(14,213	)		(1,670,028	)		(59,979	)
MDU Resources Group, Inc.		(225,883	)		(3,782,092	)		(2,716,562	)
Mead Johnson Nutrition Co.		(294,176	)		(22,873,725	)		2,057,831
MEDNAX, Inc.		(41,043	)		(2,657,638	)		(78,289	)
Medtronic plc		(22,378	)		(1,649,688	)		55,703
Mercury General Corp.		(50,745	)		(2,551,811	)		(503,545	)
Mettler-Toledo International, Inc.		(4,355	)		(1,358,542	)		(464,287	)
Microsemi Corp.		(44,079	)		(1,751,064	)		(627,880	)
Middleby Corp. (The)		(63,251	)		(6,671,222	)		(1,476,140	)
Mondelez International, Inc.		(88,583	)		(3,862,059	)		(64,825	)
Monster Beverage Corp.		(196,461	)		(9,719,811	)		1,008,730
Moody’s Corp.		(42,658	)		(4,361,250	)		339,881
Mosaic Co. (The)		(104,798	)		(2,682,148	)		(391,577	)
Motorola Solutions, Inc.		(20,961	)		(1,396,317	)		(341,140	)
Nabors Industries Ltd.		(230,205	)		(2,282,508	)		(1,492,854	)
National Fuel Gas Co.		(77,199	)		(4,063,618	)		(308,934	)
National Instruments Corp.		(234,952	)		(6,694,703	)		(546,517	)
National Oilwell Varco, Inc.		(114,796	)		(3,490,703	)		(807,260	)
NetApp, Inc.		(83,733	)		(2,126,923	)		(826,340	)
Netflix, Inc.		(108,155	)		(10,363,154	)		(3,026,435	)
NetScout Systems, Inc.		(407,457	)		(9,806,342	)		(3,028,554	)
Neurocrine Biosciences, Inc.		(176,750	)		(8,183,894	)		1,343,669
New Jersey Resources Corp.		(12,088	)		(407,056	)		(22,068	)
New York Times Co. (The)		(36,549	)		(489,026	)		2,924
Newell Brands, Inc.		(51,967	)		(2,020,118	)		(300,209	)
Newmont Mining Corp.		(130,871	)		(4,945,230	)		486,455
NIKE, Inc.		(129,714	)		(6,657,670	)		64,307
Noble Corp. plc		(1,656,088	)		(9,438,806	)		(365,235	)

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

AQR Funds Annual Report December 2016

261

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Noble Energy, Inc.		(79,881	)	$	(2,493,885	)	$	(546,386	)
Nordson Corp.		(40,363	)		(2,329,434	)		(2,193,240	)
NorthStar Asset Management Group, Inc.		(323,955	)		(3,676,238	)		(1,157,171	)
Norwegian Cruise Line Holdings Ltd.		(41,384	)		(1,599,786	)		(160,275	)
NOW, Inc.		(163,595	)		(3,235,631	)		(113,158	)
Occidental Petroleum Corp.		(165,179	)		(10,188,691	)		(1,577,009	)
Ocwen Financial Corp.		(60,158	)		(400,652	)		76,401
Office Depot, Inc.		(1,238,890	)		(4,434,754	)		(1,165,029	)
OGE Energy Corp.		(554,906	)		(14,571,725	)		(3,989,880	)
Oil States International, Inc.		(33,397	)		(925,921	)		(376,562	)
Old Dominion Freight Line, Inc.		(10,094	)		(549,148	)		(316,816	)
Olin Corp.		(341,318	)		(5,662,983	)		(3,078,171	)
OneMain Holdings, Inc.		(47,232	)		(1,214,243	)		168,527
Owens & Minor, Inc.		(11,881	)		(404,503	)		(14,777	)
Owens-Illinois, Inc.		(630,138	)		(10,051,352	)		(919,350	)
PacWest Bancorp		(164,681	)		(6,382,732	)		(2,582,501	)
Palo Alto Networks, Inc.		(230,428	)		(30,974,828	)		2,159,807
Pandora Media, Inc.		(1,115,815	)		(12,944,074	)		(1,606,153	)
Panera Bread Co.		(14,485	)		(2,710,125	)		(260,604	)
Patheon NV		(30,877	)		(855,348	)		(31,131	)
Patterson Cos., Inc.		(183,722	)		(7,869,413	)		331,300
PayPal Holdings, Inc.		(122,700	)		(4,362,986	)		(479,983	)
PBF Energy, Inc.		(69,388	)		(1,926,091	)		(8,446	)
PerkinElmer, Inc.		(13,240	)		(687,686	)		(2,780	)
Perrigo Co. plc		(209,324	)		(19,061,338	)		1,639,301
Pitney Bowes, Inc.		(263,591	)		(4,479,295	)		475,348
Platform Specialty Products Corp.		(1,507,221	)		(13,821,099	)		(964,739	)
PolyOne Corp.		(13,800	)		(410,009	)		(32,143	)
Praxair, Inc.		(89,945	)		(9,162,391	)		(1,378,264	)
Premier, Inc.		(282,817	)		(9,079,940	)		493,616
Prestige Brands Holdings, Inc.		(13,079	)		(607,926	)		(73,490	)
Priceline Group, Inc. (The)		(7,242	)		(10,120,908	)		(496,298	)
Primerica, Inc.		(8,147	)		(365,388	)		(197,977	)
Principal Financial Group, Inc.		(143,283	)		(6,052,549	)		(2,237,805	)
ProAssurance Corp.		(28,956	)		(1,438,651	)		(188,676	)
Prosperity Bancshares, Inc.		(71,082	)		(2,910,464	)		(2,191,802	)
PTC, Inc.		(117,110	)		(4,100,183	)		(1,318,496	)
QIAGEN NV		(269,203	)		(6,869,780	)		(673,288	)
Ralph Lauren Corp.		(18,088	)		(1,807,773	)		174,065
Range Resources Corp.		(99,882	)		(4,118,029	)		686,083
Red Hat, Inc.		(65,639	)		(4,896,515	)		321,477
Regal Beloit Corp.		(14,352	)		(783,499	)		(210,377	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Regeneron Pharmaceuticals, Inc.		(9,324	)	$	(3,711,969	)	$	289,222
ResMed, Inc.		(28,642	)		(1,630,990	)		(146,246	)
Restoration Hardware Holdings, Inc.		(382,143	)		(12,110,021	)		378,231
Robert Half International, Inc.		(94,590	)		(3,798,188	)		(815,912	)
Rockwell Collins, Inc.		(16,239	)		(1,448,375	)		(57,955	)
Rollins, Inc.		(69,196	)		(1,891,505	)		(445,936	)
Roper Technologies, Inc.		(57,858	)		(10,564,388	)		(28,255	)
Royal Gold, Inc.		(171,291	)		(12,825,245	)		1,973,960
Sabre Corp.		(57,253	)		(1,620,354	)		191,891
salesforce.com, Inc.		(252,303	)		(19,453,038	)		2,180,374
Sally Beauty Holdings, Inc.		(134,207	)		(3,766,990	)		221,241
Santander Consumer USA Holdings, Inc.		(399,056	)		(4,473,172	)		(914,084	)
SBA Communications Corp.		(129,564	)		(14,008,280	)		629,501
Sealed Air Corp.		(233,506	)		(10,563,372	)		(23,790	)
Seattle Genetics, Inc.		(83,346	)		(3,295,112	)		(1,103,056	)
Sempra Energy		(225,526	)		(22,626,447	)		(70,489	)
Sensata Technologies Holding NV		(403,020	)		(16,146,832	)		449,203
ServiceMaster Global Holdings, Inc.		(43,678	)		(1,576,623	)		(68,727	)
ServiceNow, Inc.		(203,775	)		(15,334,584	)		185,950
Signature Bank		(59,148	)		(7,207,096	)		(1,676,934	)
Signet Jewelers Ltd.		(46,944	)		(5,014,206	)		589,264
Silgan Holdings, Inc.		(30,148	)		(1,584,031	)		41,057
Silicon Laboratories, Inc.		(20,870	)		(997,450	)		(359,100	)
Sirius XM Holdings, Inc.		(2,454,440	)		(10,004,644	)		(917,614	)
Six Flags Entertainment Corp.		(150,561	)		(8,142,975	)		(884,662	)
SLM Corp.		(1,403,814	)		(8,940,112	)		(6,529,919	)
SM Energy Co.		(101,343	)		(3,885,714	)		391,407
Snyder’s-Lance, Inc.		(100,550	)		(3,541,682	)		(313,405	)
Sotheby’s		(269,261	)		(7,317,035	)		(3,415,708	)
Splunk, Inc.		(367,481	)		(20,617,627	)		1,820,973
Sprouts Farmers Market, Inc.		(587,572	)		(14,018,434	)		2,901,572
SPX Corp.		(104,966	)		(1,469,170	)		(1,020,624	)
SS&C Technologies Holdings, Inc.		(36,634	)		(1,230,876	)		183,144
Staples, Inc.		(697,319	)		(5,871,942	)		(438,795	)
Starbucks Corp.		(221,234	)		(12,411,735	)		128,823
Stericycle, Inc.		(202,504	)		(18,526,859	)		2,925,951
Stifel Financial Corp.		(128,870	)		(4,583,778	)		(1,853,278	)
SunPower Corp.		(252,021	)		(2,220,337	)		554,478
Superior Energy Services, Inc.		(713,066	)		(9,997,189	)		(2,039,365	)
SVB Financial Group		(128,515	)		(13,384,576	)		(8,676,309	)

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

AQR Funds Annual Report December 2016

262

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Synovus Financial Corp.		(173,604	)	$	(5,534,402	)	$	(1,597,251	)
T Rowe Price Group, Inc.		(20,262	)		(1,399,941	)		(124,978	)
Tableau Software, Inc.		(294,073	)		(14,493,996	)		2,098,819
Targa Resources Corp.		(149,719	)		(4,867,873	)		(3,526,871	)
TCF Financial Corp.		(95,259	)		(1,214,467	)		(651,657	)
Tempur Sealy International, Inc.		(296,266	)		(19,731,465	)		(497,577	)
Tenet Healthcare Corp.		(692,088	)		(16,173,264	)		5,902,678
Teradata Corp.		(199,989	)		(5,174,851	)		(258,850	)
TerraForm Power, Inc.		(225,168	)		(2,293,809	)		(590,593	)
Tiffany & Co.		(140,398	)		(10,205,089	)		(665,928	)
Time, Inc.		(288,442	)		(4,291,657	)		(857,032	)
Toll Brothers, Inc.		(105,591	)		(3,271,573	)		(1,748	)
Tractor Supply Co.		(199,549	)		(14,328,769	)		(799,041	)
TransDigm Group, Inc.		(51,761	)		(13,228,744	)		342,326
TreeHouse Foods, Inc.		(82,671	)		(6,195,180	)		227,160
TRI Pointe Group, Inc.		(202,168	)		(2,173,976	)		(146,912	)
Trimble, Inc.		(352,383	)		(7,727,756	)		(2,896,591	)
TripAdvisor, Inc.		(248,118	)		(14,836,291	)		3,331,059
Triumph Group, Inc.		(288,686	)		(7,867,494	)		217,315
Twitter, Inc.		(661,806	)		(11,760,436	)		972,998
Tyler Technologies, Inc.		(19,952	)		(2,875,995	)		27,448
Ultimate Software Group, Inc. (The)		(41,119	)		(8,332,986	)		834,936
Umpqua Holdings Corp.		(87,894	)		(1,389,433	)		(261,216	)
United Natural Foods, Inc.		(46,037	)		(1,739,225	)		(457,660	)
United Rentals, Inc.		(59,403	)		(3,974,061	)		(2,297,708	)
United Technologies Corp.		(62,624	)		(5,865,628	)		(999,215	)
USG Corp.		(176,648	)		(4,245,457	)		(856,137	)
Valley National Bancorp		(399,502	)		(3,728,057	)		(922,147	)
Varian Medical Systems, Inc.		(6,735	)		(602,023	)		(2,645	)
VCA, Inc.		(29,903	)		(1,513,548	)		(539,293	)
Veeva Systems, Inc.		(248,075	)		(6,681,745	)		(3,414,907	)
VeriFone Systems, Inc.		(588,221	)		(11,501,693	)		1,072,534
Verisk Analytics, Inc.		(11,276	)		(866,995	)		(48,278	)
Vertex Pharmaceuticals, Inc.		(158,014	)		(16,322,838	)		4,681,946
VF Corp.		(86,075	)		(5,129,087	)		536,986
Viacom, Inc.		(61,350	)		(2,368,030	)		214,645
ViaSat, Inc.		(7,835	)		(583,492	)		64,658
Viavi Solutions, Inc.		(214,554	)		(1,139,761	)		(615,290	)
Visa, Inc.		(67,306	)		(5,598,399	)		347,185
Visteon Corp.		(16,697	)		(1,922,660	)		581,223
WABCO Holdings, Inc.		(57,934	)		(5,947,714	)		(201,980	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Wabtec Corp.		(7,407	)	$	(587,993	)	$	(26,936	)
Waddell & Reed Financial, Inc.		(152,100	)		(3,488,921	)		521,450
Walgreens Boots Alliance, Inc.		(95,590	)		(7,913,942	)		2,914
Weatherford International plc		(5,481,006	)		(31,357,055	)		4,006,835
Webster Financial Corp.		(68,542	)		(2,554,713	)		(1,165,746	)
Wendy’s Co. (The)		(268,639	)		(2,732,345	)		(899,654	)
WESCO International, Inc.		(57,110	)		(2,334,029	)		(1,466,642	)
Western Digital Corp.		(27,284	)		(1,495,480	)		(358,468	)
WEX, Inc.		(59,218	)		(4,959,167	)		(1,649,562	)
Whiting Petroleum Corp.		(1,147,557	)		(10,688,698	)		(3,104,937	)
Whole Foods Market, Inc.		(113,233	)		(3,559,607	)		76,560
Williams Cos., Inc. (The)		(318,956	)		(8,607,077	)		(1,325,212	)
Williams-Sonoma, Inc.		(75,825	)		(3,941,554	)		272,382
WisdomTree Investments, Inc.		(1,300,544	)		(16,399,958	)		1,911,898
Workday, Inc.		(256,712	)		(19,748,386	)		2,782,290
WPX Energy, Inc.		(379,815	)		(4,884,855	)		(649,049	)
WR Grace & Co.		(209,915	)		(13,220,540	)		(978,111	)
Wynn Resorts Ltd.		(33,427	)		(2,184,415	)		(707,355	)
Yahoo!, Inc.		(271,972	)		(9,250,245	)		(1,266,913	)
Yelp, Inc.		(191,168	)		(5,208,506	)		(2,080,730	)
Zayo Group Holdings, Inc.		(254,085	)		(7,255,172	)		(1,094,061	)
Zebra Technologies Corp.		(201,123	)		(11,654,993	)		(5,593,315	)
Zillow Group, Inc.		(103,554	)		(3,713,031	)		(63,583	)
Zions Bancorp		(437,463	)		(11,036,311	)		(7,792,097	)
Zoetis, Inc.		(289,371	)		(14,120,515	)		(1,369,514	)
Zynga, Inc.		(1,965,409	)		(5,154,249	)		103,149
								(188,599,831	)
Total of Short Equity Positions								(190,685,613	)
Total of Long and Short Equity Positions								206,735,667
Net Cash and Other Receivables/ (Payables) (b)								(32,510,187	)
Swaps, at Value							$	174,225,480

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

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

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

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263

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps Outstanding at December 31, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	1-61months maturity ranging from 01/12/2017 - 12/21/2020		$5,701,228

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		3,938	$	414,382	$	7,326
Air France-KLM		601,644		3,643,163		(370,558	)
Arkema SA		43,067		3,910,683		299,146
Atos SE		150,391		13,109,428		2,741,420
AXA SA		47,600		1,111,212		88,726
BNP Paribas SA		147,003		7,391,600		1,963,361
Capgemini SA		69,923		6,314,157		(423,205	)
Christian Dior SE		12,577		1,988,877		646,152
Cie Generale des Etablissements Michelin		143,588		13,686,481		2,274,587
CNP Assurances		111,291		1,668,848		391,073
Danone SA		14,509		1,013,601		(95,492	)
Dassault Systemes SE		10,629		838,819		(29,782	)
Eiffage SA		36,897		2,460,076		109,856
Eutelsat Communications SA		22,738		688,732		(249,033	)
Faurecia		57,427		2,057,231		167,102
Ipsen SA		27,602		1,621,636		372,747
Lagardere SCA		103,234		2,784,311		80,993
Orange SA		855,260		13,305,042		(335,906	)
Orpea		7,503		587,172		18,579
Peugeot SA		612,870		9,479,347		502,574
Publicis Groupe SA		59,140		3,775,128		299,888
Rexel SA		85,765		1,117,068		292,042
Sanofi		10,138		846,522		(26,711	)
Schneider Electric SE		18,130		1,151,949		107,514
SCOR SE		124,315		4,375,963		(85,758	)
SEB SA		16,598		1,902,846		346,247
Societe BIC SA		7,988		1,299,376		(213,992	)
Societe Generale SA		138,733		5,294,557		1,529,276
Sodexo SA		46,754		4,632,964		735,017
Technip SA		15,371		986,076		108,827
Teleperformance		72,087		6,027,973		1,199,169
Thales SA		114,662		8,965,054		2,143,485
TOTAL SA		103,624		4,767,885		547,206
Valeo SA		147,385		7,116,711		1,344,338

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Veolia Environnement SA		299,358		$	6,835,399		$	(1,748,752	)
Vinci SA		80,996			5,280,939			228,785
								14,966,247
Total of Long Equity Positions								14,966,247
Short Positions
Common Stocks
France
Accor SA		(236,971	)		(8,921,765	)		93,962
Air Liquide SA		(53,126	)		(5,242,049	)		(665,496	)
Airbus Group SE		(48,017	)		(3,327,793	)		156,333
Alstom SA		(171,846	)		(4,115,004	)		(610,520	)
Bollore SA		(5,835	)		104			(20,189	)
Bollore SA (LSE)		(1,210,229	)		(4,667,929	)		406,615
Bureau Veritas SA		(133,103	)		(2,482,487	)		(93,629	)
Carrefour SA		(104,871	)		(2,816,161	)		291,291
Casino Guichard Perrachon SA		(11,941	)		(583,058	)		10,910
Cie de Saint-Gobain		(17,475	)		(729,284	)		(83,607	)
Cie Plastic Omnium SA		(37,290	)		(1,123,689	)		(65,546	)
Credit Agricole SA		(171,075	)		(1,558,233	)		(559,449	)
Edenred		(336,868	)		(6,362,315	)		(307,849	)
Electricite de France SA		(341,959	)		(3,822,714	)		343,328
Engie SA		(193,536	)		(3,325,811	)		862,301
Essilor International SA		(60,205	)		(6,728,237	)		(64,584	)
Hermes International		(21,093	)		(7,088,593	)		(1,564,130	)
Iliad SA		(25,746	)		(5,534,546	)		590,096
Ingenico Group SA		(50,483	)		(4,296,217	)		268,390
JCDecaux SA		(45,887	)		(1,410,439	)		61,185
Kering		(22,052	)		(3,636,604	)		(1,309,740	)
Legrand SA		(10,285	)		(564,472	)		(19,050	)
LVMH Moet Hennessy Louis Vuitton SE		(72,338	)		(11,358,958	)		(2,433,844	)
Natixis SA		(1,470,295	)		(6,685,782	)		(1,593,981	)
Pernod Ricard SA		(56,653	)		(6,122,872	)		(8,118	)
Remy Cointreau SA		(62,843	)		(4,128,485	)		(1,228,099	)
SFR Group SA		(171,497	)		(4,822,966	)		(11,994	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Suez		(28,604	)	$	(419,280	)	$	(2,185	)
Vivendi SA		(330,740	)		(6,582,864	)		309,746
Zodiac Aerospace		(353,618	)		(7,292,632	)		(816,180	)
								(8,064,033	)
Luxembourg
SES SA		(71,540	)		(1,824,605	)		250,525
Total of Short Equity Positions								(7,813,508	)
Total of Long and Short Equity Positions								7,152,739
Net Cash and Other Receivables/ (Payables) (b)								(1,451,511	)
Swaps, at Value							$	5,701,228

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

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

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Investment Companies		$4,000,000		$—			$4,000,000
BARC					��
Cash		—		118,569,733			118,569,733
CITI
Investment Companies		14,679,105		—			14,679,105
GSCO
Cash		—		(10,622,935	)		(10,622,935	)
U.S. Treasury Bills		—		17,858,853			17,858,853
GSIN
Investment Companies		378,626,425		—			378,626,425
JPMS
Cash		—		23,905,578			23,905,578
JPPC
Cash		74,510,000		—			74,510,000
MSCL
Cash		—		12,307,532			12,307,532

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$1,770,329		$—		$1,770,329
GSCO
Cash		—		8,513,279		8,513,279
GSIN
Cash		1,620,000		—		1,620,000
JPPC
Cash		—		30,018,086		30,018,086
MACQ
Investment Companies		4,860,000		—		4,860,000
MSCL
Cash		—		50,603,118		50,603,118
SOCG
Investment Companies		305,079		—		305,079

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 108.0%
COMMON STOCKS - 18.8%
Belgium - 0.3%
Ageas (a)		4,403	$	174,037
bpost SA (a)		7,864		185,910
Colruyt SA (a)		1,579		78,042
KBC Group NV (a)		5,131		317,033
Proximus SADP (a)		1,423		40,907
Solvay SA (a)		394		46,061
UCB SA (a)		710		45,426
Umicore SA (a)		2,715		154,460
				1,041,876
Denmark - 0.5%
Danske Bank A/S (a)		3,439		104,043
DSV A/S (a)		3,828		170,002
FLSmidth & Co. A/S		647		26,827
GN Store Nord A/S (a)		2,697		55,775
H Lundbeck A/S *(a)		5,861		237,963
ISS A/S (a)		9,268		312,359
Jyske Bank A/S (a)		2,286		108,706
TDC A/S *(a)		12,076		61,906
Vestas Wind Systems A/S (a)		8,421		545,383
William Demant Holding A/S *(a)		19,242		334,223
				1,957,187
Finland - 0.7%
Amer Sports OYJ (a)		2,638		70,003
Cargotec OYJ, Class B (a)		6,021		271,078
Elisa OYJ (a)		3,639		118,127
Huhtamaki OYJ (a)		2,440		90,428
Kesko OYJ, Class B (a)		4,254		212,299
Metso OYJ (a)		2,968		84,436
Neste OYJ (a)		21,601		826,617
Orion OYJ, Class B (a)		2,795		124,187
Stora Enso OYJ, Class R (a)		14,465		154,732
UPM-Kymmene OYJ (a)		24,944		610,020
				2,561,927
Germany - 2.2%
adidas AG (a)		4,104		647,275
Allianz SE (a)		1,290		212,899
Aurubis AG (a)		2,434		140,083
Brenntag AG (a)		1,002		55,540
Covestro AG (a)(b)		10,913		746,969
Deutsche Lufthansa AG (a)		56,222		724,743
Deutsche Post AG (a)		1,619		53,095
Duerr AG (a)		399		31,992
Evonik Industries AG (a)		5,780		172,295
Freenet AG (a)		10,573		297,150
Hannover Rueck SE (a)		4,250		459,116
HeidelbergCement AG (a)		2,392		222,647
Hella KGaA Hueck & Co. (a)		2,921		109,937
HOCHTIEF AG (a)		2,824		394,267
Infineon Technologies AG (a)		19,709		340,916
KION Group AG (a)		3,378		187,552
Krones AG (a)		313		28,587
MAN SE (a)		239		23,722
METRO AG (a)		6,646		220,894
MTU Aero Engines AG (a)		934		107,737

INVESTMENTS	SHARES		VALUE
Germany - 2.2% (continued)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		2,186	$	412,887
OSRAM Licht AG (a)		4,567		239,153
Rheinmetall AG (a)		4,465		299,650
RHOEN-KLINIKUM AG		1,118		30,178
Salzgitter AG (a)		2,844		99,784
Siemens AG (a)		2,820		345,281
Software AG (a)		10,656		386,210
STADA Arzneimittel AG (a)		8,501		439,177
Suedzucker AG (a)		29,910		712,952
Talanx AG (a)		7,822		261,246
Zalando SE *(a)(b)		1,157		44,075
				8,448,009
Italy - 1.1%
A2A SpA		400,799		517,624
Autogrill SpA		7,547		68,100
Banca Generali SpA		982		23,357
Banca Monte dei Paschi di Siena SpA(3) *(c)		1,320		20,424
BPER Banca (a)		10,014		53,148
Brembo SpA		1,084		65,577
Buzzi Unicem SpA		14,193		335,833
Davide Campari-Milano SpA (a)		14,962		146,138
Enel SpA (a)		202,786		891,386
FinecoBank Banca Fineco SpA		8,902		49,773
Hera SpA		12,075		27,793
Italgas SpA *		14,018		55,160
Leonardo-Finmeccanica SpA *(a)		3,224		45,153
Mediobanca SpA (a)		43,186		351,711
Poste Italiane SpA (b)		44,449		294,746
Prysmian SpA (a)		14,735		377,663
Recordati SpA		9,684		274,376
Snam SpA (a)		70,092		288,278
Terna Rete Elettrica Nazionale SpA (a)		63,275		289,378
UniCredit SpA (a)		13,214		37,947
UnipolSai SpA (a)		43,126		91,984
				4,305,549
Japan - 10.6%
ABC-Mart, Inc. (a)		1,200		67,886
Air Water, Inc. (a)		2,000		36,027
Aisin Seiki Co. Ltd. (a)		4,500		194,712
Ajinomoto Co., Inc. (a)		2,100		42,257
Alfresa Holdings Corp. (a)		15,600		257,665
Amada Holdings Co. Ltd. (a)		29,300		326,419
ANA Holdings, Inc. (a)		146,000		392,744
Aozora Bank Ltd. (a)		132,000		466,390
Asahi Group Holdings Ltd. (a)		1,800		56,673
Asahi Kasei Corp. (a)		19,000		165,324
Astellas Pharma, Inc. (a)		31,000		430,074
Bandai Namco Holdings, Inc. (a)		13,500		371,587
Bridgestone Corp. (a)		9,500		341,817
Brother Industries Ltd. (a)		10,600		190,561
Canon, Inc. (a)		900		25,346
Central Japan Railway Co. (a)		1,900		311,960
Chubu Electric Power Co., Inc. (a)		33,800		470,340
Chugoku Bank Ltd. (The) (a)		7,000		100,391
Citizen Watch Co. Ltd. (a)		17,700		105,529
Coca-Cola West Co. Ltd. (a)		3,900		114,811

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Japan - 10.6% (continued)
Cosmos Pharmaceutical Corp. (a)		200	$	36,820
Daicel Corp. (a)		4,400		48,374
Daiichi Sankyo Co. Ltd. (a)		21,000		428,804
Daikin Industries Ltd. (a)		900		82,448
DeNA Co. Ltd.		4,800		104,904
East Japan Railway Co. (a)		1,200		103,462
Ezaki Glico Co. Ltd. (a)		4,100		191,889
FamilyMart UNY Holdings Co. Ltd. (a)		6,300		419,202
Fuji Heavy Industries Ltd. (a)		14,000		570,422
FUJIFILM Holdings Corp. (a)		4,900		185,542
Fujitsu Ltd. (a)		60,000		332,253
Gunma Bank Ltd. (The) (a)		10,300		56,287
Hakuhodo DY Holdings, Inc. (a)		16,300		200,705
Hankyu Hanshin Holdings, Inc. (a)		5,900		188,923
Haseko Corp. (a)		39,900		404,547
Hikari Tsushin, Inc. (a)		900		83,779
Hiroshima Bank Ltd. (The) (a)		5,000		23,299
Hisamitsu Pharmaceutical Co., Inc. (a)		4,200		209,777
Hitachi Capital Corp. (a)		5,600		137,507
Hitachi Chemical Co. Ltd. (a)		12,400		309,334
Hitachi High-Technologies Corp. (a)		13,300		534,932
Hitachi Metals Ltd. (a)		3,900		52,507
Hokuhoku Financial Group, Inc. (a)		9,400		161,943
Hoshizaki Corp. (a)		400		31,668
Idemitsu Kosan Co. Ltd. (a)		23,400		620,693
Iida Group Holdings Co. Ltd. (a)		17,000		322,273
Isuzu Motors Ltd. (a)		10,400		131,503
Ito En Ltd. (a)		1,700		56,351
ITOCHU Corp. (a)		32,800		434,297
Itochu Techno-Solutions Corp. (a)		9,900		256,950
Izumi Co. Ltd. (a)		2,600		111,794
J Front Retailing Co. Ltd. (a)		12,500		168,296
Japan Airlines Co. Ltd. (a)		15,900		463,974
Japan Post Holdings Co. Ltd. (a)		2,000		24,903
JSR Corp. (a)		2,200		34,629
JTEKT Corp. (a)		7,200		114,810
JX Holdings, Inc. (a)		18,900		79,860
Kajima Corp. (a)		64,000		442,056
Kaken Pharmaceutical Co. Ltd. (a)		1,900		100,619
Kamigumi Co. Ltd. (a)		9,000		85,719
Kaneka Corp. (a)		34,000		276,553
Kao Corp. (a)		6,400		302,943
KDDI Corp. (a)		23,800		601,021
Keihan Holdings Co. Ltd. (a)		9,000		59,035
Kewpie Corp. (a)		12,300		298,322
Kobayashi Pharmaceutical Co. Ltd. (a)		600		25,627
Konami Holdings Corp. (a)		15,200		613,446
Kose Corp. (a)		400		33,163
Kuraray Co. Ltd. (a)		18,400		275,918
Kurita Water Industries Ltd. (a)		1,700		37,401
Kyocera Corp. (a)		3,000		148,742
Lion Corp. (a)		12,000		196,696
M3, Inc. (a)		1,400		35,197
Marubeni Corp. (a)		11,300		63,914
Maruichi Steel Tube Ltd. (a)		1,400		45,495
Matsumotokiyoshi Holdings Co. Ltd. (a)		2,100		103,312
Mazda Motor Corp. (a)		13,100		213,320
Medipal Holdings Corp. (a)		14,000		220,530

INVESTMENTS	SHARES		VALUE
Japan - 10.6% (continued)
MEIJI Holdings Co. Ltd. (a)		2,800	$	219,039
Miraca Holdings, Inc. (a)		1,100		49,199
Mitsubishi Chemical Holdings Corp. (a)		34,700		224,358
Mitsubishi Corp. (a)		2,400		50,973
Mitsubishi Electric Corp. (a)		19,000		264,274
Mitsubishi Gas Chemical Co., Inc. (a)		31,600		538,446
Mitsubishi Tanabe Pharma Corp. (a)		24,600		481,666
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)		74,500		384,251
Mitsui & Co. Ltd. (a)		10,200		139,764
Mitsui Chemicals, Inc. (a)		79,000		353,963
Mixi, Inc.		7,400		269,641
Mizuho Financial Group, Inc. (a)		286,700		514,493
MS&AD Insurance Group Holdings, Inc. (a)		12,600		390,191
Nagoya Railroad Co. Ltd. (a)		51,000		246,238
Nankai Electric Railway Co. Ltd. (a)		21,000		106,400
Nexon Co. Ltd. (a)		8,900		128,616
NH Foods Ltd. (a)		16,000		431,625
NHK Spring Co. Ltd. (a)		43,500		413,704
Nikon Corp. (a)		13,500		209,661
Nippon Express Co. Ltd. (a)		85,000		456,388
Nippon Shokubai Co. Ltd. (a)		4,500		280,247
Nippon Telegraph & Telephone Corp. (a)		19,500		820,856
Nissan Motor Co. Ltd. (a)		8,700		87,271
Nisshin Seifun Group, Inc. (a)		15,800		236,746
Nissin Foods Holdings Co. Ltd. (a)		900		47,208
Nitori Holdings Co. Ltd. (a)		2,800		319,242
Nomura Research Institute Ltd. (a)		2,750		83,577
NTT Data Corp. (a)		2,800		135,273
Obayashi Corp. (a)		51,100		487,870
Oracle Corp. Japan (a)		2,700		135,821
ORIX Corp. (a)		44,100		686,384
Osaka Gas Co. Ltd. (a)		98,000		376,032
Otsuka Corp. (a)		5,000		233,221
Otsuka Holdings Co. Ltd. (a)		8,900		387,688
Park24 Co. Ltd. (a)		10,300		278,917
Pola Orbis Holdings, Inc. (a)		6,600		544,125
Renesas Electronics Corp. *(a)		5,900		46,808
Resona Holdings, Inc. (a)		162,000		830,253
Sankyo Co. Ltd. (a)		2,900		93,501
Santen Pharmaceutical Co. Ltd. (a)		7,500		91,510
Sawai Pharmaceutical Co. Ltd. (a)		700		37,523
SCSK Corp. (a)		900		31,406
Secom Co. Ltd. (a)		2,300		168,047
Seiko Epson Corp. (a)		19,900		420,140
Sekisui Chemical Co. Ltd. (a)		13,300		211,717
Sekisui House Ltd. (a)		8,300		137,899
Seven & i Holdings Co. Ltd. (a)		1,500		57,044
Shimadzu Corp. (a)		2,000		31,774
Shimamura Co. Ltd. (a)		4,100		511,200
Shimizu Corp. (a)		24,000		219,071
Shinsei Bank Ltd. (a)		82,000		137,214
Shionogi & Co. Ltd. (a)		3,000		143,379
SoftBank Group Corp. (a)		8,100		536,010
Sohgo Security Services Co. Ltd. (a)		1,700		65,252
Sojitz Corp. (a)		181,000		438,230
Sompo Holdings, Inc. (a)		11,100		374,862
Sosei Group Corp. *		2,300		263,347
Square Enix Holdings Co. Ltd. (a)		3,700		94,865

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

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268

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Japan - 10.6% (continued)
Sugi Holdings Co. Ltd. (a)		2,900	$	137,582
Sumitomo Corp. (a)		18,400		216,005
Sumitomo Dainippon Pharma Co. Ltd. (a)		30,700		526,945
Sumitomo Heavy Industries Ltd. (a)		5,000		32,106
Sumitomo Mitsui Financial Group, Inc. (a)		5,600		213,265
Sumitomo Mitsui Trust Holdings, Inc. (a)		8,700		311,275
Sumitomo Rubber Industries Ltd. (a)		26,400		417,710
Sundrug Co. Ltd. (a)		2,400		165,939
Suzuken Co. Ltd. (a)		6,970		227,658
Suzuki Motor Corp. (a)		11,000		386,198
Taisei Corp. (a)		62,000		432,944
Taisho Pharmaceutical Holdings Co. Ltd. (a)		1,400		116,059
Takashimaya Co. Ltd. (a)		20,000		164,635
TDK Corp. (a)		400		27,427
Teijin Ltd. (a)		11,800		238,427
Terumo Corp. (a)		5,700		210,132
Toho Co. Ltd. (a)		1,600		45,134
Toho Gas Co. Ltd. (a)		72,000		584,772
Tohoku Electric Power Co., Inc. (a)		7,100		89,502
Tokyo Broadcasting System Holdings, Inc. (a)		6,900		110,042
Tokyo Century Corp. (a)		6,900		235,435
Tokyo Electron Ltd. (a)		4,600		432,627
Tokyo Gas Co. Ltd. (a)		19,000		85,769
Tokyu Corp. (a)		16,000		117,411
Toppan Printing Co. Ltd. (a)		16,000		152,563
Tosoh Corp. (a)		57,000		402,077
TOTO Ltd. (a)		2,500		98,746
Toyo Suisan Kaisha Ltd. (a)		7,300		264,109
Toyoda Gosei Co. Ltd. (a)		11,800		275,402
Toyota Boshoku Corp. (a)		4,800		110,036
Tsuruha Holdings, Inc. (a)		1,200		113,571
Welcia Holdings Co. Ltd. (a)		600		36,519
West Japan Railway Co. (a)		3,400		208,270
Yamada Denki Co. Ltd. (a)		46,500		250,377
Yamaguchi Financial Group, Inc. (a)		45,000		489,920
Yamaha Corp. (a)		2,300		70,133
Yamazaki Baking Co. Ltd. (a)		20,900		402,940
Yokogawa Electric Corp. (a)		4,700		67,856
				40,789,141
Netherlands - 0.8%
Aalberts Industries NV (a)		1,307		42,344
ABN AMRO Group NV, CVA (a)(b)		6,663		147,531
Akzo Nobel NV (a)		575		35,930
ASM International NV (a)		3,341		149,786
Boskalis Westminster (a)		656		22,758
Gemalto NV (a)		868		50,128
Heineken NV (a)		978		73,289
Koninklijke Ahold Delhaize NV (a)		17,848		375,932
Koninklijke DSM NV (a)		6,390		382,935
Koninklijke Philips NV (a)		6,179		188,904
NN Group NV (a)		17,025		576,340
Randstad Holding NV (a)		5,987		324,301
Wolters Kluwer NV (a)		15,492		560,333
				2,930,511

INVESTMENTS	SHARES		VALUE
Norway - 0.1%
Gjensidige Forsikring ASA (a)		1,500	$	23,780
Leroy Seafood Group ASA (a)		1,353		75,326
Marine Harvest ASA *(a)		19,938		360,489
Orkla ASA (a)		5,879		53,198
Yara International ASA (a)		2,065		81,235
				594,028
Spain - 0.7%
Aena SA (a)(b)		1,716		233,790
Almirall SA (a)		16,050		248,981
Banco de Sabadell SA (a)		78,170		108,623
Ebro Foods SA (a)		23,021		481,788
Endesa SA (a)		23,321		493,194
Gas Natural SDG SA (a)		3,104		58,396
Iberdrola SA (a)		41,978		274,867
Mediaset Espana Comunicacion SA (a)		3,372		39,499
Repsol SA (a)		48,264		678,261
Tecnicas Reunidas SA (a)		2,290		93,654
				2,711,053
Sweden - 0.5%
BillerudKorsnas AB		4,103		68,718
Boliden AB		8,418		218,658
Electrolux AB, Series B		9,716		240,578
Husqvarna AB, Class B		17,127		132,890
ICA Gruppen AB		3,956		120,412
Modern Times Group MTG AB, Class B		1,696		50,129
NCC AB, Class B		3,558		87,887
Saab AB, Class B		3,136		116,954
Securitas AB, Class B		20,100		315,286
Skanska AB, Class B		8,733		205,613
SKF AB, Class B		2,042		37,442
Svenska Cellulosa AB SCA, Class B		9,861		277,553
Swedbank AB, Class A		1,200		28,913
Swedish Match AB		4,175		132,464
Telia Co. AB (a)		6,320		25,389
				2,058,886
Switzerland - 1.0%
ABB Ltd. *(a)		17,717		372,796
Adecco Group AG (a)		1,020		66,582
Baloise Holding AG		1,165		146,598
Barry Callebaut AG *		94		114,842
DKSH Holding AG		414		28,418
Flughafen Zuerich AG		795		147,319
Galenica AG		280		315,518
Geberit AG (a)		321		128,514
Georg Fischer AG		260		212,635
Givaudan SA (a)		21		38,434
Helvetia Holding AG		108		58,110
Lonza Group AG *		1,414		244,380
Nestle SA (a)		1,348		96,567
Novartis AG (a)		1,793		130,393
Partners Group Holding AG		177		82,860
Roche Holding AG (a)		462		105,314
SGS SA (a)		69		140,192
Sika AG		43		206,308
Straumann Holding AG		96		37,408
Swiss Life Holding AG *(a)		919		259,598

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

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269

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Switzerland - 1.0% (continued)
Swiss Re AG (a)		7,173		$	678,658
Temenos Group AG *		1,498			104,127
UBS Group AG (a)		5,004			78,240
					3,793,811
United Kingdom - 0.3%
Fiat Chrysler Automobiles NV		81,722			743,411
Subsea 7 SA *(a)		30,479			384,928
					1,128,339
TOTAL COMMON STOCKS (Cost $67,853,334)					72,320,317
PREFERRED STOCK - 0.2%
Germany - 0.2%
Henkel AG & Co. KGaA (Cost $493,483) (a)		4,256			506,633
SHORT-TERM INVESTMENTS - 89.0%
INVESTMENT COMPANIES - 56.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (d)(e)(f)		196,284,547			196,284,547
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (d)(f)		21,444,632			21,444,632
			��
TOTAL INVESTMENT COMPANIES (Cost $217,729,179)					217,729,179
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 32.4%
U.S. Treasury Bill
0.43%, 1/19/2017 (e)(g)	$	41,730,000			41,722,321
0.44%, 2/9/2017 (g)		1,553,000			1,552,286
0.45%, 2/16/2017 (e)(g)		12,339,000			12,332,362
0.48%, 3/2/2017 (g)		1,514,000			1,512,819
0.49%, 4/6/2017 (e)(g)		9,828,000			9,814,624
0.50%, 4/13/2017 (g)		1,092,000			1,090,359
0.47%, 4/20/2017 (e)(g)		15,137,000			15,112,645
0.50%, 5/4/2017 (e)(g)		5,000,000			4,990,085
0.53%, 5/11/2017 (e)(g)		18,996,000			18,955,729
0.63%, 5/18/2017 (e)(g)		13,352,000			13,321,664
0.61%, 5/25/2017 (g)		3,659,000			3,650,233
0.65%, 6/15/2017 (e)(g)		379,000			377,957
0.64%, 6/22/2017 (g)		210,000			209,386
TOTAL U.S. TREASURY OBLIGATIONS (Cost $124,647,890)					124,642,470
TOTAL SHORT-TERM INVESTMENTS (Cost $342,377,069)					342,371,649
TOTAL LONG POSITIONS (Cost $410,723,886)					415,198,599

INVESTMENTS	SHARES			VALUE
SHORT POSITIONS - (15.2)%
COMMON STOCKS - (15.1)%
Austria - (0.1)%
ams AG		(8,290	)	$	(234,912	)
Belgium - (0.3)%
Anheuser-Busch InBev SA/NV		(6,552	)		(693,490	)
Telenet Group Holding NV *		(6,458	)		(357,945	)
					(1,051,435	)
Denmark - (0.3)%
AP Moller - Maersk A/S, Class B		(81	)		(129,111	)
Chr Hansen Holding A/S		(1,572	)		(86,940	)
Coloplast A/S, Class B		(5,521	)		(371,887	)
Genmab A/S *		(540	)		(89,452	)
Novozymes A/S, Class B		(4,492	)		(154,578	)
Pandora A/S		(541	)		(70,622	)
Tryg A/S		(7,458	)		(134,681	)
					(1,037,271	)
Finland - (0.4)%
Fortum OYJ		(27,498	)		(420,339	)
Nokia OYJ		(225,402	)		(1,081,065	)
Nokian Renkaat OYJ		(3,257	)		(121,088	)
Wartsila OYJ Abp		(794	)		(35,600	)
					(1,658,092	)
Germany - (1.3)%
Bayer AG		(2,119	)		(220,765	)
Bayerische Motoren Werke AG		(2,500	)		(232,840	)
Beiersdorf AG		(2,950	)		(249,888	)
Bilfinger SE *		(2,264	)		(87,170	)
Commerzbank AG		(27,776	)		(211,481	)
Continental AG		(267	)		(51,439	)
Daimler AG		(5,963	)		(442,547	)
Deutsche Bank AG *		(52,139	)		(945,767	)
E.ON SE		(87,850	)		(618,020	)
GEA Group AG		(1,075	)		(43,140	)
HUGO BOSS AG		(6,529	)		(398,589	)
K+S AG		(2,359	)		(56,194	)
LANXESS AG		(1,332	)		(87,224	)
Linde AG		(503	)		(82,511	)
Merck KGaA		(3,279	)		(341,412	)
Nordex SE *		(1,149	)		(24,611	)
RWE AG *		(37,569	)		(466,180	)
Telefonica Deutschland Holding AG		(47,524	)		(203,137	)
thyssenkrupp AG		(7,119	)		(169,114	)
United Internet AG		(4,057	)		(158,314	)
					(5,090,343	)
Italy - (0.6)%
Azimut Holding SpA		(13,297	)		(221,174	)
Banco Popolare SC		(176,850	)		(425,599	)
Eni SpA		(8,654	)		(140,291	)
Luxottica Group SpA		(10,390	)		(558,426	)
Mediaset SpA		(23,249	)		(100,132	)
Moncler SpA		(3,741	)		(65,006	)
Saipem SpA *		(376,978	)		(210,849	)
Salvatore Ferragamo SpA		(2,521	)		(59,459	)
Unione di Banche Italiane SpA		(112,194	)		(307,195	)

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

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270

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Italy - (0.6)% (continued)
Unipol Gruppo Finanziario SpA		(26,622	)	$	(95,729	)
Yoox Net-A-Porter Group SpA *		(3,607	)		(101,995	)
					(2,285,855	)
Japan - (8.7)%
Acom Co. Ltd.*		(36,000	)		(157,201	)
Advantest Corp.		(4,300	)		(72,159	)
Aeon Co. Ltd.		(33,000	)		(466,409	)
AEON Financial Service Co. Ltd.		(9,800	)		(173,579	)
Alps Electric Co. Ltd.		(40,700	)		(977,938	)
Asics Corp.		(31,000	)		(617,765	)
Bank of Kyoto Ltd. (The)		(60,000	)		(444,754	)
Benesse Holdings, Inc.		(10,700	)		(293,982	)
Calbee, Inc.		(15,600	)		(487,986	)
Casio Computer Co. Ltd.		(9,800	)		(138,113	)
Chiba Bank Ltd. (The)		(70,000	)		(429,109	)
Chugai Pharmaceutical Co. Ltd.		(11,000	)		(315,524	)
Chugoku Electric Power Co., Inc. (The)		(30,200	)		(353,479	)
Concordia Financial Group Ltd.		(11,100	)		(53,415	)
Credit Saison Co. Ltd.		(2,200	)		(39,151	)
Daido Steel Co. Ltd.		(8,000	)		(33,001	)
Dai-ichi Life Holdings, Inc.		(12,800	)		(212,819	)
Daiwa Securities Group, Inc.		(42,000	)		(258,625	)
Denso Corp.		(9,800	)		(423,914	)
Disco Corp.		(400	)		(48,360	)
Don Quijote Holdings Co. Ltd.		(4,500	)		(166,074	)
Eisai Co. Ltd.		(6,900	)		(395,421	)
Electric Power Development Co. Ltd.		(20,700	)		(475,097	)
FANUC Corp.		(2,600	)		(434,966	)
Fast Retailing Co. Ltd.		(2,000	)		(714,054	)
Hachijuni Bank Ltd. (The)		(42,500	)		(245,920	)
Hamamatsu Photonics KK		(8,600	)		(225,882	)
Hirose Electric Co. Ltd.		(300	)		(37,100	)
Hitachi Construction Machinery Co. Ltd.		(7,200	)		(155,656	)
Hitachi Ltd.		(23,000	)		(124,019	)
Hokuriku Electric Power Co.		(11,100	)		(124,154	)
Honda Motor Co. Ltd.		(5,500	)		(160,574	)
Hoya Corp.		(2,800	)		(117,402	)
Ibiden Co. Ltd.		(10,500	)		(140,820	)
IHI Corp. *		(146,000	)		(378,125	)
Iyo Bank Ltd. (The)		(69,300	)		(476,949	)
Japan Airport Terminal Co. Ltd.		(1,100	)		(39,747	)
Japan Display, Inc. *		(29,500	)		(83,779	)
Japan Post Bank Co. Ltd.		(6,700	)		(80,290	)
Japan Post Insurance Co. Ltd.		(1,100	)		(23,526	)
Japan Tobacco, Inc.		(6,300	)		(206,789	)
JFE Holdings, Inc.		(25,500	)		(385,622	)
JGC Corp.		(2,100	)		(38,044	)
Kakaku.com, Inc.		(22,400	)		(370,118	)
Kansai Electric Power Co., Inc. (The) *		(6,400	)		(69,771	)
Kansai Paint Co. Ltd.		(11,700	)		(215,206	)
Kawasaki Heavy Industries Ltd.		(109,000	)		(341,188	)
Keikyu Corp.		(38,000	)		(440,161	)
Keio Corp.		(8,000	)		(65,714	)
Keisei Electric Railway Co. Ltd.		(3,900	)		(94,434	)
Kikkoman Corp.		(19,000	)		(606,219	)
Kintetsu Group Holdings Co. Ltd.		(15,000	)		(57,160	)
Kirin Holdings Co. Ltd.		(10,100	)		(163,935	)
Kobe Steel Ltd. *		(72,200	)		(686,491	)

INVESTMENTS	SHARES			VALUE
Japan - (8.7)% (continued)
Koito Manufacturing Co. Ltd.		(2,100	)	$	(110,901	)
Kubota Corp.		(8,000	)		(114,007	)
Kyowa Hakko Kirin Co. Ltd.		(3,800	)		(52,415	)
Kyushu Electric Power Co., Inc.		(28,000	)		(303,337	)
Kyushu Financial Group, Inc.		(4,200	)		(28,457	)
LIXIL Group Corp.		(9,200	)		(208,520	)
Mabuchi Motor Co. Ltd.		(4,600	)		(239,035	)
Marui Group Co. Ltd.		(1,900	)		(27,682	)
Minebea Co. Ltd.		(17,500	)		(163,296	)
MISUMI Group, Inc.		(6,100	)		(100,203	)
Mitsubishi Heavy Industries Ltd.		(68,000	)		(309,131	)
Mitsubishi Logistics Corp.		(14,000	)		(197,377	)
Mitsubishi Materials Corp.		(6,500	)		(198,817	)
Mitsubishi Motors Corp.		(96,600	)		(549,134	)
Mitsubishi UFJ Financial Group, Inc.		(6,000	)		(37,004	)
Mitsui OSK Lines Ltd.		(90,000	)		(248,406	)
Murata Manufacturing Co. Ltd.		(4,600	)		(614,269	)
Nabtesco Corp.		(3,100	)		(71,861	)
NGK Insulators Ltd.		(8,000	)		(154,855	)
NGK Spark Plug Co. Ltd.		(36,500	)		(809,013	)
Nidec Corp.		(2,400	)		(206,618	)
Nintendo Co. Ltd.		(1,400	)		(291,026	)
Nippon Paint Holdings Co. Ltd.		(14,600	)		(396,313	)
Nippon Steel & Sumitomo Metal Corp.		(11,200	)		(248,067	)
Nippon Yusen KK		(225,000	)		(416,675	)
Nissan Chemical Industries Ltd.		(2,200	)		(73,334	)
Nitto Denko Corp.		(2,200	)		(168,435	)
NOK Corp.		(4,200	)		(84,948	)
Nomura Holdings, Inc.		(15,900	)		(94,003	)
NSK Ltd.		(5,500	)		(63,522	)
NTN Corp.		(37,000	)		(149,266	)
Odakyu Electric Railway Co. Ltd.		(10,500	)		(207,480	)
Oji Holdings Corp.		(9,000	)		(36,599	)
Olympus Corp.		(9,100	)		(313,538	)
Omron Corp.		(9,700	)		(370,685	)
Ono Pharmaceutical Co. Ltd.		(6,100	)		(132,947	)
Oriental Land Co. Ltd.		(8,200	)		(462,822	)
Panasonic Corp.		(6,100	)		(61,867	)
Pigeon Corp.		(21,100	)		(538,011	)
Rakuten, Inc.		(60,900	)		(596,689	)
Recruit Holdings Co. Ltd.		(1,100	)		(44,084	)
Ricoh Co. Ltd.		(32,100	)		(271,174	)
Rinnai Corp.		(300	)		(24,139	)
Ryohin Keikaku Co. Ltd.		(1,300	)		(254,453	)
Sega Sammy Holdings, Inc.		(10,100	)		(150,086	)
Seibu Holdings, Inc.		(18,200	)		(325,851	)
Seven Bank Ltd.		(125,900	)		(359,995	)
Sharp Corp. *		(41,000	)		(94,864	)
Shikoku Electric Power Co., Inc.		(34,900	)		(352,678	)
Shimano, Inc.		(1,800	)		(281,939	)
Shin-Etsu Chemical Co. Ltd.		(300	)		(23,217	)
Shizuoka Bank Ltd. (The)		(56,000	)		(469,982	)
SMC Corp.		(600	)		(142,755	)
Sony Corp.		(4,800	)		(134,121	)
Sony Financial Holdings, Inc.		(61,500	)		(958,689	)
Stanley Electric Co. Ltd.		(9,200	)		(250,633	)
Sumco Corp.		(22,600	)		(290,553	)
Sumitomo Electric Industries Ltd.		(2,500	)		(35,998	)

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

AQR Funds Annual Report December 2016

271

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Japan - (8.7)% (continued)
Sumitomo Metal Mining Co. Ltd.		(31,000	)	$	(395,488	)
Suntory Beverage & Food Ltd.		(700	)		(28,995	)
Suruga Bank Ltd.		(1,000	)		(22,328	)
Sysmex Corp.		(800	)		(46,224	)
T&D Holdings, Inc.		(34,300	)		(452,671	)
Taiheiyo Cement Corp.		(24,000	)		(75,664	)
Taiyo Nippon Sanso Corp.		(49,700	)		(574,138	)
Takeda Pharmaceutical Co. Ltd.		(12,600	)		(522,724	)
THK Co. Ltd.		(1,600	)		(35,334	)
Tobu Railway Co. Ltd.		(20,000	)		(99,148	)
Toray Industries, Inc.		(3,000	)		(24,227	)
Toshiba Corp. *		(79,000	)		(190,828	)
Toyota Industries Corp.		(4,300	)		(204,445	)
Toyota Motor Corp.		(2,900	)		(170,022	)
Trend Micro, Inc.		(5,800	)		(205,864	)
Unicharm Corp.		(12,200	)		(266,451	)
USS Co. Ltd.		(7,700	)		(122,321	)
Yahoo Japan Corp.		(49,800	)		(190,732	)
Yakult Honsha Co. Ltd.		(12,400	)		(573,704	)
Yamaha Motor Co. Ltd.		(22,700	)		(497,790	)
Yamato Holdings Co. Ltd.		(1,100	)		(22,298	)
Yaskawa Electric Corp.		(24,800	)		(384,523	)
Yokohama Rubber Co. Ltd. (The)		(1,400	)		(25,025	)
					(33,384,410	)
Luxembourg - (0.4)%
APERAM SA		(1,526	)		(69,640	)
ArcelorMittal *		(62,014	)		(455,649	)
Millicom International Cellular SA, SDR		(5,611	)		(239,110	)
Tenaris SA		(43,452	)		(775,641	)
					(1,540,040	)
Netherlands - (0.6)%
Aegon NV		(80,348	)		(441,404	)
Altice NV, Class A *		(45,083	)		(892,187	)
ASML Holding NV		(3,898	)		(436,850	)
Koninklijke KPN NV		(62,554	)		(184,980	)
Koninklijke Vopak NV		(909	)		(42,887	)
OCI NV *		(8,089	)		(141,081	)
SBM Offshore NV		(1,427	)		(22,341	)
					(2,161,730	)
Norway - (0.2)%
Norsk Hydro ASA		(28,986	)		(138,342	)
Schibsted ASA, Class A		(14,051	)		(321,588	)
Statoil ASA		(17,843	)		(325,665	)
Telenor ASA		(13,175	)		(196,660	)
					(982,255	)
Spain - (0.7)%
Abertis Infraestructuras SA		(11,418	)		(159,526	)
Acciona SA		(357	)		(26,223	)
Amadeus IT Group SA		(973	)		(44,130	)
Atresmedia Corp. de Medios de Comunicacion SA		(9,628	)		(105,101	)
Banco Popular Espanol SA		(664,279	)		(640,031	)
Bankia SA		(166,760	)		(169,936	)
Cellnex Telecom SA (b)		(32,274	)		(463,265	)

INVESTMENTS	SHARES			VALUE
Spain - (0.7)% (continued)
Distribuidora Internacional de Alimentacion SA		(12,266	)	$	(60,160	)
Ferrovial SA		(4,442	)		(79,220	)
Industria de Diseno Textil SA		(7,979	)		(271,812	)
Mapfre SA		(40,346	)		(122,898	)
Melia Hotels International SA		(2,959	)		(34,447	)
Obrascon Huarte Lain SA		(15,885	)		(54,941	)
Telefonica SA		(44,803	)		(413,637	)
Zardoya Otis SA		(2,084	)		(17,586	)
					(2,662,913	)
Sweden - (0.5)%
Alfa Laval AB		(8,724	)		(143,906	)
Atlas Copco AB, Class A		(3,155	)		(95,712	)
Getinge AB, Class B		(3,554	)		(56,946	)
Hennes & Mauritz AB, Class B		(16,724	)		(463,608	)
Hexagon AB, Class B		(1,409	)		(50,183	)
Skandinaviska Enskilda Banken AB, Class A		(20,684	)		(216,152	)
Svenska Handelsbanken AB, Class A		(1,945	)		(26,939	)
Swedish Orphan Biovitrum AB *		(6,349	)		(74,132	)
Tele2 AB, Class B		(4,489	)		(35,894	)
Telefonaktiebolaget LM Ericsson, Class B		(103,636	)		(607,408	)
Trelleborg AB, Class B		(1,569	)		(30,810	)
					(1,801,690	)
Switzerland - (0.9)%
Aryzta AG *		(2,094	)		(92,086	)
Chocoladefabriken Lindt & Spruengli AG		(24	)		(124,187	)
Cie Financiere Richemont SA		(11,182	)		(739,025	)
Credit Suisse Group AG *		(67,623	)		(966,402	)
Dufry AG *		(1,693	)		(210,734	)
Julius Baer Group Ltd. *		(1,515	)		(67,117	)
LafargeHolcim Ltd. *		(5,098	)		(267,605	)
OC Oerlikon Corp. AG *		(16,524	)		(162,109	)
STMicroelectronics NV		(16,044	)		(182,077	)
Sunrise Communications Group AG*(b)		(2,482	)		(163,117	)
Swatch Group AG (The)		(1,009	)		(313,156	)
Swisscom AG		(55	)		(24,585	)
					(3,312,200	)
United Kingdom - (0.1)%
CNH Industrial NV		(14,741	)		(127,908	)
Dialog Semiconductor plc *		(2,291	)		(96,256	)
RELX NV		(18,702	)		(314,565	)
					(538,729	)
United States - 0.0% (h)
QIAGEN NV *		(6,782	)		(190,054	)
TOTAL COMMON STOCKS (Proceeds $(58,017,321))					(57,931,929	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
PREFERRED STOCKS - (0.1)%
Germany - (0.1)%
Schaeffler AG		(2,016	)	$	(29,748	)
Volkswagen AG		(2,898	)		(405,480	)
TOTAL PREFERRED STOCKS (Proceeds $(452,280))					(435,228	)
TOTAL SHORT POSITIONS (Proceeds $(58,469,601))					(58,367,157	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 92.8% (Cost $352,254,285)					356,831,442
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.2% (i)				27,749,229
NET ASSETS - 100.0%					384,580,671

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(4,602,369	)		(1.2	)%
Consumer Staples		4,015,024			1.0
Energy		1,454,618			0.4
Financials		689,598			0.2
Health Care		3,600,225			0.9
Industrials		7,657,757			2.0
Information Technology		(1,921,770	)		(0.5	)
Materials		1,984,794			0.5
Telecommunication Services		576,981			0.2
Utilities		1,004,935			0.3
Short-Term Investment		342,371,649			89.0
Total Investments in Securities At Value		356,831,442			92.8
Other Assets In Excess Of Liabilities (i)		27,749,229			7.2
Net Assets	$	384,580,671			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $67,900,336. In addition, $342,970 of cash collateral was pledged.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 12/31/2016 amounted to $840,729, which represents approximately 0.22% of net assets of the fund.

(c) Security fair valued as of 12/31/2016 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 12/31/2016 amounted to $20,424, which represents approximately 0.01% of net assets of the fund.

(d) Represents 7-day effective yield as of 12/31/2016.

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

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

(g) The rate shown was the effective yield at the date of purchase.

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

(i) 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).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	BIST 30 February Futures	02/2017	TRY		286,755			$587
BANA	Bovespa Index February Futures	02/2017	BRL		(18,622,347	)		(8,785	)
CITI	Corn March Futures^	02/2017	USD		(588,390	)		(10,011	)
GSIN	Corn March Futures^	02/2017	USD		(1,015,587	)		(5,213	)
MACQ	Corn March Futures^	02/2017	USD		(2,115,771	)		3,771
BANA	Hang Seng Index January Futures	01/2017	HKD		74,417,483			174,245
GSIN	Hang Seng Index January Futures	01/2017	HKD		36,738,577			76,957
MSCS	Hang Seng Index January Futures	01/2017	HKD		44,255,288			98,871
GSIN	H-SHARES Index January Futures	01/2017	HKD		926,185			1,627
MSCS	KOSPI Index 200 March Futures	03/2017	KRW		6,039,123,850			172,740
GSIN	MSCI Singapore Index January Futures	01/2017	SGD		(1,027,205	)		2,662
BANA	MSCI Taiwan Stock Index January Futures	01/2017	USD		644,356			8,864
GSIN	MSCI Taiwan Stock Index January Futures	01/2017	USD		170,092			1,808
MSCS	MSCI Taiwan Stock Index January Futures	01/2017	USD		34,088			292

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CITI	Soybean March Futures^	02/2017		USD		1,725,411			$ (68,812	)
SOCG	Soybean March Futures^	02/2017		USD		941,330			(37,730	)
MACQ	Soybean March Futures^	02/2017		USD		1,359,166			(53,966	)
BANA	SwissMarket Index March Futures	03/2017		CHF		(11,127,535	)		(227,068	)
BANA	Taiwan Stock Exchange January Futures	01/2017		TWD		89,061,094			(4,905	)
BANA	Tel Aviv 25 Index January Futures	01/2017		ILS		(1,315,190	)		(2,217	)
GSIN	WIG20 Index March Futures	03/2017		PLN		(641,713	)		(4,592	)
									$119,125

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

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
162	GSCO	Brent Crude Futures^		01/2017		$9,010,500		$9,204,840		$194,340
6	JPPC	LME Copper Futures^		01/2017		697,762		828,761		130,999
76	JPPC	LME Copper Futures^		03/2017		11,100,589		10,516,025		(584,564	)
87	MSCL	Silver Futures^		03/2017		7,309,741		6,955,215		(354,526	)
3	MSCL	Soybean Futures^		03/2017		156,973		150,600		(6,373	)
171	JPMS	BIST 30 Futures		02/2017		463,041		466,784		3,743
227	BARC	CAC40 Index Futures		01/2017		11,411,941		11,620,213		208,272
87	BARC	DAX Index Futures		03/2017		25,797,391		26,249,274		451,883
181	BARC	FTSE 100 Index Futures		03/2017		15,349,350		15,726,040		376,690
5	JPMS	FTSE Bursa Malaysia KLCI Index Futures		01/2017		91,057		91,144		87
2	BARC	H-SHARES Index Futures		01/2017		120,312		121,065		753
27	BARC	KOSPI Index 200 Futures		03/2017		2,819,736		2,906,669		86,933
12	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		03/2017		266,710		265,035		(1,675	)
6	BARC	MSCI Taiwan Stock Index Futures		01/2017		204,702		206,280		1,578
63	JPMS	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		8,414,044		8,416,892		2,848
143	JPMS	SET50 Index Futures		03/2017		758,140		767,820		9,680
90	JPMS	SPI 200 Index Futures		03/2017		8,926,894		9,143,124		216,230
16	GSCO	10-Year Japanese Government Bond Futures		03/2017		20,557,331		20,567,616		10,285
24	JPMS	3-Month Euro Euribor Futures		06/2017		6,333,925		6,334,847		922
24	JPMS	3-Month Euro Euribor Futures		09/2017		6,333,128		6,333,584		456
24	JPMS	3-Month Euro Euribor Futures		12/2017		6,332,655		6,332,638		(17	)
3	JPMS	ASX 90 Day Bank Accepted Bills Futures		03/2017		2,155,548		2,155,225		(323	)
30	JPMS	ASX 90 Day Bank Accepted Bills Futures		06/2017		21,553,472		21,550,132		(3,340	)
30	JPMS	ASX 90 Day Bank Accepted Bills Futures		09/2017		21,550,738		21,546,959		(3,779	)
27	JPMS	ASX 90 Day Bank Accepted Bills Futures		12/2017		19,392,054		19,388,457		(3,597	)
409	JPMS	Australia 3-Year Bond Futures		03/2017		32,958,708		32,900,072		(58,636	)
79	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2017		14,572,528		14,567,767		(4,761	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
79	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2017		$ 14,568,014			$ 14,558,942			$ (9,072	)
79	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2017		14,548,975			14,547,173			(1,802	)
764	GSCO	Euro - SCHATZ Futures		03/2017		90,217,427			90,306,379			88,952
68	GSCO	Euro-Bobl Futures		03/2017		9,510,032			9,565,262			55,230
72	GSCO	Euro-Bund Futures		03/2017		12,345,066			12,441,060			95,994
97	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		11,999,545			12,055,281			55,736
949	MSCL	U.S. Treasury 2-Year Note Futures		03/2017		205,834,210			205,636,438			(197,772	)
30	MSCL	U.S. Treasury 5-Year Note Futures		03/2017		3,543,080			3,529,922			(13,158	)
						617,205,319			617,953,535			748,216
Short Contracts:
280	MSCL	Corn Futures^		03/2017		$(4,962,465	)		$(4,928,000	)		$34,465
63	MSCL	Gold 100 OZ Futures^		02/2017		(7,195,115	)		(7,255,710	)		(60,595	)
6	JPPC	LME Copper Futures^		01/2017		(698,178	)		(828,761	)		(130,583	)
239	MSCL	Natural Gas Futures^		01/2017		(8,594,496	)		(8,900,360	)		(305,864	)
62	MSCL	WTI Crude Futures^		01/2017		(3,182,705	)		(3,330,640	)		(147,935	)
72	BARC	Amsterdam Index Futures		01/2017		(7,163,391	)		(7,322,907	)		(159,516	)
695	BARC	Euro Stoxx 50 Index Futures		03/2017		(23,484,921	)		(23,974,261	)		(489,340	)
80	BARC	FTSE/JSE Top 40 Index Futures		03/2017		(2,613,684	)		(2,580,854	)		32,830
96	BARC	FTSE/MIB Index Futures		03/2017		(9,408,732	)		(9,703,748	)		(295,016	)
81	BARC	IBEX 35 Index Futures		01/2017		(7,852,852	)		(7,941,037	)		(88,185	)
719	BARC	OMXS30 Index Futures		01/2017		(12,166,658	)		(11,987,806	)		178,852
22	JPMS	S&P 500 E-Mini Futures		03/2017		(2,469,155	)		(2,459,820	)		9,335
25	BARC	TOPIX Index Futures		03/2017		(3,143,364	)		(3,247,058	)		(103,694	)
58	JPMS	90-Day EURODollar Futures		06/2017		(14,327,023	)		(14,325,275	)		1,748
58	JPMS	90-Day EURODollar Futures		09/2017		(14,311,018	)		(14,303,525	)		7,493
58	JPMS	90-Day EURODollar Futures		12/2017		(14,290,008	)		(14,279,600	)		10,408
2	JPMS	90-Day Sterling Futures		03/2017		(306,804	)		(306,883	)		(79	)
50	JPMS	90-Day Sterling Futures		06/2017		(7,673,012	)		(7,670,149	)		2,863
50	JPMS	90-Day Sterling Futures		09/2017		(7,672,036	)		(7,668,610	)		3,426
48	JPMS	90-Day Sterling Futures		12/2017		(7,355,202	)		(7,359,647	)		(4,445	)
462	JPMS	Australia 10-Year Bond Futures		03/2017		(42,358,440	)		(42,589,655	)		(231,215	)
361	GSCO	Canadian 10-Year Bond Futures		03/2017		(37,359,428	)		(36,977,865	)		381,563
27	GSCO	Euro-Buxl 30-Year Bond Futures		03/2017		(4,899,917	)		(4,931,707	)		(31,790	)
2	GSCO	Long Gilt Futures		03/2017		(309,784	)		(310,146	)		(362	)
93	MSCL	U.S. Treasury Long Bond Futures		03/2017		(14,122,330	)		(14,011,031	)		111,299
						(257,920,718	)		(259,195,055	)		(1,274,337	)
						$359,284,601			$358,758,480			$(526,121	)

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

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		9,140,000		$6,779,742		$6,584,562		$(195,180	)
Australian Dollar, Expiring 03/15/17	JPMC	AUD		13,710,000		10,169,624		9,876,843		(292,781	)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		12,636,000		3,587,938		3,807,318		219,380
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		18,954,000		5,381,914		5,710,975		329,061
Canadian Dollar, Expiring 03/15/17	CITI	CAD		14,463,200		10,887,031		10,781,057		(105,974	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		21,694,800		16,330,566		16,171,584		(158,982	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		2,285,000		2,236,723		2,253,879		17,156
Swiss Franc, Expiring 03/15/17	JPMC	CHF		2,697,000		2,632,671		2,660,268		27,597
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		3,080,000		440,970		433,377		(7,593	)
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		3,096,000		444,305		435,629		(8,676	)
Danish Krone, Expiring 03/15/17	CITI	DKK		1,856,000		268,859		263,808		(5,051	)
Euro, Expiring 03/15/17	CITI	EUR		441,000		463,074		465,855		2,781
British Pound, Expiring 03/15/17	CITI	GBP		1,359,600		1,730,673		1,678,499		(52,174	)
British Pound, Expiring 03/15/17	JPMC	GBP		2,039,400		2,595,960		2,517,748		(78,212	)
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		6,996,600		902,369		902,516		147
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		7,613,400		982,238		982,078		(160	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		9,600,000		32,860		32,737		(123	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		14,400,000		49,288		49,106		(182	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		4,640,000		1,204,793		1,206,916		2,123
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		960,000		248,733		249,707		974
Indian Rupee, Expiring 03/15/17*	CITI	INR		94,120,000		1,372,587		1,375,893		3,306
Indian Rupee, Expiring 03/15/17*	JPMC	INR		141,180,000		2,058,882		2,063,841		4,959
Japanese Yen, Expiring 03/15/17	CITI	JPY		1,197,825,000		10,546,996		10,284,591		(262,405	)
Japanese Yen, Expiring 03/15/17	JPMC	JPY		1,796,517,000		15,818,579		15,424,996		(393,583	)
Mexican Peso, Expiring 03/15/17	CITI	MXN		38,444,000		1,836,642		1,837,190		548
Mexican Peso, Expiring 03/15/17	JPMC	MXN		47,166,000		2,253,731		2,254,004		273
Norwegian Krone, Expiring 03/15/17	CITI	NOK		19,506,000		2,309,574		2,259,903		(49,671	)

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

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		24,564,000		$ 2,904,199		$ 2,845,907		$ (58,292	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		2,629,600		1,866,151		1,822,943		(43,208	)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		3,944,400		2,799,226		2,734,415		(64,811	)
Poland Zloty, Expiring 03/15/17	CITI	PLN		2,960,000		703,230		706,476		3,246
Poland Zloty, Expiring 03/15/17	JPMC	PLN		4,440,000		1,054,846		1,059,714		4,868
Swedish Krona, Expiring 03/15/17	CITI	SEK		2,739,000		300,851		301,890		1,039
Turkish Lira, Expiring 03/15/17	CITI	TRY		6,352,000		1,806,862		1,774,214		(32,648	)
Turkish Lira, Expiring 03/15/17	JPMC	TRY		9,528,000		2,710,297		2,661,320		(48,977	)
South African Rand, Expiring 03/15/17	CITI	ZAR		20,800,000		1,480,244		1,494,622		14,378
South African Rand, Expiring 03/15/17	JPMC	ZAR		31,200,000		2,220,517		2,241,933		21,416
						$121,413,745		$120,208,314		$(1,205,431	)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		(1,321,200	)		$(953,295	)		$(951,808	)		$1,487
Australian Dollar, Expiring 03/15/17	JPMC	AUD		(1,981,800	)		(1,429,941	)		(1,427,712	)		2,229
Brazilian Real, Expiring 03/15/17*	CITI	BRL		(3,300,000	)		(984,777	)		(994,314	)		(9,537	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		(21,495,000	)		(21,350,170	)		(21,202,251	)		147,919
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(31,881,000	)		(31,667,206	)		(31,446,796	)		220,410
Chinese Renminbi, Expiring 03/15/17*	CITI	CNY		(4,136,200	)		(590,493	)		(581,992	)		8,501
Chinese Renminbi, Expiring 03/15/17*	JPMC	CNY		(3,634,800	)		(520,537	)		(511,441	)		9,096
Danish Krone, Expiring 03/15/17	CITI	DKK		(3,819,800	)		(552,279	)		(542,938	)		9,341
Danish Krone, Expiring 03/15/17	JPMC	DKK		(5,020,200	)		(728,183	)		(713,560	)		14,623
Euro, Expiring 03/15/17	CITI	EUR		(4,970,400	)		(5,331,062	)		(5,250,532	)		80,530
Euro, Expiring 03/15/17	JPMC	EUR		(5,925,600	)		(6,348,283	)		(6,259,567	)		88,716
British Pound, Expiring 03/15/17	CITI	GBP		(1,093,200	)		(1,371,367	)		(1,349,613	)		21,754
British Pound, Expiring 03/15/17	JPMC	GBP		(1,639,800	)		(2,057,063	)		(2,024,421	)		32,642
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(16,599,600	)		(2,140,850	)		(2,141,240	)		(390	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		(3,641,400	)		(469,878	)		(469,716	)		162

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		(111,600,000	)		$ (375,727	)		$ (380,573	)		$ (4,846	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		(32,400,000	)		(108,890	)		(110,489	)		(1,599	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		(9,116,000	)		(2,399,717	)		(2,371,174	)		28,543
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		(13,674,000	)		(3,599,570	)		(3,556,761	)		42,809
Indian Rupee, Expiring 03/15/17*	CITI	INR		(54,800,000	)		(797,935	)		(801,094	)		(3,159	)
Indian Rupee, Expiring 03/15/17*	JPMC	INR		(22,200,000	)		(324,307	)		(324,531	)		(224	)
Japanese Yen, Expiring 03/15/17	CITI	JPY		(196,762,000	)		(1,696,068	)		(1,689,409	)		6,659
Japanese Yen, Expiring 03/15/17	JPMC	JPY		(24,531,000	)		(208,351	)		(210,625	)		(2,274	)
Korean Won, Expiring 03/15/17*	CITI	KRW		(4,798,800,000	)		(4,108,020	)		(3,973,555	)		134,465
Korean Won, Expiring 03/15/17*	JPMC	KRW		(7,198,200,000	)		(6,162,020	)		(5,960,332	)		201,688
Mexican Peso, Expiring 03/15/17	CITI	MXN		(9,200,000	)		(445,964	)		(439,657	)		6,307
Mexican Peso, Expiring 03/15/17	JPMC	MXN		(13,800,000	)		(668,944	)		(659,485	)		9,459
Norwegian Krone, Expiring 03/15/17	CITI	NOK		(8,050,600	)		(953,291	)		(932,718	)		20,573
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		(9,980,400	)		(1,188,205	)		(1,156,298	)		31,907
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		(323,200	)		(222,111	)		(224,055	)		(1,944	)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		(484,800	)		(333,166	)		(336,083	)		(2,917	)
Poland Zloty, Expiring 03/15/17	CITI	PLN		(200,000	)		(47,090	)		(47,735	)		(645	)
Swedish Krona, Expiring 03/15/17	CITI	SEK		(38,153,800	)		(4,181,558	)		(4,205,277	)		(23,719	)
Swedish Krona, Expiring 03/15/17	JPMC	SEK		(48,727,200	)		(5,336,211	)		(5,370,667	)		(34,456	)
Singapore Dollar, Expiring 03/15/17	CITI	SGD		(5,628,400	)		(3,951,448	)		(3,885,204	)		66,244
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		(8,382,600	)		(5,885,230	)		(5,786,391	)		98,839
Turkish Lira, Expiring 03/15/17	CITI	TRY		(1,680,000	)		(468,502	)		(469,251	)		(749	)
Turkish Lira, Expiring 03/15/17	JPMC	TRY		(720,000	)		(203,375	)		(201,108	)		2,267
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		(26,000,000	)		(814,685	)		(809,317	)		5,368
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		(39,000,000	)		(1,222,026	)		(1,213,976	)		8,050
							(122,197,795	)		(120,983,666	)		1,214,129
							$(784,050	)		$(775,352	)		$8,698

* Non-deliverable forward (See Note 4).

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps* Outstanding at December 31, 2016

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	2-60 months maturity ranging from 01/19/2017 - 12/21/2020		$(969,040	)

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		11,612	$	175,933	$	(9,683	)
Ireland
Paddy Power Betfair plc		128		13,946		(96	)
Isle of Man
Paysafe Group plc		28,503		148,878		(18,659	)
South Africa
Investec plc		15,486		93,549		8,018
Mondi plc		7,243		100,850		47,069
						55,087
Switzerland
Coca-Cola HBC AG		12,184		206,574		58,736
IWG plc		28,767		104,536		(17,521	)
Wolseley plc		962		38,217		20,509
						61,724
United Kingdom
Admiral Group plc		1,450		36,088		(3,478	)
Aggreko plc		6,022		56,364		11,615

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Amec Foster Wheeler plc		4,790	$	21,063	$	6,597
Ashtead Group plc		19,970		311,409		76,815
Babcock International Group plc		12,808		151,387		(1,156	)
BAE Systems plc		16,648		113,565		7,525
Barratt Developments plc		100,887		624,275		(50,720	)
Bellway plc		14,680		422,825		24,661
Berkeley Group Holdings plc		9,631		381,542		(48,610	)
BP plc		11,716		60,226		13,156
Britvic plc		5,359		47,470		(10,052	)
BT Group plc		41,183		212,614		(26,701	)
Bunzl plc		1,811		38,303		8,713
Close Brothers Group plc		12,878		200,814		27,907
Compass Group plc		9,875		150,276		32,229
Daily Mail & General Trust plc		4,266		35,360		5,493
DCC plc		3,834		261,421		23,565
Direct Line Insurance Group plc		37,832		168,502		3,678
Dixons Carphone plc		27,441		152,488		(32,640	)

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

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Consolidated Schedule of Investments December 31, 2016

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
DS Smith plc		14,847	$	66,187	$	8,369
easyJet plc		5,897		120,917		(47,974	)
GKN plc		55,165		214,826		10,021
Greene King plc		19,154		200,003		(35,417	)
Henderson Group plc		10,409		35,277		(5,235	)
Howden Joinery Group plc		13,956		84,337		(18,478	)
HSBC Holdings plc		62,088		435,958		65,006
Imperial Brands plc		1,436		63,713		(1,131	)
Inchcape plc		10,136		88,986		(1,391	)
Indivior plc		116,917		245,325		180,679
Informa plc		3,941		33,385		(375	)
Intermediate Capital Group plc		54,037		429,001		36,233
J Sainsbury plc		94,767		293,437		(2,175	)
John Wood Group plc		9,669		67,259		37,151
Johnson Matthey plc		2,991		126,693		(9,663	)
Jupiter Fund Management plc		10,859		51,895		7,241
Kingfisher plc		35,231		142,951		8,838
Legal & General Group plc		13,911		36,787		5,591
Meggitt plc		5,298		22,668		7,251
Micro Focus International plc		16,142		277,128		156,382
National Grid plc		23,063		276,580		(7,117	)
Persimmon plc		29,013		636,986		(3,991	)
Playtech plc		17,023		156,711		16,478
Provident Financial plc		2,933		107,704		(5,130	)
Reckitt Benckiser Group plc		2,129		187,418		(7,075	)
Rentokil Initial plc		62,343		124,030		46,526
Rightmove plc		2,107		98,571		2,642
Royal Mail plc		75,721		419,853		10,575
RPC Group plc		9,610		109,920		16,049
Sage Group plc (The)		20,456		147,452		17,444
Sky plc		24,743		325,735		(24,095	)
SSE plc		5,755		99,589		10,297
Taylor Wimpey plc		264,660		510,982		(11,812	)
Travis Perkins plc		3,402		69,240		(8,425	)
WH Smith plc		1,425		27,097		207
Whitbread plc		763		35,928		(434	)
William Hill plc		79,041		360,092		(77,778	)
Wm Morrison Supermarkets plc		228,839		564,732		85,235
WPP plc		16,038		303,840		53,061
						582,177
Total of Long Equity Positions						670,550

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Australia
BHP Billiton plc		(29,571	)	$	(386,267	)	$	(84,593	)
Chile
Antofagasta plc		(63,417	)		(395,225	)		(129,846	)
Ireland
Experian plc		(16,503	)		(220,671	)		(98,854	)
Jordan
Hikma Pharmaceuticals plc		(6,715	)		(157,665	)		1,154
Luxembourg
B&M European Value Retail SA		(18,141	)		(60,178	)		(1,976	)
Switzerland
Glencore plc		(37,656	)		(104,448	)		(22,788	)
United Kingdom
AA plc		(38,498	)		(128,082	)		(3,425	)
Anglo American plc		(4,871	)		(64,710	)		(4,112	)
ASOS plc		(2,408	)		(87,626	)		(59,498	)
Associated British Foods plc		(9,690	)		(363,918	)		36,958
AstraZeneca plc		(6,275	)		(380,315	)		37,651
Aviva plc		(74,149	)		(396,484	)		(45,194	)
Balfour Beatty plc		(10,289	)		(34,909	)		931
Barclays plc		(50,436	)		(96,107	)		(42,307	)
Booker Group plc		(58,129	)		(109,067	)		(16,584	)
BTG plc		(22,656	)		(162,815	)		(1,712	)
Burberry Group plc		(12,807	)		(193,842	)		(42,177	)
Capita plc		(46,651	)		(454,717	)		149,685
Centrica plc		(126,668	)		(320,203	)		(44,607	)
Cobham plc		(78,062	)		(156,860	)		(314	)
Croda International plc		(621	)		(22,403	)		(2,021	)
Diageo plc		(18,660	)		(410,549	)		(73,675	)
Drax Group plc		(4,688	)		(11,196	)		(10,608	)
G4S plc		(62,892	)		(148,336	)		(33,445	)
GlaxoSmithKline plc		(11,881	)		(195,989	)		(32,227	)
Halma plc		(2,556	)		(24,909	)		(3,370	)
Hargreaves Lansdown plc		(17,155	)		(254,922	)		(351	)
Hays plc		(20,308	)		(30,954	)		(6,309	)
IMI plc		(8,691	)		(94,724	)		(16,423	)
Inmarsat plc		(29,887	)		(280,617	)		4,085
InterContinental Hotels Group plc		(2,410	)		(80,683	)		(27,078	)
Intertek Group plc		(4,409	)		(141,063	)		(47,898	)
ITV plc		(29,089	)		(73,198	)		(659	)
Just Eat plc		(29,890	)		(200,634	)		(14,142	)
Marks & Spencer Group plc		(6,474	)		(26,124	)		(1,764	)
Merlin Entertainments plc		(4,808	)		(25,655	)		(888	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
NEX Group plc		(13,420	)	$	(75,235	)	$	(1,588	)
Next plc		(4,294	)		(274,175	)		10,757
Old Mutual plc		(50,622	)		(91,925	)		(37,160	)
Pearson plc		(13,579	)		(135,648	)		(599	)
Pennon Group plc		(30,256	)		(322,481	)		14,544
Petrofac Ltd.		(25,560	)		(225,419	)		(48,114	)
Prudential plc		(4,052	)		(66,217	)		(14,651	)
Rio Tinto plc		(11,786	)		(386,666	)		(63,300	)
Rolls-Royce Holdings plc		(1,012,276	)		(8	)		(1,240	)
Rolls-Royce Holdings plc (LSE)		(22,006	)		(192,299	)		11,553
Rotork plc		(31,429	)		(71,362	)		(21,907	)
Royal Bank of Scotland Group plc		(129,239	)		(376,949	)		19,842
RSA Insurance Group plc		(36,804	)		(186,904	)		(78,501	)
Serco Group plc		(349,950	)		(327,211	)		(290,179	)
Severn Trent plc		(4,422	)		(112,930	)		(7,918	)
Smith & Nephew plc		(11,647	)		(173,248	)		(1,564	)
Spectris plc		(2,112	)		(44,326	)		(15,855	)
Spirax-Sarco Engineering plc		(481	)		(16,590	)		(8,165	)
St. James’s Place plc		(5,705	)		(62,158	)		(9,005	)
Standard Chartered plc		(17,166	)		(105,365	)		(34,622	)
Standard Life plc		(43,425	)		(193,978	)		(4,874	)
Tate & Lyle plc		(2,623	)		(18,807	)		(4,020	)
Tesco plc		(202,768	)		(401,331	)		(115,686	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Thomas Cook Group plc		(39,721	)	$	(55,742	)	$	13,075
TP ICAP plc		(10,967	)		(55,506	)		(2,820	)
UBM plc		(2,941	)		(20,280	)		(6,193	)
United Utilities Group plc		(10,910	)		(119,845	)		(1,084	)
Vodafone Group plc		(25,389	)		(69,041	)		6,562
Weir Group plc (The)		(4,224	)		(42,098	)		(56,064	)
Worldpay Group plc		(14,946	)		(55,784	)		6,162
								(1,044,092	)
United States
Shire plc		(12,813	)		(776,135	)		44,522
Total of Short Equity Positions								(1,336,473	)
Total of Long and Short Equity Positions								(665,923	)
Net Cash and Other Receivables/ (Payables) (b)								(303,117	)
Swaps, at Value							$	(969,040	)

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

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

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total Return Basket Swaps Outstanding at December 31, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	48-60 months maturity 12/22/2020		$9,215,110

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Waste Connections, Inc.		1,715	$	93,896	$	40,886
Panama
Copa Holdings SA		1,023		93,632		(713	)
Singapore
Broadcom Ltd.		1,054		126,554		59,762
Sweden
Autoliv, Inc.		621		66,145		4,121
United States
3M Co.		2,418		415,689		16,093
Aaron’s, Inc.		8,034		180,726		76,282
AbbVie, Inc.		1,806		99,312		13,780
Accenture plc		3,298		344,518		41,777
ACI Worldwide, Inc.		1,237		22,015		437
Activision Blizzard, Inc.		14,694		550,721		(20,121	)
AdvanSix, Inc.		1,219		42,728		(15,739	)
Aetna, Inc.		13,437		1,482,312		184,010
Aflac, Inc.		15,781		1,001,963		96,395
AGCO Corp.		7,367		328,642		97,613
Air Lease Corp.		5,697		142,040		53,538
Air Products & Chemicals, Inc.		770		72,101		38,641
Akamai Technologies, Inc.		3,362		199,773		24,405
Alaska Air Group, Inc.		12,082		873,248		198,788
Albemarle Corp.		733		58,951		4,145
Alleghany Corp.		54		25,013		7,826
Allied World Assurance Co. Holdings AG		1,840		63,995		34,831
Allstate Corp. (The)		19,371		1,305,881		129,897
Alphabet, Inc.		241		173,323		17,658
AMC Networks, Inc.		1,190		87,167		(24,883	)
Amdocs Ltd.		10,522		556,945		55,961
AMERCO		1,129		398,214		19,053

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ameren Corp.		28,392	$	1,296,592	$	192,852
American Airlines Group, Inc.		2,693		127,615		(1,879	)
American Eagle Outfitters, Inc.		33,029		498,732		2,318
American Electric Power Co., Inc.		17,717		1,068,664		46,798
American Financial Group, Inc.		5,831		407,862		105,966
American International Group, Inc.		342		19,207		3,129
Ameriprise Financial, Inc.		4,153		392,216		68,518
AmerisourceBergen Corp.		1,105		102,257		(15,857	)
Amgen, Inc.		2,799		396,140		13,101
AmTrust Financial Services, Inc.		14,719		408,793		(5,787	)
Analog Devices, Inc.		739		36,499		17,167
Antero Resources Corp.		32,230		877,860		(115,620	)
Anthem, Inc.		10,902		1,444,218		123,162
AO Smith Corp.		15,632		571,370		168,805
Applied Materials, Inc.		25,950		748,467		88,940
Aramark		1,097		40,192		(1,007	)
Arch Capital Group Ltd.		2,493		166,408		48,713
Archer-Daniels-Midland Co.		7,802		245,760		110,401
Arrow Electronics, Inc.		10,993		657,181		126,620
Ashland Global Holdings, Inc.		480		46,195		6,264
Aspen Insurance Holdings Ltd.		8,480		390,539		75,861
Associated Banc-Corp.		3,926		74,827		22,146
Assurant, Inc.		4,106		328,114		53,169
Assured Guaranty Ltd.		19,376		481,465		250,366
AT&T, Inc.		17,910		706,363		55,349
Atmos Energy Corp.		5,267		387,213		3,335
AutoZone, Inc.		134		95,905		9,927
Avery Dennison Corp.		10,627		744,641		1,587

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Avnet, Inc.		11,111	$	435,262	$	93,732
Axis Capital Holdings Ltd.		8,119		436,132		93,795
Bank of Hawaii Corp.		944		62,231		21,492
Bank of New York Mellon Corp. (The)		11,563		428,592		119,263
Baxter International, Inc.		14,382		648,535		(10,837	)
BB&T Corp.		14,988		562,654		142,082
Becton Dickinson and Co.		2,188		366,414		(4,191	)
Bed Bath & Beyond, Inc.		3,171		142,080		(13,210	)
Bemis Co., Inc.		14,136		670,296		5,688
Best Buy Co., Inc.		18,409		564,804		220,708
Big Lots, Inc.		6,804		286,923		54,706
Biogen, Inc.		704		219,083		(19,442	)
Bio-Rad Laboratories, Inc.		1,370		172,788		76,935
BlackRock, Inc.		769		286,227		6,408
Boeing Co. (The)		2,168		273,298		64,216
BOK Financial Corp.		4,504		212,249		161,763
Booz Allen Hamilton Holding Corp.		10,558		321,928		58,899
Boston Beer Co., Inc. (The)		135		24,259		(1,330	)
Brinker International, Inc.		7,215		347,979		9,379
Broadridge Financial Solutions, Inc.		4,305		218,737		66,684
Brocade Communications Systems, Inc.		11,255		103,756		36,818
Bruker Corp.		9,368		207,677		(9,263	)
Brunswick Corp.		6,867		291,672		82,854
Burlington Stores, Inc.		2,742		203,936		28,449
BWX Technologies, Inc.		1,821		69,687		2,606
CA, Inc.		17,519		542,841		13,737
Cabot Corp.		10,137		478,738		33,586
Cadence Design Systems, Inc.		13,487		270,961		69,181
Campbell Soup Co.		3,364		204,218		(797	)
Capital One Financial Corp.		10,123		664,519		218,612
Cardinal Health, Inc.		1,924		154,606		(16,135	)
Carlisle Cos., Inc.		3,697		304,799		102,943
Carnival Corp.		11,342		555,563		34,902
Carter’s, Inc.		3,351		314,459		(24,966	)
Casey’s General Stores, Inc.		3,464		389,641		22,160
CDK Global, Inc.		720		30,226		12,751
CDW Corp.		4,292		160,314		63,257
Celanese Corp.		5,431		329,336		98,301
Centene Corp.		1,981		128,738		(16,792	)
CenturyLink, Inc.		27,603		791,049		(134,650	)
CH Robinson Worldwide, Inc.		1,010		69,943		4,049

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Charles River Laboratories International, Inc.		4,849	$	367,554	$	1,891
Cheesecake Factory, Inc. (The)		6,674		320,116		79,523
Chemical Financial Corp.		922		39,526		10,419
Chubb Ltd.		5,185		650,651		34,392
Church & Dwight Co., Inc.		4,890		196,453		19,636
Cinemark Holdings, Inc.		7,196		217,110		58,929
Cintas Corp.		6,169		549,641		163,249
Cirrus Logic, Inc.		5,615		301,203		16,269
Cisco Systems, Inc.		25,166		637,299		123,217
Citizens Financial Group, Inc.		9,821		243,430		106,492
Citrix Systems, Inc.		3,758		265,744		69,883
CME Group, Inc.		479		41,418		13,835
CMS Energy Corp.		14,767		606,284		8,319
Comcast Corp.		8,911		528,240		87,064
Commerce Bancshares, Inc.		10,042		424,066		156,462
Commercial Metals Co.		35,194		461,680		304,846
Computer Sciences Corp.		6,918		210,224		200,843
Conagra Brands, Inc.		1,904		55,521		19,782
ConocoPhillips		3,751		145,601		42,474
CONSOL Energy, Inc.		10,745		224,598		(28,716	)
Consolidated Edison, Inc.		26,032		1,856,271		61,766
Constellation Brands, Inc.		5,913		934,223		(27,701	)
Convergys Corp.		25,899		632,444		3,635
Cooper Cos., Inc. (The)		165		24,500		4,364
CoreLogic, Inc.		3,794		122,129		17,604
Corning, Inc.		32,105		737,750		41,438
CR Bard, Inc.		812		145,096		37,328
Cracker Barrel Old Country Store, Inc.		2,200		278,041		89,315
Crane Co.		3,955		252,215		33,019
Crown Holdings, Inc.		5,285		236,927		40,906
CSX Corp.		14,117		393,035		114,189
Cummins, Inc.		5,799		577,318		215,232
Curtiss-Wright Corp.		3,593		314,249		39,158
CVS Health Corp.		1,465		139,263		(23,660	)
Danaher Corp.		4,603		316,828		41,469
Darden Restaurants, Inc.		7,235		440,105		86,024
Dean Foods Co.		28,468		514,809		105,224
Deckers Outdoor Corp.		1,412		59,685		18,525
Delta Air Lines, Inc.		24,880		1,120,760		103,087
Deluxe Corp.		8,927		511,409		127,854
Diamond Offshore Drilling, Inc.		16,648		335,668		(40,999	)
Dick’s Sporting Goods, Inc.		4,765		163,725		89,296

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dillard’s, Inc.		2,504	$	155,626	$	1,350
Discover Financial Services		11,036		623,079		172,506
Dollar General Corp.		856		60,433		2,970
Dover Corp.		2,028		146,383		5,575
Dow Chemical Co. (The)		20,909		983,888		212,525
DR Horton, Inc.		22,482		630,728		(16,295	)
Dr. Pepper Snapple Group, Inc.		6,207		553,411		9,378
Dril-Quip, Inc.		7,081		392,434		32,780
DST Systems, Inc.		2,397		256,618		220
DTE Energy Co.		11,875		1,041,991		127,816
Duke Energy Corp.		3,656		288,295		(4,516	)
Dun & Bradstreet Corp. (The)		398		38,196		10,089
Eastman Chemical Co.		4,789		320,832		39,349
Eaton Corp. plc		6,864		454,047		6,459
eBay, Inc.		18,162		485,839		53,391
Edison International		9,054		544,326		107,471
Electronic Arts, Inc.		3,670		247,248		41,801
EMCOR Group, Inc.		2,182		143,403		10,996
Emerson Electric Co.		1,725		91,019		5,150
Entergy Corp.		14,629		1,109,093		(34,300	)
EP Energy Corp.		3,150		10,813		9,819
EQT Corp.		1,900		112,954		11,306
Equifax, Inc.		3,941		420,554		45,390
Euronet Worldwide, Inc.		1,409		109,383		(7,329	)
Everest Re Group Ltd.		3,078		579,798		86,281
Exelon Corp.		36,963		1,180,861		130,956
Express Scripts Holding Co.		1,339		98,391		(6,281	)
Exxon Mobil Corp.		1,224		108,354		2,124
Fair Isaac Corp.		2,467		263,587		30,528
Federated Investors, Inc.		3,535		115,036		(15,067	)
FedEx Corp.		2,435		399,660		53,737
Fidelity National Information Services, Inc.		2,174		149,143		15,299
Fifth Third Bancorp		42,834		816,391		338,842
First American Financial Corp.		7,792		265,934		19,487
Fiserv, Inc.		3,514		336,525		36,943
Flex Ltd.		39,015		427,843		132,803
Fluor Corp.		425		21,817		504
FNF Group		6,659		211,889		14,250
Foot Locker, Inc.		6,452		405,766		51,616
Ford Motor Co.		40,899		499,414		(3,309	)
Fortune Brands Home & Security, Inc.		6,960		425,598		(53,516	)
Franklin Resources, Inc.		3,106		113,665		9,270
FTI Consulting, Inc.		2,965		110,040		23,622
Fulton Financial Corp.		11,306		147,230		65,323
GameStop Corp.		10,768		279,519		(7,519	)
Gap, Inc. (The)		1,987		49,702		(5,114	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Garmin Ltd.		1,610	$	78,358	$	(289	)
GATX Corp.		4,593		195,312		87,525
General Dynamics Corp.		3,261		415,386		147,658
General Mills, Inc.		1,059		58,686		6,728
General Motors Co.		27,993		855,059		120,218
Genpact Ltd.		15,653		371,642		9,352
Gilead Sciences, Inc.		4,991		442,061		(84,656	)
Goodyear Tire & Rubber Co. (The)		22,828		636,569		68,131
Graham Holdings Co.		437		189,890		33,833
Graphic Packaging Holding Co.		7,839		93,990		3,841
Great Plains Energy, Inc.		14,305		409,123		(17,882	)
Hancock Holding Co.		1,603		52,364		16,725
Hanover Insurance Group, Inc. (The)		6,920		554,619		75,170
Harris Corp.		1,924		164,375		32,777
Hartford Financial Services Group, Inc. (The)		6,872		268,764		58,687
Hasbro, Inc.		3,416		244,189		21,542
Hawaiian Electric Industries, Inc.		7,193		214,264		23,608
HCA Holdings, Inc.		5,452		363,786		39,771
HD Supply Holdings, Inc.		6,968		234,083		62,127
Helmerich & Payne, Inc.		3,277		144,004		109,636
Herc Holdings, Inc.		1,130		34,756		10,625
Herman Miller, Inc.		14,476		379,294		115,786
Hewlett Packard Enterprise Co.		75,959		1,757,086		605
Hill-Rom Holdings, Inc.		2,286		109,591		18,745
Home Depot, Inc. (The)		839		101,224		11,269
Honeywell International, Inc.		6,749		727,671		54,201
Hormel Foods Corp.		9,343		359,287		(34,057	)
HP, Inc.		54,693		729,536		82,108
Hubbell, Inc.		735		76,558		9,217
Huntington Ingalls Industries, Inc.		9,514		1,349,072		403,312
Huntsman Corp.		29,970		498,796		73,032
IAC/InterActiveCorp.		1,124		58,639		14,185
IDACORP, Inc.		4,445		303,581		54,463
Illinois Tool Works, Inc.		4,689		534,143		40,072
Ingersoll-Rand plc		15,856		1,089,906		99,929
Ingredion, Inc.		9,477		987,851		196,394
Intel Corp.		15,606		540,313		25,716
Intercontinental Exchange, Inc.		5,723		279,888		43,003
InterDigital, Inc.		5,979		377,200		168,982
International Business Machines Corp.		2,587		375,712		53,704
International Game Technology plc		25,675		517,368		137,858
International Paper Co.		15,031		690,664		106,881
Interpublic Group of Cos., Inc. (The)		17,262		384,968		19,135

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

AQR Funds Annual Report December 2016

284

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Intuitive Surgical, Inc.		148	$	105,398	$	(11,541	)
ITT, Inc.		10,758		332,442		82,494
j2 Global, Inc.		3,355		233,126		41,313
Jabil Circuit, Inc.		19,769		375,970		91,963
Jack Henry & Associates, Inc.		3,465		264,694		42,928
Jacobs Engineering Group, Inc.		7,198		375,517		34,769
JetBlue Airways Corp.		29,479		587,620		73,300
JM Smucker Co. (The)		4,912		716,747		(87,716	)
John Wiley & Sons, Inc.		5,120		230,815		48,225
Johnson & Johnson		9,377		1,075,230		5,094
JPMorgan Chase & Co.		17,034		1,078,580		391,284
Juniper Networks, Inc.		7,709		184,231		33,625
KB Home		31,092		447,268		44,296
KLA-Tencor Corp.		1,958		142,237		11,818
Kohl’s Corp.		1,066		49,441		3,198
Kroger Co. (The)		11,024		383,363		(2,925	)
L-3 Communications Holdings, Inc.		6,869		1,007,703		37,141
Lam Research Corp.		4,742		343,380		157,991
Lancaster Colony Corp.		1,648		189,505		43,506
Lear Corp.		11,538		1,243,819		283,466
Leggett & Platt, Inc.		3,735		168,867		13,699
Leidos Holdings, Inc.		11,126		467,366		101,618
Lennar Corp.		1,499		62,697		1,655
Lennox International, Inc.		1,911		254,451		38,257
Lincoln National Corp.		2,209		103,958		42,433
Lockheed Martin Corp.		949		204,310		32,883
Lowe’s Cos., Inc.		2,322		164,264		877
LSC Communications, Inc.		2,631		62,019		16,069
LyondellBasell Industries NV		7,645		565,922		89,867
Mallinckrodt plc		10,972		737,791		(191,166	)
ManpowerGroup, Inc.		5,428		402,389		79,997
Marathon Petroleum Corp.		4,552		187,006		42,188
MarketAxess Holdings, Inc.		1,964		274,488		14,063
Marriott International, Inc.		1,032		75,022		10,304
Masco Corp.		3,801		117,679		2,509
Mattel, Inc.		3,894		125,167		(17,887	)
McCormick & Co., Inc.		351		28,529		4,230
McKesson Corp.		466		80,069		(14,619	)
Mentor Graphics Corp.		6,117		101,733		123,924
Merck & Co., Inc.		9,134		537,229		489
Meredith Corp.		4,412		225,272		35,698
MetLife, Inc.		6,606		283,816		72,182
Michael Kors Holdings Ltd.		10,488		521,561		(70,787	)
Micron Technology, Inc.		8,747		162,330		29,404
Microsoft Corp.		6,037		317,188		57,951

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Minerals Technologies, Inc.		3,445	$	144,215	$	121,912
Mohawk Industries, Inc.		556		90,817		20,205
Molina Healthcare, Inc.		8,347		454,042		(1,134	)
Molson Coors Brewing Co.		6,213		639,582		(34,995	)
Morgan Stanley		18,864		625,731		171,273
MSC Industrial Direct Co., Inc.		5,091		372,708		97,650
MSCI, Inc.		4,698		348,255		21,854
MSG Networks, Inc.		2,893		50,713		11,487
Murphy Oil Corp.		4,990		151,551		3,788
Murphy USA, Inc.		8,118		514,589		(15,576	)
Mylan NV		2,265		91,862		(5,453	)
Nasdaq, Inc.		12,333		755,767		72,024
Navient Corp.		16,674		257,683		16,271
NCR Corp.		2,486		82,556		18,276
NeuStar, Inc.		14,179		323,471		150,108
New York Times Co. (The)		1,690		19,764		2,713
Newfield Exploration Co.		4,392		114,382		63,494
NewMarket Corp.		62		22,418		3,860
News Corp.		4,621		64,141		(11,185	)
NextEra Energy, Inc.		2,774		299,065		32,317
NiSource, Inc.		23,277		467,489		47,864
Norfolk Southern Corp.		5,485		495,857		96,907
Northern Trust Corp.		1,672		106,891		42,001
Northrop Grumman Corp.		4,383		841,962		177,436
Nu Skin Enterprises, Inc.		6,736		260,121		61,725
Nuance Communications, Inc.		2,160		39,778		(7,594	)
Nucor Corp.		3,665		177,135		41,006
NVIDIA Corp.		3,309		93,886		259,316
NVR, Inc.		324		516,289		24,467
Oceaneering International, Inc.		6,264		172,856		3,852
Old Republic International Corp.		29,077		531,981		20,482
Omnicom Group, Inc.		6,526		507,828		47,600
ON Semiconductor Corp.		3,100		25,017		14,539
ONE Gas, Inc.		9,140		530,457		54,138
ONEOK, Inc.		4,144		191,564		46,343
Oracle Corp.		2,300		79,465		8,970
Orbital ATK, Inc.		4,082		330,150		27,964
Oshkosh Corp.		12,478		639,402		166,802
Owens Corning		24,411		1,151,835		106,797
PACCAR, Inc.		4,708		212,001		88,840
Packaging Corp. of America		4,494		327,159		54,022
PAREXEL International Corp.		3,558		224,842		8,990
Parker-Hannifin Corp.		2,782		317,394		72,086
Patterson-UTI Energy, Inc.		10,231		123,484		151,935

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Penske Automotive Group, Inc.		2,368	$	76,740	$	46,017
People’s United Financial, Inc.		14,514		209,872		71,119
Pfizer, Inc.		15,640		489,019		18,968
PG&E Corp.		11,977		634,541		93,301
Phillips 66		2,837		223,187		21,958
Pilgrim’s Pride Corp.		31,858		714,364		(109,381	)
Pinnacle Foods, Inc.		5,941		244,888		72,658
Pinnacle West Capital Corp.		19,704		1,405,614		131,889
Plantronics, Inc.		760		32,413		9,204
PNC Financial Services Group, Inc. (The)		9,240		797,406		283,305
PNM Resources, Inc.		8,267		249,717		33,841
PolyOne Corp.		1,179		40,749		(2,973	)
Popular, Inc.		17,719		581,472		194,975
Primerica, Inc.		1,406		80,799		16,426
Procter & Gamble Co. (The)		7,333		645,685		(29,126	)
Progressive Corp. (The)		4,888		160,942		12,582
Prudential Financial, Inc.		10,128		758,880		295,039
Public Service Enterprise Group, Inc.		25,816		1,028,251		104,555
PulteGroup, Inc.		8,633		158,385		290
PVH Corp.		1,609		133,236		11,960
QEP Resources, Inc.		13,343		226,587		19,058
Quanta Services, Inc.		2,183		73,843		2,235
Quest Diagnostics, Inc.		4,091		318,001		57,962
Quintiles IMS Holdings, Inc.		606		39,725		6,362
Raymond James Financial, Inc.		4,467		255,500		53,929
Raytheon Co.		10,580		1,397,485		104,875
Regal Entertainment Group		1,885		33,647		5,184
Regions Financial Corp.		34,494		354,315		141,019
Reinsurance Group of America, Inc.		7,308		682,925		236,641
Reliance Steel & Aluminum Co.		10,177		584,691		224,788
RenaissanceRe Holdings Ltd.		1,582		185,469		30,031
Republic Services, Inc.		22,450		1,033,655		247,118
Rice Energy, Inc.		5,234		125,131		(13,385	)
Rockwell Automation, Inc.		1,080		98,561		46,591
Ross Stores, Inc.		1,600		84,128		20,832
Rowan Cos. plc		46,486		683,551		194,569
Royal Caribbean Cruises Ltd.		5,470		427,862		20,897
RPM International, Inc.		3,041		167,531		(3,834	)
Ryder System, Inc.		9,155		500,080		181,418
S&P Global, Inc.		2,514		290,627		(20,271	)
SCANA Corp.		15,490		1,011,315		123,793

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Science Applications International Corp.		4,031	$	252,501	$	89,328
Scotts Miracle-Gro Co. (The)		1,610		109,680		44,156
Scripps Networks Interactive, Inc.		6,819		441,340		45,332
Sensient Technologies Corp.		2,581		143,529		59,286
Sherwin-Williams Co. (The)		90		24,069		118
Skechers U.S.A., Inc.		8,635		236,891		(24,643	)
Skyworks Solutions, Inc.		2,062		124,504		29,445
Snap-on, Inc.		1,448		225,149		22,850
Sonoco Products Co.		9,883		447,255		73,579
Southern Co. (The)		10,024		490,916		2,164
Southwest Airlines Co.		7,564		287,747		89,243
Southwest Gas Corp.		590		43,330		1,875
Southwestern Energy Co.		15,814		149,234		21,873
Spectrum Brands Holdings, Inc.		4,715		563,492		13,294
Spirit AeroSystems Holdings, Inc.		18,703		824,685		266,635
Spirit Airlines, Inc.		3,316		187,824		4,040
Stanley Black & Decker, Inc.		5,921		653,167		25,913
State Street Corp.		6,332		411,990		80,133
Steel Dynamics, Inc.		18,719		480,174		185,848
STERIS plc		473		31,729		147
Stryker Corp.		1,917		175,521		54,155
SunTrust Banks, Inc.		23,920		972,118		339,894
Synaptics, Inc.		2,997		186,987		(26,408	)
Synchrony Financial		7,186		204,868		55,768
SYNNEX Corp.		6,407		614,451		160,924
Synopsys, Inc.		6,647		291,509		99,733
Sysco Corp.		1,156		51,595		12,413
Target Corp.		3,619		250,580		10,821
TE Connectivity Ltd.		1,300		71,994		18,070
Tech Data Corp.		11,565		769,265		210,059
TEGNA, Inc.		14,397		330,584		(22,633	)
Teledyne Technologies, Inc.		1,428		110,425		65,219
Teleflex, Inc.		3,268		451,712		74,926
Teradyne, Inc.		11,458		229,938		61,095
Tesoro Corp.		3,662		289,339		30,903
Texas Instruments, Inc.		4,347		295,924		21,277
Texas Roadhouse, Inc.		8,621		365,824		50,053
Textron, Inc.		10,290		377,180		122,502
Thomson Reuters Corp.		3,084		109,204		25,813
Thor Industries, Inc.		6,376		420,671		217,247
Timken Co. (The)		4,125		140,802		22,960
TJX Cos., Inc. (The)		473		32,500		3,037
TopBuild Corp.		2,721		93,871		3,009
Torchmark Corp.		5,189		274,342		108,398
Toro Co. (The)		9,067		393,722		113,577

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

AQR Funds Annual Report December 2016

286

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Total System Services, Inc.		2,843	$	119,614	$	19,778
Transocean Ltd.		12,724		153,001		34,551
Travelers Cos., Inc. (The)		11,765		1,317,855		122,416
Trinity Industries, Inc.		21,888		452,547		155,064
Trustmark Corp.		7,196		160,929		95,608
Tupperware Brands Corp.		2,213		117,183		(735	)
Tyson Foods, Inc.		24,978		1,556,629		(15,986	)
U.S. Bancorp		14,527		611,127		135,125
UGI Corp.		16,327		646,077		106,272
Ulta Salon Cosmetics & Fragrance, Inc.		160		28,220		12,571
United Continental Holdings, Inc.		18,180		882,075		442,883
United Parcel Service, Inc.		7,321		760,047		79,232
United Therapeutics Corp.		5,419		688,732		88,515
UnitedHealth Group, Inc.		4,610		518,994		218,791
Universal Health Services, Inc.		1,724		188,036		(4,637	)
Unum Group		16,811		571,584		166,923
Urban Outfitters, Inc.		3,912		112,357		(943	)
Vail Resorts, Inc.		374		57,871		2,459
Valero Energy Corp.		14,039		909,831		49,313
Validus Holdings Ltd.		9,693		434,162		99,050
Valmont Industries, Inc.		362		35,820		15,186
Vantiv, Inc.		563		24,661		8,905
Varian Medical Systems, Inc.		394		29,920		5,453
Vectren Corp.		1,655		74,389		11,919
VeriSign, Inc.		1,097		81,836		1,613
Verizon Communications, Inc.		6,201		299,651		31,358
Versum Materials, Inc.		3,469		112,359		(14,984	)
Vishay Intertechnology, Inc.		20,262		253,339		74,905
Vista Outdoor, Inc.		1,186		56,567		(12,803	)
VMware, Inc.		3,006		184,981		51,681
VWR Corp.		11,313		307,231		(24,066	)
Wal-Mart Stores, Inc.		16,379		1,128,383		3,733
Walt Disney Co. (The)		1,979		187,803		18,449
Waste Management, Inc.		17,641		981,736		269,188
Waters Corp.		552		69,469		4,714
Watsco, Inc.		208		30,586		223
WebMD Health Corp.		1,991		120,582		(21,888	)
WEC Energy Group, Inc.		2,317		131,534		4,359
WellCare Health Plans, Inc.		9,575		961,997		350,544
Wells Fargo & Co.		10,510		513,898		65,308
Werner Enterprises, Inc.		13,963		306,498		69,805
West Pharmaceutical Services, Inc.		3,126		195,860		69,319
Western Union Co. (The)		5,340		101,167		14,818

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Westlake Chemical Corp.		3,290		$	163,828		$	20,379
WGL Holdings, Inc.		3,778			236,767			51,419
Whirlpool Corp.		3,621			578,674			79,515
White Mountains Insurance Group Ltd.		38			27,910			3,860
Woodward, Inc.		6,436			349,649			94,757
World Fuel Services Corp.		9,287			380,297			46,069
Worthington Industries, Inc.		6,063			283,922			3,707
WR Berkley Corp.		2,203			122,602			23,919
Wyndham Worldwide Corp.		5,435			372,174			42,897
Xcel Energy, Inc.		35,663			1,374,724			76,760
Xerox Corp.		39,955			393,862			(45,055	)
Xylem, Inc.		4,521			216,425			7,455
								24,448,265
Total of Long Equity Positions								24,552,321
Short Positions
Common Stocks
Canada
Fortis, Inc.		(206	)		(4,334	)		(2,028	)
Ireland
XL Group Ltd.		(10,694	)		(380,356	)		(18,102	)
Norway
Golar LNG Ltd.		(8,279	)		(141,755	)		(48,165	)
United Kingdom
Liberty Global plc		(24,368	)		(768,903	)		23,486
Pentair plc		(5,994	)		(266,623	)		(69,460	)
								(45,974	)
United States
Abbott Laboratories		(617	)		(23,559	)		(140	)
ABIOMED, Inc.		(2,969	)		(354,800	)		20,253
Acadia Healthcare Co., Inc.		(23,013	)		(1,148,624	)		386,894
Acxiom Corp.		(4,788	)		(87,149	)		(41,169	)
Advance Auto Parts, Inc.		(3,319	)		(482,300	)		(79,009	)
Advanced Micro Devices, Inc.		(2,777	)		(12,521	)		(18,970	)
AECOM		(4,378	)		(112,646	)		(46,538	)
Agilent Technologies, Inc.		(5,077	)		(188,864	)		(42,444	)
Agios Pharmaceuticals, Inc.		(7,954	)		(353,032	)		21,111
Akorn, Inc.		(8,048	)		(199,080	)		23,392
Alexion Pharmaceuticals, Inc.		(3,328	)		(463,114	)		55,933
Align Technology, Inc.		(2,830	)		(169,149	)		(102,899	)
Alkermes plc		(12,023	)		(530,602	)		(137,636	)

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

AQR Funds Annual Report December 2016

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Allegheny Technologies, Inc.		(24,692	)	$	(297,252	)	$	(96,092	)
Allegion plc		(5,184	)		(303,745	)		(28,031	)
Allergan plc		(5,174	)		(1,152,418	)		65,826
Alliance Data Systems Corp.		(1,394	)		(335,290	)		16,761
Alliant Energy Corp.		(700	)		(22,078	)		(4,445	)
Allison Transmission Holdings, Inc.		(12,802	)		(334,720	)		(96,580	)
Allscripts Healthcare Solutions, Inc.		(20,949	)		(261,658	)		47,769
Ally Financial, Inc.		(1,389	)		(23,288	)		(3,130	)
Alnylam Pharmaceuticals, Inc.		(9,992	)		(460,732	)		86,631
Amazon.com, Inc.		(721	)		(550,843	)		10,186
AMETEK, Inc.		(13,057	)		(616,859	)		(17,711	)
Amphenol Corp.		(6,153	)		(307,126	)		(106,355	)
Anadarko Petroleum Corp.		(6,110	)		(233,108	)		(192,942	)
Aon plc		(4,297	)		(369,294	)		(109,951	)
Apache Corp.		(1,676	)		(57,788	)		(48,587	)
AptarGroup, Inc.		(347	)		(25,557	)		70
Arconic, Inc.		(11,851	)		(252,462	)		32,744
Arista Networks, Inc.		(3,329	)		(214,825	)		(107,322	)
Armstrong World Industries, Inc.		(6,477	)		(266,314	)		(4,424	)
ARRIS International plc		(8,191	)		(196,029	)		(50,766	)
Arthur J Gallagher & Co.		(8,977	)		(333,729	)		(132,716	)
Artisan Partners Asset Management, Inc.		(13,704	)		(396,366	)		(11,328	)
Ascena Retail Group, Inc.		(64,079	)		(456,928	)		60,279
athenahealth, Inc.		(6,502	)		(738,646	)		54,830
Autodesk, Inc.		(9,298	)		(475,285	)		(212,860	)
Automatic Data Processing, Inc.		(2,280	)		(180,371	)		(53,968	)
Avangrid, Inc.		(2,745	)		(118,874	)		14,894
Avis Budget Group, Inc.		(17,991	)		(642,882	)		(17,028	)
Avon Products, Inc.		(90,817	)		(321,861	)		(135,857	)
Axalta Coating Systems Ltd.		(21,224	)		(602,157	)		24,864
B/E Aerospace, Inc.		(9,227	)		(353,236	)		(202,137	)
Ball Corp.		(7,368	)		(536,040	)		(17,076	)
BancorpSouth, Inc.		(6,703	)		(154,806	)		(53,322	)
Bank of the Ozarks, Inc.		(22,981	)		(914,824	)		(293,747	)
BankUnited, Inc.		(3,502	)		(120,801	)		(11,189	)
Belden, Inc.		(649	)		(25,856	)		(22,670	)
BioMarin Pharmaceutical, Inc.		(10,279	)		(933,057	)		81,545
Bio-Techne Corp.		(4,188	)		(362,168	)		(68,484	)
Black Hills Corp.		(2,128	)		(102,158	)		(28,374	)
Black Knight Financial Services, Inc.		(10,980	)		(321,371	)		(93,673	)
Blue Buffalo Pet Products, Inc.		(6,753	)		(163,163	)		821

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
BorgWarner, Inc.		(12,576	)	$	(381,556	)	$	(114,442	)
Bristol-Myers Squibb Co.		(9,831	)		(544,409	)		(30,115	)
Brookdale Senior Living, Inc.		(47,830	)		(711,012	)		116,964
Brown & Brown, Inc.		(4,611	)		(136,325	)		(70,525	)
Brown-Forman Corp.		(4,842	)		(225,902	)		8,400
Bunge Ltd.		(929	)		(61,760	)		(5,351	)
Cable One, Inc.		(37	)		(15,571	)		(7,433	)
Cabot Oil & Gas Corp.		(10,980	)		(180,401	)		(76,091	)
CalAtlantic Group, Inc.		(8,308	)		(262,706	)		(19,849	)
CarMax, Inc.		(5,512	)		(241,570	)		(113,348	)
Carpenter Technology Corp.		(7,520	)		(189,203	)		(82,795	)
Catalent, Inc.		(1,923	)		(45,370	)		(6,474	)
Caterpillar, Inc.		(4,927	)		(290,841	)		(166,089	)
CBOE Holdings, Inc.		(2,413	)		(154,693	)		(23,604	)
CBS Corp.		(3,457	)		(156,913	)		(63,021	)
CEB, Inc.		(7,766	)		(438,106	)		(32,513	)
Celgene Corp.		(219	)		(22,779	)		(2,570	)
CenterPoint Energy, Inc.		(8,279	)		(143,363	)		(60,631	)
Cerner Corp.		(10,814	)		(615,841	)		103,582
CF Industries Holdings, Inc.		(56,288	)		(1,405,486	)		(366,460	)
Charles Schwab Corp. (The)		(13,157	)		(350,340	)		(168,966	)
Cheniere Energy, Inc.		(24,120	)		(921,147	)		(78,145	)
Chesapeake Energy Corp.		(65,753	)		(320,909	)		(140,677	)
Chicago Bridge & Iron Co. NV		(17,521	)		(564,099	)		7,807
Chico’s FAS, Inc.		(15,023	)		(167,637	)		(48,544	)
Chipotle Mexican Grill, Inc.		(4,447	)		(1,869,640	)		191,698
Choice Hotels International, Inc.		(2,475	)		(119,690	)		(19,034	)
Ciena Corp.		(10,951	)		(197,489	)		(69,825	)
Cimarex Energy Co.		(1,183	)		(148,948	)		(11,821	)
Clean Harbors, Inc.		(4,864	)		(230,992	)		(39,690	)
CNO Financial Group, Inc.		(4,694	)		(76,137	)		(13,753	)
Cobalt International Energy, Inc.		(15,180	)		(20,422	)		1,902
Coca-Cola Co. (The)		(1,844	)		(77,300	)		848
Cognex Corp.		(13,779	)		(421,601	)		(455,019	)
Cognizant Technology Solutions Corp.		(661	)		(36,210	)		(826	)
Colfax Corp.		(16,465	)		(378,905	)		(212,683	)
Colgate-Palmolive Co.		(12,087	)		(805,770	)		14,796
Comerica, Inc.		(5,665	)		(193,602	)		(192,241	)
CommVault Systems, Inc.		(5,510	)		(170,865	)		(112,349	)
Compass Minerals International, Inc.		(7,709	)		(558,597	)		(45,403	)
comScore, Inc.		(10,318	)		(299,791	)		(26,052	)

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

AQR Funds Annual Report December 2016

288

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Concho Resources, Inc.		(1,664	)	$	(222,180	)	$	1,534
Core Laboratories NV		(1,298	)		(126,078	)		(29,734	)
CoStar Group, Inc.		(1,081	)		(191,588	)		(12,170	)
Costco Wholesale Corp.		(2,682	)		(398,233	)		(31,182	)
Coty, Inc.		(35,884	)		(740,860	)		83,824
Covanta Holding Corp.		(58,655	)		(820,234	)		(94,784	)
Cree, Inc.		(4,207	)		(109,685	)		(1,338	)
Cullen/Frost Bankers, Inc.		(257	)		(18,486	)		(4,189	)
Cypress Semiconductor Corp.		(62,813	)		(519,983	)		(198,598	)
Dana, Inc.		(7,710	)		(86,592	)		(59,744	)
DaVita, Inc.		(5,293	)		(347,803	)		7,992
Delphi Automotive plc		(4,159	)		(284,599	)		4,491
Denbury Resources, Inc.		(14,944	)		(39,477	)		(15,516	)
Devon Energy Corp.		(1,347	)		(31,491	)		(30,026	)
DexCom, Inc.		(20,304	)		(1,529,486	)		317,337
Diebold Nixdorf, Inc.		(20,707	)		(516,535	)		(4,247	)
Discovery Communications, Inc.		(13,176	)		(339,809	)		(21,345	)
DISH Network Corp.		(9,676	)		(499,982	)		(60,549	)
Dollar Tree, Inc.		(4,295	)		(330,243	)		(1,246	)
Dominion Resources, Inc.		(13,746	)		(981,835	)		(70,971	)
Domino’s Pizza, Inc.		(2,356	)		(308,859	)		(66,310	)
Donaldson Co., Inc.		(11,826	)		(317,547	)		(180,091	)
Dunkin’ Brands Group, Inc.		(16,184	)		(700,020	)		(148,669	)
East West Bancorp, Inc.		(1,406	)		(51,383	)		(20,084	)
Eaton Vance Corp.		(4,597	)		(128,968	)		(63,554	)
Ecolab, Inc.		(1,339	)		(137,073	)		(19,884	)
Edgewell Personal Care Co.		(624	)		(44,447	)		(1,098	)
Edwards Lifesciences Corp.		(2,499	)		(234,115	)		(41	)
Endo International plc		(32,797	)		(541,666	)		1,499
Energen Corp.		(3,051	)		(166,061	)		(9,891	)
Energizer Holdings, Inc.		(1,656	)		(80,309	)		6,435
Ensco plc		(46,189	)		(382,455	)		(66,502	)
Envision Healthcare Corp.		(15,675	)		(1,053,614	)		61,543
EOG Resources, Inc.		(1,247	)		(118,734	)		(7,337	)
Estee Lauder Cos., Inc. (The)		(772	)		(64,755	)		5,705
Esterline Technologies Corp.		(3,433	)		(256,376	)		(49,847	)
Eversource Energy		(3,176	)		(166,226	)		(9,184	)
Expedia, Inc.		(1,475	)		(167,609	)		521
Extended Stay America, Inc.		(3,704	)		(56,920	)		(2,900	)
Facebook, Inc.		(2,527	)		(322,525	)		31,793
Fastenal Co.		(13,683	)		(615,237	)		(27,590	)
FireEye, Inc.		(44,053	)		(604,154	)		79,923
First Data Corp.		(87,546	)		(1,153,337	)		(88,940	)
First Horizon National Corp.		(33,185	)		(416,409	)		(247,622	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
First Republic Bank		(800	)	$	(50,728	)	$	(22,984	)
Fitbit, Inc.		(28,201	)		(226,983	)		20,551
FleetCor Technologies, Inc.		(3,464	)		(449,609	)		(40,616	)
FLIR Systems, Inc.		(6,288	)		(185,167	)		(42,395	)
Flowserve Corp.		(10,392	)		(408,063	)		(91,272	)
FMC Corp.		(12,872	)		(448,073	)		(279,968	)
FNB Corp.		(11,079	)		(141,701	)		(35,895	)
Fortinet, Inc.		(13,803	)		(440,471	)		24,725
Fossil Group, Inc.		(9,720	)		(280,912	)		29,553
Freeport-McMoRan, Inc.		(36,115	)		(333,619	)		(142,738	)
Frontier Communications Corp.		(181,899	)		(718,229	)		103,410
Gartner, Inc.		(2,184	)		(184,759	)		(35,978	)
General Electric Co.		(1,876	)		(53,447	)		(5,834	)
Genesee & Wyoming, Inc.		(8,776	)		(451,322	)		(157,820	)
Gentex Corp.		(15,173	)		(203,652	)		(95,105	)
Genworth Financial, Inc.		(40,251	)		(106,311	)		(47,045	)
GoDaddy, Inc.		(3,103	)		(103,039	)		(5,411	)
Graco, Inc.		(3,302	)		(228,410	)		(45,953	)
Granite Construction, Inc.		(610	)		(23,558	)		(9,992	)
Greif, Inc.		(2,904	)		(74,249	)		(74,755	)
Groupon, Inc.		(62,381	)		(272,399	)		65,294
Guidewire Software, Inc.		(5,638	)		(331,588	)		53,465
H&R Block, Inc.		(14,577	)		(319,080	)		(16,045	)
Hain Celestial Group, Inc. (The)		(12,620	)		(482,461	)		(10,098	)
Halliburton Co.		(741	)		(22,074	)		(18,006	)
Halyard Health, Inc.		(10,788	)		(339,624	)		(59,316	)
Hanesbrands, Inc.		(10,239	)		(267,248	)		46,392
HEICO Corp.		(440	)		(30,836	)		(3,110	)
Hershey Co. (The)		(3,752	)		(317,945	)		(70,124	)
Hertz Global Holdings, Inc.		(10,244	)		(166,698	)		(54,163	)
Hess Corp.		(834	)		(44,258	)		(7,691	)
Hexcel Corp.		(2,013	)		(78,366	)		(25,183	)
Hilton Worldwide Holdings, Inc.		(10,739	)		(185,892	)		(106,209	)
HollyFrontier Corp.		(1,534	)		(35,038	)		(15,215	)
Hologic, Inc.		(11,732	)		(451,567	)		(19,121	)
HSN, Inc.		(2,933	)		(109,056	)		8,454
Huntington Bancshares, Inc.		(16,342	)		(161,047	)		(54,994	)
IDEXX Laboratories, Inc.		(3,271	)		(216,463	)		(167,127	)
IHS Markit Ltd.		(10,620	)		(387,991	)		11,937
Illumina, Inc.		(7,491	)		(1,250,461	)		291,313
Incyte Corp.		(5,965	)		(476,188	)		(121,923	)
Integrated Device Technology, Inc.		(3,113	)		(70,897	)		(2,445	)
Intuit, Inc.		(988	)		(89,789	)		(23,445	)
Ionis Pharmaceuticals, Inc.		(8,119	)		(258,516	)		(129,816	)
IPG Photonics Corp.		(3,103	)		(271,293	)		(35,004	)

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

AQR Funds Annual Report December 2016

289

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Jack in the Box, Inc.		(603	)	$	(58,543	)	$	(8,776	)
Jazz Pharmaceuticals plc		(1,315	)		(158,694	)		15,320
JB Hunt Transport Services, Inc.		(814	)		(55,365	)		(23,650	)
JC Penney Co., Inc.		(42,840	)		(383,599	)		27,598
Juno Therapeutics, Inc.		(9,215	)		(205,078	)		31,375
Kansas City Southern		(2,569	)		(169,246	)		(48,734	)
KAR Auction Services, Inc.		(2,106	)		(89,208	)		(550	)
Kate Spade & Co.		(30,830	)		(509,321	)		(66,275	)
KBR, Inc.		(24,470	)		(351,638	)		(56,767	)
Kellogg Co.		(2,360	)		(168,446	)		(5,510	)
Kennametal, Inc.		(14,544	)		(242,325	)		(212,321	)
Keysight Technologies, Inc.		(5,107	)		(121,026	)		(65,737	)
Kinder Morgan, Inc.		(18,010	)		(302,020	)		(70,967	)
KLX, Inc.		(10,865	)		(342,591	)		(147,529	)
Knowles Corp.		(25,321	)		(333,239	)		(89,875	)
Kosmos Energy Ltd.		(28,832	)		(142,928	)		(59,185	)
L Brands, Inc.		(4,051	)		(284,526	)		17,808
Landstar System, Inc.		(1,935	)		(111,992	)		(53,064	)
Laredo Petroleum, Inc.		(21,118	)		(277,750	)		(20,859	)
Legg Mason, Inc.		(14,675	)		(466,063	)		27,134
Liberty Broadband Corp.		(3,337	)		(182,501	)		(64,670	)
Liberty Interactive Corp. QVC Group		(4,104	)		(78,023	)		(3,975	)
Lincoln Electric Holdings, Inc.		(346	)		(17,677	)		(8,851	)
Lions Gate Entertainment Corp., Class B		(17,275	)		(381,622	)		(42,307	)
Lions Gate Entertainment Corp., Class A		(15,845	)		(345,879	)		(80,351	)
LivaNova plc		(7,499	)		(411,539	)		74,309
Live Nation Entertainment, Inc.		(17,562	)		(426,402	)		(40,747	)
Loews Corp.		(10,861	)		(398,678	)		(109,943	)
Lululemon Athletica, Inc.		(2,443	)		(141,669	)		(17,101	)
Madison Square Garden Co. (The)		(1,672	)		(290,793	)		4,028
Manitowoc Foodservice, Inc.		(24,952	)		(230,550	)		(251,772	)
Marathon Oil Corp.		(18,170	)		(227,748	)		(86,774	)
Markel Corp.		(274	)		(246,511	)		(1,322	)
Marsh & McLennan Cos., Inc.		(9,426	)		(491,566	)		(145,537	)
Mastercard, Inc.		(5,883	)		(539,112	)		(68,308	)
MAXIMUS, Inc.		(3,030	)		(164,273	)		(4,771	)
MDU Resources Group, Inc.		(12,290	)		(205,120	)		(148,463	)
Mead Johnson Nutrition Co.		(14,630	)		(1,101,841	)		66,622
MEDNAX, Inc.		(2,667	)		(171,243	)		(6,539	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Medtronic plc		(2,582	)	$	(192,566	)	$	8,650
Mercury General Corp.		(11,934	)		(535,560	)		(182,986	)
Michaels Cos., Inc. (The)		(1,102	)		(23,459	)		923
Microchip Technology, Inc.		(649	)		(28,318	)		(13,315	)
Microsemi Corp.		(3,342	)		(133,705	)		(46,663	)
Middleby Corp. (The)		(3,550	)		(385,082	)		(72,194	)
Mondelez International, Inc.		(6,327	)		(275,846	)		(4,630	)
Monster Beverage Corp.		(11,408	)		(592,641	)		86,810
Moody’s Corp.		(2,690	)		(274,709	)		21,123
Mosaic Co. (The)		(6,198	)		(161,127	)		(20,661	)
Motorola Solutions, Inc.		(982	)		(60,030	)		(21,368	)
Nabors Industries Ltd.		(10,647	)		(107,793	)		(66,817	)
National Fuel Gas Co.		(3,691	)		(198,006	)		(11,053	)
National Instruments Corp.		(14,416	)		(407,797	)		(36,504	)
National Oilwell Varco, Inc.		(4,928	)		(151,577	)		(32,927	)
NetApp, Inc.		(1,265	)		(33,022	)		(11,594	)
Netflix, Inc.		(6,235	)		(597,016	)		(174,877	)
NetScout Systems, Inc.		(23,711	)		(595,883	)		(151,013	)
Neurocrine Biosciences, Inc.		(13,676	)		(620,295	)		91,034
New Jersey Resources Corp.		(1,254	)		(43,413	)		(1,104	)
Newell Brands, Inc.		(876	)		(33,090	)		(6,024	)
Newmont Mining Corp.		(6,081	)		(234,008	)		26,829
NIKE, Inc.		(6,940	)		(369,078	)		16,318
Noble Corp. plc		(81,989	)		(468,978	)		(16,397	)
Noble Energy, Inc.		(3,722	)		(96,102	)		(45,557	)
Nordson Corp.		(2,796	)		(160,877	)		(152,415	)
NorthStar Asset Management Group, Inc.		(7,927	)		(87,910	)		(30,360	)
Norwegian Cruise Line Holdings Ltd.		(2,433	)		(92,303	)		(11,172	)
NOW, Inc.		(10,555	)		(207,780	)		(8,281	)
Occidental Petroleum Corp.		(7,775	)		(450,056	)		(103,757	)
Ocwen Financial Corp.		(5,500	)		(30,415	)		770
Office Depot, Inc.		(64,759	)		(229,675	)		(63,036	)
OGE Energy Corp.		(33,539	)		(858,849	)		(263,030	)
Oil States International, Inc.		(3,913	)		(99,390	)		(53,217	)
Old Dominion Freight Line, Inc.		(900	)		(47,604	)		(29,607	)
Olin Corp.		(15,407	)		(257,481	)		(137,092	)
OneMain Holdings, Inc.		(3,357	)		(90,109	)		15,785
Owens-Illinois, Inc.		(34,989	)		(511,129	)		(98,030	)
PacWest Bancorp		(7,219	)		(283,021	)		(109,982	)
Palo Alto Networks, Inc.		(10,341	)		(1,374,442	)		81,300
Pandora Media, Inc.		(62,989	)		(724,807	)		(96,570	)
Patheon NV		(1,712	)		(47,383	)		(1,768	)
Patterson Cos., Inc.		(11,029	)		(464,042	)		11,522
Paychex, Inc.		(572	)		(28,933	)		(5,890	)

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

AQR Funds Annual Report December 2016

290

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
PayPal Holdings, Inc.		(7,131	)	$	(229,618	)	$	(51,842	)
PBF Energy, Inc.		(5,591	)		(115,609	)		(40,268	)
PerkinElmer, Inc.		(704	)		(33,630	)		(3,084	)
Perrigo Co. plc		(9,172	)		(825,601	)		62,215
Pitney Bowes, Inc.		(16,794	)		(273,761	)		18,660
Platform Specialty Products Corp.		(85,493	)		(689,785	)		(148,902	)
PPL Corp.		(11,488	)		(401,145	)		9,978
Praxair, Inc.		(3,940	)		(387,042	)		(74,686	)
Premier, Inc.		(21,316	)		(674,932	)		27,778
Prestige Brands Holdings, Inc.		(920	)		(42,721	)		(5,211	)
Priceline Group, Inc. (The)		(370	)		(506,930	)		(35,512	)
Principal Financial Group, Inc.		(4,935	)		(188,431	)		(97,108	)
PTC, Inc.		(5,857	)		(205,583	)		(65,421	)
QIAGEN NV		(17,196	)		(417,868	)		(63,964	)
Ralph Lauren Corp.		(837	)		(84,829	)		9,231
Range Resources Corp.		(5,877	)		(245,060	)		43,126
Red Hat, Inc.		(2,796	)		(210,486	)		15,605
Regal Beloit Corp.		(778	)		(41,914	)		(11,962	)
Regeneron Pharmaceuticals, Inc.		(472	)		(185,954	)		12,687
ResMed, Inc.		(1,923	)		(112,004	)		(7,318	)
Restoration Hardware Holdings, Inc.		(21,788	)		(711,905	)		43,013
Robert Half International, Inc.		(6,509	)		(250,586	)		(66,923	)
Rockwell Collins, Inc.		(1,487	)		(127,317	)		(10,617	)
Rollins, Inc.		(9,525	)		(254,495	)		(67,259	)
Roper Technologies, Inc.		(3,915	)		(690,885	)		(25,873	)
Royal Gold, Inc.		(9,661	)		(734,962	)		122,937
Sabre Corp.		(7,407	)		(214,989	)		30,184
salesforce.com, Inc.		(12,576	)		(960,339	)		99,386
Sally Beauty Holdings, Inc.		(8,379	)		(217,351	)		(4,022	)
Santander Consumer USA Holdings, Inc.		(24,116	)		(275,471	)		(50,095	)
SBA Communications Corp.		(6,790	)		(708,524	)		7,389
Sealed Air Corp.		(14,576	)		(667,899	)		7,023
Seattle Genetics, Inc.		(5,583	)		(211,034	)		(83,581	)
SEI Investments Co.		(2,902	)		(130,080	)		(13,163	)
Sempra Energy		(13,357	)		(1,336,910	)		(7,339	)
Sensata Technologies Holding NV		(19,852	)		(727,600	)		(45,636	)
ServiceMaster Global Holdings, Inc.		(4,610	)		(162,615	)		(11,043	)
ServiceNow, Inc.		(8,545	)		(636,483	)		1,248
Signature Bank		(3,691	)		(445,843	)		(108,546	)
Signet Jewelers Ltd.		(2,627	)		(261,877	)		14,256
Silgan Holdings, Inc.		(4,064	)		(210,730	)		2,735
Silicon Laboratories, Inc.		(1,469	)		(62,932	)		(32,553	)
Sirius XM Holdings, Inc.		(115,106	)		(450,618	)		(61,604	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Six Flags Entertainment Corp.		(8,264	)	$	(431,877	)	$	(63,632	)
SLM Corp.		(75,103	)		(443,360	)		(384,275	)
SM Energy Co.		(6,075	)		(232,929	)		23,463
Snyder’s-Lance, Inc.		(7,644	)		(269,809	)		(23,262	)
Sotheby’s		(14,263	)		(373,584	)		(194,939	)
Splunk, Inc.		(17,279	)		(939,232	)		55,411
Sprouts Farmers Market, Inc.		(30,165	)		(638,773	)		68,052
SPX Corp.		(8,905	)		(102,102	)		(109,125	)
SS&C Technologies Holdings, Inc.		(4,180	)		(139,470	)		19,922
Staples, Inc.		(33,664	)		(269,226	)		(35,433	)
Starbucks Corp.		(12,510	)		(693,596	)		(960	)
Stericycle, Inc.		(11,020	)		(965,124	)		116,144
Stifel Financial Corp.		(8,087	)		(287,631	)		(116,315	)
SunPower Corp.		(11,835	)		(105,802	)		27,573
Superior Energy Services, Inc.		(40,931	)		(583,800	)		(107,116	)
SVB Financial Group		(7,194	)		(761,865	)		(473,057	)
Symantec Corp.		(4,821	)		(120,415	)		5,241
Synovus Financial Corp.		(7,710	)		(240,702	)		(76,025	)
T Rowe Price Group, Inc.		(535	)		(34,693	)		(5,571	)
Tableau Software, Inc.		(15,422	)		(776,668	)		126,630
Targa Resources Corp.		(5,139	)		(201,236	)		(86,908	)
TCF Financial Corp.		(11,854	)		(141,966	)		(90,254	)
Tempur Sealy International, Inc.		(17,428	)		(1,093,902	)		(96,082	)
Tenet Healthcare Corp.		(34,052	)		(772,395	)		267,064
Teradata Corp.		(11,249	)		(256,563	)		(49,073	)
TerraForm Power, Inc.		(9,791	)		(100,333	)		(25,089	)
Tiffany & Co.		(6,270	)		(411,796	)		(73,690	)
Time, Inc.		(14,725	)		(213,601	)		(49,240	)
Toll Brothers, Inc.		(4,577	)		(132,626	)		(9,261	)
Tractor Supply Co.		(11,960	)		(834,738	)		(71,949	)
TransDigm Group, Inc.		(2,933	)		(772,607	)		42,407
TreeHouse Foods, Inc.		(2,611	)		(190,385	)		1,897
TRI Pointe Group, Inc.		(7,194	)		(74,473	)		(8,114	)
Trimble, Inc.		(17,803	)		(348,227	)		(188,534	)
TripAdvisor, Inc.		(9,684	)		(574,767	)		125,720
Triumph Group, Inc.		(17,031	)		(510,856	)		59,535
Twitter, Inc.		(26,263	)		(474,667	)		46,580
Tyler Technologies, Inc.		(693	)		(100,564	)		1,625
Ultimate Software Group, Inc. (The)		(2,721	)		(551,671	)		55,496
Umpqua Holdings Corp.		(8,530	)		(119,498	)		(40,695	)
United Natural Foods, Inc.		(1,935	)		(68,518	)		(23,820	)
United Rentals, Inc.		(3,165	)		(170,910	)		(163,251	)
United Technologies Corp.		(3,473	)		(296,039	)		(84,672	)
USG Corp.		(9,054	)		(163,153	)		(98,326	)
Valley National Bancorp		(29,022	)		(259,918	)		(77,898	)
VCA, Inc.		(589	)		(35,352	)		(5,082	)
Veeva Systems, Inc.		(12,975	)		(311,465	)		(216,618	)

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

AQR Funds Annual Report December 2016

291

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
VeriFone Systems, Inc.		(33,563	)	$	(603,501	)	$	8,429
Verisk Analytics, Inc.		(951	)		(68,025	)		(9,168	)
Vertex Pharmaceuticals, Inc.		(8,659	)		(817,292	)		179,384
VF Corp.		(5,016	)		(299,049	)		31,445
Viacom, Inc.		(3,081	)		(120,751	)		12,608
ViaSat, Inc.		(755	)		(56,781	)		6,785
Viavi Solutions, Inc.		(17,358	)		(85,029	)		(56,960	)
Visa, Inc.		(3,158	)		(262,677	)		16,290
Visteon Corp.		(868	)		(89,144	)		19,408
WABCO Holdings, Inc.		(3,738	)		(388,203	)		(8,586	)
Waddell & Reed Financial, Inc.		(3,832	)		(64,386	)		(10,376	)
Walgreens Boots Alliance, Inc.		(3,506	)		(296,609	)		6,452
Weatherford International plc		(277,784	)		(1,475,243	)		89,101
Webster Financial Corp.		(4,641	)		(174,424	)		(77,490	)
Wendy’s Co. (The)		(15,116	)		(146,682	)		(57,687	)
WESCO International, Inc.		(2,236	)		(86,692	)		(62,114	)
Western Digital Corp.		(549	)		(29,367	)		(7,937	)
WEX, Inc.		(3,320	)		(261,700	)		(108,812	)
Whiting Petroleum Corp.		(46,295	)		(385,494	)		(170,972	)
Whole Foods Market, Inc.		(2,551	)		(74,480	)		(3,989	)
Williams Cos., Inc. (The)		(17,199	)		(470,283	)		(65,294	)
Williams-Sonoma, Inc.		(2,716	)		(137,770	)		6,342
WisdomTree Investments, Inc.		(72,741	)		(798,936	)		(11,398	)
Workday, Inc.		(10,679	)		(814,941	)		109,166
WPX Energy, Inc.		(20,647	)		(264,076	)		(36,750	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WR Grace & Co.		(11,060	)	$	(706,421	)	$	(41,677	)
Wynn Resorts Ltd.		(1,992	)		(123,303	)		(49,025	)
Yahoo!, Inc.		(16,302	)		(541,927	)		(88,471	)
Yelp, Inc.		(9,706	)		(240,087	)		(130,003	)
Zayo Group Holdings, Inc.		(17,460	)		(503,889	)		(69,846	)
Zebra Technologies Corp.		(11,379	)		(658,531	)		(317,332	)
Zillow Group, Inc.		(6,865	)		(244,533	)		(5,834	)
Zions Bancorp		(20,794	)		(456,332	)		(438,642	)
Zoetis, Inc.		(15,725	)		(763,020	)		(78,740	)
Zynga, Inc.		(78,208	)		(182,674	)		(18,320	)
								(14,152,860	)
Total of Short Equity Positions								(14,267,129	)
Total of Long and Short Equity Positions								10,285,192
Net Cash and Other Receivables/ (Payables) (b)								(1,070,082	)
Swaps, at Value							$	9,215,110

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

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

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

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292

Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total Return Basket Swaps Outstanding at December 31, 2016

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	1-60 months maturity ranging from 01/12/2017 - 12/21/2020		$528,454

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2016.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		213	$	22,305	$	504
Air France-KLM		37,425		229,514		(25,943	)
Arkema SA		2,342		210,213		18,719
Atos SE		8,212		701,590		163,935
BNP Paribas SA		5,544		259,249		93,559
Capgemini SA		3,105		264,271		(2,677	)
Christian Dior SE		913		142,461		48,823
Cie Generale des Etablissements Michelin		7,955		741,598		142,670
CNP Assurances		5,028		79,139		13,926
Eiffage SA		3,128		206,216		11,654
Faurecia		4,371		159,355		9,948
Imerys SA		537		32,471		8,213
Ipsen SA		3,949		225,843		59,492
Lagardere SCA		11,006		288,644		16,832
Orange SA		51,236		785,725		(8,784	)
Orpea		374		28,444		1,751
Peugeot SA		30,425		433,076		62,462
Publicis Groupe SA		3,759		246,658		12,354
Rexel SA		2,504		33,436		7,704
SCOR SE		8,166		266,873		14,942
SEB SA		1,671		166,908		59,519
Societe BIC SA		223		34,234		(3,934	)
Societe Generale SA		7,945		297,456		93,333
Sodexo SA		2,989		294,008		49,169
Technip SA		1,886		103,360		30,983
Teleperformance		4,396		357,145		83,580
Thales SA		6,412		499,028		122,172
TOTAL SA		4,435		205,305		22,176
Valeo SA		8,161		401,807		66,698
Veolia Environnement SA		18,226		403,833		(94,140	)
Vinci SA		3,614		224,375		21,466
						1,101,106
Total of Long Equity Positions						1,101,106

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
France
Accor SA		(15,433	)	$	(564,684	)	$	(10,237	)
Air Liquide SA		(1,813	)		(178,919	)		(22,685	)
Airbus Group SE		(1,285	)		(79,456	)		(5,417	)
Alstom SA		(7,905	)		(192,353	)		(25,024	)
Bollore SA (LSE)		(66,691	)		(235,445	)		620
Bollore SA		(314	)		6			(1,086	)
Bureau Veritas SA		(4,536	)		(82,968	)		(4,823	)
Carrefour SA		(6,668	)		(165,992	)		5,453
Casino Guichard Perrachon SA		(2,061	)		(100,640	)		1,888
Cie Plastic Omnium SA		(3,013	)		(92,685	)		(3,404	)
Edenred		(25,702	)		(460,843	)		(48,070	)
Electricite de France SA		(22,876	)		(251,011	)		18,251
Engie SA		(7,770	)		(118,057	)		19,153
Essilor International SA		(3,178	)		(356,359	)		(2,209	)
Hermes International		(1,122	)		(349,766	)		(110,499	)
Iliad SA		(1,104	)		(235,418	)		23,398
Ingenico Group SA		(3,419	)		(277,989	)		5,201
JCDecaux SA		(3,446	)		(112,169	)		10,844
Kering		(735	)		(130,319	)		(34,544	)
L’Oreal SA		(523	)		(83,901	)		(11,423	)
LVMH Moet Hennessy Louis Vuitton SE		(3,308	)		(522,031	)		(108,711	)
Natixis SA		(81,081	)		(351,063	)		(105,533	)
Pernod Ricard SA		(2,266	)		(242,443	)		(2,784	)
Remy Cointreau SA		(3,279	)		(202,694	)		(76,800	)
SFR Group SA		(10,840	)		(311,799	)		6,190
Suez		(1,709	)		(23,117	)		(2,064	)
Ubisoft Entertainment SA		(750	)		(29,332	)		2,680
Vivendi SA		(14,620	)		(299,406	)		22,109
Zodiac Aerospace		(18,394	)		(374,885	)		(46,908	)
								(506,434	)

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg
Eurofins Scientific SE		(214	)	$	(81,691	)	$	(9,483	)
SES SA		(8,704	)		(220,869	)		29,355
								19,872
Total of Short Equity Positions								(486,562	)
Total of Long and Short Equity Positions								614,544
Net Cash and Other Receivables/ (Payables) (b)								(86,090	)
Swaps, at Value							$	528,454

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

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

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Investment Companies		$470,000		$—		$470,000
BARC
Cash		—		5,759,075		5,759,075
CITI
Investment Companies		870,894		—		870,894
GSCO
Cash		—		355,167		355,167
GSIN
Investment Companies		19,284,632		—		19,284,632
JPMC
Cash		4,200,000		—		4,200,000
JPMS
Cash		—		1,877,982		1,877,982
MSCL
Cash		—		653,805		653,805
MSCS
Investment Companies		1,471,982		—		1,471,982

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

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Consolidated Schedule of Investments December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
GSCO
Cash		$—		$448,977		$448,977
JPPC
Cash		—		1,649,754		1,649,754
MACQ
Investment Companies		270,573		—		270,573
MSCL
Cash		—		2,772,171		2,772,171
SOCG
Investment Companies		20,177		—		20,177

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital Inc.

BNPP - BNP Paribas

CITG - Citigroup Global Markets Inc.

CITI - Citibank NA

CRSU - Credit Suisse Securities (USA) LLC

DTBK - Deutsche Bank AG

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Limited

MLIN - Merrill Lynch International

MPFS - Merrill Lynch, Pierce, Fenner & Smith, Inc.

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

MSIP - Morgan Stanley & Co. International plc

SOCG - Societe Generale

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

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295

Statements of Assets and Liabilities December 31, 2016

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
ASSETS:
Investments in securities, at cost	$	665,017,064		$	1,314,475,047		$	22,558,411		$	2,968,446,232
Investments in securities, at value	$	617,430,895		$	1,339,664,258		$	22,559,776		$	2,998,494,360
Cash		1,085,675			5,035,683			—			1,002,189
Cash denominated in foreign currencies‡		616,552			759,916			1,936			1,680,036
Due from brokers		22,713,003			1,630,866			442,259			17,422,061
Unrealized appreciation on forward foreign currency exchange contracts		200,495			720,869			520,813			211,457
Unrealized appreciation on OTC swaps		6,311,386			72,524,694			88,430			104,421,577
Deposits with brokers for exchange-traded and centrally cleared derivatives		2,611,259			—			3,555,370			55,538,267
Variation margin on exchange-traded and centrally cleared derivatives		116,817			—			145,595			—
Receivables:
Securities sold		1,499,486			42,703,382			854,587			162,414,190
Foreign tax reclaims		61,689			205,932			—			324,847
Dividends and interest		1,730,316			374,825			3,402			626,781
Capital shares sold		1,135,417			9,903,287			5,311			19,573,518
Prepaid expenses		43,657			89,792			27,736			136,043
Total Assets		655,556,647			1,473,613,504			28,205,215			3,361,845,326
LIABILITIES:
Securities sold short, at value (proceeds $179,672,832, $303,759,410, $— and $653,579,656, respectively)		184,019,834			307,746,049			—			653,226,872
Due to brokers		—			1,630,000			26,471			—
Unrealized depreciation on forward foreign currency exchange contracts		4,093			42,312			549,829			6,106,825
Unrealized depreciation on OTC swaps		505,454			1,009,453			66,667			3,150,789
Variation margin on exchange-traded and centrally cleared derivatives		3,298			—			33,061			2,787,510
Payables:
Securities purchased		2,866,064			35,746,820			854,636			146,386,813
Accrued investment advisory fees		404,033			978,537			6,464			2,152,658
Accrued distribution fees—Class N		21,882			31,266			761			55,644
Accrued Trustee fees		15			14			—			—
Capital shares redeemed		1,105,745			3,818,991			33,759			7,220,414
Dividends and interest payable on securities sold short		230,483			198,043			—			311,725
Other accrued expenses and liabilities		378,495			361,018			70,131			638,430
Total Liabilities		189,539,396			351,562,503			1,641,779			822,037,680
Net Assets	$	466,017,251		$	1,122,051,001		$	26,563,436		$	2,539,807,646
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	795,111,672		$	1,087,619,457		$	27,305,486		$	2,425,225,963
Undistributed accumulated net investment income (loss)		(10,949,212	)		(46,484,619	)		172,772			(57,791,007	)
Undistributed accumulated net realized gain (loss)		(271,715,313	)		(10,921,194	)		(645,995	)		45,866,407
Net unrealized appreciation (depreciation)		(46,429,896	)		91,837,357			(268,827	)		126,506,283
Net Assets	$	466,017,251		$	1,122,051,001		$	26,563,436		$	2,539,807,646
NET ASSETS:
Class I	$	359,988,719		$	790,178,925		$	18,972,105		$	1,799,993,741
Class N		100,869,523			154,188,675			3,217,131			287,362,037
Class R6		5,159,009			177,683,401			4,374,200			452,451,868
SHARES OUTSTANDING:
Class I		39,012,519			66,027,774			2,093,720			137,770,452
Class N		10,932,154			12,899,700			357,773			22,112,585
Class R6		560,186			14,839,955			482,492			34,579,765
NET ASSET VALUE:
Class I	$	9.23		$	11.97		$	9.06		$	13.07
Class N	$	9.23		$	11.95		$	8.99		$	13.00
Class R6	$	9.21		$	11.97		$	9.07		$	13.08
‡ Cash denominated in foreign currencies at cost	$	781,393		$	756,916		$	1,921		$	1,684,693

** 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 2016

296

Statements of Assets and Liabilities December 31, 2016

	AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**			AQR RISK PARITY FUND**			AQR RISK PARITY II HV FUND**
ASSETS:
Investments in securities, at cost	$	3,079,641,081		$	179,666,572		$	374,324,461		$	64,844,854
Investments in securities, at value	$	3,117,686,551		$	179,669,052		$	371,556,379		$	64,283,517
Cash		51,553,391			—			—			—
Cash denominated in foreign currencies‡		17,903,273			—			1,050,200			18,069
Due from brokers		897,824,196			1,458,669			199,281			371,464
Unrealized appreciation on forward foreign currency exchange contracts		34,028,247			—			2,318,711			199,436
Unrealized appreciation on OTC swaps		213,823,530			2,560,639			1,152,289			281,267
Deposits with brokers for exchange-traded and centrally cleared derivatives		127,445,270			21,778,832			26,067,396			4,320,684
Variation margin on exchange-traded and centrally cleared derivatives		10,117,382			746,280			856,299			177,203
Receivables:
Securities sold		189,747,195			—			6,131,662			20,011
Foreign tax reclaims		672,193			—			—			—
Dividends and interest		5,420,119			26,337			325,913			66,168
Capital shares sold		3,811,699			654,415			132,161			731
Prepaid expenses		132,826			38,486			39,835			37,448
Total Assets		4,670,165,872			206,932,710			409,830,126			69,775,998
LIABILITIES:
Securities sold short, at value (proceeds $877,261,427, $—, $— and $—, respectively)		884,079,633			—			—			—
Options written, at value (proceeds $2,146,186, $—, $— and $—, respectively)		3,779,145			—			—			—
Reverse repurchase agreements, at value		—			—			—			13,660,587
Due to brokers		9,025,267			—			386,751			85,213
Unrealized depreciation on forward foreign currency exchange contracts		40,523,418			—			597,306			659
Unrealized depreciation on OTC swaps		22,957,163			2,570,301			1,133,107			136,857
Deposits from brokers for exchange-traded and centrally cleared derivatives		393,510			—			13,043			—
Variation margin on exchange-traded and centrally cleared derivatives		1,437,814			903,992			656,286			212,768
Payables:
Securities purchased		193,746,316			—			6,132,031			20,014
Accrued investment advisory fees		5,364,018			116,125			233,153			17,499
Accrued distribution fees—Class N		100,134			1,348			3,596			1,289
Accrued Trustee fees		76			3			13			2
Capital shares redeemed		8,683,142			26,145			134,099			10,330
Dividends and interest payable on securities sold short		923,779			—			—			—
Interest payable for reverse repurchase agreements		—			—			—			9,518
Other accrued expenses and liabilities		1,300,982			96,245			192,080			75,263
Total Liabilities		1,172,314,397			3,714,159			9,481,465			14,229,999
Net Assets	$	3,497,851,475		$	203,218,551		$	400,348,661		$	55,545,999
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	3,617,493,398		$	203,511,602		$	404,632,319		$	55,866,422
Undistributed accumulated net investment income (loss)		(254,308,705	)		1,810,504			5,462,016			406,197
Undistributed accumulated net realized gain (loss)		(90,393,150	)		(12,630	)		(9,551,403	)		(718,448	)
Net unrealized appreciation (depreciation)		225,059,932			(2,090,925	)		(194,271	)		(8,172	)
Net Assets	$	3,497,851,475		$	203,218,551		$	400,348,661		$	55,545,999
NET ASSETS:
Class I	$	2,405,511,047		$	93,849,217		$	349,334,517		$	46,127,358
Class N		469,478,382			7,213,483			17,027,152			6,582,930
Class R6		622,862,046			102,155,851			33,986,992			2,835,711
SHARES OUTSTANDING:
Class I		253,175,292			15,023,251			37,411,773			5,479,411
Class N		49,655,549			1,167,206			1,827,019			780,920
Class R6		65,492,180			16,318,860			3,638,709			337,040
NET ASSET VALUE:
Class I	$	9.50		$	6.25		$	9.34		$	8.42
Class N	$	9.45		$	6.18		$	9.32		$	8.43
Class R6	$	9.51		$	6.26		$	9.34		$	8.41
‡ Cash denominated in foreign currencies at cost	$	18,189,216		$	—		$	1,125,651		$	18,638

** 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 2016

297

Statements of Assets and Liabilities December 31, 2016

	AQR RISK PARITY II MV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
ASSETS:
Investments in securities, at cost	$	78,623,117		$	4,228,036,100		$	410,723,886
Investments in securities, at value	$	78,018,029		$	4,310,196,396		$	415,198,599
Cash		—			30,003,881			60,230
Cash denominated in foreign currencies‡		82,524			18,614,361			1,287,335
Due from brokers		483,469			104,477,194			4,736,327
Unrealized appreciation on forward foreign currency exchange contracts		190,530			33,764,018			1,953,840
Unrealized appreciation on OTC swaps		311,345			188,748,021			10,285,988
Deposits with brokers for exchange-traded and centrally cleared derivatives		3,302,778			223,044,638			12,807,799
Variation margin on exchange-traded and centrally cleared derivatives		174,896			6,852,107			432,841
Receivables:
Securities sold		24,490			103,343,239			5,945,239
Foreign tax reclaims		—			1,959,901			71,588
Dividends and interest		65,974			1,513,069			134,081
Capital shares sold		4,068,200			13,040,319			809,344
Prepaid expenses		41,908			306,521			64,454
Total Assets		86,764,143			5,035,863,665			453,787,665
LIABILITIES:
Securities sold short, at value (proceeds $—, $1,026,284,108 and $58,469,601, respectively)		—			1,022,996,350			58,367,157
Due to brokers		80,866			5,326,423			464,982
Unrealized depreciation on forward foreign currency exchange contracts		1,023			33,630,546			1,945,142
Unrealized depreciation on OTC swaps		162,863			29,773,611			1,392,339
Deposits from brokers for exchange-traded and centrally cleared derivatives		—			372,736			—
Variation margin on exchange-traded and centrally cleared derivatives		190,150			4,413,666			249,830
Payables:
Securities purchased		24,493			124,198,609			6,209,074
Accrued investment advisory fees		25,459			4,122,285			208,130
Accrued distribution fees—Class N		1,207			40,336			8,910
Accrued Trustee fees		3			66			5
Capital shares redeemed		1,059,863			7,200,992			117,533
Dividends and interest payable on securities sold short		—			939,192			54,920
Other accrued expenses and liabilities		78,477			1,234,759			188,972
Total Liabilities		1,624,404			1,234,249,571			69,206,994
Net Assets	$	85,139,739		$	3,801,614,094		$	384,580,671
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	85,469,824		$	3,843,814,677		$	385,138,563
Undistributed accumulated net investment income (loss)		341,732			(140,791,266	)		(5,437,448	)
Undistributed accumulated net realized gain (loss)		(579,538	)		(138,289,481	)		(8,057,382	)
Net unrealized appreciation (depreciation)		(92,279	)		236,880,164			12,936,938
Net Assets	$	85,139,739		$	3,801,614,094		$	384,580,671
NET ASSETS:
Class I	$	78,872,634		$	2,263,100,996		$	251,496,044
Class N		5,659,311			188,646,588			42,514,164
Class R6		607,794			1,349,866,510			90,570,463
SHARES OUTSTANDING:
Class I		8,787,446			228,188,253			24,164,696
Class N		632,594			19,081,538			4,098,530
Class R6		67,769			135,855,853			8,688,585
NET ASSET VALUE:
Class I	$	8.98		$	9.92		$	10.41
Class N	$	8.95		$	9.89		$	10.37
Class R6	$	8.97		$	9.94		$	10.42
‡ Cash denominated in foreign currencies at cost	$	82,346		$	18,688,920		$	1,293,003

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

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

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298

Statements of Operations December 31, 2016

	AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND**		AQR LONG-SHORT EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2016
INVESTMENT INCOME:
Dividend income†		$8,050,363		$7,347,265		$26,031		$9,861,056
Interest income		10,141,683		795,928		84,331		2,078,826
Total Income		18,192,046		8,143,193		110,362		11,939,882
EXPENSES:
Investment advisory fees		5,960,358		9,045,308		479,470		15,169,134
Custody fees		117,624		22,385		25,519		58,297
Administration & accounting fees		119,098		259,457		11,599		427,876
Legal fees		27,294		9,482		734		9,944
Audit & tax fees		223,821		84,340		82,797		94,514
Shareholder reporting fees		133,692		125,989		7,979		191,063
Transfer agent fees		544,632		656,994		37,427		1,059,524
Trustee fees		23,915		24,968		7,103		36,027
Distribution fees—Class N		340,496		412,258		17,360		411,794
Dividends and interest on securities sold short (Note 4)		6,400,428		6,965,037		—		9,724,764
Recoupment of waiver		—		24,649		—		166,454
Registration fees		78,625		196,861		56,530		283,959
Pricing fee		332,588		22,337		42,243		22,312
Other expenses		78,883		23,229		1,409		41,094
Total Expenses		14,381,454		17,873,294		770,170		27,696,756
Less fee waivers and/or reimbursements		(513,804)		(4,780)		(214,149)		—
Net Expenses		13,867,650		17,868,514		556,021		27,696,756
Net Investment Income (Loss)		4,324,396		(9,725,321)		(445,659)		(15,756,874)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(122,361,210)		(3,479,597)		(188,781)		(9,132,072)
Foreign currency and foreign currency transactions		(146,873)		304,895		92,045		(486,377)
Forward foreign currency exchange contracts		56,917		2,489,730		512,890		(12,678,554)
Futures contracts		(5,451,934)		935,021		491,309		113,701,910
Securities sold short		75,774,693		(10,199,387)		—		(12,666,331)
Swap contracts		(4,535,537)		(18,659,896)		183,784		(3,345,701)
Written options		2,422,341		—		—		—
Net realized gain (loss)		(54,241,603)		(28,609,234)		1,091,247		75,392,875
Net change in unrealized appreciation (depreciation) on:
Investments in securities		174,840,674		24,962,593		1,396		32,315,333
Foreign currency and foreign currency translations		133,380		(1,505,991)		52,616		(2,105,388)
Forward foreign currency exchange contracts		(906,938)		748,295		(538,838)		(6,160,417)
Futures contracts		542,769		—		20,732		(322,751)
Securities sold short		(98,802,059)		(6,289,600)		—		(9,960,213)
Swap contracts		5,510,443		65,815,078		(676,777)		100,903,100
Written options		(2,186,995)		—		—		—
Net change in unrealized appreciation (depreciation)		79,131,274		83,730,375		(1,140,871)		114,669,664
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		24,889,671		55,121,141		(49,624)		190,062,539
Net increase (decrease) in net assets resulting from operations		$29,214,067		$45,395,820		($495,283)		$174,305,665
†  Net of foreign taxes withheld of		$9,469		$760,925		$22		$1,081,073

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

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

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299

Statements of Operations December 31, 2016

	AQR MULTI- STRATEGY ALTERNATIVE FUND**		AQR RISK- BALANCED COMMODITIES STRATEGY FUND**		AQR RISK PARITY FUND**		AQR RISK PARITY II HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2016
INVESTMENT INCOME:
Dividend income†		$30,573,073		$189,311		$355,611		$52,057
Interest income		16,625,000		287,514		2,835,125		484,579
Total Income		47,198,073		476,825		3,190,736		536,636
EXPENSES:
Investment advisory fees		61,397,641		1,316,897		3,425,318		518,365
Custody fees		129,685		16,855		59,052		18,438
Administration & accounting fees		1,084,119		51,705		144,825		17,217
Legal fees		79,573		7,673		41,924		8,361
Audit & tax fees		237,278		126,408		157,439		133,008
Shareholder reporting fees		368,998		11,403		12,903		3,545
Transfer agent fees		2,754,109		64,910		325,883		48,179
Trustee fees		91,996		9,909		18,315		7,388
Distribution fees—Class N		1,066,068		9,791		49,844		14,829
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4)		17,087,197		—		—		67,763
Recoupment of waiver		247,318		—		—		—
Registration fees		312,107		47,994		54,078		49,916
Pricing fee		25,682		37		17,549		—
Other expenses		132,523		7,687		22,416		4,044
Total Expenses		85,014,294		1,671,269		4,329,546		891,053
Less fee waivers and/or reimbursements		—		(129,510)		(80,747)		(202,923)
Net Expenses		85,014,294		1,541,759		4,248,799		688,130
Net Investment Income (Loss)		(37,816,221)		(1,064,934)		(1,058,063)		(151,494)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		114,326,428		2,447		152,982		799
Foreign currency and foreign currency transactions		(3,732,998)		—		1,146,621		67,259
Forward foreign currency exchange contracts		73,888,488		—		1,755,623		789,675
Futures contracts		(93,251,858)		19,098,139		21,152,555		3,840,460
Securities sold short		(82,212,403)		—		—		—
Swap contracts		(20,975,654)		1,994,645		11,128,689		(112,226)
Written options		2,431,638		—		—		—
Net realized gain (loss)		(9,526,359)		21,095,231		35,336,470		4,585,967
Net change in unrealized appreciation (depreciation) on:
Investments in securities		6,894,243		(523)		1,560,599		(207,639)
Foreign currency and foreign currency translations		(2,232,523)		—		(1,064,019)		(62,730)
Forward foreign currency exchange contracts		(20,205,360)		—		5,642,095		315,644
Futures contracts		15,199,614		1,271,379		5,704,264		926,251
Securities sold short		(7,776,678)		—		—		—
Swap contracts		58,263,078		224,260		(326,721)		248,738
Written options		(1,632,959)		—		—		—
Net change in unrealized appreciation (depreciation)		48,509,415		1,495,116		11,516,218		1,220,264
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		38,983,056		22,590,347		46,852,688		5,806,231
Net increase (decrease) in net assets resulting from operations		$1,166,835		$21,525,413		$45,794,625		$5,654,737
†  Net of foreign taxes withheld of		$980,008		$—		$27,889		$1,583

** 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 2016

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Statements of Operations December 31, 2016

	AQR RISK PARITY II MV FUND**		AQR STYLE PREMIA ALTERNATIVE FUND**		AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2016
INVESTMENT INCOME:
Dividend income†		$84,348		$31,053,378		$1,931,821
Interest income		548,076		3,345,430		442,549
Total Income		632,424		34,398,808		2,374,370
EXPENSES:
Investment advisory fees		670,893		44,269,170		2,358,624
Custody fees		18,201		88,962		20,366
Administration & accounting fees		28,277		1,038,087		116,261
Legal fees		8,838		76,315		12,224
Audit & tax fees		133,140		141,593		116,123
Shareholder reporting fees		3,539		369,167		41,525
Transfer agent fees		93,677		1,995,014		276,891
Trustee fees		8,354		83,750		14,515
Distribution fees—Class N		15,702		460,832		100,932
Dividends and interest on securities sold short (Note 4)		—		24,655,199		1,285,512
Registration fees		57,825		555,966		101,433
Pricing fee		—		21,908		22,046
Other expenses		5,476		110,641		13,589
Total Expenses		1,043,922		73,866,604		4,480,041
Less fee waivers and/or reimbursements		(189,053)		(814,387)		(110,069)
Net Expenses		854,869		73,052,217		4,369,972
Net Investment Income (Loss)		(222,445)		(38,653,409)		(1,995,602)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		91,489		(42,270,978)		(2,068,059)
Foreign currency and foreign currency transactions		145,134		(889,499)		279,194
Forward foreign currency exchange contracts		751,629		90,202,416		4,715,506
Futures contracts		5,434,511		(50,280,397)		(3,053,123)
Securities sold short		—		(38,474,420)		(1,873,107)
Swap contracts		(116,007)		(182,606,126)		(5,790,851)
Net realized gain (loss)		6,306,756		(224,319,004)		(7,790,440)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		67,214		66,615,684		3,580,609
Foreign currency and foreign currency translations		(153,304)		463,148		(12,835)
Forward foreign currency exchange contracts		343,554		(7,498,821)		(381,336)
Futures contracts		1,193,129		11,847,580		494,183
Securities sold short		—		(16,330,840)		(495,578)
Swap contracts		382,934		181,898,259		7,583,908
Net change in unrealized appreciation (depreciation)		1,833,527		236,995,010		10,768,951
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		8,140,283		12,676,006		2,978,511
Net increase (decrease) in net assets resulting from operations		$7,917,838		($25,977,403)		$982,909
†  Net of foreign taxes withheld of		$2,378		$4,160,624		$192,359

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

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

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301

Statements of Changes in Net Assets December 31, 2016

	AQR DIVERSIFIED ARBITRAGE FUND				AQR EQUITY MARKET NEUTRAL FUND
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$4,324,396		$10,123,129		$(9,725,321)		$(956,286)
Net realized gain (loss)		(54,241,603)		(55,638,448)		(28,609,234)		3,359,474
Net change in unrealized appreciation (depreciation)		79,131,274		(20,671,654)		83,730,375		7,770,120
Net increase (decrease) in net assets resulting from operations		29,214,067		(66,186,973)		45,395,820		10,173,308
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(26,188,748)		(40,065,363)		(11,191,080)		(3,278,442)
Class N		(6,707,013)		(7,997,308)		(1,759,993)		(1,906,094)
Class R6		(340,939)		(37,869)		(2,728,650)		(3,572)
Total		(33,236,700)		(48,100,540)		(15,679,723)		(5,188,108)
Net realized gain:
Class I		—		—		(59,855)		(142,370)
Class N		—		—		(12,009)		(85,124)
Class R6		—		—		(14,027)		(154)
Total		—		—		(85,891)		(227,648)
Total distributions		(33,236,700)		(48,100,540)		(15,765,614)		(5,415,756)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		154,211,452		411,629,572		830,628,301		181,517,201
Reinvestment of distributions		16,337,336		32,791,578		8,810,805		3,185,521
Cost of shares redeemed		(578,275,502)		(1,125,689,923)		(250,648,937)		(9,905,135)
Net increase (decrease) from capital transactions		(407,726,714)		(681,268,773)		588,790,169		174,797,587
CLASS N
Proceeds from shares sold		22,349,404		61,092,221		261,246,001		104,772,329
Reinvestment of distributions		6,680,121		7,939,623		1,715,084		1,973,213
Cost of shares redeemed		(111,843,544)		(543,339,575)		(201,987,284)		(19,614,748)
Net increase (decrease) from capital transactions		(82,814,019)		(474,307,731)		60,973,801		87,130,794
CLASS R6
Proceeds from shares sold		5,261,147		1,113,193		193,413,965		—
Reinvestment of distributions		340,939		37,869		1,292,551		3,726
Cost of shares redeemed		(1,310,714)		(305,690)		(21,264,966)		(3,363,015)
Net increase (decrease) from capital transactions		4,291,372		845,372		173,441,550		(3,359,289)
Net increase (decrease) in net assets resulting from capital transactions		(486,249,361)		(1,154,731,132)		823,205,520		258,569,092
Total increase (decrease) in net assets		(490,271,994)		(1,269,018,645)		852,835,726		263,326,644
NET ASSETS:
Beginning of period		956,289,245		2,225,307,890		269,215,275		5,888,631
End of period		$466,017,251		$956,289,245		$1,122,051,001		$269,215,275
Undistributed accumulated net investment income (loss)		$(10,949,212)		$10,112,228		$(46,484,619)		$(3,291,781)

The accompanying notes are an integral part of these financial statements. (continued on p. 303)

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302

Statements of Changes in Net Assets December 31, 2016

	AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		83,828,615			152,568,773			15,613,151			144,471
Shares sold		16,606,801			41,096,650			71,219,176			16,108,285
Shares issued on reinvestment of distributions		1,793,341			3,575,962			740,404			274,141
Shares redeemed		(63,216,238	)		(113,412,770	)		(21,544,957	)		(913,746	)
Shares outstanding, end of period		39,012,519			83,828,615			66,027,774			15,613,151
CLASS N
Shares outstanding, beginning of period		19,881,331			67,172,038			7,826,988			123,239
Shares sold		2,425,460			6,110,275			22,415,067			9,253,007
Shares issued on reinvestment of distributions		733,273			866,771			144,246			169,958
Shares redeemed		(12,107,910	)		(54,267,753	)		(17,486,601	)		(1,719,216	)
Shares outstanding, end of period		10,932,154			19,881,331			12,899,700			7,826,988
CLASS R6
Shares outstanding, beginning of period		94,204			9,281			12,859			320,778
Shares sold		569,248			111,175			16,548,221			—
Shares issued on reinvestment of distributions		37,507			4,139			108,526			320
Shares redeemed		(140,773	)		(30,391	)		(1,829,651	)		(308,239	)
Shares outstanding, end of period		560,186			94,204			14,839,955			12,859

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

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303

Statements of Changes in Net Assets December 31, 2016

	AQR GLOBAL MACRO FUND**				AQR LONG-SHORT EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(445,659)		$(1,077,510)		$(15,756,874)		$(2,581,503)
Net realized gain (loss)		1,091,247		1,388,379		75,392,875		27,471,141
Net change in unrealized appreciation (depreciation)		(1,140,871)		80,064		114,669,664		7,649,879
Net increase (decrease) in net assets resulting from operations		(495,283)		390,933		174,305,665		32,539,517
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		—		(30,176,354)		(17,673,255)
Class N		—		—		(4,706,896)		(3,926,547)
Class R6		—		—		(7,848,604)		(740,867)
Total		—		—		(42,731,854)		(22,340,669)
Net realized gain:
Class I		(1,147,757)		(1,495,562)		(18,662,428)		(606,302)
Class N		(197,405)		(1,247,409)		(3,169,455)		(137,481)
Class R6		(249,638)		(5,243)		(4,720,734)		(25,262)
Total		(1,594,800)		(2,748,214)		(26,552,617)		(769,045)
Total distributions		(1,594,800)		(2,748,214)		(69,284,471)		(23,109,714)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		12,508,088		14,970,480		1,714,249,271		424,856,199
Reinvestment of distributions		1,101,710		1,453,010		37,971,044		18,090,946
Cost of shares redeemed		(24,519,868)		(19,541,806)		(485,335,729)		(42,029,793)
Net increase (decrease) from capital transactions		(10,910,070)		(3,118,316)		1,266,884,586		400,917,352
CLASS N
Proceeds from shares sold		6,267,519		92,106,568		289,678,694		94,735,102
Reinvestment of distributions		197,405		1,247,361		7,839,548		4,042,317
Cost of shares redeemed		(23,859,907)		(72,106,801)		(111,888,155)		(20,804,635)
Net increase (decrease) from capital transactions		(17,394,983)		21,247,128		185,630,087		77,972,784
CLASS R6
Proceeds from shares sold		5,440,435		—		456,865,260		15,455,318
Reinvestment of distributions		249,600		5,243		6,782,137		766,129
Cost of shares redeemed		(1,126,806)		—		(40,383,757)		(315,394)
Net increase (decrease) from capital transactions		4,563,229		5,243		423,263,640		15,906,053
Net increase (decrease) in net assets resulting from capital transactions		(23,741,824)		18,134,055		1,875,778,313		494,796,189
Total increase (decrease) in net assets		(25,831,907)		15,776,774		1,980,799,507		504,225,992
NET ASSETS:
Beginning of period		52,395,343		36,618,569		559,008,139		54,782,147
End of period		$26,563,436		$52,395,343		$2,539,807,646		$559,008,139
Undistributed accumulated net investment income (loss)		$172,772		$74,854		$(57,791,007)		$4,505,240

The accompanying notes are an integral part of these financial statements. (continued on p. 305)

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Statements of Changes in Net Assets December 31, 2016

	AQR GLOBAL MACRO FUND**						AQR LONG-SHORT EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,276,016			3,569,196			37,352,680			4,018,314
Shares sold		1,295,462			1,496,068			136,071,032			35,398,027
Shares issued on reinvestment of distributions		120,274			151,830			2,911,890			1,487,742
Shares redeemed		(2,598,032	)		(1,941,078	)		(38,565,150	)		(3,551,403	)
Shares outstanding, end of period		2,093,720			3,276,016			137,770,452			37,352,680
CLASS N
Shares outstanding, beginning of period		2,181,378			105,875			7,468,130			985,542
Shares sold		653,532			9,137,851			23,006,638			7,884,421
Shares issued on reinvestment of distributions		21,717			131,025			604,437			333,800
Shares redeemed		(2,498,854	)		(7,193,373	)		(8,966,620	)		(1,735,633	)
Shares outstanding, end of period		357,773			2,181,378			22,112,585			7,468,130
CLASS R6
Shares outstanding, beginning of period		10,855			10,307			1,335,480			39,315
Shares sold		562,070			—			35,852,243			1,260,159
Shares issued on reinvestment of distributions		27,249			548			519,306			62,953
Shares redeemed		(117,682	)		—			(3,127,264	)		(26,947	)
Shares outstanding, end of period		482,492			10,855			34,579,765			1,335,480

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

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

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Statements of Changes in Net Assets December 31, 2016

	AQR MULTI-STRATEGY ALTERNATIVE FUND**				AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(37,816,221)		$(28,174,290)		$(1,064,934)		$(809,925)
Net realized gain (loss)		(9,526,359)		122,351,560		21,095,231		(22,173,242)
Net change in unrealized appreciation (depreciation)		48,509,415		83,853,640		1,495,116		2,497,671
Net increase (decrease) in net assets resulting from operations		1,166,835		178,030,910		21,525,413		(20,485,496)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(20,956,045)		(157,002,548)		(4,217,596)		—
Class N		(4,106,578)		(6,675,209)		(266,235)		—
Class R6		(5,347,752)		(5,408,560)		(4,773,617)		—
Total		(30,410,375)		(169,086,317)		(9,257,448)		—
Net realized gain:
Class I		(39,203,993)		(33,179,441)		—		—
Class N		(7,682,473)		(1,461,342)		—		—
Class R6		(10,004,428)		(1,132,757)		—		—
Total		(56,890,894)		(35,773,540)		—		—
Total distributions		(87,301,269)		(204,859,857)		(9,257,448)		—
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,640,556,468		1,169,866,016		93,980,312		80,849,012
Reinvestment of distributions		41,668,005		156,410,369		3,133,938		—
Cost of shares redeemed		(1,489,688,316)		(460,959,852)		(77,036,497)		(40,454,118)
Net increase (decrease) from capital transactions		192,536,157		865,316,533		20,077,753		40,394,894
CLASS N
Proceeds from shares sold		472,919,773		46,717,322		6,991,689		1,419,312
Reinvestment of distributions		11,784,766		8,127,028		266,235		—
Cost of shares redeemed		(107,164,483)		(35,225,745)		(2,231,532)		(3,390,548)
Net increase (decrease) from capital transactions		377,540,056		19,618,605		5,026,392		(1,971,236)
CLASS R6
Proceeds from shares sold		693,614,602		72,737,226		65,280,626		20,111,252
Reinvestment of distributions		14,120,098		3,351,013		3,340,958		—
Cost of shares redeemed		(182,572,738)		(8,953,831)		(5,301,531)		(2,211,786)
Net increase (decrease) from capital transactions		525,161,962		67,134,408		63,320,053		17,899,466
Net increase (decrease) in net assets resulting from capital transactions		1,095,238,175		952,069,546		88,424,198		56,323,124
Total increase (decrease) in net assets		1,009,103,741		925,240,599		100,692,163		35,837,628
NET ASSETS:
Beginning of period		2,488,747,734		1,563,507,135		102,526,388		66,688,760
End of period		$3,497,851,475		$2,488,747,734		$203,218,551		$102,526,388
Undistributed accumulated net investment income (loss)		$(254,308,705)		$(135,227,340)		$1,810,504		$(8,630,097)

The accompanying notes are an integral part of these financial statements. (continued on p. 307)

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Statements of Changes in Net Assets December 31, 2016

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		234,044,091			147,968,675			12,690,552			6,649,535
Shares sold		170,130,941			116,000,850			15,068,409			12,903,642
Shares issued on reinvestment of distributions		4,363,142			16,042,089			502,234			—
Shares redeemed		(155,362,882	)		(45,967,523	)		(13,237,944	)		(6,862,625	)
Shares outstanding, end of period		253,175,292			234,044,091			15,023,251			12,690,552
CLASS N
Shares outstanding, beginning of period		10,628,943			8,674,153			374,027			686,315
Shares sold		49,000,755			4,641,085			1,101,418			220,408
Shares issued on reinvestment of distributions		1,240,502			836,114			43,150			—
Shares redeemed		(11,214,651	)		(3,522,409	)		(351,389	)		(532,696	)
Shares outstanding, end of period		49,655,549			10,628,943			1,167,206			374,027
CLASS R6
Shares outstanding, beginning of period		10,345,164			3,611,564			5,175,399			2,214,833
Shares sold		72,614,796			7,257,387			11,426,208			3,321,846
Shares issued on reinvestment of distributions		1,476,997			344,047			534,553			—
Shares redeemed		(18,944,777	)		(867,834	)		(817,300	)		(361,280	)
Shares outstanding, end of period		65,492,180			10,345,164			16,318,860			5,175,399

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

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

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Statements of Changes in Net Assets December 31, 2016

	AQR RISK PARITY FUND**				AQR RISK PARITY II HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(1,058,063)		$(4,531,218)		$(151,494)		$(482,677)
Net realized gain (loss)		35,336,470		(45,198,822)		4,585,967		(7,796,961)
Net change in unrealized appreciation (depreciation)		11,516,218		(1,165,631)		1,220,264		358,287
Net increase (decrease) in net assets resulting from operations		45,794,625		(50,895,671)		5,654,737		(7,921,351)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(8,365,046)		—		(627,027)		(137,937)
Class N		(365,427)		—		(70,031)		—
Class R6		(825,764)		—		(36,784)		(9,369)
Total		(9,556,237)		—		(733,842)		(147,306)
Net realized gain:
Class I		(15,160,890)		(12,535,697)		(1,299,453)		(2,013,017)
Class N		(757,131)		(576,410)		(179,001)		(314,049)
Class R6		(1,446,368)		(68,124)		(73,147)		(131,274)
Total		(17,364,389)		(13,180,231)		(1,551,601)		(2,458,340)
Total distributions		(26,920,626)		(13,180,231)		(2,285,443)		(2,605,646)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		86,230,896		163,806,681		26,776,206		31,920,624
Reinvestment of distributions		23,045,872		12,321,075		1,709,991		2,110,673
Cost of shares redeemed		(274,300,216)		(206,762,569)		(26,035,541)		(27,142,112)
Net increase (decrease) from capital transactions		(165,023,448)		(30,634,813)		2,450,656		6,889,185
CLASS N
Proceeds from shares sold		5,286,651		6,056,561		2,390,229		4,174,086
Reinvestment of distributions		1,106,497		573,734		248,801		314,049
Cost of shares redeemed		(12,139,315)		(17,543,068)		(1,987,408)		(5,237,521)
Net increase (decrease) from capital transactions		(5,746,167)		(10,912,773)		651,622		(749,386)
CLASS R6
Proceeds from shares sold		34,999,379		3,728,681		2,498,129		3,295,675
Reinvestment of distributions		2,272,132		68,124		106,924		140,643
Cost of shares redeemed		(2,805,200)		(650,157)		(2,326,557)		(460,254)
Net increase (decrease) from capital transactions		34,466,311		3,146,648		278,496		2,976,064
Net increase (decrease) in net assets resulting from capital transactions		(136,303,304)		(38,400,938)		3,380,774		9,115,863
Total increase (decrease) in net assets		(117,429,305)		(102,476,840)		6,750,068		(1,411,134)
NET ASSETS:
Beginning of period		517,777,966		620,254,806		48,795,931		50,207,065
End of period		$400,348,661		$517,777,966		$55,545,999		$48,795,931
Undistributed accumulated net investment income (loss)		$5,462,016		$(11,483,741)		$406,197		$(2,528,445)

The accompanying notes are an integral part of these financial statements. (continued on p. 309)

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Statements of Changes in Net Assets December 31, 2016

	AQR RISK PARITY FUND**						AQR RISK PARITY II HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		54,203,404			57,585,796			5,250,810			4,427,252
Shares sold		8,965,775			16,155,868			3,133,414			3,429,710
Shares issued on reinvestment of distributions		2,491,445			1,356,946			206,023			270,252
Shares redeemed		(28,248,851	)		(20,895,206	)		(3,110,836	)		(2,876,404	)
Shares outstanding, end of period		37,411,773			54,203,404			5,479,411			5,250,810
CLASS N
Shares outstanding, beginning of period		2,424,293			3,571,499			704,394			819,606
Shares sold		551,916			595,100			281,645			417,890
Shares issued on reinvestment of distributions		119,751			63,326			29,940			40,160
Shares redeemed		(1,268,941	)		(1,805,632	)		(235,059	)		(573,262	)
Shares outstanding, end of period		1,827,019			2,424,293			780,920			704,394
CLASS R6
Shares outstanding, beginning of period		307,370			9,472			310,087			9,937
Shares sold		3,396,345			354,328			314,776			330,887
Shares issued on reinvestment of distributions		245,371			7,503			12,898			18,031
Shares redeemed		(310,377	)		(63,933	)		(300,721	)		(48,768	)
Shares outstanding, end of period		3,638,709			307,370			337,040			310,087

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

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

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Statements of Changes in Net Assets December 31, 2016

	AQR RISK PARITY II MV FUND**				AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015		FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(222,445)		$(836,894)		$(38,653,409)		$(13,944,348)
Net realized gain (loss)		6,306,756		(7,484,622)		(224,319,004)		145,026,929
Net change in unrealized appreciation (depreciation)		1,833,527		488,161		236,995,010		(15,233,229)
Net increase (decrease) in net assets resulting from operations		7,917,838		(7,833,355)		(25,977,403)		115,849,352
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(727,667)		(226,926)		(38,510,727)		(63,874,268)
Class N		(38,536)		—		(3,276,100)		(3,935,997)
Class R6		(6,409)		(323)		(22,466,055)		(20,714,913)
Total		(772,612)		(227,249)		(64,252,882)		(88,525,178)
Net realized gain:
Class I		(2,123,563)		(4,531,332)		—		(2,856,032)
Class N		(160,468)		(232,047)		—		(180,968)
Class R6		(17,038)		(4,866)		—		(918,104)
Total		(2,301,069)		(4,768,245)		—		(3,955,104)
Total distributions		(3,073,681)		(4,995,494)		(64,252,882)		(92,480,282)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		29,159,017		57,846,534		1,885,360,726		1,212,906,493
Reinvestment of distributions		2,671,414		4,373,088		33,715,714		61,353,974
Cost of shares redeemed		(43,280,962)		(70,812,276)		(942,395,923)		(335,771,223)
Net increase (decrease) from capital transactions		(11,450,531)		(8,592,654)		976,680,517		938,489,244
CLASS N
Proceeds from shares sold		5,931,482		1,827,231		235,255,329		76,216,175
Reinvestment of distributions		198,845		232,047		3,233,851		4,116,723
Cost of shares redeemed		(5,128,783)		(4,760,078)		(136,383,628)		(14,178,162)
Net increase (decrease) from capital transactions		1,001,544		(2,700,800)		102,105,552		66,154,736
CLASS R6
Proceeds from shares sold		467,405		11,115		1,144,901,288		300,087,686
Reinvestment of distributions		23,447		5,189		19,653,750		18,986,659
Cost of shares redeemed		(5,000)		—		(180,244,147)		(7,472,854)
Net increase (decrease) from capital transactions		485,852		16,304		984,310,891		311,601,491
Net increase (decrease) in net assets resulting from capital transactions		(9,963,135)		(11,277,150)		2,063,096,960		1,316,245,471
Total increase (decrease) in net assets		(5,118,978)		(24,105,999)		1,972,866,675		1,339,614,541
NET ASSETS:
Beginning of period		90,258,717		114,364,716		1,828,747,419		489,132,878
End of period		$85,139,739		$90,258,717		$3,801,614,094		$1,828,747,419
Undistributed accumulated net investment income (loss)		$341,732		$(2,860,613)		$(140,791,266)		$36,181,849

The accompanying notes are an integral part of these financial statements. (continued on p. 311)

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Statements of Changes in Net Assets December 31, 2016

	AQR RISK PARITY II MV FUND**						AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		10,090,660			10,758,104			132,222,963			39,308,249
Shares sold		3,215,809			6,110,780			186,181,598			120,523,767
Shares issued on reinvestment of distributions		300,497			512,672			3,391,923			5,974,097
Shares redeemed		(4,819,520	)		(7,290,896	)		(93,608,231	)		(33,583,150	)
Shares outstanding, end of period		8,787,446			10,090,660			228,188,253			132,222,963
CLASS N
Shares outstanding, beginning of period		499,865			790,138			9,168,045			2,694,354
Shares sold		668,526			184,037			23,236,438			7,463,692
Shares issued on reinvestment of distributions		22,443			27,300			326,322			401,240
Shares redeemed		(558,240	)		(501,610	)		(13,649,267	)		(1,391,241	)
Shares outstanding, end of period		632,594			499,865			19,081,538			9,168,045
CLASS R6
Shares outstanding, beginning of period		11,671			9,763			38,861,071			7,587,508
Shares sold		54,018			1,300			112,887,115			30,135,455
Shares issued on reinvestment of distributions		2,640			608			1,975,251			1,846,951
Shares redeemed		(560	)		—			(17,867,584	)		(708,843	)
Shares outstanding, end of period		67,769			11,671			135,855,853			38,861,071

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

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

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Statements of Changes in Net Assets December 31, 2016

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016		FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(1,995,602)		$(577,078)
Net realized gain (loss)		(7,790,440)		1,803,761
Net change in unrealized appreciation (depreciation)		10,768,951		1,841,412
Net increase (decrease) in net assets resulting from operations		982,909		3,068,095
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(795,349)		(2,291,598)
Class N		(118,822)		(161,010)
Class R6		(249,839)		(350,210)
Total		(1,164,010)		(2,802,818)
Net realized gain:
Class I		(508,606)		(467,704)
Class N		(75,984)		(39,469)
Class R6		(159,765)		(70,896)
Total		(744,355)		(578,069)
Total distributions		(1,908,365)		(3,380,887)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		311,386,784		158,309,029
Reinvestment of distributions		1,291,847		2,746,926
Cost of shares redeemed		(212,924,851)		(36,778,993)
Net increase (decrease) from capital transactions		99,753,780		124,276,962
CLASS N
Proceeds from shares sold		46,356,991		6,450,074
Reinvestment of distributions		194,718		199,845
Cost of shares redeemed		(17,229,454)		(1,965,686)
Net increase (decrease) from capital transactions		29,322,255		4,684,233
CLASS R6
Proceeds from shares sold		75,648,609		22,000,001
Reinvestment of distributions		409,604		421,106
Cost of shares redeemed		(7,420,574)		(23,642,959)
Net increase (decrease) from capital transactions		68,637,639		(1,221,852)
Net increase (decrease) in net assets resulting from capital transactions		197,713,674		127,739,343
Total increase (decrease) in net assets		196,788,218		127,426,551
NET ASSETS:
Beginning of period		187,792,453		60,365,902
End of period		$384,580,671		$187,792,453
Undistributed accumulated net investment income (loss)		$(5,437,448)		$(822,566)

The accompanying notes are an integral part of these financial statements. (continued on p. 313)

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Statements of Changes in Net Assets December 31, 2016

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		14,645,410			2,760,295
Shares sold		29,820,289			15,255,549
Shares issued on reinvestment of distributions		123,977			263,115
Shares redeemed		(20,424,980	)		(3,633,549	)
Shares outstanding, end of period		24,164,696			14,645,410
CLASS N
Shares outstanding, beginning of period		1,294,548			843,532
Shares sold		4,443,549			624,669
Shares issued on reinvestment of distributions		18,759			19,161
Shares redeemed		(1,658,326	)		(192,814	)
Shares outstanding, end of period		4,098,530			1,294,548
CLASS R6
Shares outstanding, beginning of period		2,132,230			2,329,001
Shares sold		7,229,751			2,091,933
Shares issued on reinvestment of distributions		39,272			40,297
Shares redeemed		(712,668	)		(2,329,001	)
Shares outstanding, end of period		8,688,585			2,132,230

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

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

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313

Statements of Cash Flows December 31, 2016

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR LONG-SHORT EQUITY FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	29,214,067		$	45,395,820		$	174,305,665
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used) in operating activities:
Payments to purchase securities		(888,355,743	)		(392,993,374	)		(752,822,677	)
Payments to cover short securities		(629,273,978	)		(159,518,388	)		(215,346,648	)
Proceeds from sales of securities		1,378,436,919			139,710,910			210,412,623
Proceeds from securities sold short		444,189,213			387,170,845			722,715,340
Proceeds from written options		66,221			—			—
Payments to close written options		(32,345	)		—			—
(Purchases) sales of short-term investments, net		247,960,594			(759,706,826	)		(1,797,739,181	)
Realized (gain) loss on investments in securities		122,361,210			3,479,597			9,132,072
Realized (gain) loss on securities sold short		(75,774,693	)		10,199,387			12,666,331
Realized (gain) loss on written options		(2,422,341	)		—			—
Realized (gain) loss on paydowns		(119,837	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		(174,840,674	)		(24,962,593	)		(32,315,333	)
Change in unrealized (appreciation) depreciation on securities sold short		98,802,059			6,289,600			9,960,213
Change in unrealized (appreciation) depreciation on written options		2,186,995			—			—
Amortization (accretion) of bond premium (discount)		(2,435,194	)		(795,928	)		(2,104,255	)
(Increases) decreases in operating assets:
Due from brokers		(22,713,003	)		9,062,542			11,087,994
Unrealized appreciation on forward foreign currency exchange contracts		1,267,233			(666,528	)		753,197
Unrealized appreciation on OTC swaps		(1,872,919	)		(66,448,194	)		(98,598,837	)
Deposits with brokers for exchange-traded and centrally cleared derivatives		4,857,690			803			(39,943,111	)
Variation margin on exchange-traded and centrally cleared derivatives		260,735			—			—
Receivable for securities sold		17,837,386			(31,783,445	)		(135,397,894	)
Foreign tax reclaim		1,265			(196,438	)		(292,523	)
Dividends and interest		2,749,937			(356,318	)		(591,301	)
Prepaid expenses		30,003			(42,232	)		(79,876	)
Increases (decreases) in operating liabilities
Due to brokers		(21,215,234	)		1,630,000			(290,000	)
Unrealized depreciation on forward foreign currency exchange contracts		(360,295	)		(81,767	)		5,407,220
Unrealized depreciation on OTC swaps		(2,605,159	)		633,116			(2,304,263	)
Variation margin on exchange-traded and centrally cleared derivatives		(42,477	)		—			627,826
Payable for securities purchased		(11,602,506	)		25,332,809			123,998,379
Accrued investment advisory fees		(271,672	)		816,300			1,760,632
Accrued distribution fees—Class N		(18,405	)		14,417			37,557
Accrued Trustees fees		(833	)		(115	)		(259	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		(922,198	)		110,038			162,663
Other accrued expenses and liabilities		(461,967	)		267,871			463,688
Net cash provided by (used in) operating activities	$	514,880,054		$	(807,438,091	)	$	(1,794,334,758	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		181,337,663			1,279,047,687			2,450,648,582
Payments on shares redeemed		(696,358,349	)		(470,102,592	)		(631,471,216	)
Cash distributions paid		(9,878,304	)		(3,947,174	)		(16,691,742	)
Due to custodian		(2,330,779	)		—			(7,108,051	)
Net cash provided by (used in) financing activities	$	(527,229,769	)	$	804,997,921		$	1,795,377,573
Net change in cash and cash denominated in foreign currencies		(12,349,715	)		(2,440,170	)		1,042,815
Cash, beginning of period		14,051,942			8,235,769			1,639,410
Cash, end of period	$	1,702,227		$	5,795,599		$	2,682,225

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $2,513,364, $1,073,153 and $1,502,251.

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

AQR Funds Annual Report December 2016

314

Statements of Cash Flows December 31, 2016

	AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK PARITY II HV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	1,166,835		$	5,654,737		$	(25,977,403	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used) in operating activities:
Payments to purchase securities		(2,565,046,556	)		(33,756,380	)		(878,970,322	)
Payments to cover short securities		(1,350,067,178	)		—			(423,437,739	)
Proceeds from sales of securities		2,253,713,573			19,494,097			289,577,435
Proceeds from securities sold short		1,555,751,170			—			903,289,441
Proceeds from written options		4,845,184			—			—
Payments to close written options		(267,675	)		—			—
(Purchases) sales of short-term investments, net		(394,215,164	)		2,694,063			(1,533,351,012	)
Realized (gain) loss on investments in securities		(114,326,428	)		(799	)		42,270,978
Realized (gain) loss on securities sold short		82,212,403			—			38,474,420
Realized (gain) loss on written options		(2,431,638	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		(6,894,243	)		207,639			(66,615,684	)
Change in unrealized (appreciation) depreciation on securities sold short		7,776,678			—			16,330,840
Change in unrealized (appreciation) depreciation on written options		1,632,959			—			—
Amortization (accretion) of bond premium (discount)		(1,677,285	)		(268,594	)		(3,398,754	)
(Increases) decreases in operating assets:
Repurchase Agreements		—			2,525,961			—
Unrealized appreciation on forward foreign currency exchange contracts		2,218,112			(158,284	)		(14,295,530	)
Unrealized appreciation on OTC swaps		(63,184,110	)		(244,877	)		(186,355,657	)
Deposits with brokers for exchange-traded and centrally cleared derivatives		(51,470,283	)		(1,727,020	)		(87,508,141	)
Variation margin on exchange-traded and centrally cleared derivatives		335,024			(39,735	)		(2,586,994	)
Receivable for securities sold		(167,443,901	)		(8,182	)		(102,568,218	)
Foreign tax reclaim		465,761			—			(1,416,449	)
Dividends and interest		(1,959,640	)		(36,040	)		(1,017,443	)
Due from brokers		(341,968,181	)		(363,404	)		(99,930,722	)
Due from Investment Adviser		—			5,604			—
Prepaid expenses		(31,108	)		(7,537	)		(208,171	)
Increases (decreases) in operating liabilities
Due to brokers		2,053,750			18,085			2,389,591
Unrealized depreciation on forward foreign currency exchange contracts		17,987,248			(157,360	)		21,794,351
Unrealized depreciation on OTC swaps		9,047,945			(3,861	)		4,457,398
Deposits from brokers for exchange-traded and centrally cleared derivatives		393,510			—			372,736
Variation margin on exchange-traded and centrally cleared derivatives		360,239			82,987			936,517
Payable for securities purchased		166,869,155			8,186			123,429,196
Accrued investment advisory fees		1,887,276			17,499			2,502,658
Accrued Shareholder servicing fees		—			—			—
Accrued distribution fees—Class N		79,537			77			23,806
Accrued Trustees fees		(189	)		(29	)		(458	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		449,294			—			415,663
Interest payable for reverse repurchase agreements		—			3,956			—
Other accrued expenses and liabilities		299,839			(25,357	)		707,922
Net cash provided by (used in) operating activities	$	(951,438,087	)	$	(6,084,568	)	$	(1,980,665,745	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		2,842,449,999			32,318,382			3,285,831,397
Net change in reverse repurchase agreements		—			4,427,552			—
Payments on shares redeemed		(1,777,134,909	)		(30,442,981	)		(1,255,120,905	)
Cash distributions paid		(19,728,400	)		(219,727	)		(7,649,567	)
Due to custodian		(68,691,851	)		(13,813	)		—
Net cash provided by (used in) financing activities	$	976,894,839		$	6,069,413		$	2,023,060,925
Net change in cash and cash denominated in foreign currencies		25,456,752			(15,155	)		42,395,180
Cash, beginning of period		43,999,912			33,224			6,223,062
Cash, end of period	$	69,456,664		$	18,069		$	48,618,242

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $854,845, $67,763 and $4,711,171.

** 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 2016

315

Statements of Cash Flows December 31, 2016

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	982,909
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used) in operating activities:
Payments to purchase securities		(47,326,532	)
Payments to cover short securities		(19,101,692	)
Proceeds from sales of securities		13,317,360
Proceeds from securities sold short		47,362,334
(Purchases) sales of short-term investments, net		(174,031,056	)
Realized (gain) loss on investments in securities		2,068,059
Realized (gain) loss on securities sold short		1,873,107
Realized (gain) loss on paydowns		—
Change in unrealized (appreciation) depreciation on investments in securities		(3,580,609	)
Change in unrealized (appreciation) depreciation on securities sold short		495,578
Amortization (accretion) of bond premium (discount)		(444,819	)
(Increases) decreases in operating assets:
Due from brokers		(4,720,804	)
Unrealized appreciation on forward foreign currency exchange contracts		(884,289	)
Unrealized appreciation on OTC swaps		(8,609,261	)
Deposits with brokers for exchange-traded and centrally cleared derivatives		(5,473,098	)
Variation margin on exchange-traded and centrally cleared derivatives		(183,598	)
Receivable for securities sold		(1,896,679	)
Foreign tax reclaim		(64,834	)
Dividends and interest		(96,887	)
Prepaid expenses		(27,622	)
Increases (decreases) in operating liabilities
Due to brokers		375,291
Unrealized depreciation on forward foreign currency exchange contracts		1,265,625
Unrealized depreciation on OTC swaps		1,025,353
Variation margin on exchange-traded and centrally cleared derivatives		108,541
Payable for securities purchased		2,558,741
Accrued investment advisory fees		164,853
Accrued distribution fees—Class N		6,304
Accrued Trustees fees		(98	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		26,780
Other accrued expenses and liabilities		43,507
Net cash provided by (used in) operating activities	$	(194,767,536	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		433,359,100
Payments on shares redeemed		(237,459,820	)
Cash distributions paid		(12,196	)
Due to custodian		—
Net cash provided by (used in) financing activities	$	195,887,084
Net change in cash and cash denominated in foreign currencies		1,119,548
Cash, beginning of period		228,017
Cash, end of period	$	1,347,565

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $260,503.

** 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 2016

316

[Intentionally Left Blank]

Financial Highlights December 31, 2016

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1								Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains			Return of Capital			Total Distributions
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.21		0.07			0.61			0.68		(0.66)		—			—			(0.66)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		0.07			(0.55)			(0.48)		(0.45)		—			—			(0.45)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.91		0.23			(0.80)			(0.57)		(0.20)		—			—			(0.20)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.05		0.17			0.02			0.19		(0.18)		(0.06)			(0.09)			(0.33)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.89		0.10	6		0.24			0.34		(0.13)		(0.05)			—			(0.18)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.21		0.05			0.60			0.65		(0.63)		—			—			(0.63)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.10		0.03			(0.51)			(0.48)		(0.41)		—			—			(0.41)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.87		0.21			(0.81)			(0.60)		(0.17)		—			—			(0.17)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.01		0.13			0.04			0.17		(0.16)		(0.06)			(0.09)			(0.31)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.85		0.06	6		0.24			0.30		(0.09)		(0.05)			—			(0.14)
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.20		0.12			0.56			0.68		(0.67)		—			—			(0.67)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.13		0.09			(0.55)			(0.46)		(0.47)		—			—			(0.47)
FOR THE PERIOD 9/02/147—12/31/14		$11.00		0.16			(0.82)			(0.66)		(0.21)		—			—			(0.21)
AQR EQUITY MARKET NEUTRAL FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.48		(0.13)			0.80			0.67		(0.18)		(0.00)	8		—			(0.18)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.15)			1.91			1.76		(0.28)		(0.01)			—			(0.29)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.02)			0.62			0.60		(0.59)		—			(0.00)	8		(0.59)
AQR EQUITY MARKET NEUTRAL FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.47		(0.15)			0.77			0.62		(0.14)		(0.00)	8		—			(0.14)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.19)			1.94			1.75		(0.28)		(0.01)			—			(0.29)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.03)			0.62			0.59		(0.58)		—			(0.00)	8		(0.58)
AQR EQUITY MARKET NEUTRAL FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.49		(0.14)			0.81			0.67		(0.19)		(0.00)	8		—			(0.19)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.13)			1.90			1.77		(0.28)		(0.01)			—			(0.29)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.02)			0.62			0.60		(0.59)		—			(0.00)	8		(0.59)
AQR GLOBAL MACRO FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.11)			0.12	11		0.01		—		(0.55)			—			(0.55)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.15)			0.32			0.17		—		(0.51)			—			(0.51)
FOR THE PERIOD 4/08/1410—12/31/14		$10.00		(0.10)			0.06			(0.04)		—		(0.02)			—			(0.02)
AQR GLOBAL MACRO FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.55		(0.13)			0.12	11		(0.01)		—		(0.55)			—			(0.55)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.92		(0.16)			0.30			0.14		—		(0.51)			—			(0.51)
FOR THE PERIOD 4/08/1410—12/31/14		$10.00		(0.12)			0.06			(0.06)		—		(0.02)			—			(0.02)
AQR GLOBAL MACRO FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.10)			0.12	11		0.02		—		(0.55)			—			(0.55)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.14)			0.31			0.17		—		(0.51)			—			(0.51)
FOR THE PERIOD 9/02/147—12/31/14		$9.72		(0.04)			0.28			0.24		—		(0.02)			—			(0.02)

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

AQR Funds Annual Report December 2016

318

Financial Highlights December 31, 2016

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$9.23		7.51	%		$359,989		2.36	%		2.27	%		1.20	%		0.78	%		277	%
	$9.21		(4.67	)%		$772,394		2.44	%		2.42	%		1.19	%		0.71	%		249	%
	$10.14		(5.25	)%		$1,546,685		1.88	%		1.88	%		1.20	%		2.07	%		380	%
	$10.91		1.75	%		$1,876,481		1.64	%		1.64	%		1.20	%		1.52	%		349	%
	$11.05		3.13	%		$1,752,724		2.32	%		2.30	%		1.21	%		0.88	%6		312	%
	$9.23		7.15	%		$100,869		2.61	%		2.52	%		1.44	%		0.53	%		277	%
	$9.21		(4.75	)%		$183,029		2.69	%		2.67	%		1.45	%		0.32	%		249	%
	$10.10		(5.51	)%		$678,528		2.12	%		2.12	%		1.44	%		1.99	%		380	%
	$10.87		1.51	%		$836,355		1.88	%		1.88	%		1.44	%		1.21	%		349	%
	$11.01		2.83	%		$761,371		2.62	%		2.62	%		1.52	%		0.57	%6		312	%
	$9.21		7.52	%		$5,159		2.27	%		2.18	%		1.10	%		1.26	%		277	%
	$9.20		(4.55	)%		$866		2.36	%		2.33	%		1.10	%		0.92	%		249	%
	$10.13		(5.99	)%		$94		1.94	%		1.94	%		1.10	%		4.69	%		380	%
	$11.97		5.85	%		$790,179		2.13	%		2.13	%		1.28	%		(1.15	)%		227	%
	$11.48		17.60	%		$179,312		2.17	%9		1.90	%		1.25	%		(1.36	)%		383	%
	$10.01		5.93	%		$1,445		4.57	%9		1.63	%		1.30	%		(1.04	)%		152	%
	$11.95		5.43	%		$154,189		2.40	%		2.40	%		1.55	%		(1.27	)%		227	%
	$11.47		17.43	%		$89,755		2.41	%9		2.16	%		1.51	%		(1.69	)%		383	%
	$10.01		5.88	%		$1,233		4.83	%9		1.88	%		1.55	%		(1.29	)%		152	%
	$11.97		5.82	%		$177,683		2.05	%		2.05	%		1.20	%		(1.22	)%		227	%
	$11.49		17.72	%		$148		3.05	%9		1.85	%		1.20	%		(1.26	)%		383	%
	$10.01		5.95	%		$3,210		4.49	%9		1.53	%		1.20	%		(0.95	)%		152	%
	$9.06		0.02	%		$18,972		1.98	%		1.41	%		1.41	%		(1.12	)%		0	%
	$9.60		1.71	%		$31,453		1.78	%9		1.38	%		1.38	%		(1.45	)%		0	%
	$9.94		(0.42	)%		$35,466		2.24	%9		1.45	%		1.45	%		(1.44	)%		0	%
	$8.99		(0.19	)%		$3,217		2.17	%		1.65	%		1.65	%		(1.35	)%		0	%
	$9.55		1.41	%		$20,838		1.88	%9		1.70	%		1.70	%		(1.56	)%		0	%
	$9.92		(0.62	)%		$1,050		2.49	%9		1.70	%		1.70	%		(1.69	)%		0	%
	$9.07		0.14	%		$4,374		1.95	%		1.35	%		1.35	%		(1.09	)%		0	%
	$9.60		1.71	%		$104		1.72	%9		1.35	%		1.35	%		(1.41	)%		0	%
	$9.94		2.45	%		$102		2.02	%9		1.35	%		1.35	%		(1.37	)%		0	%

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

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Financial Highlights December 31, 2016

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1						Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss)		Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Return of Capital		Total Distributions
AQR LONG-SHORT EQUITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.12		(0.14)		1.48		1.34		(0.24)		(0.15)		—		(0.39)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15)		2.00		1.85		(0.58)		(0.02)		—		(0.60)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.14)		1.67		1.53		(0.74)		(0.10)		(0.03)		(0.87)
FOR THE PERIOD 7/16/1310—12/31/13		$10.00		(0.06)		1.17		1.11		(0.67)		(0.23)		—		(0.90)
AQR LONG-SHORT EQUITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.07		(0.17)		1.47		1.30		(0.22)		(0.15)		—		(0.37)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.84		(0.19)		2.01		1.82		(0.57)		(0.02)		—		(0.59)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.20)		1.70		1.50		(0.74)		(0.10)		(0.03)		(0.87)
FOR THE PERIOD 7/16/1310—12/31/13		$10.00		(0.07)		1.17		1.10		(0.66)		(0.23)		—		(0.89)
AQR LONG-SHORT EQUITY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.13		(0.14)		1.49		1.35		(0.25)		(0.15)		—		(0.40)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15)		2.02		1.87		(0.59)		(0.02)		—		(0.61)
FOR THE PERIOD 9/02/147—12/31/14		$11.05		(0.08)		0.78		0.70		(0.75)		(0.10)		(0.03)		(0.88)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.76		(0.11)		0.09		(0.02)		(0.08)		(0.16)		—		(0.24)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.76		(0.15)		1.05		0.90		(0.74)		(0.16)		—		(0.90)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.78		(0.14)		0.85		0.71		(0.73)		—		—		(0.73)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.90		(0.17)		0.61		0.44		(0.44)		(0.12)		—		(0.56)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.70		(0.17)		0.40		0.23		(0.01)		(0.02)		—		(0.03)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.74		(0.13)		0.08		(0.05)		(0.08)		(0.16)		—		(0.24)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.74		(0.17)		1.05		0.88		(0.72)		(0.16)		—		(0.88)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.76		(0.17)		0.85		0.68		(0.70)		—		—		(0.70)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.89		(0.20)		0.61		0.41		(0.42)		(0.12)		—		(0.54)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.69		(0.23)		0.45		0.22		—		(0.02)		—		(0.02)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.76		(0.09)		0.08		(0.01)		(0.08)		(0.16)		—		(0.24)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.75		(0.13)		1.05		0.92		(0.75)		(0.16)		—		(0.91)
FOR THE PERIOD 9/02/147—12/31/14		$9.88		(0.11)		0.71		0.60		(0.73)		—		—		(0.73)

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

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Financial Highlights December 31, 2016

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$13.07		11.09	%		$1,799,994		1.99	%		1.99	%		1.28	%		(1.12	)%		247	%
	$12.12		17.04	%		$452,667		1.86	%		1.81	%		1.27	%		(1.28	)%		303	%
	$10.87		14.91	%		$43,667		2.34	%		1.30	%		1.30	%		(1.26	)%		0	%
	$10.21		11.17	%		$5,246		3.56	%9		1.30	%		1.30	%		(1.29	)%		0	%
	$13.00		10.80	%		$287,362		2.25	%		2.25	%		1.54	%		(1.39	)%		247	%
	$12.07		16.79	%		$90,141		2.12	%		2.07	%		1.53	%		(1.58	)%		303	%
	$10.84		14.55	%		$10,688		2.46	%		1.55	%		1.55	%		(1.81	)%		0	%
	$10.21		11.04	%		$910		5.49	%9		1.55	%		1.55	%		(1.54	)%		0	%
	$13.08		11.13	%		$452,452		1.90	%		1.90	%		1.19	%		(1.07	)%		247	%
	$12.13		17.16	%		$16,200		1.77	%		1.74	%		1.20	%		(1.21	)%		303	%
	$10.87		6.19	%		$427		1.99	%		1.20	%		1.20	%		(2.21	)%		0	%
	$9.50		(0.20	)%		$2,405,511		2.47	%		2.47	%		1.97	%		(1.10	)%		261	%
	$9.76		9.25	%		$2,284,285		2.41	%		2.41	%		1.97	%		(1.44	)%		208	%
	$9.76		7.31	%		$1,443,799		3.67	%		3.65	%		1.98	%		(1.46	)%		204	%
	$9.78		4.46	%		$1,453,977		3.37	%		3.34	%		1.98	%		(1.67	)%		137	%
	$9.90		2.36	%		$808,262		3.60	%		3.52	%		1.98	%		(1.73	)%		208	%
	$9.45		(0.51	)%		$469,478		2.73	%		2.73	%		2.23	%		(1.31	)%		261	%
	$9.74		9.02	%		$103,504		2.68	%		2.67	%		2.23	%		(1.66	)%		208	%
	$9.74		7.03	%		$84,480		3.96	%		3.91	%		2.23	%		(1.75	)%		204	%
	$9.76		4.16	%		$74,641		3.66	%		3.59	%		2.23	%		(1.95	)%		137	%
	$9.89		2.22	%		$43,104		3.93	%		3.76	%		2.23	%		(2.32	)%		208	%
	$9.51		(0.10	)%		$622,862		2.38	%		2.38	%		1.88	%		(0.94	)%		261	%
	$9.76		9.44	%		$100,959		2.33	%		2.32	%		1.88	%		(1.29	)%		208	%
	$9.75		6.19	%		$35,228		3.21	%		3.14	%		1.88	%		(3.41	)%		204	%

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

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Financial Highlights December 31, 2016

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1								Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Total Distributions
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.62		(0.04)			0.97			0.93		(0.30)		—		(0.30)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.98		(0.05)			(1.31)			(1.36)		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.29		(0.08)			(1.23)			(1.31)		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.87		(0.09)			(1.49)			(1.58)		—		—		—
FOR THE PERIOD 7/09/1210—12/31/12		$10.00		(0.05)			(0.08)			(0.13)		—		—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.57		(0.06)			0.96			0.90		(0.29)		—		(0.29)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.94		(0.08)			(1.29)			(1.37)		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.27		(0.11)			(1.22)			(1.33)		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.86		(0.11)			(1.48)			(1.59)		—		—		—
FOR THE PERIOD 7/09/1210—12/31/12		$10.00		(0.06)			(0.08)			(0.14)		—		—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.63		(0.04)			0.97			0.93		(0.30)		—		(0.30)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.99		(0.05)			(1.31)			(1.36)		—		—		—
FOR THE PERIOD 9/02/147—12/31/14		$8.60		(0.02)			(1.59)			(1.61)		—		—		—
AQR RISK PARITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.09		(0.02)			0.94			0.92		(0.24)		(0.43)		(0.67)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.07)			(0.75)			(0.82)		—		(0.23)		(0.23)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.77		(0.04)			0.81			0.77		(0.30)		(1.10)		(1.40)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.49		(0.07)			0.08	11		0.01		(0.27)		(0.46)		(0.73)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.62		—			1.49			1.49		(0.14)		(0.48)		(0.62)
AQR RISK PARITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.08		(0.04)			0.92			0.88		(0.21)		(0.43)		(0.64)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.10)			(0.73)			(0.83)		—		(0.23)		(0.23)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.76		(0.07)			0.80			0.73		(0.25)		(1.10)		(1.35)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.47		(0.11)			0.08	11		(0.03)		(0.22)		(0.46)		(0.68)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.59		(0.03)			1.50			1.47		(0.11)		(0.48)		(0.59)
AQR RISK PARITY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.10		(0.04)			0.95			0.91		(0.24)		(0.43)		(0.67)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.04)			(0.77)			(0.81)		—		(0.23)		(0.23)
FOR THE PERIOD 9/02/147—12/31/14		$12.01		(0.04)			(0.43)	11		(0.47)		(0.30)		(1.10)		(1.40)
AQR RISK PARITY II HV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.79		(0.02)			1.01			0.99		(0.12)		(0.24)		(0.36)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.08)			(1.19)			(1.27)		(0.03)		(0.46)		(0.49)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.87		(0.03)			0.95			0.92		(0.06)		(1.18)		(1.24)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.21		(0.06)			(0.23)			(0.29)		(0.03)		(0.02)		(0.05)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		0.01			0.23			0.24		(0.03)		—		(0.03)
AQR RISK PARITY II HV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.80		(0.04)			1.00			0.96		(0.09)		(0.24)		(0.33)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.56		(0.10)			(1.20)			(1.30)		—		(0.46)		(0.46)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.86		(0.04)			0.93			0.89		(0.01)		(1.18)		(1.19)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.23		(0.09)			(0.23)			(0.32)		(0.03)		(0.02)		(0.05)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		(0.01)			0.25			0.24		(0.01)		—		(0.01)
AQR RISK PARITY II HV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.78		(0.00)	8		0.99			0.99		(0.12)		(0.24)		(0.36)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.03)			(1.25)			(1.28)		(0.03)		(0.46)		(0.49)
FOR THE PERIOD 9/02/147—12/31/14		$11.37		(0.05)			(0.53)	11		(0.58)		(0.06)		(1.18)		(1.24)

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

AQR Funds Annual Report December 2016

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Financial Highlights December 31, 2016

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$6.25		16.58	%		$93,849		1.04	%		0.96	%		0.96	%		(0.65	)%		0	%
	$5.62		(19.48	)%		$71,321		1.14	%		0.94	%		0.94	%		(0.88	)%		0	%
	$6.98		(15.80	)%		$46,443		1.34	%		1.01	%		1.01	%		(1.00	)%		0	%
	$8.29		(16.01	)%		$28,375		1.32	%		1.05	%		1.05	%		(1.05	)%		0	%
	$9.87		(1.30	)%		$63,331		1.72	%		1.05	%		1.05	%		(1.04	)%		0	%
	$6.18		16.16	%		$7,214		1.33	%		1.25	%		1.25	%		(0.97	)%		0	%
	$5.57		(19.74	)%		$2,083		1.48	%		1.25	%		1.25	%		(1.21	)%		0	%
	$6.94		(16.08	)%		$4,764		1.59	%		1.26	%		1.26	%		(1.25	)%		0	%
	$8.27		(16.13	)%		$3,861		1.70	%		1.30	%		1.30	%		(1.28	)%		0	%
	$9.86		(1.40	)%		$2,206		4.00	%		1.30	%		1.30	%		(1.30	)%		0	%
	$6.26		16.61	%		$102,156		0.98	%		0.90	%		0.90	%		(0.63	)%		0	%
	$5.63		(19.46	)%		$29,122		1.11	%		0.90	%		0.90	%		(0.85	)%		0	%
	$6.99		(18.72	)%		$15,482		1.31	%		0.90	%		0.90	%		(0.89	)%		0	%
	$9.34		10.10	%		$349,335		0.94	%		0.92	%		0.92	%		(0.22	)%		72	%
	$9.09		(8.10	)%		$492,977		0.94	%		0.93	%		0.93	%		(0.71	)%		157	%
	$10.14		7.04	%		$583,927		0.90	%		0.90	%		0.90	%		(0.34	)%		94	%
	$10.77		0.12	%		$855,024		0.89	%		0.89	%		0.88	%		(0.64	)%		167	%
	$11.49		14.05	%		$868,661		0.95	%		0.95	%		0.95	%		(0.03	)%		72	%
	$9.32		9.66	%		$17,027		1.21	%		1.19	%		1.19	%		(0.46	)%		72	%
	$9.08		(8.20	)%		$22,005		1.19	%		1.18	%		1.18	%		(0.96	)%		157	%
	$10.14		6.69	%		$36,232		1.20	%		1.20	%		1.20	%		(0.65	)%		94	%
	$10.76		(0.23	)%		$79,026		1.20	%		1.20	%		1.20	%		(0.92	)%		167	%
	$11.47		13.89	%		$170,953		1.23	%		1.20	%		1.20	%		(0.26	)%		72	%
	$9.34		10.06	%		$33,987		0.88	%		0.85	%		0.85	%		(0.42	)%		72	%
	$9.10		(8.00	)%		$2,796		0.86	%		0.85	%		0.85	%		(0.37	)%		157	%
	$10.14		(3.96	)%		$96		0.86	%		0.85	%		0.85	%		(0.99	)%		94	%
	$8.42		12.77	%		$46,127		1.61	%		1.23	%		1.11	%		(0.26	)%		68	%
	$7.79		(13.33	)%		$40,890		1.43	%		1.13	%		1.08	%		(0.83	)%		184	%
	$9.55		9.23	%		$42,279		1.54	%		1.20	%		1.15	%		(0.28	)%		108	%
	$9.87		(2.83	)%		$17,577		1.85	%		1.23	%		1.15	%		(0.62	)%		257	%
	$10.21		2.44	%		$16,254		2.26	%		1.28	%		1.15	%		0.53	%		0	%
	$8.43		12.47	%		$6,583		1.89	%		1.52	%		1.39	%		(0.51	)%		68	%
	$7.80		(13.64	)%		$5,493		1.77	%		1.45	%		1.40	%		(1.04	)%		184	%
	$9.56		9.02	%		$7,834		1.86	%		1.45	%		1.40	%		(0.37	)%		108	%
	$9.86		(3.12	)%		$8,652		2.22	%		1.48	%		1.40	%		(0.84	)%		257	%
	$10.23		2.38	%		$5,805		3.44	%		1.53	%		1.40	%		(0.62	)%		0	%
	$8.41		12.85	%		$2,836		1.55	%		1.17	%		1.05	%		(0.06	)%		68	%
	$7.78		(13.42	)%		$2,413		1.43	%		1.11	%		1.05	%		(0.36	)%		184	%
	$9.55		(5.10	)%		$95		1.47	%		1.10	%		1.05	%		(1.49	)%		108	%

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

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Financial Highlights December 31, 2016

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1							Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains			Total Distributions
AQR RISK PARITY II MV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.51		(0.02)		0.84			0.82		(0.09)		(0.26)			(0.35)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.90		(0.08)		(0.79)			(0.87)		(0.02)		(0.50)			(0.52)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.02		(0.04)		0.65			0.61		(0.02)		(0.71)			(0.73)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.17		(0.06)		(0.08)			(0.14)		(0.01)		(0.00)	8		(0.01)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		—		0.19			0.19		(0.02)		—			(0.02)
AQR RISK PARITY II MV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.49		(0.04)		0.82			0.78		(0.06)		(0.26)			(0.32)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.10)		(0.78)			(0.88)		—		(0.50)			(0.50)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.99		(0.06)		0.65			0.59		—		(0.71)			(0.71)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.18		(0.07)		(0.11)			(0.18)		(0.01)		(0.00)	8		(0.01)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		—		0.18			0.18		—		—			—
AQR RISK PARITY II MV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.51		(0.01)		0.83			0.82		(0.10)		(0.26)			(0.36)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.89		(0.07)		(0.78)			(0.85)		(0.03)		(0.50)			(0.53)
FOR THE PERIOD 9/02/147—12/31/14		$11.00		(0.04)		(0.33)	11		(0.37)		(0.03)		(0.71)			(0.74)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.14		(0.12)		0.07			(0.05)		(0.17)		—			(0.17)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.86		(0.14)		1.01			0.87		(0.56)		(0.03)			(0.59)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.10)		1.24			1.14		(1.16)		(0.30)			(1.46)
FOR THE PERIOD 10/30/1310—12/31/13		$10.00		(0.03)		0.44			0.41		(0.20)		(0.03)			(0.23)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.14		(0.15)		0.07			(0.08)		(0.17)		—			(0.17)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.17)		1.02			0.85		(0.55)		(0.03)			(0.58)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.16)		1.28			1.12		(1.13)		(0.30)			(1.43)
FOR THE PERIOD 10/30/1310—12/31/13		$10.00		(0.04)		0.45			0.41		(0.20)		(0.03)			(0.23)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.15		(0.11)		0.07			(0.04)		(0.17)		—			(0.17)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.14)		1.02			0.88		(0.57)		(0.03)			(0.60)
FOR THE PERIOD 9/02/147—12/31/14		$10.35		(0.07)		0.86			0.79		(1.16)		(0.11)			(1.27)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.39		(0.06)		0.13			0.07		(0.03)		(0.02)			(0.05)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.18		(0.08)		0.49			0.41		(0.17)		(0.03)			(0.20)
FOR THE PERIOD 9/17/1410—12/31/14		$10.00		(0.02)		0.32			0.30		(0.09)		(0.03)			(0.12)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.39		(0.08)		0.11			0.03		(0.03)		(0.02)			(0.05)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.09)		0.48			0.39		(0.14)		(0.03)			(0.17)
FOR THE PERIOD 9/17/1410—12/31/14		$10.00		(0.03)		0.32			0.29		(0.09)		(0.03)			(0.12)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.40		(0.05)		0.12			0.07		(0.03)		(0.02)			(0.05)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.05)		0.48			0.43		(0.17)		(0.03)			(0.20)
FOR THE PERIOD 9/17/1410—12/31/14		$10.00		(0.01)		0.31			0.30		(0.10)		(0.03)			(0.13)

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

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Financial Highlights December 31, 2016

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$8.98		9.66	%		$78,873		1.15	%		0.94	%		0.94	%		(0.24	)%		58	%
	$8.51		(8.77	)%		$85,918		1.10	%		0.93	%		0.93	%		(0.80	)%		159	%
	$9.90		6.04	%		$106,473		1.12	%		0.95	%		0.95	%		(0.34	)%		128	%
	$10.02		(1.32	)%		$37,848		1.18	%		0.95	%		0.95	%		(0.61	)%		234	%
	$10.17		1.87	%		$29,993		2.07	%		0.95	%		0.95	%		0.18	%		0	%
	$8.95		9.25	%		$5,659		1.41	%		1.20	%		1.20	%		(0.41	)%		58	%
	$8.49		(8.94	)%		$4,242		1.38	%		1.20	%		1.20	%		(0.99	)%		159	%
	$9.87		5.87	%		$7,795		1.44	%		1.20	%		1.20	%		(0.54	)%		128	%
	$9.99		(1.71	)%		$9,397		1.59	%		1.20	%		1.20	%		(0.71	)%		234	%
	$10.18		1.80	%		$2,259		2.81	%		1.20	%		1.20	%		(0.29	)%		0	%
	$8.97		9.64	%		$608		1.07	%		0.85	%		0.85	%		(0.06	)%		58	%
	$8.51		(8.59	)%		$99		1.03	%		0.85	%		0.85	%		(0.68	)%		159	%
	$9.89		(3.44	)%		$97		1.03	%		0.85	%		0.85	%		(1.13	)%		128	%
	$9.92		(0.47	)%		$2,263,101		2.26	%		2.24	%		1.49	%		(1.20	)%		114	%
	$10.14		8.76	%		$1,341,232		2.29	%		2.25	%		1.48	%		(1.39	)%		138	%
	$9.86		11.30	%		$387,666		2.56	%		2.56	%		1.50	%		(0.95	)%		145	%
	$10.18		4.08	%		$403,243		2.11	%9		2.07	%		1.50	%		(1.77	)%		133	%
	$9.89		(0.76	)%		$188,647		2.53	%		2.50	%		1.75	%		(1.46	)%		114	%
	$10.14		8.50	%		$92,947		2.56	%		2.52	%		1.75	%		(1.65	)%		138	%
	$9.87		11.08	%		$26,594		2.92	%		2.81	%		1.75	%		(1.50	)%		145	%
	$10.18		4.05	%		$15,972		2.70	%9		2.44	%		1.75	%		(2.05	)%		133	%
	$9.94		(0.37	)%		$1,349,866		2.18	%		2.15	%		1.40	%		(1.08	)%		114	%
	$10.15		8.80	%		$394,568		2.21	%		2.17	%		1.40	%		(1.37	)%		138	%
	$9.87		7.67	%		$74,872		2.57	%		2.46	%		1.40	%		(1.94	)%		145	%
	$10.41		0.65	%		$251,496		1.22	%		1.19	%		0.83	%		(0.54	)%		106	%
	$10.39		4.02	%		$152,172		1.46	%		1.11	%		0.79	%		(0.80	)%		213	%
	$10.18		3.07	%		$28,094		1.49	%9		1.01	%		0.85	%		(0.68	)%		191	%
	$10.37		0.26	%		$42,514		1.48	%		1.45	%		1.10	%		(0.78	)%		106	%
	$10.39		3.85	%		$13,444		1.90	%		1.41	%		1.09	%		(0.91	)%		213	%
	$10.17		2.94	%		$8,577		1.92	%9		1.32	%		1.10	%		(0.91	)%		191	%
	$10.42		0.65	%		$90,570		1.14	%		1.11	%		0.75	%		(0.45	)%		106	%
	$10.40		4.23	%		$22,176		1.57	%		1.08	%		0.75	%		(0.50	)%		213	%
	$10.17		2.98	%		$23,695		1.75	%9		1.00	%		0.75	%		(0.32	)%		191	%

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

AQR Funds Annual Report December 2016

325

Financial Highlights December 31, 2016

  * Annualized for periods less than one year.

  ¹ Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  ² Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

  ³ Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

  ⁴ Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  ⁵ Portfolio turnover is not annualized.

  ⁶ For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Diversified Arbitrage Fund—Class I		$0.08		0.73	%
AQR Diversified Arbitrage Fund—Class N		0.04		0.42

  ⁷ Commencement of offering of shares.

  ⁸ Amount is less than $.005 per share.

  ⁹ Certain expenses incurred by the Fund were not annualized for the period.

¹⁰  Commencement of operations.

¹¹  The amount shown for a share outstanding throughout the period is not indicative of the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.

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

AQR Funds Annual Report December 2016

326

Notes to Financial Statements December 31, 2016

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2016, the Trust consists of thirty-seven active series, eleven of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (the “Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.

The investment objective of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each fund offers Class I, Class N and Class R6 shares.

The following Funds are closed to new investors, subject to certain exceptions: AQR Diversified Arbitrage Fund, AQR Multi-Strategy Alternative Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows, where applicable, and Financial Highlights of the AQR Global Macro Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“Consolidated Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	INCEPTION DATE OF SUBSIDIARY		SUBSIDIARY NET ASSETS AT DECEMBER 31, 2016		% OF TOTAL NET ASSETS AT DECEMBER 31, 2016			NET REALIZED GAIN(LOSS) ON INVESTMENTS HELD IN SUBSIDIARY
AQR Global Macro Offshore Fund Ltd		April 8, 2014	$	6,194,010		23.3	%	$	(137,660	)
AQR Multi-Strategy Alternative Offshore Fund Ltd.		July 18, 2011		560,291,218		16.0	%		(17,792,932	)
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd.		July 9, 2012		46,270,302		22.8	%		21,083,246
AQR Risk Parity Offshore Fund Ltd.		September 29, 2010		80,291,124		20.1	%		4,129,447
AQR Risk Parity II HV Offshore Fund Ltd.		November 5, 2012		12,784,519		23.0	%		809,724
AQR Risk Parity II MV Offshore Fund Ltd.		November 5, 2012		12,496,046		14.7	%		974,086
AQR Style Premia Alternative Offshore Fund Ltd.		October 30, 2013		876,506,363		23.1	%		30,084,847
AQR Style Premia Alternative LV Offshore Fund Ltd.		September 17, 2014		88,200,758		22.9	%		1,595,729

3. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

AQR Funds Annual Report December 2016

327

Notes to Financial Statements December 31, 2016

Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

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

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

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

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

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.

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The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of December 31, 2016, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Internal Revenue Code of 1986 (“the Code”) and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on the Funds’ financial statements presented under GAAP.

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.

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

4. Securities and Other Investments

Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if they had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuer’s common stock. The premiums attributable to the conversion feature are not amortized.

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

Inflation-Indexed Bonds: Certain Funds may invest in Inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.

Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.

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The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded loan commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.

As of December 31, 2016, AQR Diversified Arbitrage Fund’s unfunded commitment was as follows:

BORROWER	COMMITMENT AMOUNT
DEMC, Ltd., Class A-2	$443,728

The fund has no unrealized gain or loss on the unfunded commitment.

Defaulted Securities and Distressed Investments: Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Fund may invest in distressed investments, which are issued by companies that are, or might be, involved in reorganizations or financial restructurings, either out of court or in bankruptcy.

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

The Funds are required to pledge cash or liquid securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Daily market fluctuations and trading activity could cause the value of securities sold short to be more or less than the value of the collateral segregated. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.

The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:

FUND
AQR Diversified Arbitrage Fund	$	1,457,762
AQR Equity Market Neutral Fund		740,777
AQR Long-Short Equity Fund		1,077,986
AQR Multi-Strategy Alternative Fund		565,410
AQR Style Premia Alternative Fund		2,245,965
AQR Style Premia Alternative LV Fund		159,241

Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures

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commission merchant that holds margin on behalf of the Funds, the Funds may not receive the return of the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Total Return Basket Swaps: Certain Funds may enter into an equity basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any realized gains (losses) on positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains (losses) on swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

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

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event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations.

Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are included within each Fund’s Schedule of Investments.

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.

The collateral held in relation to the repurchase agreements and reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities with a maturity of up to 30 days in the amount of $10,523,380 for AQR Risk Parity II HV Fund.

Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received)

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is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.

Transactions in call and put options written during the period for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund were as follows:

	CALL OPTIONS
AQR DIVERSIFIED ARBITRAGE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2015		(4,796	)	$	(2,216,380	)
Options written		(661	)		(66,221	)
Options terminated		—			—
Options expired		5,032			2,232,540
Options exercised		425			50,061
Options outstanding, December 31, 2016		—		$	—
	PUT OPTIONS
AQR DIVERSIFIED ARBITRAGE FUND	NUMBER OF CONTRACTS SUBJECT TO PUT			PREMIUM
Options outstanding, December 31, 2015		(67	)	$	(172,051	)
Options written		—			—
Options terminated		—			—
Options expired		—			—
Options exercised		67			172,051
Options outstanding, December 31, 2016		—		$	—
	CALL OPTIONS
AQR MULTI-STRATEGY ALTERNATIVE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2015		—		$	—
Options written		(4,848	)		(4,845,184	)
Options terminated		—			—
Options expired		2,411			115,131
Options exercised		2,026			2,583,867
Options outstanding, December 31, 2016		(411	)	$	(2,146,186	)

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.

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Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.

Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for exchange-traded and centrally cleared derivatives on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on exchange-traded and centrally cleared derivatives. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.

Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.

Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.

Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.

5. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).

The Board has delegated responsibility for applying approved valuation policies to the Adviser, subject to Board oversight. The Adviser has established a Valuation Committee (the “VC”) whose function is to administer, implement and oversee the continual appropriateness of valuation methods applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.

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Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed. These differences could be material.

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

Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, in which each security trades and are therefore classified Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the of the fair value hierarchy.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available.

Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.

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The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are fair valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

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Notes to Financial Statements December 31, 2016

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR DIVERSIFIED ARBITRAGE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	117,115,539		$	35,784,588		$	6,494,137		$	159,394,264
Convertible Preferred Stocks		37,489,885			6,182,020			—			43,671,905
Corporate Bonds		—			14,124,625			2,390,940			16,515,565
Convertible Bonds		—			196,038,876			782,139			196,821,015
Closed End Funds		16,324,718			—			—			16,324,718
Loan Participations		—			—			828,404			828,404
Preferred Stocks		2,258,088			—			692,778			2,950,866
Rights		395,542			113,925			567,662			1,077,129
Securities in Litigation		—			—			452,769			452,769
Warrants		10,441,205			3,931,835			17,778			14,390,818
Short-Term Investments		—			165,003,442			—			165,003,442
Futures Contracts*		345,666			—			—			345,666
Forward Foreign Currency Exchange Contracts*		—			200,495			—			200,495
Total Return Basket Swaps Contracts*		—			5,878,391			432,995			6,311,386
Total Assets	$	184,370,643		$	427,258,197		$	12,659,602		$	624,288,442
LIABILITIES
Common Stocks (Sold Short)	$	(178,667,347	)	$	(180,446	)	$	(402	)	$	(178,848,195	)
Convertible Bonds (Sold Short)		—			(2,871,969	)		—			(2,871,969	)
Exchange Traded Funds (Sold Short)		(2,299,670	)		—			—			(2,299,670	)
Forward Foreign Currency Exchange Contracts*		—			(4,093	)		—			(4,093	)
Credit Default Swap Contracts*		—			(1,312,181	)		—			(1,312,181	)
Total Return Basket Swaps Contracts*		—			(505,454	)		—			(505,454	)
Total Liabilities	$	(180,967,017	)	$	(4,874,143	)	$	(402	)	$	(185,841,562	)
AQR EQUITY MARKET NEUTRAL FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	41,549,666		$	306,262,346		$	—		$	347,812,012
Preferred Stock†		—			2,669,705			—			2,669,705
Short-Term Investments		—			989,182,541			—			989,182,541
Forward Foreign Currency Exchange Contracts*		—			720,869			—			720,869
Total Return Basket Swaps Contracts*		—			72,524,694			—			72,524,694
Total Assets	$	41,549,666		$	1,371,360,155		$	—		$	1,412,909,821
LIABILITIES
Common Stocks (Sold Short)†	$	(42,082,504	)	$	(258,269,366	)	$	—		$	(300,351,870	)
Preferred Stocks (Sold Short)†		—			(7,394,179	)		—			(7,394,179	)
Forward Foreign Currency Exchange Contracts*		—			(42,312	)		—			(42,312	)
Total Return Basket Swaps Contracts*		—			(1,009,453	)		—			(1,009,453	)
Total Liabilities	$	(42,082,504	)	$	(266,715,310	)	$	—		$	(308,797,814	)

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AQR GLOBAL MACRO FUND	LEVEL 1			LEVEL 2			LEVEL 3				TOTALS
ASSETS
Short-Term Investments	$	—		$	22,559,776		$	—			$	22,559,776
Futures Contracts*		228,735			—			—				228,735
Forward Foreign Currency Exchange Contracts*		—			520,813			—				520,813
Interest Rate Swap Contracts*		—			67,690			—				67,690
Total Return Swap Contracts*		—			88,430			—				88,430
Total Assets	$	228,735		$	23,236,709		$	—			$	23,465,444
LIABILITIES
Futures Contracts*	$	(212,539	)	$	—		$	—			$	(212,539	)
Forward Foreign Currency Exchange Contracts*		—			(549,829	)		—				(549,829	)
Interest Rate Swap Contracts*		—			(1,643	)		—				(1,643	)
Total Return Swap Contracts*		—			(66,667	)		—				(66,667	)
Total Liabilities	$	(212,539	)	$	(618,139	)	$	—			$	(830,678	)
AQR LONG-SHORT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3				TOTALS
ASSETS
Common Stocks†	$	85,297,374		$	628,473,124		$	—			$	713,770,498
Preferred Stock†		—			6,665,751			—				6,665,751
Short-Term Investments		—			2,278,058,111			—				2,278,058,111
Futures Contracts*		2,973,512			—			—				2,973,512
Forward Foreign Currency Exchange Contracts*		—			211,457			—				211,457
Total Return Basket Swap Contracts*		—			103,502,594			—				103,502,594
Total Return Swap Contracts*		—			918,983			—				918,983
Total Assets	$	88,270,886		$	3,017,830,020		$	—			$	3,106,100,906
LIABILITIES
Common Stocks (Sold Short)†	$	(86,495,755	)	$	(551,708,487	)	$	—			$	(638,204,242	)
Preferred Stocks (Sold Short)†		—			(15,022,630	)		—		��		(15,022,630	)
Forward Foreign Currency Exchange Contracts*		—			(6,106,825	)		—				(6,106,825	)
Total Return Basket Swap Contracts*		—			(3,150,302	)		—				(3,150,302	)
Total Return Swap Contracts*		—			(487	)		—				(487	)
Total Liabilities	$	(86,495,755	)	$	(575,988,731	)	$	—			$	(662,484,486	)
AQR MULTI-STRATEGY ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3				TOTALS
ASSETS
Common Stocks†	$	313,076,196		$	9,406,496		$	—			$	322,482,692
Convertible Preferred Stocks†		344,800,991			59,309,493			—				404,110,484
Corporate Bond†		—			—			—	(a)			—	(a)
Convertible Bonds†		—			631,082,946			8,192,575				639,275,521
Short-Term Investments		—			1,751,817,854			—				1,751,817,854
Futures Contracts*		17,016,662			—			—				17,016,662
Forward Foreign Currency Exchange Contracts*		—			34,028,247			—				34,028,247
Credit Default Swap Contracts*		—			23,502,491			—				23,502,491
Total Return Basket Swaps Contracts*		—			205,990,335			—				205,990,335
Total Return Swaps Contracts*		—			7,833,195			—				7,833,195
Total Assets	$	674,893,849		$	2,722,971,057		$	8,192,575			$	3,406,057,481
LIABILITIES
Common Stocks (Sold Short)†	$	(849,269,574	)	$	(17,854,090	)	$	—			$	(867,123,664	)
Convertible Bonds (Sold Short)†		—			(16,955,969	)		—				(16,955,969	)
Written Options (Sold Short)*		(3,779,145	)		—			—				(3,779,145	)
Futures Contracts*		(4,386,880	)		—			—				(4,386,880	)
Forward Foreign Currency Exchange Contracts*		—			(40,523,418	)		—				(40,523,418	)
Total Return Basket Swaps Contracts*		—			(5,036,187	)		(71,858	)			(5,108,045	)
Total Return Swaps Contracts*		—			(17,849,118	)		—				(17,849,118	)
Total Liabilities	$	(857,435,599	)	$	(98,218,782	)	$	(71,858	)		$	(955,726,239	)

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AQR RISK-BALANCED COMMODITIES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
Short-Term Investments	$	—		$	179,669,052		$	—	$	179,669,052
Futures Contracts*		5,898,408			—			—		5,898,408
Total Return Swap Contracts*		—			2,560,639			—		2,560,639
Total Assets	$	5,898,408		$	182,229,691		$	—	$	188,128,099
LIABILITIES
Futures Contracts*	$	(7,982,151	)	$	—		$	—	$	(7,982,151	)
Total Return Swap Contracts*		—			(2,570,301	)		—		(2,570,301	)
Total Liabilities	$	(7,982,151	)	$	(2,570,301	)	$	—	$	(10,552,452	)
AQR RISK PARITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	62,109,540		$	—	$	62,109,540
U.S. Treasury Obligations		—			84,643,685			—		84,643,685
Short-Term Investments		—			224,803,154			—		224,803,154
Futures Contracts*		2,374,470			—			—		2,374,470
Forward Foreign Currency Exchange Contracts*		—			2,318,711			—		2,318,711
Interest Rate Swap Contracts*		—			53,336			—		53,336
Credit Default Swap Contracts*		—			11,750,167			—		11,750,167
Total Return Swap Contracts*		—			1,098,953			—		1,098,953
Total Assets	$	2,374,470		$	386,777,546		$	—	$	389,152,016
LIABILITIES
Futures Contracts*	$	(1,845,906	)	$	—		$	—	$	(1,845,906	)
Forward Foreign Currency Exchange Contracts*		—			(597,306	)		—		(597,306	)
Interest Rate Swap Contracts*		—			(2,811,339	)		—		(2,811,339	)
Total Return Swap Contracts*		—			(436,568	)		—		(436,568	)
Total Liabilities	$	(1,845,906	)	$	(3,845,213	)	$	—	$	(5,691,119	)
AQR RISK PARITY II HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	13,219,990		$	—	$	13,219,990
U.S. Treasury Obligations		—			18,198,297			—		18,198,297
Short-Term Investments		—			32,865,230			—		32,865,230
Futures Contracts*		696,468			—			—		696,468
Forward Foreign Currency Exchange Contracts*		—			199,436			—		199,436
Total Return Swap Contracts*		—			281,267			—		281,267
Total Assets	$	696,468		$	64,764,220		$	—	$	65,460,688
LIABILITIES
Reverse Repurchase Agreements (Sold Short)	$	—		$	(13,660,587	)	$	—	$	(13,660,587	)
Futures Contracts*		(480,851	)		—			—		(480,851	)
Forward Foreign Currency Exchange Contracts*		—			(659	)		—		(659	)
Total Return Swap Contracts*		—			(136,857	)		—		(136,857	)
Total Liabilities	$	(480,851	)	$	(13,798,103	)	$	—	$	(14,278,954	)

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AQR RISK PARITY II MV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Foreign Government Securities	$	—		$	12,539,751		$	—		$	12,539,751
U.S. Treasury Obligations		—			17,595,323			—			17,595,323
Short-Term Investments		—			47,882,955			—			47,882,955
Futures Contracts*		662,933			—			—			662,933
Forward Foreign Currency Exchange Contracts*		—			190,530			—			190,530
Total Return Swap Contracts*		—			311,345			—			311,345
Total Assets	$	662,933		$	78,519,904		$	—		$	79,182,837
LIABILITIES
Futures Contracts*	$	(484,241	)	$	—		$	—		$	(484,241	)
Forward Foreign Currency Exchange Contracts*		—			(1,023	)		—			(1,023	)
Total Return Swap Contracts*		—			(162,863	)		—			(162,863	)
Total Liabilities	$	(484,241	)	$	(163,886	)	$	—		$	(648,127	)
AQR STYLE PREMIA ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	1,282,469,645		$	—		$	1,282,469,645
Preferred Stocks†		—			9,964,514			—			9,964,514
Short-Term Investments		—			3,017,762,237			—			3,017,762,237
Futures Contracts*		23,337,278			—			—			23,337,278
Forward Foreign Currency Exchange Contracts*		—			33,764,018			—			33,764,018
Total Return Basket Swaps Contracts*		—			179,926,708			—			179,926,708
Total Return Swaps Contracts*		—			8,821,313			—			8,821,313
Total Assets	$	23,337,278		$	4,532,708,435		$	—		$	4,556,045,713
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(1,016,228,465	)	$	(2	)	$	(1,016,228,467	)
Preferred Stocks (Sold Short)†		—			(6,767,883	)		—			(6,767,883	)
Futures Contracts*		(31,521,326	)		—			—			(31,521,326	)
Forward Foreign Currency Exchange Contracts*		—			(33,630,546	)		—			(33,630,546	)
Total Return Basket Swaps Contracts*		—			(22,383,878	)		—			(22,383,878	)
Total Return Swaps Contracts*		—			(7,389,733	)		—			(7,389,733	)
Total Liabilities	$	(31,521,326	)	$	(1,086,400,505	)	$	(2	)	$	(1,117,921,833	)
AQR STYLE PREMIA ALTERNATIVE LV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	72,299,893		$	20,424		$	72,320,317
Preferred Stocks†		—			506,633			—			506,633
Short-Term Investments		—			342,371,649			—			342,371,649
Futures Contracts*		996,252			—			—			996,252
Forward Foreign Currency Exchange Contracts*		—			1,953,840			—			1,953,840
Total Return Basket Swaps Contracts*		—			9,743,564			—			9,743,564
Total Return Swaps Contracts*		—			542,424			—			542,424
Total Assets	$	996,252		$	427,418,003		$	20,424		$	428,434,679
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(57,931,929	)	$	—		$	(57,931,929	)
Preferred Stocks (Sold Short)†		—			(435,228	)		—			(435,228	)
Futures Contracts*		(1,522,373	)		—			—			(1,522,373	)
Forward Foreign Currency Exchange Contracts*		—			(1,945,142	)		—			(1,945,142	)
Total Return Basket Swaps Contracts*		—			(969,040	)		—			(969,040	)
Total Return Swaps Contracts*		—			(423,299	)		—			(423,299	)
Total Liabilities	$	(1,522,373	)	$	(61,704,638	)	$	—		$	(63,227,011	)

* Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

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

(a) Security has zero value.

AQR Funds Annual Report December 2016

340

Notes to Financial Statements December 31, 2016

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the period ended December 31, 2016, the amount of securities that transferred from Level 1 into Level 2 for the AQR Diversified Arbitrage Fund was $409,605 and the amount transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund was $5,647,430 and $29,538,593 respectively. There were no transfers of investments between levels for any of the remaining Funds.

There were no other Level 3 securities held at period end, except where noted in AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund. Securities classified as Level 3 in the Schedules of Investments are considered quantitatively insignificant in the aggregate for AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.

The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCK*			CONVERTIBLE PREFERRED STOCK			LOAN PARTICIPATIONS/ CORPORATE BONDS			CONVERTIBLE BOND			PREFERRED STOCK			RIGHTS			WARRANT			SECURITIES IN LITIGATION*		SHORT COMMON STOCKS			TOTAL RETURN BASKET SWAP CONTRACTS
Balance as of December 31, 2015	$	11,265,902		$	27,393,124		$	6,950,723		$	574,719		$	817,262		$	715,900		$	1,573,200		$	221,264	$	(453	)	$	—
Accrued discounts/(premiums)		—			—			208,391			13,415			—			—			—			—		—			—
Realized gain/(loss)		211,745			5,158,727			(28,147,930	)		(11,182,772	)		—			261,441			2,434,419			—		—			—
Change in unrealized appreciation/ (depreciation)		1,904,471			(4,014,884	)		23,901,516			(1,012,250	)		(124,484	)		(148,238	)		(1,077,789	)		109,584		51			(128,248	)
Purchases1		3,255,008			—			835,367			591,532			—			—			—			121,921		—			—
Sales2		(6,578,378	)		(28,536,967	)		(1,310,991	)		(1,184,476	)		—			(261,441	)		(2,434,421	)		—		—			—
Transfers in to Level 3		114,364			—			1,737,875			12,981,971			—			—			23,681			—		—			561,243
Transfers out of Level 3		(3,678,975	)		—			(955,607	)		—			—			—			(501,312	)		—		—			—
Balance as of December 31, 2016	$	6,494,137		$	—		$	3,219,344		$	782,139		$	692,778		$	567,662		$	17,778		$	452,769	$	(402	)	$	432,995
Change in Unrealized appreciation/ (depreciation) for securities still held at December 31, 2016	$	124,918		$	—		$	(2,364,597	)	$	(11,691,542	)	$	(124,484	)	$	(148,236	)	$	(236,490	)	$	109,584	$	—		$	(128,248	)

* Certain securities in the amount of $130,269 were recharacterized from common stock to securities in litigation in the current year.

AQR MULTI-STRATEGY ALTERNATIVE FUND	COMMON STOCK			CORPORATE BOND			CONVERTIBLE BOND			TOTAL RETURN BASKET SWAP CONTRACTS- SHORT
Balance as of December 31, 2015	$	408,524		$	—		$	416,739		$	—
Accrued discounts/(premiums)		—			—			77,024			—
Realized gain/(loss)		(54,988	)		—			(1	)		—
Change in unrealized appreciation/(depreciation)		(90,483	)		(246,875	)		(7,808,727	)		126,398
Purchases1		—			—			2,638,133			—
Sales2		(263,053	)		—			(417,000	)		—
Transfers in to Level 3		—			246,875			13,286,407			(198,256	)
Transfers out of Level 3		—			—			—			—
Balance as of December 31, 2016	$	—		$	—		$	8,192,575		$	(71,858	)
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2016	$	—		$	(246,875	)	$	(7,741,957	)	$	126,398

¹  Purchases include all purchases of securities and securities received in corporate actions.

²  Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action.

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341

Notes to Financial Statements December 31, 2016

The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.

At December 31, 2016, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Multi-Strategy Alternative Fund are valued by pricing vendors or brokers. The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended December 31, 2016 for the AQR Diversified Arbitrage Fund:

Quantitative Information about Level 3 Fair Value Measurements*

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Common Stock		$1,683,021	Enterprise Value Waterfall Analysis	Discount for Lack of Marketability**	19.1%—50.3%	30%
				Term	2.0 years	N/A
				Volatility	49.6%—100.2%	59%
				Revenue Multiple	0.40x—1.18x	N/A
				EBITDA Multiple	5.0x—8.75x	N/A
				Selected Point in Range	Midpoint	N/A
		$1,355,706	Probability Weighted Expected Return	Discount for Lack of Marketability**	28.7%	N/A
				Equity Cost of Capital	40.0%	N/A
				Scenario Probability	33.3%	N/A
				Term	2.0 years	N/A
				Volatility	54.9%	N/A
				Legal Fees (% of proceeds)	15.9%	N/A
		$70,153	Public Price Adjusted for Lack of Marketability	Discount for Lack of Marketability**	29.2%— 54.3%	40%
				Term	2.0 years	N/A
				Volatility	55.9%—156.2%	98%
Convertible Bonds		$246,990	Option Pricing Model	Asset Volatility	25.3%	N/A
				Term	1.0 years	N/A
Corporate Bonds		$14,476	Discounted Cash Flow Analysis	Discount Rate	54.1%	N/A
Loan Participation		$28,035	Probability Weighted Expected Return	Scenario Probability	10.0%	N/A
				Discount Rate	30.0%	N/A
Preferred Stock		$692,778	Discounted Cash Flow Analysis	Equity Cost of Capital	16.1%	N/A

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342

Notes to Financial Statements December 31, 2016

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Right		$179,723	Options Pricing Model	Discount for Lack of Marketability**	17.6%	N/A
				Term	1.0 years	N/A
				Volatility	70.6%	N/A
		$385,102	Probability Weighted Expected Return	Discount for Lack of Marketability**	15.6%—38.5%	26%
				Equity Cost of Capital	20.0%—30.5%	25%
				Scenario Probability	15.0%—90.0%	N/A
				Term	1.0 to 3.7 years	N/A
				Volatility	31.4%—66.1%	48%
Securities in Litigation		$201,735	Liquidation Analysis	Recovery Probability	50.0%	N/A
Total Return Basket Swaps		$420,137	Liquidation Analysis	Discount for Lack of Marketability**	17.6%	N/A
				Term	2.0 years	N/A
				Volatility	51.6%	N/A

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At December 31, 2016, the value of these securities was $7,381,343. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.

** Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments.

6. Federal Income Tax Matters

At December 31, 2016, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Diversified Arbitrage Fund	$	674,206,425	$	49,567,995	$	(106,343,525	)	$	(56,775,530	)
AQR Equity Market Neutral Fund		1,314,865,501		31,445,101		(6,646,344	)		24,798,757
AQR Global Macro Fund		22,558,411		1,365		—			1,365
AQR Long-Short Equity Fund		2,968,829,788		43,760,364		(14,095,792	)		29,664,572
AQR Multi-Strategy Alternative Fund		3,114,153,163		118,431,277		(114,897,889	)		3,533,388
AQR Risk-Balanced Commodities Strategy Fund		179,666,572		4,377		(1,897	)		2,480
AQR Risk Parity Fund		375,295,897		476,554		(4,216,072	)		(3,739,518	)
AQR Risk Parity II HV Fund		65,055,222		77,297		(849,002	)		(771,705	)
AQR Risk Parity II MV Fund		78,803,008		106,175		(891,154	)		(784,979	)
AQR Style Premia Alternative Fund		4,233,271,985		101,072,116		(24,147,705	)		76,924,411
AQR Style Premia Alternative LV Fund		410,975,759		5,797,755		(1,574,915	)		4,222,840

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, and differences in the tax treatment of passive foreign investment companies (“PFIC”), investments in partnerships, convertible securities, contingent payment debt instruments (“CPDI”) and investments in inflation protected securities.

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343

Notes to Financial Statements December 31, 2016

As of December 31, 2016, the components of net assets (excluding paid-in capital) on a tax basis were as follows:

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR (TAX BASIS CAPITAL LOSS CARRYFORWARDS)			NET UNREALIZED APPRECIATION (DEPRECIATION)			POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS			OTHER TEMPORARY DIFFERENCES			TOTAL ACCUMULATED EARNINGS
AQR Diversified Arbitrage Fund	$	4,505,821	$	(251,637,533	)	$	(75,184,547	)	$	(7,135,487	)	$	357,325		$	(329,094,421	)
AQR Equity Market Neutral Fund		25,038,716		(6,350,924	)		15,619,678			(318,356	)		442,430			34,431,544
AQR Global Macro Fund		—		—			(360,062	)		(577,393	)		195,405			(742,050	)
AQR Long-Short Equity Fund		65,605,750		17,725,311			30,630,225			—			620,397			114,581,683
AQR Multi-Strategy Alternative Fund		46,056,642		932,987			(98,494,725	)		(47,707,194	)		(20,429,633	)		(119,641,923	)
AQR Risk-Balanced Commodities Strategy Fund		18,024		(12,630	)		(6,582,888	)		—			6,284,443			(293,051	)
AQR Risk Parity Fund		6,516,516		—			(5,036,712	)		(8,916,180	)		3,152,718			(4,283,658	)
AQR Risk Parity II HV Fund		250,426		—			(745,530	)		(697,662	)		872,343			(320,423	)
AQR Risk Parity II MV Fund		133,195		—			(881,343	)		(502,182	)		920,245			(330,085	)
AQR Style Premia Alternative Fund		—		(284,749	)		66,669,582			(111,455,415	)		2,869,999			(42,200,583	)
AQR Style Premia Alternative LV Fund		2,430,342		—			3,491,979			(6,527,054	)		46,841			(557,892	)

The differences between book basis and tax basis components of net assets are primarily attributable to wash sale loss deferrals and other book and tax differences including, mark to market on PFICs, mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, mark to market and income on certain swaps, certain late year loss deferrals, straddle loss deferrals, loss deferrals on unsettled short sales, gain/(loss) recognition on constructive sales, investments in partnerships, investments in inflation protected securities, deemed dividends from convertible securities, Cayman subsidiary taxable income, CPDI accrued income, capital loss carryforwards and finance charges on equity swaps.

As of December 31, 2016, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	UNDISTRIBUTED NET INVESTMENT INCOME			ACCUMULATED NET REALIZED GAIN(LOSS) ON INVESTMENTS			PAID-IN CAPITAL
AQR Diversified Arbitrage Fund	$	7,850,864		$	(7,850,915	)	$	51
AQR Equity Market Neutral Fund		(17,787,794	)		17,787,794			—
AQR Global Macro Fund		543,577			791,259			(1,334,836	)
AQR Long-Short Equity Fund		(3,807,519	)		3,807,519			—
AQR Multi-Strategy Alternative Fund		(50,854,769	)		63,888,361			(13,033,592	)
AQR Risk-Balanced Commodities Strategy Fund		20,762,983			(21,095,231	)		332,248
AQR Risk Parity Fund		27,560,057			(18,805,773	)		(8,754,284	)
AQR Risk Parity II HV Fund		3,819,978			(2,019,939	)		(1,800,039	)
AQR Risk Parity II MV Fund		4,197,402			(2,370,580	)		(1,826,822	)
AQR Style Premia Alternative Fund		(74,066,824	)		117,480,348			(43,413,524	)
AQR Style Premia Alternative LV Fund		(1,455,270	)		1,767,604			(312,334	)

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the difference in tax treatment of foreign currency gain/loss, dividend expense for securities sold short, investments in PFICs, investments in certain swap contracts, net operating losses, finance charges and monthly reset on equity swaps, CPDI accrual income, and the tax treatment of income from investments in the Cayman subsidiary. The result of operations and net assets were not affected by the reclassifications.

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344

Notes to Financial Statements December 31, 2016

The tax character of distributions paid during the fiscal year-ends December 31, 2016 and December 31, 2015 were as follows:

	DECEMBER 31, 2016						DECEMBER 31, 2015
FUND	ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL		ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL
AQR Diversified Arbitrage Fund	$	33,236,700	$	—	$	—	$	48,100,540	$	—	$	—
AQR Equity Market Neutral Fund		15,680,585		85,029		—		5,313,037		102,719		—
AQR Global Macro Fund		—		1,594,800				982,330		1,765,884		—
AQR Long-Short Equity Fund		53,420,812		15,863,659		—		22,341,353		768,361		—
AQR Multi-Strategy Alternative Fund		30,410,375		56,890,894		—		204,859,857		—		—
AQR Risk-Balanced Commodities Strategy Fund		9,257,448		—		—		—		—		—
AQR Risk Parity Fund		17,645,522		9,275,104		—		7,941,558		5,238,673		—
AQR Risk Parity II HV Fund		1,288,635		996,808		—		1,670,028		935,618		—
AQR Risk Parity II MV Fund		1,561,747		1,511,934		—		2,477,291		2,518,203		—
AQR Style Premia Alternative Fund		64,252,882		—		—		92,480,282		—		—
AQR Style Premia Alternative LV Fund		1,164,533		743,832		—		3,352,540		28,347		—

During the year ended December 31, 2016, the Funds utilized capital loss carryforwards in the amounts listed below:

FUND	SHORT-TERM		LONG-TERM
AQR Diversified Arbitrage Fund	$	18,505,744	$	—
AQR Multi-Strategy Alternative Fund		6,540,427		—
AQR Style Premia Alternative Fund		21,830,824		9,668,388
AQR Style Premia Alternative LV Fund		674,702		607,693

As of December 31, 2016, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG-TERM
AQR Diversified Arbitrage Fund	$	66,145,385	$	185,492,148
AQR Equity Market Neutral Fund		6,350,924		—
AQR Risk Balanced Commodities Strategy Fund		12,630		—
AQR Style Premia Alternative Fund		284,749		—

7. Investment Transactions

During the year ended December 31, 2016, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Diversified Arbitrage Fund	$	884,696,261	$	1,373,764,716	$	444,189,213	$	628,862,652
AQR Equity Market Neutral Fund		392,646,721		139,312,344		386,875,248		158,858,527
AQR Long-Short Equity Fund		752,154,666		209,679,003		722,290,231		214,574,459
AQR Multi-Strategy Alternative Fund		2,552,361,791		2,228,695,443		1,555,751,169		1,347,759,246
AQR Risk Parity Fund		121,512,080		135,017,945		—		—
AQR Risk Parity II HV Fund		33,494,050		19,348,084		—		—
AQR Risk Parity II MV Fund		22,968,747		18,965,398		—		—
AQR Style Premia Alternative Fund		878,195,295		288,545,609		902,701,259		421,215,622
AQR Style Premia Alternative LV Fund		47,294,740		13,285,034		47,334,951		18,986,600

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345

Notes to Financial Statements December 31, 2016

During the year ended December 31, 2016, the Funds had purchases and sales of long-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Diversified Arbitrage Fund	$	382,392	$	382,864	$	465,394	$	465,256
AQR Risk Parity Fund		101,131,330		114,787,121		—		—
AQR Risk Parity II HV Fund		26,072,220		18,701,412		—		—
AQR Risk Parity II MV Fund		19,604,801		18,063,278		—		—

8. Transactions with Affiliates

The funds are permitted to purchase and sell securities from and/or to other affiliated Funds that have a common investment adviser (or affiliated investment advisers), common Trustees and/or common Officers under specified conditions pursuant to procedures adopted by the Board in compliance with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. For the year ended December 31, 2016, the following Funds engaged in purchase and sale transactions with an affiliate:

AQR Diversified Arbitrage Fund—sales $58,184,315

AQR Multi-Strategy Alternative Fund—purchases $58,184,315

9. Derivative Instruments and Activities

The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at December 31, 2016.

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE*		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE*		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	285,428	$	5,615,224	$	—	$	34,604	$	653,824	$	—	$	—
AQR Equity Market Neutral Fund		—		72,524,694		—		—		1,009,453		—		—
AQR Global Macro Fund		351,742		83,115		—		162,600		65,394		—		—
AQR Long-Short Equity Fund		7,828,999		104,421,577		—		4,855,487		3,150,789		—		—
AQR Multi-Strategy Alternative Fund		17,904,076		209,197,552		—		4,952,406		14,426,266		—		3,779,145
AQR Risk Parity Fund		1,070,770		461,185		—		635,070		2,763		—		—
AQR Risk Parity II HV Fund		289,505		117,015		—		175,283		900		—		—
AQR Risk Parity II MV Fund		283,074		129,846		—		172,378		—		—		—
AQR Style Premia Alternative Fund		29,546,585		188,748,021		—		20,555,921		26,537,924		—		—
AQR Style Premia Alternative LV Fund		1,579,714		10,282,217		—		1,137,426		1,216,607		—		—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		200,495		—		—		4,093		—
AQR Equity Market Neutral Fund		—		—		720,869		—		—		42,312		—
AQR Global Macro Fund		—		—		520,813		—		—		549,829		—
AQR Long-Short Equity Fund		—		—		211,457		—		—		6,106,825		—
AQR Multi-Strategy Alternative Fund		—		—		34,028,247		—		—		40,523,418		—
AQR Risk Parity Fund		—		—		2,318,711		—		—		597,306		—
AQR Risk Parity II HV Fund		—		—		199,436		—		—		659		—
AQR Risk Parity II MV Fund		—		—		190,530		—		—		1,023		—
AQR Style Premia Alternative Fund		—		—		33,764,018		—		—		33,630,546		—
AQR Style Premia Alternative LV Fund		—		—		1,953,840		—		—		1,945,142		—

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346

Notes to Financial Statements December 31, 2016

	ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*			SWAPS AT VALUE*			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS*			SWAPS AT VALUE*			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS AT MARKET VALUE
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund	$	94,842		$	844,532		$	—		$	—		$	—		$	—		$	—
AQR Global Macro Fund		82,357			4,069,654			—			253,111			4,003,607			—			—
AQR Multi-Strategy Alternative Fund		9,465,522			1,930,451			—			8,460,988			—			—			—
AQR Risk Parity Fund		678,655			913,357			—			741,542			3,671,360			—			—
AQR Risk Parity II HV Fund		227,421			—			—			224,861			—			—			—
AQR Risk Parity II MV Fund		219,638			—			—			234,807			—			—			—
AQR Style Premia Alternative Fund		15,331,883			—			—			9,662,005			—			—			—
AQR Style Premia Alternative LV Fund		826,375			—			—			564,148			—			—			—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—			—			—			—			1,312,181			—			—
AQR Multi-Strategy Alternative Fund		—			24,561,149			—			—			1,058,658			—			—
AQR Risk Parity Fund		—			12,687,233			—			—			937,066			—			—
Commodity Risk Exposure:
AQR Global Macro Fund		208,863			5,315			—			211,055			1,273			—			—
AQR Multi-Strategy Alternative Fund		10,788,348			3,642,102			—			12,114,770			9,477,472			—			—
AQR Risk-Balanced Commodities Strategy Fund		16,827,953			2,560,639			—			18,911,696			2,570,301			—			—
AQR Risk Parity Fund		2,962,020			637,768			—			2,806,269			433,805			—			—
AQR Risk Parity II HV Fund		830,526			164,252			—			731,691			135,957			—			—
AQR Risk Parity II MV Fund		734,612			181,499			—			651,447			162,863			—			—
AQR Style Premia Alternative Fund		6,130,511			—			—			28,975,101			3,235,687			—			—
AQR Style Premia Alternative LV Fund		359,804			3,771			—			1,590,440			175,732			—			—
Netting:
AQR Diversified Arbitrage Fund		(34,604	)		(1,966,005	)		(4,093	)		(34,604	)		(1,966,005	)		(4,093	)		—
AQR Equity Market Neutral Fund		—			(1,009,453	)		(42,312	)		—			(1,009,453	)		(42,312	)		—
AQR Global Macro Fund		(626,766	)		(4,070,274	)		(520,813	)		(626,766	)		(4,070,274	)		(520,813	)		—
AQR Long-Short Equity Fund		(4,855,487	)		(3,150,789	)		(211,457	)		(4,855,487	)		(3,150,789	)		(211,457	)		—
AQR Multi-Strategy Alternative Fund		(25,528,164	)		(24,962,396	)		(34,028,247	)		(25,528,164	)		(24,962,396	)		(34,028,247	)		—
AQR Risk-Balanced Commodities Strategy Fund		(16,827,953	)		(2,560,639	)		—			(16,827,953	)		(2,560,639	)		—			—
AQR Risk Parity Fund		(4,182,881	)		(5,044,994	)		(597,306	)		(4,182,881	)		(5,044,994	)		(597,306	)		—
AQR Risk Parity II HV Fund		(1,131,835	)		(136,857	)		(659	)		(1,131,835	)		(136,857	)		(659	)		—
AQR Risk Parity II MV Fund		(1,058,632	)		(162,863	)		(1,023	)		(1,058,632	)		(162,863	)		(1,023	)		—
AQR Style Premia Alternative Fund		(51,008,979	)		(29,773,611	)		(33,630,546	)		(51,008,979	)		(29,773,611	)		(33,630,546	)		—
AQR Style Premia Alternative LV Fund		(2,765,893	)		(1,392,339	)		(1,945,142	)		(2,765,893	)		(1,392,339	)		(1,945,142	)		—
Net Fair Value of Derivative Contracts:
AQR Diversified Arbitrage Fund		345,666			4,493,751			196,402			—			—			—			—
AQR Equity Market Neutral Fund		—			71,515,241			678,557			—			—			—			—
AQR Global Macro Fund		16,196			87,810			—			—			—			29,016			—
AQR Long-Short Equity Fund		2,973,512			101,270,788			—			—			—			5,895,368			—
AQR Multi-Strategy Alternative Fund		12,629,782			214,368,858			—			—			—			6,495,171			3,779,145
AQR Risk-Balanced Commodities Strategy Fund		—			—			—			2,083,743			9,662			—			—
AQR Risk Parity Fund		528,564			9,654,549			1,721,405			—			—			—			—
AQR Risk Parity II HV Fund		215,617			144,410			198,777			—			—			—			—
AQR Risk Parity II MV Fund		178,692			148,482			189,507			—			—			—			—
AQR Style Premia Alternative Fund		—			158,974,410			133,472			8,184,048			—			—			—
AQR Style Premia Alternative LV Fund		—			8,893,649			8,698			526,121			—			—			—

* May include cumulative appreciation (depreciation) of exchange-traded and centrally cleared derivatives as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives.

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347

Notes to Financial Statements December 31, 2016

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended December 31, 2016:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS											NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS		FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	(3,621,086	)	$	1,344,636		$	—		$	2,422,341	$	785,803		$	3,823,885		$	—		$	(2,186,995	)
AQR Equity Market Neutral Fund		935,021			(18,659,896	)		—			—		—			65,815,078			—			—
AQR Global Macro Fund		240,593			(429,695	)		—			—		10,920			(75,333	)		—			—
AQR Long-Short Equity Fund		113,701,910			(3,345,701	)		—			—		(322,751	)		100,903,100			—			—
AQR Multi-Strategy Alternative Fund		(71,482,119	)		(35,365,708	)		—			2,431,638		16,422,088			56,853,673			—			(1,632,959	)
AQR Risk Parity Fund		6,780,547			(870,791	)		—			—		(625,910	)		600,396			—			—
AQR Risk Parity II HV Fund		2,382,372			(70,363	)		—			—		(63,805	)		126,887			—			—
AQR Risk Parity II MV Fund		2,042,821			(84,873	)		—			—		(156,412	)		156,271			—			—
AQR Style Premia Alternative Fund		(71,449,714	)		(199,085,292	)		—			—		20,602,597			181,748,997			—			—
AQR Style Premia Alternative LV Fund		(4,420,891	)		(6,688,489	)		—			—		1,112,673			7,589,620			—			—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—			—			56,917			—		—			—			(906,938	)		—
AQR Equity Market Neutral Fund		—			—			2,489,730			—		—			—			748,295			—
AQR Global Macro Fund		—			—			512,890			—		—			—			(538,838	)		—
AQR Long-Short Equity Fund		—			—			(12,678,554	)		—		—			—			(6,160,417	)		—
AQR Multi-Strategy Alternative Fund		—			—			73,888,488			—		—			—			(20,205,360	)		—
AQR Risk Parity Fund		—			—			1,755,623			—		—			—			5,642,095			—
AQR Risk Parity II HV Fund		—			—			789,675			—		—			—			315,644			—
AQR Risk Parity II MV Fund		—			—			751,629			—		—			—			343,554			—
AQR Style Premia Alternative Fund		—			—			90,202,416			—		—			—			(7,498,821	)		—
AQR Style Premia Alternative LV Fund		—			—			4,715,506			—		—			—			(381,336	)		—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		(1,830,848	)		(1,309,542	)		—			—		(243,034	)		654,193			—			—
AQR Global Macro Fund		303,535			699,138			—			—		173,695			(592,058	)		—			—
AQR Multi-Strategy Alternative Fund		12,182,103			(1,218,795	)		—			—		1,983,679			1,766,432			—			—
AQR Risk Parity Fund		10,369,200			5,117,197			—			—		1,724,409			(2,862,253	)		—			—
AQR Risk Parity II HV Fund		606,173			—			—			—		272,583			—			—			—
AQR Risk Parity II MV Fund		2,386,185			—			—			—		385,370			—			—			—
AQR Style Premia Alternative Fund		7,486,089			—			—			—		8,795,680			—			—			—
AQR Style Premia Alternative LV Fund		667,332			—			—			—		485,477			—			—			—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—			(4,570,631	)		—			—		—			1,032,365			—			—
AQR Multi-Strategy Alternative Fund		—			(556,792	)		—			—		—			4,126,913			—			—
AQR Risk Parity Fund		—			6,750,458			—			—		—			1,173,602			—			—

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348

Notes to Financial Statements December 31, 2016

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS										NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
Commodity Risk Exposure:
AQR Global Macro Fund	$	(52,819	)	$	(85,659	)	$	—	$	—	$	(163,883	)	$	(9,386	)	$	—	$	—
AQR Multi-Strategy Alternative Fund		(33,951,842	)		16,165,641			—		—		(3,206,153	)		(4,483,940	)		—		—
AQR Risk-Balanced Commodities Strategy Fund		19,098,139			1,994,645			—		—		1,271,379			224,260			—		—
AQR Risk Parity Fund		4,002,808			131,825			—		—		4,605,765			761,534			—		—
AQR Risk Parity II HV Fund		851,915			(41,863	)		—		—		717,473			121,851			—		—
AQR Risk Parity II MV Fund		1,005,505			(31,134	)		—		—		964,171			226,663			—		—
AQR Style Premia Alternative Fund		13,683,228			16,479,166			—		—		(17,550,697	)		149,262			—		—
AQR Style Premia Alternative LV Fund		700,436			897,638			—		—		(1,103,967	)		(5,712	)		—		—

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of December 31, 2016:

AQR DIVERSIFIED ARBITRAGE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	283,801	$	(5,066	)	$	278,735	$	—	$	—	$	278,735
CITI	Forward Foreign Currency Exchange Contracts		86,786		(4,093	)		82,693		—		—		82,693
DTBK	Total Return Basket Swaps Contracts		3,462,937		(29,256	)		3,433,681		—		—		3,433,681
GSIN	Total Return Basket Swaps Contracts		2,131,653		(471,132	)		1,660,521		—		—		1,660,521
JPMC	Forward Foreign Currency Exchange Contracts		113,709		—			113,709
	Total Return Basket Swaps Contracts		432,995		—			432,995
	Total JPMC		546,704		—			546,704		—		—		546,704
Total financial instruments subject to a master netting arrangement or similar arrangement			6,511,881		(509,547	)		6,002,334		—		—		6,002,334

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349

Notes to Financial Statements December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	5,066	$	(5,066	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		4,093		(4,093	)		—		—		—		—
GSIN	Total Return Basket Swaps Contracts		471,132		(471,132	)		—		—		—		—
DTBK	Total Return Basket Swaps Contracts		29,256		(29,256	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			509,547		(509,547	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $21,969,802.

AQR EQUITY MARKET NEUTRAL FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	294,606	$	(30,979	)	$	263,627	$	—	$	—	$	263,627
JPMC	Forward Foreign Currency Exchange Contracts		426,263		(11,333	)		414,930		—		—		414,930
MSIP	Total Return Basket Swaps Contracts		72,524,694		(1,009,453	)		71,515,241		—		—		71,515,241
Total financial instruments subject to a master netting arrangement or similar arrangement			73,245,563		(1,051,765	)		72,193,798		—		—		72,193,798

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350

Notes to Financial Statements December 31, 2016

AQR EQUITY MARKET NEUTRAL FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	30,979	$	(30,979	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		11,333		(11,333	)		—		—		—		—
MSIP	Total Return Basket Swaps Contracts		1,009,453		(1,009,453	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,051,765		(1,051,765	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $133,743,598.

AQR GLOBAL MACRO FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	73,879	$	(58,361	)	$	15,518	$	—	$	—	$	15,518
CITI	Forward Foreign Currency Exchange Contracts		224,450		(224,450	)		—		—		—		—
GSIN	Total Return Swap Contracts		9,236		(7,033	)		2,203		—		—		2,203
JPMC	Forward Foreign Currency Exchange Contracts		296,363		(296,363	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			603,928		(586,207	)		17,721		—		—		17,721

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351

Notes to Financial Statements December 31, 2016

AQR GLOBAL MACRO FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	58,361	$	(58,361	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		229,569		(224,450	)		5,119		—		—			5,119
GSIN	Total Return Swap Contracts		7,033		(7,033	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		320,260		(296,363	)		23,897		—		(23,897	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			615,223		(586,207	)		29,016		—		(23,897	)		5,119

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $526,140.

AQR GLOBAL MACRO OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	4,550	$	—		$	4,550	$	—	$	—	$	4,550
MACQ	Total Return Swap Contracts		344		(344	)		—		—		—		—
SOCG	Total Return Swap Contracts		421		—			421		—		—		421
Total financial instruments subject to a master netting arrangement or similar arrangement			5,315		(344	)		4,971		—		—		4,971
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
MACQ	Total Return Swap Contracts	$	1,273	$	(344	)	$	929	$	—	$	—	$	929
Total financial instruments subject to a master netting arrangement or similar arrangement			1,273		(344	)		929		—		—		929

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $60,079.

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352

Notes to Financial Statements December 31, 2016

AQR LONG-SHORT EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	142,572	$	(142,572	)	$	—	$	—	$	—		$	—
DTBK	Total Return Basket Swaps Contracts		20,848,019		(3,150,302	)		17,697,717		—		—			17,697,717
GSIN	Total Return Swap Contracts		918,983		(487	)		918,496
	Total Return Basket Swaps Contracts		82,654,575		—			82,654,575
	Total GSIN		83,573,558		(487	)		83,573,071		—		—			83,573,071
JPMC	Forward Foreign Currency Exchange Contracts		68,885		(68,885	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			104,633,034		(3,362,246	)		101,270,788		—		—			101,270,788
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	2,627,501	$	(142,572	)	$	2,484,929	$	—	$	(2,484,929	)	$	—
DTBK	Total Return Basket Swaps Contracts		3,150,302		(3,150,302	)		—		—		—			—
GSIN	Total Return Swap Contracts		487		(487	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		3,479,324		(68,885	)		3,410,439		—		(3,410,439	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			9,257,614		(3,362,246	)		5,895,368		—		(5,895,368	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $355,791,804.

AQR Funds Annual Report December 2016

353

Notes to Financial Statements December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	70,847	$	(70,847	)	$	—
	Total Return Basket Swaps Contracts		983,876		(21,724	)		962,152
	Total BANA		1,054,723		(92,571	)		962,152	$	—	$	—	$	962,152
CITI	Forward Foreign Currency Exchange Contracts		13,768,525		(13,768,525	)		—		—		—		—
DTBK	Total Return Basket Swaps Contracts		12,163,465		(1,605,029	)		10,558,436		—		—		10,558,436
GSIN	Total Return Swap Contracts		420,837		(420,837	)		—
	Total Return Basket Swaps Contracts		7,746,057		(1,850,920	)		5,895,137
	Total GSIN		8,166,894		(2,271,757	)		5,895,137		—		—		5,895,137
JPMC	Forward Foreign Currency Exchange Contracts		20,259,722		(20,259,722	)		—
	Total Return Swap Contracts		902,908		(2,641	)		900,267
	Total Return Basket Swaps Contracts		184,928,042		(1,442,248	)		183,485,794
	Total JPMC		206,090,672		(21,704,611	)		184,386,061		—		—		184,386,061
MSCS	Total Return Swap Contracts		2,796,501		(2,796,501	)		—		—		—		—
MSIP	Total Return Basket Swaps Contracts		168,895		(168,895	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			244,209,675		(42,407,889	)		201,801,786		—		—		201,801,786

AQR Funds Annual Report December 2016

354

Notes to Financial Statements December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	196,574	$	(70,847	)	$	125,727
	Total Return Basket Swaps Contracts		21,724		(21,724	)		—
	Total BANA		218,298		(92,571	)		125,727	$	—	$	(125,727	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		16,739,178		(13,768,525	)		2,970,653		—		(2,970,653	)		—
DTBK	Total Return Basket Swaps Contracts		1,605,029		(1,605,029	)		—		—		—			—
GSIN	Total Return Swap Contracts		1,344,266		(420,837	)		923,429
	Total Return Basket Swaps Contracts		1,850,920		(1,850,920	)		—
	Total GSIN		3,195,186		(2,271,757	)		923,429		—		(923,429	)		—
JPMC	Forward Foreign Currency Exchange Contracts		23,784,240		(20,259,722	)		3,524,518
	Total Return Swap Contracts		2,641		(2,641	)		—
	Total Return Basket Swaps Contracts		1,442,248		(1,442,248	)		—
	Total JPMC		25,229,129		(21,704,611	)		3,524,518		—		(3,524,518	)		—
MSCS	Total Return Swap Contracts		6,828,165		(2,796,501	)		4,031,664		—		—			4,031,664
MSIP	Total Return Basket Swaps Contracts		188,124		(168,895	)		19,229		—		(19,229	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			54,003,109		(42,407,889	)		11,595,220		—		(7,563,556	)		4,031,664

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $758,197,021.

AQR Funds Annual Report December 2016

355

Notes to Financial Statements December 31, 2016

AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	879,797	$	(879,797	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		92,500		(92,500	)		—		—		—			—
MACQ	Total Return Swap Contracts		1,170,759		(1,170,759	)		—		—		—			—
MLIN	Total Return Swap Contracts		848,987		(848,987	)		—		—		—			—
SOCG	Total Return Swap Contracts		650,059		(650,059	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,642,102		(3,642,102	)		—		—		—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,683,517	$	(879,797	)	$	803,720	$	—	$	(803,720	)	$	—
GSIN	Total Return Swap Contracts		372,172		(92,500	)		279,672		—		(279,672	)		—
MACQ	Total Return Swap Contracts		3,099,209		(1,170,759	)		1,928,450		—		(1,928,450	)		—
MLIN	Total Return Swap Contracts		2,147,429		(848,987	)		1,298,442		—		(1,298,442	)		—
SOCG	Total Return Swap Contracts		2,175,145		(650,059	)		1,525,086		—		(1,525,086	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			9,477,472		(3,642,102	)		5,835,370		—		(5,835,370	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $9,698,991.

AQR Funds Annual Report December 2016

356

Notes to Financial Statements December 31, 2016

AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	478,386	$	(478,386	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		51,372		(51,372	)		—		—		—		—
MACQ	Total Return Swap Contracts		787,428		(556,401	)		231,027		—		—		231,027
SOCG	Total Return Swap Contracts		1,243,453		(1,243,453	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,560,639		(2,329,612	)		231,027		—		—		231,027

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	586,289	$	(478,386	)	$	107,903	$	—	$	(107,903	)	$	—
GSIN	Total Return Swap Contracts		82,570		(51,372	)		31,198		—		(31,198	)		—
MACQ	Total Return Swap Contracts		556,401		(556,401	)		—		—		—			—
SOCG	Total Return Swap Contracts		1,345,041		(1,243,453	)		101,588		—		(101,588	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,570,301		(2,329,612	)		240,689		—		(240,689	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 3,271,323.

AQR Funds Annual Report December 2016

357

Notes to Financial Statements December 31, 2016

AQR RISK PARITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	150,336	$	—		$	150,336	$	—	$	—	$	150,336
CITI	Forward Foreign Currency Exchange Contracts		912,736		(255,320	)		657,416
	Interest Rate Swap Contracts		53,336		(53,336	)		—
	Total CITI		966,072		(308,656	)		657,416		—		—		657,416
GSIN	Total Return Swap Contracts		66,171		—			66,171		—		—		66,171
JPMC	Forward Foreign Currency Exchange Contracts		1,405,975		(341,986	)		1,063,989
	Total Return Swap Contracts		28,854		—			28,854
	Total JPMC		1,434,829		(341,986	)		1,092,843		—		—		1,092,843
MSCS	Total Return Swap Contracts		215,824		(2,763	)		213,061		—		—		213,061
Total financial instruments subject to a master netting arrangement or similar arrangement			2,833,232		(653,405	)		2,179,827		—		—		2,179,827

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	255,320	$	(255,320	)	$	—
	Interest Rate Swap Contracts		696,539		(53,336	)		643,203
	Total CITI		951,859		(308,656	)		643,203	$	—	$	(643,203	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		341,986		(341,986	)		—		—		—			—
MSCS	Total Return Swap Contracts		2,763		(2,763	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,296,608		(653,405	)		643,203		—		(643,203	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $10,852,028.

AQR Funds Annual Report December 2016

358

Notes to Financial Statements December 31, 2016

AQR RISK PARITY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	50,192	$	(50,192	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		10,996		—			10,996		—		—		10,996
MACQ	Total Return Swap Contracts		168,765		(135,622	)		33,143		—		—		33,143
MLIN	Total Return Swap Contracts		280,708		(18,968	)		261,740		—		—		261,740
SOCG	Total Return Swap Contracts		127,107		(127,107	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			637,768		(331,889	)		305,879		—		—		305,879

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	116,643	$	(50,192	)	$	66,451	$	—	$	(66,451	)	$	—
MACQ	Total Return Swap Contracts		135,622		(135,622	)		—		—		—			—
MLIN	Total Return Swap Contracts		18,968		(18,968	)		—		—		—			—
SOCG	Total Return Swap Contracts		162,572		(127,107	)		35,465		—		(35,465	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			433,805		(331,889	)		101,916		—		(101,916	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $660,034.

AQR Funds Annual Report December 2016

359

Notes to Financial Statements December 31, 2016

AQR RISK PARITY II HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	52,589	$	—		$	52,589	$	—	$	—	$	52,589
BNPP	Repurchase Agreements		1,350,375		(1,350,375	)		—		—		—		—
CITI	Forward Foreign Currency Exchange Contracts		79,741		(333	)		79,408		—		—		79,408
GSIN	Total Return Swap Contracts		64,426		(900	)		63,526		—		—		63,526
JPMC	Forward Foreign Currency Exchange Contracts		119,695		(326	)		119,369		—		—		119,369
MPFS	Repurchase Agreements		1,928,625		(1,928,625	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,595,451		(3,280,559	)		314,892		—		—		314,892

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	333	$	(333	)	$	—	$	—		$	—	$	—
GSIN	Total Return Swap Contracts		900		(900	)		—		—			—		—
JPMC	Forward Foreign Currency Exchange Contracts		326		(326	)		—		—			—		—
BNPP	Reverse Repurchase Agreements		6,208,125		(1,350,375	)		4,857,750		(4,857,750	)		—		—
MPFS	Reverse Repurchase Agreements		7,452,462		(1,928,625	)		5,523,837		(5,523,837	)		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			13,662,146		(3,280,559	)		10,381,587		(10,381,587	)		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,192,648.

AQR Funds Annual Report December 2016

360

Notes to Financial Statements December 31, 2016

AQR RISK PARITY II HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	12,287	$	(12,287	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		3,548		(590	)		2,958		—		—		2,958
MACQ	Total Return Swap Contracts		95,406		(37,415	)		57,991		—		—		57,991
SOCG	Total Return Swap Contracts		53,011		(53,011	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			164,252		(103,303	)		60,949		—		—		60,949

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	44,070	$	(12,287	)	$	31,783	$	—	$	(31,783	)	$	—
GSIN	Total Return Swap Contracts		590		(590	)		—		—		—			—
MACQ	Total Return Swap Contracts		37,415		(37,415	)		—		—		—			—
SOCG	Total Return Swap Contracts		53,882		(53,011	)		871		—		(871	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			135,957		(103,303	)		32,654		—		(32,654	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $177,504.

AQR Funds Annual Report December 2016

361

Notes to Financial Statements December 31, 2016

AQR RISK PARITY II MV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	74,784	$	—		$	74,784	$	—	$	—	$	74,784
CITI	Forward Foreign Currency Exchange Contracts		76,207		(477	)		75,730		—		—		75,730
GSIN	Total Return Swap Contracts		55,062		—			55,062		—		—		55,062
JPMC	Forward Foreign Currency Exchange Contracts		114,323		(546	)		113,777		—		—		113,777
Total financial instruments subject to a master netting arrangement or similar arrangement			320,376		(1,023	)		319,353		—		—		319,353

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	477	$	(477	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		546		(546	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,023		(1,023	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $890,384.

AQR Funds Annual Report December 2016

362

Notes to Financial Statements December 31, 2016

AQR RISK PARITY II MV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	10,705	$	(10,705	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		1,764		—			1,764		—		—		1,764
MACQ	Total Return Swap Contracts		131,730		(70,606	)		61,124		—		—		61,124
SOCG	Total Return Swap Contracts		37,300		(37,300	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			181,499		(118,611	)		62,888		—		—		62,888

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	51,102	$	(10,705	)	$	40,397	$	—	$	(40,397	)	$	—
MACQ	Total Return Swap Contracts		70,606		(70,606	)		—		—		—			—
SOCG	Total Return Swap Contracts		41,155		(37,300	)		3,855		—		(3,855	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			162,863		(118,611	)		44,252		—		(44,252	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $386,082.

AQR Funds Annual Report December 2016

363

Notes to Financial Statements December 31, 2016

AQR STYLE PREMIA ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	6,085,021	$	(4,071,158	)	$	2,013,863	$	—	$	—	$	2,013,863
CITI	Forward Foreign Currency Exchange Contracts		13,738,432		(13,615,275	)		123,157		—		—		123,157
GSIN	Total Return Swap Contracts		2,736,292		(82,888	)		2,653,404
	Total Return Basket Swap Contracts		179,926,708		(22,383,878	)		157,542,830
	Total GSIN		182,663,000		(22,466,766	)		160,196,234		—		—		160,196,234
JPMC	Forward Foreign Currency Exchange Contracts		20,025,586		(20,015,271	)		10,315		—		—		10,315
Total financial instruments subject to a master netting arrangement or similar arrangement			222,512,039		(60,168,470	)		162,343,569		—		—		162,343,569

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
BANA	Total Return Swap Contracts	$	4,071,158	$	(4,071,158	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		13,615,275		(13,615,275	)		—		—		—		—
GSIN	Total Return Swap Contracts		82,888		(82,888	)		—
	Total Return Basket Swap Contracts		22,383,878		(22,383,878	)		—
	Total GSIN		22,466,766		(22,466,766	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		20,015,271		(20,015,271	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			60,168,470		(60,168,470	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $471,815,530.

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364

Notes to Financial Statements December 31, 2016

AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET		NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (A)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,555,887	$	—	$	1,555,887	$	—	$	(1,555,887	)	$	—
GSIN	Total Return Swap Contracts		116,950		—		116,950		—		(116,950	)		—
MACQ	Total Return Swap Contracts		1,217,220		—		1,217,220		—		(1,217,220	)		—
SOCG	Total Return Swap Contracts		345,630		—		345,630		—		(305,079	)		40,551
Total financial instruments subject to a master netting arrangement or similar arrangement			3,235,687		—		3,235,687		—		(3,195,136	)		40,551

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $5,360,272.

AQR STYLE PREMIA ALTERNATIVE LV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	183,109	$	(183,109	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		801,795		(799,016	)		2,779		—		—		2,779
GSIN	Total Return Swap Contracts		83,641		(4,592	)		79,049
	Total Return Basket Swap Contracts		9,743,564		(969,040	)		8,774,524
	Total GSIN		9,827,205		(973,632	)		8,853,573		—		—		8,853,573
JPMC	Forward Foreign Currency Exchange Contracts		1,152,045		(1,146,126	)		5,919		—		—		5,919
MSCS	Total Return Swap Contracts		271,903		—			271,903		—		—		271,903
Total financial instruments subject to a master netting arrangement or similar arrangement			12,236,057		(3,101,883	)		9,134,174		—		—		9,134,174

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365

Notes to Financial Statements December 31, 2016

AQR STYLE PREMIA ALTERNATIVE LV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	242,975	$	(183,109	)	$	59,866	$	—	$	(59,866	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		799,016		(799,016	)		—		—		—			—
GSIN	Total Return Swap Contracts		4,592		(4,592	)		—
	Total Return Basket Swap Contracts		969,040		(969,040	)		—
	Total GSIN		973,632		(973,632	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		1,146,126		(1,146,126	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,161,749		(3,101,883	)		59,866		—		(59,866	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $26,237,642.

AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
MACQ	Total Return Swap Contracts	$	3,771	$	(3,771	)	$	—	$	—	$	—	$	—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,771		(3,771	)		—		—		—		—

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	78,823	$	—		$	78,823	$	—	$	—		$	78,823
GSIN	Total Return Swap Contracts		5,213		—			5,213		—		—			5,213
MACQ	Total Return Swap Contracts		53,966		(3,771	)		50,195		—		(50,195	)		—
SOCG	Total Return Swap Contracts		37,730		—			37,730		—		(20,177	)		17,553
Total financial instruments subject to a master netting arrangement or similar arrangement			175,732		(3,771	)		171,961		—		(70,372	)		101,589

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $220,378.

AQR Funds Annual Report December 2016

366

Notes to Financial Statements December 31, 2016

For the year ended December 31, 2016, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND		AQR LONG- SHORT EQUITY FUND		AQR MULTI- STRATEGY ALTERNATIVE FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND		AQR RISK PARITY FUND
Futures Contracts:
Average Notional Balance—Long	$	—	$	—	$	125,941,919	$	726,821,472	$	5,219,982,177	$	268,984,476	$	535,015,828
Average Notional Balance—Short		128,723,707		—		113,207,669		—		3,636,609,845		70,603,562		15,244,284
Ending Notional Balance—Long		—		—		35,551,442		1,132,271,752		4,206,372,314		429,462,888		459,209,476
Ending Notional Balance—Short		90,995,483		—		46,359,126		—		5,770,860,237		118,779,158		14,776,659
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		4,727,821		12,081,161		38,563,641		251,045,161		2,307,136,412		—		119,968,752
Average Settlement Value—Sold		30,778,462		45,096,292		38,480,976		20,624,949		2,410,126,486		—		144,547,996
Ending Value— Purchased		1,394,500		12,487,636		36,415,818		453,614,339		2,301,671,938		—		85,755,087
Ending Value—Sold		20,355,640		54,490,686		36,566,906		15,291,190		2,636,955,816		—		115,498,174
Exchange-Traded Options:
Average Number of Contracts— Written		1,662		—		—		—		866		—		—
Ending Number of Contracts— Written		—		—		—		—		411		—		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		48,025,000		—		—		—		39,996,750		—		—
Average Notional Balance—Sell Protection		—		—		—		—		350,002,667		—		306,000,000
Ending Notional Balance—Buy Protection		20,875,000		—		—		—		72,012,000		—		—
Ending Notional Balance—Sell Protection		—		—		—		—		443,983,000		—		350,900,000
Total Return Swaps:
Average Notional Balance—Long		—		—		3,216,272		26,869,185		277,183,019		43,503,390		43,316,839
Average Notional Balance— Short		—		—		2,368,230		—		426,203,105		19,527,433		7,150,677
Ending Notional Balance— Long		—		—		3,281,797		39,697,948		415,711,904		54,167,115		44,712,554
Ending Notional Balance—Short		—		—		3,508,805		—		493,696,509		20,580,001		899,791
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		—		554,750,223		—		—		—		61,175,975
Average Notional Balance—Receives Fixed rate		—		—		586,327,934		—		—		—		73,134,162
Ending Notional Balance—Pays Fixed Rate		—		—		427,936,021		—		—		—		51,084,837
Ending Notional Balance—Receives Fixed Rate		—		—		381,707,298		—		—		—		42,225,534
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		169,132,161		1,033,871,767		—		1,885,029,900		4,954,406,851		—		—
Average Notional of Underlying Positions—Short		64,302,186		973,136,003		—		1,776,677,759		4,093,654,248		—		—
Ending Notional Balance—Long		176,425,433		1,364,729,607		—		3,106,844,331		5,515,383,728		—		—
Ending Notional Balance—Short		63,328,294		1,327,101,571		—		3,026,647,130		4,526,357,290		—		—

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367

Notes to Financial Statements December 31, 2016

Derivatives Volume Disclosure* (continued)

	AQR RISK PARITY II HV FUND		AQR RISK PARITY II MV FUND		AQR STYLE PREMIA ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE LV FUND
Futures Contracts:
Average Notional Balance—Long	$	122,404,700	$	139,089,594	$	12,682,084,276	$	694,189,414
Average Notional Balance—Short		2,499,003		2,534,539		7,598,685,251		422,012,158
Ending Notional Balance—Long		133,261,066		131,367,845		11,406,336,423		617,953,535
Ending Notional Balance—Short		4,344,530		2,638,207		4,738,757,483		259,195,055
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		688,214		640,405		1,902,515,214		106,528,263
Average Settlement Value—Sold		11,505,265		12,642,818		1,998,646,960		110,741,767
Ending Value— Purchased		57,036		107,490		2,070,207,844		121,413,745
Ending Value—Sold		13,500,963		12,872,981		2,079,431,266		122,197,795
Total Return Swaps:
Average Notional Balance—Long		8,858,962		11,184,237		446,997,070		27,324,298
Average Notional Balance— Short		1,131,865		1,889,566		189,080,228		10,435,814
Ending Notional Balance— Long		11,617,960		11,949,949		519,434,575		32,875,115
Ending Notional Balance—Short		238,850		329,922		377,524,775		21,568,435
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		2,827,758,476		144,926,790
Average Notional of Underlying Positions—Short		—		—		2,242,304,221		114,375,882
Ending Notional Balance—Long		—		—		3,635,028,326		187,094,613
Ending Notional Balance—Short		—		—		2,900,146,648		150,531,497

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

10. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to a Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Diversified Arbitrage Fund		1.00	%
AQR Equity Market Neutral Fund		1.10
AQR Global Macro Fund		1.25
AQR Long-Short Equity Fund		1.10
AQR Multi-Strategy Alternative Fund		1.80
AQR Risk-Balanced Commodities Strategy Fund		0.80
AQR Risk Parity Fund		0.75	(a)
AQR Risk Parity II HV Fund		0.95	(b)
AQR Risk Parity II MV Fund		0.75	(c)
AQR Style Premia Alternative Fund		1.35
AQR Style Premia Alternative LV Fund		0.65

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

(b) The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion.

(c) The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion.

AQR Funds Annual Report December 2016

368

Notes to Financial Statements December 31, 2016

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2018 for Class I, N and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Diversified Arbitrage Fund		1.20	%		1.45	%		1.10	%
AQR Equity Market Neutral Fund		1.30			1.55			1.20
AQR Global Macro Fund		1.45			1.70			1.35
AQR Long-Short Equity Fund		1.30			1.55			1.20
AQR Multi-Strategy Alternative Fund		1.98			2.23			1.88
AQR Risk-Balanced Commodities Strategy Fund		1.00			1.25			0.90
AQR Risk Parity Fund		0.95			1.20			0.85
AQR Risk Parity II HV Fund		1.15			1.40			1.05
AQR Risk Parity II MV Fund		0.95			1.20			0.85
AQR Style Premia Alternative Fund		1.50			1.75			1.40
AQR Style Premia Alternative LV Fund		0.85			1.10			0.75

For the year ended December 31, 2016 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Diversified Arbitrage Fund	$	507,166	$	6,638	$	513,804
AQR Equity Market Neutral Fund		—		4,780		4,780
AQR Global Macro Fund		197,548		16,601		214,149
AQR Risk-Balanced Commodity Fund		128,305		1,205		129,510
AQR Risk Parity Fund		79,434		1,313		80,747
AQR Risk Parity II HV Fund		202,923		—		202,923
AQR Risk Parity II MV Fund		187,734		1,319		189,053
AQR Style Premia Alternative Fund		787,929		26,458		814,387
AQR Style Premia Alternative LV Fund		101,763		8,306		110,069

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 lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable period during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.

For the year ended December 31, 2016, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at December 31, 2016 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE YEAR ENDED DECEMBER 31, 2016		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2016		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2017		2018		2019
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	388,597	$	688,271	$	6,759	$	292,915	$	388,597
Class N		122,406		193,492		—		71,086		122,406
Class R6		2,801		3,008		1		206		2,801
Totals	$	513,804	$	884,771	$	6,760	$	364,207	$	513,804

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369

Notes to Financial Statements December 31, 2016

	FEES WAIVED/ REIMBURSED FOR THE YEAR ENDED DECEMBER 31, 2016		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2016		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2017		2018		2019
AQR EQUITY MARKET NEUTRAL FUND
Class I	$	—	$	114,438	$	6,286	$	108,152	$	—
Class N		—		58,491		1,211		57,280		—
Class R6		4,780		74,580		43,452		26,348		4,780
Totals	$	4,780	$	247,509	$	50,949	$	191,780	$	4,780
AQR GLOBAL MACRO FUND
Class I	$	152,972	$	490,734	$	211,421	$	126,341	$	152,972
Class N		35,782		114,560		7,011		71,767		35,782
Class R6		25,395		26,143		365		383		25,395
Totals	$	214,149	$	631,437	$	218,797	$	198,491	$	214,149
AQR LONG-SHORT EQUITY FUND
Class I	$	—	$	194,592	$	113,987	$	80,605	$	—
Class N		—		38,685		22,010		16,675		—
Class R6		—		—		—		—		—
Totals	$	—	$	233,277	$	135,997	$	97,280	$	—
AQR MULTI-STRATEGY ALTERNATIVE FUND
Class I	$	—	$	352,197	$	193,951	$	158,246	$	—
Class N		—		48,476		39,755		8,721		—
Class R6		—		—		—		—		—
Totals	$	—	$	400,673	$	233,706	$	166,967	$	—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	55,960	$	340,885	$	146,283	$	138,642	$	55,960
Class N		3,059		37,293		26,863		7,371		3,059
Class R6		70,491		113,012		366		42,155		70,491
Totals	$	129,510	$	491,190	$	173,512	$	188,168	$	129,510
AQR RISK PARITY FUND
Class I	$	74,115	$	143,233	$	—	$	69,118	$	74,115
Class N		3,459		8,152		—		4,693		3,459
Class R6		3,173		3,433		1		259		3,173
Totals	$	80,747	$	154,818	$	1	$	74,070	$	80,747
AQR RISK PARITY II HV FUND
Class I	$	172,084	$	430,047	$	118,124	$	139,839	$	172,084
Class N		22,048		88,884		38,672		28,164		22,048
Class R6		8,791		16,248		122		7,335		8,791
Totals	$	202,923	$	535,179	$	156,918	$	175,338	$	202,923
AQR RISK PARITY II MV FUND
Class I	$	174,716	$	465,648	$	126,164	$	164,768	$	174,716
Class N		13,156		42,177		16,202		12,819		13,156
Class R6		1,181		1,405		57		167		1,181
Totals	$	189,053	$	509,230	$	142,423	$	177,754	$	189,053
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	499,572	$	788,512	$	—	$	288,940	$	499,572
Class N		44,692		85,072		23,532		16,848		44,692
Class R6		270,123		351,861		3,725		78,013		270,123
Totals	$	814,387	$	1,225,445	$	27,257	$	383,801	$	814,387
AQR STYLE PREMIA ALTERNATIVE LV FUND
Class I	$	79,631	$	269,255	$	12,440	$	177,184	$	79,631
Class N		11,465		74,339		12,768		50,106		11,465
Class R6		18,973		205,260		113,104		73,183		18,973
Totals	$	110,069	$	548,854	$	138,312	$	300,473	$	110,069

AQR Funds Annual Report December 2016

370

Notes to Financial Statements December 31, 2016

During the year ended December 31, 2016, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Equity Market Neutral Fund	$	10,931	$	13,718	$	—
AQR Long-Short Equity Fund		140,943		23,852		1,659
AQR Multi-Strategy Alternative Fund		211,044		31,566		4,708

Pursuant to the Sub-Advisory Agreements between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 0.50% and 0.35% of the average daily net assets for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund, respectively.

JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.

State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Long-Short Equity Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

During the year ended December 31, 2016, the Adviser made a payment to the AQR Multi-Strategy Alternative Fund of $3,553,831 relating to a trading error. The impact of the Adviser’s contribution on the Fund’s total return was 0.10%, 0.00% and 0.10% for Class I, N and R6 respectively. The amount has been included in Net realized gain (loss) from investments in securities in the Statements of Operations.

11. Distribution Plan

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

12. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

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371

Notes to Financial Statements December 31, 2016

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.

Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

13. Holdings of 5% Voting Securities

The 1940 Act defines affiliates as companies in which the Fund owns at least 5% of the outstanding voting securities. The following is a summary of transactions with each affiliated company during the year ended December 31, 2016:

AQR DIVERSIFIED ARBITRAGE FUND
NAME OF ISSUER	NUMBER OF SHARES/UNITS AT 12/31/15		GROSS ADDITIONS		GROSS REDUCTIONS			NUMBER OF SHARES HELD AT END OF YEAR 12/31/16		VALUE AT END OF YEAR 12/31/16		INVESTMENT INCOME		REALIZED GAIN (LOSS)
1347 Capital Corp. (Common Stock)		420,504		—		(420,504	)		—	$	—	$	—	$	173
Arowana, Inc. (Common Stock)		787,920		—		(787,920	)		—		—		—		468,066
Barington/Hilco Acquisition Corp. (Common Stock)		487,260		—		(487,260	)		—		—		—		(68,321	)

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Notes to Financial Statements December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND (continued)
NAME OF ISSUER	NUMBER OF SHARES/UNITS AT 12/31/15		GROSS ADDITIONS		GROSS REDUCTIONS			NUMBER OF SHARES HELD AT END OF YEAR 12/31/16		VALUE AT END OF YEAR 12/31/16		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Dundee Acquisition Ltd., Class A (Common Stock)		1,260,000		—		(1,260,000	)		—	$	—	$	—	$	(1,302,864	)
Education Management (Common Stock)*		26,919,323		—		(8,394,260	)		18,525,063		111,150		—		(299,053	)
FinTech Acquisition Corp. (Common Stock)		810,000		—		(810,000	)		—		—		—		25,372
Garnero Group Acquisition Co. (Common Stock)		1,800,200		—		(1,800,200	)		—		—		—		90,011
Gibraltar Growth Corp., Class A (Common Stock)**		1,274,000		—		(100	)		1,273,900		9,345,634		—		(63	)
GP Investments Acquisition Corp. (Common Stock)		2,130,000		—		(2,130,000	)		—		—		—		(916,345	)
Harmony Merger Corp. (Common Stock)		1,375,100		—		(1,375,100	)		—		—		—		(214,926	)
Hunter Maritime Acquisition Corp. (Common Stock)*		—		950,000		—			950,000		9,642,500		—		—
Hydra Industries Acquisition Corp. (Common Stock)		1,620,000		—		(1,620,000	)		—		—		—		(120,328	)
KLR Energy Acquisition Corp. (Common Stock)*		—		500,000		—			500,000		5,175,000		—		—
Landcadia Holdings, Inc. (Common Stock)*		—		500,000		—			500,000		4,875,000		—		—
M I Acquisitions, Inc. (Common Stock)*		—		250,000		—			250,000		2,540,000		—		—
Origo Acquisition Corp. (Common Stock)*		325,500		—		—			325,500		3,385,200		—		—
Pacific Special Acquisition Corp. (Common Stock)*		373,500		—		—			373,500		3,828,375		—		—
Stellar Acquisition III, Inc. (Common Stock)*		—		600,000		—			600,000		6,180,000		—		—
1347 Capital Corp. (Rights)		420,504		—		(420,504	)		—		—		—		—
Arowana, Inc. (Rights)		720,000		—		(720,000	)		—		—		—		—
Barington/Hilco Acquisition Corp. (Rights)*		487,260		—		—			487,260		121,766		—		—
Garnero Group Acquisition Co. (Rights)		2,430,200		—		(2,430,200	)		—		—		—		—
Hydra Industries Acquisition Corp. (Rights)		1,720,000		—		(1,720,000	)		—		—		—		—
Origo Acquisition Corp. (Rights)*		325,500		—		—			325,500		113,925		—		—
Pacific Special Acquisition Corp. (Rights)*		373,500		—		—			373,500		197,955		—		—
Ability, Inc. (Warrants)*		1,454,787		—		(5,230	)		1,449,557		46,386		—		7,446
Arowana, Inc. (Warrants)		720,000		—		(720,000	)		—		—		—		—
Barington/Hilco Acquisition Corp. (Warrants)*		487,260		—		—			487,260		62,369		—		—
Dundee Acquisition Ltd. (Warrants)**		630,000		—		—			630,000		98,536		—		—
Education Management Corp. (Warrants)*		16,528,497		—		—			16,528,497		165		—		—
FinTech Acquisition Corp. (Warrants)		810,000		—		(810,000	)		—		—		—		—
Garnero Group Acquisition Co. (Warrants)		2,430,200		—		(2,430,200	)		—		—		—		—
Gibraltar Growth Corp. (Warrants)**		1,274,000		—		—			1,274,000		308,383		—		—
GP Investments Acquisition Corp. (Warrants)**		1,237,500		—		(250,000	)		987,500		444,375		—		172,496

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373

Notes to Financial Statements December 31, 2016

AQR DIVERSIFIED ARBITRAGE FUND (continued)
NAME OF ISSUER	NUMBER OF SHARES/UNITS AT 12/31/15		GROSS ADDITIONS		GROSS REDUCTIONS			NUMBER OF SHARES HELD AT END OF YEAR 12/31/16		VALUE AT END OF YEAR 12/31/16		INVESTMENT INCOME		REALIZED GAIN (LOSS)
Harmony Merger Corp. (Warrants)*		1,475,100		—		—			1,475,100	$	553,163	$	—	$	—
Inspired Entertainment, Inc. (Warrants)*		1,720,000		—		(186,957	)		1,533,043		797,182		—		72,912
KLR Energy Acquisition Corp. (Warrants)*		—		500,000		—			500,000		700,000		—		—
Landcadia Holdings, Inc. (Warrants)*		—		500,000		—			500,000		330,000		—		—
Limbach Holdings, Inc. (Warrants)**		420,504		—		(84,000	)		336,504		878,276		—		20,999
Origo Acquisition Corp. (Warrants)*		325,500		—		—			325,500		88,211		—		—
Pacific Special Acquisition Corp. (Warrants)*		373,500		—		—			373,500		104,580		—		—
Quinpario Acquisition Corp. 2 (Warrants)*		2,880,708		—		—			2,880,708		576,142		—		—
Tempus Applied Solution (Warrants)*		614,551		—		—			614,551		676		—		—
										$	50,504,949	$	—	$	(2,064,425	)

* Affiliated as of December 31, 2016.

** No longer affiliated as of December 31, 2016.

14. Line of Credit

Effective February 29, 2016 and terminating on February 28, 2017, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. The maximum loan amount is the lesser of an amount which will not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between 300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full. Effective July 22, 2016 the line of credit available was increased to $285,000,000 from $275,000,000. On February 9, 2017 the Board of Trustees approved the amended and restated line of credit, effective February 24, 2017 to allow for up to $300,000,000 as part of a 364 day-revolving facility subject to substantially similar terms. The Funds did not have any borrowings for the year ended December 31, 2016.

15. Principal Ownership

As of December 31, 2016, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Diversified Arbitrage Fund		5		84.64	%
AQR Equity Market Neutral Fund		5		67.76	%
AQR Global Macro Fund*		6		87.12	%
AQR Long-Short Equity Fund		9		80.89	%
AQR Multi-Strategy Alternative Fund		3		75.82	%
AQR Risk-Balanced Commodities Strategy Fund		6		86.48	%
AQR Risk Parity Fund		4		82.13	%
AQR Risk Parity II HV Fund*		8		90.81	%
AQR Risk Parity II MV Fund		5		74.81	%
AQR Style Premia Alternative Fund		4		70.45	%
AQR Style Premia Alternative LV Fund		7		94.29	%

* The percentage held by the Adviser and/or affiliates is 29.46% and 17.18% respectively.

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374

Notes to Financial Statements December 31, 2016

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

16. New Accounting Pronouncements and Regulations

In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization, to modernize and enhance the reporting and disclosure of information by registered investment companies. The SEC is adopting amendments to Regulation S-X, which will require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules will allow the SEC to more effectively collect and use data reported by funds, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review.

Compliance with the modifications to Regulation S-X is required for financial statements filed with the SEC on or after August 1, 2017 and other amendments and rules are effective during 2018. Adoption of these rules will have no effect on the Funds’ net assets or results of operations. Management is currently evaluating the impact on the Funds’ financial statements.

17. Subsequent Events

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than noted above.

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375

Report of Independent Registered Public Accounting Firm

To the Trustees of the AQR Trust and the Shareholders of AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund, AQR Style Premia Alternative LV, AQR Global Macro Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund and AQR Risk Parity II MV Fund:

In our opinion, the (i) accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations, of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of each of AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV as of December 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, each of their cash flows for the year then ended, and each of their financial highlights for the periods presented therein, and (ii) accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of AQR Global Macro Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, and AQR Risk Parity II MV Fund as of December 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and each of their financial highlights for the periods presented therein, (hereinafter referred to as the “Funds”), 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 as of December 31, 2016 by correspondence with the custodians, brokers and transfer agents, provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

New York, New York

February 24, 2017

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376

Other Federal Tax Information (Unaudited)

For the fiscal year ended December 31, 2016, the Funds designate the following percentages of ordinary income dividends, or maximum amount allowable, as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief Reconciliation Act of 2003:

FUND	PERCENTAGE
AQR Diversified Arbitrage Fund		8.33	%
AQR Equity Market Neutral Fund		32.53	%
AQR Long-Short Equity Fund		13.30	%

For the fiscal year ended December 31, 2016, the following percentages of income dividends paid by the Fund qualify for the dividends received deduction available to corporations:

FUND	PERCENTAGE
AQR Diversified Arbitrage Fund		7.40	%

The Funds designate the following amounts, or the maximum allowable under Section 852 of the Internal Revenue Code, as long term capital gain dividends paid during the fiscal year ended December 31, 2016:

FUND	TOTAL
AQR Equity Market Neutral Fund	$	85,029
AQR Global Macro Fund	$	1,594,800
AQR Long-Short Equity Fund	$	15,863,659
AQR Multi-Strategy Alternative Fund	$	56,890,894
AQR Risk Parity Fund	$	9,275,104
AQR Risk Parity II HV Fund	$	996,808
AQR Risk Parity II MV Fund	$	1,511,934
AQR Style Premia Alternative LV Fund	$	743,832

The Funds designate the following amounts, or the maximum allowable under Section 871(k) of the Internal Revenue Code, as short-term capital gain dividends paid during the fiscal year ended December 31, 2016 to non-resident alien shareholders:

FUND	TOTAL
AQR Long-Short Equity Fund	$	10,688,958
AQR Risk Parity Fund	$	8,080,307
AQR Risk Parity II HV Fund	$	544,824
AQR Risk Parity II MV Fund	$	784,723

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377

Fund Expense Examples (Unaudited)

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

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 12/31/16” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Hypothetical Example for Comparison Purposes

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

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

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/16		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/16
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$1,074.00		2.32	%		$12.09
Hypothetical Return		$1,000.00		$1,013.47		2.32	%		$11.74
Class N
Actual Return		$1,000.00		$1,072.70		2.57	%		$13.39
Hypothetical Return		$1,000.00		$1,012.22		2.57	%		$13.00
Class R6
Actual Return		$1,000.00		$1,074.10		2.20	%		$11.47
Hypothetical Return		$1,000.00		$1,014.08		2.20	%		$11.14
AQR Equity Market Neutral Fund
Class I
Actual Return		$1,000.00		$1,056.70		1.88	%		$9.72
Hypothetical Return		$1,000.00		$1,015.69		1.88	%		$9.53
Class N
Actual Return		$1,000.00		$1,054.30		1.91	%		$9.86
Hypothetical Return		$1,000.00		$1,015.53		1.91	%		$9.68
Class R6
Actual Return		$1,000.00		$1,056.40		1.90	%		$9.82
Hypothetical Return		$1,000.00		$1,015.58		1.90	%		$9.63

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378

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/16		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/16
AQR Global Macro Fund
Class I
Actual Return		$1,000.00		$1,032.50		1.42	%		$7.25
Hypothetical Return		$1,000.00		$1,018.00		1.42	%		$7.20
Class N
Actual Return		$1,000.00		$1,031.60		1.65	%		$8.43
Hypothetical Return		$1,000.00		$1,016.84		1.65	%		$8.36
Class R6
Actual Return		$1,000.00		$1,033.70		1.35	%		$6.90
Hypothetical Return		$1,000.00		$1,018.35		1.35	%		$6.85
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$1,092.00		1.75	%		$9.20
Hypothetical Return		$1,000.00		$1,016.34		1.75	%		$8.87
Class N
Actual Return		$1,000.00		$1,090.90		1.97	%		$10.35
Hypothetical Return		$1,000.00		$1,015.23		1.97	%		$9.98
Class R6
Actual Return		$1,000.00		$1,091.50		1.82	%		$9.57
Hypothetical Return		$1,000.00		$1,015.99		1.82	%		$9.22
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$1,025.30		2.46	%		$12.52
Hypothetical Return		$1,000.00		$1,012.77		2.46	%		$12.45
Class N
Actual Return		$1,000.00		$1,023.30		2.75	%		$13.99
Hypothetical Return		$1,000.00		$1,011.31		2.75	%		$13.90
Class R6
Actual Return		$1,000.00		$1,025.30		2.38	%		$12.12
Hypothetical Return		$1,000.00		$1,013.17		2.38	%		$12.04
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$977.90		0.99	%		$4.92
Hypothetical Return		$1,000.00		$1,020.16		0.99	%		$5.03
Class N
Actual Return		$1,000.00		$975.90		1.25	%		$6.21
Hypothetical Return		$1,000.00		$1,018.85		1.25	%		$6.34
Class R6
Actual Return		$1,000.00		$977.00		0.90	%		$4.47
Hypothetical Return		$1,000.00		$1,020.61		0.90	%		$4.57
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$992.80		0.93	%		$4.66
Hypothetical Return		$1,000.00		$1,020.46		0.93	%		$4.72
Class N
Actual Return		$1,000.00		$990.80		1.19	%		$5.95
Hypothetical Return		$1,000.00		$1,019.15		1.19	%		$6.04
Class R6
Actual Return		$1,000.00		$992.60		0.85	%		$4.26
Hypothetical Return		$1,000.00		$1,020.86		0.85	%		$4.32

AQR Funds Annual Report December 2016

379

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/16		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/16
AQR Risk Parity II HV Fund
Class I
Actual Return		$1,000.00		$977.20		1.28	%		$6.36
Hypothetical Return		$1,000.00		$1,018.70		1.28	%		$6.50
Class N
Actual Return		$1,000.00		$975.80		1.54	%		$7.65
Hypothetical Return		$1,000.00		$1,017.39		1.54	%		$7.81
Class R6
Actual Return		$1,000.00		$976.60		1.19	%		$5.91
Hypothetical Return		$1,000.00		$1,019.15		1.19	%		$6.04
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$985.40		0.93	%		$4.64
Hypothetical Return		$1,000.00		$1,020.46		0.93	%		$4.72
Class N
Actual Return		$1,000.00		$983.60		1.21	%		$6.03
Hypothetical Return		$1,000.00		$1,019.05		1.21	%		$6.14
Class R6
Actual Return		$1,000.00		$985.30		0.85	%		$4.24
Hypothetical Return		$1,000.00		$1,020.86		0.85	%		$4.32
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$998.30		1.99	%		$10.00
Hypothetical Return		$1,000.00		$1,015.13		1.99	%		$10.08
Class N
Actual Return		$1,000.00		$997.30		2.27	%		$11.40
Hypothetical Return		$1,000.00		$1,013.72		2.27	%		$11.49
Class R6
Actual Return		$1,000.00		$999.30		1.96	%		$9.85
Hypothetical Return		$1,000.00		$1,015.28		1.96	%		$9.93
AQR Style Premia Alternative LV Fund
Class I
Actual Return		$1,000.00		$1,000.70		1.09	%		$5.48
Hypothetical Return		$1,000.00		$1,019.66		1.09	%		$5.53
Class N
Actual Return		$1,000.00		$997.80		1.36	%		$6.83
Hypothetical Return		$1,000.00		$1,018.30		1.36	%		$6.90
Class R6
Actual Return		$1,000.00		$999.80		1.06	%		$5.33
Hypothetical Return		$1,000.00		$1,019.81		1.06	%		$5.38

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/366 (to reflect the one-half year period unless stated otherwise).

AQR Funds Annual Report December 2016

380

Trustees and Officers (Unaudited) December 31, 2016

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, 4^th Floor, Greenwich CT 06830.

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED		PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS		NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE		OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Disinterested Trustees2
Timothy K. Armour, M.B.A., 1948		Chairman of the Board, since 2010 and Trustee, since 2008		Interim Chief Executive Officer of Janus Capital Group (retired) (2009-2010) (financial services)		46		Janus Capital Group (2008- 2016); ETF Securities (2010- 2013)
L. Joe Moravy, M.B.A., CPA, 1950		Trustee, since 2008		Independent Consultant (since 2014); Managing Director, Finance Scholars Group (2010-2014) (consulting)		46		Nuveen Exchange Traded Commodities Funds (2012-2016)
William L. Atwell, M.B.A., 1950		Trustee, since 2011		Managing Director, Atwell Partners LLC (since 2012) (consulting); President (CIGNA International), CIGNA (2008- 2012) (insurance)		46		Webster Financial Corporation (since 2014)
Gregg D. Behrens, M.M., 1952		Trustee, since 2011		Retired from Northern Trust Company (since 2009) (banking)		46		None
Brian Posner, M.B.A., 1961		Trustee, since 2011		President, Point Rider Group LLC (since 2008) (consulting)		46		Biogen (since 2008); Bioverativ Inc. (since 2017) Biogen Inc. (since 2008); Arch Capital Group (since 2010); BG Medicine (2012- 2015); RiverPark Funds Trust (2010- 2012)
Mark. A. Zurack, M.B.A., CFA 1957		Trustee, since 2014		Senior Lecturer, Columbia Business School (since 2002); Visiting Senior Lecturer, Cornell University (2004-2013)		46		Exchange Traded Concepts Trust (since 2011); Source ETF Trust (2014-2015)
Interested Trustees3
David Kabiller, CFA, 1963		Trustee, since 2010		Founding Principal, AQR Capital Management, LLC (since 1998)		46		None
Marco Hanig, Ph.D., 1958		Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008		Principal, AQR Capital Management, LLC (since 2008)		46		None
Officers
H.J. Willcox, J.D., 1966		Chief Compliance Officer, since 2013		Managing Director and Chief Compliance Officer, AQR Capital Management, LLC (since 2013); Global Head of Compliance and Counsel KKR & Co., L.P. (2008-2013)		N/A		N/A
Heather Bonner, CPA, 1977		Chief Financial Officer, since 2014		Vice President, AQR Capital Management, LLC (since 2013); Senior Manager, PricewaterhouseCoopers, LLP (2007- 2013)		N/A		N/A

AQR Funds Annual Report December 2016

381

Trustees and Officers (Unaudited) December 31, 2016

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Gregory McNeil, M.S./M.B.A., CPA, 1975	Vice President and Treasurer, since 2015	Vice President, AQR Capital Management, LLC (since 2015); Assistant Treasurer, Franklin Templeton Investments (2010-2015)	N/A	N/A
Bradley Asness, J.D., M.B.A. 1969	Vice President, since 2009	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 1998)	N/A	N/A
Brendan R. Kalb, J.D., 1975	Executive Vice President, since 2009; Secretary, since 2008	Managing Director and General Counsel, AQR Capital Management, LLC (since 2004)	N/A	N/A
Nicole DonVito, J.D., 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Managing Director, Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007)	N/A	N/A

(1) Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 72.

(2) A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act.

(3) An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser.

AQR Funds Annual Report December 2016

382

Board Approval of Investment Advisory Agreements (Unaudited)

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 10-11, 2016 to consider the continuation of the: (i) Second Amended and Restated Investment Management Agreement, as amended, for the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund, and AQR Capital Management, LLC (“AQR”) (the “Investment Management Agreement”); (ii) Second Amended and Restated Investment Sub-Advisory Agreement between AQR and CNH Partners, LLC ( “CNH” or the “Sub-Adviser”) with respect to the AQR Diversified Arbitrage Fund (the “DAF Sub-Advisory Agreement”); and (iii) the Investment Sub-Advisory Agreement between AQR and CNH with respect to the AQR Multi-Strategy Alternative Fund (collectively with the DAF Sub-Advisory Agreement, the “Sub-Advisory Agreements”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” In connection with these considerations, the Board Members also considered the Third Amended and Restated Investment Management Agreement, amending and restating the Investment Management Agreement effective January 29, 2017, reflecting the addition of certain other series of the Trust (the “Amendment”). The Investment Management Agreement (including the Amendment) and the Sub-Advisory Agreements are referred to collectively herein as the “Management Agreement,” as applicable and as the context suggests.

In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on November 4, 2016 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 10-11, 2016, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) memoranda and materials provided by AQR, describing the personnel and services provided by CNH to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund; (iii) performance information for the Funds relevant to the consideration of the Management Agreement; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and performance relative to peers; (v) a discussion of the financial information and profitability of AQR and CNH; and (vi) a discussion of the compliance programs of AQR and CNH and the regulatory exam histories of each. AQR and CNH are referred to herein as the “Adviser,” as applicable.

At the in-person meeting held on November 10-11, 2016, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additional one-year period. The Board, including the Independent Board Members, also unanimously approved the Amendment. In approving the continuation of the Management Agreement, the Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.

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

In considering the renewal of the Management Agreement, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement.

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 Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, has responsibility for overseeing CNH with respect to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, provides oversight of Fund accounting, provides marketing services, provides risk management, provides compliance oversight, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Funds over time.

Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.

AQR Funds Annual Report December 2016

383

Board Approval of Investment Advisory Agreements (Unaudited)

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that AQR is an appropriate investment adviser for the Funds.

The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees paid by the Funds to the Adviser pursuant to the 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 provided to the Funds.

To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar Report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, including sub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when it sub-advises mutual funds.

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

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

Based on their review of the materials presented at the Meeting, the Board concluded that the management fees under the Management Agreement are reasonable.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that, under the Management Agreement, none of the Funds, except for the AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund, would have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.

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

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment 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 management fee rates under the Management Agreement and total expense ratios are reasonable in relation to the services provided by the Adviser (including CNH, when applicable) to the Funds, as well as the costs incurred and benefits to be gained by the Adviser (including CNH, when applicable) in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to the Funds. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Annual Report December 2016

384

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Sub-Adviser

CNH Partners, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

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

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

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248

p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Annual Report

December 31, 2016

AQR Managed Futures Strategy Fund

AQR Managed Futures Strategy HV Fund

Table of Contents

Shareholder Letters (unaudited)
AQR Managed Futures Strategy Fund	2
AQR Managed Futures Strategy HV Fund	5
Schedule of Investments
AQR Managed Futures Strategy Fund	9
AQR Managed Futures Strategy HV Fund	22
Financial Statements and Notes	34
Report of Independent Registered Public Accounting Firm	56
Fund Expense Examples (unaudited)	57
Trustees and Officers (unaudited)	58
Board Approval of Investment Advisory Agreements (unaudited)	60

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Ari Levine

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

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

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

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

It was a difficult year for our Fund and trend-following strategies more broadly. The Fund’s Class I shares returned -8.43% versus a +0.33% return for its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM. The strategy underperformed the SG Trend Index, which returned -6.21% in 2016. This index is an equal weighted composite of 10 of the largest trend-following managed futures hedge funds. By asset class, on a gross basis, equities detracted -4.17%, fixed income contributed +2.24%, commodities detracted -4.93%, and currencies detracted marginally with a -0.49% return.

The first half of 2016 was net positive for trends, despite a number of reversals across markets which began in the middle of the first quarter. Positive Fund returns in the first half were due to the generally weak global economic picture and associated market dynamics. While it may seem a distant memory, from May 21, 2015 through February 11, 2016, the MSCI World Index experienced its second largest drawdown since 2008, declining -17.6%. Concerns over China’s deceleration and a depreciation of the yuan drove negative sentiment starting in mid-2015. Anemic growth in the U.S. and falling oil prices caused that sentiment to carry over into 2016.

The Federal Reserve (“Fed”) and other central banks offered dovish responses to assuage markets, prompting large reversals by the middle of the first quarter. However, significant political uncertainty then came to the fore causing markets to reverse again, especially in June. Rising populism across Europe set the stage for one of the most shocking events of the year: the U.K.’s vote for a “Brexit”, throwing into question the viability of the EU as a whole. Given the longer-term context of global stagnation and downside economic risks, our Fund was positioned in line with bearish trends, performing best when safe-haven assets, such as developed market government bonds and the Japanese yen, performed their best, and risky assets, such as equities, were at their worst. While not guaranteed to always behave in this manner, the first half demonstrated trend-following’s ability to bring positive returns and diversification benefits to traditional portfolios during a weak economic scenario.

Coming into the second half, the portfolio, in response to market dynamics, was positioned to do well in a near-term risk aversion scenario had concerns from the first half progressed into a worse state and caused risky assets to suffer. In the second half of the year, however, sentiment across asset classes shifted decidedly against the longer-term bearish context. As financial conditions broadly eased since the first quarter, global growth proved resilient, with China concerns receding and the U.K. showing stronger than expected growth. Outside of the Bank of England (“BOE”), which cut rates and began new quantitative easing, other central banks didn’t respond to the “Brexit” vote, causing weakness across global bond markets. The Fed shifted its focus away from global economic risks to the domestic employment and inflation picture and an eventual rate hike, leading to reversals and sell-offs in U.S. government bonds. The complexion of other central bank policies also changed, with the Bank of Japan (“BOJ”) announcing policy aimed at maintaining a steep yield curve, and the European Central Bank (“ECB”) acting similarly, while also extending asset purchases, albeit at a slower pace, through the end of 2017. These actions prompted a reversal in bonds globally. Additionally, the Fed more concretely

AQR Funds Annual Report December 2016

2

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

diverging from other central banks sparked a reversal in the year’s bearish U.S. dollar trend, especially against the Japanese yen, as well as the bullish trend in gold. At the end of the year, the surprise U.S. election outcome only accelerated these reversals, as promises for fiscal stimulus and new trade policies caused both growth and inflation expectations to markedly rise.

Commodities were also a notable area which exhibited reversals. In line with other risky assets in the middle of the first quarter, oil markets reversed their bearish trends experienced since 2014, with our strategy navigating this reversal well, due to our over-extended signal. However, oil markets exhibited a range bound and choppy path in the second half of the year on news and speculation around Organization of the Petroleum Exporting Countries’ ability to strike an agreement on a production cap among both members and non-members, namely Russia.

Short-term trend-following signals outperformed long-term signals, positive contributions to the Fund were generated by taking short positions in fixed income and long U.S. positions in the second half of the year. Long-term signals detracted however, performing negatively in every asset class as every asset class exhibited reversals during the year. Over-extended signals contributed to performance, as they helped the strategy navigate reversals in fixed income, currencies and commodities during the year.

The strategy’s average annualized volatility target is 10.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 8.2% volatility, due to conflicting long- and short-term signals in some assets. The Fund ended the year at a similar volatility level of 8.9%, as reversals caused signal disagreement.

Overall, while our Fund, and trend strategies broadly, faced difficulties in the second half, their result for the year remained strongly diversifying to a traditional asset allocation, which performed well. Additionally, the Fund underperformed the SG Trend Index, though the degree of deviation is well within the bounds of historical tracking error. For the year, being more diversified via a balanced asset allocation, as well as across both short-term and long-term trend signals caused this underperformance. While a more diversified approach may not always outperform in the short-run, we do expect it to provide a better long-run investor experience. Looking ahead, we expect the Fund to tactically respond to changing market conditions, and, over the long-term, realize a low correlation to traditional assets.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR MANAGED FUTURES STRATEGY FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQMIX		-8.43%		0.81%		2.91%		1.88%		1/5/2010
Fund - Class N: AQMNX		-8.71%		0.52%		2.62%		1.61%		1/5/2010
Fund - Class R6: AQMRX		-8.43%		na		na		2.41%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.22%, 1.48% and 1.14%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2016

3

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

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

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

AQR Funds Annual Report December 2016

4

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Ari Levine

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

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

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

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

It was a difficult year for our Fund and trend-following strategies more broadly. The Fund’s Class I shares returned -13.07% versus a +0.33% return for its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM. The strategy underperformed the SG Trend Index, which returned -6.21% in 2016. This index is an equal weighted composite of 10 of the largest trend-following managed futures hedge funds. By asset class, on a gross basis, equities detracted -6.40%, fixed income contributed +3.16%, commodities detracted -7.44%, and currencies detracted with a -0.98% return.

The first half of 2016 was net positive for trends, despite a number of reversals across markets which began in the middle of the first quarter. Positive Fund returns in the first half were due to the generally weak global economic picture and associated market dynamics. While it may seem a distant memory, from May 21, 2015 through February 11, 2016, the MSCI World Index experienced its second largest drawdown since 2008, declining -17.6%. Concerns over China’s deceleration and a depreciation of the yuan drove negative sentiment starting in mid-2015. Anemic growth in the U.S. and falling oil prices caused that sentiment to carry over into 2016.

The Federal Reserve (“Fed”) and other central banks offered dovish responses to assuage markets, prompting large reversals by the middle of the first quarter. However, significant political uncertainty then came to the fore causing markets to reverse again, especially in June. Rising populism across Europe set the stage for one of the most shocking events of the year: the U.K.’s vote for a “Brexit”, throwing into question the viability of the EU as a whole. Given the longer-term context of global stagnation and downside economic risks, our Fund was positioned in line with bearish trends, performing best when safe-haven assets, such as developed market government bonds and the Japanese yen, performed their best, and risky assets, such as equities, were at their worst. While not guaranteed to always behave in this manner, the first half demonstrated trend-following’s ability to bring positive returns and diversification benefits to traditional portfolios during a weak economic scenario.

Coming into the second half, the portfolio, in response to market dynamics, was positioned to do well in a near-term risk aversion scenario had concerns from the first half progressed into a worse state and caused risky assets to suffer. In the second half of the year, however, sentiment across asset classes shifted decidedly against the longer-term bearish context. As financial conditions broadly eased since the first quarter, global growth proved resilient, with China concerns receding and the U.K. showing stronger than expected growth. Outside of the Bank of England (“BOE”), which cut rates and began new quantitative easing, other central banks didn’t respond to the “Brexit” vote, causing weakness across global bond markets. The Fed shifted its focus away from global economic risks to the domestic employment and inflation picture and an eventual rate hike, leading to reversals and sell-offs in U.S. government bonds. The complexion of other central bank policies also changed, with the Bank of Japan (“BOJ”) announcing policy aimed at maintaining a steep yield curve, and the European Central Bank (“ECB”) acting similarly, while also extending asset purchases, albeit at a slower pace, through the end of 2017. These actions prompted a reversal in bonds globally. Additionally, the Fed more concretely

AQR Funds Annual Report December 2016

5

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

diverging from other central banks sparked a reversal in the year’s bearish U.S. dollar trend, especially against the Japanese yen, as well as the bullish trend in gold. At the end of the year, the surprise U.S. election outcome only accelerated these reversals, as promises for fiscal stimulus and new trade policies caused both growth and inflation expectations to markedly rise.

Commodities were also a notable area which exhibited reversals. In line with other risky assets in the middle of the first quarter, oil markets reversed their bearish trends experienced since 2014, with our strategy navigating this reversal well, due to our over-extended signal. However, oil markets exhibited a range bound and choppy path in the second half of the year on news and speculation around Organization of the Petroleum Exporting Countries’ ability to strike an agreement on a production cap among both members and non-members, namely Russia.

Short-term trend-following signals outperformed long-term signals, contributing mainly due to turning short fixed income and long the U.S. dollar in the second half of the year. Long-term signals detracted however, performing negatively in every asset class as every asset class exhibited reversals during the year. Over-extended signals contributed to performance, as they helped the strategy navigate reversals in fixed income, currencies and commodities during the year.

The strategy’s average annualized volatility target is 15.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 11.6% volatility, due to conflicting long- and short-term signals in some assets. The Fund ended the year at a slightly higher volatility level of 13.3%, but still below-average as reversals caused signal disagreement towards the end of the year.

Overall, while our Fund, and trend strategies broadly, faced difficulties in the second half, their result for the year remained strongly diversifying to a traditional asset allocation, which performed well. Additionally, the Fund underperformed the SG Trend Index, though the degree of deviation is well within the bounds of historical tracking error. For the year, the main source of underperformance was the Fund targeting a high volatility level, which is by design. After adjusting for volatility differences between the Fund and the Index, being more diversified via a balanced asset allocation, as well as across both short-term and long-term trend signals likely caused additional underperformance. While a more diversified approach may not always outperform in the short-run, we do expect it to provide a better long-run investor experience. Looking ahead, we expect the Fund to tactically respond to changing market conditions, and, over the long-term, realize a low correlation to traditional assets.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2016 AQR MANAGED FUTURES STRATEGY HV FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QMHIX		-13.07%*		0.72%		2.92%		7/16/2013
Fund - Class N: QMHNX		-13.31%*		0.44%		2.65%		7/16/2013
Fund - Class R6: QMHRX		-13.07%		na		2.91%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.33%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.68%, 1.95% and 1.62%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2016 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR Funds Annual Report December 2016

6

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

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

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

AQR Funds Annual Report December 2016

7

Shareholder Letter (Unaudited)

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

DEFINITIONS:

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

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

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

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

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

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

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

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

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

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

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

SG Trend Index: is designed to track the 10 largest (by AUM) trend following CTAs and be representative of the trend followers in the managed futures space.

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.

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.

AQR Funds Annual Report December 2016

8

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 98.4%
INVESTMENT COMPANIES - 10.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.36% (a)(b)		60,568,728	$	60,568,728
Dreyfus Treasury & Agency Cash Management, Class I, 0.39% (a)(b)		242,274,911		242,274,911
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (a)(b)(c)		534,513,662		534,513,662
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (a)(c)		81,510,758		81,510,758
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.39% (a)(b)		302,843,639		302,843,639
TOTAL INVESTMENT COMPANIES (Cost $1,221,711,698)				1,221,711,698
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 88.4%
U.S. Treasury Bills 0.34%, 1/5/2017 (b)(d)	$	864,884,000		864,866,702
0.39%, 1/12/2017 (d)		152,110,400		152,095,189
0.43%, 1/19/2017 (b)(d)(e)		144,740,000		144,713,368
0.43%, 1/26/2017 (b)(d)(e)		1,025,822,000		1,025,546,054
0.39%, 2/2/2017 (b)(d)(e)		1,241,181,000		1,240,744,104
0.44%, 2/9/2017 (b)(d)		498,206,000		497,976,825
0.45%, 2/16/2017 (b)(d)		502,000,000		501,729,924
0.45%, 2/23/2017 (b)(d)		41,246,000		41,218,489
0.48%, 3/2/2017 (b)(d)		502,874,000		502,481,758
0.47%, 3/9/2017 (b)(d)		63,153,000		63,098,309
0.54%, 3/16/2017 (b)(d)		1,253,876,000		1,252,622,124
0.50%, 3/23/2017 (d)(e)		93,922,000		93,818,968
0.42%, 3/30/2017 (b)(d)		950,723,000		949,589,738
0.49%, 4/6/2017 (b)(d)(e)		428,852,000		428,268,332

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 88.4% (continued)
0.50%, 4/13/2017 (b)(d)	$	86,790,000	$	86,659,555
0.47%, 4/20/2017 (b)(d)		19,115,000		19,084,244
0.48%, 4/27/2017 (b)(d)(e)		91,564,000		91,405,228
0.61%, 5/25/2017 (d)		20,000,000		19,952,080
0.61%, 6/1/2017 (b)(d)(e)		734,258,000		732,362,146
0.62%, 6/8/2017 (b)(d)(e)		823,207,000		820,995,043
0.65%, 6/15/2017 (b)(d)(e)		844,169,000		841,846,691
0.65%, 6/22/2017 (b)(d)(e)		370,278,000		369,194,937
TOTAL U.S. TREASURY OBLIGATIONS (Cost $10,740,046,292)				10,740,269,808
TOTAL SHORT-TERM INVESTMENTS (Cost $11,961,757,990)				11,961,981,506
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.4% (Cost $11,961,757,990)				11,961,981,506
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.6% (f)				196,180,176
NET ASSETS - 100.0%			$	12,158,161,682

(a) Represents 7-day effective yield as of 12/31/2016.

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

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

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

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

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

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

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
BANA	Bovespa Index February Futures	02/2017	BRL		60,498,301			$196,020
CITI	Cocoa March Futures^	02/2017	USD		(30,394,590	)		5,102,227
CITI	Cocoa March Futures^	02/2017	USD		3,585,640			694,280
SOCG	Cocoa March Futures^	02/2017	USD		(12,772,231	)		2,482,391
GSIN	Cocoa February Futures^	02/2017	USD		(11,047,500	)		(706,500	)
GSIN	Cocoa March Futures^	02/2017	USD		11,047,500			1,480,500
MACQ	Cocoa March Futures^	02/2017	USD		632,153			121,913
MACQ	Cocoa March Futures^	02/2017	USD		(20,867,948	)		3,930,341
MLIN	Cocoa March Futures^	03/2017	USD		23,892,300			4,269,320
MLIN	Cocoa March Futures^	03/2017	USD		(23,892,300	)		(1,531,540	)
CITI	Coffee ‘C’ March Futures^	02/2017	USD		44,357,250			(8,792,775	)
CITI	Coffee ‘C’ March Futures^	02/2017	USD		(44,357,250	)		894,135
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		(51,236,643	)		1,616,661

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

AQR Funds Annual Report December 2016

9

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		51,236,643			$ (10,378,611	)
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		96,329,698			(19,496,042	)
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		(70,385,425	)		1,731,792
MLIN	Coffee ‘C’ March Futures^	03/2017	USD		(52,560,000	)		1,296,206
MLIN	Coffee ‘C’ March Futures^	03/2017	USD		52,560,000			(11,085,244	)
CITI	Corn March Futures^	02/2017	USD		(7,342,906	)		(174,611	)
CITI	Corn March Futures^	02/2017	USD		7,342,906			38,906
MACQ	Corn March Futures^	02/2017	USD		17,923,544			129,944
MACQ	Corn March Futures^	02/2017	USD		(17,923,544	)		(423,907	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		(9,857,150	)		(92,410	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		14,297,395			(238,045	)
SOCG	Cotton No. 2 March Futures^	02/2017	USD		(2,455,972	)		(23,469	)
SOCG	Cotton No. 2 March Futures^	02/2017	USD		9,092,105			92,396
GSIN	Cotton No. 2 March Futures^	02/2017	USD		(3,514,280	)		70,070
GSIN	Cotton No. 2 March Futures^	02/2017	USD		11,797,940			(176,015	)
MACQ	Cotton No. 2 March Futures^	02/2017	USD		17,965,886			261,814
MACQ	Cotton No. 2 March Futures^	02/2017	USD		(3,086,867	)		(30,260	)
MLIN	Cotton No. 2 March Futures^	03/2017	USD		14,483,260			(317,935	)
MLIN	Cotton No. 2 March Futures^	03/2017	USD		(14,483,260	)		(138,755	)
BANA	Hang Seng Index January Futures	01/2017	HKD		151,021,047			349,796
GSIN	Hang Seng Index January Futures	01/2017	HKD		129,678,669			269,923
MSCS	Hang Seng Index January Futures	01/2017	HKD		112,935,933			304,856
SOCG	Hard Red Winter Wheat March Futures^	02/2017	USD		(2,517,367	)		48,217
MACQ	Hard Red Winter Wheat March Futures^	02/2017	USD		(11,961,398	)		306,173
MLIN	Hard Red Winter Wheat March Futures^	03/2017	USD		(6,296,250	)		18,750
GSIN	H-SHARES Index January Futures	01/2017	HKD		436,689,646			1,130,923
GSIN	KOSPI Index 200 March Futures	03/2017	KRW		26,181,979,550			737,870
MSCS	KOSPI Index 200 March Futures	03/2017	KRW		186,603,144,313			5,320,282
SOCG	Lean Hogs February Futures^	02/2017	USD		(577,932	)		26,970
SOCG	Lean Hogs February Futures^	02/2017	USD		577,932			(136,488	)
MACQ	Lean Hogs February Futures^	02/2017	USD		(20,942,860	)		(243,450	)
MACQ	Lean Hogs February Futures^	02/2017	USD		15,672,540			(3,537,420	)
MLIN	Lean Hogs February Futures^	02/2017	USD		(2,278,510	)		52,500
MLIN	Lean Hogs February Futures^	02/2017	USD		2,278,510			(499,790	)
SOCG	Live Cattle February Futures^	02/2017	USD		84,511,123			(8,700,237	)
SOCG	Live Cattle February Futures^	02/2017	USD		(84,511,123	)		3,256,836
MACQ	Live Cattle February Futures^	02/2017	USD		101,955,430			(11,262,950	)
MACQ	Live Cattle February Futures^	02/2017	USD		(119,116,021	)		2,423,127
MLIN	Live Cattle February Futures^	02/2017	USD		(66,165,660	)		3,175,320
MLIN	Live Cattle February Futures^	02/2017	USD		66,165,660			(7,363,620	)
MSCS	MSCI Singapore Index January Futures	01/2017	SGD		21,548,033			(17,826	)
GSIN	MSCI Taiwan Stock Index January Futures	01/2017	USD		127,192,295			1,388,905
MSCS	MSCI Taiwan Stock Index January Futures	01/2017	USD		78,731,422			755,138
BANA	OMXS30 Index January Futures	01/2017	SEK		552,018,622			(794,053	)
MSCS	SGX S&P CNX Nifty Index January Futures	01/2017	USD		(4,058,364	)		(50,255	)
CITI	Soybean March Futures^	02/2017	USD		203,655,990			(8,126,990	)
CITI	Soybean March Futures^	02/2017	USD		(130,232,049	)		(167,273	)
SOCG	Soybean March Futures^	02/2017	USD		137,400,168			(5,474,568	)
SOCG	Soybean March Futures^	02/2017	USD		(75,967,329	)		1,446,521
GSIN	Soybean March Futures^	02/2017	USD		63,483,072			(1,988,072	)
GSIN	Soybean March Futures^	02/2017	USD		(63,483,072	)		1,342,764
MACQ	Soybean March Futures^	02/2017	USD		(57,019,755	)		1,523,810
MACQ	Soybean March Futures^	02/2017	USD		69,741,040			(2,774,240	)
MLIN	Soybean March Futures^	03/2017	USD		149,584,700			(6,012,700	)
CITI	Soybean Meal March Futures^	02/2017	USD		32,216,184			(461,204	)
SOCG	Soybean Meal March Futures^	02/2017	USD		14,990,992			(205,772	)

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

AQR Funds Annual Report December 2016

10

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Soybean Meal March Futures^	02/2017		USD		45,015,460			$ (628,140	)
MLIN	Soybean Meal March Futures^	03/2017		USD		64,729,140			(934,240	)
MLIN	Soybean Meal March Futures^	03/2017		USD		(33,231,000	)		(526,830	)
CITI	Soybean Oil March Futures^	02/2017		USD		(1,461,569	)		(66,684	)
CITI	Soybean Oil March Futures^	02/2017		USD		1,461,569			130,625
SOCG	Soybean Oil March Futures^	02/2017		USD		(31,277,556	)		249,095
SOCG	Soybean Oil March Futures^	02/2017		USD		78,758,190			(5,972,190	)
MACQ	Soybean Oil March Futures^	02/2017		USD		(15,515,078	)		1,012,487
MACQ	Soybean Oil March Futures^	02/2017		USD		24,799,373			(1,861,385	)
BANA	Swiss Market Index March Futures	03/2017		CHF		(90,061,940	)		(1,916,563	)
CITI	Wheat March Futures^	02/2017		USD		(105,070,488	)		4,274,088
SOCG	Wheat March Futures^	02/2017		USD		45,571,398			2,139,798
SOCG	Wheat March Futures^	02/2017		USD		(71,396,826	)		(9,470	)
MACQ	Wheat March Futures^	02/2017		USD		(13,046,254	)		(1,331	)
MACQ	Wheat March Futures^	02/2017		USD		12,942,055			538,855
MLIN	Wheat March Futures^	03/2017		USD		(61,572,875	)		128,063
MLIN	Wheat March Futures^	03/2017		USD		33,735,400			1,503,400
									$(65,075,852	)

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

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
6,083	GSCO	Brent Crude Futures^		01/2017		$338,384,428		$345,636,060		$7,251,632
408	MSCL	Corn Futures^		03/2017		7,344,401		7,180,800		(163,601	)
5,601	GSCO	Gas Oil Futures^		02/2017		272,528,867		282,710,475		10,181,608
1,467	MSCL	Gasoline RBOB Futures^		01/2017		96,322,660		102,950,832		6,628,172
2,763	MSCL	Heating Oil ULSD Futures^		01/2017		193,197,649		200,550,697		7,353,048
1,023	JPPC	LME Aluminum Futures^		01/2017		42,907,696		43,541,437		633,741
510	JPPC	LME Aluminum Futures^		01/2017		21,482,819		21,694,125		211,306
110	JPPC	LME Aluminum Futures^		01/2017		4,610,779		4,677,750		66,971
236	JPPC	LME Aluminum Futures^		01/2017		9,936,341		10,027,050		90,709
36	JPPC	LME Aluminum Futures^		01/2017		1,521,203		1,528,200		6,997
18	JPPC	LME Aluminum Futures^		01/2017		751,300		762,300		11,000
148	JPPC	LME Aluminum Futures^		01/2017		5,975,863		6,263,582		287,719
238	JPPC	LME Aluminum Futures^		01/2017		9,723,002		10,070,910		347,908
167	JPPC	LME Aluminum Futures^		01/2017		6,930,993		7,065,979		134,986
495	JPPC	LME Aluminum Futures^		01/2017		21,385,125		20,937,386		(447,739	)
501	JPPC	LME Aluminum Futures^		02/2017		21,682,480		21,189,420		(493,060	)
1,015	JPPC	LME Aluminum Futures^		02/2017		43,843,466		42,921,813		(921,653	)
499	JPPC	LME Aluminum Futures^		02/2017		21,475,510		21,097,595		(377,915	)
467	JPPC	LME Aluminum Futures^		02/2017		20,096,391		19,742,775		(353,616	)
49	JPPC	LME Aluminum Futures^		02/2017		2,134,735		2,071,328		(63,407	)
212	JPPC	LME Aluminum Futures^		02/2017		9,406,649		8,960,816		(445,833	)
610	JPPC	LME Aluminum Futures^		02/2017		25,704,892		25,768,688		63,796
165	JPPC	LME Aluminum Futures^		02/2017		7,054,154		6,973,519		(80,635	)
203	JPPC	LME Aluminum Futures^		02/2017		8,828,460		8,580,556		(247,904	)
30	JPPC	LME Aluminum Futures^		02/2017		1,321,706		1,268,963		(52,743	)
263	JPPC	LME Aluminum Futures^		03/2017		11,326,944		11,125,886		(201,058	)

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

AQR Funds Annual Report December 2016

11

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
357	JPPC	LME Aluminum Futures^		03/2017		$ 15,240,025		$ 15,104,224		$ (135,801	)
944	JPPC	LME Aluminum Futures^		03/2017		40,444,464		39,958,340		(486,124	)
100	JPPC	LME Aluminum Futures^		03/2017		4,300,295		4,233,375		(66,920	)
169	JPPC	LME Aluminum Futures^		03/2017		7,288,539		7,155,249		(133,290	)
77	JPPC	LME Aluminum Futures^		03/2017		3,345,839		3,260,469		(85,370	)
40	JPPC	LME Aluminum Futures^		03/2017		1,742,273		1,693,250		(49,023	)
4,538	JPPC	LME Aluminum Futures^		03/2017		195,982,822		192,042,488		(3,940,334	)
436	JPPC	LME Aluminum Futures^		03/2017		18,901,668		18,453,700		(447,968	)
258	JPPC	LME Aluminum Futures^		03/2017		11,064,962		10,918,237		(146,725	)
79	JPPC	LME Aluminum Futures^		03/2017		3,397,194		3,343,537		(53,657	)
66	JPPC	LME Aluminum Futures^		03/2017		2,805,409		2,793,384		(12,025	)
150	JPPC	LME Aluminum Futures^		03/2017		6,323,430		6,348,750		25,320
3	JPPC	LME Copper Futures^		03/2017		413,625		415,144		1,519
3	JPPC	LME Copper Futures^		01/2017		357,829		414,169		56,340
17	JPPC	LME Copper Futures^		01/2017		1,993,300		2,348,418		355,118
230	JPPC	LME Copper Futures^		01/2017		27,026,254		31,774,501		4,748,247
183	JPPC	LME Copper Futures^		01/2017		21,364,097		25,275,731		3,911,634
176	JPPC	LME Copper Futures^		01/2017		20,450,944		24,310,308		3,859,364
161	JPPC	LME Copper Futures^		01/2017		18,682,651		22,243,599		3,560,948
43	JPPC	LME Copper Futures^		01/2017		5,089,424		5,941,181		851,757
30	JPPC	LME Copper Futures^		01/2017		3,640,362		4,146,457		506,095
38	JPPC	LME Copper Futures^		02/2017		4,643,819		5,252,484		608,665
140	JPPC	LME Copper Futures^		02/2017		17,344,592		19,353,495		2,008,903
87	JPPC	LME Copper Futures^		02/2017		11,009,766		12,029,620		1,019,854
85	JPPC	LME Copper Futures^		02/2017		10,892,329		11,753,758		861,429
89	JPPC	LME Copper Futures^		02/2017		11,974,622		12,307,587		332,965
266	JPPC	LME Copper Futures^		02/2017		38,074,182		36,782,414		(1,291,768	)
151	JPPC	LME Copper Futures^		02/2017		21,152,498		20,877,864		(274,634	)
173	JPPC	LME Copper Futures^		02/2017		23,646,557		23,917,250		270,693
7	JPPC	LME Copper Futures^		02/2017		958,372		967,750		9,378
63	JPPC	LME Copper Futures^		02/2017		9,165,445		8,713,624		(451,821	)
25	JPPC	LME Copper Futures^		03/2017		3,618,302		3,457,925		(160,377	)
11	JPPC	LME Copper Futures^		03/2017		1,582,403		1,521,550		(60,853	)
10	JPPC	LME Copper Futures^		03/2017		1,475,017		1,383,507		(91,510	)
135	JPPC	LME Copper Futures^		03/2017		19,549,363		18,679,781		(869,582	)
3	JPPC	LME Copper Futures^		03/2017		428,879		415,125		(13,754	)
2	JPPC	LME Copper Futures^		03/2017		276,297		276,719		422
5	JPPC	LME Copper Futures^		03/2017		684,108		691,813		7,705
2,822	MSCL	LME Copper Futures^		03/2017		177,653,349		176,763,025		(890,324	)
66	JPPC	LME Nickel Futures^		01/2017		3,985,704		3,951,629		(34,075	)
135	JPPC	LME Nickel Futures^		01/2017		8,361,961		8,083,395		(278,566	)
125	JPPC	LME Nickel Futures^		02/2017		8,654,944		7,491,855		(1,163,089	)
342	JPPC	LME Nickel Futures^		02/2017		23,864,283		20,499,049		(3,365,234	)
138	JPPC	LME Nickel Futures^		02/2017		9,277,083		8,273,674		(1,003,409	)
40	JPPC	LME Nickel Futures^		02/2017		2,702,610		2,398,474		(304,136	)
74	JPPC	LME Nickel Futures^		02/2017		4,914,405		4,437,465		(476,940	)
15	JPPC	LME Nickel Futures^		02/2017		1,008,651		899,717		(108,934	)
19	JPPC	LME Nickel Futures^		02/2017		1,300,038		1,139,788		(160,250	)
39	JPPC	LME Nickel Futures^		02/2017		2,748,963		2,340,318		(408,645	)
72	JPPC	LME Nickel Futures^		03/2017		4,899,056		4,324,194		(574,862	)
1,254	JPPC	LME Nickel Futures^		03/2017		86,560,447		75,322,764		(11,237,683	)
242	JPPC	LME Nickel Futures^		03/2017		16,669,553		14,535,043		(2,134,510	)
165	JPPC	LME Nickel Futures^		03/2017		10,505,443		9,915,642		(589,801	)
28	JPPC	LME Nickel Futures^		03/2017		1,713,669		1,683,159		(30,510	)
62	JPPC	LME Nickel Futures^		03/2017		3,764,792		3,727,217		(37,575	)

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

AQR Funds Annual Report December 2016

12

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
46	JPPC	LME Nickel Futures^		03/2017		$ 2,790,197			$ 2,765,520			$ (24,677	)
51	JPPC	LME Zinc Futures^		01/2017		2,969,500			3,262,177			292,677
33	JPPC	LME Zinc Futures^		02/2017		2,031,821			2,117,363			85,542
14	JPPC	LME Zinc Futures^		02/2017		890,066			898,632			8,566
32	JPPC	LME Zinc Futures^		02/2017		2,055,070			2,054,480			(590	)
368	JPPC	LME Zinc Futures^		02/2017		26,300,330			23,644,184			(2,656,146	)
24	JPPC	LME Zinc Futures^		03/2017		1,634,459			1,542,228			(92,231	)
140	JPPC	LME Zinc Futures^		03/2017		9,387,343			8,997,555			(389,788	)
279	JPPC	LME Zinc Futures^		03/2017		19,043,391			17,940,747			(1,102,644	)
49	JPPC	LME Zinc Futures^		03/2017		3,493,820			3,151,312			(342,508	)
11	JPPC	LME Zinc Futures^		03/2017		754,907			707,506			(47,401	)
1,833	JPPC	LME Zinc Futures^		03/2017		126,333,395			117,953,550			(8,379,845	)
52	JPPC	LME Zinc Futures^		03/2017		3,543,927			3,346,200			(197,727	)
207	JPPC	LME Zinc Futures^		03/2017		14,286,198			13,320,450			(965,748	)
148	JPPC	LME Zinc Futures^		03/2017		9,679,563			9,527,759			(151,804	)
2,423	MSCL	Natural Gas Futures^		01/2017		86,699,030			90,232,520			3,533,490
400	MSCL	NYMEX Palladium Futures^		03/2017		29,884,649			27,330,000			(2,554,649	)
397	MSCL	Silver Futures^		03/2017		33,125,235			31,738,165			(1,387,070	)
1,624	MSCL	Sugar #11 (World Markets) Futures^		02/2017		42,598,306			35,486,349			(7,111,957	)
4,227	MSCL	WTI Crude Futures^		01/2017		221,608,979			227,074,440			5,465,461
1,178	BARC	Amsterdam Index Futures		01/2017		117,662,224			119,810,895			2,148,671
2,333	BARC	CAC40 Index Futures		01/2017		117,661,821			119,427,130			1,765,309
962	BARC	DAX Index Futures		03/2017		285,901,874			290,250,601			4,348,727
4,197	BARC	E-Mini DJIA CBOT Futures		03/2017		413,866,514			415,377,090			1,510,576
722	JPMS	E-Mini MSCI EAFE Index Futures		03/2017		60,805,109			60,489,160			(315,949	)
2,750	BARC	E-Mini Russell 2000 Futures		03/2017		189,468,725			186,573,750			(2,894,975	)
7,277	BARC	Euro Stoxx 50 Index Futures		03/2017		246,771,177			251,022,589			4,251,412
2,944	BARC	FTSE 100 Index Futures		03/2017		249,590,557			255,787,079			6,196,522
707	BARC	FTSE/MIB Index Futures		03/2017		70,216,494			71,464,065			1,247,571
536	BARC	IBEX 35 Index Futures		01/2017		52,593,394			52,548,102			(45,292	)
14	JPMS	KOSPI Index 200 Futures		03/2017		1,497,218			1,507,162			9,944
1,098	BARC	MSCI Singapore Index Futures		01/2017		24,414,632			24,247,516			(167,116	)
3,280	BARC	NASDAQ 100 E-Mini Index Futures		03/2017		319,984,022			322,473,200			2,489,178
598	JPMS	Nikkei 225 Futures		03/2017		95,437,777			97,726,631			2,288,854
5,258	JPMS	OMXS30 Index Futures		01/2017		89,032,141			87,666,038			(1,366,103	)
2,685	BARC	S&P 500 E-Mini Futures		03/2017		302,389,986			300,209,850			(2,180,136	)
1,316	BARC	S&P MID 400 E-Mini Futures		03/2017		221,893,126			218,337,560			(3,555,566	)
3,496	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		467,056,060			467,070,704			14,644
3,101	BARC	SPI 200 Index Futures		03/2017		308,949,246			315,031,442			6,082,196
1,116	BARC	TOPIX Index Futures		03/2017		143,998,313			144,948,706			950,393
11,454	GSCO	Euro-Bobl Futures		03/2017		1,602,775,571			1,611,183,981			8,408,410
284	GSCO	Euro-Bund Futures		03/2017		49,122,728			49,073,069			(49,659	)
69	GSCO	Euro-OAT Futures		03/2017		11,005,490			11,027,119			21,629
43,699	GSCO	Euro-SCHATZ Futures		03/2017		5,160,440,832			5,165,312,111			4,871,279
554	GSCO	Long Gilt Futures		03/2017		84,953,739			85,910,381			956,642
						13,487,394,377			13,529,209,195			41,814,818
Short Contracts:
2,672	GSCO	Cocoa Futures^		03/2017		$(65,903,925	)		$(57,034,288	)		$8,869,637
78	MSCL	Gold 100 OZ Futures^		02/2017		(9,029,427	)		(8,983,260	)		46,167
1,418	MSCL	Hard Red Winter Wheat Futures^		03/2017		(30,246,858	)		(29,671,650	)		575,208
1,023	JPPC	LME Aluminum Futures^		01/2017		(42,888,807	)		(43,541,437	)		(652,630	)
510	JPPC	LME Aluminum Futures^		01/2017		(21,431,500	)		(21,694,125	)		(262,625	)

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

AQR Funds Annual Report December 2016

13

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
110	JPPC	LME Aluminum Futures^		01/2017		$ (4,615,605	)		$ (4,677,750	)		$ (62,145	)
236	JPPC	LME Aluminum Futures^		01/2017		(9,902,572	)		(10,027,050	)		(124,478	)
36	JPPC	LME Aluminum Futures^		01/2017		(1,524,287	)		(1,528,200	)		(3,913	)
18	JPPC	LME Aluminum Futures^		01/2017		(739,927	)		(762,300	)		(22,373	)
148	JPPC	LME Aluminum Futures^		01/2017		(5,991,206	)		(6,263,582	)		(272,376	)
238	JPPC	LME Aluminum Futures^		01/2017		(9,709,582	)		(10,070,910	)		(361,328	)
167	JPPC	LME Aluminum Futures^		01/2017		(6,959,240	)		(7,065,978	)		(106,738	)
495	JPPC	LME Aluminum Futures^		01/2017		(21,407,290	)		(20,937,386	)		469,904
501	JPPC	LME Aluminum Futures^		02/2017		(21,730,338	)		(21,189,419	)		540,919
1,015	JPPC	LME Aluminum Futures^		02/2017		(43,767,979	)		(42,921,813	)		846,166
499	JPPC	LME Aluminum Futures^		02/2017		(21,511,921	)		(21,097,595	)		414,326
467	JPPC	LME Aluminum Futures^		02/2017		(20,005,456	)		(19,742,775	)		262,681
49	JPPC	LME Aluminum Futures^		02/2017		(2,136,586	)		(2,071,328	)		65,258
212	JPPC	LME Aluminum Futures^		02/2017		(9,441,961	)		(8,960,816	)		481,145
610	JPPC	LME Aluminum Futures^		02/2017		(25,774,866	)		(25,768,688	)		6,178
165	JPPC	LME Aluminum Futures^		02/2017		(7,082,251	)		(6,973,518	)		108,733
203	JPPC	LME Aluminum Futures^		02/2017		(8,845,932	)		(8,580,557	)		265,375
30	JPPC	LME Aluminum Futures^		02/2017		(1,321,051	)		(1,268,962	)		52,089
263	JPPC	LME Aluminum Futures^		03/2017		(11,320,567	)		(11,125,887	)		194,680
357	JPPC	LME Aluminum Futures^		03/2017		(15,292,213	)		(15,104,224	)		187,989
944	JPPC	LME Aluminum Futures^		03/2017		(40,516,841	)		(39,958,340	)		558,501
100	JPPC	LME Aluminum Futures^		03/2017		(4,303,533	)		(4,233,375	)		70,158
169	JPPC	LME Aluminum Futures^		03/2017		(7,274,478	)		(7,155,249	)		119,229
77	JPPC	LME Aluminum Futures^		03/2017		(3,355,301	)		(3,260,469	)		94,832
2,939	JPPC	LME Aluminum Futures^		03/2017		(126,144,469	)		(124,374,807	)		1,769,662
40	JPPC	LME Aluminum Futures^		03/2017		(1,742,593	)		(1,693,250	)		49,343
436	JPPC	LME Aluminum Futures^		03/2017		(18,919,091	)		(18,453,700	)		465,391
258	JPPC	LME Aluminum Futures^		03/2017		(11,089,036	)		(10,918,237	)		170,799
79	JPPC	LME Aluminum Futures^		03/2017		(3,381,080	)		(3,343,537	)		37,543
66	JPPC	LME Aluminum Futures^		03/2017		(2,793,418	)		(2,793,384	)		34
150	JPPC	LME Aluminum Futures^		03/2017		(6,364,024	)		(6,348,750	)		15,274
3	JPPC	LME Copper Futures^		03/2017		(413,429	)		(415,144	)		(1,715	)
3	JPPC	LME Copper Futures^		01/2017		(358,343	)		(414,169	)		(55,826	)
17	JPPC	LME Copper Futures^		01/2017		(1,991,447	)		(2,348,419	)		(356,972	)
230	JPPC	LME Copper Futures^		01/2017		(26,964,943	)		(31,774,500	)		(4,809,557	)
183	JPPC	LME Copper Futures^		01/2017		(21,324,651	)		(25,275,732	)		(3,951,081	)
176	JPPC	LME Copper Futures^		01/2017		(20,443,415	)		(24,310,308	)		(3,866,893	)
161	JPPC	LME Copper Futures^		01/2017		(18,697,067	)		(22,243,599	)		(3,546,532	)
43	JPPC	LME Copper Futures^		01/2017		(5,087,144	)		(5,941,181	)		(854,037	)
30	JPPC	LME Copper Futures^		01/2017		(3,629,551	)		(4,146,457	)		(516,906	)
38	JPPC	LME Copper Futures^		02/2017		(4,639,089	)		(5,252,483	)		(613,394	)
140	JPPC	LME Copper Futures^		02/2017		(17,298,382	)		(19,353,495	)		(2,055,113	)
87	JPPC	LME Copper Futures^		02/2017		(11,016,162	)		(12,029,621	)		(1,013,459	)
85	JPPC	LME Copper Futures^		02/2017		(10,765,042	)		(11,753,758	)		(988,716	)
89	JPPC	LME Copper Futures^		02/2017		(11,995,536	)		(12,307,588	)		(312,052	)
266	JPPC	LME Copper Futures^		02/2017		(38,730,716	)		(36,782,414	)		1,948,302
151	JPPC	LME Copper Futures^		02/2017		(21,229,443	)		(20,877,864	)		351,579
173	JPPC	LME Copper Futures^		02/2017		(23,647,854	)		(23,917,250	)		(269,396	)
7	JPPC	LME Copper Futures^		02/2017		(957,229	)		(967,750	)		(10,521	)
63	JPPC	LME Copper Futures^		02/2017		(9,179,767	)		(8,713,624	)		466,143
25	JPPC	LME Copper Futures^		03/2017		(3,612,439	)		(3,457,925	)		154,514
11	JPPC	LME Copper Futures^		03/2017		(1,581,218	)		(1,521,551	)		59,667
10	JPPC	LME Copper Futures^		03/2017		(1,479,975	)		(1,383,507	)		96,468
3	JPPC	LME Copper Futures^		03/2017		(430,680	)		(415,125	)		15,555
2	JPPC	LME Copper Futures^		03/2017		(276,544	)		(276,719	)		(175	)
5	JPPC	LME Copper Futures^		03/2017		(682,863	)		(691,813	)		(8,950	)

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

AQR Funds Annual Report December 2016

14

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
66	JPPC	LME Nickel Futures^		01/2017		$ (3,981,679	)		$ (3,951,629	)		$ 30,050
135	JPPC	LME Nickel Futures^		01/2017		(8,329,771	)		(8,083,395	)		246,376
125	JPPC	LME Nickel Futures^		02/2017		(8,662,668	)		(7,491,855	)		1,170,813
342	JPPC	LME Nickel Futures^		02/2017		(24,023,303	)		(20,499,049	)		3,524,254
138	JPPC	LME Nickel Futures^		02/2017		(9,313,213	)		(8,273,674	)		1,039,539
40	JPPC	LME Nickel Futures^		02/2017		(2,714,302	)		(2,398,474	)		315,828
74	JPPC	LME Nickel Futures^		02/2017		(4,921,559	)		(4,437,465	)		484,094
15	JPPC	LME Nickel Futures^		02/2017		(1,004,728	)		(899,718	)		105,010
19	JPPC	LME Nickel Futures^		02/2017		(1,295,326	)		(1,139,788	)		155,538
39	JPPC	LME Nickel Futures^		02/2017		(2,756,424	)		(2,340,318	)		416,106
72	JPPC	LME Nickel Futures^		03/2017		(4,900,668	)		(4,324,195	)		576,473
615	JPPC	LME Nickel Futures^		03/2017		(40,327,241	)		(36,940,590	)		3,386,651
242	JPPC	LME Nickel Futures^		03/2017		(16,596,372	)		(14,535,043	)		2,061,329
165	JPPC	LME Nickel Futures^		03/2017		(10,475,603	)		(9,915,642	)		559,961
28	JPPC	LME Nickel Futures^		03/2017		(1,708,691	)		(1,683,159	)		25,532
62	JPPC	LME Nickel Futures^		03/2017		(3,755,613	)		(3,727,217	)		28,396
46	JPPC	LME Nickel Futures^		03/2017		(2,781,593	)		(2,765,520	)		16,073
51	JPPC	LME Zinc Futures^		01/2017		(2,984,625	)		(3,262,177	)		(277,552	)
33	JPPC	LME Zinc Futures^		02/2017		(2,026,397	)		(2,117,363	)		(90,966	)
14	JPPC	LME Zinc Futures^		02/2017		(887,646	)		(898,632	)		(10,986	)
32	JPPC	LME Zinc Futures^		02/2017		(2,083,322	)		(2,054,480	)		28,842
368	JPPC	LME Zinc Futures^		02/2017		(26,280,218	)		(23,644,184	)		2,636,034
24	JPPC	LME Zinc Futures^		03/2017		(1,645,254	)		(1,542,228	)		103,026
140	JPPC	LME Zinc Futures^		03/2017		(9,430,669	)		(8,997,554	)		433,115
279	JPPC	LME Zinc Futures^		03/2017		(19,182,025	)		(17,940,746	)		1,241,279
49	JPPC	LME Zinc Futures^		03/2017		(3,455,902	)		(3,151,313	)		304,589
11	JPPC	LME Zinc Futures^		03/2017		(751,556	)		(707,506	)		44,050
1,278	JPPC	LME Zinc Futures^		03/2017		(88,170,653	)		(82,239,300	)		5,931,353
52	JPPC	LME Zinc Futures^		03/2017		(3,549,209	)		(3,346,200	)		203,009
207	JPPC	LME Zinc Futures^		03/2017		(14,215,835	)		(13,320,450	)		895,385
148	JPPC	LME Zinc Futures^		03/2017		(9,633,034	)		(9,527,759	)		105,275
157	MSCL	Platinum Futures^		04/2017		(7,219,544	)		(7,109,745	)		109,799
275	JPMS	E-Mini MSCI Emerging Markets Index Futures		03/2017		(11,688,964	)		(11,809,875	)		(120,911	)
3,050	JPMS	FTSE China A50 Index Futures		01/2017		(30,350,927	)		(30,385,625	)		(34,698	)
49	JPMS	FTSE/JSE Top 40 Index Futures		03/2017		(1,596,534	)		(1,580,773	)		15,761
139	BARC	SGX S&P CNX Nifty Index Futures		01/2017		(2,227,631	)		(2,275,291	)		(47,660	)
182	GSCO	10-Year Japanese Government Bond Futures		03/2017		(233,778,671	)		(233,956,621	)		(177,950	)
4,707	JPMS	3-Month Euro Euribor Futures		06/2017		(1,242,063,379	)		(1,242,421,986	)		(358,607	)
6,906	JPMS	3-Month Euro Euribor Futures		09/2017		(1,822,168,425	)		(1,822,488,918	)		(320,493	)
5,949	JPMS	3-Month Euro Euribor Futures		12/2017		(1,569,364,083	)		(1,569,702,405	)		(338,322	)
5,761	JPMS	3-Month Euro Euribor Futures		03/2018		(1,519,179,780	)		(1,519,793,533	)		(613,753	)
5,402	JPMS	3-Month Euro Euribor Futures		06/2018		(1,424,292,142	)		(1,424,873,491	)		(581,349	)
4,098	JPMS	3-Month Euro Euribor Futures		09/2018		(1,079,980,307	)		(1,080,704,632	)		(724,325	)
2,063	JPMS	3-Month Euro Euribor Futures		12/2018		(543,667,077	)		(543,908,602	)		(241,525	)
6,477	JPMS	90-Day EURODollar Futures		09/2018		(1,591,189,469	)		(1,588,889,063	)		2,300,406
10,407	JPMS	90-Day EURODollar Futures		06/2017		(2,572,462,240	)		(2,570,398,912	)		2,063,328
10,252	JPMS	90-Day EURODollar Futures		09/2017		(2,532,019,029	)		(2,528,271,350	)		3,747,679
8,397	JPMS	90-Day EURODollar Futures		12/2017		(2,070,809,862	)		(2,067,341,400	)		3,468,462
7,856	JPMS	90-Day EURODollar Futures		03/2018		(1,935,006,588	)		(1,931,790,400	)		3,216,188
7,236	JPMS	90-Day EURODollar Futures		06/2018		(1,780,128,899	)		(1,777,161,600	)		2,967,299
5,831	JPMS	90-Day EURODollar Futures		12/2018		(1,429,944,196	)		(1,428,595,000	)		1,349,196
3,674	JPMS	90-Day Sterling Futures		06/2017		(563,500,229	)		(563,602,573	)		(102,344	)
3,124	JPMS	90-Day Sterling Futures		09/2017		(478,895,221	)		(479,134,728	)		(239,507	)
1,576	JPMS	90-Day Sterling Futures		12/2017		(241,389,662	)		(241,641,739	)		(252,077	)

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

AQR Funds Annual Report December 2016

15

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
421	JPMS	90-Day Sterling Futures		03/2018		$ (64,449,728	)		$ (64,524,294	)		$ (74,566	)
817	JPMS	90-Day Sterling Futures		06/2018		(125,094,209	)		(125,166,624	)		(72,415	)
797	JPMS	90-Day Sterling Futures		09/2018		(122,005,003	)		(122,041,180	)		(36,177	)
39	JPMS	90-Day Sterling Futures		12/2018		(5,961,174	)		(5,968,898	)		(7,724	)
2,149	JPMS	ASX 90 Day Bank Accepted Bills Futures		06/2017		(1,543,700,822	)		(1,543,707,809	)		(6,987	)
1,899	JPMS	ASX 90 Day Bank Accepted Bills Futures		09/2017		(1,363,891,584	)		(1,363,922,525	)		(30,941	)
1,733	JPMS	Australia 10-Year Bond Futures		03/2017		(158,802,192	)		(159,757,299	)		(955,107	)
19,477	JPMS	Australia 3-Year Bond Futures		03/2017		(1,569,469,610	)		(1,566,735,195	)		2,734,415
2,670	GSCO	Canadian 10-Year Bond Futures		03/2017		(272,885,764	)		(273,492,794	)		(607,030	)
2,228	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2017		(411,108,720	)		(411,013,853	)		94,867
7,525	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2017		(1,387,828,089	)		(1,387,625,917	)		202,172
6,908	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2017		(1,272,768,199	)		(1,273,078,054	)		(309,855	)
2,188	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		03/2017		(349,941,397	)		(350,627,000	)		(685,603	)
650	JPMS	Euro CHF 3-Month LIFFE Futures		12/2017		(160,796,151	)		(160,744,623	)		51,528
1,173	JPMS	Euro CHF 3-Month LIFFE Futures		06/2017		(290,267,322	)		(290,197,413	)		69,909
885	JPMS	Euro CHF 3-Month LIFFE Futures		09/2017		(219,028,614	)		(218,925,169	)		103,445
3,088	GSCO	Euro-BTP Italian Government Bond Futures		03/2017		(431,571,414	)		(439,836,406	)		(8,264,992	)
63	GSCO	Euro-Buxl 30-Year Bond Futures		03/2017		(11,594,600	)		(11,507,317	)		87,283
7,398	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		(919,682,374	)		(919,432,688	)		249,686
22,618	MSCL	U.S. Treasury 2-Year Note Futures		03/2017		(4,905,042,202	)		(4,901,037,875	)		4,004,327
12,363	MSCL	U.S. Treasury 5-Year Note Futures		03/2017		(1,456,137,474	)		(1,454,680,805	)		1,456,669
3,116	MSCL	U.S. Treasury Long Bond Futures		03/2017		(467,980,642	)		(469,444,875	)		(1,464,233	)
						(43,425,673,382	)		(43,393,632,090	)		32,041,292
						$(29,938,279,005	)		$(29,864,422,895	)		$73,856,110

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		407,402,400		$303,403,456		$293,497,423		$(9,906,033	)
Australian Dollar, Expiring 03/15/17	JPMC	AUD		609,711,600		454,071,401		439,243,321		(14,828,080	)

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

AQR Funds Annual Report December 2016

16

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		481,197,200		$ 137,629,907		$ 144,988,152		$ 7,358,245
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		651,685,800		186,602,135		196,357,585		9,755,450
Canadian Dollar, Expiring 03/15/17	CITI	CAD		1,051,656,800		793,877,353		783,918,588		(9,958,765	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		1,577,485,199		1,190,817,516		1,175,877,879		(14,939,637	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		10,460,000		10,346,231		10,317,540		(28,691	)
Swiss Franc, Expiring 03/15/17	JPMC	CHF		15,690,000		15,519,365		15,476,311		(43,054	)
Chilean Peso, Expiring 03/15/17*	CITI	CLP		45,041,677,600		66,856,439		66,914,682		58,243
Chilean Peso, Expiring 03/15/17*	JPMC	CLP		62,812,103,400		93,146,966		93,314,730		167,764
Colombian Peso, Expiring 03/15/17*	CITI	COP		90,576,629,000		29,708,966		29,804,058		95,092
Colombian Peso, Expiring 03/15/17*	JPMC	COP		89,306,004,000		29,220,008		29,385,963		165,955
Euro, Expiring 03/15/17	CITI	EUR		790,937,400		842,509,113		835,514,606		(6,994,507	)
Euro, Expiring 03/15/17	JPMC	EUR		1,178,259,600		1,255,216,926		1,244,666,270		(10,550,656	)
British Pound, Expiring 03/15/17	CITI	GBP		204,392,800		258,540,167		252,333,802		(6,206,365	)
British Pound, Expiring 03/15/17	JPMC	GBP		294,535,200		373,002,853		363,619,396		(9,383,457	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		42,221,271,001		143,960,319		143,980,613		20,294
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		60,821,247,001		207,511,300		207,409,211		(102,089	)
Indonesian Rupiah, Expiring 03/15/17*	CITI	IDR		840,348,342,200		61,418,185		61,726,108		307,923
Indonesian Rupiah, Expiring 03/15/17*	JPMC	IDR		1,231,212,172,800		89,985,202		90,436,228		451,026
Israeli Shekel, Expiring 03/15/17	CITI	ILS		198,863,200		52,236,746		51,726,550		(510,196	)
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		273,214,800		71,803,046		71,066,237		(736,809	)
Indian Rupee, Expiring 03/15/17*	CITI	INR		7,372,966,200		107,678,817		107,781,742		102,925
Indian Rupee, Expiring 03/15/17*	JPMC	INR		9,797,566,800		142,976,485		143,225,779		249,294
Japanese Yen, Expiring 03/15/17	CITI	JPY		50,192,273,200		441,403,077		430,953,670		(10,449,407	)
Japanese Yen, Expiring 03/15/17	JPMC	JPY		75,288,409,800		662,103,888		646,430,504		(15,673,384	)
Korean Won, Expiring 03/15/17*	CITI	KRW		244,982,782,401		209,489,710		202,853,338		(6,636,372	)
Korean Won, Expiring 03/15/17*	JPMC	KRW		367,474,173,599		314,234,959		304,280,008		(9,954,951	)
Mexican Peso, Expiring 03/15/17	CITI	MXN		977,657,000		47,258,169		46,721,008		(537,161	)
Mexican Peso, Expiring 03/15/17	JPMC	MXN		1,436,370,000		69,430,468		68,642,330		(788,138	)

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

AQR Funds Annual Report December 2016

17

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		3,324,124,799			$ 395,674,365			$ 385,122,685			$ (10,551,680	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		4,986,187,197			593,504,783			577,684,028			(15,820,755	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		1,991,269,201			1,411,776,985			1,380,427,288			(31,349,697	)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		2,916,010,801			2,067,583,226			2,021,495,078			(46,088,148	)
Philippine Peso, Expiring 03/15/17*	CITI	PHP		1,785,854,400			35,371,012			35,836,555			465,543
Philippine Peso, Expiring 03/15/17*	JPMC	PHP		1,990,443,600			39,382,216			39,942,025			559,809
Poland Zloty, Expiring 03/15/17	CITI	PLN		330,044,800			78,001,084			78,773,186			772,102
Poland Zloty, Expiring 03/15/17	JPMC	PLN		495,067,200			117,003,899			118,159,781			1,155,882
Swedish Krona, Expiring 03/15/17	CITI	SEK		3,627,830,000			395,521,325			399,856,134			4,334,809
Swedish Krona, Expiring 03/15/17	JPMC	SEK		5,390,220,000			587,633,800			594,105,164			6,471,364
Singapore Dollar, Expiring 03/15/17	CITI	SGD		54,993,000			38,433,915			37,960,896			(473,019	)
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		53,913,000			37,666,059			37,215,387			(450,672	)
Turkish Lira, Expiring 03/15/17	CITI	TRY		202,456,400			56,655,422			56,549,259			(106,163	)
Turkish Lira, Expiring 03/15/17	JPMC	TRY		303,684,600			84,983,931			84,823,890			(160,041	)
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		1,039,642,400			32,702,143			32,361,582			(340,561	)
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		1,249,716,599			39,300,744			38,900,691			(400,053	)
South African Rand, Expiring 03/15/17	CITI	ZAR		2,991,322,400			213,368,302			214,946,897			1,578,595
South African Rand, Expiring 03/15/17	JPMC	ZAR		4,478,565,600			319,448,987			321,815,454			2,366,467
							$15,205,971,371			$15,008,439,612			$(197,531,759	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		(560,634,000	)		$(405,985,750	)		$(403,887,250	)		$2,098,500
Australian Dollar, Expiring 03/15/17	JPMC	AUD		(840,951,000	)		(608,975,485	)		(605,830,873	)		3,144,612
Brazilian Real, Expiring 03/15/17*	CITI	BRL		(125,488,800	)		(35,867,248	)		(37,810,671	)		(1,943,423	)
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		(166,462,200	)		(47,696,534	)		(50,156,250	)		(2,459,716	)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		(453,735,600	)		(337,142,952	)		(338,220,388	)		(1,077,436	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		(680,603,400	)		(505,717,603	)		(507,330,580	)		(1,612,977	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		(11,659,600	)		(11,570,694	)		(11,500,803	)		69,891

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

AQR Funds Annual Report December 2016

18

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(14,318,400	)		$ (14,216,163	)		$ (14,123,391	)		$ 92,772
Chilean Peso, Expiring 03/15/17*	CITI	CLP		(19,056,655,600	)		(28,127,013	)		(28,310,891	)		(183,878	)
Chilean Peso, Expiring 03/15/17*	JPMC	CLP		(28,584,983,400	)		(42,190,466	)		(42,466,337	)		(275,871	)
Colombian Peso, Expiring 03/15/17*	CITI	COP		(13,295,589,800	)		(4,290,254	)		(4,374,887	)		(84,633	)
Colombian Peso, Expiring 03/15/17*	JPMC	COP		(16,180,330,200	)		(5,194,675	)		(5,324,105	)		(129,430	)
Euro, Expiring 03/15/17	CITI	EUR		(1,735,681,612	)		(1,858,598,563	)		(1,833,504,574	)		25,093,989
Euro, Expiring 03/15/17	JPMC	EUR		(2,603,522,416	)		(2,787,899,745	)		(2,750,256,858	)		37,642,887
British Pound, Expiring 03/15/17	CITI	GBP		(504,513,200	)		(633,259,688	)		(622,848,425	)		10,411,263
British Pound, Expiring 03/15/17	JPMC	GBP		(756,769,800	)		(949,892,759	)		(934,272,637	)		15,620,122
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(98,519,600	)		(12,707,989	)		(12,708,380	)		(391	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		(56,627,400	)		(7,307,274	)		(7,304,562	)		2,712
Hungarian Forint, Expiring 03/16/17	CITI	HUF		(31,224,525,600	)		(105,991,518	)		(106,480,129	)		(488,611	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		(46,836,788,400	)		(158,981,644	)		(159,720,193	)		(738,549	)
Indonesian Rupiah, Expiring 03/15/17*	CITI	IDR		(248,959,076,600	)		(18,243,793	)		(18,286,792	)		(42,999	)
Indonesian Rupiah, Expiring 03/15/17*	JPMC	IDR		(246,807,443,400	)		(18,091,613	)		(18,128,747	)		(37,134	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		(213,118,200	)		(55,758,816	)		(55,434,435	)		324,381
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		(267,172,799	)		(69,996,471	)		(69,494,644	)		501,827
Indian Rupee, Expiring 03/15/17*	CITI	INR		(2,812,314,000	)		(40,742,927	)		(41,111,826	)		(368,899	)
Indian Rupee, Expiring 03/15/17*	JPMC	INR		(4,023,300,000	)		(58,263,865	)		(58,814,630	)		(550,765	)
Japanese Yen, Expiring 03/15/17	CITI	JPY		(76,272,444,801	)		(666,245,863	)		(654,879,482	)		11,366,381
Japanese Yen, Expiring 03/15/17	JPMC	JPY		(114,408,667,199	)		(999,381,627	)		(982,319,225	)		17,062,402
Korean Won, Expiring 03/15/17*	CITI	KRW		(367,705,555,600	)		(313,534,618	)		(304,471,599	)		9,063,019
Korean Won, Expiring 03/15/17*	JPMC	KRW		(551,558,333,400	)		(470,301,337	)		(456,707,401	)		13,593,936
Mexican Peso, Expiring 03/15/17	CITI	MXN		(3,264,259,200	)		(155,549,618	)		(155,994,873	)		(445,255	)
Mexican Peso, Expiring 03/15/17	JPMC	MXN		(4,896,388,800	)		(233,325,301	)		(233,992,311	)		(667,010	)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		(1,906,152,600	)		(220,144,859	)		(220,840,868	)		(696,009	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		(2,592,737,400	)		(299,593,285	)		(300,386,432	)		(793,147	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		(1,045,459,400	)		(733,551,014	)		(724,754,184	)		8,796,830

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

AQR Funds Annual Report December 2016

19

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		(1,557,546,600	)		$ (1,092,731,033	)		$ (1,079,753,471	)		$ 12,977,562
Philippine Peso, Expiring 03/15/17*	CITI	PHP		(3,470,743,800	)		(68,984,138	)		(69,647,056	)		(662,918	)
Philippine Peso, Expiring 03/15/17*	JPMC	PHP		(4,956,421,200	)		(98,507,258	)		(99,459,988	)		(952,730	)
Poland Zloty, Expiring 03/15/17	CITI	PLN		(689,040,800	)		(164,158,627	)		(164,456,279	)		(297,652	)
Poland Zloty, Expiring 03/15/17	JPMC	PLN		(1,033,561,200	)		(246,251,044	)		(246,684,419	)		(433,375	)
Swedish Krona, Expiring 03/15/17	CITI	SEK		(5,988,299,200	)		(658,046,612	)		(660,024,912	)		(1,978,300	)
Swedish Krona, Expiring 03/15/17	JPMC	SEK		(8,982,448,799	)		(987,068,750	)		(990,037,367	)		(2,968,617	)
Singapore Dollar, Expiring 03/15/17	CITI	SGD		(80,831,400	)		(56,710,668	)		(55,796,779	)		913,889
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		(112,347,600	)		(78,874,707	)		(77,551,970	)		1,322,737
Turkish Lira, Expiring 03/15/17	CITI	TRY		(1,010,411,600	)		(286,122,331	)		(282,223,865	)		3,898,466
Turkish Lira, Expiring 03/15/17	JPMC	TRY		(1,501,631,400	)		(425,284,801	)		(419,429,288	)		5,855,513
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		(460,658,400	)		(14,339,698	)		(14,339,195	)		503
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		(328,662,600	)		(10,214,266	)		(10,230,482	)		(16,216	)
South African Rand, Expiring 03/15/17	CITI	ZAR		(280,967,400	)		(20,038,169	)		(20,189,423	)		(151,254	)
South African Rand, Expiring 03/15/17	JPMC	ZAR		(246,051,600	)		(17,631,492	)		(17,680,484	)		(48,992	)
							(17,139,302,618	)		(16,979,554,611	)		159,748,007
							$(1,933,331,247	)		$(1,971,114,999	)		$(37,783,752	)

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Annual Report December 2016

20

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Investment Companies		$3,730,000		$—			$3,730,000
BARC
Cash		—		159,165,539			159,165,539
CITI
Investment Companies		64,133,868		—			64,133,868
GSCO
Cash		—		(5,855,000	)		(5,855,000	)
U.S. Treasury Bills		—		34,542,457			34,542,457
GSIN
Investment Companies		24,818,883		—			24,818,883
JPMC
Cash		157,980,000		—			157,980,000
JPMS
Cash		—		(15,626,600	)		(15,626,600	)
U.S. Treasury Bills		—		93,714,784			93,714,784
MSCS
Investment Companies		39,632,215		—			39,632,215
MSCL
Cash		—		(13,934,628	)		(13,934,628	)
U.S. Treasury Bills		—		67,860,650			67,860,650

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Investment Companies		$19,868,949		$—			$19,868,949
GSCO
Cash		—		(26,162,151	)		(26,162,151	)
U.S. Treasury Bills		—		51,121,494			51,121,494
GSIN
Cash		8,280,000		—			8,280,000
JPPC
Cash		—		193,943			193,943
U.S. Treasury Bills		—		37,640,199			37,640,199
MACQ
Investment Companies		35,730,000		—			35,730,000
MLIN
Investment Companies		63,690,000		—			63,690,000
MSCL
Cash		—		(12,368,316	)		(12,368,316	)
U.S. Treasury Bills		—		62,724,053			62,724,053
SOCG
Investment Companies		19,454,982		—			19,454,982

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

AQR Funds Annual Report December 2016

21

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 96.2%
INVESTMENT COMPANIES - 20.0%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.41% (a)(b)(c)		142,245,966	$	142,245,966
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.37% (a)(c)		4,443,714		4,443,714
TOTAL INVESTMENT COMPANIES (Cost $146,689,680)				146,689,680
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 76.2%
U.S. Treasury Bills
0.34%, 1/5/2017 (b)(d)	$	31,522,000	��	31,521,369
0.39%, 1/12/2017 (b)(d)		34,484,000		34,480,552
0.43%, 1/19/2017 (b)(d)		4,725,000		4,724,131
0.43%, 1/26/2017 (d)		93,890,000		93,864,744
0.39%, 2/2/2017 (d)		11,943,000		11,938,796
0.44%, 2/9/2017 (b)(d)		155,032,000		154,960,685
0.45%, 2/16/2017 (b)(d)		37,559,000		37,538,793
0.45%, 2/23/2017 (b)(d)		1,471,000		1,470,019
0.48%, 3/2/2017 (b)(d)		12,499,000		12,489,251
0.47%, 3/9/2017 (b)(d)		2,209,000		2,207,087
0.54%, 3/16/2017 (d)		6,626,000		6,619,374
0.42%, 3/30/2017 (b)(d)		12,577,000		12,562,008
0.49%, 4/6/2017 (b)(d)		5,882,000		5,873,995
0.50%, 4/13/2017 (b)(d)		18,497,000		18,469,199
0.47%, 4/20/2017 (b)(d)(e)		5,450,000		5,441,231
0.48%, 4/27/2017 (b)(d)(e)		17,413,000		17,382,806

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 76.2% (continued)
0.63%, 5/18/2017 (b)(d)(e)	$	26,230,000	$	26,170,405
0.62%, 6/8/2017 (b)(d)(e)		15,034,000		14,993,604
0.65%, 6/15/2017 (b)(d)(e)		21,648,000		21,588,446
0.65%, 6/22/2017 (b)(d)(e)		34,731,000		34,629,412
0.64%, 6/29/2017 (b)(d)		8,288,000		8,263,045
TOTAL U.S. TREASURY OBLIGATIONS (Cost $557,175,231)				557,188,952
TOTAL SHORT-TERM INVESTMENTS (Cost $703,864,911)				703,878,632
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.2% (Cost $703,864,911)				703,878,632
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.8% (f)			27,605,308
NET ASSETS - 100.0%			$	731,483,940

(a) Represents 7-day effective yield as of 12/31/2016.

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

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

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

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

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

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

Total return swap contracts outstanding as of December 31, 2016:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
BANA	Bovespa Index February Futures	02/2017	BRL		5,747,339			$18,622
CITI	Cocoa March Futures^	02/2017	USD		(2,114,400	)		92,720
CITI	Cocoa March Futures^	02/2017	USD		1,348,355			264,095
MACQ	Cocoa March Futures^	02/2017	USD		(1,637,620	)		319,500
SOCG	Cocoa March Futures^	02/2017	USD		(844,455	)		164,135
GSIN	Cocoa March Futures^	02/2017	USD		1,330,880			246,620
GSIN	Cocoa March Futures^	02/2017	USD		(2,647,870	)		100,060
CITI	Coffee ‘C’ March Futures^	02/2017	USD		3,397,978			(674,109	)
CITI	Coffee ‘C’ March Futures^	02/2017	USD		(3,397,978	)		78,647
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		8,041,647			(1,668,822	)
SOCG	Coffee ‘C’ March Futures^	02/2017	USD		(6,092,126	)		146,202
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		(6,638,039	)		136,855
MACQ	Coffee ‘C’ March Futures^	02/2017	USD		6,638,039			(1,344,483	)
CITI	Corn March Futures^	02/2017	USD		1,857,844			9,844
CITI	Corn March Futures^	02/2017	USD		(1,857,844	)		(44,179	)
MACQ	Corn March Futures^	02/2017	USD		(600,381	)		1,981
CITI	Cotton No. 2 March Futures^	02/2017	USD		(1,149,415	)		(11,085	)
CITI	Cotton No. 2 March Futures^	02/2017	USD		1,149,415			(19,015	)
SOCG	Cotton No. 2 March Futures^	02/2017	USD		(285,883	)		(1,953	)

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

AQR Funds Annual Report December 2016

22

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
SOCG	Cotton No. 2 March Futures^	02/2017		USD		285,883			$ (3,283	)
GSIN	Cotton No. 2 March Futures^	02/2017		USD		1,978,480			(35,605	)
MACQ	Cotton No. 2 March Futures^	02/2017		USD		(731,070	)		(9,030	)
MACQ	Cotton No. 2 March Futures^	02/2017		USD		1,810,816			26,084
BANA	Hang Seng Index January Futures	01/2017		HKD		18,336,679			42,680
GSIN	Hang Seng Index January Futures	01/2017		HKD		37,826,658			78,249
SOCG	Hard Red Winter Wheat March Futures^	02/2017		USD		(613,374	)		6,549
MACQ	Hard Red Winter Wheat March Futures^	02/2017		USD		(858,972	)		21,972
GSIN	H-SHARES Index January Futures	01/2017		HKD		43,252,759			112,286
BANA	KOSPI Index 200 March Futures	03/2017		KRW		7,034,001,818			99,963
GSIN	KOSPI Index 200 March Futures	03/2017		KRW		12,335,204,350			348,107
SOCG	Lean Hogs February Futures^	02/2017		USD		(42,810	)		1,998
SOCG	Lean Hogs February Futures^	02/2017		USD		42,810			(10,110	)
MACQ	Lean Hogs February Futures^	02/2017		USD		(1,752,677	)		70,229
MACQ	Lean Hogs February Futures^	02/2017		USD		1,687,214			(376,666	)
SOCG	Live Cattle February Futures^	02/2017		USD		10,155,622			(1,078,018	)
SOCG	Live Cattle February Futures^	02/2017		USD		(10,155,622	)		447,771
MACQ	Live Cattle February Futures^	02/2017		USD		8,268,723			(922,437	)
MACQ	Live Cattle February Futures^	02/2017		USD		(9,558,993	)		188,105
BANA	MSCI Taiwan Stock Index January Futures	01/2017		USD		1,560,055			21,425
GSIN	MSCI Taiwan Stock Index January Futures	01/2017		USD		14,079,606			153,714
BANA	OMXS30 Index January Futures	01/2017		SEK		41,384,424			(56,890	)
GSIN	SGX S&P CNX Nifty Index January Futures	01/2017		USD		(15,984	)		(385	)
CITI	Soybean March Futures^	02/2017		USD		(13,293,513	)		104,736
CITI	Soybean March Futures^	02/2017		USD		15,372,513			(613,713	)
SOCG	Soybean March Futures^	02/2017		USD		(2,427,401	)		73,539
SOCG	Soybean March Futures^	02/2017		USD		10,142,974			(404,174	)
GSIN	Soybean March Futures^	02/2017		USD		(4,820,327	)		101,774
GSIN	Soybean March Futures^	02/2017		USD		4,976,252			(157,052	)
MACQ	Soybean March Futures^	02/2017		USD		19,709,103			(783,703	)
MACQ	Soybean March Futures^	02/2017		USD		(2,907,212	)		77,070
CITI	Soybean Meal March Futures^	02/2017		USD		2,377,070			(34,230	)
SOCG	Soybean Meal March Futures^	02/2017		USD		1,123,519			(15,419	)
GSIN	Soybean Meal March Futures^	02/2017		USD		(1,557,600	)		5,280
GSIN	Soybean Meal March Futures^	02/2017		USD		8,187,540			(114,240	)
SOCG	Soybean Oil March Futures^	02/2017		USD		(3,349,268	)		118,012
SOCG	Soybean Oil March Futures^	02/2017		USD		8,595,448			(651,376	)
BANA	Swiss Market Index March Futures	03/2017		CHF		(6,798,629	)		(144,686	)
CITI	Wheat March Futures^	02/2017		USD		(9,760,844	)		397,244
SOCG	Wheat March Futures^	02/2017		USD		4,747,763			218,963
SOCG	Wheat March Futures^	02/2017		USD		(6,918,251	)		(27,433	)
MACQ	Wheat March Futures^	02/2017		USD		(1,296,111	)		51,711
									$(4,855,354	)

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

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

AQR Funds Annual Report December 2016

23

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

Open futures contracts outstanding at December 31, 2016:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
539	GSCO	Brent Crude Futures^		01/2017		$29,987,362		$30,625,980		$638,618
514	GSCO	Gas Oil Futures^		02/2017		25,036,541		25,944,150		907,609
134	MSCL	Gasoline RBOB Futures^		01/2017		8,841,761		9,403,825		562,064
244	MSCL	Heating Oil ULSD Futures^		01/2017		17,073,574		17,710,594		637,020
73	JPPC	LME Aluminum Futures^		01/2017		3,061,910		3,107,062		45,152
37	JPPC	LME Aluminum Futures^		01/2017		1,558,558		1,573,888		15,330
10	JPPC	LME Aluminum Futures^		01/2017		419,162		425,250		6,088
17	JPPC	LME Aluminum Futures^		01/2017		715,753		722,287		6,534
1	JPPC	LME Aluminum Futures^		01/2017		42,256		42,450		194
2	JPPC	LME Aluminum Futures^		01/2017		83,478		84,700		1,222
8	JPPC	LME Aluminum Futures^		01/2017		323,020		338,572		15,552
17	JPPC	LME Aluminum Futures^		01/2017		694,500		719,351		24,851
10	JPPC	LME Aluminum Futures^		01/2017		415,030		423,113		8,083
35	JPPC	LME Aluminum Futures^		01/2017		1,512,080		1,480,422		(31,658	)
36	JPPC	LME Aluminum Futures^		02/2017		1,558,023		1,522,594		(35,429	)
75	JPPC	LME Aluminum Futures^		02/2017		3,239,647		3,171,563		(68,084	)
37	JPPC	LME Aluminum Futures^		02/2017		1,592,373		1,564,351		(28,022	)
38	JPPC	LME Aluminum Futures^		02/2017		1,635,252		1,606,478		(28,774	)
5	JPPC	LME Aluminum Futures^		02/2017		217,830		211,360		(6,470	)
12	JPPC	LME Aluminum Futures^		02/2017		532,452		507,216		(25,236	)
49	JPPC	LME Aluminum Futures^		02/2017		2,064,949		2,069,944		4,995
12	JPPC	LME Aluminum Futures^		02/2017		513,029		507,165		(5,864	)
12	JPPC	LME Aluminum Futures^		02/2017		521,879		507,225		(14,654	)
3	JPPC	LME Aluminum Futures^		02/2017		132,171		126,897		(5,274	)
14	JPPC	LME Aluminum Futures^		03/2017		602,959		592,252		(10,707	)
23	JPPC	LME Aluminum Futures^		03/2017		981,856		973,101		(8,755	)
61	JPPC	LME Aluminum Futures^		03/2017		2,613,208		2,582,054		(31,154	)
8	JPPC	LME Aluminum Futures^		03/2017		344,024		338,670		(5,354	)
13	JPPC	LME Aluminum Futures^		03/2017		560,657		550,404		(10,253	)
3	JPPC	LME Aluminum Futures^		03/2017		130,357		127,031		(3,326	)
3	JPPC	LME Aluminum Futures^		03/2017		130,632		126,993		(3,639	)
336	JPPC	LME Aluminum Futures^		03/2017		14,512,185		14,219,100		(293,085	)
32	JPPC	LME Aluminum Futures^		03/2017		1,387,278		1,354,400		(32,878	)
15	JPPC	LME Aluminum Futures^		03/2017		645,037		634,849		(10,188	)
5	JPPC	LME Aluminum Futures^		03/2017		212,531		211,620		(911	)
11	JPPC	LME Aluminum Futures^		03/2017		463,718		465,575		1,857
15	JPPC	LME Copper Futures^		01/2017		1,762,582		2,072,250		309,668
13	JPPC	LME Copper Futures^		01/2017		1,517,668		1,795,544		277,876
15	JPPC	LME Copper Futures^		01/2017		1,743,019		2,071,901		328,882
12	JPPC	LME Copper Futures^		01/2017		1,392,442		1,657,908		265,466
2	JPPC	LME Copper Futures^		01/2017		236,717		276,334		39,617
2	JPPC	LME Copper Futures^		01/2017		242,691		276,431		33,740
2	JPPC	LME Copper Futures^		02/2017		244,412		276,447		32,035
9	JPPC	LME Copper Futures^		02/2017		1,115,151		1,244,153		129,002
6	JPPC	LME Copper Futures^		02/2017		759,294		829,629		70,335
6	JPPC	LME Copper Futures^		02/2017		768,870		829,677		60,807
6	JPPC	LME Copper Futures^		02/2017		807,278		829,725		22,447
19	JPPC	LME Copper Futures^		02/2017		2,720,729		2,627,315		(93,414	)
11	JPPC	LME Copper Futures^		02/2017		1,540,910		1,520,904		(20,006	)
13	JPPC	LME Copper Futures^		02/2017		1,776,909		1,797,250		20,341
4	JPPC	LME Copper Futures^		02/2017		547,641		553,000		5,359
3	JPPC	LME Copper Futures^		02/2017		436,820		414,934		(21,886	)

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

AQR Funds Annual Report December 2016

24

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	JPPC	LME Copper Futures^		03/2017		$ 144,732		$ 138,317		$ (6,415	)
4	JPPC	LME Copper Futures^		03/2017		582,536		553,475		(29,061	)
244	MSCL	LME Copper Futures^		03/2017		15,350,531		15,283,550		(66,981	)
5	JPPC	LME Nickel Futures^		01/2017		301,947		299,366		(2,581	)
9	JPPC	LME Nickel Futures^		01/2017		557,464		538,893		(18,571	)
10	JPPC	LME Nickel Futures^		02/2017		692,396		599,349		(93,047	)
24	JPPC	LME Nickel Futures^		02/2017		1,674,967		1,438,529		(236,438	)
11	JPPC	LME Nickel Futures^		02/2017		739,478		659,496		(79,982	)
3	JPPC	LME Nickel Futures^		02/2017		202,696		179,886		(22,810	)
5	JPPC	LME Nickel Futures^		02/2017		332,054		299,828		(32,226	)
1	JPPC	LME Nickel Futures^		02/2017		67,243		59,981		(7,262	)
2	JPPC	LME Nickel Futures^		02/2017		136,846		119,978		(16,868	)
4	JPPC	LME Nickel Futures^		02/2017		281,945		240,033		(41,912	)
94	JPPC	LME Nickel Futures^		03/2017		6,490,819		5,646,204		(844,615	)
16	JPPC	LME Nickel Futures^		03/2017		1,102,119		960,994		(141,125	)
5	JPPC	LME Nickel Futures^		03/2017		306,012		300,564		(5,448	)
12	JPPC	LME Nickel Futures^		03/2017		728,669		721,396		(7,273	)
2	JPPC	LME Nickel Futures^		03/2017		121,313		120,240		(1,073	)
3	JPPC	LME Zinc Futures^		01/2017		174,677		191,893		17,216
2	JPPC	LME Zinc Futures^		02/2017		123,150		128,326		5,176
1	JPPC	LME Zinc Futures^		02/2017		63,576		64,188		612
2	JPPC	LME Zinc Futures^		02/2017		128,442		128,405		(37	)
26	JPPC	LME Zinc Futures^		02/2017		1,857,019		1,670,513		(186,506	)
3	JPPC	LME Zinc Futures^		03/2017		204,307		192,778		(11,529	)
9	JPPC	LME Zinc Futures^		03/2017		603,472		578,414		(25,058	)
16	JPPC	LME Zinc Futures^		03/2017		1,093,990		1,028,860		(65,130	)
3	JPPC	LME Zinc Futures^		03/2017		213,907		192,937		(20,970	)
1	JPPC	LME Zinc Futures^		03/2017		68,628		64,319		(4,309	)
3	JPPC	LME Zinc Futures^		03/2017		205,882		193,050		(12,832	)
135	JPPC	LME Zinc Futures^		03/2017		9,303,156		8,687,250		(615,906	)
14	JPPC	LME Zinc Futures^		03/2017		966,216		900,900		(65,316	)
2	JPPC	LME Zinc Futures^		03/2017		128,181		128,787		606
189	MSCL	Natural Gas Futures^		01/2017		6,756,609		7,038,360		281,751
22	MSCL	NYMEX Palladium Futures^		03/2017		1,632,718		1,503,150		(129,568	)
31	MSCL	Silver Futures^		03/2017		2,586,605		2,478,295		(108,310	)
151	MSCL	Sugar #11 (World Markets) Futures^		02/2017		3,911,473		3,299,532		(611,941	)
382	MSCL	WTI Crude Futures^		01/2017		20,058,426		20,521,040		462,614
137	BARC	Amsterdam Index Futures		01/2017		13,740,156		13,933,865		193,709
258	BARC	CAC40 Index Futures		01/2017		13,037,263		13,207,115		169,852
92	BARC	DAX Index Futures		03/2017		27,428,067		27,757,854		329,787
375	BARC	E-Mini DJIA CBOT Futures		03/2017		36,976,871		36,975,000		(1,871	)
67	JPMS	E-Mini MSCI EAFE Index Futures		03/2017		5,589,043		5,613,260		24,217
243	BARC	E-Mini Russell 2000 Futures		03/2017		16,749,026		16,486,335		(262,691	)
694	BARC	Euro Stoxx 50 Index Futures		03/2017		23,584,482		23,939,766		355,284
272	BARC	FTSE 100 Index Futures		03/2017		23,086,311		23,632,502		546,191
62	BARC	FTSE/MIB Index Futures		03/2017		6,166,660		6,267,005		100,345
1	BARC	H-SHARES Index Futures		01/2017		59,333		60,533		1,200
53	BARC	IBEX 35 Index Futures		01/2017		5,197,410		5,195,987		(1,423	)
1	JPMS	KOSPI Index 200 Futures		03/2017		106,823		107,655		832
268	BARC	NASDAQ 100 E-Mini Index Futures		03/2017		26,145,108		26,071,040		(74,068	)
58	JPMS	Nikkei 225 Futures		03/2017		9,333,927		9,478,502		144,575
503	JPMS	OMXS30 Index Futures		01/2017		8,513,751		8,386,462		(127,289	)
281	BARC	S&P 500 E-Mini Futures		03/2017		31,635,173		31,418,610		(216,563	)

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

AQR Funds Annual Report December 2016

25

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
117	BARC	S&P MID 400 E-Mini Futures		03/2017		$ 19,744,122			$ 19,411,470			$ (332,652	)
261	BARC	S&P/Toronto Stock Exchange 60 Index Futures		03/2017		34,868,907			34,869,981			1,074
255	BARC	SPI 200 Index Futures		03/2017		25,405,399			25,905,520			500,121
112	BARC	TOPIX Index Futures		03/2017		14,502,933			14,546,824			43,891
1,051	GSCO	Euro-Bobl Futures		03/2017		147,143,558			147,839,563			696,005
25	GSCO	Euro-Bund Futures		03/2017		4,324,369			4,319,812			(4,557	)
11	GSCO	Euro-OAT Futures		03/2017		1,756,307			1,757,946			1,639
3,688	GSCO	Euro-SCHATZ Futures		03/2017		435,541,908			435,929,222			387,314
28	GSCO	Long Gilt Futures		03/2017		4,297,441			4,342,041			44,600
						1,156,798,714			1,160,250,834			3,452,120
Short Contracts:
246	GSCO	Cocoa Futures^		03/2017		$(6,085,248	)		$(5,250,911	)		$834,337
7	MSCL	Gold 100 OZ Futures^		02/2017		(810,333	)		(806,190	)		4,143
153	MSCL	Hard Red Winter Wheat Futures^		03/2017		(3,273,711	)		(3,201,525	)		72,186
73	JPPC	LME Aluminum Futures^		01/2017		(3,060,604	)		(3,107,063	)		(46,459	)
37	JPPC	LME Aluminum Futures^		01/2017		(1,554,834	)		(1,573,887	)		(19,053	)
10	JPPC	LME Aluminum Futures^		01/2017		(419,600	)		(425,249	)		(5,649	)
17	JPPC	LME Aluminum Futures^		01/2017		(713,321	)		(722,288	)		(8,967	)
1	JPPC	LME Aluminum Futures^		01/2017		(42,341	)		(42,450	)		(109	)
2	JPPC	LME Aluminum Futures^		01/2017		(82,214	)		(84,700	)		(2,486	)
8	JPPC	LME Aluminum Futures^		01/2017		(323,849	)		(338,572	)		(14,723	)
17	JPPC	LME Aluminum Futures^		01/2017		(693,542	)		(719,351	)		(25,809	)
10	JPPC	LME Aluminum Futures^		01/2017		(416,721	)		(423,112	)		(6,391	)
35	JPPC	LME Aluminum Futures^		01/2017		(1,513,647	)		(1,480,421	)		33,226
36	JPPC	LME Aluminum Futures^		02/2017		(1,561,470	)		(1,522,593	)		38,877
75	JPPC	LME Aluminum Futures^		02/2017		(3,234,123	)		(3,171,563	)		62,560
37	JPPC	LME Aluminum Futures^		02/2017		(1,595,078	)		(1,564,351	)		30,727
38	JPPC	LME Aluminum Futures^		02/2017		(1,627,851	)		(1,606,479	)		21,372
5	JPPC	LME Aluminum Futures^		02/2017		(218,019	)		(211,360	)		6,659
12	JPPC	LME Aluminum Futures^		02/2017		(534,451	)		(507,216	)		27,235
49	JPPC	LME Aluminum Futures^		02/2017		(2,070,254	)		(2,069,944	)		310
12	JPPC	LME Aluminum Futures^		02/2017		(515,073	)		(507,165	)		7,908
12	JPPC	LME Aluminum Futures^		02/2017		(522,912	)		(507,225	)		15,687
3	JPPC	LME Aluminum Futures^		02/2017		(132,105	)		(126,896	)		5,209
14	JPPC	LME Aluminum Futures^		03/2017		(602,616	)		(592,253	)		10,363
23	JPPC	LME Aluminum Futures^		03/2017		(985,213	)		(973,102	)		12,111
61	JPPC	LME Aluminum Futures^		03/2017		(2,617,506	)		(2,582,054	)		35,452
8	JPPC	LME Aluminum Futures^		03/2017		(344,283	)		(338,670	)		5,613
13	JPPC	LME Aluminum Futures^		03/2017		(559,575	)		(550,404	)		9,171
3	JPPC	LME Aluminum Futures^		03/2017		(130,726	)		(127,031	)		3,695
188	JPPC	LME Aluminum Futures^		03/2017		(8,069,691	)		(7,955,925	)		113,766
3	JPPC	LME Aluminum Futures^		03/2017		(130,694	)		(126,993	)		3,701
32	JPPC	LME Aluminum Futures^		03/2017		(1,388,557	)		(1,354,400	)		34,157
15	JPPC	LME Aluminum Futures^		03/2017		(641,977	)		(634,849	)		7,128
5	JPPC	LME Aluminum Futures^		03/2017		(211,623	)		(211,620	)		3
11	JPPC	LME Aluminum Futures^		03/2017		(466,695	)		(465,575	)		1,120
15	JPPC	LME Copper Futures^		01/2017		(1,758,583	)		(2,072,250	)		(313,667	)
13	JPPC	LME Copper Futures^		01/2017		(1,514,866	)		(1,795,544	)		(280,678	)
15	JPPC	LME Copper Futures^		01/2017		(1,742,336	)		(2,071,901	)		(329,565	)
12	JPPC	LME Copper Futures^		01/2017		(1,393,570	)		(1,657,908	)		(264,338	)
2	JPPC	LME Copper Futures^		01/2017		(236,611	)		(276,334	)		(39,723	)
2	JPPC	LME Copper Futures^		01/2017		(241,970	)		(276,430	)		(34,460	)

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

AQR Funds Annual Report December 2016

26

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2	JPPC	LME Copper Futures^		02/2017		$ (244,163	)		$ (276,447	)		$ (32,284	)
9	JPPC	LME Copper Futures^		02/2017		(1,112,244	)		(1,244,153	)		(131,909	)
6	JPPC	LME Copper Futures^		02/2017		(759,735	)		(829,629	)		(69,894	)
6	JPPC	LME Copper Futures^		02/2017		(759,885	)		(829,677	)		(69,792	)
6	JPPC	LME Copper Futures^		02/2017		(808,688	)		(829,725	)		(21,037	)
19	JPPC	LME Copper Futures^		02/2017		(2,768,306	)		(2,627,315	)		140,991
11	JPPC	LME Copper Futures^		02/2017		(1,546,398	)		(1,520,904	)		25,494
13	JPPC	LME Copper Futures^		02/2017		(1,776,998	)		(1,797,250	)		(20,252	)
4	JPPC	LME Copper Futures^		02/2017		(546,988	)		(553,000	)		(6,012	)
3	JPPC	LME Copper Futures^		02/2017		(437,793	)		(414,935	)		22,858
1	JPPC	LME Copper Futures^		03/2017		(144,497	)		(138,316	)		6,181
5	JPPC	LME Nickel Futures^		01/2017		(301,642	)		(299,365	)		2,277
9	JPPC	LME Nickel Futures^		01/2017		(555,318	)		(538,893	)		16,425
10	JPPC	LME Nickel Futures^		02/2017		(693,044	)		(599,348	)		93,696
24	JPPC	LME Nickel Futures^		02/2017		(1,685,317	)		(1,438,530	)		246,787
11	JPPC	LME Nickel Futures^		02/2017		(742,357	)		(659,495	)		82,862
3	JPPC	LME Nickel Futures^		02/2017		(203,573	)		(179,886	)		23,687
5	JPPC	LME Nickel Futures^		02/2017		(332,538	)		(299,829	)		32,709
1	JPPC	LME Nickel Futures^		02/2017		(66,982	)		(59,981	)		7,001
2	JPPC	LME Nickel Futures^		02/2017		(136,350	)		(119,978	)		16,372
4	JPPC	LME Nickel Futures^		02/2017		(282,710	)		(240,032	)		42,678
35	JPPC	LME Nickel Futures^		03/2017		(2,256,945	)		(2,102,310	)		154,635
16	JPPC	LME Nickel Futures^		03/2017		(1,097,281	)		(960,995	)		136,286
5	JPPC	LME Nickel Futures^		03/2017		(305,123	)		(300,564	)		4,559
12	JPPC	LME Nickel Futures^		03/2017		(726,893	)		(721,397	)		5,496
2	JPPC	LME Nickel Futures^		03/2017		(120,939	)		(120,240	)		699
3	JPPC	LME Zinc Futures^		01/2017		(175,566	)		(191,893	)		(16,327	)
2	JPPC	LME Zinc Futures^		02/2017		(122,803	)		(128,325	)		(5,522	)
1	JPPC	LME Zinc Futures^		02/2017		(63,403	)		(64,188	)		(785	)
2	JPPC	LME Zinc Futures^		02/2017		(130,208	)		(128,405	)		1,803
26	JPPC	LME Zinc Futures^		02/2017		(1,855,514	)		(1,670,513	)		185,001
3	JPPC	LME Zinc Futures^		03/2017		(205,657	)		(192,779	)		12,878
9	JPPC	LME Zinc Futures^		03/2017		(606,257	)		(578,414	)		27,843
16	JPPC	LME Zinc Futures^		03/2017		(1,101,841	)		(1,028,860	)		72,981
3	JPPC	LME Zinc Futures^		03/2017		(211,586	)		(192,938	)		18,648
1	JPPC	LME Zinc Futures^		03/2017		(68,323	)		(64,318	)		4,005
3	JPPC	LME Zinc Futures^		03/2017		(205,610	)		(193,050	)		12,560
77	JPPC	LME Zinc Futures^		03/2017		(5,344,699	)		(4,954,950	)		389,749
14	JPPC	LME Zinc Futures^		03/2017		(961,457	)		(900,900	)		60,557
2	JPPC	LME Zinc Futures^		03/2017		(128,688	)		(128,787	)		(99	)
19	MSCL	Platinum Futures^		04/2017		(873,703	)		(860,415	)		13,288
26	JPMS	E-Mini MSCI Emerging Markets Index Futures		03/2017		(1,097,571	)		(1,116,570	)		(18,999	)
291	JPMS	FTSE China A50 Index Futures		01/2017		(2,915,239	)		(2,899,087	)		16,152
4	JPMS	FTSE/JSE Top 40 Index Futures		03/2017		(130,198	)		(129,043	)		1,155
43	BARC	MSCI Singapore Index Futures		01/2017		(949,496	)		(949,584	)		(88	)
7	BARC	SGX S&P CNX Nifty Index Futures		01/2017		(112,075	)		(114,583	)		(2,508	)
17	GSCO	10-Year Japanese Government Bond Futures		03/2017		(21,836,286	)		(21,853,091	)		(16,805	)
393	JPMS	3-Month Euro Euribor Futures		06/2017		(103,706,897	)		(103,733,130	)		(26,233	)

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

AQR Funds Annual Report December 2016

27

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
574	JPMS	3-Month Euro Euribor Futures		09/2017		$ (151,454,781	)		$ (151,478,228	)		$ (23,447	)
541	JPMS	3-Month Euro Euribor Futures		12/2017		(142,721,116	)		(142,748,194	)		(27,078	)
516	JPMS	3-Month Euro Euribor Futures		03/2018		(136,079,558	)		(136,124,537	)		(44,979	)
490	JPMS	3-Month Euro Euribor Futures		06/2018		(129,194,387	)		(129,246,207	)		(51,820	)
357	JPMS	3-Month Euro Euribor Futures		09/2018		(94,087,046	)		(94,146,304	)		(59,258	)
172	JPMS	3-Month Euro Euribor Futures		12/2018		(45,327,898	)		(45,347,688	)		(19,790	)
951	JPMS	90-Day EURODollar Futures		06/2017		(235,062,893	)		(234,885,113	)		177,780
890	JPMS	90-Day EURODollar Futures		09/2017		(219,773,137	)		(219,485,125	)		288,012
740	JPMS	90-Day EURODollar Futures		12/2017		(182,466,471	)		(182,188,000	)		278,471
719	JPMS	90-Day EURODollar Futures		03/2018		(177,045,309	)		(176,802,100	)		243,209
661	JPMS	90-Day EURODollar Futures		06/2018		(162,566,727	)		(162,341,600	)		225,127
592	JPMS	90-Day EURODollar Futures		09/2018		(145,390,565	)		(145,225,000	)		165,565
533	JPMS	90-Day EURODollar Futures		12/2018		(130,679,815	)		(130,585,000	)		94,815
337	JPMS	90-Day Sterling Futures		06/2017		(51,687,234	)		(51,696,807	)		(9,573	)
238	JPMS	90-Day Sterling Futures		09/2017		(36,484,642	)		(36,502,582	)		(17,940	)
121	JPMS	90-Day Sterling Futures		12/2017		(18,533,035	)		(18,552,443	)		(19,408	)
35	JPMS	90-Day Sterling Futures		03/2018		(5,358,154	)		(5,364,253	)		(6,099	)
65	JPMS	90-Day Sterling Futures		06/2018		(9,952,692	)		(9,958,177	)		(5,485	)
59	JPMS	90-Day Sterling Futures		09/2018		(9,031,793	)		(9,034,416	)		(2,623	)
36	JPMS	90-Day Sterling Futures		12/2018		(5,501,891	)		(5,509,753	)		(7,862	)
200	JPMS	ASX 90 Day Bank Accepted Bills Futures		06/2017		(143,666,008	)		(143,667,548	)		(1,540	)
181	JPMS	ASX 90 Day Bank Accepted Bills Futures		09/2017		(129,995,575	)		(129,999,988	)		(4,413	)
132	JPMS	Australia 10-Year Bond Futures		03/2017		(12,112,460	)		(12,168,472	)		(56,012	)
1,622	JPMS	Australia 3-Year Bond Futures		03/2017		(130,694,746	)		(130,474,123	)		220,623
243	GSCO	Canadian 10-Year Bond Futures		03/2017		(24,836,189	)		(24,890,918	)		(54,729	)
169	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2017		(31,183,189	)		(31,176,544	)		6,645
649	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2017		(119,686,103	)		(119,676,973	)		9,130
599	JPMS	Canadian 3-Month Bank Acceptance Futures		09/2017		(110,358,515	)		(110,389,947	)		(31,432	)
202	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		03/2017		(32,241,301	)		(32,370,500	)		(129,199	)
70	JPMS	Euro CHF 3-Month LIFFE Futures		12/2017		(17,315,284	)		(17,310,960	)		4,324
105	JPMS	Euro CHF 3-Month LIFFE Futures		06/2017		(25,982,369	)		(25,976,751	)		5,618
80	JPMS	Euro CHF 3-Month LIFFE Futures		09/2017		(19,797,423	)		(19,789,845	)		7,578
271	GSCO	Euro-BTP Italian Government Bond Futures		03/2017		(37,875,987	)		(38,599,633	)		(723,646	)
6	GSCO	Euro-Buxl 30-Year Bond Futures		03/2017		(1,104,248	)		(1,095,935	)		8,313
678	MSCL	U.S. Treasury 10-Year Note Futures		03/2017		(84,189,550	)		(84,262,687	)		(73,137	)

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

AQR Funds Annual Report December 2016

28

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2,080	MSCL	U.S. Treasury 2-Year Note Futures		03/2017		$ (450,982,052	)		$ (450,710,000	)		$ 272,052
1,133	MSCL	U.S. Treasury 5-Year Note Futures		03/2017		(133,342,792	)		(133,313,383	)		29,409
287	MSCL	U.S. Treasury Long Bond Futures		03/2017		(43,042,564	)		(43,238,344	)		(195,780	)
						(3,854,059,676	)		(3,852,143,849	)		1,915,827
						$(2,697,260,962	)		$(2,691,893,015	)		$5,367,947

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

Forward foreign currency exchange contracts outstanding as of December 31, 2016:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		32,075,800		$23,888,741		$23,107,778		$(780,963	)
Australian Dollar, Expiring 03/15/17	JPMC	AUD		47,632,200		35,475,090		34,314,792		(1,160,298	)
Brazilian Real, Expiring 03/15/17*	CITI	BRL		43,088,200		12,387,930		12,982,782		594,852
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		51,265,800		14,676,906		15,446,753		769,847
Canadian Dollar, Expiring 03/15/17	CITI	CAD		86,031,600		64,987,804		64,129,068		(858,736	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		129,047,400		97,481,829		96,193,603		(1,288,226	)
Chilean Peso, Expiring 03/15/17*	CITI	CLP		3,892,467,200		5,793,595		5,782,716		(10,879	)
Chilean Peso, Expiring 03/15/17*	JPMC	CLP		4,950,550,800		7,349,753		7,354,623		4,870
Colombian Peso, Expiring 03/15/17*	CITI	COP		8,818,190,800		2,896,755		2,901,609		4,854
Colombian Peso, Expiring 03/15/17*	JPMC	COP		7,155,709,200		2,341,334		2,354,572		13,238
Euro, Expiring 03/15/17	CITI	EUR		40,275,000		42,966,112		42,544,897		(421,215	)
Euro, Expiring 03/15/17	JPMC	EUR		56,274,000		60,126,092		59,445,599		(680,493	)
British Pound, Expiring 03/15/17	CITI	GBP		13,476,800		17,048,597		16,637,828		(410,769	)
British Pound, Expiring 03/15/17	JPMC	GBP		20,215,200		25,572,692		24,956,741		(615,951	)
Hungarian Forint, Expiring 03/16/17	CITI	HUF		2,988,395,600		10,190,992		10,190,860		(132	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		4,274,234,400		14,586,912		14,575,754		(11,158	)
Indonesian Rupiah, Expiring 03/15/17*	CITI	IDR		73,008,980,000		5,341,908		5,362,730		20,822
Indonesian Rupiah, Expiring 03/15/17*	JPMC	IDR		90,421,938,000		6,608,568		6,641,764		33,196

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

AQR Funds Annual Report December 2016

29

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2016		UNREALIZED APPRECIATION (DEPRECIATION)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		17,781,400		$ 4,665,363		$ 4,625,141		$ (40,222	)
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		21,210,600		5,572,784		5,517,115		(55,669	)
Indian Rupee, Expiring 03/15/17*	CITI	INR		677,553,400		9,895,837		9,904,819		8,982
Indian Rupee, Expiring 03/15/17*	JPMC	INR		763,566,600		11,145,034		11,162,203		17,169
Japanese Yen, Expiring 03/15/17	CITI	JPY		3,628,402,002		31,912,974		31,153,662		(759,312	)
Japanese Yen, Expiring 03/15/17	JPMC	JPY		5,442,603,002		47,869,415		46,730,494		(1,138,921	)
Korean Won, Expiring 03/15/17*	CITI	KRW		18,075,018,400		15,453,549		14,966,677		(486,872	)
Korean Won, Expiring 03/15/17*	JPMC	KRW		27,112,527,600		23,180,352		22,450,013		(730,339	)
Mexican Peso, Expiring 03/15/17	CITI	MXN		65,858,600		3,168,535		3,147,300		(21,235	)
Mexican Peso, Expiring 03/15/17	JPMC	MXN		96,593,400		4,646,646		4,616,078		(30,568	)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		254,849,200		30,330,144		29,526,029		(804,115	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		382,273,800		45,494,734		44,289,042		(1,205,692	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		148,540,400		105,317,795		102,974,134		(2,343,661	)
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		216,426,600		153,461,146		150,035,558		(3,425,588	)
Philippine Peso, Expiring 03/15/17*	CITI	PHP		105,354,400		2,087,399		2,114,135		26,736
Philippine Peso, Expiring 03/15/17*	JPMC	PHP		107,649,600		2,128,915		2,160,193		31,278
Poland Zloty, Expiring 03/15/17	CITI	PLN		19,894,800		4,698,303		4,748,376		50,073
Poland Zloty, Expiring 03/15/17	JPMC	PLN		29,842,200		7,047,583		7,122,564		74,981
Swedish Krona, Expiring 03/15/17	CITI	SEK		225,792,600		24,563,710		24,886,654		322,944
Swedish Krona, Expiring 03/15/17	JPMC	SEK		335,612,400		36,507,731		36,990,895		483,164
Singapore Dollar, Expiring 03/15/17	CITI	SGD		3,166,200		2,213,146		2,185,584		(27,562	)
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		3,799,800		2,651,905		2,622,948		(28,957	)
Turkish Lira, Expiring 03/15/17	CITI	TRY		17,649,600		4,930,091		4,929,812		(279	)
Turkish Lira, Expiring 03/15/17	JPMC	TRY		9,473,400		2,648,861		2,646,069		(2,792	)
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		86,757,000		2,728,951		2,700,540		(28,411	)
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		102,855,000		3,234,207		3,201,630		(32,577	)
South African Rand, Expiring 03/15/17	CITI	ZAR		239,091,400		17,038,461		17,180,345		141,884
South African Rand, Expiring 03/15/17	JPMC	ZAR		349,836,600		24,932,777		25,138,142		205,365
						$1,079,247,958		$1,064,650,621		$(14,597,337	)

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

AQR Funds Annual Report December 2016

30

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/15/17	CITI	AUD		(35,618,400	)		$(25,868,773	)		$(25,659,907	)		$208,866
Australian Dollar, Expiring 03/15/17	JPMC	AUD		(53,427,600	)		(38,802,920	)		(38,489,865	)		313,055
Brazilian Real, Expiring 03/15/17*	CITI	BRL		(8,697,200	)		(2,484,046	)		(2,620,529	)		(136,483	)
Brazilian Real, Expiring 03/15/17*	JPMC	BRL		(11,689,800	)		(3,345,862	)		(3,522,220	)		(176,358	)
Canadian Dollar, Expiring 03/15/17	CITI	CAD		(24,346,800	)		(18,134,068	)		(18,148,419	)		(14,351	)
Canadian Dollar, Expiring 03/15/17	JPMC	CAD		(36,520,200	)		(27,201,167	)		(27,222,628	)		(21,461	)
Swiss Franc, Expiring 03/15/17	CITI	CHF		(273,000	)		(270,624	)		(269,282	)		1,342
Swiss Franc, Expiring 03/15/17	JPMC	CHF		(171,000	)		(169,780	)		(168,671	)		1,109
Chilean Peso, Expiring 03/15/17*	CITI	CLP		(1,293,927,600	)		(1,909,988	)		(1,922,282	)		(12,294	)
Chilean Peso, Expiring 03/15/17*	JPMC	CLP		(1,940,891,400	)		(2,864,979	)		(2,883,421	)		(18,442	)
Colombian Peso, Expiring 03/15/17*	CITI	COP		(1,025,687,200	)		(331,209	)		(337,501	)		(6,292	)
Colombian Peso, Expiring 03/15/17*	JPMC	COP		(1,207,303,800	)		(387,606	)		(397,261	)		(9,655	)
Euro, Expiring 03/15/17	CITI	EUR		(128,446,802	)		(137,531,163	)		(135,686,060	)		1,845,103
Euro, Expiring 03/15/17	JPMC	EUR		(192,670,201	)		(206,296,710	)		(203,529,088	)		2,767,622
British Pound, Expiring 03/15/17	CITI	GBP		(39,533,001	)		(49,624,830	)		(48,805,596	)		819,234
British Pound, Expiring 03/15/17	JPMC	GBP		(58,197,001	)		(73,086,283	)		(71,847,297	)		1,238,986
Hong Kong Dollar, Expiring 03/15/17	CITI	HKD		(9,006,400	)		(1,161,701	)		(1,161,766	)		(65	)
Hong Kong Dollar, Expiring 03/15/17	JPMC	HKD		(6,213,600	)		(801,811	)		(801,514	)		297
Hungarian Forint, Expiring 03/16/17	CITI	HUF		(2,263,190,800	)		(7,680,552	)		(7,717,807	)		(37,255	)
Hungarian Forint, Expiring 03/16/17	JPMC	HUF		(3,394,786,200	)		(11,520,410	)		(11,576,711	)		(56,301	)
Indonesian Rupiah, Expiring 03/15/17*	CITI	IDR		(5,470,992,000	)		(401,208	)		(401,861	)		(653	)
Indonesian Rupiah, Expiring 03/15/17*	JPMC	IDR		(6,376,437,000	)		(467,988	)		(468,368	)		(380	)
Israeli Shekel, Expiring 03/15/17	CITI	ILS		(17,007,000	)		(4,447,351	)		(4,423,712	)		23,639
Israeli Shekel, Expiring 03/15/17	JPMC	ILS		(21,285,000	)		(5,573,450	)		(5,536,467	)		36,983
Indian Rupee, Expiring 03/15/17*	CITI	INR		(171,164,200	)		(2,476,327	)		(2,502,166	)		(25,839	)
Indian Rupee, Expiring 03/15/17*	JPMC	INR		(250,219,800	)		(3,619,171	)		(3,657,841	)		(38,670	)
Japanese Yen, Expiring 03/15/17	CITI	JPY		(5,874,254,400	)		(51,254,860	)		(50,436,678	)		818,182
Japanese Yen, Expiring 03/15/17	JPMC	JPY		(8,811,381,600	)		(76,883,286	)		(75,655,018	)		1,228,268
Korean Won, Expiring 03/15/17*	CITI	KRW		(33,302,670,800	)		(28,273,563	)		(27,575,641	)		697,922
Korean Won, Expiring 03/15/17*	JPMC	KRW		(49,954,006,199	)		(42,410,293	)		(41,363,466	)		1,046,827

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

AQR Funds Annual Report December 2016

31

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2016			UNREALIZED APPRECIATION (DEPRECIATION)
Mexican Peso, Expiring 03/15/17	CITI	MXN		(259,742,400	)		$ (12,387,725	)		$ (12,412,766	)		$ (25,041	)
Mexican Peso, Expiring 03/15/17	JPMC	MXN		(389,613,600	)		(18,581,711	)		(18,619,148	)		(37,437	)
Norwegian Krone, Expiring 03/15/17	CITI	NOK		(118,000,800	)		(13,623,058	)		(13,671,203	)		(48,145	)
Norwegian Krone, Expiring 03/15/17	JPMC	NOK		(155,740,200	)		(17,991,537	)		(18,043,571	)		(52,034	)
New Zealand Dollar, Expiring 03/15/17	CITI	NZD		(57,672,400	)		(40,533,781	)		(39,980,809	)		552,972
New Zealand Dollar, Expiring 03/15/17	JPMC	NZD		(86,508,600	)		(60,800,527	)		(59,971,217	)		829,310
Philippine Peso, Expiring 03/15/17*	CITI	PHP		(273,905,800	)		(5,444,400	)		(5,496,441	)		(52,041	)
Philippine Peso, Expiring 03/15/17*	JPMC	PHP		(372,763,200	)		(7,408,665	)		(7,480,199	)		(71,534	)
Poland Zloty, Expiring 03/15/17	CITI	PLN		(55,551,600	)		(13,233,513	)		(13,258,737	)		(25,224	)
Poland Zloty, Expiring 03/15/17	JPMC	PLN		(83,327,399	)		(19,851,324	)		(19,888,103	)		(36,779	)
Swedish Krona, Expiring 03/15/17	CITI	SEK		(440,921,600	)		(48,452,933	)		(48,597,979	)		(145,046	)
Swedish Krona, Expiring 03/15/17	JPMC	SEK		(661,382,400	)		(72,679,331	)		(72,896,969	)		(217,638	)
Singapore Dollar, Expiring 03/15/17	CITI	SGD		(6,273,600	)		(4,399,903	)		(4,330,577	)		69,326
Singapore Dollar, Expiring 03/15/17	JPMC	SGD		(8,297,400	)		(5,825,204	)		(5,727,579	)		97,625
Turkish Lira, Expiring 03/15/17	CITI	TRY		(84,206,000	)		(23,844,678	)		(23,520,062	)		324,616
Turkish Lira, Expiring 03/15/17	JPMC	TRY		(124,380,000	)		(35,228,413	)		(34,741,292	)		487,121
New Taiwan Dollar, Expiring 03/15/17*	CITI	TWD		(79,393,600	)		(2,462,712	)		(2,471,332	)		(8,620	)
New Taiwan Dollar, Expiring 03/15/17*	JPMC	TWD		(12,542,400	)		(390,897	)		(390,415	)		482
South African Rand, Expiring 03/15/17	CITI	ZAR		(621,200	)		(44,628	)		(44,638	)		(10	)
South African Rand, Expiring 03/15/17	JPMC	ZAR		(931,800	)		(66,990	)		(66,956	)		34
							(1,228,533,909	)		(1,216,399,036	)		12,134,873
							$(149,285,951	)		$(151,748,415	)		$(2,462,464	)

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Annual Report December 2016

32

Consolidated Schedule of Investments December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Investment Companies		$590,000		$—		$590,000
BARC
Cash		—		14,918,301		14,918,301
CITI
Investment Companies		5,555,598		—		5,555,598
GSCO
Cash		—		2,489,301		2,489,301
GSIN
Investment Companies		3,573,714		—		3,573,714
JPMC
Cash		14,680,000		—		14,680,000
JPMS
Cash		—		4,450,550		4,450,550
MSCL
Cash		—		5,331,987		5,331,987

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2016 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Investment Companies		$1,372,706		$—			$1,372,706
GSCO
Cash		—		1,813,773			1,813,773
GSIN
Cash		1,170,000		—			1,170,000
JPPC
Cash		—		2,544,312			2,544,312
MACQ
Investment Companies		3,870,000		—			3,870,000
MSCL
Cash		—		(1,182,611	)		(1,182,611	)
U.S. Treasury Bills		—		5,422,959			5,422,959
SOCG
Investment Companies		2,762,732		—			2,762,732

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

CITI - Citibank NA

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

SOCG - Societe Generale

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

AQR Funds Annual Report December 2016

33

Consolidated Statements of Assets and Liabilities December 31, 2016

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
ASSETS:
Investments in securities, at cost	$	11,961,757,990		$	703,864,911
Investments in securities, at value	$	11,961,981,506		$	703,878,632
Cash		1,820,035			53,681
Cash denominated in foreign currencies‡		3,172,891			114,440
Due from brokers		182,041,170			16,998,864
Unrealized appreciation on forward foreign currency exchange contracts		216,290,976			16,213,176
Unrealized appreciation on OTC swaps		58,264,008			4,346,742
Deposits with brokers for exchange-traded and centrally cleared derivatives		202,787,323			38,122,501
Variation margin on exchange-traded and centrally cleared derivatives		1,789,025			291,890
Receivables:
Securities sold		876,051,755			96,738,914
Dividends and interest		458,606			41,823
Capital shares sold		67,632,146			5,507,527
Prepaid expenses		471,226			82,762
Total Assets		13,572,760,667			882,390,952
LIABILITIES:
Due to brokers		9,441,021			619,313
Unrealized depreciation on forward foreign currency exchange contracts		254,074,728			18,675,640
Unrealized depreciation on OTC swaps		123,339,860			9,202,096
Deposits from brokers for exchange-traded and centrally cleared derivatives		16,349,992			197,858
Variation margin on exchange-traded and centrally cleared derivatives		28,957,459			2,482,973
Payables:
Securities purchased		875,971,818			96,739,490
Accrued investment advisory fees		11,370,547			848,179
Accrued distribution fees—Class N		722,330			25,540
Accrued Trustee fees		537			23
Capital shares redeemed		90,124,704			21,867,483
Other accrued expenses and liabilities		4,245,989			248,417
Total Liabilities		1,414,598,985			150,907,012
Net Assets	$	12,158,161,682		$	731,483,940
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	13,080,617,401		$	805,442,875
Undistributed accumulated net investment income (loss)		(96,067,316	)		(7,323,247	)
Undistributed accumulated net realized gain (loss)		(797,330,675	)		(64,676,068	)
Net unrealized appreciation (depreciation)		(29,057,728	)		(1,959,620	)
Net Assets	$	12,158,161,682		$	731,483,940
NET ASSETS:
Class I	$	7,654,490,742		$	411,598,528
Class N		3,334,206,586			116,421,965
Class R6		1,169,464,354			203,463,447
SHARES OUTSTANDING:
Class I		821,325,811			44,297,366
Class N		361,866,517			12,612,500
Class R6		125,447,820			21,880,192
NET ASSET VALUE:
Class I	$	9.32		$	9.29
Class N	$	9.21		$	9.23
Class R6	$	9.32		$	9.30
‡  Cash denominated in foreign currencies at cost	$	3,143,257		$	113,468

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Annual Report December 2016

34

Consolidated Statements of Operations December 31, 2016

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2016
INVESTMENT INCOME:
Dividend income†		$4,111,086			$280,989
Interest income		44,955,300			2,056,403
Total Income		49,066,386			2,337,392
EXPENSES:
Investment advisory fees		131,522,454			9,721,166
Custody fees		1,073,318			78,683
Administration & accounting fees		3,995,174			213,563
Legal fees		245,260			5,654
Audit & tax fees		185,869			135,895
Shareholder reporting fees		1,803,883			120,778
Transfer agent fees		10,141,283			491,482
Trustee fees		324,443			23,061
Distribution fees—Class N		7,009,471			350,739
Registration fees		1,005,438			139,556
Other expenses		470,823			27,510
Total Expenses		157,777,416			11,308,087
Less fee waivers and/or reimbursements		—			(107,352	)
Net Expenses		157,777,416			11,200,735
Net Investment Income (Loss)		(108,711,030	)		(8,863,343	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		31,118			(337	)
Foreign currency and foreign currency transactions		17,240,807			1,319,940
Forward foreign currency exchange contracts		(126,348,778	)		(11,620,588	)
Futures contracts		(999,180,747	)		(76,755,687	)
Swap contracts		(53,927,083	)		(4,492,326	)
Net realized gain (loss)		(1,162,184,683	)		(91,548,998	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(1,027,938	)		(20,218	)
Foreign currency and foreign currency translations		(815,009	)		(70,878	)
Forward foreign currency exchange contracts		3,860,557			823,908
Futures contracts		77,430,299			5,543,390
Swap contracts		(75,147,766	)		(5,543,750	)
Net change in unrealized appreciation (depreciation)		4,300,143			732,452
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(1,157,884,540	)		(90,816,546	)
Net increase (decrease) in net assets resulting from operations		$(1,266,595,570	)		$(99,679,889	)
†  Net of foreign taxes withheld of	$	101,362		$	767

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Annual Report December 2016

35

Consolidated Statements of Changes in Net Assets December 31, 2016

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015
OPERATIONS:
Net investment income (loss)		$(108,711,030	)		$(100,238,136	)		$(8,863,343	)		$(5,452,820	)
Net realized gain (loss)		(1,162,184,683	)		497,065,985			(91,548,998	)		22,303,745
Net change in unrealized appreciation (depreciation)		4,300,143			(315,151,266	)		732,452			(15,569,317	)
Net increase (decrease) in net assets resulting from operations		(1,266,595,570	)		81,676,583			(99,679,889	)		1,281,608
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(1,417,038	)		(333,412,139	)		(54,656	)		(10,861,577	)
Class N		(601,538	)		(62,161,470	)		(16,635	)		(5,846,098	)
Class R6		(204,056	)		(9,756,818	)		(27,519	)		(5,368,164	)
Total		(2,222,632	)		(405,330,427	)		(98,810	)		(22,075,839	)
Net realized gain:
Class I		—			(150,600,543	)		—			(6,374,127	)
Class N		—			(29,875,741	)		—			(3,527,619	)
Class R6		—			(4,339,168	)		—			(3,115,965	)
Total		—			(184,815,452	)		—			(13,017,711	)
Total distributions		(2,222,632	)		(590,145,879	)		(98,810	)		(35,093,550	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		5,721,706,758			4,675,004,433			424,967,612			260,007,721
Reinvestment of distributions		1,011,220			364,985,185			48,954			15,296,145
Cost of shares redeemed		(5,002,038,879	)		(2,479,666,459	)		(219,830,052	)		(146,144,807	)
Net increase (decrease) from capital transactions		720,679,099			2,560,323,159			205,186,514			129,159,059
CLASS N
Proceeds from shares sold		3,012,845,656			757,841,192			61,699,004			165,922,423
Reinvestment of distributions		598,562			91,102,480			16,635			9,373,717
Cost of shares redeemed		(953,469,093	)		(498,673,872	)		(63,695,839	)		(38,822,595	)
Net increase (decrease) from capital transactions		2,059,975,125			350,269,800			(1,980,200	)		136,473,545
CLASS R6
Proceeds from shares sold		1,441,812,352			272,280,313			140,321,578			107,102,117
Reinvestment of distributions		156,661			11,617,386			19,372			5,273,052
Cost of shares redeemed		(401,911,427	)		(24,442,841	)		(41,812,623	)		(15,732,433	)
Net increase (decrease) from capital transactions		1,040,057,586			259,454,858			98,528,327			96,642,736
Net increase (decrease) in net assets resulting from capital transactions		3,820,711,810			3,170,047,817			301,734,641			362,275,340
Total increase (decrease) in net assets		2,551,893,608			2,661,578,521			201,955,942			328,463,398
NET ASSETS:
Beginning of period		9,606,268,074			6,944,689,553			529,527,998			201,064,600
End of period		$12,158,161,682			$9,606,268,074			$731,483,940			$529,527,998
Undistributed accumulated net investment income (loss)		$(96,067,316	)		$71,429,074			$(7,323,247	)		$6,500,488

The accompanying notes are an integral part of these financial statements. (continued on p. 37)

AQR Funds Annual Report December 2016

36

Consolidated Statements of Changes in Net Assets December 31, 2016

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE YEAR ENDED DECEMBER 31, 2015
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		763,949,205			530,096,760			24,165,693			13,022,456
Shares sold		563,468,373			425,915,818			41,604,907			22,257,187
Shares issued on reinvestment of distributions		107,750			35,817,977			5,214			1,426,879
Shares redeemed		(506,199,517	)		(227,881,350	)		(21,478,448	)		(12,540,829	)
Shares outstanding, end of period		821,325,811			763,949,205			44,297,366			24,165,693
CLASS N
Shares outstanding, beginning of period		157,339,524			124,354,461			12,859,668			835,483
Shares sold		301,424,490			69,839,741			5,920,614			14,517,195
Shares issued on reinvestment of distributions		64,500			9,020,048			1,783			877,689
Shares redeemed		(96,961,997	)		(45,874,726	)		(6,169,565	)		(3,370,699	)
Shares outstanding, end of period		361,866,517			157,339,524			12,612,500			12,859,668
CLASS R6
Shares outstanding, beginning of period		23,597,686			10,639			12,494,290			4,047,305
Shares sold		142,721,713			24,725,163			13,425,610			9,320,019
Shares issued on reinvestment of distributions		16,684			1,140,077			2,061			492,349
Shares redeemed		(40,888,263	)		(2,278,193	)		(4,041,769	)		(1,365,383	)
Shares outstanding, end of period		125,447,820			23,597,686			21,880,192			12,494,290

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Annual Report December 2016

37

Consolidated Financial Highlights December 31, 2016

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR MANAGED FUTURES STRATEGY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.18		(0.08	)		(0.78	)		(0.86	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.63		(0.12	)		0.34			0.22			(0.46	)		(0.21	)		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.59		(0.12	)		1.13			1.01			(0.44	)		(0.53	)		(0.97	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.78		(0.12	)		1.04			0.92			—			(0.11	)		(0.11	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.57		(0.12	)		0.40			0.28			(0.07	)		—			(0.07	)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.09		(0.11	)		(0.77	)		(0.88	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.54		(0.15	)		0.34			0.19			(0.43	)		(0.21	)		(0.64	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.51		(0.15	)		1.11			0.96			(0.40	)		(0.53	)		(0.93	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.73		(0.15	)		1.04			0.89			—			(0.11	)		(0.11	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.55		(0.14	)		0.39			0.25			(0.07	)		—			(0.07	)
AQR MANAGED FUTURES STRATEGY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.18		(0.07	)		(0.79	)		(0.86	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.62		(0.11	)		0.34			0.23			(0.46	)		(0.21	)		(0.67	)
FOR THE PERIOD 9/02/146—12/31/14		$10.28		(0.04	)		1.36			1.32			(0.45	)		(0.53	)		(0.98	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.70		(0.13	)		(1.28	)		(1.41	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.18	)		0.46			0.28			(0.51	)		(0.30	)		(0.81	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.80		(0.17	)		1.72			1.55			(0.86	)		(0.26	)		(1.12	)
FOR THE PERIOD 7/16/138—12/31/13		$10.00		(0.08	)		0.89			0.81			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.66		(0.16	)		(1.27	)		(1.43	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.21		(0.21	)		0.46			0.25			(0.50	)		(0.30	)		(0.80	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.79		(0.19	)		1.71			1.52			(0.84	)		(0.26	)		(1.10	)
FOR THE PERIOD 7/16/138—12/31/13		$10.00		(0.09	)		0.89			0.80			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.70		(0.13	)		(1.27	)		(1.40	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.17	)		0.46			0.29			(0.52	)		(0.30	)		(0.82	)
FOR THE PERIOD 9/02/146—12/31/14		$10.33		(0.06	)		2.09			2.03			(0.87	)		(0.26	)		(1.13	)

 * Annualized for periods less than one year.

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

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

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

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

5 Amount is less than $.005 per share.

6 Commencement of offering of shares.

7 Certain expenses incurred by the Fund were not annualized for the period.

8 Commencement of operations.

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

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38

Consolidated Financial Highlights December 31, 2016

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate
	$9.32		(8.43	)%		$7,654,491		1.20	%		1.20	%		1.20	%		(0.81	)%		0	%
	$10.18		2.00	%		$7,778,072		1.21	%		1.21	%		1.21	%		(1.11	)%		0	%
	$10.63		9.69	%		$5,633,607		1.23	%		1.23	%		1.23	%		(1.20	)%		0	%
	$10.59		9.40	%		$4,506,181		1.23	%		1.23	%		1.23	%		(1.22	)%		0	%
	$9.78		2.99	%		$2,136,959		1.25	%		1.25	%		1.25	%		(1.24	)%		0	%
	$9.21		(8.71	)%		$3,334,207		1.48	%		1.48	%		1.47	%		(1.08	)%		0	%
	$10.09		1.75	%		$1,588,011		1.47	%		1.47	%		1.47	%		(1.38	)%		0	%
	$10.54		9.34	%		$1,310,969		1.50	%		1.50	%		1.50	%		(1.47	)%		0	%
	$10.51		9.14	%		$1,408,085		1.50	%		1.50	%		1.50	%		(1.48	)%		0	%
	$9.73		2.68	%		$527,318		1.52	%		1.50	%		1.50	%		(1.48	)%		0	%
	$9.32		(8.43	)%		$1,169,464		1.13	%		1.13	%		1.13	%		(0.73	)%		0	%
	$10.18		2.16	%		$240,185		1.13	%		1.13	%		1.13	%		(1.01	)%		0	%
	$10.62		12.99	%		$113		1.16	%		1.15	%		1.15	%		(1.11	)%		0	%
	$9.29		(13.17	)%		$411,599		1.66	%		1.64	%		1.64	%		(1.29	)%		0	%
	$10.70		2.48	%		$258,691		1.65	%		1.61	%		1.61	%		(1.52	)%		0	%
	$11.23		14.68	%		$146,261		1.76	%7		1.65	%		1.65	%		(1.62	)%		0	%
	$10.80		8.14	%		$37,078		2.51	%7		1.68	%		1.65	%		(1.66	)%		0	%
	$9.23		(13.40	)%		$116,422		1.91	%		1.90	%		1.90	%		(1.55	)%		0	%
	$10.66		2.19	%		$137,115		1.92	%		1.89	%		1.89	%		(1.78	)%		0	%
	$11.21		14.37	%		$9,367		2.12	%7		1.90	%		1.90	%		(1.88	)%		0	%
	$10.79		8.04	%		$1,644		4.03	%7		1.93	%		1.90	%		(1.92	)%		0	%
	$9.30		(13.07	)%		$203,463		1.57	%		1.55	%		1.55	%		(1.20	)%		0	%
	$10.70		2.54	%		$133,722		1.59	%		1.55	%		1.55	%		(1.45	)%		0	%
	$11.23		19.94	%		$45,436		1.68	%7		1.55	%		1.55	%		(1.52	)%		0	%

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

AQR Funds Annual Report December 2016

39

Notes to Consolidated Financial Statements December 31, 2016

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2016, the Trust consists of thirty-seven active series, two of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.

The investment objective of the AQR Managed Futures Strategy Fund and the AQR Managed Futures Strategy HV Fund is to seek positive absolute returns. Each fund offers Class I, Class N and Class R6 shares.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, where applicable, and the Financial Highlights of the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund (“Consolidated Funds”) include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., and AQR Managed Futures Strategy HV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	INCEPTION DATE OF SUBSIDIARY	SUBSIDIARY NET ASSETS AT DECEMBER 31, 2016		% OF TOTAL NET ASSETS AT DECEMBER 31, 2016			NET REALIZED GAIN (LOSS) ON INVESTMENTS HELD IN SUBSIDIARY
AQR Managed Futures Strategy Offshore Fund Ltd.	January 5, 2010	$	2,802,493,924		23.1	%	$	(631,946,765	)
AQR Managed Futures Strategy HV Offshore Fund Ltd.	July 16, 2013		172,330,347		23.6	%		(48,518,359	)

3. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

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

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period.

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Notes to Consolidated Financial Statements December 31, 2016

Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

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

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

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of December 31, 2016, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Internal Revenue Code of 1986 (“the Code”) and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ

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Notes to Consolidated Financial Statements December 31, 2016

significantly from the net investment income (loss) and realized gains (losses) reported on the Funds’ financial statements presented under GAAP.

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.

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

4. Securities and Other Investments

Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not receive the return of the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations.

The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly, including: market risk related to unfavorable changes in interest rates or in the price(s) of the underlying security(ies); credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Funds to close out their position(s).

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

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Notes to Consolidated Financial Statements December 31, 2016

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.

Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for exchange-traded and centrally cleared derivatives on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on exchange-traded and centrally cleared derivatives. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.

Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.

Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.

Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.

5. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).

The Board has delegated responsibility for applying approved valuation policies to the Adviser, subject to Board oversight. The Adviser has established a Valuation Committee (the “VC”) whose function is to administer, implement and oversee the continual appropriateness of valuation methods applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide

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Notes to Consolidated Financial Statements December 31, 2016

reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.

Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed. These differences could be material.

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

Level 1  —  Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

Level 2  —  Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

Level 3  —  Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, in which each security trades and are therefore classified Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the of the fair value hierarchy.

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44

Notes to Consolidated Financial Statements December 31, 2016

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.

The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are fair valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

AQR Funds Annual Report December 2016

45

Notes to Consolidated Financial Statements December 31, 2016

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR MANAGED FUTURES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	11,961,981,506		$	—	$	11,961,981,506
Futures Contracts*		86,407,251			—			—		86,407,251
Forward Foreign Currency Exchange Contracts*		—			216,290,976			—		216,290,976
Total Return Swap Contracts*		—			58,264,008			—		58,264,008
Total Assets	$	86,407,251		$	12,236,536,490		$	—	$	12,322,943,741
LIABILITIES
Futures Contracts*	$	(12,551,141	)	$	—		$	—	$	(12,551,141	)
Forward Foreign Currency Exchange Contracts*		—			(254,074,728	)		—		(254,074,728	)
Total Return Swap Contracts*		—			(123,339,860	)		—		(123,339,860	)
Total Liabilities	$	(12,551,141	)	$	(377,414,588	)	$	—	$	(389,965,729	)
AQR MANAGED FUTURES STRATEGY HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	703,878,632		$	—	$	703,878,632
Futures Contracts*		6,953,232			—			—		6,953,232
Forward Foreign Currency Exchange Contracts*		—			16,213,176			—		16,213,176
Total Return Swap Contracts*		—			4,346,742			—		4,346,742
Total Assets	$	6,953,232		$	724,438,550		$	—	$	731,391,782
LIABILITIES
Futures Contracts*	$	(1,169,155	)	$	—		$	—	$	(1,169,155	)
Forward Foreign Currency Exchange Contracts*		—			(18,675,640	)		—		(18,675,640	)
Total Return Swap Contracts*		—			(9,202,096	)		—		(9,202,096	)
Total Liabilities	$	(1,169,155	)	$	(27,877,736	)	$	—	$	(29,046,891	)

* Derivative instruments, including futures, total return swap, and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the year ended December 31, 2016, there were no transfers of investments between levels for any of the Funds. There were no Level 3 securities held at period end.

6. Federal Income Tax Matters

At December 31, 2016, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Managed Futures Strategy Fund	$	11,961,757,990	$	465,868	$	(242,352	)	$	223,516
AQR Managed Futures Strategy HV Fund		703,864,911		22,676		(8,955	)		13,721

There are no differences between book basis and tax basis appreciation (depreciation) on investments.

AQR Funds Annual Report December 2016

46

Notes to Consolidated Financial Statements December 31, 2016

As of December 31, 2016, the components of net assets (excluding paid-in capital) on a tax basis were as follows:

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR (TAX BASIS CAPITAL LOSS CARRYFORWARDS)			NET UNREALIZED APPRECIATION (DEPRECIATION)		POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS			OTHER TEMPORARY DIFFERENCES			TOTAL ACCUMULATED EARNINGS
AQR Managed Futures Strategy Fund	$	—	$	(432,893,261	)	$	71,902,723	$	(368,077,278	)	$	(193,387,903	)	$	(922,455,719	)
AQR Managed Futures Strategy HV Fund		—		(37,917,417	)		5,491,770		(26,997,745	)		(14,535,543	)		(73,958,935	)

The differences between book basis and tax basis components of net assets are primarily attributable to mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, loss deferrals from tax straddles, certain late year loss deferrals, Cayman subsidiary taxable income and capital loss carryforwards.

As of December 31, 2016, 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 Managed Futures Strategy Fund	$	(56,562,728	)	$	582,619,094	$	(526,056,366	)
AQR Managed Futures Strategy HV Fund		(4,861,582	)		43,935,628		(39,074,046	)

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the difference in tax treatment of foreign currency gain/loss, net operating losses, and income from investments in the Cayman subsidiary. The result of operations and net assets were not affected by the reclassifications.

The tax character of distributions paid during the fiscal year-ends December 31, 2016 and December 31, 2015 were as follows:

	DECEMBER 31, 2016						DECEMBER 31, 2015
FUND	ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL		ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL
AQR Managed Futures Strategy Fund	$	2,222,632	$	—	$	—	$	457,793,882	$	132,351,997	$	—
AQR Managed Futures Strategy HV Fund		98,810		—		—		25,876,162		9,217,388		—

As of December 31, 2016, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG-TERM
AQR Managed Futures Strategy Fund	$	363,233,114	$	69,660,147
AQR Managed Futures Strategy HV Fund		31,297,589		6,619,828

7. Investment Transactions

During the year ended December 31, 2016, there was no cost of purchases or proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments).

8. Derivative Instruments and Activities

The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

AQR Funds Annual Report December 2016

47

Notes to Consolidated Financial Statements December 31, 2016

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at December 31, 2016:

	ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*			SWAP AT VALUE			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS*			SWAP AT VALUE			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Managed Futures Strategy Fund	$	33,319,758		$	10,453,713		$	—		$	10,728,406		$	2,778,697		$	—
AQR Managed Futures Strategy HV Fund		2,428,385			875,046			—			1,038,152			201,961			—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—			—			216,290,976			—			—			254,074,728
AQR Managed Futures Strategy HV Fund		—			—			16,213,176			—			—			18,675,640
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		42,424,819			—			—			16,515,541			—			—
AQR Managed Futures Strategy HV Fund		3,166,229			—			—			1,612,845			—			—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		111,658,913			47,810,295			—			86,303,433			120,561,163			—
AQR Managed Futures Strategy HV Fund		8,496,441			3,471,696			—			6,072,111			9,000,135			—
Netting:
AQR Managed Futures Strategy Fund		(113,547,380	)		(58,264,008	)		(216,290,976	)		(113,547,380	)		(58,264,008	)		(216,290,976	)
AQR Managed Futures Strategy HV Fund		(8,723,108	)		(4,346,742	)		(16,213,176	)		(8,723,108	)		(4,346,742	)		(16,213,176	)
Net Fair Value of Derivative Contracts:
AQR Managed Futures Strategy Fund		73,856,110			—			—			—			65,075,852			37,783,752
AQR Managed Futures Strategy HV Fund		5,367,947			—			—			—			4,855,354			2,462,464

* May include cumulative appreciation (depreciation) of exchange-traded and as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives.

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended December 31, 2016:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS									NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAP CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			FUTURES CONTRACTS			SWAP CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Managed Futures Strategy Fund	$	(515,449,218	)	$	(71,014,292	)	$	—		$	40,209,241		$	2,618,609		$	—
AQR Managed Futures Strategy HV Fund		(41,832,590	)		(5,888,813	)		—			2,783,632			335,139			—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—			—			(126,348,778	)		—			—			3,860,557
AQR Managed Futures Strategy HV Fund		—			—			(11,620,588	)		—			—			823,908
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		165,348,501			—			—			50,289,261			—			—
AQR Managed Futures Strategy HV Fund		14,986,146			—			—			3,453,486			—			—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		(649,080,030	)		17,087,209			—			(13,068,203	)		(77,766,375	)		—
AQR Managed Futures Strategy HV Fund		(49,909,243	)		1,396,487			—			(693,728	)		(5,878,889	)		—

AQR Funds Annual Report December 2016

48

Notes to Consolidated Financial Statements December 31, 2016

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of December 31, 2016:

AQR MANAGED FUTURES STRATEGY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
BANA	Total Return Swap Contracts	$	545,816	$	(545,816	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		87,130,883		(87,130,883	)		—		—		—			—
GSIN	Total Return Swap Contracts		3,527,621		—			3,527,621		—		—			3,527,621
JPMC	Forward Foreign Currency Exchange Contracts		129,160,093		(129,160,093	)		—		—		—			—
MSCS	Total Return Swap Contracts		6,380,276		(68,081	)		6,312,195		—		—			6,312,195
Total financial instruments subject to a master netting arrangement or similar arrangement			226,744,689		(216,904,873	)		9,839,816		—		—			9,839,816
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	2,710,616	$	(545,816	)	$	2,164,800	$	—	$	(2,164,800	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		102,470,275		(87,130,883	)		15,339,392		—		(15,339,392	)		—
JPMC	Forward Foreign Currency Exchange Contracts		151,604,453		(129,160,093	)		22,444,360		—		(22,444,360	)		—
MSCS	Total Return Swap Contracts		68,081		(68,081	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			256,853,425		(216,904,873	)		39,948,552		—		(39,948,552	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $250,346,414.

AQR Funds Annual Report December 2016

49

Notes to Consolidated Financial Statements December 31, 2016

AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	11,134,261	$	(11,134,261	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		2,893,334		(2,893,334	)		—		—		—			—
MACQ	Total Return Swap Contracts		11,980,256		(11,980,256	)		—		—		—			—
MLIN	Total Return Swap Contracts		10,443,559		(10,443,559	)		—		—		—			—
SOCG	Total Return Swap Contracts		11,358,885		(11,358,885	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			47,810,295		(47,810,295	)		—		—		—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	18,119,992	$	(11,134,261	)	$	6,985,731	$	—	$	(6,985,731	)	$	—
GSIN	Total Return Swap Contracts		3,498,727		(2,893,334	)		605,393		—		(605,393	)		—
MACQ	Total Return Swap Contracts		39,630,985		(11,980,256	)		27,650,729		—		(27,650,729	)		—
MLIN	Total Return Swap Contracts		28,410,654		(10,443,559	)		17,967,095		—		(17,967,095	)		—
SOCG	Total Return Swap Contracts		30,900,805		(11,358,885	)		19,541,920		—		(19,454,982	)		86,938
Total financial instruments subject to a master netting arrangement or similar arrangement			120,561,163		(47,810,295	)		72,750,868		—		(72,663,930	)		86,938

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $74,360,001.

AQR MANAGED FUTURES STRATEGY HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	182,690	$	(182,690	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		6,532,349		(6,532,349	)		—		—		—		—
GSIN	Total Return Swap Contracts		692,356		(385	)		691,971		—		—		691,971
JPMC	Forward Foreign Currency Exchange Contracts		9,680,827		(9,680,827	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			17,088,222		(16,396,251	)		691,971		—		—		691,971

AQR Funds Annual Report December 2016

50

Notes to Consolidated Financial Statements December 31, 2016

AQR MANAGED FUTURES STRATEGY HV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	201,576	$	(182,690	)	$	18,886	$	—	$	(18,886	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		7,531,722		(6,532,349	)		999,373		—		(999,373	)		—
GSIN	Total Return Swap Contracts		385		(385	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		11,143,918		(9,680,827	)		1,463,091		—		(1,463,091	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			18,877,601		(16,396,251	)		2,481,350		—		(2,481,350	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $21,917,962.

AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	947,286	$	(947,286	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		453,734		(306,897	)		146,837		—		—			146,837
MACQ	Total Return Swap Contracts		893,507		(893,507	)		—		—		—			—
SOCG	Total Return Swap Contracts		1,177,169		(1,177,169	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,471,696		(3,324,859	)		146,837		—		—			146,837
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,396,331	$	(947,286	)	$	449,045	$	—	$	(449,045	)	$	—
GSIN	Total Return Swap Contracts		306,897		(306,897	)		—		—		—			—
MACQ	Total Return Swap Contracts		3,436,319		(893,507	)		2,542,812		—		(2,542,812	)		—
SOCG	Total Return Swap Contracts		3,860,588		(1,177,169	)		2,683,419		—		(2,683,419	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			9,000,135		(3,324,859	)		5,675,276		—		(5,675,276	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,500,162.

AQR Funds Annual Report December 2016

51

Notes to Consolidated Financial Statements December 31, 2016

For the year ended December 31, 2016, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND
Futures Contracts:
Average Notional Balance—Long		37,169,970,008		2,956,049,359
Average Notional Balance—Short		17,208,301,800		1,434,652,798
Ending Notional Balance—Long		13,529,209,195		1,160,250,834
Ending Notional Balance—Short		43,393,632,090		3,852,143,849
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		14,036,678,333		1,086,624,541
Average Settlement Value—Sold		13,875,670,462		1,073,436,442
Ending Value— Purchased		15,205,971,371		1,079,247,958
Ending Value—Sold		17,139,302,618		1,228,533,909
Total Return Swaps:
Average Notional Balance—Long		1,374,660,497		105,481,543
Average Notional Balance— Short		1,123,387,597		88,011,752
Ending Notional Balance— Long		2,208,810,764		174,015,273
Ending Notional Balance—Short		1,442,334,771		104,003,556

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

9. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to a Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Managed Futures Strategy Fund		1.05	%
AQR Managed Futures Strategy HV Fund		1.45

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2018 for Class I, N and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Managed Futures Strategy Fund		1.25	%		1.50	%		1.15	%
AQR Managed Futures Strategy HV Fund		1.65			1.90			1.55

For the year ended December 31, 2016 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Managed Futures Strategy HV Fund	$	107,352	$	—	$	107,352

AQR Funds Annual Report December 2016

52

Notes to Consolidated Financial Statements December 31, 2016

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 lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable period during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.

For the year ended December 31, 2016, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at December 31, 2016 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE YEAR ENDED DECEMBER 31, 2016		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2016		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2017		2018		2019
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	59,386	$	265,271	$	132,064	$	73,821	$	59,386
Class N		19,395		52,166		13,815		18,956		19,395
Class R6		28,571		59,329		187		30,571		28,571
Totals	$	107,352	$	376,766	$	146,066	$	123,348	$	107,352

JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

10. Distribution Plan

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

11. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

AQR Funds Annual Report December 2016

53

Notes to Consolidated Financial Statements December 31, 2016

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.

Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

12. Line of Credit

Effective February 29, 2016 and terminating on February 28, 2017, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. The maximum loan amount is the lesser of an amount which will not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between 300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full. Effective July 22, 2016 the line of credit available was increased to $285,000,000 from $275,000,000. On February 9, 2017 the Board of Trustees approved the amended and restated line of credit, effective February 24, 2017 to allow for up to $300,000,000 as part of a 364 day-revolving facility subject to substantially similar terms. The Funds did not have any borrowings for the year ended December 31, 2016.

AQR Funds Annual Report December 2016

54

Notes to Consolidated Financial Statements December 31, 2016

13. Principal Ownership

As of December 31, 2016, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Managed Futures Strategy Fund		7		75.59	%
AQR Managed Futures Strategy HV Fund		5		80.19	%

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

14. New Accounting Pronouncements and Regulations

In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization, to modernize and enhance the reporting and disclosure of information by registered investment companies. The SEC is adopting amendments to Regulation S-X, which will require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules will allow the SEC to more effectively collect and use data reported by funds, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review.

Compliance with the modifications to Regulation S-X is required for financial statements filed with the SEC on or after August 1, 2017 and other amendments and rules are effective during 2018. Adoption of these rules will have no effect on the Funds’ net assets or results of operations. Management is currently evaluating the impact on the Funds’ financial statements.

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 other than noted above.

AQR Funds Annual Report December 2016

55

Report of Independent Registered Public Accounting Firm

To the Trustees of the AQR Trust and the Shareholders of AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund:

In our opinion, the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, and the related consolidated statements of operations and of changes in net assets and financial highlights present fairly, in all material respects, the financial position of the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund (hereinafter referred to as the “Funds”) as of December 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and each of their financial highlights for the periods presented therein, 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 as of December 31, 2016 by correspondence with the custodians, brokers, and transfer agents, provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

New York, New York

February 24, 2017

AQR Funds Annual Report December 2016

56

Fund Expense Examples (Unaudited)

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

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 12/31/16” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Hypothetical Example for Comparison Purposes

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

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

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/16		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/16
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$895.40		1.22	%		$5.81
Hypothetical Return		$1,000.00		$1,019.00		1.22	%		$6.19
Class N
Actual Return		$1,000.00		$894.30		1.49	%		$7.09
Hypothetical Return		$1,000.00		$1,017.65		1.49	%		$7.56
Class R6
Actual Return		$1,000.00		$895.40		1.13	%		$5.38
Hypothetical Return		$1,000.00		$1,019.46		1.13	%		$5.74
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$848.70		1.65	%		$7.67
Hypothetical Return		$1,000.00		$1,016.84		1.65	%		$8.36
Class N
Actual Return		$1,000.00		$847.80		1.90	%		$8.92
Hypothetical Return		$1,000.00		$1,015.48		1.90	%		$9.73
Class R6
Actual Return		$1,000.00		$848.70		1.55	%		$7.20
Hypothetical Return		$1,000.00		$1,017.34		1.55	%		$7.86

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/366 (to reflect the one-half year period unless stated otherwise).

AQR Funds Annual Report December 2016

57

Trustees and Officers (Unaudited) December 31, 2016

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, 4^th Floor, Greenwich CT 06830.

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED		PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS		NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE		OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Disinterested Trustees2
Timothy K. Armour, M.B.A., 1948		Chairman of the Board, since 2010 and Trustee, since 2008		Interim Chief Executive Officer of Janus Capital Group (retired) (2009-2010) (financial services)		46		Janus Capital Group (2008- 2016); ETF Securities (2010- 2013)
L. Joe Moravy, M.B.A., CPA, 1950		Trustee, since 2008		Independent Consultant (since 2014); Managing Director, Finance Scholars Group (2010-2014) (consulting)		46		Nuveen Exchange Traded Commodities Funds (2012-2016)
William L. Atwell, M.B.A., 1950		Trustee, since 2011		Managing Director, Atwell Partners LLC (since 2012) (consulting); President (CIGNA International), CIGNA (2008- 2012) (insurance)		46		Webster Financial Corporation (since 2014)
Gregg D. Behrens, M.M., 1952		Trustee, since 2011		Retired from Northern Trust Company (since 2009) (banking)		46		None
Brian Posner, M.B.A., 1961		Trustee, since 2011		President, Point Rider Group LLC (since 2008) (consulting)		46		Biogen (since 2008); Bioverativ Inc. (since 2017); Arch Capital Group (since 2010); BG Medicine (2012- 2015); RiverPark Funds Trust (2010-2012)
Mark. A. Zurack, M.B.A., CFA 1957		Trustee, since 2014		Senior Lecturer, Columbia Business School (since 2002); Visiting Senior Lecturer, Cornell University (2004-2013)		46		Exchange Traded Concepts Trust (since 2011); Source ETF Trust (2014-2015)
Interested Trustees3
David Kabiller, CFA, 1963		Trustee, since 2010		Founding Principal, AQR Capital Management, LLC (since 1998)		46		None
Marco Hanig, Ph.D., 1958		Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008		Principal, AQR Capital Management, LLC (since 2008)		46		None
Officers
H.J. Willcox, J.D., 1966		Chief Compliance Officer, since 2013		Principal and Chief Compliance Officer, AQR Capital Management, LLC (since 2013); Global Head of Compliance and Counsel KKR & Co., L.P. (2008-2013)		N/A		N/A
Heather Bonner, CPA, 1977		Chief Financial Officer, since 2014		Vice President, AQR Capital Management, LLC (since 2013); Senior Manager, PricewaterhouseCoopers, LLP (2007- 2013)		N/A		N/A

AQR Funds Annual Report December 2016

58

Trustees and Officers (Unaudited) December 31, 2016

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Gregory McNeil, M.S./M.B.A., CPA, 1975	Vice President and Treasurer, since 2015	Vice President, AQR Capital Management, LLC (since 2015); Assistant Treasurer, Franklin Templeton Investments (2010-2015)	N/A	N/A
Bradley Asness, J.D., M.B.A. 1969	Vice President, since 2009	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 1998)	N/A	N/A
Brendan R. Kalb, J.D., 1975	Executive Vice President, since 2009; Secretary, since 2008	Managing Director and General Counsel, AQR Capital Management, LLC (since 2004)	N/A	N/A
Nicole DonVito, J.D., 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Managing Director, Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007)	N/A	N/A

(1) Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 72.

(2) A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act.

(3) An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser.

AQR Funds Annual Report December 2016

59

Board Approval of Investment Advisory Agreements  (Unaudited)

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 10-11, 2016 to consider the continuation of the Second Amended and Restated Investment Management Agreement, as amended, for the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund, and AQR Capital Management, LLC (“AQR” or the “Adviser”) (the “Investment Management Agreement”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” In connection with these considerations, the Board Members also considered the Third Amended and Restated Investment Management Agreement, amending and restating the Investment Management Agreement effective January 29, 2017, reflecting the addition of certain other series of the Trust (the “Amendment”). The Investment Management Agreement (including the Amendment) is referred to herein as the “Management Agreement,” as applicable and as the context suggests.

In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on November 4, 2016 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 10-11, 2016, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Management Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and performance relative to peers; (iv) a discussion of the financial information and profitability of AQR; and (v) a discussion of the compliance program of AQR and the regulatory exam history of AQR.

At the in-person meeting held on November 10-11, 2016, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additional one-year period. The Board, including the Independent Board Members, also unanimously approved the Amendment. In approving the continuation of the Management Agreement, the Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.

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

In considering the renewal of the Management Agreement, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement.

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 Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, provides oversight of Fund accounting, provides marketing services, provides risk management, provides compliance oversight, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Funds over time.

Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that AQR is an appropriate investment adviser for the Funds.

The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees paid by the Funds to the Adviser pursuant to the 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 provided to the Funds.

AQR Funds Annual Report December 2016

60

Board Approval of Investment Advisory Agreements (Unaudited)

To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar Report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, including sub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when it sub-advises mutual funds.

The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, taxes, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.

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

Based on their review of the materials presented at the Meeting, the Board concluded that the management fees under the Management Agreement are reasonable.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that, under the Management Agreement, none of the Funds would have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.

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

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment 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 management fee rates under the Management Agreement and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to the Funds. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Annual Report December 2016

61

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th 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

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

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

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

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248

p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Item 2. Code of Ethics.

a). As of the end of the period, December 31, 2016, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12 (a)(1).

b). Not Applicable.

c). There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended December 31, 2016 (“Reporting Period”).

d). Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a). The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Messrs. L. Joe Moravy and Brian Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the years ended December 31, 2015 and December 31, 2016 were:

	2015		2016
Audit Fees (a)	$	1,297,220	$	1,334,337
Audit Related Fees (b)	$	8,000	$	5,500
Tax Fees (c)	$	246,719	$	315,253
All Other Fees (d)	$	0	$	90,000
Total:	$	1,551,939	$	1,745,090

(a) Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b) Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of the audit of the Registrant’s December 31, 2015 and December 31, 2016 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2015 and December 31, 2016 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement.

(c) Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review.

(d) All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e) Audit Committee Pre-approval Policies and Procedures:

(i) Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.

(f) Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2015 and December 31, 2016: $416,799 and $91,800, respectively.

(h) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark A. Zurack, are members of the Audit Committee.

(b) Not Applicable.

Item 6. Investments

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

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

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

Item 11. Controls and Procedures.

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

(b) There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

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

SIGNATURES

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

AQR Funds

/s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

March 3, 2017

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

/s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

March 3, 2017

/s/ Heather Bonner

Heather Bonner,

Principal Financial Officer

March 3, 2017