AQR Funds N-CSRS Certified semi-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: September 30

Date of reporting period: October 1, 2016 to March 31, 2017

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.)

[Insert Semi-Annual Report for the period ended March 31, 2017].

Semi-Annual Report

March 31, 2017 (Unaudited)

AQR Large Cap Multi-Style Fund

AQR Small Cap Multi-Style Fund

AQR International Multi-Style Fund

AQR Emerging Multi-Style Fund

AQR TM Large Cap Multi-Style Fund

AQR TM Small Cap Multi-Style Fund

AQR TM International Multi-Style Fund

AQR TM Emerging Multi-Style Fund

AQR Large Cap Momentum Style Fund

AQR Small Cap Momentum Style Fund

AQR International Momentum Style Fund

AQR Emerging Momentum Style Fund

AQR TM Large Cap Momentum Style Fund

AQR TM Small Cap Momentum Style Fund

AQR TM International Momentum Style Fund

AQR Large Cap Defensive Style Fund

AQR International Defensive Style Fund

AQR Emerging Defensive Style Fund

AQR Global Equity Fund

AQR International Equity Fund

AQR Large Cap Relaxed Constraint Equity Fund

AQR Small Cap Relaxed Constraint Equity Fund

AQR International Relaxed Constraint Equity Fund

AQR Emerging Relaxed Constraint Equity Fund

Table of Contents

Schedule of Investments
AQR Large Cap Multi-Style Fund	2
AQR Small Cap Multi-Style Fund	7
AQR International Multi-Style Fund	15
AQR Emerging Multi-Style Fund	19
AQR TM Large Cap Multi-Style Fund	24
AQR TM Small Cap Multi-Style Fund	29
AQR TM International Multi-Style Fund	37
AQR TM Emerging Multi-Style Fund	41
AQR Large Cap Momentum Style Fund	45
AQR Small Cap Momentum Style Fund	52
AQR International Momentum Style Fund	62
AQR Emerging Momentum Style Fund	68
AQR TM Large Cap Momentum Style Fund	73
AQR TM Small Cap Momentum Style Fund	79
AQR TM International Momentum Style Fund	88
AQR Large Cap Defensive Style Fund	93
AQR International Defensive Style Fund	98
AQR Emerging Defensive Style Fund	103
AQR Global Equity Fund	107
AQR International Equity Fund	116
AQR Large Cap Relaxed Constraint Equity Fund	124
AQR Small Cap Relaxed Constraint Equity Fund	131
AQR International Relaxed Constraint Equity Fund	140
AQR Emerging Relaxed Constraint Equity Fund	146
Financial Statements and Notes	156
Fund Expense Examples	237
Board Approval of Investment Advisory Agreements	244

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.7%
Aerospace & Defense - 4.7%
Boeing Co. (The)		70,260	$	12,426,183
BWX Technologies, Inc.		33,907		1,613,973
General Dynamics Corp.		4,681		876,283
Huntington Ingalls Industries, Inc.		91,353		18,292,525
L3 Technologies, Inc.		29,530		4,881,014
Northrop Grumman Corp.		41,577		9,888,674
Raytheon Co.		100,550		15,333,875
Spirit AeroSystems Holdings, Inc., Class A		234,113		13,559,825
				76,872,352
Air Freight & Logistics - 0.2%
FedEx Corp.		15,054		2,937,788
Airlines - 3.2%
Alaska Air Group, Inc.		90,131		8,311,881
Copa Holdings SA, Class A (Panama)		4,799		538,688
Delta Air Lines, Inc.		365,717		16,808,353
JetBlue Airways Corp. *		244,471		5,038,547
Southwest Airlines Co.		71,339		3,835,185
United Continental Holdings, Inc. *		238,075		16,817,618
				51,350,272
Auto Components - 0.8%
Goodyear Tire & Rubber Co. (The)		62,358		2,244,888
Lear Corp.		77,378		10,955,177
				13,200,065
Automobiles - 0.5%
General Motors Co.		156,215		5,523,762
Thor Industries, Inc.		35,384		3,401,464
				8,925,226
Banks - 9.4%
Bank of America Corp.		551,618		13,012,669
Bank of Hawaii Corp.		5,603		461,463
BB&T Corp.		69,034		3,085,820
Citigroup, Inc.		206,752		12,367,905
Commerce Bancshares, Inc.		29,320		1,646,611
Cullen/Frost Bankers, Inc.		8,616		766,566
East West Bancorp, Inc.		58,175		3,002,412
Fifth Third Bancorp		496,800		12,618,720
JPMorgan Chase & Co.		354,322		31,123,644
M&T Bank Corp.		30,116		4,659,849
PNC Financial Services Group, Inc. (The)		105,530		12,688,927
Popular, Inc.		91,966		3,745,775
Regions Financial Corp.		436,097		6,336,489
SunTrust Banks, Inc.		245,486		13,575,376
US Bancorp		229,101		11,798,701
Wells Fargo & Co.		377,258		20,998,180
				151,889,107
Beverages - 0.8%
Constellation Brands, Inc., Class A		53,961		8,745,459
Molson Coors Brewing Co., Class B		7,297		698,396
PepsiCo, Inc.		24,650		2,757,349
				12,201,204

INVESTMENTS	SHARES		VALUE
Biotechnology - 1.3%
Amgen, Inc.		14,816	$	2,430,861
Biogen, Inc. *		16,567		4,529,749
Bioverativ, Inc. *		8,283		451,092
Gilead Sciences, Inc.		22,958		1,559,308
United Therapeutics Corp. *		89,611		12,131,537
				21,102,547
Building Products - 0.9%
AO Smith Corp.		80,530		4,119,915
Owens Corning		165,275		10,142,927
				14,262,842
Capital Markets - 1.6%
Bank of New York Mellon Corp. (The)		105,001		4,959,197
BlackRock, Inc.		1,227		470,567
FactSet Research Systems, Inc.		9,436		1,556,091
Federated Investors, Inc., Class B		34,818		917,106
Goldman Sachs Group, Inc. (The)		13,489		3,098,693
Morgan Stanley		85,919		3,680,770
Raymond James Financial, Inc.		6,116		466,406
S&P Global, Inc.		17,709		2,315,275
State Street Corp.		97,563		7,766,990
				25,231,095
Chemicals - 2.3%
Cabot Corp.		79,952		4,789,924
Dow Chemical Co. (The)		85,248		5,416,658
EI du Pont de Nemours & Co.		59,372		4,769,353
Huntsman Corp.		567,672		13,930,671
LyondellBasell Industries NV, Class A		60,867		5,550,462
Monsanto Co.		28,162		3,187,938
				37,645,006
Commercial Services & Supplies - 0.7%
Cintas Corp.		68,301		8,642,808
Republic Services, Inc.		13,617		855,284
Waste Management, Inc.		33,664		2,454,779
				11,952,871
Communications Equipment - 1.6%
Brocade Communications Systems, Inc.		34,368		428,913
Cisco Systems, Inc.		625,577		21,144,503
CommScope Holding Co., Inc. *		44,949		1,874,823
F5 Networks, Inc. *		12,764		1,819,763
				25,268,002
Construction & Engineering - 0.1%
Jacobs Engineering Group, Inc.		36,131		1,997,322
Consumer Finance - 0.5%
Capital One Financial Corp.		26,127		2,264,166
Discover Financial Services		81,194		5,552,857
				7,817,023
Containers & Packaging - 0.3%
Avery Dennison Corp.		35,004		2,821,322
Packaging Corp. of America		27,945		2,560,321
				5,381,643

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

AQR Funds Semi-Annual Report March 2017

2

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Distributors - 0.1%
LKQ Corp. *		30,523	$	893,408
Diversified Financial Services - 1.3%
Berkshire Hathaway, Inc., Class B *		131,492		21,917,087
Diversified Telecommunication Services - 0.6%
AT&T, Inc.		253,065		10,514,851
Electric Utilities - 1.3%
Edison International		15,877		1,263,968
Exelon Corp.		29,451		1,059,647
Hawaiian Electric Industries, Inc.		29,323		976,749
Pinnacle West Capital Corp.		163,297		13,615,704
Xcel Energy, Inc.		111,298		4,947,196
				21,863,264
Electronic Equipment, Instruments & Components - 1.4%
Arrow Electronics, Inc. *		102,067		7,492,739
Avnet, Inc.		38,619		1,767,205
CDW Corp.		17,240		994,920
Corning, Inc.		259,570		7,008,390
Dolby Laboratories, Inc., Class A		62,258		3,262,942
Keysight Technologies, Inc. *		60,078		2,171,219
				22,697,415
Energy Equipment & Services - 0.6%
Baker Hughes, Inc.		30,914		1,849,276
Rowan Cos. plc, Class A *		457,737		7,131,542
				8,980,818
Equity Real Estate Investment Trusts (REITs) - 3.2%
American Tower Corp.		31,544		3,833,858
AvalonBay Communities, Inc.		10,236		1,879,330
Boston Properties, Inc.		11,170		1,479,020
Crown Castle International Corp.		20,620		1,947,559
Digital Realty Trust, Inc.		58,944		6,271,052
Equinix, Inc.		7,311		2,927,105
Equity Residential		45,227		2,814,024
Essex Property Trust, Inc.		2,826		654,304
GGP, Inc.		53,013		1,228,841
HCP, Inc.		45,628		1,427,244
Host Hotels & Resorts, Inc.		97,937		1,827,504
Prologis, Inc.		38,097		1,976,472
Public Storage		23,955		5,243,989
Realty Income Corp.		46,031		2,740,225
Simon Property Group, Inc.		28,970		4,983,709
Ventas, Inc.		65,952		4,289,518
Vornado Realty Trust		12,491		1,252,972
Welltower, Inc.		27,691		1,961,077
Weyerhaeuser Co.		75,677		2,571,505
				51,309,308
Food & Staples Retailing - 1.5%
Costco Wholesale Corp.		7,308		1,225,479
Wal-Mart Stores, Inc.		319,815		23,052,265
				24,277,744
Food Products - 2.4%
Archer-Daniels-Midland Co.		16,554		762,146

INVESTMENTS	SHARES		VALUE
Food Products - 2.4% (continued)
Bunge Ltd.		62,036	$	4,916,973
Ingredion, Inc.		101,757		12,254,596
JM Smucker Co. (The)		10,810		1,416,975
Pilgrim’s Pride Corp. (a)		255,929		5,759,682
Tyson Foods, Inc., Class A		225,799		13,934,056
				39,044,428
Health Care Equipment & Supplies - 0.6%
Baxter International, Inc.		129,612		6,721,678
Danaher Corp.		18,424		1,575,805
Hill-Rom Holdings, Inc.		6,934		489,540
IDEXX Laboratories, Inc. *		11,375		1,758,689
				10,545,712
Health Care Providers & Services - 3.7%
Aetna, Inc.		88,244		11,255,522
Anthem, Inc.		70,949		11,733,546
Centene Corp. *		65,856		4,692,898
Cigna Corp.		16,682		2,443,746
Express Scripts Holding Co. *		27,296		1,799,079
Humana, Inc.		9,797		2,019,554
UnitedHealth Group, Inc.		53,898		8,839,811
WellCare Health Plans, Inc. *		120,803		16,937,789
				59,721,945
Hotels, Restaurants & Leisure - 2.2%
Brinker International, Inc.		16,462		723,670
Carnival Corp.		185,768		10,943,593
Darden Restaurants, Inc.		130,284		10,900,862
International Game Technology plc		229,836		5,447,113
McDonald’s Corp.		20,509		2,658,171
Royal Caribbean Cruises Ltd.		41,872		4,108,062
Wyndham Worldwide Corp.		12,973		1,093,494
				35,874,965
Household Durables - 0.5%
DR Horton, Inc.		132,464		4,412,376
Garmin Ltd.		20,189		1,031,860
PulteGroup, Inc.		112,438		2,647,915
				8,092,151
Household Products - 1.2%
Procter & Gamble Co. (The)		184,502		16,577,505
Spectrum Brands Holdings, Inc.		15,391		2,139,503
				18,717,008
Industrial Conglomerates - 0.2%
3M Co.		5,269		1,008,118
Carlisle Cos., Inc.		19,707		2,097,022
				3,105,140
Insurance - 5.6%
Aflac, Inc.		79,466		5,754,928
Alleghany Corp. *		997		612,816
Allstate Corp. (The)		135,917		11,075,876
American Financial Group, Inc.		57,800		5,515,276
Assurant, Inc.		18,117		1,733,253
Assured Guaranty Ltd.		282,840		10,496,192
Chubb Ltd.		40,304		5,491,420
CNA Financial Corp.		21,103		932,120

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

AQR Funds Semi-Annual Report March 2017

3

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Insurance - 5.6% (continued)
Everest Re Group Ltd.		50,631	$	11,838,034
Lincoln National Corp.		27,710		1,813,620
Prudential Financial, Inc.		69,683		7,433,783
Reinsurance Group of America, Inc.		67,025		8,510,835
Travelers Cos., Inc. (The)		115,307		13,899,106
Unum Group		55,933		2,622,698
Validus Holdings Ltd.		20,047		1,130,450
WR Berkley Corp.		31,629		2,233,956
				91,094,363
Internet & Direct Marketing Retail - 0.9%
Amazon.com, Inc. *		15,383		13,637,645
Priceline Group, Inc. (The) *		613		1,091,121
				14,728,766
Internet Software & Services - 4.8%
Akamai Technologies, Inc. *		106,900		6,381,930
Alphabet, Inc., Class A *		26,576		22,531,133
Alphabet, Inc., Class C *		19,182		15,912,620
eBay, Inc. *		327,372		10,989,878
Facebook, Inc., Class A *		147,502		20,952,659
IAC/InterActiveCorp. *		19,318		1,424,123
				78,192,343
IT Services - 2.0%
Accenture plc, Class A		73,552		8,817,414
Amdocs Ltd.		33,057		2,016,146
Booz Allen Hamilton Holding Corp.		82,753		2,928,629
Cognizant Technology Solutions Corp., Class A *		16,489		981,425
Computer Sciences Corp.		65,063		4,489,998
Fiserv, Inc. *		31,295		3,608,627
International Business Machines Corp.		54,703		9,525,980
				32,368,219
Leisure Products - 0.1%
Brunswick Corp.		34,937		2,138,144
Life Sciences Tools & Services - 0.1%
Bruker Corp.		20,410		476,165
Charles River Laboratories International, Inc. *		10,094		907,955
Mettler-Toledo International, Inc. *		1,762		843,840
				2,227,960
Machinery - 2.7%
Crane Co.		23,055		1,725,206
Cummins, Inc.		52,103		7,877,974
Illinois Tool Works, Inc.		28,605		3,789,304
Ingersoll-Rand plc		23,061		1,875,320
Oshkosh Corp.		243,506		16,702,077
Stanley Black & Decker, Inc.		43,274		5,749,816
Toro Co. (The)		23,659		1,477,741
Trinity Industries, Inc.		148,222		3,935,294
				43,132,732
Media - 1.5%
Cable One, Inc.		1,326		828,047
CBS Corp. (Non-Voting), Class B		33,118		2,297,064
Comcast Corp., Class A		263,262		9,896,019

INVESTMENTS	SHARES		VALUE
Media - 1.5% (continued)
John Wiley & Sons, Inc., Class A		19,965	$	1,074,117
Scripps Networks Interactive, Inc., Class A		34,366		2,693,263
TEGNA, Inc.		32,753		839,132
Time Warner, Inc.		54,921		5,366,331
Walt Disney Co. (The)		5,135		582,258
				23,576,231
Metals & Mining - 0.8%
Newmont Mining Corp.		34,694		1,143,514
Reliance Steel & Aluminum Co.		29,739		2,379,715
Steel Dynamics, Inc.		282,289		9,812,366
				13,335,595
Multiline Retail - 0.2%
Kohl’s Corp.		62,774		2,499,033
Multi-Utilities - 1.5%
Ameren Corp.		139,487		7,614,595
Consolidated Edison, Inc.		99,398		7,719,249
DTE Energy Co.		27,286		2,786,173
Public Service Enterprise Group, Inc.		130,753		5,798,896
SCANA Corp.		12,079		789,363
				24,708,276
Oil, Gas & Consumable Fuels - 1.2%
Exxon Mobil Corp.		66,261		5,434,065
ONEOK, Inc.		28,999		1,607,705
Pioneer Natural Resources Co.		10,426		1,941,634
Valero Energy Corp.		141,684		9,392,232
World Fuel Services Corp.		12,974		470,307
				18,845,943
Pharmaceuticals - 3.0%
Johnson & Johnson		197,339		24,578,573
Merck & Co., Inc.		190,597		12,110,533
Pfizer, Inc.		350,449		11,988,860
				48,677,966
Professional Services - 0.1%
ManpowerGroup, Inc.		19,983		2,049,656
Real Estate Management & Development - 0.1%
CBRE Group, Inc., Class A *		18,438		641,458
Jones Lang LaSalle, Inc.		2,862		318,970
				960,428
Road & Rail - 0.8%
CSX Corp.		34,296		1,596,479
Norfolk Southern Corp.		16,325		1,827,910
Old Dominion Freight Line, Inc.		20,045		1,715,251
Ryder System, Inc.		26,546		2,002,630
Union Pacific Corp.		53,306		5,646,171
				12,788,441
Semiconductors & Semiconductor Equipment - 5.6%
Applied Materials, Inc.		505,474		19,662,939
Intel Corp.		536,920		19,366,705
Lam Research Corp.		68,506		8,793,430
Micron Technology, Inc. *		282,932		8,176,735

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

AQR Funds Semi-Annual Report March 2017

4

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Semiconductors & Semiconductor Equipment - 5.6% (continued)
NVIDIA Corp.		56,110	$	6,112,062
QUALCOMM, Inc.		66,627		3,820,392
Skyworks Solutions, Inc.		85,243		8,352,109
Texas Instruments, Inc.		197,777		15,932,915
				90,217,287
Software - 4.5%
Activision Blizzard, Inc.		183,950		9,171,747
CA, Inc.		61,680		1,956,490
Cadence Design Systems, Inc. *		19,993		627,780
CDK Global, Inc.		29,288		1,904,013
Citrix Systems, Inc. *		90,376		7,536,455
Electronic Arts, Inc. *		58,726		5,257,151
Microsoft Corp.		494,189		32,547,287
Synopsys, Inc. *		74,966		5,407,298
VMware, Inc., Class A *(a)		98,225		9,050,451
				73,458,672
Specialty Retail - 4.3%
Best Buy Co., Inc.		344,731		16,943,529
Burlington Stores, Inc. *		65,448		6,367,436
Dick’s Sporting Goods, Inc.		59,361		2,888,506
Foot Locker, Inc.		103,835		7,767,896
GameStop Corp., Class A		30,984		698,689
Home Depot, Inc. (The)		117,200		17,208,476
Lowe’s Cos., Inc.		33,077		2,719,260
Murphy USA, Inc. *		54,606		4,009,173
Ross Stores, Inc.		53,933		3,552,567
TJX Cos., Inc. (The)		34,706		2,744,550
Ulta Beauty, Inc. *		13,595		3,877,702
Urban Outfitters, Inc. *		58,899		1,399,440
				70,177,224
Technology Hardware, Storage & Peripherals - 5.4%
Apple, Inc.		408,644		58,705,797
Hewlett Packard Enterprise Co.		617,963		14,645,723
HP, Inc.		539,980		9,654,842
NCR Corp. *		28,388		1,296,764
NetApp, Inc.		69,980		2,928,663
				87,231,789
Textiles, Apparel & Luxury Goods - 0.3%
Michael Kors Holdings Ltd.		76,652		2,921,208
PVH Corp.		23,962		2,479,348
				5,400,556
Thrifts & Mortgage Finance - 0.0% (b)
New York Community Bancorp, Inc.		31,509		440,181
Tobacco - 1.5%
Altria Group, Inc.		127,125		9,079,267
Philip Morris International, Inc.		100,862		11,387,320
Reynolds American, Inc.		53,626		3,379,511
				23,846,098
Trading Companies & Distributors - 0.9%
HD Supply Holdings, Inc. *		50,307		2,068,876
MSC Industrial Direct Co., Inc., Class A		72,137		7,412,798

INVESTMENTS	SHARES		VALUE
Trading Companies & Distributors - 0.9% (continued)
United Rentals, Inc. *		40,685	$	5,087,659
				14,569,333
Transportation Infrastructure - 0.1%
Macquarie Infrastructure Corp.		14,016		1,129,409
TOTAL COMMON STOCKS (cost $1,346,385,339)				1,583,384,254
SHORT-TERM INVESTMENT - 2.2%
Investment Company - 2.2%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $35,159,674) (2)(c)		35,159,674		35,159,674
SECURITIES LENDING COLLATERAL - 0.8%
Investment Company - 0.8%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $13,589,300) (2)(c)(d)		13,589,300		13,589,300
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.7% (cost $1,395,134,313)				1,632,133,228
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.7)% (e)			(11,589,126)
NET ASSETS - 100.0%			$	1,620,544,102

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	185,505,771			11.2	%
Consumer Staples		118,086,482			7.3
Energy		27,826,761			1.8
Financials		298,388,855			18.4
Health Care		142,276,130			8.8
Industrials		236,148,158			14.6
Information Technology		409,433,726			25.3
Materials		56,362,244			3.5
Real Estate		52,269,736			3.3
Telecommunication Services		10,514,851			0.6
Utilities		46,571,540			2.9
Short-Term Investment		35,159,674			2.2
Securities Lending Collateral		13,589,300			0.8
Total Investments In Securities At Value		1,632,133,228			100.7
Liabilities in Excess of Other Assets (e)		(11,589,126	)		(0.7	)
Net Assets	$	1,620,544,102			100.0	%

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

AQR Funds Semi-Annual Report March 2017

5

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $13,271,661.

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

(c) Represents 7-day effective yield as of 3/31/2017.

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

(e) Includes appreciation/(depreciation) on futures contracts.

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

(2) Level 2 security (See Note 4).

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
222	GSCO	S&P 500 E-Mini Futures		06/2017		$26,274,612		$26,187,120		$(87,492	)

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$1,136,756		$1,136,756

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

AQR Funds Semi-Annual Report March 2017

6

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.7%
Aerospace & Defense - 0.9%
AAR Corp.		9,576	$	322,041
Curtiss-Wright Corp.		21,437		1,956,341
DigitalGlobe, Inc. *		23,843		780,858
Esterline Technologies Corp. *		6,742		580,149
Moog, Inc., Class A *		11,819		796,010
National Presto Industries, Inc.		11,022		1,126,448
TASER International, Inc. *		14,264		325,076
Vectrus, Inc. *		47,940		1,071,459
				6,958,382
Air Freight & Logistics - 0.1%
Air Transport Services Group, Inc. *		51,431		825,468
Hub Group, Inc., Class A *		5,580		258,912
				1,084,380
Airlines - 0.4%
Allegiant Travel Co.		5,157		826,410
Hawaiian Holdings, Inc. *		18,265		848,409
SkyWest, Inc.		36,908		1,264,099
				2,938,918
Auto Components - 4.5%
American Axle & Manufacturing Holdings, Inc. *		284,626		5,345,276
Cooper Tire & Rubber Co.		127,707		5,663,805
Cooper-Standard Holdings, Inc. *		68,112		7,555,664
Dana, Inc.		75,270		1,453,464
Dorman Products, Inc. *		16,142		1,325,742
LCI Industries		48,868		4,877,026
Metaldyne Performance Group, Inc.		31,741		725,282
Standard Motor Products, Inc.		4,963		243,882
Stoneridge, Inc. *		92,763		1,682,721
Superior Industries International, Inc.		29,295		742,628
Tenneco, Inc.		58,856		3,673,792
Tower International, Inc.		10,616		287,694
				33,576,976
Automobiles - 0.1%
Winnebago Industries, Inc.		21,124		617,877
Banks - 9.9%
1st Source Corp.		12,341		579,410
Ameris Bancorp		13,565		625,346
Banc of California, Inc.		15,647		323,893
BancorpSouth, Inc.		7,574		229,113
Bank of the Ozarks, Inc.		9,074		471,939
BNC Bancorp		9,435		330,697
Brookline Bancorp, Inc.		68,576		1,073,214
Cardinal Financial Corp.		34,597		1,035,834
Cathay General Bancorp		26,836		1,011,180
CenterState Banks, Inc.		52,094		1,349,235
Central Pacific Financial Corp.		9,052		276,448
Chemical Financial Corp.		65,308		3,340,504
City Holding Co.		5,517		355,736
Community Bank System, Inc.		4,534		249,279
Community Trust Bancorp, Inc.		5,161		236,116
Customers Bancorp, Inc. *		47,060		1,483,802
Eagle Bancorp, Inc. *		4,967		296,530

INVESTMENTS	SHARES		VALUE
Banks - 9.9% (continued)
Enterprise Financial Services Corp.		29,209	$	1,238,462
Fidelity Southern Corp.		34,506		772,244
First BanCorp *		252,971		1,429,286
First Busey Corp.		10,793		317,314
First Citizens BancShares, Inc., Class A		7,518		2,521,312
First Commonwealth Financial Corp.		32,058		425,089
First Financial Bancorp		50,378		1,382,876
First Financial Corp.		5,448		258,780
First Interstate BancSystem, Inc., Class A		44,977		1,783,338
First Merchants Corp.		45,513		1,789,571
First Midwest Bancorp, Inc.		11,060		261,901
Flushing Financial Corp.		11,180		300,407
Fulton Financial Corp.		98,410		1,756,618
Great Southern Bancorp, Inc.		12,259		619,079
Great Western Bancorp, Inc.		131,321		5,569,324
Hancock Holding Co.		50,734		2,310,934
Hanmi Financial Corp.		44,419		1,365,884
Heartland Financial USA, Inc.		27,699		1,383,565
Heritage Financial Corp.		15,782		390,604
Hilltop Holdings, Inc.		59,624		1,637,871
Home BancShares, Inc.		19,066		516,117
Hope Bancorp, Inc.		80,583		1,544,776
IBERIABANK Corp.		3,447		272,658
International Bancshares Corp.		69,059		2,444,689
LegacyTexas Financial Group, Inc.		56,000		2,234,400
MB Financial, Inc.		35,823		1,533,941
NBT Bancorp, Inc.		31,465		1,166,408
Pacific Premier Bancorp, Inc. *		30,049		1,158,389
Pinnacle Financial Partners, Inc.		5,285		351,188
Preferred Bank		16,279		873,531
PrivateBancorp, Inc.		34,610		2,054,796
Prosperity Bancshares, Inc.		44,636		3,111,576
Renasant Corp.		24,309		964,824
S&T Bancorp, Inc.		7,320		253,272
Sandy Spring Bancorp, Inc.		19,049		780,819
ServisFirst Bancshares, Inc.		71,288		2,593,457
Simmons First National Corp., Class A		7,766		428,295
Stock Yards Bancorp, Inc.		7,609		309,306
Texas Capital Bancshares, Inc. *		31,275		2,609,899
Tompkins Financial Corp.		4,306		346,848
Towne Bank		33,045		1,070,658
TriCo Bancshares		14,054		499,339
Trustmark Corp.		43,983		1,398,220
UMB Financial Corp.		5,831		439,133
Union Bankshares Corp.		19,508		686,291
Webster Financial Corp.		5,607		280,574
Wintrust Financial Corp.		32,402		2,239,626
				72,945,765
Beverages - 0.6%
Coca-Cola Bottling Co. Consolidated		1,528		314,799
MGP Ingredients, Inc.		37,988		2,060,089
National Beverage Corp.		23,009		1,944,951
				4,319,839
Biotechnology - 3.9%
Acorda Therapeutics, Inc. *		20,991		440,811
AMAG Pharmaceuticals, Inc. *		73,935		1,667,234
Array BioPharma, Inc. *		62,800		561,432

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

AQR Funds Semi-Annual Report March 2017

7

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Biotechnology - 3.9% (continued)
BioSpecifics Technologies Corp. *		11,198	$	613,650
Bluebird Bio, Inc. *		10,420		947,178
Blueprint Medicines Corp. *		5,300		211,947
Clovis Oncology, Inc. *		15,212		968,548
Eagle Pharmaceuticals, Inc. *		29,650		2,459,171
Emergent BioSolutions, Inc. *		58,868		1,709,527
Enanta Pharmaceuticals, Inc. *		10,218		314,714
Exact Sciences Corp. *		139,554		3,296,266
Exelixis, Inc. *		258,665		5,605,271
Five Prime Therapeutics, Inc. *		27,761		1,003,560
PDL BioPharma, Inc. *		561,293		1,274,135
Portola Pharmaceuticals, Inc. *		18,850		738,732
Prothena Corp. plc (Ireland) *(a)		14,289		797,183
Radius Health, Inc. *		5,665		218,952
Repligen Corp. *		27,584		970,957
Retrophin, Inc. *		57,456		1,060,638
Sage Therapeutics, Inc. *		11,485		816,239
TESARO, Inc. *		10,636		1,636,561
Xencor, Inc. *		76,808		1,837,247
				29,149,953
Building Products - 2.6%
American Woodmark Corp. *		8,816		809,309
Apogee Enterprises, Inc.		40,302		2,402,402
Armstrong Flooring, Inc. *		11,475		211,370
Gibraltar Industries, Inc. *		74,199		3,056,999
Insteel Industries, Inc.		76,810		2,775,913
Patrick Industries, Inc. *		52,029		3,688,856
Ply Gem Holdings, Inc. *		14,505		285,749
Trex Co., Inc. *		17,334		1,202,806
Universal Forest Products, Inc.		46,974		4,628,818
				19,062,222
Capital Markets - 0.5%
Evercore Partners, Inc., Class A		6,428		500,741
INTL. FCStone, Inc. *		45,107		1,712,262
Janus Capital Group, Inc.		21,959		289,859
Piper Jaffray Cos.		6,204		396,125
Stifel Financial Corp. *		11,334		568,854
				3,467,841
Chemicals - 3.1%
American Vanguard Corp.		41,239		684,567
Chemours Co. (The)		183,241		7,054,778
Chemtura Corp. *		26,149		873,377
FutureFuel Corp.		28,561		404,995
Ingevity Corp. *		17,387		1,057,999
Innospec, Inc.		23,037		1,491,646
Kraton Corp. *		37,753		1,167,323
Rayonier Advanced Materials, Inc.		135,638		1,824,331
Stepan Co.		29,730		2,343,021
Trinseo SA		85,859		5,761,139
				22,663,176
Commercial Services & Supplies - 2.7%
ABM Industries, Inc.		8,516		371,298
ACCO Brands Corp. *		324,930		4,272,829
Brady Corp., Class A		6,648		256,945
Deluxe Corp.		39,224		2,830,796

INVESTMENTS	SHARES		VALUE
Commercial Services & Supplies - 2.7% (continued)
Ennis, Inc.		78,064	$	1,327,088
Herman Miller, Inc.		50,231		1,584,788
HNI Corp.		39,565		1,823,551
Knoll, Inc.		46,435		1,105,617
Quad/Graphics, Inc.		98,844		2,494,823
Steelcase, Inc., Class A		52,549		880,196
Tetra Tech, Inc.		27,651		1,129,543
UniFirst Corp.		5,911		836,111
Viad Corp.		16,359		739,427
West Corp.		27,470		670,817
				20,323,829
Communications Equipment - 2.0%
Applied Optoelectronics, Inc. *		22,235		1,248,495
Extreme Networks, Inc. *		32,079		240,913
Finisar Corp. *		142,520		3,896,497
InterDigital, Inc.		17,172		1,481,944
Ixia (2) *		23,503		461,834
Lumentum Holdings, Inc. *		22,013		1,174,394
NETGEAR, Inc. *		63,684		3,155,542
Oclaro, Inc. *		183,379		1,800,782
Plantronics, Inc.		5,941		321,467
Sonus Networks, Inc. *		51,529		339,576
Ubiquiti Networks, Inc. *		9,966		500,891
				14,622,335
Construction & Engineering - 2.2%
Argan, Inc.		69,642		4,606,818
Dycom Industries, Inc. *		16,108		1,497,238
EMCOR Group, Inc.		56,867		3,579,778
MasTec, Inc. *		78,637		3,149,412
MYR Group, Inc. *		22,656		928,896
Tutor Perini Corp. *		78,397		2,493,025
				16,255,167
Construction Materials - 0.3%
Headwaters, Inc. *		38,812		911,306
Summit Materials, Inc., Class A *		30,505		753,778
US Concrete, Inc. *(a)		5,720		369,226
				2,034,310
Consumer Finance - 0.5%
FirstCash, Inc.		12,405		609,706
LendingClub Corp. *		136,429		748,995
Nelnet, Inc., Class A		13,369		586,364
Regional Management Corp. *		19,260		374,222
World Acceptance Corp. *		34,164		1,769,012
				4,088,299
Distributors - 0.1%
Core-Mark Holding Co., Inc.		17,918		558,862
Diversified Consumer Services - 1.3%
American Public Education, Inc. *		54,097		1,238,821
Capella Education Co.		18,212		1,548,475
Career Education Corp. *		166,469		1,448,280
DeVry Education Group, Inc.		52,688		1,867,790
Grand Canyon Education, Inc. *		24,810		1,776,644
K12, Inc. *		73,623		1,409,881

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

AQR Funds Semi-Annual Report March 2017

8

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Diversified Consumer Services - 1.3% (continued)
Strayer Education, Inc.		3,505	$	282,118
				9,572,009
Diversified Telecommunication Services - 0.3%
FairPoint Communications, Inc. *		27,386		454,608
General Communication, Inc., Class A *		13,639		283,691
IDT Corp., Class B		63,584		808,789
Vonage Holdings Corp. *		160,064		1,011,604
				2,558,692
Electric Utilities - 0.3%
Spark Energy, Inc., Class A (a)		80,372		2,567,885
Electrical Equipment - 0.1%
Allied Motion Technologies, Inc.		5,301		106,550
Encore Wire Corp.		5,076		233,496
EnerSys		7,160		565,210
LSI Industries, Inc.		9,897		99,861
				1,005,117
Electronic Equipment, Instruments & Components - 4.7%
Anixter International, Inc. *		13,647		1,082,207
AVX Corp.		42,519		696,461
Belden, Inc.		18,558		1,284,028
Coherent, Inc. *		22,291		4,583,921
CTS Corp.		10,541		224,523
ePlus, Inc. *		7,472		1,009,094
II-VI, Inc. *		73,616		2,653,857
Insight Enterprises, Inc. *		39,525		1,624,082
Littelfuse, Inc.		3,816		610,216
Methode Electronics, Inc.		68,495		3,123,372
Plexus Corp. *		13,071		755,504
Rogers Corp. *		11,380		977,201
Sanmina Corp. *		181,465		7,367,479
SYNNEX Corp.		16,513		1,848,465
Tech Data Corp. *		29,243		2,745,918
TTM Technologies, Inc. *		217,985		3,516,098
Vishay Intertechnology, Inc.		36,684		603,452
				34,705,878
Energy Equipment & Services - 1.3%
Archrock, Inc.		17,735		219,914
Atwood Oceanics, Inc. *(a)		306,006		2,916,237
Exterran Corp. *		30,915		972,277
Matrix Service Co. *		19,649		324,208
McDermott International, Inc. *		387,003		2,612,270
Parker Drilling Co. *		160,834		281,460
US Silica Holdings, Inc.		43,507		2,087,901
				9,414,267
Equity Real Estate Investment Trusts (REITs) - 6.9%
Acadia Realty Trust		22,872		687,532
Agree Realty Corp.		28,285		1,356,549
American Assets Trust, Inc.		13,359		558,941
CBL & Associates Properties, Inc.		76,168		726,643
Chesapeake Lodging Trust		23,409		560,880
Colony Starwood Homes		25,810		876,249
CoreSite Realty Corp.		17,530		1,578,576
Cousins Properties, Inc.		152,602		1,262,019

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 6.9% (continued)
DiamondRock Hospitality Co.		98,561	$	1,098,955
DuPont Fabros Technology, Inc.		36,083		1,789,356
EastGroup Properties, Inc.		8,424		619,417
Education Realty Trust, Inc.		29,191		1,192,452
FelCor Lodging Trust, Inc.		109,811		824,681
First Industrial Realty Trust, Inc.		50,404		1,342,259
Four Corners Property Trust, Inc.		50,568		1,154,467
Franklin Street Properties Corp.		62,690		761,057
GEO Group, Inc. (The)		34,901		1,618,359
Global Net Lease, Inc.		21,603		520,200
Government Properties Income Trust		27,835		582,587
Gramercy Property Trust		53,933		1,418,438
Healthcare Realty Trust, Inc.		49,334		1,603,355
Hudson Pacific Properties, Inc.		28,576		989,873
Kite Realty Group Trust		29,359		631,218
LaSalle Hotel Properties		47,297		1,369,248
Lexington Realty Trust		86,129		859,567
LTC Properties, Inc.		15,264		731,146
Mack-Cali Realty Corp.		57,265		1,542,719
Medical Properties Trust, Inc.		101,004		1,301,942
Monmouth Real Estate Investment Corp.		74,001		1,055,994
Monogram Residential Trust, Inc.		92,620		923,421
National Health Investors, Inc.		12,852		933,441
Pebblebrook Hotel Trust		32,404		946,521
Pennsylvania REIT		35,593		538,878
Physicians Realty Trust		48,583		965,344
Potlatch Corp.		15,775		720,917
PS Business Parks, Inc.		4,743		544,307
QTS Realty Trust, Inc., Class A		20,958		1,021,702
Ramco-Gershenson Properties Trust		36,446		510,973
Retail Opportunity Investments Corp.		31,613		664,821
Rexford Industrial Realty, Inc.		45,584		1,026,552
RLJ Lodging Trust		56,430		1,326,669
Ryman Hospitality Properties, Inc.		19,404		1,199,749
Sabra Health Care REIT, Inc.		35,103		980,427
Select Income REIT		28,994		747,755
Seritage Growth Properties, Class A (a)		15,237		657,477
STAG Industrial, Inc.		23,309		583,191
Summit Hotel Properties, Inc.		66,119		1,056,582
Sunstone Hotel Investors, Inc.		92,362		1,415,909
Terreno Realty Corp.		31,022		868,616
Urban Edge Properties		37,635		989,801
Washington Prime Group, Inc.		62,209		540,596
Washington REIT		15,381		481,118
Xenia Hotels & Resorts, Inc.		39,930		681,605
				50,941,051
Food & Staples Retailing - 0.5%
Ingles Markets, Inc., Class A		25,982		1,121,124
SpartanNash Co.		41,879		1,465,346
Weis Markets, Inc.		20,314		1,211,730
				3,798,200
Food Products - 2.0%
Darling Ingredients, Inc. *		149,505		2,170,812
Fresh Del Monte Produce, Inc.		47,622		2,820,651
John B Sanfilippo & Son, Inc.		50,704		3,711,026
Omega Protein Corp.		137,098		2,748,815

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

AQR Funds Semi-Annual Report March 2017

9

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Food Products - 2.0% (continued)
Sanderson Farms, Inc.		34,027	$	3,533,364
				14,984,668
Gas Utilities - 1.1%
ONE Gas, Inc.		51,008		3,448,141
Southwest Gas Holdings, Inc.		37,247		3,088,149
WGL Holdings, Inc.		19,538		1,612,471
				8,148,761
Health Care Equipment & Supplies - 1.3%
Anika Therapeutics, Inc. *		36,046		1,565,838
Cantel Medical Corp.		2,868		229,727
Cardiovascular Systems, Inc. *		12,829		362,740
Exactech, Inc. *		3,145		79,254
iRadimed Corp. *(a)		35,670		317,463
LeMaitre Vascular, Inc.		35,542		875,399
Masimo Corp. *		46,180		4,306,747
OraSure Technologies, Inc. *		91,379		1,181,530
TransEnterix, Inc. *(a)		250,517		303,126
Zeltiq Aesthetics, Inc. *		14,113		784,824
				10,006,648
Health Care Providers & Services - 1.5%
AMN Healthcare Services, Inc. *		76,080		3,088,848
BioTelemetry, Inc. *		54,896		1,589,239
Chemed Corp.		11,341		2,071,887
Cross Country Healthcare, Inc. *		20,315		291,723
HealthEquity, Inc. *		28,116		1,193,524
Select Medical Holdings Corp. *		71,747		957,823
Tivity Health, Inc. *		43,297		1,259,943
Triple-S Management Corp., Class B *		37,084		651,566
				11,104,553
Health Care Technology - 0.2%
HMS Holdings Corp. *		58,973		1,198,921
Hotels, Restaurants & Leisure - 2.0%
Carrols Restaurant Group, Inc. *		24,352		344,581
Cheesecake Factory, Inc. (The)		17,489		1,108,103
Cracker Barrel Old Country Store, Inc. (a)		8,727		1,389,775
Dave & Buster’s Entertainment, Inc. *		45,084		2,754,182
Denny’s Corp. *		23,901		295,655
Eldorado Resorts, Inc. *(a)		195,582		3,701,389
Isle of Capri Casinos, Inc. *		33,737		889,307
Jack in the Box, Inc.		2,812		286,037
Marcus Corp. (The)		18,663		599,082
Marriott Vacations Worldwide Corp.		15,202		1,519,136
Papa John’s International, Inc.		8,466		677,619
Ruth’s Hospitality Group, Inc.		50,342		1,009,357
Texas Roadhouse, Inc.		11,753		523,361
				15,097,584
Household Durables - 1.1%
Bassett Furniture Industries, Inc.		29,702		798,984
Ethan Allen Interiors, Inc.		11,961		366,605
Flexsteel Industries, Inc.		10,658		537,163
Hooker Furniture Corp.		7,654		237,657
iRobot Corp. *		15,390		1,017,895
KB Home		88,388		1,757,153

INVESTMENTS	SHARES		VALUE
Household Durables - 1.1% (continued)
La-Z-Boy, Inc.		55,539	$	1,499,553
Libbey, Inc.		18,768		273,637
TopBuild Corp. *		28,090		1,320,230
ZAGG, Inc. *		30,067		216,482
				8,025,359
Household Products - 0.3%
Central Garden & Pet Co., Class A *		71,698		2,489,355
Insurance - 5.2%
Ambac Financial Group, Inc. *		137,461		2,592,514
American Equity Investment Life Holding Co.		25,164		594,625
AMERISAFE, Inc.		26,504		1,720,110
Argo Group International Holdings Ltd.		41,966		2,845,295
CNO Financial Group, Inc.		102,829		2,107,994
Employers Holdings, Inc.		111,035		4,213,778
Enstar Group Ltd. *		4,552		870,798
FBL Financial Group, Inc., Class A		11,832		774,404
Federated National Holding Co.		24,807		432,386
Genworth Financial, Inc., Class A *		280,193		1,154,395
HCI Group, Inc.		5,610		255,704
Heritage Insurance Holdings, Inc.		91,313		1,166,067
Horace Mann Educators Corp.		29,668		1,217,871
Infinity Property & Casualty Corp.		2,869		273,990
James River Group Holdings Ltd.		7,824		335,337
Maiden Holdings Ltd.		49,482		692,748
National General Holdings Corp.		21,749		516,756
National Western Life Group, Inc., Class A		3,198		972,704
Navigators Group, Inc. (The)		31,358		1,702,739
Primerica, Inc.		69,233		5,690,953
Selective Insurance Group, Inc.		73,984		3,488,346
United Fire Group, Inc.		30,155		1,289,729
United Insurance Holdings Corp.		28,509		454,719
Universal Insurance Holdings, Inc.		135,248		3,313,576
				38,677,538
Internet & Direct Marketing Retail - 0.2%
1-800-Flowers.com, Inc., Class A *		52,129		531,716
Nutrisystem, Inc.		11,534		640,137
PetMed Express, Inc. (a)		12,629		254,348
				1,426,201
Internet Software & Services - 1.2%
Alarm.com Holdings, Inc. *		9,391		288,679
Blucora, Inc. *		14,236		246,283
Brightcove, Inc. *		32,790		291,831
j2 Global, Inc.		14,018		1,176,250
LogMeIn, Inc.		17,898		1,745,055
MeetMe, Inc. *		425,300		2,505,017
RetailMeNot, Inc. *		38,340		310,554
Shutterstock, Inc. *		22,881		946,129
Stamps.com, Inc. *(a)		9,807		1,160,659
				8,670,457
IT Services - 2.2%
Cardtronics plc, Class A *		13,995		654,266
Convergys Corp.		108,723		2,299,492
CSG Systems International, Inc.		49,467		1,870,347

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

AQR Funds Semi-Annual Report March 2017

10

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
IT Services - 2.2% (continued)
Hackett Group, Inc. (The)		95,046	$	1,852,447
NeuStar, Inc., Class A *		143,329		4,751,356
Perficient, Inc. *		12,894		223,840
Science Applications International Corp.		31,475		2,341,740
Sykes Enterprises, Inc. *		64,031		1,882,511
TeleTech Holdings, Inc.		8,426		249,410
				16,125,409
Leisure Products - 0.7%
American Outdoor Brands Corp. *(a)		216,382		4,286,527
JAKKS Pacific, Inc. *(a)		41,640		229,020
Nautilus, Inc. *		18,711		341,476
Sturm Ruger & Co., Inc. (a)		5,512		295,168
				5,152,191
Life Sciences Tools & Services - 0.6%
Cambrex Corp. *		63,547		3,498,262
INC Research Holdings, Inc., Class A *		7,193		329,799
Luminex Corp.		14,975		275,091
				4,103,152
Machinery - 4.0%
Alamo Group, Inc.		26,182		1,994,807
Altra Industrial Motion Corp.		5,553		216,289
American Railcar Industries, Inc. (a)		12,486		513,175
Astec Industries, Inc.		24,413		1,501,277
Barnes Group, Inc.		13,260		680,768
Douglas Dynamics, Inc.		31,232		957,261
Energy Recovery, Inc. *(a)		144,401		1,201,416
Federal Signal Corp.		19,219		265,414
Global Brass & Copper Holdings, Inc.		64,088		2,204,627
Greenbrier Cos., Inc. (The) (a)		76,834		3,311,545
John Bean Technologies Corp.		18,795		1,653,020
Joy Global, Inc.		40,638		1,148,024
Kadant, Inc.		13,271		787,634
Lydall, Inc. *		35,211		1,887,310
Meritor, Inc. *		206,197		3,532,155
Mueller Industries, Inc.		15,071		515,880
SPX Corp. *		12,102		293,474
Standex International Corp.		2,962		296,644
Supreme Industries, Inc., Class A		148,487		3,008,347
Wabash National Corp.		173,078		3,580,984
				29,550,051
Marine - 0.1%
Matson, Inc.		16,596		527,089
Media - 0.6%
Entravision Communications Corp., Class A		43,565		270,103
Gannett Co., Inc.		167,139		1,400,625
Meredith Corp.		35,103		2,267,654
Scholastic Corp.		19,145		815,002
				4,753,384
Metals & Mining - 2.6%
AK Steel Holding Corp. *		240,623		1,730,079
Cliffs Natural Resources, Inc. *		650,239		5,338,462
Coeur Mining, Inc. *		63,088		509,751

INVESTMENTS	SHARES		VALUE
Metals & Mining - 2.6% (continued)
Commercial Metals Co.		127,372	$	2,436,626
Hecla Mining Co.		155,710		823,706
Olympic Steel, Inc.		37,124		689,022
Ryerson Holding Corp. *		144,649		1,822,578
Stillwater Mining Co. *		50,595		873,776
SunCoke Energy, Inc. *		147,722		1,323,589
Worthington Industries, Inc.		86,246		3,888,832
				19,436,421
Mortgage Real Estate Investment Trusts (REITs) - 1.4%
Apollo Commercial Real Estate Finance, Inc.		65,268		1,227,691
ARMOUR Residential REIT, Inc.		17,619		400,127
Capstead Mortgage Corp.		116,801		1,231,083
CYS Investments, Inc.		166,414		1,322,991
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		21,023		424,665
Invesco Mortgage Capital, Inc.		94,224		1,452,934
New Residential Investment Corp.		122,704		2,083,514
PennyMac Mortgage Investment Trust		49,113		871,756
Redwood Trust, Inc.		79,131		1,314,366
				10,329,127
Multi-Utilities - 0.1%
Avista Corp.		11,339		442,788
Oil, Gas & Consumable Fuels - 0.8%
Callon Petroleum Co. *		76,303		1,004,147
Gener8 Maritime, Inc. *		50,411		285,830
Jones Energy, Inc., Class A *(a)		72,564		185,037
Oasis Petroleum, Inc. *		16,393		233,764
Renewable Energy Group, Inc. *		41,319		431,784
REX American Resources Corp. *		20,685		1,871,786
Western Refining, Inc.		34,428		1,207,390
Westmoreland Coal Co. *		30,161		437,938
				5,657,676
Paper & Forest Products - 0.5%
Clearwater Paper Corp. *		6,515		364,840
Louisiana-Pacific Corp. *		57,386		1,424,320
Neenah Paper, Inc.		12,256		915,523
PH Glatfelter Co.		23,315		506,868
Schweitzer-Mauduit International, Inc.		6,292		260,615
				3,472,166
Personal Products - 0.7%
Medifast, Inc.		9,516		422,225
Natural Health Trends Corp. (a)		81,957		2,368,557
Revlon, Inc., Class A *		10,876		302,897
USANA Health Sciences, Inc. *		37,528		2,161,613
				5,255,292
Pharmaceuticals - 1.4%
Aerie Pharmaceuticals, Inc. *		9,633		436,857
Amphastar Pharmaceuticals, Inc. *		53,843		780,724
Corcept Therapeutics, Inc. *		180,516		1,978,455
Heska Corp. *		13,521		1,419,435
Lannett Co., Inc. *(a)		36,058		805,896
Prestige Brands Holdings, Inc. *		12,168		676,054

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

AQR Funds Semi-Annual Report March 2017

11

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Pharmaceuticals - 1.4% (continued)
SciClone Pharmaceuticals, Inc. *		212,678	$	2,084,244
Sucampo Pharmaceuticals, Inc., Class A *		45,937		505,307
Supernus Pharmaceuticals, Inc. *		44,441		1,391,003
				10,077,975
Professional Services - 1.8%
Barrett Business Services, Inc.		38,088		2,080,367
CBIZ, Inc. *		21,255		288,005
CEB, Inc.		13,246		1,041,136
ICF International, Inc. *		18,505		764,256
Insperity, Inc.		68,515		6,073,855
Kelly Services, Inc., Class A		40,656		888,740
Kforce, Inc.		12,898		306,327
Mistras Group, Inc. *		24,007		513,270
RPX Corp. *		21,011		252,132
TrueBlue, Inc. *		33,463		915,213
				13,123,301
Real Estate Management & Development - 0.1%
Alexander & Baldwin, Inc.		17,385		773,980
Road & Rail - 0.6%
Roadrunner Transportation Systems, Inc. *		54,476		374,250
Saia, Inc. *		50,296		2,228,113
Swift Transportation Co. *		79,073		1,624,159
				4,226,522
Semiconductors & Semiconductor Equipment - 5.3%
Advanced Energy Industries, Inc. *		99,264		6,805,540
Advanced Micro Devices, Inc. *		325,922		4,742,165
Alpha & Omega Semiconductor Ltd. *		60,113		1,033,342
Ambarella, Inc. *(a)		27,850		1,523,674
Amkor Technology, Inc. *		300,101		3,478,171
Cabot Microelectronics Corp.		12,990		995,164
Cirrus Logic, Inc. *		113,342		6,878,726
Entegris, Inc. *		48,861		1,143,347
GigPeak, Inc. (2) *		94,268		290,345
Integrated Device Technology, Inc. *		18,988		449,446
IXYS Corp.		4,731		68,836
MaxLinear, Inc., Class A *		89,178		2,501,443
Microsemi Corp. *		26,535		1,367,349
MKS Instruments, Inc.		37,014		2,544,712
Monolithic Power Systems, Inc.		2,523		232,368
PDF Solutions, Inc. *		10,799		244,273
Photronics, Inc. *		127,452		1,363,736
Power Integrations, Inc.		7,377		485,038
Rudolph Technologies, Inc. *		76,195		1,706,768
Silicon Laboratories, Inc. *		3,750		275,813
Synaptics, Inc. *		11,164		552,730
XPERI Corp.		16,538		561,465
				39,244,451
Software - 1.0%
Barracuda Networks, Inc. *		31,276		722,788
Ebix, Inc. (a)		50,436		3,089,205
Ellie Mae, Inc. *		6,138		615,457
Fair Isaac Corp.		6,658		858,549
Gigamon, Inc. *		18,917		672,499
Mitek Systems, Inc. *		119,904		797,362

INVESTMENTS	SHARES		VALUE
Software - 1.0% (continued)
Silver Spring Networks, Inc. *		31,424	$	354,777
VASCO Data Security International, Inc. *		18,219		245,957
				7,356,594
Specialty Retail - 1.0%
Aaron’s, Inc.		16,852		501,178
Big 5 Sporting Goods Corp.		58,590		884,709
Build-A-Bear Workshop, Inc. *		26,690		236,207
Caleres, Inc.		39,012		1,030,697
Children’s Place, Inc. (The)		16,313		1,958,376
Citi Trends, Inc.		12,661		215,237
Express, Inc. *		34,662		315,771
Francesca’s Holdings Corp. *		18,352		281,703
Genesco, Inc. *		4,009		222,299
Haverty Furniture Cos., Inc.		11,225		273,329
Kirkland’s, Inc. *		23,085		286,254
Office Depot, Inc.		193,681		903,522
Shoe Carnival, Inc.		9,583		235,454
				7,344,736
Textiles, Apparel & Luxury Goods - 0.5%
Culp, Inc.		8,497		265,106
Movado Group, Inc.		95,363		2,379,307
Perry Ellis International, Inc. *		12,743		273,720
Vera Bradley, Inc. *		61,467		572,258
				3,490,391
Thrifts & Mortgage Finance - 3.5%
Astoria Financial Corp.		34,259		702,652
BofI Holding, Inc. *(a)		90,179		2,356,377
Dime Community Bancshares, Inc.		35,281		716,204
Essent Group Ltd. *		22,222		803,770
EverBank Financial Corp.		10,471		203,975
Federal Agricultural Mortgage Corp., Class C		23,364		1,345,065
First Defiance Financial Corp.		15,248		754,929
Flagstar Bancorp, Inc. *		45,197		1,274,103
HomeStreet, Inc. *		60,783		1,698,885
Meta Financial Group, Inc.		18,819		1,665,482
MGIC Investment Corp. *		85,744		868,587
Oritani Financial Corp.		20,862		354,654
Provident Financial Services, Inc.		33,011		853,334
Radian Group, Inc.		286,514		5,145,791
United Financial Bancorp, Inc.		29,651		504,364
Walker & Dunlop, Inc. *		87,444		3,645,540
Washington Federal, Inc.		66,690		2,207,439
WSFS Financial Corp.		19,443		893,406
				25,994,557
Tobacco - 0.2%
Universal Corp.		14,685		1,038,964
Vector Group Ltd.		35,338		735,030
				1,773,994
Trading Companies & Distributors - 0.8%
GATX Corp. (a)		57,052		3,477,890
H&E Equipment Services, Inc.		69,072		1,693,646
Rush Enterprises, Inc., Class A *		15,192		502,551
			5,674,087

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

AQR Funds Semi-Annual Report March 2017

12

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Water Utilities - 0.1%
SJW Group		15,493	$	747,072
Wireless Telecommunication Services - 0.2%
NII Holdings, Inc. *		107,961		140,349
Shenandoah Telecommunications Co.		41,269		1,157,596
Spok Holdings, Inc.		1,389		26,391
			1,324,336
TOTAL COMMON STOCKS (cost $569,959,221)				715,018,017
RIGHT - 0.0% (b)	NO. OF RIGHTS
Media - 0.0% (b)
Media General, Inc., CVR (cost $10,985) (3)*(c)		36,985		59,312
SHORT-TERM INVESTMENT - 3.1%	SHARES
Investment Company - 3.1%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $22,799,919) (2)(d)		22,799,919		22,799,919
SECURITIES LENDING COLLATERAL - 4.4%
Investment Company - 4.4%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $32,592,880) (2)(d)(e)		32,592,880		32,592,880
TOTAL INVESTMENTS IN SECURITIES AT VALUE -104.2% (cost $625,363,005)				770,470,128
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.2)% (f)			(31,086,063)
NET ASSETS - 100.0%			$	739,384,065

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	89,674,882			12.0	%
Consumer Staples		32,621,347			4.4
Energy		15,071,943			2.1
Financials		155,503,126			21.1
Health Care		65,641,203			8.9
Industrials		120,729,064			16.4
Information Technology		120,725,124			16.3
Materials		47,606,074			6.4
Real Estate		51,715,031			7.0
Telecommunication Services		3,883,028			0.5
Utilities		11,906,507			1.6
Short-Term Investment		22,799,919			3.1
Securities Lending Collateral		32,592,880			4.4
Total Investments In Securities At Value		770,470,128			104.2
Liabilities in Excess of Other Assets (f)		(31,086,063	)		(4.2	)
NET ASSETS	$	739,384,065			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $31,480,112.

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

(c) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $59,312, which represents approximately 0.01% of net assets of the fund.

(d) Represents 7-day effective yield as of 3/31/2017.

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

(f) Includes appreciation/(depreciation) on futures contracts.

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

(3) Level 3 security (See Note 4).

(2) Level 2 security (See Note 4).

Abbreviations

CVR - Contingent Value Rights

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

AQR Funds Semi-Annual Report March 2017

13

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
241	JPMS	E-Mini Russell 2000 Futures		06/2017	$	16,376,454	$	16,682,020	$	305,566

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$528,286		$528,286

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

AQR Funds Semi-Annual Report March 2017

14

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 95.2%
Australia - 6.0%
Amcor Ltd.		29,675	$	341,333
Aristocrat Leisure Ltd.		152,543		2,093,885
Australia & New Zealand Banking Group Ltd.		50,635		1,229,452
BHP Billiton Ltd.		77,989		1,418,321
Caltex Australia Ltd.		72,342		1,629,981
CIMIC Group Ltd.		80,237		2,201,598
Cochlear Ltd.		8,740		902,863
Commonwealth Bank of Australia		11,775		772,146
CSL Ltd.		11,411		1,092,556
Dexus Property Group, REIT		104,929		783,147
Flight Centre Travel Group Ltd.		24,838		547,893
Fortescue Metals Group Ltd.		883,258		4,207,102
Goodman Group, REIT		41,832		247,327
GPT Group (The), REIT		196,673		774,036
Harvey Norman Holdings Ltd.		47,125		162,996
Macquarie Group Ltd.		19,730		1,359,332
National Australia Bank Ltd.		26,564		676,382
Scentre Group, REIT		235,569		772,274
South32 Ltd.		1,127,285		2,376,499
Tabcorp Holdings Ltd.		144,129		523,025
Treasury Wine Estates Ltd.		96,024		897,020
Woodside Petroleum Ltd.		15,015		367,843
				25,377,011
Belgium - 1.3%
Ageas		28,862		1,127,081
Anheuser-Busch InBev SA/NV		3,763		412,332
KBC Group NV		30,629		2,030,487
Solvay SA		1,180		143,972
Umicore SA		28,650		1,631,592
				5,345,464
Canada - 7.9%
Agrium, Inc. (1)		3,542		338,046
Alimentation Couche-Tard, Inc., Class B (1)		29,492		1,332,390
Bank of Montreal (1)		30,564		2,282,906
Bank of Nova Scotia (The) (1)		39,774		2,326,892
Barrick Gold Corp. (1)		24,804		471,143
Brookfield Asset Management, Inc., Class A (1)		24,823		904,368
Canadian Imperial Bank of Commerce (1)		15,845		1,366,279
Canadian Tire Corp. Ltd., Class A (1)		8,065		958,085
CCL Industries, Inc., Class B (1)		1,483		323,553
CGI Group, Inc., Class A (1)*		42,932		2,057,094
Constellation Software, Inc. (1)		2,940		1,444,742
Dollarama, Inc. (1)		5,101		422,740
First Quantum Minerals Ltd. (1)		229,447		2,437,934
Great-West Lifeco, Inc. (1)		3,723		103,164
Open Text Corp. (1)		90,446		3,074,151
Power Corp. of Canada (1)		5,259		123,541
Royal Bank of Canada (1)		46,220		3,367,489
Saputo, Inc. (1)		94,544		3,262,491
Seven Generations Energy Ltd., Class A (1)*		24,850		454,078
Teck Resources Ltd., Class B (1)		150,115		3,282,584

INVESTMENTS	SHARES		VALUE
Canada - 7.9% (continued)
Toronto-Dominion Bank (The) (1)		60,966	$	3,053,687
Yamana Gold, Inc. (1)		41,653		114,950
				33,502,307
China - 0.4%
BOC Hong Kong Holdings Ltd.		250,500		1,023,874
Yangzijiang Shipbuilding Holdings Ltd.		871,700		703,764
				1,727,638
Denmark - 1.7%
Danske Bank A/S		12,702		433,086
DSV A/S		10,569		546,662
Genmab A/S *		1,661		319,626
ISS A/S		26,066		985,419
Novo Nordisk A/S, Class B		17,186		590,149
Pandora A/S		7,798		863,070
Vestas Wind Systems A/S		41,367		3,364,802
				7,102,814
Finland - 1.4%
Neste OYJ		119,474		4,671,772
Nokia OYJ		143,842		773,128
Orion OYJ, Class B		6,249		325,975
				5,770,875
France - 8.1%
Airbus SE		2,014		153,591
Arkema SA		4,649		457,651
Atos SE		27,670		3,419,476
AXA SA		43,757		1,130,497
BNP Paribas SA		63,329		4,214,169
Cie Generale des Etablissements Michelin		21,514		2,614,335
CNP Assurances		115,688		2,352,567
L’Oreal SA		11,261		2,165,914
Orange SA		69,702		1,082,164
Peugeot SA		195,955		3,938,205
Publicis Groupe SA		3,929		274,324
Renault SA		9,051		786,281
Sanofi		21,977		1,986,617
Societe Generale SA		39,112		1,981,623
Sodexo SA		14,034		1,648,945
Thales SA		23,392		2,259,577
TOTAL SA		45,311		2,291,079
Valeo SA		24,231		1,611,888
				34,368,903
Germany - 8.9%
adidas AG		15,001		2,853,671
Allianz SE (Registered)		15,590		2,891,108
BASF SE		6,801		673,392
Bayer AG (Registered)		11,094		1,278,179
Covestro AG (a)		58,813		4,530,879
Deutsche Lufthansa AG (Registered)		242,508		3,934,174
Deutsche Post AG (Registered)		24,027		822,289
Deutsche Telekom AG (Registered)		15,851		277,751
Fresenius SE & Co. KGaA		9,490		762,579
Hannover Rueck SE		14,177		1,633,640
HeidelbergCement AG		13,819		1,294,123
HOCHTIEF AG		1,352		223,429

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

AQR Funds Semi-Annual Report March 2017

15

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Germany - 8.9% (continued)
Infineon Technologies AG		279,707	$	5,724,856
Linde AG		4,967		827,607
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		17,358		3,397,869
SAP SE		9,801		961,556
Siemens AG (Registered)		37,429		5,126,734
Vonovia SE		11,443		403,158
				37,616,994
Hong Kong - 3.3%
Cheung Kong Property Holdings Ltd.		17,000		114,679
CK Hutchison Holdings Ltd.		39,500		486,321
CLP Holdings Ltd.		243,000		2,543,840
Galaxy Entertainment Group Ltd.		25,000		136,929
Henderson Land Development Co. Ltd.		36,904		228,827
Hong Kong Exchanges & Clearing Ltd.		28,400		716,644
Link REIT		26,000		182,228
New World Development Co. Ltd.		157,000		193,452
NWS Holdings Ltd.		129,000		235,520
PCCW Ltd.		269,000		158,690
Sun Hung Kai Properties Ltd.		91,000		1,337,724
WH Group Ltd. (a)		5,964,000		5,142,882
Wheelock & Co. Ltd.		94,000		743,568
Yue Yuen Industrial Holdings Ltd.		451,000		1,772,272
				13,993,576
Italy - 1.4%
Enel SpA		442,207		2,080,790
Ferrari NV		7,156		533,346
Leonardo SpA		57,320		812,827
Mediobanca SpA		15,785		142,322
Poste Italiane SpA (a)		158,489		1,055,669
Prysmian SpA		46,266		1,223,152
				5,848,106
Japan - 20.6%
Acom Co. Ltd. *		10,000		40,027
AEON Financial Service Co. Ltd.		2,700		50,981
Amada Holdings Co. Ltd.		206,500		2,363,806
Asahi Kasei Corp.		182,000		1,768,390
Astellas Pharma, Inc.		97,000		1,279,326
Bandai Namco Holdings, Inc.		18,300		548,555
Brother Industries Ltd.		25,700		537,443
Chubu Electric Power Co., Inc.		8,900		119,553
Credit Saison Co. Ltd.		16,800		301,073
Dai-ichi Life Holdings, Inc.		23,300		417,056
Daiichi Sankyo Co. Ltd.		32,600		735,491
Daikin Industries Ltd.		7,600		766,370
Daiwa House Industry Co. Ltd.		15,100		434,034
DeNA Co. Ltd.		52,000		1,058,619
Fuji Electric Co. Ltd.		48,000		285,846
Fujitsu Ltd.		479,000		2,940,285
Hitachi Chemical Co. Ltd.		85,900		2,386,179
Hitachi High-Technologies Corp.		77,800		3,178,103
Hoya Corp.		14,900		719,831
Idemitsu Kosan Co. Ltd.		78,900		2,746,452
Iida Group Holdings Co. Ltd.		3,800		58,477
ITOCHU Corp.		145,200		2,067,118

INVESTMENTS	SHARES		VALUE
Japan - 20.6% (continued)
Japan Tobacco, Inc.		27,100	$	882,039
JTEKT Corp.		37,100		577,162
KDDI Corp.		58,000		1,525,446
Keyence Corp.		700		280,821
Komatsu Ltd.		34,600		906,287
Konami Holdings Corp.		80,700		3,427,690
Kuraray Co. Ltd.		15,600		237,317
Mitsubishi Chemical Holdings Corp.		30,800		239,129
Mitsubishi Electric Corp.		292,200		4,210,105
Mitsubishi Estate Co. Ltd.		31,000		565,027
Mitsubishi Gas Chemical Co., Inc.		81,900		1,705,843
Mitsubishi Tanabe Pharma Corp.		49,300		1,029,337
Mitsubishi UFJ Financial Group, Inc.		340,300		2,143,607
Mitsui Fudosan Co. Ltd.		24,000		512,444
Mixi, Inc.		14,000		677,203
Mizuho Financial Group, Inc.		756,600		1,388,798
MS&AD Insurance Group Holdings, Inc.		15,900		507,856
NH Foods Ltd.		7,000		188,052
Nippon Express Co. Ltd.		343,000		1,765,515
Nippon Telegraph & Telephone Corp.		133,300		5,699,018
Nomura Real Estate Holdings, Inc.		8,000		127,666
NSK Ltd.		29,700		425,462
NTT DOCOMO, Inc.		35,400		826,670
Omron Corp.		2,700		118,635
ORIX Corp.		23,500		348,800
Otsuka Holdings Co. Ltd.		20,500		927,840
Sega Sammy Holdings, Inc.		55,500		746,477
Sekisui House Ltd.		26,900		443,548
Shin-Etsu Chemical Co. Ltd.		30,900		2,685,808
Shionogi & Co. Ltd.		28,000		1,449,493
SoftBank Group Corp.		29,400		2,084,905
Sompo Holdings, Inc.		34,500		1,267,476
Subaru Corp.		75,000		2,750,872
Sumitomo Dainippon Pharma Co. Ltd.		133,500		2,209,074
Sumitomo Heavy Industries Ltd.		409,000		2,859,429
Sumitomo Mitsui Financial Group, Inc.		75,400		2,744,467
Suzuki Motor Corp.		72,500		3,011,195
T&D Holdings, Inc.		35,500		514,560
TDK Corp.		28,500		1,809,606
Tokyo Electron Ltd.		16,900		1,850,152
Toyo Seikan Group Holdings Ltd.		4,200		68,345
Toyota Motor Corp.		38,400		2,084,269
Yamaha Corp.		45,700		1,264,282
Yokogawa Electric Corp.		74,100		1,168,618
				87,059,360
Netherlands - 4.2%
Aegon NV		50,216		255,793
ASML Holding NV		8,349		1,107,853
ING Groep NV		96,440		1,456,656
Koninklijke Ahold Delhaize NV		150,692		3,220,262
Koninklijke Philips NV		18,749		602,298
NN Group NV		51,007		1,656,561
Randstad Holding NV		11,410		657,764
Royal Dutch Shell plc, Class A		43,054		1,134,829
Royal Dutch Shell plc, Class B		97,616		2,683,407
Wolters Kluwer NV		117,752		4,886,989
				17,662,412

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

AQR Funds Semi-Annual Report March 2017

16

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Singapore - 0.5%
CapitaLand Commercial Trust, REIT		273,500	$	301,982
DBS Group Holdings Ltd.		66,200		916,996
Oversea-Chinese Banking Corp. Ltd.		85,100		591,106
SATS Ltd.		33,200		115,821
United Overseas Bank Ltd.		21,900		345,916
				2,271,821
South Africa - 0.7%
Investec plc		230,142		1,569,305
Mondi plc		48,611		1,174,508
				2,743,813
Spain - 3.4%
Aena SA (a)		32,293		5,104,211
Banco Santander SA		529,112		3,238,860
Endesa SA		27,385		642,715
Gas Natural SDG SA		11,618		254,130
Grifols SA		7,841		192,379
Iberdrola SA		211,075		1,508,108
Industria de Diseno Textil SA		47,775		1,682,472
Mapfre SA		220,836		756,386
Repsol SA		61,485		952,581
				14,331,842
Sweden - 2.3%
Boliden AB		18,362		546,551
Hexagon AB, Class B		3,115		125,020
Husqvarna AB, Class B		21,905		192,057
Investor AB, Class B		8,330		350,251
Nordea Bank AB		138,931		1,585,041
Sandvik AB		41,818		624,633
Securitas AB, Class B		177,091		2,764,605
Skanska AB, Class B		48,709		1,146,384
Svenska Cellulosa AB SCA, Class B		14,930		481,139
Swedbank AB, Class A		11,778		272,525
Telefonaktiebolaget LM Ericsson, Class B		74,353		496,408
Volvo AB, Class B		90,464		1,334,524
				9,919,138
Switzerland - 9.1%
ABB Ltd. (Registered)		70,019		1,638,830
Actelion Ltd. *		2,701		760,967
Adecco Group AG (Registered)		5,222		370,785
Baloise Holding AG (Registered)		3,204		440,269
Coca-Cola HBC AG *		33,552		866,183
Geberit AG (Registered)		1,837		791,583
Glencore plc *		325,054		1,275,366
Nestle SA (Registered)		55,405		4,252,432
Novartis AG (Registered)		49,554		3,679,759
Roche Holding AG		24,574		6,284,400
SGS SA (Registered)		640		1,364,876
Sika AG		188		1,127,570
STMicroelectronics NV		154,505		2,377,464
Swiss Life Holding AG (Registered) *		7,791		2,512,308
Swiss Re AG		45,001		4,041,814
Syngenta AG (Registered)		2,276		1,005,174
UBS Group AG (Registered) *		93,438		1,493,570
Zurich Insurance Group AG		14,878		3,970,353
				38,253,703

INVESTMENTS	SHARES		VALUE
United Kingdom - 13.6%
3i Group plc		23,824	$	223,685
Admiral Group plc		12,335		307,351
Ashtead Group plc		21,213		439,094
AstraZeneca plc		4,834		297,228
Auto Trader Group plc (a)		127,653		626,504
BAE Systems plc		67,524		543,446
Barclays plc		243,043		686,057
Barratt Developments plc		425,246		2,912,946
Berkeley Group Holdings plc		20,460		822,687
BP plc		41,307		237,768
British American Tobacco plc		51,975		3,448,336
British Land Co. plc (The), REIT		80,014		611,634
BT Group plc		680,762		2,718,365
Burberry Group plc		9,589		206,937
Compass Group plc		95,482		1,802,720
Diageo plc		6,622		189,622
Direct Line Insurance Group plc		474,466		2,064,325
Dixons Carphone plc		150,583		599,758
Fiat Chrysler Automobiles NV		275,400		3,008,835
GlaxoSmithKline plc		21,119		439,126
Hammerson plc, REIT		43,773		312,993
HSBC Holdings plc		905,842		7,388,816
Imperial Brands plc		25,501		1,235,872
J Sainsbury plc		41,134		136,243
Kingfisher plc		262,138		1,072,562
Land Securities Group plc, REIT		27,580		366,297
Legal & General Group plc		406,558		1,258,882
Lloyds Banking Group plc		3,929,709		3,268,266
Marks & Spencer Group plc		80,456		339,836
National Grid plc		153,441		1,946,752
Old Mutual plc		74,864		188,408
Persimmon plc		140,600		3,688,867
Prudential plc		87,891		1,856,548
Reckitt Benckiser Group plc		15,601		1,424,242
RELX plc		27,020		529,002
Rio Tinto Ltd.		10,260		473,729
Royal Mail plc		22,363		119,106
Segro plc, REIT		105,872		605,309
Sky plc		27,519		336,552
Standard Chartered plc *		47,908		458,237
Taylor Wimpey plc		795,728		1,924,694
Unilever plc		31,184		1,538,221
Vodafone Group plc		212,804		554,564
Wm Morrison Supermarkets plc		564,626		1,699,118
WPP plc		115,721		2,536,498
				57,446,038
United States - 0.4%
Shire plc		25,582		1,490,589
Thomson Reuters Corp. (1)		9,048		391,285
				1,881,874
TOTAL COMMON STOCKS (cost $364,384,775)				402,223,689

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

AQR Funds Semi-Annual Report March 2017

17

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENT - 3.9%
Investment Company - 3.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $16,547,008) (b)		16,547,008	$	16,547,008
SECURITIES LENDING COLLATERAL - 0.3%
Investment Company - 0.3%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $1,339,069) (b)(c)		1,339,069		1,339,069
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.4% (cost $382,270,852)				420,109,766
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% (d)			2,421,519
NET ASSETS - 100.0%			$	422,531,285

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	53,776,985		12.7	%
Consumer Staples		32,774,789		7.8
Energy		17,169,790		4.1
Financials		94,966,544		22.4
Health Care		28,753,383		6.8
Industrials		62,340,914		14.7
Information Technology		39,235,428		9.3
Materials		39,564,590		9.4
Real Estate		9,617,805		2.3
Telecommunication Services		14,927,573		3.5
Utilities		9,095,888		2.2
Short-Term Investment		16,547,008		3.9
Securities Lending Collateral		1,339,069		0.3
Total Investments In Securities At Value		420,109,766		99.4
Other Assets in Excess of Liabilities (d)		2,421,519		0.6
Net Assets	$	422,531,285		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 3/31/2017 amounted to $16,460,145, which represents approximately 3.90% of net assets of the fund.

(b) Represents 7-day effective yield as of 3/31/2017.

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

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

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

(1) Level 1 security (See Note 4).

Abbreviations

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
177	JPMS	E-Mini MSCI EAFE Index Futures		06/2017	$	15,533,867	$	15,770,700	$	236,833

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$470,081		$470,081

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

AQR Funds Semi-Annual Report March 2017

18

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 95.9%
Brazil - 6.9%
Banco Bradesco SA, ADR (1)*		219,522	$	2,247,905
Banco do Brasil SA (1)*		51,300		552,393
Banco Santander Brasil SA, ADR (1)(a)		136,893		1,207,396
BR Malls Participacoes SA (1)*		23,900		110,316
Braskem SA (Preference), Class A (1)		191,300		1,947,464
Centrais Eletricas Brasileiras SA (1)*		64,900		356,778
Centrais Eletricas Brasileiras SA (Preference), Class B (1)*		108,100		768,295
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)*		58,263		606,518
Cia Paranaense de Energia, ADR (1)*		44,329		457,032
CPFL Energia SA (1)		10,200		84,061
EDP - Energias do Brasil SA (1)		22,400		99,457
Gerdau SA (Preference) (1)		34,600		120,469
Hypermarcas SA (1)		34,900		323,293
Itau Unibanco Holding SA, ADR (1)		176,182		2,126,517
Itausa - Investimentos Itau SA (Preference) (1)		414,741		1,265,182
M Dias Branco SA (1)*		20,300		827,018
Petroleo Brasileiro SA (Preference) (1)*		450,300		2,095,723
Porto Seguro SA (1)*		8,400		77,276
Qualicorp SA (1)		143,300		909,071
Sul America SA (1)		84,097		448,610
TIM Participacoes SA, ADR (1)		97,809		1,562,988
Vale SA (Preference) (1)*		172,100		1,556,849
				19,750,611
Chile - 1.7%
Banco Santander Chile, ADR (1)		23,216		582,257
Cencosud SA (1)		673,203		2,068,757
Embotelladora Andina SA (Preference), Class B (1)		25,082		97,717
Enel Americas SA, ADR (1)		89,123		925,988
Enel Chile SA, ADR (1)		47,158		259,369
Latam Airlines Group SA, ADR (1)*		53,615		679,302
Sociedad Quimica y Minera de Chile SA, ADR (1)		8,894		305,687
				4,919,077
China - 25.1%
58.com, Inc., ADR (1)*		4,817		170,474
Agricultural Bank of China Ltd., Class H		3,370,000		1,554,170
Air China Ltd., Class H		1,220,000		987,843
Alibaba Group Holding Ltd., ADR (1)*		70,925		7,647,843
Anhui Conch Cement Co. Ltd., Class H		155,500		528,862
Baidu, Inc., ADR (1)*		16,444		2,836,919
Bank of China Ltd., Class H		3,866,000		1,922,491
Bank of Communications Co. Ltd., Class H		651,000		506,749
Belle International Holdings Ltd.		388,000		252,359
China Cinda Asset Management Co. Ltd., Class H		922,000		358,586
China Communications Services Corp. Ltd., Class H		1,850,000		1,211,578
China Construction Bank Corp., Class H		6,331,000		5,100,936
China Everbright Bank Co. Ltd., Class H		990,000		484,194
China Evergrande Group (a)		585,000		542,407

INVESTMENTS	SHARES		VALUE
China - 25.1% (continued)
China Galaxy Securities Co. Ltd., Class H		538,500	$	497,266
China Merchants Bank Co. Ltd., Class H		638,000		1,688,383
China Minsheng Banking Corp. Ltd., Class H		657,500		702,845
China Mobile Ltd.		589,175		6,479,454
China Overseas Land & Investment Ltd.		380,000		1,086,026
China Petroleum & Chemical Corp., Class H		1,644,000		1,338,161
China Railway Construction Corp. Ltd., Class H		215,500		305,804
China Resources Land Ltd.		290,000		784,348
China Resources Power Holdings Co. Ltd.		130,000		234,689
China Shenhua Energy Co. Ltd., Class H		516,500		1,201,759
China Southern Airlines Co. Ltd., Class H		1,508,000		1,044,435
China Telecom Corp. Ltd., Class H		1,342,000		655,537
China Vanke Co. Ltd., Class H		214,000		578,768
Chongqing Rural Commercial Bank Co. Ltd., Class H		1,586,000		1,071,482
CNOOC Ltd., ADR (1)		5,071		607,506
Country Garden Holdings Co. Ltd.		1,591,000		1,430,736
CSPC Pharmaceutical Group Ltd.		250,000		327,529
Ctrip.com International Ltd., ADR (1)*		20,700		1,017,405
Far East Horizon Ltd.		234,000		219,837
Geely Automobile Holdings Ltd.		2,930,000		4,490,394
Great Wall Motor Co. Ltd., Class H		338,000		385,217
Industrial & Commercial Bank of China Ltd., Class H		5,756,000		3,766,429
JD.com, Inc., ADR (1)*		41,989		1,306,278
Kunlun Energy Co. Ltd.		184,000		170,499
NetEase, Inc., ADR (1)		4,926		1,398,984
New Oriental Education & Technology Group, Inc., ADR (1)*		7,867		475,009
PICC Property & Casualty Co. Ltd., Class H		214,000		330,295
Ping An Insurance Group Co. of China Ltd., Class H		169,500		949,955
Sinopec Engineering Group Co. Ltd., Class H		399,500		410,171
Sinopec Shanghai Petrochemical Co. Ltd., Class H		3,174,000		1,761,570
Sinopharm Group Co. Ltd., Class H		302,400		1,403,884
Sinotrans Ltd., Class H		1,511,000		706,093
Tencent Holdings Ltd.		212,700		6,127,785
TravelSky Technology Ltd., Class H		447,000		1,056,208
Vipshop Holdings Ltd., ADR (1)*		24,408		325,603
Weichai Power Co. Ltd., Class H		650,000		1,148,191
				71,589,946
Hong Kong - 0.8%
Nine Dragons Paper Holdings Ltd.		1,391,000		1,496,493
Sun Art Retail Group Ltd.		707,500		663,301
				2,159,794
Hungary - 0.2%
MOL Hungarian Oil & Gas plc		4,788		327,840
Richter Gedeon Nyrt		11,164		253,554
				581,394

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

AQR Funds Semi-Annual Report March 2017

19

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
India - 7.9%
Axis Bank Ltd., GDR		8,309	$	315,502
Dr. Reddy’s Laboratories Ltd., ADR (1)		62,355		2,503,553
ICICI Bank Ltd., ADR (1)		282,430		2,428,898
Infosys Ltd., ADR		438,580		6,929,564
Reliance Industries Ltd., GDR (b)		1,738		70,709
Reliance Industries Ltd., GDR (LSE) (b)		38,219		1,534,946
State Bank of India, GDR		18,419		823,544
Tata Motors Ltd., ADR (1)		177,251		6,318,998
Wipro Ltd., ADR (1)		149,812		1,532,577
				22,458,291
Indonesia - 2.9%
Adaro Energy Tbk. PT		4,928,500		647,370
Bank Mandiri Persero Tbk. PT		150,800		132,438
Bank Rakyat Indonesia Persero Tbk. PT		728,400		709,257
Gudang Garam Tbk. PT		213,700		1,050,924
Indofood CBP Sukses Makmur Tbk. PT		290,100		177,437
Indofood Sukses Makmur Tbk. PT		880,400		528,674
Telekomunikasi Indonesia Persero Tbk. PT		11,718,000		3,642,480
United Tractors Tbk. PT		509,500		1,014,173
Waskita Karya Persero Tbk. PT		2,288,700		406,978
				8,309,731
Malaysia - 2.8%
AirAsia Bhd.		3,884,892		2,756,146
CIMB Group Holdings Bhd.		118,700		149,393
Genting Bhd.		257,000		557,056
Genting Malaysia Bhd.		477,300		587,705
Malayan Banking Bhd.		98,700		198,871
MISC Bhd.		203,600		336,568
Petronas Chemicals Group Bhd.		139,400		242,399
Public Bank Bhd.		257,900		1,159,385
Tenaga Nasional Bhd.		536,800		1,663,570
YTL Corp. Bhd.		855,400		287,961
				7,939,054
Mexico - 4.0%
Arca Continental SAB de CV (1)		56,100		389,836
Cemex SAB de CV, ADR (1)*		232,088		2,105,038
Coca-Cola Femsa SAB de CV, ADR (1)		5,408		387,753
Fomento Economico Mexicano SAB de CV, ADR (1)		2,759		244,227
Gentera SAB de CV (1)		185,900		306,221
Gruma SAB de CV, Class B (1)		124,915		1,758,141
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1)		131,800		1,282,080
Grupo Aeroportuario del Sureste SAB de CV, ADR (1)		2,699		467,575
Grupo Bimbo SAB de CV, Series A (1)		74,400		185,143
Grupo Financiero Banorte SAB de CV, Class O (1)		199,300		1,146,050
Grupo Financiero Santander Mexico SAB de CV, Class B, ADR (1)		21,987		198,543
Grupo Lala SAB de CV (1)(a)		177,600		322,241
Grupo Mexico SAB de CV, Series B (1)		348,700		1,048,209
Industrias Penoles SAB de CV (1)		15,550		401,170
Kimberly-Clark de Mexico SAB de CV, Class A (1)		208,700		452,909

INVESTMENTS	SHARES		VALUE
Mexico - 4.0% (continued)
Mexichem SAB de CV (1)		95,100	$	259,208
OHL Mexico SAB de CV (1)		297,800		420,560
				11,374,904
Peru - 0.2%
Credicorp Ltd. (1)		3,587		585,757
Philippines - 0.9%
Ayala Corp.		12,620		212,503
Ayala Land, Inc.		183,900		121,090
Bank of the Philippine Islands		56,900		114,739
BDO Unibank, Inc.		55,070		129,073
Globe Telecom, Inc.		14,330		580,278
JG Summit Holdings, Inc.		305,970		496,105
Jollibee Foods Corp.		26,930		105,968
Metropolitan Bank & Trust Co.		62,860		100,173
Security Bank Corp.		109,660		441,410
SM Investments Corp.		30,410		422,315
				2,723,654
Poland - 1.7%
Bank Zachodni WBK SA		4,140		357,221
Eurocash SA		51,392		413,443
Grupa Azoty SA		8,519		148,307
Polski Koncern Naftowy ORLEN SA		115,563		2,914,731
Polskie Gornictwo Naftowe i Gazownictwo SA		528,270		788,239
Tauron Polska Energia SA *		194,708		166,367
				4,788,308
Russia - 3.7%
Gazprom PJSC, ADR (1)		350,088		1,573,645
LUKOIL PJSC, ADR		29,278		1,552,030
Mobile TeleSystems PJSC, ADR (1)		277,005		3,055,365
Novatek PJSC, GDR		5,239		653,284
Rosneft Oil Co. PJSC, GDR		68,272		388,930
Severstal PJSC, GDR		59,819		860,992
Surgutneftegas OJSC, ADR (1)		88,464		452,051
Tatneft PJSC, ADR		52,434		1,930,643
				10,466,940
South Africa - 6.0%
Barclays Africa Group Ltd.		11,153		115,985
Bid Corp. Ltd.		19,957		384,962
Bidvest Group Ltd. (The)		186,125		2,133,369
Brait SE *		49,836		290,000
Capitec Bank Holdings Ltd.		11,169		634,070
Exxaro Resources Ltd.		9,512		83,546
FirstRand Ltd.		100,816		348,832
Foschini Group Ltd. (The)		82,760		952,448
Hyprop Investments Ltd., REIT		62,100		567,226
Imperial Holdings Ltd.		101,945		1,249,222
Investec Ltd.		144,122		981,708
Liberty Holdings Ltd.		9,317		74,938
Massmart Holdings Ltd.		24,440		247,765
Mondi Ltd.		30,411		725,379
Naspers Ltd., Class N		12,678		2,184,576
Nedbank Group Ltd.		4,654		83,624
Pick n Pay Stores Ltd.		127,765		633,620

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

AQR Funds Semi-Annual Report March 2017

20

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
South Africa - 6.0% (continued)
Redefine Properties Ltd., REIT		130,202	$	106,742
Remgro Ltd.		28,077		430,785
Resilient REIT Ltd.		80,551		700,581
RMB Holdings Ltd.		38,311		167,213
Sanlam Ltd.		23,083		115,825
Sappi Ltd.		58,845		398,625
Sibanye Gold Ltd., ADR (1)		98,456		867,397
Standard Bank Group Ltd.		126,786		1,359,593
Telkom SA SOC Ltd.		119,434		668,319
Tiger Brands Ltd.		11,362		338,985
Truworths International Ltd.		47,419		306,067
				17,151,402
South Korea - 14.6%
AMOREPACIFIC Group		1,259		134,588
Daelim Industrial Co. Ltd.		5,810		420,405
Dongbu Insurance Co. Ltd.		6,868		393,142
Hana Financial Group, Inc.		9,954		328,462
Hankook Tire Co. Ltd.		7,537		367,579
Hanmi Pharm Co. Ltd. *		1,561		417,262
Hanwha Chemical Corp.		9,417		222,451
Hanwha Corp.		32,598		1,046,617
Hyosung Corp.		3,265		395,657
Hyundai Development Co.-Engineering & Construction		2,210		80,393
Hyundai Engineering & Construction Co. Ltd.		9,403		416,568
Hyundai Heavy Industries Co. Ltd. *		8,167		1,204,625
Hyundai Marine & Fire Insurance Co. Ltd.		66,136		2,070,012
Hyundai Mobis Co. Ltd.		5,043		1,084,836
KB Financial Group, Inc.		28,012		1,227,667
Korean Air Lines Co. Ltd. *		17,101		482,674
KT Corp.		9,941		283,761
LG Display Co. Ltd.		3,241		87,767
LG Uplus Corp.		125,133		1,601,497
Lotte Chemical Corp.		6,911		2,290,102
POSCO		3,362		873,199
Posco Daewoo Corp.		44,185		942,622
S-1 Corp.		1,090		87,454
Samsung Electronics Co. Ltd.		8,537		15,711,626
Shinhan Financial Group Co. Ltd.		4,609		192,044
SK Hynix, Inc.		77,794		3,513,721
SK Innovation Co. Ltd.		28,686		4,274,413
SK Telecom Co. Ltd.		2,202		497,543
Woori Bank		99,523		1,156,162
				41,804,849
Taiwan - 12.2%
AU Optronics Corp.		238,000		92,709
Casetek Holdings Ltd.		227,000		755,350
Catcher Technology Co. Ltd.		82,000		810,413
China Airlines Ltd.		400,000		139,065
China Life Insurance Co. Ltd.		2,071,560		2,048,577
CTBC Financial Holding Co. Ltd.		1,070,559		661,440
E.Sun Financial Holding Co. Ltd.		1,098,900		668,059
Eva Airways Corp.		307,650		163,232
Far EasTone Telecommunications Co. Ltd.		123,000		301,996

INVESTMENTS	SHARES		VALUE
Taiwan - 12.2% (continued)
Feng TAY Enterprise Co. Ltd.		68,014	$	271,029
First Financial Holding Co. Ltd.		627,000		382,284
Formosa Chemicals & Fibre Corp.		172,000		535,099
Formosa Petrochemical Corp.		26,000		90,819
Foxconn Technology Co. Ltd.		536,929		1,637,054
Fubon Financial Holding Co. Ltd.		400,000		652,418
Hon Hai Precision Industry Co. Ltd.		1,176,493		3,528,406
Inventec Corp.		276,000		206,948
Largan Precision Co. Ltd.		6,000		944,999
Lite-On Technology Corp.		698,410		1,203,821
Mega Financial Holding Co. Ltd.		450,000		363,119
Micro-Star International Co. Ltd.		324,000		753,992
Nien Made Enterprise Co. Ltd.		97,000		904,730
Pegatron Corp.		402,000		1,190,059
Phison Electronics Corp.		21,000		188,536
Pou Chen Corp.		901,000		1,246,988
Powertech Technology, Inc.		550,000		1,600,533
Realtek Semiconductor Corp.		473,000		1,691,226
SinoPac Financial Holdings Co. Ltd.		433,683		135,351
Taishin Financial Holding Co. Ltd.		331,025		137,975
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		289,636		9,511,646
Uni-President Enterprises Corp.		513,000		961,744
United Microelectronics Corp.		199,000		79,820
Wistron Corp.		985,402		902,911
WPG Holdings Ltd.		129,000		161,982
				34,924,330
Thailand - 2.6%
Charoen Pokphand Foods PCL, NVDR		4,318,200		3,487,632
Home Product Center PCL, NVDR		311,900		87,575
PTT Exploration & Production PCL, NVDR		55,800		151,035
PTT Global Chemical PCL, NVDR		296,500		632,000
PTT PCL, NVDR		87,400		984,291
Robinson Department Store PCL, NVDR		102,700		191,198
Thai Oil PCL, NVDR		563,500		1,238,233
Thai Union Group PCL, NVDR		1,159,904		722,511
				7,494,475
Turkey - 1.5%
Akbank TAS		65,967		154,880
Arcelik A/S		320,941		2,002,204
KOC Holding A/S		108,534		458,487
Turkiye Garanti Bankasi A/S		77,239		188,356
Turkiye Is Bankasi, Class C		323,064		589,611
Turkiye Sise ve Cam Fabrikalari A/S		465,998		534,903
Turkiye Vakiflar Bankasi TAO, Class D		308,945		455,842
				4,384,283
United States - 0.2%
Yum! China Holdings, Inc. (1)*		25,244		686,637
TOTAL COMMON STOCKS (cost $234,947,270)				274,093,437

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

AQR Funds Semi-Annual Report March 2017

21

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENT - 3.5%
Investment Company - 3.5%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $10,001,229) (c)		10,001,229	$	10,001,229
SECURITIES LENDING COLLATERAL - 0.7%
Investment Company - 0.7%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $1,937,942) (c)(d)		1,937,942		1,937,942
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.1% (cost $246,886,441)				286,032,608
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% (e)			(426,787)
NET ASSETS - 100.0%			$	285,605,821

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	27,357,080			9.6	%
Consumer Staples		16,479,330			5.8
Energy		26,084,576			9.1
Financials		53,578,104			18.8
Health Care		6,138,146			2.1
Industrials		19,980,581			7.0
Information Technology		72,273,872			25.2
Materials		19,722,627			6.9
Real Estate		6,028,240			2.1
Telecommunication Services		20,540,797			7.2
Utilities		5,910,084			2.1
Short-Term Investment		10,001,229			3.5
Securities Lending Collateral		1,937,942			0.7
Total Investments In Securities At Value		286,032,608			100.1
Liabilities in Excess of Other Assets (e)		(426,787	)		(0.1	)
Net Assets	$	285,605,821			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $1,820,029.

(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 3/31/2017 amounted to $1,605,655, which represents approximately 0.56% of net assets of the fund.

(c) Represents 7-day effective yield as of 3/31/2017.

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

(e) Includes appreciation/(depreciation) on futures contracts.

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

(1) Level 1 security (See Note 4).

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

LSE - London Stock Exchange

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint Stock Company

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

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

AQR Funds Semi-Annual Report March 2017

22

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
145	BARC	E-Mini MSCI Emerging Markets Index Futures		06/2017		$6,841,333		$6,970,150		$128,817

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$110,305		$110,305

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

AQR Funds Semi-Annual Report March 2017

23

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.3%
Aerospace & Defense - 4.7%
Boeing Co. (The)		8,003	$	1,415,411
BWX Technologies, Inc.		1,495		71,162
General Dynamics Corp.		2,116		396,115
Huntington Ingalls Industries, Inc.		10,686		2,139,765
L3 Technologies, Inc.		4,082		674,714
Northrop Grumman Corp.		3,569		848,851
Raytheon Co.		11,163		1,702,357
Spirit AeroSystems Holdings, Inc., Class A		24,839		1,438,675
				8,687,050
Air Freight & Logistics - 0.2%
FedEx Corp.		1,571		306,581
Airlines - 3.1%
Alaska Air Group, Inc.		10,552		973,105
Copa Holdings SA, Class A (Panama)		1,224		137,394
Delta Air Lines, Inc.		39,903		1,833,942
JetBlue Airways Corp. *		19,986		411,912
Southwest Airlines Co.		8,666		465,884
United Continental Holdings, Inc. *		28,559		2,017,408
				5,839,645
Auto Components - 0.7%
Goodyear Tire & Rubber Co. (The)		4,810		173,160
Lear Corp.		7,667		1,085,494
				1,258,654
Automobiles - 0.5%
General Motors Co.		18,491		653,842
Thor Industries, Inc.		2,901		278,873
				932,715
Banks - 9.2%
Bank of America Corp.		58,103		1,370,650
Bank of Hawaii Corp.		636		52,381
BB&T Corp.		8,735		390,455
Citigroup, Inc.		21,870		1,308,263
Commerce Bancshares, Inc.		1,108		62,225
Cullen/Frost Bankers, Inc.		2,339		208,101
East West Bancorp, Inc.		8,249		425,731
Fifth Third Bancorp		52,798		1,341,069
JPMorgan Chase & Co.		43,114		3,787,134
M&T Bank Corp.		4,221		653,115
PNC Financial Services Group, Inc. (The)		9,463		1,137,831
Popular, Inc.		10,989		447,582
Regions Financial Corp.		54,727		795,183
SunTrust Banks, Inc.		27,947		1,545,469
US Bancorp		27,273		1,404,560
Wells Fargo & Co.		40,767		2,269,091
				17,198,840
Beverages - 0.9%
Constellation Brands, Inc., Class A		5,091		825,098
Dr Pepper Snapple Group, Inc.		2,860		280,051
Molson Coors Brewing Co., Class B		1,756		168,067
PepsiCo, Inc.		3,971		444,196
				1,717,412

INVESTMENTS	SHARES		VALUE
Biotechnology - 1.3%
Amgen, Inc.		2,059	$	337,820
Biogen, Inc. *		1,737		474,931
Bioverativ, Inc. *		803		43,731
Celgene Corp. *		432		53,754
Gilead Sciences, Inc.		2,364		160,563
United Therapeutics Corp. *		10,563		1,430,019
				2,500,818
Building Products - 0.9%
AO Smith Corp.		9,339		477,783
Lennox International, Inc.		479		80,137
Owens Corning		17,377		1,066,426
				1,624,346
Capital Markets - 1.5%
Bank of New York Mellon Corp. (The)		15,746		743,684
BlackRock, Inc.		230		88,207
Federated Investors, Inc., Class B		3,754		98,880
Goldman Sachs Group, Inc. (The)		2,394		549,950
Morgan Stanley		8,448		361,912
S&P Global, Inc.		1,350		176,499
State Street Corp.		9,798		780,019
				2,799,151
Chemicals - 2.2%
Cabot Corp.		8,661		518,881
Dow Chemical Co. (The)		12,625		802,192
EI du Pont de Nemours & Co.		6,988		561,346
Huntsman Corp.		54,400		1,334,976
LyondellBasell Industries NV, Class A		6,070		553,523
Monsanto Co.		2,354		266,473
Sherwin-Williams Co. (The)		266		82,511
				4,119,902
Commercial Services & Supplies - 0.8%
Cintas Corp.		6,760		855,410
Republic Services, Inc.		1,912		120,093
Waste Management, Inc.		7,196		524,732
				1,500,235
Communications Equipment - 1.3%
Brocade Communications Systems, Inc.		2,783		34,732
Cisco Systems, Inc.		56,610		1,913,418
CommScope Holding Co., Inc. *		6,239		260,229
F5 Networks, Inc. *		1,848		263,469
				2,471,848
Construction & Engineering - 0.1%
Jacobs Engineering Group, Inc.		2,578		142,512
Consumer Finance - 0.8%
Capital One Financial Corp.		5,995		519,527
Discover Financial Services		12,621		863,150
Synchrony Financial		2,851		97,789
				1,480,466
Containers & Packaging - 0.3%
Avery Dennison Corp.		1,201		96,801
Packaging Corp. of America		3,952		362,082

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

AQR Funds Semi-Annual Report March 2017

24

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Containers & Packaging - 0.3% (continued)
Sonoco Products Co.		1,025	$	54,243
				513,126
Distributors - 0.0% (a)
LKQ Corp. *		2,069		60,560
Diversified Financial Services - 1.3%
Berkshire Hathaway, Inc., Class B *		14,480		2,413,526
Diversified Telecommunication Services - 0.7%
AT&T, Inc.		30,667		1,274,214
Electric Utilities - 1.5%
Edison International		2,059		163,917
Exelon Corp.		7,354		264,597
Hawaiian Electric Industries, Inc.		3,319		110,556
Pinnacle West Capital Corp.		18,665		1,556,287
Xcel Energy, Inc.		13,720		609,854
				2,705,211
Electronic Equipment, Instruments & Components - 1.4%
Arrow Electronics, Inc. *		9,682		710,756
Avnet, Inc.		3,796		173,705
CDW Corp.		3,288		189,750
Corning, Inc.		32,067		865,809
Dolby Laboratories, Inc., Class A		6,751		353,820
Keysight Technologies, Inc. *		8,411		303,973
				2,597,813
Energy Equipment & Services - 0.5%
Baker Hughes, Inc.		3,064		183,288
Rowan Cos. plc, Class A*		50,662		789,314
				972,602
Equity Real Estate Investment Trusts (REITs) - 3.1%
American Tower Corp.		3,811		463,189
AvalonBay Communities, Inc.		1,100		201,960
Boston Properties, Inc.		2,258		298,982
Crown Castle International Corp.		1,636		154,520
Digital Realty Trust, Inc.		5,753		612,062
Equinix, Inc.		908		363,536
Equity Residential		5,825		362,432
Essex Property Trust, Inc.		523		121,090
GGP, Inc.		3,378		78,302
HCP, Inc.		3,475		108,698
Host Hotels & Resorts, Inc.		12,303		229,574
Prologis, Inc.		6,831		354,392
Public Storage		2,231		488,388
Realty Income Corp.		5,417		322,474
Simon Property Group, Inc.		3,193		549,292
Ventas, Inc.		7,001		455,345
Vornado Realty Trust		2,869		287,789
Welltower, Inc.		2,648		187,531
Weyerhaeuser Co.		4,966		168,745
				5,808,301
Food & Staples Retailing - 1.3%
Costco Wholesale Corp.		783		131,301
Kroger Co. (The)		2,433		71,749

INVESTMENTS	SHARES		VALUE
Food & Staples Retailing - 1.3% (continued)
Walgreens Boots Alliance, Inc.		1,043	$	86,621
Wal-Mart Stores, Inc.		30,233		2,179,195
				2,468,866
Food Products - 2.5%
Archer-Daniels-Midland Co.		3,876		178,451
Bunge Ltd.		7,021		556,484
Ingredion, Inc.		10,323		1,243,199
JM Smucker Co. (The)		2,145		281,167
Kraft Heinz Co. (The)		1,333		121,050
Pilgrim’s Pride Corp. *(b)		31,630		711,833
Tyson Foods, Inc., Class A		25,694		1,585,577
				4,677,761
Health Care Equipment & Supplies - 0.8%
Baxter International, Inc.		17,159		889,866
Danaher Corp.		3,850		329,291
Hill-Rom Holdings, Inc.		787		55,562
IDEXX Laboratories, Inc. *		1,374		212,434
				1,487,153
Health Care Providers & Services - 3.8%
Aetna, Inc.		7,483		954,457
Anthem, Inc.		7,990		1,321,386
Centene Corp. *		8,287		590,532
Cigna Corp.		1,272		186,335
Express Scripts Holding Co. *		4,952		326,386
Humana, Inc.		746		153,780
UnitedHealth Group, Inc.		7,879		1,292,235
WellCare Health Plans, Inc. *		16,307		2,286,405
				7,111,516
Hotels, Restaurants & Leisure - 2.3%
Brinker International, Inc.		3,203		140,804
Carnival Corp.		21,082		1,241,941
Darden Restaurants, Inc.		16,878		1,412,182
International Game Technology plc		26,650		631,605
McDonald’s Corp.		1,933		250,536
Royal Caribbean Cruises Ltd.		5,900		578,849
Wyndham Worldwide Corp.		1,323		111,516
				4,367,433
Household Durables - 0.6%
DR Horton, Inc.		16,623		553,712
Garmin Ltd.		2,816		143,926
PulteGroup, Inc.		15,185		357,607
				1,055,245
Household Products - 1.4%
Procter & Gamble Co. (The)		24,603		2,210,579
Spectrum Brands Holdings, Inc.		2,265		314,858
				2,525,437
Industrial Conglomerates - 0.3%
3M Co.		1,376		263,270
Carlisle Cos., Inc.		2,434		259,002
				522,272

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

AQR Funds Semi-Annual Report March 2017

25

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Insurance - 5.3%
Aflac, Inc.		11,126	$	805,745
Allstate Corp. (The)		15,081		1,228,951
American Financial Group, Inc.		3,430		327,291
Assurant, Inc.		2,050		196,123
Assured Guaranty Ltd.		33,184		1,231,458
Chubb Ltd.		7,280		991,900
Everest Re Group Ltd.		4,757		1,112,234
First American Financial Corp.		2,154		84,609
Lincoln National Corp.		4,290		280,781
Prudential Financial, Inc.		9,289		990,951
Reinsurance Group of America, Inc.		8,227		1,044,664
Travelers Cos., Inc. (The)		12,093		1,457,690
Unum Group		2,416		113,286
				9,865,683
Internet & Direct Marketing Retail - 1.1%
Amazon.com, Inc. *		1,974		1,750,030
Priceline Group, Inc. (The) *		216		384,473
				2,134,503
Internet Software & Services - 4.4%
Akamai Technologies, Inc. *		12,164		726,191
Alphabet, Inc., Class A *		2,372		2,010,981
Alphabet, Inc., Class C*		2,182		1,810,100
eBay, Inc. *		37,455		1,257,364
Facebook, Inc., Class A *		15,855		2,252,203
IAC/InterActiveCorp. *		2,186		161,152
				8,217,991
IT Services - 1.8%
Accenture plc, Class A		7,680		920,678
Amdocs Ltd.		4,246		258,963
Booz Allen Hamilton Holding Corp.		9,813		347,282
Cognizant Technology Solutions Corp., Class A *		3,851		229,211
Computer Sciences Corp.		5,796		399,982
Fiserv, Inc. *		889		102,511
International Business Machines Corp.		5,904		1,028,123
Leidos Holdings, Inc.		1,612		82,438
				3,369,188
Leisure Products - 0.1%
Brunswick Corp.		4,436		271,483
Life Sciences Tools & Services - 0.1%
Bruker Corp.		3,513		81,958
Charles River Laboratories International, Inc. *		1,232		110,818
Mettler-Toledo International, Inc. *		173		82,852
				275,628
Machinery - 2.7%
Crane Co.		1,417		106,034
Cummins, Inc.		6,483		980,230
Illinois Tool Works, Inc.		3,631		480,999
Ingersoll-Rand plc		2,842		231,111
Oshkosh Corp.		30,348		2,081,569
Stanley Black & Decker, Inc.		4,216		560,180
Toro Co. (The)		2,534		158,274

INVESTMENTS	SHARES		VALUE
Machinery - 2.7% (continued)
Trinity Industries, Inc.		15,417	$	409,321
				5,007,718
Media - 1.4%
Cable One, Inc.		150		93,671
CBS Corp. (Non-Voting), Class B		5,003		347,008
Comcast Corp., Class A		28,332		1,065,000
John Wiley & Sons, Inc., Class A		1,055		56,759
Scripps Networks Interactive, Inc., Class A		4,181		327,665
TEGNA, Inc.		2,421		62,026
Time Warner, Inc.		5,444		531,933
Walt Disney Co. (The)		1,796		203,648
				2,687,710
Metals & Mining - 0.8%
Newmont Mining Corp.		2,949		97,199
Reliance Steel & Aluminum Co.		3,695		295,674
Steel Dynamics, Inc.		32,697		1,136,548
				1,529,421
Multiline Retail - 0.2%
Kohl’s Corp.		6,989		278,232
Multi-Utilities - 1.6%
Ameren Corp.		16,375		893,911
Consolidated Edison, Inc.		12,500		970,750
DTE Energy Co.		4,353		444,485
Public Service Enterprise Group, Inc.		13,273		588,657
Vectren Corp.		1,193		69,922
				2,967,725
Oil, Gas & Consumable Fuels - 1.2%
Exxon Mobil Corp.		9,757		800,171
ONEOK, Inc.		3,420		189,605
Pioneer Natural Resources Co.		794		147,867
Valero Energy Corp.		14,992		993,820
World Fuel Services Corp.		1,472		53,360
				2,184,823
Personal Products - 0.1%
Nu Skin Enterprises, Inc., Class A		1,653		91,808
Pharmaceuticals - 2.7%
Johnson & Johnson		20,901		2,603,220
Merck & Co., Inc.		19,697		1,251,547
Pfizer, Inc.		33,338		1,140,493
				4,995,260
Professional Services - 0.1%
ManpowerGroup, Inc.		1,650		169,240
Real Estate Management & Development - 0.1%
CBRE Group, Inc., Class A *		4,543		158,051
Jones Lang LaSalle, Inc.		772		86,039
				244,090
Road & Rail - 0.7%
CSX Corp.		5,373		250,113
Norfolk Southern Corp.		991		110,962
Old Dominion Freight Line, Inc.		2,389		204,427

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

AQR Funds Semi-Annual Report March 2017

26

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Road & Rail - 0.7% (continued)
Ryder System, Inc.		2,787	$	210,252
Union Pacific Corp.		5,674		600,990
				1,376,744
Semiconductors & Semiconductor Equipment - 5.3%
Applied Materials, Inc.		53,888		2,096,243
Intel Corp.		55,468		2,000,731
Lam Research Corp.		7,714		990,169
Micron Technology, Inc. *		32,237		931,649
NVIDIA Corp.		7,704		839,197
QUALCOMM, Inc.		8,300		475,922
Skyworks Solutions, Inc.		10,359		1,014,975
Teradyne, Inc.		3,157		98,183
Texas Instruments, Inc.		18,513		1,491,407
				9,938,476
Software - 4.6%
Activision Blizzard, Inc.		20,668		1,030,506
Adobe Systems, Inc. *		2,751		357,988
CA, Inc.		1,723		54,654
Cadence Design Systems, Inc. *		3,460		108,644
CDK Global, Inc.		3,986		259,130
Citrix Systems, Inc. *		11,843		987,588
Electronic Arts, Inc. *		7,501		671,489
Microsoft Corp.		53,079		3,495,783
Oracle Corp.		1,596		71,198
Synopsys, Inc. *		5,796		418,065
VMware, Inc., Class A *(b)		11,650		1,073,431
				8,528,476
Specialty Retail - 4.1%
Best Buy Co., Inc.		39,734		1,952,926
Burlington Stores, Inc. *		8,318		809,258
Dick’s Sporting Goods, Inc.		7,211		350,887
Foot Locker, Inc.		10,719		801,889
GameStop Corp., Class A		4,669		105,286
Home Depot, Inc. (The)		10,523		1,545,092
Lowe’s Cos., Inc.		4,099		336,979
Murphy USA, Inc. *		5,596		410,858
Penske Automotive Group, Inc.		1,162		54,393
Ross Stores, Inc.		4,649		306,230
TJX Cos., Inc. (The)		5,334		421,813
Ulta Beauty, Inc. *		1,800		513,414
Urban Outfitters, Inc. *		4,824		114,618
				7,723,643
Technology Hardware, Storage & Peripherals - 5.3%
Apple, Inc.		44,297		6,363,707
Hewlett Packard Enterprise Co.		71,915		1,704,386
HP, Inc.		66,441		1,187,965
NCR Corp. *		4,185		191,171
NetApp, Inc.		10,278		430,134
				9,877,363
Textiles, Apparel & Luxury Goods - 0.3%
Michael Kors Holdings Ltd. *		4,153		158,271
PVH Corp.		3,201		331,207
				489,478

INVESTMENTS	SHARES		VALUE
Thrifts & Mortgage Finance - 0.0% (a)
New York Community Bancorp, Inc.		5,186	$	72,448
Tobacco - 1.4%
Altria Group, Inc.		14,357		1,025,377
Philip Morris International, Inc.		11,529		1,301,624
Reynolds American, Inc.		4,087		257,563
				2,584,564
Trading Companies & Distributors - 0.9%
HD Supply Holdings, Inc. *		3,973		163,390
MSC Industrial Direct Co., Inc., Class A		8,680		891,957
United Rentals, Inc. *		4,287		536,089
				1,591,436
TOTAL COMMON STOCKS (cost $156,762,514)				179,614,342
EXCHANGE TRADED FUND - 2.3%
SPDR S&P 500 Fund Trust
(cost $3,578,840)		17,615		4,152,560
SHORT-TERM INVESTMENT - 1.3%
Investment Company - 1.3%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $2,463,478) (2)(c)		2,463,478		2,463,478
SECURITIES LENDING COLLATERAL - 0.9%
Investment Company - 0.9%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $1,726,352) (2)(c)(d)		1,726,352		1,726,352
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.8% (cost $164,531,184)				187,956,732
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.8)%				(1,446,119	)
NET ASSETS - 100.0%			$	186,510,613

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

AQR Funds Semi-Annual Report March 2017

27

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	21,259,656			11.4	%
Consumer Staples		14,065,848			7.5
Energy		3,157,425			1.7
Exchange Traded Fund		4,152,560			2.3
Financials		33,830,115			18.1
Health Care		16,370,374			8.8
Industrials		26,767,778			14.4
Information Technology		45,001,156			24.2
Materials		6,162,448			3.3
Real Estate		6,052,391			3.2
Telecommunication Services		1,274,214			0.7
Utilities		5,672,937			3.0
Short-Term Investment		2,463,478			1.3
Securities Lending Collateral		1,726,352			0.9
Total Investments In Securities At Value		187,956,732			100.8
Liabilities in Excess of Other Assets		(1,446,119	)		(0.8	)
Net Assets	$	186,510,613			100.0	%

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

* Non-income producing security.

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

(b) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $1,688,550.

(c) Represents 7-day effective yield as of 3/31/2017.

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

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

(2) Level 2 security (See Note 4).

Abbreviations

SPDR - Standard & Poor’s Depository Receipts

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

AQR Funds Semi-Annual Report March 2017

28

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 94.9%
Aerospace & Defense - 1.2%
AAR Corp.		522	$	17,555
Curtiss-Wright Corp.		441		40,246
DigitalGlobe, Inc. *		820		26,855
Ducommun, Inc. *		1,460		42,033
Engility Holdings, Inc. *		270		7,814
Esterline Technologies Corp. *		226		19,447
Moog, Inc., Class A *		297		20,003
National Presto Industries, Inc.		153		15,636
TASER International, Inc. *		481		10,962
Teledyne Technologies, Inc. *		160		20,234
Vectrus, Inc. *		4,026		89,981
				310,766
Air Freight & Logistics - 0.1%
Air Transport Services Group, Inc. *		739		11,861
Hub Group, Inc., Class A *		503		23,339
				35,200
Airlines - 0.2%
Allegiant Travel Co.		100		16,025
Hawaiian Holdings, Inc. *		353		16,397
SkyWest, Inc.		613		20,995
				53,417
Auto Components - 4.4%
American Axle & Manufacturing Holdings, Inc. *		10,057		188,871
Cooper Tire & Rubber Co.		3,151		139,747
Cooper-Standard Holdings, Inc. *		2,098		232,731
Dana, Inc.		2,459		47,483
Dorman Products, Inc. *		614		50,428
Horizon Global Corp. *		956		13,269
LCI Industries		1,498		149,501
Metaldyne Performance Group, Inc.		952		21,753
Modine Manufacturing Co. *		630		7,686
Spartan Motors, Inc.		6,420		51,360
Standard Motor Products, Inc.		409		20,098
Stoneridge, Inc. *		3,012		54,638
Superior Industries International, Inc.		1,081		27,403
Tenneco, Inc.		1,746		108,985
Tower International, Inc.		537		14,553
				1,128,506
Automobiles - 0.0% (a)
Winnebago Industries, Inc.		192		5,616
Banks - 9.9%
1st Source Corp.		596		27,982
Ameris Bancorp		415		19,132
Banc of California, Inc.		2,166		44,836
BancFirst Corp.		185		16,632
BancorpSouth, Inc.		1,587		48,007
Bank of the Ozarks, Inc.		376		19,556
Berkshire Hills Bancorp, Inc.		325		11,716
BNC Bancorp		350		12,268
Brookline Bancorp, Inc.		576		9,014
Cardinal Financial Corp.		302		9,042
Cathay General Bancorp		1,997		75,247

INVESTMENTS	SHARES		VALUE
Banks - 9.9% (continued)
CenterState Banks, Inc.		1,055	$	27,325
Chemical Financial Corp.		955		48,848
City Holding Co.		128		8,253
Columbia Banking System, Inc.		372		14,504
Community Bank System, Inc.		142		7,807
Community Trust Bancorp, Inc.		222		10,157
Customers Bancorp, Inc. *		1,062		33,485
Eagle Bancorp, Inc. *		369		22,029
Enterprise Financial Services Corp.		914		38,754
Fidelity Southern Corp.		1,092		24,439
First BanCorp *		10,483		59,229
First Busey Corp.		276		8,114
First Citizens BancShares, Inc., Class A		225		75,458
First Commonwealth Financial Corp.		899		11,921
First Financial Bancorp		875		24,019
First Financial Corp.		204		9,690
First Interstate BancSystem, Inc., Class A		1,725		68,396
First Merchants Corp.		1,410		55,441
First Midwest Bancorp, Inc.		830		19,654
Flushing Financial Corp.		496		13,328
FNB Corp.		733		10,900
Fulton Financial Corp.		3,838		68,508
Great Southern Bancorp, Inc.		426		21,513
Great Western Bancorp, Inc.		3,585		152,040
Hancock Holding Co.		2,292		104,401
Hanmi Financial Corp.		1,092		33,579
Heartland Financial USA, Inc.		1,496		74,725
Heritage Financial Corp.		437		10,816
Hilltop Holdings, Inc.		2,070		56,863
Home BancShares, Inc.		505		13,670
Hope Bancorp, Inc.		603		11,560
IBERIABANK Corp.		342		27,052
Independent Bank Corp./MA		122		7,930
Independent Bank Group, Inc.		131		8,423
International Bancshares Corp.		2,296		81,278
LegacyTexas Financial Group, Inc.		2,087		83,271
MB Financial, Inc.		1,204		51,555
NBT Bancorp, Inc.		821		30,434
OFG Bancorp		1,068		12,602
Old National Bancorp		1,544		26,788
Pacific Premier Bancorp, Inc. *		645		24,865
Preferred Bank		973		52,211
PrivateBancorp, Inc.		975		57,886
Prosperity Bancshares, Inc.		1,545		107,702
Renasant Corp.		315		12,502
Sandy Spring Bancorp, Inc.		415		17,011
ServisFirst Bancshares, Inc.		2,223		80,873
Simmons First National Corp., Class A		152		8,383
Stock Yards Bancorp, Inc.		480		19,512
Texas Capital Bancshares, Inc. *		1,260		105,147
Towne Bank		1,008		32,659
TriCo Bancshares		365		12,968
Trustmark Corp.		1,520		48,321
UMB Financial Corp.		392		29,522
Umpqua Holdings Corp.		2,470		43,818
Webster Financial Corp.		964		48,239
Wintrust Financial Corp.		1,674		115,707
				2,579,517

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

AQR Funds Semi-Annual Report March 2017

29

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Beverages - 0.7%
Craft Brew Alliance, Inc. *		620	$	8,277
MGP Ingredients, Inc.		1,098		59,544
National Beverage Corp.		1,279		108,114
				175,935
Biotechnology - 3.9%
Acorda Therapeutics, Inc. *		760		15,960
AMAG Pharmaceuticals, Inc. *		2,583		58,247
Array BioPharma, Inc. *		2,096		18,738
BioSpecifics Technologies Corp. *		658		36,058
Bluebird Bio, Inc. *		366		33,269
Blueprint Medicines Corp. *		182		7,278
Clovis Oncology, Inc. *		479		30,498
Eagle Pharmaceuticals, Inc. *		934		77,466
Emergent BioSolutions, Inc. *		2,078		60,345
Enanta Pharmaceuticals, Inc. *		440		13,552
Exact Sciences Corp. *		4,978		117,580
Exelixis, Inc. *		8,818		191,086
Five Prime Therapeutics, Inc. *		523		18,907
Ligand Pharmaceuticals, Inc. *		156		16,511
PDL BioPharma, Inc. *		17,360		39,407
Portola Pharmaceuticals, Inc. *		648		25,395
Prothena Corp. plc (Ireland)*		347		19,359
Radius Health, Inc. *		207		8,001
Repligen Corp. *		868		30,554
Retrophin, Inc. *		1,881		34,723
Sage Therapeutics, Inc. *		395		28,073
Spark Therapeutics, Inc. *		399		21,283
TESARO, Inc. *		258		39,699
Xencor, Inc. *		2,783		66,569
				1,008,558
Building Products - 2.5%
American Woodmark Corp. *		350		32,130
Apogee Enterprises, Inc.		995		59,312
Armstrong Flooring, Inc. *		397		7,313
Continental Building Products, Inc. *		281		6,884
Gibraltar Industries, Inc. *		2,034		83,801
Insteel Industries, Inc.		4,011		144,957
Patrick Industries, Inc. *		1,671		118,474
Ply Gem Holdings, Inc. *		1,640		32,308
Trex Co., Inc. *		508		35,250
Universal Forest Products, Inc.		1,216		119,825
				640,254
Capital Markets - 0.4%
Evercore Partners, Inc., Class A		219		17,060
INTL. FCStone, Inc. *		1,006		38,188
Janus Capital Group, Inc.		594		7,841
Piper Jaffray Cos.		149		9,513
Stifel Financial Corp. *		693		34,782
				107,384
Chemicals - 2.8%
American Vanguard Corp.		513		8,516
Chase Corp.		349		33,295
Chemours Co. (The)		6,216		239,316
Chemtura Corp. *		261		8,717
FutureFuel Corp.		844		11,968

INVESTMENTS	SHARES		VALUE
Chemicals - 2.8% (continued)
GCP Applied Technologies, Inc. *		451	$	14,725
Ingevity Corp. *		423		25,739
Innophos Holdings, Inc.		181		9,769
Innospec, Inc.		805		52,124
Kraton Corp. *		964		29,807
Minerals Technologies, Inc.		163		12,486
Rayonier Advanced Materials, Inc.		3,860		51,917
Stepan Co.		626		49,335
Trinseo SA		2,455		164,730
				712,444
Commercial Services & Supplies - 2.6%
ABM Industries, Inc.		206		8,982
ACCO Brands Corp. *		8,789		115,575
Brady Corp., Class A		339		13,102
Brink’s Co. (The)		197		10,530
CECO Environmental Corp.		1,921		20,190
Deluxe Corp.		973		70,221
Ennis, Inc.		4,170		70,890
Herman Miller, Inc.		1,351		42,624
HNI Corp.		1,392		64,157
Knoll, Inc.		946		22,524
Quad/Graphics, Inc.		4,554		114,943
Steelcase, Inc., Class A		1,633		27,353
Tetra Tech, Inc.		703		28,717
UniFirst Corp.		160		22,632
Viad Corp.		593		26,804
West Corp.		471		11,502
				670,746
Communications Equipment - 2.0%
Applied Optoelectronics, Inc. *		1,012		56,824
Ciena Corp. *		459		10,837
Extreme Networks, Inc. *		1,103		8,284
Finisar Corp. *		5,125		140,118
InterDigital, Inc.		571		49,277
Lumentum Holdings, Inc. *		772		41,186
NETGEAR, Inc. *		2,080		103,064
Oclaro, Inc. *		3,348		32,877
Plantronics, Inc.		480		25,973
Sonus Networks, Inc. *		1,366		9,002
Ubiquiti Networks, Inc. *		582		29,251
				506,693
Construction & Engineering - 2.3%
Argan, Inc.		3,323		219,817
Comfort Systems USA, Inc.		260		9,529
Dycom Industries, Inc. *		700		65,065
EMCOR Group, Inc.		1,284		80,828
MasTec, Inc. *		2,308		92,435
MYR Group, Inc. *		1,503		61,623
Tutor Perini Corp. *		2,355		74,889
				604,186
Construction Materials - 0.2%
Headwaters, Inc. *		874		20,522
Summit Materials, Inc., Class A *		1,350		33,359
US Concrete, Inc. *		110		7,100
				60,981

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

AQR Funds Semi-Annual Report March 2017

30

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Consumer Finance - 0.7%
FirstCash, Inc.		490	$	24,084
LendingClub Corp. *		3,386		18,589
Nelnet, Inc., Class A		1,043		45,746
Regional Management Corp. *		468		9,093
World Acceptance Corp. *		1,562		80,880
				178,392
Distributors - 0.0% (a)
Core-Mark Holding Co., Inc.		182		5,677
Diversified Consumer Services - 1.7%
American Public Education, Inc. *		3,342		76,532
Capella Education Co.		1,457		123,881
Career Education Corp. *		7,106		61,822
DeVry Education Group, Inc.		1,982		70,262
Grand Canyon Education, Inc. *		811		58,076
K12, Inc. *		3,132		59,978
				450,551
Diversified Telecommunication Services - 0.5%
FairPoint Communications, Inc. *		1,140		18,924
General Communication, Inc., Class A *		525		10,920
IDT Corp., Class B		4,884		62,124
Vonage Holdings Corp. *		7,102		44,885
				136,853
Electric Utilities - 0.5%
Portland General Electric Co.		347		15,414
Spark Energy, Inc., Class A (b)		3,655		116,777
				132,191
Electrical Equipment - 0.2%
Encore Wire Corp.		284		13,064
EnerSys		337		26,603
				39,667
Electronic Equipment, Instruments & Components - 4.1%
Anixter International, Inc. *		361		28,627
AVX Corp.		825		13,513
Belden, Inc.		399		27,607
Benchmark Electronics, Inc. *		479		15,232
Coherent, Inc. *		725		149,089
CTS Corp.		344		7,327
ePlus, Inc. *		367		49,563
II-VI, Inc. *		1,298		46,793
Insight Enterprises, Inc. *		755		31,023
Methode Electronics, Inc.		2,185		99,636
Plexus Corp. *		496		28,669
Rogers Corp. *		485		41,647
Sanmina Corp. *		5,265		213,759
SYNNEX Corp.		619		69,291
Tech Data Corp. *		1,062		99,722
TTM Technologies, Inc. *		7,244		116,846
Vishay Intertechnology, Inc.		1,424		23,425
				1,061,769
Energy Equipment & Services - 1.1%
Atwood Oceanics, Inc. *		8,528		81,272
Exterran Corp. *		1,857		58,403
Matrix Service Co. *		647		10,675

INVESTMENTS	SHARES		VALUE
Energy Equipment & Services - 1.1% (continued)
McDermott International, Inc. *		10,036	$	67,743
US Silica Holdings, Inc.		1,387		66,562
				284,655
Equity Real Estate Investment Trusts (REITs) - 6.1%
Acadia Realty Trust		671		20,170
Agree Realty Corp.		839		40,238
American Assets Trust, Inc.		543		22,719
CBL & Associates Properties, Inc.		2,461		23,478
Chesapeake Lodging Trust		556		13,322
Colony Starwood Homes		606		20,574
CoreSite Realty Corp.		531		47,817
Cousins Properties, Inc.		4,398		36,371
DiamondRock Hospitality Co.		2,689		29,982
DuPont Fabros Technology, Inc.		1,090		54,053
EastGroup Properties, Inc.		345		25,368
Education Realty Trust, Inc.		774		31,618
FelCor Lodging Trust, Inc.		3,127		23,484
First Industrial Realty Trust, Inc.		1,565		41,676
Four Corners Property Trust, Inc.		1,982		45,249
Franklin Street Properties Corp.		2,870		34,842
GEO Group, Inc. (The)		1,136		52,676
Global Net Lease, Inc.		501		12,064
Government Properties Income Trust		1,056		22,102
Gramercy Property Trust		1,606		42,238
Healthcare Realty Trust, Inc.		1,261		40,982
Hudson Pacific Properties, Inc.		1,276		44,201
Kite Realty Group Trust		646		13,889
LaSalle Hotel Properties		1,319		38,185
Lexington Realty Trust		3,470		34,631
LTC Properties, Inc.		343		16,430
Mack-Cali Realty Corp.		1,735		46,741
Medical Properties Trust, Inc.		3,498		45,089
Monmouth Real Estate Investment Corp.		2,604		37,159
Monogram Residential Trust, Inc.		2,128		21,216
National Health Investors, Inc.		344		24,985
Pebblebrook Hotel Trust		1,063		31,050
Pennsylvania REIT		778		11,779
Physicians Realty Trust		1,228		24,400
Potlatch Corp.		748		34,184
PS Business Parks, Inc.		158		18,132
QTS Realty Trust, Inc., Class A		597		29,104
Ramco-Gershenson Properties Trust		870		12,197
Retail Opportunity Investments Corp.		955		20,084
Rexford Industrial Realty, Inc.		1,175		26,461
RLJ Lodging Trust		1,433		33,690
Ryman Hospitality Properties, Inc.		689		42,601
Sabra Health Care REIT, Inc.		1,162		32,455
Select Income REIT		922		23,778
Seritage Growth Properties, Class A (b)		414		17,864
STAG Industrial, Inc.		1,114		27,872
Summit Hotel Properties, Inc.		2,091		33,414
Sunstone Hotel Investors, Inc.		2,588		39,674
Terreno Realty Corp.		1,043		29,204
Urban Edge Properties		942		24,775
Washington Prime Group, Inc.		2,142		18,614
Washington REIT		619		19,362
Xenia Hotels & Resorts, Inc.		1,514		25,844
				1,580,087

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

AQR Funds Semi-Annual Report March 2017

31

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Food & Staples Retailing - 0.4%
Ingles Markets, Inc., Class A		549	$	23,689
SpartanNash Co.		1,232		43,108
United Natural Foods, Inc. *		258		11,153
Weis Markets, Inc.		592		35,313
				113,263
Food Products - 2.0%
Darling Ingredients, Inc. *		4,621		67,097
Dean Foods Co.		1,196		23,513
Fresh Del Monte Produce, Inc.		1,020		60,415
John B Sanfilippo& Son, Inc.		1,439		105,321
Lancaster Colony Corp.		98		12,626
Omega Protein Corp.		6,886		138,064
Sanderson Farms, Inc.		971		100,829
				507,865
Gas Utilities - 1.1%
ONE Gas, Inc.		1,344		90,854
Southwest Gas Holdings, Inc.		1,570		130,169
WGL Holdings, Inc.		625		51,581
				272,604
Health Care Equipment & Supplies - 1.4%
Anika Therapeutics, Inc. *		870		37,793
Cardiovascular Systems, Inc. *		599		16,937
CryoLife, Inc. *		550		9,157
ICU Medical, Inc. *		129		19,698
Inogen, Inc. *		121		9,385
Integra LifeSciences Holdings Corp. *		352		14,830
iRadimed Corp. *		900		8,010
LeMaitre Vascular, Inc.		739		18,201
Masimo Corp. *		1,425		132,895
NuVasive, Inc. *		213		15,907
OraSure Technologies, Inc. *		3,475		44,932
TransEnterix, Inc. *(b)		7,887		9,543
Zeltiq Aesthetics, Inc. *		478		26,582
				363,870
Health Care Providers & Services - 1.4%
AMN Healthcare Services, Inc. *		2,792		113,355
BioTelemetry, Inc. *		2,185		63,256
Chemed Corp.		304		55,538
HealthEquity, Inc. *		606		25,725
Select Medical Holdings Corp. *		2,338		31,212
Tivity Health, Inc. *		1,596		46,443
Triple-S Management Corp., Class B *		1,702		29,904
				365,433
Health Care Technology - 0.1%
HMS Holdings Corp. *		1,855		37,712
Hotels, Restaurants & Leisure - 2.2%
Bloomin’ Brands, Inc.		654		12,904
Carrols Restaurant Group, Inc. *		724		10,245
Cheesecake Factory, Inc. (The)		1,108		70,203
Cracker Barrel Old Country Store, Inc. (b)		424		67,522
Dave & Buster’s Entertainment, Inc. *		1,148		70,131
Eldorado Resorts, Inc. *		6,718		127,138
Isle of Capri Casinos, Inc. *		867		22,854
Jack in the Box, Inc.		231		23,497

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 2.2% (continued)
Marcus Corp. (The)		479	$	15,376
Marriott Vacations Worldwide Corp.		509		50,864
Papa John’s International, Inc.		537		42,982
Ruth’s Hospitality Group, Inc.		1,008		20,210
Texas Roadhouse, Inc.		636		28,321
			562,247
Household Durables - 1.4%
Bassett Furniture Industries, Inc.		1,537		41,345
Ethan Allen Interiors, Inc.		452		13,854
Flexsteel Industries, Inc.		1,265		63,756
Hooker Furniture Corp.		358		11,116
iRobot Corp. *		682		45,108
KB Home		2,196		43,657
La-Z-Boy, Inc.		1,426		38,502
LGI Homes, Inc. *(b)		652		22,109
NACCO Industries, Inc., Class A		795		55,491
TopBuild Corp. *		651		30,597
ZAGG, Inc. *		1,092		7,862
				373,397
Household Products - 0.3%
Central Garden & Pet Co., Class A *		1,431		49,684
HRG Group, Inc. *		1,172		22,643
				72,327
Independent Power and Renewable Electricity Producers - 0.1%
Ormat Technologies, Inc.		296		16,896
Insurance - 4.7%
Ambac Financial Group, Inc. *		4,984		93,998
American Equity Investment Life Holding Co.		868		20,511
AMERISAFE, Inc.		595		38,615
Argo Group International Holdings Ltd.		1,281		86,852
CNO Financial Group, Inc.		4,914		100,737
Employers Holdings, Inc.		3,538		134,267
Enstar Group Ltd. *		107		20,469
FBL Financial Group, Inc., Class A		333		21,795
Federated National Holding Co.		616		10,737
Genworth Financial, Inc., Class A *		7,815		32,198
HCI Group, Inc.		446		20,329
Heritage Insurance Holdings, Inc.		2,544		32,487
Horace Mann Educators Corp.		851		34,934
Infinity Property & Casualty Corp.		97		9,264
James River Group Holdings Ltd.		518		22,201
Maiden Holdings Ltd.		1,955		27,370
National General Holdings Corp.		765		18,176
National Western Life Group, Inc., Class A		96		29,199
Navigators Group, Inc. (The)		846		45,938
Primerica, Inc.		2,032		167,030
Selective Insurance Group, Inc.		1,516		71,479
United Fire Group, Inc.		1,068		45,678
United Insurance Holdings Corp.		1,381		22,027
Universal Insurance Holdings, Inc.		4,985		122,133
				1,228,424
Internet & Direct Marketing Retail - 0.2%
1-800-Flowers.com, Inc., Class A *		1,397		14,249
Nutrisystem, Inc.		525		29,138

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

AQR Funds Semi-Annual Report March 2017

32

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Internet & Direct Marketing Retail - 0.2% (continued)
PetMed Express, Inc.		397	$	7,996
				51,383
Internet Software & Services - 1.3%
Blucora, Inc. *		491		8,494
Brightcove, Inc. *		923		8,215
Five9, Inc. *		447		7,358
j2 Global, Inc.		891		74,764
LogMeIn, Inc.		691		67,372
MeetMe, Inc. *		13,048		76,853
RetailMeNot, Inc. *		1,209		9,793
Shutterstock, Inc. *		324		13,397
Stamps.com, Inc. *		487		57,636
				323,882
IT Services - 2.1%
CACI International, Inc., Class A *		97		11,378
Cardtronics plc, Class A *		311		14,539
Convergys Corp.		2,615		55,307
CSG Systems International, Inc.		1,488		56,261
ExlService Holdings, Inc. *		165		7,815
Hackett Group, Inc. (The)		3,816		74,374
NeuStar, Inc., Class A *		4,409		146,158
Science Applications International Corp.		1,044		77,674
Sykes Enterprises, Inc. *		2,747		80,762
TeleTech Holdings, Inc.		272		8,051
				532,319
Leisure Products - 1.0%
American Outdoor Brands Corp. *(b)		5,705		113,016
JAKKS Pacific, Inc. *		1,406		7,733
Johnson Outdoors, Inc., Class A		2,942		107,383
MCBC Holdings, Inc.		1,503		24,304
Nautilus, Inc. *		604		11,023
				263,459
Life Sciences Tools & Services - 0.6%
Cambrex Corp. *		2,234		122,982
INC Research Holdings, Inc., Class A *		161		7,382
PRA Health Sciences, Inc. *		244		15,916
				146,280
Machinery - 4.0%
Alamo Group, Inc.		698		53,181
Altra Industrial Motion Corp.		302		11,763
American Railcar Industries, Inc.		235		9,658
Astec Industries, Inc.		907		55,776
Barnes Group, Inc.		736		37,786
Douglas Dynamics, Inc.		481		14,743
Energy Recovery, Inc. *		4,325		35,984
Federal Signal Corp.		721		9,957
FreightCar America, Inc.		773		9,686
Global Brass & Copper Holdings, Inc.		1,620		55,728
Greenbrier Cos., Inc. (The)		2,523		108,741
Hillenbrand, Inc.		227		8,138
John Bean Technologies Corp.		342		30,079
Joy Global, Inc.		988		27,911
Kadant, Inc.		399		23,681
Lydall, Inc. *		909		48,722

INVESTMENTS	SHARES		VALUE
Machinery - 4.0% (continued)
Meritor, Inc. *		7,077	$	121,229
Mueller Industries, Inc.		520		17,800
SPX Corp. *		702		17,023
Standex International Corp.		229		22,934
Supreme Industries, Inc., Class A		9,014		182,624
Wabash National Corp.		5,941		122,919
				1,026,063
Marine - 0.0% (a)
Matson, Inc.		320		10,163
Media - 0.6%
Gannett Co., Inc.		2,496		20,916
Gray Television, Inc. *		595		8,628
Meredith Corp.		1,258		81,267
MSG Networks, Inc., Class A *		535		12,492
Scholastic Corp.		684		29,118
Sinclair Broadcast Group, Inc., Class A		346		14,013
				166,434
Metals & Mining - 2.5%
AK Steel Holding Corp. *		7,457		53,616
Cliffs Natural Resources, Inc. *		22,634		185,825
Coeur Mining, Inc. *		1,480		11,959
Commercial Metals Co.		4,249		81,284
Hecla Mining Co.		3,653		19,324
Olympic Steel, Inc.		1,327		24,629
Ryerson Holding Corp. *		5,923		74,630
Stillwater Mining Co. *		1,371		23,677
SunCoke Energy, Inc. *		5,943		53,249
Worthington Industries, Inc.		2,457		110,786
				638,979
Mortgage Real Estate Investment Trusts (REITs) - 1.3%
Apollo Commercial Real Estate Finance, Inc.		1,429		26,879
ARMOUR Residential REIT, Inc.		543		12,332
Capstead Mortgage Corp.		4,188		44,142
CYS Investments, Inc.		4,773		37,945
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		990		19,998
Invesco Mortgage Capital, Inc.		3,132		48,295
New Residential Investment Corp.		4,533		76,970
PennyMac Mortgage Investment Trust		2,166		38,447
Redwood Trust, Inc.		2,616		43,452
				348,460
Multi-Utilities - 0.0% (a)
Avista Corp.		262		10,231
Oil, Gas & Consumable Fuels - 0.8%
Callon Petroleum Co. *		3,170		41,717
Jones Energy, Inc., Class A *		4,706		12,001
Oasis Petroleum, Inc. *		564		8,043
Renewable Energy Group, Inc. *		1,128		11,788
REX American Resources Corp. *		899		81,350
Scorpio Tankers, Inc. (Monaco)		3,881		17,232
Western Refining, Inc.		899		31,528
Westmoreland Coal Co. *		825		11,979
				215,638

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

AQR Funds Semi-Annual Report March 2017

33

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Paper & Forest Products - 0.4%
Clearwater Paper Corp. *		200	$	11,200
Louisiana-Pacific Corp. *		2,023		50,211
Neenah Paper, Inc.		279		20,841
PH Glatfelter Co.		921		20,023
Schweitzer-Mauduit International, Inc.		217		8,988
				111,263
Personal Products - 0.6%
Medifast, Inc.		218		9,673
Natural Health Trends Corp.		2,789		80,602
Revlon, Inc., Class A *		353		9,831
USANA Health Sciences, Inc. *		1,079		62,150
				162,256
Pharmaceuticals - 1.3%
Aerie Pharmaceuticals, Inc. *		416		18,866
Amphastar Pharmaceuticals, Inc. *		1,514		21,953
Corcept Therapeutics, Inc. *		7,978		87,439
Heska Corp. *		547		57,424
Lannett Co., Inc. *		1,512		33,793
Phibro Animal Health Corp., Class A		288		8,093
Prestige Brands Holdings, Inc. *		195		10,834
SciClone Pharmaceuticals, Inc. *		5,350		52,430
Sucampo Pharmaceuticals, Inc., Class A *		1,338		14,718
Supernus Pharmaceuticals, Inc. *		1,375		43,037
				348,587
Professional Services - 1.6%
Barrett Business Services, Inc.		1,162		63,469
CBIZ, Inc. *		559		7,575
CEB, Inc.		359		28,217
FTI Consulting, Inc. *		261		10,745
ICF International, Inc. *		362		14,951
Insperity, Inc.		2,078		184,215
Kelly Services, Inc., Class A		1,182		25,839
Kforce, Inc.		323		7,671
Mistras Group, Inc. *		543		11,609
Navigant Consulting, Inc. *		492		11,247
On Assignment, Inc. *		248		12,035
RPX Corp. *		745		8,940
TrueBlue, Inc. *		1,372		37,524
				424,037
Real Estate Management & Development - 0.1%
Alexander & Baldwin, Inc.		361		16,072
Road & Rail - 0.8%
Marten Transport Ltd.		612		14,351
Saia, Inc. *		2,991		132,501
Swift Transportation Co. *		2,336		47,982
YRC Worldwide, Inc. *		724		7,971
				202,805
Semiconductors & Semiconductor Equipment - 5.0%
Advanced Energy Industries, Inc. *		2,873		196,973
Advanced Micro Devices, Inc. *		10,678		155,365
Alpha & Omega Semiconductor Ltd. *		4,357		74,897
Ambarella, Inc. *		979		53,561
Amkor Technology, Inc. *		9,915		114,915

INVESTMENTS	SHARES		VALUE
Semiconductors & Semiconductor Equipment - 5.0% (continued)
Cabot Microelectronics Corp.		493	$	37,769
Cirrus Logic, Inc. *		3,368		204,404
Entegris, Inc. *		1,289		30,162
GigPeak, Inc. (2)*		2,818		8,679
Inphi Corp. *		165		8,055
Integrated Device Technology, Inc. *		2,021		47,837
MaxLinear, Inc., Class A *		3,433		96,296
Microsemi Corp. *		1,020		52,560
MKS Instruments, Inc.		1,140		78,375
Monolithic Power Systems, Inc.		99		9,118
Nanometrics, Inc. *		280		8,529
Photronics, Inc. *		3,528		37,750
Power Integrations, Inc.		321		21,106
Rudolph Technologies, Inc. *		1,473		32,995
Silicon Laboratories, Inc. *		138		10,150
Synaptics, Inc. *		262		12,972
XPERI Corp.		211		7,163
				1,299,631
Software - 1.2%
Aspen Technology, Inc. *		180		10,606
Barracuda Networks, Inc. *		948		21,908
Ebix, Inc.(b)		1,465		89,731
Ellie Mae, Inc. *		531		53,243
Fair Isaac Corp.		251		32,367
Gigamon, Inc. *		662		23,534
Mitek Systems, Inc. *		4,585		30,490
Paycom Software, Inc. *		251		14,435
Take-Two Interactive Software, Inc. *		455		26,968
VASCO Data Security International, Inc. *		623		8,411
				311,693
Specialty Retail - 1.2%
Aaron’s, Inc.		864		25,695
American Eagle Outfitters, Inc.		2,416		33,897
Big 5 Sporting Goods Corp.		2,179		32,903
Build-A-Bear Workshop, Inc. *		1,067		9,443
Caleres, Inc.		1,250		33,025
Children’s Place, Inc. (The)		683		81,994
Citi Trends, Inc.		505		8,585
Francesca’s Holdings Corp. *		694		10,653
Group 1 Automotive, Inc.		93		6,889
Haverty Furniture Cos., Inc.		511		12,443
Kirkland’s, Inc. *		800		9,920
Office Depot, Inc.		8,294		38,692
Shoe Carnival, Inc.		360		8,845
				312,984
Technology Hardware, Storage & Peripherals - 0.0% (a)
Super Micro Computer, Inc. *		293		7,428
Textiles, Apparel & Luxury Goods - 0.4%
Movado Group, Inc.		2,832		70,658
Perry Ellis International, Inc. *		324		6,960
Vera Bradley, Inc. *		1,506		14,021
				91,639
Thrifts & Mortgage Finance - 3.4%
Astoria Financial Corp.		1,178		24,161
BofI Holding, Inc. *		3,606		94,225

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

AQR Funds Semi-Annual Report March 2017

34

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Thrifts & Mortgage Finance - 3.4% (continued)
Dime Community Bancshares, Inc.		673	$	13,662
Essent Group Ltd. *		744		26,910
EverBank Financial Corp.		878		17,103
Federal Agricultural Mortgage Corp., Class C		812		46,747
First Defiance Financial Corp.		718		35,548
Flagstar Bancorp, Inc. *		679		19,141
HomeStreet, Inc. *		1,732		48,409
Meta Financial Group, Inc.		1,068		94,518
MGIC Investment Corp. *		7,088		71,801
Oritani Financial Corp.		488		8,296
Provident Financial Services, Inc.		940		24,299
Radian Group, Inc.		9,929		178,325
United Financial Bancorp, Inc.		473		8,046
Walker & Dunlop, Inc. *		2,323		96,846
Washington Federal, Inc.		1,812		59,977
WSFS Financial Corp.		309		14,199
				882,213
Tobacco - 0.1%
Universal Corp.		169		11,957
Vector Group Ltd.		773		16,078
				28,035
Trading Companies & Distributors - 0.8%
Applied Industrial Technologies, Inc.		193		11,937
GATX Corp.(b)		1,847		112,593
H&E Equipment Services, Inc.		2,286		56,053
Rush Enterprises, Inc., Class A*		591		19,550
				200,133
Water Utilities - 0.3%
SJW Group		1,447		69,774
Wireless Telecommunication Services - 0.1%
NII Holdings, Inc. *		2,598		3,377
Shenandoah Telecommunications Co.		760		21,318
				24,695
TOTAL COMMON STOCKS (cost $20,584,983)				24,610,619
EXCHANGE TRADED FUND - 3.0%
iShares Russell 2000 Fund (cost $703,217)		5,743		789,548
RIGHT - 0.0% (a)	NO. OF RIGHTS
Media - 0.0% (a)
Media General, Inc., CVR (cost $221) (3)*(c)		744		1,193
SHORT-TERM INVESTMENT - 2.6%	SHARES
Investment Company - 2.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $662,723)(2)(d)		662,723		662,723

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 1.7%
Investment Company - 1.6%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund
Portfolio, Institutional Shares, 0.58% (2)(d)(e)		427,756	$	427,756
U.S. Treasury Obligation - 0.1%
Investments in a Pooled Account through Securities Lending Program with Citibank NA U.S. Treasury Note, 1.50%, 11/30/2019 (2)(e)		20,000		20,114
TOTAL SECURITIES LENDING COLLATERAL (cost $447,870)				447,870
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 102.2% (cost $22,399,014)				26,511,953
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.2)%			(564,739)
NET ASSETS - 100.0%			$	25,947,214

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	3,413,084			13.2	%
Consumer Staples		1,059,682			4.1
Energy		500,293			1.9
Exchange Traded Fund		789,548			3.0
Financials		5,324,390			20.4
Health Care		2,270,441			8.8
Industrials		4,217,437			16.3
Information Technology		4,043,415			15.6
Materials		1,523,666			5.9
Real Estate		1,596,159			6.2
Telecommunication Services		161,549			0.6
Utilities		501,696			1.9
Short-Term Investment		662,723			2.6
Securities Lending Collateral		447,870			1.7
Total Investments In Securities At Value		26,511,953			102.2
Liabilities in Excess of Other Assets		(564,739	)		(2.2	)
Net Assets	$	25,947,214			100.0	%

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

* Non-income producing security.

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

(b) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $435,116.

(c) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $1,193, which represents approximately 0.00% of net assets of the fund.

(d) Represents 7-day effective yield as of 3/31/2017.

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

AQR Funds Semi-Annual Report March 2017

35

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

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

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

(2) Level 2 security (See Note 4).

(3) Level 3 security (See Note 4).

Abbreviations

CVR - Contingent Value Rights

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

AQR Funds Semi-Annual Report March 2017

36

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 95.5%
Australia - 6.0%
Amcor Ltd.		10,220	$	117,554
Aristocrat Leisure Ltd.		66,517		913,047
Australia & New Zealand Banking Group Ltd.		16,588		402,768
BHP Billiton Ltd.		31,889		579,939
Caltex Australia Ltd.		16,899		380,762
CIMIC Group Ltd.		39,681		1,088,794
Cochlear Ltd.		3,464		357,840
Commonwealth Bank of Australia		5,831		382,368
CSL Ltd.		4,834		462,835
Dexus Property Group, REIT		33,527		250,232
Fortescue Metals Group Ltd.		338,242		1,611,102
Goodman Group, REIT		30,886		182,610
GPT Group (The), REIT		19,876		78,225
Harvey Norman Holdings Ltd.		25,100		86,816
Macquarie Group Ltd.		5,407		372,524
National Australia Bank Ltd.		5,779		147,147
Scentre Group, REIT		71,981		235,978
South32 Ltd.		383,627		808,748
Tabcorp Holdings Ltd.		13,960		50,659
Treasury Wine Estates Ltd.		62,484		583,702
Westpac Banking Corp.		8,476		226,583
Woodside Petroleum Ltd.		5,055		123,839
				9,444,072
Belgium - 1.4%
Ageas		17,982		702,210
Colruyt SA		1,555		76,366
Groupe Bruxelles Lambert SA		1,467		133,135
KBC Group NV		10,331		684,873
Umicore SA		11,103		632,306
				2,228,890
Canada - 8.0%
Agrium, Inc. (1)		1,305		124,548
Alimentation Couche-Tard, Inc., Class B (1)		7,864		355,280
Bank of Montreal (1)		8,976		670,441
Bank of Nova Scotia (The) (1)		20,419		1,194,570
Barrick Gold Corp. (1)		11,465		217,773
Brookfield Asset Management, Inc., Class A (1)		9,234		336,420
Canadian Imperial Bank of Commerce (1)		5,176		446,315
Canadian Tire Corp. Ltd., Class A (1)		2,858		339,517
CCL Industries, Inc., Class B (1)		491		107,124
CGI Group, Inc., Class A (1)*		17,658		846,086
Constellation Software, Inc. (1)		288		141,526
Dollarama, Inc. (1)		1,471		121,908
First Quantum Minerals Ltd. (1)		65,253		693,330
Great-West Lifeco, Inc. (1)		2,283		63,262
Open Text Corp. (1)		40,606		1,380,149
Royal Bank of Canada (1)		20,862		1,519,960
Saputo, Inc. (1)		30,667		1,058,246
Seven Generations Energy Ltd., Class A (1)*		9,156		167,305
Teck Resources Ltd., Class B (1)		59,567		1,302,559
Toronto-Dominion Bank (The) (1)		27,150		1,359,899
				12,446,218

INVESTMENTS	SHARES		VALUE
China - 0.5%
BOC Hong Kong Holdings Ltd.		118,000	$	482,304
Yangzijiang Shipbuilding Holdings Ltd.		382,500		308,810
				791,114
Denmark - 1.5%
Danske Bank A/S		3,172		108,152
DSV A/S		8,024		415,026
Genmab A/S *		618		118,922
ISS A/S		8,807		332,947
Novo Nordisk A/S, Class B		11,902		408,702
Pandora A/S		1,550		171,551
Vestas Wind Systems A/S		10,427		848,135
				2,403,435
Finland - 1.4%
Neste OYJ		41,161		1,609,512
Nokia OYJ		42,143		226,512
Orion OYJ, Class B		4,527		236,148
UPM-Kymmene OYJ		2,816		66,117
				2,138,289
France - 8.2%
Airbus SE		1,221		93,116
Atos SE		10,300		1,272,880
AXA SA		19,281		498,140
BNP Paribas SA		19,306		1,284,700
Cie Generale des Etablissements Michelin		6,513		791,446
CNP Assurances		79,558		1,617,847
Gecina SA, REIT		483		65,489
L’Oreal SA		4,096		787,815
Orange SA		35,342		548,705
Peugeot SA		64,664		1,299,585
Publicis Groupe SA		2,866		200,105
Renault SA		3,388		294,323
Sanofi		6,709		606,462
Societe Generale SA		13,234		670,505
Sodexo SA		5,427		637,653
Thales SA		8,824		852,364
TOTAL SA		16,452		831,869
Unibail-Rodamco SE, REIT		333		77,646
Valeo SA		6,156		409,508
				12,840,158
Germany - 9.0%
adidas AG		6,955		1,323,064
Allianz SE (Registered)		6,822		1,265,115
BASF SE		3,159		312,784
Bayer AG (Registered)		3,683		424,331
Covestro AG (a)		21,430		1,650,940
Deutsche Lufthansa AG (Registered)		89,841		1,457,478
Deutsche Post AG (Registered)		7,039		240,899
Fresenius SE & Co. KGaA		2,780		223,390
Hannover Rueck SE		3,453		397,895
HeidelbergCement AG		4,124		386,205
Henkel AG & Co. KGaA (Preference)		1,289		165,218
HOCHTIEF AG		489		80,811
Infineon Technologies AG		118,459		2,424,540
Linde AG		1,919		319,746
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		4,107		803,955

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

AQR Funds Semi-Annual Report March 2017

37

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Germany - 9.0% (continued)
SAP SE		6,543	$	641,921
Siemens AG (Registered)		13,402		1,835,702
Vonovia SE		3,353		118,132
				14,072,126
Hong Kong - 3.3%
Cheung Kong Property Holdings Ltd.		10,000		67,458
CK Hutchison Holdings Ltd.		9,500		116,963
CLP Holdings Ltd.		91,000		952,632
Galaxy Entertainment Group Ltd.		9,000		49,294
Hong Kong Exchanges & Clearing Ltd.		8,300		209,442
Link REIT		13,000		91,114
NWS Holdings Ltd.		50,000		91,287
PCCW Ltd.		30,000		17,698
SJM Holdings Ltd.		54,000		43,951
Sun Hung Kai Properties Ltd.		35,000		514,509
WH Group Ltd. (a)		2,290,000		1,974,715
Wheelock & Co. Ltd.		28,000		221,488
Yue Yuen Industrial Holdings Ltd.		191,000		750,563
				5,101,114
Italy - 1.4%
Enel SpA		160,694		756,140
Ferrari NV		2,104		156,814
Leonardo SpA		34,580		490,362
Poste Italiane SpA (a)		54,009		359,745
Prysmian SpA		15,964		422,047
				2,185,108
Japan - 20.7%
Acom Co. Ltd. *		16,500		66,045
AEON Financial Service Co. Ltd.		800		15,106
Amada Holdings Co. Ltd.		73,700		843,644
Asahi Kasei Corp.		72,000		699,583
Astellas Pharma, Inc.		25,700		338,955
Bandai Namco Holdings, Inc.		6,900		206,832
Brother Industries Ltd.		11,500		240,490
Chubu Electric Power Co., Inc.		5,000		67,165
Credit Saison Co. Ltd.		2,900		51,971
Dai-ichi Life Holdings, Inc.		9,400		168,254
Daiichi Sankyo Co. Ltd.		15,000		338,416
Daikin Industries Ltd.		2,400		242,012
Daiwa House Industry Co. Ltd.		4,400		126,473
DeNA Co. Ltd.		20,000		407,161
Fuji Electric Co. Ltd.		26,000		154,833
Fujitsu Ltd.		179,000		1,098,770
Hitachi Chemical Co. Ltd.		32,600		905,581
Hitachi High-Technologies Corp.		24,200		988,562
Honda Motor Co. Ltd.		5,400		163,021
Hoya Corp.		2,100		101,453
Idemitsu Kosan Co. Ltd.		31,200		1,086,049
Iida Group Holdings Co. Ltd.		1,100		16,927
ITOCHU Corp.		77,200		1,099,046
Japan Real Estate Investment Corp., REIT		9		47,776
Japan Tobacco, Inc.		7,900		257,126
JTEKT Corp.		13,900		216,241
KDDI Corp.		21,900		575,987
Komatsu Ltd.		9,300		243,597
Konami Holdings Corp.		28,800		1,223,265

INVESTMENTS	SHARES		VALUE
Japan - 20.7% (continued)
Kuraray Co. Ltd.		12,200	$	185,594
Kyocera Corp.		1,300		72,628
Lion Corp.		3,000		54,066
Mitsubishi Chemical Holdings Corp.		12,100		93,944
Mitsubishi Electric Corp.		106,000		1,527,280
Mitsubishi Estate Co. Ltd.		9,000		164,040
Mitsubishi Gas Chemical Co., Inc.		32,700		681,088
Mitsubishi Tanabe Pharma Corp.		17,900		373,735
Mitsubishi UFJ Financial Group, Inc.		123,200		776,057
Mitsui Fudosan Co. Ltd.		7,000		149,463
Mixi, Inc.		6,400		309,579
Mizuho Financial Group, Inc.		386,500		709,451
MS&AD Insurance Group Holdings, Inc.		5,300		169,285
Nippon Express Co. Ltd.		93,000		478,697
Nippon Telegraph & Telephone Corp.		48,200		2,060,710
Nomura Real Estate Holdings, Inc.		2,700		43,087
Nomura Real Estate Master Fund, Inc., REIT		65		101,095
NSK Ltd.		9,700		138,956
NTT DOCOMO, Inc.		10,400		242,863
ORIX Corp.		9,700		143,973
Otsuka Holdings Co. Ltd.		7,900		357,558
Sega Sammy Holdings, Inc.		7,000		94,150
Sekisui House Ltd.		4,400		72,551
Shin-Etsu Chemical Co. Ltd.		11,500		999,572
Shionogi & Co. Ltd.		10,400		538,383
SoftBank Group Corp.		10,800		765,884
Sompo Holdings, Inc.		13,300		488,621
Subaru Corp.		30,400		1,115,020
Sumitomo Corp.		25,200		339,970
Sumitomo Dainippon Pharma Co. Ltd.		46,600		771,108
Sumitomo Heavy Industries Ltd.		164,000		1,146,568
Sumitomo Mitsui Financial Group, Inc.		23,000		837,172
Suzuki Motor Corp.		27,000		1,121,411
T&D Holdings, Inc.		20,200		292,792
TDK Corp.		10,500		666,697
Tokyo Electron Ltd.		4,700		514,539
Toyo Seikan Group Holdings Ltd.		5,000		81,363
Toyota Motor Corp.		13,700		743,606
Yamaha Corp.		16,700		462,003
Yokogawa Electric Corp.		33,000		520,437
				32,395,337
Netherlands - 4.2%
Aegon NV		28,491		145,129
ASML Holding NV		411		54,537
ING Groep NV		38,548		582,240
Koninklijke Ahold Delhaize NV		61,072		1,305,098
Koninklijke Philips NV		6,106		196,151
NN Group NV		33,697		1,094,382
Randstad Holding NV		2,263		130,457
Royal Dutch Shell plc, Class A		16,851		444,163
Royal Dutch Shell plc, Class B		35,605		978,761
Wolters Kluwer NV		40,127		1,665,366
				6,596,284
Singapore - 0.5%
CapitaLand Commercial Trust, REIT		42,100		46,484
DBS Group Holdings Ltd.		21,000		290,890

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

AQR Funds Semi-Annual Report March 2017

38

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Singapore - 0.5% (continued)
Oversea-Chinese Banking Corp. Ltd.		24,900	$	172,956
SATS Ltd.		12,300		42,910
United Overseas Bank Ltd.		4,900		77,397
Wilmar International Ltd.		61,200		154,439
				785,076
South Africa - 0.6%
Investec plc		95,068		648,255
Mondi plc		13,262		320,428
				968,683
Spain - 3.4%
Aena SA (a)		12,640		1,997,870
Banco Santander SA		205,923		1,260,519
Endesa SA		12,688		297,782
Gas Natural SDG SA		3,717		81,305
Iberdrola SA		70,440		503,286
Industria de Diseno Textil SA		9,890		348,292
Mapfre SA		110,048		376,926
Repsol SA		30,113		466,538
				5,332,518
Sweden - 2.3%
Boliden AB		8,574		255,208
Hexagon AB, Class B		1,889		75,814
Husqvarna AB, Class B		8,075		70,799
Investor AB, Class B		2,740		115,209
Nordea Bank AB		50,825		579,854
Sandvik AB		20,824		311,047
Securitas AB, Class B		62,223		971,376
Skanska AB, Class B		16,306		383,768
Svenska Cellulosa AB SCA, Class B		4,374		140,958
Swedbank AB, Class A		4,320		99,958
Swedish Match AB		1,210		39,324
Telefonaktiebolaget LM Ericsson, Class B		21,784		145,438
Volvo AB, Class B		32,418		478,230
				3,666,983
Switzerland - 9.2%
ABB Ltd. (Registered)		21,087		493,552
Actelion Ltd. *		1,005		283,144
Adecco Group AG (Registered)		2,508		178,079
Baloise Holding AG (Registered)		3,966		544,977
Coca-Cola HBC AG *		14,323		369,764
Geberit AG (Registered)		885		381,356
Glencore plc *		127,804		501,446
Nestle SA (Registered)		20,202		1,550,539
Novartis AG (Registered)		16,893		1,254,433
Roche Holding AG		9,686		2,477,037
SGS SA (Registered)		366		780,539
Sika AG		35		209,920
STMicroelectronics NV		63,001		969,435
Swiss Life Holding AG (Registered)*		2,494		804,222
Swiss Re AG		15,507		1,392,778
Syngenta AG (Registered)		667		294,574
UBS Group AG (Registered) *		37,004		591,495
Zurich Insurance Group AG		4,975		1,327,632
				14,404,922

INVESTMENTS	SHARES		VALUE
United Kingdom - 13.5%
3i Group plc		6,980	$	65,536
Admiral Group plc		3,992		99,468
Anglo American plc *		4,704		71,872
Ashtead Group plc		15,140		313,387
Auto Trader Group plc (a)		77,829		381,974
BAE Systems plc		19,261		155,016
Barclays plc		114,735		323,872
Barratt Developments plc		152,801		1,046,691
Berkeley Group Holdings plc		17,167		690,277
BP plc		40,806		234,884
British American Tobacco plc		19,051		1,263,959
British Land Co. plc (The), REIT		9,564		73,108
BT Group plc		181,125		723,254
Burberry Group plc		3,113		67,181
Compass Group plc		42,854		809,092
Diageo plc		5,686		162,820
Direct Line Insurance Group plc		144,477		628,596
Dixons Carphone plc		14,084		56,095
Fiat Chrysler Automobiles NV		101,468		1,108,571
GlaxoSmithKline plc		8,398		174,619
Hammerson plc, REIT		10,122		72,376
HSBC Holdings plc		325,183		2,652,469
Imperial Brands plc		6,967		337,646
J Sainsbury plc		14,761		48,891
Kingfisher plc		79,044		323,416
Land Securities Group plc, REIT		4,025		53,457
Legal & General Group plc		126,595		391,994
Lloyds Banking Group plc		1,293,379		1,075,679
National Grid plc		53,255		675,662
Old Mutual plc		20,110		50,610
Persimmon plc		51,469		1,350,372
Prudential plc		37,850		799,517
Reckitt Benckiser Group plc		6,067		553,867
RELX plc		7,916		154,981
Rio Tinto Ltd.		3,006		138,794
Royal Mail plc		6,552		34,896
Segro plc, REIT		68,409		391,119
Sky plc		10,586		129,465
Standard Chartered plc *		24,171		231,194
Taylor Wimpey plc		186,916		452,109
Unilever plc		12,180		600,806
Vodafone Group plc		135,401		352,853
Wm Morrison Supermarkets plc		230,861		694,726
WPP plc		51,151		1,121,183
				21,138,354
United States - 0.4%
Shire plc		9,516		554,469
Thomson Reuters Corp. (1)		3,340		144,440
				698,909
TOTAL COMMON STOCKS (cost $134,330,432)				149,637,590

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

AQR Funds Semi-Annual Report March 2017

39

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENT - 3.5%
Investment Company - 3.5%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $5,439,049) (b)		5,439,049	$	5,439,049
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.0% (cost $139,769,481)				155,076,639
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% (c)			1,496,984
NET ASSETS - 100.0%			$	156,573,623

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	19,208,868		12.3	%
Consumer Staples		12,535,370		8.0
Energy		6,323,682		4.0
Financials		36,627,193		23.4
Health Care		10,401,939		6.6
Industrials		23,774,568		15.2
Information Technology		14,602,941		9.3
Materials		14,369,742		9.2
Real Estate		3,171,361		2.0
Telecommunication Services		5,287,954		3.4
Utilities		3,333,972		2.1
Short-Term Investment		5,439,049		3.5
Total Investments In Securities At Value		155,076,639		99.0
Other Assets in Excess of Liabilities (c)		1,496,984		1.0
Net Assets	$	156,573,623		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 3/31/2017 amounted to $6,365,244, which represents approximately 4.07% of net assets of the fund.

(b) Represents 7-day effective yield as of 3/31/2017.

(c) Includes appreciation/(depreciation) on futures contracts.

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

(1) Level 1 security (See Note 4).

Abbreviations

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
56	JPMS	E-Mini MSCI EAFE Index Futures		06/2017		$4,906,162		$4,989,600		$83,438

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$140,536		$140,536

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

AQR Funds Semi-Annual Report March 2017

40

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.0%
Brazil - 7.1%
Banco Bradesco SA, ADR (1)*		291,066	$	2,980,516
Banco do Brasil SA (1)*		49,100		528,704
Banco Santander Brasil SA, ADR (1)(a)		127,953		1,128,546
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (1)*		74,400		458,435
Braskem SA (Preference), Class A (1)		241,300		2,456,472
Centrais Eletricas Brasileiras SA (1)*		70,800		389,212
Centrais Eletricas Brasileiras SA (Preference), Class B (1)*		151,900		1,079,593
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)*		78,918		821,536
Cia Paranaense de Energia, ADR (1)*		24,646		254,100
Gerdau SA (Preference) (1)		58,300		202,987
Hypermarcas SA (1)		16,100		149,141
Itau Unibanco Holding SA, ADR (1)		207,744		2,507,470
Itausa - Investimentos Itau SA (Preference) (1)		452,300		1,379,756
JBS SA (1)		51,900		170,093
M Dias Branco SA (1)*		22,700		924,793
Petroleo Brasileiro SA (Preference) (1)*		402,600		1,873,725
Porto Seguro SA (1)*		12,100		111,314
Qualicorp SA (1)		140,700		892,577
Sul America SA (1)		91,385		487,488
TIM Participacoes SA, ADR (1)		112,154		1,792,221
Vale SA (Preference) (1)*		143,800		1,300,842
				21,889,521
Chile - 1.7%
Banco Santander Chile, ADR (1)		17,080		428,367
Cencosud SA (1)		700,767		2,153,461
Cia Cervecerias Unidas SA, ADR (1)		12,258		309,760
Embotelladora Andina SA (Preference), Class B (1)		46,653		181,755
Enel Americas SA, ADR (1)		73,831		767,104
Enel Chile SA, ADR (1)		58,532		321,926
Latam Airlines Group SA, ADR (1)*		56,888		720,771
Sociedad Quimica y Minera de Chile SA, ADR (1)		14,530		499,396
				5,382,540
China - 25.2%
58.com, Inc., ADR (1)*		5,066		179,286
Agricultural Bank of China Ltd., Class H		3,398,000		1,567,083
Air China Ltd., Class H		1,038,000		840,476
Alibaba Group Holding Ltd., ADR (1)*		76,889		8,290,941
Anhui Conch Cement Co. Ltd., Class H		192,000		653,001
Baidu, Inc., ADR (1)*		18,474		3,187,134
Bank of China Ltd., Class H		4,098,000		2,037,860
Bank of Communications Co. Ltd., Class H		310,000		241,309
China Cinda Asset Management Co. Ltd., Class H		484,000		188,238
China Communications Services Corp. Ltd., Class H		2,080,000		1,362,207
China Construction Bank Corp., Class H		6,795,000		5,474,784
China Everbright Bank Co. Ltd., Class H		1,662,000		812,859
China Evergrande Group (a)		786,000		728,773

INVESTMENTS	SHARES		VALUE
China - 25.2% (continued)
China Galaxy Securities Co. Ltd., Class H		1,031,000	$	952,054
China Merchants Bank Co. Ltd., Class H		643,500		1,702,938
China Minsheng Banking Corp. Ltd., Class H		690,500		738,121
China Mobile Ltd.		583,975		6,422,267
China Overseas Land & Investment Ltd.		400,000		1,143,186
China Petroleum & Chemical Corp., Class H		1,932,000		1,572,583
China Railway Construction Corp. Ltd., Class H		305,500		433,518
China Resources Land Ltd.		302,000		816,804
China Resources Power Holdings Co. Ltd.		144,000		259,963
China Shenhua Energy Co. Ltd., Class H		337,000		784,110
China Southern Airlines Co. Ltd., Class H		1,276,000		883,753
China Telecom Corp. Ltd., Class H		1,640,000		801,104
China Vanke Co. Ltd., Class H		373,700		1,010,680
Chongqing Rural Commercial Bank Co. Ltd., Class H		1,539,000		1,039,729
CNOOC Ltd., ADR (1)		4,350		521,130
Country Garden Holdings Co. Ltd.		1,935,000		1,740,084
CSPC Pharmaceutical Group Ltd.		370,000		484,742
Ctrip.com International Ltd., ADR (1)*		22,693		1,115,361
Far East Horizon Ltd.		192,000		180,379
Geely Automobile Holdings Ltd.		3,835,000		5,877,359
Great Wall Motor Co. Ltd., Class H		492,500		561,300
Industrial & Commercial Bank of China Ltd., Class H		5,832,000		3,816,159
JD.com, Inc., ADR (1)*		46,823		1,456,664
Kunlun Energy Co. Ltd.		210,000		194,592
NetEase, Inc., ADR (1)		5,427		1,541,268
New Oriental Education & Technology Group, Inc., ADR (1)*		8,807		531,767
PICC Property & Casualty Co. Ltd., Class H		74,000		114,214
Ping An Insurance Group Co. of China Ltd., Class H		101,500		568,852
Sinopec Engineering Group Co. Ltd., Class H		519,000		532,863
Sinopec Shanghai Petrochemical Co. Ltd., Class H		3,336,000		1,851,480
Sinopharm Group Co. Ltd., Class H		282,000		1,309,177
Sinotrans Ltd., Class H		2,073,000		968,717
Sunny Optical Technology Group Co. Ltd.		16,000		117,094
Tencent Holdings Ltd.		249,400		7,185,094
TravelSky Technology Ltd., Class H		634,000		1,498,067
Vipshop Holdings Ltd., ADR (1)*		27,558		367,624
Weichai Power Co. Ltd., Class H		712,000		1,257,711
				77,916,459
Hong Kong - 0.9%
Haier Electronics Group Co. Ltd.		44,000		100,846
Nine Dragons Paper Holdings Ltd.		1,705,000		1,834,307
Sun Art Retail Group Ltd.		859,000		805,337
				2,740,490
Hungary - 0.4%
MOL Hungarian Oil & Gas plc		7,424		508,330
Richter Gedeon Nyrt		33,207		754,189
				1,262,519

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

AQR Funds Semi-Annual Report March 2017

41

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
India - 8.0%
Axis Bank Ltd., GDR		9,002	$	341,816
Dr. Reddy’s Laboratories Ltd., ADR (1)		68,039		2,731,766
ICICI Bank Ltd., ADR (1)		299,299		2,573,971
Infosys Ltd., ADR		503,964		7,962,631
Reliance Industries Ltd., GDR (b)		1,894		77,055
Reliance Industries Ltd., GDR (LSE) (b)		35,018		1,406,388
State Bank of India, GDR		19,679		879,881
Tata Motors Ltd., ADR (1)		194,361		6,928,970
Wipro Ltd., ADR (1)		168,992		1,728,788
				24,631,266
Indonesia - 2.9%
Adaro Energy Tbk. PT		5,003,000		657,156
Bank Mandiri Persero Tbk. PT		137,300		120,582
Bank Rakyat Indonesia Persero Tbk. PT		1,236,200		1,203,711
Gudang Garam Tbk. PT		217,400		1,069,120
Indofood CBP Sukses Makmur Tbk. PT		220,500		134,867
Indofood Sukses Makmur Tbk. PT		767,700		460,999
Telekomunikasi Indonesia Persero Tbk. PT		12,999,800		4,040,921
United Tractors Tbk. PT		514,600		1,024,324
Waskita Karya Persero Tbk. PT		2,406,500		427,925
				9,139,605
Malaysia - 2.8%
AirAsia Bhd.		3,959,708		2,809,225
CIMB Group Holdings Bhd.		143,800		180,982
Felda Global Ventures Holdings Bhd.		338,900		160,036
Genting Bhd.		379,100		821,712
Genting Malaysia Bhd.		519,500		639,667
Malayan Banking Bhd.		263,900		531,733
MISC Bhd.		136,300		225,315
Petronas Chemicals Group Bhd.		123,300		214,403
Public Bank Bhd.		415,700		1,868,773
Sime Darby Bhd.		59,200		124,056
Tenaga Nasional Bhd.		318,800		987,977
				8,563,879
Mexico - 4.1%
America Movil SAB de CV, Class L, ADR (1)		53,352		755,998
Arca Continental SAB de CV (1)		81,800		568,424
Cemex SAB de CV, ADR (1)*		233,679		2,119,469
Coca-Cola Femsa SAB de CV, ADR (1)		5,792		415,286
Fomento Economico Mexicano SAB de CV, ADR (1)		2,292		202,888
Gentera SAB de CV (1)		218,800		360,416
Gruma SAB de CV, Class B (1)		145,505		2,047,939
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1)		137,600		1,338,499
Grupo Aeroportuario del Sureste SAB de CV, ADR (1)		1,908		330,542
Grupo Bimbo SAB de CV, Series A (1)		45,700		113,724
Grupo Financiero Banorte SAB de CV, Class O (1)		206,800		1,189,178
Grupo Financiero Santander Mexico SAB de CV, Class B, ADR (1)		22,488		203,067
Grupo Lala SAB de CV (1)(a)		242,400		439,815
Grupo Mexico SAB de CV, Series B (1)		305,200		917,446
Industrias Penoles SAB de CV (1)		20,735		534,936

INVESTMENTS	SHARES		VALUE
Mexico - 4.1% (continued)
Kimberly-Clark de Mexico SAB de CV, Class A (1)		203,400	$	441,407
Mexichem SAB de CV (1)		119,500		325,713
OHL Mexico SAB de CV (1)		248,400		350,796
				12,655,543
Peru - 0.2%
Credicorp Ltd. (1)		4,593		750,037
Philippines - 0.8%
Ayala Corp.		14,440		243,150
Bank of the Philippine Islands		63,230		127,503
BDO Unibank, Inc.		123,520		289,505
Globe Telecom, Inc.		15,540		629,276
JG Summit Holdings, Inc.		315,360		511,331
Jollibee Foods Corp.		29,250		115,097
Security Bank Corp.		80,190		322,786
SM Investments Corp.		26,695		370,723
				2,609,371
Poland - 1.7%
Bank Zachodni WBK SA		5,471		472,066
Eurocash SA		59,248		476,644
Grupa Lotos SA *		3,925		54,120
Polski Koncern Naftowy ORLEN SA		131,475		3,316,064
Polskie Gornictwo Naftowe i Gazownictwo SA		495,267		738,994
Tauron Polska Energia SA *		239,761		204,862
				5,262,750
Russia - 3.7%
Gazprom PJSC, ADR (1)		400,359		1,799,614
LUKOIL PJSC, ADR		28,399		1,505,434
Mobile TeleSystems PJSC, ADR (1)		281,462		3,104,526
Novatek PJSC, GDR		5,992		747,181
Rosneft Oil Co. PJSC, GDR		78,075		444,775
Severstal PJSC, GDR		77,155		1,110,514
Surgutneftegas OJSC, ADR (1)		101,167		516,963
Tatneft PJSC, ADR		60,668		2,233,822
				11,462,829
South Africa - 6.0%
Barclays Africa Group Ltd.		8,743		90,923
Bid Corp. Ltd.		21,970		423,792
Bidvest Group Ltd. (The)		201,357		2,307,959
Brait SE *		68,504		398,631
Capitec Bank Holdings Ltd.		14,280		810,683
Exxaro Resources Ltd.		51,269		450,309
FirstRand Ltd.		75,478		261,160
Foschini Group Ltd. (The)		98,516		1,133,777
Hyprop Investments Ltd., REIT		55,377		505,817
Imperial Holdings Ltd.		112,208		1,374,984
Investec Ltd.		79,467		541,301
Massmart Holdings Ltd.		32,225		326,687
Mondi Ltd.		18,103		431,802
Naspers Ltd., Class N		15,593		2,686,866
Nedbank Group Ltd.		14,914		267,977
Pick n Pay Stores Ltd.		169,219		839,202
Redefine Properties Ltd., REIT		425,319		348,684

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

AQR Funds Semi-Annual Report March 2017

42

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
South Africa - 6.0% (continued)
Remgro Ltd.		32,110	$	492,663
Resilient REIT Ltd.		74,141		644,831
RMB Holdings Ltd.		55,200		240,927
Sanlam Ltd.		41,311		207,288
Sasol Ltd.		14,288		418,834
Sibanye Gold Ltd., ADR (1)		54,551		480,594
Standard Bank Group Ltd.		158,024		1,694,574
Telkom SA SOC Ltd.		99,802		558,464
Tiger Brands Ltd.		11,561		344,922
Truworths International Ltd.		53,118		342,851
				18,626,502
South Korea - 14.8%
AMOREPACIFIC Group		2,555		273,130
Daelim Industrial Co. Ltd.		5,314		384,514
DGB Financial Group, Inc.		13,816		133,938
Dongbu Insurance Co. Ltd.		9,859		564,354
Hana Financial Group, Inc.		5,895		194,523
Hankook Tire Co. Ltd.		8,718		425,177
Hanmi Pharm Co. Ltd. *		1,592		425,549
Hanwha Chemical Corp.		12,119		286,278
Hanwha Corp.		38,041		1,221,374
Hanwha Life Insurance Co. Ltd.		17,163		92,695
Hyosung Corp.		1,768		214,249
Hyundai Development Co.-Engineering & Construction		2,848		103,602
Hyundai Engineering & Construction Co. Ltd.		7,906		350,249
Hyundai Heavy Industries Co. Ltd. *		11,280		1,663,789
Hyundai Marine & Fire Insurance Co. Ltd.		84,380		2,641,037
Hyundai Mobis Co. Ltd.		2,353		506,171
KB Financial Group, Inc.		20,061		879,203
Korean Air Lines Co. Ltd.*		16,056		453,179
KT Corp.		8,103		231,296
LG Uplus Corp.		130,606		1,671,543
Lotte Chemical Corp.		10,539		3,492,315
POSCO		2,272		590,097
Posco Daewoo Corp.		46,433		990,580
S-1 Corp.		2,690		215,827
Samsung Electronics Co. Ltd.		9,288		17,093,778
Shinhan Financial Group Co. Ltd.		4,160		173,335
SK Hynix, Inc.		82,307		3,717,560
SK Innovation Co. Ltd.		31,820		4,741,401
SK Telecom Co. Ltd.		3,075		694,798
Woori Bank		126,902		1,474,225
				45,899,766
Taiwan - 12.3%
AU Optronics Corp.		226,000		88,035
Casetek Holdings Ltd.		209,000		695,454
Catcher Technology Co. Ltd.		85,000		840,062
China Airlines Ltd.		355,000		123,421
China Development Financial Holding Corp.		497,000		136,430
China Life Insurance Co. Ltd.		2,174,192		2,150,071
Compal Electronics, Inc.		528,000		344,500
CTBC Financial Holding Co. Ltd.		789,480		487,776
E.Sun Financial Holding Co. Ltd.		521,400		316,977
Eva Airways Corp.		557,550		295,824

INVESTMENTS	SHARES		VALUE
Taiwan - 12.3% (continued)
Far EasTone Telecommunications Co. Ltd.		81,000	$	198,876
Feng TAY Enterprise Co. Ltd.		33,180		132,219
First Financial Holding Co. Ltd.		590,000		359,725
Formosa Chemicals & Fibre Corp.		215,000		668,873
Formosa Petrochemical Corp.		45,000		157,186
Foxconn Technology Co. Ltd.		539,582		1,645,143
Fubon Financial Holding Co. Ltd.		484,000		789,426
Hon Hai Precision Industry Co. Ltd.		1,392,545		4,176,365
Inventec Corp.		569,000		426,642
Largan Precision Co. Ltd.		5,000		787,500
Lite-On Technology Corp.		828,533		1,428,109
Mega Financial Holding Co. Ltd.		623,000		502,718
Micro-Star International Co. Ltd.		352,000		819,152
Nien Made Enterprise Co. Ltd.		108,000		1,007,328
Pegatron Corp.		499,000		1,477,212
Phison Electronics Corp.		26,000		233,425
Pou Chen Corp.		846,000		1,170,868
Powertech Technology, Inc.		596,000		1,734,396
Realtek Semiconductor Corp.		498,000		1,780,614
SinoPac Financial Holdings Co. Ltd.		586,214		182,955
Taishin Financial Holding Co. Ltd.		533,640		222,427
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		307,706		10,105,065
Uni-President Enterprises Corp.		379,000		710,528
United Microelectronics Corp.		1,599,000		641,371
Wistron Corp.		1,107,575		1,014,857
WPG Holdings Ltd.		109,000		136,868
				37,988,398
Thailand - 2.6%
Charoen Pokphand Foods PCL, NVDR		4,830,000		3,900,992
Home Product Center PCL, NVDR		582,300		163,498
PTT Exploration & Production PCL, NVDR		113,100		306,129
PTT Global Chemical PCL, NVDR		208,900		445,278
PTT PCL, NVDR		88,700		998,932
Robinson Department Store PCL, NVDR		69,100		128,644
Thai Oil PCL, NVDR		670,900		1,474,233
Thai Union Group PCL, NVDR		1,279,296		796,881
				8,214,587
Turkey - 1.6%
Akbank TAS		53,757		126,213
Arcelik A/S		333,429		2,080,110
KOC Holding A/S		147,986		625,147
Turkiye Is Bankasi, Class C		524,522		957,284
Turkiye Sise ve Cam Fabrikalari A/S		650,149		746,284
Turkiye Vakiflar Bankasi TAO, Class D		194,170		286,494
				4,821,532
United States - 0.2%
Yum! China Holdings, Inc. (1)*		27,400		745,280
TOTAL COMMON STOCKS (cost $251,458,330)				300,562,874

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

AQR Funds Semi-Annual Report March 2017

43

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENT - 2.4%
Investment Company - 2.4%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $7,360,893) (c)		7,360,893	$	7,360,893
SECURITIES LENDING COLLATERAL - 0.7%
Investment Company - 0.7%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $2,067,937) (c)(d)		2,067,937		2,067,937
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.1% (cost $260,887,160)				309,991,704
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% (e)			(315,507)
NET ASSETS - 100.0%			$	309,676,197

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	30,414,137			9.8	%
Consumer Staples		18,692,484			6.0
Energy		28,104,550			9.1
Financials		58,782,268			19.0
Health Care		6,747,141			2.2
Industrials		21,607,969			7.0
Information Technology		80,876,411			26.1
Materials		21,049,285			6.8
Real Estate		6,938,859			2.2
Telecommunication Services		22,263,495			7.2
Utilities		5,086,275			1.6
Short-Term Investment		7,360,893			2.4
Securities Lending Collateral		2,067,937			0.7
Total Investments In Securities At Value		309,991,704			100.1
Liabilities in Excess of Other Assets (e)		(315,507	)		(0.1	)
Net Assets	$	309,676,197			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $1,951,226.

(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 3/31/2017 amounted to $1,483,443, which represents approximately 0.48% of net assets of the fund.

(c) Represents 7-day effective yield as of 3/31/2017.

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

(e) Includes appreciation/(depreciation) on futures contracts.

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

(1) Level 1 security (See Note 4).

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

LSE - London Stock Exchange

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint Stock Company

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
104	JPMS	E-Mini MSCI Emerging Markets Index Futures		06/2017		$4,860,052		$4,999,280		$139,228

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$31,993		$31,993

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

AQR Funds Semi-Annual Report March 2017

44

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.1%
Aerospace & Defense - 2.8%
BWX Technologies, Inc.		15,551	$	740,228
General Dynamics Corp.		10,253		1,919,362
Huntington Ingalls Industries, Inc.		8,196		1,641,167
L3 Technologies, Inc.		4,366		721,656
Lockheed Martin Corp.		30,412		8,138,251
Northrop Grumman Corp.		25,205		5,994,757
Orbital ATK, Inc.		8,225		806,050
Raytheon Co.		27,267		4,158,217
TransDigm Group, Inc.		6,188		1,362,350
United Technologies Corp.		9,872		1,107,737
				26,589,775
Air Freight & Logistics - 0.4%
CH Robinson Worldwide, Inc.		6,166		476,570
FedEx Corp.		10,619		2,072,298
United Parcel Service, Inc., Class B		10,680		1,145,964
				3,694,832
Airlines - 0.3%
Alaska Air Group, Inc.		13,626		1,256,590
Copa Holdings SA, Class A (Panama)		5,645		633,651
JetBlue Airways Corp. *		19,424		400,329
Southwest Airlines Co.		15,791		848,924
				3,139,494
Auto Components - 0.3%
Delphi Automotive plc		5,599		450,664
Gentex Corp.		26,000		554,580
Goodyear Tire & Rubber Co. (The)		23,409		842,724
Lear Corp.		5,514		780,672
				2,628,640
Automobiles - 0.2%
Harley-Davidson, Inc.		7,387		446,913
Tesla, Inc. *(a)		2,729		759,481
Thor Industries, Inc.		11,293		1,085,596
				2,291,990
Banks - 12.4%
Bank of America Corp.		1,087,651		25,657,687
Bank of Hawaii Corp.		12,152		1,000,839
BankUnited, Inc.		13,348		498,014
BB&T Corp.		6,027		269,407
Citigroup, Inc.		149,978		8,971,684
Citizens Financial Group, Inc.		178,499		6,167,140
Comerica, Inc.		60,750		4,166,235
Commerce Bancshares, Inc.		20,473		1,149,764
Cullen/Frost Bankers, Inc.		15,799		1,405,637
East West Bancorp, Inc.		31,001		1,599,962
Fifth Third Bancorp		128,203		3,256,356
First Horizon National Corp.		21,787		403,059
First Republic Bank		16,043		1,504,994
Huntington Bancshares, Inc.		180,426		2,415,904
JPMorgan Chase & Co.		315,617		27,723,797
KeyCorp		209,555		3,725,888
PacWest Bancorp		5,242		279,189
People’s United Financial, Inc.		17,621		320,702
PNC Financial Services Group, Inc. (The)		10,990		1,321,438

INVESTMENTS	SHARES		VALUE
Banks - 12.4% (continued)
Popular, Inc.		33,169	$	1,350,973
Regions Financial Corp.		418,518		6,081,067
SunTrust Banks, Inc.		52,459		2,900,983
SVB Financial Group *		18,193		3,385,535
TCF Financial Corp.		75,808		1,290,252
US Bancorp		32,124		1,654,386
Western Alliance Bancorp *		45,363		2,226,870
Zions Bancorp		110,851		4,655,742
				115,383,504
Beverages - 0.4%
Constellation Brands, Inc., Class A		11,396		1,846,950
Molson Coors Brewing Co., Class B		12,698		1,215,325
Monster Beverage Corp. *		9,501		438,661
				3,500,936
Biotechnology - 0.6%
AbbVie, Inc.		24,777		1,614,469
ACADIA Pharmaceuticals, Inc. *		29,525		1,015,070
Incyte Corp. *		12,158		1,625,160
Seattle Genetics, Inc. *		18,563		1,166,870
				5,421,569
Building Products - 1.1%
Allegion plc		8,013		606,584
AO Smith Corp.		42,651		2,182,025
Fortune Brands Home & Security, Inc.		44,029		2,679,165
Johnson Controls International plc		16,158		680,575
Lennox International, Inc.		5,769		965,154
Masco Corp.		54,712		1,859,661
Owens Corning		12,800		785,536
USG Corp. *		14,608		464,534
				10,223,234
Capital Markets - 4.4%
Charles Schwab Corp. (The)		120,951		4,936,010
CME Group, Inc.		25,459		3,024,529
E*TRADE Financial Corp. *		45,497		1,587,390
FactSet Research Systems, Inc.		2,228		367,420
Goldman Sachs Group, Inc. (The)		39,136		8,990,322
Interactive Brokers Group, Inc., Class A		41,795		1,451,122
Intercontinental Exchange, Inc.		38,315		2,293,919
LPL Financial Holdings, Inc.		14,621		582,354
MarketAxess Holdings, Inc.		6,866		1,287,306
Morgan Stanley		208,500		8,932,140
Morningstar, Inc.		7,785		611,901
MSCI, Inc.		14,254		1,385,346
Nasdaq, Inc.		18,693		1,298,229
Raymond James Financial, Inc.		12,868		981,314
S&P Global, Inc.		14,398		1,882,395
State Street Corp.		13,655		1,087,075
Thomson Reuters Corp.		8,785		379,776
				41,078,548
Chemicals - 1.2%
Air Products & Chemicals, Inc.		2,729		369,206
Albemarle Corp.		18,805		1,986,560
Dow Chemical Co. (The)		70,436		4,475,504
FMC Corp.		7,685		534,799

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

AQR Funds Semi-Annual Report March 2017

45

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Chemicals - 1.2% (continued)
Huntsman Corp.		73,778	$	1,810,512
International Flavors & Fragrances, Inc.		5,004		663,180
NewMarket Corp.		1,600		725,168
Sherwin-Williams Co. (The)		2,158		669,390
				11,234,319
Commercial Services & Supplies - 1.0%
Cintas Corp.		23,846		3,017,473
Copart, Inc. *		17,184		1,064,205
Republic Services, Inc.		22,714		1,426,666
Rollins, Inc.		21,305		791,055
Waste Management, Inc.		36,120		2,633,870
				8,933,269
Communications Equipment - 1.8%
Arista Networks, Inc. *		16,047		2,122,537
Cisco Systems, Inc.		356,079		12,035,470
CommScope Holding Co., Inc. *		17,958		749,028
Harris Corp.		8,866		986,520
Motorola Solutions, Inc.		11,008		949,110
Palo Alto Networks, Inc. *		2,715		305,926
				17,148,591
Construction & Engineering - 0.1%
Quanta Services, Inc. *		15,443		573,090
Construction Materials - 0.5%
Eagle Materials, Inc.		4,574		444,318
Martin Marietta Materials, Inc.		7,530		1,643,423
Vulcan Materials Co.		18,426		2,219,964
				4,307,705
Consumer Finance - 0.4%
American Express Co.		3,651		288,831
Credit Acceptance Corp. *(a)		2,491		496,730
Discover Financial Services		12,454		851,729
Navient Corp.		60,001		885,615
SLM Corp. *		95,312		1,153,275
				3,676,180
Containers & Packaging - 0.3%
Avery Dennison Corp.		6,491		523,175
Ball Corp.		6,313		468,803
Bemis Co., Inc.		6,149		300,440
Berry Plastics Group, Inc. *		15,470		751,378
International Paper Co.		8,705		442,040
Packaging Corp. of America		3,115		285,396
Sealed Air Corp.		10,067		438,720
				3,209,952
Distributors - 0.3%
Genuine Parts Co.		16,500		1,524,765
LKQ Corp. *		31,969		935,733
				2,460,498
Diversified Consumer Services - 0.2%
Graham Holdings Co., Class B		737		441,868
Service Corp. International		15,037		464,343
ServiceMaster Global Holdings, Inc. *		20,653		862,263
				1,768,474

INVESTMENTS	SHARES		VALUE
Diversified Financial Services - 0.6%
Berkshire Hathaway, Inc., Class B *		31,308	$	5,218,417
Diversified Telecommunication Services - 0.3%
AT&T, Inc.		51,025		2,120,089
Verizon Communications, Inc.		12,617		615,079
Zayo Group Holdings, Inc. *		13,596		447,308
				3,182,476
Electric Utilities - 0.2%
Alliant Energy Corp.		13,920		551,371
Edison International		3,349		266,614
Exelon Corp.		30,907		1,112,034
				1,930,019
Electrical Equipment - 0.5%
Acuity Brands, Inc.		9,099		1,856,196
Eaton Corp. plc		30,522		2,263,206
Rockwell Automation, Inc.		2,328		362,493
				4,481,895
Electronic Equipment, Instruments & Components - 0.9%
Amphenol Corp., Class A		21,046		1,497,844
Arrow Electronics, Inc. *		8,600		631,326
CDW Corp.		25,023		1,444,077
Cognex Corp.		12,985		1,090,091
Corning, Inc.		86,142		2,325,834
Dolby Laboratories, Inc., Class A		9,601		503,188
IPG Photonics Corp. *		5,942		717,199
Trimble, Inc. *		21,559		690,104
				8,899,663
Energy Equipment & Services - 1.4%
Halliburton Co.		95,136		4,681,643
Helmerich & Payne, Inc.		15,534		1,034,098
Nabors Industries Ltd.		94,914		1,240,526
Patterson-UTI Energy, Inc.		91,134		2,211,822
Rowan Cos. plc, Class A *		23,366		364,042
RPC, Inc. (a)		126,794		2,321,598
Superior Energy Services, Inc. *		29,909		426,502
Transocean Ltd. *		75,592		941,121
				13,221,352
Equity Real Estate Investment Trusts (REITs) - 2.5%
Alexandria Real Estate Equities, Inc.		5,032		556,137
American Campus Communities, Inc.		17,105		814,027
American Homes 4 Rent, Class A		20,868		479,129
American Tower Corp.		2,408		292,668
Apartment Investment & Management Co., Class A		32,100		1,423,635
Camden Property Trust		8,929		718,427
CyrusOne, Inc.		15,049		774,572
Digital Realty Trust, Inc.		25,967		2,762,629
Duke Realty Corp.		33,046		868,118
EPR Properties		6,107		449,658
Equinix, Inc.		3,329		1,332,832
Equity LifeStyle Properties, Inc.		23,643		1,821,930
Healthcare Trust of America, Inc., Class A		29,525		928,857
Iron Mountain, Inc.		25,667		915,542
Lamar Advertising Co., Class A		12,300		919,302

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

AQR Funds Semi-Annual Report March 2017

46

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 2.5% (continued)
National Retail Properties, Inc.		25,816	$	1,126,094
Omega Healthcare Investors, Inc.		11,537		380,606
Prologis, Inc.		33,042		1,714,219
Realty Income Corp.		11,226		668,284
Senior Housing Properties Trust		30,976		627,264
Spirit Realty Capital, Inc.		26,961		273,115
STORE Capital Corp.		16,605		396,527
Uniti Group, Inc. *		32,986		852,688
Ventas, Inc.		17,942		1,166,948
VEREIT, Inc.		103,768		880,990
				23,144,198
Food & Staples Retailing - 0.3%
Sysco Corp.		43,873		2,277,886
Wal-Mart Stores, Inc.		9,707		699,681
				2,977,567
Food Products - 0.9%
Blue Buffalo Pet Products, Inc. *		19,021		437,483
Conagra Brands, Inc.		28,472		1,148,561
Ingredion, Inc.		11,951		1,439,259
Kraft Heinz Co. (The)		18,022		1,636,578
Lamb Weston Holdings, Inc.		9,490		399,149
Pilgrim’s Pride Corp.		18,200		409,591
Pinnacle Foods, Inc.		20,716		1,198,835
Post Holdings, Inc. *		3,462		302,994
Tyson Foods, Inc., Class A		16,313		1,006,675
				7,979,125
Health Care Equipment & Supplies - 2.6%
ABIOMED, Inc. *		3,696		462,739
Align Technology, Inc. *		13,852		1,588,963
Baxter International, Inc.		46,095		2,390,487
Becton Dickinson and Co.		6,338		1,162,643
Boston Scientific Corp. *		154,029		3,830,701
Cooper Cos., Inc. (The)		5,006		1,000,649
CR Bard, Inc.		4,386		1,090,097
Danaher Corp.		27,159		2,322,909
DexCom, Inc. *		12,332		1,044,891
Edwards Lifesciences Corp. *		6,305		593,111
Hologic, Inc. *		16,786		714,244
IDEXX Laboratories, Inc. *		13,407		2,072,856
Intuitive Surgical, Inc. *		2,192		1,680,102
Medtronic plc		3,995		321,837
ResMed, Inc.		10,915		785,553
Stryker Corp.		12,427		1,636,015
Teleflex, Inc.		7,020		1,359,985
Zimmer Biomet Holdings, Inc.		5,885		718,617
				24,776,399
Health Care Providers & Services - 1.9%
Aetna, Inc.		4,112		524,485
Henry Schein, Inc. *		7,272		1,236,022
Laboratory Corp. of America Holdings *		3,555		510,036
Quest Diagnostics, Inc.		8,469		831,571
UnitedHealth Group, Inc.		78,809		12,925,464
Universal Health Services, Inc., Class B		5,053		628,846
WellCare Health Plans, Inc. *		4,904		687,590
				17,344,014

INVESTMENTS	SHARES		VALUE
Health Care Technology - 0.2%
Allscripts Healthcare Solutions, Inc. *		37,159	$	471,176
athenahealth, Inc. *		3,316		373,680
Veeva Systems, Inc., Class A *		23,627		1,211,593
				2,056,449
Hotels, Restaurants & Leisure - 2.0%
Aramark		23,714		874,335
Brinker International, Inc.		8,880		390,365
Carnival Corp.		13,995		824,446
Darden Restaurants, Inc.		13,197		1,104,193
Domino’s Pizza, Inc.		12,719		2,344,112
International Game Technology plc		33,817		801,463
Las Vegas Sands Corp.		63,591		3,629,138
McDonald’s Corp.		3,754		486,556
MGM Resorts International		46,093		1,262,948
Panera Bread Co., Class A *		4,000		1,047,480
Royal Caribbean Cruises Ltd.		4,821		472,988
Six Flags Entertainment Corp.		25,645		1,525,621
Vail Resorts, Inc.		2,828		542,693
Wynn Resorts Ltd.		19,336		2,216,099
Yum Brands, Inc.		17,199		1,099,016
				18,621,453
Household Durables - 0.9%
DR Horton, Inc.		40,873		1,361,480
Garmin Ltd.		22,664		1,158,357
Leggett & Platt, Inc.		14,426		725,916
Mohawk Industries, Inc. *		6,695		1,536,436
Newell Brands, Inc.		45,429		2,142,886
NVR, Inc. *		599		1,262,021
				8,187,096
Household Products - 0.3%
Church & Dwight Co., Inc.		14,829		739,522
Energizer Holdings, Inc.		13,144		732,778
Kimberly-Clark Corp.		8,236		1,084,105
Spectrum Brands Holdings, Inc.		5,012		696,718
				3,253,123
Industrial Conglomerates - 1.1%
3M Co.		16,447		3,146,805
General Electric Co.		69,523		2,071,785
Honeywell International, Inc.		35,512		4,434,383
Roper Technologies, Inc.		5,357		1,106,167
				10,759,140
Insurance - 3.4%
Allstate Corp. (The)		7,302		595,040
American Financial Group, Inc.		11,412		1,088,933
Aon plc		15,470		1,836,134
Arch Capital Group Ltd. *		13,686		1,297,022
Aspen Insurance Holdings Ltd.		8,457		440,187
Assurant, Inc.		6,148		588,179
Assured Guaranty Ltd.		19,688		730,622
Axis Capital Holdings Ltd.		7,392		495,486
Chubb Ltd.		22,934		3,124,758
Cincinnati Financial Corp.		26,000		1,879,020
Erie Indemnity Co., Class A		6,993		858,041
Everest Re Group Ltd.		2,625		613,751
FNF Group		22,711		884,366

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

AQR Funds Semi-Annual Report March 2017

47

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES			VALUE
Insurance - 3.4% (continued)
Hanover Insurance Group, Inc. (The)		11,713		$	1,054,873
Lincoln National Corp.		25,914			1,696,071
Markel Corp. *		799			779,712
Marsh & McLennan Cos., Inc.		33,809			2,498,147
Principal Financial Group, Inc.		22,295			1,407,038
ProAssurance Corp.		20,042			1,207,531
Progressive Corp. (The)		16,365			641,181
Prudential Financial, Inc.		29,618			3,159,648
RenaissanceRe Holdings Ltd.		5,901			853,580
Torchmark Corp.		11,199			862,771
Unum Group		5,907			276,979
Validus Holdings Ltd.		11,878			669,800
White Mountains Insurance Group Ltd.		1,805			1,588,183
WR Berkley Corp.		10,543			744,652
					31,871,705
Internet & Direct Marketing Retail - 5.1%
Amazon.com, Inc. *		41,537			36,824,212
Expedia, Inc.		9,214			1,162,530
Groupon, Inc. *(a)		118,223	��		464,616
Netflix, Inc. *		24,108			3,563,404
Priceline Group, Inc. (The) *		3,165			5,633,605
					47,648,367
Internet Software & Services - 2.0%
Alphabet, Inc., Class A *		5,821			4,935,044
CoStar Group, Inc. *		3,684			763,398
eBay, Inc. *		52,098			1,748,930
Facebook, Inc., Class A *		31,128			4,421,732
GoDaddy, Inc., Class A *(a)		15,274			578,885
VeriSign, Inc. *(a)		13,036			1,135,566
Yahoo!, Inc. *		78,563			3,646,109
Yelp, Inc. *		32,684			1,070,401
Zillow Group, Inc., Class C *		25,352			853,602
					19,153,667
IT Services - 2.6%
Accenture plc, Class A		22,062			2,644,792
Amdocs Ltd.		12,968			790,918
Automatic Data Processing, Inc.		3,923			401,676
Booz Allen Hamilton Holding Corp.		14,749			521,967
Broadridge Financial Solutions, Inc.		11,087			753,362
Computer Sciences Corp.		37,677			2,600,090
CoreLogic, Inc. *		18,100			737,032
Fidelity National Information Services, Inc.		5,248			417,846
Fiserv, Inc. *		17,508			2,018,847
Gartner, Inc. *		6,200			669,538
Genpact Ltd.		37,076			918,002
Global Payments, Inc.		25,397			2,049,030
Jack Henry & Associates, Inc.		17,949			1,671,052
Paychex, Inc.		28,442			1,675,234
PayPal Holdings, Inc. *		32,517			1,398,881
Sabre Corp.		45,937			973,405
Square, Inc. *		15,743			272,039
Total System Services, Inc.		23,704			1,267,216
Vantiv, Inc., Class A *		28,434			1,823,188
Western Union Co. (The)		15,876			323,077
					23,927,192

INVESTMENTS	SHARES		VALUE
Leisure Products - 0.3%
Hasbro, Inc.		18,329	$	1,829,601
Mattel, Inc.		43,003		1,101,307
				2,930,908
Life Sciences Tools & Services - 1.0%
Agilent Technologies, Inc.		9,882		522,461
Bio-Rad Laboratories, Inc., Class A *		5,986		1,193,249
Bruker Corp.		24,778		578,071
Charles River Laboratories International, Inc. *		6,903		620,925
Mettler-Toledo International, Inc. *		2,907		1,392,191
PerkinElmer, Inc.		9,553		554,647
QIAGEN NV *		20,348		589,481
Quintiles IMS Holdings, Inc. *		10,990		885,025
Thermo Fisher Scientific, Inc.		11,271		1,731,226
Waters Corp. *		7,531		1,177,171
				9,244,447
Machinery - 3.2%
Caterpillar, Inc.		53,894		4,999,207
Colfax Corp. *		22,860		897,484
Crane Co.		5,907		442,021
Cummins, Inc.		10,655		1,611,036
Deere & Co.		14,107		1,535,688
Dover Corp.		6,505		522,677
Fortive Corp.		28,938		1,742,646
Illinois Tool Works, Inc.		32,735		4,336,405
Ingersoll-Rand plc		22,376		1,819,616
Middleby Corp. (The) *		3,107		423,950
Nordson Corp.		6,333		777,946
Oshkosh Corp.		35,669		2,446,537
PACCAR, Inc.		6,698		450,106
Parker-Hannifin Corp.		6,811		1,091,939
Snap-on, Inc.		7,597		1,281,386
Stanley Black & Decker, Inc.		6,696		889,698
Toro Co. (The)		36,514		2,280,664
Trinity Industries, Inc.		24,985		663,352
Xylem, Inc.		27,154		1,363,674
				29,576,032
Media - 2.7%
CBS Corp. (Non-Voting), Class B		28,196		1,955,675
Charter Communications, Inc., Class A *		27,754		9,084,439
Comcast Corp., Class A		297,248		11,173,552
Interpublic Group of Cos., Inc. (The)		21,162		519,950
Liberty Broadband Corp. *		8,950		773,280
Madison Square Garden Co. (The), Class A *		2,525		504,268
Omnicom Group, Inc.		14,639		1,262,028
				25,273,192
Metals & Mining - 1.4%
Freeport-McMoRan, Inc. *		256,875		3,431,850
Newmont Mining Corp.		39,589		1,304,854
Nucor Corp.		30,271		1,807,784
Reliance Steel & Aluminum Co.		5,371		429,787
Royal Gold, Inc.		13,187		923,749
Steel Dynamics, Inc.		66,851		2,323,741
United States Steel Corp.		76,734		2,594,377
				12,816,142

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

AQR Funds Semi-Annual Report March 2017

48

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Multiline Retail - 0.2%
Dollar General Corp.		11,231	$	783,138
Dollar Tree, Inc. *		8,383		657,730
				1,440,868
Multi-Utilities - 0.2%
CenterPoint Energy, Inc.		12,401		341,895
DTE Energy Co.		4,442		453,573
MDU Resources Group, Inc.		15,343		419,938
NiSource, Inc.		35,187		837,099
				2,052,505
Oil, Gas & Consumable Fuels - 8.4%
Anadarko Petroleum Corp.		50,838		3,151,956
Apache Corp.		25,978		1,335,009
Chesapeake Energy Corp. *(a)		299,410		1,778,495
Chevron Corp.		120,859		12,976,631
Cimarex Energy Co.		12,929		1,544,886
Concho Resources, Inc. *		10,910		1,400,189
ConocoPhillips		17,760		885,691
CONSOL Energy, Inc. *		155,383		2,607,327
Continental Resources, Inc. *		89,442		4,062,456
Devon Energy Corp.		58,062		2,422,347
Diamondback Energy, Inc. *		30,668		3,180,732
Energen Corp. *		29,128		1,585,728
EOG Resources, Inc.		47,706		4,653,720
HollyFrontier Corp.		10,878		308,283
Kinder Morgan, Inc.		68,335		1,485,603
Laredo Petroleum, Inc. *		147,991		2,160,669
Marathon Oil Corp.		181,208		2,863,086
Marathon Petroleum Corp.		5,896		297,984
Murphy Oil Corp.		42,779		1,223,052
Newfield Exploration Co. *		27,308		1,007,938
ONEOK, Inc.		57,205		3,171,445
Parsley Energy, Inc., Class A *		70,098		2,278,886
PBF Energy, Inc., Class A		27,817		616,703
Phillips 66		11,150		883,303
Pioneer Natural Resources Co.		23,909		4,452,573
QEP Resources, Inc. *		64,790		823,481
Range Resources Corp.		19,593		570,156
Rice Energy, Inc. *		115,249		2,731,401
SM Energy Co.		72,591		1,743,636
Southwestern Energy Co. *		83,703		683,854
Targa Resources Corp.		35,026		2,098,057
Tesoro Corp.		5,167		418,837
Valero Energy Corp.		6,967		461,842
Whiting Petroleum Corp. *		120,234		1,137,414
Williams Cos., Inc. (The)		85,306		2,524,205
WPX Energy, Inc. *		197,897		2,649,841
				78,177,416
Personal Products - 0.1%
Edgewell Personal Care Co. *		4,753		347,635
Nu Skin Enterprises, Inc., Class A		8,923		495,583
				843,218
Pharmaceuticals - 0.5%
Bristol-Myers Squibb Co.		6,830		371,415
Johnson & Johnson		3,292		410,019
Merck & Co., Inc.		29,683		1,886,058

INVESTMENTS	SHARES		VALUE
Pharmaceuticals - 0.5% (continued)
Pfizer, Inc.		18,549	$	634,561
Zoetis, Inc.		26,512		1,414,946
				4,716,999
Professional Services - 0.4%
Equifax, Inc.		16,124		2,204,796
Nielsen Holdings plc		15,792		652,367
Verisk Analytics, Inc. *		13,148		1,066,829
				3,923,992
Road & Rail - 2.1%
AMERCO		3,404		1,297,571
CSX Corp.		153,182		7,130,622
Genesee & Wyoming, Inc., Class A *		12,379		840,039
JB Hunt Transport Services, Inc.		4,202		385,492
Norfolk Southern Corp.		32,885		3,682,133
Old Dominion Freight Line, Inc.		7,162		612,852
Union Pacific Corp.		56,214		5,954,187
				19,902,896
Semiconductors & Semiconductor Equipment - 5.8%
Analog Devices, Inc.		12,947		1,061,007
Applied Materials, Inc.		149,396		5,811,504
Broadcom Ltd.		39,063		8,553,234
Cypress Semiconductor Corp.		19,930		274,237
First Solar, Inc. *(a)		11,793		319,590
Intel Corp.		66,332		2,392,595
KLA-Tencor Corp.		3,336		317,154
Lam Research Corp.		16,508		2,118,967
Marvell Technology Group Ltd.		30,556		466,285
Maxim Integrated Products, Inc.		31,919		1,435,078
Microchip Technology, Inc.		16,483		1,216,116
Micron Technology, Inc. *		194,565		5,622,929
NVIDIA Corp.		83,669		9,114,064
ON Semiconductor Corp. *		70,049		1,085,059
QUALCOMM, Inc.		70,354		4,034,098
Skyworks Solutions, Inc.		4,876		477,750
Teradyne, Inc.		24,948		775,883
Texas Instruments, Inc.		89,392		7,201,420
Xilinx, Inc.		36,025		2,085,487
				54,362,457
Software - 3.5%
Activision Blizzard, Inc.		81,912		4,084,132
Adobe Systems, Inc. *		42,920		5,585,180
ANSYS, Inc. *		5,600		598,472
Autodesk, Inc. *		13,418		1,160,254
Cadence Design Systems, Inc. *		31,925		1,002,445
CDK Global, Inc.		20,178		1,311,772
Citrix Systems, Inc. *		14,512		1,210,156
Electronic Arts, Inc. *		15,627		1,398,929
Intuit, Inc.		12,476		1,447,091
Microsoft Corp.		85,427		5,626,222
Nuance Communications, Inc. *		49,154		850,856
PTC, Inc. *		9,123		479,414
Red Hat, Inc. *		4,254		367,971
salesforce.com, Inc. *		4,922		406,016
ServiceNow, Inc. *		3,855		337,197
SS&C Technologies Holdings, Inc.		16,904		598,402

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

AQR Funds Semi-Annual Report March 2017

49

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Software - 3.5% (continued)
Symantec Corp.		73,080	$	2,242,094
Synopsys, Inc. *		12,734		918,503
Ultimate Software Group, Inc. (The) *		5,637		1,100,399
VMware, Inc., Class A *(a)		17,917		1,650,872
				32,376,377
Specialty Retail - 1.4%
Best Buy Co., Inc.		29,620		1,455,823
Burlington Stores, Inc. *		19,291		1,876,821
Dick’s Sporting Goods, Inc.		9,727		473,316
Foot Locker, Inc.		6,992		523,071
Home Depot, Inc. (The)		4,394		645,171
Lowe’s Cos., Inc.		6,642		546,039
Michael’s Cos., Inc. (The) *		21,313		477,198
Murphy USA, Inc. *		6,252		459,022
O’Reilly Automotive, Inc. *		4,557		1,229,661
Ross Stores, Inc.		17,112		1,127,167
Tractor Supply Co.		5,700		393,129
Ulta Beauty, Inc. *		12,747		3,635,827
Urban Outfitters, Inc. *		17,822		423,451
				13,265,696
Technology Hardware, Storage & Peripherals - 5.5%
Apple, Inc.		274,342		39,411,972
Hewlett Packard Enterprise Co.		194,429		4,607,967
HP, Inc.		159,595		2,853,559
NCR Corp. *		25,340		1,157,531
NetApp, Inc.		9,653		403,978
Western Digital Corp.		32,811		2,707,892
				51,142,899
Textiles, Apparel & Luxury Goods - 0.1%
Lululemon Athletica, Inc. *		4,641		240,729
PVH Corp.		4,356		450,715
Skechers U.S.A., Inc., Class A *		21,170		581,116
				1,272,560
Thrifts & Mortgage Finance - 0.1%
TFS Financial Corp.		41,075		682,666
Tobacco - 0.2%
Altria Group, Inc.		20,970		1,497,677
Trading Companies & Distributors - 0.5%
MSC Industrial Direct Co., Inc., Class A		2,810		288,756
United Rentals, Inc. *		21,391		2,674,945
Watsco, Inc.		3,619		518,168
WESCO International, Inc. *		12,206		848,927
WW Grainger, Inc.		3,083		717,599
				5,048,395
Water Utilities - 0.2%
American Water Works Co., Inc.		23,055		1,792,987
Aqua America, Inc.		9,149		294,141
				2,087,128
Wireless Telecommunication Services - 0.9%
Sprint Corp. *(a)		526,845		4,573,015

INVESTMENTS	SHARES		VALUE
Wireless Telecommunication Services - 0.9% (continued)
T-Mobile US, Inc. *		57,384	$	3,706,432
				8,279,447
TOTAL COMMON STOCKS (cost $754,966,224)				906,811,834
SHORT-TERM INVESTMENT - 3.6%
Investment Company - 3.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $33,717,712) (2)(b)		33,717,712		33,717,712
SECURITIES LENDING COLLATERAL - 0.9%
Investment Company - 0.9%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $8,612,104) (2)(b)(c)		8,612,104		8,612,104
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.6% (cost $797,296,040)				949,141,650
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.6)% (d)			(15,139,618)
NET ASSETS - 100.0%			$	934,002,032

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	127,789,742			13.7	%
Consumer Staples		20,051,646			2.1
Energy		91,398,768			9.8
Financials		197,911,021			21.2
Health Care		63,559,876			6.8
Industrials		126,846,045			13.6
Information Technology		207,010,845			22.2
Materials		31,568,119			3.4
Real Estate		23,144,198			2.5
Telecommunication Services		11,461,923			1.2
Utilities		6,069,651			0.6
Short-Term Investment		33,717,712			3.6
Securities Lending Collateral		8,612,104			0.9
Total Investments In Securities At Value		949,141,650			101.6
Liabilities in Excess of Other Assets (d)		(15,139,618	)		(1.6	)
Net Assets	$	934,002,032			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $8,328,711.

(b) Represents 7-day effective yield as of 3/31/2017.

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

AQR Funds Semi-Annual Report March 2017

50

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

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

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

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

(2) Level 2 security (See Note 4).

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
194	BARC	S&P 500 E-Mini Futures		06/2017		$22,949,366		$22,884,240		$(65,126	)

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$982,054		$982,054

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

AQR Funds Semi-Annual Report March 2017

51

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.1%
Aerospace & Defense - 1.8%
AAR Corp.		8,237	$	277,010
Aerojet Rocketdyne Holdings, Inc. *		7,667		166,374
Aerovironment, Inc. *		7,641		214,177
Curtiss-Wright Corp.		10,071		919,080
Ducommun, Inc. *		7,860		226,290
Engility Holdings, Inc. *		11,321		327,630
Esterline Technologies Corp. *		1,914		164,700
KeyW Holding Corp. (The) *(a)		39,680		374,579
KLX, Inc. *		5,852		261,584
Kratos Defense & Security Solutions, Inc. *		57,558		447,801
Mercury Systems, Inc. *		21,745		849,142
National Presto Industries, Inc.		1,715		175,273
Sparton Corp. *		6,924		145,335
TASER International, Inc. *(a)		21,987		501,084
Teledyne Technologies, Inc. *		6,750		853,605
Vectrus, Inc. *		8,941		199,831
				6,103,495
Air Freight & Logistics - 0.7%
Air Transport Services Group, Inc. *		33,900		544,095
XPO Logistics, Inc. *		40,236		1,926,902
				2,470,997
Airlines - 0.4%
Hawaiian Holdings, Inc. *		10,201		473,836
SkyWest, Inc.		24,142		826,864
				1,300,700
Auto Components - 1.6%
Cooper-Standard Holdings, Inc. *		7,161		794,370
Dana, Inc.		5,357		103,444
Dorman Products, Inc. *		10,092		828,856
Fox Factory Holding Corp. *		11,444		328,443
Horizon Global Corp. *		18,182		252,366
LCI Industries		11,249		1,122,650
Modine Manufacturing Co. *		10,588		129,174
Motorcar Parts of America, Inc. *		6,430		197,594
Spartan Motors, Inc.		37,893		303,144
Standard Motor Products, Inc.		5,402		265,454
Stoneridge, Inc. *		15,449		280,245
Superior Industries International, Inc.		13,870		351,604
Tenneco, Inc.		6,843		427,140
Tower International, Inc.		5,389		146,042
				5,530,526
Automobiles - 0.1%
Winnebago Industries, Inc.		10,133		296,390
Banks - 15.0%
1st Source Corp.		5,049		237,051
Ameris Bancorp		15,452		712,337
Banc of California, Inc.		11,729		242,790
BancFirst Corp.		4,008		360,319
BancorpSouth, Inc.		6,691		202,403
Banner Corp.		1,785		99,317
Berkshire Hills Bancorp, Inc.		4,880		175,924
Boston Private Financial Holdings, Inc.		30,780		504,792
Brookline Bancorp, Inc.		8,843		138,393

INVESTMENTS	SHARES		VALUE
Banks - 15.0% (continued)
Bryn Mawr Bank Corp.		4,081	$	161,199
Camden National Corp., Class R		3,937		173,385
Capital Bank Financial Corp., Class A		15,391		667,969
CenterState Banks, Inc.		33,895		877,880
Central Pacific Financial Corp.		12,758		389,629
Chemical Financial Corp.		26,151		1,337,624
City Holding Co.		2,567		165,520
Columbia Banking System, Inc.		2,554		99,580
Community Bank System, Inc.		17,205		945,931
ConnectOne Bancorp, Inc.		14,637		354,947
Customers Bancorp, Inc. *		3,792		119,562
CVB Financial Corp.		7,436		164,261
Eagle Bancorp, Inc. *		12,979		774,846
Enterprise Financial Services Corp.		13,952		591,565
Farmers Capital Bank Corp.		5,007		202,283
FCB Financial Holdings, Inc., Class A *		16,616		823,323
Fidelity Southern Corp.		17,798		398,319
First BanCorp *		159,829		903,034
First Busey Corp.		8,297		243,932
First Citizens BancShares, Inc., Class A		2,093		701,929
First Commonwealth Financial Corp.		40,294		534,298
First Financial Bancorp		17,714		486,249
First Financial Bankshares, Inc. (a)		15,744		631,334
First Interstate BancSystem, Inc., Class A		20,480		812,032
First Merchants Corp.		19,729		775,744
Flushing Financial Corp.		7,004		188,197
Franklin Financial Network, Inc. *		4,121		159,689
Fulton Financial Corp.		50,152		895,213
German American Bancorp, Inc., Class R		2,390		113,143
Glacier Bancorp, Inc.		7,663		260,006
Great Southern Bancorp, Inc.		4,133		208,716
Great Western Bancorp, Inc.		38,538		1,634,397
Green Bancorp, Inc. *		14,806		263,547
Guaranty Bancorp		10,422		253,776
Hancock Holding Co.		43,117		1,963,979
Hanmi Financial Corp.		15,722		483,451
Heartland Financial USA, Inc.		10,817		540,309
Hilltop Holdings, Inc.		30,825		846,763
Home BancShares, Inc.		22,589		611,484
IBERIABANK Corp.		18,383		1,454,095
Independent Bank Corp./MA		7,977		518,505
Independent Bank Corp./MI		31,317		648,262
Independent Bank Group, Inc.		9,874		634,898
International Bancshares Corp.		20,804		736,462
Lakeland Bancorp, Inc.		20,031		392,608
Lakeland Financial Corp.		15,871		684,358
LegacyTexas Financial Group, Inc.		20,329		811,127
MainSource Financial Group, Inc.		7,219		237,722
MB Financial, Inc.		15,650		670,133
National Bank Holdings Corp., Class A		9,913		322,172
NBT Bancorp, Inc.		11,742		435,276
OFG Bancorp (a)		40,877		482,349
Old National Bancorp		16,895		293,128
Pacific Premier Bancorp, Inc. *		11,465		441,976
Park Sterling Corp.		25,621		315,395
Preferred Bank		11,743		630,129
Prosperity Bancshares, Inc.		24,250		1,690,468
QCR Holdings, Inc.		7,750		328,213

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

AQR Funds Semi-Annual Report March 2017

52

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Banks - 15.0% (continued)
Renasant Corp.		4,694	$	186,305
S&T Bancorp, Inc.		3,731		129,093
Sandy Spring Bancorp, Inc.		8,198		336,036
Seacoast Banking Corp. of Florida *		23,688		568,038
ServisFirst Bancshares, Inc. (a)		38,516		1,401,212
Simmons First National Corp., Class A		3,151		173,778
Southside Bancshares, Inc.		16,339		548,500
State Bank Financial Corp.		5,880		153,586
Sterling Bancorp		62,178		1,473,619
Stock Yards Bancorp, Inc.		8,250		335,363
Stonegate Bank		1,147		54,012
Texas Capital Bancshares, Inc. *		25,456		2,124,303
Tompkins Financial Corp.		5,057		407,341
Towne Bank		28,359		918,832
TriState Capital Holdings, Inc. *		10,471		244,498
Triumph Bancorp, Inc. *		9,529		245,848
Trustmark Corp.		23,118		734,921
UMB Financial Corp.		15,862		1,194,567
Union Bankshares Corp.		11,576		407,244
United Community Banks, Inc.		31,765		879,573
Univest Corp. of Pennsylvania		8,294		214,815
Veritex Holdings, Inc. *		8,831		248,328
Washington Trust Bancorp, Inc.		3,886		191,580
Webster Financial Corp.		28,536		1,427,941
Wintrust Financial Corp.		14,646		1,012,332
				51,771,312
Beverages - 0.4%
Craft Brew Alliance, Inc. *		13,506		180,305
MGP Ingredients, Inc.		14,063		762,637
National Beverage Corp.		4,955		418,846
				1,361,788
Biotechnology - 5.9%
Agenus, Inc. *(a)		31,652		119,328
Aimmune Therapeutics, Inc. *(a)		8,761		190,377
Array BioPharma, Inc. *		92,209		824,349
Avexis, Inc. *		8,083		614,551
BioCryst Pharmaceuticals, Inc. *		38,794		325,870
BioSpecifics Technologies Corp. *		2,268		124,286
Bluebird Bio, Inc. *		4,764		433,048
Blueprint Medicines Corp. *		16,977		678,910
Cara Therapeutics, Inc. *(a)		16,693		306,984
Clovis Oncology, Inc. *		19,105		1,216,415
Coherus Biosciences, Inc. *		15,888		336,031
CTI BioPharma Corp. *		7,700		32,340
Cytokinetics, Inc. *		24,625		316,431
Eagle Pharmaceuticals, Inc. *		1,959		162,480
Exact Sciences Corp. *(a)		52,076		1,230,035
Exelixis, Inc. *		115,937		2,512,355
Five Prime Therapeutics, Inc. *		5,739		207,465
Flexion Therapeutics, Inc. *		6,673		179,570
Global Blood Therapeutics, Inc. *		3,828		141,062
Immunomedics, Inc. *(a)		60,559		391,817
Inovio Pharmaceuticals, Inc. *(a)		25,791		170,736
Insmed, Inc. *		11,460		200,665
Ironwood Pharmaceuticals, Inc. *		51,806		883,810
Lexicon Pharmaceuticals, Inc. *(a)		35,717		512,182
Loxo Oncology, Inc. *		6,951		292,498

INVESTMENTS	SHARES		VALUE
Biotechnology - 5.9% (continued)
Minerva Neurosciences, Inc. *		30,703	$	248,694
Momenta Pharmaceuticals, Inc. *		12,254		163,591
Ohr Pharmaceutical, Inc. *		7,600		6,311
Organovo Holdings, Inc. *(a)		37,800		120,204
Peregrine Pharmaceuticals, Inc. *(a)		181,400		118,636
Progenics Pharmaceuticals, Inc. *		45,328		427,896
Prothena Corp. plc (Ireland) *		2,118		118,163
PTC Therapeutics, Inc. *		11,354		111,723
REGENXBIO, Inc. *		5,036		97,195
Repligen Corp. *		4,058		142,842
Retrophin, Inc. *		5,521		101,918
Sage Therapeutics, Inc. *		4,129		293,448
Sarepta Therapeutics, Inc. *		24,549		726,650
Spark Therapeutics, Inc. *		9,065		483,527
Spectrum Pharmaceuticals, Inc. *		25,248		164,112
Stemline Therapeutics, Inc. *		23,815		203,618
Synergy Pharmaceuticals, Inc. *(a)		90,844		423,333
TESARO, Inc. *		20,330		3,128,177
Vanda Pharmaceuticals, Inc. *		23,622		330,708
Versartis, Inc. *		6,817		145,543
Xencor, Inc. *		23,023		550,710
				20,510,594
Building Products - 1.6%
AAON, Inc.		13,253		468,494
American Woodmark Corp. *		1,958		179,744
Builders FirstSource, Inc. *		9,381		139,777
Gibraltar Industries, Inc. *		18,133		747,080
Griffon Corp.		14,851		366,077
Insteel Industries, Inc.		12,933		467,399
NCI Building Systems, Inc. *		19,728		338,335
Patrick Industries, Inc. *		12,325		873,842
PGT Innovations, Inc. *		16,718		179,718
Ply Gem Holdings, Inc. *		7,520		148,144
Simpson Manufacturing Co., Inc.		4,339		186,967
Trex Co., Inc. *		10,340		717,493
Universal Forest Products, Inc.		5,370		529,160
				5,342,230
Capital Markets - 0.9%
Arlington Asset Investment Corp., Class A (a)		9,426		133,190
BGC Partners, Inc., Class A		15,955		181,249
Cohen & Steers, Inc.		5,988		239,340
Diamond Hill Investment Group, Inc.		1,639		318,868
Evercore Partners, Inc., Class A		8,728		679,911
Financial Engines, Inc.		2,369		103,170
GAIN Capital Holdings, Inc.		24,292		202,352
INTL. FCStone, Inc. *		6,700		254,332
Moelis & Co., Class A		8,078		311,003
Piper Jaffray Cos.		7,162		457,294
Stifel Financial Corp. *		7,044		353,538
				3,234,247
Chemicals - 3.7%
American Vanguard Corp.		9,893		164,224
Balchem Corp.		1,382		113,904
Chase Corp.		2,752		262,541
Chemours Co. (The)		73,667		2,836,180

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

AQR Funds Semi-Annual Report March 2017

53

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Chemicals - 3.7% (continued)
Ferro Corp. *		11,834	$	179,759
Flotek Industries, Inc. *		8,020		102,576
HB Fuller Co.		3,809		196,392
Innophos Holdings, Inc.		5,047		272,387
Innospec, Inc.		5,039		326,275
KMG Chemicals, Inc.		10,063		463,602
Koppers Holdings, Inc. *		10,060		426,041
Kraton Corp. *		12,326		381,120
Kronos Worldwide, Inc.		45,298		744,246
Minerals Technologies, Inc.		9,007		689,936
Olin Corp.		47,114		1,548,637
Quaker Chemical Corp.		3,374		444,221
Rayonier Advanced Materials, Inc.		22,243		299,168
Sensient Technologies Corp.		1,677		132,919
Stepan Co.		7,663		603,921
Trinseo SA		23,676		1,588,660
Tronox Ltd., Class A		58,174		1,073,310
				12,850,019
Commercial Services & Supplies - 2.0%
ABM Industries, Inc.		8,276		360,834
ACCO Brands Corp. *		42,602		560,216
Aqua Metals, Inc. *(a)		28,300		552,982
Brady Corp., Class A		18,800		726,620
Brink’s Co. (The)		14,736		787,639
Casella Waste Systems, Inc., Class A *		19,224		271,251
CECO Environmental Corp.		14,459		151,964
Ennis, Inc.		10,681		181,577
HNI Corp.		6,550		301,889
Kimball International, Inc., Class B		9,927		163,795
Knoll, Inc.		6,874		163,670
Matthews International Corp., Class A		6,066		410,365
MSA Safety, Inc.		5,126		362,357
Multi-Color Corp.		2,315		164,365
Quad/Graphics, Inc.		27,450		692,838
Tetra Tech, Inc.		14,182		579,335
UniFirst Corp.		715		101,137
US Ecology, Inc.		3,206		150,201
Viad Corp.		5,800		262,160
				6,945,195
Communications Equipment - 2.9%
ADTRAN, Inc.		4,995		103,646
Applied Optoelectronics, Inc. *		13,309		747,300
CalAmp Corp. *		8,803		147,802
Ciena Corp. *		4,576		108,039
Clearfield, Inc. *		8,247		135,663
EMCORE Corp.		24,157		217,413
Extreme Networks, Inc. *		53,092		398,721
Finisar Corp. *		43,098		1,178,299
InterDigital, Inc.		11,978		1,033,702
Lumentum Holdings, Inc. *		28,586		1,525,063
NETGEAR, Inc. *		11,514		570,519
NetScout Systems, Inc. *		8,626		327,357
Oclaro, Inc. *		102,952		1,010,989
ShoreTel, Inc. *		18,745		115,282
Sonus Networks, Inc. *		23,563		155,280
Ubiquiti Networks, Inc. *		32,650		1,640,989

INVESTMENTS	SHARES		VALUE
Communications Equipment - 2.9% (continued)
Viavi Solutions, Inc. *		59,394	$	636,704
				10,052,768
Construction & Engineering - 1.6%
Aegion Corp. *		6,788		155,513
Argan, Inc.		8,380		554,337
Comfort Systems USA, Inc.		6,501		238,262
EMCOR Group, Inc.		14,282		899,052
Granite Construction, Inc.		5,993		300,789
HC2 Holdings, Inc. *		27,896		172,955
MasTec, Inc. *		34,650		1,387,732
MYR Group, Inc. *		5,924		242,884
NV5 Global, Inc. *		13,579		510,570
Orion Group Holdings, Inc. *		17,434		130,232
Primoris Services Corp.		9,996		232,107
Tutor Perini Corp. *		21,901		696,452
				5,520,885
Construction Materials - 0.1%
US Concrete, Inc. *(a)		2,282		147,303
Consumer Finance - 0.3%
Enova International, Inc. *		16,541		245,634
EZCORP, Inc., Class A *		33,759		275,136
Green Dot Corp., Class A *		7,399		246,831
Nelnet, Inc., Class A		4,465		195,835
Regional Management Corp. *		7,164		139,196
				1,102,632
Containers & Packaging - 0.3%
Greif, Inc., Class A		18,407		1,014,042
Diversified Consumer Services - 1.0%
American Public Education, Inc. *		7,939		181,803
Capella Education Co.		4,321		367,393
Career Education Corp. *		55,545		483,242
Carriage Services, Inc.		7,513		203,753
DeVry Education Group, Inc.		11,392		403,846
Grand Canyon Education, Inc. *		12,271		878,726
K12, Inc. *		12,335		236,215
Sotheby’s *		13,077		594,742
				3,349,720
Diversified Telecommunication Services - 0.3%
Consolidated Communications Holdings, Inc. (a)		4,517		105,788
General Communication, Inc., Class A *		6,718		139,734
IDT Corp., Class B		12,066		153,480
ORBCOMM, Inc. *		34,589		330,325
Straight Path Communications, Inc., Class B *(a)		8,004		287,904
Windstream Holdings, Inc. (a)		18,604		101,392
				1,118,623
Electric Utilities - 0.2%
MGE Energy, Inc.		4,509		293,085
Otter Tail Corp.		3,477		131,778
Spark Energy, Inc., Class A (a)		11,816		377,521
				802,384

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

AQR Funds Semi-Annual Report March 2017

54

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Electrical Equipment - 0.4%
AZZ, Inc.		2,347	$	139,647
Energous Corp. *		19,955		311,298
EnerSys		7,702		607,996
Generac Holdings, Inc. *		6,783		252,870
				1,311,811
Electronic Equipment, Instruments & Components - 3.5%
Anixter International, Inc. *		2,775		220,057
AVX Corp.		12,390		202,948
Badger Meter, Inc.		7,765		285,364
Belden, Inc.		8,182		566,113
Coherent, Inc. *		10,497		2,158,603
Control4 Corp. *		10,940		172,743
CTS Corp.		12,200		259,860
ePlus, Inc. *		2,538		342,757
Fabrinet (Thailand) *		19,918		837,154
II-VI, Inc. *		22,106		796,921
Insight Enterprises, Inc. *		4,032		165,675
Itron, Inc. *		13,825		839,177
Littelfuse, Inc.		3,943		630,525
Mesa Laboratories, Inc.		2,830		347,241
Methode Electronics, Inc.		6,651		303,286
PC Connection, Inc.		9,526		283,780
Plexus Corp. *		1,779		102,826
Rogers Corp. *		4,266		366,321
Sanmina Corp. *		27,924		1,133,714
SYNNEX Corp.		4,427		495,558
TTM Technologies, Inc. *		49,563		799,451
Universal Display Corp.		3,850		331,485
Vishay Intertechnology, Inc.		33,144		545,219
				12,186,778
Energy Equipment & Services - 2.1%
Archrock, Inc.		43,483		539,189
Atwood Oceanics, Inc. *		26,271		250,363
Exterran Corp. *		9,514		299,215
Fairmount Santrol Holdings, Inc. *(a)		114,685		840,641
Forum Energy Technologies, Inc. *		38,536		797,695
Helix Energy Solutions Group, Inc. *		75,724		588,376
McDermott International, Inc. *		109,189		737,026
Newpark Resources, Inc. *		12,511		101,339
Oil States International, Inc. *		5,507		182,557
Pioneer Energy Services Corp. *		88,664		354,656
Seadrill Ltd. (United Kingdom) *(a)		68,171		112,482
TETRA Technologies, Inc. *		26,462		107,701
Unit Corp. *		31,312		756,498
US Silica Holdings, Inc.		30,966		1,486,058
				7,153,796
Equity Real Estate Investment Trusts (REITs) - 1.9%
Agree Realty Corp.		5,907		283,300
Alexander’s, Inc.		234		101,055
Armada Hoffler Properties, Inc.		10,728		149,012
Bluerock Residential Growth REIT, Inc.		11,974		147,400
Community Healthcare Trust, Inc.		7,431		177,601
DuPont Fabros Technology, Inc.		12,977		643,530
Easterly Government Properties, Inc.		6,848		135,522
Four Corners Property Trust, Inc.		5,023		114,675
GEO Group, Inc. (The)		2,715		125,895

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 1.9% (continued)
Getty Realty Corp.		4,321	$	109,192
Gladstone Commercial Corp.		17,758		367,058
Government Properties Income Trust		9,351		195,716
Independence Realty Trust, Inc.		11,681		109,451
Lexington Realty Trust		47,043		469,489
Monmouth Real Estate Investment Corp.		28,817		411,219
National Storage Affiliates Trust		18,837		450,204
NexPoint Residential Trust, Inc.		16,633		401,853
Potlatch Corp.		2,640		120,648
Preferred Apartment Communities, Inc., Class A		12,783		168,863
Rexford Industrial Realty, Inc.		23,862		537,372
Saul Centers, Inc.		1,960		120,775
Select Income REIT		18,141		467,856
STAG Industrial, Inc.		12,363		309,322
Terreno Realty Corp.		3,838		107,464
Universal Health Realty Income Trust		1,929		124,421
Urstadt Biddle Properties, Inc., Class A		5,947		122,270
Whitestone REIT		8,519		117,903
				6,589,066
Food & Staples Retailing - 0.2%
Ingles Markets, Inc., Class A		4,685		202,158
SpartanNash Co.		8,618		301,544
Weis Markets, Inc.		2,771		165,290
				668,992
Food Products - 0.8%
B&G Foods, Inc.		5,432		218,638
Calavo Growers, Inc.		1,907		115,564
Darling Ingredients, Inc. *		31,350		455,202
Fresh Del Monte Produce, Inc.		20,312		1,203,080
John B Sanfilippo & Son, Inc.		4,035		295,321
Omega Protein Corp.		9,601		192,500
Tootsie Roll Industries, Inc.		5,072		189,429
				2,669,734
Gas Utilities - 0.1%
Chesapeake Utilities Corp.		2,331		161,305
Health Care Equipment & Supplies - 3.6%
Anika Therapeutics, Inc. *		3,754		163,074
Atrion Corp.		378		176,980
AxoGen, Inc. *		17,886		186,909
Cantel Medical Corp.		7,703		617,010
Cardiovascular Systems, Inc. *		16,571		468,545
CryoLife, Inc. *		13,497		224,725
GenMark Diagnostics, Inc. *		31,770		407,291
Glaukos Corp. *		16,973		870,715
Halyard Health, Inc. *		4,267		162,530
ICU Medical, Inc. *		3,999		610,647
Inogen, Inc. *		11,892		922,343
Insulet Corp. *		4,344		187,183
Integra LifeSciences Holdings Corp. *		24,847		1,046,804
LeMaitre Vascular, Inc.		10,217		251,645
Masimo Corp. *		20,087		1,873,314
Merit Medical Systems, Inc. *		10,886		314,605
Nevro Corp. *		8,946		838,240
NuVasive, Inc. *		10,122		755,911

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

AQR Funds Semi-Annual Report March 2017

55

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Health Care Equipment & Supplies - 3.6% (continued)
NxStage Medical, Inc. *		13,083	$	351,017
OraSure Technologies, Inc. *		23,143		299,239
Orthofix International NV *		2,774		105,828
Penumbra, Inc. *		8,300		692,635
Spectranetics Corp. (The) *		19,530		568,811
Wright Medical Group NV *		12,772		397,465
				12,493,466
Health Care Providers & Services - 1.3%
Addus HomeCare Corp. *		9,220		295,040
Almost Family, Inc. *		2,340		113,724
Amedisys, Inc. *		3,030		154,803
AMN Healthcare Services, Inc. *		4,715		191,429
BioTelemetry, Inc. *		25,845		748,213
Civitas Solutions, Inc. *		6,879		126,230
CorVel Corp. *		6,100		265,350
Cross Country Healthcare, Inc. *		14,589		209,498
HealthEquity, Inc. *		21,958		932,117
LHC Group, Inc. *		3,000		161,700
Medcath Corp. (3)*(b)		10,300		—
National HealthCare Corp.		1,886		134,472
RadNet, Inc. *		8,383		49,460
Teladoc, Inc. *		3,980		99,500
Tivity Health, Inc. *		21,636		629,607
US Physical Therapy, Inc.		4,314		281,704
				4,392,847
Health Care Technology - 0.7%
Evolent Health, Inc., Class A *		30,257		674,731
HealthStream, Inc. *		7,258		175,862
HMS Holdings Corp. *		25,137		511,035
Medidata Solutions, Inc. *		7,938		457,943
Omnicell, Inc. *		4,417		179,551
Vocera Communications, Inc. *		10,735		266,550
				2,265,672
Hotels, Restaurants & Leisure - 2.2%
Caesars Entertainment Corp. *(a)		15,360		146,688
Carrols Restaurant Group, Inc. *		23,190		328,138
Chuy’s Holdings, Inc. *		4,565		136,037
Dave & Buster’s Entertainment, Inc. *		11,219		685,369
Denny’s Corp. *		16,550		204,724
Eldorado Resorts, Inc. *(a)		28,663		542,447
International Speedway Corp., Class A		3,567		131,801
Intrawest Resorts Holdings, Inc. *		16,683		417,242
Jack in the Box, Inc.		9,649		981,496
Marcus Corp. (The)		6,900		221,490
Marriott Vacations Worldwide Corp.		3,843		384,031
Monarch Casino & Resort, Inc. *		7,349		217,089
Papa John’s International, Inc.		10,595		848,024
Pinnacle Entertainment, Inc. *		15,765		307,733
Planet Fitness, Inc., Class A		30,398		585,769
Ruth’s Hospitality Group, Inc.		9,641		193,302
Scientific Games Corp., Class A *		39,405		931,928
Texas Roadhouse, Inc.		2,270		101,083
Wingstop, Inc.		7,803		220,669
				7,585,060

INVESTMENTS	SHARES		VALUE
Household Durables - 1.1%
Bassett Furniture Industries, Inc.		12,552	$	337,649
Cavco Industries, Inc. *		2,640		307,296
Flexsteel Industries, Inc.		2,686		135,374
Hooker Furniture Corp.		8,133		252,530
Installed Building Products, Inc. *		14,200		749,050
iRobot Corp. *		9,156		605,578
KB Home		11,104		220,747
LGI Homes, Inc. *(a)		5,346		181,283
NACCO Industries, Inc., Class A		3,287		229,433
Taylor Morrison Home Corp., Class A *		5,047		107,602
TopBuild Corp. *		2,784		130,848
Universal Electronics, Inc. *		2,921		200,088
William Lyon Homes, Class A *		5,382		110,977
ZAGG, Inc. *		17,070		122,904
				3,691,359
Household Products - 0.3%
Central Garden & Pet Co., Class A *		25,171		873,937
Orchids Paper Products Co. (a)		5,844		140,256
				1,014,193
Independent Power and Renewable Electricity Producers - 0.2%
Ormat Technologies, Inc.		11,307		645,404
TerraForm Power, Inc., Class A *		7,555		93,455
				738,859
Industrial Conglomerates - 0.1%
Raven Industries, Inc.		8,805		255,785
Insurance - 1.7%
Ambac Financial Group, Inc. *		13,269		250,253
American Equity Investment Life Holding Co.		4,262		100,711
AMERISAFE, Inc.		4,224		274,138
Argo Group International Holdings Ltd.		3,368		228,350
Employers Holdings, Inc.		6,048		229,522
Enstar Group Ltd. *		725		138,693
FBL Financial Group, Inc., Class A		7,378		482,890
Federated National Holding Co.		7,509		130,882
Horace Mann Educators Corp.		3,809		156,359
James River Group Holdings Ltd.		10,221		438,072
Kemper Corp.		3,161		126,124
MBIA, Inc. *		45,938		389,095
National General Holdings Corp.		6,546		155,533
Navigators Group, Inc. (The)		3,083		167,407
OneBeacon Insurance Group Ltd., Class A		10,443		167,088
Primerica, Inc.		15,101		1,241,302
Safety Insurance Group, Inc.		1,836		128,704
Selective Insurance Group, Inc.		6,834		322,223
Stewart Information Services Corp.		3,674		162,317
Trupanion, Inc. *(a)		20,746		295,008
United Fire Group, Inc.		6,763		289,254
United Insurance Holdings Corp.		8,652		137,999
				6,011,924
Internet & Direct Marketing Retail - 0.5%
Duluth Holdings, Inc., Class B *		15,401		327,887
Etsy, Inc. *		38,786		412,295
Nutrisystem, Inc.		12,991		721,001

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

AQR Funds Semi-Annual Report March 2017

56

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Internet & Direct Marketing Retail - 0.5% (continued)
Overstock.com, Inc. *		7,033	$	120,968
PetMed Express, Inc.		10,939		220,311
				1,802,462
Internet Software & Services - 3.0%
2U, Inc. *		16,417		651,098
Alarm.com Holdings, Inc. *		20,514		630,600
Amber Road, Inc. *		19,878		153,458
Blucora, Inc. *		18,772		324,756
Box, Inc. *		6,118		99,785
Brightcove, Inc. *		21,470		191,083
Carbonite, Inc. *		20,251		411,095
ChannelAdvisor Corp. *		12,592		140,401
Cimpress NV (Netherlands) *		1,499		129,199
Cornerstone OnDemand, Inc. *		2,813		109,397
Envestnet, Inc. *		4,262		137,663
Five9, Inc. *		48,315		795,265
GrubHub, Inc. *		31,591		1,039,028
GTT Communications, Inc. *		8,801		214,304
LogMeIn, Inc.		14,614		1,424,865
MeetMe, Inc. *		64,319		378,839
MINDBODY, Inc., Class A *(a)		21,019		576,971
NIC, Inc.		11,003		222,261
Q2 Holdings, Inc. *		6,919		241,127
Quotient Technology, Inc. *		33,243		317,471
Shutterstock, Inc. *		13,394		553,842
Stamps.com, Inc. *(a)		898		106,278
TrueCar, Inc. *(a)		45,276		700,420
Xactly Corp. *		26,867		319,717
XO Group, Inc. *		16,852		290,023
				10,158,946
IT Services - 1.2%
Acxiom Corp. *		16,198		461,157
CACI International, Inc., Class A *		2,320		272,136
Cardtronics plc, Class A *		12,329		576,381
Cardtronics, Inc. *		900		42,075
CSG Systems International, Inc.		8,722		329,779
Hackett Group, Inc. (The)		15,924		310,359
ManTech International Corp., Class A		6,644		230,082
Perficient, Inc. *		11,282		195,855
PFSweb, Inc. *		3,289		21,477
Science Applications International Corp.		15,397		1,145,537
ServiceSource International, Inc. *		27,897		108,240
TeleTech Holdings, Inc.		5,303		156,969
Unisys Corp. *(a)		12,173		169,813
				4,019,860
Leisure Products - 0.1%
American Outdoor Brands Corp. *(a)		5,076		100,556
Callaway Golf Co.		13,688		151,526
Nautilus, Inc. *		8,397		153,245
				405,327
Life Sciences Tools & Services - 0.4%
Accelerate Diagnostics, Inc. *(a)		16,825		407,165
Cambrex Corp. *		2,200		121,110
NanoString Technologies, Inc. *		7,279		144,634
NeoGenomics, Inc. *		26,536		209,369

INVESTMENTS	SHARES		VALUE
Life Sciences Tools & Services - 0.4% (continued)
PRA Health Sciences, Inc. *		9,621	$	627,578
				1,509,856
Machinery - 4.2%
Alamo Group, Inc.		4,338		330,512
Altra Industrial Motion Corp.		5,521		215,043
Astec Industries, Inc.		9,999		614,889
Barnes Group, Inc.		3,154		161,926
Briggs & Stratton Corp.		7,502		168,420
Chart Industries, Inc. *		13,577		474,380
CIRCOR International, Inc.		5,202		309,207
Douglas Dynamics, Inc.		12,738		390,420
Energy Recovery, Inc. *(a)		33,283		276,915
ESCO Technologies, Inc.		2,964		172,208
Federal Signal Corp.		14,847		205,037
Franklin Electric Co., Inc.		9,218		396,835
Global Brass & Copper Holdings, Inc.		12,385		426,044
Greenbrier Cos., Inc. (The) (a)		4,786		206,277
Harsco Corp. *		26,985		344,059
John Bean Technologies Corp.		14,921		1,312,302
Kadant, Inc.		3,300		195,855
Kennametal, Inc.		26,006		1,020,215
Lydall, Inc. *		10,527		564,247
Manitowoc Co., Inc. (The) *		40,525		230,992
Meritor, Inc. *		29,049		497,609
Mueller Water Products, Inc., Class A		61,119		722,427
Navistar International Corp. *		36,915		908,847
RBC Bearings, Inc. *		4,010		389,331
SPX Corp. *		28,258		685,256
Standex International Corp.		2,682		268,602
Supreme Industries, Inc., Class A		27,495		557,049
Tennant Co.		3,269		237,493
Titan International, Inc.		43,468		449,459
Wabash National Corp.		11,007		227,735
Watts Water Technologies, Inc., Class A		3,799		236,868
Woodward, Inc.		17,815		1,209,995
				14,406,454
Marine - 0.1%
Scorpio Bulkers, Inc. *(a)		28,418		261,446
Media - 0.5%
AMC Entertainment Holdings, Inc., Class A		24,343		765,587
Entravision Communications Corp., Class A		28,539		176,942
Meredith Corp.		6,098		393,931
New Media Investment Group, Inc.		8,166		116,039
Nexstar Media Group, Inc., Class A		1,601		112,310
Scholastic Corp.		2,513		106,979
World Wrestling Entertainment, Inc., Class A (a)		8,365		185,870
				1,857,658
Metals & Mining - 2.3%
AK Steel Holding Corp. *		132,133		950,036
Allegheny Technologies, Inc. *		32,247		579,156
Century Aluminum Co. *		58,042		736,553
Cliffs Natural Resources, Inc. *		117,176		962,015

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

AQR Funds Semi-Annual Report March 2017

57

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Metals & Mining - 2.3% (continued)
Coeur Mining, Inc. *		86,680	$	700,374
Commercial Metals Co.		5,233		100,107
Gold Resource Corp.		47,777		215,952
Hecla Mining Co.		151,523		801,557
Materion Corp.		4,614		154,800
Olympic Steel, Inc.		13,887		257,743
Ryerson Holding Corp. *		32,102		404,485
Schnitzer Steel Industries, Inc., Class A		11,464		236,732
SunCoke Energy, Inc. *		46,141		413,423
TimkenSteel Corp. *		21,024		397,564
Worthington Industries, Inc.		22,912		1,033,102
				7,943,599
Multiline Retail - 0.2%
Ollie’s Bargain Outlet Holdings, Inc. *		22,203		743,801
Multi-Utilities - 0.1%
Unitil Corp.		6,391		287,787
Oil, Gas & Consumable Fuels - 3.6%
Abraxas Petroleum Corp. *		129,164		260,911
Bill Barrett Corp. *		55,080		250,614
California Resources Corp. *(a)		20,401		306,831
Callon Petroleum Co. *		85,793		1,129,036
Carrizo Oil & Gas, Inc. *		5,240		150,178
Contango Oil & Gas Co. *		23,050		168,726
Delek US Holdings, Inc.		15,102		366,526
Denbury Resources, Inc. *		187,421		483,546
Eclipse Resources Corp. *		129,377		328,618
EP Energy Corp., Class A *(a)		88,395		419,876
GasLog Ltd. (Monaco) (a)		36,731		563,821
Golar LNG Ltd. (Norway)		16,976		474,140
Green Plains, Inc.		7,139		176,690
Matador Resources Co. *		20,642		491,073
Oasis Petroleum, Inc. *		99,580		1,420,011
PDC Energy, Inc. *		17,143		1,068,866
REX American Resources Corp. *		3,271		295,993
Ring Energy, Inc. *		26,148		282,921
RSP Permian, Inc. *		50,976		2,111,936
Sanchez Energy Corp. *(a)		59,634		568,908
SemGroup Corp., Class A		20,852		750,672
W&T Offshore, Inc. *(a)		60,598		167,856
Westmoreland Coal Co. *		17,705		257,077
				12,494,826
Paper & Forest Products - 0.2%
Clearwater Paper Corp. *		2,894		162,064
KapStone Paper and Packaging Corp.		9,226		213,120
Louisiana-Pacific Corp. *		6,991		173,517
Neenah Paper, Inc.		3,646		272,356
				821,057
Personal Products - 0.2%
Avon Products, Inc. *		77,840		342,496
Inter Parfums, Inc.		4,301		157,201
Natural Health Trends Corp.		6,691		193,370
Revlon, Inc., Class A *		4,507		125,520
				818,587

INVESTMENTS	SHARES		VALUE
Pharmaceuticals - 1.5%
Aclaris Therapeutics, Inc. *		3,349	$	99,867
Aerie Pharmaceuticals, Inc. *		18,685		847,365
Amphastar Pharmaceuticals, Inc. *		19,729		286,070
ANI Pharmaceuticals, Inc. *		4,864		240,817
Aratana Therapeutics, Inc. *(a)		30,790		163,187
Corcept Therapeutics, Inc. *		58,065		636,392
Depomed, Inc. *		8,556		107,378
Dermira, Inc. *		7,161		244,262
Heska Corp. *		9,027		947,654
Medicines Co. (The) *		6,394		312,666
Nektar Therapeutics *		8,346		195,881
SciClone Pharmaceuticals, Inc. *		17,581		172,294
Supernus Pharmaceuticals, Inc. *		25,872		809,794
TherapeuticsMD, Inc. *(a)		23,340		168,048
				5,231,675
Professional Services - 1.1%
Advisory Board Co. (The) *		3,333		155,984
Barrett Business Services, Inc.		3,741		204,333
CRA International, Inc.		6,151		217,315
Exponent, Inc.		1,823		108,560
Heidrick & Struggles International, Inc.		6,742		177,652
ICF International, Inc. *		3,076		127,039
Insperity, Inc.		8,474		751,220
Kelly Services, Inc., Class A		6,667		145,741
Kforce, Inc.		6,514		154,707
Mistras Group, Inc. *		11,599		247,987
Navigant Consulting, Inc. *		10,627		242,933
TriNet Group, Inc. *		14,101		407,519
WageWorks, Inc. *		12,496		903,461
				3,844,451
Real Estate Management & Development - 0.2%
Marcus & Millichap, Inc. *		5,385		132,363
RE/MAX Holdings, Inc., Class A		5,481		325,845
RMR Group, Inc. (The), Class A		6,059		299,921
				758,129
Road & Rail - 0.4%
Knight Transportation, Inc.		3,265		102,358
Marten Transport Ltd.		7,355		172,475
Saia, Inc. *		12,610		558,623
Swift Transportation Co. *		28,060		576,352
				1,409,808
Semiconductors & Semiconductor Equipment - 6.8%
Advanced Energy Industries, Inc. *		19,613		1,344,667
Advanced Micro Devices, Inc. *		328,724		4,782,934
Alpha & Omega Semiconductor Ltd. *		19,516		335,480
Amkor Technology, Inc. *		100,644		1,166,464
Axcelis Technologies, Inc. *		13,172		247,634
Brooks Automation, Inc.		22,062		494,189
Cabot Microelectronics Corp.		5,876		450,160
CEVA, Inc. *		12,403		440,306
Cirrus Logic, Inc. *		26,820		1,627,706
Entegris, Inc. *		36,807		861,284
Exar Corp. *		6,672		86,803
FormFactor, Inc. *		28,368		336,161
Inphi Corp. *		21,064		1,028,344

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

AQR Funds Semi-Annual Report March 2017

58

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Semiconductors & Semiconductor Equipment - 6.8% (continued)
MACOM Technology Solutions Holdings, Inc. *		4,097	$	197,885
MaxLinear, Inc., Class A *		37,348		1,047,611
Microsemi Corp. *		38,374		1,977,412
MKS Instruments, Inc.		16,379		1,126,056
Monolithic Power Systems, Inc.		14,543		1,339,410
Nanometrics, Inc. *		9,875		300,792
NeoPhotonics Corp. *		22,652		204,095
PDF Solutions, Inc. *		11,205		253,457
Photronics, Inc. *		17,287		184,971
Power Integrations, Inc.		9,694		637,380
Rudolph Technologies, Inc. *		14,942		334,701
Semtech Corp. *		24,266		820,191
Sigma Designs, Inc. *		22,053		137,831
Silicon Laboratories, Inc. *		9,460		695,783
Ultra Clean Holdings, Inc. *		25,780		434,909
Veeco Instruments, Inc. *		8,070		240,890
Xcerra Corp. *		21,804		193,838
XPERI Corp.		7,029		238,635
				23,567,979
Software - 3.8%
8x8, Inc. *		35,043		534,406
A10 Networks, Inc. *		17,104		156,502
Aspen Technology, Inc. *		19,337		1,139,336
Barracuda Networks, Inc. *		23,972		553,993
BroadSoft, Inc. *		6,300		253,260
Callidus Software, Inc. *		7,613		162,538
CommVault Systems, Inc. *		8,944		454,355
Digimarc Corp. *(a)		4,179		112,833
Ebix, Inc.		15,421		944,536
Ellie Mae, Inc. *		4,576		458,835
Fair Isaac Corp.		4,391		566,219
Gigamon, Inc. *		13,171		468,229
Mitek Systems, Inc. *		27,452		182,556
Monotype Imaging Holdings, Inc.		5,625		113,062
Paycom Software, Inc. *		16,952		974,910
Paylocity Holding Corp. *		3,207		123,886
Pegasystems, Inc.		20,583		902,565
Progress Software Corp.		3,731		108,386
Proofpoint, Inc. *		13,163		978,801
PROS Holdings, Inc. *		4,211		101,864
RealPage, Inc. *		25,543		891,451
RingCentral, Inc., Class A *		5,248		148,518
Take-Two Interactive Software, Inc. *		32,781		1,942,930
TiVo Corp.		17,189		322,294
Varonis Systems, Inc. *		7,938		252,428
Zendesk, Inc. *		4,957		138,994
Zix Corp. *		44,752		215,257
				13,202,944
Specialty Retail - 0.7%
Big 5 Sporting Goods Corp. (a)		11,260		170,026
Boot Barn Holdings, Inc. *		16,051		158,744
Children’s Place, Inc. (The)		6,148		738,067
Citi Trends, Inc.		7,878		133,926
Haverty Furniture Cos., Inc.		7,500		182,625
Party City Holdco, Inc. *		19,425		272,921
Pier 1 Imports, Inc.		23,698		169,678

INVESTMENTS	SHARES		VALUE
Specialty Retail - 0.7% (continued)
Shoe Carnival, Inc.		7,229	$	177,617
Tailored Brands, Inc.		11,918		178,055
Tile Shop Holdings, Inc.		7,409		142,623
Tilly’s, Inc., Class A		20,376		183,792
				2,508,074
Technology Hardware, Storage & Peripherals - 0.2%
3D Systems Corp. *(a)		41,604		622,396
Textiles, Apparel & Luxury Goods - 0.3%
Culp, Inc.		11,894		371,093
Movado Group, Inc.		5,631		140,493
Perry Ellis International, Inc. *		7,211		154,892
Unifi, Inc. *		5,876		166,820
Wolverine World Wide, Inc.		3,962		98,931
				932,229
Thrifts & Mortgage Finance - 2.9%
Beneficial Bancorp, Inc.		22,637		362,192
BofI Holding, Inc. *(a)		5,347		139,717
Capitol Federal Financial, Inc.		20,104		294,121
Dime Community Bancshares, Inc.		8,591		174,397
Essent Group Ltd. *		22,078		798,561
Federal Agricultural Mortgage Corp., Class C		4,759		273,976
First Defiance Financial Corp.		5,710		282,702
Flagstar Bancorp, Inc. *		18,064		509,224
HomeStreet, Inc. *		8,667		242,243
Kearny Financial Corp.		23,651		355,948
LendingTree, Inc. *		1,379		172,858
Meridian Bancorp, Inc.		29,164		533,701
Meta Financial Group, Inc.		5,656		500,556
MGIC Investment Corp. *		73,725		746,834
Nationstar Mortgage Holdings, Inc. *		30,411		479,277
NMI Holdings, Inc., Class A *		15,642		178,319
Northfield Bancorp, Inc.		9,328		168,091
Northwest Bancshares, Inc.		30,766		518,099
Oritani Financial Corp.		10,618		180,506
Provident Financial Services, Inc.		5,922		153,084
Radian Group, Inc.		52,557		943,924
Walker & Dunlop, Inc. *		5,866		244,554
Washington Federal, Inc.		22,905		758,155
Waterstone Financial, Inc.		33,935		619,314
WSFS Financial Corp.		10,598		486,978
				10,117,331
Trading Companies & Distributors - 1.1%
Aircastle Ltd.		5,512		133,005
Applied Industrial Technologies, Inc.		6,185		382,542
Beacon Roofing Supply, Inc. *		2,056		101,073
DXP Enterprises, Inc. *		6,458		244,564
H&E Equipment Services, Inc.		8,078		198,072
Kaman Corp.		2,836		136,497
MRC Global, Inc. *		36,896		676,304
NOW, Inc. *		7,969		135,154
Rush Enterprises, Inc., Class A *		6,678		220,908
Univar, Inc. *		48,977		1,501,635
Veritiv Corp. *		2,936		152,085
				3,881,839

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

AQR Funds Semi-Annual Report March 2017

59

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Water Utilities - 0.3%
California Water Service Group		4,921	$	176,418
Connecticut Water Service, Inc.		3,531		187,672
Middlesex Water Co.		8,786		324,643
SJW Group		6,372		307,258
				995,991
Wireless Telecommunication Services - 0.2%
Boingo Wireless, Inc. *		19,566		254,162
Shenandoah Telecommunications Co.		7,042		197,528
Spok Holdings, Inc.		7,837		148,903
				600,593
TOTAL COMMON STOCKS (cost $269,045,985)				335,221,602
RIGHTS - 0.0% (c)	NO. OF RIGHTS
Biotechnology - 0.0% (c)
Durata Therapeutics, Inc., CVR (3)*(b)		9,900		2,782
Electronic Equipment, Instruments & Components - 0.0% (c)
Gerber Scientific, Inc., CVR (3)*(b)		4,000		—
TOTAL RIGHTS (cost $—)				2,782
WARRANT - 0.0% (c)	NO. OF WARRANTS
Diversified Consumer Services - 0.0% (c)
Education Management Corp., expiring 5/1/2022 (cost $—) (3)*(b)		6,600		—
SHORT-TERM INVESTMENT - 3.1%	SHARES
Investment Company - 3.1%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $10,792,457) (2)(d)		10,792,457		10,792,457
SECURITIES LENDING COLLATERAL - 4.5%
Investment Company - 4.5%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58% (cost $15,540,883) (2)(d)(e)		15,540,883		15,540,883
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 104.7% (cost $295,379,325)				361,557,724
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.7)% (f)			(16,159,684)
NET ASSETS - 100.0%			$	345,398,040

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	28,702,606			8.3	%
Consumer Staples		6,533,294			1.9
Energy		19,648,622			5.7
Financials		72,237,445			20.9
Health Care		46,406,891			13.4
Industrials		53,055,096			15.4
Information Technology		73,811,672			21.4
Materials		22,776,020			6.6
Real Estate		7,347,196			2.1
Telecommunication Services		1,719,216			0.5
Utilities		2,986,326			0.9
Short-Term Investment		10,792,457			3.1
Securities Lending Collateral		15,540,883			4.5
Total Investments In Securities At Value		361,557,724			104.7
Liabilities in Excess of Other Assets (f)		(16,159,684	)		(4.7	)
Net Assets	$	345,398,040			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $14,914,491.

(b) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $2,782, which represents approximately 0.00% of net assets of the fund.

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

(d) Represents 7-day effective yield as of 3/31/2017.

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

(f) Includes appreciation/(depreciation) on futures contracts.

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

(2) Level 2 security (See Note 4).

(3) Level 3 security (See Note 4).

Abbreviations

CVR - Contingent Value Rights

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

AQR Funds Semi-Annual Report March 2017

60

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
86	BARC	E-Mini Russell 2000 Futures		06/2017		$5,868,930		$5,952,920		$83,990

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$255,421		$255,421

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

AQR Funds Semi-Annual Report March 2017

61

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.7%
Australia - 6.2%
AGL Energy Ltd.		35,608	$	717,255
Alumina Ltd.		187,658		256,756
Amcor Ltd.		51,193		588,842
Aristocrat Leisure Ltd.		67,187		922,244
ASX Ltd.		6,715		258,966
Aurizon Holdings Ltd.		34,758		139,377
AusNet Services		141,964		182,748
Australia & New Zealand Banking Group Ltd.		123,108		2,989,145
BHP Billiton plc		260,068		4,011,268
Caltex Australia Ltd.		6,130		138,119
Challenger Ltd.		34,434		330,032
CIMIC Group Ltd.		12,885		353,547
Cochlear Ltd.		4,247		438,725
CSL Ltd.		1,707		163,438
Dexus Property Group, REIT		44,703		333,645
Domino’s Pizza Enterprises Ltd.		3,490		154,938
Flight Centre Travel Group Ltd.		5,286		116,602
Fortescue Metals Group Ltd.		239,716		1,141,806
Goodman Group, REIT		54,968		324,992
GPT Group (The), REIT		39,907		157,060
Harvey Norman Holdings Ltd.		42,568		147,234
Incitec Pivot Ltd.		54,550		156,610
Insurance Australia Group Ltd.		33,454		154,579
Macquarie Group Ltd.		10,500		723,415
Medibank Pvt Ltd.		221,819		477,774
Mirvac Group, REIT		73,563		123,072
National Australia Bank Ltd.		96,742		2,463,280
Newcrest Mining Ltd.		25,158		428,830
Origin Energy Ltd. *		132,416		712,290
Qantas Airways Ltd.		57,558		171,053
QBE Insurance Group Ltd.		10,922		107,525
Ramsay Health Care Ltd.		6,027		321,735
REA Group Ltd.		3,516		159,444
Scentre Group, REIT		32,187		105,520
SEEK Ltd.		14,726		179,038
South32 Ltd.		513,611		1,082,775
Stockland, REIT		36,312		128,764
Suncorp Group Ltd.		11,430		115,346
Tabcorp Holdings Ltd.		62,963		228,484
Treasury Wine Estates Ltd.		109,832		1,026,010
				22,732,283
Austria - 0.6%
ANDRITZ AG		8,061		403,157
OMV AG		29,529		1,163,717
Raiffeisen Bank International AG *		22,295		502,792
voestalpine AG		5,354		210,564
				2,280,230
Belgium - 0.7%
Ageas		10,441		407,729
KBC Group NV		9,698		642,909
Solvay SA		5,383		656,781
Umicore SA		11,722		667,557
				2,374,976

INVESTMENTS	SHARES		VALUE
Canada - 13.4%
Agnico Eagle Mines Ltd. (1)		12,525	$	531,384
ARC Resources Ltd. (1)		17,284		246,942
Bank of Montreal (1)		37,504		2,801,273
Bank of Nova Scotia (The) (1)		67,262		3,935,018
Barrick Gold Corp. (1)		58,129		1,104,138
Bombardier, Inc., Class B (1)*		296,291		454,513
CAE, Inc. (1)		10,652		162,762
Canadian Imperial Bank of Commerce (1)		19,039		1,641,690
Canadian National Railway Co. (1)		2,372		175,084
Canadian Natural Resources Ltd. (1)		63,558		2,080,923
Canadian Pacific Railway Ltd. (1)		773		113,551
Canadian Tire Corp. Ltd., Class A (1)		3,428		407,230
CCL Industries, Inc., Class B (1)		3,179		693,578
CGI Group, Inc., Class A (1)*		11,422		547,287
Constellation Software, Inc. (1)		305		149,880
Dollarama, Inc. (1)		8,606		713,214
Enbridge, Inc. (1)		39,286		1,645,767
Encana Corp., Class R (1)		89,248		1,045,594
Finning International, Inc. (1)		15,253		284,908
First Quantum Minerals Ltd. (1)		85,511		908,576
Industrial Alliance Insurance & Financial Services, Inc. (1)		8,511		368,830
Inter Pipeline Ltd. (1)		16,351		344,639
Keyera Corp. (1)		7,189		210,883
Kinross Gold Corp. (1)*		96,508		340,356
Magna International, Inc. (1)		5,357		231,183
Manulife Financial Corp. (1)		91,751		1,627,557
Methanex Corp. (1)		6,919		324,189
National Bank of Canada (1)		16,093		675,740
Onex Corp. (1)		4,743		340,429
Open Text Corp. (1)		18,092		614,925
Pembina Pipeline Corp. (1)		21,991		696,846
Peyto Exploration & Development Corp. (1)		6,626		136,272
PrairieSky Royalty Ltd. (1)		25,625		540,691
Restaurant Brands International, Inc. (1)		28,055		1,562,819
Royal Bank of Canada (1)		77,619		5,655,153
Saputo, Inc. (1)		20,854		719,623
Seven Generations Energy Ltd., Class A (1)*		45,560		832,506
Silver Wheaton Corp. (1)		25,634		534,134
SNC-Lavalin Group, Inc. (1)		11,159		437,851
Sun Life Financial, Inc. (1)		27,439		1,001,946
Suncor Energy, Inc. (1)		75,673		2,323,366
Teck Resources Ltd., Class B (1)		55,587		1,215,528
Toronto-Dominion Bank (The) (1)		94,153		4,715,969
Tourmaline Oil Corp. (1)*		18,882		420,988
TransCanada Corp. (1)		44,093		2,034,806
Turquoise Hill Resources Ltd. (1)*		52,331		159,765
Veresen, Inc. (1)		54,192		599,032
Vermilion Energy, Inc. (1)		11,167		418,768
				48,728,106
Chile - 0.0% (a)
Antofagasta plc		16,513		172,406
China - 0.4%
BOC Hong Kong Holdings Ltd.		356,000		1,455,087
Denmark - 1.1%
AP Moller - Maersk A/S, Class B		290		480,336
Danske Bank A/S		28,673		977,632

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

AQR Funds Semi-Annual Report March 2017

62

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Denmark - 1.1% (continued)
DSV A/S		12,376	$	640,126
Genmab A/S *		5,487		1,055,862
ISS A/S		6,056		228,946
Pandora A/S		1,610		178,192
Tryg A/S		15,092		273,636
Vestas Wind Systems A/S		2,226		181,063
				4,015,793
Finland - 0.9%
Kone OYJ, Class B		6,991		307,103
Metso OYJ		8,370		253,287
Neste OYJ		18,325		716,560
Nokian Renkaat OYJ		8,678		362,199
Orion OYJ, Class B		6,824		355,970
Stora Enso OYJ, Class R		25,785		304,887
UPM-Kymmene OYJ		46,133		1,083,160
				3,383,166
France - 7.8%
Accor SA		3,636		151,236
Air Liquide SA		2,890		329,977
Airbus SE		15,373		1,172,372
AXA SA		23,258		600,889
BNP Paribas SA		58,630		3,901,479
Bouygues SA		5,122		208,183
Capgemini SA		10,168		938,564
Christian Dior SE		2,681		622,333
Cie Generale des Etablissements Michelin		4,645		564,450
CNP Assurances		10,550		214,539
Credit Agricole SA		94,428		1,276,352
Danone SA		2,756		187,477
Dassault Systemes SE		13,270		1,147,746
Edenred		7,656		180,699
Essilor International SA		5,156		625,996
Hermes International		1,920		908,899
Ingenico Group SA		1,511		142,512
JCDecaux SA		3,627		127,390
Kering		1,110		286,896
Legrand SA		2,988		179,870
L’Oreal SA		2,566		493,538
LVMH Moet Hennessy Louis Vuitton SE		6,875		1,511,073
Natixis SA		27,961		172,133
Orange SA		33,131		514,378
Pernod Ricard SA		4,394		519,462
Safran SA		6,111		456,088
Sanofi		1,944		175,728
Schneider Electric SE		10,401		764,149
SCOR SE		9,686		366,064
Societe BIC SA		1,113		138,664
Societe Generale SA		42,705		2,163,663
Sodexo SA		3,300		387,738
Thales SA		10,677		1,031,357
TOTAL SA		30,747		1,554,673
Valeo SA		12,850		854,804
Veolia Environnement SA		28,559		535,535
Vinci SA		27,859		2,212,245
Vivendi SA		30,525		592,144
				28,211,295

INVESTMENTS	SHARES		VALUE
Germany - 8.5%
adidas AG		14,744	$	2,804,782
Allianz SE (Registered)		11,335		2,102,034
BASF SE		44,390		4,395,218
Brenntag AG		5,427		304,165
Continental AG		1,180		258,715
Covestro AG (b)		11,399		878,165
Deutsche Post AG (Registered)		43,460		1,487,355
Deutsche Wohnen AG		7,397		243,594
GEA Group AG		3,980		169,084
Hannover Rueck SE		8,927		1,028,673
HeidelbergCement AG		10,192		954,462
HOCHTIEF AG		3,214		531,139
Infineon Technologies AG		110,170		2,254,886
LANXESS AG		9,669		648,621
Merck KGaA		4,921		560,764
OSRAM Licht AG		3,010		188,761
SAP SE		45,827		4,495,995
Siemens AG (Registered)		42,014		5,754,751
Symrise AG		4,294		285,557
thyssenkrupp AG		44,432		1,088,483
Volkswagen AG		1,099		164,201
Vonovia SE		3,008		105,977
Zalando SE *(b)		8,711		352,075
				31,057,457
Hong Kong - 3.0%
AIA Group Ltd.		105,800		667,805
ASM Pacific Technology Ltd.		21,000		285,681
Bank of East Asia Ltd. (The)		38,600		159,701
CLP Holdings Ltd.		62,500		654,280
Galaxy Entertainment Group Ltd.		149,000		816,096
Hang Seng Bank Ltd.		22,600		458,474
Hong Kong & China Gas Co. Ltd.		70,681		141,412
Hysan Development Co. Ltd.		39,000		176,937
Link REIT		149,000		1,044,305
MTR Corp. Ltd.		79,500		446,664
New World Development Co. Ltd.		377,000		464,530
NWS Holdings Ltd.		109,000		199,005
PCCW Ltd.		302,000		178,157
Power Assets Holdings Ltd.		29,500		254,462
Sands China Ltd.		159,200		737,986
Sino Land Co. Ltd.		134,000		234,989
Sun Hung Kai Properties Ltd.		69,000		1,014,318
Techtronic Industries Co. Ltd.		70,500		285,404
WH Group Ltd. (b)		1,123,000		968,386
Wharf Holdings Ltd. (The)		79,000		678,929
Wheelock & Co. Ltd.		102,000		806,851
Yue Yuen Industrial Holdings Ltd.		44,000		172,905
				10,847,277
Italy - 0.9%
Atlantia SpA		12,192		314,506
Eni SpA		24,612		402,979
Ferrari NV		8,455		630,162
Leonardo SpA		15,760		223,485
Mediobanca SpA		40,564		365,737
Prysmian SpA		23,402		618,688
Snam SpA		145,398		628,401
				3,183,958

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

AQR Funds Semi-Annual Report March 2017

63

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 17.9%
Aisin Seiki Co. Ltd.		5,400	$	265,962
Alps Electric Co. Ltd.		15,200		430,992
Amada Holdings Co. Ltd.		14,000		160,258
Asahi Glass Co. Ltd.		56,000		454,360
Asahi Kasei Corp.		73,000		709,299
Bandai Namco Holdings, Inc.		5,400		161,869
Brother Industries Ltd.		27,600		577,177
Chiba Bank Ltd. (The)		38,000		244,517
CYBERDYNE, Inc. *		10,500		150,886
Daicel Corp.		9,900		119,547
Dai-ichi Life Holdings, Inc.		76,200		1,363,934
Daikin Industries Ltd.		17,500		1,764,669
Daito Trust Construction Co. Ltd.		2,400		329,992
DeNA Co. Ltd.		21,900		445,841
FamilyMart UNY Holdings Co. Ltd.		5,700		340,102
Fuji Electric Co. Ltd.		48,000		285,846
Fujitsu Ltd.		111,000		681,360
Fukuoka Financial Group, Inc.		47,000		204,155
Hikari Tsushin, Inc.		3,600		351,509
Hisamitsu Pharmaceutical Co., Inc.		4,000		229,011
Hitachi Chemical Co. Ltd.		17,400		483,347
Hitachi Construction Machinery Co. Ltd.		17,600		440,392
Hitachi High-Technologies Corp.		9,200		375,817
Hitachi Ltd.		66,000		358,364
Hoshizaki Corp.		4,400		347,784
Idemitsu Kosan Co. Ltd.		20,800		724,033
IHI Corp. *		81,000		256,219
Iida Group Holdings Co. Ltd.		13,300		204,669
Inpex Corp.		15,100		148,901
Isuzu Motors Ltd.		17,100		226,477
ITOCHU Corp.		12,000		170,836
JFE Holdings, Inc.		18,500		318,194
Kajima Corp.		64,000		418,628
Kaneka Corp.		21,000		157,063
Kansai Paint Co. Ltd.		16,700		356,400
Keihan Holdings Co. Ltd.		17,000		104,140
Keikyu Corp.		14,000		154,011
Keyence Corp.		5,080		2,037,958
Koito Manufacturing Co. Ltd.		16,500		859,955
Komatsu Ltd.		59,100		1,548,023
Konami Holdings Corp.		14,800		628,622
Lion Corp.		17,000		306,375
M3, Inc.		10,700		266,671
Makita Corp.		10,800		378,775
McDonald’s Holdings Co. Japan Ltd.		4,500		131,417
Mebuki Financial Group, Inc.		37,900		151,449
Medipal Holdings Corp.		8,800		138,267
MINEBEA MITSUMI, Inc.		30,000		401,108
MISUMI Group, Inc.		10,000		181,543
Mitsubishi Chemical Holdings Corp.		47,900		371,892
Mitsubishi Corp.		73,600		1,595,102
Mitsubishi Electric Corp.		102,600		1,478,292
Mitsubishi Gas Chemical Co., Inc.		40,600		845,632
Mitsubishi UFJ Financial Group, Inc.		642,700		4,048,475
Mitsui & Co. Ltd.		55,100		800,164
Mitsui Chemicals, Inc.		53,000		262,576
Mitsui OSK Lines Ltd.		95,000		298,552
Mizuho Financial Group, Inc.		308,300		565,908

INVESTMENTS	SHARES		VALUE
Japan - 17.9% (continued)
Nabtesco Corp.		9,600	$	255,458
NH Foods Ltd.		4,000		107,458
Nidec Corp.		10,700		1,021,899
Nikon Corp.		10,300		149,678
Nintendo Co. Ltd.		7,200		1,670,680
Nippon Paint Holdings Co. Ltd.		20,600		719,490
Nissan Chemical Industries Ltd.		7,800		227,542
Nitori Holdings Co. Ltd.		6,900		876,294
Nitto Denko Corp.		8,200		634,352
Nomura Holdings, Inc.		181,900		1,126,023
Nomura Real Estate Master Fund, Inc., REIT		178		276,844
NSK Ltd.		30,800		441,220
Obayashi Corp.		13,900		130,338
Obic Co. Ltd.		2,200		105,104
Omron Corp.		6,800		298,784
Otsuka Holdings Co. Ltd.		23,000		1,040,991
Park24 Co. Ltd.		6,400		168,155
Pola Orbis Holdings, Inc.		4,800		115,980
Recruit Holdings Co. Ltd.		14,500		741,611
Resona Holdings, Inc.		176,500		948,842
Rohm Co. Ltd.		3,900		259,642
Sega Sammy Holdings, Inc.		23,200		312,041
Seiko Epson Corp.		23,200		489,496
Sekisui Chemical Co. Ltd.		14,600		246,128
Sharp Corp. *		252,000		1,060,056
Shimadzu Corp.		12,000		190,977
Shimamura Co. Ltd.		1,000		132,565
Shin-Etsu Chemical Co. Ltd.		25,800		2,242,519
Shinsei Bank Ltd.		83,000		152,938
Shionogi & Co. Ltd.		4,700		243,308
SMC Corp.		1,000		296,465
SoftBank Group Corp.		42,200		2,992,619
Sohgo Security Services Co. Ltd.		2,900		108,627
Sony Corp.		62,600		2,112,653
Stanley Electric Co. Ltd.		3,800		108,639
Start Today Co. Ltd.		20,800		462,254
Sumitomo Corp.		16,600		223,948
Sumitomo Dainippon Pharma Co. Ltd.		17,100		282,960
Sumitomo Electric Industries Ltd.		7,500		124,675
Sumitomo Heavy Industries Ltd.		94,000		657,179
Sumitomo Metal Mining Co. Ltd.		26,000		371,829
Sumitomo Mitsui Financial Group, Inc.		44,600		1,623,385
Sundrug Co. Ltd.		4,400		148,037
Suzuki Motor Corp.		18,100		751,760
Sysmex Corp.		2,100		127,767
T&D Holdings, Inc.		48,100		697,192
Taiheiyo Cement Corp.		94,000		315,435
Taisei Corp.		23,000		168,202
Taisho Pharmaceutical Holdings Co. Ltd.		1,900		154,705
Terumo Corp.		11,400		396,298
THK Co. Ltd.		6,800		171,540
Toho Co. Ltd.		5,500		145,983
Toho Gas Co. Ltd.		31,000		219,873
Tokio Marine Holdings, Inc.		9,900		418,417
Tokyo Electron Ltd.		12,700		1,390,351
Toppan Printing Co. Ltd.		14,000		143,096
Toray Industries, Inc.		15,000		133,501
TOTO Ltd.		6,800		257,239

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

AQR Funds Semi-Annual Report March 2017

64

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 17.9% (continued)
Toyota Tsusho Corp.		3,500	$	106,234
Tsuruha Holdings, Inc.		1,400		129,850
USS Co. Ltd.		6,400		107,190
Yamada Denki Co. Ltd.		24,800		123,978
Yamaha Corp.		21,900		605,860
Yamaha Motor Co. Ltd.		13,000		312,998
Yaskawa Electric Corp.		15,700		316,172
Yokogawa Electric Corp.		17,100		269,681
Yokohama Rubber Co. Ltd. (The)		5,300		103,874
				65,280,196
Luxembourg - 0.8%
ArcelorMittal *		265,622		2,222,214
Tenaris SA		48,226		833,942
				3,056,156
Macau - 0.2%
MGM China Holdings Ltd.		147,200		306,951
Wynn Macau Ltd.		155,200		316,100
				623,051
Mexico - 0.2%
Fresnillo plc		39,935		778,108
Netherlands - 5.8%
ABN AMRO Group NV, CVA (b)		7,370		178,712
Altice NV, Class A *		37,854		856,210
ASML Holding NV		20,838		2,765,055
EXOR NV		6,761		349,597
ING Groep NV		234,881		3,547,706
Koninklijke DSM NV		11,800		798,025
Koninklijke Philips NV		43,029		1,382,275
NN Group NV		4,467		145,075
Randstad Holding NV		1,916		110,454
Royal Dutch Shell plc, Class B		382,529		10,515,501
Wolters Kluwer NV		13,528		561,444
				21,210,054
Norway - 1.0%
DNB ASA		81,209		1,289,483
Golar LNG Ltd. (3)(c)		2,009		39,777
Marine Harvest ASA *		13,807		210,617
Norsk Hydro ASA		163,934		955,363
Statoil ASA		74,364		1,278,210
				3,773,450
Portugal - 0.4%
Galp Energia SGPS SA		47,820		725,304
Jeronimo Martins SGPS SA		32,588		582,324
				1,307,628
Singapore - 0.4%
Ascendas REIT		142,500		256,610
CapitaLand Commercial Trust, REIT		140,800		155,463
CapitaLand Mall Trust, REIT		113,500		159,801
ComfortDelGro Corp. Ltd.		125,500		229,722
DBS Group Holdings Ltd.		16,300		225,786
Jardine Cycle & Carriage Ltd.		6,800		212,989
Singapore Telecommunications Ltd.		68,400		191,680
				1,432,051

INVESTMENTS	SHARES		VALUE
South Africa - 0.1%
Mondi plc		10,030	$	242,338
Spain - 2.8%
Aena SA (b)		5,178		818,431
Amadeus IT Group SA, Class A		11,521		583,753
Banco Santander SA		929,260		5,688,291
CaixaBank SA		176,829		760,274
Mapfre SA		86,546		296,429
Repsol SA		127,269		1,971,766
				10,118,944
Sweden - 3.9%
Assa Abloy AB, Class B		13,225		271,876
Atlas Copco AB, Class A		48,788		1,719,732
Boliden AB		47,803		1,422,873
Hexagon AB, Class B		8,094		324,851
Husqvarna AB, Class B		30,160		264,434
Investor AB, Class B		18,091		760,671
Lundin Petroleum AB *		42,679		866,222
Nordea Bank AB		177,957		2,030,283
Sandvik AB		81,228		1,213,298
Securitas AB, Class B		24,928		389,156
Skandinaviska Enskilda Banken AB, Class A		85,880		954,309
Skanska AB, Class B		10,264		241,567
Svenska Handelsbanken AB, Class A		68,973		945,210
Swedbank AB, Class A		67,168		1,554,163
Volvo AB, Class B		85,426		1,260,204
				14,218,849
Switzerland - 4.6%
ABB Ltd. (Registered)		120,651		2,823,897
Cie Financiere Richemont SA (Registered)		3,023		239,005
Coca-Cola HBC AG *		15,239		393,412
EMS-Chemie Holding AG (Registered)		901		524,732
Geberit AG (Registered)		1,637		705,401
Glencore plc *		723,610		2,839,120
LafargeHolcim Ltd. (Registered) *		26,600		1,569,384
Lonza Group AG (Registered) *		3,593		679,153
Partners Group Holding AG		2,527		1,358,043
Schindler Holding AG		2,060		398,479
Sika AG		191		1,145,563
STMicroelectronics NV		75,961		1,168,859
Swiss Re AG		4,478		402,197
Wolseley plc		7,753		488,141
Zurich Insurance Group AG		7,887		2,104,730
				16,840,116
United Kingdom - 14.8%
3i Group plc		56,789		533,195
Admiral Group plc		13,052		325,216
Anglo American plc *		96,198		1,469,809
Ashtead Group plc		29,553		611,726
Associated British Foods plc		3,319		108,417
AstraZeneca plc		11,799		725,486
Auto Trader Group plc (b)		55,734		273,535
Aviva plc		36,331		242,439
BAE Systems plc		189,769		1,527,298
Barclays plc		381,169		1,075,957
BP plc		836,306		4,813,875
British American Tobacco plc		106,684		7,078,062

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

AQR Funds Semi-Annual Report March 2017

65

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
United Kingdom - 14.8% (continued)
BT Group plc		46,471	$	185,564
Bunzl plc		15,969		464,147
CNH Industrial NV		67,140		646,228
Compass Group plc		111,402		2,103,293
Croda International plc		4,629		206,761
DCC plc		1,961		172,632
Diageo plc		52,146		1,493,211
Direct Line Insurance Group plc		141,918		617,462
easyJet plc		16,101		207,007
Experian plc		48,579		991,072
Fiat Chrysler Automobiles NV		117,836		1,287,397
GlaxoSmithKline plc		135,968		2,827,174
Hargreaves Lansdown plc		25,853		421,124
HSBC Holdings plc		929,409		7,581,049
Imperial Brands plc		6,839		331,443
Inmarsat plc		21,388		227,862
InterContinental Hotels Group plc		4,523		221,532
Intertek Group plc		14,454		711,466
ITV plc		218,085		598,680
Kingfisher plc		42,770		174,997
Legal & General Group plc		133,260		412,632
Merlin Entertainments plc (b)		36,725		220,756
National Grid plc		65,831		835,217
Old Mutual plc		78,992		198,797
Petrofac Ltd.		69,604		804,019
Provident Financial plc		3,835		144,096
Prudential plc		17,238		364,123
Randgold Resources Ltd.		3,903		341,045
Reckitt Benckiser Group plc		14,406		1,315,148
Rio Tinto plc		59,677		2,403,054
Rolls-Royce Holdings plc *		13,134		124,078
Royal Mail plc		41,943		223,390
Sage Group plc (The)		75,004		592,490
Schroders plc		3,675		139,473
Severn Trent plc		5,220		155,708
Smith & Nephew plc		18,671		284,281
St James’s Place plc		20,354		270,931
Standard Chartered plc *		173,064		1,655,344
TechnipFMC plc *		8,256		269,421
Vodafone Group plc		374,341		975,527
Weir Group plc (The)		16,675		401,120
Whitbread plc		7,536		373,933
WPP plc		43,221		947,364
				53,707,063
United States - 0.3%
QIAGEN NV *		9,157		265,819
Thomson Reuters Corp. (1)		16,790		726,092
				991,911
TOTAL COMMON STOCKS (cost $316,169,769)				352,021,949

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENT - 3.2%
Investment Company - 3.2%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $11,496,839) (d)		11,496,839	$	11,496,839
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.9% (cost $327,666,608)				363,518,788
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% (e)			406,437
NET ASSETS - 100.0%			$	363,925,225

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	34,883,051		9.6	%
Consumer Staples		16,574,932		4.6
Energy		41,885,733		11.5
Financials		96,965,119		26.5
Health Care		11,510,994		3.2
Industrials		56,371,089		15.5
Information Technology		26,813,035		7.4
Materials		50,341,383		13.8
Real Estate		7,122,193		2.0
Telecommunication Services		5,857,931		1.6
Utilities		3,696,489		1.0
Short-Term Investment		11,496,839		3.2
Total Investments In Securities At Value		363,518,788		99.9
Other Assets in Excess of Liabilities (e)		406,437		0.1
Net Assets	$	363,925,225		100.0	%

* Non-income producing security.

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

(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 3/31/2017 amounted to $3,690,060, which represents approximately 1.01% of net assets of the fund.

(c) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $39,777, which represents approximately 0.01% of net assets of the fund.

(d) Represents 7-day effective yield as of 3/31/2017.

(e) Includes appreciation/(depreciation) on futures contracts.

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

(1) Level 1 security (See Note 4).

(3) Level 3 security (See Note 4).

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

AQR Funds Semi-Annual Report March 2017

66

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

SGPS - Sociedade Gestora de Participacões Sociais

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
91	BARC	E-Mini MSCI EAFE Index Futures		06/2017		$7,994,656		$8,108,100		$113,444

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$155,076		$155,076

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

AQR Funds Semi-Annual Report March 2017

67

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.2%
Brazil - 13.2%
AES Tiete SA (1)		1,800	$	7,871
Banco Bradesco SA, ADR (1)*		16,281		166,717
Banco do Brasil SA (1)*		5,900		63,531
Banco Santander Brasil SA, ADR (1)(a)		3,687		32,519
BB Seguridade Participacoes SA (1)		3,100		29,033
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (1)*		9,800		60,385
BR Malls Participacoes SA (1)*		2,800		12,924
Braskem SA (Preference), Class A (1)		2,600		26,469
CCR SA (1)		6,100		35,171
Centrais Eletricas Brasileiras SA (1)*		4,500		24,738
Cia Brasileira de Distribuicao, ADR (1)		773		14,842
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)*		1,948		20,279
Cia Energetica de Minas Gerais, ADR (1)		7,346		24,168
Cia Paranaense de Energia, ADR (1)*		1,126		11,609
Cia Siderurgica Nacional SA (1)*		7,100		20,774
Cosan SA Industria e Comercio (1)		2,300		28,469
Duratex SA (1)		4,600		13,548
EDP - Energias do Brasil SA (1)		3,300		14,652
Equatorial Energia SA (1)*		2,300		43,199
Gerdau SA (Preference) (1)		10,300		35,862
Hypermarcas SA (1)		1,800		16,674
Itau Unibanco Holding SA, ADR (1)		15,479		186,832
Itausa - Investimentos Itau SA (Preference) (1)		25,100		76,568
JBS SA (1)		3,000		9,832
Kroton Educacional SA (1)		6,400		27,128
Localiza Rent a Car SA (1)*		2,100		28,106
Lojas Renner SA (1)		2,600		23,088
Lojas Americanas SA (Preference) (1)*		1,540		8,038
M Dias Branco SA (1)*		600		24,444
Multiplan Empreendimentos Imobiliarios SA (1)*		1,100		23,454
Petroleo Brasileiro SA (Preference) (1)*		29,500		137,295
Qualicorp SA (1)		3,400		21,569
Raia Drogasil SA (1)*		2,500		47,092
Sul America SA (1)		2,197		11,720
Telefonica Brasil SA, ADR (1)*		1,949		28,943
TIM Participacoes SA, ADR (1)		1,102		17,610
Ultrapar Participacoes SA (1)		300		6,852
Vale SA (Preference) (1)*		16,000		144,739
				1,526,744
Chile - 1.9%
Banco de Chile, ADR (1)		261		18,834
Banco Santander Chile, ADR (1)		1,968		49,358
Cencosud SA (1)		6,142		18,874
Cia Cervecerias Unidas SA, ADR (1)		238		6,014
Embotelladora Andina SA (Preference), Class B (1)		1,425		5,552
Enel Americas SA, ADR (1)		2,266		23,544
Latam Airlines Group SA, ADR (1)*		3,257		41,266
SACI Falabella (1)		852		7,166
Sociedad Quimica y Minera de Chile SA, ADR (1)		1,319		45,334
				215,942

INVESTMENTS	SHARES			VALUE
China - 39.5%
AAC Technologies Holdings, Inc.		7,000		$	81,963
Agricultural Bank of China Ltd., Class H		156,000			71,944
Aluminum Corp. of China Ltd., Class H *		86,000			42,088
Anhui Conch Cement Co. Ltd., Class H		13,000			44,214
ANTA Sports Products Ltd.		9,000			24,900
AviChina Industry & Technology Co. Ltd., Class H		5,000			3,469
Bank of China Ltd., Class H		181,000			90,008
Bank of Communications Co. Ltd., Class H		176,000			137,001
Beijing Capital International Airport Co. Ltd., Class H		6,000			7,182
Beijing Enterprises Water Group Ltd.		42,000			31,134
Brilliance China Automotive Holdings Ltd.		32,000			53,532
BYD Co. Ltd., Class H		4,000			22,181
China Cinda Asset Management Co. Ltd., Class H		31,000			12,057
China CITIC Bank Corp. Ltd., Class H		7,000			4,644
China Coal Energy Co. Ltd., Class H		60,000			30,281
China Communications Construction Co. Ltd., Class H		33,000			46,581
China Communications Services Corp. Ltd., Class H		32,000			20,957
China Construction Bank Corp., Class H		661,000			532,573
China Everbright International Ltd.		6,000			8,080
China Evergrande Group (a)		9,000			8,345
China Galaxy Securities Co. Ltd., Class H		29,000			26,779
China Jinmao Holdings Group Ltd.		12,000			3,850
China Life Insurance Co. Ltd., Class H		45,000			137,679
China Longyuan Power Group Corp. Ltd., Class H		10,000			7,778
China Medical System Holdings Ltd.		14,000			24,837
China Mengniu Dairy Co. Ltd.		21,000			43,546
China Merchants Bank Co. Ltd., Class H		61,000	��		161,429
China Minsheng Banking Corp. Ltd., Class H		150,000			160,345
China National Building Material Co. Ltd.		12,000			7,729
China Oilfield Services Ltd.		4,000			3,842
China Overseas Land & Investment Ltd.		2,000			5,716
China Petroleum & Chemical Corp., Class H		258,000			210,003
China Railway Construction Corp. Ltd., Class H		36,000			51,086
China Railway Group Ltd., Class H		61,000			54,620
China Resources Beer Holdings Co. Ltd.		16,000			36,424
China Resources Gas Group Ltd.		6,000			21,250
China Resources Land Ltd.		4,000			10,819
China Shenhua Energy Co. Ltd., Class H		43,000			100,050
China Vanke Co. Ltd., Class H		18,300			49,493
Chongqing Rural Commercial Bank Co. Ltd., Class H		18,000			12,161
CITIC Securities Co. Ltd., Class H		4,000			8,241
CNOOC Ltd.		55,000			65,743
Country Garden Holdings Co. Ltd.		76,000			68,344
CSPC Pharmaceutical Group Ltd.		22,000			28,823
Dongfeng Motor Group Co. Ltd., Class H		4,000			4,496
Far East Horizon Ltd.		8,000			7,516
Fuyao Glass Industry Group Co. Ltd., Class H (b)		8,400			29,154
Geely Automobile Holdings Ltd.		60,000			91,953
GF Securities Co. Ltd., Class H		4,400			9,224
Great Wall Motor Co. Ltd., Class H		18,000			20,515

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

AQR Funds Semi-Annual Report March 2017

68

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
China - 39.5% (continued)
Guangdong Investment Ltd.		12,000	$	17,111
Guangzhou Automobile Group Co. Ltd., Class H		24,000		38,439
Guangzhou R&F Properties Co. Ltd., Class H		18,400		28,746
Haitian International Holdings Ltd.		7,000		16,296
Haitong Securities Co. Ltd., Class H		42,400		71,726
Hanergy Thin Film Power Group Ltd. (3)*(c)		86,000		—
Huaneng Renewables Corp. Ltd., Class H		36,000		12,468
Huatai Securities Co. Ltd., Class H (b)		4,000		7,789
Industrial & Commercial Bank of China Ltd., Class H		442,000		289,222
Jiangsu Expressway Co. Ltd., Class H		6,000		8,619
Jiangxi Copper Co. Ltd., Class H		17,000		26,491
Longfor Properties Co. Ltd.		4,500		7,408
New China Life Insurance Co. Ltd., Class H		9,800		46,731
Ping An Insurance Group Co. of China Ltd., Class H		24,500		137,309
Semiconductor Manufacturing International Corp. *		27,500		34,089
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H		7,000		25,761
Shanghai Industrial Holdings Ltd.		7,000		20,596
Shanghai Pharmaceuticals Holding Co. Ltd., Class H		8,600		22,529
Shenzhou International Group Holdings Ltd.		5,000		31,556
Sinopec Engineering Group Co. Ltd., Class H		7,500		7,700
Sinopec Shanghai Petrochemical Co. Ltd., Class H		52,000		28,860
Sinopharm Group Co. Ltd., Class H		4,400		20,427
SOHO China Ltd. *		42,500		22,749
Sunac China Holdings Ltd. (a)		15,000		19,470
Sunny Optical Technology Group Co. Ltd.		6,000		43,910
Tencent Holdings Ltd.		25,100		723,119
TravelSky Technology Ltd., Class H		15,000		35,443
Weichai Power Co. Ltd., Class H		20,000		35,329
Yanzhou Coal Mining Co. Ltd., Class H		26,000		20,223
Zhuzhou CRRC Times Electric Co. Ltd., Class H		1,000		5,320
Zijin Mining Group Co. Ltd., Class H		30,000		11,134
				4,553,149
Hong Kong - 1.0%
China Gas Holdings Ltd.		4,000		6,445
Fullshare Holdings Ltd. (a)		95,000		42,079
Haier Electronics Group Co. Ltd.		2,000		4,584
Nine Dragons Paper Holdings Ltd.		28,000		30,123
Sino Biopharmaceutical Ltd.		6,000		4,941
Sun Art Retail Group Ltd.		23,000		21,563
				109,735
Hungary - 0.7%
MOL Hungarian Oil & Gas plc		350		23,965
OTP Bank plc		1,704		47,609
Richter Gedeon Nyrt		491		11,151
				82,725
India - 1.7%
Axis Bank Ltd., GDR		530		20,124
ICICI Bank Ltd., ADR (1)		3,365		28,939

INVESTMENTS	SHARES		VALUE
India - 1.7% (continued)
Larsen & Toubro Ltd., GDR		800	$	19,325
Reliance Industries Ltd., GDR (b)		221		8,876
State Bank of India, GDR		1,211		54,146
Tata Motors Ltd., ADR (1)		1,811		64,562
				195,972
Indonesia - 1.8%
Adaro Energy Tbk. PT		218,400		28,687
Astra International Tbk. PT		34,100		22,071
Bank Central Asia Tbk. PT		3,700		4,594
Bank Mandiri Persero Tbk. PT		3,900		3,425
Bank Negara Indonesia Persero Tbk. PT		11,900		5,786
Bank Rakyat Indonesia Persero Tbk. PT		20,000		19,474
Indofood CBP Sukses Makmur Tbk. PT		14,800		9,052
Indofood Sukses Makmur Tbk. PT		17,800		10,689
Pakuwon Jati Tbk. PT		197,200		9,098
Telekomunikasi Indonesia Persero Tbk. PT		195,000		60,615
Unilever Indonesia Tbk. PT		2,100		6,828
United Tractors Tbk. PT		12,800		25,479
Waskita Karya Persero Tbk. PT		19,100		3,396
				209,194
Malaysia - 0.5%
AirAsia Bhd.		31,500		22,348
Felda Global Ventures Holdings Bhd.		10,000		4,722
Genting Malaysia Bhd.		9,100		11,205
HAP Seng Consolidated Bhd.		11,300		22,945
				61,220
Mexico - 2.3%
Cemex SAB de CV, ADR (1)*		8,074		73,231
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1)		2,100		20,428
Grupo Aeroportuario del Sureste SAB de CV, ADR (1)		110		19,056
Grupo Bimbo SAB de CV, Series A (1)		2,100		5,226
Grupo Financiero Banorte SAB de CV, Class O (1)		4,700		27,027
Grupo Mexico SAB de CV, Series B (1)		25,100		75,452
Industrias Penoles SAB de CV (1)		1,180		30,442
Mexichem SAB de CV (1)		5,100		13,901
				264,763
Peru - 1.9%
Cia de Minas Buenaventura SAA, ADR (1)		1,450		17,458
Credicorp Ltd. (1)		374		61,074
Southern Copper Corp. (1)		3,857		138,428
				216,960
Poland - 1.8%
Bank Zachodni WBK SA		172		14,841
CCC SA		445		26,686
Grupa Lotos SA *		1,632		22,503
Jastrzebska Spolka Weglowa SA *		1,386		21,934
KGHM Polska Miedz SA		1,342		39,155
Polski Koncern Naftowy ORLEN SA		1,477		37,253
Polskie Gornictwo Naftowe i Gazownictwo SA		3,127		4,666
Powszechna Kasa Oszczednosci Bank Polski SA *		2,177		17,596

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

AQR Funds Semi-Annual Report March 2017

69

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Poland - 1.8% (continued)
Synthos SA		11,624	$	15,378
				200,012
Russia - 1.7%
Magnit PJSC, GDR		402		15,320
MMC Norilsk Nickel PJSC, ADR		763		11,977
Mobile TeleSystems PJSC, ADR (1)		3,374		37,215
PhosAgro PJSC, GDR		1,031		14,978
Severstal PJSC, GDR		5,029		72,384
Sistema PJSC FC, GDR		1,677		15,008
Tatneft PJSC, ADR (1)		220		8,248
Tatneft PJSC, ADR (LSE)		534		19,662
				194,792
South Africa - 3.2%
Anglo American Platinum Ltd. *		144		3,281
AngloGold Ashanti Ltd., ADR (1)		325		3,500
Barclays Africa Group Ltd.		1,804		18,761
Bidvest Group Ltd. (The)		2,733		31,326
Capitec Bank Holdings Ltd.		452		25,660
Exxaro Resources Ltd.		2,257		19,824
Foschini Group Ltd. (The)		436		5,018
Gold Fields Ltd., ADR (1)		1,154		4,074
Hyprop Investments Ltd., REIT		481		4,393
Impala Platinum Holdings Ltd. *		3,312		11,172
Imperial Holdings Ltd.		960		11,764
Naspers Ltd., Class N		56		9,649
Nedbank Group Ltd.		1,765		31,714
Pick n Pay Stores Ltd.		712		3,531
PSG Group Ltd.		210		3,860
Sappi Ltd.		4,065		27,537
Shoprite Holdings Ltd.		1,142		16,517
Sibanye Gold Ltd.		1,517		3,275
Standard Bank Group Ltd.		6,284		67,387
Steinhoff International Holdings NV		1,552		7,424
Telkom SA SOC Ltd.		3,589		20,083
Tiger Brands Ltd.		779		23,241
Tsogo Sun Holdings Ltd.		5,151		10,583
				363,574
South Korea - 12.8%
Amorepacific Corp.		16		4,016
Celltrion, Inc. *		630		50,752
CJ Corp.		22		3,423
CJ E&M Corp.		62		4,712
Coway Co. Ltd.		47		4,046
Daelim Industrial Co. Ltd.		60		4,342
Dongbu Insurance Co. Ltd.		98		5,610
Doosan Heavy Industries & Construction Co. Ltd.		567		12,148
GS Engineering & Construction Corp. *		141		3,871
GS Holdings Corp.		197		10,417
Hana Financial Group, Inc.		1,237		40,819
Hankook Tire Co. Ltd.		125		6,096
Hanwha Chemical Corp.		459		10,843
Hanwha Techwin Co. Ltd. *		202		8,505
Hyosung Corp.		150		18,177
Hyundai Development Co.-Engineering & Construction		177		6,439

INVESTMENTS	SHARES		VALUE
South Korea - 12.8% (continued)
Hyundai Engineering & Construction Co. Ltd.		158	$	7,000
Hyundai Heavy Industries Co. Ltd. *		277		40,857
Hyundai Marine & Fire Insurance Co. Ltd.		303		9,484
Hyundai Mobis Co. Ltd.		18		3,872
Hyundai Steel Co.		96		5,027
KB Financial Group, Inc.		1,369		59,999
Korea Aerospace Industries Ltd.		162		8,348
Korea Electric Power Corp.		88		3,663
Korea Gas Corp. *		139		5,594
Kumho Petrochemical Co. Ltd.		173		12,191
LG Display Co. Ltd.		661		17,900
LG Electronics, Inc.		92		5,589
LG Innotek Co. Ltd.		31		3,786
LG Uplus Corp.		559		7,154
Lotte Chemical Corp.		68		22,533
NAVER Corp.		86		65,761
NCSoft Corp.		18		4,909
POSCO		322		83,632
Posco Daewoo Corp.		166		3,541
Samsung Card Co. Ltd.		169		5,928
Samsung Electro-Mechanics Co. Ltd.		96		5,969
Samsung Electronics Co. Ltd.		391		719,602
Samsung Life Insurance Co. Ltd.		38		3,686
Samsung SDI Co. Ltd.		34		4,197
Shinhan Financial Group Co. Ltd.		264		11,000
SK Holdings Co. Ltd.		39		8,494
SK Hynix, Inc.		2,190		98,916
SK Innovation Co. Ltd.		135		20,116
S-Oil Corp.		144		12,948
Woori Bank		1,538		17,867
				1,473,779
Taiwan - 8.6%
Acer, Inc. *		12,000		5,695
Advantech Co. Ltd.		1,198		10,029
AU Optronics Corp.		46,000		17,919
Cathay Financial Holding Co. Ltd.		31,600		50,721
Chailease Holding Co. Ltd.		3,960		9,253
Chang Hwa Commercial Bank Ltd.		31,235		19,036
China Life Insurance Co. Ltd.		31,512		31,162
China Steel Corp.		34,000		28,350
Chunghwa Telecom Co. Ltd.		9,000		30,563
CTBC Financial Holding Co. Ltd.		15,832		9,782
Delta Electronics, Inc.		1,000		5,356
E.Sun Financial Holding Co. Ltd.		15,448		9,391
Eclat Textile Co. Ltd.		1,040		10,424
First Financial Holding Co. Ltd.		26,198		15,973
Formosa Chemicals & Fibre Corp.		14,000		43,554
Formosa Petrochemical Corp.		10,000		34,930
Formosa Plastics Corp.		17,000		50,694
Foxconn Technology Co. Ltd.		3,000		9,147
Fubon Financial Holding Co. Ltd.		25,000		40,776
Highwealth Construction Corp.		6,800		11,955
Hon Hai Precision Industry Co. Ltd.		5,441		16,318
HTC Corp. *		2,000		5,108
Innolux Corp.		13,000		5,379
Inventec Corp.		13,000		9,747
Lite-On Technology Corp.		11,034		19,019
Micro-Star International Co. Ltd.		7,000		16,290

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

AQR Funds Semi-Annual Report March 2017

70

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Taiwan - 8.6% (continued)
Nien Made Enterprise Co. Ltd.		1,000	$	9,327
Pegatron Corp.		6,000		17,762
Pou Chen Corp.		7,000		9,688
Powertech Technology, Inc.		8,000		23,280
President Chain Store Corp.		1,000		8,238
Quanta Computer, Inc.		5,000		10,166
Realtek Semiconductor Corp.		4,000		14,302
Shin Kong Financial Holding Co. Ltd.		22,000		6,416
Standard Foods Corp.		4,440		11,034
Taishin Financial Holding Co. Ltd.		22,897		9,544
Taiwan Mobile Co. Ltd.		5,000		18,369
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		8,757		287,580
Teco Electric and Machinery Co. Ltd.		4,000		4,067
Uni-President Enterprises Corp.		7,000		13,123
Vanguard International Semiconductor Corp.		2,000		3,809
Wistron Corp.		24,000		21,991
WPG Holdings Ltd.		6,000		7,534
				992,801
Thailand - 4.3%
Airports of Thailand PCL, NVDR		25,200		28,786
Bangkok Expressway & Metro PCL, NVDR		131,400		29,065
Banpu PCL, NVDR		35,300		20,351
Berli Jucker PCL, NVDR		4,800		6,497
Bumrungrad Hospital PCL, NVDR		900		4,793
Central Pattana PCL, NVDR		16,500		27,253
Charoen Pokphand Foods PCL, NVDR		29,300		23,664
CP ALL PCL, NVDR		31,200		53,555
Electricity Generating PCL, NVDR		600		3,736
Home Product Center PCL, NVDR		49,900		14,011
Indorama Ventures PCL, NVDR		24,000		24,619
IRPC PCL, NVDR		162,600		24,371
Kasikornbank PCL, NVDR		4,000		22,012
KCE Electronics PCL, NVDR		3,400		10,341
Krung Thai Bank PCL, NVDR		6,100		3,622
Minor International PCL, NVDR		3,660		3,915
PTT Exploration & Production PCL, NVDR		8,200		22,195
PTT Global Chemical PCL, NVDR		7,500		15,986
PTT PCL, NVDR		6,600		74,329
Robinson Department Store PCL, NVDR		6,500		12,101
Siam Cement PCL (The), NVDR		1,650		25,931
Siam Commercial Bank PCL (The), NVDR		5,700		27,040
Thai Oil PCL, NVDR		6,500		14,283
Thai Union Group PCL, NVDR		5,600		3,488
				495,944
Turkey - 0.3%
Arcelik A/S		897		5,596
Eregli Demir ve Celik Fabrikalari TAS		12,666		20,569
Tofas Turk Otomobil Fabrikasi A/S		713		5,342
				31,507
TOTAL COMMON STOCKS (cost $9,442,075)				11,188,813
EXCHANGE TRADED FUND - 1.4%
United States - 1.4%
iShares MSCI Emerging Markets Fund
(cost $146,988) (1)(a)		4,298		169,298

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 1.8%
Investment Company - 1.8%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $210,608) (d)(e)		210,608	$	210,608
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.4% (cost $9,799,671)				11,568,719
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)%			(51,512)
NET ASSETS - 100.0%			$11,517,207

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	650,415			5.6	%
Consumer Staples		440,427			3.8
Energy		1,035,859			9.0
Exchange Traded Fund		169,298			1.4
Financials		3,481,010			30.4
Health Care		232,256			2.0
Industrials		683,630			5.9
Information Technology		2,356,336			20.5
Materials		1,417,027			12.3
Real Estate		356,096			3.1
Telecommunication Services		256,517			2.2
Utilities		279,240			2.4
Securities Lending Collateral		210,608			1.8
Total Investments In Securities At Value		11,568,719			100.4
Liabilities in Excess of Other Assets		(51,512	)		(0.4	)
Net Assets	$	11,517,207			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $202,682.

(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 3/31/2017 amounted to $45,819, which represents approximately 0.40% of net assets of the fund.

(c) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $0, which represents approximately 0.00% of net assets of the fund.

(d) Represents 7-day effective yield as of 3/31/2017.

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

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

AQR Funds Semi-Annual Report March 2017

71

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

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

(1) Level 1 security (See Note 4).

(3) Level 3 security (See Note 4).

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

LSE - London Stock Exchange

NVDR - Non-Voting Depositary Receipt

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

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

AQR Funds Semi-Annual Report March 2017

72

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.8%
Aerospace & Defense - 3.5%
BWX Technologies, Inc.		1,788	$	85,109
General Dynamics Corp.		5,500		1,029,600
Huntington Ingalls Industries, Inc.		1,500		300,360
Lockheed Martin Corp.		6,291		1,683,471
Northrop Grumman Corp.		5,646		1,342,845
Raytheon Co.		6,276		957,090
Textron, Inc.		2,100		99,939
				5,498,414
Air Freight & Logistics - 0.7%
FedEx Corp.		2,746		535,882
United Parcel Service, Inc., Class B		4,507		483,601
				1,019,483
Airlines - 1.0%
Alaska Air Group, Inc.		2,312		213,213
Delta Air Lines, Inc.		7,213		331,509
JetBlue Airways Corp. *		8,441		173,969
Southwest Airlines Co.		9,757		524,536
Spirit Airlines, Inc. *		1,036		54,981
United Continental Holdings, Inc. *		2,546		179,849
				1,478,057
Auto Components - 0.1%
Delphi Automotive plc		862		69,382
Goodyear Tire & Rubber Co. (The)		3,168		114,048
				183,430
Automobiles - 0.1%
Thor Industries, Inc.		1,861		178,898
Banks - 9.6%
Bank of America Corp.		170,830		4,029,880
Citigroup, Inc.		16,546		989,782
Citizens Financial Group, Inc.		46,858		1,618,944
Comerica, Inc.		9,741		668,038
Cullen/Frost Bankers, Inc.		673		59,877
Fifth Third Bancorp		5,100		129,540
First Republic Bank		4,040		378,992
Huntington Bancshares, Inc.		36,908		494,198
JPMorgan Chase & Co.		17,463		1,533,950
KeyCorp		40,665		723,024
Popular, Inc.		3,962		161,372
Regions Financial Corp.		125,883		1,829,080
Signature Bank *		1,700		252,263
SVB Financial Group *		1,389		258,479
TCF Financial Corp.		35,523		604,601
Western Alliance Bancorp *		1,975		96,953
Zions Bancorp		28,133		1,181,586
				15,010,559
Beverages - 1.4%
Constellation Brands, Inc., Class A		4,163		674,698
Dr Pepper Snapple Group, Inc.		5,100		499,392
Molson Coors Brewing Co., Class B		1,513		144,809
Monster Beverage Corp. *		6,384		294,749
PepsiCo, Inc.		5,129		573,730
				2,187,378

INVESTMENTS	SHARES		VALUE
Biotechnology - 0.9%
AbbVie, Inc.		2,036	$	132,666
ACADIA Pharmaceuticals, Inc. *		5,721		196,688
Alexion Pharmaceuticals, Inc. *		458		55,528
Amgen, Inc.		901		147,827
BioMarin Pharmaceutical, Inc. *		864		75,842
Incyte Corp. *		2,919		390,183
Regeneron Pharmaceuticals, Inc. *		635		246,069
Seattle Genetics, Inc. *		1,413		88,821
United Therapeutics Corp. *		512		69,314
				1,402,938
Building Products - 0.6%
AO Smith Corp.		5,764		294,886
Fortune Brands Home & Security, Inc.		3,768		229,283
Lennox International, Inc.		462		77,293
Masco Corp.		4,334		147,313
USG Corp. *		3,769		119,854
				868,629
Capital Markets - 3.4%
BlackRock, Inc.		365		139,981
CBOE Holdings, Inc.		1,623		131,577
Charles Schwab Corp. (The)		6,892		281,263
CME Group, Inc.		4,272		507,514
E*TRADE Financial Corp. *		13,232		461,664
Goldman Sachs Group, Inc. (The)		3,718		854,099
Interactive Brokers Group, Inc., Class A		2,788		96,799
Intercontinental Exchange, Inc.		4,335		259,536
LPL Financial Holdings, Inc.		5,455		217,273
MarketAxess Holdings, Inc.		314		58,872
Moody’s Corp.		2,313		259,148
Morgan Stanley		32,443		1,389,858
Northern Trust Corp.		2,636		228,225
S&P Global, Inc.		2,820		368,687
				5,254,496
Chemicals - 1.2%
Air Products & Chemicals, Inc.		1,700		229,993
Albemarle Corp.		1,374		145,149
Dow Chemical Co. (The)		2,240		142,330
Ecolab, Inc.		2,147		269,105
Huntsman Corp.		6,794		166,725
Platform Specialty Products Corp. *		14,019		182,527
PPG Industries, Inc.		3,826		402,036
Sherwin-Williams Co. (The)		961		298,093
				1,835,958
Communications Equipment - 1.8%
Arista Networks, Inc. *		3,977		526,038
Cisco Systems, Inc.		47,111		1,592,352
CommScope Holding Co., Inc. *		1,946		81,167
F5 Networks, Inc. *		1,500		213,855
Juniper Networks, Inc.		7,300		203,159
Palo Alto Networks, Inc. *		1,100		123,948
				2,740,519
Construction & Engineering - 0.1%
Quanta Services, Inc. *		5,017		186,181

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

AQR Funds Semi-Annual Report March 2017

73

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Construction Materials - 0.4%
Eagle Materials, Inc.		1,342	$	130,362
Martin Marietta Materials, Inc.		681		148,628
Vulcan Materials Co.		2,710		326,501
				605,491
Consumer Finance - 0.3%
Discover Financial Services		3,539		242,032
Navient Corp.		7,056		104,147
Santander Consumer USA Holdings, Inc. *		13,459		179,274
				525,453
Containers & Packaging - 0.1%
Ball Corp.		1,400		103,964
Berry Plastics Group, Inc. *		1,537		74,652
				178,616
Distributors - 0.0% (a)
LKQ Corp. *		2,515		73,614
Diversified Consumer Services - 0.1%
ServiceMaster Global Holdings, Inc. *		2,514		104,960
Diversified Financial Services - 0.1%
Berkshire Hathaway, Inc., Class B *		1,130		188,348
Diversified Telecommunication Services - 1.0%
AT&T, Inc.		36,474		1,515,495
Zayo Group Holdings, Inc. *		1,445		47,540
				1,563,035
Electric Utilities - 0.9%
American Electric Power Co., Inc.		3,727		250,194
Edison International		6,971		554,961
PG&E Corp.		6,286		417,139
Xcel Energy, Inc.		5,700		253,365
				1,475,659
Electrical Equipment - 0.5%
Acuity Brands, Inc.		988		201,552
Eaton Corp. plc		2,886		213,997
Rockwell Automation, Inc.		2,600		404,846
				820,395
Electronic Equipment, Instruments & Components - 0.4%
Cognex Corp.		1,626		136,503
Corning, Inc.		11,812		318,924
Dolby Laboratories, Inc., Class A		1,816		95,176
				550,603
Energy Equipment & Services - 1.3%
Halliburton Co.		8,800		433,048
Helmerich & Payne, Inc.		1,670		111,172
Nabors Industries Ltd.		5,561		72,682
Patterson-UTI Energy, Inc.		13,932		338,130
Rowan Cos. plc, Class A *		9,031		140,703
RPC, Inc. (b)		9,564		175,117
Transocean Ltd. *		57,811		719,747
				1,990,599

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 2.1%
American Tower Corp.		4,634	$	563,216
AvalonBay Communities, Inc.		3,937		722,833
CyrusOne, Inc.		1,564		80,499
Digital Realty Trust, Inc.		4,081		434,178
Equinix, Inc.		463		185,371
Essex Property Trust, Inc.		1,200		277,836
Extra Space Storage, Inc.		1,500		111,585
GGP, Inc.		1,986		46,036
Public Storage		2,917		638,560
Realty Income Corp.		1,500		89,295
UDR, Inc.		2,100		76,146
				3,225,555
Food & Staples Retailing - 0.5%
Costco Wholesale Corp.		2,173		364,390
Kroger Co. (The)		6,800		200,532
Sysco Corp.		1,418		73,623
Walgreens Boots Alliance, Inc.		1,551		128,810
				767,355
Food Products - 0.8%
Archer-Daniels-Midland Co.		2,109		97,098
Blue Buffalo Pet Products, Inc. *		3,011		69,253
Conagra Brands, Inc.		1,869		75,396
General Mills, Inc.		1,282		75,651
JM Smucker Co. (The)		527		69,079
Kraft Heinz Co. (The)		1,077		97,802
Mondelez International, Inc., Class A		7,401		318,835
Pilgrim’s Pride Corp.		3,191		71,814
Pinnacle Foods, Inc.		1,572		90,972
Tyson Foods, Inc., Class A		5,589		344,897
				1,310,797
Health Care Equipment & Supplies - 2.4%
ABIOMED, Inc. *		413		51,708
Align Technology, Inc. *		2,008		230,338
Baxter International, Inc.		1,720		89,199
Becton Dickinson and Co.		1,193		218,844
Boston Scientific Corp. *		20,239		503,344
Danaher Corp.		5,772		493,679
DexCom, Inc. *		2,200		186,406
Edwards Lifesciences Corp. *		3,270		307,609
Hologic, Inc. *		1,943		82,675
IDEXX Laboratories, Inc. *		1,555		240,418
Intuitive Surgical, Inc. *		436		334,181
Medtronic plc		9,817		790,857
Stryker Corp.		1,316		173,251
				3,702,509
Health Care Providers & Services - 3.0%
Aetna, Inc.		5,446		694,637
AmerisourceBergen Corp.		1,061		93,899
Anthem, Inc.		3,564		589,414
Cardinal Health, Inc.		3,661		298,555
Centene Corp. *		3,293		234,659
HCA Holdings, Inc. *		2,023		180,027
Henry Schein, Inc. *		648		110,141
UnitedHealth Group, Inc.		14,744		2,418,163
				4,619,495

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

AQR Funds Semi-Annual Report March 2017

74

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Health Care Technology - 0.1%
athenahealth, Inc. *		731	$	82,376
Veeva Systems, Inc., Class A *		2,634		135,072
				217,448
Hotels, Restaurants & Leisure - 1.7%
Carnival Corp.		4,534		267,098
Domino’s Pizza, Inc.		432		79,618
International Game Technology plc		3,274		77,594
Las Vegas Sands Corp.		3,538		201,914
McDonald’s Corp.		4,158		538,918
MGM Resorts International		2,688		73,651
Starbucks Corp.		16,502		963,552
Wynn Resorts Ltd.		2,841		325,607
Yum Brands, Inc.		1,045		66,775
				2,594,727
Household Durables - 0.4%
Garmin Ltd.		2,624		134,113
Mohawk Industries, Inc. *		1,586		363,971
Whirlpool Corp.		1,142		195,659
				693,743
Household Products - 0.9%
Energizer Holdings, Inc.		994		55,415
Kimberly-Clark Corp.		1,952		256,942
Procter & Gamble Co. (The)		11,553		1,038,037
Spectrum Brands Holdings, Inc.		901		125,248
				1,475,642
Industrial Conglomerates - 1.9%
3M Co.		5,664		1,083,693
General Electric Co.		39,655		1,181,719
Honeywell International, Inc.		5,345		667,430
				2,932,842
Insurance - 1.9%
American Financial Group, Inc.		1,717		163,836
Arch Capital Group Ltd. *		2,968		281,277
Axis Capital Holdings Ltd.		856		57,378
Chubb Ltd.		5,486		747,467
Everest Re Group Ltd.		999		233,576
Hartford Financial Services Group, Inc. (The)		3,282		157,766
Markel Corp. *		231		225,424
Principal Financial Group, Inc.		1,500		94,665
Progressive Corp. (The)		5,576		218,468
RenaissanceRe Holdings Ltd.		1,701		246,050
Travelers Cos., Inc. (The)		3,710		447,203
White Mountains Insurance Group Ltd.		100		87,988
				2,961,098
Internet & Direct Marketing Retail - 4.3%
Amazon.com, Inc. *		5,951		5,275,800
Expedia, Inc.		1,694		213,732
Netflix, Inc. *		3,073		454,220
Priceline Group, Inc. (The) *		426		758,267
				6,702,019

INVESTMENTS	SHARES		VALUE
Internet Software & Services - 4.3%
Akamai Technologies, Inc. *		1,700	$	101,490
Alphabet, Inc., Class A *		2,395		2,030,481
CoStar Group, Inc. *		500		103,610
eBay, Inc. *		13,570		455,545
Facebook, Inc., Class A *		23,417		3,326,385
VeriSign, Inc. *		576		50,175
Yahoo!, Inc. *		8,663		402,050
Yelp, Inc. *		3,133		102,606
Zillow Group, Inc., Class C *		5,250		176,767
				6,749,109
IT Services - 3.3%
Accenture plc, Class A		8,221		985,533
Alliance Data Systems Corp.		634		157,866
Amdocs Ltd.		1,750		106,733
Automatic Data Processing, Inc.		3,680		376,795
Cognizant Technology Solutions Corp., Class A *		4,940		294,029
Computer Sciences Corp.		5,565		384,041
Fiserv, Inc. *		3,342		385,366
FleetCor Technologies, Inc. *		1,727		261,520
Jack Henry & Associates, Inc.		1,350		125,685
Mastercard, Inc., Class A		5,803		652,663
PayPal Holdings, Inc. *		1,167		50,204
Square, Inc. *		15,511		268,030
Total System Services, Inc.		2,043		109,219
Vantiv, Inc., Class A *		2,419		155,106
Visa, Inc., Class A		9,933		882,746
				5,195,536
Leisure Products - 0.1%
Brunswick Corp.		1,969		120,503
Life Sciences Tools & Services - 0.7%
Illumina, Inc. *		1,398		238,555
Quintiles IMS Holdings, Inc. *		1,288		103,723
Thermo Fisher Scientific, Inc.		5,346		821,145
				1,163,423
Machinery - 2.8%
Caterpillar, Inc.		7,961		738,462
Colfax Corp. *		2,368		92,968
Cummins, Inc.		1,475		223,020
Deere & Co.		1,901		206,943
Dover Corp.		2,493		200,312
Fortive Corp.		2,886		173,795
Illinois Tool Works, Inc.		4,089		541,670
Ingersoll-Rand plc		3,592		292,101
Middleby Corp. (The) *		1,800		245,610
Nordson Corp.		909		111,662
Oshkosh Corp.		5,516		378,342
Parker-Hannifin Corp.		1,500		240,480
Trinity Industries, Inc.		17,214		457,032
WABCO Holdings, Inc. *		800		93,936
Wabtec Corp.		785		61,230
Xylem, Inc.		6,645		333,712
				4,391,275

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

AQR Funds Semi-Annual Report March 2017

75

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Media - 1.7%
CBS Corp. (Non-Voting), Class B		2,587	$	179,434
Charter Communications, Inc., Class A *		2,753		901,112
Comcast Corp., Class A		29,864		1,122,588
DISH Network Corp., Class A *		2,530		160,630
Liberty Broadband Corp. *		1,573		135,907
Madison Square Garden Co. (The), Class A *		316		63,109
TEGNA, Inc.		2,894		74,144
Walt Disney Co. (The)		595		67,467
				2,704,391
Metals & Mining - 1.3%
Freeport-McMoRan, Inc. *		49,744		664,580
Newmont Mining Corp.		1,363		44,924
Nucor Corp.		2,869		171,337
Royal Gold, Inc.		1,671		117,054
Steel Dynamics, Inc.		10,719		372,592
United States Steel Corp.		18,359		620,718
				1,991,205
Multiline Retail - 0.2%
Dollar General Corp.		1,853		129,210
Dollar Tree, Inc. *		2,940		230,672
				359,882
Multi-Utilities - 0.4%
CMS Energy Corp.		2,100		93,954
Consolidated Edison, Inc.		2,370		184,054
DTE Energy Co.		3,287		335,636
				613,644
Oil, Gas & Consumable Fuels - 8.8%
Anadarko Petroleum Corp.		1,084		67,208
Apache Corp.		3,898		200,318
Chesapeake Energy Corp. *(b)		87,027		516,940
Chevron Corp.		15,077		1,618,817
Cimarex Energy Co.		1,073		128,213
Concho Resources, Inc. *		471		60,448
CONSOL Energy, Inc. *		40,142		673,583
Continental Resources, Inc. *		15,550		706,281
Devon Energy Corp.		5,496		229,293
Diamondback Energy, Inc. *		10,931		1,133,709
Energen Corp. *		5,908		321,631
EOG Resources, Inc.		3,143		306,600
Laredo Petroleum, Inc. *		36,934		539,236
Marathon Oil Corp.		44,773		707,413
Murphy Oil Corp.		11,513		329,157
Newfield Exploration Co. *		14,449		533,313
ONEOK, Inc.		8,184		453,721
Parsley Energy, Inc., Class A *		13,733		446,460
Phillips 66		7,722		611,737
Pioneer Natural Resources Co.		3,833		713,820
QEP Resources, Inc. *		3,508		44,587
Range Resources Corp.		5,469		159,148
Rice Energy, Inc. *		28,216		668,719
SM Energy Co.		8,933		214,571
Southwestern Energy Co. *		34,992		285,885
Targa Resources Corp.		2,006		120,159
Tesoro Corp.		4,045		327,888

INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 8.8% (continued)
Valero Energy Corp.		2,224	$	147,429
Whiting Petroleum Corp. *		70,100		663,146
Williams Cos., Inc. (The)		4,921		145,612
WPX Energy, Inc. *		49,809		666,942
				13,741,984
Personal Products - 0.0% (a)
Nu Skin Enterprises, Inc., Class A		1,366		75,868
Pharmaceuticals - 1.9%
Bristol-Myers Squibb Co.		3,457		187,992
Eli Lilly & Co.		7,307		614,592
Johnson & Johnson		14,795		1,842,717
Zoetis, Inc.		5,446		290,653
				2,935,954
Professional Services - 0.1%
Equifax, Inc.		651		89,018
Verisk Analytics, Inc. *		906		73,513
				162,531
Road & Rail - 1.5%
Avis Budget Group, Inc. *		9,596		283,850
CSX Corp.		22,908		1,066,367
Genesee & Wyoming, Inc., Class A *		2,668		181,050
Norfolk Southern Corp.		2,500		279,925
Old Dominion Freight Line, Inc.		1,956		167,375
Union Pacific Corp.		3,526		373,474
				2,352,041
Semiconductors & Semiconductor Equipment - 5.9%
Applied Materials, Inc.		25,474		990,939
Broadcom Ltd.		6,438		1,409,664
Cypress Semiconductor Corp.		3,062		42,133
Intel Corp.		18,459		665,816
Lam Research Corp.		1,419		182,143
Marvell Technology Group Ltd.		6,200		94,612
Microchip Technology, Inc.		1,024		75,551
Micron Technology, Inc. *		37,035		1,070,311
NVIDIA Corp.		19,769		2,153,437
ON Semiconductor Corp. *		18,633		288,625
Qorvo, Inc. *		1,344		92,145
QUALCOMM, Inc.		7,148		409,866
Skyworks Solutions, Inc.		3,805		372,814
Texas Instruments, Inc.		15,348		1,236,435
Xilinx, Inc.		2,840		164,408
				9,248,899
Software - 5.1%
Activision Blizzard, Inc.		14,761		735,983
Adobe Systems, Inc. *		8,721		1,134,864
Autodesk, Inc. *		1,500		129,705
CA, Inc.		2,700		85,644
CDK Global, Inc.		905		58,834
Electronic Arts, Inc. *		8,389		750,983
Intuit, Inc.		2,897		336,023
Microsoft Corp.		52,938		3,486,497
Red Hat, Inc. *		1,240		107,260
salesforce.com, Inc. *		3,329		274,609
ServiceNow, Inc. *		3,184		278,504

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

AQR Funds Semi-Annual Report March 2017

76

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Software - 5.1% (continued)
Splunk, Inc. *		1,137	$	70,824
SS&C Technologies Holdings, Inc.		2,522		89,279
Symantec Corp.		6,438		197,518
VMware, Inc., Class A *(b)		1,642		151,294
				7,887,821
Specialty Retail - 3.1%
Advance Auto Parts, Inc.		303		44,923
AutoZone, Inc. *		159		114,965
Best Buy Co., Inc.		2,009		98,742
Burlington Stores, Inc. *		1,649		160,431
Home Depot, Inc. (The)		7,976		1,171,116
Lowe’s Cos., Inc.		6,604		542,915
O’Reilly Automotive, Inc. *		2,852		769,584
Ross Stores, Inc.		11,170		735,768
TJX Cos., Inc. (The)		7,493		592,546
Ulta Beauty, Inc. *		1,847		526,820
				4,757,810
Technology Hardware, Storage & Peripherals - 2.9%
Apple, Inc.		20,109		2,888,859
Hewlett Packard Enterprise Co.		27,703		656,561
HP, Inc.		21,328		381,344
NCR Corp. *		2,276		103,968
Western Digital Corp.		4,434		365,938
Xerox Corp.		11,832		86,847
				4,483,517
Textiles, Apparel & Luxury Goods - 0.3%
Hanesbrands, Inc.		3,600		74,736
NIKE, Inc., Class B		5,798		323,122
VF Corp.		847		46,560
				444,418
Tobacco - 1.6%
Altria Group, Inc.		30,388		2,170,311
Philip Morris International, Inc.		2,487		280,782
				2,451,093
Trading Companies & Distributors - 0.5%
HD Supply Holdings, Inc. *		2,092		86,034
United Rentals, Inc. *		3,686		460,934
WESCO International, Inc. *		2,577		179,230
				726,198
Transportation Infrastructure - 0.0% (a)
Macquarie Infrastructure Corp.		800		64,464
Wireless Telecommunication Services - 0.8%
Sprint Corp. *(b)		70,395		611,028
T-Mobile US, Inc. *		8,671		560,060
				1,171,088
TOTAL COMMON STOCKS (cost $121,118,302)				150,917,597
SHORT-TERM INVESTMENT - 3.4%
Investment Company - 3.4%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $5,248,939) (2)(c)		5,248,939		5,248,939

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 1.0%
Investment Company - 1.0%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $1,506,053 ) (2)(c)(d)		1,506,053	$	1,506,053
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.2% (cost $127,873,294)				157,672,589
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2)% (e)			(1,915,378)
NET ASSETS - 100.0%			$	155,757,211

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	18,918,394			12.1	%
Consumer Staples		8,268,133			5.3
Energy		15,732,583			10.1
Financials		23,939,954			15.3
Health Care		14,041,767			9.0
Industrials		20,500,510			13.2
Information Technology		36,856,004			23.6
Materials		4,611,270			3.0
Real Estate		3,225,555			2.1
Telecommunication Services		2,734,124			1.8
Utilities		2,089,303			1.3
Short-Term Investment		5,248,939			3.4
Securities Lending Collateral		1,506,053			1.0
Total Investments In Securities At Value		157,672,589			101.2
Liabilities in Excess of Other Assets (e)		(1,915,378	)		(1.2	)
Net Assets	$	155,757,211			100.0	%

* Non-income producing security.

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

(b) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $1,449,246.

(c) Represents 7-day effective yield as of 3/31/2017.

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

(e) Includes appreciation/(depreciation) on futures contracts.

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

(2) Level 2 security (See Note 4).

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

AQR Funds Semi-Annual Report March 2017

77

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
26	GSCO	S&P 500 E-Mini Futures		06/2017		$3,077,125		$3,066,960		$(10,165	)

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$133,520		$133,520

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

AQR Funds Semi-Annual Report March 2017

78

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.9%
Aerospace & Defense - 1.2%
AAR Corp.		688	$	23,138
Astronics Corp. *		515		16,341
Curtiss-Wright Corp.		1,230		112,250
Ducommun, Inc. *		1,446		41,630
Engility Holdings, Inc. *		1,335		38,635
KeyW Holding Corp. (The) *		5,382		50,806
Kratos Defense & Security Solutions, Inc. *		6,325		49,209
Mercury Systems, Inc. *		1,561		60,957
National Presto Industries, Inc.		136		13,899
TASER International, Inc. *		1,981		45,147
Vectrus, Inc. *		904		20,204
				472,216
Air Freight & Logistics - 0.7%
Air Transport Services Group, Inc. *		1,277		20,496
Atlas Air Worldwide Holdings, Inc. *		400		22,180
Echo Global Logistics, Inc. *		1,141		24,360
Hub Group, Inc., Class A *		700		32,480
Park-Ohio Holdings Corp.		324		11,648
XPO Logistics, Inc. *		3,841		183,945
				295,109
Airlines - 0.4%
Allegiant Travel Co.		284		45,511
Hawaiian Holdings, Inc. *		1,800		83,610
SkyWest, Inc.		1,418		48,567
				177,688
Auto Components - 1.5%
Cooper Tire & Rubber Co.		576		25,546
Cooper-Standard Holdings, Inc. *		845		93,736
Dorman Products, Inc. *		381		31,291
Fox Factory Holding Corp. *		779		22,357
Gentherm, Inc. *		1,057		41,487
Horizon Global Corp. *		2,230		30,952
LCI Industries		1,251		124,850
Modine Manufacturing Co. *		1,493		18,215
Motorcar Parts of America, Inc. *		1,306		40,133
Spartan Motors, Inc.		7,354		58,832
Standard Motor Products, Inc.		641		31,499
Superior Industries International, Inc.		1,403		35,566
Tenneco, Inc.		373		23,283
Tower International, Inc.		753		20,406
				598,153
Banks - 13.8%
Allegiance Bancshares, Inc. *		1,709		63,575
Ameris Bancorp		2,179		100,452
Banc of California, Inc.		1,710		35,397
BancorpSouth, Inc.		392		11,858
Banner Corp.		455		25,316
Blue Hills Bancorp, Inc.		1,200		21,420
Boston Private Financial Holdings, Inc.		1,715		28,126
Capital Bank Financial Corp., Class A		3,497		151,770
Carolina Financial Corp.		3,009		90,270
Cathay General Bancorp		853		32,141
CenterState Banks, Inc.		628		16,265
Central Pacific Financial Corp.		835		25,501

INVESTMENTS	SHARES		VALUE
Banks - 13.8% (continued)
Central Valley Community Bancorp		2,448	$	50,184
Chemical Financial Corp.		1,196		61,175
Community Bank System, Inc.		218		11,986
ConnectOne Bancorp, Inc.		1,237		29,997
Customers Bancorp, Inc. *		1,988		62,682
CVB Financial Corp.		1,182		26,110
Eagle Bancorp, Inc. *		2,446		146,026
Enterprise Financial Services Corp.		1,147		48,633
Farmers Capital Bank Corp.		1,853		74,861
Farmers National Banc Corp.		4,402		63,169
FCB Financial Holdings, Inc., Class A *		2,637		130,663
Fidelity Southern Corp.		1,125		25,177
First BanCorp *		32,117		181,461
First Citizens BancShares, Inc., Class A		56		18,781
First Commonwealth Financial Corp.		1,437		19,055
First Financial Bankshares, Inc.		300		12,030
First Financial Northwest, Inc.		1,002		17,705
First Interstate BancSystem, Inc., Class A		3,394		134,572
First Merchants Corp.		1,507		59,255
Fulton Financial Corp.		3,338		59,583
Glacier Bancorp, Inc.		357		12,113
Great Western Bancorp, Inc.		5,043		213,874
Green Bancorp, Inc. *		4,394		78,213
Hancock Holding Co.		4,621		210,487
Hanmi Financial Corp.		1,562		48,031
Heartland Financial USA, Inc.		240		11,988
Hilltop Holdings, Inc.		3,684		101,199
Home BancShares, Inc.		5,212		141,089
Horizon Bancorp		742		19,455
IBERIABANK Corp.		1,464		115,802
Independent Bank Corp./MA		741		48,165
Independent Bank Corp./MI		4,596		95,137
Independent Bank Group, Inc.		2,050		131,815
International Bancshares Corp.		2,624		92,890
Lakeland Bancorp, Inc.		1,193		23,383
Lakeland Financial Corp.		1,783		76,883
LegacyTexas Financial Group, Inc.		3,872		154,493
MB Financial, Inc.		813		34,813
MBT Financial Corp.		3,432		38,953
Mercantile Bank Corp.		568		19,539
National Bank Holdings Corp., Class A		1,332		43,290
National Commerce Corp. *		350		12,810
OFG Bancorp		9,020		106,436
Old National Bancorp		693		12,024
Old Second Bancorp, Inc.		3,326		37,417
Pacific Premier Bancorp, Inc. *		1,050		40,477
Park Sterling Corp.		2,476		30,480
Peoples Bancorp, Inc.		732		23,175
People’s Utah Bancorp		1,275		33,724
Pinnacle Financial Partners, Inc.		1,180		78,411
Preferred Bank		1,175		63,051
Prosperity Bancshares, Inc.		2,341		163,191
QCR Holdings, Inc.		921		39,004
Renasant Corp.		1,210		48,025
Republic First Bancorp, Inc. *		10,891		90,395
Seacoast Banking Corp. of Florida *		1,534		36,785
ServisFirst Bancshares, Inc.		5,693		207,111
Simmons First National Corp., Class A		600		33,090

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

AQR Funds Semi-Annual Report March 2017

79

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Banks - 13.8% (continued)
South State Corp.		674	$	60,222
Southside Bancshares, Inc.		1,120		37,598
State Bank Financial Corp.		672		17,553
Sterling Bancorp		4,841		114,732
Texas Capital Bancshares, Inc. *		3,800		317,110
Towne Bank		1,793		58,093
TriState Capital Holdings, Inc. *		1,846		43,104
Triumph Bancorp, Inc. *		1,976		50,981
UMB Financial Corp.		158		11,899
Union Bankshares Corp.		387		13,615
United Community Banks, Inc.		3,443		95,337
Veritex Holdings, Inc. *		2,280		64,114
Webster Financial Corp.		1,242		62,150
WesBanco, Inc.		352		13,415
Wintrust Financial Corp.		655		45,274
				5,607,611
Beverages - 0.7%
Coca-Cola Bottling Co. Consolidated		293		60,364
Craft Brew Alliance, Inc. *		1,463		19,531
MGP Ingredients, Inc.		1,119		60,683
National Beverage Corp.		1,691		142,940
Primo Water Corp. *		1,330		18,062
				301,580
Biotechnology - 5.7%
Acceleron Pharma, Inc. *		538		14,241
Alder Biopharmaceuticals, Inc. *		741		15,413
Array BioPharma, Inc. *		10,629		95,023
Avexis, Inc. *		794		60,368
BioCryst Pharmaceuticals, Inc. *		2,816		23,654
BioSpecifics Technologies Corp. *		296		16,221
Bluebird Bio, Inc. *		497		45,177
Blueprint Medicines Corp. *		1,542		61,665
Cara Therapeutics, Inc. *(a)		2,636		48,476
ChemoCentryx, Inc. *		2,016		14,677
Clovis Oncology, Inc. *		2,239		142,557
Coherus Biosciences, Inc. *		1,041		22,017
CTI BioPharma Corp. *		370		1,554
Eagle Pharmaceuticals, Inc. *		409		33,923
Emergent BioSolutions, Inc. *		500		14,520
Exact Sciences Corp. *		6,064		143,232
Exelixis, Inc. *		14,440		312,915
Five Prime Therapeutics, Inc. *		1,435		51,875
Flexion Therapeutics, Inc. *		452		12,163
Genomic Health, Inc. *		455		14,328
Global Blood Therapeutics, Inc. *		557		20,525
Immunomedics, Inc. *		3,067		19,844
Inovio Pharmaceuticals, Inc. *		2,423		16,040
Insmed, Inc. *		890		15,584
Ironwood Pharmaceuticals, Inc. *		3,041		51,879
Lexicon Pharmaceuticals, Inc. *(a)		3,291		47,193
Ligand Pharmaceuticals, Inc. *		449		47,522
Lion Biotechnologies, Inc. *		1,693		12,613
Loxo Oncology, Inc. *		1,141		48,013
MiMedx Group, Inc. *(a)		2,791		26,598
Minerva Neurosciences, Inc. *		3,724		30,164
Momenta Pharmaceuticals, Inc. *		868		11,588
Peregrine Pharmaceuticals, Inc. *		9,591		6,273

INVESTMENTS	SHARES		VALUE
Biotechnology - 5.7% (continued)
Progenics Pharmaceuticals, Inc. *		4,404	$	41,574
Prothena Corp. plc (Ireland) *		651		36,319
Repligen Corp. *		1,200		42,240
Retrophin, Inc. *		1,201		22,170
Sage Therapeutics, Inc. *		398		28,286
Sarepta Therapeutics, Inc. *		3,172		93,891
Spark Therapeutics, Inc. *		795		42,405
Stemline Therapeutics, Inc. *		1,747		14,937
Synergy Pharmaceuticals, Inc. *		7,742		36,078
TESARO, Inc. *		2,506		385,598
Vanda Pharmaceuticals, Inc. *		1,751		24,514
Versartis, Inc. *		535		11,422
Xencor, Inc. *		2,168		51,859
				2,329,128
Building Products - 1.9%
AAON, Inc.		1,050		37,118
Advanced Drainage Systems, Inc.		848		18,571
American Woodmark Corp. *		564		51,775
Apogee Enterprises, Inc.		791		47,152
Builders FirstSource, Inc. *		1,831		27,282
Continental Building Products, Inc. *		1,526		37,387
Gibraltar Industries, Inc. *		1,956		80,587
Insteel Industries, Inc.		1,596		57,680
Masonite International Corp. *		1,077		85,352
NCI Building Systems, Inc. *		1,241		21,283
Patrick Industries, Inc. *		2,206		156,405
Ply Gem Holdings, Inc. *		822		16,193
Trex Co., Inc. *		402		27,895
Universal Forest Products, Inc.		890		87,701
				752,381
Capital Markets - 0.6%
Arlington Asset Investment Corp., Class A		1,337		18,892
BGC Partners, Inc., Class A		6,967		79,145
Cowen Group, Inc., Class A *		865		12,932
Evercore Partners, Inc., Class A		209		16,281
Fifth Street Asset Management, Inc.		3,185		14,651
GAIN Capital Holdings, Inc.		1,922		16,010
Investment Technology Group, Inc.		682		13,810
Moelis & Co., Class A		315		12,127
Piper Jaffray Cos.		675		43,099
Stifel Financial Corp. *		256		12,849
				239,796
Chemicals - 3.1%
A Schulman, Inc.		500		15,725
Chemours Co. (The)		10,522		405,097
Ferro Corp. *		2,400		36,456
Flotek Industries, Inc. *		957		12,240
FutureFuel Corp.		1,187		16,832
Innophos Holdings, Inc.		300		16,191
Innospec, Inc.		332		21,497
Koppers Holdings, Inc. *		325		13,764
Kraton Corp. *		946		29,250
Kronos Worldwide, Inc.		5,539		91,006
Minerals Technologies, Inc.		500		38,300
Olin Corp.		2,964		97,427
Rayonier Advanced Materials, Inc.		1,897		25,515

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

AQR Funds Semi-Annual Report March 2017

80

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Chemicals - 3.1% (continued)
Sensient Technologies Corp.		1,100	$	87,186
Stepan Co.		220		17,338
Trinseo SA		3,066		205,728
Tronox Ltd., Class A		7,688		141,843
				1,271,395
Commercial Services & Supplies - 1.2%
ACCO Brands Corp. *		1,709		22,473
Aqua Metals, Inc. *(a)		4,049		79,117
Brady Corp., Class A		570		22,031
Brink’s Co. (The)		219		11,706
CECO Environmental Corp.		2,299		24,162
Deluxe Corp.		267		19,269
Healthcare Services Group, Inc.		976		42,056
HNI Corp.		700		32,263
Interface, Inc.		687		13,087
Kimball International, Inc., Class B		1,371		22,622
Mobile Mini, Inc.		427		13,024
Multi-Color Corp.		444		31,524
Quad/Graphics, Inc.		2,798		70,622
Steelcase, Inc., Class A		1,047		17,537
UniFirst Corp.		100		14,145
US Ecology, Inc.		349		16,351
West Corp.		779		19,023
				471,012
Communications Equipment - 2.6%
ADTRAN, Inc.		734		15,231
Applied Optoelectronics, Inc. *		1,703		95,623
Ciena Corp. *		1,152		27,199
EMCORE Corp.		2,743		24,687
Extreme Networks, Inc. *		4,253		31,940
Finisar Corp. *		5,438		148,675
InterDigital, Inc.		800		69,040
Lumentum Holdings, Inc. *		4,002		213,507
NETGEAR, Inc. *		842		41,721
NetScout Systems, Inc. *		308		11,689
Oclaro, Inc. *		14,028		137,755
Plantronics, Inc.		393		21,265
Ubiquiti Networks, Inc. *		3,654		183,650
ViaSat, Inc. *		654		41,738
Viavi Solutions, Inc. *		1,077		11,545
				1,075,265
Construction & Engineering - 1.2%
Argan, Inc.		730		48,290
Comfort Systems USA, Inc.		1,346		49,331
Dycom Industries, Inc. *		1,182		109,867
Granite Construction, Inc.		465		23,338
HC2 Holdings, Inc. *		962		5,964
IES Holdings, Inc. *		717		12,978
MasTec, Inc. *		2,957		118,428
NV5 Global, Inc. *		1,032		38,803
Orion Group Holdings, Inc. *		2,870		21,439
Primoris Services Corp.		715		16,602
Tutor Perini Corp. *		1,919		61,024
				506,064

INVESTMENTS	SHARES		VALUE
Construction Materials - 0.2%
US Concrete, Inc. *		1,539	$	99,342
Consumer Finance - 0.2%
Enova International, Inc. *		1,257		18,666
EZCORP, Inc., Class A *		5,444		44,369
Nelnet, Inc., Class A		400		17,544
				80,579
Containers & Packaging - 0.2%
Greif, Inc., Class A		1,591		87,648
Distributors - 0.1%
Core-Mark Holding Co., Inc.		1,645		51,308
Diversified Consumer Services - 1.0%
Bright Horizons Family Solutions, Inc. *		2,500		181,225
Capella Education Co.		200		17,005
Career Education Corp. *		9,718		84,547
Carriage Services, Inc.		552		14,970
Chegg, Inc. *		2,968		25,050
Grand Canyon Education, Inc. *		538		38,526
K12, Inc. *		1,067		20,433
Weight Watchers International, Inc. *		1,329		20,693
				402,449
Diversified Telecommunication Services - 0.6%
ATN International, Inc.		181		12,746
Cogent Communications Holdings, Inc.		829		35,689
Consolidated Communications Holdings, Inc.		1,600		37,472
IDT Corp., Class B		1,371		17,439
Iridium Communications, Inc. *(a)		2,656		25,630
ORBCOMM, Inc. *		3,221		30,761
Straight Path Communications, Inc., Class B *(a)		1,332		47,912
Vonage Holdings Corp. *		2,700		17,064
				224,713
Electric Utilities - 0.5%
ALLETE, Inc.		172		11,646
MGE Energy, Inc.		1,156		75,140
Otter Tail Corp.		739		28,008
PNM Resources, Inc.		535		19,795
Spark Energy, Inc., Class A (a)		1,536		49,075
				183,664
Electrical Equipment - 0.3%
AZZ, Inc.		300		17,850
Energous Corp. *		2,172		33,883
EnerSys		213		16,814
Generac Holdings, Inc. *		1,098		40,934
				109,481
Electronic Equipment, Instruments & Components - 3.6%
Badger Meter, Inc.		936		34,398
Belden, Inc.		377		26,085
Coherent, Inc. *		1,260		259,106
CTS Corp.		722		15,379
ePlus, Inc. *		336		45,377
Fabrinet (Thailand) *		3,118		131,050

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

AQR Funds Semi-Annual Report March 2017

81

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Electronic Equipment, Instruments & Components - 3.6% (continued)
II-VI, Inc. *		1,136	$	40,953
Insight Enterprises, Inc. *		700		28,763
Itron, Inc. *		641		38,909
Littelfuse, Inc.		761		121,691
Mesa Laboratories, Inc.		432		53,006
Methode Electronics, Inc.		887		40,447
OSI Systems, Inc. *		393		28,685
Plexus Corp. *		600		34,680
Rogers Corp. *		300		25,761
Sanmina Corp. *		1,891		76,775
SYNNEX Corp.		1,105		123,694
Tech Data Corp. *		1,035		97,186
TTM Technologies, Inc. *		3,545		57,181
Universal Display Corp.		2,132		183,565
				1,462,691
Energy Equipment & Services - 2.2%
Archrock, Inc.		5,634		69,862
Atwood Oceanics, Inc. *		3,846		36,652
Exterran Corp. *		941		29,594
Fairmount Santrol Holdings, Inc. *		14,926		109,408
Forum Energy Technologies, Inc. *		4,634		95,924
Geospace Technologies Corp. *		1,179		19,135
Helix Energy Solutions Group, Inc. *		9,766		75,882
McDermott International, Inc. *		9,798		66,137
Natural Gas Services Group, Inc. *		490		12,765
Oil States International, Inc. *		621		20,586
Pioneer Energy Services Corp. *		12,589		50,356
Seadrill Ltd. (United Kingdom) *(a)		8,228		13,576
Unit Corp. *		4,190		101,230
US Silica Holdings, Inc.		4,067		195,175
				896,282
Equity Real Estate Investment Trusts (REITs) - 3.6%
Agree Realty Corp.		808		38,752
American Assets Trust, Inc.		830		34,727
Community Healthcare Trust, Inc.		554		13,241
CoreSite Realty Corp.		1,632		146,962
DuPont Fabros Technology, Inc.		3,440		170,590
EastGroup Properties, Inc.		161		11,838
Education Realty Trust, Inc.		291		11,887
GEO Group, Inc. (The)		357		16,554
Gladstone Commercial Corp.		2,247		46,445
Healthcare Realty Trust, Inc.		560		18,200
Hudson Pacific Properties, Inc.		2,411		83,517
Independence Realty Trust, Inc.		1,737		16,276
Mack-Cali Realty Corp.		1,677		45,178
Monmouth Real Estate Investment Corp.		2,217		31,637
National Storage Affiliates Trust		3,606		86,183
NexPoint Residential Trust, Inc.		2,537		61,294
Physicians Realty Trust		1,800		35,766
PS Business Parks, Inc.		1,123		128,875
QTS Realty Trust, Inc., Class A		1,262		61,522
Retail Opportunity Investments Corp.		1,898		39,915
Rexford Industrial Realty, Inc.		3,373		75,960
Ryman Hospitality Properties, Inc.		1,068		66,034
Sabra Health Care REIT, Inc.		554		15,473
Select Income REIT		515		13,282
Seritage Growth Properties, Class A		430		18,555

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 3.6% (continued)
STAG Industrial, Inc.		1,825	$	45,662
Summit Hotel Properties, Inc.		2,178		34,804
Terreno Realty Corp.		1,103		30,884
Tier REIT, Inc.		928		16,110
UMH Properties, Inc.		984		14,967
Universal Health Realty Income Trust		283		18,254
Washington REIT		1,090		34,095
				1,483,439
Food & Staples Retailing - 0.1%
Ingles Markets, Inc., Class A		500		21,575
SpartanNash Co.		755		26,417
				47,992
Food Products - 1.6%
B&G Foods, Inc.		1,382		55,625
Calavo Growers, Inc.		300		18,180
Cal-Maine Foods, Inc.		561		20,645
Fresh Del Monte Produce, Inc.		2,090		123,791
J&J Snack Foods Corp.		693		93,943
John B Sanfilippo & Son, Inc.		726		53,136
Lancaster Colony Corp.		938		120,852
Omega Protein Corp.		853		17,103
Sanderson Farms, Inc.		623		64,692
Snyder’s-Lance, Inc.		1,643		66,229
				634,196
Gas Utilities - 0.7%
Chesapeake Utilities Corp.		258		17,853
Northwest Natural Gas Co.		369		21,808
ONE Gas, Inc.		2,211		149,464
Southwest Gas Holdings, Inc.		985		81,666
				270,791
Health Care Equipment & Supplies - 3.1%
Abaxis, Inc.		457		22,165
Analogic Corp.		156		11,840
Anika Therapeutics, Inc. *		794		34,491
AtriCure, Inc. *		800		15,320
AxoGen, Inc. *		2,114		22,091
Cantel Medical Corp.		1,202		96,280
Cardiovascular Systems, Inc. *		796		22,507
Cerus Corp. *		3,201		14,245
CONMED Corp.		500		22,205
GenMark Diagnostics, Inc. *		1,549		19,858
Glaukos Corp. *		1,380		70,794
Globus Medical, Inc., Class A *		1,441		42,682
ICU Medical, Inc. *		559		85,359
Inogen, Inc. *		1,479		114,711
Integra LifeSciences Holdings Corp. *		1,706		71,874
K2M Group Holdings, Inc. *		1,170		23,997
Masimo Corp. *		1,012		94,379
Merit Medical Systems, Inc. *		612		17,687
Natus Medical, Inc. *		1,478		58,012
Neogen Corp. *		480		31,464
Nevro Corp. *		1,771		165,943
NuVasive, Inc. *		896		66,913
NxStage Medical, Inc. *		1,351		36,247
Penumbra, Inc. *		884		73,770

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

AQR Funds Semi-Annual Report March 2017

82

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Health Care Equipment & Supplies - 3.1% (continued)
Spectranetics Corp. (The) *		1,257	$	36,610
				1,271,444
Health Care Providers & Services - 1.4%
Aceto Corp.		1,044		16,506
Addus HomeCare Corp. *		1,246		39,872
Amedisys, Inc. *		745		38,062
AMN Healthcare Services, Inc. *		1,210		49,126
BioTelemetry, Inc. *		1,700		49,215
Chemed Corp.		500		91,345
CorVel Corp. *		404		17,574
Cross Country Healthcare, Inc. *		1,400		20,104
Ensign Group, Inc. (The)		1,000		18,800
HealthEquity, Inc. *		2,192		93,051
LHC Group, Inc. *		287		15,469
PharMerica Corp. *		900		21,060
Providence Service Corp. (The) *		400		17,776
Select Medical Holdings Corp. *		2,344		31,292
Tivity Health, Inc. *		1,200		34,920
US Physical Therapy, Inc.		280		18,284
				572,456
Health Care Technology - 0.5%
Evolent Health, Inc., Class A *		3,387		75,530
HMS Holdings Corp. *		1,510		30,698
Medidata Solutions, Inc. *		835		48,171
Omnicell, Inc. *		1,035		42,073
Vocera Communications, Inc. *		901		22,372
				218,844
Hotels, Restaurants & Leisure - 2.3%
Boyd Gaming Corp. *		617		13,580
Carrols Restaurant Group, Inc. *		1,505		21,296
Churchill Downs, Inc.		372		59,092
Chuy’s Holdings, Inc. *		1,281		38,174
ClubCorp Holdings, Inc.		1,646		26,418
Cracker Barrel Old Country Store, Inc.(a)		385		61,311
Dave & Buster’s Entertainment, Inc. *		1,370		83,693
Denny’s Corp. *		2,000		24,740
Eldorado Resorts, Inc. *		4,258		80,583
Intrawest Resorts Holdings, Inc. *		1,249		31,237
Jack in the Box, Inc.		1,015		103,246
Marriott Vacations Worldwide Corp.		710		70,950
Papa John’s International, Inc.		932		74,597
Penn National Gaming, Inc. *		999		18,412
Planet Fitness, Inc., Class A		1,383		26,650
Ruth’s Hospitality Group, Inc.		972		19,489
Scientific Games Corp., Class A *		3,666		86,701
Sonic Corp.		727		18,437
Texas Roadhouse, Inc.		2,000		89,060
				947,666
Household Durables - 1.0%
Cavco Industries, Inc. *		228		26,539
Helen of Troy Ltd. *		1,094		103,055
Hooker Furniture Corp.		465		14,438
Installed Building Products, Inc. *		1,874		98,854
La-Z-Boy, Inc.		722		19,494
LGI Homes, Inc. *(a)		2,476		83,961

INVESTMENTS	SHARES		VALUE
Household Durables - 1.0% (continued)
NACCO Industries, Inc., Class A		210	$	14,658
TopBuild Corp. *		807		37,929
Universal Electronics, Inc. *		400		27,400
				426,328
Household Products - 0.3%
Central Garden & Pet Co., Class A *		2,551		88,571
WD-40 Co.		467		50,879
				139,450
Insurance - 2.3%
American Equity Investment Life Holding Co.		641		15,147
AMERISAFE, Inc.		907		58,864
Argo Group International Holdings Ltd.		1,756		119,057
CNO Financial Group, Inc.		725		14,862
Enstar Group Ltd. *		626		119,754
FBL Financial Group, Inc., Class A		241		15,773
Federated National Holding Co.		2,074		36,150
James River Group Holdings Ltd.		2,244		96,178
Maiden Holdings Ltd.		1,054		14,756
National General Holdings Corp.		1,414		33,596
Navigators Group, Inc. (The)		766		41,594
Primerica, Inc.		1,170		96,174
RLI Corp.		1,788		107,316
Selective Insurance Group, Inc.		415		19,567
Trupanion, Inc. *		1,445		20,548
United Fire Group, Inc.		1,284		54,917
United Insurance Holdings Corp.		2,600		41,470
Universal Insurance Holdings, Inc.		1,100		26,950
				932,673
Internet & Direct Marketing Retail - 0.5%
1-800-Flowers.com, Inc., Class A *		3,613		36,852
Duluth Holdings, Inc., Class B *		1,404		29,891
Etsy, Inc. *		1,501		15,956
Nutrisystem, Inc.		1,800		99,900
Wayfair, Inc., Class A *(a)		1,004		40,652
				223,251
Internet Software & Services - 2.9%
2U, Inc. *		2,833		112,357
Alarm.com Holdings, Inc. *		2,294		70,518
Amber Road, Inc. *		1,638		12,645
Benefitfocus, Inc. *		592		16,547
Cimpress NV (Netherlands) *		585		50,421
comScore, Inc. *		429		9,262
Cornerstone OnDemand, Inc. *		1,312		51,024
Five9, Inc. *		6,291		103,550
GrubHub, Inc. *		2,389		78,574
GTT Communications, Inc. *		1,035		25,202
j2 Global, Inc.		800		67,128
LogMeIn, Inc.		1,310		127,725
MeetMe, Inc. *		7,172		42,243
MINDBODY, Inc., Class A *		1,883		51,688
NIC, Inc.		611		12,342
Q2 Holdings, Inc. *		1,367		47,640
Quotient Technology, Inc. *		1,764		16,846
Shutterstock, Inc. *		1,016		42,012
SPS Commerce, Inc. *		593		34,685

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

AQR Funds Semi-Annual Report March 2017

83

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Internet Software & Services - 2.9% (continued)
Stamps.com, Inc. *		509	$	60,240
TrueCar, Inc. *		3,630		56,156
WebMD Health Corp. *		1,078		56,789
Xactly Corp. *		2,779		33,070
				1,178,664
IT Services - 1.4%
Acxiom Corp. *		580		16,513
Blackhawk Network Holdings, Inc. *		1,547		62,808
CACI International, Inc., Class A *		241		28,269
Cardtronics plc, Class A *		701		32,772
Convergys Corp.		644		13,621
CSG Systems International, Inc.		958		36,222
EPAM Systems, Inc. *		1,305		98,554
ExlService Holdings, Inc. *		709		33,578
Hackett Group, Inc. (The)		955		18,613
MAXIMUS, Inc.		1,222		76,008
Perficient, Inc. *		927		16,093
Science Applications International Corp.		1,147		85,337
ServiceSource International, Inc. *		3,635		14,104
Sykes Enterprises, Inc. *		541		15,905
Virtusa Corp. *		479		14,475
				562,872
Leisure Products - 0.2%
American Outdoor Brands Corp. *(a)		2,280		45,167
Nautilus, Inc. *		1,157		21,115
Sturm Ruger & Co., Inc. (a)		583		31,220
				97,502
Life Sciences Tools & Services - 0.9%
Accelerate Diagnostics, Inc. *		1,822		44,093
Cambrex Corp. *		1,200		66,060
INC Research Holdings, Inc., Class A *		1,348		61,806
NeoGenomics, Inc. *		2,416		19,062
Pacific Biosciences of California, Inc. *		2,694		13,928
PAREXEL International Corp. *		228		14,389
PRA Health Sciences, Inc. *		2,187		142,658
				361,996
Machinery - 3.6%
Alamo Group, Inc.		196		14,933
Albany International Corp., Class A		329		15,150
Astec Industries, Inc.		509		31,301
Briggs & Stratton Corp.		731		16,411
Chart Industries, Inc. *		674		23,550
CIRCOR International, Inc.		296		17,594
Columbus McKinnon Corp.		620		15,388
Douglas Dynamics, Inc.		969		29,700
Energy Recovery, Inc. *		5,535		46,051
EnPro Industries, Inc.		400		28,464
Federal Signal Corp.		2,000		27,620
Gencor Industries, Inc. *		1,242		18,568
Global Brass & Copper Holdings, Inc.		3,107		106,881
Greenbrier Cos., Inc. (The)		726		31,291
Harsco Corp. *		4,007		51,089
Hyster-Yale Materials Handling, Inc.		348		19,624
John Bean Technologies Corp.		1,269		111,609
Kadant, Inc.		253		15,016

INVESTMENTS	SHARES		VALUE
Machinery - 3.6% (continued)
Kennametal, Inc.		2,398	$	94,073
Lydall, Inc. *		1,067		57,191
Manitowoc Co., Inc. (The) *		4,381		24,972
Meritor, Inc. *		3,406		58,345
Mueller Water Products, Inc., Class A		5,126		60,589
Navistar International Corp. *		3,702		91,143
NN, Inc.		927		23,360
RBC Bearings, Inc. *		181		17,573
SPX Corp. *		4,273		103,620
Standex International Corp.		358		35,854
Supreme Industries, Inc., Class A		3,768		76,340
Tennant Co.		497		36,107
Titan International, Inc.		7,037		72,763
Watts Water Technologies, Inc., Class A		425		26,499
Woodward, Inc.		689		46,797
				1,445,466
Marine - 0.1%
Scorpio Bulkers, Inc. *		4,339		39,919
Media - 0.7%
AMC Entertainment Holdings, Inc., Class A		2,173		68,341
Entravision Communications Corp., Class A		2,467		15,295
EW Scripps Co. (The), Class A *		1,235		28,948
Gray Television, Inc. *		2,135		30,958
IMAX Corp. *		509		17,306
Nexstar Media Group, Inc., Class A		356		24,973
Sinclair Broadcast Group, Inc., Class A(a)		1,581		64,031
World Wrestling Entertainment, Inc., Class A		1,183		26,286
				276,138
Metals & Mining - 2.3%
AK Steel Holding Corp. *		17,341		124,682
Allegheny Technologies, Inc. *		4,288		77,012
Century Aluminum Co. *		6,769		85,899
Cliffs Natural Resources, Inc. *		15,607		128,133
Coeur Mining, Inc. *		7,449		60,188
Gold Resource Corp.		2,912		13,162
Hecla Mining Co.		21,631		114,428
Kaiser Aluminum Corp.		996		79,580
Olympic Steel, Inc.		1,714		31,812
Ryerson Holding Corp. *		5,435		68,481
SunCoke Energy, Inc. *		3,986		35,715
TimkenSteel Corp. *		2,306		43,606
Worthington Industries, Inc.		2,039		91,939
				954,637
Multiline Retail - 0.2%
Big Lots, Inc.		872		42,449
Ollie’s Bargain Outlet Holdings, Inc. *		1,308		43,818
				86,267
Multi-Utilities - 0.2%
Avista Corp.		1,965		76,733
Oil, Gas & Consumable Fuels - 3.4%
Abraxas Petroleum Corp. *		19,535		39,461
Bill Barrett Corp. *		8,255		37,560
California Resources Corp. *		2,648		39,826

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

AQR Funds Semi-Annual Report March 2017

84

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 3.4% (continued)
Callon Petroleum Co. *		10,865	$	142,983
Contango Oil & Gas Co. *		2,459		18,000
Denbury Resources, Inc. *		28,962		74,722
Eclipse Resources Corp. *		23,591		59,921
EP Energy Corp., Class A *(a)		11,757		55,846
Evolution Petroleum Corp.		2,084		16,672
GasLog Ltd. (Monaco)		1,757		26,970
Golar LNG Ltd. (Norway)		1,232		34,410
Green Plains, Inc.		616		15,246
Matador Resources Co. *		1,561		37,136
Oasis Petroleum, Inc. *		12,664		180,589
Pacific Ethanol, Inc. *		900		6,165
PDC Energy, Inc. *		1,807		112,666
REX American Resources Corp. *		300		27,147
Ring Energy, Inc. *		5,063		54,782
RSP Permian, Inc. *		5,896		244,271
Sanchez Energy Corp. *(a)		7,309		69,728
SemGroup Corp., Class A		939		33,804
Ship Finance International Ltd. (Norway)		1,000		14,700
Westmoreland Coal Co. *		1,400		20,328
				1,362,933
Paper & Forest Products - 0.2%
Louisiana-Pacific Corp. *		2,967		73,641
Personal Products - 0.3%
Avon Products, Inc. *		4,831		21,256
Natural Health Trends Corp.		1,142		33,004
Revlon, Inc., Class A *		830		23,116
USANA Health Sciences, Inc. *		600		34,560
				111,936
Pharmaceuticals - 1.8%
Aerie Pharmaceuticals, Inc. *		2,100		95,235
Amphastar Pharmaceuticals, Inc. *		1,336		19,372
ANI Pharmaceuticals, Inc. *		400		19,804
Aratana Therapeutics, Inc. *		3,238		17,161
Catalent, Inc. *		560		15,859
Corcept Therapeutics, Inc. *		4,780		52,389
Dermira, Inc. *		1,305		44,514
Heska Corp. *		1,128		118,417
Medicines Co. (The) *		1,499		73,301
Nektar Therapeutics *		1,662		39,007
Omeros Corp. *(a)		1,286		19,444
Prestige Brands Holdings, Inc. *		1,126		62,561
Supernus Pharmaceuticals, Inc. *		2,382		74,557
Teligent, Inc. *(a)		3,732		29,147
TherapeuticsMD, Inc. *(a)		3,563		25,654
WaVe Life Sciences Ltd. *		735		20,212
				726,634
Professional Services - 0.6%
Exponent, Inc.		576		34,301
Insperity, Inc.		534		47,339
Kforce, Inc.		539		12,801
Korn/Ferry International		1,020		32,120
Mistras Group, Inc. *		764		16,334
On Assignment, Inc. *		635		30,817

INVESTMENTS	SHARES		VALUE
Professional Services - 0.6% (continued)
WageWorks, Inc. *		817	$	59,069
				232,781
Real Estate Management & Development - 0.4%
HFF, Inc., Class A		1,079		29,856
Kennedy-Wilson Holdings, Inc.		1,600		35,520
Marcus & Millichap, Inc. *		1,193		29,324
RE/MAX Holdings, Inc., Class A		998		59,331
RMR Group, Inc. (The), Class A		278		13,761
				167,792
Road & Rail - 0.7%
ArcBest Corp.		599		15,574
Covenant Transportation Group, Inc., Class A *		1,000		18,800
Heartland Express, Inc.		2,500		50,125
Knight Transportation, Inc.		1,521		47,683
Marten Transport Ltd.		800		18,760
Saia, Inc. *		793		35,130
Swift Transportation Co. *		3,517		72,239
Werner Enterprises, Inc.		1,200		31,440
				289,751
Semiconductors & Semiconductor Equipment - 6.2%
Advanced Energy Industries, Inc. *		1,704		116,826
Advanced Micro Devices, Inc. *		45,132		656,671
Alpha & Omega Semiconductor Ltd. *		2,612		44,900
Ambarella, Inc. *		251		13,732
Amkor Technology, Inc. *		10,686		123,851
Axcelis Technologies, Inc. *		1,752		32,938
Brooks Automation, Inc.		551		12,342
Cabot Microelectronics Corp.		300		22,983
Cavium, Inc. *		609		43,641
CEVA, Inc. *		450		15,975
Cirrus Logic, Inc. *		2,965		179,946
Diodes, Inc. *		696		16,739
Entegris, Inc. *		1,342		31,403
Inphi Corp. *		2,512		122,636
Integrated Device Technology, Inc. *		3,043		72,028
MACOM Technology Solutions Holdings, Inc. *		2,133		103,024
MaxLinear, Inc., Class A *		5,061		141,961
Microsemi Corp. *		2,890		148,922
MKS Instruments, Inc.		908		62,425
Monolithic Power Systems, Inc.		2,229		205,291
Nanometrics, Inc. *		818		24,916
NeoPhotonics Corp. *		2,716		24,471
Photronics, Inc. *		1,352		14,466
Power Integrations, Inc.		424		27,878
Rambus, Inc. *		3,205		42,114
Rudolph Technologies, Inc. *		786		17,606
Semtech Corp. *		662		22,376
Sigma Designs, Inc. *		1,966		12,287
Synaptics, Inc. *		256		12,675
Ultra Clean Holdings, Inc. *		3,844		64,848
Xcerra Corp. *		1,800		16,002
XPERI Corp.		1,800		61,110
				2,508,983

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

AQR Funds Semi-Annual Report March 2017

85

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Software - 4.1%
8x8, Inc. *		4,163	$	63,486
ACI Worldwide, Inc. *		1,294		27,679
Aspen Technology, Inc. *		1,283		75,594
Barracuda Networks, Inc. *		1,541		35,613
Blackbaud, Inc.		923		70,766
BroadSoft, Inc. *		1,139		45,788
Callidus Software, Inc. *		2,014		42,999
CommVault Systems, Inc. *		357		18,136
Ebix, Inc. (a)		1,032		63,210
Ellie Mae, Inc. *		1,769		177,378
Fair Isaac Corp.		880		113,476
Gigamon, Inc. *		1,766		62,781
HubSpot, Inc. *		891		53,950
MicroStrategy, Inc., Class A *		200		37,560
Paycom Software, Inc. *		2,586		148,721
Paylocity Holding Corp. *		1,556		60,108
Pegasystems, Inc.		798		34,992
Proofpoint, Inc. *		1,265		94,065
Qualys, Inc. *		787		29,827
RealPage, Inc. *		926		32,317
RingCentral, Inc., Class A *		2,161		61,156
Synchronoss Technologies, Inc. *		477		11,639
Take-Two Interactive Software, Inc. *		2,568		152,205
TiVo Corp.		1,667		31,256
Verint Systems, Inc. *		900		39,038
VirnetX Holding Corp. *		80		184
Zendesk, Inc. *		2,394		67,128
				1,651,052
Specialty Retail - 0.9%
American Eagle Outfitters, Inc.		1,881		26,390
Barnes & Noble, Inc.		1,300		12,025
Caleres, Inc.		931		24,597
Children’s Place, Inc. (The)		498		59,785
Five Below, Inc. *		984		42,617
Group 1 Automotive, Inc.		200		14,816
Lithia Motors, Inc., Class A		602		51,561
MarineMax, Inc. *		669		14,484
Monro Muffler Brake, Inc.		625		32,562
Party City Holdco, Inc. *		1,551		21,792
Select Comfort Corp. *		1,283		31,806
Tailored Brands, Inc.		1,080		16,135
Tile Shop Holdings, Inc.		1,151		22,157
Tilly’s, Inc., Class A		1,337		12,060
				382,787
Technology Hardware, Storage & Peripherals - 0.5%
3D Systems Corp. *(a)		6,183		92,498
Cray, Inc. *		1,006		22,031
Electronics For Imaging, Inc. *		983		48,000
Immersion Corp. *		1,473		12,756
Super Micro Computer, Inc. *		1,027		26,035
				201,320
Textiles, Apparel & Luxury Goods - 0.3%
Columbia Sportswear Co.		1,013		59,514
G-III Apparel Group Ltd. *		878		19,219
Steven Madden Ltd. *		651		25,096
				103,829

INVESTMENTS	SHARES		VALUE
Thrifts & Mortgage Finance - 2.4%
Beneficial Bancorp, Inc.		1,856	$	29,696
BofI Holding, Inc. *		3,235		84,531
Capitol Federal Financial, Inc.		4,102		60,012
Essent Group Ltd. *		1,115		40,330
First Defiance Financial Corp.		725		35,895
HomeStreet, Inc. *		1,444		40,360
Kearny Financial Corp.		3,143		47,302
LendingTree, Inc. *		622		77,968
Meridian Bancorp, Inc.		1,087		19,892
Meta Financial Group, Inc.		1,311		116,023
MGIC Investment Corp. *		1,591		16,117
Nationstar Mortgage Holdings, Inc. *		2,032		32,024
Northwest Bancshares, Inc.		7,532		126,839
Oritani Financial Corp.		2,501		42,517
PennyMac Financial Services, Inc., Class A		835		14,237
Radian Group, Inc.		1,398		25,108
Walker & Dunlop, Inc. *		980		40,856
Washington Federal, Inc.		2,434		80,565
Waterstone Financial, Inc.		2,000		36,500
				966,772
Tobacco - 0.1%
Universal Corp.		323		22,852
Vector Group Ltd.		1,505		31,304
				54,156
Trading Companies & Distributors - 1.2%
Aircastle Ltd.		1,474		35,568
Beacon Roofing Supply, Inc. *		1,573		77,329
CAI International, Inc. *		1,857		29,229
DXP Enterprises, Inc. *		1,558		59,001
H&E Equipment Services, Inc.		878		21,529
MRC Global, Inc. *		3,803		69,709
Neff Corp., Class A *		1,111		21,609
NOW, Inc. *		2,346		39,788
Univar, Inc. *		4,269		130,887
				484,649
Water Utilities - 0.2%
American States Water Co.		300		13,290
Connecticut Water Service, Inc.		635		33,750
Middlesex Water Co.		1,085		40,091
York Water Co. (The)		352		12,338
				99,469
Wireless Telecommunication Services - 0.2%
Boingo Wireless, Inc. *		1,931		25,083
Shenandoah Telecommunications Co.		2,014		56,493
				81,576
TOTAL COMMON STOCKS (cost $31,804,916)				39,444,340
EXCHANGE TRADED FUND - 1.9%
iShares Russell 2000 Fund (cost $593,293)		5,575		766,451

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

AQR Funds Semi-Annual Report March 2017

86

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENT - 1.2%
Investment Company - 1.2%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $472,930) (2)(b)		472,930	$	472,930
SECURITIES LENDING COLLATERAL - 2.2%
Investment Company - 2.2%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $889,104) (2)(b)(c)		889,104		889,104
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 102.2% (cost $33,760,243)				41,572,825
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.2)%			(891,233)
NET ASSETS - 100.0%			$	40,681,592

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	3,595,678			8.8	%
Consumer Staples		1,289,311			3.2
Energy		2,259,215			5.6
Exchange Traded Fund		766,451			1.9
Financials		7,827,431			19.1
Health Care		5,480,502			13.5
Industrials		5,276,516			13.0
Information Technology		8,640,845			21.2
Materials		2,486,664			6.1
Real Estate		1,651,231			4.0
Telecommunication Services		306,289			0.8
Utilities		630,658			1.6
Short-Term Investment		472,930			1.2
Securities Lending Collateral		889,104			2.2
Total Investments In Securities At Value		41,572,825			102.2
Liabilities in Excess of Other Assets		(891,233	)		(2.2	)
Net Assets	$	40,681,592			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $855,535.

(b) Represents 7-day effective yield as of 3/31/2017.

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

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

(2) Level 2 security (See Note 4).

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

AQR Funds Semi-Annual Report March 2017

87

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.7%
Australia - 6.4%
AGL Energy Ltd.		13,172	$	265,325
Amcor Ltd.		28,362		326,231
Aristocrat Leisure Ltd.		10,915		149,825
Australia & New Zealand Banking Group Ltd.		8,617		209,227
BHP Billiton plc		55,288		852,758
Brambles Ltd.		7,344		52,447
Caltex Australia Ltd.		5,724		128,971
Commonwealth Bank of Australia		525		34,427
Crown Resorts Ltd.		9,828		88,659
CSL Ltd.		3,340		319,791
Dexus Property Group, REIT		14,878		111,043
Domino’s Pizza Enterprises Ltd.		2,129		94,516
Fortescue Metals Group Ltd.		83,207		396,328
GPT Group (The), REIT		27,005		106,282
Insurance Australia Group Ltd.		28,183		130,223
Medibank Pvt Ltd.		45,386		97,757
National Australia Bank Ltd.		4,482		114,122
Newcrest Mining Ltd.		1,789		30,494
Origin Energy Ltd. *		22,574		121,430
Qantas Airways Ltd.		35,049		104,160
Ramsay Health Care Ltd.		5,589		298,353
Scentre Group, REIT		99,870		327,407
South32 Ltd.		136,113		286,948
Suncorp Group Ltd.		11,005		111,057
Telstra Corp. Ltd.		15,817		56,283
Treasury Wine Estates Ltd.		54,769		511,632
Vocus Group Ltd.		7,529		24,844
Westfield Corp., REIT		3,852		26,130
				5,376,670
Austria - 0.6%
ANDRITZ AG		2,003		100,177
OMV AG		6,031		237,677
Raiffeisen Bank International AG *		7,699		173,626
				511,480
Belgium - 0.6%
Ageas		9,048		353,331
Umicore SA		2,521		143,569
				496,900
Canada - 12.8%
Agnico Eagle Mines Ltd. (1)		1,446		61,348
Alimentation Couche-Tard, Inc., Class B (1)		3,153		142,446
Bank of Montreal (1)		8,247		615,990
Bank of Nova Scotia (The) (1)		14,273		835,011
Barrick Gold Corp. (1)		8,109		154,027
Bombardier, Inc., Class B (1)*		35,987		55,204
Canadian Imperial Bank of Commerce (1)		2,232		192,460
Canadian National Railway Co. (1)		1,752		129,320
Canadian Natural Resources Ltd. (1)		16,783		549,484
Canadian Tire Corp. Ltd., Class A (1)		1,056		125,448
CCL Industries, Inc., Class B (1)		1,230		268,355
Cenovus Energy, Inc. (1)		1,862		21,072
CGI Group, Inc., Class A (1)*		3,792		181,694
CI Financial Corp. (1)		4,493		89,296
Constellation Software, Inc. (1)		299		146,931
Dollarama, Inc. (1)		2,965		245,721

INVESTMENTS	SHARES		VALUE
Canada - 12.8% (continued)
Enbridge, Inc. (1)		9,388	$	393,282
Encana Corp., Class R (1)		26,398		309,269
First Quantum Minerals Ltd. (1)		30,220		321,095
Gildan Activewear, Inc. (1)		4,254		114,935
Inter Pipeline Ltd. (1)		1,724		36,338
Jean Coutu Group PJC, Inc. (The), Class A (1)		2,305		36,278
Keyera Corp. (1)		4,562		133,822
Kinross Gold Corp. (1)*		18,787		66,256
Manulife Financial Corp. (1)		14,399		255,422
Methanex Corp. (1)		780		36,547
National Bank of Canada (1)		1,009		42,368
Onex Corp. (1)		1,464		105,079
Open Text Corp. (1)		2,452		83,341
Pembina Pipeline Corp. (1)		2,911		92,243
PrairieSky Royalty Ltd. (1)		6,093		128,563
Restaurant Brands International, Inc. (1)		5,059		281,814
Royal Bank of Canada (1)		15,391		1,121,355
Saputo, Inc. (1)		2,750		94,896
Seven Generations Energy Ltd., Class A (1)*		13,260		242,297
Silver Wheaton Corp. (1)		7,191		149,838
Sun Life Financial, Inc. (1)		7,180		262,181
Suncor Energy, Inc. (1)		17,985		552,188
Teck Resources Ltd., Class B (1)		18,390		402,137
Toronto-Dominion Bank (The) (1)		18,588		931,042
Tourmaline Oil Corp. (1)*		1,263		28,160
TransCanada Corp. (1)		12,341		569,513
Veresen, Inc. (1)		13,212		146,044
Vermilion Energy, Inc. (1)		779		29,213
				10,779,323
Chile - 0.0% (a)
Antofagasta plc		3,557		37,137
China - 0.4%
BOC Hong Kong Holdings Ltd.		89,500		365,815
Denmark - 1.2%
Chr Hansen Holding A/S		1,123		72,038
Danske Bank A/S		2,517		85,820
Genmab A/S *		1,353		260,357
ISS A/S		1,327		50,167
Pandora A/S		1,423		157,495
Tryg A/S		11,965		216,940
Vestas Wind Systems A/S		2,208		179,599
				1,022,416
Finland - 1.0%
Kone OYJ, Class B		3,861		169,607
Neste OYJ		9,026		352,942
Nokian Renkaat OYJ		1,449		60,478
Sampo OYJ, Class A		3,563		169,067
UPM-Kymmene OYJ		3,746		87,953
				840,047
France - 6.7%
Accor SA		917		38,142
Airbus SE		10,257		782,217
AXA SA		6,712		173,410
BNP Paribas SA		10,463		696,250

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

AQR Funds Semi-Annual Report March 2017

88

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
France - 6.7% (continued)
Capgemini SA		1,863	$	171,965
Credit Agricole SA		26,078		352,488
Dassault Systemes SE		2,145		185,525
Essilor International SA		726		88,144
Hermes International		304		143,909
Iliad SA		513		114,569
L’Oreal SA		548		105,401
LVMH Moet Hennessy Louis Vuitton SE		1,666		366,174
Orange SA		18,570		288,310
Peugeot SA		2,366		47,551
Renault SA		555		48,214
Safran SA		2,841		212,035
Sanofi		811		73,311
SFR Group SA *		3,252		102,127
Societe Generale SA		14,482		733,735
TOTAL SA		10,152		513,320
Valeo SA		5,598		372,389
				5,609,186
Germany - 8.7%
adidas AG		4,540		863,654
Allianz SE (Registered)		721		133,707
BASF SE		4,076		403,580
Brenntag AG		1,417		79,418
Continental AG		724		158,737
Covestro AG (b)		2,500		192,597
Deutsche Post AG (Registered)		5,125		175,396
Deutsche Wohnen AG		1,901		62,603
Fresenius Medical Care AG & Co. KGaA		459		38,704
GEA Group AG		2,394		101,705
Hannover Rueck SE		3,192		367,819
HeidelbergCement AG		1,072		100,391
Infineon Technologies AG		42,845		876,923
LANXESS AG		363		24,351
MAN SE		594		61,228
Merck KGaA		2,173		247,620
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		264		51,679
OSRAM Licht AG		1,230		77,135
ProSiebenSat.1 Media SE		1,995		88,340
RWE AG *		3,865		64,051
SAP SE		12,021		1,179,356
Siemens AG (Registered)		10,247		1,403,554
Symrise AG		675		44,888
thyssenkrupp AG		9,994		244,830
Vonovia SE		2,797		98,544
Zalando SE *(b)		3,246		131,194
				7,272,004
Hong Kong - 2.8%
AIA Group Ltd.		69,200		436,787
ASM Pacific Technology Ltd.		2,600		35,370
Cathay Pacific Airways Ltd.		44,000		63,877
Cheung Kong Property Holdings Ltd.		7,000		47,221
CK Hutchison Holdings Ltd.		7,000		86,183
CLP Holdings Ltd.		26,000		272,180
Galaxy Entertainment Group Ltd.		20,000		109,543
Henderson Land Development Co. Ltd.		18,150		112,541
Hong Kong Exchanges & Clearing Ltd.		3,200		80,749
Link REIT		26,000		182,228

INVESTMENTS	SHARES		VALUE
Hong Kong - 2.8% (continued)
MTR Corp. Ltd.		19,500	$	109,559
PCCW Ltd.		75,000		44,244
Power Assets Holdings Ltd.		4,000		34,503
Sands China Ltd.		26,400		122,380
Sun Hung Kai Properties Ltd.		9,000		132,302
Techtronic Industries Co. Ltd.		14,000		56,676
WH Group Ltd. (b)		251,500		216,874
Wharf Holdings Ltd. (The)		16,000		137,505
Wheelock & Co. Ltd.		9,000		71,193
				2,351,915
Italy - 1.0%
Atlantia SpA		3,173		81,851
Enel SpA		9,323		43,869
Eni SpA		14,544		238,133
Leonardo SpA		9,430		133,722
Mediobanca SpA		11,433		103,083
Prysmian SpA		2,292		60,595
Snam SpA		36,381		157,237
				818,490
Japan - 17.5%
Acom Co. Ltd. *		17,500		70,048
Aisin Seiki Co. Ltd.		1,800		88,654
Alfresa Holdings Corp.		1,400		24,338
Alps Electric Co. Ltd.		3,400		96,406
Asahi Glass Co. Ltd.		6,000		48,681
Asahi Kasei Corp.		3,000		29,149
Brother Industries Ltd.		3,800		79,466
Chiba Bank Ltd. (The)		4,000		25,739
CYBERDYNE, Inc.*(c)		3,000		43,110
Daicel Corp.		3,400		41,057
Dai-ichi Life Holdings, Inc.		19,500		349,038
Daiichi Sankyo Co. Ltd.		2,400		54,147
Daikin Industries Ltd.		3,800		383,185
Daito Trust Construction Co. Ltd.		1,000		137,497
Daiwa House Industry Co. Ltd.		3,100		89,106
DeNA Co. Ltd.		2,800		57,003
FamilyMart UNY Holdings Co. Ltd.		800		47,734
Fuji Electric Co. Ltd.		6,000		35,731
FUJIFILM Holdings Corp.		2,000		78,396
Fujitsu Ltd.		7,000		42,969
Fukuoka Financial Group, Inc.		5,000		21,719
Hitachi Chemical Co. Ltd.		1,800		50,001
Hitachi Construction Machinery Co. Ltd.		2,500		62,556
Hitachi Ltd.		5,000		27,149
Hoshizaki Corp.		1,200		94,850
Hoya Corp.		2,200		106,284
Idemitsu Kosan Co. Ltd.		10,100		351,574
IHI Corp. *		12,000		37,958
Iida Group Holdings Co. Ltd.		6,600		101,565
Japan Airport Terminal Co. Ltd.		900		31,398
JFE Holdings, Inc.		3,600		61,919
JXTG Holdings, Inc.		13,500		66,468
Kajima Corp.		13,000		85,034
Kakaku.com, Inc.		2,500		34,129
Kaneka Corp.		4,000		29,917
Keihan Holdings Co. Ltd.		13,000		79,637
Keisei Electric Railway Co. Ltd.		2,600		60,517

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

AQR Funds Semi-Annual Report March 2017

89

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 17.5% (continued)
Keyence Corp.		1,000	$	401,173
Kikkoman Corp.		3,000		89,660
Koito Manufacturing Co. Ltd.		5,000		260,592
Komatsu Ltd.		10,900		285,507
Konami Holdings Corp.		2,600		110,434
Kose Corp.		400		36,352
M3, Inc.		5,800		144,550
Mabuchi Motor Co. Ltd.		900		50,804
Marui Group Co. Ltd.		3,700		50,417
Mebuki Financial Group, Inc.		6,000		23,976
MEIJI Holdings Co. Ltd.		1,100		91,789
MINEBEA MITSUMI, Inc.		7,900		105,625
Mitsubishi Chemical Holdings Corp.		8,100		62,888
Mitsubishi Corp.		5,900		127,868
Mitsubishi Electric Corp.		18,300		263,672
Mitsubishi Gas Chemical Co., Inc.		8,800		183,290
Mitsubishi Tanabe Pharma Corp.		1,900		39,670
Mitsubishi UFJ Financial Group, Inc.		165,000		1,039,363
Mitsui & Co. Ltd.		1,600		23,235
Mitsui Chemicals, Inc.		10,000		49,543
Mitsui OSK Lines Ltd.		8,000		25,141
Mixi, Inc.		1,700		82,232
Mizuho Financial Group, Inc.		35,400		64,979
Nexon Co. Ltd.		5,700		90,643
Nidec Corp.		500		47,752
Nintendo Co. Ltd.		1,500		348,058
Nippon Paint Holdings Co. Ltd.		2,900		101,287
Nisshin Seifun Group, Inc.		3,800		56,810
Nitori Holdings Co. Ltd.		2,700		342,898
Nitto Denko Corp.		900		69,624
Nomura Holdings, Inc.		45,900		284,137
Nomura Real Estate Master Fund, Inc., REIT		54		83,986
Nomura Research Institute Ltd.		1,650		60,827
NSK Ltd.		5,900		84,519
NTT Data Corp.		2,500		118,716
Obayashi Corp.		15,000		140,652
Obic Co. Ltd.		1,600		76,439
Olympus Corp.		900		34,737
Otsuka Corp.		1,200		65,202
Otsuka Holdings Co. Ltd.		5,500		248,933
Park24 Co. Ltd.		3,600		94,587
Recruit Holdings Co. Ltd.		500		25,573
Resona Holdings, Inc.		33,500		180,092
Rinnai Corp.		500		39,831
Rohm Co. Ltd.		400		26,630
Ryohin Keikaku Co. Ltd.		400		87,930
Secom Co. Ltd.		1,300		93,415
Seiko Epson Corp.		2,200		46,418
Sekisui House Ltd.		3,900		64,306
Sharp Corp. *(c)		62,000		260,808
Shimadzu Corp.		5,000		79,574
Shimamura Co. Ltd.		300		39,769
Shimano, Inc.		1,100		161,115
Shimizu Corp.		12,000		107,758
Shin-Etsu Chemical Co. Ltd.		5,900		512,824
Shionogi & Co. Ltd.		4,300		222,601
Shiseido Co. Ltd.		3,600		94,754
SoftBank Group Corp.		9,200		652,419
Sohgo Security Services Co. Ltd.		2,400		89,898

INVESTMENTS	SHARES		VALUE
Japan - 17.5% (continued)
Sony Corp.		12,000	$	404,981
Sumitomo Heavy Industries Ltd.		24,000		167,790
Sumitomo Mitsui Financial Group, Inc.		8,000		291,190
Suruga Bank Ltd.		3,000		63,322
Suzuki Motor Corp.		2,200		91,374
Sysmex Corp.		3,000		182,524
T&D Holdings, Inc.		11,800		171,037
Taiheiyo Cement Corp.		7,000		23,490
Taisei Corp.		11,000		80,444
Teijin Ltd.		1,800		33,988
Terumo Corp.		5,600		194,673
Toho Gas Co. Ltd.		12,000		85,112
Tokio Marine Holdings, Inc.		700		29,585
Tokyo Electron Ltd.		2,800		306,534
Tokyu Corp.		4,000		28,421
Toray Industries, Inc.		5,000		44,500
TOTO Ltd.		3,500		132,402
Trend Micro, Inc.		2,500		111,276
USS Co. Ltd.		4,900		82,068
Yamaha Corp.		6,000		165,989
Yamaha Motor Co. Ltd.		2,600		62,599
Yamato Holdings Co. Ltd.		2,100		44,004
Yaskawa Electric Corp.		3,500		70,484
				14,740,198
Luxembourg - 1.0%
ArcelorMittal *		78,217		654,370
Tenaris SA		10,169		175,846
				830,216
Macau - 0.1%
MGM China Holdings Ltd.		16,000		33,364
Wynn Macau Ltd.		25,600		52,140
				85,504
Mexico - 0.2%
Fresnillo plc		9,966		194,181
Netherlands - 5.5%
Altice NV, Class A *		4,050		91,606
ASML Holding NV		6,249		829,198
EXOR NV		621		32,111
ING Groep NV		51,848		783,126
Koninklijke DSM NV		1,536		103,879
Koninklijke Philips NV		4,693		150,759
NN Group NV		1,912		62,096
Randstad Holding NV		1,696		97,771
Royal Dutch Shell plc, Class B		82,690		2,273,100
Wolters Kluwer NV		5,281		219,174
				4,642,820
Norway - 0.8%
DNB ASA		17,192		272,984
Golar LNG Ltd. (3)(d)		70		1,386
Marine Harvest ASA *		5,386		82,160
Norsk Hydro ASA		41,750		243,308
Statoil ASA		5,601		96,273
				696,111

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

AQR Funds Semi-Annual Report March 2017

90

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Portugal - 0.3%
Galp Energia SGPS SA		14,388	$	218,228
Singapore - 0.3%
ComfortDelGro Corp. Ltd.		16,200		29,653
DBS Group Holdings Ltd.		2,900		40,171
Singapore Telecommunications Ltd.		74,000		207,373
				277,197
Spain - 3.5%
Aena SA (b)		716		113,170
Amadeus IT Group SA, Class A		6,461		327,370
Banco Santander SA		270,514		1,655,901
CaixaBank SA		42,585		183,094
Ferrovial SA		8,844		176,769
Gas Natural SDG SA		1,448		31,673
Grifols SA		3,053		74,905
Industria de Diseno Textil SA		6,205		218,519
Repsol SA		7,430		115,112
				2,896,513
Sweden - 3.9%
Assa Abloy AB, Class B		13,984		287,479
Atlas Copco AB, Class A		12,084		425,950
Boliden AB		14,599		434,544
Electrolux AB, Series B (c)		2,915		80,926
Hexagon AB, Class B		1,945		78,062
ICA Gruppen AB		1,565		53,379
Kinnevik AB, Class B		2,239		59,683
Lundin Petroleum AB*		10,480		212,704
Nordea Bank AB		29,238		333,572
Sandvik AB		22,302		333,124
Skandinaviska Enskilda Banken AB, Class A		2,190		24,336
Skanska AB, Class B		14,829		349,006
Svenska Handelsbanken AB, Class A		16,056		220,032
Swedbank AB, Class A		11,274		260,863
Volvo AB, Class B		7,103		104,783
				3,258,443
Switzerland - 4.7%
ABB Ltd. (Registered)		28,846		675,155
Coca-Cola HBC AG *		2,201		56,821
EMS-Chemie Holding AG (Registered)		460		267,899
Geberit AG (Registered)		528		227,521
Givaudan SA (Registered)		140		252,147
Glencore plc *		177,720		697,293
LafargeHolcim Ltd. (Registered) *		3,417		201,601
Lonza Group AG (Registered) *		808		152,729
Partners Group Holding AG		1,371		736,794
Schindler Holding AG		238		46,038
Sika AG		34		203,922
STMicroelectronics NV		12,404		190,868
Swiss Re AG		1,402		125,922
Zurich Insurance Group AG		492		131,296
				3,966,006
United Kingdom - 16.3%
3i Group plc		5,219		49,002
Admiral Group plc		1,746		43,505
Anglo American plc *		24,124		368,590

INVESTMENTS	SHARES		VALUE
United Kingdom - 16.3% (continued)
Ashtead Group plc		4,765	$	98,632
Associated British Foods plc		839		27,407
AstraZeneca plc		4,402		270,666
Auto Trader Group plc(b)		29,518		144,870
BAE Systems plc		37,113		298,693
Barclays plc		30,109		84,991
Barratt Developments plc		7,602		52,074
BP plc		198,023		1,139,844
British American Tobacco plc		28,247		1,874,077
BT Group plc		11,010		43,964
Bunzl plc		6,811		197,965
CNH Industrial NV		3,531		33,986
Compass Group plc		28,409		536,368
Diageo plc		1,887		54,035
Direct Line Insurance Group plc		42,210		183,649
Dixons Carphone plc		18,897		75,265
Experian plc		5,258		107,270
Fiat Chrysler Automobiles NV		23,564		257,444
GlaxoSmithKline plc		39,536		822,070
HSBC Holdings plc		165,229		1,347,748
Imperial Brands plc		7,733		374,770
Inmarsat plc		6,370		67,864
International Consolidated Airlines Group SA		5,167		34,129
Intertek Group plc		3,758		184,979
ITV plc		79,090		217,115
Kingfisher plc		13,199		54,005
Legal & General Group plc		45,149		139,801
Marks & Spencer Group plc		12,540		52,967
Merlin Entertainments plc(b)		9,248		55,590
National Grid plc		39,751		504,333
Next plc		515		27,860
Pearson plc		4,138		35,284
Persimmon plc		12,600		330,581
Petrofac Ltd.		4,403		50,861
Prudential plc		20,491		432,838
Randgold Resources Ltd.		2,064		180,353
Reckitt Benckiser Group plc		5,607		511,872
RELX NV		13,050		242,098
Rio Tinto plc		10,666		429,495
Sage Group plc (The)		32,325		255,350
Severn Trent plc		846		25,235
Smith & Nephew plc		3,009		45,814
SSE plc		1,950		36,038
Standard Chartered plc *		37,014		354,036
Taylor Wimpey plc		76,759		185,663
United Utilities Group plc		2,545		31,688
Vodafone Group plc		255,688		666,319
Whitbread plc		1,309		64,952
				13,704,005
United States - 0.4%
Shire plc		580		33,795
Thomson Reuters Corp. (1)		6,055		261,851
				295,646
TOTAL COMMON STOCKS (cost $74,412,666)				81,286,451

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

AQR Funds Semi-Annual Report March 2017

91

Schedule of Investments March 31, 2017 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENT - 2.9%
Investment Company - 2.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $2,435,270) (e)		2,435,270	$	2,435,270
SECURITIES LENDING COLLATERAL - 0.5%
Investment Company - 0.5%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $399,796) (e)(f)		399,796		399,796
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.1% (cost $77,247,732)				84,121,517
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% (g)			(62,296)
NET ASSETS - 100.0%			$	84,059,221

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	8,592,416			10.2	%
Consumer Staples		4,559,145			5.4
Energy		9,682,593			11.5
Financials		20,074,945			23.9
Health Care		4,021,826			4.8
Industrials		11,641,878			13.8
Information Technology		7,096,980			8.4
Materials		10,228,755			12.2
Real Estate		1,725,588			2.1
Telecommunication Services		2,268,317			2.7
Utilities		1,394,008			1.7
Short-Term Investment		2,435,270			2.9
Securities Lending Collateral		399,796			0.5
Total Investments In Securities At Value		84,121,517			100.1
Liabilities in Excess of Other Assets (g)		(62,296	)		(0.1	)
Net Assets	$	84,059,221			100.0	%

* Non-income producing security.

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

(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 3/31/2017 amounted to $854,295, which represents approximately 1.02% of net assets of the fund.

(c) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $380,149.

(d) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $1,386, which represents approximately 0.00% of net assets of the fund.

(e) Represents 7-day effective yield as of 3/31/2017.

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

(g) Includes appreciation/(depreciation) on futures contracts.

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

(1) Level 1 security (See Note 4).

(3) Level 3 security (See Note 4).

Abbreviations

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

SGPS - Sociedade Gestora de Participacões Sociais

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
17	JPMS	E-Mini MSCI EAFE Index Futures		06/2017		$1,487,691		$1,514,700		$27,009

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$42,287		$42,287

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

AQR Funds Semi-Annual Report March 2017

92

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 94.9%
Aerospace & Defense - 3.3%
Boeing Co. (The)		64,838	$	11,467,249
General Dynamics Corp.		18,991		3,555,115
Huntington Ingalls Industries, Inc.		1,805		361,433
Lockheed Martin Corp.		15,030		4,022,028
Northrop Grumman Corp.		23,682		5,632,527
Raytheon Co.		26,910		4,103,775
Rockwell Collins, Inc.		3,469		337,048
United Technologies Corp.		24,858		2,789,316
				32,268,491
Air Freight & Logistics - 1.3%
CH Robinson Worldwide, Inc.		25,824		1,995,937
Expeditors International of Washington, Inc.		67,962		3,839,173
FedEx Corp.		4,513		880,712
United Parcel Service, Inc., Class B		53,238		5,712,438
				12,428,260
Airlines - 0.4%
Alaska Air Group, Inc.		17,391		1,603,798
Southwest Airlines Co.		45,397		2,440,543
				4,044,341
Banks - 5.9%
Bank of Hawaii Corp.		20,762		1,709,958
BB&T Corp.		37,331		1,668,696
BOK Financial Corp.		20,197		1,580,819
Commerce Bancshares, Inc.		33,191		1,864,007
Cullen/Frost Bankers, Inc.		11,255		1,001,357
East West Bancorp, Inc.		48,904		2,523,935
Fifth Third Bancorp		37,592		954,837
First Republic Bank		2,157		202,348
JPMorgan Chase & Co.		2,379		208,971
M&T Bank Corp.		49,427		7,647,840
PacWest Bancorp		26,130		1,391,684
People’s United Financial, Inc.		22,078		401,820
PNC Financial Services Group, Inc. (The)		43,562		5,237,895
Signature Bank *		4,728		701,588
SunTrust Banks, Inc.		15,300		846,090
SVB Financial Group *		19,443		3,618,148
TCF Financial Corp.		103,623		1,763,663
US Bancorp		249,687		12,858,881
Wells Fargo & Co.		203,678		11,336,717
				57,519,254
Beverages - 3.6%
Brown-Forman Corp., Class B		30,737		1,419,435
Coca-Cola Co. (The)		273,890		11,623,892
Dr Pepper Snapple Group, Inc.		48,385		4,737,859
Monster Beverage Corp. *		81,007		3,740,093
PepsiCo, Inc.		126,793		14,183,065
				35,704,344
Biotechnology - 0.4%
Biogen, Inc. *		603		164,872
Bioverativ, Inc. *		301		16,393
Regeneron Pharmaceuticals, Inc. *		932		361,159
Seattle Genetics, Inc. *		18,556		1,166,430

INVESTMENTS	SHARES		VALUE
Biotechnology - 0.4% (continued)
United Therapeutics Corp. *		16,989	$	2,299,971
				4,008,825
Capital Markets - 0.7%
Bank of New York Mellon Corp. (The)		12,985		613,282
CBOE Holdings, Inc.		31,091		2,520,548
FactSet Research Systems, Inc.		7,520		1,240,123
Franklin Resources, Inc.		32,502		1,369,634
T Rowe Price Group, Inc.		15,202		1,036,016
Thomson Reuters Corp.		8,739		377,787
				7,157,390
Chemicals - 1.7%
Air Products & Chemicals, Inc.		6,134		829,869
Ecolab, Inc.		30,556		3,829,889
International Flavors & Fragrances, Inc.		805		106,687
NewMarket Corp.		3,067		1,390,056
PPG Industries, Inc.		37,805		3,972,549
Praxair, Inc.		7,705		913,813
Sherwin-Williams Co. (The)		16,743		5,193,511
				16,236,374
Commercial Services & Supplies - 2.1%
Cintas Corp.		4,682		592,460
Clean Harbors, Inc. *		12,491		694,749
Republic Services, Inc.		104,442		6,560,002
Rollins, Inc.		42,808		1,589,461
Waste Management, Inc.		151,431		11,042,349
				20,479,021
Communications Equipment - 0.9%
Arista Networks, Inc. *		17,410		2,302,821
Cisco Systems, Inc.		147,861		4,997,702
F5 Networks, Inc. *		12,290		1,752,185
Palo Alto Networks, Inc. *		975		109,863
				9,162,571
Construction & Engineering - 0.3%
Jacobs Engineering Group, Inc.		18,908		1,045,234
Quanta Services, Inc. *		41,772		1,550,159
				2,595,393
Consumer Finance - 0.4%
American Express Co.		19,451		1,538,769
Discover Financial Services		28,256		1,932,428
SLM Corp. *		12,784		154,686
				3,625,883
Containers & Packaging - 0.0% (a)
Avery Dennison Corp.		2,810		226,486
Distributors - 0.2%
Genuine Parts Co.		15,086		1,394,097
Pool Corp.		3,047		363,599
				1,757,696
Diversified Consumer Services - 0.3%
H&R Block, Inc.		122,805		2,855,216

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

AQR Funds Semi-Annual Report March 2017

93

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Diversified Telecommunication Services - 1.8%
AT&T, Inc.		214,076	$	8,894,858
Verizon Communications, Inc.		185,020		9,019,725
				17,914,583
Electric Utilities - 4.9%
Alliant Energy Corp.		9,681		383,464
American Electric Power Co., Inc.		105,096		7,055,094
Duke Energy Corp.		53,406		4,379,826
Edison International		58,406		4,649,702
Entergy Corp.		11,945		907,342
Eversource Energy		5,106		300,131
Exelon Corp.		40,444		1,455,175
NextEra Energy, Inc.		50,264		6,452,390
OGE Energy Corp.		95,514		3,341,080
PG&E Corp.		47,968		3,183,156
Pinnacle West Capital Corp.		77,904		6,495,636
PPL Corp.		34,422		1,287,039
Southern Co. (The)		97,732		4,865,099
Xcel Energy, Inc.		87,827		3,903,910
				48,659,044
Electrical Equipment - 0.3%
Acuity Brands, Inc.		3,023		616,692
Emerson Electric Co.		8,792		526,289
Rockwell Automation, Inc.		10,199		1,588,086
				2,731,067
Electronic Equipment, Instruments & Components - 0.4%
Dolby Laboratories, Inc., Class A		16,241		851,191
FLIR Systems, Inc.		42,716		1,549,736
IPG Photonics Corp. *		2,054		247,918
National Instruments Corp.		34,094		1,110,101
				3,758,946
Food & Staples Retailing - 3.8%
Casey’s General Stores, Inc.		12,737		1,429,728
Costco Wholesale Corp.		68,036		11,408,957
CVS Health Corp.		8,719		684,441
Kroger Co. (The)		29,402		867,065
Sysco Corp.		120,742		6,268,925
Walgreens Boots Alliance, Inc.		21,882		1,817,300
Wal-Mart Stores, Inc.		192,045		13,842,604
Whole Foods Market, Inc.		25,066		744,961
				37,063,981
Food Products - 3.0%
Campbell Soup Co.		59,691		3,416,713
General Mills, Inc.		81,358		4,800,936
Hershey Co. (The)		45,838		5,007,801
Hormel Foods Corp.		55,696		1,928,752
Ingredion, Inc.		4,746		571,561
Kellogg Co.		22,182		1,610,635
Kraft Heinz Co. (The)		34,065		3,093,443
McCormick & Co., Inc. (Non-Voting)		52,222		5,094,256
Mead Johnson Nutrition Co.		37,016		3,297,385
Mondelez International, Inc., Class A		10,896		469,400
Tyson Foods, Inc., Class A		2,366		146,006
				29,436,888

INVESTMENTS	SHARES		VALUE
Gas Utilities - 0.8%
Atmos Energy Corp.		48,008	$	3,792,152
UGI Corp.		77,821		3,844,357
				7,636,509
Health Care Equipment & Supplies - 3.6%
Abbott Laboratories		12,102		537,450
ABIOMED, Inc. *		16,466		2,061,543
Align Technology, Inc. *		22,381		2,567,325
Baxter International, Inc.		4,311		223,568
Becton Dickinson and Co.		9,537		1,749,467
CR Bard, Inc.		19,160		4,762,026
Danaher Corp.		37,871		3,239,107
DENTSPLY SIRONA, Inc.		1,908		119,136
DexCom, Inc. *		9,462		801,715
Edwards Lifesciences Corp. *		13,258		1,247,180
IDEXX Laboratories, Inc. *		5,121		791,758
Intuitive Surgical, Inc. *		5,481		4,201,022
Medtronic plc		41,707		3,359,916
ResMed, Inc.		33,673		2,423,446
Stryker Corp.		35,999		4,739,268
Varex Imaging Corp. *		5,638		189,437
Varian Medical Systems, Inc. *		14,097		1,284,660
West Pharmaceutical Services, Inc.		9,245		754,484
				35,052,508
Health Care Providers & Services - 2.5%
Aetna, Inc.		17,578		2,242,074
AmerisourceBergen Corp.		14,583		1,290,596
Anthem, Inc.		25,530		4,222,151
Cardinal Health, Inc.		32,787		2,673,780
Henry Schein, Inc. *		20,221		3,436,963
McKesson Corp.		2,261		335,216
UnitedHealth Group, Inc.		62,800		10,299,828
				24,500,608
Hotels, Restaurants & Leisure - 3.5%
Chipotle Mexican Grill, Inc. *		4,219		1,879,649
Darden Restaurants, Inc.		49,546		4,145,514
Domino’s Pizza, Inc.		7,900		1,455,970
McDonald’s Corp.		83,404		10,809,992
Panera Bread Co., Class A *		12,557		3,288,302
Starbucks Corp.		140,873		8,225,574
Yum Brands, Inc.		74,360		4,751,604
				34,556,605
Household Durables - 0.1%
Garmin Ltd.		17,021		869,944
Tupperware Brands Corp.		7,624		478,177
				1,348,121
Household Products - 4.0%
Church & Dwight Co., Inc.		117,543		5,861,869
Clorox Co. (The)		43,465		5,860,386
Colgate-Palmolive Co.		135,276		9,900,851
Kimberly-Clark Corp.		25,641		3,375,125
Procter & Gamble Co. (The)		157,811		14,179,318
				39,177,549

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

AQR Funds Semi-Annual Report March 2017

94

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Industrial Conglomerates - 2.4%
3M Co.		74,782	$	14,308,040
General Electric Co.		68,722		2,047,916
Honeywell International, Inc.		56,022		6,995,467
				23,351,423
Insurance - 9.7%
Aflac, Inc.		18,698		1,354,109
Alleghany Corp. *		4,487		2,757,979
Allstate Corp. (The)		178,622		14,555,907
American Financial Group, Inc.		23,358		2,228,820
American National Insurance Co.		930		109,768
Aon plc		33,361		3,959,617
Arch Capital Group Ltd. *		35,822		3,394,851
Arthur J Gallagher & Co.		2,692		152,206
Aspen Insurance Holdings Ltd.		7,554		393,186
Assurant, Inc.		10,450		999,751
Assured Guaranty Ltd.		7,595		281,850
Axis Capital Holdings Ltd.		34,907		2,339,816
Chubb Ltd.		80,447		10,960,904
Cincinnati Financial Corp.		8,018		579,461
CNA Financial Corp.		8,681		383,440
Erie Indemnity Co., Class A		2,762		338,897
Everest Re Group Ltd.		30,160		7,051,710
FNF Group		34,633		1,348,609
Markel Corp. *		3,004		2,931,483
Marsh & McLennan Cos., Inc.		54,059		3,994,419
Mercury General Corp.		9,147		557,876
ProAssurance Corp.		13,873		835,848
Progressive Corp. (The)		301,846		11,826,326
RenaissanceRe Holdings Ltd.		22,718		3,286,159
Travelers Cos., Inc. (The)		109,666		13,219,140
Validus Holdings Ltd.		25,539		1,440,144
White Mountains Insurance Group Ltd.		1,337		1,176,400
WR Berkley Corp.		37,820		2,671,227
				95,129,903
Internet & Direct Marketing Retail - 1.2%
Amazon.com, Inc. *		9,146		8,108,295
Netflix, Inc. *		16,646		2,460,445
Priceline Group, Inc. (The) *		728		1,295,818
				11,864,558
Internet Software & Services - 1.6%
Akamai Technologies, Inc. *		2,610		155,817
Alphabet, Inc., Class A *		12,237		10,374,529
Facebook, Inc., Class A *		38,228		5,430,287
				15,960,633
IT Services - 4.9%
Accenture plc, Class A		51,229		6,141,333
Amdocs Ltd.		43,899		2,677,400
Automatic Data Processing, Inc.		60,032		6,146,676
Cognizant Technology Solutions Corp., Class A *		12,225		727,632
Gartner, Inc. *		10,705		1,156,033
International Business Machines Corp.		35,271		6,142,092
Jack Henry & Associates, Inc.		21,859		2,035,073
Mastercard, Inc., Class A		78,182		8,793,130
Paychex, Inc.		61,540		3,624,706

INVESTMENTS	SHARES		VALUE
IT Services - 4.9% (continued)
Teradata Corp. *(b)		51,476	$	1,601,933
Visa, Inc., Class A		107,589		9,561,434
				48,607,442
Leisure Products - 0.3%
Hasbro, Inc.		13,332		1,330,800
Polaris Industries, Inc. (b)		17,133		1,435,746
				2,766,546
Life Sciences Tools & Services - 0.8%
Bruker Corp.		22,356		521,565
Mettler-Toledo International, Inc. *		10,567		5,060,642
Thermo Fisher Scientific, Inc.		7,310		1,122,816
Waters Corp. *		9,483		1,482,288
				8,187,311
Machinery - 0.2%
Cummins, Inc.		9,380		1,418,256
Fortive Corp.		8,439		508,197
				1,926,453
Media - 1.1%
Cable One, Inc.		568		354,699
Comcast Corp., Class A		92,010		3,458,656
Walt Disney Co. (The)		65,218		7,395,069
				11,208,424
Multiline Retail - 0.4%
Dollar General Corp.		2,882		200,962
Dollar Tree, Inc. *		5,936		465,739
Target Corp.		60,186		3,321,665
				3,988,366
Multi-Utilities - 4.1%
Ameren Corp.		109,478		5,976,404
CenterPoint Energy, Inc.		24,123		665,071
Consolidated Edison, Inc.		75,667		5,876,299
Dominion Resources, Inc.		41,636		3,229,705
DTE Energy Co.		46,410		4,738,925
NiSource, Inc.		62,133		1,478,144
Public Service Enterprise Group, Inc.		215,330		9,549,885
Sempra Energy		40,985		4,528,843
Vectren Corp.		32,055		1,878,744
WEC Energy Group, Inc.		41,702		2,528,392
				40,450,412
Oil, Gas & Consumable Fuels - 0.5%
Chevron Corp.		7,315		785,412
ConocoPhillips		6,264		312,386
Exxon Mobil Corp.		41,849		3,432,036
				4,529,834
Personal Products - 0.7%
Estee Lauder Cos., Inc. (The), Class A		69,093		5,858,395
Nu Skin Enterprises, Inc., Class A		21,472		1,192,555
				7,050,950
Pharmaceuticals - 3.1%
Bristol-Myers Squibb Co.		27,562		1,498,821
Eli Lilly & Co.		54,767		4,606,452

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

AQR Funds Semi-Annual Report March 2017

95

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Pharmaceuticals - 3.1% (continued)
Johnson & Johnson		115,187	$	14,346,541
Merck & Co., Inc.		97,985		6,225,967
Pfizer, Inc.		100,658		3,443,510
Zoetis, Inc.		2,245		119,816
				30,241,107
Professional Services - 0.2%
Equifax, Inc.		3,815		521,663
Robert Half International, Inc.		35,346		1,725,945
				2,247,608
Road & Rail - 0.5%
Landstar System, Inc.		36,075		3,089,824
Union Pacific Corp.		19,257		2,039,701
				5,129,525
Semiconductors & Semiconductor Equipment - 2.2%
Analog Devices, Inc.		14,700		1,204,665
Intel Corp.		85,900		3,098,413
Maxim Integrated Products, Inc.		43,630		1,961,605
NVIDIA Corp.		52,204		5,686,581
QUALCOMM, Inc.		16,138		925,353
Texas Instruments, Inc.		96,950		7,810,292
Xilinx, Inc.		14,829		858,451
				21,545,360
Software - 2.3%
Adobe Systems, Inc. *		29,416		3,827,904
ANSYS, Inc. *		3,405		363,892
Intuit, Inc.		57,480		6,667,105
Manhattan Associates, Inc. *		2,918		151,882
Microsoft Corp.		124,646		8,209,186
Oracle Corp.		68,257		3,044,945
				22,264,914
Specialty Retail - 3.3%
AutoZone, Inc. *		1,858		1,343,427
Bed Bath & Beyond, Inc.		2,107		83,142
Dick’s Sporting Goods, Inc.		11,887		578,421
Home Depot, Inc. (The)		60,416		8,870,881
Lowe’s Cos., Inc.		52,939		4,352,115
O’Reilly Automotive, Inc. *		19,689		5,312,880
Ross Stores, Inc.		4,859		320,062
TJX Cos., Inc. (The)		88,621		7,008,149
Tractor Supply Co.		30,920		2,132,552
Ulta Beauty, Inc. *		6,137		1,750,457
Williams-Sonoma, Inc.		22,140		1,187,147
				32,939,233
Technology Hardware, Storage & Peripherals - 0.5%
Apple, Inc.		32,878		4,723,253
Textiles, Apparel & Luxury Goods - 0.3%
Lululemon Athletica, Inc. *		3,789		196,535
NIKE, Inc., Class B		50,744		2,827,963
				3,024,498
Thrifts & Mortgage Finance - 0.2%
New York Community Bancorp, Inc.		148,236		2,070,857
TFS Financial Corp.		12,974		215,628
				2,286,485

INVESTMENTS	SHARES		VALUE
Tobacco - 2.8%
Altria Group, Inc.		196,206	$	14,013,033
Philip Morris International, Inc.		116,924		13,200,720
Reynolds American, Inc.		7,924		499,370
				27,713,123
Trading Companies & Distributors - 0.5%
Fastenal Co.		38,809		1,998,664
MSC Industrial Direct Co., Inc., Class A		2,315		237,889
WW Grainger, Inc.		10,238		2,382,997
				4,619,550
Water Utilities - 0.9%
American Water Works Co., Inc.		83,002		6,455,066
Aqua America, Inc.		80,263		2,580,455
				9,035,521
TOTAL COMMON STOCKS (cost $775,613,501)				932,698,386
SHORT-TERM INVESTMENT - 4.8%
Investment Company - 4.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $47,211,497) (2)(c)		47,211,497		47,211,497
SECURITIES LENDING COLLATERAL - 0.2%
Investment Company - 0.2%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $1,984,566)(2) (c)(d)		1,984,566		1,984,566
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.9% (cost $824,809,564)				981,894,449
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% (e)			1,044,251
NET ASSETS - 100.0%			$	982,938,700

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	106,309,263		10.8	%
Consumer Staples		176,146,834		17.8
Energy		4,529,834		0.5
Financials		165,718,914		16.9
Health Care		101,990,360		10.4
Industrials		111,821,132		11.4
Information Technology		126,023,119		12.8
Materials		16,462,861		1.7
Telecommunication Services		17,914,583		1.8
Utilities		105,781,486		10.8
Short-Term Investment		47,211,497		4.8
Securities Lending Collateral		1,984,566		0.2
Total Investments In Securities At Value		981,894,449		99.9
Other Assets in Excess of Liabilities (e)		1,044,251		0.1
Net Assets	$	982,938,700		100.0	%

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

AQR Funds Semi-Annual Report March 2017

96

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

* Non-income producing security.

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

(b) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $1,939,809.

(c) Represents 7-day effective yield as of 3/31/2017.

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

(e) Includes appreciation/(depreciation) on futures contracts.

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

(2) Level 2 security (See Note 4).

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
328	GSCO	S&P 500 E-Mini Futures		06/2017		$38,762,945		$38,690,880		$(72,065	)

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$1,623,631		$1,623,631

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

AQR Funds Semi-Annual Report March 2017

97

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 94.0%
Australia - 8.3%
AGL Energy Ltd.		99,826	$	2,010,805
Aurizon Holdings Ltd.		65,334		261,985
AusNet Services		94,515		121,667
Australia & New Zealand Banking Group Ltd.		15,115		367,002
Caltex Australia Ltd.		57,007		1,284,459
Coca-Cola Amatil Ltd.		44,821		370,561
Cochlear Ltd.		8,470		874,971
Commonwealth Bank of Australia		2,420		158,692
CSL Ltd.		3,035		290,589
Flight Centre Travel Group Ltd.		22,994		507,217
Harvey Norman Holdings Ltd.		6,317		21,849
Medibank Pvt Ltd.		39,354		84,764
Newcrest Mining Ltd.		22,851		389,506
REA Group Ltd.		2,498		113,280
South32 Ltd.		220,698		465,267
Tabcorp Holdings Ltd.		36,300		131,728
Telstra Corp. Ltd.		510,153		1,815,307
Wesfarmers Ltd.		39,834		1,371,403
Westpac Banking Corp.		12,201		326,161
Woolworths Ltd.		102,695		2,079,163
				13,046,376
Austria - 0.1%
OMV AG		3,730		146,997
Belgium - 1.2%
Anheuser-Busch InBev SA/NV		2,115		231,752
Colruyt SA		18,319		899,650
Groupe Bruxelles Lambert SA		618		56,086
Proximus SADP		20,390		638,962
UCB SA		608		47,161
				1,873,611
Canada - 11.2%
Agnico Eagle Mines Ltd. (1)		14,605		619,629
Alimentation Couche-Tard, Inc., Class B (1)		5,454		246,401
Bank of Montreal (1)		9,784		730,793
Bank of Nova Scotia (The) (1)		13,876		811,785
Barrick Gold Corp. (1)		41,614		790,442
BCE, Inc. (1)		44,230		1,958,313
Cameco Corp. (1)		17,010		188,282
Canadian Imperial Bank of Commerce (1)		7,533		649,554
Canadian National Railway Co. (1)		13,103		967,170
Canadian Utilities Ltd., Class A (1)		2,168		63,515
CI Financial Corp. (1)		36,953		734,419
Constellation Software, Inc. (1)		61		29,976
Eldorado Gold Corp. (1)		17,190		58,814
Emera, Inc. (1)		2,988		105,558
Empire Co. Ltd., Class A (1)		21,226		324,332
Fairfax Financial Holdings Ltd. (1)		132		60,072
Fortis, Inc. (1)		8,102		268,493
Franco-Nevada Corp. (1)		9,482		621,177
George Weston Ltd. (1)		4,173		364,096
Goldcorp, Inc. (1)		21,923		319,815
Hydro One Ltd. (1)(a)		17,201		313,663
Imperial Oil Ltd. (1)		8,373		255,122

INVESTMENTS	SHARES		VALUE
Canada - 11.2% (continued)
Intact Financial Corp. (1)		13,650	$	970,799
Kinross Gold Corp. (1)*		137,370		484,465
Loblaw Cos. Ltd. (1)		13,227		717,720
Metro, Inc. (1)		9,075		278,764
Power Financial Corp. (1)		15,418		407,753
Rogers Communications, Inc., Class B (1)		8,139		359,870
Royal Bank of Canada (1)		14,075		1,025,474
Saputo, Inc. (1)		22,542		777,871
Shaw Communications, Inc., Class B (1)		12,674		262,753
Silver Wheaton Corp. (1)		25,060		522,174
Toronto-Dominion Bank (The) (1)		24,133		1,208,782
Yamana Gold, Inc. (1)		40,468		111,680
				17,609,526
China - 0.1%
BOC Hong Kong Holdings Ltd.		43,500		177,798
Yangzijiang Shipbuilding Holdings Ltd.		38,200		30,841
				208,639
Denmark - 2.4%
Coloplast A/S, Class B		20,411		1,594,009
Danske Bank A/S		3,404		116,063
DSV A/S		8,960		463,440
ISS A/S		7,507		283,800
Novo Nordisk A/S, Class B		37,524		1,288,534
Novozymes A/S, Class B		1,119		44,334
				3,790,180
Finland - 1.0%
Kone OYJ, Class B		10,518		462,039
Neste OYJ		3,012		117,778
Orion OYJ, Class B		11,226		585,597
Sampo OYJ, Class A		8,074		383,117
				1,548,531
France - 6.5%
Aeroports de Paris		2,096		258,952
Airbus SE		1,757		133,992
BNP Paribas SA		4,427		294,591
Bouygues SA		13,306		540,820
Cie Generale des Etablissements Michelin		2,529		307,319
Danone SA		9,842		669,501
Dassault Systemes SE		5,841		505,198
Electricite de France SA		13,183		110,769
Engie SA		34,076		481,549
Essilor International SA		289		35,088
Hermes International		2,019		955,764
Iliad SA		1,040		232,266
Imerys SA		2,048		173,695
Lagardere SCA		3,911		115,043
L’Oreal SA		8,340		1,604,096
LVMH Moet Hennessy Louis Vuitton SE		493		108,358
Pernod Ricard SA		898		106,162
Sanofi		3,386		306,078
SCOR SE		2,005		75,775
Societe BIC SA		6,906		860,390
Societe Generale SA		4,856		246,031
Sodexo SA		4,294		504,529
Suez		2,973		46,920

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

AQR Funds Semi-Annual Report March 2017

98

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
France - 6.5% (continued)
Thales SA		5,982	$	577,838
TOTAL SA		14,474		731,855
Vinci SA		3,641		289,127
				10,271,706
Germany - 3.8%
Allianz SE (Registered)		1,710		317,113
Bayer AG (Registered)		2,729		314,418
Beiersdorf AG		7,238		684,925
Covestro AG(a)		1,095		84,357
Deutsche Post AG (Registered)		5,438		186,108
Fresenius Medical Care AG & Co. KGaA		589		49,665
FUCHS PETROLUB SE (Preference)		692		33,735
Hannover Rueck SE		529		60,958
Henkel AG & Co. KGaA (Preference)		4,605		590,247
HUGO BOSS AG		3,855		281,120
Innogy SE *(a)		895		33,730
MAN SE		18,018		1,857,248
Merck KGaA		458		52,191
METRO AG		1,243		39,717
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		1,366		267,398
SAP SE		6,643		651,731
Siemens AG (Registered)		3,487		477,622
TUI AG		3,797		52,582
				6,034,865
Hong Kong - 4.2%
CK Hutchison Holdings Ltd.		23,000		283,174
CLP Holdings Ltd.		110,000		1,151,533
Galaxy Entertainment Group Ltd.		107,000		586,056
Hang Seng Bank Ltd.		15,200		308,354
HK Electric Investments & HK Electric Investments Ltd. (a)		501,000		461,740
HKT Trust & HKT Ltd.		116,000		149,568
Hong Kong & China Gas Co. Ltd.		559,104		1,118,603
MTR Corp. Ltd.		212,500		1,193,913
Power Assets Holdings Ltd.		79,500		685,753
SJM Holdings Ltd.		484,000		393,930
WH Group Ltd. (a)		83,000		71,573
Yue Yuen Industrial Holdings Ltd.		51,500		202,377
				6,606,574
Italy - 0.3%
Enel SpA		89,661		421,897
Japan - 25.7%
ABC-Mart, Inc.		5,900		345,808
Acom Co. Ltd. *		6,700		26,818
Ajinomoto Co., Inc.		7,100		140,486
Amada Holdings Co. Ltd.		2,000		22,894
ANA Holdings, Inc.		37,000		113,165
Asahi Glass Co. Ltd.		4,000		32,454
Asahi Group Holdings Ltd.		7,500		283,982
Astellas Pharma, Inc.		87,700		1,156,669
Bandai Namco Holdings, Inc.		21,600		647,474
Benesse Holdings, Inc.		8,800		275,458
Bridgestone Corp.		18,200		738,796

INVESTMENTS	SHARES		VALUE
Japan - 25.7% (continued)
Brother Industries Ltd.		13,900	$	290,679
Calbee, Inc.		20,300		693,370
Canon, Inc.		26,200		818,191
Central Japan Railway Co.		2,100		343,014
Chubu Electric Power Co., Inc.		8,300		111,494
Chugai Pharmaceutical Co. Ltd.		8,400		289,156
Daiichi Sankyo Co. Ltd.		4,600		103,781
East Japan Railway Co.		4,300		375,483
Eisai Co. Ltd.		3,800		197,342
FamilyMart UNY Holdings Co. Ltd.		1,400		83,534
FANUC Corp.		1,200		247,046
Fast Retailing Co. Ltd.		800		251,747
FUJIFILM Holdings Corp.		1,900		74,476
Fujitsu Ltd.		10,000		61,384
GungHo Online Entertainment, Inc.		71,900		160,522
Hakuhodo DY Holdings, Inc.		56,700		674,448
Hirose Electric Co. Ltd.		700		96,978
Hisamitsu Pharmaceutical Co., Inc.		13,500		772,912
Hitachi Chemical Co. Ltd.		11,400		316,676
Hitachi Metals Ltd.		27,500		386,808
Hoshizaki Corp.		5,100		403,114
Hoya Corp.		12,600		608,716
ITOCHU Corp.		5,900		83,994
Japan Airlines Co. Ltd.		32,800		1,041,398
Japan Airport Terminal Co. Ltd.		5,300		184,899
Japan Tobacco, Inc.		14,700		478,449
Kajima Corp.		66,000		431,710
Kamigumi Co. Ltd.		58,000		502,655
Kao Corp.		8,400		461,299
KDDI Corp.		42,900		1,128,304
Kikkoman Corp.		5,000		149,433
Kirin Holdings Co. Ltd.		6,500		122,956
Komatsu Ltd.		7,000		183,353
Konica Minolta, Inc.		18,100		162,350
Kose Corp.		5,800		527,109
Kuraray Co. Ltd.		1,300		19,776
Kurita Water Industries Ltd.		8,500		206,402
Lawson, Inc.		4,100		278,783
M3, Inc.		5,800		144,550
Makita Corp.		8,800		308,632
Mazda Motor Corp.		8,700		125,584
McDonald’s Holdings Co. Japan Ltd.		6,100		178,142
MEIJI Holdings Co. Ltd.		3,400		283,711
Mitsubishi Electric Corp.		14,000		201,716
Mitsubishi Motors Corp.		11,000		65,987
Mitsubishi Tanabe Pharma Corp.		39,700		828,898
Mitsui & Co. Ltd.		5,500		79,871
Mixi, Inc.		3,300		159,626
Murata Manufacturing Co. Ltd.		400		56,986
Nabtesco Corp.		3,200		85,153
Nexon Co. Ltd.		53,900		857,128
NH Foods Ltd.		5,000		134,323
Nidec Corp.		600		57,303
Nikon Corp.		7,500		108,989
Nippon Express Co. Ltd.		61,000		313,984
Nippon Paint Holdings Co. Ltd.		1,100		38,419
Nippon Telegraph & Telephone Corp.		23,400		1,000,428
Nisshin Seifun Group, Inc.		8,400		125,580

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

AQR Funds Semi-Annual Report March 2017

99

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 25.7% (continued)
Nissin Foods Holdings Co. Ltd.		8,800	$	488,879
Nitori Holdings Co. Ltd.		1,900		241,298
Nitto Denko Corp.		6,900		533,784
Nomura Research Institute Ltd.		1,287		47,445
Obayashi Corp.		38,000		356,318
Omron Corp.		21,100		927,109
Oracle Corp. Japan		8,900		510,230
Oriental Land Co. Ltd.		9,100		523,114
Osaka Gas Co. Ltd.		315,000		1,201,089
Otsuka Corp.		11,100		603,123
Otsuka Holdings Co. Ltd.		8,700		393,766
Pola Orbis Holdings, Inc.		4,400		106,315
Recruit Holdings Co. Ltd.		37,200		1,902,616
Rinnai Corp.		200		15,932
Sankyo Co. Ltd.		4,300		144,028
Secom Co. Ltd.		600		43,114
Seven & i Holdings Co. Ltd.		14,600		573,541
Seven Bank Ltd.		27,700		90,713
Shimamura Co. Ltd.		2,700		357,924
Shimizu Corp.		23,000		206,536
Shionogi & Co. Ltd.		8,600		445,201
SMC Corp.		100		29,646
Start Today Co. Ltd.		4,700		104,452
Subaru Corp.		16,100		590,520
Sumitomo Corp.		3,800		51,265
Sumitomo Dainippon Pharma Co. Ltd.		28,800		476,564
Sumitomo Mitsui Financial Group, Inc.		3,000		109,196
Sumitomo Rubber Industries Ltd.		1,800		30,712
Sundrug Co. Ltd.		12,600		423,925
Suntory Beverage & Food Ltd.		9,400		397,105
Suzuki Motor Corp.		7,500		311,503
Sysmex Corp.		6,400		389,384
Taisei Corp.		49,000		358,343
Takeda Pharmaceutical Co. Ltd.		3,300		155,355
Toho Gas Co. Ltd.		107,000		758,916
Tohoku Electric Power Co., Inc.		2,200		29,884
Tokyo Electron Ltd.		1,000		109,476
Tokyo Gas Co. Ltd.		236,000		1,077,836
TOTO Ltd.		1,500		56,744
Toyo Suisan Kaisha Ltd.		21,600		805,838
Trend Micro, Inc.		14,100		627,597
Tsuruha Holdings, Inc.		3,800		352,449
Unicharm Corp.		1,200		28,839
USS Co. Ltd.		1,600		26,798
West Japan Railway Co.		4,400		286,940
Yakult Honsha Co. Ltd.		3,900		217,053
Yamada Denki Co. Ltd.		7,900		39,493
Yamato Holdings Co. Ltd.		12,600		264,024
Yamazaki Baking Co. Ltd.		17,600		362,377
Yokogawa Electric Corp.		4,600		72,546
				40,519,610
Luxembourg - 0.1%
Millicom International Cellular SA, SDR		1,525		85,035
Netherlands - 1.3%
Heineken NV		2,163		184,068
Koninklijke Ahold Delhaize NV		49,943		1,067,273
Koninklijke Vopak NV		3,242		141,196

INVESTMENTS	SHARES		VALUE
Netherlands - 1.3% (continued)
Randstad Holding NV		8,396	$	484,013
Royal Dutch Shell plc, Class B		8,717		239,625
				2,116,175
Norway - 1.7%
Gjensidige Forsikring ASA		16,603		252,932
Marine Harvest ASA*		26,509		404,379
Norsk Hydro ASA		15,187		88,506
Orkla ASA		76,822		688,178
Schibsted ASA, Class A		5,112		131,593
Telenor ASA		58,228		968,649
Yara International ASA		3,176		122,332
				2,656,569
Portugal - 0.1%
EDP - Energias de Portugal SA		48,968		165,569
Jeronimo Martins SGPS SA		2,999		53,590
				219,159
Singapore - 4.0%
ComfortDelGro Corp. Ltd.		160,000		292,873
DBS Group Holdings Ltd.		72,100		998,722
Oversea-Chinese Banking Corp. Ltd.		115,900		805,043
SATS Ltd.		62,100		216,641
Singapore Airlines Ltd.		103,300		743,595
Singapore Telecommunications Ltd.		475,000		1,331,109
StarHub Ltd. (b)		346,900		714,160
United Overseas Bank Ltd.		57,200		903,490
Wilmar International Ltd.		89,700		226,360
				6,231,993
South Africa - 0.4%
Mondi plc		24,720		597,269
Spain - 1.9%
Enagas SA		2,355		61,097
Endesa SA		38,485		903,228
Gas Natural SDG SA		3,417		74,743
Iberdrola SA		131,907		942,461
Industria de Diseno Textil SA		17,691		623,016
Mapfre SA		65,467		224,231
Red Electrica Corp. SA		6,913		132,553
				2,961,329
Sweden - 4.3%
Assa Abloy AB, Class B		1,062		21,832
Atlas Copco AB, Class A		7,038		248,083
Getinge AB, Class B		4,954		86,861
Hennes & Mauritz AB, Class B		52,382		1,336,831
ICA Gruppen AB		19,296		658,146
Investor AB, Class B		959		40,323
Nordea Bank AB		27,239		310,765
Sandvik AB		2,220		33,160
Skanska AB, Class B		18,442		434,039
SKF AB, Class B		5,941		117,487
Svenska Cellulosa AB SCA, Class B		17,630		568,150
Svenska Handelsbanken AB, Class A		2,802		38,399
Swedbank AB, Class A		854		19,760
Swedish Match AB		36,094		1,173,014
Tele2 AB, Class B		28,270		269,838

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

AQR Funds Semi-Annual Report March 2017

100

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Sweden - 4.3% (continued)
Telefonaktiebolaget LM Ericsson, Class B		28,405	$	189,642
Telia Co. AB		198,993		834,246
Volvo AB, Class B		28,527		420,830
				6,801,406
Switzerland - 5.0%
ABB Ltd. (Registered)		9,534		223,148
Adecco Group AG (Registered)		1,995		141,654
Aryzta AG *		4,086		131,197
Chocoladefabriken Lindt & Spruengli AG		3		16,999
Coca-Cola HBC AG *		21,357		551,355
Kuehne + Nagel International AG (Registered)		6,770		955,946
Nestle SA (Registered)		21,363		1,639,648
Novartis AG (Registered)		10,411		773,095
Roche Holding AG		4,729		1,209,365
Schindler Holding AG		1,572		304,082
SGS SA (Registered)		108		230,323
Sika AG		24		143,945
Sonova Holding AG (Registered)		2,981		413,510
Swatch Group AG (The)		45		16,111
Swiss Re AG		6,136		551,111
Swisscom AG (Registered)		694		319,907
Wolseley plc		3,514		221,247
Zurich Insurance Group AG		86		22,950
				7,865,593
United Kingdom - 10.1%
Admiral Group plc		15,530		386,960
Associated British Foods plc		25,640		837,549
AstraZeneca plc		10,504		645,860
BAE Systems plc		42,854		344,897
BP plc		15,556		89,542
British American Tobacco plc		7,028		466,280
BT Group plc		195,497		780,643
Bunzl plc		3,697		107,455
Burberry Group plc		19,358		417,759
Centrica plc		176,331		480,147
Compass Group plc		11,100		209,570
Diageo plc		26,783		766,937
Direct Line Insurance Group plc		120,945		526,212
Dixons Carphone plc		7,700		30,668
easyJet plc		8,422		108,280
GKN plc		10,759		49,005
GlaxoSmithKline plc		23,655		491,857
HSBC Holdings plc		89,959		733,782
Imperial Brands plc		11,065		536,250
ITV plc		43,737		120,065
J Sainsbury plc		12,622		41,806
Kingfisher plc		113,011		462,395
Marks & Spencer Group plc		20,345		85,935
National Grid plc		122,558		1,554,930
Next plc		481		26,021
Pearson plc		36,487		311,119
Reckitt Benckiser Group plc		11,569		1,056,153
Royal Mail plc		197,122		1,049,880
Sage Group plc (The)		17,119		135,231
Smith & Nephew plc		51,219		779,850
SSE plc		44,544		823,221

INVESTMENTS	SHARES		VALUE
United Kingdom - 10.1% (continued)
Tate & Lyle plc		21,446	$	205,509
Travis Perkins plc		2,417		45,853
Unilever NV, CVA		5,592		277,638
United Utilities Group plc		2,762		34,390
Vodafone Group plc		129,785		338,218
Whitbread plc		1,298		64,406
WPP plc		21,334		467,622
				15,889,895
United States - 0.3%
Shire plc		1,638		95,442
Thomson Reuters Corp. (1)		6,653		287,712
Valeant Pharmaceuticals International, Inc. (1)*		5,076		56,071
				439,225
TOTAL COMMON STOCKS (cost $141,103,184)				147,942,160
SHORT-TERM INVESTMENT - 4.9%
Investment Company - 4.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $7,650,741) (c)		7,650,741		7,650,741
SECURITIES LENDING COLLATERAL - 0.2%	PRINCIPAL AMOUNT
U.S. Treasury Obligations - 0.2%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
U.S. Treasury Bonds
3.63%, 8/15/2043 (d)	$	291,182		325,031
3.75%, 11/15/2043 (d)		20		23
2.88%, 8/15/2045 (d)		52,715		51,234
TOTAL SECURITIES LENDING COLLATERAL (cost $376,288)				376,288
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.1% (cost $149,130,213)				155,969,189
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% (e)			1,368,830
NET ASSETS - 100.0%			$	157,338,019

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

AQR Funds Semi-Annual Report March 2017

101

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	14,694,228		9.3	%
Consumer Staples		30,497,749		19.4
Energy		3,255,953		2.1
Financials		16,168,455		10.3
Health Care		15,952,506		10.1
Industrials		24,647,561		15.7
Information Technology		7,147,625		4.5
Materials		6,966,607		4.4
Telecommunication Services		12,924,823		8.2
Utilities		15,686,653		10.0
Short-Term Investment		7,650,741		4.9
Securities Lending Collateral		376,288		0.2
Total Investments In Securities At Value		155,969,189		99.1
Other Assets in Excess of Liabilities (e)		1,368,830		0.9
Net Assets	$	157,338,019		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 3/31/2017 amounted to $965,063, which represents approximately 0.61% of net assets of the fund.

(b) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $358,348.

(c) Represents 7-day effective yield as of 3/31/2017.

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

(e) Includes appreciation/(depreciation) on futures contracts.

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

(1) Level 1 security (See Note 4).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
87	JPMS	E-Mini MSCI EAFE Index Futures	06/2017	$	7,677,549	$	7,751,699	$	74,150

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$231,015		$231,015

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

AQR Funds Semi-Annual Report March 2017

102

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 90.5%
Brazil - 4.3%
AES Tiete SA (1)		7,100	$	31,048
Ambev SA, ADR (1)		100,820		580,723
Engie Brasil Energia SA (1)*		31,200		352,901
Equatorial Energia SA (1)*		3,700		69,495
Localiza Rent a Car SA (1)*		14,410		192,864
Lojas Renner SA (1)		3,000		26,640
Natura Cosmeticos SA (1)		2,700		25,132
Odontoprev SA (1)		157,200		566,414
Qualicorp SA (1)		6,100		38,697
Raia Drogasil SA (1)*		3,900		73,463
Telefonica Brasil SA, ADR (1)*		3,051		45,307
TIM Participacoes SA, ADR (1)		13,556		216,625
Ultrapar Participacoes SA (1)		6,000		137,035
WEG SA (1)		34,580		192,418
				2,548,762
Chile - 4.2%
Aguas Andinas SA, Class A (1)		960,047		559,712
Banco de Chile (1)		5,389,559		650,218
Banco Santander Chile, ADR (1)		3,091		77,522
Cia Cervecerias Unidas SA, ADR (1)		5,150		130,140
Empresas COPEC SA (1)		6,440		69,997
Enel Americas SA, ADR (1)		27,951		290,411
Enel Chile SA, ADR (1)		10,836		59,598
Enel Generacion Chile SA, ADR (1)		5,424		120,630
SACI Falabella (1)		63,611		535,002
				2,493,230
China - 11.2%
Agricultural Bank of China Ltd., Class H		639,000		294,693
ANTA Sports Products Ltd.		87,000		240,702
Bank of China Ltd., Class H		204,000		101,445
Bank of Communications Co. Ltd., Class H		158,000		122,990
Beijing Capital International Airport Co. Ltd., Class H		70,000		83,790
Belle International Holdings Ltd.		357,000		232,196
China Communications Services Corp. Ltd., Class H		1,004,000		657,527
China Construction Bank Corp., Class H		532,000		428,637
China Huishan Dairy Holdings Co. Ltd. (a)		700,000		37,831
China Merchants Bank Co. Ltd., Class H		22,000		58,220
China Mobile Ltd.		67,500		742,332
China Petroleum & Chemical Corp., Class H		126,000		102,560
China Resources Gas Group Ltd.		92,000		325,840
China Resources Power Holdings Co. Ltd.		14,000		25,274
China Telecom Corp. Ltd., Class H		574,000		280,386
CSPC Pharmaceutical Group Ltd.		296,000		387,794
ENN Energy Holdings Ltd.		50,000		281,663
Great Wall Motor Co. Ltd., Class H		55,500		63,253
Guangdong Investment Ltd.		510,000		727,219
Hengan International Group Co. Ltd.		14,500		107,908
Industrial & Commercial Bank of China Ltd., Class H		587,000		384,103
Jiangsu Expressway Co. Ltd., Class H		148,000		212,603
People’s Insurance Co. Group of China Ltd. (The), Class H		55,000		22,812
PICC Property & Casualty Co. Ltd., Class H		48,000		74,085

INVESTMENTS	SHARES		VALUE
China - 11.2% (continued)
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		24,000	$	17,180
Shenzhou International Group Holdings Ltd.		11,000		69,423
Sinopec Engineering Group Co. Ltd., Class H		163,500		167,867
Tencent Holdings Ltd.		1,600		46,095
Tsingtao Brewery Co. Ltd., Class H		36,000		165,912
Want Want China Holdings Ltd.		237,000		164,131
Zhuzhou CRRC Times Electric Co. Ltd., Class H		4,500		23,942
				6,650,413
Hong Kong - 1.1%
China Gas Holdings Ltd.		30,000		48,338
Haier Electronics Group Co. Ltd.		41,000		93,970
Sino Biopharmaceutical Ltd.		373,000		307,166
Sun Art Retail Group Ltd.		237,000		222,194
				671,668
India - 8.4%
Axis Bank Ltd., GDR		5,381		204,323
Dr Reddy’s Laboratories Ltd., ADR (1)		15,034		603,615
ICICI Bank Ltd., ADR (1)		24,617		211,706
Infosys Ltd., ADR		56,748		896,618
Larsen & Toubro Ltd., GDR		11,574		280,601
Larsen & Toubro Ltd. (LSE), GDR		813		19,639
Reliance Industries Ltd., GDR (b)		21,789		875,087
State Bank of India, GDR		11,325		506,359
Tata Motors Ltd., ADR (1)		15,253		543,770
Wipro Ltd., ADR (1)		85,437		874,021
				5,015,739
Indonesia - 2.8%
Bank Central Asia Tbk. PT		119,600		148,501
Hanjaya Mandala Sampoerna Tbk. PT		927,300		271,482
Indofood CBP Sukses Makmur Tbk. PT		38,500		23,548
Kalbe Farma Tbk. PT		2,844,500		328,726
Semen Indonesia Persero Tbk. PT		43,000		29,035
Telekomunikasi Indonesia Persero Tbk. PT		1,102,600		342,738
Unilever Indonesia Tbk. PT		153,200		498,111
				1,642,141
Malaysia - 6.8%
British American Tobacco Malaysia Bhd.		8,800		90,633
DiGi.Com Bhd.		435,400		504,596
IHH Healthcare Bhd.		214,300		290,513
Kuala Lumpur Kepong Bhd.		4,400		24,529
Malayan Banking Bhd.		71,000		143,058
Maxis Bhd.		126,400		183,905
MISC Bhd.		19,300		31,905
Petronas Chemicals Group Bhd.		44,700		77,728
Petronas Gas Bhd.		147,800		659,942
Public Bank Bhd.		156,500		703,543
Telekom Malaysia Bhd.		315,500		457,760
Tenaga Nasional Bhd.		106,100		328,809
Westports Holdings Bhd.		624,100		571,068
				4,067,989

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

AQR Funds Semi-Annual Report March 2017

103

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Mexico - 7.0%
Arca Continental SAB de CV (1)		71,200	$	494,765
Coca-Cola Femsa SAB de CV, ADR (1)		2,295		164,551
El Puerto de Liverpool SAB de CV (1)		6,555		51,166
Fomento Economico Mexicano SAB de CV, ADR (1)		4,244		375,679
Gentera SAB de CV (1)		107,900		177,737
Gruma SAB de CV, Class B (1)		28,310		398,455
Grupo Aeroportuario del Pacifico SAB de CV, ADR (1)		5,821		565,219
Grupo Aeroportuario del Sureste SAB de CV, ADR (1)		1,979		342,842
Grupo Bimbo SAB de CV, Series A (1)		63,100		157,023
Grupo Carso SAB de CV, Series A1 (1)		8,700		39,945
Grupo Lala SAB de CV (1)(a)		192,200		348,731
Infraestructura Energetica Nova SAB de CV (1)		22,100		105,316
Kimberly-Clark de Mexico SAB de CV, Class A (1)		38,300		83,117
Promotora y Operadora de Infraestructura SAB de CV (1)		5,000		54,043
Wal-Mart de Mexico SAB de CV (1)		359,700		829,209
				4,187,798
Philippines - 0.8%
Bank of the Philippine Islands		183,230		369,483
BDO Unibank, Inc.		10,890		25,524
Jollibee Foods Corp.		5,120		20,147
Universal Robina Corp.		19,220		62,627
				477,781
Poland - 2.4%
Bank Pekao SA		9,562		318,300
Bank Zachodni WBK SA		2,808		242,289
Eurocash SA		17,407		140,037
LPP SA		36		61,653
PGE Polska Grupa Energetyczna SA		110,782		318,196
Polski Koncern Naftowy ORLEN SA		10,006		252,371
Polskie Gornictwo Naftowe i Gazownictwo SA		30,228		45,104
Powszechna Kasa Oszczednosci Bank Polski SA *		4,356		35,208
Powszechny Zaklad Ubezpieczen SA		3,894		34,148
				1,447,306
Russia - 0.5%
PhosAgro PJSC, GDR		5,439		79,019
Severstal PJSC, GDR		13,196		189,934
				268,953
South Africa - 6.1%
Barclays Africa Group Ltd.		1,394		14,497
Bidvest Group Ltd. (The)		22,037		252,589
Brait SE *		20,724		120,595
Capitec Bank Holdings Ltd.		669		37,979
Mr Price Group Ltd.		15,404		183,357
Nedbank Group Ltd.		2,862		51,425
Netcare Ltd.		80,072		152,769
Pick n Pay Stores Ltd.		129,535		642,398
Pioneer Foods Group Ltd.		1,933		25,400

INVESTMENTS	SHARES		VALUE
South Africa - 6.1% (continued)
RMB Holdings Ltd.		75,209	$	328,259
Shoprite Holdings Ltd.		19,349		279,841
Sibanye Gold Ltd.		48,436		104,575
SPAR Group Ltd. (The)		20,243		262,626
Telkom SA SOC Ltd.		11,944		66,835
Tiger Brands Ltd.		8,907		265,740
Truworths International Ltd.		7,639		49,306
Vodacom Group Ltd.		68,926		780,223
				3,618,414
South Korea - 14.6%
Amorepacific Corp.		476		119,487
BGF retail Co. Ltd.		4,104		385,458
Cheil Worldwide, Inc.		8,801		149,567
CJ Korea Express Corp. *		110		16,382
Coway Co. Ltd.		2,627		226,164
Dongbu Insurance Co. Ltd.		9,486		543,003
Hanmi Pharm Co. Ltd. *		618		165,194
Hanmi Science Co. Ltd. *		2,119		110,628
Hanon Systems		34,155		283,629
Hanssem Co. Ltd.		1,466		288,415
Hanwha Life Insurance Co. Ltd.		15,054		81,305
Hyundai Glovis Co. Ltd.		1,672		219,892
Hyundai Marine & Fire Insurance Co. Ltd.		11,393		356,593
Hyundai Mobis Co. Ltd.		689		148,216
Kangwon Land, Inc.		11,440		391,032
KEPCO Plant Service & Engineering Co. Ltd.		1,770		98,796
Kia Motors Corp.		10,074		333,879
Korea Electric Power Corp.		3,826		159,259
Korea Zinc Co. Ltd.		41		15,851
KT Corp.		1,517		43,302
KT&G Corp.		4,734		412,928
LG Chem Ltd.		1,339		352,075
LG Household & Health Care Ltd.		124		89,957
LG Uplus Corp.		26,249		335,944
NAVER Corp.		728		556,675
NCSoft Corp.		838		228,544
S-1 Corp.		8,200		657,912
Samsung Electronics Co. Ltd.		444		817,144
Samsung Fire & Marine Insurance Co. Ltd.		1,141		273,560
Samsung Life Insurance Co. Ltd.		2,063		200,127
Samsung SDS Co. Ltd.		2,010		239,980
SK Hynix, Inc.		1,756		79,313
SK Telecom Co. Ltd.		1,363		307,970
				8,688,181
Taiwan - 12.7%
Advantech Co. Ltd.		27,000		226,024
Asustek Computer, Inc.		32,000		316,389
Chang Hwa Commercial Bank Ltd.		294,120		179,253
Cheng Shin Rubber Industry Co. Ltd.		16,000		33,060
Chunghwa Telecom Co. Ltd.		234,600		796,674
E.Sun Financial Holding Co. Ltd.		148,500		90,278
Far EasTone Telecommunications Co. Ltd.		305,000		748,853
Feng TAY Enterprise Co. Ltd.		19,040		75,873
First Financial Holding Co. Ltd.		866,113		528,072
Formosa Petrochemical Corp.		80,000		279,442
Hon Hai Precision Industry Co. Ltd.		44,583		133,708

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

AQR Funds Semi-Annual Report March 2017

104

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Taiwan - 12.7% (continued)
Hua Nan Financial Holdings Co. Ltd.		442,738	$	247,303
Lite-On Technology Corp.		31,023		53,473
MediaTek, Inc.		5,000		35,429
Mega Financial Holding Co. Ltd.		518,000		417,991
Micro-Star International Co. Ltd.		80,000		186,171
Nien Made Enterprise Co. Ltd.		26,000		242,505
Novatek Microelectronics Corp.		22,000		85,200
President Chain Store Corp.		102,000		840,278
Realtek Semiconductor Corp.		62,442		223,263
Standard Foods Corp.		15,880		39,463
Taiwan Cooperative Financial Holding Co. Ltd.		308,160		153,380
Taiwan Mobile Co. Ltd.		225,000		826,613
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		14,245		467,806
Teco Electric and Machinery Co. Ltd.		21,000		21,351
Uni-President Enterprises Corp.		176,172		330,277
				7,578,129
Thailand - 6.4%
Advanced Info Service PCL, NVDR		19,100		98,939
Airports of Thailand PCL, NVDR		618,000		705,941
Bangkok Bank PCL, NVDR		17,300		91,383
Bangkok Dusit Medical Services PCL, NVDR		565,900		349,140
BTS Group Holdings PCL, NVDR		975,800		239,989
Bumrungrad Hospital PCL, NVDR		101,100		538,397
Delta Electronics Thailand PCL, NVDR		93,700		238,565
Electricity Generating PCL, NVDR		16,800		104,605
Glow Energy PCL, NVDR		55,900		134,199
Home Product Center PCL, NVDR		1,069,400		300,265
Kasikornbank PCL, NVDR		40,600		223,419
Krung Thai Bank PCL, NVDR		271,400		161,137
Robinson Department Store PCL, NVDR		121,100		225,453
Siam Cement PCL (The), NVDR		7,700		121,011
Siam Commercial Bank PCL (The), NVDR		61,500		291,750
				3,824,193
Turkey - 1.2%
BIM Birlesik Magazalar A/S		33,020		507,719
Turk Telekomunikasyon A/S		79,694		129,385
Turkcell Iletisim Hizmetleri A/S		26,773		88,195
				725,299
TOTAL COMMON STOCKS (cost $51,849,160)				53,905,996
SHORT-TERM INVESTMENT - 8.6%
Investment Company - 8.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $5,108,125) (c)		5,108,125		5,108,125

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 0.4%
Investment Company - 0.4%
Investments in a Pooled Account through Securities Lending Program with Citibank NA
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $217,590) (c)(d)		217,590	$	217,590
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.5% (cost $57,174,875)				59,231,711
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% (e)			327,356
NET ASSETS - 100.0%			$	59,559,067

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	4,868,645		8.2	%
Consumer Staples		9,671,503		16.2
Energy		1,761,595		3.0
Financials		9,726,212		16.2
Health Care		3,856,234		6.5
Industrials		4,991,596		8.4
Information Technology		5,704,419		9.6
Materials		969,227		1.6
Telecommunication Services		7,654,111		12.9
Utilities		4,702,454		7.9
Short-Term Investment		5,108,125		8.6
Securities Lending Collateral		217,590		0.4
Total Investments In Securities At Value		59,231,711		99.5
Other Assets in Excess of Liabilities (e)		327,356		0.5
Net Assets	$	59,559,067		100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $192,061.

(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 3/31/2017 amounted to $875,087, which represents approximately 1.47% of net assets of the fund.

(c) Represents 7-day effective yield as of 3/31/2017.

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

(e) Includes appreciation/(depreciation) on futures contracts.

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

(1) Level 1 security (See Note 4).

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

AQR Funds Semi-Annual Report March 2017

105

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

LSE - London Stock Exchange

NVDR - Non-Voting Depositary Receipt

PJSC - Public Joint Stock Company

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
103	JPMS	E-Mini MSCI Emerging Markets Index Futures		06/2017		$4,847,469		$4,951,210		$103,741

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$66,456		$66,456

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

AQR Funds Semi-Annual Report March 2017

106

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 87.1%
Australia - 2.0%
AGL Energy Ltd.		2,746	$	55,313
Aristocrat Leisure Ltd.		12,732		174,766
ASX Ltd.		891		34,362
Aurizon Holdings Ltd.		31,293		125,483
BGP Holdings plc (3)*(a)		96,388		1,835
BHP Billiton Ltd.		14,837		269,828
Caltex Australia Ltd.		7,017		158,104
CIMIC Group Ltd.		18,854		517,329
Computershare Ltd.		2,187		23,488
Fortescue Metals Group Ltd.		19,467		92,725
Goodman Group, REIT		8,333		49,268
GPT Group (The), REIT		14,922		58,728
LendLease Group		2,927		34,812
Mirvac Group, REIT		33,659		56,312
National Australia Bank Ltd.		2,067		52,631
Newcrest Mining Ltd.		9,258		157,807
Orica Ltd.		14,376		193,231
Origin Energy Ltd. *		53,873		289,793
QBE Insurance Group Ltd.		15,809		155,637
Scentre Group, REIT		25,938		85,033
South32 Ltd.		158,701		334,567
Stockland, REIT		17,557		62,258
Vicinity Centres, REIT		26,832		58,038
Westfield Corp., REIT		9,064		61,486
				3,102,834
Belgium - 0.5%
Ageas		7,406		289,209
KBC Group NV		4,754		315,157
UCB SA		2,131		165,298
Umicore SA		1,107		63,043
				832,707
Canada - 2.7%
Bank of Montreal (1)		4,030		301,011
Bank of Nova Scotia (The) (1)		2,659		155,559
Barrick Gold Corp. (1)		2,447		46,480
Canadian Imperial Bank of Commerce (1)		5,406		466,147
Canadian Tire Corp. Ltd., Class A (1)		1,649		195,894
CCL Industries, Inc., Class B (1)		245		53,453
CGI Group, Inc., Class A (1)*		1,632		78,198
Crescent Point Energy Corp. (1)		1,800		19,450
Dollarama, Inc. (1)		3,688		305,639
Finning International, Inc. (1)		8,126		151,784
Great-West Lifeco, Inc. (1)		1,345		37,270
Husky Energy, Inc. (1)*		27,313		308,281
Imperial Oil Ltd. (1)		1,955		59,568
Industrial Alliance Insurance & Financial Services, Inc. (1)		9,706		420,616
Magna International, Inc. (1)		5,593		241,367
Manulife Financial Corp. (1)		8,402		149,042
Methanex Corp. (1)		1,757		82,324
Open Text Corp. (1)		4,297		146,050
Power Corp. of Canada (1)		1,646		38,667
RioCan REIT (1)		2,373		46,752
Saputo, Inc. (1)		7,554		260,671
Sun Life Financial, Inc. (1)		5,619		205,180

INVESTMENTS	SHARES		VALUE
Canada - 2.7% (continued)
Suncor Energy, Inc. (1)		6,306	$	193,611
Teck Resources Ltd., Class B (1)		11,553		252,631
West Fraser Timber Co. Ltd. (1)		1,539		64,368
				4,280,013
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd.		228,600		184,559
Denmark - 1.0%
Danske Bank A/S		12,280		418,698
ISS A/S		1,578		59,656
TDC A/S		87,672		451,534
Vestas Wind Systems A/S		7,062		574,425
				1,504,313
Finland - 0.8%
Neste OYJ		15,606		610,239
Nokia OYJ		18,004		96,769
Orion OYJ, Class B		9,026		470,835
				1,177,843
France - 3.2%
Arkema SA		699		68,810
Atos SE		8,401		1,038,201
BNP Paribas SA		9,678		644,013
Capgemini SA		2,359		217,749
Cie de Saint-Gobain		3,884		199,276
Cie Generale des Etablissements Michelin		2,457		298,569
CNP Assurances		12,266		249,434
Eiffage SA		1,457		114,024
Klepierre, REIT		1,669		64,842
Lagardere SCA		4,837		142,282
Peugeot SA		41,995		843,994
Rexel SA		8,023		145,358
Sanofi		473		42,757
SEB SA		392		54,753
Societe Generale SA		11,182		566,540
Thales SA		2,472		238,786
Unibail-Rodamco SE, REIT		614		143,167
				5,072,555
Germany - 3.6%
Allianz SE (Registered)		1,109		205,660
BASF SE		3,589		355,360
Bayer AG (Registered)		3,523		405,897
Covestro AG (b)		15,388		1,185,472
Deutsche Bank AG (Registered)		2,107		36,222
Deutsche Lufthansa AG (Registered)		7,121		115,523
Deutsche Post AG (Registered)		10,311		352,879
Evonik Industries AG		13,586		442,828
Fresenius SE & Co. KGaA		1,365		109,686
Hannover Rueck SE		1,337		154,065
HeidelbergCement AG		2,031		190,199
HOCHTIEF AG		1,199		198,144
Infineon Technologies AG		5,507		112,714
LANXESS AG		1,415		94,922
Linde AG		540		89,975
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		2,154		421,651

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

AQR Funds Semi-Annual Report March 2017

107

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Germany - 3.6% (continued)
OSRAM Licht AG		4,779	$	299,697
Porsche Automobil Holding SE (Preference)		865		47,133
RWE AG *		9,653		159,969
Schaeffler AG (Preference)		2,460		43,214
Siemens AG (Registered)		2,910		398,589
TUI AG		4,095		56,709
				5,476,508
Hong Kong - 1.4%
ASM Pacific Technology Ltd.		1,082		14,719
Cheung Kong Infrastructure Holdings Ltd.		2,749		21,589
Cheung Kong Property Holdings Ltd.		25,701		173,375
Henderson Land Development Co. Ltd.		9,000		55,805
Hong Kong Exchanges & Clearing Ltd.		5,269		132,958
Kerry Properties Ltd.		96,000		332,991
Link REIT		10,829		75,898
New World Development Co. Ltd.		206,000		253,828
NWS Holdings Ltd.		7,500		13,693
PCCW Ltd.		19,406		11,448
Sino Land Co. Ltd.		88,000		154,321
Sun Hung Kai Properties Ltd.		19,000		279,305
WH Group Ltd. (b)		66,500		57,344
Wharf Holdings Ltd. (The)		9,000		77,346
Wheelock & Co. Ltd.		37,000		292,681
Yue Yuen Industrial Holdings Ltd.		48,623		191,071
				2,138,372
Italy - 0.8%
Assicurazioni Generali SpA		12,460		197,692
Enel SpA		135,704		638,551
Leonardo SpA		11,333		160,708
Mediobanca SpA		28,640		258,226
				1,255,177
Japan - 7.1%
Aeon Mall Co. Ltd.		700		11,045
Amada Holdings Co. Ltd.		16,300		186,586
Aozora Bank Ltd.		26,000		95,985
Asahi Kasei Corp.		15,000		145,746
Astellas Pharma, Inc.		25,600		337,636
Bandai Namco Holdings, Inc.		7,600		227,815
Brother Industries Ltd.		22,200		464,251
Chubu Electric Power Co., Inc.		8,600		115,523
Dai-ichi Life Holdings, Inc.		5,000		89,497
Daiichi Sankyo Co. Ltd.		4,500		101,525
Daito Trust Construction Co. Ltd.		486		66,823
Daiwa House Industry Co. Ltd.		2,451		70,451
DeNA Co. Ltd.		1,900		38,680
FUJIFILM Holdings Corp.		4,444		174,195
Fujitsu Ltd.		50,115		307,625
Hitachi Chemical Co. Ltd.		14,000		388,900
Hitachi Construction Machinery Co. Ltd.		3,200		80,071
Hitachi High-Technologies Corp.		13,058		533,415
Hulic Co. Ltd.		1,500		14,159
Idemitsu Kosan Co. Ltd.		6,100		212,337
Japan Airlines Co. Ltd.		2,500		79,375
Japan Real Estate Investment Corp., REIT		10		53,085
Japan Retail Fund Investment Corp., REIT		22		43,180
Kajima Corp.		12,000		78,493
Konami Holdings Corp.		4,000		169,898
Konica Minolta, Inc.		15,300		137,235

INVESTMENTS	SHARES		VALUE
Japan - 7.1% (continued)
Kyushu Financial Group, Inc.		7,900	$	48,386
Lion Corp.		7,000		126,154
Mazda Motor Corp.		5,300		76,505
Mitsubishi Corp.		6,800		147,374
Mitsubishi Electric Corp.		16,200		233,414
Mitsubishi Estate Co. Ltd.		5,764		105,059
Mitsubishi Gas Chemical Co., Inc.		15,000		312,426
Mitsubishi UFJ Financial Group, Inc.		10,200		64,252
Mitsui Chemicals, Inc.		48,000		237,804
Mitsui Fudosan Co. Ltd.		4,598		98,176
Mixi, Inc.		4,200		203,161
Mizuho Financial Group, Inc.		138,600		254,411
MS&AD Insurance Group Holdings, Inc.		11,300		360,929
Nintendo Co. Ltd.		200		46,408
Nippon Building Fund, Inc., REIT		12		65,783
Nippon Express Co. Ltd.		62,000		319,131
Nippon Telegraph & Telephone Corp.		4,996		213,596
Nomura Real Estate Holdings, Inc.		1,000		15,958
NTT DOCOMO, Inc.		5,300		123,767
ORIX Corp.		5,190		77,033
Resona Holdings, Inc.		87,500		470,389
Sega Sammy Holdings, Inc.		12,400		166,780
Seiko Epson Corp.		9,000		189,891
Sekisui House Ltd.		2,900		47,817
Shimamura Co. Ltd.		1,100		145,821
Shinsei Bank Ltd.		79,000		145,567
Shionogi & Co. Ltd.		4,200		217,424
SoftBank Group Corp.		2,000		141,830
Sompo Holdings, Inc.		1,100		40,412
Sony Corp.		1,300		43,873
Start Today Co. Ltd.		1,900		42,225
Subaru Corp.		5,100		187,059
Sumitomo Dainippon Pharma Co. Ltd.		13,700		226,699
Sumitomo Heavy Industries Ltd.		48,000		335,581
Sumitomo Mitsui Financial Group, Inc.		7,300		265,711
Sumitomo Mitsui Trust Holdings, Inc.		4,600		159,399
Sumitomo Realty & Development Co. Ltd.		2,624		68,152
Suzuki Motor Corp.		4,400		182,748
Taisei Corp.		10,000		73,131
Teijin Ltd.		3,400		64,200
Tokyo Tatemono Co. Ltd.		1,200		15,866
Tokyu Fudosan Holdings Corp.		2,900		15,785
Toyoda Gosei Co. Ltd.		2,400		61,212
Toyota Motor Corp.		5,000		271,389
Yokogawa Electric Corp.		6,900		108,819
				11,041,038
Netherlands - 1.5%
ABN AMRO Group NV, CVA (b)		5,326		129,147
Aegon NV		30,271		154,196
ASML Holding NV		1,683		223,322
ING Groep NV		19,668		297,071
Koninklijke Philips NV		6,396		205,467
NN Group NV		16,182		525,545
Randstad Holding NV		2,208		127,287
Royal Dutch Shell plc, Class B		14,108		387,821
Wolters Kluwer NV		6,067		251,795
				2,301,651

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

AQR Funds Semi-Annual Report March 2017

108

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Singapore - 0.1%
Genting Singapore plc		79,200	$	57,755
Sembcorp Industries Ltd.		4,477		10,174
Singapore Exchange Ltd.		4,067		22,387
				90,316
South Africa - 0.2%
Investec plc		15,360		104,738
Mondi plc		10,041		242,604
				347,342
Spain - 1.4%
Banco Bilbao Vizcaya Argentaria SA		15,762		122,355
Banco de Sabadell SA		135,626		248,503
Banco Santander SA		71,298		436,437
Endesa SA		31,242		733,238
Mapfre SA		36,899		126,383
Repsol SA		34,664		537,046
				2,203,962
Sweden - 0.9%
Boliden AB		8,867		263,929
Electrolux AB, Series B (c)		14,572		404,545
Investor AB, Class B		2,204		92,672
Kinnevik AB, Class B		1,380		36,786
Skanska AB, Class B		2,793		65,734
Swedish Match AB		11,504		373,867
Telefonaktiebolaget LM Ericsson, Class B		19,539		130,450
				1,367,983
Switzerland - 2.8%
ABB Ltd. (Registered)		18,254		427,244
Actelion Ltd. *		479		134,951
Adecco Group AG (Registered)		9,893		702,447
Baloise Holding AG (Registered)		633		86,982
Coca-Cola HBC AG *		10,198		263,273
Geberit AG (Registered)		243		104,711
Lonza Group AG (Registered) *		1,525		288,257
Nestle SA (Registered)		2,338		179,446
Partners Group Holding AG		328		176,271
Roche Holding AG		825		210,980
Sika AG		60		359,863
Swiss Life Holding AG (Registered) *		1,264		407,593
Swiss Re AG		3,258		292,621
Syngenta AG (Registered)		337		148,833
Zurich Insurance Group AG		2,483		662,615
				4,446,087
United Kingdom - 4.8%
3i Group plc		9,545		89,619
Aberdeen Asset Management plc		29,174		96,811
Anglo American plc *		4,888		74,684
Ashtead Group plc		19,733		408,459
Barclays plc		109,011		307,714
Barratt Developments plc		44,619		305,641
British Land Co. plc (The), REIT		7,594		58,049
BT Group plc		13,092		52,278
Centrica plc		56,092		152,738
Fiat Chrysler Automobiles NV		27,595		301,484
GKN plc		24,099		109,765

INVESTMENTS	SHARES		VALUE
United Kingdom - 4.8% (continued)
GlaxoSmithKline plc		12,831	$	266,794
Hammerson plc, REIT		5,915		42,294
HSBC Holdings plc		55,074		449,230
InterContinental Hotels Group plc		1,052		51,526
Kingfisher plc		67,052		274,350
Land Securities Group plc, REIT		4,952		65,769
Lloyds Banking Group plc		311,349		258,943
Persimmon plc		35,178		922,952
Randgold Resources Ltd.		867		75,759
Reckitt Benckiser Group plc		488		44,550
Rio Tinto plc		7,349		295,927
Royal Mail plc		109,137		581,268
Sage Group plc (The)		27,138		214,375
Tate & Lyle plc		91,716		878,880
Taylor Wimpey plc		100,844		243,920
Unilever plc		5,942		293,103
William Hill plc		81,500		297,216
WPP plc		9,808		214,982
				7,429,080
United States - 52.2%
Activision Blizzard, Inc. (1)		1,600		79,776
AES Corp. (1)		46,454		519,356
Aetna, Inc. (1)		4,617		588,898
Aflac, Inc. (1)		7,063		511,502
Akamai Technologies, Inc. (1)*		5,728		341,962
Allstate Corp. (The) (1)		12,210		994,993
Alphabet, Inc., Class A (1)*		988		837,626
Alphabet, Inc., Class C (1)*		1,170		970,585
Altria Group, Inc. (1)		7,484		534,507
Amazon.com, Inc. (1)*		1,491		1,321,831
Ameren Corp. (1)		768		41,925
American Electric Power Co., Inc. (1)		2,657		178,364
American Tower Corp., REIT (1)		2,400		291,696
Amgen, Inc. (1)		2,603		427,074
Anthem, Inc. (1)		2,528		418,081
Apple, Inc. (1)		19,892		2,857,685
Applied Materials, Inc. (1)		35,891		1,396,160
Aramark (1)		1,114		41,073
Archer-Daniels-Midland Co. (1)		11,226		516,845
Arrow Electronics, Inc. (1)*		3,418		250,915
Assurant, Inc. (1)		2,609		249,603
AT&T, Inc. (1)		8,174		339,630
AvalonBay Communities, Inc., REIT (1)		811		148,900
Axis Capital Holdings Ltd. (1)		4,872		326,570
Bank of America Corp. (1)		16,067		379,021
Bank of New York Mellon Corp. (The) (1)		6,938		327,682
Baxter International, Inc. (1)		6,739		349,485
Berkshire Hathaway, Inc., Class B (1)*		4,337		722,891
Best Buy Co., Inc. (1)		9,083		446,429
Biogen, Inc. (1)*		1,535		419,700
Boeing Co. (The) (1)		7,205		1,274,276
Boston Properties, Inc., REIT (1)		709		93,879
Broadcom Ltd. (1)		180		39,413
Bunge Ltd. (1)		7,075		560,764
Campbell Soup Co. (1)		1,848		105,780
Capital One Financial Corp. (1)		5,391		467,184
CDK Global, Inc. (1)		2,482		161,355
Celanese Corp., Series A (1)		5,079		456,348

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

AQR Funds Semi-Annual Report March 2017

109

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
United States - 52.2% (continued)
Celgene Corp. (1)*		2,462	$	306,347
Centene Corp. (1)*		2,647		188,625
CenterPoint Energy, Inc. (1)		8,569		236,247
Chevron Corp. (1)		3,410		366,132
Cigna Corp. (1)		1,386		203,035
Cisco Systems, Inc. (1)		23,632		798,762
Citigroup, Inc. (1)		11,327		677,581
Citizens Financial Group, Inc. (1)		5,286		182,631
Comcast Corp., Class A (1)		9,200		345,828
Comerica, Inc. (1)		8,961		614,545
Conagra Brands, Inc. (1)		7,782		313,926
Crown Castle International Corp., REIT (1)		1,397		131,947
Cummins, Inc. (1)		4,524		684,029
Darden Restaurants, Inc. (1)		2,087		174,619
Delta Air Lines, Inc. (1)		23,009		1,057,494
Dick’s Sporting Goods, Inc. (1)		3,462		168,461
Discover Financial Services (1)		6,698		458,076
Dow Chemical Co. (The) (1)		1,949		123,839
DR Horton, Inc. (1)		4,707		156,790
DTE Energy Co. (1)		1,512		154,390
Eastman Chemical Co. (1)		6,337		512,030
Eaton Corp. plc (1)		2,845		210,957
eBay, Inc. (1)*		21,560		723,769
EI du Pont de Nemours & Co. (1)		3,282		263,643
Electronic Arts, Inc. (1)*		2,506		224,337
Equinix, Inc., REIT (1)		445		178,165
Equity Residential, REIT (1)		2,048		127,427
Essex Property Trust, Inc., REIT (1)		422		97,706
Everest Re Group Ltd. (1)		1,923		449,617
Exelon Corp. (1)		3,545		127,549
Exxon Mobil Corp. (1)		10,267		841,997
F5 Networks, Inc. (1)*		417		59,452
Facebook, Inc., Class A (1)*		8,221		1,167,793
Fifth Third Bancorp (1)		16,382		416,103
First Republic Bank (1)		773		72,515
Flex Ltd. (1)*		13,102		220,114
Foot Locker, Inc. (1)		2,711		202,810
General Dynamics Corp. (1)		2,378		445,162
General Motors Co. (1)		9,527		336,875
GGP, Inc., REIT (1)		3,709		85,975
Gilead Sciences, Inc. (1)		10,096		685,720
H&R Block, Inc. (1)		2,675		62,194
Hartford Financial Services Group, Inc. (The) (1)		3,189		153,295
HCP, Inc., REIT (1)		2,772		86,708
Hewlett Packard Enterprise Co. (1)		29,145		690,736
Home Depot, Inc. (The) (1)		2,781		408,334
Host Hotels & Resorts, Inc., REIT (1)		5,400		100,764
HP, Inc. (1)		38,323		685,215
Humana, Inc. (1)		707		145,741
Huntington Ingalls Industries, Inc. (1)		1,905		381,457
Ingersoll-Rand plc (1)		4,566		371,307
Ingredion, Inc. (1)		4,878		587,458
Intel Corp. (1)		19,152		690,813
International Business Machines Corp. (1)		1,869		325,468
Intuit, Inc. (1)		585		67,854
Jacobs Engineering Group, Inc. (1)		7,374		407,635
Johnson & Johnson (1)		10,628		1,323,717

INVESTMENTS	SHARES		VALUE
United States - 52.2% (continued)
JPMorgan Chase & Co. (1)		9,411	$	826,662
KeyCorp (1)		12,773		227,104
Kinder Morgan, Inc. (1)		5,953		129,418
KLA-Tencor Corp. (1)		1,011		96,116
L3 Technologies, Inc. (1)		3,992		659,838
Lam Research Corp. (1)		1,467		188,304
Las Vegas Sands Corp. (1)		9,057		516,883
Lear Corp. (1)		3,436		486,469
Level 3 Communications, Inc. (1)*		2,057		117,702
Lincoln National Corp. (1)		5,670		371,101
Lockheed Martin Corp. (1)		1,654		442,610
Lowe’s Cos., Inc. (1)		1,901		156,281
LyondellBasell Industries NV, Class A (1)		5,290		482,395
Mallinckrodt plc (1)*		3,543		157,912
ManpowerGroup, Inc. (1)		5,948		610,086
Marathon Petroleum Corp. (1)		7,431		375,563
Marvell Technology Group Ltd. (1)		23,027		351,392
Maxim Integrated Products, Inc. (1)		12,188		547,972
McKesson Corp. (1)		535		79,319
Merck & Co., Inc. (1)		17,238		1,095,303
Michael Kors Holdings Ltd. (1)*		6,274		239,102
Micron Technology, Inc. (1)*		12,490		360,961
Microsoft Corp. (1)		31,431		2,070,046
Monsanto Co. (1)		1,679		190,063
Morgan Stanley (1)		5,360		229,622
NetApp, Inc. (1)		3,391		141,913
Newmont Mining Corp. (1)		2,051		67,601
Norfolk Southern Corp. (1)		1,071		119,920
Northrop Grumman Corp. (1)		3,952		939,944
Nucor Corp. (1)		7,587		453,096
NVIDIA Corp. (1)		532		57,951
Oracle Corp. (1)		4,488		200,210
Parker-Hannifin Corp. (1)		1,605		257,314
PepsiCo, Inc. (1)		3,814		426,634
Pfizer, Inc. (1)		20,079		686,903
PG&E Corp. (1)		1,764		117,059
Phillips 66 (1)		2,710		214,686
Pinnacle West Capital Corp. (1)		1,186		98,889
PNC Financial Services Group, Inc. (The) (1)		16,823		2,022,798
Procter & Gamble Co. (The) (1)		8,297		745,485
Progressive Corp. (The) (1)		6,737		263,956
Prologis, Inc., REIT (1)		2,980		154,602
Prudential Financial, Inc. (1)		3,689		393,543
Public Storage, REIT (1)		654		143,167
PVH Corp. (1)		5,340		552,530
QUALCOMM, Inc. (1)		9,467		542,838
Quest Diagnostics, Inc. (1)		1,273		124,996
Raymond James Financial, Inc. (1)		1,746		133,150
Raytheon Co. (1)		4,215		642,787
Regions Financial Corp. (1)		9,194		133,589
Reinsurance Group of America, Inc. (1)		1,691		214,723
Republic Services, Inc. (1)		3,136		196,972
Reynolds American, Inc. (1)		3,275		206,390
Rite Aid Corp. (1)*		3,658		15,546
Robert Half International, Inc. (1)		4,059		198,201
Ross Stores, Inc. (1)		651		42,881
Shire plc		3,495		203,643

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

AQR Funds Semi-Annual Report March 2017

110

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
United States - 52.2% (continued)
Simon Property Group, Inc., REIT (1)		1,352	$	232,585
Skyworks Solutions, Inc. (1)		2,415		236,622
Southwest Airlines Co. (1)		17,770		955,315
SunTrust Banks, Inc. (1)		24,833		1,373,265
Synchrony Financial (1)		9,231		316,623
Synopsys, Inc. (1)*		3,460		249,570
TE Connectivity Ltd. (1)		2,784		207,547
TEGNA, Inc. (1)		3,944		101,045
Tesoro Corp. (1)		4,729		383,333
Texas Instruments, Inc. (1)		9,676		779,499
Textron, Inc. (1)		1,544		73,479
Time Warner, Inc. (1)		3,000		293,130
TJX Cos., Inc. (The) (1)		1,779		140,683
Travelers Cos., Inc. (The) (1)		4,849		584,498
Tyson Foods, Inc., Class A (1)		11,822		729,536
UGI Corp. (1)		17,541		866,525
Union Pacific Corp. (1)		6,030		638,698
United Continental Holdings, Inc. (1)*		15,910		1,123,882
United Rentals, Inc. (1)*		2,903		363,020
United Technologies Corp. (1)		2,240		251,350
United Therapeutics Corp. (1)*		2,166		293,233
UnitedHealth Group, Inc. (1)		9,481		1,554,979
Universal Health Services, Inc., Class B (1)		568		70,688
Unum Group (1)		14,058		659,180
US Bancorp (1)		10,022		516,133
Valeant Pharmaceuticals International, Inc. (1)*		1,474		16,282
Valero Energy Corp. (1)		8,712		577,518
Ventas, Inc., REIT (1)		2,800		182,112
Verizon Communications, Inc. (1)		10,482		510,997
Vornado Realty Trust, REIT (1)		729		73,126
Wal-Mart Stores, Inc. (1)		13,132		946,555
Walt Disney Co. (The) (1)		1,824		206,823
Waste Management, Inc. (1)		9,509		693,396
Wells Fargo & Co. (1)		27,353		1,522,468
Welltower, Inc., REIT (1)		1,800		127,476
WestRock Co. (1)		4,141		215,456
Weyerhaeuser Co., REIT (1)		3,285		111,624
Williams Cos., Inc. (The) (1)		10,141		300,072
				81,471,944
TOTAL COMMON STOCKS (cost $112,503,116)				135,724,284
SHORT-TERM INVESTMENT - 9.7%
Investment Company - 9.7%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $15,136,384) (d)		15,136,384		15,136,384

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 0.1%
Investment Company - 0.1%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $212,527) (d)(e)		212,527	$	212,527
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.9% (cost $127,852,027)				151,073,195
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.1% (f)			4,856,940
NET ASSETS - 100.0%			$	155,930,135

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	13,633,849		8.7	%
Consumer Staples		8,166,715		5.2
Energy		5,964,969		3.8
Financials		29,896,295		19.3
Health Care		12,318,421		7.9
Industrials		21,266,783		13.6
Information Technology		23,290,339		15.0
Materials		9,413,170		6.0
Real Estate		5,593,736		3.6
Telecommunication Services		1,962,782		1.3
Utilities		4,217,225		2.7
Short-Term Investment		15,136,384		9.7
Securities Lending Collateral		212,527		0.1
Total Investments In Securities At Value		151,073,195		96.9
Other Assets in Excess of Liabilities (f)		4,856,940		3.1
Net Assets	$	155,930,135		100.0	%

* Non-income producing security.

(a) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $1,835, which represents approximately 0.00% of net assets of the fund.

(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 3/31/2017 amounted to $1,371,963, which represents approximately 0.88% of net assets of the fund.

(c) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $202,374.

(d) Represents 7-day effective yield as of 3/31/2017.

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

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

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

AQR Funds Semi-Annual Report March 2017

111

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

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

(1) Level 1 security (See Note 4).

(3) Level 3 security (See Note 4).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

Total return swap contracts outstanding as of March 31, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Hang Seng Index April Futures	04/2017		HKD		30,459,769			$(38,090	)
GSIN	Swiss Market Index June Futures	06/2017		CHF		(9,417,401	)		(60,552	)
									$(98,642	)

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT MARCH 31, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
89	BARC	CAC40 Index Futures		04/2017		$4,714,043			$4,856,922			$142,879
44	BARC	DAX Index Futures		06/2017		14,107,871			14,468,421			360,550
131	BARC	FTSE 100 Index Futures		06/2017		11,958,557			11,941,271			(17,286	)
2	BARC	FTSE/MIB Index Futures		06/2017		203,771			213,904			10,133
19	BARC	Hang Seng Index Futures		04/2017		2,978,490			2,949,810			(28,680	)
19	BARC	MSCI Singapore Index Futures		04/2017		471,230			474,508			3,278
137	BARC	TOPIX Index Futures		06/2017		18,950,129			18,612,458			(337,671	)
						53,384,091			53,517,294			133,203
Short Contracts:
30	BARC	Amsterdam Index Futures		04/2017		$(3,259,007	)		$(3,297,692	)		$(38,685	)
26	BARC	IBEX 35 Index Futures		04/2017		(2,742,615	)		(2,888,177	)		(145,562	)
271	BARC	OMXS30 Index Futures		04/2017		(4,697,006	)		(4,785,253	)		(88,247	)
56	BARC	S&P 500 E-Mini Futures		06/2017		(6,631,790	)		(6,605,760	)		26,030
21	BARC	S&P/Toronto Stock Exchange 60 Index Futures		06/2017		(2,873,255	)		(2,880,641	)		(7,386	)
93	BARC	SPI 200 Index Futures		06/2017		(10,203,527	)		(10,387,802	)		(184,275	)
						(30,407,200	)		(30,845,325	)		(438,125	)
						$22,976,891			$22,671,969			$(304,922	)

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

AQR Funds Semi-Annual Report March 2017

112

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

Forward foreign currency exchange contracts outstanding as of March 31, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 06/21/17	CITG	AUD		3,118,800		$2,378,802		$2,379,297		$495
Australian Dollar, Expiring 06/21/17	JPMC	AUD		4,678,200		3,567,851		3,568,948		1,097
Canadian Dollar, Expiring 06/21/17	CITG	CAD		6,573,199		4,941,056		4,948,251		7,195
Canadian Dollar, Expiring 06/21/17	JPMC	CAD		9,859,799		7,411,592		7,422,380		10,788
Swiss Franc, Expiring 06/21/17	CITG	CHF		200,000		199,816		200,627		811
Danish Krone, Expiring 06/21/17	CITG	DKK		83,000		11,930		11,950		20
Euro, Expiring 06/21/17	CITG	EUR		2,409,200		2,607,122		2,579,887		(27,235	)
Euro, Expiring 06/21/17	JPMC	EUR		3,607,800		3,904,179		3,863,405		(40,774	)
British Pound, Expiring 06/21/17	CITG	GBP		2,332,399		2,919,102		2,927,878		8,776
British Pound, Expiring 06/21/17	JPMC	GBP		3,498,598		4,378,657		4,391,819		13,162
Hong Kong Dollar, Expiring 06/21/17	CITG	HKD		1,257,800		162,238		162,117		(121	)
Hong Kong Dollar, Expiring 06/21/17	JPMC	HKD		196,200		25,311		25,288		(23	)
Israeli Shekel, Expiring 06/21/17	CITG	ILS		573,200		156,533		158,637		2,104
Israeli Shekel, Expiring 06/21/17	JPMC	ILS		844,799		230,656		233,803		3,147
Japanese Yen, Expiring 06/21/17	CITG	JPY		1,083,504,200		9,636,566		9,762,821		126,255
Japanese Yen, Expiring 06/21/17	JPMC	JPY		1,592,572,800		14,168,512		14,349,737		181,225
Norwegian Krone, Expiring 06/21/17	CITG	NOK		35,702,401		4,244,877		4,161,551		(83,326	)
Norwegian Krone, Expiring 06/21/17	JPMC	NOK		53,553,600		6,367,323		6,242,326		(124,997	)
New Zealand Dollar, Expiring 06/21/17	CITG	NZD		2,053,201		1,457,311		1,436,370		(20,941	)
New Zealand Dollar, Expiring 06/21/17	JPMC	NZD		3,079,800		2,185,969		2,154,553		(31,416	)
Swedish Krona, Expiring 06/21/17	CITG	SEK		1,437,000		161,371		160,990		(381	)
Singapore Dollar, Expiring 06/21/17	CITG	SGD		400,400		284,090		286,410		2,320
Singapore Dollar, Expiring 06/21/17	JPMC	SGD		345,600		245,399		247,211		1,812
						$71,646,263		$71,676,256		$29,993

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

AQR Funds Semi-Annual Report March 2017

113

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT MARCH 31, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 06/21/17	CITG	AUD		(1,312,200	)		$(1,005,227	)		$(1,001,063	)		$4,164
Australian Dollar, Expiring 06/21/17	JPMC	AUD		(1,801,800	)		(1,381,116	)		(1,374,573	)		6,543
Canadian Dollar, Expiring 06/21/17	CITG	CAD		(936,600	)		(703,186	)		(705,065	)		(1,879	)
Canadian Dollar, Expiring 06/21/17	JPMC	CAD		(1,022,400	)		(769,977	)		(769,655	)		322
Swiss Franc, Expiring 06/21/17	CITG	CHF		(5,617,800	)		(5,589,884	)		(5,635,405	)		(45,521	)
Swiss Franc, Expiring 06/21/17	JPMC	CHF		(8,425,200	)		(8,383,319	)		(8,451,602	)		(68,283	)
Danish Krone, Expiring 06/21/17	CITG	DKK		(2,176,200	)		(311,698	)		(313,328	)		(1,630	)
Danish Krone, Expiring 06/21/17	JPMC	DKK		(1,939,800	)		(276,509	)		(279,291	)		(2,782	)
Euro, Expiring 06/21/17	CITG	EUR		(3,056,800	)		(3,247,148	)		(3,273,368	)		(26,220	)
Euro, Expiring 06/21/17	JPMC	EUR		(4,540,200	)		(4,822,507	)		(4,861,865	)		(39,358	)
British Pound, Expiring 06/21/17	CITG	GBP		(814,000	)		(1,012,864	)		(1,021,821	)		(8,957	)
British Pound, Expiring 06/21/17	JPMC	GBP		(1,113,000	)		(1,386,937	)		(1,397,158	)		(10,221	)
Hong Kong Dollar, Expiring 06/21/17	CITG	HKD		(973,600	)		(125,589	)		(125,488	)		101
Hong Kong Dollar, Expiring 06/21/17	JPMC	HKD		(1,460,400	)		(188,382	)		(188,233	)		149
Japanese Yen, Expiring 06/21/17	CITG	JPY		(1,780,000	)		(15,680	)		(16,039	)		(359	)
Japanese Yen, Expiring 06/21/17	JPMC	JPY		(2,670,000	)		(23,520	)		(24,058	)		(538	)
Norwegian Krone, Expiring 06/21/17	CITG	NOK		(19,136,800	)		(2,273,633	)		(2,230,628	)		43,005
Norwegian Krone, Expiring 06/21/17	JPMC	NOK		(28,705,200	)		(3,410,359	)		(3,345,942	)		64,417
New Zealand Dollar, Expiring 06/21/17	CITG	NZD		(3,543,200	)		(2,498,561	)		(2,478,737	)		19,824
New Zealand Dollar, Expiring 06/21/17	JPMC	NZD		(5,314,800	)		(3,747,737	)		(3,718,107	)		29,630
Swedish Krona, Expiring 06/21/17	CITG	SEK		(36,242,401	)		(4,043,732	)		(4,060,307	)		(16,575	)
Swedish Krona, Expiring 06/21/17	JPMC	SEK		(54,363,600	)		(6,065,592	)		(6,090,461	)		(24,869	)
Singapore Dollar, Expiring 06/21/17	CITG	SGD		(32,400	)		(22,958	)		(23,176	)		(218	)
Singapore Dollar, Expiring 06/21/17	JPMC	SGD		(48,600	)		(34,440	)		(34,764	)		(324	)
							(51,340,555	)		(51,420,134	)		(79,579	)
							$20,305,708			$20,256,122			$(49,586	)

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

AQR Funds Semi-Annual Report March 2017

114

Schedule of Investments March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY FUND

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

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$4,604,698		$4,604,698
CITG
Investment Companies		150,002		—		150,002
JPMC
Investment Companies		1,160,510		—		1,160,510

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

AQR Funds Semi-Annual Report March 2017

115

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 87.8%
Australia - 6.1%
AGL Energy Ltd.		16,952	$	341,466
Aristocrat Leisure Ltd.		68,106		934,859
ASX Ltd.		5,022		193,675
Aurizon Holdings Ltd.		135,219		542,218
Australia & New Zealand Banking Group Ltd.		145,795		3,540,001
Bendigo & Adelaide Bank Ltd.		26,750		247,835
BGP Holdings plc (3)*(a)		143,427		2,731
BHP Billiton Ltd.		92,900		1,689,495
Caltex Australia Ltd.		24,853		559,978
CIMIC Group Ltd.		121,440		3,332,154
Coca-Cola Amatil Ltd.		15,592		128,908
Computershare Ltd.		7,538		80,957
Dexus Property Group, REIT		23,093		172,357
Flight Centre Travel Group Ltd.		6,815		150,330
Fortescue Metals Group Ltd.		234,772		1,118,257
Goodman Group, REIT		54,028		319,434
GPT Group (The), REIT		55,477		218,338
LendLease Group		24,576		292,293
Macquarie Group Ltd.		5,665		390,300
Mirvac Group, REIT		104,753		175,254
National Australia Bank Ltd.		89,861		2,288,073
Newcrest Mining Ltd.		80,660		1,374,888
Orica Ltd.		28,377		381,422
Origin Energy Ltd. *		244,078		1,312,941
QBE Insurance Group Ltd.		166,129		1,635,513
Scentre Group, REIT		147,628		483,974
South32 Ltd.		1,344,658		2,834,756
Stockland, REIT		62,453		221,462
Suncorp Group Ltd.		23,033		232,437
Vicinity Centres, REIT		94,695		204,827
Westfield Corp., REIT		57,863		392,516
Woolworths Ltd.		5,750		116,415
				25,910,064
Belgium - 1.4%
Ageas		59,281		2,314,965
Groupe Bruxelles Lambert SA		1,290		117,072
KBC Group NV		23,473		1,556,095
UCB SA		12,821		994,502
Umicore SA		17,631		1,004,070
				5,986,704
China - 0.3%
BOC Hong Kong Holdings Ltd.		73,000		298,375
Yangzijiang Shipbuilding Holdings Ltd.		1,412,900		1,140,699
				1,439,074
Denmark - 1.9%
Danske Bank A/S		63,354		2,160,113
ISS A/S		10,280		388,633
TDC A/S		310,232		1,597,778
Vestas Wind Systems A/S		47,773		3,885,868
				8,032,392
Finland - 1.3%
Neste OYJ		61,290		2,396,613
Nokia OYJ		154,752		831,768

INVESTMENTS	SHARES		VALUE
Finland - 1.3% (continued)
Orion OYJ, Class B		42,997	$	2,242,910
				5,471,291
France - 8.7%
Arkema SA		13,019		1,281,601
Atos SE		49,377		6,102,041
BNP Paribas SA		81,578		5,428,532
Bouygues SA		3,483		141,566
Capgemini SA		14,695		1,356,431
Christian Dior SE		556		129,063
Cie de Saint-Gobain		28,497		1,462,091
Cie Generale des Etablissements Michelin		18,858		2,291,583
CNP Assurances		29,865		607,318
Eiffage SA		2,675		209,344
Klepierre, REIT		3,302		128,285
Lagardere SCA		24,072		708,085
Peugeot SA		186,575		3,749,691
Rexel SA		38,179		691,713
Sanofi		27,668		2,501,057
Schneider Electric SE		1,683		123,648
SEB SA		1,239		173,060
Societe Generale SA		82,735		4,191,797
Sodexo SA		7,325		860,661
Thales SA		33,199		3,206,895
TOTAL SA		13,664		690,898
Unibail-Rodamco SE, REIT		3,742		872,525
Valeo SA		6,811		453,079
				37,360,964
Germany - 8.7%
Allianz SE (Registered)		14,830		2,750,169
BASF SE		16,304		1,614,319
Bayer AG (Registered)		29,529		3,402,140
Brenntag AG		2,383		133,559
Covestro AG (b)		60,775		4,682,029
Deutsche Lufthansa AG (Registered)		38,797		629,398
Deutsche Post AG (Registered)		45,208		1,547,178
Deutsche Wohnen AG		9,934		327,142
E.ON SE		24,713		196,471
Evonik Industries AG		43,065		1,403,680
Fresenius SE & Co. KGaA		10,315		828,872
Hannover Rueck SE		11,907		1,372,064
HeidelbergCement AG		12,104		1,133,517
HOCHTIEF AG		2,817		465,532
Infineon Technologies AG		30,967		633,812
LANXESS AG		4,388		294,358
Linde AG		5,612		935,077
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		9,950		1,947,736
OSRAM Licht AG		60,108		3,769,451
Porsche Automobil Holding SE (Preference)		4,664		254,135
RWE AG *		166,307		2,756,034
SAP SE		8,678		851,381
Siemens AG (Registered)		40,212		5,507,927
Vonovia SE		7,064		248,878
				37,684,859

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

AQR Funds Semi-Annual Report March 2017

116

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Hong Kong - 3.4%
ASM Pacific Technology Ltd.		6,904	$	93,921
Cheung Kong Infrastructure Holdings Ltd.		17,827		140,000
Cheung Kong Property Holdings Ltd.		249,962		1,686,201
CLP Holdings Ltd.		35,000		366,397
Galaxy Entertainment Group Ltd.		26,000		142,406
Hang Lung Properties Ltd.		57,000		148,181
Hong Kong Exchanges & Clearing Ltd.		32,254		813,896
Hutchison Port Holdings Trust, Class U (1)		615,700		243,201
Kerry Properties Ltd.		479,500		1,663,219
Link REIT		67,882		475,768
New World Development Co. Ltd.		1,361,896		1,678,095
NWS Holdings Ltd.		42,000		76,681
PCCW Ltd.		64,000		37,755
Sino Land Co. Ltd.		554,000		971,519
Sun Hung Kai Properties Ltd.		109,000		1,602,328
WH Group Ltd. (b)		909,500		784,281
Wharf Holdings Ltd. (The)		148,000		1,271,917
Wheelock & Co. Ltd.		164,000		1,297,290
Yue Yuen Industrial Holdings Ltd.		304,109		1,195,042
				14,688,098
Italy - 1.6%
Assicurazioni Generali SpA		85,328		1,353,826
Enel SpA		281,005		1,322,260
Eni SpA		21,984		359,951
Ferrari NV		17,196		1,281,639
Leonardo SpA		13,207		187,282
Mediobanca SpA		115,746		1,043,599
Prysmian SpA		48,932		1,293,634
				6,842,191
Japan - 20.3%
Amada Holdings Co. Ltd.		114,500		1,310,682
Aozora Bank Ltd.		119,000		439,314
Asahi Kasei Corp.		91,000		884,195
Astellas Pharma, Inc.		242,100		3,193,039
Bandai Namco Holdings, Inc.		59,500		1,783,552
Brother Industries Ltd.		132,700		2,775,048
Daiichi Sankyo Co. Ltd.		66,200		1,493,544
Daikin Industries Ltd.		5,800		584,862
Daito Trust Construction Co. Ltd.		2,487		341,954
Daiwa House Industry Co. Ltd.		8,395		241,306
DeNA Co. Ltd.		30,000		610,742
FamilyMart UNY Holdings Co. Ltd.		3,000		179,001
Fuji Electric Co. Ltd.		47,000		279,890
FUJIFILM Holdings Corp.		18,343		719,006
Fujitsu Ltd.		343,000		2,105,465
Hitachi Chemical Co. Ltd.		96,500		2,680,632
Hitachi Construction Machinery Co. Ltd.		34,600		865,771
Hitachi High-Technologies Corp.		76,200		3,112,744
Hitachi Ltd.		80,000		434,380
Hoya Corp.		2,700		130,439
Hulic Co. Ltd.		8,000		75,513
Idemitsu Kosan Co. Ltd.		52,700		1,834,449
Japan Real Estate Investment Corp., REIT		41		217,648

INVESTMENTS	SHARES		VALUE
Japan - 20.3% (continued)
Japan Retail Fund Investment Corp., REIT		73	$	143,280
JTEKT Corp.		10,970		170,660
Kajima Corp.		118,000		771,845
Kaneka Corp.		19,000		142,105
Kao Corp.		2,100		115,325
Keyence Corp.		3,000		1,203,518
Konami Holdings Corp.		50,400		2,140,714
Konica Minolta, Inc.		54,900		492,431
Kyushu Financial Group, Inc.		21,300		130,458
Lion Corp.		53,000		955,168
Mazda Motor Corp.		59,600		860,320
Mitsubishi Corp.		68,100		1,475,903
Mitsubishi Electric Corp.		153,100		2,205,911
Mitsubishi Estate Co. Ltd.		38,020		692,978
Mitsubishi Gas Chemical Co., Inc.		130,200		2,711,854
Mitsubishi UFJ Financial Group, Inc.		380,891		2,399,296
Mitsui Chemicals, Inc.		351,000		1,738,945
Mitsui Fudosan Co. Ltd.		29,205		623,580
Mixi, Inc.		41,800		2,021,935
Mizuho Financial Group, Inc.		1,073,100		1,969,758
MS&AD Insurance Group Holdings, Inc.		67,500		2,155,991
NH Foods Ltd.		29,000		779,071
Nippon Building Fund, Inc., REIT		41		224,758
Nippon Express Co. Ltd.		347,000		1,786,104
Nippon Telegraph & Telephone Corp.		3,138		134,160
Nitori Holdings Co. Ltd.		1,400		177,799
Nitto Denko Corp.		6,200		479,632
Nomura Holdings, Inc.		36,500		225,947
Nomura Real Estate Holdings, Inc.		3,900		62,237
NTT DOCOMO, Inc.		39,500		922,414
Omron Corp.		5,900		259,239
ORIX Corp.		11,900		176,626
Resona Holdings, Inc.		635,300		3,415,295
Sega Sammy Holdings, Inc.		81,900		1,101,558
Seiko Epson Corp.		67,500		1,424,181
Sekisui House Ltd.		15,600		257,225
Shimamura Co. Ltd.		1,100		145,821
Shin-Etsu Chemical Co. Ltd.		11,500		999,572
Shinsei Bank Ltd.		338,000		622,807
Shionogi & Co. Ltd.		22,600		1,169,948
SoftBank Group Corp.		23,000		1,631,048
Sompo Holdings, Inc.		9,900		363,711
Sony Corp.		24,800		836,961
Start Today Co. Ltd.		13,900		308,910
Subaru Corp.		57,821		2,120,775
Sumitomo Dainippon Pharma Co. Ltd.		114,000		1,886,400
Sumitomo Electric Industries Ltd.		6,800		113,039
Sumitomo Heavy Industries Ltd.		379,000		2,649,691
Sumitomo Mitsui Financial Group, Inc.		70,836		2,578,343
Sumitomo Mitsui Trust Holdings, Inc.		43,400		1,503,893
Sumitomo Realty & Development Co. Ltd.		12,261		318,448
Suzuki Motor Corp.		31,500		1,308,312
Taiheiyo Cement Corp.		92,000		308,723
Taisei Corp.		35,000		255,960
TDK Corp.		15,200		965,123
Teijin Ltd.		25,000		472,061

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

AQR Funds Semi-Annual Report March 2017

117

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Japan - 20.3% (continued)
THK Co. Ltd.		9,100	$	229,562
Tokio Marine Holdings, Inc.		5,600		236,680
Tokyo Electron Ltd.		4,500		492,644
Tokyu Fudosan Holdings Corp.		12,883		70,122
Toyota Motor Corp.		28,678		1,556,580
Yamaha Corp.		6,800		188,121
Yokogawa Electric Corp.		47,100		742,806
				86,917,458
Macau - 0.1%
MGM China Holdings Ltd.		130,400		271,919
Netherlands - 4.0%
ABN AMRO Group NV, CVA (b)		36,597		887,424
Akzo Nobel NV		7,132		590,414
ASML Holding NV		9,553		1,267,615
ING Groep NV		120,945		1,826,786
Koninklijke Ahold Delhaize NV		41,173		879,860
Koninklijke DSM NV		16,382		1,107,902
Koninklijke Philips NV		66,937		2,150,303
NN Group NV		78,725		2,556,763
Randstad Holding NV		8,546		492,660
Royal Dutch Shell plc, Class B		113,163		3,110,785
Wolters Kluwer NV		56,656		2,351,359
				17,221,871
Singapore - 0.4%
Ascendas REIT		102,137		183,926
CapitaLand Commercial Trust, REIT		121,300		133,932
CapitaLand Mall Trust, REIT		120,594		169,789
Genting Singapore plc		914,400		666,811
Sembcorp Industries Ltd.		29,317		66,623
Singapore Exchange Ltd.		25,572		140,758
Singapore Technologies Engineering Ltd.		45,565		121,491
Wilmar International Ltd.		136,000		343,199
				1,826,529
South Africa - 0.9%
Investec plc		185,962		1,268,048
Mondi plc		107,790		2,604,353
				3,872,401
Spain - 3.2%
Banco Bilbao Vizcaya Argentaria SA		14,528		112,776
Banco de Sabadell SA		276,991		507,522
Banco Santander SA		688,662		4,215,515
Endesa SA		151,975		3,566,793
Mapfre SA		448,625		1,536,587
Repsol SA		234,289		3,629,817
				13,569,010
Sweden - 2.8%
Boliden AB		99,399		2,958,645
Electrolux AB, Series B (c)		60,393		1,676,620
Investor AB, Class B		9,454		397,512
Nordea Bank AB		27,617		315,078
Sandvik AB		39,549		590,741
Skanska AB, Class B		42,957		1,011,008
Svenska Cellulosa AB SCA, Class B		43,544		1,403,262

INVESTMENTS	SHARES		VALUE
Sweden - 2.8% (continued)
Swedish Match AB		91,825	$	2,984,209
Telefonaktiebolaget LM Ericsson, Class B		83,473		557,296
Volvo AB, Class B		7,655		112,927
				12,007,298
Switzerland - 8.7%
ABB Ltd. (Registered)		214,577		5,022,282
Actelion Ltd. *		2,873		809,425
Adecco Group AG (Registered)		19,486		1,383,592
Baloise Holding AG (Registered)		2,213		304,093
Coca-Cola HBC AG *		66,302		1,711,661
Dufry AG (Registered) *		1,738		264,628
Geberit AG (Registered)		1,571		676,961
LafargeHolcim Ltd. (Registered) *		2,305		135,994
Lonza Group AG (Registered) *		15,765		2,979,919
Nestle SA (Registered)		66,757		5,123,718
Novartis AG (Registered)		10,131		752,303
Partners Group Holding AG		3,326		1,787,437
Roche Holding AG		12,470		3,188,999
Sika AG		391		2,345,106
Swiss Life Holding AG (Registered) *		4,910		1,583,293
Swiss Re AG		25,623		2,301,358
Syngenta AG (Registered)		2,535		1,119,559
Wolseley plc		14,193		893,612
Zurich Insurance Group AG		17,737		4,733,308
				37,117,248
United Kingdom - 13.7%
3i Group plc		29,271		274,827
Aberdeen Asset Management plc		126,488		419,736
Anglo American plc *		61,269		936,129
Ashtead Group plc		78,412		1,623,072
Barclays plc		1,036,602		2,926,101
Barratt Developments plc		369,093		2,528,297
BP plc		359,966		2,072,006
British American Tobacco plc		7,690		510,201
British Land Co. plc (The), REIT		28,168		215,318
BT Group plc		258,120		1,030,704
Centrica plc		257,130		700,162
Compass Group plc		47,848		903,380
Diageo plc		34,801		996,534
Dixons Carphone plc		73,561		292,986
Fiat Chrysler Automobiles NV		203,809		2,226,680
GKN plc		71,116		323,917
GlaxoSmithKline plc		207,071		4,305,615
Hammerson plc, REIT		24,134		172,567
HSBC Holdings plc		595,116		4,854,271
Imperial Brands plc		14,262		691,189
InterContinental Hotels Group plc		16,383		802,422
Kingfisher plc		262,850		1,075,476
Land Securities Group plc, REIT		22,984		305,256
Lloyds Banking Group plc		2,271,717		1,889,344
London Stock Exchange Group plc		8,751		348,154
Persimmon plc		198,405		5,205,475
Randgold Resources Ltd.		1,836		160,430
Reckitt Benckiser Group plc		20,964		1,913,839
RELX plc		31,122		609,311
Rio Tinto Ltd.		12,593		581,449

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

AQR Funds Semi-Annual Report March 2017

118

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
United Kingdom - 13.7% (continued)
Rio Tinto plc		16,620	$	669,249
Royal Mail plc		480,854		2,561,048
Sage Group plc (The)		214,995		1,698,341
Sky plc		35,934		439,466
Standard Chartered plc *		153,409		1,467,346
Tate & Lyle plc		354,313		3,395,249
Taylor Wimpey plc		638,619		1,544,681
Unilever plc		37,592		1,854,310
William Hill plc		369,865		1,348,833
Wm Morrison Supermarkets plc		342,240		1,029,896
WPP plc		82,356		1,805,168
				58,708,435
United States - 0.3%
Shire plc		25,194		1,467,981
TOTAL COMMON STOCKS (cost $338,354,635)				376,395,787
SHORT-TERM INVESTMENTS - 8.9%
Investment Companies - 8.9%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62% (e)(f)		30,753,057		30,753,057
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.56% (d)(e)		7,238,723		7,238,723
TOTAL SHORT-TERM INVESTMENTS (cost $37,991,780)				37,991,780
SECURITIES LENDING COLLATERAL - 0.4%
Investment Company - 0.4%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58%
(cost $1,631,172) (d)(f)		1,631,172		1,631,172
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.1% (cost $377,977,587)				416,018,739
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.9% (g)			12,507,444
NET ASSETS - 100.0%			$	428,526,183

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	44,459,364		10.4	%
Consumer Staples		25,895,295		6.0
Energy		15,967,438		3.7
Financials		87,358,275		20.5
Health Care		31,347,095		7.3
Industrials		61,232,503		14.3
Information Technology		32,973,540		7.7
Materials		43,374,419		10.1
Real Estate		19,044,416		4.4
Telecommunication Services		5,353,860		1.2
Utilities		9,389,582		2.2
Short-Term Investments		37,991,780		8.9
Securities Lending Collateral		1,631,172		0.4
Total Investments In Securities At Value	416,018,739		97.1
Other Assets in Excess of Liabilities (g)		12,507,444		2.9
NET ASSETS	$	428,526,183		100.0	%

* Non-income producing security.

(a) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $2,731, which represents approximately 0.00% of net assets of the fund.

(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 3/31/2017 amounted to $6,353,734, which represents approximately 1.48% of net assets of the fund.

(c) The security or a portion of this security is on loan at 3/31/2017. The total value of securities on loan at 3/31/2017 was $1,553,252.

(d) Represents 7-day effective yield as of 3/31/2017.

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

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

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

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

(1) Level 1 security (See Note 4).

(3) Level 3 security (See Note 4).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

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

AQR Funds Semi-Annual Report March 2017

119

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Total return swap contracts outstanding as of March 31, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Hang Seng Index April Futures	04/2017	HKD		35,327,177			$(43,392	)
GSIN	Swiss Market Index June Futures	06/2017	CHF		(31,728,882	)		(205,895	)
								$(249,287	)

Open futures contracts outstanding at March 31, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT MARCH 31, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
2	BARC	CAC40 Index Futures		04/2017		$105,806			$109,145			$3,339
118	BARC	DAX Index Futures		06/2017		37,837,385			38,801,676			964,291
60	BARC	FTSE 100 Index Futures		06/2017		5,457,134			5,469,284			12,150
26	BARC	FTSE/MIB Index Futures		06/2017		2,652,155			2,780,753			128,598
80	BARC	Hang Seng Index Futures		04/2017		12,539,937			12,420,253			(119,684	)
97	BARC	MSCI Singapore Index Futures		04/2017		2,405,778			2,422,486			16,708
526	BARC	TOPIX Index Futures		06/2017		72,689,034			71,460,971			(1,228,063	)
						133,687,229			133,464,568			(222,661	)
Short Contracts:
120	BARC	Amsterdam Index Futures		04/2017		$(13,030,265	)		$(13,190,768	)		$(160,503	)
114	BARC	IBEX 35 Index Futures		04/2017		(12,040,422	)		(12,663,548	)		(623,126	)
621	BARC	OMXS30 Index Futures		04/2017		(10,761,816	)		(10,965,468	)		(203,652	)
224	BARC	SPI 200 Index Futures		06/2017		(24,578,165	)		(25,020,081	)		(441,916	)
						(60,410,668	)		(61,839,865	)		(1,429,197	)
						$73,276,561			$71,624,703			$(1,651,858	)

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

AQR Funds Semi-Annual Report March 2017

120

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Forward foreign currency exchange contracts outstanding as of March 31, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT MARCH 31, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 06/21/17	CITG	AUD		9,710,840		$7,367,270		$7,408,293		$41,023
Australian Dollar, Expiring 06/21/17	JPMC	AUD		14,566,260		11,051,563		11,112,438		60,875
Swiss Franc, Expiring 06/21/17	CITG	CHF		237,400		238,411		238,144		(267	)
Swiss Franc, Expiring 06/21/17	JPMC	CHF		213,600		216,261		214,269		(1,992	)
Danish Krone, Expiring 06/21/17	CITG	DKK		2,515,000		360,884		362,109		1,225
Euro, Expiring 06/21/17	CITG	EUR		7,771,000		8,391,036		8,321,559		(69,477	)
Euro, Expiring 06/21/17	JPMC	EUR		10,437,000		11,294,031		11,176,440		(117,591	)
British Pound, Expiring 06/21/17	CITG	GBP		8,924,800		11,070,094		11,203,372		133,278
British Pound, Expiring 06/21/17	JPMC	GBP		12,130,200		15,053,310		15,227,137		173,827
Hong Kong Dollar, Expiring 06/21/17	CITG	HKD		6,846,600		883,041		882,461		(580	)
Hong Kong Dollar, Expiring 06/21/17	JPMC	HKD		8,081,400		1,042,371		1,041,614		(757	)
Israeli Shekel, Expiring 06/21/17	CITG	ILS		4,509,000		1,231,067		1,247,897		16,830
Israeli Shekel, Expiring 06/21/17	JPMC	ILS		6,447,000		1,760,791		1,784,249		23,458
Japanese Yen, Expiring 06/21/17	CITG	JPY		4,115,723,120		36,583,657		37,084,360		500,703
Japanese Yen, Expiring 06/21/17	JPMC	JPY		6,173,584,680		54,875,557		55,626,540		750,983
Norwegian Krone, Expiring 06/21/17	CITG	NOK		110,210,400		13,103,589		12,846,368		(257,221	)
Norwegian Krone, Expiring 06/21/17	JPMC	NOK		165,315,600		19,655,408		19,269,553		(385,855	)
Swedish Krona, Expiring 06/21/17	CITG	SEK		3,587,600		400,248		401,926		1,678
Swedish Krona, Expiring 06/21/17	JPMC	SEK		2,006,400		225,046		224,781		(265	)
Singapore Dollar, Expiring 06/21/17	CITG	SGD		1,477,120		1,048,662		1,056,597		7,935
Singapore Dollar, Expiring 06/21/17	JPMC	SGD		2,193,180		1,557,029		1,568,805		11,776
						$197,409,326		$198,298,912		$889,586

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

AQR Funds Semi-Annual Report March 2017

121

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT MARCH 31, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 06/21/17	CITG	AUD		(5,897,000	)		$(4,516,740	)		$(4,498,756	)		$17,984
Australian Dollar, Expiring 06/21/17	JPMC	AUD		(7,332,000	)		(5,620,126	)		(5,593,502	)		26,624
Swiss Franc, Expiring 06/21/17	CITG	CHF		(14,148,320	)		(14,099,073	)		(14,192,656	)		(93,583	)
Swiss Franc, Expiring 06/21/17	JPMC	CHF		(18,945,480	)		(18,857,832	)		(19,004,849	)		(147,017	)
Danish Krone, Expiring 06/21/17	CITG	DKK		(6,373,200	)		(916,680	)		(917,610	)		(930	)
Danish Krone, Expiring 06/21/17	JPMC	DKK		(3,679,800	)		(524,537	)		(529,816	)		(5,279	)
Euro, Expiring 06/21/17	CITG	EUR		(16,095,040	)		(17,196,839	)		(17,235,342	)		(38,503	)
Euro, Expiring 06/21/17	JPMC	EUR		(20,431,560	)		(21,768,655	)		(21,879,094	)		(110,439	)
British Pound, Expiring 06/21/17	CITG	GBP		(7,226,081	)		(9,002,511	)		(9,070,958	)		(68,447	)
British Pound, Expiring 06/21/17	JPMC	GBP		(7,972,619	)		(9,915,879	)		(10,008,093	)		(92,214	)
Hong Kong Dollar, Expiring 06/21/17	CITG	HKD		(11,472,000	)		(1,479,646	)		(1,478,629	)		1,017
Hong Kong Dollar, Expiring 06/21/17	JPMC	HKD		(3,594,000	)		(463,609	)		(463,232	)		377
Israeli Shekel, Expiring 06/21/17	CITG	ILS		(203,600	)		(55,994	)		(56,348	)		(354	)
Israeli Shekel, Expiring 06/21/17	JPMC	ILS		(149,400	)		(40,881	)		(41,348	)		(467	)
Japanese Yen, Expiring 06/21/17	CITG	JPY		(358,444,400	)		(3,229,225	)		(3,229,731	)		(506	)
Japanese Yen, Expiring 06/21/17	JPMC	JPY		(41,700,600	)		(372,633	)		(375,740	)		(3,107	)
Norwegian Krone, Expiring 06/21/17	CITG	NOK		(103,450,000	)		(12,316,829	)		(12,058,361	)		258,468
Norwegian Krone, Expiring 06/21/17	JPMC	NOK		(155,175,000	)		(18,472,154	)		(18,087,541	)		384,613
Swedish Krona, Expiring 06/21/17	CITG	SEK		(44,383,600	)		(4,961,605	)		(4,972,381	)		(10,776	)
Swedish Krona, Expiring 06/21/17	JPMC	SEK		(59,963,400	)		(6,692,051	)		(6,717,817	)		(25,766	)
Singapore Dollar, Expiring 06/21/17	CITG	SGD		(126,000	)		(89,243	)		(90,129	)		(886	)
Singapore Dollar, Expiring 06/21/17	JPMC	SGD		(189,000	)		(133,874	)		(135,193	)		(1,319	)
							(150,726,616	)		(150,637,126	)		89,490
							$46,682,710			$47,661,786			$979,076

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

AQR Funds Semi-Annual Report March 2017

122

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED		TOTAL
BARC
Cash		$—			$11,862,447		$11,862,447
CITG
Cash		(270,000	)		—		(270,000	)
GSIN
Investment Companies		7,238,723			—		7,238,723
JPMC
Investment Companies		3,531,472			—		3,531,472

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

AQR Funds Semi-Annual Report March 2017

123

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 129.5%
COMMON STOCKS - 121.0%
Aerospace & Defense - 4.7%
Boeing Co. (The) (a)		229	$	40,501
Curtiss-Wright Corp.		240		21,902
Esterline Technologies Corp. *		276		23,750
Huntington Ingalls Industries, Inc.		77		15,418
L3 Technologies, Inc.		119		19,670
Northrop Grumman Corp.		40		9,514
Raytheon Co.		65		9,912
Spirit AeroSystems Holdings, Inc., Class A (a)		704		40,776
Textron, Inc.		45		2,142
United Technologies Corp.		106		11,894
				195,479
Air Freight & Logistics - 0.1%
FedEx Corp.		11		2,147
Airlines - 1.8%
Copa Holdings SA, Class A (Panama)		64		7,184
Delta Air Lines, Inc.		366		16,822
JetBlue Airways Corp. *		688		14,180
Southwest Airlines Co.		36		1,935
United Continental Holdings, Inc. *(a)		474		33,483
				73,604
Auto Components - 1.2%
Dana, Inc.		170		3,283
Goodyear Tire & Rubber Co. (The)		202		7,272
Lear Corp. (a)		269		38,085
				48,640
Automobiles - 0.8%
Ford Motor Co.		715		8,323
General Motors Co.		736		26,025
				34,348
Banks - 9.7%
BancorpSouth, Inc.		252		7,623
Bank of America Corp. (a)		1,899		44,797
BB&T Corp.		117		5,230
Citigroup, Inc.		470		28,115
Citizens Financial Group, Inc.		201		6,945
Comerica, Inc.		244		16,734
Commerce Bancshares, Inc.		205		11,513
Cullen/Frost Bankers, Inc.		76		6,762
East West Bancorp, Inc.		66		3,406
Fifth Third Bancorp		216		5,486
Fulton Financial Corp.		213		3,802
Hancock Holding Co.		79		3,598
Huntington Bancshares, Inc.		298		3,990
JPMorgan Chase & Co. (a)		519		45,589
KeyCorp		511		9,086
PNC Financial Services Group, Inc. (The) (a)		386		46,413
Popular, Inc.		854		34,783
Regions Financial Corp.		413		6,001
SunTrust Banks, Inc. (a)		635		35,116
Umpqua Holdings Corp.		196		3,477
US Bancorp		208		10,712
Wells Fargo & Co. (a)		1,036		57,664

INVESTMENTS	SHARES		VALUE
Banks - 9.7% (continued)
Zions Bancorp		152	$	6,384
				403,226
Biotechnology - 2.6%
Alexion Pharmaceuticals, Inc. *		21		2,546
Amgen, Inc.		94		15,423
Biogen, Inc. *		58		15,858
Celgene Corp. *		136		16,923
Gilead Sciences, Inc. (a)		560		38,035
United Therapeutics Corp. *		145		19,630
				108,415
Building Products - 0.4%
Masco Corp.		39		1,325
Owens Corning		232		14,238
				15,563
Capital Markets - 2.4%
Ameriprise Financial, Inc.		89		11,542
Bank of New York Mellon Corp. (The)		574		27,110
E*TRADE Financial Corp. *		146		5,094
Franklin Resources, Inc.		125		5,267
Goldman Sachs Group, Inc. (The)		74		16,999
Invesco Ltd.		94		2,879
Morgan Stanley		482		20,649
S&P Global, Inc.		24		3,138
State Street Corp.		88		7,006
				99,684
Chemicals - 5.7%
AdvanSix, Inc. *		427		11,666
Cabot Corp. (a)		773		46,310
Celanese Corp., Series A		257		23,091
Dow Chemical Co. (The)		308		19,570
Eastman Chemical Co. (a)		410		33,128
EI du Pont de Nemours & Co.		120		9,640
Huntsman Corp. (a)		1,916		47,019
LyondellBasell Industries NV, Class A		330		30,093
Monsanto Co.		74		8,377
PolyOne Corp.		80		2,727
PPG Industries, Inc.		52		5,464
				237,085
Commercial Services & Supplies - 0.9%
Herman Miller, Inc.		269		8,487
LSC Communications, Inc.		626		15,750
Waste Management, Inc.		207		15,095
				39,332
Communications Equipment - 1.9%
Cisco Systems, Inc. (a)		1,224		41,371
CommScope Holding Co., Inc. *		450		18,770
F5 Networks, Inc. *		4		570
InterDigital, Inc.		160		13,808
Juniper Networks, Inc.		139		3,868
				78,387
Construction & Engineering - 0.6%
Chicago Bridge & Iron Co. NV		123		3,782
EMCOR Group, Inc.		115		7,239

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

AQR Funds Semi-Annual Report March 2017

124

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Construction & Engineering - 0.6% (continued)
Jacobs Engineering Group, Inc.		234	$	12,936
Quanta Services, Inc. *		11		408
				24,365
Consumer Finance - 0.8%
American Express Co.		15		1,187
Capital One Financial Corp.		277		24,005
Discover Financial Services		64		4,377
Synchrony Financial		128		4,390
				33,959
Containers & Packaging - 1.5%
Avery Dennison Corp.		125		10,075
Crown Holdings, Inc. *		193		10,219
Graphic Packaging Holding Co.		331		4,260
Greif, Inc., Class A		158		8,704
International Paper Co.		111		5,637
Silgan Holdings, Inc.		133		7,895
WestRock Co.		264		13,736
				60,526
Diversified Consumer Services - 0.2%
DeVry Education Group, Inc.		261		9,252
Diversified Financial Services - 1.2%
Berkshire Hathaway, Inc., Class B *(a)		300		50,004
Diversified Telecommunication Services - 0.7%
AT&T, Inc.		360		14,958
CenturyLink, Inc.		172		4,054
Verizon Communications, Inc.		178		8,678
				27,690
Electric Utilities - 2.2%
American Electric Power Co., Inc.		173		11,613
Duke Energy Corp.		7		574
Edison International		137		10,907
Entergy Corp.		34		2,583
FirstEnergy Corp.		216		6,873
Great Plains Energy, Inc.		196		5,727
Hawaiian Electric Industries, Inc.		613		20,419
IDACORP, Inc.		6		498
PG&E Corp.		417		27,672
Pinnacle West Capital Corp.		29		2,418
Xcel Energy, Inc.		47		2,089
				91,373
Electrical Equipment - 0.7%
Eaton Corp. plc		143		10,604
EnerSys		230		18,156
Hubbell, Inc.		17		2,041
				30,801
Electronic Equipment, Instruments & Components - 2.3%
Arrow Electronics, Inc. *		283		20,775
Belden, Inc.		94		6,504
Corning, Inc.		408		11,016
Dolby Laboratories, Inc., Class A		315		16,509
Flex Ltd. *		298		5,007
FLIR Systems, Inc.		33		1,197

INVESTMENTS	SHARES		VALUE
Electronic Equipment, Instruments & Components - 2.3% (continued)
Jabil Circuit, Inc.		302	$	8,734
Keysight Technologies, Inc. *		74		2,674
SYNNEX Corp.		12		1,343
Tech Data Corp. *		192		18,029
Vishay Intertechnology, Inc.		200		3,290
				95,078
Energy Equipment & Services - 2.5%
Baker Hughes, Inc.		40		2,393
Diamond Offshore Drilling, Inc. *		645		10,778
Dril-Quip, Inc. *		122		6,655
Ensco plc, Class A		459		4,108
Halliburton Co.		358		17,617
Nabors Industries Ltd.		923		12,063
Oceaneering International, Inc.		746		20,202
Oil States International, Inc. *		59		1,956
Rowan Cos. plc, Class A *		495		7,712
Schlumberger Ltd.		239		18,666
				102,150
Equity Real Estate Investment Trusts (REITs) - 2.7%
American Tower Corp.		67		8,143
AvalonBay Communities, Inc.		15		2,754
Boston Properties, Inc.		30		3,972
Crown Castle International Corp.		36		3,400
Digital Realty Trust, Inc.		43		4,575
Equinix, Inc.		13		5,205
Equity Residential		120		7,466
GGP, Inc.		125		2,898
HCP, Inc.		139		4,348
Host Hotels & Resorts, Inc.		349		6,512
Kimco Realty Corp.		99		2,187
Prologis, Inc.		235		12,192
Public Storage		48		10,508
Realty Income Corp.		36		2,143
Simon Property Group, Inc.		59		10,150
SL Green Realty Corp.		21		2,239
Ventas, Inc.		136		8,845
Vornado Realty Trust		34		3,411
Welltower, Inc.		51		3,612
Weyerhaeuser Co.		181		6,150
				110,710
Food & Staples Retailing - 1.0%
CVS Health Corp.		124		9,734
Wal-Mart Stores, Inc.		425		30,634
				40,368
Food Products - 1.8%
Archer-Daniels-Midland Co.		591		27,210
Bunge Ltd.		225		17,833
Dean Foods Co.		75		1,474
Ingredion, Inc.		64		7,708
Tyson Foods, Inc., Class A		341		21,043
				75,268
Gas Utilities - 1.1%
National Fuel Gas Co.		40		2,385
Southwest Gas Holdings, Inc.		165		13,680

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

AQR Funds Semi-Annual Report March 2017

125

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Gas Utilities - 1.1% (continued)
UGI Corp.		571	$	28,207
				44,272
Health Care Equipment & Supplies - 1.8%
Abbott Laboratories		66		2,931
Baxter International, Inc. (a)		792		41,073
Boston Scientific Corp. *		261		6,491
Danaher Corp.		52		4,448
Hill-Rom Holdings, Inc.		89		6,283
Medtronic plc		177		14,259
Zimmer Biomet Holdings, Inc.		6		733
				76,218
Health Care Providers & Services - 6.1%
Aetna, Inc. (a)		361		46,046
Anthem, Inc. (a)		320		52,922
Centene Corp. *		175		12,470
Cigna Corp.		23		3,369
Express Scripts Holding Co. *		280		18,455
HCA Holdings, Inc. *		47		4,182
Humana, Inc.		107		22,057
McKesson Corp.		73		10,823
UnitedHealth Group, Inc. (a)		196		32,146
Universal Health Services, Inc., Class B		69		8,587
WellCare Health Plans, Inc. *(a)		300		42,063
				253,120
Hotels, Restaurants & Leisure - 2.1%
Buffalo Wild Wings, Inc. *		53		8,096
Cheesecake Factory, Inc. (The)		8		507
Darden Restaurants, Inc.		15		1,255
Hyatt Hotels Corp., Class A *		529		28,555
International Game Technology plc		945		22,396
Las Vegas Sands Corp.		358		20,431
Wyndham Worldwide Corp.		78		6,575
				87,815
Household Durables - 1.7%
DR Horton, Inc.		667		22,218
KB Home		731		14,532
NVR, Inc. *		5		10,534
Toll Brothers, Inc. *		293		10,580
Tupperware Brands Corp.		26		1,631
Whirlpool Corp.		72		12,336
				71,831
Household Products - 0.7%
Procter & Gamble Co. (The)		312		28,033
Industrial Conglomerates - 0.6%
Carlisle Cos., Inc.		106		11,279
General Electric Co.		346		10,311
Honeywell International, Inc.		30		3,746
				25,336
Insurance - 4.9%
Aflac, Inc.		282		20,422
Allied World Assurance Co. Holdings AG		14		743
Allstate Corp. (The)		254		20,698
American International Group, Inc.		98		6,118

INVESTMENTS	SHARES		VALUE
Insurance - 4.9% (continued)
Aspen Insurance Holdings Ltd.		11	$	573
Assurant, Inc.		37		3,540
Assured Guaranty Ltd.		692		25,680
CNO Financial Group, Inc.		49		1,005
First American Financial Corp.		415		16,301
Hartford Financial Services Group, Inc. (The)		409		19,661
Lincoln National Corp.		229		14,988
MetLife, Inc.		214		11,304
Old Republic International Corp.		413		8,458
Prudential Financial, Inc.		113		12,055
Reinsurance Group of America, Inc.		41		5,206
Travelers Cos., Inc. (The)		120		14,465
Unum Group		455		21,335
				202,552
Internet & Direct Marketing Retail - 0.9%
Amazon.com, Inc. *(a)		43		38,121
Internet Software & Services - 3.8%
Akamai Technologies, Inc. *		260		15,522
Alphabet, Inc., Class A *		36		30,521
Alphabet, Inc., Class C *(a)		47		38,989
eBay, Inc. *		900		30,213
Facebook, Inc., Class A *(a)		239		33,950
IAC/InterActiveCorp. *		32		2,359
Yelp, Inc. *		212		6,943
				158,497
IT Services - 2.3%
Accenture plc, Class A		25		2,997
Booz Allen Hamilton Holding Corp.		217		7,680
Cognizant Technology Solutions Corp., Class A *		161		9,583
Convergys Corp.		690		14,593
CoreLogic, Inc. *		209		8,510
DST Systems, Inc.		83		10,168
International Business Machines Corp.		93		16,195
NeuStar, Inc., Class A *		299		9,912
Science Applications International Corp.		101		7,514
Teradata Corp. *		203		6,317
				93,469
Leisure Products - 0.4%
Brunswick Corp.		282		17,258
Life Sciences Tools & Services - 1.0%
Agilent Technologies, Inc.		181		9,569
Bruker Corp.		614		14,325
Thermo Fisher Scientific, Inc.		13		1,997
Waters Corp. *		112		17,507
				43,398
Machinery - 4.4%
Crane Co.		326		24,395
Cummins, Inc. (a)		247		37,346
Dover Corp.		13		1,045
Ingersoll-Rand plc		320		26,022
ITT, Inc.		162		6,645
Oshkosh Corp. (a)		476		32,649
Parker-Hannifin Corp.		121		19,399

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

AQR Funds Semi-Annual Report March 2017

126

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Machinery - 4.4% (continued)
Stanley Black & Decker, Inc.		101	$	13,420
Timken Co. (The)		447		20,204
Woodward, Inc.		28		1,902
				183,027
Media - 1.9%
AMC Networks, Inc., Class A *		97		5,692
CBS Corp. (Non-Voting), Class B		157		10,889
Comcast Corp., Class A		539		20,261
Interpublic Group of Cos., Inc. (The)		265		6,511
Time Warner, Inc.		107		10,455
Time, Inc. (2)		175		3,386
Twenty-First Century Fox, Inc., Class A		145		4,697
Walt Disney Co. (The)		144		16,328
				78,219
Metals & Mining - 2.5%
Commercial Metals Co.		525		10,043
Freeport-McMoRan, Inc. *		378		5,050
Newmont Mining Corp.		90		2,967
Nucor Corp.		230		13,736
Reliance Steel & Aluminum Co.		310		24,806
Steel Dynamics, Inc.		588		20,439
United States Steel Corp.		358		12,104
Worthington Industries, Inc.		357		16,097
				105,242
Mortgage Real Estate Investment Trusts (REITs) - 0.4%
Annaly Capital Management, Inc.		1,408		15,643
Multiline Retail - 0.2%
Dillard’s, Inc., Class A		89		4,649
Macy’s, Inc.		98		2,905
				7,554
Multi-Utilities - 2.1%
Ameren Corp.		225		12,283
CenterPoint Energy, Inc.		625		17,231
Consolidated Edison, Inc.		65		5,048
DTE Energy Co.		208		21,239
MDU Resources Group, Inc.		45		1,232
Public Service Enterprise Group, Inc.		472		20,933
SCANA Corp.		47		3,071
Vectren Corp.		134		7,854
				88,891
Oil, Gas & Consumable Fuels - 7.0%
Anadarko Petroleum Corp.		266		16,492
Apache Corp.		217		11,152
Chevron Corp.		284		30,493
Cimarex Energy Co.		19		2,270
ConocoPhillips(a)		796		39,697
Devon Energy Corp.		161		6,717
Enbridge, Inc. (Canada)		61		2,552
Energen Corp. *		160		8,710
EOG Resources, Inc.		151		14,730
Exxon Mobil Corp. (a)		651		53,389
HollyFrontier Corp.		23		652
Kinder Morgan, Inc.		622		13,522
Marathon Oil Corp.		296		4,677

INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 7.0% (continued)
Marathon Petroleum Corp.		147	$	7,429
Murphy Oil Corp.		299		8,549
Occidental Petroleum Corp.		24		1,521
Pioneer Natural Resources Co.		14		2,607
QEP Resources, Inc. *		315		4,004
Range Resources Corp.		84		2,444
Rice Energy, Inc. *		166		3,934
Southwestern Energy Co. *		1,612		13,170
Tesoro Corp.		103		8,349
Valero Energy Corp.		322		21,345
Williams Cos., Inc. (The)		179		5,297
World Fuel Services Corp.		221		8,011
				291,713
Personal Products - 0.2%
Nu Skin Enterprises, Inc., Class A		127		7,054
Pharmaceuticals - 3.5%
Jazz Pharmaceuticals plc *		4		580
Johnson & Johnson(a)		528		65,762
Mallinckrodt plc *		112		4,992
Merck & Co., Inc. (a)		666		42,318
Pfizer, Inc.		913		31,234
				144,886
Professional Services - 0.6%
FTI Consulting, Inc. *		45		1,853
ManpowerGroup, Inc.		208		21,334
				23,187
Road & Rail - 2.2%
Hertz Global Holdings, Inc. *		64		1,123
Kansas City Southern		164		14,065
Norfolk Southern Corp.		221		24,745
Ryder System, Inc.		121		9,128
Union Pacific Corp. (a)		406		43,003
				92,064
Semiconductors & Semiconductor Equipment - 4.7%
Advanced Micro Devices, Inc. *		129		1,877
Applied Materials, Inc. (a)		935		36,372
Cirrus Logic, Inc. *		173		10,499
Intel Corp.		586		21,137
KLA-Tencor Corp.		51		4,849
Lam Research Corp.		20		2,567
Marvell Technology Group Ltd.		68		1,038
Maxim Integrated Products, Inc.		142		6,384
Micron Technology, Inc. *		599		17,311
NVIDIA Corp.		52		5,664
QUALCOMM, Inc.		535		30,677
Synaptics, Inc. *		352		17,428
Teradyne, Inc.		247		7,682
Texas Instruments, Inc.		233		18,770
Versum Materials, Inc. *		467		14,290
				196,545
Software - 4.7%
Activision Blizzard, Inc.		220		10,969
Adobe Systems, Inc. *		9		1,171
CA, Inc.		204		6,471

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

AQR Funds Semi-Annual Report March 2017

127

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Software - 4.7% (continued)
Citrix Systems, Inc. *		97	$	8,089
CommVault Systems, Inc. *		194		9,855
Electronic Arts, Inc. *		116		10,384
Fortinet, Inc. *		213		8,169
Microsoft Corp. (a)		1,367		90,031
Nuance Communications, Inc. *		278		4,812
Oracle Corp.		433		19,316
VMware, Inc., Class A *		85		7,832
Zynga, Inc., Class A *		6,204		17,681
				194,780
Specialty Retail - 1.6%
American Eagle Outfitters, Inc.		46		645
Best Buy Co., Inc.		388		19,070
Chico’s FAS, Inc.		294		4,175
Dick’s Sporting Goods, Inc.		138		6,715
GameStop Corp., Class A		610		13,756
Home Depot, Inc. (The)		25		3,671
Lowe’s Cos., Inc.		40		3,288
Office Depot, Inc.		368		1,717
Staples, Inc.		272		2,385
TJX Cos., Inc. (The)		17		1,344
Urban Outfitters, Inc. *		318		7,556
				64,322
Technology Hardware, Storage & Peripherals - 4.5%
Apple, Inc. (a)		827		118,807
Hewlett Packard Enterprise Co.		1,212		28,724
HP, Inc.		1,254		22,421
Seagate Technology plc		44		2,021
Western Digital Corp.		7		578
Xerox Corp.		1,873		13,748
				186,299
Textiles, Apparel & Luxury Goods - 0.4%
Michael Kors Holdings Ltd. *		109		4,154
PVH Corp.		131		13,555
				17,709
Tobacco - 1.4%
Altria Group, Inc.		309		22,069
Philip Morris International, Inc.		245		27,660
Reynolds American, Inc.		140		8,823
				58,552
Trading Companies & Distributors - 0.9%
HD Supply Holdings, Inc. *		192		7,896
Herc Holdings, Inc. *		10		489
MSC Industrial Direct Co., Inc., Class A		159		16,339
United Rentals, Inc. *		19		2,376
WESCO International, Inc. *		177		12,310
				39,410
TOTAL COMMON STOCKS (cost $4,892,674)				5,022,471
EXCHANGE TRADED FUND - 6.0%
SPDR S&P 500 Fund Trust (cost $247,312)		1,052		247,998

INVESTMENTS	SHARES			VALUE
SHORT-TERM INVESTMENTS - 2.5%
Investment Companies - 2.5%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58% (2)(b)		1,061		$	1,061
Dreyfus Treasury & Agency Cash Management, Class I, 0.61% (2)(b)		4,244			4,244
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62% (2)(b)		92,592			92,593
UBS Select Treasury Preferred Fund, Class I, 0.62% (2)(b)		5,305			5,305
TOTAL SHORT-TERM INVESTMENTS (cost $103,203)					103,203
TOTAL LONG POSITIONS (cost $5,243,189)					5,373,672
SHORT POSITIONS - (28.0)%
COMMON STOCKS - (28.0)%
Aerospace & Defense - (1.7)%
HEICO Corp.		(28	)		(2,442	)
KLX, Inc. *		(424	)		(18,953	)
TransDigm Group, Inc.		(201	)		(44,252	)
Triumph Group, Inc.		(183	)		(4,712	)
					(70,359	)
Airlines - (0.1)%
American Airlines Group, Inc.		(63	)		(2,665	)
Banks - (0.6)%
Bank of the Ozarks, Inc.		(479	)		(24,913	)
Biotechnology - (2.3)%
Agios Pharmaceuticals, Inc. *		(235	)		(13,724	)
Alkermes plc*		(180	)		(10,530	)
Alnylam Pharmaceuticals, Inc. *		(68	)		(3,485	)
BioMarin Pharmaceutical, Inc. *		(244	)		(21,418	)
Intrexon Corp. *		(320	)		(6,343	)
Neurocrine Biosciences, Inc. *		(504	)		(21,823	)
OPKO Health, Inc. *		(1,399	)		(11,192	)
Seattle Genetics, Inc. *		(112	)		(7,040	)
					(95,555	)
Capital Markets - (0.8)%
WisdomTree Investments, Inc.		(3,484	)		(31,635	)
Chemicals - (1.1)%
CF Industries Holdings, Inc.		(742	)		(21,778	)
Olin Corp.		(27	)		(887	)
Platform Specialty Products Corp. *		(1,647	)		(21,444	)
					(44,109	)
Commercial Services & Supplies - (0.3)%
Stericycle, Inc. *		(136	)		(11,273	)
Communications Equipment - (0.7)%
Arista Networks, Inc. *		(34	)		(4,497	)
Palo Alto Networks, Inc. *		(164	)		(18,480	)
ViaSat, Inc. *		(99	)		(6,318	)
					(29,295	)

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

AQR Funds Semi-Annual Report March 2017

128

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Construction & Engineering - 0.0% (c)
Dycom Industries, Inc. *		(7	)	$	(651	)
Containers & Packaging - (0.8)%
Ball Corp.		(475	)		(35,273	)
Diversified Telecommunication Services - 0.0% (c)
Frontier Communications Corp.		(998	)		(2,136	)
Electric Utilities - 0.0% (c)
Southern Co. (The)		(10	)		(498	)
Electrical Equipment - (0.4)%
Acuity Brands, Inc.		(68	)		(13,872	)
Sensata Technologies Holding NV *		(84	)		(3,668	)
					(17,540	)
Electronic Equipment, Instruments & Components - (0.9)%
IPG Photonics Corp. *		(107	)		(12,915	)
Knowles Corp. *		(445	)		(8,433	)
National Instruments Corp.		(54	)		(1,758	)
VeriFone Systems, Inc. *		(347	)		(6,499	)
Zebra Technologies Corp., Class A *		(95	)		(8,669	)
					(38,274	)
Energy Equipment & Services - (1.1)%
Noble Corp. plc *		(847	)		(5,243	)
Weatherford International plc *		(5,884	)		(39,129	)
					(44,372	)
Food & Staples Retailing - 0.0% (c)
Sprouts Farmers Market, Inc. *		(64	)		(1,480	)
Food Products - (1.2)%
Snyder’s-Lance, Inc.		(486	)		(19,591	)
TreeHouse Foods, Inc. *		(366	)		(30,985	)
					(50,576	)
Gas Utilities - 0.0% (c)
WGL Holdings, Inc.		(26	)		(2,146	)
Health Care Equipment & Supplies - (1.3)%
DexCom, Inc. *		(463	)		(39,230	)
LivaNova plc *		(186	)		(9,116	)
NuVasive, Inc. *		(54	)		(4,033	)
					(52,379	)
Health Care Providers & Services - (2.3)%
Acadia Healthcare Co., Inc. *		(1,016	)		(44,298	)
Envision Healthcare Corp. *		(470	)		(28,820	)
MEDNAX, Inc. *		(43	)		(2,983	)
Premier, Inc., Class A *		(631	)		(20,085	)
					(96,186	)
Health Care Technology - (0.1)%
athenahealth, Inc. *		(49	)		(5,522	)
Hotels, Restaurants & Leisure - (0.6)%
Chipotle Mexican Grill, Inc. *		(11	)		(4,900	)
Norwegian Cruise Line Holdings Ltd. *		(38	)		(1,928	)

INVESTMENTS	SHARES			VALUE
Hotels, Restaurants & Leisure - (0.6)% (continued)
Wynn Resorts Ltd.		(154	)	$	(17,650	)
					(24,478	)
Household Durables - (0.2)%
Tempur Sealy International, Inc. *		(148	)		(6,876	)
Industrial Conglomerates - (0.1)%
Roper Technologies, Inc.		(12	)		(2,478	)
Insurance - (0.1)%
Primerica, Inc.		(49	)		(4,028	)
Internet & Direct Marketing Retail - (0.1)%
TripAdvisor, Inc. *		(84	)		(3,625	)
Internet Software & Services - (0.9)%
comScore, Inc. *		(220	)		(4,750	)
Pandora Media, Inc. *		(1,586	)		(18,731	)
Twitter, Inc. *		(31	)		(463	)
Zillow Group, Inc., Class C *		(422	)		(14,209	)
					(38,153	)
IT Services - (0.8)%
First Data Corp., Class A *		(1,763	)		(27,326	)
FleetCor Technologies, Inc. *		(6	)		(909	)
WEX, Inc. *		(33	)		(3,416	)
					(31,651	)
Life Sciences Tools & Services - (0.5)%
Bio-Techne Corp.		(9	)		(915	)
Patheon NV*		(734	)		(19,333	)
					(20,248	)
Machinery - (0.6)%
Middleby Corp. (The) *		(114	)		(15,555	)
WELBILT, Inc. *		(485	)		(9,521	)
					(25,076	)
Media - (0.7)%
DISH Network Corp., Class A *		(113	)		(7,174	)
Liberty Global plc, Class A (United Kingdom) *		(648	)		(23,244	)
					(30,418	)
Metals & Mining - (0.5)%
Allegheny Technologies, Inc. *		(794	)		(14,260	)
Royal Gold, Inc.		(76	)		(5,324	)
					(19,584	)
Multiline Retail - (0.4)%
Dollar Tree, Inc. *		(32	)		(2,511	)
JC Penney Co., Inc. *		(2,038	)		(12,554	)
					(15,065	)
Multi-Utilities - (0.2)%
Dominion Resources, Inc.		(113	)		(8,765	)
Oil, Gas & Consumable Fuels - (1.6)%
Cheniere Energy, Inc. *		(520	)		(24,580	)
Chesapeake Energy Corp. *		(571	)		(3,392	)
Kosmos Energy Ltd. *		(2,684	)		(17,876	)

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

AQR Funds Semi-Annual Report March 2017

129

Schedule of Investments March 31, 2017 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Oil, Gas & Consumable Fuels - (1.6)% (continued)
Laredo Petroleum, Inc. *		(91	)	$	(1,329	)
PBF Energy, Inc., Class A		(119	)		(2,638	)
SM Energy Co.		(316	)		(7,590	)
Whiting Petroleum Corp. *		(727	)		(6,877	)
WPX Energy, Inc. *		(190	)		(2,544	)
					(66,826	)
Personal Products - (0.3)%
Coty, Inc., Class A		(581	)		(10,534	)
Pharmaceuticals - (0.7)%
Allergan plc		(58	)		(13,857	)
Catalent, Inc. *		(168	)		(4,758	)
Perrigo Co. plc		(89	)		(5,909	)
Prestige Brands Holdings, Inc. *		(76	)		(4,222	)
Zoetis, Inc.		(22	)		(1,174	)
					(29,920	)
Professional Services - 0.0% (c)
IHS Markit Ltd. *		(19	)		(797	)
Road & Rail - (0.1)%
Avis Budget Group, Inc. *		(81	)		(2,396	)
Semiconductors & Semiconductor Equipment - (0.1)%
SunPower Corp. *		(527	)		(3,215	)
Software - (1.5)%
ACI Worldwide, Inc. *		(239	)		(5,112	)
FireEye, Inc. *		(653	)		(8,234	)
Guidewire Software, Inc. *		(136	)		(7,661	)
Splunk, Inc. *		(101	)		(6,291	)
SS&C Technologies Holdings, Inc.		(110	)		(3,894	)
Tyler Technologies, Inc. *		(90	)		(13,910	)
Ultimate Software Group, Inc. (The)*		(23	)		(4,490	)
Workday, Inc., Class A *		(177	)		(14,741	)
					(64,333	)
Specialty Retail - (1.2)%
Advance Auto Parts, Inc.		(9	)		(1,334	)
Ascena Retail Group, Inc. *		(1,032	)		(4,396	)
CarMax, Inc. *		(74	)		(4,382	)
Guess?, Inc.		(496	)		(5,531	)
L Brands, Inc.		(21	)		(989	)
Restoration Hardware Holdings, Inc. *		(606	)		(28,034	)
Signet Jewelers Ltd.		(69	)		(4,780	)
					(49,446	)
Technology Hardware, Storage & Peripherals - (0.6)%
Diebold Nixdorf, Inc.		(799	)		(24,529	)
Textiles, Apparel & Luxury Goods - (0.3)%
Hanesbrands, Inc.		(60	)		(1,245	)
Under Armour, Inc., Class A*		(588	)		(11,631	)
					(12,876	)

INVESTMENTS	SHARES			VALUE
Trading Companies & Distributors - (0.2)%
Fastenal Co.		(187	)	$	(9,630	)
TOTAL COMMON STOCKS (proceeds $(1,132,630))					(1,161,784	)
TOTAL SHORT POSITIONS (proceeds $(1,132,630))					(1,161,784	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.5% (cost $4,110,559)					4,211,888
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.5)%				(62,935)
NET ASSETS - 100.0%				$4,148,953

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	332,285			8.0	%
Consumer Staples		146,686			3.5
Energy		282,665			6.8
Exchange Traded Fund		247,998			6.0
Financials		744,491			17.9
Health Care		326,226			7.9
Industrials		601,450			14.5
Information Technology		773,607			18.7
Materials		303,886			7.3
Real Estate		110,710			2.7
Telecommunication Services		25,554			0.6
Utilities		213,127			5.1
Short-Term Investments		103,203			2.5
Total Investments In Securities At Value		4,211,888			101.5
Liabilities in Excess of Other Assets		(62,935	)		(1.5	)
Net Assets	$	4,148,953			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 $1,435,585.

(b) Represents 7-day effective yield as of 3/31/2017.

(c) 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 4).

Abbreviations

SPDR - Standard & Poor’s Depository Receipts

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

AQR Funds Semi-Annual Report March 2017

130

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 129.1%
COMMON STOCKS - 123.3%
Aerospace & Defense - 3.8%
AAR Corp. (a)		377	$	12,678
Curtiss-Wright Corp. (a)		161		14,693
DigitalGlobe, Inc. *		92		3,013
Ducommun, Inc. *		397		11,430
Esterline Technologies Corp. *(a)		129		11,100
Moog, Inc., Class A *		159		10,709
Sparton Corp. *		1,090		22,879
Vectrus, Inc. *		1,015		22,685
				109,187
Air Freight & Logistics - 0.5%
Hub Group, Inc., Class A *		134		6,217
Park-Ohio Holdings Corp.		223		8,017
				14,234
Airlines - 0.2%
Allegiant Travel Co.		14		2,244
Hawaiian Holdings, Inc. *		54		2,508
				4,752
Auto Components - 4.0%
American Axle & Manufacturing Holdings, Inc. *		451		8,470
Cooper Tire & Rubber Co. (a)		271		12,019
Cooper-Standard Holdings, Inc. *		60		6,656
Dana, Inc. (a)		838		16,182
Spartan Motors, Inc.		3,398		27,184
Stoneridge, Inc. *		623		11,301
Superior Industries International, Inc.		129		3,270
Tenneco, Inc.		125		7,802
Tower International, Inc.		880		23,848
				116,732
Banks - 12.4%
1st Source Corp. (a)		434		20,376
BancFirst Corp. (a)		133		11,957
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		133		3,689
BancorpSouth, Inc. (a)		428		12,947
Banner Corp.		77		4,284
Berkshire Hills Bancorp, Inc.		118		4,254
Boston Private Financial Holdings, Inc.		398		6,527
Capital Bank Financial Corp., Class A		12		521
Cathay General Bancorp		141		5,313
CenterState Banks, Inc.		200		5,180
Central Pacific Financial Corp.		236		7,207
City Holding Co.		55		3,546
Columbia Banking System, Inc.		51		1,988
Community Trust Bancorp, Inc.		88		4,026
Customers Bancorp, Inc. *		113		3,563
Eagle Bancorp, Inc. *		27		1,612
Enterprise Financial Services Corp.		134		5,682
FCB Financial Holdings, Inc., Class A *		63		3,122
First BanCorp *		5,695		32,177
First Busey Corp.		169		4,969
First Citizens BancShares, Inc., Class A (a)		47		15,762
First Financial Bancorp		128		3,514
First Financial Corp.		241		11,447

INVESTMENTS	SHARES		VALUE
Banks - 12.4% (continued)
First Merchants Corp.		176	$	6,920
First NBC Bank Holding Co. *		1,040		4,160
Flushing Financial Corp.		84		2,257
Fulton Financial Corp.		334		5,962
Great Southern Bancorp, Inc.		74		3,737
Great Western Bancorp, Inc.		73		3,096
Hancock Holding Co.		259		11,797
Hanmi Financial Corp.		468		14,391
Heartland Financial USA, Inc. (a)		261		13,037
Heritage Financial Corp.		44		1,089
Hope Bancorp, Inc.		257		4,927
IBERIABANK Corp.		102		8,068
Independent Bank Group, Inc.		44		2,829
International Bancshares Corp. (a)		424		15,010
Investors Bancorp, Inc.		418		6,011
LegacyTexas Financial Group, Inc.		33		1,317
National Bank Holdings Corp., Class A		37		1,202
OFG Bancorp		442		5,216
Old National Bancorp		309		5,361
Opus Bank		570		11,485
Preferred Bank		90		4,829
PrivateBancorp, Inc.		81		4,809
Prosperity Bancshares, Inc.		74		5,159
Sandy Spring Bancorp, Inc.		131		5,370
South State Corp.		11		983
Stonegate Bank		43		2,025
Texas Capital Bancshares, Inc. *		50		4,172
TriCo Bancshares		117		4,157
Umpqua Holdings Corp. (a)		608		10,786
Union Bankshares Corp.		172		6,051
United Community Banks, Inc.		181		5,012
Valley National Bancorp		241		2,844
Wintrust Financial Corp.		39		2,696
				360,428
Biotechnology - 4.0%
Acorda Therapeutics, Inc. *		315		6,615
AMAG Pharmaceuticals, Inc. *		196		4,420
Applied Genetic Technologies Corp. *		1,006		6,941
Array BioPharma, Inc. *		252		2,253
BioSpecifics Technologies Corp. *		131		7,179
Chimerix, Inc. *		160		1,021
Clovis Oncology, Inc. *		52		3,311
Emergent BioSolutions, Inc. *		282		8,189
Enanta Pharmaceuticals, Inc. *		192		5,914
Exelixis, Inc. *(a)		631		13,674
Five Prime Therapeutics, Inc. *		81		2,928
Genomic Health, Inc. *		116		3,653
Myriad Genetics, Inc. *(a)		901		17,299
PDL BioPharma, Inc. *		7,703		17,486
Portola Pharmaceuticals, Inc. *		71		2,782
Prothena Corp. plc (Ireland) *		48		2,678
TESARO, Inc. *		28		4,308
Xencor, Inc. *		227		5,430
				116,081
Building Products - 2.7%
American Woodmark Corp. *		24		2,203
Apogee Enterprises, Inc.		16		954

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

AQR Funds Semi-Annual Report March 2017

131

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Building Products - 2.7% (continued)
Continental Building Products, Inc. *		539	$	13,205
Gibraltar Industries, Inc. *(a)		282		11,618
Insteel Industries, Inc.		100		3,614
Masonite International Corp. *		62		4,914
NCI Building Systems, Inc. *		605		10,376
Ply Gem Holdings, Inc. *(a)		1,036		20,409
Simpson Manufacturing Co., Inc.		136		5,860
Universal Forest Products, Inc.		42		4,139
				77,292
Capital Markets - 0.9%
Evercore Partners, Inc., Class A		90		7,011
Greenhill & Co., Inc.		94		2,754
INTL. FCStone, Inc. *		203		7,706
Janus Capital Group, Inc.		149		1,967
Waddell & Reed Financial, Inc., Class A		330		5,610
				25,048
Chemicals - 5.4%
Chemours Co. (The) (a)		733		28,220
Chemtura Corp. *		66		2,204
Ferro Corp. *		694		10,542
FutureFuel Corp.		878		12,450
GCP Applied Technologies, Inc. *		25		816
HB Fuller Co.		19		980
Innophos Holdings, Inc. (a)		271		14,626
Innospec, Inc.		34		2,202
Koppers Holdings, Inc. *		69		2,922
Kraton Corp. *		211		6,524
OMNOVA Solutions, Inc. *		1,954		19,345
PolyOne Corp.		248		8,454
Rayonier Advanced Materials, Inc.		506		6,806
Stepan Co.		78		6,147
Trinseo SA (a)		528		35,429
				157,667
Commercial Services & Supplies - 2.7%
ACCO Brands Corp. *		353		4,642
Brady Corp., Class A		73		2,822
Brink’s Co. (The)		149		7,964
Ennis, Inc.		884		15,028
Herman Miller, Inc.		208		6,562
Interface, Inc.		15		286
Knoll, Inc. (a)		512		12,191
McGrath RentCorp.		28		940
Quad/Graphics, Inc.		17		429
Steelcase, Inc., Class A (a)		663		11,105
Tetra Tech, Inc.		189		7,721
Viad Corp.		192		8,678
				78,368
Communications Equipment - 2.0%
Black Box Corp.		1,073		9,603
Finisar Corp. *(a)		354		9,678
InterDigital, Inc. (a)		150		12,945
Ixia (2)*		27		531
NETGEAR, Inc. *		118		5,847
Silicom Ltd. (Israel)		14		695
Sonus Networks, Inc. *		2,190		14,432

INVESTMENTS	SHARES		VALUE
Communications Equipment - 2.0% (continued)
Viavi Solutions, Inc. *		515	$	5,521
				59,252
Construction & Engineering - 1.9%
Aegion Corp. *		91		2,085
Argan, Inc.		118		7,806
Comfort Systems USA, Inc.		103		3,775
EMCOR Group, Inc.		170		10,701
MasTec, Inc. *		30		1,202
MYR Group, Inc. *		211		8,651
Tutor Perini Corp. *		648		20,606
				54,826
Construction Materials - 0.1%
Summit Materials, Inc., Class A *		146		3,608
Consumer Finance - 0.4%
Enova International, Inc. *		98		1,455
FirstCash, Inc.		49		2,408
LendingClub Corp. *		451		2,476
Nelnet, Inc., Class A		53		2,325
Regional Management Corp. *		114		2,215
				10,879
Distributors - 0.1%
Core-Mark Holding Co., Inc.		55		1,715
Diversified Consumer Services - 1.9%
American Public Education, Inc. *		568		13,007
Capella Education Co.		177		15,050
Career Education Corp. *		606		5,272
DeVry Education Group, Inc.		215		7,622
Grand Canyon Education, Inc. *		17		1,217
K12, Inc. *		756		14,477
				56,645
Diversified Telecommunication Services - 0.4%
Cincinnati Bell, Inc. *		219		3,876
IDT Corp., Class B		490		6,233
Vonage Holdings Corp. *		58		367
				10,476
Electric Utilities - 0.4%
Portland General Electric Co. (a)		240		10,661
Electrical Equipment - 0.5%
EnerSys		68		5,368
Generac Holdings, Inc. *		48		1,789
General Cable Corp.		66		1,185
Powell Industries, Inc.		149		5,132
				13,474
Electronic Equipment, Instruments & Components - 4.9%
Anixter International, Inc. *(a)		228		18,080
AVX Corp. (a)		627		10,270
Belden, Inc.		10		692
Benchmark Electronics, Inc. *		200		6,360
Insight Enterprises, Inc. *(a)		286		11,752
InvenSense, Inc. *		111		1,402
Itron, Inc. *		8		485

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

AQR Funds Semi-Annual Report March 2017

132

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Electronic Equipment, Instruments & Components - 4.9% (continued)
Methode Electronics, Inc.		30	$	1,368
Plexus Corp. *		65		3,757
Rogers Corp. *(a)		200		17,174
Sanmina Corp. *(a)		639		25,943
ScanSource, Inc. *		487		19,115
SYNNEX Corp.		52		5,821
Tech Data Corp. *(a)		160		15,024
TTM Technologies, Inc. *		305		4,920
				142,163
Energy Equipment & Services - 2.4%
Archrock, Inc.		1,197		14,843
Atwood Oceanics, Inc. *		134		1,277
Exterran Corp. *(a)		480		15,096
Helix Energy Solutions Group, Inc. *		579		4,499
Matrix Service Co. *		474		7,821
McDermott International, Inc. *		1,280		8,640
Oil States International, Inc. *		87		2,884
Pioneer Energy Services Corp. *		376		1,504
Seadrill Ltd. (United Kingdom) *		5,266		8,689
TETRA Technologies, Inc. *		1,063		4,326
				69,579
Equity Real Estate Investment Trusts (REITs) - 2.7%
Alexander’s, Inc.		8		3,455
CBL & Associates Properties, Inc.		357		3,406
DiamondRock Hospitality Co.		464		5,174
First Potomac Realty Trust		544		5,592
Four Corners Property Trust, Inc.		228		5,205
GEO Group, Inc. (The)		77		3,570
Hudson Pacific Properties, Inc.		54		1,871
Lexington Realty Trust		774		7,724
Mack-Cali Realty Corp. (a)		370		9,968
RLJ Lodging Trust		241		5,666
Select Income REIT (a)		452		11,657
Silver Bay Realty Trust Corp.		81		1,739
Summit Hotel Properties, Inc.		152		2,429
Xenia Hotels & Resorts, Inc. (a)		582		9,935
				77,391
Food & Staples Retailing - 0.7%
Andersons, Inc. (The)		95		3,600
SpartanNash Co.		242		8,468
SUPERVALU, Inc. *		2,219		8,565
United Natural Foods, Inc. *		12		519
				21,152
Food Products - 2.8%
Darling Ingredients, Inc. *(a)		1,947		28,270
Dean Foods Co.		104		2,045
Fresh Del Monte Produce, Inc. (a)		245		14,511
John B Sanfilippo & Son, Inc.		150		10,979
Omega Protein Corp.		631		12,652
Sanderson Farms, Inc.		94		9,761
Seaboard Corp.		1		4,169
				82,387
Gas Utilities - 1.8%
ONE Gas, Inc.		134		9,059
Southwest Gas Holdings, Inc. (a)		442		36,646

INVESTMENTS	SHARES		VALUE
Gas Utilities - 1.8% (continued)
WGL Holdings, Inc.		68	$	5,612
				51,317
Health Care Equipment & Supplies - 2.9%
Analogic Corp.		29		2,201
AngioDynamics, Inc. *		159		2,759
Atrion Corp.		1		468
Cantel Medical Corp.		25		2,002
Glaukos Corp. *		35		1,795
Globus Medical, Inc., Class A *		240		7,109
Haemonetics Corp. *		12		487
Integer Holdings Corp. *		20		804
iRadimed Corp. *		812		7,227
LeMaitre Vascular, Inc.		324		7,980
Masimo Corp. *(a)		147		13,709
Meridian Bioscience, Inc.		59		814
Merit Medical Systems, Inc. *		74		2,139
Natus Medical, Inc. *		178		6,987
OraSure Technologies, Inc. *		945		12,219
Orthofix International NV *		289		11,025
Surmodics, Inc. *		110		2,646
Tandem Diabetes Care, Inc. *		564		677
Zeltiq Aesthetics, Inc. *		51		2,836
				85,884
Health Care Providers & Services - 3.3%
AMN Healthcare Services, Inc. *		27		1,096
Chemed Corp.		38		6,942
Community Health Systems, Inc. *		657		5,828
CorVel Corp. *		502		21,837
HealthSouth Corp.		77		3,296
LHC Group, Inc. *		98		5,282
Magellan Health, Inc. *(a)		145		10,012
Molina Healthcare, Inc. *		83		3,785
National HealthCare Corp.		63		4,492
Owens & Minor, Inc. (a)		295		10,207
PharMerica Corp. *		227		5,312
Quorum Health Corp. *		846		4,602
Select Medical Holdings Corp. *		79		1,055
Triple-S Management Corp., Class B *		629		11,052
				94,798
Health Care Technology - 0.7%
HMS Holdings Corp. *		432		8,783
Omnicell, Inc. *		15		610
Quality Systems, Inc. *		806		12,283
				21,676
Hotels, Restaurants & Leisure - 2.2%
BJ’s Restaurants, Inc. *		102		4,121
Bloomin’ Brands, Inc.		408		8,050
Boyd Gaming Corp. *		234		5,150
Buffalo Wild Wings, Inc. *		25		3,819
Cheesecake Factory, Inc. (The)		8		507
Del Frisco’s Restaurant Group, Inc. *		279		5,036
ILG, Inc.		98		2,054
International Speedway Corp., Class A		103		3,806
Intrawest Resorts Holdings, Inc. *		236		5,902
La Quinta Holdings, Inc. *		304		4,110
Marriott Vacations Worldwide Corp.		17		1,699

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

AQR Funds Semi-Annual Report March 2017

133

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 2.2% (continued)
Ruby Tuesday, Inc. *		1,210	$	3,400
Ruth’s Hospitality Group, Inc.		739		14,817
Texas Roadhouse, Inc.		30		1,336
				63,807
Household Durables - 2.9%
Bassett Furniture Industries, Inc.		38		1,022
Beazer Homes USA, Inc. *		263		3,190
Century Communities, Inc. *		389		9,881
Flexsteel Industries, Inc.		247		12,449
Hovnanian Enterprises, Inc., Class A *		3,596		8,163
KB Home		52		1,034
La-Z-Boy, Inc.		109		2,943
Libbey, Inc.		906		13,209
M/I Homes, Inc. *		153		3,748
MDC Holdings, Inc.		39		1,172
NACCO Industries, Inc., Class A		70		4,886
Taylor Morrison Home Corp., Class A *(a)		590		12,579
TopBuild Corp. *		106		4,982
ZAGG, Inc. *		604		4,349
				83,607
Insurance - 4.3%
Ambac Financial Group, Inc. *		1,069		20,161
AMERISAFE, Inc.		19		1,233
Argo Group International Holdings Ltd.		163		11,051
CNO Financial Group, Inc. (a)		840		17,220
Employers Holdings, Inc. (a)		530		20,114
Enstar Group Ltd. *		12		2,296
Federated National Holding Co.		1,222		21,299
Genworth Financial, Inc., Class A *		530		2,184
Heritage Insurance Holdings, Inc.		771		9,846
Maiden Holdings Ltd.		204		2,856
National Western Life Group, Inc., Class A		29		8,821
Safety Insurance Group, Inc.		101		7,080
United Fire Group, Inc.		8		342
				124,503
Internet & Direct Marketing Retail - 0.0% (b)
HSN, Inc.		29		1,076
Internet Software & Services - 1.9%
Bankrate, Inc. *		598		5,771
Bazaarvoice, Inc. *		797		3,427
Blucora, Inc. *		83		1,436
Brightcove, Inc. *		986		8,775
Carbonite, Inc. *		138		2,801
DHI Group, Inc. *		1,896		7,489
GrubHub, Inc. *		18		592
LogMeIn, Inc.		92		8,970
MeetMe, Inc. *		1,083		6,379
RetailMeNot, Inc. *		950		7,695
Web.com Group, Inc. *		42		811
XO Group, Inc. *		42		723
				54,869
IT Services - 2.4%
Convergys Corp. (a)		661		13,980
EVERTEC, Inc.		774		12,307
Hackett Group, Inc. (The)		187		3,645

INVESTMENTS	SHARES		VALUE
IT Services - 2.4% (continued)
NeuStar, Inc., Class A *(a)		768	$	25,459
Perficient, Inc. *		43		747
Sykes Enterprises, Inc. *		235		6,909
Travelport Worldwide Ltd.		611		7,191
				70,238
Leisure Products - 0.7%
American Outdoor Brands Corp. *		61		1,209
JAKKS Pacific, Inc. *		168		924
Johnson Outdoors, Inc., Class A		188		6,862
MCBC Holdings, Inc.		673		10,882
				19,877
Life Sciences Tools & Services - 0.8%
Cambrex Corp. *		72		3,964
INC Research Holdings, Inc., Class A *		181		8,299
Luminex Corp.		52		955
PAREXEL International Corp. *		137		8,646
PRA Health Sciences, Inc. *		43		2,805
				24,669
Machinery - 5.3%
Alamo Group, Inc.		126		9,600
Astec Industries, Inc. (a)		218		13,406
Barnes Group, Inc.		55		2,824
Briggs & Stratton Corp.		183		4,108
Global Brass & Copper Holdings, Inc.		372		12,797
Greenbrier Cos., Inc. (The)		214		9,223
Harsco Corp. *		597		7,612
Hyster-Yale Materials Handling, Inc.		77		4,342
Joy Global, Inc.		102		2,882
Kadant, Inc.		81		4,807
Kennametal, Inc.		229		8,984
Lydall, Inc. *		26		1,394
Meritor, Inc. *(a)		1,079		18,483
Mueller Water Products, Inc., Class A (a)		1,011		11,950
Navistar International Corp. *		96		2,364
Rexnord Corp. *		81		1,869
SPX Corp. *		113		2,740
Standex International Corp.		35		3,505
Supreme Industries, Inc., Class A		755		15,296
TriMas Corp. *		287		5,955
Wabash National Corp.		315		6,517
Woodward, Inc.		31		2,106
				152,764
Media - 1.2%
Entravision Communications Corp., Class A		872		5,407
Gannett Co., Inc.		1,936		16,224
MSG Networks, Inc., Class A *		309		7,215
New Media Investment Group, Inc.		272		3,865
Time, Inc. (2)		64		1,238
				33,949
Metals & Mining - 4.4%
AK Steel Holding Corp. *(a)		1,692		12,165
Cliffs Natural Resources, Inc. *(a)		3,578		29,375
Coeur Mining, Inc. *		452		3,652
Commercial Metals Co.		432		8,264
Gold Resource Corp.		119		538

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

AQR Funds Semi-Annual Report March 2017

134

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Metals & Mining - 4.4% (continued)
Haynes International, Inc.		73	$	2,783
Hecla Mining Co.		506		2,677
Kaiser Aluminum Corp. (a)		149		11,905
Materion Corp.		345		11,575
Olympic Steel, Inc.		354		6,570
Ryerson Holding Corp. *		1,446		18,220
Stillwater Mining Co. *		128		2,211
SunCoke Energy, Inc. *		1,217		10,904
Worthington Industries, Inc.		179		8,071
				128,910
Mortgage Real Estate Investment Trusts (REITs) - 0.2%
New Residential Investment Corp.		432		7,335
Multiline Retail - 0.3%
Big Lots, Inc. (a)		210		10,223
Multi-Utilities - 0.4%
Avista Corp.		148		5,779
NorthWestern Corp.		93		5,459
				11,238
Oil, Gas & Consumable Fuels - 5.4%
Abraxas Petroleum Corp. *		754		1,523
Bill Barrett Corp. *		1,710		7,781
California Resources Corp. *		328		4,933
Callon Petroleum Co. *		408		5,369
Clayton Williams Energy, Inc. *		5		660
Contango Oil & Gas Co. *		1,540		11,273
Denbury Resources, Inc. *		1,865		4,812
DHT Holdings, Inc.		126		563
Eclipse Resources Corp. *		3,749		9,522
Frontline Ltd. (Norway)		480		3,235
Gener8 Maritime, Inc. *		1,586		8,993
Green Plains, Inc.		147		3,638
Oasis Petroleum, Inc. *(a)		901		12,848
Overseas Shipholding Group, Inc., Class A		3,876		14,961
PDC Energy, Inc. *		105		6,547
Renewable Energy Group, Inc. *		295		3,083
REX American Resources Corp. *		182		16,469
RSP Permian, Inc. *(a)		374		15,495
Ship Finance International Ltd. (Norway)		43		632
Teekay Tankers Ltd., Class A		510		1,046
W&T Offshore, Inc. *		2,308		6,393
Western Refining, Inc.		84		2,946
Westmoreland Coal Co. *		1,027		14,912
				157,634
Paper & Forest Products - 0.2%
Louisiana-Pacific Corp. *		210		5,212
Schweitzer-Mauduit International, Inc.		21		870
				6,082
Pharmaceuticals - 1.8%
Catalent, Inc. *		165		4,673
Corcept Therapeutics, Inc. *		144		1,578
Horizon Pharma plc *		36		532
Impax Laboratories, Inc. *		346		4,377
Innoviva, Inc. *		23		318

INVESTMENTS	SHARES		VALUE
Pharmaceuticals - 1.8% (continued)
Pacira Pharmaceuticals, Inc. *		89	$	4,058
Phibro Animal Health Corp., Class A		329		9,245
Prestige Brands Holdings, Inc. *(a)		308		17,113
SciClone Pharmaceuticals, Inc. *		1,068		10,466
Supernus Pharmaceuticals, Inc. *		24		751
				53,111
Professional Services - 2.9%
Acacia Research Corp. *		1,161		6,675
Barrett Business Services, Inc.		182		9,941
CEB, Inc.		43		3,380
Huron Consulting Group, Inc. *		62		2,610
ICF International, Inc. *		121		4,997
Insperity, Inc. (a)		192		17,021
Kelly Services, Inc., Class A		116		2,536
Kforce, Inc.		141		3,349
Navigant Consulting, Inc. *		218		4,983
RPX Corp. *		1,009		12,108
TrueBlue, Inc. *(a)		645		17,641
				85,241
Real Estate Management & Development - 0.7%
Alexander & Baldwin, Inc.		49		2,181
Forestar Group, Inc. *		972		13,268
HFF, Inc., Class A		191		5,285
				20,734
Road & Rail - 0.9%
ArcBest Corp.		354		9,204
Roadrunner Transportation Systems, Inc. *		1,824		12,531
YRC Worldwide, Inc. *		328		3,611
				25,346
Semiconductors & Semiconductor Equipment - 5.3%
Advanced Energy Industries, Inc. *		110		7,541
Advanced Micro Devices, Inc. *(a)		1,119		16,281
Alpha & Omega Semiconductor Ltd. *		548		9,420
Amkor Technology, Inc. *(a)		1,213		14,059
Brooks Automation, Inc.		77		1,725
Cabot Microelectronics Corp.		28		2,145
Cirrus Logic, Inc. *		190		11,531
Entegris, Inc. *(a)		524		12,261
GigPeak, Inc. (2)*		807		2,485
Integrated Device Technology, Inc. *		249		5,894
Nanometrics, Inc. *		571		17,393
Photronics, Inc. *		880		9,416
Rudolph Technologies, Inc. *		794		17,786
Semtech Corp. *		222		7,504
Synaptics, Inc. *(a)		315		15,596
Ultratech, Inc. *		29		859
XPERI Corp.		65		2,207
				154,103
Software - 2.6%
A10 Networks, Inc. *		110		1,007
Aspen Technology, Inc. *		24		1,414
Barracuda Networks, Inc. *(a)		601		13,889
CommVault Systems, Inc. *		57		2,896
Gigamon, Inc. *(a)		440		15,642

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

AQR Funds Semi-Annual Report March 2017

135

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Software - 2.6% (continued)
MicroStrategy, Inc., Class A *		27	$	5,071
Mitek Systems, Inc. *		417		2,773
Qualys, Inc. *		189		7,163
RealPage, Inc. *		110		3,839
Rubicon Project, Inc. (The) *		1,573		9,265
Synchronoss Technologies, Inc. *		173		4,221
TiVo Corp.		84		1,575
Verint Systems, Inc. *		129		5,595
				74,350
Specialty Retail - 1.5%
Abercrombie & Fitch Co., Class A		224		2,672
American Eagle Outfitters, Inc.		232		3,255
America’s Car-Mart, Inc. *		16		583
Big 5 Sporting Goods Corp.		188		2,839
Cato Corp. (The), Class A		149		3,272
Citi Trends, Inc.		129		2,193
Express, Inc. *		847		7,716
Francesca’s Holdings Corp. *		77		1,182
Genesco, Inc. *		10		555
GNC Holdings, Inc., Class A		131		964
Haverty Furniture Cos., Inc.		194		4,724
Kirkland’s, Inc. *		152		1,885
Office Depot, Inc.		1,405		6,554
Pier 1 Imports, Inc.		218		1,561
Sonic Automotive, Inc., Class A		131		2,627
				42,582
Technology Hardware, Storage & Peripherals - 0.5%
Avid Technology, Inc. *		957		4,460
Eastman Kodak Co. *		720		8,280
Super Micro Computer, Inc. *		132		3,346
				16,086
Textiles, Apparel & Luxury Goods - 0.7%
Deckers Outdoor Corp. *		9		538
Fossil Group, Inc. *		198		3,455
Movado Group, Inc.		38		948
Perry Ellis International, Inc. *		230		4,940
Vera Bradley, Inc. *		1,030		9,589
				19,470
Thrifts & Mortgage Finance - 5.4%
Astoria Financial Corp.		134		2,748
Dime Community Bancshares, Inc.		1,167		23,690
Essent Group Ltd. *		77		2,785
EverBank Financial Corp.		106		2,065
Federal Agricultural Mortgage Corp., Class C		308		17,731
First Defiance Financial Corp.		257		12,724
Flagstar Bancorp, Inc. *(a)		696		19,620
MGIC Investment Corp. *(a)		2,666		27,007
NMI Holdings, Inc., Class A *		482		5,495
Oritani Financial Corp.		119		2,023
Radian Group, Inc. (a)		1,304		23,420
TrustCo Bank Corp.		1,176		9,232
Walker & Dunlop, Inc. *		79		3,293
Washington Federal, Inc.		197		6,521
				158,354

INVESTMENTS	SHARES			VALUE
Tobacco - 0.1%
Vector Group Ltd.		96		$	1,997
Trading Companies & Distributors - 1.6%
Applied Industrial Technologies, Inc.		63			3,897
Beacon Roofing Supply, Inc. *		115			5,653
MRC Global, Inc. *(a)		537			9,843
Rush Enterprises, Inc., Class A *(a)		494			16,342
Univar, Inc. *		315			9,658
					45,393
Transportation Infrastructure - 0.0% (b)
Wesco Aircraft Holdings, Inc. *		118			1,345
Water Utilities - 0.2%
SJW Group		98			4,726
TOTAL COMMON STOCKS (cost $3,627,611)					3,581,291
EXCHANGE TRADED FUND - 4.3%
iShares Russell 2000 Fund (cost $124,108)		913			125,519
RIGHT - 0.0% (b)	NO. OF RIGHTS
Media - 0.0% (b)
Media General, Inc., CVR (cost $33) (3)*(c)		112			179
SHORT-TERM INVESTMENTS - 1.5%	SHARES
Investment Companies - 1.5%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58% (2)(d)		1,413			1,413
Dreyfus Treasury & Agency Cash Management, Class I, 0.61% (2)(d)		5,653			5,653
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62% (2)(d)		30,402			30,402
UBS Select Treasury Preferred Fund, Class I, 0.62% (2)(d)		7,066			7,066
TOTAL SHORT-TERM INVESTMENTS (cost $44,534)					44,534
TOTAL LONG POSITIONS (cost $3,796,286)					3,751,523
SHORT POSITIONS - (28.9)%
COMMON STOCKS - (28.9)%
Aerospace & Defense - (1.0)%
Aerojet Rocketdyne Holdings, Inc. *		(332	)		(7,204	)
Aerovironment, Inc. *		(202	)		(5,662	)
KeyW Holding Corp. (The) *		(195	)		(1,841	)
Kratos Defense & Security Solutions, Inc. *		(518	)		(4,030	)
Mercury Systems, Inc. *		(261	)		(10,192	)
					(28,929	)
Air Freight & Logistics - 0.0% (b)
XPO Logistics, Inc. *		(10	)		(479	)

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

AQR Funds Semi-Annual Report March 2017

136

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Auto Components - (0.8)%
Gentherm, Inc. *		(32	)	$	(1,256	)
Motorcar Parts of America, Inc. *		(677	)		(20,804	)
					(22,060	)
Beverages - (0.1)%
MGP Ingredients, Inc.		(45	)		(2,440	)
Biotechnology - (1.1)%
Adamas Pharmaceuticals, Inc. *		(264	)		(4,620	)
Agenus, Inc. *		(570	)		(2,149	)
Aimmune Therapeutics, Inc. *		(52	)		(1,130	)
Alder Biopharmaceuticals, Inc. *		(75	)		(1,560	)
Atara Biotherapeutics, Inc. *		(173	)		(3,555	)
BioCryst Pharmaceuticals, Inc. *		(73	)		(613	)
Epizyme, Inc. *		(73	)		(1,252	)
Esperion Therapeutics, Inc. *		(36	)		(1,271	)
Foundation Medicine, Inc. *		(242	)		(7,805	)
Lion Biotechnologies, Inc. *		(396	)		(2,950	)
Otonomy, Inc. (2)*		(173	)		(2,119	)
REGENXBIO, Inc. *		(46	)		(888	)
Sorrento Therapeutics, Inc. *		(103	)		(407	)
Trevena, Inc. *		(443	)		(1,626	)
					(31,945	)
Building Products - (0.5)%
AAON, Inc.		(115	)		(4,065	)
Builders FirstSource, Inc. *		(557	)		(8,300	)
PGT Innovations, Inc. *		(184	)		(1,978	)
					(14,343	)
Capital Markets - (0.3)%
Financial Engines, Inc.		(217	)		(9,451	)
Walter Investment Management Corp. *		(140	)		(151	)
					(9,602	)
Chemicals - (1.0)%
Balchem Corp.		(194	)		(15,989	)
Flotek Industries, Inc. *		(929	)		(11,882	)
LSB Industries, Inc. *		(142	)		(1,332	)
					(29,203	)
Commercial Services & Supplies - (1.2)%
Mobile Mini, Inc.		(680	)		(20,740	)
Team, Inc. *		(540	)		(14,607	)
					(35,347	)
Communications Equipment - (0.7)%
CalAmp Corp. *		(122	)		(2,048	)
Harmonic, Inc. *		(2,035	)		(12,108	)
Infinera Corp. *		(264	)		(2,701	)
NetScout Systems, Inc. *		(37	)		(1,404	)
ViaSat, Inc. *		(29	)		(1,851	)
					(20,112	)
Construction & Engineering - (0.3)%
NV5 Global, Inc. *		(223	)		(8,385	)

INVESTMENTS	SHARES			VALUE
Diversified Consumer Services - (1.0)%
Carriage Services, Inc.		(175	)	$	(4,746	)
Chegg, Inc. *		(3,018	)		(25,472	)
					(30,218	)
Diversified Telecommunication Services - (0.1)%
Iridium Communications, Inc. *		(138	)		(1,332	)
Electronic Equipment, Instruments & Components - (1.3)%
Knowles Corp. *		(277	)		(5,249	)
Mesa Laboratories, Inc.		(110	)		(13,497	)
OSI Systems, Inc. *		(49	)		(3,577	)
Universal Display Corp.		(193	)		(16,617	)
					(38,940	)
Energy Equipment & Services - (0.8)%
CARBO Ceramics, Inc. *		(273	)		(3,560	)
Forum Energy Technologies, Inc. *		(44	)		(911	)
Geospace Technologies Corp. *		(151	)		(2,451	)
Hornbeck Offshore Services, Inc. *		(2,263	)		(10,025	)
Tesco Corp. *		(599	)		(4,822	)
					(21,769	)
Equity Real Estate Investment Trusts (REITs) - (0.1)%
Preferred Apartment Communities, Inc., Class A		(213	)		(2,814	)
Food & Staples Retailing - (0.5)%
Smart & Final Stores, Inc. *		(1,146	)		(13,867	)
Food Products - (0.1)%
Freshpet, Inc. *		(281	)		(3,091	)
Health Care Equipment & Supplies - (1.4)%
AtriCure, Inc. *		(337	)		(6,454	)
AxoGen, Inc. *		(515	)		(5,382	)
Cerus Corp. *		(2,705	)		(12,037	)
Endologix, Inc. *		(1,768	)		(12,800	)
GenMark Diagnostics, Inc. *		(259	)		(3,321	)
Novocure Ltd. *		(103	)		(834	)
					(40,828	)
Health Care Providers & Services - (0.6)%
AAC Holdings, Inc. *		(218	)		(1,860	)
BioScrip, Inc. *		(3,780	)		(6,426	)
Capital Senior Living Corp. *		(553	)		(7,775	)
					(16,061	)
Hotels, Restaurants & Leisure - (1.2)%
Kona Grill, Inc. *		(784	)		(4,939	)
Pinnacle Entertainment, Inc. *		(708	)		(13,820	)
Scientific Games Corp., Class A *		(438	)		(10,359	)
Shake Shack, Inc., Class A *		(133	)		(4,442	)
Zoe’s Kitchen, Inc. *		(101	)		(1,869	)
					(35,429	)
Independent Power and Renewable Electricity Producers - (0.1)%
TerraForm Power, Inc., Class A *		(172	)		(2,128	)

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

AQR Funds Semi-Annual Report March 2017

137

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Internet & Direct Marketing Retail - (0.3)%
Etsy, Inc. *		(439	)	$	(4,667	)
Wayfair, Inc., Class A *		(80	)		(3,239	)
					(7,906	)
Internet Software & Services - (1.2)%
2U, Inc. *		(68	)		(2,697	)
Angie’s List, Inc. *		(178	)		(1,015	)
Benefitfocus, Inc. *		(19	)		(531	)
Endurance International Group Holdings, Inc. *		(169	)		(1,327	)
Envestnet, Inc. *		(75	)		(2,422	)
Gogo, Inc. *		(156	)		(1,716	)
GTT Communications, Inc. *		(169	)		(4,115	)
Hortonworks, Inc. *		(662	)		(6,494	)
Q2 Holdings, Inc. *		(391	)		(13,626	)
TrueCar, Inc. *		(44	)		(681	)
					(34,624	)
IT Services - (0.7)%
EPAM Systems, Inc. *		(9	)		(680	)
Virtusa Corp. *		(625	)		(18,887	)
					(19,567	)
Leisure Products - (0.2)%
Malibu Boats, Inc., Class A *		(81	)		(1,818	)
Nautilus, Inc. *		(183	)		(3,340	)
					(5,158	)
Life Sciences Tools & Services - (0.7)%
Accelerate Diagnostics, Inc. *		(240	)		(5,808	)
Albany Molecular Research, Inc. *		(732	)		(10,270	)
NeoGenomics, Inc. *		(223	)		(1,759	)
Pacific Biosciences of California, Inc. *		(447	)		(2,311	)
					(20,148	)
Machinery - (0.2)%
ExOne Co. (The) *		(477	)		(4,860	)
Manitowoc Co., Inc. (The) *		(171	)		(975	)
					(5,835	)
Media - (1.0)%
EW Scripps Co. (The), Class A *		(297	)		(6,962	)
Global Eagle Entertainment, Inc. *		(3,594	)		(11,465	)
Gray Television, Inc. *		(105	)		(1,522	)
MDC Partners, Inc., Class A *		(970	)		(9,118	)
					(29,067	)
Metals & Mining - (0.8)%
Allegheny Technologies, Inc. *		(743	)		(13,344	)
Century Aluminum Co. *		(644	)		(8,172	)
TimkenSteel Corp. *		(38	)		(719	)
					(22,235	)
Oil, Gas & Consumable Fuels - (1.9)%
Cobalt International Energy, Inc. *		(16,408	)		(8,752	)
Delek US Holdings, Inc.		(94	)		(2,281	)
Dorian LPG Ltd. *		(1,758	)		(18,512	)
Northern Oil and Gas, Inc. *		(632	)		(1,643	)
Par Pacific Holdings, Inc. *		(743	)		(12,252	)
Ring Energy, Inc. *		(42	)		(455	)
Scorpio Tankers, Inc. (Monaco)		(535	)		(2,375	)

INVESTMENTS	SHARES			VALUE
Oil, Gas & Consumable Fuels - (1.9)% (continued)
SRC ENERGY, Inc. *		(1,200	)	$	(10,128	)
					(56,398	)
Paper & Forest Products - (0.2)%
Deltic Timber Corp.		(84	)		(6,562	)
Pharmaceuticals - (2.2)%
Aclaris Therapeutics, Inc. *		(179	)		(5,338	)
Aerie Pharmaceuticals, Inc. *		(90	)		(4,081	)
Collegium Pharmaceutical, Inc. *		(873	)		(8,782	)
Dermira, Inc. *		(358	)		(12,211	)
Intra-Cellular Therapies, Inc. *		(255	)		(4,144	)
Medicines Co. (The) *		(39	)		(1,907	)
Nektar Therapeutics *		(65	)		(1,526	)
Paratek Pharmaceuticals, Inc. *		(255	)		(4,909	)
Revance Therapeutics, Inc. *		(449	)		(9,339	)
Teligent, Inc. *		(789	)		(6,162	)
Zogenix, Inc. *		(561	)		(6,087	)
					(64,486	)
Professional Services - (1.1)%
Advisory Board Co. (The) *		(426	)		(19,937	)
Exponent, Inc.		(8	)		(476	)
Korn/Ferry International		(132	)		(4,157	)
TriNet Group, Inc. *		(72	)		(2,081	)
WageWorks, Inc. *		(72	)		(5,205	)
					(31,856	)
Real Estate Management & Development - 0.0% (b)
Kennedy-Wilson Holdings, Inc.		(55	)		(1,221	)
Road & Rail - (0.3)%
Celadon Group, Inc.		(1,485	)		(9,727	)
Semiconductors & Semiconductor Equipment - (0.5)%
Cavium, Inc. *		(137	)		(9,817	)
FormFactor, Inc. *		(40	)		(474	)
MACOM Technology Solutions Holdings, Inc. *		(113	)		(5,458	)
					(15,749	)
Software - (0.9)%
Callidus Software, Inc. *		(28	)		(598	)
Glu Mobile, Inc. *		(1,297	)		(2,944	)
HubSpot, Inc. *		(20	)		(1,211	)
Paylocity Holding Corp. *		(100	)		(3,863	)
PROS Holdings, Inc. *		(313	)		(7,571	)
Rapid7, Inc. *		(461	)		(6,906	)
Workiva, Inc. *		(246	)		(3,850	)
					(26,943	)
Specialty Retail - (0.6)%
Boot Barn Holdings, Inc. *		(85	)		(841	)
Conn’s, Inc. *		(113	)		(989	)
Lumber Liquidators Holdings, Inc. *		(403	)		(8,459	)
Party City Holdco, Inc. *		(76	)		(1,068	)
Rent-A-Center, Inc.		(237	)		(2,102	)
Stage Stores, Inc.		(202	)		(523	)
Tailored Brands, Inc.		(194	)		(2,898	)
Tile Shop Holdings, Inc.		(91	)		(1,752	)
					(18,632	)

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

AQR Funds Semi-Annual Report March 2017

138

Schedule of Investments March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Technology Hardware, Storage & Peripherals - (0.4)%
Diebold Nixdorf, Inc.		(22	)	$	(675	)
Nimble Storage, Inc. *		(117	)		(1,463	)
Pure Storage, Inc., Class A *		(351	)		(3,450	)
USA Technologies, Inc. *		(1,197	)		(5,087	)
					(10,675	)
Textiles, Apparel & Luxury Goods - (0.8)%
G-III Apparel Group Ltd. *		(240	)		(5,253	)
Iconix Brand Group, Inc. *		(486	)		(3,655	)
Sequential Brands Group, Inc. *		(3,538	)		(13,763	)
					(22,671	)
Thrifts & Mortgage Finance - (0.6)%
Nationstar Mortgage Holdings, Inc. *		(302	)		(4,759	)
Ocwen Financial Corp. *		(1,808	)		(9,890	)
PHH Corp. *		(261	)		(3,323	)
					(17,972	)
Trading Companies & Distributors - (0.1)%
Textainer Group Holdings Ltd. *		(208	)		(3,182	)
TOTAL COMMON STOCKS (proceeds $(820,067))					(839,936	)
TOTAL SHORT POSITIONS (proceeds $(820,067))					(839,936	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.2% (cost $2,976,219)					2,911,587
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)%				(5,842)
NET ASSETS - 100.0%				$	2,905,745

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	278,722			9.6	%
Consumer Staples		86,138			3.0
Energy		149,047			5.1
Exchange Traded Fund		125,519			4.3
Financials		658,974			22.7
Health Care		222,750			7.7
Industrials		524,139			18.0
Information Technology		404,450			13.9
Materials		238,266			8.2
Real Estate		94,090			3.3
Telecommunication Services		9,144			0.3
Utilities		75,814			2.6
Short-Term Investments		44,534			1.5
Total Investments In Securities At Value		2,911,587			100.2
Liabilities in Excess of Other Assets		(5,842	)		(0.2	)
Net Assets	$	2,905,745			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 $1,048,120.

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

(c) Security fair valued as of 3/31/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 3/31/2017 amounted to $179, which represents approximately 0.01% of net assets of the fund.

(d) Represents 7-day effective yield as of 3/31/2017.

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

(2) Level 2 security (See Note 4).

(3) Level 3 security (See Note 4).

Abbreviations

CVR - Contingent Value Rights

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

AQR Funds Semi-Annual Report March 2017

139

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 129.7%
COMMON STOCKS - 126.9%
Australia - 11.2%
AGL Energy Ltd.		578	$	11,643
Ansell Ltd.		629		11,565
Aristocrat Leisure Ltd.		908		12,464
Aurizon Holdings Ltd.		7,296		29,256
Australia & New Zealand Banking Group Ltd.		2,638		64,052
Bendigo & Adelaide Bank Ltd.		1,379		12,776
BHP Billiton Ltd.		1,083		19,696
BHP Billiton plc		1,112		17,151
Caltex Australia Ltd.		175		3,943
CIMIC Group Ltd.		1,483		40,692
Crown Resorts Ltd.		760		6,856
Dexus Property Group, REIT		2,387		17,816
Fortescue Metals Group Ltd.		9,225		43,940
Goodman Group, REIT		926		5,475
LendLease Group		1,198		14,248
Macquarie Group Ltd.		200		13,779
National Australia Bank Ltd.		1,672		42,573
Newcrest Mining Ltd.		1,549		26,404
Orica Ltd.		1,223		16,439
Origin Energy Ltd. *		3,547		19,080
QBE Insurance Group Ltd.		5,183		51,026
Scentre Group, REIT		1,092		3,580
South32 Ltd.		34,291		72,291
Stockland, REIT		507		1,798
Suncorp Group Ltd.		2,397		24,189
Westfield Corp., REIT		289		1,960
Woolworths Ltd.		78		1,579
				586,271
Belgium - 2.1%
Ageas		306		11,949
bpost SA		193		4,528
Galapagos NV *		217		18,787
KBC Group NV		388		25,722
Solvay SA		88		10,737
UCB SA		274		21,254
Umicore SA		247		14,066
				107,043
China - 0.4%
BOC Hong Kong Holdings Ltd.		500		2,044
Yangzijiang Shipbuilding Holdings Ltd.		25,400		20,506
				22,550
Denmark - 3.3%
AP Moller - Maersk A/S, Class B		2		3,313
Danske Bank A/S		638		21,753
Genmab A/S *		13		2,502
GN Store Nord A/S (a)		1,316		30,722
H Lundbeck A/S (a)		1,079		50,080
Novo Nordisk A/S, Class B		276		9,478
TDC A/S		4,542		23,392
Vestas Wind Systems A/S (a)		388		31,560
				172,800

INVESTMENTS	SHARES		VALUE
Finland - 1.7%
Cargotec OYJ, Class B		107	$	5,293
Neste OYJ (a)		1,250		48,879
Orion OYJ, Class B		240		12,519
Stora Enso OYJ, Class R		240		2,838
UPM-Kymmene OYJ		774		18,173
				87,702
France - 13.2%
Arkema SA		146		14,372
Atos SE (a)		624		77,114
AXA SA		324		8,371
BNP Paribas SA (a)		806		53,635
Capgemini SA		51		4,708
Christian Dior SE		49		11,374
Cie de Saint-Gobain		475		24,371
Cie Generale des Etablissements Michelin (a)		353		42,896
Cie Plastic Omnium SA		206		7,488
CNP Assurances (a)		1,496		30,422
Credit Agricole SA		474		6,407
Eiffage SA		93		7,278
Faurecia		34		1,614
Gecina SA, REIT		12		1,627
Ipsen SA		183		18,297
Lagardere SCA		266		7,824
LVMH Moet Hennessy Louis Vuitton SE		20		4,396
Orange SA		96		1,490
Peugeot SA (a)		3,083		61,961
Publicis Groupe SA		68		4,748
Renault SA		52		4,517
Rexel SA		968		17,538
Sanofi (a)		660		59,661
Schneider Electric SE		220		16,163
SCOR SE		41		1,550
SEB SA (a)		264		36,875
Societe Generale SA (a)		917		46,460
Sodexo SA		92		10,810
Teleperformance		223		24,077
Thales SA		249		24,052
TOTAL SA		410		20,731
Ubisoft Entertainment SA *		456		19,448
Valeo SA		299		19,890
				692,165
Germany - 11.3%
Allianz SE (Registered) (a)		181		33,566
Aurubis AG		287		19,244
BASF SE (a)		281		27,823
Bayer AG (Registered) (a)		286		32,951
Covestro AG (a)(b)		758		58,395
Deutsche Lufthansa AG (Registered)		1,226		19,889
Deutsche Post AG (Registered)		606		20,740
Evonik Industries AG		650		21,186
Fresenius SE & Co. KGaA		99		7,955
HeidelbergCement AG		51		4,776
Hella KGaA Hueck & Co.		161		7,134
HOCHTIEF AG		53		8,759
Infineon Technologies AG (a)		1,393		28,511
KION Group AG		115		7,506
LANXESS AG		165		11,069

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

AQR Funds Semi-Annual Report March 2017

140

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Germany - 11.3% (continued)
Linde AG		44	$	7,331
MTU Aero Engines AG		14		1,820
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		130		25,448
OSRAM Licht AG		58		3,637
Rheinmetall AG		257		21,546
RWE AG *		946		15,677
Salzgitter AG		497		17,965
SAP SE		31		3,041
Siemens AG (Registered) (a)		290		39,722
Software AG (a)		667		26,349
Suedzucker AG (a)		2,230		55,886
Talanx AG		564		19,885
TUI AG		970		13,433
Uniper SE *		1,393		23,412
Vonovia SE		111		3,911
Wacker Chemie AG		14		1,443
				590,010
Hong Kong - 3.7%
Cheung Kong Property Holdings Ltd.		3,500		23,610
CLP Holdings Ltd.		500		5,234
Galaxy Entertainment Group Ltd.		1,000		5,477
Hang Lung Properties Ltd.		2,000		5,199
Henderson Land Development Co. Ltd.		1,000		6,201
Hong Kong Exchanges & Clearing Ltd.		300		7,570
Kerry Properties Ltd. (a)		8,500		29,484
Link REIT		500		3,504
New World Development Co. Ltd.		16,000		19,715
Sino Land Co. Ltd.		6,000		10,522
SJM Holdings Ltd.		5,000		4,070
Sun Hung Kai Properties Ltd.		1,000		14,700
WH Group Ltd. (b)		7,500		6,467
Wharf Holdings Ltd. (The)		2,000		17,188
Wheelock & Co. Ltd.		2,000		15,821
Yue Yuen Industrial Holdings Ltd.		4,500		17,684
				192,446
Italy - 3.9%
A2A SpA		23,080		34,863
Assicurazioni Generali SpA		575		9,123
Autogrill SpA		1,852		18,385
BPER Banca		2,974		14,847
Enel SpA (a)		9,101		42,824
Ferrari NV		43		3,205
Intesa Sanpaolo SpA		6,390		17,382
Leonardo SpA		1,532		21,725
Luxottica Group SpA		56		3,090
Mediobanca SpA		2,299		20,728
Telecom Italia SpA *		6,601		5,942
Unipol Gruppo Finanziario SpA		2,795		11,541
				203,655
Japan - 30.4%
Advantest Corp.		600		11,213
Amada Holdings Co. Ltd.		1,100		12,592
Aozora Bank Ltd.		4,000		14,767
Asahi Group Holdings Ltd.		300		11,359
Asahi Kasei Corp.		1,000		9,716

INVESTMENTS	SHARES		VALUE
Japan - 30.4% (continued)
Astellas Pharma, Inc. (a)		2,500	$	32,972
Bandai Namco Holdings, Inc.		500		14,988
Bridgestone Corp.		300		12,178
Brother Industries Ltd. (a)		1,900		39,733
Chubu Electric Power Co., Inc.		900		12,090
Citizen Watch Co. Ltd.		2,200		14,107
Dai-ichi Life Holdings, Inc.		500		8,950
Daiichi Sankyo Co. Ltd.		300		6,768
Daikin Industries Ltd.		100		10,084
Daiwa House Industry Co. Ltd.		100		2,874
Daiwa House REIT Investment Corp.		1		2,604
DeNA Co. Ltd.		500		10,179
Denso Corp.		100		4,412
Fuji Electric Co. Ltd.		1,000		5,955
FUJIFILM Holdings Corp.		200		7,840
Fujitsu Ltd.		8,000		49,107
Gunma Bank Ltd. (The)		600		3,130
Haseko Corp.		1,200		13,010
Hitachi Chemical Co. Ltd. (a)		1,000		27,779
Hitachi Construction Machinery Co. Ltd.		500		12,511
Hitachi High-Technologies Corp. (a)		1,000		40,850
Hitachi Ltd.		2,000		10,860
Hoya Corp.		100		4,831
Idemitsu Kosan Co. Ltd.		500		17,405
ITOCHU Corp.		1,200		17,084
Itochu Techno-Solutions Corp. (a)		900		26,559
Japan Airlines Co. Ltd.		200		6,350
Japan Tobacco, Inc.		100		3,255
JTEKT Corp.		200		3,111
Kajima Corp.		2,000		13,082
Kamigumi Co. Ltd.		1,000		8,666
Kao Corp.		100		5,492
Komatsu Ltd.		400		10,477
Konami Holdings Corp.		300		12,742
Konica Minolta, Inc.		1,700		15,248
Kuraray Co. Ltd.		100		1,521
Kyushu Financial Group, Inc.		2,200		13,475
Lion Corp.		1,000		18,022
Marubeni Corp.		800		4,942
Matsumotokiyoshi Holdings Co. Ltd.		200		9,527
Mazda Motor Corp.		1,500		21,652
Mitsubishi Chemical Holdings Corp.		600		4,658
Mitsubishi Corp.		1,100		23,840
Mitsubishi Electric Corp. (a)		1,800		25,935
Mitsubishi Estate Co. Ltd.		1,000		18,227
Mitsubishi Gas Chemical Co., Inc. (a)		1,400		29,160
Mitsubishi UFJ Financial Group, Inc.		4,600		28,976
Mitsubishi UFJ Lease & Finance Co. Ltd.		500		2,499
Mitsui & Co. Ltd.		100		1,452
Mitsui Chemicals, Inc.		3,000		14,863
Mitsui OSK Lines Ltd.		1,000		3,143
Mixi, Inc.		300		14,512
Mizuho Financial Group, Inc. (a)		17,900		32,857
MS&AD Insurance Group Holdings, Inc. (a)		1,000		31,941
Nabtesco Corp.		100		2,661
NH Foods Ltd.		1,000		26,865
NHK Spring Co. Ltd.		400		4,429
Nippon Express Co. Ltd.		6,000		30,884

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

AQR Funds Semi-Annual Report March 2017

141

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Japan - 30.4% (continued)
Nippon Telegraph & Telephone Corp.		400	$	17,101
Nomura Holdings, Inc.		2,500		15,476
Nomura Real Estate Master Fund, Inc., REIT		1		1,555
NSK Ltd.		200		2,865
NTT DOCOMO, Inc.		500		11,676
Obayashi Corp.		900		8,439
ORIX Corp.		1,000		14,843
Resona Holdings, Inc. (a)		7,400		39,781
Rohm Co. Ltd.		100		6,657
Sega Sammy Holdings, Inc.		1,100		14,795
Seiko Epson Corp.		700		14,769
Sekisui Chemical Co. Ltd.		500		8,429
Shimamura Co. Ltd.		100		13,256
Shimizu Corp.		1,000		8,980
Shin-Etsu Chemical Co. Ltd.		100		8,692
Shinsei Bank Ltd.		9,000		16,584
Shionogi & Co. Ltd.		300		15,530
SoftBank Group Corp. (a)		400		28,366
Sojitz Corp.		6,300		15,831
Sompo Holdings, Inc.		400		14,695
Sony Corp.		200		6,750
Square Enix Holdings Co. Ltd.		300		8,516
Subaru Corp.		800		29,343
Sumco Corp.		500		8,352
Sumitomo Corp.		600		8,095
Sumitomo Dainippon Pharma Co. Ltd.		1,000		16,547
Sumitomo Electric Industries Ltd.		500		8,312
Sumitomo Heavy Industries Ltd.		5,000		34,956
Sumitomo Mitsui Financial Group, Inc. (a)		1,000		36,399
Sumitomo Mitsui Trust Holdings, Inc.		700		24,256
Sumitomo Rubber Industries Ltd.		400		6,825
Suzuki Motor Corp.		500		20,767
T&D Holdings, Inc.		600		8,697
Taiheiyo Cement Corp.		2,000		6,711
Taisei Corp.		2,000		14,626
TDK Corp.		100		6,349
Teijin Ltd.		300		5,665
THK Co. Ltd.		500		12,613
Tokio Marine Holdings, Inc.		300		12,679
Tokyo Electron Ltd.		200		21,895
Tosoh Corp.		3,000		26,396
Toyo Seikan Group Holdings Ltd.		200		3,255
Toyoda Gosei Co. Ltd.		100		2,551
Toyota Boshoku Corp.		500		11,629
Toyota Motor Corp. (a)		600		32,567
Toyota Tsusho Corp.		100		3,035
Yamada Denki Co. Ltd.		300		1,500
Yamaha Corp.		100		2,766
Yamato Holdings Co. Ltd.		300		6,286
Yokogawa Electric Corp.		700		11,040
				1,590,669
Macau - 0.2%
MGM China Holdings Ltd.		4,000		8,341
Netherlands - 4.9%
ABN AMRO Group NV, CVA (a)(b)		1,454		35,257
Aegon NV		3,178		16,188
Akzo Nobel NV		97		8,030

INVESTMENTS	SHARES		VALUE
Netherlands - 4.9% (continued)
ASM International NV		404	$	22,654
ASML Holding NV		106		14,066
ING Groep NV		1,287		19,439
Koninklijke Ahold Delhaize NV		256		5,471
Koninklijke DSM NV		258		17,448
Koninklijke Philips NV (a)		1,138		36,557
NN Group NV		551		17,895
Randstad Holding NV		314		18,102
Royal Dutch Shell plc, Class B		1,394		38,320
Wolters Kluwer NV		174		7,221
				256,648
Norway - 1.0%
DNB ASA		589		9,352
Leroy Seafood Group ASA		201		8,803
Norsk Hydro ASA		1,207		7,034
Salmar ASA		1,029		22,189
Yara International ASA		146		5,624
				53,002
Singapore - 0.6%
City Developments Ltd.		400		2,915
DBS Group Holdings Ltd.		200		2,770
Genting Singapore plc		24,100		17,575
Wilmar International Ltd.		2,700		6,813
				30,073
South Africa - 0.6%
Investec plc		2,324		15,847
Mondi plc		743		17,952
				33,799
Spain - 4.5%
ACS Actividades de Construccion y Servicios SA		223		7,580
Banco Bilbao Vizcaya Argentaria SA		2,952		22,916
Banco de Sabadell SA		3,050		5,589
Banco Santander SA (a)		8,081		49,466
Bankinter SA		467		3,916
CaixaBank SA		3,527		15,164
Ebro Foods SA		16		323
Endesa SA (a)		1,747		41,002
Mapfre SA		4,757		16,293
Prosegur Cia de Seguridad SA		5		30
Repsol SA (a)		2,505		38,810
Tecnicas Reunidas SA (a)		682		26,927
Telefonica SA		663		7,421
				235,437
Sweden - 3.1%
BillerudKorsnas AB		888		14,309
Boliden AB		1,055		31,402
Electrolux AB, Series B		677		18,795
Holmen AB, Class B		40		1,556
Investor AB, Class B		109		4,583
NCC AB, Class B		348		8,598
Nordea Bank AB		718		8,192
Saab AB, Class B		548		23,122
Sandvik AB		710		10,605
Skanska AB, Class B		512		12,050

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

AQR Funds Semi-Annual Report March 2017

142

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Sweden - 3.1% (continued)
SSAB AB, Class A *		2,534	$	10,021
Svenska Cellulosa AB SCA, Class B		229		7,380
Swedish Match AB		261		8,482
Volvo AB, Class B		338		4,986
				164,081
Switzerland - 11.3%
ABB Ltd. (Registered) (a)		1,874		43,862
Actelion Ltd. *		33		9,297
Adecco Group AG (Registered) (a)		686		48,709
Baloise Holding AG (Registered)		58		7,970
Coca-Cola HBC AG *		469		12,108
Geberit AG (Registered)		23		9,911
Georg Fischer AG (Registered)		20		18,184
Glencore plc *		5,297		20,783
Lonza Group AG (Registered) *		101		19,091
Nestle SA (Registered) (a)		600		46,051
Novartis AG (Registered)		315		23,391
Partners Group Holding AG		40		21,497
Roche Holding AG (a)		232		59,330
Sika AG		4		23,991
STMicroelectronics NV (a)		2,927		44,945
Sulzer AG (Registered)		23		2,406
Swiss Re AG (a)		333		29,909
Syngenta AG (Registered)		35		15,457
Temenos Group AG (Registered)		483		38,362
UBS Group AG (Registered) *(a)		2,112		33,759
Wolseley plc		189		11,900
Zurich Insurance Group AG (a)		192		51,237
				592,150
United Kingdom - 19.5%
Aberdeen Asset Management plc		4,959		16,456
Amec Foster Wheeler plc		812		5,431
Anglo American plc *		1,003		15,325
Ashtead Group plc		1,425		29,497
ASOS plc *		149		11,268
AstraZeneca plc		90		5,534
BAE Systems plc		750		6,036
Barclays plc		8,730		24,643
Barratt Developments plc		5,065		34,695
BBA Aviation plc		400		1,525
Bellway plc		238		8,064
Berendsen plc		1,150		10,539
Berkeley Group Holdings plc		100		4,021
BP plc		5,050		29,068
British Land Co. plc (The), REIT		203		1,552
BT Group plc		7,394		29,525
Burberry Group plc		242		5,223
Centrica plc		5,172		14,083
Close Brothers Group plc		734		14,149
Compass Group plc		519		9,799
Diageo plc		116		3,322
Dialog Semiconductor plc *(a)		783		39,938
Dixons Carphone plc		5,274		21,006
Fiat Chrysler Automobiles NV		3,926		42,893
G4S plc		435		1,658
GKN plc		5,093		23,197
GlaxoSmithKline plc		2,015		41,898

INVESTMENTS	SHARES		VALUE
United Kingdom - 19.5% (continued)
Hammerson plc, REIT		643	$	4,598
Hays plc		4,645		9,137
Howden Joinery Group plc		883		4,797
HSBC Holdings plc		7,518		61,323
Inchcape plc		357		3,764
Indivior plc		12,587		50,820
InterContinental Hotels Group plc		137		6,710
Intermediate Capital Group plc		2,401		21,268
International Consolidated Airlines Group SA		1,548		10,259
JD Sports Fashion plc		1,727		8,345
Jupiter Fund Management plc		615		3,281
Kingfisher plc		2,965		12,132
Land Securities Group plc, REIT		268		3,559
Lloyds Banking Group plc		27,257		22,669
Man Group plc		855		1,580
Marks & Spencer Group plc		364		1,538
Moneysupermarket.com Group plc		3,057		12,648
Playtech plc		900		10,501
Reckitt Benckiser Group plc		252		23,006
RELX plc		262		5,129
Rio Tinto Ltd.		102		4,710
Rio Tinto plc		614		24,724
Royal Mail plc		9,515		50,677
Segro plc, REIT		2,180		12,464
Sky plc		248		3,033
Spectris plc		165		5,159
Standard Chartered plc *		1,411		13,496
Subsea 7 SA		418		6,487
Tate & Lyle plc		5,860		56,154
Taylor Wimpey plc		8,105		19,604
Unilever plc		430		21,211
WH Smith plc		609		13,531
William Hill plc		4,507		16,436
Wm Morrison Supermarkets plc		3,271		9,843
WPP plc		1,491		32,681
				1,017,619
TOTAL COMMON STOCKS (cost $6,192,305)				6,636,461
EXCHANGE TRADED FUND - 1.7%
United States - 1.7%
iShares MSCI EAFE Fund
(cost $83,387) (1)		1,393		86,770
SHORT-TERM INVESTMENTS - 1.1%
Investment Companies - 1.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.58% (c)		3,607		3,607
Dreyfus Treasury & Agency Cash Management, Class I, 0.61% (c)		14,429		14,429
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62% (c)		22,708		22,708
UBS Select Treasury Preferred Fund, Class I, 0.62% (c)		18,037		18,037
TOTAL SHORT-TERM INVESTMENTS (cost $58,781)				58,781
TOTAL LONG POSITIONS (cost $6,334,473)				6,782,012

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

AQR Funds Semi-Annual Report March 2017

143

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
SHORT POSITIONS - (29.6)%
COMMON STOCKS - (29.6)%
Australia - (4.2)%
Alumina Ltd.		(2,273	)	$	(3,110	)
AMP Ltd.		(8,223	)		(32,531	)
Brambles Ltd.		(1,242	)		(8,870	)
Domino’s Pizza Enterprises Ltd.		(382	)		(16,959	)
Healthscope Ltd.		(1,443	)		(2,502	)
Iluka Resources Ltd.		(6,053	)		(35,234	)
Magellan Financial Group Ltd.		(1,898	)		(34,257	)
Oil Search Ltd.		(3,532	)		(19,473	)
Platinum Asset Management Ltd.		(3,696	)		(14,484	)
REA Group Ltd.		(296	)		(13,423	)
Santos Ltd. *		(728	)		(2,113	)
SEEK Ltd.		(391	)		(4,754	)
Sydney Airport		(365	)		(1,887	)
TPG Telecom Ltd.		(4,207	)		(22,397	)
Vocus Group Ltd.		(2,358	)		(7,781	)
					(219,775	)
Belgium - (0.5)%
Anheuser-Busch InBev SA/NV		(198	)		(21,696	)
Telenet Group Holding NV *		(84	)		(4,993	)
					(26,689	)
Chile - (0.1)%
Antofagasta plc		(259	)		(2,704	)
Denmark - (1.2)%
Chr Hansen Holding A/S		(306	)		(19,629	)
Nets A/S *(b)		(268	)		(4,321	)
Novozymes A/S, Class B		(1,036	)		(41,046	)
					(64,996	)
Finland - (0.3)%
Amer Sports OYJ		(314	)		(7,100	)
Nokia OYJ		(1,749	)		(9,400	)
					(16,500	)
France - (3.4)%
Accor SA		(426	)		(17,719	)
Bollore SA		(5,933	)		(22,965	)
Casino Guichard Perrachon SA		(89	)		(4,973	)
Edenred		(1,540	)		(36,347	)
Groupe Eurotunnel SE (Registered)		(3,796	)		(38,157	)
Ingenico Group SA		(221	)		(20,844	)
JCDecaux SA		(149	)		(5,233	)
SFR Group SA *		(991	)		(31,122	)
					(177,360	)
Germany - (1.9)%
Bilfinger SE		(171	)		(6,589	)
Fielmann AG		(162	)		(12,514	)
Sartorius AG (Preference)		(353	)		(30,960	)
Telefonica Deutschland Holding AG		(1,704	)		(8,448	)
thyssenkrupp AG		(63	)		(1,544	)
United Internet AG (Registered)		(682	)		(30,166	)
Volkswagen AG (Preference)		(66	)		(9,621	)
					(99,842	)

INVESTMENTS	SHARES			VALUE
Italy - (2.3)%
Azimut Holding SpA		(1,001	)	$	(17,383	)
Banca Generali SpA		(1,297	)		(33,901	)
Banco BPM SpA		(4,396	)		(13,047	)
Brembo SpA		(90	)		(6,658	)
FinecoBank Banca Fineco SpA		(1,134	)		(7,712	)
Mediaset SpA		(467	)		(1,929	)
Saipem SpA *		(30,920	)		(14,044	)
Salvatore Ferragamo SpA		(268	)		(8,023	)
Terna Rete Elettrica Nazionale SpA		(602	)		(2,984	)
UniCredit SpA *		(213	)		(3,283	)
Yoox Net-A-Porter Group SpA *		(421	)		(10,006	)
					(118,970	)
Japan - (8.0)%
Acom Co. Ltd. *		(5,100	)		(20,414	)
Aeon Co. Ltd.		(100	)		(1,464	)
AEON Financial Service Co. Ltd.		(800	)		(15,106	)
Alps Electric Co. Ltd.		(200	)		(5,671	)
Asics Corp.		(700	)		(11,263	)
Bank of Kyoto Ltd. (The)		(3,000	)		(21,897	)
Calbee, Inc.		(1,100	)		(37,572	)
Chugoku Electric Power Co., Inc. (The)		(2,200	)		(24,408	)
Don Quijote Holdings Co. Ltd.		(400	)		(13,923	)
Electric Power Development Co. Ltd.		(400	)		(9,400	)
Hamamatsu Photonics KK		(100	)		(2,886	)
Hokuriku Electric Power Co.		(4,300	)		(41,830	)
Iyo Bank Ltd. (The)		(700	)		(4,723	)
Japan Airport Terminal Co. Ltd.		(200	)		(6,977	)
Kakaku.com, Inc.		(600	)		(8,191	)
Kobe Steel Ltd. *		(600	)		(5,490	)
Marui Group Co. Ltd.		(400	)		(5,451	)
Mitsubishi Motors Corp.		(3,300	)		(19,796	)
MonotaRO Co. Ltd.		(600	)		(18,594	)
Nankai Electric Railway Co. Ltd.		(1,000	)		(4,875	)
NGK Spark Plug Co. Ltd.		(700	)		(16,052	)
Nippon Yusen KK *		(2,000	)		(4,222	)
Orient Corp.		(1,200	)		(2,174	)
Ricoh Co. Ltd.		(400	)		(3,300	)
Santen Pharmaceutical Co. Ltd.		(300	)		(4,358	)
Seibu Holdings, Inc.		(200	)		(3,308	)
Seven Bank Ltd.		(15,000	)		(49,122	)
Shikoku Electric Power Co., Inc.		(1,700	)		(18,727	)
Sony Financial Holdings, Inc.		(1,400	)		(22,483	)
Sosei Group Corp. *		(100	)		(9,766	)
Yakult Honsha Co. Ltd.		(100	)		(5,566	)
					(419,009	)
Jordan - (1.0)%
Hikma Pharmaceuticals plc		(2,160	)		(53,653	)
Luxembourg - (0.9)%
Millicom International Cellular SA, SDR		(102	)		(5,687	)
Tenaris SA		(2,448	)		(42,332	)
					(48,019	)
Netherlands - (0.6)%
Altice NV, Class A *		(1,286	)		(29,088	)
SBM Offshore NV		(199	)		(3,262	)
					(32,350	)

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

AQR Funds Semi-Annual Report March 2017

144

Schedule of Investments March 31, 2017 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Norway - (1.0)%
Schibsted ASA, Class A		(2,003	)	$	(51,562	)
Singapore - (0.2)%
CapitaLand Ltd.		(2,500	)		(6,489	)
Keppel Corp. Ltd.		(400	)		(1,984	)
					(8,473	)
South Africa - (0.4)%
Mediclinic International plc		(2,268	)		(20,257	)
Spain - (1.2)%
Acerinox SA		(494	)		(6,905	)
Banco Popular Espanol SA *		(3,106	)		(3,012	)
Cellnex Telecom SA (b)		(3,169	)		(52,193	)
					(62,110	)
Switzerland - (0.6)%
Chocoladefabriken Lindt & Spruengli AG		(4	)		(22,665	)
Galenica AG (Registered)		(7	)		(7,380	)
					(30,045	)
United Kingdom - (1.7)%
AA plc		(3,230	)		(10,757	)
Aggreko plc		(281	)		(3,108	)
BTG plc *		(832	)		(6,115	)
Capita plc		(1,747	)		(12,372	)
Cobham plc		(4,479	)		(7,467	)
Essentra plc		(1,659	)		(10,898	)
Hargreaves Lansdown plc		(367	)		(5,978	)
Inmarsat plc		(1,122	)		(11,954	)
Just Eat plc *		(619	)		(4,384	)
Pennon Group plc		(295	)		(3,259	)
Petrofac Ltd.		(1,031	)		(11,909	)
					(88,201	)
United States - (0.1)%
QIAGEN NV *		(200	)		(5,806	)
TOTAL COMMON STOCKS (proceeds $(1,464,746))					(1,546,321	)
TOTAL SHORT POSITIONS (proceeds $(1,464,746))					(1,546,321	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE -100.1% (cost $4,869,727)					5,235,691
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%				(6,026)
NET ASSETS - 100.0%				$	5,229,665

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	586,929			11.2	%
Consumer Staples		275,672			5.3
Energy		161,947			3.1
Exchange Traded Fund		86,770			1.7
Financials		1,161,399			22.2
Health Care		420,986			8.0
Industrials		913,068			17.5
Information Technology		588,808			11.3
Materials		655,560			12.5
Real Estate		240,218			4.6
Telecommunication Services		(14,667	)		(0.3	)
Utilities		100,220			1.9
Short-Term Investments		58,781			1.1
Total Investments In Securities At Value		5,235,691			100.1
Liabilities in Excess of Other Assets		(6,026	)		(0.1	)
Net Assets	$	5,229,665			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 $1,946,045.

(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 3/31/2017 amounted to $43,605, which represents approximately 0.83% of net assets of the fund.

(c) Represents 7-day effective yield as of 3/31/2017.

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

(1) Level 1 security (See Note 4).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

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

AQR Funds Semi-Annual Report March 2017

145

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 75.1%
Brazil - 8.1%
AES Tiete SA (1)		5,100	$	22,302
Ambev SA, ADR (1)		5,466		31,484
Banco Bradesco SA, ADR (1)*		3,698		37,867
Banco do Brasil SA (1)*		1,200		12,921
BB Seguridade Participacoes SA (1)		1,000		9,366
Braskem SA (Preference), Class A (1)		4,300		43,774
Centrais Eletricas Brasileiras SA (1)*		7,700		42,330
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)*		1,488		15,490
Cia Energetica de Minas Gerais, ADR (1)		3,557		11,703
Cosan SA Industria e Comercio (1)		600		7,427
Hypermarcas SA (1)		1,900		17,600
Itausa - Investimentos Itau SA (Preference) (1)		14,900		45,453
Itau Unibanco Holding SA, ADR (1)		1,971		23,790
JBS SA (1)		4,200		13,765
M Dias Branco SA (1)*		1,200		48,888
Qualicorp SA (1)		600		3,806
Sul America SA (1)		6,940		37,021
Vale SA (Preference) (1)*		4,800		43,422
WEG SA (1)		3,100		17,250
				485,659
Chile - 1.6%
Banco de Chile, ADR (1)		510		36,802
Banco Santander Chile, ADR (1)		525		13,167
Enel Americas SA, ADR (1)		4,368		45,384
Enel Chile SA, ADR (1)		559		3,074
				98,427
China - 5.0%
Alibaba Group Holding Ltd., ADR (1)*		1,453		156,677
Baidu, Inc., ADR (1)*		352		60,727
Ctrip.com International Ltd., ADR (1)*		487		23,936
JD.com, Inc., ADR (1)*		786		24,453
NetEase, Inc., ADR (1)		91		25,844
New Oriental Education & Technology Group, Inc., ADR (1)*		115		6,944
Vipshop Holdings Ltd., ADR (1)*		351		4,682
				303,263
Hungary - 0.1%
MOL Hungarian Oil & Gas plc		70		4,793
OTP Bank plc		84		2,347
				7,140
India - 5.1%
Dr Reddy’s Laboratories Ltd., ADR (1)		878		35,252
ICICI Bank Ltd., ADR (1)		5,736		49,329
Infosys Ltd., ADR		6,726		106,271
Tata Motors Ltd., ADR (1)		1,729		61,639
Wipro Ltd., ADR (1)		5,056		51,723
				304,214
Indonesia - 3.0%
Adaro Energy Tbk. PT		330,100		43,359
Bank Central Asia Tbk. PT		6,900		8,567
Bank Mandiri Persero Tbk. PT		7,900		6,938
Bank Negara Indonesia Persero Tbk. PT		30,000		14,585

INVESTMENTS	SHARES		VALUE
Indonesia - 3.0% (continued)
Bank Rakyat Indonesia Persero Tbk. PT		20,400	$	19,864
Gudang Garam Tbk. PT		500		2,459
Surya Citra Media Tbk. PT		12,000		2,432
Telekomunikasi Indonesia Persero Tbk. PT		119,300		37,084
United Tractors Tbk. PT		23,900		47,574
				182,862
Mexico - 0.2%
Cemex SAB de CV, ADR (1)*		1,541		13,977
Peru - 0.2%
Credicorp Ltd. (1)		16		2,613
Southern Copper Corp. (1)		245		8,793
				11,406
Philippines - 0.1%
PLDT, Inc., ADR (1)		116		3,731
Poland - 1.7%
Jastrzebska Spolka Weglowa SA *		1,433		22,678
PGE Polska Grupa Energetyczna SA		9,830		28,234
Polski Koncern Naftowy ORLEN SA		853		21,514
Powszechna Kasa Oszczednosci Bank Polski SA *		3,351		27,085
Tauron Polska Energia SA *		4,385		3,747
				103,258
Romania - 0.0% (a)
New Europe Property Investments plc		246		2,553
Russia - 0.6%
Mobile TeleSystems PJSC, ADR (1)		3,246		35,803
South Africa - 7.1%
AngloGold Ashanti Ltd., ADR (1)		2,276		24,512
Barclays Africa Group Ltd.		2,986		31,053
Bid Corp. Ltd.		285		5,498
Brait SE *		594		3,457
Exxaro Resources Ltd.		1,172		10,294
Fortress Income Fund Ltd., REIT		2,271		5,623
Foschini Group Ltd. (The)		779		8,965
Growthpoint Properties Ltd., REIT		4,750		9,156
Hyprop Investments Ltd., REIT		657		6,001
Imperial Holdings Ltd.		1,116		13,675
Investec Ltd.		2,970		20,231
MMI Holdings Ltd.		6,596		11,221
Mondi Ltd.		725		17,293
Naspers Ltd., Class N		275		47,386
Nedbank Group Ltd.		101		1,815
Redefine Properties Ltd., REIT		11,645		9,547
Remgro Ltd.		453		6,950
Resilient REIT Ltd.		609		5,297
RMB Holdings Ltd.		9,037		39,443
Sanlam Ltd.		2,901		14,556
Sappi Ltd.		2,880		19,510
Shoprite Holdings Ltd.		660		9,545
Sibanye Gold Ltd.		1,435		3,098
Standard Bank Group Ltd.		4,809		51,569
Telkom SA SOC Ltd.		7,107		39,769
Tiger Brands Ltd.		274		8,175
				423,639

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

AQR Funds Semi-Annual Report March 2017

146

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
South Korea - 29.3%
BNK Financial Group, Inc.		723	$	5,932
Daelim Industrial Co. Ltd.		329		23,806
DGB Financial Group, Inc.		198		1,919
Doosan Heavy Industries & Construction Co. Ltd.		1,690		36,209
Hana Financial Group, Inc.		689		22,736
Hanwha Chemical Corp.		2,373		56,056
Hanwha Corp.		573		18,397
Hanwha Life Insurance Co. Ltd.		296		1,599
Hyosung Corp.		469		56,834
Hyundai Department Store Co. Ltd.		232		20,951
Hyundai Development Co.-Engineering & Construction		2,023		73,591
Hyundai Engineering & Construction Co. Ltd.		897		39,738
Hyundai Glovis Co. Ltd.		181		23,804
Hyundai Marine & Fire Insurance Co. Ltd.		1,708		53,459
Hyundai Mobis Co. Ltd.		180		38,721
Hyundai Steel Co.		49		2,566
Industrial Bank of Korea		2,682		29,236
KB Financial Group, Inc.		1,999		87,609
KCC Corp.		8		2,535
Kia Motors Corp.		1,003		33,242
Korea Electric Power Corp.		563		23,435
KT Corp., ADR (1)		273		4,595
KT&G Corp.		112		9,769
LG Corp.		515		32,349
LG Display Co. Ltd.		1,742		47,174
LG Uplus Corp.		354		4,531
Lotte Chemical Corp.		312		103,388
POSCO		195		50,646
Posco Daewoo Corp.		1,419		30,272
Samsung Card Co. Ltd.		563		19,747
Samsung Electronics Co. Ltd.		192		353,360
Shinhan Financial Group Co. Ltd.		755		31,459
SK Hynix, Inc.		4,402		198,825
SK Innovation Co. Ltd.		781		116,374
SK Networks Co. Ltd.		1,379		9,214
SK Telecom Co. Ltd.		372		84,053
Woori Bank		1,115		12,953
				1,761,084
Taiwan - 12.8%
Casetek Holdings Ltd.		4,000		13,310
Cathay Financial Holding Co. Ltd.		9,000		14,446
China Life Insurance Co. Ltd.		7,000		6,922
First Financial Holding Co. Ltd.		12,000		7,316
Formosa Chemicals & Fibre Corp.		5,000		15,555
Foxconn Technology Co. Ltd.		12,000		36,587
Fubon Financial Holding Co. Ltd.		7,000		11,417
Hon Hai Precision Industry Co. Ltd.		58,000		173,947
Innolux Corp.		27,000		11,171
Inventec Corp.		5,000		3,749
Lite-On Technology Corp.		2,000		3,447
MediaTek, Inc.		5,000		35,429
Micro-Star International Co. Ltd.		4,000		9,309
Nien Made Enterprise Co. Ltd.		1,000		9,327
Novatek Microelectronics Corp.		1,000		3,873
Pegatron Corp.		29,000		85,850

INVESTMENTS	SHARES		VALUE
Taiwan - 12.8% (continued)
Phison Electronics Corp.		9,000	$	80,801
Pou Chen Corp.		7,000		9,688
Powertech Technology, Inc.		1,000		2,910
Realtek Semiconductor Corp.		14,000		50,057
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1)		4,453		146,237
Wistron Corp.		38,000		34,819
Zhen Ding Technology Holding Ltd.		2,000		4,700
				770,867
United States - 0.2%
Yum! China Holdings, Inc. (1)*		345		9,384
TOTAL COMMON STOCKS (cost $4,155,326)				4,517,267
EXCHANGE TRADED FUND - 5.0%
United States – 5.0%
iShares MSCI Emerging Markets Fund (cost $291,016) (1)		7,684		302,673
SHORT-TERM INVESTMENT - 18.6%
Investment Company - 18.6%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.62%
(cost $1,117,272) (b)(c)		1,117,272		1,117,272
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.7% (cost $5,563,614)				5,937,212
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3% (d)			76,579
NET ASSETS - 100.0%			$	6,013,791

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	315,425		5.2	%
Consumer Staples		129,583		2.2
Energy		251,335		4.2
Exchange Traded Fund		302,673		5.0
Financials		834,761		13.9
Health Care		56,658		0.9
Industrials		307,165		5.1
Information Technology		1,696,796		28.2
Materials		482,103		8.0
Real Estate		38,177		0.6
Telecommunication Services		209,565		3.5
Utilities		195,699		3.3
Short-Term Investment		1,117,272		18.6
Total Investments In Securities At Value		5,937,212		98.7
Other Assets in Excess of Liabilities (d)		76,579		1.3
Net Assets	$	6,013,791		100.0	%

* Non-income producing security.

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

(b) Represents 7-day effective yield as of 3/31/2017.

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

AQR Funds Semi-Annual Report March 2017

147

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

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

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

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

(1) Level 1 security (See Note 4).

Abbreviations

ADR - American Depositary Receipt

PJSC - Public Joint Stock Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

REIT - Real Estate Investment Trust

Total Return Basket Swaps* Outstanding at March 31, 2017

Over the Counter

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 London Interbank Offered Rate plus or minus a specified spread, which is denominated in MXN based on the local currencies of the positions within the swaps.	58-61 months maturity ranging from 12/20/2021 - 03/07/2022		$16,257

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

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of March 31, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stock
Mexico
Arca Continental SAB de CV		800	$	4,852	$	708
Fibra Uno Administracion SA de CV		6,700		11,112		369
Gruma SAB de CV		2,000		27,730		419
Grupo Aeroportuario del Pacifico SAB de CV		400		3,736		155
Grupo Mexico SAB de CV		16,700		53,479		(3,278	)
Industrias Penoles SAB de CV		980		22,222		3,061

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Mexico (continued)
Wal-Mart de Mexico SAB de CV		41,500	$	82,101	$	13,568
						15,002
Total of Long Equity Positions						15,002
Net Cash and Other Receivables/ (Payables) (b)						1,255
Swaps, at Value					$	16,257

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

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

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

AQR Funds Semi-Annual Report March 2017

148

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY 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 swaps.	58-61 months maturity ranging from 12/20/2021 - 03/08/2022		$(59,817	)

** 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 March 31, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stock
India
Axis Bank Ltd.		765	$	26,511	$	2,537
Larsen & Toubro Ltd.		1,147		24,550		3,157
Reliance Industries Ltd.		2,203		69,305		19,171
State Bank of India		687		26,772		3,945
						28,810
Malaysia
AirAsia Bhd.		106,700		59,866		15,833
CIMB Group Holdings Bhd.		4,700		4,810		1,105
Genting Malaysia Bhd.		23,400		24,980		3,832
Kuala Lumpur Kepong Bhd.		300		1,649		24
Public Bank Bhd.		4,900		22,449		(421	)
Sime Darby Bhd.		5,300		10,887		219
Tenaga Nasional Bhd.		13,000		40,829		(541	)
						20,051
Russia
Gazprom PJSC, ADR		7,693		38,322		(3,882	)
Lukoil PJSC, ADR		493		27,112		(978	)
MMC Norilsk Nickel PJSC, ADR		607		9,725		(197	)
Novatek PJSC		79		10,256		(405	)
Rosneft Oil Co. PJSC		990		6,346		(706	)
Severstal PJSC		7,473		116,330		(8,769	)
Surgutneftegas OJSC, ADR		1,256		6,244		201
Tatneft PJSC, ADR		277		10,691		(491	)
						(15,227	)
Thailand
Central Pattana PCL		2,800		4,392		233
Charoen Pokphand Foods PCL		33,600		26,134		1,003
Indorama Ventures PCL		5,000		5,205		(76	)
Krung Thai Bank PCL		40,300		21,861		2,066
PTT Global Chemical PCL		24,300		44,878		6,918

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Thailand (continued)
Siam Cement PCL (The)		300		$	4,049		$	665
Thai Oil PCL		22,100			44,794			3,769
Thai Union Group PCL		4,500			2,557			246
								14,824
Total of Long Equity Positions								48,458
Short Positions
Common Stock
Brazil
CCR SA		(202	)		(1,037	)		(128	)
Cia Brasileira de Distribuicao, ADR		(210	)		(3,889	)		(143	)
Fibria Celulose SA, ADR		(3,279	)		(31,019	)		1,049
Localiza Rent a Car SA		(100	)		(1,300	)		(31	)
								747
Indonesia
Perusahaan Gas Negara Persero Tbk.		(40,000	)		(8,140	)		546
Malaysia
Axiata Group Bhd.		(18,700	)		(20,878	)		(502	)
Russia
Magnit PJSC		(874	)		(33,908	)		601
South Africa
Gold Fields Ltd., ADR		(525	)		(1,622	)		(231	)
South Korea
Amorepacific Corp.		(21	)		(5,771	)		500
BGF retail Co. Ltd.		(381	)		(29,519	)		(6,265	)
CJ CheilJedang Corp.		(17	)		(5,367	)		—
CJ Corp.		(92	)		(14,158	)		(156	)
CJ Korea Express Corp.		(123	)		(17,043	)		(1,275	)
Daewoo Engineering & Construction Co. Ltd.		(2,167	)		(9,759	)		(4,288	)
GS Retail Co. Ltd.		(825	)		(35,550	)		(3,336	)
Hanmi Pharm Co. Ltd.		(35	)		(9,633	)		277
Hanmi Science Co. Ltd.		(1,101	)		(55,281	)		(2,199	)
Hanssem Co. Ltd.		(124	)		(21,272	)		(3,124	)

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

AQR Funds Semi-Annual Report March 2017

149

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
South Korea (continued)
Hanwha Techwin Co. Ltd.		(215	)	$	(8,298	)	$	(754	)
Hotel Shilla Co. Ltd.		(407	)		(17,276	)		850
Kakao Corp.		(188	)		(12,964	)		(1,010	)
Kangwon Land, Inc.		(159	)		(4,865	)		(570	)
Korea Aerospace Industries Ltd.		(1,136	)		(63,534	)		4,993
Kumho Petrochemical Co. Ltd.		(850	)		(56,761	)		(3,135	)
Lotte Chilsung Beverage Co. Ltd.		(19	)		(23,973	)		(67	)
Lotte Confectionery Co. Ltd.		(77	)		(14,425	)		1,179
Lotte Shopping Co. Ltd.		(54	)		(10,148	)		(357	)
Mirae Asset Daewoo Co. Ltd.		(5,339	)		(40,267	)		(2,913	)
Orion Corp.		(104	)		(59,909	)		(2,457	)
Samsung C&T Corp.		(469	)		(50,956	)		(2,562	)
Samsung Electro-Mechanics Co. Ltd.		(1,957	)		(77,696	)		(43,982	)
Samsung SDI Co. Ltd.		(864	)		(73,408	)		(33,256	)
Samsung Securities Co. Ltd.		(121	)		(3,365	)		(278	)
Shinsegae, Inc.		(73	)		(10,858	)		(1,612	)
S-Oil Corp.		(110	)		(8,422	)		(1,469	)
								(107,266	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Taiwan
Hotai Motor Co. Ltd.		(2,000	)	$	(22,963	)	$	(463	)
HTC Corp.		(11,000	)		(27,473	)		(620	)
Shin Kong Financial Holding Co. Ltd.		(24,000	)		(6,160	)		(838	)
								(1,921	)
Thailand
True Corp. PCL		(69,000	)		(13,284	)		(369	)
Total of Short Equity Positions								(108,395	)
Total of Long and Short Equity Positions								(59,937	)
Net Cash and Other Receivables/ (Payables) (b)								120
Swaps, at Value							$	(59,817	)

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

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

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

AQR Funds Semi-Annual Report March 2017

150

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY 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 Johannesburg Interbank Agreed Rate plus or minus a specified spread, which is denominated in ZAR based on the local currencies of the positions within the swaps.	59-61 months maturity ranging from 12/21/2021 - 03/07/2022		$(5,101	)

** 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 March 31, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stock
South Africa
Discovery Ltd.		(4,254	)	$	(36,285	)	$	(4,551	)
Impala Platinum Holdings Ltd.		(6,359	)		(20,966	)		(486	)
MTN Group Ltd.		(753	)		(7,139	)		295
								(4,742	)
Total of Short Equity Positions								(4,742	)
Net Cash and Other Receivables/ (Payables) (b)								(359	)
Swaps, at Value							$	(5,101	)

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

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

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

AQR Funds Semi-Annual Report March 2017

151

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY 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 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 swaps.	58-61 months maturity ranging from 12/20/2021 - 03/07/2022		$104,103

** 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 March 31, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stock
China
AAC Technologies Holdings, Inc.		1,000	$	11,156	$	553
Agricultural Bank of China Ltd.		45,000		19,741		1,012
Bank of China Ltd.		89,000		40,965		3,293
Bank of Communications Co. Ltd.		23,000		17,782		122
Beijing Capital International Airport Co. Ltd.		4,000		4,375		413
Beijing Enterprises Holdings Ltd.		14,000		62,925		9,537
Belle International Holdings Ltd.		35,000		19,759		3,005
China Cinda Asset Management Co. Ltd.		199,000		68,860		8,535
China CITIC Bank Corp. Ltd.		50,000		32,367		807
China Communications Services Corp. Ltd.		64,000		39,509		2,405
China Construction Bank Corp.		191,000		140,866		13,024
China Evergrande Group		10,000		6,889		2,383
China Galaxy Securities Co. Ltd.		47,000		45,001		(1,600	)
China Mobile Ltd.		18,500		196,705		6,749
China Oilfield Services Ltd.		2,000		2,110		(189	)
China Overseas Land & Investment Ltd.		6,000		17,133		15
China Petroleum & Chemical Corp.		76,000		55,567		6,294
China Resources Land Ltd.		6,000		14,570		1,658
China Resources Power Holdings Co. Ltd.		30,000		47,602		6,557
China Shenhua Energy Co. Ltd.		22,000		43,146		8,042

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
China Vanke Co. Ltd.		2,800	$	6,987	$	586
Chongqing Rural Commercial Bank Co. Ltd.		10,000		6,809		(53	)
CNOOC Ltd.		21,000		27,333		(2,231	)
Country Garden Holdings Co. Ltd.		12,000		6,926		3,866
CSPC Pharmaceutical Group Ltd.		10,000		12,045		1,056
ENN Energy Holdings Ltd.		2,000		8,189		3,078
Geely Automobile Holdings Ltd.		90,000		101,374		36,556
GOME Electrical Appliances Holding Ltd.		67,000		8,431		711
Great Wall Motor Co. Ltd.		19,500		18,031		4,193
Industrial & Commercial Bank of China Ltd.		189,000		114,266		9,406
Jiangxi Copper Co. Ltd.		10,000		15,382		201
People’s Insurance Co. Group of China Ltd. (The)		135,000		54,706		1,287
PICC Property & Casualty Co. Ltd.		20,000		31,300		(432	)
Shanghai Industrial Holdings Ltd.		15,000		40,060		4,073
Sinopec Shanghai Petrochemical Co. Ltd.		10,000		6,053		(503	)
Sinopharm Group Co. Ltd.		5,600		24,342		1,656
Sinotrans Ltd.		94,000		42,582		1,345
Sunny Optical Technology Group Co. Ltd.		11,000		72,152		8,350
Tencent Holdings Ltd.		2,300		58,306		7,955
TravelSky Technology Ltd.		4,000		8,995		457
Weichai Power Co. Ltd.		1,000		1,801		(35	)
Zhuzhou CRRC Times Electric Co. Ltd.		1,000		5,021		299
						154,436

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

AQR Funds Semi-Annual Report March 2017

152

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong
Fullshare Holdings Ltd.		12,500		$	5,389		$	148
Haier Electronics Group Co. Ltd.		8,000			13,248			5,088
Nine Dragons Paper Holdings Ltd.		49,000			44,610			8,106
Sino Biopharmaceutical Ltd.		6,000			4,184			757
Sun Art Retail Group Ltd.		78,000			76,050			(2,923	)
								11,176
Total of Long Equity Positions								165,612
Short Positions
Common Stock
China
3SBio, Inc.		(45,000	)		(43,648	)		(11,953	)
Beijing Enterprises Water Group Ltd.		(34,000	)		(22,967	)		(2,237	)
Brilliance China Automotive Holdings Ltd.		(44,000	)		(57,070	)		(16,537	)
CGN Power Co. Ltd.		(213,000	)		(60,492	)		(5,335	)
China Coal Energy Co. Ltd.		(6,000	)		(3,208	)		180
China Communications Construction Co. Ltd.		(14,000	)		(15,786	)		(3,976	)
China Railway Construction Corp. Ltd.		(1,500	)		(2,025	)		(103	)
China Resources Gas Group Ltd.		(6,000	)		(18,916	)		(2,335	)
China Southern Airlines Co. Ltd.		(48,000	)		(25,300	)		(7,944	)
China Taiping Insurance Holdings Co. Ltd.		(9,200	)		(20,896	)		(1,399	)
CITIC Securities Co. Ltd.		(5,000	)		(10,847	)		546
CRRC Corp. Ltd.		(15,000	)		(13,732	)		(852	)
Fosun International Ltd.		(59,000	)		(84,555	)		(4,209	)
GF Securities Co. Ltd.		(8,000	)		(17,251	)		480
Haitong Securities Co. Ltd.		(15,200	)		(27,275	)		1,562
Huaneng Renewables Corp. Ltd.		(12,000	)		(4,257	)		101

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
Huatai Securities Co. Ltd.		(2,600	)	$	(5,341	)	$	278
Lenovo Group Ltd.		(18,000	)		(11,997	)		131
New China Life Insurance Co. Ltd.		(2,700	)		(13,264	)		389
Semiconductor Manufacturing International Corp.		(1,500	)		(1,951	)		91
Shanghai Electric Group Co. Ltd.		(54,000	)		(24,771	)		(2,001	)
Shanghai Fosun Pharmaceutical Group Co. Ltd.		(2,000	)		(6,028	)		(1,333	)
ZTE Corp.		(1,000	)		(1,487	)		(350	)
								(56,806	)
Hong Kong
Alibaba Pictures Group Ltd.		(310,000	)		(52,957	)		(3,283	)
China Gas Holdings Ltd.		(4,000	)		(5,999	)		(446	)
GCL-Poly Energy Holdings Ltd.		(30,000	)		(4,048	)		70
								(3,659	)
Total of Short Equity Positions								(60,465	)
Total of Long and Short Equity Positions								105,147
Net Cash and Other Receivables/ (Payables) (b)								(1,044	)
Swaps, at Value							$	104,103

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

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

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

AQR Funds Semi-Annual Report March 2017

153

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY 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 TRY based on the local currencies of the positions within the swaps.	58-61 months maturity ranging from 12/20/2021 - 03/07/2022		$10,858

** 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 long and short positions and related values within the total return basket swap as of March 31, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stock
Turkey
Arcelik AS		3,242		$	19,634		$	591
Eregli Demir ve Celik Fabrikalari TAS		10,326			16,469			299
Haci Omer Sabanci Holding AS		4,612			11,703			986
Petkim Petrokimya Holding AS		21,882			21,952			8,583
Tupras Turkiye Petrol Rafinerileri A/S		708			15,430			2,160
Turkiye Halk Bankasi A/S		3,252			10,357			(1,077	)��
								11,542
Total of Long Equity Positions								11,542
Short Positions
Common Stock
Turkey
Turk Telekomunikasyon AS		(5,488	)		(8,249	)		(660	)
Turkcell Iletisim Hizmetleri A/S		(2,100	)		(7,058	)		140
Ulker Biskuvi Sanayi A/S		(1,010	)		(5,108	)		(25	)
								(545	)
Total of Short Equity Positions								(545	)
Total of Long and Short Equity Positions								10,997
Net Cash and Other Receivables/ (Payables) (b)								(139	)
Swaps, at Value							$	10,858

(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.

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

AQR Funds Semi-Annual Report March 2017

154

Schedule of Investments March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY 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 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 swaps.	59-61 months maturity ranging from 01/10/2022 - 03/07/2022		$270

** 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 March 31, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stock
Poland
Orange Polska SA		(1,575	)	$	(1,874	)	$	37
Powszechny Zaklad Ubezpieczen SA		(1,034	)		(9,308	)		241
								278
Total of Short Equity Positions								278
Net Cash and Other Receivables/ (Payables) (b)								(8	)
Swaps, at Value							$	270

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

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

Collateral pledged to, or (received from), each counterparty at March 31, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMC
Investment Companies		$640,267		$—		$640,267

The following abbreviations are used for counterparty descriptions:

BARC - Barclays Capital, Inc.

CITG - Citigroup Global Markets, Inc.

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank NA

JPMS - J.P. Morgan Securities LLC

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

AQR Funds Semi-Annual Report March 2017

155

Statements of Assets and Liabilities March 31, 2017 (Unaudited)

	AQR LARGE CAP MULTI-STYLE FUND			AQR SMALL CAP MULTI-STYLE FUND		AQR INTERNATIONAL MULTI-STYLE FUND			AQR EMERGING MULTI-STYLE FUND
ASSETS:
Investments in securities, at cost	$	1,395,134,313		$	625,363,005	$	382,270,852		$	246,886,441
Investments in securities, at value*	$	1,632,133,228		$	770,470,128	$	420,109,766		$	286,032,608
Cash		861			575		353			—
Cash denominated in foreign currencies‡		—			—		941,893			663,918
Deposits with brokers for exchange-traded and centrally cleared derivatives		1,109,200			796,166		743,427			289,881
Variation margin on exchange-traded and centrally cleared derivatives		—			37,686		—			—
Receivables:
Securities sold		—			—		243,053			151,781
Foreign tax reclaims		—			—		479,697			1,136
Dividends		1,564,420			779,645		1,783,024			856,822
Capital shares sold		687,155			621,742		272,530			171,668
Prepaid expenses		112,019			78,714		55,034			32,588
Total Assets		1,635,606,883			772,784,656		424,628,777			288,200,402
LIABILITIES:
Variation margin on exchange-traded and centrally cleared derivatives		59,936			—		36,513			50,759
Payables:
Securities purchased		—			—		242,417			145,532
Collateral received on securities loaned		13,589,300			32,592,880		1,339,069			1,937,942
Accrued investment advisory fees		398,271			285,005		142,621			112,080
Accrued distribution fees—Class N		13,306			2,312		1,729			1,520
Capital shares redeemed		699,303			415,688		211,300			201,245
Other accrued expenses and liabilities		302,665			104,706		123,843			145,503
Total Liabilities		15,062,781			33,400,591		2,097,492			2,594,581
Net Assets	$	1,620,544,102		$	739,384,065	$	422,531,285		$	285,605,821
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	1,443,415,698		$	570,471,313	$	434,210,231		$	291,991,049
Undistributed accumulated net investment income (loss)		5,810,010			850,553		1,886,684			(813,242	)
Undistributed accumulated net realized gain (loss)		(65,593,029	)		22,649,510		(51,624,081	)		(44,874,756	)
Net unrealized appreciation (depreciation)		236,911,423			145,412,689		38,058,451			39,302,770
Net Assets	$	1,620,544,102		$	739,384,065	$	422,531,285		$	285,605,821
NET ASSETS:
Class I	$	408,005,456		$	48,677,675	$	67,939,434		$	79,978,045
Class N		61,591,183			11,067,636		7,983,827			7,086,877
Class R6		1,150,947,463			679,638,754		346,608,024			198,540,899
SHARES OUTSTANDING:
Class I		26,470,758			3,195,099		6,377,699			8,593,088
Class N		4,010,155			729,058		750,821			762,157
Class R6		74,723,944			44,556,366		32,586,654			21,309,112
NET ASSET VALUE:
Class I	$	15.41		$	15.24	$	10.65		$	9.31
Class N	$	15.36		$	15.18	$	10.63		$	9.30
Class R6	$	15.40		$	15.25	$	10.64		$	9.32
*   Includes market value of securities out on loan	$	13,271,661		$	31,480,112	$	—		$	1,820,029
‡  Cash denominated in foreign currencies at cost	$	—		$	—	$	939,839		$	661,899

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

AQR Funds Semi-Annual Report March 2017

156

Statements of Assets and Liabilities March 31, 2017 (Unaudited)

	AQR TM LARGE CAP MULTI-STYLE FUND			AQR TM SMALL CAP MULTI-STYLE FUND			AQR TM INTERNATIONAL MULTI-STYLE FUND			AQR TM EMERGING MULTI-STYLE FUND
ASSETS:
Investments in securities, at cost	$	164,531,184		$	22,399,014		$	139,769,481		$	260,887,160
Investments in securities, at value*	$	187,956,732		$	26,511,953		$	155,076,639		$	309,991,704
Cash		102			—			—			—
Cash denominated in foreign currencies‡		—			—			540,776			956,677
Deposits with brokers for exchange-traded and centrally cleared derivatives		—			—			235,208			208,066
Receivables:
Securities sold		—			—			51,800			172,917
Foreign tax reclaims		—			—			192,731			747
Dividends		215,207			24,677			655,937			936,587
Capital shares sold		178,326			186,511			58,620			37,704
Due from Investment Adviser		—			2,055			—			—
Prepaid expenses		45,316			40,890			44,943			50,455
Total Assets		188,395,683			26,766,086			156,856,654			312,354,857
LIABILITIES:
Variation margin on exchange-traded and centrally cleared derivatives		—			—			11,234			36,845
Payables:
Securities purchased		—			313,000			51,526			165,799
Collateral received on securities loaned		1,726,352			447,870			—			2,067,937
Accrued investment advisory fees		33,573			—			43,123			125,247
Accrued distribution fees—Class N		411			1,147			366			515
Capital shares redeemed		63,327			13,812			94,927			113,857
Other accrued expenses and liabilities		61,407			43,043			81,855			168,460
Total Liabilities		1,885,070			818,872			283,031			2,678,660
Net Assets	$	186,510,613		$	25,947,214		$	156,573,623		$	309,676,197
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	165,911,726		$	21,954,264		$	148,822,781		$	275,330,525
Undistributed accumulated net investment income (loss)		657,315			20,267			730,445			(1,293,890	)
Undistributed accumulated net realized gain (loss)		(3,483,976	)		(140,256	)		(8,368,563	)		(13,636,608	)
Net unrealized appreciation (depreciation)		23,425,548			4,112,939			15,388,960			49,276,170
Net Assets	$	186,510,613		$	25,947,214		$	156,573,623		$	309,676,197
NET ASSETS:
Class I	$	53,553,543		$	18,456,559		$	22,762,919		$	14,278,216
Class N		1,759,105			5,301,091			1,678,127			2,335,645
Class R6		131,197,965			2,189,564			132,132,577			293,062,336
SHARES OUTSTANDING:
Class I		4,857,365			1,630,014			2,290,174			1,484,782
Class N		159,831			469,387			169,208			242,697
Class R6		11,892,029			193,053			13,275,538			30,461,766
NET ASSET VALUE:
Class I	$	11.03		$	11.32		$	9.94		$	9.62
Class N	$	11.01		$	11.29		$	9.92		$	9.62
Class R6	$	11.03		$	11.34		$	9.95		$	9.62
*   Includes market value of securities out on loan	$	1,688,550		$	435,116		$	—		$	1,951,226
‡  Cash denominated in foreign currencies at cost	$	—		$	—		$	537,422		$	952,306

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

AQR Funds Semi-Annual Report March 2017

157

Statements of Assets and Liabilities March 31, 2017 (Unaudited)

	AQR LARGE CAP MOMENTUM STYLE FUND		AQR SMALL CAP MOMENTUM STYLE FUND		AQR INTERNATIONAL MOMENTUM STYLE FUND			AQR EMERGING MOMENTUM STYLE FUND
ASSETS:
Investments in securities, at cost	$	797,296,040	$	295,379,325	$	327,666,608		$	9,799,671
Investments in securities, at value*	$	949,141,650	$	361,557,724	$	363,518,788		$	11,568,719
Cash		1,740		—		—			—
Cash denominated in foreign currencies‡		376		—		1,257,342			31,113
Deposits with brokers for exchange-traded and centrally cleared derivatives		969,038		284,074		382,336			—
Variation margin on exchange-traded and centrally cleared derivatives		—		55,337		—			—
Receivables:
Securities sold		86,522,374		22,418,211		24,326,125			1,029,134
Foreign tax reclaims		—		—		824,390			—
Dividends		690,143		216,195		1,517,426			36,211
Capital shares sold		498,821		175,442		137,976			104
Due from Investment Adviser		—		—		—			12,172
Prepaid expenses		44,810		32,371		37,578			20,483
Total Assets		1,037,868,952		384,739,354		392,001,961			12,697,936
LIABILITIES:
Due to custodian		—		30		353			559,798
Variation margin on exchange-traded and centrally cleared derivatives		52,110		—		113,816			—
Payables:
Securities purchased		93,880,452		23,251,656		27,596,701			340,408
Collateral received on securities loaned		8,612,104		15,540,883		—			210,608
Accrued investment advisory fees		191,585		119,065		104,398			—
Accrued distribution fees—Class N		11,986		340		6,332			240
Capital shares redeemed		787,412		280,349		99,123			400
Other accrued expenses and liabilities		331,271		148,991		156,013			69,275
Total Liabilities		103,866,920		39,341,314		28,076,736			1,180,729
Net Assets	$	934,002,032	$	345,398,040	$	363,925,225		$	11,517,207
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	735,393,055	$	262,636,747	$	362,941,420		$	12,346,009
Undistributed accumulated net investment income (loss)		2,881,922		150,075		2,191,547			(30,890	)
Undistributed accumulated net realized gain (loss)		43,946,623		16,348,829		(37,109,912	)		(2,567,624	)
Net unrealized appreciation (depreciation)		151,780,432		66,262,389		35,902,170			1,769,712
Net Assets	$	934,002,032	$	345,398,040	$	363,925,225		$	11,517,207
NET ASSETS:
Class I	$	814,484,383	$	333,865,642	$	295,517,163		$	9,137,303
Class N		56,384,526		1,599,090		30,271,314			1,136,245
Class R6		63,133,123		9,933,308		38,136,748			1,243,659
SHARES OUTSTANDING:
Class I		40,401,328		14,759,214		21,483,543			1,011,774
Class N		2,796,220		70,625		2,203,625			125,726
Class R6		3,138,444		439,890		2,776,468			137,585
NET ASSET VALUE:
Class I	$	20.16	$	22.62	$	13.76		$	9.03
Class N	$	20.16	$	22.64	$	13.74		$	9.04
Class R6	$	20.12	$	22.58	$	13.74		$	9.04
*   Includes market value of securities out on loan	$	8,328,711	$	14,914,491	$	—		$	202,682
‡  Cash denominated in foreign currencies at cost	$	428	$	—	$	1,257,121		$	30,961

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

AQR Funds Semi-Annual Report March 2017

158

Statements of Assets and Liabilities March 31, 2017 (Unaudited)

	AQR TM LARGE CAP MOMENTUM STYLE FUND			AQR TM SMALL CAP MOMENTUM STYLE FUND			AQR TM INTERNATIONAL MOMENTUM STYLE FUND			AQR LARGE CAP DEFENSIVE STYLE FUND
ASSETS:
Investments in securities, at cost	$	127,873,294		$	33,760,243		$	77,247,732		$	824,809,564
Investments in securities, at value*	$	157,672,589		$	41,572,825		$	84,121,517		$	981,894,449
Cash		201			—			22,115			1,301
Cash denominated in foreign currencies‡		—			—			266,629			—
Deposits with brokers for exchange-traded and centrally cleared derivatives		129,726			—			71,923			1,639,899
Receivables:
Securities sold		10,171,758			1,870,412			4,636,669			—
Foreign tax reclaims		—			—			141,543			—
Dividends		126,087			22,886			295,825			1,235,502
Capital shares sold		175,683			21,304			123,991			1,396,563
Prepaid expenses		35,225			32,401			33,007			75,715
Total Assets		168,311,269			43,519,828			89,713,219			986,243,429
LIABILITIES:
Variation margin on exchange-traded and centrally cleared derivatives		6,370			—			2,627			88,333
Payables:
Securities purchased		10,905,193			1,885,527			5,138,967			—
Collateral received on securities loaned		1,506,053			889,104			399,796			1,984,566
Accrued investment advisory fees		22,493			4,285			14,824			190,200
Accrued distribution fees—Class N		37			33			32			47,004
Capital shares redeemed		45,003			13,326			20,765			720,293
Other accrued expenses and liabilities		68,909			45,961			76,987			274,333
Total Liabilities		12,554,058			2,838,236			5,653,998			3,304,729
Net Assets	$	155,757,211		$	40,681,592		$	84,059,221		$	982,938,700
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	128,708,961		$	33,732,079		$	89,717,985		$	819,832,516
Undistributed accumulated net investment income (loss)		456,981			22,129			471,239			4,062,257
Undistributed accumulated net realized gain (loss)		(3,197,861	)		(885,198	)		(13,019,880	)		2,031,107
Net unrealized appreciation (depreciation)		29,789,130			7,812,582			6,889,877			157,012,820
Net Assets	$	155,757,211		$	40,681,592		$	84,059,221		$	982,938,700
NET ASSETS:
Class I	$	75,054,805		$	40,341,897		$	35,237,761		$	614,458,042
Class N		175,270			155,733			153,962			218,682,466
Class R6		80,527,136			183,962			48,667,498			149,798,192
SHARES OUTSTANDING:
Class I		4,206,589			2,307,209			2,893,466			36,143,339
Class N		9,849			8,944			12,691			12,884,789
Class R6		4,520,774			10,527			4,007,417			8,826,723
NET ASSET VALUE:
Class I	$	17.84		$	17.49		$	12.18		$	17.00
Class N	$	17.80		$	17.41		$	12.13		$	16.97
Class R6	$	17.81		$	17.47		$	12.14		$	16.97
*   Includes market value of securities out on loan	$	1,449,246		$	855,535		$	380,149		$	1,939,809
‡  Cash denominated in foreign currencies at cost	$	—		$	—		$	265,960		$	—

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

AQR Funds Semi-Annual Report March 2017

159

Statements of Assets and Liabilities March 31, 2017 (Unaudited)

	AQR INTERNATIONAL DEFENSIVE STYLE FUND			AQR EMERGING DEFENSIVE STYLE FUND			AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND
ASSETS:
Investments in securities, at cost	$	149,130,213		$	57,174,875		$	127,852,027	$	377,977,587
Investments in securities, at value*	$	155,969,189		$	59,231,711		$	151,073,195	$	416,018,739
Cash		—			—			662		400,237
Cash denominated in foreign currencies‡		835,830			185,898			319,217		1,269,951
Due from brokers		—			—			141,589		31,190
Unrealized appreciation on forward foreign currency exchange contracts		—			—			527,362		2,412,674
Deposits with brokers for exchange-traded and centrally cleared derivatives		365,416			206,044			4,436,436		10,907,539
Receivables:
Securities sold		234,833			37,618			—		—
Foreign tax reclaims		117,376			4,887			300,767		1,560,566
Dividends		499,275			139,599			283,570		1,587,878
Capital shares sold		136,777			101,692			5,665		267,435
Prepaid expenses		32,016			31,731			38,334		45,871
Total Assets		158,190,712			59,939,180			157,126,797		434,502,080
LIABILITIES:
Due to brokers		—			—			—		270,000
Unrealized depreciation on forward foreign currency exchange contracts		—			—			576,948		1,433,598
Unrealized depreciation on OTC swaps		—			—			98,642		249,287
Variation margin on exchange-traded and centrally cleared derivatives		60,251			35,848			136,659		696,950
Payables:
Securities purchased		233,901			38,009			—		400,237
Collateral received on securities loaned		376,288			217,590			212,527		1,631,172
Accrued investment advisory fees		36,734			9,915			71,087		250,252
Accrued distribution fees—Class N		6,319			765			343		8,210
Accrued Trustee fees		—			549			35		—
Capital shares redeemed		41,975			3,724			684		815,830
Other accrued expenses and liabilities		97,225			73,713			99,737		220,361
Total Liabilities		852,693			380,113			1,196,662		5,975,897
Net Assets	$	157,338,019		$	59,559,067		$	155,930,135	$	428,526,183
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	150,707,501		$	68,378,036		$	132,154,706	$	399,134,881
Undistributed accumulated net investment income (loss)		787,697			150,524			101,261		570,299
Undistributed accumulated net realized gain (loss)		(1,069,650	)		(11,135,953	)		787,018		(8,220,343	)
Net unrealized appreciation (depreciation)		6,912,471			2,166,460			22,887,150		37,041,346
Net Assets	$	157,338,019		$	59,559,067		$	155,930,135	$	428,526,183
NET ASSETS:
Class I	$	108,756,852		$	55,644,253		$	35,751,448	$	352,340,234
Class N		30,362,386			3,723,502			1,668,383		39,550,442
Class R6		18,218,781			191,312			118,510,304		36,635,507
SHARES OUTSTANDING:
Class I		9,014,132			6,408,926			4,477,630		33,935,705
Class N		2,455,957			418,384			210,031		3,734,279
Class R6		1,511,760			22,106			14,738,241		3,324,235
NET ASSET VALUE:
Class I	$	12.07		$	8.68		$	7.98	$	10.38
Class N	$	12.36		$	8.90		$	7.94	$	10.59
Class R6	$	12.05		$	8.65		$	8.04	$	11.02
*   Includes market value of securities out on loan	$	358,348		$	192,061		$	202,374	$	1,553,252
‡  Cash denominated in foreign currencies at cost	$	832,485		$	182,335		$	319,104	$	1,267,927

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

AQR Funds Semi-Annual Report March 2017

160

Statements of Assets and Liabilities March 31, 2017 (Unaudited)

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND		AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND		AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
ASSETS:
Investments in securities, at cost	$	5,243,189	$	3,796,286		$	6,334,473	$	5,563,614
Investments in securities, at value	$	5,373,672	$	3,751,523		$	6,782,012	$	5,937,212
Cash		895		4,925			1,741		895
Cash denominated in foreign currencies‡		—		—			18,365		5,046
Unrealized appreciation on OTC swaps		—		—			—		131,488
Receivables:
Securities sold		—		—			5,872		—
Foreign tax reclaims		—		—			1,091		4
Dividends		6,391		2,309			27,587		25,573
Due from Investment Adviser		11,906		11,841			11,782		12,155
Prepaid expenses		7,473		5,156			5,623		5,842
Total Assets		5,400,337		3,775,754			6,854,073		6,118,215
LIABILITIES:
Securities sold short, at value (proceeds $1,132,630, $820,067, $1,464,746, and $—, respectively)		1,161,784		839,936			1,546,321		—
Unrealized depreciation on OTC swaps		—		—			—		64,918
Payables:
Securities purchased		59,831		2,183			40,984		—
Accrued distribution fees—Class N		244		135			190		255
Accrued Trustee fees		25		24			23		26
Dividends and interest payable on securities sold short		112		104			4,445		—
Other accrued expenses and liabilities		29,388		27,627			32,445		39,225
Total Liabilities		1,251,384		870,009			1,624,408		104,424
Net Assets	$	4,148,953	$	2,905,745		$	5,229,665	$	6,013,791
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	4,027,745	$	2,972,417		$	4,816,186	$	5,549,271
Undistributed accumulated net investment income (loss)		14,070		1,660			26,754		18,457
Undistributed accumulated net realized gain (loss)		5,809		(3,700	)		20,776		3,542
Net unrealized appreciation (depreciation)		101,329		(64,632	)		365,949		442,521
Net Assets	$	4,148,953	$	2,905,745		$	5,229,665	$	6,013,791
NET ASSETS:
Class I	$	1,239,469	$	1,103,188		$	2,091,146	$	1,926,523
Class N		1,201,295		637,218			927,624		1,307,235
Class R6		1,708,189		1,165,339			2,210,895		2,780,033
SHARES OUTSTANDING:
Class I		120,227		112,967			189,186		173,292
Class N		116,602		65,305			84,005		117,691
Class R6		165,637		119,298			200,000		250,000
NET ASSET VALUE:
Class I	$	10.31	$	9.77		$	11.05	$	11.12
Class N	$	10.30	$	9.76		$	11.04	$	11.11
Class R6	$	10.31	$	9.77		$	11.05	$	11.12
‡   Cash denominated in foreign currencies at cost	$	—	$	—		$	18,378	$	5,070

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

AQR Funds Semi-Annual Report March 2017

161

Statements of Operations March 31, 2017 (Unaudited)

	AQR LARGE CAP MULTI-STYLE FUND			AQR SMALL CAP MULTI-STYLE FUND			AQR INTERNATIONAL MULTI-STYLE FUND			AQR EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017
INVESTMENT INCOME:
Dividend income†		$14,946,657			$5,263,918			$4,099,117			$1,903,708
Securities lending income, net		39,419			409,837			1,607			6,672
Other income (Note 2)		—			—			6,738			—
Total Income		14,986,076			5,673,755			4,107,462			1,910,380
EXPENSES:
Investment advisory fees		2,327,854			1,900,654			866,103			789,222
Custody fees		25,646			27,954			32,745			100,786
Administration & accounting fees		150,446			71,645			37,403			25,704
Legal fees		19,707			9,500			4,827			2,876
Audit & tax fees		22,188			22,189			25,225			28,371
Shareholder reporting fees		109,207			66,287			32,128			23,852
Transfer agent fees		227,584			36,799			45,370			48,970
Trustee fees		18,945			9,043			5,053			3,566
Distribution fees—Class N		79,533			13,123			10,348			9,112
Interest expense		—			2,537			—			—
Registration fees		97,561			96,300			42,564			37,099
Pricing fee		49			280			10,348			10,428
Tax expense (Note 2)		—			—			3,814			—
Other expenses		28,887			12,113			7,671			5,415
Total Expenses		3,107,607			2,268,424			1,123,599			1,085,401
Less fee waivers and/or reimbursements		(74,170	)		(123,122	)		(105,489	)		(177,196	)
Net Expenses		3,033,437			2,145,302			1,018,110			908,205
Net Investment Income (Loss)		11,952,639			3,528,453			3,089,352			1,002,175
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		18,484,906			23,046,582			(1,721,885	)		(449,428	)
Foreign currency and foreign currency transactions		—			—			(160,782	)		(50,955	)
Forward foreign currency exchange contracts		—			—			—			(154	)
Futures contracts		2,890,977			1,783,312			452,924			72,276
Net realized gain (loss)		21,375,883			24,829,894			(1,429,743	)		(428,261	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		136,897,019			59,885,974			25,273,700			15,745,846
Foreign currency and foreign currency translations		—			—			(16,106	)		25,562
Futures contracts		(591,441	)		(57,835	)		159,243			223,416
Net change in unrealized appreciation (depreciation)		136,305,578			59,828,139			25,416,837			15,994,824
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		157,681,461			84,658,033			23,987,094			15,566,563
Net increase (decrease) in net assets resulting from operations		$169,634,100			$88,186,486		$	27,076,446		$	16,568,738
†   Net of foreign taxes withheld of		$2,523			$—			$339,717			$168,818

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

AQR Funds Semi-Annual Report March 2017

162

Statements of Operations March 31, 2017 (Unaudited)

	AQR TM LARGE CAP MULTI-STYLE FUND			AQR TM SMALL CAP MULTI-STYLE FUND			AQR TM INTERNATIONAL MULTI-STYLE FUND			AQR TM EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017
INVESTMENT INCOME:
Dividend income†		$1,597,975			$161,163			$1,534,924			$2,058,412
Securities lending income, net		3,375			8,410			—			6,435
Total Income		1,601,350			169,573			1,534,924			2,064,847
EXPENSES:
Investment advisory fees		243,397			55,020			321,126			859,482
Custody fees		8,976			7,418			18,802			108,633
Administration & accounting fees		14,874			2,000			13,532			27,819
Legal fees		1,782			929			2,649			4,501
Audit & tax fees		22,183			22,183			26,547			28,197
Shareholder reporting fees		11,782			1,685			11,437			20,776
Transfer agent fees		32,520			17,892			19,243			15,054
Trustee fees		2,200			677			2,056			3,748
Distribution fees—Class N		2,832			5,214			2,071			2,857
Registration fees		38,393			30,187			33,333			51,764
Pricing fee		42			302			9,883			9,954
Other expenses		3,077			947			2,920			5,529
Total Expenses		382,058			144,454			463,599			1,138,314
Less fee waivers and/or reimbursements		(68,943	)		(68,657	)		(91,771	)		(193,275	)
Net Expenses		313,115			75,797			371,828			945,039
Net Investment Income (Loss)		1,288,235			93,776			1,163,096			1,119,808
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(88,018	)		(105,695	)		(854,596	)		63,063
Foreign currency and foreign currency transactions		—			—			(69,612	)		(38,870	)
Futures contracts		—			—			159,286			138,163
Net realized gain (loss)		(88,018	)		(105,695	)		(764,922	)		162,356
Net change in unrealized appreciation (depreciation) on:
Investments in securities		16,551,447			2,158,812			10,432,392			17,102,231
Foreign currency and foreign currency translations		—			—			(2,923	)		35,140
Futures contracts		—			—			54,482			190,934
Net change in unrealized appreciation (depreciation)		16,551,447			2,158,812			10,483,951			17,328,305
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		16,463,429			2,053,117			9,719,029			17,490,661
Net increase (decrease) in net assets resulting from operations		$17,751,664			$2,146,893		$	10,882,125		$	18,610,469
†  Net of foreign taxes withheld of		$222			$—			$129,648			$189,902

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

AQR Funds Semi-Annual Report March 2017

163

Statements of Operations March 31, 2017 (Unaudited)

	AQR LARGE CAP MOMENTUM STYLE FUND			AQR SMALL CAP MOMENTUM STYLE FUND			AQR INTERNATIONAL MOMENTUM STYLE FUND			AQR EMERGING MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017
INVESTMENT INCOME:
Dividend income†		$8,493,457			$1,856,619			$4,148,170			$75,005
Securities lending income, net		31,625			193,833			—			183
Other income (Note 2)		—			—			124,732			—
Total Income		8,525,082			2,050,452			4,272,902			75,188
EXPENSES:
Investment advisory fees		1,142,371			751,431			668,113			29,082
Custody fees		20,508			19,651			40,693			28,442
Administration & accounting fees		91,917			32,879			33,275			1,042
Legal fees		2,730			1,155			2,076			—
Audit & tax fees		22,753			22,754			26,264			29,329
Shareholder reporting fees		58,271			21,681			25,483			968
Transfer agent fees		435,349			170,691			157,757			10,993
Trustee fees		12,065			4,604			4,598			571
Distribution fees—Class N		69,964			1,893			35,784			1,323
Registration fees		38,448			32,685			34,076			26,765
Pricing fee		77			413			10,395			10,620
Tax expense (Note 2)		—			—			70,598			—
Other expenses		19,757			7,492			7,248			945
Total Expenses		1,914,210			1,067,329			1,116,360			140,080
Less fee waivers and/or reimbursements		(35,247	)		(63,481	)		(104,518	)		(103,960	)
Net Expenses		1,878,963			1,003,848			1,011,842			36,120
Net Investment Income (Loss)		6,646,119			1,046,604			3,261,060			39,068
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		46,807,532			20,526,596			1,414,476			112,476
Foreign currency and foreign currency transactions		—			—			(90,037	)		(1,599	)
Futures contracts		1,606,939			578,574			573,437			—
Net realized gain (loss)		48,414,471			21,105,170			1,897,876			110,877
Net change in unrealized appreciation (depreciation) on:
Investments in securities		4,105,974			8,454,499			1,855,657			357,787
Foreign currency and foreign currency translations		(20	)		—			(67,561	)		88
Futures contracts		(184,660	)		(40,398	)		83,278			—
Net change in unrealized appreciation (depreciation)		3,921,294			8,414,101			1,871,374			357,875
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		52,335,765			29,519,271			3,769,250			468,752
Net increase (decrease) in net assets resulting from operations		$58,981,884			$30,565,875			$7,030,310			$507,820
†   Net of foreign taxes withheld of		$2,334			$—			$350,106			$6,159

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

AQR Funds Semi-Annual Report March 2017

164

Statements of Operations March 31, 2017 (Unaudited)

	AQR TM LARGE CAP MOMENTUM STYLE FUND			AQR TM SMALL CAP MOMENTUM STYLE FUND			AQR TM INTERNATIONAL MOMENTUM STYLE FUND			AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017
INVESTMENT INCOME:
Dividend income†		$1,303,061			$203,866			$931,029			$9,976,291
Securities lending income, net		2,301			19,777			499			6,190
Other income (Note 2)		—			—			2,252			—
Total Income		1,305,362			223,643			933,780			9,982,481
EXPENSES:
Investment advisory fees		185,518			82,268			163,244			1,139,407
Custody fees		5,956			5,936			16,645			15,164
Administration & accounting fees		14,625			3,453			8,227			85,649
Legal fees		831			324			1,099			10,288
Audit & tax fees		23,755			22,754			26,248			22,248
Shareholder reporting fees		10,218			2,828			5,784			62,819
Transfer agent fees		42,543			26,115			24,348			395,347
Trustee fees		2,255			864			1,470			10,599
Distribution fees—Class N		208			194			189			280,749
Interest expense		—			—			945			—
Registration fees		31,685			29,017			29,261			76,866
Pricing fee		51			398			10,371			37
Tax expense (Note 2)		—			—			1,275			—
Other expenses		3,641			1,312			2,437			13,816
Total Expenses		321,286			175,463			291,543			2,112,989
Less fee waivers and/or reimbursements		(62,069	)		(65,319	)		(88,016	)		(68,110	)
Net Expenses		259,217			110,144			203,527			2,044,879
Net Investment Income (Loss)		1,046,145			113,499			730,253			7,937,602
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		22,651			(77,855	)		(397,562	)		249,204
Foreign currency and foreign currency transactions		—			—			(14,010	)		—
Futures contracts		323,012			—			80,065			2,548,007
Net realized gain (loss)		345,663			(77,855	)		(331,507	)		2,797,211
Net change in unrealized appreciation (depreciation) on:
Investments in securities		8,384,428			3,765,189			499,183			80,041,999
Foreign currency and foreign currency translations		—			—			(17,508	)		—
Futures contracts		(31,345	)		—			4,063			(626,439	)
Net change in unrealized appreciation (depreciation)		8,353,083			3,765,189			485,738			79,415,560
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		8,698,746			3,687,334			154,231			82,212,771
Net increase (decrease) in net assets resulting from operations		$9,744,891			$3,800,833			$884,484		$	90,150,373
†   Net of foreign taxes withheld of		$142			$—			$65,886			$1,497

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

AQR Funds Semi-Annual Report March 2017

165

Statements of Operations March 31, 2017 (Unaudited)

	AQR INTERNATIONAL DEFENSIVE STYLE FUND			AQR EMERGING DEFENSIVE STYLE FUND			AQR GLOBAL EQUITY FUND			AQR INTERNATIONAL EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2017
INVESTMENT INCOME:
Dividend income†		$1,585,530			$389,846			$1,372,934			$4,294,864
Securities lending income, net		46			943			288			2,136
Other income (Note 2)		2,029			—			—			421,307
Total Income		1,587,605			390,789			1,373,222			4,718,307
EXPENSES:
Investment advisory fees		277,096			137,413			339,861			1,104,394
Shareholder servicing fees		—			—			103,189			405,651
Custody fees		22,743			24,595			22,010			42,068
Administration & accounting fees		12,801			4,867			14,968			43,045
Legal fees		1,384			—			2,884			6,678
Audit & tax fees		27,016			29,198			29,685			29,705
Shareholder reporting fees		9,807			3,633			9,688			29,909
Transfer agent fees		69,686			32,232			22,712			213,214
Trustee fees		1,951			701			2,436			6,004
Distribution fees—Class N		31,520			1,953			1,934			46,098
Registration fees		35,555			28,282			33,645			42,517
Pricing fee		10,360			8,442			10,329			10,355
Tax expense (Note 2)		1,149			—			—			238,460
Other expenses		2,725			1,239			5,098			12,693
Total Expenses		503,793			272,555			598,439			2,230,791
Less fee waivers and/or reimbursements		(96,277	)		(95,656	)		(64,920	)		(29,034	)
Net Expenses		407,516			176,899			533,519			2,201,757
Net Investment Income (Loss)		1,180,089			213,890			839,703			2,516,550
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(335,767	)		(861,759	)		1,840,004			(2,602,117	)
Foreign currency and foreign currency transactions		(69,816	)		(32,844	)		(41,687	)		(357,055	)
Forward foreign currency exchange contracts		—			(1,244	)		(1,245,654	)		(4,153,987	)
Futures contracts		32,672			219,462			2,259,522			9,553,354
Swap contracts		—			—			(142,269	)		(1,497,314	)
Net realized gain (loss)		(372,911	)		(676,385	)		2,669,916			942,881
Net change in unrealized appreciation (depreciation) on:
Investments in securities		1,518,202			1,221,690			8,700,252			24,609,285
Foreign currency and foreign currency translations		871			6,845			(1,424	)		(62,095	)
Forward foreign currency exchange contracts		—			—			(336,956	)		461,557
Futures contracts		60,752			117,161			75,370			(620,024	)
Swap contracts		—			—			(98,951	)		(421,713	)
Net change in unrealized appreciation (depreciation)		1,579,825			1,345,696			8,338,291			23,967,010
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		1,206,914			669,311			11,008,207			24,909,891
Net increase (decrease) in net assets resulting from operations		$2,387,003			$883,201			$11,847,910		$	27,426,441
†   Net of foreign taxes withheld of		$162,176			$47,557			$94,219			$333,607

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

AQR Funds Semi-Annual Report March 2017

166

Statements of Operations March 31, 2017 (Unaudited)

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND			AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND			AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	FOR THE PERIOD 12/14/16*- 03/31/17			FOR THE PERIOD 12/14/16*- 03/31/17			FOR THE PERIOD 12/14/16*- 03/31/17			FOR THE PERIOD 12/14/16*- 03/31/17
INVESTMENT INCOME:
Dividend income†		$24,769			$11,332			$46,979			$34,433
Total Income		24,769			11,332			46,979			34,433
EXPENSES:
Investment advisory fees		6,220			6,200			9,359			13,317
Custody fees		4,397			3,518			3,518			10,260
Administration & accounting fees		170			136			212			233
Legal fees		183			183			183			183
Audit & tax fees		16,632			16,632			16,632			16,632
Shareholder reporting fees		828			828			828			828
Transfer agent fees		5,618			5,496			5,692			5,686
Trustee fees		297			293			302			304
Offering costs		4,398			4,398			4,398			4,398
Distribution fees—Class N		691			445			536			615
Dividends and interest on securities sold short (Note 3)		2,194			1,820			8,441			—
Registration fees		15,886			15,866			15,899			15,905
Pricing fee		586			586			5,277			5,277
Other expenses		806			770			773			775
Total Expenses		58,906			57,171			72,050			74,413
Less fee waivers and/or reimbursements		(48,207	)		(47,499	)		(51,825	)		(58,437	)
Net Expenses		10,699			9,672			20,225			15,976
Net Investment Income (Loss)		14,070			1,660			26,754			18,457
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		17,781			(8,063	)		20,926			14,495
Foreign currency and foreign currency transactions		—			—			5,747			12,051
Forward foreign currency exchange contracts		—			—			3,875			—
Securities sold short		(11,972	)		4,363			(9,772	)		—
Swap contracts		—			—			—			(23,004	)
Net realized gain (loss)		5,809			(3,700	)		20,776			3,542
Net change in unrealized appreciation (depreciation) on:
Investments in securities		130,483			(44,763	)		447,539			373,598
Foreign currency and foreign currency translations		—			—			(15	)		2,353
Securities sold short		(29,154	)		(19,869	)		(81,575	)		—
Swap contracts		—			—			—			66,570
Net change in unrealized appreciation (depreciation)		101,329			(64,632	)		365,949			442,521
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		107,138			(68,332	)		386,725			446,063
Net increase (decrease) in net assets resulting from operations	$	121,208			$(66,672	)		$413,479		$	464,520
†  Net of foreign taxes withheld of		$—			$6			$4,996			$4,380

* Commencement of operations.

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

AQR Funds Semi-Annual Report March 2017

167

Statements of Changes in Net Assets March 31, 2017

	AQR LARGE CAP MULTI-STYLE FUND						AQR SMALL CAP MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	11,952,639		$	19,660,962		$	3,528,453		$	5,651,016
Net realized gain (loss)		21,375,883			(69,298,819	)		24,829,894			11,171,801
Net change in unrealized appreciation (depreciation)		136,305,578			135,757,555			59,828,139			87,483,997
Net increase (decrease) in net assets resulting from operations		169,634,100			86,119,698			88,186,486			104,306,814
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(4,975,827	)		(5,061,842	)		(460,592	)		(70,814	)
Class N		(669,401	)		(461,951	)		(75,007	)		(3,819	)
Class R6		(15,350,782	)		(6,699,234	)		(7,260,404	)		(401,079	)
Total		(20,996,010	)		(12,223,027	)		(7,796,003	)		(475,712	)
Net realized gain:
Class I		—			(495	)		(801,488	)		(49	)
Class N		—			(61	)		(172,528	)		(15	)
Class R6		—			(595	)		(11,713,497	)		(209	)
Total		—			(1,151	)		(12,687,513	)		(273	)
Total distributions		(20,996,010	)		(12,224,178	)		(20,483,516	)		(475,985	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		76,851,796			371,477,654			16,611,963			32,766,802
Reinvestment of distributions		4,346,415			4,979,196			1,261,541			70,815
Cost of shares redeemed		(337,826,610	)		(267,990,360	)		(18,298,913	)		(17,559,231	)
Net increase (decrease) from capital transactions		(256,628,399	)		108,466,490			(425,409	)		15,278,386
CLASS N
Proceeds from shares sold		5,181,564			35,135,654			1,883,817			10,910,277
Reinvestment of distributions		668,290			461,243			246,619			3,805
Cost of shares redeemed		(15,210,020	)		(34,612,635	)		(1,722,567	)		(7,735,264	)
Net increase (decrease) from capital transactions		(9,360,166	)		984,262			407,869			3,178,818
CLASS R6
Proceeds from shares sold		358,180,624			311,854,105			63,963,169			643,974,405
Reinvestment of distributions		15,022,031			6,698,589			17,579,880			353,862
Cost of shares redeemed		(119,960,116	)		(131,474,251	)		(153,046,299	)		(65,223,279	)
Net increase (decrease) from capital transactions		253,242,539			187,078,443			(71,503,250	)		579,104,988
Net increase (decrease) in net assets resulting from capital transactions		(12,746,026	)		296,529,195			(71,520,790	)		597,562,192
Total increase (decrease) in net assets		135,892,064			370,424,715			(3,817,820	)		701,393,021
NET ASSETS:
Beginning of period		1,484,652,038			1,114,227,323			743,201,885			41,808,864
End of period	$	1,620,544,102		$	1,484,652,038		$	739,384,065		$	743,201,885
Undistributed accumulated net investment income (loss)		$5,810,010			$14,853,381			$850,553			$5,118,103

The accompanying notes are an integral part of these financial statements. (continued on p. 169)

AQR Funds Semi-Annual Report March 2017

168

Statements of Changes in Net Assets March 31, 2017

	AQR LARGE CAP MULTI-STYLE FUND						AQR SMALL CAP MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		44,811,070			37,047,708			3,258,870			2,165,764
Shares sold		5,272,543			27,475,415			1,111,079			2,534,955
Shares issued on reinvestment of distributions		294,273			364,509			82,453			5,656
Shares redeemed		(23,907,128	)		(20,076,562	)		(1,257,303	)		(1,447,505	)
Shares outstanding, end of period		26,470,758			44,811,070			3,195,099			3,258,870
CLASS N
Shares outstanding, beginning of period		4,643,563			4,528,366			700,486			463,666
Shares sold		353,622			2,626,755			128,967			863,642
Shares issued on reinvestment of distributions		45,369			33,865			16,161			305
Shares redeemed		(1,032,399	)		(2,545,423	)		(116,556	)		(627,127	)
Shares outstanding, end of period		4,010,155			4,643,563			729,058			700,486
CLASS R6
Shares outstanding, beginning of period		56,611,041			42,554,777			49,226,271			771,282
Shares sold		25,238,399			23,345,042			4,341,930			53,443,534
Shares issued on reinvestment of distributions		1,017,753			490,739			1,147,512			28,241
Shares redeemed		(8,143,249	)		(9,779,517	)		(10,159,347	)		(5,016,786	)
Shares outstanding, end of period		74,723,944			56,611,041			44,556,366			49,226,271

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

AQR Funds Semi-Annual Report March 2017

169

Statements of Changes in Net Assets March 31, 2017

	AQR INTERNATIONAL MULTI-STYLE FUND						AQR EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	3,089,352		$	8,369,327		$	1,002,175		$	4,158,190
Net realized gain (loss)		(1,429,743	)		(38,458,471	)		(428,261	)		(33,679,960	)
Net change in unrealized appreciation (depreciation)		25,416,837			37,204,104			15,994,824			57,947,033
Net increase (decrease) in net assets resulting from operations		27,076,446			7,114,960			16,568,738			28,425,263
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(1,615,459	)		(606,011	)		(1,429,461	)		(1,291,346	)
Class N		(194,539	)		(76,115	)		(130,267	)		(112,201	)
Class R6		(7,987,798	)		(3,911,376	)		(3,682,831	)		(3,422,346	)
Total		(9,797,796	)		(4,593,502	)		(5,242,559	)		(4,825,893	)
Total distributions		(9,797,796	)		(4,593,502	)		(5,242,559	)		(4,825,893	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		11,093,421			60,133,163			7,856,872			33,023,607
Reinvestment of distributions		1,612,750			603,182			1,428,298			1,285,557
Cost of shares redeemed		(15,726,879	)		(33,973,951	)		(6,213,370	)		(15,499,794	)
Net increase (decrease) from capital transactions		(3,020,708	)		26,762,394			3,071,800			18,809,370
CLASS N
Proceeds from shares sold		2,067,052			8,931,867			1,486,679			6,735,342
Reinvestment of distributions		193,541			75,447			130,267			112,201
Cost of shares redeemed		(3,123,191	)		(4,548,689	)		(2,441,429	)		(4,356,156	)
Net increase (decrease) from capital transactions		(862,598	)		4,458,625			(824,483	)		2,491,387
CLASS R6
Proceeds from shares sold		54,662,956			101,522,329			20,762,762			54,236,859
Reinvestment of distributions		7,922,560			3,910,599			3,653,343			3,421,616
Cost of shares redeemed		(31,523,030	)		(47,070,019	)		(17,888,360	)		(26,043,362	)
Net increase (decrease) from capital transactions		31,062,486			58,362,909			6,527,745			31,615,113
Net increase (decrease) in net assets resulting from capital transactions		27,179,180			89,583,928			8,775,062			52,915,870
Total increase (decrease) in net assets		44,457,830			92,105,386			20,101,241			76,515,240
NET ASSETS:
Beginning of period		378,073,455			285,968,069			265,504,580			188,989,340
End of period	$	422,531,285		$	378,073,455		$	285,605,821		$	265,504,580
Undistributed accumulated net investment income (loss)		$1,886,684			$8,595,128			$(813,242	)		$3,427,142

The accompanying notes are an integral part of these financial statements. (continued on p. 171)

AQR Funds Semi-Annual Report March 2017

170

Statements of Changes in Net Assets March 31, 2017

	AQR INTERNATIONAL MULTI-STYLE FUND						AQR EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		6,677,387			3,920,915			8,243,713			5,981,726
Shares sold		1,095,774			6,091,979			892,783			3,979,169
Shares issued on reinvestment of distributions		163,898			57,666			174,183			159,696
Shares redeemed		(1,559,360	)		(3,393,173	)		(717,591	)		(1,876,878	)
Shares outstanding, end of period		6,377,699			6,677,387			8,593,088			8,243,713
CLASS N
Shares outstanding, beginning of period		832,639			406,162			850,737			549,846
Shares sold		207,473			868,544			173,469			830,399
Shares issued on reinvestment of distributions		19,689			7,220			15,886			13,938
Shares redeemed		(308,980	)		(449,287	)		(277,935	)		(543,446	)
Shares outstanding, end of period		750,821			832,639			762,157			850,737
CLASS R6
Shares outstanding, beginning of period		29,492,098			23,695,163			20,536,218			16,527,847
Shares sold		5,396,318			10,128,333			2,356,085			6,779,947
Shares issued on reinvestment of distributions		805,957			374,578			444,987			425,046
Shares redeemed		(3,107,719	)		(4,705,976	)		(2,028,178	)		(3,196,622	)
Shares outstanding, end of period		32,586,654			29,492,098			21,309,112			20,536,218

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

AQR Funds Semi-Annual Report March 2017

171

Statements of Changes in Net Assets March 31, 2017

	AQR TM LARGE CAP MULTI-STYLE FUND						AQR TM SMALL CAP MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	1,288,235		$	1,464,225		$	93,776		$	140,954
Net realized gain (loss)		(88,018	)		(3,244,697	)		(105,695	)		(32,325	)
Net change in unrealized appreciation (depreciation)		16,551,447			8,712,424			2,158,812			2,174,304
Net increase (decrease) in net assets resulting from operations		17,751,664			6,931,952			2,146,893			2,282,933
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(558,442	)		(29,888	)		(154,814	)		(19,379	)
Class N		(22,808	)		(419	)		(25,593	)		(1,994	)
Class R6		(1,366,670	)		(227,299	)		(22,170	)		(10,514	)
Total		(1,947,920	)		(257,606	)		(202,577	)		(31,887	)
Net realized gain:
Class I		(2,289	)		(7,959	)		—			—
Class N		(114	)		(210	)		—			—
Class R6		(5,353	)		(56,997	)		—			—
Total		(7,756	)		(65,166	)		—			—
Total distributions		(1,955,676	)		(322,772	)		(202,577	)		(31,887	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		10,446,011			44,782,939			3,580,474			12,204,726
Reinvestment of distributions		556,533			36,936			154,181			19,379
Cost of shares redeemed		(1,947,621	)		(8,474,396	)		(503,576	)		(1,791,158	)
Net increase (decrease) from capital transactions		9,054,923			36,345,479			3,231,079			10,432,947
CLASS N
Proceeds from shares sold		522,315			2,304,554			3,095,105			2,575,146
Reinvestment of distributions		22,922			629			25,593			1,994
Cost of shares redeemed		(1,187,250	)		(413,640	)		(1,106,047	)		(127,136	)
Net increase (decrease) from capital transactions		(642,013	)		1,891,543			2,014,651			2,450,004
CLASS R6
Proceeds from shares sold		29,132,281			79,815,885			—			100,000
Reinvestment of distributions		1,367,976			284,187			22,170			10,514
Cost of shares redeemed		(8,419,507	)		(13,650,502	)		—			—
Net increase (decrease) from capital transactions		22,080,750			66,449,570			22,170			110,514
Net increase (decrease) in net assets resulting from capital transactions		30,493,660			104,686,592			5,267,900			12,993,465
Total increase (decrease) in net assets		46,289,648			111,295,772			7,212,216			15,244,511
NET ASSETS:
Beginning of period		140,220,965			28,925,193			18,734,998			3,490,487
End of period	$	186,510,613		$	140,220,965		$	25,947,214		$	18,734,998
Undistributed accumulated net investment income (loss)		$657,315			$1,317,000			$20,267			$129,068

The accompanying notes are an integral part of these financial statements. (continued on p. 173)

AQR Funds Semi-Annual Report March 2017

172

Statements of Changes in Net Assets March 31, 2017

	AQR TM LARGE CAP MULTI-STYLE FUND						AQR TM SMALL CAP MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,995,600			221,606			1,338,219			184,697
Shares sold		992,527			4,680,798			324,353			1,352,610
Shares issued on reinvestment of distributions		52,652			3,777			13,489			2,079
Shares redeemed		(183,414	)		(910,581	)		(46,047	)		(201,167	)
Shares outstanding, end of period		4,857,365			3,995,600			1,630,014			1,338,219
CLASS N
Shares outstanding, beginning of period		217,083			14,363			289,019			13,941
Shares sold		50,138			245,689			277,690			288,222
Shares issued on reinvestment of distributions		2,171			64			2,243			214
Shares redeemed		(109,561	)		(43,033	)		(99,565	)		(13,358	)
Shares outstanding, end of period		159,831			217,083			469,387			289,019
CLASS R6
Shares outstanding, beginning of period		9,800,397			2,833,532			191,117			180,000
Shares sold		2,759,583			8,363,499			—			9,990
Shares issued on reinvestment of distributions		129,421			29,028			1,936			1,127
Shares redeemed		(797,372	)		(1,425,662	)		—			—
Shares outstanding, end of period		11,892,029			9,800,397			193,053			191,117

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

AQR Funds Semi-Annual Report March 2017

173

Statements of Changes in Net Assets March 31, 2017

	AQR TM INTERNATIONAL MULTI-STYLE FUND						AQR TM EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	1,163,096		$	2,590,826		$	1,119,808		$	4,603,273
Net realized gain (loss)		(764,922	)		(6,667,262	)		162,356			(12,858,821	)
Net change in unrealized appreciation (depreciation)		10,483,951			8,546,385			17,328,305			34,369,370
Net increase (decrease) in net assets resulting from operations		10,882,125			4,469,949			18,610,469			26,113,822
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(422,289	)		(140,652	)		(296,146	)		(32,378	)
Class N		(30,453	)		(3,650	)		(49,154	)		—
Class R6		(2,510,600	)		(593,342	)		(6,513,104	)		(749,383	)
Total		(2,963,342	)		(737,644	)		(6,858,404	)		(781,761	)
Total distributions		(2,963,342	)		(737,644	)		(6,858,404	)		(781,761	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		2,849,498			23,518,732			1,868,493			13,573,964
Reinvestment of distributions		413,893			138,694			283,665			32,123
Cost of shares redeemed		(1,739,226	)		(7,008,552	)		(1,109,897	)		(4,847,472	)
Net increase (decrease) from capital transactions		1,524,165			16,648,874			1,042,261			8,758,615
CLASS N
Proceeds from shares sold		505,881			1,605,564			534,059			2,346,427
Reinvestment of distributions		30,453			3,650			49,154			—
Cost of shares redeemed		(541,580	)		(196,510	)		(520,985	)		(1,380,915	)
Net increase (decrease) from capital transactions		(5,246	)		1,412,704			62,228			965,512
CLASS R6
Proceeds from shares sold		15,546,647			85,284,291			10,702,835			261,029,638
Reinvestment of distributions		2,506,738			593,184			6,510,144			749,355
Cost of shares redeemed		(9,244,496	)		(14,072,933	)		(8,066,293	)		(28,410,599	)
Net increase (decrease) from capital transactions		8,808,889			71,804,542			9,146,686			233,368,394
Net increase (decrease) in net assets resulting from capital transactions		10,327,808			89,866,120			10,251,175			243,092,521
Total increase (decrease) in net assets		18,246,591			93,598,425			22,003,240			268,424,582
NET ASSETS:
Beginning of period		138,327,032			44,728,607			287,672,957			19,248,375
End of period	$	156,573,623		$	138,327,032		$	309,676,197		$	287,672,957
Undistributed accumulated net investment income (loss)		$730,445			$2,530,691			$(1,293,890	)		$4,444,706

The accompanying notes are an integral part of these financial statements. (continued on p. 175)

AQR Funds Semi-Annual Report March 2017

174

Statements of Changes in Net Assets March 31, 2017

	AQR TM INTERNATIONAL MULTI-STYLE FUND						AQR TM EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,128,774			341,610			1,370,519			359,225
Shares sold		299,191			2,539,093			205,419			1,596,157
Shares issued on reinvestment of distributions		45,086			14,447			33,451			3,870
Shares redeemed		(182,877	)		(766,376	)		(124,607	)		(588,733	)
Shares outstanding, end of period		2,290,174			2,128,774			1,484,782			1,370,519
CLASS N
Shares outstanding, beginning of period		168,987			15,231			233,206			106,116
Shares sold		53,981			174,012			59,942			286,357
Shares issued on reinvestment of distributions		3,325			381			5,789			—
Shares redeemed		(57,085	)		(20,637	)		(56,240	)		(159,267	)
Shares outstanding, end of period		169,208			168,987			242,697			233,206
CLASS R6
Shares outstanding, beginning of period		12,337,482			4,395,156			29,394,195			1,849,302
Shares sold		1,646,804			9,392,713			1,180,389			30,840,327
Shares issued on reinvestment of distributions		272,768			61,726			767,706			90,284
Shares redeemed		(981,516	)		(1,512,113	)		(880,524	)		(3,385,718	)
Shares outstanding, end of period		13,275,538			12,337,482			30,461,766			29,394,195

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

AQR Funds Semi-Annual Report March 2017

175

Statements of Changes in Net Assets March 31, 2017

	AQR LARGE CAP MOMENTUM STYLE FUND						AQR SMALL CAP MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	6,646,119		$	13,220,255		$	1,046,604		$	2,522,678
Net realized gain (loss)		48,414,471			60,905,610			21,105,170			(5,188,075	)
Net change in unrealized appreciation (depreciation)		3,921,294			29,096,518			8,414,101			39,852,480
Net increase (decrease) in net assets resulting from operations		58,981,884			103,222,383			30,565,875			37,187,083
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(12,230,241	)		(8,820,091	)		(2,567,241	)		(2,497,115	)
Class N		(723,350	)		(462,621	)		—			(45,047	)
Class R6		(968,404	)		(760,600	)		(79,227	)		(108,602	)
Total		(13,921,995	)		(10,043,312	)		(2,646,468	)		(2,650,764	)
Net realized gain:
Class I		(47,871,231	)		(62,191,159	)		—			(1,362,253	)
Class N		(3,398,837	)		(4,768,963	)		—			(36,403	)
Class R6		(3,547,071	)		(4,758,117	)		—			(49,898	)
Total		(54,817,139	)		(71,718,239	)		—			(1,448,554	)
Total distributions		(68,739,134	)		(81,761,551	)		(2,646,468	)		(4,099,318	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		85,452,749			164,695,456			24,141,571			66,699,622
Reinvestment of distributions		60,037,357			70,902,935			2,558,986			3,846,424
Cost of shares redeemed		(143,349,214	)		(308,309,640	)		(37,018,776	)		(96,490,678	)
Net increase (decrease) from capital transactions		2,140,892			(72,711,249	)		(10,318,219	)		(25,944,632	)
CLASS N
Proceeds from shares sold		3,864,191			15,961,335			259,972			2,771,176
Reinvestment of distributions		4,121,868			5,231,584			—			81,450
Cost of shares redeemed		(8,639,829	)		(32,777,173	)		(365,605	)		(9,695,395	)
Net increase (decrease) from capital transactions		(653,770	)		(11,584,254	)		(105,633	)		(6,842,769	)
CLASS R6
Proceeds from shares sold		7,618,987			25,052,120			1,017,427			9,126,865
Reinvestment of distributions		4,492,109			5,501,528			79,139			157,097
Cost of shares redeemed		(7,505,414	)		(35,675,247	)		(412,138	)		(84,209,643	)
Net increase (decrease) from capital transactions		4,605,682			(5,121,599	)		684,428			(74,925,681	)
Net increase (decrease) in net assets resulting from capital transactions		6,092,804			(89,417,102	)		(9,739,424	)		(107,713,082	)
Total increase (decrease) in net assets		(3,664,446	)		(67,956,270	)		18,179,983			(74,625,317	)
NET ASSETS:
Beginning of period		937,666,478			1,005,622,748			327,218,057			401,843,374
End of period	$	934,002,032		$	937,666,478		$	345,398,040		$	327,218,057
Undistributed accumulated net investment income (loss)		$2,881,922			$10,157,798			$150,075			$1,749,939

The accompanying notes are an integral part of these financial statements. (continued on p. 177)

AQR Funds Semi-Annual Report March 2017

176

Statements of Changes in Net Assets March 31, 2017

	AQR LARGE CAP MOMENTUM STYLE FUND						AQR SMALL CAP MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		40,158,763			43,794,416			15,247,228			16,557,893
Shares sold		4,297,941			8,413,669			1,105,097			3,530,297
Shares issued on reinvestment of distributions		3,118,824			3,643,522			114,241			197,151
Shares redeemed		(7,174,200	)		(15,692,844	)		(1,707,352	)		(5,038,113	)
Shares outstanding, end of period		40,401,328			40,158,763			14,759,214			15,247,228
CLASS N
Shares outstanding, beginning of period		2,823,181			3,440,002			76,105			431,529
Shares sold		194,163			820,756			11,978			149,541
Shares issued on reinvestment of distributions		213,901			268,699			—			4,190
Shares redeemed		(435,025	)		(1,706,276	)		(17,458	)		(509,155	)
Shares outstanding, end of period		2,796,220			2,823,181			70,625			76,105
CLASS R6
Shares outstanding, beginning of period		2,895,803			3,158,235			408,690			4,056,213
Shares sold		387,672			1,254,740			46,674			473,650
Shares issued on reinvestment of distributions		233,842			283,438			3,541			8,069
Shares redeemed		(378,873	)		(1,800,610	)		(19,015	)		(4,129,242	)
Shares outstanding, end of period		3,138,444			2,895,803			439,890			408,690

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

AQR Funds Semi-Annual Report March 2017

177

Statements of Changes in Net Assets March 31, 2017

	AQR INTERNATIONAL MOMENTUM STYLE FUND						AQR EMERGING MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	3,261,060		$	6,255,753		$	39,068		$	118,560
Net realized gain (loss)		1,897,876			(17,740,594	)		110,877			(1,417,522	)
Net change in unrealized appreciation (depreciation)		1,871,374			32,248,324			357,875			2,322,454
Net increase (decrease) in net assets resulting from operations		7,030,310			20,763,483			507,820			1,023,492
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(6,221,505	)		(4,299,494	)		(124,339	)		(182,437	)
Class N		(598,973	)		(446,579	)		(12,317	)		(25,974	)
Class R6		(869,430	)		(549,818	)		(14,922	)		(7,466	)
Total		(7,689,908	)		(5,295,891	)		(151,578	)		(215,877	)
Total distributions		(7,689,908	)		(5,295,891	)		(151,578	)		(215,877	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		49,712,297			62,967,813			985,870			3,221,843
Reinvestment of distributions		6,218,003			4,297,414			124,339			182,437
Cost of shares redeemed		(32,058,354	)		(65,008,082	)		(1,029,308	)		(1,868,461	)
Net increase (decrease) from capital transactions		23,871,946			2,257,145			80,901			1,535,819
CLASS N
Proceeds from shares sold		3,196,583			5,428,425			32,746			589,906
Reinvestment of distributions		598,973			446,579			12,317			25,974
Cost of shares redeemed		(3,853,867	)		(12,243,981	)		(53,300	)		(733,943	)
Net increase (decrease) from capital transactions		(58,311	)		(6,368,977	)		(8,237	)		(118,063	)
CLASS R6
Proceeds from shares sold		5,963,282			14,099,786			316,145			978,729
Reinvestment of distributions		868,265			549,818			14,922			7,466
Cost of shares redeemed		(3,946,170	)		(11,819,504	)		(70,195	)		(207,501	)
Net increase (decrease) from capital transactions		2,885,377			2,830,100			260,872			778,694
Net increase (decrease) in net assets resulting from capital transactions		26,699,012			(1,281,732	)		333,536			2,196,450
Total increase (decrease) in net assets		26,039,414			14,185,860			689,778			3,004,065
NET ASSETS:
Beginning of period		337,885,811			323,699,951			10,827,429			7,823,364
End of period	$	363,925,225		$	337,885,811		$	11,517,207		$	10,827,429
Undistributed accumulated net investment income (loss)		$2,191,547			$6,620,395			$(30,890	)		$81,620

The accompanying notes are an integral part of these financial statements. (continued on p. 179)

AQR Funds Semi-Annual Report March 2017

178

Statements of Changes in Net Assets March 31, 2017

	AQR INTERNATIONAL MOMENTUM STYLE FUND						AQR EMERGING MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		19,627,772			19,429,009			1,003,384			797,764
Shares sold		3,807,232			4,707,160			113,301			414,462
Shares issued on reinvestment of distributions		488,837			318,799			15,699			22,607
Shares redeemed		(2,440,298	)		(4,827,196	)		(120,610	)		(231,449	)
Shares outstanding, end of period		21,483,543			19,627,772			1,011,774			1,003,384
CLASS N
Shares outstanding, beginning of period		2,207,600			2,678,581			126,465			136,798
Shares sold		242,586			410,919			3,750			75,999
Shares issued on reinvestment of distributions		47,126			33,178			1,553			3,215
Shares redeemed		(293,687	)		(915,078	)		(6,042	)		(89,547	)
Shares outstanding, end of period		2,203,625			2,207,600			125,726			126,465
CLASS R6
Shares outstanding, beginning of period		2,555,356			2,346,761			107,058			9,662
Shares sold		453,848			1,051,223			36,814			124,721
Shares issued on reinvestment of distributions		68,367			40,849			1,882			925
Shares redeemed		(301,103	)		(883,477	)		(8,169	)		(28,250	)
Shares outstanding, end of period		2,776,468			2,555,356			137,585			107,058

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

AQR Funds Semi-Annual Report March 2017

179

Statements of Changes in Net Assets March 31, 2017

	AQR TM LARGE CAP MOMENTUM STYLE FUND						AQR TM SMALL CAP MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	1,046,145		$	2,020,859		$	113,499		$	224,018
Net realized gain (loss)		345,663			(1,907,325	)		(77,855	)		(508,214	)
Net change in unrealized appreciation (depreciation)		8,353,083			13,519,533			3,765,189			3,235,528
Net increase (decrease) in net assets resulting from operations		9,744,891			13,633,067			3,800,833			2,951,332
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(955,242	)		(560,699	)		(254,946	)		(152,199	)
Class N		(2,128	)		(1,335	)		(918	)		(815	)
Class R6		(1,235,381	)		(853,432	)		(1,393	)		(1,020	)
Total		(2,192,751	)		(1,415,466	)		(257,257	)		(154,034	)
Total distributions		(2,192,751	)		(1,415,466	)		(257,257	)		(154,034	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		12,084,206			22,821,824			5,160,922			19,666,884
Reinvestment of distributions		955,242			559,771			254,946			152,199
Cost of shares redeemed		(8,981,025	)		(17,607,554	)		(1,813,891	)		(9,353,481	)
Net increase (decrease) from capital transactions		4,058,423			5,774,041			3,601,977			10,465,602
CLASS N
Proceeds from shares sold		3,160			11,765			900			35,649
Reinvestment of distributions		2,128			1,335			918			815
Cost of shares redeemed		—			(12,929	)		(15,771	)		(20,665	)
Net increase (decrease) from capital transactions		5,288			171			(13,953	)		15,799
CLASS R6
Proceeds from shares sold		4,502,240			22,497,954			—			61,871
Reinvestment of distributions		1,234,108			853,432			1,393			1,020
Cost of shares redeemed		(9,342,905	)		(20,079,953	)		(105	)		(9,574	)
Net increase (decrease) from capital transactions		(3,606,557	)		3,271,433			1,288			53,317
Net increase (decrease) in net assets resulting from capital transactions		457,154			9,045,645			3,589,312			10,534,718
Total increase (decrease) in net assets		8,009,294			21,263,246			7,132,888			13,332,016
NET ASSETS:
Beginning of period		147,747,917			126,484,671			33,548,704			20,216,688
End of period	$	155,757,211		$	147,747,917		$	40,681,592		$	33,548,704
Undistributed accumulated net investment income (loss)		$456,981			$1,603,587			$22,129			$165,887

The accompanying notes are an integral part of these financial statements. (continued on p. 181)

AQR Funds Semi-Annual Report March 2017

180

Statements of Changes in Net Assets March 31, 2017

	AQR TM LARGE CAP MOMENTUM STYLE FUND						AQR TM SMALL CAP MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,971,690			3,613,144			2,094,916			1,377,919
Shares sold		702,285			1,410,988			306,090			1,356,767
Shares issued on reinvestment of distributions		55,764			34,321			14,866			10,174
Shares redeemed		(523,150	)		(1,086,763	)		(108,663	)		(649,944	)
Shares outstanding, end of period		4,206,589			3,971,690			2,307,209			2,094,916
CLASS N
Shares outstanding, beginning of period		9,538			9,457			9,764			8,788
Shares sold		186			760			59			2,361
Shares issued on reinvestment of distributions		125			82			54			55
Shares redeemed		—			(761	)		(933	)		(1,440	)
Shares outstanding, end of period		9,849			9,538			8,944			9,764
CLASS R6
Shares outstanding, beginning of period		4,730,865			4,517,716			10,452			6,717
Shares sold		260,669			1,409,409			—			4,295
Shares issued on reinvestment of distributions		72,170			52,422			81			68
Shares redeemed		(542,930	)		(1,248,682	)		(6	)		(628	)
Shares outstanding, end of period		4,520,774			4,730,865			10,527			10,452

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

AQR Funds Semi-Annual Report March 2017

181

Statements of Changes in Net Assets March 31, 2017

	AQR TM INTERNATIONAL MOMENTUM STYLE FUND						AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	730,253		$	1,643,310		$	7,937,602		$	9,839,351
Net realized gain (loss)		(331,507	)		(4,919,205	)		2,797,211			5,138,616
Net change in unrealized appreciation (depreciation)		485,738			8,344,298			79,415,560			51,359,438
Net increase (decrease) in net assets resulting from operations		884,484			5,068,403			90,150,373			66,337,405
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(685,240	)		(284,457	)		(7,738,990	)		(2,142,472	)
Class N		(3,572	)		(1,787	)		(2,775,125	)		(528,218	)
Class R6		(1,215,630	)		(826,613	)		(2,015,183	)		(591,390	)
Total		(1,904,442	)		(1,112,857	)		(12,529,298	)		(3,262,080	)
Net realized gain:
Class I		—			—			(2,907,277	)		(11,772,261	)
Class N		—			—			(1,214,616	)		(3,153,506	)
Class R6		—			—			(721,670	)		(2,966,065	)
Total		—			—			(4,843,563	)		(17,891,832	)
Total distributions		(1,904,442	)		(1,112,857	)		(17,372,861	)		(21,153,912	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		12,534,569			18,384,546			138,213,103			465,741,590
Reinvestment of distributions		685,240			284,457			10,296,185			13,906,906
Cost of shares redeemed		(11,654,096	)		(9,939,845	)		(97,750,215	)		(141,910,504	)
Net increase (decrease) from capital transactions		1,565,713			8,729,158			50,759,073			337,737,992
CLASS N
Proceeds from shares sold		26,562			64,921			44,627,726			252,592,188
Reinvestment of distributions		3,572			1,787			3,988,957			3,681,724
Cost of shares redeemed		(35,249	)		(14,300	)		(74,086,519	)		(72,065,267	)
Net increase (decrease) from capital transactions		(5,115	)		52,408			(25,469,836	)		184,208,645
CLASS R6
Proceeds from shares sold		4,929,294			28,713,881			24,673,371			133,569,139
Reinvestment of distributions		1,215,630			826,613			2,735,594			3,557,455
Cost of shares redeemed		(12,412,633	)		(24,296,080	)		(15,851,775	)		(20,148,273	)
Net increase (decrease) from capital transactions		(6,267,709	)		5,244,414			11,557,190			116,978,321
Net increase (decrease) in net assets resulting from capital transactions		(4,707,111	)		14,025,980			36,846,427			638,924,958
Total increase (decrease) in net assets		(5,727,069	)		17,981,526			109,623,939			684,108,451
NET ASSETS:
Beginning of period		89,786,290			71,804,764			873,314,761			189,206,310
End of period	$	84,059,221		$	89,786,290		$	982,938,700		$	873,314,761
Undistributed accumulated net investment income (loss)		$471,239			$1,645,428			$4,062,257			$8,653,953

The accompanying notes are an integral part of these financial statements. (continued on p. 183)

AQR Funds Semi-Annual Report March 2017

182

Statements of Changes in Net Assets March 31, 2017

	AQR TM INTERNATIONAL MOMENTUM STYLE FUND						AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,762,443			2,026,170			33,090,713			10,821,982
Shares sold		1,083,961			1,558,631			8,443,350			30,720,567
Shares issued on reinvestment of distributions		60,856			23,724			637,535			967,774
Shares redeemed		(1,013,794	)		(846,082	)		(6,028,259	)		(9,419,610	)
Shares outstanding, end of period		2,893,466			2,762,443			36,143,339			33,090,713
CLASS N
Shares outstanding, beginning of period		13,105			8,782			14,418,150			2,092,861
Shares sold		2,240			5,391			2,757,689			16,757,391
Shares issued on reinvestment of distributions		318			150			247,147			256,209
Shares redeemed		(2,972	)		(1,218	)		(4,538,197	)		(4,688,311	)
Shares outstanding, end of period		12,691			13,105			12,884,789			14,418,150
CLASS R6
Shares outstanding, beginning of period		4,552,606			4,102,795			8,114,231			7,440
Shares sold		423,116			2,438,316			1,525,692			9,221,194
Shares issued on reinvestment of distributions		108,249			69,173			169,702			248,079
Shares redeemed		(1,076,554	)		(2,057,678	)		(982,902	)		(1,362,482	)
Shares outstanding, end of period		4,007,417			4,552,606			8,826,723			8,114,231

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

AQR Funds Semi-Annual Report March 2017

183

Statements of Changes in Net Assets March 31, 2017

	AQR INTERNATIONAL DEFENSIVE STYLE FUND						AQR EMERGING DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	1,180,089		$	1,813,836		$	213,890		$	774,027
Net realized gain (loss)		(372,911	)		(271,740	)		(676,385	)		(1,278,297	)
Net change in unrealized appreciation (depreciation)		1,579,825			6,850,920			1,345,696			5,123,132
Net increase (decrease) in net assets resulting from operations		2,387,003			8,393,016			883,201			4,618,862
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(1,376,647	)		(763,796	)		(775,009	)		(1,068,331	)
Class N		(325,467	)		(2,117	)		(2,256	)		(1,572	)
Class R6		(216,668	)		(1,972	)		(3,159	)		(2,585	)
Total		(1,918,782	)		(767,885	)		(780,424	)		(1,072,488	)
Total distributions		(1,918,782	)		(767,885	)		(780,424	)		(1,072,488	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		24,427,398			64,153,655			12,789,352			27,630,236
Reinvestment of distributions		1,376,647			763,231			774,826			1,060,287
Cost of shares redeemed		(13,945,969	)		(8,454,631	)		(7,410,160	)		(9,817,446	)
Net increase (decrease) from capital transactions		11,858,076			56,462,255			6,154,018			18,873,077
CLASS N
Proceeds from shares sold		12,686,427			20,760,013			3,390,755			633,630
Reinvestment of distributions		325,467			2,117			2,256			1,572
Cost of shares redeemed		(4,110,360	)		(465,768	)		(103,020	)		(487,514	)
Net increase (decrease) from capital transactions		8,901,534			20,296,362			3,289,991			147,688
CLASS R6
Proceeds from shares sold		4,741,937			17,495,519			—			146,181
Reinvestment of distributions		216,668			1,972			3,159			2,585
Cost of shares redeemed		(1,495,789	)		(3,654,467	)		—			(56,356	)
Net increase (decrease) from capital transactions		3,462,816			13,843,024			3,159			92,410
Net increase (decrease) in net assets resulting from capital transactions		24,222,426			90,601,641			9,447,168			19,113,175
Total increase (decrease) in net assets		24,690,647			98,226,772			9,549,945			22,659,549
NET ASSETS:
Beginning of period		132,647,372			34,420,600			50,009,122			27,349,573
End of period	$	157,338,019		$	132,647,372		$	59,559,067		$	50,009,122
Undistributed accumulated net investment income (loss)		$787,697			$1,526,390			$150,524			$717,058

The accompanying notes are an integral part of these financial statements. (continued on p. 185)

AQR Funds Semi-Annual Report March 2017

184

Statements of Changes in Net Assets March 31, 2017

	AQR INTERNATIONAL DEFENSIVE STYLE FUND						AQR EMERGING DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		8,004,942			3,121,519			5,639,656			3,314,071
Shares sold		2,098,981			5,553,130			1,553,667			3,371,402
Shares issued on reinvestment of distributions		122,805			69,133			98,079			134,896
Shares redeemed		(1,212,596	)		(738,840	)		(882,476	)		(1,180,713	)
Shares outstanding, end of period		9,014,132			8,004,942			6,408,926			5,639,656
CLASS N
Shares outstanding, beginning of period		1,704,809			12,556			22,961			6,419
Shares sold		1,067,474			1,730,261			407,040			73,524
Shares issued on reinvestment of distributions		28,326			187			279			195
Shares redeemed		(344,652	)		(38,195	)		(11,896	)		(57,177	)
Shares outstanding, end of period		2,455,957			1,704,809			418,384			22,961
CLASS R6
Shares outstanding, beginning of period		1,213,597			8,096			21,705			9,146
Shares sold		407,952			1,521,529			—			18,922
Shares issued on reinvestment of distributions		19,363			179			401			330
Shares redeemed		(129,152	)		(316,207	)		—			(6,693	)
Shares outstanding, end of period		1,511,760			1,213,597			22,106			21,705

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

AQR Funds Semi-Annual Report March 2017

185

Statements of Changes in Net Assets March 31, 2017

	AQR GLOBAL EQUITY FUND						AQR INTERNATIONAL EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
OPERATIONS:
Net investment income (loss)	$	839,703		$	2,971,159		$	2,516,550		$	10,940,097
Net realized gain (loss)		2,669,916			29,215,885			942,881			42,272,061
Net change in unrealized appreciation (depreciation)		8,338,291			(7,560,125	)		23,967,010			(8,355,868	)
Net increase (decrease) in net assets resulting from operations		11,847,910			24,626,919			27,426,441			44,856,290
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(653,994	)		(506,575	)		(10,863,361	)		(6,541,592	)
Class N		(28,840	)		(6,423	)		(974,412	)		(614,398	)
Class R6		(2,583,720	)		(1,217,400	)		(467,204	)		(656,409	)
Class Y		—			(3,414,898	)		—			(8,051,362	)
Total		(3,266,554	)		(5,145,296	)		(12,304,977	)		(15,863,761	)
Net realized gain:
Class I		(2,182,402	)		(1,816,068	)		(4,934,344	)		(3,956,397	)
Class N		(106,171	)		(43,077	)		(484,430	)		(441,881	)
Class R6		(7,739,962	)		(4,517,439	)		(204,168	)		(382,785	)
Class Y		—			(11,253,865	)		—			(4,100,460	)
Total		(10,028,535	)		(17,630,449	)		(5,622,942	)		(8,881,523	)
Total distributions		(13,295,089	)		(22,775,745	)		(17,927,919	)		(24,745,284	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		6,974,117			2,993,256			41,391,744			128,184,249
Reinvestment of distributions		2,835,116			2,322,643			14,138,963			9,424,064
Cost of shares redeemed		(6,888,302	)		(7,758,323	)		(81,453,469	)		(108,490,777	)
Net increase (decrease) from capital transactions		2,920,931			(2,442,424	)		(25,922,762	)		29,117,536
CLASS N
Proceeds from shares sold		394,640			978,266			6,400,941			6,615,072
Reinvestment of distributions		135,011			49,060			1,335,280			981,695
Cost of shares redeemed		(554,873	)		(192,346	)		(6,469,521	)		(8,603,919	)
Net increase (decrease) from capital transactions		(25,222	)		834,980			1,266,700			(1,007,152	)
CLASS R6
Proceeds from shares sold		2,884,733			11,086,258			21,534,994			13,218,194
Reinvestment of distributions		10,323,682			5,734,839			671,372			1,039,194
Cost of shares redeemed		(25,000	)		(111,189	)		(736,711	)		(724,458	)
Cost of shares redeemed on in kind (See Note 15)		—			—			—			(32,220,986	)
Net increase (decrease) from capital transactions		13,183,415			16,709,908			21,469,655			(18,688,056	)
CLASS Y (a)
Reinvestment of distributions		—			14,668,763			—			12,151,822
Cost of shares redeemed		—			(122,861,157	)		—			(1,143	)
Cost of shares redeemed on in kind (See Note 15)		—			(99,731,073	)		—			(358,280,995	)
Redemption fees		—			122,861			—			—
Net increase (decrease) from capital transactions		—			(207,800,606	)		—			(346,130,316	)
Net increase (decrease) in net assets resulting from capital transactions		16,079,124			(192,698,142	)		(3,186,407	)		(336,707,988	)
Total increase (decrease) in net assets		14,631,945			(190,846,968	)		6,312,115			(316,596,982	)
NET ASSETS:
Beginning of period		141,298,190			332,145,158			422,214,068			738,811,050
End of period	$	155,930,135		$	141,298,190		$	428,526,183		$	422,214,068
Undistributed accumulated net investment income (loss)		$101,261			$2,528,112			$570,299			$10,358,726

The accompanying notes are an integral part of these financial statements. (continued on p. 187)

AQR Funds Semi-Annual Report March 2017

186

Statements of Changes in Net Assets March 31, 2017

	AQR GLOBAL EQUITY FUND						AQR INTERNATIONAL EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016			FOR THE SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		4,067,125			4,380,799			36,446,082			33,377,117
Shares sold		895,991			391,296			4,128,339			13,308,235
Shares issued on reinvestment of distributions		376,010			302,087			1,482,072			985,781
Shares redeemed		(861,496	)		(1,007,057	)		(8,120,788	)		(11,225,051	)
Shares outstanding, end of period		4,477,630			4,067,125			33,935,705			36,446,082
CLASS N
Shares outstanding, beginning of period		212,001			98,923			3,604,797			3,703,495
Shares sold		50,380			131,671			622,118			673,280
Shares issued on reinvestment of distributions		17,978			6,405			137,092			100,790
Shares redeemed		(70,328	)		(24,998	)		(629,728	)		(872,768	)
Shares outstanding, end of period		210,031			212,001			3,734,279			3,604,797
CLASS R6
Shares outstanding, beginning of period		13,023,243			10,836,304			1,335,884			3,212,966
Shares sold		357,915			1,460,127			1,991,766			1,283,890
Shares issued on reinvestment of distributions		1,360,169			741,067			66,341			102,687
Shares redeemed		(3,086	)		(14,255	)		(69,756	)		(70,839	)
Shares redeemed in kind (See Note 15)		—			—			—			(3,192,820	)
Shares outstanding, end of period		14,738,241			13,023,243			3,324,235			1,335,884
CLASS Y (a)
Shares outstanding, beginning of period		—			26,995,455			—			34,301,988
Shares issued on reinvestment of distributions		—			1,895,655			—			1,201,960
Shares redeemed		—			(15,768,729	)		—			—
Shares redeemed in kind (See Note 15)		—			(13,122,381	)		—			(35,503,948	)
Shares outstanding, end of period		—			—			—			—

(a) Class Y closed on April 1, 2016 and May 9, 2016 for AQR International Equity Fund and AQR Global Equity Fund, respectively.

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

AQR Funds Semi-Annual Report March 2017

187

Statements of Changes in Net Assets March 31, 2017

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND		AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND		AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	FOR THE PERIOD 12/14/16*- 3/31/17 (Unaudited)		FOR THE PERIOD 12/14/16*- 3/31/17 (Unaudited)			FOR THE PERIOD 12/14/16*- 3/31/17 (Unaudited)		FOR THE PERIOD 12/14/16*- 3/31/17 (Unaudited)
OPERATIONS:
Net investment income (loss)	$	14,070	$	1,660		$	26,754	$	18,457
Net realized gain (loss)		5,809		(3,700	)		20,776		3,542
Net change in unrealized appreciation (depreciation)		101,329		(64,632	)		365,949		442,521
Net increase (decrease) in net assets resulting from operations		121,208		(66,672	)		413,479		464,520
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,206,232		1,126,578			1,957,370		1,815,538
Net increase (decrease) from capital transactions		1,206,232		1,126,578			1,957,370		1,815,538
CLASS N
Proceeds from shares sold		1,165,796		652,860			858,816		1,233,733
Net increase (decrease) from capital transactions		1,165,796		652,860			858,816		1,233,733
CLASS R6
Proceeds from shares sold		1,655,717		1,192,979			2,000,000		2,500,000
Net increase (decrease) from capital transactions		1,655,717		1,192,979			2,000,000		2,500,000
Net increase (decrease) in net assets resulting from capital transactions		4,027,745		2,972,417			4,816,186		5,549,271
Total increase (decrease) in net assets		4,148,953		2,905,745			5,229,665		6,013,791
NET ASSETS:
Beginning of period		—		—			—		—
End of period	$	4,148,953	$	2,905,745		$	5,229,665	$	6,013,791
Undistributed accumulated net investment income (loss)		$14,070		$1,660			$26,754		$18,457
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		—		—			—		—
Shares sold		120,227		112,967			189,186		173,292
Shares outstanding, end of period		120,227		112,967			189,186		173,292
CLASS N
Shares outstanding, beginning of period		—		—			—		—
Shares sold		116,602		65,305			84,005		117,691
Shares outstanding, end of period		116,602		65,305			84,005		117,691
CLASS R6
Shares outstanding, beginning of period		—		—			—		—
Shares sold		165,637		119,298			200,000		250,000
Shares outstanding, end of period		165,637		119,298			200,000		250,000

* Commencement of operations.

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

AQR Funds Semi-Annual Report March 2017

188

Statements of Cash Flows March 31, 2017 (Unaudited)

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND			AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase(decrease) in net assets resulting from operations	$	121,208		$	(66,672	)	$	413,479
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used) in operating activities:
Payments to purchase securities		(4,993,282	)		(3,862,547	)		(6,300,809	)
Payments to cover short securities		(80,198	)		(102,829	)		(144,151	)
Proceeds from securities sold short		1,200,856			927,259			1,599,125
Proceeds from sale of securities		107,621			229,743			116,320
(Purchases) sales of short-term investments,net		(339,747	)		(171,545	)		(129,058	)
Realized (gain) loss on investments in securities		(17,781	)		8,063			(20,926	)
Realized (gain) loss on securities sold short		11,972			(4,363	)		9,772
Change in unrealized (appreciation) depreciation on investments in securities		(130,483	)		44,763			(447,539	)
Change in unrealized (appreciation) depreciation on securities sold short		29,154			19,869			81,575
(Increases) decreases in operating assets:
Receivable for securities sold		—			—			(5,872	)
Foreign tax reclaim		—			—			(1,091	)
Dividends and interest		(6,391	)		(2,309	)		(27,587	)
Due from Investment Adviser		(11,906	)		(11,841	)		(11,782	)
Prepaid expenses		(7,473	)		(5,156	)		(5,623	)
Increases (decreases) in operating liabilities
Payable for securities purchased		59,831			2,183			40,984
Accrued distribution fees—Class N		244			135			190
Accrued Trustees fees		25			24			23
Dividends and Interest payable on securities sold short		112			104			4,445
Other accrued expenses and liabilities		29,388			27,627			32,445
Net cash provided by (used in) operating activities	$	(4,026,850	)	$	(2,967,492	)	$	(4,796,080	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		4,027,745			2,972,417			4,816,186
Net cash provided by (used in) financing activities	$	4,027,745		$	2,972,417		$	4,816,186
Net change in cash and cash denominated in foreign currencies		895			4,925			20,106
Cash, beginning of period		—			—			—
Cash, end of period	$	895		$	4,925		$	20,106

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $683, $1,082 and $1,240, respectively.

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

AQR Funds Semi-Annual Report March 2017

189

Financial Highlights March 31, 2017

	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 LARGE CAP MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$14.00		0.11			1.49			1.60		(0.19)			—			(0.19)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.25		0.19			0.68			0.87		(0.12)			(0.00)	7		(0.12)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.36		0.16			(0.15)			0.01		(0.06)			(0.06)			(0.12)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.09		0.15			2.21			2.36		(0.04)			(0.05)			(0.09)
FOR THE PERIOD 3/26/138—9/30/13		$10.00		0.06	9		1.03			1.09		—			—			—
AQR LARGE CAP MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$13.94		0.09			1.48			1.57		(0.15)			—			(0.15)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.19		0.16			0.68			0.84		(0.09)			(0.00)	7		(0.09)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.33		0.13			(0.16)			(0.03)		(0.05)			(0.06)			(0.11)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.09		0.11			2.21			2.32		(0.03)			(0.05)			(0.08)
FOR THE PERIOD 3/26/138—9/30/13		$10.00		0.04	9		1.05			1.09		—			—			—
AQR LARGE CAP MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$14.00		0.12			1.49			1.61		(0.21)			—			(0.21)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.25		0.21			0.68			0.89		(0.14)			(0.00)	7		(0.14)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.36		0.18			(0.17)			0.01		(0.06)			(0.06)			(0.12)
FOR THE PERIOD 7/10/1412—9/30/14		$13.32		0.04			0.00	7		0.04		—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$13.96		0.06	21		1.60			1.66		(0.14)			(0.24)			(0.38)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$12.30		0.13			1.56			1.69		(0.03)			(0.00)	7		(0.03)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.34		0.12	13		0.02	14		0.14		(0.03)			(0.15)			(0.18)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.88		0.05	15		0.57			0.62		(0.04)			(0.12)			(0.16)
FOR THE PERIOD 3/26/138—9/30/13		$10.00		0.03	9		1.85			1.88		—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$13.90		0.04	21		1.58			1.62		(0.10)			(0.24)			(0.34)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$12.25		0.10			1.55			1.65		(0.00)	7		(0.00)	7		(0.00)	7
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.30		0.09	13		0.01	14		0.10		(0.00)	7		(0.15)			(0.15)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.87		0.01	15		0.56			0.57		(0.02)			(0.12)			(0.14)
FOR THE PERIOD 3/26/138—9/30/13		$10.00		0.01	9		1.86			1.87		—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$13.98		0.07	21		1.59			1.66		(0.15)			(0.24)			(0.39)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$12.31		0.16			1.55			1.71		(0.04)			(0.00)	7		(0.04)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.35		0.15	13		0.00	7,14		0.15		(0.04)			(0.15)			(0.19)
FOR THE PERIOD 7/10/1412—9/30/14		$12.95		0.01	15		(0.61)	14		(0.60)		—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.23		0.07			0.61			0.68		(0.26)			—			(0.26)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.21		0.26			(0.09)			0.17		(0.15)			—			(0.15)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.47		0.27	13		(1.26)			(0.99)		(0.19)			(0.08)			(0.27)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.28		0.28			0.01	14		0.29		(0.10)			—			(0.10)
FOR THE PERIOD 3/26/138—9/30/13		$10.00		0.13	9		1.15			1.28		—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.20		0.06			0.61			0.67		(0.24)			—			(0.24)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.20		0.23			(0.10)			0.13		(0.13)			—			(0.13)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.44		0.24	13		(1.25)			(1.01)		(0.15)			(0.08)			(0.23)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.27		0.24			0.01	14		0.25		(0.08)			—			(0.08)
FOR THE PERIOD 3/26/138—9/30/13		$10.00		0.15	9		1.12			1.27		—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.22		0.08			0.61			0.69		(0.27)			—			(0.27)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.20		0.25			(0.07)			0.18		(0.16)			—			(0.16)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.47		0.30	13		(1.28)			(0.98)		(0.21)			(0.08)			(0.29)
FOR THE PERIOD 7/10/1412—9/30/14		$11.94		0.13			(0.60)			(0.47)		—			—			—

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

AQR Funds Semi-Annual Report March 2017

190

Financial Highlights March 31, 2017

					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
	$15.41		11.45	%		$408,006		0.45	%		0.44	%		0.44	%		1.50	%		28	%
	$14.00		6.61	%		$627,269		0.46	%		0.45	%		0.45	%		1.43	%		80	%
	$13.25		0.03	%		$490,709		0.54	%		0.49	%		0.49	%		1.17	%		59	%
	$13.36		21.39	%		$166,058		0.71	%		0.54	%		0.54	%		1.17	%		277	%
	$11.09		10.90	%		$18,811		1.80	%10,11		0.54	%		0.54	%		1.09	%9		223	%
	$15.36		11.32	%		$61,591		0.71	%		0.70	%		0.70	%		1.23	%		28	%
	$13.94		6.40	%		$64,718		0.71	%		0.70	%		0.70	%		1.18	%		80	%
	$13.19		(0.25	)%		$59,733		0.79	%		0.74	%		0.74	%		0.93	%		59	%
	$13.33		21.05	%		$10,328		1.14	%		0.79	%		0.79	%		0.90	%		277	%
	$11.09		10.90	%		$1,403		4.30	%10,11		0.79	%		0.79	%		0.72	%9		223	%
	$15.40		11.54	%		$1,150,947		0.36	%		0.35	%		0.35	%		1.57	%		28	%
	$14.00		6.71	%		$792,665		0.37	%		0.35	%		0.35	%		1.52	%		80	%
	$13.25		0.07	%		$563,785		0.42	%		0.36	%		0.36	%		1.28	%		59	%
	$13.36		0.30	%		$42,256		0.61	%		0.44	%		0.44	%		1.23	%		277	%
	$15.24		11.88	%		$48,678		0.69	%		0.65	%		0.65	%		0.84	%21		26	%
	$13.96		13.74	%		$45,483		0.75	%		0.65	%		0.65	%		1.00	%		96	%
	$12.30		1.02	%		$26,634		1.17	%		0.68	%		0.68	%		0.88	%13		228	%
	$12.34		5.13	%		$8,233		2.58	%		0.75	%		0.75	%		0.37	%15		189	%
	$11.88		18.80	%		$2,184		5.84	%10		0.75	%		0.75	%		0.45	%9		70	%
	$15.18		11.68	%		$11,067		0.93	%		0.90	%		0.90	%		0.59	%21		26	%
	$13.90		13.51	%		$9,733		0.99	%		0.90	%		0.90	%		0.76	%		96	%
	$12.25		0.72	%		$5,681		1.40	%		0.93	%		0.93	%		0.65	%13		228	%
	$12.30		4.78	%		$1,284		3.27	%		1.00	%		1.00	%		0.11	%15		189	%
	$11.87		18.70	%		$1,381		6.40	%10		1.00	%		1.00	%		0.17	%9		70	%
	$15.25		11.86	%		$679,639		0.58	%		0.55	%		0.55	%		0.94	%21		26	%
	$13.98		13.90	%		$687,986		0.62	%		0.55	%		0.55	%		1.23	%		96	%
	$12.31		1.06	%		$9,494		0.96	%		0.55	%		0.55	%		1.17	%13		228	%
	$12.35		(4.63	)%		$95		2.34	%		0.65	%		0.65	%		0.45	%15		189	%
	$10.65		6.86	%		$67,939		0.66	%		0.60	%19		0.60	%19		1.48	%20		20	%
	$10.23		1.62	%		$68,288		0.68	%		0.59	%		0.59	%		2.62	%		106	%
	$10.21		(8.78	)%		$40,047		0.82	%		0.64	%		0.64	%		2.45	%13		236	%
	$11.47		2.53	%		$26,729		1.38	%		0.70	%		0.70	%		2.36	%		204	%
	$11.28		12.80	%		$15,810		2.16	%10		0.70	%		0.70	%		2.25	%9		218	%
	$10.63		6.73	%		$7,984		0.91	%		0.85	%19		0.85	%19		1.18	%20		20	%
	$10.20		1.28	%		$8,491		0.93	%		0.85	%		0.85	%		2.32	%		106	%
	$10.20		(8.92	)%		$4,142		1.06	%		0.88	%		0.88	%		2.19	%13		236	%
	$11.44		2.19	%		$2,756		1.85	%		0.95	%		0.95	%		2.02	%		204	%
	$11.27		12.70	%		$2,154		4.10	%10		0.95	%		0.95	%		2.65	%9		218	%
	$10.64		6.97	%		$346,608		0.56	%		0.50	%19		0.50	%19		1.64	%20		20	%
	$10.22		1.71	%		$301,294		0.59	%		0.50	%		0.50	%		2.52	%		106	%
	$10.20		(8.68	)%		$241,780		0.66	%		0.51	%		0.51	%		2.70	%13		236	%
	$11.47		(3.94	)%		$26,412		1.34	%		0.60	%		0.60	%		5.13	%		204	%

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

AQR Funds Semi-Annual Report March 2017

191

Financial Highlights March 31, 2017

	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 EMERGING MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.95		0.03			0.50			0.53		(0.17)		—			(0.17)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.19		0.15			0.81			0.96		(0.20)		—			(0.20)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.96		0.27			(1.97)			(1.70)		(0.07)		—			(0.07)
FOR THE PERIOD 5/13/148—9/30/14		$10.00		0.14			(0.18)			(0.04)		—		—			—
AQR EMERGING MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.93		0.02			0.50			0.52		(0.15)		—			(0.15)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.17		0.13			0.81			0.94		(0.18)		—			(0.18)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.95		0.29			(2.01)			(1.72)		(0.06)		—			(0.06)
FOR THE PERIOD 5/13/148—9/30/14		$10.00		0.14			(0.19)			(0.05)		—		—			—
AQR EMERGING MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.97		0.04			0.49			0.53		(0.18)		—			(0.18)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.20		0.16			0.81			0.97		(0.20)		—			(0.20)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$9.96		0.45			(2.14)			(1.69)		(0.07)		—			(0.07)
FOR THE PERIOD 7/10/1412—9/30/14		$10.47		0.05			(0.56)			(0.51)		—		—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.00		0.08			1.07			1.15		(0.12)		(0.00)	7		(0.12)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.42		0.15			0.49			0.64		(0.05)		(0.01)			(0.06)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.08			(0.66)			(0.58)		—		—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$9.97		0.07			1.07			1.14		(0.10)		(0.00)	7		(0.10)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.40		0.13			0.48			0.61		(0.03)		(0.01)			(0.04)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.06			(0.66)			(0.60)		—		—	��		—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.01		0.09			1.06			1.15		(0.13)		(0.00)	7		(0.13)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.42		0.16			0.49			0.65		(0.05)		(0.01)			(0.06)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.08			(0.66)			(0.58)		—		—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.31		0.05	21		1.07			1.12		(0.11)		—			(0.11)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.21		0.12	16		1.04			1.16		(0.06)		—			(0.06)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.05			(0.84)			(0.79)		—		—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.28		0.03	21		1.07			1.10		(0.09)		—			(0.09)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.20		0.10	16		1.03			1.13		(0.05)		—			(0.05)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.04			(0.84)			(0.80)		—		—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.32		0.06	21		1.08			1.14		(0.12)		—			(0.12)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.22		0.12	16		1.04			1.16		(0.06)		—			(0.06)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.06			(0.84)			(0.78)		—		—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$9.44		0.07			0.62			0.69		(0.19)		—			(0.19)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.40		0.24			(0.08)	14		0.16		(0.12)		—			(0.12)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.18			(0.78)			(0.60)		—		—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$9.42		0.06			0.62			0.68		(0.18)		—			(0.18)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.39		0.22			(0.08)	14		0.14		(0.11)		—			(0.11)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.15			(0.76)			(0.61)		—		—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$9.45		0.08			0.62			0.70		(0.20)		—			(0.20)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.41		0.25			(0.09)	14		0.16		(0.12)		—			(0.12)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.18			(0.77)			(0.59)		—		—			—

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

AQR Funds Semi-Annual Report March 2017

192

Financial Highlights March 31, 2017

					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
	$9.31		6.20	%		$79,978		0.89	%		0.75	%		0.75	%		0.70	%		27	%
	$8.95		11.97	%		$73,793		0.95	%		0.75	%		0.75	%		1.85	%		94	%
	$8.19		(17.14	)%		$48,992		1.39	%		0.79	%		0.79	%		2.79	%		317	%
	$9.96		(0.40	)%		$11,572		3.30	%10,11		0.85	%		0.85	%		3.49	%		154	%
	$9.30		6.08	%		$7,087		1.14	%		1.00	%		1.00	%		0.45	%		27	%
	$8.93		11.72	%		$7,600		1.20	%		1.00	%		1.00	%		1.64	%		94	%
	$8.17		(17.34	)%		$4,494		1.61	%		1.04	%		1.04	%		2.98	%		317	%
	$9.95		(0.50	)%		$2,388		3.55	%10,11		1.10	%		1.10	%		3.49	%		154	%
	$9.32		6.18	%		$198,541		0.79	%		0.65	%		0.65	%		0.80	%		27	%
	$8.97		12.13	%		$184,112		0.85	%		0.65	%		0.65	%		1.96	%		94	%
	$8.20		(17.06	)%		$135,503		0.89	%		0.65	%		0.65	%		4.66	%		317	%
	$9.96		(4.87	)%		$95		2.73	%10,11		0.75	%		0.75	%		2.09	%		154	%
	$11.03		11.60	%		$53,554		0.54	%		0.45	%		0.45	%		1.52	%		39	%
	$10.00		6.82	%		$39,964		0.59	%10		0.43	%		0.43	%		1.57	%		173	%
	$9.42		(5.80	)%		$2,087		1.66	%10		0.46	%		0.46	%		1.20	%		207	%
	$11.01		11.50	%		$1,759		0.79	%		0.70	%		0.70	%		1.26	%		39	%
	$9.97		6.48	%		$2,165		0.84	%10		0.69	%		0.69	%		1.34	%		173	%
	$9.40		(6.00	)%		$135		2.48	%10		0.70	%		0.70	%		0.99	%		207	%
	$11.03		11.55	%		$131,198		0.44	%		0.35	%		0.35	%		1.63	%		39	%
	$10.01		6.95	%		$98,092		0.53	%10		0.35	%		0.35	%		1.63	%		173	%
	$9.42		(5.80	)%		$26,703		1.41	%10		0.36	%		0.36	%		1.33	%		207	%
	$11.32		10.84	%		$18,456		1.27	%		0.65	%		0.65	%		0.91	%21		45	%
	$10.31		12.64	%		$13,792		1.90	%10		0.64	%		0.64	%		1.27	%16		179	%
	$9.21		(7.90	)%		$1,702		5.66	%10		0.65	%		0.65	%		0.77	%		98	%
	$11.29		10.68	%		$5,301		1.52	%		0.90	%		0.90	%		0.55	%21		45	%
	$10.28		12.34	%		$2,970		2.03	%10		0.88	%		0.88	%		1.05	%16		179	%
	$9.20		(8.00	)%		$128		6.53	%10		0.92	%		0.92	%		0.59	%		98	%
	$11.34		11.00	%		$2,190		1.18	%		0.55	%		0.55	%		1.01	%21		45	%
	$10.32		12.63	%		$1,973		2.29	%10		0.55	%		0.55	%		1.26	%16		179	%
	$9.22		(7.80	)%		$1,660		6.28	%10		0.57	%		0.57	%		0.96	%		98	%
	$9.94		7.52	%		$22,763		0.73	%		0.60	%		0.60	%		1.55	%		18	%
	$9.44		1.68	%		$20,094		0.81	%10		0.59	%		0.58	%		2.58	%		135	%
	$9.40		(6.00	)%		$3,213		1.42	%10		0.61	%		0.61	%		2.85	%		172	%
	$9.92		7.40	%		$1,678		0.98	%		0.85	%		0.85	%		1.26	%		18	%
	$9.42		1.43	%		$1,592		1.07	%10		0.82	%		0.82	%		2.41	%		135	%
	$9.39		(6.10	)%		$143		2.65	%10		0.81	%		0.81	%		2.28	%		172	%
	$9.95		7.59	%		$132,133		0.63	%		0.50	%		0.50	%		1.65	%		18	%
	$9.45		1.71	%		$116,641		0.72	%10		0.50	%		0.50	%		2.73	%		135	%
	$9.41		(5.90	)%		$41,373		1.22	%10		0.51	%		0.51	%		2.81	%		172	%

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

AQR Funds Semi-Annual Report March 2017

193

Financial Highlights March 31, 2017

	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 TM EMERGING MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$9.27		0.03			0.53			0.56		(0.21)		—		(0.21)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.31		0.17			0.82			0.99		(0.03)		—		(0.03)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.21			(1.90)			(1.69)		—		—		—
AQR TM EMERGING MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$9.28		0.02			0.52			0.54		(0.20)		—		(0.20)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.30		0.17			0.81			0.98		—		—		—
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.19			(1.89)			(1.70)		—		—		—
AQR TM EMERGING MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$9.28		0.04			0.52			0.56		(0.22)		—		(0.22)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.32		0.18			0.82			1.00		(0.04)		—		(0.04)
FOR THE PERIOD 2/11/158—9/30/15		$10.00		0.22			(1.90)			(1.68)		—		—		—
AQR LARGE CAP MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$20.44		0.15			1.13			1.28		(0.32)		(1.24)		(1.56)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.96		0.27			1.87			2.14		(0.21)		(1.45)		(1.66)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.89		0.23			(0.10)			0.13		(0.14)		(1.92)		(2.06)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$19.65		0.12			3.12			3.24		(0.13)		(0.87)		(1.00)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$16.06		0.12	9		3.47			3.59		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2012		$13.89		0.26	17		2.16			2.42		(0.25)		—		(0.25)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$14.40		0.15			(0.54)			(0.39)		(0.09)		(0.03)		(0.12)
AQR LARGE CAP MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$20.42		0.12			1.12			1.24		(0.26)		(1.24)		(1.50)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.92		0.21			1.88			2.09		(0.14)		(1.45)		(1.59)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.85		0.17			(0.10)			0.07		(0.08)		(1.92)		(2.00)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$19.61		0.06			3.13			3.19		(0.08)		(0.87)		(0.95)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$16.05		0.09	9		3.47			3.56		—		—		—
FOR THE PERIOD 12/17/1212—12/31/12		$16.02		0.01	17		0.02			0.03		—		—		—
AQR LARGE CAP MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$20.41		0.15			1.14			1.29		(0.34)		(1.24)		(1.58)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.94		0.29			1.86			2.15		(0.23)		(1.45)		(1.68)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.89		0.23			(0.08)			0.15		(0.18)		(1.92)		(2.10)
FOR THE PERIOD 7/10/1412—9/30/14		$21.90		0.04			(0.05)	14		(0.01)		—		—		—
AQR SMALL CAP MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$20.80		0.07			1.92			1.99		(0.17)		—		(0.17)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.10		0.15			1.79			1.94		(0.16)		(0.08)		(0.24)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.09		0.15	13		0.26	14		0.41		(0.04)		(2.36)		(2.40)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$21.77		0.00	7,15		0.73			0.73		(0.06)		(1.35)		(1.41)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$16.43		0.09	9		5.25			5.34		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2012		$13.89		0.22	17		2.50			2.72		(0.18)		—		(0.18)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$14.39		0.04			(0.42)			(0.38)		(0.02)		(0.10)		(0.12)
AQR SMALL CAP MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$20.68		0.04			1.92			1.96		—		—		—
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$18.99		0.09			1.78			1.87		(0.10)		(0.08)		(0.18)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.00		0.09	13		0.26	14		0.35		—		(2.36)		(2.36)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$21.73		(0.06)	15		0.73			0.67		(0.05)		(1.35)		(1.40)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$16.43		0.03	9		5.27			5.30		—		—		—
FOR THE PERIOD 12/17/1212—12/31/12		$16.09		0.02	17		0.32			0.34		—		—		—
AQR SMALL CAP MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$20.77		0.08			1.92			2.00		(0.19)		—		(0.19)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$19.09		0.13			1.81			1.94		(0.18)		(0.08)		(0.26)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$21.10		0.13	13		0.29	14		0.42		(0.07)		(2.36)		(2.43)
FOR THE PERIOD 7/10/1412—9/30/14		$22.08		0.01	15		(0.99)	14		(0.98)		—		—		—

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

AQR Funds Semi-Annual Report March 2017

194

Financial Highlights March 31, 2017

					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
	$9.62		6.40	%		$14,278		0.88	%		0.74	%		0.74	%		0.70	%		26	%
	$9.27		12.02	%		$12,711		0.94	%10		0.72	%		0.72	%		2.00	%		181	%
	$8.31		(16.90	)%		$2,986		2.66	%10		0.77	%		0.77	%		3.46	%		173	%
	$9.62		6.09	%		$2,336		1.14	%		1.00	%		1.00	%		0.45	%		26	%
	$9.28		11.81	%		$2,163		1.20	%10		0.95	%		0.95	%		2.01	%		181	%
	$8.30		(17.00	)%		$881		3.06	%10		1.03	%		1.03	%		3.08	%		173	%
	$9.62		6.35	%		$293,062		0.79	%		0.65	%		0.65	%		0.79	%		26	%
	$9.28		12.05	%		$272,799		0.87	%10		0.65	%		0.65	%		2.09	%		181	%
	$8.32		(16.80	)%		$15,381		2.46	%10		0.67	%		0.67	%		3.66	%		173	%
	$20.16		6.64	%		$814,484		0.41	%		0.40	%		0.40	%		1.46	%		54	%
	$20.44		11.12	%		$820,914		0.42	%		0.40	%		0.40	%		1.34	%		77	%
	$19.96		0.18	%		$874,115		0.50	%		0.45	%		0.45	%		1.06	%		90	%
	$21.89		16.86	%		$953,235		0.55	%		0.49	%		0.49	%		0.55	%		83	%
	$19.65		22.35	%		$719,389		0.55	%10		0.49	%		0.49	%		0.88	%9		62	%
	$16.06		17.49	%		$490,442		0.58	%		0.50	%		0.49	%		1.69	%17		68	%
	$13.89		(2.68	)%		$302,755		0.67	%		0.50	%		0.49	%		1.07	%		162	%
	$20.16		6.46	%		$56,385		0.66	%		0.65	%		0.65	%		1.21	%		54	%
	$20.42		10.89	%		$57,644		0.66	%		0.65	%		0.65	%		1.08	%		77	%
	$19.92		(0.10	)%		$68,535		0.77	%		0.70	%		0.70	%		0.81	%		90	%
	$21.85		16.59	%		$79,272		0.83	%		0.74	%		0.74	%		0.30	%		83	%
	$19.61		22.18	%		$70,265		0.83	%10		0.74	%		0.74	%		0.64	%9		62	%
	$16.05		0.19	%		$58,422		0.82	%		0.75	%		0.74	%		1.19	%17		68	%
	$20.12		6.71	%		$63,133		0.31	%		0.30	%		0.30	%		1.56	%		54	%
	$20.41		11.23	%		$59,108		0.32	%		0.30	%		0.30	%		1.45	%		77	%
	$19.94		0.28	%		$62,973		0.36	%		0.31	%		0.31	%		1.09	%		90	%
	$21.89		(0.05	)%		$131		0.48	%		0.39	%		0.39	%		0.75	%		83	%
	$22.62		9.59	%		$333,866		0.64	%		0.60	%		0.60	%		0.62	%		45	%
	$20.80		10.24	%		$317,154		0.65	%		0.60	%		0.60	%		0.77	%		85	%
	$19.10		1.17	%		$316,232		0.68	%		0.63	%		0.62	%		0.69	%13		86	%
	$21.09		3.07	%		$301,173		0.68	%		0.65	%		0.65	%		0.01	%15		83	%
	$21.77		32.50	%		$242,675		0.68	%10,11		0.65	%		0.65	%		0.60	%9		49	%
	$16.43		19.62	%		$145,770		0.72	%		0.66	%		0.65	%		1.44	%17		73	%
	$13.89		(2.62	)%		$100,534		0.85	%		0.66	%		0.65	%		0.26	%		121	%
	$22.64		9.48	%		$1,599		0.87	%		0.84	%		0.83	%		0.39	%		45	%
	$20.68		9.96	%		$1,574		0.91	%		0.84	%		0.84	%		0.47	%		85	%
	$18.99		0.89	%		$8,195		0.94	%		0.88	%		0.87	%		0.43	%13		86	%
	$21.00		2.83	%		$7,189		1.04	%		0.90	%		0.90	%		(0.26	)%15		83	%
	$21.73		32.26	%		$1,668		4.82	%10,11		0.90	%		0.90	%		0.18	%9		49	%
	$16.43		2.11	%		$10		135.33	%18		0.90	%		0.90	%		3.36	%17		73	%
	$22.58		9.66	%		$9,933		0.54	%		0.50	%		0.50	%		0.72	%		45	%
	$20.77		10.30	%		$8,490		0.56	%		0.50	%		0.50	%		0.69	%		85	%
	$19.09		1.25	%		$77,416		0.59	%		0.50	%		0.50	%		0.62	%13		86	%
	$21.10		(4.44	)%		$96		0.63	%		0.55	%		0.55	%		0.13	%15		83	%

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

AQR Funds Semi-Annual Report March 2017

195

Financial Highlights March 31, 2017

	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 INTERNATIONAL MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$13.86		0.13			0.09			0.22		(0.32)		—		(0.32)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.24		0.25			0.59			0.84		(0.22)		—		(0.22)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.95		0.28			(1.51)			(1.23)		(0.31)		(0.17)		(0.48)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$15.29		0.27	15		(0.36)			(0.09)		(0.25)		—		(0.25)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$13.09		0.22	9		1.98			2.20		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2012		$11.37		0.29			1.74			2.03		(0.31)		—		(0.31)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$13.62		0.29			(2.26)			(1.97)		(0.28)		—		(0.28)
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$13.82		0.11			0.10			0.21		(0.29)		—		(0.29)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.19		0.21			0.60			0.81		(0.18)		—		(0.18)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.89		0.25			(1.51)			(1.26)		(0.27)		(0.17)		(0.44)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$15.25		0.22	15		(0.35)			(0.13)		(0.23)		—		(0.23)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$13.08		0.25	9		1.92			2.17		—		—		—
FOR THE PERIOD 12/17/1212—12/31/12		$12.95		—			0.13			0.13		—		—		—
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$13.85		0.14			0.09			0.23		(0.34)		—		(0.34)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$13.23		0.27			0.59			0.86		(0.24)		—		(0.24)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.94		0.33			(1.53)			(1.20)		(0.34)		(0.17)		(0.51)
FOR THE PERIOD 7/10/1412—9/30/14		$15.54		0.05	15		(0.65)			(0.60)		—		—		—
AQR EMERGING MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.75		0.03			0.38			0.41		(0.13)		—		(0.13)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.29		0.10			0.59			0.69		(0.23)		—		(0.23)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.02		0.20			(1.84)			(1.64)		(0.09)		—		(0.09)
FOR THE PERIOD 5/13/148—9/30/14		$10.00		0.09			(0.07)			0.02		—		—		—
AQR EMERGING MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.74		0.02			0.38			0.40		(0.10)		—		(0.10)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.27		0.09			0.59			0.68		(0.21)		—		(0.21)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.01		0.16			(1.82)			(1.66)		(0.08)		—		(0.08)
FOR THE PERIOD 5/13/148—9/30/14		$10.00		0.09			(0.08)			0.01		—		—		—
AQR EMERGING MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.76		0.04			0.37			0.41		(0.13)		—		(0.13)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.30		0.14			0.56			0.70		(0.24)		—		(0.24)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.02		0.19			(1.81)			(1.62)		(0.10)		—		(0.10)
FOR THE PERIOD 7/10/1412—9/30/14		$10.63		0.05			(0.66)	14		(0.61)		—		—		—

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

AQR Funds Semi-Annual Report March 2017

196

Financial Highlights March 31, 2017

					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
	$13.76		1.80	%		$295,517		0.66	%		0.55	%19		0.55	%19		1.96	%20		47	%
	$13.86		6.40	%		$272,002		0.63	%		0.55	%		0.55	%		1.89	%		85	%
	$13.24		(8.40	)%		$257,299		0.68	%		0.60	%		0.60	%		1.95	%		112	%
	$14.95		(0.64	)%		$279,838		0.71	%		0.65	%		0.65	%		1.73	%15		98	%
	$15.29		16.81	%		$219,002		0.73	%10		0.65	%		0.65	%		2.09	%9		76	%
	$13.09		17.92	%		$127,673		0.80	%		0.66	%		0.65	%		2.41	%		116	%
	$11.37		(14.42	)%		$77,225		0.97	%		0.66	%		0.65	%		2.23	%		203	%
	$13.74		1.65	%		$30,271		0.91	%		0.80	%19		0.80	%19		1.69	%20		47	%
	$13.82		6.16	%		$30,502		0.87	%		0.80	%		0.79	%		1.59	%		85	%
	$13.19		(8.62	)%		$35,343		0.94	%		0.85	%		0.85	%		1.71	%		112	%
	$14.89		(0.91	)%		$40,054		1.00	%		0.90	%		0.90	%		1.42	%15		98	%
	$15.25		16.59	%		$41,503		1.03	%10		0.90	%		0.90	%		2.28	%9		76	%
	$13.08		1.00	%		$11		132.42	%18		0.90	%		0.90	%		0.25	%		116	%
	$13.74		1.83	%		$38,137		0.56	%		0.45	%19		0.45	%19		2.06	%20		47	%
	$13.85		6.53	%		$35,382		0.53	%		0.45	%		0.45	%		1.98	%		85	%
	$13.23		(8.24	)%		$31,058		0.55	%		0.46	%		0.46	%		2.31	%		112	%
	$14.94		(3.86	)%		$96		0.64	%		0.55	%		0.55	%		1.38	%15		98	%
	$9.03		4.89	%		$9,137		2.63	%		0.67	%		0.67	%		0.75	%		69	%
	$8.75		8.53	%		$8,784		2.75	%		0.65	%		0.65	%		1.26	%		155	%
	$8.29		(16.45	)%		$6,612		2.92	%		0.75	%		0.75	%		2.06	%		159	%
	$10.02		0.20	%		$6,260		4.03	%10,11		0.80	%		0.80	%		2.27	%		72	%
	$9.04		4.76	%		$1,136		2.87	%		0.90	%		0.90	%		0.52	%		69	%
	$8.74		8.38	%		$1,105		2.95	%		0.89	%		0.89	%		1.10	%		155	%
	$8.27		(16.72	)%		$1,132		3.17	%		1.00	%		1.00	%		1.68	%		159	%
	$10.01		0.10	%		$1,034		4.18	%10,11		1.05	%		1.05	%		2.13	%		72	%
	$9.04		4.94	%		$1,244		2.56	%		0.60	%		0.60	%		0.85	%		69	%
	$8.76		8.63	%		$938		2.69	%		0.60	%		0.60	%		1.69	%		155	%
	$8.30		(16.34	)%		$80		3.02	%		0.66	%		0.66	%		1.93	%		159	%
	$10.02		(5.74	)%		$94		3.73	%10,11		0.70	%		0.70	%		2.01	%		72	%

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

AQR Funds Semi-Annual Report March 2017

197

Financial Highlights March 31, 2017

	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 TM LARGE CAP MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$16.97		0.12			1.00			1.12			(0.25)			—		(0.25)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$15.54		0.23	16		1.35			1.58			(0.15)			—		(0.15)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$15.90		0.18			(0.19)			(0.01)			(0.08)			(0.27)		(0.35)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.60		0.09			2.36			2.45			(0.04)			(0.11)		(0.15)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.13		0.09	9		2.38			2.47			—			—		—
FOR THE PERIOD 1/27/128—12/31/12		$10.00		0.19	17		1.17			1.36			(0.14)			(0.09)		(0.23)
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$16.92		0.10			1.00			1.10			(0.22)			—		(0.22)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$15.50		0.20	16		1.36			1.56			(0.14)			—		(0.14)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$15.86		0.15			(0.20)			(0.05)			(0.04)			(0.27)		(0.31)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.57		0.04			2.37			2.41			(0.01)			(0.11)		(0.12)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.13		0.07	9		2.37			2.44			—			—		—
FOR THE PERIOD 12/17/1212—12/31/12		$11.12		0.01	17		0.00	7		0.01			—			—		—
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$16.95		0.12			1.01			1.13			(0.27)			—		(0.27)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$15.54		0.24	16		1.36			1.60			(0.19)			—		(0.19)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$15.90		0.19			(0.19)			0.00	7		(0.09)			(0.27)		(0.36)
FOR THE PERIOD 7/10/1412—9/30/14		$15.78		0.03			0.09			0.12			—			—		—
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$15.86		0.05			1.70			1.75			(0.12)			—		(0.12)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.51		0.12			1.33			1.45			(0.10)			—		(0.10)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.72		0.11	13		0.23	14		0.34			(0.01)			(0.54)		(0.55)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$14.85		0.01			0.15			0.16			(0.04)			(0.25)		(0.29)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.15		0.05	9		3.65			3.70			—			—		—
FOR THE PERIOD 1/27/128—12/31/12		$10.00		0.19	17		1.11			1.30			(0.15)			—		(0.15)
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$15.79		0.04			1.67			1.71			(0.09)			—		(0.09)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.44		0.10			1.33			1.43			(0.08)			—		(0.08)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.67		0.07	13		0.24	14		0.31			—			(0.54)		(0.54)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$14.81		(0.03)			0.14			0.11			(0.00)	7		(0.25)		(0.25)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.15		0.03	9		3.63			3.66			—			—		—
FOR THE PERIOD 12/17/1212—12/31/12		$10.91		0.02	17		0.22			0.24			—			—		—
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$15.86		0.06			1.68			1.74			(0.13)			—		(0.13)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.50		0.14			1.34			1.48			(0.12)			—		(0.12)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.72		0.12	13		0.24	14		0.36			(0.04)			(0.54)		(0.58)
FOR THE PERIOD 7/10/1412—9/30/14		$15.45		0.01			(0.74)	14		(0.73)			—			—		—

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

AQR Funds Semi-Annual Report March 2017

198

Financial Highlights March 31, 2017

					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
	$17.84		6.65	%		$75,055		0.49	%		0.40	%		0.40	%		1.35	%		40	%
	$16.97		10.22	%		$67,397		0.49	%		0.40	%		0.40	%		1.39	%16		49	%
	$15.54		(0.16	)%		$56,141		0.65	%		0.48	%		0.48	%		1.08	%		62	%
	$15.90		18.15	%		$101,336		0.69	%		0.54	%		0.54	%		0.57	%		153	%
	$13.60		22.19	%		$21,709		1.41	%10,11		0.54	%		0.54	%		1.00	%9		178	%
	$11.13		13.67	%		$6,041		4.57	%		0.55	%		0.54	%		1.89	%17		93	%
	$17.80		6.55	%		$175		0.69	%		0.61	%		0.61	%		1.15	%		40	%
	$16.92		10.11	%		$161		0.65	%		0.56	%		0.56	%		1.22	%16		49	%
	$15.50		(0.39	)%		$147		0.75	%		0.64	%		0.64	%		0.89	%		62	%
	$15.86		17.81	%		$137		1.60	%		0.79	%		0.79	%		0.30	%		153	%
	$13.57		21.92	%		$115		4.11	%10,11		0.79	%		0.79	%		0.71	%9		178	%
	$11.13		0.09	%		$10		15.32	%18		0.79	%		0.79	%		2.41	%17		93	%
	$17.81		6.71	%		$80,527		0.39	%		0.30	%		0.30	%		1.46	%		40	%
	$16.95		10.32	%		$80,190		0.39	%		0.30	%		0.30	%		1.48	%16		49	%
	$15.54		(0.09	)%		$70,197		0.43	%		0.31	%		0.31	%		1.15	%		62	%
	$15.90		0.76	%		$101		0.67	%		0.44	%		0.44	%		0.77	%		153	%
	$17.49		11.05	%		$40,342		0.96	%		0.60	%		0.60	%		0.62	%		31	%
	$15.86		10.07	%		$33,229		1.10	%		0.60	%		0.60	%		0.83	%		92	%
	$14.51		2.13	%		$19,992		1.34	%		0.64	%		0.64	%		0.68	%13		111	%
	$14.72		0.98	%		$14,690		1.61	%		0.70	%		0.70	%		0.04	%		154	%
	$14.85		33.18	%		$6,764		2.67	%10,11		0.70	%		0.70	%		0.49	%9		81	%
	$11.15		13.01	%		$3,435		5.77	%		0.71	%		0.70	%		1.91	%17		93	%
	$17.41		10.86	%		$156		1.17	%		0.81	%		0.81	%		0.43	%		31	%
	$15.79		9.95	%		$154		1.26	%		0.76	%		0.76	%		0.65	%		92	%
	$14.44		1.90	%		$127		1.49	%		0.86	%		0.86	%		0.45	%13		111	%
	$14.67		0.69	%		$125		2.44	%		0.95	%		0.95	%		(0.21	)%		154	%
	$14.81		32.83	%		$122		5.05	%10,11		0.95	%		0.95	%		0.26	%9		81	%
	$11.15		2.20	%		$10		12.32	%		0.95	%		0.95	%		4.19	%17		93	%
	$17.47		11.01	%		$184		0.86	%		0.50	%		0.50	%		0.72	%		31	%
	$15.86		10.24	%		$166		1.00	%		0.50	%		0.50	%		0.92	%		92	%
	$14.50		2.23	%		$97		1.24	%		0.54	%		0.54	%		0.77	%13		111	%
	$14.72		(4.72	)%		$95		1.65	%		0.60	%		0.60	%		0.22	%		154	%

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

AQR Funds Semi-Annual Report March 2017

199

Financial Highlights March 31, 2017

	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 TM INTERNATIONAL MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$12.27		0.10			0.10			0.20		(0.29)		—		(0.29)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$11.70		0.23			0.49			0.72		(0.15)		—		(0.15)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.09		0.20			(1.28)			(1.08)		(0.25)		(0.06)		(0.31)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.18		0.23	15		(0.10)			0.13		(0.06)		(0.16)		(0.22)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.24		0.20			1.74			1.94		—		—		—
FOR THE PERIOD 1/27/128—12/31/12		$10.00		0.23			1.22			1.45		(0.19)		(0.02)		(0.21)
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$12.22		0.09			0.09			0.18		(0.27)		—		(0.27)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$11.68		0.19			0.51			0.70		(0.16)		—		(0.16)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.06		0.21			(1.30)			(1.09)		(0.23)		(0.06)		(0.29)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.15		0.17	15		(0.08)			0.09		(0.02)		(0.16)		(0.18)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.24		0.20			1.71			1.91		—		—		—
FOR THE PERIOD 12/17/1212—12/31/12		$11.14		—			0.10			0.10		—		—		—
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$12.24		0.11			0.09			0.20		(0.30)		—		(0.30)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$11.70		0.23			0.50			0.73		(0.19)		—		(0.19)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$13.09		0.31			(1.37)			(1.06)		(0.27)		(0.06)		(0.33)
FOR THE PERIOD 7/10/1412—9/30/14		$13.66		0.03	15		(0.60)			(0.57)		—		—		—
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$15.71		0.14			1.47			1.61		(0.23)		(0.09)		(0.32)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.64		0.27			1.70			1.97		(0.14)		(0.76)		(0.90)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.07		0.24			1.04			1.28		(0.29)		(0.42)		(0.71)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$12.20		0.20			1.79			1.99		(0.08)		(0.04)		(0.12)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.16		0.15			1.89			2.04		—		—		—
FOR THE PERIOD 7/09/128—12/31/12		$10.00		0.14	17		0.10			0.24		(0.07)		(0.01)		(0.08)
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$15.68		0.12			1.46			1.58		(0.20)		(0.09)		(0.29)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.64		0.23			1.70			1.93		(0.13)		(0.76)		(0.89)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.04		0.20			1.05			1.25		(0.23)		(0.42)		(0.65)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$12.19		0.17			1.79			1.96		(0.07)		(0.04)		(0.11)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.18		0.13			1.88			2.01		—		—		—
FOR THE PERIOD 7/09/128—12/31/12		$10.00		0.08	17		0.15			0.23		(0.04)		(0.01)		(0.05)
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$15.69		0.15			1.46			1.61		(0.24)		(0.09)		(0.33)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$14.62		0.29			1.69			1.98		(0.15)		(0.76)		(0.91)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$14.07		0.26			1.03			1.29		(0.32)		(0.42)		(0.74)
FOR THE PERIOD 9/02/1412—9/30/14		$14.13		0.02			(0.08)	14		(0.06)		—		—		—
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$12.10		0.10			0.04			0.14		(0.17)		—		(0.17)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.95		0.29			1.09			1.38		(0.23)		—		(0.23)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.37		0.28			(1.10)			(0.82)		(0.32)		(0.28)		(0.60)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.88		0.31			0.47			0.78		(0.17)		(0.12)		(0.29)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.67		0.23			0.98			1.21		—		—		—
FOR THE PERIOD 7/09/128—12/31/12		$10.00		0.10			0.67			0.77		(0.06)		(0.04)		(0.10)

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

AQR Funds Semi-Annual Report March 2017

200

Financial Highlights March 31, 2017

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$12.18		1.79	%		$35,238		0.77	%		0.55	%19		0.55	%19		1.77	%20		35	%
	$12.27		6.18	%		$33,887		0.76	%		0.55	%		0.55	%		1.90	%		87	%
	$11.70		(8.36	)%		$23,699		0.94	%		0.65	%		0.65	%		1.57	%		147	%
	$13.09		0.97	%		$81,624		0.91	%		0.70	%		0.70	%		1.73	%15		185	%
	$13.18		17.26	%		$17,418		2.31	%10,11		0.70	%		0.70	%		2.14	%		154	%
	$11.24		14.46	%		$5,739		5.28	%		0.71	%		0.70	%		2.38	%		131	%
	$12.13		1.66	%		$154		0.97	%		0.75	%19		0.75	%19		1.49	%20		35	%
	$12.22		6.01	%		$160		0.93	%		0.72	%		0.72	%		1.61	%		87	%
	$11.68		(8.51	)%		$103		1.03	%		0.79	%		0.78	%		1.69	%		147	%
	$13.06		0.69	%		$112		1.92	%		0.95	%		0.95	%		1.26	%15		185	%
	$13.15		16.99	%		$111		5.00	%10,11		0.95	%		0.95	%		2.19	%		154	%
	$11.24		0.90	%		$10		15.82	%18		0.95	%		0.95	%		0.15	%		131	%
	$12.14		1.83	%		$48,667		0.67	%		0.45	%19		0.45	%19		1.80	%20		35	%
	$12.24		6.25	%		$55,739		0.66	%		0.45	%		0.45	%		1.97	%		87	%
	$11.70		(8.25	)%		$48,003		0.70	%		0.46	%		0.46	%		2.40	%		147	%
	$13.09		(4.17	)%		$96		0.94	%		0.60	%		0.60	%		1.13	%15		185	%
	$17.00		10.34	%		$614,458		0.42	%		0.40	%		0.40	%		1.79	%		9	%
	$15.71		14.00	%		$519,984		0.42	%		0.39	%		0.39	%		1.79	%		8	%
	$14.64		9.13	%		$158,468		0.55	%		0.45	%		0.45	%		1.65	%		24	%
	$14.07		16.44	%		$224,826		0.62	%		0.49	%		0.49	%		1.51	%		16	%
	$12.20		20.08	%		$155,660		0.93	%10		0.52	%		0.52	%		1.69	%		106	%
	$10.16		2.34	%		$7,842		3.90	%		0.75	%		0.75	%		2.90	%17		141	%
	$16.97		10.14	%		$218,683		0.67	%		0.65	%		0.65	%		1.54	%		9	%
	$15.68		13.70	%		$226,020		0.68	%		0.65	%		0.65	%		1.53	%		8	%
	$14.64		8.97	%		$30,629		0.81	%		0.70	%		0.70	%		1.38	%		24	%
	$14.04		16.16	%		$28,843		0.92	%		0.74	%		0.74	%		1.26	%		16	%
	$12.19		19.74	%		$20,736		1.48	%10		0.77	%		0.77	%		1.44	%		106	%
	$10.18		2.29	%		$421		9.36	%		1.00	%		1.00	%		1.70	%17		141	%
	$16.97		10.36	%		$149,798		0.32	%		0.30	%		0.30	%		1.89	%		9	%
	$15.69		14.13	%		$127,311		0.33	%		0.30	%		0.30	%		1.87	%		8	%
	$14.62		9.23	%		$109		0.45	%		0.35	%		0.34	%		1.76	%		24	%
	$14.07		(0.42	)%		$100		0.54	%		0.39	%		0.39	%		1.69	%		16	%
	$12.07		1.23	%		$108,757		0.69	%		0.55	%19		0.55	%19		1.71	%20		2	%
	$12.10		12.84	%		$96,844		0.83	%		0.54	%		0.54	%		2.51	%		83	%
	$10.95		(6.89	)%		$34,191		1.11	%		0.60	%		0.60	%		2.40	%		47	%
	$12.37		6.68	%		$27,316		1.24	%		0.65	%		0.65	%		2.53	%		57	%
	$11.88		11.34	%		$17,631		2.01	%10,11		0.73	%		0.73	%		2.68	%		115	%
	$10.67		7.69	%		$5,366		5.00	%		0.90	%		0.90	%		1.91	%		81	%

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

AQR Funds Semi-Annual Report March 2017

201

Financial Highlights March 31, 2017

	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 INTERNATIONAL DEFENSIVE STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$12.40		0.09			0.03			0.12		(0.16)		—			(0.16)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$11.20		0.30			1.09			1.39		(0.19)		—			(0.19)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.35		0.23			(1.10)			(0.87)		—		(0.28)			(0.28)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.88		0.27			0.47			0.74		(0.15)		(0.12)			(0.27)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.69		0.20			0.99			1.19		—		—			—
FOR THE PERIOD 7/09/128—12/31/12		$10.00		0.08			0.68			0.76		(0.03)		(0.04)			(0.07)
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$12.09		0.11			0.02			0.13		(0.17)		—			(0.17)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.94		0.36			1.03			1.39		(0.24)		—			(0.24)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$12.37		0.29			(1.10)			(0.81)		(0.34)		(0.28)			(0.62)
FOR THE PERIOD 9/02/1412—9/30/14		$13.02		0.03			(0.68)	14		(0.65)		—		—			—
AQR EMERGING DEFENSIVE STYLE FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.80		0.04			(0.02)	14		0.02		(0.14)		—			(0.14)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.21		0.16			0.69			0.85		(0.26)		—			(0.26)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.46		0.19			(2.26)			(2.07)		(0.18)		—			(0.18)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$10.27		0.25	15		0.03	14		0.28		(0.09)		(0.00)	7		(0.09)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.92		0.20			(0.85)			(0.65)		—		—			—
FOR THE PERIOD 7/09/128—12/31/12		$10.00		0.10			0.94			1.04		(0.09)		(0.03)			(0.12)
AQR EMERGING DEFENSIVE STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$9.00		0.05			(0.03)	14		0.02		(0.12)		—			(0.12)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.34		0.15			0.70			0.85		(0.19)		—			(0.19)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.45		0.12			(2.23)			(2.11)		—		—			—
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$10.26		0.18	15		0.08	14		0.26		(0.07)		(0.00)	7		(0.07)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.93		0.16			(0.83)			(0.67)		—		—			—
FOR THE PERIOD 7/09/128—12/31/12		$10.00		0.08			0.94			1.02		(0.06)		(0.03)			(0.09)
AQR EMERGING DEFENSIVE STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.77		0.04			(0.01)	14		0.03		(0.15)		—			(0.15)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$8.21		0.17			0.67			0.84		(0.28)		—			(0.28)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.46		0.21			(2.27)			(2.06)		(0.19)		—			(0.19)
FOR THE PERIOD 9/02/1412—9/30/14		$11.15		0.03	15		(0.72)			(0.69)		—		—			—
AQR GLOBAL EQUITY FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.12		0.04			0.59			0.63		(0.18)		(0.59)			(0.77)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$7.80		0.10			0.76			0.86		(0.12)		(0.42)			(0.54)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.91		0.12	13		(0.23)			(0.11)		(0.15)		(0.85)			(1.00)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.33		0.15	15		1.13			1.28		(0.39)		(5.31)			(5.70)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.35		0.14			1.84			1.98		—		—			—
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.99		0.20			1.69			1.89		(0.29)		(0.24)			(0.53)
FOR THE YEAR ENDED DECEMBER 31, 2011		$10.97		0.21			(0.95)			(0.74)		(0.11)		(0.13)			(0.24)
AQR GLOBAL EQUITY FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.07		0.03			0.59			0.62		(0.16)		(0.59)			(0.75)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$7.73		0.10			0.72			0.82		(0.06)		(0.42)			(0.48)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.85		0.10	13		(0.23)			(0.13)		(0.14)		(0.85)			(0.99)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$13.27		0.12	15		1.12			1.24		(0.35)		(5.31)			(5.66)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$11.32		0.11			1.84			1.95		—		—			—
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.97		0.16			1.70			1.86		(0.27)		(0.24)			(0.51)
FOR THE YEAR ENDED DECEMBER 31, 2011		$10.97		0.16			(0.94)			(0.78)		(0.09)		(0.13)			(0.22)
AQR GLOBAL EQUITY FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$8.18		0.05			0.60			0.65		(0.20)		(0.59)			(0.79)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$7.85		0.12			0.75			0.87		(0.12)		(0.42)			(0.54)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$8.96		0.14	13		(0.24)			(0.10)		(0.16)		(0.85)			(1.01)
FOR THE PERIOD 1/08/1412—9/30/14		$8.70		0.15	15		0.11			0.26		—		—			—

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

AQR Funds Semi-Annual Report March 2017

202

Financial Highlights March 31, 2017

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$12.36		1.03	%		$30,362		0.94	%		0.80	%19		0.80	%19		1.56	%20		2	%
	$12.40		12.59	%		$21,135		1.08	%		0.79	%		0.78	%		2.51	%		83	%
	$11.20		(7.15	)%		$141		1.43	%		0.86	%		0.86	%		1.94	%		47	%
	$12.35		6.32	%		$462		1.85	%		0.90	%		0.90	%		2.18	%		57	%
	$11.88		11.13	%		$1,153		4.15	%10,11		1.00	%		1.00	%		2.34	%		115	%
	$10.69		7.62	%		$850		6.96	%		1.15	%		1.15	%		1.61	%		81	%
	$12.05		1.22	%		$18,219		0.59	%		0.45	%19		0.45	%19		1.88	%20		2	%
	$12.09		12.95	%		$14,668		0.67	%		0.45	%		0.45	%		3.06	%		83	%
	$10.94		(6.78	)%		$89		1.01	%		0.50	%		0.50	%		2.45	%		47	%
	$12.37		(4.99	)%		$95		1.23	%		0.55	%		0.55	%		3.49	%		57	%
	$8.68		0.38	%		$55,644		1.09	%		0.70	%		0.70	%		0.85	%		13	%
	$8.80		10.73	%		$49,612		1.15	%		0.68	%		0.68	%		1.90	%		23	%
	$8.21		(20.07	)%		$27,221		1.12	%		0.76	%		0.76	%		1.92	%		117	%
	$10.46		2.78	%		$70,070		1.23	%		0.85	%		0.85	%		2.35	%15		124	%
	$10.27		(5.95	)%		$29,471		2.08	%10		0.96	%		0.96	%		2.55	%		181	%
	$10.92		10.39	%		$5,402		4.14	%		1.15	%		1.15	%		1.92	%		38	%
	$8.90		0.36	%		$3,724		1.24	%		0.89	%		0.89	%		1.12	%		13	%
	$9.00		10.42	%		$207		1.38	%		0.91	%		0.91	%		1.79	%		23	%
	$8.34		(20.19	)%		$54		1.40	%		1.03	%		1.03	%		1.22	%		117	%
	$10.45		2.60	%		$1,017		1.68	%		1.10	%		1.10	%		1.73	%15		124	%
	$10.26		(6.13	)%		$2,594		3.50	%10		1.25	%		1.25	%		2.06	%		181	%
	$10.93		10.22	%		$1,804		5.41	%		1.40	%		1.40	%		1.67	%		38	%
	$8.65		0.46	%		$191		0.99	%		0.60	%		0.60	%		0.94	%		13	%
	$8.77		10.67	%		$190		1.05	%		0.60	%		0.60	%		2.06	%		23	%
	$8.21		(19.96	)%		$75		1.08	%		0.66	%		0.65	%		2.16	%		117	%
	$10.46		(6.19	)%		$94		1.36	%		0.70	%		0.70	%		4.04	%15		124	%
	$7.98		8.35	%		$35,752		0.94	%		0.85	%		0.85	%		1.07	%		39	%
	$8.12		11.33	%		$33,013		0.96	%		0.89	%		0.89	%		1.36	%		78	%
	$7.80		(1.64	)%		$34,186		0.90	%		0.90	%		0.90	%		1.49	%13		73	%
	$8.91		11.55	%		$2,492		1.14	%		0.91	%		0.91	%		1.62	%15		90	%
	$13.33		17.44	%		$1,263		2.27	%10,11		0.95	%		0.95	%		1.46	%		71	%
	$11.35		18.95	%		$626		1.41	%		0.95	%		0.94	%		1.83	%		87	%
	$9.99		(6.68	)%		$2,103		2.03	%		0.96	%		0.95	%		1.90	%		59	%
	$7.94		8.29	%		$1,668		1.21	%		1.12	%		1.11	%		0.77	%		39	%
	$8.07		10.93	%		$1,712		1.20	%		1.13	%		1.12	%		1.28	%		78	%
	$7.73		(1.86	)%		$765		1.17	%		1.17	%		1.17	%		1.18	%13		73	%
	$8.85		11.17	%		$1,128		1.60	%		1.21	%		1.21	%		1.28	%15		90	%
	$13.27		17.23	%		$712		3.06	%10,11		1.25	%		1.25	%		1.14	%		71	%
	$11.32		18.67	%		$518		1.87	%		1.25	%		1.24	%		1.51	%		87	%
	$9.97		(7.03	)%		$2,019		3.22	%		1.27	%		1.26	%		1.46	%		59	%
	$8.04		8.56	%		$118,510		0.79	%		0.70	%		0.70	%		1.21	%		39	%
	$8.18		11.33	%		$106,573		0.77	%		0.70	%		0.70	%		1.59	%		78	%
	$7.85		(1.47	)%		$85,017		0.71	%		0.70	%		0.70	%		1.69	%13		73	%
	$8.96		2.99	%		$76,031		0.73	%		0.70	%		0.70	%		2.23	%15		90	%

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

AQR Funds Semi-Annual Report March 2017

203

Financial Highlights March 31, 2017

	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 INTERNATIONAL EQUITY FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.17		0.07			0.58			0.65		(0.30)		(0.14)		(0.44)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.61		0.21			0.67			0.88		(0.20)		(0.12)		(0.32)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$10.99		0.21			(0.71)			(0.50)		(0.33)		(0.55)		(0.88)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$11.88		0.28	15		(0.09)			0.19		(0.22)		(0.86)		(1.08)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.24		0.17			1.47			1.64		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2012		$8.60		0.20			1.76			1.96		(0.32)		—		(0.32)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$10.45		0.21			(1.78)			(1.57)		(0.21)		(0.07)		(0.28)
AQR INTERNATIONAL EQUITY FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.35		0.06			0.60			0.66		(0.28)		(0.14)		(0.42)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$9.77		0.19			0.68			0.87		(0.17)		(0.12)		(0.29)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.15		0.17			(0.70)	��		(0.53)		(0.30)		(0.55)		(0.85)
FOR THE YEAR ENDED SEPTEMBER 30, 2014		$12.06		0.25	15		(0.10)			0.15		(0.20)		(0.86)		(1.06)
NINE MONTHS ENDED SEPTEMBER 30, 2013		$10.43		0.13			1.50			1.63		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2012		$8.76		0.19			1.76			1.95		(0.28)		—		(0.28)
FOR THE YEAR ENDED DECEMBER 31, 2011		$10.61		0.20			(1.83)			(1.63)		(0.15)		(0.07)		(0.22)
AQR INTERNATIONAL EQUITY FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2017 (Unaudited)		$10.77		0.11			0.60			0.71		(0.32)		(0.14)		(0.46)
FOR THE YEAR ENDED SEPTEMBER 30, 2016		$10.16		0.16			0.77			0.93		(0.20)		(0.12)		(0.32)
FOR THE YEAR ENDED SEPTEMBER 30, 2015		$11.56		0.18			(0.68)			(0.50)		(0.35)		(0.55)		(0.90)
FOR THE PERIOD 1/08/1412—9/30/14		$12.08		0.34	15		(0.86)			(0.52)		—		—		—
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS I
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.04			0.27			0.31		—		—		—
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS N
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.04			0.26			0.30		—		—		—
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.04			0.27			0.31		—		—		—
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS I
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.01			(0.24)			(0.23)		—		—		—
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS N
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		(0.00)	7		(0.24)			(0.24)		—		—		—
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.01			(0.24)			(0.23)		—		—		—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS I
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.08			0.97			1.05		—		—		—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS N
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.06			0.98			1.04		—		—		—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS R6
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.06			0.99			1.05		—		—		—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS I
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.04			1.08			1.12		—		—		—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS N
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.03			1.08			1.11		—		—		—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS R6
FOR THE PERIOD 12/14/168—3/31/17 (Unaudited)		$10.00		0.04			1.08			1.12		—		—		—

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

AQR Funds Semi-Annual Report March 2017

204

Financial Highlights March 31, 2017

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$10.38		6.79	%		$352,340		1.07	%		0.93	%19		0.93	%19		1.20	%20		39	%
	$10.17		9.34	%		$370,530		0.97	%		0.95	%		0.95	%		2.14	%		62	%
	$9.61		(4.79	)%		$320,807		0.92	%		0.92	%		0.92	%		1.98	%		84	%
	$10.99		1.33	%		$247,847		0.90	%		0.90	%		0.90	%		2.41	%15		71	%
	$11.88		16.02	%		$241,467		0.90	%10		0.90	%		0.90	%		2.11	%		59	%
	$10.24		22.87	%		$196,971		0.91	%		0.91	%		0.90	%		2.17	%		74	%
	$8.60		(15.00	)%		$138,229		0.94	%		0.94	%		0.93	%		2.13	%		60	%
	$10.59		6.68	%		$39,550		1.29	%		1.17	%19		1.17	%19		1.04	%20		39	%
	$10.35		9.04	%		$37,297		1.20	%		1.18	%		1.18	%		1.89	%		62	%
	$9.77		(4.99	)%		$36,174		1.21	%		1.21	%		1.21	%		1.61	%		84	%
	$11.15		0.96	%		$39,336		1.25	%		1.25	%		1.25	%		2.11	%15		71	%
	$12.06		15.63	%		$32,011		1.29	%10		1.29	%		1.29	%		1.52	%		59	%
	$10.43		22.41	%		$15,562		1.28	%		1.28	%		1.27	%		2.00	%		74	%
	$8.76		(15.27	)%		$1,167		2.18	%		1.35	%		1.34	%		1.96	%		60	%
	$11.02		6.90	%		$36,636		0.94	%		0.83	%19		0.83	%19		1.92	%20		39	%
	$10.77		9.40	%		$14,387		0.77	%		0.77	%		0.77	%		1.57	%		62	%
	$10.16		(4.59	)%		$32,648		0.75	%		0.75	%		0.75	%		1.61	%		84	%
	$11.56		(4.30	)%		$103,882		0.74	%		0.74	%		0.74	%		3.90	%15		71	%
	$10.31		3.10	%		$1,240		4.12	%10		1.01	%		0.80	%		1.44	%		84	%
	$10.30		3.00	%		$1,201		4.37	%10		1.26	%		1.05	%		1.19	%		84	%
	$10.31		3.10	%		$1,708		4.12	%10		0.91	%		0.70	%		1.40	%		84	%
	$9.77		(2.30	)%		$1,103		5.34	%10		1.23	%		1.00	%		0.26	%		74	%
	$9.76		(2.40	)%		$637		5.62	%10		1.48	%		1.25	%		(0.02	)%		74	%
	$9.77		(2.30	)%		$1,166		5.29	%10		1.13	%		0.90	%		0.31	%		74	%
	$11.05		10.50	%		$2,091		4.47	%10		1.63	%		0.95	%		2.43	%		80	%
	$11.04		10.40	%		$928		4.77	%10		1.88	%		1.20	%		1.96	%		80	%
	$11.05		10.50	%		$2,211		4.49	%10		1.53	%		0.85	%		2.01	%		80	%
	$11.12		11.20	%		$1,927		4.09	%10		1.15	%		1.15	%		1.24	%		63	%
	$11.11		11.10	%		$1,307		4.38	%10		1.40	%		1.40	%		1.04	%		63	%
	$11.12		11.20	%		$2,780		4.20	%10		1.05	%		1.05	%		1.44	%		63	%

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

AQR Funds Semi-Annual Report March 2017

205

Financial Highlights March 31, 2017

  * Annualized for periods less than one year.

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

  ¹ Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  ² Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

  ³ Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

  ⁴ Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  ⁵ Portfolio turnover is not annualized.

  ⁶ Effective April 1, 2015, Class L Shares were renamed Class I Shares.

  ⁷ Amount is less than $.005 per share.

  ⁸ Commencement of operations.

  ⁹ For the period ended September 30, 2013 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 Large Cap Multi-Style Fund—Class I		$0.06		0.98	%
AQR Large Cap Multi-Style Fund—Class N		0.04		0.61
AQR Small Cap Multi-Style Fund—Class I		0.03		0.38
AQR Small Cap Multi-Style Fund—Class N		0.01		0.10
AQR International Multi-Style Fund—Class I		0.13		2.08
AQR International Multi-Style Fund—Class N		0.15		2.48
AQR Large Cap Momentum Style Fund—Class I		0.11		0.80
AQR Large Cap Momentum Style Fund—Class N		0.08		0.56
AQR Small Cap Momentum Style Fund—Class I		0.07		0.52
AQR Small Cap Momentum Style Fund—Class N		0.01		0.10
AQR International Momentum Style Fund—Class I		0.21		1.97
AQR International Momentum Style Fund—Class N		0.23		2.16
AQR TM Large Cap Momentum Style Fund—Class I		0.09		0.92
AQR TM Large Cap Momentum Style Fund—Class N		0.07		0.63
AQR TM Small Cap Momentum Style Fund—Class I		0.04		0.37
AQR TM Small Cap Momentum Style Fund—Class N		0.01		0.14

¹⁰  Certain expenses incurred by the Fund were not annualized for the period.

¹¹  Ratios are disproportionate between classes due to size of net assets and fixed expenses.

¹²  Commencement of offering of shares.

¹³  For the period ended September 30, 2015 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 Small Cap Multi-Style Fund—Class I		$0.10		0.76	%
AQR Small Cap Multi-Style Fund—Class N		0.07		0.53
AQR Small Cap Multi-Style Fund—Class R6		0.13		1.05
AQR International Multi-Style Fund—Class I		0.25		2.28
AQR International Multi-Style Fund—Class N		0.22		2.02
AQR International Multi-Style Fund—Class R6		0.28		2.53
AQR Small Cap Momentum Style Fund—Class I		0.13		0.58
AQR Small Cap Momentum Style Fund—Class N		0.07		0.32
AQR Small Cap Momentum Style Fund—Class R6		0.11		0.51
AQR TM Small Cap Momentum Style Fund—Class I		0.09		0.57
AQR TM Small Cap Momentum Style Fund—Class N		0.05		0.34
AQR TM Small Cap Momentum Style Fund—Class R6		0.10		0.66
AQR Global Equity Fund—Class I		0.10		1.26
AQR Global Equity Fund—Class N		0.08		0.95
AQR Global Equity Fund—Class R6		0.12		1.46

¹⁴  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 Semi-Annual Report March 2017

206

Financial Highlights March 31, 2017

¹⁵  For the period ended September 30, 2014 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 Small Cap Multi-Style Fund—Class I		$0.04			0.28	%
AQR Small Cap Multi-Style Fund—Class N		(0.00	)		0.02
AQR Small Cap Multi-Style Fund—Class R6		(0.00	)		0.36
AQR Small Cap Momentum Style Fund—Class I		(0.02	)		(0.07	)
AQR Small Cap Momentum Style Fund—Class N		(0.08	)		(0.34	)
AQR Small Cap Momentum Style Fund—Class R6		(0.01	)		0.05
AQR International Momentum Style Fund—Class I		0.25			1.57
AQR International Momentum Style Fund—Class N		0.20			1.26
AQR International Momentum Style Fund—Class R6		0.03			1.22
AQR TM International Momentum Style Fund—Class I		0.22			1.63
AQR TM International Momentum Style Fund—Class N		0.16			1.16
AQR TM International Momentum Style Fund—Class R6		0.02			1.03
AQR Emerging Defensive Style Fund—Class I		0.23			2.13
AQR Emerging Defensive Style Fund—Class N		0.16			1.51
AQR Emerging Defensive Style Fund—Class R6		0.01			3.82
AQR Global Equity Fund—Class I		0.14			1.50
AQR Global Equity Fund—Class N		0.11			1.16
AQR Global Equity Fund—Class R6		0.14			2.11
AQR International Equity Fund—Class I		0.26			2.22
AQR International Equity Fund—Class N		0.23			1.92
AQR International Equity Fund—Class R6		0.32			3.71

¹⁶  For the period ended September 30, 2016 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 TM Small Cap Multi-Style Fund—Class I		$0.11		1.14	%
AQR TM Small Cap Multi-Style Fund—Class N		0.09		0.92
AQR TM Small Cap Multi-Style Fund—Class R6		0.11		1.13
AQR TM Large Cap Momentum Style Fund—Class I		0.21		1.27
AQR TM Large Cap Momentum Style Fund—Class N		0.18		1.10
AQR TM Large Cap Momentum Style Fund—Class R6		0.22		1.36

¹⁷  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 Large Cap Momentum Style Fund—Class I		$0.24		1.57	%
AQR Large Cap Momentum Style Fund—Class N		0.01		1.07
AQR Small Cap Momentum Style Fund—Class I		0.15		1.01
AQR Small Cap Momentum Style Fund—Class N		0.02		2.93
AQR TM Large Cap Momentum Style Fund—Class I		0.17		1.76
AQR TM Large Cap Momentum Style Fund—Class N		0.01		2.28
AQR TM Small Cap Momentum Style Fund—Class I		0.12		1.26
AQR TM Small Cap Momentum Style Fund—Class N		0.02		3.54
AQR Large Cap Defensive Style Fund—Class I		0.11		2.58
AQR Large Cap Defensive Style Fund—Class N		0.05		1.38

¹⁸  The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period.

¹⁹  Excludes impact of IRS closing agreement tax expense (Note 2).

²⁰  Includes impact of IRS closing agreement reimbursement.

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

AQR Funds Semi-Annual Report March 2017

207

Financial Highlights March 31, 2017

²¹ For the period ended March 31, 2017 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 Small Cap Multi-Style Fund—Class I		$0.04		0.71	%
AQR Small Cap Multi-Style Fund—Class N		0.02		0.46
AQR Small Cap Multi-Style Fund—Class R6		0.05		0.81
AQR TM Small Cap Multi-Style Fund—Class I		0.03		0.76
AQR TM Small Cap Multi-Style Fund—Class N		0.01		0.40
AQR TM Small Cap Multi-Style Fund—Class R6		0.04		0.86

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

AQR Funds Semi-Annual Report March 2017

208

Notes to Financial Statements March 31, 2017 (Unaudited)

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of March 31, 2017, the Trust consists of thirty-seven active series, twenty-four of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.

AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund commenced operations on December 14, 2016.

The investment objective for AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund is to seek long-term capital appreciation. The investment objective for AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund is to seek total return. The investment objective for AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM International Momentum Style Fund is to seek tax efficient capital appreciation while considering the potential impact of Federal Income Tax on shareholders return. Each Fund offers Class I, N and R6 shares.

2. 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 4.

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

AQR Funds Semi-Annual Report March 2017

209

Notes to Financial Statements March 31, 2017 (Unaudited)

(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.

Offering Cost: Offering costs, including professional fees, printing fees and initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of March 31, 2017, the Funds had no examinations in progress.

Certain Funds have executed a closing agreement with the Internal Revenue Service (“IRS”) as a result of overstated foreign tax credits reported to shareholders in open tax years. The AQR International Multi-Style Fund, AQR International Momentum Style Fund, AQR TM International Momentum Style Fund, AQR International Defensive Style Fund and the AQR International Equity Fund, recorded a tax expense of $3,814, $70,598, $1,275, $1,149 and $238,460, respectively, of which, all amounts have been reimbursed by the Administrator. Amounts reimbursed by the Administrator were recorded in income on the Statements of Operations and resulted in no taxable impact to the Funds in the current year.

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 net realized gain (loss) reported on the Funds’ financial statements presented under GAAP.

AQR Funds Semi-Annual Report March 2017

210

Notes to Financial Statements March 31, 2017 (Unaudited)

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.

3. Securities and Other Investments

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 Large Cap Relaxed Constraint Equity Fund	$	448
AQR Small Cap Relaxed Constraint Equity Fund		826
AQR International Relaxed Constraint Equity Fund		843

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 net 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.

AQR Funds Semi-Annual Report March 2017

211

Notes to Financial Statements March 31, 2017 (Unaudited)

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 Funds’ Statements of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Funds’ Statements 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 net change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net 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.

Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Adviser in order to generate additional income. Securities loaned are collateralized by cash valued at 102% to 105% of the market value of the securities on loan. The Funds invest cash collateral in money market funds as indicated on the Schedule of Investments, and record a liability in the Statements of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. Loans are subject to termination by the Funds or the borrower at any time. Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the lending agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in the Securities Lending Agency Agreement between the Funds and the lending agent. Securities lending income, net on the Statement of Operations, represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. Certain of the securities on loan may have been sold prior to the close of the reporting period and are included in Receivables for Securities Sold on the Statements of Assets and Liabilities.

AQR Funds Semi-Annual Report March 2017

212

Notes to Financial Statements March 31, 2017 (Unaudited)

The following table presents the liabilities under the outstanding securities lending transactions as of March 31, 2017, on the basis of the nature, characteristics and risks associated with the investment of the cash collateral received in a money market fund, in accordance with guidance presented in FASB ASU 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”). As the securities loans are subject to termination by the Funds or the borrower at any time, the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous.

	COMMON STOCKS
FUND	(OVERNIGHT & CONTINUOUS)		(UP TO 30 DAYS)		TOTAL BORROWINGS
AQR Large Cap Multi-Style Fund	$	13,589,300	$	—	$	13,589,300
AQR Small Cap Multi-Style Fund		32,592,880		—		32,592,880
AQR International Multi-Style Fund		1,339,069		—		1,339,069
AQR Emerging Multi-Style Fund		1,937,942		—		1,937,942
AQR TM Large Cap Multi-Style Fund		1,726,352		—		1,726,352
AQR TM Small Cap Multi-Style Fund		427,756		20,114		447,870
AQR TM Emerging Multi-Style Fund		2,067,937		—		2,067,937
AQR Large Cap Momentum Style Fund		8,612,104		—		8,612,104
AQR Small Cap Momentum Style Fund		15,540,883		—		15,540,883
AQR Emerging Momentum Style Fund		210,608		—		210,608
AQR TM Large Cap Momentum Style Fund		1,506,053		—		1,506,053
AQR TM Small Cap Momentum Style Fund		889,104		—		889,104
AQR TM International Momentum Style Fund		399,796		—		399,796
AQR Large Cap Defensive Style Fund		1,984,566		—		1,984,566
AQR International Defensive Style Fund		—		376,288		376,288
AQR Emerging Defensive Style Fund		217,590		—		217,590
AQR Global Equity Fund		212,527		—		212,527
AQR International Equity Fund		1,631,172		—		1,631,172

The securities lending transactions are governed by a Securities Lending Agency Agreement with Citibank NA, which is not considered to be master netting arrangements. As a result the liabilities associated with the securities lending transactions are not disclosed in Note 7 of the Notes to Financial Statements.

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.

AQR Funds Semi-Annual Report March 2017

213

Notes to Financial Statements March 31, 2017 (Unaudited)

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.

4. 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.

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.

AQR Funds Semi-Annual Report March 2017

214

Notes to Financial Statements March 31, 2017 (Unaudited)

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-traded option contracts, 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 also 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 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 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.

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

AQR Funds Semi-Annual Report March 2017

215

Notes to Financial Statements March 31, 2017 (Unaudited)

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.

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments:

AQR LARGE CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	1,583,384,254		$	—	$	—	$	1,583,384,254
Securities Lending Collateral		—			13,589,300		—		13,589,300
Short-Term Investments		—			35,159,674		—		35,159,674
Total Assets	$	1,583,384,254		$	48,748,974	$	—	$	1,632,133,228
LIABILITIES
Futures Contracts*	$	(87,492	)	$	—	$	—	$	(87,492	)
Total Liabilities	$	(87,492	)	$	—	$	—	$	(87,492	)
AQR SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	714,265,838		$	752,179	$	—	$	715,018,017
Rights		—			—		59,312		59,312
Securities Lending Collateral		—			32,592,880		—		32,592,880
Short-Term Investments		—			22,799,919		—		22,799,919
Futures Contracts*		305,566			—		—		305,566
Total Assets	$	714,571,404		$	56,144,978	$	59,312	$	770,775,694
AQR INTERNATIONAL MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	33,893,592		$	368,330,097	$	—	$	402,223,689
Securities Lending Collateral		—			1,339,069		—		1,339,069
Short-Term Investments		—			16,547,008		—		16,547,008
Futures Contracts*		236,833			—		—		236,833
Total Assets	$	34,130,425		$	386,216,174	$	—	$	420,346,599
AQR EMERGING MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	81,347,137		$	192,746,300	$	—	$	274,093,437
Securities Lending Collateral		—			1,937,942		—		1,937,942
Short-Term Investments		—			10,001,229		—		10,001,229
Futures Contracts*		128,817			—		—		128,817
Total Assets	$	81,475,954		$	204,685,471	$	—	$	286,161,425
AQR TM LARGE CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	179,614,342		$	—	$	—	$	179,614,342
Exchange Traded Funds		4,152,560			—		—		4,152,560
Securities Lending Collateral		—			1,726,352		—		1,726,352
Short-Term Investments		—			2,463,478		—		2,463,478
Total Assets	$	183,766,902		$	4,189,830	$	—	$	187,956,732

AQR Funds Semi-Annual Report March 2017

216

Notes to Financial Statements March 31, 2017 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	24,601,940		$	8,679	$	—		$	24,610,619
Exchange Traded Funds		789,548			—		—			789,548
Rights		—			—		1,193			1,193
Securities Lending Collateral		—			447,870		—			447,870
Short-Term Investments		—			662,723		—			662,723
Total Assets	$	25,391,488		$	1,119,272	$	1,193		$	26,511,953
AQR TM INTERNATIONAL MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	12,590,658		$	137,046,932	$	—		$	149,637,590
Short-Term Investments		—			5,439,049		—			5,439,049
Futures Contracts*		83,438			—		—			83,438
Total Assets	$	12,674,096		$	142,485,981	$	—		$	155,160,077
AQR TM EMERGING MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	88,584,353		$	211,978,521	$	—		$	300,562,874
Securities Lending Collateral		—			2,067,937		—			2,067,937
Short-Term Investments		—			7,360,893		—			7,360,893
Futures Contracts*		139,228			—		—			139,228
Total Assets	$	88,723,581		$	221,407,351	$	—		$	310,130,932
AQR LARGE CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	906,811,834		$	—	$	—		$	906,811,834
Securities Lending Collateral		—			8,612,104		—			8,612,104
Short-Term Investments		—			33,717,712		—			33,717,712
Total Assets	$	906,811,834		$	42,329,816	$	—		$	949,141,650
LIABILITIES
Futures Contracts*	$	(65,126	)	$	—	$	—		$	(65,126	)
Total Liabilities	$	(65,126	)	$	—	$	—		$	(65,126	)
AQR SMALL CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	335,221,602		$	—	$	—	(a)	$	335,221,602
Rights		—			—		2,782			2,782
Securities Lending Collateral		—			15,540,883		—			15,540,883
Short-Term Investments		—			10,792,457		—			10,792,457
Warrants		—			—		—	(a)		—	(a)
Futures Contracts*		83,990			—		—			83,990
Total Assets	$	335,305,592		$	26,333,340	$	2,782		$	361,641,714
AQR INTERNATIONAL MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	49,454,198		$	302,527,974	$	39,777		$	352,021,949
Short-Term Investments		—			11,496,839		—			11,496,839
Futures Contracts*		113,444			—		—			113,444
Total Assets	$	49,567,642		$	314,024,813	$	39,777		$	363,632,232

AQR Funds Semi-Annual Report March 2017

217

Notes to Financial Statements March 31, 2017 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	2,658,527		$	8,530,286	$	—	(a)	$	11,188,813
Exchange Traded Funds†		169,298			—		—			169,298
Securities Lending Collateral		—			210,608		—			210,608
Total Assets	$	2,827,825		$	8,740,894	$	—	(a)	$	11,568,719
AQR TM LARGE CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	150,917,597		$	—	$	—		$	150,917,597
Securities Lending Collateral		—			1,506,053		—			1,506,053
Short-Term Investments		—			5,248,939		—			5,248,939
Total Assets	$	150,917,597		$	6,754,992	$	—		$	157,672,589
LIABILITIES
Futures Contracts*	$	(10,165	)	$	—	$	—		$	(10,165	)
Total Liabilities	$	(10,165	)	$	—	$	—		$	(10,165	)
AQR TM SMALL CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	39,444,340		$	—	$	—		$	39,444,340
Exchange Traded Funds		766,451			—		—			766,451
Securities Lending Collateral		—			889,104		—			889,104
Short-Term Investments		—			472,930		—			472,930
Total Assets	$	40,210,791		$	1,362,034	$	—		$	41,572,825
AQR TM INTERNATIONAL MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	11,041,174		$	70,243,891	$	1,386		$	81,286,451
Securities Lending Collateral		—			399,796		—			399,796
Short-Term Investments		—			2,435,270		—			2,435,270
Futures Contracts*		27,009			—		—			27,009
Total Assets	$	11,068,183		$	73,078,957	$	1,386		$	84,148,526
AQR LARGE CAP DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	932,698,386		$	—	$	—		$	932,698,386
Securities Lending Collateral		—			1,984,566		—			1,984,566
Short-Term Investments		—			47,211,497		—			47,211,497
Total Assets	$	932,698,386		$	49,196,063	$	—		$	981,894,449
LIABILITIES
Futures Contracts*	$	(72,065	)	$	—	$	—		$	(72,065	)
Total Liabilities	$	(72,065	)	$	—	$	—		$	(72,065	)
AQR INTERNATIONAL DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	17,953,309		$	129,988,851	$	—		$	147,942,160
Securities Lending Collateral		—			376,288		—			376,288
Short-Term Investments		—			7,650,741		—			7,650,741
Futures Contracts*		74,150			—		—			74,150
Total Assets	$	18,027,459		$	138,015,880	$	—		$	156,043,339

AQR Funds Semi-Annual Report March 2017

218

Notes to Financial Statements March 31, 2017 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	11,930,708		$	41,975,288		$	—	$	53,905,996
Securities Lending Collateral		—			217,590			—		217,590
Short-Term Investments		—			5,108,125			—		5,108,125
Futures Contracts*		103,741			—			—		103,741
Total Assets	$	12,034,449		$	47,301,003		$	—	$	59,335,452
AQR GLOBAL EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	85,548,314		$	50,174,135		$	1,835	$	135,724,284
Securities Lending Collateral		—			212,527			—		212,527
Short-Term Investments		—			15,136,384			—		15,136,384
Forward Foreign Currency Exchange Contracts*		—			527,362			—		527,362
Total Assets	$	85,548,314		$	66,050,408		$	1,835	$	151,600,557
LIABILITIES
Futures Contracts*	$	(304,922	)	$	—		$	—	$	(304,922	)
Forward Foreign Currency Exchange Contracts*		—			(576,948	)		—		(576,948	)
Total Return Swap Contracts*		—			(98,642	)		—		(98,642	)
Total Liabilities	$	(304,922	)	$	(675,590	)	$	—	$	(980,512	)
AQR INTERNATIONAL EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	243,201		$	376,149,855		$	2,731	$	376,395,787
Securities Lending Collateral		—			1,631,172			—		1,631,172
Short-Term Investments		—			37,991,780			—		37,991,780
Forward Foreign Currency Exchange Contracts*		—			2,412,674			—		2,412,674
Total Assets	$	243,201		$	418,185,481		$	2,731	$	418,431,413
LIABILITIES
Futures Contracts*	$	(1,651,858	)	$	—		$	—	$	(1,651,858	)
Forward Foreign Currency Exchange Contracts*		—			(1,433,598	)		—		(1,433,598	)
Total Return Swap Contracts*		—			(249,287	)		—		(249,287	)
Total Liabilities	$	(1,651,858	)	$	(1,682,885	)	$	—	$	(3,334,743	)
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks	$	5,019,085		$	3,386		$	—	$	5,022,471
Exchange Traded Funds		247,998			—			—		247,998
Short-Term Investments		—			103,203			—		103,203
Total Assets	$	5,267,083		$	106,589		$	—	$	5,373,672
LIABILITIES
Common Stocks (Sold Short)	$	(1,161,784	)	$	—		$	—	$	(1,161,784	)
Total Liabilities	$	(1,161,784	)	$	—		$	—	$	(1,161,784	)

AQR Funds Semi-Annual Report March 2017

219

Notes to Financial Statements March 31, 2017 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks	$	3,577,037		$	4,254		$	—	$	3,581,291
Exchange Traded Funds		125,519			—			—		125,519
Rights		—			—			179		179
Short-Term Investments		—			44,534			—		44,534
Total Assets	$	3,702,556		$	48,788		$	179	$	3,751,523
LIABILITIES
Common Stocks (Sold Short)	$	(837,817	)	$	(2,119	)	$	—	$	(839,936	)
Total Liabilities	$	(837,817	)	$	(2,119	)	$	—	$	(839,936	)
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	—		$	6,636,461		$	—	$	6,636,461
Exchange Traded Funds†		86,770			—			—		86,770
Short-Term Investments		—			58,781			—		58,781
Total Assets	$	86,770		$	6,695,242		$	—	$	6,782,012
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(1,546,321	)	$	—	$	(1,546,321	)
Total Liabilities	$	—		$	(1,546,321	)	$	—	$	(1,546,321	)
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	1,334,937		$	3,182,330		$	—	$	4,517,267
Exchange Traded Funds†		302,673			—			—		302,673
Short-Term Investments		—			1,117,272			—		1,117,272
Total Return Basket Swaps Contracts*		—			131,488			—		131,488
Total Assets	$	1,637,610		$	4,431,090		$	—	$	6,068,700
LIABILITIES
Total Return Basket Swaps Contracts*	$	—		$	(64,918	)	$	—	$	(64,918	)
Total Liabilities	$	—		$	(64,918	)	$	—	$	(64,918	)

* Derivative instruments, including futures, forward foreign currency exchange, total return swap and total return basket swap contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only the 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.

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 March 31, 2017, the amount of securities that transferred from Level 1 into Level 2 for the AQR Small Cap Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Emerging Multi-Style Fund and AQR Emerging Defensive Style Fund was $752,179, $6,929,564, $7,962,631 and $896,618 respectively. There were no transfers of investments between levels for any of the remaining Funds.

There were no Level 3 securities held at period end, except where noted in the Schedules of Investments that are considered quantitatively insignificant in the aggregate for the AQR Small Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Global Equity Fund, AQR International Equity Fund and AQR Small Cap Relaxed Constraint Equity Fund.

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

AQR Funds Semi-Annual Report March 2017

220

Notes to Financial Statements March 31, 2017 (Unaudited)

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.

5. Federal Income Tax Matters

At March 31, 2017, 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 Large Cap Multi-Style Fund	$	1,395,894,460	$	246,252,215	$	(10,013,447	)	$	236,238,768
AQR Small Cap Multi-Style Fund		626,560,799		156,944,760		(13,035,431	)		143,909,329
AQR International Multi-Style Fund		382,426,037		45,818,746		(8,135,017	)		37,683,729
AQR Emerging Multi-Style Fund		247,622,972		43,923,800		(5,514,164	)		38,409,636
AQR TM Large Cap Multi-Style Fund		164,672,833		24,496,634		(1,212,735	)		23,283,899
AQR TM Small Cap Multi-Style Fund		22,418,896		4,547,600		(454,543	)		4,093,057
AQR TM International Multi-Style Fund		139,771,605		17,976,490		(2,671,456	)		15,305,034
AQR TM Emerging Multi-Style Fund		260,971,564		53,802,823		(4,782,683	)		49,020,140
AQR Large Cap Momentum Style Fund		797,324,801		161,404,982		(9,588,133	)		151,816,849
AQR Small Cap Momentum Style Fund		295,554,709		74,193,532		(8,190,517	)		66,003,015
AQR International Momentum Style Fund		327,771,543		39,639,649		(3,892,404	)		35,747,245
AQR Emerging Momentum Style Fund		9,843,583		1,808,712		(83,576	)		1,725,136
AQR TM Large Cap Momentum Style Fund		127,873,294		30,751,837		(952,542	)		29,799,295
AQR TM Small Cap Momentum Style Fund		33,802,921		8,715,077		(945,173	)		7,769,904
AQR TM International Momentum Style Fund		77,257,282		9,190,973		(2,326,738	)		6,864,235
AQR Large Cap Defensive Style Fund		825,023,654		159,536,871		(2,666,076	)		156,870,795
AQR International Defensive Style Fund		149,469,609		11,642,881		(5,143,301	)		6,499,580
AQR Emerging Defensive Style Fund		57,244,934		5,339,029		(3,352,252	)		1,986,777
AQR Global Equity Fund		128,462,601		24,537,671		(1,927,077	)		22,610,594
AQR International Equity Fund		379,323,331		44,485,873		(7,790,465	)		36,695,408
AQR Large Cap Relaxed Constraint Equity Fund		5,243,239		243,080		(112,647	)		130,433
AQR Small Cap Relaxed Constraint Equity Fund		3,798,858		157,349		(204,684	)		(47,335	)
AQR International Relaxed Constraint Equity Fund		6,334,810		511,257		(64,055	)		447,202
AQR Emerging Relaxed Constraint Equity Fund		5,565,876		413,885		(42,549	)		371,336

As of September 30, 2016, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations.

FUND	SHORT-TERM		LONG-TERM
AQR Large Cap Multi-Style Fund	$	12,795,817	$	—
AQR International Multi-Style Fund		11,343,545		—
AQR Emerging Multi-Style Fund		9,431,056		568,190
AQR TM Small Cap Multi-Style Fund		3,041		—
AQR TM International Multi-Style Fund		608,605		17,816
AQR TM Emerging Multi-Style Fund		466,531		120,915
AQR Small Cap Momentum Style Fund		4,410,052		—
AQR International Momentum Style Fund		20,675,380		—
AQR Emerging Momentum Style Fund		1,276,383		73,494
AQR TM Large Cap Momentum Style Fund		1,462,628		—
AQR TM Small Cap Momentum Style Fund		252,974		—
AQR TM International Momentum Style Fund		7,342,005		117,285
AQR International Defensive Style Fund		—		218,107
AQR Emerging Defensive Style Fund		5,429,330		4,775,060

AQR Funds Semi-Annual Report March 2017

221

Notes to Financial Statements March 31, 2017 (Unaudited)

6. Investment Transactions

During the period ended March 31, 2017, 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 Large Cap Multi-Style Fund	$	425,970,757	$	416,388,732	$	—	$	—
AQR Small Cap Multi-Style Fund		187,942,367		272,619,004		—		—
AQR International Multi-Style Fund		90,651,447		73,467,434		—		—
AQR Emerging Multi-Style Fund		71,285,954		68,263,957		—		—
AQR TM Large Cap Multi-Style Fund		91,477,333		62,586,356		—		—
AQR TM Small Cap Multi-Style Fund		14,671,145		9,802,918		—		—
AQR TM International Multi-Style Fund		31,119,990		24,326,147		—		—
AQR TM Emerging Multi-Style Fund		78,305,018		73,531,595		—		—
AQR Large Cap Momentum Style Fund		480,117,248		534,065,998		—		—
AQR Small Cap Momentum Style Fund		146,894,035		157,243,892		—		—
AQR International Momentum Style Fund		172,572,642		152,678,829		—		—
AQR Emerging Momentum Style Fund		7,423,140		7,243,346		—		—
AQR TM Large Cap Momentum Style Fund		57,225,239		57,883,344		—		—
AQR TM Small Cap Momentum Style Fund		14,647,987		11,350,895		—		—
AQR TM International Momentum Style Fund		28,034,160		34,029,754		—		—
AQR Large Cap Defensive Style Fund		142,536,347		74,533,328		—		—
AQR International Defensive Style Fund		22,120,558		2,628,781		—		—
AQR Emerging Defensive Style Fund		11,950,773		5,928,615		—		—
AQR Global Equity Fund		50,393,958		53,780,328		—		—
AQR International Equity Fund		144,607,689		166,896,622		—		—
AQR Large Cap Relaxed Constraint Equity Fund		7,031,189		1,908,847		1,200,856		80,198
AQR Small Cap Relaxed Constraint Equity Fund		4,872,409		1,106,778		927,259		97,168
AQR International Relaxed Constraint Equity Fund		8,189,534		1,934,265		1,599,125		143,469
AQR Emerging Relaxed Constraint Equity Fund		6,405,818		1,973,709		—		—

7. Derivative Instruments and Activities

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

AQR Funds Semi-Annual Report March 2017

222

Notes to Financial Statements March 31, 2017 (Unaudited)

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at March 31, 2017:

	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
Equity Risk Exposure:
AQR Large Cap Multi-Style Fund	$	—		$	—		$	—		$	87,492		$	—		$	—
AQR Small Cap Multi-Style Fund		305,566			—			—			—			—			—
AQR International Multi-Style Fund		236,833			—			—			—			—			—
AQR Emerging Multi-Style Fund		128,817			—			—			—			—			—
AQR TM International Multi-Style Fund		83,438			—			—			—			—			—
AQR TM Emerging Multi-Style Fund		139,228			—			—			—			—			—
AQR Large Cap Momentum Style Fund		—			—			—			65,126			—			—
AQR Small Cap Momentum Style Fund		83,990			—			—			—			—			—
AQR International Momentum Style Fund		113,444			—			—			—			—			—
AQR TM Large Cap Momentum Style Fund		—			—			—			10,165			—			—
AQR TM International Momentum Style Fund		27,009			—			—			—			—			—
AQR Large Cap Defensive Style Fund		—			—			—			72,065			—			—
AQR International Defensive Style Fund		74,150			—			—			—			—			—
AQR Emerging Defensive Style Fund		103,741			—			—			—			—			—
AQR Global Equity Fund		542,870			—			—			847,792			98,642			—
AQR International Equity Fund		1,125,086			—			—			2,776,944			249,287			—
AQR Emerging Relaxed Constraint Equity Fund		—			131,488			—			—			64,918			—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—			—			527,362			—			—			576,948
AQR International Equity Fund		—			—			2,412,674			—			—			1,433,598
Netting:
AQR Global Equity Fund		(542,870	)		—			(527,362	)		(542,870	)		—			(527,362	)
AQR International Equity Fund		(1,125,086	)		—			(1,433,598	)		(1,125,086	)		—			(1,433,598	)
AQR Emerging Relaxed Constraint Equity Fund		—			(64,918	)		—			—			(64,918	)		—
Net Fair Value of Derivative Contracts:
AQR Large Cap Multi-Style Fund		—			—			—			87,492			—			—
AQR Small Cap Multi-Style Fund		305,566			—			—			—			—			—
AQR International Multi-Style Fund		236,833			—			—			—			—			—
AQR Emerging Multi-Style Fund		128,817			—			—			—			—			—
AQR TM International Multi-Style Fund		83,438			—			—			—			—			—
AQR TM Emerging Multi-Style Fund		139,228			—			—			—			—			—
AQR Large Cap Momentum Style Fund		—			—			—			65,126			—			—
AQR Small Cap Momentum Style Fund		83,990			—			—			—			—			—
AQR International Momentum Style Fund		113,444			—			—			—			—			—
AQR TM Large Cap Momentum Style Fund		—			—			—			10,165			—			—
AQR TM International Momentum Style Fund		27,009			—			—			—			—			—
AQR Large Cap Defensive Style Fund		—			—			—			72,065			—			—
AQR International Defensive Style Fund		74,150			—			—			—			—			—
AQR Emerging Defensive Style Fund		103,741			—			—			—			—			—
AQR Global Equity Fund		—			—			—			304,922			98,642			49,586
AQR International Equity Fund		—			—			979,076			1,651,858			249,287			—
AQR Emerging Relaxed Constraint Equity Fund		—			66,570			—			—			—			—

* May include cumulative appreciation (depreciation) of exchange-traded and centrally cleared derivatives as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives.

AQR Funds Semi-Annual Report March 2017

223

Notes to Financial Statements March 31, 2017 (Unaudited)

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended March 31, 2017:

	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			FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Large Cap Multi-Style Fund	$	2,890,977	$	—		$	—		$	(591,441	)	$	—		$	—
AQR Small Cap Multi-Style Fund		1,783,312		—			—			(57,835	)		—			—
AQR International Multi-Style Fund		452,924		—			—			159,243			—			—
AQR Emerging Multi-Style Fund		72,276		—			—			223,416			—			—
AQR TM International Multi-Style Fund		159,286		—			—			54,482			—			—
AQR TM Emerging Multi-Style Fund		138,163		—			—			190,934			—			—
AQR Large Cap Momentum Style Fund		1,606,939		—			—			(184,660	)		—			—
AQR Small Cap Momentum Style Fund		578,574		—			—			(40,398	)		—			—
AQR International Momentum Style Fund		573,437		—			—			83,278			—			—
AQR TM Large Cap Momentum Style Fund		323,012		—			—			(31,345	)		—			—
AQR TM International Momentum Style Fund		80,065		—			—			4,063			—			—
AQR Large Cap Defensive Style Fund		2,548,007		—			—			(626,439	)		—			—
AQR International Defensive Style Fund		32,672		—			—			60,752			—			—
AQR Emerging Defensive Style Fund		219,462		—			—			117,161			—			—
AQR Global Equity Fund		2,259,522		(142,269	)		—			75,370			(98,951	)		—
AQR International Equity Fund		9,553,354		(1,497,314	)		—			(620,024	)		(421,713	)		—
AQR Emerging Relaxed Constraint Equity Fund		—		(23,004	)		—			—			66,570			—
Foreign Exchange Rate Risk Exposure:
AQR Emerging Multi-Style Fund		—		—			(154	)		—			—			—
AQR Emerging Defensive Style Fund		—		—			(1,244	)		—			—			—
AQR Global Equity Fund		—		—			(1,245,654	)		—			—			(336,956	)
AQR International Equity Fund		—		—			(4,153,987	)		—			—			461,557
AQR International Relaxed Constraint Equity Fund		—		—			3,875			—			—			—

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 March 31, 2017:

AQR GLOBAL 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
CITG	Forward Foreign Currency Exchange Contracts	$	215,070	$	(215,070	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		312,292		(312,292	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			527,362		(527,362	)		—		—		—		—

AQR Funds Semi-Annual Report March 2017

224

Notes to Financial Statements March 31, 2017 (Unaudited)

AQR GLOBAL EQUITY 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
CITG	Forward Foreign Currency Exchange Contracts	$	233,363	$	(215,070	)	$	18,293	$	—	$	(18,293	)	$	—
GSIN	Total Return Swaps Contracts		98,642		—			98,642		—		—			98,642
JPMC	Forward Foreign Currency Exchange Contracts		343,585		(312,292	)		31,293		—		(31,293	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			675,590		(527,362	)		148,228		—		(49,586	)		98,642

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,260,926.

AQR INTERNATIONAL 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
CITG	Forward Foreign Currency Exchange Contracts	$	980,141	$	(541,530	)	$	438,611	$	—	$	(270,000	)	$	168,611
JPMC	Forward Foreign Currency Exchange Contracts		1,432,533		(892,068	)		540,465		—		—			540,465
Total financial instruments subject to a master netting arrangement or similar arrangement			2,412,674		(1,433,598	)		979,076		—		(270,000	)		709,076
				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
CITG	Forward Foreign Currency Exchange Contracts	$	541,530	$	(541,530	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swaps Contracts		249,287		—			249,287		—		(249,287	)		—
JPMC	Forward Foreign Currency Exchange Contracts		892,068		(892,068	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,682,885		(1,433,598	)		249,287		—		(249,287	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $10,520,908.

AQR Funds Semi-Annual Report March 2017

225

Notes to Financial Statements March 31, 2017 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT 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
JPMC	Total Return Basket Swaps Contracts	$	131,488	$	(64,918	)	$	66,570	$	—	$	—	$	66,570
Total financial instruments subject to a master netting arrangement or similar arrangement			131,488		(64,918	)		66,570		—		—		66,570
				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
JPMC	Total Return Basket Swaps Contracts	$	64,918	$	(64,918	)	$	—	$	—	$	—	$	—
Total financial instruments subject to a master netting arrangement or similar arrangement			64,918		(64,918	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $640,267.

For the period ended March 31, 2017, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR LARGE CAP MULTI-STYLE FUND		AQR SMALL CAP MULTI-STYLE FUND		AQR INTERNATIONAL MULTI-STYLE FUND		AQR EMERGING MULTI-STYLE FUND		AQR TM INTERNATIONAL MULTI-STYLE FUND		AQR TM EMERGING MULTI-STYLE FUND
Futures Contracts:
Average Notional Balance—Long	$	35,222,350	$	15,040,673	$	12,257,353	$	5,604,025	$	3,779,470	$	5,437,395
Average Notional Balance—Short		—		—		—		—		—		—
Ending Notional Balance—Long		26,187,120		16,682,020		15,770,700		6,970,150		4,989,600		4,999,280
Ending Notional Balance—Short		—		—		—		—		—		—
	AQR LARGE CAP MOMENTUM STYLE FUND		AQR SMALL CAP MOMENTUM STYLE FUND		AQR INTERNATIONAL MOMENTUM STYLE FUND		AQR TM LARGE CAP MOMENTUM STYLE FUND		AQR TM INTERNATIONAL MOMENTUM STYLE FUND		AQR LARGE CAP DEFENSIVE STYLE FUND
Futures Contracts:
Average Notional Balance—Long	$	20,662,483	$	7,130,482	$	7,506,150	$	3,112,600	$	1,270,323	$	48,671,780
Average Notional Balance—Short		—		—		—		—		—		—
Ending Notional Balance—Long		22,884,240		5,952,920		8,108,100		3,066,960		1,514,700		38,690,880
Ending Notional Balance—Short		—		—		—		—		—		—

AQR Funds Semi-Annual Report March 2017

226

Notes to Financial Statements March 31, 2017 (Unaudited)

	AQR INTERNATIONAL DEFENSIVE STYLE FUND		AQR EMERGING DEFENSIVE STYLE FUND		AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND		AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
Futures Contracts:
Average Notional Balance—Long	$	4,420,903	$	3,875,438	$	41,023,104	$	118,596,602	$	—
Average Notional Balance—Short		—		—		27,203,452		56,988,969		—
Ending Notional Balance—Long		7,751,699		4,951,210		53,517,294		133,464,568		—
Ending Notional Balance—Short		—		—		30,845,325		61,839,865		—
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		—		—		59,736,122		177,514,268		—
Average Settlement Value—Sold		—		—		43,822,858		135,383,775		—
Ending Value— Purchased		—		—		71,646,263		197,409,326		—
Ending Value—Sold		—		—		51,340,555		150,726,616		—
Total Return Swaps:
Average Notional Balance—Long		—		—		2,878,900		4,276,469		—
Average Notional Balance— Short		—		—		3,524,831		25,836,665		—
Ending Notional Balance— Long		—		—		3,919,419		4,545,734		—
Ending Notional Balance—Short		—		—		9,402,124		31,677,358		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		—		—		2,264,400
Average Notional of Underlying Positions—Short		—		—		—		—		1,297,864
Ending Notional Balance—Long		—		—		—		—		2,693,881
Ending Notional Balance—Short		—		—		—		—		1,564,206

* Notional values as of each quarter end are used to calculate the average represented.

8. Investment Advisory and Other Agreements

Effective January 29, 2017, the Board of Trustees of the Trust approved (1) the termination of the Second Amended and Restated Investment Advisory Agreement (“Investment Advisory Agreement”) thereby removing the AQR Global Equity Fund and AQR International Equity Fund from the Investment Advisory Agreement; and (2) a Third Amended and Restated Investment Management Agreement, reflecting; (a) the addition of the AQR Global Equity Fund and AQR International Equity Fund, (b) for the AQR Global Equity Fund and AQR International Equity Fund, the bundling of advisory services and shareholder servicing into a single agreement with a single contractual management fee (combining services that had been provided separately under the Investment Advisory Agreement and Shareholder Services Agreement prior to January 29, 2017), and (c) a reduction or no change, depending on the share class, in the total fees payable to the Adviser for advisory and shareholder services by each of the AQR Global Equity Fund and AQR International Equity Fund. The footnotes to the following table provide additional information regarding how the total fees payable to the Adviser for advisory and shareholder services have changed for the AQR Global Equity Fund and AQR International Equity Fund as of January 29, 2017.

The Adviser serves as the investment adviser to each of the Funds, pursuant to the Second Amended and Restated Investment Advisory Agreement, dated November 7, 2014, as amended, (“Investment Advisory Agreement”) and the Investment Management Agreement, dated November 7, 2014, as amended (“Investment Management Agreement”) each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Advisory Agreement collectively referred to herein as 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 Large Cap Multi-Style Fund		0.30	%
AQR Small Cap Multi-Style Fund		0.50
AQR International Multi-Style Fund		0.45
AQR Emerging Multi-Style Fund		0.60
AQR TM Large Cap Multi-Style Fund		0.30
AQR TM Small Cap Multi-Style Fund		0.50

AQR Funds Semi-Annual Report March 2017

227

Notes to Financial Statements March 31, 2017 (Unaudited)

FUND	RATIO
AQR TM International Multi-Style Fund		0.45	%
AQR TM Emerging Multi-Style Fund		0.60
AQR Large Cap Momentum Style Fund		0.25
AQR Small Cap Momentum Style Fund		0.45
AQR International Momentum Style Fund		0.40
AQR Emerging Momentum Style Fund		0.55
AQR TM Large Cap Momentum Style Fund		0.25
AQR TM Small Cap Momentum Style Fund		0.45
AQR TM International Momentum Style Fund		0.40
AQR Large Cap Defensive Style Fund		0.25
AQR International Defensive Style Fund		0.40
AQR Emerging Defensive Style Fund		0.55
AQR Global Equity Fund1		0.60
AQR International Equity Fund2		0.70
AQR Large Cap Relaxed Constraint Equity Fund		0.60
AQR Small Cap Relaxed Constraint Equity Fund		0.80
AQR International Relaxed Constraint Equity Fund		0.75
AQR Emerging Relaxed Constraint Equity Fund		0.95

¹  Effective January 29, 2017 (i) the AQR Global Equity Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual Management Fee and (ii) the Fund’s bundled Management Fee for Class I and Class N was reduced by 0.10%. Prior to January 29, 2017, the Fund’s Management Fee was 0.40% and the shareholder servicing fee for Class I and Class N Shares was 0.30% and for Class R6 Shares was 0.20%.

²  Effective January 29, 2017 (i) the AQR International Equity Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual Management Fee and (ii) the Fund’s bundled Management Fee was reduced by 0.05%. Prior to January 29, 2017, the Fund’s Management Fee was 0.45% and the shareholder servicing fee for Class I Shares, Class N Shares and Class R6 Shares was 0.30%. Prior to January 29, 2016, the Fund’s Management Fee was 0.45% and the shareholder servicing fee for Class R6 Shares was 0.20%.

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 January 28, 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, 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 Large Cap Multi-Style Fund		0.45	%		0.70	%		0.35	%
AQR Small Cap Multi-Style Fund		0.65			0.90			0.55
AQR International Multi-Style Fund		0.60			0.85			0.50
AQR Emerging Multi-Style Fund		0.75			1.00			0.65
AQR TM Large Cap Multi-Style Fund		0.45			0.70			0.35
AQR TM Small Cap Multi-Style Fund		0.65			0.90			0.55
AQR TM International Multi-Style Fund		0.60			0.85			0.50
AQR TM Emerging Multi-Style Fund		0.75			1.00			0.65
AQR Large Cap Momentum Style Fund		0.40			0.65			0.30
AQR Small Cap Momentum Style Fund		0.60			0.85			0.50
AQR International Momentum Style Fund		0.55			0.80			0.45
AQR Emerging Momentum Style Fund		0.70			0.95			0.60
AQR TM Large Cap Momentum Style Fund		0.40			0.65			0.30
AQR TM Small Cap Momentum Style Fund		0.60			0.85			0.50
AQR TM International Momentum Style Fund		0.55			0.80			0.45
AQR Large Cap Defensive Style Fund		0.40			0.65			0.30
AQR International Defensive Style Fund		0.55			0.80			0.45
AQR Emerging Defensive Style Fund		0.70			0.95			0.60
AQR Global Equity Fund		0.80			1.05			0.70
AQR International Equity Fund		0.90			1.15			0.80
AQR Large Cap Relaxed Constraint Equity Fund		0.80			1.05			0.70
AQR Small Cap Relaxed Constraint Equity Fund		1.00			1.25			0.90
AQR International Relaxed Constraint Equity Fund		0.95			1.20			0.85
AQR Emerging Relaxed Constraint Equity Fund		1.15			1.40			1.05

AQR Funds Semi-Annual Report March 2017

228

Notes to Financial Statements March 31, 2017 (Unaudited)

Prior to January 29, 2017, the Fee Waiver and Expense Reimbursement Agreement for the AQR Global Equity Fund and the AQR International Equity Fund was as follows:

FUND	CLASS I			CLASS N			CLASS R6
AQR Global Equity Fund		0.90	%		1.15	%		0.70	%
AQR International Equity Fund		0.95			1.20			0.85

For the period ended March 31, 2017 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY AND SHAREHOLDER SERVICES FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Large Cap Multi-Style Fund	$	74,170	$	—	$	74,170
AQR Small Cap Multi-Style Fund		122,931		191		123,122
AQR International Multi-Style Fund		105,489		—		105,489
AQR Emerging Multi-Style Fund		177,196		—		177,196
AQR TM Large Cap Multi-Style Fund		68,943		—		68,943
AQR TM Small Cap Multi-Style Fund		55,021		13,636		68,657
AQR TM International Multi-Style Fund		91,771				91,771
AQR TM Emerging Multi-Style Fund		192,210		1,065		193,275
AQR Large Cap Momentum Style Fund		35,247		—		35,247
AQR Small Cap Momentum Style Fund		63,481		—		63,481
AQR International Momentum Style Fund		104,424		94		104,518
AQR Emerging Momentum Style Fund		29,083		74,877		103,960
AQR TM Large Cap Momentum Style Fund		61,844		225		62,069
AQR TM Small Cap Momentum Style Fund		65,318		1		65,319
AQR TM International Momentum Style Fund		88,015		1		88,016
AQR Large Cap Defensive Style Fund		68,110		—		68,110
AQR International Defensive Style Fund		95,754		523		96,277
AQR Emerging Defensive Style Fund		87,307		8,349		95,656
AQR Global Equity Fund		64,920		—		64,920
AQR International Equity Fund		29,034		—		29,034
AQR Large Cap Relaxed Constraint Equity Fund		6,220		41,987		48,207
AQR Small Cap Relaxed Constraint Equity Fund		6,200		41,299		47,499
AQR International Relaxed Constraint Equity Fund		9,360		42,465		51,825
AQR Emerging Relaxed Constraint Equity Fund		13,317		45,120		58,437

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 the applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable period during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.

For the period ended March 31, 2017, 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 March 31, 2017 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2017		TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2017		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					2017		2018		2019		2020
AQR LARGE CAP MULTI-STYLE FUND
Class I	$	19,430	$	447,476	$	128,928	$	222,262	$	76,856	$	19,430
Class N		3,030		58,105		19,784		26,152		9,139		3,030
Class R6		51,710		319,285		2,087		166,718		98,770		51,710
Totals	$	74,170	$	824,866	$	150,799	$	415,132	$	184,765	$	74,170

AQR Funds Semi-Annual Report March 2017

229

Notes to Financial Statements March 31, 2017 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2017		TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2017		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					2017		2018		2019		2020
AQR SMALL CAP MULTI-STYLE FUND
Class I	$	7,597	$	229,648	$	90,682	$	100,459	$	30,910	$	7,597
Class N		1,712		71,808		38,319		23,999		7,778		1,712
Class R6		113,813		416,142		375		10,827		291,127		113,813
Totals	$	123,122	$	717,598	$	129,376	$	135,285	$	329,815	$	123,122
AQR INTERNATIONAL MULTI-STYLE FUND
Class I	$	17,882	$	265,840	$	146,282	$	54,356	$	47,320	$	17,882
Class N		2,278		36,823		23,372		5,425		5,748		2,278
Class R6		85,329		512,926		4,816		199,581		223,200		85,329
Totals	$	105,489	$	815,589	$	174,470	$	259,362	$	276,268	$	105,489
AQR EMERGING MULTI-STYLE FUND
Class I	$	49,455	$	371,586	$	94,893	$	109,345	$	117,893	$	49,455
Class N		4,916		59,611		21,322		21,247		12,126		4,916
Class R6		122,825		592,989		877		160,854		308,433		122,825
Totals	$	177,196	$	1,024,186	$	117,092	$	291,446	$	438,452	$	177,196
AQR TM LARGE CAP MULTI-STYLE FUND
Class I	$	19,838	$	65,301	$	—	$	11,715	$	33,748	$	19,838
Class N		962		4,576		—		1,613		2,001		962
Class R6		48,143		277,966		—		106,559		123,264		48,143
Totals	$	68,943	$	347,843	$	—	$	119,887	$	159,013	$	68,943
AQR TM SMALL CAP MULTI-STYLE FUND
Class I	$	49,210	$	170,951	$	—	$	20,360	$	101,381	$	49,210
Class N		12,884		36,807		—		4,999		18,924		12,884
Class R6		6,563		115,177		—		78,269		30,345		6,563
Totals	$	68,657	$	322,935	$	—	$	103,628	$	150,650	$	68,657
AQR TM INTERNATIONAL MULTI-STYLE FUND
Class I	$	13,317	$	54,714	$	—	$	8,706	$	32,691	$	13,317
Class N		1,064		4,375		—		1,708		1,603		1,064
Class R6		77,390		411,739		—		160,234		174,115		77,390
Totals	$	91,771	$	470,828	$	—	$	170,648	$	208,409	$	91,771
AQR TM EMERGING MULTI-STYLE FUND
Class I	$	8,572	$	56,037	$	—	$	26,558	$	20,907	$	8,572
Class N		1,535		20,525		—		15,945		3,045		1,535
Class R6		183,168		749,289		—		114,751		451,370		183,168
Totals	$	193,275	$	825,851	$	—	$	157,254	$	475,322	$	193,275
AQR LARGE CAP MOMENTUM STYLE FUND
Class I	$	30,788	$	1,128,811	$	502,936	$	466,807	$	128,280	$	30,788
Class N		2,164		129,633		63,464		54,401		9,604		2,164
Class R6		2,295		28,248		20		16,178		9,755		2,295
Totals	$	35,247	$	1,286,692	$	566,420	$	537,386	$	147,639	$	35,247

AQR Funds Semi-Annual Report March 2017

230

Notes to Financial Statements March 31, 2017 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2017		TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2017		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					2017		2018		2019		2020
AQR SMALL CAP MOMENTUM STYLE FUND
Class I	$	61,461	$	501,211	$	66,206	$	202,352	$	171,192	$	61,461
Class N		288		16,881		7,160		5,430		4,003		288
Class R6		1,732		37,488		17		26,198		9,541		1,732
Totals	$	63,481	$	555,580	$	73,383	$	233,980	$	184,736	$	63,481
AQR INTERNATIONAL MOMENTUM STYLE FUND
Class I	$	84,593	$	663,917	$	162,935	$	211,033	$	205,356	$	84,593
Class N		8,980		111,230		40,491		36,615		25,144		8,980
Class R6		10,945		52,876		19		16,591		25,321		10,945
Totals	$	104,518	$	828,023	$	203,445	$	264,239	$	255,821	$	104,518
AQR EMERGING MOMENTUM STYLE FUND
Class I	$	83,433	$	512,664	$	102,927	$	168,054	$	158,250	$	83,433
Class N		10,408		84,664		19,986		27,088		27,182		10,408
Class R6		10,119		24,397		1,172		2,192		10,914		10,119
Totals	$	103,960	$	621,725	$	124,085	$	197,334	$	196,346	$	103,960
AQR TM LARGE CAP MOMENTUM STYLE FUND
Class I	$	28,871	$	318,688	$	101,535	$	132,303	$	55,980	$	28,870
Class N		69		1,424		1,048		164		143		69
Class R6		33,130		155,301		53		52,726		69,392		33,130
Totals	$	62,070	$	475,413	$	102,636	$	185,193	$	125,515	$	62,069
AQR TM SMALL CAP MOMENTUM STYLE FUND
Class I	$	64,728	$	442,166	$	109,145	$	133,375	$	134,918	$	64,728
Class N		279		3,763		1,920		854		710		279
Class R6		312		2,006		234		730		730		312
Totals	$	65,319	$	447,935	$	111,299	$	134,959	$	136,358	$	65,319
AQR TM INTERNATIONAL MOMENTUM STYLE FUND
Class I	$	35,256	$	342,309	$	123,731	$	122,477	$	60,845	$	35,256
Class N		164		1,823		1,109		264		286		164
Class R6		52,596		233,629		75		63,477		117,481		52,596
Totals	$	88,016	$	577,761	$	124,915	$	186,218	$	178,612	$	88,016
AQR LARGE CAP DEFENSIVE STYLE FUND
Class I	$	41,277	$	549,392	$	251,857	$	162,616	$	93,642	$	41,277
Class N		16,527		120,403		44,712		23,255		35,909		16,527
Class R6		10,306		33,852		11		117		23,418		10,306
Totals	$	68,110	$	703,647	$	296,580	$	185,988	$	152,969	$	68,110
AQR INTERNATIONAL DEFENSIVE STYLE FUND
Class I	$	68,260	$	535,450	$	142,854	$	162,417	$	161,919	$	68,260
Class N		17,495		46,089		13,041		1,033		14,520		17,495
Class R6		10,522		28,590		51		485		17,532		10,522
Totals	$	96,277	$	610,129	$	155,946	$	163,935	$	193,971	$	96,277

AQR Funds Semi-Annual Report March 2017

231

Notes to Financial Statements March 31, 2017 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2017		TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2017		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					2017		2018		2019		2020
AQR EMERGING DEFENSIVE STYLE FUND
Class I	$	92,578	$	728,299	$	193,425	$	250,006	$	192,290	$	92,578
Class N		2,728		21,779		16,965		1,479		607		2,728
Class R6		350		1,448		49		371		678		350
Totals	$	95,656	$	751,526	$	210,439	$	251,856	$	193,575	$	95,656
AQR GLOBAL EQUITY FUND
Class I	$	14,759	$	41,431	$	4,476	$	—	$	22,196	$	14,759
Class N		704		5,952		4,236		—		1,012		704
Class R6		49,457		134,889		15,779		3,417		66,236		49,457
Totals	$	64,920	$	182,272	$	24,491	$	3,417	$	89,444	$	64,920
AQR INTERNATIONAL EQUITY FUND
Class I	$	25,385	$	91,074	$	—	$	—	$	65,689	$	25,385
Class N		2,571		9,694		—		—		7,123		2,571
Class R6		1,078		1,078		—		—		—		1,078
Totals	$	29,034	$	101,846	$	—	$	—	$	72,812	$	29,034
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND
Class I	$	12,699	$	12,699	$	—	$	—	$	—	$	12,699
Class N		12,634		12,634		—		—		—		12,634
Class R6		22,874		22,874		—		—		—		22,874
Totals	$	48,207	$	48,207	$	—	$	—	$	—	$	48,207
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND
Class I	$	15,440	$	15,440	$	—	$	—	$	—	$	15,440
Class N		10,911		10,911		—		—		—		10,911
Class R6		21,148		21,148		—		—		—		21,148
Totals	$	47,499	$	47,499	$	—	$	—	$	—	$	47,499
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND
Class I	$	16,705	$	16,705	$	—	$	—	$	—	$	16,705
Class N		8,841		8,841		—		—		—		8,841
Class R6		26,279		26,279		—		—		—		26,279
Totals	$	51,825	$	51,825	$	—	$	—	$	—	$	51,825
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
Class I	$	14,982	$	14,982	$	—	$	—	$	—	$	14,982
Class N		9,964		9,964		—		—		—		9,964
Class R6		33,491		33,491		—		—		—		33,491
Totals	$	58,437	$	58,437	$	—	$	—	$	—	$	58,437

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 Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund and the AQR International Relaxed Constraint Equity Fund.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

Citibank NA serves as the Funds’ security lending agent.

AQR Funds Semi-Annual Report March 2017

232

Notes to Financial Statements March 31, 2017 (Unaudited)

9. Distribution Plan

The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. 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.

10. Shareholder Servicing Agreements

Prior to January 29, 2017, pursuant to a Shareholder Services Agreement, between the Trust and the Adviser, the Adviser provided certain administrative and/or support services to the AQR Global Equity Fund and AQR International Equity Fund and their shareholders. These services include, among others, providing shareholders with analysis and explanations of Fund reports, information about shareholder positions in Fund shares, as well as assisting in the distribution of shareholder communications, such as prospectus materials, shareholder reports and annual reports. Under this agreement the Adviser receives an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:

FUND	CLASS I			CLASS N			CLASS R6
AQR Global Equity Fund		0.30	%		0.30	%		0.20	%
AQR International Equity Fund		0.30			0.30			0.30

Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the period ended March 31, 2017, were as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Global Equity Fund	$	31,142	$	1,510	$	70,537
AQR International Equity Fund		355,265		35,633		14,753

Effective January 29, 2017, the AQR Global Equity Fund and the AQR International Equity Fund contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee.

11. Capital Transactions

Investors may purchase shares of a Fund at its NAV, based on the next calculation of the NAV after the order is placed. Neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them.

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 non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

AQR Funds Semi-Annual Report March 2017

233

Notes to Financial Statements March 31, 2017 (Unaudited)

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.

13. Line of Credit

Effective February 24, 2017 and terminating on February 26, 2018, 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. The line of credit available is in the amount of $300,000,000, prior to February 24, 2017 the line of credit available was $285,000,000 at substantially similar terms.

AQR Funds Semi-Annual Report March 2017

234

Notes to Financial Statements March 31, 2017 (Unaudited)

Average borrowings under the agreement during the period ended March 31, 2017 were as follows:

FUND	AVERAGE BORROWINGS		AVERAGE INTEREST RATE %			NUMBER OF DAYS OUTSTANDING		INTEREST PAID
AQR Small Cap Multi-Style Fund . . . . . . . . . . . . .	$	25,800,000		1.77	%		2	$	2,537
AQR TM International Momentum Style Fund . . . . .		6,500,000		1.74			3		945

Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.

14. Principal Ownership

As of March 31, 2017, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBEROF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Large Cap Multi-Style Fund		5		77.41	%
AQR Small Cap Multi-Style Fund		3		87.00	%
AQR International Multi-Style Fund		5		75.42	%
AQR Emerging Multi-Style Fund		4		82.18	%
AQR TM Large Cap Multi-Style Fund		6		90.57	%
AQR TM Small Cap Multi-Style Fund*		5		88.84	%
AQR TM International Multi-Style Fund		4		81.68	%
AQR TM Emerging Multi-Style Fund		2		89.43	%
AQR Large Cap Momentum Style Fund		5		87.54	%
AQR Small Cap Momentum Style Fund		3		86.26	%
AQR International Momentum Style Fund		4		90.15	%
AQR Emerging Momentum Style Fund*		5		83.29	%
AQR TM Large Cap Momentum Style Fund		3		95.52	%
AQR TM Small Cap Momentum Style Fund		2		96.09	%
AQR TM International Momentum Style Fund		3		96.15	%
AQR Large Cap Defensive Style Fund		7		76.89	%
AQR International Defensive Style Fund		4		87.62	%
AQR Emerging Defensive Style Fund		3		96.50	%
AQR Global Equity Fund		4		90.19	%
AQR International Equity Fund		5		57.40	%
AQR Large Cap Relaxed Constraint Equity Fund		8		80.83	%
AQR Small Cap Relaxed Constraint Equity Fund		8		79.46	%
AQR International Relaxed Constraint Equity Fund		8		88.99	%
AQR Emerging Relaxed Constraint Equity Fund*		7		98.69	%

* The percentage held by the Adviser and/or affiliates is 8.03%, 41.32% and 64.70% respectively.

15. Redemption In-Kind

On April 1, 2016 the AQR International Equity Fund processed an in-kind redemption. The redemption represented 51.2% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $28,738,734 for Class R6 and $319,560,131 for Class Y, respectively. The net realized gain (loss) associated with the portion redeemed in-kind was $37,988,383.

On May 9, 2016 the AQR Global Equity Fund processed an in-kind redemption. The redemption represented 42.7% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $89,954,399. The net realized gain (loss) associated with the portion redeemed in-kind was $15,005,926.

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

AQR Funds Semi-Annual Report March 2017

235

Notes to Financial Statements March 31, 2017 (Unaudited)

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 those noted above.

AQR Funds Semi-Annual Report March 2017

236

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 03/31/17” 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 3/31/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/17
AQR Large Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,114.50		0.44	%		$2.32
Hypothetical Return		$1,000.00		$1,022.74		0.44	%		$2.22
Class N
Actual Return		$1,000.00		$1,113.20		0.70	%		$3.69
Hypothetical Return		$1,000.00		$1,021.44		0.70	%		$3.53
Class R6
Actual Return		$1,000.00		$1,115.40		0.35	%		$1.85
Hypothetical Return		$1,000.00		$1,023.19		0.35	%		$1.77
AQR Small Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,118.80		0.65	%		$3.43
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class N
Actual Return		$1,000.00		$1,116.80		0.90	%		$4.75
Hypothetical Return		$1,000.00		$1,020.44		0.90	%		$4.53
Class R6
Actual Return		$1,000.00		$1,118.60		0.55	%		$2.91
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77

AQR Funds Semi-Annual Report March 2017

237

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/17
AQR International Multi-Style Fund (2)
Class I
Actual Return		$1,000.00		$1,068.60		0.60	%		$3.09
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
Class N
Actual Return		$1,000.00		$1,067.30		0.85	%		$4.38
Hypothetical Return		$1,000.00		$1,020.69		0.85	%		$4.28
Class R6
Actual Return		$1,000.00		$1,069.70		0.50	%		$2.58
Hypothetical Return		$1,000.00		$1,022.44		0.50	%		$2.52
AQR Emerging Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,062.00		0.75	%		$3.86
Hypothetical Return		$1,000.00		$1,021.19		0.75	%		$3.78
Class N
Actual Return		$1,000.00		$1,060.80		1.00	%		$5.14
Hypothetical Return		$1,000.00		$1,019.95		1.00	%		$5.04
Class R6
Actual Return		$1,000.00		$1,061.80		0.65	%		$3.34
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
AQR TM Large Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,116.00		0.45	%		$2.37
Hypothetical Return		$1,000.00		$1,022.69		0.45	%		$2.27
Class N
Actual Return		$1,000.00		$1,115.00		0.70	%		$3.69
Hypothetical Return		$1,000.00		$1,021.44		0.70	%		$3.53
Class R6
Actual Return		$1,000.00		$1,115.50		0.35	%		$1.85
Hypothetical Return		$1,000.00		$1,023.19		0.35	%		$1.77
AQR TM Small Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,108.40		0.65	%		$3.42
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class N
Actual Return		$1,000.00		$1,106.80		0.90	%		$4.73
Hypothetical Return		$1,000.00		$1,020.44		0.90	%		$4.53
Class R6
Actual Return		$1,000.00		$1,110.00		0.55	%		$2.89
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77

AQR Funds Semi-Annual Report March 2017

238

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/17
AQR TM International Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,075.20		0.60	%		$3.10
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
Class N
Actual Return		$1,000.00		$1,074.00		0.85	%		$4.40
Hypothetical Return		$1,000.00		$1,020.69		0.85	%		$4.28
Class R6
Actual Return		$1,000.00		$1,075.90		0.50	%		$2.59
Hypothetical Return		$1,000.00		$1,022.44		0.50	%		$2.52
AQR TM Emerging Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,064.00		0.74	%		$3.81
Hypothetical Return		$1,000.00		$1,021.24		0.74	%		$3.73
Class N
Actual Return		$1,000.00		$1,060.90		1.00	%		$5.14
Hypothetical Return		$1,000.00		$1,019.95		1.00	%		$5.04
Class R6
Actual Return		$1,000.00		$1,063.50		0.65	%		$3.34
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
AQR Large Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,066.40		0.40	%		$2.06
Hypothetical Return		$1,000.00		$1,022.94		0.40	%		$2.02
Class N
Actual Return		$1,000.00		$1,064.60		0.65	%		$3.35
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class R6
Actual Return		$1,000.00		$1,067.10		0.30	%		$1.55
Hypothetical Return		$1,000.00		$1,023.44		0.30	%		$1.51
AQR Small Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,095.90		0.60	%		$3.14
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
Class N
Actual Return		$1,000.00		$1,094.80		0.84	%		$4.39
Hypothetical Return		$1,000.00		$1,020.74		0.84	%		$4.23
Class R6
Actual Return		$1,000.00		$1,096.60		0.50	%		$2.61
Hypothetical Return		$1,000.00		$1,022.44		0.50	%		$2.52

AQR Funds Semi-Annual Report March 2017

239

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/17
AQR International Momentum Style Fund (2)
Class I
Actual Return		$1,000.00		$1,018.00		0.55	%		$2.77
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77
Class N
Actual Return		$1,000.00		$1,016.50		0.80	%		$4.02
Hypothetical Return		$1,000.00		$1,020.94		0.80	%		$4.03
Class R6
Actual Return		$1,000.00		$1,018.30		0.45	%		$2.26
Hypothetical Return		$1,000.00		$1,022.69		0.45	%		$2.27
AQR Emerging Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,048.90		0.67	%		$3.42
Hypothetical Return		$1,000.00		$1,021.59		0.67	%		$3.38
Class N
Actual Return		$1,000.00		$1,047.60		0.90	%		$4.59
Hypothetical Return		$1,000.00		$1,020.44		0.90	%		$4.53
Class R6
Actual Return		$1,000.00		$1,049.40		0.60	%		$3.07
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
AQR TM Large Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,066.50		0.40	%		$2.06
Hypothetical Return		$1,000.00		$1,022.94		0.40	%		$2.02
Class N
Actual Return		$1,000.00		$1,065.50		0.61	%		$3.14
Hypothetical Return		$1,000.00		$1,021.89		0.61	%		$3.07
Class R6
Actual Return		$1,000.00		$1,067.10		0.30	%		$1.55
Hypothetical Return		$1,000.00		$1,023.44		0.30	%		$1.51
AQR TM Small Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,110.50		0.60	%		$3.16
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
Class N
Actual Return		$1,000.00		$1,108.60		0.81	%		$4.26
Hypothetical Return		$1,000.00		$1,020.89		0.81	%		$4.08
Class R6
Actual Return		$1,000.00		$1,110.10		0.50	%		$2.63
Hypothetical Return		$1,000.00		$1,022.44		0.50	%		$2.52

AQR Funds Semi-Annual Report March 2017

240

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/17
AQR TM International Momentum Style Fund (2)
Class I
Actual Return		$1,000.00		$1,017.90		0.55	%		$2.77
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77
Class N
Actual Return		$1,000.00		$1,016.60		0.75	%		$3.77
Hypothetical Return		$1,000.00		$1,021.19		0.75	%		$3.78
Class R6
Actual Return		$1,000.00		$1,018.30		0.45	%		$2.26
Hypothetical Return		$1,000.00		$1,022.69		0.45	%		$2.27
AQR Large Cap Defensive Style Fund
Class I
Actual Return		$1,000.00		$1,103.40		0.40	%		$2.10
Hypothetical Return		$1,000.00		$1,022.94		0.40	%		$2.02
Class N
Actual Return		$1,000.00		$1,101.40		0.65	%		$3.41
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class R6
Actual Return		$1,000.00		$1,103.60		0.30	%		$1.57
Hypothetical Return		$1,000.00		$1,023.44		0.30	%		$1.51
AQR International Defensive Style Fund (2)
Class I
Actual Return		$1,000.00		$1,012.30		0.55	%		$2.76
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77
Class N
Actual Return		$1,000.00		$1,010.30		0.80	%		$4.01
Hypothetical Return		$1,000.00		$1,020.94		0.80	%		$4.03
Class R6
Actual Return		$1,000.00		$1,012.20		0.45	%		$2.26
Hypothetical Return		$1,000.00		$1,022.69		0.45	%		$2.27
AQR Emerging Defensive Style Fund
Class I
Actual Return		$1,000.00		$1,003.80		0.70	%		$3.50
Hypothetical Return		$1,000.00		$1,021.44		0.70	%		$3.53
Class N
Actual Return		$1,000.00		$1,003.60		0.89	%		$4.45
Hypothetical Return		$1,000.00		$1,020.49		0.89	%		$4.48
Class R6
Actual Return		$1,000.00		$1,004.60		0.60	%		$3.00
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02

AQR Funds Semi-Annual Report March 2017

241

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/17
AQR Global Equity Fund
Class I
Actual Return		$1,000.00		$1,083.50		0.85	%		$4.42
Hypothetical Return		$1,000.00		$1,020.69		0.85	%		$4.28
Class N
Actual Return		$1,000.00		$1,082.90		1.12	%		$5.82
Hypothetical Return		$1,000.00		$1,019.35		1.12	%		$5.64
Class R6
Actual Return		$1,000.00		$1,085.60		0.70	%		$3.64
Hypothetical Return		$1,000.00		$1,021.44		0.70	%		$3.53
AQR International Equity Fund (2)
Class I
Actual Return		$1,000.00		$1,067.90		0.93	%		$4.79
Hypothetical Return		$1,000.00		$1,020.24		0.93	%		$4.68
Class N
Actual Return		$1,000.00		$1,066.80		1.17	%		$6.03
Hypothetical Return		$1,000.00		$1,019.10		1.17	%		$5.89
Class R6
Actual Return		$1,000.00		$1,069.00		0.83	%		$4.28
Hypothetical Return		$1,000.00		$1,020.79		0.83	%		$4.18
AQR Large Cap Relaxed Constraint Equity Fund (1)
Class I
Actual Return		$1,000.00		$1,031.00		1.01	%		$3.01	(a)
Hypothetical Return		$1,000.00		$1,019.90		1.01	%		$5.09
Class N
Actual Return		$1,000.00		$1,030.00		1.26	%		$3.75	(a)
Hypothetical Return		$1,000.00		$1,018.65		1.26	%		$6.34
Class R6
Actual Return		$1,000.00		$1,031.00		0.91	%		$2.71	(a)
Hypothetical Return		$1,000.00		$1,020.39		0.91	%		$4.58
AQR Small Cap Relaxed Constraint Equity Fund (1)
Class I
Actual Return		$1,000.00		$977.00		1.23	%		$3.56	(a)
Hypothetical Return		$1,000.00		$1,018.80		1.23	%		$6.19
Class N
Actual Return		$1,000.00		$976.00		1.48	%		$4.29	(a)
Hypothetical Return		$1,000.00		$1,017.55		1.48	%		$7.44
Class R6
Actual Return		$1,000.00		$977.00		1.13	%		$3.27	(a)
Hypothetical Return		$1,000.00		$1,019.30		1.13	%		$5.69

AQR Funds Semi-Annual Report March 2017

242

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/17
AQR International Relaxed Constraint Equity Fund (1)
Class I
Actual Return		$1,000.00		$1,105.00		1.63	%		$5.03	(a)
Hypothetical Return		$1,000.00		$1,016.80		1.63	%		$8.20
Class N
Actual Return		$1,000.00		$1,104.00		1.88	%		$5.80	(a)
Hypothetical Return		$1,000.00		$1,015.56		1.88	%		$9.45
Class R6
Actual Return		$1,000.00		$1,105.00		1.53	%		$4.72	(a)
Hypothetical Return		$1,000.00		$1,017.30		1.53	%		$7.70
AQR Emerging Relaxed Constraint Equity Fund (1)
Class I
Actual Return		$1,000.00		$1,112.00		1.15	%		$3.56	(a)
Hypothetical Return		$1,000.00		$1,019.20		1.15	%		$5.79
Class N
Actual Return		$1,000.00		$1,111.00		1.40	%		$4.33	(a)
Hypothetical Return		$1,000.00		$1,017.95		1.40	%		$7.04
Class R6
Actual Return		$1,000.00		$1,112.00		1.05	%		$3.25	(a)
Hypothetical Return		$1,000.00		$1,019.70		1.05	%		$5.29

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/365 (to reflect the one-half year period unless stated otherwise).

(1) Commencement of operations was December 14, 2016.

(2) Excludes impact of IRS closing agreement tax expense (Note 2).

(a) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 107/365 (to reflect the period since commencement of operations).

AQR Funds Semi-Annual Report March 2017

243

Board Approval of Investment Advisory Agreements

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 Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund and AQR TM Emerging Multi-Style Fund, and AQR Capital Management, LLC (“AQR”) (the “Investment Management Agreement”); and (ii) Second Amended and Restated Investment Advisory Agreement between the Trust, on behalf of the AQR Global Equity Fund (“GEF”) and AQR International Equity Fund (“IEF”), and AQR (the “Investment Advisory 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: (i) Third Amended and Restated Investment Management Agreement, amending and restating the Investment Management Agreement effective January 29, 2017, reflecting the addition of GEF and IEF and the bundling of their respective contractual advisory fees and shareholder services fees (the “Amendment”); and (ii) termination of the Investment Advisory Agreement, effective January 29, 2017. The Investment Management Agreement (including the Amendment) and the Investment Advisory Agreement 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 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; (v) a discussion of the compliance program and regulatory exam history of AQR; and (vi) memoranda and materials provided by AQR, describing the proposed changes to the fee structures for GEF and IEF. AQR is referred to herein as the “Adviser”.

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. The Board also reviewed a wide range of services provided to GEF and IEF under a shareholder services agreement between the Trust, on behalf of GEF and IEF, and AQR, and which for GEF and IEF would prospectively be provided pursuant to the Investment Management Agreement. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.

Finally, the Independent Board Members had an opportunity to meet outside the presence of 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,

AQR Funds Semi-Annual Report March 2017

244

Board Approval of Investment Advisory Agreements

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.

The Board further examined the proposed changes to the fee structures of GEF and IEF in the Amendment. The Board noted that the Amendment would: (i) bundle the advisory fee and shareholder services fee for GEF into one management fee that would (a) equal the sum of the advisory fee and the shareholder services fee of GEF’s Class R6 shares prior to the Amendment and (b) be 0.10% less than the sum of the advisory fee and shareholder services fee of GEF’s Class I and N shares prior to the Amendment; (ii) bundle the advisory fee and shareholder services fee for IEF into one management fee that would be 0.05% less than the sum of the advisory fee and the shareholder services fee of IEF prior to the Amendment; and (iii) move GEF and IEF from the Investment Advisory Agreement (an agreement that does not provide for shareholder services) to the Investment Management Agreement (an agreement that provides for shareholder services).

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. 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 advisory and management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the 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 Semi-Annual Report March 2017

245

Board Approval of Investment Advisory Agreements

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 approval of the Investment Management Agreement II between the Trust, on behalf of the AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund (each, a “New Fund” and collectively, the “New Funds”), and AQR Capital Management, LLC (“AQR” or the “Adviser”) (the “Investment Management Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate 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 Investment Management Agreement. These materials included: (1) memoranda and materials provided by AQR describing the personnel and services to be provided to the New Funds; (2) performance information for certain strategies and model portfolios, if available, relevant to the consideration of the Investment Management Agreement; (3) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the New Funds’ proposed fees and expenses; (4) a discussion of the financial information of AQR; and (5) a discussion of the compliance program and the regulatory exam history of AQR.

At the in-person meeting held on November 10-11, 2016, the Board, including the Independent Board Members, unanimously approved the Investment Management Agreement for an initial two-year period. The Board considered all factors it believed to be relevant with respect to the New Funds, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the New 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 New Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the New 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 approval of the Investment Management Agreement, the Board did not view the Investment Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Investment Management Agreement.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Investment Management Agreement:

The Nature, Extent and Quality of the Services to be Provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the New Funds under the Investment Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the New 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 to be provided to the New Funds, the Board Members took into account discussions they had with officers of the Adviser regarding the management of the New Funds’ investments in accordance with the New Funds’ stated investment objectives and policies and the types of transactions that would be entered into on behalf of the New Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and proposed implementation of the New Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services to be provided to the New Funds, the Board Members considered that AQR also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, risk management, compliance oversight, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the New Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services to be provided to the New Funds by AQR under the Investment Management Agreement. The Board Members recognized the entrepreneurial risk that AQR would assume in connection with launching the New Funds and the enterprise risk involved in providing services to the New 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 Investment Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the New Funds by AQR pursuant to the Investment Management Agreement were expected to be of a high quality and would benefit the New Funds.

Investment Performance and the Adviser’s Portfolio Management. Because the New Funds are newly formed, the Board did not consider the investment performance of the New Funds. The Board based its review of the Adviser’s performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the New Funds. The Board also considered the experience, resources and strengths of the Adviser with respect to the investment strategies proposed for the New Funds. Based on these factors, the Board Members determined that AQR would be an appropriate investment adviser for the New Funds.

The Management Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the New Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Funds to the Adviser pursuant to the Investment Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the New Funds.

AQR Funds Semi-Annual Report March 2017

246

Board Approval of Investment Advisory Agreements

To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for the New Funds’ respective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses.

The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to New Fund-related activities. 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 New Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting, the Board concluded that the proposed management fees under the Investment Management Agreement are reasonable.

Economies of Scale. Because the New Funds are newly formed and had not commenced operations as of November 10-11, 2016, and the eventual aggregate amount of the New Funds’ assets was uncertain, the Adviser was not able to provide the Board with specific information concerning the extent to which economies of scale would be realized as the New Funds grow and whether fee levels would reflect such economies of scale. The Adviser presented information to show that economies are being shared due to the management fees being set at a level that is competitive relative to comparable funds of an anticipated size. The Board recognized that economies would also be shared through the adoption of expense limitation agreements for the New 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 New 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 New 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 New 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 an investment management agreement. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the proposed management fee rates under the Investment Management Agreement and projected total expense ratios are reasonable in relation to the services to be provided by the Adviser to the New 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 proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of an anticipated size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the Investment Management Agreement. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Semi-Annual Report March 2017

247

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

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248

p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Item 2. Code of Ethics.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1)	Not required for this filing.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.
(b)	Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

June 1, 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.

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

June 1, 2017

By: /s/ Heather Bonner

Heather Bonner,

Principal Financial Officer

June 1, 2017