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)

William J. Fenrich, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza

4^th Floor

                         Greenwich, CT 06830                        

(Name and Address of Agent for Service)

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

Date of fiscal year end: December 31

Date of reporting period: January 1, 2017 to June 30, 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.)

Semi-Annual Report

June 30, 2017 (Unaudited)

AQR Diversified Arbitrage Fund

AQR Equity Market Neutral Fund

AQR Global Macro Fund

AQR Long-Short Equity Fund

AQR Multi-Strategy Alternative Fund

AQR Risk-Balanced Commodities Strategy Fund

AQR Risk Parity Fund

AQR Risk Parity II HV Fund

AQR Risk Parity II MV Fund

AQR Style Premia Alternative Fund

AQR Style Premia Alternative LV Fund

Table of Contents

Schedule of Investments
AQR Diversified Arbitrage Fund	2
AQR Equity Market Neutral Fund	29
AQR Global Macro Fund	57
AQR Long-Short Equity Fund	66
AQR Multi-Strategy Alternative Fund	96
AQR Risk-Balanced Commodities Strategy Fund	162
AQR Risk Parity Fund	167
AQR Risk Parity II HV Fund	177
AQR Risk Parity II MV Fund	184
AQR Style Premia Alternative Fund	190
AQR Style Premia Alternative LV Fund	217
Financial Statements and Notes	243
Fund Expense Examples	319

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 126.6%
COMMON STOCKS - 29.1%
Airlines - 0.1%
Azul SA, ADR (Brazil) *		15,000	$	316,200
Auto Components - 0.1%
Adient plc		3,825		250,079
Automobiles - 0.1%
Ferrari NV (Italy)		4,972		427,691
Banks - 0.3%
Pacific Premier Bancorp, Inc. *		37,511		1,384,156
Biotechnology - 0.2%
Aptevo Therapeutics, Inc. *		132,502		274,279
Bioverativ, Inc. *		4,430		266,553
Neurocrine Biosciences, Inc. *(a)		6,227		286,442
				827,274
Building Products - 0.1%
Armstrong Flooring, Inc. *		13,995		251,490
Capital Markets - 21.4%
Alignvest Acquisition II Corp. (Canada) *		350,000		2,739,435
Avista Healthcare Public Acquisition Corp., Class A *(a)		355,300		3,499,705
Bison Capital Acquisition Corp. (China) *		150,000		1,530,000
Constellation Alpha Capital Corp. *		700,000		7,105,000
Donnelley Financial Solutions, Inc. *		12,726		292,189
FinTech Acquisition Corp. II *		300,000		2,940,000
Forum Merger Corp., Class A *(b)		700,000		6,797,000
Hennessy Capital Acquisition Corp. III *		500,000		5,025,000
Jensyn Acquisition Corp. (2)*		69,000		705,870
Kayne Anderson Acquisition Corp., Class A (2)*		498,750		4,847,850
KBL Merger Corp. IV *(b)		1,000,000		10,200,000
M I Acquisitions, Inc. (2)*		250,000		2,505,000
M III Acquisition Corp. *		408,712		4,005,378
Matlin and Partners Acquisition Corp., Class A (2)*(b)		400,000		3,864,000
Modern Media Acquisition Corp. *(b)		1,450,000		14,166,500
National Energy Services Reunited Corp. *(b)		1,590,000		15,136,800
Origo Acquisition Corp. (3)*(b)(c)		325,500		3,385,200
Pacific Special Acquisition Corp. (China) (2)*		373,500		3,735,000
PJT Partners, Inc., Class A		9,524		383,055
Saban Capital Acquisition Corp., Class A (2)*		84,000		840,000
Stellar Acquisition III, Inc. (Greece) (2)*(b)		300,000		3,006,000
TPG Pace Energy Holdings Corp. *		500,000		5,220,000
TPG Pace Holdings Corp. *		200,000		2,052,000
Vantage Energy Acquisition Corp., Class A *		200,000		1,950,000
				105,930,982

INVESTMENTS	SHARES		VALUE
Chemicals - 0.2%
AdvanSix, Inc. *		13,011	$	406,464
GCP Applied Technologies, Inc. *		9,754		297,497
Ingevity Corp. *		4,013		230,346
				934,307
Commercial Services & Supplies - 0.1%
LSC Communications, Inc.		10,871		232,639
TPT Acquisition, Inc. (3)*(c)		20,730		—
West Corp.		9,075		211,629
				444,268
Communications Equipment - 0.0% (d)
Brocade Communications Systems, Inc.		3,905		49,242
Construction Materials - 0.1%
Tecnoglass, Inc.		30,211		281,567
Diversified Consumer Services - 0.0% (d)
Education Management Corp. *(b)		9,810,160		29,431
Diversified Financial Services - 0.6%
ECN Capital Corp. (Canada)		84,137		259,522
PNBK Holdings LLC, Class A (3)*(c)		2,090,900		1,612,732
PNBK Holdings LLC, Class B (3)*(c)		3,218		—
Rescap Liquidating Trust *		125,811		1,088,265
				2,960,519
Diversified Telecommunication Services - 0.2%
FairPoint Communications, Inc. *		27,863		436,056
Straight Path Communications, Inc., Class B *		3,000		538,950
				975,006
Energy Equipment & Services - 0.6%
Patterson-UTI Energy, Inc.		72,537		1,464,522
SEACOR Marine Holdings, Inc. *		42,320		861,635
Trican Well Service Ltd. (Canada) *		277,259		776,103
				3,102,260
Equity Real Estate Investment Trusts (REITs) - 0.2%
Care Capital Properties, Inc.		10,345		276,212
Park Hotels & Resorts, Inc.		9,322		251,321
Parkway, Inc.		12,098		276,923
Quality Care Properties, Inc. *		14,942		273,588
				1,078,044
Food Products - 0.1%
Lamb Weston Holdings, Inc.		6,477		285,247
Health Care Equipment & Supplies - 0.5%
China Medical Technologies, Inc., ADR (China) (3)*(c)		4,931		—
Syneron Medical Ltd. (Israel) *		224,237		2,455,395
Varex Imaging Corp. *		7,123		240,758
				2,696,153

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

AQR Funds Semi-Annual Report June 2017

2

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Health Care Providers & Services - 0.0% (d)
Quorum Health Corp. *		47,681	$	197,876
Rotech Healthcare, Inc. (3)*(c)		16,828		—
				197,876
Hotels, Restaurants & Leisure - 0.8%
Hilton Grand Vacations, Inc. *		8,492		306,222
Panera Bread Co., Class A *		10,533		3,314,103
Yum China Holdings, Inc. *		8,959		353,253
				3,973,578
Household Durables - 0.0% (d)
GoPro, Inc., Class A *(a)		615		5,000
Internet & Direct Marketing Retail - 0.1%
Delivery Hero AG (Germany) (2)*(e)		2,500		79,379
Priceline Group, Inc. (The) *(a)		267		499,429
				578,808
Internet Software & Services - 0.0% (d)
Aspire Holdings Ltd., Class B (China) (3)*(c)		834,158		8
Cloudera, Inc. *		1,000		16,020
FriendFinder Networks, Inc. (3)*(c)		6,483		29,143
				45,171
IT Services - 0.4%
Blackhawk Network Holdings, Inc. *(a)		10,731		467,872
Conduent, Inc. *		15,337		244,472
MoneyGram International, Inc. *		17,750		306,187
Square, Inc., Class A *(a)		41,450		972,417
				1,990,948
Machinery - 0.3%
Fortive Corp.		5,025		318,334
Gardner Denver Holdings, Inc. *		10,000		216,100
Manitowoc Co., Inc. (The) *		55,865		335,749
SPX Corp. *		9,552		240,328
Welbilt, Inc. *		16,639		313,645
				1,424,156
Media - 0.2%
Altice USA, Inc., Class A *		2,000		64,600
China Networks International Holdings Ltd. (3)*(c)		2,287,278		40,874
MSG Networks, Inc., Class A *		13,277		298,069
News Corp., Class A		39,762		544,739
				948,282
Metals & Mining - 0.0% (d)
Alcoa Corp.		6,155		200,961
ANR, Inc., Class C-1 *(a)		843		7,165
				208,126
Oil, Gas & Consumable Fuels - 0.1%
Alpha Natural Resources Holdings, Inc. *(a)		376		827
Amyris, Inc. *(a)		43,457		138,193
InterOil Corp. (Singapore) (3)*(c)		2,461		10,402
Quicksilver Resources, Inc. (3)*(c)		14,730		127,648
Tesoro Corp.		4,813		450,497
				727,567

INVESTMENTS	SHARES		VALUE
Road & Rail - 0.0% (d)
Schneider National, Inc., Class B		5,000	$	111,850
Semiconductors & Semiconductor Equipment - 1.2%
Microchip Technology, Inc. (a)		13,687		1,056,363
NXP Semiconductors NV (Netherlands) *		42,675		4,670,779
Versum Materials, Inc.		10,287		334,327
				6,061,469
Software - 0.4%
Inspired Entertainment, Inc. *		62,976		818,688
Nice Ltd., ADR (Israel) (a)		10,688		841,360
Nuance Communications, Inc. *(a)		7,788		135,589
				1,795,637
Specialty Retail - 0.2%
Barnes & Noble Education, Inc. *		27,916		296,747
Floor & Decor Holdings, Inc., Class A *		15,000		588,900
				885,647
Technology Hardware, Storage & Peripherals - 0.0% (d)
Hewlett Packard Enterprise Co.		11,638		193,074
Textiles, Apparel & Luxury Goods - 0.1%
Kate Spade & Co. *		22,726		420,204
Thrifts & Mortgage Finance - 0.0% (d)
FHLMC *		78,659		175,410
FNMA *		27,686		64,508
				239,918
Trading Companies & Distributors - 0.1%
Herc Holdings, Inc. *		7,787		306,185
Transportation Infrastructure - 0.0% (d)
Jack Cooper Holdings Corp. (Non-Voting), Class B (3)*(c)		2,223		—
Macquarie Infrastructure Corp. (a)		1,947		152,645
				152,645
Wireless Telecommunication Services - 0.3%
Cleveland Unlimited (3)*(c)		1		1,463,489
TOTAL COMMON STOCKS (cost $141,368,996)				143,953,546
PREFERRED STOCKS - 0.4%
Banks - 0.1%
First Banks, Inc., Series C (3)*(c)		2,458		686,663
Thrifts & Mortgage Finance - 0.3%
FHLMC, Series W, 5.66% *(f)		29,460		122,553
FHLMC, Series V, 5.57% *(f)		83,409		358,659
FHLMC, Series Z, 8.38% *(f)(g)		45,876		250,024
FHLMC, Series X, 6.02% *(f)		47,843		191,372
FNMA, Series S, 8.25% *(f)(g)		77,876		448,566
				1,371,174
TOTAL PREFERRED STOCKS (Cost $3,488,135)				2,057,837

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

AQR Funds Semi-Annual Report June 2017

3

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
CONVERTIBLE PREFERRED STOCKS - 7.6%
Capital Markets - 2.2%
Mandatory Exchangeable Trust (China)
$100 par, 5.75%, 6/3/2019 (2)(a)(e)		56,586	$	9,246,718
Virtus Investment Partners, Inc.
Series D, $100 par, 7.25%, 2/1/2020 (2)(a)		17,975		1,806,128
				11,052,846
Electric Utilities - 0.6%
Great Plains Energy, Inc. $50 par, 7.00%, 9/15/2019 (a)		51,675		2,740,842
Equity Real Estate Investment Trusts (REITs) - 1.8%
Welltower, Inc. Series I, $50 par, 6.50%, 12/31/2049 (a)(f)		137,075		9,082,590
Food Products - 1.4%
Bunge Ltd. $100 par, 4.88%, 12/31/2049 (a)(f)		67,625		7,049,906
Health Care Equipment & Supplies - 0.2%
Becton Dickinson and Co. Series A, $50 par, 6.13%, 5/1/2020 *(a)		21,050		1,153,119
Machinery - 0.1%
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (a)		4,975		269,894
Pharmaceuticals - 1.0%
Allergan plc Series A, $1,000 par, 5.50%, 3/1/2018 (a)		5,775		5,013,162
Technology Hardware, Storage & Peripherals - 0.3%
NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 (2)*(a)(f)		811		1,270,431
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $32,927,511)				37,632,790
CLOSED END FUNDS - 0.4%
Alliance California Municipal Income Fund, Inc.		13,965		191,321
Alpine Global Dynamic Dividend Fund		1,446		14,793
BlackRock MuniYield New York Quality Fund, Inc.		5,982		77,826
Central Securities Corp.		17,224		429,394
Dividend and Income Fund		2,862		35,346
Eaton Vance Municipal Bond Fund II		3,850		48,741
Eaton Vance New York Municipal Bond Fund		1,836		22,950
Invesco California Value Municipal Income Trust		11,734		148,318
Invesco Value Municipal Income Trust		30,342		460,288
Nuveen California Quality Municipal Income Fund		7,035		105,806
Nuveen Virginia Quality Municipal Income Fund		7,489		98,780
Pioneer Municipal High Income Trust		3,062		37,111
RMR Real Estate Income Fund		10,378		226,759

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 0.4% (continued)
Western Asset Municipal High Income Fund, Inc.		3,092	$	22,788
TOTAL CLOSED END FUNDS (cost $1,770,849)				1,920,221
	PRINCIPAL AMOUNT
CORPORATE BONDS - 2.9%
Auto Components - 0.0%
Exide Technologies 8.63%, 2/1/2018 (3)(c)(h)	$	33,550,000		—
Chemicals - 1.0%
Momentive Performance Materials USA, Inc. 8.88%, 10/15/2020 (3)(c)		13,550,000		—
Momentive Performance Materials, Inc. 3.88%, 10/24/2021 (2)		5,000,000		4,962,500
				4,962,500
Electric Utilities - 0.1%
Energy Future Intermediate Holding Co. LLC 11.28%, 12/1/2018 (3)(c)(e)(h)		1,000,000		350,000
Energy Equipment & Services - 0.8%
Atwood Oceanics, Inc. 6.50%, 2/1/2020 (2)		3,725,000		3,706,375
Food & Staples Retailing - 0.3%
Rite Aid Corp. 9.25%, 3/15/2020 (2)		1,175,000		1,214,656
Media - 0.0%
QUEBECOR 10.00%, 8/1/2020 (3)(c)(h)		6,325,000		—
Oil, Gas & Consumable Fuels - 0.4%
Black Elk Energy Escrow 13.75%, 12/1/2015 (3)(c)		2,833,436		—
NSA Bondco Ltd. (Norway) 0.00%, 8/31/2020 (3)(c)(i)		4,895,509		2,202,979
Sabine Oil & Gas Corp. 7.25%, 6/15/2019 (3)(c)(h)		17,830,000		2
7.50%, 9/15/2020 (3)(c)(h)		10,750,000		1
				2,202,982
Pharmaceuticals - 0.1%
Concordia International Corp. (Canada) 9.00%, 4/1/2022 (2)(e)		850,000		643,875
Specialty Retail - 0.0%
RS Legacy Corp. 6.75%, 5/15/2019 (3)(c)(h)		6,230,000		—
Thrifts & Mortgage Finance - 0.2%
Washington Mutual Bank, Bank Note 0.00%, 5/1/2009 (2)(g)(h)		5,000,000		1,115,625
TOTAL CORPORATE BONDS (Cost $46,606,583)				14,196,013

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

AQR Funds Semi-Annual Report June 2017

4

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
CONVERTIBLE BONDS - 33.7%
Air Freight & Logistics - 0.3%
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024 (2)(a)	$	1,175,000	$	1,280,750
Auto Components - 0.0% (d)
Exide Technologies 0.00%, 9/18/2013 (3)(c)(g)(h)		650,000		1
Automobiles - 0.2%
Tesla, Inc. 2.38%, 3/15/2022 (2)(a)		875,000		1,099,219
Biotechnology - 2.1%
AMAG Pharmaceuticals, Inc. 3.25%, 6/1/2022 (2)(a)		1,600,000		1,534,000
Amicus Therapeutics, Inc. 3.00%, 12/15/2023 (2)(a)(e)		725,000		1,290,500
Emergent BioSolutions, Inc. 2.88%, 1/15/2021 (2)(a)		4,500,000		5,799,375
PDL BioPharma, Inc. 2.75%, 12/1/2021 (2)(a)		1,850,000		1,665,000
				10,288,875
Capital Markets - 1.7%
Ares Capital Corp. 3.75%, 2/1/2022 (2)(a)(e)		2,225,000		2,236,125
Cowen, Inc. 3.00%, 3/15/2019 (2)(a)		1,300,000		1,332,500
Hercules Capital, Inc. 4.38%, 2/1/2022 (2)(a)(e)		1,350,000		1,380,375
Prospect Capital Corp. 4.95%, 7/15/2022 (2)(a)		1,400,000		1,394,750
TPG Specialty Lending, Inc. 4.50%, 8/1/2022 (2)(a)(e)		1,800,000		1,867,500
				8,211,250
Communications Equipment - 0.9%
Brocade Communications Systems, Inc. 1.38%, 1/1/2020 (2)		1,556,000		1,578,368
Ciena Corp. 3.75%, 10/15/2018 (2)(a)(e)		650,000		875,062
Nortel Networks Corp. (Canada) 1.75%, 12/31/2017 (2)(h)		3,000,000		1,852,500
				4,305,930
Construction & Engineering - 0.5%
Tutor Perini Corp. 2.88%, 6/15/2021 (2)(a)		1,975,000		2,347,781
Construction Materials - 0.8%
Cemex SAB de CV (Mexico) 3.75%, 3/15/2018 (2)		3,375,000		4,028,906
Consumer Finance - 1.7%
Encore Capital Group, Inc. 3.25%, 3/15/2022 (2)(a)(e)		1,975,000		2,123,125
EZCORP, Inc. 2.13%, 6/15/2019 (2)(a)		4,975,000		4,819,531
PRA Group, Inc. 3.50%, 6/1/2023 (2)(a)(e)		1,400,000		1,476,125
				8,418,781

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Diversified Financial Services - 0.4%
Element Fleet Management Corp. (Canada) 5.13%, 6/30/2019 (2)(a)(e)		CAD2,783,000	$	2,143,219
Electronic Equipment, Instruments & Components - 2.9%
Knowles Corp. 3.25%, 11/1/2021 (2)(a)	$	3,500,000		4,114,687
Vishay Intertechnology, Inc. 2.25%, 11/15/2040 (2)(a)		7,702,000		10,036,669
				14,151,356
Energy Equipment & Services - 0.8%
Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 (2)(a)(e)		150,000		115,687
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (2)(a)		1,150,000		1,150,000
Weatherford International Ltd. 5.88%, 7/1/2021 (2)(a)		2,600,000		2,630,875
				3,896,562
Equity Real Estate Investment Trusts (REITs) - 0.6%
Colony Starwood Homes 3.50%, 1/15/2022 (2)(a)(e)		250,000		267,187
Spirit Realty Capital, Inc. 2.88%, 5/15/2019 (2)(a)		2,675,000		2,649,922
				2,917,109
Health Care Equipment & Supplies - 0.4%
China Medical Technologies, Inc. (China) 4.00%, 8/15/2013 (3)(c)(h)		250,000		—
6.25%, 12/15/2016 (3)(c)(e)(h)		2,625,000		—
Invacare Corp. 4.50%, 6/1/2022 (2)(a)(e)		1,175,000		1,260,922
Spectranetics Corp. (The) 2.63%, 6/1/2034 (2)		625,000		845,312
				2,106,234
Health Care Providers & Services - 0.8%
Anthem, Inc. 2.75%, 10/15/2042 (2)(a)		1,279,000		3,294,224
Teladoc, Inc. 3.00%, 12/15/2022 (2)(a)(e)		625,000		658,594
				3,952,818
Household Durables - 0.2%
GoPro, Inc. 3.50%, 4/15/2022 (2)(a)(e)		1,000,000		925,625
Independent Power and Renewable Electricity Producers - 0.7%
NRG Yield, Inc. 3.50%, 2/1/2019 (2)(a)(e)		3,475,000		3,516,266
Insurance - 0.2%
HCI Group, Inc. 4.25%, 3/1/2037 (2)(a)(e)		1,175,000		1,132,406
Internet Software & Services - 1.4%
Pandora Media, Inc. 1.75%, 12/1/2020 (2)(a)		2,945,000		2,790,388

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

AQR Funds Semi-Annual Report June 2017

5

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Internet Software & Services - 1.4%
VeriSign, Inc. 3.25%, 8/15/2037 (2)(a)	$	1,510,000	$	4,110,975
				6,901,363
IT Services - 0.3%
Euronet Worldwide, Inc. 1.50%, 10/1/2044 (2)(a)		1,300,000		1,660,750
Leisure Products - 0.8%
JAKKS Pacific, Inc. 4.88%, 6/1/2020 (2)(a)(e)		4,425,000		3,855,281
Life Sciences Tools & Services - 0.2%
Albany Molecular Research, Inc. 2.25%, 11/15/2018 (2)		725,000		1,032,219
Machinery - 1.2%
Meritor, Inc. 7.87%, 3/1/2026 (2)(a)		3,521,000		5,990,101
Media - 0.1%
DISH Network Corp. 2.38%, 3/15/2024 (2)(a)(e)		700,000		735,438
Metals & Mining - 0.8%
A. M. Castle & Co. 5.25%, 12/30/2019 (2)(a)(e)(h)		647,000		84,514
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (2)(a)		2,700,000		3,845,813
Jaguar Mining, Inc. 10.00%, 6/1/2018 (3)(c)(h)		310,000		—
				3,930,327
Mortgage Real Estate Investment Trusts (REITs) - 1.2%
Blackstone Mortgage Trust, Inc. 4.38%, 5/5/2022 (2)(a)		1,150,000		1,170,844
New York Mortgage Trust, Inc. 6.25%, 1/15/2022 (2)(a)		1,350,000		1,360,125
Starwood Property Trust, Inc. 4.00%, 1/15/2019 (2)(a)		300,000		340,125
4.38%, 4/1/2023 (2)(a)		3,225,000		3,267,328
				6,138,422
Oil, Gas & Consumable Fuels - 1.7%
Aegean Marine Petroleum Network, Inc. (Greece) 4.25%, 12/15/2021 (2)(a)(e)		375,000		288,750
Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (3)(a)(c)(h)		800,000		4,000
Amyris, Inc. 9.50%, 4/15/2019 (2)(a)		6,461,000		4,518,662
Chesapeake Energy Corp. 5.50%, 9/15/2026 (2)(a)(e)		1,400,000		1,309,000
Emerald Oil, Inc. 2.00%, 4/1/2019 (3)(a)(c)(e)(h)		1,600,000		8,000
Gold Point Energy Corp. 4.50%, 5/1/2015 (3)(c)(h)		1,140,000		—
Ship Finance International Ltd. (Norway) 5.75%, 10/15/2021 (2)(a)		2,600,000		2,489,500
				8,617,912

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Pharmaceuticals - 0.6%
Innoviva, Inc. 2.13%, 1/15/2023 (2)(a)	$	1,700,000	$	1,544,875
Medicines Co. (The) 2.50%, 1/15/2022 (2)(a)		1,175,000		1,526,766
				3,071,641
Real Estate Management & Development - 0.3%
Tricon Capital Group, Inc. (Canada) 5.75%, 3/31/2022 (2)(a)(e)		1,175,000		1,279,281
Semiconductors & Semiconductor Equipment - 8.6%
GT Advanced Technologies, Inc. 3.00%, 10/1/2017 (3)(c)(h)		2,650,000		—
Inphi Corp. 1.13%, 12/1/2020 (2)(a)		1,025,000		1,149,281
Intel Corp. 3.25%, 8/1/2039 (2)(a)		14,450,000		23,878,625
Microchip Technology, Inc. 1.63%, 2/15/2027 (2)(a)(e)		100,000		105,125
2.25%, 2/15/2037 (2)(a)(e)		1,851,000		1,931,981
Novellus Systems, Inc. 2.63%, 5/15/2041 (2)(a)		2,500,000		10,435,938
NXP Semiconductors NV (Netherlands) 1.00%, 12/1/2019 (2)		3,025,000		3,607,312
SunEdison, Inc. 2.00%, 10/1/2018 (2)(a)(h)		16,350,000		358,065
0.25%, 1/15/2020 (2)(a)(e)(h)		575,000		12,593
2.75%, 1/1/2021 (2)(a)(h)		4,400,000		96,360
Synaptics, Inc. 0.50%, 6/15/2022 (2)(a)(e)		925,000		934,250
				42,509,530
Software - 0.4%
PROS Holdings, Inc. 2.00%, 6/1/2047 (2)(a)		2,125,000		1,913,828
Tobacco - 0.9%
Vector Group Ltd. 2.50%, 1/15/2019 (2)(a)(g)		3,125,000		4,572,266
TOTAL CONVERTIBLE BONDS (cost $189,543,114)				166,931,447
LOAN PARTICIPATION - 0.1%
Consumer Finance - 0.1%
Orchard Acquisition Co. LLC 7.31%, 2/8/2019 (cost $1,524,617) (2)(g)(h)		1,539,171		715,714
	NO. OF RIGHTS
RIGHTS - 0.5%
Banks - 0.0% (d)
EFG International Finance Guernsey Ltd., expiring 12/31/2049 (Switzerland) (3)*(c)		283,523		2,835
Biotechnology - 0.1%
Ambit Biosciences Corp., CVR (3)*(c)		146,272		157,330
Chelsea Therapeutics, Inc., CVR (Denmark) (3)*(c)		4,668,137		296,940

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

AQR Funds Semi-Annual Report June 2017

6

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF RIGHTS		VALUE
Biotechnology - 0.1% (continued)
Durata Therapeutics, Inc., CVR (3)*(c)		261,441	$	79,771
Tobira Therapeutics, Inc., CVR (3)*(c)		11,880		195,435
				729,476
Capital Markets - 0.4%
Barington/Hilco Acquisition Corp. *(b)		487,260		194,904
Forum Merger Corp., expiring 4/26/2018 (3)*(b)(c)		1,500,000		547,350
Jensyn Acquisition Corp., expiring 3/7/2021 *		174,000		41,760
Modern Media Acquisition Corp., expiring 12/31/2022 *(b)		1,700,000		680,000
Origo Acquisition Corp. *(b)		325,500		76,655
Pacific Special Acquisition Corp. (China) *		373,500		220,365
				1,761,034
Electronic Equipment, Instruments & Components - 0.0%
Gerber Scientific, Inc., CVR (3)*(c)		879,944		—
Health Care Providers & Services - 0.0%(d)
Community Health Systems, Inc., CVR *(b)		7,762,436		151,368
Life Sciences Tools & Services - 0.0%
Furiex Pharmaceuticals LLC, CVR (3)*(c)		335,833		—
TOTAL RIGHTS (cost $111,420)				2,644,713
	NO. OF WARRANTS
WARRANTS - 4.5%
Aerospace & Defense - 0.0% (d)
Ability, Inc., expiring 12/17/2018 (Israel) (2)*(b)		1,449,557		20,294
Tempus Applied Solutions Holdings, Inc., expiring 7/31/2020 *		614,551		49,164
				69,458
Banks - 0.0% (d)
Valley National Bancorp, expiring 11/14/2018 (2)*		49,509		12,872
Biotechnology - 0.0% (d)
Bioptix, Inc., expiring 5/30/2018 (3)*(c)		24,000		24
Pluristem Therapeutics, Inc., expiring 9/19/2017 (3)*(c)		63,750		638
				662
Capital Markets - 3.1%
Acasta Enterprises, Inc., expiring 1/3/2022 (Canada) (2)*		579,085		352,774
Avista Healthcare Public Acquisition Corp., expiring 12/2/2021 *		1,000,000		450,000

INVESTMENTS	NO. OF WARRANTS		VALUE
Capital Markets - 3.1% (continued)
Axar Acquisition Corp., expiring 10/28/2019 *(b)		697,500	$	55,800
Barington/Hilco Acquisition Corp., expiring 2/11/2018 *(b)		487,260		73,576
Boulevard Acquisition Corp. II, expiring 9/25/2020 (2)*		1,698,740		1,146,650
CF Corp., expiring 7/8/2021 *		450,000		967,500
Conyers Park Acquisition Corp., expiring 9/6/2021 *		8,333		21,832
Double Eagle Acquisition Corp., expiring 10/16/2020 *		2,047,500		982,800
Easterly Acquisition Corp., expiring 7/29/2020 *		718,250		610,513
Electrum Special Acquisition Corp., expiring 6/11/2021 *		990,000		356,400
FinTech Acquisition Corp. II, expiring 3/13/2022 (2)*		900,000		1,080,000
Forum Merger Corp., expiring 5/2/2022 *(b)		750,000		255,000
Global Partner Acquisition Corp., expiring 8/13/2020 *		1,068,000		213,600
Gores Holdings II, Inc., expiring 3/6/2022 *		133,333		198,666
GP Investments Acquisition Corp., expiring 5/26/2022 *		943,380		669,800
Harmony Merger Corp., expiring 1/1/2021 *(b)		1,375,100		1,100,080
Hunter Maritime Acquisition Corp., expiring 10/11/2021 (2)*		470,000		141,000
Jensyn Acquisition Corp., expiring 4/26/2021 (2)*		174,000		34,800
Kayne Anderson Acquisition Corp., expiring 6/30/2022 (2)*		250,000		195,000
Landcadia Holdings, Inc., expiring 6/1/2023 (2)*		500,000		379,700
M I Acquisitions, Inc., expiring 11/14/2020 (2)*		250,000		76,250
M III Acquisition Corp., expiring 8/29/2021 *		808,712		363,920
Matlin and Partners Acquisition Corp., expiring 5/28/2021 (2)*(b)		2,500,000		1,250,000
Modern Media Acquisition Corp., expiring 6/7/2022 (2)*(b)		850,000		331,500
National Energy Services Reunited Corp., expiring 6/5/2022 *(b)		2,090,000		1,149,500
Origo Acquisition Corp., expiring 12/17/2021 *(b)		325,500		58,590
Pacific Special Acquisition Corp., expiring 10/27/2020 (China) *		373,500		194,220
Quinpario Acquisition Corp. 2, expiring 1/1/2023 *		2,758,510		1,048,234
Saban Capital Acquisition Corp., expiring 9/21/2021 *		42,000		52,500
Silver Run Acquisition Corp. II, expiring 4/27/2022 (2)*		333,333		597,466
Stellar Acquisition III, Inc., expiring 3/22/2022 (Greece) *(b)		600,000		192,000

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

AQR Funds Semi-Annual Report June 2017

7

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF WARRANTS		VALUE
Capital Markets - 3.1% (continued)
Vantage Energy Acquisition Corp., expiring 4/12/2024 *		500,000	$	625,000
				15,224,671
Chemicals - 0.1%
AgroFresh Solutions, Inc., expiring 2/19/2019 *		200,528		186,491
Delta Technology Holdings Ltd., expiring 12/18/2017 (China) (2)*(b)		818,832		65,507
				251,998
Construction & Engineering - 0.1%
Limbach Holdings, Inc., expiring 7/20/2021 *		336,504		605,707
Consumer Finance - 0.0% (d)
China Lending Corp., expiring 7/6/2021 (China) *		142,386		12,815
Distributors - 0.0%(d)
KBS Fashion Group Ltd., expiring 1/22/2018 (China) (3)*(c)		50,869		5
Diversified Consumer Services - 0.0% (d)
Education Management Corp., expiring 1/5/2022 (3)*(b)(c)		16,528,497		17
Electronic Equipment, Instruments & Components - 0.0% (d)
RMG Networks Holding Corp., expiring 4/8/2018 (3)*(c)		631,210		1,262
Energy Equipment & Services - 0.0% (d)
Glori Energy, Inc., expiring 7/25/2019 (3)*(c)		287,100		345
Internet & Direct Marketing Retail - 0.2%
LXRandCo, Inc., expiring 6/9/2022 (Canada) *		1,274,000		884,176
Internet Software & Services - 0.0%
Net Element, Inc., expiring 10/2/2017 (3)*(c)		319,668		—
Machinery - 0.2%
Blue Bird Corp., expiring 2/24/2020 *		202,439		556,707
Jason Industries, Inc., expiring 6/30/2019 *(b)		1,933,070		174,556
				731,263
Media - 0.0% (d)
Global Eagle Entertainment, Inc., expiring 1/31/2018 (3)*(c)		367,857		16,553
Kew Media Group, Inc., expiring 3/20/2022 (Canada) *		150,000		174,661
				191,214
Oil, Gas & Consumable Fuels - 0.1%
Rosehill Resources, Inc., expiring 9/16/2022 *(b)		489,600		533,664

INVESTMENTS	NO. OF WARRANTS		VALUE
Road & Rail - 0.1%
Daseke, Inc., expiring 9/11/2020 *		378,003	$	461,164
Semiconductors & Semiconductor Equipment - 0.0%
GT Advanced Technologies, Inc., expiring 3/17/2019 (3)*(c)		2,101		—
Software - 0.5%
Cision Ltd., expiring 10/19/2020 *		430,891		943,651
Inspired Entertainment, Inc., expiring 12/23/2021 *		1,483,972		1,765,927
				2,709,578
Transportation Infrastructure - 0.0%(d)
Pingtan Marine Enterprise Ltd., expiring 2/26/2018 (2)*		395,000		4,740
Wireless Telecommunication Services - 0.1%
Trilogy International Partners, Inc., expiring 2/7/2022 (New Zealand) *		445,000		394,625
TOTAL WARRANTS (cost $1,928,201)				22,090,236
	NO. OF UNITS
SECURITIES IN LITIGATION - 0.1%
Health Care Equipment & Supplies - 0.1%
DEMC, Ltd., Class A-1 (3)*(c)		13,027		—
DEMC, Ltd., Class A-2 (3)*(c)		184,940,938		208,984
DEMC, Ltd., Class B-1 (3)*(c)		10,488		—
DEMC, Ltd., Class B-2 (3)*(c)		513,897,326		514
				209,498
Software - 0.0% (d)
TimeGate Studios, Inc. (3)*(c)		1,500,000		—
TimeGate Studios, Inc. (3)*(c)(h)		3,591,250		201,735
				201,735
TOTAL SECURITIES IN LITIGATION (cost $3,902,910)				411,233
	SHARES
SHORT-TERM INVESTMENTS - 47.3%
INVESTMENT COMPANIES - 34.3%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (2)(j)		5,562,120		5,562,120
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (2)(j)		22,248,482		22,248,482
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (2)(j)(k)		34,322,736		34,322,736
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (2)(j)(k)		30,772,998		30,772,998

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

AQR Funds Semi-Annual Report June 2017

8

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
INVESTMENT COMPANIES - 34.3% (continued)
Limited Purpose Cash Investment Fund, 0.81% (2)(j)		49,348,267		$	49,343,333
UBS Select Treasury Preferred Fund, Class I, 0.85% (2)(j)		27,810,602			27,810,602
TOTAL INVESTMENT COMPANIES (cost $170,060,883)					170,060,271
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 13.0%
U.S. Treasury Bills 0.61%, 7/20/2017 (2)(l)	$	35,016,000			35,003,079
0.60%, 7/27/2017 (2)(l)		3,649,000			3,647,004
0.91%, 9/14/2017 (2)(a)(l)		3,227,000			3,220,801
1.03%, 11/16/2017 (2)(a)(l)		5,998,000			5,974,152
1.06%, 11/24/2017 (2)(l)		5,474,000			5,450,796
1.07%, 12/7/2017 (2)(l)		2,150,000			2,139,968
1.11%, 12/14/2017 (2)(l)		3,019,000			3,004,319
1.13%, 12/21/2017 (2)(l)		3,772,000			3,752,751
1.12%, 12/28/2017 (2)(l)		2,005,000			1,993,884
TOTAL U.S. TREASURY OBLIGATIONS (cost $64,187,471)					64,186,754
TOTAL SHORT-TERM INVESTMENTS (cost $234,248,354)					234,247,025
TOTAL LONG POSITIONS (cost $657,420,690)					626,800,775
	SHARES
SHORT POSITIONS - (31.2)%
COMMON STOCKS - (29.9)%
Air Freight & Logistics - (0.1)%
Atlas Air Worldwide Holdings, Inc. *		(14,344	)		(748,040	)
Automobiles - (0.2)%
Tesla, Inc. *		(2,191	)		(792,288	)
Banks - (0.3)%
Comerica, Inc.		(727	)		(53,245	)
Pacific Premier Bancorp, Inc. *		(37,512	)		(1,384,193	)
Valley National Bancorp		(7,164	)		(84,607	)
					(1,522,045	)
Biotechnology - (1.2)%
AMAG Pharmaceuticals, Inc. *		(39,762	)		(731,621	)
Amicus Therapeutics, Inc. *		(108,987	)		(1,097,499	)
Emergent BioSolutions, Inc. *		(94,000	)		(3,187,540	)
PDL BioPharma, Inc. *		(300,852	)		(743,105	)
Pluristem Therapeutics, Inc. *		(4,430	)		(5,670	)
					(5,765,435	)
Capital Markets - (0.7)%
Ares Capital Corp.		(17,213	)		(281,949	)
Cowen, Inc. *		(29,573	)		(480,561	)
Hercules Capital, Inc.		(18,509	)		(245,059	)
Penson Worldwide, Inc. (3)*(c)		(217,523	)		—
Prospect Capital Corp.		(23,855	)		(193,703	)
TPG Specialty Lending, Inc.		(32,890	)		(672,600	)
Virtus Investment Partners, Inc.		(12,583	)		(1,396,084	)
					(3,269,956	)

INVESTMENTS	SHARES			VALUE
Communications Equipment - (0.1)%
Ciena Corp. *		(26,108	)	$	(653,222	)
Construction & Engineering - (0.2)%
Tutor Perini Corp. *		(42,624	)		(1,225,440	)
Construction Materials - (0.9)%
Cemex SAB de CV, ADR (Mexico) *		(448,629	)		(4,226,085	)
Consumer Finance - (0.4)%
Encore Capital Group, Inc. *		(33,809	)		(1,357,431	)
EZCORP, Inc., Class A *		(40,258	)		(309,987	)
PRA Group, Inc. *		(13,594	)		(515,213	)
					(2,182,631	)
Diversified Financial Services - (0.1)%
Element Fleet Management Corp. (Canada)		(37,488	)		(257,282	)
Diversified Telecommunication Services - (0.2)%
Consolidated Communications Holdings, Inc.		(20,340	)		(436,700	)
Straight Path Communications, Inc., Class B *		(3,000	)		(538,950	)
					(975,650	)
Electric Utilities - (0.4)%
Great Plains Energy, Inc.		(60,566	)		(1,773,372	)
Electronic Equipment, Instruments & Components - (2.2)%
Knowles Corp. *		(136,771	)		(2,314,165	)
Vishay Intertechnology, Inc.		(519,844	)		(8,629,411	)
					(10,943,576	)
Energy Equipment & Services - (0.6)%
Ensco plc, Class A		(6,206	)		(32,023	)
Patterson-UTI Energy, Inc.		(72,026	)		(1,454,205	)
SEACOR Holdings, Inc. *		(635	)		(21,780	)
Trican Well Service Ltd. (Canada) *		(277,260	)		(776,106	)
Weatherford International plc *		(188,082	)		(727,877	)
					(3,011,991	)
Equity Real Estate Investment Trusts (REITs) - (1.1)%
Colony Starwood Homes		(3,593	)		(123,276	)
Regency Centers Corp.		(1	)		(62	)
Sabra Health Care REIT, Inc.		(11,617	)		(279,970	)
Spirit Realty Capital, Inc.		(7,334	)		(54,345	)
Welltower, Inc.		(69,232	)		(5,182,015	)
					(5,639,668	)
Food Products - (0.5)%
Bunge Ltd.		(31,362	)		(2,339,605	)
Health Care Equipment & Supplies - (0.2)%
Becton Dickinson and Co.		(3,876	)		(756,246	)
China Medical Technologies, Inc., ADR (China) (3)*(c)		(40,234	)		—
					(756,246	)
Health Care Providers & Services - (0.6)%
Anthem, Inc.		(16,638	)		(3,130,107	)

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

AQR Funds Semi-Annual Report June 2017

9

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
Independent Power and Renewable Electricity Producers - (0.1)%
NRG Yield, Inc., Class A		(38,670	)	$	(659,710	)
Insurance - (0.1)%
Fairfax Financial Holdings Ltd. (Canada)		(52	)		(22,536	)
HCI Group, Inc.		(9,555	)		(448,894	)
					(471,430	)
Internet Software & Services - (8.3)%
Alibaba Group Holding Ltd., ADR (China) *		(258,363	)		(36,403,347	)
Pandora Media, Inc. *		(71,746	)		(639,974	)
VeriSign, Inc. *		(43,936	)		(4,084,291	)
					(41,127,612	)
IT Services - (0.2)%
Euronet Worldwide, Inc. *		(13,687	)		(1,195,833	)
Leisure Products - (0.1)%
JAKKS Pacific, Inc. *		(137,164	)		(548,656	)
Machinery - (0.9)%
Jason Industries, Inc. *		(11,068	)		(14,278	)
Meritor, Inc. *		(249,404	)		(4,142,600	)
Rexnord Corp. *		(9,125	)		(212,156	)
					(4,369,034	)
Media - (0.2)%
DISH Network Corp., Class A *		(5,835	)		(366,204	)
News Corp., Class B		(39,972	)		(565,604	)
					(931,808	)
Metals & Mining - (0.5)%
Allegheny Technologies, Inc.		(157,354	)		(2,676,592	)
Mortgage Real Estate Investment Trusts (REITs) - (0.3)%
Blackstone Mortgage Trust, Inc.		(8,382	)		(264,871	)
New York Mortgage Trust, Inc.		(59,726	)		(371,496	)
Starwood Property Trust, Inc.		(35,233	)		(788,867	)
					(1,425,234	)
Oil, Gas & Consumable Fuels - (0.3)%
Aegean Marine Petroleum Network, Inc. (Greece)		(10,288	)		(60,185	)
Chesapeake Energy Corp. *		(103,454	)		(514,166	)
Ship Finance International Ltd. (Norway)		(57,524	)		(782,327	)
					(1,356,678	)
Pharmaceuticals - (1.1)%
Allergan plc		(15,831	)		(3,848,358	)
Innoviva, Inc. *		(53,754	)		(688,051	)
Medicines Co. (The) *		(27,737	)		(1,054,283	)
					(5,590,692	)
Real Estate Management & Development - (0.1)%
Tricon Capital Group, Inc. (Canada)		(53,920	)		(483,151	)

INVESTMENTS	SHARES			VALUE
Semiconductors & Semiconductor Equipment - (6.8)%
Inphi Corp. *		(16,589	)	$	(569,003	)
Intel Corp.		(581,182	)		(19,609,081	)
Lam Research Corp.		(74,343	)		(10,514,330	)
Microchip Technology, Inc.		(39,623	)		(3,058,103	)
					(33,750,517	)
Technology Hardware, Storage & Peripherals - (0.2)%
NCR Corp. *		(18,923	)		(772,815	)
Tobacco - (0.7)%
Vector Group Ltd.		(170,918	)		(3,643,972	)
TOTAL COMMON STOCKS (proceeds $(130,644,714))					(148,216,373	)
	PRINCIPAL AMOUNT
CONVERTIBLE BONDS - (1.3)%
Biotechnology - (0.2)%
Neurocrine Biosciences, Inc. 2.25%, 5/15/2024 (2)(e)	$	(675,000	)		(670,360	)
Internet & Direct Marketing Retail - (0.2)%
Priceline Group, Inc. (The) 0.90%, 9/15/2021 (2)		(900,000	)		(1,030,500	)
IT Services - (0.5)%
Blackhawk Network Holdings, Inc. 1.50%, 1/15/2022 (2)(e)		(775,000	)		(864,125	)
Square, Inc. 0.38%, 3/1/2022 (2)(e)		(1,250,000	)		(1,532,031	)
					(2,396,156	)
Software - (0.3)%
Nice Systems, Inc. (Israel) 1.25%, 1/15/2024 (2)(e)		(1,125,000	)		(1,253,672	)
Nuance Communications, Inc. 1.00%, 12/15/2035 (2)		(400,000	)		(385,500	)
					(1,639,172	)
Transportation Infrastructure - (0.1)%
Macquarie Infrastructure Corp. 2.88%, 7/15/2019 (2)		(400,000	)		(442,000	)
TOTAL CONVERTIBLE BONDS (proceeds $(5,806,989))					(6,178,188	)
TOTAL SHORT POSITIONS (proceeds $(136,451,703))					(154,394,561	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.4% (cost $520,968,987)					472,406,214
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.6% (m)					22,678,293
NET ASSETS - 100.0%				$	495,084,507

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

AQR Funds Semi-Annual Report June 2017

10

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	11,906,442			2.3	%
Consumer Staples		7,138,498			1.4
Energy		18,418,998			3.7
Financials		161,307,546			32.6
Health Care		16,161,410			3.3
Industrials		7,983,139			1.6
Information Technology		(6,717,598	)		(1.3	)
Materials		7,695,054			1.6
Real Estate		8,234,205			1.7
Telecommunication Services		1,857,470			0.4
Utilities		4,174,025			0.8
Short-Term Investments		234,247,025			47.3
Total Investments In Securities At Value		472,406,214			95.4
Other Assets in Excess of Liabilities (m)		22,678,293			4.6
Net Assets	$	495,084,507			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 $206,207,046. In addition, $4,902,941 of cash collateral was pledged.

(b) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/16	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/17		VALUE AT 06/30/17		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
Education Management Corp. (Common Stock)	18,525,063	—		(8,714,903	)		9,810,160		$29,431		$  —		$(331,924	)		$354,025
Forum Merger Corp. (Common Stock)	—	1,500,000		(800,000	)		700,000		6,797,000		—		(233,170	)		(203,000	)
KBL Merger Corp. IV (Common Stock)	—	1,000,000		—			1,000,000		10,200,000		—		—			200,000
Matlin and Partners Acquisition Corp., Class A (Common Stock)	—	2,500,000		(2,100,000	)		400,000		3,864,000		—		(725,946	)		(136,000	)
Modern Media Acquisition Corp. (Common Stock)	—	1,700,000		(250,000	)		1,450,000		14,166,500		—		(65,056	)		(333,500	)
National Energy Services Reunited Corp. (Common Stock)	—	2,090,000		(500,000	)		1,590,000		15,136,800		—		(225,110	)		(763,200	)
Origo Acquisition Corp. (Common Stock)	325,500	—		—			325,500		3,385,200		—		—			—
Stellar Acquisition III, Inc. (Common Stock)	600,000	—		(300,000	)		300,000		3,006,000		—		32,934			(174,000	)
Barington/Hilco Acquisition Corp. (Rights)	487,260	—		—			487,260		194,904		—		—			73,138
Community Health Systems, Inc. (Rights)	7,762,436	—		—			7,762,436		151,368		—		—			116,437
Forum Merger Corp. (Rights)	—	1,500,000		—			1,500,000		547,350		—		—			547,350
Modern Media Acquisition Corp. (Rights)	—	1,700,000		—			1,700,000		680,000		—		—			680,000
Origo Acquisition Corp. (Rights)	325,500	—		—			325,500		76,655		—		—			(37,270	)
Ability, Inc. (Warrants)	1,449,557	—		—			1,449,557		20,294		—		—			(26,092	)
Axar Acquisition Corp. (Warrants)	697,500	—		—			697,500		55,800		—		—			3,488

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

AQR Funds Semi-Annual Report June 2017

11

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

AFFILIATE	SHARES HELD AT 12/31/16	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/17		VALUE AT 06/30/17		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates: (continued)
Barington/Hilco Acquisition Corp. (Warrants)	487,260	—		—			487,260		$ 73,576		$ —		$ —		$ 11,207
Delta Technology Holdings Ltd. (Warrants)	818,832	—		—			818,832		65,507		—		—		20,061
Education Management Corp. (Warrants)	16,528,497	—		—			16,528,497		17		—		—		(149	)
Forum Merger Corp. (Warrants)	—	750,000		—			750,000		255,000		—		—		255,000
Harmony Merger Corp. (Warrants)	1,475,100	—		(100,000	)		1,375,100		1,100,080		—		69,027		546,918
Jason Industries (Warrants)	1,933,070	—		—			1,933,070		174,556		—		—		93,174
Matlin and Partners Acquisition Corp. (Warrants)	—	2,500,000		—			2,500,000		1,250,000		—		—		1,250,000
Modern Media Acquisition Corp. (Warrants)	—	850,000		—			850,000		331,500		—		—		331,500
National Energy Services Reunited Corp. (Warrants)	—	2,090,000		—			2,090,000		1,149,500		—		—		1,149,500
Origo Acquisition Corp. (Warrants)	325,500	—		—			325,500		58,590		—		—		(29,621	)
Rosehill Resources, Inc. (Warrants)	—	500,000		(10,400	)		489,600		533,664		—		17,332		533,664
Stellar Acquisition III, Inc (Warrants)	—	600,000		—			600,000		192,000		—		—		192,000
Total								$63,495,292		$ —		$(1,461,913)		$4,654,630

(c) Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 6/30/2017 amounted to $11,630,880, which represents approximately 2.35% of net assets of the fund.

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

(e) 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 6/30/2017 amounted to $37,812,715, which represents approximately 7.64% of net assets of the fund.

(f) Perpetual security. The rate reflected was the rate in effect on 6/30/2017. The maturity date reflects the next call date.

(g) Variable or floating rate security. The interest rate shown was the current rate as of 6/30/2017 and changes periodically.

(h) Defaulted security.

(i) Payment in-kind security.

(j) Represents 7-day effective yield as of 6/30/2017.

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

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

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

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

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

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

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

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

Abbreviations

ADR - American Depositary Receipt

CVR - Contingent Value Rights

FHLMC - Federal Home Loan Mortgage Corp.

FNMA - Federal National Mortgage Association

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

AQR Funds Semi-Annual Report June 2017

12

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Credit default swap contracts buy protection as of June 30, 2017:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND		CURRENCY	CREDIT SPREAD		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CITG	Markit CDX North America High Yield Index Series 28.V1		5.000%	USD		3.392%		17,450,000		$(1,042,413	)		06/20/2022		$(185,635	)
CITG	Markit CDX North America Investment Grade Index Series 28.V1		1.000%	USD		0.607%		800,000		(13,774	)		06/20/2022		(1,243	)
										$(1,056,187	)				$(186,878	)

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS		COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
	Short Contracts:
	58	BARC	Euro Stoxx 50 Index Futures		09/2017		$(2,350,760	)		$(2,272,855	)		$77,905
	241	BARC	S&P 500 E-Mini Futures		09/2017		(29,262,874	)		(29,171,845	)		91,029
	9	GSCO	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		(1,244,748	)		(1,234,238	)		10,510
	37	BARC	U.S. Treasury 10-Year Note Futures		09/2017		(4,660,330	)		(4,644,656	)		15,674
	193	JPMS	U.S. Treasury 2-Year Note Futures		09/2017		(41,746,082	)		(41,709,110	)		36,972
	75	JPMS	U.S. Treasury 5-Year Note Futures		09/2017		(8,855,156	)		(8,837,696	)		17,460
							$(88,119,950	)		$(87,870,400	)		$249,550

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		13,044,719		9,815,596		10,071,712		256,116

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(7,177,842	)		$(5,337,168	)		$(5,541,947	)		$(204,779	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(10,766,758	)		(8,005,738	)		(8,312,919	)		(307,181	)
							(13,342,906	)		(13,854,866	)		(511,960	)
							$(3,527,310	)		$(3,783,154	)		$(255,844	)

CAD - Canadian Dollar

USD - United States Dollar

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

AQR Funds Semi-Annual Report June 2017

13

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at June 30, 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 (“LIBOR”) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	3-13 months maturity 07/23/2018		$3,501,725

* 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 and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
Jardine Matheson Holdings Ltd.		19,100	$	1,221,359	$	4,784
Israel
Syneron Medical Ltd.		16,601		180,951		830
United States
Allied World Assurance Co. Holdings AG		17,031		901,621		(681	)
Alon USA Energy, Inc.		124,634		1,556,679		103,446
Altaba, Inc.		531,145		26,109,942		2,826,837
Brocade Communications Systems, Inc.		13,409		168,819		268
Genworth Financial, Inc.		51,097		194,169		(1,533	)
Lattice Semiconductor Corp.		12,048		79,999		241
Level 3 Communications, Inc.		18,673		1,110,297		(2,988	)
MoneyGram International, Inc.		111,931		1,931,929		(1,119	)
NeuStar, Inc.		11,968		397,338		1,795
Southwest Bancorp, Inc.		51,781		1,338,539		(15,534	)
WGL Holdings, Inc.		2,803		232,257		1,598
						2,912,330
Total of Long Equity Positions						2,917,944
Private Placements
United States
Penson Technologies LLC, Class B Shares (c)		9,326,216		9		92,041
Total of Long Equity Positions & Private Placements						3,009,985

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Canada
Potash Corp. of Saskatchewan, Inc.		(2	)	$	(33	)	$	—
China
Alibaba Group Holding Ltd., ADR		(30,535	)		(4,163,224	)		(139,158	)
Hong Kong
Jardine Strategic Holdings Ltd.		(24,100	)		(1,009,432	)		4,766
United States
CenturyLink, Inc.		(26,676	)		(661,565	)		24,542
Delek US Holdings, Inc.		(62,816	)		(1,549,671	)		(111,184	)
GoPro, Inc.		(65,480	)		(513,363	)		(18,989	)
Kennedy-Wilson Holdings, Inc.		(18	)		(357	)		14
Praxair, Inc.		(1,734	)		(223,842	)		(6,000	)
Simmons First National Corp.		(20,210	)		(1,102,456	)		33,347
Tesoro Corp.		(4,712	)		(385,677	)		(55,366	)
								(133,636	)
Total of Short Equity Positions								(268,028	)
Total of Long and Short Equity Positions and Private Placements								2,741,957
Net Cash and Other Receivables/ (Payables) (b)								759,768
Swaps, at Value							$	3,501,725

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

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

(c) Security fair valued as of 06/30/2017 in accordance with procedures approved by the Board of Trustees.

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

AQR Funds Semi-Annual Report June 2017

14

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	13 months maturity 06/11/2018		$95,716

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Zodiac Aerospace		78,404	$	2,033,090	$	97,021
Germany
Linde AG		1,126		218,524		(4,186	)
Total of Long Equity Positions						92,835
Net Cash and Other Receivables/ (Payables) (b)						2,881
Swaps, at Value					$	95,716

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	12-13 months maturity ranging from 06/11/2018-07/16/2018		$17,237

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Idorsia Ltd.		2,034	$	520	$	37,873
Net Cash and Other Receivables/ (Payables) (b)						(20,636	)
Swaps, at Value					$	17,237

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

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

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

AQR Funds Semi-Annual Report June 2017

15

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	13 months maturity 07/23/2018		$(30,671	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Japan
Yahoo Japan Corp.		(160,800	)	$	(668,109	)	$	(30,925	)
Net Cash and Other Receivables/ (Payables) (b)								254
Swaps, at Value							$	(30,671	)

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

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

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

AQR Funds Semi-Annual Report June 2017

16

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	25 months maturity ranging from 11/26/2018 - 07/25/2019		$(199,828	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	PRINCIPAL			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Convertible Bond
Germany
Bayer Capital Corp. BV 5.63%, 11/22/2019	$	5,000,000		$	7,408,039		$	(261,274	)
		SHARES
Short Positions
Common Stocks
Germany
Bayer AG (Registered)		(42,703	)		(5,957,793	)		423,048
Total of Long and Short Equity Positions								161,774
Net Cash and Other Receivables/ (Payables) (b)								(361,602	)
Swaps, at Value							$	(199,828	)

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

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

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

AQR Funds Semi-Annual Report June 2017

17

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Sterling Overnight Index Average (“SONIA”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	56-57 months maturity 11/19/2021		$201,039

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Aberdeen Asset Management plc		261,866		$	910,122		$	120,871
Amec Foster Wheeler plc		312,224			2,181,514			(279,614	)
Booker Group plc		1,246,929			3,224,105			(200,232	)
Kennedy Wilson Europe Real Estate plc		25			349			13
Sky plc		310,213			3,965,273			52,339
WS Atkins plc		2,457			66,561			69
								(306,554	)
Total of Long Equity Positions								(306,554	)
Short Positions
Common Stocks
United Kingdom
British American Tobacco plc		(23,456	)		(1,589,078	)		(9,282	)
John Wood Group plc		(234,152	)		(2,325,899	)		369,514

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Standard Life plc		(198,239	)	$	(930,311	)	$	(100,532	)
Tesco plc		(1,073,513	)		(2,613,845	)		250,365
								510,065
Total of Short Equity Positions								510,065
Total of Long and Short Equity Positions								203,511
Net Cash and Other Receivables/ (Payables) (b)								(2,472	)
Swaps, at Value							$	201,039

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

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

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

AQR Funds Semi-Annual Report June 2017

18

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	54-57 months maturity 11/22/2021		$3,205,522

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Agrium, Inc.		9,133	$	838,013	$	(11,568	)
Novadaq Technologies, Inc.		59,240		692,215		2,078
						(9,490	)
Hong Kong
Nord Anglia Education, Inc.		13,573		440,639		1,433
United States
Akorn, Inc.		74,468		2,464,188		33,469
Albany Molecular Research, Inc.		52,750		1,134,853		9,822
Astoria Financial Corp.		79,362		1,624,404		(25,260	)
Atwood Oceanics, Inc.		189,378		1,861,962		(318,531	)
Brocade Communications Systems, Inc.		342,912		4,269,254		54,866
Cabela’s, Inc.		43,744		2,096,576		502,693
Capital Bank Financial Corp.		23,959		919,201		(6,363	)
Care Capital Properties, Inc.		182,583		5,029,158		(154,192	)
CBOE Holdings, Inc.		6,678		538,046		72,323
CR Bard, Inc.		11,412		3,467,928		139,519
CU Bancorp		73,825		2,756,388		(87,615	)
DigitalGlobe, Inc.		52,633		1,695,948		56,731
DuPont Fabros Technology, Inc.		86,899		5,364,240		(49,497	)
EI du Pont de Nemours & Co.		17,304		1,410,340		(13,734	)
Eldorado Resorts, Inc.		1,592		28,349		3,491
FairPoint Communications, Inc.		78,905		1,365,056		(130,193	)
FelCor Lodging Trust, Inc.		285,987		2,070,003		(8,037	)
First Potomac Realty Trust		12,368		137,112		296

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Forestar Group, Inc.		36,273	$	529,683	$	92,399
Gartner, Inc.		44		4,875		560
General Communication, Inc.		8,193		295,434		4,757
Genworth Financial, Inc.		158,985		661,378		(62,004	)
Huntsman Corp.		184,477		4,798,115		(31,229	)
Intrawest Resorts Holdings, Inc.		116,634		2,749,240		19,652
Kate Spade & Co.		267,449		4,922,520		22,612
KCG Holdings, Inc.		70,881		1,399,248		14,119
Lattice Semiconductor Corp.		107,746		757,342		(39,754	)
Level 3 Communications, Inc.		63,062		3,720,776		18,800
Lumos Networks Corp.		88,400		1,566,448		13,260
Mobileye NV		82,200		4,988,240		173,920
Monsanto Co.		21,281		2,399,646		119,174
NeuStar, Inc.		19,448		645,857		2,734
Noble Energy, Inc.		1,535		52,056		(8,616	)
Pacific Continental Corp.		26,125		656,943		10,551
PAREXEL International Corp.		28,493		2,483,450		(7,124	)
Parkway, Inc.		41,011		937,655		1,087
Patheon NV		52,404		1,813,066		14,785
Reynolds American, Inc.		44,593		2,753,172		147,157
Rice Energy, Inc.		197,672		4,861,350		402,655
Spectranetics Corp. (The)		111,387		4,276,413		848
Staples, Inc.		172,333		1,740,313		(4,919	)
Stonegate Bank		33,757		1,563,050		(4,152	)
Straight Path Communications, Inc.		15,707		1,414,036		1,407,727
Swift Transportation Co.		113,795		2,745,419		270,149
Time Warner, Inc.		31,827		3,136,869		58,880
United Bankshares, Inc.		23		1,014		(112	)
VCA, Inc.		25,140		2,298,550		22,123
Veeco Instruments, Inc.		13		409		(46	)
VWR Corp.		61,336		2,020,389		4,313
West Corp.		97,116		2,246,723		18,022
Westar Energy, Inc.		34,211		1,875,789		(61,922	)

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

AQR Funds Semi-Annual Report June 2017

19

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WGL Holdings, Inc.		16,419		$	1,355,717		$	14,120
Whole Foods Market, Inc.		69,747			2,926,522			10,524
Xactly Corp.		10,554			165,509			(339	)
Xcerra Corp.		178,809			1,745,238			1,726
								2,726,225
Total of Long Equity Positions								2,718,168
Short Positions
Common Stocks
Canada
Enbridge, Inc.		(1	)		(41	)		1
Potash Corp. of Saskatchewan, Inc.		(59,966	)		(996,880	)		19,434
								19,435
United States
Analog Devices, Inc.		(233	)		(19,400	)		1,272
AT&T, Inc.		(33,526	)		(1,428,543	)		163,607
Becton Dickinson and Co.		(5,794	)		(1,034,617	)		(95,850	)
CenturyLink, Inc.		(90,090	)		(2,167,069	)		15,720
Columbia Banking System, Inc.		(16,791	)		(675,751	)		6,630
Community Bank System, Inc.		(688	)		(39,952	)		1,582
Consolidated Communications Holdings, Inc.		(57,601	)		(1,404,888	)		168,195
Digital Realty Trust, Inc.		(47,376	)		(5,415,490	)		64,371
Dow Chemical Co. (The)		(22,217	)		(1,423,041	)		21,815
Ensco plc		(303,005	)		(1,886,400	)		322,895
EQT Corp.		(73,139	)		(3,897,071	)		(388,143	)
First Horizon National Corp.		(41,985	)		(743,939	)		12,560

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
FNB Corp.		(1	)	$	(15	)	$	1
Great Plains Energy, Inc.		(5,486	)		(158,354	)		(2,276	)
Home BancShares, Inc.		(18,804	)		(480,237	)		12,017
Knight Transportation, Inc.		(82,016	)		(2,783,169	)		(255,524	)
Liberty Ventures		(5,167	)		(270,090	)		(93	)
PacWest Bancorp		(39,206	)		(1,943,885	)		112,965
Pinnacle Financial Partners, Inc.		(17	)		(1,101	)		34
Praxair, Inc.		(9,260	)		(1,098,249	)		(129,164	)
RLJ Lodging Trust		(103,468	)		(2,118,709	)		62,799
Sabra Health Care REIT, Inc.		(205,135	)		(5,059,292	)		115,538
Sterling Bancorp		(69,447	)		(1,645,858	)		31,215
Tesoro Corp.		(5,001	)		(426,785	)		(41,308	)
UnitedHealth Group, Inc.		(2	)		(332	)		(39	)
								200,819
Total of Short Equity Positions								220,254
Total of Long and Short Equity Positions								2,938,422
Net Cash and Other Receivables/ (Payables) (b)								267,100
Swaps, at Value							$	3,205,522

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

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

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

AQR Funds Semi-Annual Report June 2017

20

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Dollar Offered Rate or Canadian Overnight Repurchase Rate Average plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	54-57 months maturity 11/22/2021		$212,952

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
BCE, Inc.		134		$	6,232		$	(197	)
Veresen, Inc.		412,379			5,805,809			26,263
								26,066
Total of Long Equity Positions								26,066
Short Positions
Common Stocks
Canada
Fairfax Financial Holdings Ltd.		(935	)		(405,580	)		368
MacDonald Dettwiler & Associates Ltd.		(16,479	)		(847,999	)		(9,499	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Canada (continued)
Pembina Pipeline Corp.		(130,353	)	$	(4,276,069	)	$	(41,221	)
								(50,352	)
Total of Short Equity Positions								(50,352	)
Total of Long and Short Equity Positions								(24,286	)
Net Cash and Other Receivables/ (Payables) (b)								237,238
Swaps, at Value							$	212,952

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

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

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

AQR Funds Semi-Annual Report June 2017

21

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR or Euro Overnight Index Average (“EONIA”) plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	54-57 months maturity 11/19/2021		$150,300

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
Linde AG		5,998		$	1,068,572		$	73,166
STADA Arzneimittel AG		18,995			1,333,972			15,261
								88,427
Italy
Luxottica Group SpA		88,503			5,241,852			(90,267	)
Total of Long Equity Positions								(1,840	)
Short Positions
Common Stocks
France
Essilor International SA		(40,802	)		(5,334,548	)		144,013
Total of Long and Short Equity Positions								142,173
Net Cash and Other Receivables/ (Payables) (b)								8,127
Swaps, at Value							$	150,300

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

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

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

AQR Funds Semi-Annual Report June 2017

22

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Australian Bank-Bill Swap Reference Rate or Australian Overnight Indexed Swap Rate (“AOISR”) plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	54-57 months maturity 11/19/2021		$(23,787	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Fairfax Media Ltd.		444,601		$	426,877		$	(50,858	)
Tatts Group Ltd.		260,250			846,770			(10,730	)
Vocus Group Ltd.		147,611			394,341			(12,105	)
								(73,693	)
Total of Long Equity Positions								(73,693	)
Short Positions
Common Stocks
Australia
Tabcorp Holdings Ltd.		(403,736	)		(1,406,733	)		50,796
Total of Long and Short Equity Positions								(22,897	)
Net Cash and Other Receivables/ (Payables) (b)								(890	)
Swaps, at Value							$	(23,787	)

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

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

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

AQR Funds Semi-Annual Report June 2017

23

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	54-55 months maturity 11/19/2021		$66,323

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Idorsia Ltd.		7,061		$	57,907		$	75,375
Short Positions
Common Stocks
Switzerland
Clariant AG (Registered)		(226,994	)		(5,002,337	)		(8,276	)
Total of Long and Short Equity Positions								67,099
Net Cash and Other Receivables/ (Payables) (b)								(776	)
Swaps, at Value							$	66,323

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

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

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

AQR Funds Semi-Annual Report June 2017

24

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	86 months maturity 09/30/2021		$518,907

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United States
Alere, Inc.		129,914	$	4,871,775	$	1,648,609
Analog Devices, Inc.		233		13,172		4,956
Fidelity & Guaranty Life		94,022		2,055,321		864,062
InterOil Corp. (c)		3,867		—		16,345
Monsanto Co.		3,721		397,291		43,126
Westar Energy, Inc.		38,810		2,156,672		(98,965	)
						2,478,133
Total of Long Equity Positions						2,478,133
Rights
United States
Durata Therapeutics, Inc., CVR (c)		89,246		66,934		(39,704	)
Dyax Corp., CVR (c)		50,988		19,885		54,098
Media Gen, Inc., CVR (c)		55,436		—		84,905
Safeway, Inc., PDR CVR (c)		351,185		—		160,938
						260,237
Total Rights						260,237
Total of Long Equity Positions and Rights						2,738,370

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
United States
Great Plains Energy, Inc.		(8,366	)	$	(249,139	)	$	4,183
People’s United Financial, Inc.		(1	)		(15	)		(3	)
								4,180
Total of Short Equity Positions								4,180
Total of Long and Short Equity Positions and Rights								2,742,550
Net Cash and Other Receivables/ (Payables) (b)								(2,223,643	)
Swaps, at Value							$	518,907

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

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

(c) Security fair valued as of 06/30/2017 in accordance with procedures approved by the Board of Trustees.

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

AQR Funds Semi-Annual Report June 2017

25

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	61 months maturity 03/30/2022		$312,020

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Cyprus
Bank of Cyprus Holdings plc		633,806	$	2,048,792	$	299,351
Net Cash and Other Receivables/ (Payables) (b)						12,669
Swaps, at Value					$	312,020

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	86 months maturity 09/30/2021		$957

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Canada
BCE, Inc.		(416	)	$	(19,908	)	$	1,174
Net Cash and Other Receivables/ (Payables) (b)								(217	)
Swaps, at Value							$	957

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

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

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

AQR Funds Semi-Annual Report June 2017

26

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	36 months maturity 08/21/2017		$3,185

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Entertainment One Ltd.		122,588	$	346,021	$	6,021
Net Cash and Other Receivables/ (Payables) (b)						(2,836	)
Swaps, at Value					$	3,185

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	85 months maturity 11/10/2021		$623,644

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Convertible Bond
United Kingdom
Virgin Media Finance plc, 4.88%, 2/15/2022	$	5,600,000	$	4,747,400	$	621,292
Net Cash and Other Receivables/ (Payables) (b)						2,352
Swaps, at Value					$	623,644

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

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

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

AQR Funds Semi-Annual Report June 2017

27

Schedule of Investments June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	37 months maturity 10/22/2017		$(305,645	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Japan
Yahoo Japan Corp.		(1,039,582	)	$	(4,289,495	)	$	(229,803	)
Net Cash and Other Receivables/ (Payables) (b)								(75,842	)
Swaps, at Value							$	(305,645	)

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

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

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Cash		$(180,000	)		$—		$(180,000	)
Investment Companies		940,000			—		940,000
BARC
Cash		—			1,086,752		1,086,752
CITG
Cash		—			1,826,807		1,826,807
CITI
Investment Companies		50,573			—		50,573
DTBK
Investment Companies		14,492,650			—		14,492,650
GSIN
Cash		(3,770,000	)		—		(3,770,000	)
Investment Companies		16,277,723			—		16,277,723
JPMC
Investment Companies		430,000			—		430,000
JPMS
Cash		—			129,228		129,228

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

AQR Funds Semi-Annual Report June 2017

28

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 111.4%
COMMON STOCKS - 31.2%
Belgium - 1.3%
Ageas (a)		112,554	$	4,532,681
bpost SA (a)		107,277		2,590,995
Colruyt SA (a)		5,243		276,142
Galapagos NV *(a)		35,660		2,726,080
KBC Group NV		5,590		423,828
Proximus SADP (a)		42,899		1,501,440
Solvay SA (a)		27,932		3,748,788
UCB SA (a)		19,269		1,325,251
Umicore SA (a)		40,834		2,840,457
				19,965,662
Canada - 3.5%
Air Canada(1) *(a)		422,984		5,668,925
Alimentation Couche-Tard, Inc., Class B (1)(a)		49,890		2,391,396
ARC Resources Ltd. (1)		19,027		248,842
Atco Ltd., Class I (1)(a)		21,031		822,395
Bank of Montreal (1)(a)		18,439		1,353,919
Bank of Nova Scotia (The) (1)(a)		58,920		3,544,378
CAE, Inc. (1)(a)		26,331		454,011
Canadian Imperial Bank of Commerce (1)(a)		4,343		352,952
Canadian Natural Resources Ltd. (1)(a)		21,948		633,324
Canadian Tire Corp. Ltd., Class A (1)(a)		32,004		3,641,664
CCL Industries, Inc., Class B (1)(a)		6,430		325,318
CGI Group, Inc., Class A (1)*(a)		6,403		327,161
Constellation Software, Inc. (1)(a)		2,455		1,284,313
Dollarama, Inc. (1)(a)		54,196		5,178,460
Empire Co. Ltd., Class A (1)(a)		24,012		409,582
Encana Corp. (1)(a)		223,875		1,969,782
George Weston Ltd. (1)(a)		23,572		2,133,804
Husky Energy, Inc. (1)*		29,066		329,929
Industrial Alliance Insurance & Financial Services, Inc. (1)(a)		26,298		1,140,905
Linamar Corp. (1)(a)		54,981		2,710,044
Lundin Mining Corp. (1)(a)		49,273		280,029
Magna International, Inc. (1)(a)		88,271		4,088,864
Metro, Inc. (1)(a)		44,286		1,457,531
National Bank of Canada (1)(a)		65,257		2,744,035
Open Text Corp. (1)(a)		40,329		1,272,876
Ritchie Bros Auctioneers, Inc. (1)(a)		9,156		263,073
Royal Bank of Canada (1)(a)		37,945		2,755,168
Saputo, Inc. (1)(a)		73,030		2,323,016
Seven Generations Energy Ltd., Class A (1)*(a)		17,946		307,357
Shaw Communications, Inc., Class B (1)(a)		31,077		677,952
Shopify, Inc., Class A (1)*(a)		3,046		264,481
SNC-Lavalin Group, Inc. (1)(a)		6,562		283,723
Suncor Energy, Inc. (1)		32,035		936,001
Toronto-Dominion Bank (The) (1)(a)		23,636		1,191,095
West Fraser Timber Co. Ltd. (1)(a)		11,169		528,650
				54,294,955

INVESTMENTS	SHARES		VALUE
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd.		3,295,800	$	2,847,995
Denmark - 2.1%
Danske Bank A/S (a)		35,953		1,383,223
Genmab A/S *		1,432		305,331
GN Store Nord A/S (a)		70,437		2,056,689
H Lundbeck A/S (a)		91,377		5,129,648
ISS A/S (a)		76,385		3,000,491
Novo Nordisk A/S, Class B		19,675		845,381
TDC A/S (a)		855,223		4,973,456
Vestas Wind Systems A/S (a)		157,780		14,573,719
William Demant Holding A/S *		17,054		441,255
				32,709,193
Finland - 1.5%
Cargotec OYJ, Class B (a)		30,971		1,964,670
Fortum OYJ (a)		28,489		447,096
Huhtamaki OYJ (a)		7,824		308,114
Kesko OYJ, Class B (a)		47,213		2,401,625
Neste OYJ (a)		202,049		7,973,051
Nokian Renkaat OYJ (a)		17,791		736,432
Orion OYJ, Class B (a)		58,441		3,733,259
Stora Enso OYJ, Class R (a)		98,865		1,277,539
UPM-Kymmene OYJ (a)		183,960		5,245,568
				24,087,354
Germany - 5.9%
Allianz SE (Registered) (a)		19,433		3,834,950
Aurubis AG (a)		31,634		2,488,531
Bayer AG (Registered)		7,935		1,028,457
Beiersdorf AG (a)		9,174		964,936
Brenntag AG��(a)		8,765		508,319
Covestro AG(a)(b)		150,473		10,908,397
Deutsche Lufthansa AG (Registered) (a)		312,540		7,122,646
Deutsche Post AG (Registered) (a)		92,980		3,490,307
Evonik Industries AG (a)		83,904		2,685,412
Freenet AG (a)		58,470		1,865,345
Hannover Rueck SE (a)		6,007		721,522
HeidelbergCement AG (a)		17,140		1,661,532
Hella KGaA Hueck & Co. (a)		18,994		936,715
Henkel AG & Co. KGaA (Preference) (a)		2,023		278,959
HOCHTIEF AG (a)		30,199		5,543,899
Infineon Technologies AG (a)		283,404		6,019,664
Innogy SE(a)(b)		12,826		504,786
KION Group AG (a)		7,441		569,181
LANXESS AG (a)		3,748		284,249
Merck KGaA		3,522		426,158
MTU Aero Engines AG (a)		8,516		1,203,198
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (a)		19,724		3,991,209
OSRAM Licht AG (a)		77,654		6,198,503
Rheinmetall AG (a)		76,083		7,241,858
RWE AG *(a)		45,136		901,628
Salzgitter AG (a)		48,657		1,985,724
Siemens AG (Registered) (a)		34,037		4,681,925
Software AG (a)		105,874		4,643,650

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

AQR Funds Semi-Annual Report June 2017

29

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
Germany - 5.9% (continued)
STADA Arzneimittel AG *(a)		28,173	$	2,001,156
Suedzucker AG (a)		119,257		2,489,769
Talanx AG (a)		73,181		2,737,399
Uniper SE (a)		165,776		3,114,979
				93,034,963
Italy - 3.7%
A2A SpA (a)		4,336,773		7,210,969
Assicurazioni Generali SpA (a)		302,711		4,996,601
Autogrill SpA (a)		164,447		1,993,272
Davide Campari-Milano SpA		191,088		1,350,931
DiaSorin SpA (a)		11,553		888,092
Enel SpA (a)		2,496,927		13,392,262
Eni SpA (a)		163,333		2,454,548
Hera SpA (a)		558,801		1,708,387
Italgas SpA		75,564		381,080
Leonardo SpA (a)		305,980		5,094,497
Mediobanca SpA (a)		130,146		1,287,539
Moncler SpA (a)		182,481		4,280,737
Poste Italiane SpA (a)(b)		192,888		1,322,632
Prysmian SpA (a)		116,793		3,444,640
Recordati SpA (a)		105,200		4,266,077
Terna Rete Elettrica Nazionale SpA (a)		115,035		621,319
Unipol Gruppo Finanziario SpA (a)		647,172		2,839,530
				57,533,113
Malta - 0.1%
Kindred Group plc, SDR		98,469		1,114,812
Netherlands - 2.0%
Aalberts Industries NV (a)		6,397		254,551
ABN AMRO Group NV, CVA (a)(b)		48,648		1,288,776
ASM International NV (a)		52,537		3,055,226
Axfood AB (a)		16,905		282,268
Gemalto NV (a)		27,027		1,620,999
Koninklijke DSM NV (a)		47,920		3,485,344
Koninklijke Philips NV (a)		147,408		5,247,532
NN Group NV (a)		207,354		7,357,553
Philips Lighting NV (a)(b)		28,230		1,042,742
Randstad Holding NV (a)		50,900		2,967,527
Wolters Kluwer NV (a)		98,272		4,156,215
				30,758,733
Norway - 0.4%
Leroy Seafood Group ASA (a)		233,443		1,267,763
Marine Harvest ASA *(a)		270,068		4,620,650
Orkla ASA (a)		28,954		294,289
Salmar ASA (a)		41,528		1,029,364
				7,212,066
Portugal - 0.2%
EDP - Energias de Portugal SA (a)		327,714		1,072,025
Galp Energia SGPS SA (a)		107,202		1,624,514
				2,696,539
Singapore - 0.4%
ComfortDelGro Corp. Ltd.		172,500		288,128
Genting Singapore plc		3,664,900		2,887,449
SATS Ltd.		288,700		1,070,983

INVESTMENTS	SHARES		VALUE
Singapore - 0.4% (continued)
Singapore Airlines Ltd.		41,000	$	301,319
StarHub Ltd.		106,600		210,608
United Overseas Bank Ltd.		49,900		837,753
Wilmar International Ltd.		376,800		916,509
				6,512,749
Spain - 2.4%
ACS Actividades de Construccion y Servicios SA (a)		51,518		1,991,886
Aena SA (a)(b)		14,645		2,859,794
Almirall SA (a)		15,628		254,571
Amadeus IT Group SA (a)		23,122		1,382,135
Banco Bilbao Vizcaya Argentaria SA		24,571		204,675
Banco Santander SA (a)		42,904		284,877
Bankinter SA (a)		56,285		519,226
Ebro Foods SA (a)		45,236		1,034,495
Endesa SA (a)		302,764		6,984,339
Gas Natural SDG SA (a)		61,894		1,448,844
Iberdrola SA (a)		600,768		4,760,740
Mapfre SA (a)		901,148		3,154,209
Prosegur Cia de Seguridad SA (a)		127,448		828,873
Repsol SA (a)		590,955		9,059,978
Tecnicas Reunidas SA (a)		32,877		1,273,965
Telefonica SA		102,714		1,063,256
				37,105,863
Sweden - 2.1%
BillerudKorsnas AB (a)		181,589		2,869,855
Boliden AB (a)		229,415		6,271,045
Bonava AB, Class B (a)		21,962		375,479
Electrolux AB, Series B (a)		111,567		3,658,422
Essity AB, Class B *		51,175		1,400,149
Holmen AB, Class B (a)		27,901		1,210,976
Husqvarna AB, Class B (a)		155,158		1,542,301
NCC AB, Class B (a)		139,819		3,938,372
Nibe Industrier AB, Class B (a)		25,102		237,108
Saab AB, Class B (a)		65,265		3,225,549
Sandvik AB		42,523		669,492
Securitas AB, Class B (a)		66,692		1,124,860
Skanska AB, Class B (a)		78,816		1,871,561
SSAB AB, Class A *(a)		165,488		755,261
Svenska Cellulosa AB SCA, Class B (a)		74,226		561,520
Swedish Match AB (a)		82,726		2,914,504
				32,626,454
Switzerland - 4.7%
ABB Ltd. (Registered) (a)		258,313		6,411,616
Adecco Group AG (Registered) (a)		95,459		7,272,277
Baloise Holding AG (Registered) (a)		1,859		287,959
dormakaba Holding AG *(a)		770		670,139
Flughafen Zurich AG (Registered) (a)		9,619		2,362,429
Geberit AG (Registered) (a)		5,353		2,499,639
Georg Fischer AG (Registered) (a)		2,929		2,841,069
Helvetia Holding AG (Registered) (a)		969		555,727
Idorsia Ltd. *		12,516		236,249
LafargeHolcim Ltd. (Registered) *(a)		11,503		661,113
Lonza Group AG (Registered) *(a)		10,745		2,327,541
Nestle SA (Registered)		41,099		3,584,559

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

AQR Funds Semi-Annual Report June 2017

30

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
Switzerland - 4.7% (continued)
Partners Group Holding AG (a)		3,835	$	2,381,192
Roche Holding AG (a)		15,242		3,894,558
Sika AG (a)		806		5,174,623
STMicroelectronics NV (a)		509,167		7,334,203
Straumann Holding AG (Registered) (a)		6,414		3,652,586
Swiss Life Holding AG (Registered) *(a)		8,725		2,951,424
Swiss Re AG (a)		84,753		7,767,000
Temenos Group AG (Registered) (a)		57,722		5,163,987
Zurich Insurance Group AG (a)		17,444		5,091,014
				73,120,904
United Kingdom - 0.7%
Dialog Semiconductor plc *(a)		107,929		4,611,298
Fiat Chrysler Automobiles NV *(a)		638,700		6,747,593
				11,358,891
TOTAL COMMON STOCKS (Cost $415,397,824)				486,980,246
	NO. OF RIGHTS
RIGHT - 0.0% (c)
Spain - 0.0% (c)
ACS Actividades de Construccion y Servicios SA, expiring 7/11/2017 * (cost $42,799)		51,518		41,189
	SHARES
SHORT-TERM INVESTMENTS - 80.2%
INVESTMENT COMPANIES - 56.5%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (d)		13,787,500		13,787,500
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (d)		55,150,000		55,150,000
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (d)(e)		300,991,235		300,991,235
Limited Purpose Cash Investment Fund, 0.81% (d)(f)		441,895,815		441,851,625
UBS Select Treasury Preferred Fund, Class I, 0.85% (d)		68,937,500		68,937,500
TOTAL INVESTMENT COMPANIES (Cost $880,752,846)				880,717,860
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 23.7%
U.S. Treasury Bills
0.63%, 7/6/2017 (g)	$	14,142,000		14,141,109
0.59%, 7/13/2017 (g)		25,516,000		25,510,514
0.61%, 7/20/2017 (g)		88,486,000		88,453,349
0.63%, 8/3/2017 (g)		1,581,000		1,579,840
0.62%, 8/10/2017 (g)		15,908,000		15,893,365
0.65%, 8/17/2017 (g)		3,645,000		3,640,881
0.67%, 8/24/2017 (g)		6,181,000		6,172,804
0.67%, 8/31/2017 (g)		5,720,000		5,711,351
0.83%, 9/7/2017 (g)		13,305,000		13,281,823

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 23.7% (continued)
0.91%, 9/14/2017 (g)	$	7,575,000		$	7,560,448
0.89%, 9/21/2017 (g)		8,007,000			7,989,681
0.91%, 9/28/2017 (g)		5,338,000			5,324,970
0.91%, 10/5/2017 (g)		5,729,000			5,713,818
0.95%, 10/12/2017 (g)		38,405,000			38,293,779
0.95%, 10/19/2017 (g)		43,663,000			43,527,994
0.96%, 10/26/2017 (g)		1,387,000			1,382,391
0.98%, 11/2/2017 (g)		1,890,000			1,883,321
1.02%, 11/9/2017 (g)		14,242,000			14,188,393
1.03%, 11/16/2017 (g)		14,630,000			14,571,831
1.06%, 11/30/2017 (g)		4,908,000			4,886,410
1.07%, 12/7/2017 (g)		7,998,000			7,960,681
1.11%, 12/14/2017 (g)		19,484,000			19,389,249
1.13%, 12/21/2017 (g)		17,904,000			17,812,636
1.12%, 12/28/2017 (g)		3,705,000			3,684,460
TOTAL U.S. TREASURY OBLIGATIONS (Cost $368,583,290)					368,555,098
TOTAL SHORT-TERM INVESTMENTS (Cost $1,249,336,136)					1,249,272,958
TOTAL LONG POSITIONS (Cost $1,664,776,759)					1,736,294,393
	SHARES
SHORT POSITIONS - (26.4)%
COMMON STOCKS - (26.4)%
Austria - (0.3)%
ams AG *		(77,508	)		(5,029,645	)
Belgium - (1.2)%
Anheuser-Busch InBev SA/NV		(150,247	)		(16,594,561	)
Telenet Group Holding NV *		(44,617	)		(2,810,645	)
					(19,405,206	)
Canada - (3.1)%
AltaGas Ltd. (1)		(47,831	)		(1,094,713	)
Barrick Gold Corp. (1)		(91,814	)		(1,460,613	)
BlackBerry Ltd. (1)*		(207,508	)		(2,073,800	)
Bombardier, Inc., Class B (1)*		(1,295,697	)		(2,357,993	)
Cameco Corp. (1)		(312,115	)		(2,842,441	)
Canadian Utilities Ltd., Class A (1)		(81,561	)		(2,620,795	)
Cenovus Energy, Inc. (1)		(98,936	)		(729,355	)
Eldorado Gold Corp. (1)		(313,900	)		(832,677	)
Element Fleet Management Corp. (1)		(64,663	)		(443,785	)
Enbridge, Inc. (1)		(124,167	)		(4,946,381	)
Fairfax Financial Holdings Ltd. (1)		(6,885	)		(2,983,836	)
Finning International, Inc. (1)		(12,019	)		(235,598	)
Franco-Nevada Corp. (1)		(33,429	)		(2,412,054	)
Gildan Activewear, Inc. (1)		(64,102	)		(1,969,822	)
Goldcorp, Inc. (1)		(148,513	)		(1,914,819	)
Imperial Oil Ltd. (1)		(45,260	)		(1,319,269	)
Keyera Corp. (1)		(52,462	)		(1,651,372	)
Kinross Gold Corp. (1)*		(256,867	)		(1,043,869	)
Methanex Corp. (1)		(40,815	)		(1,801,865	)
Onex Corp. (1)		(3,559	)		(284,901	)
Pembina Pipeline Corp. (1)		(8,073	)		(267,378	)
Potash Corp. of Saskatchewan, Inc. (1)		(100,608	)		(1,640,854	)
Power Financial Corp. (1)		(11,461	)		(294,037	)

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

AQR Funds Semi-Annual Report June 2017

31

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES			VALUE
Canada - (3.1)% (continued)
PrairieSky Royalty Ltd. (1)		(29,891	)	$	(680,661	)
Restaurant Brands International, Inc. (1)		(3,384	)		(211,735	)
Stantec, Inc. (1)		(41,187	)		(1,036,980	)
TransCanada Corp. (1)		(82,333	)		(3,924,912	)
Wheaton Precious Metals Corp. (1)		(104,601	)		(2,077,824	)
Whitecap Resources, Inc. (1)		(34,154	)		(243,882	)
WSP Global, Inc. (1)		(46,988	)		(1,949,741	)
Yamana Gold, Inc. (1)		(127,278	)		(307,202	)
					(47,655,164	)
Denmark - (1.4)%
AP Moller - Maersk A/S, Class B		(555	)		(1,117,499	)
Chr Hansen Holding A/S		(45,525	)		(3,310,887	)
Coloplast A/S, Class B		(33,749	)		(2,820,923	)
DONG Energy A/S(b)		(10,596	)		(478,262	)
DSV A/S		(31,641	)		(1,943,521	)
Novozymes A/S, Class B		(161,964	)		(7,085,783	)
Pandora A/S		(47,271	)		(4,411,549	)
Tryg A/S		(54,690	)		(1,196,018	)
					(22,364,442	)
Finland - (0.8)%
Amer Sports OYJ *		(42,443	)		(1,061,584	)
Kone OYJ, Class B		(32,912	)		(1,674,402	)
Nokia OYJ		(1,350,111	)		(8,278,514	)
Outokumpu OYJ		(62,050	)		(495,139	)
Sampo OYJ, Class A		(7,369	)		(378,071	)
Wartsila OYJ Abp		(5,334	)		(315,439	)
					(12,203,149	)
Germany - (4.7)%
Axel Springer SE		(35,584	)		(2,140,415	)
Bayerische Motoren Werke AG		(62,387	)		(5,802,445	)
Bilfinger SE		(44,696	)		(1,754,371	)
Commerzbank AG *		(227,035	)		(2,711,010	)
Daimler AG (Registered)		(19,709	)		(1,429,468	)
Deutsche Bank AG (Registered)		(233,947	)		(4,159,529	)
Deutsche Telekom AG (Registered)		(114,349	)		(2,061,138	)
Duerr AG		(18,257	)		(2,172,805	)
E.ON SE		(835,607	)		(7,888,104	)
Fielmann AG		(5,768	)		(445,180	)
FUCHS PETROLUB SE (Preference)		(7,111	)		(387,571	)
GEA Group AG		(120,009	)		(4,927,700	)
HUGO BOSS AG		(10,638	)		(745,749	)
Krones AG		(3,467	)		(401,901	)
MAN SE		(7,400	)		(793,609	)
METRO AG		(14,173	)		(478,794	)
Nordex SE *		(18,609	)		(228,948	)
ProSiebenSat.1 Media SE		(95,972	)		(4,025,975	)
Sartorius AG (Preference)		(15,836	)		(1,531,274	)
Schaeffler AG (Preference)		(16,580	)		(237,866	)
Symrise AG		(39,145	)		(2,777,349	)
Telefonica Deutschland Holding AG		(638,919	)		(3,195,231	)
thyssenkrupp AG		(159,430	)		(4,543,751	)
United Internet AG (Registered)		(101,181	)		(5,568,400	)
Volkswagen AG (Preference)		(47,879	)		(7,313,793	)
Zalando SE*(b)		(119,949	)		(5,484,910	)
					(73,207,286	)

INVESTMENTS	SHARES			VALUE
Hong Kong - 0.0% (c)
Hutchison Port Holdings Trust, Class U (1)		(1,010,300	)	$	(409,172	)
Italy - (2.5)%
Azimut Holding SpA		(196,666	)		(3,956,498	)
Banca Generali SpA		(73,903	)		(2,205,284	)
Banco BPM SpA *		(1,642,370	)		(5,515,913	)
BPER Banca		(122,715	)		(614,645	)
Brembo SpA		(28,340	)		(415,266	)
Fineco Bank Banca Fineco SpA		(179,260	)		(1,413,015	)
Luxottica Group SpA		(35,897	)		(2,089,494	)
Mediaset SpA *		(633,703	)		(2,496,615	)
Saipem SpA *		(863,296	)		(3,196,952	)
Salvatore Ferragamo SpA		(128,375	)		(3,427,553	)
Snam SpA		(231,565	)		(1,010,586	)
Telecom Italia SpA *		(683,315	)		(632,184	)
UniCredit SpA *		(444,274	)		(8,321,810	)
UnipolSai Assicurazioni SpA		(212,294	)		(465,742	)
Yoox Net-A-Porter Group SpA *		(138,888	)		(3,848,493	)
					(39,610,050	)
Luxembourg - (0.9)%
APERAM SA		(10,301	)		(478,335	)
ArcelorMittal *		(116,843	)		(2,650,361	)
Tenaris SA		(686,592	)		(10,720,267	)
					(13,848,963	)
Netherlands - (1.6)%
Altice NV, Class A *		(586,372	)		(13,509,653	)
Boskalis Westminster		(14,039	)		(455,930	)
Heineken NV		(13,764	)		(1,338,338	)
Koninklijke KPN NV		(836,883	)		(2,678,498	)
Koninklijke Vopak NV		(22,346	)		(1,035,488	)
OCI NV *		(54,356	)		(1,196,858	)
SBM Offshore NV		(252,176	)		(4,039,520	)
					(24,254,285	)
Norway - (0.4)%
Gjensidige Forsikring ASA		(28,299	)		(483,061	)
Norsk Hydro ASA		(37,828	)		(209,340	)
Schibsted ASA, Class A		(125,553	)		(3,032,466	)
Statoil ASA		(129,707	)		(2,150,820	)
Telenor ASA		(30,861	)		(511,992	)
Yara International ASA		(6,868	)		(258,252	)
					(6,645,931	)
Portugal - (0.1)%
Banco Comercial Portugues SA, Class R *		(6,232,954	)		(1,677,272	)
Jeronimo Martins SGPS SA		(15,146	)		(295,707	)
					(1,972,979	)
Singapore - (0.6)%
CapitaLand Ltd.		(501,700	)		(1,274,829	)
Global Logistic Properties Ltd.		(399,900	)		(830,778	)
Jardine Cycle & Carriage Ltd.		(8,200	)		(264,012	)
Keppel Corp. Ltd.		(614,100	)		(2,804,400	)
Singapore Post Ltd.		(2,343,200	)		(2,263,544	)
Singapore Press Holdings Ltd.		(130,400	)		(305,954	)

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

AQR Funds Semi-Annual Report June 2017

32

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES			VALUE
Singapore - (0.6)% (continued)
Singapore Telecommunications Ltd.		(215,100	)	$	(607,460	)
UOL Group Ltd.		(112,407	)		(623,681	)
					(8,974,658	)
Spain - (2.4)%
Acciona SA		(3,189	)		(280,769	)
Acerinox SA *		(62,509	)		(857,218	)
Atresmedia Corp. de Medios de Comunicacion SA		(45,778	)		(536,053	)
Banco de Sabadell SA		(369,856	)		(752,493	)
Bankia SA		(943,043	)		(4,561,264	)
CaixaBank SA		(239,291	)		(1,143,901	)
Cellnex Telecom SA (b)		(448,438	)		(9,267,637	)
Enagas SA		(48,897	)		(1,372,261	)
Ferrovial SA		(306,699	)		(6,812,761	)
Grifols SA		(75,502	)		(2,105,080	)
Industria de Diseno Textil SA		(228,853	)		(8,789,101	)
Mediaset Espana Comunicacion SA		(21,858	)		(272,210	)
Red Electrica Corp. SA		(16,160	)		(338,074	)
Zardoya Otis SA		(3,514	)		(36,395	)
					(37,125,217	)
Sweden - (2.2)%
Alfa Laval AB		(64,004	)		(1,310,003	)
Assa Abloy AB, Class B		(143,358	)		(3,159,822	)
Atlas Copco AB, Class A		(7,422	)		(285,389	)
Elekta AB, Class B		(120,825	)		(1,143,457	)
Getinge AB, Class B		(77,356	)		(1,515,115	)
Hennes & Mauritz AB, Class B		(324,605	)		(8,093,064	)
Hexagon AB, Class B		(74,310	)		(3,530,443	)
Hexpol AB		(122,139	)		(1,333,500	)
Modern Times Group MTG AB, Class B		(6,815	)		(234,577	)
Svenska Handelsbanken AB, Class A		(397,624	)		(5,694,821	)
Swedbank AB, Class A		(28,123	)		(686,366	)
Swedish Orphan Biovitrum AB *		(19,037	)		(294,058	)
Tele2 AB, Class B		(94,301	)		(988,244	)
Telefonaktiebolaget LM Ericsson, Class B		(784,518	)		(5,640,786	)
					(33,909,645	)
Switzerland - (3.1)%
Aryzta AG *		(164,604	)		(5,428,682	)
Barry Callebaut AG (Registered) *		(469	)		(645,587	)
Chocola de fabriken Lindt & Spruengli AG		(837	)		(4,852,426	)
Cie Financiere Richemont SA (Registered)		(34,154	)		(2,826,204	)
Credit Suisse Group AG (Registered) *		(1,073,183	)		(15,615,876	)
Dufry AG (Registered) *		(7,554	)		(1,239,689	)
EMS-Chemie Holding AG (Registered)		(408	)		(301,271	)
GAM Holding AG *		(97,825	)		(1,315,242	)
Givaudan SA (Registered)		(677	)		(1,356,572	)
Julius Baer Group Ltd. *		(7,109	)		(375,613	)
OC Oerlikon Corp. AG (Registered) *		(187,236	)		(2,464,145	)
Swatch Group AG (The)		(15,243	)		(5,637,842	)
Vifor Pharma AG		(48,981	)		(5,410,329	)
					(47,469,478	)

INVESTMENTS	SHARES			VALUE
United Kingdom - (0.5)%
CNH Industrial NV		(105,406	)	$	(1,195,383	)
Subsea 7 SA		(37,433	)		(504,725	)
Unilever NV, CVA		(98,913	)		(5,460,176	)
					(7,160,284	)
United States - (0.5)%
QIAGEN NV *		(95,051	)		(3,162,702	)
Valeant Pharmaceuticals International, Inc. (1)*		(297,828	)		(5,176,622	)
					(8,339,324	)
Zambia - (0.1)%
First Quantum Minerals Ltd. (1)		(139,818	)		(1,182,760	)
TOTAL COMMON STOCKS (proceeds $(383,766,007))					(410,767,638	)
TOTAL SHORT POSITIONS (proceeds $(383,766,007))					(410,767,638	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 85.0% (cost $1,281,010,752)					1,325,526,755
OTHER ASSETS IN EXCESS OF LIABILITIES - 15.0% (h)				232,635,617
NET ASSETS - 100.0%				$	1,558,162,372

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(54,539,185	)		(3.5	)%
Consumer Staples		(710,508	)		0.0	(c)
Energy		(14,919,694	)		(1.0	)
Financials		6,584,948			0.4
Health Care		12,378,781			0.8
Industrials		87,617,113			5.7
Information Technology		6,858,406			0.4
Materials		14,276,656			0.9
Real Estate		(2,729,288	)		(0.2	)
Telecommunication Services		(10,328,278	)		(0.7	)
Utilities		31,764,846			2.0
Short-Term Investments		1,249,272,958			80.2
Total Investments In Securities At Value		1,325,526,755			85.0
Other Assets in Excess of Liabilities (h)		232,635,617			15.0
Net Assets	$	1,558,162,372			100.0	%

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

AQR Funds Semi-Annual Report June 2017

33

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

* 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 $444,859,065. In addition, $866 of cash collateral was pledged.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 6/30/2017 amounted to $2,696,318, which represents approximately 0.17% of net assets of the fund.

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

(d) Represents 7-day effective yield as of 6/30/2017.

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

(f) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/16	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/17		VALUE AT 06/30/17		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates
Limited Purpose Cash Investment Fund (Short-Term Investment)	—	486,701,761		(44,805,946	)		441,895,815		$441,851,625		$610,527		$(2,600	)		$(34,986	)

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

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

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

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

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

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

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		442,400		$328,305		$341,572		$13,267
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		663,600		492,457		512,359		19,902
Swiss Franc, Expiring 09/20/17	CITI	CHF		22,400		23,385		23,477		92
Swiss Franc, Expiring 09/20/17	JPMC	CHF		33,600		35,078		35,217		139
Danish Krone, Expiring 09/20/17	CITI	DKK		369,200		55,850		56,960		1,110
Danish Krone, Expiring 09/20/17	JPMC	DKK		553,800		83,774		85,439		1,665

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

AQR Funds Semi-Annual Report June 2017

34

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 09/20/17	CITI	EUR		1,173,200			$ 1,322,307			$ 1,345,514			$ 23,207
Euro, Expiring 09/20/17	JPMC	EUR		1,759,800			1,983,463			2,018,269			34,806
Norwegian Krone, Expiring 09/20/17	CITI	NOK		3,440,800			407,735			412,768			5,033
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		5,161,200			611,604			619,151			7,547
Swedish Krona, Expiring 09/20/17	CITI	SEK		12,245,200			1,409,837			1,459,977			50,140
Swedish Krona, Expiring 09/20/17	JPMC	SEK		18,367,800			2,114,752			2,189,965			75,213
Singapore Dollar, Expiring 09/20/17	CITI	SGD		958,000			693,035			696,697			3,662
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		1,437,000			1,039,553			1,045,046			5,493
							10,601,135			10,842,411			241,276
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(1,117,718	)		$(835,921	)		$(862,979	)		$(27,058	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(1,676,576	)		(1,253,879	)		(1,294,470	)		(40,591	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		(5,892,400	)		(6,121,007	)		(6,175,891	)		(54,884	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(8,838,600	)		(9,181,497	)		(9,263,841	)		(82,344	)
Danish Krone, Expiring 09/20/17	CITI	DKK		(22,061,600	)		(3,341,288	)		(3,403,649	)		(62,361	)
Danish Krone, Expiring 09/20/17	JPMC	DKK		(33,092,400	)		(5,011,925	)		(5,105,474	)		(93,549	)
Euro, Expiring 09/20/17	CITI	EUR		(19,411,600	)		(21,855,774	)		(22,262,680	)		(406,906	)
Euro, Expiring 09/20/17	JPMC	EUR		(29,117,400	)		(32,783,620	)		(33,394,022	)		(610,402	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(160,000	)		(20,585	)		(20,537	)		48
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(240,000	)		(30,877	)		(30,807	)		70
Norwegian Krone, Expiring 09/20/17	CITI	NOK		(1,321,200	)		(156,178	)		(158,495	)		(2,317	)
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		(1,981,800	)		(234,267	)		(237,742	)		(3,475	)
Swedish Krona, Expiring 09/20/17	CITI	SEK		(4,891,200	)		(568,404	)		(583,172	)		(14,768	)
Swedish Krona, Expiring 09/20/17	JPMC	SEK		(7,336,800	)		(852,605	)		(874,755	)		(22,150	)
Singapore Dollar, Expiring 09/20/17	CITI	SGD		(267,200	)		(193,339	)		(194,318	)		(979	)

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

AQR Funds Semi-Annual Report June 2017

35

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		(400,800	)		$ (290,007	)		$ (291,479	)		$ (1,472	)
							(82,731,173	)		(84,154,311	)		(1,423,138	)
							$(72,130,038	)		$(73,311,900	)		$(1,181,862	)

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

Total Return Basket Swaps* Outstanding at June 30, 2017

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the SONIA plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	3-37 months maturity 10/12/2017		$(698,632	)

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		20,869	$	300,459	$	3,766
Isle of Man
Paysafe Group plc		174,082		1,066,430		92,160
Luxembourg
B&M European Value Retail SA		66,252		305,157		(12,661	)
South Africa
Investec plc		276,156		1,988,758		74,673
Mondi plc		121,591		3,086,936		101,397
						176,070

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
Coca-Cola HBC AG		89,724	$	2,439,908	$	198,786
IWG plc		69,504		287,742		5,278
Wolseley plc		4,242		273,709		(13,344	)
						190,720
United Kingdom
Amec Foster Wheeler plc		65,801		477,779		(76,955	)
Ashtead Group plc		208,709		4,399,085		(80,348	)
ASOS plc		39,502		2,853,710		103,015
Barclays plc		1,337,649		3,590,809		(53,031	)
Barratt Developments plc		1,170,327		8,578,132		17,068
Bellway plc		125,017		4,487,365		363,924
Berendsen plc		23,117		258,886		111,721
Berkeley Group Holdings plc		45,452		1,896,886		14,350

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

AQR Funds Semi-Annual Report June 2017

36

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Britvic plc		32,714	$	287,702	$	7,156
BT Group plc		1,785,382		7,072,236		(207,007	)
Burberry Group plc		65,714		1,517,676		(95,710	)
Close Brothers Group plc		84,606		1,732,694		(68,521	)
Daily Mail & General Trust plc		42,635		390,790		(20,282	)
DCC plc		31,752		2,932,274		(40,651	)
Dixons Carphone plc		915,316		3,726,343		(342,723	)
GKN plc		820,988		3,755,483		(268,273	)
GlaxoSmithKline plc		116,526		2,436,524		43,995
Greene King plc		28,729		262,559		(10,425	)
Howden Joinery Group plc		395,841		2,241,215		(141,359	)
Imperial Brands plc		6,265		291,965		(10,434	)
Inchcape plc		183,114		1,987,964		(187,980	)
Indivior plc		705,037		2,927,500		(56,644	)
Intermediate Capital Group plc		119,372		1,108,929		185,587
ITV plc		193,751		462,460		(3,838	)
Jupiter Fund Management plc		41,644		239,958		33,942
Kingfisher plc		111,522		441,758		(4,936	)
Lloyds Banking Group plc		1,259,594		1,088,326		(2,838	)
Man Group plc		149,885		288,161		14,287
Marks & Spencer Group plc		47,778		212,382		(5,019	)
Moneysupermarket.com Group plc		280,502		1,234,686		57,293
Next plc		4,444		229,882		(6,687	)
Old Mutual plc		279,514		707,710		(2,530	)
Persimmon plc		226,810		6,447,603		176,726
Playtech plc		46,746		568,694		10,366
Reckitt Benckiser Group plc		28,322		2,713,084		158,006
Rentokil Initial plc		121,451		395,488		36,702
Royal Mail plc		1,035,132		5,545,594		132,799
Sage Group plc (The)		85,789		700,179		68,572
Severn Trent plc		10,356		321,355		(26,950	)
Smiths Group plc		122,439		2,587,654		(41,911	)
Sports Direct International plc		66,781		260,694		(7,337	)
Standard Life plc		180,986		897,555		43,573
Tate & Lyle plc		340,792		3,405,618		(468,545	)
Taylor Wimpey plc		3,472,144		8,692,327		(718,727	)
Thomas Cook Group plc		206,799		230,111		12,176
UBM plc		51,624		500,643		(36,710	)
Weir Group plc (The)		30,200		724,397		(42,788	)
WH Smith plc		65,385		1,519,946		(60,456	)
William Hill plc		513,541		1,953,755		(251,795	)
Wm Morrison Supermarkets plc		1,288,651		3,929,084		118,364
WPP plc		328,869		7,340,776		(415,884	)
						(2,047,672	)
Total of Long Equity Positions						(1,597,617	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Chile
Antofagasta plc		(526,957	)	$	(5,784,032	)	$	286,299
Jordan
Hikma Pharmaceuticals plc		(188,994	)		(4,500,167	)		880,645
Netherlands
Royal Dutch Shell plc		(300,837	)		(8,284,810	)		291,959
South Africa
Mediclinic International plc		(279,330	)		(2,600,637	)		(101,334	)
Switzerland
Glencore plc		(1,539,823	)		(5,851,927	)		81,859
United Kingdom
AA plc		(575,111	)		(1,934,824	)		225,935
Admiral Group plc		(55,632	)		(1,452,757	)		1,048
Aggreko plc		(270,234	)		(3,058,211	)		(178,988	)
Anglo American plc		(22,488	)		(295,001	)		(5,432	)
Associated British Foods plc		(66,795	)		(2,186,531	)		(369,531	)
AstraZeneca plc		(12,906	)		(896,464	)		31,974
Auto Trader Group plc		(51,842	)		(265,268	)		8,580
Aviva plc		(111,999	)		(751,121	)		(17,122	)
Balfour Beatty plc		(290,606	)		(1,024,234	)		(954	)
BP plc		(679,727	)		(4,110,090	)		186,587
British American Tobacco plc		(41,118	)		(2,834,679	)		32,778
BTG plc		(312,270	)		(2,510,505	)		(327,472	)
Capita plc		(807,998	)		(5,942,291	)		(1,338,991	)
Cobham plc		(2,167,335	)		(3,847,824	)		187,723
ConvaTec Group plc		(455,514	)		(1,814,941	)		(77,711	)
Croda International plc		(16,109	)		(770,548	)		(45,252	)
Direct Line Insurance Group plc		(45,893	)		(213,027	)		519
easyJet plc		(250,481	)		(3,997,983	)		(439,313	)
Essentra plc		(272,283	)		(1,887,755	)		(114,330	)
Experian plc		(64,482	)		(1,393,291	)		69,937
Halma plc		(97,856	)		(1,297,265	)		(105,047	)
Hargreaves Lansdown plc		(292,099	)		(5,010,966	)		57,743
Hays plc		(108,564	)		(222,950	)		(11,776	)
Hiscox Ltd.		(13,109	)		(191,579	)		(24,871	)
IMI plc		(24,588	)		(378,440	)		(4,523	)
Informa plc		(23,601	)		(208,494	)		2,637
Inmarsat plc		(447,857	)		(4,902,960	)		411,334
International Consolidated Airlines Group SA		(169,113	)		(1,314,182	)		(30,232	)
Intertek Group plc		(9,591	)		(495,841	)		(31,043	)
John Wood Group plc		(114,959	)		(988,527	)		28,022

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

AQR Funds Semi-Annual Report June 2017

37

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Just Eat plc		(649,310	)	$	(4,918,183	)	$	(624,182	)
Merlin Entertainments plc		(212,198	)		(1,313,883	)		(14,449	)
Micro Focus International plc		(9,396	)		(282,125	)		4,293
National Grid plc		(107,866	)		(1,559,983	)		223,471
Pearson plc		(55,197	)		(505,750	)		8,761
Pennon Group plc		(223,283	)		(2,552,580	)		152,983
Petrofac Ltd.		(348,768	)		(2,071,498	)		66,090
Provident Financial plc		(92,535	)		(3,730,973	)		796,075
Rio Tinto plc		(16,032	)		(620,070	)		(58,915	)
Rolls-Royce Holdings plc		(61,433	)		(719,790	)		7,252
Rotork plc		(313,321	)		(1,030,371	)		69,814
Royal Bank of Scotland Group plc		(1,195,549	)		(3,736,958	)		(120,712	)
Schroders plc		(13,000	)		(522,182	)		(3,485	)
Smith & Nephew plc		(25,061	)		(401,816	)		(30,950	)
Spectris plc		(8,995	)		(299,571	)		3,848
Spirax-Sarco Engineering plc		(4,452	)		(296,300	)		(14,195	)
St James’s Place plc		(140,337	)		(1,895,127	)		(267,962	)
Tesco plc		(1,417,400	)		(3,379,977	)		259,385
Travis Perkins plc		(24,334	)		(480,995	)		19,698

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
United Utilities Group plc		(168,460	)	$	(2,181,620	)	$	277,385
Vodafone Group plc		(108,451	)		(296,010	)		(11,986	)
Whitbread plc		(42,121	)		(2,188,316	)		11,531
Worldpay Group plc		(908,575	)		(3,610,769	)		(114,763	)
							(1,238,784)
Total of Short Equity Positions								200,644
Total of Long and Short Equity Positions								(1,396,973	)
Net Cash and Other Receivables/ (Payables) (b)								698,341
Swaps, at Value							$	(698,632	)

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	3-25 months maturity 10/13/2017		$11,020,838

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Thomson Reuters Corp.		49,200	$	2,236,331	$	41,137
Panama
Copa Holdings SA		2,763		323,638		(367	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Liberty Global plc		241,686	$	7,146,592	$	389,178
United States
AbbVie, Inc.		67,085		4,667,170		197,164
Accenture plc		13,304		1,557,702		87,737
Activision Blizzard, Inc.		28,820		1,417,944		241,223
Adobe Systems, Inc.		14,603		1,896,784		168,665

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

AQR Funds Semi-Annual Report June 2017

38

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Adtalem Global Education, Inc.		5,472	$	193,709	$	13,954
AdvanSix, Inc.		42,844		1,173,411		165,035
Aetna, Inc.		41,743		5,313,049		1,024,791
Aflac, Inc.		134,543		9,771,625		679,675
AGCO Corp.		42,002		2,659,982		170,533
Agilent Technologies, Inc.		61,269		3,229,489		404,375
Akamai Technologies, Inc.		41,231		2,260,112		(206,396	)
Alcoa Corp.		18,208		602,599		(8,108	)
Alexion Pharmaceuticals, Inc.		40,342		4,789,939		118,472
Allstate Corp. (The)		72,961		5,951,922		500,749
Alphabet, Inc.		5,708		4,820,830		485,783
Altria Group, Inc.		22,552		1,622,165		57,282
Amazon.com, Inc.		632		606,914		4,862
AMC Networks, Inc.		25,136		1,487,580		(145,067	)
Amdocs Ltd.		50,357		3,163,014		82,998
Ameren Corp.		59,554		3,278,448		(22,631	)
American Eagle Outfitters, Inc.		151,924		2,020,800		(190,116	)
American Electric Power Co., Inc.		133,928		9,177,272		126,707
American Financial Group, Inc.		22,357		2,107,147		114,468
American International Group, Inc.		15,034		927,255		12,670
American Water Works Co., Inc.		6,727		526,657		(2,287	)
Ameriprise Financial, Inc.		33,667		4,310,049		(24,577	)
Amgen, Inc.		47,555		7,723,785		466,613
Anadarko Petroleum Corp.		37,002		1,897,570		(219,900	)
Analog Devices, Inc.		9,226		716,812		971
Anthem, Inc.		62,929		10,367,553		1,471,280
AO Smith Corp.		5,378		278,571		24,372
Apple, Inc.		19,968		2,829,035		46,757
Applied Materials, Inc.		118,396		4,542,899		348,040
Arch Capital Group Ltd.		14,732		1,392,011		(17,663	)
Archer-Daniels-Midland Co.		89,496		3,989,404		(286,060	)
Arrow Electronics, Inc.		66,619		4,726,618		497,644
Aspen Insurance Holdings Ltd.		39,963		2,038,825		(46,669	)
Assurant, Inc.		10,188		961,238		95,156
Assured Guaranty Ltd.		250,527		9,469,618		987,379
AT&T, Inc.		120,288		4,601,490		(63,023	)
Avery Dennison Corp.		54,906		4,396,872		455,171
Avnet, Inc.		114,827		4,962,657		(498,183	)
Avon Products, Inc.		482,649		1,709,505		124,561
Axis Capital Holdings Ltd.		30,841		2,038,070		(43,891	)
Bank of America Corp.		185,179		4,336,825		155,618

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Baxter International, Inc.		139,772	$	7,356,273	$	1,105,524
BB&T Corp.		8,617		378,976		12,322
Bed Bath & Beyond, Inc.		74,343		2,765,344		(505,316	)
Bemis Co., Inc.		6,330		297,087		(4,325	)
Best Buy Co., Inc.		26,423		1,418,213		96,617
Big Lots, Inc.		27,181		1,273,973		38,869
Biogen, Inc.		39,014		10,508,977		77,862
Bioverativ, Inc.		68,625		3,846,674		282,493
BlackRock, Inc.		10,773		4,317,006		233,617
Boeing Co. (The)		41,062		7,271,259		848,752
Booz Allen Hamilton Holding Corp.		58,752		2,031,556		(119,766	)
BorgWarner, Inc.		27,061		1,105,222		41,081
Boston Beer Co., Inc. (The)		12,739		1,762,969		(79,510	)
Brixmor Property Group, Inc.		92,024		1,929,198		(283,809	)
Broadridge Financial Solutions, Inc.		22,950		1,535,126		198,977
Bruker Corp.		161,364		3,656,508		997,230
Brunswick Corp.		77,997		4,541,765		350,986
Bunge Ltd.		43,988		3,053,907		227,598
Burlington Stores, Inc.		37,004		3,476,216		(72,218	)
BWX Technologies, Inc.		51,380		2,445,688		59,087
CA, Inc.		92,964		2,952,317		252,152
Cabot Corp.		75,417		4,409,194		(379,664	)
Cadence Design Systems, Inc.		70,821		2,184,828		186,967
CalAtlantic Group, Inc.		25,525		897,101		5,208
Campbell Soup Co.		9,629		546,638		(44,486	)
Capital One Financial Corp.		77,802		6,500,054		(72,053	)
Cardinal Health, Inc.		30,177		2,343,600		7,792
Carlisle Cos., Inc.		20,287		2,098,284		(162,905	)
Cars.com, Inc.		8,396		230,059		(6,473	)
Caterpillar, Inc.		49,718		5,179,055		163,641
CDK Global, Inc.		44,620		2,846,198		(77,080	)
CDW Corp.		41,097		2,354,249		215,546
Celanese Corp.		52,893		4,867,107		154,554
Centene Corp.		97,775		7,121,136		689,131
CenturyLink, Inc.		26,408		659,394		(28,771	)
Charles River Laboratories International, Inc.		55,031		4,837,527		728,859
Cheesecake Factory, Inc. (The)		5,894		347,154		(50,685	)
Chemours Co. (The)		60,735		2,283,959		19,112
Chicago Bridge & Iron Co. NV		79,565		1,269,837		299,980
Chico’s FAS, Inc.		242,980		3,028,639		(739,768	)
Cigna Corp.		21,050		3,158,874		364,685
Cirrus Logic, Inc.		103,098		6,603,992		(137,685	)
Cisco Systems, Inc.		104,549		3,450,117		(177,733	)

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

AQR Funds Semi-Annual Report June 2017

39

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Citigroup, Inc.		116,807	$	7,216,491	$	595,561
Citrix Systems, Inc.		9,889		815,884		(28,917	)
CNO Financial Group, Inc.		106,809		2,184,762		45,410
Coach, Inc.		31,408		1,471,255		15,600
Colfax Corp.		22,295		867,606		10,148
Colony NorthStar, Inc.		135,250		1,857,286		48,387
Comerica, Inc.		36,964		2,486,199		221,045
Commerce Bancshares, Inc.		62,574		3,437,881		118,199
Commercial Metals Co.		56,476		1,024,808		72,521
CommScope Holding Co., Inc.		52,669		2,144,444		(141,442	)
comScore, Inc.		5,281		116,340		22,286
Conagra Brands, Inc.		125,979		4,880,909		(375,900	)
ConocoPhillips		24,381		1,176,673		(104,884	)
Consolidated Edison, Inc.		64,399		5,057,253		147,474
Constellation Brands, Inc.		20,475		3,562,749		403,872
Convergys Corp.		145,167		3,062,599		389,473
CoreLogic, Inc.		55,581		2,255,985		155,119
Corning, Inc.		135,007		3,616,989		439,971
Costco Wholesale Corp.		1,885		326,993		(25,525	)
Crane Co.		52,532		3,900,285		269,705
Crown Castle International Corp.		2,062		205,848		724
Cullen/Frost Bankers, Inc.		3,310		291,081		19,761
Cummins, Inc.		41,465		6,212,286		514,166
Curtiss-Wright Corp.		45,357		4,031,560		131,306
Dana, Inc.		192,788		3,437,297		867,660
DaVita, Inc.		22,272		1,440,465		1,870
Delta Air Lines, Inc.		82,218		3,821,738		596,657
Deluxe Corp.		17,556		1,193,281		21,945
Devon Energy Corp.		126,163		4,416,143		(382,712	)
Dick’s Sporting Goods, Inc.		33,803		1,625,586		(279,213	)
Dillard’s, Inc.		17,498		950,841		58,619
Discover Financial Services		42,627		2,818,497		(167,524	)
Dolby Laboratories, Inc.		42,197		2,157,695		(91,730	)
Domtar Corp.		11,419		418,164		20,554
Dover Corp.		7,401		608,351		(14,642	)
Dow Chemical Co. (The)		4,728		300,323		(2,128	)
DR Horton, Inc.		211,807		7,069,808		252,360
Dr Pepper Snapple Group, Inc.		17,027		1,650,257		(98,927	)
DST Systems, Inc.		44,580		2,678,366		72,220
DTE Energy Co.		47,747		4,924,148		127,007
DXC Technology Co.		2,719		211,338		(2,736	)
Eastman Chemical Co.		69,686		5,668,225		184,703
Eaton Corp. plc		22,663		1,691,793		72,068
eBay, Inc.		413,443		13,950,163		487,266
Edison International		41,538		3,345,774		(97,918	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Electronic Arts, Inc.		15,924	$	1,407,682	$	275,804
Eli Lilly & Co.		20,301		1,703,406		(32,633	)
EMCOR Group, Inc.		23,777		1,473,936		80,604
Emerson Electric Co.		40,308		2,426,514		(23,351	)
Endo International plc		157,315		1,725,893		31,316
Energen Corp.		10,335		556,643		(46,404	)
EnerSys		19,956		1,542,074		(96,262	)
Ensco plc		1,026,755		7,218,572		(1,920,516	)
EPR Properties		15,983		1,186,733		(38,035	)
Esterline Technologies Corp.		40,721		3,410,384		449,967
Euronet Worldwide, Inc.		7,000		601,416		10,174
Everest Re Group Ltd.		31,701		7,687,231		383,527
Exelon Corp.		105,885		3,811,748		7,524
Express Scripts Holding Co.		34,781		2,222,457		(2,038	)
Extended Stay America, Inc.		116,931		2,208,654		55,130
F5 Networks, Inc.		3,086		398,602		(6,495	)
Fair Isaac Corp.		12,753		1,648,725		129,170
FedEx Corp.		8,041		1,574,830		172,721
Fiserv, Inc.		10,925		1,264,243		72,322
Flex Ltd.		415,322		6,829,861		(55,960	)
FLIR Systems, Inc.		50,929		1,803,663		(38,463	)
Foot Locker, Inc.		77,407		5,634,654		(1,820,037	)
Ford Motor Co.		347,128		3,897,353		(12,991	)
Franklin Resources, Inc.		114,015		4,786,346		320,386
Freeport-McMoRan, Inc.		71,087		802,458		51,297
FTI Consulting, Inc.		46,135		1,865,060		(252,180	)
GameStop Corp.		80,021		1,693,129		36,124
General Dynamics Corp.		13,552		2,518,639		166,012
General Motors Co.		380,378		13,002,928		283,676
Genpact Ltd.		132,644		3,252,018		439,465
Gilead Sciences, Inc.		282,190		18,841,364		1,132,044
Goldman Sachs Group, Inc. (The)		41,906		9,401,738		(102,796	)
Goodyear Tire & Rubber Co. (The)		42,360		1,472,231		8,674
Graham Holdings Co.		1,162		694,702		2,092
Graphic Packaging Holding Co.		142,044		1,846,572		110,794
Great Plains Energy, Inc.		25,629		749,648		769
Greif, Inc.		20,980		1,156,097		14,167
Hain Celestial Group, Inc. (The)		8,773		291,088		49,480
Halliburton Co.		9,206		397,213		(4,024	)
Hanover Insurance Group, Inc. (The)		2,543		224,369		1,017
Hasbro, Inc.		4,828		466,192		72,179
Hawaiian Electric Industries, Inc.		32,794		1,108,437		(46,567	)
HCA Healthcare, Inc.		37,726		3,337,619		(47,912	)

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

AQR Funds Semi-Annual Report June 2017

40

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
HCP, Inc.		94,324	$	2,954,306	$	60,289
HD Supply Holdings, Inc.		41,330		1,667,252		(401,314	)
Healthcare Trust of America, Inc.		9,191		286,432		(500	)
Herman Miller, Inc.		71,459		2,268,823		(96,470	)
Hewlett Packard Enterprise Co.		599,765		10,682,353		(732,252	)
Hilton Worldwide Holdings, Inc.		23,653		1,533,375		(70,437	)
Home Depot, Inc. (The)		1,406		206,176		9,505
Honeywell International, Inc.		40,254		4,974,187		391,269
HP, Inc.		367,152		6,490,276		(72,459	)
HSN, Inc.		8,796		311,407		(30,815	)
Hubbell, Inc.		24,645		2,870,896		(81,821	)
Humana, Inc.		21,490		4,801,531		369,393
Huntington Ingalls Industries, Inc.		46,249		9,188,289		(578,575	)
Hyatt Hotels Corp.		26,842		1,433,631		75,158
IAC/InterActiveCorp		17,339		1,293,112		496,967
IDACORP, Inc.		2,672		223,059		4,997
Ingersoll-Rand plc		100,666		8,241,525		958,340
Ingredion, Inc.		41,262		4,989,814		(70,971	)
Intel Corp.		120,078		4,316,714		(265,282	)
InterDigital, Inc.		33,710		2,912,544		(306,761	)
International Business Machines Corp.		56,682		9,014,203		(294,811	)
International Game Technology plc		193,595		4,236,066		(693,277	)
Intuit, Inc.		18,937		2,352,823		162,200
Invesco Ltd.		89,248		2,903,658		236,979
ITT, Inc.		55,003		2,158,965		51,055
Jabil, Inc.		131,541		3,683,148		156,534
Jack Henry & Associates, Inc.		14,740		1,363,303		167,741
Jacobs Engineering Group, Inc.		26,611		1,445,243		2,129
Jazz Pharmaceuticals plc		2,448		374,446		6,218
JetBlue Airways Corp.		136,614		2,934,994		183,904
John Wiley & Sons, Inc.		27,046		1,423,972		2,705
Johnson & Johnson		63,822		7,892,310		550,703
JPMorgan Chase & Co.		143,815		12,398,195		746,496
Juniper Networks, Inc.		284,965		8,171,323		(226,498	)
KB Home		23,459		456,043		106,269
KeyCorp		46,668		802,690		71,869
Kimberly-Clark Corp.		18,135		2,388,380		(46,970	)
Kimco Realty Corp.		35,745		675,666		(19,745	)
Kohl’s Corp.		57,548		2,305,260		(79,879	)
Kroger Co. (The)		63,398		1,924,573		(446,131	)
L3 Technologies, Inc.		33,948		5,513,495		158,537
Laboratory Corp. of America Holdings		26,644		3,826,307		280,599
Lam Research Corp.		8,600		1,226,417		(10,119	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Lancaster Colony Corp.		13,447	$	1,727,402	$	(78,530	)
Landstar System, Inc.		11,005		948,081		(6,053	)
Las Vegas Sands Corp.		48,235		2,773,705		308,029
Lear Corp.		74,003		9,850,539		663,807
Legg Mason, Inc.		33,205		1,221,983		45,120
Liberty Interactive Corp. QVC Group		12,551		302,230		5,771
Liberty Property Trust		13,780		558,502		2,482
Lincoln Electric Holdings, Inc.		5,295		450,763		36,853
Lincoln National Corp.		60,609		3,973,430		122,527
Lockheed Martin Corp.		6,513		1,751,210		56,863
Lowe’s Cos., Inc.		7,050		575,421		(28,835	)
LyondellBasell Industries NV		142,736		12,166,675		(121,184	)
Macy’s, Inc.		96,658		2,595,724		(349,393	)
Mallinckrodt plc		33,492		1,455,589		45,187
Manhattan Associates, Inc.		12,932		607,349		14,163
ManpowerGroup, Inc.		47,727		4,700,896		627,824
Marathon Petroleum Corp.		56,171		2,789,820		149,609
Marvell Technology Group Ltd.		284,217		4,755,599		(60,334	)
Maxim Integrated Products, Inc.		44,055		1,952,996		25,074
McKesson Corp.		47,647		6,928,988		910,849
Medtronic plc		4,317		360,576		22,558
Merck & Co., Inc.		151,724		9,645,095		78,896
Meredith Corp.		4,515		274,088		(5,672	)
MetLife, Inc.		7,232		375,341		21,985
MGM Resorts International		45,749		1,446,647		(15,161	)
Michael Kors Holdings Ltd.		68,637		2,461,261		26,830
Micron Technology, Inc.		155,300		4,337,658		299,600
Microsemi Corp.		5,338		257,264		(7,446	)
Microsoft Corp.		104,061		6,986,370		186,555
Molina Healthcare, Inc.		47,590		2,713,551		578,725
Molson Coors Brewing Co.		102,964		9,289,819		(399,907	)
MSA Safety, Inc.		15,494		1,180,751		76,897
MSC Industrial Direct Co., Inc.		22,448		2,304,736		(375,106	)
MSCI, Inc.		11,909		1,165,296		61,212
Murphy Oil Corp.		12,146		305,429		5,873
Mylan NV		28,487		1,124,460		(18,594	)
Nabors Industries Ltd.		90,843		732,498		6,964
Nasdaq, Inc.		39,798		2,749,644		95,515
National Retail Properties, Inc.		68,538		2,934,014		(254,179	)
Navient Corp.		58,232		845,664		123,899
NCR Corp.		16,245		662,012		1,434
NetApp, Inc.		24,405		981,502		(4,082	)
NeuStar, Inc.		65,693		2,179,488		11,373

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

AQR Funds Semi-Annual Report June 2017

41

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Norfolk Southern Corp.		7,019	$	805,290	$	48,922
Northrop Grumman Corp.		30,624		7,256,790		604,698
Nu Skin Enterprises, Inc.		96,897		5,294,926		794,082
Nuance Communications, Inc.		14,909		259,788		(222	)
NVR, Inc.		2,688		5,775,132		704,588
Oceaneering International, Inc.		112,717		2,990,311		(415,855	)
Office Depot, Inc.		55,591		306,274		7,259
Oil States International, Inc.		8,342		239,280		(12,794	)
Omnicom Group, Inc.		30,617		2,533,164		4,985
ON Semiconductor Corp.		127,596		1,846,014		(54,566	)
ONE Gas, Inc.		19,692		1,343,388		31,310
Oracle Corp.		93,632		4,195,733		498,976
Orbital ATK, Inc.		9,860		948,433		21,396
Oshkosh Corp.		81,470		5,478,859		132,795
Owens Corning		77,983		4,695,356		523,266
Parker-Hannifin Corp.		36,180		5,781,926		362
Patterson-UTI Energy, Inc.		58,866		1,194,162		(5,657	)
PepsiCo, Inc.		7,680		859,699		27,264
Pfizer, Inc.		379,036		12,888,136		(156,317	)
PG&E Corp.		46,908		3,165,352		(52,068	)
Pilgrim’s Pride Corp.		42,816		964,216		(25,690	)
Pinnacle Foods, Inc.		24,639		1,512,970		(49,414	)
Pinnacle West Capital Corp.		32,110		2,697,882		36,605
Pitney Bowes, Inc.		74,152		1,165,597		(45,902	)
Plantronics, Inc.		18,202		957,607		(5,461	)
PNC Financial Services Group, Inc. (The)		69,754		8,249,978		460,204
Popular, Inc.		160,523		6,406,884		288,531
ProAssurance Corp.		4,712		283,306		3,184
Procter & Gamble Co. (The)		108,006		9,467,791		(55,068	)
Prologis, Inc.		13,554		726,083		68,723
Prudential Financial, Inc.		18,392		1,943,133		45,778
Public Service Enterprise Group, Inc.		183,604		8,155,690		(258,882	)
PulteGroup, Inc.		116,403		2,782,265		73,100
PVH Corp.		27,596		2,814,240		345,502
QEP Resources, Inc.		97,978		1,127,507		(137,929	)
QIAGEN NV		72,447		2,359,601		69,547
QUALCOMM, Inc.		5,808		320,510		208
Quanta Services, Inc.		67,324		2,318,328		(102,022	)
Raymond James Financial, Inc.		19,177		1,453,928		84,450
Raytheon Co.		48,735		7,335,673		534,055
Red Hat, Inc.		8,287		748,839		44,641
Regal Beloit Corp.		28,576		2,182,240		148,133

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Regions Financial Corp.		228,471	$	3,283,094	$	61,721
Reinsurance Group of America, Inc.		49,353		6,156,615		179,817
Reliance Steel & Aluminum Co.		45,918		3,592,624		(249,335	)
RenaissanceRe Holdings Ltd.		6,045		851,794		(11,237	)
Republic Services, Inc.		8,193		513,619		8,521
Rockwell Automation, Inc.		15,627		2,424,998		105,951
Ross Stores, Inc.		38,234		2,417,673		(210,424	)
Rowan Cos. plc		38,999		564,540		(165,190	)
Ryder System, Inc.		15,260		1,039,653		58,762
Santander Consumer USA Holdings, Inc.		84,633		1,020,141		59,776
SCANA Corp.		62,391		4,164,599		16,222
Science Applications International Corp.		10,506		763,786		(34,460	)
Scripps Networks Interactive, Inc.		20,754		1,526,975		(109,270	)
Seagate Technology plc		143,702		6,229,991		(661,538	)
Skyworks Solutions, Inc.		15,018		1,639,518		(198,541	)
SLM Corp.		111,052		1,291,448		(14,350	)
Sonoco Products Co.		38,878		2,020,490		(21,383	)
Southwest Airlines Co.		7,865		451,439		37,292
Southwest Gas Holdings, Inc.		2,817		238,375		(32,565	)
Spirit AeroSystems Holdings, Inc.		162,207		9,180,150		218,124
Stanley Black & Decker, Inc.		14,009		1,836,580		134,907
Staples, Inc.		171,470		1,515,869		210,834
Starbucks Corp.		20,562		1,186,485		12,486
State Street Corp.		18,325		1,440,528		203,774
Steel Dynamics, Inc.		70,816		2,414,826		121,095
STORE Capital Corp.		92,635		2,086,073		(6,417	)
SunTrust Banks, Inc.		58,871		3,226,131		113,032
Synaptics, Inc.		18,840		905,450		68,766
SYNNEX Corp.		41,308		4,358,347		596,961
Synopsys, Inc.		57,215		4,088,012		84,678
Synovus Financial Corp.		22,063		889,580		86,487
Target Corp.		5,500		307,516		(19,921	)
TE Connectivity Ltd.		50,235		3,792,975		159,514
Tech Data Corp.		68,401		6,142,572		765,929
TEGNA, Inc.		103,131		1,552,191		(66,073	)
Teradata Corp.		10,615		298,801		14,235
Teradyne, Inc.		34,943		1,105,677		(56,339	)
Terex Corp.		39,354		1,384,337		91,438
Texas Instruments, Inc.		58,537		4,674,249		(170,997	)
Textron, Inc.		47,610		2,236,411		6,020
Thor Industries, Inc.		34,558		3,137,521		474,481
Timken Co. (The)		71,255		3,094,721		200,823

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

AQR Funds Semi-Annual Report June 2017

42

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
TJX Cos., Inc. (The)		53,352	$	4,044,600	$	(194,186	)
Toll Brothers, Inc.		33,637		1,199,824		129,174
Torchmark Corp.		22,073		1,677,884		10,701
Toro Co. (The)		18,168		1,120,602		138,258
Travelers Cos., Inc. (The)		26,901		3,271,294		132,489
Trinity Industries, Inc.		25,057		661,944		40,404
Tupperware Brands Corp.		30,037		2,049,477		60,022
Tyson Foods, Inc.		63,955		3,962,012		43,489
UGI Corp.		82,834		4,135,902		(125,908	)
UMB Financial Corp.		3,747		274,618		5,883
Union Pacific Corp.		19,611		2,093,670		42,164
United Continental Holdings, Inc.		57,947		4,205,985		154,526
United Rentals, Inc.		34,470		3,713,484		171,630
United Therapeutics Corp.		69,991		8,687,936		391,996
UnitedHealth Group, Inc.		58,721		9,715,061		1,172,987
Universal Health Services, Inc.		7,668		933,413		2,696
Unum Group		86,343		3,976,959		49,216
Urban Outfitters, Inc.		33,882		745,743		(117,571	)
US Bancorp		27,875		1,422,740		24,530
Vail Resorts, Inc.		2,155		409,342		27,756
Valero Energy Corp.		23,134		1,540,074		20,546
Validus Holdings Ltd.		34,544		1,896,504		(101,252	)
Vectren Corp.		4,088		240,456		(1,553	)
Ventas, Inc.		5,879		379,666		28,807
Verizon Communications, Inc.		56,658		2,672,026		(141,679	)
Versum Materials, Inc.		53,707		1,613,358		132,119
Vertex Pharmaceuticals, Inc.		43,798		5,229,032		415,217
Vishay Intertechnology, Inc.		101,454		1,602,973		81,163
Waddell & Reed Financial, Inc.		19,588		326,532		43,289
Walgreens Boots Alliance, Inc.		18,373		1,505,391		(66,602	)
Wal-Mart Stores, Inc.		125,591		9,053,921		450,806
Walt Disney Co. (The)		24,636		2,759,569		(141,994	)
Waste Management, Inc.		49,301		3,612,284		3,944
Waters Corp.		13,844		2,150,942		394,139
Watsco, Inc.		8,324		1,173,268		110,293
WellCare Health Plans, Inc.		69,614		9,955,212		2,544,678
WESCO International, Inc.		49,055		3,206,889		(396,037	)
West Pharmaceutical Services, Inc.		6,939		556,161		99,713
Western Digital Corp.		50,738		4,425,537		69,850

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Western Union Co. (The)		25,478		$	500,897		$	(15,542	)
Westlake Chemical Corp.		6,750			440,910			6,008
WestRock Co.		29,812			1,538,299			150,849
Whirlpool Corp.		14,661			2,427,862			381,479
Williams Cos., Inc. (The)		34,983			1,033,727			25,559
Woodward, Inc.		22,462			1,524,973			(6,991	)
World Fuel Services Corp.		56,301			2,028,562			136,211
Worthington Industries, Inc.		52,288			2,269,299			356,604
WW Grainger, Inc.		10,271			1,790,999			63,224
Wyndham Worldwide Corp.		28,718			2,422,363			461,211
Xerox Corp.		235,374			6,716,374			45,921
Zimmer Biomet Holdings, Inc.		12,303			1,567,641			12,065
							33,875,150
Total of Long Equity Positions								34,305,098
Short Positions
Common Stocks
Argentina
MercadoLibre, Inc.		(3,588	)		(775,892	)		(124,265	)
Australia
Atlassian Corp. plc		(67,504	)		(2,128,412	)		(246,379	)
Canada
Waste Connections, Inc.		(23,377	)		(1,399,146	)		(106,800	)
Ghana
Kosmos Energy Ltd.		(845,426	)		(5,586,316	)		167,135
Ireland
XL Group Ltd.		(17,924	)		(705,847	)		(79,224	)
United States
3D Systems Corp.		(15,152	)		(219,318	)		(64,024	)
ABIOMED, Inc.		(5,235	)		(725,946	)		(24,229	)
Acadia Healthcare Co., Inc.		(227,273	)		(10,005,579	)		(1,217,162	)
ACI Worldwide, Inc.		(109,142	)		(2,332,586	)		(108,921	)
Acuity Brands, Inc.		(41,778	)		(7,144,478	)		(1,348,154	)
Acxiom Corp.		(9,858	)		(273,832	)		17,722
Advance Auto Parts, Inc.		(63,460	)		(8,813,230	)		1,414,429
Advanced Micro Devices, Inc.		(361,291	)		(4,473,366	)		(35,546	)
AECOM		(15,551	)		(526,361	)		23,597
Agios Pharmaceuticals, Inc.		(67,021	)		(3,488,579	)		40,348

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

AQR Funds Semi-Annual Report June 2017

43

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Air Lease Corp.		(48,428	)	$	(1,843,654	)	$	34,384
Alaska Air Group, Inc.		(11,421	)		(961,411	)		(63,738	)
Align Technology, Inc.		(13,829	)		(1,742,620	)		(333,389	)
Alkermes plc		(91,738	)		(5,293,887	)		(24,165	)
Allegheny Technologies, Inc.		(257,794	)		(4,527,259	)		142,183
Allegion plc		(3,738	)		(284,306	)		(18,920	)
Allergan plc		(25,748	)		(6,123,658	)		(135,423	)
Alliance Data Systems Corp.		(25,746	)		(6,512,828	)		(95,912	)
Alliant Energy Corp.		(55,637	)		(2,253,590	)		18,652
Allscripts Healthcare Solutions, Inc.		(137,623	)		(1,684,551	)		(71,519	)
Alnylam Pharmaceuticals, Inc.		(66,176	)		(3,189,239	)		(2,088,959	)
AMERCO		(2,092	)		(763,120	)		(2,678	)
American Airlines Group, Inc.		(138,805	)		(6,716,453	)		(268,214	)
American Homes 4 Rent		(11,236	)		(249,689	)		(3,908	)
AmerisourceBergen Corp.		(4,477	)		(424,647	)		1,436
AMETEK, Inc.		(30,127	)		(1,617,519	)		(207,274	)
Amphenol Corp.		(33,918	)		(2,362,375	)		(141,452	)
AmTrust Financial Services, Inc.		(44,692	)		(664,774	)		(11,863	)
Antero Resources Corp.		(145,044	)		(3,232,527	)		98,126
Aon plc		(7,147	)		(975,397	)		25,203
Apache Corp.		(36,565	)		(1,745,619	)		(6,941	)
AptarGroup, Inc.		(10,448	)		(794,884	)		(112,629	)
Aqua America, Inc.		(13,122	)		(426,465	)		(10,498	)
Arconic, Inc.		(62,234	)		(1,632,442	)		222,842
Arista Networks, Inc.		(48,929	)		(6,718,182	)		(610,893	)
Armstrong World Industries, Inc.		(61,035	)		(2,719,713	)		(87,897	)
ARRIS International plc		(52,111	)		(1,343,666	)		(116,484	)
Arthur J Gallagher & Co.		(38,299	)		(2,143,335	)		(49,283	)
Artisan Partners Asset Management, Inc.		(68,605	)		(1,842,044	)		(264,129	)
athenahealth, Inc.		(15,470	)		(1,752,442	)		(421,867	)
Autodesk, Inc.		(33,858	)		(2,828,497	)		(585,066	)
AutoZone, Inc.		(9,320	)		(5,729,075	)		412,388
Avangrid, Inc.		(15,070	)		(655,364	)		(9,977	)
Avis Budget Group, Inc.		(200,214	)		(5,348,819	)		(111,017	)
Axalta Coating Systems Ltd.		(145,094	)		(4,572,308	)		(76,503	)
Ball Corp.		(427,028	)		(15,895,308	)		(2,129,543	)
Bank of Hawaii Corp.		(3,721	)		(304,680	)		(4,051	)
Bank of the Ozarks, Inc.		(149,861	)		(7,443,129	)		419,144
BankUnited, Inc.		(10,512	)		(383,793	)		29,434
Belden, Inc.		(3,469	)		(262,122	)		456
Berry Global Group, Inc.		(9,426	)		(547,463	)		10,087

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
BioMarin Pharmaceutical, Inc.		(42,227	)	$	(3,636,589	)	$	(198,467	)
Bio-Techne Corp.		(31,352	)		(3,112,627	)		(571,233	)
Black Hills Corp.		(75,326	)		(5,117,338	)		35,093
Blue Buffalo Pet Products, Inc.		(206,239	)		(4,830,781	)		126,470
Brookdale Senior Living, Inc.		(99,448	)		(1,311,974	)		(150,906	)
Brown & Brown, Inc.		(5,805	)		(241,140	)		(8,882	)
Brown-Forman Corp.		(103,640	)		(4,736,348	)		(300,556	)
Cabot Oil & Gas Corp.		(104,884	)		(2,563,649	)		(66,842	)
Calpine Corp.		(30,718	)		(323,599	)		(92,015	)
CarMax, Inc.		(127,490	)		(7,518,089	)		(521,431	)
Casey’s General Stores, Inc.		(40,900	)		(4,522,545	)		141,746
Catalent, Inc.		(71,503	)		(1,984,923	)		(524,832	)
Cathay General Bancorp		(8,839	)		(321,740	)		(13,700	)
CF Industries Holdings, Inc.		(284,480	)		(8,134,788	)		180,727
CH Robinson Worldwide, Inc.		(24,708	)		(1,887,938	)		190,993
Charles Schwab Corp. (The)		(115,223	)		(4,549,004	)		(400,976	)
Charter Communications, Inc.		(13,877	)		(4,620,331	)		(54,137	)
Chemical Financial Corp.		(24,823	)		(1,185,422	)		(16,260	)
Cheniere Energy, Inc.		(190,882	)		(8,943,378	)		(354,484	)
Chesapeake Energy Corp.		(43,502	)		(236,422	)		20,217
Chevron Corp.		(19,932	)		(2,092,972	)		13,466
Churchill Downs, Inc.		(2,247	)		(381,965	)		(29,910	)
Ciena Corp.		(60,128	)		(1,349,935	)		(154,468	)
Cimarex Energy Co.		(10,489	)		(1,220,892	)		234,821
Cincinnati Financial Corp.		(14,495	)		(1,017,915	)		(32,248	)
Citizens Financial Group, Inc.		(43,929	)		(1,568,701	)		1,315
Clean Harbors, Inc.		(52,858	)		(2,926,368	)		(24,694	)
Cognex Corp.		(36,805	)		(3,111,948	)		(12,796	)
CommVault Systems, Inc.		(8,428	)		(478,474	)		2,713
Compass Minerals International, Inc.		(69,834	)		(4,716,318	)		156,158
Concho Resources, Inc.		(32,549	)		(4,141,860	)		186,180
Conduent, Inc.		(169,936	)		(2,796,785	)		88,005
CONSOL Energy, Inc.		(138,511	)		(2,178,863	)		109,509
Copart, Inc.		(141,151	)		(4,255,771	)		(231,419	)
Core Laboratories NV		(41,593	)		(4,769,491	)		557,368
CoStar Group, Inc.		(12,112	)		(2,677,826	)		(514,897	)
Coty, Inc.		(300,799	)		(5,219,272	)		(423,717	)
Cousins Properties, Inc.		(410,028	)		(3,447,501	)		(156,645	)
Covanta Holding Corp.		(296,815	)		(4,585,792	)		667,834
Cree, Inc.		(20,076	)		(486,241	)		(8,633	)

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

AQR Funds Semi-Annual Report June 2017

44

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CSX Corp.		(95,399	)	$	(4,647,793	)	$	(557,177	)
Cypress Semiconductor Corp.		(570,288	)		(7,705,315	)		(79,117	)
CyrusOne, Inc.		(18,549	)		(1,006,526	)		(27,581	)
DCT Industrial Trust, Inc.		(4,520	)		(230,635	)		(10,914	)
DDR Corp.		(33,219	)		(296,994	)		(4,302	)
Dean Foods Co.		(13,427	)		(244,190	)		15,931
Denbury Resources, Inc.		(162,419	)		(393,903	)		145,402
DENTSPLY SIRONA, Inc.		(22,602	)		(1,401,098	)		(64,416	)
DexCom, Inc.		(196,150	)		(15,234,389	)		886,017
Diebold Nixdorf, Inc.		(183,272	)		(5,232,416	)		100,800
Discovery Communications, Inc.		(21,922	)		(643,630	)		77,385
DISH Network Corp.		(4,437	)		(283,092	)		4,626
Dollar General Corp.		(101,609	)		(7,277,845	)		(47,147	)
Dominion Energy, Inc.		(168,463	)		(13,121,883	)		212,563
Domino’s Pizza, Inc.		(16,474	)		(3,313,690	)		(171,056	)
Donaldson Co., Inc.		(7,646	)		(341,012	)		(7,187	)
Dunkin’ Brands Group, Inc.		(72,130	)		(3,862,527	)		(113,279	)
Dycom Industries, Inc.		(40,439	)		(3,809,438	)		189,339
East West Bancorp, Inc.		(13,536	)		(784,461	)		(8,478	)
Ecolab, Inc.		(26,284	)		(3,281,032	)		(208,169	)
Empire State Realty Trust, Inc.		(47,065	)		(983,903	)		6,363
Envision Healthcare Corp.		(172,167	)		(10,288,651	)		(501,055	)
EOG Resources, Inc.		(19,279	)		(1,815,761	)		70,626
EQT Corp.		(100,955	)		(5,884,683	)		(30,270	)
Equinix, Inc.		(7,366	)		(3,128,879	)		(32,314	)
Essex Property Trust, Inc.		(6,627	)		(1,567,705	)		(137,224	)
Exxon Mobil Corp.		(44,874	)		(3,670,106	)		47,428
FactSet Research Systems, Inc.		(2,407	)		(387,310	)		(12,685	)
Fastenal Co.		(283,346	)		(13,524,259	)		1,190,208
FireEye, Inc.		(304,132	)		(3,711,408	)		(914,440	)
First Data Corp.		(530,083	)		(7,866,432	)		(1,781,079	)
First Horizon National Corp.		(55,060	)		(994,384	)		35,238
FirstEnergy Corp.		(98,930	)		(2,836,314	)		(48,485	)
Fitbit, Inc.		(449,387	)		(2,478,409	)		92,164
Flowserve Corp.		(55,306	)		(2,637,543	)		69,686
FNB Corp.		(335,300	)		(4,715,274	)		(32,574	)
FNF Group		(21,851	)		(840,608	)		(138,972	)
Garmin Ltd.		(4,346	)		(225,922	)		4,146
Gartner, Inc.		(14,185	)		(1,588,218	)		(163,771	)
Genesee & Wyoming, Inc.		(35,225	)		(2,384,422	)		(24,616	)
Gentex Corp.		(20,527	)		(411,772	)		22,374
Global Payments, Inc.		(47,284	)		(3,676,331	)		(594,360	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
GoDaddy, Inc.		(52,802	)	$	(1,960,371	)	$	(279,490	)
Graco, Inc.		(10,959	)		(1,038,831	)		(158,769	)
Granite Construction, Inc.		(79,099	)		(3,955,551	)		139,815
Groupon, Inc.		(124,856	)		(424,885	)		(54,562	)
Guidewire Software, Inc.		(86,945	)		(5,244,566	)		(729,425	)
H&R Block, Inc.		(63,575	)		(1,742,556	)		(222,547	)
Halyard Health, Inc.		(46,983	)		(1,798,039	)		(47,453	)
Hanesbrands, Inc.		(29,122	)		(598,732	)		(75,734	)
Harley-Davidson, Inc.		(21,468	)		(1,163,197	)		3,495
HealthSouth Corp.		(9,939	)		(430,449	)		(50,599	)
HEICO Corp.		(40,893	)		(2,848,105	)		(89,648	)
Helmerich& Payne, Inc.		(84,511	)		(5,209,532	)		617,204
Henry Schein, Inc.		(15,911	)		(2,676,071	)		(235,960	)
Herc Holdings, Inc.		(31,532	)		(1,352,796	)		112,958
Hess Corp.		(147,832	)		(6,814,470	)		329,081
Hilton Grand Vacations, Inc.		(7,414	)		(267,037	)		(312	)
Hologic, Inc.		(7,187	)		(327,695	)		1,549
Hormel Foods Corp.		(15,637	)		(538,851	)		5,473
Howard Hughes Corp. (The)		(24,735	)		(2,874,454	)		(163,993	)
IDEX Corp.		(2,325	)		(214,411	)		(48,337	)
IHS Markit Ltd.		(127,480	)		(5,451,732	)		(162,488	)
Illumina, Inc.		(70,011	)		(11,897,787	)		(250,521	)
Incyte Corp.		(7,004	)		(899,616	)		17,742
International Flavors & Fragrances, Inc.		(14,907	)		(1,964,295	)		(48,150	)
Ionis Pharmaceuticals, Inc.		(11,134	)		(525,283	)		(41,104	)
IPG Photonics Corp.		(20,245	)		(2,395,996	)		(541,554	)
j2 Global, Inc.		(3,270	)		(282,672	)		4,428
Jones Lang LaSalle, Inc.		(8,396	)		(996,696	)		(52,804	)
Juno Therapeutics, Inc.		(14,937	)		(355,914	)		(90,553	)
KBR, Inc.		(116,704	)		(1,700,287	)		(75,948	)
Kirby Corp.		(9,858	)		(689,567	)		30,560
KLX, Inc.		(115,198	)		(5,114,478	)		(645,422	)
Knowles Corp.		(215,582	)		(3,999,046	)		351,399
Kraft Heinz Co. (The)		(21,075	)		(1,922,237	)		117,374
L Brands, Inc.		(53,176	)		(2,400,353	)		(465,301	)
Lamar Advertising Co.		(5,326	)		(371,883	)		(19,950	)
Lamb Weston Holdings, Inc.		(30,060	)		(1,297,988	)		(25,855	)
LaSalle Hotel Properties		(9,898	)		(289,679	)		(5,281	)
Leggett & Platt, Inc.		(6,144	)		(328,696	)		5,952
Liberty Broadband Corp.		(15,790	)		(1,384,908	)		15,126
Liberty Expedia Holdings, Inc.		(7,323	)		(334,071	)		(61,518	)
LifePoint Health, Inc.		(3,089	)		(198,172	)		(9,255	)
Lions Gate Entertainment Corp.		(11,867	)		(281,841	)		(30,024	)
LivaNova plc		(26,159	)		(1,331,855	)		(269,338	)

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

AQR Funds Semi-Annual Report June 2017

45

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Live Nation Entertainment, Inc.		(94,297	)	$	(3,020,065	)	$	(266,185	)
Loews Corp.		(61,049	)		(2,869,303	)		11,599
LogMeIn, Inc.		(14,831	)		(1,674,090	)		124,250
Louisiana-Pacific Corp.		(8,972	)		(216,408	)		93
Macquarie Infrastructure Corp.		(96,916	)		(7,695,136	)		96,921
Madison Square Garden Co. (The)		(26,120	)		(5,142,635	)		(393	)
Marathon Oil Corp.		(19,977	)		(275,730	)		39,002
Markel Corp.		(3,670	)		(3,566,193	)		(15,214	)
Martin Marietta Materials, Inc.		(17,538	)		(3,849,289	)		(54,319	)
Mastercard, Inc.		(2,489	)		(306,054	)		3,764
Mattel, Inc.		(128,908	)		(3,206,994	)		431,604
MAXIMUS, Inc.		(8,848	)		(543,975	)		(10,175	)
MB Financial, Inc.		(18,271	)		(792,025	)		(12,629	)
McCormick & Co., Inc. (Non-Voting)		(6,282	)		(632,220	)		19,663
McDonald’s Corp.		(6,914	)		(1,059,330	)		382
MDU Resources Group, Inc.		(51,962	)		(1,416,484	)		55,080
MEDNAX, Inc.		(40,312	)		(2,752,100	)		318,465
Mercury General Corp.		(42,271	)		(2,458,179	)		175,545
Mettler-Toledo International, Inc.		(1,073	)		(599,230	)		(32,273	)
Michaels Cos., Inc. (The)		(37,026	)		(806,447	)		120,726
Microchip Technology, Inc.		(24,218	)		(1,768,398	)		(100,747	)
Middleby Corp. (The)		(46,159	)		(6,123,877	)		515,097
Minerals Technologies, Inc.		(2,939	)		(219,984	)		4,849
Monolithic Power Systems, Inc.		(10,847	)		(1,033,341	)		(12,310	)
Monster Beverage Corp.		(4,459	)		(204,802	)		(16,721	)
Moody’s Corp.		(15,527	)		(1,755,638	)		(133,687	)
Motorola Solutions, Inc.		(25,517	)		(2,139,090	)		(74,254	)
Murphy USA, Inc.		(7,321	)		(482,761	)		(59,799	)
National Fuel Gas Co.		(97,270	)		(5,626,584	)		195,027
National Instruments Corp.		(85,454	)		(2,807,457	)		(629,503	)
National Oilwell Varco, Inc.		(49,658	)		(1,918,125	)		282,390
NetScout Systems, Inc.		(156,392	)		(5,794,213	)		414,328
Neurocrine Biosciences, Inc.		(107,793	)		(4,618,816	)		(339,662	)
New Jersey Resources Corp.		(62,619	)		(2,548,263	)		62,289
Newell Brands, Inc.		(70,947	)		(3,359,216	)		(444,962	)
Newfield Exploration Co.		(150,543	)		(5,046,429	)		761,975
NewMarket Corp.		(635	)		(287,011	)		(5,394	)
Newmont Mining Corp.		(37,341	)		(1,277,614	)		68,139
NextEra Energy, Inc.		(15,556	)		(2,212,212	)		32,350

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Nielsen Holdings plc		(28,733	)	$	(1,202,189	)	$	91,371
NiSource, Inc.		(95,763	)		(2,467,154	)		38,604
Noble Corp. plc		(94,892	)		(367,378	)		23,869
Noble Energy, Inc.		(42,275	)		(1,439,041	)		242,658
Nordson Corp.		(8,113	)		(972,771	)		(11,498	)
Norwegian Cruise Line Holdings Ltd.		(94,527	)		(4,725,215	)		(406,656	)
NOW, Inc.		(77,945	)		(1,339,875	)		86,519
NRG Energy, Inc.		(183,114	)		(3,422,401	)		269,178
Nucor Corp.		(23,434	)		(1,393,455	)		37,329
NuVasive, Inc.		(85,777	)		(6,327,146	)		(270,821	)
NVIDIA Corp.		(2,301	)		(365,880	)		33,248
Occidental Petroleum Corp.		(29,896	)		(1,896,303	)		106,430
OGE Energy Corp.		(53,196	)		(1,876,755	)		26,066
Old Dominion Freight Line, Inc.		(7,244	)		(606,105	)		(83,813	)
Olin Corp.		(22,006	)		(685,604	)		19,262
OneMain Holdings, Inc.		(52,071	)		(1,236,350	)		(44,076	)
ONEOK, Inc.		(171,929	)		(9,525,896	)		558,080
OPKO Health, Inc.		(258,764	)		(1,888,882	)		186,215
O’Reilly Automotive, Inc.		(37,778	)		(9,289,763	)		1,026,203
Owens-Illinois, Inc.		(127,109	)		(2,561,192	)		(479,255	)
PacWest Bancorp		(59,035	)		(3,023,990	)		267,056
Palo Alto Networks, Inc.		(49,961	)		(5,413,974	)		(1,271,308	)
Pandora Media, Inc.		(851,437	)		(8,317,340	)		722,522
Papa John’s International, Inc.		(21,257	)		(1,619,710	)		94,308
Paramount Group, Inc.		(40,968	)		(684,036	)		28,548
Parsley Energy, Inc.		(58,426	)		(1,832,595	)		211,273
Patheon NV		(35,466	)		(926,639	)		(310,415	)
Patterson Cos., Inc.		(80,579	)		(3,563,203	)		(219,981	)
PayPal Holdings, Inc.		(24,323	)		(1,290,442	)		(14,974	)
PBF Energy, Inc.		(100,848	)		(2,112,303	)		(132,574	)
Penske Automotive Group, Inc.		(26,910	)		(1,193,505	)		11,887
People’s United Financial, Inc.		(114,620	)		(2,031,066	)		6,877
Perrigo Co. plc		(100,903	)		(7,013,940	)		(606,255	)
Platform Specialty Products Corp.		(410,205	)		(5,205,501	)		4,102
PNM Resources, Inc.		(45,472	)		(1,725,823	)		(13,481	)
Pool Corp.		(3,864	)		(470,190	)		15,900
Post Holdings, Inc.		(58,906	)		(5,001,371	)		427,320
PPL Corp.		(24,068	)		(902,791	)		(27,678	)
Premier, Inc.		(149,875	)		(4,787,901	)		(607,599	)
Prestige Brands Holdings, Inc.		(62,272	)		(3,400,217	)		111,633
Primerica, Inc.		(18,040	)		(1,444,796	)		78,266
Principal Financial Group, Inc.		(11,712	)		(728,018	)		(22,370	)
Prosperity Bancshares, Inc.		(3,358	)		(225,590	)		9,873
PTC, Inc.		(30,553	)		(1,565,536	)		(118,546	)

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

AQR Funds Semi-Annual Report June 2017

46

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Quintiles IMS Holdings, Inc.		(14,991	)	$	(1,294,991	)	$	(46,703	)
Range Resources Corp.		(223,389	)		(5,599,452	)		423,529
Realogy Holdings Corp.		(18,567	)		(532,873	)		(69,626	)
Regeneron Pharmaceuticals, Inc.		(8,997	)		(3,670,724	)		(748,063	)
ResMed, Inc.		(24,220	)		(1,677,477	)		(208,534	)
Rice Energy, Inc.		(93,570	)		(1,970,634	)		(521,135	)
Rollins, Inc.		(73,107	)		(2,720,205	)		(255,981	)
Roper Technologies, Inc.		(46,706	)		(9,671,878	)		(1,141,962	)
RR Donnelley & Sons Co.		(166,871	)		(2,027,808	)		(64,755	)
Sabre Corp.		(224,644	)		(4,793,635	)		(96,864	)
salesforce.com, Inc.		(69,843	)		(5,960,402	)		(88,002	)
Sally Beauty Holdings, Inc.		(136,761	)		(2,669,847	)		(99,563	)
Schlumberger Ltd.		(98,328	)		(6,986,950	)		513,035
Scotts Miracle-Gro Co. (The)		(9,319	)		(857,814	)		24,136
Sealed Air Corp.		(57,100	)		(2,543,519	)		(12,277	)
Seattle Genetics, Inc.		(6,884	)		(430,117	)		73,939
Sempra Energy		(62,454	)		(6,834,966	)		(206,723	)
Sensata Technologies Holding NV		(107,240	)		(4,390,503	)		(190,789	)
Service Corp. International		(25,122	)		(759,941	)		(80,390	)
ServiceMaster Global Holdings, Inc.		(7,750	)		(298,232	)		(5,490	)
ServiceNow, Inc.		(59,123	)		(5,314,313	)		(952,725	)
Sherwin-Williams Co. (The)		(6,105	)		(2,167,068	)		24,457
Signature Bank		(6,409	)		(914,628	)		(5,255	)
Signet Jewelers Ltd.		(98,345	)		(6,449,433	)		230,095
Silgan Holdings, Inc.		(10,598	)		(305,699	)		(31,105	)
Six Flags Entertainment Corp.		(63,325	)		(3,798,316	)		23,512
SM Energy Co.		(23,665	)		(386,300	)		(4,882	)
Snyder’s-Lance, Inc.		(164,195	)		(6,425,641	)		741,210
Sotheby’s		(55,389	)		(2,481,763	)		(490,965	)
Southern Co. (The)		(84,621	)		(4,267,437	)		215,784
Spectrum Brands Holdings, Inc.		(3,757	)		(513,845	)		44,070
Spirit Airlines, Inc.		(32,468	)		(1,797,766	)		120,793
Spirit Realty Capital, Inc.		(307,054	)		(2,302,364	)		27,094
Splunk, Inc.		(109,637	)		(6,581,526	)		344,277
Sprint Corp.		(145,562	)		(1,196,119	)		1,055
Sprouts Farmers Market, Inc.		(284,622	)		(6,446,688	)		(5,692	)
Square, Inc.		(410,494	)		(7,556,440	)		(2,073,749	)
SS&C Technologies Holdings, Inc.		(139,318	)		(4,867,771	)		(483,433	)
Stericycle, Inc.		(76,570	)		(6,301,711	)		457,889
STERIS plc		(44,777	)		(3,107,076	)		(542,249	)
Stifel Financial Corp.		(57,585	)		(2,692,419	)		44,661

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Sun Communities, Inc.		(2,649	)	$	(221,610	)	$	(10,680	)
Superior Energy Services, Inc.		(201,513	)		(2,642,356	)		540,576
SVB Financial Group		(6,476	)		(1,153,181	)		14,765
Symantec Corp.		(105,579	)		(3,098,255	)		115,648
Tableau Software, Inc.		(39,035	)		(2,101,433	)		(290,242	)
Targa Resources Corp.		(36,970	)		(2,156,460	)		485,416
Taubman Centers, Inc.		(5,916	)		(382,351	)		30,053
Tenet Healthcare Corp.		(92,867	)		(1,590,438	)		(205,610	)
Tesla, Inc.		(8,946	)		(3,270,904	)		35,941
Tesoro Corp.		(13,151	)		(1,191,392	)		(39,542	)
Tiffany & Co.		(6,748	)		(626,012	)		(7,423	)
Time, Inc.		(22,232	)		(417,962	)		98,932
T-Mobile US, Inc.		(42,621	)		(2,697,640	)		113,955
Tractor Supply Co.		(133,970	)		(7,770,158	)		507,645
TransDigm Group, Inc.		(50,358	)		(11,574,422	)		(1,965,334	)
Transocean Ltd.		(281,253	)		(2,452,850	)		138,138
TransUnion		(57,710	)		(2,221,996	)		(277,424	)
TreeHouse Foods, Inc.		(103,205	)		(8,903,968	)		473,152
TRI Pointe Group, Inc.		(294,271	)		(3,602,164	)		(279,270	)
Trimble, Inc.		(31,409	)		(1,018,252	)		(102,107	)
TripAdvisor, Inc.		(128,942	)		(5,426,060	)		500,476
Twitter, Inc.		(406,739	)		(6,311,667	)		(956,759	)
Tyler Technologies, Inc.		(35,393	)		(5,413,335	)		(804,153	)
UDR, Inc.		(51,180	)		(1,976,833	)		(17,652	)
Ulta Beauty, Inc.		(5,505	)		(1,643,950	)		62,143
Ultimate Software Group, Inc. (The)		(44,788	)		(9,031,181	)		(376,986	)
United Natural Foods, Inc.		(42,537	)		(1,748,244	)		187,136
United States Steel Corp.		(167,189	)		(3,569,141	)		(132,424	)
Uniti Group, Inc.		(139,797	)		(3,580,123	)		65,627
USG Corp.		(10,400	)		(317,167	)		15,359
Valley National Bancorp		(211,755	)		(2,441,535	)		(59,291	)
Veeva Systems, Inc.		(23,317	)		(1,179,833	)		(249,732	)
VEREIT, Inc.		(593,726	)		(4,850,785	)		17,856
VeriFone Systems, Inc.		(196,684	)		(3,534,178	)		(25,802	)
VeriSign, Inc.		(4,714	)		(413,276	)		(24,937	)
Verisk Analytics, Inc.		(34,172	)		(2,733,933	)		(149,159	)
VF Corp.		(11,571	)		(622,983	)		(43,507	)
ViaSat, Inc.		(87,250	)		(5,562,332	)		(213,619	)
Visa, Inc.		(3,272	)		(309,697	)		2,848
Vista Outdoor, Inc.		(56,987	)		(1,160,878	)		(121,900	)
Vulcan Materials Co.		(26,631	)		(3,260,206	)		(113,409	)
WABCO Holdings, Inc.		(6,440	)		(742,725	)		(78,439	)
Wabtec Corp.		(53,997	)		(4,247,629	)		(693,096	)
Weatherford International plc		(3,045,598	)		(17,672,059	)		5,885,594
WebMD Health Corp.		(15,317	)		(887,656	)		(10,686	)
Webster Financial Corp.		(62,654	)		(3,085,790	)		(186,002	)
WEC Energy Group, Inc.		(4,515	)		(279,162	)		2,031

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

AQR Funds Semi-Annual Report June 2017

47

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Welbilt, Inc.		(174,549	)	$	(3,336,768	)	$	46,519
Wendy’s Co. (The)		(199,249	)		(2,961,257	)		(129,095	)
WEX, Inc.		(3,973	)		(404,372	)		(9,893	)
White Mountains Insurance Group Ltd.		(239	)		(207,717	)		115
Whiting Petroleum Corp.		(150,927	)		(910,211	)		78,603
Williams-Sonoma, Inc.		(10,838	)		(601,936	)		76,293
Willis Towers Watson plc		(35,531	)		(4,796,444	)		(371,895	)
WisdomTree Investments, Inc.		(513,543	)		(4,519,178	)		(703,554	)
Workday, Inc.		(96,110	)		(7,922,211	)		(1,400,459	)
WPX Energy, Inc.		(26,481	)		(336,949	)		81,143
WR Berkley Corp.		(4,419	)		(307,253	)		1,591
Wynn Resorts Ltd.		(29,391	)		(3,539,107	)		(402,814	)
Xilinx, Inc.		(3,390	)		(218,109	)		64
Yelp, Inc.		(14,788	)		(494,198	)		50,262
Zayo Group Holdings, Inc.		(285,357	)		(9,296,533	)		479,002
Zebra Technologies Corp.		(21,150	)		(1,916,401	)		(209,597	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zillow Group, Inc.		(193,997	)	$	(6,966,527	)	$	(2,541,266	)
Zoetis, Inc.		(39,853	)		(2,506,118	)		20,088
Zynga, Inc.		(95,337	)		(346,697	)		(330	)
								(22,419,326	)
Total of Short Equity Positions								(22,808,859	)
Total of Long and Short Equity Positions								11,496,239
Net Cash and Other Receivables/ (Payables) (b)								(475,401	)
Swaps, at Value							$	11,020,838

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	16-49 months maturity 10/16/2018		$(4,226,345	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Aisin Seiki Co. Ltd.		10,300	$	473,898	$	55,590
Alfresa Holdings Corp.		71,100		1,242,019		132,565
Amada Holdings Co. Ltd.		284,700		3,190,074		112,352
ANA Holdings, Inc.		154,000		537,246		(1,020	)
Aozora Bank Ltd.		1,093,000		3,766,298		406,649
Asahi Glass Co. Ltd.		8,200		318,131		28,179
Asahi Group Holdings Ltd.		78,200		3,014,231		(69,197	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Asahi Kasei Corp.		219,000	$	2,013,861	$	348,779
Astellas Pharma, Inc.		622,400		8,023,203		(394,632	)
Bandai Namco Holdings, Inc.		194,300		5,847,474		791,242
Brother Industries Ltd.		67,700		1,347,845		220,292
Chiyoda Corp.		47,000		290,952		(13,330	)
Chubu Electric Power Co., Inc.		189,100		2,434,941		79,835
Chugoku Bank Ltd. (The)		17,300		235,174		24,558
Citizen Watch Co. Ltd.		374,200		2,289,728		343,278

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

AQR Funds Semi-Annual Report June 2017

48

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Cosmos Pharmaceutical Corp.		4,600	$	948,867	$	(52,678	)
CyberAgent, Inc.		14,800		481,261		(21,624	)
Daicel Corp.		33,000		374,673		37,786
Daiichi Sankyo Co. Ltd.		106,700		2,315,044		203,386
DeNA Co. Ltd.		84,100		1,773,408		116,777
Ezaki Glico Co. Ltd.		11,800		604,718		30,632
Fuji Electric Co. Ltd.		58,000		310,035		(3,258	)
FUJIFILM Holdings Corp.		41,400		1,556,863		(64,084	)
Fujitsu Ltd.		1,075,000		6,496,558		1,454,429
GungHo Online Entertainment, Inc.		388,400		979,206		21,010
Gunma Bank Ltd. (The)		258,400		1,274,038		281,976
Hakuhodo DY Holdings, Inc.		140,800		1,646,163		228,970
Haseko Corp.		316,800		3,378,513		479,284
Hikari Tsushin, Inc.		10,400		988,696		107,005
Hisamitsu Pharmaceutical Co., Inc.		4,600		263,288		(42,748	)
Hitachi Capital Corp.		10,500		241,664		11,524
Hitachi Chemical Co. Ltd.		189,800		5,061,461		628,858
Hitachi High-Technologies Corp.		103,100		4,056,171		(41,155	)
Hitachi Ltd.		121,000		728,150		17,899
Hitachi Metals Ltd.		30,000		385,345		33,227
Hoya Corp.		10,100		477,233		48,587
Idemitsu Kosan Co. Ltd.		117,300		3,952,647		(615,615	)
Inpex Corp.		353,900		3,366,645		50,424
Isuzu Motors Ltd.		35,000		421,234		13,374
Ito En Ltd.		22,600		851,117		(25,995	)
ITOCHU Corp.		92,300		1,272,646		101,602
Itochu Techno-Solutions Corp.		133,300		3,803,262		871,217
Japan Airlines Co. Ltd.		93,300		2,828,212		61,819
Japan Petroleum Exploration Co. Ltd.		1,100		24,004		(1,023	)
Japan Tobacco, Inc.		56,900		2,029,875		(29,947	)
JSR Corp.		12,900		223,362		(47	)
JTEKT Corp.		50,200		753,540		(14,829	)
JXTG Holdings, Inc.		1,027,500		4,679,003		(183,164	)
Kajima Corp.		389,000		2,782,933		504,747
Kaken Pharmaceutical Co. Ltd.		10,200		571,044		(14,100	)
Kamigumi Co. Ltd.		161,000		1,479,758		212,646
Kaneka Corp.		108,000		782,729		43,844
Kao Corp.		71,100		4,204,970		22,518
KDDI Corp.		79,000		2,132,650		(43,287	)
Kewpie Corp.		32,700		834,864		23,826
Keyence Corp.		2,000		783,937		96,519
Kirin Holdings Co. Ltd.		44,600		925,268		(15,490	)
Kobayashi Pharmaceutical Co. Ltd.		13,300		738,180		52,302

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Konami Holdings Corp.		69,900	$	2,937,342	$	953,691
Konica Minolta, Inc.		25,200		214,705		(4,465	)
Kose Corp.		5,400		619,014		(26,792	)
Kuraray Co. Ltd.		56,900		839,111		196,984
Kurita Water Industries Ltd.		10,500		254,917		32,301
Lion Corp.		151,900		2,788,043		362,647
Marubeni Corp.		71,100		435,681		24,951
Matsumotokiyoshi Holdings Co. Ltd.		42,300		2,126,058		283,531
Mebuki Financial Group, Inc.		110,200		417,848		(6,389	)
Medipal Holdings Corp.		137,500		2,247,243		302,291
MEIJI Holdings Co. Ltd.		3,500		282,706		1,106
Miraca Holdings, Inc.		11,000		497,120		(1,690	)
Mitsubishi Corp.		177,900		3,752,342		(12,702	)
Mitsubishi Electric Corp.		133,900		1,838,481		98,062
Mitsubishi Gas Chemical Co., Inc.		223,600		4,443,239		305,891
Mitsubishi Tanabe Pharma Corp.		136,400		2,837,372		317,847
Mitsui Chemicals, Inc.		905,000		4,223,608		595,855
Mixi, Inc.		77,300		3,716,455		585,235
Mizuho Financial Group, Inc.		744,300		1,276,302		88,352
MS&AD Insurance Group Holdings, Inc.		93,000		2,908,982		227,787
Nexon Co. Ltd.		68,500		1,141,265		217,492
NGK Insulators Ltd.		25,200		543,391		(38,178	)
NH Foods Ltd.		118,000		3,414,456		175,116
NHK Spring Co. Ltd.		214,400		2,256,411		7,226
Nippon Express Co. Ltd.		561,000		2,814,065		706,304
Nippon Shinyaku Co. Ltd.		22,500		1,186,949		253,372
Nippon Shokubai Co. Ltd.		13,700		873,016		11,911
Nippon Telegraph & Telephone Corp.		162,000		7,187,039		460,026
Nisshin Seifun Group, Inc.		15,100		222,593		25,645
Nitori Holdings Co. Ltd.		15,900		2,064,149		64,277
Nitto Denko Corp.		19,100		1,415,187		162,117
Nomura Research Institute Ltd.		27,404		1,021,790		60,847
Obayashi Corp.		180,300		1,860,169		264,149
Oji Holdings Corp.		155,000		693,004		109,508
Oracle Corp. Japan		29,700		1,703,623		228,294
ORIX Corp.		188,600		2,815,666		118,924
Osaka Gas Co. Ltd.		97,000		377,880		19,320
Otsuka Corp.		18,100		1,020,126		105,767
Persol Holdings Co. Ltd.		62,100		1,215,239		(48,492	)
Pola Orbis Holdings, Inc.		85,200		2,153,181		100,921
Recruit Holdings Co. Ltd.		73,500		1,280,773		(15,846	)

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

AQR Funds Semi-Annual Report June 2017

49

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Resona Holdings, Inc.		878,900	$	4,383,902	$	470,976
Sankyo Co. Ltd.		36,800		1,207,275		42,833
Sega Sammy Holdings, Inc.		173,800		2,264,261		78,948
Seiko Epson Corp.		155,200		3,163,548		299,337
Sekisui Chemical Co. Ltd.		128,300		2,066,274		235,871
Seven & i Holdings Co. Ltd.		90,900		3,873,679		(122,740	)
Shimamura Co. Ltd.		20,800		2,837,499		(287,586	)
Shimizu Corp.		38,000		408,470		(4,696	)
Shin-Etsu Chemical Co. Ltd.		32,700		2,787,399		188,722
Shinsei Bank Ltd.		661,000		1,126,521		31,394
Shionogi & Co. Ltd.		47,800		2,514,996		150,231
SMC Corp.		1,500		461,996		(3,457	)
Sojitz Corp.		1,836,800		4,373,416		148,199
Sompo Holdings, Inc.		67,400		2,430,130		185,992
Square Enix Holdings Co. Ltd.		157,100		4,458,608		689,862
Start Today Co. Ltd.		114,200		2,587,223		227,200
Subaru Corp.		43,000		1,486,217		(28,171	)
Sugi Holdings Co. Ltd.		6,700		318,319		40,705
Sumitomo Corp.		64,900		851,380		(5,073	)
Sumitomo Dainippon Pharma Co. Ltd.		174,500		2,807,303		(425,396	)
Sumitomo Electric Industries Ltd.		153,800		2,383,662		(4,313	)
Sumitomo Heavy Industries Ltd.		347,000		2,313,274		(10,711	)
Sumitomo Mitsui Financial Group, Inc.		18,300		632,289		82,224
Sumitomo Mitsui Trust Holdings, Inc.		42,600		1,401,417		128,745
Sumitomo Rubber Industries Ltd.		16,600		280,153		976
Suntory Beverage & Food Ltd.		8,800		426,307		(17,276	)
Suzuken Co. Ltd.		54,000		1,716,593		80,965
Taisei Corp.		439,000		3,508,460		506,874
Takeda Pharmaceutical Co. Ltd.		50,900		2,567,558		16,583
Teijin Ltd.		17,300		311,984		21,855
THK Co. Ltd.		41,700		1,082,380		106,038
Tokyo Broadcasting System Holdings, Inc.		39,800		695,106		10,852
Tokyo Gas Co. Ltd.		271,000		1,432,816		(21,259	)
Toppan Printing Co. Ltd.		223,000		2,201,320		250,791
Tosoh Corp.		435,000		3,685,259		797,945
Toyo Seikan Group Holdings Ltd.		16,900		265,707		20,389
Toyo Suisan Kaisha Ltd.		51,900		1,937,564		53,660
Toyoda Gosei Co. Ltd.		52,000		1,251,808		(5,813	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Toyota Boshoku Corp.		154,400		$	3,347,524		$	(439,098	)
Toyota Tsusho Corp.		87,400			2,595,333			32,417
Tsuruha Holdings, Inc.		2,000			214,701			(2,174	)
West Japan Railway Co.		11,700			830,210			(2,370	)
Yamazaki Baking Co. Ltd.		26,000			531,511			(13,151	)
Yokogawa Electric Corp.		81,200			1,246,457			60,321
							17,533,098
Total of Long Equity Positions								17,533,098
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(4,300	)		(245,952	)		(7,457	)
Advantest Corp.		(38,800	)		(689,940	)		24,818
Aeon Co. Ltd.		(334,300	)		(4,794,736	)		(289,836	)
AEON Financial Service Co. Ltd.		(198,400	)		(3,722,000	)		(488,467	)
Air Water, Inc.		(11,700	)		(212,208	)		(3,724	)
Alps Electric Co. Ltd.		(231,800	)		(6,247,227	)		(486,177	)
Asics Corp.		(289,200	)		(4,679,442	)		(695,227	)
Bank of Kyoto Ltd. (The)		(423,000	)		(2,989,394	)		(1,018,981	)
Calbee, Inc.		(226,600	)		(7,770,600	)		(1,142,253	)
Canon, Inc.		(24,600	)		(825,421	)		(11,356	)
Casio Computer Co. Ltd.		(216,900	)		(3,001,075	)		(341,832	)
Chiba Bank Ltd. (The)		(45,000	)		(272,067	)		(55,417	)
Chugai Pharmaceutical Co. Ltd.		(101,900	)		(3,473,882	)		(343,896	)
Chugoku Electric Power Co., Inc. (The)		(505,300	)		(5,458,973	)		(120,238	)
Concordia Financial Group Ltd.		(338,200	)		(1,499,926	)		(214,203	)
Don Quijote Holdings Co. Ltd.		(129,800	)		(4,519,650	)		(412,078	)
Eisai Co. Ltd.		(18,600	)		(966,156	)		(62,936	)
Electric Power Development Co. Ltd.		(197,700	)		(4,400,634	)		(496,046	)
FamilyMart UNY Holdings Co. Ltd.		(82,300	)		(4,753,903	)		40,920
Hamamatsu Photonics KK		(115,700	)		(3,186,752	)		(378,794	)
Hirose Electric Co. Ltd.		(1,500	)		(201,299	)		(13,358	)
Hokuriku Electric Power Co.		(261,700	)		(2,414,805	)		52,369
Honda Motor Co. Ltd.		(91,900	)		(2,564,890	)		47,006
Hoshizaki Corp.		(2,300	)		(208,333	)		(348	)
IHI Corp.		(267,000	)		(870,869	)		(41,572	)
Iida Group Holdings Co. Ltd.		(18,500	)		(302,971	)		(5,822	)
Isetan Mitsukoshi Holdings Ltd.		(317,200	)		(3,294,523	)		103,425

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

AQR Funds Semi-Annual Report June 2017

50

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Iyo Bank Ltd. (The)		(80,800	)	$	(520,068	)	$	(151,108	)
Izumi Co. Ltd.		(10,600	)		(460,669	)		(142,063	)
J Front Retailing Co. Ltd.		(82,500	)		(1,151,778	)		(119,585	)
Japan Post Holdings Co. Ltd.		(31,200	)		(378,909	)		(9,200	)
Japan Post Insurance Co. Ltd.		(25,300	)		(559,246	)		(340	)
JFE Holdings, Inc.		(31,700	)		(507,466	)		(44,482	)
JGC Corp.		(183,400	)		(3,016,732	)		29,269
Kakaku.com, Inc.		(245,500	)		(3,448,249	)		(80,797	)
Kansai Electric Power Co., Inc. (The)		(30,000	)		(368,122	)		(45,561	)
Kansai Paint Co. Ltd.		(100,500	)		(2,171,219	)		(148,944	)
Kawasaki Heavy Industries Ltd.		(675,000	)		(1,937,277	)		(71,943	)
Keihan Holdings Co. Ltd.		(268,000	)		(1,636,901	)		(68,546	)
Keikyu Corp.		(370,000	)		(4,027,068	)		(435,256	)
Keio Corp.		(331,000	)		(2,579,048	)		(195,478	)
Keisei Electric Railway Co. Ltd.		(37,000	)		(845,239	)		(145,008	)
Kikkoman Corp.		(49,000	)		(1,436,152	)		(131,269	)
Kintetsu Group Holdings Co. Ltd.		(904,000	)		(3,237,340	)		(250,362	)
Kobe Steel Ltd.		(652,400	)		(5,646,775	)		(1,080,275	)
Kubota Corp.		(52,100	)		(855,128	)		(25,508	)
Kyowa Hakko Kirin Co. Ltd.		(21,400	)		(325,279	)		(72,740	)
Kyushu Electric Power Co., Inc.		(297,300	)		(3,149,691	)		(463,613	)
Kyushu Railway Co.		(21,900	)		(690,025	)		(20,282	)
Lawson, Inc.		(17,100	)		(1,180,807	)		(15,903	)
LIXIL Group Corp.		(66,000	)		(1,629,672	)		(24,625	)
Marui Group Co. Ltd.		(350,600	)		(4,544,044	)		(636,369	)
Mazda Motor Corp.		(94,300	)		(1,286,165	)		(38,646	)
MINEBEA MITSUMI, Inc.		(82,500	)		(1,268,902	)		(65,284	)
MISUMI Group, Inc.		(69,000	)		(1,215,041	)		(366,415	)
Mitsubishi Heavy Industries Ltd.		(520,000	)		(2,041,214	)		(99,708	)
Mitsubishi Logistics Corp.		(259,000	)		(3,340,398	)		(115,542	)
Mitsubishi Materials Corp.		(7,200	)		(212,147	)		(6,347	)
Mitsubishi Motors Corp.		(480,100	)		(2,856,658	)		(318,320	)
MonotaRO Co. Ltd.		(121,900	)		(3,805,903	)		(133,583	)
Murata Manufacturing Co. Ltd.		(35,800	)		(5,232,907	)		(232,537	)
Nagoya Railroad Co. Ltd.		(453,000	)		(2,052,707	)		(61,040	)
NGK Spark Plug Co. Ltd.		(366,200	)		(7,704,789	)		(139,403	)
Nidec Corp.		(32,000	)		(3,311,447	)		23,767

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nifco, Inc.		(4,500	)	$	(218,770	)	$	(23,263	)
Nippon Paint Holdings Co. Ltd.		(78,000	)		(2,772,810	)		(194,681	)
Nippon Yusen KK		(1,803,000	)		(3,574,319	)		203,633
Nissan Motor Co. Ltd.		(312,800	)		(2,991,680	)		(131,607	)
Nissin Foods Holdings Co. Ltd.		(4,400	)		(244,972	)		(30,158	)
NOK Corp.		(11,500	)		(252,271	)		8,130
NTN Corp.		(53,000	)		(239,698	)		(6,931	)
Obic Co. Ltd.		(17,200	)		(855,027	)		(204,079	)
Odakyu Electric Railway Co. Ltd.		(268,900	)		(5,092,526	)		(342,150	)
Olympus Corp.		(24,600	)		(903,143	)		1,838
Ono Pharmaceutical Co. Ltd.		(135,700	)		(2,807,765	)		(152,041	)
Orient Corp.		(1,027,200	)		(1,764,462	)		(29,847	)
Oriental Land Co. Ltd.		(56,600	)		(3,251,509	)		(584,558	)
Park24 Co. Ltd.		(10,600	)		(275,188	)		5,457
Pigeon Corp.		(72,300	)		(2,227,709	)		(400,781	)
Ricoh Co. Ltd.		(720,100	)		(5,733,150	)		(645,945	)
Rinnai Corp.		(14,000	)		(1,115,599	)		(192,370	)
Ryohin Keikaku Co. Ltd.		(7,800	)		(1,698,844	)		(253,345	)
Santen Pharmaceutical Co. Ltd.		(145,000	)		(1,977,176	)		7,622
Sawai Pharmaceutical Co. Ltd.		(4,900	)		(256,994	)		(18,201	)
Seibu Holdings, Inc.		(168,600	)		(2,901,399	)		(222,507	)
Sekisui House Ltd.		(13,300	)		(217,538	)		(17,521	)
Seven Bank Ltd.		(1,589,100	)		(5,144,728	)		(552,921	)
Shikoku Electric Power Co., Inc.		(327,200	)		(3,542,021	)		(320,308	)
Shimano, Inc.		(51,600	)		(7,585,528	)		(607,447	)
Shizuoka Bank Ltd. (The)		(84,000	)		(643,707	)		(118,117	)
Sohgo Security Services Co. Ltd.		(20,000	)		(812,279	)		(90,523	)
Sony Corp.		(119,500	)		(4,449,690	)		(108,487	)
Sony Financial Holdings, Inc.		(474,600	)		(7,310,603	)		(805,998	)
Sosei Group Corp.		(28,000	)		(2,848,478	)		(231,571	)
Stanley Electric Co. Ltd.		(11,600	)		(317,196	)		(34,341	)
Sumco Corp.		(81,700	)		(1,300,312	)		112,806
Sumitomo Metal Mining Co. Ltd.		(133,000	)		(1,713,597	)		(64,092	)
Sysmex Corp.		(46,700	)		(2,768,617	)		(26,552	)
T&D Holdings, Inc.		(181,000	)		(2,683,046	)		(84,832	)
Taisho Pharmaceutical Holdings Co. Ltd.		(2,900	)		(230,837	)		9,873
TDK Corp.		(11,800	)		(784,904	)		4,901
Tobu Railway Co. Ltd.		(238,000	)		(1,164,093	)		(136,213	)
Tokyu Corp.		(92,000	)		(654,331	)		(48,695	)
Toray Industries, Inc.		(231,400	)		(1,936,414	)		(4,955	)
TOTO Ltd.		(14,300	)		(530,971	)		(16,931	)
Toyota Industries Corp.		(81,700	)		(3,783,320	)		(537,818	)

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

AQR Funds Semi-Annual Report June 2017

51

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Toyota Motor Corp.		(5,600	)	$	(290,179	)	$	(4,177	)
Unicharm Corp.		(38,800	)		(915,080	)		(61,748	)
USS Co. Ltd.		(10,700	)		(177,008	)		(36,255	)
Yahoo Japan Corp.		(543,100	)		(2,476,216	)		115,238
Yakult Honsha Co. Ltd.		(95,700	)		(5,375,294	)		(1,147,911	)
Yamaha Corp.		(22,700	)		(748,624	)		(37,227	)
Yamaha Motor Co. Ltd.		(126,100	)		(2,830,675	)		(441,541	)
Yamato Holdings Co. Ltd.		(66,800	)		(1,356,962	)		(118	)
Yaskawa Electric Corp.		(238,700	)		(4,572,046	)		(510,369	)
Yokohama Rubber Co. Ltd. (The)		(60,800	)		(1,192,682	)		(32,997	)
								(21,307,157	)
Total of Short Equity Positions								(21,307,157	)
Total of Long and Short Equity Positions								(3,774,059	)
Net Cash and Other Receivables/ (Payables) (b)								(452,286	)
Swaps, at Value							$	(4,226,345	)

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Reserve Bank of Australia Cash rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	17-49 months maturity 10/15/2018		$(846,774	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Adelaide Brighton Ltd.		56,106	$	244,784	$	(2,084	)
AGL Energy Ltd.		238,161		4,914,668		(247,548	)
Ansell Ltd.		38,405		712,668		(12,308	)
Aristocrat Leisure Ltd.		171,288		2,476,372		493,239
Aurizon Holdings Ltd.		725,585		2,951,412		37,214

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
Australia & New Zealand Banking Group Ltd.		43,529	$	967,379	$	(6,621	)
Bendigo & Adelaide Bank Ltd.		66,626		591,598		(24,439	)
Boral Ltd.		100,469		447,333		89,093
CIMIC Group Ltd.		134,553		3,791,091		223,685
Coca-Cola Amatil Ltd.		325,363		2,682,159		(373,331	)
Cochlear Ltd.		7,543		805,562		95,353

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

AQR Funds Semi-Annual Report June 2017

52

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
Flight Centre Travel Group Ltd.		10,338		$	249,623		$	54,678
Fortescue Metals Group Ltd.		436,536			1,744,948			2,547
Harvey Norman Holdings Ltd.		302,064			1,005,015			(118,007	)
Newcrest Mining Ltd.		48,249			784,995			(36,182	)
Orica Ltd.		45,471			716,869			5,709
Origin Energy Ltd.		101,077			563,314			(30,365	)
South32 Ltd.		841,936			1,904,373			(170,400	)
Star Entertainment Grp Ltd. (The)		65,901			277,754			(21,974	)
Tabcorp Holdings Ltd.		83,639			302,123			(21,223	)
Treasury Wine Estates Ltd.		345,568			3,200,954			293,411
Woodside Petroleum Ltd.		13,325			308,736			(3,073	)
Woolworths Ltd.		45,766			937,181			(38,839	)
								188,535
Total of Long Equity Positions								188,535
Short Positions
Common Stocks
Australia
ALS Ltd.		(7,499	)		(35,643	)		(7,282	)
Alumina Ltd.		(690,208	)		(953,387	)		(63,229	)
AMP Ltd.		(1,178,400	)		(4,703,481	)		1,390
APA Group		(676,224	)		(4,670,958	)		(93,866	)
AusNet Services		(187,604	)		(242,054	)		(8,085	)
Bank of Queensland Ltd.		(35,035	)		(312,273	)		4,028
Brambles Ltd.		(473,453	)		(3,476,170	)		(64,117	)
Computershare Ltd.		(25,099	)		(271,558	)		(1,211	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
Domino’s Pizza Enterprises Ltd.		(23,538	)	$	(1,055,976	)	$	114,087
Healthscope Ltd.		(1,720,859	)		(2,925,467	)		877
Iluka Resources Ltd.		(262,915	)		(1,563,260	)		(190,319	)
Insurance Australia Group Ltd.		(103,643	)		(476,722	)		(63,429	)
Medibank Pvt Ltd.		(125,048	)		(271,881	)		2,637
Platinum Asset Management Ltd.		(254,275	)		(966,488	)		61,923
REA Group Ltd.		(39,693	)		(1,880,593	)		(144,568	)
SEEK Ltd.		(415,807	)		(5,100,984	)		(302,638	)
Sonic Healthcare Ltd.		(12,583	)		(208,567	)		(25,713	)
Sydney Airport		(95,753	)		(502,977	)		(18,618	)
TPG Telecom Ltd.		(243,458	)		(1,115,604	)		49,009
Transurban Group		(98,124	)		(891,821	)		(1,834	)
								(750,958	)
Total of Short Equity Positions								(750,958	)
Total of Long and Short Equity Positions								(562,423	)
Net Cash and Other Receivables/ (Payables) (b)								(284,351	)
Swaps, at Value							$	(846,774	)

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

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

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

AQR Funds Semi-Annual Report June 2017

53

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Overnight Index Average (“HONIX”) plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	17-49 months maturity 10/16/2018		$(199,900	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
Cheung Kong Property Holdings Ltd.		230,500		$	1,578,841		$	224,886
CK Hutchison Holdings Ltd.		16,500			208,386			(1,318	)
CLP Holdings Ltd.		230,000			2,424,429			7,671
HKT Trust & HKT Ltd.		573,000			747,151			4,371
Kerry Properties Ltd.		674,500			2,481,864			(191,675	)
Melco International Development Ltd.		158,000			409,092			13,617
New World Development Co. Ltd.		1,985,817			2,477,142			40,066
Sino Land Co. Ltd.		830,000			1,460,282			(100,424	)
SJM Holdings Ltd.		1,272,000			1,129,854			210,417
Sun Hung Kai Properties Ltd.		105,000			1,573,473			(31,005	)
Swire Properties Ltd.		86,000			274,891			8,601
WH Group Ltd.		2,042,500			1,778,433			284,026
Wharf Holdings Ltd. (The)		80,000			684,956			(22,981	)
Wheelock & Co. Ltd.		183,000			1,474,504			(94,208	)
Xinyi Glass Holdings Ltd.		1,956,000			1,756,845			179,252
Yue Yuen Industrial Holdings Ltd.		530,000			2,134,849			63,323
								594,619
Total of Long Equity Positions								594,619
Short Positions
Common Stocks
China
Guotai Junan International Holdings Ltd.		(1,457,000	)		(458,617	)		6,911
Hong Kong
AIA Group Ltd.		(281,400	)		(1,814,110	)		(244,714	)
Cathay Pacific Airways Ltd.		(1,389,000	)		(1,992,389	)		(163,681	)
Haitong International Securities Group Ltd.		(2,356,345	)		(1,383,294	)		(8,320	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Hang Lung Properties Ltd.		(320,000	)	$	(840,329	)	$	40,602
Hang Seng Bank Ltd.		(19,100	)		(388,781	)		(10,795	)
HK Electric Investments & HK Electric Investments Ltd.		(388,000	)		(351,154	)		(5,578	)
Hong Kong & China Gas Co. Ltd.		(1,822,073	)		(3,360,501	)		(66,233	)
Hysan Development Co. Ltd.		(55,000	)		(259,573	)		(2,909	)
MTR Corp. Ltd.		(427,863	)		(2,396,199	)		(11,529	)
Sands China Ltd.		(109,600	)		(523,532	)		21,833
Swire Pacific Ltd.		(32,000	)		(318,607	)		6,234
Techtronic Industries Co. Ltd.		(122,000	)		(539,992	)		(20,597	)
Value Partners Group Ltd.		(2,544,000	)		(2,453,325	)		137,668
								(328,019	)
Macau
MGM China Holdings Ltd.		(819,600	)		(1,798,386	)		(24,254	)
Wynn Macau Ltd.		(888,000	)		(1,931,100	)		(142,440	)
								(166,694	)
United States
Samsonite International SA		(451,500	)		(1,704,142	)		(182,134	)
Total of Short Equity Positions								(669,936	)
Total of Long and Short Equity Positions								(75,317	)
Net Cash and Other Receivables/ (Payables) (b)								(124,583	)
Swaps, at Value							$	(199,900	)

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

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

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

AQR Funds Semi-Annual Report June 2017

54

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EONIA plus or minus a specified spread which is denominated in EUR based on the local currencies of the positions within the swap.	4-37 months maturity 10/12/2017		$1,366,363

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Air France-KLM		182,035	$	1,961,131	$	637,349
Arkema SA		20,078		2,158,035		(13,871	)
Atos SE		86,935		11,610,572		587,331
AXA SA		17,107		476,045		(7,599	)
BNP Paribas SA		27,592		2,029,772		(43,349	)
Capgemini SE		49,481		4,983,182		128,332
Cie de Saint-Gobain		69,542		3,774,704		(60,810	)
Cie Generale des Etablissements Michelin		70,067		9,055,202		270,301
CNP Assurances		118,829		2,580,520		86,741
Eiffage SA		5,112		433,793		30,586
Elior Group		37,744		932,333		164,685
Faurecia		42,784		2,119,816		49,815
Ipsen SA		36,535		4,108,953		890,417
Lagardere SCA		50,680		1,594,695		4,473
L’Oreal SA		4,984		1,094,242		(55,006	)
Peugeot SA		414,764		8,603,006		(336,902	)
Publicis Groupe SA		13,354		987,353		7,961
Rexel SA		32,034		606,300		(82,790	)
Sanofi		60,806		6,028,901		(202,471	)
Schneider Electric SE		14,738		1,165,597		(32,989	)
SCOR SE		32,163		1,288,064		(10,299	)
SEB SA		4,805		720,242		142,200
Societe BIC SA		2,242		288,284		(22,066	)
Sodexo SA		24,163		3,073,966		48,918
Teleperformance		42,410		5,015,824		422,072
Thales SA		65,480		6,839,670		207,572
Ubisoft Entertainment SA		24,546		1,162,285		231,221
Valeo SA		54,397		3,825,342		(165,570	)
						2,876,252
Total of Long Equity Positions						2,876,252

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
France
Accor SA		(208,894	)	$	(9,573,097	)	$	(225,956	)
Air Liquide SA		(46,667	)		(5,825,112	)		57,255
Bollore SA		(847,435	)		(3,511,107	)		(342,020	)
Bureau Veritas SA		(87,516	)		(1,999,518	)		62,314
Carrefour SA		(36,775	)		(909,985	)		(19,758	)
Casino Guichard Perrachon SA		(25,189	)		(1,508,285	)		16,485
Credit Agricole SA		(275,269	)		(4,440,742	)		6,611
Danone SA		(17,572	)		(1,282,758	)		(36,155	)
Edenred		(313,752	)		(8,017,947	)		(166,322	)
Electricite de France SA		(357,468	)		(3,654,628	)		(218,524	)
Essilor International SA		(26,101	)		(3,379,666	)		59,286
Eutelsat Communications SA		(12,142	)		(293,671	)		(16,131	)
Groupe Eurotunnel SE (Registered)		(384,466	)		(4,251,496	)		149,427
Hermes International		(648	)		(331,338	)		11,242
Iliad SA		(1,735	)		(415,915	)		5,886
Ingenico Group SA		(63,276	)		(6,215,491	)		477,156
JCDecaux SA		(70,364	)		(2,496,614	)		189,620
Natixis SA		(418,257	)		(2,844,981	)		37,342
Orpea		(21,001	)		(2,158,861	)		(182,493	)
Pernod Ricard SA		(3,997	)		(512,606	)		(22,621	)
Remy Cointreau SA		(4,843	)		(507,893	)		(56,624	)
SFR Group SA		(88,531	)		(2,923,606	)		(68,558	)
Veolia Environnement SA		(69,097	)		(1,359,027	)		(102,829	)
Vivendi SA		(266,202	)		(5,750,778	)		(176,868	)
Zodiac Aerospace		(65,049	)		(1,758,186	)		(9,091	)
								(571,326	)

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

AQR Funds Semi-Annual Report June 2017

55

Schedule of Investments June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg
Eurofins Scientific SE		(5,317	)	$	(2,533,112	)	$	(466,768	)
SES SA		(106,550	)		(2,638,689	)		142,551
								(324,217	)
Total of Short Equity Positions								(895,543	)
Total of Long and Short Equity Positions								1,980,709
Net Cash and Other Receivables/ (Payables) (b)								(614,346	)
Swaps, at Value							$	1,366,363

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

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

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
CITI
Investment Companies		$1,450,000	$—		$1,450,000
JPMC
Investment Companies		3,723,826	—		3,723,826
MSIP
Cash		217,777,551	—		217,777,551

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

AQR Funds Semi-Annual Report June 2017

56

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 88.3%
INVESTMENT COMPANIES - 48.4%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (a)(b)(c)		3,637,315	$	3,637,315
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (a)(c)		380,308		380,308
Limited Purpose Cash Investment Fund, 0.81% (a)		9,598,464		9,597,505
TOTAL INVESTMENT COMPANIES (cost $13,615,128)				13,615,128
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATION - 39.9%
U.S. Treasury Bill U.S. 1.03%, 11/16/2017
(cost $11,246,852) (b)(d)	$	11,291,000		11,246,107
TOTAL SHORT-TERM INVESTMENTS (cost $24,861,980)				24,861,235
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 88.3% (cost $24,861,980)				24,861,235
OTHER ASSETS IN EXCESS OF LIABILITIES - 11.7% (e)			3,302,868
NET ASSETS - 100.0%			$	28,164,103

(a) Represents 7-day effective yield as of 6/30/2017.

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

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

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

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

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

Forward effective interest rate swap contracts outstanding as of June 30, 2017:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND		CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CRSU	(1)		2.000%	AUD		69,930,000		$—			09/12/2019		$22,921
CRSU	3.000%		(2)	AUD		12,060,000		—			09/09/2027		(76,839	)
CRSU	(3)		2.000%	CAD		1,200,000		14,035			09/13/2027		(23,915	)
CRSU	1.500%		(3)	CAD		25,910,000		(54,458	)		09/16/2019		46,331
CRSU	(4)		0.250%	CHF		1,400,000		—			09/15/2027		(3,848	)
CRSU	0.500%		(4)	CHF		11,480,000		—			09/18/2019		(1,509	)
CRSU	(5)		1.000%	EUR		5,030,000		22,749			09/15/2027		6,242
CRSU	0.500%		(5)	EUR		54,820,000		(74,113	)		09/18/2019		(651,999	)
CRSU	(4)		1.500%	GBP		4,080,000		8,974			09/15/2027		49,628
CRSU	1.000%		(4)	GBP		53,830,000		(17,882	)		09/18/2019		(329,051	)
CRSU	(4)		0.250%	JPY		359,300,000		(654	)		09/15/2027		(5,681	)
CRSU	0.250%		(4)	JPY		2,357,700,000		(2,851	)		09/18/2019		(80,570	)
CRSU	(6)		2.000%	NOK		23,610,000		—			09/15/2027		4,360
CRSU	1.500%		(6)	NOK		156,490,000		—			09/18/2019		(124,733	)
CRSU	(1)		2.500%	NZD		1,300,000		3,872			09/11/2019		(2,322	)
CRSU	(1)		3.000%	NZD		55,280,000		—			09/11/2019		457,014
CRSU	4.000%		(1)	NZD		8,400,000		—			09/15/2027		(317,087	)
CRSU	(7)		1.500%	SEK		18,440,000		—			09/15/2027		43,875
CRSU	0.500%		(7)	SEK		221,100,000		(66,299	)		09/18/2019		(283,464	)

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

AQR Funds Semi-Annual Report June 2017

57

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared (continued)
CRSU	(8)		1.750%		USD		18,030,000		$ 4,342			09/20/2019		$ 21,372
CRSU	2.500%		(8	)	USD		2,290,000		—			09/20/2027		(40,760	)
									$(162,285	)				$(1,290,035	)

(1) 3 Month Australian Bank-Bill Reference Rate

(2) 6 Month Australian Bank-Bill Reference Rate

(3) 3 Month Canadian Bankers’ Acceptance Rate

(4) 6 Month London Interbank Offered Rate

(5) 6 Month Euro Interbank Offered Rate

(6) 6 Month Norwegian Interbank Offered Rate

(7) 3 Month Stockholm Interbank Offered Rate

(8) 3 Month London Interbank Offered Rate

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	BIST 30 August Futures	08/2017		TRY		(37,457	)		$(74	)
BANA	Bovespa Index August Futures	08/2017		BRL		628,871			2,221
CITI	Corn September Futures^	08/2017		USD		38,645			(545	)
MACQ	Corn September Futures^	08/2017		USD		156,055			(3,655	)
GSIN	Hang Seng Index July Futures	07/2017		HKD		16,670,622			(5,169	)
BANA	H-SHARES Index July Futures	07/2017		HKD		2,061,629			(2,899	)
GSIN	H-SHARES Index July Futures	07/2017		HKD		4,626,194			(4,925	)
BANA	KOSPI Index 200 September Futures	09/2017		KRW		1,389,177,950			16,592
GSIN	MSCI South Africa Net Return Index	09/2017		ZAR		(258,252	)		—
GSIN	MSCI Switzerland Net Return Index	09/2017		CHF		(488,790	)		11,915
GSIN	MSCI Taiwan Stock Index July Futures	07/2017		USD		77,766			(706	)
GSIN	SGX S&P CNX Nifty Index July Futures	07/2017		USD		(400,528	)		751
MACQ	Soybean Meal December Futures^	11/2017		USD		(30,883	)		(237	)
SOCG	Soybean Meal December Futures^	11/2017		USD		(30,823	)		(297	)
GSIN	Soybean November Futures^	10/2017		USD		46,958			779
SOCG	Soybean November Futures^	10/2017		USD		47,142			596
BANA	Swiss Market Index September Futures	09/2017		CHF		(3,186,375	)		(11,676	)
BANA	Tel Aviv 25 Index July Futures	07/2017		ILS		(1,154,823	)		2,258
CITI	Wheat September Futures^	08/2017		USD		(22,931	)		(3,369	)
BANA	WIG20 Index September Futures	09/2017		PLN		(315,727	)		(1,159	)
									$401

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

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

AQR Funds Semi-Annual Report June 2017

58

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
4	MSCL	Corn Futures^		09/2017		$75,845			$76,200			$355
1	MSCL	Gasoline RBOB Futures^		07/2017		63,010			63,575			565
3	MSCL	Gold 100 OZ Futures^		08/2017		378,266			372,690			(5,576	)
1	MSCL	Heating Oil ULSD Futures^		07/2017		60,914			62,290			1,376
1	JPPC	LME Aluminum Futures^		07/2017		49,222			47,837			(1,385	)
1	JPPC	LME Aluminum Futures^		07/2017		49,359			47,786			(1,573	)
7	JPPC	LME Aluminum Futures^		08/2017		329,021			334,877			5,856
1	JPPC	LME Aluminum Futures^		08/2017		47,802			47,904			102
7	JPPC	LME Aluminum Futures^		09/2017		338,863			335,913			(2,950	)
1	JPPC	LME Copper Futures^		08/2017		141,127			148,395			7,268
1	JPPC	LME Copper Futures^		09/2017		141,102			148,506			7,404
1	JPPC	LME Copper Futures^		09/2017		141,201			148,463			7,262
2	JPPC	LME Nickel Futures^		09/2017		112,886			112,650			(236	)
2	JPPC	LME Zinc Futures^		09/2017		132,124			138,000			5,876
20	MSCL	Natural Gas Futures^		07/2017		606,754			607,000			246
5	MSCL	Silver Futures^		09/2017		411,567			415,675			4,108
2	MSCL	Soybean Futures^		11/2017		93,965			95,475			1,510
7	MSCL	WTI Crude Futures^		07/2017		322,460			322,280			(180	)
5	BARC	Amsterdam Index Futures		07/2017		599,376			578,499			(20,877	)
11	BARC	DAX Index Futures		09/2017		4,018,373			3,869,604			(148,769	)
92	BARC	Euro Stoxx 50 Index Futures		09/2017		3,738,722			3,605,220			(133,502	)
21	BARC	FTSE 100 Index Futures		09/2017		2,041,537			1,980,929			(60,608	)
4	BARC	H-SHARES Index Futures		07/2017		263,645			261,160			(2,485	)
22	BARC	MSCI Singapore Index Futures		07/2017		570,965			572,791			1,826
54	BARC	OMXS30 Index Futures		07/2017		1,054,594			1,027,318			(27,276	)
5	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		692,465			685,688			(6,777	)
123	MSCL	U.S. Treasury 10-Year Note Futures		09/2017		15,518,881			15,440,344			(78,537	)
						31,994,046			31,547,069			(446,977	)
Short Contracts:
2	GSCO	Brent Crude Futures^		07/2017		$(94,378	)		$(97,540	)		$(3,162	)
1	JPPC	LME Aluminum Futures^		07/2017		(48,923	)		(47,838	)		1,085
1	JPPC	LME Aluminum Futures^		07/2017		(48,919	)		(47,786	)		1,133
7	JPPC	LME Aluminum Futures^		08/2017		(328,883	)		(334,876	)		(5,993	)
1	JPPC	LME Aluminum Futures^		08/2017		(47,894	)		(47,904	)		(10	)
1	JPPC	LME Aluminum Futures^		09/2017		(47,872	)		(47,987	)		(115	)
1	JPPC	LME Copper Futures^		08/2017		(141,066	)		(148,396	)		(7,330	)
3	JPPC	LME Copper Futures^		09/2017		(426,818	)		(445,519	)		(18,701	)
1	JPPC	LME Copper Futures^		09/2017		(141,060	)		(148,462	)		(7,402	)
1	MSCL	Soybean Meal Futures^		12/2017		(30,684	)		(31,120	)		(436	)
12	MSCL	Soybean Oil Futures^		12/2017		(232,431	)		(240,048	)		(7,617	)
56	GSCO	10-Year Japanese Government Bond Futures		09/2017		(7,497,918	)		(7,479,778	)		18,140
52	BARC	BIST 30 Futures		08/2017		(184,649	)		(185,812	)		(1,163	)
51	BARC	CAC40 Index Futures		07/2017		(3,067,901	)		(2,980,343	)		87,558
4	BARC	FTSE Bursa Malaysia KLCI Index Futures		07/2017		(83,006	)		(82,350	)		656
19	BARC	FTSE/JSE Top 40 Index Futures		09/2017		(665,664	)		(663,450	)		2,214
2	BARC	FTSE/MIB Index Futures		09/2017		(240,162	)		(234,129	)		6,033
4	BARC	IBEX 35 Index Futures		07/2017		(494,208	)		(475,404	)		18,804

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

AQR Funds Semi-Annual Report June 2017

59

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
11	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		09/2017		$ (299,755	)		$ (305,021	)		$ (5,266	)
8	BARC	MSCI Taiwan Stock Index Futures		07/2017		(311,109	)		(308,240	)		2,869
29	BARC	S&P 500 E-Mini Futures		09/2017		(3,521,758	)		(3,510,305	)		11,453
51	BARC	SET50 Index Futures		09/2017		(298,539	)		(297,922	)		617
9	BARC	SGX S&P CNX Nifty Index Futures		07/2017		(171,837	)		(171,333	)		504
37	BARC	SPI 200 Index Futures		09/2017		(4,042,136	)		(4,016,185	)		25,951
5	GSCO	10-Year Japanese Government Bond Futures		09/2017		(6,681,262	)		(6,673,038	)		8,224
31	JPMS	Australia 10-Year Bond Futures		09/2017		(3,124,981	)		(3,079,820	)		45,161
52	GSCO	Canadian 10-Year Bond Futures		09/2017		(5,789,989	)		(5,635,873	)		154,116
11	GSCO	Euro-Bund Futures		09/2017		(2,071,742	)		(2,033,679	)		38,063
23	GSCO	Long Gilt Futures		09/2017		(3,818,873	)		(3,761,619	)		57,254
120	MSCL	U.S. Treasury 2-Year Note Futures		09/2017		(25,967,368	)		(25,933,125	)		34,243
14	MSCL	U.S. Treasury Long Bond Futures		09/2017		(2,154,714	)		(2,151,625	)		3,089
						(72,076,499	)		(71,616,527	)		459,972
						$(40,082,453	)		$(40,069,458	)		$12,995

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

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		1,649,400		$1,231,682		$1,266,476		$34,794
Australian Dollar, Expiring 09/20/17	JPMC	AUD		1,077,600		804,468		827,424		22,956
Brazilian Real, Expiring 09/20/17*	CITI	BRL		242,000		72,036		71,893		(143	)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		2,550,400		1,915,456		1,969,141		53,685
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		3,444,600		2,589,036		2,659,544		70,508
Swiss Franc, Expiring 09/20/17	CITI	CHF		14,800		15,313		15,512		199
Swiss Franc, Expiring 09/20/17	JPMC	CHF		22,200		22,970		23,268		298
Chilean Peso, Expiring 09/20/17*	CITI	CLP		248,000,000		371,448		372,744		1,296
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		217,200		31,754		31,849		95
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		124,800		18,238		18,300		62
Czech Republic Koruna, Expiring 09/20/17	CITI	CZK		7,320,000		313,376		321,721		8,345
Czech Republic Koruna, Expiring 09/20/17	JPMC	CZK		8,280,000		354,217		363,918		9,701

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

AQR Funds Semi-Annual Report June 2017

60

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 09/20/17	CITI	EUR		3,454,000		$ 3,883,559		$ 3,961,307		$ 77,748
Euro, Expiring 09/20/17	JPMC	EUR		4,308,000		4,846,985		4,940,738		93,753
British Pound, Expiring 09/20/17	CITI	GBP		2,183,400		2,800,138		2,850,649		50,511
British Pound, Expiring 09/20/17	JPMC	GBP		2,223,600		2,860,676		2,903,135		42,459
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		4,284,600		551,024		549,969		(1,055	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		3,185,400		409,724		408,877		(847	)
Hungarian Forint, Expiring 09/20/17	CITI	HUF		58,557,000		214,301		217,263		2,962
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		34,443,000		125,986		127,794		1,808
Indonesian Rupiah, Expiring 09/20/17*	CITI	IDR		120,000,000		8,904		8,926		22
Indonesian Rupiah, Expiring 09/20/17*	JPMC	IDR		180,000,000		13,356		13,390		34
Indian Rupee, Expiring 09/20/17*	CITI	INR		24,535,000		376,484		376,340		(144	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		36,765,000		564,150		563,932		(218	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		266,870,400		2,407,991		2,380,839		(27,152	)
Japanese Yen, Expiring 09/20/17	JPMC	JPY		249,246,600		2,241,230		2,223,612		(17,618	)
Korean Won, Expiring 09/20/17*	CITI	KRW		771,651,000		681,016		674,568		(6,448	)
Korean Won, Expiring 09/20/17*	JPMC	KRW		327,600,000		292,965		286,385		(6,580	)
Mexican Peso, Expiring 09/20/17	CITI	MXN		17,557,800		946,779		955,550		8,771
Mexican Peso, Expiring 09/20/17	JPMC	MXN		9,454,200		511,232		514,529		3,297
Norwegian Krone, Expiring 09/20/17	CITI	NOK		5,570,600		661,168		668,264		7,096
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		1,211,400		145,353		145,323		(30	)
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		985,600		708,439		721,207		12,768
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		1,478,400		1,062,641		1,081,812		19,171
Philippine Peso, Expiring 09/20/17*	CITI	PHP		200,000		3,980		3,936		(44	)
Philippine Peso, Expiring 09/20/17*	JPMC	PHP		300,000		5,970		5,905		(65	)
Poland Zloty, Expiring 09/20/17	CITI	PLN		441,800		117,707		119,181		1,474
Poland Zloty, Expiring 09/20/17	JPMC	PLN		118,200		31,718		31,886		168
Russian Ruble, Expiring 09/20/17*	CITI	RUB		18,120,000		312,849		302,249		(10,600	)
Russian Ruble, Expiring 09/20/17*	JPMC	RUB		3,480,000		60,174		58,048		(2,126	)

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

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61

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Swedish Krona, Expiring 09/20/17	CITI	SEK		2,831,200		$ 325,016		$ 337,559		$ 12,543
Swedish Krona, Expiring 09/20/17	JPMC	SEK		4,246,800		487,524		506,339		18,815
Singapore Dollar, Expiring 09/20/17	CITI	SGD		423,000		306,384		307,623		1,239
Turkish Lira, Expiring 09/20/17	CITI	TRY		1,295,000		354,657		359,934		5,277
Turkish Lira, Expiring 09/20/17	JPMC	TRY		1,536,000		419,213		426,920		7,707
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		6,320,000		210,648		207,899		(2,749	)
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		1,980,000		65,971		65,133		(838	)
South African Rand, Expiring 09/20/17	CITI	ZAR		3,459,000		261,571		260,932		(639	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		690,000		52,199		52,051		(148	)
						37,069,676		37,561,794		492,118

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		(1,279,600	)		$(945,096	)		$(982,528	)		$(37,432	)
Australian Dollar, Expiring 09/20/17	JPMC	AUD		(1,919,400	)		(1,417,643	)		(1,473,792	)		(56,149	)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		(1,774,000	)		(529,516	)		(527,013	)		2,503
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		(2,256,000	)		(674,141	)		(670,201	)		3,940
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(395,600	)		(293,405	)		(305,439	)		(12,034	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(593,400	)		(440,108	)		(458,159	)		(18,051	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		(1,173,200	)		(1,214,410	)		(1,229,645	)		(15,235	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(1,669,800	)		(1,728,644	)		(1,750,137	)		(21,493	)
Chilean Peso, Expiring 09/20/17*	CITI	CLP		(150,400,000	)		(224,194	)		(226,051	)		(1,857	)
Chilean Peso, Expiring 09/20/17*	JPMC	CLP		(225,600,000	)		(336,292	)		(339,077	)		(2,785	)
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		(3,525,800	)		(513,842	)		(517,005	)		(3,163	)
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		(2,491,200	)		(364,070	)		(365,297	)		(1,227	)
Colombian Peso, Expiring 09/20/17*	CITI	COP		(428,000,000	)		(145,007	)		(139,002	)		6,005
Colombian Peso, Expiring 09/20/17*	JPMC	COP		(132,000,000	)		(44,647	)		(42,870	)		1,777
Euro, Expiring 09/20/17	CITI	EUR		(1,493,600	)		(1,683,472	)		(1,712,975	)		(29,503	)

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

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62

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 09/20/17	JPMC	EUR		(1,490,400	)		$ (1,676,945	)		$ (1,709,303	)		$ (32,358	)
British Pound, Expiring 09/20/17	CITI	GBP		(2,179,200	)		(2,811,986	)		(2,845,165	)		(33,179	)
British Pound, Expiring 09/20/17	JPMC	GBP		(2,338,800	)		(3,028,040	)		(3,053,539	)		(25,499	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(487,200	)		(62,656	)		(62,537	)		119
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(475,800	)		(61,198	)		(61,073	)		125
Indonesian Rupiah, Expiring 09/20/17*	CITI	IDR		(400,000,000	)		(29,758	)		(29,755	)		3
Israeli Shekel, Expiring 09/20/17	CITI	ILS		(16,000	)		(4,528	)		(4,601	)		(73	)
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		(24,000	)		(6,792	)		(6,901	)		(109	)
Indian Rupee, Expiring 09/20/17*	CITI	INR		(39,680,000	)		(609,709	)		(608,646	)		1,063
Indian Rupee, Expiring 09/20/17*	JPMC	INR		(32,220,000	)		(494,547	)		(494,219	)		328
Japanese Yen, Expiring 09/20/17	CITI	JPY		(85,935,000	)		(777,065	)		(766,654	)		10,411
Japanese Yen, Expiring 09/20/17	JPMC	JPY		(92,985,000	)		(838,431	)		(829,550	)		8,881
Korean Won, Expiring 09/20/17*	CITI	KRW		(797,312,000	)		(712,719	)		(697,002	)		15,717
Korean Won, Expiring 09/20/17*	JPMC	KRW		(1,195,968,000	)		(1,069,076	)		(1,045,502	)		23,574
Mexican Peso, Expiring 09/20/17	CITI	MXN		(2,986,000	)		(161,591	)		(162,508	)		(917	)
Mexican Peso, Expiring 09/20/17	JPMC	MXN		(4,029,000	)		(218,139	)		(219,271	)		(1,132	)
Norwegian Krone, Expiring 09/20/17	CITI	NOK		(5,803,200	)		(692,272	)		(696,168	)		(3,896	)
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		(8,704,800	)		(1,038,407	)		(1,044,252	)		(5,845	)
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		(1,656,000	)		(1,163,841	)		(1,211,769	)		(47,928	)
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		(2,484,000	)		(1,745,759	)		(1,817,654	)		(71,895	)
Philippine Peso, Expiring 09/20/17*	CITI	PHP		(3,920,000	)		(77,183	)		(77,153	)		30
Philippine Peso, Expiring 09/20/17*	JPMC	PHP		(1,380,000	)		(27,212	)		(27,161	)		51
Russian Ruble, Expiring 09/20/17*	CITI	RUB		(11,800,000	)		(198,939	)		(196,829	)		2,110
Russian Ruble, Expiring 09/20/17*	JPMC	RUB		(1,500,000	)		(24,969	)		(25,021	)		(52	)
Swedish Krona, Expiring 09/20/17	CITI	SEK		(7,078,000	)		(820,445	)		(843,899	)		(23,454	)
Singapore Dollar, Expiring 09/20/17	CITI	SGD		(249,200	)		(180,061	)		(181,229	)		(1,168	)
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		(373,800	)		(270,091	)		(271,842	)		(1,751	)
Turkish Lira, Expiring 09/20/17	CITI	TRY		(302,000	)		(83,147	)		(83,937	)		(790	)

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

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63

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Turkish Lira, Expiring 09/20/17	JPMC	TRY		(138,000	)		$ (37,799	)		$ (38,357	)		$ (558	)
South African Rand, Expiring 09/20/17	CITI	ZAR		(2,287,600	)		(173,563	)		(172,566	)		997
South African Rand, Expiring 09/20/17	JPMC	ZAR		(1,928,400	)		(146,313	)		(145,470	)		843
							(29,797,668	)		(30,168,724	)		(371,056	)
							$7,272,008			$7,393,070			$121,062

* Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—		$1,713,300		$1,713,300
CITI
Investment Companies		131,117		—		131,117
CRSU
Cash		—		2,433,754		2,433,754
GSCO
Cash		—		43,368		43,368
GSIN
Investment Companies		380,308		—		380,308
JPMC
Investment Companies		270,818		—		270,818
JPMS
Cash		—		65,653		65,653
MSCL
Cash		—		134,700		134,700

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

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64

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$60,232		$—		$60,232
GSCO
Cash		—		9,497		9,497
JPPC
Cash		—		81,858		81,858
MSCL
Cash		—		157,354		157,354

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

AQR Funds Semi-Annual Report June 2017

65

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 116.4%
COMMON STOCKS - 27.9%
Belgium - 1.3%
Ageas (a)		280,199	$	11,283,940
bpost SA (a)		259,047		6,256,603
Colruyt SA (a)		15,938		839,434
Galapagos NV *(a)		82,421		6,300,792
KBC Group NV		7,649		579,940
Proximus SADP (a)		115,985		4,059,407
Solvay SA (a)		82,363		11,054,038
UCB SA (a)		57,870		3,980,087
Umicore SA (a)		127,489		8,868,271
			53,222,512
Canada - 3.1%
Air Canada (1)*(a)		792,950		10,627,291
Alimentation Couche-Tard, Inc., Class B (1)(a)		159,179		7,629,987
ARC Resources Ltd. (1)		64,873		848,432
Atco Ltd., Class I (1)(a)		70,710		2,765,040
Bank of Montreal (1)(a)		56,979		4,183,791
Bank of Nova Scotia (The) (1)(a)		118,808		7,146,987
CAE, Inc. (1)(a)		47,851		825,068
Canadian Imperial Bank of Commerce (1)(a)		46,758		3,799,989
Canadian Tire Corp. Ltd., Class A (1)(a)		67,667		7,699,678
CCL Industries, Inc., Class B (1)(a)		33,650		1,702,480
CGI Group, Inc., Class A (1)*(a)		24,757		1,264,959
Constellation Software, Inc. (1)(a)		2,575		1,347,090
Dollarama, Inc. (1)(a)		143,802		13,740,365
Empire Co. Ltd., Class A (1)(a)		42,269		720,998
Encana Corp. (1)(a)		470,776		4,142,161
George Weston Ltd. (1)(a)		31,078		2,813,268
Husky Energy, Inc. (1)*		78,229		887,979
Industrial Alliance Insurance & Financial Services, Inc. (1)(a)		34,538		1,498,387
Linamar Corp. (1)(a)		88,062		4,340,626
Lundin Mining Corp. (1)(a)		103,070		585,770
Magna International, Inc. (1)(a)		202,912		9,399,232
Metro, Inc. (1)(a)		60,197		1,981,190
National Bank of Canada (1)(a)		181,603		7,636,345
Open Text Corp. (1)(a)		67,633		2,134,653
Peyto Exploration & Development Corp. (1)(a)		38,951		706,452
Quebecor, Inc., Class B (1)(a)		20,484		677,956
Royal Bank of Canada (1)(a)		103,464		7,512,469
Saputo, Inc. (1)(a)		189,375		6,023,843
Seven Generations Energy Ltd., Class A (1)*(a)		42,382		725,867
Shaw Communications, Inc., Class B (1)(a)		58,339		1,272,679
Suncor Energy, Inc. (1)(a)		91,038		2,659,955
Toronto-Dominion Bank (The) (1)(a)		126,443		6,371,877
Tourmaline Oil Corp. (1)*(a)		35,425		761,605
West Fraser Timber Co. Ltd. (1)(a)		27,233		1,288,990
			127,723,459
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd. (a)		5,862,200		5,065,694

INVESTMENTS	SHARES		VALUE
Denmark - 1.8%
Danske Bank A/S (a)		111,208	$	4,278,515
Genmab A/S *(a)		6,391		1,362,688
GN Store Nord A/S (a)		178,050		5,198,880
H Lundbeck A/S (a)		215,123		12,076,402
ISS A/S (a)		151,513		5,951,606
Novo Nordisk A/S, Class B		14,776		634,885
TDC A/S (a)		1,868,814		10,867,884
Vestas Wind Systems A/S (a)		418,898		38,692,494
William Demant Holding A/S *(a)		31,392		812,236
			79,875,590
Finland - 1.4%
Cargotec OYJ, Class B (a)		54,285		3,443,611
Huhtamaki OYJ (a)		20,376		802,420
Kesko OYJ, Class B (a)		88,949		4,524,647
Neste OYJ (a)		430,491		16,987,595
Nokian Renkaat OYJ (a)		66,485		2,752,048
Orion OYJ, Class B (a)		153,989		9,836,945
Stora Enso OYJ, Class R (a)		268,170		3,465,308
UPM-Kymmene OYJ (a)		606,910		17,305,867
			59,118,441
Germany - 5.2%
Allianz SE (Registered) (a)		54,892		10,832,506
Aurubis AG (a)		75,900		5,970,774
Bayer AG (Registered)		22,513		2,917,914
Beiersdorf AG (a)		32,286		3,395,893
Brenntag AG (a)		29,746		1,725,094
Covestro AG (a)(b)		362,253		26,261,188
Deutsche Lufthansa AG (Registered) (a)		768,632		17,516,779
Deutsche Post AG (Registered) (a)		343,883		12,908,767
Evonik Industries AG (a)		140,156		4,485,800
Freenet AG (a)		101,549		3,239,677
Hannover Rueck SE (a)		18,488		2,220,659
HeidelbergCement AG (a)		62,632		6,071,475
Hella KGaA Hueck & Co. (a)		35,206		1,736,231
Henkel AG & Co. KGaA (Preference) (a)		13,631		1,879,630
HOCHTIEF AG (a)		56,597		10,390,016
Infineon Technologies AG (a)		840,585		17,854,509
Innogy SE (a)(b)		33,237		1,308,091
LANXESS AG (a)		24,204		1,835,637
Merck KGaA (a)		16,976		2,054,074
MTU Aero Engines AG (a)		22,984		3,247,336
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (a)		57,722		11,680,215
OSRAM Licht AG (a)		105,838		8,448,208
Rheinmetall AG (a)		153,567		14,617,067
RWE AG *(a)		81,601		1,630,047
Salzgitter AG (a)		126,243		5,152,060
Siemens AG (Registered) (a)		88,450		12,166,649
Software AG (a)		218,140		9,567,654
STADA Arzneimittel AG *		16,805		1,193,676
Suedzucker AG (a)		326,625		6,819,061
Talanx AG (a)		147,346		5,511,606
Uniper SE (a)		499,945		9,394,111
			224,032,404

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

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66

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Italy - 3.0%
A2A SpA (a)		8,658,530	$	14,396,970
Assicurazioni Generali SpA (a)		934,811		15,430,156
Davide Campari-Milano SpA (a)		307,274		2,172,330
Enel SpA (a)		6,981,034		37,442,758
Eni SpA (a)		501,434		7,535,488
Hera SpA (a)		917,013		2,803,527
Italgas SpA		190,237		959,392
Leonardo SpA (a)		811,093		13,504,512
Mediobanca SpA (a)		339,675		3,360,417
Moncler SpA (a)		447,125		10,488,898
Poste Italiane SpA (a)(b)		240,833		1,651,390
Prysmian SpA (a)		221,567		6,534,797
Recordati SpA (a)		206,934		8,391,601
Terna Rete Elettrica Nazionale SpA (a)		341,286		1,843,331
Unipol Gruppo Finanziario SpA (a)		1,405,656		6,167,451
			132,683,018
Malta - 0.1%
Kindred Group plc, SDR		237,841		2,692,705
Netherlands - 1.9%
Aalberts Industries NV (a)		14,404		573,168
ABN AMRO Group NV, CVA (a)(b)		123,515		3,272,141
Akzo Nobel NV		8,014		696,967
ASM International NV (a)		118,212		6,874,477
Axfood AB (a)		38,022		634,866
Gemalto NV (a)		107,834		6,467,562
Koninklijke DSM NV (a)		131,740		9,581,786
Koninklijke Philips NV (a)		395,412		14,076,149
NN Group NV (a)		514,280		18,248,226
Philips Lighting NV (a)(b)		82,536		3,048,662
Randstad Holding NV (a)		142,806		8,325,750
Wolters Kluwer NV (a)		182,733		7,728,322
			79,528,076
Norway - 0.4%
Leroy Seafood Group ASA (a)		746,981		4,056,644
Marine Harvest ASA *(a)		742,668		12,706,462
Orkla ASA (a)		78,062		793,423
			17,556,529
Portugal - 0.1%
EDP-Energias de Portugal SA (a)		860,955		2,816,374
Galp Energia SGPS SA (a)		291,953		4,424,187
			7,240,561
Singapore - 0.2%
ComfortDelGro Corp. Ltd.		408,300		681,986
Genting Singapore plc (a)		10,150,600		7,997,309
SATS Ltd.		402,600		1,493,515
Singapore Airlines Ltd.		113,400		833,405
StarHub Ltd.		312,900		618,193
United Overseas Bank Ltd.		52,400		879,725
Wilmar International Ltd.		528,700		1,285,983
			13,790,116

INVESTMENTS	SHARES		VALUE
Spain - 2.3%
ACS Actividades de Construccion y Servicios SA (a)		137,648	$	5,322,006
Aena SA (a)(b)		31,438		6,139,037
Amadeus IT Group SA (a)		103,671		6,197,010
Banco Bilbao Vizcaya Argentaria SA		115,658		963,425
Banco Santander SA (a)		109,914		729,816
Bankinter SA (a)		141,565		1,305,930
Distribuidora Internacional de Alimentacion SA (a)		127,052		792,853
Ebro Foods SA (a)		34,720		794,006
Endesa SA (a)		683,813		15,774,604
Gas Natural SDG SA (a)		120,794		2,827,602
Iberdrola SA (a)		1,615,860		12,804,758
Mapfre SA (a)		2,101,590		7,356,011
Mediaset Espana Comunicacion SA (a)		66,001		821,947
Melia Hotels International SA (a)		140,621		2,106,140
Repsol SA (a)		1,678,540		25,733,830
Tecnicas Reunidas SA (a)		64,414		2,496,007
Telefonica SA		267,203		2,765,983
			94,930,965
Sweden - 1.9%
BillerudKorsnas AB (a)		365,162		5,771,064
Boliden AB (a)		601,568		16,443,825
Electrolux AB, Series B (a)		328,391		10,768,354
Essity AB, Class B *		130,392		3,567,528
Husqvarna AB, Class B (a)		403,050		4,006,397
NCC AB, Class B (a)		274,196		7,723,456
Nibe Industrier AB, Class B (a)		77,525		732,285
Saab AB, Class B (a)		136,474		6,744,863
Sandvik AB (a)		244,129		3,843,625
Securitas AB, Class B (a)		274,740		4,633,897
Skanska AB, Class B (a)		313,385		7,441,624
SKF AB, Class B (a)		55,549		1,128,000
SSAB AB, Class A *(a)		472,845		2,157,988
Svenska Cellulosa AB SCA, Class B (a)		191,941		1,452,035
Swedish Match AB (a)		181,705		6,401,615
Volvo AB, Class B		48,803		832,269
			83,648,825
Switzerland - 4.4%
ABB Ltd. (Registered) (a)		632,829		15,707,520
Adecco Group AG (Registered) (a)		250,342		19,071,605
Baloise Holding AG (Registered) (a)		18,480		2,862,547
dormakaba Holding AG *(a)		1,965		1,710,160
Flughafen Zurich AG (Registered) (a)		13,014		3,196,241
Geberit AG (Registered) (a)		16,101		7,518,528
Georg Fischer AG (Registered) (a)		6,051		5,869,345
LafargeHolcim Ltd. (Registered) *(a)		42,073		2,418,065
Lonza Group AG (Registered) *(a)		21,243		4,601,577
Nestle SA (Registered)		96,688		8,432,903
Partners Group Holding AG (a)		11,444		7,105,701
Roche Holding AG (a)		32,467		8,295,803
Sika AG (a)		2,039		13,090,641
STMicroelectronics NV (a)		1,327,961		19,128,373
Straumann Holding AG (Registered) (a)		12,982		7,392,871
Swiss Life Holding AG (Registered) *(a)		23,135		7,825,924
Swiss Re AG (a)		264,776		24,264,806

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

AQR Funds Semi-Annual Report June 2017

67

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Switzerland - 4.4% (continued)
Temenos Group AG (Registered) (a)		160,629	$	14,370,362
Zurich Insurance Group AG (a)		53,054		15,483,756
			188,346,728
United Kingdom - 0.7%
Dialog Semiconductor plc *(a)		263,344		11,251,448
Fiat Chrysler Automobiles NV *(a)		1,819,768		19,225,072
			30,476,520
TOTAL COMMON STOCKS (cost $1,062,531,273)				1,199,932,143
SHORT-TERM INVESTMENTS - 88.5%
INVESTMENT COMPANIES - 52.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (c)		6,584,603		6,584,603
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (c)		26,338,411		26,338,411
J.P. Morgan U.S. Treasury Plus Money Market Fund-IM Shares, 0.86% (c)(d)		31,269,470		31,269,470
J.P. Morgan U.S. Treasury Plus Money Market Fund-Institutional Shares, 0.80% (c)(d)		568,923,892		568,923,892
Limited Purpose Cash Investment Fund, 0.81% (c)(e)		1,578,643,597		1,578,485,732
UBS Select Treasury Preferred Fund, Class I, 0.85% (c)		32,923,013		32,923,013
TOTAL INVESTMENT COMPANIES (cost $2,244,525,121)				2,244,525,121
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 36.4%
U.S. Treasury Bills 0.62%, 7/6/2017 (f)	$	74,826,000		74,821,286
0.59%, 7/13/2017 (f)		21,807,000		21,802,311
0.61%, 7/20/2017 (f)		58,208,000		58,186,521
0.60%, 7/27/2017 (f)		14,718,000		14,709,949
0.62%, 8/3/2017 (f)		40,162,000		40,132,521
0.62%, 8/10/2017 (f)		65,597,000		65,536,651
0.65%, 8/17/2017 (f)		66,586,000		66,510,758
0.67%, 8/24/2017 (f)		147,858,000		147,661,940
0.67%, 8/31/2017 (f)		26,226,000		26,186,346
0.83%, 9/7/2017 (f)		89,905,000		89,748,385
0.91%, 9/14/2017 (f)		60,437,000		60,320,900
0.89%, 9/21/2017 (f)		54,439,000		54,321,248
0.91%, 9/28/2017 (f)		64,228,000		64,071,219
0.91%, 10/5/2017 (f)		17,531,000		17,484,543
0.95%, 10/12/2017 (f)		20,603,000		20,543,334
0.95%, 10/19/2017 (f)		48,450,000		48,300,193
0.96%, 10/26/2017 (f)		118,023,000		117,630,810
0.98%, 11/2/2017 (f)		56,705,000		56,504,605
1.02%, 11/9/2017 (f)		40,189,000		40,037,729
1.02%, 11/16/2017 (f)		56,534,000		56,309,221
1.05%, 11/24/2017 (f)		38,357,000		38,194,405

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 36.4% (continued)
1.06%, 11/30/2017 (f)	$	68,485,000		$	68,183,734
1.07%, 12/7/2017 (f)		60,589,000			60,306,292
1.11%, 12/14/2017 (f)		122,335,000			121,740,085
1.13%, 12/21/2017 (f)		46,208,000			45,972,201
1.12%, 12/28/2017 (f)		91,956,000			91,446,196
TOTAL U.S. TREASURY OBLIGATIONS (cost $1,566,815,890)					1,566,663,383
TOTAL SHORT-TERM INVESTMENTS (cost $3,811,341,011)					3,811,188,504
TOTAL LONG POSITIONS (cost $4,873,872,284)					5,011,120,647
	SHARES
SHORT POSITIONS - (24.0)%
COMMON STOCKS - (24.0)%
Austria - (0.3)%
ams AG *		(201,074	)		(13,048,082	)
Belgium - (1.2)%
Anheuser-Busch InBev SA/NV		(424,508	)		(46,886,286	)
Telenet Group Holding NV *		(76,478	)		(4,817,727	)
				(51,704,013)
Canada - (2.5)%
AltaGas Ltd. (1)		(119,589	)		(2,737,046	)
Barrick Gold Corp. (1)		(173,196	)		(2,755,270	)
BlackBerry Ltd. (1)*		(533,823	)		(5,334,937	)
Bombardier, Inc., Class B (1)*		(1,272,537	)		(2,315,845	)
Cameco Corp. (1)		(771,255	)		(7,023,844	)
Canadian Utilities Ltd., Class A (1)		(66,156	)		(2,125,787	)
Cenovus Energy, Inc. (1)		(361,635	)		(2,665,970	)
CI Financial Corp. (1)		(30,690	)		(654,127	)
Eldorado Gold Corp. (1)		(393,860	)		(1,044,786	)
Element Fleet Management Corp. (1)		(275,424	)		(1,890,248	)
Emera, Inc. (1)		(21,789	)		(810,031	)
Enbridge Income Fund Holdings, Inc. (1)		(24,742	)		(614,162	)
Enbridge, Inc. (1)		(355,282	)		(14,153,199	)
Fairfax Financial Holdings Ltd. (1)		(20,850	)		(9,036,018	)
Franco-Nevada Corp. (1)		(77,403	)		(5,584,977	)
Gildan Activewear, Inc. (1)		(196,070	)		(6,025,131	)
Goldcorp, Inc. (1)		(371,671	)		(4,792,057	)
IGM Financial, Inc. (1)		(20,603	)		(638,998	)
Imperial Oil Ltd. (1)		(126,247	)		(3,679,933	)
Inter Pipeline Ltd. (1)		(81,909	)		(1,604,325	)
Keyera Corp. (1)		(64,262	)		(2,022,806	)
Kinross Gold Corp. (1)*		(434,338	)		(1,765,084	)
Methanex Corp. (1)		(17,729	)		(782,684	)
Potash Corp. of Saskatchewan, Inc. (1)		(313,459	)		(5,112,321	)
Power Financial Corp. (1)		(75,595	)		(1,939,425	)
PrairieSky Royalty Ltd. (1)		(32,356	)		(736,793	)
Restaurant Brands International, Inc. (1)		(9,231	)		(577,578	)
TransCanada Corp. (1)		(243,353	)		(11,600,927	)
Wheaton Precious Metals Corp. (1)		(315,522	)		(6,267,618	)

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

AQR Funds Semi-Annual Report June 2017

68

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Canada - (2.5)% (continued)
Whitecap Resources, Inc. (1)		(89,748	)	$	(640,859	)
WSP Global, Inc. (1)		(65,691	)		(2,725,812	)
Yamana Gold, Inc. (1)		(345,557	)		(834,048	)
				(110,492,646)
Denmark - (1.3)%
AP Moller-Maersk A/S, Class B		(1,731	)		(3,485,390	)
Chr Hansen Holding A/S		(111,479	)		(8,107,510	)
Coloplast A/S, Class B		(122,236	)		(10,217,141	)
DONG Energy A/S (b)		(22,431	)		(1,012,447	)
DSV A/S		(93,899	)		(5,767,666	)
Novozymes A/S, Class B		(398,182	)		(17,420,114	)
Pandora A/S		(133,099	)		(12,421,415	)
Tryg A/S		(48,191	)		(1,053,891	)
				(59,485,574)
Finland - (0.9)%
Amer Sports OYJ *		(177,224	)		(4,432,728	)
Elisa OYJ		(17,784	)		(689,880	)
Kone OYJ, Class B		(91,717	)		(4,666,113	)
Nokia OYJ		(3,926,245	)		(24,074,667	)
Outokumpu OYJ		(169,797	)		(1,354,925	)
Sampo OYJ, Class A		(32,161	)		(1,650,040	)
Wartsila OYJ Abp		(12,972	)		(767,131	)
				(37,635,484)
Germany - (4.2)%
Axel Springer SE		(90,795	)		(5,461,414	)
Bayerische Motoren Werke AG		(122,455	)		(11,389,207	)
Bilfinger SE		(69,902	)		(2,743,736	)
Commerzbank AG *		(590,365	)		(7,049,509	)
Daimler AG (Registered)		(25,757	)		(1,868,121	)
Deutsche Bank AG (Registered)		(536,612	)		(9,540,849	)
Deutsche Telekom AG (Registered)		(203,172	)		(3,662,170	)
Duerr AG		(40,345	)		(4,801,545	)
E.ON SE		(2,257,888	)		(21,314,393	)
Fielmann AG		(65,640	)		(5,066,162	)
Fraport AG Frankfurt Airport Services Worldwide		(9,586	)		(848,290	)
GEA Group AG		(308,985	)		(12,687,260	)
HUGO BOSS AG		(13,418	)		(940,633	)
KION Group AG		(7,272	)		(556,254	)
Krones AG		(15,156	)		(1,756,909	)
MAN SE		(8,173	)		(876,510	)
METRO AG		(27,593	)		(932,151	)
ProSiebenSat.1 Media SE		(297,630	)		(12,485,423	)
Sartorius AG (Preference)		(43,343	)		(4,191,083	)
Schaeffler AG (Preference)		(41,927	)		(601,508	)
Symrise AG		(127,159	)		(9,021,969	)
Telefonica Deutschland Holding AG		(1,491,828	)		(7,460,624	)
thyssenkrupp AG		(443,007	)		(12,625,687	)
United Internet AG (Registered)		(233,303	)		(12,839,609	)
Volkswagen AG (Preference)		(115,187	)		(17,595,478	)
Zalando SE *(b)		(272,908	)		(12,479,269	)
				(180,795,763)

INVESTMENTS	SHARES			VALUE
Hong Kong - 0.0% (g)
Hutchison Port Holdings Trust, Class U (1)		(2,834,100	)	$	(1,147,811	)
Italy - (2.2)%
Azimut Holding SpA		(440,441	)		(8,860,729	)
Banca Generali SpA		(130,333	)		(3,889,169	)
Banco BPM SpA *		(4,260,329	)		(14,308,349	)
BPER Banca		(365,578	)		(1,831,078	)
Brembo SpA		(74,926	)		(1,097,890	)
Buzzi Unicem SpA		(32,529	)		(811,110	)
FinecoBank Banca Fineco SpA		(565,314	)		(4,456,081	)
Mediaset SpA *		(1,331,627	)		(5,246,243	)
Saipem SpA *		(2,504,476	)		(9,274,558	)
Salvatore Ferragamo SpA		(283,787	)		(7,576,980	)
Snam SpA		(785,679	)		(3,428,828	)
UniCredit SpA *		(1,140,523	)		(21,363,429	)
UnipolSai Assicurazioni SpA		(339,266	)		(744,300	)
Yoox Net-A-Porter Group SpA *		(386,737	)		(10,716,223	)
				(93,604,967)
Luxembourg - (0.9)%
APERAM SA		(15,737	)		(730,759	)
ArcelorMittal *		(315,048	)		(7,146,265	)
Millicom International Cellular SA, SDR		(79,259	)		(4,688,014	)
Tenaris SA		(1,735,661	)		(27,100,155	)
				(39,665,193)
Netherlands - (1.7)%
Altice NV, Class A *		(1,390,069	)		(32,026,342	)
ASML Holding NV		(6,291	)		(820,049	)
Boskalis Westminster		(75,649	)		(2,456,774	)
Heineken NV		(114,935	)		(11,175,667	)
Koninklijke KPN NV		(3,293,169	)		(10,540,000	)
Koninklijke Vopak NV		(68,602	)		(3,178,938	)
OCI NV *		(117,517	)		(2,587,591	)
SBM Offshore NV		(498,153	)		(7,979,740	)
				(70,765,101)
Norway - (0.4)%
Gjensidige Forsikring ASA		(88,070	)		(1,503,346	)
Norsk Hydro ASA		(103,197	)		(571,093	)
Schibsted ASA, Class A		(252,934	)		(6,109,083	)
Statoil ASA		(308,168	)		(5,110,085	)
Telenor ASA		(102,244	)		(1,696,253	)
Yara International ASA		(32,078	)		(1,206,206	)
				(16,196,066)
Portugal - (0.1)%
Banco Comercial Portugues SA, Class R *		(16,890,791	)		(4,545,268	)
Jeronimo Martins SGPS SA		(37,905	)		(740,049	)
				(5,285,317)
Singapore - (0.4)%
CapitaLand Ltd.		(1,344,900	)		(3,417,418	)
Global Logistic Properties Ltd.		(1,330,900	)		(2,764,896	)
Keppel Corp. Ltd.		(1,385,100	)		(6,325,313	)
Singapore Post Ltd.		(2,855,900	)		(2,758,815	)

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

AQR Funds Semi-Annual Report June 2017

69

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Singapore - (0.4)% (continued)
Singapore Telecommunications Ltd.		(869,500	)	$	(2,455,538	)
				(17,721,980)
Spain - (2.2)%
Acerinox SA *		(98,761	)		(1,354,360	)
Atresmedia Corp. de Medios de Comunicacion SA		(51,814	)		(606,734	)
Banco de Sabadell SA		(1,660,291	)		(3,377,956	)
Bankia SA		(2,633,959	)		(12,739,802	)
CaixaBank SA		(1,237,320	)		(5,914,857	)
Cellnex Telecom SA(b)		(907,187	)		(18,748,366	)
Enagas SA		(177,836	)		(4,990,847	)
Ferrovial SA		(804,496	)		(17,870,418	)
Grifols SA		(149,957	)		(4,180,969	)
Industria de Diseno Textil SA		(611,252	)		(23,475,136	)
Red Electrica Corp. SA		(73,910	)		(1,546,228	)
				(94,805,673)
Sweden - (2.0)%
Alfa Laval AB		(132,334	)		(2,708,549	)
Assa Abloy AB, Class B		(339,136	)		(7,475,058	)
Atlas Copco AB, Class A		(28,930	)		(1,112,410	)
Elekta AB, Class B		(352,623	)		(3,337,133	)
Getinge AB, Class B		(199,051	)		(3,898,665	)
Hennes & Mauritz AB, Class B		(892,512	)		(22,252,142	)
Hexagon AB, Class B		(155,924	)		(7,407,896	)
Hexpol AB		(158,399	)		(1,729,383	)
Svenska Handelsbanken AB, Class A		(860,829	)		(12,328,901	)
Swedbank AB, Class A		(39,955	)		(975,136	)
Swedish Orphan Biovitrum AB *		(44,950	)		(694,328	)
Tele2 AB, Class B		(111,124	)		(1,164,543	)
Telefonaktiebolaget LM Ericsson, Class B		(2,365,902	)		(17,011,143	)
				(82,095,287)
Switzerland - (2.9)%
Aryzta AG *		(362,554	)		(11,957,124	)
Barry Callebaut AG (Registered) *		(646	)		(889,231	)
Chocoladefabriken Lindt & Spruengli AG		(1,901	)		(11,020,861	)
Cie Financiere Richemont SA (Registered)		(76,438	)		(6,325,156	)
Credit Suisse Group AG (Registered) *		(3,001,812	)		(43,679,338	)
DKSH Holding AG		(7,839	)		(637,328	)
Dufry AG (Registered) *		(11,447	)		(1,878,571	)
GAM Holding AG *		(149,316	)		(2,007,530	)
Givaudan SA (Registered)		(3,008	)		(6,027,429	)
Julius Baer Group Ltd. *		(17,806	)		(940,802	)
OC Oerlikon Corp. AG (Registered) *		(419,507	)		(5,520,978	)
Swatch Group AG (The)		(43,058	)		(15,925,619	)
Swisscom AG (Registered)		(3,400	)		(1,643,220	)
Vifor Pharma AG		(145,249	)		(16,043,873	)
				(124,497,060)
United Kingdom - (0.2)%
CNH Industrial NV		(197,712	)		(2,242,202	)
Subsea 7 SA		(95,863	)		(1,292,563	)
Unilever NV, CVA		(115,871	)		(6,396,288	)
				(9,931,053)

INVESTMENTS	SHARES			VALUE
United States - (0.5)%
QIAGEN NV *		(198,713	)	$	(6,611,925	)
Valeant Pharmaceuticals International, Inc. (1)*		(740,706	)		(12,874,393	)
				(19,486,318)
Zambia - (0.1)%
First Quantum Minerals Ltd. (1)		(463,840	)		(3,923,754	)
TOTAL COMMON STOCKS (proceeds $(973,790,507))					(1,032,287,142	)
TOTAL SHORT POSITIONS (proceeds $(973,790,507))					(1,032,287,142	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 92.4% (cost $3,900,081,777)					3,978,833,505
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.6% (h)				325,642,061
NET ASSETS - 100.0%				$	4,304,475,566

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(129,672,276	)		(3.1	)%
Consumer Staples		(10,279,057	)		(0.2	)
Energy		(41,926,021	)		(1.0	)
Financials		24,525,471			0.6
Health Care		13,000,922			0.3
Industrials		209,455,303			4.8
Information Technology		15,921,714			0.4
Materials		44,041,005			1.0
Real Estate		(6,182,314	)		(0.1	)
Telecommunication Services		(31,197,465	)		(0.7	)
Utilities		79,957,719			1.9
Short-Term Investments		3,811,188,504			88.5
Total Investments In Securities At Value		3,978,833,505			92.4
Other Assets in Excess of Liabilities (h)		325,642,061			7.6
Net Assets	$	4,304,475,566			100.0	%

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

* 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 $1,113,112,167. In addition, $1,014 of cash collateral was pledged.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 6/30/2017 amounted to $9,440,427, which represents approximately 0.22% of net assets of the fund.

(c) Represents 7-day effective yield as of 6/30/2017.

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

(e) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/16	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/17		VALUE AT 06/30/17		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
Limited Purpose Cash Investment Fund (Short-Term Investment)	—	3,162,114,383		(1,583,470,786	)		1,578,643,597		$1,578,485,732		$881,063		$—		$—

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

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

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

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

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

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
JPMC	MSCI Singapore Index July Futures	07/2017		SGD		608,570		$571
GSIN	Swiss Market Index September Futures	09/2017		CHF		54,867,846		301,215
JPMC	Swiss Market Index September Futures	09/2017		CHF		14,898,407		25,055
								$326,841

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
416	BARC	Amsterdam Index Futures		07/2017		$49,781,919		$48,131,114		$(1,650,805	)
1,525	BARC	CAC40 Index Futures		07/2017		91,894,227		89,118,109		(2,776,118	)
220	BARC	DAX Index Futures		09/2017		80,304,349		77,392,084		(2,912,265	)
1,491	BARC	FTSE 100 Index Futures		09/2017		144,739,042		140,645,937		(4,093,105	)
140	BARC	FTSE/MIB Index Futures		09/2017		16,802,026		16,389,052		(412,974	)
124	BARC	Hang Seng Index Futures		07/2017		20,377,411		20,317,389		(60,022	)
251	BARC	IBEX 35 Index Futures		07/2017		30,940,313		29,831,598		(1,108,715	)

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
672	BARC	MSCI Singapore Index Futures		07/2017		$ 17,442,050		$ 17,496,162		$ 54,112
1,316	BARC	OMXS30 Index Futures		07/2017		25,680,140		25,036,131		(644,009	)
10,523	BARC	S&P 500 E-Mini Futures		09/2017		1,277,768,203		1,273,756,535		(4,011,668	)
515	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		71,648,307		70,625,848		(1,022,459	)
532	BARC	SPI 200 Index Futures		09/2017		57,988,588		57,746,221		(242,367	)
1,291	BARC	TOPIX Index Futures		09/2017		183,790,834		184,969,682		1,178,848
						$2,069,157,409		$2,051,455,862		$(17,701,547	)

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		27,133,200		$20,305,910		$20,833,955		$528,045
Australian Dollar, Expiring 09/20/17	JPMC	AUD		40,699,800		30,458,900		31,250,932		792,032
Canadian Dollar, Expiring 09/20/17	CITI	CAD		37,545,164		27,916,765		28,988,287		1,071,522
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		52,968,246		39,390,193		40,896,312		1,506,119
Swiss Franc, Expiring 09/20/17	CITI	CHF		21,803,832		22,645,406		22,852,849		207,443
Swiss Franc, Expiring 09/20/17	JPMC	CHF		30,584,750		31,760,439		32,056,231		295,792
Danish Krone, Expiring 09/20/17	CITI	DKK		16,997,777		2,562,907		2,622,406		59,499
Danish Krone, Expiring 09/20/17	JPMC	DKK		24,614,666		3,710,288		3,797,535		87,247
Euro, Expiring 09/20/17	CITI	EUR		54,149,152		61,040,645		62,102,316		1,061,671
Euro, Expiring 09/20/17	JPMC	EUR		81,223,728		91,560,507		93,153,475		1,592,968
British Pound, Expiring 09/20/17	CITI	GBP		40,710,401		52,843,045		53,151,545		308,500
British Pound, Expiring 09/20/17	JPMC	GBP		61,065,600		79,262,726		79,727,316		464,590
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		79,206,800		10,190,811		10,166,913		(23,898	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		118,810,200		15,286,235		15,250,368		(35,867	)
Israeli Shekel, Expiring 09/20/17	CITI	ILS		8,048,400		2,272,054		2,314,415		42,361
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		8,784,600		2,476,387		2,526,117		49,730
Japanese Yen, Expiring 09/20/17	CITI	JPY		7,909,495,401		71,776,270		70,563,242		(1,213,028	)
Japanese Yen, Expiring 09/20/17	JPMC	JPY		11,217,354,600		101,724,132		100,073,755		(1,650,377	)

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone, Expiring 09/20/17	CITI	NOK		24,837,806			$ 2,948,698			$ 2,979,613			$ 30,915
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		37,256,709			4,423,051			4,469,419			46,368
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		1,766,000			1,234,792			1,292,261			57,469
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		2,648,999			1,852,189			1,938,391			86,202
Swedish Krona, Expiring 09/20/17	CITI	SEK		100,524,706			11,614,518			11,985,394			370,876
Swedish Krona, Expiring 09/20/17	JPMC	SEK		137,917,056			15,931,663			16,443,628			511,965
Singapore Dollar, Expiring 09/20/17	CITI	SGD		8,154,686			5,899,251			5,930,421			31,170
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		12,232,029			8,848,891			8,895,631			46,740
							719,936,673			726,262,727			6,326,054
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		(293,600	)		$(217,909	)		$(225,438	)		$(7,529	)
Australian Dollar, Expiring 09/20/17	JPMC	AUD		(440,400	)		(326,863	)		(338,157	)		(11,294	)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(812,800	)		(615,602	)		(627,556	)		(11,954	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(1,219,200	)		(923,400	)		(941,334	)		(17,934	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		(8,155,200	)		(8,493,244	)		(8,547,560	)		(54,316	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(12,232,800	)		(12,739,748	)		(12,821,339	)		(81,591	)
Danish Krone, Expiring 09/20/17	CITI	DKK		(23,818,000	)		(3,629,232	)		(3,674,627	)		(45,395	)
Danish Krone, Expiring 09/20/17	JPMC	DKK		(35,727,000	)		(5,443,841	)		(5,511,940	)		(68,099	)
Euro, Expiring 09/20/17	CITI	EUR		(9,775,200	)		(10,979,272	)		(11,210,934	)		(231,662	)
Euro, Expiring 09/20/17	JPMC	EUR		(14,662,800	)		(16,468,887	)		(16,816,402	)		(347,515	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(425,000	)		(54,663	)		(54,553	)		110
Norwegian Krone, Expiring 09/20/17	CITI	NOK		(4,756,200	)		(562,851	)		(570,567	)		(7,716	)
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		(4,342,800	)		(512,970	)		(520,974	)		(8,004	)
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		(2,830,000	)		(2,004,674	)		(2,070,838	)		(66,164	)
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		(99,000	)		(71,033	)		(72,443	)		(1,410	)
Swedish Krona, Expiring 09/20/17	CITI	SEK		(10,843,200	)		(1,261,790	)		(1,292,818	)		(31,028	)
Swedish Krona, Expiring 09/20/17	JPMC	SEK		(16,264,800	)		(1,892,682	)		(1,939,225	)		(46,543	)

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Singapore Dollar, Expiring 09/20/17	CITI	SGD		(3,934,400	)		$ (2,848,364	)		$ (2,861,257	)		$ (12,893	)
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		(693,600	)		(501,876	)		(504,414	)		(2,538	)
							(69,548,901	)		(70,602,376	)		(1,053,475	)
							$650,387,772			$655,660,351			$5,272,579

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

Total Return Basket Swaps* Outstanding at June 30, 2017

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	50 months maturity 08/21/2017		$2,675,882

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		39,523	$	566,872	$	9,288
Isle of Man
Paysafe Group plc		608,810		3,198,005		853,886

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg
B&M European Value Retail SA		406,345	$	1,576,280	$	217,693
South Africa
Investec plc		562,276		4,086,612		114,701
Mondi plc		234,524		5,937,315		212,321
						327,022

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
Coca-Cola HBC AG		180,950	$	4,348,497	$	973,064
IWG plc		154,400		591,286		59,646
						1,032,710
United Kingdom
Ashtead Group plc		539,255		11,325,037		(166,435	)
ASOS plc		103,377		6,762,055		975,713
Barclays plc		4,409,313		11,842,712		(181,079	)
Barratt Developments plc		2,995,804		19,498,811		2,503,188
Bellway plc		307,680		9,737,471		2,202,060
Berendsen plc		46,056		530,686		207,673
Berkeley Group Holdings plc		191,218		7,418,241		622,390
Britvic plc		77,594		609,279		90,091
BT Group plc		4,433,700		18,686,153		(1,637,495	)
Burberry Group plc		178,973		4,133,739		(260,994	)
Close Brothers Group plc		191,729		3,636,134		135,114
Daily Mail & General Trust plc		85,429		797,250		(54,851	)
DCC plc		46,845		4,109,987		156,141
Dixons Carphone plc		2,270,228		9,577,442		(1,185,163	)
DS Smith plc		154,924		887,466		68,702
GKN plc		2,198,801		9,705,725		(366,148	)
GlaxoSmithKline plc		451,049		9,553,385		48,213
Greene King plc		73,120		704,208		(62,485	)
Howden Joinery Group plc		850,884		4,700,390		(186,623	)
Imperial Brands plc		42,960		2,002,141		(71,641	)
Inchcape plc		348,060		3,219,412		201,968
Indivior plc		1,578,901		6,558,020		(128,857	)
Intermediate Capital Group plc		263,854		2,238,058		623,277
ITV plc		771,474		1,824,230		1,902
Jupiter Fund Management plc		88,555		561,421		21,020
Kingfisher plc		454,084		1,880,188		(101,578	)
Lloyds Banking Group plc		852,510		749,855		(15,182	)
Man Group plc		305,934		503,145		114,191
Old Mutual plc		1,142,874		3,072,903		(189,570	)
Persimmon plc		534,142		13,189,730		2,410,694
Playtech plc		154,988		1,769,951		149,943
Reckitt Benckiser Group plc		74,239		7,192,993		332,847
Royal Mail plc		1,926,272		11,945,575		(1,378,682	)
Sage Group plc (The)		74,575		652,696		15,567
Smiths Group plc		206,126		3,416,523		869,234
Standard Life plc		536,979		2,658,310		133,983
Tate & Lyle plc		753,780		7,126,320		(629,961	)
Taylor Wimpey plc		8,532,426		19,077,327		516,950
Thomas Cook Group plc		576,100		581,008		93,952
UBM plc		133,924		1,269,266		(65,721	)
Weir Group plc (The)		44,253		1,064,735		(65,952	)
WH Smith plc		151,481		3,274,755		106,526

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
William Hill plc		1,233,823		$	5,073,506		$	(984,412	)
Wm Morrison Supermarkets plc		3,351,925			9,767,021			760,843
WPP plc		868,303			19,540,071			(1,256,488	)
								4,372,865
Total of Long Equity Positions								6,813,464
Short Positions
Common Stocks
Chile
Antofagasta plc		(1,060,049	)		(9,926,258	)		(1,133,214	)
Jordan
Hikma Pharmaceuticals plc		(467,031	)		(11,110,237	)		2,165,884
Netherlands
Royal Dutch Shell plc		(749,221	)		(19,290,571	)		(615,264	)
South Africa
Mediclinic International plc		(676,415	)		(6,821,976	)		278,986
Switzerland
Glencore plc		(4,600,958	)		(17,242,141	)		1,303
United Kingdom
Admiral Group plc		(99,982	)		(2,802,450	)		193,435
Aggreko plc		(564,123	)		(6,591,565	)		(166,201	)
Associated British Foods plc		(124,418	)		(4,255,465	)		(505,671	)
AstraZeneca plc		(42,297	)		(2,937,746	)		104,543
Aviva plc		(193,318	)		(1,281,772	)		(44,268	)
Balfour Beatty plc		(613,644	)		(1,941,087	)		(223,702	)
BP plc		(2,091,988	)		(12,460,090	)		384,771
British American Tobacco plc		(36,694	)		(2,379,162	)		(121,275	)
BTG plc		(598,192	)		(5,132,552	)		(303,946	)
Bunzl plc		(23,577	)		(738,738	)		35,852
Capita plc		(2,017,370	)		(17,524,448	)		(655,104	)
Centrica plc		(300,528	)		(788,616	)		5,063
Cobham plc		(5,572,265	)		(10,088,156	)		677,956
ConvaTec Group plc		(1,185,742	)		(4,728,418	)		(198,317	)
Croda International plc		(37,274	)		(1,717,441	)		(170,208	)
Direct Line Insurance Group plc		(125,198	)		(581,143	)		1,410
easyJet plc		(713,233	)		(11,120,345	)		(1,514,649	)
Essentra plc		(558,549	)		(3,662,895	)		(444,090	)
Experian plc		(185,052	)		(3,993,122	)		195,328
G4S plc		(179,513	)		(691,146	)		(72,309	)
Halma plc		(189,458	)		(2,567,685	)		(147,316	)
Hargreaves Lansdown plc		(605,032	)		(10,178,665	)		(81,071	)

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Hays plc		(313,551	)	$	(674,472	)	$	(3,457	)
Hiscox Ltd.		(42,663	)		(583,902	)		(120,530	)
IMI plc		(38,452	)		(508,867	)		(90,030	)
Informa plc		(64,238	)		(567,340	)		7,032
Inmarsat plc		(1,110,067	)		(10,805,590	)		(327,443	)
International Consolidated Airlines Group SA		(502,148	)		(3,897,895	)		(94,080	)
Intertek Group plc		(13,792	)		(712,202	)		(45,465	)
John Wood Group plc		(598,547	)		(5,471,582	)		470,606
Just Eat plc		(1,670,280	)		(12,600,213	)		(1,656,923	)
Meggitt plc		(172,515	)		(1,056,170	)		(15,797	)
Merlin Entertainments plc		(343,126	)		(2,102,169	)		(45,755	)
National Grid plc		(252,571	)		(3,603,259	)		473,782
Pearson plc		(72,828	)		(660,451	)		4,713
Pennon Group plc		(599,192	)		(6,535,871	)		96,423
Petrofac Ltd.		(1,072,983	)		(6,897,910	)		728,284
Provident Financial plc		(232,988	)		(8,667,552	)		1,277,958
Rio Tinto plc		(73,865	)		(2,813,470	)		(314,847	)
Rolls-Royce Holdings plc		(168,107	)		(1,968,155	)		18,345
Rotork plc		(665,029	)		(1,924,025	)		(114,774	)
Royal Bank of Scotland Group plc		(2,959,548	)		(7,687,122	)		(1,862,432	)
RPC Group plc		(81,762	)		(850,818	)		49,501
Schroders plc		(29,120	)		(1,085,735	)		(91,760	)
Smith & Nephew plc		(141,182	)		(2,283,105	)		(154,897	)
Spirax-Sarco Engineering plc		(12,024	)		(821,786	)		(16,801	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
St James’s Place plc		(192,298	)	$	(2,368,924	)	$	(595,067	)
Tesco plc		(4,001,647	)		(9,549,107	)		738,956
Travis Perkins plc		(62,229	)		(1,300,600	)		120,931
United Utilities Group plc		(243,195	)		(2,979,168	)		230,145
Vodafone Group plc		(1,293,454	)		(3,772,262	)		98,912
Whitbread plc		(73,646	)		(3,640,963	)		(165,014	)
Worldpay Group plc		(2,045,083	)		(8,009,235	)		(376,448	)
								(4,825,701	)
Total of Short Equity Positions								(4,128,006	)
Total of Long and Short Equity Positions								2,685,458
Net Cash and Other Receivables/ (Payables) (b)								(9,576	)
Swaps, at Value							$	2,675,882

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

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

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	99 months maturity 08/20/2021		$9,981,461

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Aisin Seiki Co. Ltd.		13,800	$	635,103	$	74,309
Alfresa Holdings Corp.		188,000		3,712,323		(77,697	)
Amada Holdings Co. Ltd.		537,900		5,357,290		882,173
ANA Holdings, Inc.		421,000		1,468,849		(2,932	)
Aozora Bank Ltd.		2,448,000		8,624,875		721,304
Asahi Glass Co. Ltd.		29,400		1,199,639		42,006
Asahi Group Holdings Ltd.		229,300		8,393,712		241,790
Asahi Kasei Corp.		715,000		6,700,738		1,012,906
Astellas Pharma, Inc.		1,719,400		22,837,287		(1,763,117	)
Bandai Namco Holdings, Inc.		524,300		14,656,216		3,257,726
Brother Industries Ltd.		155,100		3,057,655		534,930
Chubu Electric Power Co., Inc.		304,700		3,953,440		98,661
Citizen Watch Co. Ltd.		933,500		4,848,152		1,720,289
Cosmos Pharmaceutical Corp.		12,600		2,600,916		(146,137	)
CyberAgent, Inc.		40,300		1,310,663		(59,083	)
Daicel Corp.		97,600		1,150,201		69,679
Daiichi Sankyo Co. Ltd.		364,300		8,125,304		473,238
Daikin Industries Ltd.		6,200		555,789		80,282
DeNA Co. Ltd.		226,000		5,134,060		(54,609	)
Ezaki Glico Co. Ltd.		29,600		1,472,784		120,978
Fuji Electric Co. Ltd.		296,000		1,514,513		51,109
FUJIFILM Holdings Corp.		105,500		3,683,404		120,659
Fujitsu Ltd.		2,795,000		16,083,382		4,589,184
Fukuoka Financial Group, Inc.		132,000		603,860		25,940
GungHo Online Entertainment, Inc.		1,145,200		2,861,515		87,630
Gunma Bank Ltd. (The)		500,900		2,137,719		878,563
Hakuhodo DY Holdings, Inc.		266,300		2,880,459		666,046
Haseko Corp.		842,000		9,392,259		861,103

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Hikari Tsushin, Inc.		20,400	$	1,997,975	$	151,283
Hirose Electric Co. Ltd.		4,400		522,295		107,365
Hisamitsu Pharmaceutical Co., Inc.		15,700		753,526		(811	)
Hitachi Capital Corp.		27,500		534,178		128,935
Hitachi Chemical Co. Ltd.		392,500		8,900,602		2,866,787
Hitachi High-Technologies Corp.		220,500		8,221,140		365,777
Hitachi Ltd.		439,000		2,646,947		59,792
Hitachi Metals Ltd.		58,100		594,887		215,746
Hoya Corp.		35,000		1,130,558		691,590
Idemitsu Kosan Co. Ltd.		268,300		5,703,859		1,928,927
Inpex Corp.		985,700		8,828,136		689,255
Isuzu Motors Ltd.		138,200		1,667,849		48,231
Ito En Ltd.		63,600		2,349,508		(27,482	)
ITOCHU Corp.		416,700		4,867,360		1,336,856
Itochu Techno-Solutions Corp.		266,500		6,571,881		2,773,570
Japan Airlines Co. Ltd.		273,100		8,084,131		375,328
Japan Tobacco, Inc.		181,100		6,464,910		(99,588	)
JSR Corp.		35,400		613,086		(268	)
JTEKT Corp.		133,200		1,940,982		19,102
JXTG Holdings, Inc.		3,010,600		12,891,423		281,494
Kajima Corp.		1,273,000		9,278,531		1,480,381
Kaken Pharmaceutical Co. Ltd.		27,400		1,611,369		(115,265	)
Kamigumi Co. Ltd.		328,000		3,130,666		317,213
Kaneka Corp.		82,000		598,981		28,602
Kao Corp.		198,300		11,642,960		147,630
KDDI Corp.		244,900		6,613,617		(136,593	)
Kewpie Corp.		110,300		2,995,098		(98,661	)
Keyence Corp.		5,000		1,959,692		241,448
Kirin Holdings Co. Ltd.		160,800		3,375,388		(95,293	)
Kobayashi Pharmaceutical Co. Ltd.		33,300		1,795,107		184,070
Konami Holdings Corp.		184,400		6,641,055		3,623,704
Konica Minolta, Inc.		68,800		603,111		(29,123	)
Kose Corp.		14,300		1,628,856		(60,565	)

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Kuraray Co. Ltd.		177,000	$	2,422,585	$	800,416
Kurita Water Industries Ltd.		56,500		1,147,289		398,217
Kyushu Financial Group, Inc.		101,500		717,696		(74,538	)
Lion Corp.		411,500		6,776,317		1,758,963
Marubeni Corp.		253,600		1,545,363		97,624
Maruichi Steel Tube Ltd.		28,000		885,504		(70,863	)
Matsumotokiyoshi Holdings Co. Ltd.		86,700		4,455,190		483,614
Mebuki Financial Group, Inc.		459,600		1,746,668		(30,641	)
Medipal Holdings Corp.		273,600		4,441,918		631,191
MEIJI Holdings Co. Ltd.		28,600		2,508,051		(188,907	)
Miraca Holdings, Inc.		26,600		1,138,663		59,376
Mitsubishi Corp.		481,400		10,394,725		(275,206	)
Mitsubishi Electric Corp.		400,300		4,482,329		1,307,051
Mitsubishi Gas Chemical Co., Inc.		556,300		8,899,264		2,916,216
Mitsubishi Tanabe Pharma Corp.		309,200		5,488,166		1,664,280
Mitsubishi UFJ Lease & Finance Co. Ltd.		564,100		2,230,848		864,113
Mitsui & Co. Ltd.		81,500		900,170		266,570
Mitsui Chemicals, Inc.		2,300,000		10,722,072		1,526,287
Mixi, Inc.		134,200		4,385,296		3,082,838
Mizuho Financial Group, Inc.		1,970,800		3,711,274		(97,864	)
MS&AD Insurance Group Holdings, Inc.		250,300		7,696,471		745,822
Nexon Co. Ltd.		219,500		3,307,033		1,046,940
NGK Insulators Ltd.		63,300		1,365,410		(96,362	)
NH Foods Ltd.		308,000		9,015,284		354,107
NHK Spring Co. Ltd.		384,800		3,583,762		478,958
Nikon Corp.		34,500		453,312		99,694
Nippon Electric Glass Co. Ltd.		17,000		369,390		250,729
Nippon Express Co. Ltd.		1,403,000		6,814,159		1,989,901
Nippon Shinyaku Co. Ltd.		57,900		3,054,269		652,157
Nippon Shokubai Co. Ltd.		17,000		938,589		159,497
Nippon Telegraph & Telephone Corp.		432,800		19,225,143		1,204,793
Nisshin Seifun Group, Inc.		40,000		566,162		91,422
Nitori Holdings Co. Ltd.		35,800		4,534,584		257,721
Nitto Denko Corp.		53,800		4,139,566		303,310
Nomura Holdings, Inc.		209,400		1,311,579		(48,804	)
Nomura Research Institute Ltd.		59,800		2,242,842		119,647
NSK Ltd.		134,800		1,574,548		121,745
Obayashi Corp.		530,700		5,247,913		1,004,863
Oji Holdings Corp.		203,000		937,746		113,285

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Oracle Corp. Japan		65,100	$	3,716,756	$	517,850
ORIX Corp.		541,700		8,313,950		114,827
Osaka Gas Co. Ltd.		137,000		566,439		(5,445	)
Otsuka Corp.		31,200		1,710,640		230,126
Persol Holdings Co. Ltd.		169,500		3,317,307		(132,708	)
Pola Orbis Holdings, Inc.		187,900		4,944,422		26,772
Recruit Holdings Co. Ltd.		175,800		3,050,787		(25,290	)
Resona Holdings, Inc.		2,558,600		13,652,253		480,972
Sankyo Co. Ltd.		44,300		1,469,190		35,694
Sega Sammy Holdings, Inc.		512,800		7,262,798		(349,119	)
Seiko Epson Corp.		449,000		8,145,777		1,872,492
Sekisui Chemical Co. Ltd.		355,300		5,035,682		1,339,626
Seven & i Holdings Co. Ltd.		274,200		11,665,907		(351,196	)
Shimamura Co. Ltd.		48,400		6,110,779		(177,327	)
Shimizu Corp.		97,000		1,042,857		(12,172	)
Shin-Etsu Chemical Co. Ltd.		97,200		7,531,727		1,314,725
Shinsei Bank Ltd.		1,831,000		3,214,545		(7,068	)
Shionogi & Co. Ltd.		133,600		6,419,555		1,029,699
SMC Corp.		3,000		925,746		(8,669	)
Sojitz Corp.		3,070,400		6,715,201		843,142
Sompo Holdings, Inc.		198,500		7,292,783		411,968
Square Enix Holdings Co. Ltd.		393,400		11,587,186		1,305,291
Start Today Co. Ltd.		299,200		6,505,786		867,906
Subaru Corp.		163,100		5,869,984		(339,580	)
Sumitomo Corp.		278,900		2,653,563		983,342
Sumitomo Dainippon Pharma Co. Ltd.		448,700		7,606,010		(1,481,303	)
Sumitomo Electric Industries Ltd.		393,300		5,476,720		607,793
Sumitomo Heavy Industries Ltd.		984,000		6,705,237		(175,777	)
Sumitomo Mitsui Financial Group, Inc.		55,100		2,113,894		37,456
Sumitomo Mitsui Trust Holdings, Inc.		86,300		3,138,628		(38,793	)
Sumitomo Rubber Industries Ltd.		66,000		1,052,905		64,839
Suntory Beverage & Food Ltd.		17,300		832,657		(28,539	)
Suzuken Co. Ltd.		72,700		2,170,004		250,042
Taiheiyo Cement Corp.		161,000		423,689		165,094
Taisei Corp.		1,297,000		10,324,000		1,539,071
Taisho Pharmaceutical Holdings Co. Ltd.		7,700		696,740		(110,043	)
Takeda Pharmaceutical Co. Ltd.		143,600		7,237,179		53,246
THK Co. Ltd.		138,400		3,650,735		293,558
Toho Gas Co. Ltd.		92,000		709,375		(39,245	)

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

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78

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Tokyo Broadcasting System Holdings, Inc.		85,700		$	1,108,391		$	411,727
Tokyo Century Corp.		16,600			569,820			95,502
Tokyo Gas Co. Ltd.		737,000			3,895,257			(56,448	)
Toppan Printing Co. Ltd.		604,000			4,947,137			1,694,456
Tosoh Corp.		1,150,000			8,886,651			2,965,498
Toyo Seikan Group Holdings Ltd.		39,300			741,069			(75,768	)
Toyo Suisan Kaisha Ltd.		114,000			4,514,291			(140,504	)
Toyoda Gosei Co. Ltd.		94,400			1,988,552			273,409
Toyota Boshoku Corp.		367,000			7,914,908			(1,001,745	)
Toyota Tsusho Corp.		173,000			3,474,380			1,727,001
Tsuruha Holdings, Inc.		19,300			1,869,917			180,973
West Japan Railway Co.		39,300			2,769,304			11,390
Yamazaki Baking Co. Ltd.		112,000			2,532,499			(299,562	)
Yokogawa Electric Corp.		257,800			3,537,467			611,391
								73,375,106
Total of Long Equity Positions								73,375,106
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(10,600	)		(621,059	)		(3,622	)
Acom Co. Ltd.		(3,076,100	)		(13,205,977	)		(874,178	)
Advantest Corp.		(83,200	)		(1,487,051	)		60,812
Aeon Co. Ltd.		(945,100	)		(12,687,742	)		(1,686,858	)
AEON Financial Service Co. Ltd.		(559,800	)		(10,576,296	)		(1,303,842	)
Air Water, Inc.		(40,600	)		(714,607	)		(34,693	)
Alps Electric Co. Ltd.		(613,600	)		(15,091,964	)		(2,732,094	)
Asics Corp.		(630,300	)		(11,208,230	)		(505,649	)
Bank of Kyoto Ltd. (The)		(1,078,000	)		(7,753,796	)		(2,461,400	)
Benesse Holdings, Inc.		(19,500	)		(619,083	)		(118,098	)
Calbee, Inc.		(514,700	)		(18,203,673	)		(2,041,010	)
Canon, Inc.		(191,200	)		(5,832,285	)		(671,443	)
Casio Computer Co. Ltd.		(528,800	)		(7,594,389	)		(555,583	)
Chiba Bank Ltd. (The)		(145,000	)		(938,816	)		(116,410	)
Chugai Pharmaceutical Co. Ltd.		(306,700	)		(10,051,447	)		(1,439,356	)
Chugoku Electric Power Co., Inc. (The)		(1,027,700	)		(11,678,362	)		331,130
Concordia Financial Group Ltd.		(879,000	)		(4,195,160	)		(259,953	)
Dai-ichi Life Holdings, Inc.		(66,000	)		(1,089,114	)		(108,879	)
Don Quijote Holdings Co. Ltd.		(327,700	)		(11,690,818	)		(760,084	)
Eisai Co. Ltd.		(79,100	)		(4,491,709	)		115,298
Electric Power Development Co. Ltd.		(409,600	)		(9,535,947	)		(609,123	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
FamilyMart UNY Holdings Co. Ltd.		(192,600	)	$	(11,098,026	)	$	68,616
Fast Retailing Co. Ltd.		(5,200	)		(1,618,678	)		(120,330	)
Hamamatsu Photonics KK		(257,200	)		(7,210,943	)		(715,234	)
Hiroshima Bank Ltd. (The)		(168,000	)		(777,670	)		29,832
Hokuriku Electric Power Co.		(613,100	)		(6,224,055	)		689,437
Honda Motor Co. Ltd.		(224,600	)		(6,601,666	)		448,056
IHI Corp.		(1,217,000	)		(3,762,794	)		(396,162	)
Iida Group Holdings Co. Ltd.		(50,200	)		(823,508	)		(14,405	)
Isetan Mitsukoshi Holdings Ltd.		(735,000	)		(6,916,723	)		(477,529	)
Iyo Bank Ltd. (The)		(298,300	)		(2,068,260	)		(409,608	)
Izumi Co. Ltd.		(13,300	)		(610,731	)		(145,527	)
J Front Retailing Co. Ltd.		(251,100	)		(2,902,753	)		(966,814	)
Japan Post Holdings Co. Ltd.		(175,300	)		(2,116,231	)		(64,392	)
Japan Post Insurance Co. Ltd.		(83,200	)		(1,846,946	)		6,727
JFE Holdings, Inc.		(133,900	)		(2,628,434	)		297,022
JGC Corp.		(466,500	)		(7,668,858	)		69,888
Kakaku.com, Inc.		(655,500	)		(9,972,323	)		549,556
Kansai Electric Power Co., Inc. (The)		(76,100	)		(708,361	)		(341,014	)
Kansai Paint Co. Ltd.		(237,900	)		(5,090,261	)		(401,946	)
Kawasaki Heavy Industries Ltd.		(2,379,000	)		(7,257,058	)		175,673
Keihan Holdings Co. Ltd.		(563,000	)		(3,586,828	)		4,118
Keikyu Corp.		(956,000	)		(9,759,044	)		(1,770,637	)
Keio Corp.		(832,000	)		(6,740,550	)		(233,485	)
Keisei Electric Railway Co. Ltd.		(71,100	)		(1,679,778	)		(223,103	)
Kikkoman Corp.		(112,700	)		(3,530,415	)		(74,654	)
Kintetsu Group Holdings Co. Ltd.		(2,223,000	)		(8,342,684	)		(233,822	)
Kobe Steel Ltd.		(1,722,000	)		(15,113,014	)		(2,642,933	)
Kubota Corp.		(168,900	)		(2,709,831	)		(145,051	)
Kyowa Hakko Kirin Co. Ltd.		(51,400	)		(778,107	)		(177,882	)
Kyushu Electric Power Co., Inc.		(721,400	)		(6,788,685	)		(1,979,014	)
Kyushu Railway Co.		(72,100	)		(2,375,359	)		36,859
Lawson, Inc.		(21,000	)		(1,462,064	)		(7,580	)
LIXIL Group Corp.		(165,300	)		(4,067,776	)		(75,486	)
Marui Group Co. Ltd.		(871,800	)		(11,782,312	)		(1,099,274	)
Mazda Motor Corp.		(168,600	)		(2,322,561	)		(46,083	)
MINEBEA MITSUMI, Inc.		(258,900	)		(3,609,548	)		(577,370	)
MISUMI Group, Inc.		(101,500	)		(1,743,370	)		(582,974	)
Mitsubishi Heavy Industries Ltd.		(1,638,000	)		(6,844,912	)		101,007

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

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79

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Mitsubishi Logistics Corp.		(429,000	)	$	(5,638,061	)	$	(86,257	)
Mitsubishi Materials Corp.		(19,600	)		(577,516	)		(17,273	)
Mitsubishi Motors Corp.		(1,446,000	)		(9,070,671	)		(491,955	)
MonotaRO Co. Ltd.		(258,200	)		(6,898,596	)		(1,445,745	)
Murata Manufacturing Co. Ltd.		(102,800	)		(14,759,134	)		(934,934	)
Nagoya Railroad Co. Ltd.		(970,000	)		(4,676,340	)		150,215
Nankai Electric Railway Co. Ltd.		(742,000	)		(3,600,173	)		(242,309	)
NGK Spark Plug Co. Ltd.		(869,500	)		(16,639,338	)		(1,985,799	)
Nidec Corp.		(93,400	)		(9,236,546	)		(359,371	)
Nippon Paint Holdings Co. Ltd.		(208,200	)		(6,562,799	)		(1,358,119	)
Nippon Yusen KK		(4,245,000	)		(8,140,551	)		204,575
Nissan Chemical Industries Ltd.		(24,000	)		(778,074	)		(17,212	)
Nissan Motor Co. Ltd.		(683,600	)		(6,541,634	)		(284,067	)
NTN Corp.		(128,000	)		(578,969	)		(16,663	)
Obic Co. Ltd.		(45,900	)		(2,308,340	)		(517,995	)
Odakyu Electric Railway Co. Ltd.		(605,800	)		(12,321,186	)		77,501
Olympus Corp.		(62,300	)		(2,232,258	)		(50,315	)
Ono Pharmaceutical Co. Ltd.		(428,300	)		(9,820,645	)		478,828
Orient Corp.		(2,273,000	)		(4,041,251	)		70,782
Oriental Land Co. Ltd.		(145,700	)		(8,197,461	)		(1,677,363	)
Pigeon Corp.		(167,600	)		(3,983,283	)		(2,109,869	)
Ricoh Co. Ltd.		(1,926,400	)		(15,858,927	)		(1,206,326	)
Rinnai Corp.		(29,900	)		(2,570,664	)		(222,784	)
Ryohin Keikaku Co. Ltd.		(35,200	)		(7,481,546	)		(1,328,337	)
Santen Pharmaceutical Co. Ltd.		(452,500	)		(6,200,010	)		53,644
Sawai Pharmaceutical Co. Ltd.		(17,500	)		(1,000,001	)		17,161
Seibu Holdings, Inc.		(789,200	)		(13,196,928	)		(1,425,769	)
Sekisui House Ltd.		(44,000	)		(731,108	)		(46,531	)
Seven Bank Ltd.		(3,672,900	)		(11,447,141	)		(1,721,882	)
Shikoku Electric Power Co., Inc.		(656,700	)		(6,449,216	)		(1,302,591	)
Shimano, Inc.		(138,600	)		(20,555,495	)		(1,451,217	)
Shizuoka Bank Ltd. (The)		(229,000	)		(1,866,024	)		(210,853	)
Sohgo Security Services Co. Ltd.		(41,600	)		(1,853,894	)		(23,934	)
Sony Corp.		(322,600	)		(11,771,542	)		(533,629	)
Sony Financial Holdings, Inc.		(1,215,400	)		(17,672,216	)		(3,113,536	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Sosei Group Corp.		(103,600	)	$	(11,067,589	)	$	(328,590	)
Stanley Electric Co. Ltd.		(25,000	)		(588,847	)		(168,775	)
Sumco Corp.		(189,500	)		(3,002,550	)		248,177
Sumitomo Metal Mining Co. Ltd.		(285,000	)		(3,699,298	)		(110,036	)
Sundrug Co. Ltd.		(20,100	)		(702,910	)		(46,867	)
Sysmex Corp.		(155,600	)		(9,197,574	)		(115,664	)
T&D Holdings, Inc.		(521,500	)		(7,698,724	)		(276,127	)
TDK Corp.		(21,000	)		(1,396,735	)		8,594
Tobu Railway Co. Ltd.		(474,000	)		(2,252,603	)		(337,083	)
Tokyo Electric Power Co. Holdings, Inc.		(199,800	)		(768,642	)		(56,202	)
Tokyu Corp.		(246,000	)		(1,803,730	)		(76,100	)
Toray Industries, Inc.		(591,500	)		(4,973,666	)		11,176
Toyota Industries Corp.		(180,200	)		(7,707,797	)		(1,823,036	)
Toyota Motor Corp.		(24,400	)		(1,293,252	)		10,702
Unicharm Corp.		(63,700	)		(1,191,698	)		(412,011	)
USS Co. Ltd.		(40,900	)		(702,880	)		(112,302	)
Welcia Holdings Co. Ltd.		(20,300	)		(636,061	)		(115,470	)
Yahoo Japan Corp.		(1,547,500	)		(6,771,486	)		44,153
Yakult Honsha Co. Ltd.		(168,300	)		(7,592,826	)		(3,879,017	)
Yamaha Corp.		(52,400	)		(1,717,212	)		(96,822	)
Yamaha Motor Co. Ltd.		(303,400	)		(5,840,685	)		(2,032,353	)
Yamato Holdings Co. Ltd.		(103,300	)		(2,355,303	)		256,705
Yaskawa Electric Corp.		(591,300	)		(9,660,945	)		(2,929,049	)
Yokohama Rubber Co. Ltd. (The)		(188,300	)		(3,476,664	)		(319,311	)
								(63,005,790	)
Total of Short Equity Positions								(63,005,790	)
Total of Long and Short Equity Positions								10,369,316
Net Cash and Other Receivables/ (Payables) (b)								(387,855	)
Swaps, at Value							$	9,981,461

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

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

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

AQR Funds Semi-Annual Report June 2017

80

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	61 months maturity 09/21/2021		$6,051,570

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Adelaide Brighton Ltd.		169,355	$	712,889	$	19,700
AGL Energy Ltd.		544,029		8,056,726		2,604,333
Ansell Ltd.		34,657		584,722		47,289
Aristocrat Leisure Ltd.		508,803		6,916,988		1,904,105
Aurizon Holdings Ltd.		1,516,630		5,391,252		855,625
Australia & New Zealand Banking Group Ltd.		114,315		2,571,025		(47,900	)
Bendigo & Adelaide Bank Ltd.		187,061		1,679,324		(86,951	)
Boral Ltd.		148,507		721,168		71,744
CIMIC Group Ltd.		302,754		7,360,586		1,672,952
Coca-Cola Amatil Ltd.		621,575		4,681,819		(271,024	)
Cochlear Ltd.		7,957		840,073		110,290
Flight Centre Travel Group Ltd.		28,049		728,419		97,207
Fortescue Metals Group Ltd.		1,567,835		6,547,450		(271,257	)
Harvey Norman Holdings Ltd.		738,584		2,702,212		(533,367	)
Newcrest Mining Ltd.		214,484		3,564,139		(235,399	)
Orica Ltd.		154,320		2,385,210		67,084
Origin Energy Ltd.		458,165		2,143,091		272,679
Qantas Airways Ltd.		199,435		499,582		377,043
South32 Ltd.		2,377,179		5,046,664		(150,848	)
Tabcorp Holdings Ltd.		193,404		723,584		(74,042	)
Treasury Wine Estates Ltd.		558,771		4,744,073		906,189
Woodside Petroleum Ltd.		37,794		790,005		76,954
						7,412,406
Total of Long Equity Positions						7,412,406

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Australia
Alumina Ltd.		(563,608	)	$	(688,028	)	$	(142,117	)
AMP Ltd.		(3,194,591	)		(12,739,942	)		(7,222	)
APA Group		(1,008,694	)		(6,642,936	)		(464,544	)
AusNet Services		(448,782	)		(569,644	)		(28,733	)
Brambles Ltd.		(1,186,303	)		(9,106,056	)		235,371
Challenger Ltd.		(55,231	)		(475,893	)		(90,528	)
Domino’s Pizza Enterprises Ltd.		(99,737	)		(4,597,992	)		606,949
Healthscope Ltd.		(3,143,299	)		(6,448,260	)		1,106,241
Iluka Resources Ltd.		(599,403	)		(3,516,349	)		(481,521	)
Insurance Australia Group Ltd.		(255,264	)		(1,055,012	)		(275,334	)
Platinum Asset Management Ltd.		(379,378	)		(1,446,497	)		96,886
REA Group Ltd.		(133,629	)		(5,946,878	)		(870,953	)
SEEK Ltd.		(750,323	)		(8,920,390	)		(830,437	)
Sonic Healthcare Ltd.		(44,978	)		(790,564	)		(46,872	)
Sydney Airport		(586,433	)		(2,742,415	)		(452,058	)
TPG Telecom Ltd.		(827,282	)		(3,891,387	)		267,046
Transurban Group		(283,394	)		(2,286,700	)		(294,284	)
Vocus Group Ltd.		(813,778	)		(2,412,806	)		305,540
								(1,366,570	)
Total of Short Equity Positions								(1,366,570	)
Total of Long and Short Equity Positions								6,045,836
Net Cash and Other Receivables/ (Payables) (b)								5,734
Swaps, at Value							$	6,051,570

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

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

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

AQR Funds Semi-Annual Report June 2017

81

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	61 months maturity 01/19/2022		$(71,637	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
Cheung Kong Property Holdings Ltd.		592,000		$	3,945,950		$	686,617
CLP Holdings Ltd.		398,000			3,851,827			356,763
Henderson Land Development Co. Ltd.		126,500			682,641			22,713
HKT Trust & HKT Ltd.		1,062,000			1,431,288			(38,415	)
Kerry Properties Ltd.		1,352,000			4,176,990			413,573
Melco International Development Ltd.		434,000			1,122,444			38,666
New World Development Co. Ltd.		4,086,000			4,868,892			310,493
Power Assets Holdings Ltd.		87,000			802,110			(34,162	)
Sino Land Co. Ltd.		1,430,000			2,348,494			(5,606	)
SJM Holdings Ltd.		2,235,000			1,894,606			460,351
Sun Hung Kai Properties Ltd.		252,000			3,479,919			222,005
Swire Properties Ltd.		232,600			689,552			77,194
WH Group Ltd.		5,911,500			4,637,416			1,331,850
Wharf Holdings Ltd. (The)		210,000			1,623,219			114,465
Wheelock & Co. Ltd.		390,000			2,328,995			612,620
Xinyi Glass Holdings Ltd.		4,152,000			3,664,457			445,295
Yue Yuen Industrial Holdings Ltd.		986,000			3,482,871			606,557
								5,620,979
Total of Long Equity Positions								5,620,979
Short Positions
Common Stocks
China
Guotai Junan International Holdings Ltd.		(1,993,000	)		(616,608	)		(1,271	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong
AIA Group Ltd.		(1,038,600	)	$	(6,713,814	)	$	(884,959	)
ASM Pacific Technology Ltd.		(68,400	)		(756,496	)		(166,407	)
Cathay Pacific Airways Ltd.		(2,137,000	)		(3,017,072	)		(300,078	)
Haitong International Securities Group Ltd.		(4,898,000	)		(2,826,194	)		(66,475	)
Hang Lung Properties Ltd.		(338,881	)		(793,499	)		(53,415	)
Hang Seng Bank Ltd.		(65,500	)		(1,325,614	)		(44,659	)
Hong Kong & China Gas Co. Ltd.		(4,386,615	)		(7,415,309	)		(834,505	)
Hysan Development Co. Ltd.		(130,000	)		(591,007	)		(29,404	)
MTR Corp. Ltd.		(837,274	)		(4,191,038	)		(520,583	)
Sands China Ltd.		(518,400	)		(2,276,323	)		(96,674	)
Swire Pacific Ltd.		(81,000	)		(803,750	)		13,056
Techtronic Industries Co. Ltd.		(420,500	)		(1,713,649	)		(218,547	)
Value Partners Group Ltd.		(4,448,000	)		(3,874,978	)		(173,781	)
								(3,376,431	)
Macau
MGM China Holdings Ltd.		(1,264,000	)		(2,546,672	)		(264,233	)
Wynn Macau Ltd.		(857,600	)		(1,389,977	)		(612,576	)
								(876,809	)

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

AQR Funds Semi-Annual Report June 2017

82

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
Samsonite International SA		(1,324,500	)	$	(4,693,209	)	$	(840,284	)
Total of Short Equity Positions								(5,094,795	)
Total of Long and Short Equity Positions								526,184
Net Cash and Other Receivables/ (Payables) (b)								(597,821	)
Swaps, at Value							$	(71,637	)

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR and Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	9-45 months maturity 12/22/2020		$35,453,506

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Thomson Reuters Corp.		128,565	$	5,844,078	$	107,196
Panama
Copa Holdings SA		8,645		1,012,579		(1,114	)
United Kingdom
Liberty Global plc		362,292		10,840,871		455,393
United States
AbbVie, Inc.		220,752		15,168,429		838,299
Accenture plc		52,532		6,155,968		341,190
Activision Blizzard, Inc.		116,273		5,720,632		973,205
Adobe Systems, Inc.		31,637		4,109,330		365,407
Adtalem Global Education, Inc.		21,082		746,303		53,759
AdvanSix, Inc.		109,353		3,017,763		398,424
Aetna, Inc.		139,064		17,700,066		3,414,021
Aflac, Inc.		372,977		27,112,109		1,860,745

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
AGCO Corp.		141,535	$	8,888,719	$	649,324
Agilent Technologies, Inc.		200,555		10,571,254		1,323,663
Air Products & Chemicals, Inc.		13,313		1,810,236		94,321
Akamai Technologies, Inc.		134,311		7,448,076		(758,045	)
Alcoa Corp.		71,148		2,354,374		(31,392	)
Alexion Pharmaceuticals, Inc.		120,454		14,089,351		566,288
Allison Transmission Holdings, Inc.		18,948		670,542		40,198
Allstate Corp. (The)		212,245		17,328,531		1,442,417
Alphabet, Inc.		14,768		12,493,644		1,235,871
Altria Group, Inc.		57,627		4,130,507		160,975
Amazon.com, Inc.		5,557		5,314,571		64,605
AMC Networks, Inc.		88,381		5,159,570		(439,140	)
Amdocs Ltd.		112,038		7,087,789		134,180
Ameren Corp.		177,955		9,796,423		(67,623	)

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

AQR Funds Semi-Annual Report June 2017

83

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
American Eagle Outfitters, Inc.		515,675	$	6,829,901	$	(616,017	)
American Electric Power Co., Inc.		402,708		27,576,736		399,389
American Financial Group, Inc.		43,882		4,135,879		224,676
American International Group, Inc.		189,886		11,728,213		143,460
American Water Works Co., Inc.		24,450		1,914,191		(8,313	)
Ameriprise Financial, Inc.		76,069		9,738,353		(55,530	)
Amgen, Inc.		148,006		24,036,653		1,454,421
Anadarko Petroleum Corp.		97,818		5,157,640		(722,572	)
Analog Devices, Inc.		28,309		2,199,541		2,899
Anthem, Inc.		172,423		28,406,689		4,031,250
Apple, Inc.		66,404		9,527,719		35,785
Applied Materials, Inc.		350,306		13,437,160		1,033,981
Arch Capital Group Ltd.		31,464		2,971,683		(36,406	)
Archer-Daniels-Midland Co.		294,152		13,062,972		(890,963	)
Arrow Electronics, Inc.		170,982		12,165,372		1,243,036
Aspen Insurance Holdings Ltd.		87,654		4,462,806		(93,254	)
Assurant, Inc.		36,469		3,440,850		340,620
Assured Guaranty Ltd.		665,154		25,215,849		2,547,679
AT&T, Inc.		317,400		12,211,219		(235,717	)
Avery Dennison Corp.		151,388		12,123,151		1,255,007
Avnet, Inc.		290,801		12,209,183		(902,840	)
Avon Products, Inc.		1,282,708		4,549,154		325,136
Axis Capital Holdings Ltd.		89,747		5,915,205		(112,164	)
Bank of America Corp.		599,799		14,054,667		496,457
Bank of New York Mellon Corp. (The)		21,935		1,065,488		53,636
Baxter International, Inc.		421,468		22,419,495		3,096,178
BB&T Corp.		50,972		2,241,749		72,890
Bed Bath & Beyond, Inc.		227,613		8,486,740		(1,567,305	)
Bemis Co., Inc.		39,540		1,903,456		(74,731	)
Best Buy Co., Inc.		82,164		4,136,707		573,755
Big Lots, Inc.		77,885		3,650,470		111,376
Biogen, Inc.		111,087		29,884,025		260,544
Bioverativ, Inc.		206,074		11,557,963		841,510
BlackRock, Inc.		35,940		14,280,439		900,976
Boeing Co. (The)		134,560		23,925,342		2,683,898
Booz Allen Hamilton Holding Corp.		237,224		8,193,717		(474,448	)
BorgWarner, Inc.		73,164		2,988,803		110,424
Boston Beer Co., Inc. (The)		35,108		4,903,861		(264,338	)
Brinker International, Inc.		28,797		1,197,091		(99,926	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Bristol-Myers Squibb Co.		10,112	$	542,166	$	21,275
Broadridge Financial Solutions, Inc.		67,745		4,596,494		522,318
Bruker Corp.		295,508		6,696,211		1,826,239
Brunswick Corp.		220,150		12,819,335		990,675
Bunge Ltd.		117,555		8,192,186		577,417
Burlington Stores, Inc.		96,459		9,060,065		(186,801	)
BWX Technologies, Inc.		81,502		3,879,495		93,727
CA, Inc.		256,274		8,141,093		692,671
Cabot Corp.		152,046		8,890,594		(766,776	)
Cadence Design Systems, Inc.		141,617		4,368,884		373,869
CalAtlantic Group, Inc.		90,308		3,207,671		(15,283	)
Campbell Soup Co.		63,604		3,610,799		(293,850	)
Capital One Financial Corp.		229,201		18,957,919		(21,332	)
Cardinal Health, Inc.		107,035		8,264,134		76,033
Carlisle Cos., Inc.		30,964		3,202,607		(248,641	)
Cars.com, Inc.		32,563		893,153		(26,000	)
Caterpillar, Inc.		126,726		13,013,389		604,587
CDK Global, Inc.		104,715		6,675,636		(177,023	)
CDW Corp.		129,826		7,449,418		668,602
Celanese Corp.		139,068		12,718,015		485,101
Centene Corp.		278,242		20,334,339		1,891,632
CenturyLink, Inc.		214,439		5,198,668		(77,865	)
Charles River Laboratories International, Inc.		133,167		11,733,058		1,736,784
Cheesecake Factory, Inc. (The)		14,364		910,965		(188,456	)
Chemours Co. (The)		163,388		6,176,513		19,160
Chicago Bridge & Iron Co. NV		272,017		4,506,804		860,092
Chico’s FAS, Inc.		659,559		8,108,136		(1,895,090	)
Cigna Corp.		63,460		9,521,017		1,101,553
Cirrus Logic, Inc.		270,850		17,339,270		(351,558	)
Cisco Systems, Inc.		290,469		9,585,477		(493,797	)
Citigroup, Inc.		370,732		22,698,079		2,096,477
Citrix Systems, Inc.		58,546		4,856,976		(197,885	)
CMS Energy Corp.		14,716		666,046		14,569
CNO Financial Group, Inc.		156,470		3,197,970		69,123
Coach, Inc.		102,918		4,690,860		181,278
Coca-Cola Co. (The)		17,080		747,379		18,659
Colfax Corp.		34,915		1,354,529		20,074
Colony NorthStar, Inc.		442,155		6,067,061		162,903
Columbia Property Trust, Inc.		30,574		688,608		(4,362	)
Comerica, Inc.		69,887		4,700,600		417,924
Commerce Bancshares, Inc.		146,490		8,046,850		278,177
Commercial Metals Co.		236,080		4,298,336		288,698
CommScope Holding Co., Inc.		169,414		6,901,893		(459,079	)

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

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Conagra Brands, Inc.		330,478	$	12,655,204	$	(837,311	)
ConocoPhillips		84,459		4,147,781		(434,964	)
Consolidated Edison, Inc.		165,445		12,992,396		378,869
Constellation Brands, Inc.		66,424		11,357,884		1,510,438
Convergys Corp.		350,795		7,403,242		938,663
CoreLogic, Inc.		158,131		6,431,121		428,601
Corning, Inc.		433,508		11,763,326		1,263,589
Crane Co.		137,186		10,220,841		668,983
Credit Acceptance Corp.		3,636		946,442		(11,481	)
Crown Castle International Corp.		17,480		1,743,871		7,275
Cummins, Inc.		133,055		19,934,300		1,649,882
Curtiss-Wright Corp.		120,841		10,739,800		350,987
Dana, Inc.		459,386		8,194,020		2,064,070
Danaher Corp.		37,930		3,230,849		(29,936	)
Darden Restaurants, Inc.		18,597		1,541,319		140,593
DaVita, Inc.		79,453		5,144,780		597
Deere & Co.		26,526		3,249,853		28,496
Delphi Automotive plc		13,884		1,042,550		174,383
Delta Air Lines, Inc.		270,048		12,363,333		2,149,047
Deluxe Corp.		43,175		2,934,605		53,969
Devon Energy Corp.		335,003		11,985,345		(1,275,299	)
Dick’s Sporting Goods, Inc.		105,274		5,062,627		(869,563	)
Dillard’s, Inc.		64,795		3,428,544		309,480
Discover Financial Services		122,622		8,013,978		(388,116	)
Dolby Laboratories, Inc.		139,015		7,107,220		(301,045	)
Domtar Corp.		52,174		1,910,612		93,913
Dover Corp.		44,236		3,629,783		(81,171	)
Dow Chemical Co. (The)		63,614		4,040,761		(28,626	)
DR Horton, Inc.		602,634		20,120,935		712,122
Dr Pepper Snapple Group, Inc.		64,519		6,253,181		(374,855	)
DST Systems, Inc.		132,616		7,967,569		214,838
DTE Energy Co.		144,189		14,952,566		301,189
Duke Energy Corp.		16,289		1,349,869		11,728
DXC Technology Co.		30,088		2,337,568		(29,217	)
Eastman Chemical Co.		199,210		16,166,101		565,547
Eaton Corp. plc		68,516		5,114,719		217,881
eBay, Inc.		1,102,105		37,148,562		1,336,944
Edison International		114,451		9,218,474		(269,550	)
Electronic Arts, Inc.		69,448		6,139,203		1,202,839
Eli Lilly & Co.		85,577		7,183,521		(140,534	)
EMCOR Group, Inc.		56,385		3,495,306		191,145
Emerson Electric Co.		142,590		8,550,276		(49,060	)
Endo International plc		483,443		5,296,740		103,319
Energen Corp.		32,463		1,723,762		(121,064	)
Energizer Holdings, Inc.		11,525		557,004		(3,574	)
EnerSys		50,355		3,892,484		(244,264	)
Ensco plc		2,899,156		20,418,807		(5,459,162	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
EPR Properties		57,934	$	4,261,314	$	(97,598	)
Esterline Technologies Corp.		83,118		6,991,981		887,605
Euronet Worldwide, Inc.		25,924		2,214,621		50,359
Everest Re Group Ltd.		75,145		18,385,657		745,509
Exelon Corp.		363,539		12,917,159		195,692
Express Scripts Holding Co.		126,357		8,210,758		(144,127	)
Extended Stay America, Inc.		347,611		6,526,128		203,621
F5 Networks, Inc.		15,975		2,085,478		(55,695	)
Fair Isaac Corp.		40,291		5,156,170		460,798
Fidelity National Information Services, Inc.		9,133		779,677		281
First American Financial Corp.		62,256		2,373,821		408,399
Fiserv, Inc.		41,495		4,799,308		277,191
Flex Ltd.		1,151,642		19,005,189		(221,908	)
FLIR Systems, Inc.		152,379		5,395,364		(113,907	)
Foot Locker, Inc.		217,337		15,758,317		(5,047,950	)
Ford Motor Co.		1,502,645		16,859,095		(44,497	)
Fortune Brands Home & Security, Inc.		11,436		691,649		54,435
Franklin Resources, Inc.		367,811		15,462,092		1,012,162
Freeport-McMoRan, Inc.		282,088		3,186,281		201,595
FTI Consulting, Inc.		110,604		4,409,069		(542,353	)
GameStop Corp.		231,070		4,925,688		67,735
Gap, Inc. (The)		34,443		837,927		(80,526	)
General Dynamics Corp.		19,187		3,565,904		235,041
General Motors Co.		378,979		12,885,286		352,450
Genpact Ltd.		347,268		8,584,174		1,080,295
Gilead Sciences, Inc.		747,195		49,823,502		3,062,960
Globus Medical, Inc.		17,789		545,973		43,732
Goodyear Tire & Rubber Co. (The)		161,794		5,606,299		50,019
Graham Holdings Co.		3,562		2,130,529		5,425
Graphic Packaging Holding Co.		477,743		6,210,659		372,640
Greif, Inc.		38,786		2,150,562		12,921
Hain Celestial Group, Inc. (The)		88,694		3,106,484		336,617
Halliburton Co.		54,257		2,368,999		(51,682	)
Hanover Insurance Group, Inc. (The)		8,193		722,868		3,277
Hartford Financial Services Group, Inc. (The)		91,862		4,387,329		441,856
Hasbro, Inc.		7,089		684,514		105,981
Hawaiian Electric Industries, Inc.		59,994		2,027,797		(85,191	)
HCA Healthcare, Inc.		98,214		8,688,993		(124,732	)
HCP, Inc.		330,994		10,368,044		210,524
HD Supply Holdings, Inc.		141,473		5,707,021		(1,373,703	)

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

AQR Funds Semi-Annual Report June 2017

85

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Healthcare Trust of America, Inc.		56,476	$	1,734,008	$	22,961
Helen of Troy Ltd.		15,716		1,470,441		8,434
Herman Miller, Inc.		91,482		2,904,554		(123,501	)
Hershey Co. (The)		5,927		632,818		3,564
Hewlett Packard Enterprise Co.		1,739,032		31,264,880		(2,414,339	)
Hill-Rom Holdings, Inc.		11,548		810,670		108,667
Hilton Worldwide Holdings, Inc.		87,244		5,664,658		(268,617	)
Honeywell International, Inc.		109,094		13,695,240		845,899
HP, Inc.		1,076,078		19,222,523		(412,679	)
HSN, Inc.		25,348		893,083		(84,482	)
Hubbell, Inc.		54,156		6,308,632		(179,798	)
Humana, Inc.		64,938		14,442,368		1,183,013
Huntington Ingalls Industries, Inc.		119,248		23,726,305		(1,527,097	)
IAC/InterActiveCorp		43,985		3,313,814		1,227,197
IDACORP, Inc.		34,625		2,890,495		64,749
Ingersoll-Rand plc		238,460		19,522,720		2,270,139
Ingredion, Inc.		90,592		10,935,866		(136,393	)
Intel Corp.		407,205		14,585,341		(846,244	)
InterDigital, Inc.		87,876		7,592,486		(799,672	)
International Business Machines Corp.		163,676		25,643,451		(465,172	)
International Game Technology plc		590,029		12,819,004		(2,021,473	)
Interpublic Group of Cos., Inc. (The)		76,896		1,878,569		13,072
Intuit, Inc.		54,835		6,739,604		543,033
Invesco Ltd.		292,592		9,344,046		952,266
ITT, Inc.		167,629		6,565,564		169,770
Jabil, Inc.		286,481		8,123,509		238,871
Jack Henry & Associates, Inc.		16,895		1,562,619		192,265
Jacobs Engineering Group, Inc.		101,197		5,496,009		8,096
Jazz Pharmaceuticals plc		12,150		1,795,047		94,278
JetBlue Airways Corp.		356,345		7,603,263		532,093
John Wiley & Sons, Inc.		29,375		1,546,594		2,937
Johnson & Johnson		188,151		23,344,941		1,545,555
JPMorgan Chase & Co.		426,604		36,647,197		2,344,409
Juniper Networks, Inc.		810,017		23,212,026		(628,752	)
KB Home		98,981		1,924,191		448,384
KeyCorp		186,172		3,202,158		286,705
Kimberly-Clark Corp.		79,276		10,440,649		(205,325	)
Kimco Realty Corp.		157,344		2,974,266		(87,003	)
KLA-Tencor Corp.		7,855		751,959		(33,148	)
Kohl’s Corp.		195,178		7,638,699		(91,165	)
Kroger Co. (The)		195,802		5,929,848		(1,363,745	)
L3 Technologies, Inc.		97,894		15,898,965		457,165
Laboratory Corp. of America Holdings		101,599		14,554,982		1,105,488

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Lam Research Corp.		8,189	$	1,046,309	$	111,862
Lancaster Colony Corp.		23,286		2,991,320		(135,990	)
Landstar System, Inc.		7,960		685,754		(4,378	)
Las Vegas Sands Corp.		187,944		10,700,628		1,307,114
Lear Corp.		192,881		25,813,322		1,591,210
Legg Mason, Inc.		139,910		5,131,994		206,971
Lennox International, Inc.		10,394		1,709,709		199,045
Liberty Interactive Corp. QVC Group		86,422		1,983,954		136,842
Liberty Property Trust		53,869		2,159,683		33,324
Lincoln Electric Holdings, Inc.		21,933		1,867,156		152,654
Lincoln National Corp.		196,234		12,948,478		313,016
Lockheed Martin Corp.		29,000		7,764,683		286,007
Lowe’s Cos., Inc.		39,075		3,189,302		(159,817	)
LyondellBasell Industries NV		389,291		33,113,462		(261,194	)
Macy’s, Inc.		300,372		8,084,791		(1,104,146	)
Mallinckrodt plc		86,491		3,986,067		(110,405	)
Manhattan Associates, Inc.		22,045		1,028,259		31,223
ManpowerGroup, Inc.		109,661		10,828,917		1,414,733
Marathon Petroleum Corp.		151,003		7,481,093		420,894
MarketAxess Holdings, Inc.		4,050		761,199		53,256
Marvell Technology Group Ltd.		925,168		15,410,589		(126,813	)
Masco Corp.		38,172		1,262,730		195,822
Maxim Integrated Products, Inc.		122,782		5,441,068		71,843
McKesson Corp.		147,641		21,221,364		3,071,486
Medtronic plc		78,827		6,551,324		444,573
Merck & Co., Inc.		463,546		29,493,804		214,859
Meredith Corp.		11,658		737,369		(44,300	)
MetLife, Inc.		94,555		4,907,405		287,447
MGM Resorts International		132,623		4,189,501		(39,727	)
Michael Kors Holdings Ltd.		222,094		8,031,327		19,581
Micron Technology, Inc.		441,076		12,283,829		886,701
Microsemi Corp.		21,938		1,050,899		(24,201	)
Microsoft Corp.		295,601		20,019,793		355,984
Molina Healthcare, Inc.		152,140		8,989,127		1,535,919
Molson Coors Brewing Co.		302,120		27,435,093		(1,350,052	)
Morgan Stanley		334,777		14,159,320		758,343
MSA Safety, Inc.		31,392		2,522,944		25,144
MSC Industrial Direct Co., Inc.		66,555		6,833,202		(1,112,134	)
MSCI, Inc.		32,432		3,173,471		166,700
Murphy Oil Corp.		32,348		803,455		25,625
Mylan NV		106,194		4,100,083		22,368
Nabors Industries Ltd.		340,395		2,790,418		(19,603	)

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

AQR Funds Semi-Annual Report June 2017

86

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Nasdaq, Inc.		104,668	$	7,264,260	$	218,456
National Retail Properties, Inc.		187,556		7,954,238		(620,798	)
Navient Corp.		121,424		1,810,111		211,598
NCR Corp.		53,425		2,182,199		(322	)
NetApp, Inc.		98,165		3,961,413		(29,904	)
NeuStar, Inc.		194,063		6,437,683		34,318
Nordstrom, Inc.		15,045		695,099		24,503
Norfolk Southern Corp.		49,885		5,723,306		347,698
Northrop Grumman Corp.		90,271		21,391,704		1,781,764
Nu Skin Enterprises, Inc.		248,316		13,722,100		1,882,077
Nuance Communications, Inc.		79,330		1,319,258		61,877
NVR, Inc.		6,936		14,941,415		1,778,576
Oceaneering International, Inc.		299,202		7,928,923		(1,095,150	)
Old Republic International Corp.		51,280		1,029,190		(27,691	)
Omnicom Group, Inc.		93,703		7,812,334		(44,355	)
ON Semiconductor Corp.		388,441		5,628,327		(174,615	)
ONE Gas, Inc.		38,592		2,632,746		61,361
Oracle Corp.		312,670		14,082,355		1,594,919
Orbital ATK, Inc.		37,766		3,632,712		81,952
Oshkosh Corp.		223,232		15,003,204		373,017
Owens Corning		192,319		11,579,527		1,290,460
PACCAR, Inc.		9,417		628,585		(6,686	)
Parker-Hannifin Corp.		88,413		14,129,282		884
Patterson-UTI Energy, Inc.		161,083		3,268,677		(16,411	)
PepsiCo, Inc.		29,654		3,334,038		90,703
Pfizer, Inc.		1,191,615		40,453,564		(427,216	)
PG&E Corp.		163,113		11,006,865		(181,055	)
Pilgrim’s Pride Corp.		115,633		2,604,055		(69,380	)
Pinnacle Foods, Inc.		82,513		5,047,108		(145,836	)
Pinnacle West Capital Corp.		87,697		7,368,302		99,975
Pitney Bowes, Inc.		221,794		3,437,798		(88,709	)
PNC Financial Services Group, Inc. (The)		177,233		20,940,040		1,191,045
Popular, Inc.		151,217		6,050,192		257,069
ProAssurance Corp.		10,987		660,319		7,691
Procter & Gamble Co. (The)		322,370		28,306,145		(211,600	)
Prologis, Inc.		96,877		5,174,970		505,897
Prudential Financial, Inc.		76,954		8,127,346		194,460
Public Service Enterprise Group, Inc.		361,724		16,063,868		(506,119	)
PulteGroup, Inc.		346,271		8,123,593		370,435
PVH Corp.		82,042		8,366,643		1,027,166
QEP Resources, Inc.		251,258		2,760,228		(222,522	)
QIAGEN NV		193,043		6,286,939		185,793
QUALCOMM, Inc.		70,112		3,910,612		(39,027	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Quanta Services, Inc.		149,381	$	5,102,147	$	(184,524	)
Quest Diagnostics, Inc.		5,344		523,124		70,915
Ralph Lauren Corp.		12,461		1,025,117		(105,495	)
Raymond James Financial, Inc.		64,532		4,887,662		289,095
Raytheon Co.		149,256		22,454,345		1,647,514
Red Hat, Inc.		28,235		2,536,869		166,632
Regal Beloit Corp.		79,973		6,113,160		408,638
Regions Financial Corp.		854,157		12,274,236		230,622
Reinsurance Group of America, Inc.		114,490		14,296,389		402,982
Reliance Steel & Aluminum Co.		120,527		9,430,032		(654,462	)
RenaissanceRe Holdings Ltd.		10,904		1,534,503		(18,302	)
Republic Services, Inc.		54,442		3,412,969		56,620
Rockwell Automation, Inc.		40,988		6,360,518		277,899
Ross Stores, Inc.		141,442		8,934,627		(769,181	)
Rowan Cos. plc		170,550		2,480,837		(734,405	)
Ryder System, Inc.		49,026		3,368,105		160,786
Santander Consumer USA Holdings, Inc.		321,108		3,896,940		200,399
SCANA Corp.		150,210		10,026,518		39,055
Science Applications International Corp.		34,644		2,518,619		(113,632	)
Scripps Networks Interactive, Inc.		72,226		5,399,105		(465,347	)
Seagate Technology plc		435,378		18,917,380		(2,046,482	)
Senior Housing Properties Trust		112,864		2,407,853		(100,913	)
Skyworks Solutions, Inc.		54,392		5,788,757		(569,845	)
Sonoco Products Co.		113,191		5,882,536		(62,255	)
Southwest Airlines Co.		13,586		800,555		43,679
Spirit AeroSystems Holdings, Inc.		410,676		23,243,813		550,754
Stanley Black & Decker, Inc.		40,421		5,299,193		389,254
Staples, Inc.		505,080		4,660,438		425,717
Starbucks Corp.		68,612		3,958,940		41,825
State Street Corp.		93,734		7,368,430		1,042,322
Steel Dynamics, Inc.		217,455		7,409,744		377,320
STORE Capital Corp.		259,863		5,784,045		49,880
SunTrust Banks, Inc.		198,631		10,884,979		381,372
Synaptics, Inc.		46,287		2,224,553		168,948
SYNNEX Corp.		85,221		9,012,908		1,210,203
Synopsys, Inc.		130,608		9,331,942		193,300
Synovus Financial Corp.		32,973		1,329,471		129,254
Target Corp.		24,865		1,392,524		(92,333	)
TE Connectivity Ltd.		157,366		11,944,818		436,739
Tech Data Corp.		152,714		13,740,162		1,683,952
TEGNA, Inc.		323,068		4,894,925		(239,516	)
Teleflex, Inc.		19,815		3,814,388		302,377

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

AQR Funds Semi-Annual Report June 2017

87

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Telephone & Data Systems, Inc.		27,234	$	723,063	$	32,681
Teradata Corp.		60,673		1,804,609		(15,362	)
Teradyne, Inc.		119,187		3,776,842		(197,656	)
Terex Corp.		80,599		2,937,608		84,854
Texas Instruments, Inc.		157,366		12,572,068		(465,902	)
Textron, Inc.		118,656		5,575,474		13,224
Thor Industries, Inc.		101,208		9,175,200		1,403,060
Timken Co. (The)		214,698		9,405,388		524,395
TJX Cos., Inc. (The)		158,898		12,052,207		(584,539	)
Toll Brothers, Inc.		119,386		4,251,310		465,631
Torchmark Corp.		68,104		5,177,646		32,310
Toro Co. (The)		74,935		4,621,991		570,255
Total System Services, Inc.		9,815		517,447		54,277
Travelers Cos., Inc. (The)		88,998		10,811,693		449,224
Trinity Industries, Inc.		85,199		2,266,059		122,069
Tupperware Brands Corp.		111,149		7,379,200		426,794
Tyson Foods, Inc.		201,159		12,461,800		136,788
UGI Corp.		206,632		10,317,136		(314,081	)
Umpqua Holdings Corp.		32,090		560,317		28,855
Union Pacific Corp.		71,124		7,593,198		152,917
United Continental Holdings, Inc.		157,152		11,344,548		481,140
United Rentals, Inc.		112,618		12,273,314		419,861
United Technologies Corp.		8,115		912,938		77,985
United Therapeutics Corp.		195,484		24,212,925		1,147,214
UnitedHealth Group, Inc.		150,157		24,839,969		3,002,142
Universal Health Services, Inc.		35,036		4,132,352		144,843
Unum Group		288,454		13,286,191		164,419
Urban Outfitters, Inc.		102,580		2,257,786		(355,953	)
US Bancorp		104,028		5,309,589		91,545
Vail Resorts, Inc.		19,384		3,681,991		249,666
Valero Energy Corp.		82,693		5,493,440		85,029
Validus Holdings Ltd.		105,258		5,761,433		(291,175	)
Vectren Corp.		11,296		664,431		(4,292	)
Ventas, Inc.		101,165		6,578,659		450,285
Verizon Communications, Inc.		184,794		8,815,677		(562,777	)
Versum Materials, Inc.		121,831		3,659,803		299,704
Vertex Pharmaceuticals, Inc.		114,462		13,610,200		1,140,517
Viacom, Inc.		21,002		723,420		(18,383	)
Vishay Intertechnology, Inc.		242,786		3,836,019		194,229
Waddell & Reed Financial, Inc.		97,402		1,633,230		205,720
Walgreens Boots Alliance, Inc.		76,267		6,204,416		(231,947	)
Wal-Mart Stores, Inc.		332,532		23,914,328		1,251,694

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Walt Disney Co. (The)		91,853		$	10,298,023		$	(538,642	)
Waste Management, Inc.		135,218			9,907,423			10,817
Waters Corp.		39,481			6,134,163			1,124,024
Watsco, Inc.		27,407			3,863,017			363,143
WellCare Health Plans, Inc.		179,199			25,673,095			6,503,878
Welltower, Inc.		14,205			1,031,439			31,805
WESCO International, Inc.		145,015			9,515,144			(1,205,785	)
West Pharmaceutical Services, Inc.		27,263			2,185,129			391,769
Western Digital Corp.		144,610			12,662,038			150,408
Western Union Co. (The)		137,260			2,698,532			(83,729	)
Westlake Chemical Corp.		20,600			1,345,592			18,334
WestRock Co.		91,188			4,705,301			461,411
Whirlpool Corp.		44,104			7,303,622			1,147,586
Williams Cos., Inc. (The)		140,302			4,068,677			179,667
Woodward, Inc.		94,281			6,390,338			(18,828	)
World Fuel Services Corp.		164,971			5,942,713			400,422
Worthington Industries, Inc.		133,138			5,778,189			908,001
WW Grainger, Inc.		27,845			4,864,409			162,449
Wyndham Worldwide Corp.		95,931			8,091,780			1,540,652
Xerox Corp.		681,162			19,437,457			132,327
Zimmer Biomet Holdings, Inc.		38,446			4,758,532			177,934
								98,981,569
Total of Long Equity Positions								99,543,044
Short Positions
Common Stocks
Argentina
MercadoLibre, Inc.		(14,837	)		(3,210,213	)		(512,093	)
Australia
Atlassian Corp. plc		(202,832	)		(6,479,579	)		(656,050	)
Canada
Waste Connections, Inc.		(47,683	)		(2,906,775	)		(164,964	)
Ghana
Kosmos Energy Ltd.		(1,928,916	)		(12,715,076	)		350,724
Ireland
XL Group Ltd.		(80,004	)		(3,150,558	)		(353,618	)
United States
3D Systems Corp.		(157,697	)		(2,287,438	)		(661,496	)
ABIOMED, Inc.		(16,919	)		(2,377,568	)		(46,925	)

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

AQR Funds Semi-Annual Report June 2017

88

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Acadia Healthcare Co., Inc.		(621,325	)	$	(27,348,497	)	$	(3,332,532	)
ACI Worldwide, Inc.		(256,550	)		(5,517,767	)		(221,256	)
Acuity Brands, Inc.		(123,756	)		(21,042,126	)		(4,114,994	)
Acxiom Corp.		(22,044	)		(612,382	)		39,679
Adient plc		(14,967	)		(1,010,309	)		31,767
Advance Auto Parts, Inc.		(180,977	)		(25,344,501	)		4,244,392
Advanced Micro Devices, Inc.		(1,061,382	)		(12,963,417	)		(282,630	)
AECOM		(85,258	)		(2,938,260	)		181,868
Agios Pharmaceuticals, Inc.		(162,372	)		(8,536,303	)		182,264
Air Lease Corp.		(130,434	)		(4,965,622	)		92,608
Alaska Air Group, Inc.		(46,411	)		(3,892,445	)		(273,406	)
Align Technology, Inc.		(48,997	)		(6,110,181	)		(1,245,248	)
Alkermes plc		(257,738	)		(14,867,828	)		(73,244	)
Allegheny Technologies, Inc.		(903,271	)		(15,761,141	)		396,501
Allegion plc		(11,782	)		(873,400	)		(82,356	)
Allergan plc		(70,045	)		(16,665,071	)		(362,168	)
Alliance Data Systems Corp.		(65,975	)		(16,647,034	)		(288,089	)
Alliant Energy Corp.		(183,534	)		(7,395,725	)		23,164
Allscripts Healthcare Solutions, Inc.		(463,901	)		(5,730,240	)		(189,137	)
Alnylam Pharmaceuticals, Inc.		(174,756	)		(8,422,806	)		(5,515,733	)
AMERCO		(4,889	)		(1,783,409	)		(6,258	)
American Airlines Group, Inc.		(369,286	)		(17,508,804	)		(1,073,668	)
American Homes 4 Rent		(35,719	)		(795,745	)		(10,433	)
American Tower Corp.		(15,632	)		(1,885,844	)		(182,582	)
AmerisourceBergen Corp.		(19,345	)		(1,842,307	)		13,625
AMETEK, Inc.		(104,379	)		(5,604,109	)		(718,128	)
Amphenol Corp.		(118,089	)		(8,228,580	)		(488,750	)
AmTrust Financial Services, Inc.		(250,428	)		(4,456,523	)		665,043
Antero Resources Corp.		(377,557	)		(8,381,730	)		222,723
Aon plc		(53,075	)		(6,528,477	)		(527,845	)
Apache Corp.		(104,524	)		(5,036,963	)		27,128
AptarGroup, Inc.		(70,636	)		(5,373,987	)		(761,456	)
Aqua America, Inc.		(30,956	)		(1,006,070	)		(24,765	)
Arconic, Inc.		(141,202	)		(3,699,479	)		501,254
Arista Networks, Inc.		(126,798	)		(17,305,142	)		(1,687,931	)
Armstrong World Industries, Inc.		(134,283	)		(5,986,158	)		(190,860	)
ARRIS International plc		(69,417	)		(1,789,297	)		(155,767	)
Arthur J Gallagher & Co.		(129,317	)		(7,230,273	)		(173,125	)
Artisan Partners Asset Management, Inc.		(205,382	)		(5,514,507	)		(790,721	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Associated Banc-Corp.		(28,552	)	$	(676,682	)	$	(42,828	)
athenahealth, Inc.		(67,851	)		(7,733,988	)		(1,802,470	)
Autodesk, Inc.		(93,744	)		(7,831,374	)		(1,619,896	)
AutoZone, Inc.		(27,194	)		(16,745,352	)		1,232,263
Avangrid, Inc.		(55,659	)		(2,419,536	)		(37,808	)
Avis Budget Group, Inc.		(524,993	)		(13,903,929	)		(412,630	)
Axalta Coating Systems Ltd.		(418,965	)		(13,204,367	)		(219,272	)
Ball Corp.		(1,152,408	)		(43,108,681	)		(5,534,461	)
Bank of Hawaii Corp.		(12,608	)		(1,019,703	)		(26,383	)
Bank of the Ozarks, Inc.		(434,364	)		(21,256,516	)		897,875
BankUnited, Inc.		(21,220	)		(774,742	)		59,416
Belden, Inc.		(7,443	)		(561,908	)		482
Berry Global Group, Inc.		(71,285	)		(4,022,278	)		(41,680	)
BioMarin Pharmaceutical, Inc.		(104,423	)		(8,992,909	)		(490,788	)
Bio-Rad Laboratories, Inc.		(6,144	)		(1,225,544	)		(164,905	)
Bio-Techne Corp.		(59,719	)		(5,992,750	)		(1,024,232	)
Black Hills Corp.		(203,607	)		(13,872,096	)		134,732
Blue Buffalo Pet Products, Inc.		(575,358	)		(13,521,102	)		397,186
Brandywine Realty Trust		(43,894	)		(746,809	)		(22,653	)
Brookdale Senior Living, Inc.		(635,440	)		(8,330,618	)		(1,016,704	)
Brown & Brown, Inc.		(33,594	)		(1,395,495	)		(51,399	)
Brown-Forman Corp.		(254,539	)		(11,632,432	)		(738,163	)
Cabot Oil & Gas Corp.		(273,666	)		(6,690,614	)		(172,930	)
Calpine Corp.		(186,817	)		(1,992,280	)		(535,354	)
CarMax, Inc.		(335,763	)		(19,907,332	)		(1,265,883	)
Carpenter Technology Corp.		(42,622	)		(1,563,846	)		(31,495	)
Casey’s General Stores, Inc.		(134,636	)		(14,906,733	)		485,871
Catalent, Inc.		(116,591	)		(3,236,566	)		(855,778	)
CBS Corp. (Non-Voting)		(15,144	)		(1,052,659	)		86,775
CF Industries Holdings, Inc.		(764,509	)		(21,796,612	)		420,941
CH Robinson Worldwide, Inc.		(88,748	)		(6,581,467	)		486,255
Charles Schwab Corp. (The)		(340,042	)		(13,415,164	)		(1,193,040	)
Charter Communications, Inc.		(40,381	)		(13,497,004	)		(105,336	)
Chemical Financial Corp.		(22,391	)		(1,075,612	)		(8,336	)
Cheniere Energy, Inc.		(556,657	)		(26,137,210	)		(977,553	)
Chesapeake Energy Corp.		(551,057	)		(3,036,560	)		297,807
Chevron Corp.		(64,410	)		(6,813,970	)		94,075
Chipotle Mexican Grill, Inc.		(18,523	)		(8,334,311	)		626,891
Churchill Downs, Inc.		(7,728	)		(1,304,355	)		(112,187	)
Ciena Corp.		(168,555	)		(3,813,452	)		(403,795	)

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

AQR Funds Semi-Annual Report June 2017

89

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cimarex Energy Co.		(37,191	)	$	(4,389,876	)	$	893,550
Cincinnati Financial Corp.		(59,340	)		(4,179,456	)		(119,727	)
CIT Group, Inc.		(66,155	)		(3,209,771	)		(11,978	)
Citizens Financial Group, Inc.		(123,883	)		(4,424,219	)		4,074
Clean Harbors, Inc.		(141,088	)		(7,810,483	)		(66,460	)
Cognex Corp.		(99,329	)		(8,553,756	)		120,724
CommVault Systems, Inc.		(19,996	)		(1,135,242	)		6,468
Compass Minerals International, Inc.		(215,744	)		(14,585,256	)		497,173
Concho Resources, Inc.		(83,870	)		(10,672,458	)		479,736
Conduent, Inc.		(489,880	)		(8,082,286	)		273,598
CONSOL Energy, Inc.		(356,047	)		(5,678,274	)		358,932
Copart, Inc.		(390,301	)		(11,747,147	)		(660,522	)
Core Laboratories NV		(98,688	)		(11,319,332	)		1,325,198
CoStar Group, Inc.		(37,018	)		(8,532,762	)		(1,225,182	)
Coty, Inc.		(849,623	)		(14,802,851	)		(1,136,077	)
Cousins Properties, Inc.		(1,188,924	)		(9,962,743	)		(487,899	)
Covanta Holding Corp.		(639,961	)		(9,887,545	)		1,440,060
Cree, Inc.		(76,208	)		(1,845,758	)		(32,769	)
CSX Corp.		(270,559	)		(13,203,241	)		(1,558,458	)
Cypress Semiconductor Corp.		(1,563,289	)		(21,134,291	)		(204,604	)
CyrusOne, Inc.		(84,795	)		(4,716,308	)		(11,014	)
DCT Industrial Trust, Inc.		(14,649	)		(767,871	)		(14,972	)
DDR Corp.		(90,120	)		(806,031	)		(11,357	)
Dean Foods Co.		(105,254	)		(2,015,487	)		226,169
Denbury Resources, Inc.		(454,921	)		(1,012,176	)		316,147
DENTSPLY SIRONA, Inc.		(107,803	)		(6,682,708	)		(307,239	)
DexCom, Inc.		(515,763	)		(39,948,210	)		2,220,146
Diebold Nixdorf, Inc.		(478,212	)		(13,655,121	)		265,185
Discovery Communications, Inc.		(170,732	)		(5,012,692	)		602,684
DISH Network Corp.		(122,502	)		(7,701,701	)		13,475
Dollar General Corp.		(264,018	)		(18,907,847	)		(125,211	)
Dollar Tree, Inc.		(19,034	)		(1,466,570	)		135,712
Dominion Energy, Inc.		(478,246	)		(37,315,350	)		667,359
Domino’s Pizza, Inc.		(38,232	)		(7,703,519	)		(383,696	)
Donaldson Co., Inc.		(17,343	)		(782,896	)		(6,905	)
Dunkin’ Brands Group, Inc.		(205,880	)		(10,977,456	)		(370,650	)
Dycom Industries, Inc.		(107,389	)		(9,974,503	)		361,040
East West Bancorp, Inc.		(49,090	)		(2,794,729	)		(80,963	)
Eaton Vance Corp.		(11,834	)		(516,909	)		(43,076	)
Ecolab, Inc.		(62,920	)		(7,854,304	)		(498,326	)
Empire State Realty Trust, Inc.		(172,467	)		(3,600,055	)		17,915
Envision Healthcare Corp.		(432,833	)		(25,867,951	)		(1,257,693	)
EOG Resources, Inc.		(68,215	)		(6,514,061	)		339,239

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
EQT Corp.		(273,642	)	$	(16,014,381	)	$	(18,304	)
Equinix, Inc.		(28,706	)		(12,053,866	)		(265,601	)
Essex Property Trust, Inc.		(17,936	)		(4,405,901	)		(208,494	)
Exxon Mobil Corp.		(115,449	)		(9,442,149	)		121,951
FactSet Research Systems, Inc.		(17,411	)		(2,802,619	)		(90,741	)
Fastenal Co.		(765,960	)		(36,389,341	)		3,047,103
FireEye, Inc.		(852,742	)		(10,410,144	)		(2,560,062	)
First Data Corp.		(1,273,219	)		(18,894,570	)		(4,278,016	)
First Horizon National Corp.		(86,326	)		(1,559,048	)		55,249
FirstEnergy Corp.		(283,510	)		(8,144,282	)		(122,869	)
Fitbit, Inc.		(1,424,268	)		(7,943,400	)		380,537
Flowers Foods, Inc.		(68,700	)		(1,320,414	)		131,217
Flowserve Corp.		(135,982	)		(6,484,982	)		171,337
FMC Corp.		(20,330	)		(1,460,710	)		(24,396	)
FNB Corp.		(1,034,087	)		(14,586,108	)		(56,564	)
FNF Group		(30,942	)		(1,190,339	)		(196,791	)
Forest City Realty Trust, Inc.		(34,490	)		(786,417	)		(47,207	)
Gaming and Leisure Properties, Inc.		(23,358	)		(828,861	)		(51,035	)
Garmin Ltd.		(48,118	)		(2,458,637	)		3,175
Gartner, Inc.		(51,319	)		(5,730,705	)		(607,705	)
GATX Corp.		(27,516	)		(1,678,165	)		(90,288	)
Genesee & Wyoming, Inc.		(96,700	)		(6,543,891	)		(69,422	)
Gentex Corp.		(55,941	)		(1,122,176	)		60,976
Global Payments, Inc.		(173,109	)		(13,632,282	)		(2,002,923	)
GoDaddy, Inc.		(230,798	)		(8,583,175	)		(1,207,276	)
Graco, Inc.		(30,754	)		(3,107,211	)		(253,586	)
Granite Construction, Inc.		(197,321	)		(9,863,649	)		344,884
Groupon, Inc.		(286,894	)		(884,549	)		(217,124	)
Guidewire Software, Inc.		(252,762	)		(15,185,292	)		(2,181,985	)
H&R Block, Inc.		(166,748	)		(4,552,486	)		(601,695	)
Halyard Health, Inc.		(89,162	)		(3,412,230	)		(90,054	)
Hanesbrands, Inc.		(106,297	)		(2,183,454	)		(278,385	)
Harley-Davidson, Inc.		(54,937	)		(2,976,709	)		9,012
HealthSouth Corp.		(11,512	)		(515,446	)		(41,735	)
HEICO Corp.		(107,022	)		(7,464,740	)		(223,720	)
Helmerich & Payne, Inc.		(266,918	)		(16,428,387	)		1,924,063
Henry Schein, Inc.		(41,509	)		(6,981,399	)		(615,578	)
Herc Holdings, Inc.		(89,333	)		(3,818,277	)		305,704
Hertz Global Holdings, Inc.		(104,003	)		(968,653	)		(227,382	)
Hess Corp.		(415,916	)		(19,261,848	)		1,015,613
Hilton Grand Vacations, Inc.		(16,388	)		(589,910	)		(1,041	)
Hologic, Inc.		(66,678	)		(2,859,905	)		(165,943	)
Hormel Foods Corp.		(17,647	)		(608,116	)		6,176
Howard Hughes Corp. (The)		(41,155	)		(4,782,623	)		(272,858	)

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

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90

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
IHS Markit Ltd.		(368,567	)	$	(15,621,493	)	$	(610,198	)
Illumina, Inc.		(184,235	)		(31,360,927	)		(607,530	)
Incyte Corp.		(27,769	)		(3,690,344	)		193,949
International Flavors & Fragrances, Inc.		(43,481	)		(5,729,491	)		(140,444	)
Intrexon Corp.		(107,639	)		(2,111,061	)		(481,962	)
Intuitive Surgical, Inc.		(3,127	)		(2,385,276	)		(539,626	)
Ionis Pharmaceuticals, Inc.		(51,794	)		(2,404,214	)		(230,546	)
IPG Photonics Corp.		(60,534	)		(7,292,807	)		(1,490,677	)
Iron Mountain, Inc.		(21,639	)		(766,036	)		22,520
j2 Global, Inc.		(22,096	)		(1,858,446	)		(21,703	)
Jack in the Box, Inc.		(8,052	)		(824,026	)		30,904
JC Penney Co., Inc.		(2,171,940	)		(12,336,619	)		2,237,098
Jones Lang LaSalle, Inc.		(25,822	)		(3,054,524	)		(173,226	)
Juno Therapeutics, Inc.		(88,544	)		(2,080,491	)		(566,090	)
KAR Auction Services, Inc.		(23,660	)		(985,202	)		(7,808	)
KBR, Inc.		(391,197	)		(5,707,531	)		(246,487	)
Kirby Corp.		(37,334	)		(2,611,513	)		115,735
KLX, Inc.		(283,591	)		(12,714,769	)		(1,464,781	)
Knowles Corp.		(530,330	)		(9,840,829	)		867,646
Kraft Heinz Co. (The)		(73,311	)		(6,677,164	)		398,810
L Brands, Inc.		(140,874	)		(6,451,522	)		(1,140,177	)
Lamar Advertising Co.		(27,218	)		(1,898,427	)		(104,001	)
Lamb Weston Holdings, Inc.		(95,390	)		(4,093,230	)		(107,746	)
LaSalle Hotel Properties		(45,431	)		(1,302,138	)		(51,706	)
Leggett & Platt, Inc.		(22,921	)		(1,226,419	)		22,379
Leucadia National Corp.		(30,978	)		(787,081	)		(23,303	)
Liberty Broadband Corp.		(40,188	)		(3,525,098	)		38,789
Liberty Expedia Holdings, Inc.		(30,829	)		(1,395,992	)		(269,390	)
Lions Gate Entertainment Corp.		(32,409	)		(769,714	)		(81,995	)
Littelfuse, Inc.		(3,856	)		(640,297	)		4,057
LivaNova plc		(21,690	)		(1,119,877	)		(207,768	)
Live Nation Entertainment, Inc.		(214,557	)		(6,889,450	)		(587,862	)
Loews Corp.		(113,880	)		(5,352,360	)		21,637
LogMeIn, Inc.		(32,344	)		(3,562,897	)		182,949
LPL Financial Holdings, Inc.		(19,761	)		(766,332	)		(72,720	)
Macquarie Infrastructure Corp.		(220,965	)		(17,533,716	)		210,060
Madison Square Garden Co. (The)		(66,901	)		(13,196,333	)		23,526
Marathon Oil Corp.		(69,831	)		(1,005,709	)		178,211
Markel Corp.		(13,551	)		(13,170,076	)		(53,803	)
Marsh & McLennan Cos., Inc.		(27,613	)		(2,026,242	)		(126,468	)
Martin Marietta Materials, Inc.		(45,845	)		(10,004,512	)		(199,668	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Mastercard, Inc.		(26,723	)	$	(3,212,010	)	$	(33,499	)
Mattel, Inc.		(389,035	)		(9,493,027	)		1,117,104
MAXIMUS, Inc.		(38,389	)		(2,360,156	)		(44,147	)
MB Financial, Inc.		(54,997	)		(2,404,267	)		(17,801	)
McCormick & Co., Inc. (Non-Voting)		(27,605	)		(2,777,074	)		85,311
McDonald’s Corp.		(25,546	)		(3,913,903	)		1,278
MDU Resources Group, Inc.		(22,686	)		(618,420	)		24,047
Medical Properties Trust, Inc.		(63,804	)		(851,783	)		30,626
MEDNAX, Inc.		(116,271	)		(7,937,792	)		918,511
Mercury General Corp.		(112,777	)		(6,521,895	)		431,937
Mettler-Toledo International, Inc.		(5,667	)		(2,986,500	)		(348,756	)
Michaels Cos., Inc. (The)		(105,634	)		(2,247,960	)		291,619
Microchip Technology, Inc.		(81,539	)		(5,953,978	)		(339,202	)
Middleby Corp. (The)		(107,286	)		(14,213,847	)		1,177,525
Monolithic Power Systems, Inc.		(37,034	)		(3,474,209	)		(95,868	)
Monster Beverage Corp.		(37,246	)		(1,710,709	)		(139,673	)
Moody’s Corp.		(33,199	)		(3,753,811	)		(285,843	)
Motorola Solutions, Inc.		(65,991	)		(5,527,173	)		(196,886	)
National Fuel Gas Co.		(225,156	)		(12,942,872	)		370,161
National Instruments Corp.		(219,411	)		(7,259,442	)		(1,565,268	)
National Oilwell Varco, Inc.		(158,430	)		(5,953,612	)		734,928
Netflix, Inc.		(5,004	)		(793,120	)		45,473
NetScout Systems, Inc.		(301,664	)		(11,176,198	)		798,957
Neurocrine Biosciences, Inc.		(280,936	)		(11,896,398	)		(1,026,658	)
New Jersey Resources Corp.		(151,788	)		(6,176,429	)		150,446
Newell Brands, Inc.		(234,751	)		(11,066,798	)		(1,520,551	)
Newfield Exploration Co.		(417,234	)		(13,931,987	)		2,057,508
NewMarket Corp.		(1,383	)		(617,261	)		(19,583	)
Newmont Mining Corp.		(69,935	)		(2,382,837	)		117,643
NextEra Energy, Inc.		(58,056	)		(8,117,326	)		(18,061	)
Nielsen Holdings plc		(140,819	)		(5,860,455	)		416,393
NIKE, Inc.		(71,798	)		(3,947,454	)		(288,628	)
NiSource, Inc.		(338,096	)		(8,597,575	)		23,460
Noble Corp. plc		(241,983	)		(933,793	)		57,815
Noble Energy, Inc.		(100,223	)		(3,411,591	)		575,280
Nordson Corp.		(25,483	)		(3,059,274	)		(32,324	)
Norwegian Cruise Line Holdings Ltd.		(212,850	)		(10,725,264	)		(830,362	)
NOW, Inc.		(272,950	)		(4,697,999	)		308,963
NRG Energy, Inc.		(487,310	)		(9,107,824	)		716,346
Nucor Corp.		(58,975	)		(3,500,848	)		87,965
NuVasive, Inc.		(209,872	)		(15,547,199	)		(596,156	)
NVIDIA Corp.		(13,975	)		(2,216,243	)		196,017

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

AQR Funds Semi-Annual Report June 2017

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Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Occidental Petroleum Corp.		(103,001	)	$	(6,533,353	)	$	366,684
OGE Energy Corp.		(44,930	)		(1,578,783	)		15,669
Old Dominion Freight Line, Inc.		(45,064	)		(3,770,505	)		(521,390	)
Olin Corp.		(88,283	)		(2,753,816	)		80,607
OneMain Holdings, Inc.		(168,032	)		(4,010,574	)		(121,333	)
ONEOK, Inc.		(479,397	)		(26,315,517	)		1,310,169
OPKO Health, Inc.		(949,458	)		(6,860,858	)		613,424
O’Reilly Automotive, Inc.		(112,873	)		(27,807,849	)		3,118,009
Outfront Media, Inc.		(33,110	)		(753,508	)		(11,995	)
Owens-Illinois, Inc.		(317,755	)		(6,406,997	)		(1,193,703	)
PacWest Bancorp		(165,436	)		(8,350,442	)		624,581
Palo Alto Networks, Inc.		(133,495	)		(14,454,572	)		(3,408,394	)
Pandora Media, Inc.		(3,522,053	)		(35,720,440	)		4,303,727
Papa John’s International, Inc.		(62,983	)		(4,841,406	)		321,746
Paramount Group, Inc.		(170,189	)		(2,803,954	)		80,930
Parsley Energy, Inc.		(175,797	)		(5,511,649	)		633,282
Patheon NV		(116,186	)		(3,037,862	)		(1,014,706	)
Patterson Cos., Inc.		(234,243	)		(10,358,225	)		(639,483	)
Paychex, Inc.		(14,756	)		(860,275	)		20,068
PayPal Holdings, Inc.		(83,899	)		(4,342,396	)		(160,463	)
PBF Energy, Inc.		(384,173	)		(7,930,365	)		(621,326	)
Penske Automotive Group, Inc.		(67,071	)		(2,968,677	)		23,590
People’s United Financial, Inc.		(393,382	)		(6,970,729	)		23,603
Perrigo Co. plc		(263,635	)		(18,365,516	)		(1,544,199	)
Platform Specialty Products Corp.		(1,042,936	)		(13,275,516	)		51,087
PNM Resources, Inc.		(133,121	)		(5,047,825	)		(44,053	)
Pool Corp.		(12,452	)		(1,508,094	)		44,112
Post Holdings, Inc.		(159,871	)		(13,612,984	)		1,199,001
Premier, Inc.		(330,559	)		(10,626,795	)		(1,273,329	)
Prestige Brands Holdings, Inc.		(153,129	)		(8,282,037	)		195,295
Primerica, Inc.		(86,304	)		(6,898,416	)		360,888
Principal Financial Group, Inc.		(22,694	)		(1,410,659	)		(43,346	)
Prosperity Bancshares, Inc.		(10,397	)		(698,470	)		30,567
PTC, Inc.		(106,441	)		(5,457,752	)		(409,276	)
Quintiles IMS Holdings, Inc.		(53,962	)		(4,621,087	)		(208,512	)
Range Resources Corp.		(576,698	)		(14,453,394	)		1,091,301
Realogy Holdings Corp.		(42,571	)		(1,221,788	)		(159,641	)
Regeneron Pharmaceuticals, Inc.		(22,090	)		(9,515,538	)		(1,333,744	)
ResMed, Inc.		(112,365	)		(7,782,400	)		(967,463	)
Rice Energy, Inc.		(200,742	)		(4,181,192	)		(1,164,567	)
Rollins, Inc.		(168,135	)		(6,344,653	)		(500,123	)
Roper Technologies, Inc.		(127,279	)		(26,356,935	)		(3,111,972	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
RR Donnelley & Sons Co.		(383,397	)	$	(4,697,406	)	$	(110,392	)
Sabre Corp.		(580,267	)		(12,479,092	)		(153,320	)
salesforce.com, Inc.		(206,408	)		(17,614,859	)		(260,074	)
Sally Beauty Holdings, Inc.		(354,374	)		(6,753,486	)		(422,587	)
Schlumberger Ltd.		(283,995	)		(20,364,497	)		1,666,266
Scotts Miracle-Gro Co. (The)		(25,345	)		(2,326,435	)		59,072
Sealed Air Corp.		(127,369	)		(5,682,121	)		(18,915	)
Seattle Genetics, Inc.		(46,694	)		(2,889,914	)		473,966
SEI Investments Co.		(26,882	)		(1,357,541	)		(88,173	)
Sempra Energy		(180,172	)		(19,753,511	)		(560,882	)
Sensata Technologies Holding NV		(306,263	)		(12,549,424	)		(534,131	)
Service Corp. International		(105,945	)		(3,204,836	)		(339,024	)
ServiceMaster Global Holdings, Inc.		(47,354	)		(1,764,725	)		(91,078	)
ServiceNow, Inc.		(159,958	)		(14,553,918	)		(2,401,630	)
Sherwin-Williams Co. (The)		(14,900	)		(5,295,910	)		66,606
Signature Bank		(12,297	)		(1,754,905	)		(10,084	)
Signet Jewelers Ltd.		(289,038	)		(18,694,026	)		415,263
Six Flags Entertainment Corp.		(179,846	)		(10,746,140	)		25,520
SLM Corp.		(141,080	)		(1,632,296	)		9,876
SM Energy Co.		(60,850	)		(997,092	)		(8,759	)
Snyder’s-Lance, Inc.		(351,494	)		(13,885,871	)		1,717,149
Sotheby’s		(124,399	)		(5,502,642	)		(1,173,852	)
Southern Co. (The)		(283,999	)		(14,322,070	)		724,197
Spirit Airlines, Inc.		(78,307	)		(4,450,476	)		405,919
Spirit Realty Capital, Inc.		(676,793	)		(5,073,784	)		58,748
Splunk, Inc.		(307,175	)		(18,580,291	)		1,105,105
Sprint Corp.		(693,390	)		(5,678,986	)		(13,746	)
Sprouts Farmers Market, Inc.		(702,769	)		(15,941,548	)		9,775
Square, Inc.		(1,107,031	)		(20,330,675	)		(5,640,272	)
SS&C Technologies Holdings, Inc.		(332,704	)		(11,626,132	)		(1,153,029	)
Stericycle, Inc.		(186,173	)		(15,322,038	)		1,113,315
STERIS plc		(111,554	)		(7,740,732	)		(1,350,919	)
Stifel Financial Corp.		(152,913	)		(7,144,752	)		113,812
Stryker Corp.		(9,389	)		(1,231,649	)		(71,356	)
Sun Communities, Inc.		(16,477	)		(1,365,406	)		(79,462	)
Superior Energy Services, Inc.		(518,845	)		(6,681,051	)		1,269,497
SVB Financial Group		(25,701	)		(4,576,577	)		58,598
Symantec Corp.		(339,518	)		(10,072,849	)		481,466
Tableau Software, Inc.		(113,142	)		(6,056,467	)		(875,744	)
Targa Resources Corp.		(79,595	)		(4,642,776	)		1,045,082
Taubman Centers, Inc.		(25,290	)		(1,578,804	)		72,784
Tenet Healthcare Corp.		(337,242	)		(5,806,337	)		(715,923	)
Tesla, Inc.		(42,004	)		(13,676,934	)		(1,512,133	)

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

AQR Funds Semi-Annual Report June 2017

92

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Tesoro Corp.		(12,674	)	$	(1,147,328	)	$	(38,959	)
Tiffany & Co.		(20,785	)		(1,928,224	)		(22,864	)
T-Mobile US, Inc.		(138,462	)		(8,794,910	)		401,343
Tractor Supply Co.		(361,384	)		(21,186,908	)		1,596,281
TransDigm Group, Inc.		(136,143	)		(31,627,986	)		(4,976,783	)
Transocean Ltd.		(890,360	)		(7,803,583	)		475,920
TreeHouse Foods, Inc.		(258,800	)		(22,328,160	)		1,186,788
TRI Pointe Group, Inc.		(759,267	)		(9,307,054	)		(707,678	)
Trimble, Inc.		(110,104	)		(3,643,676	)		(283,734	)
TripAdvisor, Inc.		(348,609	)		(14,566,974	)		1,250,110
Trustmark Corp.		(24,553	)		(772,159	)		(17,466	)
Twitter, Inc.		(1,040,245	)		(16,436,675	)		(2,152,503	)
Tyler Technologies, Inc.		(83,784	)		(12,959,077	)		(1,759,258	)
UDR, Inc.		(169,229	)		(6,527,566	)		(67,288	)
Ulta Beauty, Inc.		(23,104	)		(6,861,947	)		223,244
Ultimate Software Group, Inc. (The)		(131,224	)		(26,404,286	)		(1,160,628	)
United Natural Foods, Inc.		(113,104	)		(4,678,893	)		527,976
United Parcel Service, Inc.		(22,826	)		(2,436,447	)		(87,880	)
United States Steel Corp.		(546,162	)		(11,745,602	)		(346,425	)
Uniti Group, Inc.		(368,075	)		(9,447,015	)		193,609
USG Corp.		(82,223	)		(2,548,084	)		161,973
Valley National Bancorp		(477,352	)		(5,499,384	)		(138,143	)
Vantiv, Inc.		(9,519	)		(609,442	)		6,508
Veeva Systems, Inc.		(68,364	)		(3,465,327	)		(726,070	)
VEREIT, Inc.		(1,625,316	)		(13,187,283	)		(42,789	)
VeriFone Systems, Inc.		(516,499	)		(9,295,120	)		(53,512	)
VeriSign, Inc.		(7,618	)		(667,870	)		(40,299	)
Verisk Analytics, Inc.		(98,698	)		(7,889,266	)		(437,884	)
VF Corp.		(21,287	)		(1,136,301	)		(89,830	)
ViaSat, Inc.		(233,725	)		(14,955,866	)		(516,729	)
Visa, Inc.		(99,232	)		(9,023,905	)		(282,072	)
Vista Outdoor, Inc.		(136,555	)		(2,716,575	)		(357,278	)
Visteon Corp.		(7,475	)		(751,288	)		(11,610	)
Vulcan Materials Co.		(68,288	)		(8,241,695	)		(409,029	)
WABCO Holdings, Inc.		(26,912	)		(3,103,761	)		(327,788	)
Wabtec Corp.		(189,480	)		(15,209,569	)		(2,127,851	)
Weatherford International plc		(8,178,834	)		(47,413,732	)		15,761,644
WebMD Health Corp.		(36,668	)		(2,109,927	)		(40,651	)
Webster Financial Corp.		(200,244	)		(9,925,759	)		(530,983	)
WEC Energy Group, Inc.		(25,250	)		(1,547,068	)		(2,778	)
Welbilt, Inc.		(443,818	)		(8,491,798	)		125,829
Wendy’s Co. (The)		(634,344	)		(9,317,170	)		(521,505	)
WEX, Inc.		(28,132	)		(2,863,275	)		(70,049	)
White Mountains Insurance Group Ltd.		(652	)		(566,660	)		313
Whiting Petroleum Corp.		(478,259	)		(2,839,593	)		204,386
Willis Towers Watson plc		(131,223	)		(18,032,877	)		(1,054,820	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WisdomTree Investments, Inc.		(1,407,431	)	$	(12,424,567	)	$	(1,889,006	)
Workday, Inc.		(258,247	)		(21,308,699	)		(3,741,260	)
WPX Energy, Inc.		(83,708	)		(1,027,123	)		218,504
WR Berkley Corp.		(53,657	)		(3,730,771	)		19,317
Wynn Resorts Ltd.		(79,451	)		(9,377,453	)		(1,278,515	)
Xilinx, Inc.		(29,654	)		(1,761,588	)		(145,757	)
Yelp, Inc.		(26,447	)		(882,848	)		88,909
Zayo Group Holdings, Inc.		(760,029	)		(24,739,794	)		1,254,898
Zebra Technologies Corp.		(53,429	)		(4,841,202	)		(529,481	)
Zillow Group, Inc.		(543,689	)		(19,707,549	)		(6,938,649	)
Zoetis, Inc.		(131,466	)		(8,208,256	)		7,407
Zynga, Inc.		(170,151	)		(618,156	)		(1,194	)
								(60,672,408	)
Total of Short Equity Positions								(62,008,409	)
Total of Long and Short Equity Positions								37,534,635
Net Cash and Other Receivables/ (Payables) (b)								(2,081,129	)
Swaps, at Value							$	35,453,506

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

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

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

AQR Funds Semi-Annual Report June 2017

93

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	1-45 months maturity 12/21/2020		$(180,390	)

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Air France-KLM		575,938	$	5,984,678	$	2,236,614
Arkema SA		66,108		7,074,653		(14,864	)
Atos SE		215,411		28,938,980		1,285,470
AXA SA		88,961		2,476,620		(40,569	)
BNP Paribas SA		97,800		7,156,328		(115,438	)
Bouygues SA		18,928		840,300		(42,859	)
Capgemini SE		134,244		13,465,006		402,740
Cie de Saint-Gobain		207,136		11,222,268		(160,159	)
Cie Generale des Etablissements Michelin		195,788		25,258,186		800,038
CNP Assurances		242,540		5,237,671		206,433
Eiffage SA		23,924		2,015,627		157,654
Elior Group		62,342		1,542,953		268,998
Faurecia		111,786		5,535,057		133,751
Ipsen SA		74,005		8,481,057		1,645,628
Lagardere SCA		120,819		3,789,439		22,911
L’Oreal SA		13,646		2,996,434		(151,045	)
Peugeot SA		1,275,259		26,732,253		(1,316,779	)
Publicis Groupe SA		78,281		5,819,957		14,565
Renault SA		8,585		789,357		(12,626	)
Rexel SA		99,247		1,890,044		(268,118	)
Sanofi		181,513		18,075,196		(682,624	)
Schneider Electric SE		101,171		7,929,277		(154,337	)
SCOR SE		79,839		3,204,619		(32,791	)
SEB SA		12,190		1,829,648		358,318
Societe BIC SA		6,737		863,890		(63,929	)
Societe Generale SA		22,093		1,240,550		(49,169	)
Sodexo SA		61,245		7,804,583		110,868
Teleperformance		81,047		9,570,702		821,308
Thales SA		159,298		16,538,914		605,427
TOTAL SA		72,345		3,859,356		(267,642	)
Ubisoft Entertainment SA		68,036		3,296,048		566,439
Valeo SA		161,682		11,347,943		(470,151	)
						5,794,062
Total of Long Equity Positions						5,794,062

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
France
Accor SA		(612,291	)	$	(27,437,787	)	$	(1,284,300	)
Aeroports de Paris		(38,474	)		(5,354,527	)		(847,208	)
Air Liquide SA		(143,155	)		(17,715,703	)		22,310
Airbus SE		(21,577	)		(1,767,209	)		(13,444	)
Bollore SA		(1,283,716	)		(5,328,475	)		(508,339	)
Bureau Veritas SA		(199,782	)		(4,560,780	)		138,519
Carrefour SA		(206,784	)		(5,112,387	)		(115,514	)
Casino Guichard Perrachon SA		(49,726	)		(2,946,837	)		1,851
Cie Plastic Omnium SA		(20,613	)		(830,767	)		78,728
Credit Agricole SA		(715,518	)		(11,498,177	)		(27,643	)
Danone SA		(26,753	)		(1,886,745	)		(121,271	)
Edenred		(633,754	)		(15,938,938	)		(592,631	)
Electricite de France SA		(1,351,662	)		(12,825,045	)		(1,820,160	)
Engie SA		(65,124	)		(989,335	)		6,370
Essilor International SA		(113,672	)		(14,584,005	)		123,478
Eutelsat Communications SA		(99,112	)		(2,379,240	)		(149,593	)
Hermes International		(5,096	)		(2,586,174	)		68,872
Iliad SA		(11,225	)		(2,663,981	)		11,196
Ingenico Group SA		(169,274	)		(16,349,375	)		998,357
JCDecaux SA		(147,034	)		(5,198,416	)		377,674
Natixis SA		(1,386,250	)		(9,302,015	)		(3,483	)
Orpea		(43,177	)		(4,428,399	)		(385,307	)
Pernod Ricard SA		(43,327	)		(5,551,968	)		(249,829	)
Remy Cointreau SA		(32,229	)		(3,395,011	)		(361,718	)
SFR Group SA		(174,676	)		(5,851,639	)		(52,047	)
Suez		(49,879	)		(853,135	)		(70,448	)
Veolia Environnement SA		(212,362	)		(4,339,417	)		(153,436	)
Vivendi SA		(801,764	)		(17,280,188	)		(573,072	)
Zodiac Aerospace		(184,276	)		(4,989,536	)		(16,948	)
								(5,519,036	)

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

AQR Funds Semi-Annual Report June 2017

94

Schedule of Investments June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg
Eurofins Scientific SE		(9,143	)	$	(4,438,366	)	$	(720,163	)
SES SA		(313,383	)		(7,740,928	)		399,332
								(320,831	)
Total of Short Equity Positions								(5,839,867	)
Total of Long and Short Equity Positions								(45,805	)
Net Cash and Other Receivables/ (Payables) (b)								(134,585	)
Swaps, at Value							$	(180,390	)

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

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

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER	EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
BARC
Cash	$—	$100,107,995		$100,107,995
CITI
Cash	(1,730,000)	—		(1,730,000	)
Investment Companies	7,703,178	—		7,703,178
DTBK
Cash	159,462,955	—		159,462,955
GSIN
Cash	(36,090,000)	—		(36,090,000	)
Investment Companies	568,923,892	—		568,923,892
JPMC
Investment Companies	23,566,292	—		23,566,292

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

AQR Funds Semi-Annual Report June 2017

95

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 111.9%
COMMON STOCKS - 2.9%
Canada - 0.2%
BCE, Inc. (1)		138,933	$	6,256,699
Israel - 0.0% (a)
Nice Ltd., ADR (1)(b)		3,800		299,136
United States - 2.7%
Alpha Natural Resources Holdings, Inc. (1)*(b)		94		207
Analog Devices, Inc. (1)(b)		1		78
ANR, Inc., Class C-1 (1)*(b)		211		1,794
Blackhawk Network Holdings, Inc. (1)*(b)		41,539		1,811,100
Cabela’s, Inc. (1)*		406,953		24,181,146
Genworth Financial, Inc., Class A (1)*		328,165		1,237,182
Macquarie Infrastructure Corp. (1)(b)		6,764		530,298
Microchip Technology, Inc. (1)(b)		108,248		8,354,581
Monsanto Co. (1)		154,642		18,303,427
Neurocrine Biosciences, Inc. (1)*(b)		27,447		1,262,562
Nuance Communications, Inc. (1)*(b)		30,179		525,416
Priceline Group, Inc. (The) (1)*(b)		1,543		2,886,212
Square, Inc., Class A (1)*(b)		42,279		991,865
Tesla, Inc. (1)*		35,100		12,692,511
West Corp. (1)		20,048		467,519
Westar Energy, Inc. (1)(b)		259,756		13,772,263
WGL Holdings, Inc. (1)		32,436		2,706,136
				89,724,297
TOTAL COMMON STOCKS (cost $96,404,729)				96,280,132
CONVERTIBLE PREFERRED STOCKS - 11.3%
China - 2.0%
Mandatory Exchangeable Trust
$100 par, 5.75%, 6/3/2019 (b)(c)		396,743		64,831,774
Israel - 1.6%
Teva Pharmaceutical Industries Ltd.
$1,000 par, 7.00%, 12/15/2018 (1)		85,700		50,948,650
United States - 7.7%
Allergan plc Series A, $1,000 par, 5.50%, 3/1/2018 (1)(b)		43,225		37,522,758
Anthem, Inc. $50 par, 5.25%, 5/1/2018 (1)(b)		549,150		29,006,103
Becton Dickinson and Co. Series A, $50 par, 6.13%, 5/1/2020 (1)*(b)		101,050		5,535,519
Black Hills Corp. $50 par, 7.75%, 11/1/2018 (1)(b)		134,716		9,956,860
Bunge Ltd. $100 par, 4.88%, 12/31/2049 (1)(b)(d)		59,900		6,244,575
Dominion Energy, Inc. $50 par, 6.38%, 7/1/2017 (1)(b)		200,000		9,560,000
Series A, $50 par, 6.75%, 8/15/2019 (1)(b)		277,350		13,956,252

INVESTMENTS	SHARES		VALUE
United States - 7.7% (continued)
Dynegy, Inc. $100 par, 7.00%, 7/1/2019 (b)		90,900	$	5,483,997
Great Plains Energy, Inc. $50 par, 7.00%, 9/15/2019 (1)(b)		732,800		38,867,712
NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 *(b)(d)		3,472		5,438,888
Post Holdings, Inc. $100 par, 2.50%, 12/31/2049 (b)(d)		44,502		6,547,357
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (1)(b)		35,625		1,932,656
Southwestern Energy Co. Series B, $50 par, 6.25%, 1/15/2018 (1)(b)		379,300		5,533,987
T-Mobile US, Inc. $50 par, 5.50%, 12/15/2017 (1)(b)		329,425		32,494,482
Tyson Foods, Inc. $50 par, 4.75%, 7/15/2017 (1)(b)		438,150		29,697,807
Welltower, Inc., REIT Series I, $50 par, 6.50%, 12/31/2049 (1)(b)(d)		221,875		14,701,437
				252,480,390
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $355,225,804)				368,260,814
	PRINCIPAL AMOUNT
CORPORATE BOND - 0.0%
United States - 0.0%
Sabine Oil & Gas Corp. 7.25%, 6/15/2019 (Cost $3,965,812) (3)(e)(f)	$	3,950,000		—
CONVERTIBLE BONDS - 18.0%
Canada - 0.4%
Element Fleet Management Corp. 5.13%, 6/30/2019 (b)(c)		1,022,000		787,053
4.25%, 6/30/2020 (b)(c)		14,346,000		10,846,895
				11,633,948
Mexico - 0.6%
Cemex SAB de CV 3.75%, 3/15/2018		9,400,000		11,221,250
3.72%, 3/15/2020 (b)		7,050,000		8,142,750
				19,364,000
Monaco - 0.1%
Scorpio Tankers, Inc. 2.38%, 7/1/2019 (b)(c)		5,475,000		4,893,281
Norway - 0.1%
Ship Finance International Ltd. 5.75%, 10/15/2021 (b)		3,600,000		3,447,000
United States - 16.8%
Acorda Therapeutics, Inc. 1.75%, 6/15/2021 (b)		4,100,000		3,518,312
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (b)		6,750,000		9,614,531
Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (3)(b)(e)(f)		200,000		1,000

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

AQR Funds Semi-Annual Report June 2017

96

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 16.8% (continued)
AMAG Pharmaceuticals, Inc. 3.25%, 6/1/2022	$	2,450,000	$	2,348,937
Amicus Therapeutics, Inc. 3.00%, 12/15/2023 (b)(c)		1,150,000		2,047,000
Anthem, Inc. 2.75%, 10/15/2042 (b)		13,475,000		34,706,547
Ares Capital Corp. 3.75%, 2/1/2022 (b)(c)		3,800,000		3,819,000
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024		1,775,000		1,934,750
Blackstone Mortgage Trust, Inc., REIT 4.38%, 5/5/2022		1,775,000		1,807,172
Brookdale Senior Living, Inc. 2.75%, 6/15/2018 (b)		1,175,000		1,165,453
CalAtlantic Group, Inc. 1.25%, 8/1/2032 (3)(b)(e)		4,325,000		4,325,000
Chesapeake Energy Corp. 5.50%, 9/15/2026 (b)(c)		10,375,000		9,700,625
Ciena Corp. 3.75%, 10/15/2018 (b)(c)		2,650,000		3,567,563
Colony NorthStar, Inc., REIT 3.88%, 1/15/2021 (b)		3,150,000		3,197,250
Colony Starwood Homes, REIT 3.50%, 1/15/2022 (b)(c)		900,000		961,875
DISH Network Corp. 2.38%, 3/15/2024 (b)(c)		2,225,000		2,337,641
3.38%, 8/15/2026 (b)(c)		16,675,000		20,218,437
Echo Global Logistics, Inc. 2.50%, 5/1/2020 (b)		875,000		837,813
Emergent BioSolutions, Inc. 2.88%, 1/15/2021 (b)		5,375,000		6,927,031
Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 (b)(c)		950,000		732,688
Euronet Worldwide, Inc. 1.50%, 10/1/2044 (b)		6,100,000		7,792,750
Extra Space Storage LP, REIT 3.13%, 10/1/2035 (b)(c)		5,500,000		5,874,687
EZCORP, Inc. 2.13%, 6/15/2019 (b)		3,975,000		3,850,781
General Cable Corp. 4.50%, 11/15/2029 (b)(g)		1,595,000		1,203,228
Huron Consulting Group, Inc. 1.25%, 10/1/2019 (b)		3,000,000		2,874,375
Innoviva, Inc. 2.13%, 1/15/2023 (b)		2,500,000		2,271,875
Inphi Corp. 1.13%, 12/1/2020 (b)		636,000		713,115
Integrated Device Technology, Inc. 0.88%, 11/15/2022 (b)		4,275,000		4,526,156
Intel Corp. 3.25%, 8/1/2039 (b)		30,250,000		49,988,125
Medicines Co. (The) 2.50%, 1/15/2022 (b)		7,875,000		10,232,578
Meritor, Inc. 7.87%, 3/1/2026 (b)		1,600,000		2,722,000
Microchip Technology, Inc. 1.63%, 2/15/2027 (b)(c)		935,000		982,919
2.25%, 2/15/2037 (b)(c)		10,865,000		11,340,344
Micron Technology, Inc. Series F, 2.13%, 2/15/2033 (b)		7,175,000		19,986,859

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 16.8% (continued)
Molina Healthcare, Inc. 1.13%, 1/15/2020 (b)	$	18,775,000	$	32,832,782
1.63%, 8/15/2044 (b)		3,474,000		4,431,521
Novellus Systems, Inc. 2.63%, 5/15/2041 (b)		13,650,000		56,980,219
NRG Yield, Inc. 3.50%, 2/1/2019 (b)(c)		6,450,000		6,526,594
3.25%, 6/1/2020 (b)(c)		4,575,000		4,589,297
Pandora Media, Inc. 1.75%, 12/1/2020 (b)		3,925,000		3,718,938
PRA Group, Inc. 3.50%, 6/1/2023 (c)		1,175,000		1,238,891
Priceline Group, Inc. (The) 1.00%, 3/15/2018 (b)		16,500,000		32,535,938
Prospect Capital Corp. 4.75%, 4/15/2020 (b)		1,100,000		1,102,750
4.95%, 7/15/2022		2,200,000		2,191,750
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (b)		5,575,000		5,575,000
Spirit Realty Capital, Inc., REIT 2.88%, 5/15/2019 (b)		3,575,000		3,541,484
3.75%, 5/15/2021 (b)		2,525,000		2,506,063
Starwood Property Trust, Inc., REIT 4.55%, 3/1/2018 (b)		2,550,000		2,768,344
4.00%, 1/15/2019 (b)		4,650,000		5,271,937
4.38%, 4/1/2023		4,025,000		4,077,828
SunEdison, Inc. 2.00%, 10/1/2018 (f)		5,950,000		130,305
0.25%, 1/15/2020 (c)(f)		8,325,000		182,318
2.75%, 1/1/2021 (f)		4,925,000		107,857
SunPower Corp. 0.75%, 6/1/2018 (b)		2,825,000		2,697,875
Synaptics, Inc. 0.50%, 6/15/2022 (c)		2,325,000		2,348,250
Teladoc, Inc. 3.00%, 12/15/2022 (c)		575,000		605,906
Tesla, Inc. 1.50%, 6/1/2018		4,525,000		13,218,882
2.38%, 3/15/2022 (b)		2,650,000		3,329,063
TTM Technologies, Inc. 1.75%, 12/15/2020 (b)		5,725,000		10,734,375
Unisys Corp. 5.50%, 3/1/2021 (b)		1,250,000		1,907,031
Vector Group Ltd. 2.50%, 1/15/2019 (b)(h)		1,850,000		2,706,781
VEREIT, Inc., REIT 3.00%, 8/1/2018 (b)		4,000,000		4,017,500
VeriSign, Inc. 3.25%, 8/15/2037 (b)		22,869,000		62,260,853
Vishay Intertechnology, Inc. 2.25%, 11/15/2040 (b)		5,325,000		6,939,141
Weatherford International Ltd. 5.88%, 7/1/2021 (b)		23,650,000		23,930,844
WebMD Health Corp. 2.50%, 1/31/2018 (b)		4,775,000		4,921,234
				548,055,968
TOTAL CONVERTIBLE BONDS (cost $584,854,974)				587,394,197

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

AQR Funds Semi-Annual Report June 2017

97

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
SHORT-TERM INVESTMENTS - 79.7%
INVESTMENT COMPANIES - 75.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (i)(j)		9,992,141		$	9,992,141
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (i)(j)		39,968,564			39,968,564
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (i)(j)(k)		1,548,487,791			1,548,487,791
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (i)(k)		103,192,307			103,192,307
Limited Purpose Cash Investment Fund, 0.81% (i)(l)		702,156,529			702,086,313
UBS Select Treasury Preferred Fund, Class I, 0.85% (i)(j)		49,960,767			49,960,767
TOTAL INVESTMENT COMPANIES (cost $2,453,720,864)					2,453,687,883
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 4.6%
U.S. Treasury Bills 0.63%, 7/6/2017 (j)(m)	$	5,257,000			5,256,669
0.59%, 7/13/2017 (j)(m)		9,624,000			9,621,931
0.60%, 7/27/2017 (j)(m)		18,924,000			18,913,649
0.63%, 8/3/2017 (j)(m)		17,030,000			17,017,500
0.62%, 8/10/2017 (j)(m)		7,293,000			7,286,290
0.65%, 8/17/2017 (j)(m)		10,631,000			10,618,987
0.67%, 8/24/2017 (j)(m)		11,119,000			11,104,256
0.67%, 8/31/2017 (j)(m)		2,105,000			2,101,817
0.91%, 9/14/2017 (j)(m)		7,402,000			7,387,781
0.91%, 9/28/2017 (j)(m)		5,903,000			5,888,591
0.91%, 10/5/2017 (j)(m)(n)		8,515,000			8,492,435
0.95%, 10/19/2017 (j)(m)(n)		6,206,000			6,186,811
1.03%, 11/16/2017 (j)(m)(n)		25,222,000			25,121,717
1.06%, 11/24/2017 (j)(m)(n)		5,139,000			5,117,216
1.06%, 11/30/2017(j)(m)(n)		3,957,000			3,939,593
1.07%, 12/7/2017 (j)(m)(n)		2,533,000			2,521,181
1.11%, 12/14/2017 (j)(m)(n)		2,172,000			2,161,438
1.12%, 12/28/2017 (j)(m)		2,123,000			2,111,230
TOTAL U.S. TREASURY OBLIGATIONS (Cost $150,868,448)					150,849,092
TOTAL SHORT-TERM INVESTMENTS (Cost $2,604,589,312)					2,604,536,975
TOTAL LONG POSITIONS (Cost $3,645,040,631)					3,656,472,118
	SHARES
SHORT POSITIONS - (22.7)%
COMMON STOCKS - (22.1)%
Canada - (0.2)%
BCE, Inc. (1)		(139,959	)		(6,302,904	)
Element Fleet Management Corp. (1)		(127,513	)		(875,128	)
Enbridge, Inc. (1)		(1	)		(40	)
					(7,178,072	)

INVESTMENTS	SHARES			VALUE
China - (1.8)%
Alibaba Group Holding Ltd., ADR (1)*		(424,229	)	$	(59,773,866	)
Israel - (1.3)%
Teva Pharmaceutical Industries Ltd., ADR (1)		(1,261,501	)		(41,907,063	)
Mexico - (0.5)%
Cemex SAB de CV, ADR (1)*		(1,633,848	)		(15,390,848	)
Monaco - 0.0% (a)
Scorpio Tankers, Inc. (1)		(108,912	)		(432,381	)
Norway - 0.0% (a)
Ship Finance International Ltd. (1)		(79,649	)		(1,083,226	)
United States - (18.3)%
Acorda Therapeutics, Inc. (1)*		(42,388	)		(835,044	)
Allegheny Technologies, Inc. (1)		(393,387	)		(6,691,513	)
Allergan plc (1)		(118,492	)		(28,804,220	)
AMAG Pharmaceuticals, Inc. (1)*		(60,886	)		(1,120,302	)
Amicus Therapeutics, Inc. (1)*		(172,876	)		(1,740,861	)
Anthem, Inc. (1)		(235,690	)		(44,340,360	)
Ares Capital Corp. (1)		(29,398	)		(481,539	)
Atlas Air Worldwide Holdings, Inc. (1)*		(21,670	)		(1,130,091	)
Becton Dickinson and Co. (1)		(18,607	)		(3,630,412	)
Black Hills Corp. (1)		(132,202	)		(8,919,669	)
Blackstone Mortgage Trust, Inc., REIT (1)		(12,937	)		(408,809	)
Brookdale Senior Living, Inc. (1)*		(2,805	)		(41,262	)
Bunge Ltd. (1)		(27,779	)		(2,072,313	)
CalAtlantic Group, Inc. (1)		(6,467	)		(228,609	)
Chesapeake Energy Corp. (1)*		(766,670	)		(3,810,350	)
Ciena Corp. (1)*		(106,439	)		(2,663,104	)
Colony NorthStar, Inc., Class A, REIT (1)		(75,082	)		(1,057,905	)
Colony Starwood Homes, REIT (1)		(12,936	)		(443,834	)
DISH Network Corp., Class A (1)*		(238,563	)		(14,972,214	)
Dominion Energy, Inc. (1)		(234,014	)		(17,932,493	)
Dynegy, Inc. (1)*		(489,873	)		(4,051,250	)
Echo Global Logistics, Inc. (1)*		(4,358	)		(86,724	)
Emergent BioSolutions, Inc. (1)*		(112,278	)		(3,807,347	)
Ensco plc, Class A (1)		(39,305	)		(202,814	)
Euronet Worldwide, Inc. (1)*		(64,224	)		(5,611,251	)
Extra Space Storage, Inc., REIT (1)		(20,212	)		(1,576,536	)
EZCORP, Inc., Class A (1)*		(32,166	)		(247,678	)
FNB Corp. (1)		(1	)		(14	)
General Cable Corp. (1)		(39,199	)		(640,904	)
Great Plains Energy, Inc. (1)		(900,458	)		(26,365,410	)
Huron Consulting Group, Inc. (1)*		(7,135	)		(308,232	)
Innoviva, Inc. (1)*		(79,050	)		(1,011,840	)
Inphi Corp. (1)*		(10,293	)		(353,050	)
Integrated Device Technology, Inc. (1)*		(81,785	)		(2,109,235	)
Intel Corp. (1)		(1,216,661	)		(41,050,142	)
Kennedy-Wilson Holdings, Inc. (1)		(120	)		(2,286	)
Lam Research Corp. (1)		(405,911	)		(57,407,993	)
Medicines Co. (The) (1)*		(185,895	)		(7,065,869	)

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

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98

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
United States - (18.3)% (continued)
Meritor, Inc. (1)*		(113,333	)	$	(1,882,461	)
Microchip Technology, Inc. (1)		(264,294	)		(20,398,211	)
Micron Technology, Inc. (1)*		(643,247	)		(19,207,355	)
Molina Healthcare, Inc. (1)*		(459,911	)		(31,816,643	)
NCR Corp. (1)*		(81,013	)		(3,308,571	)
NRG Yield, Inc., Class A (1)		(71,776	)		(1,224,499	)
NRG Yield, Inc., Class C (1)		(38,264	)		(673,446	)
Pandora Media, Inc. (1)*		(95,621	)		(852,939	)
Post Holdings, Inc. (1)*		(73,181	)		(5,682,505	)
PRA Group, Inc. (1)*		(11,408	)		(432,363	)
Priceline Group, Inc. (The) (1)*		(17,467	)		(32,672,373	)
Prospect Capital Corp. (1)		(40,148	)		(326,002	)
Rexnord Corp. (1)*		(65,344	)		(1,519,248	)
SEACOR Holdings, Inc. (1)*		(3,080	)		(105,644	)
Southwestern Energy Co. (1)*		(824,564	)		(5,013,349	)
Spirit Realty Capital, Inc., REIT (1)		(35,174	)		(260,639	)
Starwood Property Trust, Inc., REIT (1)		(299,557	)		(6,707,081	)
SunPower Corp. (1)*		(10,192	)		(95,193	)
Tesla, Inc. (1)*		(35,706	)		(12,911,647	)
T-Mobile US, Inc. (1)*		(528,854	)		(32,059,130	)
TTM Technologies, Inc. (1)*		(555,421	)		(9,642,109	)
Tyson Foods, Inc., Class A (1)		(470,538	)		(29,469,795	)
Unisys Corp. (1)*		(110,156	)		(1,409,997	)
Vector Group Ltd. (1)		(101,184	)		(2,157,243	)
VeriSign, Inc. (1)*		(665,415	)		(61,856,978	)
Vishay Intertechnology, Inc. (1)		(359,409	)		(5,966,189	)
Weatherford International plc (1)*		(1,710,822	)		(6,620,881	)
WebMD Health Corp. (1)*		(28,059	)		(1,645,660	)
Welltower, Inc., REIT (1)		(112,061	)		(8,387,766	)
					(597,529,396	)
TOTAL COMMON STOCKS (proceeds $(689,289,890))					(723,294,852	)
	PRINCIPAL AMOUNT
CONVERTIBLE BONDS - (0.6)%
Israel - 0.0% (a)
Nice Systems, Inc. 1.25%, 1/15/2024 (c)	$	(400,000	)		(445,750	)
United States - (0.6)%
Blackhawk Network Holdings, Inc.
1.50%, 1/15/2022 (c)		(3,000,000	)		(3,345,000	)
Macquarie Infrastructure Corp. 2.88%, 7/15/2019		(600,000	)		(663,000	)
2.00%, 10/1/2023		(2,150,000	)		(2,140,594	)
Neurocrine Biosciences, Inc. 2.25%, 5/15/2024 (c)		(2,975,000	)		(2,954,547	)
Nuance Communications, Inc. 1.00%, 12/15/2035		(1,550,000	)		(1,493,812	)
Priceline Group, Inc. (The) 0.90%, 9/15/2021		(5,200,000	)		(5,954,000	)

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
United States - (0.6)% (continued)
Square, Inc. 0.38%, 3/1/2022 (c)	$	(1,275,000	)	$	(1,562,672	)
					(18,113,625	)
TOTAL CONVERTIBLE BONDS (proceeds $(18,018,721))					(18,559,375	)
TOTAL SHORT POSITIONS (proceeds $(707,308,611))					(741,854,227	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 89.2% (cost $2,937,732,020)					2,914,617,891
OTHER ASSETS IN EXCESS OF LIABILITIES - 10.8% (o)				351,736,279
NET ASSETS - 100.0%				$	3,266,354,170

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	48,985,988			1.5	%
Consumer Staples		5,814,664			0.2
Energy		36,545,947			1.1
Financials		94,352,742			2.9
Health Care		56,287,766			1.7
Industrials		4,131,385			0.1
Information Technology		(30,951,788	)		(0.9	)
Materials		25,201,391			0.8
Real Estate		23,071,330			0.7
Telecommunication Services		389,148			0.0	(a)
Utilities		46,252,343			1.4
Short-Term Investments		2,604,536,975			79.7
Total Investments In Securities At Value		2,914,617,891			89.2
Other Assets in Excess of Liabilities (o)		351,736,279			10.8
NET ASSETS	$	3,266,354,170			100.0	%

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

AQR Funds Semi-Annual Report June 2017

99

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

* Non-income producing security.

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

(b) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $906,515,178. In addition, $45,966,885 of cash collateral was pledged.

(c) 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 6/30/2017 amounted to $150,125,069, which represents approximately 4.60% of net assets of the fund.

(d) Perpetual security. The rate reflected was the rate in effect on 6/30/2017. The maturity date reflects the next call date.

(e) Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 6/30/2017 amounted to $4,326,000, which represents approximately 0.13% of net assets of the fund.

(f) Defaulted security.

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

(h) Variable or floating rate security. The interest rate shown was the current rate as of 6/30/2017 and changes periodically.

(i) Represents 7-day effective yield as of 6/30/2017.

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

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

(l) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows

AFFILIATE	SHARES HELD AT 12/31/16	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/17		VALUE AT 06/30/17		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
Limited Purpose Cash Investment Fund (Short-Term Investment)	—	1,192,761,498		(490,604,969	)		702,156,529		$702,086,313		$1,018,129		$(33,910	)		$(32,981	)

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

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

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

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

(1) Level 1 security (See Note 5).

(3) Level 3 security (See Note 5).

Abbreviations

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

Credit default swap contracts sell protection as of June 30, 2017:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND			CURRENCY	CREDIT SPREAD			NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CITG	iTraxx Europe Crossover Series 27.V1		5.000	%	EUR		2.475	%		210,879,000		$21,384,367		06/20/2022		$6,639,016
CITG	Markit CDX North America High Yield Index Series 28.V1		5.000	%	USD		3.392	%		111,154,000		7,825,947		06/20/2022		(3,455	)

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

AQR Funds Semi-Annual Report June 2017

100

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE PAID BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared (continued)

CITG

Markit CDX North America Investment Grade Index Series 28.V1

1.000

%

USD

0.607

%

114,800,000

$ 1,671,630

06/20/2022

$ 483,215

$30,881,944

$7,118,776

Credit default swap contracts sell protection as of June 30, 2017:

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE PAID BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared

CITG

iTraxx Europe Series 27.V1

1.000

%

EUR

0.561

%

282,312,000

$(3,665,244

)

06/20/2022

$(3,397,053

)

Open written options contracts outstanding at June 30, 2017:

Exchange Traded

Call options written

NUMBER OF CONTRACTS

ISSUER

COUNTERPARTY

EXPIRATION DATE

PROCEEDS

VALUE AT JUNE 30, 2017

UNREALIZED APPRECIATION (DEPRECIATION)

351

Tesla Motors, Inc. (Exercise price $125)

JPMS

01/19/2018

��

$(1,832,874

)

$(8,239,725

)

$(6,406,851

)

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MSCS	BIST 30 August Futures	08/2017	TRY		19,734,768			$29,683
MSCS	Bovespa Index August Futures	08/2017	BRL		16,300,730			72,776
MACQ	Cocoa September Futures^	08/2017	USD		(484,863	)		19,263
GSIN	Coffee ‘C’ September Futures^	08/2017	USD		(1,317,187	)		(2,663	)
CITI	Corn September Futures^	08/2017	USD		(24,187,576	)		603,676
CITI	Corn September Futures^	08/2017	USD		1,434,529			32,321
MACQ	Corn September Futures^	08/2017	USD		(3,171,960	)		85,860
MACQ	Corn September Futures^	08/2017	USD		3,210,638			(124,537	)
MLIN	Corn September Futures^	08/2017	USD		(9,602,788	)		230,187
MLIN	Corn September Futures^	08/2017	USD		615,350			(24,800	)
GSIN	Cotton No. 2 December Futures^	11/2017	USD		(1,108,680	)		11,240
GSIN	Cotton No. 2 December Futures^	11/2017	USD		1,169,645			(72,205	)

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

AQR Funds Semi-Annual Report June 2017

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MACQ	Cotton No. 2 December Futures^	11/2017	USD		804,210			$ (49,720	)
MACQ	Cotton No. 2 December Futures^	11/2017	USD		(746,690	)		(7,800	)
MLIN	Cotton No. 2 December Futures^	11/2017	USD		(970,805	)		44,840
MLIN	Cotton No. 2 December Futures^	11/2017	USD		987,020			(61,055	)
SOCG	Cotton No. 2 December Futures^	11/2017	USD		1,315,100			(80,480	)
SOCG	Cotton No. 2 December Futures^	11/2017	USD		(1,292,490	)		57,870
BANA	Hang Seng Index July Futures	07/2017	HKD		11,555,792			(5,449	)
GSIN	Hang Seng Index July Futures	07/2017	HKD		8,980,821			(3,339	)
JPMC	Hang Seng Index July Futures	07/2017	HKD		67,946,337			(18,705	)
MSCS	Hang Seng Index July Futures	07/2017	HKD		50,002,755			(14,340	)
MACQ	Hard Red Winter Wheat September Futures^	08/2017	USD		579,395			56,006
MACQ	Hard Red Winter Wheat September Futures^	08/2017	USD		(724,690	)		(96,035	)
MLIN	Hard Red Winter Wheat September Futures^	08/2017	USD		446,975			29,575
MLIN	Hard Red Winter Wheat September Futures^	08/2017	USD		(675,312	)		(92,463	)
SOCG	Hard Red Winter Wheat September Futures^	08/2017	USD		(257,085	)		(34,140	)
BANA	H-SHARES Index July Futures	07/2017	HKD		60,334,315			(88,865	)
GSIN	H-SHARES Index July Futures	07/2017	HKD		178,367,897			(190,202	)
JPMC	H-SHARES Index July Futures	07/2017	HKD		228,817,411			(253,505	)
MSCS	H-SHARES Index July Futures	07/2017	HKD		89,960,287			(96,602	)
JPMC	KOSPI Index 200 September Futures	09/2017	KRW		21,093,128,825			230,245
MSCS	KOSPI Index 200 September Futures	09/2017	KRW		79,954,558,325			1,094,518
GSIN	Lean Hogs August Futures^	08/2017	USD		161,612			5,888
GSIN	Lean Hogs August Futures^	08/2017	USD		(1,292,800	)		(47,200	)
MACQ	Lean Hogs August Futures^	08/2017	USD		(840,818	)		(30,182	)
MACQ	Lean Hogs August Futures^	08/2017	USD		546,335			23,165
GSIN	Lean Hogs July Futures^	07/2017	USD		1,517,836			185,914
GSIN	Lean Hogs July Futures^	07/2017	USD		(1,449,468	)		(254,282	)
MACQ	Lean Hogs July Futures^	07/2017	USD		(2,410,532	)		(416,968	)
MACQ	Lean Hogs July Futures^	07/2017	USD		2,530,637			296,863
MLIN	Lean Hogs July Futures^	07/2017	USD		(708,525	)		(125,225	)
MLIN	Lean Hogs July Futures^	07/2017	USD		753,290			80,460
SOCG	Lean Hogs July Futures^	07/2017	USD		960,303			90,947
SOCG	Lean Hogs July Futures^	07/2017	USD		(895,749	)		(155,501	)
MACQ	Live Cattle August Futures^	08/2017	USD		1,453,192			(57,592	)
MLIN	Live Cattle August Futures^	08/2017	USD		5,029,143			(237,583	)
MLIN	Live Cattle August Futures^	08/2017	USD		(191,760	)		5,680
SOCG	Live Cattle August Futures^	08/2017	USD		8,535,453			(347,933	)
MSCS	MSCI Singapore Index July Futures	07/2017	SGD		607,757			1,157
BANA	MSCI Taiwan Stock Index July Futures	07/2017	USD		4,060,951			(53,831	)
GSIN	MSCI Taiwan Stock Index July Futures	07/2017	USD		7,806,329			(61,799	)
JPMC	MSCI Taiwan Stock Index July Futures	07/2017	USD		310,444			(2,204	)
MSCS	MSCI Taiwan Stock Index July Futures	07/2017	USD		5,377,808			(60,668	)
GSIN	NSE Nifty 50 Index July Futures	07/2017	INR		(2,994,173,489	)		84,736
BANA	OMXS30 Index July Futures	07/2017	SEK		39,241,047			(128,312	)
BANA	SGX S&P CNX Nifty Index July Futures	07/2017	USD		(382,401	)		1,662
JPMC	SGX S&P CNX Nifty Index July Futures	07/2017	USD		(993,090	)		3,166
MSCS	SGX S&P CNX Nifty Index July Futures	07/2017	USD		(1,698,701	)		4,408
CITI	Soybean Meal December Futures^	11/2017	USD		(8,348,650	)		(84,870	)
GSIN	Soybean Meal December Futures^	11/2017	USD		(1,168,811	)		(13,749	)
MACQ	Soybean Meal December Futures^	11/2017	USD		(4,394,510	)		(24,530	)
MLIN	Soybean Meal December Futures^	11/2017	USD		(5,571,190	)		(30,410	)
SOCG	Soybean Meal December Futures^	11/2017	USD		(1,207,127	)		(6,553	)
CITI	Soybean November Futures^	10/2017	USD		(24,517,839	)		(544,349	)
GSIN	Soybean November Futures^	10/2017	USD		(21,814,963	)		(335,237	)
GSIN	Soybean November Futures^	10/2017	USD		1,084,153			13,810
MACQ	Soybean November Futures^	10/2017	USD		(11,828,243	)		(153,870	)
MLIN	Soybean November Futures^	10/2017	USD		(11,625,725	)		(165,438	)

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

AQR Funds Semi-Annual Report June 2017

102

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
SOCG	Soybean November Futures^	10/2017		USD		(17,989,104	)		$ (246,621	)
GSIN	Soybean Oil December Futures^	11/2017		USD		(524,412	)		(15,696	)
GSIN	Soybean Oil December Futures^	11/2017		USD		547,398			(7,290	)
MACQ	Soybean Oil December Futures^	11/2017		USD		(1,047,170	)		(33,046	)
MACQ	Soybean Oil December Futures^	11/2017		USD		138,768			1,260
MLIN	Soybean Oil December Futures^	11/2017		USD		391,782			8,298
MLIN	Soybean Oil December Futures^	11/2017		USD		(386,118	)		(13,962	)
SOCG	Soybean Oil December Futures^	11/2017		USD		261,007			(955	)
SOCG	Soybean Oil December Futures^	11/2017		USD		(252,329	)		(7,723	)
MSCS	Swiss Market Index September Futures	09/2017		CHF		(276,921,521	)		(950,860	)
BANA	Taiwan Stock Exchange July Futures	07/2017		TWD		220,271,207			173,970
MSCS	Taiwan Stock Exchange July Futures	07/2017		TWD		722,051,994			666,177
BANA	Tel Aviv 25 Index July Futures	07/2017		ILS		(63,803,960	)		124,779
CITI	Wheat September Futures^	08/2017		USD		(5,012,656	)		(747,044	)
CITI	Wheat September Futures^	08/2017		USD		5,058,590			385,510
MACQ	Wheat September Futures^	08/2017		USD		(2,704,400	)		(399,000	)
MLIN	Wheat September Futures^	08/2017		USD		(1,893,969	)		(288,931	)
MLIN	Wheat September Futures^	08/2017		USD		1,954,650			228,250
SOCG	Wheat September Futures^	08/2017		USD		3,191,980			332,220
SOCG	Wheat September Futures^	08/2017		USD		(3,066,978	)		(457,222	)
GSIN	WIG20 Index September Futures	09/2017		PLN		28,717,608			23,576
									$(2,483,585	)

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

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
255	MSCL	Copper Futures^		09/2017		$16,594,511		$17,282,625		$688,114
304	MSCL	Gold 100 OZ Futures^		08/2017		39,252,764		37,765,920		(1,486,844	)
31	MSCL	Hard Red Winter Wheat Futures^		09/2017		765,046		820,725		55,679
3	MSCL	Live Cattle Futures^		08/2017		144,908		139,560		(5,348	)
9	JPPC	LME Aluminum Futures^		07/2017		440,796		430,538		(10,258	)
1	JPPC	LME Aluminum Futures^		07/2017		48,995		47,832		(1,163	)
15	JPPC	LME Aluminum Futures^		08/2017		717,969		717,157		(812	)
27	JPPC	LME Aluminum Futures^		08/2017		1,297,123		1,290,992		(6,131	)
28	JPPC	LME Aluminum Futures^		08/2017		1,342,669		1,338,925		(3,744	)
15	JPPC	LME Aluminum Futures^		08/2017		708,224		717,532		9,308
23	JPPC	LME Aluminum Futures^		08/2017		1,081,068		1,100,309		19,241
20	JPPC	LME Aluminum Futures^		08/2017		933,417		956,875		23,458
25	JPPC	LME Aluminum Futures^		08/2017		1,178,644		1,196,144		17,500
7	JPPC	LME Aluminum Futures^		08/2017		337,488		335,086		(2,402	)
5	JPPC	LME Aluminum Futures^		08/2017		243,361		239,370		(3,991	)
13	JPPC	LME Aluminum Futures^		08/2017		635,884		622,417		(13,467	)
19	JPPC	LME Aluminum Futures^		08/2017		910,163		910,176		13
3	JPPC	LME Aluminum Futures^		09/2017		143,936		143,726		(210	)
18	JPPC	LME Aluminum Futures^		09/2017		843,353		863,437		20,084
170	JPPC	LME Aluminum Futures^		09/2017		8,232,982		8,157,875		(75,107	)
9	JPPC	LME Aluminum Futures^		09/2017		423,022		431,854		8,832
28	JPPC	LME Aluminum Futures^		09/2017		1,314,869		1,343,125		28,256
6	JPPC	LME Aluminum Futures^		09/2017		280,890		287,834		6,944

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

AQR Funds Semi-Annual Report June 2017

103

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
6	JPPC	LME Aluminum Futures^		09/2017		$ 280,536		$ 287,839		$ 7,303
7	JPPC	LME Aluminum Futures^		09/2017		330,242		335,818		5,576
4	JPPC	LME Aluminum Futures^		09/2017		190,610		191,900		1,290
46	JPPC	LME Copper Futures^		07/2017		6,576,986		6,818,925		241,939
74	JPPC	LME Copper Futures^		07/2017		10,533,981		10,968,650		434,669
49	JPPC	LME Copper Futures^		07/2017		6,924,923		7,255,063		330,140
61	JPPC	LME Copper Futures^		07/2017		8,712,628		9,034,390		321,762
12	JPPC	LME Copper Futures^		08/2017		1,669,979		1,778,439		108,460
52	JPPC	LME Copper Futures^		08/2017		7,165,237		7,709,975		544,738
5	JPPC	LME Copper Futures^		08/2017		695,015		741,360		46,345
4	JPPC	LME Copper Futures^		08/2017		553,475		593,042		39,567
1	JPPC	LME Copper Futures^		08/2017		142,811		148,333		5,522
4	JPPC	LME Copper Futures^		08/2017		564,973		593,583		28,610
3	JPPC	LME Copper Futures^		09/2017		426,017		445,219		19,202
1	JPPC	LME Copper Futures^		09/2017		142,558		148,448		5,890
1	JPPC	LME Copper Futures^		09/2017		141,652		148,489		6,837
12	JPPC	LME Copper Futures^		09/2017		1,714,448		1,782,075		67,627
2	JPPC	LME Copper Futures^		09/2017		297,080		296,850		(230	)
3	JPPC	LME Nickel Futures^		07/2017		170,107		168,485		(1,622	)
14	JPPC	LME Nickel Futures^		08/2017		753,802		786,612		32,810
1	JPPC	LME Nickel Futures^		08/2017		54,917		56,233		1,316
4	JPPC	LME Nickel Futures^		08/2017		217,930		224,999		7,069
8	JPPC	LME Nickel Futures^		08/2017		426,680		450,137		23,457
10	JPPC	LME Nickel Futures^		09/2017		527,277		562,700		35,423
17	JPPC	LME Nickel Futures^		09/2017		959,275		957,525		(1,750	)
3	JPPC	LME Nickel Futures^		09/2017		163,897		169,002		5,105
2	JPPC	LME Nickel Futures^		09/2017		110,585		112,674		2,089
3	JPPC	LME Nickel Futures^		09/2017		167,671		169,020		1,349
10	JPPC	LME Zinc Futures^		07/2017		646,275		688,813		42,538
11	JPPC	LME Zinc Futures^		07/2017		711,252		758,038		46,786
6	JPPC	LME Zinc Futures^		07/2017		381,727		413,512		31,785
8	JPPC	LME Zinc Futures^		07/2017		520,800		551,358		30,558
5	JPPC	LME Zinc Futures^		07/2017		327,700		344,603		16,903
1	JPPC	LME Zinc Futures^		07/2017		65,265		68,923		3,658
1	JPPC	LME Zinc Futures^		08/2017		66,165		68,931		2,766
27	JPPC	LME Zinc Futures^		09/2017		1,807,693		1,863,000		55,307
2	JPPC	LME Zinc Futures^		09/2017		136,980		137,900		920
2	JPPC	LME Zinc Futures^		09/2017		136,606		137,900		1,294
4	JPPC	LME Zinc Futures^		09/2017		275,232		275,800		568
69	MSCL	NYMEX Palladium Futures^		09/2017		5,384,366		5,772,885		388,519
451	MSCL	Silver Futures^		09/2017		37,137,017		37,493,885		356,868
14	MSCL	Soybean Oil Futures^		12/2017		276,786		280,056		3,270
14	MSCL	Wheat Futures^		09/2017		344,527		368,200		23,673
539	JPMS	BIST 30 Futures		08/2017		1,921,732		1,926,013		4,281
429	BARC	DAX Index Futures		09/2017		156,717,945		150,914,562		(5,803,383	)
267	BARC	E-Mini DJIA CBOT Futures		09/2017		28,331,014		28,435,500		104,486
88	JPMS	E-Mini MSCI EAFE Index Futures		09/2017		8,322,939		8,314,240		(8,699	)
388	BARC	E-Mini MSCI Emerging Markets Index Futures		09/2017		19,547,718		19,561,020		13,302
5,279	BARC	E-Mini Russell 2000 Futures		09/2017		375,644,024		373,304,485		(2,339,539	)
5,833	BARC	Euro Stoxx 50 Index Futures		09/2017		236,911,988		228,578,740		(8,333,248	)
1,866	BARC	FTSE 100 Index Futures		09/2017		181,287,165		176,019,664		(5,267,501	)
130	GSCO	FTSE Bursa Malaysia KLCI Index Futures		09/2017		20,058,690		20,065,520		6,830
33	BARC	Hang Seng Index Futures		07/2017		5,423,314		5,407,047		(16,267	)
220	BARC	H-SHARES Index Futures		07/2017		14,487,202		14,363,845		(123,357	)
300	BARC	IBEX 35 Index Futures		07/2017		37,043,113		35,655,296		(1,387,817	)

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

AQR Funds Semi-Annual Report June 2017

104

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
86	BARC	KOSPI Index 200 Futures		09/2017		$ 5,791,909			$ 5,879,779			$ 87,870
4	JPMS	KOSPI Index 200 Futures		09/2017		269,869			273,479			3,610
146	BARC	MSCI Singapore Index Futures		07/2017		3,830,404			3,801,249			(29,155	)
293	BARC	MSCI Taiwan Stock Index Futures		07/2017		11,421,573			11,289,290			(132,283	)
286	BARC	NASDAQ 100 E-Mini Index Futures		09/2017		32,855,744			32,333,730			(522,014	)
107	JPMS	Nikkei 225 Futures		09/2017		19,133,149			19,045,476			(87,673	)
322	JPMS	OMXS30 Index Futures		07/2017		6,312,768			6,125,862			(186,906	)
80	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		11,137,190			10,971,006			(166,184	)
37	BARC	S&PMID 400 E-Mini Futures		09/2017		6,496,035			6,460,570			(35,465	)
505	BARC	SGX S&P CNX Nifty Index Futures		07/2017		9,640,698			9,613,685			(27,013	)
1,470	BARC	TOPIX Index Futures		09/2017		209,368,573			210,616,137			1,247,564
69	JPMS	3-Month Euro Euribor Futures		12/2018		19,739,488			19,719,819			(19,669	)
19	JPMS	3-Month Euro Euribor Futures		03/2019		5,433,191			5,426,569			(6,622	)
74	JPMS	90-Day Sterling Futures		12/2018		11,986,307			11,954,896			(31,411	)
121	JPMS	90-Day Sterling Futures		03/2019		19,592,374			19,539,989			(52,385	)
145	JPMS	90-Day Sterling Futures		06/2019		23,480,034			23,403,888			(76,146	)
365	JPMS	ASX 90 Day Bank Accepted Bills Futures		09/2017		279,333,217			279,340,497			7,280
796	JPMS	ASX 90 Day Bank Accepted Bills Futures		12/2017		608,989,952			609,147,007			157,055
825	JPMS	ASX 90 Day Bank Accepted Bills Futures		03/2018		631,115,844			631,231,068			115,224
446	JPMS	ASX 90 Day Bank Accepted Bills Futures		06/2018		341,291,068			341,171,974			(119,094	)
2,268	GSCO	Euro-Bund Futures		09/2017		426,123,676			419,307,429			(6,816,247	)
249	GSCO	Euro-OAT Futures		09/2017		42,564,087			42,227,021			(337,066	)
93	GSCO	Euro-SCHATZ Futures		09/2017		11,912,372			11,880,701			(31,671	)
1,446	MSCL	U.S. Treasury 10-Year Note Futures		09/2017		181,959,067			181,518,187			(440,880	)
						4,182,181,198			4,154,124,863			(28,056,335	)
Short Contracts:
431	GSCO	Brent Crude Futures^		07/2017		$(20,108,501	)		$(21,019,870	)		$(911,369	)
127	GSCO	Cocoa Futures^		09/2017		(2,592,470	)		(2,522,520	)		69,950
39	MSCL	Cocoa Futures^		09/2017		(737,518	)		(756,600	)		(19,082	)
210	MSCL	Coffee ‘C’ Futures^		09/2017		(10,229,372	)		(9,898,875	)		330,497
127	MSCL	Corn Futures^		09/2017		(2,342,943	)		(2,419,350	)		(76,407	)
52	MSCL	Cotton No. 2 Futures^		12/2017		(1,745,454	)		(1,783,340	)		(37,886	)
407	GSCO	Gas Oil Futures^		08/2017		(17,355,057	)		(17,745,200	)		(390,143	)
169	MSCL	Gasoline RBOB Futures^		07/2017		(10,466,325	)		(10,744,243	)		(277,918	)
241	MSCL	Heating Oil ULSD Futures^		07/2017		(14,463,685	)		(15,011,938	)		(548,253	)
9	JPPC	LME Aluminum Futures^		07/2017		(439,003	)		(430,538	)		8,465
1	JPPC	LME Aluminum Futures^		07/2017		(48,913	)		(47,833	)		1,080
15	JPPC	LME Aluminum Futures^		08/2017		(717,995	)		(717,158	)		837
27	JPPC	LME Aluminum Futures^		08/2017		(1,295,528	)		(1,290,992	)		4,536
28	JPPC	LME Aluminum Futures^		08/2017		(1,337,240	)		(1,338,925	)		(1,685	)
15	JPPC	LME Aluminum Futures^		08/2017		(705,728	)		(717,533	)		(11,805	)
23	JPPC	LME Aluminum Futures^		08/2017		(1,080,616	)		(1,100,308	)		(19,692	)
20	JPPC	LME Aluminum Futures^		08/2017		(936,197	)		(956,875	)		(20,678	)
25	JPPC	LME Aluminum Futures^		08/2017		(1,176,693	)		(1,196,144	)		(19,451	)
7	JPPC	LME Aluminum Futures^		08/2017		(337,558	)		(335,087	)		2,471
5	JPPC	LME Aluminum Futures^		08/2017		(242,863	)		(239,370	)		3,493
13	JPPC	LME Aluminum Futures^		08/2017		(637,006	)		(622,418	)		14,588
19	JPPC	LME Aluminum Futures^		08/2017		(908,178	)		(910,176	)		(1,998	)

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

AQR Funds Semi-Annual Report June 2017

105

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
3	JPPC	LME Aluminum Futures^		09/2017		$ (143,655	)		$ (143,725	)		$ (70	)
18	JPPC	LME Aluminum Futures^		09/2017		(842,798	)		(863,438	)		(20,640	)
78	JPPC	LME Aluminum Futures^		09/2017		(3,663,077	)		(3,743,025	)		(79,948	)
9	JPPC	LME Aluminum Futures^		09/2017		(422,455	)		(431,853	)		(9,398	)
28	JPPC	LME Aluminum Futures^		09/2017		(1,311,900	)		(1,343,125	)		(31,225	)
6	JPPC	LME Aluminum Futures^		09/2017		(279,625	)		(287,834	)		(8,209	)
6	JPPC	LME Aluminum Futures^		09/2017		(280,974	)		(287,839	)		(6,865	)
7	JPPC	LME Aluminum Futures^		09/2017		(330,698	)		(335,818	)		(5,120	)
4	JPPC	LME Aluminum Futures^		09/2017		(190,555	)		(191,900	)		(1,345	)
46	JPPC	LME Copper Futures^		07/2017		(6,550,261	)		(6,818,925	)		(268,664	)
74	JPPC	LME Copper Futures^		07/2017		(10,524,722	)		(10,968,650	)		(443,928	)
49	JPPC	LME Copper Futures^		07/2017		(6,898,167	)		(7,255,062	)		(356,895	)
61	JPPC	LME Copper Futures^		07/2017		(8,693,389	)		(9,034,390	)		(341,001	)
12	JPPC	LME Copper Futures^		08/2017		(1,662,247	)		(1,778,439	)		(116,192	)
52	JPPC	LME Copper Futures^		08/2017		(7,137,523	)		(7,709,975	)		(572,452	)
5	JPPC	LME Copper Futures^		08/2017		(695,250	)		(741,360	)		(46,110	)
4	JPPC	LME Copper Futures^		08/2017		(552,703	)		(593,042	)		(40,339	)
1	JPPC	LME Copper Futures^		08/2017		(142,598	)		(148,334	)		(5,736	)
4	JPPC	LME Copper Futures^		08/2017		(564,090	)		(593,583	)		(29,493	)
3	JPPC	LME Copper Futures^		09/2017		(425,243	)		(445,219	)		(19,976	)
1	JPPC	LME Copper Futures^		09/2017		(142,123	)		(148,448	)		(6,325	)
1	JPPC	LME Copper Futures^		09/2017		(141,573	)		(148,489	)		(6,916	)
147	JPPC	LME Copper Futures^		09/2017		(20,854,869	)		(21,830,418	)		(975,549	)
2	JPPC	LME Copper Futures^		09/2017		(296,845	)		(296,850	)		(5	)
3	JPPC	LME Nickel Futures^		07/2017		(171,293	)		(168,486	)		2,807
14	JPPC	LME Nickel Futures^		08/2017		(754,791	)		(786,612	)		(31,821	)
1	JPPC	LME Nickel Futures^		08/2017		(55,578	)		(56,233	)		(655	)
4	JPPC	LME Nickel Futures^		08/2017		(217,755	)		(224,999	)		(7,244	)
8	JPPC	LME Nickel Futures^		08/2017		(425,942	)		(450,137	)		(24,195	)
10	JPPC	LME Nickel Futures^		09/2017		(529,226	)		(562,700	)		(33,474	)
30	JPPC	LME Nickel Futures^		09/2017		(1,615,595	)		(1,689,751	)		(74,156	)
3	JPPC	LME Nickel Futures^		09/2017		(164,293	)		(169,002	)		(4,709	)
2	JPPC	LME Nickel Futures^		09/2017		(110,507	)		(112,674	)		(2,167	)
3	JPPC	LME Nickel Futures^		09/2017		(167,865	)		(169,020	)		(1,155	)
10	JPPC	LME Zinc Futures^		07/2017		(649,382	)		(688,813	)		(39,431	)
11	JPPC	LME Zinc Futures^		07/2017		(706,668	)		(758,038	)		(51,370	)
6	JPPC	LME Zinc Futures^		07/2017		(383,178	)		(413,512	)		(30,334	)
8	JPPC	LME Zinc Futures^		07/2017		(523,269	)		(551,358	)		(28,089	)
5	JPPC	LME Zinc Futures^		07/2017		(325,722	)		(344,602	)		(18,880	)
1	JPPC	LME Zinc Futures^		07/2017		(65,207	)		(68,923	)		(3,716	)
1	JPPC	LME Zinc Futures^		08/2017		(66,210	)		(68,931	)		(2,721	)
2	JPPC	LME Zinc Futures^		09/2017		(136,845	)		(137,900	)		(1,055	)
2	JPPC	LME Zinc Futures^		09/2017		(136,758	)		(137,900	)		(1,142	)
4	JPPC	LME Zinc Futures^		09/2017		(276,508	)		(275,800	)		708
301	MSCL	Natural Gas Futures^		07/2017		(9,223,336	)		(9,135,350	)		87,986
85	MSCL	Platinum Futures^		10/2017		(3,930,345	)		(3,937,200	)		(6,855	)
808	MSCL	Soybean Futures^		11/2017		(37,867,457	)		(38,571,900	)		(704,443	)
65	MSCL	Soybean Meal Futures^		12/2017		(2,004,567	)		(2,022,800	)		(18,233	)
763	MSCL	Sugar #11 (World Markets) Futures^		09/2017		(12,293,588	)		(11,801,473	)		492,115
758	MSCL	WTI Crude Futures^		07/2017		(34,642,482	)		(34,898,320	)		(255,838	)
215	BARC	Amsterdam Index Futures		07/2017		(25,741,040	)		(24,875,455	)		865,585
415	BARC	CAC40 Index Futures		07/2017		(24,968,513	)		(24,251,813	)		716,700
714	BARC	FTSE Bursa Malaysia KLCI Index Futures		07/2017		(14,816,138	)		(14,699,486	)		116,652
75	JPMS	FTSE China Index Futures		07/2017		(853,374	)		(852,187	)		1,187
832	JPMS	FTSE/JSE Top 40 Index Futures		09/2017		(29,205,615	)		(29,052,111	)		153,504

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

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106

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
133	BARC	FTSE/MIB Index Futures		09/2017		$ (15,967,852	)		$ (15,569,600	)		$ 398,252
279	JPMS	Mexican Stock Exchange Price and Quotation Index Futures		09/2017		(7,601,304	)		(7,736,441	)		(135,137	)
5,262	BARC	S&P 500 E-Mini Futures		09/2017		(638,953,659	)		(636,938,790	)		2,014,869
1,746	BARC	SET50 Index Futures		09/2017		(10,218,706	)		(10,199,477	)		19,229
434	BARC	SPI 200 Index Futures		09/2017		(47,394,688	)		(47,108,759	)		285,929
726	GSCO	10-Year Japanese Government Bond Futures		09/2017		(971,509,215	)		(968,925,184	)		2,584,031
482	JPMS	3-Month Euro Euribor Futures		12/2017		(138,045,550	)		(138,021,316	)		24,234
578	JPMS	3-Month Euro Euribor Futures		03/2018		(165,496,969	)		(165,453,275	)		43,694
410	JPMS	3-Month Euro Euribor Futures		06/2018		(117,337,568	)		(117,310,369	)		27,199
23	JPMS	3-Month Euro Euribor Futures		09/2018		(6,577,745	)		(6,577,542	)		203
94	JPMS	3-Month Euro Euribor Futures		06/2019		(26,832,520	)		(26,831,130	)		1,390
1,034	JPMS	90-Day EURODollar Futures		12/2017		(254,686,708	)		(254,687,125	)		(417	)
689	JPMS	90-Day EURODollar Futures		03/2018		(169,492,753	)		(169,562,900	)		(70,147	)
501	JPMS	90-Day EURODollar Futures		06/2018		(123,245,821	)		(123,202,162	)		43,659
152	JPMS	90-Day EURODollar Futures		09/2018		(37,314,062	)		(37,350,200	)		(36,138	)
232	JPMS	90-Day EURODollar Futures		12/2018		(56,857,571	)		(56,956,000	)		(98,429	)
292	JPMS	90-Day EURODollar Futures		03/2019		(71,396,495	)		(71,645,850	)		(249,355	)
155	JPMS	90-Day EURODollar Futures		06/2019		(38,043,329	)		(38,007,938	)		35,391
269	JPMS	90-Day Sterling Futures		12/2017		(43,580,347	)		(43,575,909	)		4,438
443	JPMS	90-Day Sterling Futures		03/2018		(71,737,849	)		(71,704,859	)		32,990
540	JPMS	90-Day Sterling Futures		06/2018		(87,398,835	)		(87,335,130	)		63,705
39	JPMS	90-Day Sterling Futures		09/2018		(6,303,035	)		(6,303,728	)		(693	)
4,522	JPMS	Australia 10-Year Bond Futures		09/2017		(455,736,953	)		(449,256,347	)		6,480,606
747	JPMS	Australia 3-Year Bond Futures		09/2017		(64,241,273	)		(64,104,866	)		136,407
859	GSCO	Canadian 10-Year Bond Futures		09/2017		(95,359,902	)		(93,100,285	)		2,259,617
259	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2017		(49,338,606	)		(49,259,032	)		79,574
416	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2018		(79,234,605	)		(79,050,586	)		184,019
364	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2018		(69,418,251	)		(69,120,142	)		298,109
67	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		09/2017		(10,931,809	)		(11,113,625	)		(181,816	)
10	JPMS	Euro CHF 3-Month LIFFE Futures		09/2017		(2,626,439	)		(2,625,926	)		513
137	JPMS	Euro CHF 3-Month LIFFE Futures		12/2017		(35,986,979	)		(35,964,465	)		22,514
98	JPMS	Euro CHF 3-Month LIFFE Futures		03/2018		(25,737,002	)		(25,718,740	)		18,262
66	JPMS	Euro CHF 3-Month LIFFE Futures		06/2018		(17,328,518	)		(17,315,622	)		12,896
10	GSCO	Euro-Bobl Futures		09/2017		(1,505,085	)		(1,504,211	)		874
92	GSCO	Euro-Buxl 30-Year Bond Futures		09/2017		(17,389,164	)		(17,182,322	)		206,842
1,484	GSCO	Long Gilt Futures		09/2017		(246,020,964	)		(242,706,183	)		3,314,781
1,763	MSCL	U.S. Treasury 2-Year Note Futures		09/2017		(381,230,911	)		(381,000,828	)		230,083
248	MSCL	U.S. Treasury 5-Year Note Futures		09/2017		(29,255,239	)		(29,223,313	)		31,926
71	MSCL	U.S. Treasury Long Bond Futures		09/2017		(10,828,930	)		(10,911,812	)		(82,882	)
						(5,063,844,441	)		(5,050,040,509	)		13,803,932
						$(881,663,243	)		$(895,915,646	)		$(14,252,403	)

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

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

AQR Funds Semi-Annual Report June 2017

107

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		219,392,200		$164,607,252		$168,458,095		$3,850,843
Australian Dollar, Expiring 09/20/17	JPMC	AUD		316,117,800		237,128,320		242,727,873		5,599,553
Brazilian Real, Expiring 09/20/17*	CITI	BRL		12,310,000		3,663,639		3,656,994		(6,645	)
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		18,465,000		5,495,465		5,485,493		(9,972	)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		153,887,200		116,451,563		118,814,939		2,363,376
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		224,368,800		169,792,197		173,233,152		3,440,955
Swiss Franc, Expiring 09/20/17	CITI	CHF		6,888,000		7,186,983		7,219,393		32,410
Swiss Franc, Expiring 09/20/17	JPMC	CHF		10,332,000		10,780,589		10,829,089		48,500
Chilean Peso, Expiring 09/20/17*	CITI	CLP		5,485,416,400		8,240,269		8,244,587		4,318
Chilean Peso, Expiring 09/20/17*	JPMC	CLP		4,000,035,600		6,008,514		6,012,056		3,542
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		20,944,000		3,065,329		3,071,130		5,801
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		9,543,000		1,395,455		1,399,340		3,885
Colombian Peso, Expiring 09/20/17*	CITI	COP		8,129,759,200		2,749,088		2,640,303		(108,785	)
Colombian Peso, Expiring 09/20/17*	JPMC	COP		12,194,638,800		4,123,637		3,960,453		(163,184	)
Czech Republic Koruna, Expiring 09/20/17	CITI	CZK		648,000,000		27,720,237		28,480,395		760,158
Czech Republic Koruna, Expiring 09/20/17	JPMC	CZK		972,000,000		41,579,126		42,720,594		1,141,468
Euro, Expiring 09/20/17	CITI	EUR		107,532,799		121,248,010		123,326,697		2,078,687
Euro, Expiring 09/20/17	JPMC	EUR		161,299,196		181,877,741		184,990,037		3,112,296
British Pound, Expiring 09/20/17	CITI	GBP		29,462,000		37,858,142		38,465,620		607,478
British Pound, Expiring 09/20/17	JPMC	GBP		44,193,000		56,790,477		57,698,431		907,954
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		65,291,000		8,400,010		8,380,692		(19,318	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		96,663,000		12,436,246		12,407,575		(28,671	)
Hungarian Forint, Expiring 09/20/17	CITI	HUF		6,554,547,600		24,007,941		24,319,247		311,306
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		8,928,575,400		32,700,522		33,127,568		427,046
Indonesian Rupiah, Expiring 09/20/17*	CITI	IDR		38,487,016,000		2,864,220		2,862,934		(1,286	)
Indonesian Rupiah, Expiring 09/20/17*	JPMC	IDR		53,909,706,000		4,011,764		4,010,181		(1,583	)

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

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108

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Israeli Shekel, Expiring 09/20/17	CITI	ILS		16,919,000		$ 4,859,170		$ 4,865,262		$ 6,092
Indian Rupee, Expiring 09/20/17*	CITI	INR		2,155,061,200		33,069,222		33,056,214		(13,008	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		3,197,662,800		49,068,332		49,048,546		(19,786	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		11,106,789,401		100,928,959		99,087,369		(1,841,590	)
Japanese Yen, Expiring 09/20/17	JPMC	JPY		14,488,734,601		131,476,673		129,258,826		(2,217,847	)
Korean Won, Expiring 09/20/17*	CITI	KRW		6,037,054,800		5,353,504		5,277,527		(75,977	)
Korean Won, Expiring 09/20/17*	JPMC	KRW		7,963,462,200		7,052,718		6,961,571		(91,147	)
Mexican Peso, Expiring 09/20/17	CITI	MXN		1,704,226,800		90,945,045		92,749,492		1,804,447
Mexican Peso, Expiring 09/20/17	JPMC	MXN		2,542,075,200		135,663,425		138,347,889		2,684,464
Norwegian Krone, Expiring 09/20/17	CITI	NOK		89,685,800		10,710,511		10,758,955		48,444
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		112,633,200		13,447,457		13,511,787		64,330
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		223,061,600		158,531,428		163,224,159		4,692,731
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		334,592,398		237,800,271		244,836,233		7,035,962
Philippine Peso, Expiring 09/20/17*	CITI	PHP		195,380,600		3,903,064		3,845,475		(57,589	)
Philippine Peso, Expiring 09/20/17*	JPMC	PHP		36,173,400		722,697		711,963		(10,734	)
Poland Zloty, Expiring 09/20/17	CITI	PLN		117,420,400		31,425,850		31,675,841		249,991
Poland Zloty, Expiring 09/20/17	JPMC	PLN		176,130,600		47,138,542		47,513,760		375,218
Swedish Krona, Expiring 09/20/17	CITI	SEK		167,764,200		19,595,827		20,002,254		406,427
Swedish Krona, Expiring 09/20/17	JPMC	SEK		147,775,800		17,417,832		17,619,069		201,237
Singapore Dollar, Expiring 09/20/17	CITI	SGD		4,935,000		3,569,125		3,588,933		19,808
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		5,658,000		4,090,138		4,114,728		24,590
Turkish Lira, Expiring 09/20/17	CITI	TRY		182,819,600		50,228,360		50,813,284		584,924
Turkish Lira, Expiring 09/20/17	JPMC	TRY		222,296,400		60,938,300		61,785,548		847,248
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		444,406,400		14,812,610		14,618,953		(193,657	)
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		666,609,600		22,218,943		21,928,428		(290,515	)
South African Rand, Expiring 09/20/17	CITI	ZAR		477,499,200		36,123,801		36,020,410		(103,391	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		653,182,798		49,487,278		49,273,196		(214,082	)
						2,632,761,818		2,671,038,540		38,276,722

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

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109

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		(45,783,800	)		$(34,018,171	)		$(35,154,632	)		$(1,136,461	)
Australian Dollar, Expiring 09/20/17	JPMC	AUD		(59,929,200	)		(44,535,130	)		(46,016,033	)		(1,480,903	)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		(159,253,200	)		(47,576,075	)		(47,310,163	)		265,912
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		(234,379,800	)		(70,024,145	)		(69,628,407	)		395,738
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(68,000,851	)		(50,563,372	)		(52,502,853	)		(1,939,481	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(100,756,279	)		(74,918,410	)		(77,793,028	)		(2,874,618	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		(179,004,000	)		(185,813,362	)		(187,616,176	)		(1,802,814	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(268,506,000	)		(278,719,692	)		(281,424,258	)		(2,704,566	)
Chilean Peso, Expiring 09/20/17*	CITI	CLP		(18,350,905,400	)		(27,282,553	)		(27,581,430	)		(298,877	)
Chilean Peso, Expiring 09/20/17*	JPMC	CLP		(27,486,045,600	)		(40,863,879	)		(41,311,553	)		(447,674	)
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		(55,536,400	)		(8,077,180	)		(8,143,595	)		(66,415	)
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		(82,674,600	)		(12,024,132	)		(12,123,011	)		(98,879	)
Colombian Peso, Expiring 09/20/17*	CITI	COP		(8,259,851,600	)		(2,698,651	)		(2,682,553	)		16,098
Colombian Peso, Expiring 09/20/17*	JPMC	COP		(160,238,400	)		(54,670	)		(52,041	)		2,629
Euro, Expiring 09/20/17	CITI	EUR		(83,342,000	)		(93,857,603	)		(95,582,867	)		(1,725,264	)
Euro, Expiring 09/20/17	JPMC	EUR		(91,422,000	)		(103,038,103	)		(104,849,620	)		(1,811,517	)
British Pound, Expiring 09/20/17	CITI	GBP		(92,796,600	)		(120,167,341	)		(121,155,345	)		(988,004	)
British Pound, Expiring 09/20/17	JPMC	GBP		(137,507,398	)		(178,073,851	)		(179,529,812	)		(1,455,961	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(23,798,600	)		(3,059,410	)		(3,054,768	)		4,642
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(11,213,400	)		(1,441,244	)		(1,439,342	)		1,902
Hungarian Forint, Expiring 09/20/17	CITI	HUF		(6,260,866,000	)		(22,935,887	)		(23,229,604	)		(293,717	)
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		(8,771,610,000	)		(32,152,943	)		(32,545,182	)		(392,239	)
Indonesian Rupiah, Expiring 09/20/17*	CITI	IDR		(4,452,769,000	)		(331,177	)		(331,228	)		(51	)
Indonesian Rupiah, Expiring 09/20/17*	JPMC	IDR		(4,238,751,000	)		(315,425	)		(315,307	)		118
Israeli Shekel, Expiring 09/20/17	CITI	ILS		(55,703,401	)		(15,718,093	)		(16,018,183	)		(300,090	)
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		(65,151,600	)		(18,366,115	)		(18,735,124	)		(369,009	)
Indian Rupee, Expiring 09/20/17*	CITI	INR		(824,725,200	)		(12,666,226	)		(12,650,357	)		15,869
Indian Rupee, Expiring 09/20/17*	JPMC	INR		(1,102,087,800	)		(16,922,404	)		(16,904,784	)		17,620

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

AQR Funds Semi-Annual Report June 2017

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Japanese Yen, Expiring 09/20/17	CITI	JPY		(14,684,386,400	)		$ (132,063,617	)		$ (131,004,301	)		$ 1,059,316
Japanese Yen, Expiring 09/20/17	JPMC	JPY		(22,026,579,600	)		(198,095,182	)		(196,506,451	)		1,588,731
Korean Won, Expiring 09/20/17*	CITI	KRW		(71,225,013,801	)		(63,282,821	)		(62,264,125	)		1,018,696
Korean Won, Expiring 09/20/17*	JPMC	KRW		(95,128,981,200	)		(84,646,456	)		(83,160,707	)		1,485,749
Mexican Peso, Expiring 09/20/17	CITI	MXN		(80,948,800	)		(4,393,905	)		(4,405,494	)		(11,589	)
Mexican Peso, Expiring 09/20/17	JPMC	MXN		(76,423,200	)		(4,134,489	)		(4,159,195	)		(24,706	)
Norwegian Krone, Expiring 09/20/17	CITI	NOK		(287,111,201	)		(34,123,577	)		(34,442,647	)		(319,070	)
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		(430,666,800	)		(51,185,302	)		(51,663,971	)		(478,669	)
Philippine Peso, Expiring 09/20/17*	CITI	PHP		(250,176,600	)		(4,936,864	)		(4,923,967	)		12,897
Philippine Peso, Expiring 09/20/17*	JPMC	PHP		(125,138,400	)		(2,470,848	)		(2,462,969	)		7,879
Poland Zloty, Expiring 09/20/17	CITI	PLN		(2,703,000	)		(723,012	)		(729,173	)		(6,161	)
Swedish Krona, Expiring 09/20/17	CITI	SEK		(1,166,581,200	)		(134,851,506	)		(139,089,584	)		(4,238,078	)
Swedish Krona, Expiring 09/20/17	JPMC	SEK		(1,749,871,798	)		(202,275,738	)		(208,634,374	)		(6,358,636	)
Singapore Dollar, Expiring 09/20/17	CITI	SGD		(70,203,400	)		(50,784,889	)		(51,054,780	)		(269,891	)
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		(105,069,600	)		(76,006,662	)		(76,410,903	)		(404,241	)
Turkish Lira, Expiring 09/20/17	CITI	TRY		(52,148,600	)		(14,290,988	)		(14,494,298	)		(203,310	)
Turkish Lira, Expiring 09/20/17	JPMC	TRY		(60,884,400	)		(16,687,355	)		(16,922,343	)		(234,988	)
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		(346,553,000	)		(11,508,943	)		(11,400,020	)		108,923
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		(139,506,000	)		(4,631,329	)		(4,589,114	)		42,215
South African Rand, Expiring 09/20/17	CITI	ZAR		(86,812,800	)		(6,535,238	)		(6,548,772	)		(13,534	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		(112,219,200	)		(8,420,361	)		(8,465,316	)		(44,955	)
							(2,602,264,326	)		(2,629,013,760	)		(26,749,434	)
							$30,497,492			$42,024,780			$11,527,288

* Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

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

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111

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps* Outstanding at June 30, 2017

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	85 months maturity 11/22/2021		$1,905,235

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

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Agrium, Inc.		126,120		$	11,460,524		$	(47,926	)
United States
Alere, Inc.		202,109			8,615,907			1,527,944
United Bankshares, Inc.		154			5,566			471
								1,528,415
Total of Long Equity Positions								1,480,489
Short Positions
Common Stocks
Canada
Potash Corp. of Saskatchewan, Inc.		(688,116	)		(10,968,569	)		(247,722	)
Total of Long and Short Equity Positions								1,232,767
Net Cash and Other Receivables/ (Payables) (b)								672,468
Swaps, at Value							$	1,905,235

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

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

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

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112

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	61 months maturity 05/23/2022		$(364,691	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Fairfax Media Ltd.		3,120,089	$	2,995,696	$	(356,891	)
Net Cash and Other Receivables/ (Payables) (b)						(7,800	)
Swaps, at Value					$	(364,691	)

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	61 months maturity 12/20/2017		$19,124

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Entertainment One Ltd.		993,348	$	2,808,797	$	43,854
Net Cash and Other Receivables/ (Payables) (b)						(24,730	)
Swaps, at Value					$	19,124

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

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

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

AQR Funds Semi-Annual Report June 2017

113

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	61 months maturity 12/22/2017		$6,337,986

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
BHP Billiton plc		72,132	$	1,097,261	$	7,853
Germany
TUI AG		154,507		2,039,135		213,242
Isle of Man
Paysafe Group plc		84,795		442,765		121,582
South Africa
Investec plc		904,573		5,684,845		1,074,102
Mondi plc		216,611		4,901,500		778,426
					1,852,528
Switzerland
Coca-Cola HBC AG		128,416		2,964,610		811,978
IWG plc		437,978		1,675,257		171,207
Wolseley plc		12,791		836,178		(51,096	)
					932,089
United Kingdom
AA plc		85,261		269,420		(16,075	)
Amec Foster Wheeler plc		159,337		980,762		(10,167	)
Ashtead Group plc		180,425		3,857,277		(123,810	)
ASOS plc		31,847		2,317,059		66,689
AstraZeneca plc		93,427		5,973,394		284,677
Aviva plc		184,100		1,272,448		(9,638	)
Babcock International Group plc		21,353		251,300		(6,435	)
BAE Systems plc		47,129		324,440		64,623
Barclays plc		2,136,526		5,881,929		(231,302	)
Barratt Developments plc		1,058,582		6,670,100		1,104,414
BBA Aviation plc		187,404		750,100		144
Bellway plc		88,489		2,772,914		660,904
BP plc		420,743		2,574,222		(145,620	)
BT Group plc		1,822,121		7,062,795		(56,296	)
Centrica plc		40,909		102,993		3,667
Close Brothers Group plc		265,309		4,582,094		636,450

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Compass Group plc		69,839	$	1,349,084	$	125,046
DCC plc		71,518		6,258,878		254,196
Diageo plc		173,585		5,205,588		(75,843	)
Direct Line Insurance Group plc		728,510		3,344,654		28,728
Dixons Carphone plc		1,690,784		7,359,750		(1,109,482	)
DS Smith plc		502,985		2,583,216		521,132
GKN plc		951,847		3,900,242		142,802
GlaxoSmithKline plc		436,837		9,426,765		(127,701	)
Hays plc		561,955		890,821		324,183
Howden Joinery Group plc		45,972		218,911		24,961
HSBC Holdings plc		292,695		2,478,875		237,911
Imperial Brands plc		138,868		6,947,520		(707,185	)
Inchcape plc		534,418		4,754,080		499,172
Indivior plc		541,594		2,276,076		(70,747	)
Informa plc		186,447		1,647,266		(21,004	)
InterContinental Hotels Group plc		33,480		1,728,296		130,970
Intermediate Capital Group plc		752,667		6,289,007		1,873,206
Jupiter Fund Management plc		47,978		276,981		38,578
Kingfisher plc		444,268		1,906,656		(166,495	)
Legal & General Group plc		205,987		669,848		23,299
Lloyds Banking Group plc		2,286,481		1,947,728		22,707
Man Group plc		878,276		1,361,558		410,691
Micro Focus International plc		7,782		245,069		(14,962	)
National Grid plc		419,728		5,852,602		(651,968	)
NEX Group plc		55,152		565,720		(116,922	)
Old Mutual plc		1,380,605		3,700,625		(217,525	)
Persimmon plc		363,501		8,399,436		2,217,160
Prudential plc		50,583		1,106,758		54,313
Reckitt Benckiser Group plc		26,282		2,504,017		160,272
Rentokil Initial plc		482,043		1,358,981		356,398
Royal Mail plc		1,068,791		6,716,143		(853,108	)

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

AQR Funds Semi-Annual Report June 2017

114

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
RPC Group plc		18,162		$	214,183		$	(36,185	)
RSA Insurance Group plc		134,503			1,029,334			49,624
Sage Group plc (The)		237,236			2,196,279			(70,418	)
Severn Trent plc		69,837			2,064,524			(79,170	)
Smith & Nephew plc		175,374			2,877,868			150,578
Smiths Group plc		29,663			561,438			55,313
Spectris plc		37,063			1,045,954			172,545
SSE plc		129,169			2,481,159			(37,115	)
St James’s Place plc		7,733			109,357			9,835
Standard Chartered plc		157,821			1,529,900			68,544
Standard Life plc		16,824			79,071			8,414
Tate & Lyle plc		656,677			6,076,041			(416,552	)
Taylor Wimpey plc		2,840,217			5,825,340			697,072
UBM plc		181,070			1,630,411			(3,175	)
Vodafone Group plc		458,471			1,352,703			(50,667	)
William Hill plc		304,890			1,202,751			(192,295	)
Wm Morrison Supermarkets plc		1,822,439			4,989,516			734,475
WPP plc		174,660			3,934,637			(256,877	)
								6,338,954
Total of Long Equity Positions								9,466,248
Short Positions
Common Stocks
Chile
Antofagasta plc		(985,938	)		(7,650,979	)		(2,635,294	)
Jordan
Hikma Pharmaceuticals plc		(298,327	)		(7,268,942	)		1,555,526
Netherlands
Royal Dutch Shell plc		(45,863	)		(1,229,241	)		10,720
South Africa
Mediclinic International plc		(432,063	)		(4,220,023	)		40,660
Switzerland
Glencore plc		(842,455	)		(3,306,577	)		149,706
United Kingdom
Aberdeen Asset Management plc		(506,202	)		(2,082,292	)		89,323
Admiral Group plc		(359,650	)		(10,124,955	)		739,942
Aggreko plc		(935,872	)		(12,814,786	)		1,603,749
Anglo American plc		(177,434	)		(2,608,728	)		238,259
Associated British Foods plc		(201,624	)		(6,944,605	)		(770,993	)
Auto Trader Group plc		(222,257	)		(1,146,980	)		46,506
Balfour Beatty plc		(153,483	)		(552,576	)		11,125
Berkeley Group Holdings plc		(1,869	)		(81,717	)		3,126
British American Tobacco plc		(10,321	)		(663,058	)		(40,246	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
BTG plc		(517,132	)	$	(4,455,212	)	$	(244,595	)
Bunzl plc		(11,945	)		(361,308	)		5,199
Burberry Group plc		(65,932	)		(1,222,657	)		(204,026	)
Capita plc		(1,128,116	)		(9,727,728	)		(438,301	)
Cobham plc		(2,956,926	)		(5,436,289	)		442,761
ConvaTec Group plc		(97,074	)		(384,812	)		(18,528	)
Croda International plc		(45,281	)		(1,976,040	)		(317,103	)
Daily Mail & General Trust plc		(9,911	)		(92,566	)		6,437
Drax Group plc		(181,046	)		(800,855	)		31,945
easyJet plc		(387,717	)		(5,564,133	)		(1,304,313	)
Essentra plc		(752,074	)		(4,844,252	)		(685,714	)
Experian plc		(67,960	)		(1,431,959	)		37,226
G4S plc		(23,864	)		(93,714	)		(7,778	)
Greene King plc		(299,915	)		(2,835,394	)		203,251
Halma plc		(45,020	)		(638,939	)		(6,213	)
Hargreaves Lansdown plc		(748,603	)		(12,590,364	)		(103,954	)
Hiscox Ltd.		(75,184	)		(1,072,301	)		(169,104	)
IMI plc		(108,552	)		(1,466,701	)		(224,016	)
Inmarsat plc		(937,192	)		(8,891,125	)		(508,118	)
International Consolidated Airlines Group SA		(539,196	)		(4,179,241	)		(107,257	)
Intertek Group plc		(44,835	)		(2,129,938	)		(333,085	)
ITV plc		(2,086,007	)		(5,088,308	)		150,587
J Sainsbury plc		(242,762	)		(724,078	)		(72,197	)
John Wood Group plc		(323,117	)		(2,988,282	)		288,577
Just Eat plc		(1,012,459	)		(7,473,170	)		(1,168,954	)
Marks & Spencer Group plc		(583,263	)		(2,682,845	)		151,412
Meggitt plc		(213,675	)		(1,284,009	)		(43,716	)
Merlin Entertainments plc		(195,603	)		(1,156,132	)		(68,318	)
Next plc		(98,924	)		(5,886,118	)		917,771
Ocado Group plc		(539,374	)		(1,804,742	)		(225,288	)
Pearson plc		(589,241	)		(5,769,535	)		464,054
Pennon Group plc		(585,668	)		(6,353,929	)		59,822
Petrofac Ltd.		(705,277	)		(5,728,010	)		1,672,684
Playtech plc		(54,640	)		(644,297	)		(32,549	)
Provident Financial plc		(97,244	)		(3,619,747	)		535,495
Rightmove plc		(17,255	)		(914,679	)		(40,099	)
Rio Tinto plc		(59,043	)		(2,392,281	)		(108,298	)
Rolls-Royce Holdings plc(c)		(3,519,825	)		(41	)		(4,543	)
Rotork plc		(1,459,018	)		(4,190,210	)		(282,743	)
Royal Bank of Scotland Group plc		(1,926,328	)		(4,834,723	)		(1,380,947	)
Schroders plc		(68,018	)		(2,399,242	)		(351,131	)
Spirax-Sarco Engineering plc		(27,976	)		(1,594,553	)		(356,570	)
Sports Direct International plc		(173,055	)		(650,230	)		(6,316	)
Tesco plc		(1,067,793	)		(2,515,460	)		164,573
Thomas Cook Group plc		(640,114	)		(584,201	)		(165,758	)
Travis Perkins plc		(86,251	)		(1,725,079	)		90,027
United Utilities Group plc		(5,556	)		(71,507	)		8,703
Weir Group plc (The)		(27,938	)		(591,506	)		(39,050	)
Whitbread plc		(75,415	)		(3,801,170	)		(96,227	)

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

AQR Funds Semi-Annual Report June 2017

115

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Worldpay Group plc		(786,144	)	$	(3,105,774	)	$	(117,740	)
								(2,081,234	)
Total of Short Equity Positions								(2,959,916	)
Total of Long and Short Equity Positions								6,506,332
Net Cash and Other Receivables/ (Payables) (b)								(168,346	)
Swaps, at Value							$	6,337,986

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

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

(c) Security fair valued as of 06/30/2017 in accordance with procedures approved by the Board of Trustees.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	37-61 months maturity 12/22/2017		$15,146,225

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Air France-KLM		351,646	$	3,897,516	$	1,122,095
Arkema SA		46,763		4,693,963		299,939
Atos SE		158,581		16,453,469		5,797,129
BNP Paribas SA		4,023		283,286		6,340
Bouygues SA		6,548		271,433		4,436
Capgemini SE		1,607		161,238		4,770
Casino Guichard Perrachon SA		42,617		2,513,626		10,334
Cie de Saint-Gobain		33,203		1,488,393		284,815
Cie Generale des Etablissements Michelin		92,770		10,273,808		2,073,330
CNP Assurances		262,159		4,558,062		1,326,415
Eiffage SA		28,201		2,232,371		329,436
Faurecia		122,981		5,025,494		1,211,027
Imerys SA		2,019		148,274		27,468
Ipsen SA		32,022		2,417,776		1,964,045
Lagardere SCA		358,482		9,488,974		1,822,648
Legrand SA		15,212		987,563		75,474
Orange SA		99,822		1,564,716		23,943
Peugeot SA		654,173		10,919,656		2,117,787

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Renault SA		5,617	$	544,755	$	(36,555	)
Rexel SA		176,870		2,876,679		13,787
Sanofi		24,323		2,454,686		(124,057	)
Schneider Electric SE		19,741		1,407,261		109,825
SCOR SE		74,872		2,318,408		656,092
SEB SA		2,170		303,813		85,678
Societe BIC SA		12,243		1,835,736		(381,984	)
Sodexo SA		25,600		3,047,329		261,276
Teleperformance		56,896		5,808,094		1,487,226
Thales SA		86,106		8,079,859		1,187,242
Ubisoft Entertainment SA		95,877		3,875,234		1,567,820
Valeo SA		88,677		4,844,075		1,122,019
						24,449,800
Portugal
EDP - Energias de Portugal SA		166,799		577,217		(31,581	)
Galp Energia SGPS SA		79,132		1,249,835		(50,688	)
						(82,269	)
Total of Long Equity Positions						24,367,531

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

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116

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
France
Accor SA		(317,580	)	$	(13,222,265	)	$	(1,675,163	)
Aeroports de Paris		(15,356	)		(1,768,410	)		(706,868	)
Air Liquide SA		(43,867	)		(4,794,385	)		(627,403	)
Alstom SA		(12,183	)		(338,286	)		(87,211	)
Bollore SA		(945,086	)		(3,514,935	)		(782,192	)
Bureau Veritas SA		(230,143	)		(5,098,320	)		4,006
Carrefour SA		(155,307	)		(3,979,517	)		53,055
Cie Plastic Omnium SA		(9,565	)		(366,456	)		17,489
Edenred		(345,869	)		(8,080,696	)		(941,349	)
Electricite de France SA		(337,265	)		(3,300,749	)		(353,504	)
Engie SA		(122,361	)		(1,893,619	)		46,733
Essilor International SA		(34,990	)		(4,397,260	)		(53,914	)
Eutelsat Communications SA		(122,181	)		(2,461,407	)		(656,030	)
Groupe Eurotunnel SE (Registered)		(729,279	)		(7,659,357	)		(121,701	)
Hermes International		(5,863	)		(2,586,477	)		(309,704	)
Iliad SA		(9,569	)		(2,225,911	)		(35,514	)
Ingenico Group SA		(89,204	)		(8,259,014	)		169,336
JCDecaux SA		(134,014	)		(4,545,951	)		152,091
Kering		(4,412	)		(1,111,454	)		(390,885	)
L’Oreal SA		(32,350	)		(6,346,904	)		(398,541	)
LVMH Moet Hennessy Louis Vuitton SE		(9,778	)		(1,735,903	)		(709,139	)
Natixis SA		(180,816	)		(1,245,721	)		31,955
Orpea		(12,218	)		(1,111,838	)		(250,320	)
Pernod Ricard SA		(32,794	)		(4,056,494	)		(334,857	)
Remy Cointreau SA		(64,044	)		(5,739,493	)		(1,725,708	)
Safran SA		(1,962	)		(183,303	)		3,375
SFR Group SA		(56,930	)		(1,914,753	)		(9,362	)
Societe Generale SA		(9,263	)		(496,217	)		(3,297	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Suez		(36,430	)	$	(606,842	)	$	(67,712	)
Veolia Environnement SA		(123,565	)		(2,337,160	)		(277,053	)
Vivendi SA		(239,196	)		(5,143,953	)		(182,338	)
Zodiac Aerospace		(129,401	)		(2,944,196	)		(571,421	)
								(10,793,146	)
Luxembourg
Eurofins Scientific SE		(3,189	)		(1,361,244	)		(438,006	)
SES SA		(328,557	)		(7,628,842	)		(68,234	)
								(506,240	)
Portugal
Banco Comercial Portugues SA		(5,927,743	)		(1,454,103	)		(141,037	)
Total of Short Equity Positions								(11,440,423	)
Total of Long and Short Equity Positions								12,927,108
Net Cash and Other Receivables/ (Payables) (b)								2,219,117
Swaps, at Value							$	15,146,225

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

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

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

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117

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	25 months maturity ranging from 11/26/2018 - 07/25/2019		$965,281

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	PRINCIPAL			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Convertible Bonds
Germany
Bayer Capital Corp. BV 5.63%, 11/22/2019		34,000,000		$	50,374,666		$	(1,776,664	)
	SHARES
Short Positions
Common Stocks
Germany
Bayer AG (Registered)		(290,379	)		(40,512,795	)		2,876,715
Total of Long and Short Positions								1,100,051
Net Cash and Other Receivables/ (Payables) (b)								(134,770	)
Swaps, at Value							$	965,281

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

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

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	54 - 57 months maturity ranging from 11/19/2021 - 11/22/2021		$(1,902,683	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Brazil
AES Tiete SA		272,200	$	1,299,709	$	(178,175	)
Banco Santander Brasil SA, ADR		48,971		409,411		(40,659	)
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros		115,800		679,863		10,484
Centrais Eletricas Brasileiras SA		177,200		1,024,466		(358,542	)
Cia de Saneamento Basico do Estado de Sao Paulo, ADR		197,306		2,006,517		(128,164	)
Cia Energetica de Minas Gerais, ADR		13,012		34,462		(3,233	)
Cosan SA Industria e Comercio		25,300		311,857		(47,776	)
EDP - Energias do Brasil SA		450,500		1,960,792		(31,185	)
Engie Brasil Energia SA		41,500		494,385		(69,476	)
Equatorial Energia SA		179,900		3,288,205		(346,075	)
Hypermarcas SA		223,900		2,104,631		(225,787	)
Itausa - Investimentos Itau SA (Preference)		471,910		1,451,579		(166,714	)
JBS SA		345,993		1,195,818		(513,837	)
Localiza Rent a Car SA		5,460		73,722		690
Lojas Renner SA		182,050		1,408,655		95,927
M Dias Branco SA		121,700		1,717,994		93,051
Porto Seguro SA		46,300		423,180		4,616
Qualicorp SA		403,700		2,440,411		1,056,885
Sul America SA		132,797		730,991		(21,490	)
Vale SA (Preference)		400,300		3,095,316		156,238
						(713,222	)
Chile
Enel Americas SA, ADR		222,893		2,221,335		(119,454	)
Mexico
Grupo Aeroportuario del Pacifico SAB de CV, ADR		9,249		879,480		159,182

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Mexico (continued)
Grupo Aeroportuario del Sureste SAB de CV, ADR		2,331	$	409,541	$	80,902
						240,084
South Africa
AngloGold Ashanti Ltd., ADR		97,901		1,112,047		(160,450	)
South Korea
BNK Financial Group, Inc.		208,218		1,811,675		179,258
Cheil Worldwide, Inc.		5,894		97,361		(2,562	)
CJ E&M Corp.		7,832		542,980		(23,846	)
Coway Co. Ltd.		1,040		96,325		(1,808	)
Daelim Industrial Co. Ltd.		19,229		1,430,038		66,379
DGB Financial Group, Inc.		106,804		1,098,369		2,748
Dongbu Insurance Co. Ltd.		52,020		2,907,250		184,193
Hana Financial Group, Inc.		76,478		2,711,914		308,394
Hankook Tire Co. Ltd.		17,170		908,096		46,326
Hanon Systems		5,030		38,389		6,912
Hanwha Chemical Corp.		60,345		1,328,727		263,698
Hanwha Corp.		78,692		2,463,365		797,718
Hanwha Life Insurance Co. Ltd.		327,800		1,818,823		174,555
Hyosung Corp.		16,732		1,882,655		567,565
Hyundai Department Store Co. Ltd.		8,426		695,926		117,936
Hyundai Development Co-Engineering & Construction		95,156		3,442,606		465,619
Hyundai Engineering & Construction Co. Ltd.		59,695		2,637,448		(232,563	)
Hyundai Glovis Co. Ltd.		3,977		522,248		23,493
Hyundai Marine & Fire Insurance Co. Ltd.		170,722		5,061,367		810,622
Hyundai Mobis Co. Ltd.		11,724		2,514,100		48,905
Industrial Bank of Korea		90,969		1,029,671		102,492

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

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119

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
South Korea (continued)
KB Financial Group, Inc.		27,509	$	1,262,517	$	126,419
Kia Motors Corp.		78,805		2,567,948		63,798
Korea Electric Power Corp.		53,581		2,101,355		(190,674	)
Korea Zinc Co. Ltd.		1,682		622,467		47,785
KT Corp.		15,906		450,800		2,721
LG Corp.		45,742		2,693,918		398,604
LG Display Co. Ltd.		32,959		816,069		249,892
LG Electronics, Inc.		14,739		961,463		72,558
LG Innotek Co. Ltd.		8,248		950,270		239,631
LG Uplus Corp.		439,016		5,542,076		445,105
Lotte Chemical Corp.		15,308		5,081,839		(474,488	)
NCSoft Corp.		4,822		1,245,102		354,318
POSCO		11,467		2,955,857		(83,464	)
Posco Daewoo Corp.		126,762		2,648,246		(176,730	)
Samsung Card Co. Ltd.		65,311		2,339,341		(107,827	)
Samsung Electronics Co. Ltd.		3,087		5,787,187		642,484
Samsung Life Insurance Co. Ltd.		6,804		685,905		9,683
Shinhan Financial Group Co. Ltd.		22,750		1,000,211		(18,658	)
SK Hynix, Inc.		128,576		5,609,948		1,960,571
SK Innovation Co. Ltd.		38,662		5,623,999		(269,451	)
SK Networks Co. Ltd.		254,768		1,712,196		(320,275	)
SK Telecom Co. Ltd.		39,501		8,704,118		481,024
Woori Bank		242,410		2,967,480		937,476
						8,296,536
Taiwan
China Life Insurance Co. Ltd.		1,819,960		1,821,656		(7,371	)
Feng TAY Enterprise Co. Ltd.		19,467		82,780		3,247
Formosa Chemicals & Fibre Corp.		46,000		136,500		7,811
Formosa Petrochemical Corp.		21,000		73,156		(730	)
Foxconn Technology Co. Ltd.		443,217		1,362,785		(26,003	)
Fubon Financial Holding Co. Ltd.		632,297		1,089,971		(83,788	)
Hon Hai Precision Industry Co. Ltd.		1,019,700		3,048,610		871,107
Largan Precision Co. Ltd.		6,000		996,016		(40,728	)
Lite-On Technology Corp.		491,945		872,166		(64,675	)
Nien Made Enterprise Co. Ltd.		149,000		1,428,442		223,826
Novatek Microelectronics Corp.		44,000		166,953		10,719
Pegatron Corp.		905,000		2,516,232		314,800
Phison Electronics Corp.		434,000		3,865,199		1,496,370
Pou Chen Corp.		257,000		353,915		1,478

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Taiwan (continued)
Powertech Technology, Inc.		851,000		$	2,407,847		$	217,276
Realtek Semiconductor Corp.		670,000			2,417,979			(8,106	)
Uni-President Enterprises Corp.		1,116,000			2,120,917			115,920
Wistron Corp.		2,692,412			2,371,407			365,451
								3,396,604
Total of Long Equity Positions								10,940,098
Short Positions
Common Stocks
Brazil
Banco Bradesco SA, ADR		(31,176	)		(281,452	)		16,456
BB Seguridade Participacoes SA		(94,200	)		(891,378	)		76,735
Braskem SA (Preference)		(65,000	)		(683,703	)		12,690
BRF SA		(177,100	)		(2,129,479	)		33,937
Cia Brasileira de Distribuicao (Preference)		(187,600	)		(3,473,473	)		(215,784	)
Cia Siderurgica Nacional SA		(662,500	)		(1,557,749	)		121,922
Duratex SA		(76,400	)		(206,084	)		17,673
Embraer SA, ADR		(99,011	)		(2,079,696	)		274,726
Fibria Celulose SA, ADR		(362,942	)		(3,249,698	)		(437,793	)
Gerdau SA (Preference)		(14,200	)		(38,130	)		(5,933	)
Itau Unibanco Holding SA, ADR		(17,403	)		(213,013	)		20,710
Lojas Americanas SA (Preference)		(564,500	)		(2,800,700	)		415,177
Petroleo Brasileiro SA (Preference)		(231,200	)		(980,949	)		117,674
Rumo SA		(256,700	)		(652,753	)		(17,492	)
Suzano Papel e Celulose SA (Preference)		(202,000	)		(836,598	)		(32,888	)
Telefonica Brasil SA, ADR		(114,346	)		(1,694,608	)		152,080
TIM Participacoes SA, ADR		(7,004	)		(114,025	)		10,366
Ultrapar Participacoes SA		(66,000	)		(1,483,867	)		(60,496	)
								499,760
Chile
Banco Santander Chile, ADR		(17,964	)		(433,471	)		(22,994	)
Sociedad Quimica y Minera de Chile SA, ADR		(20,900	)		(706,420	)		16,302
								(6,692	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Mexico
Grupo Financiero Santander Mexico SAB de CV, ADR		(469,561	)	$	(3,883,269	)	$	(643,299	)
Grupo Televisa SAB, ADR		(135,857	)		(3,503,512	)		192,676
								(450,623	)
South Korea
Amorepacific Corp.		(10,969	)		(2,745,039	)		(168,182	)
BGF retail Co. Ltd.		(18,574	)		(1,667,119	)		26,141
CJ CheilJedang Corp.		(10,458	)		(3,241,821	)		(61,023	)
CJ Corp.		(16,311	)		(2,428,815	)		(272,648	)
CJ Korea Express Corp.		(26,869	)		(4,023,736	)		(216,141	)
Daewoo Engineering & Construction Co. Ltd.		(161,034	)		(952,662	)		(113,995	)
E-MART, Inc.		(2,609	)		(493,722	)		(40,820	)
GS Retail Co. Ltd.		(8,910	)		(395,527	)		(6,228	)
Hanmi Pharm Co. Ltd.		(11,768	)		(3,599,391	)		(235,865	)
Hanmi Science Co. Ltd.		(59,223	)		(3,093,583	)		(1,270,756	)
Hanssem Co. Ltd.		(15,432	)		(2,981,732	)		499,995
Hanwha Techwin Co. Ltd.		(53,080	)		(2,206,572	)		142,777
Hotel Shilla Co. Ltd.		(17,034	)		(682,354	)		(167,356	)
Hyundai Heavy Industries Co. Ltd.		(430	)		(90,526	)		24,044
Hyundai Motor Co.		(25,285	)		(3,387,432	)		(137,934	)
Hyundai Wia Corp.		(18,228	)		(1,086,660	)		(25,098	)
Kakao Corp.		(27,531	)		(2,045,014	)		(397,575	)
Korea Aerospace Industries Ltd.		(88,829	)		(4,574,897	)		151,606
Korea Investment Holdings Co. Ltd.		(12,963	)		(567,421	)		(226,922	)
Kumho Petrochemical Co. Ltd.		(88,175	)		(5,990,091	)		316,767
LG Household & Health Care Ltd.		(4,476	)		(3,383,805	)		(505,406	)
Lotte Chilsung Beverage Co. Ltd.		(1,336	)		(1,692,410	)		(309,780	)
Lotte Confectionery Co. Ltd.		(5,602	)		(975,397	)		4,368
Mirae Asset Daewoo Co. Ltd.		(239,978	)		(2,056,335	)		(259,045	)
NH Investment & Securities Co. Ltd.		(30,277	)		(345,380	)		(47,462	)
Orion Corp.(c)		(11,518	)		(6,735,450	)		(978,374	)
Ottogi Corp.		(2,647	)		(1,638,502	)		(189,949	)
Samsung C&T Corp.		(50,616	)		(5,930,601	)		(618,518	)
Samsung Electro-Mechanics Co. Ltd.		(37,342	)		(2,189,304	)		(1,144,163	)
Samsung Heavy Industries Co. Ltd.		(341,166	)		(3,355,654	)		(360,867	)
Samsung SDI Co. Ltd.		(35,954	)		(4,323,955	)		(1,073,586	)
Samsung SDS Co. Ltd.		(10,669	)		(1,316,112	)		(404,730	)
Samsung Securities Co. Ltd.		(46,600	)		(1,440,218	)		(241,011	)
Shinsegae, Inc.		(9,102	)		(1,503,017	)		(322,750	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
South Korea (continued)
SK Holdings Co. Ltd.		(3,855	)	$	(962,036	)	$	25,001
S-Oil Corp.		(66,260	)		(5,680,872	)		191,068
Yuhan Corp.		(1,659	)		(341,106	)		(15,556	)
								(8,429,973	)
Taiwan
Advanced Semiconductor Engineering, Inc.		(1,909,234	)		(2,444,864	)		(2,298	)
Asia Cement Corp.		(265,000	)		(266,547	)		39,315
Catcher Technology Co. Ltd.		(100,000	)		(922,428	)		(269,415	)
Chang Hwa Commercial Bank Ltd.		(711,397	)		(425,840	)		17,915
Cheng Shin Rubber Industry Co. Ltd.		(538,000	)		(1,168,513	)		24,349
China Development Financial Holding Corp.		(6,766,000	)		(1,819,229	)		(144,962	)
China Steel Corp.		(1,180,000	)		(997,760	)		38,226
Compal Electronics, Inc.		(184,000	)		(121,407	)		(2,555	)
Delta Electronics, Inc.		(222,000	)		(1,227,221	)		12,805
E.Sun Financial Holding Co. Ltd.		(852,297	)		(505,579	)		(18,192	)
Far Eastern New Century Corp.		(743,000	)		(656,200	)		52,158
Hotai Motor Co. Ltd.		(305,000	)		(3,492,629	)		(323,637	)
HTC Corp.		(170,000	)		(419,835	)		14,428
Inventec Corp.		(967,000	)		(714,733	)		(72,849	)
MediaTek, Inc.		(321,000	)		(2,685,218	)		(60,976	)
Nan Ya Plastics Corp.		(292,000	)		(682,924	)		(41,332	)
Ruentex Industries Ltd.		(282,000	)		(495,412	)		74,744
Shin Kong Financial Holding Co. Ltd.		(3,929,000	)		(1,116,826	)		71,744
SinoPac Financial Holdings Co. Ltd.		(854,191	)		(259,011	)		(2,042	)
Taishin Financial Holding Co. Ltd.		(3,894,205	)		(1,566,779	)		(205,419	)
Taiwan Cement Corp.		(383,000	)		(478,570	)		35,672
United Microelectronics Corp.		(2,172,000	)		(879,786	)		(174,375	)
Vanguard International Semiconductor Corp.		(313,000	)		(614,820	)		(2,291	)
								(938,987	)
Total of Short Equity Positions								(9,326,515	)
Total of Long and Short Equity Positions								1,613,583
Net Cash and Other Receivables/ (Payables) (b)								(3,516,266	)
Swaps, at Value							$	(1,902,683	)

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

AQR Funds Semi-Annual Report June 2017

121

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

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

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

(c) Security fair valued as of 06/30/2017 in accordance with procedures approved by the Board of Trustees.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread, which is denominated in MXN based on the local currencies of the positions within the swaps.	54-57 months maturity 11/22/2021		$(1,047,826	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Mexico
Arca Continental SAB de CV		277,600		$	1,894,408		$	191,788
Gruma SAB de CV		282,800			4,075,325			(387,297	)
Grupo Bimbo SAB de CV		133,100			346,872			(12,449	)
Grupo Lala SAB de CV		93,900			180,625			(8,644	)
Grupo Mexico SAB de CV		916,900			2,980,581			(400,454	)
Industrias Penoles SAB de CV		64,560			1,648,662			(191,853	)
OHL Mexico SAB de CV		86,700			113,124			12,038
Wal-Mart de Mexico SAB de CV		1,198,800			2,766,580			16,281
								(780,590	)
Total of Long Equity Positions								(780,590	)
Short Positions
Common Stocks
Mexico
El Puerto de Liverpool SAB de CV		(109,340	)		(879,916	)		17,366
Grupo Financiero Banorte SAB de CV		(58,100	)		(335,108	)		(34,293	)
Grupo Financiero Inbursa SAB de CV		(2,535,181	)		(4,158,800	)		(171,559	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Mexico (continued)
Infraestructura Energetica Nova SAB de CV		(55,800	)	$	(270,165	)	$	(27,302	)
Mexichem SAB de CV		(254,693	)		(725,758	)		42,039
								(173,749	)
Total of Short Equity Positions								(173,749	)
Total of Long and Short Equity Positions								(954,339	)
Net Cash and Other Receivables/ (Payables) (b)								(93,487	)
Swaps, at Value							$	(1,047,826	)

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

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

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

AQR Funds Semi-Annual Report June 2017

122

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Warsaw Interbank Offered Rate plus or minus a specified spread, which is denominated in PLN based on the local currencies of the positions within the swaps.	56-57 months maturity 11/19/2021		$(112,521	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Poland
Eurocash SA		61,113		$	527,302		$	(16,062	)
Grupa Lotos SA		20,299			329,460			(49,972	)
Jastrzebska Spolka Weglowa SA		61,667			1,207,227			23,725
KGHM Polska Miedz SA		1,170			39,156			(4,257	)
PGE Polska Grupa Energetyczna SA		536,497			1,724,902			27,970
Polski Koncern Naftowy ORLEN SA		120,921			3,521,700			130,822
Polskie Gornictwo Naftowe i Gazownictwo SA		1,007,652			1,685,369			33,761
Tauron Polska Energia SA		681,746			598,268			60,394
								206,381
Total of Long Equity Positions								206,381
Short Positions
Common Stocks
Poland
Alior Bank SA		(66,279	)		(1,330,810	)		226,689
Bank Pekao SA		(60,908	)		(2,281,505	)		230,717

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Poland (continued)
Bank Zachodni WBK SA		(9,333	)	$	(880,436	)	$	18,733
mBank SA		(3,596	)		(397,635	)		(50,677	)
Orange Polska SA		(1,599,892	)		(2,027,318	)		(188,078	)
Powszechny Zaklad Ubezpieczen SA		(221,157	)		(2,257,188	)		(403,695	)
								(166,311	)
Total of Short Equity Positions								(166,311	)
Total of Long and Short Equity Positions								40,070
Net Cash and Other Receivables/ (Payables) (b)								(152,591	)
Swaps, at Value							$	(112,521	)

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

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

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

AQR Funds Semi-Annual Report June 2017

123

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Interbank Offered Rate or HONIX plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	54-57 months maturity 11/19/2021		$2,886,188

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
China
Agricultural Bank of China Ltd.		3,712,000	$	1,721,151	$	33,209
ANTA Sports Products Ltd.		171,000		496,636		68,287
Bank of China Ltd.		1,584,000		805,624		(28,882	)
Bank of Communications Co. Ltd.		2,008,000		1,592,472		(175,885	)
Beijing Capital International Airport Co. Ltd.		2,932,000		3,662,055		467,547
Beijing Enterprises Holdings Ltd.		366,500		2,017,312		(250,163	)
Belle International Holdings Ltd.		1,156,000		858,868		52,346
China Cinda Asset Management Co. Ltd.		9,916,000		4,042,102		(346,490	)
China CITIC Bank Corp. Ltd.		1,944,000		1,322,675		(132,881	)
China Communications Services Corp. Ltd.		2,640,000		1,864,555		(343,841	)
China Conch Venture Holdings Ltd.		56,000		108,576		(6,054	)
China Construction Bank Corp.		5,703,000		4,704,732		(269,815	)
China Galaxy Securities Co. Ltd.		750,500		732,760		(60,025	)
China Huarong Asset Management Co. Ltd.		1,212,000		494,931		(24,879	)
China Longyuan Power Group Corp. Ltd.		631,000		502,636		(43,690	)
China Medical System Holdings Ltd.		515,000		913,776		(23,307	)
China Mengniu Dairy Co. Ltd.		447,000		889,319		(12,866	)
China Mobile Ltd.		284,775		3,179,263		(160,134	)
China Petroleum & Chemical Corp.		5,212,000		3,990,920		90,085

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
China Resources Power Holdings Co. Ltd.		2,144,000	$	3,968,776	$	239,835
China Shenhua Energy Co. Ltd.		393,500		828,956		46,532
China State Construction International Holdings Ltd.		40,000		70,502		(2,058	)
China Telecom Corp. Ltd.		1,044,000		508,131		(12,374	)
Chongqing Rural Commercial Bank Co. Ltd.		1,415,000		1,015,257		(60,946	)
CITIC Ltd.		245,000		383,122		(14,804	)
CSPC Pharmaceutical Group Ltd.		3,058,000		3,993,131		473,413
Dongfeng Motor Group Co. Ltd.		1,722,000		1,969,773		65,145
Far East Horizon Ltd.		842,000		793,333		(58,793	)
Geely Automobile Holdings Ltd.		1,850,000		2,661,234		1,326,058
GOME Electrical Appliances Holding Ltd.		6,609,000		878,690		(66,113	)
Guangdong Investment Ltd.		1,606,000		2,349,144		(135,815	)
Guangzhou Automobile Group Co. Ltd.		154,000		236,196		33,907
Haitian International Holdings Ltd.		289,000		732,315		77,647
Industrial & Commercial Bank of China Ltd.		5,280,000		3,489,652		73,729
Jiangxi Copper Co. Ltd.		858,000		1,367,458		40,587
People’s Insurance Co. Group of China Ltd. (The)		8,997,000		3,849,452		(70,486	)
PICC Property & Casualty Co. Ltd.		1,656,000		2,702,432		63,269
Shanghai Industrial Holdings Ltd.		414,000		1,257,480		(32,768	)

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

AQR Funds Semi-Annual Report June 2017

124

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
Sinopec Engineering Group Co. Ltd.		1,640,000		$	1,605,468		$	(127,953	)
Sinopec Shanghai Petrochemical Co. Ltd.		8,203,000			4,591,650			(201,945	)
Sinopharm Group Co. Ltd.		300,800			1,401,888			(42,901	)
Sinotrans Ltd.		871,000			419,509			26,761
Sunny Optical Technology Group Co. Ltd.		21,000			150,222			37,834
TravelSky Technology Ltd.		581,000			1,372,591			338,747
Want Want China Holdings Ltd.		731,000			486,763			6,488
Weichai Power Co. Ltd.		2,898,000			2,636,268			(103,724	)
Zhejiang Expressway Co. Ltd.		440,000			542,033			32,717
Zhuzhou CRRC Times Electric Co. Ltd.		447,700			2,448,741			(252,867	)
								531,684
Hong Kong
Haier Electronics Group Co. Ltd.		445,000			1,087,709			69,249
Nine Dragons Paper Holdings Ltd.		2,115,000			2,323,346			493,176
Sino Biopharmaceutical Ltd.		3,581,999			3,041,690			125,598
Sun Art Retail Group Ltd.		1,784,000			1,678,181			(258,110	)
								429,913
Total of Long Equity Positions								961,597
Short Positions
Common Stocks
China
3SBio, Inc.		(1,478,500	)		(1,851,770	)		(110,088	)
Air China Ltd.		(580,000	)		(471,902	)		(125,931	)
Alibaba Health Information Technology Ltd.		(1,498,000	)		(697,142	)		(16,011	)
Anhui Conch Cement Co. Ltd.		(47,000	)		(169,810	)		6,469
Beijing Enterprises Water Group Ltd.		(3,956,000	)		(3,008,444	)		(61,544	)
Brilliance China Automotive Holdings Ltd.		(1,126,000	)		(1,920,846	)		(129,949	)
CGN Power Co. Ltd.		(17,130,000	)		(5,266,734	)		485,447
China Coal Energy Co. Ltd.		(5,936,000	)		(2,936,141	)		62,379

REFERENCE ENTITY	SHARES				NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
China Communications Construction Co. Ltd.		(1,575,000	)		$	(2,178,897	)	$	150,206
China Everbright Bank Co. Ltd.		(717,000	)			(326,764	)		(8,290	)
China Life Insurance Co. Ltd.		(900,000	)			(2,888,267	)		137,816
China Merchants Bank Co. Ltd.		(386,000	)			(1,062,894	)		(100,271	)
China Minsheng Banking Corp. Ltd.		(2,247,000	)			(2,531,224	)		290,050
China National Building Material Co. Ltd.		(98,000	)			(70,722	)		12,516
China Oilfield Services Ltd.		(3,412,000	)			(3,432,527	)		699,234
China Pacific Insurance Group Co. Ltd.		(377,200	)			(1,425,249	)		(117,002	)
China Power International Development Ltd.		(1,637,000	)			(613,439	)		32,579
China Railway Construction Corp. Ltd.		(114,000	)			(167,385	)		18,772
China Railway Group Ltd.		(1,374,000	)	��		(1,158,202	)		76,033
China Resources Gas Group Ltd.		(30,000	)			(108,009	)		5,698
China Southern Airlines Co. Ltd.		(4,354,000	)			(2,950,857	)		(728,992	)
China Taiping Insurance Holdings Co. Ltd.		(1,116,800	)			(2,861,171	)		29,949
China Unicom Hong Kong Ltd.		(2,278,000	)			(3,004,484	)		(376,916	)
CITIC Securities Co. Ltd.		(725,500	)			(1,576,431	)		75,967
COSCO SHIPPING Development Co. Ltd.		(2,621,000	)			(594,335	)		16,861
COSCO SHIPPING Ports Ltd.		(542,000	)			(587,545	)		(48,266	)
CRRC Corp. Ltd.		(1,155,000	)			(1,145,309	)		106,322
Fosun International Ltd.		(2,813,000	)			(4,519,360	)		126,904
GF Securities Co. Ltd.		(969,800	)			(2,122,930	)		173,887
Haitong Securities Co. Ltd.		(1,465,600	)			(2,689,562	)		320,009
HengTen Networks Group Ltd.		(16,072,000	)			(246,449	)		20,037
Huaneng Power International, Inc.		(338,000	)			(249,951	)		15,239
Huaneng Renewables Corp. Ltd.		(3,114,000	)			(1,091,055	)		130,480
Huatai Securities Co. Ltd.		(1,670,200	)			(3,380,972	)		171,376

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

AQR Funds Semi-Annual Report June 2017

125

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
Jiangsu Expressway Co. Ltd.		(126,000	)	$	(177,186	)	$	(574	)
Kingsoft Corp. Ltd.		(597,000	)		(1,671,848	)		117,767
Kunlun Energy Co. Ltd.		(826,000	)		(745,266	)		45,002
Lenovo Group Ltd.		(1,520,000	)		(952,618	)		(6,703	)
New China Life Insurance Co. Ltd.		(526,000	)		(2,627,506	)		(48,701	)
PetroChina Co. Ltd.		(1,472,000	)		(1,010,639	)		110,112
Ping An Insurance Group Co. of China Ltd.		(99,000	)		(662,311	)		10,158
Semiconductor Manufacturing International Corp.		(1,085,500	)		(1,123,840	)		(133,543	)
Shandong Weigao Group Medical Polymer Co. Ltd.		(452,000	)		(276,976	)		(77,631	)
Shanghai Electric Group Co. Ltd.		(2,638,000	)		(1,382,721	)		116,609
Shanghai Fosun Pharmaceutical Group Co. Ltd.		(401,500	)		(1,439,416	)		(116,877	)
Shanghai Pharmaceuticals Holding Co. Ltd.		(325,400	)		(862,508	)		(106,619	)
Tingyi Cayman Islands Holding Corp.		(1,620,000	)		(1,849,999	)		(71,615	)
Yanzhou Coal Mining Co. Ltd.		(3,942,000	)		(3,158,845	)		(374,851	)
Zijin Mining Group Co. Ltd.		(4,810,000	)		(1,655,148	)		65,619
								869,123

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong
Alibaba Pictures Group Ltd.		(1,800,000	)	$	(325,175	)	$	25,623
China Gas Holdings Ltd.		(2,226,000	)		(3,591,443	)		(902,494	)
								(876,871	)
Total of Short Equity Positions								(7,748	)
Total of Long and Short Equity Positions								953,849
Net Cash and Other Receivables/ (Payables) (b)								1,932,339
Swaps, at Value							$	2,886,188

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

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

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

AQR Funds Semi-Annual Report June 2017

126

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread, which is denominated in ZAR based on the local currencies of the positions within the swaps.	57 months maturity ranging from 07/03/2017 – 11/22/2021		$(441,095	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
South Africa
Anglo American Platinum Ltd.		29,269		$	685,671		$	(15,166	)
Barclays Africa Group Ltd.		42,934			511,239			(39,160	)
Bidvest Group Ltd. (The)		88,381			1,081,143			(16,824	)
Brait SE		21,781			128,296			(27,586	)
Exxaro Resources Ltd.		266,439			2,497,556			(604,592	)
Foschini Group Ltd. (The)		121,375			1,381,541			(107,828	)
Imperial Holdings Ltd.		13,627			169,744			(2,428	)
Investec Ltd.		161,269			1,182,810			5,822
Mondi Ltd.		114,376			2,702,044			260,126
Pioneer Foods Group Ltd.		8,187			102,529			(17,744	)
Rand Merchant Investment Holdings Ltd.		115,920			383,072			(37,566	)
RMB Holdings Ltd.		458,838			2,304,416			(243,060	)
Sappi Ltd.		188,026			1,266,381			(15,108	)
Shoprite Holdings Ltd.		35,686			558,254			(14,099	)
Telkom SA SOC Ltd.		135,888			747,353			(108,138	)
Tiger Brands Ltd.		75,350			2,377,904			(259,399	)
Truworths International Ltd.		142,906			836,693			(55,963	)
Vodacom Group Ltd.		181,625			2,148,247			133,979
								(1,164,734	)
Total of Long Equity Positions								(1,164,734	)
Short Positions
Common Stocks
South Africa
Aspen Pharmacare Holdings Ltd.		(65,446	)		(1,374,095	)		(61,941	)
Coronation Fund Managers Ltd.		(458,316	)		(2,359,829	)		75,745

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
South Africa (continued)
Discovery Ltd.		(643,177	)	$	(6,678,574	)	$	388,840
Impala Platinum Holdings Ltd.		(850,537	)		(2,627,784	)		230,051
Life Healthcare Group Holdings Ltd.		(384,750	)		(847,226	)		93,526
Mr Price Group Ltd.		(63,273	)		(789,669	)		35,347
MTN Group Ltd.		(389,855	)		(3,829,321	)		430,782
Naspers Ltd.		(12,848	)		(2,195,318	)		(334,875	)
Steinhoff International Holdings NV		(254,598	)		(1,325,268	)		20,725
Woolworths Holdings Ltd.		(28,836	)		(160,914	)		24,903
								903,103
Total of Short Equity Positions								903,103
Total of Long and Short Equity Positions								(261,631	)
Net Cash and Other Receivables/ (Payables) (b)								(179,464	)
Swaps, at Value							$	(441,095	)

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

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

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

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127

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or SONIA plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	56-57 months maturity 11/19/2021		$1,741,961

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Booker Group plc		10,190,175		$	26,298,015		$	(1,586,267	)
Kennedy Wilson Europe Real Estate plc		165			2,300			83
Sky plc		2,563,643			32,898,280			303,814
WS Atkins plc		16,503			447,074			465
								(1,281,905	)
Total of Long Equity Positions								(1,281,905	)
Short Positions
Common Stocks
United Kingdom
Tesco plc		(8,772,988	)		(21,311,776	)		1,996,890
Total of Long and Short Equity Positions								714,985
Net Cash and Other Receivables/ (Payables) (b)								1,026,976
Swaps, at Value							$	1,741,961

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

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

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

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128

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD Bank-Bill Swap Reference Rate or AOISR plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	54-57 months maturity 11/19/2021		$222,536

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Tatts Group Ltd.		2,001,881		$	6,513,479		$	(82,533	)
Vocus Group Ltd.		1,047,821			2,799,241			(85,924	)
								(168,457	)
Total of Long Equity Positions								(168,457	)
Short Positions
Common Stocks
Australia
Tabcorp Holdings Ltd.		(3,137,923	)		(10,933,323	)		394,686
Total of Long and Short Equity Positions								226,229
Net Cash and Other Receivables/ (Payables) (b)								(3,693	)
Swaps, at Value							$	222,536

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

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

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

AQR Funds Semi-Annual Report June 2017

129

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	43-55 months maturity 01/14/2021		$(2,098,822	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Thomson Reuters Corp.		100,657	$	4,353,684	$	305,729
Waste Connections, Inc.		61,519		3,533,287		429,767
						735,496
Indonesia
Adaro Energy Tbk. PT		7,915,800		1,033,866		(97,348	)
Bank Negara Indonesia Persero Tbk. PT		58,600		28,170		644
Indofood CBP Sukses Makmur Tbk. PT		477,800		293,244		22,496
Indofood Sukses Makmur Tbk. PT		1,516,000		907,666		71,182
United Tractors Tbk. PT		1,151,600		2,409,664		(39,432	)
						(42,458	)
Malaysia
AirAsia Bhd.		2,073,400		1,409,898		159,784
Malaysia Airports Holdings Bhd.		16,500		28,547		4,363
Sime Darby Bhd.		97,800		210,103		6,330
						170,477
Panama
Copa Holdings SA		45,425		5,206,646		108,079
United Kingdom
Liberty Global plc		276,564		8,082,638		540,628
United States
3M Co.		1,945		369,531		35,399
Aaron’s, Inc.		57,966		1,830,729		424,149
Accenture plc		1,054		123,782		6,577
Activision Blizzard, Inc.		95,176		4,892,583		586,699
Acxiom Corp.		93,453		2,597,606		(169,697	)
Adient plc		42,315		2,887,349		(120,794	)
Adobe Systems, Inc.		48,235		6,281,162		541,197
AdvanSix, Inc.		85,702		2,368,923		308,408
Aetna, Inc.		89,180		11,447,145		2,093,055
Aflac, Inc.		206,064		15,081,339		925,712

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
AGCO Corp.		71,149	$	4,572,266	$	222,465
Agilent Technologies, Inc.		208,847		11,046,257		1,340,459
Air Products & Chemicals, Inc.		22,323		3,136,038		57,491
Akamai Technologies, Inc.		83,656		4,556,491		(389,586	)
Alcoa Corp.		174,906		5,839,150		(128,469	)
Alexion Pharmaceuticals, Inc.		40,786		4,503,552		458,881
Alleghany Corp.		16,322		9,979,765		(271,439	)
Allied World Assurance Co. Holdings AG		84,050		4,453,810		(7,565	)
Allison Transmission Holdings, Inc.		124,872		4,422,230		261,719
Allstate Corp. (The)		248,179		20,129,799		1,819,152
Alphabet, Inc.		4,173		3,584,742		294,812
Amazon.com, Inc.		4,870		4,627,368		86,792
Amdocs Ltd.		240,226		14,665,797		819,171
AMERCO		9,977		3,600,444		51,736
Ameren Corp.		212,891		11,616,984		21,767
American Eagle Outfitters, Inc.		163,718		2,232,369		(259,567	)
American Electric Power Co., Inc.		549,901		37,264,496		937,127
American Financial Group, Inc.		118,926		11,211,154		606,523
American International Group, Inc.		81,282		4,985,838		95,913
Ameriprise Financial, Inc.		23,905		3,090,916		(48,049	)
Amgen, Inc.		31,655		5,171,794		280,147
Anadarko Petroleum Corp.		249,191		14,775,809		(3,477,489	)
Anthem, Inc.		114,855		19,289,716		2,317,956
AO Smith Corp.		69,966		3,489,204		451,980
Applied Materials, Inc.		133,946		5,390,444		142,865
Aramark		118,629		4,435,906		425,510
Archer-Daniels-Midland Co.		286,658		12,440,798		(578,890	)
Arconic, Inc.		133,512		3,643,925		(619,878	)

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

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130

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Arrow Electronics, Inc.		80,294	$	5,681,603	$	615,052
Ashland Global Holdings, Inc.		42,639		4,189,592		(1,379,255	)
Aspen Insurance Holdings Ltd.		200,164		10,167,049		(188,873	)
Associated Banc-Corp.		113,167		2,707,522		144,286
Assurant, Inc.		154,647		14,672,124		1,363,224
Assured Guaranty Ltd.		137,635		5,322,517		422,368
Atmos Energy Corp.		42,480		3,403,498		120,218
Autodesk, Inc.		14,520		1,566,000		(102,093	)
Avery Dennison Corp.		122,358		9,732,355		1,080,421
Avnet, Inc.		46,822		2,088,261		(267,822	)
Avon Products, Inc.		1,102,953		4,047,727		143,494
Axis Capital Holdings Ltd.		53,182		3,506,762		(68,014	)
BancorpSouth, Inc.		35,507		1,066,580		16,383
Bank of America Corp.		133,163		3,042,082		188,452
Bank of New York Mellon Corp. (The)		60,295		2,842,909		233,342
BankUnited, Inc.		27,505		909,102		18,092
Baxter International, Inc.		316,151		16,689,611		2,450,170
BB&T Corp.		104,854		4,536,230		225,190
Bed Bath & Beyond, Inc.		15,450		592,690		(123,010	)
Belden, Inc.		24,532		1,625,000		225,449
Bemis Co., Inc.		5,384		253,436		(4,426	)
Berry Global Group, Inc.		85,134		4,283,965		569,524
Best Buy Co., Inc.		159,309		7,836,319		1,296,866
Big Lots, Inc.		17,014		828,333		(6,556	)
Biogen, Inc.		31,043		8,327,056		96,772
Bioverativ, Inc.		33,839		1,925,027		111,066
Boeing Co. (The)		55,713		9,964,270		1,052,976
BOK Financial Corp.		11,089		852,326		80,592
Booz Allen Hamilton Holding Corp.		160,819		5,612,583		(379,533	)
Boston Beer Co., Inc. (The)		7,671		1,055,343		(41,621	)
Boston Scientific Corp.		333,861		8,356,271		898,356
Brinker International, Inc.		12,476		525,011		(49,676	)
Bristol-Myers Squibb Co.		165,777		8,946,523		290,571
Broadridge Financial Solutions, Inc.		61,503		4,099,790		547,377
Brookdale Senior Living, Inc.		208,182		2,877,411		184,946
Brown & Brown, Inc.		35,083		1,493,444		17,581
Bruker Corp.		458,019		10,409,923		2,799,345
Brunswick Corp.		126,734		7,325,225		624,799
Buffalo Wild Wings, Inc.		21,823		3,343,783		(578,809	)
Bunge Ltd.		94,191		7,005,829		20,820
Burlington Stores, Inc.		146,344		13,687,584		(225,399	)
BWX Technologies, Inc.		258,695		12,438,056		173,326
CA, Inc.		101,313		3,229,858		262,401
Cable One, Inc.		3,199		2,080,842		193,327

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cabot Corp.		277,672	$	16,263,249	$	(1,427,234	)
Cadence Design Systems, Inc.		42,708		1,485,636		(55,345	)
Campbell Soup Co.		65,058		3,671,335		(278,561	)
Capital One Financial Corp.		106,372		8,866,036		(77,581	)
Cardinal Health, Inc.		55,223		4,547,614		(244,638	)
Carlisle Cos., Inc.		53,433		5,552,757		(455,249	)
Caterpillar, Inc.		15,410		1,599,556		56,403
CDK Global, Inc.		39,531		2,545,006		(91,712	)
CDW Corp.		77,928		4,579,961		292,877
Celanese Corp.		19,480		1,766,541		82,891
Celgene Corp.		31,516		3,957,779		135,204
Centene Corp.		202,661		14,410,534		1,778,027
CenterPoint Energy, Inc.		453,985		12,666,181		(236,072	)
CenturyLink, Inc.		162,387		4,036,380		(158,579	)
Charles River Laboratories International, Inc.		84,839		7,422,564		1,158,901
Cheesecake Factory, Inc. (The)		52,059		3,297,222		(678,654	)
Chemours Co. (The)		175,840		6,634,192		33,661
Chesapeake Energy Corp.		123,061		557,982		53,631
Chicago Bridge & Iron Co. NV		32,521		624,319		17,320
Chico’s FAS, Inc.		612,330		8,142,025		(2,373,877	)
Choice Hotels International, Inc.		7,269		477,225		(10,192	)
Cigna Corp.		110,017		16,780,707		1,635,038
Cimarex Energy Co.		62,313		6,773,231		(915,186	)
Cintas Corp.		51,712		6,337,823		179,958
Cirrus Logic, Inc.		142,131		9,246,028		(331,572	)
Cisco Systems, Inc.		50,095		1,626,268		(58,295	)
Citizens Financial Group, Inc.		86,023		2,978,976		90,324
Citrix Systems, Inc.		42,357		3,538,912		(168,142	)
CMS Energy Corp.		150,421		6,990,182		(33,211	)
CNO Financial Group, Inc.		210,014		4,395,593		(10,501	)
Coach, Inc.		160,814		6,602,578		1,010,357
Colfax Corp.		23,939		895,899		46,579
Colgate-Palmolive Co.		34,053		2,592,522		(68,173	)
Comerica, Inc.		43,212		3,018,042		146,805
Commerce Bancshares, Inc.		8,216		455,495		11,420
Commercial Metals Co.		238,214		4,436,517		191,981
CommScope Holding Co., Inc.		213,439		8,759,537		(642,451	)
CommVault Systems, Inc.		46,892		2,377,424		269,629
Conagra Brands, Inc.		389,032		15,557,278		(1,645,494	)
Conduent, Inc.		118,854		1,940,583		(46,051	)
ConocoPhillips		24,416		1,209,569		(136,241	)
Consolidated Edison, Inc.		146,651		11,421,510		430,824

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

AQR Funds Semi-Annual Report June 2017

131

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Constellation Brands, Inc.		33,623	$	5,777,411	$	736,373
Convergys Corp.		206,245		4,400,776		503,730
Cooper Cos., Inc. (The)		18,610		3,896,904		558,703
CoreLogic, Inc.		179,402		7,220,034		562,425
Corning, Inc.		96,689		2,891,969		13,536
Costco Wholesale Corp.		11,697		1,991,370		(120,669	)
Cracker Barrel Old Country Store, Inc.		5,590		911,744		23,184
Crane Co.		208,765		15,609,090		962,675
Crown Holdings, Inc.		71,238		3,768,490		481,569
Cummins, Inc.		69,286		10,354,100		885,475
Curtiss-Wright Corp.		141,394		12,647,244		329,898
Dana, Inc.		342,481		6,205,756		1,441,845
Danaher Corp.		63,457		5,277,206		77,930
Darden Restaurants, Inc.		110,881		9,222,370		805,707
DaVita, Inc.		76,109		4,987,607		(58,788	)
Dean Foods Co.		53,963		1,050,987		(133,616	)
Deckers Outdoor Corp.		1,094		73,612		1,065
Deere & Co.		14,199		1,757,608		(2,754	)
Dell Technologies, Inc., Class V		84,270		5,469,247		(319,508	)
Delphi Automotive plc		79,452		6,301,203		662,765
Delta Air Lines, Inc.		172,992		8,169,085		1,127,505
Denbury Resources, Inc.		1,491,064		2,974,227		(692,899	)
Devon Energy Corp.		331,234		12,476,106		(1,886,555	)
Dick’s Sporting Goods, Inc.		60,166		3,026,122		(629,710	)
Dillard’s, Inc.		74,798		3,797,486		517,611
Discover Financial Services		96,776		6,103,461		(84,962	)
Donnelley Financial Solutions, Inc.		22,986		438,343		89,416
Dover Corp.		62,228		5,056,782		(64,852	)
Dow Chemical Co. (The)		42,427		2,680,962		(5,091	)
DR Horton, Inc.		449,590		14,947,729		594,598
DST Systems, Inc.		216,244		13,078,437		263,818
DTE Energy Co.		196,472		20,262,698		522,075
Duke Energy Corp.		103,759		8,535,215		137,999
Dun & Bradstreet Corp. (The)		35,428		3,766,405		65,133
DXC Technology Co.		188,086		14,408,035		21,923
E*TRADE Financial Corp.		134,943		4,714,056		417,827
Eastman Chemical Co.		52,620		4,204,361		215,193
eBay, Inc.		317,857		10,871,102		228,464
Edison International		189,614		15,170,307		(344,389	)
Electronic Arts, Inc.		27,652		2,801,685		121,684
Eli Lilly & Co.		109,618		9,261,358		(239,797	)
EMCOR Group, Inc.		89,141		5,605,186		222,853
Emerson Electric Co.		12,430		734,402		6,675
Endo International plc		480,847		5,595,892		(224,832	)
EnerSys		44,223		3,421,265		(217,309	)
Ensco plc		1,093,947		8,867,505		(3,222,739	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Entergy Corp.		225,354	$	17,202,849	$	97,578
Esterline Technologies Corp.		42,220		3,685,086		317,370
Euronet Worldwide, Inc.		75,894		6,449,929		180,930
Everest Re Group Ltd.		8,272		1,924,233		181,736
Eversource Energy		4,721		294,605		(7,993	)
Exelon Corp.		263,514		9,523,263		(18,313	)
Extended Stay America, Inc.		303,474		5,406,599		468,658
F5 Networks, Inc.		11,352		1,483,357		(40,972	)
Fair Isaac Corp.		41,433		5,324,140		452,034
FedEx Corp.		3,706		797,586		7,839
Fidelity National Information Services, Inc.		41,307		3,417,753		109,865
First American Financial Corp.		10,910		435,236		52,332
First Solar, Inc.		23,134		921,652		932
FirstEnergy Corp.		371,752		11,588,754		(748,465	)
Fiserv, Inc.		35,608		4,124,119		232,164
Flex Ltd.		1,014,465		16,586,503		(40,579	)
FLIR Systems, Inc.		149,672		5,358,203		(170,571	)
Fluor Corp.		28,731		1,263,828		51,478
FMC Corp.		10,133		771,186		(30,970	)
Foot Locker, Inc.		109,108		7,212,027		(1,835,185	)
Fortinet, Inc.		128,187		4,798,922		399
Fortive Corp.		50,004		3,111,628		56,125
Fortune Brands Home & Security, Inc.		6,846		423,494		23,139
Fossil Group, Inc.		59,039		684,582		(73,528	)
Franklin Resources, Inc.		104,414		4,393,662		283,041
Frank’s International NV		139,228		1,333,260		(179,060	)
Freeport-McMoRan, Inc.		112,941		1,288,033		68,389
Frontier Communications Corp.		568,790		927,573		(267,776	)
FTI Consulting, Inc.		38,035		1,544,837		(215,133	)
Fulton Financial Corp.		1,125		19,575		1,800
General Motors Co.		332,122		11,252,224		348,797
Genpact Ltd.		196,058		4,672,062		784,232
Gilead Sciences, Inc.		257,184		17,137,222		1,066,262
Goldman Sachs Group, Inc. (The)		41,613		9,299,287		(65,362	)
Graham Holdings Co.		9,411		5,635,945		7,362
Graphic Packaging Holding Co.		473,746		6,116,208		412,012
Greif, Inc.		2,793		155,920		(127	)
Hain Celestial Group, Inc. (The)		35,670		1,162,050		222,659
Halliburton Co.		250,500		12,039,159		(1,340,304	)
Hanover Insurance Group, Inc. (The)		56,144		4,897,292		78,751
Hartford Financial Services Group, Inc. (The)		224,147		10,780,397		1,003,011
Hasbro, Inc.		4,687		448,780		73,867

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

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132

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Hawaiian Electric Industries, Inc.		38,947	$	1,310,302	$	(49,198	)
HCA Healthcare, Inc.		75,921		6,574,222		46,089
HD Supply Holdings, Inc.		214,314		8,581,133		(2,016,695	)
Helen of Troy Ltd.		43,264		3,906,584		164,559
Herc Holdings, Inc.		107,796		5,050,884		(812,346	)
Herman Miller, Inc.		111,347		3,512,998		(128,049	)
Hershey Co. (The)		61,262		6,725,880		(148,179	)
Hertz Global Holdings, Inc.		411,060		4,663,379		63,811
Hewlett Packard Enterprise Co.		1,171,245		21,118,323		(1,687,368	)
Hill-Rom Holdings, Inc.		56,432		3,967,170		525,382
Hilton Grand Vacations, Inc.		34,758		1,115,269		138,104
Hilton Worldwide Holdings, Inc.		136,690		8,739,632		(285,355	)
HNI Corp.		48,004		2,129,866		(215,946	)
Hologic, Inc.		98,754		4,221,733		259,723
Home Depot, Inc. (The)		32,087		4,720,960		201,185
Honeywell International, Inc.		67,449		8,645,324		344,953
HP, Inc.		595,316		10,493,839		(87,715	)
Hubbell, Inc.		48,852		5,829,998		(301,417	)
Humana, Inc.		52,802		11,683,380		1,021,837
Huntington Ingalls Industries, Inc.		139,100		28,348,580		(2,453,724	)
Huntsman Corp.		388,394		9,585,564		450,537
Hyatt Hotels Corp.		27,224		1,450,767		79,494
IAC/InterActiveCorp		45,802		3,441,319		1,287,280
IDACORP, Inc.		69,782		5,788,838		167,056
IDEXX Laboratories, Inc.		14,168		2,399,168		(112,170	)
Ingersoll-Rand plc		154,832		12,852,242		1,297,854
Ingredion, Inc.		59,196		7,056,255		500
Intercontinental Exchange, Inc.		40,323		2,542,202		115,890
InterDigital, Inc.		39,539		3,390,469		(334,105	)
International Game Technology plc		657,277		15,155,920		(3,127,751	)
Intuit, Inc.		51,738		6,128,883		742,440
Invesco Ltd.		210,969		6,421,919		1,002,080
ITT, Inc.		131,639		5,206,152		83,103
Jabil, Inc.		452,589		13,038,941		172,132
Jack Henry & Associates, Inc.		21,100		1,940,567		251,090
Jack in the Box, Inc.		76,416		7,804,921		(277,945	)
Jacobs Engineering Group, Inc.		85,376		4,653,846		(10,245	)
JetBlue Airways Corp.		300,164		6,352,624		500,120
JM Smucker Co. (The)		17,688		2,263,908		(170,887	)
John Wiley & Sons, Inc.		112,707		5,894,576		50,718
Johnson & Johnson		18,391		2,371,756		61,190
Juniper Networks, Inc.		233,974		6,686,592		(163,397	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Kansas City Southern		8,133	$	742,708	$	108,410
KAR Auction Services, Inc.		25,652		1,095,115		(18,500	)
Kate Spade & Co.		109,495		2,160,336		(135,774	)
KB Home		527,272		10,408,349		2,230,361
KBR, Inc.		10,790		159,692		4,532
Kellogg Co.		17,048		1,201,878		(17,724	)
Kennametal, Inc.		165,065		6,468,932		(292,200	)
KeyCorp		215,538		3,818,289		220,893
Kimberly-Clark Corp.		61,607		8,089,929		(135,849	)
Kinder Morgan, Inc.		467,188		9,361,758		(410,436	)
KLA-Tencor Corp.		9,838		961,079		(60,803	)
Kohl’s Corp.		27,091		1,061,469		(13,860	)
Kroger Co. (The)		184,524		4,927,698		(624,598	)
L3 Technologies, Inc.		71,713		11,890,015		91,793
Laboratory Corp. of America Holdings		48,544		6,960,724		521,848
Lancaster Colony Corp.		22,024		2,799,930		(99,347	)
Las Vegas Sands Corp.		65,562		3,922,105		266,651
Lear Corp.		110,393		14,832,403		852,234
Legg Mason, Inc.		70,545		2,584,254		107,743
Leidos Holdings, Inc.		103,737		5,252,204		109,961
Lennar Corp.		22,041		1,154,195		21,032
Lennox International, Inc.		2,678		440,826		50,962
Liberty Expedia Holdings, Inc.		4,475		244,827		(3,087	)
Liberty Interactive Corp. QVC Group		205,728		4,383,672		664,894
Lincoln National Corp.		89,371		5,862,392		177,300
Lockheed Martin Corp.		19,305		5,216,790		142,471
Loews Corp.		1,494		69,291		643
Lowe’s Cos., Inc.		47,847		3,938,636		(229,058	)
LSC Communications, Inc.		19,291		467,421		(54,594	)
Lululemon Athletica, Inc.		41,655		2,128,205		357,349
LyondellBasell Industries NV		46,988		4,118,651		(153,334	)
M&T Bank Corp.		24,737		3,802,278		203,879
Macy’s, Inc.		233,209		6,559,779		(1,140,002	)
Madison Square Garden Co. (The)		3,042		599,067		(98	)
ManpowerGroup, Inc.		77,294		7,539,257		1,090,618
Marathon Petroleum Corp.		119,177		5,978,232		258,301
MarketAxess Holdings, Inc.		26,539		4,849,471		487,521
Marvell Technology Group Ltd.		503,594		7,624,413		694,960
Masco Corp.		212,143		7,106,790		999,194
Maxim Integrated Products, Inc.		162,505		7,315,975		(19,501	)
MB Financial, Inc.		2,538		104,743		7,030
McDonald’s Corp.		34,641		4,962,742		342,873
McKesson Corp.		108,568		15,620,501		2,243,278
Medtronic plc		68,870		5,697,764		414,449

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

AQR Funds Semi-Annual Report June 2017

133

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Merck & Co., Inc.		286,815	$	18,106,631	$	275,342
Meredith Corp.		5,897		379,609		(29,032	)
MetLife, Inc.		85,449		4,483,396		211,173
MGM Resorts International		133,526		3,783,304		394,724
Michael Kors Holdings Ltd.		147,110		5,329,253		3,485
Micron Technology, Inc.		102,358		3,214,843		(158,434	)
Microsoft Corp.		75,887		5,076,502		154,389
Minerals Technologies, Inc.		83,268		6,371,834		(276,616	)
Mohawk Industries, Inc.		26,168		5,975,463		349,081
Molina Healthcare, Inc.		17,722		1,204,908		21,100
Molson Coors Brewing Co.		69,537		6,305,991		(302,166	)
Mondelez International, Inc.		280,160		12,490,853		(390,743	)
Monster Beverage Corp.		69,378		3,186,045		260,654
Morgan Stanley		153,071		6,537,596		283,247
Morningstar, Inc.		14,581		1,132,360		9,915
MSA Safety, Inc.		25,835		1,936,080		160,947
MSC Industrial Direct Co., Inc.		47,972		4,582,765		(459,092	)
MSCI, Inc.		69,775		6,872,396		313,731
Murphy USA, Inc.		19,633		1,443,811		11,191
Mylan NV		38,984		1,512,187		1,172
Nabors Industries Ltd.		743,805		8,947,131		(2,892,558	)
Nasdaq, Inc.		81,477		5,639,838		184,953
NCR Corp.		20,011		802,454		14,795
Netflix, Inc.		27,292		4,334,640		(256,942	)
NeuStar, Inc.		15,984		533,527		(460	)
New York Times Co. (The)		118,035		1,780,848		308,372
Newmont Mining Corp.		107,539		3,700,029		(216,841	)
News Corp.		382,414		4,783,999		455,073
NiSource, Inc.		262,024		6,204,728		440,200
Noble Corp. plc		732,593		3,006,925		(354,939	)
Noble Energy, Inc.		62,536		1,756,821		12,948
Nordstrom, Inc.		5,913		280,502		2,316
Norfolk Southern Corp.		32,060		3,715,754		185,948
Northern Trust Corp.		30,431		2,638,270		319,927
Northrop Grumman Corp.		54,654		13,051,922		978,307
NorthWestern Corp.		56,518		3,416,076		32,652
NOW, Inc.		32,690		570,869		(45,214	)
Nu Skin Enterprises, Inc.		144,321		7,943,312		1,125,819
Nuance Communications, Inc.		94,414		1,637,062		6,686
NVR, Inc.		5,591		11,873,338		1,604,383
Oceaneering International, Inc.		243,230		6,624,812		(1,069,439	)
Office Depot, Inc.		1,238,772		5,921,330		1,065,344
Oil States International, Inc.		37,599		975,000		45,812

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Old Republic International Corp.		282,305	$	5,620,693	$	(107,276	)
ON Semiconductor Corp.		16,101		258,629		(32,571	)
ONE Gas, Inc.		37,009		2,532,364		51,234
Orbital ATK, Inc.		117,810		11,614,888		(27,096	)
Oshkosh Corp.		241,303		16,723,433		(102,482	)
Owens Corning		180,676		10,954,115		1,136,723
PACCAR, Inc.		50,668		3,394,314		(48,200	)
Packaging Corp. of America		4,811		437,993		97,904
PAREXEL International Corp.		410		25,774		9,859
Parker-Hannifin Corp.		22,862		3,681,239		(27,434	)
Patterson-UTI Energy, Inc.		157,291		3,403,362		(227,657	)
PepsiCo, Inc.		61,968		6,918,643		238,042
PerkinElmer, Inc.		1,291		74,684		13,284
Pfizer, Inc.		444,811		15,063,175		(121,974	)
PG&E Corp.		439,298		29,437,359		(281,151	)
Pinnacle Foods, Inc.		28,633		1,771,713		(70,913	)
Pinnacle West Capital Corp.		143,544		12,095,017		129,190
Plantronics, Inc.		288		15,198		(132	)
PNC Financial Services Group, Inc. (The)		54,002		6,444,477		298,753
PNM Resources, Inc.		78,178		2,935,584		54,725
PolyOne Corp.		36,382		1,232,401		177,038
Popular, Inc.		413,254		16,487,803		749,021
PPG Industries, Inc.		4,204		445,834		16,438
ProAssurance Corp.		39,054		2,333,642		40,842
Procter & Gamble Co. (The)		106,953		9,542,113		(221,159	)
Progressive Corp. (The)		135,138		5,309,572		648,662
Prudential Financial, Inc.		51,584		5,462,393		115,901
Public Service Enterprise Group, Inc.		379,406		16,963,745		(645,493	)
PulteGroup, Inc.		19,839		480,919		5,732
PVH Corp.		82,167		8,372,817		1,035,304
QEP Resources, Inc.		844,643		9,771,243		(1,240,349	)
QIAGEN NV		246,947		7,017,083		1,263,050
Quanta Services, Inc.		88,714		3,153,945		(233,480	)
Ralph Lauren Corp.		77,087		5,935,921		(246,900	)
Raymond James Financial, Inc.		154,517		11,710,555		684,798
Raytheon Co.		79,568		12,170,721		677,919
Red Hat, Inc.		48,747		4,386,140		281,385
Regal Beloit Corp.		90,587		6,913,044		474,325
Regions Financial Corp.		799,552		11,454,778		250,664
Reinsurance Group of America, Inc.		126,423		15,877,472		353,977
Reliance Steel & Aluminum Co.		53,267		4,236,857		(358,487	)
Republic Services, Inc.		118,216		7,426,329		107,577
Rockwell Automation, Inc.		8,905		1,391,410		50,844

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

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134

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ross Stores, Inc.		113,211	$	7,161,777	$	(626,106	)
Rowan Cos. plc		161,395		2,425,841		(773,156	)
Royal Gold, Inc.		39,215		2,974,177		91,260
RR Donnelley & Sons Co.		81,726		965,024		59,820
Ryder System, Inc.		47,596		3,263,756		162,204
S&P Global, Inc.		19,235		2,526,851		281,267
Santander Consumer USA Holdings, Inc.		64,295		804,330		16,074
SCANA Corp.		156,045		10,205,343		251,232
Science Applications International Corp.		64,419		4,709,140		(237,173	)
Seagate Technology plc		105,229		4,485,441		(407,818	)
Sealed Air Corp.		159,484		6,868,612		269,891
SEI Investments Co.		20,214		1,041,546		45,563
ServiceMaster Global Holdings, Inc.		34,825		1,365,571		(779	)
Sherwin-Williams Co. (The)		10,461		3,281,849		389,543
Signature Bank		32,002		4,509,593		83,654
Skechers U.S.A., Inc.		36,829		915,201		171,255
SLM Corp.		401,414		4,829,010		(212,749	)
SM Energy Co.		148,248		2,420,764		29,775
Sonoco Products Co.		87,155		4,517,244		(35,734	)
Southwest Airlines Co.		176,470		9,693,423		1,272,423
Southwest Gas Holdings, Inc.		55,207		4,609,180		(575,757	)
Spirit AeroSystems Holdings, Inc.		220,026		12,644,292		104,014
Spirit Airlines, Inc.		6,530		338,581		(1,306	)
SPX Corp.		65,230		1,588,350		52,836
Stanley Black & Decker, Inc.		47,297		6,255,974		400,133
Staples, Inc.		1,015,087		9,820,606		401,320
Starbucks Corp.		47,040		2,838,078		(95,176	)
Steel Dynamics, Inc.		28,331		998,384		16,149
SunPower Corp.		428,916		3,019,862		986,213
SunTrust Banks, Inc.		166,183		9,193,799		232,101
Superior Energy Services, Inc.		323,032		3,682,751		(313,527	)
Synchrony Financial		94,546		3,032,228		(212,866	)
SYNNEX Corp.		75,204		7,857,314		1,164,158
Synopsys, Inc.		47,505		3,394,707		69,832
Synovus Financial Corp.		283,918		11,554,364		1,006,168
Sysco Corp.		5,501		298,288		(21,423	)
Targa Resources Corp.		56,949		2,413,819		160,275
TCF Financial Corp.		396,956		6,540,870		(213,392	)
TE Connectivity Ltd.		8,376		662,703		(3,679	)
Tech Data Corp.		107,192		9,699,002		1,127,390
TEGNA, Inc.		185,266		4,685,377		(2,015,694	)
Teleflex, Inc.		27,817		5,418,974		360,286
Tempur Sealy International, Inc.		44,170		2,040,492		317,744
Teradata Corp.		75,162		2,273,704		(57,176	)
Teradyne, Inc.		196,871		6,315,378		(403,342	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Terex Corp.		114,613	$	3,858,516	$	439,472
Tesla, Inc.		572		219,530		(12,689	)
Tesoro Corp.		6,464		564,205		40,826
Texas Roadhouse, Inc.		74,275		3,356,557		427,755
Textron, Inc.		228,245		10,871,324		(120,984	)
Thor Industries, Inc.		42,611		3,942,710		510,992
Tiffany & Co.		4,841		443,492		10,932
Time, Inc.		366,732		5,691,750		(429,146	)
Timken Co. (The)		240,204		10,441,104		668,331
TJX Cos., Inc. (The)		119,751		9,036,669		(394,239	)
Toll Brothers, Inc.		214,396		7,732,019		738,767
Torchmark Corp.		72,311		5,507,206		24,586
Toro Co. (The)		185,815		11,559,551		1,315,570
Total System Services, Inc.		95,538		5,181,964		383,125
TransUnion		2,930		112,014		14,884
Travelers Cos., Inc. (The)		37,452		4,484,790		254,012
Tupperware Brands Corp.		26,520		1,885,828		(23,328	)
Tyson Foods, Inc.		74,537		4,633,220		35,032
UGI Corp.		226,971		11,294,077		(306,411	)
Ulta Beauty, Inc.		6,545		1,842,746		37,895
Umpqua Holdings Corp.		335,386		5,774,737		382,950
Union Pacific Corp.		8,046		861,163		15,126
United Continental Holdings, Inc.		183,820		13,075,866		756,589
United Rentals, Inc.		11,006		1,308,599		(68,112	)
United Therapeutics Corp.		46,885		5,745,667		336,724
UnitedHealth Group, Inc.		43,022		7,287,347		689,792
Universal Health Services, Inc.		81,943		9,988,810		14,792
Unum Group		236,790		10,969,274		72,244
Urban Outfitters, Inc.		31,712		708,129		(120,188	)
US Bancorp		60,114		3,071,016		50,103
Vail Resorts, Inc.		8,460		1,606,046		109,895
Valero Energy Corp.		10,660		694,048		25,076
Validus Holdings Ltd.		148,267		8,257,451		(552,015	)
Valmont Industries, Inc.		5,606		842,248		(3,590	)
Vectren Corp.		91,529		5,390,909		(41,955	)
Verizon Communications, Inc.		86,148		4,088,349		(240,979	)
Versum Materials, Inc.		194,092		5,948,054		359,936
Vertex Pharmaceuticals, Inc.		74,252		8,947,961		620,894
Vista Outdoor, Inc.		25,409		563,029		8,927
Visteon Corp.		70,576		6,706,837		496,149
Waddell & Reed Financial, Inc.		99,716		1,677,752		204,886
Walgreens Boots Alliance, Inc.		115,514		9,431,754		(385,853	)
Wal-Mart Stores, Inc.		160,967		11,758,846		423,136
Walt Disney Co. (The)		53,026		5,642,662		(8,649	)
Waste Management, Inc.		211,918		15,514,517		29,669
Watsco, Inc.		16,018		2,242,840		227,135

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

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135

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
WellCare Health Plans, Inc.		222,110		$	31,769,644		$	8,112,427
Wells Fargo & Co.		215,170			11,744,219			178,350
WESCO International, Inc.		53,715			3,734,415			(656,546	)
West Pharmaceutical Services, Inc.		68,645			5,460,710			1,027,616
Western Digital Corp.		30,457			2,750,339			(51,849	)
WestRock Co.		241,607			12,347,547			1,341,906
Whirlpool Corp.		26,910			4,494,777			661,717
White Mountains Insurance Group Ltd.		7,819			6,734,789			57,029
Williams Cos., Inc. (The)		220,226			6,663,936			4,508
Woodward, Inc.		62,750			4,320,996			(80,351	)
World Fuel Services Corp.		117,682			4,213,419			311,454
Worthington Industries, Inc.		133,641			5,787,247			924,204
WPX Energy, Inc.		74,760			778,210			(56,028	)
WR Grace & Co.		75,602			5,140,338			303,762
Xerox Corp.		397,236			11,312,369			100,221
Yum Brands, Inc.		129,289			8,310,697			1,225,660
Zimmer Biomet Holdings, Inc.		31,782			3,778,332			302,477
Zynga, Inc.		1,560,696			4,455,370			1,225,564
								64,896,974
Total of Long Equity Positions								66,409,196
Rights
United States
Cars.com, Inc.		64,221			—			1,710,205
Total of Long Equity Positions and Rights								68,119,401
Short Positions
Common Stocks
Argentina
MercadoLibre, Inc.		(10,368	)		(2,313,426	)		(287,698	)
Australia
Atlassian Corp. plc		(86,699	)		(2,978,161	)		(71,909	)
Canada
Fortis, Inc.		(23,965	)		(787,490	)		(54,880	)
Ghana
Kosmos Energy Ltd.		(1,642,398	)		(10,626,129	)		98,358
Indonesia
Jasa Marga Persero Tbk. PT		(173,700	)		(61,551	)		(8,189	)
Matahari Department Store Tbk. PT		(301,800	)		(304,181	)		(16,775	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Indonesia (continued)
Perusahaan Gas Negara Persero Tbk.		(2,931,200	)	$	(543,547	)	$	49,165
								24,201
Ireland
XL Group Ltd.		(161,747	)		(6,440,766	)		(643,753	)
Malaysia
Axiata Group Bhd.		(1,526,100	)		(1,745,382	)		28,233
Sweden
Autoliv, Inc.		(40,515	)		(4,123,616	)		(324,931	)
United Kingdom
Janus Henderson Group plc		(27,206	)		(859,710	)		(41,081	)
Pentair plc		(32,200	)		(2,024,646	)		(117,942	)
								(159,023	)
United States
3D Systems Corp.		(160,764	)		(2,382,101	)		(624,186	)
Abbott Laboratories		(18,074	)		(888,274	)		9,697
AbbVie, Inc.		(11,294	)		(739,712	)		(79,216	)
ABIOMED, Inc.		(18,071	)		(2,516,230	)		(73,344	)
Acadia Healthcare Co., Inc.		(491,659	)		(21,367,500	)		(2,910,621	)
ACI Worldwide, Inc.		(403,920	)		(8,613,389	)		(422,301	)
Acuity Brands, Inc.		(75,338	)		(13,042,515	)		(2,272,194	)
Adtalem Global Education, Inc.		(88,559	)		(3,215,776	)		(145,038	)
Advance Auto Parts, Inc.		(64,835	)		(8,712,641	)		1,153,529
Advanced Micro Devices, Inc.		(333,615	)		(3,965,250	)		(198,265	)
AECOM		(8,483	)		(274,172	)		(83	)
Agios Pharmaceuticals, Inc.		(37,754	)		(1,967,581	)		25,138
Air Lease Corp.		(128,215	)		(4,702,926	)		(87,186	)
Akorn, Inc.		(113,972	)		(3,547,830	)		(274,790	)
Alaska Air Group, Inc.		(1,480	)		(132,056	)		(789	)
Albemarle Corp.		(6,881	)		(741,952	)		15,732
Align Technology, Inc.		(32,853	)		(3,856,009	)		(1,075,883	)
Alkermes plc		(105,838	)		(6,186,625	)		51,196
Allegheny Technologies, Inc.		(631,288	)		(11,358,533	)		620,324
Allegion plc		(19,491	)		(1,455,783	)		(125,327	)
Allergan plc		(19,738	)		(4,757,329	)		(40,782	)
Alliance Data Systems Corp.		(55,373	)		(13,934,811	)		(278,884	)
Alliant Energy Corp.		(10,862	)		(431,866	)		(4,461	)
Allscripts Healthcare Solutions, Inc.		(232,563	)		(2,876,490	)		(91,014	)
Ally Financial, Inc.		(341,645	)		(6,677,080	)		(463,300	)
Alnylam Pharmaceuticals, Inc.		(105,846	)		(5,277,270	)		(3,165,007	)
AMC Networks, Inc.		(3,858	)		(232,483	)		26,427

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

AQR Funds Semi-Annual Report June 2017

136

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
American Airlines Group, Inc.		(68,840	)	$	(2,878,200	)	$	(585,828	)
American Express Co.		(1,145	)		(89,047	)		(7,408	)
AmerisourceBergen Corp.		(107,874	)		(9,446,138	)		(751,191	)
AMETEK, Inc.		(226,692	)		(12,393,638	)		(1,337,096	)
Amphenol Corp.		(261,127	)		(18,218,831	)		(1,057,564	)
AmTrust Financial Services, Inc.		(421,675	)		(7,961,224	)		1,577,065
Analog Devices, Inc.		(33,886	)		(2,727,713	)		91,383
ANSYS, Inc.		(28,708	)		(3,031,278	)		(461,912	)
Antero Resources Corp.		(242,883	)		(5,565,840	)		317,139
Aon plc		(72,105	)		(8,887,413	)		(698,947	)
Apache Corp.		(77,843	)		(3,935,331	)		204,316
Apple, Inc.		(9,831	)		(1,409,176	)		(6,685	)
AptarGroup, Inc.		(44,389	)		(3,380,666	)		(474,962	)
Arch Capital Group Ltd.		(16,464	)		(1,543,829	)		7,903
Arista Networks, Inc.		(101,965	)		(13,537,502	)		(1,735,836	)
Armstrong World Industries, Inc.		(56,649	)		(2,531,816	)		(74,038	)
ARRIS International plc		(110,761	)		(2,885,379	)		(218,144	)
Arthur J Gallagher & Co.		(73,583	)		(4,144,930	)		(67,696	)
Artisan Partners Asset Management, Inc.		(86,575	)		(2,365,031	)		(292,821	)
AT&T, Inc.		(21,168	)		(859,209	)		60,540
athenahealth, Inc.		(62,799	)		(7,124,547	)		(1,701,853	)
AutoNation, Inc.		(83,484	)		(3,320,721	)		(198,964	)
AutoZone, Inc.		(13,653	)		(8,318,677	)		530,186
Avangrid, Inc.		(31,788	)		(1,371,652	)		(31,788	)
Avis Budget Group, Inc.		(547,771	)		(14,263,004	)		(674,711	)
Axalta Coating Systems Ltd.		(187,324	)		(5,886,027	)		(115,834	)
Ball Corp.		(1,030,065	)		(37,588,418	)		(5,890,626	)
Bank of Hawaii Corp.		(22,574	)		(1,813,821	)		(59,144	)
Bank of the Ozarks, Inc.		(345,055	)		(17,180,288	)		1,007,561
Becton Dickinson and Co.		(207	)		(40,347	)		(40	)
BioMarin Pharmaceutical, Inc.		(62,952	)		(5,536,628	)		(180,672	)
Bio-Rad Laboratories, Inc.		(4,389	)		(889,036	)		(104,239	)
Bio-Techne Corp.		(104,547	)		(10,652,531	)		(1,631,742	)
Black Hills Corp.		(167,115	)		(11,294,979	)		19,730
BlackRock, Inc.		(2,971	)		(1,146,865	)		(108,115	)
Blue Buffalo Pet Products, Inc.		(77,255	)		(1,774,289	)		12,102
BorgWarner, Inc.		(27,442	)		(1,052,174	)		(110,269	)
Brown-Forman Corp.		(341,913	)		(15,615,167	)		(1,001,805	)
Cabot Oil & Gas Corp.		(134,675	)		(3,228,031	)		(149,618	)
CalAtlantic Group, Inc.		(199,909	)		(7,468,600	)		401,817
CarMax, Inc.		(240,613	)		(14,087,292	)		(1,085,764	)
Carnival Corp.		(146,638	)		(8,799,538	)		(815,515	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Carpenter Technology Corp.		(55,292	)	$	(2,038,317	)	$	(31,263	)
Carter’s, Inc.		(21,504	)		(1,855,859	)		(56,922	)
Casey’s General Stores, Inc.		(57,827	)		(6,429,441	)		235,591
Catalent, Inc.		(72,039	)		(2,045,908	)		(482,661	)
Cathay General Bancorp		(88,658	)		(3,257,351	)		(107,221	)
CBOE Holdings, Inc.		(49,247	)		(3,992,947	)		(508,229	)
CBS Corp. (Non-Voting)		(2,669	)		(162,149	)		(8,080	)
Cerner Corp.		(11,577	)		(689,989	)		(79,534	)
CF Industries Holdings, Inc.		(768,427	)		(22,676,281	)		1,191,062
CH Robinson Worldwide, Inc.		(131,531	)		(9,506,586	)		473,037
Charles Schwab Corp. (The)		(99,264	)		(3,934,127	)		(330,254	)
Charter Communications, Inc.		(26,374	)		(8,722,332	)		(161,750	)
Chemical Financial Corp.		(5,004	)		(232,788	)		(9,456	)
Cheniere Energy, Inc.		(214,333	)		(10,140,995	)		(299,166	)
Chipotle Mexican Grill, Inc.		(925	)		(421,486	)		36,593
Chubb Ltd.		(17,282	)		(2,375,757	)		(136,701	)
Church & Dwight Co., Inc.		(17,302	)		(857,533	)		(40,094	)
Churchill Downs, Inc.		(4,994	)		(877,739	)		(37,661	)
Ciena Corp.		(149,889	)		(3,412,161	)		(338,062	)
Cincinnati Financial Corp.		(176,549	)		(12,397,962	)		(393,013	)
Cinemark Holdings, Inc.		(34,165	)		(1,426,691	)		99,380
CIT Group, Inc.		(47,133	)		(2,253,616	)		(41,761	)
Clean Harbors, Inc.		(47	)		(2,530	)		(94	)
CME Group, Inc.		(21,563	)		(2,511,263	)		(189,287	)
Coca-Cola Co. (The)		(61,485	)		(2,630,024	)		(127,578	)
Cognex Corp.		(171,750	)		(14,489,914	)		(91,661	)
Cognizant Technology Solutions Corp.		(112,983	)		(6,601,597	)		(900,475	)
Comcast Corp.		(84,218	)		(3,361,704	)		83,939
Compass Minerals International, Inc.		(287,097	)		(19,829,461	)		1,082,027
comScore, Inc.		(54,268	)		(1,299,719	)		(124,816	)
Concho Resources, Inc.		(22,424	)		(2,897,629	)		172,441
CONSOL Energy, Inc.		(69,538	)		(1,026,654	)		(12,244	)
Copart, Inc.		(671,775	)		(20,083,607	)		(1,272,120	)
Core Laboratories NV		(61,731	)		(7,016,937	)		765,439
CoStar Group, Inc.		(10,983	)		(2,563,913	)		(331,206	)
Coty, Inc.		(833,921	)		(14,295,382	)		(1,348,976	)
Covanta Holding Corp.		(465,422	)		(7,198,212	)		1,054,641
Cree, Inc.		(112,245	)		(2,762,237	)		(4,603	)
CSX Corp.		(115,891	)		(5,566,024	)		(756,989	)
Cullen/Frost Bankers, Inc.		(132,698	)		(11,795,525	)		(666,144	)
CVS Health Corp.		(31,329	)		(2,429,438	)		(91,294	)
Cypress Semiconductor Corp.		(787,368	)		(10,677,568	)		(70,005	)

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

AQR Funds Semi-Annual Report June 2017

137

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Deluxe Corp.		(43,827	)	$	(2,999,922	)	$	(33,783	)
DENTSPLY SIRONA, Inc.		(191,013	)		(11,932,325	)		(452,958	)
DexCom, Inc.		(313,881	)		(24,481,182	)		1,520,787
Diamond Offshore Drilling, Inc.		(51,064	)		(598,032	)		45,009
Diebold Nixdorf, Inc.		(425,796	)		(12,288,470	)		366,182
Discovery Communications, Inc.		(379,979	)		(10,933,891	)		1,119,033
DISH Network Corp.		(98,752	)		(6,176,938	)		(20,738	)
Dolby Laboratories, Inc.		(33,239	)		(1,730,090	)		102,709
Dollar General Corp.		(144,736	)		(10,569,387	)		135,369
Dollar Tree, Inc.		(9,793	)		(760,035	)		75,308
Dominion Energy, Inc.		(388,282	)		(30,126,800	)		372,751
Domino’s Pizza, Inc.		(7,513	)		(1,632,583	)		43,358
Donaldson Co., Inc.		(74,348	)		(3,351,608	)		(34,200	)
Dril-Quip, Inc.		(15,271	)		(809,363	)		64,138
Dunkin’ Brands Group, Inc.		(122,477	)		(6,556,965	)		(193,967	)
Dycom Industries, Inc.		(117,179	)		(11,104,463	)		614,599
East West Bancorp, Inc.		(3,454	)		(194,032	)		(8,303	)
Eaton Vance Corp.		(175,271	)		(7,616,793	)		(677,030	)
Ecolab, Inc.		(69,968	)		(8,763,492	)		(524,760	)
Edgewell Personal Care Co.		(1,508	)		(108,139	)		(6,499	)
Edwards Lifesciences Corp.		(5,457	)		(650,492	)		5,256
Energen Corp.		(1,446	)		(68,542	)		(2,847	)
Energizer Holdings, Inc.		(11,501	)		(675,198	)		122,920
Envision Healthcare Corp.		(368,324	)		(21,934,905	)		(1,147,960	)
EOG Resources, Inc.		(6,580	)		(577,360	)		(18,261	)
EQT Corp.		(84,144	)		(5,177,157	)		247,160
Equifax, Inc.		(8,027	)		(1,093,438	)		(9,632	)
Estee Lauder Cos., Inc. (The)		(27,925	)		(2,349,889	)		(330,353	)
Expedia, Inc.		(34,756	)		(4,511,803	)		(665,103	)
Expeditors International of Washington, Inc.		(34,192	)		(1,906,888	)		(24,276	)
Express Scripts Holding Co.		(17,207	)		(1,049,466	)		(49,029	)
Exxon Mobil Corp.		(40,164	)		(3,267,802	)		25,362
Facebook, Inc.		(6,775	)		(973,392	)		(49,497	)
FactSet Research Systems, Inc.		(49,533	)		(7,942,627	)		(288,767	)
Fastenal Co.		(518,559	)		(25,270,183	)		2,697,310
Federated Investors, Inc.		(274,333	)		(7,172,057	)		(577,851	)
Fifth Third Bancorp		(65,740	)		(1,572,070	)		(134,540	)
FireEye, Inc.		(387,983	)		(4,825,713	)		(1,075,509	)
First Data Corp.		(692,747	)		(10,391,205	)		(2,216,790	)
First Horizon National Corp.		(485,808	)		(8,839,168	)		376,393
First Republic Bank		(27,538	)		(2,532,670	)		(223,884	)
Fitbit, Inc.		(778,998	)		(4,244,140	)		107,661
FleetCor Technologies, Inc.		(36,412	)		(5,301,105	)		50,131

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Flowers Foods, Inc.		(385,674	)	$	(7,489,789	)	$	813,772
Flowserve Corp.		(275,007	)		(13,376,340	)		607,765
FNB Corp.		(580,131	)		(8,274,517	)		59,862
FNF Group		(94,552	)		(3,613,777	)		(624,989	)
Ford Motor Co.		(8,658	)		(95,603	)		(1,280	)
GameStop Corp.		(116,869	)		(2,634,908	)		109,369
Gap, Inc. (The)		(95,058	)		(2,132,386	)		42,061
Garmin Ltd.		(259,783	)		(13,132,671	)		(124,055	)
Gartner, Inc.		(20,398	)		(2,282,890	)		(236,467	)
GATX Corp.		(94,520	)		(5,829,161	)		(245,639	)
General Electric Co.		(42,873	)		(1,285,761	)		127,762
General Mills, Inc.		(30,138	)		(1,737,456	)		67,811
Genesee & Wyoming, Inc.		(146,256	)		(9,851,804	)		(150,644	)
Gentex Corp.		(219,431	)		(4,395,203	)		232,597
Global Payments, Inc.		(30,896	)		(2,407,725	)		(382,801	)
Globus Medical, Inc.		(35,100	)		(1,117,642	)		(45,923	)
GoDaddy, Inc.		(14,868	)		(628,702	)		(1,999	)
Goodyear Tire & Rubber Co. (The)		(67,060	)		(2,263,521	)		(80,897	)
Graco, Inc.		(87,899	)		(8,289,963	)		(1,315,639	)
Granite Construction, Inc.		(106,023	)		(5,369,421	)		254,871
Great Plains Energy, Inc.		(24,297	)		(718,660	)		7,244
Groupon, Inc.		(276,669	)		(1,020,204	)		(42,205	)
Guess?, Inc.		(10,304	)		(110,562	)		(21,123	)
Guidewire Software, Inc.		(180,843	)		(10,959,012	)		(1,466,710	)
H&R Block, Inc.		(155,212	)		(3,878,355	)		(919,248	)
Halyard Health, Inc.		(76,679	)		(3,004,283	)		(7,668	)
Hancock Holding Co.		(21,562	)		(975,681	)		(80,857	)
Hanesbrands, Inc.		(416,713	)		(8,658,488	)		(992,585	)
Harley-Davidson, Inc.		(4,292	)		(237,790	)		5,936
HealthSouth Corp.		(36,586	)		(1,600,675	)		(170,088	)
HEICO Corp.		(78,490	)		(5,461,403	)		(177,318	)
Helmerich & Payne, Inc.		(143,222	)		(9,305,283	)		1,522,600
Henry Schein, Inc.		(33,343	)		(5,586,620	)		(515,816	)
Hess Corp.		(237,076	)		(11,329,533	)		929,008
Hexcel Corp.		(182,730	)		(9,903,966	)		257,649
HollyFrontier Corp.		(49,460	)		(1,319,553	)		(39,113	)
Hormel Foods Corp.		(367,480	)		(12,584,095	)		49,352
HSN, Inc.		(26,427	)		(882,653	)		39,632
Huntington Bancshares, Inc.		(82,949	)		(1,088,291	)		(33,180	)
IDEX Corp.		(13,068	)		(1,219,636	)		(257,178	)
IHS Markit Ltd.		(216,108	)		(9,164,186	)		(353,210	)
Illinois Tool Works, Inc.		(36,318	)		(4,844,526	)		(358,028	)
Illumina, Inc.		(42,842	)		(7,385,532	)		(48,411	)
Incyte Corp.		(13,844	)		(1,857,359	)		114,261
Inovalon Holdings, Inc.		(23,489	)		(291,264	)		(17,617	)
Integrated Device Technology, Inc.		(19,489	)		(489,270	)		(13,351	)
Intel Corp.		(64,511	)		(2,325,310	)		148,709
International Business Machines Corp.		(16,772	)		(2,887,132	)		307,095

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

AQR Funds Semi-Annual Report June 2017

138

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
International Flavors & Fragrances, Inc.		(26,203	)	$	(3,465,347	)	$	(72,058	)
International Paper Co.		(4,416	)		(223,052	)		(26,938	)
Intrexon Corp.		(117,866	)		(2,661,695	)		(177,697	)
Intuitive Surgical, Inc.		(4,161	)		(3,191,986	)		(700,088	)
Ionis Pharmaceuticals, Inc.		(101,574	)		(4,307,370	)		(859,699	)
IPG Photonics Corp.		(130,757	)		(15,913,572	)		(3,059,268	)
j2 Global, Inc.		(97,615	)		(7,977,640	)		(328,421	)
Jazz Pharmaceuticals plc		(6,355	)		(1,004,001	)		15,798
JB Hunt Transport Services, Inc.		(58,713	)		(5,347,580	)		(17,614	)
Johnson Controls International plc		(17,943	)		(743,900	)		(34,109	)
Juno Therapeutics, Inc.		(19,292	)		(543,416	)		(33,222	)
Keysight Technologies, Inc.		(8,776	)		(336,029	)		(5,620	)
KLX, Inc.		(248,110	)		(11,397,305	)		(1,008,195	)
Knowles Corp.		(520,999	)		(9,766,687	)		951,384
Kraft Heinz Co. (The)		(14,052	)		(1,311,257	)		107,844
L Brands, Inc.		(141,538	)		(7,011,161	)		(616,322	)
Lam Research Corp.		(57,260	)		(7,673,958	)		(424,324	)
Lamb Weston Holdings, Inc.		(19,415	)		(861,916	)		6,879
Landstar System, Inc.		(32,389	)		(2,771,251	)		(1,247	)
Laredo Petroleum, Inc.		(390,900	)		(5,393,153	)		1,280,885
Leggett & Platt, Inc.		(3,255	)		(171,334	)		349
Liberty Broadband Corp.		(11,237	)		(959,901	)		(14,909	)
LifePoint Health, Inc.		(41,081	)		(2,608,644	)		(149,946	)
Lincoln Electric Holdings, Inc.		(12,732	)		(1,110,869	)		(61,621	)
Lions Gate Entertainment Corp.		(57,312	)		(1,334,223	)		(171,936	)
Littelfuse, Inc.		(1,765	)		(271,500	)		(19,725	)
LivaNova plc		(104,210	)		(5,276,480	)		(1,102,214	)
Live Nation Entertainment, Inc.		(45,027	)		(1,566,391	)		(2,800	)
LogMeIn, Inc.		(31,598	)		(3,514,313	)		212,322
LPL Financial Holdings, Inc.		(62,142	)		(2,449,016	)		(189,533	)
Mallinckrodt plc		(106,675	)		(4,459,238	)		(320,869	)
Manhattan Associates, Inc.		(5,370	)		(261,734	)		3,652
Marathon Oil Corp.		(406,400	)		(6,339,642	)		1,523,802
Markel Corp.		(2,778	)		(2,701,275	)		(9,664	)
Marriott International, Inc.		(121,915	)		(11,208,015	)		(1,021,279	)
Marsh & McLennan Cos., Inc.		(201,065	)		(14,800,235	)		(874,792	)
Match Group, Inc.		(97,808	)		(1,709,521	)		9,618
Mattel, Inc.		(210,225	)		(5,122,475	)		596,331
MAXIMUS, Inc.		(26,670	)		(1,531,391	)		(138,951	)
McCormick & Co., Inc. (Non-Voting)		(100,072	)		(9,966,170	)		208,150
MDU Resources Group, Inc.		(96,619	)		(2,666,684	)		135,267

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
MEDNAX, Inc.		(192,991	)	$	(13,098,299	)	$	1,447,433
Mercury General Corp.		(74,651	)		(4,327,315	)		296,161
Mettler-Toledo International, Inc.		(14,572	)		(7,140,761	)		(1,435,444	)
Michaels Cos., Inc. (The)		(41,203	)		(977,768	)		214,689
Microchip Technology, Inc.		(183,106	)		(13,560,830	)		(571,291	)
Microsemi Corp.		(73,510	)		(3,643,891	)		203,623
Middleby Corp. (The)		(110,681	)		(14,886,595	)		1,437,746
Monolithic Power Systems, Inc.		(28,542	)		(2,710,521	)		(40,927	)
Moody’s Corp.		(22,729	)		(2,696,120	)		(69,544	)
Mosaic Co. (The)		(79,173	)		(2,284,141	)		476,621
Motorola Solutions, Inc.		(58,535	)		(4,945,915	)		(131,411	)
Murphy Oil Corp.		(15,229	)		(377,061	)		(13,258	)
National Fuel Gas Co.		(113,651	)		(6,749,488	)		403,216
National Instruments Corp.		(329,931	)		(10,757,742	)		(2,512,083	)
NetApp, Inc.		(75,703	)		(3,080,199	)		48,294
NetScout Systems, Inc.		(387,627	)		(14,536,013	)		1,201,644
Neurocrine Biosciences, Inc.		(59,996	)		(2,842,554	)		82,738
New Jersey Resources Corp.		(166,945	)		(6,787,111	)		159,394
Newell Brands, Inc.		(241,739	)		(11,394,994	)		(1,567,052	)
Newfield Exploration Co.		(14,414	)		(397,227	)		(12,995	)
NewMarket Corp.		(4,091	)		(1,848,109	)		(35,714	)
NextEra Energy, Inc.		(79,316	)		(10,226,212	)		(888,339	)
Nielsen Holdings plc		(294,617	)		(12,108,565	)		718,672
NIKE, Inc.		(62,439	)		(3,441,013	)		(242,888	)
Nordson Corp.		(37,957	)		(4,639,105	)		34,161
Norwegian Cruise Line Holdings Ltd.		(153,208	)		(7,511,311	)		(806,351	)
Nucor Corp.		(90,709	)		(5,292,393	)		43,064
NuVasive, Inc.		(189,901	)		(14,091,133	)		(516,052	)
NVIDIA Corp.		(28,506	)		(3,609,595	)		(511,233	)
Occidental Petroleum Corp.		(29,327	)		(1,759,668	)		3,861
OGE Energy Corp.		(488,440	)		(17,002,596	)		9,769
Old Dominion Freight Line, Inc.		(69,408	)		(5,802,090	)		(808,328	)
Olin Corp.		(95,208	)		(3,027,614	)		144,716
Omnicom Group, Inc.		(24,260	)		(2,016,977	)		5,823
OneMain Holdings, Inc.		(82,546	)		(1,990,823	)		(38,983	)
ONEOK, Inc.		(374,381	)		(20,777,040	)		1,249,327
OPKO Health, Inc.		(1,064,672	)		(8,079,540	)		1,073,998
Oracle Corp.		(47,734	)		(2,114,139	)		(279,244	)
O’Reilly Automotive, Inc.		(45,819	)		(11,127,606	)		1,105,158
Owens & Minor, Inc.		(148,006	)		(5,048,402	)		284,089
Owens-Illinois, Inc.		(271,555	)		(5,504,028	)		(991,568	)
PacWest Bancorp		(1,232	)		(56,972	)		(563	)
Palo Alto Networks, Inc.		(62,091	)		(7,060,124	)		(1,248,272	)
Pandora Media, Inc.		(1,997,195	)		(20,820,119	)		3,005,139

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

AQR Funds Semi-Annual Report June 2017

139

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Papa John’s International, Inc.		(56,041	)	$	(4,465,943	)	$	444,441
Parsley Energy, Inc.		(153,130	)		(4,808,282	)		558,925
Patterson Cos., Inc.		(196,958	)		(8,766,601	)		(480,578	)
Paychex, Inc.		(42,259	)		(2,459,051	)		52,824
PayPal Holdings, Inc.		(25,322	)		(1,364,298	)		5,267
PBF Energy, Inc.		(249,995	)		(5,292,682	)		(272,207	)
Penske Automotive Group, Inc.		(98,043	)		(4,335,461	)		30,393
People’s United Financial, Inc.		(247,012	)		(4,343,738	)		(18,494	)
Perrigo Co. plc		(101,736	)		(7,189,214	)		(493,889	)
Phillips 66		(54,207	)		(4,161,510	)		(320,866	)
Pilgrim’s Pride Corp.		(146,521	)		(3,335,827	)		124,087
Pitney Bowes, Inc.		(171,783	)		(2,256,536	)		(337,387	)
Platform Specialty Products Corp.		(992,093	)		(13,205,769	)		626,030
Polaris Industries, Inc.		(9,536	)		(811,857	)		(67,648	)
Post Holdings, Inc.		(66,350	)		(5,501,847	)		349,770
PPL Corp.		(175,777	)		(6,648,097	)		(147,442	)
Praxair, Inc.		(51,724	)		(6,147,397	)		(708,619	)
Premier, Inc.		(248,794	)		(8,083,646	)		(872,938	)
Prestige Brands Holdings, Inc.		(75,282	)		(4,183,806	)		208,163
Priceline Group, Inc. (The)		(5,841	)		(10,349,958	)		(575,750	)
Primerica, Inc.		(178,112	)		(14,545,813	)		1,053,829
Principal Financial Group, Inc.		(115,412	)		(7,221,329	)		(173,118	)
Prosperity Bancshares, Inc.		(84,354	)		(5,697,634	)		278,733
PTC, Inc.		(70,318	)		(3,726,337	)		(149,591	)
Qorvo, Inc.		(62,178	)		(4,422,847	)		485,736
QUALCOMM, Inc.		(9,440	)		(538,842	)		17,565
Quintiles IMS Holdings, Inc.		(131,487	)		(10,712,612	)		(1,055,474	)
Range Resources Corp.		(298,329	)		(7,842,656	)		930,373
Regal Entertainment Group		(350,931	)		(7,573,481	)		393,432
Regeneron Pharmaceuticals, Inc.		(4,547	)		(1,704,686	)		(528,527	)
RenaissanceRe Holdings Ltd.		(20,961	)		(2,947,955	)		33,328
ResMed, Inc.		(134,101	)		(9,326,964	)		(1,115,481	)
Robert Half International, Inc.		(7,364	)		(333,147	)		(19,809	)
Rockwell Collins, Inc.		(136,320	)		(13,480,416	)		(844,089	)
Rollins, Inc.		(84,904	)		(3,323,444	)		(132,998	)
Roper Technologies, Inc.		(71,077	)		(14,798,942	)		(1,657,516	)
RPC, Inc.		(432,408	)		(8,231,597	)		(507,369	)
RPM International, Inc.		(8,004	)		(443,854	)		7,235
Sabre Corp.		(685,813	)		(14,760,325	)		(169,824	)
salesforce.com, Inc.		(126,895	)		(10,692,169	)		(296,938	)
Sally Beauty Holdings, Inc.		(140,582	)		(2,713,354	)		(133,431	)
Schlumberger Ltd.		(39,817	)		(2,970,598	)		349,047

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Scotts Miracle-Gro Co. (The)		(55,979	)	$	(5,133,688	)	$	125,806
Scripps Networks Interactive, Inc.		(31,777	)		(2,119,050	)		(51,637	)
Seattle Genetics, Inc.		(110,883	)		(7,112,636	)		1,375,549
Sempra Energy		(70,089	)		(7,687,362	)		(215,173	)
Sensata Technologies Holding NV		(380,654	)		(15,517,841	)		(743,698	)
Sensient Technologies Corp.		(2,208	)		(175,325	)		(2,485	)
Service Corp. International		(16,772	)		(529,545	)		(31,479	)
ServiceNow, Inc.		(140,925	)		(13,630,229	)		(1,307,821	)
Signet Jewelers Ltd.		(183,254	)		(12,023,218	)		434,235
Silgan Holdings, Inc.		(10,263	)		(296,652	)		(29,506	)
Silicon Laboratories, Inc.		(22,732	)		(1,613,021	)		59,288
Sirius XM Holdings, Inc.		(387,028	)		(1,997,064	)		(119,979	)
Six Flags Entertainment Corp.		(150,431	)		(8,659,392	)		(307,800	)
Skyworks Solutions, Inc.		(27,319	)		(2,781,621	)		160,363
Snap-on, Inc.		(40,972	)		(6,731,450	)		257,874
Snyder’s-Lance, Inc.		(342,644	)		(13,663,461	)		1,801,126
Sotheby’s		(12,138	)		(559,805	)		(91,642	)
Southern Co. (The)		(262,066	)		(13,022,060	)		474,339
Southwestern Energy Co.		(316,394	)		(1,860,182	)		(63,493	)
Spectrum Brands Holdings, Inc.		(26,288	)		(3,643,059	)		356,008
Splunk, Inc.		(198,151	)		(12,015,219	)		742,408
Sprouts Farmers Market, Inc.		(501,395	)		(11,471,172	)		104,547
Square, Inc.		(552,750	)		(11,001,927	)		(1,965,588	)
SS&C Technologies Holdings, Inc.		(368,075	)		(12,812,691	)		(1,325,070	)
Stericycle, Inc.		(174,752	)		(14,306,946	)		969,874
STERIS plc		(73,741	)		(5,154,496	)		(855,396	)
Stifel Financial Corp.		(138,395	)		(6,488,417	)		125,014
Stryker Corp.		(4,497	)		(588,387	)		(35,706	)
SVB Financial Group		(18,090	)		(3,166,396	)		(13,645	)
Symantec Corp.		(253,709	)		(7,758,588	)		591,309
Synaptics, Inc.		(21,489	)		(1,294,780	)		183,584
T Rowe Price Group, Inc.		(29,256	)		(2,061,242	)		(109,846	)
Tableau Software, Inc.		(71,236	)		(3,608,816	)		(755,814	)
Target Corp.		(46,367	)		(2,566,903	)		142,373
Tenet Healthcare Corp.		(129,557	)		(2,272,526	)		(233,106	)
Thermo Fisher Scientific, Inc.		(15,201	)		(2,327,425	)		(324,693	)
Tractor Supply Co.		(204,145	)		(12,394,824	)		1,328,123
TransDigm Group, Inc.		(143,391	)		(33,053,327	)		(5,500,211	)
Transocean Ltd.		(844,668	)		(9,367,545	)		2,415,927
TreeHouse Foods, Inc.		(152,372	)		(13,215,224	)		767,955
TRI Pointe Group, Inc.		(339,457	)		(4,161,261	)		(316,177	)
Trimble, Inc.		(61,751	)		(2,044,722	)		(157,936	)
Trinity Industries, Inc.		(143,717	)		(3,904,791	)		(123,597	)
TripAdvisor, Inc.		(364,935	)		(15,274,340	)		1,333,823

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

AQR Funds Semi-Annual Report June 2017

140

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Triumph Group, Inc.		(2,509	)	$	(63,227	)	$	(16,058	)
Trustmark Corp.		(68,901	)		(2,150,188	)		(65,668	)
Twenty-First Century Fox, Inc.		(37,716	)		(1,171,836	)		102,965
Twitter, Inc.		(105,838	)		(1,844,832	)		(46,493	)
Tyler Technologies, Inc.		(68,262	)		(10,499,378	)		(1,492,207	)
Ultimate Software Group, Inc. (The)		(92,446	)		(18,322,846	)		(1,096,361	)
Under Armour, Inc.		(114,995	)		(2,246,851	)		(255,440	)
United Natural Foods, Inc.		(147,190	)		(6,049,978	)		648,105
United Parcel Service, Inc.		(55,636	)		(5,844,808	)		(307,977	)
United States Steel Corp.		(107,350	)		(2,298,998	)		(77,731	)
United Technologies Corp.		(43,025	)		(5,152,833	)		(100,950	)
USG Corp.		(128,970	)		(3,995,491	)		252,781
Valley National Bancorp		(702,607	)		(8,157,365	)		(140,424	)
Vantiv, Inc.		(15,001	)		(943,413	)		(6,750	)
Varex Imaging Corp.		(15,323	)		(503,973	)		(13,944	)
Varian Medical Systems, Inc.		(74,114	)		(6,728,069	)		(919,755	)
Veeva Systems, Inc.		(45,735	)		(2,368,042	)		(435,971	)
VeriFone Systems, Inc.		(378,013	)		(6,766,852	)		(75,183	)
VeriSign, Inc.		(71,138	)		(6,207,502	)		(405,487	)
Verisk Analytics, Inc.		(48,931	)		(3,930,090	)		(198,219	)
VF Corp.		(208,328	)		(11,198,827	)		(800,865	)
Viacom, Inc.		(184,894	)		(7,771,597	)		1,564,705
ViaSat, Inc.		(153,795	)		(9,844,177	)		(337,052	)
Vishay Intertechnology, Inc.		(11,976	)		(198,020	)		(781	)
VMware, Inc.		(16,606	)		(1,534,937	)		83,074
VWR Corp.		(45,331	)		(1,256,145	)		(240,231	)
WABCO Holdings, Inc.		(48,516	)		(5,700,518	)		(485,758	)
Wabtec Corp.		(242,959	)		(19,695,021	)		(2,535,728	)
Waters Corp.		(6,727	)		(1,176,053	)		(60,638	)
Weatherford International plc		(3,694,250	)		(22,624,017	)		8,327,270
WebMD Health Corp.		(63,426	)		(3,608,956	)		(110,979	)
Webster Financial Corp.		(154,890	)		(7,555,733	)		(532,623	)
WEC Energy Group, Inc.		(74,545	)		(4,499,536	)		(76,036	)
Welbilt, Inc.		(444,004	)		(8,582,416	)		212,941
Wendy’s Co. (The)		(269,891	)		(3,797,731	)		(388,278	)
Werner Enterprises, Inc.		(102,421	)		(2,667,859	)		(338,197	)
Western Alliance Bancorp		(74,862	)		(3,559,221	)		(123,990	)
Western Union Co. (The)		(165,954	)		(3,211,827	)		50,403
Westlake Chemical Corp.		(104,577	)		(6,765,314	)		(158,729	)
WEX, Inc.		(28,186	)		(2,916,746	)		(22,208	)
Whiting Petroleum Corp.		(1,229,790	)		(8,558,320	)		1,782,177

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Whole Foods Market, Inc.		(1,188	)	$	(41,659	)	$	(8,368	)
Williams-Sonoma, Inc.		(85,291	)		(4,624,415	)		487,802
Willis Towers Watson plc		(38,337	)		(5,308,418	)		(268,082	)
WisdomTree Investments, Inc.		(1,911,255	)		(17,266,054	)		(2,171,409	)
Workday, Inc.		(163,773	)		(13,514,758	)		(2,371,223	)
WR Berkley Corp.		(90,161	)		(6,187,749	)		(48,687	)
WW Grainger, Inc.		(9,695	)		(2,044,962	)		294,723
Wyndham Worldwide Corp.		(33,020	)		(3,123,698	)		(191,840	)
Wynn Resorts Ltd.		(23,908	)		(2,889,771	)		(316,770	)
Xcel Energy, Inc.		(55,436	)		(2,545,063	)		1,659
Xilinx, Inc.		(131,889	)		(7,652,347	)		(830,754	)
Xylem, Inc.		(28,944	)		(1,476,416	)		(127,950	)
Yelp, Inc.		(14,838	)		(452,776	)		7,339
Zayo Group Holdings, Inc.		(243,985	)		(8,035,568	)		496,431
Zebra Technologies Corp.		(20,466	)		(1,885,533	)		(171,710	)
Zillow Group, Inc.		(445,756	)		(15,423,441	)		(6,423,061	)
Zions Bancorp		(229,424	)		(9,416,923	)		(657,084	)
Zoetis, Inc.		(90,371	)		(5,199,959	)		(437,384	)
								(58,493,087	)
Total of Short Equity Positions								(59,884,489	)
Total of Long and Short Equity Positions and Rights								8,234,912
Net Cash and Other Receivables/ (Payables) (b)								(10,333,734	)
Swaps, at Value							$	(2,098,822	)

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

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

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	43-46 months maturity 01/14/2021		$7,090,523

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Ageas		142,420	$	5,903,005	$	(167,586	)
bpost SA		96,342		2,412,214		(85,325	)
Galapagos NV		49,603		4,505,410		(713,437	)
KBC Group NV		17,950		1,278,506		82,446
Proximus SADP		31,030		1,031,719		54,312
Solvay SA		12,404		1,640,274		24,482
UCB SA		3,765		312,176		(53,233	)
Umicore SA		67,595		4,063,074		638,907
						(219,434	)
Finland
Huhtamaki OYJ		29,064		1,097,837		46,722
Kesko OYJ		120,763		5,912,628		230,330
Metso OYJ		13,467		435,842		31,434
Neste OYJ		105,118		4,411,906		(263,847	)
Orion OYJ		50,531		2,901,161		326,801
Stora Enso OYJ		233,436		3,041,850		(25,376	)
UPM-Kymmene OYJ		387,572		10,003,323		1,048,183
						1,394,247
Germany
adidas AG		16,998		3,457,141		(197,794	)
Aurubis AG		46,316		3,413,886		229,624
Brenntag AG		30,820		1,889,061		(101,681	)
Commerzbank AG		341,789		3,650,545		430,735
Covestro AG		188,322		16,173,361		(2,521,136	)
Deutsche Bank AG (Registered)		56,819		973,717		36,513
Deutsche Lufthansa AG (Registered)		218,184		3,882,374		1,089,942
Deutsche Post AG (Registered)		54,861		1,978,774		80,612
Evonik Industries AG		46,045		1,585,897		(112,192	)
Freenet AG		43,344		1,469,472		(86,686	)
Hannover Rueck SE		21,323		2,636,102		(74,921	)
Hella KGaA Hueck & Co.		37,809		1,820,023		44,578
HOCHTIEF AG		46,409		8,524,435		(4,722	)
Infineon Technologies AG		151,302		3,252,653		(38,911	)
KION Group AG		3,725		262,479		22,456

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
LANXESS AG		40,247	$	2,958,008	$	94,335
Merck KGaA		11,125		1,374,535		(28,424	)
METRO AG		30,133		1,004,720		13,237
MTU Aero Engines AG		10,539		1,500,718		(11,696	)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		2,257		470,233		(13,522	)
OSRAM Licht AG		115,726		7,857,666		1,379,823
Rheinmetall AG		97,420		9,105,347		167,444
RHOEN-KLINIKUM AG		36,264		1,065,351		(5,945	)
Salzgitter AG		76,691		3,012,305		117,505
Schaeffler AG (Preference)		146,234		2,564,232		(466,278	)
Siemens AG (Registered)		4,211		617,282		(38,042	)
Software AG		124,836		5,307,184		168,142
STADA Arzneimittel AG		71,402		4,784,983		286,773
Suedzucker AG		270,979		6,489,042		(831,722	)
Talanx AG		94,183		3,571,845		(48,848	)
Uniper SE		148,355		2,720,367		67,266
Zalando SE		24,066		1,073,917		26,549
						(326,986	)
Italy
A2A SpA		6,463,996		10,226,588		521,421
Assicurazioni Generali SpA		17,184		284,125		(483	)
Autogrill SpA		344,748		3,771,231		407,480
Banca Monte dei Paschi di Siena SpA(c)		111,235		1,885,788		(385,363	)
BPER Banca		91,399		490,101		(32,309	)
Buzzi Unicem SpA		27,565		727,656		(40,323	)
Davide Campari-Milano SpA		70,796		433,742		66,763
Enel SpA		1,921,578		9,680,179		626,199
Ferrari NV		64		5,853		(346	)
Hera SpA		634,167		1,936,013		2,786
Leonardo SpA		388,179		6,039,406		423,686
Mediaset SpA		29,824		125,166		(7,668	)
Mediobanca SpA		397,518		3,780,930		151,730
Moncler SpA		153,990		3,770,754		(158,374	)

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

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142

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Italy (continued)
Poste Italiane SpA		534,828	$	3,801,957	$	(134,645	)
Prysmian SpA		303,599		8,918,669		35,542
Recordati SpA		154,219		5,801,047		452,852
Telecom Italia SpA		348,579		326,293		(3,798	)
Unipol Gruppo Finanziario SpA		1,430,966		6,229,513		48,989
						1,974,139
Netherlands
ABN AMRO Group NV		174,459		4,480,748		140,995
Aegon NV		33,988		180,107		(6,160	)
Akzo Nobel NV		3,899		346,431		(7,340	)
ASM International NV		40,841		2,435,265		(60,206	)
ASR Nederland NV		8,283		277,667		1,746
Gemalto NV		8,593		529,159		(13,777	)
Koninklijke DSM NV		56,403		4,192,304		(89,970	)
Koninklijke Philips NV		121,638		4,184,629		145,524
NN Group NV		329,772		11,099,647		601,671
Philips Lighting NV		6,234		246,332		(16,065	)
Randstad Holding NV		21,983		1,331,883		(50,249	)
Wolters Kluwer NV		126,467		5,659,293		(310,628	)
						335,541
Spain
ACS Actividades de Construccion y Servicios SA		108,087		4,135,958		43,106
Almirall SA		20,905		385,013		(44,482	)
Banco Bilbao Vizcaya Argentaria SA		123,815		1,028,400		2,972
Banco Santander SA		535,033		3,534,034		18,521
Bankinter SA		322,788		2,944,675		33,029
Ebro Foods SA		83,227		1,855,994		47,311
Endesa SA		264,087		6,675,984		(583,869	)
Gas Natural SDG SA		17,536		421,381		(10,890	)
Grifols SA		43,843		1,167,734		54,658
Mapfre SA		1,259,467		4,598,198		(189,796	)
Mediaset Espana Comunicacion SA		102,193		1,405,054		(132,388	)
Melia Hotels International SA		56,122		860,589		(20,027	)
Prosegur Cia de Seguridad SA		90,322		578,537		8,883
Repsol SA		358,964		6,078,308		(575,003	)
Telefonica SA		142,281		1,541,445		(68,607	)
						(1,416,582	)
Switzerland
STMicroelectronics NV		710,361		11,735,009		(1,502,743	)
United Kingdom
Dialog Semiconductor plc		100,264		5,175,387		(891,579	)
Fiat Chrysler Automobiles NV		1,198,078		13,145,299		(488,116	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
RELX NV		38,554		$	818,255		$	(23,394	)
								(1,403,089	)
Total of Long Equity Positions								(1,164,907	)
Warrants
Spain
Abengoa SA (c)		2,133,317			46,967			(22,601	)
Total of Long Equity Positions and Warrants								(1,187,508	)
Short Positions
Common Stocks
Belgium
Anheuser-Busch InBev SA/NV		(127,862	)		(15,159,050	)		1,036,880
Colruyt SA		(16,594	)		(854,202	)		(19,783	)
Telenet Group Holding NV		(45,088	)		(2,871,977	)		31,661
								1,048,758
Finland
Amer Sports OYJ		(20,400	)		(507,482	)		(2,763	)
Cargotec OYJ		(5,699	)		(328,022	)		(33,499	)
Elisa OYJ		(38,450	)		(1,387,127	)		(104,432	)
Fortum OYJ		(165,096	)		(2,552,257	)		(38,700	)
Kone OYJ		(73,375	)		(3,573,178	)		(159,784	)
Nokia OYJ		(1,811,794	)		(10,308,326	)		(801,103	)
Nokian Renkaat OYJ		(23,115	)		(1,025,636	)		68,825
Outokumpu OYJ		(331,570	)		(2,990,439	)		344,618
Sampo OYJ		(18,752	)		(953,918	)		(8,165	)
Wartsila OYJ Abp		(12,005	)		(709,275	)		(670	)
								(735,673	)
Germany
Axel Springer SE		(24,090	)		(1,427,935	)		(21,104	)
Bayerische Motoren Werke AG		(105,343	)		(10,034,258	)		236,592
Beiersdorf AG		(21,717	)		(2,243,694	)		(40,535	)
Continental AG		(15,122	)		(3,474,896	)		203,554
Daimler AG (Registered)		(69,605	)		(5,325,737	)		277,379
Deutsche Telekom AG (Registered)		(82,435	)		(1,471,649	)		(14,239	)
Duerr AG		(13,154	)		(1,280,785	)		(284,701	)
E.ON SE		(461,047	)		(4,640,821	)		288,552
Fielmann AG		(17,707	)		(1,470,586	)		103,942
Fraport AG Frankfurt Airport Services Worldwide		(43,533	)		(3,441,399	)		(410,949	)
Fresenius Medical Care AG & Co. KGaA		(10,516	)		(1,003,299	)		(11,460	)
FUCHS PETROLUB SE (Preference)		(67,118	)		(3,573,447	)		(84,684	)

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

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143

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
GEA Group AG		(117,119	)	$	(5,346,657	)	$	537,623
Henkel AG & Co. KGaA (Preference)		(11,985	)		(1,668,879	)		16,223
HUGO BOSS AG		(119,244	)		(9,503,166	)		1,143,879
K+S AG (Registered)		(53,646	)		(1,339,448	)		(38,436	)
MAN SE		(28,832	)		(3,170,124	)		78,050
ProSiebenSat.1 Media SE		(225,540	)		(10,417,493	)		956,207
RWE AG		(92,664	)		(1,755,449	)		(95,590	)
SAP SE		(27,803	)		(2,918,035	)		7,857
Sartorius AG (Preference)		(1,781	)		(164,454	)		(7,762	)
Symrise AG		(45,005	)		(3,197,724	)		4,606
Telefonica Deutschland Holding AG		(688,766	)		(3,643,026	)		198,511
thyssenkrupp AG		(64,495	)		(1,860,003	)		21,897
United Internet AG (Registered)		(177,628	)		(8,358,099	)		(1,417,489	)
Volkswagen AG (Preference)		(39,287	)		(6,007,876	)		6,561
Wacker Chemie AG		(19,490	)		(2,216,952	)		95,703
Wirecard AG		(37,003	)		(2,258,637	)		(101,572	)
								1,648,615
Italy
Atlantia SpA		(25,131	)		(692,885	)		(14,036	)
Azimut Holding SpA		(667,598	)		(13,051,988	)		(378,654	)
Banca Generali SpA		(143,197	)		(4,104,481	)		(168,552	)
Banco BPM SpA		(2,519,058	)		(7,590,804	)		(869,473	)
Brembo SpA		(90,498	)		(1,419,841	)		93,775
FinecoBank Banca Fineco SpA		(315,461	)		(2,279,445	)		(207,173	)
Luxottica Group SpA		(75,359	)		(4,391,014	)		4,515
Saipem SpA		(1,724,604	)		(7,814,689	)		1,428,148
Salvatore Ferragamo SpA		(251,624	)		(8,090,400	)		1,372,156
Snam SpA		(861,404	)		(3,979,246	)		219,943
Terna Rete Elettrica Nazionale SpA		(121,265	)		(649,589	)		(5,380	)
UniCredit SpA		(173,983	)		(2,854,824	)		(404,097	)
UnipolSai Assicurazioni SpA		(1,197,863	)		(2,795,368	)		167,431
Yoox Net-A-Porter Group SpA		(46,085	)		(1,184,568	)		(92,417	)
								1,146,186
Luxembourg
APERAM SA		(36,206	)		(1,848,772	)		167,519
ArcelorMittal		(42,619	)		(992,583	)		25,852
Tenaris SA		(1,120,471	)		(20,347,766	)		2,853,026
								3,046,397
Netherlands
Altice NV		(316,023	)		(7,672,397	)		391,419
ASML Holding NV		(3,310	)		(468,021	)		36,553
Boskalis Westminster		(29,203	)		(1,059,041	)		110,645

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Netherlands (continued)
Heineken NV		(35,450	)	$	(3,256,519	)	$	(190,450	)
Koninklijke Ahold Delhaize NV		(75,668	)		(1,667,672	)		223,379
Koninklijke KPN NV		(1,149,368	)		(3,678,827	)		200
Koninklijke Vopak NV		(152,550	)		(7,222,210	)		153,217
OCI NV		(26,285	)		(541,488	)		(37,277	)
SBM Offshore NV		(470,721	)		(8,517,846	)		977,530
								1,665,216
Spain
Acciona SA		(9,635	)		(846,052	)		(2,242	)
Atresmedia Corp. de Medios de Comunicacion SA		(194,561	)		(2,614,080	)		335,801
Banco de Sabadell SA		(141,784	)		(278,626	)		(9,842	)
Bankia SA		(1,206,735	)		(5,946,747	)		110,070
CaixaBank SA		(155,111	)		(754,622	)		13,133
Cellnex Telecom SA		(437,849	)		(7,967,859	)		(1,080,940	)
Distribuidora Internacional de Alimentacion SA		(102,984	)		(636,682	)		(5,977	)
Enagas SA		(103,820	)		(2,989,399	)		75,761
Ferrovial SA		(127,262	)		(2,785,866	)		(41,029	)
Red Electrica Corp. SA		(145,092	)		(3,156,200	)		120,815
Tecnicas Reunidas SA		(13,569	)		(523,688	)		(2,103	)
								(486,553	)
United Kingdom
CNH Industrial NV		(158,872	)		(1,719,941	)		(81,787	)
Unilever NV		(61,455	)		(3,351,654	)		(40,772	)
								(122,559	)
United States
QIAGEN NV		(69,916	)		(2,151,620	)		(174,747	)
Total of Short Equity Positions								7,035,640
Total of Long and Short Equity Positions and Warrants								5,848,132
Net Cash and Other Receivables/ (Payables) (b)								1,242,391
Swaps, at Value							$	7,090,523

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

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

(c) Security fair valued as of 06/30/2017 in accordance with procedures approved by the Board of Trustees.

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

AQR Funds Semi-Annual Report June 2017

144

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap.	43-46 months maturity 01/14/2021		$3,078,652

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Denmark
AP Moller - Maersk A/S		994		$	1,813,076		$	188,355
Danske Bank A/S		156,185			5,660,137			348,781
DSV A/S		20,537			1,157,630			103,838
Genmab A/S		6,452			1,304,940			70,754
GN Store Nord A/S		21,687			536,382			96,856
H Lundbeck A/S		182,958			9,471,252			799,497
ISS A/S		106,381			4,501,125			(322,356	)
Jyske Bank A/S (Registered)		43,004			2,331,592			159,374
TDC A/S		1,858,889			10,145,419			664,748
Vestas Wind Systems A/S		76,001			6,692,612			327,398
								2,437,245
Total of Long Equity Positions								2,437,245
Short Positions
Common Stocks
Denmark
Carlsberg A/S		(2,499	)		(262,259	)		(4,798	)
Chr Hansen Holding A/S		(95,684	)		(6,312,696	)		(646,094	)
Coloplast A/S		(71,999	)		(5,985,411	)		(32,652	)
DONG Energy A/S		(18,826	)		(869,172	)		19,440
FLSmidth & Co. A/S		(5,222	)		(308,513	)		(21,463	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Denmark (continued)
Nets A/S		(10,360	)	$	(207,183	)	$	1,158
Novo Nordisk A/S		(17,203	)		(773,383	)		34,217
Novozymes A/S		(269,755	)		(11,799,656	)		(1,889	)
Pandora A/S		(128,065	)		(13,808,446	)		1,856,827
Topdanmark A/S		(11,808	)		(326,178	)		(50,912	)
Tryg A/S		(122,013	)		(2,388,890	)		(279,417	)
William Demant Holding A/S		(106,508	)		(2,397,964	)		(357,821	)
								516,596
Total of Short Equity Positions								516,596
Total of Long and Short Equity Positions								2,953,841
Net Cash and Other Receivables/ (Payables) (b)								124,811
Swaps, at Value							$	3,078,652

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

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

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

AQR Funds Semi-Annual Report June 2017

145

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	43-46 months maturity 01/14/2021		$1,537,377

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
ABB Ltd. (Registered)		67,984	$	1,669,313	$	18,126
Adecco Group AG (Registered)		30,032		2,266,237		21,667
Baloise Holding AG (Registered)		24,776		3,543,064		294,733
Dufry AG (Registered)		1,368		231,150		(6,648	)
Flughafen Zurich AG (Registered)		19,614		4,382,438		434,766
Geberit AG (Registered)		4,762		2,109,539		114,126
Georg Fischer AG (Registered)		1,770		1,687,330		29,534
Helvetia Holding AG (Registered)		5,631		3,208,745		20,665
Julius Baer Group Ltd.		14,997		790,534		1,851
Lonza Group AG (Registered)		47,813		9,544,485		812,585
OC Oerlikon Corp. AG (Registered)		27,775		314,726		50,811
Partners Group Holding AG		5,716		3,346,099		203,026
Sika AG		1,054		6,736,986		29,829
Straumann Holding AG (Registered)		9,443		4,686,806		690,707
Sunrise Communications Group AG		46,296		3,647,035		3,281
Swiss Life Holding AG (Registered)		44,487		15,004,270		44,438
Swiss Re AG		17,217		1,608,800		(30,986	)
Temenos Group AG (Registered)		82,465		6,969,372		408,200
UBS Group AG (Registered)		209,700		3,422,531		143,603
Zurich Insurance Group AG		21,110		5,933,430		227,502
						3,511,816
Total of Long Equity Positions						3,511,816

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Austria
ams AG		(65,647	)	$	(4,090,776	)	$	(169,185	)
Switzerland
Aryzta AG		(89,375	)		(3,078,970	)		131,360
Barry Callebaut AG (Registered)		(2,266	)		(3,156,117	)		36,925
Chocoladefabriken Lindt & Spruengli AG		(1,552	)		(9,043,631	)		46,063
Cie Financiere Richemont SA (Registered)		(22,161	)		(1,829,958	)		(3,839	)
Credit Suisse Group AG (Registered)		(1,096,909	)		(15,370,320	)		(590,793	)
DKSH Holding AG		(487	)		(40,032	)		438
EMS-Chemie Holding AG (Registered)		(1,175	)		(722,272	)		(145,360	)
GAM Holding AG		(73,229	)		(994,086	)		9,533
Givaudan SA (Registered)		(1,077	)		(2,047,896	)		(110,196	)
Kuehne + Nagel International AG (Registered)		(22,310	)		(3,315,810	)		(414,054	)
LafargeHolcim Ltd. (Registered)		(12,921	)		(791,086	)		48,476
Nestle SA (Registered)		(4,046	)		(325,003	)		(27,880	)
Novartis AG (Registered)		(17,933	)		(1,391,151	)		(106,731	)
SGS SA (Registered)		(1,450	)		(3,270,576	)		(245,219	)
Sonova Holding AG (Registered)		(8,860	)		(1,288,921	)		(152,365	)
Swatch Group AG (The)		(29,765	)		(11,101,240	)		92,228

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

AQR Funds Semi-Annual Report June 2017

146

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Swisscom AG (Registered)		(9,419	)	$	(4,304,111	)	$	(248,091	)
Vifor Pharma AG		(77,995	)		(8,556,682	)		(58,467	)
								(1,737,972	)
Total of Short Equity Positions								(1,907,157	)
Total of Long and Short Equity Positions								1,604,659
Net Cash and Other Receivables/ (Payables) (b)								(67,282	)
Swaps, at Value							$	1,537,377

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap.	43-46 months maturity 01/14/2021		$235,127

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Malta
Kindred Group plc		58,960	$	657,089	$	10,423
Sweden
BillerudKorsnas AB		80,811		1,351,092		(73,946	)
Boliden AB		261,794		8,214,567		(1,058,444	)
Electrolux AB		262,540		7,933,186		675,831
Husqvarna AB		496,873		4,748,346		190,670
NCC AB		108,281		2,859,492		190,529
Nibe Industrier AB		32,074		284,062		18,902
Nordea Bank AB		107,701		1,308,412		63,315
Saab AB		31,228		1,438,099		105,262
Securitas AB		87,900		1,492,156		(9,592	)
Skandinaviska Enskilda Banken AB		272,634		3,238,086		62,595
Skanska AB		67,610		1,650,874		(45,410	)
SSAB AB		136,928		603,450		21,468
Svenska Cellulosa AB SCA		29,641		957,076		(732,842	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
Swedish Match AB		128,903		$	4,427,105		$	114,252
								(477,410	)
Total of Long Equity Positions								(466,987	)
Short Positions
Common Stocks
Luxembourg
Millicom International Cellular SA		(49,753	)		(2,865,141	)		(77,651	)
Netherlands
Axfood AB		(81,360	)		(1,329,052	)		(29,442	)
Sweden
Alfa Laval AB		(168,946	)		(3,511,593	)		53,687
Assa Abloy AB		(96,971	)		(2,125,952	)		(11,431	)
Atlas Copco AB		(9,392	)		(353,891	)		(7,248	)
Elekta AB		(159,049	)		(1,642,217	)		137,018

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

AQR Funds Semi-Annual Report June 2017

147

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
Getinge AB		(29,457	)	$	(579,256	)	$	2,304
Hennes & Mauritz AB		(554,650	)		(14,331,834	)		503,280
Hexagon AB		(111,839	)		(4,903,647	)		(409,786	)
Hexpol AB		(83,341	)		(926,774	)		16,866
Modern Times Group MTG AB		(8,184	)		(294,399	)		12,700
Sandvik AB		(59,770	)		(966,057	)		25,024
SKF AB		(14,329	)		(306,941	)		15,971
Svenska Handelsbanken AB		(31,898	)		(457,508	)		661
Tele2 AB		(294,003	)		(2,945,740	)		(135,317	)
Telefonaktiebolaget LM Ericsson		(656,553	)		(4,637,619	)		(83,083	)
Telia Co. AB		(584,836	)		(2,490,415	)		(204,855	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (continued)
Trelleborg AB		(17,908	)	$	(417,724	)	$	8,824
								(75,385	)
Total of Short Equity Positions								(182,478	)
Total of Long and Short Equity Positions								(649,465	)
Net Cash and Other Receivables/ (Payables) (b)								884,592
Swaps, at Value							$	235,127

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	43-61 months maturity 01/14/2021		$(2,759,463	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Advantest Corp.		43,900	$	796,728	$	(44,181	)
Ajinomoto Co., Inc.		242,500		4,768,226		475,637
Alfresa Holdings Corp.		173,100		3,048,249		298,314
Amada Holdings Co. Ltd.		582,800		6,657,946		102,343
Aozora Bank Ltd.		1,932,000		6,681,463		694,688
Asahi Glass Co. Ltd.		32,000		1,265,717		85,733
Asahi Group Holdings Ltd.		86,200		3,325,478		(79,162	)
Asahi Kasei Corp.		532,000		4,932,499		806,883
Astellas Pharma, Inc.		671,500		8,829,374		(599,000	)
Bandai Namco Holdings, Inc.		343,500		9,971,198		1,765,287
Benesse Holdings, Inc.		8,500		315,290		6,045

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Brother Industries Ltd.		2,300	$	52,612	$	663
Chiyoda Corp.		21,584		131,666		(4,172	)
Chubu Electric Power Co., Inc.		219,200		2,853,357		61,709
Chugoku Bank Ltd. (The)		125,500		1,718,878		165,304
Citizen Watch Co. Ltd.		388,700		2,395,874		339,159
Coca-Cola Bottlers Japan, Inc.		32,300		978,159		(42,893	)
Cosmos Pharmaceutical Corp.		8,700		1,775,810		(80,844	)
Credit Saison Co. Ltd.		75,700		1,330,484		151,793
CYBERDYNE, Inc.		8,200		114,932		(5,663	)
Dai Nippon Printing Co. Ltd.		71,000		794,686		(3,749	)
Daicel Corp.		129,900		1,535,057		88,534
Dai-ichi Life Holdings, Inc.		16,500		272,277		27,222

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

AQR Funds Semi-Annual Report June 2017

148

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Daiichi Sankyo Co. Ltd.		206,600	$	4,543,672	$	332,690
Daikin Industries Ltd.		22,500		2,182,812		125,509
Denso Corp.		8,900		378,493		(794	)
Disco Corp.		1,500		225,194		15,393
Eisai Co. Ltd.		18,861		966,735		76,798
Ezaki Glico Co. Ltd.		11,300		602,991		5,439
Fuji Electric Co. Ltd.		532,000		2,910,407		(96,519	)
FUJIFILM Holdings Corp.		126,800		4,759,829		(187,742	)
Fujitsu Ltd.		1,564,000		9,458,287		2,109,474
Fukuoka Financial Group, Inc.		1,035,000		4,326,674		611,530
GungHo Online Entertainment, Inc.		233,500		546,514		54,801
Gunma Bank Ltd. (The)		139,200		695,599		142,625
Hachijuni Bank Ltd. (The)		360,800		2,002,806		296,056
Hakuhodo DY Holdings, Inc.		30,400		355,726		49,132
Hankyu Hanshin Holdings, Inc.		95,200		3,088,782		340,825
Haseko Corp.		454,400		5,188,779		344,627
Hikari Tsushin, Inc.		23,000		2,158,664		264,519
Hirose Electric Co. Ltd.		8,600		1,152,594		78,105
Hiroshima Bank Ltd. (The)		419,000		1,705,871		159,272
Hisamitsu Pharmaceutical Co., Inc.		41,200		2,351,080		(375,802	)
Hitachi Chemical Co. Ltd.		391,600		10,541,043		1,199,363
Hitachi Construction Machinery Co. Ltd.		122,000		2,896,984		172,066
Hitachi High-Technologies Corp.		319,800		12,684,942		(230,991	)
Hitachi Ltd.		788,000		4,342,896		515,670
Hitachi Metals Ltd.		246,300		3,194,475		241,996
Hoshizaki Corp.		1,200		93,435		15,442
Hoya Corp.		42,900		2,009,044		224,389
Ibiden Co. Ltd.		3,900		57,213		10,236
Idemitsu Kosan Co. Ltd.		145,400		4,970,489		(834,048	)
IHI Corp.		200,000		643,425		40,052
Inpex Corp.		86,900		787,519		51,541
Isuzu Motors Ltd.		14,200		170,604		5,722
Ito En Ltd.		14,700		566,188		(29,494	)
Itochu Techno-Solutions Corp.		41,100		1,192,762		248,506
Izumi Co. Ltd.		8,900		446,028		60,040
JTEKT Corp.		276,000		4,169,780		(108,344	)
Kajima Corp.		1,049,000		7,214,696		1,651,053
Kaken Pharmaceutical Co. Ltd.		26,700		1,540,772		(82,890	)
Kamigumi Co. Ltd.		497,000		4,439,038		785,340
Kaneka Corp.		135,000		994,616		38,599
Kao Corp.		2,700		163,765		(3,227	)
Keisei Electric Railway Co. Ltd.		40,300		981,387		97,180

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Keyence Corp.		1,300	$	510,569	$	61,727
Kirin Holdings Co. Ltd.		104,000		2,156,008		(34,554	)
Kobayashi Pharmaceutical Co. Ltd.		14,300		750,625		99,292
Koito Manufacturing Co. Ltd.		9,300		482,995		(2,087	)
Konami Holdings Corp.		268,900		11,054,290		3,914,222
Kuraray Co. Ltd.		44,700		762,279		51,665
Kurita Water Industries Ltd.		46,800		1,171,949		108,222
Kyocera Corp.		6,800		399,156		(3,935	)
Kyowa Hakko Kirin Co. Ltd.		89,500		1,360,505		304,106
Kyushu Financial Group, Inc.		72,700		428,631		32,035
Lion Corp.		433,700		8,156,654		839,095
Mabuchi Motor Co. Ltd.		1,200		66,985		(7,006	)
Makita Corp.		7,500		275,949		1,807
Marubeni Corp.		396,300		2,411,317		156,173
Matsumotokiyoshi Holdings Co. Ltd.		21,700		1,069,411		166,714
Mazda Motor Corp.		96,600		1,330,643		26,481
McDonald’s Holdings Co. Japan Ltd.		2,200		80,760		3,636
Mebuki Financial Group, Inc.		67,700		258,882		(6,108	)
Medipal Holdings Corp.		229,900		3,696,236		566,585
MEIJI Holdings Co. Ltd.		22,400		1,898,127		(81,735	)
Miraca Holdings, Inc.		58,900		2,681,375		(28,573	)
Mitsubishi Corp.		69,100		1,489,474		(36,921	)
Mitsubishi Electric Corp.		89,700		1,232,991		64,304
Mitsubishi Gas Chemical Co., Inc.		390,500		7,811,592		482,395
Mitsubishi Tanabe Pharma Corp.		211,600		4,431,680		463,073
Mitsubishi UFJ Lease & Finance Co. Ltd.		660,500		3,169,841		454,023
Mitsui Chemicals, Inc.		810,000		3,780,373		533,180
Mizuho Financial Group, Inc.		1,130,200		1,973,749		98,443
MS&AD Insurance Group Holdings, Inc.		185,200		5,768,910		477,645
Nexon Co. Ltd.		119,900		1,911,495		466,826
NGK Insulators Ltd.		68,400		1,436,479		(65,186	)
NH Foods Ltd.		136,000		3,696,747		440,387
NHK Spring Co. Ltd.		422,800		4,471,395		(7,470	)
Nintendo Co. Ltd.		18,400		4,738,188		1,421,978
Nippon Electric Glass Co. Ltd.		80,000		2,673,603		244,605
Nippon Express Co. Ltd.		1,029,000		5,208,670		1,248,477
Nippon Shinyaku Co. Ltd.		56,500		3,043,565		573,241
Nippon Shokubai Co. Ltd.		42,600		2,736,690		14,982

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

AQR Funds Semi-Annual Report June 2017

149

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nippon Telegraph & Telephone Corp.		71,800	$	3,124,754	$	264,501
Nisshin Seifun Group, Inc.		216,220		3,230,560		324,009
Nitori Holdings Co. Ltd.		19,700		2,684,919		(47,813	)
Nitto Denko Corp.		55,300		4,121,689		445,059
NOK Corp.		48,200		1,046,190		(22,921	)
Nomura Holdings, Inc.		308,600		1,849,433		11,562
Nomura Research Institute Ltd.		44,600		1,618,767		143,223
NTN Corp.		240,000		1,100,977		15,834
NTT Data Corp.		117,000		1,240,181		65,146
Obayashi Corp.		540,900		5,129,955		1,242,999
Oji Holdings Corp.		706,000		3,271,206		384,106
Oracle Corp. Japan		13,900		800,712		103,451
ORIX Corp.		160,700		2,423,615		76,855
Osaka Gas Co. Ltd.		231,000		872,223		73,685
Panasonic Corp.		260,000		3,441,829		100,738
Persol Holdings Co. Ltd.		12,500		249,443		(14,590	)
Pola Orbis Holdings, Inc.		42,900		1,063,116		71,872
Recruit Holdings Co. Ltd.		75,300		1,357,148		(61,244	)
Resona Holdings, Inc.		2,120,800		10,638,665		1,076,236
Rohm Co. Ltd.		44,700		2,970,830		475,604
Sankyo Co. Ltd.		47,400		1,552,809		57,383
Secom Co. Ltd.		28,600		2,024,203		151,828
Sega Sammy Holdings, Inc.		184,600		2,408,190		80,627
Seiko Epson Corp.		141,300		2,914,290		238,452
Sekisui Chemical Co. Ltd.		208,300		3,341,706		395,914
Seven & i Holdings Co. Ltd.		125,600		5,264,291		(81,476	)
Sharp Corp.		283,000		1,026,361		22,639
Shimadzu Corp.		69,000		1,117,388		197,420
Shimamura Co. Ltd.		40,200		5,537,062		(608,864	)
Shimizu Corp.		409,000		3,679,394		666,483
Shin-Etsu Chemical Co. Ltd.		38,800		3,439,678		91,621
Shionogi & Co. Ltd.		188,400		9,906,420		598,366
SMC Corp.		2,600		802,433		(7,633	)
Sojitz Corp.		3,201,700		7,741,057		140,504
Sompo Holdings, Inc.		268,600		9,623,463		802,210
Sony Corp.		49,500		1,558,027		330,089
Square Enix Holdings Co. Ltd.		190,400		5,455,914		783,862
Stanley Electric Co. Ltd.		38,200		1,067,469		90,177
Start Today Co. Ltd.		163,400		3,733,239		293,703
Subaru Corp.		17,500		567,767		25,624
Sugi Holdings Co. Ltd.		7,600		351,479		55,772
Sumitomo Chemical Co. Ltd.		318,000		1,690,301		147,675
Sumitomo Corp.		179,800		2,380,932		(36,309	)
Sumitomo Dainippon Pharma Co. Ltd.		384,800		6,163,216		(910,737	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Sumitomo Electric Industries Ltd.		309,900	$	4,796,107	$	(1,826	)
Sumitomo Heavy Industries Ltd.		929,000		6,230,081		(65,580	)
Sumitomo Mitsui Financial Group, Inc.		94,300		3,308,841		373,052
Sumitomo Mitsui Trust Holdings, Inc.		129,200		4,261,225		379,548
Sumitomo Rubber Industries Ltd.		44,700		766,765		(9,748	)
Sundrug Co. Ltd.		34,200		1,163,248		112,492
Suntory Beverage & Food Ltd.		91,700		4,125,956		136,336
Suzuken Co. Ltd.		65,320		2,085,961		88,419
Suzuki Motor Corp.		63,200		2,541,190		469,530
Taiheiyo Cement Corp.		90,000		287,379		41,754
Taisei Corp.		923,000		6,933,161		1,509,101
Takashimaya Co. Ltd.		412,000		3,580,817		349,697
Takeda Pharmaceutical Co. Ltd.		67,600		3,428,450		3,533
TDK Corp.		9,800		604,995		42,804
Teijin Ltd.		33,900		618,197		35,975
THK Co. Ltd.		129,100		3,152,017		527,233
Toho Gas Co. Ltd.		17,000		126,335		(2,507	)
Tokio Marine Holdings, Inc.		76,600		3,193,239		(5,662	)
Tokyo Broadcasting System Holdings, Inc.		24,200		428,574		677
Tokyo Electric Power Co. Holdings, Inc.		353,100		1,456,688		1,033
Tokyo Electron Ltd.		4,800		603,266		45,660
Tokyo Gas Co. Ltd.		446,000		2,304,483		18,595
Tokyu Corp.		306,000		2,198,443		139,882
Toppan Printing Co. Ltd.		117,000		1,161,403		125,131
Tosoh Corp.		410,000		3,490,636		734,912
Toyo Seikan Group Holdings Ltd.		196,300		3,110,513		212,609
Toyo Suisan Kaisha Ltd.		79,900		2,978,646		86,842
Toyoda Gosei Co. Ltd.		199,900		4,832,169		(42,275	)
Toyota Boshoku Corp.		415,500		8,915,325		(1,088,570	)
Toyota Tsusho Corp.		88,400		2,621,300		36,516
Tsuruha Holdings, Inc.		10,100		971,012		102,251
USS Co. Ltd.		188,300		3,184,984		568,041
West Japan Railway Co.		6,200		453,298		(14,614	)
Yamaguchi Financial Group, Inc.		120,000		1,262,651		190,791
Yamaha Corp.		67,800		1,821,470		525,696
Yamazaki Baking Co. Ltd.		287,700		5,912,068		(176,211	)
Yokogawa Electric Corp.		198,300		3,101,059		90,246
						39,460,538
Total of Long Equity Positions						39,460,538

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(21,549	)	$	(1,236,567	)	$	(33,363	)
Acom Co. Ltd.		(1,785,930	)		(7,108,845	)		(1,065,847	)
Aeon Co. Ltd.		(400,700	)		(5,840,471	)		(254,019	)
AEON Financial Service Co. Ltd.		(449,600	)		(8,549,991	)		(991,470	)
Air Water, Inc.		(29,700	)		(541,985	)		(6,149	)
Alps Electric Co. Ltd.		(530,900	)		(14,111,769	)		(1,309,992	)
ANA Holdings, Inc.		(962,000	)		(2,823,648	)		(526,023	)
Asahi Intecc Co. Ltd.		(28,100	)		(1,175,206	)		(103,460	)
Asics Corp.		(436,200	)		(7,079,093	)		(1,027,513	)
Bank of Kyoto Ltd. (The)		(885,000	)		(6,289,067	)		(2,097,250	)
Bridgestone Corp.		(19,500	)		(849,401	)		6,385
Calbee, Inc.		(550,000	)		(18,912,481	)		(2,720,656	)
Canon, Inc.		(190,600	)		(5,866,724	)		(616,595	)
Casio Computer Co. Ltd.		(511,700	)		(7,070,740	)		(815,684	)
Central Japan Railway Co.		(16,600	)		(2,708,068	)		(2,992	)
Chiba Bank Ltd. (The)		(363,000	)		(2,247,815	)		(393,889	)
Chugai Pharmaceutical Co. Ltd.		(159,300	)		(5,463,277	)		(505,047	)
Chugoku Electric Power Co., Inc. (The)		(667,000	)		(7,326,556	)		(38,048	)
Concordia Financial Group Ltd.		(99,500	)		(441,260	)		(63,044	)
CyberAgent, Inc.		(85,600	)		(2,507,901	)		(150,542	)
Daiwa Securities Group, Inc.		(167,000	)		(984,544	)		(9,892	)
DeNA Co. Ltd.		(180,200	)		(3,853,458	)		(196,618	)
Dentsu, Inc.		(5,000	)		(267,380	)		27,515
Don Quijote Holdings Co. Ltd.		(150,500	)		(5,268,956	)		(449,264	)
East Japan Railway Co.		(24,800	)		(2,327,677	)		(48,069	)
Electric Power Development Co. Ltd.		(364,700	)		(8,169,051	)		(863,925	)
FamilyMart UNY Holdings Co. Ltd.		(133,000	)		(7,583,476	)		(32,887	)
FANUC Corp.		(22,500	)		(4,520,905	)		166,126
Hamamatsu Photonics KK		(200,700	)		(5,546,827	)		(638,180	)
Hino Motors Ltd.		(198,900	)		(2,284,878	)		64,044
Hitachi Capital Corp.		(20,100	)		(471,235	)		(13,440	)
Hokuriku Electric Power Co.		(483,100	)		(4,477,758	)		116,685
Honda Motor Co. Ltd.		(129,900	)		(3,634,291	)		75,280
Iida Group Holdings Co. Ltd.		(37,300	)		(613,626	)		(8,967	)
Isetan Mitsukoshi Holdings Ltd.		(107,700	)		(1,108,404	)		24,920
ITOCHU Corp.		(64,900	)		(941,239	)		(25,053	)
Iyo Bank Ltd. (The)		(563,200	)		(3,647,467	)		(1,030,829	)
J Front Retailing Co. Ltd.		(6,300	)		(91,372	)		(5,714	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Japan Airlines Co. Ltd.		(28,300	)	$	(849,962	)	$	(26,650	)
Japan Airport Terminal Co. Ltd.		(69,475	)		(2,352,729	)		(314,391	)
Japan Post Bank Co. Ltd.		(116,500	)		(1,407,808	)		(87,719	)
Japan Post Holdings Co. Ltd.		(109,000	)		(1,315,906	)		(39,986	)
Japan Tobacco, Inc.		(71,900	)		(2,359,923	)		(167,226	)
JFE Holdings, Inc.		(89,100	)		(1,432,760	)		(118,613	)
JGC Corp.		(209,800	)		(3,382,611	)		(34,890	)
JSR Corp.		(44,700	)		(743,033	)		(30,780	)
Kakaku.com, Inc.		(590,000	)		(8,306,126	)		(175,083	)
Kansai Paint Co. Ltd.		(290,200	)		(6,152,352	)		(547,263	)
Kawasaki Heavy Industries Ltd.		(1,150,000	)		(3,349,272	)		(73,844	)
KDDI Corp.		(10,500	)		(270,768	)		(6,932	)
Keikyu Corp.		(455,000	)		(4,997,262	)		(490,190	)
Keio Corp.		(129,000	)		(1,005,970	)		(75,341	)
Kewpie Corp.		(32,400	)		(823,680	)		(27,132	)
Kikkoman Corp.		(195,300	)		(5,828,696	)		(418,598	)
Kintetsu Group Holdings Co. Ltd.		(977,000	)		(3,507,406	)		(261,935	)
Kobe Steel Ltd.		(812,400	)		(6,976,097	)		(1,400,751	)
Konica Minolta, Inc.		(42,400	)		(336,297	)		(17,441	)
Kose Corp.		(13,500	)		(1,206,017	)		(274,538	)
Kubota Corp.		(114,900	)		(1,682,792	)		(259,340	)
Kyushu Electric Power Co., Inc.		(642,900	)		(6,904,324	)		(909,308	)
Kyushu Railway Co.		(39,600	)		(1,293,673	)		9,282
Lawson, Inc.		(18,700	)		(1,282,028	)		(26,655	)
LIXIL Group Corp.		(34,100	)		(834,004	)		(20,716	)
M3, Inc.		(112,211	)		(2,883,870	)		(211,625	)
Marui Group Co. Ltd.		(465,700	)		(6,129,049	)		(752,065	)
Maruichi Steel Tube Ltd.		(6,100	)		(173,237	)		(4,238	)
MINEBEA MITSUMI, Inc.		(150,340	)		(2,409,825	)		(21,466	)
MISUMI Group, Inc.		(197,700	)		(3,513,452	)		(1,017,761	)
Mitsubishi Chemical Holdings Corp.		(228,700	)		(1,779,841	)		(125,632	)
Mitsubishi Heavy Industries Ltd.		(1,157,000	)		(4,538,105	)		(225,447	)
Mitsubishi Logistics Corp.		(164,000	)		(2,125,122	)		(63,195	)
Mitsubishi Motors Corp.		(188,700	)		(1,222,716	)		(25,187	)
Mitsui OSK Lines Ltd.		(340,000	)		(990,102	)		(13,885	)
MonotaRO Co. Ltd.		(185,000	)		(5,791,266	)		(187,445	)
Murata Manufacturing Co. Ltd.		(67,600	)		(9,170,422	)		(1,149,802	)
Nabtesco Corp.		(29,100	)		(782,621	)		(66,053	)
Nagoya Railroad Co. Ltd.		(717,000	)		(3,295,947	)		(49,653	)
Nankai Electric Railway Co. Ltd.		(110,000	)		(533,754	)		(35,886	)

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

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151

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
NGK Spark Plug Co. Ltd.		(655,100	)	$	(13,803,136	)	$	(229,443	)
Nidec Corp.		(39,000	)		(3,917,932	)		(88,929	)
Nikon Corp.		(200,333	)		(2,848,414	)		(362,754	)
Nippon Paint Holdings Co. Ltd.		(207,200	)		(7,340,101	)		(542,772	)
Nippon Steel & Sumitomo Metal Corp.		(63,300	)		(1,370,145	)		(64,280	)
Nippon Yusen KK		(1,739,000	)		(3,490,252	)		239,212
Nissan Chemical Industries Ltd.		(41,600	)		(1,187,509	)		(190,986	)
Nissan Motor Co. Ltd.		(638,900	)		(5,950,646	)		(428,728	)
Nissin Foods Holdings Co. Ltd.		(54,700	)		(3,075,047	)		(345,323	)
NSK Ltd.		(6,200	)		(77,289	)		(730	)
Obic Co. Ltd.		(22,500	)		(1,093,251	)		(292,208	)
Odakyu Electric Railway Co. Ltd.		(325,000	)		(6,170,852	)		(397,648	)
Olympus Corp.		(47,300	)		(1,745,029	)		12,032
Omron Corp.		(5,600	)		(241,280	)		(2,484	)
Ono Pharmaceutical Co. Ltd.		(282,500	)		(5,860,371	)		(301,346	)
Orient Corp.		(1,244,300	)		(2,157,246	)		(16,293	)
Oriental Land Co. Ltd.		(62,500	)		(3,611,724	)		(624,216	)
Park24 Co. Ltd.		(20,000	)		(525,167	)		16,240
Pigeon Corp.		(44,000	)		(1,387,663	)		(211,971	)
Rakuten, Inc.		(188,200	)		(1,945,078	)		(275,854	)
Ricoh Co. Ltd.		(1,704,000	)		(13,486,498	)		(1,608,597	)
Rinnai Corp.		(24,200	)		(1,909,699	)		(351,218	)
Ryohin Keikaku Co. Ltd.		(37,100	)		(8,399,888	)		(885,528	)
Santen Pharmaceutical Co. Ltd.		(335,200	)		(4,522,129	)		(30,936	)
Sawai Pharmaceutical Co. Ltd.		(42,100	)		(2,233,978	)		(130,456	)
Seibu Holdings, Inc.		(497,200	)		(8,390,661	)		(821,712	)
Sekisui House Ltd.		(91,000	)		(1,446,100	)		(162,198	)
Seven Bank Ltd.		(3,989,600	)		(13,606,545	)		(697,992	)
Shikoku Electric Power Co., Inc.		(638,273	)		(6,946,412	)		(587,880	)
Shimano, Inc.		(63,100	)		(9,139,998	)		(878,931	)
Shinsei Bank Ltd.		(760,000	)		(1,269,775	)		(61,564	)
Shizuoka Bank Ltd. (The)		(484,000	)		(3,805,666	)		(583,892	)
SoftBank Group Corp.		(7,400	)		(605,390	)		3,843
Sohgo Security Services Co. Ltd.		(51,000	)		(2,176,632	)		(125,513	)
Sony Financial Holdings, Inc.		(810,500	)		(12,393,171	)		(1,467,987	)
Sosei Group Corp.		(30,300	)		(3,113,820	)		(219,232	)
Sumco Corp.		(48,800	)		(722,455	)		13,150
Sumitomo Metal Mining Co. Ltd.		(256,000	)		(3,284,810	)		(136,907	)
Suruga Bank Ltd.		(58,900	)		(1,291,320	)		(141,156	)
Sysmex Corp.		(87,300	)		(5,294,450	)		69,220
T&D Holdings, Inc.		(95,900	)		(1,369,405	)		(97,111	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Taisho Pharmaceutical Holdings Co. Ltd.		(1,400	)	$	(112,186	)	$	5,513
Taiyo Nippon Sanso Corp.		(307,216	)		(3,505,035	)		39,868
Terumo Corp.		(6,300	)		(255,171	)		6,579
Tobu Railway Co. Ltd.		(194,000	)		(957,745	)		(102,168	)
Toho Co. Ltd.		(27,900	)		(754,617	)		(105,818	)
Tohoku Electric Power Co., Inc.		(31,200	)		(422,603	)		(9,801	)
Toray Industries, Inc.		(508,700	)		(4,425,517	)		157,692
TOTO Ltd.		(55,700	)		(2,092,694	)		(41,440	)
Toyota Industries Corp.		(146,800	)		(6,902,531	)		(861,766	)
Toyota Motor Corp.		(89,572	)		(4,671,397	)		(36,821	)
Trend Micro, Inc.		(38,600	)		(1,813,913	)		(181,053	)
Unicharm Corp.		(27,300	)		(648,348	)		(38,956	)
Yahoo Japan Corp.		(1,648,200	)		(7,607,886	)		442,788
Yakult Honsha Co. Ltd.		(135,068	)		(7,697,392	)		(1,509,257	)
Yamada Denki Co. Ltd.		(1,202,370	)		(5,895,792	)		(82,448	)
Yamaha Motor Co. Ltd.		(155,000	)		(3,478,178	)		(543,974	)
Yamato Holdings Co. Ltd.		(173,000	)		(3,612,150	)		97,555
Yaskawa Electric Corp.		(510,500	)		(9,763,432	)		(1,106,164	)
Yokohama Rubber Co. Ltd. (The)		(68,100	)		(1,323,563	)		(49,278	)
								(42,238,873	)
Total of Short Equity Positions								(42,238,873	)
Total of Long and Short Equity Positions								(2,778,335	)
Net Cash and Other Receivables/ (Payables) (b)								18,872
Swaps, at Value							$	(2,759,463	)

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

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

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

AQR Funds Semi-Annual Report June 2017

152

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap.	43-46 months maturity 01/14/2021		$279,463

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Norway
DNB ASA		133,429		$	2,179,527		$	92,074
Gjensidige Forsikring ASA		29,520			450,737			53,167
Marine Harvest ASA		100,894			1,761,566			(35,349	)
Norsk Hydro ASA		285,696			1,637,974			(56,930	)
Orkla ASA		294,517			2,713,986			279,489
								332,451
United Kingdom
Subsea 7 SA		154,937			2,495,998			(406,914	)
Total of Long Equity Positions								(74,463	)
Short Positions
Common Stocks
Norway
Schibsted ASA		(194,407	)		(4,861,788	)		166,301
Statoil ASA		(116,857	)		(2,054,312	)		116,573

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Norway (continued)
Telenor ASA		(73,816	)	$	(1,226,633	)	$	2,008
Yara International ASA		(48,676	)		(1,889,931	)		59,603
								344,485
Total of Short Equity Positions								344,485
Total of Long and Short Equity Positions								270,022
Net Cash and Other Receivables/ (Payables) (b)								9,441
Swaps, at Value							$	279,463

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

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

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

AQR Funds Semi-Annual Report June 2017

153

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	43-52 months maturity 01/14/2021		$(1,121,629	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Aberdeen Asset Management plc		2,013,405		$	7,157,593		$	769,390
Amec Foster Wheeler plc		2,840,590			19,511,447			(2,208,108	)
								(1,438,718	)
Total of Long Equity Positions								(1,438,718	)
Short Positions
Common Stocks
United Kingdom
British American Tobacco plc		(293,981	)		(18,179,141	)		(1,853,585	)
John Wood Group plc		(2,130,347	)		(20,694,321	)		2,894,860
Standard Life plc		(1,523,223	)		(7,286,783	)		(633,981	)
								407,294
Total of Short Equity Positions								407,294
Total of Long and Short Equity Positions								(1,031,424	)
Net Cash and Other Receivables/ (Payables) (b)								(90,205	)
Swaps, at Value							$	(1,121,629	)

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

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

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

AQR Funds Semi-Annual Report June 2017

154

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	43-52 months maturity 01/14/2021		$3,295,111

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
BCE, Inc.		983		$	38,664		$	5,605
Canadian Imperial Bank of Commerce		9			506			226
Veresen, Inc.		2,759,000			38,732,417			286,754
								292,585
Total of Long Equity Positions								292,585
Short Positions
Common Stocks
Canada
Fairfax Financial Holdings Ltd.		(6,883	)		(3,140,251	)		157,282
MacDonald Dettwiler & Associates Ltd.		(117,057	)		(5,898,787	)		(192,365	)
Pembina Pipeline Corp.		(872,120	)		(28,466,082	)		(418,521	)
								(453,604	)
Total of Short Equity Positions								(453,604	)
Total of Long and Short Equity Positions								(161,019	)
Net Cash and Other Receivables/ (Payables) (b)								3,456,130
Swaps, at Value							$	3,295,111

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

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

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

AQR Funds Semi-Annual Report June 2017

155

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	43-61 months maturity 01/14/2021	$	11,831,059

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Agrium, Inc.		12,762	$	1,168,893	$	(14,060	)
Novadaq Technologies, Inc.		95,600		1,117,235		3,197
						(10,863	)
Hong Kong
Nord Anglia Education, Inc.		78,953		2,554,953		16,546
Netherlands
NXP Semiconductors NV		413,101		41,158,681		4,055,223
United States
Akorn, Inc.		690,688		22,930,093		235,583
Albany Molecular Research, Inc.		190,300		4,095,648		33,862
Alere, Inc.		298,459		15,879,965		(900,308	)
Allied World Assurance Co. Holdings AG		118,805		6,213,813		70,972
Astoria Financial Corp.		344,647		7,238,607		(293,970	)
Atwood Oceanics, Inc.		597,465		5,290,206		(420,866	)
Brocade Communications Systems, Inc.		2,928,840		36,244,026		688,646
Cabela’s, Inc.		12,337		767,059		(33,994	)
Capital Bank Financial Corp.		189,807		7,249,856		(18,209	)
Care Capital Properties, Inc.		595,726		16,493,392		(587,508	)
CR Bard, Inc.		76,410		23,231,141		922,824
CU Bancorp		118,665		4,394,618		(104,879	)
DigitalGlobe, Inc.		374,056		11,855,800		600,264
DuPont Fabros Technology, Inc.		548,194		33,636,071		(108,526	)
EI du Pont de Nemours & Co.		212,833		17,188,324		(10,573	)
Eldorado Resorts, Inc.		5,000		65,206		34,794
FelCor Lodging Trust, Inc.		917,985		6,553,795		64,877

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
First Potomac Realty Trust		19,683	$	218,206	$	472
Forestar Group, Inc.		257,538		4,031,098		385,679
General Communication, Inc.		53,448		1,927,292		31,043
Genworth Financial, Inc.		1,190,243		5,565,198		(1,077,982	)
Huntsman Corp.		1,276,847		32,927,817		65,909
Kate Spade & Co.		1,123,531		20,651,549		122,539
KCG Holdings, Inc.		339,780		6,709,915		65,298
Lattice Semiconductor Corp.		859,013		6,395,270		(674,243	)
Level 3 Communications, Inc.		590,507		34,300,009		717,056
Mobileye NV		593,614		36,212,263		1,066,696
Monsanto Co.		161,452		16,723,153		2,386,306
NeuStar, Inc.		137,039		4,548,206		22,045
Noble Energy, Inc.		11,124		413,216		(98,407	)
Pacific Continental Corp.		196,298		5,119,700		(104,286	)
Panera Bread Co.		70,524		22,024,689		164,982
PAREXEL International Corp.		268,131		23,362,275		(59,010	)
Park Sterling Corp.		28,494		331,387		7,122
Parkway, Inc.		21,458		490,938		236
Patheon NV		165,705		5,732,914		46,876
Reynolds American, Inc.		558,900		32,395,005		3,955,851
Rice Energy, Inc.		1,045,249		25,709,289		2,125,692
Rockwell Collins, Inc.		7		567		169
Spectranetics Corp. (The)		259,759		9,974,494		251
Staples, Inc.		1,160,648		11,720,471		(32,745	)
Stonegate Bank		94,570		4,407,094		(39,852	)
Straight Path Communications, Inc.		34,000		3,075,045		3,033,055
Swift Transportation Co.		432,451		10,334,401		1,125,551
Time Warner, Inc.		516,059		48,216,140		3,601,345
United Bankshares, Inc.		9,739		369,199		12,570
VCA, Inc.		400,459		36,418,854		547,516
VWR Corp.		129,354		4,261,473		8,502
West Corp.		383,437		8,865,284		76,466

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

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156

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Westar Energy, Inc.		435,629		$	24,366,969		$	(1,269,920	)
WGL Holdings, Inc.		120,467			10,031,351			19,211
Whole Foods Market, Inc.		384,079			16,114,997			58,570
Xactly Corp.		74,665			1,170,982			(2,475	)
Xcerra Corp.		476,792			4,645,300			12,957
								16,474,034
Total of Long Equity Positions								20,534,940
Short Positions
Common Stocks
Canada
Enbridge, Inc.		(1	)		(43	)		4
Potash Corp. of Saskatchewan, Inc.		(71,094	)	��	(1,171,292	)		12,460
								12,464
United States
Analog Devices, Inc.		(1	)		(73	)		(5	)
AT&T, Inc.		(534,703	)		(20,409,843	)		235,499
Becton Dickinson and Co.		(38,793	)		(6,930,714	)		(638,188	)
CBOE Holdings, Inc.		(1	)		(77	)		(15	)
CenturyLink, Inc.		(843,597	)		(21,357,742	)		1,212,646
Columbia Banking System, Inc.		(126,220	)		(5,278,599	)		248,732
Digital Realty Trust, Inc.		(298,624	)		(33,963,518	)		233,937
Dow Chemical Co. (The)		(272,854	)		(17,425,847	)		216,945
Ensco plc		(955,730	)		(5,349,684	)		418,117
EQT Corp.		(386,742	)		(20,612,026	)		(2,047,187	)
First Horizon National Corp.		(332,244	)		(5,851,995	)		64,304
FNB Corp.		(1	)		(13	)		(1	)
Gartner, Inc.		(2	)		(200	)		(48	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Great Plains Energy, Inc.		(82,604	)	$	(2,408,920	)	$	(9,725	)
Home BancShares, Inc.		(52,684	)		(1,352,293	)		40,461
Knight Transportation, Inc.		(311,444	)		(10,462,295	)		(1,076,705	)
Liberty Ventures		(33,672	)		(1,759,967	)		(742	)
PacWest Bancorp		(62,969	)		(3,080,590	)		139,938
Praxair, Inc.		(86,191	)		(10,179,236	)		(1,245,381	)
Regency Centers Corp.		(10	)		(693	)		66
RLJ Lodging Trust		(332,553	)		(6,711,869	)		104,041
Sabra Health Care REIT, Inc.		(669,010	)		(16,603,793	)		480,652
South State Corp.		(3,989	)		(336,416	)		(5,441	)
Sterling Bancorp		(301,753	)		(7,362,310	)		346,553
Tesoro Corp.		(34,001	)		(2,776,544	)		(405,949	)
UnitedHealth Group, Inc.		(8	)		(1,328	)		(156	)
Veeco Instruments, Inc.		(1	)		(31	)		3
								(1,687,649	)
Total of Short Equity Positions								(1,675,185	)
Total of Long and Short Equity Positions								18,859,755
Net Cash and Other Receivables/ (Payables) (b)								(7,028,696	)
Swaps, at Value							$	11,831,059

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

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

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

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157

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	43-50 months maturity 01/14/2021		$(2,341,445	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Zodiac Aerospace		620,520		$	19,886,817		$	(3,028,283	)
Germany
Linde AG		54,946			9,928,560			530,584
STADA Arzneimittel AG		132,004			9,226,873			149,503
								680,087
Italy
Luxottica Group SpA		601,099			35,282,778			(293,987	)
Total of Long Equity Positions								(2,642,183	)
Short Positions
Common Stocks
France
Essilor International SA		(277,105	)		(35,737,235	)		485,947
Total of Long and Short Equity Positions								(2,156,236	)
Net Cash and Other Receivables/ (Payables) (b)								(185,209	)
Swaps, at Value							$	(2,341,445	)

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

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

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

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158

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	43-44 months maturity 01/14/2021	$	1,690,161

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Switzerland
Idorsia Ltd.		90,859		$	23,242		$	1,691,794
Short Positions
Common Stocks
Switzerland
Clariant AG (Registered)		(1,557,225	)		(34,358,652	)		(15,177	)
Total of Long and Short Equity Positions								1,676,617
Net Cash and Other Receivables/ (Payables) (b)								13,544
Swaps, at Value							$	1,690,161

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

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

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

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159

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	24-25 months maturity 05/22/2018		$4,907

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Canada
BCE, Inc.		(1,911	)	$	(91,953	)	$	5,893
Net Cash and Other Receivables/ (Payables) (b)								(986	)
Swaps, at Value							$	4,907

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

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

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Cash		$(1,590,000	)		$—			$(1,590,000	)
Investment Companies		6,730,000			—			6,730,000
BARC
Cash		—			116,740,597			116,740,597
CITG
Cash		—			(17,003,968	)		(17,003,968	)
Investment Companies		—			10,614,335			10,614,335
DTBK
Investment Companies		35,306,742			—			35,306,742
GSCO
Cash		—			19,406,005			19,406,005
GSIN
Cash		(3,810,000	)		—			(3,810,000	)
Investment Companies		67,885,185			—			67,885,185
JPMC
Investment Companies		704,021,515			—			704,021,515
JPMS
Cash		—			11,542,017			11,542,017
MSCL
Cash		—			1,390,517			1,390,517
MSCS
Cash		63,842,224			—			63,842,224

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

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160

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Cash		$(1,250,000	)		$—			$(1,250,000	)
Investment Companies		3,862,465			—			3,862,465
GSCO
Cash		—			3,572,131			3,572,131
GSIN
Cash		2,290,000			—			2,290,000
JPPC
Cash		—			3,452,411			3,452,411
MACQ
Cash		1,580,000			—			1,580,000
MLIN
Cash		3,446,665			—			3,446,665
MSCL
Cash		—			(2,163,029	)		(2,163,029	)
U.S. Treasury Bills		—			18,570,980			18,570,980
SOCG
Cash		1,190,000			—			1,190,000

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

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161

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 87.7%
INVESTMENT COMPANIES - 46.6%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (a)(b)		2,254,876	$	2,254,876
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (a)(b)		9,019,503		9,019,503
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (a)(b)(c)		17,829,495		17,829,495
Limited Purpose Cash Investment Fund, 0.81% (a)		55,021,330		55,015,828
UBS Select Treasury Preferred Fund, Class I, 0.85% (a)(b)		11,274,379		11,274,379
TOTAL INVESTMENT COMPANIES (Cost $95,394,081)				95,394,081
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 41.1%
U.S. Treasury Bills
0.63%, 7/6/2017 (d)	$	1,355,000		1,354,915
0.59%, 7/13/2017 (d)		2,233,000		2,232,520
0.61%, 7/20/2017 (d)		7,500,000		7,497,232
0.62%, 8/10/2017 (b)(d)		22,001,000		21,980,759
0.65%, 8/17/2017 (d)		3,204,000		3,200,379
0.67%, 8/24/2017 (d)		9,080,000		9,067,960
0.91%, 10/5/2017 (b)(d)		1,457,000		1,453,139
0.98%, 11/2/2017 (d)		287,000		285,986

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 41.1% (continued)
1.03%, 11/16/2017 (b)(d)	$	27,408,000	$	27,299,026
1.06%, 11/24/2017 (d)		2,232,000		2,222,538
1.06%, 11/30/2017 (b)(d)		3,308,000		3,293,448
1.07%, 12/7/2017 (d)		2,189,000		2,178,786
1.11%, 12/14/2017 (d)		1,998,000		1,988,284
TOTAL U.S. TREASURY OBLIGATIONS (Cost $84,065,691)				84,054,972
TOTAL SHORT-TERM INVESTMENTS (Cost $179,459,772)				179,449,053
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 87.7% (Cost $179,459,772)				179,449,053
OTHER ASSETS IN EXCESS OF LIABILITIES - 12.3% (e)			25,116,942
NET ASSETS - 100.0%			$	204,565,995

(a) Represents 7-day effective yield as of 6/30/2017.

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

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

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

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

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

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CITI	Coffee ‘C’ September Futures^	08/2017	USD		2,019,591			$(181,229	)
MACQ	Coffee ‘C’ September Futures^	08/2017	USD		562,694			(44,182	)
SOCG	Coffee ‘C’ September Futures^	08/2017	USD		1,447,019			(127,169	)
CITI	Corn September Futures^	08/2017	USD		2,613,863			(80,213	)
GSIN	Corn September Futures^	08/2017	USD		805,203			(5,103	)
MACQ	Corn September Futures^	08/2017	USD		6,337,065			63,735
CITI	Cotton No. 2 December Futures^	11/2017	USD		4,223,885			(279,960	)
GSIN	Cotton No. 2 December Futures^	11/2017	USD		330,955			(22,300	)
GSIN	Lean Hogs August Futures^	08/2017	USD		(67,000	)		—
GSIN	Lean Hogs August Futures^	08/2017	USD		315,200			19,800
SOCG	Lean Hogs August Futures^	08/2017	USD		914,306			23,695
SOCG	Lean Hogs August Futures^	08/2017	USD		(722,795	)		(14,205	)
SOCG	Lean Hogs July Futures^	07/2017	USD		1,214,246			235,754
SOCG	Lean Hogs July Futures^	07/2017	USD		(1,291,691	)		(158,309	)
GSIN	Lean Hogs October Futures^	10/2017	USD		56,576			(216	)
SOCG	Lean Hogs October Futures^	10/2017	USD		56,142			218
MACQ	Live Cattle August Futures^	08/2017	USD		5,034,066			(195,986	)
MACQ	Live Cattle August Futures^	08/2017	USD		(973,046	)		(3,874	)
SOCG	Live Cattle August Futures^	08/2017	USD		4,846,041			(147,521	)
SOCG	Live Cattle August Futures^	08/2017	USD		(926,166	)		(4,234	)

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

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162

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MACQ	Live Cattle October Futures^	10/2017		USD		962,189			$ 5,491
SOCG	Live Cattle October Futures^	10/2017		USD		915,890			5,710
GSIN	Soybean Meal December Futures^	11/2017		USD		(2,637,870	)		(7,330	)
GSIN	Soybean Meal December Futures^	11/2017		USD		2,696,546			(51,346	)
SOCG	Soybean Meal December Futures^	11/2017		USD		(7,444,695	)		(117,465	)
CITI	Soybean November Futures^	10/2017		USD		5,402,060			(55,460	)
MACQ	Soybean November Futures^	10/2017		USD		(138,293	)		(4,919	)
MACQ	Soybean November Futures^	10/2017		USD		2,319,565			(28,165	)
SOCG	Soybean November Futures^	10/2017		USD		965,872			(11,122	)
SOCG	Soybean Oil December Futures^	11/2017		USD		306,187			13,877
CITI	Wheat September Futures^	08/2017		USD		857,880			62,620
CITI	Wheat September Futures^	08/2017		USD		(5,724,683	)		(981,817	)
GSIN	Wheat September Futures^	08/2017		USD		(516,339	)		(88,561	)
MACQ	Wheat September Futures^	08/2017		USD		(3,208,640	)		(552,260	)
SOCG	Wheat September Futures^	08/2017		USD		(3,004,256	)		(519,944	)
SOCG	Wheat September Futures^	08/2017		USD		331,531			36,669
									$(3,215,321	)

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

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
231	GSCO	Brent Crude Futures^		08/2017		$11,268,401		$11,328,240		$59,839
26	MSCL	Cocoa Futures^		09/2017		493,004		504,400		11,396
247	MSCL	Coffee ‘C’ Futures^		09/2017		12,392,104		11,642,963		(749,141	)
908	MSCL	Corn Futures^		09/2017		17,143,870		17,297,400		153,530
238	GSCO	Gas Oil Futures^		09/2017		10,238,476		10,400,600		162,124
383	MSCL	Gold 100 OZ Futures^		08/2017		48,243,856		47,580,090		(663,766	)
96	MSCL	Gold 100 OZ Futures^		12/2017		12,001,861		11,996,160		(5,701	)
73	MSCL	Heating Oil ULSD Futures^		08/2017		4,439,742		4,570,486		130,744
95	MSCL	Lean Hogs Futures^		08/2017		3,087,568		3,182,500		94,932
23	MSCL	Lean Hogs Futures^		10/2017		645,166		648,140		2,974
196	MSCL	Live Cattle Futures^		08/2017		9,462,390		9,117,920		(344,470	)
48	MSCL	Live Cattle Futures^		10/2017		2,196,836		2,211,840		15,004
27	JPPC	LME Aluminum Futures^		07/2017		1,323,066		1,291,477		(31,589	)
10	JPPC	LME Aluminum Futures^		07/2017		478,461		478,125		(336	)
4	JPPC	LME Aluminum Futures^		08/2017		191,010		191,275		265
9	JPPC	LME Aluminum Futures^		08/2017		427,540		430,688		3,148
28	JPPC	LME Aluminum Futures^		09/2017		1,344,069		1,341,438		(2,631	)
33	JPPC	LME Aluminum Futures^		09/2017		1,551,085		1,582,969		31,884
894	JPPC	LME Aluminum Futures^		09/2017		43,485,298		42,900,825		(584,473	)
75	JPPC	LME Aluminum Futures^		09/2017		3,525,034		3,598,782		73,748
73	JPPC	LME Aluminum Futures^		09/2017		3,429,304		3,501,719		72,415
24	JPPC	LME Aluminum Futures^		09/2017		1,122,748		1,151,358		28,610
8	JPPC	LME Copper Futures^		07/2017		1,179,020		1,185,472		6,452
8	JPPC	LME Copper Futures^		07/2017		1,141,420		1,185,800		44,380
15	JPPC	LME Copper Futures^		07/2017		2,117,099		2,220,937		103,838
2	JPPC	LME Copper Futures^		09/2017		283,580		296,813		13,233
16	JPPC	LME Copper Futures^		09/2017		2,280,925		2,375,160		94,235

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

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163

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
15	JPPC	LME Copper Futures^		09/2017		$ 2,124,776		$ 2,227,336		$ 102,560
302	JPPC	LME Copper Futures^		09/2017		43,751,792		44,848,887		1,097,095
1	JPPC	LME Copper Futures^		09/2017		145,252		148,423		3,171
7	JPPC	LME Lead Futures^		07/2017		405,146		397,887		(7,259	)
3	JPPC	LME Lead Futures^		07/2017		168,009		170,813		2,804
4	JPPC	LME Lead Futures^		07/2017		224,810		227,814		3,004
8	JPPC	LME Lead Futures^		07/2017		432,020		456,458		24,438
7	JPPC	LME Lead Futures^		08/2017		379,822		400,150		20,328
3	JPPC	LME Lead Futures^		08/2017		165,907		171,642		5,735
8	JPPC	LME Lead Futures^		08/2017		415,620		458,160		42,540
2	JPPC	LME Lead Futures^		09/2017		105,105		114,580		9,475
6	JPPC	LME Lead Futures^		09/2017		314,363		343,977		29,614
117	JPPC	LME Lead Futures^		09/2017		6,602,659		6,709,219		106,560
11	JPPC	LME Lead Futures^		09/2017		604,824		630,300		25,476
3	JPPC	LME Lead Futures^		09/2017		170,407		171,900		1,493
13	JPPC	LME Lead Futures^		09/2017		752,607		744,900		(7,707	)
2	JPPC	LME Nickel Futures^		07/2017		123,535		112,171		(11,364	)
10	JPPC	LME Nickel Futures^		07/2017		584,425		561,060		(23,365	)
5	JPPC	LME Nickel Futures^		07/2017		291,612		280,547		(11,065	)
7	JPPC	LME Nickel Futures^		07/2017		398,597		392,935		(5,662	)
1	JPPC	LME Nickel Futures^		07/2017		55,592		56,158		566
8	JPPC	LME Nickel Futures^		08/2017		434,934		449,493		14,559
9	JPPC	LME Nickel Futures^		08/2017		502,602		506,029		3,427
8	JPPC	LME Nickel Futures^		08/2017		435,196		449,866		14,670
1	JPPC	LME Nickel Futures^		09/2017		53,258		56,290		3,032
182	JPPC	LME Nickel Futures^		09/2017		10,832,989		10,251,150		(581,839	)
17	JPPC	LME Nickel Futures^		09/2017		917,154		957,423		40,269
2	JPPC	LME Nickel Futures^		09/2017		109,762		112,668		2,906
5	JPPC	LME Nickel Futures^		09/2017		279,720		281,700		1,980
9	JPPC	LME Zinc Futures^		07/2017		629,572		619,537		(10,035	)
12	JPPC	LME Zinc Futures^		07/2017		772,529		826,500		53,971
3	JPPC	LME Zinc Futures^		07/2017		195,307		206,643		11,336
1	JPPC	LME Zinc Futures^		08/2017		63,727		68,932		5,205
7	JPPC	LME Zinc Futures^		08/2017		460,122		482,547		22,425
9	JPPC	LME Zinc Futures^		08/2017		579,156		620,433		41,277
7	JPPC	LME Zinc Futures^		08/2017		439,734		482,475		42,741
6	JPPC	LME Zinc Futures^		08/2017		394,075		413,682		19,607
9	JPPC	LME Zinc Futures^		09/2017		577,271		620,719		43,448
13	JPPC	LME Zinc Futures^		09/2017		807,657		896,799		89,142
6	JPPC	LME Zinc Futures^		09/2017		378,090		414,000		35,910
214	JPPC	LME Zinc Futures^		09/2017		14,561,503		14,766,000		204,497
3	JPPC	LME Zinc Futures^		09/2017		205,189		206,850		1,661
19	JPPC	LME Zinc Futures^		09/2017		1,307,565		1,310,050		2,485
209	MSCL	Natural Gas Futures^		08/2017		6,250,865		6,334,790		83,925
219	MSCL	Silver Futures^		09/2017		19,202,906		18,206,565		(996,341	)
349	MSCL	Soybean Futures^		11/2017		16,804,492		16,660,387		(144,105	)
348	MSCL	Soybean Meal Futures^		12/2017		11,018,243		10,829,760		(188,483	)
485	MSCL	Soybean Oil Futures^		12/2017		9,269,029		9,701,940		432,911
894	MSCL	Sugar #11 (World Markets) Futures^		09/2017		15,190,653		13,827,677		(1,362,976	)
429	MSCL	Wheat Futures^		09/2017		10,001,898		11,282,700		1,280,802
575	MSCL	WTI Crude Futures^		08/2017		26,442,497		26,616,750		174,253
						402,827,508		402,299,249		(528,259	)

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

AQR Funds Semi-Annual Report June 2017

164

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
28	MSCL	Cotton No. 2 Futures^		12/2017		$(958,588	)		$(960,260	)		$(1,672	)
129	MSCL	Gasoline RBOB Futures^		08/2017		(7,851,943	)		(8,140,003	)		(288,060	)
27	JPPC	LME Aluminum Futures^		07/2017		(1,322,239	)		(1,291,477	)		30,762
10	JPPC	LME Aluminum Futures^		07/2017		(479,976	)		(478,125	)		1,851
4	JPPC	LME Aluminum Futures^		08/2017		(191,100	)		(191,275	)		(175	)
9	JPPC	LME Aluminum Futures^		08/2017		(426,803	)		(430,688	)		(3,885	)
28	JPPC	LME Aluminum Futures^		09/2017		(1,352,668	)		(1,341,438	)		11,230
33	JPPC	LME Aluminum Futures^		09/2017		(1,546,431	)		(1,582,968	)		(36,537	)
240	JPPC	LME Aluminum Futures^		09/2017		(11,369,351	)		(11,517,000	)		(147,649	)
75	JPPC	LME Aluminum Futures^		09/2017		(3,520,461	)		(3,598,781	)		(78,320	)
73	JPPC	LME Aluminum Futures^		09/2017		(3,420,664	)		(3,501,719	)		(81,055	)
24	JPPC	LME Aluminum Futures^		09/2017		(1,121,341	)		(1,151,358	)		(30,017	)
8	JPPC	LME Copper Futures^		07/2017		(1,177,306	)		(1,185,472	)		(8,166	)
8	JPPC	LME Copper Futures^		07/2017		(1,137,808	)		(1,185,800	)		(47,992	)
15	JPPC	LME Copper Futures^		07/2017		(2,111,684	)		(2,220,938	)		(109,254	)
2	JPPC	LME Copper Futures^		09/2017		(284,287	)		(296,813	)		(12,526	)
16	JPPC	LME Copper Futures^		09/2017		(2,273,961	)		(2,375,160	)		(101,199	)
15	JPPC	LME Copper Futures^		09/2017		(2,123,588	)		(2,227,335	)		(103,747	)
34	JPPC	LME Copper Futures^		09/2017		(4,878,567	)		(5,049,213	)		(170,646	)
1	JPPC	LME Copper Futures^		09/2017		(145,581	)		(148,423	)		(2,842	)
7	JPPC	LME Lead Futures^		07/2017		(403,991	)		(397,887	)		6,104
3	JPPC	LME Lead Futures^		07/2017		(168,249	)		(170,813	)		(2,564	)
4	JPPC	LME Lead Futures^		07/2017		(224,336	)		(227,814	)		(3,478	)
8	JPPC	LME Lead Futures^		07/2017		(431,886	)		(456,458	)		(24,572	)
7	JPPC	LME Lead Futures^		08/2017		(379,383	)		(400,150	)		(20,767	)
3	JPPC	LME Lead Futures^		08/2017		(163,999	)		(171,643	)		(7,644	)
8	JPPC	LME Lead Futures^		08/2017		(416,891	)		(458,160	)		(41,269	)
2	JPPC	LME Lead Futures^		09/2017		(105,412	)		(114,580	)		(9,168	)
6	JPPC	LME Lead Futures^		09/2017		(313,935	)		(343,977	)		(30,042	)
38	JPPC	LME Lead Futures^		09/2017		(2,090,982	)		(2,179,063	)		(88,081	)
11	JPPC	LME Lead Futures^		09/2017		(599,473	)		(630,300	)		(30,827	)
3	JPPC	LME Lead Futures^		09/2017		(170,122	)		(171,900	)		(1,778	)
13	JPPC	LME Lead Futures^		09/2017		(752,018	)		(744,900	)		7,118
2	JPPC	LME Nickel Futures^		07/2017		(123,835	)		(112,171	)		11,664
10	JPPC	LME Nickel Futures^		07/2017		(585,623	)		(561,060	)		24,563
5	JPPC	LME Nickel Futures^		07/2017		(291,866	)		(280,547	)		11,319
7	JPPC	LME Nickel Futures^		07/2017		(397,101	)		(392,935	)		4,166
1	JPPC	LME Nickel Futures^		07/2017		(55,431	)		(56,159	)		(728	)
8	JPPC	LME Nickel Futures^		08/2017		(435,340	)		(449,492	)		(14,152	)
9	JPPC	LME Nickel Futures^		08/2017		(501,093	)		(506,029	)		(4,936	)
8	JPPC	LME Nickel Futures^		08/2017		(436,060	)		(449,866	)		(13,806	)
1	JPPC	LME Nickel Futures^		09/2017		(53,393	)		(56,290	)		(2,897	)
24	JPPC	LME Nickel Futures^		09/2017		(1,389,343	)		(1,351,800	)		37,543
17	JPPC	LME Nickel Futures^		09/2017		(910,818	)		(957,423	)		(46,605	)
2	JPPC	LME Nickel Futures^		09/2017		(109,339	)		(112,668	)		(3,329	)
5	JPPC	LME Nickel Futures^		09/2017		(279,205	)		(281,700	)		(2,495	)
9	JPPC	LME Zinc Futures^		07/2017		(627,948	)		(619,537	)		8,411
12	JPPC	LME Zinc Futures^		07/2017		(775,075	)		(826,500	)		(51,425	)
3	JPPC	LME Zinc Futures^		07/2017		(194,815	)		(206,644	)		(11,829	)
1	JPPC	LME Zinc Futures^		08/2017		(63,818	)		(68,932	)		(5,114	)
7	JPPC	LME Zinc Futures^		08/2017		(462,158	)		(482,547	)		(20,389	)
9	JPPC	LME Zinc Futures^		08/2017		(577,103	)		(620,433	)		(43,330	)
7	JPPC	LME Zinc Futures^		08/2017		(443,608	)		(482,475	)		(38,867	)
6	JPPC	LME Zinc Futures^		08/2017		(394,485	)		(413,682	)		(19,197	)
9	JPPC	LME Zinc Futures^		09/2017		(579,243	)		(620,719	)		(41,476	)
13	JPPC	LME Zinc Futures^		09/2017		(806,425	)		(896,798	)		(90,373	)

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

AQR Funds Semi-Annual Report June 2017

165

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
6	JPPC	LME Zinc Futures^		09/2017		$ (376,685	)		$ (414,000	)		$ (37,315	)
56	JPPC	LME Zinc Futures^		09/2017		(3,633,032	)		(3,864,000	)		(230,968	)
3	JPPC	LME Zinc Futures^		09/2017		(205,628	)		(206,850	)		(1,222	)
19	JPPC	LME Zinc Futures^		09/2017		(1,313,328	)		(1,310,050	)		3,278
						(69,936,822	)		(71,943,198	)		(2,006,376	)
						$332,890,686			$330,356,051			$(2,534,635	)

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

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI			��
Investment Companies	$	2,843,620		$	—	$	2,843,620
GSCO
Cash		—			1,639,770		1,639,770
GSIN
Cash		410,000			—		410,000
JPPC
Cash		—			8,392,643		8,392,643
MACQ
Cash		2,060,000			—		2,060,000
MSCL
Cash		—			16,498,308		16,498,308
SOCG
Cash		1,282,281			—		1,282,281

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

AQR Funds Semi-Annual Report June 2017

166

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

INVESTMENTS		PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 13.9%
Deutsche Bundesrepublik Inflation Linked Bond
1.75%, 4/15/2020 (a)	EUR		2,340,912	$	2,882,826
0.10%, 4/15/2023 (a)	EUR		6,953,628		8,433,701
0.10%, 4/15/2026	EUR		9,434,048		11,593,230
France Government Bond OAT
2.25%, 7/25/2020	EUR		1,241,630		1,572,703
0.10%, 7/25/2021	EUR		1,738,012		2,082,180
1.20%, 7/25/2022 (a)	EUR		7,031,015		8,924,265
0.26%, 7/25/2024 (a)	EUR		506,479		622,439
0.10%, 3/1/2025	EUR		2,027,262		2,449,038
1.99%, 7/25/2027 (a)	EUR		1,087,726		1,534,422
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP		7,815,921		11,767,047
0.13%, 3/22/2026	GBP		5,869,616		9,025,218
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $60,458,015)					60,887,069
U.S. TREASURY OBLIGATIONS - 19.0%
U.S. Treasury Inflation Linked Notes
0.13%, 4/15/2020 (b)			25,890,000		27,075,166
0.13%, 4/15/2021 (b)			29,000,000		29,874,312
0.38%, 7/15/2025			6,840,000		6,999,873
0.63%, 1/15/2026			9,030,000		9,351,468
0.13%, 7/15/2026			10,080,000		9,918,459
TOTAL U.S. TREASURY OBLIGATIONS (Cost $83,289,739)					83,219,278
		SHARES
SHORT-TERM INVESTMENTS - 60.1%
INVESTMENT COMPANIES - 43.7%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (c)(d)			7,699,282		7,699,282
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (c)(d)			30,797,130		30,797,130
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (c)(d)(e)			31,620,203		31,620,203
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (c)(e)			2,930,387		2,930,387
Limited Purpose Cash Investment Fund, 0.81% (c)			79,821,452		79,813,470
UBS Select Treasury Preferred Fund, Class I, 0.85% (c)(d)			38,497,257		38,497,257
TOTAL INVESTMENT COMPANIES (Cost $191,357,729)					191,357,729

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 16.4%
U.S. Treasury Bills 0.60%, 7/27/2017 (d)(f)	$	2,470,000	$	2,468,649
0.62%, 8/10/2017 (d)(f)		29,608,000		29,580,761
0.65%, 8/17/2017 (d)(f)		2,775,000		2,771,864
0.67%, 8/31/2017 (f)		20,141,000		20,110,547
0.91%, 9/14/2017 (d)(f)		1,252,000		1,249,595
0.91%, 10/5/2017 (d)(f)		1,185,000		1,181,860
0.96%, 10/26/2017 (f)		1,348,000		1,343,520
1.03%, 11/16/2017 (f)		2,555,000		2,544,841
1.06%, 11/24/2017 (d)(f)		987,000		982,816
1.06%, 11/30/2017 (d)(f)		736,000		732,762
1.07%, 12/7/2017 (f)		1,955,000		1,945,878
1.11%, 12/14/2017 (f)		3,550,000		3,532,736
1.13%, 12/21/2017 (f)		1,119,000		1,113,290
1.12%, 12/28/2017 (f)		1,960,000		1,949,134
TOTAL U.S. TREASURY OBLIGATIONS (Cost $71,523,300)				71,508,253
TOTAL SHORT-TERM INVESTMENTS (Cost $262,881,029)				262,865,982
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 93.0% (Cost $406,628,783)				406,972,329
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.0% (g)			30,562,882
NET ASSETS - 100.0%			$437,535,211

(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2017, the value of these securities amounted to $22,397,653 or 5.1% of net assets.

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

(c) Represents 7-day effective yield as of 6/30/2017.

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

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

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

AQR Funds Semi-Annual Report June 2017

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

Credit default swap contracts sell protection as of June 30, 2017:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND			CURRENCY	CREDIT SPREAD			NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CITG	iTraxx Europe Crossover Series 27.V1		5.000	%	EUR		2.475	%		60,975,000		$6,001,930			06/20/2022		$2,100,943
CITG	iTraxx Europe Series 27.V1		1.000	%	EUR		0.561	%		101,500,000		1,279,033			06/20/2022		1,260,083
CITG	Markit CDX Emerging Market Index Series 27.V1		1.000	%	USD		2.018	%		15,750,000		(798,297	)		06/20/2022		80,510
CITG	Markit CDX North America High Yield Index Series 28.V1		5.000	%	USD		3.392	%		70,550,000		4,811,381			06/20/2022		153,593
CITG	Markit CDX North America Investment Grade Index Series 28.V1		1.000	%	USD		0.607	%		106,625,000		1,564,676			06/20/2022		436,722
												$12,858,723					$4,031,851

Forward effective interest rate swap contracts outstanding as of June 30, 2017:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID			TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CITG	(1)		1.000	%	CZK		207,700,000		$—			09/21/2022		$(12,803	)
CITG	(2)		2.500	%	HKD		150,000,000		—			09/21/2022		663,843
CITG	2.000%			(2)	HKD		8,800,000		(11,625	)		09/21/2022		(131	)
CITG	(3)		2.000	%	HUF		2,790,000,000		—			09/21/2022		403,236
CITG	1.500%			(3)	HUF		359,700,000		(7,813	)		09/21/2022		(10,915	)
CITG	(4)		3.000	%	PLN		78,000,000		—			09/21/2022		573,979
CITG	2.500%			(4)	PLN		8,600,000		(6,714	)		09/21/2022		(2,239	)
CITG	(5)		2.500	%	SGD		54,200,000		—			09/21/2022		1,258,890
CITG	2.000%			(5)	SGD		3,800,000		(11,881	)		09/21/2022		(9,444	)
CITG	(6)		8.000	%	ZAR		300,000,000		—			09/21/2022		461,274
CITG	7.500%			(6)	ZAR		22,600,000		(11,652	)		09/21/2022		12,129
									$(49,685	)				$3,337,819

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

AQR Funds Semi-Annual Report June 2017

168

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

Forward effective Interest rate swap contracts outstanding as of June 30, 2017:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Over the Counter
CITI	(7)		1.745	%	KRW*		629,700,000		$—		09/21/2022		$(1,186	)
CITI	(7)		1.760	%	KRW*		3,700,000		—		09/21/2022		(5	)
CITI	(7)		1.760	%	KRW*		1,000,000,000		—		09/21/2022		(1,258	)
CITI	(7)		1.783	%	KRW*		350,700,000		—		09/21/2022		—
CITI	(7)		1.805	%	KRW*		1,000,000,000		—		09/21/2022		618
CITI	(7)		1.883	%	KRW*		30,000,000,000		—		09/21/2022		115,472
CITI	(7)		1.920	%	KRW*		29,000,000,000		—		09/21/2022		156,959
CITI	1.680%			(7)	KRW*		1,103,100,000		—		09/21/2022		5,066
CITI	1.780%			(7)	KRW*		1,000,000,000		—		09/21/2022		424
CITI	1.788%			(7)	KRW*		1,000,000,000		—		09/21/2022		111
CITI	1.810%			(7)	KRW*		1,569,000,000		—		09/21/2022		(1,297	)
CITI	1.885%			(7)	KRW*		15,000,000,000		—		09/21/2022		(59,299	)
									$—				$215,605

* Non-deliverable swap (See Note 4).

(1) 6 Month Prague Interbank Offered Rate

(2) 3 Month Hong Kong Interbank Offered Rate

(3) 6 Month Budapest Interbank Offered Rate

(4) 6 Month Warsaw Interbank Offered Rate

(5) 6 Month Singapore Interbank Offered Rate

(6) 3 Month Johannesburg Interbank Agreed Rate

(7) 3 Month Korean Certificate of Deposit

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
MSCS	Bovespa Index August Futures	08/2017	BRL		9,788,508		$22,049
SOCG	Cocoa September Futures^	08/2017	USD		39,300		(500	)
CITI	Coffee ‘C’ September Futures^	08/2017	USD		620,879		(55,229	)
MACQ	Coffee ‘C’ September Futures^	08/2017	USD		205,521		(16,971	)
SOCG	Coffee ‘C’ September Futures^	08/2017	USD		361,862		(31,899	)
CITI	Corn September Futures^	08/2017	USD		434,252		3,898
MACQ	Corn September Futures^	08/2017	USD		1,339,191		13,359
CITI	Cotton No. 2 December Futures^	11/2017	USD		772,091		(51,896	)
BANA	Hang Seng Index July Futures	07/2017	HKD		10,268,135		(4,372	)
GSIN	Hang Seng Index July Futures	07/2017	HKD		1,280,399		(147	)
JPMC	Hang Seng Index July Futures	07/2017	HKD		6,410,032		(1,765	)
MSCS	Hang Seng Index July Futures	07/2017	HKD		6,410,114		(1,775	)
CITI	Hard Red Winter Wheat September Futures^	08/2017	USD		23,075		3,400
SOCG	Hard Red Winter Wheat September Futures^	08/2017	USD		92,722		13,178
BANA	H-SHARES Index July Futures	07/2017	HKD		48,472,463		(71,234	)
GSIN	H-SHARES Index July Futures	07/2017	HKD		16,446,429		(17,222	)
JPMC	H-SHARES Index July Futures	07/2017	HKD		23,653,036		(26,205	)
MSCS	H-SHARES Index July Futures	07/2017	HKD		19,019,274		(20,309	)
JPMC	KOSPI Index 200 September Futures	09/2017	KRW		1,622,465,375		17,785
MSCS	KOSPI Index 200 September Futures	09/2017	KRW		5,083,718,000		69,683

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

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169

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Lean Hogs August Futures^	08/2017		USD		225,844			$ 8,656
MACQ	Lean Hogs August Futures^	08/2017		USD		390,792			11,208
MACQ	Lean Hogs August Futures^	08/2017		USD		(66,560	)		(440	)
MLIN	Lean Hogs August Futures^	08/2017		USD		(129,200	)		(4,800	)
MLIN	Lean Hogs August Futures^	08/2017		USD		748,755			21,745
SOCG	Lean Hogs August Futures^	08/2017		USD		(99,862	)		(638	)
SOCG	Lean Hogs August Futures^	08/2017		USD		587,699			15,301
GSIN	Lean Hogs July Futures^	07/2017		USD		272,936			53,314
GSIN	Lean Hogs July Futures^	07/2017		USD		(287,432	)		(38,818	)
MACQ	Lean Hogs July Futures^	07/2017		USD		(696,388	)		(101,112	)
MACQ	Lean Hogs July Futures^	07/2017		USD		667,837			129,663
MLIN	Lean Hogs July Futures^	07/2017		USD		729,280			140,720
MLIN	Lean Hogs July Futures^	07/2017		USD		(783,640	)		(86,360	)
SOCG	Lean Hogs July Futures^	07/2017		USD		(590,030	)		(62,470	)
SOCG	Lean Hogs July Futures^	07/2017		USD		546,847			105,653
MACQ	Lean Hogs October Futures^	10/2017		USD		56,142			218
MLIN	Lean Hogs October Futures^	10/2017		USD		108,420			4,300
SOCG	Lean Hogs October Futures^	10/2017		USD		84,213			327
MACQ	Live Cattle August Futures^	08/2017		USD		676,434			(25,154	)
MACQ	Live Cattle August Futures^	08/2017		USD		(92,671	)		(369	)
MLIN	Live Cattle August Futures^	08/2017		USD		2,089,575			(89,215	)
MLIN	Live Cattle August Futures^	08/2017		USD		(372,800	)		640
SOCG	Live Cattle August Futures^	08/2017		USD		481,989			(16,789	)
SOCG	Live Cattle August Futures^	08/2017		USD		(46,308	)		(212	)
MACQ	Live Cattle October Futures^	10/2017		USD		91,637			523
MLIN	Live Cattle October Futures^	10/2017		USD		368,720			(80	)
SOCG	Live Cattle October Futures^	10/2017		USD		45,794			286
BANA	MSCI Taiwan Stock Index July Futures	07/2017		USD		898,099			(11,909	)
GSIN	MSCI Taiwan Stock Index July Futures	07/2017		USD		2,213,716			(17,506	)
JPMC	MSCI Taiwan Stock Index July Futures	07/2017		USD		620,888			(4,408	)
MSCS	MSCI Taiwan Stock Index July Futures	07/2017		USD		2,065,258			(23,168	)
BANA	SGX S&P CNX Nifty Index July Futures	07/2017		USD		439,762			(1,911	)
JPMC	SGX S&P CNX Nifty Index July Futures	07/2017		USD		515,952			(1,953	)
MSCS	SGX S&P CNX Nifty Index July Futures	07/2017		USD		1,088,376			(3,267	)
CITI	Soybean Meal December Futures^	11/2017		USD		(95,417	)		2,057
CITI	Soybean Meal December Futures^	11/2017		USD		285,157			(5,077	)
GSIN	Soybean Meal December Futures^	11/2017		USD		63,521			(1,281	)
MACQ	Soybean Meal December Futures^	11/2017		USD		(63,628	)		1,388
MACQ	Soybean Meal December Futures^	11/2017		USD		63,561			(1,321	)
MLIN	Soybean Meal December Futures^	11/2017		USD		(30,330	)		(790	)
MLIN	Soybean Meal December Futures^	11/2017		USD		318,020			(6,820	)
CITI	Soybean November Futures^	10/2017		USD		96,344			(869	)
GSIN	Soybean November Futures^	10/2017		USD		964,288			(9,538	)
GSIN	Soybean November Futures^	10/2017		USD		(185,764	)		(5,186	)
MACQ	Soybean November Futures^	10/2017		USD		385,901			(4,001	)
MLIN	Soybean November Futures^	10/2017		USD		1,980,525			(23,288	)
SOCG	Soybean November Futures^	10/2017		USD		2,657,081			(31,519	)
SOCG	Soybean Oil December Futures^	11/2017		USD		899,566			40,622
MSCS	Swiss Market Index September Futures	09/2017		CHF		2,655,900			9,116
BANA	Taiwan Stock Exchange July Futures	07/2017		TWD		18,009,747			14,644
JPMC	Taiwan Stock Exchange July Futures	07/2017		TWD		1,989,087			2,023
MSCS	Taiwan Stock Exchange July Futures	07/2017		TWD		31,913,179			29,468
GSIN	Wheat September Futures^	08/2017		USD		67,213			11,687
									$(132,882	)

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

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
154	GSCO	Brent Crude Futures^		08/2017		$7,548,558		$7,552,160		$3,602
21	MSCL	Cocoa Futures^		09/2017		411,719		407,400		(4,319	)
39	MSCL	Coffee ‘C’ Futures^		09/2017		1,970,886		1,838,363		(132,523	)
257	MSCL	Corn Futures^		09/2017		4,876,303		4,895,851		19,548
18	MSCL	Cotton No. 2 Futures^		12/2017		651,341		617,310		(34,031	)
8	MSCL	Feeder Cattle Futures^		09/2017		608,504		592,100		(16,404	)
89	GSCO	Gas Oil Futures^		09/2017		3,818,062		3,889,300		71,238
29	MSCL	Gasoline RBOB Futures^		08/2017		1,805,405		1,829,924		24,519
91	MSCL	Gold 100 OZ Futures^		08/2017		11,495,242		11,304,930		(190,312	)
22	MSCL	Gold 100 OZ Futures^		12/2017		2,750,427		2,749,120		(1,307	)
9	MSCL	Hard Red Winter Wheat Futures^		09/2017		210,346		238,275		27,929
25	MSCL	Heating Oil ULSD Futures^		08/2017		1,529,489		1,565,235		35,746
2	MSCL	Lean Hogs Futures^		08/2017		64,270		67,000		2,730
51	MSCL	Live Cattle Futures^		08/2017		2,452,658		2,372,521		(80,137	)
11	MSCL	Live Cattle Futures^		10/2017		503,442		506,880		3,438
5	JPPC	LME Aluminum Futures^		07/2017		239,231		239,063		(168	)
1	JPPC	LME Aluminum Futures^		07/2017		47,744		47,803		59
2	JPPC	LME Aluminum Futures^		07/2017		96,949		95,475		(1,474	)
1	JPPC	LME Aluminum Futures^		07/2017		48,590		47,767		(823	)
1	JPPC	LME Aluminum Futures^		07/2017		49,228		47,786		(1,442	)
8	JPPC	LME Aluminum Futures^		08/2017		383,223		382,550		(673	)
1	JPPC	LME Aluminum Futures^		08/2017		46,952		47,839		887
3	JPPC	LME Aluminum Futures^		08/2017		140,032		143,531		3,499
1	JPPC	LME Aluminum Futures^		08/2017		46,952		47,845		893
1	JPPC	LME Aluminum Futures^		08/2017		47,524		47,854		330
5	JPPC	LME Aluminum Futures^		08/2017		238,811		239,240		429
2	JPPC	LME Aluminum Futures^		09/2017		96,677		95,817		(860	)
3	JPPC	LME Aluminum Futures^		09/2017		143,246		143,816		570
10	JPPC	LME Aluminum Futures^		09/2017		470,026		479,688		9,662
228	JPPC	LME Aluminum Futures^		09/2017		11,093,704		10,941,150		(152,554	)
18	JPPC	LME Aluminum Futures^		09/2017		857,744		863,550		5,806
10	JPPC	LME Copper Futures^		07/2017		1,424,137		1,482,375		58,238
2	JPPC	LME Copper Futures^		08/2017		275,586		296,537		20,951
64	JPPC	LME Copper Futures^		09/2017		9,279,562		9,504,400		224,838
1	JPPC	LME Lead Futures^		07/2017		57,793		56,841		(952	)
2	JPPC	LME Lead Futures^		07/2017		112,173		113,875		1,702
1	JPPC	LME Lead Futures^		08/2017		54,527		57,164		2,637
1	JPPC	LME Lead Futures^		08/2017		54,040		57,207		3,167
1	JPPC	LME Lead Futures^		08/2017		51,952		57,270		5,318
2	JPPC	LME Lead Futures^		09/2017		104,788		114,659		9,871
25	JPPC	LME Lead Futures^		09/2017		1,415,156		1,433,594		18,438
2	JPPC	LME Lead Futures^		09/2017		115,786		114,600		(1,186	)
2	JPPC	LME Nickel Futures^		07/2017		123,535		112,171		(11,364	)
2	JPPC	LME Nickel Futures^		07/2017		117,122		112,212		(4,910	)
1	JPPC	LME Nickel Futures^		07/2017		55,592		56,158		566
1	JPPC	LME Nickel Futures^		08/2017		54,452		56,186		1,734
1	JPPC	LME Nickel Futures^		08/2017		55,052		56,207		1,155
33	JPPC	LME Nickel Futures^		09/2017		2,013,899		1,858,725		(155,174	)
1	JPPC	LME Nickel Futures^		09/2017		55,944		56,340		396
1	JPPC	LME Zinc Futures^		07/2017		65,102		68,881		3,779
1	JPPC	LME Zinc Futures^		08/2017		64,388		68,937		4,549
1	JPPC	LME Zinc Futures^		09/2017		62,631		69,000		6,369

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

AQR Funds Semi-Annual Report June 2017

171

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
42	JPPC	LME Zinc Futures^		09/2017		$ 2,865,985			$ 2,898,000			$ 32,015
1	JPPC	LME Zinc Futures^		09/2017		68,819			68,950			131
85	MSCL	Natural Gas Futures^		08/2017		2,584,599			2,576,350			(8,249	)
44	MSCL	Silver Futures^		09/2017		3,862,160			3,657,940			(204,220	)
1	MSCL	Soybean Futures^		11/2017		48,388			47,738			(650	)
45	MSCL	Soybean Oil Futures^		12/2017		868,822			900,180			31,358
188	MSCL	Sugar #11 (World Markets) Futures^		09/2017		3,311,145			2,907,833			(403,312	)
70	MSCL	Wheat Futures^		09/2017		1,594,275			1,841,000			246,725
294	MSCL	WTI Crude Futures^		08/2017		13,585,452			13,609,260			23,808
25	BARC	Amsterdam Index Futures		07/2017		2,993,722			2,892,494			(101,228	)
53	BARC	CAC40 Index Futures		07/2017		3,196,072			3,097,219			(98,853	)
26	BARC	DAX Index Futures		09/2017		9,498,465			9,146,338			(352,127	)
90	BARC	E-Mini Russell 2000 Futures		09/2017		6,407,317			6,364,350			(42,967	)
358	BARC	Euro Stoxx 50 Index Futures		09/2017		14,537,552			14,029,005			(508,547	)
134	BARC	FTSE 100 Index Futures		09/2017		13,018,942			12,640,212			(378,730	)
41	JPMS	FTSE/JSE Top 40 Index Futures		09/2017		1,438,959			1,431,654			(7,305	)
14	BARC	FTSE/MIB Index Futures		09/2017		1,680,456			1,638,906			(41,550	)
19	BARC	Hang Seng Index Futures		07/2017		3,122,314			3,113,148			(9,166	)
3	BARC	H-SHARES Index Futures		07/2017		197,454			195,870			(1,584	)
8	BARC	IBEX 35 Index Futures		07/2017		987,814			950,808			(37,006	)
7	BARC	KOSPI Index 200 Futures		09/2017		471,544			478,586			7,042
1	BARC	MSCI Taiwan Stock Index Futures		07/2017		38,791			38,530			(261	)
744	BARC	S&P 500 E-Mini Futures		09/2017		90,333,200			90,057,480			(275,720	)
38	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		5,287,065			5,211,227			(75,838	)
44	BARC	S&PMID 400 E-Mini Futures		09/2017		7,725,106			7,682,840			(42,266	)
134	BARC	SGX S&P CNX Nifty Index Futures		07/2017		2,557,911			2,550,958			(6,953	)
12	BARC	SPI 200 Index Futures		09/2017		1,314,155			1,302,546			(11,609	)
118	BARC	TOPIX Index Futures		09/2017		16,794,264			16,906,602			112,338
18	JPMS	Australia 10-Year Bond Futures		09/2017		1,817,144			1,788,283			(28,861	)
66	GSCO	Canadian 10-Year Bond Futures		09/2017		7,351,918			7,153,223			(198,695	)
374	GSCO	Euro-Bund Futures		09/2017		70,149,393			69,145,052			(1,004,341	)
1,434	MSCL	U.S. Treasury 10-Year Note Futures		09/2017		180,337,225			180,011,812			(325,413	)
						540,402,930			536,474,876			(3,928,054	)
Short Contracts:
5	JPPC	LME Aluminum Futures^		07/2017		$(239,988	)		$(239,063	)		$925
1	JPPC	LME Aluminum Futures^		07/2017		(47,710	)		(47,802	)		(92	)
2	JPPC	LME Aluminum Futures^		07/2017		(96,545	)		(95,475	)		1,070
1	JPPC	LME Aluminum Futures^		07/2017		(48,447	)		(47,767	)		680
1	JPPC	LME Aluminum Futures^		07/2017		(48,919	)		(47,786	)		1,133
8	JPPC	LME Aluminum Futures^		08/2017		(382,027	)		(382,550	)		(523	)
1	JPPC	LME Aluminum Futures^		08/2017		(46,983	)		(47,839	)		(856	)
3	JPPC	LME Aluminum Futures^		08/2017		(140,429	)		(143,531	)		(3,102	)
1	JPPC	LME Aluminum Futures^		08/2017		(47,015	)		(47,845	)		(830	)
1	JPPC	LME Aluminum Futures^		08/2017		(47,423	)		(47,855	)		(432	)
5	JPPC	LME Aluminum Futures^		08/2017		(238,988	)		(239,240	)		(252	)
2	JPPC	LME Aluminum Futures^		09/2017		(96,008	)		(95,817	)		191
3	JPPC	LME Aluminum Futures^		09/2017		(143,616	)		(143,815	)		(199	)
10	JPPC	LME Aluminum Futures^		09/2017		(468,616	)		(479,688	)		(11,072	)
42	JPPC	LME Aluminum Futures^		09/2017		(1,996,168	)		(2,015,475	)		(19,307	)
18	JPPC	LME Aluminum Futures^		09/2017		(857,550	)		(863,550	)		(6,000	)
10	JPPC	LME Copper Futures^		07/2017		(1,423,970	)		(1,482,375	)		(58,405	)
2	JPPC	LME Copper Futures^		08/2017		(274,995	)		(296,537	)		(21,542	)
10	JPPC	LME Copper Futures^		09/2017		(1,428,484	)		(1,485,062	)		(56,578	)
1	JPPC	LME Lead Futures^		07/2017		(57,873	)		(56,841	)		1,032

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2	JPPC	LME Lead Futures^		07/2017		$ (112,095	)		$ (113,875	)		$ (1,780	)
1	JPPC	LME Lead Futures^		08/2017		(54,342	)		(57,164	)		(2,822	)
1	JPPC	LME Lead Futures^		08/2017		(54,180	)		(57,207	)		(3,027	)
1	JPPC	LME Lead Futures^		08/2017		(52,111	)		(57,270	)		(5,159	)
2	JPPC	LME Lead Futures^		09/2017		(104,645	)		(114,659	)		(10,014	)
3	JPPC	LME Lead Futures^		09/2017		(160,824	)		(172,031	)		(11,207	)
2	JPPC	LME Lead Futures^		09/2017		(115,695	)		(114,600	)		1,095
2	JPPC	LME Nickel Futures^		07/2017		(123,835	)		(112,171	)		11,664
2	JPPC	LME Nickel Futures^		07/2017		(116,875	)		(112,212	)		4,663
1	JPPC	LME Nickel Futures^		07/2017		(55,430	)		(56,158	)		(728	)
1	JPPC	LME Nickel Futures^		08/2017		(54,295	)		(56,187	)		(1,892	)
1	JPPC	LME Nickel Futures^		08/2017		(55,168	)		(56,208	)		(1,040	)
3	JPPC	LME Nickel Futures^		09/2017		(165,635	)		(168,975	)		(3,340	)
1	JPPC	LME Nickel Futures^		09/2017		(55,841	)		(56,340	)		(499	)
1	JPPC	LME Zinc Futures^		07/2017		(64,938	)		(68,881	)		(3,943	)
1	JPPC	LME Zinc Futures^		08/2017		(64,123	)		(68,937	)		(4,814	)
1	JPPC	LME Zinc Futures^		09/2017		(63,054	)		(69,000	)		(5,946	)
1	JPPC	LME Zinc Futures^		09/2017		(65,235	)		(69,000	)		(3,765	)
1	JPPC	LME Zinc Futures^		09/2017		(69,123	)		(68,950	)		173
						(9,739,198	)		(9,955,738	)		(216,540	)
						$530,663,732			$526,519,138			$(4,144,594	)

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

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		16,964,000		$5,077,845		$5,039,582		$(38,263	)
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		25,446,000		7,616,777		7,559,374		(57,403	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		45,600		47,125		47,794		669
Swiss Franc, Expiring 09/20/17	JPMC	CHF		68,400		70,688		71,691		1,003
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		14,165,200		2,062,671		2,077,117		14,446
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		15,577,800		2,265,890		2,284,255		18,365
Euro, Expiring 09/20/17	CITI	EUR		3,025,873		3,415,554		3,470,298		54,744
Euro, Expiring 09/20/17	JPMC	EUR		4,538,810		5,123,346		5,205,447		82,101
British Pound, Expiring 09/20/17	CITI	GBP		1,328,069		1,710,815		1,733,929		23,114
British Pound, Expiring 09/20/17	JPMC	GBP		1,992,104		2,566,227		2,600,894		34,667
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		2,608,000		335,395		334,759		(636	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		3,912,000		$ 503,097		$ 502,144		$ (953	)
Hungarian Forint, Expiring 09/20/17	CITI	HUF		1,605,882,000		5,885,837		5,958,282		72,445
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		2,408,823,000		8,829,293		8,937,421		108,128
Indian Rupee, Expiring 09/20/17*	CITI	INR		382,285,200		5,867,962		5,863,823		(4,139	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		490,408,800		7,525,203		7,522,320		(2,883	)
Korean Won, Expiring 09/20/17*	CITI	KRW		5,790,326,000		5,171,274		5,061,839		(109,435	)
Korean Won, Expiring 09/20/17*	JPMC	KRW		8,685,488,999		7,756,922		7,592,760		(164,162	)
Mexican Peso, Expiring 09/20/17	CITI	MXN		174,008,800		9,293,596		9,470,118		176,522
Mexican Peso, Expiring 09/20/17	JPMC	MXN		261,013,200		13,940,432		14,205,177		264,745
Poland Zloty, Expiring 09/20/17	CITI	PLN		29,332,400		7,853,764		7,912,836		59,072
Poland Zloty, Expiring 09/20/17	JPMC	PLN		43,998,600		11,780,665		11,869,255		88,590
Turkish Lira, Expiring 09/20/17	CITI	TRY		35,521,000		9,725,452		9,872,784		147,332
Turkish Lira, Expiring 09/20/17	JPMC	TRY		49,488,000		13,540,337		13,754,802		214,465
South African Rand, Expiring 09/20/17	CITI	ZAR		75,489,201		5,727,232		5,694,569		(32,663	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		110,299,801		8,365,801		8,320,525		(45,276	)
						152,059,200		152,963,795		904,595

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		(1,658,400	)		$(493,351	)		$(492,670	)		$681
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		(2,487,600	)		(740,026	)		(739,004	)		1,022
Swiss Franc, Expiring 09/20/17	CITI	CHF		(86,800	)		(90,076	)		(90,976	)		(900	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(130,200	)		(135,115	)		(136,462	)		(1,347	)
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		(440,000	)		(63,689	)		(64,519	)		(830	)
Euro, Expiring 09/20/17	CITI	EUR		(40,089,831	)		(45,198,211	)		(45,978,030	)		(779,819	)
Euro, Expiring 09/20/17	JPMC	EUR		(60,083,745	)		(67,740,158	)		(68,908,553	)		(1,168,395	)
British Pound, Expiring 09/20/17	CITI	GBP		(7,683,007	)		(9,978,335	)		(10,030,943	)		(52,608	)
British Pound, Expiring 09/20/17	JPMC	GBP		(11,524,512	)		(14,967,485	)		(15,046,416	)		(78,931	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(2,866,400	)		(368,766	)		(367,928	)		838

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(4,299,600	)		$ (553,149	)		$ (551,893	)		$ 1,256
Hungarian Forint, Expiring 09/20/17	CITI	HUF		(124,212,800	)		(452,634	)		(460,865	)		(8,231	)
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		(186,319,200	)		(678,450	)		(691,298	)		(12,848	)
Indian Rupee, Expiring 09/20/17*	CITI	INR		(74,482,600	)		(1,138,193	)		(1,142,479	)		(4,286	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		(89,621,400	)		(1,370,463	)		(1,374,692	)		(4,229	)
Korean Won, Expiring 09/20/17*	CITI	KRW		(408,635,600	)		(359,628	)		(357,224	)		2,404
Korean Won, Expiring 09/20/17*	JPMC	KRW		(432,353,400	)		(380,813	)		(377,958	)		2,855
Turkish Lira, Expiring 09/20/17	CITI	TRY		(4,975,400	)		(1,356,100	)		(1,382,874	)		(26,774	)
Turkish Lira, Expiring 09/20/17	JPMC	TRY		(4,737,600	)		(1,286,920	)		(1,316,778	)		(29,858	)
South African Rand, Expiring 09/20/17	CITI	ZAR		(11,711,600	)		(876,327	)		(883,472	)		(7,145	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		(17,567,400	)		(1,314,516	)		(1,325,206	)		(10,690	)
							(149,542,405	)		(151,720,240	)		(2,177,835	)
							$2,516,795			$1,243,555			$(1,273,240	)

* Non-deliverable forward.

BRL - Brazilian Real

CHF - Swiss Franc

CNY - Chinese Renminbi

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

INR - Indian Rupee

KRW - Korean Won

MXN - Mexican Peso

PLN - Poland Zloty

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Cash		$(170,000	)		$—			$(170,000	)
BARC
Cash		—			9,395,841			9,395,841
CITG
Cash		—			(6,044,961	)		(6,044,961	)
CITI
Investment Companies		1,975,521			—			1,975,521
GSCO
Cash		—			1,029,611			1,029,611
U.S. Treasury Inflation Linked Notes		—			1,353,188			1,353,188
GSIN
Cash		(170,000	)		—			(170,000	)
Investment Companies		371,190			—			371,190
JPMC
Investment Companies		15,950,000			—			15,950,000
JPMS
Cash		—			175,580			175,580
MSCL
Cash		—			(83,862	)		(83,862	)
U.S. Treasury Inflation Linked Notes		—			2,199,550			2,199,550
MSCS
Investment Companies		2,559,197			—			2,559,197

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$430,782		$—		$430,782
GSCO
Cash		—		947,622		947,622
GSIN
Cash		290,000		—		290,000
JPPC
Cash		—		1,981,201		1,981,201
MACQ
Cash		270,000		—		270,000
MLIN
Cash		970,000		—		970,000
MSCL
Cash		—		4,259,723		4,259,723
SOCG
Cash		651,000		—		651,000

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II HV FUND

INVESTMENTS		PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 23.4%
Deutsche Bundesrepublik Inflation Linked Bond 1.75%, 4/15/2020 (a)	EUR		512,771	$	631,476
0.10%, 4/15/2023 (a)	EUR		1,475,012		1,788,967
0.10%, 4/15/2026	EUR		1,948,336		2,394,254
France Government Bond OAT 2.25%, 7/25/2020	EUR		223,493		283,087
0.10%, 7/25/2021	EUR		408,944		489,925
1.20%, 7/25/2022 (a)	EUR		1,456,976		1,849,298
0.26%, 7/25/2024 (a)	EUR		113,699		139,731
0.10%, 3/1/2025	EUR		506,816		612,260
1.99%, 7/25/2027 (a)	EUR		326,319		460,328
United Kingdom Index Linked Treasury Gilt 0.13%, 3/22/2024	GBP		1,719,519		2,588,774
0.13%, 3/22/2026	GBP		1,257,800		1,934,014
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $12,996,332)					13,172,114
U.S. TREASURY OBLIGATIONS - 30.8%
U.S. Treasury Inflation Linked Notes 0.13%, 4/15/2020 (b)			5,220,000		5,458,956
0.13%, 4/15/2021 (b)			5,960,000		6,139,686
0.38%, 7/15/2025			1,490,000		1,524,826
0.63%, 1/15/2026			2,000,000		2,071,200
0.13%, 7/15/2026			2,160,000		2,125,384
TOTAL U.S. TREASURY OBLIGATIONS (Cost $17,348,904)					17,320,052
		SHARES
SHORT-TERM INVESTMENTS - 58.5%
INVESTMENT COMPANIES - 42.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (c)(d)			240,889		240,889
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (c)(d)			963,557		963,557
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (c)(d)(e)			6,165,952		6,165,952
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (c)(e)			521,511		521,511
Limited Purpose Cash Investment Fund, 0.81% (c)			14,541,378		14,539,924
UBS Select Treasury Preferred Fund, Class I, 0.85% (c)(d)			1,204,447		1,204,447
TOTAL INVESTMENT COMPANIES (Cost $23,636,280)					23,636,280

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 16.5%
U.S. Treasury Bills 0.60%, 7/27/2017 (d)(f)	$	3,109,000	$	3,107,299
0.63%, 8/3/2017 (f)		1,047,000		1,046,231
0.67%, 8/31/2017 (f)		3,018,000		3,013,437
1.03%, 11/16/2017 (d)(f)		2,107,000		2,098,623
TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,267,388)				9,265,590
TOTAL SHORT-TERM INVESTMENTS (Cost $32,903,668)				32,901,870
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 112.7% (Cost $63,248,904)				63,394,036
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.7)% (g)			(7,140,258)
NET ASSETS - 100.0%			$56,253,778

(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2017, the value of these securities amounted to $4,869,800 or 8.7% of net assets.

(b) On 6/30/2017, securities valued at $11,598,642 were pledged as collateral for reverse repurchase agreements outstanding.

(c) Represents 7-day effective yield as of 6/30/2017.

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

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

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II HV FUND

Reverse repurchase agreements at June 30, 2017:

Over the Counter

COUNTERPARTY	TRADE DATE	RATE	DUE DATE		PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT
BNP Paribas	6/6/2017	1.21%		7/13/2017		$5,428,800
Merrill Lynch, Pierce, Fenner & Smith, Inc.	6/6/2017	1.22%		7/13/2017		6,123,900
						$11,552,700

The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2017 was $11,388,556 at a net weighted average interest rate of 0.889%

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Bovespa Index August Futures	08/2017	BRL		2,222,801			$1,211
SOCG	Cocoa September Futures^	08/2017	USD		19,650			(250	)
CITI	Coffee ‘C’ September Futures^	08/2017	USD		205,839			(17,289	)
MACQ	Coffee ‘C’ September Futures^	08/2017	USD		51,179			(4,041	)
SOCG	Coffee ‘C’ September Futures^	08/2017	USD		154,463			(13,051	)
CITI	Corn September Futures^	08/2017	USD		434,252			3,898
MACQ	Corn September Futures^	08/2017	USD		188,708			1,792
CITI	Cotton No. 2 December Futures^	11/2017	USD		147,468			(10,288	)
SOCG	Cotton No. 2 December Futures^	11/2017	USD		36,433			(2,138	)
BANA	Hang Seng Index July Futures	07/2017	HKD		2,569,794			(1,447	)
GSIN	Hang Seng Index July Futures	07/2017	HKD		1,280,399			(147	)
MACQ	Hard Red Winter Wheat September Futures^	08/2017	USD		23,154			3,321
BANA	H-SHARES Index July Futures	07/2017	HKD		11,859,549			(17,336	)
GSIN	H-SHARES Index July Futures	07/2017	HKD		10,794,454			(11,492	)
BANA	KOSPI Index 200 September Futures	09/2017	KRW		617,318,200			7,458
GSIN	KOSPI Index 200 September Futures	09/2017	KRW		153,982,875			2,173
GSIN	Lean Hogs August Futures^	08/2017	USD		32,480			1,020
MACQ	Lean Hogs August Futures^	08/2017	USD		163,187			4,313
MACQ	Lean Hogs August Futures^	08/2017	USD		(33,280	)		(220	)
SOCG	Lean Hogs August Futures^	08/2017	USD		(33,287	)		(213	)
SOCG	Lean Hogs August Futures^	08/2017	USD		293,399			8,101
GSIN	Lean Hogs July Futures^	07/2017	USD		30,660			5,590
GSIN	Lean Hogs July Futures^	07/2017	USD		(32,552	)		(3,698	)
MACQ	Lean Hogs July Futures^	07/2017	USD		272,615			53,635
MACQ	Lean Hogs July Futures^	07/2017	USD		(287,559	)		(38,691	)
SOCG	Lean Hogs July Futures^	07/2017	USD		272,682			53,568
SOCG	Lean Hogs July Futures^	07/2017	USD		(294,384	)		(31,865	)
MACQ	Lean Hogs October Futures^	10/2017	USD		28,071			109
SOCG	Lean Hogs October Futures^	10/2017	USD		28,071			109
MACQ	Live Cattle August Futures^	08/2017	USD		580,572			(22,332	)
MACQ	Live Cattle August Futures^	08/2017	USD		(92,671	)		(369	)
SOCG	Live Cattle August Futures^	08/2017	USD		192,324			(6,244	)
MACQ	Live Cattle October Futures^	10/2017	USD		91,637			523
GSIN	MSCI Taiwan Stock Index July Futures	07/2017	USD		971,048			(7,798	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	SGX S&P CNX Nifty Index July Futures	07/2017		USD		782,038			$ (1,521	)
CITI	Soybean Meal December Futures^	11/2017		USD		(31,806	)		686
CITI	Soybean Meal December Futures^	11/2017		USD		95,151			(1,791	)
GSIN	Soybean Meal December Futures^	11/2017		USD		95,194			(1,834	)
CITI	Soybean November Futures^	10/2017		USD		241,007			(2,319	)
GSIN	Soybean November Futures^	10/2017		USD		96,425			(949	)
MACQ	Soybean November Futures^	10/2017		USD		869,781			(10,506	)
SOCG	Soybean November Futures^	10/2017		USD		144,825			(1,613	)
MACQ	Soybean Oil December Futures^	11/2017		USD		38,248			1,760
SOCG	Soybean Oil December Futures^	11/2017		USD		287,252			12,808
BANA	Swiss Market Index September Futures	09/2017		CHF		88,410			427
GSIN	Swiss Market Index September Futures	09/2017		CHF		530,124			2,910
BANA	Taiwan Stock Exchange July Futures	07/2017		TWD		2,006,327			1,454
GSIN	Taiwan Stock Exchange July Futures	07/2017		TWD		14,081,717			8,948
GSIN	Wheat September Futures^	08/2017		USD		22,433			3,867
									$(29,761	)

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

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
42	GSCO	Brent Crude Futures^		08/2017		$2,058,746		$2,059,681		$935
5	MSCL	Cocoa Futures^		09/2017		98,289		97,000		(1,289	)
8	MSCL	Coffee ‘C’ Futures^		09/2017		404,218		377,100		(27,118	)
59	MSCL	Corn Futures^		09/2017		1,119,072		1,123,950		4,878
5	MSCL	Cotton No. 2 Futures^		12/2017		182,588		171,475		(11,113	)
2	MSCL	Feeder Cattle Futures^		09/2017		150,807		148,025		(2,782	)
23	GSCO	Gas Oil Futures^		09/2017		987,567		1,005,100		17,533
8	MSCL	Gasoline RBOB Futures^		08/2017		497,616		504,807		7,191
25	MSCL	Gold 100 OZ Futures^		08/2017		3,158,349		3,105,750		(52,599	)
5	MSCL	Gold 100 OZ Futures^		12/2017		625,097		624,800		(297	)
3	MSCL	Hard Red Winter Wheat Futures^		09/2017		70,413		79,425		9,012
7	MSCL	Heating Oil ULSD Futures^		08/2017		428,376		438,266		9,890
2	MSCL	Lean Hogs Futures^		08/2017		65,002		67,000		1,998
14	MSCL	Live Cattle Futures^		08/2017		673,459		651,280		(22,179	)
3	MSCL	Live Cattle Futures^		10/2017		137,302		138,240		938
1	JPPC	LME Aluminum Futures^		07/2017		47,846		47,812		(34	)
1	JPPC	LME Aluminum Futures^		07/2017		49,228		47,786		(1,442	)
2	JPPC	LME Aluminum Futures^		08/2017		95,705		95,637		(68	)
2	JPPC	LME Aluminum Futures^		08/2017		93,905		95,679		1,774
1	JPPC	LME Aluminum Futures^		08/2017		47,762		47,848		86
1	JPPC	LME Aluminum Futures^		09/2017		48,339		47,909		(430	)
2	JPPC	LME Aluminum Futures^		09/2017		94,005		95,937		1,932
57	JPPC	LME Aluminum Futures^		09/2017		2,774,896		2,735,287		(39,609	)
4	JPPC	LME Aluminum Futures^		09/2017		190,610		191,900		1,290
4	JPPC	LME Copper Futures^		07/2017		569,897		592,950		23,053
1	JPPC	LME Copper Futures^		08/2017		138,052		148,258		10,206
18	JPPC	LME Copper Futures^		09/2017		2,606,518		2,673,112		66,594
1	JPPC	LME Lead Futures^		07/2017		56,086		56,937		851

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	JPPC	LME Lead Futures^		08/2017		$ 54,503			$ 57,200			$ 2,697
7	JPPC	LME Lead Futures^		09/2017		398,502			401,406			2,904
1	JPPC	LME Lead Futures^		09/2017		57,893			57,300			(593	)
1	JPPC	LME Nickel Futures^		07/2017		58,561			56,106			(2,455	)
1	JPPC	LME Nickel Futures^		08/2017		54,452			56,186			1,734
9	JPPC	LME Nickel Futures^		09/2017		549,372			506,925			(42,447	)
10	JPPC	LME Zinc Futures^		09/2017		684,890			690,001			5,111
23	MSCL	Natural Gas Futures^		08/2017		698,400			697,130			(1,270	)
12	MSCL	Silver Futures^		09/2017		1,056,414			997,620			(58,794	)
5	MSCL	Soybean Futures^		11/2017		241,940			238,688			(3,252	)
2	MSCL	Soybean Meal Futures^		12/2017		63,814			62,240			(1,574	)
8	MSCL	Soybean Oil Futures^		12/2017		154,261			160,032			5,771
53	MSCL	Sugar #11 (World Markets) Futures^		09/2017		932,769			819,762			(113,007	)
20	MSCL	Wheat Futures^		09/2017		458,108			526,000			67,892
75	MSCL	WTI Crude Futures^		08/2017		3,470,789			3,471,750			961
5	BARC	Amsterdam Index Futures		07/2017		598,851			578,499			(20,352	)
11	BARC	CAC40 Index Futures		07/2017		663,794			642,819			(20,975	)
5	BARC	DAX Index Futures		09/2017		1,826,318			1,758,911			(67,407	)
23	BARC	E-Mini Russell 2000 Futures		09/2017		1,637,291			1,626,445			(10,846	)
68	BARC	Euro Stoxx 50 Index Futures		09/2017		2,761,478			2,664,727			(96,751	)
26	BARC	FTSE 100 Index Futures		09/2017		2,526,198			2,452,578			(73,620	)
11	JPMS	FTSE/JSE Top 40 Index Futures		09/2017		386,064			384,103			(1,961	)
2	BARC	FTSE/MIB Index Futures		09/2017		240,109			234,130			(5,979	)
4	BARC	Hang Seng Index Futures		07/2017		657,474			655,400			(2,074	)
1	BARC	H-SHARES Index Futures		07/2017		65,485			65,290			(195	)
1	BARC	IBEX 35 Index Futures		07/2017		123,520			118,851			(4,669	)
9	BARC	KOSPI Index 200 Futures		09/2017		606,045			615,325			9,280
152	BARC	S&P 500 E-Mini Futures		09/2017		18,455,141			18,398,840			(56,301	)
11	BARC	S&P MID 400 E-Mini Futures		09/2017		1,933,684			1,920,710			(12,974	)
7	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		974,019			959,963			(14,056	)
6	BARC	SGX S&P CNX Nifty Index Futures		07/2017		114,542			114,222			(320	)
3	BARC	SPI 200 Index Futures		09/2017		327,670			325,637			(2,033	)
24	BARC	TOPIX Index Futures		09/2017		3,415,830			3,438,631			22,801
16	JPMS	Australia 10-Year Bond Futures		09/2017		1,614,939			1,589,584			(25,355	)
25	GSCO	Canadian 10-Year Bond Futures		09/2017		2,784,744			2,709,554			(75,190	)
107	GSCO	Euro-Bund Futures		09/2017		20,062,486			19,782,141			(280,345	)
3	GSCO	Long Gilt Futures		09/2017		498,148			490,646			(7,502	)
387	MSCL	U.S. Treasury 10-Year Note Futures		09/2017		48,665,603			48,580,593			(85,010	)
						137,343,851			136,374,896			(968,955	)
Short Contracts:
1	JPPC	LME Aluminum Futures^		07/2017		$(47,997	)		$(47,812	)		$185
1	JPPC	LME Aluminum Futures^		07/2017		(48,919	)		(47,786	)		1,133
2	JPPC	LME Aluminum Futures^		08/2017		(95,521	)		(95,637	)		(116	)
2	JPPC	LME Aluminum Futures^		08/2017		(93,967	)		(95,679	)		(1,712	)
1	JPPC	LME Aluminum Futures^		08/2017		(47,798	)		(47,848	)		(50	)
1	JPPC	LME Aluminum Futures^		09/2017		(47,998	)		(47,909	)		89
2	JPPC	LME Aluminum Futures^		09/2017		(93,723	)		(95,937	)		(2,214	)
11	JPPC	LME Aluminum Futures^		09/2017		(524,171	)		(527,862	)		(3,691	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
4	JPPC	LME Aluminum Futures^		09/2017		$ (190,567	)		$ (191,900	)		$ (1,333	)
4	JPPC	LME Copper Futures^		07/2017		(569,588	)		(592,950	)		(23,362	)
1	JPPC	LME Copper Futures^		08/2017		(137,747	)		(148,258	)		(10,511	)
4	JPPC	LME Copper Futures^		09/2017		(571,641	)		(594,025	)		(22,384	)
1	JPPC	LME Lead Futures^		07/2017		(56,048	)		(56,938	)		(890	)
1	JPPC	LME Lead Futures^		08/2017		(54,518	)		(57,200	)		(2,682	)
1	JPPC	LME Lead Futures^		09/2017		(54,597	)		(57,344	)		(2,747	)
1	JPPC	LME Lead Futures^		09/2017		(57,848	)		(57,300	)		548
1	JPPC	LME Nickel Futures^		07/2017		(58,438	)		(56,106	)		2,332
1	JPPC	LME Nickel Futures^		08/2017		(54,295	)		(56,187	)		(1,892	)
1	JPPC	LME Nickel Futures^		09/2017		(54,628	)		(56,325	)		(1,697	)
						(2,860,009	)		(2,931,003	)		(70,994	)
						$134,483,842			$133,443,893			$(1,039,949	)

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

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		4,000			$1,197			$1,188			$(9	)
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		6,000			1,796			1,782			(14	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		10,800			11,190			11,320			130
Swiss Franc, Expiring 09/20/17	JPMC	CHF		16,200			16,785			16,980			195
Euro, Expiring 09/20/17	CITI	EUR		327,579			368,965			375,692			6,727
Euro, Expiring 09/20/17	JPMC	EUR		491,369			553,448			563,539			10,091
British Pound, Expiring 09/20/17	CITI	GBP		203,497			261,781			265,686			3,905
British Pound, Expiring 09/20/17	JPMC	GBP		305,247			392,674			398,531			5,857
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		551,600			70,940			70,802			(138	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		827,400			106,410			106,204			(206	)
							1,785,186			1,811,724			26,538
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 09/20/17	CITI	EUR		(3,374,552	)		$(3,804,183	)		$(3,870,188	)		$(66,005	)
Euro, Expiring 09/20/17	JPMC	EUR		(5,061,828	)		(5,706,268	)		(5,805,285	)		(99,017	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
British Pound, Expiring 09/20/17	CITI	GBP		(1,626,634	)		$ (2,112,597	)		$ (2,123,736	)		$ (11,139	)
British Pound, Expiring 09/20/17	JPMC	GBP		(2,439,950	)		(3,168,891	)		(3,185,602	)		(16,711	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(588,400	)		(75,698	)		(75,526	)		172
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(882,600	)		(113,548	)		(113,290	)		258
							(14,981,185	)		(15,173,627	)		(192,442	)
							$(13,195,999	)		$(13,361,903	)		$(165,904	)

* Non-deliverable forward.

BRL - Brazilian Real

CHF - Swiss Franc

EUR - Euro

GBP- British Pound

HKD - Hong Kong Dollar

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Cash		$(20,000	)		$—		$(20,000	)
BARC
Cash		—			1,914,447		1,914,447
BNPP
U.S. Treasury Inflation Linked Notes		5,458,956			—		5,458,956
CITI
Investment Companies		130,000			—		130,000
GSCO
Cash		—			709,701		709,701
GSIN
Cash		(120,000	)		—		(120,000	)
Investment Companies		521,511			—		521,511
JPMC
Investment Companies		570,000			—		570,000
JPMS
Cash		—			78,576		78,576
MPFS
U.S. Treasury Inflation Linked Notes		6,139,686			—		6,139,686
MSCL
Cash		—			545,936		545,936

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

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Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$100,342		$—		$100,342
GSCO
Cash		—		256,386		256,386
JPPC
Cash		—		513,064		513,064
MACQ
Cash		220,000		—		220,000
MSCL
Cash		—		1,149,814		1,149,814
SOCG
Cash		110,000		—		110,000

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II MV FUND

INVESTMENTS		PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 14.7%
Deutsche Bundesrepublik Inflation Linked Bond 1.75%, 4/15/2020 (a)	EUR		445,888	$	549,110
0.10%, 4/15/2023 (a)	EUR		1,369,654		1,661,184
0.10%, 4/15/2026	EUR		1,845,792		2,268,240
France Government Bond OAT 2.25%, 7/25/2020	EUR		148,996		188,724
0.10%, 7/25/2021	EUR		306,708		367,444
1.20%, 7/25/2022 (a)	EUR		1,203,109		1,527,072
0.26%, 7/25/2024 (a)	EUR		113,699		139,731
0.10%, 3/1/2025	EUR		506,815		612,259
1.99%, 7/25/2027 (a)	EUR		217,542		306,880
United Kingdom Index Linked Treasury Gilt 0.13%, 3/22/2024	GBP		1,563,203		2,353,437
0.13%, 3/22/2026	GBP		1,257,800		1,934,014
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $11,861,603)					11,908,095
U.S. TREASURY OBLIGATIONS - 20.3%
U.S. Treasury Inflation Linked Notes 0.13%, 4/15/2020			4,950,000		5,176,596
0.13%, 4/15/2021 (b)			5,660,000		5,830,642
0.13%, 7/15/2024			50,000		50,577
0.38%, 7/15/2025			1,410,000		1,442,956
0.63%, 1/15/2026			1,820,000		1,884,792
0.13%, 7/15/2026			2,050,000		2,017,147
TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,404,279)					16,402,710
		SHARES
SHORT-TERM INVESTMENTS - 60.6%
INVESTMENT COMPANIES - 43.6%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (c)(d)			660,304		660,304
Dreyfus Treasury & Agency Cash Management, 0.86% (c)(d)			1,435,720		1,435,720
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (c)			1,205,496		1,205,496
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (c)(d)(e)			4,774,327		4,774,327
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (c)			431,275		431,275
Limited Purpose Cash Investment Fund, 0.81% (c)			23,456,825		23,454,480
UBS Select Treasury Preferred Fund, Class I, 0.85% (c)(d)			3,301,520		3,301,520
TOTAL INVESTMENT COMPANIES (Cost $35,263,122)					35,263,122

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 17.0%
U.S. Treasury Bills 0.63%, 7/6/2017 (f)	$	215,000	$	214,986
0.61%, 7/20/2017 (f)		1,034,000		1,033,618
0.60%, 7/27/2017 (d)(f)		4,693,000		4,690,433
0.63%, 8/3/2017 (d)(f)		3,585,000		3,582,369
0.67%, 8/31/2017 (d)(f)		1,741,000		1,738,368
0.91%, 10/5/2017 (f)		2,494,000		2,487,391
TOTAL U.S. TREASURY OBLIGATIONS (Cost $13,749,536)				13,747,165
TOTAL SHORT-TERM INVESTMENTS (Cost $49,012,658)				49,010,287
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.6% (Cost $77,278,540)				77,321,092
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.4% (g)			3,535,633
NET ASSETS - 100.0%			$80,856,725

(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2017, the value of these securities amounted to $4,183,977 or 5.2% of net assets.

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

(c) Represents 7-day effective yield as of 6/30/2017.

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

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

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II MV FUND

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	Bovespa Index August Futures	08/2017	BRL		1,905,258			$1,038
MACQ	Brent Crude August Futures^	08/2017	USD		50,175			(1,135	)
MACQ	Brent Crude July Futures^	07/2017	USD		(49,885	)		1,115
MACQ	Brent Crude July Futures^	07/2017	USD		49,485			(715	)
CITI	Cocoa September Futures^	08/2017	USD		18,835			565
SOCG	Cocoa September Futures^	08/2017	USD		39,300			(500	)
SOCG	Cocoa September Futures^	08/2017	USD		(38,647	)		(153	)
CITI	Coffee ‘C’ September Futures^	08/2017	USD		258,064			(22,376	)
MACQ	Coffee ‘C’ September Futures^	08/2017	USD		51,178			(4,041	)
SOCG	Coffee ‘C’ September Futures^	08/2017	USD		51,227			(4,089	)
CITI	Corn September Futures^	08/2017	USD		509,722			4,628
MACQ	Corn September Futures^	08/2017	USD		151,205			1,195
CITI	Cotton No. 2 December Futures^	11/2017	USD		220,350			(14,580	)
MACQ	Gold 100 OZ August Futures^	07/2017	USD		127,210			(2,980	)
SOCG	Gold 100 OZ August Futures^	07/2017	USD		127,140			(2,910	)
BANA	Hang Seng Index July Futures	07/2017	HKD		1,282,137			(370	)
GSIN	Hang Seng Index July Futures	07/2017	HKD		1,285,710			(827	)
SOCG	Hard Red Winter Wheat September Futures^	08/2017	USD		23,180			3,294
BANA	H-SHARES Index July Futures	07/2017	HKD		11,859,548			(17,335	)
GSIN	H-SHARES Index July Futures	07/2017	HKD		10,282,835			(11,253	)
BANA	KOSPI Index 200 September Futures	09/2017	KRW		1,465,944,594			17,878
MACQ	Lean Hogs August Futures^	08/2017	USD		(33,280	)		(220	)
MACQ	Lean Hogs August Futures^	08/2017	USD		293,080			8,420
SOCG	Lean Hogs August Futures^	08/2017	USD		195,711			5,289
SOCG	Lean Hogs August Futures^	08/2017	USD		(33,287	)		(213	)
GSIN	Lean Hogs July Futures^	07/2017	USD		30,960			5,290
GSIN	Lean Hogs July Futures^	07/2017	USD		(30,708	)		(5,542	)
MACQ	Lean Hogs July Futures^	07/2017	USD		(386,606	)		(48,394	)
MACQ	Lean Hogs July Futures^	07/2017	USD		364,595			70,405
SOCG	Lean Hogs July Futures^	07/2017	USD		(196,418	)		(21,082	)
SOCG	Lean Hogs July Futures^	07/2017	USD		182,427			35,073
MACQ	Lean Hogs October Futures^	10/2017	USD		28,071			109
SOCG	Lean Hogs October Futures^	10/2017	USD		28,071			109
MACQ	Live Cattle August Futures^	08/2017	USD		(92,671	)		(369	)
MACQ	Live Cattle August Futures^	08/2017	USD		582,508			(24,268	)
SOCG	Live Cattle August Futures^	08/2017	USD		95,734			(2,695	)
MACQ	Live Cattle October Futures^	10/2017	USD		91,637			523
GSIN	MSCI Taiwan Stock Index July Futures	07/2017	USD		932,026			(7,306	)
BANA	NSE Nifty 50 Index July Futures	07/2017	INR		19,373,206			(1,556	)
BANA	SGX S&P CNX Nifty Index July Futures	07/2017	USD		152,961			(665	)
GSIN	SGX S&P CNX Nifty Index July Futures	07/2017	USD		38,150			(76	)
MACQ	Silver September Futures^	08/2017	USD		87,372			(4,237	)
GSIN	Soybean Meal December Futures^	11/2017	USD		(31,790	)		670
GSIN	Soybean Meal December Futures^	11/2017	USD		63,472			(1,232	)
CITI	Soybean November Futures^	10/2017	USD		192,784			(1,834	)
GSIN	Soybean November Futures^	10/2017	USD		(46,441	)		(1,296	)
GSIN	Soybean November Futures^	10/2017	USD		144,632			(1,420	)
MACQ	Soybean November Futures^	10/2017	USD		676,348			(8,023	)
SOCG	Soybean November Futures^	10/2017	USD		338,252			(4,089	)
CITI	Soybean Oil December Futures^	11/2017	USD		19,216			788
MACQ	Soybean Oil December Futures^	11/2017	USD		57,489			2,523
SOCG	Soybean Oil December Futures^	11/2017	USD		210,612			9,432
CITI	Sugar #11 (World Markets) September Futures^	09/2017	USD		17,562			(2,094	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II MV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
BANA	Swiss Market Index September Futures	09/2017		CHF		88,410		$ 427
GSIN	Swiss Market Index September Futures	09/2017		CHF		441,770		2,425
GSIN	Taiwan Stock Exchange July Futures	07/2017		TWD		14,060,270		9,655
								$(39,024	)

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
38	GSCO	Brent Crude Futures^		08/2017		$1,862,678		$1,863,520		$842
5	MSCL	Cocoa Futures^		09/2017		97,689		97,000		(689	)
9	MSCL	Coffee ‘C’ Futures^		09/2017		451,952		424,237		(27,715	)
52	MSCL	Corn Futures^		09/2017		987,534		990,600		3,066
4	MSCL	Cotton No. 2 Futures^		12/2017		146,554		137,180		(9,374	)
2	MSCL	Feeder Cattle Futures^		09/2017		150,807		148,025		(2,782	)
22	GSCO	Gas Oil Futures^		09/2017		944,740		961,400		16,660
8	MSCL	Gasoline RBOB Futures^		08/2017		497,616		504,807		7,191
22	MSCL	Gold 100 OZ Futures^		08/2017		2,780,701		2,733,060		(47,641	)
4	MSCL	Gold 100 OZ Futures^		12/2017		500,078		499,840		(238	)
3	MSCL	Hard Red Winter Wheat Futures^		09/2017		68,423		79,425		11,002
7	MSCL	Heating Oil ULSD Futures^		08/2017		428,376		438,266		9,890
1	MSCL	Lean Hogs Futures^		08/2017		32,538		33,500		962
13	MSCL	Live Cattle Futures^		08/2017		626,712		604,760		(21,952	)
3	MSCL	Live Cattle Futures^		10/2017		137,302		138,240		938
2	JPPC	LME Aluminum Futures^		07/2017		95,692		95,625		(67	)
1	JPPC	LME Aluminum Futures^		07/2017		48,973		47,785		(1,188	)
1	JPPC	LME Aluminum Futures^		08/2017		47,953		47,819		(134	)
1	JPPC	LME Aluminum Futures^		08/2017		46,952		47,845		893
1	JPPC	LME Aluminum Futures^		08/2017		47,762		47,848		86
1	JPPC	LME Aluminum Futures^		09/2017		48,339		47,909		(430	)
2	JPPC	LME Aluminum Futures^		09/2017		94,005		95,937		1,932
52	JPPC	LME Aluminum Futures^		09/2017		2,531,677		2,495,350		(36,327	)
4	JPPC	LME Aluminum Futures^		09/2017		187,187		191,893		4,706
2	JPPC	LME Aluminum Futures^		09/2017		95,305		95,950		645
3	JPPC	LME Copper Futures^		07/2017		427,120		444,713		17,593
16	JPPC	LME Copper Futures^		09/2017		2,324,694		2,376,100		51,406
1	JPPC	LME Lead Futures^		07/2017		56,086		56,937		851
1	JPPC	LME Lead Futures^		08/2017		54,527		57,164		2,637
7	JPPC	LME Lead Futures^		09/2017		398,502		401,406		2,904
1	JPPC	LME Lead Futures^		09/2017		57,893		57,300		(593	)
1	JPPC	LME Nickel Futures^		07/2017		58,561		56,106		(2,455	)
8	JPPC	LME Nickel Futures^		09/2017		488,106		450,600		(37,506	)
9	JPPC	LME Zinc Futures^		09/2017		617,133		621,000		3,867
22	MSCL	Natural Gas Futures^		08/2017		667,504		666,820		(684	)
10	MSCL	Silver Futures^		09/2017		878,073		831,350		(46,723	)
2	MSCL	Soybean Futures^		11/2017		96,776		95,475		(1,301	)
5	MSCL	Soybean Meal Futures^		12/2017		159,522		155,600		(3,922	)
10	MSCL	Soybean Oil Futures^		12/2017		192,979		200,040		7,061
50	MSCL	Sugar #11 (World Markets) Futures^		09/2017		878,882		773,361		(105,521	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II MV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
18	MSCL	Wheat Futures^		09/2017		$ 407,800			$ 473,400			$ 65,600
75	MSCL	WTI Crude Futures^		08/2017		3,460,191			3,471,750			11,559
6	BARC	Amsterdam Index Futures		07/2017		718,302			694,199			(24,103	)
10	BARC	CAC40 Index Futures		07/2017		603,279			584,381			(18,898	)
4	BARC	DAX Index Futures		09/2017		1,462,129			1,407,128			(55,001	)
22	BARC	E-Mini Russell 2000 Futures		09/2017		1,565,223			1,555,730			(9,493	)
66	BARC	Euro Stoxx 50 Index Futures		09/2017		2,680,216			2,586,353			(93,863	)
25	BARC	FTSE 100 Index Futures		09/2017		2,428,939			2,358,248			(70,691	)
12	JPMS	FTSE/JSE Top 40 Index Futures		09/2017		421,162			419,021			(2,141	)
2	BARC	FTSE/MIB Index Futures		09/2017		240,109			234,130			(5,979	)
4	BARC	Hang Seng Index Futures		07/2017		657,474			655,400			(2,074	)
1	BARC	IBEX 35 Index Futures		07/2017		123,520			118,851			(4,669	)
145	BARC	S&P 500 E-Mini Futures		09/2017		17,605,122			17,551,525			(53,597	)
10	BARC	S&P MID 400 E-Mini Futures		09/2017		1,756,571			1,746,100			(10,471	)
6	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		834,884			822,825			(12,059	)
18	BARC	SGX S&P CNX Nifty Index Futures		07/2017		343,627			342,666			(961	)
4	BARC	SPI 200 Index Futures		09/2017		438,824			434,182			(4,642	)
24	BARC	TOPIX Index Futures		09/2017		3,415,928			3,438,631			22,703
17	JPMS	Australia 10-Year Bond Futures		09/2017		1,715,778			1,688,934			(26,844	)
24	GSCO	Canadian 10-Year Bond Futures		09/2017		2,673,443			2,601,172			(72,271	)
102	GSCO	Euro-Bund Futures		09/2017		19,126,008			18,857,741			(268,267	)
3	GSCO	Long Gilt Futures		09/2017		499,945			490,646			(9,299	)
369	MSCL	U.S. Treasury 10-Year Note Futures		09/2017		46,403,012			46,321,032			(81,980	)
						129,895,389			128,965,838			(929,551	)
Short Contracts:
2	JPPC	LME Aluminum Futures^		07/2017		$(95,995	)		$(95,625	)		$370
1	JPPC	LME Aluminum Futures^		07/2017		(49,248	)		(47,786	)		1,462
1	JPPC	LME Aluminum Futures^		08/2017		(47,746	)		(47,819	)		(73	)
1	JPPC	LME Aluminum Futures^		08/2017		(47,015	)		(47,845	)		(830	)
1	JPPC	LME Aluminum Futures^		08/2017		(47,798	)		(47,848	)		(50	)
1	JPPC	LME Aluminum Futures^		09/2017		(47,998	)		(47,909	)		89
2	JPPC	LME Aluminum Futures^		09/2017		(93,723	)		(95,937	)		(2,214	)
10	JPPC	LME Aluminum Futures^		09/2017		(471,629	)		(479,875	)		(8,246	)
4	JPPC	LME Aluminum Futures^		09/2017		(187,381	)		(191,893	)		(4,512	)
2	JPPC	LME Aluminum Futures^		09/2017		(95,283	)		(95,950	)		(667	)
3	JPPC	LME Copper Futures^		07/2017		(427,191	)		(444,713	)		(17,522	)
3	JPPC	LME Copper Futures^		09/2017		(428,421	)		(445,518	)		(17,097	)
1	JPPC	LME Lead Futures^		07/2017		(56,048	)		(56,938	)		(890	)
1	JPPC	LME Lead Futures^		08/2017		(54,342	)		(57,164	)		(2,822	)
1	JPPC	LME Lead Futures^		09/2017		(54,673	)		(57,344	)		(2,671	)
1	JPPC	LME Lead Futures^		09/2017		(57,848	)		(57,300	)		548
1	JPPC	LME Nickel Futures^		07/2017		(58,438	)		(56,106	)		2,332
						(2,320,777	)		(2,373,570	)		(52,793	)
						$127,574,612			$126,592,268			$(982,344	)

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

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II MV FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 09/20/17	CITI	CHF		13,600			$14,100			$14,255			$155
Swiss Franc, Expiring 09/20/17	JPMC	CHF		20,400			21,154			21,382			228
Euro, Expiring 09/20/17	CITI	EUR		425,666			479,534			488,185			8,651
Euro, Expiring 09/20/17	JPMC	EUR		638,501			719,304			732,281			12,977
British Pound, Expiring 09/20/17	CITI	GBP		255,969			328,895			334,193			5,298
British Pound, Expiring 09/20/17	JPMC	GBP		383,952			493,340			501,288			7,948
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		538,400			69,241			69,109			(132	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		807,600			103,863			103,662			(201	)
							2,229,431			2,264,355			34,924
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		(20,000	)		$(5,987	)		$(5,941	)		$46
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		(30,000	)		(8,980	)		(8,912	)		68
Euro, Expiring 09/20/17	CITI	EUR		(3,107,416	)		(3,503,030	)		(3,563,819	)		(60,789	)
Euro, Expiring 09/20/17	JPMC	EUR		(4,661,124	)		(5,254,538	)		(5,345,729	)		(91,191	)
British Pound, Expiring 09/20/17	CITI	GBP		(1,585,933	)		(2,059,736	)		(2,070,595	)		(10,859	)
British Pound, Expiring 09/20/17	JPMC	GBP		(2,378,899	)		(3,089,601	)		(3,105,894	)		(16,293	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(573,200	)		(73,742	)		(73,575	)		167
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(859,800	)		(110,613	)		(110,363	)		250
							(14,106,227	)		(14,284,828	)		(178,601	)
							$(11,876,796	)		$(12,020,473	)		$(143,677	)

* Non-deliverable forward.

BRL - Brazilian Real

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

INR - Indian Rupee

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

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

AQR Funds Semi-Annual Report June 2017

188

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR RISK PARITY II MV FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Cash		$(10,000	)		$—			$(10,000	)
BARC
Cash		—			1,773,059			1,773,059
CITI
Investment Companies		120,626			—			120,626
GSCO
Cash		—			297,487			297,487
U.S. Treasury Inflation Linked Notes		—			382,770			382,770
GSIN
Investment Companies		431,275			—			431,275
JPMC
Investment Companies		520,000			—			520,000
JPMS
Cash		—			80,673			80,673
MSCL
Cash		—			(22,319	)		(22,319	)
U.S. Treasury Inflation Linked Notes		—			557,983			557,983

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$160,321		$—		$160,321
GSCO
Cash		—		235,196		235,196
JPPC
Cash		—		486,145		486,145
MSCL
Cash		—		1,059,234		1,059,234
MACQ
Cash		260,000		—		260,000
SOCG
Cash		120,000		—		120,000

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

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189

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 120.7%
COMMON STOCKS - 34.6%
Belgium - 0.5%
Ageas (a)		61,052	$	2,458,635
bpost SA (a)		181,859		4,392,328
Colruyt SA (a)		13,196		695,017
Galapagos NV *(a)		17,489		1,336,972
KBC Group NV (a)		15,106		1,145,323
Proximus SADP (a)		60,847		2,129,609
Solvay SA (a)		27,822		3,734,024
Umicore SA (a)		67,701		4,709,354
				20,601,262
Denmark - 1.2%
Danske Bank A/S (a)		129,313		4,975,070
DSV A/S (a)		9,350		574,316
GN Store Nord A/S (a)		71,760		2,095,319
H Lundbeck A/S (a)		166,088		9,323,714
ISS A/S (a)		135,315		5,315,329
Jyske Bank A/S (Registered) (a)		31,201		1,807,289
TDC A/S (a)		371,091		2,158,039
Vestas Wind Systems A/S (a)		194,949		18,006,921
William Demant Holding A/S *		119,441		3,090,413
				47,346,410
Finland - 1.5%
Cargotec OYJ, Class B (a)		68,203		4,326,510
Elisa OYJ (a)		12,548		486,764
Huhtamaki OYJ (a)		10,765		423,933
Kesko OYJ, Class B (a)		70,228		3,572,350
Metso OYJ (a)		79,415		2,755,532
Neste OYJ (a)		465,130		18,354,484
Orion OYJ, Class B (a)		90,484		5,780,193
Stora Enso OYJ, Class R (a)		662,467		8,560,437
UPM-Kymmene OYJ (a)		494,935		14,112,932
Wartsila OYJ Abp (a)		9,700		573,633
				58,946,768
Germany - 5.2%
adidas AG (a)		48,030		9,209,696
Allianz SE (Registered) (a)		18,810		3,712,006
Aurubis AG (a)		70,044		5,510,104
Axel Springer SE (a)		10,313		620,338
Brenntag AG (a)		45,953		2,665,005
Covestro AG (a)(b)		279,689		20,275,789
Deutsche Lufthansa AG (Registered) (a)		1,083,886		24,701,276
Evonik Industries AG (a)		146,117		4,676,587
Freenet AG (a)		156,723		4,999,870
FUCHS PETROLUB SE (Preference) (a)		10,763		586,616
Hannover Rueck SE (a)		93,503		11,230,977
HeidelbergCement AG (a)		39,627		3,841,396
Hella KGaA Hueck & Co. (a)		38,076		1,877,769
Henkel AG & Co. KGaA (Preference) (a)		77,645		10,706,760
HOCHTIEF AG (a)		47,933		8,799,488
Infineon Technologies AG (a)		513,815		10,913,726
KION Group AG (a)		47,344		3,621,463
Krones AG (a)		5,060		586,564
LANXESS AG (a)		5,701		432,365

INVESTMENTS	SHARES		VALUE
Germany - 5.2% (continued)
METRO AG (a)		112,174	$	3,789,478
MTU Aero Engines AG (a)		28,386		4,010,567
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (a)		48,056		9,724,271
OSRAM Licht AG (a)		76,597		6,114,131
Rheinmetall AG (a)		50,677		4,823,622
SAP SE (a)		97,647		10,220,845
Siemens AG (Registered) (a)		108,495		14,923,918
Software AG (a)		172,749		7,576,798
STADA Arzneimittel AG * (a)		38,979		2,768,717
Suedzucker AG (a)		319,012		6,660,121
Talanx AG (a)		78,847		2,949,341
Uniper SE (a)		95,883		1,801,669
Wirecard AG (a)		12,232		780,209
				205,111,482
Italy - 2.5%
A2A SpA		6,297,448		10,471,081
Assicurazioni Generali SpA (a)		123,140		2,032,571
Autogrill SpA		187,426		2,271,802
Banca Generali SpA		22,841		681,581
Brembo SpA		142,340		2,085,706
Buzzi Unicem SpA		139,147		3,469,628
Davide Campari-Milano SpA		386,724		2,734,016
Enel SpA (a)		6,615,063		35,479,874
Hera SpA		298,943		913,940
Italgas SpA		151,342		763,239
Leonardo SpA (a)		83,291		1,386,776
Mediobanca SpA (a)		568,588		5,625,062
Poste Italiane SpA (b)		1,049,307		7,195,091
Prysmian SpA (a)		277,616		8,187,880
Recordati SpA		141,774		5,749,228
Terna Rete Elettrica Nazionale SpA (a)		1,144,164		6,179,780
UnipolSai Assicurazioni SpA (a)		940,492		2,063,302
				97,290,557
Japan - 15.8%
ABC-Mart, Inc. (a)		39,800		2,345,502
Advantest Corp. (a)		22,900		392,559
Air Water, Inc. (a)		87,000		1,605,644
Aisin Seiki Co. Ltd. (a)		8,400		431,816
Alfresa Holdings Corp. (a)		278,000		5,374,607
Amada Holdings Co. Ltd. (a)		425,100		4,931,020
ANA Holdings, Inc. (a)		1,576,000		5,487,611
Aozora Bank Ltd. (a)		2,442,000		9,323,272
Asahi Glass Co. Ltd. (a)		16,400		692,619
Asahi Group Holdings Ltd. (a)		15,700		591,266
Asahi Kasei Corp. (a)		546,000		5,890,419
Astellas Pharma, Inc. (a)		468,900		5,747,167
Bandai Namco Holdings, Inc. (a)		282,400		9,648,859
Brother Industries Ltd. (a)		320,500		7,423,749
Central Japan Railway Co. (a)		32,800		5,356,792
Chubu Electric Power Co., Inc. (a)		211,700		2,815,326
Chugoku Bank Ltd. (The) (a)		77,600		1,165,040
Coca-Cola Bottlers Japan, Inc. (a)		50,000		1,447,780
Cosmos Pharmaceutical Corp. (a)		7,700		1,500,142
CyberAgent, Inc. (a)		30,600		950,331
Dai Nippon Printing Co. Ltd. (a)		69,000		768,657

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

AQR Funds Semi-Annual Report June 2017

190

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
Japan - 15.8% (continued)
Daiichi Sankyo Co. Ltd. (a)		394,100	$	9,301,908
DeNA Co. Ltd. (a)		120,100		2,699,301
East Japan Railway Co. (a)		12,000		1,149,555
Ezaki Glico Co. Ltd. (a)		39,900		2,148,347
FUJIFILM Holdings Corp. (a)		61,900		2,231,957
Fujitsu Ltd. (a)		1,364,000		10,088,508
Fukuoka Financial Group, Inc. (a)		239,000		1,140,320
Gunma Bank Ltd. (The) (a)		220,300		1,326,586
Hakuhodo DY Holdings, Inc. (a)		293,100		3,903,420
Hankyu Hanshin Holdings, Inc. (a)		79,400		2,860,408
Haseko Corp. (a)		605,700		7,375,845
Hikari Tsushin, Inc. (a)		18,800		1,980,689
Hiroshima Bank Ltd. (The) (a)		125,000		556,427
Hisamitsu Pharmaceutical Co., Inc. (a)		65,400		3,135,514
Hitachi Capital Corp. (a)		89,000		2,146,073
Hitachi Chemical Co. Ltd. (a)		241,400		7,237,319
Hitachi High-Technologies Corp. (a)		239,200		9,315,150
Hitachi Metals Ltd. (a)		174,100		2,429,110
Hokuhoku Financial Group, Inc. (a)		14,400		230,339
Idemitsu Kosan Co. Ltd. (a)		429,500		12,218,715
Iida Group Holdings Co. Ltd. (a)		50,700		846,259
Inpex Corp. (a)		472,300		4,560,276
Ito En Ltd. (a)		40,100		1,464,045
ITOCHU Corp. (a)		658,200		9,799,893
Itochu Techno-Solutions Corp. (a)		215,000		7,539,482
Izumi Co. Ltd. (a)		20,500		1,165,661
J Front Retailing Co. Ltd. (a)		42,700		658,027
Japan Airlines Co. Ltd. (a)		137,900		4,271,547
JSR Corp. (a)		37,200		643,978
JTEKT Corp. (a)		36,700		540,053
JXTG Holdings, Inc. (a)		726,800		3,180,122
Kajima Corp. (a)		1,280,000		10,818,073
Kaken Pharmaceutical Co. Ltd. (a)		16,200		884,558
Kamigumi Co. Ltd. (a)		160,000		1,681,892
Kaneka Corp. (a)		343,000		2,625,134
Kao Corp. (a)		96,300		5,725,838
KDDI Corp. (a)		108,700		2,874,857
Keihan Holdings Co. Ltd. (a)		71,000		451,816
Kewpie Corp. (a)		169,600		4,453,634
Keyence Corp. (a)		1,700		748,387
Kobayashi Pharmaceutical Co. Ltd. (a)		10,200		606,235
Konami Holdings Corp. (a)		251,700		14,011,062
Kuraray Co. Ltd. (a)		288,500		5,253,309
Kurita Water Industries Ltd. (a)		36,800		1,006,630
Lion Corp. (a)		364,000		7,550,041
Makita Corp. (a)		35,600		1,318,412
Marubeni Corp. (a)		320,700		2,077,704
Maruichi Steel Tube Ltd. (a)		21,200		616,800
Matsumotokiyoshi Holdings Co. Ltd. (a)		23,000		1,310,179
Medipal Holdings Corp. (a)		234,700		4,351,823
MEIJI Holdings Co. Ltd. (a)		32,100		2,602,955
Miraca Holdings, Inc. (a)		9,500		427,871
Mitsubishi Chemical Holdings Corp. (a)		490,500		4,086,726
Mitsubishi Corp. (a)		189,000		3,972,973
Mitsubishi Gas Chemical Co., Inc. (a)		441,300		9,372,948
Mitsubishi Tanabe Pharma Corp. (a)		410,400		9,493,415
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)		981,300		5,383,948
Mitsui & Co. Ltd. (a)		268,300		3,840,939

INVESTMENTS	SHARES		VALUE
Japan - 15.8% (continued)
Mitsui Chemicals, Inc. (a)		1,281,000	$	6,821,803
Mixi, Inc.		115,500		6,427,492
Mizuho Financial Group, Inc. (a)		6,276,100		11,507,064
Nagoya Railroad Co. Ltd. (a)		671,000		3,130,959
Nankai Electric Railway Co. Ltd. (a)		90,000		466,069
Nexon Co. Ltd. (a)		166,000		3,292,754
NH Foods Ltd. (a)		251,000		7,635,445
NHK Spring Co. Ltd. (a)		373,600		3,944,471
Nikon Corp. (a)		25,700		411,949
Nippon Express Co. Ltd. (a)		992,000		6,224,966
Nippon Shokubai Co. Ltd. (a)		60,900		3,933,728
Nippon Telegraph & Telephone Corp. (a)		220,200		10,394,344
Nisshin Seifun Group, Inc. (a)		249,000		4,093,458
Nitori Holdings Co. Ltd. (a)		98,100		13,131,986
Nomura Research Institute Ltd. (a)		54,285		2,144,611
NTT Data Corp. (a)		248,000		2,766,848
Obayashi Corp. (a)		891,000		10,497,878
Oracle Corp. Japan (a)		44,800		2,914,138
ORIX Corp. (a)		770,400		11,987,317
Osaka Gas Co. Ltd. (a)		1,157,000		4,737,733
Otsuka Corp. (a)		97,500		6,064,894
Otsuka Holdings Co. Ltd. (a)		179,700		7,672,342
Park24 Co. Ltd. (a)		160,600		4,086,683
Persol Holdings Co. Ltd. (a)		49,400		928,137
Pola Orbis Holdings, Inc. (a)		255,600		6,762,306
Recruit Holdings Co. Ltd. (a)		93,900		1,616,008
Resona Holdings, Inc. (a)		2,129,200		11,761,300
Sankyo Co. Ltd. (a)		15,100		512,952
Sawai Pharmaceutical Co. Ltd. (a)		10,100		567,239
SCSK Corp. (a)		15,800		709,930
Seiko Epson Corp. (a)		192,200		4,288,444
Sekisui Chemical Co. Ltd. (a)		190,600		3,420,022
Shimamura Co. Ltd. (a)		69,800		8,556,921
Shimizu Corp. (a)		473,000		5,025,917
Shin-Etsu Chemical Co. Ltd. (a)		8,900		810,015
Shinsei Bank Ltd. (a)		397,000		695,450
Shionogi & Co. Ltd. (a)		59,400		3,312,019
Sohgo Security Services Co. Ltd. (a)		12,300		555,223
Sojitz Corp. (a)		3,434,800		8,455,379
Sompo Holdings, Inc. (a)		93,500		3,629,190
Sosei Group Corp. *		14,700		1,617,025
Square Enix Holdings Co. Ltd. (a)		139,900		4,584,793
Start Today Co. Ltd. (a)		146,800		3,617,841
Subaru Corp. (a)		44,900		1,522,472
Sugi Holdings Co. Ltd. (a)		37,000		1,982,668
Sumitomo Corp. (a)		379,500		4,948,746
Sumitomo Dainippon Pharma Co. Ltd. (a)		554,700		7,571,596
Sumitomo Heavy Industries Ltd. (a)		207,000		1,373,576
Sumitomo Mitsui Trust Holdings, Inc. (a)		34,500		1,239,216
Sumitomo Rubber Industries Ltd. (a)		331,800		5,619,206
Sundrug Co. Ltd. (a)		47,400		1,768,131
Suruga Bank Ltd. (a)		21,500		522,890
Suzuken Co. Ltd. (a)		69,910		2,327,172
Suzuki Motor Corp. (a)		124,200		5,916,636
Taisei Corp. (a)		985,000		9,009,348

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

AQR Funds Semi-Annual Report June 2017

191

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
Japan - 15.8% (continued)
Taisho Pharmaceutical Holdings Co. Ltd. (a)		11,700	$	891,474
Takashimaya Co. Ltd. (a)		221,000		2,108,358
Teijin Ltd. (a)		34,200		659,960
Terumo Corp. (a)		28,200		1,112,743
Toho Gas Co. Ltd. (a)		666,000		4,851,159
Tohoku Electric Power Co., Inc. (a)		53,800		745,620
Tokyo Century Corp. (a)		36,700		1,470,923
Tokyo Electron Ltd. (a)		96,200		13,005,563
Toppan Printing Co. Ltd. (a)		299,000		3,287,808
Tosoh Corp. (a)		1,090,000		11,233,776
Toyo Suisan Kaisha Ltd. (a)		133,900		5,137,282
Toyoda Gosei Co. Ltd. (a)		87,000		2,084,646
Toyota Boshoku Corp. (a)		33,800		636,689
Tsuruha Holdings, Inc. (a)		18,400		1,955,252
USS Co. Ltd. (a)		38,800		773,326
Welcia Holdings Co. Ltd. (a)		27,200		1,006,977
West Japan Railway Co. (a)		79,000		5,589,691
Yamada Denki Co. Ltd. (a)		566,800		2,818,156
Yamaguchi Financial Group, Inc. (a)		549,000		6,649,498
Yamazaki Baking Co. Ltd. (a)		298,900		5,959,150
Yokogawa Electric Corp. (a)		54,900		883,523
Yokohama Rubber Co. Ltd. (The) (a)		23,500		473,741
				622,435,186
Netherlands - 1.5%
Aalberts Industries NV (a)		32,067		1,276,019
ASM International NV (a)		60,598		3,524,004
ASML Holding NV (a)		22,492		2,931,895
Gemalto NV (a)		14,478		868,347
Koninklijke Ahold Delhaize NV (a)		170,988		3,263,688
Koninklijke DSM NV (a)		93,924		6,831,332
Koninklijke Philips NV (a)		404,233		14,390,165
NN Group NV (a)		256,427		9,098,814
Philips Lighting NV (a)(b)		25,836		954,314
Randstad Holding NV (a)		88,236		5,144,258
Wolters Kluwer NV (a)		242,983		10,276,473
				58,559,309
Norway - 0.3%
Gjensidige Forsikring ASA (a)		28,441		485,485
Marine Harvest ASA *(a)		507,395		8,681,127
Orkla ASA (a)		49,400		502,102
Yara International ASA (a)		16,309		613,256
				10,281,970
Portugal - 0.0% (c)
Galp Energia SGPS SA (a)		140,103		2,123,088
Spain - 1.3%
ACS Actividades de Construccion y Servicios SA (a)		43,878		1,696,494
Aena SA (a)(b)		13,711		2,677,408
Almirall SA (a)		50,569		823,739
Amadeus IT Group SA (a)		59,468		3,554,743
Bankinter SA (a)		65,710		606,172
Ebro Foods SA (a)		210,309		4,809,523
Endesa SA (a)		488,889		11,277,981
Gas Natural SDG SA (a)		70,772		1,656,664
Iberdrola SA (a)		193,111		1,530,293

INVESTMENTS	SHARES		VALUE
Spain - 1.3% (continued)
Repsol SA (a)		1,399,537	$	21,456,413
Tecnicas Reunidas SA (a)		16,427		636,537
				50,725,967
Sweden - 1.6%
BillerudKorsnas AB		40,727		643,654
Boliden AB		440,788		12,048,914
Electrolux AB, Series B		140,972		4,622,649
Essity AB, Class B *		162,714		4,451,859
Husqvarna AB, Class B		391,018		3,886,797
ICA Gruppen AB		55,667		2,073,702
Modern Times Group MTG AB, Class B		31,052		1,068,833
NCC AB, Class B		97,794		2,754,627
Nordea Bank AB (a)		241,815		3,079,860
Saab AB, Class B		65,645		3,244,329
Sandvik AB		200,244		3,152,689
Securitas AB, Class B		382,142		6,445,391
Skanska AB, Class B		172,024		4,084,873
SKF AB, Class B		99,323		2,016,892
SSAB AB, Class A *		251,186		1,146,372
Svenska Cellulosa AB SCA, Class B		162,714		1,230,933
Swedbank AB, Class A		126,372		3,084,217
Swedish Match AB		23,828		839,480
Trelleborg AB, Class B		27,956		638,330
Volvo AB, Class B		70,177		1,196,774
				61,711,175
Switzerland - 2.5%
ABB Ltd. (Registered) (a)		620,524		15,402,096
Adecco Group AG (Registered) (a)		101,050		7,698,212
Barry Callebaut AG (Registered) *		540		743,320
DKSH Holding AG		9,053		736,029
dormakaba Holding AG *		597		519,575
Flughafen Zurich AG (Registered)		4,913		1,206,634
Geberit AG (Registered) (a)		13,668		6,382,414
Georg Fischer AG (Registered)		4,348		4,217,470
Helvetia Holding AG (Registered)		1,684		965,783
Lonza Group AG (Registered) *(a)		36,514		7,909,523
Novartis AG (Registered) (a)		21,303		1,779,367
Partners Group Holding AG		4,786		2,971,678
Roche Holding AG (a)		19,309		4,933,738
Schindler Holding AG		3,492		740,349
SGS SA (Registered) (a)		429		1,040,191
Sika AG (a)		1,095		7,030,040
STMicroelectronics NV (a)		510,047		7,346,879
Straumann Holding AG (Registered)		5,079		2,892,343
Swiss Life Holding AG (Registered) *(a)		20,901		7,070,224
Swiss Re AG (a)		156,322		14,325,781
Temenos Group AG (Registered)		45,002		4,026,017
				99,937,663
United Kingdom - 0.7%
Dialog Semiconductor plc *(a)		11,954		510,738
Fiat Chrysler Automobiles NV *		2,135,015		22,555,523
Subsea 7 SA (a)		429,656		5,793,241
				28,859,502
TOTAL COMMON STOCKS (Cost $1,117,175,411)				1,363,930,339

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

AQR Funds Semi-Annual Report June 2017

192

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 86.1%
INVESTMENT COMPANIES - 61.9%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (e)		15,483,391	$	15,483,391
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (e)		61,933,565		61,933,565
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (e)(f)(g)		1,048,896,209		1,048,896,209
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (e)(f)(g)		591,546,706		591,546,706
Limited Purpose Cash Investment Fund, 0.81% (e)(h)		640,008,381		639,944,381
UBS Select Treasury Preferred Fund, Class I, 0.85% (e)		77,416,956		77,416,956
TOTAL INVESTMENT COMPANIES (Cost $2,435,261,398)				2,435,221,208
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 24.2%
U.S. Treasury Bills 0.62%, 7/6/2017 (f)(i)	$	2,750,000		2,749,827
0.59%, 7/13/2017 (i)		24,767,000		24,761,675
0.61%, 7/20/2017 (f)(i)		384,481,000		384,339,127
0.60%, 7/27/2017 (i)		14,776,000		14,767,918
0.63%, 8/3/2017 (i)		2,548,000		2,546,130
0.62%, 8/10/2017 (i)		6,153,000		6,147,339
0.65%, 8/17/2017 (f)(i)		129,866,000		129,719,251
0.67%, 8/24/2017 (f)(i)		30,743,000		30,702,235
0.67%, 8/31/2017 (f)(i)(j)		45,813,000		45,743,731
0.83%, 9/7/2017 (i)(j)		5,428,000		5,418,544
0.89%, 9/21/2017 (f)(i)		1,200,000		1,197,404
0.91%, 9/28/2017 (f)(i)		5,671,000		5,657,157
0.91%, 10/5/2017 (f)(i)		3,482,000		3,472,773
1.02%, 11/9/2017 (f)(i)		4,138,000		4,122,425
1.02%, 11/16/2017 (f)(i)(j)		167,034,000		166,369,873
1.05%, 11/24/2017 (f)(i)(j)		19,998,000		19,913,228
1.06%, 11/30/2017 (i)(j)		21,299,000		21,205,306
1.11%, 12/14/2017 (i)		11,541,000		11,484,876
1.13%, 12/21/2017 (f)(i)(j)		39,689,000		39,486,467
1.12%, 12/28/2017 (f)(i)(j)		32,490,000		32,309,875
TOTAL U.S. TREASURY OBLIGATIONS (Cost $952,201,688)				952,115,161
TOTAL SHORT-TERM INVESTMENTS (Cost $3,387,463,086)				3,387,336,369
TOTAL LONG POSITIONS (Cost $4,504,638,497)				4,751,266,708

INVESTMENTS	SHARES			VALUE
SHORT POSITIONS - (27.9)%
COMMON STOCKS - (27.9)%
Austria - (0.1)%
ams AG *		(83,157	)	$	(5,396,219	)
Belgium - (0.5)%
Anheuser-Busch InBev SA/NV		(132,071	)		(14,587,048	)
Telenet Group Holding NV *		(73,105	)		(4,605,245	)
					(19,192,293	)
Denmark - (0.5)%
AP Moller - Maersk A/S, Class B		(579	)		(1,165,824	)
Chr Hansen Holding A/S		(21,618	)		(1,572,208	)
Coloplast A/S, Class B		(91,030	)		(7,608,776	)
Novo Nordisk A/S, Class B		(57,985	)		(2,491,458	)
Novozymes A/S, Class B		(151,752	)		(6,639,017	)
Tryg A/S		(26,020	)		(569,032	)
					(20,046,315	)
Finland - (1.1)%
Fortum OYJ		(299,394	)		(4,698,582	)
Nokia OYJ		(6,168,694	)		(37,824,755	)
Nokian Renkaat OYJ		(10,785	)		(446,429	)
					(42,969,766	)
Germany - (3.4)%
Bayerische Motoren Werke AG		(27,849	)		(2,590,160	)
Beiersdorf AG		(45,261	)		(4,760,625	)
Bilfinger SE		(63,284	)		(2,483,972	)
Commerzbank AG *		(2,469,528	)		(29,488,470	)
Daimler AG (Registered)		(59,142	)		(4,289,491	)
Deutsche Bank AG (Registered)		(1,451,282	)		(25,803,490	)
E.ON SE		(1,173,824	)		(11,080,862	)
Fraport AG Frankfurt Airport Services Worldwide		(4,856	)		(429,720	)
GEA Group AG		(55,466	)		(2,277,494	)
HUGO BOSS AG		(68,612	)		(4,809,863	)
MAN SE		(4,079	)		(437,451	)
ProSiebenSat.1 Media SE		(89,204	)		(3,742,061	)
RWE AG *		(814,566	)		(16,271,621	)
Salzgitter AG		(12,903	)		(526,580	)
Schaeffler AG (Preference)		(35,099	)		(503,550	)
Symrise AG		(15,087	)		(1,070,427	)
Telefonica Deutschland Holding AG		(995,567	)		(4,978,826	)
thyssenkrupp AG		(269,133	)		(7,670,283	)
United Internet AG (Registered)		(77,565	)		(4,268,716	)
Volkswagen AG (Preference)		(40,849	)		(6,239,920	)
Zalando SE *(b)		(32,155	)		(1,470,352	)
					(135,193,934	)
Italy - (2.1)%
Banco BPM SpA *		(6,903,980	)		(23,187,072	)
BPER Banca		(328,618	)		(1,645,956	)
Luxottica Group SpA		(59,331	)		(3,453,541	)
Mediaset SpA *		(1,515,011	)		(5,968,726	)
Saipem SpA *		(1,151,307	)		(4,263,512	)
UniCredit SpA *		(1,817,321	)		(34,040,706	)
Unione di Banche Italiane SpA		(572,557	)		(2,466,885	)
Unipol Gruppo Finanziario SpA		(699,215	)		(3,067,873	)
Yoox Net-A-Porter Group SpA *		(202,352	)		(5,607,038	)
					(83,701,309	)

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

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193

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
Japan - (14.8)%
Acom Co. Ltd. *		(1,096,900	)	$	(5,020,813	)
Aeon Co. Ltd.		(527,500	)		(8,023,068	)
AEON Financial Service Co. Ltd.		(248,100	)		(5,265,206	)
Alps Electric Co. Ltd.		(672,700	)		(19,540,815	)
Asics Corp.		(479,200	)		(8,905,744	)
Bank of Kyoto Ltd. (The)		(1,143,000	)		(10,831,141	)
Calbee, Inc.		(299,200	)		(11,768,427	)
Casio Computer Co. Ltd.		(332,100	)		(5,118,392	)
Chiba Bank Ltd. (The)		(964,000	)		(7,015,434	)
Chiyoda Corp.		(171,000	)		(1,010,074	)
Chugai Pharmaceutical Co. Ltd.		(178,000	)		(6,668,936	)
Chugoku Electric Power Co., Inc. (The)		(503,900	)		(5,563,754	)
Concordia Financial Group Ltd.		(127,900	)		(648,247	)
Credit Saison Co. Ltd.		(70,900	)		(1,388,289	)
Daiwa Securities Group, Inc.		(689,000	)		(4,102,793	)
Denso Corp.		(175,900	)		(7,464,869	)
Dentsu, Inc.		(17,200	)		(825,136	)
Don Quijote Holdings Co. Ltd.		(47,900	)		(1,819,952	)
Eisai Co. Ltd.		(155,000	)		(8,575,773	)
Electric Power Development Co. Ltd.		(357,500	)		(8,854,645	)
FANUC Corp.		(42,600	)		(8,245,048	)
Fast Retailing Co. Ltd.		(27,800	)		(9,297,002	)
Hachijuni Bank Ltd. (The)		(607,600	)		(3,871,365	)
Hamamatsu Photonics KK		(172,500	)		(5,315,962	)
Hirose Electric Co. Ltd.		(10,100	)		(1,445,355	)
Hitachi Construction Machinery Co. Ltd.		(133,600	)		(3,360,861	)
Hitachi Ltd.		(81,000	)		(499,421	)
Hokuriku Electric Power Co.		(106,700	)		(963,209	)
Honda Motor Co. Ltd.		(111,900	)		(3,065,845	)
Ibiden Co. Ltd.		(354,900	)		(6,137,864	)
IHI Corp. *		(2,084,000	)		(7,121,828	)
Isetan Mitsukoshi Holdings Ltd.		(179,000	)		(1,800,777	)
Iyo Bank Ltd. (The)		(808,900	)		(6,719,236	)
Japan Post Insurance Co. Ltd.		(20,700	)		(457,843	)
JFE Holdings, Inc.		(252,100	)		(4,389,462	)
JGC Corp.		(175,600	)		(2,860,405	)
Kakaku.com, Inc.		(436,000	)		(6,267,470	)
Kansai Electric Power Co., Inc. (The)		(121,600	)		(1,676,795	)
Kansai Paint Co. Ltd.		(269,900	)		(6,230,965	)
Kawasaki Heavy Industries Ltd.		(2,182,000	)		(6,494,990	)
Keikyu Corp.		(268,000	)		(3,232,170	)
Keio Corp.		(206,000	)		(1,726,744	)
Keisei Electric Railway Co. Ltd.		(70,500	)		(1,886,823	)
Kikkoman Corp.		(288,000	)		(9,212,600	)
Kintetsu Group Holdings Co. Ltd.		(626,000	)		(2,415,156	)
Kobe Steel Ltd. *		(1,495,500	)		(15,420,452	)
Koito Manufacturing Co. Ltd.		(32,300	)		(1,670,251	)
Kubota Corp.		(109,900	)		(1,857,618	)
Kyowa Hakko Kirin Co. Ltd.		(80,800	)		(1,502,800	)
Kyushu Electric Power Co., Inc.		(636,400	)		(7,734,633	)
Kyushu Financial Group, Inc.		(87,100	)		(551,912	)
Kyushu Railway Co.		(67,600	)		(2,192,546	)
LIXIL Group Corp.		(180,700	)		(4,529,265	)
Mabuchi Motor Co. Ltd.		(52,200	)		(2,609,106	)
Marui Group Co. Ltd.		(191,600	)		(2,831,053	)
Mazda Motor Corp.		(69,300	)		(973,588	)

INVESTMENTS	SHARES			VALUE
Japan - (14.8)% (continued)
MINEBEA MITSUMI, Inc.		(295,200	)	$	(4,773,960	)
MISUMI Group, Inc.		(28,600	)		(655,502	)
Mitsubishi Heavy Industries Ltd.		(1,338,000	)		(5,508,758	)
Mitsubishi Logistics Corp.		(239,000	)		(3,189,072	)
Mitsubishi Materials Corp.		(81,000	)		(2,458,059	)
Mitsubishi Motors Corp.		(2,560,000	)		(16,929,684	)
Mitsui OSK Lines Ltd.		(1,323,000	)		(3,906,689	)
Murata Manufacturing Co. Ltd.		(71,100	)		(10,854,555	)
Nabtesco Corp.		(78,900	)		(2,301,046	)
NGK Insulators Ltd.		(31,600	)		(633,521	)
NGK Spark Plug Co. Ltd.		(714,500	)		(15,304,957	)
Nidec Corp.		(18,000	)		(1,849,320	)
Nippon Electric Glass Co. Ltd.		(38,800	)		(1,415,331	)
Nippon Paint Holdings Co. Ltd.		(227,000	)		(8,636,159	)
Nippon Steel & Sumitomo Metal Corp.		(93,100	)		(2,109,714	)
Nippon Yusen KK *		(3,742,000	)		(6,995,624	)
Nissan Chemical Industries Ltd.		(21,000	)		(695,875	)
Nissan Motor Co. Ltd.		(163,600	)		(1,633,535	)
NOK Corp.		(81,900	)		(1,738,709	)
Nomura Holdings, Inc.		(207,100	)		(1,248,905	)
NSK Ltd.		(43,300	)		(544,878	)
NTN Corp.		(560,000	)		(2,605,891	)
Odakyu Electric Railway Co. Ltd.		(211,500	)		(4,274,578	)
Oji Holdings Corp.		(149,000	)		(771,447	)
Olympus Corp.		(202,500	)		(7,419,278	)
Omron Corp.		(42,200	)		(1,836,941	)
Ono Pharmaceutical Co. Ltd.		(344,600	)		(7,516,204	)
Orient Corp.		(481,600	)		(841,257	)
Oriental Land Co. Ltd.		(132,000	)		(8,946,305	)
Panasonic Corp.		(85,900	)		(1,170,410	)
Pigeon Corp.		(273,300	)		(9,935,909	)
Rakuten, Inc.		(379,900	)		(4,483,168	)
Ricoh Co. Ltd.		(949,400	)		(8,410,378	)
Rinnai Corp.		(14,500	)		(1,354,682	)
Rohm Co. Ltd.		(9,400	)		(724,753	)
Ryohin Keikaku Co. Ltd.		(2,400	)		(600,674	)
Santen Pharmaceutical Co. Ltd.		(53,100	)		(721,264	)
Seibu Holdings, Inc.		(281,300	)		(5,212,069	)
Seven Bank Ltd.		(2,134,000	)		(7,651,364	)
Shikoku Electric Power Co., Inc.		(746,400	)		(8,810,643	)
Shimano, Inc.		(39,900	)		(6,335,266	)
Shizuoka Bank Ltd. (The)		(889,000	)		(8,062,639	)
SMC Corp.		(7,100	)		(2,170,415	)
Sony Corp.		(214,500	)		(8,181,833	)
Sony Financial Holdings, Inc.		(1,140,600	)		(19,506,523	)
Stanley Electric Co. Ltd.		(143,400	)		(4,345,719	)
Sumitomo Metal Mining Co. Ltd.		(438,000	)		(5,854,344	)
Sysmex Corp.		(20,500	)		(1,227,001	)
T&D Holdings, Inc.		(496,700	)		(7,595,606	)
Taiyo Nippon Sanso Corp.		(298,000	)		(3,361,217	)
Takeda Pharmaceutical Co. Ltd.		(30,200	)		(1,533,223	)
THK Co. Ltd.		(38,900	)		(1,108,620	)
Tobu Railway Co. Ltd.		(470,000	)		(2,567,832	)
Toho Co. Ltd.		(15,800	)		(487,271	)
Tokyo Electric Power Co. Holdings, Inc. *		(1,043,200	)		(4,306,695	)
Toyo Seikan Group Holdings Ltd.		(82,500	)		(1,396,625	)
Toyota Industries Corp.		(66,400	)		(3,511,916	)

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

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194

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
Japan - (14.8)% (continued)
Toyota Motor Corp.		(69,300	)	$	(3,642,651	)
Trend Micro, Inc.		(15,500	)		(801,087	)
Unicharm Corp.		(104,800	)		(2,638,441	)
Yahoo Japan Corp.		(618,700	)		(2,689,629	)
Yakult Honsha Co. Ltd.		(199,700	)		(13,612,163	)
Yamaha Motor Co. Ltd.		(454,600	)		(11,796,583	)
Yamato Holdings Co. Ltd.		(108,800	)		(2,210,334	)
Yaskawa Electric Corp.		(559,100	)		(11,904,390	)
					(582,499,019	)
Luxembourg - (0.4)%
APERAM SA		(10,701	)		(496,909	)
ArcelorMittal *		(68,849	)		(1,561,708	)
Millicom International Cellular SA, SDR		(80,631	)		(4,769,165	)
Tenaris SA		(602,308	)		(9,404,279	)
					(16,232,061	)
Netherlands - (1.0)%
Aegon NV		(1,001,447	)		(5,125,316	)
Altice NV, Class A *		(926,874	)		(21,354,612	)
Koninklijke KPN NV		(2,932,085	)		(9,384,328	)
Koninklijke Vopak NV		(34,099	)		(1,580,109	)
OCI NV *		(110,646	)		(2,436,299	)
SBM Offshore NV		(83,772	)		(1,341,914	)
					(41,222,578	)
Norway - (0.4)%
Norsk Hydro ASA		(589,971	)		(3,264,903	)
Schibsted ASA, Class A		(244,971	)		(5,916,754	)
Statoil ASA		(117,549	)		(1,949,214	)
Telenor ASA		(168,737	)		(2,799,388	)
					(13,930,259	)
Portugal - (0.1)%
Banco Comercial Portugues SA, Class R *		(7,794,313	)		(2,097,429	)
Banco Espirito Santo SA (Registered) (3)*(d)		(216,618	)		(3	)
					(2,097,432	)
Spain - (1.3)%
Abertis Infraestructuras SA		(87,622	)		(1,624,204	)
Acciona SA		(4,553	)		(400,860	)
Atresmedia Corp. de Medios de Comunicacion SA		(134,219	)		(1,571,684	)
Banco de Sabadell SA		(1,191,981	)		(2,425,152	)
Banco Santander SA		(220,974	)		(1,467,241	)
Bankia SA		(1,013,123	)		(4,900,223	)
CaixaBank SA		(439,826	)		(2,102,534	)
Cellnex Telecom SA (b)		(648,398	)		(13,400,107	)
Distribuidora Internacional de Alimentacion SA		(182,941	)		(1,141,621	)
Enagas SA		(53,132	)		(1,491,114	)
Ferrovial SA		(158,548	)		(3,521,856	)
Industria de Diseno Textil SA		(143,482	)		(5,510,427	)
Red Electrica Corp. SA		(66,030	)		(1,381,375	)
Telefonica SA		(1,001,041	)		(10,362,393	)
					(51,300,791	)

INVESTMENTS	SHARES			VALUE
Sweden - (1.0)%
Alfa Laval AB		(35,702	)	$	(730,731	)
Getinge AB, Class B		(104,516	)		(2,047,078	)
Hennes & Mauritz AB, Class B		(365,922	)		(9,123,181	)
Hexagon AB, Class B		(10,224	)		(485,739	)
Skandinaviska Enskilda Banken AB, Class A		(38,183	)		(462,268	)
Svenska Handelsbanken AB, Class A		(194,999	)		(2,792,800	)
Swedish Orphan Biovitrum AB *		(31,112	)		(480,577	)
Telefonaktiebolaget LM Ericsson, Class B		(3,189,811	)		(22,935,155	)
					(39,057,529	)
Switzerland - (1.1)%
Aryzta AG *		(59,094	)		(1,948,935	)
Chocoladefabriken Lindt & Spruengli AG		(623	)		(3,611,782	)
Cie Financiere Richemont SA (Registered)		(23,874	)		(1,975,546	)
Credit Suisse Group AG (Registered) *		(1,921,588	)		(27,961,009	)
OC Oerlikon Corp. AG (Registered) *		(318,139	)		(4,186,911	)
Sunrise Communications Group AG *(b)		(14,586	)		(1,150,067	)
Vifor Pharma AG		(7,368	)		(813,852	)
					(41,648,102	)
United Kingdom - 0.0% (c)
CNH Industrial NV		(62,785	)		(712,029	)
United States - (0.1)%
QIAGEN NV *		(62,191	)		(2,069,327	)
TOTAL COMMON STOCKS (Proceeds $(991,567,006))					(1,097,268,963	)
TOTAL SHORT POSITIONS (Proceeds $(991,567,006))					(1,097,268,963	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 92.8% (Cost $3,513,071,491)					3,653,997,745
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.2% (k)					281,155,576
NET ASSETS - 100.0%				$3,935,153,321

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(90,359,659	)		(2.3	)%
Consumer Staples		39,213,990			1.0
Energy		48,292,735			1.2
Financials		(92,358,649	)		(2.4	)
Health Care		61,596,192			1.6
Industrials		219,823,015			5.6
Information Technology		5,032,810			0.1
Materials		87,741,046			2.2
Telecommunication Services		(23,800,790	)		(0.6	)
Utilities		11,480,686			0.3
Short-Term Investments		3,387,336,369			86.1
Total Investments In Securities At Value		3,653,997,745			92.8
Other Assets in Excess of Liabilities (k)		281,155,576			7.2
Net Assets	$	3,935,153,321			100.0	%

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

AQR Funds Semi-Annual Report June 2017

195

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

* 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 $1,191,116,447. In addition, $23,535,177 of cash collateral was pledged.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 6/30/2017 amounted to $15,082,076, which represents approximately 0.38% of net assets of the fund.

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

(d) Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 6/30/2017 amounted to $(3), which represents approximately 0.00% of net assets of the fund.

(e) Represents 7-day effective yield as of 6/30/2017.

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

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

(h) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/16	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/17		VALUE AT 06/30/17		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
Limited Purpose Cash Investment Fund (Short-Term Investment)	—	902,862,276		(262,853,895	)		640,008,381		$639,944,381		$979,238		$(20,671	)		$(40,190	)

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

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

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

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

(3) Level 3 security (See Note 5).

Abbreviations

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

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

AQR Funds Semi-Annual Report June 2017

196

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Total return swap contracts outstanding as of June 30, 2017: Over the Counter
COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	BIST 30 August Futures	08/2017		TRY		61,379,701			$121,028
BANA	Bovespa Index August Futures	08/2017		BRL		(352,871,335	)		(1,222,296	)
CITI	Corn September Futures^	08/2017		USD		(207,238,228	)		5,174,878
GSIN	Corn September Futures^	08/2017		USD		(25,299,348	)		629,598
MACQ	Corn September Futures^	08/2017		USD		(49,579,766	)		1,345,166
BANA	Hang Seng Index July Futures	07/2017		HKD		1,344,053,329			(599,248	)
GSIN	Hang Seng Index July Futures	07/2017		HKD		1,787,828,783			(583,155	)
BANA	H-SHARES Index July Futures	07/2017		HKD		7,733,987			(11,242	)
GSIN	H-SHARES Index July Futures	07/2017		HKD		20,041,447			(20,650	)
BANA	KOSPI Index 200 September Futures	09/2017		KRW		115,046,054,525			1,395,996
GSIN	KOSPI Index 200 September Futures	09/2017		KRW		10,011,709,500			138,749
BANA	MSCI Taiwan Stock Index July Futures	07/2017		USD		10,464,672			(138,631	)
BANA	NSE Nifty 50 Index July Futures	07/2017		INR		350,152,753			(28,121	)
GSIN	Soybean November Futures^	10/2017		USD		(41,685,857	)		(609,568	)
SOCG	Soybean November Futures^	10/2017		USD		(19,706,761	)		(199,777	)
BANA	Swiss Market Index September Futures	09/2017		CHF		(314,207,243	)		(1,156,321	)
BANA	Taiwan Stock Exchange July Futures	07/2017		TWD		1,153,331,753			913,885
BANA	Tel Aviv 25 Index July Futures	07/2017		ILS		(16,023,166	)		31,336
GSIN	WIG20 Index September Futures	09/2017		PLN		20,244,854			(94,060	)
									$5,087,567

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

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1,514	GSCO	Brent Crude Futures^	07/2017		$72,075,413		$73,837,780		$1,762,367
125	JPPC	LME Copper Futures^	07/2017		17,802,344		18,529,688		727,344
31	JPPC	LME Copper Futures^	08/2017		4,319,901		4,596,432		276,531
1	JPPC	LME Copper Futures^	08/2017		139,879		148,284		8,405
1	JPPC	LME Copper Futures^	08/2017		142,811		148,333		5,522
1,177	JPPC	LME Copper Futures^	09/2017		166,824,997		174,791,856		7,966,859
2,172	MSCL	Silver Futures^	09/2017		179,224,557		180,569,220		1,344,663
1,035	MSCL	WTI Crude Futures^	07/2017		48,006,982		47,651,400		(355,582	)
5,223	JPMS	BIST 30 Futures	08/2017		18,621,897		18,663,379		41,482
1,607	BARC	CAC40 Index Futures	07/2017		96,883,347		93,910,034		(2,973,313	)
1,615	BARC	DAX Index Futures	09/2017		589,900,595		568,128,248		(21,772,347	)
137	BARC	FTSE 100 Index Futures	09/2017		13,324,475		12,923,201		(401,274	)
125	BARC	FTSE Bursa Malaysia KLCI Index Futures	07/2017		2,590,101		2,573,440		(16,661	)
450	BARC	Hang Seng Index Futures	07/2017		73,950,964		73,732,460		(218,504	)
46	BARC	H-SHARES Index Futures	07/2017		3,029,068		3,003,349		(25,719	)
109	BARC	IBEX 35 Index Futures	07/2017		13,459,010		12,954,758		(504,252	)
369	BARC	KOSPI Index 200 Futures	09/2017		24,843,652		25,228,357		384,705
6	JPMS	Mexican Stock Exchange Price and Quotation Index Futures	09/2017		163,409		166,375		2,966

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

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197

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
375	BARC	MSCI Singapore Index Futures	07/2017		$ 9,733,302			$ 9,763,483			$ 30,181
183	BARC	MSCI Taiwan Stock Index Futures	07/2017		7,133,409			7,050,991			(82,418	)
307	BARC	S&P/Toronto Stock Exchange 60 Index Futures	09/2017		42,747,484			42,101,234			(646,250	)
3,449	BARC	TOPIX Index Futures	09/2017		491,121,898			494,159,902			3,038,004
247	JPMS	3-Month Euro Euribor Futures	12/2017		70,717,995			70,728,766			10,771
247	JPMS	3-Month Euro Euribor Futures	03/2018		70,690,285			70,704,082			13,797
247	JPMS	3-Month Euro Euribor Futures	06/2018		70,684,532			70,672,343			(12,189	)
2,476	JPMS	90-Day Sterling Futures	12/2017		401,392,168			401,092,759			(299,409	)
2,476	JPMS	90-Day Sterling Futures	03/2018		401,218,407			400,770,272			(448,135	)
2,476	JPMS	90-Day Sterling Futures	06/2018		401,181,228			400,447,746			(733,482	)
1,330	JPMS	ASX 90 Day Bank Accepted Bills Futures	06/2018		1,017,774,960			1,017,396,246			(378,714	)
844	JPMS	ASX 90 Day Bank Accepted Bills Futures	09/2017		645,818,896			645,927,066			108,170
2,174	JPMS	ASX 90 Day Bank Accepted Bills Futures	12/2017		1,663,222,954			1,663,675,371			452,417
2,174	JPMS	ASX 90 Day Bank Accepted Bills Futures	03/2018		1,663,144,009			1,663,389,506			245,497
6,975	JPMS	Australia 3-Year Bond Futures	09/2017		602,000,724			598,569,536			(3,431,188	)
313	JPMS	Canadian 3-Month Bank Acceptance Futures	06/2018		59,526,823			59,435,727			(91,096	)
13	GSCO	Canadian 10-Year Bond Futures	09/2017		1,456,403			1,408,968			(47,435	)
313	JPMS	Canadian 3-Month Bank Acceptance Futures	12/2017		59,652,681			59,529,255			(123,426	)
313	JPMS	Canadian 3-Month Bank Acceptance Futures	03/2018		59,629,187			59,477,965			(151,222	)
1,178	GSCO	Euro-Bobl Futures	09/2017		178,876,258			177,196,119			(1,680,139	)
1,465	GSCO	Euro-SCHATZ Futures	09/2017		187,170,310			187,152,983			(17,327	)
3,963	GSCO	Long Gilt Futures	09/2017		655,937,688			648,143,262			(7,794,426	)
5,219	MSCL	U.S. Treasury 10-Year Note Futures	09/2017		657,060,384			655,147,594			(1,912,790	)
27	MSCL	U.S. Treasury 5-Year Note Futures	09/2017		3,186,721			3,181,570			(5,151	)
					10,746,382,108			10,718,679,340			(27,702,768	)
Short Contracts:
1,072	MSCL	Corn Futures^	09/2017		$(20,942,662	)		$(20,421,600	)		$521,062
1,143	MSCL	Gold 100 OZ Futures^	08/2017		(142,629,892	)		(141,994,890	)		635,002
125	JPPC	LME Copper Futures^	07/2017		(17,823,187	)		(18,529,687	)		(706,500	)
31	JPPC	LME Copper Futures^	08/2017		(4,345,195	)		(4,596,432	)		(251,237	)
1	JPPC	LME Copper Futures^	08/2017		(139,998	)		(148,285	)		(8,287	)
1	JPPC	LME Copper Futures^	08/2017		(142,598	)		(148,334	)		(5,736	)
3,666	MSCL	Natural Gas Futures^	07/2017		(111,124,987	)		(111,263,100	)		(138,113	)
985	MSCL	Soybean Futures^	11/2017		(46,234,591	)		(47,021,437	)		(786,846	)
1,686	BARC	Amsterdam Index Futures	07/2017		(201,430,758	)		(195,069,853	)		6,360,905
1,184	BARC	Euro Stoxx 50 Index Futures	09/2017		(47,949,429	)		(46,397,605	)		1,551,824
1,591	BARC	FTSE/JSE Top 40 Index Futures	09/2017		(55,779,391	)		(55,555,178	)		224,213
1,499	BARC	FTSE/MIB Index Futures	09/2017		(179,967,134	)		(175,479,930	)		4,487,204
12,213	BARC	OMXS30 Index Futures	07/2017		(238,799,005	)		(232,345,196	)		6,453,809
4,287	BARC	S&P 500 E-Mini Futures	09/2017		(520,446,844	)		(518,919,915	)		1,526,929
2,651	BARC	SET50 Index Futures	09/2017		(15,520,614	)		(15,486,148	)		34,466

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

AQR Funds Semi-Annual Report June 2017

198

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2,159	BARC	SPI 200 Index Futures	09/2017		$ (236,131,660	)		$ (234,349,795	)		$ 1,781,865
999	GSCO	10-Year Japanese Government Bond Futures	09/2017		(1,336,752,507	)		(1,333,273,083	)		3,479,424
3,666	JPMS	90-Day EURODollar Futures	12/2017		(902,727,868	)		(902,981,625	)		(253,757	)
3,666	JPMS	90-Day EURODollar Futures	03/2018		(901,240,306	)		(902,202,599	)		(962,293	)
3,666	JPMS	90-Day EURODollar Futures	06/2018		(902,129,409	)		(901,515,225	)		614,184
4,852	JPMS	Australia 10-Year Bond Futures	09/2017		(489,089,085	)		(482,041,529	)		7,047,556
1,516	GSCO	Euro-Bund Futures	09/2017		(283,677,598	)		(280,277,805	)		3,399,793
1,057	GSCO	Euro-Buxl 30-Year Bond Futures	09/2017		(201,118,215	)		(197,409,935	)		3,708,280
1,160	MSCL	U.S. Treasury 2-Year Note Futures	09/2017		(251,009,737	)		(250,686,874	)		322,863
2,170	MSCL	U.S. Treasury Long Bond Futures	09/2017		(330,519,652	)		(333,501,875	)		(2,982,223	)
					(7,437,672,322	)		(7,401,617,935	)		36,054,387
					$3,308,709,786			$3,317,061,405			$8,351,619

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

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		403,217,196		$301,566,457		$309,606,269		$8,039,812
Australian Dollar, Expiring 09/20/17	JPMC	AUD		604,825,793		452,350,252		464,409,405		12,059,153
Brazilian Real, Expiring 09/20/17*	CITI	BRL		121,028,228		36,227,455		35,954,476		(272,979	)
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		181,542,342		54,341,251		53,931,713		(409,538	)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		248,468,540		184,948,076		191,840,350		6,892,274
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		372,702,810		277,422,459		287,760,523		10,338,064
Swiss Franc, Expiring 09/20/17	CITI	CHF		32,580,000		33,776,935		34,147,476		370,541
Swiss Franc, Expiring 09/20/17	JPMC	CHF		48,870,000		50,665,509		51,221,215		555,706
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		50,708,600		7,410,637		7,435,669		25,032
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		57,134,400		8,360,743		8,377,918		17,175
Euro, Expiring 09/20/17	CITI	EUR		173,281,051		195,558,572		198,731,730		3,173,158
Euro, Expiring 09/20/17	JPMC	EUR		259,921,577		293,338,224		298,097,596		4,759,372
British Pound, Expiring 09/20/17	CITI	GBP		56,091,200		71,242,102		73,232,733		1,990,631
British Pound, Expiring 09/20/17	JPMC	GBP		84,136,800		106,863,286		109,849,100		2,985,814

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

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199

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		148,986,200		$ 19,169,689		$ 19,123,732		$ (45,957	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		222,037,800		28,569,267		28,500,570		(68,697	)
Hungarian Forint, Expiring 09/20/17	CITI	HUF		720,000,000		2,661,419		2,671,406		9,987
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		1,080,000,000		3,992,102		4,007,109		15,007
Indian Rupee, Expiring 09/20/17*	CITI	INR		952,099,476		14,609,715		14,604,134		(5,581	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		1,428,149,214		21,914,599		21,906,202		(8,397	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		16,139,272,142		146,529,222		143,983,820		(2,545,402	)
Japanese Yen, Expiring 09/20/17	JPMC	JPY		24,208,908,214		219,794,108		215,975,732		(3,818,376	)
Korean Won, Expiring 09/20/17*	CITI	KRW		40,000,000		35,791		34,968		(823	)
Korean Won, Expiring 09/20/17*	JPMC	KRW		60,000,000		53,687		52,451		(1,236	)
Mexican Peso, Expiring 09/20/17	CITI	MXN		1,592,453,737		85,286,308		86,666,443		1,380,135
Mexican Peso, Expiring 09/20/17	JPMC	MXN		2,388,680,604		127,929,645		129,999,665		2,070,020
Norwegian Krone, Expiring 09/20/17	CITI	NOK		82,309,600		9,870,914		9,874,086		3,172
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		123,464,400		14,806,390		14,811,128		4,738
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		49,426,400		35,342,425		36,167,510		825,085
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		74,139,600		53,014,098		54,251,265		1,237,167
Poland Zloty, Expiring 09/20/17	CITI	PLN		74,000,000		19,811,402		19,962,564		151,162
Poland Zloty, Expiring 09/20/17	JPMC	PLN		111,000,000		29,717,096		29,943,845		226,749
Swedish Krona, Expiring 09/20/17	CITI	SEK		1,682,000		195,922		200,543		4,621
Swedish Krona, Expiring 09/20/17	JPMC	SEK		2,523,000		293,883		300,813		6,930
Turkish Lira, Expiring 09/20/17	CITI	TRY		210,405,180		57,639,460		58,480,476		841,016
Turkish Lira, Expiring 09/20/17	JPMC	TRY		315,607,770		86,458,925		87,720,715		1,261,790
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		144,000,000		4,811,244		4,736,946		(74,298	)
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		216,000,000		7,216,875		7,105,419		(111,456	)
South African Rand, Expiring 09/20/17	CITI	ZAR		548,800,000		41,624,874		41,399,024		(225,850	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		823,200,000		62,437,278		62,098,536		(338,742	)
						3,167,858,296		3,219,175,275		51,316,979

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

AQR Funds Semi-Annual Report June 2017

200

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		(68,400,000	)		$(20,345,212	)		$(20,319,939	)		$25,273
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		(102,600,000	)		(30,517,780	)		(30,479,908	)		37,872
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(30,452,000	)		(22,665,664	)		(23,511,718	)		(846,054	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(45,678,000	)		(33,998,453	)		(35,267,577	)		(1,269,124	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		(443,784,091	)		(460,810,724	)		(465,135,259	)		(4,324,535	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(665,676,131	)		(691,215,216	)		(697,702,885	)		(6,487,669	)
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		(62,115,000	)		(8,971,199	)		(9,108,250	)		(137,051	)
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		(91,182,000	)		(13,166,831	)		(13,370,495	)		(203,664	)
Danish Krone, Expiring 09/20/17	CITI	DKK		(60,238,570	)		(9,085,943	)		(9,293,569	)		(207,626	)
Danish Krone, Expiring 09/20/17	JPMC	DKK		(90,357,853	)		(13,628,899	)		(13,940,352	)		(311,453	)
Euro, Expiring 09/20/17	CITI	EUR		(35,737,800	)		(40,125,720	)		(40,986,794	)		(861,074	)
Euro, Expiring 09/20/17	JPMC	EUR		(26,473,200	)		(29,823,858	)		(30,361,455	)		(537,597	)
British Pound, Expiring 09/20/17	CITI	GBP		(111,176,701	)		(144,413,311	)		(145,152,425	)		(739,114	)
British Pound, Expiring 09/20/17	JPMC	GBP		(166,765,050	)		(216,619,694	)		(217,728,636	)		(1,108,942	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(133,586,600	)		(17,181,700	)		(17,147,054	)		34,646
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(178,346,400	)		(22,941,460	)		(22,892,381	)		49,079
Hungarian Forint, Expiring 09/20/17	CITI	HUF		(495,600,000	)		(1,816,659	)		(1,838,817	)		(22,158	)
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		(743,400,000	)		(2,724,984	)		(2,758,227	)		(33,243	)
Israeli Shekel, Expiring 09/20/17	CITI	ILS		(151,903,637	)		(42,821,408	)		(43,681,713	)		(860,305	)
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		(227,855,454	)		(64,232,030	)		(65,522,569	)		(1,290,539	)
Indian Rupee, Expiring 09/20/17*	CITI	INR		(32,000,000	)		(489,654	)		(490,844	)		(1,190	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		(48,000,000	)		(734,480	)		(736,266	)		(1,786	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		(16,245,068,000	)		(146,388,502	)		(144,927,662	)		1,460,840
Japanese Yen, Expiring 09/20/17	JPMC	JPY		(24,367,602,000	)		(219,582,550	)		(217,391,492	)		2,191,058
Korean Won, Expiring 09/20/17*	CITI	KRW		(127,563,775,584	)		(113,826,732	)		(111,514,851	)		2,311,881
Korean Won, Expiring 09/20/17*	JPMC	KRW		(191,345,663,376	)		(170,739,886	)		(167,272,275	)		3,467,611
Mexican Peso, Expiring 09/20/17	CITI	MXN		(16,000,000	)		(844,480	)		(870,771	)		(26,291	)
Mexican Peso, Expiring 09/20/17	JPMC	MXN		(24,000,000	)		(1,266,718	)		(1,306,157	)		(39,439	)

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

AQR Funds Semi-Annual Report June 2017

201

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Norwegian Krone, Expiring 09/20/17	CITI	NOK		(627,643,359	)		$ (74,508,231	)		$ (75,293,821	)		$ (785,590	)
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		(941,465,039	)		(111,760,834	)		(112,940,731	)		(1,179,897	)
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		(12,876,458	)		(9,003,186	)		(9,422,281	)		(419,095	)
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		(19,314,685	)		(13,504,760	)		(14,133,419	)		(628,659	)
Swedish Krona, Expiring 09/20/17	CITI	SEK		(1,086,043,708	)		(125,539,008	)		(129,487,229	)		(3,948,221	)
Swedish Krona, Expiring 09/20/17	JPMC	SEK		(1,629,065,560	)		(188,307,100	)		(194,230,844	)		(5,923,744	)
Singapore Dollar, Expiring 09/20/17	CITI	SGD		(132,217,800	)		(95,641,580	)		(96,154,187	)		(512,607	)
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		(198,326,699	)		(143,462,197	)		(144,231,279	)		(769,082	)
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		(427,705,474	)		(14,254,394	)		(14,069,567	)		184,827
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		(641,558,210	)		(21,381,559	)		(21,104,351	)		277,208
South African Rand, Expiring 09/20/17	CITI	ZAR		(82,000,000	)		(6,303,787	)		(6,185,714	)		118,073
South African Rand, Expiring 09/20/17	JPMC	ZAR		(78,000,000	)		(5,940,752	)		(5,883,972	)		56,780
							(3,350,587,135	)		(3,373,847,736	)		(23,260,601	)
							$(182,728,839	)		$(154,672,461	)		$28,056,378

* Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds �� Semi-Annual Report June 2017

202

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at June 30, 2017

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or SONIA plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	1-57 months maturity ranging from 07/05/2017 – 11/19/2021		$8,132,262

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
BHP Billiton plc		170,454	$	2,618,686	$	(7,210	)
Ireland
Paddy Power Betfair plc		2,746		312,487		(19,715	)
Isle of Man
Paysafe Group plc		358,673		2,132,562		254,560
South Africa
Investec plc		490,257		3,813,930		(150,741	)
Mondi plc		288,758		7,287,369		284,380
					133,639
Switzerland
Coca-Cola HBC AG		37,811		990,965		121,019
IWG plc		101,409		392,589		34,939
					155,958
United Kingdom
Aberdeen Asset Management plc		154,730		539,252		69,936
Amec Foster Wheeler plc		111,990		728,160		(45,978	)
Anglo American plc		192,738		2,571,260		3,666
Ashtead Group plc		595,891		12,907,028		(576,478	)
Babcock International Group plc		197,221		2,370,798		(109,164	)
Barratt Developments plc		1,945,251		13,775,401		511,051
Bellway plc		319,056		11,730,982		649,995
Berkeley Group Holdings plc		213,411		8,769,207		204,630
Britvic plc		61,582		518,120		36,931
Bunzl plc		67,602		2,047,978		(32,603	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Close Brothers Group plc		220,757	$	4,539,671	$	(197,451	)
Compass Group plc		235,541		4,831,949		139,746
Daily Mail & General Trust plc		69,517		661,896		(57,777	)
DCC plc		77,206		7,164,925		(133,851	)
Direct Line Insurance Group plc		91,987		401,396		24,552
Dixons Carphone plc		433,734		1,704,739		(101,368	)
DS Smith plc		121,470		700,571		49,123
GKN plc		1,260,689		6,091,913		(737,039	)
Greene King plc		292,591		2,639,678		(71,812	)
Hays plc		286,375		606,328		12,844
Howden Joinery Group plc		356,349		1,973,520		(83,162	)
HSBC Holdings plc		620,151		5,324,580		431,641
Inchcape plc		138,673		1,452,029		(88,893	)
Indivior plc		1,216,884		5,260,984		(305,927	)
Intermediate Capital Group plc		576,440		5,413,146		837,994
J Sainsbury plc		1,461,336		5,123,125		(329,848	)
Johnson Matthey plc		23,216		909,270		(40,373	)
Jupiter Fund Management plc		68,214		375,473		73,182
Kingfisher plc		536,398		2,405,775		(304,749	)
Micro Focus International plc		301,636		8,800,138		118,993
Persimmon plc		504,999		13,878,369		870,890
Playtech plc		324,678		3,857,046		164,861
Provident Financial plc		28,598		1,090,471		(183,439	)
Reckitt Benckiser Group plc		49,491		4,769,801		247,257
Rentokil Initial plc		807,959		2,609,744		265,427
Rightmove plc		11,768		608,503		42,660
Royal Mail plc		1,342,557		7,240,104		124,721

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

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203

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Sage Group plc (The)		295,611		$	2,466,012		$	182,945
Sky plc		364,777			4,697,335			26,942
Smiths Group plc		24,241			492,270			11,747
SSE plc		65,650			1,284,669			(42,486	)
Taylor Wimpey plc		5,799,384			14,691,597			(1,373,611	)
Weir Group plc (The)		85,510			1,972,036			(42,089	)
Whitbread plc		14,468			736,750			10,947
William Hill plc		772,817			2,821,139			(259,895	)
Wm Morrison Supermarkets plc		3,350,215			10,395,016			127,477
WPP plc		322,940			7,100,183			(300,137	)
							(177,972)
Total of Long Equity Positions								339,260
Short Positions
Common Stocks
Chile
Antofagasta plc		(920,632	)		(10,203,124	)		598,187
Jordan
Hikma Pharmaceuticals plc		(124,519	)		(3,382,455	)		997,727
Netherlands
Royal Dutch Shell plc		(194,071	)		(5,275,051	)		118,835
Switzerland
Glencore plc		(1,570,899	)		(6,971,527	)		1,085,010
United Kingdom
Associated British Foods plc		(78,798	)		(2,703,776	)		(311,607	)
AstraZeneca plc		(138,927	)		(8,862,307	)		(443,516	)
Aviva plc		(898,896	)		(6,269,950	)		104,088
Balfour Beatty plc		(172,671	)		(597,857	)		(11,285	)
BP plc		(1,740,070	)		(10,429,589	)		385,601
British American Tobacco plc		(9,126	)		(617,915	)		(3,957	)
BTG plc		(136,569	)		(1,038,666	)		(202,503	)
Burberry Group plc		(193,463	)		(4,492,890	)		306,600
Capita plc		(1,371,646	)		(10,426,344	)		(1,934,258	)
Centrica plc		(1,443,114	)		(3,896,788	)		134,226
Cobham plc		(1,987,329	)		(3,391,808	)		35,693
Croda International plc		(38,348	)		(1,811,306	)		(130,733	)
Diageo plc		(377,294	)		(11,394,973	)		245,265
Drax Group plc		(258,371	)		(1,141,984	)		44,671
easyJet plc		(261,096	)		(4,408,859	)		(216,483	)
Experian plc		(404,100	)		(8,640,615	)		347,334
G4S plc		(440,819	)		(1,729,189	)		(145,580	)
Hargreaves Lansdown plc		(343,617	)		(5,899,203	)		72,371
IMI plc		(173,412	)		(2,879,489	)		178,565
Imperial Brands plc		(58,106	)		(2,878,410	)		267,291
Inmarsat plc		(728,164	)		(7,539,298	)		236,430
International Consolidated Airlines Group SA		(794,341	)		(5,922,545	)		(392,305	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Intertek Group plc		(111,583	)	$	(5,684,033	)	$	(445,810	)
ITV plc		(980,184	)		(2,654,617	)		334,454
Just Eat plc		(704,967	)		(5,422,340	)		(595,100	)
Man Group plc		(666,715	)		(1,276,297	)		(69,049	)
NEX Group plc		(58,064	)		(453,496	)		(18,997	)
Next plc		(43,530	)		(2,320,005	)		133,760
Old Mutual plc		(571,344	)		(1,640,056	)		198,624
Pearson plc		(372,059	)		(3,208,562	)		(141,428	)
Pennon Group plc		(100,744	)		(1,165,645	)		82,961
Petrofac Ltd.		(753,187	)		(7,402,172	)		3,071,366
Prudential plc		(27,537	)		(626,317	)		(5,761	)
Rio Tinto plc		(189,740	)		(8,495,012	)		459,176
Rolls-Royce Holdings plc (c)		(55,714,339	)		(649	)		(71,916	)
Rolls-Royce Holdings plc (LSE)		(596,798	)		(5,955,005	)		(967,031	)
Rotork plc		(246,307	)		(828,377	)		73,267
Royal Bank of Scotland Group plc		(3,458,499	)		(11,049,168	)		(110,348	)
RSA Insurance Group plc		(637,382	)		(4,892,607	)		(220,351	)
Schroders plc		(10,859	)		(445,189	)		6,095
Serco Group plc		(2,422,486	)		(3,684,354	)		59,149
Severn Trent plc		(55,687	)		(1,720,261	)		137,169
Smith & Nephew plc		(104,678	)		(1,694,023	)		(113,610	)
Spectris plc		(22,802	)		(744,103	)		(5,545	)
Spirax-Sarco Engineering plc		(9,551	)		(600,401	)		(65,712	)
Sports Direct International plc		(135,751	)		(519,487	)		4,467
St James’s Place plc		(56,052	)		(783,549	)		(80,410	)
Standard Life plc		(580,853	)		(2,727,888	)		(292,549	)
Tesco plc		(5,491,473	)		(13,390,248	)		1,300,049
Thomas Cook Group plc		(999,417	)		(1,159,687	)		(11,233	)
Worldpay Group plc		(456,152	)		(1,720,880	)		(149,531	)
								1,062,064
United States
Shire plc		(20,134	)		(1,259,252	)		149,084
Total of Short Equity Positions								4,010,907
Total of Long and Short Equity Positions								4,350,167
Net Cash and Other Receivables/ (Payables) (b)								3,782,095
Swaps, at Value							$	8,132,262

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

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

(c) Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees.

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

AQR Funds Semi-Annual Report June 2017

204

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	54-57 months maturity 11/22/2021		$8,939,730

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Waste Connections, Inc.		40,039	$	2,338,307	$	241,006
Panama
Copa Holdings SA		37,214		4,157,104		196,934
United States
Aaron’s, Inc.		127,205		3,825,054		1,123,220
AbbVie, Inc.		26,090		1,713,852		177,934
Accenture plc		39,943		5,001,662		(61,512	)
Activision Blizzard, Inc.		96,111		4,721,933		811,177
Adobe Systems, Inc.		12,234		1,553,840		176,537
Adtalem Global Education, Inc.		54,998		2,012,331		74,843
AdvanSix, Inc.		48,116		1,317,029		186,115
Aetna, Inc.		296,251		39,045,882		5,933,908
Aflac, Inc.		388,189		28,155,348		1,999,173
AGCO Corp.		151,400		9,227,830		975,016
Air Lease Corp.		81,271		3,177,696		(141,412	)
Air Products & Chemicals, Inc.		4,639		647,280		16,376
Alaska Air Group, Inc.		191,564		17,884,415		(689,630	)
Alleghany Corp.		3,972		2,496,874		(134,328	)
Allstate Corp. (The)		300,352		24,884,163		1,678,968
Alphabet, Inc.		7,306		6,373,535		418,707
Amdocs Ltd.		202,822		12,540,484		533,422
AMERCO		22,444		8,366,323		(150,472	)
Ameren Corp.		400,857		22,067,178		(152,326	)
American Eagle Outfitters, Inc.		50,471		721,231		(113,055	)
American Electric Power Co., Inc.		280,136		18,620,640		840,408
American Financial Group, Inc.		110,663		10,607,461		389,121
Ameriprise Financial, Inc.		103,377		13,517,974		(359,115	)
AmerisourceBergen Corp.		7,572		659,532		56,249
Amgen, Inc.		64,083		10,805,035		231,980

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Analog Devices, Inc.		29,973	$	2,495,552	$	(163,653	)
Anthem, Inc.		281,454		47,254,106		5,695,835
AO Smith Corp.		203,185		10,600,161		845,250
Apple, Inc.		79,552		11,138,263		318,816
Applied Materials, Inc.		501,830		19,711,882		1,018,715
Aramark		23,846		894,463		82,746
Arch Capital Group Ltd.		47,092		4,501,995		(108,783	)
Archer-Daniels-Midland Co.		150,380		6,724,994		(502,269	)
Arrow Electronics, Inc.		245,513		18,418,420		834,709
Aspen Insurance Holdings Ltd.		120,656		6,575,752		(561,050	)
Associated Banc-Corp.		29,695		745,344		2,970
Assurant, Inc.		66,925		6,614,283		325,170
Assured Guaranty Ltd.		487,420		18,975,162		1,369,749
AT&T, Inc.		91,554		3,901,116		(446,784	)
Atmos Energy Corp.		84,469		6,751,607		255,096
Avery Dennison Corp.		105,632		8,491,756		842,943
Avnet, Inc.		228,440		10,519,662		(1,637,915	)
Axis Capital Holdings Ltd.		131,955		9,008,568		(476,358	)
Bank of America Corp.		146,580		3,643,979		(87,948	)
Bank of Hawaii Corp.		36,023		2,987,220		1,608
Bank of New York Mellon Corp. (The)		260,321		12,471,979		809,598
Baxter International, Inc.		260,830		13,466,653		2,323,995
BB&T Corp.		464,995		21,430,704		(315,281	)
Bed Bath & Beyond, Inc.		88,542		3,447,785		(756,109	)
Bemis Co., Inc.		146,680		7,219,590		(435,640	)
Best Buy Co., Inc.		395,802		18,103,983		4,587,345
Big Lots, Inc.		108,188		5,410,482		(185,001	)
Biogen, Inc.		64,357		17,793,990		(330,074	)
Bio-Rad Laboratories, Inc.		13,490		2,661,712		391,210
Bioverativ, Inc.		71,321		4,196,666		94,719
BlackRock, Inc.		14,941		5,720,162		591,066
Boeing Co. (The)		80,731		14,539,653		1,424,902
BOK Financial Corp.		66,657		5,318,794		289,059
Booz Allen Hamilton Holding Corp.		161,772		6,085,863		(821,802	)

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

AQR Funds Semi-Annual Report June 2017

205

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Boston Beer Co., Inc. (The)		5,142	$	767,967	$	(88,451	)
Brinker International, Inc.		129,724		5,624,833		(682,348	)
Broadridge Financial Solutions, Inc.		96,116		6,658,916		603,608
Brunswick Corp.		88,911		5,420,904		156,483
Burlington Stores, Inc.		78,583		7,495,247		(266,396	)
CA, Inc.		423,483		13,733,554		863,905
Cable One, Inc.		736		472,024		51,198
Cabot Corp.		160,161		9,636,887		(1,079,485	)
Cadence Design Systems, Inc.		274,662		8,750,731		447,699
Capital One Financial Corp.		58,925		5,198,953		(330,569	)
Cardinal Health, Inc.		84,972		7,062,023		(441,005	)
Carlisle Cos., Inc.		8,344		904,656		(108,639	)
Carnival Corp.		45,963		2,649,307		364,487
Cars.com, Inc.		83,964		2,359,547		(123,586	)
Casey’s General Stores, Inc.		57,362		6,419,381		(275,338	)
Cathay General Bancorp		21,687		826,134		(3,112	)
CDK Global, Inc.		101,440		6,567,989		(272,622	)
CDW Corp.		142,895		8,562,451		372,774
Celanese Corp.		116,074		10,664,112		355,954
Celgene Corp.		20,643		2,596,270		84,636
Centene Corp.		104,924		6,994,361		1,386,968
Charles River Laboratories International, Inc.		95,656		8,609,040		1,066,564
Cheesecake Factory, Inc. (The)		156,740		9,832,871		(1,948,849	)
Chemours Co. (The)		119,079		4,213,933		301,542
Chipotle Mexican Grill, Inc.		2,666		1,121,987		(12,665	)
Chubb Ltd.		101,348		13,996,159		737,813
Church & Dwight Co., Inc.		36,009		1,804,051		64,096
Cigna Corp.		26,220		3,941,441		447,525
Cinemark Holdings, Inc.		61,537		2,734,704		(343,992	)
Cintas Corp.		147,048		18,413,585		120,345
Cirrus Logic, Inc.		329,969		19,873,594		822,061
Cisco Systems, Inc.		495,474		16,960,075		(1,451,739	)
Citizens Financial Group, Inc.		12,578		460,606		(11,823	)
Citrix Systems, Inc.		78,077		6,458,529		(245,162	)
Clorox Co. (The)		17,233		2,370,227		(74,102	)
CME Group, Inc.		76,337		9,510,827		49,619
CMS Energy Corp.		186,735		8,348,922		287,572
CNO Financial Group, Inc.		23,455		475,362		14,378
Comcast Corp.		456,408		17,097,044		666,356
Commerce Bancshares, Inc.		192,854		11,168,659		(208,766	)
Commercial Metals Co.		554,614		10,574,230		201,920
Conagra Brands, Inc.		119,340		4,867,738		(600,139	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Consolidated Edison, Inc.		407,492	$	31,246,487	$	1,687,017
Constellation Brands, Inc.		57,043		9,226,705		1,824,235
Convergys Corp.		355,694		7,522,928		935,475
CoreLogic, Inc.		49,502		1,980,080		167,317
Corning, Inc.		559,517		15,243,901		1,569,585
Costco Wholesale Corp.		21,742		3,637,083		(159,885	)
Cracker Barrel Old Country Store, Inc.		73,774		11,936,207		402,495
Crane Co.		94,408		7,071,286		422,821
Cummins, Inc.		124,234		19,164,573		988,666
Curtiss-Wright Corp.		23,052		2,207,690		(91,977	)
Danaher Corp.		104,095		9,021,914		(237,337	)
Darden Restaurants, Inc.		175,251		13,434,742		2,414,959
Dean Foods Co.		222,642		4,299,217		(514,303	)
Delta Air Lines, Inc.		191,384		8,901,270		1,383,706
Deluxe Corp.		184,422		13,689,076		(923,386	)
Devon Energy Corp.		224,146		7,692,305		(526,357	)
Dick’s Sporting Goods, Inc.		16,146		726,275		(83,180	)
Discover Financial Services		171,550		12,061,681		(1,392,986	)
Dow Chemical Co. (The)		235,153		15,056,847		(225,747	)
DR Horton, Inc.		453,317		15,258,650		412,518
Dr Pepper Snapple Group, Inc.		151,651		14,496,319		(679,396	)
Dril-Quip, Inc.		112,113		5,975,623		(504,508	)
DST Systems, Inc.		106,652		6,281,270		299,159
DTE Energy Co.		241,355		24,352,719		1,180,226
Duke Energy Corp.		24,151		1,976,518		42,264
DXC Technology Co.		172,377		11,483,503		1,741,260
East West Bancorp, Inc.		47,479		2,551,250		230,070
Eastman Chemical Co.		86,420		6,833,986		424,430
Eaton Corp. plc		132,171		9,678,012		608,857
eBay, Inc.		1,193,969		40,277,690		1,415,708
Edison International		182,395		14,518,642		(257,177	)
Electronic Arts, Inc.		204,629		18,332,712		3,300,666
Eli Lilly & Co.		74,332		6,240,915		(123,391	)
EMCOR Group, Inc.		65,031		4,135,321		116,406
EnerSys		21,230		1,624,537		(86,423	)
Ensco plc		421,909		2,625,980		(448,929	)
Entergy Corp.		223,281		16,837,620		303,662
Equifax, Inc.		80,177		10,913,693		104,230
Euronet Worldwide, Inc.		24,205		2,020,875		93,915
Everest Re Group Ltd.		75,361		17,782,925		1,403,232
Exelon Corp.		605,030		21,787,130		36,302
Expeditors International of Washington, Inc.		32,749		1,847,044		2,620
Express Scripts Holding Co.		80,518		4,989,850		150,419
Fair Isaac Corp.		44,026		5,770,831		366,833
Federated Investors, Inc.		44,970		1,167,871		102,532

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

AQR Funds Semi-Annual Report June 2017

206

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
FedEx Corp.		36,180	$	7,040,266	$	822,733
Fidelity National Information Services, Inc.		35,462		2,901,855		126,599
Fifth Third Bancorp		337,008		8,880,161		(131,433	)
First American Financial Corp.		138,533		5,355,686		835,354
Fiserv, Inc.		74,210		8,741,196		337,656
Flex Ltd.		633,173		10,637,306		(310,255	)
Foot Locker, Inc.		53,422		4,048,308		(1,415,672	)
Fortune Brands Home & Security, Inc.		34,938		2,132,616		146,740
Franklin Resources, Inc.		77,037		3,206,448		244,039
FTI Consulting, Inc.		15,364		623,317		(86,192	)
Fulton Financial Corp.		263,396		4,901,013		103,511
GameStop Corp.		60,020		1,478,893		(181,861	)
GATX Corp.		117,183		7,006,013		525,338
General Dynamics Corp.		84,188		16,271,015		406,628
General Motors Co.		514,572		18,694,401		(720,401	)
Genpact Ltd.		225,055		5,502,595		760,686
Gilead Sciences, Inc.		366,878		25,140,267		827,358
Goodyear Tire & Rubber Co. (The)		232,827		8,530,781		(391,149	)
Graham Holdings Co.		8,084		4,776,313		71,257
Great Plains Energy, Inc.		108,881		3,146,661		41,375
Greif, Inc.		7,590		419,810		3,560
Hancock Holding Co.		63,490		2,866,225		244,785
Hanover Insurance Group, Inc. (The)		93,662		8,529,798		(228,535	)
Harris Corp.		34,915		3,921,304		(112,775	)
Hartford Financial Services Group, Inc. (The)		58,239		2,840,898		220,726
Hawaiian Electric Industries, Inc.		158,483		5,287,580		(155,900	)
HCA Healthcare, Inc.		198,725		16,691,121		637,699
HD Supply Holdings, Inc.		187,598		7,746,855		(2,000,728	)
Herc Holdings, Inc.		12,649		610,820		(113,462	)
Herman Miller, Inc.		154,677		4,663,512		38,669
Hewlett Packard Enterprise Co.		1,637,834		28,037,425		(865,759	)
Honeywell International, Inc.		121,546		15,455,789		745,077
Hormel Foods Corp.		212,952		7,436,284		(172,491	)
HP, Inc.		943,176		16,562,171		(75,454	)
Hubbell, Inc.		20,675		2,490,304		(150,514	)
Humana, Inc.		26,174		6,243,804		54,184
Huntington Ingalls Industries, Inc.		175,957		37,605,530		(4,849,375	)
Huntsman Corp.		189,358		4,331,129		561,882
IAC/InterActiveCorp		4,085		302,331		119,405
IDACORP, Inc.		57,205		4,708,544		173,903
Illinois Tool Works, Inc.		16,031		2,172,200		124,240

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ingersoll-Rand plc		267,204	$	21,640,852	$	2,778,922
Ingredion, Inc.		160,496		19,259,520		(126,792	)
Intel Corp.		669,200		23,587,907		(1,009,099	)
Intercontinental Exchange, Inc.		138,365		8,495,611		625,410
InterDigital, Inc.		88,438		7,557,027		(720,770	)
International Business Machines Corp.		109,853		19,270,041		(2,371,354	)
International Game Technology plc		337,249		8,330,050		(2,158,394	)
International Paper Co.		124,555		6,397,145		653,914
Interpublic Group of Cos., Inc. (The)		321,727		7,908,050		6,435
Intuit, Inc.		6,025		746,618		53,562
ITT, Inc.		146,213		5,955,564		(80,726	)
j2 Global, Inc.		27,601		2,370,650		(22,081	)
Jabil, Inc.		394,378		11,358,086		153,807
Jack Henry & Associates, Inc.		72,597		6,903,975		636,676
Jacobs Engineering Group, Inc.		99,542		5,520,599		(106,510	)
JB Hunt Transport Services, Inc.		20,026		1,828,660		1,316
JetBlue Airways Corp.		769,447		15,948,844		1,617,631
JM Smucker Co. (The)		69,460		9,623,683		(1,404,481	)
John Wiley & Sons, Inc.		43,662		2,355,565		(52,394	)
Johnson & Johnson		176,894		22,653,046		748,262
Johnson Controls International plc		37,430		1,565,624		57,341
JPMorgan Chase & Co.		355,111		32,201,465		255,680
Juniper Networks, Inc.		288,413		8,324,335		(283,380	)
KB Home		523,133		10,185,400		2,354,099
KLA-Tencor Corp.		20,651		1,955,443		(65,670	)
Kroger Co. (The)		217,395		6,424,022		(1,354,371	)
L3 Technologies, Inc.		103,535		17,545,041		(246,413	)
Lam Research Corp.		89,174		11,278,728		1,333,151
Lancaster Colony Corp.		32,578		4,339,064		(344,349	)
Laredo Petroleum, Inc.		141,240		1,384,320		101,525
Lear Corp.		198,145		28,688,711		(536,269	)
Leggett & Platt, Inc.		21,227		1,073,662		41,393
Leidos Holdings, Inc.		95,091		5,130,159		(214,906	)
Lennar Corp.		51,883		2,740,979		25,423
Lennox International, Inc.		10,971		1,887,341		127,373
Lincoln National Corp.		162,157		10,653,963		304,607
Littelfuse, Inc.		3,687		583,868		24,487
Lockheed Martin Corp.		36,110		9,821,198		203,299
LyondellBasell Industries NV		335,808		29,662,905		(1,324,068	)
M&T Bank Corp.		60,399		9,535,481		246,137
ManpowerGroup, Inc.		107,644		11,128,823		889,630
Marathon Petroleum Corp.		16,814		853,983		25,894
MarketAxess Holdings, Inc.		42,662		8,107,913		471,415

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

AQR Funds Semi-Annual Report June 2017

207

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Marriott International, Inc.		14,586	$	1,288,381	$	174,740
McCormick & Co., Inc. (Non-Voting)		11,037		1,125,774		(49,556	)
McKesson Corp.		16,815		2,469,376		297,364
Merck & Co., Inc.		193,001		12,330,088		39,346
Meredith Corp.		125,597		7,861,742		(395,000	)
Microchip Technology, Inc.		6,406		467,643		26,773
Micron Technology, Inc.		855,548		23,009,277		2,537,387
Microsoft Corp.		253,846		16,466,990		1,030,615
Minerals Technologies, Inc.		56,140		4,235,763		(126,315	)
Mohawk Industries, Inc.		13,620		3,135,324		156,494
Molina Healthcare, Inc.		119,378		5,474,675		2,783,895
Molson Coors Brewing Co.		137,521		13,503,956		(1,630,393	)
Morgan Stanley		47,994		2,160,690		(22,077	)
MSA Safety, Inc.		9,400		653,654		109,344
MSC Industrial Direct Co., Inc.		79,170		8,075,830		(1,270,377	)
MSCI, Inc.		77,771		7,569,451		440,184
Murphy Oil Corp.		226,079		6,023,067		(228,663	)
Murphy USA, Inc.		141,893		9,949,537		566,153
Mylan NV		16,821		705,468		(52,477	)
Nasdaq, Inc.		219,049		15,526,193		133,620
Navient Corp.		103,560		1,552,364		171,910
NCR Corp.		87,994		3,859,608		(265,933	)
NeuStar, Inc.		262,468		8,654,594		98,714
NewMarket Corp.		3,466		1,567,156		28,868
NiSource, Inc.		45,685		1,073,597		84,974
Norfolk Southern Corp.		128,710		14,657,772		1,006,235
Northern Trust Corp.		13,601		1,206,137		116,017
Northrop Grumman Corp.		144,451		35,282,157		1,799,859
Nu Skin Enterprises, Inc.		131,946		6,972,451		1,319,036
NVR, Inc.		6,721		14,003,595		2,198,115
Oceaneering International, Inc.		30,421		788,817		(94,001	)
Oil States International, Inc.		20,844		610,038		(44,124	)
Old Dominion Freight Line, Inc.		17,699		1,538,725		146,928
Old Republic International Corp.		396,347		7,994,319		(253,662	)
Omnicom Group, Inc.		117,593		9,988,349		(239,890	)
ON Semiconductor Corp.		191,314		2,900,747		(214,698	)
ONE Gas, Inc.		152,721		10,132,346		529,107
Oracle Corp.		233,144		10,645,355		1,044,485
Orbital ATK, Inc.		66,356		6,775,611		(248,835	)
Oshkosh Corp.		315,880		22,156,257		(398,443	)
Owens Corning		392,903		24,367,844		1,925,225
PACCAR, Inc.		101,993		7,066,219		(330,601	)
Packaging Corp. of America		57,885		5,346,259		1,101,552

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
PAREXEL International Corp.		40,338	$	2,546,538	$	959,238
Parker-Hannifin Corp.		106,334		16,882,856		111,443
Paychex, Inc.		31,074		1,952,690		(183,337	)
Penske Automotive Group, Inc.		50,256		2,467,067		(260,326	)
People’s United Financial, Inc.		275,005		5,175,594		(319,006	)
Pfizer, Inc.		329,528		11,311,049		(242,203	)
PG&E Corp.		207,614		13,829,178		(49,837	)
Pilgrim’s Pride Corp.		499,042		10,874,125		64,875
Pinnacle Foods, Inc.		118,017		6,958,282		51,927
Pinnacle West Capital Corp.		313,893		26,125,314		605,814
PNC Financial Services Group, Inc. (The)		208,696		25,896,189		163,681
Popular, Inc.		287,433		11,718,643		270,187
Primerica, Inc.		12,217		981,101		(55,663	)
Procter & Gamble Co. (The)		291,574		26,533,234		(1,122,560	)
Progressive Corp. (The)		35,291		1,422,580		133,400
Prudential Financial, Inc.		103,151		11,338,358		(183,609	)
Public Service Enterprise Group, Inc.		492,071		22,010,336		(846,362	)
PulteGroup, Inc.		141,898		3,365,821		114,937
Qorvo, Inc.		75,041		5,151,710		(400,114	)
Quanta Services, Inc.		129,505		4,775,492		(512,187	)
Quest Diagnostics, Inc.		41,902		4,150,812		507,014
Quintiles IMS Holdings, Inc.		4,986		406,409		39,838
Raymond James Financial, Inc.		79,276		6,111,583		247,938
Raytheon Co.		193,874		30,432,402		874,372
Regions Financial Corp.		1,136,275		16,751,721		(116,655	)
Reinsurance Group of America, Inc.		192,357		24,931,239		(234,524	)
Reliance Steel & Aluminum Co.		138,123		11,375,810		(1,319,075	)
RenaissanceRe Holdings Ltd.		37,361		5,532,790		(337,743	)
Republic Services, Inc.		367,633		23,296,903		132,348
Rockwell Automation, Inc.		26,728		4,169,301		159,566
Ross Stores, Inc.		63,892		4,322,294		(633,809	)
Rowan Cos. plc		1,007,583		15,046,743		(4,729,093	)
RPC, Inc.		158,445		2,963,963		238,210
Ryder System, Inc.		112,405		8,456,228		(365,316	)
SCANA Corp.		206,867		14,042,132		(179,974	)
Science Applications International Corp.		87,355		7,642,381		(1,578,197	)
Scotts Miracle-Gro Co. (The)		25,699		2,370,219		(71,186	)
Seagate Technology plc		399,934		17,533,304		(2,035,861	)
Sensient Technologies Corp.		29,356		2,398,972		(34,934	)

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

AQR Funds Semi-Annual Report June 2017

208

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Service Corp. International		22,734	$	700,596	$	59,856
Skyworks Solutions, Inc.		173,444		17,222,672		(580,720	)
Snap-on, Inc.		33,653		5,817,931		(500,757	)
Sonoco Products Co.		155,674		8,280,300		(275,543	)
Southwest Airlines Co.		311,260		16,552,807		2,788,890
Southwest Gas Holdings, Inc.		19,887		1,654,745		(201,800	)
Spectrum Brands Holdings, Inc.		59,056		8,398,090		(1,013,728	)
Spirit AeroSystems Holdings, Inc.		382,418		22,707,981		(550,682	)
Spirit Airlines, Inc.		30,483		1,551,890		22,557
Stanley Black & Decker, Inc.		82,588		10,846,282		776,327
State Street Corp.		141,250		11,103,662		1,570,700
Steel Dynamics, Inc.		227,652		8,272,874		(120,656	)
SunTrust Banks, Inc.		501,281		28,559,751		(127,092	)
Synaptics, Inc.		16,113		817,090		16,113
SYNNEX Corp.		111,320		13,324,382		29,565
Synopsys, Inc.		158,076		11,248,427		280,056
TE Connectivity Ltd.		87,162		6,560,048		297,859
Tech Data Corp.		227,448		21,596,378		1,375,870
TEGNA, Inc.		251,895		4,207,355		(577,548	)
Teledyne Technologies, Inc.		8,421		1,107,025		(32,084	)
Teleflex, Inc.		43,385		8,508,666		505,001
Teradyne, Inc.		87,960		2,711,807		(70,368	)
Terex Corp.		60,457		2,070,889		196,248
Texas Instruments, Inc.		191,388		15,732,094		(1,008,615	)
Texas Roadhouse, Inc.		125,976		5,561,840		856,637
Textron, Inc.		225,873		10,783,177		(144,559	)
Thor Industries, Inc.		114,916		11,288,569		722,452
Timken Co. (The)		13,641		613,163		17,733
TJX Cos., Inc. (The)		21,516		1,704,498		(151,688	)
Torchmark Corp.		147,554		11,567,097		(279,216	)
Toro Co. (The)		143,481		8,841,299		1,100,499
Total System Services, Inc.		17,069		911,485		82,785
Transocean Ltd.		223,476		2,760,783		(921,576	)
Travelers Cos., Inc. (The)		219,735		27,058,168		744,902
Trinity Industries, Inc.		426,537		11,601,356		354,476
Trustmark Corp.		152,039		4,957,559		(67,985	)
Tupperware Brands Corp.		7,583		472,484		60,070
Tyson Foods, Inc.		341,799		21,136,850		270,021
UGI Corp.		301,059		14,829,391		(255,125	)
Ulta Beauty, Inc.		6,940		2,004,341		(10,202	)
UMB Financial Corp.		12,984		954,778		17,205
Union Pacific Corp.		135,559		14,232,129		531,602
United Continental Holdings, Inc.		479,104		32,028,181		4,024,395
United Rentals, Inc.		242,348		27,106,772		208,271
United Therapeutics Corp.		169,358		23,598,123		(1,627,309	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
UnitedHealth Group, Inc.		149,356		$	25,345,713		$	2,347,876
Universal Health Services, Inc.		36,970			4,439,358			73,940
Unum Group		302,267			14,337,949			(243,239	)
US Bancorp		676,576			36,454,028			(1,326,202	)
Validus Holdings Ltd.		162,048			9,183,260			(761,626	)
Valmont Industries, Inc.		11,875			1,822,219			(45,719	)
Varex Imaging Corp.		45,604			1,487,719			53,696
Vectren Corp.		18,635			1,069,835			19,194
Versum Materials, Inc.		13,741			410,031			36,551
Vertex Pharmaceuticals, Inc.		3,187			431,841			(21,132	)
Vishay Intertechnology, Inc.		294,509			4,815,222			73,627
VMware, Inc.		106,386			9,851,344			(550,016	)
VWR Corp.		20,942			589,936			101,359
Wal-Mart Stores, Inc.		308,450			21,557,571			1,785,926
Walt Disney Co. (The)		53,306			5,957,479			(293,716	)
Waste Management, Inc.		322,227			23,696,574			(61,223	)
Waters Corp.		21,457			3,359,952			584,703
WellCare Health Plans, Inc.		211,956			30,555,733			7,503,086
Werner Enterprises, Inc.		220,708			6,036,364			441,416
West Pharmaceutical Services, Inc.		17,846			1,476,043			210,761
Western Digital Corp.		167,113			13,004,566			1,801,646
Western Union Co. (The)		111,511			2,274,824			(150,540	)
Westlake Chemical Corp.		173,462			11,357,882			127,037
Whirlpool Corp.		75,997			13,125,442			1,437,103
Woodward, Inc.		103,786			7,118,742			(104,884	)
World Fuel Services Corp.		26,506			980,192			38,964
Worthington Industries, Inc.		123,076			6,395,029			(214,152	)
WR Berkley Corp.		38,568			2,803,508			(135,759	)
Wyndham Worldwide Corp.		103,092			8,686,532			1,664,936
Xcel Energy, Inc.		546,101			23,946,529			1,108,585
Xerox Corp.		181,453			5,341,976			(128,832	)
Xylem, Inc.		62,430			3,069,059			391,436
								72,423,017
Total of Long Equity Positions								72,860,957
Short Positions
Common Stocks
Australia
Atlassian Corp. plc		(40,186	)		(1,281,977	)		(131,767	)
Ghana
Kosmos Energy Ltd.		(669,754	)		(3,951,575	)		(341,548	)
Ireland
XL Group Ltd.		(31,056	)		(1,248,762	)		(111,491	)

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

AQR Funds Semi-Annual Report June 2017

209

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Norway
Golar LNG Ltd.		(9,178	)	$	(249,825	)	$	45,615
United Kingdom
Liberty Global plc		(309,571	)		(11,565,573	)		1,622,152
Pentair plc		(140,305	)		(8,820,975	)		(514,919	)
								1,107,233
United States
3D Systems Corp.		(108,233	)		(1,522,387	)		(501,570	)
Abbott Laboratories		(103,719	)		(5,111,764	)		69,983
ABIOMED, Inc.		(21,325	)		(2,643,660	)		(412,212	)
Acadia Healthcare Co., Inc.		(451,607	)		(18,800,399	)		(3,499,954	)
Acuity Brands, Inc.		(9,127	)		(1,719,742	)		(135,595	)
Acxiom Corp.		(102,180	)		(2,919,283	)		264,646
Adient plc		(43,798	)		(3,014,484	)		150,971
Advance Auto Parts, Inc.		(84,311	)		(12,848,996	)		3,019,177
Advanced Micro Devices, Inc.		(1,106,436	)		(12,132,122	)		(1,676,199	)
AECOM		(44,669	)		(1,592,450	)		148,301
Agilent Technologies, Inc.		(122,708	)		(6,541,563	)		(736,248	)
Agios Pharmaceuticals, Inc.		(201,289	)		(10,736,358	)		380,039
Alcoa Corp.		(106,218	)		(3,554,468	)		86,450
Align Technology, Inc.		(56,741	)		(6,346,481	)		(2,171,478	)
Alkermes plc		(242,379	)		(14,303,075	)		252,364
Allegheny Technologies, Inc.		(694,839	)		(12,337,915	)		518,704
Allegion plc		(109,968	)		(8,289,757	)		(630,847	)
Allergan plc		(87,568	)		(20,786,892	)		(500,013	)
Alliance Data Systems Corp.		(40,696	)		(9,950,637	)		(495,619	)
Alliant Energy Corp.		(55,555	)		(2,197,756	)		(33,889	)
Allison Transmission Holdings, Inc.		(109,525	)		(3,994,377	)		(113,906	)
Allscripts Healthcare Solutions, Inc.		(634,525	)		(7,601,449	)		(495,090	)
Alnylam Pharmaceuticals, Inc.		(262,860	)		(14,369,091	)		(6,596,622	)
AMETEK, Inc.		(96,078	)		(5,217,996	)		(601,448	)
Anadarko Petroleum Corp.		(13,616	)		(779,001	)		161,651
Antero Resources Corp.		(182,745	)		(3,677,384	)		(271,736	)
Aon plc		(81,999	)		(9,750,501	)		(1,151,266	)
Apache Corp.		(68,919	)		(3,530,031	)		226,744
AptarGroup, Inc.		(6,599	)		(508,651	)		(64,538	)
Arconic, Inc.		(580,005	)		(15,888,573	)		2,751,460
Arista Networks, Inc.		(52,600	)		(6,738,060	)		(1,140,894	)
Armstrong World Industries, Inc.		(118,799	)		(5,524,154	)		59,400
ARRIS International plc		(146,694	)		(3,842,887	)		(267,479	)
Arthur J Gallagher & Co.		(185,435	)		(10,556,815	)		(59,339	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Artisan Partners Asset Management, Inc.		(279,609	)	$	(7,759,150	)	$	(824,847	)
Ascena Retail Group, Inc.		(681,740	)		(2,842,856	)		1,377,115
athenahealth, Inc.		(143,628	)		(16,437,841	)		(3,749,074	)
Autodesk, Inc.		(173,016	)		(15,194,285	)		(2,249,188	)
AutoZone, Inc.		(1,043	)		(601,339	)		6,349
Avangrid, Inc.		(65,588	)		(2,787,490	)		(108,220	)
Avis Budget Group, Inc.		(382,947	)		(10,428,040	)		(14,925	)
Avon Products, Inc.		(2,209,826	)		(9,560,643	)		1,163,304
Axalta Coating Systems Ltd.		(527,209	)		(17,082,771	)		190,995
Ball Corp.		(513,995	)		(19,594,252	)		(2,101,477	)
BancorpSouth, Inc.		(54,474	)		(1,732,273	)		70,816
Bank of the Ozarks, Inc.		(232,424	)		(12,541,599	)		1,647,886
Belden, Inc.		(9,056	)		(667,342	)		(15,753	)
BioMarin Pharmaceutical, Inc.		(228,192	)		(20,554,725	)		(169,672	)
Bio-Techne Corp.		(73,230	)		(7,675,236	)		(929,289	)
Black Hills Corp.		(37,794	)		(2,534,734	)		(15,228	)
Blue Buffalo Pet Products, Inc.		(304,187	)		(7,250,851	)		312,346
BorgWarner, Inc.		(135,783	)		(5,806,081	)		54,313
Bristol-Myers Squibb Co.		(298,488	)		(16,781,410	)		149,658
Brookdale Senior Living, Inc.		(1,254,715	)		(15,305,075	)		(3,151,783	)
Brown & Brown, Inc.		(118,693	)		(5,194,006	)		81,898
Brown-Forman Corp.		(37,570	)		(1,757,900	)		(68,002	)
Cabot Oil & Gas Corp.		(589,476	)		(13,346,273	)		(1,437,785	)
CalAtlantic Group, Inc.		(20,718	)		(776,303	)		43,922
CarMax, Inc.		(132,794	)		(8,192,062	)		(181,928	)
Carpenter Technology Corp.		(160,678	)		(6,149,147	)		134,970
Carter’s, Inc.		(37,461	)		(3,188,192	)		(143,964	)
CBS Corp. (Non-Voting)		(87,454	)		(5,855,045	)		277,229
Cerner Corp.		(6,529	)		(369,607	)		(64,376	)
CF Industries Holdings, Inc.		(743,224	)		(21,769,031	)		988,488
Charles Schwab Corp. (The)		(115,972	)		(4,825,508	)		(156,649	)
Cheniere Energy, Inc.		(549,208	)		(25,079,194	)		(1,672,728	)
Chesapeake Energy Corp.		(94,494	)		(499,873	)		30,238
Chevron Corp.		(47,150	)		(5,077,112	)		157,953
Chicago Bridge & Iron Co. NV		(156,376	)		(4,653,750	)		1,568,451
Chico’s FAS, Inc.		(198,445	)		(2,827,841	)		958,489
Choice Hotels International, Inc.		(21,108	)		(1,334,026	)		(22,163	)
Ciena Corp.		(87,561	)		(2,082,201	)		(108,576	)
Cimarex Energy Co.		(46,580	)		(5,606,643	)		1,227,658
Clean Harbors, Inc.		(65,925	)		(3,789,369	)		108,776
Coach, Inc.		(9,104	)		(354,662	)		(76,321	)
Coca-Cola Co. (The)		(19,992	)		(840,264	)		(56,377	)

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

AQR Funds Semi-Annual Report June 2017

210

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cognex Corp.		(104,927	)	$	(8,472,855	)	$	(435,447	)
Colfax Corp.		(196,627	)		(7,782,497	)		41,292
Colgate-Palmolive Co.		(235,866	)		(17,444,649	)		(40,097	)
Comerica, Inc.		(136,779	)		(9,760,549	)		(257,145	)
CommVault Systems, Inc.		(114,711	)		(5,809,860	)		(665,576	)
Compass Minerals International, Inc.		(89,956	)		(6,202,466	)		328,339
comScore, Inc.		(160,588	)		(3,508,848	)		(706,587	)
Conduent, Inc.		(95,910	)		(1,597,419	)		68,614
CONSOL Energy, Inc.		(151,630	)		(2,382,148	)		116,795
Core Laboratories NV		(47,304	)		(5,225,057	)		434,581
CoStar Group, Inc.		(22,012	)		(4,514,441	)		(1,287,922	)
Coty, Inc.		(1,505,141	)		(28,790,224	)		553,779
Covanta Holding Corp.		(708,166	)		(11,082,798	)		1,735,007
Cree, Inc.		(75,449	)		(2,024,297	)		164,479
Cypress Semiconductor Corp.		(2,140,976	)		(29,570,131	)		345,809
Deckers Outdoor Corp.		(31,226	)		(1,727,627	)		(403,860	)
Delphi Automotive plc		(82,775	)		(6,775,134	)		(480,095	)
Denbury Resources, Inc.		(1,032,519	)		(2,001,468	)		421,714
DENTSPLY SIRONA, Inc.		(69,689	)		(4,388,082	)		(130,553	)
DexCom, Inc.		(417,322	)		(32,775,952	)		2,248,847
Diebold Nixdorf, Inc.		(380,525	)		(11,149,383	)		494,683
Discovery Communications, Inc.		(105,042	)		(2,942,226	)		228,992
DISH Network Corp.		(170,484	)		(10,887,108	)		187,532
Dollar General Corp.		(256,830	)		(18,664,857	)		149,982
Dollar Tree, Inc.		(198,817	)		(14,936,910	)		1,035,626
Dominion Energy, Inc.		(263,974	)		(20,357,675	)		129,347
Domino’s Pizza, Inc.		(35,507	)		(6,562,759	)		(948,037	)
Donaldson Co., Inc.		(136,748	)		(6,170,070	)		(57,434	)
Dun & Bradstreet Corp. (The)		(10,890	)		(1,131,662	)		(46,091	)
Dunkin’ Brands Group, Inc.		(255,634	)		(14,450,990	)		360,444
Eaton Vance Corp.		(16,147	)		(740,824	)		(23,252	)
Edgewell Personal Care Co.		(33,448	)		(2,503,248	)		(39,469	)
Edwards Lifesciences Corp.		(73,986	)		(6,991,295	)		(1,756,809	)
Endo International plc		(743,314	)		(7,881,140	)		(421,677	)
Envision Healthcare Corp.		(357,071	)		(22,816,837	)		439,197
EQT Corp.		(143,662	)		(7,660,283	)		(756,873	)
Estee Lauder Cos., Inc. (The)		(48,042	)		(4,129,690	)		(481,381	)
Esterline Technologies Corp.		(44,062	)		(3,972,189	)		(204,888	)
Extended Stay America, Inc.		(81,207	)		(1,331,795	)		(240,373	)
Exxon Mobil Corp.		(131,299	)		(10,753,885	)		154,117
Facebook, Inc.		(26,287	)		(3,675,974	)		(292,837	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Fastenal Co.		(213,035	)	$	(11,050,125	)	$	1,776,712
FireEye, Inc.		(1,591,448	)		(18,340,667	)		(5,865,257	)
First Data Corp.		(1,736,701	)		(27,652,300	)		(3,955,659	)
First Horizon National Corp.		(303,515	)		(5,769,820	)		482,589
FirstEnergy Corp.		(581,735	)		(17,690,491	)		727,099
Fitbit, Inc.		(2,683,616	)		(15,096,070	)		846,069
FleetCor Technologies, Inc.		(40,156	)		(6,514,508	)		723,611
Flowserve Corp.		(170,368	)		(8,005,592	)		95,406
FMC Corp.		(61,526	)		(3,764,776	)		(729,698	)
FNB Corp.		(178,534	)		(2,714,761	)		186,720
Fortinet, Inc.		(168,635	)		(6,261,418	)		(52,277	)
Fossil Group, Inc.		(391,044	)		(5,804,564	)		1,757,259
Freeport-McMoRan, Inc.		(635,454	)		(8,116,161	)		484,359
Frontier Communications Corp.		(6,764,702	)		(14,280,147	)		6,433,093
Gap, Inc. (The)		(249,566	)		(5,643,147	)		155,191
Gartner, Inc.		(75,566	)		(8,380,938	)		(952,219	)
General Electric Co.		(26,920	)		(804,370	)		77,260
Genesee & Wyoming, Inc.		(115,349	)		(7,925,630	)		36,912
Gentex Corp.		(40,562	)		(887,902	)		118,441
GoDaddy, Inc.		(103,100	)		(3,816,141	)		(557,361	)
Graco, Inc.		(59,930	)		(5,648,403	)		(900,748	)
Granite Construction, Inc.		(31,965	)		(1,518,589	)		(23,403	)
Graphic Packaging Holding Co.		(243,736	)		(3,257,083	)		(101,599	)
Groupon, Inc.		(2,568,787	)		(10,161,252	)		297,110
Guidewire Software, Inc.		(114,345	)		(6,485,257	)		(1,371,388	)
H&R Block, Inc.		(168,404	)		(3,871,979	)		(1,333,388	)
Hain Celestial Group, Inc. (The)		(245,086	)		(9,156,413	)		(357,826	)
Halliburton Co.		(73,663	)		(3,668,655	)		522,508
Halyard Health, Inc.		(109,165	)		(4,250,885	)		(37,116	)
Hanesbrands, Inc.		(324,328	)		(6,593,973	)		(917,463	)
HEICO Corp.		(9,440	)		(663,217	)		(14,953	)
Henry Schein, Inc.		(11,806	)		(2,021,778	)		(138,957	)
Hershey Co. (The)		(7,962	)		(867,938	)		13,058
Hertz Global Holdings, Inc.		(939,013	)		(13,555,850	)		2,757,201
Hess Corp.		(118,635	)		(5,547,846	)		343,329
HollyFrontier Corp.		(254,895	)		(7,064,207	)		62,241
Hologic, Inc.		(215,791	)		(9,190,539	)		(602,057	)
HSN, Inc.		(23,940	)		(869,782	)		106,096
IDEXX Laboratories, Inc.		(64,106	)		(9,740,907	)		(607,084	)
IHS Markit Ltd.		(173,386	)		(6,996,125	)		(639,794	)
Illumina, Inc.		(135,890	)		(21,856,110	)		(1,723,522	)
Incyte Corp.		(12,153	)		(1,798,158	)		267,974
Inovalon Holdings, Inc.		(133,700	)		(1,640,538	)		(117,617	)
Intrexon Corp.		(128,696	)		(2,538,479	)		(561,808	)

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

AQR Funds Semi-Annual Report June 2017

211

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ionis Pharmaceuticals, Inc.		(226,843	)	$	(8,908,524	)	$	(2,630,980	)
IPG Photonics Corp.		(10,190	)		(1,237,677	)		(240,892	)
Jazz Pharmaceuticals plc		(35,298	)		(4,757,111	)		(731,728	)
JC Penney Co., Inc.		(2,333,916	)		(13,817,330	)		2,964,621
Juno Therapeutics, Inc.		(387,865	)		(8,739,181	)		(2,854,104	)
Kansas City Southern		(26,216	)		(2,205,552	)		(537,952	)
Kate Spade & Co.		(430,552	)		(10,236,258	)		2,275,352
KBR, Inc.		(538,759	)		(7,618,074	)		(581,838	)
Kellogg Co.		(76,429	)		(5,740,582	)		431,824
Kennametal, Inc.		(196,568	)		(7,628,804	)		273,230
Kinder Morgan, Inc.		(256,795	)		(5,464,598	)		544,405
KLX, Inc.		(226,692	)		(10,529,843	)		(804,757	)
Knowles Corp.		(293,153	)		(5,605,085	)		644,937
L Brands, Inc.		(388,480	)		(19,284,155	)		(1,651,033	)
Legg Mason, Inc.		(207,420	)		(7,421,488	)		(493,660	)
Liberty Broadband Corp.		(42,397	)		(3,634,695	)		(43,245	)
Liberty Expedia Holdings, Inc.		(11,683	)		(535,244	)		(95,871	)
Lions Gate Entertainment Corp.		(161,046	)		(4,058,359	)		(486,359	)
Lions Gate Entertainment Corp.		(356,327	)		(8,434,943	)		(929,331	)
LivaNova plc		(131,466	)		(6,514,140	)		(1,532,894	)
Live Nation Entertainment, Inc.		(317,866	)		(9,297,581	)		(1,780,050	)
Loews Corp.		(309,344	)		(14,599,692	)		119,299
LogMeIn, Inc.		(31,597	)		(3,002,598	)		(299,289	)
Lululemon Athletica, Inc.		(81,652	)		(5,201,973	)		329,798
Macy’s, Inc.		(150,796	)		(4,291,969	)		787,470
Madison Square Garden Co. (The)		(33,422	)		(6,621,248	)		40,456
Markel Corp.		(543	)		(532,232	)		2,340
Marsh & McLennan Cos., Inc.		(136,326	)		(10,243,536	)		(384,439	)
Mastercard, Inc.		(114,890	)		(12,963,039	)		(990,352	)
Mattel, Inc.		(420,527	)		(10,657,624	)		1,603,678
MDU Resources Group, Inc.		(63,424	)		(1,728,938	)		67,229
Medtronic plc		(22,378	)		(1,840,143	)		(145,905	)
Mercury General Corp.		(53,204	)		(3,169,870	)		296,854
Michaels Cos., Inc. (The)		(29,348	)		(641,598	)		98,073
Middleby Corp. (The)		(66,988	)		(9,267,388	)		1,127,676
Mondelez International, Inc.		(88,583	)		(3,964,089	)		138,189
Monster Beverage Corp.		(196,461	)		(9,129,543	)		(630,640	)
Moody’s Corp.		(42,658	)		(4,775,137	)		(415,489	)
Motorola Solutions, Inc.		(20,961	)		(1,775,816	)		(42,341	)
National Fuel Gas Co.		(139,564	)		(8,334,496	)		541,242
National Instruments Corp.		(228,790	)		(7,435,675	)		(1,766,259	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
National Oilwell Varco, Inc.		(52,548	)	$	(2,065,662	)	$	334,731
NetScout Systems, Inc.		(363,840	)		(13,589,424	)		1,073,328
Neurocrine Biosciences, Inc.		(253,832	)		(11,176,497	)		(499,775	)
New Jersey Resources Corp.		(12,088	)		(473,850	)		(6,044	)
New York Times Co. (The)		(54,478	)		(787,864	)		(176,396	)
Newell Brands, Inc.		(60,825	)		(3,009,514	)		(251,922	)
Newfield Exploration Co.		(119,952	)		(3,839,504	)		425,670
Newmont Mining Corp.		(486,559	)		(16,068,418	)		308,772
Nielsen Holdings plc		(140,165	)		(5,956,840	)		538,061
NIKE, Inc.		(139,429	)		(8,033,753	)		(192,558	)
Noble Corp. plc		(3,213,513	)		(17,271,363	)		5,638,446
Nordson Corp.		(22,416	)		(2,829,348	)		109,838
Norwegian Cruise Line Holdings Ltd.		(190,205	)		(9,927,947	)		(398,282	)
NOW, Inc.		(98,818	)		(1,663,107	)		74,114
Nucor Corp.		(56,217	)		(3,171,806	)		(81,472	)
NuVasive, Inc.		(11,093	)		(850,749	)		(2,525	)
Occidental Petroleum Corp.		(232,856	)		(14,907,718	)		966,629
Ocwen Financial Corp.		(60,158	)		(292,969	)		131,144
Office Depot, Inc.		(1,519,946	)		(7,281,917	)		(1,290,579	)
OGE Energy Corp.		(500,226	)		(18,403,315	)		1,000,452
Olin Corp.		(123,252	)		(4,075,944	)		343,873
OneMain Holdings, Inc.		(106,887	)		(2,744,588	)		116,237
OPKO Health, Inc.		(409,698	)		(2,869,167	)		173,354
Owens & Minor, Inc.		(17,961	)		(625,761	)		47,597
Owens-Illinois, Inc.		(580,617	)		(11,838,781	)		(2,049,578	)
PacWest Bancorp		(78,572	)		(4,385,103	)		715,791
Palo Alto Networks, Inc.		(188,024	)		(21,767,814	)		(3,391,678	)
Pandora Media, Inc.		(2,136,930	)		(21,679,487	)		2,618,071
Parsley Energy, Inc.		(176,278	)		(5,357,076	)		465,361
Patheon NV		(64,826	)		(1,748,846	)		(512,285	)
Patterson Cos., Inc.		(183,722	)		(8,355,677	)		(270,071	)
PayPal Holdings, Inc.		(122,700	)		(5,285,916	)		(1,299,393	)
PBF Energy, Inc.		(282,040	)		(6,077,518	)		(200,692	)
Perrigo Co. plc		(232,957	)		(16,173,508	)		(1,419,405	)
Phillips 66		(10,685	)		(841,680	)		(41,863	)
Pitney Bowes, Inc.		(497,257	)		(6,360,803	)		(1,147,778	)
Platform Specialty Products Corp.		(1,420,670	)		(18,596,570	)		582,475
PolyOne Corp.		(20,964	)		(708,730	)		(103,416	)
Premier, Inc.		(332,770	)		(10,323,673	)		(1,656,047	)
Prestige Brands Holdings, Inc.		(13,079	)		(748,250	)		57,548
Priceline Group, Inc. (The)		(738	)		(1,308,201	)		(72,243	)
ProAssurance Corp.		(14,957	)		(907,890	)		(1,496	)
PTC, Inc.		(117,110	)		(6,580,411	)		125,308
QEP Resources, Inc.		(267,055	)		(2,731,773	)		34,517
QIAGEN NV		(103,054	)		(3,027,727	)		(427,674	)

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

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212

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ralph Lauren Corp.		(131,635	)	$	(10,266,968	)	$	552,305
Range Resources Corp.		(623,235	)		(15,423,498	)		983,143
Regeneron Pharmaceuticals, Inc.		(30,085	)		(11,059,730	)		(3,716,217	)
ResMed, Inc.		(28,642	)		(2,051,913	)		(178,440	)
Rice Energy, Inc.		(21,496	)		(457,910	)		(114,529	)
Robert Half International, Inc.		(28,702	)		(1,421,897	)		46,210
Roper Technologies, Inc.		(29,400	)		(6,201,636	)		(605,346	)
Royal Gold, Inc.		(67,154	)		(4,354,265	)		(895,163	)
RR Donnelley & Sons Co.		(248,057	)		(3,110,425	)		(209	)
Sabre Corp.		(165,513	)		(3,523,725	)		(79,493	)
salesforce.com, Inc.		(201,645	)		(16,707,930	)		(754,527	)
Sally Beauty Holdings, Inc.		(205,674	)		(4,191,463	)		26,564
Santander Consumer USA Holdings, Inc.		(236,315	)		(3,310,773	)		295,394
Schlumberger Ltd.		(157,326	)		(12,259,064	)		1,900,720
Sealed Air Corp.		(382,616	)		(17,459,501	)		333,609
Seattle Genetics, Inc.		(51,164	)		(3,359,199	)		711,974
Sempra Energy		(225,526	)		(24,979,260	)		(448,797	)
Sensata Technologies Holding NV		(366,268	)		(16,115,792	)		468,823
ServiceMaster Global Holdings, Inc.		(43,678	)		(1,784,246	)		72,505
ServiceNow, Inc.		(231,110	)		(20,639,371	)		(3,858,289	)
Signature Bank		(23,016	)		(3,558,964	)		255,478
Signet Jewelers Ltd.		(148,858	)		(9,315,490	)		(98,290	)
Silgan Holdings, Inc.		(40,172	)		(1,229,263	)		(47,403	)
Silicon Laboratories, Inc.		(9,998	)		(731,854	)		48,490
Six Flags Entertainment Corp.		(150,561	)		(8,940,312	)		(34,629	)
Skechers U.S.A., Inc.		(93,220	)		(2,588,123	)		(161,867	)
SLM Corp.		(1,403,814	)		(17,238,836	)		1,094,975
Snyder’s-Lance, Inc.		(62,798	)		(2,547,087	)		373,020
Sotheby’s		(250,538	)		(11,920,598	)		(1,525,776	)
Southwestern Energy Co.		(1,867,882	)		(11,847,917	)		491,195
Splunk, Inc.		(363,992	)		(22,702,181	)		1,994,676
Sprouts Farmers Market, Inc.		(976,968	)		(21,749,843	)		(398,021	)
SPX Corp.		(55,721	)		(1,377,980	)		(23,960	)
Square, Inc.		(979,502	)		(20,431,487	)		(2,547,630	)
Staples, Inc.		(498,530	)		(4,486,770	)		(533,427	)
Stericycle, Inc.		(241,960	)		(20,290,568	)		1,824,181
Stifel Financial Corp.		(128,870	)		(6,817,223	)		891,780
SunPower Corp.		(99,213	)		(619,632	)		(307,017	)
Superior Energy Services, Inc.		(824,799	)		(10,758,332	)		2,155,679
SVB Financial Group		(42,549	)		(8,390,237	)		910,549
Synchrony Financial		(272,687	)		(7,653,536	)		(477,990	)
Synovus Financial Corp.		(45,501	)		(1,912,862	)		(100,102	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Tableau Software, Inc.		(284,580	)	$	(13,972,878	)	$	(3,463,339	)
Targa Resources Corp.		(171,961	)		(9,530,143	)		1,757,506
Target Corp.		(50,518	)		(2,691,988	)		50,401
Tempur Sealy International, Inc.		(333,218	)		(15,253,157	)		(2,537,352	)
Tenet Healthcare Corp.		(1,022,912	)		(18,255,785	)		(1,527,333	)
Teradata Corp.		(199,989	)		(6,151,662	)		253,986
TerraForm Power, Inc.		(225,168	)		(2,814,600	)		112,584
Tesla, Inc.		(36,531	)		(9,339,197	)		(3,870,778	)
Tiffany & Co.		(66,648	)		(6,159,608	)		(96,640	)
Time, Inc.		(480,338	)		(8,567,844	)		1,674,993
Tractor Supply Co.		(385,581	)		(24,798,925	)		3,896,579
TransDigm Group, Inc.		(53,099	)		(12,691,015	)		(1,585,713	)
TreeHouse Foods, Inc.		(108,907	)		(9,391,347	)		494,734
TRI Pointe Group, Inc.		(307,430	)		(3,898,343	)		(156,658	)
Trimble, Inc.		(352,383	)		(11,177,589	)		(1,391,913	)
TripAdvisor, Inc.		(566,608	)		(23,222,579	)		1,578,153
Triumph Group, Inc.		(198,426	)		(5,040,020	)		(1,230,241	)
Twitter, Inc.		(1,218,947	)		(18,284,938	)		(3,497,645	)
Tyler Technologies, Inc.		(19,952	)		(3,119,495	)		(385,473	)
Ultimate Software Group, Inc. (The)		(42,348	)		(8,240,323	)		(655,298	)
United Natural Foods, Inc.		(12,489	)		(553,512	)		95,166
United States Steel Corp.		(815,559	)		(16,857,088	)		(1,199,388	)
Urban Outfitters, Inc.		(24,324	)		(425,805	)		(25,162	)
USG Corp.		(36,079	)		(1,230,655	)		183,642
Valley National Bancorp		(335,538	)		(4,113,696	)		150,992
Veeva Systems, Inc.		(116,973	)		(5,824,086	)		(1,347,529	)
VeriFone Systems, Inc.		(850,584	)		(16,041,488	)		645,918
VF Corp.		(188,972	)		(10,181,669	)		(703,118	)
ViaSat, Inc.		(68,108	)		(4,408,949	)		(99,801	)
Visa, Inc.		(67,306	)		(6,073,693	)		(238,263	)
Vista Outdoor, Inc.		(211,663	)		(4,476,741	)		(287,793	)
Visteon Corp.		(16,697	)		(1,661,685	)		(42,410	)
WABCO Holdings, Inc.		(57,934	)		(6,778,278	)		(608,886	)
Waddell & Reed Financial, Inc.		(110,917	)		(1,908,882	)		(185,231	)
Weatherford International plc		(5,780,276	)		(34,510,399	)		12,140,731
Webster Financial Corp.		(68,542	)		(3,703,324	)		124,061
Welbilt, Inc.		(498,074	)		(9,580,821	)		192,126
Wendy’s Co. (The)		(86,305	)		(1,164,254	)		(174,336	)
Williams Cos., Inc. (The)		(604,334	)		(17,282,325	)		(1,016,909	)
Willis Towers Watson plc		(11,347	)		(1,579,127	)		(71,408	)
WisdomTree Investments, Inc.		(1,732,054	)		(15,572,245	)		(2,042,744	)
Workday, Inc.		(286,916	)		(24,254,955	)		(3,575,897	)
WPX Energy, Inc.		(467,092	)		(5,701,717	)		1,189,608
WR Grace & Co.		(224,298	)		(15,871,326	)		(280,372	)
Wynn Resorts Ltd.		(204,129	)		(22,793,462	)		(4,584,320	)
Yelp, Inc.		(280,005	)		(9,217,785	)		812,035
Zayo Group Holdings, Inc.		(556,029	)		(18,600,561	)		1,419,265

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

AQR Funds Semi-Annual Report June 2017

213

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zebra Technologies Corp.		(168,922	)	$	(15,329,672	)	$	(1,650,368	)
Zillow Group, Inc.		(130,856	)		(5,219,253	)		(1,193,999	)
Zions Bancorp		(437,463	)		(19,143,381	)		(65,619	)
Zoetis, Inc.		(210,043	)		(11,342,322	)		(1,760,160	)
Zynga, Inc.		(1,922,725	)		(5,372,302	)		(1,626,417	)
								(48,838,181	)
Total of Short Equity Positions								(48,270,139	)
Total of Long and Short Equity Positions								24,590,818
Net Cash and Other Receivables/ (Payables) (b)								(15,651,088	)
Swaps, at Value							$	8,939,730

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	1-57 months maturity 11/19/2021		$2,396,019

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		3,847	$	500,721	$	119,388
Air France-KLM		293,965		2,607,688		1,588,548
Arkema SA		55,034		5,818,761		58,416
Atos SE		173,635		22,221,531		2,141,303
Capgemini SE		56,769		5,499,151		365,232
Christian Dior SE		4,358		1,038,401		207,714
Cie Generale des Etablissements Michelin		180,393		22,493,651		1,515,589
CNP Assurances		140,435		3,011,443		140,791
Dassault Systemes SE		10,629		943,297		10,028
Eiffage SA		16,978		1,377,472		164,826

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Eutelsat Communications SA		21,882	$	518,863	$	39,454
Faurecia		42,541		2,040,967		116,341
Ipsen SA		25,157		2,631,993		810,437
Lagardere SCA		121,751		3,634,014		207,744
Orange SA		337,162		5,712,905		(347,001	)
Orpea		4,346		430,147		54,379
Peugeot SA		636,470		13,738,363		(1,053,734	)
Publicis Groupe SA		40,154		2,900,977		91,824
Sanofi		37,206		3,672,719		(107,641	)
Schneider Electric SE		18,130		1,396,043		(2,762	)
SCOR SE		88,765		3,625,579		(99,141	)
SEB SA		18,345		2,659,733		632,985
Societe BIC SA		7,988		1,079,877		(131,370	)
Sodexo SA		46,754		5,657,029		385,570
Teleperformance		64,443		7,415,567		847,444

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Thales SA		126,288		$	12,942,707		$	648,955
TOTAL SA		167,740			8,982,108			(654,317	)
Valeo SA		171,077			11,848,223			(338,345	)
								7,412,657
Total of Long Equity Positions								7,412,657
Short Positions
Common Stocks
France
Accor SA		(331,709	)		(14,027,550	)		(1,532,658	)
Air Liquide SA		(9,875	)		(1,193,138	)		(27,373	)
Airbus SE		(85,607	)		(6,856,166	)		(208,596	)
Alstom SA		(111,350	)		(3,403,119	)		(485,834	)
Bollore SA		(1,247,445	)		(5,090,644	)		(581,253	)
Bureau Veritas SA		(133,103	)		(2,788,714	)		(157,578	)
Carrefour SA		(104,871	)		(2,614,994	)		(36,348	)
Casino Guichard Perrachon SA		(26,384	)		(1,571,257	)		8,684
Cie Plastic Omnium SA		(37,290	)		(1,452,154	)		91,676
Edenred		(454,790	)		(11,180,552	)		(682,714	)
Electricite de France SA		(172,799	)		(1,854,428	)		(17,842	)
Engie SA		(360,603	)		(5,170,579	)		(272,272	)
Essilor International SA		(104,194	)		(13,412,676	)		157,871
Hermes International		(12,677	)		(6,325,927	)		63,793
Iliad SA		(29,350	)		(7,099,676	)		163,442
Ingenico Group SA		(104,330	)		(10,691,889	)		1,230,473
JCDecaux SA		(62,673	)		(2,277,933	)		223,100

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Natixis SA		(1,470,295	)	$	(9,563,779	)	$	(305,888	)
Pernod Ricard SA		(28,608	)		(3,614,036	)		(216,781	)
Remy Cointreau SA		(57,497	)		(5,875,816	)		(826,243	)
Safran SA		(44,925	)		(3,593,914	)		(525,992	)
SFR Group SA		(198,907	)		(6,565,673	)		(156,971	)
Vivendi SA		(612,249	)		(12,496,619	)		(1,136,620	)
Zodiac Aerospace		(254,213	)		(6,485,006	)		(421,554	)
								(5,653,478	)
Luxembourg
SES SA		(32,639	)		(732,268	)		(32,363	)
Total of Short Equity Positions								(5,685,841	)
Total of Long and Short Equity Positions								1,726,816
Net Cash and Other Receivables/ (Payables) (b)								669,203
Swaps, at Value							$	2,396,019

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

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

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

AQR Funds Semi-Annual Report June 2017

215

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER	EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
BANA
Cash	$(2,150,000)	$—		$(2,150,000	)
Investment Companies	2,140,255	—		2,140,255
BARC
Cash	—	149,640,432		149,640,432
CITI
Cash	(12,170,000)	—		(12,170,000	)
Investment Companies	23,470,000	—		23,470,000
GSCO
Cash	—	3,018,890		3,018,890
U.S. Treasury Bills	—	26,999,827		26,999,827
GSIN
Cash	(33,900,000)	—		(33,900,000	)
Investment Companies	591,539,239	—		591,539,239
JPMC
Investment Companies	53,510,000	—		53,510,000
JPMS
Cash	—	17,674,763		17,674,763
MSCL
Cash	—	7,416,085		7,416,085

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER	EXCHANGE TRADED/ CENTRALLY CLEARED	TOTAL
CITI
Investment Companies	$10,405,758	$—		$10,405,758
GSCO
Cash	—	3,986,988		3,986,988
GSIN
Cash	7,870,000	—		7,870,000
JPPC
Cash	—	6,938,398		6,938,398
MACQ
Cash	1,180,000	—		1,180,000
MSCL
Cash	—	20,299,919		20,299,919
SOCG
Cash	500,000	—		500,000

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 110.7%
COMMON STOCKS - 18.2%
Belgium - 0.3%
Ageas (a)		1,937	$	78,005
bpost SA (a)		9,131		220,536
Colruyt SA (a)		612		32,233
Galapagos NV *(a)		1,375		105,114
KBC Group NV (a)		1,841		139,583
Proximus SADP (a)		1,423		49,804
Solvay SA (a)		1,451		194,741
UCB SA (a)		710		48,831
Umicore SA (a)		3,638		253,063
				1,121,910
Denmark - 0.7%
Danske Bank A/S (a)		6,594		253,691
DSV A/S		381		23,403
FLSmidth & Co. A/S (a)		647		40,884
GN Store Nord A/S (a)		5,337		155,835
H Lundbeck A/S (a)		10,032		563,168
ISS A/S (a)		9,268		364,058
Jyske Bank A/S (Registered) (a)		2,286		132,414
TDC A/S (a)		14,138		82,218
Vestas Wind Systems A/S (a)		9,896		914,067
William Demant Holding A/S *		16,863		436,313
				2,966,051
Finland - 0.8%
Cargotec OYJ, Class B (a)		5,373		340,840
Elisa OYJ (a)		2,530		98,144
Huhtamaki OYJ (a)		673		26,503
Kesko OYJ, Class B (a)		5,346		271,940
Metso OYJ (a)		3,507		121,686
Neste OYJ (a)		25,504		1,006,413
Nokian Renkaat OYJ (a)		793		32,825
Orion OYJ, Class B (a)		3,866		246,963
Stora Enso OYJ, Class R (a)		27,198		351,454
UPM-Kymmene OYJ (a)		28,373		809,048
				3,305,816
Germany - 2.7%
adidas AG (a)		2,646		507,367
Allianz SE (Registered) (a)		1,290		254,571
Aurubis AG (a)		3,147		247,563
Brenntag AG (a)		1,080		62,634
Covestro AG (a)(b)		15,129		1,096,763
Deutsche Lufthansa AG (Registered) (a)		63,684		1,451,330
Evonik Industries AG (a)		7,219		231,050
Freenet AG (a)		10,573		337,306
Hannover Rueck SE (a)		4,250		510,483
HeidelbergCement AG (a)		2,174		210,745
Hella KGaA Hueck & Co. (a)		2,921		144,053
Henkel AG & Co. KGaA (Preference) (a)		4,256		586,876
HOCHTIEF AG (a)		2,824		518,427
Infineon Technologies AG (a)		28,797		611,665
KION Group AG (a)		2,712		207,448
Krones AG (a)		313		36,283
MAN SE (a)		239		25,631
METRO AG (a)		877		29,627
MTU Aero Engines AG (a)		1,264		178,587

INVESTMENTS	SHARES		VALUE
Germany - 2.7% (continued)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (a)		1,753	$	354,725
OSRAM Licht AG (a)		4,567		364,547
Rheinmetall AG (a)		4,705		447,839
Salzgitter AG (a)		2,844		116,065
SAP SE (a)		4,818		504,307
Siemens AG (Registered) (a)		3,767		518,166
Software AG (a)		11,082		486,058
STADA Arzneimittel AG *		5,816		413,116
Suedzucker AG (a)		28,313		591,100
Talanx AG (a)		7,283		272,427
Uniper SE (a)		5,169		97,127
Wirecard AG (a)		667		42,544
				11,456,430
Italy - 1.3%
A2A SpA		416,258		692,133
Assicurazioni Generali SpA (a)		6,409		105,788
Autogrill SpA		10,963		132,883
Banca Monte dei Paschi di Siena SpA (3)*(c)		1,320		17,805
Brembo SpA		6,945		101,765
Buzzi Unicem SpA		11,434		285,107
Davide Campari-Milano SpA		29,924		211,553
Enel SpA (a)		329,683		1,768,254
Hera SpA		12,075		36,916
Italgas SpA		14,388		72,561
Leonardo SpA (a)		2,653		44,172
Mediobanca SpA (a)		25,637		253,628
Moncler SpA		2,476		58,083
Poste Italiane SpA (b)		59,892		410,679
Prysmian SpA (a)		14,735		434,587
Recordati SpA		9,684		392,706
Terna Rete Elettrica Nazionale SpA (a)		63,275		341,757
UnipolSai Assicurazioni SpA (a)		28,884		63,367
				5,423,744
Japan - 8.4%
ABC-Mart, Inc. (a)		1,200		70,719
Advantest Corp.		1,300		22,285
Air Water, Inc.		1,300		23,992
Aisin Seiki Co. Ltd. (a)		1,600		82,251
Alfresa Holdings Corp. (a)		15,600		301,597
Amada Holdings Co. Ltd. (a)		29,300		339,870
ANA Holdings, Inc. (a)		111,000		386,501
Aozora Bank Ltd. (a)		121,000		461,964
Asahi Glass Co. Ltd. (a)		2,200		92,912
Asahi Group Holdings Ltd. (a)		1,800		67,789
Asahi Kasei Corp. (a)		23,000		248,131
Astellas Pharma, Inc. (a)		31,000		379,958
Bandai Namco Holdings, Inc. (a)		13,500		461,259
Brother Industries Ltd. (a)		13,700		317,333
Central Japan Railway Co. (a)		1,100		179,649
Chubu Electric Power Co., Inc. (a)		14,400		191,501
Chugoku Bank Ltd. (The) (a)		5,300		79,571
Citizen Watch Co. Ltd. (a)		3,600		25,331
Coca-Cola Bottlers Japan, Inc. (a)		2,300		66,598
Cosmos Pharmaceutical Corp. (a)		400		77,929

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

AQR Funds Semi-Annual Report June 2017

217

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Japan - 8.4% (continued)
CyberAgent, Inc. (a)		1,700	$	52,796
Daiichi Sankyo Co. Ltd. (a)		21,000		495,661
DeNA Co. Ltd.		1,100		24,723
East Japan Railway Co. (a)		400		38,318
Ezaki Glico Co. Ltd. (a)		3,700		199,220
FUJIFILM Holdings Corp.		600		21,634
Fujitsu Ltd. (a)		83,000		613,890
Gunma Bank Ltd. (The) (a)		5,400		32,517
Hakuhodo DY Holdings, Inc. (a)		15,300		203,761
Hankyu Hanshin Holdings, Inc. (a)		5,000		180,126
Haseko Corp. (a)		32,200		392,112
Hikari Tsushin, Inc. (a)		900		94,820
Hiroshima Bank Ltd. (The) (a)		8,000		35,611
Hisamitsu Pharmaceutical Co., Inc. (a)		4,000		191,775
Hitachi Capital Corp. (a)		2,600		62,694
Hitachi Chemical Co. Ltd. (a)		12,700		380,754
Hitachi High-Technologies Corp. (a)		13,300		517,941
Hitachi Metals Ltd. (a)		3,900		54,414
Hokuhoku Financial Group, Inc. (a)		5,200		83,178
Hoshizaki Corp. (a)		400		36,292
Idemitsu Kosan Co. Ltd. (a)		24,600		699,838
Iida Group Holdings Co. Ltd. (a)		8,200		136,870
Inpex Corp. (a)		26,000		251,042
Ito En Ltd. (a)		2,700		98,577
ITOCHU Corp. (a)		32,800		488,357
Itochu Techno-Solutions Corp. (a)		11,600		406,781
Izumi Co. Ltd. (a)		2,400		136,468
J Front Retailing Co. Ltd. (a)		4,000		61,642
Japan Airlines Co. Ltd. (a)		12,200		377,903
JSR Corp. (a)		1,500		25,967
JXTG Holdings, Inc. (a)		43,900		192,085
Kajima Corp. (a)		64,000		540,904
Kaken Pharmaceutical Co. Ltd. (a)		1,200		65,523
Kamigumi Co. Ltd. (a)		9,000		94,606
Kaneka Corp. (a)		21,000		160,722
Kao Corp. (a)		7,600		451,883
Keihan Holdings Co. Ltd. (a)		4,000		25,454
Kewpie Corp. (a)		11,200		294,108
Kobayashi Pharmaceutical Co. Ltd. (a)		600		35,661
Konami Holdings Corp. (a)		13,800		768,187
Kuraray Co. Ltd. (a)		18,400		335,046
Kurita Water Industries Ltd. (a)		1,700		46,502
Kyocera Corp. (a)		3,000		174,362
Lion Corp. (a)		16,000		331,870
Marubeni Corp. (a)		11,300		73,209
Maruichi Steel Tube Ltd. (a)		1,200		34,913
Matsumotokiyoshi Holdings Co. Ltd. (a)		2,100		119,625
Medipal Holdings Corp. (a)		15,100		279,985
MEIJI Holdings Co. Ltd. (a)		1,500		121,633
Miraca Holdings, Inc. (a)		600		27,023
Mitsubishi Chemical Holdings Corp. (a)		24,100		200,795
Mitsubishi Corp. (a)		7,100		149,249
Mitsubishi Gas Chemical Co., Inc. (a)		27,500		584,084
Mitsubishi Tanabe Pharma Corp. (a)		24,600		569,050
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)		74,500		408,748
Mitsui & Co. Ltd. (a)		10,200		146,022
Mitsui Chemicals, Inc. (a)		59,000		314,197
Mixi, Inc.		7,400		411,805

INVESTMENTS	SHARES		VALUE
Japan - 8.4% (continued)
Mizuho Financial Group, Inc. (a)		286,700	$	525,657
Nagoya Railroad Co. Ltd. (a)		31,000		144,649
Nankai Electric Railway Co. Ltd. (a)		12,000		62,143
Nexon Co. Ltd. (a)		6,600		130,917
NH Foods Ltd. (a)		18,000		547,562
NHK Spring Co. Ltd. (a)		38,000		401,204
Nippon Express Co. Ltd. (a)		69,000		432,987
Nippon Shokubai Co. Ltd. (a)		3,900		251,914
Nippon Telegraph & Telephone Corp. (a)		17,700		835,513
Nisshin Seifun Group, Inc. (a)		15,800		259,746
Nissin Foods Holdings Co. Ltd. (a)		500		31,265
Nitori Holdings Co. Ltd. (a)		4,200		562,226
Nomura Research Institute Ltd. (a)		2,700		106,668
NTT Data Corp.		6,000		66,940
Obayashi Corp. (a)		51,100		602,067
Oracle Corp. Japan (a)		3,400		221,162
ORIX Corp. (a)		44,100		686,190
Osaka Gas Co. Ltd. (a)		73,000		298,924
Otsuka Corp. (a)		4,500		279,918
Otsuka Holdings Co. Ltd. (a)		8,900		379,988
Park24 Co. Ltd. (a)		8,700		221,383
Persol Holdings Co. Ltd. (a)		2,600		48,849
Pola Orbis Holdings, Inc. (a)		23,000		608,502
Resona Holdings, Inc. (a)		115,100		635,791
Sankyo Co. Ltd. (a)		800		27,176
Sawai Pharmaceutical Co. Ltd. (a)		700		39,314
SCSK Corp. (a)		900		40,439
Seiko Epson Corp. (a)		15,000		334,686
Sekisui Chemical Co. Ltd. (a)		8,500		152,519
Shimamura Co. Ltd. (a)		4,100		502,627
Shimizu Corp. (a)		20,000		212,512
Shinsei Bank Ltd. (a)		58,000		101,602
Shionogi & Co. Ltd. (a)		3,000		167,274
Sojitz Corp. (a)		167,900		413,316
Sompo Holdings, Inc. (a)		5,600		217,363
Square Enix Holdings Co. Ltd. (a)		6,700		219,572
Start Today Co. Ltd. (a)		6,700		165,119
Subaru Corp.		700		23,736
Sugi Holdings Co. Ltd. (a)		2,100		112,530
Sumitomo Corp. (a)		18,400		239,939
Sumitomo Dainippon Pharma Co. Ltd. (a)		31,400		428,607
Sumitomo Heavy Industries Ltd. (a)		4,000		26,543
Sumitomo Mitsui Financial Group, Inc.		600		23,427
Sumitomo Mitsui Trust Holdings, Inc. (a)		2,900		104,166
Sumitomo Rubber Industries Ltd. (a)		16,800		284,517
Sundrug Co. Ltd. (a)		2,800		104,447
Suzuken Co. Ltd. (a)		6,370		212,045
Suzuki Motor Corp. (a)		10,600		504,963
Taisei Corp. (a)		62,000		567,086
Taisho Pharmaceutical Holdings Co. Ltd. (a)		1,200		91,433
Takashimaya Co. Ltd. (a)		14,000		133,561
Teijin Ltd. (a)		4,100		79,118
Terumo Corp. (a)		1,000		39,459
Toho Co. Ltd. (a)		1,300		40,092
Toho Gas Co. Ltd. (a)		60,000		437,041
Tohoku Electric Power Co., Inc. (a)		1,800		24,946
Tokyo Broadcasting System Holdings, Inc. (a)		6,900		122,390

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

AQR Funds Semi-Annual Report June 2017

218

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Japan - 8.4% (continued)
Tokyo Century Corp. (a)		5,400	$	216,430
Tokyo Electron Ltd. (a)		5,700		770,600
Toppan Printing Co. Ltd. (a)		16,000		175,936
Tosoh Corp. (a)		49,000		505,005
TOTO Ltd. (a)		900		34,483
Toyo Suisan Kaisha Ltd. (a)		7,300		280,076
Toyoda Gosei Co. Ltd. (a)		10,000		239,615
Toyota Boshoku Corp. (a)		2,700		50,860
Tsuruha Holdings, Inc. (a)		1,200		127,516
Welcia Holdings Co. Ltd. (a)		1,200		44,425
West Japan Railway Co. (a)		2,900		205,191
Yamada Denki Co. Ltd. (a)		46,500		231,200
Yamaguchi Financial Group, Inc. (a)		42,000		508,705
Yamazaki Baking Co. Ltd. (a)		17,800		354,877
Yokogawa Electric Corp. (a)		7,500		120,700
				35,631,422
Netherlands - 0.8%
Aalberts Industries NV (a)		673		26,780
ABN AMRO Group NV, CVA (a)(b)		1,267		33,565
ASM International NV (a)		5,011		291,409
ASML Holding NV (a)		609		79,385
Gemalto NV (a)		1,071		64,235
Koninklijke DSM NV (a)		6,390		464,761
Koninklijke Philips NV (a)		20,153		717,420
NN Group NV (a)		12,865		456,490
Philips Lighting NV (a)(b)		1,924		71,067
Randstad Holding NV (a)		7,444		433,994
Wolters Kluwer NV (a)		15,492		655,203
				3,294,309
Norway - 0.2%
Gjensidige Forsikring ASA (a)		1,510		25,775
Leroy Seafood Group ASA (a)		18,770		101,935
Marine Harvest ASA *(a)		29,682		507,836
Orkla ASA (a)		2,652		26,955
				662,501
Portugal - 0.0% (d)
EDP - Energias de Portugal SA (a)		15,123		49,470
Galp Energia SGPS SA (a)		4,863		73,693
				123,163
Spain - 0.8%
Aena SA (a)(b)		1,716		335,091
Almirall SA (a)		14,217		231,587
Amadeus IT Group SA (a)		1,593		95,223
Ebro Foods SA (a)		21,200		484,819
Endesa SA (a)		27,300		629,773
Gas Natural SDG SA (a)		3,104		72,660
Iberdrola SA (a)		41,978		332,651
Repsol SA (a)		63,538		974,106
Tecnicas Reunidas SA (a)		1,487		57,620
				3,213,530
Sweden - 0.7%
BillerudKorsnas AB		2,890		45,674
Boliden AB		22,357		611,127
Electrolux AB, Series B		9,716		318,600
Essity AB, Class B *		6,142		168,045
Husqvarna AB, Class B		19,966		198,466

INVESTMENTS	SHARES		VALUE
Sweden - 0.7% (continued)
ICA Gruppen AB		2,471	$	92,050
Modern Times Group MTG AB, Class B		1,696		58,378
NCC AB, Class B		3,558		100,221
Nordea Bank AB (a)		5,676		72,292
Saab AB, Class B		3,675		181,627
Sandvik AB		8,668		136,471
Securitas AB, Class B		20,100		339,016
Skanska AB, Class B		8,733		207,373
SKF AB, Class B		9,764		198,272
SSAB AB, Class A *		12,827		58,540
Svenska Cellulosa AB SCA, Class B		6,142		46,464
Swedbank AB, Class A		1,200		29,287
Swedish Match AB		1,496		52,705
Volvo AB, Class B		12,207		208,174
				3,122,782
Switzerland - 1.2%
ABB Ltd. (Registered) (a)		32,250		800,481
Adecco Group AG (Registered) (a)		5,703		434,467
Baloise Holding AG (Registered)		151		23,390
Barry Callebaut AG (Registered) *		81		111,498
DKSH Holding AG		414		33,659
Flughafen Zurich AG (Registered)		518		127,221
Geberit AG (Registered) (a)		587		274,106
Georg Fischer AG (Registered)		260		252,195
Helvetia Holding AG (Registered)		108		61,939
Lonza Group AG (Registered) *(a)		1,614		349,619
Nestle SA (Registered) (a)		1,348		117,569
Novartis AG (Registered) (a)		1,630		136,148
Partners Group Holding AG		177		109,901
Roche Holding AG (a)		462		118,048
SGS SA (Registered) (a)		69		167,303
Sika AG (a)		62		398,048
STMicroelectronics NV (a)		26,309		378,963
Straumann Holding AG (Registered)		172		97,949
Swiss Life Holding AG (Registered) *(a)		919		310,872
Swiss Re AG (a)		7,298		668,809
Temenos Group AG (Registered)		3,557		318,220
				5,290,405
United Kingdom - 0.3%
Dialog Semiconductor plc *(a)		623		26,618
Fiat Chrysler Automobiles NV *		99,052		1,046,442
Subsea 7 SA (a)		30,479		410,962
				1,484,022
TOTAL COMMON STOCKS (Cost $63,102,263)				77,096,085
SHORT-TERM INVESTMENTS - 92.5%
INVESTMENT COMPANIES - 63.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (e)		942,057		942,057
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (e)		3,768,226		3,768,226
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (e)(f)		130,381,497		130,381,497
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (e)		31,752,997		31,752,997

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

AQR Funds Semi-Annual Report June 2017

219

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
INVESTMENT COMPANIES - 63.1% (continued)
Limited Purpose Cash Investment Fund, 0.81% (e)		94,941,211		$	94,931,717
UBS Select Treasury Preferred Fund, Class I, 0.85% (e)		4,710,282			4,710,282
TOTAL INVESTMENT COMPANIES (Cost $266,495,113)					266,486,776
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 29.4%
U.S. Treasury Bills 0.61%, 7/20/2017 (f)(g)	$	28,441,000			28,430,505
0.65%, 8/17/2017 (f)(g)		16,995,000			16,975,796
0.67%, 8/24/2017 (g)		1,129,000			1,127,503
0.67%, 8/31/2017 (g)		3,622,000			3,616,524
0.89%, 9/21/2017 (f)(g)		1,706,000			1,702,310
0.91%, 10/5/2017 (f)(g)		8,477,000			8,454,536
0.95%, 10/19/2017 (f)(g)		14,124,000			14,080,329
0.98%, 11/2/2017 (f)(g)		4,411,000			4,395,411
1.02%, 11/9/2017 (f)(g)		19,024,000			18,952,394
1.03%, 11/16/2017 (f)(g)		18,749,000			18,674,454
1.06%, 11/24/2017 (g)		2,460,000			2,449,572
1.11%, 12/14/2017 (f)(g)		3,120,000			3,104,827
1.13%, 12/21/2017 (g)		1,026,000			1,020,764
1.12%, 12/28/2017 (f)(g)		1,070,000			1,064,068
TOTAL U.S. TREASURY OBLIGATIONS (Cost $124,064,400)					124,048,993
TOTAL SHORT-TERM INVESTMENTS (Cost $390,559,513)					390,535,769
TOTAL LONG POSITIONS (Cost $453,661,776)					467,631,854
	SHARES
SHORT POSITIONS - (14.7)%
COMMON STOCKS - (14.7)%
Austria - (0.1)%
ams AG *		(5,782	)		(375,205	)
Belgium - (0.3)%
Anheuser-Busch InBev SA/NV		(6,368	)		(703,336	)
Telenet Group Holding NV *		(6,183	)		(389,498	)
					(1,092,834	)
Denmark - (0.3)%
Chr Hansen Holding A/S		(2,148	)		(156,217	)
Coloplast A/S, Class B		(5,521	)		(461,475	)
Novo Nordisk A/S, Class B		(6,064	)		(260,554	)
Novozymes A/S, Class B		(7,348	)		(321,468	)
Pandora A/S		(541	)		(50,489	)
Tryg A/S		(5,747	)		(125,681	)
					(1,375,884	)
Finland - (0.5)%
Fortum OYJ		(23,111	)		(362,695	)
Nokia OYJ		(316,324	)		(1,939,613	)
					(2,302,308	)

INVESTMENTS	SHARES			VALUE
Germany - (1.8)%
Bayerische Motoren Werke AG		(1,552	)	$	(144,347	)
Beiersdorf AG		(1,912	)		(201,107	)
Bilfinger SE		(2,744	)		(107,705	)
Commerzbank AG *		(132,011	)		(1,576,335	)
Daimler AG (Registered)		(3,715	)		(269,444	)
Deutsche Bank AG (Registered)		(70,855	)		(1,259,787	)
E.ON SE		(65,775	)		(620,914	)
GEA Group AG		(3,965	)		(162,807	)
HUGO BOSS AG		(4,538	)		(318,125	)
Merck KGaA		(732	)		(88,571	)
ProSiebenSat.1 Media SE		(4,640	)		(194,646	)
RWE AG *		(46,046	)		(919,806	)
Schaeffler AG (Preference)		(2,016	)		(28,923	)
Symrise AG		(770	)		(54,632	)
Telefonica Deutschland Holding AG		(55,484	)		(277,475	)
thyssenkrupp AG		(13,093	)		(373,150	)
United Internet AG (Registered)		(6,373	)		(350,732	)
Volkswagen AG (Preference)		(2,637	)		(402,817	)
Zalando SE *(b)		(1,742	)		(79,656	)
					(7,430,979	)
Italy - (1.1)%
Azimut Holding SpA		(2,178	)		(43,817	)
Banco BPM SpA *		(361,540	)		(1,214,235	)
BPER Banca		(13,352	)		(66,876	)
Luxottica Group SpA		(4,385	)		(255,242	)
Mediaset SpA *		(53,433	)		(210,511	)
Saipem SpA *		(70,634	)		(261,571	)
UniCredit SpA *		(99,628	)		(1,866,158	)
Unipol Gruppo Finanziario SpA		(43,224	)		(189,650	)
Yoox Net-A-Porter Group SpA *		(12,142	)		(336,447	)
					(4,444,507	)
Japan - (7.9)%
Acom Co. Ltd. *		(72,900	)		(333,683	)
Aeon Co. Ltd.		(33,000	)		(501,917	)
AEON Financial Service Co. Ltd.		(13,100	)		(278,010	)
Alps Electric Co. Ltd.		(35,300	)		(1,025,406	)
Asics Corp.		(30,100	)		(559,397	)
Bank of Kyoto Ltd. (The)		(60,000	)		(568,564	)
Benesse Holdings, Inc.		(9,200	)		(347,798	)
Calbee, Inc.		(18,800	)		(739,460	)
Casio Computer Co. Ltd.		(18,300	)		(282,043	)
Chiba Bank Ltd. (The)		(54,000	)		(392,981	)
Chiyoda Corp.		(9,000	)		(53,162	)
Chugai Pharmaceutical Co. Ltd.		(11,000	)		(412,125	)
Chugoku Electric Power Co., Inc. (The)		(36,300	)		(400,802	)
Concordia Financial Group Ltd.		(11,100	)		(56,259	)
Credit Saison Co. Ltd.		(2,200	)		(43,078	)
Daicel Corp.		(3,300	)		(41,246	)
Daiwa Securities Group, Inc.		(42,000	)		(250,098	)
Denso Corp.		(9,800	)		(415,894	)
Dentsu, Inc.		(1,000	)		(47,973	)
Don Quijote Holdings Co. Ltd.		(4,500	)		(170,977	)
Eisai Co. Ltd.		(6,900	)		(381,760	)
Electric Power Development Co. Ltd.		(22,600	)		(559,762	)
FANUC Corp.		(1,700	)		(329,028	)
Fast Retailing Co. Ltd.		(1,300	)		(434,752	)
Hachijuni Bank Ltd. (The)		(42,500	)		(270,792	)

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

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220

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Japan - (7.9)% (continued)
Hamamatsu Photonics KK		(8,600	)	$	(265,028	)
Hirose Electric Co. Ltd.		(300	)		(42,931	)
Hitachi Construction Machinery Co. Ltd.		(4,500	)		(113,203	)
Hokuriku Electric Power Co.		(18,900	)		(170,615	)
Honda Motor Co. Ltd.		(4,800	)		(131,511	)
Hoya Corp.		(800	)		(41,649	)
Ibiden Co. Ltd.		(21,000	)		(363,187	)
IHI Corp. *		(119,000	)		(406,669	)
Isetan Mitsukoshi Holdings Ltd.		(8,000	)		(80,482	)
Iyo Bank Ltd. (The)		(66,300	)		(550,730	)
Japan Airport Terminal Co. Ltd.		(700	)		(26,873	)
JFE Holdings, Inc.		(9,000	)		(156,704	)
JGC Corp.		(12,300	)		(200,359	)
Kakaku.com, Inc.		(28,800	)		(413,998	)
Kansai Paint Co. Ltd.		(13,100	)		(302,429	)
Kawasaki Heavy Industries Ltd.		(109,000	)		(324,452	)
Keikyu Corp.		(38,000	)		(458,293	)
Keio Corp.		(14,000	)		(117,352	)
Keisei Electric Railway Co. Ltd.		(4,000	)		(107,054	)
Kikkoman Corp.		(19,000	)		(607,776	)
Kintetsu Group Holdings Co. Ltd.		(29,000	)		(111,884	)
Kobe Steel Ltd. *		(86,700	)		(893,984	)
Koito Manufacturing Co. Ltd.		(3,000	)		(155,132	)
Kubota Corp.		(2,500	)		(42,257	)
Kyowa Hakko Kirin Co. Ltd.		(3,800	)		(70,676	)
Kyushu Electric Power Co., Inc.		(28,000	)		(340,304	)
Kyushu Financial Group, Inc.		(4,200	)		(26,613	)
Kyushu Railway Co.		(3,800	)		(123,250	)
LIXIL Group Corp.		(9,200	)		(230,599	)
Mabuchi Motor Co. Ltd.		(4,600	)		(229,921	)
Marui Group Co. Ltd.		(7,700	)		(113,774	)
Mazda Motor Corp.		(10,100	)		(141,894	)
MINEBEA MITSUMI, Inc.		(8,200	)		(132,610	)
Mitsubishi Heavy Industries Ltd.		(68,000	)		(279,967	)
Mitsubishi Logistics Corp.		(14,000	)		(186,808	)
Mitsubishi Materials Corp.		(6,500	)		(197,252	)
Mitsubishi Motors Corp.		(154,500	)		(1,021,733	)
Mitsui OSK Lines Ltd.		(54,000	)		(159,457	)
Murata Manufacturing Co. Ltd.		(2,800	)		(427,465	)
Nabtesco Corp.		(1,800	)		(52,495	)
NGK Insulators Ltd.		(5,200	)		(104,250	)
NGK Spark Plug Co. Ltd.		(39,800	)		(852,536	)
Nippon Electric Glass Co. Ltd.		(800	)		(29,182	)
Nippon Paint Holdings Co. Ltd.		(12,100	)		(460,341	)
Nippon Steel & Sumitomo Metal Corp.		(3,200	)		(72,514	)
Nippon Yusen KK *		(275,000	)		(514,109	)
Nissan Chemical Industries Ltd.		(1,100	)		(36,451	)
NOK Corp.		(4,200	)		(89,165	)
Nomura Holdings, Inc.		(15,900	)		(95,884	)
NTN Corp.		(37,000	)		(172,175	)
Odakyu Electric Railway Co. Ltd.		(13,400	)		(270,824	)
Oji Holdings Corp.		(9,000	)		(46,597	)
Olympus Corp.		(12,100	)		(443,325	)
Omron Corp.		(2,300	)		(100,118	)
Ono Pharmaceutical Co. Ltd.		(18,300	)		(399,148	)
Orient Corp.		(25,600	)		(44,718	)
Oriental Land Co. Ltd.		(8,300	)		(562,533	)
Panasonic Corp.		(6,100	)		(83,114	)
Pigeon Corp.		(15,600	)		(567,143	)

INVESTMENTS	SHARES			VALUE
Japan - (7.9)% (continued)
Rakuten, Inc.		(30,000	)	$	(354,027	)
Ricoh Co. Ltd.		(47,300	)		(419,013	)
Rinnai Corp.		(600	)		(56,056	)
Rohm Co. Ltd.		(1,200	)		(92,522	)
Ryohin Keikaku Co. Ltd.		(200	)		(50,056	)
Santen Pharmaceutical Co. Ltd.		(5,600	)		(76,066	)
Seibu Holdings, Inc.		(15,800	)		(292,750	)
Seven Bank Ltd.		(145,300	)		(520,967	)
Shikoku Electric Power Co., Inc.		(37,500	)		(442,657	)
Shimano, Inc.		(2,300	)		(365,191	)
Shizuoka Bank Ltd. (The)		(47,000	)		(426,259	)
SMC Corp.		(600	)		(183,415	)
Sony Corp.		(16,200	)		(617,929	)
Sony Financial Holdings, Inc.		(61,500	)		(1,051,772	)
Stanley Electric Co. Ltd.		(9,200	)		(278,805	)
Sumitomo Metal Mining Co. Ltd.		(23,000	)		(307,420	)
Sysmex Corp.		(1,900	)		(113,722	)
T&D Holdings, Inc.		(28,200	)		(431,238	)
Taiyo Nippon Sanso Corp.		(41,500	)		(468,089	)
Takeda Pharmaceutical Co. Ltd.		(400	)		(20,308	)
Tobu Railway Co. Ltd.		(26,000	)		(142,050	)
Tokyo Electric Power Co. Holdings, Inc. *		(54,400	)		(224,582	)
Toyota Industries Corp.		(4,300	)		(227,428	)
Toyota Motor Corp.		(2,900	)		(152,434	)
Trend Micro, Inc.		(1,800	)		(93,029	)
Unicharm Corp.		(900	)		(22,658	)
USS Co. Ltd.		(4,700	)		(93,676	)
Yahoo Japan Corp.		(21,200	)		(92,161	)
Yakult Honsha Co. Ltd.		(10,800	)		(736,161	)
Yamaha Motor Co. Ltd.		(22,200	)		(576,076	)
Yamato Holdings Co. Ltd.		(5,100	)		(103,609	)
Yaskawa Electric Corp.		(28,900	)		(615,340	)
Yokohama Rubber Co. Ltd. (The)		(3,500	)		(70,557	)
					(33,378,487	)
Luxembourg - (0.3)%
APERAM SA		(1,526	)		(70,861	)
ArcelorMittal *		(9,993	)		(226,672	)
Millicom International Cellular SA, SDR		(5,377	)		(318,039	)
Tenaris SA		(26,965	)		(421,025	)
					(1,036,597	)
Netherlands - (0.6)%
Aegon NV		(57,808	)		(295,856	)
Altice NV, Class A *		(55,786	)		(1,285,275	)
Koninklijke KPN NV		(165,062	)		(528,292	)
Koninklijke Vopak NV		(2,966	)		(137,441	)
OCI NV *		(6,253	)		(137,684	)
SBM Offshore NV		(5,390	)		(86,341	)
					(2,470,889	)
Norway - (0.2)%
Norsk Hydro ASA		(26,656	)		(147,515	)
Schibsted ASA, Class A		(13,907	)		(335,894	)
Statoil ASA		(11,211	)		(185,902	)
Telenor ASA		(13,920	)		(230,936	)
					(900,247	)

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

AQR Funds Semi-Annual Report June 2017

221

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Portugal - 0.0% (d)
Banco Comercial Portugues SA, Class R *		(463,869	)	$	(124,826	)
Spain - (0.7)%
Abertis Infraestructuras SA		(1,614	)		(29,918	)
Atresmedia Corp. de Medios de Comunicacion SA		(7,831	)		(91,700	)
Banco de Sabadell SA		(65,551	)		(133,367	)
Bankia SA		(64,056	)		(309,824	)
Cellnex Telecom SA (b)		(44,329	)		(916,125	)
Enagas SA		(5,396	)		(151,435	)
Ferrovial SA		(12,697	)		(282,041	)
Industria de Diseno Textil SA		(7,979	)		(306,434	)
Melia Hotels International SA		(2,293	)		(34,343	)
Obrascon Huarte Lain SA		(6,504	)		(23,428	)
Red Electrica Corp. SA		(4,139	)		(86,590	)
Telefonica SA		(44,803	)		(463,783	)
					(2,828,988	)
Sweden - (0.4)%
Alfa Laval AB		(3,191	)		(65,312	)
Getinge AB, Class B		(5,032	)		(98,558	)
Hennes & Mauritz AB, Class B		(21,002	)		(523,622	)
Hexagon AB, Class B		(549	)		(26,083	)
Swedish Orphan Biovitrum AB *		(1,565	)		(24,174	)
Telefonaktiebolaget LM Ericsson, Class B		(157,234	)		(1,130,533	)
					(1,868,282	)
Switzerland - (0.5)%
Aryzta AG *		(2,249	)		(74,173	)
Chocoladefabriken Lindt & Spruengli AG		(31	)		(179,719	)
Cie Financiere Richemont SA (Registered)		(584	)		(48,325	)
Credit Suisse Group AG (Registered) *		(90,028	)		(1,309,997	)
OC Oerlikon Corp. AG (Registered) *		(16,524	)		(217,466	)
Sunrise Communications Group AG *(b)		(1,796	)		(141,610	)
UBS Group AG (Registered) *		(8,252	)		(140,333	)
Vifor Pharma AG		(817	)		(90,244	)
					(2,201,867	)
United Kingdom - 0.0% (d)
CNH Industrial NV		(8,208	)		(93,085	)
United States - 0.0% (d)
QIAGEN NV *		(5,471	)		(182,041	)
TOTAL COMMON STOCKS (Proceeds $(56,333,041))					(62,107,026	)
TOTAL SHORT POSITIONS (Proceeds $(56,333,041))					(62,107,026	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.0% (Cost $397,328,735)					405,524,828
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.0% (h)				16,841,703
NET ASSETS - 100.0%				$	422,366,531

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(5,905,315	)		(1.4	)%
Consumer Staples		3,435,593			0.8
Energy		2,422,044			0.6
Financials		(5,175,285	)		(1.2	)
Health Care		3,799,693			0.9
Industrials		12,009,903			2.7
Information Technology		692,955			0.2
Materials		4,265,761			1.0
Telecommunication Services		(1,473,275	)		(0.3	)
Utilities		916,985			0.2
Short-Term Investment		390,535,769			92.5
Total Investments In Securities At Value		405,524,828			96.0
Other Assets in Excess of Liabilities (h)		16,841,703			4.0
Net Assets	$	422,366,531			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 $68,547,902.

(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 6/30/2017 amounted to $809,774, which represents approximately 0.00% of net assets of the fund.

(c) Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 6/30/2017 amounted to $17,805, which represents approximately 0.00% of net assets of the fund.

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

(e) Represents 7-day effective yield as of 6/30/2017.

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

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

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

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

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

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

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

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222

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
GSIN	BIST 30 August Futures	08/2017		TRY		2,796,797			$5,515
BANA	Bovespa Index August Futures	08/2017		BRL		(14,792,136	)		(48,071	)
MSCS	Bovespa Index August Futures	08/2017		BRL		(4,073,401	)		(18,648	)
CITI	Corn September Futures^	08/2017		USD		(9,788,271	)		244,221
GSIN	Corn September Futures^	08/2017		USD		(1,132,627	)		27,727
MACQ	Corn September Futures^	08/2017		USD		(3,289,207	)		88,807
BANA	Hang Seng Index July Futures	07/2017		HKD		79,591,848			(35,652	)
GSIN	Hang Seng Index July Futures	07/2017		HKD		53,865,781			(17,578	)
MSCS	Hang Seng Index July Futures	07/2017		HKD		52,569,539			(15,401	)
MSCS	KOSPI Index 200 September Futures	09/2017		KRW		7,394,376,225			101,471
BANA	MSCI Taiwan Stock Index July Futures	07/2017		USD		702,831			(9,291	)
GSIN	MSCI Taiwan Stock Index July Futures	07/2017		USD		194,321			(1,671	)
GSIN	SGX S&P CNX Nifty Index July Futures	07/2017		USD		38,150			(76	)
GSIN	Soybean November Futures^	10/2017		USD		(1,834,930	)		(26,832	)
SOCG	Soybean November Futures^	10/2017		USD		(992,342	)		(10,146	)
BANA	Swiss Market Index September Futures	09/2017		CHF		(15,577,721	)		(57,202	)
BANA	Taiwan Stock Exchange July Futures	07/2017		TWD		42,094,365			31,810
MSCS	Taiwan Stock Exchange July Futures	07/2017		TWD		2,002,735			1,572
BANA	Tel Aviv 25 Index July Futures	07/2017		ILS		(288,706	)		565
GSIN	WIG20 Index September Futures	09/2017		PLN		1,343,738			(4,700	)
									$256,420

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
72	GSCO	Brent Crude Futures^		07/2017		$3,430,888		$3,511,440		$80,552
6	JPPC	LME Copper Futures^		07/2017		854,512		889,424		34,912
40	JPPC	LME Copper Futures^		08/2017		5,522,083		5,930,310		408,227
94	JPPC	LME Copper Futures^		09/2017		13,323,563		13,959,588		636,025
106	MSCL	Silver Futures^		09/2017		8,746,620		8,812,310		65,690
53	MSCL	WTI Crude Futures^		07/2017		2,457,868		2,440,120		(17,748	)
311	JPMS	BIST 30 Futures		08/2017		1,108,828		1,111,298		2,470
84	BARC	CAC40 Index Futures		07/2017		5,063,621		4,908,801		(154,820	)
82	BARC	DAX Index Futures		09/2017		29,952,147		28,846,140		(1,106,007	)
17	BARC	FTSE 100 Index Futures		09/2017		1,651,742		1,603,609		(48,133	)
20	JPMS	FTSE Bursa Malaysia KLCI Index Futures		07/2017		415,921		411,750		(4,171	)
3	BARC	Hang Seng Index Futures		07/2017		492,736		491,550		(1,186	)
4	BARC	H-SHARES Index Futures		07/2017		263,541		261,161		(2,380	)
5	BARC	IBEX 35 Index Futures		07/2017		617,427		594,255		(23,172	)
7	BARC	KOSPI Index 200 Futures		09/2017		470,900		478,587		7,687
19	JPMS	MSCI Singapore Index Futures		07/2017		493,951		494,683		732
9	BARC	MSCI Taiwan Stock Index Futures		07/2017		350,888		346,770		(4,118	)
17	JPMS	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		2,366,569		2,331,338		(35,231	)

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

AQR Funds Semi-Annual Report June 2017

223

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
180	BARC	TOPIX Index Futures		09/2017		$ 25,627,436			$ 25,789,731			$ 162,295
15	JPMS	3-Month Euro Euribor Futures		12/2017		4,293,979			4,295,270			1,291
15	JPMS	3-Month Euro Euribor Futures		03/2018		4,292,191			4,293,770			1,579
15	JPMS	3-Month Euro Euribor Futures		06/2018		4,292,832			4,291,843			(989	)
134	JPMS	90-Day Sterling Futures		12/2017		21,718,621			21,706,959			(11,662	)
134	JPMS	90-Day Sterling Futures		03/2018		21,712,185			21,689,506			(22,679	)
134	JPMS	90-Day Sterling Futures		06/2018		21,712,805			21,672,050			(40,755	)
72	JPMS	ASX 90 Day Bank Accepted Bills Futures		06/2018		55,097,350			55,077,090			(20,260	)
42	JPMS	ASX 90 Day Bank Accepted Bills Futures		09/2017		32,138,517			32,143,290			4,773
113	JPMS	ASX 90 Day Bank Accepted Bills Futures		12/2017		86,451,457			86,474,387			22,930
113	JPMS	ASX 90 Day Bank Accepted Bills Futures		03/2018		86,443,939			86,459,528			15,589
419	JPMS	Australia 3-Year Bond Futures		09/2017		36,163,514			35,957,081			(206,433	)
15	JPMS	Canadian 3-Month Bank Acceptance Futures		06/2018		2,852,786			2,848,358			(4,428	)
15	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2017		2,859,256			2,852,840			(6,416	)
15	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2018		2,857,638			2,850,382			(7,256	)
66	GSCO	Euro-Bobl Futures		09/2017		10,022,419			9,927,796			(94,623	)
61	GSCO	Euro-SCHATZ Futures		09/2017		7,793,477			7,792,718			(759	)
204	GSCO	Long Gilt Futures		09/2017		33,772,127			33,363,922			(408,205	)
266	MSCL	U.S. Treasury 10-Year Note Futures		09/2017		33,489,610			33,391,312			(98,298	)
27	MSCL	U.S. Treasury 5-Year Note Futures		09/2017		3,186,529			3,181,571			(4,958	)
						574,362,473			573,482,538			(879,935	)
Short Contracts:
64	MSCL	Corn Futures^		09/2017		$(1,250,266	)		$(1,219,200	)		$31,066
49	MSCL	Gold 100 OZ Futures^		08/2017		(6,112,306	)		(6,087,270	)		25,036
6	JPPC	LME Copper Futures^		07/2017		(855,323	)		(889,425	)		(34,102	)
40	JPPC	LME Copper Futures^		08/2017		(5,510,382	)		(5,930,310	)		(419,928	)
185	MSCL	Natural Gas Futures^		07/2017		(5,604,421	)		(5,614,750	)		(10,329	)
92	MSCL	Soybean Futures^		11/2017		(4,318,716	)		(4,391,850	)		(73,134	)
91	BARC	Amsterdam Index Futures		07/2017		(10,870,486	)		(10,528,682	)		341,804
65	BARC	Euro Stoxx 50 Index Futures		09/2017		(2,632,336	)		(2,547,166	)		85,170
72	BARC	FTSE/JSE Top 40 Index Futures		09/2017		(2,524,178	)		(2,514,125	)		10,053
77	BARC	FTSE/MIB Index Futures		09/2017		(9,244,517	)		(9,013,979	)		230,538
603	BARC	OMXS30 Index Futures		07/2017		(11,790,379	)		(11,471,724	)		318,655
244	JPMS	S&P 500 E-Mini Futures		09/2017		(29,617,512	)		(29,534,980	)		82,532
71	JPMS	SET50 Index Futures		09/2017		(415,937	)		(414,755	)		1,182
114	JPMS	SPI 200 Index Futures		09/2017		(12,533,362	)		(12,374,190	)		159,172
56	GSCO	10-Year Japanese Government Bond Futures		09/2017		(74,934,146	)		(74,738,030	)		196,116
195	JPMS	90-Day EURODollar Futures		12/2017		(47,998,023	)		(48,030,938	)		(32,915	)
195	JPMS	90-Day EURODollar Futures		03/2018		(47,922,874	)		(47,989,500	)		(66,626	)
195	JPMS	90-Day EURODollar Futures		06/2018		(47,986,123	)		(47,952,937	)		33,186
271	JPMS	Australia 10-Year Bond Futures		09/2017		(27,317,216	)		(26,923,589	)		393,627
76	GSCO	Euro-Bund Futures		09/2017		(14,227,413	)		(14,050,866	)		176,547
57	GSCO	Euro-Buxl 30-Year Bond Futures		09/2017		(10,847,274	)		(10,645,569	)		201,705
43	MSCL	U.S. Treasury 2-Year Note Futures		09/2017		(9,306,127	)		(9,292,704	)		13,423

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
115	MSCL	U.S. Treasury Long Bond Futures		09/2017		$ (17,521,425	)		$ (17,674,062	)		$ (152,637	)
						(401,340,742	)		(399,830,601	)		1,510,141
						$173,021,731			$173,651,937			$630,206

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

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		21,163,600		$15,829,437		$16,250,259		$420,822
Australian Dollar, Expiring 09/20/17	JPMC	AUD		31,745,400		23,744,185		24,375,385		631,200
Brazilian Real, Expiring 09/20/17*	CITI	BRL		6,360,000		1,903,743		1,889,398		(14,345	)
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		9,540,000		2,855,618		2,834,097		(21,521	)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		12,637,600		9,408,210		9,757,379		349,169
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		18,956,400		14,112,333		14,636,068		523,735
Swiss Franc, Expiring 09/20/17	CITI	CHF		862,800		893,929		904,310		10,381
Swiss Franc, Expiring 09/20/17	JPMC	CHF		1,294,200		1,340,898		1,356,466		15,568
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		2,684,600		391,753		393,657		1,904
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		3,821,400		557,514		560,353		2,839
Euro, Expiring 09/20/17	CITI	EUR		8,746,400		9,871,245		10,031,029		159,784
Euro, Expiring 09/20/17	JPMC	EUR		13,119,600		14,806,885		15,046,542		239,657
British Pound, Expiring 09/20/17	CITI	GBP		2,953,600		3,751,403		3,856,223		104,820
British Pound, Expiring 09/20/17	JPMC	GBP		4,430,400		5,627,111		5,784,335		157,224
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		8,820,200		1,134,969		1,132,154		(2,815	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		12,733,800		1,638,647		1,634,500		(4,147	)
Hungarian Forint, Expiring 09/20/17	CITI	HUF		56,000,000		206,404		207,775		1,371
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		84,000,000		309,602		311,665		2,063
Indian Rupee, Expiring 09/20/17*	CITI	INR		47,720,000		732,251		731,970		(281	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		71,580,000		$ 1,098,376		$ 1,097,955		$ (421	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		805,336,800		7,311,376		7,184,678		(126,698	)
Japanese Yen, Expiring 09/20/17	JPMC	JPY		1,208,005,200		10,967,077		10,777,017		(190,060	)
Korean Won, Expiring 09/20/17*	CITI	KRW		181,616,000		160,198		158,767		(1,431	)
Korean Won, Expiring 09/20/17*	JPMC	KRW		272,424,000		240,298		238,150		(2,148	)
Mexican Peso, Expiring 09/20/17	CITI	MXN		83,844,000		4,493,064		4,563,058		69,994
Mexican Peso, Expiring 09/20/17	JPMC	MXN		125,766,000		6,739,611		6,844,591		104,980
Norwegian Krone, Expiring 09/20/17	CITI	NOK		4,864,800		583,489		583,595		106
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		7,297,200		875,234		875,392		158
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		2,620,400		1,878,298		1,917,464		39,166
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		3,930,600		2,817,450		2,876,196		58,746
Poland Zloty, Expiring 09/20/17	CITI	PLN		3,840,000		1,027,949		1,035,894		7,945
Poland Zloty, Expiring 09/20/17	JPMC	PLN		5,760,000		1,541,919		1,553,843		11,924
Swedish Krona, Expiring 09/20/17	CITI	SEK		1,600		186		191		5
Swedish Krona, Expiring 09/20/17	JPMC	SEK		2,400		279		286		7
Turkish Lira, Expiring 09/20/17	CITI	TRY		11,272,000		3,088,311		3,132,965		44,654
Turkish Lira, Expiring 09/20/17	JPMC	TRY		16,608,000		4,549,502		4,616,065		66,563
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		4,800,000		160,375		157,898		(2,477	)
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		7,200,000		240,563		236,847		(3,716	)
South African Rand, Expiring 09/20/17	CITI	ZAR		28,800,000		2,183,728		2,172,544		(11,184	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		43,200,000		3,275,588		3,258,816		(16,772	)
						162,349,008		164,975,777		2,626,769

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		(3,520,000	)		$(1,047,072	)		$(1,045,704	)		$1,368
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		(5,280,000	)		(1,570,607	)		(1,568,558	)		2,049
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(1,226,000	)		(912,521	)		(946,584	)		(34,063	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(1,839,000	)		(1,368,780	)		(1,419,876	)		(51,096	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 09/20/17	CITI	CHF		(22,725,600	)		$ (23,598,278	)		$ (23,818,965	)		$ (220,687	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(34,088,400	)		(35,397,371	)		(35,728,448	)		(331,077	)
Chinese Renminbi, Expiring 09/20/17*	CITI	CNY		(3,503,800	)		(505,500	)		(513,781	)		(8,281	)
Chinese Renminbi, Expiring 09/20/17*	JPMC	CNY		(4,819,200	)		(694,440	)		(706,665	)		(12,225	)
Danish Krone, Expiring 09/20/17	CITI	DKK		(3,321,200	)		(500,572	)		(512,393	)		(11,821	)
Danish Krone, Expiring 09/20/17	JPMC	DKK		(4,981,800	)		(750,855	)		(768,589	)		(17,734	)
Euro, Expiring 09/20/17	CITI	EUR		(1,762,400	)		(1,977,426	)		(2,021,253	)		(43,827	)
Euro, Expiring 09/20/17	JPMC	EUR		(1,215,600	)		(1,368,084	)		(1,394,141	)		(26,057	)
British Pound, Expiring 09/20/17	CITI	GBP		(5,909,200	)		(7,675,908	)		(7,715,058	)		(39,150	)
British Pound, Expiring 09/20/17	JPMC	GBP		(8,863,800	)		(11,513,846	)		(11,572,587	)		(58,741	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(8,065,000	)		(1,037,450	)		(1,035,217	)		2,233
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(11,853,000	)		(1,524,788	)		(1,521,440	)		3,348
Hungarian Forint, Expiring 09/20/17	CITI	HUF		(44,000,000	)		(161,286	)		(163,252	)		(1,966	)
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		(66,000,000	)		(241,928	)		(244,879	)		(2,951	)
Israeli Shekel, Expiring 09/20/17	CITI	ILS		(7,636,000	)		(2,152,577	)		(2,195,824	)		(43,247	)
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		(11,454,000	)		(3,228,861	)		(3,293,736	)		(64,875	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		(824,671,600	)		(7,430,884	)		(7,357,171	)		73,713
Japanese Yen, Expiring 09/20/17	JPMC	JPY		(1,237,007,400	)		(11,146,316	)		(11,035,755	)		110,561
Korean Won, Expiring 09/20/17*	CITI	KRW		(6,796,424,000	)		(6,063,413	)		(5,941,360	)		122,053
Korean Won, Expiring 09/20/17*	JPMC	KRW		(10,194,636,000	)		(9,095,108	)		(8,912,037	)		183,071
Norwegian Krone, Expiring 09/20/17	CITI	NOK		(33,477,600	)		(3,975,284	)		(4,016,066	)		(40,782	)
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		(50,216,400	)		(5,962,920	)		(6,024,098	)		(61,178	)
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		(582,000	)		(406,933	)		(425,875	)		(18,942	)
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		(873,000	)		(610,399	)		(638,813	)		(28,414	)
Swedish Krona, Expiring 09/20/17	CITI	SEK		(53,794,000	)		(6,218,224	)		(6,413,772	)		(195,548	)
Swedish Krona, Expiring 09/20/17	JPMC	SEK		(80,691,000	)		(9,327,267	)		(9,620,654	)		(293,387	)
Singapore Dollar, Expiring 09/20/17	CITI	SGD		(7,068,400	)		(5,112,512	)		(5,140,429	)		(27,917	)
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		(10,602,600	)		(7,668,760	)		(7,710,644	)		(41,884	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		(21,600,000	)		$ (719,875	)		$ (710,543	)		$ 9,332
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		(32,400,000	)		(1,079,812	)		(1,065,811	)		14,001
South African Rand, Expiring 09/20/17	CITI	ZAR		(3,800,000	)		(290,966	)		(286,654	)		4,312
South African Rand, Expiring 09/20/17	JPMC	ZAR		(4,200,000	)		(319,232	)		(316,830	)		2,402
							(172,656,055	)		(173,803,462	)		(1,147,407	)
							$(10,307,047)			$(8,827,685)			$1,479,362

* Non-deliverable forward.    

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total Return Basket Swaps* Outstanding at June 30, 2017

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or SONIA plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps.	1-57 months maturity 07/05/2017		$427,734

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

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
BHP Billiton plc		14,935	$	229,447	$	(632	)
Germany
TUI AG		4,926		73,142		(1,332	)
Ireland
Paddy Power Betfair plc		128		14,566		(919	)
Isle of Man
Paysafe Group plc		28,503		169,470		20,229
South Africa
Investec plc		21,731		169,052		(6,678	)
Mondi plc		10,783		272,128		10,622
						3,944
Switzerland
Coca-Cola HBC AG		10,970		287,506		35,111
IWG plc		7,086		27,432		2,441
						37,552
United Kingdom
Aggreko plc		2,118		25,308		65
Amec Foster Wheeler plc		4,790		31,145		(1,967	)
Anglo American plc		9,327		124,429		177
Ashtead Group plc		40,208		865,496		(33,487	)
Babcock International Group plc		12,808		153,965		(7,089	)
Barratt Developments plc		115,595		819,067		29,894
Bellway plc		17,158		630,865		34,951
Berkeley Group Holdings plc		11,573		474,652		11,988
Britvic plc		3,873		32,585		2,323

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Bunzl plc		836	$	25,326	$	(403	)
Close Brothers Group plc		13,559		278,853		(12,151	)
Compass Group plc		9,495		194,787		5,630
Daily Mail & General Trust plc		4,266		40,618		(3,546	)
DCC plc		3,834		356,209		(7,051	)
Dixons Carphone plc		27,441		107,854		(6,413	)
DS Smith plc		14,847		86,013		5,620
GKN plc		57,800		279,909		(34,399	)
Greene King plc		21,534		194,274		(5,285	)
Howden Joinery Group plc		19,833		109,838		(4,628	)
Inchcape plc		10,136		106,133		(6,497	)
Indivior plc		115,244		499,333		(30,068	)
Intermediate Capital Group plc		49,859		468,208		72,482
J Sainsbury plc		50,702		177,750		(11,444	)
Johnson Matthey plc		2,991		117,144		(5,201	)
Jupiter Fund Management plc		3,885		21,384		4,168
Kingfisher plc		35,231		158,013		(20,016	)
Micro Focus International plc		20,954		609,617		9,976
Persimmon plc		29,013		797,334		50,034
Playtech plc		22,452		267,300		10,821
Provident Financial plc		1,070		40,800		(6,863	)
Reckitt Benckiser Group plc		2,129		205,187		10,637
Rentokil Initial plc		62,343		201,371		20,481
Rightmove plc		763		39,453		2,766
Royal Mail plc		86,801		468,098		8,064
Sage Group plc (The)		10,043		83,780		6,215
Sky plc		24,743		318,622		1,828
Taylor Wimpey plc		307,321		778,537		(72,790	)
Weir Group plc (The)		6,413		150,084		(5,344	)
WH Smith plc		4,196		95,699		(2,038	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
William Hill plc		70,183		$	256,200		$	(23,602	)
Wm Morrison Supermarkets plc		228,839			710,040			8,707
WPP plc		16,038			352,613			(14,906	)
								(18,361	)
Total of Long Equity Positions								40,481
Short Positions
Common Stocks
Chile
Antofagasta plc		(56,661	)		(627,959	)		36,816
Jordan
Hikma Pharmaceuticals plc		(7,883	)		(212,478	)		61,507
Netherlands
Royal Dutch Shell plc		(13,357	)		(363,089	)		8,211
Switzerland
Glencore plc		(136,192	)		(560,888	)		50,545
United Kingdom
AA plc		(44,815	)		(148,810	)		15,647
Associated British Foods plc		(11,943	)		(408,561	)		(48,465	)
AstraZeneca plc		(6,275	)		(400,289	)		(20,033	)
Aviva plc		(74,149	)		(517,202	)		8,586
Balfour Beatty plc		(10,289	)		(35,625	)		(672	)
BP plc		(85,526	)		(513,707	)		20,036
BTG plc		(17,804	)		(135,407	)		(26,400	)
Burberry Group plc		(9,423	)		(218,835	)		14,934
Capita plc		(81,329	)		(617,407	)		(115,490	)
Centrica plc		(67,502	)		(181,674	)		5,680
Cobham plc		(140,981	)		(239,552	)		1,469
Croda International plc		(621	)		(29,332	)		(2,117	)
Diageo plc		(18,660	)		(563,566	)		12,130
easyJet plc		(11,341	)		(201,874	)		967
Experian plc		(16,503	)		(352,873	)		14,185
G4S plc		(23,708	)		(92,999	)		(7,830	)
Halma plc		(2,556	)		(32,797	)		(3,832	)
Hargreaves Lansdown plc		(17,155	)		(294,516	)		3,613
Hays plc		(16,358	)		(34,621	)		(747	)
IMI plc		(6,892	)		(114,441	)		7,097
Imperial Brands plc		(1,070	)		(53,005	)		4,922
Inmarsat plc		(41,617	)		(431,045	)		13,662
International Consolidated Airlines Group SA		(51,445	)		(392,412	)		(16,565	)
Intertek Group plc		(4,409	)		(224,594	)		(17,615	)
ITV plc		(65,786	)		(178,234	)		22,514
Just Eat plc		(47,045	)		(361,836	)		(39,730	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Man Group plc		(37,035	)	$	(71,185	)	$	(3,547	)
Merlin Entertainments plc		(4,808	)		(30,321	)		224
NEX Group plc		(8,056	)		(62,034	)		(3,522	)
Next plc		(1,832	)		(98,725	)		6,714
Old Mutual plc		(14,064	)		(38,513	)		3,031
Pearson plc		(24,941	)		(220,318	)		(4,249	)
Pennon Group plc		(25,319	)		(292,950	)		20,850
Petrofac Ltd.		(63,869	)		(552,574	)		185,329
Prudential plc		(10,552	)		(240,001	)		(2,208	)
Rio Tinto plc		(6,550	)		(293,256	)		15,851
Rolls-Royce Holdings plc (c)		(2,591,500	)		(30	)		(3,345	)
Rolls-Royce Holdings plc (LSE)		(22,233	)		(220,775	)		(37,097	)
Rotork plc		(26,217	)		(88,173	)		7,799
Royal Bank of Scotland Group plc		(180,016	)		(583,781	)		2,924
RSA Insurance Group plc		(36,804	)		(282,511	)		(12,724	)
Serco Group plc		(346,056	)		(526,729	)		8,863
Severn Trent plc		(2,744	)		(84,767	)		6,759
Smith & Nephew plc		(1,327	)		(21,475	)		(1,440	)
Spectris plc		(1,141	)		(37,521	)		9
Spirax-Sarco Engineering plc		(481	)		(30,237	)		(3,309	)
St James’s Place plc		(1,856	)		(25,945	)		(2,663	)
Standard Life plc		(23,144	)		(108,692	)		(11,657	)
Tesco plc		(267,365	)		(651,981	)		63,342
Thomas Cook Group plc		(39,721	)		(46,091	)		(446	)
UBM plc		(2,941	)		(29,015	)		2,585
United Utilities Group plc		(2,027	)		(26,300	)		3,388
Vodafone Group plc		(25,389	)		(69,878	)		(2,226	)
Worldpay Group plc		(29,258	)		(110,480	)		(9,490	)
								75,691
United States
Shire plc		(411	)		(25,705	)		3,043
Total of Short Equity Positions								235,813
Total of Long and Short Equity Positions								276,294
Net Cash and Other Receivables/ (Payables) (b)								151,440
Swaps, at Value							$	427,734

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

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

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

(c) Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	54-57 months maturity 11/22/2021		$534,125

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Thomson Reuters Corp.		3,084	$	134,031	$	8,728
Panama
Copa Holdings SA		3,083		350,588		10,123
United States
3M Co.		2,418		465,126		38,277
Aaron’s, Inc.		8,034		241,582		70,940
AbbVie, Inc.		1,806		118,636		12,317
Accenture plc		3,298		412,976		(5,079	)
ACI Worldwide, Inc.		1,237		28,179		(507	)
Activision Blizzard, Inc.		5,956		292,618		50,269
Adtalem Global Education, Inc.		4,990		177,896		11,474
AdvanSix, Inc.		2,628		71,904		10,195
Aetna, Inc.		13,437		1,770,997		269,143
Aflac, Inc.		20,643		1,497,237		106,311
AGCO Corp.		6,394		389,714		41,177
Air Lease Corp.		6,139		240,035		(10,682	)
Air Products & Chemicals, Inc.		770		107,438		2,718
Alaska Air Group, Inc.		11,530		1,076,441		(41,508	)
Alleghany Corp.		54		34,056		(1,937	)
Allstate Corp. (The)		19,371		1,604,887		108,284
Alphabet, Inc.		241		210,241		13,812
AMC Networks, Inc.		1,190		69,270		(5,712	)
Amdocs Ltd.		10,522		650,575		27,673
AMERCO		1,240		462,220		(8,305	)
Ameren Corp.		28,392		1,562,980		(10,789	)
American Electric Power Co., Inc.		12,220		812,263		36,660
American Financial Group, Inc.		6,385		612,106		22,372

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ameriprise Financial, Inc.		5,109	$	667,737	$	(17,412	)
Amgen, Inc.		4,200		706,738		16,628
AmTrust Financial Services, Inc.		1,711		30,079		(4,175	)
Analog Devices, Inc.		893		74,351		(4,876	)
Anthem, Inc.		12,957		2,175,497		262,104
AO Smith Corp.		11,074		577,731		46,068
Apple, Inc.		4,481		641,999		3,354
Applied Materials, Inc.		25,950		1,019,316		52,678
Aramark		1,097		41,148		3,807
Arch Capital Group Ltd.		2,493		238,331		(5,759	)
Archer-Daniels-Midland Co.		7,802		348,905		(26,059	)
Arrow Electronics, Inc.		14,134		1,060,860		47,528
Aspen Insurance Holdings Ltd.		8,480		462,160		(39,432	)
Associated Banc-Corp.		2,697		67,695		270
Assurant, Inc.		3,415		337,983		16,119
Assured Guaranty Ltd.		28,239		1,100,012		78,684
AT&T, Inc.		7,800		332,358		(38,064	)
Atmos Energy Corp.		4,546		363,362		13,729
Avery Dennison Corp.		7,414		596,011		59,164
Avnet, Inc.		13,067		585,157		(77,112	)
Axis Capital Holdings Ltd.		8,119		554,284		(29,310	)
Bank of America Corp.		5,127		127,457		(3,076	)
Bank of Hawaii Corp.		1,631		134,815		509
Bank of New York Mellon Corp. (The)		11,563		553,983		35,961
Baxter International, Inc.		14,382		742,543		128,144
BB&T Corp.		19,547		909,218		(21,589	)
Becton Dickinson and Co.		1,537		282,485		17,399
Bed Bath & Beyond, Inc.		8,045		308,501		(63,933	)
Bemis Co., Inc.		10,465		515,087		(31,081	)

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

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Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Best Buy Co., Inc.		18,409	$	842,028	$	213,360
Big Lots, Inc.		7,566		378,426		(12,988	)
Biogen, Inc.		3,880		1,067,953		(15,076	)
Bio-Rad Laboratories, Inc.		1,370		270,315		39,730
Bioverativ, Inc.		4,268		246,219		10,586
BlackRock, Inc.		769		294,412		30,422
Boeing Co. (The)		5,164		930,036		91,145
BOK Financial Corp.		4,848		387,455		20,407
Booz Allen Hamilton Holding Corp.		8,543		321,388		(43,398	)
Boston Beer Co., Inc. (The)		207		30,926		(3,571	)
Brinker International, Inc.		5,989		259,683		(31,502	)
Broadcom Ltd.		101		22,339		1,199
Broadridge Financial Solutions, Inc.		4,305		298,250		27,035
Bruker Corp.		2,706		63,023		15,018
Brunswick Corp.		3,955		241,136		6,961
Burlington Stores, Inc.		2,742		261,532		(9,295	)
CA, Inc.		22,293		722,962		45,478
Cabot Corp.		9,337		561,807		(62,931	)
Cadence Design Systems, Inc.		13,487		429,696		21,984
Capital One Financial Corp.		4,705		415,122		(26,395	)
Cardinal Health, Inc.		1,924		159,904		(9,986	)
Carlisle Cos., Inc.		1,153		125,008		(15,012	)
Carnival Corp.		1,007		58,043		7,986
Cars.com, Inc.		4,798		134,859		(7,089	)
Casey’s General Stores, Inc.		2,277		254,819		(10,930	)
CDK Global, Inc.		6,043		392,483		(17,455	)
CDW Corp.		6,472		385,825		18,870
Celanese Corp.		5,431		499,326		16,293
Celgene Corp.		1,607		202,112		6,589
Centene Corp.		5,742		382,277		76,394
Charles River Laboratories International, Inc.		4,849		436,410		54,066
Cheesecake Factory, Inc. (The)		10,717		650,398		(111,333	)
Chemours Co. (The)		4,435		174,336		(6,160	)
Chipotle Mexican Grill, Inc.		403		169,603		(1,914	)
Chubb Ltd.		5,185		716,049		37,747
Church & Dwight Co., Inc.		4,890		244,989		8,704
Cigna Corp.		769		115,598		13,125
Cinemark Holdings, Inc.		5,693		252,997		(31,824	)
Cintas Corp.		7,628		955,149		6,284
Cirrus Logic, Inc.		18,775		1,141,092		36,476
Cisco Systems, Inc.		25,166		861,432		(73,736	)
Citizens Financial Group, Inc.		694		25,414		(652	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Citrix Systems, Inc.		3,758	$	310,862	$	(11,800	)
CME Group, Inc.		3,932		489,888		2,556
CMS Energy Corp.		14,767		660,233		22,741
Comcast Corp.		18,136		679,375		26,479
Commerce Bancshares, Inc.		12,451		721,462		(13,871	)
Commercial Metals Co.		26,036		496,246		9,633
Conagra Brands, Inc.		1,904		78,864		(10,777	)
ConocoPhillips		713		32,577		(1,233	)
Consolidated Edison, Inc.		26,032		1,996,134		107,772
Constellation Brands, Inc.		3,292		532,481		105,278
Convergys Corp.		25,899		547,764		68,114
Cooper Cos., Inc. (The)		165		32,198		7,306
CoreLogic, Inc.		3,195		127,800		10,799
Corning, Inc.		32,105		874,540		90,215
Costco Wholesale Corp.		2,307		370,419		(1,461	)
Cracker Barrel Old Country Store, Inc.		3,961		641,703		20,774
Crane Co.		5,345		400,488		23,798
Credit Acceptance Corp.		109		23,930		4,098
Cullen/Frost Bankers, Inc.		1,207		104,110		9,239
Cummins, Inc.		5,799		896,003		44,710
Curtiss-Wright Corp.		2,582		247,278		(10,302	)
Danaher Corp.		4,603		398,942		(10,495	)
Darden Restaurants, Inc.		9,851		782,934		107,990
Dean Foods Co.		14,090		272,078		(32,548	)
Deere & Co.		217		24,611		2,208
Delta Air Lines, Inc.		6,466		300,734		46,749
Deluxe Corp.		10,231		759,574		(51,384	)
Devon Energy Corp.		18,235		642,532		(59,559	)
Dillard’s, Inc.		515		26,857		2,853
Discover Financial Services		8,779		617,251		(71,285	)
Dow Chemical Co. (The)		10,373		664,183		(9,958	)
DR Horton, Inc.		22,482		756,744		20,459
Dr Pepper Snapple Group, Inc.		6,207		593,327		(27,807	)
Dril-Quip, Inc.		6,847		364,945		(30,812	)
DST Systems, Inc.		4,794		282,343		13,447
DTE Energy Co.		11,875		1,198,188		58,069
DXC Technology Co.		4,504		300,092		45,455
Eastman Chemical Co.		4,789		379,145		23,083
Eaton Corp. plc		6,864		502,788		31,437
eBay, Inc.		66,971		2,265,248		73,379
Edison International		9,054		720,698		(12,766	)
Electronic Arts, Inc.		9,827		880,401		158,510
EMCOR Group, Inc.		3,004		191,024		5,377
Emerson Electric Co.		1,725		104,535		(1,691	)
Energen Corp.		2,009		97,270		1,914
EnerSys		1,138		87,147		(4,699	)
Ensco plc		22,765		141,690		(24,223	)
Entergy Corp.		8,438		636,310		11,476
Equifax, Inc.		2,675		364,121		3,477

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

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232

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Euronet Worldwide, Inc.		1,409	$	117,637	$	5,467
Everest Re Group Ltd.		4,306		1,020,129		76,135
Exelon Corp.		36,963		1,331,038		2,218
Express Scripts Holding Co.		10,515		655,809		15,468
Fair Isaac Corp.		2,794		366,567		22,944
Federated Investors, Inc.		3,535		91,804		8,060
FedEx Corp.		2,167		421,677		49,278
Fidelity National Information Services, Inc.		2,174		177,898		7,761
Fifth Third Bancorp		20,828		548,818		(8,123	)
First American Financial Corp.		7,792		301,239		46,986
Fiserv, Inc.		3,514		413,914		15,989
Flex Ltd.		39,015		655,452		(19,117	)
FNF Group		1,675		64,622		10,469
Foot Locker, Inc.		4,323		330,203		(117,166	)
Fortune Brands Home & Security, Inc.		375		22,890		1,575
Franklin Resources, Inc.		3,687		155,318		9,823
FTI Consulting, Inc.		2,011		81,586		(11,282	)
Fulton Financial Corp.		11,306		212,553		2,261
GameStop Corp.		3,647		89,862		(11,050	)
GATX Corp.		6,222		371,609		28,279
General Dynamics Corp.		3,491		674,706		16,862
General Motors Co.		27,993		1,016,986		(39,190	)
Genpact Ltd.		15,653		382,716		52,907
Gilead Sciences, Inc.		16,992		1,166,267		36,427
Goodyear Tire & Rubber Co. (The)		13,940		510,762		(23,419	)
Graham Holdings Co.		539		318,393		4,818
Great Plains Energy, Inc.		9,410		271,949		3,576
Hancock Holding Co.		3,559		161,382		13,009
Hanover Insurance Group, Inc. (The)		5,968		543,506		(14,562	)
Harris Corp.		1,924		216,084		(6,215	)
Hawaiian Electric Industries, Inc.		8,565		285,730		(8,395	)
HCA Healthcare, Inc.		9,509		799,566		29,619
HD Supply Holdings, Inc.		10,137		420,148		(109,651	)
Herc Holdings, Inc.		708		34,189		(6,351	)
Herman Miller, Inc.		13,984		421,618		3,496
Hewlett Packard Enterprise Co.		75,959		1,300,312		(40,152	)
Hill-Rom Holdings, Inc.		564		39,519		5,381
Hilton Worldwide Holdings, Inc.		611		35,495		2,296
Home Depot, Inc. (The)		839		125,514		3,188
Honeywell International, Inc.		6,749		858,203		41,371
Hormel Foods Corp.		3,944		137,724		(3,195	)
HP, Inc.		53,730		943,499		(4,298	)
Hubbell, Inc.		735		88,531		(5,351	)
Humana, Inc.		3,425		793,825		30,299

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Huntington Ingalls Industries, Inc.		10,524	$	2,230,273	$	(271,125	)
Huntsman Corp.		11,841		270,922		35,049
IDACORP, Inc.		4,445		365,868		13,513
Illinois Tool Works, Inc.		731		99,051		5,665
Ingersoll-Rand plc		15,389		1,246,355		160,046
Ingredion, Inc.		9,477		1,137,240		(7,487	)
Intel Corp.		35,833		1,262,935		(53,929	)
Intercontinental Exchange, Inc.		3,107		190,770		14,044
InterDigital, Inc.		5,979		510,906		(48,729	)
International Business Machines Corp.		3,288		577,156		(71,363	)
International Game Technology plc		20,591		508,598		(131,782	)
International Paper Co.		6,760		347,194		35,490
Interpublic Group of Cos., Inc. (The)		17,262		424,300		345
ITT, Inc.		10,758		440,648		(8,391	)
j2 Global, Inc.		2,158		185,351		(1,726	)
Jabil, Inc.		19,769		569,347		7,710
Jack Henry & Associates, Inc.		3,465		329,522		30,388
Jacobs Engineering Group, Inc.		7,198		399,201		(7,702	)
JetBlue Airways Corp.		37,082		787,188		59,394
JM Smucker Co. (The)		4,711		652,709		(95,256	)
John Wiley & Sons, Inc.		4,100		221,195		(4,920	)
Johnson & Johnson		9,377		1,200,819		39,665
JPMorgan Chase & Co.		17,034		1,544,643		12,264
Juniper Networks, Inc.		21,662		634,324		(30,387	)
KB Home		25,135		489,378		113,107
KLA-Tencor Corp.		1,958		185,403		(6,226	)
Kroger Co. (The)		2,299		67,935		(14,323	)
L3 Technologies, Inc.		5,844		990,324		(13,909	)
Lam Research Corp.		4,742		599,768		70,893
Lancaster Colony Corp.		1,648		219,497		(17,419	)
Laredo Petroleum, Inc.		7,380		72,333		5,305
Lear Corp.		10,366		1,503,174		(30,372	)
Leggett & Platt, Inc.		1,507		76,224		2,939
Leidos Holdings, Inc.		3,525		190,174		(7,967	)
Lennar Corp.		2,271		119,436		1,654
Lennox International, Inc.		780		134,183		9,056
LifePoint Health, Inc.		561		37,565		106
Lincoln National Corp.		10,734		710,781		14,623
Littelfuse, Inc.		258		40,856		1,714
Lockheed Martin Corp.		949		258,109		5,343
LSC Communications, Inc.		566		13,346		(1,234	)
LyondellBasell Industries NV		20,876		1,812,091		(50,365	)
M&T Bank Corp.		3,831		607,965		12,465
ManpowerGroup, Inc.		5,428		562,395		43,641
Marathon Petroleum Corp.		1,340		68,059		2,064

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

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233

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
MarketAxess Holdings, Inc.		1,964	$	373,258	$	21,702
Marriott International, Inc.		1,032		91,157		12,363
McCormick & Co., Inc. (Non-Voting)		351		35,802		(1,576	)
McKesson Corp.		581		85,762		9,836
Merck & Co., Inc.		9,341		597,341		1,324
Meredith Corp.		7,076		442,793		(22,125	)
Micron Technology, Inc.		44,780		1,202,658		134,473
Microsoft Corp.		6,037		391,620		24,510
Minerals Technologies, Inc.		3,219		242,874		(7,243	)
Mohawk Industries, Inc.		556		127,991		6,388
Molina Healthcare, Inc.		3,850		176,561		89,782
Molson Coors Brewing Co.		6,213		611,235		(74,805	)
Morgan Stanley		2,208		99,404		(1,016	)
MSA Safety, Inc.		480		33,378		5,584
MSC Industrial Direct Co., Inc.		5,091		519,486		(81,863	)
MSCI, Inc.		3,728		362,846		21,100
Murphy Oil Corp.		12,334		329,060		(12,939	)
Murphy USA, Inc.		8,755		613,880		34,953
Nasdaq, Inc.		12,333		874,163		7,523
Navient Corp.		7,077		106,084		11,748
NCR Corp.		6,492		286,088		(20,954	)
NeuStar, Inc.		18,021		594,718		6,283
NewMarket Corp.		62		28,108		441
NextEra Energy, Inc.		181		23,572		1,792
NiSource, Inc.		1,177		27,660		2,189
Norfolk Southern Corp.		5,485		629,184		38,340
Northrop Grumman Corp.		6,491		1,585,427		80,878
Nu Skin Enterprises, Inc.		6,500		340,990		67,470
NVR, Inc.		382		801,991		118,862
Oceaneering International, Inc.		2,448		63,454		(7,542	)
Old Dominion Freight Line, Inc.		343		29,961		2,706
Old Republic International Corp.		24,889		502,011		(15,929	)
Omnicom Group, Inc.		6,526		554,318		(13,313	)
ON Semiconductor Corp.		16,613		249,445		(16,198	)
ONE Gas, Inc.		8,614		571,430		29,914
Oracle Corp.		6,835		312,086		30,621
Orbital ATK, Inc.		3,672		374,948		(13,770	)
Oshkosh Corp.		16,453		1,153,606		(20,324	)
Owens Corning		22,989		1,425,778		112,646
PACCAR, Inc.		4,708		327,300		(16,384	)
Packaging Corp. of America		2,009		185,551		38,231
PAREXEL International Corp.		3,558		224,617		84,609
Parker-Hannifin Corp.		4,752		754,777		4,688

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Penske Automotive Group, Inc.		2,368	$	116,245	$	(12,266	)
People’s United Financial, Inc.		14,514		273,153		(16,836	)
Pfizer, Inc.		15,640		536,765		(11,417	)
PG&E Corp.		11,977		797,548		(2,635	)
Pilgrim’s Pride Corp.		31,858		694,186		4,142
Pinnacle Foods, Inc.		5,941		350,281		2,614
Pinnacle West Capital Corp.		19,704		1,639,964		38,029
PNC Financial Services Group, Inc. (The)		9,338		1,161,180		4,856
PNM Resources, Inc.		4,302		160,465		4,087
Popular, Inc.		17,719		722,404		16,656
Primerica, Inc.		1,406		115,714		(9,209	)
Principal Financial Group, Inc.		1,101		68,745		1,796
Procter & Gamble Co. (The)		7,333		667,303		(28,232	)
Progressive Corp. (The)		4,888		197,035		18,477
Prosperity Bancshares, Inc.		1,180		80,743		(4,940	)
Prudential Financial, Inc.		5,859		644,021		(10,429	)
Public Service Enterprise Group, Inc.		25,816		1,154,750		(44,404	)
PulteGroup, Inc.		8,633		204,775		6,993
Qorvo, Inc.		5,412		370,867		(28,179	)
Quanta Services, Inc.		5,892		216,989		(23,025	)
Quest Diagnostics, Inc.		4,091		405,254		49,501
Raymond James Financial, Inc.		4,232		326,930		12,561
Raytheon Co.		10,580		1,660,743		47,716
Regal Beloit Corp.		402		32,310		473
Regions Financial Corp.		51,075		756,827		(9,089	)
Reinsurance Group of America, Inc.		8,998		1,165,975		(10,722	)
Reliance Steel & Aluminum Co.		7,902		650,809		(75,464	)
RenaissanceRe Holdings Ltd.		1,582		234,278		(14,301	)
Republic Services, Inc.		22,450		1,422,657		8,082
Rockwell Automation, Inc.		1,080		168,469		6,448
Ross Stores, Inc.		1,600		108,240		(15,872	)
Rowan Cos. plc		52,634		786,780		(247,808	)
RPC, Inc.		6,713		126,982		8,688
Ryder System, Inc.		6,738		506,900		(21,899	)
SCANA Corp.		14,035		952,696		(12,210	)
Science Applications International Corp.		4,882		427,136		(88,227	)
Scotts Miracle-Gro Co. (The)		1,610		148,490		(4,460	)
Scripps Networks Interactive, Inc.		1,801		142,531		(19,505	)
Seagate Technology plc		29,383		1,283,199		(144,608	)

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

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234

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Sensient Technologies Corp.		2,581	$	210,919	$	(3,071	)
Skyworks Solutions, Inc.		10,219		1,013,431		(32,918	)
Snap-on, Inc.		1,448		250,330		(21,546	)
Sonoco Products Co.		10,242		544,772		(18,128	)
Southwest Airlines Co.		12,999		691,287		116,471
Southwest Gas Holdings, Inc.		840		70,062		(8,692	)
Spectrum Brands Holdings, Inc.		3,660		520,891		(63,245	)
Spirit AeroSystems Holdings, Inc.		21,624		1,276,150		(23,256	)
Spirit Airlines, Inc.		1,114		56,714		824
Stanley Black & Decker, Inc.		4,645		610,028		43,663
State Street Corp.		7,401		581,793		82,299
Steel Dynamics, Inc.		11,528		418,928		(6,110	)
Stryker Corp.		1,917		254,309		11,732
SunTrust Banks, Inc.		23,412		1,344,479		(16,551	)
Synaptics, Inc.		1,337		67,799		1,337
SYNNEX Corp.		6,764		809,836		1,574
Synopsys, Inc.		8,405		597,932		15,045
Sysco Corp.		1,156		60,967		(2,786	)
TE Connectivity Ltd.		3,440		258,732		11,927
Tech Data Corp.		12,418		1,179,500		74,718
TEGNA, Inc.		14,397		240,470		(33,010	)
Teledyne Technologies, Inc.		954		125,413		(3,635	)
Teleflex, Inc.		3,268		640,920		38,040
Terex Corp.		6,127		209,458		20,305
Texas Instruments, Inc.		9,320		766,104		(49,116	)
Texas Roadhouse, Inc.		8,621		380,617		58,623
Textron, Inc.		10,290		491,245		(6,586	)
Thor Industries, Inc.		5,011		492,178		31,571
Timken Co. (The)		2,462		110,667		3,201
TJX Cos., Inc. (The)		473		37,471		(3,335	)
TopBuild Corp.		230		10,938		1,285
Torchmark Corp.		7,365		577,318		(13,896	)
Toro Co. (The)		9,067		558,709		69,544
Total System Services, Inc.		401		21,413		1,945
Transocean Ltd.		14,011		173,587		(58,277	)
Travelers Cos., Inc. (The)		12,982		1,595,665		46,947
Trinity Industries, Inc.		23,715		645,373		19,359
Trustmark Corp.		8,213		267,907		(3,777	)
Tupperware Brands Corp.		444		27,053		4,129
Tyson Foods, Inc.		16,973		1,049,610		13,409
UGI Corp.		18,038		888,219		(14,999	)
Ulta Beauty, Inc.		160		46,210		(235	)
UMB Financial Corp.		663		48,754		879
Union Pacific Corp.		3,937		415,446		13,333
United Continental Holdings, Inc.		27,705		1,918,860		165,942
United Rentals, Inc.		13,239		1,478,350		13,818

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United Therapeutics Corp.		10,438		$	1,443,788		$	(89,666	)
UnitedHealth Group, Inc.		4,610			782,317			72,469
Universal Health Services, Inc.		1,724			207,018			3,448
Unum Group		15,840			754,403			(15,784	)
US Bancorp		29,769			1,607,426			(61,820	)
Vail Resorts, Inc.		374			70,686			5,172
Validus Holdings Ltd.		9,693			549,302			(45,557	)
Valmont Industries, Inc.		240			36,398			(494	)
Varex Imaging Corp.		2,881			95,184			2,194
Varian Medical Systems, Inc.		394			36,059			4,598
Vectren Corp.		881			50,578			907
Versum Materials, Inc.		729			21,753			1,939
Vishay Intertechnology, Inc.		21,900			358,065			5,475
VMware, Inc.		6,158			570,231			(31,837	)
VWR Corp.		4,563			128,540			22,085
Wal-Mart Stores, Inc.		14,647			1,023,679			84,806
Walt Disney Co. (The)		1,979			221,173			(10,904	)
Waste Management, Inc.		17,641			1,297,319			(3,352	)
Waters Corp.		552			86,438			15,042
Watsco, Inc.		208			30,765			1,308
WellCare Health Plans, Inc.		10,750			1,549,689			380,581
Werner Enterprises, Inc.		13,963			381,888			27,926
West Pharmaceutical Services, Inc.		1,420			117,448			16,770
Western Digital Corp.		10,288			808,722			102,794
Western Union Co. (The)		4,041			82,436			(5,455	)
Westlake Chemical Corp.		10,772			690,864			22,350
WGL Holdings, Inc.		633			52,267			544
Whirlpool Corp.		3,621			625,383			68,473
Woodward, Inc.		7,563			518,466			(7,359	)
World Fuel Services Corp.		3,703			136,937			5,443
Worthington Industries, Inc.		5,648			293,470			(9,828	)
WR Berkley Corp.		2,203			160,136			(7,755	)
Wyndham Worldwide Corp.		5,435			457,953			87,775
Xcel Energy, Inc.		32,597			1,429,378			66,172
Xerox Corp.		11,452			337,162			(8,146	)
Xylem, Inc.		1,442			70,889			9,041
								3,423,486
Total of Long Equity Positions							3,442,337
Short Positions
Common Stocks
Australia
Atlassian Corp. plc		(3,649	)		(124,286	)		(4,086	)

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

AQR Funds Semi-Annual Report June 2017

235

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Ghana
Kosmos Energy Ltd.		(45,316	)	$	(266,975	)	$	(23,500	)
Ireland
XL Group Ltd.		(2,409	)		(96,866	)		(8,648	)
United Kingdom
Liberty Global plc		(13,688	)		(511,384	)		71,725
Pentair plc		(4,707	)		(295,929	)		(17,275	)
								54,450
United States
3D Systems Corp.		(4,070	)		(68,786	)		(7,323	)
Abbott Laboratories		(5,815	)		(284,064	)		1,397
ABIOMED, Inc.		(1,217	)		(150,871	)		(23,525	)
Acadia Healthcare Co., Inc.		(25,115	)		(1,045,537	)		(194,641	)
Acuity Brands, Inc.		(1,271	)		(249,433	)		(8,935	)
Acxiom Corp.		(4,788	)		(136,793	)		12,401
Adient plc		(668	)		(45,976	)		2,303
Advance Auto Parts, Inc.		(3,319	)		(505,816	)		118,853
Advanced Micro Devices, Inc.		(63,734	)		(688,297	)		(107,104	)
AECOM		(4,378	)		(156,076	)		14,535
Agilent Technologies, Inc.		(5,077	)		(270,655	)		(30,462	)
Agios Pharmaceuticals, Inc.		(11,872	)		(631,827	)		21,013
Alcoa Corp.		(3,932	)		(131,580	)		3,200
Align Technology, Inc.		(3,645	)		(429,144	)		(118,043	)
Alkermes plc		(13,886	)		(819,683	)		14,711
Allegheny Technologies, Inc.		(34,781	)		(617,491	)		25,866
Allegion plc		(5,184	)		(391,288	)		(29,238	)
Allergan plc		(3,095	)		(734,691	)		(17,672	)
Alliance Data Systems Corp.		(1,867	)		(454,235	)		(25,006	)
Alliant Energy Corp.		(700	)		(27,692	)		(427	)
Allison Transmission Holdings, Inc.		(5,168	)		(188,477	)		(5,375	)
Allscripts Healthcare Solutions, Inc.		(33,962	)		(406,655	)		(26,700	)
Alnylam Pharmaceuticals, Inc.		(14,165	)		(774,647	)		(355,154	)
AMETEK, Inc.		(5,164	)		(280,457	)		(32,327	)
Antero Resources Corp.		(6,382	)		(128,794	)		(9,121	)
Aon plc		(2,647	)		(314,755	)		(37,164	)
Apache Corp.		(4,014	)		(205,597	)		13,206
AptarGroup, Inc.		(347	)		(26,747	)		(3,394	)
Arconic, Inc.		(27,681	)		(751,475	)		124,500
Arista Networks, Inc.		(2,690	)		(344,589	)		(58,346	)
Armstrong World Industries, Inc.		(5,914	)		(275,001	)		2,957
ARRIS International plc		(8,871	)		(232,105	)		(16,460	)
Arthur J Gallagher & Co.		(8,977	)		(511,061	)		(2,873	)
Artisan Partners Asset Management, Inc.		(14,720	)		(408,480	)		(43,424	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ascena Retail Group, Inc.		(37,751	)	$	(157,422	)	$	76,257
athenahealth, Inc.		(7,470	)		(853,046	)		(196,863	)
Autodesk, Inc.		(9,131	)		(819,247	)		(101,340	)
AutoZone, Inc.		(109	)		(62,844	)		664
Avangrid, Inc.		(2,745	)		(116,662	)		(4,529	)
Avis Budget Group, Inc.		(22,867	)		(634,727	)		11,144
Avon Products, Inc.		(139,887	)		(597,861	)		66,291
Axalta Coating Systems Ltd.		(25,322	)		(820,159	)		8,842
Ball Corp.		(36,272	)		(1,391,896	)		(139,145	)
BancorpSouth, Inc.		(4,099	)		(130,348	)		5,329
Bank of the Ozarks, Inc.		(13,496	)		(728,244	)		95,687
Belden, Inc.		(494	)		(36,403	)		(859	)
BioMarin Pharmaceutical, Inc.		(12,757	)		(1,150,014	)		(8,577	)
Bio-Techne Corp.		(4,188	)		(438,944	)		(53,146	)
Black Hills Corp.		(2,831	)		(189,792	)		(1,215	)
Black Knight Financial Services, Inc.		(8,656	)		(346,240	)		(8,223	)
Blue Buffalo Pet Products, Inc.		(17,046	)		(406,347	)		17,528
BorgWarner, Inc.		(4,513	)		(192,976	)		1,805
Bristol-Myers Squibb Co.		(11,330	)		(637,561	)		6,253
Brookdale Senior Living, Inc.		(69,595	)		(855,745	)		(167,997	)
Brown & Brown, Inc.		(4,611	)		(201,777	)		3,182
Brown-Forman Corp.		(2,628	)		(122,964	)		(4,757	)
Cabot Oil & Gas Corp.		(29,688	)		(672,362	)		(72,213	)
CarMax, Inc.		(5,512	)		(340,035	)		(7,551	)
Carpenter Technology Corp.		(8,400	)		(321,468	)		7,056
Carter’s, Inc.		(2,598	)		(220,583	)		(10,509	)
Catalent, Inc.		(658	)		(18,904	)		(4,191	)
CBS Corp. (Non-Voting)		(3,457	)		(231,446	)		10,959
Cerner Corp.		(568	)		(32,154	)		(5,600	)
CF Industries Holdings, Inc.		(34,286	)		(1,004,237	)		45,600
Charles Schwab Corp. (The)		(7,381	)		(298,199	)		(18,889	)
Charter Communications, Inc.		(205	)		(66,812	)		(2,243	)
Cheniere Energy, Inc.		(29,396	)		(1,342,352	)		(89,527	)
Chevron Corp.		(4,397	)		(465,824	)		7,085
Chicago Bridge & Iron Co. NV		(7,785	)		(231,682	)		78,084
Chico’s FAS, Inc.		(6,095	)		(86,854	)		29,439
Choice Hotels International, Inc.		(1,822	)		(115,150	)		(1,913	)
Ciena Corp.		(2,288	)		(54,409	)		(2,837	)
Cimarex Energy Co.		(3,565	)		(428,935	)		93,789
Clean Harbors, Inc.		(3,120	)		(179,338	)		5,148
Cognex Corp.		(6,859	)		(553,864	)		(28,465	)
Colfax Corp.		(11,986	)		(474,406	)		2,517
Colgate-Palmolive Co.		(12,087	)		(893,955	)		(2,055	)
Comerica, Inc.		(5,665	)		(404,254	)		(10,650	)

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

AQR Funds Semi-Annual Report June 2017

236

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CommVault Systems, Inc.		(5,898	)	$	(299,126	)	$	(33,816	)
Compass Minerals International, Inc.		(5,995	)		(413,355	)		21,882
comScore, Inc.		(10,318	)		(225,448	)		(45,399	)
Conduent, Inc.		(7,635	)		(128,653	)		6,951
CONSOL Energy, Inc.		(16,585	)		(258,279	)		10,499
Core Laboratories NV		(2,839	)		(313,571	)		26,065
CoStar Group, Inc.		(1,130	)		(234,065	)		(63,803	)
Coty, Inc.		(72,027	)		(1,375,589	)		24,362
Covanta Holding Corp.		(52,750	)		(825,537	)		129,237
Cree, Inc.		(4,207	)		(112,874	)		9,171
Cypress Semiconductor Corp.		(101,511	)		(1,399,824	)		14,199
Deckers Outdoor Corp.		(1,594	)		(88,191	)		(20,616	)
Delphi Automotive plc		(3,632	)		(297,279	)		(21,066	)
Denbury Resources, Inc.		(50,733	)		(95,503	)		17,882
DexCom, Inc.		(22,134	)		(1,746,049	)		126,946
Diebold Nixdorf, Inc.		(22,959	)		(672,699	)		29,847
Discovery Communications, Inc.		(6,398	)		(179,208	)		13,948
DISH Network Corp.		(9,676	)		(617,909	)		10,644
Dollar General Corp.		(13,355	)		(971,926	)		9,164
Dollar Tree, Inc.		(10,158	)		(763,176	)		52,929
Dominion Energy, Inc.		(13,746	)		(1,060,092	)		6,736
Domino’s Pizza, Inc.		(2,017	)		(372,802	)		(53,854	)
Donaldson Co., Inc.		(6,826	)		(307,989	)		(2,867	)
Dun & Bradstreet Corp. (The)		(937	)		(98,051	)		(3,286	)
Dunkin’ Brands Group, Inc.		(12,821	)		(724,771	)		18,078
Edgewell Personal Care Co.		(624	)		(46,700	)		(736	)
Edwards Lifesciences Corp.		(4,646	)		(463,739	)		(85,604	)
Endo International plc		(35,270	)		(372,941	)		(21,025	)
Envision Healthcare Corp.		(18,508	)		(1,179,180	)		19,283
EQT Corp.		(7,279	)		(385,422	)		(41,055	)
Estee Lauder Cos., Inc. (The)		(2,657	)		(228,396	)		(26,623	)
Esterline Technologies Corp.		(2,431	)		(219,155	)		(11,304	)
Extended Stay America, Inc.		(3,704	)		(60,746	)		(10,964	)
Exxon Mobil Corp.		(5,691	)		(466,599	)		7,165
Fastenal Co.		(13,683	)		(709,737	)		114,116
FireEye, Inc.		(83,937	)		(967,742	)		(308,940	)
First Data Corp.		(94,496	)		(1,505,321	)		(214,506	)
First Horizon National Corp.		(17,487	)		(332,428	)		27,804
FirstEnergy Corp.		(34,055	)		(1,036,615	)		43,571
Fitbit, Inc.		(125,916	)		(707,601	)		38,987
FleetCor Technologies, Inc.		(1,627	)		(263,948	)		29,319
Flowserve Corp.		(8,088	)		(380,055	)		4,529

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
FMC Corp.		(3,073	)	$	(188,037	)	$	(36,446	)
FNB Corp.		(11,967	)		(182,145	)		12,692
Fortinet, Inc.		(8,357	)		(310,295	)		(2,591	)
Fossil Group, Inc.		(20,554	)		(296,973	)		84,239
Freeport-McMoRan, Inc.		(25,622	)		(327,670	)		19,950
Frontier Communications Corp.		(313,536	)		(645,460	)		281,758
Gap, Inc. (The)		(12,374	)		(278,917	)		6,812
Gartner, Inc.		(3,440	)		(382,651	)		(42,223	)
General Electric Co.		(1,876	)		(56,055	)		5,384
Genesee & Wyoming, Inc.		(7,155	)		(491,620	)		2,290
Gentex Corp.		(3,693	)		(80,840	)		10,784
GoDaddy, Inc.		(7,107	)		(264,694	)		(36,785	)
Graco, Inc.		(3,302	)		(311,213	)		(49,629	)
Granite Construction, Inc.		(2,644	)		(126,000	)		(1,547	)
Graphic Packaging Holding Co.		(21,565	)		(294,117	)		(3,048	)
Greif, Inc.		(1,905	)		(107,499	)		1,238
Groupon, Inc.		(154,473	)		(591,686	)		(1,491	)
Guidewire Software, Inc.		(6,592	)		(374,051	)		(78,885	)
H&R Block, Inc.		(8,020	)		(184,397	)		(63,501	)
Hain Celestial Group, Inc. (The)		(10,255	)		(383,127	)		(14,972	)
Halliburton Co.		(7,820	)		(354,667	)		20,675
Halyard Health, Inc.		(7,736	)		(301,240	)		(2,630	)
Hanesbrands, Inc.		(17,610	)		(358,204	)		(49,644	)
HEICO Corp.		(484	)		(34,224	)		(546	)
Hertz Global Holdings, Inc.		(51,534	)		(751,364	)		158,723
Hess Corp.		(7,325	)		(342,546	)		21,198
HollyFrontier Corp.		(10,737	)		(296,277	)		1,332
Hologic, Inc.		(11,732	)		(499,666	)		(32,732	)
HSN, Inc.		(2,301	)		(83,821	)		10,419
IDEXX Laboratories, Inc.		(2,904	)		(441,263	)		(27,501	)
IHS Markit Ltd.		(10,620	)		(428,517	)		(39,188	)
Illumina, Inc.		(7,018	)		(1,125,828	)		(91,936	)
Incyte Corp.		(866	)		(124,616	)		15,578
Intrexon Corp.		(7,320	)		(145,103	)		(31,236	)
Ionis Pharmaceuticals, Inc.		(12,032	)		(472,942	)		(139,126	)
IPG Photonics Corp.		(1,117	)		(135,671	)		(26,406	)
Jazz Pharmaceuticals plc		(1,315	)		(177,223	)		(27,260	)
JC Penney Co., Inc.		(111,645	)		(660,428	)		141,279
Juno Therapeutics, Inc.		(21,758	)		(496,292	)		(154,055	)
Kansas City Southern		(1,568	)		(131,916	)		(32,175	)
KAR Auction Services, Inc.		(774	)		(35,325	)		2,841
Kate Spade & Co.		(19,270	)		(458,233	)		101,930
KBR, Inc.		(35,080	)		(499,430	)		(34,488	)
Kellogg Co.		(1,798	)		(135,048	)		10,159
Kennametal, Inc.		(11,289	)		(438,126	)		15,692
Keysight Technologies, Inc.		(2,004	)		(78,196	)		180
Kinder Morgan, Inc.		(12,126	)		(258,041	)		25,707

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

AQR Funds Semi-Annual Report June 2017

237

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
KLX, Inc.		(11,411	)	$	(530,041	)	$	(40,509	)
Knowles Corp.		(22,307	)		(426,510	)		49,075
L Brands, Inc.		(19,856	)		(985,680	)		(84,360	)
Legg Mason, Inc.		(6,451	)		(230,817	)		(15,353	)
Liberty Broadband Corp.		(1,234	)		(105,791	)		(1,259	)
Liberty Expedia Holdings, Inc.		(597	)		(27,351	)		(4,899	)
Lions Gate Entertainment Corp.		(18,858	)		(446,410	)		(49,178	)
Lions Gate Entertainment Corp.		(9,245	)		(232,974	)		(27,920	)
LivaNova plc		(6,275	)		(310,926	)		(73,167	)
Live Nation Entertainment, Inc.		(17,562	)		(513,688	)		(98,347	)
Loews Corp.		(10,861	)		(512,748	)		4,344
LogMeIn, Inc.		(1,024	)		(97,309	)		(9,699	)
Lululemon Athletica, Inc.		(3,627	)		(223,168	)		6,745
Macy’s, Inc.		(4,691	)		(133,516	)		24,497
Madison Square Garden Co. (The)		(2,071	)		(410,508	)		2,728
Markel Corp.		(92	)		(90,176	)		397
Marsh & McLennan Cos., Inc.		(7,380	)		(554,533	)		(20,812	)
Mastercard, Inc.		(5,883	)		(663,779	)		(50,711	)
Mattel, Inc.		(34,723	)		(838,942	)		91,356
MDU Resources Group, Inc.		(2,362	)		(64,388	)		2,504
Medtronic plc		(2,582	)		(212,318	)		(16,835	)
Mercury General Corp.		(11,143	)		(664,457	)		62,735
Michaels Cos., Inc. (The)		(5,850	)		(128,458	)		20,116
Middleby Corp. (The)		(3,762	)		(517,598	)		60,478
Mondelez International, Inc.		(6,327	)		(283,133	)		9,870
Monster Beverage Corp.		(11,408	)		(530,130	)		(36,620	)
Moody’s Corp.		(1,193	)		(133,544	)		(11,620	)
Motorola Solutions, Inc.		(982	)		(83,195	)		(1,984	)
Nabors Industries Ltd.		(4,228	)		(38,005	)		3,590
National Fuel Gas Co.		(6,973	)		(416,044	)		26,672
National Instruments Corp.		(13,384	)		(434,980	)		(103,324	)
National Oilwell Varco, Inc.		(6,060	)		(214,170	)		14,554
NetScout Systems, Inc.		(19,501	)		(728,362	)		57,528
Neurocrine Biosciences, Inc.		(16,654	)		(735,026	)		(31,058	)
New Jersey Resources Corp.		(1,254	)		(49,157	)		(627	)
Newell Brands, Inc.		(7,634	)		(401,300	)		(8,036	)
Newfield Exploration Co.		(9,077	)		(297,324	)		38,992
Newmont Mining Corp.		(27,327	)		(901,797	)		16,675
Nielsen Holdings plc		(6,605	)		(281,637	)		26,288
NIKE, Inc.		(6,940	)		(401,132	)		(8,328	)
Noble Corp. plc		(164,410	)		(878,825	)		283,660
Nordson Corp.		(1,389	)		(175,320	)		6,806
Norwegian Cruise Line Holdings Ltd.		(10,311	)		(538,293	)		(21,491	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
NOW, Inc.		(7,014	)	$	(118,046	)	$	5,261
Nucor Corp.		(5,403	)		(304,841	)		(7,830	)
NuVasive, Inc.		(790	)		(60,587	)		(180	)
Occidental Petroleum Corp.		(10,906	)		(698,374	)		45,432
Ocwen Financial Corp.		(5,500	)		(26,785	)		11,990
Office Depot, Inc.		(76,244	)		(365,559	)		(64,457	)
OGE Energy Corp.		(30,747	)		(1,131,182	)		61,494
Olin Corp.		(3,481	)		(115,117	)		9,712
OneMain Holdings, Inc.		(6,544	)		(168,690	)		7,773
ONEOK, Inc.		(1,025	)		(51,822	)		(1,642	)
OPKO Health, Inc.		(25,282	)		(178,225	)		11,870
O’Reilly Automotive, Inc.		(1,138	)		(278,516	)		29,590
Owens-Illinois, Inc.		(31,922	)		(650,890	)		(112,685	)
PacWest Bancorp		(2,491	)		(139,023	)		22,693
Palo Alto Networks, Inc.		(11,022	)		(1,278,037	)		(196,817	)
Pandora Media, Inc.		(118,149	)		(1,201,843	)		147,954
Parsley Energy, Inc.		(10,957	)		(332,982	)		28,926
Patheon NV		(4,275	)		(114,776	)		(34,336	)
Patterson Cos., Inc.		(11,029	)		(501,599	)		(16,213	)
PayPal Holdings, Inc.		(7,131	)		(307,203	)		(75,517	)
PBF Energy, Inc.		(16,651	)		(359,593	)		(11,058	)
Perrigo Co. plc		(10,477	)		(728,151	)		(63,072	)
Pitney Bowes, Inc.		(28,826	)		(368,901	)		(66,371	)
Platform Specialty Products Corp.		(76,301	)		(998,780	)		31,283
PPL Corp.		(10,998	)		(406,816	)		(18,367	)
Praxair, Inc.		(808	)		(95,603	)		(11,498	)
Premier, Inc.		(21,597	)		(670,365	)		(107,127	)
Prestige Brands Holdings, Inc.		(920	)		(52,633	)		4,048
PTC, Inc.		(5,857	)		(329,105	)		6,267
QEP Resources, Inc.		(16,045	)		(162,957	)		902
QIAGEN NV		(8,280	)		(243,266	)		(34,362	)
Ralph Lauren Corp.		(5,858	)		(452,182	)		19,862
Range Resources Corp.		(42,701	)		(1,045,211	)		55,829
Regeneron Pharmaceuticals, Inc.		(1,578	)		(591,184	)		(183,835	)
ResMed, Inc.		(1,358	)		(97,287	)		(8,460	)
Rice Energy, Inc.		(5,131	)		(109,301	)		(27,338	)
Robert Half International, Inc.		(675	)		(33,439	)		1,087
Rollins, Inc.		(4,135	)		(152,581	)		(15,754	)
Roper Technologies, Inc.		(204	)		(43,032	)		(4,200	)
Royal Gold, Inc.		(3,398	)		(220,326	)		(45,295	)
RR Donnelley & Sons Co.		(13,117	)		(164,583	)		95
Sabre Corp.		(12,210	)		(265,072	)		(740	)
salesforce.com, Inc.		(10,101	)		(838,227	)		(36,520	)
Sally Beauty Holdings, Inc.		(14,434	)		(294,741	)		2,453
Santander Consumer USA Holdings, Inc.		(12,429	)		(174,130	)		15,536
Schlumberger Ltd.		(7,065	)		(550,515	)		85,355
Sealed Air Corp.		(23,166	)		(1,049,046	)		12,136
Seattle Genetics, Inc.		(2,933	)		(195,690	)		43,936
Sempra Energy		(12,870	)		(1,425,481	)		(25,611	)

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

AQR Funds Semi-Annual Report June 2017

238

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Sensata Technologies Holding NV		(17,100	)	$	(752,400	)	$	21,888
ServiceMaster Global Holdings, Inc.		(3,057	)		(124,878	)		5,075
ServiceNow, Inc.		(12,116	)		(1,093,665	)		(190,631	)
Signature Bank		(782	)		(120,921	)		8,680
Signet Jewelers Ltd.		(6,899	)		(424,822	)		(11,471	)
Silgan Holdings, Inc.		(6,870	)		(210,222	)		(8,107	)
Silicon Laboratories, Inc.		(511	)		(37,189	)		2,262
Six Flags Entertainment Corp.		(9,200	)		(549,395	)		983
Skechers U.S.A., Inc.		(5,085	)		(141,178	)		(8,830	)
SLM Corp.		(75,103	)		(922,265	)		58,580
Snyder’s-Lance, Inc.		(5,605	)		(227,339	)		33,294
Sotheby’s		(11,351	)		(540,081	)		(69,128	)
Southwestern Energy Co.		(121,981	)		(770,127	)		28,482
Splunk, Inc.		(18,940	)		(1,175,211	)		97,715
Sprouts Farmers Market, Inc.		(50,286	)		(1,119,400	)		(20,584	)
SPX Corp.		(6,294	)		(155,651	)		(2,706	)
Square, Inc.		(52,107	)		(1,090,189	)		(132,241	)
Staples, Inc.		(33,664	)		(302,976	)		(36,020	)
Stericycle, Inc.		(11,853	)		(995,944	)		91,323
Stifel Financial Corp.		(8,087	)		(427,802	)		55,962
SunPower Corp.		(6,374	)		(39,809	)		(19,725	)
Superior Energy Services, Inc.		(45,566	)		(596,763	)		121,510
SVB Financial Group		(2,653	)		(523,145	)		56,774
Synchrony Financial		(19,282	)		(528,096	)		(46,894	)
Synovus Financial Corp.		(1,699	)		(71,426	)		(3,738	)
Tableau Software, Inc.		(13,034	)		(639,969	)		(158,624	)
Targa Resources Corp.		(8,521	)		(450,372	)		65,222
Target Corp.		(1,292	)		(68,848	)		1,289
TCF Financial Corp.		(2,223	)		(37,151	)		1,716
Tempur Sealy International, Inc.		(17,428	)		(799,771	)		(130,710	)
Tenet Healthcare Corp.		(56,352	)		(1,005,105	)		(84,743	)
Teradata Corp.		(11,249	)		(346,019	)		14,286
TerraForm Power, Inc.		(9,791	)		(122,387	)		4,896
Tesla, Inc.		(1,268	)		(324,166	)		(134,356	)
Tiffany & Co.		(1,548	)		(143,066	)		(2,245	)
Time, Inc.		(28,889	)		(500,262	)		85,705
Tractor Supply Co.		(21,353	)		(1,361,914	)		204,368
TransDigm Group, Inc.		(2,933	)		(704,067	)		(84,529	)
TreeHouse Foods, Inc.		(4,551	)		(391,833	)		20,061
TRI Pointe Group, Inc.		(12,563	)		(159,149	)		(6,557	)
Trimble, Inc.		(17,803	)		(564,711	)		(70,322	)
TripAdvisor, Inc.		(32,993	)		(1,371,735	)		111,402
Triumph Group, Inc.		(12,230	)		(310,642	)		(75,826	)
Twitter, Inc.		(73,991	)		(1,164,233	)		(157,986	)
Tyler Technologies, Inc.		(693	)		(108,351	)		(13,389	)
Ultimate Software Group, Inc. (The)		(2,721	)		(529,643	)		(41,931	)
United States Steel Corp.		(41,900	)		(868,571	)		(59,095	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
USG Corp.		(3,136	)	$	(106,969	)	$	15,962
Valley National Bancorp		(27,141	)		(332,749	)		12,213
Veeva Systems, Inc.		(5,906	)		(294,060	)		(68,037	)
VeriFone Systems, Inc.		(48,870	)		(921,177	)		36,630
VF Corp.		(8,652	)		(466,303	)		(32,052	)
ViaSat, Inc.		(5,357	)		(352,070	)		(2,563	)
Visa, Inc.		(3,158	)		(284,978	)		(11,179	)
Vista Outdoor, Inc.		(11,691	)		(245,978	)		(17,187	)
Visteon Corp.		(868	)		(86,383	)		(2,205	)
WABCO Holdings, Inc.		(3,738	)		(437,346	)		(39,286	)
Waddell & Reed Financial, Inc.		(1,450	)		(24,954	)		(2,422	)
Weatherford International plc		(262,751	)		(1,603,078	)		586,232
Webster Financial Corp.		(4,641	)		(250,753	)		8,400
Welbilt, Inc.		(25,901	)		(498,207	)		9,973
Wendy’s Co. (The)		(5,267	)		(71,052	)		(10,639	)
WEX, Inc.		(229	)		(24,459	)		582
Williams Cos., Inc. (The)		(35,637	)		(1,028,120	)		(50,968	)
Willis Towers Watson plc		(688	)		(100,501	)		425
WisdomTree Investments, Inc.		(95,469	)		(858,564	)		(112,355	)
Workday, Inc.		(13,987	)		(1,179,687	)		(177,052	)
WPX Energy, Inc.		(34,911	)		(424,763	)		87,522
WR Grace & Co.		(11,336	)		(802,135	)		(14,170	)
Wynn Resorts Ltd.		(10,830	)		(1,208,702	)		(243,818	)
Yelp, Inc.		(14,044	)		(461,404	)		39,803
Zayo Group Holdings, Inc.		(33,266	)		(1,112,319	)		84,399
Zebra Technologies Corp.		(9,121	)		(827,731	)		(89,112	)
Zillow Group, Inc.		(8,970	)		(372,263	)		(67,356	)
Zions Bancorp		(20,794	)		(909,945	)		(3,119	)
Zoetis, Inc.		(8,254	)		(445,716	)		(69,169	)
Zynga, Inc.		(87,356	)		(244,018	)		(73,958	)
								(2,487,487	)
Total of Short Equity Positions								(2,469,271	)
Total of Long and Short Equity Positions								973,066
Net Cash and Other Receivables/ (Payables) (b)								(438,941	)
Swaps, at Value							$	534,125

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

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

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

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239

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps.	1 - 57 months maturity 11/19/2021		$288,813

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

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		198	$	25,771	$	6,145
Air France-KLM		18,115		160,693		97,891
Arkema SA		2,952		312,105		3,144
Atos SE		9,508		1,218,192		115,882
Capgemini SE		2,400		232,485		15,441
Christian Dior SE		469		111,751		22,354
Cie Generale des Etablissements Michelin		9,559		1,191,591		80,656
CNP Assurances		7,083		151,886		7,101
Eiffage SA		2,052		166,485		19,921
Faurecia		3,502		168,849		8,742
Imerys SA		1,096		95,511		(111	)
Ipsen SA		3,673		384,279		118,326
Kering		95		26,074		6,275
Lagardere SCA		12,045		359,155		20,916
Orange SA		18,208		308,518		(18,739	)
Orpea		374		37,017		4,680
Peugeot SA		37,508		806,523		(59,002	)
Publicis Groupe SA		2,317		167,395		5,298
Sanofi		3,968		398,168		(17,954	)
SCOR SE		4,892		199,812		(5,464	)
SEB SA		1,587		230,090		54,759
Societe BIC SA		223		30,147		(3,667	)
Sodexo SA		2,989		361,656		24,650
Teleperformance		3,811		438,538		50,116
Thales SA		7,028		720,269		36,115
TOTAL SA		6,749		357,714		(22,646	)
Valeo SA		9,210		638,019		(18,380	)
						552,449
Total of Long Equity Positions						552,449

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
France
Accor SA		(20,455	)	$	(865,144	)	$	(94,384	)
Air Liquide SA		(1,813	)		(219,054	)		(5,026	)
Airbus SE		(3,766	)		(315,076	)		4,285
Alstom SA		(6,083	)		(185,911	)		(26,541	)
Bollore SA		(65,555	)		(267,524	)		(30,543	)
Bureau Veritas SA		(4,536	)		(95,036	)		(5,370	)
Carrefour SA		(6,668	)		(166,269	)		(2,311	)
Casino Guichard Perrachon SA		(2,826	)		(168,298	)		930
Cie Plastic Omnium SA		(2,495	)		(97,161	)		6,134
Credit Agricole SA		(2,343	)		(37,348	)		(394	)
Edenred		(30,888	)		(755,271	)		(50,447	)
Electricite de France SA		(14,480	)		(143,853	)		(13,037	)
Engie SA		(15,209	)		(218,162	)		(11,399	)
Essilor International SA		(4,778	)		(615,029	)		7,206
Eutelsat Communications SA		(1,014	)		(23,235	)		(2,637	)
Hermes International		(560	)		(279,445	)		2,818
Iliad SA		(1,432	)		(346,396	)		7,974
Ingenico Group SA		(6,365	)		(655,361	)		78,135
JCDecaux SA		(4,694	)		(169,853	)		15,953
L’Oreal SA		(523	)		(106,411	)		(2,642	)
Natixis SA		(81,081	)		(527,405	)		(16,869	)
Pernod Ricard SA		(193	)		(24,382	)		(1,462	)
Remy Cointreau SA		(2,574	)		(263,046	)		(36,989	)
Safran SA		(1,773	)		(141,837	)		(20,759	)
SFR Group SA		(10,454	)		(341,967	)		(11,356	)
Vivendi SA		(29,438	)		(603,773	)		(51,737	)
Zodiac Aerospace		(13,250	)		(338,009	)		(21,972	)
								(282,440	)

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

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240

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg
Eurofins Scientific SE		(174	)	$	(81,610	)	$	(16,561	)
SES SA		(4,597	)		(103,630	)		(4,064	)
								(20,625	)
Total of Short Equity Positions								(303,065	)
Total of Long and Short Equity Positions								249,384
Net Cash and Other Receivables/ (Payables) (b)								39,429
Swaps, at Value							$	288,813

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

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

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Investment Companies		$130,926			$—		$130,926
BARC
Cash		—			5,547,041		5,547,041
CITI
Cash		(630,000	)		—		(630,000	)
Investment Companies		1,182,111			—		1,182,111
GSCO
Cash		—			1,540,453		1,540,453
GSIN
Cash		(1,580,000	)		—		(1,580,000	)
Investment Companies		31,752,997			—		31,752,997
JPMC
Investment Companies		2,800,000			—		2,800,000
JPMS
Cash		—			2,736,192		2,736,192
MSCL
Cash		—			375,004		375,004
MSCS
Cash		1,973,038			—		1,973,038

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

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241

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Cash		$(260,000	)		$—		$(260,000	)
Investment Companies		730,000			—		730,000
GSCO								��
Cash		—			184,807		184,807
GSIN
Cash		360,000			—		360,000
JPPC
Cash		—			569,775		569,775
MACQ
Cash		70,000			—		70,000
MSCL
Cash		—			1,096,150		1,096,150

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

BNPP - BNP Paribas

CITG - Citigroup Global Markets, Inc.

CITI - Citibank NA

CRSU - Credit Suisse Securities (USA) LLC

DTBK - Deutsche Bank AG

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MPFS - Merrill Lynch, Pierce, Fenner & Smith, Inc.

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

MSIP - Morgan Stanley & Co. International plc

SOCG - Societe Generale

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

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242

Statements of Assets and Liabilities June 30, 2017 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	597,841,482		$	1,222,890,148		$	24,861,980		$	3,295,386,552
Investments in securities of affiliated issuers, at cost		59,579,208			—			—			—
Investments in securities of controlled affiliated issuers, at cost		—			441,886,611			—		$	1,578,485,732
Investments in securities of unaffiliated issuers, at value	$	563,305,483		$	1,294,442,768		$	24,861,235		$	3,432,634,915
Investments in securities of affiliated issuers, at value		63,495,292			—			—			—
Investments in securities of controlled affiliated issuers, at value		—			441,851,625			—			1,578,485,732
Cash		202,431			9,264,420			24,943			41,615,624
Cash denominated in foreign currencies‡		1,373,622			1,433,631			14,392			4,978,714
Due from brokers		4,902,941			217,778,417			10,580			159,487,983
Unrealized appreciation on forward foreign currency exchange contracts		256,116			241,394			648,039			9,249,334
Unrealized appreciation on OTC swaps		8,909,527			12,387,201			35,112			54,489,260
Deposits with brokers for exchange-traded and centrally cleared derivatives		1,952,383			83			2,962,809			85,834,784
Variation margin on exchange-traded and centrally cleared derivatives		129,660			—			239,019			—
Receivables:
Securities sold		18,879,466			31,548,763			105,648			78,057,851
Foreign tax reclaims		51,364			810,766			—			1,801,791
Dividends and interest		1,612,662			870,764			8,482			1,752,799
Capital shares sold		661,881			9,953,693			9,117			38,528,513
Prepaid expenses		37,814			89,062			30,997			168,362
Total Assets		665,770,642			2,020,672,587			28,950,373			5,487,085,662
LIABILITIES:
Securities sold short, at value (proceeds $136,451,703, $383,766,007, $— and $973,790,507, respectively)		154,394,561			410,767,638			—			1,032,287,142
Due to brokers		3,895,477			—			7,385			37,824,996
Unrealized depreciation on forward foreign currency exchange contracts		511,960			1,423,256			526,977			3,976,755
Unrealized depreciation on OTC swaps		559,931			5,971,651			34,711			252,027
Variation margin on exchange-traded and centrally cleared derivatives		32,771			—			1,669			3,428,336
Payables:
Securities purchased		9,859,445			38,254,606			105,627			93,114,050
Accrued investment advisory fees		380,913			1,414,280			9,819			3,673,604
Accrued distribution fees—Class N		21,129			34,127			531			69,406
Accrued Trustee fees		100			—			—			—
Capital shares redeemed		393,603			3,798,141			—			6,096,114
Dividends and interest payable on securities sold short		198,705			349,909			—			890,365
Other accrued expenses and liabilities		437,540			496,607			99,551			997,301
Total Liabilities		170,686,135			462,510,215			786,270			1,182,610,096
Net Assets	$	495,084,507		$	1,558,162,372		$	28,164,103		$	4,304,475,566
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	802,397,418		$	1,510,287,972		$	30,105,971		$	4,020,716,755
Undistributed accumulated net investment income (loss)		(10,765,874	)		(51,966,812	)		75,922			(70,292,045	)
Undistributed accumulated net realized gain (loss)		(255,957,985	)		49,917,186			(931,208	)		233,399,258
Net unrealized appreciation (depreciation)		(40,589,052	)		49,924,026			(1,086,582	)		120,651,598
Net Assets	$	495,084,507		$	1,558,162,372		$	28,164,103		$	4,304,475,566
NET ASSETS:
Class I	$	384,115,631		$	1,195,283,460		$	21,191,773		$	3,297,034,355
Class N		103,545,211			165,606,620			2,785,703			343,667,826
Class R6		7,423,665			197,272,292			4,186,627			663,773,385
SHARES OUTSTANDING:
Class I		39,782,505			98,814,063			2,445,628			239,226,430
Class N		10,738,452			13,725,234			324,417			25,103,237
Class R6		770,026			16,294,011			482,768			48,065,908
NET ASSET VALUE:
Class I	$	9.66		$	12.10		$	8.67		$	13.78
Class N	$	9.64		$	12.07		$	8.59		$	13.69
Class R6	$	9.64		$	12.11		$	8.67		$	13.81
‡  Cash denominated in foreign currencies at cost	$	1,505,195		$	1,408,436		$	14,339		$	4,922,697

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

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

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243

Statements of Assets and Liabilities June 30, 2017 (Unaudited)

	AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**			AQR RISK PARITY FUND**		AQR RISK PARITY II HV FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	2,942,921,337		$	179,459,772		$	406,628,783	$	63,248,904
Investments in securities of controlled affiliated issuers, at cost		702,119,294			—			—		—
Investments in securities of unaffiliated issuers, at value	$	2,954,385,805		$	179,449,053		$	406,972,329	$	63,394,036
Investments in securities of controlled affiliated issuers, at value		702,086,313			—			—		—
Cash		11,667,783			378			1,343,637		210,170
Cash denominated in foreign currencies‡		19,516,327			—			1,017,000		21,350
Due from brokers		118,547,104			3,753,437			2,398,924		358,197
Unrealized appreciation on forward foreign currency exchange contracts		49,790,423			—			1,369,464		27,335
Unrealized appreciation on OTC swaps		63,606,872			467,569			1,025,561		179,681
Deposits with brokers for exchange-traded and centrally cleared derivatives		149,558,589			20,694,052			27,648,080		3,994,067
Variation margin on exchange-traded and centrally cleared derivatives		8,114,925			3,302,034			952,501		252,481
Receivables:
Securities sold		364,336,570			—			803,913		246,524
Foreign tax reclaims		395,397			—			—		—
Dividends and interest		6,294,805			58,333			347,099		63,827
Capital shares sold		2,801,009			826,029			60,919		140,017
Prepaid expenses		123,057			39,279			28,872		24,189
Total Assets		4,451,224,979			208,590,164			443,968,299		68,911,874
LIABILITIES:
Securities sold short, at value (proceeds $707,308,611, $—, $— and $—, respectively)		741,854,227			—			—		—
Options written, at value (proceeds $1,832,874, $—, $— and $—, respectively)		8,239,725			—			—		—
Reverse repurchase agreements, at value		—			—			—		11,552,700
Due to brokers		6,776,549			—			401,029		143,177
Unrealized depreciation on forward foreign currency exchange contracts		38,263,135			—			2,642,704		193,239
Unrealized depreciation on OTC swaps		20,013,716			3,682,890			942,838		209,442
Deposits from brokers for exchange-traded and centrally cleared derivatives		—			—			464,952		—
Variation margin on exchange-traded and centrally cleared derivatives		4,050,813			—			440,760		118,573
Payables:
Securities purchased		355,699,622			—			403,243		123,321
Accrued investment advisory fees		4,926,265			117,399			265,046		28,761
Accrued distribution fees—Class N		91,859			1,414			3,554		1,437
Capital shares redeemed		3,118,941			91,225			551,227		166,249
Dividends and interest payable on securities sold short		342,407			—			—		—
Interest payable for reverse repurchase agreements		—			—			—		8,970
Other accrued expenses and liabilities		1,493,550			131,241			317,735		112,227
Total Liabilities		1,184,870,809			4,024,169			6,433,088		12,658,096
Net Assets	$	3,266,354,170		$	204,565,995		$	437,535,211	$	56,253,778
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	3,394,439,644		$	213,291,598		$	418,456,008	$	54,876,853
Undistributed accumulated net investment income (loss)		(268,107,478	)		1,392,208			5,998,657		491,434
Undistributed accumulated net realized gain (loss)		125,206,845			(4,357,136	)		11,001,088		1,976,249
Net unrealized appreciation (depreciation)		14,815,159			(5,760,675	)		2,079,458		(1,090,758	)
Net Assets	$	3,266,354,170		$	204,565,995		$	437,535,211	$	56,253,778
NET ASSETS:
Class I	$	2,205,107,712		$	85,146,345		$	382,107,463	$	46,539,000
Class N		441,965,017			6,469,891			18,680,406		6,751,223
Class R6		619,281,441			112,949,759			36,747,342		2,963,555
SHARES OUTSTANDING:
Class I		232,732,850			14,201,028			38,705,000		5,359,936
Class N		46,935,772			1,092,099			1,898,070		777,712
Class R6		65,264,727			18,791,214			3,719,486		341,374
NET ASSET VALUE:
Class I	$	9.47		$	6.00		$	9.87	$	8.68
Class N	$	9.42		$	5.92		$	9.84	$	8.68
Class R6	$	9.49		$	6.01		$	9.88	$	8.68
‡  Cash denominated in foreign currencies at cost	$	19,442,659		$	—		$	1,067,823	$	21,661

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

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

AQR Funds Semi-Annual Report June 2017

244

Statements of Assets and Liabilities June 30, 2017 (Unaudited)

	AQR RISK PARITY II MV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	77,278,540		$	3,864,653,926		$	453,661,776
Investments in securities of controlled affiliated issuers, at cost		—			639,984,571			—
Investments in securities of unaffiliated issuers, at value	$	77,321,092		$	4,111,322,327		$	467,631,854
Investments in securities of controlled affiliated issuers, at value		—			639,944,381			—
Cash		56,359			8,078,017			197,752
Cash denominated in foreign currencies‡		102,758			7,278,439			769,441
Due from brokers		389,539			34,482,760			2,580,728
Unrealized appreciation on forward foreign currency exchange contracts		35,788			69,459,459			3,553,228
Unrealized appreciation on OTC swaps		180,851			29,218,647			1,752,360
Deposits with brokers for exchange-traded and centrally cleared derivatives		2,916,488			208,945,930			12,346,240
Variation margin on exchange-traded and centrally cleared derivatives		238,728			11,370,732			785,111
Receivables:
Securities sold		473,463			21,339,961			1,154,715
Foreign tax reclaims		—			3,229,521			132,782
Dividends and interest		65,104			2,026,667			220,711
Capital shares sold		—			13,398,246			430,884
Prepaid expenses		28,260			140,565			45,537
Total Assets		81,808,430			5,160,235,652			491,601,343
LIABILITIES:
Securities sold short, at value (proceeds $—, $991,567,006 and $56,333,041, respectively)		—			1,097,268,963			62,107,026
Due to brokers		12,915			48,007,659			2,470,065
Unrealized depreciation on forward foreign currency exchange contracts		179,465			41,403,081			2,073,866
Unrealized depreciation on OTC swaps		219,875			4,663,069			245,268
Deposits from brokers for exchange-traded and centrally cleared derivatives		110,822			1,035,658			—
Variation margin on exchange-traded and centrally cleared derivatives		117,263			1,953,910			451,723
Payables:
Securities purchased		157,930			21,303,577			1,154,647
Accrued investment advisory fees		35,171			4,342,020			221,140
Accrued distribution fees—Class N		846			36,645			7,127
Capital shares redeemed		180			2,748,289			207,645
Dividends and interest payable on securities sold short		—			1,006,314			55,120
Other accrued expenses and liabilities		117,238			1,313,146			241,185
Total Liabilities		951,705			1,225,082,331			69,234,812
Net Assets	$	80,856,725		$	3,935,153,321		$	422,366,531
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	79,246,315		$	3,926,260,481		$	419,085,907
Undistributed accumulated net investment income (loss)		447,614			(156,907,387	)		(5,891,041	)
Undistributed accumulated net realized gain (loss)		2,285,221			(36,345,373	)		(2,672,738	)
Net unrealized appreciation (depreciation)		(1,122,425	)		202,145,600			11,844,403
Net Assets	$	80,856,725		$	3,935,153,321		$	422,366,531
NET ASSETS:
Class I	$	76,326,977		$	2,435,458,715		$	289,447,120
Class N		3,912,016			174,206,693			34,181,944
Class R6		617,732			1,325,487,913			98,737,467
SHARES OUTSTANDING:
Class I		8,317,212			242,244,403			27,536,231
Class N		428,244			17,405,122			3,266,908
Class R6		67,336			131,535,100			9,374,443
NET ASSET VALUE:
Class I	$	9.18		$	10.05		$	10.51
Class N	$	9.14		$	10.01		$	10.46
Class R6	$	9.17		$	10.08		$	10.53
‡  Cash denominated in foreign currencies at cost	$	102,688		$	7,195,058		$	761,118

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

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

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245

Statements of Operations June 30, 2017 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers †	$	2,032,437		$	9,759,585		$	33,587		$	23,221,286
Controlled affiliated issuers		—			610,527			—			881,063
Interest income		3,259,444			1,051,563			44,392			4,325,150
Other income		—			—			19,000			—
Total Income		5,291,881			11,421,675			96,979			28,427,499
EXPENSES:
Investment advisory fees		2,398,190			7,213,919			168,236			18,368,866
Custody fees		32,129			12,433			13,415			43,643
Administration & accounting fees		48,055			188,933			4,320			460,433
Legal fees		17,990			10,048			1,218			16,750
Audit & tax fees		99,389			41,554			38,877			40,213
Shareholder reporting fees		29,908			68,988			1,718			164,797
Transfer agent fees		237,477			535,990			16,446			1,402,308
Trustee fees		9,728			19,312			3,359			41,761
Distribution fees—Class N		126,399			201,823			3,507			395,353
Dividends and interest on securities sold short (Note 4)		2,111,321			8,322,130			—			19,532,365
Recoupment of waiver		—			156,725			—			233,276
Registration fees		41,252			100,620			34,314			172,278
Pricing fee		121,213			11,159			28,228			11,212
Other expenses		8,636			20,234			1,474			45,282
Total Expenses		5,281,687			16,903,868			315,112			40,928,537
Less fee waivers and/or reimbursements		(173,144	)		—			(121,283	)		—
Net Expenses		5,108,543			16,903,868			193,829			40,928,537
Net Investment Income (Loss)		183,338			(5,482,193	)		(96,850	)		(12,501,038	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		25,573,452			14,939,698			23,352			23,404,219
Transactions in investment securities of affiliated issuers		(1,461,913	)		—			—			—
Transactions in investment securities of controlled affiliated issuers		—			(2,600	)		—			—
Foreign currency and foreign currency transactions		258,861			(427,826	)		41,575			(329,392	)
Forward foreign currency exchange contracts		203,958			(1,642,508	)		(262,683	)		17,367,994
Futures contracts		(2,945,798	)		313,840			(1,100,836	)		127,881,513
Securities sold short		(10,628,399	)		(24,095,288	)		—			(50,349,543	)
Swap contracts		4,705,720			71,753,064			1,013,379			69,558,060
Written options		51,447			—			—			—
Net realized gain (loss)		15,757,328			60,838,380			(285,213	)		187,532,851
Net change in unrealized appreciation (depreciation) on:
Transactions in investment securities of unaffiliated issuers		12,311,624			46,363,409			(2,110	)		107,200,235
Transactions in investment securities of affiliated issuers		4,654,630			—			—			—
Transactions in investment securities of controlled affiliated issuers		—			(34,986	)		—			—
Foreign currency and foreign currency translations		56,382			1,733,348			7,738			2,335,166
Forward foreign currency exchange contracts		(452,246	)		(1,860,419	)		150,078			11,167,947
Futures contracts		(96,116	)		—			(3,201	)		(20,675,059	)
Securities sold short		(13,595,856	)		(23,014,992	)		—			(58,849,419	)
Swap contracts		2,962,426			(65,099,691	)		(970,260	)		(47,033,555	)
Net change in unrealized appreciation (depreciation)		5,840,844			(41,913,331	)		(817,755	)		(5,854,685	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		21,598,172			18,925,049			(1,102,968	)		181,678,166
Net increase (decrease) in net assets resulting from operations	$	21,781,510		$	13,442,856		$	(1,199,818	)	$	169,177,128
†  Net of foreign taxes withheld of	$	3,050		$	1,208,097		$	—		$	2,822,373

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

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

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246

Statements of Operations June 30, 2017 (Unaudited)

	AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**			AQR RISK PARITY FUND**			AQR RISK PARITY II HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers †	$	16,855,877		$	276,946		$	482,050		$	64,545
Controlled affiliated issuers		1,018,129			—			—			—
Interest income		7,083,116			285,042			2,055,808			407,610
Other income		14,000			19,800			—			—
Total Income		24,971,122			581,788			2,537,858			472,155
EXPENSES:
Investment advisory fees		30,365,235			834,576			1,595,309			276,495
Custody fees		71,516			10,445			29,828			8,403
Administration & accounting fees		532,204			32,235			65,031			8,996
Legal fees		46,812			3,803			17,049			2,600
Audit & tax fees		116,602			60,058			70,349			62,745
Shareholder reporting fees		191,546			11,192			16,712			3,175
Transfer agent fees		1,353,771			58,024			177,678			28,733
Trustee fees		49,649			5,829			8,767			3,764
Distribution fees—Class N		572,481			9,532			19,024			8,707
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4)		5,157,746			—			—			51,305
Recoupment of waiver		118,664			—			—			—
Registration fees		114,865			36,650			34,569			33,626
Pricing fee		13,334			57			8,733			11
Other expenses		65,470			4,396			8,943			1,904
Total Expenses		38,769,895			1,066,797			2,051,992			490,464
Less fee waivers and/or reimbursements		—			(66,713	)		(50,775	)		(103,546	)
Net Expenses		38,769,895			1,000,084			2,001,217			386,918
Net Investment Income (Loss)		(13,798,773	)		(418,296	)		536,641			85,237
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		121,579,726			(3,755	)		(77,036	)		(52,235	)
Transactions in investment securities of controlled affiliated issuers		(33,910	)		—			—			—
Foreign currency and foreign currency transactions		(632,816	)		—			(137,257	)		3,739
Forward foreign currency exchange contracts		(41,477,208	)		—			3,041,475			(564,285	)
Futures contracts		(48,886,295	)		(4,871,142	)		9,170,889			2,317,715
Securities sold short		(60,063,303	)		—			—			—
Swap contracts		244,800,489			530,391			8,554,420			989,763
Written options		313,312			—			—			—
Net realized gain (loss)		215,599,995			(4,344,506	)		20,552,491			2,694,697
Net change in unrealized appreciation (depreciation) on:
Transactions in investment securities of unaffiliated issuers		(26,581,002	)		(13,199	)		3,111,628			706,469
Transactions in investment securities of controlled affiliated issuers		(32,981	)		—			—			—
Foreign currency and foreign currency translations		5,280,709			—			(589,872	)		5,363
Forward foreign currency exchange contracts		18,022,459			—			(2,994,645	)		(364,681	)
Futures contracts		(26,882,185	)		(450,892	)		(4,673,158	)		(1,255,566	)
Securities sold short		(27,727,410	)		—			—			—
Swap contracts		(147,550,471	)		(3,205,659	)		7,419,776			(174,171	)
Written options		(4,773,892	)		—			—			—
Net change in unrealized appreciation (depreciation)		(210,244,773	)		(3,669,750	)		2,273,729			(1,082,586	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		5,355,222			(8,014,256	)		22,826,220			1,612,111
Net increase (decrease) in net assets resulting from operations	$	(8,443,551	)	$	(8,432,552	)	$	23,362,861		$	1,697,348
†  Net of foreign taxes withheld of	$	464,987		$	—		$	20,134		$	61

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

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

AQR Funds Semi-Annual Report June 2017

247

Statements of Operations June 30, 2017 (Unaudited)

	AQR RISK PARITY II MV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	98,984		$	28,930,905		$	1,967,973
Controlled affiliated issuers		—			979,238			—
Interest income		403,903			3,064,366			382,136
Other income		—			18,000			—
Total Income		502,887			32,992,509			2,350,109
EXPENSES:
Investment advisory fees		310,303			26,593,006			1,294,437
Custody fees		9,247			46,231			9,361
Administration & accounting fees		13,121			598,084			60,650
Legal fees		3,910			41,448			1,317
Audit & tax fees		62,745			56,738			56,313
Shareholder reporting fees		4,509			213,027			21,509
Transfer agent fees		46,635			1,180,429			155,942
Trustee fees		4,133			55,134			8,229
Distribution fees—Class N		5,815			230,225			49,054
Dividends and interest on securities sold short (Note 4)		—			20,089,441			1,110,542
Registration fees		37,471			269,245			58,642
Pricing fee		11			11,044			11,040
Other expenses		2,375			69,054			7,638
Total Expenses		500,275			49,453,106			2,844,674
Less fee waivers and/or reimbursements		(103,270	)		(344,476	)		(40,972	)
Net Expenses		397,005			49,108,630			2,803,702
Net Investment Income (Loss)		105,882			(16,116,121	)		(453,593	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(49,594	)		22,397,876			967,802
Transactions in investment securities of controlled affiliated issuers		—			(20,671	)		—
Foreign currency and foreign currency transactions		9,662			1,499,647			65,283
Forward foreign currency exchange contracts		(519,847	)		(51,272,039	)		(2,594,175	)
Futures contracts		2,401,789			(56,708,032	)		(3,641,387	)
Securities sold short		—			(50,364,101	)		(3,081,210	)
Swap contracts		1,022,749			236,411,428			13,668,331
Net realized gain (loss)		2,864,759			101,944,108			5,384,644
Net change in unrealized appreciation (depreciation) on:
Transactions in investment securities of unaffiliated issuers		647,640			164,508,105			9,495,365
Transactions in investment securities of controlled affiliated issuers		—			(40,190	)		—
Foreign currency and foreign currency translations		3,940			(252,505	)		48,095
Forward foreign currency exchange contracts		(333,184	)		27,922,906			1,470,664
Futures contracts		(1,161,036	)		16,535,667			1,156,327
Securities sold short		—			(108,989,715	)		(5,876,429	)
Swap contracts		(187,506	)		(134,418,832	)		(7,386,557	)
Net change in unrealized appreciation (depreciation)		(1,030,146	)		(34,734,564	)		(1,092,535	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		1,834,613			67,209,544			4,292,109
Net increase (decrease) in net assets resulting from operations	$	1,940,495		$	51,093,423		$	3,838,516
†   Net of foreign taxes withheld of	$	90		$	3,658,975		$	171,653

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

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

AQR Funds Semi-Annual Report June 2017

248

Statements of Changes in Net Assets June 30, 2017

		AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
		FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
OPERATIONS:
Net investment income (loss)		$	183,338		$	4,324,396		$	(5,482,193	)	$	(9,725,321	)
Net realized gain (loss)			15,757,328			(54,241,603	)		60,838,380			(28,609,234	)
Net change in unrealized appreciation (depreciation)			5,840,844			79,131,274			(41,913,331	)		83,730,375
Net increase (decrease) in net assets resulting from operations			21,781,510			29,214,067			13,442,856			45,395,820
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I			—			(26,188,748	)		—			(11,191,080	)
Class N			—			(6,707,013	)		—			(1,759,993	)
Class R6			—			(340,939	)		—			(2,728,650	)
Total			—			(33,236,700	)		—			(15,679,723	)
Net realized gain:
Class I			—			—			—			(59,855	)
Class N			—			—			—			(12,009	)
Class R6			—			—			—			(14,027	)
Total			—			—			—			(85,891	)
Total distributions			—			(33,236,700	)		—			(15,765,614	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold			68,274,044			154,211,452			568,395,497			830,628,301
Reinvestment of distributions			—			16,337,336			—			8,810,805
Cost of shares redeemed			(61,137,266	)		(578,275,502	)		(173,473,715	)		(250,648,937	)
Net increase (decrease) from capital transactions			7,136,778			(407,726,714	)		394,921,782			588,790,169
CLASS N
Proceeds from shares sold			12,372,622			22,349,404			56,151,278			261,246,001
Reinvestment of distributions			—			6,680,121			—			1,715,084
Cost of shares redeemed			(14,195,779	)		(111,843,544	)		(46,166,493	)		(201,987,284	)
Net increase (decrease) from capital transactions			(1,823,157	)		(82,814,019	)		9,984,785			60,973,801
CLASS R6
Proceeds from shares sold	��		2,198,372			5,261,147			57,882,235			193,413,965
Reinvestment of distributions			—			340,939			—			1,292,551
Cost of shares redeemed			(226,247	)		(1,310,714	)		(40,120,287	)		(21,264,966	)
Net increase (decrease) from capital transactions			1,972,125			4,291,372			17,761,948			173,441,550
Net increase (decrease) in net assets resulting from capital transactions			7,285,746			(486,249,361	)		422,668,515			823,205,520
Total increase (decrease) in net assets			29,067,256			(490,271,994	)		436,111,371			852,835,726
NET ASSETS:
Beginning of period			466,017,251			956,289,245			1,122,051,001			269,215,275
End of period		$	495,084,507		$	466,017,251		$	1,558,162,372		$	1,122,051,001
Undistributed accumulated net investment income (loss)		$	(10,765,874	)	$	(10,949,212	)	$	(51,966,812	)	$	(46,484,619	)

The accompanying notes are an integral part of these financial statements. (continued on p. 250)

AQR Funds Semi-Annual Report June 2017

249

Statements of Changes in Net Assets June 30, 2017

	AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		39,012,519			83,828,615			66,027,774			15,613,151
Shares sold		7,255,251			16,606,801			47,215,638			71,219,176
Shares issued on reinvestment of distributions		—			1,793,341			—			740,404
Shares redeemed		(6,485,265	)		(63,216,238	)		(14,429,349	)		(21,544,957	)
Shares outstanding, end of period		39,782,505			39,012,519			98,814,063			66,027,774
CLASS N
Shares outstanding, beginning of period		10,932,154			19,881,331			12,899,700			7,826,988
Shares sold		1,316,136			2,425,460			4,668,465			22,415,067
Shares issued on reinvestment of distributions		—			733,273	��		—			144,246
Shares redeemed		(1,509,838	)		(12,107,910	)		(3,842,931	)		(17,486,601	)
Shares outstanding, end of period		10,738,452			10,932,154			13,725,234			12,899,700
CLASS R6
Shares outstanding, beginning of period		560,186			94,204			14,839,955			12,859
Shares sold		233,908			569,248			4,805,059			16,548,221
Shares issued on reinvestment of distributions		—			37,507			—			108,526
Shares redeemed		(24,068	)		(140,773	)		(3,351,003	)		(1,829,651	)
Shares outstanding, end of period		770,026			560,186			16,294,011			14,839,955

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

AQR Funds Semi-Annual Report June 2017

250

Statements of Changes in Net Assets June 30, 2017

	AQR GLOBAL MACRO FUND **						AQR LONG-SHORT EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
OPERATIONS:
Net investment income (loss)	$	(96,850	)	$	(445,659	)	$	(12,501,038	)	$	(15,756,874	)
Net realized gain (loss)		(285,213	)		1,091,247			187,532,851			75,392,875
Net change in unrealized appreciation (depreciation)		(817,755	)		(1,140,871	)		(5,854,685	)		114,669,664
Net increase (decrease) in net assets resulting from operations		(1,199,818	)		(495,283	)		169,177,128			174,305,665
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			—			—			(30,176,354	)
Class N		—			—			—			(4,706,896	)
Class R6		—			—			—			(7,848,604	)
Total		—			—			—			(42,731,854	)
Net realized gain:
Class I		—			(1,147,757	)		—			(18,662,428	)
Class N		—			(197,405	)		—			(3,169,455	)
Class R6		—			(249,638	)		—			(4,720,734	)
Total		—			(1,594,800	)		—			(26,552,617	)
Total distributions		—			(1,594,800	)		—			(69,284,471	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		6,185,991			12,508,088			1,630,647,086			1,714,249,271
Reinvestment of distributions		—			1,101,710			—			37,971,044
Cost of shares redeemed		(3,080,024	)		(24,519,868	)		(257,719,921	)		(485,335,729	)
Net increase (decrease) from capital transactions		3,105,967			(10,910,070	)		1,372,927,165			1,266,884,586
CLASS N
Proceeds from shares sold		486,189			6,267,519			147,906,130			289,678,694
Reinvestment of distributions		—			197,405			—			7,839,548
Cost of shares redeemed		(794,194	)		(23,859,907	)		(108,061,281	)		(111,888,155	)
Net increase (decrease) from capital transactions		(308,005	)		(17,394,983	)		39,844,849			185,630,087
CLASS R6
Proceeds from shares sold		4,390			5,440,435			215,020,141			456,865,260
Reinvestment of distributions		—			249,600			—			6,782,137
Cost of shares redeemed		(1,867	)		(1,126,806	)		(32,301,363	)		(40,383,757	)
Net increase (decrease) from capital transactions		2,523			4,563,229			182,718,778			423,263,640
Net increase (decrease) in net assets resulting from capital transactions		2,800,485			(23,741,824	)		1,595,490,792			1,875,778,313
Total increase (decrease) in net assets		1,600,667			(25,831,907	)		1,764,667,920			1,980,799,507
NET ASSETS:
Beginning of period		26,563,436			52,395,343			2,539,807,646			559,008,139
End of period	$	28,164,103		$	26,563,436		$	4,304,475,566		$	2,539,807,646
Undistributed accumulated net investment income (loss)	$	75,922		$	172,772		$	(70,292,045	)	$	(57,791,007	)

The accompanying notes are an integral part of these financial statements. (continued on p. 252

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Statements of Changes in Net Assets June 30, 2017

	AQR GLOBAL MACRO FUND **						AQR LONG-SHORT EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,093,720			3,276,016			137,770,452			37,352,680
Shares sold		700,500			1,295,462			120,563,806			136,071,032
Shares issued on reinvestment of distributions		—			120,274			—			2,911,890
Shares redeemed		(348,592	)		(2,598,032	)		(19,107,828	)		(38,565,150	)
Shares outstanding, end of period		2,445,628			2,093,720			239,226,430			137,770,452
CLASS N
Shares outstanding, beginning of period		357,773			2,181,378			22,112,585			7,468,130
Shares sold		55,987			653,532			11,031,323			23,006,638
Shares issued on reinvestment of distributions		—			21,717			—			604,437
Shares redeemed		(89,343	)		(2,498,854	)		(8,040,671	)		(8,966,620	)
Shares outstanding, end of period		324,417			357,773			25,103,237			22,112,585
CLASS R6
Shares outstanding, beginning of period		482,492			10,855			34,579,765			1,335,480
Shares sold		490			562,070			15,870,098			35,852,243
Shares issued on reinvestment of distributions		—			27,249			—			519,306
Shares redeemed		(214	)		(117,682	)		(2,383,955	)		(3,127,264	)
Shares outstanding, end of period		482,768			482,492			48,065,908			34,579,765

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

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

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Statements of Changes in Net Assets June 30, 2017

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
OPERATIONS:
Net investment income (loss)	$	(13,798,773	)	$	(37,816,221	)	$	(418,296	)	$	(1,064,934	)
Net realized gain (loss)		215,599,995			(9,526,359	)		(4,344,506	)		21,095,231
Net change in unrealized appreciation (depreciation)		(210,244,773	)		48,509,415			(3,669,750	)		1,495,116
Net increase (decrease) in net assets resulting from operations		(8,443,551	)		1,166,835			(8,432,552	)		21,525,413
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(20,956,045	)		—			(4,217,596	)
Class N		—			(4,106,578	)		—			(266,235	)
Class R6		—			(5,347,752	)		—			(4,773,617	)
Total		—			(30,410,375	)		—			(9,257,448	)
Net realized gain:
Class I		—			(39,203,993	)		—			—
Class N		—			(7,682,473	)		—			—
Class R6		—			(10,004,428	)		—			—
Total		—			(56,890,894	)		—			—
Total distributions		—			(87,301,269	)		—			(9,257,448	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		314,052,177			1,640,556,468			19,963,017			93,980,312
Reinvestment of distributions		—			41,668,005			—			3,133,938
Cost of shares redeemed		(509,042,601	)		(1,489,688,316	)		(25,120,222	)		(77,036,497	)
Net increase (decrease) from capital transactions		(194,990,424	)		192,536,157			(5,157,205	)		20,077,753
CLASS N
Proceeds from shares sold		39,130,614			472,919,773			2,282,685			6,991,689
Reinvestment of distributions		—			11,784,766			—			266,235
Cost of shares redeemed		(64,885,321	)		(107,164,483	)		(2,641,912	)		(2,231,532	)
Net increase (decrease) from capital transactions		(25,754,707	)		377,540,056			(359,227	)		5,026,392
CLASS R6
Proceeds from shares sold		80,409,821			693,614,602			17,215,023			65,280,626
Reinvestment of distributions		—			14,120,098			—			3,340,958
Cost of shares redeemed		(82,718,444	)		(182,572,738	)		(1,918,595	)		(5,301,531	)
Net increase (decrease) from capital transactions		(2,308,623	)		525,161,962			15,296,428			63,320,053
Net increase (decrease) in net assets resulting from capital transactions		(223,053,754	)		1,095,238,175			9,779,996			88,424,198
Total increase (decrease) in net assets		(231,497,305	)		1,009,103,741			1,347,444			100,692,163
NET ASSETS:
Beginning of period		3,497,851,475			2,488,747,734			203,218,551			102,526,388
End of period	$	3,266,354,170		$	3,497,851,475		$	204,565,995		$	203,218,551
Undistributed accumulated net investment income (loss)	$	(268,107,478	)	$	(254,308,705	)	$	1,392,208		$	1,810,504

The accompanying notes are an integral part of these financial statements. (continued on p. 254

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Statements of Changes in Net Assets June 30, 2017

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		253,175,292			234,044,091			15,023,251			12,690,552
Shares sold		32,849,749			170,130,941			3,101,147			15,068,409
Shares issued on reinvestment of distributions		—			4,363,142			—			502,234
Shares redeemed		(53,292,191	)		(155,362,882	)		(3,923,370	)		(13,237,944	)
Shares outstanding, end of period		232,732,850			253,175,292			14,201,028			15,023,251
CLASS N
Shares outstanding, beginning of period		49,655,549			10,628,943			1,167,206			374,027
Shares sold		4,122,718			49,000,755			360,351			1,101,418
Shares issued on reinvestment of distributions		—			1,240,502			—			43,150
Shares redeemed		(6,842,495	)		(11,214,651	)		(435,458	)		(351,389	)
Shares outstanding, end of period		46,935,772			49,655,549			1,092,099			1,167,206
CLASS R6
Shares outstanding, beginning of period		65,492,180			10,345,164			16,318,860			5,175,399
Shares sold		8,367,945			72,614,796			2,770,148			11,426,208
Shares issued on reinvestment of distributions		—			1,476,997			—			534,553
Shares redeemed		(8,595,398	)		(18,944,777	)		(297,794	)		(817,300	)
Shares outstanding, end of period		65,264,727			65,492,180			18,791,214			16,318,860

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

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

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Statements of Changes in Net Assets June 30, 2017

	AQR RISK PARITY FUND**						AQR RISK PARITY II HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
OPERATIONS:
Net investment income (loss)	$	536,641		$	(1,058,063	)	$	85,237		$	(151,494	)
Net realized gain (loss)		20,552,491			35,336,470			2,694,697			4,585,967
Net change in unrealized appreciation (depreciation)		2,273,729			11,516,218			(1,082,586	)		1,220,264
Net increase (decrease) in net assets resulting from operations		23,362,861			45,794,625			1,697,348			5,654,737
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(8,365,046	)		—			(627,027	)
Class N		—			(365,427	)		—			(70,031	)
Class R6		—			(825,764	)		—			(36,784	)
Total		—			(9,556,237	)		—			(733,842	)
Net realized gain:
Class I		—			(15,160,890	)		—			(1,299,453	)
Class N		—			(757,131	)		—			(179,001	)
Class R6		—			(1,446,368	)		—			(73,147	)
Total		—			(17,364,389	)		—			(1,551,601	)
Total distributions		—			(26,920,626	)		—			(2,285,443	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		48,710,869			86,230,896			9,741,947			26,776,206
Reinvestment of distributions		—			23,045,872			—			1,709,991
Cost of shares redeemed		(36,499,647	)		(274,300,216	)		(10,759,574	)		(26,035,541	)
Net increase (decrease) from capital transactions		12,211,222			(165,023,448	)		(1,017,627	)		2,450,656
CLASS N
Proceeds from shares sold		5,781,211			5,286,651			3,486,059			2,390,229
Reinvestment of distributions		—			1,106,497			—			248,801
Cost of shares redeemed		(4,879,889	)		(12,139,315	)		(3,496,230	)		(1,987,408	)
Net increase (decrease) from capital transactions		901,322			(5,746,167	)		(10,171	)		651,622
CLASS R6
Proceeds from shares sold		2,811,145			34,999,379			38,229			2,498,129
Reinvestment of distributions		—			2,272,132			—			106,924
Cost of shares redeemed		(2,100,000	)		(2,805,200	)		—			(2,326,557	)
Net increase (decrease) from capital transactions		711,145			34,466,311			38,229			278,496
Net increase (decrease) in net assets resulting from capital transactions		13,823,689			(136,303,304	)		(989,569	)		3,380,774
Total increase (decrease) in net assets		37,186,550			(117,429,305	)		707,779			6,750,068
NET ASSETS:
Beginning of period		400,348,661			517,777,966			55,545,999			48,795,931
End of period	$	437,535,211		$	400,348,661		$	56,253,778		$	55,545,999
Undistributed accumulated net investment income (loss)	$	5,998,657		$	5,462,016		$	491,434		$	406,197

The accompanying notes are an integral part of these financial statements. (continued on p. 256

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Statements of Changes in Net Assets June 30, 2017

	AQR RISK PARITY FUND**						AQR RISK PARITY II HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		37,411,773			54,203,404			5,479,411			5,250,810
Shares sold		5,020,465			8,965,775			1,112,400			3,133,414
Shares issued on reinvestment of distributions		—			2,491,445			—			206,023
Shares redeemed		(3,727,238	)		(28,248,851	)		(1,231,875	)		(3,110,836	)
Shares outstanding, end of period		38,705,000			37,411,773			5,359,936			5,479,411
CLASS N
Shares outstanding, beginning of period		1,827,019			2,424,293			780,920			704,394
Shares sold		580,438			551,916			397,858			281,645
Shares issued on reinvestment of distributions		—			119,751			—			29,940
Shares redeemed		(509,387	)		(1,268,941	)		(401,066	)		(235,059	)
Shares outstanding, end of period		1,898,070			1,827,019			777,712			780,920
CLASS R6
Shares outstanding, beginning of period		3,638,709			307,370			337,040			310,087
Shares sold		295,721			3,396,345			4,334			314,776
Shares issued on reinvestment of distributions		—			245,371			—			12,898
Shares redeemed		(214,944	)		(310,377	)		—			(300,721	)
Shares outstanding, end of period		3,719,486			3,638,709			341,374			337,040

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

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

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Statements of Changes in Net Assets June 30, 2017

	AQR RISK PARITY II MV FUND**						AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
OPERATIONS:
Net investment income (loss)	$	105,882		$	(222,445	)	$	(16,116,121	)	$	(38,653,409	)
Net realized gain (loss)		2,864,759			6,306,756			101,944,108			(224,319,004	)
Net change in unrealized appreciation (depreciation)		(1,030,146	)		1,833,527			(34,734,564	)		236,995,010
Net increase (decrease) in net assets resulting from operations		1,940,495			7,917,838			51,093,423			(25,977,403	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:		—			—			—			—
Class I		—			(727,667	)		—			(38,510,727	)
Class N		—			(38,536	)		—			(3,276,100	)
Class R6		—			(6,409	)		—			(22,466,055	)
Total		—			(772,612	)		—			(64,252,882	)
Net realized gain:
Class I		—			(2,123,563	)		—			—
Class N		—			(160,468	)		—			—
Class R6		—			(17,038	)		—			—
Total		—			(2,301,069	)		—			—
Total distributions		—			(3,073,681	)		—			(64,252,882	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		3,810,138			29,159,017			602,300,032			1,885,360,726
Reinvestment of distributions		—			2,671,414			—			33,715,714
Cost of shares redeemed		(8,163,769	)		(43,280,962	)		(458,649,220	)		(942,395,923	)
Net increase (decrease) from capital transactions		(4,353,631	)		(11,450,531	)		143,650,812			976,680,517
CLASS N
Proceeds from shares sold		135,938			5,931,482			29,352,725			235,255,329
Reinvestment of distributions		—			198,845			—			3,233,851
Cost of shares redeemed		(2,001,816	)		(5,128,783	)		(46,060,842	)		(136,383,628	)
Net increase (decrease) from capital transactions		(1,865,878	)		1,001,544			(16,708,117	)		102,105,552
CLASS R6
Proceeds from shares sold		—			467,405			239,960,311			1,144,901,288
Reinvestment of distributions		—			23,447			—			19,653,750
Cost of shares redeemed		(4,000	)		(5,000	)		(284,457,202	)		(180,244,147	)
Net increase (decrease) from capital transactions		(4,000	)		485,852			(44,496,891	)		984,310,891
Net increase (decrease) in net assets resulting from capital transactions		(6,223,509	)		(9,963,135	)		82,445,804			2,063,096,960
Total increase (decrease) in net assets		(4,283,014	)		(5,118,978	)		133,539,227			1,972,866,675
NET ASSETS:
Beginning of period		85,139,739			90,258,717			3,801,614,094			1,828,747,419
End of period	$	80,856,725		$	85,139,739		$	3,935,153,321		$	3,801,614,094
Undistributed accumulated net investment income (loss)	$	447,614		$	341,732		$	(156,907,387	)	$	(140,791,266	)

The accompanying notes are an integral part of these financial statements. (continued on p. 258

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Statements of Changes in Net Assets June 30, 2017

	AQR RISK PARITY II MV FUND**						AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		8,787,446			10,090,660			228,188,253			132,222,963
Shares sold		412,705			3,215,809			59,890,846			186,181,598
Shares issued on reinvestment of distributions		—			300,497			—			3,391,923
Shares redeemed		(882,939	)		(4,819,520	)		(45,834,696	)		(93,608,231	)
Shares outstanding, end of period		8,317,212			8,787,446			242,244,403			228,188,253
CLASS N
Shares outstanding, beginning of period		632,594			499,865			19,081,538			9,168,045
Shares sold		14,867			668,526			2,936,792			23,236,438
Shares issued on reinvestment of distributions		—			22,443			—			326,322
Shares redeemed		(219,217	)		(558,240	)		(4,613,208	)		(13,649,267	)
Shares outstanding, end of period		428,244			632,594			17,405,122			19,081,538
CLASS R6
Shares outstanding, beginning of period		67,769			11,671			135,855,853			38,861,071
Shares sold		—			54,018			23,931,213			112,887,115
Shares issued on reinvestment of distributions		—			2,640			—			1,975,251
Shares redeemed		(433	)		(560	)		(28,251,966	)		(17,867,584	)
Shares outstanding, end of period		67,336			67,769			131,535,100			135,855,853

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

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

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Statements of Changes in Net Assets June 30, 2017

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
OPERATIONS:
Net investment income (loss)	$	(453,593	)	$	(1,995,602	)
Net realized gain (loss)		5,384,644			(7,790,440	)
Net change in unrealized appreciation (depreciation)		(1,092,535	)		10,768,951
Net increase (decrease) in net assets resulting from operations		3,838,516			982,909
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:		—			—
Class I		—			(795,349	)
Class N		—			(118,822	)
Class R6		—			(249,839	)
Total		—			(1,164,010	)
Net realized gain:
Class I		—			(508,606	)
Class N		—			(75,984	)
Class R6		—			(159,765	)
Total		—			(744,355	)
Total distributions		—			(1,908,365	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		96,781,223			311,386,784
Reinvestment of distributions		—			1,291,847
Cost of shares redeemed		(61,386,832	)		(212,924,851	)
Net increase (decrease) from capital transactions		35,394,391			99,753,780
CLASS N
Proceeds from shares sold		5,579,362			46,356,991
Reinvestment of distributions		—			194,718
Cost of shares redeemed		(14,206,341	)		(17,229,454	)
Net increase (decrease) from capital transactions		(8,626,979	)		29,322,255
CLASS R6
Proceeds from shares sold		8,242,861			75,648,609
Reinvestment of distributions		—			409,604
Cost of shares redeemed		(1,062,929	)		(7,420,574	)
Net increase (decrease) from capital transactions		7,179,932			68,637,639
Net increase (decrease) in net assets resulting from capital transactions		33,947,344			197,713,674
Total increase (decrease) in net assets		37,785,860			196,788,218
NET ASSETS:
Beginning of period		384,580,671			187,792,453
End of period	$	422,366,531		$	384,580,671
Undistributed accumulated net investment income (loss)	$	(5,891,041	)	$	(5,437,448	)

The accompanying notes are an integral part of these financial statements. (continued on p. 260

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259

Statements of Changes in Net Assets June 30, 2017

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		24,164,696			14,645,410
Shares sold		9,240,313			29,820,289
Shares issued on reinvestment of distributions		—			123,977
Shares redeemed		(5,868,778	)		(20,424,980	)
Shares outstanding, end of period		27,536,231			24,164,696
CLASS N
Shares outstanding, beginning of period		4,098,530			1,294,548
Shares sold		534,704			4,443,549
Shares issued on reinvestment of distributions		—			18,759
Shares redeemed		(1,366,326	)		(1,658,326	)
Shares outstanding, end of period		3,266,908			4,098,530
CLASS R6
Shares outstanding, beginning of period		8,688,585			2,132,230
Shares sold		786,743			7,229,751
Shares issued on reinvestment of distributions		—			39,272
Shares redeemed		(100,885	)		(712,668	)
Shares outstanding, end of period		9,374,443			8,688,585

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

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

AQR Funds Semi-Annual Report June 2017

260

Statements of Cash Flows June 30, 2017 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR LONG-SHORT EQUITY FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	21,781,510		$	13,442,856		$	169,177,128
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		(390,287,720	)		(231,278,637	)		(680,653,424	)
Payments to cover short securities		(115,215,489	)		(202,088,320	)		(458,038,857	)
Proceeds from securities sold short		61,365,289			257,999,630			727,900,166
Proceeds from sale of securities		491,438,327			156,064,901			331,925,595
Proceeds from written options		51,447			—			—
(Purchases) sales of short-term investments, net		(69,076,078	)		(259,099,316	)		(1,528,968,857	)
Realized (gain) loss on investments in securities		(24,111,539	)		(14,937,098	)		(23,404,219	)
Realized (gain) loss on securities sold short		10,628,399			24,095,288			50,349,543
Realized (gain) loss on written options		(51,447	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		(16,966,254	)		(46,328,423	)		(107,200,235	)
Change in unrealized (appreciation) depreciation on securities sold short		13,595,856			23,014,992			58,849,419
Amortization (accretion) of bond premium (discount)		(365,944	)		(1,051,563	)		(4,325,150	)
(Increases) decreases in operating assets:
Due from brokers		17,810,062			(216,147,551	)		(142,065,922	)
Unrealized appreciation on forward foreign currency exchange contracts		(55,621	)		479,475			(9,037,877	)
Unrealized appreciation on OTC swaps		(2,598,141	)		60,137,493			49,932,317
Deposits with brokers for exchange-traded and centrally cleared derivatives		658,876			(83	)		(30,296,517	)
Variation margin on exchange-traded and centrally cleared derivatives		(12,843	)		—			—
Receivable for securities sold		(17,379,980	)		11,154,619			84,356,339
Foreign tax reclaim		10,325			(604,834	)		(1,476,944	)
Dividends and interest		117,654			(495,939	)		(1,126,018	)
Prepaid expenses		5,843			730			(32,319	)
Increases (decreases) in operating liabilities
Due to broker		3,895,477			(1,630,000	)		37,824,996
Unrealized depreciation on forward foreign currency exchange contracts		507,867			1,380,944			(2,130,070	)
Unrealized depreciation on OTC swaps		54,477			4,962,198			(2,898,762	)
Variation margin on exchange-traded and centrally cleared derivatives		29,473			—			640,826
Payable for securities purchased		6,993,381			2,507,786			(53,272,763	)
Accrued investment advisory fees		(23,119	)		435,743			1,520,946
Accrued distribution fees—Class N		(753	)		2,861			13,762
Accrued Trustees fees		85			(14	)		—
Dividends and Interest payable on securities sold short and reverse repurchase agreements		(31,778	)		151,866			578,641
Other accrued expenses and liabilities		59,045			135,589			358,871
Net cash provided by (used in) operating activities	$	(7,173,313	)	$	(417,694,807	)	$	(1,531,499,385	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		83,318,573			682,378,604			1,974,618,363
Payments on shares redeemed		(76,271,434	)		(259,781,345	)		(399,206,865	)
Net cash provided by (used in) financing activities	$	7,047,139		$	422,597,259		$	1,575,411,498
Net change in cash and cash denominated in foreign currencies		(126,174	)		4,902,452			43,912,113
Cash, beginning of period		1,702,227			5,795,599			2,682,225
Cash, end of period	$	1,576,053		$	10,698,051		$	46,594,338

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $801,500, $1,467,360 and $3,162,186, respectively.

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

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261

Statements of Cash Flows June 30, 2017 (Unaudited)

	AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK PARITY II HV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(8,443,551	)	$	1,697,348		$	51,093,423
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		(1,236,127,125	)		(6,562,187	)		(249,543,047	)
Payments to cover short securities		(1,149,598,160	)		—			(350,448,743	)
Proceeds from securities sold short		919,585,210			—			265,367,554
Proceeds from sale of securities		1,645,249,946			8,289,322			365,083,270
(Purchases) sales of short-term investments, net		(852,309,390	)		(3,288,293	)		(366,684,865	)
Realized (gain) loss on investments in securities		(121,545,816	)		52,235			(22,377,205	)
Realized (gain) loss on securities sold short		60,063,303			—			50,364,101
Realized (gain) loss on written options		(313,312	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		26,613,983			(706,469	)		(164,467,915	)
Change in unrealized (appreciation) depreciation on securities sold short		27,727,410			—			108,989,715
Change in unrealized (appreciation) depreciation on written options		4,773,892			—			—
Amortization (accretion) of bond premium (discount)		(670,332	)		(174,126	)		(3,080,564	)
(Increases) decreases in operating assets:
Due from brokers		779,277,092			13,267			69,994,434
Repurchase Agreements		—			3,279,000			—
Unrealized appreciation on forward foreign currency exchange contracts		(15,762,176	)		172,101			(35,695,441	)
Unrealized appreciation on OTC swaps		150,216,658			101,586			159,529,374
Deposits with brokers for exchange-traded and centrally cleared derivatives		(22,113,319	)		326,617			14,098,708
Variation margin on exchange-traded and centrally cleared derivatives		2,002,457			(75,278	)		(4,518,625	)
Receivable for securities sold		(174,589,375	)		(226,513	)		82,003,278
Foreign tax reclaim		276,796			—			(1,269,620	)
Dividends and interest		(874,686	)		2,341			(513,598	)
Prepaid expenses		9,769			13,259			165,956
Increases (decreases) in operating liabilities
Due to broker		(2,248,718	)		57,964			42,681,236
Unrealized depreciation on forward foreign currency exchange contracts		(2,260,283	)		192,580			7,772,535
Unrealized depreciation on OTC swaps		(2,943,447	)		72,585			(25,110,542	)
Deposits from brokers for exchange-traded and centrally cleared derivatives		(393,510	)		—			662,922
Variation margin on exchange-traded and centrally cleared derivatives		2,612,999			(94,195	)		(2,459,756	)
Payable for securities purchased		161,953,306			103,307			(102,895,032	)
Accrued investment advisory fees		(437,754	)		11,263			219,734
Accrued distribution fees—Class N		(8,275	)		148			(3,691	)
Accrued Trustees fees		(76	)		(2	)		(66	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		(581,373	)		—			67,122
Interest payable for reverse repurchase agreements		—			(548	)		—
Other accrued expenses and liabilities		192,568			36,964			78,387
Net cash provided by (used in) operating activities	$	189,334,711		$	3,294,276		$	(110,896,961	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		434,603,302			13,126,947			871,255,142
Net change in reverse repurchase agreements		—			(2,107,887	)		—
Payments on shares redeemed		(662,210,567	)		(14,099,885	)		(793,619,967	)
Net cash provided by (used in) financing activities	$	(227,607,265	)	$	(3,080,825	)	$	77,635,175
Net change in cash and cash denominated in foreign currencies		(38,272,554	)		213,451			(33,261,786	)
Cash, beginning of period		69,456,664			18,069			48,618,242
Cash, end of period	$	31,184,110		$	231,520		$	15,356,456

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $504,250, $51,305 and $4,701,142, respectively.

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

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

AQR Funds Semi-Annual Report June 2017

262

Statements of Cash Flows June 30, 2017 (Unaudited)

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase(decrease) in net assets resulting from operations	$	3,838,516
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		(12,171,035	)
Payments to cover short securities		(21,172,529	)
Proceeds from securities sold short		15,954,759
Proceeds from sale of securities		18,384,499
(Purchases) sales of short-term investments, net		(47,801,042	)
Realized (gain) loss on investments in securities		(967,802	)
Realized (gain) loss on securities sold short		3,081,210
Change in unrealized (appreciation) depreciation on investments in securities		(9,495,365	)
Change in unrealized (appreciation) depreciation on securities sold short		5,876,429
Amortization (accretion) of bond premium (discount)		(382,511	)
(Increases) decreases in operating assets:
Due from brokers		2,155,599
Unrealized appreciation on forward foreign currency exchange contracts		(1,599,388	)
Unrealized appreciation on OTC swaps		8,533,628
Deposits with brokers for exchange-traded and centrally cleared derivatives		461,559
Variation margin on exchange-traded and centrally cleared derivatives		(352,270	)
Receivable for securities sold		4,790,524
Foreign tax reclaim		(61,194	)
Dividends and interest		(86,630	)
Prepaid expenses		18,917
Increases (decreases) in operating liabilities
Due to broker		2,005,083
Unrealized depreciation on forward foreign currency exchange contracts		128,724
Unrealized depreciation on OTC swaps		(1,147,071	)
Variation margin on exchange-traded and centrally cleared derivatives		201,893
Payable for securities purchased		(5,054,427	)
Accrued investment advisory fees		13,010
Accrued distribution fees—Class N		(1,783	)
Accrued Trustees fees		(5	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		201
Other accrued expenses and liabilities		52,213
Net cash provided by (used in) operating activities	$	(34,796,288	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		110,981,906
Payments on shares redeemed		(76,565,990	)
Net cash provided by (used in) financing activities	$	34,415,916
Net change in cash and cash denominated in foreign currencies		(380,372	)
Cash, beginning of period		1,347,565
Cash, end of period	$	967,193

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $267,844.

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

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

AQR Funds Semi-Annual Report June 2017

263

Financial Highlights June 30, 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			Return of Capital			Total Distributions
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.23		0.01			0.42			0.43			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.21		0.07			0.61			0.68			(0.66	)		—			—			(0.66	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		0.07			(0.55	)		(0.48	)		(0.45	)		—			—			(0.45	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.91		0.23			(0.80	)		(0.57	)		(0.20	)		—			—			(0.20	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.05		0.17			0.02			0.19			(0.18	)		(0.06	)		(0.09	)		(0.33	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.89		0.10	6		0.24			0.34			(0.13	)		(0.05	)		—			(0.18	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.23		(0.01	)		0.42			0.41			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.21		0.05			0.60			0.65			(0.63	)		—			—			(0.63	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.10		0.03			(0.51	)		(0.48	)		(0.41	)		—			—			(0.41	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.87		0.21			(0.81	)		(0.60	)		(0.17	)		—			—			(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.01		0.13			0.04			0.17			(0.16	)		(0.06	)		(0.09	)		(0.31	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.85		0.06	6		0.24			0.30			(0.09	)		(0.05	)		—			(0.14	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.21		0.01			0.42			0.43			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.20		0.12			0.56		��	0.68			(0.67	)		—			—			(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.13		0.09			(0.55	)		(0.46	)		(0.47	)		—			—			(0.47	)
FOR THE PERIOD 9/02/147—12/31/14		$11.00		0.16			(0.82	)		(0.66	)		(0.21	)		—			—			(0.21	)
AQR EQUITY MARKET NEUTRAL FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$11.97		(0.05	)		0.18			0.13			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.48		(0.13	)		0.80			0.67			(0.18	)		(0.00	)8		—			(0.18	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.15	)		1.91			1.76			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)8		(0.59	)
AQR EQUITY MARKET NEUTRAL FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$11.95		(0.07	)		0.19			0.12			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.47		(0.15	)		0.77			0.62			(0.14	)		(0.00	)8		—			(0.14	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.19	)		1.94			1.75			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.03	)		0.62			0.59			(0.58	)		—			(0.00	)8		(0.58	)
AQR EQUITY MARKET NEUTRAL FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$11.97		(0.05	)		0.19			0.14			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.49		(0.14	)		0.81			0.67			(0.19	)		(0.00	)8		—			(0.19	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.13	)		1.90			1.77			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/1410—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)8		(0.59	)
AQR GLOBAL MACRO FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.06		(0.03	)		(0.36	)		(0.39	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.11	)		0.12	11		0.01			—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.15	)		0.32			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/1410—12/31/14		$10.00		(0.10	)		0.06			(0.04	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$8.99		(0.05	)		(0.35	)		(0.40	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.55		(0.13	)		0.12	11		(0.01	)		—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.92		(0.16	)		0.30			0.14			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/1410—12/31/14		$10.00		(0.12	)		0.06			(0.06	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.07		(0.03	)		(0.37	)		(0.40	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.10	)		0.12	11		0.02			—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.14	)		0.31			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 9/02/147—12/31/14		$9.72		(0.04	)		0.28			0.24			—			(0.02	)		—			(0.02	)

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

AQR Funds Semi-Annual Report June 2017

264

Financial Highlights June 30, 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
	$9.66		4.55	%		$384,116		2.15	%		2.08	%		1.20	%		0.13	%		114	%
	$9.23		7.51	%		$359,989		2.36	%		2.27	%		1.20	%		0.78	%		277	%
	$9.21		(4.67	)%		$772,394		2.44	%		2.42	%		1.19	%		0.71	%		249	%
	$10.14		(5.25	)%		$1,546,685		1.88	%		1.88	%		1.20	%		2.07	%		380	%
	$10.91		1.75	%		$1,876,481		1.64	%		1.64	%		1.20	%		1.52	%		349	%
	$11.05		3.13	%		$1,752,724		2.32	%		2.30	%		1.21	%		0.88	%6		312	%
	$9.64		4.44	%		$103,545		2.40	%		2.33	%		1.45	%		(0.13	)%		114	%
	$9.23		7.15	%		$100,869		2.61	%		2.52	%		1.44	%		0.53	%		277	%
	$9.21		(4.75	)%		$183,029		2.69	%		2.67	%		1.45	%		0.32	%		249	%
	$10.10		(5.51	)%		$678,528		2.12	%		2.12	%		1.44	%		1.99	%		380	%
	$10.87		1.51	%		$836,355		1.88	%		1.88	%		1.44	%		1.21	%		349	%
	$11.01		2.83	%		$761,371		2.62	%		2.62	%		1.52	%		0.57	%6		312	%
	$9.64		4.67	%		$7,424		2.05	%		1.98	%		1.10	%		0.26	%		114	%
	$9.21		7.52	%		$5,159		2.27	%		2.18	%		1.10	%		1.26	%		277	%
	$9.20		(4.55	)%		$866		2.36	%		2.33	%		1.10	%		0.92	%		249	%
	$10.13		(5.99	)%		$94		1.94	%		1.94	%		1.10	%		4.69	%		380	%
	$12.10		1.09	%		$1,195,283		2.56	%		2.56	%		1.29	%		(0.79	)%		103	%
	$11.97		5.85	%		$790,179		2.13	%		2.13	%		1.28	%		(1.15	)%		227	%
	$11.48		17.60	%		$179,312		2.17	%9		1.90	%		1.25	%		(1.36	)%		383	%
	$10.01		5.93	%		$1,445		4.57	%9		1.63	%		1.30	%		(1.04	)%		152	%
	$12.07		1.00	%		$165,607		2.82	%		2.82	%		1.55	%		(1.15	)%		103	%
	$11.95		5.43	%		$154,189		2.40	%		2.40	%		1.55	%		(1.27	)%		227	%
	$11.47		17.43	%		$89,755		2.41	%9		2.16	%		1.51	%		(1.69	)%		383	%
	$10.01		5.88	%		$1,233		4.83	%9		1.88	%		1.55	%		(1.29	)%		152	%
	$12.11		1.17	%		$197,272		2.47	%		2.47	%		1.20	%		(0.82	)%		103	%
	$11.97		5.82	%		$177,683		2.05	%		2.05	%		1.20	%		(1.22	)%		227	%
	$11.49		17.72	%		$148		3.05	%9		1.85	%		1.20	%		(1.26	)%		383	%
	$10.01		5.95	%		$3,210		4.49	%9		1.53	%		1.20	%		(0.95	)%		152	%
	$8.67		(4.30	)%		$21,192		2.32	%		1.42	%		1.42	%		(0.68	)%		0	%
	$9.06		0.02	%		$18,972		1.98	%		1.41	%		1.41	%		(1.12	)%		0	%
	$9.60		1.71	%		$31,453		1.78	%9		1.38	%		1.38	%		(1.45	)%		0	%
	$9.94		(0.42	)%		$35,466		2.24	%9		1.45	%		1.45	%		(1.44	)%		0	%
	$8.59		(4.45	)%		$2,786		2.60	%		1.70	%		1.70	%		(1.07	)%		0	%
	$8.99		(0.19	)%		$3,217		2.17	%		1.65	%		1.65	%		(1.35	)%		0	%
	$9.55		1.41	%		$20,838		1.88	%9		1.70	%		1.70	%		(1.56	)%		0	%
	$9.92		(0.62	)%		$1,050		2.49	%9		1.70	%		1.70	%		(1.69	)%		0	%
	$8.67		(4.41	)%		$4,186		2.25	%		1.35	%		1.35	%		(0.65	)%		0	%
	$9.07		0.14	%		$4,374		1.95	%		1.35	%		1.35	%		(1.09	)%		0	%
	$9.60		1.71	%		$104		1.72	%9		1.35	%		1.35	%		(1.41	)%		0	%
	$9.94		2.45	%		$102		2.02	%9		1.35	%		1.35	%		(1.37	)%		0	%

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

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Financial Highlights June 30, 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			Return of Capital			Total Distributions
AQR LONG-SHORT EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$13.07		(0.05	)		0.76		0.71			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.12		(0.14	)		1.48		1.34			(0.24	)		(0.15	)		—			(0.39	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15	)		2.00		1.85			(0.58	)		(0.02	)		—			(0.60	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.14	)		1.67		1.53			(0.74	)		(0.10	)		(0.03	)		(0.87	)
FOR THE PERIOD 7/16/1310—12/31/13		$10.00		(0.06	)		1.17		1.11			(0.67	)		(0.23	)		—			(0.90	)
AQR LONG-SHORT EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$13.00		(0.08	)		0.77		0.69			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.07		(0.17	)		1.47		1.30			(0.22	)		(0.15	)		—			(0.37	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.84		(0.19	)		2.01		1.82			(0.57	)		(0.02	)		—			(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.20	)		1.70		1.50			(0.74	)		(0.10	)		(0.03	)		(0.87	)
FOR THE PERIOD 7/16/1310—12/31/13		$10.00		(0.07	)		1.17		1.10			(0.66	)		(0.23	)		—			(0.89	)
AQR LONG-SHORT EQUITY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$13.08		(0.05	)		0.78		0.73			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.13		(0.14	)		1.49		1.35			(0.25	)		(0.15	)		—			(0.40	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15	)		2.02		1.87			(0.59	)		(0.02	)		—			(0.61	)
FOR THE PERIOD 9/02/147—12/31/14		$11.05		(0.08	)		0.78		0.70			(0.75	)		(0.10	)		(0.03	)		(0.88	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.50		(0.04	)		0.01		(0.03	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.76		(0.11	)		0.09		(0.02	)		(0.08	)		(0.16	)		—			(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.76		(0.15	)		1.05		0.90			(0.74	)		(0.16	)		—			(0.90	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.78		(0.14	)		0.85		0.71			(0.73	)		—			—			(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.90		(0.17	)		0.61		0.44			(0.44	)		(0.12	)		—			(0.56	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.70		(0.17	)		0.40		0.23			(0.01	)		(0.02	)		—			(0.03	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.45		(0.05	)		0.02		(0.03	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.74		(0.13	)		0.08		(0.05	)		(0.08	)		(0.16	)		—			(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.74		(0.17	)		1.05		0.88			(0.72	)		(0.16	)		—			(0.88	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.76		(0.17	)		0.85		0.68			(0.70	)		—			—			(0.70	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.89		(0.20	)		0.61		0.41			(0.42	)		(0.12	)		—			(0.54	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.69		(0.23	)		0.45		0.22			—			(0.02	)		—			(0.02	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.51		(0.03	)		0.01		(0.02	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.76		(0.09	)		0.08		(0.01	)		(0.08	)		(0.16	)		—			(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.75		(0.13	)		1.05		0.92			(0.75	)		(0.16	)		—			(0.91	)
FOR THE PERIOD 9/02/147—12/31/14		$9.88		(0.11	)		0.71		0.60			(0.73	)		—			—			(0.73	)

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

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Financial Highlights June 30, 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
	$13.78		5.43	%		$3,297,034		2.44	%		2.44	%		1.27	%		(0.72	)%		116	%
	$13.07		11.09	%		$1,799,994		1.99	%		1.99	%		1.28	%		(1.12	)%		247	%
	$12.12		17.04	%		$452,667		1.86	%		1.81	%		1.27	%		(1.28	)%		303	%
	$10.87		14.91	%		$43,667		2.34	%		1.30	%		1.30	%		(1.26	)%		0	%
	$10.21		11.17	%		$5,246		3.56	%9		1.30	%		1.30	%		(1.29	)%		0	%
	$13.69		5.31	%		$343,668		2.71	%		2.71	%		1.54	%		(1.13	)%		116	%
	$13.00		10.80	%		$287,362		2.25	%		2.25	%		1.54	%		(1.39	)%		247	%
	$12.07		16.79	%		$90,141		2.12	%		2.07	%		1.53	%		(1.58	)%		303	%
	$10.84		14.55	%		$10,688		2.46	%		1.55	%		1.55	%		(1.81	)%		0	%
	$10.21		11.04	%		$910		5.49	%9		1.55	%		1.55	%		(1.54	)%		0	%
	$13.81		5.58	%		$663,774		2.33	%		2.33	%		1.16	%		(0.67	)%		116	%
	$13.08		11.13	%		$452,452		1.90	%		1.90	%		1.19	%		(1.07	)%		247	%
	$12.13		17.16	%		$16,200		1.77	%		1.74	%		1.20	%		(1.21	)%		303	%
	$10.87		6.19	%		$427		1.99	%		1.20	%		1.20	%		(2.21	)%		0	%
	$9.47		(0.21	)%		$2,205,108		2.28	%		2.28	%		1.98	%		(0.80	)%		202	%
	$9.50		(0.20	)%		$2,405,511		2.47	%		2.47	%		1.97	%		(1.10	)%		261	%
	$9.76		9.25	%		$2,284,285		2.41	%		2.41	%		1.97	%		(1.44	)%		208	%
	$9.76		7.31	%		$1,443,799		3.67	%		3.65	%		1.98	%		(1.46	)%		204	%
	$9.78		4.46	%		$1,453,977		3.37	%		3.34	%		1.98	%		(1.67	)%		137	%
	$9.90		2.36	%		$808,262		3.60	%		3.52	%		1.98	%		(1.73	)%		208	%
	$9.42		(0.32	)%		$441,965		2.54	%		2.54	%		2.23	%		(1.07	)%		202	%
	$9.45		(0.51	)%		$469,478		2.73	%		2.73	%		2.23	%		(1.31	)%		261	%
	$9.74		9.02	%		$103,504		2.68	%		2.67	%		2.23	%		(1.66	)%		208	%
	$9.74		7.03	%		$84,480		3.96	%		3.91	%		2.23	%		(1.75	)%		204	%
	$9.76		4.16	%		$74,641		3.66	%		3.59	%		2.23	%		(1.95	)%		137	%
	$9.89		2.22	%		$43,104		3.93	%		3.76	%		2.23	%		(2.32	)%		208	%
	$9.49		(0.21	)%		$619,281		2.18	%		2.18	%		1.87	%		(0.71	)%		202	%
	$9.51		(0.10	)%		$622,862		2.38	%		2.38	%		1.88	%		(0.94	)%		261	%
	$9.76		9.44	%		$100,959		2.33	%		2.32	%		1.88	%		(1.29	)%		208	%
	$9.75		6.19	%		$35,228		3.21	%		3.14	%		1.88	%		(3.41	)%		204	%

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

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Financial Highlights June 30, 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			Return of Capital		Total Distributions
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$6.25		(0.01	)		(0.24	)		(0.25	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.62		(0.04	)		0.97			0.93			(0.30	)		—			—		(0.30	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.98		(0.05	)		(1.31	)		(1.36	)		—			—		��	—		—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.29		(0.08	)		(1.23	)		(1.31	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.87		(0.09	)		(1.49	)		(1.58	)		—			—			—		—
FOR THE PERIOD 7/09/1210—12/31/12		$10.00		(0.05	)		(0.08	)		(0.13	)		—			—			—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$6.18		(0.02	)		(0.24	)		(0.26	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.57		(0.06	)		0.96			0.90			(0.29	)		—			—		(0.29	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.94		(0.08	)		(1.29	)		(1.37	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.27		(0.11	)		(1.22	)		(1.33	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.86		(0.11	)		(1.48	)		(1.59	)		—			—			—		—
FOR THE PERIOD 7/09/1210—12/31/12		$10.00		(0.06	)		(0.08	)		(0.14	)		—			—			—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$6.26		(0.01	)		(0.24	)		(0.25	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.63		(0.04	)		0.97			0.93			(0.30	)		—			—		(0.30	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.99		(0.05	)		(1.31	)		(1.36	)		—			—			—		—
FOR THE PERIOD 9/02/147—12/31/14		$8.60		(0.02	)		(1.59	)		(1.61	)		—			—			—		—
AQR RISK PARITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.34		0.01			0.52			0.53			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.09		(0.02	)		0.94			0.92			(0.24	)		(0.43	)		—		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.07	)		(0.75	)		(0.82	)		—			(0.23	)		—		(0.23	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.77		(0.04	)		0.81			0.77			(0.30	)		(1.10	)		—		(1.40	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.49		(0.07	)		0.08	11		0.01			(0.27	)		(0.46	)		—		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.62		—			1.49			1.49			(0.14	)		(0.48	)		—		(0.62	)
AQR RISK PARITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.32		(0.00	)8		0.52			0.52			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.08		(0.04	)		0.92			0.88			(0.21	)		(0.43	)		—		(0.64	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.10	)		(0.73	)		(0.83	)		—			(0.23	)		—		(0.23	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.76		(0.07	)		0.80			0.73			(0.25	)		(1.10	)		—		(1.35	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.47		(0.11	)		0.08	11		(0.03	)		(0.22	)		(0.46	)		—		(0.68	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.59		(0.03	)		1.50			1.47			(0.11	)		(0.48	)		—		(0.59	)
AQR RISK PARITY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.34		0.02			0.52			0.54			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.10		(0.04	)		0.95			0.91			(0.24	)		(0.43	)		—		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.04	)		(0.77	)		(0.81	)		—			(0.23	)		—		(0.23	)
FOR THE PERIOD 9/02/147—12/31/14		$12.01		(0.04	)		(0.43	)11		(0.47	)		(0.30	)		(1.10	)		—		(1.40	)

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

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Financial Highlights June 30, 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
	$6.00		(4.00	)%		$85,146		1.07	%		1.00	%		1.00	%		(0.42	)%		0	%
	$6.25		16.58	%		$93,849		1.04	%		0.96	%		0.96	%		(0.65	)%		0	%
	$5.62		(19.48	)%		$71,321		1.14	%		0.94	%		0.94	%		(0.88	)%		0	%
	$6.98		(15.80	)%		$46,443		1.34	%		1.01	%		1.01	%		(1.00	)%		0	%
	$8.29		(16.01	)%		$28,375		1.32	%		1.05	%		1.05	%		(1.05	)%		0	%
	$9.87		(1.30	)%		$63,331		1.72	%		1.05	%		1.05	%		(1.04	)%		0	%
	$5.92		(4.21	)%		$6,470		1.32	%		1.25	%		1.25	%		(0.72	)%		0	%
	$6.18		16.16	%		$7,214		1.33	%		1.25	%		1.25	%		(0.97	)%		0	%
	$5.57		(19.74	)%		$2,083		1.48	%		1.25	%		1.25	%		(1.21	)%		0	%
	$6.94		(16.08	)%		$4,764		1.59	%		1.26	%		1.26	%		(1.25	)%		0	%
	$8.27		(16.13	)%		$3,861		1.70	%		1.30	%		1.30	%		(1.28	)%		0	%
	$9.86		(1.40	)%		$2,206		4.00	%		1.30	%		1.30	%		(1.30	)%		0	%
	$6.01		(3.99	)%		$112,950		0.97	%		0.90	%		0.90	%		(0.36	)%		0	%
	$6.26		16.61	%		$102,156		0.98	%		0.90	%		0.90	%		(0.63	)%		0	%
	$5.63		(19.46	)%		$29,122		1.11	%		0.90	%		0.90	%		(0.85	)%		0	%
	$6.99		(18.72	)%		$15,482		1.31	%		0.90	%		0.90	%		(0.89	)%		0	%
	$9.87		5.67	%		$382,108		0.96	%		0.94	%		0.94	%		0.26	%		22	%
	$9.34		10.10	%		$349,335		0.94	%		0.92	%		0.92	%		(0.22	)%		72	%
	$9.09		(8.10	)%		$492,977		0.94	%		0.93	%		0.93	%		(0.71	)%		157	%
	$10.14		7.04	%		$583,927		0.90	%		0.90	%		0.90	%		(0.34	)%		94	%
	$10.77		0.12	%		$855,024		0.89	%		0.89	%		0.88	%		(0.64	)%		167	%
	$11.49		14.05	%		$868,661		0.95	%		0.95	%		0.95	%		(0.03	)%		72	%
	$9.84		5.58	%		$18,680		1.22	%		1.20	%		1.20	%		(0.04	)%		22	%
	$9.32		9.66	%		$17,027		1.21	%		1.19	%		1.19	%		(0.46	)%		72	%
	$9.08		(8.20	)%		$22,005		1.19	%		1.18	%		1.18	%		(0.96	)%		157	%
	$10.14		6.69	%		$36,232		1.20	%		1.20	%		1.20	%		(0.65	)%		94	%
	$10.76		(0.23	)%		$79,026		1.20	%		1.20	%		1.20	%		(0.92	)%		167	%
	$11.47		13.89	%		$170,953		1.23	%		1.20	%		1.20	%		(0.26	)%		72	%
	$9.88		5.78	%		$36,747		0.88	%		0.85	%		0.85	%		0.33	%		22	%
	$9.34		10.06	%		$33,987		0.88	%		0.85	%		0.85	%		(0.42	)%		72	%
	$9.10		(8.00	)%		$2,796		0.86	%		0.85	%		0.85	%		(0.37	)%		157	%
	$10.14		(3.96	)%		$96		0.86	%		0.85	%		0.85	%		(0.99	)%		94	%

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

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Financial Highlights June 30, 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			Return of Capital		Total Distributions
AQR RISK PARITY II HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$8.42		0.01			0.25			0.26			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.79		(0.02	)		1.01			0.99			(0.12	)		(0.24	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.08	)		(1.19	)		(1.27	)		(0.03	)		(0.46	)		—		(0.49	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.87		(0.03	)		0.95			0.92			(0.06	)		(1.18	)		—		(1.24	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.21		(0.06	)		(0.23	)		(0.29	)		(0.03	)		(0.02	)		—		(0.05	)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		0.01			0.23			0.24			(0.03	)		—			—		(0.03	)
AQR RISK PARITY II HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$8.43		0.00	8		0.25			0.25			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.80		(0.04	)		1.00			0.96			(0.09	)		(0.24	)		—		(0.33	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.56		(0.10	)		(1.20	)		(1.30	)		—			(0.46	)		—		(0.46	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.86		(0.04	)		0.93			0.89			(0.01	)		(1.18	)		—		(1.19	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.23		(0.09	)		(0.23	)		(0.32	)		(0.03	)		(0.02	)		—		(0.05	)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		(0.01	)		0.25			0.24			(0.01	)		—			—		(0.01	)
AQR RISK PARITY II HV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$8.41		0.02			0.25			0.27			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.78		(0.00	)8		0.99			0.99			(0.12	)		(0.24	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.03	)		(1.25	)		(1.28	)		(0.03	)		(0.46	)		—		(0.49	)
FOR THE PERIOD 9/02/147—12/31/14		$11.37		(0.05	)		(0.53	)11		(0.58	)		(0.06	)		(1.18	)		—		(1.24	)
AQR RISK PARITY II MV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$8.98		0.01			0.19			0.20			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.51		(0.02	)		0.84			0.82			(0.09	)		(0.26	)		—		(0.35	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.90		(0.08	)		(0.79	)		(0.87	)		(0.02	)		(0.50	)		—		(0.52	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.02		(0.04	)		0.65			0.61			(0.02	)		(0.71	)		—		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.17		(0.06	)		(0.08	)		(0.14	)		(0.01	)		(0.00	)8		—		(0.01	)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		—			0.19			0.19			(0.02	)		—			—		(0.02	)
AQR RISK PARITY II MV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$8.95		(0.00	)8		0.19			0.19			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.49		(0.04	)		0.82			0.78			(0.06	)		(0.26	)		—		(0.32	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.10	)		(0.78	)		(0.88	)		—			(0.50	)		—		(0.50	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.99		(0.06	)		0.65			0.59			—			(0.71	)		—		(0.71	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.18		(0.07	)		(0.11	)		(0.18	)		(0.01	)		(0.00	)8		—		(0.01	)
FOR THE PERIOD 11/05/1210—12/31/12		$10.00		—			0.18			0.18			—			—			—		—
AQR RISK PARITY II MV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$8.97		0.02			0.18			0.20			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.51		(0.01	)		0.83			0.82			(0.10	)		(0.26	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.89		(0.07	)		(0.78	)		(0.85	)		(0.03	)		(0.50	)		—		(0.53	)
FOR THE PERIOD 9/02/147-12/31/14		$11.00		(0.04	)		(0.33	)11		(0.37	)		(0.03	)		(0.71	)		—		(0.74	)

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

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Financial Highlights June 30, 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
	$8.68		3.09	%		$46,539		1.66	%		1.30	%		1.12	%		0.33	%		19	%
	$8.42		12.77	%		$46,127		1.61	%		1.23	%		1.11	%		(0.26	)%		68	%
	$7.79		(13.33	)%		$40,890		1.43	%		1.13	%		1.08	%		(0.83	)%		184	%
	$9.55		9.23	%		$42,279		1.54	%		1.20	%		1.15	%		(0.28	)%		108	%
	$9.87		(2.83	)%		$17,577		1.85	%		1.23	%		1.15	%		(0.62	)%		257	%
	$10.21		2.44	%		$16,254		2.26	%		1.28	%		1.15	%		0.53	%		0	%
	$8.68		2.97	%		$6,751		1.94	%		1.58	%		1.40	%		0.02	%		19	%
	$8.43		12.47	%		$6,583		1.89	%		1.52	%		1.39	%		(0.51	)%		68	%
	$7.80		(13.64	)%		$5,493		1.77	%		1.45	%		1.40	%		(1.04	)%		184	%
	$9.56		9.02	%		$7,834		1.86	%		1.45	%		1.40	%		(0.37	)%		108	%
	$9.86		(3.12	)%		$8,652		2.22	%		1.48	%		1.40	%		(0.84	)%		257	%
	$10.23		2.38	%		$5,805		3.44	%		1.53	%		1.40	%		(0.62	)%		0	%
	$8.68		3.21	%		$2,964		1.59	%		1.23	%		1.05	%		0.40	%		19	%
	$8.41		12.85	%		$2,836		1.55	%		1.17	%		1.05	%		(0.06	)%		68	%
	$7.78		(13.42	)%		$2,413		1.43	%		1.11	%		1.05	%		(0.36	)%		184	%
	$9.55		(5.10	)%		$95		1.47	%		1.10	%		1.05	%		(1.49	)%		108	%
	$9.18		2.23	%		$76,327		1.20	%		0.95	%		0.94	%		0.27	%		16	%
	$8.98		9.66	%		$78,873		1.15	%		0.94	%		0.94	%		(0.24	)%		58	%
	$8.51		(8.77	)%		$85,918		1.10	%		0.93	%		0.93	%		(0.80	)%		159	%
	$9.90		6.04	%		$106,473		1.12	%		0.95	%		0.95	%		(0.34	)%		128	%
	$10.02		(1.32	)%		$37,848		1.18	%		0.95	%		0.95	%		(0.61	)%		234	%
	$10.17		1.87	%		$29,993		2.07	%		0.95	%		0.95	%		0.18	%		0	%
	$9.14		2.12	%		$3,912		1.45	%		1.20	%		1.20	%		(0.05	)%		16	%
	$8.95		9.25	%		$5,659		1.41	%		1.20	%		1.20	%		(0.41	)%		58	%
	$8.49		(8.94	)%		$4,242		1.38	%		1.20	%		1.20	%		(0.99	)%		159	%
	$9.87		5.87	%		$7,795		1.44	%		1.20	%		1.20	%		(0.54	)%		128	%
	$9.99		(1.71	)%		$9,397		1.59	%		1.20	%		1.20	%		(0.71	)%		234	%
	$10.18		1.80	%		$2,259		2.81	%		1.20	%		1.20	%		(0.29	)%		0	%
	$9.17		2.23	%		$618		1.10	%		0.85	%		0.85	%		0.37	%		16	%
	$8.97		9.64	%		$608		1.07	%		0.85	%		0.85	%		(0.06	)%		58	%
	$8.51		(8.59	)%		$99		1.03	%		0.85	%		0.85	%		(0.68	)%		159	%
	$9.89		(3.44	)%		$97		1.03	%		0.85	%		0.85	%		(1.13	)%		128	%

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

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Financial Highlights June 30, 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			Return of Capital		Total Distributions
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.92		(0.04	)		0.17		0.13			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.14		(0.12	)		0.07		(0.05	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.86		(0.14	)		1.01		0.87			(0.56	)		(0.03	)		—		(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.10	)		1.24		1.14			(1.16	)		(0.30	)		—		(1.46	)
FOR THE PERIOD 10/30/1310—12/31/13		$10.00		(0.03	)		0.44		0.41			(0.20	)		(0.03	)		—		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.89		(0.06	)		0.18		0.12			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.14		(0.15	)		0.07		(0.08	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.17	)		1.02		0.85			(0.55	)		(0.03	)		—		(0.58	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.16	)		1.28		1.12			(1.13	)		(0.30	)		—		(1.43	)
FOR THE PERIOD 10/30/1310—12/31/13		$10.00		(0.04	)		0.45		0.41			(0.20	)		(0.03	)		—		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.94		(0.04	)		0.18		0.14			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.15		(0.11	)		0.07		(0.04	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.14	)		1.02		0.88			(0.57	)		(0.03	)		—		(0.60	)
FOR THE PERIOD 9/02/147-12/31/14		$10.35		(0.07	)		0.86		0.79			(1.16	)		(0.11	)		—		(1.27	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$10.41		(0.01	)		0.11		0.10			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.39		(0.06	)		0.13		0.07			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.18		(0.08	)		0.49		0.41			(0.17	)		(0.03	)		—		(0.20	)
FOR THE PERIOD 9/17/1410—12/31/14		$10.00		(0.02	)		0.32		0.30			(0.09	)		(0.03	)		—		(0.12	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$10.37		(0.03	)		0.12		0.09			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.39		(0.08	)		0.11		0.03			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.09	)		0.48		0.39			(0.14	)		(0.03	)		—		(0.17	)
FOR THE PERIOD 9/17/1410—12/31/14		$10.00		(0.03	)		0.32		0.29			(0.09	)		(0.03	)		—		(0.12	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$10.42		(0.01	)		0.12		0.11			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.40		(0.05	)		0.12		0.07			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.05	)		0.48		0.43			(0.17	)		(0.03	)		—		(0.20	)
FOR THE PERIOD 9/17/1410—12/31/14		$10.00		(0.01	)		0.31		0.30			(0.10	)		(0.03	)		—		(0.13	)

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

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Financial Highlights June 30, 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
	$10.05		1.31	%		$2,435,459		2.53	%		2.51	%		1.49	%		(0.83	)%		42	%
	$9.92		(0.47	)%		$2,263,101		2.26	%		2.24	%		1.49	%		(1.20	)%		114	%
	$10.14		8.76	%		$1,341,232		2.29	%		2.25	%		1.48	%		(1.39	)%		138	%
	$9.86		11.30	%		$387,666		2.56	%		2.56	%		1.50	%		(0.95	)%		145	%
	$10.18		4.08	%		$403,243		2.11	%9		2.07	%		1.50	%		(1.77	)%		133	%
	$10.01		1.21	%		$174,206		2.79	%		2.77	%		1.75	%		(1.14	)%		42	%
	$9.89		(0.76	)%		$188,647		2.53	%		2.50	%		1.75	%		(1.46	)%		114	%
	$10.14		8.50	%		$92,947		2.56	%		2.52	%		1.75	%		(1.65	)%		138	%
	$9.87		11.08	%		$26,594		2.92	%		2.81	%		1.75	%		(1.50	)%		145	%
	$10.18		4.05	%		$15,972		2.70	%9		2.44	%		1.75	%		(2.05	)%		133	%
	$10.08		1.41	%		$1,325,488		2.44	%		2.42	%		1.40	%		(0.75	)%		42	%
	$9.94		(0.37	)%		$1,349,866		2.18	%		2.15	%		1.40	%		(1.08	)%		114	%
	$10.15		8.80	%		$394,568		2.21	%		2.17	%		1.40	%		(1.37	)%		138	%
	$9.87		7.67	%		$74,872		2.57	%		2.46	%		1.40	%		(1.94	)%		145	%
	$10.51		0.96	%		$289,447		1.43	%		1.41	%		0.85	%		(0.21	)%		43	%
	$10.41		0.65	%		$251,496		1.22	%		1.19	%		0.83	%		(0.54	)%		106	%
	$10.39		4.02	%		$152,172		1.46	%		1.11	%		0.79	%		(0.80	)%		213	%
	$10.18		3.07	%		$28,094		1.49	%9		1.01	%		0.85	%		(0.68	)%		191	%
	$10.46		0.87	%		$34,182		1.68	%		1.66	%		1.10	%		(0.54	)%		43	%
	$10.37		0.26	%		$42,514		1.48	%		1.45	%		1.10	%		(0.78	)%		106	%
	$10.39		3.85	%		$13,444		1.90	%		1.41	%		1.09	%		(0.91	)%		213	%
	$10.17		2.94	%		$8,577		1.92	%9		1.32	%		1.10	%		(0.91	)%		191	%
	$10.53		1.06	%		$98,738		1.33	%		1.31	%		0.75	%		(0.14	)%		43	%
	$10.42		0.65	%		$90,570		1.14	%		1.11	%		0.75	%		(0.45	)%		106	%
	$10.40		4.23	%		$22,176		1.57	%		1.08	%		0.75	%		(0.50	)%		213	%
	$10.17		2.98	%		$23,695		1.75	%9		1.00	%		0.75	%		(0.32	)%		191	%

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

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Financial Highlights June 30, 2017

  * Annualized for periods less than one year.

  ¹ Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  ² Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

  ³ Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

  ⁴ Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  ⁵ Portfolio turnover is not annualized.

  ⁶ For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Diversified Arbitrage Fund — Class I		$0.08		0.73	%
AQR Diversified Arbitrage Fund — Class N		0.04		0.42

  ⁷ Commencement of offering of shares.

  ⁸ Amount is less than $.005 per share.

  ⁹ Certain expenses incurred by the Fund were not annualized for the period.

  ¹⁰ Commencement of operations.

  ¹¹ The amount shown for a share outstanding throughout the period is not indicative of the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.

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

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274

Notes to Financial Statements June 30, 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 June 30, 2017, the Trust consists of thirty-seven active series, eleven of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (the “Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.

The investment objective of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each fund offers Class I, Class N and Class R6 shares.

The following Funds are closed to new investors, subject to certain exceptions: AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows, where applicable, and Financial Highlights of the AQR Global Macro Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“Consolidated Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	INCEPTION DATE OF SUBSIDIARY		SUBSIDIARY NET ASSETS AT JUNE 30, 2017		% OF TOTAL NET ASSETS AT JUNE 30, 2017			NET REALIZED GAIN(LOSS) ON INVESTMENTS HELD IN SUBSIDIARY
AQR Global Macro Offshore Fund Ltd		April 8, 2014	$	6,329,296		22.5	%	$	(292,391	)
AQR Multi-Strategy Alternative Offshore Fund Ltd		July 18, 2011		524,814,334		16.1	%		(39,810,796	)
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd		July 9, 2012		49,168,329		24.0	%		(4,382,890	)
AQR Risk Parity Offshore Fund Ltd		September 29, 2010		90,444,813		20.7	%		(7,291,244	)
AQR Risk Parity II HV Offshore Fund Ltd		November 5, 2012		13,286,377		23.6	%		(1,842,346	)
AQR Risk Parity II MV Offshore Fund Ltd		November 5, 2012		12,817,071		15.9	%		(1,670,238	)
AQR Style Premia Alternative Offshore Fund Ltd		October 30, 2013		900,576,805		22.9	%		(70,557,126	)
AQR Style Premia Alternative LV Offshore Fund Ltd		September 17, 2014		98,573,368		23.3	%		(3,284,005	)

3. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and

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275

Notes to Financial Statements June 30, 2017 (Unaudited)

liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

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

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

The Funds may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code, 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 taxable net investment income and capital gains, if applicable, 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

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276

Notes to Financial Statements June 30, 2017 (Unaudited)

threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of June 30, 2017, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.

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

4. Securities and Other Investments

Limited Purpose Cash Investment Fund: Certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising a controlling influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments.

Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if they had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuer’s common stock. The premiums attributable to the conversion feature are not amortized.

High Yield Securities: Certain Funds invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.

Inflation-Indexed Bonds: Certain Funds may invest in Inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.

Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling

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Notes to Financial Statements June 30, 2017 (Unaudited)

Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.

The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded loan commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.

As of June 30, 2017, AQR Diversified Arbitrage Fund’s unfunded commitment was as follows:

BORROWER	COMMITMENT AMOUNT
DEMC, Ltd., Class A-2	$379,552

The fund has no unrealized gain or loss on the unfunded commitment.

Defaulted Securities and Distressed Investments: Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Fund may invest in distressed investments, which are issued by companies that are, or might be, involved in reorganizations or financial restructurings, either out of court or in bankruptcy.

Securities Sold Short: Certain Funds sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security, a short sale. When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, which could be 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.

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278

Notes to Financial Statements June 30, 2017 (Unaudited)

The net amount of fees or income incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:

FUND	FEES/(INCOME)
AQR Diversified Arbitrage Fund	$	402,884
AQR Equity Market Neutral Fund		1,179,737
AQR Long-Short Equity Fund		2,594,209
AQR Multi-Strategy Alternative Fund		(487,526	)
AQR Style Premia Alternative Fund		1,946,192
AQR Style Premia Alternative LV Fund		206,788

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.

Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to potential 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,

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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 gain (loss) on swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations.

Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are included within each Fund’s Schedule of Investments.

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an

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agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.

The collateral held in relation to the repurchase agreements and reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities with a maturity of up to 30 days in the amount of $11,598,642 for AQR Risk Parity II HV Fund.

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

Transactions in call and put options written during the period for the AQR Multi-Strategy Alternative Fund were as follows:

	CALL OPTIONS
AQR MULTI-STRATEGY ALTERNATIVE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2016		(411	)	$	(2,146,186	)
Options written		—			—
Options terminated		—			—
Options expired		—			—
Options exercised		60			313,312
Options outstanding, June 30, 2017		(351	)	$	(1,832,874	)

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.

Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.

Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and

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cash deposited is recorded as Deposits with brokers for exchange-traded and centrally cleared derivatives on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on exchange-traded and centrally cleared derivatives. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.

Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.

Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.

Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.

5. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).

The Board has delegated responsibility for applying approved valuation policies to the Adviser, subject to Board oversight. The Adviser has established a Valuation Committee (the “VC”) whose function is to administer, implement and oversee the continual appropriateness of valuation methods applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, approaches and techniques, 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 an active 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.

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Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the of the fair value hierarchy.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income 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 that constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business

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on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. 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 may include other unobservable inputs which may be considered significant to the fair value determination.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR DIVERSIFIED ARBITRAGE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	117,700,951		$	19,583,099		$	6,669,496		$	143,953,546
Convertible Preferred Stocks		25,309,513			12,323,277			—			37,632,790
Corporate Bonds		—			11,643,031			2,552,982			14,196,013
Convertible Bonds		—			166,919,446			12,001			166,931,447
Closed End Funds		1,920,221			—			—			1,920,221
Loan Participations		—			715,714			—			715,714
Preferred Stocks		1,371,174			—			686,663			2,057,837
Rights		1,365,052			—			1,279,661			2,644,713
Securities in Litigation		—			—			411,233			411,233
Warrants		16,382,839			5,688,553			18,844			22,090,236
Short-Term Investments		—			234,247,025			—			234,247,025
Futures Contracts*		249,550			—			—			249,550
Forward Foreign Currency Exchange Contracts*		—			256,116			—			256,116
Total Return Basket Swaps Contracts*		—			8,909,527			—			8,909,527
Total Assets	$	164,299,300		$	460,285,788		$	11,630,880		$	636,215,968
LIABILITIES
Common Stocks (Sold Short)	$	(148,216,373	)	$	—		$	—	(a)	$	(148,216,373	)
Convertible Bonds(Sold Short)		—			(6,178,188	)		—			(6,178,188	)
Forward Foreign Currency Exchange Contracts*		—			(511,960	)		—			(511,960	)
Credit Default Swap Contracts*		—			(1,243,065	)		—			(1,243,065	)
Total Return Basket Swaps Contracts*		—			(559,931	)		—			(559,931	)
Total Liabilities	$	(148,216,373	)	$	(8,493,144	)	$	—	(a)	$	(156,709,517	)

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AQR EQUITY MARKET NEUTRAL FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	54,294,955		$	432,685,291		$	—		$	486,980,246
Rights		—			41,189			—			41,189
Short-Term Investments		—			1,249,272,958			—			1,249,272,958
Forward Foreign Currency Exchange Contracts*		—			241,394			—			241,394
Total Return Basket Swaps Contracts*		—			12,387,201			—			12,387,201
Total Assets	$	54,294,955		$	1,694,628,033		$	—		$	1,748,922,988
LIABILITIES
Common Stocks (Sold Short)†	$	(54,423,718	)	$	(356,343,920	)	$	—		$	(410,767,638	)
Forward Foreign Currency Exchange Contracts*		—			(1,423,256	)		—			(1,423,256	)
Total Return Basket Swaps Contracts*		—			(5,971,651	)		—			(5,971,651	)
Total Liabilities	$	(54,423,718	)	$	(363,738,827	)	$	—		$	(418,162,545	)
AQR GLOBAL MACRO FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Short-Term Investments	$	—		$	24,861,235		$	—		$	24,861,235
Futures Contracts*		315,692			—			—			315,692
Forward Foreign Currency Exchange Contracts*		—			648,039			—			648,039
Total Return Swap Contracts*		—			35,112			—			35,112
Total Assets	$	315,692		$	25,544,386		$	—		$	25,860,078
LIABILITIES
Futures Contracts*	$	(302,697	)	$	—		$	—		$	(302,697	)
Forward Foreign Currency Exchange Contracts*		—			(526,977	)		—			(526,977	)
Interest Rate Swap Contracts*		—			(1,452,320	)		—			(1,452,320	)
Total Return Swap Contracts*		—			(34,711	)		—			(34,711	)
Total Liabilities	$	(302,697	)	$	(2,014,008	)	$	—		$	(2,316,705	)
AQR LONG-SHORT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	127,723,459		$	1,072,208,684		$	—		$	1,199,932,143
Short-Term Investments		—			3,811,188,504			—			3,811,188,504
Forward Foreign Currency Exchange Contracts*		—			9,249,334			—			9,249,334
Total Return Basket Swaps Contracts*		—			54,162,419			—			54,162,419
Total Return Swap Contracts*		—			326,841			—			326,841
Total Assets	$	127,723,459		$	4,947,135,782		$	—		$	5,074,859,241
LIABILITIES
Common Stocks (Sold Short)†	$	(128,438,604	)	$	(903,848,538	)	$	—		$	(1,032,287,142	)
Futures Contracts*		(17,701,547	)		—			—			(17,701,547	)
Forward Foreign Currency Exchange Contracts*		—			(3,976,755	)		—			(3,976,755	)
Total Return Basket Swaps Contracts*		—			(252,027	)		—			(252,027	)
Total Liabilities	$	(146,140,151	)	$	(908,077,320	)	$	—		$	(1,054,217,471	)
AQR MULTI-STRATEGY ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	96,280,132		$	—		$	—		$	96,280,132
Convertible Preferred Stocks†		285,958,798			82,302,016			—			368,260,814
Corporate Bond†		—			—			—	(a)		—	(a)
Convertible Bonds†		—			583,068,197			4,326,000			587,394,197
Short-Term Investments		—			2,604,536,975			—			2,604,536,975
Futures Contracts*		7,961,014			—			—			7,961,014
Forward Foreign Currency Exchange Contracts*		—			49,790,423			—			49,790,423
Credit Default Swap Contracts*		—			30,938,423			—			30,938,423
Total Return Basket Swaps Contracts*		—			58,266,916			—			58,266,916
Total Return Swaps Contracts*		—			5,339,956			—			5,339,956
Total Assets	$	390,199,944		$	3,414,242,906		$	4,326,000		$	3,808,768,850

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Notes to Financial Statements June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
LIABILITIES
Common Stocks (Sold Short)†	$	(723,294,852	)	$	—		$	—	$	(723,294,852	)
Convertible Bonds(Sold Short)†		—			(18,559,375	)		—		(18,559,375	)
Written Options (Sold Short)		(8,239,725	)		—			—		(8,239,725	)
Futures Contracts*		(22,213,417	)		—			—		(22,213,417	)
Forward Foreign Currency Exchange Contracts*		—			(38,263,135	)		—		(38,263,135	)
Total Return Basket Swaps Contracts*		—			(12,190,175	)		—		(12,190,175	)
Total Return Swaps Contracts*		—			(7,823,541	)		—		(7,823,541	)
Total Liabilities	$	(753,747,994	)	$	(76,836,226	)	$	—	$	(830,584,220	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	179,449,053		$	—	$	179,449,053
Futures Contracts*		221,963			—			—		221,963
Total Return Swap Contracts*		—			467,569			—		467,569
Total Assets	$	221,963		$	179,916,622		$	—	$	180,138,585
LIABILITIES
Futures Contracts*	$	(2,756,598	)	$	—		$	—	$	(2,756,598	)
Total Return Swap Contracts*		—			(3,682,890	)		—		(3,682,890	)
Total Liabilities	$	(2,756,598	)	$	(3,682,890	)	$	—	$	(6,439,488	)
AQR RISK PARITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	60,887,069		$	—	$	60,887,069
U.S. Treasury Obligations		—			83,219,278			—		83,219,278
Short-Term Investments		—			262,865,982			—		262,865,982
Futures Contracts*		74,840			—			—		74,840
Forward Foreign Currency Exchange Contracts*		—			1,369,464			—		1,369,464
Interest Rate Swap Contracts*		—			3,566,784			—		3,566,784
Credit Default Swap Contracts*		—			16,890,574			—		16,890,574
Total Return Swap Contracts*		—			746,911			—		746,911
Total Assets	$	74,840		$	429,546,062		$	—	$	429,620,902
LIABILITIES
Futures Contracts*	$	(4,219,434	)	$	—		$	—	$	(4,219,434	)
Forward Foreign Currency Exchange Contracts*		—			(2,642,704	)		—		(2,642,704	)
Interest Rate Swap Contracts*		—			(63,045	)		—		(63,045	)
Total Return Swap Contracts*		—			(879,793	)		—		(879,793	)
Total Liabilities	$	(4,219,434	)	$	(3,585,542	)	$	—	$	(7,804,976	)
AQR RISK PARITY II HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	13,172,114		$	—	$	13,172,114
U.S. Treasury Obligations		—			17,320,052			—		17,320,052
Short-Term Investments		—			32,901,870			—		32,901,870
Futures Contracts*		18,468			—			—		18,468
Forward Foreign Currency Exchange Contracts*		—			27,335			—		27,335
Total Return Swap Contracts*		—			179,681			—		179,681
Total Assets	$	18,468		$	63,601,052		$	—	$	63,619,520
LIABILITIES
Reverse Repurchase Agreements (Sold Short)	$	—		$	(11,552,700	)	$	—	$	(11,552,700	)
Futures Contracts*		(1,058,417	)		—			—		(1,058,417	)
Forward Foreign Currency Exchange Contracts*		—			(193,239	)		—		(193,239	)
Total Return Swap Contracts*		—			(209,442	)		—		(209,442	)
Total Liabilities	$	(1,058,417	)	$	(11,955,381	)	$	—	$	(13,013,798	)

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286

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR RISK PARITY II MV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Foreign Government Securities	$	—		$	11,908,095		$	—		$	11,908,095
U.S. Treasury Obligations		—			16,402,710			—			16,402,710
Short-Term Investments		—			49,010,287			—			49,010,287
Futures Contracts*		17,502			—			—			17,502
Forward Foreign Currency Exchange Contracts*		—			35,788			—			35,788
Total Return Swap Contracts*		—			180,851			—			180,851
Total Assets	$	17,502		$	77,537,731		$	—		$	77,555,233
LIABILITIES
Futures Contracts*	$	(999,846	)	$	—		$	—		$	(999,846	)
Forward Foreign Currency Exchange Contracts*		—			(179,465	)		—			(179,465	)
Total Return Swap Contracts*		—			(219,875	)		—			(219,875	)
Total Liabilities	$	(999,846	)	$	(399,340	)	$	—		$	(1,399,186	)
AQR STYLE PREMIA ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	1,363,930,339		$	—		$	1,363,930,339
Short-Term Investments		—			3,387,336,369			—			3,387,336,369
Futures Contracts*		13,695,553			—			—			13,695,553
Forward Foreign Currency Exchange Contracts*		—			69,459,459			—			69,459,459
Total Return Basket Swaps Contracts*		—			19,468,011			—			19,468,011
Total Return Swaps Contracts*		—			9,750,636			—			9,750,636
Total Assets	$	13,695,553		$	4,849,944,814		$	—		$	4,863,640,367
LIABILITIES
Common Stocks (Sold Short)†	$	—			(1,097,268,960	)	$	(3	)	$	(1,097,268,963	)
Futures Contracts*		(5,343,934	)		—			—			(5,343,934	)
Forward Foreign Currency Exchange Contracts*		—			(41,403,081	)		—			(41,403,081	)
Total Return Swaps Contracts*		—			(4,663,069	)		—			(4,663,069	)
Total Liabilities	$	(5,343,934	)	$	(1,143,335,110	)	$	(3	)	$	(1,148,679,047	)
AQR STYLE PREMIA ALTERNATIVE LV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	77,078,280		$	17,805		$	77,096,085
Short-Term Investments		—			390,535,769			—			390,535,769
Futures Contracts*		1,056,290			—			—			1,056,290
Forward Foreign Currency Exchange Contracts*		—			3,553,228			—			3,553,228
Total Return Basket Swaps Contracts*		—			1,250,672			—			1,250,672
Total Return Swaps Contracts*		—			501,688			—			501,688
Total Assets	$	1,056,290		$	472,919,637		$	17,805		$	473,993,732
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(62,107,026	)	$	—		$	(62,107,026	)
Futures Contracts*		(426,084	)		—			—			(426,084	)
Forward Foreign Currency Exchange Contracts*		—			(2,073,866	)		—			(2,073,866	)
Total Return Swaps Contracts*		—			(245,268	)		—			(245,268	)
Total Liabilities	$	(426,084	)	$	(64,426,160	)	$	—		$	(64,852,244	)

* Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

† Please refer to the Schedule of Investments to view securities segregated by country.

(a) Security has zero value.

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287

Notes to Financial Statements June 30, 2017 (Unaudited)

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the period ended June 30, 2017, the amount of securities that transferred from Level 1 into Level 2 for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund was $1,934,217 and $5,483,997 and the amount transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund was $3,122,894 and $9,956,860 respectively. There were no transfers of investments between levels for any of the remaining Funds.

There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments that are considered quantitatively insignificant in the aggregate for AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.

The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCK			LOAN PARTICIPATIONS/ CORPORATE BONDS			CONVERTIBLE BOND			PREFERRED STOCK			RIGHTS			WARRANT			SECURITIES IN LITIGATION			SHORT COMMON STOCKS			TOTAL RETURN BASKET SWAP CONTRACTS
Balance as of December 31, 2016	$	6,494,137		$	3,219,344		$	782,139		$	692,778		$	567,662		$	17,778		$	452,769		$	(402	)	$	432,995
Accrued discounts/(premiums)		—			50,515			—			—			—			—			—			—			—
Realized gain/(loss)		(52,482	)		(60,025	)		(2,275,000	)		—			54,513			(1	)		—			—			—
Change in unrealized appreciation/(depreciation)		264,033			788,504			2,232,977			(6,115	)		711,999			(88,682	)		(105,712	)		402			—
Purchases1		9,263			439,156			—			—			—			—			64,176			—			—
Sales2		(45,455	)		(1,884,574	)		—			—			(54,513	)		—			—			—			—
Transfers in to Level 3		—			62			52,000			—			—			94,375			—			—			—
Transfers out of Level 3		—			—			(780,115	)		—			—			(4,626	)		—			—			(432,995	)
Balance as of June 30, 2017	$	6,669,496		$	2,552,982		$	12,001		$	686,663		$	1,279,661		$	18,844		$	411,233		$	—	(a)	$	—
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2017	$	195,741		$	(254,838	)	$	(42,000	)	$	(6,115	)	$	712,001		$	(87,223	)	$	(105,712	)	$	402		$	—

AQR MULTI-STRATEGY ALTERNATIVE FUND	CORPORATE BOND			CONVERTIBLE BOND			TOTAL RETURN BASKET SWAP CONTRACTS- SHORT
Balance as of December 31, 2016	$	—	(a)	$	8,192,575		$	(71,858	)
Accrued discounts/(premiums)		—			(100	)		—
Realized gain/(loss)		—			(224,269	)		—
Change in unrealized appreciation/(depreciation)		—			235,024			71,858
Purchases1		—			4,500,500			—
Sales2		—			(11,289,589	)		—	(a)
Transfers in to Level 3		—			4,465,047			—
Transfers out of Level 3		—			(1,553,188	)		—
Balance as of June 30, 2017	$	—	(a)	$	4,326,000		$	—
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2017	$	—		$	(139,047	)	$	—

¹  Purchases include all purchases of securities and securities received in corporate actions.

²  Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action.

(a) Security has zero value.

The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility.

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288

Notes to Financial Statements June 30, 2017 (Unaudited)

Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.

At June 30, 2017, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Multi-Strategy Alternative Fund are valued by vendor pricing or brokers. The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended June 30, 2017 for the AQR Diversified Arbitrage Fund:

Quantitative Information about Level 3 Fair Value Measurements*

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Common Stocks		$1,769,523	Enterprise Value Waterfall Analysis	Discount for Lack of Marketability**	21.6%—49.5%	29%
				Revenue Multiple	0.45x to 1.2x	N/A
				Selected Point in Range	Midpoint	N/A
				Term	2 years	N/A
				Volatility	53.9%—98.8%	57%
		$1,473,891	Probability Weighted Expected Return	Discount for Lack of Marketability**	2.0% — 25.2%	25%
				Equity Cost of Capital	6.5% — 40.0%	40%
				Legal Fees (% of Net Settlement)	9.0%	N/A
				Scenario Probability	33.3%	N/A
				Term	0.3 to 1.5 years	N/A
				Volatility	10.5%—55.0%	55%
		$40,874	Public Price Adjusted for Lack of Marketability	Discount for Lack of Marketability**	28.5%	N/A
				Term	2 years	N/A
				Volatility	55.0%	N/A
Rights		$296,940	Options Pricing Model	Discount for Lack of Marketability**	21.0%	N/A
				Term	0.5 years	N/A
				Volatility	116.8%	N/A
		$432,536	Probability Weighted Expected Return	Discount for Lack of Marketability**	13.7%—38.9%	25%
				Equity Cost of Capital	20.0%	20%
				Scenario Probability	15.0%—90.0%	N/A
				Term	0.5 to 3.2 years	N/A
				Volatility	32.1%—94.2%	55%
				Weighted Average Cost of Capital	42.0%	N/A
Preferred Stocks		$686,662	Enterprise Value Waterfall Analysis	Equity Cost of Capital	16.2%	N/A
Securities in Litigation		$410,719	Liquidation Analysis	Discount for Lack of Marketability**	30.0%	N/A
				Discount Rate	6.0%	N/A
				Recovery Probability	50.0%	N/A
				Term	3.3 years	N/A

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289

Notes to Financial Statements June 30, 2017 (Unaudited)

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2017, the value of these securities was $6,519,735. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.

** Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments.

6. Federal Income Tax Matters

At June 30, 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 Diversified Arbitrage Fund	$	657,435,651	$	54,478,452	$	(85,113,328	)	$	(30,634,876	)
AQR Equity Market Neutral Fund		1,665,415,183		72,722,012		(1,842,802	)		70,879,210
AQR Global Macro Fund		24,987,210		—		(125,975	)		(125,975	)
AQR Long-Short Equity Fund		4,875,352,164		141,044,460		(5,275,977	)		135,768,483
AQR Multi-Strategy Alternative Fund		3,709,929,114		—		(53,456,996	)		(53,456,996	)
AQR Risk-Balanced Commodities Strategy Fund		179,459,772		801		(11,520	)		(10,719	)
AQR Risk Parity Fund		407,309,289		1,132,003		(1,468,963	)		(336,960	)
AQR Risk Parity II HV Fund		63,359,241		223,633		(188,838	)		34,795
AQR Risk Parity II MV Fund		77,403,515		240,910		(323,333	)		(82,423	)
AQR Style Premia Alternative Fund		4,504,677,424		252,669,754		(6,080,470	)		246,589,284
AQR Style Premia Alternative LV Fund		453,664,907		14,431,700		(464,753	)		13,966,947

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.

As of December 31, 2016, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG-TERM
AQR Diversified Arbitrage Fund	$	66,145,385	$	185,492,148
AQR Equity Market Neutral Fund		6,350,924		—
AQR Risk-Balanced Commodities Strategy Fund		12,630		—
AQR Style Premia Alternative Fund		284,749		—

7. Investment Transactions

During the period ended June 30, 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 Diversified Arbitrage Fund	$	386,558,973	$	485,779,050	$	61,365,289	$	115,218,440
AQR Equity Market Neutral Fund		230,859,511		155,505,209		257,891,246		200,278,366
AQR Long-Short Equity Fund		679,536,346		329,921,716		727,615,866		453,361,185
AQR Multi-Strategy Alternative Fund		1,183,630,085		1,640,865,485		919,585,210		1,149,598,164
AQR Risk Parity Fund		33,622,847		40,913,583		—		—
AQR Risk Parity II HV Fund		6,288,495		8,198,244		—		—
AQR Risk Parity II MV Fund		4,868,547		7,607,581		—		—
AQR Style Premia Alternative Fund		248,671,005		363,728,928		265,311,525		346,861,014
AQR Style Premia Alternative LV Fund		12,135,389		18,313,744		15,950,272		20,997,789

AQR Funds Semi-Annual Report June 2017

290

Notes to Financial Statements June 30, 2017 (Unaudited)

During the period ended June 30, 2017, the Funds had purchases and sales of long-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Diversified Arbitrage Fund	$	—	$	—	$	1,961,286	$	1,952,552
AQR Risk Parity Fund		12,067,580		14,007,462		—		—
AQR Risk Parity II HV Fund		2,053,974		3,043,129		—		—
AQR Risk Parity II MV Fund		1,338,740		2,637,340		—		—

8. Derivative Instruments and Activities

The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at June 30, 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		WRITTEN OPTIONS AT MARKET VALUE
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	179,444	$	8,285,883	$	—	$	—	$	882,664	$	—	$	—
AQR Equity Market Neutral Fund		—		12,387,201		—		—		5,971,651		—		—
AQR Global Macro Fund		158,485		33,737		—		406,723		26,608		—		—
AQR Long-Short Equity Fund		1,232,960		54,489,260		—		18,934,507		252,027		—		—
AQR Multi-Strategy Alternative Fund		6,039,850		62,336,769		—		24,601,641		14,118,856		—		8,239,725
AQR Risk Parity Fund		119,380		164,768		—		1,991,710		207,151		—		—
AQR Risk Parity II HV Fund		32,081		24,581		—		390,513		39,741		—		—
AQR Risk Parity II MV Fund		22,703		31,423		—		368,642		39,388		—		—
AQR Style Premia Alternative Fund		25,918,553		22,069,005		—		26,640,738		3,853,724		—		—
AQR Style Premia Alternative LV Fund		1,402,290		1,391,605		—		1,379,218		208,290		—		—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		256,116		—		—		511,960		—
AQR Equity Market Neutral Fund		—		—		241,394		—		—		1,423,256		—
AQR Global Macro Fund		—		—		648,039		—		—		526,977		—
AQR Long-Short Equity Fund		—		—		9,249,334		—		—		3,976,755		—
AQR Multi-Strategy Alternative Fund		—		—		49,790,423		—		—		38,263,135		—
AQR Risk Parity Fund		—		—		1,369,464		—		—		2,642,704		—
AQR Risk Parity II HV Fund		—		—		27,335		—		—		193,239		—
AQR Risk Parity II MV Fund		—		—		35,788		—		—		179,465		—
AQR Style Premia Alternative Fund		—		—		69,459,459		—		—		41,403,081		—
AQR Style Premia Alternative LV Fund		—		—		3,553,228		—		—		2,073,866		—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		70,106		946,377		—		—		—		—		—
AQR Global Macro Fund		358,290		643,027		—		78,537		2,095,347		—		—
AQR Multi-Strategy Alternative Fund		16,417,516		—		—		8,651,068		1,559,000		—		—
AQR Risk Parity Fund		—		3,640,349		—		1,557,310		136,610		—		—
AQR Risk Parity II HV Fund		—		—		—		473,402		—		—		—
AQR Risk Parity II MV Fund		—		—		—		458,661		—		—		—
AQR Style Premia Alternative Fund		19,402,752		—		—		21,324,402		—		—		—
AQR Style Premia Alternative LV Fund		1,060,766		—		—		1,179,899		—		—		—

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291

Notes to Financial Statements June 30, 2017 (Unaudited)

	ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*			SWAPS AT VALUE*			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS*			SWAPS AT VALUE*			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS AT MARKET VALUE
Credit Risk Exposure:
AQR Diversified Arbitrage Fund	$	—		$	—		$	—		$	—		$	1,243,065		$	—		$	—
AQR Multi-Strategy Alternative Fund		—			38,000,720			—			—			7,062,297			—			—
AQR Risk Parity Fund		—			17,608,361			—			—			717,787			—			—
Commodity Risk Exposure:
AQR Global Macro Fund		44,146			1,375			—			62,666			8,103			—			—
AQR Multi-Strategy Alternative Fund		5,226,470			2,829,103			—			8,683,530			5,894,860			—			—
AQR Risk-Balanced Commodities Strategy Fund		5,362,058			467,569			—			7,896,693			3,682,890			—			—
AQR Risk Parity Fund		931,256			582,143			—			1,646,210			672,642			—			—
AQR Risk Parity II HV Fund		249,518			155,100			—			457,633			169,701			—			—
AQR Risk Parity II MV Fund		227,092			149,428			—			404,836			180,487			—			—
AQR Style Premia Alternative Fund		13,247,755			7,149,642			—			2,252,301			809,345			—			—
AQR Style Premia Alternative LV Fund		1,281,508			360,755			—			555,241			36,978			—			—
Netting:
AQR Diversified Arbitrage Fund		—			(2,125,729	)		(256,116	)		—			(2,125,729	)		(256,116	)		—
AQR Equity Market Neutral Fund		—			(5,971,651	)		(241,394	)		—			(5,971,651	)		(241,394	)		—
AQR Global Macro Fund		(547,926	)		(678,139	)		(526,977	)		(547,926	)		(678,139	)		(526,977	)		—
AQR Long-Short Equity Fund		(1,232,960	)		(252,027	)		(3,976,755	)		(1,232,960	)		(252,027	)		(3,976,755	)		—
AQR Multi-Strategy Alternative Fund		(27,683,836	)		(28,635,013	)		(38,263,135	)		(27,683,836	)		(28,635,013	)		(38,263,135	)		—
AQR Risk-Balanced Commodities Strategy Fund		(5,362,058	)		(467,569	)		—			(5,362,058	)		(467,569	)		—			—
AQR Risk Parity Fund		(1,050,636	)		(1,734,190	)		(1,369,464	)		(1,050,636	)		(1,734,190	)		(1,369,464	)		—
AQR Risk Parity II HV Fund		(281,599	)		(179,681	)		(27,335	)		(281,599	)		(179,681	)		(27,335	)		—
AQR Risk Parity II MV Fund		(249,795	)		(180,851	)		(35,788	)		(249,795	)		(180,851	)		(35,788	)		—
AQR Style Premia Alternative Fund		(50,217,441	)		(4,663,069	)		(41,403,081	)		(50,217,441	)		(4,663,069	)		(41,403,081	)		—
AQR Style Premia Alternative LV Fund		(3,114,358	)		(245,268	)		(2,073,866	)		(3,114,358	)		(245,268	)		(2,073,866	)		—
Net Fair Value of Derivative Contracts:
AQR Diversified Arbitrage Fund		249,550			7,106,531			—			—			—			255,844			—
AQR Equity Market Neutral Fund		—			6,415,550			—			—			—			1,181,862			—
AQR Global Macro Fund		12,995			—			121,062			—			1,451,919			—			—
AQR Long-Short Equity Fund		—			54,237,233			5,272,579			17,701,547			—			—			—
AQR Multi-Strategy Alternative Fund		—			74,531,579			11,527,288			14,252,403			—			—			8,239,725
AQR Risk-Balanced Commodities Strategy Fund		—			—			—			2,534,635			3,215,321			—			—
AQR Risk Parity Fund		—			20,261,431			—			4,144,594			—			1,273,240			—
AQR Risk Parity II HV Fund		—			—			—			1,039,949			29,761			165,904			—
AQR Risk Parity II MV Fund		—			—			—			982,344			39,024			143,677			—
AQR Style Premia Alternative Fund		8,351,619			24,555,578			28,056,378			—			—			—			—
AQR Style Premia Alternative LV Fund		630,206			1,507,092			1,479,362			—			—			—			—

* May include cumulative appreciation (depreciation) of exchange-traded and centrally cleared derivatives as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives.

AQR Funds Semi-Annual Report June 2017

292

Notes to Financial Statements June 30, 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 June 30, 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			WRITTEN OPTIONS		FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	(2,707,042	)	$	4,041,008		$	—		$	51,447	$	(71,380	)	$	2,441,819		$	—		$	—
AQR Equity Market Neutral Fund		313,840			71,753,064			—			—		—			(65,099,691	)		—			—
AQR Global Macro Fund		(147,206	)		36,341			—			—		(437,380	)		(10,592	)		—			—
AQR Long-Short Equity Fund		127,881,513			69,558,060			—			—		(20,675,059	)		(47,033,555	)		—			—
AQR Multi-Strategy Alternative Fund		36,507,716			228,743,845			—			313,312		(31,513,461	)		(146,553,373	)		—			(4,773,892	)
AQR Risk Parity Fund		13,856,572			4,387,306			—			—		(2,308,030	)		(500,805	)		—			—
AQR Risk Parity II HV Fund		3,242,136			984,167			—			—		(472,654	)		(131,275	)		—			—
AQR Risk Parity II MV Fund		3,151,533			1,010,956			—			—		(456,635	)		(137,811	)		—			—
AQR Style Premia Alternative Fund		2,527,428			255,344,070			—			—		(9,712,849	)		(143,994,816	)		—			—
AQR Style Premia Alternative LV Fund		(917,793	)		14,648,170			—			—		(419,216	)		(7,882,295	)		—			—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—			—			203,958			—		—			—			(452,246	)		—
AQR Equity Market Neutral Fund		—			—			(1,642,508	)		—		—			—			(1,860,419	)		—
AQR Global Macro Fund		—			—			(262,683	)		—		—			—			150,078			—
AQR Long-Short Equity Fund		—			—			17,367,994			—		—			—			11,167,947			—
AQR Multi-Strategy Alternative Fund		—			—			(41,477,208	)		—		—			—			18,022,459			—
AQR Risk Parity Fund		—			—			3,041,475			—		—			—			(2,994,645	)		—
AQR Risk Parity II HV Fund		—			—			(564,285	)		—		—			—			(364,681	)		—
AQR Risk Parity II MV Fund		—			—			(519,847	)		—		—			—			(333,184	)		—
AQR Style Premia Alternative Fund		—			—			(51,272,039	)		—		—			—			27,922,906			—
AQR Style Premia Alternative LV Fund		—			—			(2,594,175	)		—		—			—			1,470,664			—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		(238,756	)		1,685,925			—			—		(24,736	)		101,845			—			—
AQR Global Macro Fund		(668,431	)		983,709			—			—		450,507			(948,898	)		—			—
AQR Multi-Strategy Alternative Fund		(51,526,735	)		10,090,689			—			—		6,761,914			(3,489,451	)		—			—
AQR Risk Parity Fund		2,724,702			(3,820,760	)		—			—		(1,494,423	)		6,704,449			—			—
AQR Risk Parity II HV Fund		920,271			—			—			—		(475,962	)		—			—			—
AQR Risk Parity II MV Fund		929,285			—			—			—		(443,492	)		—			—			—
AQR Style Premia Alternative Fund		(7,790,282	)		—			—			—		(7,591,528	)		—			—			—
AQR Style Premia Alternative LV Fund		(427,424	)		—			—			—		(381,360	)		—			—			—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—			(1,021,213	)		—			—		—			418,762			—			—
AQR Multi-Strategy Alternative Fund		—			11,898,627			—			—		—			(277,260	)		—			—
AQR Risk Parity Fund		—			7,859,006			—			—		—			1,510,594			—			—

AQR Funds Semi-Annual Report June 2017

293

Notes to Financial Statements June 30, 2017 (Unaudited)

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS										NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
Commodity Risk Exposure:
AQR Global Macro Fund	$	(285,199	)	$	(6,683	)	$	—	$	—	$	(16,328	)	$	(10,770	)	$	—	$	—
AQR Multi-Strategy Alternative Fund		(33,867,276	)		(5,932,672	)		—		—		(2,130,638	)		2,769,613			—		—
AQR Risk-Balanced Commodities Strategy Fund		(4,871,142	)		530,391			—		—		(450,892	)		(3,205,659	)		—		—
AQR Risk Parity Fund		(7,410,385	)		128,868			—		—		(870,705	)		(294,462	)		—		—
AQR Risk Parity II HV Fund		(1,844,692	)		5,596			—		—		(306,950	)		(42,896	)		—		—
AQR Risk Parity II MV Fund		(1,679,029	)		11,793			—		—		(260,909	)		(49,695	)		—		—
AQR Style Premia Alternative Fund		(51,445,178	)		(18,932,642	)		—		—		33,840,044			9,575,984			—		—
AQR Style Premia Alternative LV Fund		(2,296,170	)		(979,839	)		—		—		1,956,903			495,738			—		—

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of June 30, 2017:

AQR DIVERSIFIED ARBITRAGE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	256,116	$	(204,779	)	$	51,337	$	—	$	—		$	51,337
DTBK	Total Return Basket Swaps Contracts		1,458,713		(305,645	)		1,153,068		—		—			1,153,068
GSIN	Total Return Basket Swaps Contracts		3,836,136		(23,787	)		3,812,349		—		(3,770,000	)		42,349
JPMC	Total Return Basket Swaps Contracts		3,614,678		(30,671	)		3,584,007		—		—			3,584,007
Total financial instruments subject to a master netting arrangement or similar arrangement			9,165,643		(564,882	)		8,600,761		—		(3,770,000	)		4,830,761

AQR Funds Semi-Annual Report June 2017

294

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED(b)			NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	199,828	$	—		$	199,828	$	—	$	(199,828	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		204,779		(204,779	)		—		—		—			—
GSIN	Total Return Basket Swaps Contracts		23,787		(23,787	)		—		—		—			—
DTBK	Total Return Basket Swaps Contracts		305,645		(305,645	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		307,181		—			307,181
	Total Return Basket Swaps Contracts		30,671		(30,671	)		—
	Total JPMC		337,852		(30,671	)		307,181		—		(307,181	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,071,891		(564,882	)		507,009		—		(507,009	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $180,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 31,683,937.

AQR EQUITY MARKET NEUTRAL FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	96,559	$	(96,559	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		144,835		(144,835	)		—		—		—		—
MSIP	Total Return Basket Swaps Contracts		12,387,201		(5,971,651	)		6,415,550		—		—		6,415,550
Total financial instruments subject to a master netting arrangement or similar arrangement			12,628,595		(6,213,045	)		6,415,550		—		—		6,415,550

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295

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	569,273	$	(96,559	)	$	472,714	$	—	$	(472,714	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		853,983		(144,835	)		709,148		—		(709,148	)		—
MSIP	Total Return Basket Swaps Contracts		5,971,651		(5,971,651	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			7,394,907		(6,213,045	)		1,181,862		—		(1,181,862	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 221,769,515.

AQR GLOBAL MACRO FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	21,071	$	(15,734	)	$	5,337	$	—	$	—	$	5,337
CITI	Forward Foreign Currency Exchange Contracts		317,783		(259,603	)		58,180		—		—		58,180
GSIN	Total Return Swap Contracts		12,666		(10,874	)		1,792		—		—		1,792
JPMC	Forward Foreign Currency Exchange Contracts		330,256		(267,374	)		62,882		—		—		62,882
Total financial instruments subject to a master netting arrangement or similar arrangement			681,776		(553,585	)		128,191		—		—		128,191

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296

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR GLOBAL MACRO FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
BANA	Total Return Swap Contracts	$	15,734	$	(15,734	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		259,603		(259,603	)		—		—		—		—
GSIN	Total Return Swap Contracts		10,874		(10,874	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		267,374		(267,374	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			553,585		(553,585	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 782,243.

AQR GLOBAL MACRO OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
GSIN	Total Return Swap Contracts	$	779	$	—		$	779	$	—	$	—		$	779
SOCG	Total Return Swap Contracts		596		(297	)		299		—		—			299
Total financial instruments subject to a master netting arrangement or similar arrangement			1,375		(297	)		1,078		—		—			1,078
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	3,914	$	—		$	3,914	$	—	$	(3,914	)	$	—
MACQ	Total Return Swap Contracts		3,892		—			3,892		—		—			3,892
SOCG	Total Return Swap Contracts		297		(297	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			8,103		(297	)		7,806		—		(3,914	)		3,892

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 56,318.

AQR Funds Semi-Annual Report June 2017

297

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR LONG-SHORT EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED(a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	3,769,581	$	(1,705,583	)	$	2,063,998	$	—	$	(1,730,000	)	$	333,998
DTBK	Total Return Basket Swaps Contracts		18,708,913		(71,637	)		18,637,276		—		—			18,637,276
GSIN	Total Return Swap Contracts		301,215		—			301,215
	Total Return Basket Swaps Contracts		35,453,506		(180,390	)		35,273,116
	Total GSIN		35,754,721		(180,390	)		35,574,331		—		(35,574,331	)		—
JPMC	Forward Foreign Currency Exchange Contracts		5,479,753		(2,271,172	)		3,208,581
	Total Return Swap Contracts		25,626		—			25,626
	Total JPMC		5,505,379		(2,271,172	)		3,234,207		—		—			3,234,207
Total financial instruments subject to a master netting arrangement or similar arrangement			63,738,594		(4,228,782	)		59,509,812		—		(37,304,331	)		22,205,481
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	1,705,583	$	(1,705,583	)	$	—	$	—	$	—		$	—
DTBK	Total Return Basket Swaps Contracts		71,637		(71,637	)		—		—		—			—
GSIN	Total Return Swap Contracts		180,390		(180,390	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		2,271,172		(2,271,172	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			4,228,782		(4,228,782	)		—		—		—			—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $515,669.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $759,656,317.

AQR Funds Semi-Annual Report June 2017

298

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	300,411	$	(276,457	)	$	23,954
	Total Return Basket Swaps Contracts		965,281		—			965,281
	Total BANA		1,265,692		(276,457	)		989,235	$	—	$	(989,235	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		20,329,594		(16,034,053	)		4,295,541		—		—			4,295,541
DTBK	Total Return Basket Swaps Contracts		23,408,570		(364,691	)		23,043,879		—		—			23,043,879
GSIN	Total Return Swap Contracts		108,312		(108,312	)		—
	Total Return Basket Swaps Contracts		4,850,685		(3,504,125	)		1,346,560
	Total GSIN		4,958,997		(3,612,437	)		1,346,560		—		(1,346,560	)		—
JPMC	Forward Foreign Currency Exchange Contracts		29,460,829		(22,229,082	)		7,231,747
	Total Return Swap Contracts		233,411		(233,411	)		—
	Total Return Basket Swaps Contracts		29,037,473		(8,321,359	)		20,716,114
	Total JPMC		58,731,713		(30,783,852	)		27,947,861		—		—			27,947,861
MSCS	Total Return Swap Contracts		1,868,719		(1,122,470	)		746,249		—		—			746,249
MSIP	Total Return Basket Swaps Contracts		4,907		—			4,907		—		—			4,907
Total financial instruments subject to a master netting arrangement or similar arrangement			110,568,192		(52,193,960	)		58,374,232		—		(2,335,795	)		56,038,437

AQR Funds Semi-Annual Report June 2017

299

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	276,457	$	(276,457	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		16,034,053		(16,034,053	)		—		—		—			—
DTBK	Total Return Basket Swaps Contracts		364,691		(364,691	)		—		—		—			—
GSIN	Total Return Swap Contracts		255,340		(108,312	)		147,028
	Total Return Basket Swaps Contracts		3,504,125		(3,504,125	)		—
	Total GSIN		3,759,465		(3,612,437	)		147,028		—		(147,028	)		—
JPMC	Forward Foreign Currency Exchange Contracts		22,229,082		(22,229,082	)		—
	Total Return Swap Contracts		274,414		(233,411	)		41,003
	Total Return Basket Swaps Contracts		8,321,359		(8,321,359	)		—
	Total JPMC		30,824,855		(30,783,852	)		41,003		—		(41,003	)		—
MSCS	Total Return Swap Contracts		1,122,470		(1,122,470	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			52,381,991		(52,193,960	)		188,031		—		(188,031	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $3,064,205.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $877,597,635.

AQR Funds Semi-Annual Report June 2017

300

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,021,507	$	(1,021,507	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		216,852		(216,852	)		—		—		—			—
MACQ	Total Return Swap Contracts		482,417		(482,417	)		—		—		—			—
MLIN	Total Return Swap Contracts		627,290		(627,290	)		—		—		—			—
SOCG	Total Return Swap Contracts		481,037		(481,037	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,829,103		(2,829,103	)		—		—		—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,376,263	$	(1,021,507	)	$	354,756	$	—	$	(354,756	)	$	—
GSIN	Total Return Swap Contracts		748,322		(216,852	)		531,470		—		(531,470	)		—
MACQ	Total Return Swap Contracts		1,393,280		(482,417	)		910,863		—		(910,863	)		—
MLIN	Total Return Swap Contracts		1,039,867		(627,290	)		412,577		—		(412,577	)		—
SOCG	Total Return Swap Contracts		1,337,128		(481,037	)		856,091		—		(856,091	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,894,860		(2,829,103	)		3,065,757		—		(3,065,757	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $1,250,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $9,303,373.

AQR Funds Semi-Annual Report June 2017

301

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	62,620	$	(62,620	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		19,800		(19,800	)		—		—		—			—
MACQ	Total Return Swap Contracts		69,226		(69,226	)		—		—		—			—
SOCG	Total Return Swap Contracts		315,923		(315,923	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			467,569		(467,569	)		—		—		—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,578,679	$	(62,620	)	$	1,516,059	$	—	$	(1,516,059	)	$	—
GSIN	Total Return Swap Contracts		174,856		(19,800	)		155,056		—		(155,056	)		—
MACQ	Total Return Swap Contracts		829,386		(69,226	)		760,160		—		(760,160	)		—
SOCG	Total Return Swap Contracts		1,099,969		(315,923	)		784,046		—		(784,046	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,682,890		(467,569	)		3,215,321		—		(3,215,321	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 3,380,580.

AQR Funds Semi-Annual Report June 2017

302

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR RISK PARITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	14,644	$	(14,644	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		552,267		(552,267	)		—
	Interest Rate Swap Contracts		278,650		(63,045	)		215,605
	Total CITI		830,917		(615,312	)		215,605		—		—			215,605
JPMC	Forward Foreign Currency Exchange Contracts		817,197		(817,197	)		—
	Total Return Swap Contracts		19,808		(19,808	)		—
	Total JPMC		837,005		(837,005	)		—		—		—			—
MSCS	Total Return Swap Contracts		130,316		(48,519	)		81,797		—		—			81,797
Total financial instruments subject to a master netting arrangement or similar arrangement			1,812,882		(1,515,480	)		297,402		—		—			297,402
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	89,426	$	(14,644	)	$	74,782	$	—	$	—		$	74,782
CITI	Forward Foreign Currency Exchange Contracts		1,065,729		(552,267	)		513,462
	Interest Rate Swap Contracts		63,045		(63,045	)		—
	Total CITI		1,128,774		(615,312	)		513,462		—		(513,462	)		—
GSIN	Total Return Swap Contracts		34,875		—			34,875		—		(34,875	)		—
JPMC	Forward Foreign Currency Exchange Contracts		1,576,975		(817,197	)		759,778
	Total Return Swap Contracts		34,331		(19,808	)		14,523
	Total JPMC		1,611,306		(837,005	)		774,301		—		(774,301	)		—
MSCS	Total Return Swap Contracts		48,519		(48,519	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,912,900		(1,515,480	)		1,397,420		—		(1,322,638	)		74,782

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $340,000

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $19,533,270.

AQR Funds Semi-Annual Report June 2017

303

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR RISK PARITY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	9,355	$	(9,355	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		73,657		(54,823	)		18,834		—		—			18,834
MACQ	Total Return Swap Contracts		156,359		(149,368	)		6,991		—		—			6,991
MLIN	Total Return Swap Contracts		167,405		(167,405	)		—		—		—			—
SOCG	Total Return Swap Contracts		175,367		(144,027	)		31,340		—		—			31,340
Total financial instruments subject to a master netting arrangement or similar arrangement			582,143		(524,978	)		57,165		—		—			57,165
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	113,071	$	(9,355	)	$	103,716	$	—	$	(103,716	)	$	—
GSIN	Total Return Swap Contracts		54,823		(54,823	)		—		—		—			—
MACQ	Total Return Swap Contracts		149,368		(149,368	)		—		—		—			—
MLIN	Total Return Swap Contracts		211,353		(167,405	)		43,948		—		(43,948	)		—
SOCG	Total Return Swap Contracts		144,027		(144,027	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			672,642		(524,978	)		147,664		—		(147,664	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,464,118.

AQR Funds Semi-Annual Report June 2017

304

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR RISK PARITY II HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS			COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	9,339	$	(9,339	)	$	—	$	—		$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		10,934		(10,934	)		—		—			—			—
GSIN	Total Return Swap Contracts		15,242		(15,242	)		—		—			—			—
JPMC	Forward Foreign Currency Exchange Contracts		16,401		(16,401	)		—		—			—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			51,916		(51,916	)		—		—			—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	18,783	$	(9,339	)	$	9,444	$	—		$	—		$	9,444
CITI	Forward Foreign Currency Exchange Contracts		77,291		(10,934	)		66,357		—			(66,357	)		—
GSIN	Total Return Swap Contracts		20,958		(15,242	)		5,716		—			(5,716	)		—
JPMC	Forward Foreign Currency Exchange Contracts		115,948		(16,401	)		99,547		—			(99,547	)		—
BNPP	Reverse Repurchase Agreements		5,428,800		—			5,428,800		(5,428,800	)		—			—
MPFS	Reverse Repurchase Agreements		6,123,900		—			6,123,900		(6,123,900	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			11,785,680		(51,916	)		11,733,764		(11,552,700	)		(171,620	)		9,444

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $140,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,095,833.

AQR Funds Semi-Annual Report June 2017

305

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR RISK PARITY II HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	4,584	$	(4,584	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		10,477		(6,481	)		3,996		—		—			3,996
MACQ	Total Return Swap Contracts		65,453		(65,453	)		—		—		—			—
SOCG	Total Return Swap Contracts		74,586		(55,374	)		19,212		—		—			19,212
Total financial instruments subject to a master netting arrangement or similar arrangement			155,100		(131,892	)		23,208		—		—			23,208
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	31,687	$	(4,584	)	$	27,103	$	—	$	(27,103	)	$	—
GSIN	Total Return Swap Contracts		6,481		(6,481	)		—		—		—			—
MACQ	Total Return Swap Contracts		76,159		(65,453	)		10,706		—		(10,706	)		—
SOCG	Total Return Swap Contracts		55,374		(55,374	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			169,701		(131,892	)		37,809		—		(37,809	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $392,533.

AQR Funds Semi-Annual Report June 2017

306

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR RISK PARITY II MV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	18,305	$	(18,305	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		14,317		(14,317	)		—		—		—			—
GSIN	Total Return Swap Contracts		13,118		(13,118	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		21,471		(21,471	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			67,211		(67,211	)		—		—		—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	19,926	$	(18,305	)	$	1,621	$	—	$	—		$	1,621
CITI	Forward Foreign Currency Exchange Contracts		71,780		(14,317	)		57,463		—		(57,463	)		—
GSIN	Total Return Swap Contracts		19,462		(13,118	)		6,344		—		(6,344	)		—
JPMC	Forward Foreign Currency Exchange Contracts		107,685		(21,471	)		86,214		—		(86,214	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			218,853		(67,211	)		151,642		—		(150,021	)		1,621

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 10,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 921,880.

AQR RISK PARITY II MV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	5,981	$	(5,981	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		5,960		(5,960	)		—		—		—		—
MACQ	Total Return Swap Contracts		84,290		(84,290	)		—		—		—		—
SOCG	Total Return Swap Contracts		53,197		(35,731	)		17,466		—		—		17,466
Total financial instruments subject to a master netting arrangement or similar arrangement			149,428		(131,962	)		17,466		—		—		17,466

AQR Funds Semi-Annual Report June 2017

307

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR RISK PARITY II MV OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	40,884	$	(5,981	)	$	34,903	$	—	$	(34,903	)	$	—
GSIN	Total Return Swap Contracts		9,490		(5,960	)		3,530		—		—			3,530
MACQ	Total Return Swap Contracts		94,382		(84,290	)		10,092		—		(10,092	)		—
SOCG	Total Return Swap Contracts		35,731		(35,731	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			180,487		(131,962	)		48,525		—		(44,995	)		3,530

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 495,326.

AQR STYLE PREMIA ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	2,341,217	$	(2,341,217	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		27,842,166		(16,861,801	)		10,980,365		—		(10,980,365	)		—
GSIN	Total Return Swap Contracts		259,777		(259,777	)		—
	Total Return Basket Swap Contracts		19,468,011		—			19,468,011
	Total GSIN		19,727,788		(259,777	)		19,468,011		—		(19,468,011	)		—
JPMC	Forward Foreign Currency Exchange Contracts		41,617,293		(24,541,280	)		17,076,013		—		—			17,076,013
Total financial instruments subject to a master netting arrangement or similar arrangement			91,528,464		(44,004,075	)		47,524,389		—		(30,448,376	)		17,076,013

AQR Funds Semi-Annual Report June 2017

308

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	3,155,859	$	(2,341,217	)	$	814,642	$	—	$	(814,642	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		16,861,801		(16,861,801	)		—		—		—			—
GSIN	Total Return Swap Contracts		697,865		(259,777	)		438,088		—		(438,088	)		—
JPMC	Forward Foreign Currency Exchange Contracts		24,541,280		(24,541,280	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			45,256,805		(44,004,075	)		1,252,730		—		(1,252,730	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 17,771,624.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 669,406,764.

AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	5,174,878	$	—		$	5,174,878	$	—	$	—		$	5,174,878
GSIN	Total Return Swap Contracts		629,598		(609,568	)		20,030		—		—			20,030
MACQ	Total Return Swap Contracts		1,345,166		—			1,345,166		—		—			1,345,166
Total financial instruments subject to a master netting arrangement or similar arrangement			7,149,642		(609,568	)		6,540,074		—		—			6,540,074
				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
GSIN	Total Return Swap Contracts	$	609,568	$	(609,568	)	$	—	$	—	$	—		$	—
SOCG	Total Return Swap Contracts		199,777		—			199,777		—		(199,777	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			809,345		(609,568	)		199,777		—		(199,777	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 19,755,981.

AQR Funds Semi-Annual Report June 2017

309

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	32,375	$	(32,375	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		1,423,132		(845,462	)		577,670		—		(577,670	)		—
GSIN	Total Return Swap Contracts		5,515		(5,515	)		—
	Total Return Basket Swap Contracts		1,250,672		—			1,250,672
	Total GSIN		1,256,187		(5,515	)		1,250,672		—		(1,250,672	)		—
JPMC	Forward Foreign Currency Exchange Contracts		2,130,096		(1,228,404	)		901,692		—		—			901,692
MSCS	Total Return Swap Contracts		103,043		(34,049	)		68,994		—		—			68,994
Total financial instruments subject to a master netting arrangement or similar arrangement			4,944,833		(2,145,805	)		2,799,028		—		(1,828,342	)		970,686
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	150,216	$	(32,375	)	$	117,841	$	—	$	(117,841	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		845,462		(845,462	)		—		—		—			—
GSIN	Total Return Swap Contracts		24,025		(5,515	)		18,510		—		(18,510	)		—
JPMC	Forward Foreign Currency Exchange Contracts		1,228,404		(1,228,404	)		—		—		—			—
MSCS	Total Return Swap Contracts		34,049		(34,049	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,282,156		(2,145,805	)		136,351		—		(136,351	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 381,658.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 37,702,721.

AQR Funds Semi-Annual Report June 2017

310

Notes to Financial Statements June 30, 2017 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	244,221	$	—		$	244,221	$	—	$	(244,221	)	$	—
GSIN	Total Return Swap Contracts		27,727		(26,832	)		895		—		—			895
MACQ	Total Return Swap Contracts		88,807		—			88,807		—		—			88,807
Total financial instruments subject to a master netting arrangement or similar arrangement			360,755		(26,832	)		333,923		—		(244,221	)		89,702
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
GSIN	Total Return Swap Contracts	$	26,832	$	(26,832	)	$	—	$	—	$	—		$	—
SOCG	Total Return Swap Contracts		10,146		—			10,146		—		—			10,146
Total financial instruments subject to a master netting arrangement or similar arrangement			36,978		(26,832	)		10,146		—		—			10,146

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 15,779.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,160,000.

AQR Funds Semi-Annual Report June 2017

311

Notes to Financial Statements June 30, 2017 (Unaudited)

For the period ended June 30, 2017, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND		AQR LONG-SHORT EQUITY FUND		AQR MULTI-STRATEGY ALTERNATIVE FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND		AQR RISK PARITY FUND
Futures Contracts:
Average Notional Balance—Long	$	—	$	—	$	33,404,826	$	1,548,471,232	$	4,326,221,540	$	426,011,006	$	523,945,137
Average Notional Balance—Short		95,058,700		—		55,815,818		—		5,697,408,797		90,724,951		12,855,819
Ending Notional Balance—Long		—		—		31,547,069		2,051,455,862		4,154,124,863		402,299,249		536,474,876
Ending Notional Balance—Short		87,870,400		—		71,616,527		—		5,050,040,509		71,943,198		9,955,738
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		5,397,563		15,178,824		39,523,539		593,020,808		2,520,209,491		—		119,293,715
Average Settlement Value—Sold		19,163,775		64,799,189		34,975,166		31,567,096		2,574,815,847		—		130,726,113
Ending Value—Purchased		9,815,596		10,601,135		37,069,676		719,936,673		2,632,761,818		—		152,059,200
Ending Value—Sold		13,342,906		82,731,173		29,797,668		69,548,901		2,602,264,326		—		149,542,405
Exchange-Traded Options:
Average Number of Contracts—Written		—		—		—		—		374		—		—
Ending Number of Contracts—Written		—		—		—		—		351		—		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		19,166,667		—		—		—		228,338,202		—		—
Average Notional Balance—Sell Protection		—		—		—		—		437,206,053		—		370,424,460
Ending Notional Balance—Buy Protection		18,250,000		—		—		—		322,442,556		—		—
Ending Notional Balance—Sell Protection		—		—		—		—		466,809,379		—		378,495,766
Total Return Swaps:
Average Notional Balance—Long		—		—		3,836,900		56,223,184		361,673,636		65,033,941		59,128,390
Average Notional Balance—Short		—		—		4,278,600		148,482		487,797,082		38,141,948		8,409,580
Ending Notional Balance—Long		—		—		4,762,221		73,231,361		294,036,206		45,534,572		57,878,800
Ending Notional Balance—Short		—		—		4,765,971		—		532,287,510		26,655,474		3,540,029
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		—		354,413,701		—		—		—		70,745,160
Average Notional Balance—Receives Fixed rate		—		—		246,090,349		—		—		—		111,545,845
Ending Notional Balance—Pays Fixed Rate		—		—		286,172,792		—		—		—		74,909,546
Ending Notional Balance—Receives Fixed Rate		—		—		97,063,605		—		—		—		73,510,380
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		174,701,318		1,500,946,498		—		3,872,178,837		5,503,311,723		—		—
Average Notional of Underlying Positions—Short		65,691,962		1,423,348,061		—		3,661,512,960		4,561,114,582		—		—
Ending Notional Balance—Long		200,049,927		1,728,236,249		—		4,786,108,914		5,522,346,080		—		—
Ending Notional Balance—Short		82,645,636		1,602,127,830		—		4,445,478,356		4,595,460,608		—		—

	AQR RISK PARITY II HV FUND		AQR RISK PARITY II MV FUND		AQR STYLE PREMIA ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE LV FUND
Futures Contracts:
Average Notional Balance—Long	$	142,803,501	$	133,413,034	$	11,577,756,453	$	624,747,767
Average Notional Balance—Short		3,518,169		2,485,853		6,392,797,815		348,730,854
Ending Notional Balance—Long		136,374,896		128,965,838		10,718,679,340		573,482,538
Ending Notional Balance—Short		2,931,003		2,373,570		7,401,617,935		399,830,601
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		759,775		903,882		2,597,637,510		136,787,896
Average Settlement Value—Sold		14,295,743		13,476,571		2,648,520,492		139,824,265
Ending Value—Purchased		1,785,186		2,229,431		3,167,858,296		162,349,008
Ending Value—Sold		14,981,185		14,106,227		3,350,587,135		172,656,055

AQR Funds Semi-Annual Report June 2017

312

Notes to Financial Statements June 30, 2017 (Unaudited)

	AQR RISK PARITY II HV FUND		AQR RISK PARITY II MV FUND		AQR STYLE PREMIA ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE LV FUND
Total Return Swaps:
Average Notional Balance—Long	$	14,188,560	$	13,892,645	$	578,959,176	$	34,824,542
Average Notional Balance—Short		2,089,301		2,057,181		625,366,451		32,333,002
Ending Notional Balance—Long		12,804,008		12,836,862		590,690,749		33,831,221
Ending Notional Balance—Short		805,539		939,734		782,410,885		39,065,934
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		4,081,798,509		212,190,973
Average Notional of Underlying Positions—Short		—		—		3,207,163,537		167,551,227
Ending Notional Balance—Long		—		—		3,997,037,995		217,086,522
Ending Notional Balance—Short		—		—		3,138,185,588		170,402,687

* Notional values as of each quarter end are used to calculate the average represented.

9. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to a Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Diversified Arbitrage Fund		1.00	%
AQR Equity Market Neutral Fund		1.10
AQR Global Macro Fund		1.25
AQR Long-Short Equity Fund		1.10
AQR Multi-Strategy Alternative Fund		1.80
AQR Risk-Balanced Commodities Strategy Fund		0.80
AQR Risk Parity Fund		0.75	(a)
AQR Risk Parity II HV Fund		0.95	(b)
AQR Risk Parity II MV Fund		0.75	(c)
AQR Style Premia Alternative Fund		1.35
AQR Style Premia Alternative LV Fund		0.65

(a) The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion.

(b) The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion.

(c) The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion.

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Notes to Financial Statements June 30, 2017 (Unaudited)

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2018 for Class I, N and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Diversified Arbitrage Fund		1.20	%		1.45	%		1.10	%
AQR Equity Market Neutral Fund		1.30			1.55			1.20
AQR Global Macro Fund		1.45			1.70			1.35
AQR Long-Short Equity Fund		1.30			1.55			1.20
AQR Multi-Strategy Alternative Fund		1.98			2.23			1.88
AQR Risk-Balanced Commodities Strategy Fund		1.00			1.25			0.90
AQR Risk Parity Fund		0.95			1.20			0.85
AQR Risk Parity II HV Fund		1.15			1.40			1.05
AQR Risk Parity II MV Fund		0.95			1.20			0.85
AQR Style Premia Alternative Fund		1.50			1.75			1.40
AQR Style Premia Alternative LV Fund		0.85			1.10			0.75

For the period ended June 30, 2017 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Diversified Arbitrage Fund	$	170,267	$	2,877	$	173,144
AQR Global Macro Fund		121,116		167		121,283
AQR Risk-Balanced Commodities Strategy Fund		66,713		—		66,713
AQR Risk Parity Fund		50,775		—		50,775
AQR Risk Parity II HV Fund		103,546		—		103,546
AQR Risk Parity II MV Fund		103,270		—		103,270
AQR Style Premia Alternative Fund		344,476		—		344,476
AQR Style Premia Alternative LV Fund		40,488		484		40,972

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement. 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.

For the period ended June 30, 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 June 30, 2017 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2017		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2017		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					2017		2018		2019		2020
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	134,302	$	822,573	$	6,759	$	292,915	$	388,597	$	134,302
Class N		36,580		230,072		—		71,086		122,406		36,580
Class R6		2,262		5,270		1		206		2,801		2,262
Totals	$	173,144	$	1,057,915	$	6,760	$	364,207	$	513,804	$	173,144
AQR EQUITY MARKET NEUTRAL FUND
Class I	$	—	$	—	$	—	$	—	$	—	$	—
Class N		—		38,006		—		38,006		—		—
Class R6		—		52,779		21,651		26,348		4,780		—
Totals	$	—	$	90,785	$	21,651	$	64,354	$	4,780	$	—

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Notes to Financial Statements June 30, 2017 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2017		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2017		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					2017		2018		2019		2020
AQR GLOBAL MACRO FUND
Class I	$	89,508	$	544,061	$	175,240	$	126,341	$	152,972	$	89,508
Class N		12,622		125,525		5,354		71,767		35,782		12,622
Class R6		19,153		45,296		365		383		25,395		19,153
Totals	$	121,283	$	714,882	$	180,959	$	198,491	$	214,149	$	121,283
AQR MULTI-STRATEGY ALTERNATIVE FUND
Class I	$	—	$	209,346	$	51,100	$	158,246	$	—	$	—
Class N		—		23,835		15,114		8,721		—		—
Class R6		—		—		—		—		—		—
Totals	$	—	$	233,181	$	66,214	$	166,967	$	—	$	—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	29,332	$	301,871	$	77,937	$	138,642	$	55,960	$	29,332
Class N		2,432		27,667		14,805		7,371		3,059		2,432
Class R6		34,949		147,961		366		42,155		70,491		34,949
Totals	$	66,713	$	477,499	$	93,108	$	188,168	$	129,510	$	66,713
AQR RISK PARITY FUND
Class I	$	44,543	$	187,776	$	—	$	69,118	$	74,115	$	44,543
Class N		1,837		9,989		—		4,693		3,459		1,837
Class R6		4,395		7,828		1		259		3,173		4,395
Totals	$	50,775	$	205,593	$	1	$	74,070	$	80,747	$	50,775
AQR RISK PARITY II HV FUND
Class I	$	85,959	$	457,149	$	59,267	$	139,839	$	172,084	$	85,959
Class N		12,380		77,594		15,002		28,164		22,048		12,380
Class R6		5,207		21,455		122		7,335		8,791		5,207
Totals	$	103,546	$	556,198	$	74,391	$	175,338	$	202,923	$	103,546
AQR RISK PARITY II MV FUND
Class I	$	96,685	$	511,404	$	75,235	$	164,768	$	174,716	$	96,685
Class N		5,815		35,794		4,004		12,819		13,156		5,815
Class R6		770		2,175		57		167		1,181		770
Totals	$	103,270	$	549,373	$	79,296	$	177,754	$	189,053	$	103,270
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	206,040	$	994,552	$	—	$	288,940	$	499,572	$	206,040
Class N		16,113		95,348		17,695		16,848		44,692		16,113
Class R6		122,323		204,061		3,725		78,013		—		122,323
Totals	$	344,476	$	1,293,961	$	21,420	$	383,801	$	544,264	$	344,476
AQR STYLE PREMIA ALTERNATIVE LV FUND
Class I	$	27,051	$	296,306	$	12,440	$	177,184	$	79,631	$	27,051
Class N		4,128		78,467		12,768		50,106		11,465		4,128
Class R6		9,793		215,053		113,104		73,183		18,973		9,793
Totals	$	40,972	$	589,826	$	138,312	$	300,473	$	110,069	$	40,972

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Notes to Financial Statements June 30, 2017 (Unaudited)

During the period ended June 30, 2017, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Equity Market Neutral Fund	$	114,438	$	20,486	$	21,801
AQR Long-Short Equity Fund		194,592		38,684		—
AQR Multi-Strategy Alternative Fund		98,934		19,730		—

Pursuant to the Sub-Advisory Agreements between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 0.50% and 0.35% of the average daily net assets for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund, respectively.

JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.

State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Long-Short Equity Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

10. Distribution Plan

The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.

11. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of

slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

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.

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316

Notes to Financial Statements June 30, 2017 (Unaudited)

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.

Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

12. Line of Credit

Effective February 24, 2017 and terminating on February 23, 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. The Funds did not have any borrowings for the period ended June 30, 2017.

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317

Notes to Financial Statements June 30, 2017 (Unaudited)

13. Principal Ownership

As of June 30, 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	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Diversified Arbitrage Fund		5		85.39	%
AQR Equity Market Neutral Fund		6		69.86	%
AQR Global Macro Fund*		5		83.19	%
AQR Long-Short Equity Fund		8		76.83	%
AQR Multi-Strategy Alternative Fund		3		77.53	%
AQR Risk-Balanced Commodities Strategy Fund		6		90.20	%
AQR Risk Parity Fund		4		80.42	%
AQR Risk Parity II HV Fund*		8		79.43	%
AQR Risk Parity II MV Fund		4		74.72	%
AQR Style Premia Alternative Fund		6		80.74	%
AQR Style Premia Alternative LV Fund		8		92.53	%

* The percentage held by the Adviser and/or affiliates is 26.57% and 10.75% respectively.

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

14. New Accounting Pronouncements and Regulations

In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization, to modernize and enhance the reporting and disclosure of information by registered investment companies. The SEC is adopting amendments to Regulation S-X, which will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The new rules will allow the SEC to more effectively collect and use data reported by funds, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review.

Compliance with the modifications to Regulation S-X is required for financial statements filed with the SEC on or after August 1, 2017 and other amendments and rules are effective during 2018. Adoption of these rules will have no effect on the Funds’ net assets or results of operations. Management is currently evaluating the impact on the Funds’ financial statements.

15. Subsequent Events

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than noted above.

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Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 06/30/17” 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 6/30/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/17
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$1,045.50		2.08	%		$10.55
Hypothetical Return		$1,000.00		$1,014.48		2.08	%		$10.39
Class N
Actual Return		$1,000.00		$1,044.40		2.33	%		$11.81
Hypothetical Return		$1,000.00		$1,013.24		2.33	%		$11.63
Class R6
Actual Return		$1,000.00		$1,046.70		1.98	%		$10.05
Hypothetical Return		$1,000.00		$1,014.98		1.98	%		$9.89
AQR Equity Market Neutral Fund
Class I
Actual Return		$1,000.00		$1,010.90		2.56	%		$12.76
Hypothetical Return		$1,000.00		$1,012.10		2.56	%		$12.77
Class N
Actual Return		$1,000.00		$1,010.00		2.82	%		$14.05
Hypothetical Return		$1,000.00		$1,010.81		2.82	%		$14.06
Class R6
Actual Return		$1,000.00		$1,011.70		2.47	%		$12.32
Hypothetical Return		$1,000.00		$1,012.55		2.47	%		$12.33

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/17
AQR Global Macro Fund
Class I
Actual Return		$1,000.00		$957.00		1.42	%		$6.89
Hypothetical Return		$1,000.00		$1,017.75		1.42	%		$7.10
Class N
Actual Return		$1,000.00		$955.50		1.70	%		$8.24
Hypothetical Return		$1,000.00		$1,016.36		1.70	%		$8.50
Class R6
Actual Return		$1,000.00		$955.90		1.35	%		$6.55
Hypothetical Return		$1,000.00		$1,018.10		1.35	%		$6.76
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$1,054.30		2.44	%		$12.43
Hypothetical Return		$1,000.00		$1,012.69		2.44	%		$12.18
Class N
Actual Return		$1,000.00		$1,053.10		2.71	%		$13.80
Hypothetical Return		$1,000.00		$1,011.36		2.71	%		$13.51
Class R6
Actual Return		$1,000.00		$1,055.80		2.33	%		$11.88
Hypothetical Return		$1,000.00		$1,013.24		2.33	%		$11.63
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$997.90		2.28	%		$11.29
Hypothetical Return		$1,000.00		$1,013.49		2.28	%		$11.38
Class N
Actual Return		$1,000.00		$996.80		2.54	%		$12.58
Hypothetical Return		$1,000.00		$1,012.20		2.54	%		$12.67
Class R6
Actual Return		$1,000.00		$997.90		2.18	%		$10.80
Hypothetical Return		$1,000.00		$1,013.98		2.18	%		$10.89
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$960.00		1.00	%		$4.86
Hypothetical Return		$1,000.00		$1,019.84		1.00	%		$5.01
Class N
Actual Return		$1,000.00		$957.90		1.25	%		$6.07
Hypothetical Return		$1,000.00		$1,018.60		1.25	%		$6.26
Class R6
Actual Return		$1,000.00		$960.10		0.90	%		$4.37
Hypothetical Return		$1,000.00		$1,020.33		0.90	%		$4.51
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$1,056.70		0.94	%		$4.79
Hypothetical Return		$1,000.00		$1,020.13		0.94	%		$4.71
Class N
Actual Return		$1,000.00		$1,055.80		1.20	%		$6.12
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01
Class R6
Actual Return		$1,000.00		$1,057.80		0.85	%		$4.34
Hypothetical Return		$1,000.00		$1,020.58		0.85	%		$4.26

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/17
AQR Risk Parity II HV Fund
Class I
Actual Return		$1,000.00		$1,030.90		1.30	%		$6.55
Hypothetical Return		$1,000.00		$1,018.35		1.30	%		$6.51
Class N
Actual Return		$1,000.00		$1,029.70		1.58	%		$7.95
Hypothetical Return		$1,000.00		$1,016.96		1.58	%		$7.90
Class R6
Actual Return		$1,000.00		$1,032.10		1.23	%		$6.20
Hypothetical Return		$1,000.00		$1,018.70		1.23	%		$6.16
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$1,022.30		0.95	%		$4.76
Hypothetical Return		$1,000.00		$1,020.08		0.95	%		$4.76
Class N
Actual Return		$1,000.00		$1,021.20		1.20	%		$6.01
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01
Class R6
Actual Return		$1,000.00		$1,022.30		0.85	%		$4.26
Hypothetical Return		$1,000.00		$1,020.58		0.85	%		$4.26
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$1,013.10		2.51	%		$12.53
Hypothetical Return		$1,000.00		$1,012.35		2.51	%		$12.52
Class N
Actual Return		$1,000.00		$1,012.10		2.77	%		$13.82
Hypothetical Return		$1,000.00		$1,011.06		2.77	%		$13.81
Class R6
Actual Return		$1,000.00		$1,014.10		2.42	%		$12.09
Hypothetical Return		$1,000.00		$1,012.79		2.42	%		$12.08
AQR Style Premia Alternative LV Fund
Class I
Actual Return		$1,000.00		$1,009.60		1.41	%		$7.03
Hypothetical Return		$1,000.00		$1,017.80		1.41	%		$7.05
Class N
Actual Return		$1,000.00		$1,008.70		1.66	%		$8.27
Hypothetical Return		$1,000.00		$1,016.56		1.66	%		$8.30
Class R6
Actual Return		$1,000.00		$1,010.60		1.31	%		$6.53
Hypothetical Return		$1,000.00		$1,018.30		1.31	%		$6.56

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).

AQR Funds Semi-Annual Report June 2017

321

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Sub-Adviser

CNH Partners, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248

p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Semi-Annual Report

June 30, 2017 (Unaudited)

AQR Managed Futures Strategy Fund

AQR Managed Futures Strategy HV Fund

Table of Contents

Schedule of Investments
AQR Managed Futures Strategy Fund	2
AQR Managed Futures Strategy HV Fund	15
Financial Statements and Notes	26
Fund Expense Examples	48

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 98.6%
INVESTMENT COMPANIES - 15.5%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.84% (a)(b)		58,580,808	$	58,580,808
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.86% (a)(b)		234,323,233		234,323,233
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (a)(b)(c)		500,232,721		500,232,721
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (a)(c)		155,949,210		155,949,210
Limited Purpose Cash Investment Fund, 0.81% (a)(d)		619,702,993		619,641,022
UBS Select Treasury Preferred Fund, Class I, 0.85% (a)(b)		292,904,042		292,904,042
TOTAL INVESTMENT COMPANIES (Cost $1,861,631,036)				1,861,631,036
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 83.1%
U.S. Treasury Bills 0.63%, 7/6/2017 (b)(e)(f)	$	304,160,000		304,140,838
0.59%, 7/13/2017 (b)(e)(f)		115,926,000		115,901,076
0.61%, 7/20/2017 (b)(f)		411,349,000		411,197,212
0.60%, 7/27/2017 (b)(e)(f)		1,045,191,000		1,044,619,281
0.63%, 8/3/2017 (b)(f)		1,420,074,000		1,419,031,666
0.62%, 8/10/2017 (b)(f)		530,519,000		530,030,922

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 83.1% (continued)
0.65%, 8/17/2017 (b)(f)	$	353,005,000	$	352,606,104
0.67%, 8/24/2017 (f)		129,007,000		128,835,937
0.67%, 8/31/2017 (b)(f)		503,527,000		502,765,667
0.91%, 9/14/2017 (b)(f)		1,005,523,000		1,003,591,390
0.89%, 9/21/2017 (b)(f)		162,338,000		161,986,863
0.91%, 9/28/2017 (b)(f)		795,292,000		793,350,692
0.91%, 10/5/2017 (b)(e)(f)		545,746,000		544,299,773
0.95%, 10/12/2017 (b)(e)(f)		24,938,000		24,865,780
0.96%, 10/26/2017 (e)(f)		174,103,000		173,524,456
1.03%, 11/16/2017 (b)(e)(f)		32,903,000		32,772,178
1.06%, 11/30/2017 (b)(e)(f)		533,749,000		531,401,038
1.07%, 12/7/2017 (b)(e)(f)		904,332,000		900,112,387
1.11%, 12/14/2017 (b)(e)(f)		714,873,000		711,396,573
1.13%, 12/21/2017 (e)(f)		302,881,000		301,335,398
1.12%, 12/28/2017 (f)		2,834,000		2,818,288
TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,991,467,446)				9,990,583,519
TOTAL SHORT-TERM INVESTMENTS (Cost $11,853,098,482)				11,852,214,555
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.6% (Cost $11,853,098,482)				11,852,214,555
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% (g)				174,200,244
NET ASSETS - 100.0%			$	12,026,414,799

(a) Represents 7-day effective yield as of 6/30/2017.

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

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

(d) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/16	SHARES PURCHASED		SHARES SOLD	SHARES HELD AT 06/30/17	VALUE AT 06/30/17	DIVIDEND INCOME	NET REALIZED GAIN (LOSS)	NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates
Limited Purpose Cash Investment Fund (Short-Term Investment)	—		2,442,195,419	(1,822,492,426)	619,702,993	$619,641,022	$449,726	$(9,459)	$—

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

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

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

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

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

AQR Funds Semi-Annual Report June 2017

2

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
MSCS	Bovespa Index August Futures	08/2017	BRL		(263,768,338	)		$(1,705,514	)
GSIN	Coffee ‘C’ September Futures^	08/2017	USD		(9,186,712	)		(5,100	)
MACQ	Coffee ‘C’ September Futures^	08/2017	USD		(11,810,383	)		(303,954	)
CITI	Corn September Futures^	08/2017	USD		(55,213,813	)		1,378,513
MLIN	Corn September Futures^	08/2017	USD		(30,546,094	)		732,844
GSIN	Cotton No. 2 December Futures^	11/2017	USD		6,909,435			(427,680	)
GSIN	Cotton No. 2 December Futures^	11/2017	USD		(6,523,335	)		41,580
MACQ	Cotton No. 2 December Futures^	11/2017	USD		(10,991,250	)		(86,035	)
MACQ	Cotton No. 2 December Futures^	11/2017	USD		11,808,905			(731,621	)
MLIN	Cotton No. 2 December Futures^	11/2017	USD		10,202,870			(634,565	)
MLIN	Cotton No. 2 December Futures^	11/2017	USD		(9,891,490	)		323,185
SOCG	Cotton No. 2 December Futures^	11/2017	USD		(16,937,022	)		818,372
SOCG	Cotton No. 2 December Futures^	11/2017	USD		17,171,995			(1,053,346	)
BANA	Hang Seng Index July Futures	07/2017	HKD		179,719,965			(80,048	)
GSIN	Hang Seng Index July Futures	07/2017	HKD		1,296,627,351			(423,267	)
MSCS	Hang Seng Index July Futures	07/2017	HKD		298,751,793			(87,900	)
MACQ	Hard Red Winter Wheat September Futures^	08/2017	USD		9,843,047			720,478
MACQ	Hard Red Winter Wheat September Futures^	08/2017	USD		(13,017,732	)		(1,728,843	)
MLIN	Hard Red Winter Wheat September Futures^	08/2017	USD		(93,313	)		(12,588	)
MLIN	Hard Red Winter Wheat September Futures^	08/2017	USD		96,100			9,800
SOCG	Hard Red Winter Wheat September Futures^	08/2017	USD		(5,627,796	)		(752,679	)
SOCG	Hard Red Winter Wheat September Futures^	08/2017	USD		5,764,424			616,051
BANA	H-SHARES Index July Futures	07/2017	HKD		109,836,442			(161,402	)
GSIN	H-SHARES Index July Futures	07/2017	HKD		1,609,915,641			(1,713,975	)
GSIN	KOSPI Index 200 September Futures	09/2017	KRW		32,037,417,525			444,044
MSCS	KOSPI Index 200 September Futures	09/2017	KRW		328,146,347,300			4,483,439
GSIN	Lean Hogs August Futures^	08/2017	USD		(1,454,400	)		(53,100	)
GSIN	Lean Hogs August Futures^	08/2017	USD		1,456,740			50,760
MACQ	Lean Hogs August Futures^	08/2017	USD		4,941,192			150,808
MACQ	Lean Hogs August Futures^	08/2017	USD		(13,679,465	)		(491,035	)
GSIN	Lean Hogs July Futures^	07/2017	USD		(18,658,548	)		(3,272,702	)
GSIN	Lean Hogs July Futures^	07/2017	USD		19,274,200			2,657,050
MACQ	Lean Hogs July Futures^	07/2017	USD		(24,323,894	)		(4,204,856	)
MACQ	Lean Hogs July Futures^	07/2017	USD		25,268,438			3,260,312
MLIN	Lean Hogs July Futures^	07/2017	USD		(11,085,642	)		(1,964,358	)
MLIN	Lean Hogs July Futures^	07/2017	USD		11,923,040			1,126,960
SOCG	Lean Hogs July Futures^	07/2017	USD		16,365,701			1,686,799
SOCG	Lean Hogs July Futures^	07/2017	USD		(15,386,725	)		(2,665,775	)
MACQ	Live Cattle August Futures^	08/2017	USD		20,604,145			(833,145	)
MACQ	Live Cattle August Futures^	08/2017	USD		(147,435	)		7,875
MLIN	Live Cattle August Futures^	08/2017	USD		(7,531,220	)		227,580
MLIN	Live Cattle August Futures^	08/2017	USD		67,351,137			(3,200,057	)
SOCG	Live Cattle August Futures^	08/2017	USD		102,282,936			(4,172,256	)
MSCS	MSCI Singapore Index July Futures	07/2017	SGD		40,577,209			76,882
BANA	MSCI Taiwan Stock Index July Futures	07/2017	USD		9,878,867			(130,777	)
GSIN	MSCI Taiwan Stock Index July Futures	07/2017	USD		149,679,510			(1,184,890	)
MSCS	MSCI Taiwan Stock Index July Futures	07/2017	USD		90,096,157			(1,014,797	)
BANA	OMXS30 Index July Futures	07/2017	SEK		591,253,763			(1,933,310	)
GSIN	SGX S&P CNX Nifty Index July Futures	07/2017	USD		54,530,524			(84,704	)
MSCS	SGX S&P CNX Nifty Index July Futures	07/2017	USD		47,697,815			(143,389	)
CITI	Soybean Meal December Futures^	11/2017	USD		(91,468,731	)		(926,549	)
MACQ	Soybean Meal December Futures^	11/2017	USD		(25,004,549	)		(140,411	)
MLIN	Soybean Meal December Futures^	11/2017	USD		(74,593,070	)		(406,130	)

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

AQR Funds Semi-Annual Report June 2017

3

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
SOCG	Soybean Meal December Futures^	11/2017		USD		(31,791,323	)		$ (168,917	)
CITI	Soybean November Futures^	10/2017		USD		(214,058,319	)		(3,338,256	)
GSIN	Soybean November Futures^	10/2017		USD		(77,104,941	)		(1,184,559	)
GSIN	Soybean November Futures^	10/2017		USD		17,875,057			265,193
MACQ	Soybean November Futures^	10/2017		USD		(149,431,019	)		(1,944,593	)
MLIN	Soybean November Futures^	10/2017		USD		(61,328,563	)		(873,400	)
SOCG	Soybean November Futures^	10/2017		USD		(10,413,451	)		(136,537	)
GSIN	Soybean Oil December Futures^	11/2017		USD		1,662,468			(22,140	)
GSIN	Soybean Oil December Futures^	11/2017		USD		(8,622,444	)		(259,332	)
MACQ	Soybean Oil December Futures^	11/2017		USD		(10,314,041	)		(328,087	)
MACQ	Soybean Oil December Futures^	11/2017		USD		8,075,970			145,674
SOCG	Soybean Oil December Futures^	11/2017		USD		307,639			12,425
SOCG	Soybean Oil December Futures^	11/2017		USD		(310,211	)		(9,853	)
BANA	Swiss Market Index September Futures	09/2017		CHF		81,693,852			300,675
MSCS	Swiss Market Index September Futures	09/2017		CHF		144,480,960			495,929
BANA	Taiwan Stock Exchange July Futures	07/2017		TWD		3,393,951,653			2,688,219
CITI	Wheat September Futures^	08/2017		USD		102,176,890			9,203,610
CITI	Wheat September Futures^	08/2017		USD		(96,934,091	)		(14,446,410	)
MACQ	Wheat September Futures^	08/2017		USD		4,942,898			54,103
MACQ	Wheat September Futures^	08/2017		USD		(16,711,064	)		(2,461,636	)
MLIN	Wheat September Futures^	08/2017		USD		238,750			24,250
MLIN	Wheat September Futures^	08/2017		USD		(227,887	)		(35,113	)
SOCG	Wheat September Futures^	08/2017		USD		75,415,711			7,850,089
SOCG	Wheat September Futures^	08/2017		USD		(72,466,801	)		(10,798,999	)
									$(32,885,091	)

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

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
3,264	MSCL	Copper Futures^		09/2017		$212,761,988		$221,217,600		$8,455,612
474	MSCL	Hard Red Winter Wheat Futures^		09/2017		11,633,793		12,549,150		915,357
33	MSCL	Live Cattle Futures^		08/2017		1,620,688		1,535,160		(85,528	)
263	JPPC	LME Aluminum Futures^		07/2017		12,871,607		12,581,263		(290,344	)
493	JPPC	LME Aluminum Futures^		08/2017		23,596,519		23,570,576		(25,943	)
444	JPPC	LME Aluminum Futures^		08/2017		21,330,370		21,229,638		(100,732	)
276	JPPC	LME Aluminum Futures^		08/2017		13,232,970		13,197,975		(34,995	)
204	JPPC	LME Aluminum Futures^		08/2017		9,631,850		9,758,442		126,592
278	JPPC	LME Aluminum Futures^		08/2017		13,066,820		13,299,381		232,561
261	JPPC	LME Aluminum Futures^		08/2017		12,182,286		12,487,219		304,933
267	JPPC	LME Aluminum Futures^		08/2017		12,590,425		12,774,815		184,390
10	JPPC	LME Aluminum Futures^		08/2017		486,721		478,740		(7,981	)
124	JPPC	LME Aluminum Futures^		08/2017		6,067,935		5,936,903		(131,032	)
253	JPPC	LME Aluminum Futures^		08/2017		12,119,544		12,119,712		168
118	JPPC	LME Aluminum Futures^		09/2017		5,595,981		5,655,740		59,759
137	JPPC	LME Aluminum Futures^		09/2017		6,418,854		6,571,719		152,865
1,941	JPPC	LME Aluminum Futures^		09/2017		93,873,192		93,143,737		(729,455	)
123	JPPC	LME Aluminum Futures^		09/2017		5,781,051		5,902,001		120,950
520	JPPC	LME Aluminum Futures^		09/2017		24,424,743		24,943,750		519,007

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

AQR Funds Semi-Annual Report June 2017

4

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
72	JPPC	LME Aluminum Futures^		09/2017		$3,370,676		$3,454,002		$83,326
13	JPPC	LME Aluminum Futures^		09/2017		607,813		623,652		15,839
15	JPPC	LME Aluminum Futures^		09/2017		707,662		719,610		11,948
36	JPPC	LME Aluminum Futures^		09/2017		1,717,409		1,727,100		9,691
29	JPPC	LME Copper Futures^		07/2017		4,130,144		4,298,888		168,744
82	JPPC	LME Copper Futures^		08/2017		11,301,791		12,157,136		855,345
50	JPPC	LME Copper Futures^		08/2017		6,862,648		7,413,438		550,790
51	JPPC	LME Copper Futures^		08/2017		7,094,100		7,561,872		467,772
480	JPPC	LME Copper Futures^		09/2017		68,034,041		71,283,000		3,248,959
238	JPPC	LME Nickel Futures^		07/2017		13,245,283		13,365,666		120,383
208	JPPC	LME Nickel Futures^		08/2017		11,452,803		11,696,518		243,715
218	JPPC	LME Nickel Futures^		09/2017		11,609,034		12,270,021		660,987
12	JPPC	LME Nickel Futures^		09/2017		660,814		675,900		15,086
27	JPPC	LME Nickel Futures^		09/2017		1,482,380		1,520,613		38,233
25	JPPC	LME Nickel Futures^		09/2017		1,369,561		1,408,275		38,714
3	JPPC	LME Nickel Futures^		09/2017		164,203		169,002		4,799
9	JPPC	LME Nickel Futures^		09/2017		497,384		507,033		9,649
7	JPPC	LME Nickel Futures^		09/2017		391,349		394,380		3,031
102	JPPC	LME Zinc Futures^		07/2017		6,592,000		7,025,888		433,888
139	JPPC	LME Zinc Futures^		07/2017		8,987,616		9,578,838		591,222
81	JPPC	LME Zinc Futures^		07/2017		5,153,317		5,582,419		429,102
115	JPPC	LME Zinc Futures^		07/2017		7,486,494		7,925,771		439,277
57	JPPC	LME Zinc Futures^		07/2017		3,735,777		3,928,468		192,691
4	JPPC	LME Zinc Futures^		07/2017		261,662		275,696		14,034
185	JPPC	LME Zinc Futures^		07/2017		12,130,672		12,751,310		620,638
324	JPPC	LME Zinc Futures^		09/2017		22,032,875		22,356,000		323,125
39	JPPC	LME Zinc Futures^		09/2017		2,645,376		2,689,372		43,996
33	JPPC	LME Zinc Futures^		09/2017		2,243,503		2,275,350		31,847
56	JPPC	LME Zinc Futures^		09/2017		3,835,438		3,861,200		25,762
56	JPPC	LME Zinc Futures^		09/2017		3,824,981		3,861,200		36,219
62	JPPC	LME Zinc Futures^		09/2017		4,266,091		4,274,900		8,809
919	MSCL	NYMEX Palladium Futures^		09/2017		73,267,531		76,888,135		3,620,604
167	MSCL	Soybean Oil Futures^		12/2017		3,300,545		3,340,668		40,123
185	MSCL	Wheat Futures^		09/2017		4,516,490		4,865,500		349,010
1,588	BARC	Amsterdam Index Futures		07/2017		190,140,864		183,731,273		(6,409,591	)
5,167	BARC	CAC40 Index Futures		07/2017		311,473,219		301,949,684		(9,523,535	)
955	BARC	DAX Index Futures		09/2017		348,797,788		335,951,998		(12,845,790	)
4,409	BARC	E-Mini DJIA CBOT Futures		09/2017		468,409,552		469,558,500		1,148,948
1,419	JPMS	E-Mini MSCI EAFE Index Futures		09/2017		134,157,241		134,067,120		(90,121	)
5,437	JPMS	E-Mini MSCI Emerging Markets Index Futures		09/2017		273,262,847		274,106,355		843,508
2,119	BARC	E-Mini Russell 2000 Futures		09/2017		150,463,208		149,845,085		(618,123	)
7,635	BARC	Euro Stoxx 50 Index Futures		09/2017		309,942,724		299,194,013		(10,748,711	)
3,348	BARC	FTSE 100 Index Futures		09/2017		325,324,279		315,816,632		(9,507,647	)
1,947	GSCO	FTSE Bursa Malaysia KLCI Index Futures		09/2017		301,434,638		300,519,741		(914,897	)
293	BARC	FTSE/MIB Index Futures		09/2017		35,211,810		34,299,946		(911,864	)
676	BARC	Hang Seng Index Futures		07/2017		111,089,838		110,762,541		(327,297	)

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

AQR Funds Semi-Annual Report June 2017

5

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
645	BARC	H-SHARES Index Futures		07/2017		$42,475,595			$42,112,182			$(363,413	)
1,570	BARC	IBEX 35 Index Futures		07/2017		193,858,501			186,596,047			(7,262,454	)
1,009	BARC	KOSPI Index 200 Futures		09/2017		67,952,427			68,984,858			1,032,431
104	JPMS	KOSPI Index 200 Futures		09/2017		7,015,854			7,110,432			94,578
1,509	BARC	MSCI Singapore Index Futures		07/2017		39,162,521			39,288,255			125,734
166	BARC	MSCI Taiwan Stock Index Futures		07/2017		6,471,003			6,395,980			(75,023	)
4,425	BARC	NASDAQ 100 E-Mini Index Futures		09/2017		510,688,142			500,268,375			(10,419,767	)
1,698	JPMS	Nikkei 225 Futures		09/2017		303,956,259			302,235,696			(1,720,563	)
5,351	JPMS	OMXS30 Index Futures		07/2017		104,905,666			101,799,652			(3,106,014	)
4,152	BARC	S&P 500 E-Mini Futures		09/2017		504,417,830			502,578,840			(1,838,990	)
1,357	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		188,917,683			186,095,682			(2,822,001	)
651	BARC	S&PMID 400 E-Mini Futures		09/2017		114,291,520			113,671,110			(620,410	)
805	BARC	SPI 200 Index Futures		09/2017		88,438,833			87,379,150			(1,059,683	)
2,700	BARC	TOPIX Index Futures		09/2017		384,769,257			386,845,966			2,076,709
84	JPMS	3-Month Euro Euribor Futures		12/2017		24,059,550			24,053,507			(6,043	)
1,121	JPMS	3-Month Euro Euribor Futures		06/2018		320,953,183			320,743,714			(209,469	)
1,125	JPMS	3-Month Euro Euribor Futures		12/2018		321,840,586			321,518,791			(321,795	)
351	JPMS	3-Month Euro Euribor Futures		03/2019		100,368,383			100,248,717			(119,666	)
1,282	JPMS	90-Day Sterling Futures		12/2017		208,001,132			207,674,038			(327,094	)
1,209	JPMS	90-Day Sterling Futures		12/2018		195,810,804			195,317,137			(493,667	)
1,960	JPMS	90-Day Sterling Futures		03/2019		317,331,327			316,515,526			(815,801	)
2,357	JPMS	90-Day Sterling Futures		06/2019		381,630,222			380,434,240			(1,195,982	)
181	JPMS	ASX 90 Day Bank Accepted Bills Futures		03/2018		138,542,696			138,488,271			(54,425	)
1,139	JPMS	Australia 10-Year Bond Futures		09/2017		114,988,390			113,158,554			(1,829,836	)
1,854	GSCO	Canadian 10-Year Bond Futures		09/2017		206,351,860			200,940,546			(5,411,314	)
1,220	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2017		233,014,304			232,030,960			(983,344	)
3,927	GSCO	Euro-OAT Futures		09/2017		672,256,967			665,965,912			(6,291,055	)
1,571	GSCO	Euro-SCHATZ Futures		09/2017		201,229,501			200,694,428			(535,073	)
6,218	GSCO	Long Gilt Futures		09/2017		1,032,004,955			1,016,945,447			(15,059,508	)
						10,793,679,759			10,707,575,243			(86,104,516	)
Short Contracts:
7,898	GSCO	Brent Crude Futures^		07/2017		$(367,911,927	)		$(385,185,460	)		$(17,273,533	)
1,482	GSCO	Cocoa Futures^		09/2017		(30,065,873	)		(29,436,020	)		629,853
1,131	MSCL	Cocoa Futures^		09/2017		(21,044,673	)		(21,941,400	)		(896,727	)
2,906	MSCL	Coffee ‘C’ Futures^		09/2017		(140,093,646	)		(136,981,575	)		3,112,071
3,170	MSCL	Corn Futures^		09/2017		(58,445,620	)		(60,388,500	)		(1,942,880	)
763	MSCL	Cotton No. 2 Futures^		12/2017		(25,606,063	)		(26,167,085	)		(561,022	)

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

AQR Funds Semi-Annual Report June 2017

6

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
6,385	GSCO	Gas Oil Futures^		08/2017		$(267,957,111	)		$(278,386,000	)		$(10,428,889	)
2,572	MSCL	Gasoline RBOB Futures^		07/2017		(157,542,066	)		(163,515,929	)		(5,973,863	)
3,366	MSCL	Gold 100 OZ Futures^		08/2017		(419,803,919	)		(418,158,180	)		1,645,739
3,775	MSCL	Heating Oil ULSD Futures^		07/2017		(223,747,037	)		(235,145,505	)		(11,398,468	)
31	MSCL	Lean Hogs Futures^		08/2017		(984,786	)		(1,038,500	)		(53,714	)
263	JPPC	LME Aluminum Futures^		07/2017		(12,823,081	)		(12,581,263	)		241,818
493	JPPC	LME Aluminum Futures^		08/2017		(23,598,095	)		(23,570,577	)		27,518
444	JPPC	LME Aluminum Futures^		08/2017		(21,304,231	)		(21,229,638	)		74,593
276	JPPC	LME Aluminum Futures^		08/2017		(13,181,622	)		(13,197,975	)		(16,353	)
204	JPPC	LME Aluminum Futures^		08/2017		(9,597,901	)		(9,758,442	)		(160,541	)
278	JPPC	LME Aluminum Futures^		08/2017		(13,061,362	)		(13,299,381	)		(238,019	)
261	JPPC	LME Aluminum Futures^		08/2017		(12,217,370	)		(12,487,219	)		(269,849	)
267	JPPC	LME Aluminum Futures^		08/2017		(12,566,430	)		(12,774,815	)		(208,385	)
10	JPPC	LME Aluminum Futures^		08/2017		(485,726	)		(478,741	)		6,985
124	JPPC	LME Aluminum Futures^		08/2017		(6,081,096	)		(5,936,903	)		144,193
253	JPPC	LME Aluminum Futures^		08/2017		(12,092,555	)		(12,119,712	)		(27,157	)
118	JPPC	LME Aluminum Futures^		09/2017		(5,604,711	)		(5,655,740	)		(51,029	)
137	JPPC	LME Aluminum Futures^		09/2017		(6,414,627	)		(6,571,719	)		(157,092	)
904	JPPC	LME Aluminum Futures^		09/2017		(42,449,873	)		(43,380,700	)		(930,827	)
123	JPPC	LME Aluminum Futures^		09/2017		(5,773,556	)		(5,902,001	)		(128,445	)
520	JPPC	LME Aluminum Futures^		09/2017		(24,365,355	)		(24,943,750	)		(578,395	)
72	JPPC	LME Aluminum Futures^		09/2017		(3,355,819	)		(3,454,002	)		(98,183	)
13	JPPC	LME Aluminum Futures^		09/2017		(608,777	)		(623,652	)		(14,875	)
15	JPPC	LME Aluminum Futures^		09/2017		(708,638	)		(719,610	)		(10,972	)
36	JPPC	LME Aluminum Futures^		09/2017		(1,715,999	)		(1,727,100	)		(11,101	)
29	JPPC	LME Copper Futures^		07/2017		(4,135,098	)		(4,298,888	)		(163,790	)
82	JPPC	LME Copper Futures^		08/2017		(11,317,916	)		(12,157,136	)		(839,220	)
50	JPPC	LME Copper Futures^		08/2017		(6,888,136	)		(7,413,437	)		(525,301	)
51	JPPC	LME Copper Futures^		08/2017		(7,093,357	)		(7,561,872	)		(468,515	)
238	JPPC	LME Nickel Futures^		07/2017		(13,192,460	)		(13,365,666	)		(173,206	)
208	JPPC	LME Nickel Futures^		08/2017		(11,560,224	)		(11,696,518	)		(136,294	)
218	JPPC	LME Nickel Futures^		09/2017		(11,630,152	)		(12,270,021	)		(639,869	)
323	JPPC	LME Nickel Futures^		09/2017		(17,457,998	)		(18,192,975	)		(734,977	)
27	JPPC	LME Nickel Futures^		09/2017		(1,483,807	)		(1,520,613	)		(36,806	)
25	JPPC	LME Nickel Futures^		09/2017		(1,366,018	)		(1,408,275	)		(42,257	)
3	JPPC	LME Nickel Futures^		09/2017		(164,009	)		(169,002	)		(4,993	)
9	JPPC	LME Nickel Futures^		09/2017		(496,773	)		(507,033	)		(10,260	)
7	JPPC	LME Nickel Futures^		09/2017		(391,716	)		(394,380	)		(2,664	)
102	JPPC	LME Zinc Futures^		07/2017		(6,623,693	)		(7,025,888	)		(402,195	)
139	JPPC	LME Zinc Futures^		07/2017		(8,929,710	)		(9,578,837	)		(649,127	)
81	JPPC	LME Zinc Futures^		07/2017		(5,172,909	)		(5,582,418	)		(409,509	)
115	JPPC	LME Zinc Futures^		07/2017		(7,521,997	)		(7,925,771	)		(403,774	)
57	JPPC	LME Zinc Futures^		07/2017		(3,713,233	)		(3,928,469	)		(215,236	)
4	JPPC	LME Zinc Futures^		07/2017		(260,747	)		(275,696	)		(14,949	)
185	JPPC	LME Zinc Futures^		07/2017		(12,102,386	)		(12,751,311	)		(648,925	)
39	JPPC	LME Zinc Futures^		09/2017		(2,652,879	)		(2,689,371	)		(36,492	)
33	JPPC	LME Zinc Futures^		09/2017		(2,243,094	)		(2,275,350	)		(32,256	)
56	JPPC	LME Zinc Futures^		09/2017		(3,831,259	)		(3,861,200	)		(29,941	)
56	JPPC	LME Zinc Futures^		09/2017		(3,829,213	)		(3,861,200	)		(31,987	)
62	JPPC	LME Zinc Futures^		09/2017		(4,285,869	)		(4,274,900	)		10,969
10,222	MSCL	Natural Gas Futures^		07/2017		(304,213,036	)		(310,237,700	)		(6,024,664	)
1,227	MSCL	Platinum Futures^		10/2017		(56,813,621	)		(56,834,640	)		(21,019	)
2,539	MSCL	Silver Futures^		09/2017		(210,170,573	)		(211,079,765	)		(909,192	)
79	MSCL	Soybean Futures^		11/2017		(3,703,969	)		(3,771,263	)		(67,294	)

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

AQR Funds Semi-Annual Report June 2017

7

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1,988	MSCL	Soybean Meal Futures^		12/2017		$(61,269,301	)		$(61,866,560	)		$(597,259	)
9,659	MSCL	Sugar #11 (World Markets) Futures^		09/2017		(155,397,687	)		(149,397,684	)		6,000,003
9,732	MSCL	WTI Crude Futures^		07/2017		(440,703,111	)		(448,061,280	)		(7,358,169	)
1,376	JPMS	FTSE China Index Futures		07/2017		(15,656,113	)		(15,634,800	)		21,313
2,014	GSCO	10-Year Japanese Government Bond Futures		09/2017		(2,694,004,617	)		(2,687,899,889	)		6,104,728
1,431	JPMS	3-Month Euro Euribor Futures		03/2018		(409,650,393	)		(409,625,669	)		24,724
347	JPMS	3-Month Euro Euribor Futures		09/2018		(99,238,148	)		(99,235,088	)		3,060
1,499	JPMS	3-Month Euro Euribor Futures		06/2019		(427,891,733	)		(427,870,901	)		20,832
9,966	JPMS	90-Day EURODollar Futures		12/2017		(2,455,775,873	)		(2,454,750,375	)		1,025,498
4,392	JPMS	90-Day EURODollar Futures		03/2018		(1,081,441,090	)		(1,080,871,200	)		569,890
1,423	JPMS	90-Day EURODollar Futures		06/2018		(350,080,535	)		(349,933,488	)		147,047
1,762	JPMS	90-Day EURODollar Futures		09/2018		(432,683,749	)		(432,967,450	)		(283,701	)
2,471	JPMS	90-Day EURODollar Futures		12/2018		(605,650,608	)		(606,630,500	)		(979,892	)
3,444	JPMS	90-Day EURODollar Futures		03/2019		(841,800,697	)		(845,028,450	)		(3,227,753	)
3,012	JPMS	90-Day EURODollar Futures		06/2019		(739,410,349	)		(738,580,050	)		830,299
744	JPMS	90-Day Sterling Futures		03/2018		(120,417,184	)		(120,425,317	)		(8,133	)
1,144	JPMS	90-Day Sterling Futures		06/2018		(185,013,447	)		(185,021,091	)		(7,644	)
618	JPMS	90-Day Sterling Futures		09/2018		(99,878,865	)		(99,889,846	)		(10,981	)
226	JPMS	ASX 90 Day Bank Accepted Bills Futures		12/2017		(172,959,306	)		(172,948,774	)		10,532
11,618	JPMS	Australia 3-Year Bond Futures		09/2017		(999,109,974	)		(997,015,179	)		2,094,795
837	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2018		(159,191,588	)		(159,051,299	)		140,289
632	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		09/2017		(103,167,887	)		(104,833,000	)		(1,665,113	)
141	JPMS	Euro CHF 3-Month LIFFE Futures		09/2017		(37,036,017	)		(37,025,550	)		10,467
2,126	JPMS	Euro CHF 3-Month LIFFE Futures		12/2017		(558,476,782	)		(558,105,485	)		371,297
1,562	JPMS	Euro CHF 3-Month LIFFE Futures		03/2018		(410,202,271	)		(409,925,227	)		277,044
1,026	JPMS	Euro CHF 3-Month LIFFE Futures		06/2018		(269,368,222	)		(269,179,216	)		189,006
123	GSCO	Euro-Bobl Futures		09/2017		(18,512,549	)		(18,501,802	)		10,747
173	GSCO	Euro-Bund Futures		09/2017		(32,043,921	)		(31,984,209	)		59,712
1,445	GSCO	Euro-Buxl 30-Year Bond Futures		09/2017		(273,105,543	)		(269,874,509	)		3,231,034
2,023	MSCL	U.S. Treasury 10-Year Note Futures		09/2017		(254,438,463	)		(253,949,719	)		488,744
15,636	MSCL	U.S. Treasury 2-Year Note Futures		09/2017		(3,380,712,692	)		(3,379,086,187	)		1,626,505

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

AQR Funds Semi-Annual Report June 2017

8

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2,382	MSCL	U.S. Treasury 5-Year Note Futures		09/2017		$(280,985,079	)		$(280,685,203	)		$299,876
1,100	MSCL	U.S. Treasury Long Bond Futures		09/2017		(168,286,161	)		(169,056,250	)		(770,089	)
						(20,998,015,352	)		(21,048,577,936	)		(50,562,584	)
						$(10,204,335,593	)		$(10,341,002,693	)		$(136,667,100	)

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

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		452,154,812		$343,594,155		$347,182,527		$3,588,372
Australian Dollar, Expiring 09/20/17	JPMC	AUD		678,232,212		515,392,562		520,773,784		5,381,222
Brazilian Real, Expiring 09/20/17*	CITI	BRL		205,248,797		61,403,496		60,974,312		(429,184	)
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		297,199,195		88,934,690		88,290,487		(644,203	)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		1,483,222,774		1,121,964,814		1,145,183,109		23,218,295
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		2,224,834,154		1,682,949,770		1,717,774,650		34,824,880
Swiss Franc, Expiring 09/20/17	CITI	CHF		4,381,600		4,537,770		4,592,405		54,635
Swiss Franc, Expiring 09/20/17	JPMC	CHF		6,572,400		6,806,665		6,888,609		81,944
Chilean Peso, Expiring 09/20/17*	CITI	CLP		35,235,658,649		52,840,826		52,959,230		118,404
Chilean Peso, Expiring 09/20/17*	JPMC	CLP		42,973,116,743		64,500,941		64,588,640		87,699
Colombian Peso, Expiring 09/20/17*	CITI	COP		135,793,437,208		45,960,188		44,101,636		(1,858,552	)
Colombian Peso, Expiring 09/20/17*	JPMC	COP		182,739,512,088		61,855,507		59,348,311		(2,507,196	)
Euro, Expiring 09/20/17	CITI	EUR		1,490,867,180		1,683,278,340		1,709,838,513		26,560,173
Euro, Expiring 09/20/17	JPMC	EUR		2,236,300,768		2,524,921,075		2,564,757,764		39,836,689
British Pound, Expiring 09/20/17	CITI	GBP		103,459,600		133,847,431		135,076,968		1,229,537
British Pound, Expiring 09/20/17	JPMC	GBP		155,189,400		200,771,664		202,615,453		1,843,789
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		96,663,600		12,433,995		12,407,648		(26,347	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		144,995,400		18,651,013		18,611,476		(39,537	)
Hungarian Forint, Expiring 09/20/17	CITI	HUF		29,259,675,274		107,230,029		108,561,766		1,331,737

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

AQR Funds Semi-Annual Report June 2017

9

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		43,889,512,896		$ 160,845,115		$ 162,842,645		$ 1,997,530
Indonesian Rupiah, Expiring 09/20/17*	CITI	IDR		761,535,418,368		56,644,192		56,648,335		4,143
Indonesian Rupiah, Expiring 09/20/17*	JPMC	IDR		1,130,267,823,576		84,070,171		84,077,232		7,061
Israeli Shekel, Expiring 09/20/17	CITI	ILS		408,825,400		115,352,328		117,562,649		2,210,321
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		578,985,600		163,286,835		166,494,254		3,207,419
Indian Rupee, Expiring 09/20/17*	CITI	INR		8,956,266,716		137,489,876		137,379,048		(110,828	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		12,533,983,092		192,360,010		192,257,188		(102,822	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		42,668,843,050		389,267,885		380,662,960		(8,604,925	)
Japanese Yen, Expiring 09/20/17	JPMC	JPY		64,003,264,566		583,902,224		570,994,436		(12,907,788	)
Korean Won, Expiring 09/20/17*	CITI	KRW		341,385,150,079		304,815,355		298,435,143		(6,380,212	)
Korean Won, Expiring 09/20/17*	JPMC	KRW		502,051,605,153		448,258,102		438,887,991		(9,370,111	)
Mexican Peso, Expiring 09/20/17	CITI	MXN		5,591,495,209		299,803,151		304,307,114		4,503,963
Mexican Peso, Expiring 09/20/17	JPMC	MXN		8,370,616,799		448,791,046		455,555,825		6,764,779
Norwegian Krone, Expiring 09/20/17	CITI	NOK		1,485,629,206		177,023,191		178,220,161		1,196,970
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		2,228,443,802		265,530,781		267,330,240		1,799,459
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		1,973,466,366		1,412,623,622		1,444,073,665		31,450,043
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		2,960,199,538		2,118,938,403		2,166,110,494		47,172,091
Philippine Peso, Expiring 09/20/17*	CITI	PHP		1,322,627,184		26,528,791		26,031,905		(496,886	)
Philippine Peso, Expiring 09/20/17*	JPMC	PHP		1,958,701,768		39,288,758		38,551,103		(737,655	)
Poland Zloty, Expiring 09/20/17	CITI	PLN		941,924,800		252,197,519		254,097,747		1,900,228
Poland Zloty, Expiring 09/20/17	JPMC	PLN		1,411,534,200		377,939,550		380,781,626		2,842,076
Swedish Krona, Expiring 09/20/17	CITI	SEK		799,616,433		94,185,613		95,336,970		1,151,357
Swedish Krona, Expiring 09/20/17	JPMC	SEK		1,140,651,647		134,502,963		135,998,045		1,495,082
Singapore Dollar, Expiring 09/20/17	CITI	SGD		96,848,200		70,085,752		70,431,970		346,218
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		138,484,800		100,220,062		100,711,806		491,744
Turkish Lira, Expiring 09/20/17	CITI	TRY		578,042,804		159,231,440		160,662,484		1,431,044
Turkish Lira, Expiring 09/20/17	JPMC	TRY		867,064,204		238,836,767		240,993,728		2,156,961
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		4,460,570,397		148,661,164		146,732,510		(1,928,654	)
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		6,690,855,594		222,992,025		220,098,766		(2,893,259	)

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

AQR Funds Semi-Annual Report June 2017

10

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
South African Rand, Expiring 09/20/17	CITI	ZAR		2,729,368,805			$ 207,169,556			$ 205,891,407			$ (1,278,149	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		4,052,764,203			307,650,005			305,722,458			(1,927,547	)
							18,470,367,183			18,668,409,193			198,042,010
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		(616,343,782	)		$(458,537,252	)		$(473,253,375	)		$(14,716,123	)
Australian Dollar, Expiring 09/20/17	JPMC	AUD		(920,971,170	)		(685,120,385	)		(707,158,452	)		(22,038,067	)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		(93,944,600	)		(27,913,284	)		(27,908,604	)		4,680
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		(92,210,400	)		(27,395,415	)		(27,393,414	)		2,001
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(1,342,549,614	)		(998,268,384	)		(1,036,570,612	)		(38,302,228	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(2,013,824,419	)		(1,497,400,700	)		(1,554,855,916	)		(57,455,216	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		(1,095,200	)		(1,132,852	)		(1,147,892	)		(15,040	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(1,642,800	)		(1,699,274	)		(1,721,838	)		(22,564	)
Chilean Peso, Expiring 09/20/17*	CITI	CLP		(3,962,881,753	)		(5,896,375	)		(5,956,216	)		(59,841	)
Chilean Peso, Expiring 09/20/17*	JPMC	CLP		(4,634,453,591	)		(6,909,173	)		(6,965,588	)		(56,415	)
Colombian Peso, Expiring 09/20/17*	CITI	COP		(83,864,093,954	)		(27,358,067	)		(27,236,541	)		121,526
Colombian Peso, Expiring 09/20/17*	JPMC	COP		(118,587,767,806	)		(38,627,789	)		(38,513,748	)		114,041
Euro, Expiring 09/20/17	CITI	EUR		(564,337,598	)		(634,503,232	)		(647,224,762	)		(12,721,530	)
Euro, Expiring 09/20/17	JPMC	EUR		(846,506,394	)		(951,755,961	)		(970,837,143	)		(19,081,182	)
British Pound, Expiring 09/20/17	CITI	GBP		(618,847,997	)		(798,768,376	)		(807,968,637	)		(9,200,261	)
British Pound, Expiring 09/20/17	JPMC	GBP		(928,271,995	)		(1,198,151,210	)		(1,211,952,955	)		(13,801,745	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(101,152,000	)		(13,013,370	)		(12,983,778	)		29,592
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(151,728,000	)		(19,520,030	)		(19,475,668	)		44,362
Hungarian Forint, Expiring 09/20/17	CITI	HUF		(8,143,790,880	)		(29,777,705	)		(30,215,792	)		(438,087	)
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		(12,215,686,304	)		(44,661,699	)		(45,323,689	)		(661,990	)
Indonesian Rupiah, Expiring 09/20/17*	CITI	IDR		(33,329,054,016	)		(2,481,222	)		(2,479,249	)		1,973
Israeli Shekel, Expiring 09/20/17	CITI	ILS		(61,460,600	)		(17,433,543	)		(17,673,733	)		(240,190	)
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		(29,531,400	)		(8,404,846	)		(8,492,108	)		(87,262	)

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

AQR Funds Semi-Annual Report June 2017

11

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Indian Rupee, Expiring 09/20/17*	CITI	INR		(1,825,376,786	)		$ (27,940,266	)		$ (27,999,224	)		$ (58,958	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		(2,364,853,166	)		(36,178,743	)		(36,274,185	)		(95,442	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		(169,670,872,406	)		(1,528,083,032	)		(1,513,690,353	)		14,392,679
Japanese Yen, Expiring 09/20/17	JPMC	JPY		(254,506,308,594	)		(2,292,125,250	)		(2,270,535,529	)		21,589,721
Korean Won, Expiring 09/20/17*	CITI	KRW		(305,119,396,407	)		(268,666,797	)		(266,732,020	)		1,934,777
Korean Won, Expiring 09/20/17*	JPMC	KRW		(456,238,824,649	)		(401,720,776	)		(398,838,963	)		2,881,813
Mexican Peso, Expiring 09/20/17	CITI	MXN		(141,054,401	)		(7,739,882	)		(7,676,633	)		63,249
Mexican Peso, Expiring 09/20/17	JPMC	MXN		(211,581,599	)		(11,609,864	)		(11,514,949	)		94,915
Norwegian Krone, Expiring 09/20/17	CITI	NOK		(2,087,268,816	)		(247,695,923	)		(250,394,499	)		(2,698,576	)
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		(3,127,354,220	)		(371,130,045	)		(375,166,001	)		(4,035,956	)
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		(343,169,593	)		(242,889,529	)		(251,112,551	)		(8,223,022	)
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		(514,754,389	)		(364,333,838	)		(376,668,826	)		(12,334,988	)
Philippine Peso, Expiring 09/20/17*	CITI	PHP		(2,367,236,420	)		(46,844,945	)		(46,591,869	)		253,076
Philippine Peso, Expiring 09/20/17*	JPMC	PHP		(3,359,283,620	)		(66,449,585	)		(66,117,309	)		332,276
Poland Zloty, Expiring 09/20/17	CITI	PLN		(49,958,800	)		(13,407,120	)		(13,477,105	)		(69,985	)
Poland Zloty, Expiring 09/20/17	JPMC	PLN		(24,121,200	)		(6,484,614	)		(6,507,040	)		(22,426	)
Swedish Krona, Expiring 09/20/17	CITI	SEK		(3,142,219,822	)		(363,225,403	)		(374,641,768	)		(11,416,365	)
Swedish Krona, Expiring 09/20/17	JPMC	SEK		(4,709,332,233	)		(544,373,394	)		(561,486,038	)		(17,112,644	)
Singapore Dollar, Expiring 09/20/17	CITI	SGD		(25,263,800	)		(18,270,782	)		(18,372,868	)		(102,086	)
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		(33,472,200	)		(24,194,974	)		(24,342,352	)		(147,378	)
Turkish Lira, Expiring 09/20/17	CITI	TRY		(476,700,820	)		(130,152,100	)		(132,495,269	)		(2,343,169	)
Turkish Lira, Expiring 09/20/17	JPMC	TRY		(715,051,220	)		(195,225,792	)		(198,742,902	)		(3,517,110	)
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		(2,430,789,437	)		(80,697,377	)		(79,961,933	)		735,444
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		(3,448,395,635	)		(114,545,062	)		(113,436,557	)		1,108,505
South African Rand, Expiring 09/20/17	CITI	ZAR		(532,555,198	)		(40,043,215	)		(40,173,590	)		(130,375	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		(768,196,794	)		(57,724,636	)		(57,949,339	)		(224,703	)
							(14,996,483,088	)		(15,204,209,382	)		(207,726,294	)
							$3,473,884,095			$3,464,199,811			$(9,684,284	)

* Non-deliverable forward.

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

AQR Funds Semi-Annual Report June 2017

12

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Cash		$(2,750,000	)		$—		$(2,750,000	)
Investment Companies		20,000			—		20,000
BARC
Cash		—			274,630,342		274,630,342
CITI
Investment Companies		98,468,684			—		98,468,684
GSCO
Cash		—			21,432,941		21,432,941
U.S. Treasury Bills		—			66,994,529		66,994,529
GSIN
Cash		(9,960,000	)		—		(9,960,000	)
Investment Companies		60,484,434			—		60,484,434
JPMC
Investment Companies		266,492,292			—		266,492,292
JPMS
Cash		—			8,478,408		8,478,408
U.S. Treasury Bills		—			79,997,425		79,997,425
MSCL
Cash		—			3,235,363		3,235,363
Investment Companies		95,464,776			—		95,464,776
U.S. Treasury Bills		—			15,285,885		15,285,885

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

AQR Funds Semi-Annual Report June 2017

13

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Cash		$(6,170,000	)		$—			$(6,170,000	)
Investment Companies		22,284,666			—			22,284,666
GSCO
Cash		—			16,077,599			16,077,599
U.S. Treasury Bills		—			56,726,776			56,726,776
GSIN
Cash		13,550,000			—			13,550,000
JPPC
Cash		—			43,748			43,748
U.S. Treasury Bills		—			20,412,169			20,412,169
MACQ
Cash		15,740,000			—			15,740,000
MLIN
Cash		24,330,000			—			24,330,000
MSCL
Cash		—			(13,381,032	)		(13,381,032	)
U.S. Treasury Bills		—			136,299,777			136,299,777
SOCG
Cash		16,870,000			—			16,870,000

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

AQR Funds Semi-Annual Report June 2017

14

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 95.7%
INVESTMENT COMPANIES - 19.1%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.86% (a)(b)(c)		64,767,685	$	64,767,685
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.80% (a)(c)		7,886,612		7,886,612
Limited Purpose Cash Investment Fund, 0.81% (a)		64,696,999		64,690,530
TOTAL INVESTMENT COMPANIES (Cost $137,344,827)				137,344,827
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 76.6%
U.S. Treasury Bills 0.63%, 7/6/2017 (b)(d)	$	51,541,000		51,537,753
0.59%, 7/13/2017 (b)(d)		23,091,000		23,086,035
0.61%, 7/20/2017 (b)(d)		343,000		342,873
0.60%, 7/27/2017 (d)		82,495,000		82,449,875
0.63%, 8/3/2017 (d)		13,671,000		13,660,965
0.62%, 8/10/2017 (b)(d)		146,751,000		146,615,989
0.65%, 8/17/2017 (b)(d)		35,788,000		35,747,560
0.67%, 8/24/2017 (b)(d)		15,415,000		15,394,560
0.67%, 8/31/2017 (b)(d)		22,248,000		22,214,361
0.89%, 9/21/2017 (b)(d)		4,321,000		4,311,654
0.91%, 9/28/2017 (b)(d)		2,775,000		2,768,226
0.91%, 10/5/2017 (b)(d)(e)		6,999,000		6,980,453
0.95%, 10/12/2017 (b)(d)(e)		4,104,000		4,092,115
0.95%, 10/19/2017 (d)		3,790,000		3,778,281
0.96%, 10/26/2017 (d)		18,013,000		17,953,143

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 76.6% (continued)
1.06%, 11/30/2017 (b)(d)(e)	$	5,426,000	$	5,402,131
1.07%, 12/7/2017 (b)(d)(e)		19,690,000		19,598,126
1.11%, 12/14/2017 (b)(d)(e)		56,818,000		56,541,694
1.13%, 12/21/2017 (d)		21,173,000		21,064,954
1.12%, 12/28/2017 (b)(d)(e)		17,431,000		17,334,363
TOTAL U.S. TREASURY OBLIGATIONS (Cost $550,932,503)				550,875,111
TOTAL SHORT-TERM INVESTMENTS (Cost $688,277,330)				688,219,938
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.7% (Cost $688,277,330)				688,219,938
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.3% (f)				31,047,972
NET ASSETS - 100.0%			$	719,267,910

(a) Represents 7-day effective yield as of 6/30/2017.

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

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

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

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

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

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

Total return swap contracts outstanding as of June 30, 2017:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
BANA	Bovespa Index August Futures	08/2017	BRL		(22,056,603	)		$(159,087	)
MACQ	Cocoa September Futures^	08/2017	USD		40,024			(1,225	)
MACQ	Cocoa September Futures^	08/2017	USD		(40,405	)		1,605
GSIN	Coffee ‘C’ September Futures^	08/2017	USD		(894,600	)		(1,013	)
MACQ	Coffee ‘C’ September Futures^	08/2017	USD		(1,149,167	)		(29,271	)
CITI	Corn September Futures^	08/2017	USD		(7,072,252	)		176,153
GSIN	Cotton No. 2 December Futures^	11/2017	USD		1,827,725			(112,975	)
GSIN	Cotton No. 2 December Futures^	11/2017	USD		(1,714,605	)		(145	)
MACQ	Cotton No. 2 December Futures^	11/2017	USD		109,484			(6,598	)
MACQ	Cotton No. 2 December Futures^	11/2017	USD		(103,025	)		140
SOCG	Cotton No. 2 December Futures^	11/2017	USD		1,899,788			(116,448	)
SOCG	Cotton No. 2 December Futures^	11/2017	USD		(1,866,840	)		83,500
BANA	Hang Seng Index July Futures	07/2017	HKD		21,823,927			(9,821	)
GSIN	Hang Seng Index July Futures	07/2017	HKD		147,487,519			(47,859	)
MACQ	Hard Red Winter Wheat September Futures^	08/2017	USD		559,415			49,510
MACQ	Hard Red Winter Wheat September Futures^	08/2017	USD		(701,166	)		(93,084	)
SOCG	Hard Red Winter Wheat September Futures^	08/2017	USD		538,368			44,082
SOCG	Hard Red Winter Wheat September Futures^	08/2017	USD		(747,113	)		(100,087	)

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

AQR Funds Semi-Annual Report June 2017

15

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY		NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
BANA	H-SHARES Index July Futures	07/2017		HKD		18,049,042			$ (26,624	)
GSIN	H-SHARES Index July Futures	07/2017		HKD		134,159,637			(142,831	)
BANA	KOSPI Index 200 September Futures	09/2017		KRW		16,430,092,298			203,817
GSIN	KOSPI Index 200 September Futures	09/2017		KRW		17,250,998,475			239,029
GSIN	Lean Hogs August Futures^	08/2017		USD		(581,760	)		(21,240	)
GSIN	Lean Hogs August Futures^	08/2017		USD		258,976			9,024
MACQ	Lean Hogs August Futures^	08/2017		USD		(679,122	)		(24,378	)
MACQ	Lean Hogs August Futures^	08/2017		USD		133,436			564
GSIN	Lean Hogs July Futures^	07/2017		USD		1,730,880			226,620
GSIN	Lean Hogs July Futures^	07/2017		USD		(1,665,436	)		(292,064	)
MACQ	Lean Hogs July Futures^	07/2017		USD		1,483,532			183,968
MACQ	Lean Hogs July Futures^	07/2017		USD		(1,421,599	)		(245,900	)
SOCG	Lean Hogs July Futures^	07/2017		USD		2,210,465			218,285
SOCG	Lean Hogs July Futures^	07/2017		USD		(2,070,059	)		(358,691	)
MACQ	Live Cattle August Futures^	08/2017		USD		(1,247,238	)		37,718
MACQ	Live Cattle August Futures^	08/2017		USD		1,839,990			(72,230	)
SOCG	Live Cattle August Futures^	08/2017		USD		14,453,263			(590,303	)
GSIN	MSCI Singapore Index July Futures	07/2017		SGD		1,251,065			2,524
BANA	MSCI Taiwan Stock Index July Futures	07/2017		USD		2,694,297			(35,727	)
GSIN	MSCI Taiwan Stock Index July Futures	07/2017		USD		16,428,173			(129,983	)
BANA	OMXS30 Index July Futures	07/2017		SEK		44,352,276			(145,025	)
GSIN	SGX S&P CNX Nifty Index July Futures	07/2017		USD		10,011,970			(17,545	)
CITI	Soybean Meal December Futures^	11/2017		USD		(13,955,737	)		(141,623	)
MACQ	Soybean Meal December Futures^	11/2017		USD		(1,856,845	)		(10,355	)
SOCG	Soybean Meal December Futures^	11/2017		USD		(2,754,946	)		(14,734	)
CITI	Soybean November Futures^	10/2017		USD		(18,962,459	)		(323,491	)
GSIN	Soybean November Futures^	10/2017		USD		568,578			4,272
GSIN	Soybean November Futures^	10/2017		USD		(5,923,970	)		(90,955	)
MACQ	Soybean November Futures^	10/2017		USD		(13,289,065	)		(172,910	)
SOCG	Soybean November Futures^	10/2017		USD		(5,607,507	)		(73,256	)
GSIN	Soybean Oil December Futures^	11/2017		USD		20,274			(270	)
GSIN	Soybean Oil December Futures^	11/2017		USD		(213,696	)		(6,348	)
SOCG	Soybean Oil December Futures^	11/2017		USD		(1,395,666	)		(44,622	)
SOCG	Soybean Oil December Futures^	11/2017		USD		589,269			10,851
BANA	Swiss Market Index September Futures	09/2017		CHF		19,295,073			70,912
BANA	Taiwan Stock Exchange July Futures	07/2017		TWD		350,422,884			277,054
CITI	Wheat September Futures^	08/2017		USD		(7,804,757	)		(1,163,543	)
CITI	Wheat September Futures^	08/2017		USD		8,249,862			718,438
MACQ	Wheat September Futures^	08/2017		USD		26,015			285
MACQ	Wheat September Futures^	08/2017		USD		(1,420,728	)		(209,872	)
SOCG	Wheat September Futures^	08/2017		USD		(6,065,566	)		(903,934	)
SOCG	Wheat September Futures^	08/2017		USD		6,304,013			665,487
									$(2,712,229	)

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

Open futures contracts outstanding at June 30, 2017:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
298	MSCL	Copper Futures^		09/2017		$19,410,820		$20,196,950		$786,130
39	MSCL	Hard Red Winter Wheat Futures^		09/2017		959,545		1,032,525		72,980

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

AQR Funds Semi-Annual Report June 2017

16

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE			VALUE AT TRADE DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2	MSCL	Live Cattle Futures^		08/2017			$ 101,288		$ 93,040		$ (8,248	)
21	JPPC	LME Aluminum Futures^		07/2017			1,027,605		1,004,587		(23,018	)
3	JPPC	LME Aluminum Futures^		07/2017			144,159		143,369		(790	)
47	JPPC	LME Aluminum Futures^		08/2017			2,249,508		2,247,094		(2,414	)
48	JPPC	LME Aluminum Futures^		08/2017			2,306,004		2,295,096		(10,908	)
21	JPPC	LME Aluminum Futures^		08/2017			1,007,001		1,004,193		(2,808	)
17	JPPC	LME Aluminum Futures^		08/2017			802,654		813,203		10,549
23	JPPC	LME Aluminum Futures^		08/2017			1,081,068		1,100,309		19,241
21	JPPC	LME Aluminum Futures^		08/2017			980,298		1,004,719		24,421
21	JPPC	LME Aluminum Futures^		08/2017			990,328		1,004,761		14,433
2	JPPC	LME Aluminum Futures^		08/2017			97,344		95,748		(1,596	)
10	JPPC	LME Aluminum Futures^		08/2017			489,338		478,783		(10,555	)
21	JPPC	LME Aluminum Futures^		08/2017			1,005,970		1,005,984		14
13	JPPC	LME Aluminum Futures^		09/2017			616,506		623,090		6,584
4	JPPC	LME Aluminum Futures^		09/2017			187,412		191,875		4,463
165	JPPC	LME Aluminum Futures^		09/2017			7,977,418		7,917,938		(59,480	)
9	JPPC	LME Aluminum Futures^		09/2017			423,022		431,854		8,832
47	JPPC	LME Aluminum Futures^		09/2017			2,207,565		2,254,531		46,966
8	JPPC	LME Aluminum Futures^		09/2017			374,520		383,778		9,258
1	JPPC	LME Aluminum Futures^		09/2017			46,759		47,973		1,214
1	JPPC	LME Aluminum Futures^		09/2017			47,177		47,974		797
3	JPPC	LME Aluminum Futures^		09/2017			143,117		143,925		808
2	JPPC	LME Copper Futures^		07/2017			284,838		296,475		11,637
10	JPPC	LME Copper Futures^		08/2017			1,378,252		1,482,577		104,325
4	JPPC	LME Copper Futures^		08/2017			549,012		593,075		44,063
3	JPPC	LME Copper Futures^		08/2017			419,484		444,816		25,332
40	JPPC	LME Copper Futures^		09/2017			5,667,780		5,940,250		272,470
19	JPPC	LME Nickel Futures^		07/2017			1,057,397		1,067,007		9,610
18	JPPC	LME Nickel Futures^		08/2017			991,133		1,012,199		21,066
1	JPPC	LME Nickel Futures^		09/2017			52,472		56,270		3,798
18	JPPC	LME Nickel Futures^		09/2017			958,544		1,013,121		54,577
3	JPPC	LME Nickel Futures^		09/2017			164,709		168,957		4,248
3	JPPC	LME Nickel Futures^		09/2017			164,347		168,993		4,646
10	JPPC	LME Zinc Futures^		07/2017			646,275		688,813		42,538
11	JPPC	LME Zinc Futures^		07/2017			711,252		758,038		46,786
8	JPPC	LME Zinc Futures^		07/2017			508,970		551,350		42,380
10	JPPC	LME Zinc Futures^		07/2017			651,000		689,198		38,198
5	JPPC	LME Zinc Futures^		07/2017			327,700		344,603		16,903
15	JPPC	LME Zinc Futures^		07/2017			983,568		1,033,890		50,322
27	JPPC	LME Zinc Futures^		09/2017			1,833,661		1,863,000		29,339
3	JPPC	LME Zinc Futures^		09/2017			203,490		206,874		3,384
2	JPPC	LME Zinc Futures^		09/2017			135,970		137,900		1,930
4	JPPC	LME Zinc Futures^		09/2017			273,960		275,800		1,840
4	JPPC	LME Zinc Futures^		09/2017			273,213		275,800		2,587
6	JPPC	LME Zinc Futures^		09/2017			412,848		413,701		853
82	MSCL	NYMEX Palladium Futures^		09/2017			6,575,685		6,860,530		284,845
16	MSCL	Soybean Oil Futures^		12/2017			316,397		320,064		3,667
20	MSCL	Wheat Futures^		09/2017	��		488,193		526,000		37,807
138	BARC	Amsterdam Index Futures		07/2017			16,520,938		15,966,571		(554,367	)
434	BARC	CAC40 Index Futures		07/2017			26,162,043		25,362,137		(799,906	)
88	BARC	DAX Index Futures		09/2017			32,138,525		30,956,833		(1,181,692	)
405	BARC	E-Mini DJIA CBOT Futures		09/2017			43,008,360		43,132,500		124,140
131	JPMS	E-Mini MSCI EAFE Index Futures		09/2017			12,389,650		12,376,880		(12,770	)
503	JPMS	E-Mini MSCI Emerging Markets Index Futures		09/2017			25,271,417		25,358,745		87,328

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

AQR Funds Semi-Annual Report June 2017

17

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
200	BARC	E-Mini Russell 2000 Futures		09/2017		$ 14,210,655			$ 14,143,000			$ (67,655	)
712	BARC	Euro Stoxx 50 Index Futures		09/2017		28,896,357			27,901,262			(995,095	)
312	BARC	FTSE 100 Index Futures		09/2017		30,316,010			29,430,941			(885,069	)
178	GSCO	FTSE Bursa Malaysia KLCI Index Futures		09/2017		27,611,309			27,474,326			(136,983	)
35	BARC	FTSE/MIB Index Futures		09/2017		4,203,277			4,097,263			(106,014	)
39	BARC	Hang Seng Index Futures		07/2017		6,409,366			6,390,147			(19,219	)
51	BARC	H-SHARES Index Futures		07/2017		3,358,148			3,329,800			(28,348	)
134	BARC	IBEX 35 Index Futures		07/2017		16,545,885			15,926,032			(619,853	)
92	BARC	KOSPI Index 200 Futures		09/2017		6,195,781			6,289,997			94,216
4	JPMS	KOSPI Index 200 Futures		09/2017		269,869			273,479			3,610
214	BARC	MSCI Singapore Index Futures		07/2017		5,553,815			5,571,694			17,879
106	BARC	MSCI Taiwan Stock Index Futures		07/2017		4,132,259			4,084,180			(48,079	)
404	BARC	NASDAQ 100 E-Mini Index Futures		09/2017		46,441,096			45,674,220			(766,876	)
157	JPMS	Nikkei 225 Futures		09/2017		28,098,704			27,945,232			(153,472	)
518	JPMS	OMXS30 Index Futures		07/2017		10,155,322			9,854,647			(300,675	)
377	BARC	S&P 500 E-Mini Futures		09/2017		45,784,730			45,633,965			(150,765	)
116	BARC	S&P/Toronto Stock Exchange 60 Index Futures		09/2017		16,148,889			15,907,958			(240,931	)
56	BARC	S&PMID 400 E-Mini Futures		09/2017		9,831,820			9,778,160			(53,660	)
76	BARC	SPI 200 Index Futures		09/2017		8,344,615			8,249,460			(95,155	)
247	BARC	TOPIX Index Futures		09/2017		35,209,308			35,389,242			179,934
8	JPMS	3-Month Euro Euribor Futures		12/2017		2,291,386			2,290,811			(575	)
101	JPMS	3-Month Euro Euribor Futures		06/2018		28,917,281			28,898,408			(18,873	)
102	JPMS	3-Month Euro Euribor Futures		12/2018		29,180,221			29,151,037			(29,184	)
32	JPMS	3-Month Euro Euribor Futures		03/2019		9,150,395			9,139,484			(10,911	)
112	JPMS	90-Day Sterling Futures		12/2017		18,171,711			18,143,130			(28,581	)
109	JPMS	90-Day Sterling Futures		12/2018		17,663,111			17,609,237			(53,874	)
177	JPMS	90-Day Sterling Futures		03/2019		28,665,578			28,583,290			(82,288	)
213	JPMS	90-Day Sterling Futures		06/2019		34,489,626			34,379,505			(110,121	)
18	JPMS	ASX 90 Day Bank Accepted Bills Futures		03/2018		13,777,700			13,772,314			(5,386	)
103	JPMS	Australia 10-Year Bond Futures		09/2017		10,398,423			10,232,951			(165,472	)
168	GSCO	Canadian 10-Year Bond Futures		09/2017		18,698,550			18,208,204			(490,346	)
90	JPMS	Canadian 3-Month Bank Acceptance Futures		12/2017		17,189,345			17,117,038			(72,307	)
354	GSCO	Euro-OAT Futures		09/2017		60,658,595			60,033,597			(624,998	)
145	GSCO	Euro-SCHATZ Futures		09/2017		18,573,060			18,523,674			(49,386	)
561	GSCO	Long Gilt Futures		09/2017		93,130,532			91,750,787			(1,379,745	)
						974,870,238			967,084,738			(7,785,500	)
Short Contracts:
717	GSCO	Brent Crude Futures^		07/2017		$(33,401,982	)		$(34,968,090	)		$(1,566,108	)
104	MSCL	Cocoa Futures^		09/2017		(1,936,820	)		(2,017,600	)		(80,780	)
137	GSCO	Cocoa Futures^		09/2017		(2,767,558	)		(2,721,144	)		46,414
256	MSCL	Coffee ‘C’ Futures^		09/2017		(12,304,239	)		(12,067,200	)		237,039
328	MSCL	Corn Futures^		09/2017		(6,075,007	)		(6,248,400	)		(173,393	)
69	MSCL	Cotton No. 2 Futures^		12/2017		(2,315,463	)		(2,366,355	)		(50,892	)
581	GSCO	Gas Oil Futures^		08/2017		(24,382,134	)		(25,331,600	)		(949,466	)
236	MSCL	Gasoline RBOB Futures^		07/2017		(14,460,259	)		(15,003,794	)		(543,535	)
305	MSCL	Gold 100 OZ Futures^		08/2017		(38,038,645	)		(37,890,150	)		148,495
344	MSCL	Heating Oil ULSD Futures^		07/2017		(20,387,516	)		(21,427,829	)		(1,040,313	)

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

AQR Funds Semi-Annual Report June 2017

18

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE			VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
3	MSCL	Lean Hogs Futures^		08/2017			$ (95,246	)		$ (100,500	)		$ (5,254	)
21	JPPC	LME Aluminum Futures^		07/2017			(1,023,799	)		(1,004,588	)		19,211
3	JPPC	LME Aluminum Futures^		07/2017			(144,364	)		(143,368	)		996
47	JPPC	LME Aluminum Futures^		08/2017			(2,249,717	)		(2,247,094	)		2,623
48	JPPC	LME Aluminum Futures^		08/2017			(2,303,160	)		(2,295,096	)		8,064
21	JPPC	LME Aluminum Futures^		08/2017			(1,002,930	)		(1,004,193	)		(1,263	)
17	JPPC	LME Aluminum Futures^		08/2017			(799,825	)		(813,203	)		(13,378	)
23	JPPC	LME Aluminum Futures^		08/2017			(1,080,616	)		(1,100,308	)		(19,692	)
21	JPPC	LME Aluminum Futures^		08/2017			(983,007	)		(1,004,719	)		(21,712	)
21	JPPC	LME Aluminum Futures^		08/2017			(988,275	)		(1,004,761	)		(16,486	)
2	JPPC	LME Aluminum Futures^		08/2017			(97,145	)		(95,748	)		1,397
10	JPPC	LME Aluminum Futures^		08/2017			(490,388	)		(478,783	)		11,605
21	JPPC	LME Aluminum Futures^		08/2017			(1,003,674	)		(1,005,984	)		(2,310	)
13	JPPC	LME Aluminum Futures^		09/2017			(617,468	)		(623,090	)		(5,622	)
4	JPPC	LME Aluminum Futures^		09/2017			(187,288	)		(191,875	)		(4,587	)
72	JPPC	LME Aluminum Futures^		09/2017			(3,381,411	)		(3,455,100	)		(73,689	)
9	JPPC	LME Aluminum Futures^		09/2017			(422,455	)		(431,853	)		(9,398	)
47	JPPC	LME Aluminum Futures^		09/2017			(2,202,229	)		(2,254,531	)		(52,302	)
8	JPPC	LME Aluminum Futures^		09/2017			(372,869	)		(383,778	)		(10,909	)
1	JPPC	LME Aluminum Futures^		09/2017			(46,829	)		(47,973	)		(1,144	)
1	JPPC	LME Aluminum Futures^		09/2017			(47,243	)		(47,974	)		(731	)
3	JPPC	LME Aluminum Futures^		09/2017			(143,000	)		(143,925	)		(925	)
2	JPPC	LME Copper Futures^		07/2017			(285,226	)		(296,475	)		(11,249	)
10	JPPC	LME Copper Futures^		08/2017			(1,380,234	)		(1,482,578	)		(102,344	)
4	JPPC	LME Copper Futures^		08/2017			(551,051	)		(593,075	)		(42,024	)
3	JPPC	LME Copper Futures^		08/2017			(418,055	)		(444,816	)		(26,761	)
19	JPPC	LME Nickel Futures^		07/2017			(1,053,180	)		(1,067,007	)		(13,827	)
18	JPPC	LME Nickel Futures^		08/2017			(1,000,404	)		(1,012,199	)		(11,795	)
1	JPPC	LME Nickel Futures^		09/2017			(52,632	)		(56,270	)		(3,638	)
18	JPPC	LME Nickel Futures^		09/2017			(960,288	)		(1,013,121	)		(52,833	)
28	JPPC	LME Nickel Futures^		09/2017			(1,510,001	)		(1,577,100	)		(67,099	)
3	JPPC	LME Nickel Futures^		09/2017			(164,867	)		(168,957	)		(4,090	)
3	JPPC	LME Nickel Futures^		09/2017			(163,922	)		(168,993	)		(5,071	)
10	JPPC	LME Zinc Futures^		07/2017			(649,382	)		(688,813	)		(39,431	)
11	JPPC	LME Zinc Futures^		07/2017			(706,668	)		(758,038	)		(51,370	)
8	JPPC	LME Zinc Futures^		07/2017			(510,905	)		(551,350	)		(40,445	)
10	JPPC	LME Zinc Futures^		07/2017			(654,087	)		(689,198	)		(35,111	)
5	JPPC	LME Zinc Futures^		07/2017			(325,722	)		(344,602	)		(18,880	)
15	JPPC	LME Zinc Futures^		07/2017			(981,274	)		(1,033,890	)		(52,616	)
3	JPPC	LME Zinc Futures^		09/2017			(204,068	)		(206,875	)		(2,807	)
2	JPPC	LME Zinc Futures^		09/2017			(135,945	)		(137,900	)		(1,955	)
4	JPPC	LME Zinc Futures^		09/2017	��		(273,640	)		(275,800	)		(2,160	)
4	JPPC	LME Zinc Futures^		09/2017			(273,515	)		(275,800	)		(2,285	)
6	JPPC	LME Zinc Futures^		09/2017			(414,762	)		(413,700	)		1,062
927	MSCL	Natural Gas Futures^		07/2017			(27,580,349	)		(28,134,450	)		(554,101	)
111	MSCL	Platinum Futures^		10/2017			(5,141,229	)		(5,141,520	)		(291	)
230	MSCL	Silver Futures^		09/2017			(19,036,073	)		(19,121,050	)		(84,977	)
14	MSCL	Soybean Futures^		11/2017			(657,774	)		(668,325	)		(10,551	)
184	MSCL	Soybean Meal Futures^		12/2017			(5,667,182	)		(5,726,080	)		(58,898	)
854	MSCL	Sugar #11 (World Markets) Futures^		09/2017			(13,699,683	)		(13,208,989	)		490,694
881	MSCL	WTI Crude Futures^		07/2017			(39,955,182	)		(40,561,240	)		(606,058	)
48	JPMS	FTSE China Index Futures		07/2017			(545,704	)		(545,400	)		304
182	GSCO	10-Year Japanese Government Bond Futures		09/2017			(243,445,571	)		(242,898,600	)		546,971
129	JPMS	3-Month Euro Euribor Futures		03/2018			(36,928,672	)		(36,926,423	)		2,249

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

AQR Funds Semi-Annual Report June 2017

19

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
31	JPMS	3-Month Euro Euribor Futures		09/2018		$ (8,865,656	)		$ (8,865,383	)		$ 273
135	JPMS	3-Month Euro Euribor Futures		06/2019		(38,535,992	)		(38,534,071	)		1,921
908	JPMS	90-Day EURODollar Futures		12/2017		(223,744,951	)		(223,651,750	)		93,201
395	JPMS	90-Day EURODollar Futures		03/2018		(97,261,323	)		(97,209,500	)		51,823
127	JPMS	90-Day EURODollar Futures		06/2018		(31,244,268	)		(31,230,887	)		13,381
160	JPMS	90-Day EURODollar Futures		09/2018		(39,294,635	)		(39,316,000	)		(21,365	)
209	JPMS	90-Day EURODollar Futures		12/2018		(51,210,254	)		(51,309,500	)		(99,246	)
285	JPMS	90-Day EURODollar Futures		03/2019		(69,659,533	)		(69,928,313	)		(268,780	)
273	JPMS	90-Day EURODollar Futures		06/2019		(67,017,321	)		(66,943,012	)		74,309
67	JPMS	90-Day Sterling Futures		03/2018		(10,844,021	)		(10,844,753	)		(732	)
103	JPMS	90-Day Sterling Futures		06/2018		(16,657,679	)		(16,658,367	)		(688	)
56	JPMS	90-Day Sterling Futures		09/2018		(9,050,512	)		(9,051,507	)		(995	)
19	JPMS	ASX 90 Day Bank Accepted Bills Futures		12/2017		(14,540,565	)		(14,539,941	)		624
1,050	JPMS	Australia 3-Year Bond Futures		09/2017		(90,297,594	)		(90,107,242	)		190,352
73	JPMS	Canadian 3-Month Bank Acceptance Futures		03/2018		(13,883,266	)		(13,871,858	)		11,408
53	MSCL	CME Ultra Long Term U.S. Treasury Bond Futures		09/2017		(8,651,738	)		(8,791,375	)		(139,637	)
12	JPMS	Euro CHF 3-Month LIFFE Futures		09/2017		(3,152,026	)		(3,151,110	)		916
194	JPMS	Euro CHF 3-Month LIFFE Futures		12/2017		(50,961,044	)		(50,927,782	)		33,262
142	JPMS	Euro CHF 3-Month LIFFE Futures		03/2018		(37,290,760	)		(37,265,930	)		24,830
94	JPMS	Euro CHF 3-Month LIFFE Futures		06/2018		(24,679,188	)		(24,661,643	)		17,545
11	GSCO	Euro-Bobl Futures		09/2017		(1,655,594	)		(1,654,633	)		961
16	GSCO	Euro-Bund Futures		09/2017		(2,963,600	)		(2,958,077	)		5,523
130	GSCO	Euro-Buxl 30-Year Bond Futures		09/2017		(24,570,698	)		(24,279,368	)		291,330
182	MSCL	U.S. Treasury 10-Year Note Futures		09/2017		(22,890,700	)		(22,846,688	)		44,012
1,410	MSCL	U.S. Treasury 2-Year Note Futures		09/2017		(304,861,197	)		(304,714,218	)		146,979
214	MSCL	U.S. Treasury 5-Year Note Futures		09/2017		(25,243,832	)		(25,216,891	)		26,941
99	MSCL	U.S. Treasury Long Bond Futures		09/2017		(15,151,354	)		(15,215,062	)		(63,708	)
						(1,885,259,109	)		(1,889,854,101	)		(4,594,992	)
						$(910,388,871	)		$(922,769,363	)		$(12,380,492	)

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

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

AQR Funds Semi-Annual Report June 2017

20

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2017:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2017		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		37,770,400		$28,712,032		$29,001,619		$289,587
Australian Dollar, Expiring 09/20/17	JPMC	AUD		56,655,600		43,068,143		43,502,432		434,289
Brazilian Real, Expiring 09/20/17*	CITI	BRL		17,398,800		5,204,613		5,168,751		(35,862	)
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		25,009,200		7,483,447		7,429,612		(53,835	)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		124,935,600		94,558,192		96,461,666		1,903,474
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		187,403,400		141,837,498		144,692,500		2,855,002
Chilean Peso, Expiring 09/20/17*	CITI	CLP		3,151,581,827		4,727,313		4,736,832		9,519
Chilean Peso, Expiring 09/20/17*	JPMC	CLP		3,874,291,213		5,816,153		5,823,064		6,911
Colombian Peso, Expiring 09/20/17*	CITI	COP		12,048,575,455		4,077,016		3,913,016		(164,000	)
Colombian Peso, Expiring 09/20/17*	JPMC	COP		15,312,696,649		5,183,269		4,973,104		(210,165	)
Euro, Expiring 09/20/17	CITI	EUR		126,819,199		143,204,018		145,445,788		2,241,770
Euro, Expiring 09/20/17	JPMC	EUR		190,228,798		214,806,354		218,168,679		3,362,325
British Pound, Expiring 09/20/17	CITI	GBP		8,367,200		10,834,046		10,924,225		90,179
British Pound, Expiring 09/20/17	JPMC	GBP		12,550,800		16,251,003		16,386,340		135,337
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		5,633,600		724,550		723,124		(1,426	)
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		8,450,400		1,086,827		1,084,684		(2,143	)
Hungarian Forint, Expiring 09/20/17	CITI	HUF		2,570,688,785		9,420,679		9,537,989		117,310
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		3,856,033,167		14,131,043		14,306,987		175,944
Indonesian Rupiah, Expiring 09/20/17*	CITI	IDR		72,753,747,621		5,412,498		5,411,933		(565	)
Indonesian Rupiah, Expiring 09/20/17*	JPMC	IDR		93,654,591,619		6,966,099		6,966,685		586
Israeli Shekel, Expiring 09/20/17	CITI	ILS		38,149,200		10,772,529		10,970,260		197,731
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		48,874,800		13,785,071		14,054,535		269,464
Indian Rupee, Expiring 09/20/17*	CITI	INR		826,712,397		12,694,141		12,680,839		(13,302	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		1,069,788,595		16,418,669		16,409,353		(9,316	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		3,597,272,774		32,819,021		32,092,470		(726,551	)
Japanese Yen, Expiring 09/20/17	JPMC	JPY		5,395,909,154		49,228,579		48,138,702		(1,089,877	)
Korean Won, Expiring 09/20/17*	CITI	KRW		30,940,646,650		27,621,638		27,047,972		(573,666	)

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

AQR Funds Semi-Annual Report June 2017

21

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017				UNREALIZED APPRECIATION (DEPRECIATION)
Korean Won, Expiring 09/20/17*	JPMC	KRW		42,095,736,903			$ 37,585,290			$ 36,799,629				$ (785,661	)
Mexican Peso, Expiring 09/20/17	CITI	MXN		506,700,197			27,204,632			27,576,254				371,622
Mexican Peso, Expiring 09/20/17	JPMC	MXN		754,552,795			40,503,946			41,065,183				561,237
Norwegian Krone, Expiring 09/20/17	CITI	NOK		124,399,200			14,823,117			14,923,269				100,152
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		186,598,800			22,234,393			22,384,905				150,512
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		176,178,800			126,190,389			128,917,915				2,727,526
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		264,268,200			189,285,854			193,376,869				4,091,015
Philippine Peso, Expiring 09/20/17*	CITI	PHP		114,299,000			2,292,749			2,249,631				(43,118	)
Philippine Peso, Expiring 09/20/17*	JPMC	PHP		169,365,000			3,397,483			3,333,436				(64,047	)
Poland Zloty, Expiring 09/20/17	CITI	PLN		78,024,001			20,890,470			21,048,097				157,627
Poland Zloty, Expiring 09/20/17	JPMC	PLN		116,760,000			31,262,595			31,497,688				235,093
Swedish Krona, Expiring 09/20/17	CITI	SEK		62,474,600			7,363,524			7,448,746				85,222
Swedish Krona, Expiring 09/20/17	JPMC	SEK		88,238,400			10,414,341			10,520,521				106,180
Singapore Dollar, Expiring 09/20/17	CITI	SGD		8,410,000			6,086,254			6,116,093				29,839
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		11,760,000			8,510,973			8,552,351				41,378
Turkish Lira, Expiring 09/20/17	CITI	TRY		49,300,400			13,582,814			13,702,663		��		119,849
Turkish Lira, Expiring 09/20/17	JPMC	TRY		73,950,600			20,373,321			20,553,991				180,670
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		373,386,400			12,444,076			12,282,716				(161,360	)
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		560,079,600			18,666,138			18,424,075				(242,063	)
South African Rand, Expiring 09/20/17	CITI	ZAR		241,843,000			18,367,708			18,243,558				(124,150	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		357,891,000			27,184,769			26,997,700				(187,069	)
							1,585,509,277			1,602,068,451				16,559,174
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017				UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/20/17	CITI	AUD		(52,496,200	)		$(39,063,919	)		$(40,308,681	)			$(1,244,762	)
Australian Dollar, Expiring 09/20/17	JPMC	AUD		(77,962,800	)		(58,003,712	)		(59,862,953	)			(1,859,241	)
Brazilian Real, Expiring 09/20/17*	CITI	BRL		(6,841,200	)		(2,032,405	)		(2,032,350	)			55
Brazilian Real, Expiring 09/20/17*	JPMC	BRL		(7,204,800	)		(2,140,600	)		(2,140,367	)			233

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

AQR Funds Semi-Annual Report June 2017

22

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/20/17	CITI	CAD		(111,701,200	)		$ (83,056,102	)		$ (86,243,504	)		$ (3,187,402	)
Canadian Dollar, Expiring 09/20/17	JPMC	CAD		(167,551,800	)		(124,584,005	)		(129,365,254	)		(4,781,249	)
Swiss Franc, Expiring 09/20/17	CITI	CHF		(198,400	)		(205,672	)		(207,946	)		(2,274	)
Swiss Franc, Expiring 09/20/17	JPMC	CHF		(297,600	)		(308,505	)		(311,920	)		(3,415	)
Chilean Peso, Expiring 09/20/17*	CITI	CLP		(335,093,578	)		(498,654	)		(503,646	)		(4,992	)
Chilean Peso, Expiring 09/20/17*	JPMC	CLP		(393,773,366	)		(587,173	)		(591,843	)		(4,670	)
Colombian Peso, Expiring 09/20/17*	CITI	COP		(6,914,775,901	)		(2,253,184	)		(2,245,711	)		7,473
Colombian Peso, Expiring 09/20/17*	JPMC	COP		(10,118,863,331	)		(3,295,281	)		(3,286,303	)		8,978
Euro, Expiring 09/20/17	CITI	EUR		(43,483,200	)		(48,883,390	)		(49,869,802	)		(986,412	)
Euro, Expiring 09/20/17	JPMC	EUR		(65,224,800	)		(73,325,033	)		(74,804,703	)		(1,479,670	)
British Pound, Expiring 09/20/17	CITI	GBP		(54,870,801	)		(70,772,847	)		(71,639,377	)		(866,530	)
British Pound, Expiring 09/20/17	JPMC	GBP		(82,306,201	)		(106,159,148	)		(107,459,067	)		(1,299,919	)
Hong Kong Dollar, Expiring 09/20/17	CITI	HKD		(5,836,400	)		(750,864	)		(749,155	)		1,709
Hong Kong Dollar, Expiring 09/20/17	JPMC	HKD		(8,754,600	)		(1,126,295	)		(1,123,733	)		2,562
Hungarian Forint, Expiring 09/20/17	CITI	HUF		(672,709,988	)		(2,460,853	)		(2,495,948	)		(35,095	)
Hungarian Forint, Expiring 09/20/17	JPMC	HUF		(1,009,064,980	)		(3,690,894	)		(3,743,920	)		(53,026	)
Indonesian Rupiah, Expiring 09/20/17*	CITI	IDR		(390,778,008	)		(29,049	)		(29,069	)		(20	)
Israeli Shekel, Expiring 09/20/17	CITI	ILS		(3,711,400	)		(1,053,326	)		(1,067,258	)		(13,932	)
Israeli Shekel, Expiring 09/20/17	JPMC	ILS		(2,484,600	)		(707,621	)		(714,476	)		(6,855	)
Indian Rupee, Expiring 09/20/17*	CITI	INR		(143,323,200	)		(2,193,676	)		(2,198,418	)		(4,742	)
Indian Rupee, Expiring 09/20/17*	JPMC	INR		(194,677,800	)		(2,978,475	)		(2,986,139	)		(7,664	)
Japanese Yen, Expiring 09/20/17	CITI	JPY		(15,113,531,070	)		(136,104,611	)		(134,832,846	)		1,271,765
Japanese Yen, Expiring 09/20/17	JPMC	JPY		(22,670,296,582	)		(204,157,122	)		(202,249,265	)		1,907,857
Korean Won, Expiring 09/20/17*	CITI	KRW		(25,617,123,949	)		(22,552,296	)		(22,394,207	)		158,089
Korean Won, Expiring 09/20/17*	JPMC	KRW		(38,425,685,907	)		(33,828,401	)		(33,591,311	)		237,090
Mexican Peso, Expiring 09/20/17	CITI	MXN		(12,600,800	)		(691,405	)		(685,776	)		5,629
Mexican Peso, Expiring 09/20/17	JPMC	MXN		(18,901,200	)		(1,037,111	)		(1,028,664	)		8,447
Norwegian Krone, Expiring 09/20/17	CITI	NOK		(178,286,400	)		(21,153,283	)		(21,387,726	)		(234,443	)
Norwegian Krone, Expiring 09/20/17	JPMC	NOK		(266,814,600	)		(31,657,664	)		(32,007,812	)		(350,148	)

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

AQR Funds Semi-Annual Report June 2017

23

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2017			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 09/20/17	CITI	NZD		(28,990,400	)		$ (20,533,408	)		$ (21,213,573	)		$ (680,165	)
New Zealand Dollar, Expiring 09/20/17	JPMC	NZD		(43,485,600	)		(30,800,075	)		(31,820,360	)		(1,020,285	)
Philippine Peso, Expiring 09/20/17*	CITI	PHP		(209,143,600	)		(4,138,323	)		(4,116,358	)		21,965
Philippine Peso, Expiring 09/20/17*	JPMC	PHP		(297,686,400	)		(5,888,042	)		(5,859,052	)		28,990
Poland Zloty, Expiring 09/20/17	CITI	PLN		(1,114,800	)		(297,845	)		(300,733	)		(2,888	)
Poland Zloty, Expiring 09/20/17	JPMC	PLN		(553,200	)		(148,161	)		(149,234	)		(1,073	)
Swedish Krona, Expiring 09/20/17	CITI	SEK		(271,248,800	)		(31,355,069	)		(32,340,552	)		(985,483	)
Swedish Krona, Expiring 09/20/17	JPMC	SEK		(406,603,200	)		(47,001,135	)		(48,478,640	)		(1,477,505	)
Singapore Dollar, Expiring 09/20/17	CITI	SGD		(1,937,800	)		(1,400,966	)		(1,409,248	)		(8,282	)
Singapore Dollar, Expiring 09/20/17	JPMC	SGD		(2,653,200	)		(1,917,632	)		(1,929,515	)		(11,883	)
Turkish Lira, Expiring 09/20/17	CITI	TRY		(40,128,000	)		(10,958,935	)		(11,153,264	)		(194,329	)
Turkish Lira, Expiring 09/20/17	JPMC	TRY		(60,192,000	)		(16,438,192	)		(16,729,897	)		(291,705	)
New Taiwan Dollar, Expiring 09/20/17*	CITI	TWD		(189,422,400	)		(6,288,801	)		(6,231,135	)		57,666
New Taiwan Dollar, Expiring 09/20/17*	JPMC	TWD		(271,113,600	)		(9,005,426	)		(8,918,409	)		87,017
South African Rand, Expiring 09/20/17	CITI	ZAR		(43,301,800	)		(3,255,107	)		(3,266,495	)		(11,388	)
South African Rand, Expiring 09/20/17	JPMC	ZAR		(62,833,200	)		(4,720,629	)		(4,739,856	)		(19,227	)
							(1,275,490,322	)		(1,292,815,471	)		(17,325,149	)
							$310,018,955			$309,252,980			$(765,975	)

* Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Semi-Annual Report June 2017

24

Consolidated Schedule of Investments June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Cash		$(600,000	)		$—		$(600,000	)
BARC
Cash		—			24,714,828		24,714,828
CITI
Investment Companies		8,968,811			—		8,968,811
GSCO
Cash		—			7,935,455		7,935,455
GSIN
Cash		(1,300,000	)		—		(1,300,000	)
Investment Companies		7,884,780			—		7,884,780
JPMC
Investment Companies		23,164,329			—		23,164,329
JPMS
Cash		—			5,653,881		5,653,881
MSCL
Cash		—			1,607,553		1,607,553

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Cash		$(980,000	)		$—			$(980,000	)
Investment Companies		2,847,288			—			2,847,288
GSCO
Cash		—			6,161,688			6,161,688
GSIN
Cash		1,220,000			—			1,220,000
JPPC
Cash		—			1,039,041			1,039,041
MACQ
Cash		1,190,000			—			1,190,000
MSCL
Cash		—			(1,160,539	)		(1,160,539	)
U.S. Treasury Bills		—			12,386,631			12,386,631
SOCG
Cash		2,310,000			—			2,310,000

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

CITI - Citibank NA

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

SOCG - Societe Generale

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

AQR Funds Semi-Annual Report June 2017

25

Consolidated Statements of Assets and Liabilities June 30, 2017 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	11,233,457,460		$	688,277,330
Investments in securities of controlled affiliated issuers, at cost		619,641,022			—
Investments in securities of unaffiliated issuers, at value	$	11,232,573,533		$	688,219,938
Investments in securities of controlled affiliated issuers, at value		619,641,022			—
Cash		—			286,699
Due from brokers		80,827,846			5,218,660
Unrealized appreciation on forward foreign currency exchange contracts		293,990,495			24,852,875
Unrealized appreciation on OTC swaps		39,853,499			3,223,838
Deposits with brokers for exchange-traded and centrally cleared derivatives		227,441,518			36,358,530
Variation margin on exchange-traded and centrally cleared derivatives		22,735,349			2,060,087
Receivables:
Securities sold		3,845,331,473			344,116,779
Dividends and interest		1,442,768			131,685
Capital shares sold		15,778,339			687,238
Prepaid expenses		326,820			79,560
Total Assets		16,379,942,662			1,105,235,889
LIABILITIES:
Due to custodian		1,371,953			—
Foreign currency due to custodian, at value		2,785,624			468,865
Due to brokers		19,161,653			2,806,160
Unrealized depreciation on forward foreign currency exchange contracts		303,674,779			25,618,850
Unrealized depreciation on OTC swaps		72,738,590			5,936,067
Deposits from brokers for exchange-traded and centrally cleared derivatives		20,491,270			—
Variation margin on exchange-traded and centrally cleared derivatives		55,835,328			4,847,202
Payables:
Securities purchased		3,840,469,591			343,672,493
Accrued investment advisory fees		10,676,912			877,755
Accrued distribution fees—Class N		730,333			23,529
Capital shares redeemed		20,316,601			1,376,118
Other accrued expenses and liabilities		5,275,229			340,940
Total Liabilities		4,353,527,863			385,967,979
Net Assets	$	12,026,414,799		$	719,267,910
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	13,670,881,034		$	856,382,501
Undistributed accumulated net investment income (loss)		(136,025,912	)		(11,206,243	)
Undistributed accumulated net realized gain (loss)		(1,326,641,688	)		(109,824,763	)
Net unrealized appreciation (depreciation)		(181,798,635	)		(16,083,585	)
Net Assets	$	12,026,414,799		$	719,267,910
NET ASSETS:
Class I	$	6,812,251,556		$	392,370,338
Class N		3,483,576,670			110,700,635
Class R6		1,730,586,573			216,196,937
SHARES OUTSTANDING:
Class I		774,075,309			45,957,238
Class N		400,897,220			13,065,932
Class R6		196,509,082			25,290,354
NET ASSET VALUE:
Class I	$	8.80		$	8.54
Class N	$	8.69		$	8.47
Class R6	$	8.81		$	8.55
‡  Cash denominated in foreign currencies at cost	$	(2,863,834	)	$	(471,013	)

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Semi-Annual Report June 2017

26

Consolidated Statements of Operations June 30, 2017 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2017
INVESTMENT INCOME: Dividend income:
Unaffiliated issuers†	$	5,603,837		$	436,317
Controlled affiliated issuers		449,726			—
Interest income		33,233,879			1,666,185
Total Income		39,287,442			2,102,502
EXPENSES:
Investment advisory fees		65,667,322			5,228,254
Custody fees		472,436			55,422
Administration & accounting fees		1,964,858			111,636
Legal fees		163,737			10,143
Audit & tax fees		65,626			62,650
Shareholder reporting fees		626,760			36,760
Transfer agent fees		5,284,429			258,928
Trustee fees		173,695			12,718
Distribution fees—Class N		4,254,741			147,586
Recoupment of waiver		—			2,522
Registration fees		344,618			82,575
Pricing fee		167			100
Other expenses		227,649			13,710
Total Expenses		79,246,038			6,023,004
Less fee waivers and/or reimbursements		—			(37,506	)
Net Expenses		79,246,038			5,985,498
Net Investment Income (Loss)		(39,958,596	)		(3,882,996	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(10,123	)		(1,152	)
Transactions in investment securities of controlled affiliated issuers		(9,459	)		—
Foreign currency and foreign currency transactions		(1,489,565	)		(200,204	)
Forward foreign currency exchange contracts		(252,950,459	)		(20,268,177	)
Futures contracts		(350,946,806	)		(32,274,957	)
Swap contracts		76,095,399			7,595,795
Net realized gain (loss)		(529,311,013	)		(45,148,695	)
Net change in unrealized appreciation (depreciation) on:
Transactions in investment securities of unaffiliated issuers		(1,107,443	)		(71,113	)
Foreign currency and foreign currency translations		(1,400,483	)		(144,027	)
Forward foreign currency exchange contracts		28,099,468			1,696,489
Futures contracts		(210,523,210	)		(17,748,439	)
Swap contracts		32,190,761			2,143,125
Net change in unrealized appreciation (depreciation)		(152,740,907	)		(14,123,965	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(682,051,920	)		(59,272,660	)
Net increase (decrease) in net assets resulting from operations	$	(722,010,516	)	$	(63,155,656	)
†  Net of foreign taxes withheld of		$54,541			$—

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Semi-Annual Report June 2017

27

Consolidated Statements of Changes in Net Assets June 30, 2017

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
OPERATIONS:
Net investment income (loss)	$	(39,958,596	)	$	(108,711,030	)	$	(3,882,996	)	$	(8,863,343	)
Net realized gain (loss)		(529,311,013	)		(1,162,184,683	)		(45,148,695	)		(91,548,998	)
Net change in unrealized appreciation (depreciation)		(152,740,907	)		4,300,143			(14,123,965	)		732,452
Net increase (decrease) in net assets resulting from operations		(722,010,516	)		(1,266,595,570	)		(63,155,656	)		(99,679,889	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(1,417,038	)		—			(54,656	)
Class N		—			(601,538	)		—			(16,635	)
Class R6		—			(204,056	)		—			(27,519	)
Total		—			(2,222,632	)		—			(98,810	)
Total distributions		—			(2,222,632	)		—			(98,810	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,688,506,758			5,721,706,758			182,933,000			424,967,612
Reinvestment of distributions		—			1,011,220			—			48,954
Cost of shares redeemed		(2,107,766,171	)		(5,002,038,879	)		(167,561,481	)		(219,830,052	)
Net increase (decrease) from capital transactions		(419,259,413	)		720,679,099			15,371,519			205,186,514
CLASS N
Proceeds from shares sold		841,072,523			3,012,845,656			28,883,536			61,699,004
Reinvestment of distributions		—			598,562			—			16,635
Cost of shares redeemed		(489,871,887	)		(953,469,093	)		(24,498,081	)		(63,695,839	)
Net increase (decrease) from capital transactions		351,200,636			2,059,975,125			4,385,455			(1,980,200	)
CLASS R6
Proceeds from shares sold		860,223,372			1,441,812,352			64,035,927			140,321,578
Reinvestment of distributions		—			156,661			—			19,372
Cost of shares redeemed		(201,900,962	)		(401,911,427	)		(32,853,275	)		(41,812,623	)
Net increase (decrease) from capital transactions		658,322,410			1,040,057,586			31,182,652			98,528,327
Net increase (decrease) in net assets resulting from capital transactions		590,263,633			3,820,711,810			50,939,626			301,734,641
Total increase (decrease) in net assets		(131,746,883	)		2,551,893,608			(12,216,030	)		201,955,942
NET ASSETS:
Beginning of period		12,158,161,682			9,606,268,074			731,483,940			529,527,998
End of period	$	12,026,414,799		$	12,158,161,682		$	719,267,910		$	731,483,940
Undistributed accumulated net investment income (loss)		$(136,025,912)			$(96,067,316)			$(11,206,243	)		$(7,323,247	)

The accompanying notes are an integral part of these financial statements. (continued on p. 29)

AQR Funds Semi-Annual Report June 2017

28

Consolidated Statements of Changes in Net Assets June 30, 2017

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016			FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2016
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		821,325,811			763,949,205			44,297,366			24,165,693
Shares sold		182,110,116			563,468,373			19,853,826			41,604,907
Shares issued on reinvestment of distributions		—			107,750			—			5,214
Shares redeemed		(229,360,618	)		(506,199,517	)		(18,193,954	)		(21,478,448	)
Shares outstanding, end of period		774,075,309			821,325,811			45,957,238			44,297,366
CLASS N
Shares outstanding, beginning of period		361,866,517			157,339,524			12,612,500			12,859,668
Shares sold		92,746,221			301,424,490			3,132,725			5,920,614
Shares issued on reinvestment of distributions		—			64,500			—			1,783
Shares redeemed		(53,715,518	)		(96,961,997	)		(2,679,293	)		(6,169,565	)
Shares outstanding, end of period		400,897,220			361,866,517			13,065,932			12,612,500
CLASS R6
Shares outstanding, beginning of period		125,447,820			23,597,686			21,880,192			12,494,290
Shares sold		92,880,885			142,721,713			7,074,908			13,425,610
Shares issued on reinvestment of distributions		—			16,684			—			2,061
Shares redeemed		(21,819,623	)		(40,888,263	)		(3,664,746	)		(4,041,769	)
Shares outstanding, end of period		196,509,082			125,447,820			25,290,354			21,880,192

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Semi-Annual Report June 2017

29

Consolidated Financial Highlights June 30, 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 MANAGED FUTURES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.32		(0.02	)		(0.50	)		(0.52	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.18		(0.08	)		(0.78	)		(0.86	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.63		(0.12	)		0.34			0.22			(0.46	)		(0.21	)		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.59		(0.12	)		1.13			1.01			(0.44	)		(0.53	)		(0.97	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.78		(0.12	)		1.04			0.92			—			(0.11	)		(0.11	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.57		(0.12	)		0.40			0.28			(0.07	)		—			(0.07	)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.21		(0.04	)		(0.48	)		(0.52	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.09		(0.11	)		(0.77	)		(0.88	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.54		(0.15	)		0.34			0.19			(0.43	)		(0.21	)		(0.64	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.51		(0.15	)		1.11			0.96			(0.40	)		(0.53	)		(0.93	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.73		(0.15	)		1.04			0.89			—			(0.11	)		(0.11	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.55		(0.14	)		0.39			0.25			(0.07	)		—			(0.07	)
AQR MANAGED FUTURES STRATEGY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.32		(0.03	)		(0.48	)		(0.51	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.18		(0.07	)		(0.79	)		(0.86	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.62		(0.11	)		0.34			0.23			(0.46	)		(0.21	)		(0.67	)
FOR THE PERIOD 9/02/146—12/31/14		$10.28		(0.04	)		1.36			1.32			(0.45	)		(0.53	)		(0.98	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.29		(0.05	)		(0.70	)		(0.75	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.70		(0.13	)		(1.28	)		(1.41	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.18	)		0.46			0.28			(0.51	)		(0.30	)		(0.81	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.80		(0.17	)		1.72			1.55			(0.86	)		(0.26	)		(1.12	)
FOR THE PERIOD 7/16/138—12/31/13		$10.00		(0.08	)		0.89			0.81			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.23		(0.06	)		(0.70	)		(0.76	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.66		(0.16	)		(1.27	)		(1.43	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.21		(0.21	)		0.46			0.25			(0.50	)		(0.30	)		(0.80	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.79		(0.19	)		1.71			1.52			(0.84	)		(0.26	)		(1.10	)
FOR THE PERIOD 7/16/138—12/31/13		$10.00		(0.09	)		0.89			0.80			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2017 (Unaudited)		$9.30		(0.04	)		(0.71	)		(0.75	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.70		(0.13	)		(1.27	)		(1.40	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.17	)		0.46			0.29			(0.52	)		(0.30	)		(0.82	)
FOR THE PERIOD 9/02/146—12/31/14		$10.33		(0.06	)		2.09			2.03			(0.87	)		(0.26	)		(1.13	)

* Annualized for periods less than one year.

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

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

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

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

5 Amount is less than $.005 per share.

6 Commencement of offering of shares.

7 Certain expenses incurred by the Fund were not annualized for the period.

8 Commencement of operations.

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

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30

Consolidated Financial Highlights June 30, 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 Rate
	$8.80		(5.58	)%		$6,812,251		1.21	%		1.21	%		1.21	%		(0.50	)%		0	%
	$9.32		(8.43	)%		$7,654,491		1.20	%		1.20	%		1.20	%		(0.81	)%		0	%
	$10.18		2.00	%		$7,778,072		1.21	%		1.21	%		1.21	%		(1.11	)%		0	%
	$10.63		9.69	%		$5,633,607		1.23	%		1.23	%		1.23	%		(1.20	)%		0	%
	$10.59		9.40	%		$4,506,181		1.23	%		1.23	%		1.23	%		(1.22	)%		0	%
	$9.78		2.99	%		$2,136,959		1.25	%		1.25	%		1.25	%		(1.24	)%		0	%
	$8.69		(5.65	)%		$3,483,577		1.47	%		1.47	%		1.47	%		(0.96	)%		0	%
	$9.21		(8.71	)%		$3,334,207		1.48	%		1.48	%		1.47	%		(1.08	)%		0	%
	$10.09		1.75	%		$1,588,011		1.47	%		1.47	%		1.47	%		(1.38	)%		0	%
	$10.54		9.34	%		$1,310,969		1.50	%		1.50	%		1.50	%		(1.47	)%		0	%
	$10.51		9.14	%		$1,408,085		1.50	%		1.50	%		1.50	%		(1.48	)%		0	%
	$9.73		2.68	%		$527,318		1.52	%		1.50	%		1.50	%		(1.48	)%		0	%
	$8.81		(5.47	)%		$1,730,587		1.12	%		1.12	%		1.12	%		(0.60	)%		0	%
	$9.32		(8.43	)%		$1,169,464		1.13	%		1.13	%		1.13	%		(0.73	)%		0	%
	$10.18		2.16	%		$240,185		1.13	%		1.13	%		1.13	%		(1.01	)%		0	%
	$10.62		12.99	%		$113		1.16	%		1.15	%		1.15	%		(1.11	)%		0	%
	$8.54		(8.07	)%		$392,370		1.66	%		1.65	%		1.65	%		(1.06	)%		0	%
	$9.29		(13.17	)%		$411,599		1.66	%		1.64	%		1.64	%		(1.29	)%		0	%
	$10.70		2.48	%		$258,691		1.65	%		1.61	%		1.61	%		(1.52	)%		0	%
	$11.23		14.68	%		$146,261		1.76	%7		1.65	%		1.65	%		(1.62	)%		0	%
	$10.80		8.14	%		$37,078		2.51	%7		1.68	%		1.65	%		(1.66	)%		0	%
	$8.47		(8.23	)%		$110,701		1.91	%		1.90	%		1.90	%		(1.32	)%		0	%
	$9.23		(13.40	)%		$116,422		1.91	%		1.90	%		1.90	%		(1.55	)%		0	%
	$10.66		2.19	%		$137,115		1.92	%		1.89	%		1.89	%		(1.78	)%		0	%
	$11.21		14.37	%		$9,367		2.12	%7		1.90	%		1.90	%		(1.88	)%		0	%
	$10.79		8.04	%		$1,644		4.03	%7		1.93	%		1.90	%		(1.92	)%		0	%
	$8.55		(8.06	)%		$216,197		1.56	%		1.55	%		1.55	%		(0.97	)%		0	%
	$9.30		(13.07	)%		$203,463		1.57	%		1.55	%		1.55	%		(1.20	)%		0	%
	$10.70		2.54	%		$133,722		1.59	%		1.55	%		1.55	%		(1.45	)%		0	%
	$11.23		19.94	%		$45,436		1.68	%7		1.55	%		1.55	%		(1.52	)%		0	%

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

AQR Funds Semi-Annual Report June 2017

31

Notes to Consolidated Financial Statements June 30, 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 June 30, 2017, the Trust consists of thirty-seven active series, two of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.

The investment objective of the AQR Managed Futures Strategy Fund and the AQR Managed Futures Strategy HV Fund is to seek positive absolute returns. Each fund offers Class I, Class N and Class R6 shares.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets and the Financial Highlights of the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund (“Consolidated Funds”) include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., and AQR Managed Futures Strategy HV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	INCEPTION DATE OF SUBSIDIARY	SUBSIDIARY NET ASSETS AT JUNE 30, 2017		% OF TOTAL NET ASSETS AT JUNE 30, 2017			NET REALIZED GAIN(LOSS) ON INVESTMENTS HELD IN SUBSIDIARY
AQR Managed Futures Strategy Offshore Fund Ltd	January 5, 2010	$	2,730,322,565		22.7	%	$	(428,743,843	)
AQR Managed Futures Strategy HV Offshore Fund Ltd	July 16, 2013		162,958,006		22.7	%		(35,724,267	)

3. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

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

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

AQR Funds Semi-Annual Report June 2017

32

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

The Funds may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code, 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 taxable net investment income and capital gains, if applicable, to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of June 30, 2017, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.

AQR Funds Semi-Annual Report June 2017

33

Notes to Consolidated Financial Statements June 30, 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.

4. Securities and Other Investments

Limited Purpose Cash Investment Fund: Certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising a controlling influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments.

Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not receive the return of the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as 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.

Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject

AQR Funds Semi-Annual Report June 2017

34

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

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 potential 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.

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.

Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for exchange-traded and centrally cleared derivatives on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on exchange-traded and centrally cleared derivatives. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.

Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.

Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.

Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.

5. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).

AQR Funds Semi-Annual Report June 2017

35

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

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, approaches and techniques, 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 an active market for the investments existed. These differences could be material.

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

Level 1  — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system,

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Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the of the fair value hierarchy.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income 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 that constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. 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 may include other unobservable inputs which may be considered significant to the fair value determination.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

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Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR MANAGED FUTURES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	11,852,214,555		$	—	$	11,852,214,555
Futures Contracts*		1,070,674			—			—		1,070,674
Forward Foreign Currency Exchange Contracts*		—			293,990,495			—		293,990,495
Total Return Swaps Contracts*		—			39,853,499			—		39,853,499
Total Assets	$	1,070,674		$	12,186,058,549		$	—	$	12,187,129,223
LIABILITIES
Futures Contracts*	$	(137,737,774	)	$	—		$	—	$	(137,737,774	)
Forward Foreign Currency Exchange Contracts*		—			(303,674,779	)		—		(303,674,779	)
Total Return Swaps Contracts*		—			(72,738,590	)		—		(72,738,590	)
Total Liabilities	$	(137,737,774	)	$	(376,413,369	)	$	—	$	(514,151,143	)
AQR MANAGED FUTURES STRATEGY HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	688,219,938		$	—	$	688,219,938
Futures Contracts*		106,449			—			—		106,449
Forward Foreign Currency Exchange Contracts*		—			24,852,875			—		24,852,875
Total Return Swap Contracts*		—			3,223,838			—		3,223,838
Total Assets	$	106,449		$	716,296,651		$	—	$	716,403,100
LIABILITIES
Futures Contracts*	$	(12,486,941	)	$	—		$	—	$	(12,486,941	)
Forward Foreign Currency Exchange Contracts*		—			(25,618,850	)		—		(25,618,850	)
Total Return Swap Contracts*		—			(5,936,067	)		—		(5,936,067	)
Total Liabilities	$	(12,486,941	)	$	(31,554,917	)	$	—	$	(44,041,858	)

* Derivative instruments, including futures, total return swap, and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the period ended June 30, 2017, there were no transfers of investments between levels for any of the Funds. There were no Level 3 securities held at period end.

6. Federal Income Tax Matters

At June 30, 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 Managed Futures Strategy Fund	$	11,853,098,482	$	319,002	$	(1,202,929	)	$	(883,927	)
AQR Managed Futures Strategy HV Fund		688,277,330		20,434		(77,826	)		(57,392	)

There are no differences between book basis and tax basis appreciation (depreciation) on investments.

AQR Funds Semi-Annual Report June 2017

38

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

As of December 31, 2016, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG-TERM
AQR Managed Futures Strategy Fund	$	363,233,114	$	69,660,147
AQR Managed Futures Strategy HV Fund		31,297,589		6,619,828

7. Investment Transactions

During the period ended June 30, 2017, there was no cost of purchases or proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments).

8. Derivative Instruments and Activities

The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at June 30, 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 Managed Futures Strategy Fund	$	5,343,221		$	8,489,188		$	—		$	81,185,894		$	8,663,973		$	—
AQR Managed Futures Strategy HV Fund		507,411			793,336			—			7,216,584			714,502			—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—			—			293,990,495			—			—			303,674,779
AQR Managed Futures Strategy HV Fund		—			—			24,852,875			—			—			25,618,850
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		17,536,126			—			—			40,607,378			—			—
AQR Managed Futures Strategy HV Fund		1,578,811			—			—			3,717,198			—			—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		36,713,294			31,364,311			—			74,466,469			64,074,617			—
AQR Managed Futures Strategy HV Fund		3,133,441			2,430,502			—			6,666,373			5,221,565			—
Netting:
AQR Managed Futures Strategy Fund		(59,592,641	)		(39,853,499	)		(293,990,495	)		(59,592,641	)		(39,853,499	)		(293,990,495	)
AQR Managed Futures Strategy HV Fund		(5,219,663	)		(3,223,838	)		(24,852,875	)		(5,219,663	)		(3,223,838	)		(24,852,875	)
Net Fair Value of Derivative Contracts:
AQR Managed Futures Strategy Fund		—			—			—			136,667,100			32,885,091			9,684,284
AQR Managed Futures Strategy HV Fund		—			—			—			12,380,492			2,712,229			765,975

* May include cumulative appreciation (depreciation) of exchange-traded and centrally cleared derivatives as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives.

AQR Funds Semi-Annual Report June 2017

39

Notes to Consolidated Financial Statements June 30, 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 June 30, 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 Managed Futures Strategy Fund	$	458,684,447		$	151,184,478		$	—		$	(98,434,025	)	$	(7,849,801	)	$	—
AQR Managed Futures Strategy HV Fund		38,599,426			13,230,163			—			(8,099,406	)		(594,251	)		—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—			—			(252,950,459	)		—			—			28,099,468
AQR Managed Futures Strategy HV Fund		—			—			(20,268,177	)		—			—			1,696,489
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		(455,914,385	)		—			—			(48,980,530	)		—			—
AQR Managed Futures Strategy HV Fund		(40,792,490	)		—			—			(3,691,771	)		—			—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		(353,716,868	)		(75,089,080	)		—			(63,108,655	)		40,040,562			—
AQR Managed Futures Strategy HV Fund		(30,081,893	)		(5,634,368	)		—			(5,957,262	)		2,737,376			—

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of June 30, 2017:

AQR MANAGED FUTURES STRATEGY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	2,988,894	$	(2,305,537	)	$	683,357	$	—	$	(683,357	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		117,832,436		(117,832,436	)		—		—		—			—
GSIN	Total Return Swap Contracts		444,044		(444,044	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		176,158,059		(176,158,059	)		—		—		—			—
MSCS	Total Return Swap Contracts		5,056,250		(2,951,600	)		2,104,650		—		—			2,104,650
Total financial instruments subject to a master netting arrangement or similar arrangement			302,479,683		(299,691,676	)		2,788,007		—		(683,357	)		2,104,650

AQR Funds Semi-Annual Report June 2017

40

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	2,305,537	$	(2,305,537	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		121,849,573		(117,832,436	)		4,017,137		—		(4,017,137	)		—
GSIN	Total Return Swap Contracts		3,406,836		(444,044	)		2,962,792		—		(2,962,792	)		—
JPMC	Forward Foreign Currency Exchange Contracts		181,825,206		(176,158,059	)		5,667,147		—		(5,667,147	)		—
MSCS	Total Return Swap Contracts		2,951,600		(2,951,600	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			312,338,752		(299,691,676	)		12,647,076		—		(12,647,076	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 12,026,643.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $508,283,110.

AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	10,582,123	$	(10,582,123	)		$        —		$        —		$        —		$        —
GSIN	Total Return Swap Contracts		3,014,583		(3,014,583	)		—		—		—		—
MACQ	Total Return Swap Contracts		4,339,250		(4,339,250	)		—		—		—		—
MLIN	Total Return Swap Contracts		2,444,619		(2,444,619	)		—		—		—		—
SOCG	Total Return Swap Contracts		10,983,736		(10,983,736	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			31,364,311		(31,364,311	)		—		—		—		—

AQR Funds Semi-Annual Report June 2017

41

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Total Return Swap Contracts	$	18,711,215	$	(10,582,123	)	$	8,129,092	$	—	$	(8,129,092	)	$	—
GSIN	Total Return Swap Contracts		5,224,613		(3,014,583	)		2,210,030		—		(2,210,030	)		—
MACQ	Total Return Swap Contracts		13,254,216		(4,339,250	)		8,914,966		—		(8,914,966	)		—
MLIN	Total Return Swap Contracts		7,126,211		(2,444,619	)		4,681,592		—		(4,681,592	)		—
SOCG	Total Return Swap Contracts		19,758,362		(10,983,736	)		8,774,626		—		(8,774,626	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			64,074,617		(31,364,311	)		32,710,306		—		(32,710,306	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $6,170,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $60,064,360.

AQR MANAGED FUTURES STRATEGY HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	551,783	$	(376,284	)	$	175,499	$	—	$	(175,499	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		9,965,758		(9,965,758	)		—		—		—			—
GSIN	Total Return Swap Contracts		241,553		(241,553	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		14,887,117		(14,887,117	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			25,646,211		(25,470,712	)		175,499		—		(175,499	)		—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	376,284	$	(376,284	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		10,307,139		(9,965,758	)		341,381		—		(341,381	)		—
GSIN	Total Return Swap Contracts		338,218		(241,553	)		96,665		—		(96,665	)		—
JPMC	Forward Foreign Currency Exchange Contracts		15,311,711		(14,887,117	)		424,594		—		(424,594	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			26,333,352		(25,470,712	)		862,640		—		(862,640	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 1,724,501.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 39,155,280.

AQR Funds Semi-Annual Report June 2017

42

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	894,591	$	(894,591	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		239,916		(239,916	)		—		—		—			—
MACQ	Total Return Swap Contracts		273,790		(273,790	)		—		—		—			—
SOCG	Total Return Swap Contracts		1,022,205		(1,022,205	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,430,502		(2,430,502	)		—		—		—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,628,657	$	(894,591	)	$	734,066	$	—	$	(734,066	)	$	—
GSIN	Total Return Swap Contracts		525,010		(239,916	)		285,094		—		(285,094	)		—
MACQ	Total Return Swap Contracts		865,823		(273,790	)		592,033		—		(592,033	)		—
SOCG	Total Return Swap Contracts		2,202,075		(1,022,205	)		1,179,870		—		(1,179,870	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,221,565		(2,430,502	)		2,791,063		—		(2,791,063	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 980,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 4,776,225.

AQR Funds Semi-Annual Report June 2017

43

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

For the period ended June 30, 2017, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND
Futures Contracts:
Average Notional Balance—Long		15,254,534,157		1,341,502,225
Average Notional Balance—Short		38,485,794,859		3,414,806,168
Ending Notional Balance—Long		10,707,575,243		967,084,738
Ending Notional Balance—Short		21,048,577,936		1,889,854,101
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		16,537,796,037		1,349,183,219
Average Settlement Value—Sold		15,196,290,385		1,223,588,142
Ending Value—Purchased		18,470,367,183		1,585,509,277
Ending Value—Sold		14,996,483,088		1,275,490,322
Total Return Swaps:
Average Notional Balance—Long		2,200,534,705		184,814,170
Average Notional Balance—Short		1,094,319,561		86,326,555
Ending Notional Balance—Long		2,103,402,192		180,414,323
Ending Notional Balance—Short		1,282,493,669		107,862,277

* Notional values as of each quarter end are used to calculate the average represented.

9. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to a Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Managed Futures Strategy Fund		1.05	%
AQR Managed Futures Strategy HV Fund		1.45

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2018 for Class I, N and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Managed Futures Strategy Fund		1.25	%		1.50	%		1.15	%
AQR Managed Futures Strategy HV Fund		1.65			1.90			1.55

AQR Funds Semi-Annual Report June 2017

44

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

For the period ended June 30, 2017 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Managed Futures Strategy HV Fund	$	37,506	$	—	$	37,506

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement. 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.

For the period ended June 30, 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 June 30, 2017 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2017		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2017		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					2017		2018		2019		2020
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	20,301	$	188,412	$	34,904	$	73,821	$	59,386	$	20,301
Class N		6,289		47,804		3,164		18,956		19,395		6,289
Class R6		10,916		69,497		—		30,010		28,571		10,916
Totals	$	37,506	$	305,713	$	38,068	$	122,787	$	107,352	$	37,506

During the period ended June 30, 2017, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Managed Futures Strategy HV Fund	$	1,380	$	394	$	748

JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

10. Distribution Plan

The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.

11. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of

slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may

AQR Funds Semi-Annual Report June 2017

45

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.

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.

AQR Funds Semi-Annual Report June 2017

46

Notes to Consolidated Financial Statements June 30, 2017 (Unaudited)

12. Line of Credit

Effective February 24, 2017 and terminating on February 23, 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. The Funds did not have any borrowings for the period ended June 30, 2017.

13. Principal Ownership

As of June 30, 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	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Managed Futures Strategy Fund		6		71.20	%
AQR Managed Futures Strategy HV Fund		5		83.64	%

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

14. New Accounting Pronouncements and Regulations

In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization, to modernize and enhance the reporting and disclosure of information by registered investment companies. The SEC is adopting amendments to Regulation S-X, which will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The new rules will allow the SEC to more effectively collect and use data reported by funds, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review.

Compliance with the modifications to Regulation S-X is required for financial statements filed with the SEC on or after August 1, 2017 and other amendments and rules are effective during 2018. Adoption of these rules will have no effect on the Funds’ net assets or results of operations. Management is currently evaluating the impact on the Funds’ financial statements.

15. Subsequent Events

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than noted above.

AQR Funds Semi-Annual Report June 2017

47

Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 06/30/17” 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 6/30/17		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/17
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$944.20		1.21	%		$5.83
Hypothetical Return		$1,000.00		$1,018.79		1.21	%		$6.06
Class N
Actual Return		$1,000.00		$943.50		1.47	%		$7.08
Hypothetical Return		$1,000.00		$1,017.50		1.47	%		$7.35
Class R6
Actual Return		$1,000.00		$945.30		1.12	%		$5.40
Hypothetical Return		$1,000.00		$1,019.24		1.12	%		$5.61
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$919.30		1.65	%		$7.85
Hypothetical Return		$1,000.00		$1,016.61		1.65	%		$8.25
Class N
Actual Return		$1,000.00		$917.70		1.90	%		$9.03
Hypothetical Return		$1,000.00		$1,015.37		1.90	%		$9.49
Class R6
Actual Return		$1,000.00		$919.40		1.55	%		$7.38
Hypothetical Return		$1,000.00		$1,017.11		1.55	%		$7.75

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).

AQR Funds Semi-Annual Report June 2017

48

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248

p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Item 2. Code of Ethics.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1)	Not required for this filing.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.
(b)	Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

August 29, 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

August 29, 2017

By: /s/ Heather Bonner

Heather Bonner,

Principal Financial Officer

August 29, 2017