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, 4th 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: September 30

Date of reporting period: October 1, 2017 to March 31, 2018

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

March 31, 2018 (Unaudited)

AQR Large Cap Multi-Style Fund

AQR Small Cap Multi-Style Fund

AQR International Multi-Style Fund

AQR Emerging Multi-Style Fund

AQR TM Large Cap Multi-Style Fund

AQR TM Small Cap Multi-Style Fund

AQR TM International Multi-Style Fund

AQR TM Emerging Multi-Style Fund

AQR Large Cap Momentum Style Fund

AQR Small Cap Momentum Style Fund

AQR International Momentum Style Fund

AQR Emerging Momentum Style Fund

AQR TM Large Cap Momentum Style Fund

AQR TM Small Cap Momentum Style Fund

AQR TM International Momentum Style Fund

AQR Large Cap Defensive Style Fund

AQR International Defensive Style Fund

AQR Emerging Defensive Style Fund

AQR Global Equity Fund

AQR International Equity Fund

AQR Large Cap Relaxed Constraint Equity Fund

AQR Small Cap Relaxed Constraint Equity Fund

AQR International Relaxed Constraint Equity Fund

AQR Emerging Relaxed Constraint Equity Fund

Table of Contents

Schedule of Investments
AQR Large Cap Multi-Style Fund	2
AQR Small Cap Multi-Style Fund	7
AQR International Multi-Style Fund	15
AQR Emerging Multi-Style Fund	20
AQR TM Large Cap Multi-Style Fund	24
AQR TM Small Cap Multi-Style Fund	29
AQR TM International Multi-Style Fund	37
AQR TM Emerging Multi-Style Fund	42
AQR Large Cap Momentum Style Fund	47
AQR Small Cap Momentum Style Fund	54
AQR International Momentum Style Fund	64
AQR Emerging Momentum Style Fund	70
AQR TM Large Cap Momentum Style Fund	74
AQR TM Small Cap Momentum Style Fund	80
AQR TM International Momentum Style Fund	89
AQR Large Cap Defensive Style Fund	95
AQR International Defensive Style Fund	100
AQR Emerging Defensive Style Fund	105
AQR Global Equity Fund	109
AQR International Equity Fund	119
AQR Large Cap Relaxed Constraint Equity Fund	128
AQR Small Cap Relaxed Constraint Equity Fund	135
AQR International Relaxed Constraint Equity Fund	145
AQR Emerging Relaxed Constraint Equity Fund	153
Financial Statements and Notes	163
Fund Expense Examples	252
Board Approval of Investment Advisory Agreements	258

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.3%
Aerospace & Defense - 4.2%
Boeing Co. (The)		58,282	$	19,109,502
General Dynamics Corp.		11,539		2,548,965
Hexcel Corp.		15,496		1,000,887
Huntington Ingalls Industries, Inc.		53,274		13,731,906
Lockheed Martin Corp.		2,826		954,990
Northrop Grumman Corp.		26,078		9,104,352
Raytheon Co.		97,287		20,996,480
Spirit AeroSystems Holdings, Inc., Class A		175,389		14,680,059
				82,127,141
Air Freight & Logistics - 0.8%
Expeditors International of Washington, Inc.		12,956		820,115
FedEx Corp.		63,883		15,338,947
				16,159,062
Airlines - 0.8%
Delta Air Lines, Inc.		48,899		2,680,154
JetBlue Airways Corp. *		621,021		12,619,147
United Continental Holdings, Inc. *		16,573		1,151,326
				16,450,627
Auto Components - 0.7%
Adient plc		32,749		1,957,080
Lear Corp.		65,195		12,132,138
				14,089,218
Automobiles - 0.3%
General Motors Co.		70,268		2,553,539
Thor Industries, Inc.		23,965		2,760,049
				5,313,588
Banks - 6.8%
Bank of America Corp.		491,819		14,749,652
Citigroup, Inc.		206,752		13,955,760
Fifth Third Bancorp		50,022		1,588,199
JPMorgan Chase & Co.		399,396		43,921,578
PNC Financial Services Group, Inc. (The)		93,068		14,075,604
SunTrust Banks, Inc.		134,928		9,180,501
TCF Financial Corp.		60,789		1,386,597
US Bancorp		229,101		11,569,601
Wells Fargo & Co.		404,423		21,195,809
				131,623,301
Beverages - 0.7%
Constellation Brands, Inc., Class A		33,350		7,601,132
PepsiCo, Inc.		56,873		6,207,688
				13,808,820
Biotechnology - 3.6%
AbbVie, Inc.		118,783		11,242,811
Alexion Pharmaceuticals, Inc. *		12,850		1,432,261
Amgen, Inc.		49,096		8,369,886
Biogen, Inc. *		42,404		11,611,063
Celgene Corp. *		107,513		9,591,235
Exelixis, Inc. *		201,700		4,467,655
Gilead Sciences, Inc.		225,391		16,992,227

INVESTMENTS	SHARES		VALUE
Biotechnology - 3.6% (continued)
United Therapeutics Corp. *		61,238	$	6,880,702
				70,587,840
Building Products - 0.6%
Owens Corning		156,206		12,558,962
Capital Markets - 2.7%
Ameriprise Financial, Inc.		70,254		10,393,377
Bank of New York Mellon Corp. (The)		111,687		5,755,231
CME Group, Inc.		70,243		11,361,103
Federated Investors, Inc., Class B		124,718		4,165,581
LPL Financial Holdings, Inc.		14,168		865,240
Morgan Stanley		13,276		716,373
MSCI, Inc.		11,103		1,659,565
S&P Global, Inc.		17,709		3,383,482
State Street Corp.		81,114		8,089,499
T. Rowe Price Group, Inc.		60,887		6,573,969
				52,963,420
Chemicals - 3.0%
Chemours Co. (The)		26,339		1,282,973
Eastman Chemical Co.		64,779		6,839,367
Huntsman Corp.		551,616		16,134,768
LyondellBasell Industries NV, Class A		274,518		29,011,062
Monsanto Co.		28,162		3,286,224
Olin Corp.		59,431		1,806,108
				58,360,502
Commercial Services & Supplies - 0.2%
Republic Services, Inc.		13,617		901,854
Rollins, Inc.		16,121		822,654
Waste Management, Inc.		33,664		2,831,816
				4,556,324
Communications Equipment - 0.9%
Arista Networks, Inc. *		4,289		1,094,982
Cisco Systems, Inc.		383,435		16,445,527
				17,540,509
Consumer Finance - 0.1%
Discover Financial Services		35,549		2,557,040
Distributors - 0.1%
LKQ Corp. *		30,523		1,158,348
Diversified Consumer Services - 0.1%
Graham Holdings Co., Class B		1,454		875,671
H&R Block, Inc.		29,492		749,392
				1,625,063
Diversified Financial Services - 1.5%
Berkshire Hathaway, Inc., Class B *		144,246		28,774,192
Electric Utilities - 1.7%
Exelon Corp.		623,078		24,306,273
Great Plains Energy, Inc.		41,596		1,322,337
NextEra Energy, Inc.		4,011		655,116
Pinnacle West Capital Corp.		80,348		6,411,770
Xcel Energy, Inc.		27,806		1,264,617
				33,960,113

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

AQR Funds Semi-Annual Report March 2018

2

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Electrical Equipment - 0.1%
Eaton Corp. plc		13,001	$	1,038,910
Electronic Equipment, Instruments & Components - 0.8%
Arrow Electronics, Inc. *		17,949		1,382,432
Coherent, Inc. *		32,064		6,008,794
FLIR Systems, Inc.		16,073		803,811
IPG Photonics Corp. *		23,892		5,575,915
Jabil, Inc.		65,036		1,868,484
				15,639,436
Equity Real Estate Investment Trusts (REITs) - 2.9%
American Tower Corp.		35,655		5,182,098
AvalonBay Communities, Inc.		12,637		2,078,281
Boston Properties, Inc.		14,537		1,791,249
Crown Castle International Corp.		31,306		3,431,451
Digital Realty Trust, Inc.		58,944		6,211,519
Equinix, Inc.		7,311		3,057,021
Equity Residential		52,819		3,254,707
Essex Property Trust, Inc.		2,826		680,162
GGP, Inc.		80,952		1,656,278
Host Hotels & Resorts, Inc.		97,937		1,825,546
Prologis, Inc.		72,786		4,584,790
Public Storage		31,559		6,324,108
Realty Income Corp.		46,031		2,381,184
SBA Communications Corp. *		6,730		1,150,291
Simon Property Group, Inc.		31,280		4,828,068
Ventas, Inc.		65,952		3,266,602
Welltower, Inc.		27,691		1,507,221
Weyerhaeuser Co.		75,677		2,648,695
				55,859,271
Food & Staples Retailing - 0.8%
Walmart, Inc.		185,069		16,465,589
Food Products - 1.9%
Archer-Daniels-Midland Co.		268,754		11,655,861
Bunge Ltd.		9,706		717,662
Ingredion, Inc.		58,127		7,493,733
Pilgrim’s Pride Corp. *(a)		253,693		6,243,385
Tyson Foods, Inc., Class A		145,703		10,664,002
				36,774,643
Health Care Equipment & Supplies - 1.7%
Abbott Laboratories		16,111		965,371
Align Technology, Inc. *		12,967		3,256,403
Baxter International, Inc.		225,951		14,695,853
Danaher Corp.		53,541		5,242,199
Medtronic plc		88,396		7,091,127
Varian Medical Systems, Inc. *		12,473		1,529,814
Zimmer Biomet Holdings, Inc.		9,806		1,069,246
				33,850,013
Health Care Providers & Services - 2.7%
Aetna, Inc.		23,243		3,928,067
Anthem, Inc.		52,082		11,442,415
Centene Corp. *		15,621		1,669,416
Cigna Corp.		38,394		6,440,210
Express Scripts Holding Co. *		42,995		2,970,095
Humana, Inc.		60,450		16,250,773
LifePoint Health, Inc. *		11,738		551,686

INVESTMENTS	SHARES		VALUE
Health Care Providers & Services - 2.7% (continued)
McKesson Corp.		12,663	$	1,783,837
WellCare Health Plans, Inc. *		42,097		8,151,242
				53,187,741
Hotels, Restaurants & Leisure - 3.1%
Carnival Corp.		222,346		14,581,451
Darden Restaurants, Inc.		158,625		13,522,781
Hilton Grand Vacations, Inc. *		67,941		2,922,822
Las Vegas Sands Corp.		40,516		2,913,100
McDonald’s Corp.		16,798		2,626,871
Norwegian Cruise Line Holdings Ltd. *		42,118		2,230,991
Royal Caribbean Cruises Ltd.		167,791		19,755,712
Wyndham Worldwide Corp.		8,200		938,326
				59,492,054
Household Durables - 0.8%
Garmin Ltd.		22,298		1,314,021
NVR, Inc. *		295		826,000
PulteGroup, Inc.		107,188		3,160,974
Toll Brothers, Inc.		223,874		9,682,551
				14,983,546
Household Products - 0.3%
Procter & Gamble Co. (The)		78,791		6,246,550
Independent Power and Renewable Electricity Producers - 0.0% (b)
Vistra Energy Corp. *		45,975		957,659
Industrial Conglomerates - 0.1%
3M Co.		5,269		1,156,651
Honeywell International, Inc.		10,768		1,556,084
				2,712,735
Insurance - 5.4%
Aflac, Inc.		239,458		10,478,682
Allstate Corp. (The)		187,546		17,779,361
American Financial Group, Inc.		78,029		8,756,414
Assured Guaranty Ltd.		212,201		7,681,676
CNA Financial Corp.		37,971		1,873,869
Everest Re Group Ltd.		62,034		15,931,572
First American Financial Corp.		63,728		3,739,559
FNF Group		134,803		5,394,816
Old Republic International Corp.		105,071		2,253,773
Prudential Financial, Inc.		50,094		5,187,234
Reinsurance Group of America, Inc.		60,041		9,246,314
Travelers Cos., Inc. (The)		115,307		16,011,530
				104,334,800
Internet & Direct Marketing Retail - 3.3%
Amazon.com, Inc. *		30,665		44,382,681
Booking Holdings, Inc. *		3,455		7,187,748
Liberty Interactive Corp. QVC Group, Class A *		129,319		3,254,959
Netflix, Inc. *		34,052		10,057,258
				64,882,646
Internet Software & Services - 6.9%
Akamai Technologies, Inc. *		120,029		8,519,658
Alphabet, Inc., Class A *		25,625		26,576,712
Alphabet, Inc., Class C *		23,268		24,007,690

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

AQR Funds Semi-Annual Report March 2018

3

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Internet Software & Services - 6.9% (continued)
eBay, Inc. *		456,312	$	18,361,995
Facebook, Inc., Class A *		233,953		37,383,350
IAC/InterActiveCorp *		66,810		10,447,748
Match Group, Inc. *(a)		50,318		2,236,132
Twitter, Inc. *		152,857		4,434,381
VeriSign, Inc. *(a)		15,405		1,826,417
				133,794,083
IT Services - 3.1%
Accenture plc, Class A		54,344		8,341,804
Amdocs Ltd.		41,158		2,746,062
Booz Allen Hamilton Holding Corp.		79,748		3,087,842
Cognizant Technology Solutions Corp., Class A		94,399		7,599,119
DXC Technology Co.		28,270		2,841,983
Euronet Worldwide, Inc. *		10,739		847,522
Fiserv, Inc. *		16,082		1,146,807
Genpact Ltd.		36,204		1,158,166
International Business Machines Corp.		120,353		18,465,761
Total System Services, Inc.		76,806		6,625,286
Visa, Inc., Class A (a)		59,121		7,072,054
				59,932,406
Life Sciences Tools & Services - 0.7%
Agilent Technologies, Inc.		50,668		3,389,689
Charles River Laboratories International, Inc. *		34,207		3,651,255
Thermo Fisher Scientific, Inc.		25,550		5,275,053
Waters Corp. *		10,342		2,054,439
				14,370,436
Machinery - 1.5%
Allison Transmission Holdings, Inc.		122,805		4,796,763
Caterpillar, Inc.		9,922		1,462,304
Cummins, Inc.		78,265		12,685,974
Ingersoll-Rand plc		23,061		1,971,946
ITT, Inc.		23,277		1,140,108
Oshkosh Corp.		85,049		6,571,736
Trinity Industries, Inc.		24,673		805,080
				29,433,911
Media - 1.9%
Comcast Corp., Class A		361,591		12,355,565
John Wiley & Sons, Inc., Class A		33,392		2,127,070
Lions Gate Entertainment Corp., Class A		21,064		544,083
Time Warner, Inc.		54,921		5,194,428
Twenty-First Century Fox, Inc., Class A		75,076		2,754,539
Viacom, Inc., Class B		57,238		1,777,812
Walt Disney Co. (The)		117,625		11,814,255
				36,567,752
Metals & Mining - 0.6%
Alcoa Corp. *		212,325		9,546,132
Freeport-McMoRan, Inc. *		118,153		2,075,948
Reliance Steel & Aluminum Co.		6,533		560,140
				12,182,220

INVESTMENTS	SHARES		VALUE
Multiline Retail - 0.9%
Kohl’s Corp.		121,625	$	7,967,654
Target Corp.		133,805		9,290,081
				17,257,735
Multi-Utilities - 2.1%
Ameren Corp.		265,955		15,061,032
Consolidated Edison, Inc.		194,932		15,193,000
DTE Energy Co.		73,953		7,720,693
Public Service Enterprise Group, Inc.		45,203		2,270,999
				40,245,724
Oil, Gas & Consumable Fuels - 2.1%
CNX Resources Corp. *		134,827		2,080,381
CONSOL Energy, Inc. *		22,903		663,500
HollyFrontier Corp.		189,079		9,238,400
Marathon Petroleum Corp.		72,926		5,331,620
PBF Energy, Inc., Class A		269,267		9,128,151
Pioneer Natural Resources Co.		10,426		1,790,978
Southwestern Energy Co. *		344,895		1,493,395
Valero Energy Corp.		114,609		10,632,277
				40,358,702
Personal Products - 0.7%
Estee Lauder Cos., Inc. (The), Class A		79,747		11,939,721
Nu Skin Enterprises, Inc., Class A		10,808		796,657
				12,736,378
Pharmaceuticals - 2.3%
Johnson & Johnson		188,263		24,125,904
Mylan NV *		86,253		3,551,036
Pfizer, Inc.		495,386		17,581,249
				45,258,189
Professional Services - 0.4%
ManpowerGroup, Inc.		34,372		3,956,217
Robert Half International, Inc.		53,811		3,115,119
				7,071,336
Road & Rail - 0.2%
Norfolk Southern Corp.		4,863		660,298
Union Pacific Corp.		25,419		3,417,076
				4,077,374
Semiconductors & Semiconductor Equipment - 6.4%
Applied Materials, Inc.		177,866		9,891,128
First Solar, Inc. *		35,816		2,542,220
Intel Corp.		613,542		31,953,267
Lam Research Corp.		69,716		14,163,503
Marvell Technology Group Ltd.		144,024		3,024,504
Micron Technology, Inc. *		576,309		30,048,751
NVIDIA Corp.		4,292		993,984
ON Semiconductor Corp. *		292,504		7,154,648
Qorvo, Inc. *		55,110		3,882,500
Skyworks Solutions, Inc.		81,816		8,202,872
Texas Instruments, Inc.		113,603		11,802,216
				123,659,593
Software - 5.2%
Activision Blizzard, Inc.		149,490		10,084,595
Adobe Systems, Inc. *		23,017		4,973,513

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

AQR Funds Semi-Annual Report March 2018

4

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Software - 5.2% (continued)
CA, Inc.		48,627	$	1,648,455
Cadence Design Systems, Inc. *		19,993		735,143
Dell Technologies, Inc., Class V *		15,896		1,163,746
Electronic Arts, Inc. *		32,220		3,906,353
Manhattan Associates, Inc. *		58,404		2,445,960
Microsoft Corp.		519,196		47,387,019
Oracle Corp.		367,823		16,827,902
VMware, Inc., Class A *(a)		91,469		11,092,446
				100,265,132
Specialty Retail - 2.4%
Best Buy Co., Inc.		266,440		18,648,135
Gap, Inc. (The)		122,904		3,834,605
Home Depot, Inc. (The)		59,941		10,683,884
Signet Jewelers Ltd.		159,654		6,149,872
Williams-Sonoma, Inc. (a)		141,137		7,446,388
				46,762,884
Technology Hardware, Storage & Peripherals - 4.8%
Apple, Inc.		403,899		67,766,174
HP, Inc.		263,173		5,768,752
Western Digital Corp.		211,072		19,475,614
				93,010,540
Textiles, Apparel & Luxury Goods - 1.0%
Carter’s, Inc.		29,960		3,118,836
Michael Kors Holdings Ltd. *		169,880		10,546,150
Ralph Lauren Corp.		13,032		1,456,978
Skechers U.S.A., Inc., Class A *		89,294		3,472,644
				18,594,608
Thrifts & Mortgage Finance - 0.0% (b)
New York Community Bancorp, Inc.		31,509		410,562
Tobacco - 0.9%
Altria Group, Inc.		127,125		7,922,430
Philip Morris International, Inc.		100,862		10,025,683
				17,948,113
Trading Companies & Distributors - 0.5%
Air Lease Corp.		77,231		3,291,585
United Rentals, Inc. *		35,332		6,102,897
				9,394,482
Transportation Infrastructure - 0.0% (b)
Macquarie Infrastructure Corp.		14,016		517,611
TOTAL COMMON STOCKS (Cost $1,529,203,514)				1,894,489,434
SHORT-TERM INVESTMENTS - 2.5%
Investment Companies - 2.5%
Limited Purpose Cash Investment Fund, 1.53% (2)(c) (Cost $49,058,363)		49,069,578		49,059,765

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 0.5%
Investment Companies - 0.5%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(c)(d)		1,142,231	$	1,142,231
Limited Purpose Cash Investment Fund 1.53% (2)(c)(d)		8,537,236		8,537,236
TOTAL SECURITIES LENDING COLLATERAL (Cost $9,679,467)				9,679,467
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.3% (Cost $1,587,941,344)				1,953,228,666
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% (e)			(6,323,456)
NET ASSETS - 100.0%			$	1,946,905,210

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	280,727,442			14.4	%
Consumer Staples		103,980,093			5.3
Energy		40,358,702			2.1
Financials		320,663,315			16.5
Health Care		217,254,219			11.2
Industrials		186,098,476			9.5
Information Technology		543,841,699			27.9
Materials		70,542,721			3.6
Real Estate		55,859,271			2.9
Utilities		75,163,496			3.9
Short-Term Investments		49,059,765			2.5
Securities Lending Collateral		9,679,467			0.5
Total Investments In Securities At Value		1,953,228,666			100.3
Liabilities in Excess of Other Assets (e)		(6,323,456	)		(0.3	)
Net Assets	$	1,946,905,210			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $16,591,928.

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

(c) Represents 7-day effective yield as of March 31, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $7,011,684 was received (See Note 3).

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

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

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

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

AQR Funds Semi-Annual Report March 2018

5

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MULTI-STYLE FUND

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index		260	6/2018	USD		$34,359,000		$(1,809,297	)
								$(1,809,297	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$3,928,426		$3,928,426

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

AQR Funds Semi-Annual Report March 2018

6

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.2%
Aerospace & Defense - 1.3%
Curtiss-Wright Corp.		21,437	$	2,895,496
Ducommun, Inc. *		7,005		212,812
Esterline Technologies Corp. *		22,805		1,668,186
Moog, Inc., Class A *		17,130		1,411,683
National Presto Industries, Inc. (a)		9,278		869,812
Vectrus, Inc. *		53,141		1,978,971
				9,036,960
Air Freight & Logistics - 0.6%
Air Transport Services Group, Inc. *		46,125		1,075,635
Atlas Air Worldwide Holdings, Inc. *		19,023		1,149,941
Forward Air Corp.		3,848		203,405
Hub Group, Inc., Class A *		39,518		1,653,828
				4,082,809
Airlines - 0.4%
Allegiant Travel Co.		5,157		889,840
Hawaiian Holdings, Inc.		18,265		706,856
SkyWest, Inc.		18,911		1,028,758
				2,625,454
Auto Components - 2.4%
American Axle & Manufacturing Holdings, Inc. *		207,998		3,165,730
Cooper Tire & Rubber Co.		60,077		1,760,256
Cooper-Standard Holdings, Inc. *		41,855		5,140,213
Dana, Inc.		109,204		2,813,095
Standard Motor Products, Inc.		6,733		320,289
Stoneridge, Inc. *		60,363		1,666,019
Superior Industries International, Inc.		15,415		205,019
Tenneco, Inc.		13,221		725,436
Tower International, Inc.		39,931		1,108,085
				16,904,142
Automobiles - 0.1%
Winnebago Industries, Inc.		21,124		794,262
Banks - 6.7%
1st Source Corp.		11,573		585,825
Ameris Bancorp		7,397		391,301
BancFirst Corp.		3,995		212,135
BancorpSouth Bank		11,896		378,293
Berkshire Hills Bancorp, Inc.		9,190		348,761
Brookline Bancorp, Inc.		63,300		1,025,460
Cathay General Bancorp		61,195		2,446,576
CenterState Bank Corp.		7,390		196,057
City Holding Co.		4,496		308,246
Columbia Banking System, Inc.		11,281		473,238
Community Trust Bancorp, Inc.		5,693		257,324
Customers Bancorp, Inc. *		25,088		731,315
Eagle Bancorp, Inc. *		23,923		1,431,792
Enterprise Financial Services Corp.		23,785		1,115,517
FCB Financial Holdings, Inc., Class A *		5,256		268,582
Fidelity Southern Corp.		34,506		796,053
First Busey Corp.		8,773		260,734
First Citizens BancShares, Inc., Class A		7,518		3,106,738
First Financial Bancorp		30,642		899,343
First Financial Corp.		4,248		176,717

INVESTMENTS	SHARES		VALUE
Banks - 6.7% (continued)
First Interstate BancSystem, Inc., Class A		50,937	$	2,014,558
First Merchants Corp.		53,707		2,239,582
Flushing Financial Corp.		14,191		382,589
Fulton Financial Corp.		119,260		2,116,865
Glacier Bancorp, Inc.		5,511		211,512
Great Southern Bancorp, Inc.		13,038		651,248
Great Western Bancorp, Inc.		95,512		3,846,268
Hancock Holding Co.		42,243		2,183,963
Hanmi Financial Corp.		8,975		275,981
Heartland Financial USA, Inc.		21,321		1,131,079
Heritage Financial Corp.		7,292		223,135
Hilltop Holdings, Inc.		14,902		349,601
Hope Bancorp, Inc.		12,023		218,698
Independent Bank Corp./MA		7,779		556,587
International Bancshares Corp.		51,702		2,011,208
LegacyTexas Financial Group, Inc.		11,526		493,543
MB Financial, Inc.		28,531		1,154,935
Midland States Bancorp, Inc.		7,041		222,214
NBT Bancorp, Inc.		27,750		984,570
Old National Bancorp		17,158		289,970
Preferred Bank		3,693		237,091
Renasant Corp.		12,299		523,445
S&T Bancorp, Inc.		6,068		242,356
Sandy Spring Bancorp, Inc.		7,575		293,607
ServisFirst Bancshares, Inc.		56,399		2,302,207
Simmons First National Corp., Class A		16,606		472,441
Stock Yards Bancorp, Inc.		6,968		244,577
Tompkins Financial Corp.		2,852		216,068
TriCo Bancshares		6,437		239,585
Trustmark Corp.		25,273		787,507
UMB Financial Corp.		2,724		197,190
Umpqua Holdings Corp.		10,091		216,048
Union Bankshares Corp.		7,445		273,306
WesBanco, Inc.		10,918		461,831
Wintrust Financial Corp.		33,616		2,892,657
				46,568,029
Beverages - 2.0%
Boston Beer Co., Inc. (The), Class A *		22,400		4,234,720
Coca-Cola Bottling Co. Consolidated		10,103		1,744,485
MGP Ingredients, Inc.		29,419		2,635,648
National Beverage Corp. (a)		58,933		5,246,216
				13,861,069
Biotechnology - 5.9%
Acorda Therapeutics, Inc. *		37,309		882,358
Amicus Therapeutics, Inc. *		61,340		922,554
AnaptysBio, Inc. *		6,001		624,584
Array BioPharma, Inc. *		62,800		1,024,896
Avexis, Inc. *		5,891		728,010
BioSpecifics Technologies Corp. *		17,088		757,682
Bluebird Bio, Inc. *		13,839		2,363,009
Blueprint Medicines Corp. *		7,284		667,943
Calithera Biosciences, Inc. *		166,211		1,047,129
Clovis Oncology, Inc. *		15,212		803,193
Conatus Pharmaceuticals, Inc. *		129,965		762,894
Concert Pharmaceuticals, Inc. *		25,586		585,919
Eagle Pharmaceuticals, Inc. *(a)		36,914		1,944,999
Emergent BioSolutions, Inc. *		94,830		4,992,799

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

AQR Funds Semi-Annual Report March 2018

7

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Biotechnology - 5.9% (continued)
Enanta Pharmaceuticals, Inc. *		11,296	$	913,959
Esperion Therapeutics, Inc. *		5,490		397,092
Exact Sciences Corp. *		60,179		2,427,019
FibroGen, Inc. *		9,259		427,766
Foundation Medicine, Inc. *		4,673		367,999
Global Blood Therapeutics, Inc. *		3,591		173,445
Halozyme Therapeutics, Inc. *		44,786		877,358
Insmed, Inc. *		27,807		626,214
Ligand Pharmaceuticals, Inc. *		2,324		383,832
Loxo Oncology, Inc. *		2,252		259,813
Myriad Genetics, Inc. *		88,029		2,601,257
PDL BioPharma, Inc. *		849,902		2,498,712
Portola Pharmaceuticals, Inc. *		18,850		615,641
Prothena Corp. plc (Ireland) *		14,289		524,549
Puma Biotechnology, Inc. *		10,780		733,579
Repligen Corp. *		79,419		2,873,379
Sage Therapeutics, Inc. *		16,438		2,647,669
Sarepta Therapeutics, Inc. *		23,120		1,712,961
Spectrum Pharmaceuticals, Inc. *		83,548		1,344,287
Versartis, Inc. *		135,392		223,397
Xencor, Inc. *		6,917		207,372
				40,945,269
Building Products - 1.6%
American Woodmark Corp. *		12,388		1,219,599
Apogee Enterprises, Inc.		48,814		2,116,087
Builders FirstSource, Inc. *		100,638		1,996,658
Continental Building Products, Inc. *		10,526		300,517
Insteel Industries, Inc.		10,613		293,237
JELD-WEN Holding, Inc. *		21,871		669,690
Patrick Industries, Inc. *		25,841		1,598,266
Ply Gem Holdings, Inc. *		14,505		313,308
Universal Forest Products, Inc.		80,385		2,608,493
				11,115,855
Capital Markets - 1.2%
Cohen & Steers, Inc.		29,131		1,184,466
Evercore, Inc., Class A		15,112		1,317,766
INTL. FCStone, Inc. *		10,795		460,731
Stifel Financial Corp.		39,372		2,332,004
Waddell & Reed Financial, Inc., Class A (a)		162,250		3,279,073
				8,574,040
Chemicals - 2.1%
AdvanSix, Inc. *		44,194		1,537,067
American Vanguard Corp.		14,006		282,921
FutureFuel Corp.		40,167		481,602
Ingevity Corp. *		16,064		1,183,756
Innospec, Inc.		12,681		869,917
Kronos Worldwide, Inc.		114,558		2,589,011
Rayonier Advanced Materials, Inc.		11,265		241,860
Stepan Co.		29,730		2,472,942
Trinseo SA		63,364		4,692,104
Tronox Ltd., Class A		30,171		556,353
				14,907,533
Commercial Services & Supplies - 1.7%
ACCO Brands Corp.		125,497		1,574,987
Brink’s Co. (The)		16,181		1,154,514

INVESTMENTS	SHARES		VALUE
Commercial Services & Supplies - 1.7% (continued)
Deluxe Corp.		27,178	$	2,011,444
Ennis, Inc.		80,841		1,592,568
Herman Miller, Inc.		34,495		1,102,115
HNI Corp.		12,357		445,964
Hudson Technologies, Inc. *(a)		143,786		710,303
Interface, Inc.		32,433		817,312
Kimball International, Inc., Class B		34,022		579,735
Quad/Graphics, Inc.		16,031		406,386
Steelcase, Inc., Class A		43,352		589,587
UniFirst Corp.		2,122		343,021
Viad Corp.		6,389		335,103
				11,663,039
Communications Equipment - 0.4%
Applied Optoelectronics, Inc. *(a)		78,338		1,963,150
Oclaro, Inc. *(a)		65,989		630,855
Ubiquiti Networks, Inc. *(a)		4,727		325,218
				2,919,223
Construction & Engineering - 1.4%
Argan, Inc.		46,579		2,000,568
Comfort Systems USA, Inc.		13,206		544,747
Dycom Industries, Inc. *		13,922		1,498,425
EMCOR Group, Inc.		60,662		4,727,390
MasTec, Inc. *		5,660		266,303
MYR Group, Inc. *		8,879		273,651
Primoris Services Corp.		9,613		240,133
				9,551,217
Construction Materials - 0.2%
Summit Materials, Inc., Class A *		30,932		936,621
US Concrete, Inc. *(a)		5,720		345,488
				1,282,109
Consumer Finance - 1.3%
EZCORP, Inc., Class A *		15,530		204,996
FirstCash, Inc.		16,723		1,358,744
Green Dot Corp., Class A *		52,472		3,366,604
LendingClub Corp. *		99,578		348,523
Nelnet, Inc., Class A		34,228		1,793,889
PRA Group, Inc. *(a)		6,059		230,242
Regional Management Corp. *		14,092		448,689
World Acceptance Corp. *		15,565		1,638,995
				9,390,682
Distributors - 0.1%
Core-Mark Holding Co., Inc.		17,918		380,937
Diversified Consumer Services - 2.5%
Adtalem Global Education, Inc. *		123,381		5,866,767
American Public Education, Inc. *		51,568		2,217,424
Capella Education Co.		7,114		621,408
Career Education Corp. *		27,559		362,125
Grand Canyon Education, Inc. *		50,895		5,339,903
K12, Inc. *		29,083		412,397
Weight Watchers International, Inc. *		40,714		2,594,296
				17,414,320
Diversified Telecommunication Services - 0.1%
IDT Corp., Class B *		19,870		124,585

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

AQR Funds Semi-Annual Report March 2018

8

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Diversified Telecommunication Services - 0.1% (continued)
Vonage Holdings Corp. *		26,071	$	277,656
				402,241
Electric Utilities - 0.2%
Spark Energy, Inc., Class A (a)		112,691		1,335,388
Electrical Equipment - 0.3%
Encore Wire Corp.		5,209		295,350
Sunrun, Inc. *(a)		170,559		1,523,092
				1,818,442
Electronic Equipment, Instruments & Components - 2.3%
AVX Corp.		32,451		537,064
Benchmark Electronics, Inc.		28,300		844,755
Control4 Corp. *		21,404		459,758
CTS Corp.		9,383		255,217
Electro Scientific Industries, Inc. *		53,623		1,036,532
ePlus, Inc. *		21,751		1,690,053
Insight Enterprises, Inc. *		11,885		415,143
KEMET Corp. *		78,372		1,420,884
Kimball Electronics, Inc. *		12,701		205,121
Methode Electronics, Inc.		56,927		2,225,846
PCM, Inc. *		30,311		251,581
Plexus Corp. *		13,071		780,731
Rogers Corp. *		10,053		1,201,736
Sanmina Corp. *		37,828		989,202
Tech Data Corp. *		14,708		1,252,092
TTM Technologies, Inc. *		100,254		1,532,884
Vishay Intertechnology, Inc.		46,171		858,781
				15,957,380
Energy Equipment & Services - 0.5%
Exterran Corp. *		10,619		283,527
Fairmount Santrol Holdings, Inc. *(a)		178,187		757,295
Matrix Service Co. *		22,679		310,702
McDermott International, Inc. *		139,273		848,173
Newpark Resources, Inc. *		31,134		252,185
Smart Sand, Inc. *(a)		26,449		153,933
US Silica Holdings, Inc. (a)		43,088		1,099,606
				3,705,421
Equity Real Estate Investment Trusts (REITs) - 5.5%
Acadia Realty Trust		22,872		562,651
Agree Realty Corp.		28,285		1,358,811
Alexander & Baldwin, Inc.		24,690		571,080
American Assets Trust, Inc.		13,359		446,324
CareTrust REIT, Inc.		20,459		274,151
Chesapeake Lodging Trust		23,409		651,004
Cousins Properties, Inc.		152,602		1,324,585
DiamondRock Hospitality Co.		98,561		1,028,977
EastGroup Properties, Inc.		8,424		696,328
Education Realty Trust, Inc.		29,191		956,005
First Industrial Realty Trust, Inc.		50,404		1,473,309
Four Corners Property Trust, Inc.		50,568		1,167,615
Franklin Street Properties Corp.		32,560		273,830
GEO Group, Inc. (The)		52,351		1,071,625
Global Net Lease, Inc.		21,603		364,659
Government Properties Income Trust		27,835		380,226
Gramercy Property Trust		53,933		1,171,964
Healthcare Realty Trust, Inc.		49,334		1,367,045

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 5.5% (continued)
Kite Realty Group Trust		29,359	$	447,138
LaSalle Hotel Properties		47,297		1,372,086
Lexington Realty Trust		86,129		677,835
LTC Properties, Inc.		15,264		580,032
Mack-Cali Realty Corp.		57,265		956,898
Monmouth Real Estate Investment Corp.		74,001		1,112,975
National Health Investors, Inc.		12,852		864,811
Pebblebrook Hotel Trust		32,404		1,113,077
Physicians Realty Trust		48,583		756,437
PotlatchDeltic Corp.		15,775		821,089
PS Business Parks, Inc.		4,743		536,149
QTS Realty Trust, Inc., Class A		20,958		759,099
Quality Care Properties, Inc. *		30,174		586,281
Ramco-Gershenson Properties Trust		3,016		37,278
Retail Opportunity Investments Corp.		31,613		558,602
Rexford Industrial Realty, Inc.		45,584		1,312,363
RLJ Lodging Trust		56,430		1,096,999
Ryman Hospitality Properties, Inc.		19,404		1,502,840
Sabra Health Care REIT, Inc.		71,436		1,260,845
Select Income REIT		28,994		564,803
STAG Industrial, Inc.		23,309		557,551
Summit Hotel Properties, Inc.		66,119		899,880
Sunstone Hotel Investors, Inc.		92,362		1,405,750
Terreno Realty Corp.		31,022		1,070,569
Universal Health Realty Income Trust		1,716		103,132
Urban Edge Properties		37,635		803,507
Washington Prime Group, Inc. (a)		62,209		414,934
Washington REIT		15,381		419,901
Xenia Hotels & Resorts, Inc.		39,930		787,420
				38,520,470
Food & Staples Retailing - 0.3%
Ingles Markets, Inc., Class A		39,485		1,336,567
Weis Markets, Inc.		13,683		560,730
				1,897,297
Food Products - 0.9%
John B Sanfilippo & Son, Inc.		25,234		1,460,292
Sanderson Farms, Inc.		43,548		5,183,083
				6,643,375
Gas Utilities - 0.4%
ONE Gas, Inc.		6,300		415,926
Southwest Gas Holdings, Inc. *		8,978		607,182
WGL Holdings, Inc.		19,538		1,634,354
				2,657,462
Health Care Equipment & Supplies - 2.4%
Anika Therapeutics, Inc. *		21,389		1,063,461
Globus Medical, Inc., Class A *		114,056		5,682,270
Haemonetics Corp. *		15,259		1,116,348
Inogen, Inc. *		6,997		859,512
iRadimed Corp. *(a)		17,186		242,323
Lantheus Holdings, Inc. *		126,920		2,018,028
LeMaitre Vascular, Inc.		8,505		308,136
Masimo Corp. *		32,671		2,873,414
Merit Medical Systems, Inc. *		24,507		1,111,392
NuVasive, Inc. *		4,189		218,708
NxStage Medical, Inc. *		25,100		623,986

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

AQR Funds Semi-Annual Report March 2018

9

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Health Care Equipment & Supplies - 2.4% (continued)
Pulse Biosciences, Inc. *(a)		28,874	$	390,665
				16,508,243
Health Care Providers & Services - 2.4%
Amedisys, Inc. *		13,024		785,868
AMN Healthcare Services, Inc. *		82,987		4,709,512
Chemed Corp.		12,285		3,352,085
Cross Country Healthcare, Inc. *		19,538		217,067
Diplomat Pharmacy, Inc. *(a)		69,101		1,392,385
Magellan Health, Inc. *		2,070		221,697
Molina Healthcare, Inc. *		30,657		2,488,735
Select Medical Holdings Corp. *		11,331		195,460
Tivity Health, Inc. *		45,553		1,806,177
Triple-S Management Corp., Class B *		51,696		1,351,334
				16,520,320
Hotels, Restaurants & Leisure - 2.0%
Bloomin’ Brands, Inc.		45,367		1,101,511
Brinker International, Inc. (a)		29,340		1,059,174
Carrols Restaurant Group, Inc. *		20,133		225,490
Cheesecake Factory, Inc. (The) (a)		20,948		1,010,113
Dave & Buster’s Entertainment, Inc. *		54,484		2,274,162
Denny’s Corp. *		18,705		288,618
Marcus Corp. (The)		8,173		248,050
Marriott Vacations Worldwide Corp.		21,967		2,926,004
Penn National Gaming, Inc. *		78,191		2,053,296
Red Robin Gourmet Burgers, Inc. *		19,953		1,157,274
Ruth’s Hospitality Group, Inc.		50,342		1,230,862
Sonic Corp. (a)		14,911		376,204
				13,950,758
Household Durables - 2.1%
Bassett Furniture Industries, Inc.		9,753		296,004
Beazer Homes USA, Inc. *		30,372		484,433
Flexsteel Industries, Inc.		14,703		581,945
Hooker Furniture Corp.		43,853		1,609,405
iRobot Corp. *(a)		7,575		486,239
KB Home		81,663		2,323,312
La-Z-Boy, Inc.		93,188		2,790,981
LGI Homes, Inc. *(a)		5,417		382,278
Libbey, Inc.		35,298		172,607
MDC Holdings, Inc.		68,521		1,913,106
Meritage Homes Corp. *		18,809		851,107
Taylor Morrison Home Corp., Class A *		39,569		921,166
TopBuild Corp. *		16,897		1,292,959
TRI Pointe Group, Inc. *		21,244		349,039
ZAGG, Inc. *		42,536		518,939
				14,973,520
Insurance - 5.3%
American Equity Investment Life Holding Co.		109,123		3,203,851
CNO Financial Group, Inc.		142,960		3,097,943
Employers Holdings, Inc.		86,393		3,494,597
FBL Financial Group, Inc., Class A		7,913		548,767
Genworth Financial, Inc., Class A *		280,193		792,946
Heritage Insurance Holdings, Inc. (a)		50,332		763,033
Horace Mann Educators Corp.		26,522		1,133,815
Kemper Corp.		3,520		200,640
National General Holdings Corp.		11,538		280,489

INVESTMENTS	SHARES		VALUE
Insurance - 5.3% (continued)
National Western Life Group, Inc., Class A		6,687	$	2,038,733
Navigators Group, Inc. (The)		7,063		407,182
Primerica, Inc.		75,542		7,297,357
Selective Insurance Group, Inc.		73,984		4,490,829
Third Point Reinsurance Ltd. *		135,095		1,884,575
Trupanion, Inc. *		26,028		777,977
United Fire Group, Inc.		6,018		288,021
Universal Insurance Holdings, Inc.		198,092		6,319,135
				37,019,890
Internet & Direct Marketing Retail - 1.1%
1-800-Flowers.com, Inc., Class A *		92,467		1,091,111
Groupon, Inc. *		595,891		2,586,167
Nutrisystem, Inc.		79,451		2,141,204
PetMed Express, Inc. (a)		41,687		1,740,432
Shutterfly, Inc. *		5,680		461,500
				8,020,414
Internet Software & Services - 3.1%
Alarm.com Holdings, Inc. *(a)		23,068		870,586
Appfolio, Inc., Class A *		5,612		229,250
Blucora, Inc. *		21,406		526,587
Brightcove, Inc. *		33,139		230,316
Care.com, Inc. *		18,767		305,339
Cars.com, Inc. *		23,731		672,299
Etsy, Inc. *		58,979		1,654,951
GrubHub, Inc. *		51,863		5,262,539
j2 Global, Inc.		33,923		2,677,203
Meet Group, Inc. (The) *		300,817		628,707
NIC, Inc.		44,632		593,606
Shutterstock, Inc. *		21,184		1,020,010
Stamps.com, Inc. *		21,410		4,304,480
Trade Desk, Inc. (The), Class A *		4,123		204,583
TrueCar, Inc. *(a)		35,484		335,679
Web.com Group, Inc. *		12,396		224,368
Yelp, Inc. *		38,189		1,594,391
				21,334,894
IT Services - 1.5%
CACI International, Inc., Class A *		5,392		816,079
Convergys Corp.		97,362		2,202,328
CSG Systems International, Inc.		9,537		431,931
Hackett Group, Inc. (The)		49,331		792,256
MAXIMUS, Inc.		22,401		1,495,043
Perficient, Inc. *		12,894		295,530
Sykes Enterprises, Inc. *		72,637		2,102,115
Syntel, Inc. *		62,715		1,601,114
Travelport Worldwide Ltd.		29,265		478,190
TTEC Holdings, Inc.		20,618		632,973
				10,847,559
Leisure Products - 0.3%
Nautilus, Inc. *		94,993		1,277,656
Sturm Ruger & Co., Inc. (a)		15,032		789,180
				2,066,836
Life Sciences Tools & Services - 0.1%
Cambrex Corp. *		14,421		754,218

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

AQR Funds Semi-Annual Report March 2018

10

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Machinery - 3.2%
Alamo Group, Inc.		27,873	$	3,063,243
American Railcar Industries, Inc. (a)		6,872		257,081
Astec Industries, Inc.		24,413		1,347,109
Barnes Group, Inc.		43,723		2,618,570
Columbus McKinnon Corp.		25,737		922,414
Douglas Dynamics, Inc.		7,816		338,824
EnPro Industries, Inc.		4,355		336,990
Global Brass & Copper Holdings, Inc.		22,254		744,396
Greenbrier Cos., Inc. (The) (a)		66,794		3,356,398
Harsco Corp. *		11,927		246,293
Hyster-Yale Materials Handling, Inc.		6,572		459,580
Kadant, Inc.		8,445		798,052
Kennametal, Inc.		5,047		202,688
Lydall, Inc. *		12,443		600,375
Meritor, Inc. *		254,707		5,236,776
Proto Labs, Inc. *		2,386		280,474
Standex International Corp.		2,962		282,427
Wabash National Corp.		65,639		1,365,948
				22,457,638
Media - 1.3%
Entravision Communications Corp., Class A		286,757		1,347,758
Gannett Co., Inc.		154,683		1,543,736
GCI Liberty, Inc., Class A *		8,592		454,173
Gray Television, Inc. *		193,295		2,454,846
MSG Networks, Inc., Class A *		83,625		1,889,925
New York Times Co. (The), Class A		27,456		661,690
Scholastic Corp.		16,215		629,791
				8,981,919
Metals & Mining - 0.2%
Cleveland-Cliffs, Inc. *		185,780		1,291,171
Ryerson Holding Corp. *		26,758		218,078
				1,509,249
Mortgage Real Estate Investment Trusts (REITs) - 0.9%
Apollo Commercial Real Estate Finance, Inc.		65,268		1,173,519
Capstead Mortgage Corp.		65,148		563,530
CYS Investments, Inc.		166,414		1,118,302
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a)		21,023		409,948
Invesco Mortgage Capital, Inc.		94,224		1,543,389
PennyMac Mortgage Investment Trust		9,820		177,055
Redwood Trust, Inc.		79,131		1,224,157
				6,209,900
Multiline Retail - 0.1%
Big Lots, Inc. (a)		12,960		564,149
Dillard’s, Inc., Class A (a)		4,562		366,511
				930,660
Multi-Utilities - 0.4%
Avista Corp.		25,054		1,284,017
Black Hills Corp. (a)		15,062		817,867
NorthWestern Corp.		18,706		1,006,383
				3,108,267

INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 0.9%
Arch Coal, Inc., Class A		38,311	$	3,520,015
Jones Energy, Inc., Class A *(a)		18,254		14,603
Peabody Energy Corp.		29,511		1,077,151
Renewable Energy Group, Inc. *		26,864		343,859
REX American Resources Corp. *		9,642		701,938
SandRidge Energy, Inc. *		47,707		692,229
				6,349,795
Paper & Forest Products - 1.3%
Boise Cascade Co.		59,955		2,314,263
KapStone Paper and Packaging Corp.		28,396		974,267
Louisiana-Pacific Corp.		174,627		5,024,019
PH Glatfelter Co.		12,263		251,759
Verso Corp., Class A *		44,488		749,178
				9,313,486
Personal Products - 0.8%
Natural Health Trends Corp. (a)		50,959		968,731
USANA Health Sciences, Inc. *		53,849		4,625,629
				5,594,360
Pharmaceuticals - 3.0%
Amphastar Pharmaceuticals, Inc. *		12,006		225,113
ANI Pharmaceuticals, Inc. *		6,188		360,265
Catalent, Inc. *		63,899		2,623,693
Corcept Therapeutics, Inc. *(a)		129,962		2,137,875
Horizon Pharma plc *		28,174		400,071
Innoviva, Inc. *(a)		89,405		1,490,381
Lannett Co., Inc. *(a)		91,965		1,476,038
MyoKardia, Inc. *		10,937		533,726
Nektar Therapeutics *		62,847		6,678,122
Omeros Corp. *(a)		30,308		338,540
Pacira Pharmaceuticals, Inc. *		26,625		829,369
Phibro Animal Health Corp., Class A		30,159		1,197,312
Supernus Pharmaceuticals, Inc. *		53,583		2,454,102
				20,744,607
Professional Services - 1.9%
Barrett Business Services, Inc.		24,477		2,028,654
CBIZ, Inc. *		17,515		319,649
ICF International, Inc.		15,268		892,415
Insperity, Inc.		64,952		4,517,412
Kelly Services, Inc., Class A		42,296		1,228,276
Korn/Ferry International		20,617		1,063,631
Mistras Group, Inc. *		12,818		242,773
On Assignment, Inc. *		14,529		1,189,634
RPX Corp.		34,051		364,005
TrueBlue, Inc. *		45,588		1,180,729
Willdan Group, Inc. *		11,427		323,955
				13,351,133
Real Estate Management & Development - 0.2%
HFF, Inc., Class A		34,449		1,712,115
Rafael Holdings, Inc., Class B *		9,935		48,185
				1,760,300
Road & Rail - 1.2%
ArcBest Corp.		13,269		425,271
Avis Budget Group, Inc. *(a)		44,909		2,103,538
Knight-Swift Transportation Holdings, Inc.		27,645		1,271,946

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

AQR Funds Semi-Annual Report March 2018

11

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Road & Rail - 1.2% (continued)
Roadrunner Transportation Systems, Inc. *		10,469	$	26,591
Saia, Inc. *		47,101		3,539,640
Werner Enterprises, Inc.		27,287		995,976
				8,362,962
Semiconductors & Semiconductor Equipment - 4.1%
Advanced Energy Industries, Inc. *		44,599		2,849,876
Alpha & Omega Semiconductor Ltd. *		22,761		351,657
Amkor Technology, Inc. *		315,633		3,197,362
AXT, Inc. *		29,038		210,526
Brooks Automation, Inc.		55,961		1,515,424
Cabot Microelectronics Corp.		25,864		2,770,293
Cirrus Logic, Inc. *		91,351		3,711,591
Entegris, Inc.		111,390		3,876,372
Ichor Holdings Ltd. *(a)		34,630		838,392
Integrated Device Technology, Inc. *		19,306		589,991
MKS Instruments, Inc.		29,473		3,408,553
Photronics, Inc. *		31,335		258,514
Rudolph Technologies, Inc. *		41,153		1,139,938
Silicon Laboratories, Inc. *		6,022		541,378
SunPower Corp. *(a)		48,715		388,746
Synaptics, Inc. *		33,380		1,526,467
Ultra Clean Holdings, Inc. *		83,823		1,613,593
				28,788,673
Software - 3.6%
ACI Worldwide, Inc. *		21,507		510,146
Aspen Technology, Inc. *		19,822		1,563,758
Blackbaud, Inc.		22,624		2,303,349
Callidus Software, Inc. *		22,235		799,348
Ebix, Inc. (a)		40,451		3,013,599
Ellie Mae, Inc. *		7,602		698,928
Fair Isaac Corp. *		19,522		3,306,441
Imperva, Inc. *		9,613		416,243
Mitek Systems, Inc. *		76,542		566,411
Paycom Software, Inc. *(a)		22,146		2,378,259
Pegasystems, Inc.		47,498		2,880,754
Progress Software Corp.		33,203		1,276,655
Qualys, Inc. *		31,399		2,284,277
RingCentral, Inc., Class A *		24,101		1,530,413
Synchronoss Technologies, Inc. *		41,190		434,555
Verint Systems, Inc. *		26,061		1,110,199
Zix Corp. *		86,552		369,577
				25,442,912
Specialty Retail - 2.8%
Aaron’s, Inc.		5,129		239,011
American Eagle Outfitters, Inc.		11,814		235,453
Asbury Automotive Group, Inc. *		9,714		655,695
Buckle, Inc. (The) (a)		59,473		1,317,327
Caleres, Inc.		39,738		1,335,197
Chico’s FAS, Inc.		118,951		1,075,317
Children’s Place, Inc. (The)		29,541		3,995,420
Citi Trends, Inc.		14,670		453,450
DSW, Inc., Class A		34,234		768,896
Finish Line, Inc. (The), Class A (a)		152,260		2,061,600
Five Below, Inc. *		13,527		992,070
Francesca’s Holdings Corp. *		93,919		450,811
Genesco, Inc. *		10,233		415,460
Group 1 Automotive, Inc.		13,337		871,440

INVESTMENTS	SHARES		VALUE
Specialty Retail - 2.8% (continued)
Haverty Furniture Cos., Inc.		16,489	$	332,253
Hibbett Sports, Inc. *(a)		21,606		517,464
Kirkland’s, Inc. *		30,853		298,966
Lithia Motors, Inc., Class A		2,878		289,297
Office Depot, Inc.		411,727		885,213
Restoration Hardware Holdings, Inc. *(a)		3,916		373,116
Sleep Number Corp. *		29,381		1,032,742
Tilly’s, Inc., Class A		22,003		248,634
Zumiez, Inc. *		16,509		394,565
				19,239,397
Textiles, Apparel & Luxury Goods - 1.5%
Columbia Sportswear Co.		7,335		560,614
Deckers Outdoor Corp. *		51,387		4,626,372
Movado Group, Inc.		62,270		2,391,168
Oxford Industries, Inc.		11,326		844,466
Perry Ellis International, Inc. *		11,937		307,975
Steven Madden Ltd.		14,893		653,803
Vera Bradley, Inc. *		68,307		724,737
Wolverine World Wide, Inc.		11,387		329,084
				10,438,219
Thrifts & Mortgage Finance - 4.3%
BofI Holding, Inc. *(a)		143,626		5,821,162
Dime Community Bancshares, Inc.		26,665		490,636
Federal Agricultural Mortgage Corp., Class C		8,829		768,300
First Defiance Financial Corp.		15,248		874,015
Flagstar Bancorp, Inc. *		24,953		883,336
HomeStreet, Inc. *		7,058		202,212
Meta Financial Group, Inc.		14,143		1,544,416
MGIC Investment Corp. *		382,896		4,977,648
Oritani Financial Corp.		21,901		336,180
Provident Financial Services, Inc.		13,221		338,325
Radian Group, Inc.		214,843		4,090,611
United Financial Bancorp, Inc.		16,318		264,352
Walker & Dunlop, Inc.		116,194		6,904,247
Washington Federal, Inc.		47,910		1,657,686
WSFS Financial Corp.		14,776		707,770
				29,860,896
Tobacco - 0.2%
Universal Corp.		14,685		712,222
Vector Group Ltd. (a)		37,104		756,551
				1,468,773
Trading Companies & Distributors - 2.3%
Beacon Roofing Supply, Inc. *		30,936		1,641,773
BMC Stock Holdings, Inc. *		40,693		795,548
CAI International, Inc. *		82,649		1,757,118
DXP Enterprises, Inc. *		26,348		1,026,255
GATX Corp. (a)		43,055		2,948,837
GMS, Inc. *		44,248		1,352,219
H&E Equipment Services, Inc.		32,267		1,241,957
Rush Enterprises, Inc., Class A *		29,321		1,245,849
Textainer Group Holdings Ltd. *		22,189		376,104
Titan Machinery, Inc. *		10,630		250,443
Triton International Ltd.		111,902		3,424,201
				16,060,304

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

AQR Funds Semi-Annual Report March 2018

12

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Water Utilities - 0.1%
American States Water Co.		5,732	$	304,140
SJW Group		7,605		400,859
				704,999
Wireless Telecommunication Services - 0.2%
Shenandoah Telecommunications Co.		31,025		1,116,900
TOTAL COMMON STOCKS (Cost $558,993,138)				678,746,426
PREFERRED STOCKS - 0.0% (b)
Media - 0.0% (b)
GCI Liberty, Inc., Series A, 5.00%, 3/10/2039 *(c) (Cost $24,899)		2,727		63,675
	NO. OF RIGHTS
RIGHTS - 0.0% (b)
Media - 0.0% (b)
Media General, Inc., CVR (3)*(d) (Cost $10,984)		36,985		627
	SHARES
SHORT-TERM INVESTMENTS - 2.7%
Investment Companies - 2.7%
Limited Purpose Cash Investment Fund, 1.53% (2)(e)
(Cost $18,827,502)		18,831,302		18,827,536
SECURITIES LENDING COLLATERAL - 5.6%
Investment Companies - 5.6%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(e)(f)		4,642,757		4,642,757
Limited Purpose Cash Investment Fund 1.53% (2)(e)(f)		34,700,781		34,700,781
TOTAL SECURITIES LENDING COLLATERAL (Cost $39,343,538)				39,343,538
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 105.5% (Cost $617,200,061)				736,981,802
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.5)% (g)			(38,291,419)
NET ASSETS - 100.0%			$	698,690,383

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	114,159,687			16.4	%
Consumer Staples		29,464,873			4.2
Energy		10,055,216			1.4
Financials		137,623,436			19.7
Health Care		95,472,658			13.7
Industrials		110,125,813			15.8
Information Technology		105,290,642			15.1
Materials		27,012,376			3.9
Real Estate		40,280,770			5.7
Telecommunication Services		1,519,141			0.2
Utilities		7,806,116			1.1
Short-Term Investments		18,827,536			2.7
Securities Lending Collateral		39,343,538			5.6
Total Investments In Securities At Value		736,981,802			105.5
Liabilities in Excess of Other Assets (g)		(38,291,419	)		(5.5	)
Net Assets	$	698,690,383			100.0	%

All securities are United States companies, unless noted otherwise inparentheses.

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $38,498,009.

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

(c) Perpetual security. The rate reflected was the rate in effect on March 31, 2018. The maturity date reflects the next call date.

(d) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at March 31, 2018 amounted to $627, which represents approximately 0.00% of net assets of the fund.

(e) Represents 7-day effective yield as of March 31, 2018.

(f) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

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

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

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

Abbreviations

CVR - Contingent Value Rights

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

AQR Funds Semi-Annual Report March 2018

13

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MULTI-STYLE FUND

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Russell 2000 E-Mini Index		175	6/2018	USD		$13,398,000		$(572,634	)
								$(572,634	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$1,306,242		$1,306,242

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

AQR Funds Semi-Annual Report March 2018

14

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.2%
Australia - 5.6%
Amcor Ltd.		29,675	$	324,951
Aristocrat Leisure Ltd.		121,260		2,263,989
BHP Billiton Ltd.		77,989		1,728,666
BHP Billiton plc		88,409		1,747,246
BlueScope Steel Ltd.		178,479		2,099,837
Caltex Australia Ltd.		23,233		564,355
CIMIC Group Ltd.		44,806		1,542,114
Coca-Cola Amatil Ltd.		74,588		499,466
CSL Ltd.		11,411		1,374,782
Dexus, REIT		104,929		755,567
Flight Centre Travel Group Ltd.		38,225		1,682,730
Fortescue Metals Group Ltd.		1,684,883		5,675,824
Goodman Group, REIT		41,832		271,997
GPT Group (The), REIT		196,673		720,809
Scentre Group, REIT		235,569		695,141
South32 Ltd.		1,742,401		4,378,961
TPG Telecom Ltd.		48,399		205,636
				26,532,071
Belgium - 1.4%
Ageas		54,361		2,805,275
KBC Group NV		34,174		2,975,836
Solvay SA		1,899		263,922
UCB SA		2,241		182,503
Umicore SA		6,690		354,404
				6,581,940
Canada - 7.1%
Bank of Montreal (1)		18,067		1,364,754
Bank of Nova Scotia (The) (1)		39,774		2,450,005
BlackBerry Ltd. (1)*		98,639		1,133,887
Canadian Imperial Bank of Commerce (1)		15,845		1,398,606
Canadian Tire Corp. Ltd., Class A (1)		8,065		1,060,435
CCL Industries, Inc., Class B (1)		7,415		374,333
CGI Group, Inc., Class A (1)*		26,938		1,553,532
Constellation Software, Inc. (1)		1,391		943,798
Dollarama, Inc. (1)		4,918		597,711
Franco-Nevada Corp. (1)		1,922		131,132
Great-West Lifeco, Inc. (1)		3,723		95,015
Intact Financial Corp. (1)		3,615		271,641
Kinross Gold Corp. (1)*		354,318		1,399,836
Linamar Corp. (1)		15,136		826,850
Magna International, Inc. (1)		46,040		2,593,334
Methanex Corp. (1)		13,361		809,428
Open Text Corp. (1)		32,175		1,119,326
Power Corp. of Canada (1)		5,259		120,010
Royal Bank of Canada (1)		57,836		4,467,604
Saputo, Inc. (1)		31,554		1,012,736
Shopify, Inc., Class A (1)*		13,815		1,719,114
Teck Resources Ltd., Class B (1)		77,668		2,000,252
Toronto-Dominion Bank (The) (1)		60,966		3,459,637
West Fraser Timber Co. Ltd. (1)		44,939		2,986,166
				33,889,142
China - 0.5%
Yangzijiang Shipbuilding Holdings Ltd.		2,531,800		2,358,076

INVESTMENTS	SHARES		VALUE
Denmark - 1.7%
Carlsberg A/S, Class B		12,213	$	1,458,167
Danske Bank A/S		44,978		1,685,249
Genmab A/S *		1,661		357,854
H Lundbeck A/S		22,121		1,242,458
Novo Nordisk A/S, Class B		49,818		2,450,341
Novozymes A/S, Class B		6,251		325,429
TDC A/S *		59,238		490,881
Vestas Wind Systems A/S		4,131		295,581
				8,305,960
Finland - 1.4%
Neste OYJ		63,468		4,417,692
Nokia OYJ		143,842		794,313
UPM-Kymmene OYJ *		37,761		1,399,945
				6,611,950
France - 9.0%
Aeroports de Paris		5,337		1,162,729
Arkema SA		1,725		225,197
Atos SE		22,412		3,070,652
AXA SA		43,757		1,163,193
BNP Paribas SA		63,329		4,696,523
Bouygues SA		21,661		1,086,044
Cie Generale des Etablissements Michelin SCA		12,628		1,869,484
CNP Assurances		72,823		1,838,360
Eutelsat Communications SA		64,313		1,274,713
Kering SA		3,262		1,564,511
L’Oreal SA		14,718		3,324,187
LVMH Moet Hennessy Louis Vuitton SE		2,824		870,281
Peugeot SA		152,549		3,673,286
Renault SA		11,836		1,436,273
Sanofi		56,499		4,533,485
Sodexo SA		5,553		558,899
Thales SA		23,392		2,849,694
TOTAL SA		132,950		7,620,652
				42,818,163
Germany - 8.8%
Allianz SE (Registered)		16,074		3,633,644
BASF SE		11,487		1,164,981
Bayer AG (Registered)		38,342		4,322,439
Bayerische Motoren Werke AG		4,134		449,654
Beiersdorf AG		5,694		645,287
Covestro AG (a)		57,346		5,646,697
Daimler AG (Registered) *		32,451		2,764,826
Deutsche Boerse AG		5,562		760,344
Deutsche Lufthansa AG (Registered)		202,312		6,467,415
Deutsche Post AG (Registered)		24,027		1,052,366
Fraport AG Frankfurt Airport Services Worldwide		1,391		137,281
Fresenius SE & Co. KGaA		9,490		725,651
Hannover Rueck SE		7,094		967,849
Henkel AG & Co. KGaA (Preference)		5,264		691,969
HOCHTIEF AG		1,352		252,728
HUGO BOSS AG		9,255		806,267
Infineon Technologies AG		98,548		2,650,274
Linde AG *		4,967		1,049,573

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

AQR Funds Semi-Annual Report March 2018

15

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Germany - 8.8% (continued)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		10,144	$	2,358,901
SAP SE		9,801		1,028,927
Schaeffler AG (Preference)		52,585		812,123
Siemens AG (Registered)		11,910		1,519,684
Volkswagen AG (Preference)		5,512		1,098,618
Vonovia SE		11,443		567,456
				41,574,954
Hong Kong - 3.5%
CK Asset Holdings Ltd.		139,500		1,177,251
CLP Holdings Ltd.		280,000		2,854,882
Galaxy Entertainment Group Ltd.		401,000		3,680,653
Henderson Land Development Co. Ltd.		91,000		596,694
Hong Kong Exchanges & Clearing Ltd.		28,400		935,412
Kerry Properties Ltd.		104,500		472,548
Li & Fung Ltd.		638,000		314,519
Link REIT		26,000		222,865
NWS Holdings Ltd.		72,000		131,145
PCCW Ltd.		269,000		156,119
SJM Holdings Ltd.		2,128,000		1,864,327
Sun Hung Kai Properties Ltd. (b)		40,000		634,919
WH Group Ltd. (a)		2,133,500		2,286,015
Wheelock & Co. Ltd.		24,000		176,041
Yue Yuen Industrial Holdings Ltd.		248,000		993,604
				16,496,994
Italy - 1.3%
Assicurazioni Generali SpA		81,436		1,565,382
Enel SpA		281,656		1,723,513
Intesa Sanpaolo SpA		521,285		1,898,001
Poste Italiane SpA (a)		101,208		924,470
				6,111,366
Japan - 21.6%
Acom Co. Ltd. (1)*		10,000		44,547
AEON Financial Service Co. Ltd. (1)		2,700		62,041
Aozora Bank Ltd. (1)		15,100		600,991
Asahi Glass Co. Ltd. (1)		10,800		447,103
Asahi Kasei Corp. (1)		229,800		3,021,382
Bandai Namco Holdings, Inc. (1)		26,900		883,563
Credit Saison Co. Ltd. (1)		16,800		275,829
Daiwa House Industry Co. Ltd. (1)		15,100		581,834
Denso Corp. (1)		4,000		218,787
Disco Corp. (1)		5,400		1,164,701
Fujitsu Ltd. (1)		360,000		2,215,385
Hitachi High-Technologies Corp. (1)		2,900		137,907
Hitachi Ltd. (1)		667,000		4,831,762
Hoya Corp. (1)		7,000		348,997
ITOCHU Corp. (1)		131,600		2,555,814
Japan Airlines Co. Ltd. (1)		61,100		2,458,815
Japan Tobacco, Inc. (1)		27,100		780,871
JTEKT Corp. (1)		9,900		146,632
Kajima Corp. (1)		129,000		1,196,589
Kamigumi Co. Ltd. (1)		10,000		223,298
Kansai Electric Power Co., Inc. (The) (1)		220,000		2,826,371
Kao Corp. (1)		38,900		2,917,728
KDDI Corp. (1)		175,600		4,483,036
Keyence Corp. (1)		500		310,324

INVESTMENTS	SHARES		VALUE
Japan - 21.6% (continued)
Kirin Holdings Co. Ltd. (1)		104,400	$	2,779,127
Konami Holdings Corp. (1)		39,200		2,059,377
Kuraray Co. Ltd. (1)		15,600		265,070
Kyocera Corp. (1)		10,300		581,187
Kyushu Railway Co. (1)		37,100		1,154,091
Marubeni Corp. (1)		595,200		4,306,607
Mazda Motor Corp. (1)		129,200		1,707,813
MINEBEA MITSUMI, Inc. (1)		7,500		160,143
Mitsubishi Estate Co. Ltd. (1)		31,000		523,974
Mitsubishi Gas Chemical Co., Inc. (1)		60,100		1,439,734
Mitsubishi Tanabe Pharma Corp. (1)		33,300		650,947
Mitsubishi UFJ Financial Group, Inc. (1)		340,300		2,229,116
Mitsui Fudosan Co. Ltd. (1)		24,000		582,266
Mixi, Inc. (1)		14,000		517,081
Mizuho Financial Group, Inc. (1)		877,000		1,577,537
Nexon Co. Ltd. (1)*		340,400		5,630,411
NH Foods Ltd. (1)		8,500		348,292
Nippon Electric Glass Co. Ltd. (1)		45,500		1,351,252
Nippon Express Co. Ltd. (1)		44,600		2,984,371
Nippon Telegraph & Telephone Corp. (1)		107,500		4,950,424
NOK Corp. (1)		32,500		631,032
Nomura Real Estate Holdings, Inc. (1)		8,000		188,863
NTT DOCOMO, Inc. (1)		35,400		903,755
Obayashi Corp. (1)		179,800		1,966,893
Oji Holdings Corp. (1)		220,000		1,414,219
Omron Corp. (1)		7,200		423,589
Otsuka Corp. (1)		3,600		181,345
Persol Holdings Co. Ltd. (1)		43,000		1,250,740
Resona Holdings, Inc. (1)		451,900		2,386,803
Rohm Co. Ltd. (1)		14,200		1,351,873
Sekisui House Ltd. (1)		26,900		490,952
Sony Corp. (1)		94,000		4,546,065
Sumitomo Heavy Industries Ltd. (1)		33,500		1,270,359
Sumitomo Mitsui Financial Group, Inc. (1)		62,000		2,597,585
Suzuki Motor Corp. (1)		42,500		2,288,661
Taisei Corp. (1)		42,500		2,156,854
Tokyo Electric Power Co. Holdings, Inc. (1)*		335,400		1,292,364
Tokyo Electron Ltd. (1)		30,800		5,793,543
Toshiba Corp. (1)*		183,000		529,712
Tosoh Corp. (1)		9,500		186,420
Toyo Seikan Group Holdings Ltd. (1)		4,200		62,444
Toyo Suisan Kaisha Ltd. (1)		9,300		360,533
Toyota Motor Corp. (1)		15,300		981,368
Yahoo Japan Corp. (1)		167,000		775,321
Yokogawa Electric Corp. (1)		11,600		239,620
				102,804,040
Macau - 0.2%
Sands China Ltd.		148,800		808,629
Netherlands - 4.5%
Aegon NV		237,466		1,602,140
Akzo Nobel NV		2,501		236,302
ASML Holding NV		3,497		693,433
ING Groep NV		96,440		1,627,445
Koninklijke Philips NV		54,202		2,075,504
NN Group NV		70,461		3,130,581
Randstad Holding NV		4,760		313,494
Royal Dutch Shell plc, Class A		111,022		3,512,572

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

AQR Funds Semi-Annual Report March 2018

16

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Netherlands - 4.5% (continued)
Royal Dutch Shell plc, Class B		97,616	$	3,141,130
Wolters Kluwer NV		94,380		5,019,589
				21,352,190
Singapore - 1.0%
CapitaLand Commercial Trust, REIT		273,500		383,388
DBS Group Holdings Ltd.		66,200		1,398,300
Genting Singapore plc		2,359,600		1,957,108
Oversea-Chinese Banking Corp. Ltd.		27,600		271,888
SATS Ltd.		85,900		337,560
United Overseas Bank Ltd.		21,900		460,825
				4,809,069
South Africa - 0.3%
Investec plc		163,256		1,261,693
Mondi plc		5,198		139,712
				1,401,405
Spain - 2.3%
Aena SME SA (a)		17,220		3,472,302
Amadeus IT Group SA		8,110		600,165
Banco Bilbao Vizcaya Argentaria SA		58,182		460,776
Banco Santander SA		246,499		1,613,429
Grifols SA		7,841		222,299
Iberdrola SA		211,075		1,552,117
Mapfre SA		258,234		859,141
Repsol SA		125,567		2,232,035
				11,012,264
Sweden - 2.4%
Atlas Copco AB, Class A		3,365		146,148
Electrolux AB, Series B		73,738		2,328,610
Essity AB, Class B *		60,887		1,687,372
Hexagon AB, Class B		7,752		462,709
Investor AB, Class B		8,330		370,048
Sandvik AB		112,359		2,058,554
Securitas AB, Class B		44,759		762,091
SKF AB, Class B		12,568		257,482
Telefonaktiebolaget LM Ericsson, Class B		74,353		473,477
Volvo AB, Class B		142,864		2,615,037
				11,161,528
Switzerland - 8.3%
ABB Ltd. (Registered)		93,106		2,213,893
Adecco Group AG (Registered)		16,750		1,193,103
Baloise Holding AG (Registered)		4,709		720,400
Barry Callebaut AG (Registered)		175		342,258
Cie Financiere Richemont SA (Registered)		23,345		2,097,825
Coca-Cola HBC AG *		14,794		547,477
Glencore plc *		34,296		170,425
Lonza Group AG (Registered) *		2,171		512,007
Nestle SA (Registered)		80,495		6,362,448
Novartis AG (Registered)		69,784		5,644,191
Roche Holding AG		31,481		7,221,651
Sika AG		218		1,710,026
STMicroelectronics NV		145,939		3,247,689
Straumann Holding AG (Registered)		1,189		750,191
Swatch Group AG (The)		2,651		1,169,741
Swiss Life Holding AG (Registered) *		8,121		2,894,060

INVESTMENTS	SHARES		VALUE
Switzerland - 8.3% (continued)
Swiss Re AG		5,739	$	585,761
Zurich Insurance Group AG *		5,517		1,819,851
				39,202,997
United Kingdom - 14.2%
3i Group plc		23,824		287,552
Anglo American plc		150,083		3,496,133
Ashtead Group plc		10,062		274,358
BAE Systems plc		67,524		552,461
Barclays plc		387,956		1,133,649
Barratt Developments plc		425,246		3,164,390
Berkeley Group Holdings plc		53,735		2,856,528
BP plc		226,561		1,528,177
British American Tobacco plc		66,191		3,826,294
British Land Co. plc (The), REIT		80,014		721,274
BT Group plc		965,415		3,081,422
Burberry Group plc		19,333		460,831
Compass Group plc		91,809		1,874,644
Diageo plc		12,475		421,901
Direct Line Insurance Group plc		131,893		706,222
Fiat Chrysler Automobiles NV *		110,241		2,248,508
Hammerson plc, REIT		43,773		329,972
HSBC Holdings plc		557,119		5,231,745
Imperial Brands plc		25,501		868,296
International Consolidated Airlines Group SA		207,562		1,797,044
J Sainsbury plc		355,007		1,190,866
Land Securities Group plc, REIT		25,856		340,186
Legal & General Group plc		406,558		1,473,063
Lloyds Banking Group plc		3,829,583		3,483,491
London Stock Exchange Group plc		9,340		540,812
Marks & Spencer Group plc		195,783		743,673
Next plc		33,203		2,219,588
Persimmon plc		128,567		4,563,131
Prudential plc		87,891		2,196,280
Reckitt Benckiser Group plc		5,474		462,048
RELX NV		27,549		571,060
RELX plc		27,020		555,040
Rio Tinto Ltd.		10,260		581,252
Rio Tinto plc		52,257		2,651,732
Royal Mail plc		22,363		169,730
Segro plc, REIT		105,872		893,500
Sky plc		27,519		501,178
Taylor Wimpey plc		1,076,156		2,787,996
Travis Perkins plc		34,513		598,389
Unilever NV, CVA		48,776		2,753,183
Unilever plc		31,184		1,729,544
Vodafone Group plc		212,804		582,238
Wm Morrison Supermarkets plc		195,727		587,253
WPP plc		50,913		809,091
				67,845,725
United States - 1.1%
Shire plc		25,582		1,273,212
Valeant Pharmaceuticals International, Inc. (1)*		235,967		3,756,497
				5,029,709
TOTAL COMMON STOCKS (Cost $399,972,542)				456,708,172

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

AQR Funds Semi-Annual Report March 2018

17

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 2.9%
Investment Companies - 2.9%
Limited Purpose Cash Investment Fund, 1.53% (c)
(Cost $13,725,890)		13,728,789	$	13,726,043
SECURITIES LENDING COLLATERAL - 0.1%
Investment Companies - 0.1%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (c)(d)
(Cost $270,580)		270,580		270,580
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.2% (Cost $413,969,012)				470,704,795
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% (e)			3,999,714
NET ASSETS - 100.0%			$	474,704,509

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	75,396,800		15.9	%
Consumer Staples		37,883,320		8.0
Energy		23,016,614		4.8
Financials		85,739,312		18.1
Health Care		37,645,007		7.9
Industrials		64,570,208		13.6
Information Technology		47,055,975		9.9
Materials		49,461,633		10.4
Real Estate		10,836,543		2.3
Telecommunication Services		14,853,512		3.1
Utilities		10,249,248		2.2
Short-Term Investments		13,726,043		2.9
Securities Lending Collateral		270,580		0.1
Total Investments In Securities At Value		470,704,795		99.2
Other Assets in Excess of Liabilities (e)		3,999,714		0.8
Net Assets	$	474,704,509		100.0	%

* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at March 31, 2018 amounted to $12,329,484, which represents approximately 2.60% of net assets of the fund.

(b) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $257,535.

(c) Represents 7-day effective yield as of March 31, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

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

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

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

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

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index		121	6/2018	USD		$12,103,630		$(136,496	)
								$(136,496	)

USD - United States Dollar

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

AQR Funds Semi-Annual Report March 2018

18

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MULTI-STYLE FUND

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$798,654		$798,654

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

AQR Funds Semi-Annual Report March 2018

19

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.0%
Brazil - 7.6%
Ambev SA, ADR		369,288	$	2,684,724
Banco Bradesco SA, ADR *		163,225		1,939,113
Banco do Brasil SA *		138,600		1,735,517
Banco Santander Brasil SA, ADR		93,570		1,124,711
BR Malls Participacoes SA		47,585		169,069
Embraer SA, ADR		14,505		377,130
Fibria Celulose SA, ADR		45,309		883,526
Hypera SA		40,400		441,146
Itau Unibanco Holding SA, ADR		110,183		1,718,855
Itausa - Investimentos Itau SA (Preference)		259,941		1,085,761
M Dias Branco SA *		41,700		644,172
Petroleo Brasileiro SA (Preference) *		188,100		1,219,834
Porto Seguro SA *		24,800		363,874
Qualicorp SA		152,100		1,031,062
Sul America SA *		186,697		1,241,273
Suzano Papel e Celulose SA *		338,000		3,428,680
TIM Participacoes SA, ADR *		162,286		3,516,737
Vale SA, ADR *		188,590		2,398,865
				26,004,049
Chile - 1.5%
Banco de Chile, ADR		3,988		401,113
Banco de Credito e Inversiones SA		2,206		163,647
Banco Santander Chile, ADR		34,573		1,158,541
Cencosud SA		148,348		453,961
Empresas CMPC SA		80,830		307,754
Enel Americas SA, ADR		79,608		925,045
Enel Chile SA, ADR		56,011		358,470
Latam Airlines Group SA, ADR (a)		79,725		1,226,968
				4,995,499
China - 27.4%
58.com, Inc., ADR *		4,817		384,686
Agricultural Bank of China Ltd., Class H (2)		2,461,000		1,413,213
Air China Ltd., Class H (2)		1,298,000		1,676,279
Alibaba Group Holding Ltd., ADR *		69,686		12,790,168
ANTA Sports Products Ltd. (2)		115,000		587,053
Baidu, Inc., ADR *		16,444		3,670,136
Bank of China Ltd., Class H (2)		3,116,000		1,702,144
Beijing Capital International Airport Co. Ltd., Class H (2)		74,000		99,943
China Cinda Asset Management Co. Ltd., Class H (2)		401,000		146,821
China Communications Services Corp. Ltd., Class H (2)		952,000		572,827
China Construction Bank Corp., Class H (2)		6,359,000		6,642,002
China Evergrande Group (2)*		585,000		1,869,848
China Huarong Asset Management Co. Ltd., Class H (2)(b)		491,000		208,130
China Merchants Bank Co. Ltd., Class H (2)		256,000		1,062,623
China Mobile Ltd. (2)		501,175		4,593,467
China Overseas Land & Investment Ltd. (2)		380,000		1,332,580
China Petroleum & Chemical Corp., Class H (2)		374,000		331,769
China Resources Beer Holdings Co. Ltd. (2)		388,000		1,691,383
China Resources Land Ltd. (2)		290,000		1,065,652
China Shenhua Energy Co. Ltd., Class H (2)		604,000		1,515,877

INVESTMENTS	SHARES		VALUE
China - 27.4% (continued)
China Southern Airlines Co. Ltd., Class H (2)(a)		1,428,000	$	1,492,351
China Vanke Co. Ltd., Class H (2)		214,000		985,392
Chongqing Rural Commercial Bank Co. Ltd., Class H (2)		1,296,000		1,001,825
CNOOC Ltd., ADR		10,156		1,501,768
Country Garden Holdings Co. Ltd. (2)		1,591,000		3,321,705
CSPC Pharmaceutical Group Ltd. (2)		544,000		1,466,360
Ctrip.com International Ltd., ADR *		20,700		965,034
Far East Horizon Ltd. (2)		305,000		323,943
Geely Automobile Holdings Ltd. (2)		351,000		1,028,514
Great Wall Motor Co. Ltd., Class H (2)		2,254,500		2,284,922
Industrial & Commercial Bank of China Ltd., Class H (2)		5,532,000		4,821,061
JD.com, Inc., ADR *		41,989		1,700,135
NetEase, Inc., ADR		4,926		1,381,201
New Oriental Education & Technology Group, Inc., ADR		7,867		689,543
People’s Insurance Co. Group of China Ltd. (The), Class H (2)		461,000		218,029
PICC Property & Casualty Co. Ltd., Class H (2)		736,000		1,300,533
Ping An Insurance Group Co. of China Ltd., Class H (2)		193,000		1,989,961
Sihuan Pharmaceutical Holdings Group Ltd. (2)		630,000		188,390
SINA Corp. *		3,734		389,344
Sinopec Shanghai Petrochemical Co. Ltd., Class H (2)		2,450,000		1,497,069
TAL Education Group, ADR		16,458		610,427
Tencent Holdings Ltd. (2)		305,100		16,377,638
Tingyi Cayman Islands Holding Corp. (2)		406,000		843,999
TravelSky Technology Ltd., Class H (2)		260,000		759,431
Tsingtao Brewery Co. Ltd., Class H (2)		108,000		567,188
Vipshop Holdings Ltd., ADR *		24,408		405,661
Weibo Corp., ADR *		2,743		327,898
Weichai Power Co. Ltd., Class H (2)		908,000		1,026,900
Yum China Holdings, Inc.		25,244		1,047,626
				93,870,449
Hong Kong - 2.6%
GCL-Poly Energy Holdings Ltd. (2)*(a)		3,914,000		489,137
Haier Electronics Group Co. Ltd. (2)*		677,000		2,427,157
Nine Dragons Paper Holdings Ltd. (2)		2,278,000		3,452,543
Sino Biopharmaceutical Ltd. (2)		625,000		1,242,120
Sun Art Retail Group Ltd. (2)		1,146,500		1,341,651
				8,952,608
Hungary - 0.2%
MOL Hungarian Oil & Gas plc (2)		38,304		417,924
Richter Gedeon Nyrt (2)		11,164		233,300
				651,224
India - 6.9%
Axis Bank Ltd., GDR (2)(c)		10,786		428,496
Dr Reddy’s Laboratories Ltd., ADR		36,270		1,185,666
Hero MotoCorp Ltd. (2)		2,340		127,741
Hindustan Unilever Ltd. (2)		50,902		1,044,917
ICICI Bank Ltd., ADR		121,020		1,071,027

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

AQR Funds Semi-Annual Report March 2018

20

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
India - 6.9% (continued)
Indian Oil Corp. Ltd. (2)		32,364	$	88,251
Infosys Ltd., ADR (a)		403,005		7,193,639
Larsen & Toubro Ltd., GDR (2)(c)		10,829		218,185
Reliance Industries Ltd., GDR (2)(b)		103,577		2,816,901
State Bank of India, GDR (2)(c)		14,771		570,431
Tata Consultancy Services Ltd. (2)		48,396		2,120,706
Tata Motors Ltd., ADR *		99,667		2,561,442
Tech Mahindra Ltd. (2)		142,473		1,400,723
United Spirits Ltd. (2)*		2,189		105,846
Vedanta Ltd., ADR		19,708		346,270
Wipro Ltd., ADR (a)		448,485		2,314,183
				23,594,424
Indonesia - 1.9%
Adaro Energy Tbk. PT (2)		9,740,000		1,517,587
Bank Central Asia Tbk. PT (2)		115,200		195,700
Bank Mandiri Persero Tbk. PT (2)		180,900		101,440
Bank Negara Indonesia Persero Tbk. PT (2)		826,400		523,353
Bank Rakyat Indonesia Persero Tbk. PT (2)*		3,993,200		1,047,974
Gudang Garam Tbk. PT (2)		74,000		390,771
Indofood CBP Sukses Makmur Tbk. PT (2)		198,200		119,352
Indofood Sukses Makmur Tbk. PT (2)		1,496,700		784,654
Telekomunikasi Indonesia Persero Tbk. PT (2)		2,467,500		648,842
United Tractors Tbk. PT (2)		579,200		1,351,264
				6,680,937
Malaysia - 3.4%
AirAsia Bhd.		2,087,392		2,120,850
CIMB Group Holdings Bhd.		112,000		208,190
Genting Bhd.		446,400		1,007,516
Genting Malaysia Bhd.		296,500		375,608
Hong Leong Bank Bhd.		118,500		575,957
Malayan Banking Bhd.		1,086,400		2,977,207
Malaysia Airports Holdings Bhd.		268,100		613,414
MISC Bhd.		18,700		34,084
Petronas Chemicals Group Bhd.		174,000		371,572
Public Bank Bhd.		341,300		2,117,683
Tenaga Nasional Bhd.		293,800		1,233,535
				11,635,616
Mexico - 2.8%
America Movil SAB de CV, Class L, ADR		241,747		4,614,949
Arca Continental SAB de CV		23,000		159,039
Coca-Cola Femsa SAB de CV, ADR		8,492		564,124
Fomento Economico Mexicano SAB de CV, ADR		10,512		961,112
Gentera SAB de CV (a)		153,900		112,251
Grupo Aeroportuario del Pacifico SAB de CV, Class B		103,300		1,020,670
Grupo Aeroportuario del Sureste SAB de CV, ADR (a)		2,720		463,950
Grupo Bimbo SAB de CV, Series A (a)		52,100		114,001
Grupo Financiero Banorte SAB de CV, Class O		163,900		1,001,882
Grupo Financiero Inbursa SAB de CV, Class O		101,700		168,325
Wal-Mart de Mexico SAB de CV		176,500		449,114
				9,629,417

INVESTMENTS	SHARES		VALUE
Peru - 0.2%
Credicorp Ltd.		3,587	$	814,392
Philippines - 0.8%
Ayala Corp. (2)		12,620		230,280
Ayala Land, Inc. (2)		183,900		145,528
BDO Unibank, Inc. (2)		152,970		410,191
Globe Telecom, Inc. (2)		2,440		76,044
International Container Terminal Services, Inc. (2)		208,460		401,351
JG Summit Holdings, Inc. (2)		233,930		282,006
Jollibee Foods Corp. (2)		26,930		155,215
Security Bank Corp. (2)		109,660		507,214
SM Investments Corp. (2)		30,410		538,168
				2,745,997
Poland - 1.6%
Bank Zachodni WBK SA (2)		1,228		130,173
Grupa Lotos SA (2)		59,377		918,196
Jastrzebska Spolka Weglowa SA (2)*		20,255		480,220
LPP SA (2)		157		399,102
PGE Polska Grupa Energetyczna SA (2)*		33,799		97,962
Polski Koncern Naftowy ORLEN SA (2)		97,829		2,407,894
Polskie Gornictwo Naftowe i Gazownictwo SA (2)		245,613		405,978
Powszechna Kasa Oszczednosci Bank Polski SA (2)*		36,507		432,267
Tauron Polska Energia SA (2)*		383,084		272,147
				5,543,939
Russia - 2.6%
Gazprom PJSC, ADR (2)		350,088		1,707,080
LUKOIL PJSC, ADR (2)		29,278		2,021,456
Mobile TeleSystems PJSC, ADR		59,127		673,457
Novatek PJSC, GDR (2)(c)		5,239		718,730
Novolipetsk Steel PJSC, GDR (2)(c)		21,480		536,932
Rosneft Oil Co. PJSC, GDR (2)(c)		68,272		375,011
Severstal PJSC, GDR (2)(c)		89,292		1,350,040
Surgutneftegas OJSC, ADR (2)		88,464		433,487
Tatneft PJSC, ADR (2)		19,498		1,234,886
				9,051,079
South Africa - 6.2%
Bidvest Group Ltd. (The) (2)		120,204		2,281,114
Exxaro Resources Ltd. (2)		109,188		1,007,822
Foschini Group Ltd. (The) (2)		44,862		846,210
Imperial Holdings Ltd. (2)		129,430		2,551,365
Investec Ltd. (2)		139,489		1,089,357
Mondi Ltd. (2)		72,114		1,962,973
Naspers Ltd., Class N (2)		22,377		5,475,944
Redefine Properties Ltd., REIT (2)		130,202		127,488
Remgro Ltd. (2)		28,077		526,279
Sappi Ltd. (2)		137,553		888,738
Standard Bank Group Ltd. (2)		112,699		2,082,503
Telkom SA SOC Ltd. (2)		23,505		105,549
Truworths International Ltd. (2)		239,578		2,183,978
				21,129,320
South Korea - 15.4%
AMOREPACIFIC Group		1,259		167,725
Celltrion, Inc. *		6,294		1,827,557

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

AQR Funds Semi-Annual Report March 2018

21

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
South Korea - 15.4% (continued)
DB Insurance Co. Ltd.		5,787	$	352,899
E-MART, Inc.		675		173,199
Hana Financial Group, Inc.		31,090		1,334,429
Hanwha Chemical Corp.		16,167		451,990
Hanwha Corp.		54,779		2,012,007
Hanwha Life Insurance Co. Ltd.		61,659		358,072
Hyundai Marine & Fire Insurance Co. Ltd.		41,668		1,520,673
Hyundai Mobis Co. Ltd.		4,120		925,734
Hyundai Robotics Co. Ltd. *		413		169,129
KB Financial Group, Inc.		21,095		1,201,301
Korean Air Lines Co. Ltd.		8,552		271,186
KT&G Corp.		7,266		681,677
LG Corp.		7,564		610,996
LG Display Co. Ltd.		35,655		874,733
LG Electronics, Inc.		59,009		6,062,000
Lotte Chemical Corp.		5,049		2,051,053
NCSoft Corp.		1,448		570,560
OCI Co. Ltd.		5,341		786,694
POSCO		6,895		2,105,566
S-1 Corp.		1,090		101,136
Samsung Electronics Co. Ltd.		6,746		15,575,482
Samsung SDS Co. Ltd.		543		130,159
SillaJen, Inc. *		3,267		327,957
SK Hynix, Inc.		116,158		8,859,786
SK Innovation Co. Ltd.		3,765		745,300
SK Telecom Co. Ltd.		8,826		1,933,456
Woori Bank		45,164		620,745
				52,803,201
Taiwan - 10.6%
Advanced Semiconductor Engineering, Inc.		71,000		102,152
AU Optronics Corp.		1,224,000		573,022
Cathay Financial Holding Co. Ltd.		374,000		665,727
China Airlines Ltd. *		301,000		109,944
China Life Insurance Co. Ltd.		1,492,720		1,535,878
Compal Electronics, Inc.		142,000		96,430
CTBC Financial Holding Co. Ltd.		1,070,559		778,401
E.Sun Financial Holding Co. Ltd.		1,180,310		789,383
Eva Airways Corp.		761,879		389,340
Far EasTone Telecommunications Co. Ltd. *		89,000		238,090
First Financial Holding Co. Ltd.		2,009,720		1,395,782
Fubon Financial Holding Co. Ltd.		400,000		687,314
Hon Hai Precision Industry Co. Ltd.		643,493		2,017,192
Innolux Corp.		5,052,000		2,278,485
Mega Financial Holding Co. Ltd.		450,000		387,386
Nanya Technology Corp.		453,000		1,426,258
Pegatron Corp.		84,000		210,886
Phison Electronics Corp.		112,000		1,190,795
Pou Chen Corp.		755,000		1,009,878
Powertech Technology, Inc.		415,000		1,298,076
Realtek Semiconductor Corp.		211,000		933,532
Shin Kong Financial Holding Co. Ltd.		3,881,000		1,530,730
Taishin Financial Holding Co. Ltd.		345,248		169,326
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		354,592		15,516,947
Uni-President Enterprises Corp.		292,000		686,010
United Microelectronics Corp.		554,000		292,609
				36,309,573

INVESTMENTS	SHARES		VALUE
Thailand - 3.2%
Airports of Thailand PCL, NVDR		448,300	$	967,709
Krung Thai Bank PCL, NVDR		1,554,500		939,560
PTT Global Chemical PCL, NVDR		2,096,400		6,335,458
Siam Cement PCL (The), NVDR		44,000		703,550
Thai Oil PCL, NVDR		731,600		2,146,604
				11,092,881
Turkey - 2.1%
Akbank Turk A/S		40,713		98,550
BIM Birlesik Magazalar A/S		8,343		152,045
TAV Havalimanlari Holding A/S		18,403		111,389
Turk Hava Yollari AO *		994,752		4,818,318
Turkiye Garanti Bankasi A/S		54,456		151,002
Turkiye Is Bankasi A/S, Class C		150,020		271,498
Turkiye Sise ve Cam Fabrikalari A/S		608,911		796,386
Turkiye Vakiflar Bankasi TAO, Class D		406,336		670,481
				7,069,669
TOTAL COMMON STOCKS (Cost $248,224,465)				332,574,274
SHORT-TERM INVESTMENTS - 2.6%
Investment Companies - 2.6%
Limited Purpose Cash Investment Fund, 1.53% (2)(d)
(Cost $8,944,002)		8,946,695		8,944,905
SECURITIES LENDING COLLATERAL - 2.4%
Investment Companies - 2.4%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(d)(e)		987,267		987,267
Limited Purpose Cash Investment Fund 1.53% (2)(d)(e)		7,379,002		7,379,002
TOTAL SECURITIES LENDING COLLATERAL (Cost $8,366,269)				8,366,269
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 102.0% (Cost $265,534,736)				349,885,448
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.0)% (f)			(6,692,974)
NET ASSETS - 100.0%			$	343,192,474

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

AQR Funds Semi-Annual Report March 2018

22

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING MULTI-STYLE FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	35,427,804			10.3	%
Consumer Staples		14,780,663			4.3
Energy		24,883,618			7.3
Financials		64,544,402			18.9
Health Care		7,943,557			2.3
Industrials		24,230,904			7.1
Information Technology		101,545,992			29.6
Materials		30,339,493			8.8
Real Estate		9,017,262			2.6
Telecommunication Services		16,973,420			5.0
Utilities		2,887,159			0.8
Short-Term Investments		8,944,905			2.6
Securities Lending Collateral		8,366,269			2.4
Total Investments In Securities At Value		349,885,448			102.0
Liabilities in Excess of Other Assets (f)		(6,692,974	)		(2.0	)
Net Assets	$	343,192,474			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $8,148,136.

(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

March 31, 2018 amounted to $3,025,031, which represents approximately 0.88% of net assets of the fund.

(c) 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 March 31, 2018, the value of these securities amounted to $4,197,825 or 1.22% of net assets.

(d) Represents 7-day effective yield as of March 31, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

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

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

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint Stock Company

PJSC - Public Joint Stock Company

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

REIT - Real Estate Investment Trust

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI Emerging Markets E-Mini Index		82	6/2018	USD		$4,869,980		$(172,233	)
								$(172,233	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$487,055		$487,055

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

AQR Funds Semi-Annual Report March 2018

23

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.4%
Aerospace & Defense - 4.9%
Boeing Co. (The)		14,359	$	4,708,029
BWX Technologies, Inc.		1,495		94,977
General Dynamics Corp.		1,881		415,513
Hexcel Corp.		2,090		134,993
Huntington Ingalls Industries, Inc.		7,742		1,995,578
Northrop Grumman Corp.		3,569		1,246,009
Raytheon Co.		11,163		2,409,199
Spirit AeroSystems Holdings, Inc., Class A		20,707		1,733,176
				12,737,474
Air Freight & Logistics - 0.7%
FedEx Corp.		7,500		1,800,825
Airlines - 0.8%
Copa Holdings SA, Class A (Panama)		1,257		161,688
Delta Air Lines, Inc.		2,392		131,105
JetBlue Airways Corp. *		71,440		1,451,661
United Continental Holdings, Inc. *		5,834		405,288
				2,149,742
Auto Components - 0.5%
Lear Corp.		7,667		1,426,752
Automobiles - 0.3%
General Motors Co.		15,483		562,652
Thor Industries, Inc.		2,329		268,231
				830,883
Banks - 6.2%
Bank of America Corp.		69,166		2,074,288
Citigroup, Inc.		25,449		1,717,808
East West Bancorp, Inc.		2,023		126,518
Fifth Third Bancorp		15,549		493,681
JPMorgan Chase & Co.		47,907		5,268,333
PNC Financial Services Group, Inc. (The)		10,155		1,535,842
Regions Financial Corp.		31,659		588,224
SunTrust Banks, Inc.		19,632		1,335,761
US Bancorp		27,273		1,377,287
Wells Fargo & Co.		31,000		1,624,710
				16,142,452
Beverages - 0.6%
Constellation Brands, Inc., Class A		5,091		1,160,341
PepsiCo, Inc.		4,202		458,648
				1,618,989
Biotechnology - 3.1%
AbbVie, Inc.		14,437		1,366,462
Alexion Pharmaceuticals, Inc. *		3,936		438,707
Amgen, Inc.		2,059		351,018
Biogen, Inc. *		5,799		1,587,882
Celgene Corp. *		15,970		1,424,684
Exelixis, Inc. *		20,415		452,192
Gilead Sciences, Inc.		21,329		1,607,993
United Therapeutics Corp. *		5,910		664,048
Vertex Pharmaceuticals, Inc. *		806		131,362
				8,024,348

INVESTMENTS	SHARES		VALUE
Building Products - 0.6%
Owens Corning		21,173	$	1,702,309
Capital Markets - 2.7%
Ameriprise Financial, Inc.		7,557		1,117,982
Bank of New York Mellon Corp. (The)		14,081		725,594
BlackRock, Inc.		230		124,596
CME Group, Inc.		12,336		1,995,225
Federated Investors, Inc., Class B		20,155		673,177
LPL Financial Holdings, Inc.		1,212		74,017
Morgan Stanley		7,455		402,272
MSCI, Inc.		534		79,817
S&P Global, Inc.		1,350		257,931
State Street Corp.		9,275		924,996
T. Rowe Price Group, Inc.		6,319		682,262
				7,057,869
Chemicals - 3.0%
Chemours Co. (The)		4,586		223,384
DowDuPont, Inc.		11,861		755,664
Eastman Chemical Co.		6,358		671,278
Huntsman Corp.		70,730		2,068,853
LyondellBasell Industries NV, Class A		36,330		3,839,355
Monsanto Co.		2,354		274,688
Olin Corp.		3,224		97,977
				7,931,199
Commercial Services & Supplies - 0.4%
Cintas Corp.		1,585		270,369
Republic Services, Inc.		1,912		126,632
Rollins, Inc.		2,483		126,707
Waste Management, Inc.		7,196		605,328
				1,129,036
Communications Equipment - 1.0%
Cisco Systems, Inc.		54,710		2,346,512
Juniper Networks, Inc.		9,102		221,452
				2,567,964
Consumer Finance - 0.2%
Capital One Financial Corp.		2,959		283,531
Discover Financial Services		2,721		195,722
				479,253
Containers & Packaging - 0.1%
Avery Dennison Corp.		780		82,875
Packaging Corp. of America		1,962		221,117
				303,992
Distributors - 0.0% (a)
LKQ Corp. *		2,069		78,519
Diversified Consumer Services - 0.0% (a)
Graham Holdings Co., Class B		215		129,484
Diversified Financial Services - 1.4%
Berkshire Hathaway, Inc., Class B *		18,468		3,683,997
Electric Utilities - 2.3%
Exelon Corp.		112,308		4,381,135
Great Plains Energy, Inc.		1,921		61,068

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

AQR Funds Semi-Annual Report March 2018

24

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Electric Utilities - 2.3% (continued)
NextEra Energy, Inc.		2,054	$	335,480
Pinnacle West Capital Corp.		15,375		1,226,925
Xcel Energy, Inc.		2,993		136,122
				6,140,730
Electrical Equipment - 0.1%
Eaton Corp. plc		1,990		159,021
Electronic Equipment, Instruments & Components - 0.8%
Arrow Electronics, Inc. *		5,338		411,133
CDW Corp.		2,471		173,736
Coherent, Inc. *		3,238		606,801
Corning, Inc.		3,782		105,442
Dolby Laboratories, Inc., Class A		1,847		117,396
IPG Photonics Corp. *		1,745		407,248
Jabil, Inc.		8,985		258,139
				2,079,895
Equity Real Estate Investment Trusts (REITs) - 2.7%
American Tower Corp.		4,169		605,922
AvalonBay Communities, Inc.		1,100		180,906
Boston Properties, Inc.		2,674		329,490
Crown Castle International Corp.		3,611		395,802
Digital Realty Trust, Inc.		5,753		606,251
Equinix, Inc.		908		379,671
Equity Residential		6,814		419,879
Essex Property Trust, Inc.		523		125,876
GGP, Inc.		8,721		178,432
Host Hotels & Resorts, Inc.		12,303		229,328
Prologis, Inc.		8,185		515,573
Public Storage		5,366		1,075,293
Realty Income Corp.		9,971		515,800
SBA Communications Corp. *		711		121,524
Simon Property Group, Inc.		4,473		690,407
Ventas, Inc.		8,320		412,089
Welltower, Inc.		4,123		224,415
Weyerhaeuser Co.		4,966		173,810
				7,180,468
Food & Staples Retailing - 1.2%
Walmart, Inc.		34,967		3,111,014
Food Products - 1.4%
Archer-Daniels-Midland Co.		8,762		380,008
Bunge Ltd.		1,179		87,175
Ingredion, Inc.		6,808		877,687
Pilgrim’s Pride Corp. *		28,941		712,238
Tyson Foods, Inc., Class A		21,976		1,608,424
				3,665,532
Health Care Equipment & Supplies - 1.5%
Align Technology, Inc. *		1,687		423,656
Baxter International, Inc.		19,226		1,250,459
Cooper Cos., Inc. (The)		336		76,880
Danaher Corp.		7,249		709,750
Medtronic plc		16,000		1,283,520
Varian Medical Systems, Inc. *		1,297		159,077
Zimmer Biomet Holdings, Inc.		932		101,625
				4,004,967

INVESTMENTS	SHARES		VALUE
Health Care Providers & Services - 3.7%
Aetna, Inc.		3,078	$	520,182
Anthem, Inc.		7,633		1,676,970
Centene Corp. *		7,308		781,006
Cigna Corp.		3,267		548,007
Express Scripts Holding Co. *		5,708		394,309
Humana, Inc.		5,965		1,603,571
LifePoint Health, Inc. *		1,548		72,756
McKesson Corp.		919		129,459
UnitedHealth Group, Inc.		7,879		1,686,106
WellCare Health Plans, Inc. *		11,523		2,231,198
				9,643,564
Hotels, Restaurants & Leisure - 2.7%
Carnival Corp.		26,858		1,761,348
Darden Restaurants, Inc.		15,496		1,321,034
Hilton Grand Vacations, Inc. *		9,193		395,483
Las Vegas Sands Corp.		2,669		191,901
McDonald’s Corp.		1,933		302,282
Norwegian Cruise Line Holdings Ltd. *		7,668		406,174
Royal Caribbean Cruises Ltd.		21,191		2,495,028
Wyndham Worldwide Corp.		1,323		151,391
				7,024,641
Household Durables - 0.9%
DR Horton, Inc.		12,581		551,551
NVR, Inc. *		151		422,800
PulteGroup, Inc.		15,185		447,806
Toll Brothers, Inc.		21,316		921,917
				2,344,074
Household Products - 0.1%
Procter & Gamble Co. (The)		1,987		157,529
Independent Power and Renewable Electricity Producers - 0.1%
Vistra Energy Corp. *		7,299		152,038
Industrial Conglomerates - 0.1%
3M Co.		1,376		302,060
Insurance - 5.2%
Aflac, Inc.		32,218		1,409,860
Allstate Corp. (The)		24,051		2,280,035
American Financial Group, Inc.		6,145		689,592
Assurant, Inc.		2,636		240,957
Assured Guaranty Ltd.		33,513		1,213,170
Chubb Ltd.		7,280		995,685
CNA Financial Corp.		1,634		80,638
Everest Re Group Ltd.		4,250		1,091,485
First American Financial Corp.		9,482		556,404
FNF Group		14,140		565,883
Old Republic International Corp.		31,006		665,079
Prudential Financial, Inc.		4,330		448,371
Reinsurance Group of America, Inc.		8,108		1,248,632
Travelers Cos., Inc. (The)		14,631		2,031,660
Unum Group		2,416		115,026
				13,632,477
Internet & Direct Marketing Retail - 3.1%
Amazon.com, Inc. *		3,904		5,650,415
Booking Holdings, Inc. *		240		499,294

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

AQR Funds Semi-Annual Report March 2018

25

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Internet & Direct Marketing Retail - 3.1% (continued)
Liberty Interactive Corp. QVC Group, Class A *		24,640	$	620,189
Netflix, Inc. *		3,609		1,065,918
TripAdvisor, Inc. *		7,241		296,084
				8,131,900
Internet Software & Services - 6.3%
Akamai Technologies, Inc. *		14,805		1,050,859
Alphabet, Inc., Class A *		3,130		3,246,248
Alphabet, Inc., Class C *		2,893		2,984,968
eBay, Inc. *		69,098		2,780,504
Facebook, Inc., Class A *		30,265		4,836,044
IAC/InterActiveCorp *		6,383		998,174
Twitter, Inc. *		13,734		398,423
VeriSign, Inc. *		1,127		133,617
				16,428,837
IT Services - 3.0%
Accenture plc, Class A		7,680		1,178,880
Amdocs Ltd.		7,058		470,910
Booz Allen Hamilton Holding Corp.		7,483		289,742
Cognizant Technology Solutions Corp., Class A		9,488		763,784
DXC Technology Co.		4,000		402,120
Euronet Worldwide, Inc. *		2,461		194,222
International Business Machines Corp.		18,084		2,774,628
Leidos Holdings, Inc.		1,612		105,425
Total System Services, Inc.		8,174		705,089
Visa, Inc., Class A (b)		8,619		1,031,005
				7,915,805
Life Sciences Tools & Services - 0.4%
Charles River Laboratories International, Inc. *		3,517		375,405
Mettler-Toledo International, Inc. *		173		99,480
Thermo Fisher Scientific, Inc.		1,969		406,520
Waters Corp. *		374		74,295
				955,700
Machinery - 2.1%
Allison Transmission Holdings, Inc.		10,978		428,801
Caterpillar, Inc.		1,367		201,469
Cummins, Inc.		6,483		1,050,830
Deere & Co.		4,731		734,819
Ingersoll-Rand plc		2,842		243,019
Oshkosh Corp.		23,512		1,816,772
Stanley Black & Decker, Inc.		2,037		312,068
Toro Co. (The)		1,881		117,468
Trinity Industries, Inc.		15,417		503,057
				5,408,303
Media - 1.7%
Comcast Corp., Class A		32,346		1,105,263
John Wiley & Sons, Inc., Class A		3,466		220,784
Lions Gate Entertainment Corp., Class A		2,797		72,247
Time Warner, Inc.		5,444		514,894
Twenty-First Century Fox, Inc., Class A		9,941		364,735
Viacom, Inc., Class B		30,635		951,523
Walt Disney Co. (The)		12,462		1,251,683
				4,481,129

INVESTMENTS	SHARES		VALUE
Metals & Mining - 0.5%
Alcoa Corp. *		14,004	$	629,620
Freeport-McMoRan, Inc. *		14,112		247,948
Steel Dynamics, Inc.		8,267		365,566
				1,243,134
Mortgage Real Estate Investment Trusts (REITs) - 0.1%
Annaly Capital Management, Inc.		23,143		241,381
Multiline Retail - 0.8%
Kohl’s Corp.		14,310		937,448
Target Corp.		16,974		1,178,505
				2,115,953
Multi-Utilities - 2.4%
Ameren Corp.		32,260		1,826,884
Consolidated Edison, Inc.		37,669		2,935,922
DTE Energy Co.		4,544		474,393
Public Service Enterprise Group, Inc.		18,405		924,667
				6,161,866
Oil, Gas & Consumable Fuels - 2.4%
Antero Resources Corp. *		3,842		76,264
CNX Resources Corp. *		22,157		341,883
CONSOL Energy, Inc. *		3,025		87,634
HollyFrontier Corp.		26,702		1,304,660
Marathon Petroleum Corp.		10,502		767,801
Murphy Oil Corp.		4,112		106,254
PBF Energy, Inc., Class A		42,131		1,428,241
Pioneer Natural Resources Co.		794		136,393
Southwestern Energy Co. *		69,384		300,433
Valero Energy Corp.		18,829		1,746,766
				6,296,329
Personal Products - 0.8%
Estee Lauder Cos., Inc. (The), Class A		13,033		1,951,301
Nu Skin Enterprises, Inc., Class A		1,653		121,842
				2,073,143
Pharmaceuticals - 2.3%
Johnson & Johnson		22,914		2,936,429
Mylan NV *		15,438		635,582
Pfizer, Inc.		66,973		2,376,872
				5,948,883
Professional Services - 0.2%
ManpowerGroup, Inc.		2,868		330,107
Robert Half International, Inc.		2,338		135,347
				465,454
Road & Rail - 0.5%
CSX Corp.		5,373		299,330
Norfolk Southern Corp.		991		134,558
Union Pacific Corp.		6,503		874,198
				1,308,086
Semiconductors & Semiconductor Equipment - 6.3%
Applied Materials, Inc.		43,383		2,412,529
First Solar, Inc. *		2,397		170,139
Intel Corp.		78,238		4,074,635
Lam Research Corp.		7,714		1,567,176

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

AQR Funds Semi-Annual Report March 2018

26

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Semiconductors & Semiconductor Equipment - 6.3% (continued)
Micron Technology, Inc. *		73,402	$	3,827,180
NVIDIA Corp.		6,312		1,461,796
ON Semiconductor Corp. *		18,196		445,074
Qorvo, Inc. *		2,511		176,900
Skyworks Solutions, Inc.		4,722		473,428
Teradyne, Inc.		3,157		144,307
Texas Instruments, Inc.		15,716		1,632,735
				16,385,899
Software - 5.1%
Activision Blizzard, Inc.		26,354		1,777,841
Adobe Systems, Inc. *		2,984		644,783
CA, Inc.		10,632		360,425
Cadence Design Systems, Inc. *		3,460		127,224
Citrix Systems, Inc. *		3,148		292,134
Dell Technologies, Inc., Class V *		1,012		74,089
Electronic Arts, Inc. *		8,700		1,054,788
Manhattan Associates, Inc. *		7,700		322,476
Microsoft Corp.		58,658		5,353,716
Oracle Corp.		33,835		1,547,951
Symantec Corp.		6,171		159,520
Synopsys, Inc. *		1,007		83,823
VMware, Inc., Class A *		11,650		1,412,795
Zynga, Inc., Class A *		34,181		125,102
				13,336,667
Specialty Retail - 2.8%
Best Buy Co., Inc.		39,734		2,780,983
Gap, Inc. (The)		18,676		582,691
Home Depot, Inc. (The)		10,523		1,875,620
Lowe’s Cos., Inc.		3,687		323,534
Ross Stores, Inc.		2,434		189,803
Sally Beauty Holdings, Inc. *		4,554		74,913
Signet Jewelers Ltd.		21,086		812,233
Williams-Sonoma, Inc. (b)		11,418		602,414
				7,242,191
Technology Hardware, Storage & Peripherals - 4.1%
Apple, Inc.		48,411		8,122,398
HP, Inc.		33,050		724,456
NetApp, Inc.		3,703		228,438
Western Digital Corp.		17,848		1,646,835
				10,722,127
Textiles, Apparel & Luxury Goods - 0.9%
Carter’s, Inc.		3,957		411,924
Michael Kors Holdings Ltd. *		19,329		1,199,944
PVH Corp.		1,360		205,945
Ralph Lauren Corp.		2,157		241,152
Skechers U.S.A., Inc., Class A *		8,894		345,888
				2,404,853
Thrifts & Mortgage Finance - 0.0% (a)
New York Community Bancorp, Inc.		5,186		67,574
Tobacco - 0.9%
Altria Group, Inc.		18,086		1,127,120
Philip Morris International, Inc.		13,396		1,331,562
				2,458,682

INVESTMENTS	SHARES		VALUE
Trading Companies & Distributors - 0.4%
Air Lease Corp.		7,626	$	325,020
United Rentals, Inc. *		4,263		736,348
				1,061,368
TOTAL COMMON STOCKS (Cost $200,321,697)				252,248,361
EXCHANGE TRADED FUNDS - 2.5%
SPDR S&P 500 ETF Trust
(Cost $5,657,218)		25,147		6,617,433
SHORT-TERM INVESTMENTS - 1.5%
Investment Companies - 1.5%
Limited Purpose Cash Investment Fund, 1.53% (2)(c)
(Cost $3,879,264)		3,880,523		3,879,747
SECURITIES LENDING COLLATERAL - 0.2%
Investment Companies - 0.2%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(c)(d)		64,330		64,330
Limited Purpose Cash Investment Fund 1.53% (2)(c)(d)		480,812		480,812
TOTAL SECURITIES LENDING COLLATERAL (Cost $545,142)				545,142
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.6% (Cost $210,403,321)				263,290,683
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)%			(1,617,023)
NET ASSETS - 100.0%			$	261,673,660

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

AQR Funds Semi-Annual Report March 2018

27

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MULTI-STYLE FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	36,210,378			13.8	%
Consumer Staples		13,084,890			5.0
Energy		6,296,329			2.4
Exchange Traded Funds		6,617,433			2.5
Financials		41,305,003			15.8
Health Care		28,577,462			10.9
Industrials		28,223,678			10.8
Information Technology		69,437,193			26.6
Materials		9,478,325			3.6
Real Estate		7,180,468			2.7
Utilities		12,454,635			4.8
Short-Term Investments		3,879,747			1.5
Securities Lending Collateral		545,142			0.2
Total Investments In Securities At Value		263,290,683			100.6
Liabilities in Excess of Other Assets		(1,617,023	)		(0.6	)
Net Assets	$	261,673,660			100.0	%

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

* Non-income producing security.

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

(b) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $1,463,236.

(c) Represents 7-day effective yield as of March 31, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $926,349 was received (See Note 3).

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

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

Abbreviations

SPDR - Standard & Poor’s Depositary Receipt

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

AQR Funds Semi-Annual Report March 2018

28

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 95.8%
Aerospace & Defense - 1.2%
Curtiss-Wright Corp.		441	$	59,566
Ducommun, Inc. *		919		27,919
Esterline Technologies Corp. *		972		71,102
Moog, Inc., Class A *		620		51,094
National Presto Industries, Inc. (a)		153		14,344
Vectrus, Inc. *		4,265		158,828
				382,853
Air Freight & Logistics - 0.5%
Air Transport Services Group, Inc. *		1,399		32,625
Atlas Air Worldwide Holdings, Inc. *		792		47,876
Forward Air Corp.		437		23,100
Hub Group, Inc., Class A *		1,682		70,392
				173,993
Airlines - 0.2%
Allegiant Travel Co.		100		17,255
Hawaiian Holdings, Inc.		353		13,661
SkyWest, Inc.		613		33,347
				64,263
Auto Components - 2.3%
American Axle & Manufacturing Holdings, Inc. *		7,446		113,328
Cooper Tire & Rubber Co.		1,995		58,453
Cooper-Standard Holdings, Inc. *		1,859		228,304
Dana, Inc.		5,451		140,418
Dorman Products, Inc. *		160		10,594
LCI Industries		274		28,537
Stoneridge, Inc. *		2,663		73,499
Tenneco, Inc.		798		43,786
Tower International, Inc.		1,430		39,682
				736,601
Automobiles - 0.0% (b)
Winnebago Industries, Inc.		192		7,219
Banks - 6.5%
1st Source Corp.		596		30,170
Ameris Bancorp		295		15,605
BancFirst Corp.		454		24,107
BancorpSouth Bank		1,587		50,467
Berkshire Hills Bancorp, Inc.		450		17,077
Brookline Bancorp, Inc.		960		15,552
Cathay General Bancorp		2,831		113,183
CenterState Bank Corp.		1,055		27,989
Chemical Financial Corp.		260		14,217
City Holding Co.		216		14,809
Columbia Banking System, Inc.		643		26,974
Community Trust Bancorp, Inc.		222		10,034
Customers Bancorp, Inc. *		571		16,645
Eagle Bancorp, Inc. *		826		49,436
Enterprise Financial Services Corp.		779		36,535
FCB Financial Holdings, Inc., Class A *		169		8,636
Fidelity Southern Corp.		888		20,486
First Busey Corp.		462		13,731
First Citizens BancShares, Inc., Class A		303		125,212
First Commonwealth Financial Corp.		899		12,703

INVESTMENTS	SHARES		VALUE
Banks - 6.5% (continued)
First Financial Bancorp		386	$	11,329
First Financial Corp.		197		8,195
First Interstate BancSystem, Inc., Class A		1,693		66,958
First Merchants Corp.		1,693		70,598
First Midwest Bancorp, Inc.		601		14,779
Flushing Financial Corp.		605		16,311
Fulton Financial Corp.		5,301		94,093
Great Southern Bancorp, Inc.		382		19,081
Great Western Bancorp, Inc.		2,451		98,702
Hancock Holding Co.		1,046		54,078
Hanmi Financial Corp.		414		12,730
Heartland Financial USA, Inc.		1,081		57,347
Heritage Financial Corp.		437		13,372
Hilltop Holdings, Inc.		795		18,651
Hope Bancorp, Inc.		603		10,969
Independent Bank Corp./MA		364		26,044
Independent Bank Group, Inc.		221		15,625
International Bancshares Corp.		2,380		92,582
LegacyTexas Financial Group, Inc.		1,077	��	46,117
MB Financial, Inc.		1,415		57,279
Midland States Bancorp, Inc.		480		15,149
NBT Bancorp, Inc.		1,108		39,312
Old National Bancorp		1,544		26,094
Preferred Bank		505		32,421
Renasant Corp.		507		21,578
Sandy Spring Bancorp, Inc.		415		16,085
ServisFirst Bancshares, Inc.		2,223		90,743
Simmons First National Corp., Class A		1,325		37,696
Texas Capital Bancshares, Inc. *		682		61,312
Towne Bank		394		11,268
TriCo Bancshares		365		13,585
Trustmark Corp.		1,520		47,363
UMB Financial Corp.		154		11,148
Umpqua Holdings Corp.		1,836		39,309
WesBanco, Inc.		277		11,717
Wintrust Financial Corp.		1,575		135,529
				2,058,717
Beverages - 1.8%
Boston Beer Co., Inc. (The), Class A *		895		169,200
Coca-Cola Bottling Co. Consolidated		256		44,203
Craft Brew Alliance, Inc. *		676		12,574
MGP Ingredients, Inc.		1,367		122,469
National Beverage Corp. (a)		2,445		217,654
				566,100
Biotechnology - 5.9%
Abeona Therapeutics, Inc. *		571		8,194
Acorda Therapeutics, Inc. *		1,440		34,056
Amicus Therapeutics, Inc. *		1,954		29,388
AnaptysBio, Inc. *		268		27,893
Array BioPharma, Inc. *		2,096		34,207
Avexis, Inc. *		370		45,725
BioSpecifics Technologies Corp. *		877		38,886
Bluebird Bio, Inc. *		712		121,574
Blueprint Medicines Corp. *		549		50,343
Calithera Biosciences, Inc. *		4,538		28,589
Clovis Oncology, Inc. *		479		25,291
Conatus Pharmaceuticals, Inc. *		5,261		30,882

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

AQR Funds Semi-Annual Report March 2018

29

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Biotechnology - 5.9% (continued)
Concert Pharmaceuticals, Inc. *		1,598	$	36,594
Eagle Pharmaceuticals, Inc. *(a)		1,153		60,752
Emergent BioSolutions, Inc. *		4,569		240,558
Enanta Pharmaceuticals, Inc. *		516		41,750
Esperion Therapeutics, Inc. *		458		33,127
Exact Sciences Corp. *		3,420		137,929
FibroGen, Inc. *		529		24,440
Foundation Medicine, Inc. *		277		21,814
Global Blood Therapeutics, Inc. *		265		12,799
Halozyme Therapeutics, Inc. *		1,617		31,677
Insmed, Inc. *		1,004		22,610
Ligand Pharmaceuticals, Inc. *		216		35,675
Loxo Oncology, Inc. *		197		22,728
Momenta Pharmaceuticals, Inc. *		1,028		18,658
Myriad Genetics, Inc. *		4,309		127,331
PDL BioPharma, Inc. *		25,215		74,132
Portola Pharmaceuticals, Inc. *		648		21,164
Prothena Corp. plc (Ireland) *		347		12,738
Puma Biotechnology, Inc. *		386		26,267
Repligen Corp. *		3,489		126,232
Sage Therapeutics, Inc. *		717		115,487
Sarepta Therapeutics, Inc. *		863		63,940
Spectrum Pharmaceuticals, Inc. *		4,269		68,688
				1,852,118
Building Products - 1.5%
American Woodmark Corp. *		589		57,987
Apogee Enterprises, Inc.		1,640		71,094
Builders FirstSource, Inc. *		3,824		75,868
Continental Building Products, Inc. *		491		14,018
JELD-WEN Holding, Inc. *		976		29,885
Patrick Industries, Inc. *		1,741		107,681
Ply Gem Holdings, Inc. *		539		11,642
Simpson Manufacturing Co., Inc.		294		16,932
Universal Forest Products, Inc.		2,400		77,880
				462,987
Capital Markets - 1.2%
Cohen & Steers, Inc.		1,470		59,770
Evercore, Inc., Class A		611		53,279
INTL. FCStone, Inc. *		473		20,188
Stifel Financial Corp.		1,508		89,319
Waddell & Reed Financial, Inc., Class A (a)		7,161		144,724
				367,280
Chemicals - 2.0%
AdvanSix, Inc. *		1,556		54,118
American Vanguard Corp.		513		10,362
Chase Corp.		349		40,641
Flotek Industries, Inc. *		1,419		8,656
FutureFuel Corp.		1,637		19,628
Ingevity Corp. *		517		38,098
Innospec, Inc.		465		31,899
Kronos Worldwide, Inc.		5,025		113,565
Minerals Technologies, Inc.		207		13,859
PolyOne Corp.		327		13,904
Rayonier Advanced Materials, Inc.		1,022		21,942
Stepan Co.		785		65,296
Trinseo SA		2,424		179,497

INVESTMENTS	SHARES		VALUE
Chemicals - 2.0% (continued)
Tronox Ltd., Class A		864	$	15,932
				627,397
Commercial Services & Supplies - 1.8%
ACCO Brands Corp.		7,255		91,050
Brink’s Co. (The)		652		46,520
Deluxe Corp.		973		72,012
Ennis, Inc.		4,365		85,991
Herman Miller, Inc.		1,687		53,900
HNI Corp.		324		11,693
Hudson Technologies, Inc. *		4,762		23,524
Interface, Inc.		2,374		59,825
Kimball International, Inc., Class B		1,589		27,077
Quad/Graphics, Inc.		798		20,229
Steelcase, Inc., Class A		1,752		23,827
Tetra Tech, Inc.		213		10,426
UniFirst Corp.		160		25,864
Viad Corp.		484		25,386
				577,324
Communications Equipment - 0.4%
Applied Optoelectronics, Inc. *(a)		2,474		61,998
Finisar Corp. *		816		12,901
InterDigital, Inc.		210		15,456
Plantronics, Inc.		234		14,127
Ubiquiti Networks, Inc. *(a)		342		23,530
				128,012
Construction & Engineering - 1.2%
Argan, Inc.		1,053		45,226
Comfort Systems USA, Inc.		778		32,093
Dycom Industries, Inc. *		687		73,942
EMCOR Group, Inc.		2,083		162,328
MasTec, Inc. *		1,002		47,144
Primoris Services Corp.		453		11,316
				372,049
Construction Materials - 0.1%
Summit Materials, Inc., Class A *		1,368		41,423
US Concrete, Inc. *		110		6,644
				48,067
Consumer Finance - 1.5%
EZCORP, Inc., Class A *		1,187		15,668
FirstCash, Inc.		1,168		94,900
Green Dot Corp., Class A *		2,047		131,336
LendingClub Corp. *		4,111		14,389
Nelnet, Inc., Class A		1,981		103,824
PRA Group, Inc. *		433		16,454
World Acceptance Corp. *		1,060		111,618
				488,189
Distributors - 0.0% (b)
Core-Mark Holding Co., Inc.		182		3,869
Diversified Consumer Services - 2.4%
Adtalem Global Education, Inc. *		4,885		232,282
American Public Education, Inc. *		2,716		116,788
Capella Education Co.		405		35,377
Career Education Corp. *		1,079		14,178

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

AQR Funds Semi-Annual Report March 2018

30

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Diversified Consumer Services - 2.4% (continued)
Grand Canyon Education, Inc. *		2,043	$	214,351
K12, Inc. *		733		10,394
Weight Watchers International, Inc. *		1,944		123,872
				747,242
Diversified Telecommunication Services - 0.2%
Vonage Holdings Corp. *		6,520		69,438
Electric Utilities - 0.2%
Spark Energy, Inc., Class A (a)		4,893		57,982
Electrical Equipment - 0.5%
Atkore International Group, Inc. *		697		13,835
Encore Wire Corp.		284		16,103
EnerSys		337		23,378
Sunrun, Inc. *(a)		10,665		95,238
				148,554
Electronic Equipment, Instruments & Components - 2.5%
AVX Corp.		825		13,654
Benchmark Electronics, Inc.		952		28,417
Control4 Corp. *		1,472		31,619
Electro Scientific Industries, Inc. *		2,787		53,873
ePlus, Inc. *		812		63,092
Fabrinet (Thailand) *		296		9,289
Insight Enterprises, Inc. *		755		26,372
KEMET Corp. *		3,493		63,328
Kimball Electronics, Inc. *		674		10,885
Methode Electronics, Inc.		2,163		84,573
PCM, Inc. *		1,392		11,554
Plexus Corp. *		496		29,626
Rogers Corp. *		558		66,703
Sanmina Corp. *		2,166		56,641
SYNNEX Corp.		277		32,797
Tech Data Corp. *		902		76,787
TTM Technologies, Inc. *		5,642		86,266
Vishay Intertechnology, Inc.		2,321		43,171
				788,647
Energy Equipment & Services - 0.4%
Fairmount Santrol Holdings, Inc. *		2,124		9,027
McDermott International, Inc. *		6,480		39,463
Smart Sand, Inc. *		2,117		12,321
Unit Corp. *		604		11,935
US Silica Holdings, Inc. (a)		2,186		55,787
				128,533
Equity Real Estate Investment Trusts (REITs) - 5.1%
Acadia Realty Trust		1,631		40,123
Agree Realty Corp.		839		40,306
Alexander & Baldwin, Inc.		767		17,741
American Assets Trust, Inc.		543		18,142
CareTrust REIT, Inc.		1,659		22,231
Chesapeake Lodging Trust		765		21,275
Cousins Properties, Inc.		4,398		38,175
DiamondRock Hospitality Co.		4,030		42,073
EastGroup Properties, Inc.		408		33,725
Education Realty Trust, Inc.		774		25,348
First Industrial Realty Trust, Inc.		1,565		45,745

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 5.1% (continued)
Four Corners Property Trust, Inc.		2,206	$	50,937
Franklin Street Properties Corp.		2,471		20,781
GEO Group, Inc. (The)		2,602		53,263
Global Net Lease, Inc.		840		14,179
Government Properties Income Trust		2,069		28,262
Gramercy Property Trust		2,337		50,783
Healthcare Realty Trust, Inc.		1,651		45,749
Kite Realty Group Trust		1,564		23,820
LaSalle Hotel Properties		1,494		43,341
Lexington Realty Trust		3,470		27,309
LTC Properties, Inc.		970		36,860
Mack-Cali Realty Corp.		1,735		28,992
Monmouth Real Estate Investment Corp.		2,604		39,164
National Health Investors, Inc.		742		49,929
National Storage Affiliates Trust		985		24,704
Pebblebrook Hotel Trust		1,063		36,514
Physicians Realty Trust		3,223		50,182
PotlatchDeltic Corp.		748		38,933
PS Business Parks, Inc.		158		17,860
QTS Realty Trust, Inc., Class A		828		29,990
Quality Care Properties, Inc. *		1,994		38,743
Retail Opportunity Investments Corp.		2,076		36,683
Rexford Industrial Realty, Inc.		1,175		33,828
RLJ Lodging Trust		2,059		40,027
Ryman Hospitality Properties, Inc.		689		53,363
Sabra Health Care REIT, Inc.		2,999		52,932
Select Income REIT		922		17,961
STAG Industrial, Inc.		1,114		26,647
Summit Hotel Properties, Inc.		2,091		28,458
Sunstone Hotel Investors, Inc.		3,628		55,218
Terreno Realty Corp.		1,043		35,994
Universal Health Realty Income Trust		126		7,573
Urban Edge Properties		1,525		32,559
Washington Prime Group, Inc.		4,119		27,474
Washington REIT		1,244		33,961
Xenia Hotels & Resorts, Inc.		1,802		35,535
				1,613,392
Food & Staples Retailing - 0.1%
Ingles Markets, Inc., Class A		436		14,759
Weis Markets, Inc.		629		25,776
				40,535
Food Products - 1.0%
Darling Ingredients, Inc. *		1,569		27,144
John B Sanfilippo & Son, Inc.		1,004		58,101
Sanderson Farms, Inc.		1,985		236,255
				321,500
Gas Utilities - 0.6%
ONE Gas, Inc.		1,128		74,471
Southwest Gas Holdings, Inc. *		943		63,775
WGL Holdings, Inc.		625		52,281
				190,527
Health Care Equipment & Supplies - 2.4%
Anika Therapeutics, Inc. *		509		25,307
Cutera, Inc. *		249		12,512
Globus Medical, Inc., Class A *		4,292		213,827

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

AQR Funds Semi-Annual Report March 2018

31

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Health Care Equipment & Supplies - 2.4% (continued)
Haemonetics Corp. *		774	$	56,626
Heska Corp. *		308		24,353
ICU Medical, Inc. *		129		32,559
Inogen, Inc. *		296		36,361
Insulet Corp. *		173		14,996
Integer Holdings Corp. *		185		10,462
iRadimed Corp. *		102		1,438
Lantheus Holdings, Inc. *		4,990		79,341
LeMaitre Vascular, Inc.		647		23,441
Masimo Corp. *		1,225		107,739
Merit Medical Systems, Inc. *		1,233		55,916
Novocure Ltd. *		467		10,181
NxStage Medical, Inc. *		937		23,294
OraSure Technologies, Inc. *		921		15,556
Pulse Biosciences, Inc. *(a)		726		9,823
				753,732
Health Care Providers & Services - 2.2%
Aceto Corp.		1,220		9,272
Amedisys, Inc. *		1,010		60,943
AMN Healthcare Services, Inc. *		3,796		215,423
Chemed Corp.		304		82,949
Diplomat Pharmacy, Inc. *		2,698		54,365
Magellan Health, Inc. *		187		20,028
Molina Healthcare, Inc. *		1,557		126,397
Select Medical Holdings Corp. *		871		15,025
Tivity Health, Inc. *		1,677		66,493
Triple-S Management Corp., Class B *		2,014		52,646
				703,541
Hotels, Restaurants & Leisure - 2.0%
Bloomin’ Brands, Inc.		1,971		47,856
Bojangles’, Inc. *		779		10,789
Brinker International, Inc.		1,313		47,399
Cracker Barrel Old Country Store, Inc. (a)		291		46,327
Dave & Buster’s Entertainment, Inc. *		1,721		71,834
Eldorado Resorts, Inc. *		1,760		58,080
ILG, Inc.		505		15,710
Marcus Corp. (The)		360		10,926
Marriott Vacations Worldwide Corp.		705		93,906
Penn National Gaming, Inc. *		3,783		99,342
Red Robin Gourmet Burgers, Inc. *		1,198		69,484
Ruth’s Hospitality Group, Inc.		1,008		24,646
Sonic Corp.		786		19,831
Texas Roadhouse, Inc.		529		30,566
				646,696
Household Durables - 1.9%
Bassett Furniture Industries, Inc.		396		12,019
Beazer Homes USA, Inc. *		763		12,170
Flexsteel Industries, Inc.		1,358		53,750
Hamilton Beach Brands Holding Co., Class A		1,568		33,273
Hooker Furniture Corp.		1,605		58,903
iRobot Corp. *		439		28,179
KB Home		2,196		62,476
La-Z-Boy, Inc.		3,449		103,298
M/I Homes, Inc. *		496		15,798
MDC Holdings, Inc.		3,011		84,067
Meritage Homes Corp. *		726		32,851

INVESTMENTS	SHARES		VALUE
Household Durables - 1.9% (continued)
Taylor Morrison Home Corp., Class A *		1,519	$	35,362
TopBuild Corp. *		772		59,073
ZAGG, Inc. *		1,173		14,311
				605,530
Insurance - 5.0%
American Equity Investment Life Holding Co.		4,847		142,308
AMERISAFE, Inc.		400		22,100
Argo Group International Holdings Ltd.		172		9,873
CNO Financial Group, Inc.		6,430		139,338
Employers Holdings, Inc.		3,538		143,112
Enstar Group Ltd. *		107		22,497
FBL Financial Group, Inc., Class A		241		16,713
Genworth Financial, Inc., Class A *		7,815		22,116
Heritage Insurance Holdings, Inc. (a)		1,800		27,288
Horace Mann Educators Corp.		702		30,011
James River Group Holdings Ltd.		384		13,621
Kemper Corp.		403		22,971
National General Holdings Corp.		482		11,717
National Western Life Group, Inc., Class A		318		96,952
Navigators Group, Inc. (The)		355		20,466
Primerica, Inc.		3,047		294,340
Selective Insurance Group, Inc.		1,957		118,790
Third Point Reinsurance Ltd. *		6,611		92,223
Trupanion, Inc. *		1,403		41,936
Universal Insurance Holdings, Inc.		8,880		283,272
				1,571,644
Internet & Direct Marketing Retail - 1.0%
1-800-Flowers.com, Inc., Class A *		3,766		44,439
Groupon, Inc. *		22,730		98,648
Nutrisystem, Inc.		3,511		94,621
PetMed Express, Inc. (a)		1,726		72,060
Shutterfly, Inc. *		258		20,963
				330,731
Internet Software & Services - 3.1%
Alarm.com Holdings, Inc. *		1,061		40,042
Appfolio, Inc., Class A *		315		12,868
Blucora, Inc. *		1,792		44,083
Care.com, Inc. *		572		9,306
Cars.com, Inc. *		999		28,302
Etsy, Inc. *		3,402		95,460
GrubHub, Inc. *(a)		2,605		264,329
j2 Global, Inc.		1,942		153,263
Meet Group, Inc. (The) *		8,317		17,383
NIC, Inc.		1,048		13,938
Nutanix, Inc., Class A *		289		14,193
Shutterstock, Inc. *		884		42,565
Stamps.com, Inc. *		748		150,385
Trade Desk, Inc. (The), Class A *		387		19,203
Web.com Group, Inc. *		615		11,132
Yelp, Inc. *		1,226		51,185
				967,637
IT Services - 1.7%
CACI International, Inc., Class A *		371		56,151
Convergys Corp.		4,838		109,435

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

AQR Funds Semi-Annual Report March 2018

32

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
IT Services - 1.7% (continued)
Hackett Group, Inc. (The)		2,379	$	38,207
MAXIMUS, Inc.		1,327		88,564
MoneyGram International, Inc. *		1,338		11,534
Sykes Enterprises, Inc. *		3,059		88,527
Syntel, Inc. *		3,111		79,424
Travelport Worldwide Ltd.		2,312		37,778
TTEC Holdings, Inc.		763		23,424
				533,044
Leisure Products - 1.0%
Johnson Outdoors, Inc., Class A		2,942		182,404
MCBC Holdings, Inc. *		1,437		36,212
Nautilus, Inc. *		4,275		57,499
Sturm Ruger & Co., Inc.		945		49,613
				325,728
Life Sciences Tools & Services - 0.2%
Cambrex Corp. *		1,145		59,884
Machinery - 3.1%
Alamo Group, Inc.		905		99,459
Altra Industrial Motion Corp.		302		13,877
Astec Industries, Inc.		615		33,936
Barnes Group, Inc.		1,408		84,325
Columbus McKinnon Corp.		1,084		38,851
EnPro Industries, Inc.		310		23,988
Federal Signal Corp.		721		15,876
FreightCar America, Inc.		704		9,434
Global Brass & Copper Holdings, Inc.		905		30,272
Greenbrier Cos., Inc. (The)		2,523		126,781
Hillenbrand, Inc.		567		26,025
Hyster-Yale Materials Handling, Inc.		327		22,867
John Bean Technologies Corp.		342		38,783
Kadant, Inc.		399		37,705
Kennametal, Inc.		363		14,578
Lydall, Inc. *		355		17,129
Meritor, Inc. *		9,214		189,440
Proto Labs, Inc. *		126		14,811
Spartan Motors, Inc.		3,098		53,286
Wabash National Corp.		4,183		87,048
				978,471
Media - 1.2%
Entravision Communications Corp., Class A		10,078		47,366
Gannett Co., Inc.		6,457		64,441
GCI Liberty, Inc., Class A *		330		17,444
Gray Television, Inc. *		8,944		113,589
Meredith Corp.		265		14,257
MSG Networks, Inc., Class A *		3,978		89,903
New York Times Co. (The), Class A		809		19,497
Scholastic Corp.		317		12,312
				378,809
Metals & Mining - 0.3%
Cleveland-Cliffs, Inc. *		9,478		65,872
Worthington Industries, Inc.		605		25,967
				91,839

INVESTMENTS	SHARES		VALUE
Mortgage Real Estate Investment Trusts (REITs) - 0.7%
Apollo Commercial Real Estate Finance, Inc.		1,855	$	33,353
Capstead Mortgage Corp.		1,660		14,359
CYS Investments, Inc.		5,712		38,385
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		1,329		25,915
Invesco Mortgage Capital, Inc.		3,132		51,302
PennyMac Mortgage Investment Trust		243		4,381
Redwood Trust, Inc.		2,616		40,470
				208,165
Multiline Retail - 0.1%
Big Lots, Inc.		563		24,507
Multi-Utilities - 0.4%
Avista Corp.		935		47,919
Black Hills Corp.		573		31,114
NorthWestern Corp.		698		37,552
				116,585
Oil, Gas & Consumable Fuels - 1.1%
Arch Coal, Inc., Class A		1,914		175,858
Jones Energy, Inc., Class A *		6,813		5,450
NACCO Industries, Inc., Class A		311		10,216
Peabody Energy Corp.		1,687		61,576
REX American Resources Corp. *		464		33,779
SandRidge Energy, Inc. *		2,411		34,984
W&T Offshore, Inc. *		3,885		17,211
				339,074
Paper & Forest Products - 1.4%
Boise Cascade Co.		2,748		106,073
KapStone Paper and Packaging Corp.		1,268		43,505
Louisiana-Pacific Corp.		8,164		234,878
Neenah, Inc.		279		21,873
PH Glatfelter Co.		622		12,770
Verso Corp., Class A *		1,832		30,851
				449,950
Personal Products - 0.7%
Medifast, Inc.		219		20,466
Natural Health Trends Corp.		1,126		21,405
USANA Health Sciences, Inc. *		2,021		173,604
				215,475
Pharmaceuticals - 3.1%
Aerie Pharmaceuticals, Inc. *		274		14,864
ANI Pharmaceuticals, Inc. *		292		17,000
Catalent, Inc. *		2,852		117,103
Corcept Therapeutics, Inc. *(a)		7,049		115,956
Horizon Pharma plc *		1,793		25,461
Innoviva, Inc. *(a)		4,650		77,516
Lannett Co., Inc. *(a)		4,215		67,651
MyoKardia, Inc. *		398		19,422
Nektar Therapeutics *		2,886		306,666
Pacira Pharmaceuticals, Inc. *		1,419		44,202
Phibro Animal Health Corp., Class A		1,471		58,399
Supernus Pharmaceuticals, Inc. *		2,289		104,836
				969,076

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

AQR Funds Semi-Annual Report March 2018

33

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Professional Services - 1.8%
Barrett Business Services, Inc.		1,074	$	89,013
CBIZ, Inc. *		831		15,166
ICF International, Inc.		362		21,159
Insperity, Inc.		3,096		215,327
Kelly Services, Inc., Class A		1,684		48,903
Korn/Ferry International		558		28,787
On Assignment, Inc. *		801		65,586
RPX Corp.		1,714		18,323
TrueBlue, Inc. *		2,521		65,294
Willdan Group, Inc. *		461		13,069
				580,627
Real Estate Management & Development - 0.2%
HFF, Inc., Class A		1,456		72,363
Road & Rail - 1.5%
ArcBest Corp.		915		29,326
Avis Budget Group, Inc. *		2,136		100,050
Knight-Swift Transportation Holdings, Inc.		706		32,483
Marten Transport Ltd.		1,375		31,350
Saia, Inc. *		2,814		211,472
Werner Enterprises, Inc.		1,491		54,422
				459,103
Semiconductors & Semiconductor Equipment - 4.1%
Advanced Energy Industries, Inc. *		2,608		166,651
Alpha & Omega Semiconductor Ltd. *		908		14,029
Ambarella, Inc. *		263		12,884
Amkor Technology, Inc. *		11,495		116,444
AXT, Inc. *		1,243		9,012
Brooks Automation, Inc.		1,587		42,976
Cabot Microelectronics Corp.		1,094		117,178
Cirrus Logic, Inc. *		3,368		136,842
Entegris, Inc.		4,311		150,023
Ichor Holdings Ltd. *		1,573		38,082
Integrated Device Technology, Inc. *		1,046		31,966
MKS Instruments, Inc.		1,640		189,666
Monolithic Power Systems, Inc.		99		11,461
Photronics, Inc. *		1,645		13,571
Power Integrations, Inc.		244		16,677
Rudolph Technologies, Inc. *		1,473		40,802
Silicon Laboratories, Inc. *		414		37,219
SunPower Corp. *(a)		2,814		22,456
Synaptics, Inc. *		1,697		77,604
Ultra Clean Holdings, Inc. *		3,194		61,485
				1,307,028
Software - 3.5%
ACI Worldwide, Inc. *		900		21,348
Aspen Technology, Inc. *		939		74,078
Blackbaud, Inc.		572		58,235
Callidus Software, Inc. *		993		35,698
Ebix, Inc.		1,820		135,590
Ellie Mae, Inc. *		472		43,396
Fair Isaac Corp. *		850		143,964
Imperva, Inc. *		420		18,186
MicroStrategy, Inc., Class A *		227		29,281
Mitek Systems, Inc. *		3,083		22,814
Paycom Software, Inc. *(a)		1,238		132,949

INVESTMENTS	SHARES		VALUE
Software - 3.5% (continued)
Pegasystems, Inc.		1,654	$	100,315
Progress Software Corp.		1,383		53,176
Qualys, Inc. *		1,577		114,727
RingCentral, Inc., Class A *		775		49,213
Synchronoss Technologies, Inc. *		1,583		16,701
Verint Systems, Inc. *		1,235		52,611
Zix Corp. *		3,931		16,785
				1,119,067
Specialty Retail - 2.8%
Aaron’s, Inc.		454		21,156
Asbury Automotive Group, Inc. *		552		37,260
Buckle, Inc. (The) (a)		3,083		68,288
Caleres, Inc.		1,977		66,427
Cato Corp. (The), Class A		2,006		29,568
Chico’s FAS, Inc.		4,738		42,832
Children’s Place, Inc. (The)		1,183		160,001
Citi Trends, Inc.		707		21,853
DSW, Inc., Class A		1,244		27,940
Finish Line, Inc. (The), Class A		7,570		102,498
Five Below, Inc. *		736		53,978
Genesco, Inc. *		863		35,038
Group 1 Automotive, Inc.		480		31,363
Haverty Furniture Cos., Inc.		511		10,297
Hibbett Sports, Inc. *		1,442		34,536
Lithia Motors, Inc., Class A		116		11,660
Office Depot, Inc.		15,558		33,450
Restoration Hardware Holdings, Inc. *		170		16,198
Sleep Number Corp. *		1,258		44,219
Sportsman’s Warehouse Holdings, Inc. *		2,998		12,232
Zumiez, Inc. *		675		16,133
				876,927
Textiles, Apparel & Luxury Goods - 1.3%
Columbia Sportswear Co.		311		23,770
Deckers Outdoor Corp. *		2,293		206,439
Movado Group, Inc.		2,301		88,358
Oxford Industries, Inc.		544		40,561
Steven Madden Ltd.		612		26,867
Vera Bradley, Inc. *		2,343		24,859
Wolverine World Wide, Inc.		425		12,282
				423,136
Thrifts & Mortgage Finance - 4.3%
BofI Holding, Inc. *		7,508		304,299
Dime Community Bancshares, Inc.		671		12,346
Essent Group Ltd. *		744		31,665
Federal Agricultural Mortgage Corp., Class C		611		53,169
First Defiance Financial Corp.		718		41,156
Flagstar Bancorp, Inc. *		364		12,886
HomeStreet, Inc. *		756		21,659
Meta Financial Group, Inc.		670		73,164
MGIC Investment Corp. *		17,060		221,780
Oritani Financial Corp.		820		12,587
Provident Financial Services, Inc.		940		24,055
Radian Group, Inc.		11,792		224,520
United Financial Bancorp, Inc.		672		10,886
Walker & Dunlop, Inc.		3,836		227,935

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

AQR Funds Semi-Annual Report March 2018

34

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Thrifts & Mortgage Finance - 4.3% (continued)
Washington Federal, Inc.		1,812	$	62,695
WSFS Financial Corp.		309		14,801
				1,349,603
Tobacco - 0.1%
Universal Corp.		169		8,197
Vector Group Ltd.		811		16,536
				24,733
Trading Companies & Distributors - 2.1%
Applied Industrial Technologies, Inc.		193		14,070
Beacon Roofing Supply, Inc. *		1,445		76,686
BMC Stock Holdings, Inc. *		2,139		41,818
CAI International, Inc. *		3,679		78,216
DXP Enterprises, Inc. *		933		36,340
GATX Corp.		1,682		115,200
GMS, Inc. *		1,673		51,127
H&E Equipment Services, Inc.		1,482		57,042
Rush Enterprises, Inc., Class A *		1,355		57,574
Titan Machinery, Inc. *		554		13,052
Triton International Ltd.		4,165		127,449
				668,574
Water Utilities - 0.3%
American States Water Co.		208		11,037
SJW Group		1,406		74,110
				85,147
Wireless Telecommunication Services - 0.1%
Shenandoah Telecommunications Co.		760		27,360
TOTAL COMMON STOCKS (Cost $24,978,648)				30,287,174
PREFERRED STOCKS - 0.0% (b)
Media - 0.0% (b)
GCI Liberty, Inc., Series A, 5.00%, 3/10/2039 *(c) (Cost $903)		105		2,452
EXCHANGE TRADED FUNDS - 2.9%
iShares Russell 2000 ETF (Cost $841,247)		5,938		901,567
	NO. OF RIGHTS
RIGHTS - 0.0% (b)
Media - 0.0% (b)
Media General, Inc., CVR (3)*(d) (Cost $221)		744		13
	SHARES
SHORT-TERM INVESTMENTS - 1.7%
Investment Companies - 1.7%
Limited Purpose Cash Investment Fund, 1.53% (2)(e)
(Cost $526,663)		526,825		526,719

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 3.7%
Investment Companies - 3.7%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(e)(f)		139,189	$	139,189
Limited Purpose Cash Investment Fund 1.53% (2)(e)(f)		1,040,327		1,040,327
TOTAL SECURITIES LENDING COLLATERAL (Cost $1,179,516)				1,179,516
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 104.1% (Cost $27,527,198)				32,897,441
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.1)%			(1,294,037)
NET ASSETS - 100.0%			$	31,603,404

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	5,109,461			16.2	%
Consumer Staples		1,168,343			3.7
Energy		467,607			1.5
Exchange Traded Funds		901,567			2.9
Financials		6,043,597			19.1
Health Care		4,338,352			13.7
Industrials		4,868,798			15.4
Information Technology		4,843,434			15.3
Materials		1,217,253			3.9
Real Estate		1,685,755			5.3
Telecommunication Services		96,798			0.3
Utilities		450,241			1.4
Short-Term Investments		526,719			1.7
Securities Lending Collateral		1,179,516			3.7
Total Investments In Securities At Value		32,897,441			104.1
Liabilities in Excess of Other Assets		(1,294,037	)		(4.1	)
Net Assets	$	31,603,404			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $1,166,037.

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

(c) Perpetual security. The rate reflected was the rate in effect on March 31, 2018. The maturity date reflects the next call date.

(d) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at March 31, 2018 amounted to $13, which represents approximately 0.00% of net assets of the fund.

(e) Represents 7-day effective yield as of March 31, 2018.

(f) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

AQR Funds Semi-Annual Report March 2018

35

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MULTI-STYLE FUND

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 4).

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

Abbreviations

CVR – Contingent Value Rights

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

AQR Funds Semi-Annual Report March 2018

36

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.0%
Australia - 6.6%
Amcor Ltd.		10,220	$	111,912
Aristocrat Leisure Ltd.		92,558		1,728,107
Australia & New Zealand Banking Group Ltd.		5,189		108,001
BHP Billiton Ltd.		31,889		706,836
BHP Billiton plc		44,642		882,269
BlueScope Steel Ltd.		63,140		742,853
CIMIC Group Ltd.		19,409		668,011
Coca-Cola Amatil Ltd.		8,842		59,209
Cochlear Ltd.		3,464		486,510
CSL Ltd.		4,834		582,394
Dexus, REIT		33,527		241,419
Flight Centre Travel Group Ltd.		11,784		518,752
Fortescue Metals Group Ltd.		546,924		1,842,411
Goodman Group, REIT		30,886		200,824
GPT Group (The), REIT		19,876		72,846
Macquarie Group Ltd.		5,407		431,139
Newcrest Mining Ltd.		21,994		331,727
Scentre Group, REIT		71,981		212,409
South32 Ltd.		565,481		1,421,153
TPG Telecom Ltd.		29,901		127,042
Treasury Wine Estates Ltd.		62,484		816,369
Woodside Petroleum Ltd.		2,642		59,913
				12,352,106
Belgium - 1.4%
Ageas		17,982		927,952
Groupe Bruxelles Lambert SA		1,467		167,786
KBC Group NV		9,435		821,590
UCB SA		3,823		311,339
Umicore SA		8,430		446,581
				2,675,248
Canada - 7.0%
Alimentation Couche-Tard, Inc., Class B (1)		5,822		260,608
Bank of Montreal (1)		8,976		678,033
Bank of Nova Scotia (The) (1)		20,419		1,257,773
Canadian Imperial Bank of Commerce (1)		5,176		456,875
Canadian Tire Corp. Ltd., Class A (1)		2,858		375,787
CCL Industries, Inc., Class B (1)		2,455		123,936
CGI Group, Inc., Class A (1)*		11,232		647,757
CI Financial Corp. (1)		3,219		68,960
Constellation Software, Inc. (1)		288		195,409
Dollarama, Inc. (1)		1,471		178,778
Franco-Nevada Corp. (1)		1,696		115,713
Great-West Lifeco, Inc. (1)		2,283		58,264
Kinross Gold Corp. (1)*		157,530		622,368
Linamar Corp. (1)		1,968		107,508
Magna International, Inc. (1)		22,614		1,273,798
Methanex Corp. (1)		1,331		80,634
Open Text Corp. (1)		19,814		689,303
Royal Bank of Canada (1)		22,603		1,745,994
Shopify, Inc., Class A (1)*		3,699		460,297
Teck Resources Ltd., Class B (1)		41,135		1,059,385
Toronto-Dominion Bank (The) (1)		27,150		1,540,682
West Fraser Timber Co. Ltd. (1)		16,907		1,123,459
				13,121,321

INVESTMENTS	SHARES		VALUE
China - 0.9%
BOC Hong Kong Holdings Ltd.		108,500	$	532,277
Yangzijiang Shipbuilding Holdings Ltd.		1,204,100		1,121,479
				1,653,756
Denmark - 1.5%
Danske Bank A/S		9,634		360,970
DSV A/S		6,997		552,402
Genmab A/S *		618		133,145
H Lundbeck A/S		2,444		137,271
Novo Nordisk A/S, Class B		19,683		968,124
Pandora A/S		1,912		206,871
TDC A/S *		8,905		73,792
Vestas Wind Systems A/S		3,906		279,482
				2,712,057
Finland - 1.4%
Neste OYJ		30,933		2,153,092
Nokia OYJ		42,143		232,719
UPM-Kymmene OYJ *		4,325		160,344
				2,546,155
France - 8.9%
Aeroports de Paris		2,164		471,453
Airbus SE		1,221		141,340
Atos SE		8,563		1,173,210
AXA SA		19,281		512,547
BNP Paribas SA		19,830		1,470,607
Bouygues SA		2,613		131,011
Cie Generale des Etablissements Michelin SCA		6,126		906,910
CNP Assurances		68,834		1,737,660
Eutelsat Communications SA		15,264		302,539
Gecina SA, REIT		483		83,816
L’Oreal SA		8,089		1,826,971
Peugeot SA		54,305		1,307,631
Renault SA		1,095		132,876
Sanofi		2,650		212,636
Societe BIC SA		2,610		259,449
Societe Generale SA		12,656		687,352
Sodexo SA		4,590		461,974
Thales SA		8,824		1,074,970
TOTAL SA		56,173		3,219,820
Unibail-Rodamco SE, REIT		333		76,106
Valeo SA		4,895		323,805
				16,514,683
Germany - 8.9%
adidas AG		5,496		1,337,163
Allianz SE (Registered)		7,880		1,781,331
BASF SE		3,493		354,251
Bayer AG (Registered)		3,683		415,198
Bayerische Motoren Werke AG		1,841		200,245
Covestro AG(a)		24,688		2,430,956
Daimler AG (Registered) *		7,387		629,373
Deutsche Boerse AG		2,105		287,761
Deutsche Lufthansa AG (Registered)		78,336		2,504,207
Deutsche Post AG (Registered)		7,039		308,303
Fraport AG Frankfurt Airport Services Worldwide		539		53,195

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

AQR Funds Semi-Annual Report March 2018

37

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Germany - 8.9% (continued)
Fresenius SE & Co. KGaA		2,780	$	212,572
Hannover Rueck SE		3,453		471,100
HeidelbergCement AG		548		53,837
Henkel AG & Co. KGaA (Preference)		3,247		426,828
HOCHTIEF AG		489		91,408
HUGO BOSS AG		645		56,190
Infineon Technologies AG		49,167		1,322,260
Linde AG *		1,919		405,503
MAN SE		1,137		132,585
METRO AG		13,921		246,267
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		4,607		1,071,319
SAP SE		6,543		686,896
Schaeffler AG (Preference)		3,410		52,664
Siemens AG (Registered)		7,130		909,769
Volkswagen AG (Preference)		334		66,571
Vonovia SE		3,353		166,275
				16,674,027
Hong Kong - 3.1%
CK Asset Holdings Ltd.		13,000		109,708
CLP Holdings Ltd.		124,000		1,264,305
Galaxy Entertainment Group Ltd.		41,000		376,326
Henderson Land Development Co. Ltd.		13,000		85,242
Hong Kong Exchanges & Clearing Ltd.		13,300		438,063
Kerry Properties Ltd.		36,000		162,792
Li & Fung Ltd.		268,000		132,118
Link REIT		13,000		111,432
NWS Holdings Ltd.		31,000		56,465
PCCW Ltd.		30,000		17,411
SJM Holdings Ltd.		703,000		615,894
Sun Hung Kai Properties Ltd.		30,000		476,189
WH Group Ltd. (a)		1,264,500		1,354,893
Wheelock & Co. Ltd.		28,000		205,381
Yue Yuen Industrial Holdings Ltd.		95,500		382,618
				5,788,837
Italy - 0.5%
Enel SpA		116,795		714,693
Eni SpA		11,419		201,149
Intesa Sanpaolo SpA		22,025		80,193
				996,035
Japan - 21.5%
Acom Co. Ltd. (1)*		16,500		73,502
AEON Financial Service Co. Ltd. (1)		800		18,383
Amada Holdings Co. Ltd. (1)		15,400		186,991
Aozora Bank Ltd. (1)		9,800		390,047
Asahi Kasei Corp. (1)		95,000		1,249,048
Astellas Pharma, Inc. (1)		11,100		168,370
Bandai Namco Holdings, Inc. (1)		6,900		226,639
Bridgestone Corp. (1)		2,800		121,678
Brother Industries Ltd. (1)		11,500		267,276
Credit Saison Co. Ltd. (1)		2,900		47,613
Dai-ichi Life Holdings, Inc. (1)		6,600		120,488
Daikin Industries Ltd. (1)		700		77,200
Daiwa House Industry Co. Ltd. (1)		4,400		169,541
Disco Corp. (1)		1,300		280,391
Fujitsu Ltd. (1)		126,000		775,385

INVESTMENTS	SHARES		VALUE
Japan - 21.5% (continued)
Hino Motors Ltd. (1)		5,600	$	72,049
Hitachi Chemical Co. Ltd. (1)		8,800		200,554
Hitachi High-Technologies Corp. (1)		12,500		594,427
Hitachi Ltd. (1)		232,000		1,680,613
Hoya Corp. (1)		2,100		104,699
ITOCHU Corp. (1)		65,300		1,268,197
Japan Airlines Co. Ltd. (1)		44,900		1,806,887
Japan Real Estate Investment Corp., REIT (1)		15		77,675
Japan Tobacco, Inc. (1)		7,900		227,634
Kajima Corp. (1)		17,000		157,690
Kansai Electric Power Co., Inc. (The) (1)		4,500		57,812
Kao Corp. (1)		16,900		1,267,599
KDDI Corp. (1)		92,800		2,369,166
Kirin Holdings Co. Ltd. (1)		22,400		596,288
Konami Holdings Corp. (1)		28,200		1,481,491
Kuraray Co. Ltd. (1)		12,200		207,299
Kyocera Corp. (1)		4,600		259,559
Kyushu Railway Co. (1)		10,600		329,740
Marubeni Corp. (1)		221,400		1,601,953
Mazda Motor Corp. (1)		59,000		779,883
McDonald’s Holdings Co. Japan Ltd. (1)		1,200		56,163
Mitsubishi Chemical Holdings Corp. (1)		32,800		317,658
Mitsubishi Electric Corp. (1)		67,200		1,074,581
Mitsubishi Estate Co. Ltd. (1)		9,000		152,122
Mitsubishi Gas Chemical Co., Inc. (1)		32,400		776,163
Mitsubishi Tanabe Pharma Corp. (1)		17,900		349,908
Mitsubishi UFJ Financial Group, Inc. (1)		123,200		807,015
Mitsui Fudosan Co. Ltd. (1)		7,000		169,828
Mixi, Inc. (1)		6,400		236,380
Mizuho Financial Group, Inc. (1)		396,000		712,320
Nexon Co. Ltd. (1)*		111,200		1,839,312
Nippon Electric Glass Co. Ltd. (1)		2,400		71,275
Nippon Express Co. Ltd. (1)		9,700		649,067
Nippon Telegraph & Telephone Corp. (1)		30,100		1,386,119
Nomura Real Estate Holdings, Inc. (1)		2,700		63,741
Nomura Real Estate Master Fund, Inc., REIT (1)		65		89,676
NTT DOCOMO, Inc. (1)		10,400		265,510
Obayashi Corp. (1)		46,000		503,209
Oji Holdings Corp. (1)		63,000		404,981
Omron Corp. (1)		1,100		64,715
Resona Holdings, Inc. (1)		172,800		912,679
Rohm Co. Ltd. (1)		3,000		285,607
Sekisui House Ltd. (1)		4,400		80,305
Shin-Etsu Chemical Co. Ltd. (1)		5,300		548,156
Shinsei Bank Ltd. (1)		6,900		106,089
Shionogi & Co. Ltd. (1)		8,000		412,838
Sony Corp. (1)		23,000		1,112,335
Sumitomo Corp. (1)		25,200		424,164
Sumitomo Heavy Industries Ltd. (1)		20,900		792,552
Sumitomo Mitsui Financial Group, Inc. (1)		25,200		1,055,792
Suzuki Motor Corp. (1)		27,000		1,453,973
Taisei Corp. (1)		10,400		527,795
Tokyo Electron Ltd. (1)		11,100		2,087,933
Toshiba Corp. (1)*		71,000		205,517
Toyo Seikan Group Holdings Ltd. (1)		5,000		74,339
West Japan Railway Co. (1)		800		55,870

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

AQR Funds Semi-Annual Report March 2018

38

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 21.5% (continued)
Yahoo Japan Corp. (1)		12,000	$	55,712
Yokogawa Electric Corp. (1)		27,500		568,065
				40,063,231
Macau - 0.2%
Sands China Ltd.		61,600		334,755
Netherlands - 5.2%
Akzo Nobel NV		1,675		158,259
ASML Holding NV		3,440		682,130
ING Groep NV		38,548		650,506
Koninklijke Ahold Delhaize NV		24,037		569,579
Koninklijke Philips NV		6,106		233,811
NN Group NV		31,476		1,398,478
Randstad Holding NV		3,125		205,813
Royal Dutch Shell plc, Class A		77,365		2,447,713
Royal Dutch Shell plc, Class B		41,664		1,340,682
Wolters Kluwer NV		37,405		1,989,381
				9,676,352
Singapore - 0.8%
CapitaLand Commercial Trust, REIT		70,800		99,246
ComfortDelGro Corp. Ltd.		35,500		55,728
DBS Group Holdings Ltd.		6,700		141,520
Genting Singapore plc		1,346,800		1,117,068
United Overseas Bank Ltd.		4,900		103,107
				1,516,669
South Africa - 0.6%
Investec plc		59,417		459,193
Mondi plc		27,072		727,644
				1,186,837
Spain - 2.7%
Aena SME SA (a)		12,640		2,548,774
Banco Santander SA		147,066		962,603
Endesa SA		12,688		279,519
Iberdrola SA		59,296		436,027
Repsol SA		49,991		888,622
				5,115,545
Sweden - 2.2%
Electrolux AB, Series B		37,449		1,182,622
Essity AB, Class B *		37,151		1,029,572
ICA Gruppen AB		2,517		89,236
Investor AB, Class B		2,740		121,721
Sandvik AB		31,328		573,967
Securitas AB, Class B		10,323		175,765
Swedish Match AB		1,210		54,834
Telefonaktiebolaget LM Ericsson, Class B		21,784		138,720
Volvo AB, Class B		36,137		661,465
				4,027,902
Switzerland - 8.0%
ABB Ltd. (Registered)		21,087		501,411
Adecco Group AG (Registered)		6,233		443,977
Baloise Holding AG (Registered)		3,966		606,733
Cie Financiere Richemont SA (Registered)		3,069		275,786
Coca-Cola HBC AG *		14,323		530,047
Givaudan SA (Registered)		125		285,168

INVESTMENTS	SHARES		VALUE
Switzerland - 8.0% (continued)
Lonza Group AG (Registered) *		814	$	191,973
Nestle SA (Registered)		33,532		2,650,420
Novartis AG (Registered)		26,609		2,152,159
Roche Holding AG		10,719		2,458,908
SGS SA (Registered)		237		583,003
Sika AG		36		282,390
Sonova Holding AG (Registered)		1,282		203,816
STMicroelectronics NV		47,763		1,062,905
Straumann Holding AG (Registered)		383		241,651
Swiss Life Holding AG (Registered) *		2,494		888,781
Swiss Re AG		5,608		572,390
Zurich Insurance Group AG *		3,031		999,813
				14,931,331
United Kingdom - 13.5%
3i Group plc		6,980		84,248
Anglo American plc		55,511		1,293,110
Ashtead Group plc		19,007		518,259
BAE Systems plc		14,596		119,420
Barclays plc		91,428		267,162
Barratt Developments plc		161,102		1,198,811
Berkeley Group Holdings plc		25,088		1,333,666
BP plc		114,815		774,439
British American Tobacco plc		25,048		1,447,946
British Land Co. plc (The), REIT		9,564		86,213
BT Group plc		328,797		1,049,458
Burberry Group plc		3,113		74,203
Compass Group plc		37,655		768,876
Diageo plc		5,686		192,299
Fiat Chrysler Automobiles NV *		112,865		2,302,028
Hammerson plc, REIT		10,122		76,302
HSBC Holdings plc		310,411		2,914,980
Imperial Brands plc		10,124		344,717
International Consolidated Airlines Group SA		37,961		328,661
J Sainsbury plc		101,891		341,792
Kingfisher plc		113,661		466,272
Land Securities Group plc, REIT		6,550		86,178
Legal & General Group plc		91,772		332,513
Lloyds Banking Group plc		305,356		277,760
London Stock Exchange Group plc		3,501		202,718
Marks & Spencer Group plc		128,211		487,004
Next plc		14,776		987,761
Persimmon plc		42,836		1,520,346
Prudential plc		24,067		601,403
RELX NV		10,814		224,162
RELX plc		7,916		162,609
Rio Tinto Ltd.		3,006		170,297
Rio Tinto plc		11,806		599,084
Royal Mail plc		6,552		49,728
Segro plc, REIT		68,409		577,333
Sky plc		10,586		192,793
Standard Chartered plc		24,171		242,251
Taylor Wimpey plc		166,167		430,489
Travis Perkins plc		4,293		74,432
Unilever NV, CVA		17,481		986,723
Unilever plc		12,180		675,534
Wm Morrison Supermarkets plc		81,409		244,257
				25,108,237

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

AQR Funds Semi-Annual Report March 2018

39

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
United States - 1.1%
Shire plc		9,516	$	473,610
Valeant Pharmaceuticals International, Inc. (1)*		94,222		1,499,975
				1,973,585
TOTAL COMMON STOCKS (Cost $146,381,737)				178,968,669
SHORT-TERM INVESTMENTS - 2.8%
Investment Companies - 2.8%
Limited Purpose Cash Investment Fund, 1.53% (b)
(Cost $5,275,027)		5,276,173		5,275,118
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.8% (Cost $151,656,764)				184,243,787
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.2% (c)			2,218,637
NET ASSETS - 100.0%			$	186,462,424

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	28,177,952		15.1	%
Consumer Staples		16,239,623		8.7
Energy		11,085,431		5.9
Financials		33,766,033		18.1
Health Care		11,950,909		6.4
Industrials		27,705,548		14.9
Information Technology		17,839,746		9.6
Materials		20,310,276		10.9
Real Estate		3,852,295		2.1
Telecommunication Services		5,288,499		2.8
Utilities		2,752,357		1.5
Short-Term Investments		5,275,118		2.8
Total Investments In Securities At Value		184,243,787		98.8
Other Assets in Excess of Liabilities (c)		2,218,637		1.2
Net Assets	$	186,462,424		100.0	%

* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at March 31, 2018 amounted to $6,334,623, which represents approximately 3.40% of net assets of the fund.

(b) Represents 7-day effective yield as of March 31, 2018.

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

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

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

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

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

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index		49	6/2018	USD		$4,901,470		$(65,774	)
								$(65,774	)

USD - United States Dollar

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

AQR Funds Semi-Annual Report March 2018

40

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MULTI-STYLE FUND

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$334,257		$334,257

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

AQR Funds Semi-Annual Report March 2018

41

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.1%
Brazil - 8.0%
Ambev SA, ADR		559,013	$	4,064,026
Banco Bradesco SA, ADR *		277,339		3,294,787
Banco do Brasil SA *		33,500		419,479
Banco Santander Brasil SA, ADR (a)		64,792		778,800
Braskem SA (Preference), Class A		242,800		3,530,085
Cia de Saneamento Basico do Estado de Sao Paulo, ADR *		78,181		827,937
Embraer SA, ADR		7,771		202,046
Fibria Celulose SA		25,800		505,849
Itau Unibanco Holding SA, ADR		220,423		3,438,599
Itausa - Investimentos Itau SA (Preference)		461,000		1,925,575
M Dias Branco SA *		68,800		1,062,806
Petroleo Brasileiro SA (Preference) *		119,700		776,258
Porto Seguro SA *		12,100		177,535
Qualicorp SA		145,500		986,321
Sul America SA *		191,985		1,276,430
Suzano Papel e Celulose SA *		242,200		2,456,883
TIM Participacoes SA, ADR *		157,197		3,406,459
Vale SA, ADR *		56,056		713,032
				29,842,907
Chile - 2.1%
Banco de Chile, ADR		3,237		325,577
Banco de Credito e Inversiones SA		2,374		176,110
Banco Santander Chile, ADR		22,845		765,536
Cencosud SA		524,903		1,606,260
Cia Cervecerias Unidas SA, ADR		25,578		752,249
Empresas CMPC SA		80,523		306,585
Empresas COPEC SA		11,712		183,858
Enel Americas SA, ADR		104,109		1,209,747
Enel Chile SA, ADR		60,109		384,698
Itau CorpBanca		15,061,686		144,656
Latam Airlines Group SA, ADR (a)		70,589		1,086,365
Sociedad Quimica y Minera de Chile SA, ADR (a)		18,934		930,606
				7,872,247
China - 27.2%
58.com, Inc., ADR *		5,066		404,571
Agricultural Bank of China Ltd., Class H (2)		2,965,000		1,702,632
Air China Ltd., Class H (2)		1,302,000		1,681,445
Alibaba Group Holding Ltd., ADR *		78,028		14,321,259
Anhui Conch Cement Co. Ltd., Class H (2)		229,000		1,260,179
ANTA Sports Products Ltd. (2)		45,000		229,716
Baidu, Inc., ADR *		18,474		4,123,212
Bank of China Ltd., Class H (2)		3,953,000		2,159,364
China Communications Services Corp. Ltd., Class H (2)		1,282,000		771,391
China Construction Bank Corp., Class H (2)		6,795,000		7,097,405
China Everbright Bank Co. Ltd., Class H (2)		234,000		113,369
China Evergrande Group (2)*(a)		786,000		2,512,309
China Huarong Asset Management Co. Ltd., Class H (2)(b)		788,000		334,026

INVESTMENTS	SHARES		VALUE
China - 27.2% (continued)
China Merchants Bank Co. Ltd., Class H (2)		621,000	$	2,577,690
China Minsheng Banking Corp. Ltd., Class H (2)		267,500		262,362
China Mobile Ltd. (2)		39,500		362,033
China Overseas Land & Investment Ltd. (2)		400,000		1,402,716
China Resources Beer Holdings Co. Ltd. (2)		228,000		993,906
China Resources Land Ltd. (2)		302,000		1,109,748
China Shenhua Energy Co. Ltd., Class H (2)		334,000		838,250
China Southern Airlines Co. Ltd., Class H (2)		1,254,000		1,310,510
China Vanke Co. Ltd., Class H (2)		373,700		1,720,752
Chongqing Rural Commercial Bank Co. Ltd., Class H (2)		1,340,000		1,035,837
CNOOC Ltd., ADR		9,769		1,444,542
Country Garden Holdings Co. Ltd. (2)		1,935,000		4,039,912
CSPC Pharmaceutical Group Ltd. (2)		370,000		997,340
Ctrip.com International Ltd., ADR *		22,693		1,057,948
Far East Horizon Ltd. (2)		178,000		189,055
Geely Automobile Holdings Ltd. (2)		2,293,000		6,719,037
Great Wall Motor Co. Ltd., Class H (2)		1,137,500		1,152,849
Industrial & Commercial Bank of China Ltd., Class H (2)		5,453,000		4,752,213
JD.com, Inc., ADR *		46,823		1,895,863
Kingsoft Corp. Ltd. (2)		90,000		289,932
NetEase, Inc., ADR		5,427		1,521,677
New Oriental Education & Technology Group, Inc., ADR		8,807		771,934
People’s Insurance Co. Group of China Ltd. (The), Class H (2)		923,000		436,531
PICC Property & Casualty Co. Ltd., Class H (2)		194,000		342,804
Ping An Insurance Group Co. of China Ltd., Class H (2)		225,500		2,325,058
Sihuan Pharmaceutical Holdings Group Ltd. (2)		408,000		122,005
SINA Corp. *		4,017		418,853
Sinopec Shanghai Petrochemical Co. Ltd., Class H (2)		2,718,000		1,660,830
TAL Education Group, ADR		17,856		662,279
Tencent Holdings Ltd. (2)		314,700		16,892,961
Tingyi Cayman Islands Holding Corp. (2)		284,000		590,383
TravelSky Technology Ltd., Class H (2)		634,000		1,851,843
Tsingtao Brewery Co. Ltd., Class H (2)		66,000		346,615
Vipshop Holdings Ltd., ADR *		27,558		458,014
Weibo Corp., ADR *		2,989		357,305
Weichai Power Co. Ltd., Class H (2)(a)		1,107,000		1,251,959
Yum China Holdings, Inc.		27,400		1,137,100
				102,011,524
Hong Kong - 1.8%
Haier Electronics Group Co. Ltd. (2)*		374,000		1,340,852
Nine Dragons Paper Holdings Ltd. (2)		2,179,000		3,302,498
Sino Biopharmaceutical Ltd. (2)		859,000		1,707,170
Sun Art Retail Group Ltd. (2)		485,500		568,139
				6,918,659
Hungary - 0.4%
MOL Hungarian Oil & Gas plc (2)		59,392		648,008
Richter Gedeon Nyrt (2)		33,207		693,946
				1,341,954

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

AQR Funds Semi-Annual Report March 2018

42

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
India - 6.9%
ACC Ltd. (2)		4,661	$	108,270
Aurobindo Pharma Ltd. (2)		61,021		525,748
Axis Bank Ltd., GDR (2)(c)		12,578		499,687
Dr Reddy’s Laboratories Ltd., ADR		22,171		724,770
Glenmark Pharmaceuticals Ltd. (2)		20,464		166,057
HCL Technologies Ltd. (2)		7,863		116,945
Hero MotoCorp Ltd. (2)		6,797		371,050
Hindustan Unilever Ltd. (2)		35,167		721,909
ICICI Bank Ltd., ADR		408,800		3,617,880
Indian Oil Corp. Ltd. (2)		228,624		623,420
Infosys Ltd., ADR(a)		346,749		6,189,469
Larsen & Toubro Ltd., GDR (2)(c)		12,700		255,882
Power Finance Corp. Ltd. (2)		239,738		316,971
Reliance Industries Ltd., GDR (2)(b)		93,333		2,538,303
State Bank of India, GDR (2)(c)		17,363		670,530
Tata Consultancy Services Ltd. (2)		55,731		2,442,125
Tata Motors Ltd., ADR *		61,993		1,593,220
Tech Mahindra Ltd. (2)		160,484		1,577,798
United Spirits Ltd. (2)*		11,579		559,886
Vedanta Ltd., ADR		12,464		218,992
Wipro Ltd., ADR (a)		380,059		1,961,104
				25,800,016
Indonesia - 2.0%
Adaro Energy Tbk. PT (2)		7,216,500		1,124,401
Bank Central Asia Tbk. PT (2)		381,700		648,427
Bank Mandiri Persero Tbk. PT (2)		680,700		381,704
Bank Negara Indonesia Persero Tbk. PT (2)		190,100		120,389
Bank Rakyat Indonesia Persero Tbk. PT (2)*		6,853,500		1,798,629
Gudang Garam Tbk. PT (2)		49,400		260,866
Indofood CBP Sukses Makmur Tbk. PT (2)		220,500		132,780
Indofood Sukses Makmur Tbk. PT (2)		337,800		177,094
Telekomunikasi Indonesia Persero Tbk. PT (2)		6,637,200		1,745,286
United Tractors Tbk. PT (2)		478,300		1,115,866
				7,505,442
Malaysia - 3.3%
AirAsia Bhd.		2,300,208		2,337,078
CIMB Group Holdings Bhd.		76,600		142,387
Genting Bhd.		360,100		812,739
Genting Malaysia Bhd.		340,500		431,347
Hong Leong Bank Bhd.		103,900		504,995
Malayan Banking Bhd.		1,258,600		3,449,111
Malaysia Airports Holdings Bhd.		146,300		334,735
Public Bank Bhd.		543,500		3,372,285
Tenaga Nasional Bhd.		273,300		1,147,464
				12,532,141
Mexico - 2.2%
America Movil SAB de CV, Class L, ADR		207,443		3,960,087
Arca Continental SAB de CV		81,800		565,626
Coca-Cola Femsa SAB de CV, ADR		4,269		283,590
Gentera SAB de CV		334,100		243,684
Grupo Aeroportuario del Pacifico SAB de CV, Class B		125,600		1,241,008
Grupo Aeroportuario del Sureste SAB de CV, ADR (a)		839		143,108

INVESTMENTS	SHARES		VALUE
Mexico - 2.2% (continued)
Grupo Financiero Banorte SAB de CV, Class O		206,800	$	1,264,119
Wal-Mart de Mexico SAB de CV		193,300		491,862
				8,193,084
Peru - 0.3%
Credicorp Ltd.		4,593		1,042,795
Philippines - 0.7%
Ayala Corp. (2)		14,440		263,490
Bank of the Philippine Islands (2)		65,450		147,441
BDO Unibank, Inc. (2)		244,390		655,336
Globe Telecom, Inc. (2)		4,510		140,557
International Container Terminal Services, Inc. (2)		98,280		189,220
JG Summit Holdings, Inc. (2)		141,560		170,653
Jollibee Foods Corp. (2)		29,250		168,587
Security Bank Corp. (2)		69,140		319,795
SM Investments Corp. (2)		39,465		698,414
				2,753,493
Poland - 1.4%
Bank Zachodni WBK SA (2)		2,023		214,446
Grupa Lotos SA (2)		25,331		391,714
Jastrzebska Spolka Weglowa SA (2)*		21,787		516,542
LPP SA (2)		47		119,477
Polski Koncern Naftowy ORLEN SA (2)		127,042		3,126,922
Polskie Gornictwo Naftowe i Gazownictwo SA (2)		319,417		527,970
Tauron Polska Energia SA (2)*		246,394		175,041
				5,072,112
Russia - 3.2%
Gazprom PJSC, ADR (2)		400,359		1,952,209
LUKOIL PJSC, ADR (2)		28,399		1,960,767
Mobile TeleSystems PJSC, ADR		264,654		3,014,409
Novatek PJSC, GDR (2)(c)		5,992		822,032
Novolipetsk Steel PJSC, GDR (2)(c)		18,513		462,766
Rosneft Oil Co. PJSC, GDR (2)(c)		78,075		428,857
Severstal PJSC, GDR (2)(c)		95,902		1,449,980
Surgutneftegas OJSC, ADR (2)		101,167		495,734
Tatneft PJSC, ADR (2)		19,942		1,263,007
				11,849,761
South Africa - 6.4%
Barclays Africa Group Ltd. (2)		56,286		901,482
Bid Corp. Ltd. (2)		21,970		476,752
Bidvest Group Ltd. (The) (2)		201,357		3,821,157
Capitec Bank Holdings Ltd. (2)		13,233		973,521
Coronation Fund Managers Ltd. (2)		23,994		164,062
Exxaro Resources Ltd. (2)		169,911		1,568,304
FirstRand Ltd. (2)		57,708		326,094
Foschini Group Ltd. (The) (2)		28,979		546,617
Gold Fields Ltd., ADR		138,800		557,976
Imperial Holdings Ltd. (2)		150,869		2,973,978
Investec Ltd. (2)		64,195		501,339
Mondi Ltd. (2)		40,838		1,111,627
MTN Group Ltd. (2)		29,770		299,430
Naspers Ltd., Class N (2)		16,424		4,019,167

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

AQR Funds Semi-Annual Report March 2018

43

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
South Africa - 6.4% (continued)
Pick n Pay Stores Ltd. (2)		24,228	$	140,615
Redefine Properties Ltd., REIT (2)		425,319		416,455
Remgro Ltd. (2)		32,110		601,874
RMB Holdings Ltd. (2)		22,581		147,249
Sanlam Ltd. (2)		41,311		298,440
Sappi Ltd. (2)		24,012		155,143
Standard Bank Group Ltd. (2)		133,057		2,458,687
Truworths International Ltd. (2)		168,217		1,533,456
				23,993,425
South Korea - 15.4%
AMOREPACIFIC Group		2,555		340,379
Celltrion, Inc. *		1,762		511,623
DB Insurance Co. Ltd.		11,317		690,126
DGB Financial Group, Inc.		13,816		151,005
E-MART, Inc.		2,801		718,710
Hana Financial Group, Inc.		5,895		253,022
Hankook Tire Co. Ltd.		2,205		110,881
Hanwha Chemical Corp.		12,119		338,818
Hanwha Corp.		47,029		1,727,353
Hanwha Life Insurance Co. Ltd.		30,706		178,319
Hyundai Marine & Fire Insurance Co. Ltd.		49,266		1,797,962
Hyundai Robotics Co. Ltd. *		451		184,690
KB Financial Group, Inc.		20,061		1,142,417
Korean Air Lines Co. Ltd.		5,293		167,843
KT&G Corp.		7,842		735,716
LG Display Co. Ltd.		35,975		882,584
LG Electronics, Inc.		51,180		5,257,726
Lotte Chemical Corp.		10,539		4,281,252
NCSoft Corp.		1,309		515,789
POSCO		8,279		2,528,206
S-1 Corp.		2,690		249,593
Samsung Electronics Co. Ltd.		7,523		17,369,457
Samsung SDS Co. Ltd.		965		231,314
Shinhan Financial Group Co. Ltd.		4,160		178,358
SillaJen, Inc. *		3,578		359,176
SK Hynix, Inc.		127,222		9,703,676
SK Innovation Co. Ltd.		18,795		3,720,560
SK Telecom Co. Ltd.		7,833		1,715,926
Woori Bank		126,902		1,744,173
				57,786,654
Taiwan - 10.8%
Advanced Semiconductor Engineering, Inc.		152,000		218,692
AU Optronics Corp.		5,608,000		2,625,414
Cathay Financial Holding Co. Ltd.		353,000		628,347
China Airlines Ltd. *		802,000		292,942
China Life Insurance Co. Ltd.		2,080,129		2,140,271
CTBC Financial Holding Co. Ltd.		1,356,480		986,294
E.Sun Financial Holding Co. Ltd.		560,027		374,542
Eva Airways Corp.		290,466		148,436
Far EasTone Telecommunications Co. Ltd. *		81,000	��	216,689
First Financial Holding Co. Ltd.		1,480,340		1,028,120
Formosa Chemicals & Fibre Corp.		62,000		230,716
Formosa Petrochemical Corp.		53,000		217,221
Fubon Financial Holding Co. Ltd.		518,000		890,071
General Interface Solution Holding Ltd.		51,000		314,847
Hon Hai Precision Industry Co. Ltd.		1,392,545		4,365,284

INVESTMENTS	SHARES		VALUE
Taiwan - 10.8% (continued)
Hua Nan Financial Holdings Co. Ltd.		317,000	$	191,350
Innolux Corp.		2,986,000		1,346,706
Inventec Corp.		211,000		166,806
Largan Precision Co. Ltd.		2,000		228,419
Lite-On Technology Corp. *		82,533		115,066
Mega Financial Holding Co. Ltd.		789,000		679,216
Nanya Technology Corp.		253,000		796,563
Nien Made Enterprise Co. Ltd.		14,000		134,685
Phison Electronics Corp.		55,000		584,765
Pou Chen Corp.		666,000		890,832
Powertech Technology, Inc.		526,000		1,645,272
Realtek Semiconductor Corp.		285,000		1,260,932
Shin Kong Financial Holding Co. Ltd.		2,524,000		995,507
Taishin Financial Holding Co. Ltd.		1,013,568		497,103
Taiwan Cooperative Financial Holding Co. Ltd.		343,520		202,646
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		330,367		14,456,859
Uni-President Enterprises Corp.		379,000		890,404
United Microelectronics Corp.		1,081,000		570,957
WPG Holdings Ltd.		105,000		137,926
				40,469,900
Thailand - 3.3%
Bangkok Bank PCL, NVDR		38,200		240,659
Charoen Pokphand Foods PCL, NVDR		180,300		145,589
Home Product Center PCL, NVDR		582,300		264,428
Indorama Ventures PCL, NVDR		160,400		293,665
Krung Thai Bank PCL, NVDR		3,108,700		1,878,939
PTT Exploration & Production PCL, NVDR		91,900		336,506
PTT Global Chemical PCL, NVDR		1,279,000		3,865,223
PTT PCL, NVDR		116,900		2,063,601
Robinson PCL, NVDR		69,100		139,769
Siam Cement PCL (The), NVDR		25,200		402,942
Thai Oil PCL, NVDR		715,700		2,099,951
Thai Union Group PCL, NVDR		857,596		518,342
				12,249,614
Turkey - 1.7%
Akbank Turk A/S		53,757		130,124
KOC Holding A/S		75,256		311,683
TAV Havalimanlari Holding A/S		104,778		634,197
Turk Hava Yollari AO *		828,074		4,010,975
Turkiye Is Bankasi A/S, Class C		184,675		334,215
Turkiye Sise ve Cam Fabrikalari A/S		805,574		1,053,598
				6,474,792
TOTAL COMMON STOCKS (Cost $246,795,048)				363,710,520
SHORT-TERM INVESTMENTS - 2.3%
Investment Companies - 2.3%
Limited Purpose Cash Investment Fund, 1.53% (2)(d)
(Cost $8,496,753)		8,499,285		8,497,585

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

AQR Funds Semi-Annual Report March 2018

44

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 3.0%
Investment Companies - 3.0%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(d)(e)		1,325,647	$	1,325,647
Limited Purpose Cash Investment Fund 1.53% (2)(d)(e)		9,908,118		9,908,118
TOTAL SECURITIES LENDING COLLATERAL (Cost $11,233,765)				11,233,765
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 102.4% (Cost $266,525,566)				383,441,870
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.4)% (f)			(9,052,114)
NET ASSETS - 100.0%			$	374,389,756

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	34,793,550			9.3	%
Consumer Staples		17,144,504			4.6
Energy		30,268,262			8.1
Financials		79,431,068			21.2
Health Care		6,794,156			1.8
Industrials		23,504,888			6.3
Information Technology		110,006,383			29.4
Materials		31,188,665			8.3
Real Estate		11,201,891			3.0
Telecommunication Services		15,632,267			4.1
Utilities		3,744,886			1.0
Short-Term Investments		8,497,585			2.3
Securities Lending Collateral		11,233,765			3.0
Total Investments In Securities At Value		383,441,870			102.4
Liabilities in Excess of Other Assets (f)		(9,052,114	)		(2.4	)
Net Assets	$	374,389,756			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $10,920,091.

(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 March 31, 2018 amounted to $2,872,329, which represents approximately 0.77% of net assets of the fund.

(c) 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 March 31, 2018, the value of these securities amounted to $4,589,734 or 1.23% of net assets.

(d) Represents 7-day effective yield as of March 31, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

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

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

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint Stock Company

PJSC - Public Joint Stock Company

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

REIT - Real Estate Investment Trust

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI Emerging Markets E-Mini Index		88	6/2018	USD		$5,226,320		$(141,157	)
								$(141,157	)

USD - United States Dollar

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

AQR Funds Semi-Annual Report March 2018

45

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM EMERGING MULTI-STYLE FUND

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$479,390		$479,390

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

AQR Funds Semi-Annual Report March 2018

46

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.1%
Aerospace & Defense - 4.0%
Boeing Co. (The)		46,725	$	15,320,193
BWX Technologies, Inc.		15,551		987,955
General Dynamics Corp.		14,197		3,136,117
Harris Corp.		10,267		1,655,862
Huntington Ingalls Industries, Inc.		8,196		2,112,601
L3 Technologies, Inc.		2,267		471,536
Lockheed Martin Corp.		16,465		5,564,018
Northrop Grumman Corp.		16,635		5,807,611
Raytheon Co.		24,243		5,232,124
Spirit AeroSystems Holdings, Inc., Class A		6,113		511,658
TransDigm Group, Inc.		1,690		518,729
				41,318,404
Air Freight & Logistics - 0.4%
FedEx Corp.		11,401		2,737,494
XPO Logistics, Inc. *		16,270		1,656,449
				4,393,943
Airlines - 0.2%
Copa Holdings SA, Class A (Panama)		7,145		919,061
Southwest Airlines Co.		15,012		859,888
				1,778,949
Auto Components - 0.3%
Adient plc		6,380		381,269
Aptiv plc		17,210		1,462,334
Gentex Corp.		26,000		598,520
Lear Corp.		5,514		1,026,100
				3,468,223
Automobiles - 0.3%
Tesla, Inc. *(a)		8,177		2,176,145
Thor Industries, Inc.		11,293		1,300,615
				3,476,760
Banks - 3.2%
Bank of America Corp.		468,605		14,053,464
Bank of Hawaii Corp.		4,749		394,642
Citigroup, Inc.		41,239		2,783,633
Citizens Financial Group, Inc.		6,984		293,188
Comerica, Inc.		16,809		1,612,487
Commerce Bancshares, Inc.		12,529		750,613
East West Bancorp, Inc.		8,526		533,216
Fifth Third Bancorp		9,419		299,053
JPMorgan Chase & Co.		63,725		7,007,838
PNC Financial Services Group, Inc. (The)		4,135		625,378
Regions Financial Corp.		16,395		304,619
SunTrust Banks, Inc.		4,459		303,390
SVB Financial Group *		9,311		2,234,733
TCF Financial Corp.		18,827		429,444
Western Alliance Bancorp *		25,255		1,467,568
				33,093,266
Beverages - 0.6%
Brown-Forman Corp., Class B		5,862		318,893
Constellation Brands, Inc., Class A		18,820		4,289,454

INVESTMENTS	SHARES		VALUE
Beverages - 0.6% (continued)
Monster Beverage Corp. *		21,052	$	1,204,385
				5,812,732
Biotechnology - 2.1%
AbbVie, Inc.		107,187		10,145,249
ACADIA Pharmaceuticals, Inc. *		29,525		663,427
Alkermes plc *		9,735		564,241
Alnylam Pharmaceuticals, Inc. *		11,674		1,390,373
Exelixis, Inc. *		66,225		1,466,884
Incyte Corp. *		8,217		684,723
Ionis Pharmaceuticals, Inc. *(a)		14,450		636,956
Neurocrine Biosciences, Inc. *		10,018		830,793
Regeneron Pharmaceuticals, Inc. *		1,110		382,239
Seattle Genetics, Inc. *		11,134		582,753
TESARO, Inc. *(a)		5,565		317,984
Vertex Pharmaceuticals, Inc. *		23,416		3,816,340
				21,481,962
Building Products - 0.8%
Allegion plc		8,013		683,429
AO Smith Corp.		39,408		2,505,955
Fortune Brands Home & Security, Inc.		19,998		1,177,682
Lennox International, Inc.		5,769		1,179,010
Masco Corp.		29,168		1,179,554
Owens Corning		14,965		1,203,186
USG Corp. *		14,608		590,455
				8,519,271
Capital Markets - 3.5%
Ameriprise Financial, Inc.		5,098		754,198
BlackRock, Inc.		4,383		2,374,359
Cboe Global Markets, Inc.		14,039		1,601,850
Charles Schwab Corp. (The)		28,854		1,506,756
CME Group, Inc.		27,791		4,494,916
E *TRADE Financial Corp. *		50,633		2,805,575
FactSet Research Systems, Inc.		2,228		444,308
Interactive Brokers Group, Inc., Class A		41,795		2,810,296
Intercontinental Exchange, Inc.		26,100		1,892,772
LPL Financial Holdings, Inc.		14,621		892,904
MarketAxess Holdings, Inc.		6,866		1,492,943
Moody’s Corp.		6,897		1,112,486
Morgan Stanley		48,096		2,595,260
Morningstar, Inc.		7,785		743,623
MSCI, Inc.		14,254		2,130,545
Nasdaq, Inc.		16,104		1,388,487
Raymond James Financial, Inc.		13,013		1,163,492
S&P Global, Inc.		18,584		3,550,659
State Street Corp.		19,083		1,903,148
T. Rowe Price Group, Inc.		5,160		557,125
				36,215,702
Chemicals - 1.4%
Albemarle Corp.		16,712		1,549,871
Celanese Corp., Series A		8,943		896,178
Chemours Co. (The)		39,056		1,902,418
DowDuPont, Inc.		68,129		4,340,498
FMC Corp.		13,953		1,068,381
Huntsman Corp.		10,021		293,114
International Flavors & Fragrances, Inc.		3,778		517,246

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

AQR Funds Semi-Annual Report March 2018

47

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Chemicals - 1.4% (continued)
LyondellBasell Industries NV, Class A		3,826	$	404,332
NewMarket Corp.		1,600		642,688
Praxair, Inc.		5,299		764,646
Sherwin-Williams Co. (The)		4,332		1,698,664
Westlake Chemical Corp.		5,428		603,322
				14,681,358
Commercial Services & Supplies - 1.1%
Cintas Corp.		23,846		4,067,651
Copart, Inc. *		34,368		1,750,362
Republic Services, Inc.		25,612		1,696,283
Rollins, Inc.		21,305		1,087,194
Waste Management, Inc.		28,401		2,389,092
				10,990,582
Communications Equipment - 1.5%
Arista Networks, Inc. *		13,716		3,501,695
Cisco Systems, Inc.		227,007		9,736,330
CommScope Holding Co., Inc. *		17,711		707,909
F5 Networks, Inc. *		3,403		492,108
Motorola Solutions, Inc.		9,034		951,280
				15,389,322
Construction & Engineering - 0.1%
Quanta Services, Inc. *		15,443		530,467
Construction Materials - 0.2%
Eagle Materials, Inc.		4,574		471,351
Martin Marietta Materials, Inc.		4,727		979,907
Vulcan Materials Co.		5,560		634,785
				2,086,043
Consumer Finance - 0.7%
American Express Co.		51,597		4,812,968
Credit Acceptance Corp. *(a)		3,817		1,261,175
Navient Corp.		24,987		327,829
SLM Corp. *		77,304		866,578
				7,268,550
Containers & Packaging - 0.3%
Avery Dennison Corp.		10,046		1,067,387
Berry Global Group, Inc. *		15,470		847,911
Packaging Corp. of America		5,028		566,656
Sealed Air Corp.		10,067		430,767
WestRock Co.		6,631		425,511
				3,338,232
Distributors - 0.1%
Genuine Parts Co.		3,660		328,815
LKQ Corp. *		20,635		783,098
				1,111,913
Diversified Consumer Services - 0.2%
Graham Holdings Co., Class B		737		443,858
Service Corp. International		15,037		567,497
ServiceMaster Global Holdings, Inc. *		20,653		1,050,205
				2,061,560
Diversified Financial Services - 0.0% (b)
Leucadia National Corp.		17,814		404,912

INVESTMENTS	SHARES		VALUE
Diversified Telecommunication Services - 0.0% (b)
Zayo Group Holdings, Inc. *		13,596	$	464,439
Electric Utilities - 1.0%
Alliant Energy Corp.		13,304		543,601
American Electric Power Co., Inc.		8,055		552,493
Avangrid, Inc.		9,819		501,947
Eversource Energy		11,408		672,159
NextEra Energy, Inc.		35,937		5,869,590
Pinnacle West Capital Corp.		5,600		446,880
PPL Corp.		11,441		323,666
Xcel Energy, Inc.		32,374		1,472,370
				10,382,706
Electrical Equipment - 0.1%
Eaton Corp. plc		11,914		952,048
Rockwell Automation, Inc.		2,596		452,223
				1,404,271
Electronic Equipment, Instruments & Components - 1.4%
Amphenol Corp., Class A		21,046		1,812,692
Arrow Electronics, Inc. *		6,077		468,050
CDW Corp.		25,023		1,759,367
Cognex Corp.		38,806		2,017,524
Coherent, Inc. *		6,067		1,136,956
Corning, Inc.		64,692		1,803,613
Dolby Laboratories, Inc., Class A		9,601		610,240
IPG Photonics Corp. *		8,029		1,873,808
Trimble, Inc. *		21,559		773,537
Universal Display Corp.		10,689		1,079,589
Zebra Technologies Corp., Class A *		4,705		654,889
				13,990,265
Energy Equipment & Services - 0.1%
RPC, Inc. (a)		78,758		1,420,007
Equity Real Estate Investment Trusts (REITs) - 2.3%
Alexandria Real Estate Equities, Inc.		3,486		435,367
American Campus Communities, Inc.		13,022		502,910
American Homes 4 Rent, Class A		20,868		419,029
American Tower Corp.		30,206		4,390,140
Apartment Investment & Management Co., Class A		21,062		858,277
Camden Property Trust		4,628		389,585
CoreSite Realty Corp.		6,557		657,405
Crown Castle International Corp.		12,303		1,348,532
CyrusOne, Inc.		18,322		938,270
Digital Realty Trust, Inc.		20,240		2,132,891
Duke Realty Corp.		19,237		509,396
EPR Properties		6,107		338,328
Equinix, Inc.		4,337		1,813,473
Equity LifeStyle Properties, Inc.		25,892		2,272,541
Essex Property Trust, Inc.		2,422		582,927
Healthcare Trust of America, Inc., Class A		23,441		620,014
Iron Mountain, Inc.		14,569		478,737
Lamar Advertising Co., Class A		12,300		783,018
Prologis, Inc.		21,253		1,338,726
SBA Communications Corp. *		11,761		2,010,190
Senior Housing Properties Trust		21,759		340,746

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

AQR Funds Semi-Annual Report March 2018

48

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 2.3% (continued)
STORE Capital Corp.		16,605	$	412,136
				23,572,638
Food & Staples Retailing - 1.6%
Sysco Corp.		11,004		659,800
Walmart, Inc.		177,566		15,798,047
				16,457,847
Food Products - 0.4%
Conagra Brands, Inc.		11,943		440,458
Ingredion, Inc.		6,219		801,753
Lamb Weston Holdings, Inc.		9,490		552,508
Pilgrim’s Pride Corp. *		18,200		447,902
Pinnacle Foods, Inc.		20,716		1,120,736
Tyson Foods, Inc., Class A		8,315		608,575
				3,971,932
Health Care Equipment & Supplies - 3.5%
Abbott Laboratories		92,848		5,563,452
ABIOMED, Inc. *		7,092		2,063,701
Align Technology, Inc. *		14,738		3,701,154
Baxter International, Inc.		50,236		3,267,349
Becton Dickinson and Co.		7,844		1,699,795
Boston Scientific Corp. *		72,210		1,972,777
Cooper Cos., Inc. (The)		5,829		1,333,734
Danaher Corp.		5,979		585,404
DexCom, Inc. *(a)		7,908		586,457
Edwards Lifesciences Corp. *		5,908		824,284
Hologic, Inc. *		16,786		627,125
IDEXX Laboratories, Inc. *		12,651		2,421,275
Intuitive Surgical, Inc. *		12,352		5,099,276
ResMed, Inc.		10,915		1,074,800
Stryker Corp.		21,453		3,452,217
Teleflex, Inc.		6,906		1,760,892
				36,033,692
Health Care Providers & Services - 3.4%
Anthem, Inc.		25,490		5,600,153
Centene Corp. *		14,047		1,501,203
Cigna Corp.		23,945		4,016,534
Henry Schein, Inc. *		7,585		509,788
Humana, Inc.		13,816		3,714,155
Laboratory Corp. of America Holdings *		3,555		575,021
Quest Diagnostics, Inc.		8,270		829,481
UnitedHealth Group, Inc.		78,491		16,797,074
Universal Health Services, Inc., Class B		3,522		417,040
WellCare Health Plans, Inc. *		6,090		1,179,207
				35,139,656
Health Care Technology - 0.3%
athenahealth, Inc. *		3,316		474,287
Cerner Corp. *		7,631		442,598
Veeva Systems, Inc., Class A *		23,340		1,704,287
				2,621,172
Hotels, Restaurants & Leisure - 3.4%
Aramark		23,714		938,126
Carnival Corp.		41,017		2,689,895
Darden Restaurants, Inc.		17,509		1,492,642
Domino’s Pizza, Inc.		7,043		1,644,963

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 3.4% (continued)
Hilton Worldwide Holdings, Inc.		18,145	$	1,429,100
Hyatt Hotels Corp., Class A		3,927		299,473
International Game Technology plc		26,574		710,323
Las Vegas Sands Corp.		32,213		2,316,115
Marriott International, Inc., Class A		36,624		4,980,131
McDonald’s Corp.		57,152		8,937,430
MGM Resorts International		32,283		1,130,551
Royal Caribbean Cruises Ltd.		19,999		2,354,682
Six Flags Entertainment Corp.		19,393		1,207,408
Vail Resorts, Inc.		3,751		831,597
Wyndham Worldwide Corp.		6,422		734,869
Wynn Resorts Ltd.		13,655		2,490,126
Yum Brands, Inc.		15,590		1,327,177
				35,514,608
Household Durables - 0.7%
DR Horton, Inc.		31,579		1,384,423
Garmin Ltd.		22,664		1,335,590
Leggett & Platt, Inc.		10,455		463,784
Lennar Corp., Class A		6,565		386,941
Mohawk Industries, Inc. *		5,932		1,377,529
NVR, Inc. *		754		2,111,200
PulteGroup, Inc.		22,751		670,927
				7,730,394
Household Products - 0.1%
Church & Dwight Co., Inc.		7,319		368,585
Energizer Holdings, Inc.		13,144		783,119
				1,151,704
Independent Power and Renewable Electricity Producers - 0.2%
NRG Energy, Inc.		41,673		1,272,277
Vistra Energy Corp. *		16,553		344,799
				1,617,076
Industrial Conglomerates - 1.3%
3M Co.		26,149		5,740,228
Honeywell International, Inc.		42,370		6,122,889
Roper Technologies, Inc.		6,075		1,705,192
				13,568,309
Insurance - 2.5%
Aflac, Inc.		7,040		308,070
Allstate Corp. (The)		17,495		1,658,526
American Financial Group, Inc.		11,412		1,280,655
Aon plc		13,680		1,919,714
Arch Capital Group Ltd. *		13,686		1,171,385
Aspen Insurance Holdings Ltd.		8,457		379,296
Assurant, Inc.		6,148		561,989
Assured Guaranty Ltd.		12,466		451,269
Axis Capital Holdings Ltd.		7,392		425,557
Chubb Ltd.		3,511		480,199
Cincinnati Financial Corp.		17,923		1,330,962
Erie Indemnity Co., Class A		6,993		822,657
Everest Re Group Ltd.		2,544		653,350
FNF Group		22,711		908,894
Hanover Insurance Group, Inc. (The)		11,713		1,380,846
Hartford Financial Services Group, Inc. (The)		8,980		462,650

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

AQR Funds Semi-Annual Report March 2018

49

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Insurance - 2.5% (continued)
Lincoln National Corp.		16,277	$	1,189,198
Markel Corp. *		611		715,023
Marsh & McLennan Cos., Inc.		19,320		1,595,639
Principal Financial Group, Inc.		16,350		995,878
ProAssurance Corp.		20,042		973,039
Progressive Corp. (The)		41,318		2,517,506
Prudential Financial, Inc.		9,411		974,509
RenaissanceRe Holdings Ltd.		5,901		817,347
Torchmark Corp.		11,199		942,620
Unum Group		12,016		572,082
WR Berkley Corp.		10,543		766,476
				26,255,336
Internet & Direct Marketing Retail - 5.9%
Amazon.com, Inc. *		32,819		47,500,251
Booking Holdings, Inc. *		508		1,056,838
Expedia Group, Inc.		3,949		436,009
Liberty Interactive Corp. QVC Group, Class A *		11,522		290,009
Netflix, Inc. *		37,183		10,981,999
Wayfair, Inc., Class A *(a)		21,216		1,432,717
				61,697,823
Internet Software & Services - 7.9%
Alphabet, Inc., Class A *		40,689		42,200,190
CoStar Group, Inc. *		3,684		1,336,113
eBay, Inc. *		14,113		567,907
Facebook, Inc., Class A *		185,059		29,570,578
GoDaddy, Inc., Class A *		15,274		938,129
IAC/InterActiveCorp *		10,740		1,679,521
LogMeIn, Inc.		4,906		566,888
Match Group, Inc. *(a)		24,514		1,089,402
Twitter, Inc. *		48,211		1,398,601
VeriSign, Inc. *		13,036		1,545,548
Zillow Group, Inc., Class C *		25,352		1,363,938
				82,256,815
IT Services - 6.1%
Accenture plc, Class A		10,828		1,662,098
Amdocs Ltd.		12,968		865,225
Automatic Data Processing, Inc.		7,360		835,213
Black Knight, Inc. *		6,963		327,957
Booz Allen Hamilton Holding Corp.		14,749		571,081
Broadridge Financial Solutions, Inc.		11,087		1,216,133
Cognizant Technology Solutions Corp., Class A		25,356		2,041,158
CoreLogic, Inc. *		18,100		818,663
DXC Technology Co.		49,061		4,932,102
Fidelity National Information Services, Inc.		3,584		345,139
Fiserv, Inc. *		18,738		1,336,207
Gartner, Inc. *		6,200		729,244
Genpact Ltd.		37,076		1,186,061
Global Payments, Inc.		23,503		2,621,055
Jack Henry & Associates, Inc.		17,949		2,170,932
Mastercard, Inc., Class A		69,964		12,254,894
PayPal Holdings, Inc. *		97,563		7,402,105
Sabre Corp.		18,021		386,551
Square, Inc., Class A *		64,696		3,183,043

INVESTMENTS	SHARES		VALUE
IT Services - 6.1% (continued)
Total System Services, Inc.		17,389	$	1,499,975
Visa, Inc., Class A (a)		135,251		16,178,725
Worldpay, Inc. *		11,789		969,527
				63,533,088
Leisure Products - 0.1%
Hasbro, Inc.		13,929		1,174,215
Life Sciences Tools & Services - 1.6%
Agilent Technologies, Inc.		24,717		1,653,567
Bio-Rad Laboratories, Inc., Class A *		5,986		1,496,979
Bruker Corp.		24,778		741,358
Charles River Laboratories International, Inc. *		6,903		736,826
Illumina, Inc. *		9,901		2,340,794
IQVIA Holdings, Inc. *		13,079		1,283,181
Mettler-Toledo International, Inc. *		3,552		2,042,507
PerkinElmer, Inc.		9,553		723,353
QIAGEN NV *		20,348		657,444
Thermo Fisher Scientific, Inc.		18,101		3,737,132
Waters Corp. *		7,495		1,488,882
				16,902,023
Machinery - 3.2%
Caterpillar, Inc.		45,992		6,778,301
Colfax Corp. *		17,805		567,980
Crane Co.		5,907		547,815
Cummins, Inc.		9,517		1,542,611
Deere & Co.		24,895		3,866,691
Fortive Corp.		28,938		2,243,274
Illinois Tool Works, Inc.		31,382		4,916,304
Ingersoll-Rand plc		17,718		1,515,066
Middleby Corp. (The) *		3,107		384,616
Nordson Corp.		6,333		863,441
Oshkosh Corp.		30,799		2,379,839
PACCAR, Inc.		9,482		627,424
Parker-Hannifin Corp.		7,923		1,355,071
Snap-on, Inc.		2,882		425,210
Stanley Black & Decker, Inc.		6,552		1,003,766
Toro Co. (The)		33,420		2,087,079
Trinity Industries, Inc.		19,588		639,156
Xylem, Inc.		20,472		1,574,706
				33,318,350
Media - 0.4%
Charter Communications, Inc., Class A *		3,664		1,140,310
Comcast Corp., Class A		8,992		307,257
Liberty Broadband Corp., Class C *		9,567		819,796
Live Nation Entertainment, Inc. *		16,566		698,091
Madison Square Garden Co. (The), Class A *		2,525		620,645
Sirius XM Holdings, Inc. (a)		134,388		838,581
				4,424,680
Metals & Mining - 0.5%
Alcoa Corp. *		21,525		967,764
Freeport-McMoRan, Inc. *		54,132		951,099
Reliance Steel & Aluminum Co.		5,371		460,510
Royal Gold, Inc.		12,369		1,062,126

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

AQR Funds Semi-Annual Report March 2018

50

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Metals & Mining - 0.5% (continued)
Steel Dynamics, Inc.		46,850	$	2,071,707
				5,513,206
Multiline Retail - 0.3%
Dollar General Corp.		6,009		562,142
Dollar Tree, Inc. *		12,241		1,161,671
Kohl’s Corp.		9,501		622,410
Target Corp.		11,109		771,298
				3,117,521
Multi-Utilities - 0.5%
Ameren Corp.		16,713		946,457
CenterPoint Energy, Inc.		26,650		730,210
Consolidated Edison, Inc.		5,882		458,443
DTE Energy Co.		7,868		821,419
MDU Resources Group, Inc.		15,343		432,059
NiSource, Inc.		35,281		843,569
Public Service Enterprise Group, Inc.		15,094		758,323
				4,990,480
Oil, Gas & Consumable Fuels - 0.8%
Andeavor		5,167		519,593
CNX Resources Corp. *		27,683		427,149
Diamondback Energy, Inc. *		3,315		419,414
HollyFrontier Corp.		16,343		798,519
Laredo Petroleum, Inc. *		48,596		423,271
Marathon Petroleum Corp.		29,499		2,156,672
PBF Energy, Inc., Class A		13,622		461,786
Phillips 66		5,123		491,398
Valero Energy Corp.		23,057		2,138,998
Williams Cos., Inc. (The)		18,693		464,708
				8,301,508
Personal Products - 0.4%
Estee Lauder Cos., Inc. (The), Class A		22,015		3,296,086
Nu Skin Enterprises, Inc., Class A		8,923		657,714
				3,953,800
Pharmaceuticals - 1.0%
Johnson & Johnson		57,604		7,381,952
Zoetis, Inc.		37,992		3,172,712
				10,554,664
Professional Services - 0.2%
Equifax, Inc.		3,894		458,752
TransUnion *		12,965		736,153
Verisk Analytics, Inc. *		10,952		1,139,008
				2,333,913
Real Estate Management & Development - 0.1%
CBRE Group, Inc., Class A *		11,886		561,257
Road & Rail - 1.0%
AMERCO		3,404		1,174,721
CSX Corp.		62,037		3,456,081
JB Hunt Transport Services, Inc.		4,202		492,264
Norfolk Southern Corp.		13,586		1,844,707
Old Dominion Freight Line, Inc.		8,602		1,264,236
Union Pacific Corp.		16,659		2,239,469
				10,471,478

INVESTMENTS	SHARES		VALUE
Semiconductors & Semiconductor Equipment - 6.1%
Advanced Micro Devices, Inc. *(a)		43,295	$	435,115
Analog Devices, Inc.		11,402		1,039,064
Applied Materials, Inc.		94,940		5,279,613
Broadcom Ltd.		14,240		3,355,656
Cypress Semiconductor Corp.		19,917		337,792
First Solar, Inc. *		10,736		762,041
Intel Corp.		264,956		13,798,909
KLA-Tencor Corp.		5,142		560,530
Lam Research Corp.		19,745		4,011,394
Marvell Technology Group Ltd.		73,655		1,546,755
Maxim Integrated Products, Inc.		23,643		1,423,782
Microchip Technology, Inc. (a)		17,762		1,622,736
Micron Technology, Inc. *		113,697		5,928,162
NVIDIA Corp.		47,821		11,074,865
ON Semiconductor Corp. *		82,670		2,022,108
Qorvo, Inc. *		6,702		472,156
Skyworks Solutions, Inc.		12,279		1,231,093
Teradyne, Inc.		24,948		1,140,373
Texas Instruments, Inc.		61,810		6,421,441
Xilinx, Inc.		17,076		1,233,570
				63,697,155
Software - 10.6%
Activision Blizzard, Inc.		83,362		5,623,601
Adobe Systems, Inc. *		47,670		10,300,534
ANSYS, Inc. *		5,600		877,464
Atlassian Corp. plc, Class A (Australia) *		13,480		726,842
Autodesk, Inc. *		21,938		2,754,974
Cadence Design Systems, Inc. *		36,394		1,338,207
CDK Global, Inc.		19,935		1,262,683
Citrix Systems, Inc. *		7,459		692,195
Dell Technologies, Inc., Class V *		7,383		540,509
Electronic Arts, Inc. *		36,593		4,436,535
Intuit, Inc.		17,418		3,019,410
Microsoft Corp.		504,336		46,030,747
Nuance Communications, Inc. *		37,159		585,254
Oracle Corp.		200,183		9,158,372
PTC, Inc. *		12,514		976,217
Red Hat, Inc. *		12,808		1,914,924
salesforce.com, Inc. *		41,833		4,865,178
ServiceNow, Inc. *		19,849		3,284,017
Splunk, Inc. *		5,164		508,086
SS&C Technologies Holdings, Inc.		16,904		906,731
Symantec Corp.		25,540		660,209
Synopsys, Inc. *		15,227		1,267,496
Tableau Software, Inc., Class A *		7,110		574,630
Take-Two Interactive Software, Inc. *		25,467		2,490,163
Ultimate Software Group, Inc. (The) *		5,637		1,373,737
VMware, Inc., Class A *		31,252		3,789,930
				109,958,645
Specialty Retail - 2.1%
Best Buy Co., Inc.		38,862		2,719,951
Burlington Stores, Inc. *		17,330		2,307,489
Gap, Inc. (The)		31,163		972,286
Home Depot, Inc. (The)		69,665		12,417,090
Lowe’s Cos., Inc.		10,079		884,432
Michaels Cos., Inc. (The) *		21,313		420,079
Murphy USA, Inc. *		6,252		455,146

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

AQR Funds Semi-Annual Report March 2018

51

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Specialty Retail - 2.1% (continued)
Ross Stores, Inc.		11,430	$	891,311
Ulta Beauty, Inc. *		1,844		376,674
Urban Outfitters, Inc. *		9,075		335,412
				21,779,870
Technology Hardware, Storage & Peripherals - 3.7%
Apple, Inc.		195,320		32,770,790
HP, Inc.		147,908		3,242,143
NCR Corp. *		12,848		404,969
NetApp, Inc.		17,271		1,065,448
Western Digital Corp.		7,571		698,576
				38,181,926
Textiles, Apparel & Luxury Goods - 0.5%
Carter’s, Inc.		2,855		297,206
PVH Corp.		7,383		1,118,008
Ralph Lauren Corp.		2,955		330,369
Skechers U.S.A., Inc., Class A *		31,525		1,226,007
Tapestry, Inc.		6,079		319,816
VF Corp.		22,761		1,687,045
				4,978,451
Thrifts & Mortgage Finance - 0.1%
TFS Financial Corp.		41,075		603,392
Trading Companies & Distributors - 0.4%
MSC Industrial Direct Co., Inc., Class A		4,795		439,750
United Rentals, Inc. *		15,473		2,672,651
Watsco, Inc.		3,619		654,930
WESCO International, Inc. *		8,625		535,181
				4,302,512
Water Utilities - 0.2%
American Water Works Co., Inc.		15,796		1,297,326
Aqua America, Inc.		15,473		527,010
				1,824,336
Wireless Telecommunication Services - 0.1%
T-Mobile US, Inc. *		16,618		1,014,363
TOTAL COMMON STOCKS (Cost $765,627,178)				1,008,163,674
SHORT-TERM INVESTMENTS - 2.6%
Investment Companies - 2.6%
Limited Purpose Cash Investment Fund, 1.53% (2)(c)
(Cost $27,643,680)		27,649,892		27,644,362
SECURITIES LENDING COLLATERAL - 1.0%
Investment Companies - 1.0%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(c)(d)		1,181,563		1,181,563

INVESTMENTS	SHARES		VALUE
Investment Companies - 1.0% (continued)
Limited Purpose Cash Investment Fund 1.53% (2)(c)(d)		8,831,205	$	8,831,205
TOTAL SECURITIES LENDING COLLATERAL (Cost $10,012,768)				10,012,768
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.7% (Cost $803,283,626)				1,045,820,804
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.7)% (e)			(7,642,673)
NET ASSETS - 100.0%			$	1,038,178,131

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	150,536,017			14.5	%
Consumer Staples		31,348,015			3.0
Energy		9,721,515			0.9
Financials		103,841,159			10.0
Health Care		122,733,171			11.8
Industrials		132,930,449			12.8
Information Technology		387,007,215			37.3
Materials		25,618,839			2.5
Real Estate		24,133,895			2.4
Telecommunication Services		1,478,802			0.1
Utilities		18,814,597			1.8
Short-Term Investments		27,644,362			2.6
Securities Lending Collateral		10,012,768			1.0
Total Investments In Securities At Value		1,045,820,804			100.7
Liabilities in Excess of Other Assets (e)		(7,642,673	)		(0.7	)
Net Assets	$	1,038,178,131			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $23,356,970.

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

(c) Represents 7-day effective yield as of March 31, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $13,413,768 was received (See Note 3).

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

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

(2) Level 2 security (See Note 4).

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

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52

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP MOMENTUM STYLE FUND

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index		164	6/2018	USD		$21,672,600		$(1,068,988	)
								$(1,068,988	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash	$	—	$	2,310,635	$	2,310,635

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

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53

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.7%
Aerospace & Defense - 1.6%
AAR Corp.		6,428	$	283,539
Aerojet Rocketdyne Holdings, Inc. *		26,652		745,457
Aerovironment, Inc. *		11,410		519,269
Axon Enterprise, Inc. *		4,698		184,678
Curtiss-Wright Corp.		4,718		637,260
Ducommun, Inc. *		7,860		238,787
Engility Holdings, Inc. *		5,665		138,226
KLX, Inc. *		16,807		1,194,305
Kratos Defense & Security Solutions, Inc. *		43,225		444,785
Mercury Systems, Inc. *		19,075		921,704
Moog, Inc., Class A *		4,623		380,982
National Presto Industries, Inc. (a)		1,715		160,781
Vectrus, Inc. *		4,424		164,750
				6,014,523
Air Freight & Logistics - 0.2%
Air Transport Services Group, Inc. *		27,367		638,198
Atlas Air Worldwide Holdings, Inc. *		3,759		227,232
				865,430
Airlines - 0.2%
SkyWest, Inc.		15,396		837,542
Auto Components - 0.9%
Cooper-Standard Holdings, Inc. *		1,609		197,601
Dana, Inc.		44,642		1,149,978
Dorman Products, Inc. *		1,814		120,105
Fox Factory Holding Corp. *		16,818		586,948
LCI Industries		1,200		124,980
Modine Manufacturing Co. *		17,016		359,888
Motorcar Parts of America, Inc. *		6,430		137,795
Standard Motor Products, Inc.		3,856		183,430
Stoneridge, Inc. *		11,593		319,967
Tower International, Inc.		5,389		149,545
				3,330,237
Automobiles - 0.1%
Winnebago Industries, Inc.		11,732		441,123
Banks - 2.6%
1st Source Corp.		3,559		180,157
Ameris Bancorp		2,810		148,649
BancFirst Corp.		8,043		427,083
Boston Private Financial Holdings, Inc.		11,604		174,640
Bryn Mawr Bank Corp.		4,179		183,667
Camden National Corp.		3,937		175,197
Carolina Financial Corp.		4,279		168,079
CenterState Bank Corp.		6,899		183,030
Central Pacific Financial Corp.		5,772		164,271
ConnectOne Bancorp, Inc.		6,347		182,794
Eagle Bancorp, Inc. *		1,829		109,466
Enterprise Financial Services Corp.		2,473		115,984
Fidelity Southern Corp.		7,992		184,375
First Bancorp/NC		3,337		118,964
First Citizens BancShares, Inc., Class A		288		119,013
First Commonwealth Financial Corp.		9,574		135,281
First Merchants Corp.		5,707		237,982

INVESTMENTS	SHARES		VALUE
Banks - 2.6% (continued)
Flushing Financial Corp.		4,324	$	116,575
German American Bancorp, Inc.		3,585		119,560
Great Southern Bancorp, Inc.		3,025		151,099
Green Bancorp, Inc. *		23,620		525,545
Guaranty Bancorp		5,421		153,685
Independent Bank Corp./MA		1,564		111,904
Independent Bank Corp./MI		16,683		382,041
Independent Bank Group, Inc.		3,851		272,266
Lakeland Bancorp, Inc.		12,306		244,274
Lakeland Financial Corp.		4,960		229,301
Live Oak Bancshares, Inc.		7,942		220,788
OFG Bancorp		16,816		175,727
Preferred Bank		6,029		387,062
QCR Holdings, Inc.		5,903		264,750
Republic First Bancorp, Inc. *(a)		28,763		250,238
Seacoast Banking Corp. of Florida *		5,656		149,714
ServisFirst Bancshares, Inc.		18,307		747,292
Southside Bancshares, Inc.		6,311		219,244
Stock Yards Bancorp, Inc.		4,504		158,090
Tompkins Financial Corp.		1,707		129,322
Towne Bank		11,244		321,578
TriState Capital Holdings, Inc. *		7,060		164,145
Triumph Bancorp, Inc. *		9,529		392,595
Veritex Holdings, Inc. *		5,988		165,688
Washington Trust Bancorp, Inc.		2,583		138,836
Wintrust Financial Corp.		6,761		581,784
				9,781,735
Beverages - 0.9%
Castle Brands, Inc. *(a)		120,383		149,275
Coca-Cola Bottling Co. Consolidated		1,670		288,359
Craft Brew Alliance, Inc. *		13,506		251,212
MGP Ingredients, Inc. (a)		12,168		1,090,131
National Beverage Corp. (a)		17,465		1,554,734
				3,333,711
Biotechnology - 10.5%
Abeona Therapeutics, Inc. *(a)		33,779		484,729
Acceleron Pharma, Inc. *		8,953		350,062
Adamas Pharmaceuticals, Inc. *(a)		11,078		264,764
Aimmune Therapeutics, Inc. *		14,223		452,718
Akebia Therapeutics, Inc. *		21,111		201,188
Amicus Therapeutics, Inc. *		66,758		1,004,040
Arena Pharmaceuticals, Inc. *		12,622		498,569
Array BioPharma, Inc. *		73,054		1,192,241
Atara Biotherapeutics, Inc. *		6,855		267,345
Audentes Therapeutics, Inc. *		7,181		215,789
Avexis, Inc. *		13,663		1,688,474
Avid Bioservices, Inc. *		25,915		75,672
BioCryst Pharmaceuticals, Inc. *		24,759		118,100
Bluebird Bio, Inc. *		15,860		2,708,095
Blueprint Medicines Corp. *		16,414		1,505,164
Calithera Biosciences, Inc. *		30,789		193,971
Cara Therapeutics, Inc. *(a)		13,130		162,549
Catalyst Pharmaceuticals, Inc. *		86,974		207,868
Clovis Oncology, Inc. *		1,880		99,264
Conatus Pharmaceuticals, Inc. *		37,639		220,941
Concert Pharmaceuticals, Inc. *		11,763		269,373
CTI BioPharma Corp. *		7,700		30,030

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

AQR Funds Semi-Annual Report March 2018

54

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Biotechnology - 10.5% (continued)
Cytokinetics, Inc. *		15,186	$	109,339
CytomX Therapeutics, Inc. *		16,047		456,537
Dynavax Technologies Corp. *		31,119		617,712
Editas Medicine, Inc. *		14,284		473,515
Emergent BioSolutions, Inc. *		10,409		548,034
Enanta Pharmaceuticals, Inc. *		7,995		646,875
Epizyme, Inc. *		12,703		225,478
Esperion Therapeutics, Inc. *		13,232		957,071
Exact Sciences Corp. *		39,970		1,611,990
Fate Therapeutics, Inc. *		27,294		266,389
FibroGen, Inc. *		28,846		1,332,685
Flexion Therapeutics, Inc. *		5,453		122,202
Foundation Medicine, Inc. *(a)		16,549		1,303,234
Global Blood Therapeutics, Inc. *		20,635		996,670
Halozyme Therapeutics, Inc. *		44,209		866,054
ImmunoGen, Inc. *(a)		69,786		734,149
Immunomedics, Inc. *(a)		76,534		1,118,162
Insmed, Inc. *		22,749		512,307
Intellia Therapeutics, Inc. *		9,420		198,668
Iovance Biotherapeutics, Inc. *		5,911		99,896
Keryx Biopharmaceuticals, Inc. *(a)		28,069		114,802
Kura Oncology, Inc. *		8,112		152,100
Ligand Pharmaceuticals, Inc. *		4,636		765,682
Loxo Oncology, Inc. *		12,663		1,460,930
Madrigal Pharmaceuticals, Inc. *		4,859		567,483
MiMedx Group, Inc. *(a)		40,759		284,090
Myriad Genetics, Inc. *		26,441		781,332
Ohr Pharmaceutical, Inc. *		7,600		1,671
Pieris Pharmaceuticals, Inc. *		62,341		425,166
Portola Pharmaceuticals, Inc. *		23,987		783,415
PTC Therapeutics, Inc. *		9,150		247,599
Puma Biotechnology, Inc. *		11,851		806,461
REGENXBIO, Inc. *		17,890		534,017
Repligen Corp. *		4,320		156,298
Retrophin, Inc. *		6,198		138,587
Sage Therapeutics, Inc. *		14,202		2,287,516
Sangamo Therapeutics, Inc. *		47,639		905,141
Sarepta Therapeutics, Inc. *		22,254		1,648,799
Spark Therapeutics, Inc. *		1,843		122,725
Spectrum Pharmaceuticals, Inc. *		45,354		729,746
Stemline Therapeutics, Inc. *		12,296		188,129
TG Therapeutics, Inc. *		42,766		607,277
Vanda Pharmaceuticals, Inc. *		6,242		105,178
				39,222,057
Building Products - 1.2%
AAON, Inc.		11,411		445,029
American Woodmark Corp. *		3,650		359,342
Builders FirstSource, Inc. *		45,338		899,506
Gibraltar Industries, Inc. *		3,457		117,019
Griffon Corp.		10,974		200,276
Insteel Industries, Inc.		5,358		148,042
NCI Building Systems, Inc. *		7,438		131,653
Patrick Industries, Inc. *		8,940		552,939
PGT Innovations, Inc. *		16,718		311,791
Simpson Manufacturing Co., Inc.		4,611		265,547
Trex Co., Inc. *		11,003		1,196,796
				4,627,940

INVESTMENTS	SHARES		VALUE
Capital Markets - 1.6%
Artisan Partners Asset Management, Inc., Class A		11,552	$	384,682
B. Riley Financial, Inc.		12,270		239,265
Diamond Hill Investment Group, Inc.		1,290		266,463
Evercore, Inc., Class A		5,198		453,266
GAIN Capital Holdings, Inc. (a)		24,292		163,971
Houlihan Lokey, Inc.		22,957		1,023,882
Moelis & Co., Class A		22,631		1,150,786
Piper Jaffray Cos.		3,946		327,715
PJT Partners, Inc., Class A		14,422		722,542
Stifel Financial Corp.		7,971		472,122
Virtu Financial, Inc., Class A		24,222		799,326
				6,004,020
Chemicals - 2.2%
AdvanSix, Inc. *		4,191		145,763
American Vanguard Corp.		9,893		199,839
Chase Corp.		3,665		426,789
Ferro Corp. *		32,237		748,543
GCP Applied Technologies, Inc. *		8,089		234,985
Ingevity Corp. *		14,708		1,083,833
Innophos Holdings, Inc.		3,701		148,817
Innospec, Inc.		2,779		190,639
Intrepid Potash, Inc. *(a)		95,924		349,163
KMG Chemicals, Inc.		10,063		603,277
Koppers Holdings, Inc. *		5,945		244,340
Kraton Corp. *		9,550		455,631
Kronos Worldwide, Inc.		49,010		1,107,626
Minerals Technologies, Inc.		1,646		110,200
PolyOne Corp.		13,837		588,349
Quaker Chemical Corp.		2,865		424,392
Rayonier Advanced Materials, Inc.		5,355		114,972
Stepan Co.		3,250		270,335
Trinseo SA		3,139		232,443
Tronox Ltd., Class A		36,519		673,410
				8,353,346
Commercial Services & Supplies - 1.6%
Brady Corp., Class A		8,072		299,875
Brink’s Co. (The)		19,816		1,413,872
Casella Waste Systems, Inc., Class A *		31,416		734,506
Ennis, Inc.		10,681		210,416
Healthcare Services Group, Inc.		21,718		944,299
Hudson Technologies, Inc. *		21,628		106,842
Interface, Inc.		11,356		286,171
Kimball International, Inc., Class B		9,927		169,156
Matthews International Corp., Class A		3,314		167,688
MSA Safety, Inc.		6,442		536,232
Multi-Color Corp.		2,315		152,906
Quad/Graphics, Inc.		6,078		154,077
SP Plus Corp. *		4,630		164,828
Tetra Tech, Inc.		4,882		238,974
US Ecology, Inc.		3,206		170,880
Viad Corp.		8,505		446,087
				6,196,809
Communications Equipment - 0.9%
Applied Optoelectronics, Inc. *(a)		7,780		194,967
CalAmp Corp. *		11,907		272,432

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

AQR Funds Semi-Annual Report March 2018

55

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Communications Equipment - 0.9% (continued)
Comtech Telecommunications Corp.		7,139	$	213,385
EMCORE Corp. *		36,279		206,790
Extreme Networks, Inc. *		67,662		749,018
Harmonic, Inc. *		37,222		141,444
Lumentum Holdings, Inc. *		17,419		1,111,332
Ubiquiti Networks, Inc. *(a)		5,002		344,138
Viavi Solutions, Inc. *		12,510		121,597
				3,355,103
Construction & Engineering - 1.3%
Aegion Corp. *		6,788		155,513
Argan, Inc.		3,584		153,933
Comfort Systems USA, Inc.		6,501		268,166
Dycom Industries, Inc. *		7,672		825,737
EMCOR Group, Inc.		6,170		480,828
Granite Construction, Inc.		1,871		104,514
HC2 Holdings, Inc. *		27,896		146,733
KBR, Inc.		10,161		164,507
MasTec, Inc. *		17,330		815,377
MYR Group, Inc. *		5,924		182,578
NV5 Global, Inc. *		12,212		680,819
Primoris Services Corp.		11,585		289,393
Sterling Construction Co., Inc. *		31,820		364,657
Tutor Perini Corp. *		5,707		125,839
				4,758,594
Construction Materials - 0.4%
Summit Materials, Inc., Class A *		39,384		1,192,547
US Concrete, Inc. *(a)		6,769		408,848
				1,601,395
Consumer Finance - 1.0%
Encore Capital Group, Inc. *(a)		9,802		443,050
Enova International, Inc. *		13,238		291,898
FirstCash, Inc.		10,114		821,763
Green Dot Corp., Class A *		22,014		1,412,418
Nelnet, Inc., Class A		4,465		234,011
Regional Management Corp. *		7,164		228,102
World Acceptance Corp. *		3,028		318,848
				3,750,090
Containers & Packaging - 0.1%
Greif, Inc., Class A		4,617		241,238
Diversified Consumer Services - 2.0%
Adtalem Global Education, Inc. *		18,688		888,614
Career Education Corp. *		35,599		467,771
Carriage Services, Inc.		7,513		207,810
Chegg, Inc. *		58,413		1,206,812
Grand Canyon Education, Inc. *		18,472		1,938,082
K12, Inc. *		15,726		222,995
Sotheby’s *		7,699		395,036
Strayer Education, Inc.		1,973		199,372
Weight Watchers International, Inc. *		29,949		1,908,350
				7,434,842
Diversified Telecommunication Services - 0.4%
Cogent Communications Holdings, Inc.		4,273		185,448
Globalstar, Inc. *(a)		270,302		185,833
IDT Corp., Class B *		12,066		75,654

INVESTMENTS	SHARES		VALUE
Diversified Telecommunication Services - 0.4% (continued)
ORBCOMM, Inc. *		27,576	$	258,387
Vonage Holdings Corp. *		59,446		633,100
				1,338,422
Electric Utilities - 0.5%
ALLETE, Inc.		6,715		485,159
El Paso Electric Co.		7,448		379,848
IDACORP, Inc.		1,339		118,193
Otter Tail Corp.		3,477		150,728
PNM Resources, Inc.		14,357		549,155
Spark Energy, Inc., Class A (a)		15,794		187,159
				1,870,242
Electrical Equipment - 0.1%
Energous Corp. *(a)		5,342		85,632
Plug Power, Inc. *(a)		80,747		152,612
Vivint Solar, Inc. *(a)		45,845		167,334
				405,578
Electronic Equipment, Instruments & Components - 2.5%
Anixter International, Inc. *		1,875		142,031
AVX Corp.		12,390		205,054
Badger Meter, Inc.		7,765		366,120
Control4 Corp. *		21,479		461,369
CTS Corp.		12,200		331,840
Electro Scientific Industries, Inc. *		23,887		461,736
ePlus, Inc. *		5,392		418,958
FARO Technologies, Inc. *		1,850		108,040
II-VI, Inc. *		15,827		647,324
Insight Enterprises, Inc. *		6,142		214,540
Itron, Inc. *		3,429		245,345
KEMET Corp. *		26,454		479,611
Littelfuse, Inc.		7,264		1,512,220
Mesa Laboratories, Inc.		2,830		420,085
Methode Electronics, Inc.		4,269		166,918
MicroVision, Inc. *(a)		65,370		73,868
Novanta, Inc. *		20,306		1,058,958
PC Connection, Inc.		7,181		179,525
Plexus Corp. *		1,912		114,204
Rogers Corp. *		7,973		953,092
SYNNEX Corp.		1,152		136,397
Systemax, Inc.		17,492		499,397
TTM Technologies, Inc. *		7,368		112,657
Vishay Intertechnology, Inc.		13,357		248,440
				9,557,729
Energy Equipment & Services - 0.2%
Archrock, Inc.		11,319		99,041
Exterran Corp. *		15,398		411,127
McDermott International, Inc. *		17,261		105,120
Newpark Resources, Inc. *		14,013		113,505
				728,793
Equity Real Estate Investment Trusts (REITs) - 1.8%
CareTrust REIT, Inc.		8,156		109,290
Community Healthcare Trust, Inc.		9,346		240,566
EastGroup Properties, Inc.		7,269		600,856
First Industrial Realty Trust, Inc.		5,968		174,445
Four Corners Property Trust, Inc.		10,973		253,367
Front Yard Residential Corp.		12,764		128,278

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

AQR Funds Semi-Annual Report March 2018

56

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 1.8% (continued)
GEO Group, Inc. (The)		8,800	$	180,136
Getty Realty Corp.		7,235		182,467
Gladstone Commercial Corp.		7,944		137,749
Independence Realty Trust, Inc.		19,647		180,359
Jernigan Capital, Inc.		8,682		157,144
Monmouth Real Estate Investment Corp.		23,743		357,095
National Storage Affiliates Trust		11,288		283,103
NexPoint Residential Trust, Inc.		20,310		504,500
Pebblebrook Hotel Trust (a)		9,022		309,906
PotlatchDeltic Corp.		6,774		352,587
Preferred Apartment Communities, Inc., Class A		19,809		281,090
PS Business Parks, Inc.		2,058		232,636
Rexford Industrial Realty, Inc.		25,149		724,040
STAG Industrial, Inc.		15,833		378,725
Summit Hotel Properties, Inc.		8,405		114,392
Terreno Realty Corp.		13,239		456,878
UMH Properties, Inc.		9,125		122,366
Xenia Hotels & Resorts, Inc.		13,288		262,039
				6,724,014
Food & Staples Retailing - 0.2%
Performance Food Group Co. *		21,894		653,536
Food Products - 0.7%
Calavo Growers, Inc. (a)		3,047		280,934
Darling Ingredients, Inc. *		35,277		610,292
Freshpet, Inc. *(a)		16,338		268,760
John B Sanfilippo & Son, Inc.		3,456		199,999
Sanderson Farms, Inc.		7,847		933,950
Tootsie Roll Industries, Inc. (a)		5,223		153,821
				2,447,756
Gas Utilities - 0.4%
Chesapeake Utilities Corp.		2,140		150,549
New Jersey Resources Corp.		8,922		357,772
ONE Gas, Inc.		8,514		562,094
Spire, Inc.		7,088		512,463
				1,582,878
Health Care Equipment & Supplies - 5.5%
Anika Therapeutics, Inc. *		3,754		186,649
Antares Pharma, Inc. *		92,674		203,883
AtriCure, Inc. *		10,862		222,888
Atrion Corp.		378		238,631
AxoGen, Inc. *		28,960		1,057,040
Cantel Medical Corp.		7,458		830,896
Cardiovascular Systems, Inc. *		5,708		125,176
CryoLife, Inc. *		13,209		264,840
Cutera, Inc. *		15,176		762,594
Globus Medical, Inc., Class A *		28,400		1,414,888
Haemonetics Corp. *		12,888		942,886
Halyard Health, Inc. *		6,513		300,119
Heska Corp. *		3,525		278,722
ICU Medical, Inc. *		5,839		1,473,764
Inogen, Inc. *		10,668		1,310,457
Insulet Corp. *		19,886		1,723,718
Integer Holdings Corp. *		10,594		599,091
Integra LifeSciences Holdings Corp. *		3,067		169,728
iRhythm Technologies, Inc. *		4,347		273,644

INVESTMENTS	SHARES		VALUE
Health Care Equipment & Supplies - 5.5% (continued)
K2M Group Holdings, Inc. *		5,719	$	108,375
Lantheus Holdings, Inc. *		33,967		540,075
LeMaitre Vascular, Inc.		16,749		606,816
LivaNova plc *		13,835		1,224,397
Masimo Corp. *		5,683		499,820
Merit Medical Systems, Inc. *		19,266		873,713
Neogen Corp. *		3,043		203,851
Nevro Corp. *		1,634		141,619
Novocure Ltd. *		38,156		831,801
OraSure Technologies, Inc. *		33,053		558,265
Orthofix International NV *		2,774		163,056
Penumbra, Inc. *		9,458		1,093,818
Pulse Biosciences, Inc. *(a)		18,869		255,298
Quidel Corp. *		13,229		685,394
Sientra, Inc. *(a)		11,982		115,746
Tactile Systems Technology, Inc. *(a)		4,537		144,277
ViewRay, Inc. *(a)		48,658		312,871
				20,738,806
Health Care Providers & Services - 2.4%
Addus HomeCare Corp. *		10,894		529,993
Amedisys, Inc. *		3,435		207,268
AMN Healthcare Services, Inc. *		3,089		175,301
BioTelemetry, Inc. *		11,408		354,218
Chemed Corp.		5,031		1,372,759
CorVel Corp. *		6,100		308,355
Cross Country Healthcare, Inc. *		14,589		162,084
Diplomat Pharmacy, Inc. *(a)		25,476		513,341
Encompass Health Corp.		19,065		1,089,946
HealthEquity, Inc. *		4,278		258,990
Kindred Healthcare, Inc.��*		11,726		107,293
LHC Group, Inc. *		8,130		500,483
Magellan Health, Inc. *		1,312		140,515
MedCath Corp. (3) *(b)		10,300		—
Molina Healthcare, Inc. *		17,129		1,390,532
National HealthCare Corp.		1,886		112,462
Providence Service Corp. (The) *		1,747		120,788
Select Medical Holdings Corp. *		40,764		703,179
Tivity Health, Inc. *		22,160		878,644
US Physical Therapy, Inc.		3,234		262,924
				9,189,075
Health Care Technology - 1.1%
Allscripts Healthcare Solutions, Inc. *		28,259		348,999
Cotiviti Holdings, Inc. *		5,185		178,571
HealthStream, Inc.		7,258		180,216
Inovalon Holdings, Inc., Class A *(a)		15,044		159,466
Medidata Solutions, Inc. *		13,637		856,540
Omnicell, Inc. *		11,529		500,359
Quality Systems, Inc. *		12,397		169,219
Tabula Rasa HealthCare, Inc. *		6,576		255,149
Teladoc, Inc. *(a)		26,182		1,055,135
Vocera Communications, Inc. *		18,450		432,099
				4,135,753
Hotels, Restaurants & Leisure - 4.2%
Bloomin’ Brands, Inc.		5,153		125,115
Boyd Gaming Corp.		39,000		1,242,540
Caesars Entertainment Corp. *		220,969		2,485,901

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

AQR Funds Semi-Annual Report March 2018

57

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 4.2% (continued)
Carrols Restaurant Group, Inc. *		11,164	$	125,037
Churchill Downs, Inc.		2,725		665,036
Dave & Buster’s Entertainment, Inc. *		2,396		100,009
Del Taco Restaurants, Inc. *		12,276		127,179
Denny’s Corp. *		16,550		255,367
Eldorado Resorts, Inc. *(a)		37,446		1,235,718
Golden Entertainment, Inc. *		9,096		211,300
ILG, Inc.		39,981		1,243,809
International Speedway Corp., Class A		3,567		157,305
Jack in the Box, Inc.		1,265		107,942
Marcus Corp. (The)		6,900		209,415
Marriott Vacations Worldwide Corp.		10,405		1,385,946
Monarch Casino & Resort, Inc. *(a)		7,349		310,789
Penn National Gaming, Inc. *		36,477		957,886
Planet Fitness, Inc., Class A *		38,028		1,436,318
RCI Hospitality Holdings, Inc.		11,399		323,618
Red Robin Gourmet Burgers, Inc. *		2,370		137,460
Red Rock Resorts, Inc., Class A		22,592		661,494
Ruth’s Hospitality Group, Inc.		9,641		235,722
Scientific Games Corp., Class A *		36,240		1,507,584
Texas Roadhouse, Inc.		2,081		120,240
Wingstop, Inc.		10,171		480,376
				15,849,106
Household Durables - 2.2%
Bassett Furniture Industries, Inc.		12,552		380,953
Beazer Homes USA, Inc. *		10,944		174,557
Cavco Industries, Inc. *		2,640		458,700
Century Communities, Inc. *		3,662		109,677
Flexsteel Industries, Inc.		1,321		52,285
Hooker Furniture Corp.		10,743		394,268
Installed Building Products, Inc. *		15,233		914,742
iRobot Corp. *(a)		8,024		515,061
KB Home		33,288		947,044
LGI Homes, Inc. *(a)		11,646		821,858
M/I Homes, Inc. *		5,839		185,972
MDC Holdings, Inc.		11,585		323,453
Meritage Homes Corp. *		7,225		326,931
Taylor Morrison Home Corp., Class A *		11,290		262,831
TopBuild Corp. *		17,444		1,334,815
TRI Pointe Group, Inc. *		38,529		633,031
William Lyon Homes, Class A *		11,179		307,311
ZAGG, Inc. *		17,070		208,254
				8,351,743
Household Products - 0.3%
Central Garden & Pet Co., Class A *		22,847		904,970
HRG Group, Inc. *		9,934		163,811
				1,068,781
Independent Power and Renewable Electricity Producers - 0.1%
NRG Yield, Inc., Class C		9,307		158,219
Ormat Technologies, Inc.		6,365		358,859
				517,078
Industrial Conglomerates - 0.1%
Raven Industries, Inc.		8,805		308,615

INVESTMENTS	SHARES		VALUE
Insurance - 2.3%
American Equity Investment Life Holding Co.		21,730	$	637,993
AMERISAFE, Inc.		3,029		167,352
CNO Financial Group, Inc.		37,506		812,755
eHealth, Inc. *		9,742		139,408
Employers Holdings, Inc.		6,048		244,642
Enstar Group Ltd. *		725		152,431
FBL Financial Group, Inc., Class A		7,378		511,664
HCI Group, Inc. (a)		4,590		175,154
Health Insurance Innovations, Inc., Class A *(a)		14,312		413,617
Horace Mann Educators Corp.		3,809		162,835
James River Group Holdings Ltd.		4,897		173,697
Kemper Corp.		13,537		771,609
National Western Life Group, Inc., Class A		528		160,977
Navigators Group, Inc. (The)		3,083		177,735
Primerica, Inc.		16,110		1,556,226
Safety Insurance Group, Inc.		1,836		141,097
Selective Insurance Group, Inc.		11,375		690,462
Stewart Information Services Corp.		3,674		161,435
Third Point Reinsurance Ltd. *		7,922		110,512
Trupanion, Inc. *(a)		20,746		620,098
United Fire Group, Inc.		5,138		245,905
United Insurance Holdings Corp.		8,652		165,599
Universal Insurance Holdings, Inc.		3,911		124,761
				8,517,964
Internet & Direct Marketing Retail - 0.6%
Groupon, Inc. *		152,882		663,508
Nutrisystem, Inc.		13,215		356,144
Overstock.com, Inc. *(a)		13,175		477,594
PetMed Express, Inc. (a)		14,244		594,687
Shutterfly, Inc. *		1,917		155,756
				2,247,689
Internet Software & Services - 6.1%
2U, Inc. *		21,287		1,788,747
Alarm.com Holdings, Inc. *(a)		11,688		441,105
Appfolio, Inc., Class A *		20,427		834,443
Apptio, Inc., Class A *		12,722		360,541
Blucora, Inc. *		27,073		665,996
Box, Inc., Class A *		35,063		720,545
Brightcove, Inc. *		21,470		149,216
Carbonite, Inc. *		14,510		417,888
Care.com, Inc. *		12,036		195,826
Cimpress NV (Netherlands) *		8,225		1,272,408
CommerceHub, Inc., Series C *		8,834		198,677
Coupa Software, Inc. *		2,434		111,039
Envestnet, Inc. *		12,174		697,570
Etsy, Inc. *		38,545		1,081,573
Five9, Inc. *		33,679		1,003,297
Gogo, Inc. *(a)		16,040		138,425
GrubHub, Inc. *		33,017		3,350,235
GTT Communications, Inc. *		15,960		904,932
Hortonworks, Inc. *		31,896		649,722
Instructure, Inc. *		11,481		483,924
Internap Corp. *		15,241		167,651
Limelight Networks, Inc. *		35,604		146,332
LivePerson, Inc. *		22,583		369,232

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

AQR Funds Semi-Annual Report March 2018

58

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Internet Software & Services - 6.1% (continued)
MINDBODY, Inc., Class A *		16,845	$	655,270
New Relic, Inc. *		20,505		1,519,831
Nutanix, Inc., Class A *		12,078		593,151
Q2 Holdings, Inc. *		12,426		566,004
QuinStreet, Inc. *		18,983		242,413
Quotient Technology, Inc. *		10,253		134,314
Stamps.com, Inc. *		6,465		1,299,788
Trade Desk, Inc. (The), Class A *(a)		13,966		692,993
TrueCar, Inc. *(a)		12,774		120,842
Tucows, Inc., Class A *(a)		6,755		378,280
Web.com Group, Inc. *		10,966		198,485
XO Group, Inc. *		16,852		349,679
				22,900,374
IT Services - 1.4%
Blackhawk Network Holdings, Inc. *		2,953		131,999
CACI International, Inc., Class A *		1,459		220,820
CSG Systems International, Inc.		3,860		174,819
EPAM Systems, Inc. *		15,989		1,831,060
Everi Holdings, Inc. *		69,206		454,683
ExlService Holdings, Inc. *		3,131		174,616
Hackett Group, Inc. (The)		15,924		255,739
ManTech International Corp., Class A		7,068		392,062
MAXIMUS, Inc.		5,371		358,461
Perficient, Inc. *		7,395		169,493
Syntel, Inc. *		12,315		314,402
TTEC Holdings, Inc.		8,888		272,862
Virtusa Corp. *		8,269		400,716
				5,151,732
Leisure Products - 0.3%
Callaway Golf Co.		18,337		299,994
Johnson Outdoors, Inc., Class A		4,566		283,092
Malibu Boats, Inc., Class A *		12,549		416,752
MCBC Holdings, Inc. *		11,366		286,423
				1,286,261
Life Sciences Tools & Services - 0.6%
Accelerate Diagnostics, Inc. *(a)		4,637		105,955
Enzo Biochem, Inc. *		30,080		164,838
NeoGenomics, Inc. *(a)		19,448		158,696
PRA Health Sciences, Inc. *		20,291		1,683,341
Syneos Health, Inc. *		2,611		92,691
				2,205,521
Machinery - 4.8%
Alamo Group, Inc.		4,338		476,746
Albany International Corp., Class A		3,705		232,304
Altra Industrial Motion Corp. (a)		10,292		472,917
Astec Industries, Inc.		2,885		159,194
Barnes Group, Inc.		15,034		900,386
Chart Industries, Inc. *		5,007		295,563
Columbus McKinnon Corp.		10,083		361,375
Commercial Vehicle Group, Inc. *		22,354		173,244
Douglas Dynamics, Inc.		9,186		398,213
EnPro Industries, Inc.		4,722		365,388
ESCO Technologies, Inc.		2,964		173,542
Federal Signal Corp.		10,357		228,061
Franklin Electric Co., Inc.		3,130		127,548

INVESTMENTS	SHARES		VALUE
Machinery - 4.8% (continued)
Global Brass & Copper Holdings, Inc.		10,438	$	349,151
Greenbrier Cos., Inc. (The)		5,663		284,566
Harsco Corp. *		35,429		731,609
Hillenbrand, Inc.		4,532		208,019
Hyster-Yale Materials Handling, Inc.		2,470		172,727
John Bean Technologies Corp.		13,638		1,546,549
Kadant, Inc.		5,078		479,871
Kennametal, Inc.		27,277		1,095,444
Lydall, Inc. *		4,278		206,414
Manitowoc Co., Inc. (The) *		14,088		400,944
Meritor, Inc. *		32,900		676,424
Mueller Water Products, Inc., Class A		13,903		151,126
Navistar International Corp. *		35,139		1,228,811
NN, Inc.		9,792		235,008
Proto Labs, Inc. *		8,615		1,012,693
RBC Bearings, Inc. *		5,815		722,223
Rexnord Corp. *		16,060		476,661
Spartan Motors, Inc.		25,080		431,376
SPX Corp. *		28,258		917,820
SPX FLOW, Inc. *		7,228		355,545
Standex International Corp.		2,682		255,729
Sun Hydraulics Corp.		8,500		455,260
Tennant Co.		2,238		151,513
Titan International, Inc.		18,315		230,952
Wabash National Corp.		16,454		342,408
Woodward, Inc.		5,061		362,671
				17,845,995
Marine - 0.1%
Safe Bulkers, Inc. (Greece) *		55,946		177,349
Scorpio Bulkers, Inc.		28,107		198,154
				375,503
Media - 0.9%
Entravision Communications Corp., Class A		17,347		81,531
EW Scripps Co. (The), Class A		8,418		100,932
Gannett Co., Inc. (a)		10,833		108,113
Gray Television, Inc. *		22,835		290,005
Liberty Media Corp.-Liberty Braves, Class C *		10,060		229,569
New Media Investment Group, Inc.		8,166		139,965
New York Times Co. (The), Class A		55,843		1,345,816
Nexstar Media Group, Inc., Class A		2,992		198,968
World Wrestling Entertainment, Inc., Class A		25,683		924,845
				3,419,744
Metals & Mining - 0.8%
Allegheny Technologies, Inc. *		43,797		1,037,113
Carpenter Technology Corp.		9,974		440,053
Century Aluminum Co. *		34,401		568,992
Kaiser Aluminum Corp.		2,738		276,264
Materion Corp.		4,614		235,545
Schnitzer Steel Industries, Inc., Class A		3,833		123,998
SunCoke Energy, Inc. *		17,608		189,462
TimkenSteel Corp. *		7,694		116,872
Worthington Industries, Inc.		2,808		120,519
				3,108,818

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

AQR Funds Semi-Annual Report March 2018

59

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Multiline Retail - 0.4%
Ollie’s Bargain Outlet Holdings, Inc. *		25,541	$	1,540,122
Multi-Utilities - 0.1%
Unitil Corp.		4,322		200,584
Oil, Gas & Consumable Fuels - 1.2%
Abraxas Petroleum Corp. *		96,723		214,725
Approach Resources, Inc. *(a)		65,375		170,629
Arch Coal, Inc., Class A		1,739		159,779
CVR Energy, Inc. (a)		30,848		932,227
Delek US Energy, Inc.		27,301		1,111,151
GasLog Ltd. (Monaco)		13,038		214,475
Golar LNG Ltd.		4,091		111,930
Matador Resources Co. *		4,837		144,675
NACCO Industries, Inc., Class A		3,287		107,978
Par Pacific Holdings, Inc. *		10,356		177,812
Renewable Energy Group, Inc. *		10,705		137,024
Resolute Energy Corp. *(a)		3,377		117,013
REX American Resources Corp. *		2,433		177,122
Ring Energy, Inc. *		15,968		229,141
Uranium Energy Corp. *(a)		124,327		162,868
W&T Offshore, Inc. *		29,838		132,182
WildHorse Resource Development Corp. *(a)		12,811		244,562
				4,545,293
Paper & Forest Products - 0.5%
Boise Cascade Co.		9,843		379,940
Louisiana-Pacific Corp.		43,337		1,246,805
Neenah, Inc.		2,788		218,579
Verso Corp., Class A *		9,533		160,536
				2,005,860
Personal Products - 0.1%
Inter Parfums, Inc.		4,301		202,792
Medifast, Inc.		2,954		276,052
				478,844
Pharmaceuticals - 4.0%
Aerie Pharmaceuticals, Inc. *		8,365		453,801
Amphastar Pharmaceuticals, Inc. *		6,748		126,525
Assembly Biosciences, Inc. *		13,943		685,159
Catalent, Inc. *		43,313		1,778,432
Collegium Pharmaceutical, Inc. *		5,060		129,283
Corcept Therapeutics, Inc. *(a)		50,782		835,364
Corium International, Inc. *(a)		15,140		173,656
Intersect ENT, Inc. *		15,317		601,958
MyoKardia, Inc. *		16,954		827,355
Nektar Therapeutics *		57,051		6,062,239
Omeros Corp. *(a)		24,549		274,212
Paratek Pharmaceuticals, Inc. *		11,158		145,054
Phibro Animal Health Corp., Class A		13,491		535,593
Reata Pharmaceuticals, Inc., Class A *(a)		9,713		199,214
Revance Therapeutics, Inc. *		12,405		382,074
Supernus Pharmaceuticals, Inc. *		20,564		941,831
Zogenix, Inc. *		17,389		696,430
				14,848,180

INVESTMENTS	SHARES		VALUE
Professional Services - 1.7%
Barrett Business Services, Inc.		2,777	$	230,158
CBIZ, Inc. *		11,492		209,729
CRA International, Inc.		8,044		420,621
Exponent, Inc.		3,770		296,510
Heidrick & Struggles International, Inc.		6,742		210,687
ICF International, Inc.		3,076		179,792
Insperity, Inc.		10,994		764,633
Kelly Services, Inc., Class A		6,667		193,610
Kforce, Inc.		6,514		176,204
Korn/Ferry International		17,831		919,901
Mistras Group, Inc. *		8,171		154,759
Navigant Consulting, Inc. *		6,717		129,235
On Assignment, Inc. *		12,991		1,063,703
TriNet Group, Inc. *		23,494		1,088,242
Willdan Group, Inc. *		11,019		312,389
				6,350,173
Real Estate Management & Development - 0.5%
HFF, Inc., Class A		10,183		506,095
Marcus & Millichap, Inc. *		5,385		194,183
Maui Land & Pineapple Co., Inc. *		12,917		150,483
Rafael Holdings, Inc., Class B *		6,033		29,260
RE/MAX Holdings, Inc., Class A		4,167		251,895
RMR Group, Inc. (The), Class A		10,745		751,613
				1,883,529
Road & Rail - 1.0%
ArcBest Corp.		6,210		199,031
Knight-Swift Transportation Holdings, Inc.		24,231		1,114,868
Marten Transport Ltd.		11,529		262,861
Saia, Inc. *		15,288		1,148,893
Werner Enterprises, Inc.		23,574		860,451
				3,586,104
Semiconductors & Semiconductor Equipment - 3.5%
Advanced Energy Industries, Inc. *		4,967		317,391
Alpha & Omega Semiconductor Ltd. *		14,897		230,159
Axcelis Technologies, Inc. *		22,700		558,420
AXT, Inc. *		52,806		382,843
Brooks Automation, Inc.		21,397		579,431
Cabot Microelectronics Corp.		7,508		804,182
CEVA, Inc. *		10,802		391,032
Cohu, Inc.		17,983		410,192
Cree, Inc. *		22,693		914,755
Diodes, Inc. *		5,317		161,956
Entegris, Inc.		50,133		1,744,628
FormFactor, Inc. *		33,034		450,914
Ichor Holdings Ltd. *(a)		5,514		133,494
MaxLinear, Inc. *		6,149		139,890
MKS Instruments, Inc.		18,590		2,149,933
Monolithic Power Systems, Inc.		14,178		1,641,387
Photronics, Inc. *		17,287		142,618
Rudolph Technologies, Inc. *		6,157		170,549
Semtech Corp. *		7,080		276,474
Silicon Laboratories, Inc. *		12,015		1,080,149
Ultra Clean Holdings, Inc. *		20,911		402,537
				13,082,934

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

AQR Funds Semi-Annual Report March 2018

60

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Software - 5.7%
8x8, Inc. *		10,648	$	198,585
ACI Worldwide, Inc. *		8,155		193,437
Aspen Technology, Inc. *		14,682		1,158,263
Blackbaud, Inc.		15,748		1,603,304
Bottomline Technologies de, Inc. *		8,515		329,956
CommVault Systems, Inc. *		2,269		129,787
Digimarc Corp. *		4,179		100,087
Ebix, Inc. (a)		5,874		437,613
Everbridge, Inc. *		4,047		148,120
Fair Isaac Corp. *		6,763		1,145,449
Glu Mobile, Inc. *		45,007		169,676
HubSpot, Inc. *		13,683		1,481,869
Mitek Systems, Inc. *		27,452		203,145
MobileIron, Inc. *		34,224		169,409
Paycom Software, Inc. *(a)		22,745		2,442,586
Paylocity Holding Corp. *		13,203		676,390
Pegasystems, Inc.		21,439		1,300,275
Progress Software Corp.		12,969		498,658
Proofpoint, Inc. *		3,854		438,007
PROS Holdings, Inc. *		9,268		305,937
Qualys, Inc. *		14,348		1,043,817
Rapid7, Inc. *		12,222		312,517
RealPage, Inc. *		29,100		1,498,650
RingCentral, Inc., Class A *		31,163		1,978,850
Upland Software, Inc. *		17,368		500,025
Varonis Systems, Inc. *		11,227		679,233
Workiva, Inc. *		12,211		289,401
Zendesk, Inc. *		33,629		1,609,820
Zix Corp. *		44,752		191,091
				21,233,957
Specialty Retail - 2.6%
Aaron’s, Inc.		22,923		1,068,212
Abercrombie & Fitch Co., Class A		30,430		736,711
American Eagle Outfitters, Inc.		17,787		354,495
At Home Group, Inc. *		12,405		397,456
Boot Barn Holdings, Inc. *		9,357		165,900
Camping World Holdings, Inc., Class A		18,327		591,046
Children’s Place, Inc. (The)		7,081		957,705
Citi Trends, Inc.		7,878		243,509
Conn’s, Inc. *(a)		21,661		736,474
Five Below, Inc. *		17,930		1,314,986
Guess?, Inc.		25,803		535,154
Haverty Furniture Cos., Inc.		10,519		211,958
Lithia Motors, Inc., Class A		5,764		579,397
Lumber Liquidators Holdings, Inc. *(a)		14,709		351,839
Restoration Hardware Holdings, Inc. *(a)		10,397		990,626
Sleep Number Corp. *		11,697		411,150
Tilly’s, Inc., Class A		24,211		273,584
				9,920,202
Technology Hardware, Storage & Peripherals - 0.4%
Intevac, Inc. *		21,392		147,605
Pure Storage, Inc., Class A *		68,448		1,365,537
USA Technologies, Inc. *		13,595		122,355
				1,635,497
Textiles, Apparel & Luxury Goods - 1.4%
Columbia Sportswear Co.		13,619		1,040,900

INVESTMENTS	SHARES		VALUE
Textiles, Apparel & Luxury Goods - 1.4% (continued)
Crocs, Inc. *		31,647	$	514,264
Culp, Inc.		10,878		332,323
Deckers Outdoor Corp. *		12,133		1,092,334
G-III Apparel Group Ltd. *		9,359		352,647
Movado Group, Inc.		5,631		216,230
Oxford Industries, Inc.		3,159		235,535
Perry Ellis International, Inc. *		7,211		186,044
Steven Madden Ltd.		5,581		245,006
Unifi, Inc. *		5,876		213,005
Wolverine World Wide, Inc.		24,085		696,057
				5,124,345
Thrifts & Mortgage Finance - 2.3%
Beneficial Bancorp, Inc.		9,339		145,221
Essent Group Ltd. *		29,966		1,275,353
Federal Agricultural Mortgage Corp., Class C		6,143		534,564
First Defiance Financial Corp.		3,000		171,960
Flagstar Bancorp, Inc. *		10,097		357,434
LendingTree, Inc. *		5,279		1,732,304
Meridian Bancorp, Inc.		12,356		248,973
Meta Financial Group, Inc.		1,105		120,666
MGIC Investment Corp. *		121,381		1,577,953
NMI Holdings, Inc., Class A *		31,611		523,162
Northfield Bancorp, Inc.		9,328		145,610
Radian Group, Inc.		17,794		338,798
Walker & Dunlop, Inc.		12,133		720,943
Waterstone Financial, Inc.		21,385		369,960
WSFS Financial Corp.		4,702		225,226
				8,488,127
Trading Companies & Distributors - 1.7%
Applied Industrial Technologies, Inc.		6,263		456,573
Beacon Roofing Supply, Inc. *		11,273		598,258
CAI International, Inc. *		17,416		370,264
DXP Enterprises, Inc. *		6,458		251,539
GATX Corp.		4,948		338,888
GMS, Inc. *		5,417		165,544
H&E Equipment Services, Inc.		12,691		488,477
Herc Holdings, Inc. *		2,827		183,614
Kaman Corp.		2,836		176,172
Rush Enterprises, Inc., Class A *		16,672		708,393
SiteOne Landscape Supply, Inc. *		16,350		1,259,604
Textainer Group Holdings Ltd. *		21,055		356,882
Triton International Ltd.		29,742		910,105
				6,264,313
Water Utilities - 0.4%
American States Water Co.		6,678		354,335
Cadiz, Inc. *(a)		13,263		179,051
California Water Service Group		6,801		253,337
Connecticut Water Service, Inc.		3,531		213,731
Middlesex Water Co.		4,945		181,482
SJW Group		4,630		244,047
				1,425,983
Wireless Telecommunication Services - 0.3%
Boingo Wireless, Inc. *		29,727		736,338
Shenandoah Telecommunications Co.		12,109		435,924

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

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61

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Wireless Telecommunication Services - 0.3% (continued)
Spok Holdings, Inc.		7,837	$	117,163
				1,289,425
TOTAL COMMON STOCKS (Cost $279,530,382)				366,580,713
	NO. OF RIGHTS
RIGHTS - 0.0%
Electronic Equipment, Instruments & Components - 0.0%
Gerber Scientific, Inc., CVR (3)*(b)
(Cost $–)		4,000		—
	NO. OF WARRANTS
WARRANTS - 0.0% (c)
Diversified Consumer Services - 0.0% (c)
Education Management Corp., expiring 1/5/2022 (3)*(b)
(Cost $–)		6,600		—
	SHARES
SHORT-TERM INVESTMENTS - 2.3%
Investment Companies - 2.3%
Limited Purpose Cash Investment Fund, 1.53% (2)(d)
(Cost $8,530,138)		8,532,008		8,530,301
SECURITIES LENDING COLLATERAL - 6.0%
Investment Companies - 6.0%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(d)(e)		2,634,797		2,634,797
Limited Purpose Cash Investment Fund 1.53% (2)(d)(e)		19,692,934		19,692,934
TOTAL SECURITIES LENDING COLLATERAL (Cost $22,327,731)				22,327,731
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 106.0% (Cost $310,388,251)				397,438,745
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.0)% (f)			(22,459,406)
NET ASSETS - 100.0%			$	374,979,339

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	58,945,414			15.7	%
Consumer Staples		7,982,627			2.1
Energy		5,274,086			1.4
Financials		36,541,935			9.7
Health Care		90,339,391			24.1
Industrials		58,437,121			15.6
Information Technology		76,917,326			20.5
Materials		15,310,658			4.1
Real Estate		8,607,543			2.3
Telecommunication Services		2,627,847			0.7
Utilities		5,596,765			1.5
Short-Term Investments		8,530,301			2.3
Securities Lending Collateral		22,327,731			6.0
Total Investments In Securities At Value		397,438,745			106.0
Liabilities in Excess of Other Assets (f)		(22,459,406	)		(6.0	)
Net Assets	$	374,979,339			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $21,872,955.

(b) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at March 31, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

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

(d) Represents 7-day effective yield as of March 31, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

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

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

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

Abbreviations

CVR - Contingent Value Rights

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP MOMENTUM STYLE FUND

Futures contracts outstanding as of March 31, 2018 :

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Russell 2000 E-Mini Index		67	6/2018	USD		$5,129,520		$(240,086	)
								$(240,086	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$521,893		$521,893

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.8%
Australia - 3.5%
AGL Energy Ltd.		42,870	$	718,528
Alumina Ltd.		238,050		436,782
Amcor Ltd.		19,354		211,933
Aristocrat Leisure Ltd.		71,809		1,340,713
ASX Ltd.		4,892		212,007
AusNet Services		141,964		183,626
BlueScope Steel Ltd.		47,595		559,964
Boral Ltd.		33,886		195,465
Caltex Australia Ltd.		7,692		186,847
Challenger Ltd.		34,434		308,385
CIMIC Group Ltd.		16,147		555,740
Cochlear Ltd.		4,531		636,368
Computershare Ltd.		36,287		486,625
CSL Ltd.		29,078		3,503,278
Flight Centre Travel Group Ltd.		7,967		350,721
Goodman Group, REIT		82,707		537,771
Incitec Pivot Ltd.		54,550		148,459
Insurance Australia Group Ltd.		33,454		193,696
Macquarie Group Ltd.		7,263		579,131
Medibank Pvt Ltd.		92,539		207,706
Mirvac Group, REIT		109,763		182,414
National Australia Bank Ltd.		9,265		204,539
Orica Ltd.		12,346		169,938
Origin Energy Ltd. *		128,790		869,150
REA Group Ltd.		4,903		301,029
SEEK Ltd.		8,938		128,916
South32 Ltd.		228,382		573,964
Treasury Wine Estates Ltd.		85,663		1,119,209
				15,102,904
Austria - 1.0%
ANDRITZ AG		8,061		450,755
Erste Group Bank AG *		11,724		589,405
OMV AG		29,529		1,722,339
Raiffeisen Bank International AG *		29,632		1,154,155
voestalpine AG		5,354		280,856
				4,197,510
Belgium - 0.7%
Ageas		4,815		248,476
KBC Group NV		7,513		654,224
Solvay SA		4,793		666,129
Telenet Group Holding NV *		2,970		198,529
Umicore SA		19,235		1,018,979
				2,786,337
Canada - 3.2%
BlackBerry Ltd. (1)*		59,259		681,201
Bombardier, Inc., Class B (1)*		244,477		711,599
Brookfield Asset Management, Inc., Class A (1)		6,314		246,120
CAE, Inc. (1)		10,652		198,265
Canadian Pacific Railway Ltd. (1)		2,104		371,040
Canadian Tire Corp. Ltd., Class A (1)		2,842		373,683
CCL Industries, Inc., Class B (1)		6,024		304,111
Constellation Software, Inc. (1)		1,109		752,460
Dollarama, Inc. (1)		14,259		1,732,972
Empire Co. Ltd., Class A (1)		15,344		307,988

INVESTMENTS	SHARES		VALUE
Canada - 3.2% (continued)
Finning International, Inc. (1)		4,993	$	120,412
Fortis, Inc. (1)		5,586		188,563
Franco-Nevada Corp. (1)		6,985		476,564
Industrial Alliance Insurance & Financial Services, Inc. (1)		3,246		133,534
International Petroleum Corp. *		14,226		59,443
Magna International, Inc. (1)		8,772		494,108
Manulife Financial Corp. (1)		16,003		297,118
Methanex Corp. (1)		3,749		227,120
National Bank of Canada (1)		6,074		285,891
Onex Corp. (1)		2,666		192,281
Restaurant Brands International, Inc. (1)		24,296		1,382,685
Rogers Communications, Inc., Class B (1)		26,645		1,190,013
Shopify, Inc., Class A (1)*		14,570		1,813,064
Teck Resources Ltd., Class B (1)		7,534		194,030
Turquoise Hill Resources Ltd. (1)*		52,331		160,037
West Fraser Timber Co. Ltd. (1)		10,381		689,811
				13,584,113
Chile - 0.0% (a)
Antofagasta plc		16,513		213,494
China - 0.7%
BOC Hong Kong Holdings Ltd.		435,000		2,134,014
Minth Group Ltd.		82,000		376,224
Yangzijiang Shipbuilding Holdings Ltd.		498,400		464,201
				2,974,439
Denmark - 3.0%
AP Moller - Maersk A/S, Class B *		115		179,467
Carlsberg A/S, Class B		6,406		764,842
Chr Hansen Holding A/S		8,207		710,293
DSV A/S		22,484		1,775,075
Genmab A/S *		1,010		217,599
H Lundbeck A/S		8,388		471,124
Novo Nordisk A/S, Class B		114,102		5,612,205
Novozymes A/S, Class B		11,748		611,604
Orsted A/S (b)		24,922		1,621,473
Tryg A/S		15,092		351,631
William Demant Holding A/S *		8,808		328,100
				12,643,413
Finland - 1.2%
Fortum OYJ		42,354		909,891
Metso OYJ		9,324		294,177
Neste OYJ		7,808		543,476
Nokian Renkaat OYJ		4,704		213,629
Stora Enso OYJ, Class R		47,685		876,754
UPM-Kymmene OYJ *		36,852		1,366,245
Wartsila OYJ Abp		34,074		752,877
				4,957,049
France - 9.3%
Accor SA		3,636		196,434
Air Liquide SA		3,179		390,119
Airbus SE		33,677		3,898,373
AXA SA		23,258		618,268
BNP Paribas SA		25,473		1,889,096
Bouygues SA		5,122		256,808

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

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64

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
France - 9.3% (continued)
Capgemini SE		10,168	$	1,268,707
Cie Generale des Etablissements Michelin SCA		4,645		687,659
CNP Assurances		10,550		266,327
Credit Agricole SA		107,130		1,746,756
Danone SA		2,756		223,463
Dassault Systemes SE		13,270		1,804,633
Edenred		7,656		266,295
Essilor International Cie Generale d’Optique SA		5,156		695,548
Hermes International		2,446		1,449,870
Ingenico Group SA		1,511		122,644
Ipsen SA		4,868		756,661
JCDecaux SA		3,627		126,130
Kering SA		5,684		2,726,144
Legrand SA		2,988		234,441
L’Oreal SA		2,566		579,553
LVMH Moet Hennessy Louis Vuitton SE		16,345		5,037,091
Natixis SA		69,229		568,045
Orange SA		33,131		563,156
Pernod Ricard SA		4,394		731,637
Peugeot SA		17,342		417,585
Safran SA		6,111		648,558
Sanofi		24,828		1,992,201
Schneider Electric SE		10,401		915,926
SCOR SE		9,686		395,433
SEB SA		1,036		198,156
Societe Generale SA		7,263		394,456
Sodexo SA		3,300		332,139
Thales SA		10,677		1,300,709
TOTAL SA		13,221		757,824
Ubisoft Entertainment SA *		4,740		401,156
Valeo SA		12,850		850,029
Veolia Environnement SA		28,559		678,487
Vinci SA		27,859		2,743,975
Vivendi SA		30,525		791,660
				39,922,152
Germany - 8.3%
1&1 Drillisch AG		5,173		349,033
adidas AG		8,244		2,005,744
Allianz SE (Registered)		29,740		6,722,942
Axel Springer SE		6,231		521,243
Commerzbank AG *		81,667		1,060,227
Continental AG		1,490		411,555
Covestro AG (b)		14,697		1,447,171
Deutsche Boerse AG		10,455		1,429,234
Deutsche Post AG (Registered)		63,035		2,760,890
Deutsche Wohnen SE		31,515		1,470,489
E.ON SE		213,221		2,369,331
Fraport AG Frankfurt Airport Services Worldwide		7,309		721,341
Hannover Rueck SE		3,094		422,121
HOCHTIEF AG		4,025		752,389
HUGO BOSS AG		5,459		475,571
Infineon Technologies AG		106,936		2,875,856
KION Group AG		5,023		468,951
LANXESS AG		8,147		624,518
MTU Aero Engines AG		3,723		627,466

INVESTMENTS	SHARES		VALUE
Germany - 8.3% (continued)
OSRAM Licht AG		6,301	$	463,673
RWE AG *		49,324		1,219,201
SAP SE		5,177		543,491
Siemens AG (Registered)		1,641		209,387
United Internet AG (Registered)		15,080		950,201
Volkswagen AG		642		128,497
Vonovia SE		39,213		1,944,566
Wirecard AG		17,571		2,082,896
Zalando SE *(b)		7,878		429,892
				35,487,876
Hong Kong - 5.8%
AIA Group Ltd.		759,400		6,491,867
ASM Pacific Technology Ltd.		29,900		421,241
Bank of East Asia Ltd. (The)		38,600		154,666
CK Asset Holdings Ltd.		169,000		1,426,203
CLP Holdings Ltd.		27,500		280,390
Galaxy Entertainment Group Ltd.		239,000		2,193,707
Hang Lung Group Ltd.		44,000		144,297
Hang Lung Properties Ltd.		113,000		265,214
Hang Seng Bank Ltd.		37,400		868,974
Henderson Land Development Co. Ltd.		70,000		458,995
Hong Kong & China Gas Co. Ltd.		77,749		160,222
Hong Kong Exchanges & Clearing Ltd.		75,600		2,490,041
Hysan Development Co. Ltd.		39,000		206,967
Kerry Properties Ltd.		70,500		318,800
Kingston Financial Group Ltd.		592,000		266,300
Li & Fung Ltd.		238,000		117,328
Link REIT		143,500		1,230,042
MTR Corp. Ltd.		46,500		251,014
New World Development Co. Ltd.		438,000		624,262
NWS Holdings Ltd.		109,000		198,539
PCCW Ltd.		302,000		175,271
Power Assets Holdings Ltd.		16,500		147,401
Shangri-La Asia Ltd.		236,000		479,188
Sino Land Co. Ltd.		134,000		217,194
SJM Holdings Ltd.		411,000		360,074
Sun Hung Kai Properties Ltd.		74,000		1,174,600
Techtronic Industries Co. Ltd.		138,000		809,935
WH Group Ltd. (b)		911,500		976,659
Wharf Holdings Ltd. (The)		149,000		515,881
Wharf Real Estate Investment Co. Ltd. *		75,000		490,229
Wheelock & Co. Ltd.		91,000		667,489
Yue Yuen Industrial Holdings Ltd.		44,000		176,285
				24,759,275
Italy - 3.5%
Assicurazioni Generali SpA		35,131		675,296
Atlantia SpA		12,192		377,786
Davide Campari-Milano SpA		36,647		277,448
Enel SpA		559,457		3,423,438
Ferrari NV		17,399		2,091,564
Intesa Sanpaolo SpA		882,116		3,211,789
Mediobanca Banca di Credito Finanziario SpA		76,160		895,367
Prysmian SpA		23,402		734,873
Recordati SpA		8,232		303,722
Terna Rete Elettrica Nazionale SpA		61,709		360,621
UniCredit SpA *		122,113		2,552,301

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

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65

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Italy - 3.5% (continued)
UnipolSai Assicurazioni SpA		82,147	$	195,324
				15,099,529
Japan - 32.5%
Aeon Mall Co. Ltd. (1)		6,000		125,746
Aisin Seiki Co. Ltd. (1)		5,400		293,332
Alfresa Holdings Corp. (1)		9,000		200,291
Amada Holdings Co. Ltd. (1)		14,000		169,992
ANA Holdings, Inc. (1)		34,800		1,346,801
Asahi Glass Co. Ltd. (1)		7,800		322,908
Asahi Group Holdings Ltd. (1)		38,000		2,023,833
Asahi Kasei Corp. (1)		114,600		1,506,747
Bandai Namco Holdings, Inc. (1)		11,000		361,308
Bank of Kyoto Ltd. (The) (1)		3,400		189,803
Benesse Holdings, Inc. (1)		13,600		492,721
Bridgestone Corp. (1)		32,400		1,407,994
Brother Industries Ltd. (1)		34,000		790,207
Canon, Inc. (1)		65,100		2,357,317
Chiba Bank Ltd. (The) (1)		56,000		449,979
Chugai Pharmaceutical Co. Ltd. (1)		25,000		1,264,038
Coca-Cola Bottlers Japan Holdings, Inc. (1)		10,900		450,219
Daifuku Co. Ltd. (1)		18,400		1,101,527
Daiichi Sankyo Co. Ltd. (1)		21,100		699,202
Daikin Industries Ltd. (1)		1,800		198,515
Daito Trust Construction Co. Ltd. (1)		3,900		674,038
Daiwa House Industry Co. Ltd. (1)		46,100		1,776,326
Denso Corp. (1)		27,000		1,476,810
Disco Corp. (1)		3,900		841,173
Don Quijote Holdings Co. Ltd. (1)		7,100		407,697
FANUC Corp. (1)		11,900		3,015,121
Fast Retailing Co. Ltd. (1)		2,000		812,744
Fuji Electric Co. Ltd. (1)		61,000		415,056
Fujitsu Ltd. (1)		71,000		436,923
Fukuoka Financial Group, Inc. (1)		28,000		150,782
Hachijuni Bank Ltd. (The) (1)		30,700		164,457
Hikari Tsushin, Inc. (1)		3,600		575,499
Hisamitsu Pharmaceutical Co., Inc. (1)		4,000		309,760
Hitachi Chemical Co. Ltd. (1)		5,800		132,184
Hitachi Construction Machinery Co. Ltd. (1)		23,400		902,749
Hitachi High-Technologies Corp. (1)		4,500		213,994
Hitachi Ltd. (1)		305,000		2,209,426
Hoshizaki Corp. (1)		2,300		201,889
Hoya Corp. (1)		14,700		732,893
Hulic Co. Ltd. (1)		11,900		129,843
Idemitsu Kosan Co. Ltd. (1)		7,300		277,510
IHI Corp. (1)		6,100		189,469
Inpex Corp. (1)		32,400		400,718
Isuzu Motors Ltd. (1)		11,200		171,781
ITOCHU Corp. (1)		93,300		1,811,987
J Front Retailing Co. Ltd. (1)		7,100		120,708
Japan Airlines Co. Ltd. (1)		10,100		406,449
JFE Holdings, Inc. (1)		35,600		717,152
JXTG Holdings, Inc. (1)		233,100		1,410,145
Kajima Corp. (1)		92,000		853,381
Kamigumi Co. Ltd. (1)		9,000		200,968
Kaneka Corp. (1)		21,000		208,214
Kansai Electric Power Co., Inc. (The) (1)		70,800		909,578

INVESTMENTS	SHARES		VALUE
Japan - 32.5% (continued)
Kansai Paint Co. Ltd. (1)		10,400	$	242,199
Kao Corp. (1)		34,600		2,595,203
Keisei Electric Railway Co. Ltd. (1)		4,100		126,000
Keyence Corp. (1)		7,180		4,456,249
Kikkoman Corp. (1)		3,600		144,805
Kirin Holdings Co. Ltd. (1)		75,500		2,009,809
Koito Manufacturing Co. Ltd. (1)		10,500		728,255
Komatsu Ltd. (1)		67,500		2,250,106
Konami Holdings Corp. (1)		13,400		703,971
Kose Corp. (1)		6,100		1,276,698
Kuraray Co. Ltd. (1)		19,500		331,338
Kurita Water Industries Ltd. (1)		6,600		209,342
Kyocera Corp. (1)		13,800		778,678
Kyowa Hakko Kirin Co. Ltd. (1)		17,300		379,964
Kyushu Electric Power Co., Inc. (1)		16,200		193,051
Lion Corp. (1)		25,800		519,613
LIXIL Group Corp. (1)		15,900		355,043
M3, Inc. (1)		16,800		754,701
Makita Corp. (1)		8,900		434,942
Marubeni Corp. (1)		68,200		493,465
Marui Group Co. Ltd. (1)		6,800		138,550
McDonald’s Holdings Co. Japan Ltd. (1)		12,900		603,750
Medipal Holdings Corp. (1)		8,800		180,292
MINEBEA MITSUMI, Inc. (1)		58,300		1,244,844
MISUMI Group, Inc. (1)		31,800		872,965
Mitsubishi Chemical Holdings Corp. (1)		119,400		1,156,353
Mitsubishi Corp. (1)		38,500		1,035,543
Mitsubishi Electric Corp. (1)		12,900		206,281
Mitsubishi Gas Chemical Co., Inc. (1)		37,200		891,150
Mitsubishi Motors Corp. (1)		78,300		559,995
Mitsubishi Tanabe Pharma Corp. (1)		21,900		428,100
Mitsui & Co. Ltd. (1)		23,200		397,369
Mitsui Chemicals, Inc. (1)		10,600		334,223
Mitsui OSK Lines Ltd. (1)		9,500		273,201
Mixi, Inc. (1)		5,000		184,672
Nabtesco Corp. (1)		13,500		520,817
Nexon Co. Ltd. (1)*		62,600		1,035,440
NGK Spark Plug Co. Ltd. (1)		5,900		142,115
NH Foods Ltd. (1)		6,500		266,341
Nidec Corp. (1)		19,700		3,034,472
Nintendo Co. Ltd. (1)		9,700		4,271,811
Nippon Electric Glass Co. Ltd. (1)		10,200		302,918
Nippon Express Co. Ltd. (1)		8,800		588,845
Nippon Paint Holdings Co. Ltd. (1)		6,800		249,556
Nippon Telegraph & Telephone Corp. (1)		10,100		465,110
Nissan Chemical Industries Ltd. (1)		5,700		236,775
Nisshin Seifun Group, Inc. (1)		17,500		346,859
Nissin Foods Holdings Co. Ltd. (1)		3,400		235,816
Nitori Holdings Co. Ltd. (1)		7,200		1,272,459
Nitto Denko Corp. (1)		3,800		284,915
Nomura Real Estate Holdings, Inc. (1)		12,500		295,099
Nomura Real Estate Master Fund, Inc., REIT (1)		123		169,695
Nomura Research Institute Ltd. (1)		13,000		615,761
NSK Ltd. (1)		32,000		428,852
Obayashi Corp. (1)		39,800		435,386
Obic Co. Ltd. (1)		8,700		723,603
Oji Holdings Corp. (1)		53,000		340,698
Omron Corp. (1)		17,300		1,017,791

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

AQR Funds Semi-Annual Report March 2018

66

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 32.5% (continued)
Oracle Corp. Japan (1)		5,800	$	471,500
Oriental Land Co. Ltd. (1)		18,700		1,909,454
Otsuka Corp. (1)		18,400		926,874
Otsuka Holdings Co. Ltd. (1)		7,400		370,609
Panasonic Corp. (1)		146,400		2,092,706
Persol Holdings Co. Ltd. (1)		22,300		648,640
Pola Orbis Holdings, Inc. (1)		20,400		835,901
Recruit Holdings Co. Ltd. (1)		102,600		2,549,934
Renesas Electronics Corp. (1)*		32,900		330,840
Rohm Co. Ltd. (1)		11,800		1,123,387
Ryohin Keikaku Co. Ltd. (1)		2,700		905,878
Santen Pharmaceutical Co. Ltd. (1)		8,000		128,941
Seiko Epson Corp. (1)		9,700		172,386
Sekisui Chemical Co. Ltd. (1)		26,500		462,234
Sharp Corp. (1)* (c)		17,900		534,956
Shimadzu Corp. (1)		22,900		643,925
Shin-Etsu Chemical Co. Ltd. (1)		21,600		2,233,993
Shionogi & Co. Ltd. (1)		4,700		242,542
Shiseido Co. Ltd. (1)		41,700		2,670,007
SMC Corp. (1)		4,800		1,942,916
SoftBank Group Corp. (1)		5,300		395,987
Sohgo Security Services Co. Ltd. (1)		4,700		232,339
Sony Corp. (1)		92,700		4,483,192
Stanley Electric Co. Ltd. (1)		11,500		424,745
Start Today Co. Ltd. (1)		34,900		932,154
SUMCO Corp. (1)		29,900		783,995
Sumitomo Chemical Co. Ltd. (1)		101,000		588,506
Sumitomo Corp. (1)		68,300		1,149,620
Sumitomo Electric Industries Ltd. (1)		8,500		129,691
Sumitomo Heavy Industries Ltd. (1)		13,200		500,559
Sumitomo Metal Mining Co. Ltd. (1)		20,800		875,748
Sumitomo Realty & Development Co. Ltd. (1)		14,000		517,739
Sundrug Co. Ltd. (1)		8,400		388,008
Suzuki Motor Corp. (1)		32,400		1,744,768
Sysmex Corp. (1)		3,100		280,851
Taiheiyo Cement Corp. (1)		11,500		417,720
Taisei Corp. (1)		19,700		999,765
Taisho Pharmaceutical Holdings Co. Ltd. (1)		1,900		186,777
Takeda Pharmaceutical Co. Ltd. (1)		49,500		2,411,151
TDK Corp. (1)		1,900		171,242
Terumo Corp. (1)		20,600		1,082,224
THK Co. Ltd. (1)		19,000		785,677
Toho Co. Ltd. (1)		5,500		182,463
Tokyo Electron Ltd. (1)		13,100		2,464,137
Tokyu Fudosan Holdings Corp. (1)		17,500		127,461
Tosoh Corp. (1)		38,300		751,566
TOTO Ltd. (1)		11,600		611,588
Toyoda Gosei Co. Ltd. (1)		7,500		174,381
Toyota Motor Corp. (1)		38,400		2,463,042
Toyota Tsusho Corp. (1)		19,000		643,720
Trend Micro, Inc. (1)		15,200		907,100
Tsuruha Holdings, Inc. (1)		4,100		584,531
Unicharm Corp. (1)		7,400		210,654
USS Co. Ltd. (1)		10,400		210,141
West Japan Railway Co. (1)		6,900		481,875
Yahoo Japan Corp. (1)		44,900		208,454
Yakult Honsha Co. Ltd. (1)		13,400		991,100

INVESTMENTS	SHARES		VALUE
Japan - 32.5% (continued)
Yamada Denki Co. Ltd. (1)		24,800	$	148,700
Yamaha Corp. (1)		11,200		492,082
Yamaha Motor Co. Ltd. (1)		27,500		821,860
Yaskawa Electric Corp. (1)		35,700		1,618,838
Yokogawa Electric Corp. (1)		17,800		367,693
Yokohama Rubber Co. Ltd. (The) (1)		9,400		217,586
				139,140,811
Macau - 0.4%
MGM China Holdings Ltd.		129,200		336,035
Sands China Ltd.		64,800		352,145
Wynn Macau Ltd.		264,000		967,621
				1,655,801
Netherlands - 4.5%
ABN AMRO Group NV, CVA (b)		9,833		296,498
Akzo Nobel NV		6,826		644,941
ASML Holding NV		30,187		5,985,890
EXOR NV		17,289		1,230,703
Heineken NV		1,313		141,218
Koninklijke DSM NV		9,527		946,955
Koninklijke Philips NV		41,443		1,586,936
NN Group NV		10,877		483,265
Randstad Holding NV		3,205		211,081
Royal Dutch Shell plc, Class A		233,632		7,391,770
Wolters Kluwer NV		8,458		449,838
				19,369,095
Norway - 0.7%
DNB ASA		32,217		634,586
Norsk Hydro ASA		92,403		548,106
Statoil ASA		23,774		562,682
Telenor ASA		49,045		1,115,339
				2,860,713
Portugal - 0.0% (a)
Jeronimo Martins SGPS SA		7,219		131,303
Singapore - 2.2%
Ascendas REIT		103,900		209,283
CapitaLand Commercial Trust, REIT		140,800		197,371
CapitaLand Mall Trust, REIT		113,500		180,672
City Developments Ltd.		49,600		494,225
ComfortDelGro Corp. Ltd.		125,500		197,011
DBS Group Holdings Ltd.		141,800		2,995,150
Genting Singapore plc		594,200		492,844
Jardine Cycle & Carriage Ltd.		6,800		179,631
Keppel Corp. Ltd.		54,700		327,063
Oversea-Chinese Banking Corp. Ltd.		207,800		2,047,038
United Overseas Bank Ltd.		86,700		1,824,360
UOL Group Ltd.		46,400		304,230
				9,448,878
South Africa - 0.1%
Mondi plc		10,030		269,587
Spain - 1.5%
ACS Actividades de Construccion y Servicios SA		4,951		193,166
Aena SME SA (b)		6,752		1,361,497

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

AQR Funds Semi-Annual Report March 2018

67

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Spain - 1.5% (continued)
Amadeus IT Group SA		27,230	$	2,015,106
Banco de Sabadell SA		139,212		284,748
CaixaBank SA		165,951		791,198
Grifols SA		29,384		833,061
Iberdrola SA		105,852		778,371
Repsol SA		12,142		215,832
				6,472,979
Sweden - 2.6%
Alfa Laval AB		18,809		445,737
Atlas Copco AB, Class A		52,083		2,262,059
Boliden AB		10,239		360,294
Electrolux AB, Series B		6,023		190,203
Hexagon AB, Class B		5,324		317,784
Husqvarna AB, Class B		47,017		454,531
Industrivarden AB, Class C		17,386		405,478
Investor AB, Class B		18,711		831,209
L E Lundbergforetagen AB, Class B		2,349		168,865
Sandvik AB		110,007		2,015,463
Swedish Match AB		8,979		406,908
Tele2 AB, Class B		65,160		784,679
Volvo AB, Class B		128,950		2,360,348
				11,003,558
Switzerland - 4.5%
ABB Ltd. (Registered)		16,350		388,774
Adecco Group AG (Registered)		2,978		212,123
Baloise Holding AG (Registered)		3,589		549,058
Barry Callebaut AG (Registered)		381		745,145
Cie Financiere Richemont SA (Registered)		17,827		1,601,968
Clariant AG (Registered) *		23,628		565,252
Coca-Cola HBC AG *		15,239		563,945
Credit Suisse Group AG (Registered) *		55,265		928,177
Dufry AG (Registered) *		3,000		394,050
EMS-Chemie Holding AG (Registered)		901		569,984
Ferguson plc		7,753		583,102
Geberit AG (Registered)		1,169		516,958
Glencore plc *		73,878		367,117
Julius Baer Group Ltd. *		13,256		815,794
Kuehne + Nagel International AG (Registered)		3,570		562,293
Lonza Group AG (Registered) *		7,830		1,846,619
Partners Group Holding AG		2,964		2,205,584
Schindler Holding AG		642		138,523
Sika AG		236		1,851,220
Sonova Holding AG (Registered)		1,271		202,067
STMicroelectronics NV		80,448		1,790,269
Straumann Holding AG (Registered)		2,299		1,450,538
Swatch Group AG (The)		1,380		608,919
				19,457,479
United Kingdom - 7.4%
3i Group plc		56,789		685,435
Admiral Group plc		13,052		337,817
Anglo American plc		62,145		1,447,647
Ashtead Group plc		29,553		805,814
AstraZeneca plc		6,894		473,902
Auto Trader Group plc(b)		55,734		273,956
Aviva plc		36,331		253,557

INVESTMENTS	SHARES		VALUE
United Kingdom - 7.4% (continued)
BAE Systems plc		119,178	$	975,078
Barratt Developments plc		64,724		481,632
Berkeley Group Holdings plc		5,516		293,228
British American Tobacco plc		19,848		1,147,351
Bunzl plc		15,969		469,590
CNH Industrial NV		94,055		1,162,241
Compass Group plc		94,303		1,925,569
Croda International plc		4,629		297,373
DCC plc		1,961		180,681
Diageo plc		49,803		1,684,323
Direct Line Insurance Group plc		141,918		759,901
easyJet plc		16,101		362,947
Experian plc		37,600		813,163
Fiat Chrysler Automobiles NV *		114,409		2,333,521
Hargreaves Lansdown plc		25,853		593,420
HSBC Holdings plc		167,240		1,570,503
InterContinental Hotels Group plc		4,330		259,422
International Consolidated Airlines Group SA		164,278		1,422,297
Intertek Group plc		14,454		946,132
ITV plc		218,085		441,463
Legal & General Group plc		133,260		482,835
Merlin Entertainments plc		36,725		178,578
National Grid plc		37,232		419,101
Old Mutual plc		78,992		265,800
Persimmon plc		33,854		1,201,554
Prudential plc		51,752		1,293,214
Reckitt Benckiser Group plc		8,348		704,636
Rio Tinto plc		10,354		525,404
Rolls-Royce Holdings plc *		13,134		160,578
Royal Mail plc		29,034		220,362
Sage Group plc (The)		75,004		673,943
Schroders plc		3,675		164,891
Severn Trent plc		5,220		135,138
Smith & Nephew plc		18,671		349,278
St James’s Place plc		20,354		310,314
Taylor Wimpey plc		76,654		198,587
Unilever NV, CVA		11,097		626,375
Vodafone Group plc		246,481		674,380
Weir Group plc (The)		10,950		306,946
Whitbread plc		7,536		391,171
WPP plc		10,076		160,124
				31,841,172
United States - 0.2%
QIAGEN NV *		16,792		542,857
Valeant Pharmaceuticals International, Inc. (1)*		28,844		459,185
				1,002,042
Zambia - 0.0% (a)
First Quantum Minerals Ltd. (1)		12,655		177,692
TOTAL COMMON STOCKS (Cost $343,755,986)				414,559,201

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

AQR Funds Semi-Annual Report March 2018

68

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 2.5%
Investment Companies - 2.5%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.61% (d)		15	$	15
Limited Purpose Cash Investment Fund, 1.53% (d)		10,853,937		10,851,766
TOTAL SHORT-TERM INVESTMENTS (Cost $10,850,697)				10,851,781
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.3% (Cost $354,606,683)				425,410,982
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% (e)			2,993,148
NET ASSETS - 100.0%			$	428,404,130

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	71,116,319		16.6	%
Consumer Staples		26,681,398		6.2
Energy		14,397,738		3.4
Financials		65,471,563		15.3
Health Care		31,913,589		7.5
Industrials		78,475,700		18.3
Information Technology		56,391,428		13.2
Materials		32,624,948		7.6
Real Estate		17,077,140		4.0
Telecommunication Services		5,712,967		1.3
Utilities		14,696,411		3.4
Short-Term Investments		10,851,781		2.5
Total Investments In Securities At Value		425,410,982		99.3
Other Assets in Excess of Liabilities (e)		2,993,148		0.7
Net Assets	$	428,404,130		100.0	%

* Non-income producing security.

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

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at March 31, 2018 amounted to $6,407,146, which represents approximately 1.50% of net assets of the fund.

(c) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $480,740; additional non-cash collateral of $496,769 was received (See Note 3).

(d) Represents 7-day effective yield as of March 31, 2018.

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

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

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

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

SGPS - Sociedade Gestora de Participacões Sociais

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index		81	6/2018	USD		$8,102,430		$(154,052	)
								$(154,052	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$596,822		$596,822

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

AQR Funds Semi-Annual Report March 2018

69

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.6%
Brazil - 4.5%
B3 SA - Brasil Bolsa Balcao *		6,200	$	50,273
Banco Bradesco SA, ADR *		1,701		20,208
Banco do Brasil SA *		1,600		20,035
Banco Santander Brasil SA, ADR(a)		3,087		37,106
Braskem SA (Preference), Class A		2,600		37,802
Cia de Saneamento Basico do Estado de Sao Paulo, ADR *		1,690		17,897
Equatorial Energia SA *		2,300		50,020
Fibria Celulose SA, ADR		1,890		36,855
Hypera SA		1,300		14,195
Itau Unibanco Holding SA, ADR		2,734		42,650
Itausa - Investimentos Itau SA (Preference)		14,000		58,477
Kroton Educacional SA		2,200		9,096
Localiza Rent a Car SA *		5,985		51,702
Lojas Americanas SA (Preference) *		1,540		8,788
Lojas Renner SA *		2,860		29,584
M Dias Branco SA *		900		13,903
Qualicorp SA		2,800		18,981
Raia Drogasil SA *		2,500		56,589
Rumo SA *		2,300		9,154
TIM Participacoes SA, ADR *		1,272		27,564
Ultrapar Participacoes SA		300		6,499
WEG SA		600		4,093
				621,471
Chile - 2.0%
Banco de Chile, ADR		296		29,772
Banco Santander Chile, ADR		1,550		51,941
Cia Cervecerias Unidas SA, ADR		238		7,000
Embotelladora Andina SA (Preference), Class B		2,599		12,754
Empresas COPEC SA		1,532		24,050
Enel Americas SA, ADR		2,166		25,169
Latam Airlines Group SA, ADR		3,470		53,403
SACI Falabella		852		8,216
Sociedad Quimica y Minera de Chile SA, ADR (a)		1,319		64,828
				277,133
China - 37.0%
3SBio, Inc. (2)*(b)		31,500		71,748
AAC Technologies Holdings, Inc. (2)		6,500		119,110
Agile Group Holdings Ltd. (2)		16,000		33,367
Agricultural Bank of China Ltd., Class H (2)		133,000		76,374
Air China Ltd., Class H (2)		50,000		64,572
Aluminum Corp. of China Ltd., Class H (2)*		56,000		31,628
Anhui Conch Cement Co. Ltd., Class H (2)		15,000		82,544
ANTA Sports Products Ltd. (2)		12,000		61,258
Beijing Capital International Airport Co. Ltd., Class H (2)		20,000		27,012
Beijing Enterprises Water Group Ltd. (2)*		22,000		12,378
Brilliance China Automotive Holdings Ltd. (2)		28,000		59,116
BYD Co. Ltd., Class H (2)		7,500		59,722
BYD Electronic International Co. Ltd. (2)		11,500		21,813
China Construction Bank Corp., Class H (2)		113,000		118,029
China Everbright International Ltd. (2)		6,000		8,472
China Evergrande Group (2)*		30,000		95,890

INVESTMENTS	SHARES		VALUE
China - 37.0% (continued)
China Huarong Asset Management Co. Ltd., Class H (2)(b)		43,000	$	18,227
China Jinmao Holdings Group Ltd. (2)		26,000		15,005
China Medical System Holdings Ltd. (2)		15,000		34,363
China Mengniu Dairy Co. Ltd. (2)*		25,000		86,277
China Merchants Bank Co. Ltd., Class H (2)		76,500		317,542
China Molybdenum Co. Ltd., Class H (2)		90,000		68,973
China National Building Material Co. Ltd., Class H (2)		24,000		26,407
China Pacific Insurance Group Co. Ltd., Class H (2)		18,000		81,679
China Resources Beer Holdings Co. Ltd. (2)		16,000		69,748
China Resources Gas Group Ltd. (2)		2,000		6,994
China Resources Land Ltd. (2)		4,000		14,699
China Shenhua Energy Co. Ltd., Class H (2)		52,000		130,506
China Southern Airlines Co. Ltd., Class H (2)		42,000		43,893
China Taiping Insurance Holdings Co. Ltd. (2)		8,000		26,874
China Unicom Hong Kong Ltd. (2)*		14,000		17,910
China Vanke Co. Ltd., Class H (2)		26,500		122,023
CNOOC Ltd. (2)		25,000		37,017
Country Garden Holdings Co. Ltd. (2)		85,000		177,464
CSPC Pharmaceutical Group Ltd. (2)		40,000		107,821
Dongfeng Motor Group Co. Ltd., Class H (2)		4,000		4,670
ENN Energy Holdings Ltd. (2)		6,000		53,933
Fosun International Ltd. (2)		15,500		34,008
Fuyao Glass Industry Group Co. Ltd., Class H (2)(b)		13,200		51,059
Geely Automobile Holdings Ltd. (2)		55,000		161,163
Great Wall Motor Co. Ltd., Class H (2)		18,500		18,750
Guangzhou Automobile Group Co. Ltd., Class H (2)		30,000		55,720
Guangzhou R&F Properties Co. Ltd., Class H (2)		15,200		38,443
Haitian International Holdings Ltd. (2)		9,000		27,365
Hanergy Thin Film Power Group Ltd. (3)*(c)		86,000		–
Hengan International Group Co. Ltd. (2)		3,500		32,628
Industrial & Commercial Bank of China Ltd., Class H (2)		211,000		183,884
Jiangsu Expressway Co. Ltd., Class H (2)		6,000		8,519
Kingsoft Corp. Ltd. (2)		6,000		19,329
Longfor Properties Co. Ltd. (2)		16,500		50,874
New China Life Insurance Co. Ltd., Class H (2)		8,500		40,162
Nexteer Automotive Group Ltd. (2)*		7,000		10,700
Ping An Insurance Group Co. of China Ltd., Class H (2)		58,500		603,175
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H (2)		10,500		65,049
Shenzhou International Group Holdings Ltd. (2)		6,000		63,569
Shimao Property Holdings Ltd. (2)		11,000		31,549
Sihuan Pharmaceutical Holdings Group Ltd. (2)		46,000		13,755
Sino-Ocean Group Holding Ltd. (2)		40,500		29,656
Sinopec Shanghai Petrochemical Co. Ltd., Class H (2)		42,000		25,664
SOHO China Ltd. (2)		7,500		3,950
Sunac China Holdings Ltd. (2)		23,000		90,383
Sunny Optical Technology Group Co. Ltd.(2)		6,000		112,586

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

AQR Funds Semi-Annual Report March 2018

70

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
China - 37.0% (continued)
Tencent Holdings Ltd. (2)		11,800	$	633,418
Tingyi Cayman Islands Holding Corp. (2)		20,000		41,576
TravelSky Technology Ltd., Class H (2)		14,000		40,892
Weichai Power Co. Ltd., Class H (2)		34,000		38,452
Yanzhou Coal Mining Co. Ltd., Class H (2)		34,000		43,941
Zhuzhou CRRC Times Electric Co. Ltd., Class H (2)		1,000		4,870
ZTE Corp., Class H (2)*		25,000		82,326
				5,062,473
Hong Kong - 1.9%
China Gas Holdings Ltd. (2)		16,600		60,858
GCL-Poly Energy Holdings Ltd. (2)*(a)		178,000		22,245
Haier Electronics Group Co. Ltd. (2)*		13,000		46,607
Nine Dragons Paper Holdings Ltd. (2)		28,000		42,437
Sino Biopharmaceutical Ltd. (2)		40,000		79,496
Sun Art Retail Group Ltd. (2)(a)		5,500		6,436
				258,079
Hungary - 1.0%
MOL Hungarian Oil & Gas plc (2)		4,360		47,571
OTP Bank plc (2)		1,704		76,563
Richter Gedeon Nyrt (2)		491		10,261
				134,395
India - 8.2%
ACC Ltd. (2)		164		3,810
Ashok Leyland Ltd. (2)		1,875		4,212
Bajaj Finance Ltd. (2)		2,055		56,179
Bajaj Finserv Ltd. (2)		398		31,801
Bharat Forge Ltd. (2)		2,692		29,101
Britannia Industries Ltd. (2)		740		56,640
Dabur India Ltd. (2)		6,833		34,553
Eicher Motors Ltd. (2)		16		7,008
Godrej Consumer Products Ltd. (2)		726		12,238
Grasim Industries Ltd. (2)		1,304		21,152
Housing Development Finance Corp. Ltd. (2)		3,858		108,672
ICICI Bank Ltd., ADR		10,528		93,173
Indiabulls Housing Finance Ltd. (2)		1,570		30,055
Indian Oil Corp. Ltd. (2)		6,680		18,215
JSW Steel Ltd. (2)		6,662		29,704
Larsen & Toubro Ltd., GDR (2)(d)		3,207		64,615
Mahindra & Mahindra Financial Services Ltd. (2)		3,482		24,914
Motherson Sumi Systems Ltd. (2)		7,654		36,780
Piramal Enterprises Ltd. (2)		1,000		37,514
Reliance Industries Ltd., GDR (2)(b)		8,197		222,926
State Bank of India, GDR (2)(d)		231		8,921
Tata Steel Ltd. (2)		1,985		17,564
United Spirits Ltd. (2)*		684		33,074
Vakrangee Ltd. (2)		9,691		33,739
Vedanta Ltd., ADR		1,670		29,342
Wipro Ltd., ADR		13,444		69,371
Zee Entertainment Enterprises Ltd. (2)		1,484		13,173
				1,128,446
Indonesia - 3.0%
Adaro Energy Tbk. PT (2)		209,800		32,689
Bank Central Asia Tbk. PT (2)		52,100		88,507

INVESTMENTS	SHARES		VALUE
Indonesia - 3.0% (continued)
Bank Mandiri Persero Tbk. PT (2)		76,400	$	42,841
Bank Negara Indonesia Persero Tbk. PT (2)		48,800		30,905
Bank Rakyat Indonesia Persero Tbk. PT (2)*		247,000		64,823
Gudang Garam Tbk. PT (2)		1,200		6,337
Indofood CBP Sukses Makmur Tbk. PT (2)		11,300		6,805
Jasa Marga Persero Tbk. PT (2)*		36,600		12,232
Pakuwon Jati Tbk. PT (2)		147,600		6,783
Telekomunikasi Indonesia Persero Tbk. PT (2)		195,000		51,276
Unilever Indonesia Tbk. PT (2)		5,400		19,479
United Tractors Tbk. PT (2)		17,800		41,527
XL Axiata Tbk. PT (2)*		42,800		7,877
				412,081
Malaysia - 1.6%
AirAsia Bhd.		19,800		20,117
CIMB Group Holdings Bhd.		29,300		54,464
Dialog Group Bhd.		14,700		11,667
Genting Malaysia Bhd.		9,100		11,528
Hartalega Holdings Bhd.		40,000		62,566
Malayan Banking Bhd.		11,400		31,241
Malaysia Airports Holdings Bhd.		6,400		14,643
Press Metal Aluminium Holdings Bhd.		10,700		11,950
				218,176
Mexico - 0.4%
America Movil SAB de CV, Class L, ADR		1,107		21,133
Grupo Aeroportuario del Pacifico SAB de CV, Class B		1,200		11,857
Grupo Aeroportuario del Sureste SAB de CV, ADR (a)		95		16,204
				49,194
Peru - 1.5%
Credicorp Ltd.		248		56,306
Southern Copper Corp. (a)		2,695		146,015
				202,321
Poland - 1.8%
Alior Bank SA (2)*		887		19,101
Bank Millennium SA (2)*		12,652		30,415
Bank Zachodni WBK SA (2)		179		18,975
CCC SA (2)		445		30,397
Jastrzebska Spolka Weglowa SA (2)*		550		13,040
LPP SA (2)		12		30,505
mBank SA (2) *		70		8,576
Polski Koncern Naftowy ORLEN SA (2)		533		13,119
Polskie Gornictwo Naftowe i Gazownictwo SA (2)		3,127		5,169
Powszechna Kasa Oszczednosci Bank Polski SA (2)*		5,137		60,825
Powszechny Zaklad Ubezpieczen SA (2)		1,557		19,040
				249,162
Russia - 0.4%
Mobile TeleSystems PJSC, ADR		1,531		17,438
Tatneft PJSC, ADR (2)		610		38,634
				56,072

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

AQR Funds Semi-Annual Report March 2018

71

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
South Africa - 3.9%
Bidvest Group Ltd. (The) (2)		1,271	$	24,120
Capitec Bank Holdings Ltd. (2)		452		33,253
Discovery Ltd. (2)		1,852		26,718
Exxaro Resources Ltd. (2)		3,159		29,158
Imperial Holdings Ltd. (2)		763		15,041
Naspers Ltd., Class N (2)		1,178		288,272
PSG Group Ltd. (2)		295		5,611
Sappi Ltd. (2)		2,297		14,841
Shoprite Holdings Ltd. (2)		1,158		24,722
Standard Bank Group Ltd. (2)		3,067		56,673
Tiger Brands Ltd. (2)		486		15,211
				533,620
South Korea - 15.4%
Celltrion, Inc. *		328		95,239
DB Insurance Co. Ltd.		98		5,976
E-MART, Inc.		101		25,916
GS Holdings Corp.		197		11,477
Hana Financial Group, Inc.		1,237		53,094
Hanmi Pharm Co. Ltd.		40		19,176
Hanmi Science Co. Ltd.		223		19,457
Hanon Systems		960		10,312
Hanwha Chemical Corp.		459		12,833
Hotel Shilla Co. Ltd.		311		27,981
Hyosung Corp.		150		17,239
Hyundai Development Co.-Engineering & Construction		177		6,385
Hyundai Heavy Industries Co. Ltd. *		44		5,449
Hyundai Marine & Fire Insurance Co. Ltd.		303		11,058
Hyundai Robotics Co. Ltd. *		43		17,609
Kakao Corp.		373		46,192
KB Financial Group, Inc.		1,686		96,012
Korea Aerospace Industries Ltd. *		162		7,592
Korea Investment Holdings Co. Ltd.		437		33,906
LG Chem Ltd.		201		72,695
LG Corp.		472		38,127
LG Electronics, Inc.		585		60,097
LG Household & Health Care Ltd.		49		55,532
LG Innotek Co. Ltd.		34		4,019
Lotte Chemical Corp.		68		27,624
Lotte Shopping Co. Ltd.		41		9,020
Medy-Tox, Inc.		39		26,787
Mirae Asset Daewoo Co. Ltd.		487		4,213
NAVER Corp.		16		11,889
NCSoft Corp.		127		50,042
NH Investment & Securities Co. Ltd.		576		7,647
OCI Co. Ltd.		166		24,451
Pan Ocean Co. Ltd. *		4,799		23,412
POSCO		322		98,330
Samsung Biologics Co. Ltd. *(b)		215		98,231
Samsung Electro-Mechanics Co. Ltd.		285		28,209
Samsung Electronics Co. Ltd.		225		519,490
Samsung Life Insurance Co. Ltd.		101		10,992
Samsung SDI Co. Ltd.		223		40,273
Samsung SDS Co. Ltd.		208		49,858
Shinhan Financial Group Co. Ltd.		210		9,004
Shinsegae, Inc.		43		14,422
SillaJen, Inc. *		315		31,621
SK Holdings Co. Ltd.		131		36,379

INVESTMENTS	SHARES		VALUE
South Korea - 15.4% (continued)
SK Hynix, Inc.		2,190	$	167,038
SK Innovation Co. Ltd.		162		32,069
S-Oil Corp.		170		19,139
Woori Bank		1,497		20,575
				2,114,088
Taiwan - 8.4%
Acer, Inc. *		34,000		28,978
Advantech Co. Ltd.		1,317		9,440
Catcher Technology Co. Ltd.		3,000		36,526
Cathay Financial Holding Co. Ltd.		29,600		52,689
Chailease Holding Co. Ltd.		8,960		31,652
China Life Insurance Co. Ltd.		26,248		27,007
CTBC Financial Holding Co. Ltd.		15,832		11,511
E.Sun Financial Holding Co. Ltd.		16,592		11,097
First Financial Holding Co. Ltd.		26,721		18,558
Formosa Chemicals & Fibre Corp.		14,000		52,097
Formosa Petrochemical Corp.		10,000		40,985
Formosa Plastics Corp.		17,000		60,346
General Interface Solution Holding Ltd.		1,000		6,173
Globalwafers Co. Ltd.		3,000		48,359
Hiwin Technologies Corp.		3,040		43,478
Hon Hai Precision Industry Co. Ltd.		4,441		13,921
Innolux Corp.		13,000		5,863
Inventec Corp.		8,000		6,324
MediaTek, Inc.		5,000		58,305
Nanya Technology Corp.		15,000		47,227
Powertech Technology, Inc.		5,000		15,639
President Chain Store Corp.		4,000		40,608
Shin Kong Financial Holding Co. Ltd.		84,000		33,131
Standard Foods Corp.		2,537		5,926
Taiwan High Speed Rail Corp.		6,000		4,651
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		8,384		366,885
Uni-President Enterprises Corp.		17,000		39,939
Wistron Corp.		24,710		21,229
Yuanta Financial Holding Co. Ltd.		22,000		10,073
				1,148,617
Thailand - 4.5%
Advanced Info Service PCL, NVDR		1,700		11,308
Airports of Thailand PCL, NVDR		32,800		70,803
Bangkok Expressway & Metro PCL, NVDR		81,100		18,544
Berli Jucker PCL, NVDR		5,700		10,390
Bumrungrad Hospital PCL, NVDR		3,500		23,841
Central Pattana PCL, NVDR		17,900		44,650
CP All PCL, NVDR		33,000		92,869
Electricity Generating PCL, NVDR		1,100		8,161
Energy Absolute PCL, NVDR		14,100		19,727
Home Product Center PCL, NVDR		71,200		32,333
Indorama Ventures PCL, NVDR		21,800		39,912
IRPC PCL, NVDR		162,600		38,479
Kasikornbank PCL, NVDR		3,600		24,407
PTT Global Chemical PCL, NVDR		12,700		38,380
PTT PCL, NVDR		6,600		116,507
Thai Oil PCL, NVDR		8,100		23,766
				614,077

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

AQR Funds Semi-Annual Report March 2018

72

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Turkey - 2.1%
Aselsan Elektronik Sanayi ve Ticaret A/S		6,321	$	49,539
BIM Birlesik Magazalar A/S		1,502		27,373
Eregli Demir ve Celik Fabrikalari TAS		14,925		39,646
Ford Otomotiv Sanayi A/S		1,821		28,755
Petkim Petrokimya Holding A/S		13,894		28,666
TAV Havalimanlari Holding A/S		876		5,302
Tupras Turkiye Petrol Rafinerileri A/S		475		13,051
Turk Hava Yollari AO *		13,041		63,167
Turkcell Iletisim Hizmetleri A/S		6,771		26,001
Turkiye Garanti Bankasi A/S		1,467		4,068
Turkiye Sise ve Cam Fabrikalari A/S		3,608		4,719
				290,287
TOTAL COMMON STOCKS (Cost $9,298,023)				13,369,692
EXCHANGE TRADED FUNDS - 1.1%
United States - 1.1%
iShares MSCI Emerging Markets ETF (Cost $153,365)		3,175		153,289
SHORT-TERM INVESTMENTS - 1.1%
Investment Companies - 1.1%
Limited Purpose Cash Investment Fund, 1.53% (2)(e)
(Cost $149,661)		149,707		149,677
SECURITIES LENDING COLLATERAL - 1.8%
Investment Companies - 1.8%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(e)(f)		29,107		29,107
Limited Purpose Cash Investment Fund 1.53% (2)(e)(f)		217,553		217,553
TOTAL SECURITIES LENDING COLLATERAL (Cost $246,660)				246,660
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.6% (Cost $9,847,709)				13,919,318
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.6)%			(215,989)
NET ASSETS - 100.0%			$	13,703,329

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	1,285,734			9.4	%
Consumer Staples		824,130			6.0
Energy		1,017,890			7.4
Exchange Traded Funds		153,289			1.1
Financials		3,331,628			24.3
Health Care		830,101			6.1
Industrials		956,066			7.0
Information Technology		2,736,711			20.0
Materials		1,216,776			8.9
Real Estate		754,736			5.5
Telecommunication Services		180,508			1.3
Utilities		235,412			1.7
Short-Term Investments		149,677			1.1
Securities Lending Collateral		246,660			1.8
Total Investments In Securities At Value		13,919,318			101.6
Liabilities in Excess of Other Assets		(215,989	)		(1.6	)
Net Assets	$	13,703,329			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $248,893.

(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 March 31, 2018 amounted to $462,191, which represents approximately 3.37% of net assets of the fund.

(c) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at March 31, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

(d) 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 March 31, 2018, the value of these securities amounted to $73,536 or 0.54% of net assets.

(e) Represents 7-day effective yield as of March 31, 2018.

(f) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

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

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

Abbreviations

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Public Joint Stock Company

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

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

AQR Funds Semi-Annual Report March 2018

73

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 97.5%
Aerospace & Defense - 4.8%
Boeing Co. (The)		6,968	$	2,284,668
BWX Technologies, Inc.		1,788		113,592
General Dynamics Corp.		5,500		1,214,950
Huntington Ingalls Industries, Inc.		1,500		386,640
Lockheed Martin Corp.		6,287		2,124,566
Northrop Grumman Corp.		5,767		2,013,375
Raytheon Co.		6,465		1,395,276
Textron, Inc.		2,100		123,837
				9,656,904
Air Freight & Logistics - 0.4%
FedEx Corp.		2,577		618,763
United Parcel Service, Inc., Class B		939		98,276
XPO Logistics, Inc. *		731		74,423
				791,462
Airlines - 0.6%
Alaska Air Group, Inc.		1,420		87,983
Delta Air Lines, Inc.		7,213		395,344
Southwest Airlines Co.		9,927		568,619
United Continental Holdings, Inc. *		2,545		176,801
				1,228,747
Auto Components - 0.1%
Aptiv plc		1,227		104,258
Goodyear Tire & Rubber Co. (The)		3,168		84,206
				188,464
Automobiles - 0.3%
Tesla, Inc. *(a)		629		167,396
Thor Industries, Inc.		3,683		424,171
				591,567
Banks - 7.5%
Bank of America Corp.		140,251		4,206,127
Citigroup, Inc.		32,611		2,201,243
Citizens Financial Group, Inc.		5,964		250,369
Comerica, Inc.		9,030		866,248
Fifth Third Bancorp		12,279		389,858
First Republic Bank		4,040		374,144
Huntington Bancshares, Inc.		10,400		157,040
JPMorgan Chase & Co.		27,679		3,043,860
Regions Financial Corp.		82,334		1,529,766
Signature Bank *		600		85,170
SVB Financial Group *		1,998		479,540
TCF Financial Corp.		9,210		210,080
Western Alliance Bancorp *		1,975		114,767
Zions Bancorp		20,674		1,090,140
				14,998,352
Beverages - 0.7%
Brown-Forman Corp., Class B		1,372		74,637
Constellation Brands, Inc., Class A		4,332		987,349
Monster Beverage Corp. *		4,800		274,608
PepsiCo, Inc.		600		65,490
				1,402,084

INVESTMENTS	SHARES		VALUE
Biotechnology - 1.9%
AbbVie, Inc.		17,110	$	1,619,462
Alnylam Pharmaceuticals, Inc. *		2,413		287,388
Amgen, Inc.		901		153,603
BioMarin Pharmaceutical, Inc. *		864		70,044
Exelixis, Inc. *		7,740		171,441
Incyte Corp. *		2,919		243,240
Neurocrine Biosciences, Inc. *		5,260		436,212
Regeneron Pharmaceuticals, Inc. *		635		218,669
Vertex Pharmaceuticals, Inc. *		3,697		602,537
				3,802,596
Building Products - 0.5%
AO Smith Corp.		5,764		366,533
Fortune Brands Home & Security, Inc.		3,768		221,897
Lennox International, Inc.		462		94,419
Masco Corp.		4,334		175,267
USG Corp. *		3,769		152,343
			1,010,459
Capital Markets - 3.5%
BlackRock, Inc.		365		197,728
Cboe Global Markets, Inc.		1,948		222,267
Charles Schwab Corp. (The)		18,904		987,167
CME Group, Inc.		4,535		733,491
E*TRADE Financial Corp. *		15,352		850,654
Interactive Brokers Group, Inc., Class A		2,788		187,465
Intercontinental Exchange, Inc.		4,335		314,374
LPL Financial Holdings, Inc.		9,563		584,012
MarketAxess Holdings, Inc.		314		68,276
Moody’s Corp.		2,295		370,184
Morgan Stanley		25,650		1,384,074
MSCI, Inc.		781		116,736
Northern Trust Corp.		2,636		271,851
Raymond James Financial, Inc.		1,908		170,594
S&P Global, Inc.		3,044		581,587
				7,040,460
Chemicals - 0.9%
Air Products & Chemicals, Inc.		1,700		270,351
Albemarle Corp.		1,374		127,425
Chemours Co. (The)		2,775		135,170
DowDuPont, Inc.		2,240		142,710
Ecolab, Inc.		1,821		249,605
PPG Industries, Inc.		3,220		359,352
Praxair, Inc.		512		73,882
Sherwin-Williams Co. (The)		961		376,827
				1,735,322
Commercial Services & Supplies - 0.3%
Cintas Corp.		623		106,272
Copart, Inc. *		2,298		117,037
Republic Services, Inc.		1,427		94,510
Waste Management, Inc.		2,118		178,166
				495,985
Communications Equipment - 1.6%
Arista Networks, Inc. *		3,977		1,015,328
Cisco Systems, Inc.		40,200		1,724,178
EchoStar Corp., Class A *		1,306		68,918

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

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74

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Communications Equipment - 1.6% (continued)
F5 Networks, Inc. *		1,500	$	216,915
Palo Alto Networks, Inc. *		1,100		199,672
				3,225,011
Construction & Engineering - 0.1%
Quanta Services, Inc. *		2,951		101,367
Construction Materials - 0.2%
Eagle Materials, Inc.		1,342		138,293
Vulcan Materials Co.		2,293		261,792
				400,085
Consumer Finance - 0.5%
American Express Co.		2,415		225,271
Credit Acceptance Corp. *(a)		746		246,486
Discover Financial Services		3,539		254,560
Santander Consumer USA Holdings, Inc.		18,692		304,680
				1,030,997
Containers & Packaging - 0.1%
Avery Dennison Corp.		834		88,613
Ball Corp.		2,800		111,188
Berry Global Group, Inc. *		1,537		84,243
				284,044
Distributors - 0.1%
LKQ Corp. *		2,515		95,444
Diversified Consumer Services - 0.1%
ServiceMaster Global Holdings, Inc. *		2,514		127,837
Diversified Financial Services - 0.0% (b)
Berkshire Hathaway, Inc., Class B*		365		72,810
Diversified Telecommunication Services - 0.0% (b)
Zayo Group Holdings, Inc. *		2,420		82,667
Electric Utilities - 1.7%
Alliant Energy Corp.		3,241		132,427
American Electric Power Co., Inc.		2,331		159,883
Avangrid, Inc.		6,884		351,910
NextEra Energy, Inc.		12,583		2,055,182
Pinnacle West Capital Corp.		2,385		190,323
Xcel Energy, Inc.		9,527		433,288
				3,323,013
Electrical Equipment - 0.2%
Acuity Brands, Inc.		600		83,514
Eaton Corp. plc		2,886		230,620
				314,134
Electronic Equipment, Instruments & Components - 0.5%
Cognex Corp.		6,943		360,967
Corning, Inc.		11,812		329,318
Dolby Laboratories, Inc., Class A		1,816		115,425
IPG Photonics Corp. *		856		199,773
National Instruments Corp.		1,554		78,586
				1,084,069

INVESTMENTS	SHARES		VALUE
Energy Equipment & Services - 0.0% (b)
RPC, Inc. (a)		4,852	$	87,482
Equity Real Estate Investment Trusts (REITs) - 2.2%
American Tower Corp.		5,492		798,207
AvalonBay Communities, Inc.		2,137		351,451
CoreSite Realty Corp.		979		98,155
Crown Castle International Corp.		4,818		528,101
CyrusOne, Inc.		1,564		80,092
Digital Realty Trust, Inc.		4,081		430,056
Equinix, Inc.		562		234,995
Equity LifeStyle Properties, Inc.		6,887		604,472
Essex Property Trust, Inc.		1,200		288,816
Extra Space Storage, Inc.		1,500		131,040
Public Storage		1,321		264,715
Realty Income Corp.		1,500		77,595
SBA Communications Corp. *		2,432		415,677
UDR, Inc.		2,100		74,802
				4,378,174
Food & Staples Retailing - 0.8%
Costco Wholesale Corp.		816		153,759
Kroger Co. (The)		2,883		69,019
Sysco Corp.		1,418		85,023
Walgreens Boots Alliance, Inc.		1,551		101,544
Walmart, Inc.		14,030		1,248,249
				1,657,594
Food Products - 0.3%
Conagra Brands, Inc.		1,869		68,929
Pilgrim’s Pride Corp. *		3,191		78,530
Pinnacle Foods, Inc.		1,572		85,045
Tyson Foods, Inc., Class A		5,589		409,059
				641,563
Health Care Equipment & Supplies - 4.1%
Abbott Laboratories		13,566		812,875
ABIOMED, Inc. *		4,030		1,172,690
Align Technology, Inc. *		2,675		671,773
Baxter International, Inc.		4,579		297,818
Becton Dickinson and Co.		1,800		390,060
Boston Scientific Corp. *		20,239		552,930
Danaher Corp.		5,248		513,832
DexCom, Inc. *(a)		2,200		163,152
Edwards Lifesciences Corp. *		3,270		456,230
IDEXX Laboratories, Inc. *		2,339		447,661
Intuitive Surgical, Inc. *		2,336		964,371
Medtronic plc		5,559		445,943
ResMed, Inc.		1,105		108,809
Stryker Corp.		4,445		715,289
Teleflex, Inc.		1,486		378,900
				8,092,333
Health Care Providers & Services - 3.0%
AmerisourceBergen Corp.		1,061		91,469
Anthem, Inc.		5,677		1,247,237
Centene Corp. *		3,673		392,533
Cigna Corp.		896		150,295
HCA Healthcare, Inc.		2,023		196,231
Humana, Inc.		1,534		412,385

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

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75

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Health Care Providers & Services - 3.0% (continued)
Quest Diagnostics, Inc.		599	$	60,080
UnitedHealth Group, Inc.		16,053		3,435,342
				5,985,572
Health Care Technology - 0.2%
athenahealth, Inc. *		731		104,555
Veeva Systems, Inc., Class A *		3,215		234,759
			339,314
Hotels, Restaurants & Leisure - 2.3%
Carnival Corp.		4,534		297,340
Domino’s Pizza, Inc.		432		100,898
Hilton Worldwide Holdings, Inc.		1,234		97,190
Las Vegas Sands Corp.		4,735		340,446
Marriott International, Inc., Class A		4,440		603,751
McDonald’s Corp.		8,240		1,288,571
MGM Resorts International		2,688		94,134
Royal Caribbean Cruises Ltd.		1,483		174,608
Starbucks Corp.		14,319		828,927
Wyndham Worldwide Corp.		868		99,325
Wynn Resorts Ltd.		2,841		518,085
Yum Brands, Inc.		1,915		163,024
				4,606,299
Household Durables - 0.3%
Garmin Ltd.		2,624		154,632
Mohawk Industries, Inc. *		1,586		368,301
Whirlpool Corp.		922		141,168
				664,101
Industrial Conglomerates - 1.1%
3M Co.		5,514		1,210,433
Honeywell International, Inc.		6,439		930,500
Roper Technologies, Inc.		290		81,400
				2,222,333
Insurance - 1.7%
Allstate Corp. (The)		1,388		131,582
American Financial Group, Inc.		1,717		192,682
Arch Capital Group Ltd. *		2,968		254,031
Chubb Ltd.		4,906		670,994
Everest Re Group Ltd.		999		256,563
Hartford Financial Services Group, Inc. (The)		3,282		169,089
Lincoln National Corp.		3,336		243,728
Markel Corp. *		231		270,328
Principal Financial Group, Inc.		1,500		91,365
Progressive Corp. (The)		7,943		483,967
RenaissanceRe Holdings Ltd.		1,701		235,605
Travelers Cos., Inc. (The)		3,459		480,317
				3,480,251
Internet & Direct Marketing Retail - 6.6%
Amazon.com, Inc. *		6,400		9,262,976
Booking Holdings, Inc. *		426		886,246
Expedia Group, Inc.		1,086		119,906
Netflix, Inc. *		8,775		2,591,696
Wayfair, Inc., Class A *		2,955		199,551
				13,060,375

INVESTMENTS	SHARES		VALUE
Internet Software & Services - 7.6%
Akamai Technologies, Inc. *		1,027	$	72,896
Alphabet, Inc., Class A *		7,442		7,718,396
CoStar Group, Inc. *		838		303,926
eBay, Inc. *		13,570		546,057
Facebook, Inc., Class A *		31,085		4,967,072
GoDaddy, Inc., Class A *		5,177		317,971
IAC/InterActiveCorp *		2,373		371,090
Match Group, Inc. *(a)		7,349		326,590
Twitter, Inc. *		4,645		134,751
VeriSign, Inc. *		939		111,328
Zillow Group, Inc., Class C *		5,250		282,450
				15,152,527
IT Services - 5.3%
Accenture plc, Class A		7,038		1,080,333
Amdocs Ltd.		1,750		116,760
Automatic Data Processing, Inc.		3,980		451,650
Cognizant Technology Solutions Corp., Class A		4,878		392,679
DXC Technology Co.		7,944		798,610
Fiserv, Inc. *		6,684		476,636
FleetCor Technologies, Inc. *		1,395		282,488
Genpact Ltd.		10,290		329,177
Global Payments, Inc.		919		102,487
Jack Henry & Associates, Inc.		1,350		163,283
Mastercard, Inc., Class A		10,657		1,866,680
PayPal Holdings, Inc. *		12,412		941,698
Square, Inc., Class A *		15,511		763,141
Total System Services, Inc.		2,043		176,229
Visa, Inc., Class A(a)		20,084		2,402,448
Worldpay, Inc. *		2,419		198,939
				10,543,238
Leisure Products - 0.1%
Brunswick Corp.		1,969		116,939
Life Sciences Tools & Services - 1.2%
Agilent Technologies, Inc.		1,657		110,853
Illumina, Inc. *		2,189		517,524
IQVIA Holdings, Inc. *		1,617		158,644
Mettler-Toledo International, Inc. *		577		331,792
Thermo Fisher Scientific, Inc.		5,346		1,103,735
Waters Corp. *		923		183,354
				2,405,902
Machinery - 2.8%
Caterpillar, Inc.		7,666		1,129,815
Cummins, Inc.		1,475		239,083
Deere & Co.		3,002		466,271
Dover Corp.		2,116		207,833
Fortive Corp.		2,886		223,723
Illinois Tool Works, Inc.		4,089		640,583
Ingersoll-Rand plc		3,592		307,152
Middleby Corp. (The) *		1,800		222,822
Nordson Corp.		909		123,933
Oshkosh Corp.		6,874		531,154
Parker-Hannifin Corp.		1,500		256,545
Trinity Industries, Inc.		17,214		561,693
WABCO Holdings, Inc. *		800		107,096

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

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76

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Machinery - 2.8% (continued)
Xylem, Inc.		6,645	$	511,133
				5,528,836
Media - 1.1%
CBS Corp. (Non-Voting), Class B		1,432		73,590
Charter Communications, Inc., Class A *		2,600		809,172
Comcast Corp., Class A		27,374		935,370
Liberty Broadband Corp., Class C *		1,573		134,790
Lions Gate Entertainment Corp., Class A		3,258		84,154
Madison Square Garden Co. (The), Class A *		316		77,673
				2,114,749
Metals & Mining - 0.9%
Freeport-McMoRan, Inc. *		8,148		143,160
Royal Gold, Inc.		9,461		812,416
Steel Dynamics, Inc.		10,719		473,994
United States Steel Corp.		8,213		289,016
				1,718,586
Multiline Retail - 0.4%
Dollar General Corp.		1,339		125,263
Dollar Tree, Inc. *		3,020		286,598
Kohl’s Corp.		2,210		144,777
Target Corp.		3,485		241,964
				798,602
Multi-Utilities - 0.5%
Ameren Corp.		4,264		241,470
CMS Energy Corp.		2,100		95,109
Consolidated Edison, Inc.		1,980		154,321
DTE Energy Co.		3,287		343,163
Public Service Enterprise Group, Inc.		4,420		222,061
				1,056,124
Oil, Gas & Consumable Fuels - 1.0%
Andeavor		2,388		240,137
Diamondback Energy, Inc. *		8,282		1,047,838
Marathon Petroleum Corp.		1,071		78,301
ONEOK, Inc.		1,754		99,838
Phillips 66		853		81,820
Valero Energy Corp.		2,679		248,531
Williams Cos., Inc. (The)		4,921		122,336
WPX Energy, Inc. *		6,227		92,035
				2,010,836
Personal Products - 0.4%
Estee Lauder Cos., Inc. (The), Class A		4,996		748,001
Nu Skin Enterprises, Inc., Class A		1,366		100,688
				848,689
Pharmaceuticals - 0.9%
Bristol-Myers Squibb Co.		1,287		81,403
Eli Lilly & Co.		7,307		565,342
Johnson & Johnson		4,729		606,021
Zoetis, Inc.		6,713		560,603
				1,813,369
			��
Professional Services - 0.2%
Equifax, Inc.		651		76,695

INVESTMENTS	SHARES		VALUE
Professional Services - 0.2% (continued)
TransUnion *		3,413	$	193,790
Verisk Analytics, Inc. *		906		94,224
				364,709
Road & Rail - 0.8%
CSX Corp.		10,461		582,782
Norfolk Southern Corp.		2,500		339,450
Old Dominion Freight Line, Inc.		1,956		287,474
Union Pacific Corp.		2,312		310,802
				1,520,508
Semiconductors & Semiconductor Equipment - 7.2%
Analog Devices, Inc.		977		89,034
Applied Materials, Inc.		26,910		1,496,465
Broadcom Ltd.		5,542		1,305,972
Cypress Semiconductor Corp.		17,005		288,405
Intel Corp.		27,459		1,430,065
Lam Research Corp.		2,223		451,625
Marvell Technology Group Ltd.		7,782		163,422
Microchip Technology, Inc.		1,024		93,553
Micron Technology, Inc. *		37,507		1,955,615
NVIDIA Corp.		18,364		4,252,919
ON Semiconductor Corp. *		25,190		616,147
Skyworks Solutions, Inc.		3,805		381,489
Texas Instruments, Inc.		16,400		1,703,796
Xilinx, Inc.		2,840		205,161
				14,433,668
Software - 9.5%
Activision Blizzard, Inc.		16,034		1,081,654
Adobe Systems, Inc. *		10,510		2,271,001
ANSYS, Inc. *		2,671		418,519
Atlassian Corp. plc, Class A (Australia) *		9,017		486,197
Autodesk, Inc. *		2,296		288,332
Electronic Arts, Inc. *		8,682		1,052,606
Fortinet, Inc. *		1,306		69,975
Guidewire Software, Inc. *		2,220		179,443
Intuit, Inc.		4,182		724,950
Microsoft Corp.		91,667		8,366,447
Oracle Corp.		10,159		464,774
Red Hat, Inc. *		2,671		399,341
salesforce.com, Inc. *		6,637		771,883
ServiceNow, Inc. *		4,455		737,080
Splunk, Inc. *		1,580		155,456
SS&C Technologies Holdings, Inc.		2,522		135,280
Symantec Corp.		6,438		166,422
Synopsys, Inc. *		1,068		88,900
Tableau Software, Inc., Class A *		2,627		212,314
Take-Two Interactive Software, Inc. *		2,784		272,219
Tyler Technologies, Inc. *		831		175,308
VMware, Inc., Class A *		2,638		319,910
				18,838,011
Specialty Retail - 2.6%
Best Buy Co., Inc.		3,810		266,662
Burlington Stores, Inc. *		2,419		322,090
Gap, Inc. (The)		4,580		142,896
Home Depot, Inc. (The)		12,906		2,300,365
Lowe’s Cos., Inc.		5,259		461,477

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

AQR Funds Semi-Annual Report March 2018

77

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Specialty Retail - 2.6% (continued)
O’Reilly Automotive, Inc. *		1,264	$	312,688
Ross Stores, Inc.		10,017		781,126
TJX Cos., Inc. (The)		2,984		243,375
Ulta Beauty, Inc. *		1,847		377,287
				5,207,966
Technology Hardware, Storage & Peripherals - 3.9%
Apple, Inc.		41,713		6,998,607
Hewlett Packard Enterprise Co.		5,467		95,891
HP, Inc.		25,956		568,956
NetApp, Inc.		1,936		119,432
				7,782,886
Textiles, Apparel & Luxury Goods - 0.6%
Carter’s, Inc.		1,338		139,286
NIKE, Inc., Class B		4,315		286,688
PVH Corp.		1,239		187,622
Skechers U.S.A., Inc., Class A *		4,412		171,583
Tapestry, Inc.		1,925		101,274
VF Corp.		5,166		382,904
				1,269,357
Tobacco - 0.6%
Altria Group, Inc.		19,739		1,230,135
Trading Companies & Distributors - 0.4%
HD Supply Holdings, Inc. *		2,092		79,370
United Rentals, Inc. *		3,686		636,683
				716,053
Wireless Telecommunication Services - 0.3%
T-Mobile US, Inc. *		8,471		517,070
TOTAL COMMON STOCKS (Cost $133,146,047)				194,288,031
SHORT-TERM INVESTMENTS - 2.8%
Investment Companies - 2.8%
Limited Purpose Cash Investment Fund, 1.53% (2)(c)
(Cost $5,618,995)		5,620,253		5,619,129
SECURITIES LENDING COLLATERAL - 0.4%
Investment Companies - 0.4%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(c)(d)		102,787		102,787
Limited Purpose Cash Investment Fund
1.53% (2)(c)(d)		768,252		768,252
TOTAL SECURITIES LENDING COLLATERAL (Cost $871,039)				871,039
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.7% (Cost $139,636,081)				200,778,199
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.7)% (e)			(1,344,997)
NET ASSETS - 100.0%			$	199,433,202

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	28,841,700			14.5	%
Consumer Staples		5,780,065			2.9
Energy		2,098,318			1.1
Financials		26,622,870			13.3
Health Care		22,439,086			11.3
Industrials		23,951,497			12.0
Information Technology		71,059,411			35.6
Materials		4,138,036			2.1
Real Estate		4,378,174			2.2
Telecommunication Services		599,737			0.3
Utilities		4,379,137			2.2
Short-Term Investments		5,619,129			2.8
Securities Lending Collateral		871,039			0.4
Total Investments In Securities At Value		200,778,199			100.7
Liabilities in Excess of Other Assets (e)		(1,344,997	)		(0.7	)
Net Assets	$	199,433,202			100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $2,987,126.

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

(c) Represents 7-day effective yield as of March 31, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $2,130,134 was received (See Note 3).

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

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

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

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

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78

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index		32	6/2018	USD		$4,228,800		$(26,416	)
								$(26,416	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$287,059		$287,059

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.2%
Aerospace & Defense - 1.5%
AAR Corp.		1,190	$	52,491
Aerojet Rocketdyne Holdings, Inc. *		2,469		69,058
Aerovironment, Inc. *		1,495		68,037
Astronics Corp. *		515		19,210
Axon Enterprise, Inc. *		1,464		57,550
Curtiss-Wright Corp.		1,230		166,136
Ducommun, Inc. *		1,446		43,929
Engility Holdings, Inc. *		1,335		32,574
Esterline Technologies Corp. *		275		20,116
KLX, Inc. *		1,535		109,077
Kratos Defense & Security Solutions, Inc. *		7,810		80,365
Mercury Systems, Inc. *		3,024		146,120
Vectrus, Inc. *		904		33,665
				898,328
Air Freight & Logistics - 0.1%
Air Transport Services Group, Inc. *		1,652		38,525
Atlas Air Worldwide Holdings, Inc. *		400		24,180
				62,705
Airlines - 0.2%
Allegiant Travel Co.		284		49,004
SkyWest, Inc.		1,418		77,139
				126,143
Auto Components - 1.0%
Cooper Tire & Rubber Co.		576		16,877
Cooper-Standard Holdings, Inc. *		845		103,774
Dana, Inc.		3,827		98,583
Dorman Products, Inc. *		322		21,320
Fox Factory Holding Corp. *		1,895		66,135
Gentherm, Inc. *		1,057		35,885
LCI Industries		1,144		119,148
Modine Manufacturing Co. *		1,493		31,577
Motorcar Parts of America, Inc. *		1,306		27,988
Standard Motor Products, Inc.		641		30,492
Tower International, Inc.		753		20,896
				572,675
Automobiles - 0.1%
Winnebago Industries, Inc.		1,452		54,595
Banks - 4.8%
Allegiance Bancshares, Inc. *		1,709		66,907
Ameris Bancorp		1,938		102,520
Banc of California, Inc.		1,710		33,003
Blue Hills Bancorp, Inc.		1,200		25,020
Boston Private Financial Holdings, Inc.		1,715		25,811
Carolina Financial Corp.		3,277		128,721
CenterState Bank Corp.		1,137		30,165
Central Pacific Financial Corp.		835		23,764
Central Valley Community Bancorp		2,448		47,883
ConnectOne Bancorp, Inc.		1,237		35,626
Customers Bancorp, Inc. *		798		23,262
Eagle Bancorp, Inc. *		1,509		90,314
Enterprise Financial Services Corp.		1,251		58,672
FCB Financial Holdings, Inc., Class A *		1,914		97,805
Fidelity Southern Corp.		1,125		25,954

INVESTMENTS	SHARES		VALUE
Banks - 4.8% (continued)
First Bancorp/PR *		14,855	$	89,427
First Commonwealth Financial Corp.		1,291		18,242
First Interstate BancSystem, Inc., Class A		2,466		97,530
First Merchants Corp.		654		27,272
Great Western Bancorp, Inc.		2,729		109,897
Green Bancorp, Inc. *		4,394		97,766
Hanmi Financial Corp.		825		25,369
Horizon Bancorp		742		22,267
Independent Bank Corp./MA		552		39,496
Independent Bank Corp./MI		4,596		105,248
Independent Bank Group, Inc.		1,410		99,687
Lakeland Bancorp, Inc.		1,023		20,306
Lakeland Financial Corp.		1,783		82,428
LegacyTexas Financial Group, Inc.		1,265		54,167
Mercantile Bank Corp.		568		18,886
National Bank Holdings Corp., Class A		1,243		41,330
National Commerce Corp. *		585		25,477
OFG Bancorp		3,429		35,833
Old Second Bancorp, Inc.		3,326		46,231
Pacific Premier Bancorp, Inc. *		850		34,170
Peoples Bancorp, Inc.		732		25,949
People’s Utah Bancorp		1,275		41,182
Preferred Bank		1,654		106,187
QCR Holdings, Inc.		921		41,307
Republic First Bancorp, Inc. *		10,891		94,752
Seacoast Banking Corp. of Florida *		1,369		36,237
ServisFirst Bancshares, Inc.		5,062		206,631
Southside Bancshares, Inc.		813		28,244
State Bank Financial Corp.		672		20,167
Towne Bank		1,096		31,346
TriState Capital Holdings, Inc. *		1,369		31,829
Triumph Bancorp, Inc. *		1,976		81,411
United Community Banks, Inc.		2,355		74,536
Veritex Holdings, Inc. *		1,476		40,841
Wintrust Financial Corp.		684		58,858
				2,825,933
Beverages - 0.9%
Coca-Cola Bottling Co. Consolidated		430		74,248
Craft Brew Alliance, Inc. *		1,463		27,212
MGP Ingredients, Inc.		1,264		113,242
National Beverage Corp.(a)		3,220		286,644
				501,346
Biotechnology - 10.8%
Abeona Therapeutics, Inc. *(a)		5,422		77,806
Acceleron Pharma, Inc. *		538		21,036
Adamas Pharmaceuticals, Inc. *(a)		1,426		34,081
Aimmune Therapeutics, Inc. *		3,053		97,177
Akebia Therapeutics, Inc. *		1,511		14,400
Amicus Therapeutics, Inc. *		8,634		129,855
Arena Pharmaceuticals, Inc. *		1,088		42,976
Array BioPharma, Inc. *		13,892		226,717
Atara Biotherapeutics, Inc. *		461		17,979
Audentes Therapeutics, Inc. *		1,295		38,915
Avexis, Inc. *		2,487		307,343
Avid Bioservices, Inc. *		1,371		4,003
BioCryst Pharmaceuticals, Inc. *		4,092		19,519
BioSpecifics Technologies Corp. *		495		21,948

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Biotechnology - 10.8% (continued)
Bluebird Bio, Inc. *		2,818	$	481,174
Blueprint Medicines Corp. *		2,931		268,773
Calithera Biosciences, Inc. *		5,037		31,733
Cara Therapeutics, Inc. *(a)		3,687		45,645
Catalyst Pharmaceuticals, Inc. *		27,771		66,373
ChemoCentryx, Inc. *		3,517		47,831
Clovis Oncology, Inc. *		1,080		57,024
Conatus Pharmaceuticals, Inc. *		4,925		28,910
Corbus Pharmaceuticals Holdings, Inc. *(a)		4,505		27,481
CTI BioPharma Corp. *		370		1,443
CytomX Therapeutics, Inc. *		1,995		56,758
Dynavax Technologies Corp. *		3,962		78,646
Eagle Pharmaceuticals, Inc. *(a)		385		20,286
Editas Medicine, Inc. *		1,415		46,907
Emergent BioSolutions, Inc. *		500		26,325
Enanta Pharmaceuticals, Inc. *		993		80,344
Epizyme, Inc. *		2,095		37,186
Esperion Therapeutics, Inc. *		2,739		198,112
Exact Sciences Corp. *		7,439		300,015
Fate Therapeutics, Inc. *		4,662		45,501
FibroGen, Inc. *		4,305		198,891
Flexion Therapeutics, Inc. *		1,781		39,912
Foundation Medicine, Inc. *		2,192		172,620
Global Blood Therapeutics, Inc. *		2,401		115,968
Halozyme Therapeutics, Inc. *		3,681		72,111
ImmunoGen, Inc. *		8,871		93,323
Immunomedics, Inc. *(a)		15,035		219,661
Insmed, Inc. *		2,533		57,043
Intellia Therapeutics, Inc. *		500		10,545
Ironwood Pharmaceuticals, Inc. *		2,192		33,823
Lexicon Pharmaceuticals, Inc. *		2,244		19,231
Ligand Pharmaceuticals, Inc. *		543		89,682
Loxo Oncology, Inc. *		2,444		281,964
Madrigal Pharmaceuticals, Inc. *		879		102,658
MiMedx Group, Inc. *(a)		5,961		41,548
Momenta Pharmaceuticals, Inc. *		1,455		26,408
Myriad Genetics, Inc. *		2,127		62,853
Pieris Pharmaceuticals, Inc. *		6,644		45,312
Portola Pharmaceuticals, Inc. *		2,993		97,751
Prothena Corp. plc (Ireland) *		651		23,898
PTC Therapeutics, Inc. *		2,980		80,639
Puma Biotechnology, Inc. *		2,110		143,586
REGENXBIO, Inc. *		3,823		114,117
Repligen Corp. *		1,280		46,310
Retrophin, Inc. *		2,107		47,113
Sage Therapeutics, Inc. *		2,259		363,857
Sangamo Therapeutics, Inc. *		6,546		124,374
Sarepta Therapeutics, Inc. *		3,746		277,541
Spark Therapeutics, Inc. *		283		18,845
Spectrum Pharmaceuticals, Inc. *		5,591		89,959
Stemline Therapeutics, Inc. *		1,747		26,729
TG Therapeutics, Inc. *(a)		4,501		63,914
Vanda Pharmaceuticals, Inc. *		1,751		29,504
Xencor, Inc. *		2,514		75,370
				6,307,282
Building Products - 1.3%
AAON, Inc.		1,050		40,950
American Woodmark Corp. *		658		64,780

INVESTMENTS	SHARES		VALUE
Building Products - 1.3% (continued)
Apogee Enterprises, Inc.		791	$	34,290
Builders FirstSource, Inc. *		5,687		112,830
Continental Building Products, Inc. *		1,526		43,567
Gibraltar Industries, Inc. *		1,568		53,077
Masonite International Corp. *		1,077		66,074
NCI Building Systems, Inc. *		1,241		21,966
Patrick Industries, Inc. *		3,309		204,662
PGT Innovations, Inc. *		916		17,083
Trex Co., Inc. *		943		102,570
				761,849
Capital Markets - 1.2%
Evercore, Inc., Class A		1,026		89,467
Houlihan Lokey, Inc.		3,975		177,285
Investment Technology Group, Inc.		1,146		22,622
Moelis & Co., Class A		3,290		167,297
Piper Jaffray Cos.		826		68,599
PJT Partners, Inc., Class A		2,344		117,434
Stifel Financial Corp.		987		58,460
Virtu Financial, Inc., Class A		750		24,750
				725,914
Chemicals - 2.0%
AdvanSix, Inc. *		705		24,520
Chase Corp.		298		34,702
Ferro Corp. *		4,196		97,431
Ingevity Corp. *		1,514		111,567
Innophos Holdings, Inc.		508		20,427
Innospec, Inc.		332		22,775
Intrepid Potash, Inc. *		6,622		24,104
KMG Chemicals, Inc.		978		58,631
Koppers Holdings, Inc. *		549		22,564
Kraton Corp. *		1,217		58,063
Kronos Worldwide, Inc.		6,986		157,884
Minerals Technologies, Inc.		500		33,475
PolyOne Corp.		639		27,170
Rayonier Advanced Materials, Inc.		1,897		40,728
Sensient Technologies Corp.		1,100		77,638
Trinseo SA		2,759		204,304
Tronox Ltd., Class A		7,688		141,767
				1,157,750
Commercial Services & Supplies - 1.0%
ACCO Brands Corp.		1,709		21,448
Brady Corp., Class A		570		21,175
Brink’s Co. (The)		2,779		198,282
Casella Waste Systems, Inc., Class A *		742		17,348
Deluxe Corp.		267		19,761
Healthcare Services Group, Inc.		2,192		95,308
Kimball International, Inc., Class B		1,371		23,362
MSA Safety, Inc.		319		26,554
Multi-Color Corp.		444		29,326
Quad/Graphics, Inc.		1,804		45,731
SP Plus Corp. *		660		23,496
Tetra Tech, Inc.		533		26,090
US Ecology, Inc.		349		18,602
Viad Corp.		445		23,340
				589,823

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Communications Equipment - 1.3%
Applied Optoelectronics, Inc. *(a)		932	$	23,356
EMCORE Corp. *		5,074		28,922
Extreme Networks, Inc. *		11,890		131,622
InterDigital, Inc.		923		67,933
Lumentum Holdings, Inc. *		3,225		205,755
Oclaro, Inc. *		7,736		73,956
Ubiquiti Networks, Inc. *(a)		2,771		190,645
ViaSat, Inc. *(a)		411		27,011
Viavi Solutions, Inc. *		3,957		38,462
				787,662
Construction & Engineering - 1.2%
Argan, Inc.		871		37,409
Comfort Systems USA, Inc.		1,346		55,523
Dycom Industries, Inc. *		1,182		127,219
EMCOR Group, Inc.		398		31,016
Granite Construction, Inc.		465		25,975
HC2 Holdings, Inc. *		962		5,060
IES Holdings, Inc. *		1,238		18,756
MasTec, Inc. *		4,048		190,458
NV5 Global, Inc. *		1,032		57,534
Primoris Services Corp.		1,390		34,722
Sterling Construction Co., Inc. *		4,619		52,934
Tutor Perini Corp. *		1,919		42,314
				678,920
Construction Materials - 0.4%
Summit Materials, Inc., Class A *		3,719		112,611
US Concrete, Inc. *(a)		2,145		129,558
				242,169
Consumer Finance - 0.6%
Encore Capital Group, Inc. *		565		25,538
Enova International, Inc. *		1,257		27,717
EZCORP, Inc., Class A *		5,444		71,861
FirstCash, Inc.		225		18,281
Green Dot Corp., Class A *		2,607		167,265
Nelnet, Inc., Class A		400		20,964
				331,626
Containers & Packaging - 0.2%
Greif, Inc., Class A		1,746		91,228
Distributors - 0.1%
Core-Mark Holding Co., Inc.		1,645		34,973
Diversified Consumer Services - 1.7%
Adtalem Global Education, Inc. *		1,371		65,191
Career Education Corp. *		9,718		127,694
Chegg, Inc. *		8,124		167,842
Grand Canyon Education, Inc. *		2,225		233,447
Sotheby’s *		639		32,787
Strayer Education, Inc.		286		28,900
Weight Watchers International, Inc. *		5,019		319,811
				975,672
Diversified Telecommunication Services - 0.4%
Cogent Communications Holdings, Inc.		1,056		45,830
Globalstar, Inc. *(a)		23,066		15,858
Iridium Communications, Inc. *		2,656		29,880

INVESTMENTS	SHARES		VALUE
Diversified Telecommunication Services - 0.4% (continued)
ORBCOMM, Inc. *		3,221	$	30,181
Vonage Holdings Corp. *		8,135		86,638
				208,387
Electric Utilities - 0.7%
ALLETE, Inc.		1,441		104,112
El Paso Electric Co.		1,135		57,885
IDACORP, Inc.		351		30,983
MGE Energy, Inc.		1,156		64,852
Otter Tail Corp.		739		32,036
PNM Resources, Inc.		2,933		112,187
Spark Energy, Inc., Class A (a)		3,072		36,403
				438,458
Electrical Equipment - 0.1%
Energous Corp. *(a)		919		14,731
Generac Holdings, Inc. *		846		38,840
Plug Power, Inc. *(a)		15,010		28,369
				81,940
Electronic Equipment, Instruments & Components - 3.0%
Badger Meter, Inc.		1,137		53,610
Belden, Inc.		377		25,990
Benchmark Electronics, Inc.		686		20,477
Control4 Corp. *		4,007		86,070
CTS Corp.		722		19,638
Electro Scientific Industries, Inc. *		3,256		62,938
ePlus, Inc. *		1,100		85,470
Fabrinet (Thailand) *		1,593		49,988
II-VI, Inc. *		2,489		101,800
Insight Enterprises, Inc. *		904		31,577
Itron, Inc. *		1,022		73,124
KEMET Corp. *		5,774		104,683
Littelfuse, Inc.		1,141		237,533
Mesa Laboratories, Inc.		432		64,126
Methode Electronics, Inc.		887		34,682
Novanta, Inc. *		2,973		155,042
OSI Systems, Inc. *		393		25,651
Plexus Corp. *		600		35,838
Rogers Corp. *		916		109,499
Sanmina Corp. *		1,686		44,089
SYNNEX Corp.		927		109,757
Systemax, Inc.		2,123		60,612
Tech Data Corp. *		937		79,767
TTM Technologies, Inc. *		4,310		65,900
				1,737,861
Energy Equipment & Services - 0.4%
Archrock, Inc.		5,634		49,298
Exterran Corp. *		2,681		71,583
McDermott International, Inc. *		11,159		67,958
Unit Corp. *		1,929		38,117
				226,956
Equity Real Estate Investment Trusts (REITs) - 2.3%
Agree Realty Corp.		808		38,816
American Assets Trust, Inc.		830		27,730
CareTrust REIT, Inc.		3,160		42,344
EastGroup Properties, Inc.		797		65,880
First Industrial Realty Trust, Inc.		899		26,278

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 2.3% (continued)
Four Corners Property Trust, Inc.		1,322	$	30,525
GEO Group, Inc. (The)		806		16,499
Getty Realty Corp.		891		22,471
Gladstone Commercial Corp.		2,247		38,963
Independence Realty Trust, Inc.		2,998		27,522
Jernigan Capital, Inc.		1,105		20,001
Monmouth Real Estate Investment Corp.		2,816		42,353
National Storage Affiliates Trust		4,002		100,370
NexPoint Residential Trust, Inc.		2,537		63,019
Pebblebrook Hotel Trust		716		24,595
PotlatchDeltic Corp.		522		27,170
Preferred Apartment Communities, Inc., Class A		2,640		37,462
PS Business Parks, Inc.		1,304		147,404
QTS Realty Trust, Inc., Class A		583		21,116
Retail Opportunity Investments Corp.		1,217		21,504
Rexford Industrial Realty, Inc.		4,420		127,252
Ryman Hospitality Properties, Inc.		1,223		94,721
STAG Industrial, Inc.		2,224		53,198
Summit Hotel Properties, Inc.		2,178		29,643
Sunstone Hotel Investors, Inc.		1,432		21,795
Terreno Realty Corp.		2,554		88,139
UMH Properties, Inc.		1,668		22,368
Universal Health Realty Income Trust		544		32,694
Washington REIT		838		22,877
Xenia Hotels & Resorts, Inc.		1,185		23,368
				1,358,077
Food & Staples Retailing - 0.0% (b)
Performance Food Group Co. *		842		25,134
Food Products - 0.9%
Calavo Growers, Inc. (a)		432		39,830
Darling Ingredients, Inc. *		1,560		26,988
Fresh Del Monte Produce, Inc.		1,842		83,332
J&J Snack Foods Corp.		693		94,636
John B Sanfilippo & Son, Inc.		879		50,868
Lancaster Colony Corp.		812		99,990
Sanderson Farms, Inc.		1,248		148,537
				544,181
Gas Utilities - 0.8%
Chesapeake Utilities Corp.		631		44,391
New Jersey Resources Corp.		1,814		72,741
Northwest Natural Gas Co.		369		21,273
ONE Gas, Inc.		3,413		225,326
Southwest Gas Holdings, Inc. *		717		48,491
Spire, Inc.		1,042		75,337
				487,559
Health Care Equipment & Supplies - 5.4%
Abaxis, Inc.		457		32,273
Anika Therapeutics, Inc. *		794		39,478
Antares Pharma, Inc. *		20,432		44,950
AtriCure, Inc. *		1,381		28,338
AxoGen, Inc. *		5,638		205,787
Cantel Medical Corp.		1,202		133,915
Cardiovascular Systems, Inc. *		1,382		30,307
CONMED Corp.		500		31,665

INVESTMENTS	SHARES		VALUE
Health Care Equipment & Supplies - 5.4% (continued)
Cutera, Inc. *		2,622	$	131,756
Glaukos Corp. *(a)		685		21,119
Globus Medical, Inc., Class A *		3,054		152,150
Haemonetics Corp. *		1,018		74,477
Heska Corp. *		1,323		104,610
ICU Medical, Inc. *		857		216,307
Inogen, Inc. *		1,821		223,692
Insulet Corp. *		2,118		183,588
Integer Holdings Corp. *		806		45,579
Integra LifeSciences Holdings Corp. *		1,883		104,205
iRhythm Technologies, Inc. *		497		31,286
K2M Group Holdings, Inc. *		1,995		37,805
Lantheus Holdings, Inc. *		7,341		116,722
LeMaitre Vascular, Inc.		2,231		80,829
LivaNova plc *		1,317		116,555
Masimo Corp. *		1,758		154,616
Merit Medical Systems, Inc. *		1,284		58,229
Natus Medical, Inc. *		1,478		49,735
Neogen Corp. *		640		42,874
Nevro Corp. *		1,357		117,611
Novocure Ltd. *		4,353		94,895
NuVasive, Inc. *		478		24,956
OraSure Technologies, Inc. *		5,391		91,054
Penumbra, Inc. *		1,461		168,965
Pulse Biosciences, Inc. *(a)		1,055		14,274
Quidel Corp. *		1,768		91,600
STAAR Surgical Co. *		1,257		18,604
Tactile Systems Technology, Inc. *		909		28,906
ViewRay, Inc. *(a)		6,435		41,377
				3,185,089
Health Care Providers & Services - 2.3%
Addus HomeCare Corp. *		1,804		87,765
Amedisys, Inc. *		745		44,953
AMN Healthcare Services, Inc. *		1,210		68,668
BioTelemetry, Inc. *		3,353		104,111
Chemed Corp.		704		192,093
CorVel Corp. *		404		20,422
Diplomat Pharmacy, Inc. *		1,916		38,607
Encompass Health Corp.		1,585		90,615
Ensign Group, Inc. (The)		1,000		26,300
HealthEquity, Inc. *		2,634		159,462
LHC Group, Inc. *		1,013		62,360
Molina Healthcare, Inc. *		1,921		155,947
Providence Service Corp. (The) *		400		27,656
R1 RCM, Inc. *		5,870		41,912
Select Medical Holdings Corp. *		2,344		40,434
Tivity Health, Inc. *		4,511		178,861
US Physical Therapy, Inc.		280		22,764
				1,362,930
Health Care Technology - 1.0%
Allscripts Healthcare Solutions, Inc. *		2,012		24,848
Cotiviti Holdings, Inc. *		2,481		85,446
Evolent Health, Inc., Class A *		1,307		18,625
Inovalon Holdings, Inc., Class A *		2,353		24,942
Medidata Solutions, Inc. *		2,233		140,255
Omnicell, Inc. *		1,035		44,919
Tabula Rasa HealthCare, Inc. *		803		31,156

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Health Care Technology - 1.0% (continued)
Teladoc, Inc. *(a)		4,106	$	165,472
Vocera Communications, Inc. *		901		21,101
				556,764
Hotels, Restaurants & Leisure - 4.4%
Boyd Gaming Corp.		5,217		166,214
Caesars Entertainment Corp. *		36,174		406,958
Carrols Restaurant Group, Inc. *		1,505		16,856
Churchill Downs, Inc.		276		67,358
Cracker Barrel Old Country Store, Inc. (a)		385		61,292	��
Dave & Buster’s Entertainment, Inc. *		1,370		57,184
Denny’s Corp. *		2,000		30,860
Eldorado Resorts, Inc. *		7,283		240,339
Golden Entertainment, Inc. *		956		22,208
ILG, Inc.		3,739		116,320
Jack in the Box, Inc.		980		83,623
Marriott Vacations Worldwide Corp.		1,663		221,512
Nathan’s Famous, Inc.		443		32,738
Papa John’s International, Inc. (a)		738		42,287
Penn National Gaming, Inc. *		4,764		125,103
Planet Fitness, Inc., Class A *		4,924		185,979
RCI Hospitality Holdings, Inc.		2,273		64,530
Red Robin Gourmet Burgers, Inc. *		534		30,972
Red Rock Resorts, Inc., Class A		2,133		62,454
Ruth’s Hospitality Group, Inc.		1,920		46,944
Scientific Games Corp., Class A *		6,723		279,677
Sonic Corp.		727		18,342
Texas Roadhouse, Inc.		2,000		115,560
Wingstop, Inc.		1,138		53,748
				2,549,058
Household Durables - 1.8%
Cavco Industries, Inc. *		433		75,234
Helen of Troy Ltd. *		1,094		95,178
Hooker Furniture Corp.		465		17,066
Installed Building Products, Inc. *		2,645		158,832
iRobot Corp. *(a)		1,076		69,068
KB Home		2,111		60,058
La-Z-Boy, Inc.		722		21,624
LGI Homes, Inc. *(a)		3,079		217,285
MDC Holdings, Inc.		747		20,856
Taylor Morrison Home Corp., Class A *		816		18,996
TopBuild Corp. *		2,558		195,738
TRI Pointe Group, Inc. *		1,755		28,835
Universal Electronics, Inc. *		400		20,820
William Lyon Homes, Class A *		1,075		29,552
ZAGG, Inc. *		2,033		24,803
				1,053,945
Household Products - 0.3%
Central Garden & Pet Co., Class A *		3,085		122,197
WD-40 Co.		467		61,504
				183,701
Independent Power and Renewable Electricity Producers - 0.0% (b)
NRG Yield, Inc., Class C		1,476		25,092
Insurance - 2.2%
American Equity Investment Life Holding Co.		1,528		44,862

INVESTMENTS	SHARES		VALUE
Insurance - 2.2% (continued)
AMERISAFE, Inc.		907	$	50,112
Argo Group International Holdings Ltd.		2,019		115,890
CNO Financial Group, Inc.		2,737		59,311
Employers Holdings, Inc.		574		23,218
Enstar Group Ltd. *		673		141,498
Health Insurance Innovations, Inc., Class A *(a)		4,863		140,541
James River Group Holdings Ltd.		2,244		79,595
Kemper Corp.		395		22,515
Kingstone Cos., Inc.		1,221		20,513
National General Holdings Corp.		1,414		34,374
Navigators Group, Inc. (The)		766		44,160
Primerica, Inc.		1,888		182,381
RLI Corp.		1,284		81,393
Selective Insurance Group, Inc.		768		46,617
Trupanion, Inc. *		1,810		54,101
United Fire Group, Inc.		1,284		61,452
United Insurance Holdings Corp.		2,600		49,764
Universal Insurance Holdings, Inc.		1,100		35,090
				1,287,387
Internet & Direct Marketing Retail - 0.6%
1-800-Flowers.com, Inc., Class A *		3,613		42,633
Groupon, Inc. *		14,802		64,241
Nutrisystem, Inc.		1,991		53,657
Overstock.com, Inc. *(a)		2,582		93,598
PetMed Express, Inc. (a)		2,278		95,107
Shutterfly, Inc. *		208		16,900
				366,136
Internet Software & Services - 5.9%
2U, Inc. *		4,139		347,800
Alarm.com Holdings, Inc. *		2,715		102,464
Appfolio, Inc., Class A *		3,881		158,539
Apptio, Inc., Class A *		1,894		53,676
Blucora, Inc. *		4,127		101,524
Box, Inc., Class A *		4,001		82,220
Carbonite, Inc. *		3,115		89,712
Cimpress NV (Netherlands) *		1,228		189,972
Coupa Software, Inc. *		402		18,339
Envestnet, Inc. *		772		44,236
Etsy, Inc. *		5,259		147,567
Five9, Inc. *		7,053		210,109
GrubHub, Inc. *		5,008		508,162
GTT Communications, Inc. *		1,815		102,910
Hortonworks, Inc. *		4,372		89,058
Instructure, Inc. *		1,444		60,865
Internap Corp. *(a)		1,860		20,460
j2 Global, Inc.		800		63,136
Limelight Networks, Inc. *		5,392		22,161
LivePerson, Inc. *		1,142		18,672
MINDBODY, Inc., Class A *		4,142		161,124
New Relic, Inc. *		2,672		198,049
Nutanix, Inc., Class A *		1,233		60,553
Q2 Holdings, Inc. *		1,618		73,700
QuinStreet, Inc. *		1,577		20,138
Quotient Technology, Inc. *		2,633		34,492
SPS Commerce, Inc. *		593		37,993
Stamps.com, Inc. *		1,216		244,477

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

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84

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Internet Software & Services - 5.9% (continued)
Trade Desk, Inc. (The), Class A *		1,666	$	82,667
TrueCar, Inc. *(a)		2,890		27,339
Tucows, Inc., Class A *(a)		1,347		75,432
				3,447,546
IT Services - 1.3%
Acxiom Corp. *		961		21,824
Blackhawk Network Holdings, Inc. *		1,663		74,336
CACI International, Inc., Class A *		385		58,270
CSG Systems International, Inc.		958		43,388
EPAM Systems, Inc. *		2,061		236,026
Everi Holdings, Inc. *		11,920		78,315
ExlService Holdings, Inc. *		709		39,541
ManTech International Corp., Class A		306		16,974
MAXIMUS, Inc.		1,222		81,556
Perficient, Inc. *		927		21,247
Science Applications International Corp.		553		43,576
Syntel, Inc. *		646		16,492
Virtusa Corp. *		955		46,279
				777,824
Leisure Products - 0.0% (b)
Sturm Ruger & Co., Inc. (a)		385		20,212
Life Sciences Tools & Services - 0.8%
Accelerate Diagnostics, Inc. *(a)		2,660		60,781
Cambrex Corp. *		854		44,664
Enzo Biochem, Inc. *		2,746		15,048
NeoGenomics, Inc. *		2,416		19,715
PRA Health Sciences, Inc. *		3,373		279,824
Syneos Health, Inc. *		1,078		38,269
				458,301
Machinery - 3.7%
Alamo Group, Inc.		289		31,761
Albany International Corp., Class A		510		31,977
Altra Industrial Motion Corp.		764		35,106
Astec Industries, Inc.		509		28,087
Barnes Group, Inc.		873		52,284
Chart Industries, Inc. *		674		39,786
Columbus McKinnon Corp.		620		22,221
Douglas Dynamics, Inc.		969		42,006
EnPro Industries, Inc.		521		40,315
Federal Signal Corp.		2,000		44,040
Global Brass & Copper Holdings, Inc.		3,107		103,929
Greenbrier Cos., Inc. (The) (a)		726		36,481
Harsco Corp. *		4,007		82,744
Hyster-Yale Materials Handling, Inc.		348		24,336
John Bean Technologies Corp.		1,580		179,172
Kadant, Inc.		620		58,590
Kennametal, Inc.		3,066		123,130
Lydall, Inc. *		1,067		51,483
Manitowoc Co., Inc. (The) *		2,349		66,852
Meritor, Inc. *		4,408		90,628
Mueller Water Products, Inc., Class A		5,126		55,720
Navistar International Corp. *		5,012		175,270
NN, Inc.		927		22,248
Proto Labs, Inc. *		732		86,047
RBC Bearings, Inc. *		504		62,597

INVESTMENTS	SHARES		VALUE
Machinery - 3.7% (continued)
Spartan Motors, Inc.		7,354	$	126,489
SPX Corp. *		4,606		149,603
Standex International Corp.		358		34,135
Sun Hydraulics Corp.		453		24,263
Tennant Co.		497		33,647
Titan International, Inc.		7,037		88,736
Wabash National Corp.		1,518		31,590
Watts Water Technologies, Inc., Class A		425		33,022
Woodward, Inc.		689		49,374
				2,157,669
Marine - 0.1%
Safe Bulkers, Inc. (Greece) *		7,778		24,656
Scorpio Bulkers, Inc.		4,339		30,590
				55,246
Media - 0.7%
Central European Media Enterprises Ltd., Class A *(a)		5,880		24,696
Gray Television, Inc. *		2,135		27,115
Liberty Media Corp.-Liberty Braves, Class C *		1,059		24,166
New York Times Co. (The), Class A		5,534		133,370
Nexstar Media Group, Inc., Class A		356		23,674
Sinclair Broadcast Group, Inc., Class A		1,581		49,485
World Wrestling Entertainment, Inc., Class A		3,139		113,035
				395,541
Metals & Mining - 1.0%
AK Steel Holding Corp. *		5,205		23,579
Allegheny Technologies, Inc. *		4,304		101,919
Carpenter Technology Corp.		565		24,928
Century Aluminum Co. *		8,622		142,608
Cleveland-Cliffs, Inc. *		6,004		41,728
Kaiser Aluminum Corp.		680		68,612
Schnitzer Steel Industries, Inc., Class A		838		27,109
SunCoke Energy, Inc. *		3,986		42,889
TimkenSteel Corp. *		1,106		16,800
Worthington Industries, Inc.		1,849		79,359
				569,531
Multiline Retail - 0.5%
Big Lots, Inc.		713		31,037
Ollie’s Bargain Outlet Holdings, Inc. *		4,585		276,475
				307,512
Multi-Utilities - 0.0% (b)
Unitil Corp.		507		23,530
Oil, Gas & Consumable Fuels - 1.1%
Abraxas Petroleum Corp. *		19,535		43,368
Arch Coal, Inc., Class A		188		17,273
Callon Petroleum Co. *		3,228		42,739
CVR Energy, Inc.		1,972		59,594
Delek US Energy, Inc.		2,813		114,489
GasLog Ltd. (Monaco)		1,757		28,902
Golar LNG Ltd.		1,216		33,270
Green Plains, Inc.		1,031		17,321
Matador Resources Co. *		614		18,365
Pacific Ethanol, Inc. *		900		2,700

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

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85

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Oil, Gas & Consumable Fuels - 1.1% (continued)
Par Pacific Holdings, Inc. *		1,283	$	22,029
Resolute Energy Corp. *(a)		2,489		86,244
REX American Resources Corp. *		300		21,840
Ring Energy, Inc. *		5,063		72,654
Uranium Energy Corp. *(a)		20,939		27,430
W&T Offshore, Inc. *		6,766		29,973
WildHorse Resource Development Corp. *		1,657		31,632
				669,823
Paper & Forest Products - 0.2%
Louisiana-Pacific Corp.		4,194		120,661
Verso Corp., Class A *		1,006		16,941
				137,602
Personal Products - 0.2%
Medifast, Inc.		396		37,006
USANA Health Sciences, Inc. *		600		51,540
				88,546
Pharmaceuticals - 4.1%
Aerie Pharmaceuticals, Inc. *		2,642		143,328
Amphastar Pharmaceuticals, Inc. *		1,336		25,050
ANI Pharmaceuticals, Inc. *		400		23,288
Assembly Biosciences, Inc. *		2,620		128,747
Catalent, Inc. *		4,543		186,536
Collegium Pharmaceutical, Inc. *		657		16,786
Corcept Therapeutics, Inc. *(a)		8,060		132,587
Intersect ENT, Inc. *		2,992		117,586
MyoKardia, Inc. *		2,498		121,902
Nektar Therapeutics *		9,807		1,042,092
Omeros Corp. *(a)		2,323		25,948
Paratek Pharmaceuticals, Inc. *		1,631		21,203
Phibro Animal Health Corp., Class A		2,245		89,127
Prestige Brands Holdings, Inc. *		632		21,311
Reata Pharmaceuticals, Inc., Class A *		1,337		27,422
Revance Therapeutics, Inc. *		805		24,794
Supernus Pharmaceuticals, Inc. *		2,833		129,751
TherapeuticsMD, Inc. *(a)		3,563		17,352
Zogenix, Inc. *		3,119		124,916
				2,419,726
Professional Services - 0.9%
Exponent, Inc.		576		45,303
Insperity, Inc.		1,293		89,928
Korn/Ferry International		2,043		105,398
On Assignment, Inc. *		1,194		97,765
TriNet Group, Inc. *		1,819		84,256
WageWorks, Inc. *		382		17,266
Willdan Group, Inc. *		2,362		66,963
				506,879
Real Estate Management & Development - 0.5%
HFF, Inc., Class A		1,572		78,128
RE/MAX Holdings, Inc., Class A		1,570		94,907
RMR Group, Inc. (The), Class A		1,492		104,365
				277,400
Road & Rail - 0.7%
ArcBest Corp.		1,360		43,588

INVESTMENTS	SHARES		VALUE
Road & Rail - 0.7% (continued)
Covenant Transportation Group, Inc., Class A *		1,000	$	29,830
Heartland Express, Inc.		1,825		32,832
Knight-Swift Transportation Holdings, Inc.		2,371		109,090
Marten Transport Ltd.		1,333		30,392
Saia, Inc. *		1,426		107,164
Werner Enterprises, Inc.		1,306		47,669
				400,565
Semiconductors & Semiconductor Equipment - 3.8%
Advanced Energy Industries, Inc. *		1,906		121,794
Alpha & Omega Semiconductor Ltd. *		1,934		29,880
Amkor Technology, Inc. *		8,773		88,871
Axcelis Technologies, Inc. *		3,743		92,078
AXT, Inc. *		3,076		22,301
Brooks Automation, Inc.		3,804		103,012
Cabot Microelectronics Corp.		651		69,729
CEVA, Inc. *		1,099		39,784
Cirrus Logic, Inc. *		1,354		55,013
Cohu, Inc.		1,054		24,042
Cree, Inc. *		1,557		62,763
Diodes, Inc. *		1,023		31,161
Entegris, Inc.		5,309		184,753
FormFactor, Inc. *		2,760		37,674
Ichor Holdings Ltd. *		997		24,137
Inphi Corp. *(a)		903		27,180
Integrated Device Technology, Inc. *		2,712		82,879
MACOM Technology Solutions Holdings, Inc. *(a)		763		12,666
MaxLinear, Inc. *		4,586		104,332
MKS Instruments, Inc.		2,742		317,112
Monolithic Power Systems, Inc.		2,657		307,601
Nanometrics, Inc. *		818		22,004
Pixelworks, Inc. *		3,913		15,143
Power Integrations, Inc.		424		28,980
Rambus, Inc. *		3,205		43,043
Rudolph Technologies, Inc. *		786		21,772
Semtech Corp. *		919		35,887
Silicon Laboratories, Inc. *		696		62,570
Ultra Clean Holdings, Inc. *		5,461		105,124
Xperi Corp.		1,076		22,757
				2,196,042
Software - 5.6%
8x8, Inc. *		4,163		77,640
ACI Worldwide, Inc. *		1,294		30,694
Aspen Technology, Inc. *		2,070		163,302
Blackbaud, Inc.		2,042		207,896
Bottomline Technologies de, Inc. *		1,105		42,819
CommVault Systems, Inc. *		357		20,420
Ebix, Inc. (a)		1,032		76,884
Ellie Mae, Inc. *		1,417		130,279
Everbridge, Inc. *		850		31,110
Fair Isaac Corp. *		951		161,071
Glu Mobile, Inc. *		4,572		17,236
HubSpot, Inc. *		1,930		209,019
MicroStrategy, Inc., Class A *		200		25,798
Paycom Software, Inc. *(a)		4,026		432,352
Paylocity Holding Corp. *		1,588		81,353

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

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86

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Software - 5.6% (continued)
Pegasystems, Inc.		3,235	$	196,203
Progress Software Corp.		661		25,415
Proofpoint, Inc. *		1,840		209,116
PROS Holdings, Inc. *		1,046		34,528
Qualys, Inc. *		1,910		138,953
Rapid7, Inc. *		1,148		29,354
RealPage, Inc. *		3,354		172,731
RingCentral, Inc., Class A *		4,837		307,150
Upland Software, Inc. *		2,969		85,478
Varonis Systems, Inc. *		1,888		114,224
Verint Systems, Inc. *		900		38,340
VirnetX Holding Corp. *		80		316
Zendesk, Inc. *		4,147		198,517
				3,258,198
Specialty Retail - 2.2%
Aaron’s, Inc.		2,562		119,389
Abercrombie & Fitch Co., Class A		3,979		96,331
American Eagle Outfitters, Inc.		1,501		29,915
At Home Group, Inc. *		1,240		39,730
Boot Barn Holdings, Inc. *		961		17,038
Caleres, Inc.		931		31,282
Camping World Holdings, Inc., Class A		1,328		42,828
Children’s Place, Inc. (The)		1,228		166,087
Conn’s, Inc. *		3,131		106,454
Five Below, Inc. *		2,585		189,584
Guess?, Inc.		1,876		38,908
Lithia Motors, Inc., Class A		466		46,842
Lumber Liquidators Holdings, Inc. *(a)		2,190		52,385
Party City Holdco, Inc. *		1,551		24,196
Restoration Hardware Holdings, Inc. *		1,645		156,736
Sleep Number Corp. *		1,551		54,518
Tilly’s, Inc., Class A		5,051		57,076
				1,269,299
Technology Hardware, Storage & Peripherals - 0.3%
Pure Storage, Inc., Class A *		7,792		155,450
Super Micro Computer, Inc. *		1,027		17,459
				172,909
Textiles, Apparel & Luxury Goods - 0.9%
Columbia Sportswear Co.		1,835		140,249
Crocs, Inc. *		3,060		49,725
Deckers Outdoor Corp. *		1,801		162,144
G-III Apparel Group Ltd. *		1,241		46,761
Oxford Industries, Inc.		216		16,105
Steven Madden Ltd.		947		41,573
Wolverine World Wide, Inc.		1,930		55,777
				512,334
Thrifts & Mortgage Finance - 2.8%
Beneficial Bancorp, Inc.		1,856		28,861
BofI Holding, Inc. *		3,235		131,115
Essent Group Ltd. *		5,465		232,590
Federal Agricultural Mortgage Corp., Class C		656		57,085
First Defiance Financial Corp.		725		41,557
HomeStreet, Inc. *		1,444		41,371
Kearny Financial Corp.		3,143		40,859

INVESTMENTS	SHARES		VALUE
Thrifts & Mortgage Finance - 2.8% (continued)
LendingTree, Inc. *		1,085	$	356,043
Meridian Bancorp, Inc.		1,087		21,903
Meta Financial Group, Inc.		1,311		143,161
MGIC Investment Corp. *		14,523		188,799
NMI Holdings, Inc., Class A *		957		15,838
Northwest Bancshares, Inc.		6,149		101,827
Radian Group, Inc.		3,971		75,608
Walker & Dunlop, Inc.		2,009		119,375
Washington Federal, Inc.		788		27,265
Waterstone Financial, Inc.		2,000		34,600
				1,657,857
Tobacco - 0.1%
Vector Group Ltd.		1,580		32,216
Trading Companies & Distributors - 1.2%
Aircastle Ltd.		1,474		29,273
Beacon Roofing Supply, Inc. *		1,573		83,479
CAI International, Inc. *		2,868		60,974
DXP Enterprises, Inc. *		1,558		60,684
H&E Equipment Services, Inc.		1,734		66,742
Herc Holdings, Inc. *		253		16,432
MRC Global, Inc. *		3,293		54,137
Rush Enterprises, Inc., Class A *		1,877		79,754
SiteOne Landscape Supply, Inc. *		2,120		163,325
Textainer Group Holdings Ltd. *		1,660		28,137
Triton International Ltd.		2,900		88,740
				731,677
Water Utilities - 0.3%
American States Water Co.		1,106		58,684
Cadiz, Inc. *(a)		2,241		30,253
California Water Service Group		597		22,238
Connecticut Water Service, Inc.		635		38,437
Middlesex Water Co.		1,085		39,820
				189,432
Wireless Telecommunication Services - 0.3%
Boingo Wireless, Inc. *		3,806		94,275
Shenandoah Telecommunications Co.		2,014		72,504
				166,779
TOTAL COMMON STOCKS (Cost $43,262,226)				56,305,444
EXCHANGE TRADED FUNDS - 2.4%
iShares Russell 2000 ETF (Cost $1,150,286)		9,183		1,394,255
SHORT-TERM INVESTMENTS - 1.4%
Investment Companies - 1.4%
Limited Purpose Cash Investment Fund, 1.53% (2)(c)
(Cost $856,083)		856,374		856,203

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

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87

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM SMALL CAP MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 5.1%
Investment Companies - 5.1%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55%(2)(c)(d)		349,300	$	349,300
Limited Purpose Cash Investment Fund 1.53% (2)(c)(d)		2,610,730		2,610,730
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,960,030)				2,960,030
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 105.1% (Cost $48,228,625)				61,515,932
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.1)%			(2,970,026)
NET ASSETS - 100.0%			$	58,545,906

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	8,111,952			13.9	%
Consumer Staples		1,375,124			2.4
Energy		896,779			1.5
Exchange Traded Funds		1,394,255			2.4
Financials		6,828,717			11.7
Health Care		14,290,091			24.4
Industrials		7,051,745			12.0
Information Technology		12,378,043			21.1
Materials		2,198,281			3.8
Real Estate		1,635,477			2.8
Telecommunication Services		375,165			0.6
Utilities		1,164,070			2.0
Short-Term Investments		856,203			1.4
Securities Lending Collateral		2,960,030			5.1
Total Investments In Securities At Value		61,515,932			105.1
Liabilities in Excess of Other Assets		(2,970,026	)		(5.1	)
Net Assets	$	58,545,906			100.0	%

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

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $2,907,057.

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

(c) Represents 7-day effective yield as of March 31, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

(2) Level 2 security (See Note 4).

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

AQR Funds Semi-Annual Report March 2018

88

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 95.9%
Australia - 3.1%
AGL Energy Ltd.		14,330	$	240,180
Amcor Ltd.		28,362		310,574
Aristocrat Leisure Ltd.		13,776		257,205
Caltex Australia Ltd.		1,373		33,352
CIMIC Group Ltd.		1,392		47,909
Cochlear Ltd.		668		93,819
Computershare Ltd.		2,628		35,243
CSL Ltd.		7,409		892,625
Dexus, REIT		12,369		89,066
Fortescue Metals Group Ltd.		16,697		56,247
Goodman Group, REIT		9,510		61,835
Insurance Australia Group Ltd.		23,996		138,935
Medibank Pvt Ltd.		36,704		82,383
Origin Energy Ltd. *		9,671		65,266
Ramsay Health Care Ltd.		4,824		232,411
REA Group Ltd.		962		59,064
South32 Ltd.		136,113		342,076
Treasury Wine Estates Ltd.		54,769		715,570
				3,753,760
Austria - 0.7%
ANDRITZ AG		2,003		112,004
OMV AG		6,031		351,770
Raiffeisen Bank International AG *		8,448		329,046
				792,820
Belgium - 0.9%
Ageas		9,048		466,918
KBC Group NV		4,528		394,293
Umicore SA		5,042		267,101
				1,128,312
Canada - 4.5%
Alimentation Couche-Tard, Inc., Class B (1)		2,207		98,791
Bank of Nova Scotia (The) (1)		1,651		101,699
BlackBerry Ltd. (1)*		8,200		94,262
Bombardier, Inc., Class B (1)*		35,987		104,747
Brookfield Asset Management, Inc., Class A (1)		5,542		216,028
Canadian National Railway Co. (1)		1,203		87,922
Canadian Pacific Railway Ltd. (1)		473		83,413
Canadian Tire Corp. Ltd., Class A (1)		1,127		148,185
CCL Industries, Inc., Class B (1)(a)		5,712		288,360
CGI Group, Inc., Class A (1)*		1,089		62,803
Constellation Software, Inc. (1)		448		303,970
Dollarama, Inc. (1)		5,366		652,158
Finning International, Inc. (1)		2,256		54,406
Fortis, Inc. (1)		7,587		256,109
Franco-Nevada Corp. (1)		4,084		278,638
Gildan Activewear, Inc. (1)		2,257		65,186
International Petroleum Corp. *		3,493		14,596
Magna International, Inc. (1)		929		52,329
Manulife Financial Corp. (1)		8,697		161,472
Methanex Corp. (1)		1,187		71,910
National Bank of Canada (1)		4,206		197,968
Onex Corp. (1)		1,464		105,588
Open Text Corp. (1)		1,890		65,751
Restaurant Brands International, Inc. (1)		7,149		406,850

INVESTMENTS	SHARES		VALUE
Canada - 4.5% (continued)
Rogers Communications, Inc., Class B (1)		8,958	$	400,080
Royal Bank of Canada (1)		2,072		160,054
Shopify, Inc., Class A (1)*		5,232		651,061
Sun Life Financial, Inc. (1)		3,004		123,368
Teck Resources Ltd., Class B (1)		1,405		36,184
West Fraser Timber Co. Ltd. (1)		911		60,535
				5,404,423
Chile - 0.0% (b)
Antofagasta plc		3,557		45,988
China - 0.5%
BOC Hong Kong Holdings Ltd.		89,500		439,067
Minth Group Ltd.		14,000		64,233
Yangzijiang Shipbuilding Holdings Ltd.		111,200		103,570
				606,870
Denmark - 3.4%
Carlsberg A/S, Class B		874		104,351
Chr Hansen Holding A/S		1,773		153,448
Danske Bank A/S		2,517		94,308
DSV A/S		4,230		333,951
Genmab A/S *		1,353		291,497
H Lundbeck A/S		3,401		191,022
ISS A/S *		1,327		49,284
Novo Nordisk A/S, Class B		31,127		1,531,008
Novozymes A/S, Class B		691		35,974
Orsted A/S(c)		10,618		690,827
Pandora A/S		995		107,655
Tryg A/S		11,965		278,775
Vestas Wind Systems A/S		2,208		157,987
William Demant Holding A/S *		2,049		76,326
				4,096,413
Finland - 1.2%
Fortum OYJ		16,803		360,980
Kone OYJ, Class B		2,741		136,798
Metso OYJ		1,670		52,689
Neste OYJ		1,101		76,635
Nokian Renkaat OYJ		1,449		65,805
Sampo OYJ, Class A		3,563		198,504
Stora Enso OYJ, Class R		7,430		136,611
UPM-Kymmene OYJ *		6,976		258,627
Wartsila OYJ Abp		5,676		125,413
				1,412,062
France - 5.1%
Accor SA		917		49,541
Airbus SE		10,257		1,187,326
AXA SA		6,712		178,425
BNP Paribas SA		10,463		775,944
Capgemini SE		1,863		232,455
Credit Agricole SA		26,078		425,202
Dassault Systemes SE		2,145		291,706
Essilor International Cie Generale d’Optique SA		726		97,938
Hermes International		304		180,196
Iliad SA		513		106,204
L’Oreal SA		548		123,771

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

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89

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
France - 5.1% (continued)
LVMH Moet Hennessy Louis Vuitton SE		1,666	$	513,417
Orange SA		18,570		315,650
Peugeot SA		2,366		56,972
Renault SA		555		67,348
Safran SA		2,841		301,514
Sanofi		811		65,075
Societe Generale SA		5,264		285,890
TOTAL SA		10,152		581,909
Valeo SA		5,598		370,308
				6,206,791
Germany - 11.3%
1&1 Drillisch AG		1,015		68,484
adidas AG		4,540		1,104,570
Allianz SE (Registered)		9,598		2,169,698
Axel Springer SE		845		70,687
BASF SE		2,962		300,398
Bayer AG (Registered)		4,804		541,573
Beiersdorf AG		526		59,610
Brenntag AG		669		39,827
Commerzbank AG *		29,194		379,006
Continental AG		988		272,897
Covestro AG(c)		3,603		354,777
Deutsche Boerse AG		411		56,185
Deutsche Post AG (Registered)		12,399		543,068
Deutsche Wohnen SE		7,690		358,815
E.ON SE		67,552		750,644
Fraport AG Frankfurt Airport Services Worldwide		1,128		111,325
Fresenius Medical Care AG & Co. KGaA		459		46,879
Hannover Rueck SE		3,192		435,491
HeidelbergCement AG		864		84,881
HOCHTIEF AG		255		47,667
HUGO BOSS AG		915		79,712
Infineon Technologies AG		44,920		1,208,044
KION Group AG		804		75,062
LANXESS AG		1,584		121,423
MAN SE		419		48,859
Merck KGaA		1,318		126,459
MTU Aero Engines AG		328		55,280
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		264		61,391
OSRAM Licht AG		1,230		90,512
RWE AG *		13,533		334,512
SAP SE		12,021		1,261,988
Siemens AG (Registered)		6,738		859,751
Symrise AG		675		54,351
thyssenkrupp AG		4,865		127,035
United Internet AG (Registered)		2,114		133,205
Vonovia SE		8,125		402,917
Wirecard AG		5,088		603,140
Zalando SE *(c)		3,246		177,130
				13,617,253
Hong Kong - 4.1%
AIA Group Ltd.		175,200		1,497,728
ASM Pacific Technology Ltd.		7,400		104,254
CK Asset Holdings Ltd.		34,500		291,148
CK Hutchison Holdings Ltd.		7,000		84,107

INVESTMENTS	SHARES		VALUE
Hong Kong - 4.1% (continued)
CLP Holdings Ltd.		26,000	$	265,096
Galaxy Entertainment Group Ltd.		50,000		458,934
Hang Seng Bank Ltd.		2,400		55,763
Henderson Land Development Co. Ltd.		19,965		130,912
Hong Kong Exchanges & Clearing Ltd.		13,800		454,531
Kingston Financial Group Ltd. (a)		130,000		58,478
Link REIT		30,500		261,438
MTR Corp. Ltd.		19,500		105,264
New World Development Co. Ltd.		39,000		55,585
PCCW Ltd.		75,000		43,528
Power Assets Holdings Ltd.		7,000		62,534
Shangri-La Asia Ltd.		32,000		64,975
SJM Holdings Ltd.		47,000		41,176
Sun Hung Kai Properties Ltd.		13,000		206,349
Techtronic Industries Co. Ltd.		27,500		161,400
WH Group Ltd. (c)		251,500		269,479
Wharf Holdings Ltd. (The)		16,000		55,397
Wharf Real Estate Investment Co. Ltd. *		16,000		104,582
Wheelock & Co. Ltd.		9,000		66,015
				4,898,673
Italy - 2.7%
Assicurazioni Generali SpA		6,913		132,883
Atlantia SpA		3,173		98,320
Enel SpA		102,597		627,813
Eni SpA		4,991		87,918
Ferrari NV		3,660		439,975
Intesa Sanpaolo SpA		211,415		769,763
Leonardo SpA		9,430		109,059
Mediobanca Banca di Credito Finanziario SpA		16,297		191,594
Prysmian SpA		2,292		71,974
Recordati SpA		1,120		41,323
Terna Rete Elettrica Nazionale SpA		23,336		136,373
UniCredit SpA *		25,974		542,886
				3,249,881
Japan - 31.6%
Aisin Seiki Co. Ltd. (1)		1,800		97,777
Alfresa Holdings Corp. (1)		1,900		42,284
Alps Electric Co. Ltd. (1)		4,900		120,100
ANA Holdings, Inc. (1)		9,000		348,311
Asahi Glass Co. Ltd. (1)		3,300		136,615
Asahi Group Holdings Ltd. (1)		9,400		500,632
Asahi Kasei Corp. (1)		24,200		318,179
Bank of Kyoto Ltd. (The) (1)		1,000		55,824
Benesse Holdings, Inc. (1)		2,100		76,082
Bridgestone Corp. (1)		7,900		343,307
Brother Industries Ltd. (1)		9,000		209,173
Canon, Inc. (1)		15,200		550,403
Chiba Bank Ltd. (The) (1)		15,000		120,530
Chugai Pharmaceutical Co. Ltd. (1)		7,600		384,268
Coca-Cola Bottlers Japan Holdings, Inc. (1)		2,200		90,870
Daicel Corp. (1)		3,400		37,130
Daifuku Co. Ltd. (1)		5,000		299,328
Dai-ichi Life Holdings, Inc. (1)		10,500		191,685
Daiichi Sankyo Co. Ltd. (1)		3,800		125,923
Daikin Industries Ltd. (1)		3,100		341,887
Daito Trust Construction Co. Ltd. (1)		900		155,547

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

AQR Funds Semi-Annual Report March 2018

90

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 31.6% (continued)
Daiwa House Industry Co. Ltd. (1)		8,900	$	342,935
Denso Corp. (1)		4,800		262,544
Disco Corp. (1)		1,200		258,822
Don Quijote Holdings Co. Ltd. (1)		700		40,195
FamilyMart UNY Holdings Co. Ltd. (1)		800		67,365
FANUC Corp. (1)		3,000		760,115
Fast Retailing Co. Ltd. (1)		300		121,912
Fuji Electric Co. Ltd. (1)		6,000		40,825
FUJIFILM Holdings Corp. (1)		2,000		79,789
Fujitsu Ltd. (1)		20,000		123,077
Fukuoka Financial Group, Inc. (1)		12,000		64,621
Hikari Tsushin, Inc. (1)		400		63,944
Hitachi Construction Machinery Co. Ltd. (1)		5,300		204,469
Hitachi Ltd. (1)		76,999		557,790
Hoshizaki Corp. (1)		1,200		105,333
Hoya Corp. (1)		6,900		344,011
Idemitsu Kosan Co. Ltd. (1)		10,100		383,953
IHI Corp. (1)		1,200		37,273
Iida Group Holdings Co. Ltd. (1)		2,400		44,840
Inpex Corp. (1)		3,100		38,340
ITOCHU Corp. (1)		20,400		396,190
Japan Airlines Co. Ltd. (1)		2,300		92,558
JFE Holdings, Inc. (1)		5,900		118,854
JXTG Holdings, Inc. (1)		40,700		246,216
Kajima Corp. (1)		21,000		194,793
Kaneka Corp. (1)		4,000		39,660
Kansai Electric Power Co., Inc. (The) (1)		17,900		229,964
Kao Corp. (1)		8,200		615,048
Keihan Holdings Co. Ltd. (1)		2,600		80,147
Keisei Electric Railway Co. Ltd. (1)		1,900		58,390
Keyence Corp. (1)		2,100		1,303,361
Kikkoman Corp. (1)		2,300		92,514
Kirin Holdings Co. Ltd. (1)		18,600		495,132
Koito Manufacturing Co. Ltd. (1)		5,000		346,788
Komatsu Ltd. (1)		16,100		536,692
Konami Holdings Corp. (1)		3,000		157,605
Kose Corp. (1)		1,800		376,730
Kuraray Co. Ltd. (1)		2,400		40,780
Kyocera Corp. (1)		3,500		197,491
Kyowa Hakko Kirin Co. Ltd. (1)		2,300		50,515
Lion Corp. (1)		4,900		98,686
M3, Inc. (1)		5,800		260,552
Mabuchi Motor Co. Ltd. (1)		900		44,321
Marubeni Corp. (1)		8,300		60,055
Marui Group Co. Ltd. (1)		3,700		75,387
McDonald’s Holdings Co. Japan Ltd. (1)		3,000		140,407
Mebuki Financial Group, Inc. (1)		10,100		38,822
MEIJI Holdings Co. Ltd. (1)		1,100		83,737
MINEBEA MITSUMI, Inc. (1)		18,800		401,425
MISUMI Group, Inc. (1)		8,400		230,594
Mitsubishi Chemical Holdings Corp. (1)		29,200		282,793
Mitsubishi Corp. (1)		10,200		274,352
Mitsubishi Electric Corp. (1)		16,200		259,051
Mitsubishi Gas Chemical Co., Inc. (1)		10,600		253,930
Mitsubishi Motors Corp. (1)		20,000		143,038
Mitsubishi Tanabe Pharma Corp. (1)		4,300		84,056
Mitsubishi UFJ Financial Group, Inc. (1)		54,700		358,309
Mitsui & Co. Ltd. (1)		2,800		47,958
Mitsui Chemicals, Inc. (1)		2,000		63,061

INVESTMENTS	SHARES		VALUE
Japan - 31.6% (continued)
Mitsui OSK Lines Ltd. (1)		1,300	$	37,385
Mixi, Inc. (1)		1,600		59,095
Nabtesco Corp. (1)		1,500		57,869
Nexon Co. Ltd. (1)*		19,000		314,271
Nidec Corp. (1)		5,700		877,994
Nintendo Co. Ltd. (1)		2,800		1,233,101
Nippon Electric Glass Co. Ltd. (1)		2,500		74,245
Nippon Express Co. Ltd. (1)		1,000		66,914
Nippon Paint Holdings Co. Ltd. (1)		2,900		106,428
Nippon Telegraph & Telephone Corp. (1)		3,000		138,151
Nisshin Seifun Group, Inc. (1)		5,000		99,102
Nissin Foods Holdings Co. Ltd. (1)		900		62,422
Nitori Holdings Co. Ltd. (1)		2,700		477,172
Nitto Denko Corp. (1)		2,200		164,951
Nomura Research Institute Ltd. (1)		3,150		149,204
NSK Ltd. (1)		17,000		227,828
NTT Data Corp. (1)		12,500		132,982
Obayashi Corp. (1)		15,000		164,090
Obic Co. Ltd. (1)		2,600		216,249
Omron Corp. (1)		4,100		241,210
Oracle Corp. Japan (1)		1,300		105,681
Oriental Land Co. Ltd. (1)		5,400		551,393
Otsuka Corp. (1)		4,600		231,718
Otsuka Holdings Co. Ltd. (1)		5,500		275,452
Panasonic Corp. (1)		33,900		484,582
Park24 Co. Ltd. (1)		2,900		77,729
Persol Holdings Co. Ltd. (1)		5,300		154,161
Pola Orbis Holdings, Inc. (1)(a)		5,200		213,073
Recruit Holdings Co. Ltd. (1)		29,800		740,624
Renesas Electronics Corp. (1)*		14,900		149,833
Resona Holdings, Inc. (1)		7,700		40,669
Rinnai Corp. (1)		500		47,460
Rohm Co. Ltd. (1)		3,300		314,168
Ryohin Keikaku Co. Ltd. (1)		900		301,959
Santen Pharmaceutical Co. Ltd. (1)		2,200		35,459
Secom Co. Ltd. (1)		700		52,103
Seiko Epson Corp. (1)		2,200		39,098
Sharp Corp. (1) *(a)		8,700		260,007
Shimadzu Corp. (1)		5,000		140,595
Shimano, Inc. (1)		1,100		158,583
Shimizu Corp. (1)		12,000		107,251
Shin-Etsu Chemical Co. Ltd. (1)		6,500		672,266
Shionogi & Co. Ltd. (1)		4,300		221,900
Shiseido Co. Ltd. (1)		12,000		768,347
SMC Corp. (1)		1,200		485,729
SoftBank Group Corp. (1)		10,500		784,503
Sohgo Security Services Co. Ltd. (1)		2,000		98,868
Sony Corp. (1)		24,700		1,194,551
Sony Financial Holdings, Inc. (1)		2,900		52,764
Stanley Electric Co. Ltd. (1)		1,500		55,402
Start Today Co. Ltd. (1)		11,000		293,802
SUMCO Corp. (1)		7,200		188,788
Sumitomo Chemical Co. Ltd. (1)		17,000		99,056
Sumitomo Corp. (1)		8,900		149,804
Sumitomo Heavy Industries Ltd. (1)		4,800		182,022
Sumitomo Metal Mining Co. Ltd. (1)		3,900		164,203
Sumitomo Realty & Development Co. Ltd. (1)		1,000		36,981
Sundrug Co. Ltd. (1)		800		36,953

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 31.6% (continued)
Suruga Bank Ltd. (1)		3,000	$	41,417
Suzuki Motor Corp. (1)		9,300		500,813
Sysmex Corp. (1)		2,500		226,493
T&D Holdings, Inc. (1)		14,000		222,161
Taiheiyo Cement Corp. (1)		1,200		43,588
Taisei Corp. (1)		4,100		208,073
Takeda Pharmaceutical Co. Ltd. (1)		13,500		657,587
Terumo Corp. (1)		5,600		294,197
THK Co. Ltd. (1)		4,600		190,217
Tokyo Electron Ltd. (1)		3,800		714,788
Toray Industries, Inc. (1)		5,000		47,296
Tosoh Corp. (1)		13,000		255,101
TOTO Ltd. (1)		3,500		184,531
Toyota Motor Corp. (1)		7,000		448,992
Toyota Tsusho Corp. (1)		3,100		105,028
Trend Micro, Inc. (1)		3,700		220,807
Tsuruha Holdings, Inc. (1)		700		99,798
USS Co. Ltd. (1)		4,900		99,009
West Japan Railway Co. (1)		1,000		69,837
Yakult Honsha Co. Ltd. (1)		3,700		273,662
Yamaha Corp. (1)		6,000		263,615
Yamaha Motor Co. Ltd. (1)		6,900		206,212
Yamato Holdings Co. Ltd. (1)		2,100		52,665
Yaskawa Electric Corp. (1)		10,200		462,525
Yokogawa Electric Corp. (1)		2,900		59,905
				38,174,487
Luxembourg - 0.3%
ArcelorMittal		12,141		385,626
Macau - 0.4%
MGM China Holdings Ltd.		16,000		41,614
Sands China Ltd.		45,200		245,632
Wynn Macau Ltd.		40,000		146,609
				433,855
Netherlands - 3.9%
ABN AMRO Group NV, CVA (c)		5,909		178,176
ASML Holding NV		8,129		1,611,929
EXOR NV		2,559		182,160
Heineken NV		631		67,867
ING Groep NV		34,669		585,047
Koninklijke DSM NV		1,536		152,674
Koninklijke Philips NV		17,312		662,911
NN Group NV		3,452		153,372
Randstad Holding NV		1,696		111,699
Royal Dutch Shell plc, Class B		22,851		735,309
Wolters Kluwer NV		5,281		280,869
				4,722,013
Norway - 0.5%
DNB ASA		9,293		183,046
Norsk Hydro ASA		41,750		247,649
Statoil ASA		3,972		94,009
Telenor ASA		2,576		58,581
				583,285
Singapore - 1.7%
CapitaLand Commercial Trust, REIT		39,000		54,670

INVESTMENTS	SHARES		VALUE
Singapore - 1.7% (continued)
City Developments Ltd.		7,800	$	77,721
DBS Group Holdings Ltd.		39,000		823,772
Genting Singapore plc		103,500		85,845
Keppel Corp. Ltd.		9,800		58,596
Oversea-Chinese Banking Corp. Ltd.		40,200		396,010
Singapore Telecommunications Ltd.		54,500		140,757
United Overseas Bank Ltd.		16,300		342,988
UOL Group Ltd.		9,700		63,600
				2,043,959
Spain - 1.8%
Aena SME SA (c)		716		144,377
Amadeus IT Group SA		6,785		502,110
Banco Santander SA		73,377		480,280
CaixaBank SA		42,584		203,026
Ferrovial SA		8,844		184,908
Grifols SA		5,611		159,077
Iberdrola SA		33,195		244,096
Industria de Diseno Textil SA		6,205		195,077
				2,112,951
Sweden - 2.8%
Assa Abloy AB, Class B		10,741		232,816
Atlas Copco AB, Class A		16,607		721,272
Boliden AB		13,259		466,563
Electrolux AB, Series B		2,915		92,054
Hexagon AB, Class B		1,945		116,095
Industrivarden AB, Class C		1,896		44,219
Investor AB, Class B		1,841		81,784
Kinnevik AB, Class B		2,239		80,891
Lundin Petroleum AB *		2,022		51,082
Sandvik AB		35,619		652,584
Swedish Match AB		1,424		64,532
Tele2 AB, Class B		7,236		87,138
Volvo AB, Class B		34,164		625,351
				3,316,381
Switzerland - 6.0%
ABB Ltd. (Registered)		24,026		571,295
Baloise Holding AG (Registered)		623		95,309
Barry Callebaut AG (Registered)		80		156,461
Cie Financiere Richemont SA (Registered)		9,450		849,195
Coca-Cola HBC AG *		2,201		81,452
Credit Suisse Group AG (Registered) *		5,698		95,698
EMS-Chemie Holding AG (Registered)		460		291,002
Geberit AG (Registered)		528		233,493
Givaudan SA (Registered)		118		269,198
Glencore plc *		131,000		650,969
Julius Baer Group Ltd. *		1,875		115,390
Kuehne + Nagel International AG (Registered)		582		91,668
LafargeHolcim Ltd. (Registered) *		1,853		101,535
Lonza Group AG (Registered) *		2,812		663,180
Partners Group Holding AG		1,400		1,041,774
Schindler Holding AG		335		72,282
Sika AG		54		423,584
Sonova Holding AG (Registered)		662		105,247
STMicroelectronics NV		13,589		302,406
Straumann Holding AG (Registered)		882		556,492

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

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92

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

INVESTMENTS	SHARES		VALUE
Switzerland - 6.0% (continued)
Swatch Group AG (The)		520	$	229,448
Swisscom AG (Registered)		108		53,579
Zurich Insurance Group AG *		492		162,292
				7,212,949
United Kingdom - 9.3%
3i Group plc		5,219		62,993
Admiral Group plc		1,746		45,191
Anglo American plc		20,439		476,120
Ashtead Group plc		4,765		129,926
Associated British Foods plc		1,417		49,540
AstraZeneca plc		3,436		236,195
Auto Trader Group plc (c)		29,518		145,093
BAE Systems plc		37,113		303,647
Barratt Developments plc		7,602		56,569
British American Tobacco plc		28,247		1,632,872
Bunzl plc		6,811		200,287
CNH Industrial NV		14,972		185,010
Compass Group plc		27,316		557,764
Diageo plc		1,887		63,818
Direct Line Insurance Group plc		42,210		226,014
Experian plc		5,258		113,713
Fiat Chrysler Automobiles NV *		35,383		721,682
HSBC Holdings plc		147,837		1,388,295
International Consolidated Airlines Group SA		47,226		408,876
Intertek Group plc		3,758		245,992
Legal & General Group plc		45,149		163,586
Persimmon plc		12,600		447,202
Prudential plc		20,491		512,043
Reckitt Benckiser Group plc		5,607		473,274
RELX NV		16,294		337,757
Rio Tinto plc		2,167		109,962
Sage Group plc (The)		32,325		290,454
Smith & Nephew plc		3,009		56,289
Standard Chartered plc		21,181		212,284
Taylor Wimpey plc		76,759		198,859
Unilever NV, CVA		10,013		565,188
Vodafone Group plc		183,657		502,491
Whitbread plc		1,309		67,946
				11,186,932
United States - 0.1%
QIAGEN NV *		1,704		55,088
Valeant Pharmaceuticals International, Inc. (1)*		3,574		56,896
				111,984
Zambia - 0.0% (b)
First Quantum Minerals Ltd. (1)		2,331		32,730
TOTAL COMMON STOCKS (Cost $95,838,935)				115,530,398
SHORT-TERM INVESTMENTS - 3.4%
Investment Companies - 3.4%
Limited Purpose Cash Investment Fund, 1.53% (d)
(Cost $4,119,043)		4,120,285		4,119,461

INVESTMENTS	SHARES		VALUE
SECURITIES LENDING COLLATERAL - 0.3%
Investment Companies - 0.3%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (d)(e)		47,628	$	47,628
Limited Purpose Cash Investment Fund, 1.53% (d)(e)		355,978		355,978
TOTAL SECURITIES LENDING COLLATERAL (Cost $403,606)				403,606
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.6% (Cost $100,361,584)				120,053,465
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% (f)			511,027
NET ASSETS - 100.0%			$	120,564,492

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	17,023,181		14.1	%
Consumer Staples		8,500,648		7.1
Energy		2,760,355		2.3
Financials		21,001,708		17.4
Health Care		9,782,026		8.1
Industrials		20,426,829		17.0
Information Technology		16,621,840		13.8
Materials		9,700,024		8.1
Real Estate		2,815,513		2.3
Telecommunication Services		2,699,147		2.2
Utilities		4,199,127		3.5
Short-Term Investments		4,119,461		3.4
Securities Lending Collateral		403,606		0.3
Total Investments In Securities At Value		120,053,465		99.6
Other Assets in Excess of Liabilities (f)		511,027		0.4
Net Assets	$	120,564,492		100.0	%

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $612,166.

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

(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

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

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93

Schedule of Investments March 31, 2018 (Unaudited)

AQR TM INTERNATIONAL MOMENTUM STYLE FUND

March 31, 2018 amounted to $1,959,859, which represents approximately 1.63% of net assets of the fund.

(d) Represents 7-day effective yield as of March 31, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $233,488 was received (See Note 3).

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

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

(1) Level 1 security (See Note 4).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index		37	6/2018	USD		$3,701,110		$(35,912	)
								$(35,912	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$239,258		$239,258

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 96.2%
Aerospace & Defense - 4.5%
Boeing Co. (The)		58,830	$	19,289,181
General Dynamics Corp.		29,520		6,520,968
Harris Corp.		7,261		1,171,054
Huntington Ingalls Industries, Inc.		1,805		465,257
Lockheed Martin Corp.		23,009		7,775,431
Northrop Grumman Corp.		32,334		11,288,446
Raytheon Co.		63,198		13,639,392
United Technologies Corp.		24,858		3,127,634
				63,277,363
Air Freight & Logistics - 0.9%
CH Robinson Worldwide, Inc.		25,824		2,419,967
Expeditors International of Washington, Inc.		71,959		4,555,005
FedEx Corp.		4,513		1,083,616
United Parcel Service, Inc., Class B		44,385		4,645,334
				12,703,922
Airlines - 0.4%
Southwest Airlines Co.		95,059		5,444,979
Banks - 4.6%
Bank of Hawaii Corp.		14,683		1,220,157
Bank of the Ozarks, Inc.		66,265		3,198,612
BB&T Corp.		37,331		1,942,705
BOK Financial Corp.		3,011		298,059
Commerce Bancshares, Inc.		34,850		2,087,863
Cullen/Frost Bankers, Inc.		3,053		323,832
East West Bancorp, Inc.		48,904		3,058,456
JPMorgan Chase & Co.		31,438		3,457,237
M&T Bank Corp.		49,427		9,112,362
PacWest Bancorp		17,505		867,023
People’s United Financial, Inc.		22,078		411,975
PNC Financial Services Group, Inc. (The)		43,562		6,588,317
SunTrust Banks, Inc.		15,300		1,041,012
SVB Financial Group *		19,443		4,666,514
TCF Financial Corp.		103,623		2,363,641
US Bancorp		266,016		13,433,808
Wells Fargo & Co.		192,781		10,103,652
				64,175,225
Beverages - 3.6%
Brown-Forman Corp., Class B		38,421		2,090,102
Coca-Cola Co. (The)		407,238		17,686,346
Constellation Brands, Inc., Class A		18,028		4,108,942
Monster Beverage Corp. *		105,012		6,007,737
PepsiCo, Inc.		185,807		20,280,834
				50,173,961
Biotechnology - 0.6%
Amgen, Inc.		3,046		519,282
Biogen, Inc. *		5,087		1,392,922
Exelixis, Inc. *		15,076		333,933
Regeneron Pharmaceuticals, Inc. *		932		320,944
Seattle Genetics, Inc. *		6,034		315,820
United Therapeutics Corp. *		15,031		1,688,883

INVESTMENTS	SHARES		VALUE
Biotechnology - 0.6% (continued)
Vertex Pharmaceuticals, Inc. *		21,926	$	3,573,499
				8,145,283
Capital Markets - 2.4%
BlackRock, Inc.		950		514,634
Cboe Global Markets, Inc.		97,617		11,138,100
CME Group, Inc.		69,816		11,292,040
FactSet Research Systems, Inc.		7,520		1,499,638
Franklin Resources, Inc.		32,502		1,127,169
Intercontinental Exchange, Inc.		21,430		1,554,103
MarketAxess Holdings, Inc.		2,529		549,906
SEI Investments Co.		24,014		1,798,889
T. Rowe Price Group, Inc.		33,432		3,609,653
				33,084,132
Chemicals - 2.0%
Air Products & Chemicals, Inc.		25,689		4,085,322
Ecolab, Inc.		47,935		6,570,450
International Flavors & Fragrances, Inc.		1,785		244,384
LyondellBasell Industries NV, Class A		8,706		920,050
NewMarket Corp.		3,487		1,400,658
PPG Industries, Inc.		33,793		3,771,299
Praxair, Inc.		7,705		1,111,832
Sherwin-Williams Co. (The)		24,950		9,783,394
				27,887,389
Commercial Services & Supplies - 2.2%
Cintas Corp.		13,680		2,333,534
Clean Harbors, Inc. *		12,491		609,686
Copart, Inc. *		25,335		1,290,312
Republic Services, Inc.		112,009		7,418,356
Rollins, Inc.		60,663		3,095,633
Waste Management, Inc.		191,562		16,114,195
				30,861,716
Communications Equipment - 1.5%
Arista Networks, Inc. *		17,410		4,444,773
Cisco Systems, Inc.		190,943		8,189,545
F5 Networks, Inc. *		54,899		7,938,945
Palo Alto Networks, Inc. *		975		176,982
				20,750,245
Construction & Engineering - 0.2%
Jacobs Engineering Group, Inc.		34,144		2,019,618
Quanta Services, Inc. *		33,663		1,156,324
				3,175,942
Consumer Finance - 0.2%
American Express Co.		19,451		1,814,389
Discover Financial Services		22,017		1,583,683
				3,398,072
Containers & Packaging - 0.0% (a)
Avery Dennison Corp.		2,810		298,562
Distributors - 0.2%
Genuine Parts Co.		12,315		1,106,379

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Distributors - 0.2% (continued)
Pool Corp.		10,717	$	1,567,040
				2,673,419
Diversified Consumer Services - 0.5%
H&R Block, Inc.		275,746		7,006,706
Diversified Telecommunication Services - 0.7%
AT&T, Inc.		66,311		2,363,987
Verizon Communications, Inc.		142,033		6,792,018
				9,156,005
Electric Utilities - 5.1%
Alliant Energy Corp.		9,681		395,566
American Electric Power Co., Inc.		196,764		13,496,043
Duke Energy Corp.		53,406		4,137,363
Eversource Energy		93,007		5,479,972
Exelon Corp.		40,444		1,577,720
NextEra Energy, Inc.		134,468		21,962,658
OGE Energy Corp.		78,748		2,580,572
PG&E Corp.		29,832		1,310,520
Pinnacle West Capital Corp.		80,629		6,434,194
Southern Co. (The)		89,692		4,005,645
Westar Energy, Inc.		27,583		1,450,590
Xcel Energy, Inc.		188,762		8,584,896
				71,415,739
Electrical Equipment - 0.2%
Emerson Electric Co.		8,792		600,493
Rockwell Automation, Inc.		10,199		1,776,666
				2,377,159
Electronic Equipment, Instruments & Components - 1.0%
Amphenol Corp., Class A		19,003		1,636,728
Cognex Corp.		60,778		3,159,848
Dolby Laboratories, Inc., Class A		26,488		1,683,577
FLIR Systems, Inc.		96,289		4,815,413
IPG Photonics Corp. *		3,924		915,783
National Instruments Corp.		34,094		1,724,134
				13,935,483
Food & Staples Retailing - 2.5%
Costco Wholesale Corp.		52,150		9,826,624
Sysco Corp.		133,155		7,983,974
Walgreens Boots Alliance, Inc.		8,655		566,643
Walmart, Inc.		186,345		16,579,115
				34,956,356
Food Products - 2.5%
Campbell Soup Co. (b)		107,858		4,671,330
Conagra Brands, Inc.		26,569		979,865
Flowers Foods, Inc.		75,641		1,653,512
General Mills, Inc.		81,358		3,665,992
Hershey Co. (The)		68,713		6,799,838
Hormel Foods Corp. (b)		124,159		4,261,137
Ingredion, Inc.		11,286		1,454,991
Kellogg Co.		22,182		1,442,052
Kraft Heinz Co. (The)		8,070		502,680
McCormick & Co., Inc. (Non-Voting)		67,964		7,230,690
Mondelez International, Inc., Class A		20,425		852,335

INVESTMENTS	SHARES		VALUE
Food Products - 2.5% (continued)
Tyson Foods, Inc., Class A		9,671	$	707,821
				34,222,243
Gas Utilities - 0.5%
Atmos Energy Corp.		38,913		3,278,031
UGI Corp.		85,584		3,801,641
				7,079,672
Health Care Equipment & Supplies - 4.1%
Abbott Laboratories		12,102		725,152
ABIOMED, Inc. *		26,384		7,677,480
Align Technology, Inc. *		23,506		5,903,062
Baxter International, Inc.		12,700		826,008
Becton Dickinson and Co.		9,537		2,066,668
Danaher Corp.		37,871		3,707,950
DexCom, Inc. *(b)		9,600		711,936
Edwards Lifesciences Corp. *		13,258		1,849,756
IDEXX Laboratories, Inc. *		9,666		1,849,976
Intuitive Surgical, Inc. *		26,799		11,063,431
Medtronic plc		41,707		3,345,736
ResMed, Inc.		33,673		3,315,780
Stryker Corp.		46,469		7,477,791
Varian Medical Systems, Inc. *		46,830		5,743,699
West Pharmaceutical Services, Inc.		9,245		816,241
				57,080,666
Health Care Providers & Services - 2.7%
AmerisourceBergen Corp.		14,583		1,257,200
Anthem, Inc.		41,375		9,090,088
Cigna Corp.		21,759		3,649,855
Henry Schein, Inc. *		10,434		701,269
Humana, Inc.		25,946		6,975,063
UnitedHealth Group, Inc.		77,901		16,670,814
				38,344,289
Health Care Technology - 0.0% (a)
Veeva Systems, Inc., Class A *		7,106		518,880
Hotels, Restaurants & Leisure - 3.0%
Carnival Corp.		28,160		1,846,733
Darden Restaurants, Inc.		49,546		4,223,796
Domino’s Pizza, Inc.		7,900		1,845,124
Las Vegas Sands Corp.		21,101		1,517,162
McDonald’s Corp.		83,404		13,042,718
Starbucks Corp.		218,643		12,657,243
Yum Brands, Inc.		74,360		6,330,267
				41,463,043
Household Durables - 0.2%
Garmin Ltd.		43,475		2,561,982
Tupperware Brands Corp.		7,624		368,849
				2,930,831
Household Products - 2.8%
Church & Dwight Co., Inc.		112,092		5,644,953
Clorox Co. (The)		45,137		6,008,186
Colgate-Palmolive Co.		135,276		9,696,584
Kimberly-Clark Corp.		25,641		2,823,843
Procter & Gamble Co. (The)		190,289		15,086,112
				39,259,678

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

AQR Funds Semi-Annual Report March 2018

96

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Industrial Conglomerates - 1.9%
3M Co.		74,782	$	16,416,145
Carlisle Cos., Inc.		1,820		190,026
Honeywell International, Inc.		69,039		9,976,826
				26,582,997
Insurance - 8.6%
Aflac, Inc.		37,396		1,636,449
Alleghany Corp.		4,487		2,756,992
Allstate Corp. (The)		174,606		16,552,649
American Financial Group, Inc.		31,469		3,531,451
Aon plc		51,497		7,226,574
Arch Capital Group Ltd. *		38,795		3,320,464
Arthur J Gallagher & Co.		2,692		185,021
Assurant, Inc.		10,450		955,235
Chubb Ltd.		92,997		12,719,200
Cincinnati Financial Corp.		3,010		223,523
CNA Financial Corp.		8,681		428,407
Erie Indemnity Co., Class A		3,081		362,449
Everest Re Group Ltd.		36,964		9,493,094
First American Financial Corp.		4,412		258,896
FNF Group		166,363		6,657,847
Markel Corp. *		3,208		3,754,162
Marsh & McLennan Cos., Inc.		94,411		7,797,405
Mercury General Corp.		9,147		419,573
ProAssurance Corp.		13,873		673,534
Progressive Corp. (The)		298,111		18,163,903
RenaissanceRe Holdings Ltd.		12,642		1,751,043
Travelers Cos., Inc. (The)		129,421		17,971,400
White Mountains Insurance Group Ltd.		249		204,807
Willis Towers Watson plc		2,742		417,305
WR Berkley Corp.		41,565		3,021,776
				120,483,159
Internet & Direct Marketing Retail - 1.9%
Amazon.com, Inc. *		10,950		15,848,373
Booking Holdings, Inc. *		3,147		6,546,987
Netflix, Inc. *		11,953		3,530,319
Wayfair, Inc., Class A *(b)		7,300		492,969
				26,418,648
Internet Software & Services - 2.5%
Alphabet, Inc., Class A *		16,072		16,668,914
CoStar Group, Inc. *		7,337		2,660,983
Facebook, Inc., Class A *		84,639		13,524,466
VeriSign, Inc. *(b)		16,832		1,995,602
				34,849,965
IT Services - 6.6%
Accenture plc, Class A		87,310		13,402,085
Amdocs Ltd.		43,899		2,928,941
Automatic Data Processing, Inc.		82,914		9,409,081
Black Knight, Inc. *		23,686		1,115,610
Cognizant Technology Solutions Corp., Class A		83,892		6,753,306
Fiserv, Inc. *		37,370		2,664,855
Gartner, Inc. *		10,705		1,259,122
International Business Machines Corp.		33,158		5,087,432

INVESTMENTS	SHARES		VALUE
IT Services - 6.6% (continued)
Jack Henry & Associates, Inc.		33,023	$	3,994,132
Mastercard, Inc., Class A		95,872		16,792,939
Paychex, Inc.		91,996		5,666,034
PayPal Holdings, Inc. *		6,700		508,329
Square, Inc., Class A *		51,928		2,554,858
Teradata Corp. *		37,394		1,483,420
Visa, Inc., Class A(b)		160,298		19,174,847
				92,794,991
Leisure Products - 0.1%
Hasbro, Inc.		13,332		1,123,888
Life Sciences Tools & Services - 1.0%
Illumina, Inc. *		13,810		3,264,960
Mettler-Toledo International, Inc. *		11,905		6,845,732
Thermo Fisher Scientific, Inc.		7,310		1,509,223
Waters Corp. *		9,483		1,883,798
				13,503,713
Machinery - 1.3%
Cummins, Inc.		13,584		2,201,831
Fortive Corp.		32,796		2,542,346
IDEX Corp.		11,150		1,588,986
Illinois Tool Works, Inc.		60,691		9,507,852
Toro Co. (The)		26,968		1,684,152
Xylem, Inc.		13,020		1,001,498
				18,526,665
Media - 1.2%
Cable One, Inc.		1,723		1,183,891
Comcast Corp., Class A		92,010		3,143,982
Live Nation Entertainment, Inc. *		39,275		1,655,048
Walt Disney Co. (The)		112,555		11,305,024
				17,287,945
Multi-Utilities - 4.0%
Ameren Corp.		166,466		9,426,970
CenterPoint Energy, Inc.		24,123		660,970
CMS Energy Corp.		94,922		4,299,017
Consolidated Edison, Inc.		108,316		8,442,149
Dominion Energy, Inc.		41,636		2,807,515
DTE Energy Co.		46,410		4,845,204
NiSource, Inc.		62,133		1,485,600
Public Service Enterprise Group, Inc.		191,463		9,619,101
Sempra Energy		27,191		3,024,183
Vectren Corp.		29,455		1,882,764
WEC Energy Group, Inc.		151,617		9,506,386
				55,999,859
Oil, Gas & Consumable Fuels - 0.2%
Exxon Mobil Corp.		34,762		2,593,593
Personal Products - 0.9%
Estee Lauder Cos., Inc. (The), Class A		69,093		10,344,604
Nu Skin Enterprises, Inc., Class A		39,401		2,904,248
				13,248,852
Pharmaceuticals - 3.6%
Bristol-Myers Squibb Co.		78,756		4,981,317
Eli Lilly & Co.		122,372		9,467,922

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

AQR Funds Semi-Annual Report March 2018

97

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Pharmaceuticals - 3.6% (continued)
Johnson & Johnson		151,069	$	19,359,492
Merck & Co., Inc.		134,422		7,321,966
Pfizer, Inc.		244,247		8,668,326
Zoetis, Inc.		5,852		488,701
				50,287,724
Professional Services - 0.3%
Equifax, Inc.		3,815		449,445
Robert Half International, Inc.		51,894		3,004,144
Verisk Analytics, Inc. *		4,533		471,432
				3,925,021
Road & Rail - 0.4%
Landstar System, Inc.		22,745		2,493,989
Union Pacific Corp.		19,257		2,588,719
				5,082,708
Semiconductors & Semiconductor Equipment - 3.2%
Analog Devices, Inc.		14,700		1,339,611
Intel Corp.		134,159		6,987,001
Maxim Integrated Products, Inc.		95,197		5,732,763
NVIDIA Corp.		37,663		8,722,374
Skyworks Solutions, Inc.		36,593		3,668,814
Teradyne, Inc.		15,385		703,249
Texas Instruments, Inc.		136,792		14,211,321
Xilinx, Inc.		43,525		3,144,246
				44,509,379
Software - 3.7%
Adobe Systems, Inc. *		43,974		9,501,902
ANSYS, Inc. *		12,963		2,031,172
Cadence Design Systems, Inc. *		29,426		1,081,994
Electronic Arts, Inc. *		27,557		3,341,011
Intuit, Inc.		64,463		11,174,661
Manhattan Associates, Inc. *		15,685		656,888
Microsoft Corp.		213,592		19,494,542
Oracle Corp.		68,257		3,122,758
Red Hat, Inc. *		6,525		975,553
Synopsys, Inc. *		2,890		240,563
				51,621,044
Specialty Retail - 1.7%
AutoZone, Inc. *		510		330,832
Home Depot, Inc. (The)		61,717		11,000,438
Lowe’s Cos., Inc.		56,008		4,914,702
O’Reilly Automotive, Inc. *		918		227,095
Ross Stores, Inc.		4,859		378,905
TJX Cos., Inc. (The)		61,341		5,002,972
Ulta Beauty, Inc. *		6,137		1,253,605
Williams-Sonoma, Inc. (b)		22,140		1,168,106
				24,276,655
Technology Hardware, Storage & Peripherals - 0.4%
Apple, Inc.		32,878		5,516,271
Textiles, Apparel & Luxury Goods - 0.6%
Lululemon Athletica, Inc. *		54,779		4,881,904
NIKE, Inc., Class B		52,511		3,488,831
				8,370,735

INVESTMENTS	SHARES		VALUE
Thrifts & Mortgage Finance - 0.0% (a)
TFS Financial Corp.		12,974	$	190,588
Tobacco - 1.8%
Altria Group, Inc.		216,613		13,499,322
Philip Morris International, Inc.		116,924		11,622,246
				25,121,568
Trading Companies & Distributors - 0.4%
Fastenal Co.		38,809		2,118,583
MSC Industrial Direct Co., Inc., Class A		2,315		212,309
WW Grainger, Inc.		10,238		2,889,880
				5,220,772
Water Utilities - 0.8%
American Water Works Co., Inc.		110,116		9,043,827
Aqua America, Inc.		70,325		2,395,270
				11,439,097
TOTAL COMMON STOCKS (Cost $1,051,705,478)				1,344,772,797
SHORT-TERM INVESTMENTS - 3.2%
Investment Companies - 3.2%
Limited Purpose Cash Investment Fund, 1.53% (2)(c)
(Cost $45,729,861)		45,743,556		45,734,408
SECURITIES LENDING COLLATERAL - 0.7%
Investment Companies - 0.7%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(c)(d)		1,075,983		1,075,983
Limited Purpose Cash Investment Fund 1.53% (2)(c)(d)		8,042,087		8,042,087
TOTAL SECURITIES LENDING COLLATERAL (Cost $9,118,070)				9,118,070
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.1% (Cost $1,106,553,409)				1,399,625,275
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% (e)			(2,085,461)
NET ASSETS - 100.0%			$	1,397,539,814

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

AQR Funds Semi-Annual Report March 2018

98

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP DEFENSIVE STYLE FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	131,551,870			9.4	%
Consumer Staples		196,982,657			14.1
Energy		2,593,593			0.2
Financials		221,331,177			15.8
Health Care		167,880,556			12.0
Industrials		177,179,244			12.7
Information Technology		263,977,377			18.9
Materials		28,185,951			2.0
Telecommunication Services		9,156,005			0.7
Utilities		145,934,367			10.4
Short-Term Investments		45,734,408			3.2
Securities Lending Collateral		9,118,070			0.7
Total Investments In Securities At Value		1,399,625,275			100.1
Liabilities in Excess of Other Assets (e)		(2,085,461	)		(0.1	)
Net Assets	$	1,397,539,814			100.0	%

* Non-income producing security.

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

(b) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $26,233,127.

(c) Represents 7-day effective yield as of March 31, 2018.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $17,270,322 was received (See Note 3).

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

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

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

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
S&P 500 E-Mini Index		250	6/2018	USD		$33,037,500		$(1,077,521	)
								$(1,077,521	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
GSCO
Cash		$—		$3,114,853		$3,114,853

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

AQR Funds Semi-Annual Report March 2018

99

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 98.3%
Australia - 8.1%
AGL Energy Ltd.		90,641	$	1,519,201
Aristocrat Leisure Ltd.		3,419		63,835
Aurizon Holdings Ltd.		103,394		339,204
AusNet Services		94,515		122,252
Australia & New Zealand Banking Group Ltd.		34,236		712,566
BHP Billiton plc		2,080		41,107
BlueScope Steel Ltd.		23,605		277,717
Caltex Australia Ltd.		81,477		1,979,167
CIMIC Group Ltd.		3,710		127,689
Coca-Cola Amatil Ltd.		63,441		424,822
Cochlear Ltd.		6,834		959,818
Commonwealth Bank of Australia		8,215		459,398
CSL Ltd.		3,379		407,097
Flight Centre Travel Group Ltd.		30,107		1,325,362
Insurance Australia Group Ltd.		13,408		77,631
Newcrest Mining Ltd.		39,353		593,545
REA Group Ltd.		2,498		153,369
South32 Ltd.		420,047		1,055,652
Telstra Corp. Ltd.		262,269		634,869
TPG Telecom Ltd.		45,217		192,116
Wesfarmers Ltd.		48,991		1,569,909
Westpac Banking Corp.		18,552		410,916
Woodside Petroleum Ltd.		7,291		165,340
Woolworths Group Ltd.		104,525		2,121,549
				15,734,131
Austria - 0.1%
OMV AG		4,356		254,073
Belgium - 1.3%
Ageas		4,538		234,181
Anheuser-Busch InBev SA/NV		834		91,696
Colruyt SA		23,928		1,324,406
Groupe Bruxelles Lambert SA		618		70,683
KBC Group NV		525		45,716
Proximus SADP		21,391		665,092
UCB SA		1,007		82,008
				2,513,782
Canada - 11.7%
Agnico Eagle Mines Ltd. (1)		25,698		1,081,097
Alimentation Couche-Tard, Inc., Class B (1)		1,149		51,432
Bank of Montreal (1)		11,490		867,937
Bank of Nova Scotia (The) (1)		17,097		1,053,144
Barrick Gold Corp. (1)		36,900		459,693
BCE, Inc. (1)		55,136		2,372,601
Canadian Imperial Bank of Commerce (1)		10,966		967,946
Canadian National Railway Co. (1)		13,103		957,642
Canadian Utilities Ltd., Class A (1)		7,678		204,949
CI Financial Corp. (1)		46,030		986,089
Constellation Software, Inc. (1)		221		149,949
Emera, Inc. (1)		2,988		94,532
Empire Co. Ltd., Class A (1)		26,898		539,902
Fortis, Inc. (1)		9,230		311,571
Franco-Nevada Corp. (1)		9,986		681,313
George Weston Ltd. (1)		2,270		182,749

INVESTMENTS	SHARES		VALUE
Canada - 11.7% (continued)
Goldcorp, Inc. (1)		42,070	$	580,918
Hydro One Ltd. (1)(a)		57,543		934,373
Imperial Oil Ltd. (1)		19,218		508,960
Intact Financial Corp. (1)		13,650		1,025,697
Kinross Gold Corp.( 1)*		147,606		583,160
Loblaw Cos. Ltd. (1)		11,624		587,268
Manulife Financial Corp. (1)		5,664		105,160
Metro, Inc. (1)		3,452		110,123
Power Financial Corp. (1)		33,207		831,496
Rogers Communications, Inc., Class B (1)		13,888		620,263
Royal Bank of Canada (1)		17,262		1,333,422
Saputo, Inc. (1)		24,465		785,212
Shaw Communications, Inc., Class B (1)		10,850		209,025
Sun Life Financial, Inc. (1)		8,249		338,770
Suncor Energy, Inc. (1)		11,314		390,701
Thomson Reuters Corp. (1)		3,381		130,663
Toronto-Dominion Bank (The) (1)		24,133		1,369,476
Wheaton Precious Metals Corp. (1)		57,729		1,176,222
				22,583,455
China - 0.2%
BOC Hong Kong Holdings Ltd.		70,500		345,857
Denmark - 2.7%
Coloplast A/S, Class B		13,934		1,181,839
Danske Bank A/S		3,404		127,542
DSV A/S		12,130		957,643
H Lundbeck A/S		3,267		183,496
Novo Nordisk A/S, Class B		42,003		2,065,954
Orsted A/S (a)		11,227		730,450
				5,246,924
Finland - 1.8%
Fortum OYJ		3,366		72,312
Kone OYJ, Class B		20,352		1,015,725
Neste OYJ		19,491		1,356,672
Nokian Renkaat OYJ		1,153		52,363
Orion OYJ, Class B		18,450		564,801
Sampo OYJ, Class A		8,074		449,824
				3,511,697
France - 6.9%
Aeroports de Paris		2,096		456,639
Airbus SE		1,757		203,386
BNP Paribas SA		4,427		328,309
Bouygues SA		13,306		667,139
Cie Generale des Etablissements Michelin SCA		2,529		374,400
Danone SA		8,252		669,091
Dassault Systemes SE		8,273		1,125,074
Electricite de France SA		1,824		26,409
Engie SA		69,716		1,164,152
Essilor International Cie Generale d’Optique SA		289		38,986
Hermes International		2,019		1,196,766
Iliad SA (b)		1,040		215,305
Imerys SA		2,766		268,810
Lagardere SCA		3,911		111,714

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

AQR Funds Semi-Annual Report March 2018

100

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
France - 6.9% (continued)
L’Oreal SA		7,915	$	1,787,672
LVMH Moet Hennessy Louis Vuitton SE		493		151,929
Pernod Ricard SA		898		149,524
Sanofi		3,828		307,159
Societe BIC SA		10,589		1,052,606
Societe Generale SA		7,780		422,535
Sodexo SA		4,294		432,183
Suez		2,973		43,079
Thales SA		5,982		728,748
TOTAL SA		18,359		1,052,332
Vinci SA		3,641		358,621
				13,332,568
Germany - 4.5%
Allianz SE (Registered)		1,544		349,032
Bayer AG (Registered)		2,729		307,650
Beiersdorf AG		7,238		820,265
Covestro AG (a)		1,095		107,822
Deutsche Post AG (Registered)		5,438		238,181
FUCHS PETROLUB SE (Preference)		1,561		84,738
Hannover Rueck SE		1,732		236,300
Henkel AG & Co. KGaA (Preference)		3,714		488,217
HUGO BOSS AG		6,368		554,761
Innogy SE (a)		19,108		905,706
MAN SE		15,363		1,791,470
Merck KGaA		458		43,944
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		1,286		299,048
ProSiebenSat.1 Media SE		10,928		378,508
RWE AG *		10,925		270,047
SAP SE		15,462		1,623,230
Schaeffler AG (Preference)		5,743		88,695
Siemens AG (Registered)		566		72,220
TUI AG		6,141		131,685
				8,791,519
Hong Kong - 4.6%
CK Hutchison Holdings Ltd.		64,500		774,985
CLP Holdings Ltd.		138,000		1,407,048
Galaxy Entertainment Group Ltd.		107,000		982,120
Hang Seng Bank Ltd.		16,800		390,341
HK Electric Investments & HK Electric Investments Ltd. (a)(b)		679,000		658,418
HKT Trust & HKT Ltd.		180,000		226,941
Hong Kong & China Gas Co. Ltd.		640,014		1,318,916
MTR Corp. Ltd.		212,500		1,147,108
Power Assets Holdings Ltd.		98,500		879,938
SJM Holdings Ltd.		844,999		740,299
WH Group Ltd. (a)		183,500		196,618
Yue Yuen Industrial Holdings Ltd.		40,000		160,259
				8,882,991
Italy - 0.3%
Enel SpA		89,661		548,655
Japan - 28.9%
ABC-Mart, Inc. (1)		8,800		579,747
Ajinomoto Co., Inc. (1)		1,100		19,900

INVESTMENTS	SHARES		VALUE
Japan - 28.9% (continued)
Amada Holdings Co. Ltd. (1)		2,000	$	24,285
ANA Holdings, Inc. (1)		4,900		189,636
Asahi Glass Co. Ltd. (1)		800		33,119
Asahi Group Holdings Ltd. (1)		7,500		399,441
Astellas Pharma, Inc. (1)		121,400		1,841,450
Bandai Namco Holdings, Inc. (1)		21,600		709,478
Benesse Holdings, Inc. (1)		8,800		318,820
Bridgestone Corp. (1)		19,100		830,021
Brother Industries Ltd. (1)		10,100		234,738
Calbee, Inc. (1)		28,600		946,121
Canon, Inc. (1)		25,200		912,510
Central Japan Railway Co. (1)		2,300		435,121
Chubu Electric Power Co., Inc. (1)		1,600		22,600
Chugai Pharmaceutical Co. Ltd. (1)		8,400		424,717
Coca-Cola Bottlers Japan Holdings, Inc. (1)		11,900		491,523
Daiichi Sankyo Co. Ltd. (1)		10,200		338,003
East Japan Railway Co. (1)		4,300		398,540
Eisai Co. Ltd. (1)		600		38,237
FANUC Corp. (1)		1,200		304,046
Fast Retailing Co. Ltd. (1)		1,800		731,469
FUJIFILM Holdings Corp. (1)		1,700		67,821
Fujitsu Ltd. (1)		15,000		92,308
Hakuhodo DY Holdings, Inc. (1)		49,500		680,593
Hirose Electric Co. Ltd. (1)		735		100,989
Hisamitsu Pharmaceutical Co., Inc. (1)		13,500		1,045,440
Hitachi Chemical Co. Ltd. (1)		11,400		259,809
Hitachi Ltd. (1)		55,000		398,421
Hitachi Metals Ltd. (1)		14,800		174,977
Hoshizaki Corp. (1)		4,300		377,445
Hoya Corp. (1)		6,000		299,140
ITOCHU Corp. (1)		14,300		277,721
Japan Airlines Co. Ltd. (1)		29,600		1,191,177
Japan Airport Terminal Co. Ltd. (1)		8,200		313,265
Japan Post Bank Co. Ltd. (1)		2,600		34,893
Japan Tobacco, Inc. (1)		18,000		518,660
Kajima Corp. (1)		15,000		139,138
Kamigumi Co. Ltd. (1)		29,000		647,564
Kao Corp. (1)		5,500		412,532
KDDI Corp. (1)		81,800		2,088,338
Kikkoman Corp. (1)		5,000		201,118
Kirin Holdings Co. Ltd. (1)		14,400		383,328
Komatsu Ltd. (1)		7,000		233,344
Konica Minolta, Inc. (1)		18,100		155,136
Kose Corp. (1)		5,300		1,109,262
Kuraray Co. Ltd. (1)		1,300		22,089
Kurita Water Industries Ltd. (1)		8,500		269,607
Kyushu Railway Co. (1)		23,000		715,474
Lawson, Inc. (1)		4,900		333,866
M3, Inc. (1)		2,500		112,307
Makita Corp. (1)		8,800		430,055
Mazda Motor Corp. (1)		26,400		348,965
McDonald’s Holdings Co. Japan Ltd. (1)		6,100		285,494
MEIJI Holdings Co. Ltd. (1)		4,300		327,334
MISUMI Group, Inc. (1)		1,700		46,668
Mitsubishi Electric Corp. (1)		16,300		260,650
Mitsubishi Motors Corp. (1)		15,800		113,000
Mitsubishi Tanabe Pharma Corp. (1)		39,700		776,054
Mitsubishi UFJ Financial Group, Inc. (1)		19,600		128,389

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

AQR Funds Semi-Annual Report March 2018

101

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Japan - 28.9% (continued)
Mitsui & Co. Ltd. (1)		7,900	$	135,311
Mixi, Inc. (1)		3,300		121,883
Mizuho Financial Group, Inc. (1)		183,700		330,437
Murata Manufacturing Co. Ltd. (1)		1,400		191,702
Nabtesco Corp. (1)		3,200		123,453
Nexon Co. Ltd. (1)*		70,800		1,171,073
NH Foods Ltd. (1)		1,000		40,976
Nidec Corp. (1)		600		92,420
Nikon Corp. (1)		7,500		133,640
Nippon Express Co. Ltd. (1)		3,400		227,508
Nippon Telegraph & Telephone Corp. (1)		32,100		1,478,220
Nissan Motor Co. Ltd. (1)		10,900		113,092
Nisshin Seifun Group, Inc. (1)		8,400		166,492
Nissin Foods Holdings Co. Ltd. (1)		9,700		672,769
Nitori Holdings Co. Ltd. (1)		1,900		335,788
Nitto Denko Corp. (1)		8,300		622,315
Nomura Research Institute Ltd. (1)		1,287		60,960
Obayashi Corp. (1)		18,600		203,472
Omron Corp. (1)		26,900		1,582,576
Oracle Corp. Japan (1)		8,900		723,509
Oriental Land Co. Ltd. (1)		9,100		929,200
Osaka Gas Co. Ltd. (1)		81,200		1,602,175
Otsuka Corp. (1)		23,400		1,178,742
Otsuka Holdings Co. Ltd. (1)		7,800		390,641
Persol Holdings Co. Ltd. (1)		17,000		494,479
Pola Orbis Holdings, Inc. (1)(b)		18,500		758,047
Recruit Holdings Co. Ltd. (1)		74,000		1,839,134
Rinnai Corp. (1)		600		56,952
Ryohin Keikaku Co. Ltd. (1)		100		33,551
Secom Co. Ltd. (1)		1,200		89,319
Seven & i Holdings Co. Ltd. (1)		20,900		896,458
Seven Bank Ltd. (1)		27,700		88,251
Shimamura Co. Ltd. (1)		5,200		650,458
Shimizu Corp. (1)		17,000		151,938
Shionogi & Co. Ltd. (1)		18,600		959,848
SMC Corp. (1)		100		40,477
Start Today Co. Ltd. (1)		17,300		462,070
Subaru Corp. (1)		36,100		1,183,034
Sumitomo Corp. (1)		7,900		132,972
Sumitomo Dainippon Pharma Co. Ltd. (1)		21,200		355,840
Sumitomo Mitsui Financial Group, Inc. (1)		3,300		138,259
Sundrug Co. Ltd. (1)		19,300		891,495
Suntory Beverage & Food Ltd. (1)		9,300		451,868
Suzuki Motor Corp. (1)		8,400		452,347
Sysmex Corp. (1)		8,900		806,315
Taisei Corp. (1)		5,600		284,197
Takeda Pharmaceutical Co. Ltd. (1)		3,300		160,743
Toho Gas Co. Ltd. (1)		29,900		918,876
Tohoku Electric Power Co., Inc. (1)		2,200		29,380
Tokyo Electron Ltd. (1)		1,000		188,102
Tokyo Gas Co. Ltd. (1)		62,100		1,646,682
TOTO Ltd. (1)		2,200		115,991
Toyo Suisan Kaisha Ltd. (1)		25,300		980,804
Trend Micro, Inc. (1)		14,100		841,455
Tsuruha Holdings, Inc. (1)		3,500		498,990
USS Co. Ltd. (1)		4,100		82,844
West Japan Railway Co. (1)		4,900		342,201
Yakult Honsha Co. Ltd. (1)		3,900		288,454

INVESTMENTS	SHARES		VALUE
Japan - 28.9% (continued)
Yamada Denki Co. Ltd. (1)		7,900	$	47,368
Yamato Holdings Co. Ltd. (1)		1,200		30,094
Yamazaki Baking Co. Ltd. (1)		19,100		396,342
Yokogawa Electric Corp. (1)		4,600		95,022
				56,104,904
Netherlands - 0.9%
Heineken NV		2,163		232,639
Koninklijke Ahold Delhaize NV		14,855		352,003
Koninklijke Philips NV		5,681		217,537
Randstad Holding NV		6,157		405,500
Royal Dutch Shell plc, Class A		19,109		604,581
				1,812,260
Norway - 1.9%
Gjensidige Forsikring ASA		16,603		305,366
Marine Harvest ASA		34,948		706,420
Norsk Hydro ASA		24,142		143,203
Orkla ASA		76,822		827,910
Telenor ASA		69,894		1,589,469
Yara International ASA		1,334		57,002
				3,629,370
Portugal - 0.2%
EDP - Energias de Portugal SA		82,752		314,425
Jeronimo Martins SGPS SA		2,999		54,548
				368,973
Singapore - 4.0%
ComfortDelGro Corp. Ltd.		178,200		279,739
DBS Group Holdings Ltd.		68,100		1,438,432
Genting Singapore plc		58,600		48,604
Oversea-Chinese Banking Corp. Ltd.		134,400		1,323,975
SATS Ltd.		73,500		288,832
Singapore Airlines Ltd.		88,900		738,728
Singapore Telecommunications Ltd.		575,900		1,487,377
StarHub Ltd. (b)		350,000		616,095
United Overseas Bank Ltd.		58,200		1,224,657
Wilmar International Ltd.		97,400		237,466
				7,683,905
South Africa - 0.4%
Mondi plc		26,110		701,787
Spain - 1.1%
Endesa SA		13,559		298,707
Iberdrola SA		190,370		1,399,865
Industria de Diseno Textil SA		4,730		148,705
Mapfre SA		65,467		217,808
Red Electrica Corp. SA		5,122		105,730
Repsol SA		2,886		51,301
				2,222,116
Sweden - 4.6%
Assa Abloy AB, Class B		3,685		79,874
Atlas Copco AB, Class A		19,161		832,197
Boliden AB		1,762		62,002
Essity AB, Class B *		17,630		488,583
Getinge AB, Class B *		4,954		56,414
Hennes & Mauritz AB, Class B		21,176		316,351

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

AQR Funds Semi-Annual Report March 2018

102

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Sweden - 4.6% (continued)
ICA Gruppen AB		19,296	$	684,110
Investor AB, Class B		23,812		1,057,814
L E Lundbergforetagen AB, Class B		3,430		246,576
Nordea Bank AB		27,239		291,456
Sandvik AB		19,119		350,283
Skanska AB, Class B		13,587		278,572
SKF AB, Class B		5,941		121,714
Svenska Handelsbanken AB, Class A		2,802		35,072
Swedbank AB, Class A		854		19,190
Swedish Match AB		36,094		1,635,699
Tele2 AB, Class B		68,457		824,382
Telia Co. AB		216,340		1,019,337
Volvo AB, Class B		28,527		522,169
				8,921,795
Switzerland - 4.7%
ABB Ltd. (Registered)		18,150		431,574
Adecco Group AG (Registered)		1,995		142,104
Chocoladefabriken Lindt & Spruengli AG		9		55,838
Coca-Cola HBC AG *		25,235		933,863
Ferguson plc		3,514		264,287
Geberit AG (Registered)		423		187,060
Kuehne + Nagel International AG (Registered)		6,770		1,066,310
Nestle SA (Registered)		21,363		1,688,565
Novartis AG (Registered)		11,270		911,527
Partners Group Holding AG		212		157,754
Roche Holding AG		5,836		1,338,762
Schindler Holding AG		1,889		407,585
SGS SA (Registered)		52		127,916
Sika AG		37		290,234
Sonova Holding AG (Registered)		1,598		254,055
Swatch Group AG (The)		142		62,657
Swiss Re AG		2,604		265,782
Swisscom AG (Registered) (b)		694		344,296
Zurich Insurance Group AG *		638		210,452
				9,140,621
United Kingdom - 9.4%
Admiral Group plc		20,048		518,890
Associated British Foods plc		31,583		1,104,190
AstraZeneca plc		10,504		722,058
BAE Systems plc		47,484		388,499
BP plc		57,637		388,768
British American Tobacco plc		8,440		487,890
BT Group plc		307,739		982,245
Bunzl plc		3,697		108,715
Burberry Group plc		30,993		738,764
Centrica plc		144,546		289,421
Compass Group plc		12,485		254,931
Diageo plc		26,783		905,793
Direct Line Insurance Group plc		120,945		647,601
easyJet plc		6,543		147,492
GlaxoSmithKline plc		24,653		478,787
HSBC Holdings plc		89,959		844,779
Imperial Brands plc		11,065		376,758
International Consolidated Airlines Group SA		4,841		41,913
Kingfisher plc		113,011		463,605

INVESTMENTS	SHARES		VALUE
United Kingdom - 9.4% (continued)
Marks & Spencer Group plc		31,921	$	121,250
National Grid plc		133,023		1,497,371
Next plc		481		32,154
Pearson plc		76,689		808,525
Reckitt Benckiser Group plc		11,569		976,514
Royal Mail plc		167,833		1,273,816
Sage Group plc (The)		17,119		153,822
Smith & Nephew plc		51,219		958,154
SSE plc		41,219		739,442
Travis Perkins plc		2,417		41,906
Unilever NV, CVA		5,592		315,643
United Utilities Group plc		2,762		27,738
Vodafone Group plc		228,022		623,875
Whitbread plc		1,298		67,375
WPP plc		40,152		638,081
				18,166,765
United States - 0.0% (c)
Shire plc		1,638		81,523
TOTAL COMMON STOCKS (Cost $165,712,322)				190,579,671
SHORT-TERM INVESTMENTS - 0.9%
Investment Companies - 0.9%
Limited Purpose Cash Investment Fund, 1.53% (d)
(Cost $1,695,672)		1,696,165		1,695,826
SECURITIES LENDING COLLATERAL - 1.4%
Investment Companies - 1.4%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (d)(e)		308,873		308,873
Limited Purpose Cash Investment Fund 1.53% (d)(e)		2308,569		2,308,569
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,617,442)				2,617,442
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.6% (Cost $170,025,436)				194,892,939
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)% (f)			(1,099,524)
NET ASSETS - 100.0%			$	193,793,415

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

AQR Funds Semi-Annual Report March 2018

103

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL DEFENSIVE STYLE FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	19,886,206			10.3	%
Consumer Staples		35,150,663			18.1
Energy		6,751,892			3.5
Financials		23,495,516			12.1
Health Care		18,710,306			9.6
Industrials		30,005,612			15.5
Information Technology		11,169,020			5.8
Materials		9,325,213			4.8
Telecommunication Services		15,980,822			8.2
Utilities		20,104,421			10.4
Short-Term Investments		1,695,826			0.9
Securities Lending Collateral		2,617,442			1.4
Total Investments In Securities At Value		194,892,939			100.6
Liabilities in Excess of Other Assets (f)		(1,099,524	)		(0.6	)
Net Assets	$	193,793,415			100.0	%

* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions

exempt from registration. Total value of all such securities at March 31, 2018 amounted to $3,533,387, which represents approximately 1.82% of net assets of the fund.

(b) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $1,557,802.

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

(d) Represents 7-day effective yield as of March 31, 2018.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

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

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

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

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

SCA - Limited partnership with share capital

SGPS - Sociedade Gestora de Participacões Sociais

Futures contracts outstanding as of March 31, 2018 :

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index		11	6/2018	USD		1,100,330		$(17,644	)
								$(17,644	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$79,052		$79,052

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

AQR Funds Semi-Annual Report March 2018

104

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 94.3%
Brazil - 4.7%
Ambev SA, ADR		91,801	$	667,394
BB Seguridade Participacoes SA		9,700		86,086
Braskem SA (Preference), Class A		3,300		47,979
Engie Brasil Energia SA		29,900		354,295
Equatorial Energia SA *		3,800		82,642
Hypera SA		10,300		112,470
Localiza Rent a Car SA *		52,890		456,897
Lojas Renner SA *		12,600		130,334
Natura Cosmeticos SA		2,700		26,219
Odontoprev SA		138,000		624,907
Qualicorp SA		6,100		41,351
Raia Drogasil SA *		5,100		115,441
Sul America SA *		16,000		106,378
Telefonica Brasil SA, ADR		5,261		80,809
TIM Participacoes SA, ADR *		19,998		433,357
Ultrapar Participacoes SA		6,000		129,979
WEG SA		34,580		235,879
				3,732,417
Chile - 4.5%
Aguas Andinas SA, Class A		1,016,087		660,953
Banco de Chile		5,728,636		962,552
Banco de Credito e Inversiones SA		434		32,195
Banco Santander Chile, ADR		5,696		190,873
Cia Cervecerias Unidas SA, ADR		9,716		285,748
Empresas COPEC SA		1,401		21,993
Enel Americas SA, ADR		24,890		289,222
Enel Chile SA, ADR		30,507		195,245
Enel Generacion Chile SA, ADR		1,131		26,906
SACI Falabella		73,453		708,294
Sociedad Quimica y Minera de Chile SA, ADR (a)		4,961		243,833
				3,617,814
China - 11.7%
3SBio, Inc. (2)*(b)		15,000		34,166
Agricultural Bank of China Ltd., Class H (2)		801,000		459,969
ANTA Sports Products Ltd. (2)		111,000		566,634
Bank of China Ltd., Class H (2)		513,000		280,231
Beijing Capital International Airport Co. Ltd., Class H (2)		98,000		132,357
China Communications Services Corp. Ltd., Class H (2)		1,004,000		604,116
China Construction Bank Corp., Class H (2)		672,000		701,907
China Everbright Bank Co. Ltd., Class H (2)		97,000		46,995
China Huishan Dairy Holdings Co. Ltd. (3)*(c)		700,000		1
China Merchants Bank Co. Ltd., Class H (2)		39,500		163,959
China Mobile Ltd. (2)		88,500		811,137
China Petroleum & Chemical Corp., Class H (2)		364,000		322,898
China Resources Beer Holdings Co. Ltd. (2)		8,000		34,874
China Resources Gas Group Ltd. (2)		96,000		335,712
China Shenhua Energy Co. Ltd., Class H (2)		8,500		21,333
China Telecom Corp. Ltd., Class H (2)		904,000		400,953
China Unicom Hong Kong Ltd. (2)*		38,000		48,613
CSPC Pharmaceutical Group Ltd. (2)		384,000		1,035,078
ENN Energy Holdings Ltd. (2)		40,000		359,556

INVESTMENTS	SHARES		VALUE
China - 11.7% (continued)
Geely Automobile Holdings Ltd. (2)		117,000	$	342,838
Great Wall Motor Co. Ltd., Class H (2)		55,500		56,249
Guangdong Investment Ltd. (2)		472,000		747,774
Haitian International Holdings Ltd. (2)		69,000		209,798
Industrial & Commercial Bank of China Ltd., Class H (2)		735,000		640,542
Jiangsu Expressway Co. Ltd., Class H (2)		170,000		241,361
Shenzhou International Group Holdings Ltd. (2)		11,000		116,543
Sinopec Engineering Group Co. Ltd., Class H (2)		67,500		67,321
Sunny Optical Technology Group Co. Ltd. (2)		2,000		37,529
Tencent Holdings Ltd. (2)		1,600		85,887
Tingyi Cayman Islands Holding Corp. (2)		12,000		24,946
Tsingtao Brewery Co. Ltd., Class H (2)		36,000		189,063
Want Want China Holdings Ltd. (2)		278,000		223,655
				9,343,995
Hong Kong - 2.3%
China Gas Holdings Ltd. (2)		113,000		414,278
Haier Electronics Group Co. Ltd. (2)*		95,000		340,591
Sino Biopharmaceutical Ltd. (2)		547,000		1,087,103
				1,841,972
India - 7.6%
Axis Bank Ltd., GDR (2)(d)		6,212		246,785
Dr Reddy’s Laboratories Ltd., ADR		15,270		499,176
ICICI Bank Ltd., ADR		70,293		622,093
Infosys Ltd., ADR (a)		68,218		1,217,690
Larsen & Toubro Ltd., GDR (2)(d)		20,191		406,812
Reliance Industries Ltd., GDR (2)(b)		38,670		1,051,677
State Bank of India, GDR (2)(d)		11,325		437,353
Tata Motors Ltd., ADR *		13,515		347,336
Vedanta Ltd., ADR		13,912		244,434
Wipro Ltd., ADR (a)		196,954		1,016,283
				6,089,639
Indonesia - 3.5%
Bank Central Asia Tbk. PT (2)		400,600		680,534
Bank Mandiri Persero Tbk. PT (2)		234,000		131,216
Bank Rakyat Indonesia Persero Tbk. PT (2)*		1,014,000		266,114
Hanjaya Mandala Sampoerna Tbk. PT (2)		1,327,700		385,476
Indofood CBP Sukses Makmur Tbk. PT (2)		72,200		43,477
Jasa Marga Persero Tbk. PT (2) *		48,300		16,142
Kalbe Farma Tbk. PT (2)		3,464,900		378,690
Semen Indonesia Persero Tbk. PT (2)		43,000		32,430
Telekomunikasi Indonesia Persero Tbk. PT (2)		1,102,600		289,934
Unilever Indonesia Tbk. PT (2)		153,200		552,624
				2,776,637
Malaysia - 7.1%
British American Tobacco Malaysia Bhd.		900		6,147
DiGi.Com Bhd.		435,400		522,300
Hong Leong Bank Bhd.		55,600		270,238
IHH Healthcare Bhd.		152,600		238,684
Kuala Lumpur Kepong Bhd.		26,100		172,605
Malayan Banking Bhd.		311,500		853,646
Malaysia Airports Holdings Bhd.		52,000		118,976

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

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105

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
Malaysia - 7.1% (continued)
Maxis Bhd.		115,900	$	171,992
MISC Bhd.		7,900		14,399
Petronas Chemicals Group Bhd.		68,200		145,639
Petronas Gas Bhd.		111,200		512,877
Public Bank Bhd.		197,100		1,222,959
Telekom Malaysia Bhd.		323,700		436,844
Tenaga Nasional Bhd.		106,100		445,466
Westports Holdings Bhd.		611,200		567,272
				5,700,044
Mexico - 5.6%
America Movil SAB de CV, Class L, ADR		8,152		155,622
Arca Continental SAB de CV		71,200		492,330
Coca-Cola Femsa SAB de CV, ADR		2,295		152,457
Fomento Economico Mexicano SAB de CV, ADR		2,772		253,444
Gentera SAB de CV		45,600		33,259
Gruma SAB de CV, Class B		28,310		324,786
Grupo Aeroportuario del Pacifico SAB de CV, ADR		6,914		688,911
Grupo Aeroportuario del Sureste SAB de CV, ADR (a)		2,477		422,502
Grupo Bimbo SAB de CV, Series A		53,400		116,846
Grupo Financiero Banorte SAB de CV, Class O		15,700		95,970
Grupo Lala SAB de CV		200,000		272,057
Infraestructura Energetica Nova SAB de CV		84,100		411,341
Kimberly-Clark de Mexico SAB de CV, Class A		18,000		33,703
Wal-Mart de Mexico SAB de CV		410,000		1,043,267
				4,496,495
Philippines - 0.6%
Bank of the Philippine Islands (2)		176,330		397,224
BDO Unibank, Inc. (2)		12,190		32,688
Jollibee Foods Corp. (2)		5,120		29,510
Security Bank Corp. (2)		7,270		33,626
				493,048
Poland - 2.9%
Bank Pekao SA (2)		10,096		364,193
Bank Zachodni WBK SA (2)		3,292		348,966
Jastrzebska Spolka Weglowa SA (2) *		4,443		105,338
LPP SA (2)		205		521,120
PGE Polska Grupa Energetyczna SA (2)*		69,490		201,409
Polski Koncern Naftowy ORLEN SA (2)		9,987		245,813
Polskie Gornictwo Naftowe i Gazownictwo SA (2)		30,228		49,964
Powszechna Kasa Oszczednosci Bank Polski SA (2) *		4,356		51,578
Powszechny Zaklad Ubezpieczen SA (2)		32,418		396,433
				2,284,814
Russia - 0.7%
Mobile TeleSystems PJSC, ADR		6,586		75,015
Novolipetsk Steel PJSC, GDR (2)(d)		4,160		103,987
Severstal PJSC, GDR (2)(d)		20,460		309,342

INVESTMENTS	SHARES		VALUE
Russia - 0.7% (continued)
Tatneft PJSC, ADR (2)		1,177	$	74,544
				562,888
South Africa - 6.5%
Bidvest Group Ltd. (The) (2)		22,037		418,197
Capitec Bank Holdings Ltd. (2)		5,945		437,360
Coronation Fund Managers Ltd. (2)		6,963		47,610
Mondi Ltd. (2)		10,770		293,164
Mr Price Group Ltd. (2)		18,914		454,842
Nedbank Group Ltd. (2)		2,862		68,981
Netcare Ltd. (2)		12,382		29,278
Pick n Pay Stores Ltd. (2)		129,535		751,800
RMB Holdings Ltd. (2)		75,209		490,433
Shoprite Holdings Ltd. (2)		19,349		413,079
SPAR Group Ltd. (The) (2)		13,671		234,688
Standard Bank Group Ltd. (2)		2,577		47,619
Tiger Brands Ltd. (2)		11,828		370,197
Truworths International Ltd. (2)		13,872		126,456
Vodacom Group Ltd. (2)		78,171		1,010,192
				5,193,896
South Korea - 13.8%
Amorepacific Corp.		476		141,563
BGF Co. Ltd.		3,193		39,242
BGF retail Co. Ltd.		528		83,715
Celltrion, Inc. *		855		248,262
Cheil Worldwide, Inc.		8,801		148,624
CJ Logistics Corp. *		192		24,768
Coway Co. Ltd.		2,627		221,320
DB Insurance Co. Ltd.		9,486		578,469
Hanmi Science Co. Ltd.		1,491		130,090
Hanon Systems		51,171		549,684
Hanssem Co. Ltd.		1,290		186,983
Hanwha Life Insurance Co. Ltd.		15,054		87,423
Hotel Shilla Co. Ltd.		1,058		95,189
Hyundai Engineering & Construction Co. Ltd.		2,835		116,230
Hyundai Glovis Co. Ltd.		2,099		332,800
Hyundai Marine & Fire Insurance Co. Ltd.		7,322		267,216
Hyundai Mobis Co. Ltd.		689		154,813
Kangwon Land, Inc.		11,440		302,663
Kia Motors Corp.		4,700		136,692
KT Corp. (2)		1,517		39,209
KT&G Corp.		4,734		444,132
LG Chem Ltd.		1,339		484,271
LG Household & Health Care Ltd.		140		158,664
LG Innotek Co. Ltd.		219		25,888
NAVER Corp.		728		540,929
NCSoft Corp.		1,533		604,052
Netmarble Games Corp. (b)	��	1,521		218,325
Ottogi Corp.		45		30,059
S-1 Corp.		8,200		760,840
Samsung Biologics Co. Ltd. *(b)		1,394		636,905
Samsung Electronics Co. Ltd.		415		958,171
Samsung Fire & Marine Insurance Co. Ltd.		1,141		289,559
Samsung Life Insurance Co. Ltd.		2,063		224,513
Samsung SDS Co. Ltd.		2,010		481,804
SK Hynix, Inc.		11,356		866,162
SK Innovation Co. Ltd.		116		22,963

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

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106

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

INVESTMENTS	SHARES		VALUE
South Korea - 13.8% (continued)
SK Telecom Co. Ltd.		1,673	$	366,494
Woori Bank		6,606		90,795
				11,089,481
Taiwan - 13.5%
Advantech Co. Ltd.		32,998		236,533
Asustek Computer, Inc.		32,000		301,266
Chang Hwa Commercial Bank Ltd.		630,126		367,395
Cheng Shin Rubber Industry Co. Ltd.		16,000		25,819
Chunghwa Telecom Co. Ltd.		308,600		1,196,000
Delta Electronics, Inc.		10,000		44,586
E.Sun Financial Holding Co. Ltd.		159,501		106,673
Far EasTone Telecommunications Co. Ltd. *		403,000		1,078,094
Feng TAY Enterprise Co. Ltd.		19,040		86,851
First Financial Holding Co. Ltd.		1,347,915		936,148
Formosa Petrochemical Corp.		130,000		532,805
General Interface Solution Holding Ltd.		27,000		166,684
Globalwafers Co. Ltd.		3,000		48,359
Hon Hai Precision Industry Co. Ltd.		44,583		139,757
Hua Nan Financial Holdings Co. Ltd.		569,874		343,992
Lite-On Technology Corp. *		31,023		43,252
MediaTek, Inc.		3,000		34,983
Mega Financial Holding Co. Ltd.		518,000		445,924
Micro-Star International Co. Ltd.		86,000		281,977
Nien Made Enterprise Co. Ltd.		26,000		250,129
Novatek Microelectronics Corp.		22,000		99,599
President Chain Store Corp.		115,000		1,167,473
Realtek Semiconductor Corp.		62,442		276,264
TaiMed Biologics, Inc. *		5,000		41,328
Taiwan Cooperative Financial Holding Co. Ltd.		453,404		267,467
Taiwan Mobile Co. Ltd.		225,000		844,994
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		19,925		871,918
Teco Electric and Machinery Co. Ltd.		35,000		29,650
Uni-President Enterprises Corp.		176,172		413,890
Vanguard International Semiconductor Corp.		38,000		87,190
				10,767,000
Thailand - 7.9%
Advanced Info Service PCL, NVDR		24,700		164,298
Airports of Thailand PCL, NVDR		535,300		1,155,509
Bangkok Bank PCL, NVDR		30,000		188,999
Bangkok Dusit Medical Services PCL, NVDR		347,200		260,927
Bangkok Expressway & Metro PCL, NVDR		134,600		30,777
BTS Group Holdings PCL, NVDR		651,100		173,863
Bumrungrad Hospital PCL, NVDR		142,300		969,296
Delta Electronics Thailand PCL, NVDR		143,100		311,186
Electricity Generating PCL, NVDR		16,800		124,643
Glow Energy PCL, NVDR		232,300		638,881
Home Product Center PCL, NVDR		1,798,000		816,489
Kasikornbank PCL, NVDR		47,700		323,390
Krung Thai Bank PCL, NVDR		299,700		181,143
Robinson PCL, NVDR		229,600		464,413
Siam Cement PCL (The), NVDR		3,700		59,162

INVESTMENTS	SHARES		VALUE
Thailand - 7.9% (continued)
Siam Commercial Bank PCL (The), NVDR		96,900	$	443,131
				6,306,107
Turkey - 1.4%
Aselsan Elektronik Sanayi ve Ticaret A/S		33,890		265,602
BIM Birlesik Magazalar A/S		44,708		814,768
Turkcell Iletisim Hizmetleri A/S		12,838		49,298
				1,129,668
TOTAL COMMON STOCKS (Cost $62,548,592)				75,425,915
SHORT-TERM INVESTMENTS - 4.9%
Investment Companies - 4.9%
Limited Purpose Cash Investment Fund, 1.53% (2)(e)
(Cost $3,895,894)		3,896,729		3,895,950
SECURITIES LENDING COLLATERAL - 2.7%
Investment Companies - 2.7%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(e)(f)		252,081		252,081
Limited Purpose Cash Investment Fund 1.53% (2)(e)(f)		1,884,096		1,884,096
TOTAL SECURITIES LENDING COLLATERAL (Cost $2,136,177)				2,136,177
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.9% (Cost $68,580,663)				81,458,042
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.9)% (g)			(1,481,305)
NET ASSETS - 100.0%			$	79,976,737

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	7,180,414			9.0	%
Consumer Staples		10,440,588			13.0
Energy		2,473,970			3.1
Financials		16,390,799			20.5
Health Care		6,367,713			8.0
Industrials		6,926,103			8.7
Information Technology		8,996,275			11.2
Materials		2,069,580			2.6
Telecommunication Services		8,779,273			11.0
Utilities		5,801,200			7.2
Short-Term Investments		3,895,950			4.9
Securities Lending Collateral		2,136,177			2.7
Total Investments In Securities At Value		81,458,042			101.9
Liabilities in Excess of Other Assets (g)		(1,481,305	)		(1.9	)
Net Assets	$	79,976,737			100.0	%

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

AQR Funds Semi-Annual Report March 2018

107

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND

* Non-income producing security.

(a) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $2,107,701.

(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 March 31, 2018 amounted to $1,941,073, which represents approximately 2.43% of net assets of the fund.

(c) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at March 31, 2018 amounted to $1, which represents approximately 0.00% of net assets of the fund.

(d) 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

March 31, 2018, the value of these securities amounted to $1,504,279 or 1.88% of net assets.

(e) Represents 7-day effective yield as of March 31, 2018.

(f) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3).

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

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

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

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

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Public Joint Stock Company

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

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI Emerging Markets E-Mini Index		63	6/2018	USD		$3,741,570		$(67,924	)
								$(67,924	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$309,927		$309,927

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

AQR Funds Semi-Annual Report March 2018

108

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 88.3%
Australia - 2.0%
ASX Ltd. (2)		891	$	38,614
Aurizon Holdings Ltd. (2)		279,598		917,275
Australia & New Zealand Banking Group Ltd. (2)		18,764		390,542
BGP Holdings plc (3)*(a)		96,388		146
BHP Billiton Ltd. (2)		14,837		328,870
BHP Billiton plc (2)		32,127		634,933
BlueScope Steel Ltd. (2)		27,590		324,601
Caltex Australia Ltd. (2)		18,235		442,948
CIMIC Group Ltd. (2)		15,991		550,371
Computershare Ltd. (2)		2,187		29,329
Crown Resorts Ltd. (2)		32,544		319,617
Goodman Group, REIT (2)		25,367		164,939
GPT Group (The), REIT (2)		42,925		157,321
LendLease Group (2)		2,927		39,242
Macquarie Group Ltd. (2)		6,289		501,467
Mirvac Group, REIT (2)		95,677		159,004
Newcrest Mining Ltd. (2)		9,181		138,473
Orica Ltd. (2)		28,261		389,003
Origin Energy Ltd. (2)*		48,239		325,545
Scentre Group, REIT (2)		45,435		134,074
South32 Ltd. (2)		59,634		149,871
Stockland, REIT (2)		49,658		154,084
Suncorp Group Ltd. (2)		22,240		229,371
Vicinity Centres, REIT (2)		79,436		147,648
Westfield Corp., REIT (2)		15,916		104,334
Woodside Petroleum Ltd. (2)		11,548		261,878
				7,033,500
Belgium - 0.8%
Ageas (2)		6,413		330,940
KBC Group NV (2)		2,210		192,444
Solvay SA (2)		3,864		537,017
UCB SA (2)		22,033		1,794,332
				2,854,733
Canada - 2.5%
Bank of Nova Scotia (The)		8,196		504,859
BlackBerry Ltd. *		50,051		575,352
Canadian Natural Resources Ltd.		7,213		226,745
CGI Group, Inc., Class A *		4,091		235,931
Constellation Software, Inc.		1,029		698,180
Crescent Point Energy Corp.		1,800		12,239
Dollarama, Inc.		9,782		1,188,857
Finning International, Inc.		26,616		641,875
Great-West Lifeco, Inc.		1,345		34,326
Husky Energy, Inc.		22,517		322,283
Industrial Alliance Insurance & Financial Services, Inc.		2,730		112,306
Linamar Corp.		7,313		399,495
Magna International, Inc.		8,341		469,831
Manulife Financial Corp.		33,048		613,582
Methanex Corp. (b)		14,585		883,578
Power Corp. of Canada		1,646		37,562
RioCan REIT		6,747		123,801
Royal Bank of Canada		2,575		198,909
Suncor Energy, Inc.		9,861		340,525
Teck Resources Ltd., Class B		20,803		535,758

INVESTMENTS	SHARES		VALUE
Canada - 2.5% (continued)
West Fraser Timber Co. Ltd.		12,865	$	854,871
				9,010,865
China - 0.0% (c)
Yangzijiang Shipbuilding Holdings Ltd. (2)		100,800		93,883
Denmark - 0.9%
Carlsberg A/S, Class B (2)		811		96,829
Danske Bank A/S (2)		18,391		689,079
Novo Nordisk A/S, Class B (2)		38,784		1,907,624
TDC A/S (2)*		33,763		279,780
Vestas Wind Systems A/S (2)		1,813		129,724
				3,103,036
Finland - 0.5%
Neste OYJ (2)		3,955		275,288
Nokia OYJ (2)		18,004		99,420
UPM-Kymmene OYJ (2)*		38,411		1,424,044
				1,798,752
France - 3.8%
Aeroports de Paris (2)		1,274		277,556
Atos SE (2)		5,553		760,812
BNP Paribas SA (2)		3,621		268,536
Bouygues SA (2)		2,491		124,894
Capgemini SE (2)		5,918		738,416
Cie de Saint-Gobain (2)		29,662		1,566,303
Cie Generale des Etablissements Michelin SCA (2)		10,353		1,532,686
CNP Assurances (2)		14,403		363,592
Eiffage SA (2)		1,033		117,650
Engie SA (2)		92,951		1,552,141
Eutelsat Communications SA (2)		9,778		193,804
Imerys SA (2)		1,133		110,109
Klepierre SA, REIT (2)		2,812		113,344
Peugeot SA (2)		81,324		1,958,233
Renault SA (2)		8,575		1,040,558
Safran SA (2)		1,352		143,487
Sanofi (2)		14,435		1,158,266
Thales SA (2)		3,231		393,612
TOTAL SA (2)		22,786		1,306,086
Unibail-Rodamco SE, REIT (2)		614		140,328
				13,860,413
Germany - 3.5%
Allianz SE (Registered) (2)		3,328		752,318
BASF SE (2)		18,988		1,925,713
Bayer AG (Registered) (2)		1,637		184,545
Bayerische Motoren Werke AG (2)		10,044		1,092,484
Continental AG (2)		1,570		433,652
Covestro AG (2)(d)		28,695		2,825,514
Daimler AG (Registered) (2)*		1,618		137,854
Deutsche Lufthansa AG (Registered) (2)		36,174		1,156,393
Fresenius SE & Co. KGaA (2)		1,365		104,374
HeidelbergCement AG (2)		4,338		426,174
Infineon Technologies AG (2)		5,507		148,101
Linde AG (2)*		1,365		288,437
OSRAM Licht AG (2)		5,882		432,840
Porsche Automobil Holding SE (Preference) (2)		865		72,105

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

AQR Funds Semi-Annual Report March 2018

109

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Germany - 3.5% (continued)
SAP SE (2)		4,315	$	452,997
Schaeffler AG (Preference) (2)		45,156		697,390
TUI AG (2)		23,465		503,174
United Internet AG (Registered) (2)		7,146		450,274
Volkswagen AG (Preference) (2)		2,302		458,821
				12,543,160
Hong Kong - 0.9%
ASM Pacific Technology Ltd. (2)		1,082		15,244
CK Asset Holdings Ltd. (2)		31,201		263,308
CK Infrastructure Holdings Ltd. (2)		2,749		22,532
Henderson Land Development Co. Ltd. (2)		86,000		563,908
Hong Kong Exchanges & Clearing Ltd. (2)		5,269		173,545
Kerry Properties Ltd. (2)		112,000		506,463
Li & Fung Ltd. (2)		430,000		211,980
Link REIT (2)		18,329		157,111
New World Development Co. Ltd. (2)		106,000		151,077
PCCW Ltd. (2)		19,406		11,263
Shangri-La Asia Ltd. (2)		64,000		129,949
Sino Land Co. Ltd. (2)		84,000		136,151
Sun Hung Kai Properties Ltd. (2)		34,000		539,680
Wharf Holdings Ltd. (The) (2)		40,000		138,492
Wharf Real Estate Investment Co. Ltd. (2)*		7,000		45,755
Wheelock & Co. Ltd. (2)		35,000		256,727
				3,323,185
Italy - 0.9%
Eni SpA (2)		70,558		1,242,898
Intesa Sanpaolo SpA (2)		26,399		96,119
Mediobanca Banca di Credito Finanziario SpA (2)		22,721		267,117
Poste Italiane SpA (2)(d)		44,604		407,429
UniCredit SpA (2)*		63,065		1,318,130
				3,331,693
Japan - 7.5%
Aeon Mall Co. Ltd.		700		14,670
Aisin Seiki Co. Ltd.		5,300		287,900
Alfresa Holdings Corp.		6,200		137,978
Amada Holdings Co. Ltd.		12,500		151,779
ANA Holdings, Inc.		11,800		456,674
Astellas Pharma, Inc.		40,000		606,738
Bandai Namco Holdings, Inc.		5,200		170,800
Brother Industries Ltd.		8,500		197,552
Credit Saison Co. Ltd.		13,000		213,439
Daicel Corp.		25,900		282,842
Daifuku Co. Ltd.		3,500		209,530
Daito Trust Construction Co. Ltd.		486		83,995
Daiwa House Industry Co. Ltd.		2,451		94,442
FANUC Corp.		500		126,686
Fuji Electric Co. Ltd.		16,000		108,867
Fujitsu Ltd.		61,115		376,092
Hino Motors Ltd.		9,400		120,940
Hitachi High-Technologies Corp.		3,258		154,931
Hitachi Ltd.		175,000		1,267,705
Hulic Co. Ltd.		1,500		16,367
Idemitsu Kosan Co. Ltd.		6,700		254,701
Inpex Corp.		13,200		163,255
Isuzu Motors Ltd.		27,800		426,386

INVESTMENTS	SHARES		VALUE
Japan - 7.5% (continued)
ITOCHU Corp.		7,900	$	153,427
Japan Airlines Co. Ltd.		46,200		1,859,203
Japan Real Estate Investment Corp., REIT		30		155,350
Japan Retail Fund Investment Corp., REIT		64		122,821
JFE Holdings, Inc.		5,500		110,796
JXTG Holdings, Inc.		129,800		785,229
Kajima Corp.		63,000		584,380
Kamigumi Co. Ltd.		9,000		200,968
Kao Corp.		3,500		262,521
Keyence Corp.		200		124,130
Konami Holdings Corp.		2,500		131,338
Kyushu Railway Co.		5,800		180,424
Marubeni Corp.		39,900		288,699
Mazda Motor Corp.		26,400		348,965
McDonald’s Holdings Co. Japan Ltd.		2,600		121,686
Mebuki Financial Group, Inc.		52,800		202,953
Mitsubishi Corp.		13,600		365,802
Mitsubishi Estate Co. Ltd.		5,764		97,425
Mitsubishi Gas Chemical Co., Inc.		10,400		249,139
Mitsubishi UFJ Financial Group, Inc.		23,200		151,970
Mitsui & Co. Ltd.		12,100		207,248
Mitsui Fudosan Co. Ltd.		4,598		111,552
Mixi, Inc.		4,200		155,124
MS&AD Insurance Group Holdings, Inc.		7,500		236,479
Nexon Co. Ltd. *		40,800		674,856
Nintendo Co. Ltd.		500		220,196
Nippon Building Fund, Inc., REIT		21		116,047
Nippon Express Co. Ltd.		4,600		307,805
Nippon Telegraph & Telephone Corp.		22,296		1,026,741
NOK Corp.		18,900		366,970
Nomura Real Estate Holdings, Inc.		1,000		23,608
Nomura Real Estate Master Fund, Inc., REIT		70		96,574
NTT DOCOMO, Inc.		5,300		135,308
Obayashi Corp.		44,500		486,800
Omron Corp.		6,900		405,940
Oracle Corp. Japan		3,100		252,009
ORIX Corp.		44,100		777,723
Otsuka Corp.		7,200		362,690
Panasonic Corp.		8,200		117,214
Persol Holdings Co. Ltd.		17,600		511,931
Pola Orbis Holdings, Inc.		4,400		180,292
Resona Holdings, Inc.		49,800		263,029
Ryohin Keikaku Co. Ltd.		1,100		369,062
Shimadzu Corp.		7,200		202,457
Shimamura Co. Ltd.		900		112,579
Shionogi & Co. Ltd.		2,600		134,172
Shiseido Co. Ltd.		4,800		307,339
SMC Corp.		2,100		850,026
SoftBank Group Corp.		3,200		239,087
Sony Corp.		9,800		473,951
Start Today Co. Ltd.		14,700		392,626
Subaru Corp.		7,300		239,228
Sumitomo Corp.		6,400		107,724
Sumitomo Heavy Industries Ltd.		11,100		420,925
Sumitomo Realty & Development Co. Ltd.		2,624		97,039
Sundrug Co. Ltd.		2,100		97,002
Suzuki Motor Corp.		4,100		220,789
Taisei Corp.		16,400		832,292

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

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110

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Japan - 7.5% (continued)
THK Co. Ltd.		7,800	$	322,541
Tokyo Electron Ltd.		3,500		658,357
Tokyo Tatemono Co. Ltd.		1,200		18,078
Tokyu Fudosan Holdings Corp.		2,900		21,122
Tosoh Corp.		29,700		582,807
Toyota Motor Corp.		3,400		218,082
Yamaha Motor Co. Ltd.		18,400		549,899
				26,924,815
Macau - 0.1%
Wynn Macau Ltd. (2)		114,800		420,769
Netherlands - 1.9%
Akzo Nobel NV (2)		3,287		310,565
ASML Holding NV (2)		1,683		333,728
ING Groep NV (2)		19,668		331,902
Koninklijke Ahold Delhaize NV (2)		50,984		1,208,113
Koninklijke DSM NV (2)		16,175		1,607,746
Koninklijke Philips NV (2)		22,762		871,603
NN Group NV (2)		4,798		213,175
Randstad Holding NV (2)		6,564		432,305
Royal Dutch Shell plc, Class A (2)		15,434		488,309
Royal Dutch Shell plc, Class B (2)		22,741		731,770
Wolters Kluwer NV (2)		3,197		170,032
				6,699,248
Singapore - 0.2%
Genting Singapore plc (2)		840,300		696,964
Sembcorp Industries Ltd. (2)		4,477		10,707
Singapore Airlines Ltd. (2)		14,000		116,335
Singapore Exchange Ltd. (2)		4,067		22,960
				846,966
South Africa - 0.1%
Investec plc (2)		30,286		234,060
Spain - 1.1%
Amadeus IT Group SA (2)		4,636		343,079
Banco Bilbao Vizcaya Argentaria SA (2)		215,803		1,709,067
Banco Santander SA (2)		81,469		533,245
Endesa SA (2)		9,926		218,672
Mapfre SA (2)		296,971		988,018
				3,792,081
Sweden - 0.9%
Boliden AB (2)		14,446		508,332
Electrolux AB, Series B (2)		37,418		1,181,641
Essity AB, Class B (2)*		11,686		323,856
Investor AB, Class B (2)		2,204		97,910
Kinnevik AB, Class B (2)		1,380		49,857
Sandvik AB (2)		14,227		260,656
SKF AB, Class B (2)		6,938		142,139
Swedish Match AB (2)		3,083		139,715
Telefonaktiebolaget LM Ericsson, Class B (2)		19,539		124,424
Volvo AB, Class B (2)		31,737		580,926
				3,409,456
Switzerland - 2.8%
ABB Ltd. (Registered) (2)		10,770		256,091

INVESTMENTS	SHARES		VALUE
Switzerland - 2.8% (continued)
Adecco Group AG (Registered) (2)		30,030	$	2,139,039
Barry Callebaut AG (Registered) (2)		90		176,018
Coca-Cola HBC AG (2)*		12,053		446,041
Julius Baer Group Ltd. (2)*		7,832		481,993
Nestle SA (Registered) (2)		36,288		2,868,260
Novartis AG (Registered) (2)		3,559		287,855
Partners Group Holding AG (2)		366		272,350
Roche Holding AG (2)		4,379		1,004,530
Sika AG (2)		104		815,792
Swiss Life Holding AG (Registered) (2)*		2,281		812,874
Swiss Re AG (2)		1,625		165,858
Zurich Insurance Group AG (2)*		818		269,827
				9,996,528
United Kingdom - 4.8%
3i Group plc (2)		9,545		115,207
Associated British Foods plc (2)		39,272		1,373,009
Aviva plc (2)		54,011		376,948
Barclays plc (2)		409,321		1,196,080
Barratt Developments plc (2)		28,119		209,242
Berkeley Group Holdings plc (2)		30,032		1,596,487
BP plc (2)		15,588		105,143
British Land Co. plc (The), REIT (2)		12,747		114,906
BT Group plc (2)		238,061		759,846
easyJet plc (2)		35,726		805,332
Fiat Chrysler Automobiles NV (2)*		27,568		562,285
GKN plc (2)		22,400		145,194
Hammerson plc, REIT (2)		17,591		132,605
International Consolidated Airlines Group SA (2)		52,371		453,421
Land Securities Group plc, REIT (2)		8,112		106,729
Lloyds Banking Group plc (2)		1,491,123		1,356,365
Next plc (2)		6,751		451,298
Old Mutual plc (2)		127,497		429,014
Persimmon plc (2)		29,815		1,058,201
Randgold Resources Ltd. (2)		867		72,027
Rio Tinto plc (2)		18,561		941,860
Royal Bank of Scotland Group plc (2)*		233,310		848,741
Royal Mail plc (2)		89,166		676,750
SSE plc (2)		36,056		646,821
Standard Life Aberdeen plc (2)		301,147		1,520,094
Taylor Wimpey plc (2)		270,867		701,735
Unilever plc (2)		5,942		329,558
Vodafone Group plc (2)		69,344		189,727
				17,274,625
United States - 53.1%
AbbVie, Inc.		14,519		1,374,223
Accenture plc, Class A		4,002		614,307
Activision Blizzard, Inc.		5,098		343,911
Adobe Systems, Inc. *		9,112		1,968,921
Aetna, Inc.		3,218		543,842
Aflac, Inc.		21,000		918,960
AGCO Corp.		2,188		141,892
Agilent Technologies, Inc.		6,814		455,857
Akamai Technologies, Inc. *		3,355		238,138
Align Technology, Inc. *		817		205,173
Allstate Corp. (The)		12,210		1,157,508
Alphabet, Inc., Class A *		2,446		2,536,844

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

AQR Funds Semi-Annual Report March 2018

111

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
United States - 53.1% (continued)
Alphabet, Inc., Class C *		2,378	$	2,453,597
Altria Group, Inc.		4,737		295,210
Amazon.com, Inc. *		2,674		3,870,187
AMERCO		294		101,459
Ameren Corp.		2,680		151,768
American Electric Power Co., Inc.		16,124		1,105,945
American Express Co.		1,115		104,007
American Financial Group, Inc.		1,551		174,053
American Tower Corp., REIT		4,396		638,915
Ameriprise Financial, Inc.		3,102		458,910
AmerisourceBergen Corp.		2,000		172,420
Amgen, Inc.		5,649		963,042
Annaly Capital Management, Inc., REIT		9,041		94,298
ANSYS, Inc. *		1,830		286,743
Anthem, Inc.		4,426		972,392
Apple, Inc.		38,159		6,402,318
Applied Materials, Inc.		47,109		2,619,731
Assurant, Inc.		9,456		864,373
AT&T, Inc.		9,095		324,237
Athene Holding Ltd., Class A *		5,134		245,457
AutoZone, Inc. *		729		472,895
AvalonBay Communities, Inc., REIT		811		133,377
Avery Dennison Corp.		1,151		122,294
Bank of America Corp.		17,542		526,085
Baxter International, Inc.		4,597		298,989
Berkshire Hathaway, Inc., Class B *		9,984		1,991,608
Best Buy Co., Inc.		12,348		864,237
Biogen, Inc. *		4,835		1,323,920
Boeing Co. (The)		9,130		2,993,544
Boston Properties, Inc., REIT		1,213		149,466
Bristol-Myers Squibb Co.		19,120		1,209,340
Broadcom Ltd.		904		213,028
Bunge Ltd.		906		66,990
Cadence Design Systems, Inc. *		15,541		571,443
Capital One Financial Corp.		1,574		150,821
Carnival Corp.		17,356		1,138,206
Caterpillar, Inc.		5,064		746,332
CDK Global, Inc.		3,014		190,907
Celanese Corp., Series A		7,724		774,022
Celgene Corp. *		21,226		1,893,571
Centene Corp. *		5,622		600,823
Chemours Co. (The)		2,721		132,540
Chevron Corp.		2,249		256,476
Cigna Corp.		10,431		1,749,696
Cisco Systems, Inc.		6,756		289,765
Citigroup, Inc.		6,225		420,188
Citizens Financial Group, Inc.		17,358		728,689
Cognizant Technology Solutions Corp., Class A		4,982		401,051
Colgate-Palmolive Co.		9,327		668,559
Comcast Corp., Class A		38,315		1,309,224
Conagra Brands, Inc.		4,422		163,083
Consolidated Edison, Inc.		17,699		1,379,460
Constellation Brands, Inc., Class A		1,701		387,692
Costco Wholesale Corp.		3,664		690,408
Crown Castle International Corp., REIT		1,970		215,932
Crown Holdings, Inc. *		3,806		193,155
Cummins, Inc.		3,447		558,724
Darden Restaurants, Inc.		18,453		1,573,118

INVESTMENTS		SHARES		VALUE
United States - 53.1% (continued)
Deere & Co.			1,595	$	247,735
Delta Air Lines, Inc.			23,807		1,304,862
Devon Energy Corp.			9,633		306,233
Discover Financial Services			10,625		764,256
Dollar General Corp.			1,624		151,925
DR Horton, Inc.			27,229		1,193,719
DXC Technology Co.			12,497		1,256,323
Eaton Corp. plc			6,200		495,442
eBay, Inc. *			15,126		608,670
Electronic Arts, Inc. *			8,474		1,027,388
Eli Lilly & Co.			5,464		422,750
Equinix, Inc., REIT			445		186,072
Equity Residential, REIT			2,048		126,198
Essex Property Trust, Inc., REIT			720		173,290
Estee Lauder Cos., Inc. (The), Class A			2,097		313,963
Everest Re Group Ltd.			2,120		544,458
Exelon Corp.			40,352		1,574,132
Express Scripts Holding Co. *			8,113		560,446
Exxon Mobil Corp.			12,860		959,485
F5 Networks, Inc. *			3,218		465,355
Facebook, Inc., Class A *			23,070		3,686,355
FLIR Systems, Inc.			8,075		403,831
FNF Group			38,455		1,538,969
Fortinet, Inc. *			2,619		140,326
Franklin Resources, Inc.			13,258		459,787
Freeport-McMoRan, Inc. *			56,696		996,149
Gap, Inc. (The)			13,076		407,971
General Dynamics Corp.			3,341		738,027
General Motors Co.			3,412		123,992
GGP, Inc., REIT			3,709		75,886
Gilead Sciences, Inc.			23,005		1,734,347
Harris Corp.			1,243		200,471
HD Supply Holdings, Inc. *			40,471		1,535,470
HollyFrontier Corp.			10,822		528,763
Home Depot, Inc. (The)			12,206		2,175,597
Honeywell International, Inc.			7,769		1,122,698
Host Hotels & Resorts, Inc., REIT			5,400		100,656
HP, Inc.			34,264		751,067
Humana, Inc.			7,894		2,122,144
Huntington Ingalls Industries, Inc.			3,693		951,908
IAC/InterActiveCorp *			2,860		447,247
Ingersoll-Rand plc			4,220		360,852
Intel Corp.			40,892		2,129,655
International Business Machines Corp.			10,815		1,659,345
Intuit, Inc.			1,381		239,396
Intuitive Surgical, Inc. *			540		222,928
Invesco Ltd.			22,606		723,618
Johnson & Johnson			18,743		2,401,915
JPMorgan Chase & Co.			33,142		3,644,626
Juniper Networks, Inc.			3,919		95,349
KeyCorp			9,757		190,749
KLA-Tencor Corp.			8,121		885,270
Kohl’s Corp.	��		11,937		781,993
L3 Technologies, Inc.			2,773		576,784
Lam Research Corp.			3,616		734,627
Las Vegas Sands Corp.			21,245		1,527,516
Lear Corp.			2,382		443,266
Lockheed Martin Corp.			2,739		925,590
Lowe’s Cos., Inc.			15,347		1,346,699

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

AQR Funds Semi-Annual Report March 2018

112

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
United States - 53.1% (continued)
Lululemon Athletica, Inc. *		7,246	$	645,764
LyondellBasell Industries NV, Class A		23,821		2,517,403
M&T Bank Corp.		5,685		1,048,087
ManpowerGroup, Inc.		2,361		271,751
Marathon Oil Corp.		32,756		528,354
Marathon Petroleum Corp.		13,575		992,468
Mastercard, Inc., Class A		3,183		557,534
Maxim Integrated Products, Inc.		6,156		370,714
McDonald’s Corp.		4,124		644,911
McKesson Corp.		5,635		793,802
Medtronic plc		2,556		205,042
Merck & Co., Inc.		33,037		1,799,525
Michael Kors Holdings Ltd. *		25,869		1,605,948
Micron Technology, Inc. *		50,882		2,652,987
Microsoft Corp.		64,352		5,873,407
Mondelez International, Inc., Class A		3,404		142,049
Monsanto Co.		1,679		195,923
Monster Beverage Corp. *		6,559		375,240
Newell Brands, Inc.		21,557		549,272
Newmont Mining Corp.		3,747		146,395
NextEra Energy, Inc.		2,266		370,106
Norfolk Southern Corp.		9,004		1,222,563
Northrop Grumman Corp.		4,769		1,664,953
NVIDIA Corp.		4,925		1,140,581
NVR, Inc. *		350		980,000
Oracle Corp.		40,795		1,866,371
Owens Corning		1,899		152,680
PayPal Holdings, Inc. *		15,216		1,154,438
PepsiCo, Inc.		18,207		1,987,294
Pfizer, Inc.		44,933		1,594,672
Philip Morris International, Inc.		4,198		417,281
PNC Financial Services Group, Inc. (The)		9,060		1,370,234
Procter & Gamble Co. (The)		17,237		1,366,549
Progressive Corp. (The)		3,568		217,398
Prologis, Inc., REIT		2,980		187,710
Prudential Financial, Inc.		1,613		167,026
Public Service Enterprise Group, Inc.		17,196		863,927
Public Storage, REIT		2,236		448,072
QUALCOMM, Inc.		3,284		181,966
Raytheon Co.		9,452		2,039,931
Regeneron Pharmaceuticals, Inc. *		2,689		925,984
Reinsurance Group of America, Inc.		6,562		1,010,548
Robert Half International, Inc.		18,018		1,043,062
Ross Stores, Inc.		14,302		1,115,270
Royal Caribbean Cruises Ltd.		9,606		1,131,010
S&P Global, Inc.		1,101		210,357
SEI Investments Co.		3,972		297,543
Shire plc (2)		3,495		173,946
Simon Property Group, Inc., REIT		1,352		208,681
Skyworks Solutions, Inc.		11,484		1,151,386
Southwest Airlines Co.		47,276		2,707,969
State Street Corp.		1,874		186,894
Steel Dynamics, Inc.		29,136		1,288,394
SunTrust Banks, Inc.		2,324		158,125
Synchrony Financial		30,930		1,037,083
T. Rowe Price Group, Inc.		7,284		786,453
Take-Two Interactive Software, Inc. *		2,570		251,295
Target Corp.		10,628		737,902
TE Connectivity Ltd.		1,521		151,948

INVESTMENTS	SHARES		VALUE
United States - 53.1% (continued)
Texas Instruments, Inc.		5,811	$	603,705
Time Warner, Inc.		3,000		283,740
TJX Cos., Inc. (The)		14,185		1,156,929
Total System Services, Inc.		13,311		1,148,207
Travelers Cos., Inc. (The)		12,124		1,683,539
Twitter, Inc. *		22,330		647,793
Tyson Foods, Inc., Class A		14,087		1,031,028
UGI Corp.		7,037		312,584
United Continental Holdings, Inc. *		1,790		124,351
United Rentals, Inc. *		2,528		436,661
United Technologies Corp.		2,662		334,933
United Therapeutics Corp. *		2,827		317,642
UnitedHealth Group, Inc.		11,208		2,398,512
US Bancorp		19,805		1,000,153
Valeant Pharmaceuticals International, Inc. *		1,474		23,465
Valero Energy Corp.		6,803		631,114
Ventas, Inc., REIT		2,800		138,684
Verizon Communications, Inc.		19,680		941,098
Vertex Pharmaceuticals, Inc. *		7,242		1,180,301
Viacom, Inc., Class B		4,812		149,461
Visa, Inc., Class A(b)		4,367		522,381
Walgreens Boots Alliance, Inc.		5,038		329,838
Walmart, Inc.		21,252		1,890,790
Walt Disney Co. (The)		11,042		1,109,058
Waste Management, Inc.		17,721		1,490,691
Wells Fargo & Co.		16,493		864,398
Welltower, Inc., REIT		3,001		163,344
Western Digital Corp.		11,624		1,072,546
Weyerhaeuser Co., REIT		3,285		114,975
Whirlpool Corp.		6,809		1,042,526
Wynn Resorts Ltd.		1,891		344,843
Zoetis, Inc.		4,615		385,399
				191,921,704
TOTAL COMMON STOCKS (Cost $286,202,154)				318,473,472
SHORT-TERM INVESTMENTS - 9.8%
Investment Companies - 9.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.61% (2)(e)(f)		9,004,715		9,004,715
Limited Purpose Cash Investment Fund, 1.53% (2)(e)		26,355,673		26,350,402
TOTAL SHORT-TERM INVESTMENTS (Cost $35,354,443)				35,355,117
SECURITIES LENDING COLLATERAL - 0.1%
Investment Companies - 0.1%
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.55% (2)(e)(g)		32,140		32,140

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

AQR Funds Semi-Annual Report March 2018

113

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Investment Companies - 0.1% (continued)
Limited Purpose Cash Investment Fund, 1.53% (2)(e)(g)		240,221	$	240,221
TOTAL SECURITIES LENDING COLLATERAL (Cost $272,361)				272,361
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.2% (Cost $321,828,958)				354,100,950
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.8% (h)			6,332,335
NET ASSETS - 100.0%			$	360,433,285

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	51,157,623		14.2	%
Consumer Staples		17,934,527		5.0
Energy		11,487,735		3.2
Financials		47,131,328		13.1
Health Care		37,218,127		10.3
Industrials		45,935,603		12.7
Information Technology		63,196,828		17.5
Materials		23,625,146		6.5
Real Estate		8,681,382		2.4
Telecommunication Services		3,907,086		1.1
Utilities		8,198,087		2.3
Short-Term Investments		35,355,117		9.8
Securities Lending Collateral		272,361		0.1
Total Investments In Securities At Value		354,100,950		98.2
Other Assets in Excess of Liabilities (h)		6,332,335		1.8
Net Assets	$	360,433,285		100.0	%

* Non-income producing security.

(a) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all

such securities at March 31, 2018 amounted to $146, which represents approximately 0.00% of net assets of the fund.

(b) The security or a portion of this security is on loan at March 31, 2018. The total value of securities on loan at March 31, 2018 was $726,685.

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

(d) 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 March 31, 2018 amounted to $3,232,943, which represents approximately 0.90% of net assets of the fund.

(e) Represents 7-day effective yield as of March 31, 2018.

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

(g) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $471,546 was received (See Note 3).

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

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

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

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

Abbreviations

OYJ - Public Traded Company

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

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

Total return swap contracts outstanding as of March 31, 2018:

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Spain Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specified spread (-0.80%)

Monthly

JPMC

06/20/2018

EUR

(189,345

)

$2,373

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

AQR Funds Semi-Annual Report March 2018

114

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Japan Net Return Index

Decreases in total return of reference entity and pays the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread (0.15%)

Increases in total return of reference entity

Monthly

JPMC

06/25/2018

JPY

2,309,850,070

$ 145,322

MSCI Sweden Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Stockholm Interbank Offered Rate (“STIBOR”) plus or minus a specified spread (-4.50%)

Monthly

JPMC

06/20/2018

SEK

(21,622,481

)

47,611

Swiss Market Index June Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

06/15/2018

CHF

(11,691,920

)

196,390

391,696

Hang Seng Index April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

04/27/2018

HKD

66,110,000

(86,363

)

MSCI Italy Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (-2.00%)

Increases in total return of reference entity

Monthly

JPMC

06/22/2018

EUR

5,531,396

(74,840

)

MSCI Hong Kong Net Return Index

Decreases in total return of reference entity and pays the Hong Kong Interbank Offered Rate (“HIBOR”) plus or minus a specified spread (0.35%)

Increases in total return of reference entity

Monthly

JPMC

06/22/2018

HKD

21,609,417

(75,520

)

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the Singapore Swap Offered Rate (“SOR”) plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

JPMC

06/25/2018

SGD

725,944

(12,276

)

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

AQR Funds Semi-Annual Report March 2018

115

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

JPMC

06/25/2018

SGD

129,400

$ (226

)

(249,225

)

$142,471

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		16			4/2018	EUR		$2,078,968			$(16,733	)
Hang Seng Index		59			4/2018	HKD		11,295,337			(141,155	)
MSCI Singapore Index		9			4/2018	SGD		270,587			6,123
DAX Index		50			6/2018	EUR		18,640,549			(320,997	)
FTSE/MIB Index		45			6/2018	EUR		6,077,715			(96,191	)
S&P 500 E-Mini Index		3			6/2018	USD		396,450			(3,147	)
TOPIX Index		99			6/2018	JPY		15,970,443			177,405
											(394,695	)
Short Contracts
IBEX 35 Index		(74	)		4/2018	EUR		(8,714,984	)		86,044
OMXS30 Index		(300	)		4/2018	SEK		(5,475,580	)		75,365
FTSE 100 Index		(46	)		6/2018	GBP		(4,513,465	)		49,456
S&P/TSX 60 Index		(42	)		6/2018	CAD		(5,907,090	)		72,020
SPI 200 Index		(186	)		6/2018	AUD		(20,485,737	)		799,204
											1,082,089
											$687,394

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

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116

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

Forward foreign currency contracts outstanding as of March 31, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	3,640,900	USD	2,820,696	CITG		6/20/2018		$9,540
CAD	5,461,350	USD	4,231,049	JPMC		6/20/2018		14,304
GBP	705,600	USD	989,855	CITG		6/20/2018		3,392
GBP	1,058,400	USD	1,485,208	JPMC		6/20/2018		4,664
JPY	1,907,469,300	USD	17,972,392	CITG		6/20/2018		48,552
JPY	2,861,203,950	USD	26,958,621	JPMC		6/20/2018		72,795
SEK	2,800	USD	337	CITG		6/20/2018		1
SEK	4,200	USD	505	JPMC		6/20/2018		1
SGD	401,200	USD	305,207	CITG		6/20/2018		1,347
SGD	601,800	USD	457,812	JPMC		6/20/2018		2,018
USD	1,585,229	AUD	2,037,200	CITG		6/20/2018		20,248
USD	2,377,840	AUD	3,055,800	JPMC		6/20/2018		30,369
USD	700,503	CAD	899,600	CITG		6/20/2018		1,203
USD	1,052,480	CAD	1,349,400	JPMC		6/20/2018		3,531
USD	11,437,721	CHF	10,672,800	CITG		6/20/2018		198,308
USD	17,156,263	CHF	16,009,200	JPMC		6/20/2018		297,144
USD	556,731	DKK	3,332,800	CITG		6/20/2018		3,346
USD	835,096	DKK	4,999,200	JPMC		6/20/2018		5,018
USD	4,211,347	EUR	3,388,573	CITG		6/20/2018		17,286
USD	6,318,296	EUR	5,082,855	JPMC		6/20/2018		27,210
USD	447,484	GBP	316,400	CITG		6/20/2018		2,099
USD	671,225	GBP	474,600	JPMC		6/20/2018		3,147
USD	136,240	HKD	1,066,000	CITG		6/20/2018		58
USD	204,359	HKD	1,599,000	JPMC		6/20/2018		87
USD	1,974,048	JPY	208,392,400	CITG		6/20/2018		5,247
USD	2,961,069	JPY	312,588,600	JPMC		6/20/2018		7,867
USD	6,705,656	NOK	52,189,200	CITG		6/20/2018		31,104
USD	10,058,472	NOK	78,283,799	JPMC		6/20/2018		46,643
USD	175,666	NZD	239,400	CITG		6/20/2018		2,696
USD	263,499	NZD	359,100	JPMC		6/20/2018		4,044
USD	16,499,923	SEK	134,185,598	CITG		6/20/2018		333,873
USD	24,749,854	SEK	201,278,403	JPMC		6/20/2018		500,779
Total unrealized appreciation								1,697,921
AUD	17,037,602	USD	13,310,113	CITG		6/20/2018		(221,796	)
AUD	25,556,398	USD	19,965,191	JPMC		6/20/2018		(332,712	)
CAD	10,751,100	USD	8,444,923	CITG		6/20/2018		(87,607	)
CAD	16,126,648	USD	12,667,398	JPMC		6/20/2018		(131,427	)
CHF	410,000	USD	438,746	CITG		6/20/2018		(6,979	)
CHF	615,000	USD	658,119	JPMC		6/20/2018		(10,470	)
DKK	1,809,200	USD	301,963	CITG		6/20/2018		(1,558	)
DKK	2,713,800	USD	452,945	JPMC		6/20/2018		(2,340	)
EUR	1,668,400	USD	2,077,324	CITG		6/20/2018		(12,334	)
EUR	2,502,600	USD	3,115,990	JPMC		6/20/2018		(18,504	)
GBP	2,986,400	USD	4,220,011	CITG		6/20/2018		(16,163	)
GBP	4,479,600	USD	6,330,025	JPMC		6/20/2018		(24,253	)
HKD	4,570,400	USD	585,799	CITG		6/20/2018		(1,929	)
HKD	6,855,600	USD	878,700	JPMC		6/20/2018		(2,895	)
ILS	895,600	USD	259,067	CITG		6/20/2018		(2,506	)
ILS	1,343,399	USD	388,601	JPMC		6/20/2018		(3,761	)
JPY	646,873,500	USD	6,146,016	CITG		6/20/2018		(34,636	)
JPY	970,310,250	USD	9,219,036	JPMC		6/20/2018		(51,964	)
NOK	11,923,600	USD	1,543,616	CITG		6/20/2018		(18,689	)

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

AQR Funds Semi-Annual Report March 2018

117

Schedule of Investments March 31, 2018 (Unaudited)

AQR GLOBAL EQUITY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
NOK	17,885,400	USD	2,318,191	JPMC		6/20/2018		$ (30,802	)
NZD	2,880,800	USD	2,089,031	CITG		6/20/2018		(7,614	)
NZD	4,321,200	USD	3,135,064	JPMC		6/20/2018		(12,937	)
SEK	3,862,400	USD	475,887	CITG		6/20/2018		(10,563	)
SEK	5,793,600	USD	713,832	JPMC		6/20/2018		(15,846	)
SGD	119,600	USD	91,513	CITG		6/20/2018		(128	)
SGD	179,400	USD	137,270	JPMC		6/20/2018		(192	)
USD	9,207	AUD	12,000	CITG		6/20/2018		(12	)
USD	13,810	AUD	18,000	JPMC		6/20/2018		(18	)
USD	75,331	CAD	97,200	CITG		6/20/2018		(227	)
USD	112,997	CAD	145,800	JPMC		6/20/2018		(340	)
USD	421	CHF	400	CITG		6/20/2018		—
USD	631	CHF	600	JPMC		6/20/2018		—
USD	257,172	EUR	209,029	CITG		6/20/2018		(1,545	)
USD	385,756	EUR	313,543	JPMC		6/20/2018		(2,318	)
USD	7,851,158	GBP	5,630,000	CITG		6/20/2018		(73,991	)
USD	11,776,726	GBP	8,445,003	JPMC		6/20/2018		(111,000	)
USD	3,689,467	NOK	28,994,000	CITG		6/20/2018		(18,619	)
USD	5,534,193	NOK	43,491,000	JPMC		6/20/2018		(27,935	)
USD	172,923	NZD	239,400	CITG		6/20/2018		(46	)
USD	259,384	NZD	359,099	JPMC		6/20/2018		(70	)
USD	51,104	SGD	67,200	CITG		6/20/2018		(243	)
USD	76,656	SGD	100,800	JPMC		6/20/2018		(364	)
Total unrealized depreciation								(1,297,333	)
Net unrealized appreciation							$	400,588

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

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
BARC
Cash		$—		$6,022,766		$6,022,766
CITG
Investment Companies		250,735		—		250,735
JPMC
Investment Companies		8,503,245		—		8,503,245

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

AQR Funds Semi-Annual Report March 2018

118

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 87.6%
Australia - 5.8%
Alumina Ltd.		301,596	$	553,379
Aristocrat Leisure Ltd.		9,906		184,950
ASX Ltd.		5,022		217,641
Aurizon Holdings Ltd.		653,592		2,144,235
Australia & New Zealand Banking Group Ltd.		95,561		1,988,945
BGP Holdings plc (3)*(a)		143,427		217
BHP Billiton Ltd.		92,900		2,059,176
BHP Billiton plc		132,407		2,616,787
BlueScope Steel Ltd.		111,611		1,313,123
Caltex Australia Ltd.		21,781		529,084
CIMIC Group Ltd.		88,689		3,052,459
Computershare Ltd.		7,538		101,088
Crown Resorts Ltd.		111,048		1,090,609
Dexus, REIT		23,093		166,287
Goodman Group, REIT		54,028		351,297
GPT Group (The), REIT		55,477		203,324
LendLease Group		24,576		329,491
Macquarie Group Ltd.		14,309		1,140,959
Mirvac Group, REIT		104,753		174,088
National Australia Bank Ltd.		44,356		979,227
Newcrest Mining Ltd.		104,439		1,575,211
Orica Ltd.		40,989		564,200
Origin Energy Ltd. *		142,859		964,096
QBE Insurance Group Ltd.		55,157		411,511
Scentre Group, REIT		147,628		435,636
South32 Ltd.		361,938		909,614
Stockland, REIT		62,453		193,786
Suncorp Group Ltd.		110,112		1,135,636
Telstra Corp. Ltd.		103,664		250,937
Vicinity Centres, REIT		94,695		176,010
Westfield Corp., REIT		57,863		379,309
				26,192,312
Belgium - 1.4%
Ageas		44,877		2,315,858
Groupe Bruxelles Lambert SA		1,290		147,542
Solvay SA		4,032		560,366
UCB SA		41,527		3,381,890
				6,405,656
Chile - 0.1%
Antofagasta plc		18,485		238,990
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd.		867,100		807,602
Denmark - 1.9%
Novo Nordisk A/S, Class B		139,039		6,838,754
TDC A/S *		46,794		387,762
Vestas Wind Systems A/S		19,847		1,420,091
				8,646,607
Finland - 1.3%
Fortum OYJ		23,631		507,665
Neste OYJ		22,114		1,539,246
Nokia OYJ		154,752		854,559
Sampo OYJ, Class A		3,456		192,543

INVESTMENTS	SHARES		VALUE
Finland - 1.3% (continued)
UPM-Kymmene OYJ *		79,524	$	2,948,260
				6,042,273
France - 9.8%
Aeroports de Paris		1,301		283,438
Arkema SA		2,900		378,592
Atos SE		24,942		3,417,285
BNP Paribas SA		21,981		1,630,127
Bouygues SA		9,862		494,463
Capgemini SE		18,652		2,327,294
Cie de Saint-Gobain		48,750		2,574,245
Cie Generale des Etablissements Michelin SCA		34,286		5,075,794
CNP Assurances		27,886		703,960
Dassault Systemes SE		2,653		360,791
Engie SA		254,544		4,250,501
Eutelsat Communications SA		17,281		342,517
Kering SA		2,779		1,332,856
Klepierre SA, REIT		3,302		133,094
Peugeot SA		245,997		5,923,457
Renault SA		8,842		1,072,957
Safran SA		9,612		1,020,118
Sanofi		46,853		3,759,489
Schneider Electric SE		1,683		148,207
Sodexo SA		11,837		1,191,371
Thales SA		31,320		3,815,510
TOTAL SA		40,953		2,347,413
Unibail-Rodamco SE, REIT		3,742		855,222
Vinci SA		7,672		755,654
				44,194,355
Germany - 9.0%
Allianz SE (Registered)		15,579		3,521,745
BASF SE		44,207		4,483,357
Bayer AG (Registered)		15,498		1,747,148
Bayerische Motoren Werke AG		24,061		2,617,109
Continental AG		7,054		1,948,396
Covestro AG(b)		63,535		6,256,108
Deutsche Boerse AG		5,074		693,633
Deutsche Lufthansa AG (Registered)		117,771		3,764,848
Deutsche Wohnen SE		9,934		463,520
Fresenius SE & Co. KGaA		10,315		788,735
HeidelbergCement AG		21,056		2,068,583
HOCHTIEF AG		1,142		213,473
Infineon Technologies AG		30,967		832,803
Linde AG *		5,612		1,185,868
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		1,596		371,136
OSRAM Licht AG		44,321		3,261,460
Porsche Automobil Holding SE (Preference)		4,664		388,784
RWE AG *		11,178		276,300
SAP SE		21,503		2,257,425
Schaeffler AG (Preference)		72,376		1,117,776
Siemens AG (Registered)		942		120,197
TUI AG		59,587		1,277,760
United Internet AG (Registered)		9,795		617,189

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

AQR Funds Semi-Annual Report March 2018

119

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Germany - 9.0% (continued)
Vonovia SE		7,064	$	350,302
				40,623,655
Hong Kong - 2.7%
ASM Pacific Technology Ltd.		6,904		97,266
CK Asset Holdings Ltd.		170,962		1,442,761
CK Infrastructure Holdings Ltd.		17,827		146,115
Galaxy Entertainment Group Ltd.		36,000		330,433
Hang Lung Properties Ltd.		56,000		131,433
Henderson Land Development Co. Ltd.		168,000		1,101,589
Hong Kong Exchanges & Clearing Ltd.		32,254		1,062,352
Kerry Properties Ltd.		457,000		2,066,547
Li & Fung Ltd.		1,188,000		585,656
Link REIT		67,882		581,866
NWS Holdings Ltd.		98,000		178,503
PCCW Ltd.		64,000		37,144
Sino Land Co. Ltd.		334,000		541,364
SJM Holdings Ltd.		200,000		175,219
Sun Hung Kai Properties Ltd.		105,000		1,666,662
Techtronic Industries Co. Ltd.		64,500		378,556
Wharf Holdings Ltd. (The)		44,000		152,341
Wharf Real Estate Investment Co. Ltd. *		42,000		274,528
Wheelock & Co. Ltd.		149,000		1,092,922
Yue Yuen Industrial Holdings Ltd.		50,109		200,760
				12,244,017
Italy - 2.0%
Enel SpA		162,920		996,942
Eni SpA		203,342		3,581,923
Intesa Sanpaolo SpA		57,384		208,935
Prysmian SpA		25,352		796,108
UniCredit SpA *		162,389		3,394,115
				8,978,023
Japan - 21.0%
Aisin Seiki Co. Ltd. (1)		9,700		526,911
Alfresa Holdings Corp. (1)		8,200		182,488
Amada Holdings Co. Ltd. (1)		54,400		660,540
ANA Holdings, Inc. (1)		30,300		1,172,646
Asahi Kasei Corp. (1)		32,100		422,047
Astellas Pharma, Inc. (1)		166,000		2,517,964
Bandai Namco Holdings, Inc. (1)		57,500		1,888,657
Brother Industries Ltd. (1)		63,500		1,475,828
Credit Saison Co. Ltd. (1)		10,800		177,319
Daicel Corp. (1)		31,700		346,181
Daifuku Co. Ltd. (1)		17,200		1,029,688
Daito Trust Construction Co. Ltd. (1)		2,487		429,829
Daiwa House Industry Co. Ltd. (1)		8,395		323,476
FANUC Corp. (1)		4,400		1,114,835
Fast Retailing Co. Ltd. (1)		1,000		406,372
Fuji Electric Co. Ltd. (1)		21,000		142,888
Fujitsu Ltd. (1)		190,000		1,169,231
Hitachi Construction Machinery Co. Ltd. (1)		4,900		189,037
Hitachi High-Technologies Corp. (1)		29,300		1,393,337
Hitachi Ltd. (1)		579,000		4,194,287
Hoya Corp. (1)		8,900		443,724
Hulic Co. Ltd. (1)		8,000		87,289
ITOCHU Corp. (1)		23,000		446,685

INVESTMENTS	SHARES		VALUE
Japan - 21.0% (continued)
Japan Airlines Co. Ltd. (1)		87,200	$	3,509,143
Japan Real Estate Investment Corp., REIT (1)		41		212,311
Japan Retail Fund Investment Corp., REIT (1)		73		140,093
JFE Holdings, Inc. (1)		23,100		465,343
JXTG Holdings, Inc. (1)		79,600		481,542
Kajima Corp. (1)		218,000		2,022,142
Kamigumi Co. Ltd. (1)		9,500		212,133
Kao Corp. (1)		14,300		1,072,584
KDDI Corp. (1)		7,900		201,686
Keyence Corp. (1)		1,000		620,648
Kirin Holdings Co. Ltd. (1)		8,200		218,284
Komatsu Ltd. (1)		9,300		310,015
Konami Holdings Corp. (1)		11,400		598,900
Kyocera Corp. (1)		9,500		536,046
Marubeni Corp. (1)		140,600		1,017,320
Mazda Motor Corp. (1)		121,900		1,611,319
McDonald’s Holdings Co. Japan Ltd. (1)		4,400		205,930
Mebuki Financial Group, Inc. (1)		168,600		648,065
MINEBEA MITSUMI, Inc. (1)		39,500		843,419
Mitsubishi Corp. (1)		26,300		707,397
Mitsubishi Electric Corp. (1)		42,100		673,212
Mitsubishi Estate Co. Ltd. (1)		38,020		642,629
Mitsubishi Gas Chemical Co., Inc. (1)		57,600		1,379,845
Mitsubishi UFJ Financial Group, Inc. (1)		239,991		1,572,048
Mitsui Fudosan Co. Ltd. (1)		29,205		708,545
Mixi, Inc. (1)		20,500		757,154
MS&AD Insurance Group Holdings, Inc. (1)		22,900		722,048
Nabtesco Corp. (1)		6,400		246,906
Nexon Co. Ltd. (1)*		158,200		2,616,719
Nintendo Co. Ltd. (1)		3,400		1,497,336
Nippon Building Fund, Inc., REIT (1)		41		226,568
Nippon Express Co. Ltd. (1)		34,700		2,321,921
Nippon Telegraph & Telephone Corp. (1)		86,138		3,966,695
NOK Corp. (1)		14,600		283,479
Nomura Real Estate Holdings, Inc. (1)		3,900		92,071
Nomura Research Institute Ltd. (1)		2,700		127,889
NTT DOCOMO, Inc. (1)		39,500		1,008,428
Obayashi Corp. (1)		61,600		673,863
Omron Corp. (1)		29,000		1,706,123
Oracle Corp. Japan (1)		1,800		146,328
Oriental Land Co. Ltd. (1)		14,100		1,439,749
ORIX Corp. (1)		56,600		998,166
Otsuka Corp. (1)		10,800		544,035
Panasonic Corp. (1)		10,600		151,521
Persol Holdings Co. Ltd. (1)		36,500		1,061,675
Pola Orbis Holdings, Inc. (1)		3,400		139,317
Recruit Holdings Co. Ltd. (1)		19,100		474,695
Resona Holdings, Inc. (1)		254,400		1,343,666
Rohm Co. Ltd. (1)		9,300		885,381
Sega Sammy Holdings, Inc. (1)		31,200		494,075
Seven & i Holdings Co. Ltd. (1)		19,100		819,251
Shimadzu Corp. (1)		38,800		1,091,016
Shimizu Corp. (1)		24,100		215,395
Shionogi & Co. Ltd. (1)		15,400		794,713
Shiseido Co. Ltd. (1)		29,800		1,908,063
SMC Corp. (1)		6,300		2,550,078

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

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120

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
Japan - 21.0% (continued)
SoftBank Group Corp. (1)		17,900	$	1,337,390
Sony Corp. (1)		63,000		3,046,831
Start Today Co. Ltd. (1)		10,800		288,460
Subaru Corp. (1)		35,021		1,147,674
SUMCO Corp. (1)		20,100		527,034
Sumitomo Corp. (1)		20,500		345,054
Sumitomo Heavy Industries Ltd. (1)		35,400		1,342,409
Sumitomo Mitsui Financial Group, Inc. (1)		23,636		990,266
Sumitomo Realty & Development Co. Ltd. (1)		12,261		453,428
Suzuki Motor Corp. (1)		3,900		210,018
Taisei Corp. (1)		41,900		2,126,404
THK Co. Ltd. (1)		34,100		1,410,084
Tokyo Electron Ltd. (1)		20,100		3,780,851
Tokyu Fudosan Holdings Corp. (1)		12,883		93,833
Toshiba Corp. (1)*		162,000		468,925
Tosoh Corp. (1)		62,100		1,218,597
Toyota Tsusho Corp. (1)		7,000		237,160
Trend Micro, Inc. (1)		5,300		316,292
Yamaha Motor Co. Ltd. (1)		55,000		1,643,720
Yaskawa Electric Corp. (1)		9,600		435,318
				94,075,930
Macau - 0.4%
Sands China Ltd.		127,600		693,421
Wynn Macau Ltd.		305,200		1,118,629
				1,812,050
Netherlands - 4.4%
ASML Holding NV		9,553		1,894,299
ING Groep NV		98,316		1,659,103
Koninklijke Ahold Delhaize NV		84,862		2,010,884
Koninklijke DSM NV		22,412		2,227,684
Koninklijke Philips NV		76,915		2,945,230
NN Group NV		50,305		2,235,050
Randstad Holding NV		2,493		164,189
Royal Dutch Shell plc, Class A		63,692		2,015,121
Royal Dutch Shell plc, Class B		96,178		3,094,858
Wolters Kluwer NV		29,912		1,590,866
				19,837,284
Singapore - 0.6%
Ascendas REIT		102,137		205,732
CapitaLand Commercial Trust, REIT		121,300		170,037
CapitaLand Mall Trust, REIT		120,594		191,964
Genting Singapore plc		1,993,900		1,653,787
Oversea-Chinese Banking Corp. Ltd.		18,600		183,229
Sembcorp Industries Ltd.		29,317		70,111
Singapore Exchange Ltd.		25,572		144,365
				2,619,225
South Africa - 0.5%
Investec plc		182,179		1,407,935
Mondi plc		25,901		696,170
				2,104,105
Spain - 2.7%
Abertis Infraestructuras SA		17,160		384,692
Amadeus IT Group SA		23,361		1,728,787
Banco Bilbao Vizcaya Argentaria SA		371,978		2,945,906

INVESTMENTS	SHARES		VALUE
Spain - 2.7% (continued)
Banco Santander SA		461,204	$	3,018,755
Endesa SA		63,425		1,397,265
Mapfre SA		801,027		2,665,005
				12,140,410
Sweden - 2.8%
Atlas Copco AB, Class B		6,481		253,055
Boliden AB		49,112		1,728,174
Electrolux AB, Series B		85,552		2,701,691
Essity AB, Class B *		24,061		666,807
Hexagon AB, Class B		6,823		407,258
Investor AB, Class B		9,454		419,980
Sandvik AB		62,054		1,136,905
SKF AB, Class B		8,792		180,122
Swedish Match AB		42,878		1,943,133
Telefonaktiebolaget LM Ericsson, Class B		83,473		531,553
Volvo AB, Class B		146,415		2,680,035
				12,648,713
Switzerland - 8.1%
ABB Ltd. (Registered)		122,802		2,920,011
Adecco Group AG (Registered)		53,868		3,837,020
Coca-Cola HBC AG *		76,543		2,832,602
Ferguson plc		3,224		242,477
Nestle SA (Registered)		120,741		9,543,552
Novartis AG (Registered)		23,837		1,927,957
Partners Group Holding AG		2,259		1,680,977
Roche Holding AG		25,284		5,800,077
Sika AG		482		3,780,883
Sonova Holding AG (Registered)		2,349		373,451
STMicroelectronics NV		15,860		352,944
Swatch Group AG (The)		404		178,263
Swiss Life Holding AG (Registered) *		2,130		759,063
Swiss Re AG		5,091		519,622
Zurich Insurance Group AG *		4,935		1,627,871
				36,376,770
United Kingdom - 12.6%
3i Group plc		29,271		353,297
Ashtead Group plc		56,782		1,548,260
Associated British Foods plc		85,066		2,974,037
Aviva plc		102,145		712,879
Barclays plc		2,006,033		5,861,842
Barratt Developments plc		262,490		1,953,271
Berkeley Group Holdings plc		18,363		976,169
BP plc		27,931		188,397
British Land Co. plc (The), REIT		28,168		253,916
BT Group plc		588,180		1,877,359
easyJet plc		33,485		754,816
Fiat Chrysler Automobiles NV *		80,262		1,637,047
GKN plc		77,863		504,697
Hammerson plc, REIT		24,134		181,928
HSBC Holdings plc		20,070		188,472
International Consolidated Airlines Group SA		296,506		2,567,109
ITV plc		57,018		115,420
Land Securities Group plc, REIT		21,547		283,493
Legal & General Group plc		66,268		240,106
Lloyds Banking Group plc		8,078,914		7,348,794

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

INVESTMENTS	SHARES		VALUE
United Kingdom - 12.6% (continued)
London Stock Exchange Group plc		8,751	$	506,707
Next plc		7,336		490,404
Old Mutual plc		57,049		191,964
Persimmon plc		130,054		4,615,908
Randgold Resources Ltd.		1,836		152,528
RELX NV		25,248		523,363
RELX plc		31,122		639,303
Rio Tinto Ltd.		12,593		713,422
Rio Tinto plc		73,906		3,750,290
Royal Bank of Scotland Group plc *		766,166		2,787,176
Royal Mail plc		416,581		3,161,759
RSA Insurance Group plc		30,956		274,068
Sky plc		35,934		654,433
Smith & Nephew plc		25,972		485,858
SSE plc		46,543		834,951
Standard Life Aberdeen plc		281,930		1,423,093
Tate & Lyle plc		96,853		739,728
Taylor Wimpey plc		776,589		2,011,908
Travis Perkins plc		11,095		192,366
Unilever plc		31,121		1,726,050
Vodafone Group plc		179,961		492,379
				56,888,967
United States - 0.3%
Shire plc		25,194		1,253,901
TOTAL COMMON STOCKS (Cost $350,583,279)				394,130,845
SHORT-TERM INVESTMENTS - 11.3%
Investment Companies - 11.3%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.61% (c)(d)		11,087,703		11,087,703
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.56% (c)(d)		2,756,617		2,756,617
Limited Purpose Cash Investment Fund, 1.53% (c)		36,832,845		36,825,479
TOTAL SHORT-TERM INVESTMENTS (Cost $50,666,139)				50,669,799
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.9% (Cost $401,249,418)				444,800,644
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% (e)				5,055,107
NET ASSETS - 100.0%			$	449,855,751

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	57,884,723		12.9	%
Consumer Staples		26,594,292		5.9
Energy		14,741,680		3.3
Financials		65,722,921		14.6
Health Care		33,241,378		7.4
Industrials		75,222,740		16.7
Information Technology		40,200,294		8.9
Materials		44,592,778		9.9
Real Estate		17,960,520		4.0
Telecommunication Services		9,559,780		2.1
Utilities		8,409,739		1.9
Short-Term Investments		50,669,799		11.3
Total Investments In Securities At Value		444,800,644		98.9
Other Assets in Excess of Liabilities (e)		5,055,107		1.1
Net Assets	$	449,855,751		100.0	%

* Non-income producing security.

(a) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at March 31, 2018 amounted to $217, which represents approximately 0.00% of net assets of the fund.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at March 31, 2018 amounted to $6,256,108, which represents approximately 1.39% of net assets of the fund.

(c) Represents 7-day effective yield as of March 31, 2018.

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

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

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

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

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

Abbreviations

OYJ - Public Traded Company

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

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

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

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122

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Total return swap contracts outstanding as of March 31, 2018:

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Australia Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Australian Bank-Bill Swap Reference Rate (“BBR”) plus or minus a specified spread (-0.10%)

Monthly

JPMC

06/20/2018

AUD

(1,375,187

)

$36,438

MSCI Netherlands Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the EURIBOR plus or minus a specified spread (-0.80%)

Monthly

JPMC

06/20/2018

EUR

(1,714,369

)

35,730

MSCI Japan Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.15%)

Increases in total return of reference entity

Monthly

JPMC

06/25/2018

JPY

1,176,817,235

74,039

MSCI Sweden Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the STIBOR plus or minus a specified spread (-4.50%)

Monthly

JPMC

06/20/2018

SEK

(16,458,349

)

36,240

Swiss Market Index June Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

06/15/2018

CHF

(22,868,020

)

387,626

Swiss Market Index June Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

JPMC

06/15/2018

CHF

(6,275,810

)

53,913

623,986

Hang Seng Index April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

JPMC

04/27/2018

HKD

103,672,500

(38,743

)

Hang Seng Index April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

04/27/2018

HKD

19,532,500

(27,861

)

MSCI Italy Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (-2.00%)

Increases in total return of reference entity

Monthly

JPMC

06/22/2018

EUR

3,343,589

(45,239

)

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

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123

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

JPMC

06/25/2018

SGD

133,956

$ (3,757

)

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

JPMC

06/25/2018

SGD

1,895,417

(23,175

)

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

JPMC

06/25/2018

SGD

129,400

(226

)

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

JPMC

06/25/2018

SGD

334,399

(4,567

)

MSCI Sweden Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the STIBOR plus or minus a specified spread (-4.50%)

Monthly

JPMC

06/20/2018

SEK

(1,250,104

)

(2,817

)

MSCI Sweden Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the STIBOR plus or minus a specified spread (-4.50%)

Monthly

JPMC

06/20/2018

SEK

(800,641

)

(86

)

(146,471

)

$477,515

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Hang Seng Index		76		4/2018	HKD		$14,549,926			$(177,545	)
MSCI Singapore Index		25		4/2018	SGD		751,630			10,363
DAX Index		43		6/2018	EUR		16,030,872			(263,539	)
FTSE 100 Index		20		6/2018	GBP		1,962,376			20,859
FTSE/MIB Index		111		6/2018	EUR		14,991,698			(256,229	)
TOPIX Index		289		6/2018	JPY		46,620,789			515,046
										(151,045	)
Short Contracts
Amsterdam Exchange Index		(17	)	4/2018	EUR		(2,208,904	)		3,299
CAC 40 10 Euro Index		(97	)	4/2018	EUR		(6,152,084	)		42,335
IBEX 35 Index		(114	)	4/2018	EUR		(13,425,787	)		116,272
OMXS30 Index		(516	)	4/2018	SEK		(9,417,998	)		188,234
SPI 200 Index		(142	)	6/2018	AUD		(15,639,648	)		585,712
										935,852
										$784,807

Forward foreign currency contracts outstanding as of March 31, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
GBP	397,600	USD	552,571	CITG		6/20/2018		$7,115
GBP	596,400	USD	828,858	JPMC		6/20/2018		10,673
JPY	3,039,819,240	USD	28,641,521	CITG		6/20/2018		77,375
JPY	4,559,728,860	USD	42,962,335	JPMC		6/20/2018		116,009
NZD	2,389,600	USD	1,725,204	CITG		6/20/2018		1,315
NZD	3,584,400	USD	2,587,810	JPMC		6/20/2018		1,969
SGD	1,045,720	USD	795,153	CITG		6/20/2018		3,871
SGD	1,568,580	USD	1,192,731	JPMC		6/20/2018		5,806
USD	3,144,371	AUD	4,058,800	CITG		6/20/2018		26,393
USD	4,716,551	AUD	6,088,200	JPMC		6/20/2018		39,583
USD	13,253,836	CHF	12,356,720	CITG		6/20/2018		241,105
USD	19,880,729	CHF	18,535,080	JPMC		6/20/2018		361,633
USD	348,146	DKK	2,085,600	CITG		6/20/2018		1,849
USD	522,219	DKK	3,128,400	JPMC		6/20/2018		2,773
USD	23,065,759	EUR	18,547,177	CITG		6/20/2018		109,788
USD	34,598,596	EUR	27,820,766	JPMC		6/20/2018		164,639
USD	247,614	GBP	174,400	CITG		6/20/2018		2,118
USD	371,420	GBP	261,600	JPMC		6/20/2018		3,176
USD	708,821	HKD	5,534,000	CITG		6/20/2018		1,851
USD	1,063,230	HKD	8,301,000	JPMC		6/20/2018		2,776
USD	1,964	ILS	6,800	CITG		6/20/2018		16
USD	2,945	ILS	10,200	JPMC		6/20/2018		23
USD	3,461,018	JPY	362,964,800	CITG		6/20/2018		31,883
USD	5,191,520	JPY	544,447,200	JPMC		6/20/2018		47,819

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

AQR Funds Semi-Annual Report March 2018

125

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	5,047,006	SEK	41,038,802	CITG		6/20/2018		$ 102,844
USD	7,570,498	SEK	61,558,198	JPMC		6/20/2018		154,256
Total unrealized appreciation								1,518,658
AUD	24,217,236	USD	18,912,023	CITG		6/20/2018		(308,294	)
AUD	36,325,864	USD	28,367,918	JPMC		6/20/2018		(462,318	)
CHF	768,000	USD	816,469	CITG		6/20/2018		(7,696	)
CHF	1,152,000	USD	1,224,705	JPMC		6/20/2018		(11,545	)
DKK	970,800	USD	161,958	CITG		6/20/2018		(765	)
DKK	1,456,200	USD	242,938	JPMC		6/20/2018		(1,147	)
EUR	7,292,800	USD	9,044,998	CITG		6/20/2018		(18,649	)
EUR	10,939,200	USD	13,567,514	JPMC		6/20/2018		(27,991	)
GBP	5,665,600	USD	8,005,925	CITG		6/20/2018		(30,663	)
GBP	8,498,400	USD	12,008,903	JPMC		6/20/2018		(46,010	)
HKD	12,297,600	USD	1,575,808	CITG		6/20/2018		(4,787	)
HKD	18,446,400	USD	2,363,715	JPMC		6/20/2018		(7,183	)
ILS	3,014,002	USD	871,883	CITG		6/20/2018		(8,467	)
ILS	4,520,998	USD	1,307,824	JPMC		6/20/2018		(12,702	)
JPY	1,013,273,080	USD	9,627,822	CITG		6/20/2018		(54,855	)
JPY	1,519,909,620	USD	14,441,751	JPMC		6/20/2018		(82,302	)
NZD	2,988,400	USD	2,179,083	CITG		6/20/2018		(19,922	)
NZD	4,482,600	USD	3,268,629	JPMC		6/20/2018		(29,889	)
SEK	3,036,400	USD	371,328	CITG		6/20/2018		(5,518	)
SEK	4,554,600	USD	556,993	JPMC		6/20/2018		(8,276	)
SGD	347,600	USD	266,058	CITG		6/20/2018		(460	)
SGD	521,400	USD	399,087	JPMC		6/20/2018		(691	)
USD	2,461,939	EUR	2,001,063	CITG		6/20/2018		(14,791	)
USD	3,692,903	EUR	3,001,594	JPMC		6/20/2018		(22,191	)
USD	12,398,443	GBP	8,890,684	CITG		6/20/2018		(116,653	)
USD	18,597,627	GBP	13,336,016	JPMC		6/20/2018		(175,002	)
USD	11,861	SGD	15,600	CITG		6/20/2018		(59	)
USD	17,792	SGD	23,400	JPMC		6/20/2018		(88	)
Total unrealized depreciation								(1,478,914	)
Net unrealized appreciation								$39,744

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

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

AQR Funds Semi-Annual Report March 2018

126

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED		TOTAL
BARC
Cash		$—			$8,599,260		$8,599,260
CITG
Investment Companies		140,051			—		140,051
JPMC
Investment Companies		10,899,658			—		10,899,658
GSIN
Cash		(310,000	)		—		(310,000	)
Investment Companies		2,756,617			—		2,756,617

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

AQR Funds Semi-Annual Report March 2018

127

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 129.8%
COMMON STOCKS - 124.8%
Aerospace & Defense - 5.4%
Boeing Co. (The) (a)		890	$	291,813
Esterline Technologies Corp. *		639		46,743
General Dynamics Corp.		45		9,940
Huntington Ingalls Industries, Inc.		459		118,312
L3 Technologies, Inc.		168		34,944
Lockheed Martin Corp.		156		52,717
Northrop Grumman Corp.		132		46,084
Raytheon Co.		502		108,342
Spirit AeroSystems Holdings, Inc., Class A (a)		2,465		206,320
Teledyne Technologies, Inc. *		145		27,140
				942,355
Air Freight & Logistics - 0.6%
Expeditors International of Washington, Inc.		148		9,368
FedEx Corp.		415		99,646
				109,014
Airlines - 1.4%
Delta Air Lines, Inc.		1,031		56,509
JetBlue Airways Corp. *		2,182		44,338
Southwest Airlines Co.		1,675		95,944
United Continental Holdings, Inc. *		732		50,852
				247,643
Auto Components - 1.1%
BorgWarner, Inc.		66		3,315
Lear Corp. (a)		1,010		187,951
				191,266
Automobiles - 0.9%
General Motors Co.		2,712		98,554
Thor Industries, Inc.		463		53,324
				151,878
Banks - 7.6%
Bank of America Corp. (a)		4,467		133,965
BankUnited, Inc.		537		21,469
Citigroup, Inc.		1,670		112,725
Citizens Financial Group, Inc.		1,710		71,786
Comerica, Inc.		285		27,340
JPMorgan Chase & Co. (a)		2,596		285,482
KeyCorp		2,648		51,768
M&T Bank Corp.		189		34,844
PNC Financial Services Group, Inc. (The) (a)		1,080		163,339
Popular, Inc.		2,101		87,444
Regions Financial Corp.		3,842		71,384
Synovus Financial Corp.		1,008		50,340
TCF Financial Corp.		2,313		52,760
US Bancorp		503		25,402
Wells Fargo & Co.		2,549		133,593
				1,323,641
Beverages - 0.8%
Boston Beer Co., Inc. (The), Class A *		65		12,288
Constellation Brands, Inc., Class A		294		67,009
PepsiCo, Inc.		488		53,265
				132,562

INVESTMENTS	SHARES		VALUE
Biotechnology - 5.9%
AbbVie, Inc.		1,337	$	126,547
Alexion Pharmaceuticals, Inc. *		630		70,220
Amgen, Inc.		637		108,596
Biogen, Inc. *		345		94,468
Celgene Corp. *(a)		1,934		172,532
Exelixis, Inc. *		3,663		81,135
Gilead Sciences, Inc. (a)		2,232		168,271
Regeneron Pharmaceuticals, Inc. *		176		60,607
United Therapeutics Corp. *		538		60,450
Vertex Pharmaceuticals, Inc. *		532		86,705
				1,029,531
Building Products - 1.1%
Armstrong World Industries, Inc. *		952		53,598
Masco Corp.		343		13,871
Owens Corning		1,626		130,730
				198,199
Capital Markets - 2.7%
Ameriprise Financial, Inc.		421		62,283
BGC Partners, Inc., Class A		922		12,401
BlackRock, Inc.		104		56,339
Federated Investors, Inc., Class B		697		23,280
Franklin Resources, Inc.		2,850		98,838
Goldman Sachs Group, Inc. (The)		105		26,445
Invesco Ltd.		1,410		45,134
Moody’s Corp.		115		18,550
Morgan Stanley		40		2,158
Nasdaq, Inc.		392		33,798
S&P Global, Inc.		152		29,041
State Street Corp.		88		8,776
T. Rowe Price Group, Inc.		511		55,173
				472,216
Chemicals - 4.5%
Cabot Corp.		731		40,731
Celanese Corp., Series A		1,171		117,346
Chemours Co. (The)		437		21,286
Eastman Chemical Co.		818		86,364
Huntsman Corp.		3,108		90,909
LyondellBasell Industries NV, Class A (a)		1,950		206,076
Minerals Technologies, Inc.		48		3,214
Monsanto Co.		251		29,289
Olin Corp.		3,228		98,099
PolyOne Corp.		881		37,460
Westlake Chemical Corp.		383		42,571
WR Grace & Co.		118		7,225
				780,570
Commercial Services & Supplies - 0.7%
Herman Miller, Inc.		2,081		66,488
KAR Auction Services, Inc.		469		25,420
Waste Management, Inc.		247		20,777
				112,685
Communications Equipment - 1.2%
Cisco Systems, Inc. (a)		2,898		124,295
F5 Networks, Inc. *		360		52,060
Juniper Networks, Inc.		1,393		33,892
				210,247

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

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128

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Construction & Engineering - 0.6%
EMCOR Group, Inc.		954	$	74,345
KBR, Inc.		2,170		35,133
				109,478
Consumer Finance - 0.5%
Capital One Financial Corp.		555		53,180
Discover Financial Services		406		29,204
				82,384
Diversified Consumer Services - 0.0% (b)
Graham Holdings Co., Class B		6		3,614
Diversified Financial Services - 1.4%
Berkshire Hathaway, Inc., Class B *(a)		1,237		246,757
Diversified Telecommunication Services - 0.8%
AT&T, Inc.		706		25,169
Verizon Communications, Inc.		2,216		105,969
				131,138
Electric Utilities - 2.4%
American Electric Power Co., Inc.		1,515		103,914
Edison International		137		8,721
Entergy Corp.		561		44,196
Exelon Corp. (a)		5,821		227,077
OGE Energy Corp.		1,070		35,064
				418,972
Electrical Equipment - 0.4%
Eaton Corp. plc		590		47,147
Emerson Electric Co.		250		17,075
				64,222
Electronic Equipment, Instruments & Components - 1.9%
Avnet, Inc.		1,521		63,517
CDW Corp.		527		37,053
Dolby Laboratories, Inc., Class A		693		44,047
FLIR Systems, Inc.		513		25,655
IPG Photonics Corp. *		105		24,505
Jabil, Inc.		1,999		57,431
TE Connectivity Ltd.		389		38,861
Trimble, Inc. *		108		3,875
Zebra Technologies Corp., Class A *		276		38,417
				333,361
Energy Equipment & Services - 0.4%
Halliburton Co.		829		38,913
Superior Energy Services, Inc. *		4,092		34,496
				73,409
Equity Real Estate Investment Trusts (REITs) - 2.8%
American Tower Corp.		223		32,411
AvalonBay Communities, Inc.		34		5,592
Boston Properties, Inc.		183		22,549
Crown Castle International Corp.		212		23,237
Digital Realty Trust, Inc.		220		23,184
Equinix, Inc.		25		10,454
Equity Residential		274		16,884
GGP, Inc.		1,090		22,301
Host Hotels & Resorts, Inc.		507		9,450

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 2.8% (continued)
Prologis, Inc.		751	$	47,305
Public Storage		325		65,127
Realty Income Corp.		977		50,540
SBA Communications Corp. *		80		13,674
Simon Property Group, Inc.		340		52,479
Ventas, Inc.		772		38,237
Welltower, Inc.		595		32,386
Weyerhaeuser Co.		578		20,230
				486,040
Food & Staples Retailing - 1.0%
CVS Health Corp.		208		12,940
Walgreens Boots Alliance, Inc.		82		5,368
Walmart, Inc. (a)		1,776		158,011
				176,319
Food Products - 1.0%
Archer-Daniels-Midland Co.		1,631		70,737
Blue Buffalo Pet Products, Inc. *		62		2,468
Bunge Ltd.		81		5,989
Ingredion, Inc.		227		29,265
Sanderson Farms, Inc.		132		15,711
Tyson Foods, Inc., Class A		660		48,305
				172,475
Gas Utilities - 0.5%
UGI Corp.		1,870		83,065
Health Care Equipment & Supplies - 2.9%
Align Technology, Inc. *		369		92,667
Baxter International, Inc. (a)		2,674		173,917
Boston Scientific Corp. *		759		20,736
Danaher Corp.		451		44,157
Globus Medical, Inc., Class A *		468		23,316
Hill-Rom Holdings, Inc.		149		12,963
Intuitive Surgical, Inc. *		138		56,970
Medtronic plc		857		68,749
Varian Medical Systems, Inc. *		28		3,434
				496,909
Health Care Providers & Services - 3.5%
Aetna, Inc.		206		34,814
Centene Corp. *		559		59,740
Cigna Corp.		23		3,858
Express Scripts Holding Co. *		375		25,905
Humana, Inc.		444		119,361
McKesson Corp.		773		108,893
Molina Healthcare, Inc. *		608		49,357
UnitedHealth Group, Inc.		540		115,560
WellCare Health Plans, Inc. *		451		87,327
				604,815
Hotels, Restaurants & Leisure - 3.3%
Carnival Corp.		966		63,350
Darden Restaurants, Inc.		434		36,998
Extended Stay America, Inc.		2,366		46,776
Hilton Grand Vacations, Inc. *		1,961		84,362
Hyatt Hotels Corp., Class A		323		24,632
International Game Technology plc		1,320		35,284
Las Vegas Sands Corp.		1,691		121,583

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

AQR Funds Semi-Annual Report March 2018

129

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 3.3% (continued)
Royal Caribbean Cruises Ltd.		815	$	95,958
Starbucks Corp.		259		14,993
Wyndham Worldwide Corp.		78		8,926
Wynn Resorts Ltd.		175		31,913
				564,775
Household Durables - 1.6%
DR Horton, Inc.		1,895		83,077
NVR, Inc. *		26		72,800
PulteGroup, Inc.		63		1,858
Toll Brothers, Inc.		136		5,882
Tupperware Brands Corp.		214		10,353
Whirlpool Corp.		692		105,952
				279,922
Household Products - 0.2%
Procter & Gamble Co. (The)		383		30,364
Independent Power and Renewable Electricity Producers - 0.0% (b)
Vistra Energy Corp. *		156		3,250
Industrial Conglomerates - 0.3%
General Electric Co.		147		1,981
Honeywell International, Inc.		390		56,359
				58,340
Insurance - 4.9%
Aflac, Inc.		2,360		103,273
Allstate Corp. (The)		1,082		102,573
Assurant, Inc.		121		11,061
Assured Guaranty Ltd.		2,723		98,573
Everest Re Group Ltd.		34		8,732
FNF Group (a)		3,911		156,518
Hanover Insurance Group, Inc. (The)		184		21,692
Lincoln National Corp.		488		35,653
Prudential Financial, Inc.		1,083		112,145
Reinsurance Group of America, Inc.		372		57,288
Travelers Cos., Inc. (The)		580		80,539
Unum Group		1,299		61,845
				849,892
Internet & Direct Marketing Retail - 3.7%
Amazon.com, Inc. *(a)		297		429,860
Booking Holdings, Inc. *		26		54,090
Expedia Group, Inc.		230		25,394
Liberty Expedia Holdings, Inc., Class A *		156		6,128
Liberty Interactive Corp. QVC Group, Class A *		2,447		61,591
Netflix, Inc. *		224		66,159
				643,222
Internet Software & Services - 6.1%
Akamai Technologies, Inc. *		780		55,364
Alphabet, Inc., Class A *(a)		209		216,762
Alphabet, Inc., Class C *(a)		194		200,167
eBay, Inc. *		1,832		73,720
Facebook, Inc., Class A *(a)		2,064		329,807
IAC/InterActiveCorp *(a)		1,030		161,071
Twitter, Inc. *		1,042		30,229
				1,067,120

INVESTMENTS	SHARES		VALUE
IT Services - 4.4%
Accenture plc, Class A		25	$	3,838
Booz Allen Hamilton Holding Corp.		217		8,402
Cognizant Technology Solutions Corp., Class A		1,150		92,575
Convergys Corp.		1,841		41,643
DST Systems, Inc.		38		3,179
DXC Technology Co.		1,088		109,377
International Business Machines Corp. (a)		1,414		216,950
MAXIMUS, Inc.		560		37,374
PayPal Holdings, Inc. *		1,004		76,173
Science Applications International Corp.		589		46,413
Total System Services, Inc.		1,406		121,282
				757,206
Leisure Products - 0.3%
Brunswick Corp.		793		47,096
Life Sciences Tools & Services - 1.3%
Agilent Technologies, Inc.		714		47,767
Bruker Corp.		2,126		63,610
Charles River Laboratories International, Inc. *		375		40,028
QIAGEN NV *		1,524		49,240
Thermo Fisher Scientific, Inc.		100		20,646
				221,291
Machinery - 3.4%
AGCO Corp.		685		44,422
Allison Transmission Holdings, Inc.		333		13,007
Caterpillar, Inc.		126		18,570
Crane Co.		792		73,450
Cummins, Inc.		655		106,169
Ingersoll-Rand plc		1,138		97,310
ITT, Inc.		1,934		94,727
Oshkosh Corp.		754		58,262
PACCAR, Inc.		462		30,571
Terex Corp.		956		35,764
Timken Co. (The)		352		16,051
WABCO Holdings, Inc. *		67		8,969
				597,272
Media - 2.0%
Comcast Corp., Class A		4,114		140,575
John Wiley & Sons, Inc., Class A		540		34,398
News Corp., Class A		1,027		16,227
Time Warner, Inc.		454		42,939
Twenty-First Century Fox, Inc., Class A		666		24,436
Walt Disney Co. (The)		822		82,562
				341,137
Metals & Mining - 1.7%
Alcoa Corp. *		2,237		100,575
Freeport-McMoRan, Inc. *		4,045		71,071
Newmont Mining Corp.		90		3,516
Reliance Steel & Aluminum Co.		493		42,270
Steel Dynamics, Inc.		1,491		65,932
Worthington Industries, Inc.		224		9,614
				292,978

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

AQR Funds Semi-Annual Report March 2018

130

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Multiline Retail - 0.3%
Big Lots, Inc.		280	$	12,188
Target Corp.		639		44,366
				56,554
Multi-Utilities - 3.0%
Ameren Corp.		1,242		70,335
CenterPoint Energy, Inc.		2,385		65,349
Consolidated Edison, Inc.		1,672		130,316
DTE Energy Co.		208		21,715
MDU Resources Group, Inc.		2,119		59,671
NorthWestern Corp.		903		48,581
Public Service Enterprise Group, Inc.		2,476		124,394
				520,361
Oil, Gas & Consumable Fuels - 5.2%
Anadarko Petroleum Corp.		558		33,709
Apache Corp.		159		6,118
Cabot Oil & Gas Corp.		2,143		51,389
Chevron Corp.		432		49,265
ConocoPhillips		766		45,416
CONSOL Energy, Inc. *		3,039		88,040
Devon Energy Corp.		1,856		59,002
Energen Corp. *		182		11,441
EQT Corp.		559		26,558
Exxon Mobil Corp.		1,590		118,630
HollyFrontier Corp.		697		34,055
Marathon Oil Corp.		2,076		33,486
Marathon Petroleum Corp.		1,234		90,218
Pioneer Natural Resources Co.		96		16,491
QEP Resources, Inc. *		2,199		21,528
Southwestern Energy Co. *		12,430		53,822
Valero Energy Corp.		952		88,317
World Fuel Services Corp.		2,911		71,465
				898,950
Personal Products - 0.1%
Nu Skin Enterprises, Inc., Class A		178		13,120
Pharmaceuticals - 2.8%
Akorn, Inc. *		15		281
Bristol-Myers Squibb Co.		529		33,459
Johnson & Johnson (a)		1,231		157,753
Merck & Co., Inc.		2,198		119,725
Pfizer, Inc. (a)		4,914		174,398
				485,616
Professional Services - 0.5%
ManpowerGroup, Inc.		191		21,984
Robert Half International, Inc.		1,123		65,011
				86,995
Road & Rail - 1.9%
CSX Corp.		799		44,512
Kansas City Southern		894		98,206
Norfolk Southern Corp.		732		99,391
Old Dominion Freight Line, Inc.		80		11,758
Ryder System, Inc.		111		8,080
Union Pacific Corp.		436		58,611
				320,558

INVESTMENTS	SHARES		VALUE
Semiconductors & Semiconductor Equipment - 6.7%
Applied Materials, Inc. (a)		3,005	$	167,108
Broadcom Ltd.		200		47,130
Cavium, Inc. *		43		3,413
Cirrus Logic, Inc. *		296		12,026
First Solar, Inc. *		1,190		84,466
Intel Corp.		2,559		133,273
KLA-Tencor Corp.		541		58,974
Lam Research Corp.		306		62,167
Maxim Integrated Products, Inc.		1,049		63,171
Micron Technology, Inc. *(a)		3,755		195,786
NVIDIA Corp.		340		78,741
ON Semiconductor Corp. *		1,166		28,520
QUALCOMM, Inc.		622		34,465
Skyworks Solutions, Inc.		534		53,539
Teradyne, Inc.		866		39,585
Texas Instruments, Inc.		831		86,333
Versum Materials, Inc.		364		13,697
				1,162,394
Software - 7.1%
Activision Blizzard, Inc.		569		38,385
Adobe Systems, Inc. *		728		157,306
Cadence Design Systems, Inc. *		1,667		61,296
Citrix Systems, Inc. *		311		28,861
Dell Technologies, Inc., Class V *		382		27,966
Electronic Arts, Inc. *		243		29,461
Fortinet, Inc. *		603		32,309
Intuit, Inc.		191		33,110
Manhattan Associates, Inc. *		476		19,935
Microsoft Corp. (a)		4,948		451,604
Oracle Corp. (a)		4,639		212,234
Red Hat, Inc. *		238		35,583
Take-Two Interactive Software, Inc. *		70		6,845
Zynga, Inc., Class A *		28,813		105,455
				1,240,350
Specialty Retail - 2.0%
AutoZone, Inc. *		12		7,784
Best Buy Co., Inc.		1,625		113,734
Foot Locker, Inc.		763		34,747
Home Depot, Inc. (The)		410		73,078
Lowe’s Cos., Inc.		928		81,432
Michaels Cos., Inc. (The) *		1,035		20,400
Signet Jewelers Ltd.		525		20,223
TJX Cos., Inc. (The)		43		3,507
				354,905
Technology Hardware, Storage & Peripherals - 4.2%
Apple, Inc. (a)		2,897		486,059
Hewlett Packard Enterprise Co.		2,164		37,957
HP, Inc.		2,509		54,997
Seagate Technology plc		176		10,300
Western Digital Corp.		1,235		113,953
Xerox Corp.		636		18,304
				721,570
Textiles, Apparel & Luxury Goods - 1.3%
Carter’s, Inc.		56		5,830
Deckers Outdoor Corp. *		590		53,118
Lululemon Athletica, Inc. *		65		5,793

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

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131

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Textiles, Apparel & Luxury Goods - 1.3% (continued)
Michael Kors Holdings Ltd. *		1,882		$	116,834
Skechers U.S.A., Inc., Class A *		1,233			47,951
					229,526
Tobacco - 1.0%
Altria Group, Inc.		1,123			69,985
Philip Morris International, Inc.		1,079			107,253
					177,238
Trading Companies & Distributors - 1.5%
HD Supply Holdings, Inc. *		2,383			90,411
MSC Industrial Direct Co., Inc., Class A		187			17,150
United Rentals, Inc. *		420			72,547
WESCO International, Inc. *		638			39,588
WW Grainger, Inc.		135			38,106
					257,802
TOTAL COMMON STOCKS (Cost $19,667,718)					21,664,569
EXCHANGE TRADED FUNDS - 3.1%
SPDR S&P 500 ETF Trust (Cost $550,863)		2,092			550,510
SHORT-TERM INVESTMENTS - 1.9%
Investment Companies - 1.9%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.55% (2)(c)		17,674			17,674
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.49% (2)(c)		70,696			70,696
Limited Purpose Cash Investment Fund, 1.53% (2)(c)		149,345			149,315
UBS Select Treasury Preferred Fund, Class I, 1.55% (2)(c)		88,370			88,370
TOTAL SHORT-TERM INVESTMENTS (Cost $326,040)					326,055
TOTAL LONG POSITIONS (Cost $20,544,621)					22,541,134
SHORT POSITIONS - (29.0)%
COMMON STOCKS - (29.0)%
Aerospace & Defense - (1.4)%
Arconic, Inc.		(431	)		(9,931	)
HEICO Corp.		(1,357	)		(117,801	)
TransDigm Group, Inc.		(396	)		(121,548	)
					(249,280	)
Automobiles - (0.1)%
Tesla, Inc. *		(59	)		(15,702	)
Banks - (2.7)%
Bank of the Ozarks, Inc.		(1,495	)		(72,164	)
Chemical Financial Corp.		(1,511	)		(82,621	)
Home BancShares, Inc.		(1,407	)		(32,094	)
Sterling Bancorp		(5,726	)		(129,121	)
Texas Capital Bancshares, Inc. *		(171	)		(15,373	)

INVESTMENTS	SHARES			VALUE
Banks - (2.7)% (continued)
United Bankshares, Inc.		(3,987	)	$	(140,542	)
					(471,915	)
Biotechnology - (2.1)%
Agios Pharmaceuticals, Inc. *		(1,261	)		(103,125	)
Alkermes plc *		(1,334	)		(77,319	)
BioMarin Pharmaceutical, Inc. *		(392	)		(31,779	)
Incyte Corp. *		(594	)		(49,498	)
Intrexon Corp. *		(339	)		(5,197	)
Ionis Pharmaceuticals, Inc. *		(144	)		(6,348	)
Neurocrine Biosciences, Inc. *		(466	)		(38,645	)
OPKO Health, Inc. *		(3,167	)		(10,039	)
Seattle Genetics, Inc. *		(841	)		(44,018	)
					(365,968	)
Capital Markets - (0.4)%
Charles Schwab Corp. (The)		(723	)		(37,755	)
MarketAxess Holdings, Inc.		(177	)		(38,487	)
					(76,242	)
Chemicals - (1.1)%
Albemarle Corp.		(1,557	)		(144,396	)
Axalta Coating Systems Ltd. *		(1,101	)		(33,239	)
Platform Specialty Products Corp. *		(353	)		(3,399	)
Valvoline, Inc.		(596	)		(13,190	)
					(194,224	)
Commercial Services & Supplies - (0.4)%
Stericycle, Inc. *		(1,097	)		(64,207	)
Communications Equipment - (0.5)%
Ciena Corp. *		(144	)		(3,729	)
ViaSat, Inc. *		(1,333	)		(87,605	)
					(91,334	)
Construction & Engineering - 0.0% (b)
Granite Construction, Inc.		(91	)		(5,083	)
Containers & Packaging - (0.5)%
Ball Corp.		(2,045	)		(81,207	)
Sealed Air Corp.		(84	)		(3,594	)
					(84,801	)
Diversified Telecommunication Services - (0.1)%
Zayo Group Holdings, Inc. *		(425	)		(14,518	)
Electric Utilities - (0.8)%
PPL Corp.		(4,778	)		(135,170	)
Electronic Equipment, Instruments & Components - (0.6)%
Belden, Inc.		(1,445	)		(99,618	)
Energy Equipment & Services - (1.2)%
Baker Hughes a GE Co.		(324	)		(8,997	)
Core Laboratories NV		(362	)		(39,176	)
Ensco plc, Class A		(10,376	)		(45,551	)
Rowan Cos. plc, Class A *		(781	)		(9,013	)
Transocean Ltd. *		(3,147	)		(31,155	)
Weatherford International plc *		(33,824	)		(77,457	)
					(211,349	)

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

AQR Funds Semi-Annual Report March 2018

132

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Food & Staples Retailing - (0.4)%
Casey’s General Stores, Inc.		(566	)	$	(62,130	)
Food Products - (0.5)%
Hain Celestial Group, Inc. (The) *		(1,696	)		(54,391	)
Post Holdings, Inc. *		(98	)		(7,424	)
TreeHouse Foods, Inc. *		(525	)		(20,092	)
					(81,907	)
Gas Utilities - 0.0% (b)
WGL Holdings, Inc.		(26	)		(2,175	)
Health Care Equipment & Supplies - (0.5)%
DexCom, Inc. *		(1,083	)		(80,315	)
Health Care Providers & Services - (1.5)%
Acadia Healthcare Co., Inc. *		(2,200	)		(86,196	)
Envision Healthcare Corp. *		(2,231	)		(85,737	)
LifePoint Health, Inc. *		(144	)		(6,768	)
Premier, Inc., Class A *		(2,599	)		(81,375	)
					(260,076	)
Health Care Technology - (0.1)%
Medidata Solutions, Inc. *		(342	)		(21,481	)
Hotels, Restaurants & Leisure - (0.4)%
Scientific Games Corp., Class A *		(1,213	)		(50,461	)
Wendy’s Co. (The)		(1,385	)		(24,307	)
					(74,768	)
Household Durables - (0.1)%
Lennar Corp., Class A		(349	)		(20,570	)
Tempur Sealy International, Inc. *		(51	)		(2,310	)
					(22,880	)
Insurance - (0.2)%
Kemper Corp.		(734	)		(41,838	)
Internet Software & Services - (0.6)%
Pandora Media, Inc. *		(7,114	)		(35,783	)
Zillow Group, Inc., Class C *		(1,295	)		(69,671	)
					(105,454	)
IT Services - (0.5)%
Gartner, Inc. *		(562	)		(66,103	)
Square, Inc., Class A *		(221	)		(10,873	)
					(76,976	)
Leisure Products - (0.2)%
Mattel, Inc.		(2,035	)		(26,760	)
Life Sciences Tools & Services - (0.2)%
Syneos Health, Inc. *		(775	)		(27,512	)
Machinery - (1.3)%
Middleby Corp. (The) *		(344	)		(42,584	)
Wabtec Corp.		(2,278	)		(185,429	)
					(228,013	)
Media - (1.2)%
Discovery Communications, Inc., Class A *		(3,767	)		(80,727	)
Liberty Broadband Corp., Class C *		(205	)		(17,566	)

INVESTMENTS	SHARES			VALUE
Media - (1.2)% (continued)
Meredith Corp.		(279	)	$	(15,010	)
New York Times Co. (The), Class A		(4,050	)		(97,605	)
					(210,908	)
Metals & Mining - (1.0)%
Allegheny Technologies, Inc. *		(3,774	)		(89,368	)
Compass Minerals International, Inc.		(608	)		(36,662	)
Royal Gold, Inc.		(424	)		(36,409	)
United States Steel Corp.		(256	)		(9,009	)
					(171,448	)
Multi-Utilities - (0.4)%
Black Hills Corp.		(1,279	)		(69,450	)
Oil, Gas & Consumable Fuels - (3.9)%
Callon Petroleum Co. *		(9,258	)		(122,576	)
Centennial Resource Development, Inc., Class A *		(2,062	)		(37,838	)
Cheniere Energy, Inc. *		(2,490	)		(133,090	)
Chesapeake Energy Corp. *		(1,527	)		(4,612	)
Extraction Oil & Gas, Inc. *		(5,219	)		(59,810	)
Hess Corp.		(1,463	)		(74,057	)
Kinder Morgan, Inc.		(1,706	)		(25,692	)
Matador Resources Co. *		(563	)		(16,839	)
Noble Energy, Inc.		(958	)		(29,027	)
ONEOK, Inc.		(373	)		(21,231	)
Parsley Energy, Inc., Class A *		(845	)		(24,497	)
Range Resources Corp.		(993	)		(14,438	)
RSP Permian, Inc. *		(151	)		(7,079	)
SM Energy Co.		(2,035	)		(36,691	)
Targa Resources Corp.		(1,228	)		(54,032	)
WPX Energy, Inc. *		(425	)		(6,282	)
					(667,791	)
Personal Products - (0.4)%
Coty, Inc., Class A		(4,083	)		(74,719	)
Pharmaceuticals - (0.5)%
Allergan plc		(110	)		(18,512	)
Prestige Brands Holdings, Inc. *		(2,085	)		(70,306	)
					(88,818	)
Professional Services - 0.0% (b)
IHS Markit Ltd.*		(109	)		(5,258	)
Road & Rail - (0.2)%
Genesee & Wyoming, Inc., Class A *		(509	)		(36,032	)
Semiconductors & Semiconductor Equipment - (0.3)%
Advanced Micro Devices, Inc. *		(2,313	)		(23,246	)
Cree, Inc. *		(132	)		(5,321	)
Cypress Semiconductor Corp.		(185	)		(3,137	)
Integrated Device Technology, Inc. *		(659	)		(20,139	)
Microchip Technology, Inc.		(41	)		(3,746	)
					(55,589	)
Software - (1.0)%
Atlassian Corp. plc, Class A (Australia) *		(461	)		(24,857	)
FireEye, Inc. *		(1,310	)		(22,178	)
Guidewire Software, Inc. *		(297	)		(24,006	)

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

AQR Funds Semi-Annual Report March 2018

133

Schedule of Investments March 31, 2018 (Unaudited)

AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Software - (1.0)% (continued)
Tyler Technologies, Inc. *		(28	)	$	(5,907	)
Ultimate Software Group, Inc. (The) *		(291	)		(70,917	)
Workday, Inc., Class A *		(134	)		(17,033	)
					(164,898	)
Specialty Retail - (1.6)%
Advance Auto Parts, Inc.		(431	)		(51,095	)
AutoNation, Inc. *		(547	)		(25,589	)
CarMax, Inc. *		(964	)		(59,710	)
L Brands, Inc.		(1,984	)		(75,809	)
Office Depot, Inc.		(15,480	)		(33,282	)
Penske Automotive Group, Inc.		(797	)		(35,331	)
					(280,816	)
Trading Companies & Distributors - (0.1)%
NOW, Inc. *		(1,457	)		(14,891	)
TOTAL COMMON STOCKS (Proceeds $(5,195,153))					(5,032,314	)
TOTAL SHORT POSITIONS (Proceeds $(5,195,153))					(5,032,314	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.8% (Cost $15,349,468)					17,508,820
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.8)%				(145,346)
NET ASSETS - 100.0%				$17,363,474

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	2,232,061			12.9	%
Consumer Staples		483,323			2.8
Energy		93,220			0.5
Exchange Traded Funds		550,510			3.1
Financials		2,384,895			13.7
Health Care		1,993,990			11.5
Industrials		2,501,799			14.4
Information Technology		4,898,378			28.2
Materials		623,075			3.6
Real Estate		486,040			2.8
Telecommunication Services		116,620			0.7
Utilities		818,854			4.7
Short-Term Investments		326,055			1.9
Total Investments In Securities At Value		17,508,820			100.8
Liabilities in Excess of Other Assets		(145,346	)		(0.8	)
Net Assets	$	17,363,474			100.0	%

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

* 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 $5,547,514.

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

(c) Represents 7-day effective yield as of March 31, 2018.

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

(2) Level 2 security (See Note 4).

Abbreviations

SPDR - Standard & Poor’s Depositary Receipt

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

AQR Funds Semi-Annual Report March 2018

134

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 129.1%
COMMON STOCKS - 125.4%
Aerospace & Defense - 2.4%
AAR Corp.		63	$	2,779
Curtiss-Wright Corp. (a)		161		21,746
Engility Holdings, Inc. *		37		903
Esterline Technologies Corp. *(a)		177		12,947
Moog, Inc., Class A *		159		13,103
Vectrus, Inc. *		1,015		37,799
				89,277
Air Freight & Logistics - 0.2%
Hub Group, Inc., Class A *		190		7,952
Airlines - 0.2%
Allegiant Travel Co.		14		2,415
Hawaiian Holdings, Inc.		54		2,090
SkyWest, Inc.		80		4,352
				8,857
Auto Components - 3.2%
American Axle & Manufacturing Holdings, Inc. *		451		6,864
Cooper-Standard Holdings, Inc. *		88		10,807
Dana, Inc. (a)		838		21,587
Modine Manufacturing Co. *		385		8,143
Standard Motor Products, Inc.		55		2,616
Stoneridge, Inc. *		801		22,108
Tenneco, Inc.		196		10,755
Tower International, Inc.		1,278		35,464
				118,344
Banks - 7.5%
1st Source Corp. (a)		416		21,058
BancFirst Corp.		85		4,513
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama)		185		5,272
Bancorp, Inc. (The) *		1,362		14,710
Berkshire Hills Bancorp, Inc.		118		4,478
Cathay General Bancorp		109		4,358
Central Pacific Financial Corp.		236		6,716
City Holding Co.		55		3,771
Community Trust Bancorp, Inc.		88		3,978
Customers Bancorp, Inc. *		231		6,734
Eagle Bancorp, Inc. *(a)		244		14,603
Enterprise Financial Services Corp.		134		6,285
FB Financial Corp. *		214		8,686
Financial Institutions, Inc.		365		10,804
First Bancorp/PR *		3,587		21,594
First Busey Corp.		169		5,023
First Citizens BancShares, Inc., Class A (a)		36		14,877
Fulton Financial Corp.		233		4,136
Great Southern Bancorp, Inc.		229		11,438
Hanmi Financial Corp.		468		14,391
Heartland Financial USA, Inc.		99		5,252
Heritage Financial Corp.		44		1,346
Hilltop Holdings, Inc.		361		8,469
IBERIABANK Corp.		37		2,886
Independent Bank Corp./MI		520		11,908
International Bancshares Corp. (a)		365		14,198

INVESTMENTS	SHARES		VALUE
Banks - 7.5% (continued)
Investors Bancorp, Inc.		203	$	2,769
National Bank Holdings Corp., Class A		37		1,230
National Commerce Corp. *		126		5,487
OFG Bancorp		542		5,664
Opus Bank		20		560
Peapack Gladstone Financial Corp.		123		4,107
Sandy Spring Bancorp, Inc.		131		5,078
TriCo Bancshares		117		4,355
Triumph Bancorp, Inc. *		164		6,757
United Community Banks, Inc.		153		4,842
Wintrust Financial Corp.		19		1,635
				273,968
Beverages - 0.3%
Coca-Cola Bottling Co. Consolidated		5		863
National Beverage Corp.		129		11,484
				12,347
Biotechnology - 6.8%
Acorda Therapeutics, Inc. *		289		6,835
Amicus Therapeutics, Inc. *		215		3,234
AnaptysBio, Inc. *		28		2,914
Array BioPharma, Inc. *		252		4,113
Axovant Sciences Ltd. *		685		911
BioSpecifics Technologies Corp. *		236		10,464
Bluebird Bio, Inc. *		55		9,391
Blueprint Medicines Corp. *		10		917
Calithera Biosciences, Inc. *		690		4,347
Catalyst Pharmaceuticals, Inc. *		2,484		5,937
Clovis Oncology, Inc. *		52		2,746
Conatus Pharmaceuticals, Inc. *		303		1,779
Concert Pharmaceuticals, Inc. *		600		13,740
Curis, Inc. *		1,175		768
CytomX Therapeutics, Inc. *		56		1,593
Eagle Pharmaceuticals, Inc. *		80		4,215
Emergent BioSolutions, Inc. *(a)		282		14,847
Enanta Pharmaceuticals, Inc. *(a)		192		15,535
Esperion Therapeutics, Inc. *		20		1,447
Exact Sciences Corp. *		168		6,776
FibroGen, Inc. *		147		6,791
Genomic Health, Inc. *		259		8,104
Halozyme Therapeutics, Inc. *		187		3,663
Idera Pharmaceuticals, Inc. *		294		541
ImmunoGen, Inc. *		150		1,578
Insmed, Inc. *		120		2,702
Kura Oncology, Inc. *		115		2,156
Ligand Pharmaceuticals, Inc. *		26		4,294
Momenta Pharmaceuticals, Inc. *		219		3,975
Myriad Genetics, Inc. *(a)		505		14,923
Otonomy, Inc. *		939		3,944
PDL BioPharma, Inc. *		6,433		18,913
Pieris Pharmaceuticals, Inc. *		861		5,872
Portola Pharmaceuticals, Inc. *		71		2,319
Prothena Corp. plc (Ireland) *		48		1,762
PTC Therapeutics, Inc. *		53		1,434
Puma Biotechnology, Inc. *		41		2,790
REGENXBIO, Inc. *		192		5,731
Repligen Corp. *		91		3,292
Sage Therapeutics, Inc. *(a)		109		17,557

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

AQR Funds Semi-Annual Report March 2018

135

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Biotechnology - 6.8% (continued)
Sangamo Therapeutics, Inc. *		144	$	2,736
Sarepta Therapeutics, Inc. *		90		6,668
Spectrum Pharmaceuticals, Inc. *(a)		1,058		17,023
				251,277
Building Products - 3.3%
Builders FirstSource, Inc. *(a)		689		13,670
Continental Building Products, Inc. *(a)		743		21,213
CSW Industrials, Inc. *		238		10,722
JELD-WEN Holding, Inc. *		106		3,246
Masonite International Corp. *		158		9,693
NCI Building Systems, Inc. *(a)		2,339		41,400
PGT Innovations, Inc. *		459		8,560
Ply Gem Holdings, Inc. *		35		756
Simpson Manufacturing Co., Inc.		136		7,832
Universal Forest Products, Inc.		126		4,089
				121,181
Capital Markets - 1.0%
BrightSphere Investment Group plc		118		1,860
Diamond Hill Investment Group, Inc.		4		826
Evercore, Inc., Class A		90		7,848
Financial Engines, Inc.		124		4,340
INTL. FCStone, Inc. *		203		8,664
Investment Technology Group, Inc.		298		5,883
Oppenheimer Holdings, Inc., Class A		182		4,686
Waddell & Reed Financial, Inc., Class A		39		788
				34,895
Chemicals - 4.9%
A Schulman, Inc.		44		1,892
AdvanSix, Inc. *(a)		574		19,964
American Vanguard Corp.		174		3,515
FutureFuel Corp.		1,552		18,608
Hawkins, Inc.		59		2,074
HB Fuller Co.		19		945
Ingevity Corp. *		59		4,348
Innophos Holdings, Inc.		84		3,378
Innospec, Inc.		34		2,332
Koppers Holdings, Inc. *		82		3,370
Kraton Corp. *		201		9,590
Kronos Worldwide, Inc.		481		10,871
OMNOVA Solutions, Inc. *		1,954		20,517
PolyOne Corp.		248		10,545
Stepan Co.		78		6,488
Tredegar Corp.		111		1,992
Trinseo SA (a)		476		35,248
Tronox Ltd., Class A		226		4,167
Valhi, Inc . (a)		3,274		19,840
				179,684
Commercial Services & Supplies - 2.8%
Brady Corp., Class A		73		2,712
Brink’s Co. (The) (a)		220		15,697
Ennis, Inc.		218		4,295
Heritage-Crystal Clean, Inc. *		686		16,155
Herman Miller, Inc.		208		6,646
Interface, Inc. (a)		759		19,127
McGrath RentCorp		28		1,503
SP Plus Corp. *		299		10,645

INVESTMENTS	SHARES		VALUE
Commercial Services & Supplies - 2.8% (continued)
Steelcase, Inc., Class A		663	$	9,017
Viad Corp.		192		10,070
VSE Corp.		163		8,430
				104,297
Communications Equipment - 1.4%
ADTRAN, Inc.		412		6,407
Aerohive Networks, Inc. *		3,561		14,386
Applied Optoelectronics, Inc. *		110		2,757
EMCORE Corp. *		1,058		6,031
Extreme Networks, Inc. *		519		5,745
Finisar Corp. *		288		4,553
NETGEAR, Inc. *		118		6,750
Ribbon Communications, Inc. *		531		2,708
Viavi Solutions, Inc. *		81		787
				50,124
Construction & Engineering - 2.3%
Argan, Inc.		491		21,088
Chicago Bridge & Iron Co. NV *		162		2,333
Comfort Systems USA, Inc.		103		4,249
EMCOR Group, Inc.		170		13,248
KBR, Inc.		717		11,608
MasTec, Inc. *		30		1,411
MYR Group, Inc. *		13		401
Primoris Services Corp. (a)		1,201		30,001
				84,339
Construction Materials - 0.1%
Summit Materials, Inc., Class A *		148		4,481
Consumer Finance - 0.8%
Enova International, Inc. *		354		7,806
FirstCash, Inc.		49		3,981
Green Dot Corp., Class A *		68		4,363
LendingClub Corp. *		451		1,578
Nelnet, Inc., Class A		53		2,778
Regional Management Corp. *		277		8,820
				29,326
Distributors - 0.0% (b)
Core-Mark Holding Co., Inc.		55		1,169
Diversified Consumer Services - 1.6%
Adtalem Global Education, Inc. *		96		4,565
American Public Education, Inc. *		520		22,360
Bridgepoint Education, Inc. *		2,235		15,064
Capella Education Co.		19		1,660
Career Education Corp. *		488		6,412
Grand Canyon Education, Inc. *		17		1,783
K12, Inc. *		428		6,069
				57,913
Diversified Telecommunication Services - 0.1%
Cincinnati Bell, Inc. *		128		1,773
IDT Corp., Class B *		403		2,527
Vonage Holdings Corp. *		58		617
				4,917

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

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136

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Electric Utilities - 0.3%
Portland General Electric Co.		240	$	9,722
Electrical Equipment - 0.6%
Atkore International Group, Inc. *		512		10,163
Babcock & Wilcox Enterprises, Inc. *		116		507
Encore Wire Corp.		74		4,196
EnerSys		68		4,717
Generac Holdings, Inc. *		48		2,204
				21,787
Electronic Equipment, Instruments & Components - 4.8%
Anixter International, Inc. *		162		12,272
AVX Corp.		627		10,377
Benchmark Electronics, Inc.		359		10,716
Control4 Corp. *		706		15,165
Electro Scientific Industries, Inc. *		825		15,947
ePlus, Inc. *(a)		187		14,530
FARO Technologies, Inc. *		49		2,862
Insight Enterprises, Inc. *(a)		479		16,731
Itron, Inc. *		8		572
KEMET Corp. *		929		16,843
Kimball Electronics, Inc. *		426		6,880
Methode Electronics, Inc.		63		2,463
Plexus Corp. *		65		3,882
Rogers Corp. *		85		10,161
Sanmina Corp. *(a)		639		16,710
ScanSource, Inc. *		203		7,217
SYNNEX Corp.		47		5,565
Systemax, Inc.		168		4,796
Tech Data Corp. *		7		596
				174,285
Energy Equipment & Services - 1.5%
Basic Energy Services, Inc. *		613		8,852
C&J Energy Services, Inc. *(a)		700		18,074
Fairmount Santrol Holdings, Inc. *		240		1,020
Helix Energy Solutions Group, Inc. *		315		1,824
Matrix Service Co. *		1,368		18,742
McDermott International, Inc. *		234		1,425
US Silica Holdings, Inc.		147		3,751
				53,688
Equity Real Estate Investment Trusts (REITs) - 1.7%
Agree Realty Corp.		104		4,996
Alexander & Baldwin, Inc.		69		1,596
Alexander’s, Inc.		8		3,050
DiamondRock Hospitality Co.		41		428
Four Corners Property Trust, Inc.		531		12,261
Front Yard Residential Corp.		77		774
GEO Group, Inc. (The)		115		2,354
Getty Realty Corp.		183		4,615
Mack-Cali Realty Corp.		618		10,327
PotlatchDeltic Corp.		32		1,665
QTS Realty Trust, Inc., Class A		32		1,159
Select Income REIT		452		8,805
Xenia Hotels & Resorts, Inc.		490		9,663
				61,693
Food & Staples Retailing - 0.1%
SpartanNash Co.		203		3,494

INVESTMENTS	SHARES		VALUE
Food Products - 1.2%
Darling Ingredients, Inc. *		748	$	12,940
Dean Foods Co.		474		4,086
Fresh Del Monte Produce, Inc.		31		1,402
John B Sanfilippo & Son, Inc.		150		8,681
Sanderson Farms, Inc. (a)		129		15,354
				42,463
Gas Utilities - 0.4%
ONE Gas, Inc.		134		8,847
Southwest Gas Holdings, Inc. *		10		676
WGL Holdings, Inc.		68		5,688
				15,211
Health Care Equipment & Supplies - 4.0%
Analogic Corp.		29		2,781
AngioDynamics, Inc. *		159		2,743
Atrion Corp.		1		631
Cantel Medical Corp.		53		5,905
Cardiovascular Systems, Inc. *		180		3,947
ConforMIS, Inc. *		897		1,301
Cutera, Inc. *		181		9,095
Globus Medical, Inc., Class A *(a)		364		18,134
Haemonetics Corp. *		117		8,560
Inogen, Inc. *		73		8,967
Integer Holdings Corp. *		20		1,131
Lantheus Holdings, Inc. *		1,067		16,965
LeMaitre Vascular, Inc.		324		11,738
LivaNova plc *		14		1,239
Masimo Corp. *(a)		169		14,864
Meridian Bioscience, Inc.		59		838
Merit Medical Systems, Inc. *		74		3,356
Natus Medical, Inc. *		178		5,990
Novocure Ltd. *		334		7,281
NuVasive, Inc. *		51		2,663
OraSure Technologies, Inc. *		371		6,266
Orthofix International NV *		224		13,167
				147,562
Health Care Providers & Services - 3.7%
Aceto Corp.		1,328		10,093
AMN Healthcare Services, Inc. *		27		1,532
CorVel Corp. *		294		14,862
Cross Country Healthcare, Inc. *		375		4,166
Encompass Health Corp.		77		4,402
Kindred Healthcare, Inc. *		1,225		11,209
LHC Group, Inc. *		87		5,356
Magellan Health, Inc. *(a)		145		15,529
Molina Healthcare, Inc. *(a)		185		15,018
National HealthCare Corp.		63		3,757
Owens & Minor, Inc.		161		2,504
RadNet, Inc. *		1,792		25,805
Triple-S Management Corp., Class B *		766		20,023
				134,256
Health Care Technology - 1.4%
HealthStream, Inc.		629		15,618
HMS Holdings Corp. *		432		7,275
Quality Systems, Inc. *		1,117		15,247
Tabula Rasa HealthCare, Inc. *		337		13,076
				51,216

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

AQR Funds Semi-Annual Report March 2018

137

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Hotels, Restaurants & Leisure - 3.7%
BJ’s Restaurants, Inc.		217	$	9,743
Bloomin’ Brands, Inc.		377		9,154
Bojangles’, Inc. *		166		2,299
Boyd Gaming Corp.		256		8,156
Caesars Entertainment Corp. *		920		10,350
Cheesecake Factory, Inc. (The)		8		386
Dave & Buster’s Entertainment, Inc. *(a)		367		15,319
Del Frisco’s Restaurant Group, Inc. *		279		4,255
Drive Shack, Inc. *		2,042		9,761
Golden Entertainment, Inc. *		532		12,358
ILG, Inc.		119		3,702
International Speedway Corp., Class A		118		5,204
La Quinta Holdings, Inc. *		126		2,383
Marriott Vacations Worldwide Corp.		17		2,264
Monarch Casino & Resort, Inc. *		70		2,960
Penn National Gaming, Inc. *		483		12,684
Pinnacle Entertainment, Inc. *		83		2,502
RCI Hospitality Holdings, Inc.		118		3,350
Ruth’s Hospitality Group, Inc.		739		18,069
Texas Roadhouse, Inc.		30		1,733
				136,632
Household Durables - 3.5%
Beazer Homes USA, Inc. *		662		10,559
Century Communities, Inc. *		416		12,459
Ethan Allen Interiors, Inc.		103		2,364
Flexsteel Industries, Inc.		258		10,212
Hooker Furniture Corp.		243		8,918
KB Home		107		3,044
La-Z-Boy, Inc. (a)		741		22,193
M/I Homes, Inc. *		153		4,873
MDC Holdings, Inc.		42		1,173
Meritage Homes Corp. *		238		10,770
PICO Holdings, Inc. *		545		6,240
Taylor Morrison Home Corp., Class A *(a)		615		14,317
William Lyon Homes, Class A *		101		2,776
ZAGG, Inc. *		1,470		17,934
				127,832
Household Products - 0.1%
Central Garden & Pet Co., Class A *		126		4,991
Insurance - 3.7%
Ambac Financial Group, Inc. *		338		5,300
AMERISAFE, Inc.		19		1,050
Argo Group International Holdings Ltd.		187		10,734
CNO Financial Group, Inc. (a)		724		15,689
Employers Holdings, Inc. (a)		530		21,438
Enstar Group Ltd. *		12		2,523
Genworth Financial, Inc., Class A *		530		1,500
Health Insurance Innovations, Inc., Class A *		540		15,606
National Western Life Group, Inc., Class A		29		8,841
Safety Insurance Group, Inc.		101		7,762
Stewart Information Services Corp.		78		3,427
Third Point Reinsurance Ltd. *		1,706		23,799
United Fire Group, Inc.		8		383
Universal Insurance Holdings, Inc. (a)		573		18,279
				136,331

INVESTMENTS	SHARES		VALUE
Internet & Direct Marketing Retail - 1.3%
1-800-Flowers.com, Inc., Class A *		1,983	$	23,400
FTD Cos., Inc. *		125		455
Groupon, Inc. *		4,133		17,937
PetMed Express, Inc.		79		3,298
Shutterfly, Inc. *		40		3,250
				48,340
Internet Software & Services - 4.8%
Appfolio, Inc., Class A *		243		9,927
Apptio, Inc., Class A *		106		3,004
Blucora, Inc. *		178		4,379
Box, Inc., Class A *		405		8,323
Brightcove, Inc. *		1,053		7,318
Care.com, Inc. *		796		12,951
Cars.com, Inc. *		107		3,031
CommerceHub, Inc., Series C *		130		2,924
Etsy, Inc. *(a)		503		14,114
Five9, Inc. *		89		2,651
GrubHub, Inc. *		118		11,974
Hortonworks, Inc. *		143		2,913
j2 Global, Inc.		66		5,209
Limelight Networks, Inc. *		257		1,056
LivePerson, Inc. *		707		11,560
Meet Group, Inc. (The) *		2,190		4,577
NIC, Inc.		38		505
Nutanix, Inc., Class A *		229		11,246
QuinStreet, Inc. *		518		6,615
Shutterstock, Inc. *		35		1,685
SPS Commerce, Inc. *		134		8,585
Stamps.com, Inc. *		39		7,841
Trade Desk, Inc. (The), Class A *		34		1,687
TrueCar, Inc. *		422		3,992
Web.com Group, Inc. *		189		3,421
XO Group, Inc. *		427		8,860
Yelp, Inc. *(a)		376		15,698
				176,046
IT Services - 2.0%
Blackhawk Network Holdings, Inc. *		29		1,296
CACI International, Inc., Class A *		4		605
Convergys Corp.		249		5,632
EPAM Systems, Inc. *		6		687
Everi Holdings, Inc. *		324		2,129
EVERTEC, Inc.		603		9,859
Hackett Group, Inc. (The)		630		10,118
MoneyGram International, Inc. *		967		8,336
Perficient, Inc. *		43		986
Science Applications International Corp.		9		709
Sykes Enterprises, Inc. *		235		6,801
Syntel, Inc. *		500		12,765
Travelport Worldwide Ltd.		909		14,853
				74,776
Leisure Products - 1.0%
Johnson Outdoors, Inc., Class A		139		8,618
MCBC Holdings, Inc. *		542		13,659
Nautilus, Inc. *		1,038		13,961
				36,238

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

AQR Funds Semi-Annual Report March 2018

138

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Life Sciences Tools & Services - 0.7%
Cambrex Corp. *		206	$	10,774
Enzo Biochem, Inc. *		269		1,474
Medpace Holdings, Inc. *		289		10,089
PRA Health Sciences, Inc. *		43		3,567
				25,904
Machinery - 5.3%
Alamo Group, Inc. (a)		126		13,847
Astec Industries, Inc.		218		12,029
Barnes Group, Inc.		55		3,294
Briggs & Stratton Corp.		183		3,918
Columbus McKinnon Corp.		97		3,476
Commercial Vehicle Group, Inc. *		1,690		13,097
DMC Global, Inc.		106		2,835
EnPro Industries, Inc.		26		2,012
Global Brass & Copper Holdings, Inc.		583		19,501
Harsco Corp. *		438		9,045
Hyster-Yale Materials Handling, Inc. (a)		203		14,196
Kadant, Inc.		81		7,655
Kennametal, Inc.		60		2,410
Lydall, Inc. *		26		1,255
Manitowoc Co., Inc. (The) *		130		3,700
Meritor, Inc. *(a)		1,369		28,147
Milacron Holdings Corp.*		218		4,391
Mueller Industries, Inc.		138		3,610
Mueller Water Products, Inc., Class A		1,011		10,990
Rexnord Corp. *		81		2,404
Spartan Motors, Inc.		411		7,069
SPX Corp. *		113		3,670
Standex International Corp.		35		3,337
TriMas Corp. *		417		10,946
Wabash National Corp.		343		7,138
Woodward, Inc.		31		2,221
				196,193
Media - 1.0%
Entravision Communications Corp., Class A		4,447		20,901
Gannett Co., Inc.		374		3,732
MDC Partners, Inc., Class A *		733		5,278
MSG Networks, Inc., Class A *		309		6,983
tronc, Inc. *		31		509
				37,403
Metals & Mining - 2.4%
Century Aluminum Co. *		322		5,326
Cleveland-Cliffs, Inc. *		655		4,552
Commercial Metals Co.		432		8,839
Gold Resource Corp.		119		537
Kaiser Aluminum Corp. (a)		137		13,823
Materion Corp.		561		28,639
Olympic Steel, Inc.		232		4,758
Schnitzer Steel Industries, Inc., Class A		46		1,488
SunCoke Energy, Inc. *		1,243		13,375
Worthington Industries, Inc.		179		7,683
				89,020
Multiline Retail - 0.3%
Big Lots, Inc.		210		9,141

INVESTMENTS	SHARES		VALUE
Multi-Utilities - 0.5%
Avista Corp.		148	$	7,585
Black Hills Corp.		80		4,344
NorthWestern Corp.		93		5,003
				16,932
Oil, Gas & Consumable Fuels - 5.2%
Abraxas Petroleum Corp. *		7,177		15,933
Arch Coal, Inc., Class A (a)		469		43,092
Bonanza Creek Energy, Inc. *		133		3,685
Delek US Energy, Inc.		135		5,494
Gener8 Maritime, Inc. *		75		424
Halcon Resources Corp. *		837		4,076
Midstates Petroleum Co., Inc. *		1,739		23,181
NACCO Industries, Inc., Class A		188		6,176
Overseas Shipholding Group, Inc., Class A *		8,096		22,993
Peabody Energy Corp. (a)		502		18,323
Penn Virginia Corp. *		298		10,442
REX American Resources Corp. *		92		6,698
SandRidge Energy, Inc. *		55		798
Ship Finance International Ltd. (Norway)		43		615
Ultra Petroleum Corp. *		248		1,034
W&T Offshore, Inc. *		6,099		27,018
				189,982
Paper & Forest Products - 1.6%
Boise Cascade Co.		162		6,253
KapStone Paper and Packaging Corp.		135		4,632
Louisiana-Pacific Corp. (a)		1,588		45,687
Schweitzer-Mauduit International, Inc.		21		822
				57,394
Personal Products - 0.3%
Natural Health Trends Corp.		621		11,805
USANA Health Sciences, Inc. *		9		773
				12,578
Pharmaceuticals - 2.8%
Assembly Biosciences, Inc. *		80		3,931
Catalent, Inc. *		224		9,198
Corcept Therapeutics, Inc. *		516		8,488
Depomed, Inc. *		410		2,702
Horizon Pharma plc *		342		4,856
Innoviva, Inc. *		352		5,868
Intersect ENT, Inc. *		33		1,297
MyoKardia, Inc. *		101		4,929
Nektar Therapeutics *(a)		230		24,440
Pacira Pharmaceuticals, Inc. *		160		4,984
Phibro Animal Health Corp., Class A		329		13,061
Supernus Pharmaceuticals, Inc. *		251		11,496
Zogenix, Inc. *		164		6,568
				101,818
Professional Services - 3.7%
Acacia Research Corp. *		2,301		8,054
Barrett Business Services, Inc.		182		15,084
CRA International, Inc.		142		7,425
Heidrick & Struggles International, Inc.		320		10,000
ICF International, Inc.		172		10,053
Insperity, Inc. (a)		333		23,160
Kelly Services, Inc., Class A		116		3,369

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

AQR Funds Semi-Annual Report March 2018

139

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Professional Services - 3.7% (continued)
Kforce, Inc.		381	$	10,306
Navigant Consulting, Inc. *		774		14,892
RPX Corp.		1,677		17,927
TrueBlue, Inc. *(a)		541		14,012
				134,282
Real Estate Management & Development - 0.3%
HFF, Inc., Class A		191		9,493
Rafael Holdings, Inc., Class B *		202		977
				10,470
Road & Rail - 0.5%
ArcBest Corp.		354		11,346
Covenant Transportation Group, Inc., Class A *		83		2,476
YRC Worldwide, Inc. *		403		3,558
				17,380
Semiconductors & Semiconductor Equipment - 6.8%
Advanced Energy Industries, Inc. *(a)		213		13,611
Alpha & Omega Semiconductor Ltd. *		550		8,497
Ambarella, Inc. *		29		1,421
Amkor Technology, Inc. *(a)		1,306		13,230
Axcelis Technologies, Inc. *		258		6,347
AXT, Inc. *		841		6,097
Brooks Automation, Inc. (a)		638		17,277
Cabot Microelectronics Corp.		38		4,070
Cirrus Logic, Inc. *(a)		476		19,340
Cohu, Inc.		155		3,535
Entegris, Inc. (a)		657		22,864
FormFactor, Inc. *		1,559		21,280
Ichor Holdings Ltd. *		498		12,057
Lattice Semiconductor Corp. *		1,117		6,222
MKS Instruments, Inc.		57		6,592
Nanometrics, Inc. *		33		888
Photronics, Inc. *		1,381		11,393
Pixelworks, Inc. *		2,914		11,277
Rudolph Technologies, Inc. *		794		21,994
Semtech Corp. *		266		10,387
SunPower Corp. *		95		758
Synaptics, Inc. *		252		11,524
Ultra Clean Holdings, Inc. *		859		16,536
Veeco Instruments, Inc. *		106		1,802
				248,999
Software - 4.7%
8x8, Inc. *		459		8,560
A10 Networks, Inc. *		557		3,242
Aspen Technology, Inc. *(a)		186		14,674
Callidus Software, Inc. *		106		3,811
CommVault Systems, Inc. *		57		3,260
Glu Mobile, Inc. *		2,480		9,350
Imperva, Inc. *		121		5,239
MicroStrategy, Inc., Class A *(a)		111		14,318
Mitek Systems, Inc. *		1,602		11,855
MobileIron, Inc. *		2,416		11,959
Pegasystems, Inc.		159		9,643
Progress Software Corp.		228		8,767
Qualys, Inc. *(a)		189		13,750
RingCentral, Inc., Class A *		151		9,588
Rubicon Project, Inc. (The) *		384		691

INVESTMENTS	SHARES		VALUE
Software - 4.7% (continued)
Upland Software, Inc. *		30	$	864
Varonis Systems, Inc. *		88		5,324
VASCO Data Security International, Inc. *		578		7,485
Verint Systems, Inc. *		274		11,672
Zendesk, Inc. *		93		4,452
Zix Corp. *		3,359		14,343
				172,847
Specialty Retail - 2.4%
American Eagle Outfitters, Inc.		232		4,624
America’s Car-Mart, Inc. *		16		807
Asbury Automotive Group, Inc. *		57		3,847
Cato Corp. (The), Class A		489		7,208
Chico’s FAS, Inc.		270		2,441
Children’s Place, Inc. (The)		33		4,463
Citi Trends, Inc.		765		23,646
Finish Line, Inc. (The), Class A		846		11,455
Francesca’s Holdings Corp. *		1,636		7,853
Genesco, Inc. *		78		3,167
Haverty Furniture Cos., Inc.		194		3,909
Hibbett Sports, Inc. *		137		3,281
Kirkland’s, Inc. *		152		1,473
Lumber Liquidators Holdings, Inc. *		153		3,660
Office Depot, Inc.		1,405		3,021
Tilly’s, Inc., Class A		70		791
Zumiez, Inc. *		44		1,051
				86,697
Technology Hardware, Storage & Peripherals - 0.6%
Avid Technology, Inc. *		697		3,164
Electronics For Imaging, Inc. *		127		3,471
Pure Storage, Inc., Class A *		397		7,920
Quantum Corp. *		2,034		7,404
Super Micro Computer, Inc. *		101		1,717
				23,676
Textiles, Apparel & Luxury Goods - 1.0%
Crocs, Inc. *		135		2,194
Deckers Outdoor Corp. *		44		3,961
Movado Group, Inc.		32		1,229
Perry Ellis International, Inc. *		489		12,616
Unifi, Inc. *		154		5,583
Vera Bradley, Inc. *		1,009		10,705
				36,288
Thrifts & Mortgage Finance - 3.2%
Dime Community Bancshares, Inc.		635		11,684
Essent Group Ltd. *		77		3,277
Federal Agricultural Mortgage Corp., Class C		14		1,218
First Defiance Financial Corp.		257		14,731
Flagstar Bancorp, Inc. *		199		7,045
MGIC Investment Corp. *(a)		2,695		35,035
Ocwen Financial Corp. *		166		684
PHH Corp. *		50		523
Radian Group, Inc. (a)		1,193		22,715
TrustCo Bank Corp.		1,176		9,937
Walker & Dunlop, Inc.		73		4,338
Washington Federal, Inc.		197		6,816
				118,003

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

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140

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Tobacco - 0.1%
Vector Group Ltd.		100	$	2,039
Trading Companies & Distributors - 2.7%
Applied Industrial Technologies, Inc.		63		4,593
Beacon Roofing Supply, Inc. *(a)		299		15,868
BMC Stock Holdings, Inc. *		164		3,206
CAI International, Inc. *		635		13,500
DXP Enterprises, Inc. *		48		1,870
GMS, Inc. *(a)		811		24,784
H&E Equipment Services, Inc.		55		2,117
Nexeo Solutions, Inc. *		606		6,484
Rush Enterprises, Inc., Class A *(a)		465		19,758
Titan Machinery, Inc. *		251		5,913
Triton International Ltd.		33		1,010
				99,103
Transportation Infrastructure - 0.2%
Wesco Aircraft Holdings, Inc. *		750		7,688
Water Utilities - 0.4%
American States Water Co.		134		7,110
SJW Group		145		7,643
				14,753
TOTAL COMMON STOCKS (Cost $4,382,074)				4,599,501
EXCHANGE TRADED FUNDS - 2.5%
iShares Russell 2000 ETF (Cost $91,397)		605		91,857
	NO. OF RIGHTS
RIGHTS - 0.0% (b)
Electrical Equipment - 0.0% (b)
Babcock & Wilcox Enterprises, Inc., (2)*		505		969
Media - 0.0% (b)
Media General, Inc., CVR (3)*(c)		112		2
TOTAL RIGHTS (Cost $33)				971
	SHARES
SHORT-TERM INVESTMENTS - 1.2%
Investment Companies - 1.2%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.55% (2)(d)		852		852
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.49% (2)(d)		3,390		3,390
Limited Purpose Cash Investment Fund, 1.53% (2)(d)		35,384		35,377
UBS Select Treasury Preferred Fund, Class I, 1.55% (2)(d)		4,260		4,260
TOTAL SHORT-TERM INVESTMENTS (Cost $43,875)				43,879
TOTAL LONG POSITIONS (Cost $4,517,379)				4,736,208

INVESTMENTS	SHARES			VALUE
SHORT POSITIONS - (29.0)%
COMMON STOCKS - (29.0)%
Aerospace & Defense - (0.9)%
Axon Enterprise, Inc. *		(119	)	$	(4,678	)
KeyW Holding Corp. (The) *		(2,197	)		(17,268	)
Kratos Defense & Security Solutions, Inc. *		(590	)		(6,071	)
Mercury Systems, Inc. *		(133	)		(6,427	)
					(34,444	)
Auto Components - (0.7)%
Fox Factory Holding Corp. *		(84	)		(2,932	)
Horizon Global Corp.*		(497	)		(4,095	)
Superior Industries International, Inc.		(1,409	)		(18,740	)
					(25,767	)
Beverages - 0.0% (b)
MGP Ingredients, Inc.		(11	)		(985	)
Biotechnology - (0.7)%
Adamas Pharmaceuticals, Inc. *		(64	)		(1,530	)
Aduro Biotech, Inc. *		(236	)		(2,195	)
Agenus, Inc. *		(1,299	)		(6,118	)
Atara Biotherapeutics, Inc. *		(89	)		(3,471	)
Coherus Biosciences, Inc. *		(300	)		(3,315	)
Ironwood Pharmaceuticals, Inc. *		(127	)		(1,960	)
Lexicon Pharmaceuticals, Inc. *		(305	)		(2,614	)
MacroGenics, Inc. *		(53	)		(1,333	)
Ultragenyx Pharmaceutical, Inc. *		(43	)		(2,192	)
					(24,728	)
Building Products - (0.6)%
AAON, Inc.		(115	)		(4,485	)
Advanced Drainage Systems, Inc.		(253	)		(6,553	)
Griffon Corp.		(556	)		(10,147	)
					(21,185	)
Capital Markets - (0.4)%
Virtu Financial, Inc., Class A		(427	)		(14,091	)
Chemicals - (1.0)%
Balchem Corp.		(179	)		(14,633	)
Intrepid Potash, Inc. *		(1,493	)		(5,434	)
LSB Industries, Inc. *		(3,043	)		(18,654	)
					(38,721	)
Commercial Services & Supplies - (2.1)%
Aqua Metals, Inc. *		(6,841	)		(17,718	)
Covanta Holding Corp.		(619	)		(8,975	)
Hudson Technologies, Inc. *		(2,193	)		(10,833	)
Mobile Mini, Inc.		(29	)		(1,261	)
Multi-Color Corp.		(98	)		(6,473	)
RR Donnelley & Sons Co.		(1,087	)		(9,490	)
Team, Inc. *		(913	)		(12,554	)
US Ecology, Inc.		(172	)		(9,168	)
					(76,472	)
Communications Equipment - (0.8)%
Harmonic, Inc. *		(175	)		(665	)
Infinera Corp. *		(1,543	)		(16,757	)
Lumentum Holdings, Inc. *		(147	)		(9,378	)

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

AQR Funds Semi-Annual Report March 2018

141

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Communications Equipment - (0.8)% (continued)
ViaSat, Inc. *		(29	)	$	(1,906	)
					(28,706	)
Construction & Engineering - (0.5)%
NV5 Global, Inc. *		(302	)		(16,836	)
Diversified Consumer Services - (0.1)%
Chegg, Inc.*		(215	)		(4,442	)
Diversified Telecommunication Services - (0.7)%
Consolidated Communications Holdings, Inc.		(910	)		(9,974	)
Globalstar, Inc. *		(5,544	)		(3,811	)
Iridium Communications, Inc. *		(248	)		(2,790	)
ORBCOMM, Inc. *		(861	)		(8,068	)
					(24,643	)
Electrical Equipment - (0.1)%
Vivint Solar, Inc. *		(871	)		(3,179	)
Electronic Equipment, Instruments & Components - (0.7)%
Belden, Inc.		(16	)		(1,103	)
Mesa Laboratories, Inc.		(110	)		(16,328	)
MicroVision, Inc. *		(2,800	)		(3,164	)
PCM, Inc.*		(642	)		(5,329	)
					(25,924	)
Energy Equipment & Services - (2.5)%
Bristow Group, Inc. *		(264	)		(3,432	)
Dril-Quip, Inc. *		(216	)		(9,677	)
Forum Energy Technologies, Inc. *		(1,026	)		(11,286	)
Frank’s International NV		(2,455	)		(13,331	)
Noble Corp. plc *		(2,341	)		(8,685	)
Oil States International, Inc. *		(272	)		(7,126	)
Rowan Cos. plc, Class A *		(625	)		(7,213	)
SEACOR Marine Holdings, Inc.*		(1,609	)		(30,603	)
					(91,353	)
Equity Real Estate Investment Trusts (REITs) - (0.7)%
Bluerock Residential Growth REIT, Inc.		(2,145	)		(18,232	)
New Senior Investment Group, Inc.		(215	)		(1,759	)
Pennsylvania REIT		(310	)		(2,992	)
Preferred Apartment Communities, Inc., Class A		(213	)		(3,022	)
					(26,005	)
Food & Staples Retailing - (0.1)%
Chefs’ Warehouse, Inc. (The) *		(114	)		(2,622	)
Food Products - (0.6)%
B&G Foods, Inc.		(20	)		(474	)
Freshpet, Inc. *		(281	)		(4,622	)
Hostess Brands, Inc. *		(1,174	)		(17,364	)
					(22,460	)
Health Care Equipment & Supplies - (0.7)%
AtriCure, Inc. *		(290	)		(5,951	)
Endologix, Inc. *		(1,753	)		(7,415	)
GenMark Diagnostics, Inc. *		(2,306	)		(12,545	)
					(25,911	)

INVESTMENTS	SHARES			VALUE
Health Care Providers & Services - (1.3)%
BioScrip, Inc. *		(4,922	)	$	(12,108	)
BioTelemetry, Inc. *		(563	)		(17,481	)
Capital Senior Living Corp. *		(1,558	)		(16,749	)
Community Health Systems, Inc. *		(280	)		(1,109	)
					(47,447	)
Health Care Technology - (0.6)%
Castlight Health, Inc., Class B *		(531	)		(1,938	)
Evolent Health, Inc., Class A *		(284	)		(4,047	)
Teladoc, Inc. *		(449	)		(18,095	)
					(24,080	)
Hotels, Restaurants & Leisure - (0.5)%
Dine Brands Global, Inc.		(215	)		(14,100	)
Shake Shack, Inc., Class A *		(70	)		(2,914	)
					(17,014	)
Household Durables - (0.1)%
Universal Electronics, Inc. *		(81	)		(4,216	)
Independent Power and Renewable Electricity Producers - 0.0% (b)
TerraForm Power, Inc., Class A		(63	)		(676	)
Insurance - 0.0% (b)
HCI Group, Inc.		(34	)		(1,297	)
Internet Software & Services - (0.4)%
Benefitfocus, Inc. *		(54	)		(1,317	)
Endurance International Group Holdings, Inc. *		(87	)		(644	)
Gogo, Inc. *		(768	)		(6,628	)
GTT Communications, Inc. *		(108	)		(6,124	)
Internap Corp. *		(42	)		(462	)
					(15,175	)
IT Services - (0.6)%
Unisys Corp. *		(1,430	)		(15,373	)
Virtusa Corp. *		(131	)		(6,348	)
					(21,721	)
Leisure Products - (0.1)%
Vista Outdoor, Inc. *		(165	)		(2,693	)
Life Sciences Tools & Services - (0.3)%
NanoString Technologies, Inc. *		(105	)		(789	)
NeoGenomics, Inc. *		(1,122	)		(9,155	)
Pacific Biosciences of California, Inc. *		(712	)		(1,460	)
					(11,404	)
Machinery - (0.1)%
Energy Recovery, Inc.*		(371	)		(3,050	)
Media - (0.4)%
Cogint, Inc. *		(1,212	)		(3,030	)
EW Scripps Co. (The), Class A		(435	)		(5,216	)
Liberty Media Corp.-Liberty Braves, Class C *		(91	)		(2,077	)
Nexstar Media Group, Inc., Class A		(49	)		(3,258	)
					(13,581	)

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

AQR Funds Semi-Annual Report March 2018

142

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Metals & Mining - (1.9)%
Allegheny Technologies, Inc. *		(351	)	$	(8,312	)
Coeur Mining, Inc. *		(857	)		(6,856	)
Hecla Mining Co.		(7,247	)		(26,596	)
Klondex Mines Ltd. (Canada) *		(8,495	)		(19,963	)
TimkenSteel Corp. *		(551	)		(8,370	)
					(70,097	)
Oil, Gas & Consumable Fuels - (3.4)%
Ardmore Shipping Corp. (Ireland) *		(407	)		(3,093	)
Callon Petroleum Co. *		(1,129	)		(14,948	)
Carrizo Oil & Gas, Inc. *		(501	)		(8,016	)
Clean Energy Fuels Corp. *		(3,549	)		(5,856	)
DHT Holdings, Inc.		(921	)		(3,131	)
Dorian LPG Ltd. *		(504	)		(3,775	)
Eclipse Resources Corp. *		(5,262	)		(7,577	)
EP Energy Corp., Class A *		(1,470	)		(1,970	)
Golar LNG Ltd.		(39	)		(1,067	)
Green Plains, Inc.		(950	)		(15,960	)
HighPoint Resources Corp. *		(425	)		(2,159	)
Jones Energy, Inc., Class A *		(2,171	)		(1,737	)
Matador Resources Co. *		(342	)		(10,229	)
PDC Energy, Inc. *		(62	)		(3,040	)
Resolute Energy Corp. *		(293	)		(10,153	)
Ring Energy, Inc. *		(398	)		(5,711	)
Scorpio Tankers, Inc. (Monaco)		(4,744	)		(9,298	)
SemGroup Corp., Class A		(766	)		(16,393	)
Teekay Tankers Ltd., Class A		(1,165	)		(1,386	)
					(125,499	)
Pharmaceuticals - (0.8)%
Aclaris Therapeutics, Inc. *		(164	)		(2,873	)
Aerie Pharmaceuticals, Inc. *		(22	)		(1,194	)
Aratana Therapeutics, Inc. *		(481	)		(2,121	)
Clearside Biomedical, Inc. *		(304	)		(3,262	)
Corium International, Inc. *		(207	)		(2,374	)
Dermira, Inc. *		(358	)		(2,860	)
Medicines Co. (The) *		(117	)		(3,854	)
Ocular Therapeutix, Inc. *		(397	)		(2,585	)
Revance Therapeutics, Inc. *		(93	)		(2,864	)
Teligent, Inc. *		(192	)		(645	)
TherapeuticsMD, Inc. *		(176	)		(857	)
WaVe Life Sciences Ltd. *		(77	)		(3,088	)
					(28,577	)
Professional Services - (0.8)%
Red Violet, Inc. *		(162	)		(986	)
WageWorks, Inc. *		(72	)		(3,254	)
Willdan Group, Inc. *		(895	)		(25,373	)
					(29,613	)
Road & Rail - (0.1)%
Hertz Global Holdings, Inc. *		(160	)		(3,176	)
Semiconductors & Semiconductor Equipment - (0.8)%
CyberOptics Corp. *		(265	)		(4,770	)
Inphi Corp. *		(169	)		(5,087	)
Kopin Corp. *		(1,016	)		(3,170	)
MaxLinear, Inc. *		(274	)		(6,233	)
PDF Solutions, Inc. *		(886	)		(10,331	)
					(29,591	)

INVESTMENTS	SHARES			VALUE
Software - (0.2)%
PROS Holdings, Inc. *		(193	)	$	(6,371	)
Synchronoss Technologies, Inc. *		(62	)		(654	)
					(7,025	)
Specialty Retail - (0.7)%
Ascena Retail Group, Inc. *		(2,743	)		(5,513	)
Barnes & Noble Education, Inc. *		(275	)		(1,895	)
Boot Barn Holdings, Inc. *		(64	)		(1,135	)
Conn’s, Inc. *		(67	)		(2,278	)
Guess?, Inc.		(218	)		(4,521	)
MarineMax, Inc. *		(121	)		(2,354	)
Party City Holdco, Inc. *		(155	)		(2,418	)
Tailored Brands, Inc.		(101	)		(2,531	)
Vitamin Shoppe, Inc. *		(734	)		(3,193	)
					(25,838	)
Technology Hardware, Storage & Peripherals - (0.1)%
Immersion Corp. *		(444	)		(5,306	)
Textiles, Apparel & Luxury Goods - (0.3)%
Fossil Group, Inc. *		(62	)		(788	)
G-III Apparel Group Ltd. *		(240	)		(9,043	)
					(9,831	)
Thrifts & Mortgage Finance - (1.2)%
LendingTree, Inc. *		(6	)		(1,969	)
Meta Financial Group, Inc.		(376	)		(41,059	)
					(43,028	)
Trading Companies & Distributors - (0.4)%
SiteOne Landscape Supply, Inc. *		(210	)		(16,178	)
TOTAL COMMON STOCKS (Proceeds $(1,066,361))					(1,064,587	)
TOTAL SHORT POSITIONS (Proceeds $(1,066,361))					(1,064,587	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.1% (Cost $3,451,018)					3,671,621
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%				(2,192)
NET ASSETS - 100.0%				$	3,669,429

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

AQR Funds Semi-Annual Report March 2018

143

Schedule of Investments March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	592,619			16.1	%
Consumer Staples		51,844			1.4
Energy		26,818			0.7
Exchange Traded Funds		91,857			2.5
Financials		534,106			14.6
Health Care		549,886			15.0
Industrials		689,170			18.8
Information Technology		787,305			21.5
Materials		221,761			6.0
Real Estate		46,158			1.3
Telecommunication Services		(19,725	)		(0.5	)
Utilities		55,943			1.5
Short-Term Investments		43,879			1.2
Total Investments In Securities At Value		3,671,621			100.1
Liabilities in Excess of Other Assets		(2,192	)		(0.1	)
Net Assets	$	3,669,429			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,164,590.

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

(c) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at March 31, 2018 amounted to $2, which represents approximately 0.00% of net assets of the fund.

(d) Represents 7-day effective yield as of March 31, 2018.

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

(2) Level 2 security (See Note 4).

(3) Level 3 security (See Note 4).

Abbreviations

CVR - Contingent Value Rights

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

AQR Funds Semi-Annual Report March 2018

144

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 126.7%
COMMON STOCKS - 123.4%
Australia - 9.3%
AGL Energy Ltd.		10,911	$	182,875
Ansell Ltd.		9,730		190,479
Aurizon Holdings Ltd.		95,855		314,471
Australia & New Zealand Banking Group Ltd.		16,269		338,612
BHP Billiton Ltd.		13,029		288,794
BHP Billiton plc		21,680		428,466
BlueScope Steel Ltd.		29,583		348,049
Caltex Australia Ltd.		6,008		145,941
CIMIC Group Ltd.		960		33,041
Cochlear Ltd.		135		18,960
Crown Resorts Ltd.		15,142		148,711
CSL Ltd.		164		19,758
Dexus, REIT		14,983		107,889
Fortescue Metals Group Ltd.		5,126		17,268
Goodman Group, REIT		5,489		35,690
Iluka Resources Ltd.		4,299		35,290
LendLease Group		56,001		750,808
Macquarie Group Ltd.		2,534		202,054
Mirvac Group, REIT		12,917		21,467
National Australia Bank Ltd.		11,074		244,476
Newcrest Mining Ltd.		25,486		384,395
Orica Ltd.		18,937		260,661
Origin Energy Ltd. *		6,780		45,755
Qantas Airways Ltd.		115,976		523,232
QBE Insurance Group Ltd.		48,518		361,980
Scentre Group, REIT		9,453		27,895
South32 Ltd.		116,419		292,581
Star Entertainment Grp Ltd. (The)		25,329		103,687
Suncorp Group Ltd.		15,907		164,056
Vicinity Centres, REIT		11,571		21,507
Wesfarmers Ltd.		871		27,911
Woodside Petroleum Ltd.		3,531		80,074
Woolworths Group Ltd.		925		18,775
				6,185,608
Belgium - 2.1%
Ageas		3,973		205,025
Bekaert SA		3,013		128,377
bpost SA		965		21,802
KBC Group NV		4,166		362,771
Solvay SA		428		59,483
UCB SA (a)		7,635		621,782
				1,399,240
Chile - 0.2%
Antofagasta plc		11,509		148,798
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd.		138,400		128,903
Denmark - 3.2%
Danske Bank A/S		4,097		153,508
Dfds A/S		1,229		69,211
DSV A/S		245		19,342
GN Store Nord A/S (a)		19,998		709,286
H Lundbeck A/S		1,344		75,488
Jyske Bank A/S (Registered)		2,299		136,686

INVESTMENTS	SHARES		VALUE
Denmark - 3.2% (continued)
Novo Nordisk A/S, Class B (a)		14,172	$	697,062
Rockwool International A/S, Class B		256		76,259
TDC A/S *		4,611		38,209
Vestas Wind Systems A/S		1,986		142,102
				2,117,153
Finland - 1.9%
Fortum OYJ		9,667		207,676
Kesko OYJ, Class B		546		31,271
Kone OYJ, Class B		382		19,065
Neste OYJ(a)		6,741		469,208
Stora Enso OYJ, Class R		1,081		19,876
UPM-Kymmene OYJ *(a)		14,479		536,791
				1,283,887
France - 11.9%
Aeroports de Paris		512		111,545
Airbus SE		168		19,447
Amundi SA (b)		2,068		166,075
Arkema SA		433		56,528
Atos SE		2,385		326,767
BioMerieux		1,335		109,950
BNP Paribas SA (a)		6,379		473,071
Bouygues SA		3,535		177,239
Capgemini SE		2,081		259,656
Cie de Saint-Gobain (a)		9,638		508,935
Cie Generale des Etablissements Michelin SCA (a)		4,334		641,617
Cie Plastic Omnium SA		450		21,570
CNP Assurances		868		21,912
Credit Agricole SA		1,145		18,669
Dassault Systemes SE		187		25,431
Eiffage SA		171		19,475
Elior Group SA (b)		2,826		61,474
Engie SA (a)		39,814		664,834
Eutelsat Communications SA		7,474		148,138
Faurecia SA		589		47,660
Hermes International		45		26,674
Imerys SA		192		18,659
Kering SA		253		121,343
Klepierre SA, REIT		785		31,641
LVMH Moet Hennessy Louis Vuitton SE		64		19,723
Natixis SA		2,267		18,601
Orange SA		2,011		34,183
Peugeot SA (a)		32,926		792,838
Renault SA		3,004		364,529
Safran SA		2,183		231,681
Sanofi (a)		11,708		939,450
Schneider Electric SE		222		19,550
SEB SA		99		18,936
Societe BIC SA		413		41,055
Societe Generale SA		3,155		171,349
Sodexo SA		155		15,600
Sopra Steria Group		412		84,093
Teleperformance		143		22,176
Thales SA		1,225		149,234
TOTAL SA (a)		8,277		474,435
Ubisoft Entertainment SA *		988		83,616
Unibail-Rodamco SE, REIT		841		192,208

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

AQR Funds Semi-Annual Report March 2018

145

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
France - 11.9% (continued)
Veolia Environnement SA		1,447	$	34,377
Vinci SA		1,164		114,648
				7,900,592
Germany - 11.5%
Allianz SE (Registered) (a)		1,827		413,007
Aurubis AG		2,114		177,667
BASF SE (a)		6,544		663,676
Bayer AG (Registered) (a)		2,674		301,450
Bayerische Motoren Werke AG		3,070		333,923
Beiersdorf AG		546		61,877
CECONOMY AG		6,832		78,549
Continental AG		237		65,462
Covestro AG (a)(b)		5,978		588,636
Deutsche Boerse AG		411		56,185
Deutsche Lufthansa AG (Registered)		3,377		107,954
Deutsche Post AG (Registered)		5,104		223,552
Deutsche Wohnen SE		222		10,359
Fresenius Medical Care AG & Co. KGaA		3,337		340,817
Fresenius SE & Co. KGaA		1,557		119,056
HeidelbergCement AG		1,012		99,421
Hella GmbH & Co. KGaA		1,554		102,302
HOCHTIEF AG		161		30,096
HUGO BOSS AG		285		24,828
Infineon Technologies AG (a)		16,776		451,161
Linde AG *		672		142,000
METRO AG		2,718		48,082
MTU Aero Engines AG		147		24,775
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		130		30,230
OSRAM Licht AG		1,430		105,230
Rheinmetall AG (a)		3,857		547,480
RWE AG *		10,285		254,227
Salzgitter AG		4,178		213,730
SAP SE (a)		4,682		491,525
Schaeffler AG (Preference)		13,856		213,992
Scout24 AG (b)		425		19,816
Siemens AG (Registered)		1,182		150,820
Software AG		6,133		321,503
STADA Arzneimittel AG		242		24,911
Suedzucker AG		3,700		62,776
Talanx AG		3,938		171,227
TUI AG		11,998		257,280
United Internet AG (Registered)		3,247		204,596
Vonovia SE		1,077		53,408
Wacker Chemie AG		360		59,160
				7,646,746
Hong Kong - 3.0%
CK Asset Holdings Ltd.		16,000		135,025
CK Hutchison Holdings Ltd.		1,500		18,023
CLP Holdings Ltd.		2,000		20,392
Galaxy Entertainment Group Ltd.		27,000		247,825
Hang Lung Properties Ltd.		36,000		84,493
Henderson Land Development Co. Ltd.		37,100		243,268
Hong Kong Exchanges & Clearing Ltd.		3,600		118,573
Kerry Properties Ltd.		9,000		40,698
Li & Fung Ltd.		388,000		191,275
Link REIT		2,000		17,143

INVESTMENTS	SHARES		VALUE
Hong Kong - 3.0% (continued)
New World Development Co. Ltd.		27,000	$	38,482
Sino Land Co. Ltd.		68,000		110,218
SJM Holdings Ltd.		20,000		17,522
Sun Hung Kai Properties Ltd.		31,000		492,062
Wharf Holdings Ltd. (The)		41,000		141,954
Wharf Real Estate Investment Co. Ltd. *		3,000		19,609
Wheelock & Co. Ltd.		6,000		44,010
Yue Yuen Industrial Holdings Ltd.		8,500		34,055
				2,014,627
Italy - 3.0%
A2A SpA		31,337		59,943
Autogrill SpA		11,825		152,229
Azimut Holding SpA		1,774		38,133
DiaSorin SpA		1,107		99,716
Enel SpA		44,938		274,985
Eni SpA		25,000		440,382
Hera SpA		29,260		107,213
Intesa Sanpaolo SpA (a)		138,263		503,416
Luxottica Group SpA		56		3,479
Mediobanca Banca di Credito Finanziario SpA		17,771		208,923
Moncler SpA		2,445		93,052
				1,981,471
Japan - 29.9%
Aisin Seiki Co. Ltd. (1)		4,100		222,715
Alfresa Holdings Corp. (1)		7,300		162,459
Amada Holdings Co. Ltd. (1)		11,600		140,851
ANA Holdings, Inc. (1)		7,300		282,519
Aozora Bank Ltd. (1)		1,300		51,741
Asahi Glass Co. Ltd. (1)		2,300		95,216
Asahi Group Holdings Ltd. (1)		800		42,607
Asahi Intecc Co. Ltd. (1)		1,200		47,535
Asahi Kasei Corp. (1)		8,500		111,757
Astellas Pharma, Inc. (1)		29,700		450,503
Bandai Namco Holdings, Inc. (1)		5,700		187,223
Brother Industries Ltd. (1)		6,600		153,393
Canon Marketing Japan, Inc. (1)		2,800		75,628
Canon, Inc. (1)		2,800		101,390
Citizen Watch Co. Ltd. (1)		4,100		29,438
Credit Saison Co. Ltd. (1)		11,800		193,737
Daicel Corp. (1)		23,300		254,449
Daifuku Co. Ltd. (1)		2,000		119,731
Daiichi Sankyo Co. Ltd. (1)		500		16,569
Daiwa House Industry Co. Ltd. (1)		1,300		50,092
Disco Corp. (1)		200		43,137
Electric Power Development Co. Ltd. (1)		1,400		35,288
Ezaki Glico Co. Ltd. (1)		1,000		52,347
FANUC Corp. (1)		500		126,686
Fuji Electric Co. Ltd. (1)		9,000		61,238
FUJIFILM Holdings Corp. (1)		1,200		47,874
Fujitsu Ltd. (1)		39,000		240,000
GungHo Online Entertainment, Inc. (1)		25,000		85,052
Gunma Bank Ltd. (The) (1)		3,200		18,165
Haseko Corp. (1)		23,400		356,042
Hikari Tsushin, Inc. (1)		100		15,986
Hino Motors Ltd. (1)		8,800		113,220
Hitachi High-Technologies Corp. (1)		800		38,043

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

AQR Funds Semi-Annual Report March 2018

146

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Japan - 29.9% (continued)
Hitachi Ltd. (1)(a)		94,000	$	680,937
Hoya Corp. (1)		6,700		334,040
ITOCHU Corp. (1)		3,800		73,800
Itochu Techno-Solutions Corp. (1)		2,800		58,603
Japan Airlines Co. Ltd. (1)(a)		22,800		917,527
Japan Post Holdings Co. Ltd. (1)		3,600		43,340
Japan Tobacco, Inc. (1)		1,100		31,696
JFE Holdings, Inc. (1)		15,000		302,171
JTEKT Corp. (1)		6,000		88,868
JXTG Holdings, Inc. (1)		47,900		289,772
Kajima Corp. (1)		35,000		324,656
Kamigumi Co. Ltd. (1)		11,000		245,628
Kao Corp. (1)		4,000		300,024
Keyence Corp. (1)		200		124,130
Kirin Holdings Co. Ltd. (1)		2,200		58,564
Koito Manufacturing Co. Ltd. (1)		600		41,615
Komatsu Ltd. (1)		600		20,001
Konami Holdings Corp. (1)		600		31,521
Kose Corp. (1)		500		104,647
Kuraray Co. Ltd. (1)		2,800		47,577
Kyocera Corp. (1)		3,500		197,491
Kyushu Railway Co. (1)		4,700		146,206
Lion Corp. (1)		3,400		68,476
Mabuchi Motor Co. Ltd. (1)		1,400		68,944
Marubeni Corp. (1)		28,500		206,214
Matsumotokiyoshi Holdings Co. Ltd. (1)		8,000		338,330
Mazda Motor Corp. (1)		3,100		40,977
McDonald’s Holdings Co. Japan Ltd. (1)		1,700		79,564
Mebuki Financial Group, Inc. (1)		57,300		220,250
Medipal Holdings Corp. (1)		1,400		28,683
MINEBEA MITSUMI, Inc. (1)		3,600		76,869
MISUMI Group, Inc. (1)		700		19,216
Mitsubishi Chemical Holdings Corp. (1)		16,600		160,766
Mitsubishi Corp. (1)		6,100		164,073
Mitsubishi Electric Corp. (1)		12,500		199,885
Mitsubishi Estate Co. Ltd. (1)		2,300		38,876
Mitsubishi Gas Chemical Co., Inc. (1)		1,400		33,538
Mitsubishi UFJ Financial Group, Inc. (1)		27,900		182,757
Mitsui & Co. Ltd. (1)		13,700		234,653
Mitsui Chemicals, Inc. (1)		600		18,918
Mitsui Fudosan Co. Ltd. (1)		1,600		38,818
Mizuho Financial Group, Inc. (1)		18,000		32,378
MS&AD Insurance Group Holdings, Inc. (1)		7,900		249,091
Nabtesco Corp. (1)		1,200		46,295
Nexon Co. Ltd. (1)*		22,200		367,201
NH Foods Ltd. (1)		1,000		40,976
NHK Spring Co. Ltd. (1)		25,300		267,492
Nikon Corp. (1)		1,400		24,946
Nintendo Co. Ltd. (1)		200		88,079
Nippon Electric Glass Co. Ltd. (1)		1,800		53,456
Nippon Express Co. Ltd. (1)		3,700		247,582
Nippon Shinyaku Co. Ltd. (1)		2,400		160,594
Nippon Telegraph & Telephone Corp. (1)		6,000		276,303
Nitori Holdings Co. Ltd. (1)		200		35,346
NOK Corp. (1)		4,500		87,374
NSK Ltd. (1)		1,600		21,443
NTT DOCOMO, Inc. (1)		5,100		130,202
Obayashi Corp. (1)		21,100		230,820
Omron Corp. (1)		5,400		317,692

INVESTMENTS	SHARES		VALUE
Japan - 29.9% (continued)
Oriental Land Co. Ltd. (1)		900	$	91,899
ORIX Corp. (1)		10,900		192,226
Otsuka Corp. (1)		1,200		60,448
Panasonic Corp. (1)		12,600		180,110
Persol Holdings Co. Ltd. (1)		9,300		270,509
Pola Orbis Holdings, Inc. (1)		4,200		172,097
Recruit Holdings Co. Ltd. (1)		900		22,368
Resona Holdings, Inc. (1)		31,700		167,430
Rohm Co. Ltd. (1)		2,700		257,046
Ryohin Keikaku Co. Ltd. (1)		700		234,857
Sega Sammy Holdings, Inc. (1)		2,400		38,006
Seiko Epson Corp. (1)		1,700		30,212
Sekisui Chemical Co. Ltd. (1)		1,300		22,676
Seven & i Holdings Co. Ltd. (1)		1,300		55,761
Shikoku Electric Power Co., Inc. (1)		6,600		78,278
Shimadzu Corp. (1)		6,700		188,397
Shimamura Co. Ltd. (1)		800		100,070
Shimizu Corp. (1)		3,300		29,494
Shin-Etsu Chemical Co. Ltd. (1)		200		20,685
Shinsei Bank Ltd. (1)		1,200		18,450
Shionogi & Co. Ltd. (1)		3,600		185,777
Shiseido Co. Ltd. (1)		2,700		172,878
SMC Corp. (1)(a)		1,200		485,728
SoftBank Group Corp. (1)		1,700		127,015
Sojitz Corp. (1)		22,400		71,786
Sony Corp. (1)		4,300		207,958
Square Enix Holdings Co. Ltd. (1)		2,900		132,729
Start Today Co. Ltd. (1)		5,200		138,888
Subaru Corp. (1)		2,800		91,759
Sugi Holdings Co. Ltd. (1)		500		27,677
SUMCO Corp. (1)		1,100		28,843
Sumitomo Chemical Co. Ltd. (1)		21,000		122,363
Sumitomo Corp. (1)		1,800		30,297
Sumitomo Heavy Industries Ltd. (1)		4,900		185,814
Sumitomo Mitsui Financial Group, Inc. (1)		3,000		125,690
Suzuken Co. Ltd. (1)		600		24,783
Suzuki Motor Corp. (1)		3,900		210,018
Taiheiyo Cement Corp. (1)		500		18,162
Taisei Corp. (1)(a)		6,700		340,022
Terumo Corp. (1)		600		31,521
THK Co. Ltd. (1)		4,200		173,676
Tokyo Electron Ltd. (1)(a)		3,700		695,977
Toshiba Corp. (1)*		14,000		40,524
Tosoh Corp. (1)(a)		22,700		445,445
Toyo Suisan Kaisha Ltd. (1)		800		31,014
Toyota Boshoku Corp. (1)		1,200		24,630
Toyota Tsusho Corp. (1)		500		16,940
West Japan Railway Co. (1)		300		20,951
Yamaha Motor Co. Ltd. (1)		4,900		146,440
				19,968,846
Luxembourg - 0.4%
Aperam SA		3,181		152,324
ArcelorMittal		3,378		107,293
				259,617
Macau - 0.6%
Sands China Ltd.		10,400		56,517
Wynn Macau Ltd.		96,000		351,862
				408,379

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

AQR Funds Semi-Annual Report March 2018

147

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Malta - 0.5%
Kindred Group plc, SDR		24,452	$	335,471
Netherlands - 7.1%
Aalberts Industries NV		454		23,136
ABN AMRO Group NV, CVA (b)		1,586		47,823
Aegon NV		33,312		224,750
Akzo Nobel NV		199		18,802
ASM International NV		3,891		284,524
ASML Holding NV		1,473		292,087
ASR Nederland NV (a)		15,011		641,842
ING Groep NV		15,785		266,375
Koninklijke Ahold Delhaize NV (a)		24,459		579,579
Koninklijke DSM NV		2,557		254,158
Koninklijke Philips NV (a)		15,151		580,162
NN Group NV		1,132		50,295
Philips Lighting NV (a)(b)		11,253		423,080
Randstad Holding NV		275		18,112
Royal Dutch Shell plc, Class A		13,881		439,174
Royal Dutch Shell plc, Class B		16,205		521,452
Wolters Kluwer NV		680		36,166
				4,701,517
Norway - 1.8%
Leroy Seafood Group ASA		55,123		342,277
Norsk Hydro ASA		30,218		179,244
Salmar ASA		5,735		236,142
Telenor ASA (a)		18,773		426,919
				1,184,582
Portugal - 0.1%
Galp Energia SGPS SA		3,177		59,914
Russia - 0.1%
Evraz plc		13,810		84,213
Singapore - 1.2%
DBS Group Holdings Ltd.		9,600		202,775
Genting Singapore plc		296,300		245,757
Golden Agri-Resources Ltd.		84,700		22,707
Oversea-Chinese Banking Corp. Ltd.		8,600		84,719
Singapore Airlines Ltd.		19,500		162,038
United Overseas Bank Ltd.		2,300		48,397
				766,393
South Africa - 0.1%
Investec plc		3,333		25,758
Mondi plc		1,761		47,333
				73,091
Spain - 3.8%
Abertis Infraestructuras SA		552		12,375
Acerinox SA		1,924		26,912
ACS Actividades de Construccion y Servicios SA		1,348		52,593
Amadeus IT Group SA		4,222		312,441
Banco Bilbao Vizcaya Argentaria SA (a)		61,640		488,162
Banco de Sabadell SA		30,468		62,320
Banco Santander SA		47,563		311,318
Bankinter SA		2,337		24,060

INVESTMENTS	SHARES		VALUE
Spain - 3.8% (continued)
Distribuidora Internacional de Alimentacion SA		19,767	$	84,019
Endesa SA		16,446		362,309
Mapfre SA		53,799		178,988
Mediaset Espana Comunicacion SA		9,080		92,494
Melia Hotels International SA		8,389		118,753
Red Electrica Corp. SA		1,228		25,349
Repsol SA		20,419		362,961
				2,515,054
Sweden - 2.9%
Ahlsell AB (b)		3,576		22,554
Alfa Laval AB		807		19,124
Atlas Copco AB, Class B		307		11,987
Boliden AB		7,594		267,221
Electrolux AB, Series B		13,714		433,080
Essity AB, Class B *		12,008		332,780
Investor AB, Class B		1,119		49,710
Sandvik AB		6,294		115,314
SKF AB, Class B		1,050		21,511
SSAB AB, Class A *		25,970		147,005
Svenska Cellulosa AB SCA, Class B		17,812		190,350
Tele2 AB, Class B		2,376		28,613
Volvo AB, Class B		17,387		318,258
				1,957,507
Switzerland - 10.7%
ABB Ltd. (Registered)		4,419		105,076
Adecco Group AG (Registered) (a)		11,600		826,268
Baloise Holding AG (Registered)		157		24,018
Barry Callebaut AG (Registered)		79		154,505
Bucher Industries AG (Registered)		515		215,198
Cie Financiere Richemont SA (Registered)		481		43,224
Coca-Cola HBC AG *		2,625		97,143
GAM Holding AG *		13,651		229,860
Georg Fischer AG (Registered)		259		346,768
Givaudan SA (Registered)		15		34,220
Glencore plc *		6,389		31,748
Helvetia Holding AG (Registered)		63		37,557
IWG plc		95,340		305,517
Julius Baer Group Ltd. *		301		18,524
LafargeHolcim Ltd. (Registered) *		344		18,849
Nestle SA (Registered) (a)		14,280		1,128,713
Novartis AG (Registered) (a)		6,021		486,984
OC Oerlikon Corp. AG (Registered) *		2,747		48,555
Partners Group Holding AG		144		107,154
Roche Holding AG (a)		3,877		889,373
Sika AG		19		149,039
Sonova Holding AG (Registered)		2,667		424,007
STMicroelectronics NV (a)		25,584		568,806
STMicroelectronics NV		516		11,483
Straumann Holding AG (Registered)		191		120,510
Sunrise Communications Group AG *(b)		291		24,413
Swiss Life Holding AG (Registered) *		709		252,665
Swiss Re AG		531		54,197
Swisscom AG (Registered)		36		17,860
Temenos Group AG (Registered) *		1,865		223,631
Zurich Insurance Group AG *		403		132,935
				7,128,800

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

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148

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
United Kingdom - 16.7%
AA plc		37,393	$	42,231
Anglo American plc		803		18,706
Ashtead Group plc		3,836		104,595
ASOS plc *		249		24,359
Associated British Foods plc		14,149		494,670
BAE Systems plc		9,421		77,080
Barclays plc		153,359		448,131
Barratt Developments plc		37,566		279,541
BBA Aviation plc		39,034		175,757
Bellway plc		4,174		178,627
Berkeley Group Holdings plc		9,359		497,519
BP plc		17,408		117,419
British Land Co. plc (The), REIT		4,014		36,184
BT Group plc		210,075		670,519
Bunzl plc		683		20,085
Burberry Group plc		11,631		277,242
Close Brothers Group plc		8,752		176,507
Compass Group plc		917		18,724
Dialog Semiconductor plc *		2,196		52,299
Dixons Carphone plc		121,296		317,176
Drax Group plc		596		2,301
DS Smith plc		2,741		18,113
easyJet plc		10,460		235,788
Fiat Chrysler Automobiles NV *		19,182		391,242
G4S plc		29,625		103,107
GKN plc		7,592		49,210
GlaxoSmithKline plc		5,511		107,029
Hammerson plc, REIT		7,915		59,665
Hays plc		14,705		38,901
Howden Joinery Group plc		4,199		27,180
HSBC Holdings plc		11,881		111,571
Inchcape plc		26,236		254,367
Indivior plc *		48,057		274,710
Intermediate Capital Group plc		2,649		36,588
International Consolidated Airlines Group SA		2,224		19,196
JD Sports Fashion plc		38,117		179,781
Just Eat plc *		20,434		200,098
Kingfisher plc		5,359		21,984
Land Securities Group plc, REIT		4,815		63,351
Legal & General Group plc		5,301		19,207
Lloyds Banking Group plc		496,412		451,550
London Stock Exchange Group plc		925		53,560
Man Group plc		61,016		147,133
Moneysupermarket.com Group plc		66,562		267,923
NEX Group plc		11,439		157,739
Next plc		956		63,908
Old Mutual plc		22,962		77,265
Persimmon plc		7,972		282,944
Playtech plc		6,304		64,836
RELX NV		4,136		85,735
RELX plc		1,965		40,365
Rio Tinto Ltd.		994		56,312
Rio Tinto plc		8,099		410,976
Rolls-Royce Holdings plc *		2,894		35,382
Royal Bank of Scotland Group plc *		82,433		299,877
Royal Mail plc		19,587		148,661
Segro plc, REIT		5,458		46,062
Sky plc		4,482		81,627
Smith & Nephew plc		9,583		179,269

INVESTMENTS	SHARES			VALUE
United Kingdom - 16.7% (continued)
Spectris plc		1,338		$	50,641
SSE plc		10,978			196,938
Standard Life Aberdeen plc		76,885			388,091
Tate & Lyle plc		3,513			26,831
Taylor Wimpey plc		26,198			67,871
Thomas Cook Group plc		116,383			193,245
Unilever plc		5,326			295,394
Vodafone Group plc		101,431			277,518
WH Smith plc		2,516			68,985
William Hill plc		78,976			366,179
					11,123,577
United States - 1.2%
Shire plc		16,583			825,333
TOTAL COMMON STOCKS (Cost $82,006,057)					82,199,319
SHORT-TERM INVESTMENTS - 3.3%
Investment Companies - 3.3%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.55% (c)		5,372			5,372
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.49% (c)		21,486			21,486
Limited Purpose Cash Investment Fund, 1.53% (c)		2,120,349			2,119,925
UBS Select Treasury Preferred Fund, Class I, 1.55% (c)		26,858			26,858
TOTAL SHORT-TERM INVESTMENTS (Cost $2,173,406)					2,173,641
TOTAL LONG POSITIONS (Cost $84,179,463)					84,372,960
SHORT POSITIONS - (28.0)%
COMMON STOCKS - (28.0)%
Australia - (2.3)%
AMP Ltd.		(54,048	)		(208,581	)
APA Group		(6,185	)		(37,660	)
Boral Ltd.		(42,165	)		(243,220	)
Challenger Ltd.		(13,919	)		(124,656	)
Healthscope Ltd.		(82,604	)		(123,767	)
Magellan Financial Group Ltd.		(10,345	)		(191,209	)
Oil Search Ltd.		(9,990	)		(55,492	)
REA Group Ltd.		(111	)		(6,815	)
SEEK Ltd.		(16,229	)		(234,077	)
Tabcorp Holdings Ltd.		(10,549	)		(35,773	)
TPG Telecom Ltd.		(31,442	)		(133,590	)
Transurban Group		(2,227	)		(19,639	)
Vocus Group Ltd.		(55,423	)		(95,521	)
					(1,510,000	)
Austria - (0.2)%
ams AG *		(1,176	)		(123,492	)
Belgium - (0.9)%
Anheuser-Busch InBev SA/NV		(4,152	)		(456,499	)

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

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149

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Belgium - (0.9)% (continued)
Telenet Group Holding NV *		(2,230	)	$	(149,064	)
					(605,563	)
Colombia - (0.3)%
Millicom International Cellular SA, SDR		(2,477	)		(169,513	)
Denmark - (1.8)%
AP Moller - Maersk A/S, Class B *		(380	)		(593,020	)
Chr Hansen Holding A/S		(364	)		(31,503	)
Genmab A/S *		(831	)		(179,035	)
ISS A/S *		(795	)		(29,526	)
Pandora A/S		(3,421	)		(370,139	)
					(1,203,223	)
Finland - (0.5)%
Amer Sports OYJ *		(5,671	)		(175,008	)
Huhtamaki OYJ		(2,882	)		(126,463	)
Orion OYJ, Class B		(2,002	)		(61,286	)
					(362,757	)
France - (1.9)%
Accor SA		(437	)		(23,609	)
Bollore SA		(23,823	)		(127,081	)
Bollore SA *		(8	)		(43	)
Edenred		(4,026	)		(140,035	)
Electricite de France SA		(39,133	)		(566,589	)
Iliad SA		(872	)		(180,525	)
Suez		(11,595	)		(168,011	)
Technicolor SA (Registered)		(41,431	)		(70,056	)
					(1,275,949	)
Germany - (1.4)%
Deutsche Bank AG (Registered)		(10,515	)		(146,689	)
GEA Group AG		(1,018	)		(43,292	)
Sartorius AG (Preference)		(2,590	)		(362,434	)
Zalando SE *(b)		(7,519	)		(410,303	)
					(962,718	)
Ireland - (0.4)%
James Hardie Industries plc, CHESS		(14,315	)		(254,057	)
Italy - (0.9)%
BPER Banca		(26,827	)		(149,591	)
Brembo SpA		(3,711	)		(57,366	)
Buzzi Unicem SpA		(4,325	)		(101,305	)
Davide Campari-Milano SpA		(8,743	)		(66,192	)
Leonardo SpA		(14,281	)		(165,161	)
Recordati SpA		(530	)		(19,555	)
UniCredit SpA *		(3	)		(63	)
Unione di Banche Italiane SpA		(10,484	)		(47,904	)
					(607,137	)
Japan - (7.5)%
Acom Co. Ltd. (1)*		(7,600	)		(33,856	)
Asics Corp. (1)		(2,000	)		(37,010	)
Bank of Kyoto Ltd. (The) (1)		(3,500	)		(195,386	)
Calbee, Inc. (1)		(1,300	)		(43,006	)
Chugai Pharmaceutical Co. Ltd. (1)		(700	)		(35,393	)
Chugoku Bank Ltd. (The) (1)		(1,600	)		(18,841	)
Chugoku Electric Power Co., Inc. (The) (1)		(10,600	)		(127,712	)

INVESTMENTS	SHARES			VALUE
Japan - (7.5)% (continued)
Concordia Financial Group Ltd. (1)		(8,300	)	$	(45,788	)
Dai-ichi Life Holdings, Inc. (1)		(1,000	)		(18,256	)
Eisai Co. Ltd. (1)		(300	)		(19,118	)
Hokuriku Electric Power Co. (1)*		(48,900	)		(415,447	)
Isetan Mitsukoshi Holdings Ltd. (1)		(5,100	)		(56,270	)
Japan Airport Terminal Co. Ltd. (1)		(500	)		(19,102	)
Kansai Paint Co. Ltd. (1)		(2,800	)		(65,207	)
Keikyu Corp. (1)		(20,000	)		(347,728	)
Kikkoman Corp. (1)		(1,400	)		(56,313	)
Kintetsu Group Holdings Co. Ltd. (1)		(800	)		(31,164	)
Kyushu Electric Power Co., Inc. (1)		(6,200	)		(73,884	)
Kyushu Financial Group, Inc. (1)		(5,300	)		(26,200	)
LINE Corp. (1)*		(2,400	)		(94,958	)
Marui Group Co. Ltd. (1)		(10,300	)		(209,862	)
Nagoya Railroad Co. Ltd. (1)		(2,300	)		(58,275	)
Nankai Electric Railway Co. Ltd. (1)		(2,400	)		(60,133	)
NGK Spark Plug Co. Ltd. (1)		(2,600	)		(62,627	)
Nippon Paint Holdings Co. Ltd. (1)		(6,000	)		(220,196	)
Odakyu Electric Railway Co. Ltd. (1)		(6,000	)		(121,404	)
Ricoh Co. Ltd. (1)		(35,700	)		(352,622	)
Sawai Pharmaceutical Co. Ltd. (1)		(2,800	)		(122,889	)
Seven Bank Ltd. (1)		(10,700	)		(34,090	)
Shimano, Inc. (1)		(400	)		(57,666	)
Shizuoka Bank Ltd. (The) (1)		(10,000	)		(94,544	)
Sony Financial Holdings, Inc. (1)		(2,100	)		(38,209	)
Sosei Group Corp. (1)*		(3,600	)		(298,407	)
Sumitomo Rubber Industries Ltd. (1)		(2,300	)		(42,194	)
Suruga Bank Ltd. (1)		(11,400	)		(157,385	)
T&D Holdings, Inc. (1)		(16,800	)		(266,593	)
Toho Gas Co. Ltd. (1)		(4,100	)		(126,000	)
Toray Industries, Inc. (1)		(26,800	)		(253,505	)
Toyota Industries Corp. (1)		(700	)		(42,366	)
Yamato Holdings Co. Ltd. (1)		(19,100	)		(479,002	)
Yokohama Rubber Co. Ltd. (The) (1)		(6,800	)		(157,402	)
					(5,016,010	)
Luxembourg - (0.7)%
Eurofins Scientific SE		(47	)		(24,768	)
Tenaris SA		(24,712	)		(427,173	)
					(451,941	)
Netherlands - (1.6)%
Altice NV, Class A *		(28,023	)		(231,595	)
Boskalis Westminster		(10,722	)		(314,264	)
Koninklijke KPN NV		(47,054	)		(141,491	)
Koninklijke Vopak NV		(1,115	)		(54,747	)
OCI NV *		(8,514	)		(197,002	)
SBM Offshore NV		(6,988	)		(112,053	)
					(1,051,152	)
Norway - (0.3)%
Gjensidige Forsikring ASA		(2,222	)		(40,868	)
Schibsted ASA, Class A		(783	)		(22,059	)
Yara International ASA		(3,262	)		(139,385	)
					(202,312	)
Portugal - 0.0% (d)
Banco Comercial Portugues SA, Class R *		(52,798	)		(17,704	)
Singapore - (0.1)%
SATS Ltd.		(4,900	)		(19,255	)

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

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150

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES			VALUE
Singapore - (0.1)% (continued)
Singapore Press Holdings Ltd.		(31,500	)	$	(60,777	)
					(80,032	)
Spain - (1.0)%
Bankia SA *		(13,457	)		(60,368	)
Cellnex Telecom SA (b)		(19,824	)		(529,973	)
Grifols SA		(1,711	)		(48,508	)
Industria de Diseno Textil SA		(1,064	)		(33,451	)
					(672,300	)
Sweden - (0.6)%
Hexpol AB		(4,093	)		(38,048	)
Modern Times Group MTG AB, Class B		(408	)		(16,591	)
Svenska Handelsbanken AB, Class A		(2,238	)		(28,013	)
Telefonaktiebolaget LM Ericsson, Class B		(45,546	)		(290,035	)
					(372,687	)
Switzerland - (1.1)%
Aryzta AG *		(6,924	)		(154,214	)
Credit Suisse Group AG (Registered) *		(14,145	)		(237,566	)
Dufry AG (Registered) *		(518	)		(68,039	)
Vifor Pharma AG		(1,882	)		(290,209	)
					(750,028	)
United Kingdom - (4.2)%
AstraZeneca plc		(672	)		(46,194	)
Auto Trader Group plc (b)		(10,080	)		(49,547	)
Capita plc		(14,171	)		(28,664	)
Centrica plc		(20,213	)		(40,472	)
Cobham plc *		(11,016	)		(18,983	)
ConvaTec Group plc (b)		(205,920	)		(574,505	)
Greene King plc		(4,073	)		(26,940	)
Hargreaves Lansdown plc		(1,266	)		(29,059	)
Inmarsat plc		(36,227	)		(184,200	)
Intertek Group plc		(277	)		(18,132	)
John Wood Group plc		(71,532	)		(543,545	)
Merlin Entertainments plc		(32,742	)		(159,210	)
Micro Focus International plc		(6,184	)		(86,351	)
Petrofac Ltd.		(6,305	)		(44,975	)
RPC Group plc		(5,144	)		(55,925	)
Subsea 7 SA		(15,298	)		(196,911	)
Tesco plc		(129,254	)		(373,997	)
Unilever NV, CVA		(1,373	)		(77,500	)
United Utilities Group plc		(22,825	)		(229,225	)
					(2,784,335	)
United States - (0.3)%
QIAGEN NV *		(6,353	)		(205,382	)
TOTAL COMMON STOCKS (Proceeds $(19,202,582))					(18,678,292	)
TOTAL SHORT POSITIONS (Proceeds $(19,202,582))					(18,678,292	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE -98.7% (Cost $64,976,881)					65,694,668
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3% (e)					918,067
NET ASSETS - 100.0%				$	66,612,735

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	10,087,061		15.1	%
Consumer Staples		4,314,823		6.5
Energy		2,011,590		3.0
Financials		9,793,801		14.8
Health Care		7,186,558		10.8
Industrials		11,061,069		16.6
Information Technology		7,586,181		11.4
Materials		7,188,138		10.8
Real Estate		2,952,878		4.4
Telecommunication Services		616,942		0.9
Utilities		721,986		1.1
Short-Term Investments		2,173,641		3.3
Total Investments In Securities At Value		65,694,668		98.7
Other Assets in Excess of Liabilities (e)		918,067		1.3
Net Assets	$	66,612,735		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 $20,563,789.

(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 March 31, 2018 amounted to $(210,457), which represents approximately (0.32)% of net assets of the fund.

(c) Represents 7-day effective yield as of March 31, 2018.

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

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

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

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

Abbreviations

CHESS - Clearing House Electronic Subregister System Depository Interest

CVA - Dutch Certification

OYJ - Public Traded Company

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

REIT - Real Estate Investment Trust

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

SGPS - Sociedade Gestora de Participacões Sociais

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

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151

Schedule of Investments March 31, 2018 (Unaudited)

AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI EAFE E-Mini Index		19	6/2018	USD		$1,900,570		$(4,434	)
								$(4,434	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMS
Cash		$—		$109,031		$109,031

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

AQR Funds Semi-Annual Report March 2018

152

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 75.5%
Brazil - 9.7%
Ambev SA, ADR		44,145	$	320,934
Banco Bradesco SA, ADR *		50,343		598,076
Banco do Brasil SA *		54,100		677,429
Banco Santander Brasil SA, ADR		7,773		93,431
BR Malls Participacoes SA		13,800		49,031
Braskem SA (Preference), Class A		12,200		177,377
Cia de Saneamento Basico do Estado de Sao Paulo, ADR *		10,797		114,340
Cielo SA		15,400		96,604
Embraer SA, ADR		10,551		274,326
Hypera SA		18,700		204,194
Itau Unibanco Holding SA, ADR		18,907		294,949
Itausa - Investimentos Itau SA (Preference)		79,600		332,485
Kroton Educacional SA		58,300		241,044
Localiza Rent a Car SA *		11,400		98,480
Petroleo Brasileiro SA (Preference) *		78,400		508,426
Porto Seguro SA *		8,700		127,649
Sul America SA *		10,240		68,082
Suzano Papel e Celulose SA *		20,900		212,010
TIM Participacoes SA, ADR *		16,788		363,796
Vale SA, ADR *		34,699		441,371
WEG SA		17,600		120,054
				5,414,088
Chile - 1.7%
Banco de Chile, ADR		1,329		133,671
Banco de Credito e Inversiones SA		286		21,216
Banco Santander Chile, ADR		6,507		218,050
Cia Cervecerias Unidas SA, ADR		428		12,587
Empresas CMPC SA		9,350		35,599
Empresas COPEC SA		1,562		24,521
Enel Americas SA, ADR		3,751		43,587
Enel Chile SA, ADR		14,320		91,648
Enel Generacion Chile SA		31,787		25,921
Latam Airlines Group SA, ADR		7,733		119,011
Sociedad Quimica y Minera de Chile SA, ADR		3,909		192,127
				917,938
China - 7.0%
58.com, Inc., ADR *		858		68,520
Alibaba Group Holding Ltd., ADR *		11,447		2,100,983
Baidu, Inc., ADR *		2,558		570,920
Ctrip.com International Ltd., ADR *		3,695		172,261
JD.com, Inc., ADR *		6,072		245,855
NetEase, Inc., ADR		734		205,806
New Oriental Education & Technology Group, Inc., ADR		1,251		109,650
SINA Corp. *		568		59,225
TAL Education Group, ADR		2,653		98,400
Vipshop Holdings Ltd., ADR *		3,741		62,175
Weibo Corp., ADR *		222		26,538
Yum China Holdings, Inc.		3,591		149,027
				3,869,360
Hungary - 0.1%
MOL Hungarian Oil & Gas plc (2)		1,894		20,665
OTP Bank plc (2)		609		27,364

INVESTMENTS	SHARES		VALUE
Hungary - 0.1% (continued)
Richter Gedeon Nyrt (2)		897	$	18,745
				66,774
India - 6.4%
Dr Reddy’s Laboratories Ltd., ADR		11,169		365,115
ICICI Bank Ltd., ADR		64,490		570,737
Infosys Ltd., ADR		76,403		1,363,793
Tata Motors Ltd., ADR *		14,712		378,098
Vedanta Ltd., ADR		17,516		307,756
Wipro Ltd., ADR		114,618		591,429
				3,576,928
Indonesia - 2.4%
Adaro Energy Tbk. PT (2)		2,680,300		417,617
Bank Central Asia Tbk. PT (2)		12,300		20,895
Bank Negara Indonesia Persero Tbk. PT (2)		683,200		432,666
Bank Rakyat Indonesia Persero Tbk. PT (2)*		456,100		119,699
Gudang Garam Tbk. PT (2)		500		2,640
Kalbe Farma Tbk. PT (2)		162,800		17,793
Perusahaan Gas Negara Persero Tbk. (2)		701,500		117,979
United Tractors Tbk. PT (2)		94,800		221,167
				1,350,456
Peru - 0.2%
Credicorp Ltd.		393		89,227
Southern Copper Corp.		529		28,661
				117,888
Philippines - 0.8%
Ayala Corp. (2)		610		11,131
Ayala Land, Inc. (2)		48,400		38,301
BDO Unibank, Inc. (2)		6,970		18,690
International Container Terminal Services, Inc. (2)		16,250		31,286
JG Summit Holdings, Inc. (2)		2,950		3,556
Jollibee Foods Corp. (2)		23,170		133,545
Metro Pacific Investments Corp. (2)		109,100		11,001
PLDT, Inc., ADR		737		20,909
Security Bank Corp. (2)		7,890		36,494
SM Investments Corp. (2)		4,280		75,743
SM Prime Holdings, Inc. (2)		82,100		53,378
				434,034
Poland - 1.6%
Alior Bank SA (2)*		6,395		137,712
Cyfrowy Polsat SA (2)		3,917		28,580
Jastrzebska Spolka Weglowa SA (2)*		16,630		394,276
LPP SA (2)		12		30,505
PGE Polska Grupa Energetyczna SA (2)*		41,010		118,863
Polski Koncern Naftowy ORLEN SA (2)		8,331		205,053
				914,989
Qatar - 0.1%
Qatar National Bank QPSC (2)		926		33,174
Romania - 0.1%
NEPI Rockcastle plc (2)		4,687		45,674
New Europe Property Investments plc (3)*(a)		246		—
				45,674

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

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153

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
Russia - 0.0% (b)
Mobile TeleSystems PJSC, ADR		1,569	$	17,871
South Africa - 6.7%
AngloGold Ashanti Ltd., ADR		25,910		245,886
Bid Corp. Ltd. (2)		3,200		69,440
Coronation Fund Managers Ltd. (2)		22,829		156,096
Exxaro Resources Ltd. (2)		89,399		825,167
Fortress REIT Ltd., Class B (2)		15,469		15,618
Foschini Group Ltd. (The) (2)		7,737		145,939
Gold Fields Ltd., ADR		59,620		239,672
Growthpoint Properties Ltd., REIT (2)		19,539		46,866
Imperial Holdings Ltd. (2)		12,761		251,549
Investec Ltd. (2)		4,937		38,556
MMI Holdings Ltd. (2)		51,272		95,595
Mondi Ltd. (2)		651		17,720
Mr Price Group Ltd. (2)		24,244		583,017
Naspers Ltd., Class N (2)		2,531		619,369
Pick n Pay Stores Ltd. (2)		4,459		25,879
Redefine Properties Ltd., REIT (2)		54,814		53,672
Remgro Ltd. (2)		4,935		92,502
RMB Holdings Ltd. (2)		12,155		79,262
Sasol Ltd. (2)		1,137		38,790
Standard Bank Group Ltd. (2)		3,596		66,449
				3,707,044
South Korea - 26.4%
BGF retail Co. Ltd.		8		1,268
BNK Financial Group, Inc.		22,925		223,680
Celltrion, Inc. *		916		265,974
DB Insurance Co. Ltd.		365		22,258
DGB Financial Group, Inc.		5,939		64,912
Doosan Bobcat, Inc.		644		18,971
E-MART, Inc.		86		22,067
Hana Financial Group, Inc.		5,930		254,524
Hanwha Chemical Corp.		5,957		166,543
Hanwha Corp.		11,064		406,375
Hanwha Life Insurance Co. Ltd.		50,996		296,149
Hotel Shilla Co. Ltd.		4,001		359,974
Hyundai Department Store Co. Ltd.		2,884		250,547
Hyundai Development Co.-Engineering & Construction		1,787		64,462
Hyundai Engineering & Construction Co. Ltd.		3,162		129,636
Hyundai Marine & Fire Insurance Co. Ltd.		5,059		184,628
KB Financial Group, Inc.		2,706		154,099
Korea Investment Holdings Co. Ltd.		6,714		520,919
Korean Air Lines Co. Ltd.		964		30,569
KT Corp., ADR		19,668		269,452
KT&G Corp.		1,097		102,918
LG Corp.		11,332		915,363
LG Electronics, Inc.		10,779		1,107,328
Lotte Chemical Corp.		877		356,263
Lotte Shopping Co. Ltd.		708		155,761
NCSoft Corp.		882		347,537
NH Investment & Securities Co. Ltd.		6,794		90,191
OCI Co. Ltd.		5,613		826,758
Orion Corp.		70		8,406
POSCO		678		207,045
Posco Daewoo Corp.		3,169		68,083

INVESTMENTS	SHARES		VALUE
South Korea - 26.4% (continued)
Samsung Electronics Co. Ltd.		1,555	$	3,590,258
Samsung SDS Co. Ltd.		2,239		536,696
SillaJen, Inc. *		604		60,632
SK Hynix, Inc.		27,548		2,101,185
SK Innovation Co. Ltd.		817		161,729
SK Telecom Co. Ltd.		1,341		293,764
				14,636,924
Taiwan - 12.1%
Catcher Technology Co. Ltd.		51,000		620,948
Chailease Holding Co. Ltd.		35,000		123,641
China Airlines Ltd. *		586,000		214,045
China Development Financial Holding Corp.		1,028,000		366,677
China Life Insurance Co. Ltd.		25,170		25,898
Compal Electronics, Inc.		32,000		21,731
CTBC Financial Holding Co. Ltd.		138,000		100,340
E.Sun Financial Holding Co. Ltd.		59,000		39,459
Eva Airways Corp.		245,000		125,202
Evergreen Marine Corp. Taiwan Ltd. *		68,000		35,216
First Financial Holding Co. Ltd.		323,240		224,495
Formosa Chemicals & Fibre Corp.		5,000		18,606
Formosa Petrochemical Corp.		8,000		32,788
Globalwafers Co. Ltd.		2,000		32,239
Hiwin Technologies Corp.		42,000		600,678
Hon Hai Precision Industry Co. Ltd.		90,000		282,128
Lite-On Technology Corp.*		142,000		197,973
MediaTek, Inc.		3,000		34,983
Micro-Star International Co. Ltd.		68,000		222,958
Nanya Technology Corp.		9,000		28,336
Nien Made Enterprise Co. Ltd.		8,000		76,963
Novatek Microelectronics Corp.		6,000		27,163
Phison Electronics Corp.		14,000		148,849
Powertech Technology, Inc.		13,000		40,663
Realtek Semiconductor Corp.		57,000		252,186
Shin Kong Financial Holding Co. Ltd.		221,000		87,166
Taiwan Cooperative Financial Holding Co. Ltd.		90,000		53,092
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		58,072		2,541,230
Uni-President Enterprises Corp.		16,000		37,590
Yuanta Financial Holding Co. Ltd.		122,000		55,860
				6,669,103
United Arab Emirates - 0.2%
Emaar Properties PJSC (2)		29,575		46,744
Emirates Telecommunications Group Co. PJSC (2)		16,258		78,192
				124,936
TOTAL COMMON STOCKS (Cost $40,128,846)				41,897,181

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

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154

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 23.8%
Investment Companies - 23.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.61% (2)(c)(d)		8,425,469	$	8,425,469
Limited Purpose Cash Investment Fund, 1.53% (2)(c)		4,824,599		4,823,634
TOTAL SHORT-TERM INVESTMENTS (Cost $13,248,596)				13,249,103
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.3% (Cost $53,377,442)				55,146,284
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% (e)				409,941
NET ASSETS - 100.0%			$	55,556,225

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	5,199,586		9.4	%
Consumer Staples		603,730		1.1
Energy		2,417,132		4.4
Financials		7,490,272		13.5
Health Care		932,453		1.7
Industrials		3,331,059		6.0
Information Technology		16,110,883		29.0
Materials		3,906,462		7.0
Real Estate		349,283		0.6
Telecommunication Services		1,043,984		1.9
Utilities		512,337		0.9
Short-Term Investments		13,249,103		23.8
Total Investments In Securities At Value		55,146,284		99.3
Other Assets in Excess of Liabilities (e)		409,941		0.7
Net Assets	$	55,556,225		100.0	%

* Non-income producing security.

(a) Security fair valued as of March 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at March 31, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

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

(c) Represents 7-day effective yield as of March 31, 2018.

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

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

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

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

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

Abbreviations

ADR - American Depositary Receipt

OJSC - Open Joint Stock Company

PJSC - Public Joint Stock Company

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

REIT - Real Estate Investment Trust

Futures contracts outstanding as of March 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
MSCI Emerging Markets E-Mini Index		8	6/2018	USD		$475,120		$(1,819	)
								$(1,819	)

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

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155

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

Total Return Basket Swaps Outstanding at March 31, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Johannesburg Interbank Agreed Rate plus or minus a specified spread (-0.82% to -0.75%), which is denominated in ZAR based on the local currencies of the positions within the swap.	52-61 months maturity ranging from 05/31/2022-02/26/2023		$337,458		$26,605		$(5,968	)		$20,637
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Warsaw Interbank Effective Rate plus or minus a specified spread (-0.40%), which is denominated in PLN based on the local currencies of the positions within the swap.	55-61 months maturity ranging from 08/31/2022- 02/06/2023		$74,756		$5,915		$1,374			$7,289
COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR plus or minus a specified spread (-6.00% to 0.40%), which is denominated in HKD based on the local currencies of the positions within the swap.	47-61 months maturity ranging from 12/20/2021- 03/13/2023		$28,141,781		$62,690		$(29,172	)		$33,518

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
China
AAC Technologies Holdings, Inc.		25,000	$	458,114	$	(18,688	)		(55.8	)%
Air China Ltd.		112,000		144,640		(9,454	)		(28.2	)
ANTA Sports Products Ltd.		136,000		694,254		16,397			48.9
Bank of China Ltd.		701,000		382,928		(8,160	)		(24.3	)
Beijing Capital International Airport Co. Ltd.		240,000		324,139		(27,195	)		(81.1	)
Beijing Enterprises Holdings Ltd.		42,500		223,809		(6,602	)		(19.7	)
China Cinda Asset Management Co. Ltd.		813,000		297,669		382			1.1
China Construction Bank Corp.		1,083,000		1,131,198		(18,615	)		(55.5	)
China Evergrande Group		38,000		121,460		7,541			22.5
China Mengniu Dairy Co. Ltd.		38,000		131,141		10,101			30.1

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
China (continued)
China Mobile Ltd.		100,500		$	921,122		$	(14,020	)		(41.8	) %
China Shenhua Energy Co. Ltd.		73,500			184,465			(19,701	)		(58.8	)
China Southern Airlines Co. Ltd.		296,000			309,339			(48,390	)		(144.4	)
China Taiping Insurance Holdings Co. Ltd.		138,600			465,590			(63,729	)		(190.1	)
Chongqing Rural Commercial Bank Co. Ltd.		364,000			281,377			(13,461	)		(40.2	)
CNOOC Ltd.		168,000			248,756			6,766			20.2
Country Garden Holdings Co. Ltd.		77,000			160,761			27,364			81.6
CSPC Pharmaceutical Group Ltd.		210,000			566,058			83,993			250.6
Fosun International Ltd.		188,000			412,485			5,355			16.0
Geely Automobile Holdings Ltd.		546,000			1,599,910			(3,858	)		(11.5	)
Haitian International Holdings Ltd.		109,000			331,420			26,529			79.1
Industrial & Commercial Bank of China Ltd.		1,069,000			931,619			(20,007	)		(59.7	)
Kingsoft Corp. Ltd.		74,000			238,389			3,220			9.6
People’s Insurance Co. Group of China Ltd. (The)		738,000			349,036			(34,144	)		(101.9	)
PICC Property & Casualty Co. Ltd.		218,000			385,212			(28,501	)		(85.0	)
Sunny Optical Technology Group Co. Ltd.		17,300			324,622			38,862			115.9
Tencent Holdings Ltd.		63,900			3,430,125			(162,431	)		(484.6	)
Hong Kong
GCL-Poly Energy Holdings Ltd.		1,592,000			198,954			(56,085	)		(167.3	)
Haier Electronics Group Co. Ltd.		405,000			1,451,992			56,463			168.5
Nine Dragons Paper Holdings Ltd.		282,000			427,400			27,357			81.6
Sino Biopharmaceutical Ltd.		861,000			1,711,144			175,458			523.5
Sun Art Retail Group Ltd.		343,000			401,384			(23,361	)		(69.7	)
Short Positions
Common Stock
China
Alibaba Health Information Technology Ltd.		(288,000	)		(144,181	)		(7,699	)		(23.0	)
Beijing Enterprises Water Group Ltd.		(340,000	)		(191,298	)		28,074			83.8
Brilliance China Automotive Holdings Ltd.		(212,000	)		(447,592	)		81,777			244.0
BYD Co. Ltd.		(33,000	)		(262,776	)		36,421			108.7
CGN Power Co. Ltd.		(2,228,000	)		(579,626	)		8,806			26.3
China Galaxy Securities Co. Ltd.		(534,500	)		(358,829	)		15,844			47.3
China Pacific Insurance Group Co. Ltd.		(118,800	)		(539,081	)		29,779			88.8
China Railway Construction Corp. Ltd.		(357,500	)		(359,758	)		21,528			64.2
China State Construction International Holdings Ltd.		(452,000	)		(555,109	)		52,624			157.0
ENN Energy Holdings Ltd.		(69,000	)		(620,235	)		(67,313	)		(200.8	)
Haitong Securities Co. Ltd.		(167,600	)		(223,237	)		13,376			39.9
Huaneng Power International, Inc.		(350,000	)		(236,443	)		(26,691	)		(79.6	)
Huaneng Renewables Corp. Ltd.		(376,000	)		(141,576	)		(15,222	)		(45.4	)
Kunlun Energy Co. Ltd.		(210,000	)		(182,378	)		4,645			13.9
Lenovo Group Ltd.		(2,696,000	)		(1,386,637	)		(34,510	)		(103.0	)
Zijin Mining Group Co. Ltd.		(1,004,000	)		(457,025	)		22,780			68.0
Hong Kong
Alibaba Pictures Group Ltd.		(1,950,000	)		(255,048	)		536			1.6
China Gas Holdings Ltd.		(65,400	)		(239,768	)		(21,669	)		(64.6	)

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

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157

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-0.75% to 0.70%), which is denominated in TRY based on the local currencies of the positions within the swap.	52-61 months maturity ranging from 05/30/2022-03/13/2023		$2,158,732		$130,917		$(3,121	)		$127,796

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Turkey
BIM Birlesik Magazalar A/S		6,622		$	120,681		$	(1,158	)		(0.9	)%
TAV Havalimanlari Holding A/S		23,025			139,365			8,336			6.5
Turk Hava Yollari AO		254,828			1,234,320			133,989			104.8
Short Positions
Common Stock
Turkey
Arcelik A/S		(16,376	)		(74,091	)		3,319			2.6
Turk Telekomunikasyon A/S		(62,942	)		(106,092	)		(6,866	)		(5.4	)
Turkcell Iletisim Hizmetleri A/S		(126,089	)		(484,183	)		(6,703	)		(5.2	)

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

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Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread (-0.67% to 0.50%), which is denominated in MXN based on the local currencies of the positions within the swap	47-60 months maturity ranging from 12/20/2021-01/11/2023		$2,111,309		$38,874		$(9,766	)		$29,108

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Mexico
Arca Continental SAB de CV		2,400		$	16,595		$	(922	)		(3.2	)%
Fibra Uno Administracion SA de CV		25,700			38,677			(393	)		(1.4	)
Gentera SAB de CV		61,600			44,929			(7,306	)		(25.1	)
Gruma SAB de CV		2,370			27,190			(1,077	)		(3.7	)
Grupo Aeroportuario del Pacifico SAB de CV		17,000			167,971			(9,426	)		(32.4	)
Grupo Financiero Banorte SAB de CV		10,000			61,128			(2,796	)		(9.6	)
Industrias Penoles SAB de CV		805			16,262			(1,409	)		(4.8	)
Mexichem SAB de CV		100,978			309,044			8,329			28.6
Wal-Mart de Mexico SAB de CV		553,143			1,407,503			52,424			180.1
Short Positions
Common Stock
Mexico
Infraestructura Energetica Nova SAB de CV		(4,500	)		(22,010	)		1,450			5.0

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

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159

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			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 (-5.46% to 0.70%), which is denominated in USD based on the local currencies of the positions within the swap.	47-72 months maturity ranging from 12/20/2021-03/29/2023		$14,040,132		$(141,661	)		$(4,068	)		$(145,729	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
India
Axis Bank Ltd.		2,866		$	113,858		$	(4,905	)		3.4	%
Larsen & Toubro Ltd.		8,071			162,616			(2,750	)		1.9
Reliance Industries Ltd.		11,984			325,919			(16,175	)		11.1
State Bank of India		3,012			116,319			(9,086	)		6.2
Malaysia
AirAsia Bhd.		148,500			150,880			(6,126	)		4.2
Genting Bhd.		47,400			106,981			(846	)		0.6
Genting Malaysia Bhd.		21,500			27,236			(2,010	)		1.4
Hong Leong Bank Bhd.		20,000			97,208			3,303			(2.3	)
Malayan Banking Bhd.		148,800			407,777			22,497			(15.4	)
Malaysia Airports Holdings Bhd.		181,300			414,815			10,984			(7.5	)
Petronas Chemicals Group Bhd.		20,700			44,204			1,599			(1.1	)
Public Bank Bhd.		11,800			73,216			6,968			(4.8	)
Russia
Gazprom PJSC, ADR		49,419			240,974			711			(0.5	)
LUKOIL PJSC, ADR		3,969			274,034			13,905			(9.5	)
MMC Norilsk Nickel PJSC, ADR		9,579			177,792			(18,577	)		12.7
Novatek PJSC		856			117,433			91			(0.1	)
Novolipetsk Steel PJSC		14,332			358,255			(9,751	)		6.7
Rosneft Oil Co. PJSC		11,077			60,845			(2,405	)		1.7
Severstal PJSC		16,452			248,744			(20,312	)		13.9
Surgutneftegas OJSC, ADR		5,639			27,632			238			(0.2	)
Tatneft PJSC, ADR		2,369			150,038			9,326			(6.4	)
Thailand
Airports of Thailand PCL		104,000			224,496			(1,383	)		0.9
Central Pattana PCL		10,900			27,189			(1,549	)		1.1
Home Product Center PCL		481,500			218,654			2,679			(1.8	)
Indorama Ventures PCL		46,900			85,866			5,682			(3.9	)
PTT Global Chemical PCL		284,600			860,080			25,832			(17.7	)
Robinson PCL		54,400			110,035			(11,568	)		7.9
Thai Oil PCL		194,300			570,100			(53,512	)		36.7
Short Positions
Common Stock
Brazil
Centrais Eletricas Brasileiras SA		(61,000	)		(388,011	)		12,138			(8.3	)
Cia Siderurgica Nacional SA		(202,800	)		(540,563	)		76,347			(52.4	)

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

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160

Schedule of Investments March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Brazil (continued)
Lojas Americanas SA (Preference)		(5,000	)	$	(28,533	)	$	(3,682	)		2.5	%
Raia Drogasil SA		(7,300	)		(165,394	)		1,428			(1.0	)
Ultrapar Participacoes SA		(10,800	)		(232,000	)		13,449			(9.2	)
Indonesia
Matahari Department Store Tbk. PT		(34,600	)		(27,637	)		(694	)		0.5
Mexico
Cemex SAB de CV, ADR		(10,447	)		(69,159	)		10,447			(7.2	)
Grupo Televisa SAB, ADR		(7,871	)		(125,621	)		20,302			(13.9	)
South Korea
Amorepacific Corp.		(567	)		(168,627	)		(21,508	)		14.8
CJ CheilJedang Corp.		(2,517	)		(759,185	)		5,864			(4.0	)
CJ Corp.		(1,563	)		(233,152	)		1,182			(0.8	)
CJ Logistics Corp.		(2,572	)		(331,785	)		(20,549	)		14.1
GS Retail Co. Ltd.		(8,889	)		(272,282	)		18,389			(12.6	)
Hanssem Co. Ltd.		(3,525	)		(510,942	)		(28,292	)		19.4
Hanwha Techwin Co. Ltd.		(24,593	)		(682,947	)		(45,916	)		31.5
Hyundai Motor Co.		(1,403	)		(188,883	)		18,629			(12.8	)
Hyundai Wia Corp.		(1,395	)		(72,374	)		(562	)		0.4
Korea Aerospace Industries Ltd.		(24,635	)		(1,154,441	)		(39,849	)		27.3
Kumho Petrochemical Co. Ltd.		(3,125	)		(282,625	)		(18,340	)		12.6
Pan Ocean Co. Ltd.		(92,101	)		(449,315	)		51,000			(35.0	)
Samsung C&T Corp.		(6,736	)		(884,736	)		(54,614	)		37.5
Thailand
True Corp. PCL		(2,681,300	)		(608,802	)		(78,648	)		54.0

Collateral pledged to, or (received from), each counterparty at March 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
JPMC
Cash		$—		$32,919		$32,919
Investment Companies		8,410,000		—		8,410,000

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

AQR Funds Semi-Annual Report March 2018

161

Schedule of Investments March 31, 2018 (Unaudited)

The following reference rates, and their values as of period-end, are used for security descriptions:

Australian Bank-Bill Swap Reference Rate: 1.83%

Euro Interbank Offered Rate (“EURIBOR”): -0.37%

Hong Kong Interbank Offered Rate (“HIBOR”): 0.99%

Johannesburg Interbank Agreed Rate: 6.63%

London Interbank Offered Rate (“LIBOR”): 1.88%

Mexico Equilibrium Interbank Interest Rate: 7.87%

Singapore Swap Offered Rate (“SOR”): 1.09%

Stockholm Interbank Offered Rate (“STIBOR”): -0.48%

Warsaw Interbank Effective Rate: 1.54%

The following abbreviations are used for counterparty descriptions:

BARC - Barclays Capital, Inc.

CITG - Citigroup Global Markets, Inc.

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank NA

JPMS - J.P. Morgan Securities LLC

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

AQR Funds Semi-Annual Report March 2018

162

Statements of Assets and Liabilities March 31, 2018 (Unaudited)

	AQR LARGE CAP MULTI-STYLE FUND		AQR SMALL CAP MULTI-STYLE FUND		AQR INTERNATIONAL MULTI-STYLE FUND			AQR EMERGING MULTI-STYLE FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	1,587,941,344	$	617,200,061	$	413,969,012		$	265,534,736
Investments in securities of unaffiliated issuers, at value*	$	1,953,228,666	$	736,981,802	$	470,704,795		$	349,885,448
Cash		500,339		110,921		51,790			—
Cash denominated in foreign currencies‡		—		—		1,080,090			574,402
Deposits with brokers for futures contracts		1,658,039		612,623		544,746			213,149
Variation margin on futures contracts		461,090		120,985		117,412			101,673
Receivables:
Foreign tax reclaims		—		—		817,134			—
Dividends		1,619,586		586,166		2,088,513			899,147
Capital shares sold		1,296,909		406,710		323,251			319,184
Prepaid expenses		49,592		28,605		23,825			21,141
Total Assets		1,958,814,221		738,847,812		475,751,556			352,014,144
LIABILITIES:
Due to custodian		—		—		—			16,256
Payables:
Securities purchased		—		—		187			—
Collateral received on securities loaned		9,679,467		39,343,538		270,580			8,366,269
Accrued investment advisory fees		527,132		290,868		165,852			145,328
Accrued distribution fees—Class N		16,052		1,532		1,588			1,494
Capital shares redeemed		1,307,934		389,368		489,437			161,957
Other accrued expenses and liabilities		378,426		132,123		119,403			130,366
Total Liabilities		11,909,011		40,157,429		1,047,047			8,821,670
Net Assets	$	1,946,905,210	$	698,690,383	$	474,704,509		$	343,192,474
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	1,540,642,978	$	545,882,935	$	437,870,563		$	282,077,433
Undistributed accumulated net investment income (loss)		6,339,992		838,482		1,053,819			826,012
Undistributed accumulated net realized gain (loss)		36,444,215		32,759,859		(20,859,332	)		(23,904,957	)
Net unrealized appreciation (depreciation)		363,478,025		119,209,107		56,639,459			84,193,986
Net Assets	$	1,946,905,210	$	698,690,383	$	474,704,509		$	343,192,474
NET ASSETS:
Class I	$	460,620,249	$	57,679,209	$	80,922,858		$	42,720,768
Class N		73,450,772		6,970,609		7,416,581			6,961,814
Class R6		1,412,834,189		634,040,565		386,365,070			293,509,892
SHARES OUTSTANDING:
Class I		26,156,784		3,911,170		6,816,757			3,714,133
Class N		4,186,440		473,985		625,670			605,408
Class R6		80,278,952		42,936,757		32,595,025			25,487,023
NET ASSET VALUE:
Class I	$	17.61	$	14.75	$	11.87		$	11.50
Class N	$	17.54	$	14.71	$	11.85		$	11.50
Class R6	$	17.60	$	14.77	$	11.85		$	11.52
*  Includes market value of securities out on loan	$	16,591,928	$	38,498,009	$	257,535		$	8,148,136
‡  Cash denominated in foreign currencies at cost	$	—	$	—	$	1,080,880		$	565,843

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

AQR Funds Semi-Annual Report March 2018

163

Statements of Assets and Liabilities March 31, 2018 (Unaudited)

	AQR TM LARGE CAP MULTI-STYLE FUND			AQR TM SMALL CAP MULTI-STYLE FUND			AQR TM INTERNATIONAL MULTI-STYLE FUND			AQR TM EMERGING MULTI-STYLE FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	210,403,321		$	27,527,198		$	151,656,764		$	266,525,566
Investments in securities of unaffiliated issuers, at value*	$	263,290,683		$	32,897,441		$	184,243,787		$	383,441,870
Cash		64,002			5,135			139,006			—
Cash denominated in foreign currencies‡		—			—			600,647			1,081,263
Deposits with brokers for futures contracts		—			—			220,620			229,407
Variation margin on futures contracts		—			—			47,863			108,826
Receivables:
Foreign tax reclaims		—			—			429,223			—
Dividends		267,948			23,027			841,879			1,106,948
Capital shares sold		162,797			87,116			86,888			64,190
Prepaid expenses		38,422			32,655			34,712			38,158
Total Assets		263,823,852			33,045,374			186,644,625			386,070,662
LIABILITIES:
Due to custodian		—			—			—			25,993
Payables:
Securities purchased		1,453,770			202,986			44			—
Collateral received on securities loaned		545,142			1,179,516			—			11,233,765
Accrued investment advisory fees		60,703			2,778			56,295			165,828
Accrued distribution fees—Class N		522			1,231			485			539
Capital shares redeemed		23,101			17,050			56,134			117,723
Other accrued expenses and liabilities		66,954			38,409			69,243			137,058
Total Liabilities		2,150,192			1,441,970			182,201			11,680,906
Net Assets	$	261,673,660		$	31,603,404		$	186,462,424		$	374,389,756
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	209,905,825		$	26,315,306		$	159,805,457		$	267,768,770
Undistributed accumulated net investment income (loss)		903,250			26,377			407,478			962,842
Undistributed accumulated net realized gain (loss)		(2,022,777	)		(108,522	)		(6,298,624	)		(11,141,977	)
Net unrealized appreciation (depreciation)		52,887,362			5,370,243			32,548,113			116,800,121
Net Assets	$	261,673,660		$	31,603,404		$	186,462,424		$	374,389,756
NET ASSETS:
Class I	$	74,965,791		$	23,535,616		$	27,500,621		$	19,936,518
Class N		2,395,903			5,702,906			2,265,355			2,504,522
Class R6		184,311,966			2,364,882			156,696,448			351,948,716
SHARES OUTSTANDING:
Class I		5,886,707			1,978,761			2,470,988			1,679,707
Class N		188,513			480,758			204,076			210,835
Class R6		14,461,138			198,460			14,058,068			29,636,552
NET ASSET VALUE:
Class I	$	12.73		$	11.89		$	11.13		$	11.87
Class N	$	12.71		$	11.86		$	11.10		$	11.88
Class R6	$	12.75		$	11.92		$	11.15		$	11.88
*  Includes market value of securities out on loan	$	1,463,236		$	1,166,037		$	—		$	10,920,091
‡  Cash denominated in foreign currencies at cost	$	—		$	—		$	600,511		$	1,064,878

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

AQR Funds Semi-Annual Report March 2018

164

Statements of Assets and Liabilities March 31, 2018 (Unaudited)

	AQR LARGE CAP MOMENTUM STYLE FUND		AQR SMALL CAP MOMENTUM STYLE FUND		AQR INTERNATIONAL MOMENTUM STYLE FUND			AQR EMERGING MOMENTUM STYLE FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	803,283,626	$	310,388,251	$	354,606,683		$	9,847,709
Investments in securities of unaffiliated issuers, at value*	$	1,045,820,804	$	397,438,745	$	425,410,982		$	13,919,318
Cash		207,468		51,276		255,290			25
Cash denominated in foreign currencies‡		431		—		858,986			22,397
Deposits with brokers for futures contracts		951,069		234,611		364,605			—
Variation margin on futures contracts		290,578		47,196		78,165			—
Receivables:
Foreign tax reclaims		—		—		806,477			—
Dividends		559,692		173,050		1,178,836			36,676
Capital shares sold		1,283,319		86,794		393,655			9,708
Due from Investment Adviser		—		—		—			11,217
Prepaid expenses		44,361		28,389		29,917			15,742
Total Assets		1,049,157,722		398,060,061		429,376,913			14,015,083
LIABILITIES:
Payables:
Securities purchased		—		—		102			—
Collateral received on securities loaned		10,012,768		22,327,731		—			246,660
Accrued investment advisory fees		228,969		139,198		125,883			—
Accrued distribution fees—Class N		14,310		254		7,797			284
Capital shares redeemed		371,751		466,825		692,264			—
Other accrued expenses and liabilities		351,793		146,714		146,737			64,810
Total Liabilities		10,979,591		23,080,722		972,783			311,754
Net Assets	$	1,038,178,131	$	374,979,339	$	428,404,130		$	13,703,329
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	750,205,108	$	273,184,688	$	371,166,087		$	11,085,406
Undistributed accumulated net investment income (loss)		2,004,625		113,413		225,085			(6,645	)
Undistributed accumulated net realized gain (loss)		44,500,203		14,870,830		(13,675,770	)		(1,446,569	)
Net unrealized appreciation (depreciation)		241,468,195		86,810,408		70,688,728			4,071,137
Net Assets	$	1,038,178,131	$	374,979,339	$	428,404,130		$	13,703,329
NET ASSETS:
Class I	$	903,279,649	$	360,409,612	$	341,218,925		$	10,142,507
Class N		65,647,365		1,170,299		36,602,638			1,323,442
Class R6		69,251,117		13,399,428		50,582,567			2,237,380
SHARES OUTSTANDING:
Class I		40,933,444		15,138,918		21,482,451			863,831
Class N		2,974,661		49,087		2,308,149			112,655
Class R6		3,145,563		563,926		3,189,167			190,347
NET ASSET VALUE:
Class I	$	22.07	$	23.81	$	15.88		$	11.74
Class N	$	22.07	$	23.84	$	15.86		$	11.75
Class R6	$	22.02	$	23.76	$	15.86		$	11.75
*  Includes market value of securities out on loan	$	23,356,970	$	21,872,955	$	—		$	248,893
‡  Cash denominated in foreign currencies at cost	$	426	$	—	$	860,916		$	22,236

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

AQR Funds Semi-Annual Report March 2018

165

Statements of Assets and Liabilities March 31, 2018 (Unaudited)

	AQR TM LARGE CAP MOMENTUM STYLE FUND			AQR TM SMALL CAP MOMENTUM STYLE FUND			AQR TM INTERNATIONAL MOMENTUM STYLE FUND			AQR LARGE CAP DEFENSIVE STYLE FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	139,636,081		$	48,228,625		$	100,361,584		$	1,106,553,409
Investments in securities of unaffiliated issuers, at value*	$	200,778,199		$	61,515,932		$	120,053,465		$	1,399,625,275
Cash		47,549			6,271			1,040			527,019
Cash denominated in foreign currencies‡		—			—			283,825			—
Deposits with brokers for futures contracts		203,731			—			167,498			1,594,528
Variation margin on futures contracts		56,912			—			35,848			442,804
Receivables:
Foreign tax reclaims		—			—			227,368			—
Dividends		120,809			23,716			364,924			1,623,520
Capital shares sold		87,297			25,094			461,680			4,236,318
Prepaid expenses		33,249			26,075			29,759			90,699
Total Assets		201,327,746			61,597,088			121,625,407			1,408,140,163
LIABILITIES:
Payables:
Securities purchased		—			—			59			—
Collateral received on securities loaned		871,039			2,960,030			403,606			9,118,070
Accrued investment advisory fees		36,170			11,163			24,019			295,626
Accrued distribution fees—Class N		2,089			850			1,198			59,351
Capital shares redeemed		915,694			36,839			572,042			752,585
Other accrued expenses and liabilities		69,552			42,300			59,991			374,717
Total Liabilities		1,894,544			3,051,182			1,060,915			10,600,349
Net Assets	$	199,433,202		$	58,545,906		$	120,564,492		$	1,397,539,814
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	140,356,604		$	45,206,933		$	112,957,047		$	1,095,850,757
Undistributed accumulated net investment income (loss)		409,587			(26,591	)		301,699			5,171,549
Undistributed accumulated net realized gain (loss)		(2,448,691	)		78,257			(12,362,871	)		4,523,163
Net unrealized appreciation (depreciation)		61,115,702			13,287,307			19,668,617			291,994,345
Net Assets	$	199,433,202		$	58,545,906		$	120,564,492		$	1,397,539,814
NET ASSETS:
Class I	$	98,330,154		$	54,390,778		$	52,085,319		$	852,523,012
Class N		9,655,077			3,953,925			5,667,366			277,481,109
Class R6		91,447,971			201,203			62,811,807			267,535,693
SHARES OUTSTANDING:
Class I		4,607,769			2,733,185			3,717,390			44,512,396
Class N		454,617			199,929			406,822			14,516,963
Class R6		4,291,826			10,115			4,495,128			13,992,698
NET ASSET VALUE:
Class I	$	21.34		$	19.90		$	14.01		$	19.15
Class N	$	21.24		$	19.78		$	13.93		$	19.11
Class R6	$	21.31		$	19.89		$	13.97		$	19.12
*  Includes market value of securities out on loan	$	2,987,126		$	2,907,057		$	612,166		$	26,233,127
‡  Cash denominated in foreign currencies at cost	$	—		$	—		$	283,667		$	—

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

AQR Funds Semi-Annual Report March 2018

166

Statements of Assets and Liabilities March 31, 2018 (Unaudited)

	AQR INTERNATIONAL DEFENSIVE STYLE FUND			AQR EMERGING DEFENSIVE STYLE FUND			AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	170,025,436		$	68,580,663		$	321,828,958	$	401,249,418
Investments in securities of unaffiliated issuers, at value*	$	194,892,939		$	81,458,042		$	354,100,950	$	444,800,644
Cash		10,125			—			—		—
Cash denominated in foreign currencies‡		702,618			256,554			948,007		1,825,052
Unrealized appreciation on forward foreign currency exchange contracts		—			—			1,697,921		1,518,658
Unrealized appreciation on OTC swaps		—			—			391,696		623,986
Due from broker		—			—			19,055		—
Deposits with brokers for futures contracts		49,858			164,232			6,377,984		8,862,944
Variation margin on futures contracts		11,550			77,771			332,176		521,123
Receivables:
Securities sold		—			—			14,995,664		733,786
Foreign tax reclaims		235,443			5,662			357,624		1,623,536
Dividends		718,643			198,031			579,854		1,575,233
Capital shares sold		10,076			62,215			125,751		307,424
Prepaid expenses		24,229			20,204			41,643		34,923
Total Assets		196,655,481			82,242,711			379,968,325		462,427,309
LIABILITIES:
Due to custodian		—			2,286			44,280		8,526,485
Due to broker		—			—			62,000		330,667
Unrealized depreciation on forward foreign currency exchange contracts		—			—			1,297,333		1,478,914
Unrealized depreciation on OTC swaps		—			—			249,225		146,471
Payables:
Securities purchased		87			—			17,276,279		1,571,081
Collateral received on securities loaned		2,617,442			2,136,177			272,361		—
Accrued investment advisory fees		51,554			21,223			172,483		236,039
Accrued distribution fees—Class N		4,411			1,184			443		4,153
Capital shares redeemed		96,920			34,757			68,534		132,305
Other accrued expenses and liabilities		91,652			70,347			92,102		145,443
Total Liabilities		2,862,066			2,265,974			19,535,040		12,571,558
Net Assets	$	193,793,415		$	79,976,737		$	360,433,285	$	449,855,751
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	168,295,645		$	77,970,367		$	323,844,966	$	397,522,489
Undistributed accumulated net investment income (loss)		835,921			183,881			406,262		(945,562	)
Undistributed accumulated net realized gain (loss)		(197,040	)		(10,992,220	)		2,535,435		8,353,272
Net unrealized appreciation (depreciation)		24,858,889			12,814,709			33,646,622		44,925,552
Net Assets	$	193,793,415		$	79,976,737		$	360,433,285	$	449,855,751
NET ASSETS:
Class I	$	151,323,624		$	74,152,040		$	181,155,831	$	380,327,084
Class N		19,614,361			5,596,366			2,053,885		19,647,708
Class R6		22,855,430			228,331			177,223,569		49,880,959
SHARES OUTSTANDING:
Class I		11,276,173			7,278,491			20,416,045		34,706,457
Class N		1,424,769			536,110			232,592		1,750,424
Class R6		1,704,935			22,484			19,810,852		4,264,727
NET ASSET VALUE:
Class I	$	13.42		$	10.19		$	8.87	$	10.96
Class N	$	13.77		$	10.44		$	8.83	$	11.22
Class R6	$	13.41		$	10.16		$	8.95	$	11.70
*  Includes market value of securities out on loan	$	1,557,802		$	2,107,701		$	726,685	$	—
‡  Cash denominated in foreign currencies at cost	$	704,194		$	252,340		$	956,198	$	1,820,479

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

AQR Funds Semi-Annual Report March 2018

167

Statements of Assets and Liabilities March 31, 2018 (Unaudited)

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND			AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND			AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	20,544,621		$	4,517,379		$	84,179,463		$	53,377,442
Investments in securities of unaffiliated issuers, at value	$	22,541,134		$	4,736,208		$	84,372,960		$	55,146,284
Cash		15,200			460			32,292			19,541
Cash denominated in foreign currencies‡		—			—			172,510			198,610
Unrealized appreciation on OTC swaps		—			—			—			218,348
Deposits with brokers for futures contracts		—			—			86,181			20,827
Variation margin on futures contracts		—			—			18,416			10,273
Receivables:
Foreign tax reclaims		—			—			21,755			—
Dividends		28,746			2,488			277,269			135,695
Capital shares sold		—			—			422,588			6,024
Due from Investment Adviser		—			538			—			—
Prepaid expenses		33,727			28,140			30,054			28,629
Total Assets		22,618,807			4,767,834			85,434,025			55,784,231
LIABILITIES:
Securities sold short, at value (proceeds $5,195,153, $1,066,361, $19,202,582 and $—, respectively)		5,032,314			1,064,587			18,678,292			—
Unrealized depreciation on OTC swaps		—			—			—			145,729
Payables:
Securities purchased		177,448			—			33			—
Accrued investment advisory fees		6,730			—			42,089			38,561
Accrued distribution fees—Class N		135			120			2,757			2,495
Capital shares redeemed		—			—			5,254			5,797
Dividends and interest payable on securities sold short		5,324			2,018			50,927			—
Other accrued expenses and liabilities		33,382			31,680			41,938			35,424
Total Liabilities		5,255,333			1,098,405			18,821,290			228,006
Net Assets	$	17,363,474		$	3,669,429		$	66,612,735		$	55,556,225
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	15,331,968		$	3,682,540		$	65,862,199		$	51,709,719
Undistributed accumulated net investment income (loss)		38,148			(11,038	)		173,932			(21,622	)
Undistributed accumulated net realized gain (loss)		(165,994	)		(222,676	)		(137,855	)		2,030,729
Net unrealized appreciation (depreciation)		2,159,352			220,603			714,459			1,837,399
Net Assets	$	17,363,474		$	3,669,429		$	66,612,735		$	55,556,225
NET ASSETS:
Class I	$	14,662,073		$	1,800,721		$	50,795,969		$	24,738,812
Class N		623,825			555,985			13,106,642			11,603,037
Class R6		2,077,576			1,312,723			2,710,124			19,214,376
SHARES OUTSTANDING:
Class I		1,243,433			181,680			3,931,311			1,743,405
Class N		52,835			56,132			1,017,209			818,874
Class R6		176,108			132,417			209,602			1,353,169
NET ASSET VALUE:
Class I	$	11.79		$	9.91		$	12.92		$	14.19
Class N	$	11.81		$	9.90		$	12.88		$	14.17
Class R6	$	11.80		$	9.91		$	12.93		$	14.20
‡  Cash denominated in foreign currencies at cost	$	—		$	—		$	172,441		$	198,968

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

AQR Funds Semi-Annual Report March 2018

168

Statements of Operations March 31, 2018 (Unaudited)

	AQR LARGE CAP MULTI-STYLE FUND			AQR SMALL CAP MULTI-STYLE FUND			AQR INTERNATIONAL MULTI-STYLE FUND			AQR EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	16,803,240		$	4,478,463		$	4,950,607		$	2,428,972
Securities lending income, net		34,625			675,341			16,898			7,381
Total Income		16,837,865			5,153,804			4,967,505			2,436,353
EXPENSES:
Investment advisory fees		2,877,472			1,862,440			1,077,903			1,016,524
Custody fees		24,413			16,348			49,102			127,571
Administration & accounting fees		172,002			74,736			45,573			31,515
Legal fees		22,250			11,264			5,711			3,905
Audit & tax fees		21,819			24,975			19,609			26,051
Shareholder reporting fees		82,921			51,151			29,919			24,459
Transfer agent fees		260,418			39,275			52,336			52,881
Trustee fees		26,500			11,049			7,096			5,130
Distribution fees—Class N		87,836			9,745			10,150			9,258
Interest expense		—			6,501			—			—
Recoupment of waiver		63,798			—			—			—
Registration fees		42,420			30,767			30,192			26,512
Pricing fee		7			38			10,769			10,812
Other expenses		27,560			12,272			7,067			5,746
Total Expenses		3,709,416			2,150,561			1,345,427			1,340,364
Less fee waivers and/or reimbursements		—			(49,033	)		(90,780	)		(183,042	)
Net Expenses		3,709,416			2,101,528			1,254,647			1,157,322
Net Investment Income (Loss)		13,128,449			3,052,276			3,712,858			1,279,031
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		65,821,302			38,982,568			13,387,257			12,440,020
Settlement of foreign currency and foreign currency transactions		—			—			3,443			(40,629	)
Expiration or closing of futures contracts		2,254,532			1,602,626			501,886			1,044,900
Net realized gain (loss)		68,075,834			40,585,194			13,892,586			13,444,291
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		40,243,681			(30,411,069	)		(8,993,037	)		15,132,181
Foreign currency and foreign currency transactions		—			—			28,440			20,625
Futures contracts		(2,274,248	)		(1,288,213	)		(178,882	)		(149,255	)
Net change in unrealized appreciation (depreciation)		37,969,433			(31,699,282	)		(9,143,479	)		15,003,551
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		106,045,267			8,885,912			4,749,107			28,447,842
Net increase (decrease) in net assets resulting from operations		$119,173,716			$11,938,188		$	8,461,965		$	29,726,873
†  Net of foreign taxes withheld of		$284			$204			$401,409			$210,296

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

AQR Funds Semi-Annual Report March 2018

169

Statements of Operations March 31, 2018 (Unaudited)

	AQR TM LARGE CAP MULTI-STYLE FUND			AQR TM SMALL CAP MULTI-STYLE FUND			AQR TM INTERNATIONAL MULTI-STYLE FUND			AQR TM EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	2,268,829		$	177,275		$	1,967,279		$	2,922,697
Securities lending income, net		2,445			20,213			338			9,116
Total Income		2,271,274			197,488			1,967,617			2,931,813
EXPENSES:
Investment advisory fees		376,999			76,736			418,031			1,114,695
Custody fees		8,180			10,258			29,834			137,098
Administration & accounting fees		21,048			2,722			17,150			34,020
Legal fees		2,456			343			2,136			4,223
Audit & tax fees		20,205			22,678			21,883			25,136
Shareholder reporting fees		12,167			1,597			10,398			16,803
Transfer agent fees		44,131			22,335			21,946			17,981
Trustee fees		3,829			911			3,038			5,555
Distribution fees—Class N		3,000			7,089			2,804			3,095
Interest expense		—			105			—			—
Registration fees		28,446			26,647			25,836			28,105
Pricing fee		7			36			10,279			10,335
Other expenses		3,796			1,270			3,121			6,014
Total Expenses		524,264			172,727			566,456			1,403,060
Less fee waivers and/or reimbursements		(43,394	)		(66,698	)		(83,945	)		(179,107	)
Net Expenses		480,870			106,029			482,511			1,223,953
Net Investment Income (Loss)		1,790,404			91,459			1,485,106			1,707,860
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		915,104			118,667			1,213,348			1,237,862
Settlement of foreign currency and foreign currency transactions		—			—			6,751			(42,590	)
Expiration or closing of futures contracts		—			—			101,841			619,059
Net realized gain (loss)		915,104			118,667			1,321,940			1,814,331
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		12,196,721			220,772			1,154,049			26,276,251
Foreign currency and foreign currency transactions		—			—			15,250			33,910
Futures contracts		—			—			(87,740	)		(81,517	)
Net change in unrealized appreciation (depreciation)		12,196,721			220,772			1,081,559			26,228,644
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		13,111,825			339,439			2,403,499			28,042,975
Net increase (decrease) in net assets resulting from operations		$14,902,229			$430,898		$	3,888,605		$	29,750,835
†  Net of foreign taxes withheld of		$121			$13			$163,285			$261,602

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

AQR Funds Semi-Annual Report March 2018

170

Statements of Operations March 31, 2018 (Unaudited)

	AQR LARGE CAP MOMENTUM STYLE FUND			AQR SMALL CAP MOMENTUM STYLE FUND			AQR INTERNATIONAL MOMENTUM STYLE FUND			AQR EMERGING MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	6,590,295		$	1,365,566		$	2,911,837		$	82,587
Securities lending income, net		57,732			303,565			15,119			333
Total Income		6,648,027			1,669,131			2,926,956			82,920
EXPENSES:
Investment advisory fees		1,303,483			848,318			845,215			38,306
Custody fees		20,000			19,527			53,957			34,936
Administration & accounting fees		97,287			35,340			39,003			1,288
Legal fees		15,018			5,452			4,850			77
Audit & tax fees		23,342			28,698			25,662			26,737
Shareholder reporting fees		46,927			17,713			23,198			862
Transfer agent fees		474,263			187,537			195,032			14,122
Trustee fees		14,828			5,697			6,276			690
Distribution fees—Class N		80,112			1,639			44,510			1,638
Interest expense		—			—			—			361
Recoupment of waiver		2,799			—			—			—
Registration fees		32,999			27,099			29,624			23,796
Pricing fee		16			72			10,823			10,983
Other expenses		15,454			5,841			6,145			1,336
Total Expenses		2,126,528			1,182,933			1,284,295			155,132
Less fee waivers and/or reimbursements		(7,872	)		(56,635	)		(98,546	)		(105,303	)
Net Expenses		2,118,656			1,126,298			1,185,749			49,829
Net Investment Income (Loss)		4,529,371			542,833			1,741,207			33,091
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		50,537,537			15,805,560			13,775,671			970,991
Settlement of foreign currency and foreign currency transactions		—			—			65,827			5,094
Expiration or closing of futures contracts		2,270,986			594,926			206,224			—
Net realized gain (loss)		52,808,523			16,400,486			14,047,722			976,085
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers (net of increase in deferred capital gain country tax accruals of $—, $—, $— and $902, respectively)		36,990,078			3,070,751			3,309,184			617,943
Foreign currency and foreign currency transactions		16			—			28,490			331
Futures contracts		(1,295,379	)		(428,177	)		(207,685	)		—
Net change in unrealized appreciation (depreciation)		35,694,715			2,642,574			3,129,989			618,274
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		88,503,238			19,043,060			17,177,711			1,594,359
Net increase (decrease) in net assets resulting from operations		$93,032,609			$19,585,893		$	18,918,918		$	1,627,450
†  Net of foreign taxes withheld of		$1,233			$436			$279,949			$7,110

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

AQR Funds Semi-Annual Report March 2018

171

Statements of Operations March 31, 2018 (Unaudited)

	AQR TM LARGE CAP MOMENTUM STYLE FUND			AQR TM SMALL CAP MOMENTUM STYLE FUND			AQR TM INTERNATIONAL MOMENTUM STYLE FUND			AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	1,214,213		$	162,398		$	891,517		$	13,502,216
Securities lending income, net		5,532			48,078			13,819			11,764
Total Income		1,219,745			210,476			905,336			13,513,980
EXPENSES:
Investment advisory fees		247,458			126,097			228,323			1,672,416
Custody fees		8,933			10,547			29,044			17,361
Administration & accounting fees		17,006			4,553			9,825			115,466
Legal fees		2,096			533			1,141			13,580
Audit & tax fees		23,109			22,790			23,143			22,836
Shareholder reporting fees		8,079			3,009			5,103			65,813
Transfer agent fees		60,563			36,109			34,772			513,845
Trustee fees		3,156			1,237			2,021			18,351
Distribution fees—Class N		11,610			4,583			6,507			332,792
Recoupment of waiver		—			—			—			3,814
Registration fees		31,498			26,595			28,429			72,553
Pricing fee		11			69			10,802			8
Other expenses		3,208			1,566			2,179			18,184
Total Expenses		416,727			237,688			381,289			2,867,019
Less fee waivers and/or reimbursements		(54,006	)		(64,559	)		(90,379	)		(10,527	)
Net Expenses		362,721			173,129			290,910			2,856,492
Net Investment Income (Loss)		857,024			37,347			614,426			10,657,488
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		295,792			135,030			155,959			1,260,479
Settlement of foreign currency and foreign currency transactions		—			—			18,150			—
Expiration or closing of futures contracts		290,236			—			179,225			5,321,095
Net realized gain (loss)		586,028			135,030			353,334			6,581,574
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		17,939,006			2,329,365			3,411,619			77,242,329
Foreign currency and foreign currency transactions		—			—			7,257			—
Futures contracts		(57,301	)		—			(49,355	)		(1,821,940	)
Net change in unrealized appreciation (depreciation)		17,881,705			2,329,365			3,369,521			75,420,389
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		18,467,733			2,464,395			3,722,855			82,001,963
Net increase (decrease) in net assets resulting from operations		$19,324,757			$2,501,742		$	4,337,281		$	92,659,451
†  Net of foreign taxes withheld of		$193			$127			$77,999			$—

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

AQR Funds Semi-Annual Report March 2018

172

Statements of Operations March 31, 2018 (Unaudited)

	AQR INTERNATIONAL DEFENSIVE STYLE FUND			AQR EMERGING DEFENSIVE STYLE FUND			AQR GLOBAL EQUITY FUND			AQR INTERNATIONAL EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	2,098,883		$	560,730		$	2,587,491		$	3,835,222
Securities lending income, net		1,702			2,374			444			743
Total Income		2,100,585			563,104			2,587,935			3,835,965
EXPENSES:
Investment advisory fees		392,190			204,746			880,250			1,468,942
Custody fees		25,506			34,429			46,169			73,182
Administration & accounting fees		18,391			6,528			19,036			41,134
Legal fees		2,174			1,077			1,304			3,968
Audit & tax fees		21,926			26,059			37,317			34,367
Shareholder reporting fees		10,426			4,455			11,700			21,018
Transfer agent fees		95,363			44,279			69,075			186,490
Trustee fees		3,175			1,416			4,176			6,464
Distribution fees—Class N		31,813			6,673			2,653			22,232
Recoupment of waiver		—			—			4,645			1,882
Registration fees		28,000			28,232			31,634			30,857
Pricing fee		10,786			8,793			10,781			10,771
Other expenses		3,299			1,948			4,068			6,555
Total Expenses		643,049			368,635			1,122,808			1,907,862
Less fee waivers and/or reimbursements		(81,163	)		(101,776	)		(30,932	)		(23,355	)
Net Expenses		561,886			266,859			1,091,876			1,884,507
Net Investment Income (Loss)		1,538,699			296,245			1,496,059			1,951,458
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		186,653			13,264			4,320,647			12,779,840
Settlement of foreign currency and foreign currency transactions		22,343			147			(104,485	)		(82,710	)
Settlement of forward foreign currency contracts		—			—			(696,834	)		(977,377	)
Expiration or closing of futures contracts		69,791			273,027			1,621,993			6,359,763
Expiration or closing of swap contracts		—			—			(446,718	)		579,055
Net realized gain (loss)		278,787			286,438			4,694,603			18,658,571
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		4,822,323			6,074,243			940,288			(10,810,833	)
Foreign currency and foreign currency transactions		6,083			5,492			13,166			49,514
Forward foreign currency exchange contracts		—			—			1,732,775			3,834,269
Futures contracts		(52,478	)		(49,177	)		(659,225	)		(2,412,214	)
Swap contracts		—			—			291,422			853,512
Net change in unrealized appreciation (depreciation)		4,775,928			6,030,558			2,318,426			(8,485,752	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		5,054,715			6,316,996			7,013,029			10,172,819
Net increase (decrease) in net assets resulting from operations		$6,593,414			$6,613,241		$	8,509,088		$	12,124,277
†  Net of foreign taxes withheld of		$214,316			$63,306			$83,269			$270,794

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

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173

Statements of Operations March 31, 2018 (Unaudited)

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND			AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND			AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018			FOR THE SIX MONTHS ENDED MARCH 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†		$203,755			$20,498			$582,519			$364,223
Total Income		203,755			20,498			582,519			364,223
EXPENSES:
Investment advisory fees		51,636			13,489			153,309			162,742
Custody fees		—			—			—			19,368
Administration & accounting fees		1,394			283			1,130			1,235
Legal fees		4,262			4,516			4,362			4,464
Audit & tax fees		23,396			23,396			23,854			24,310
Shareholder reporting fees		1,117			289			1,597			1,627
Transfer agent fees		15,443			8,799			27,036			15,373
Trustee fees		693			522			912			826
Offering costs		5,813			4,359			4,337			4,552
Distribution fees—Class N		867			724			10,879			5,063
Dividends and interest on securities sold short (Note 3)		41,323			10,188			147,356			—
Interest expense		427			—			21			—
Registration fees		34,151			26,067			27,996			26,656
Pricing fee		118			199			1,027			1,031
Other expenses		1,171			1,061			1,305			1,259
Total Expenses		181,811			93,892			405,121			268,506
Less fee waivers and/or reimbursements		(71,327	)		(66,933	)		(53,828	)		(75,853	)
Net Expenses		110,484			26,959			351,293			192,653
Net Investment Income (Loss)		93,271			(6,461	)		231,226			171,570
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		382,051			24,475			186,074			313,774
Settlement of foreign currency and foreign currency transactions		—			—			(106,585	)		18,452
Settlement of forward foreign currency contracts		—			—			65,701			—
Expiration or closing of futures contracts		—			—			87,030			(15,081	)
Closed short positions in securities		(508,095	)		(116,703	)		(361,605	)		—
Expiration or closing of swap contracts		—			—			—			1,717,292
Net realized gain (loss)		(126,044	)		(92,228	)		(129,385	)		2,034,437
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		642,019			(79,165	)		(1,335,715	)		1,139,405
Foreign currency and foreign currency transactions		—			—			1,042			(2,467	)
Futures contracts		—			—			(4,434	)		(1,819	)
Short positions in securities		319,013			55,536			666,460			—
Swap contracts		—			—			—			(102,089	)
Net change in unrealized appreciation (depreciation)		961,032			(23,629	)		(672,647	)		1,033,030
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		834,988			(115,857	)		(802,032	)		3,067,467
Net increase (decrease) in net assets resulting from operations		$928,259			($122,318	)		($570,806	)	$	3,239,037
†  Net of foreign taxes withheld of		$106			$7			$49,672			$36,948

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

AQR Funds Semi-Annual Report March 2018

174

Statements of Changes in Net Assets March 31, 2018

	AQR LARGE CAP MULTI-STYLE FUND						AQR SMALL CAP MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$13,128,449			$23,973,165			$3,052,276			$6,623,510
Net realized gain (loss)		68,075,834			73,435,382			40,585,194			58,774,178
Net change in unrealized appreciation (depreciation)		37,969,433			224,902,747			(31,699,282	)		65,323,839
Net increase (decrease) in net assets resulting from operations		119,173,716			322,311,294			11,938,188			130,721,527
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(6,012,450	)		(4,975,827	)		(424,436	)		(460,592	)
Class N		(651,621	)		(669,401	)		(29,564	)		(75,007	)
Class R6		(17,550,557	)		(15,350,782	)		(5,553,185	)		(7,260,404	)
Total		(24,214,628	)		(20,996,010	)		(6,007,185	)		(7,796,003	)
Net realized gain:
Class I		(4,763,800	)		—			(5,038,512	)		(801,488	)
Class N		(651,176	)		—			(660,473	)		(172,528	)
Class R6		(13,087,478	)		—			(58,872,363	)		(11,713,497	)
Total		(18,502,454	)		—			(64,571,348	)		(12,687,513	)
Total distributions		(42,717,082	)		(20,996,010	)		(70,578,533	)		(20,483,516	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		50,447,815			140,833,316			9,983,536			28,720,541
Reinvestment of distributions		9,776,384			4,346,415			5,462,948			1,261,541
Cost of shares redeemed		(77,303,116	)		(390,857,879	)		(8,106,821	)		(26,858,961	)
Net increase (decrease) from capital transactions		(17,078,917	)		(245,678,148	)		7,339,663			3,123,121
CLASS N
Proceeds from shares sold		17,982,518			10,166,505			1,106,543			3,396,863
Reinvestment of distributions		1,300,872			668,290			687,488			246,619
Cost of shares redeemed		(11,108,050	)		(24,588,845	)		(2,878,215	)		(6,058,076	)
Net increase (decrease) from capital transactions		8,175,340			(13,754,050	)		(1,084,184	)		(2,414,594	)
CLASS R6
Proceeds from shares sold		224,191,272			443,553,869			45,995,217			116,160,936
Reinvestment of distributions		30,519,773			15,022,031			59,088,320			17,579,880
Cost of shares redeemed		(141,404,699	)		(219,065,217	)		(151,731,516	)		(190,166,011	)
Net increase (decrease) from capital transactions		113,306,346			239,510,683			(46,647,979	)		(56,425,195	)
Net increase (decrease) in net assets resulting from capital transactions		104,402,769			(19,921,515	)		(40,392,500	)		(55,716,668	)
Total increase (decrease) in net assets		180,859,403			281,393,769			(99,032,845	)		54,521,343
NET ASSETS:
Beginning of period		1,766,045,807			1,484,652,038			797,723,228			743,201,885
End of period		$1,946,905,210			$1,766,045,807			$698,690,383			$797,723,228
Undistributed accumulated net investment income (loss)		$6,339,992			$17,426,171			$838,482			$3,793,391

The accompanying notes are an integral part of these financial statements. (continued on p. 176)

AQR Funds Semi-Annual Report March 2018

175

Statements of Changes in Net Assets March 31, 2018

	AQR LARGE CAP MULTI-STYLE FUND						AQR SMALL CAP MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		27,105,928			44,811,070			3,425,976			3,258,870
Shares sold		2,845,591			9,220,046			642,635			1,907,423
Shares issued on reinvestment of distributions		550,162			294,273			365,415			82,453
Shares redeemed		(4,344,897	)		(27,219,461	)		(522,856	)		(1,822,770	)
Shares outstanding, end of period		26,156,784			27,105,928			3,911,170			3,425,976
CLASS N
Shares outstanding, beginning of period		3,733,125			4,643,563			538,645			700,486
Shares sold		1,005,561			665,568			72,016			228,754
Shares issued on reinvestment of distributions		73,454			45,369			46,078			16,161
Shares redeemed		(625,700	)		(1,621,375	)		(182,754	)		(406,756	)
Shares outstanding, end of period		4,186,440			3,733,125			473,985			538,645
CLASS R6
Shares outstanding, beginning of period		73,872,372			56,611,041			45,548,724			49,226,271
Shares sold		12,591,968			30,560,220			2,974,267			7,765,757
Shares issued on reinvestment of distributions		1,719,424			1,017,753			3,949,754			1,147,512
Shares redeemed		(7,904,812	)		(14,316,642	)		(9,535,988	)		(12,590,816	)
Shares outstanding, end of period		80,278,952			73,872,372			42,936,757			45,548,724

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

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176

Statements of Changes in Net Assets March 31, 2018

	AQR INTERNATIONAL MULTI-STYLE FUND						AQR EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$3,712,858			$9,925,411			$1,279,031			$5,648,402
Net realized gain (loss)		13,892,586			15,744,900			13,444,291			8,322,666
Net change in unrealized appreciation (depreciation)		(9,143,479	)		53,141,324			15,003,551			45,882,489
Net increase (decrease) in net assets resulting from operations		8,461,965			78,811,635			29,726,873			59,853,557
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(1,871,811	)		(1,615,459	)		(1,550,648	)		(1,429,461	)
Class N		(162,279	)		(194,539	)		(84,835	)		(130,267	)
Class R6		(9,653,985	)		(7,987,798	)		(3,875,940	)		(3,682,831	)
Total		(11,688,075	)		(9,797,796	)		(5,511,423	)		(5,242,559	)
Total distributions		(11,688,075	)		(9,797,796	)		(5,511,423	)		(5,242,559	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		14,491,768			19,633,543			20,815,311			37,682,958
Reinvestment of distributions		1,868,748			1,612,750			1,550,537			1,428,298
Cost of shares redeemed		(11,215,103	)		(24,211,103	)		(87,118,888	)		(31,081,689	)
Net increase (decrease) from capital transactions		5,145,413			(2,964,810	)		(64,753,040	)		8,029,567
CLASS N
Proceeds from shares sold		1,335,189			2,954,447			8,529,059			2,013,359
Reinvestment of distributions		161,205			193,541			84,835			130,267
Cost of shares redeemed		(2,905,479	)		(4,121,548	)		(9,127,167	)		(4,308,730	)
Net increase (decrease) from capital transactions		(1,409,085	)		(973,560	)		(513,273	)		(2,165,104	)
CLASS R6
Proceeds from shares sold		29,672,259			79,290,772			84,463,557			36,137,353
Reinvestment of distributions		9,578,079			7,922,560			3,839,830			3,653,343
Cost of shares redeemed		(35,324,727	)		(60,093,576	)		(30,560,934	)		(39,269,853	)
Net increase (decrease) from capital transactions		3,925,611			27,119,756			57,742,453			520,843
Net increase (decrease) in net assets resulting from capital transactions		7,661,939			23,181,386			(7,523,860	)		6,385,306
Total increase (decrease) in net assets		4,435,829			92,195,225			16,691,590			60,996,304
NET ASSETS:
Beginning of period		470,268,680			378,073,455			326,500,884			265,504,580
End of period		$474,704,509			$470,268,680			$343,192,474			$326,500,884
Undistributed accumulated net investment income (loss)		$1,053,819			$9,029,036			$826,012			$5,058,404

The accompanying notes are an integral part of these financial statements. (continued on p. 178)

AQR Funds Semi-Annual Report March 2018

177

Statements of Changes in Net Assets March 31, 2018

	AQR INTERNATIONAL MULTI-STYLE FUND						AQR EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		6,382,844			6,677,387			9,084,086			8,243,713
Shares sold		1,192,791			1,849,100			1,844,124			3,799,597
Shares issued on reinvestment of distributions		156,381			163,898			141,990			174,183
Shares redeemed		(915,259	)		(2,307,541	)		(7,356,067	)		(3,133,407	)
Shares outstanding, end of period		6,816,757			6,382,844			3,714,133			9,084,086
CLASS N
Shares outstanding, beginning of period		741,408			832,639			629,566			850,737
Shares sold		109,910			286,397			777,874			226,977
Shares issued on reinvestment of distributions		13,501			19,689			7,769			15,886
Shares redeemed		(239,149	)		(397,317	)		(809,801	)		(464,034	)
Shares outstanding, end of period		625,670			741,408			605,408			629,566
CLASS R6
Shares outstanding, beginning of period		32,248,885			29,492,098			20,749,080			20,536,218
Shares sold		2,449,106			7,577,114			7,063,179			3,893,741
Shares issued on reinvestment of distributions		802,856			805,957			351,311			444,987
Shares redeemed		(2,905,822	)		(5,626,284	)		(2,676,547	)		(4,125,866	)
Shares outstanding, end of period		32,595,025			32,248,885			25,487,023			20,749,080

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

AQR Funds Semi-Annual Report March 2018

178

Statements of Changes in Net Assets March 31, 2018

	AQR TM LARGE CAP MULTI-STYLE FUND						AQR TM SMALL CAP MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$1,790,404			$2,766,020			$91,459			$181,185
Net realized gain (loss)		915,104			424,382			118,667			439,324
Net change in unrealized appreciation (depreciation)		12,196,721			33,816,540			220,772			3,195,344
Net increase (decrease) in net assets resulting from operations		14,902,229			37,006,942			430,898			3,815,853
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(818,162	)		(558,442	)		(131,517	)		(154,814	)
Class N		(21,911	)		(22,808	)		(18,995	)		(25,593	)
Class R6		(2,148,486	)		(1,366,670	)		(15,846	)		(22,170	)
Total		(2,988,559	)		(1,947,920	)		(166,358	)		(202,577	)
Net realized gain:
Class I		—			(2,289	)		(470,627	)		—
Class N		—			(114	)		(118,365	)		—
Class R6		—			(5,353	)		(49,360	)		—
Total		—			(7,756	)		(638,352	)		—
Total distributions		(2,988,559	)		(1,955,676	)		(804,710	)		(202,577	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		10,338,066			18,063,674			3,173,228			6,781,869
Reinvestment of distributions		813,559			556,533			601,692			154,181
Cost of shares redeemed		(3,601,744	)		(4,512,759	)		(1,211,820	)		(2,124,391	)
Net increase (decrease) from capital transactions		7,549,881			14,107,448			2,563,100			4,811,659
CLASS N
Proceeds from shares sold		363,239			991,351			524,552			3,690,705
Reinvestment of distributions		21,911			22,922			137,360			25,593
Cost of shares redeemed		(320,910	)		(1,389,436	)		(374,861	)		(1,836,542	)
Net increase (decrease) from capital transactions		64,240			(375,163	)		287,051			1,879,756
CLASS R6
Proceeds from shares sold		23,950,542			52,090,671			—			—
Reinvestment of distributions		2,145,431			1,367,976			65,206			22,170
Cost of shares redeemed		(11,725,726	)		(14,687,541	)		—			—
Net increase (decrease) from capital transactions		14,370,247			38,771,106			65,206			22,170
Net increase (decrease) in net assets resulting from capital transactions		21,984,368			52,503,391			2,915,357			6,713,585
Total increase (decrease) in net assets		33,898,038			87,554,657			2,541,545			10,326,861
NET ASSETS:
Beginning of period		227,775,622			140,220,965			29,061,859			18,734,998
End of period		$261,673,660			$227,775,622			$31,603,404			$29,061,859
Undistributed accumulated net investment income (loss)		$903,250			$2,101,405			$26,377			$101,276

The accompanying notes are an integral part of these financial statements. (continued on p. 180)

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179

Statements of Changes in Net Assets March 31, 2018

	AQR TM LARGE CAP MULTI-STYLE FUND						AQR TM SMALL CAP MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		5,295,943			3,995,600			1,766,988			1,338,219
Shares sold		805,340			1,651,972			262,033			604,397
Shares issued on reinvestment of distributions		63,214			52,652			49,974			13,489
Shares redeemed		(277,790	)		(404,281	)		(100,234	)		(189,117	)
Shares outstanding, end of period		5,886,707			5,295,943			1,978,761			1,766,988
CLASS N
Shares outstanding, beginning of period		183,388			217,083			457,078			289,019
Shares sold		28,678			91,182			43,469			329,990
Shares issued on reinvestment of distributions		1,705			2,171			11,437			2,243
Shares redeemed		(25,258	)		(127,048	)		(31,226	)		(164,174	)
Shares outstanding, end of period		188,513			183,388			480,758			457,078
CLASS R6
Shares outstanding, beginning of period		13,352,220			9,800,397			193,053			191,117
Shares sold		1,852,102			4,764,209			—			—
Shares issued on reinvestment of distributions		166,700			129,420			5,407			1,936
Shares redeemed		(909,884	)		(1,341,806	)		—			—
Shares outstanding, end of period		14,461,138			13,352,220			198,460			193,053

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

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Statements of Changes in Net Assets March 31, 2018

	AQR TM INTERNATIONAL MULTI-STYLE FUND						AQR TM EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$1,485,106			$3,739,025			$1,707,860			$5,997,876
Net realized gain (loss)		1,321,940			61,909			1,814,331			2,417,623
Net change in unrealized appreciation (depreciation)		1,081,559			26,561,545			26,228,644			58,623,612
Net increase (decrease) in net assets resulting from operations		3,888,605			30,362,479			29,750,835			67,039,111
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(644,479	)		(422,289	)		(286,290	)		(296,146	)
Class N		(47,940	)		(30,453	)		(31,785	)		(49,154	)
Class R6		(3,770,415	)		(2,510,600	)		(5,586,088	)		(6,513,104	)
Total		(4,462,834	)		(2,963,342	)		(5,904,163	)		(6,858,404	)
Total distributions		(4,462,834	)		(2,963,342	)		(5,904,163	)		(6,858,404	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		3,852,414			5,883,701			2,452,936			3,979,959
Reinvestment of distributions		639,789			413,893			277,677			283,665
Cost of shares redeemed		(2,682,893	)		(4,563,660	)		(984,266	)		(2,771,277	)
Net increase (decrease) from capital transactions		1,809,310			1,733,934			1,746,347			1,492,347
CLASS N
Proceeds from shares sold		292,844			828,696			356,435			781,758
Reinvestment of distributions		47,940			30,453			31,785			49,154
Cost of shares redeemed		(145,568	)		(686,814	)		(350,125	)		(1,165,523	)
Net increase (decrease) from capital transactions		195,216			172,335			38,095			(334,611	)
CLASS R6
Proceeds from shares sold		12,541,701			26,791,516			6,883,440			16,416,631
Reinvestment of distributions		3,766,767			2,506,738			5,584,281			6,510,144
Cost of shares redeemed		(10,545,532	)		(17,661,501	)		(16,563,476	)		(19,083,778	)
Net increase (decrease) from capital transactions		5,762,936			11,636,753			(4,095,755	)		3,842,997
Net increase (decrease) in net assets resulting from capital transactions		7,767,462			13,543,022			(2,311,313	)		5,000,733
Total increase (decrease) in net assets		7,193,233			40,942,159			21,535,359			65,181,440
NET ASSETS:
Beginning of period		179,269,191			138,327,032			352,854,397			287,672,957
End of period		$186,462,424			$179,269,191			$374,389,756			$352,854,397
Undistributed accumulated net investment income (loss)		$407,478			$3,385,206			$962,842			$5,159,145

The accompanying notes are an integral part of these financial statements. (continued on p. 182)

AQR Funds Semi-Annual Report March 2018

181

Statements of Changes in Net Assets March 31, 2018

	AQR TM INTERNATIONAL MULTI-STYLE FUND						AQR TM EMERGING MULTI-STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,306,712			2,128,774			1,529,628			1,370,519
Shares sold		340,518			585,383			210,126			407,778
Shares issued on reinvestment of distributions		57,073			45,086			24,552			33,451
Shares redeemed		(233,315	)		(452,531	)		(84,599	)		(282,120	)
Shares outstanding, end of period		2,470,988			2,306,712			1,679,707			1,529,628
CLASS N
Shares outstanding, beginning of period		186,870			168,987			207,005			233,206
Shares sold		25,817			85,293			30,840			84,653
Shares issued on reinvestment of distributions		4,285			3,325			2,808			5,789
Shares redeemed		(12,896	)		(70,735	)		(29,818	)		(116,643	)
Shares outstanding, end of period		204,076			186,870			210,835			207,005
CLASS R6
Shares outstanding, beginning of period		13,549,216			12,337,482			29,960,986			29,394,195
Shares sold		1,097,312			2,714,486			582,781			1,733,236
Shares issued on reinvestment of distributions		335,420			272,768			493,747			767,706
Shares redeemed		(923,880	)		(1,775,520	)		(1,400,962	)		(1,934,151	)
Shares outstanding, end of period		14,058,068			13,549,216			29,636,552			29,960,986

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

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182

Statements of Changes in Net Assets March 31, 2018

	AQR LARGE CAP MOMENTUM STYLE FUND						AQR SMALL CAP MOMENTUM STYLE FUND
��	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$4,529,371			$10,923,780			$542,833			$1,572,201
Net realized gain (loss)		52,808,523			73,752,927			16,400,486			36,171,814
Net change in unrealized appreciation (depreciation)		35,694,715			57,914,342			2,642,574			26,319,546
Net increase (decrease) in net assets resulting from operations		93,032,609			142,591,049			19,585,893			64,063,561
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(8,101,442	)		(12,230,241	)		(894,536	)		(2,567,241	)
Class N		(415,673	)		(723,350	)		—			—
Class R6		(671,436	)		(968,404	)		(42,524	)		(79,227	)
Total		(9,188,551	)		(13,921,995	)		(937,060	)		(2,646,468	)
Net realized gain:
Class I		(68,239,691	)		(47,871,231	)		(31,913,165	)		—
Class N		(4,718,092	)		(3,398,837	)		(99,309	)		—
Class R6		(5,131,395	)		(3,547,071	)		(1,100,687	)		—
Total		(78,089,178	)		(54,817,139	)		(33,113,161	)		—
Total distributions		(87,277,729	)		(68,739,134	)		(34,050,221	)		(2,646,468	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		77,614,778			154,774,327			27,579,581			51,370,096
Reinvestment of distributions		76,128,358			60,037,357			32,791,199			2,558,986
Cost of shares redeemed		(125,134,159	)		(230,601,389	)		(45,515,012	)		(70,940,111	)
Net increase (decrease) from capital transactions		28,608,977			(15,789,705	)		14,855,768			(17,011,029	)
CLASS N
Proceeds from shares sold		7,236,686			7,404,914			130,778			396,727
Reinvestment of distributions		5,133,360			4,121,868			99,309			—
Cost of shares redeemed		(6,069,084	)		(14,419,255	)		(729,757	)		(531,776	)
Net increase (decrease) from capital transactions		6,300,962			(2,892,473	)		(499,670	)		(135,049	)
CLASS R6
Proceeds from shares sold		13,778,747			16,080,377			1,552,462			2,308,572
Reinvestment of distributions		5,772,894			4,492,109			1,142,144			79,139
Cost of shares redeemed		(16,689,832	)		(18,757,198	)		(710,561	)		(773,259	)
Net increase (decrease) from capital transactions		2,861,809			1,815,288			1,984,045			1,614,452
Net increase (decrease) in net assets resulting from capital transactions		37,771,748			(16,866,890	)		16,340,143			(15,531,626	)
Total increase (decrease) in net assets		43,526,628			56,985,025			1,875,815			45,885,467
NET ASSETS:
Beginning of period		994,651,503			937,666,478			373,103,524			327,218,057
End of period		$1,038,178,131			$994,651,503			$374,979,339			$373,103,524
Undistributed accumulated net investment income (loss)		$2,004,625			$6,663,805			$113,413			$507,640

The accompanying notes are an integral part of these financial statements. (continued on p. 184)

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183

Statements of Changes in Net Assets March 31, 2018

	AQR LARGE CAP MOMENTUM STYLE FUND						AQR SMALL CAP MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		39,535,338			40,158,763			14,479,520			15,247,228
Shares sold		3,439,282			7,605,960			1,126,680			2,290,061
Shares issued on reinvestment of distributions		3,516,321			3,118,824			1,394,777			114,240
Shares redeemed		(5,557,497	)		(11,348,209	)		(1,862,059	)		(3,172,009	)
Shares outstanding, end of period		40,933,444			39,535,338			15,138,918			14,479,520
CLASS N
Shares outstanding, beginning of period		2,686,851			2,823,181			69,288			76,105
Shares sold		320,584			363,923			5,338			17,898
Shares issued on reinvestment of distributions		236,888			213,901			4,217			—
Shares redeemed		(269,662	)		(714,154	)		(29,756	)		(24,715	)
Shares outstanding, end of period		2,974,661			2,686,851			49,087			69,288
CLASS R6
Shares outstanding, beginning of period		3,001,708			2,895,803			480,490			408,690
Shares sold		624,146			791,962			63,858			102,839
Shares issued on reinvestment of distributions		267,388			233,842			48,705			3,541
Shares redeemed		(747,679	)		(919,899	)		(29,127	)		(34,580	)
Shares outstanding, end of period		3,145,563			3,001,708			563,926			480,490

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

AQR Funds Semi-Annual Report March 2018

184

Statements of Changes in Net Assets March 31, 2018

	AQR INTERNATIONAL MOMENTUM STYLE FUND						AQR EMERGING MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$1,741,207			$8,066,811			$33,091			$255,005
Net realized gain (loss)		14,047,722			11,516,102			976,085			289,377
Net change in unrealized appreciation (depreciation)		3,129,989			33,527,943			618,274			2,041,026
Net increase (decrease) in net assets resulting from operations		18,918,918			53,110,856			1,627,450			2,585,408
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(7,041,640	)		(6,221,505	)		(197,094	)		(124,339	)
Class N		(676,884	)		(598,973	)		(22,047	)		(12,317	)
Class R6		(1,097,301	)		(869,430	)		(39,256	)		(14,922	)
Total		(8,815,825	)		(7,689,908	)		(258,397	)		(151,578	)
Total distributions		(8,815,825	)		(7,689,908	)		(258,397	)		(151,578	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		34,612,674			74,964,141			953,695			1,485,262
Reinvestment of distributions		7,039,182			6,218,003			197,094			124,339
Cost of shares redeemed		(35,130,924	)		(63,513,055	)		(2,781,569	)		(1,563,236	)
Net increase (decrease) from capital transactions		6,520,932			17,669,089			(1,630,780	)		46,365
CLASS N
Proceeds from shares sold		3,246,777			5,679,592			34,980			53,618
Reinvestment of distributions		676,884			598,973			22,047			12,317
Cost of shares redeemed		(2,202,405	)		(6,388,590	)		(60,719	)		(217,315	)
Net increase (decrease) from capital transactions		1,721,256			(110,025	)		(3,692	)		(151,380	)
CLASS R6
Proceeds from shares sold		7,211,891			11,815,084			448,215			676,411
Reinvestment of distributions		1,097,301			868,265			39,256			14,922
Cost of shares redeemed		(4,718,862	)		(7,080,653	)		(210,651	)		(155,649	)
Net increase (decrease) from capital transactions		3,590,330			5,602,696			276,820			535,684
Net increase (decrease) in net assets resulting from capital transactions		11,832,518			23,161,760			(1,357,652	)		430,669
Total increase (decrease) in net assets		21,935,611			68,582,708			11,401			2,864,499
NET ASSETS:
Beginning of period		406,468,519			337,885,811			13,691,928			10,827,429
End of period		$428,404,130			$406,468,519			$13,703,329			$13,691,928
Undistributed accumulated net investment income (loss)		$225,085			$7,299,703			$(6,645	)		$218,661

The accompanying notes are an integral part of these financial statements. (continued on p. 186)

AQR Funds Semi-Annual Report March 2018

185

Statements of Changes in Net Assets March 31, 2018

	AQR INTERNATIONAL MOMENTUM STYLE FUND						AQR EMERGING MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		21,061,118			19,627,772			1,008,926			1,003,384
Shares sold		2,172,273			5,546,955			79,183			166,954
Shares issued on reinvestment of distributions		450,364			488,837			17,788			15,699
Shares redeemed		(2,201,304	)		(4,602,446	)		(242,066	)		(177,111	)
Shares outstanding, end of period		21,482,451			21,061,118			863,831			1,008,926
CLASS N
Shares outstanding, beginning of period		2,200,569			2,207,600			112,797			126,465
Shares sold		202,884			415,499			3,033			5,909
Shares issued on reinvestment of distributions		43,362			47,126			1,986			1,553
Shares redeemed		(138,666	)		(469,656	)		(5,161	)		(21,130	)
Shares outstanding, end of period		2,308,149			2,200,569			112,655			112,797
CLASS R6
Shares outstanding, beginning of period		2,964,194			2,555,356			166,502			107,058
Shares sold		451,383			858,078			38,189			73,914
Shares issued on reinvestment of distributions		70,340			68,367			3,540			1,882
Shares redeemed		(296,750	)		(517,607	)		(17,884	)		(16,352	)
Shares outstanding, end of period		3,189,167			2,964,194			190,347			166,502

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

AQR Funds Semi-Annual Report March 2018

186

Statements of Changes in Net Assets March 31, 2018

	AQR TM LARGE CAP MOMENTUM STYLE FUND						AQR TM SMALL CAP MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$857,024			$1,841,956			$37,347			$187,402
Net realized gain (loss)		586,028			367,291			135,030			771,880
Net change in unrealized appreciation (depreciation)		17,881,705			21,797,950			2,329,365			6,910,549
Net increase (decrease) in net assets resulting from operations		19,324,757			24,007,197			2,501,742			7,869,831
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(716,329	)		(955,242	)		(133,265	)		(254,946	)
Class N		(65,175	)		(2,128	)		(7,948	)		(918	)
Class R6		(777,211	)		(1,235,381	)		(680	)		(1,393	)
Total		(1,558,715	)		(2,192,751	)		(141,893	)		(257,257	)
Net realized gain:
Class I		—			—			(36,657	)		—
Class N		—			—			(2,589	)		—
Class R6		—			—			(141	)		—
Total		—			—			(39,387	)		—
Total distributions		(1,558,715	)		(2,192,751	)		(181,280	)		(257,257	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		8,078,636			21,637,497			5,957,265			11,256,908
Reinvestment of distributions		716,292			955,242			169,922			254,946
Cost of shares redeemed		(6,345,704	)		(13,438,274	)		(1,747,702	)		(4,321,955	)
Net increase (decrease) from capital transactions		2,449,224			9,154,465			4,379,485			7,189,899
CLASS N
Proceeds from shares sold		821,655			8,608,192			679,756			3,053,888
Reinvestment of distributions		65,175			2,128			10,537			918
Cost of shares redeemed		(582,498	)		(521,673	)		(114,019	)		(129,774	)
Net increase (decrease) from capital transactions		304,332			8,088,647			576,274			2,925,032
CLASS R6
Proceeds from shares sold		12,979,011			12,410,098			—			—
Reinvestment of distributions		776,372			1,234,108			821			1,393
Cost of shares redeemed		(15,030,754	)		(20,260,706	)		(8,633	)		(105	)
Net increase (decrease) from capital transactions		(1,275,371	)		(6,616,500	)		(7,812	)		1,288
Net increase (decrease) in net assets resulting from capital transactions		1,478,185			10,626,612			4,947,947			10,116,219
Total increase (decrease) in net assets		19,244,227			32,441,058			7,268,409			17,728,793
NET ASSETS:
Beginning of period		180,188,975			147,747,917			51,277,497			33,548,704
End of period		$199,433,202			$180,188,975			$58,545,906			$51,277,497
Undistributed accumulated net investment income (loss)		$409,587			$1,111,278			$(26,591	)		$77,955

The accompanying notes are an integral part of these financial statements. (continued on p. 188)

AQR Funds Semi-Annual Report March 2018

187

Statements of Changes in Net Assets March 31, 2018

	AQR TM LARGE CAP MOMENTUM STYLE FUND						AQR TM SMALL CAP MOMENTUM STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		4,484,510			3,971,690			2,509,919			2,094,916
Shares sold		387,242			1,220,231			303,264			650,112
Shares issued on reinvestment of distributions		34,387			55,764			8,638			14,866
Shares redeemed		(298,370	)		(763,175	)		(88,636	)		(249,975	)
Shares outstanding, end of period		4,607,769			4,484,510			2,733,185			2,509,919
CLASS N
Shares outstanding, beginning of period		440,406			9,538			170,348			9,764
Shares sold		38,899			458,095			34,882			167,850
Shares issued on reinvestment of distributions		3,142			125			539			54
Shares redeemed		(27,830	)		(27,352	)		(5,840	)		(7,320	)
Shares outstanding, end of period		454,617			440,406			199,929			170,348
CLASS R6
Shares outstanding, beginning of period		4,353,778			4,730,865			10,527			10,452
Shares sold		617,286			684,733			—			—
Shares issued on reinvestment of distributions		37,344			72,170			42			81
Shares redeemed		(716,582	)		(1,133,990	)		(454	)		(6	)
Shares outstanding, end of period		4,291,826			4,353,778			10,115			10,527

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

AQR Funds Semi-Annual Report March 2018

188

Statements of Changes in Net Assets March 31, 2018

		AQR TM INTERNATIONAL MOMENTUM STYLE FUND						AQR LARGE CAP DEFENSIVE STYLE FUND
		FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)			$614,426			$1,967,026			$10,657,488			$16,836,566
Net realized gain (loss)			353,334			(50,751	)		6,581,574			10,732,066
Net change in unrealized appreciation (depreciation)			3,369,521			9,894,957			75,420,389			138,976,696
Net increase (decrease) in net assets resulting from operations			4,337,281			11,811,232			92,659,451			166,545,328
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I			(797,114	)		(685,240	)		(11,370,326	)		(7,738,990	)
Class N			(85,403	)		(3,572	)		(3,109,258	)		(2,775,125	)
Class R6			(1,116,578	)		(1,215,630	)		(3,940,888	)		(2,015,183	)
Total			(1,999,095	)		(1,904,442	)		(18,420,472	)		(12,529,298	)
Net realized gain:
Class I			—			—			(7,283,844	)		(2,907,277	)
Class N			—			—			(2,383,457	)		(1,214,616	)
Class R6			—			—			(2,383,760	)		(721,670	)
Total			—			—			(12,051,061	)		(4,843,563	)
Total distributions			(1,999,095	)		(1,904,442	)		(30,471,533	)		(17,372,861	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold			9,342,219			18,560,003			193,481,089			326,890,251
Reinvestment of distributions			797,114			685,240			18,133,691			10,296,185
Cost of shares redeemed			(3,105,324	)		(13,430,020	)		(191,399,495	)		(155,458,852	)
Net increase (decrease) from capital transactions			7,034,009			5,815,223			20,215,285			181,727,584
CLASS N
Proceeds from shares sold			872,157			4,746,198			77,109,284			101,293,568
Reinvestment of distributions			85,403			3,572			5,487,991			3,988,957
Cost of shares redeemed			(189,433	)		(271,772	)		(56,388,772	)		(126,268,724	)
Net increase (decrease) from capital transactions			768,127			4,477,998			26,208,503			(20,986,199	)
CLASS R6
Proceeds from shares sold			8,664,923			10,548,840			78,481,868			66,260,633
Reinvestment of distributions			1,114,827			1,215,630			6,238,950			2,735,594
Cost of shares redeemed	��		(5,121,076	)		(15,985,275	)		(26,399,794	)		(21,617,756	)
Net increase (decrease) from capital transactions			4,658,674			(4,220,805	)		58,321,024			47,378,471
Net increase (decrease) in net assets resulting from capital transactions			12,460,810			6,072,416			104,744,812			208,119,856
Total increase (decrease) in net assets			14,798,996			15,979,206			166,932,730			357,292,323
NET ASSETS:
Beginning of period			105,765,496			89,786,290			1,230,607,084			873,314,761
End of period			$120,564,492			$105,765,496			$1,397,539,814			$1,230,607,084
Undistributed accumulated net investment income (loss)			$301,699			$1,686,368			$5,171,549			$12,934,533

The accompanying notes are an integral part of these financial statements. (continued on p. 190)

AQR Funds Semi-Annual Report March 2018

189

Statements of Changes in Net Assets March 31, 2018

	AQR TM INTERNATIONAL MOMENTUM STYLE FUND						AQR LARGE CAP DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,220,835			2,762,443			43,542,452			33,090,713
Shares sold		659,706			1,550,374			10,067,128			19,100,641
Shares issued on reinvestment of distributions		57,512			60,856			947,919			637,535
Shares redeemed		(220,663	)		(1,152,838	)		(10,045,103	)		(9,286,437	)
Shares outstanding, end of period		3,717,390			3,220,835			44,512,396			43,542,452
CLASS N
Shares outstanding, beginning of period		352,156			13,105			13,152,323			14,418,150
Shares sold		61,995			359,329			4,037,364			5,985,115
Shares issued on reinvestment of distributions		6,193			318			287,329			247,147
Shares redeemed		(13,522	)		(20,596	)		(2,960,053	)		(7,498,089	)
Shares outstanding, end of period		406,822			352,156			14,516,963			13,152,323
CLASS R6
Shares outstanding, beginning of period		4,159,523			4,552,606			10,858,002			8,114,231
Shares sold		616,255			856,159			4,172,992			3,882,814
Shares issued on reinvestment of distributions		80,668			108,249			326,818			169,702
Shares redeemed		(361,318	)		(1,357,491	)		(1,365,114	)		(1,308,745	)
Shares outstanding, end of period		4,495,128			4,159,523			13,992,698			10,858,002

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

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190

Statements of Changes in Net Assets March 31, 2018

	AQR INTERNATIONAL DEFENSIVE STYLE FUND						AQR EMERGING DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$1,538,699			$3,846,795			$296,245			$1,143,552
Net realized gain (loss)		278,787			432,068			286,438			(871,477	)
Net change in unrealized appreciation (depreciation)		4,775,928			14,750,315			6,030,558			5,963,387
Net increase (decrease) in net assets resulting from operations		6,593,414			19,029,178			6,613,241			6,235,462
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(3,165,826	)		(1,376,647	)		(1,062,921	)		(775,009	)
Class N		(467,396	)		(325,467	)		(73,559	)		(2,256	)
Class R6		(516,224	)		(216,668	)		(3,683	)		(3,159	)
Total		(4,149,446	)		(1,918,782	)		(1,140,163	)		(780,424	)
Net realized gain:
Class I		(165,425	)		—			—			—
Class N		(28,675	)		—			—			—
Class R6		(25,940	)		—			—			—
Total		(220,040	)		—			—			—
Total distributions		(4,369,486	)		(1,918,782	)		(1,140,163	)		(780,424	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		18,434,596			59,917,668			10,792,442			20,433,053
Reinvestment of distributions		3,331,251			1,376,647			1,062,921			774,826
Cost of shares redeemed		(17,095,199	)		(24,967,749	)		(5,016,869	)		(13,445,045	)
Net increase (decrease) from capital transactions		4,670,648			36,326,566			6,838,494			7,762,834
CLASS N
Proceeds from shares sold		397,487			17,910,739			462,481			4,546,034
Reinvestment of distributions		496,071			325,467			73,559			2,256
Cost of shares redeemed		(11,871,349	)		(12,515,245	)		(265,207	)		(387,794	)
Net increase (decrease) from capital transactions		(10,977,791	)		5,720,961			270,833			4,160,496
CLASS R6
Proceeds from shares sold		4,671,402			7,431,980			—			—
Reinvestment of distributions		542,164			216,668			3,683			3,159
Cost of shares redeemed		(2,245,579	)		(4,545,300	)		—			—
Net increase (decrease) from capital transactions		2,967,987			3,103,348			3,683			3,159
Net increase (decrease) in net assets resulting from capital transactions		(3,339,156	)		45,150,875			7,113,010			11,926,489
Total increase (decrease) in net assets		(1,115,228	)		62,261,271			12,586,088			17,381,527
NET ASSETS:
Beginning of period		194,908,643			132,647,372			67,390,649			50,009,122
End of period		$193,793,415			$194,908,643			$79,976,737			$67,390,649
Undistributed accumulated net investment income (loss)		$835,921			$3,446,668			$183,881			$1,027,799

The accompanying notes are an integral part of these financial statements. (continued on p. 192)

AQR Funds Semi-Annual Report March 2018

191

Statements of Changes in Net Assets March 31, 2018

	AQR INTERNATIONAL DEFENSIVE STYLE FUND						AQR EMERGING DEFENSIVE STYLE FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		10,933,855			8,004,942			6,592,892			5,639,656
Shares sold		1,363,198			4,874,827			1,079,458			2,394,166
Shares issued on reinvestment of distributions		250,470			122,805			108,683			98,079
Shares redeemed		(1,271,350	)		(2,068,719	)		(502,542	)		(1,539,009	)
Shares outstanding, end of period		11,276,173			10,933,855			7,278,491			6,592,892
CLASS N
Shares outstanding, beginning of period		2,216,623			1,704,809			509,044			22,961
Shares sold		28,749			1,474,453			45,769			527,245
Shares issued on reinvestment of distributions		36,342			28,326			7,342			279
Shares redeemed		(856,945	)		(990,965	)		(26,045	)		(41,441	)
Shares outstanding, end of period		1,424,769			2,216,623			536,110			509,044
CLASS R6
Shares outstanding, beginning of period		1,486,721			1,213,597			22,106			21,705
Shares sold		343,140			619,312			—			—
Shares issued on reinvestment of distributions		40,826			19,363			378			401
Shares redeemed		(165,752	)		(365,551	)		—			—
Shares outstanding, end of period		1,704,935			1,486,721			22,484			22,106

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

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192

Statements of Changes in Net Assets March 31, 2018

	AQR GLOBAL EQUITY FUND						AQR INTERNATIONAL EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
OPERATIONS:
Net investment income (loss)		$1,496,059			$2,290,063			$1,951,458			$7,839,516
Net realized gain (loss)		4,694,603			11,600,253			18,658,571			27,108,617
Net change in unrealized appreciation (depreciation)		2,318,426			16,779,337			(8,485,752	)		40,336,968
Net increase (decrease) in net assets resulting from operations		8,509,088			30,669,653			12,124,277			75,285,101
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(1,065,813	)		(653,994	)		(7,494,259	)		(10,863,361	)
Class N		(11,531	)		(28,840	)		(277,680	)		(974,412	)
Class R6		(1,544,993	)		(2,583,720	)		(955,796	)		(467,204	)
Total		(2,622,337	)		(3,266,554	)		(8,727,735	)		(12,304,977	)
Net realized gain:
Class I		(4,905,686	)		(2,182,402	)		(24,534,629	)		(4,934,344	)
Class N		(81,986	)		(106,171	)		(1,154,771	)		(484,430	)
Class R6		(6,895,772	)		(7,739,962	)		(2,979,588	)		(204,168	)
Total		(11,883,444	)		(10,028,535	)		(28,668,988	)		(5,622,942	)
Total distributions		(14,505,781	)		(13,295,089	)		(37,396,723	)		(17,927,919	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		167,598,066			12,128,871			73,280,486			84,815,575
Reinvestment of distributions		5,948,575			2,835,116			29,711,153			14,138,963
Cost of shares redeemed		(28,826,898	)		(10,315,994	)		(47,077,849	)		(171,249,833	)
Net increase (decrease) from capital transactions		144,719,743			4,647,993			55,913,790			(72,295,295	)
CLASS N
Proceeds from shares sold		526,272			1,153,074			10,612,298			9,270,889
Reinvestment of distributions		93,517			135,011			1,312,338			1,335,280
Cost of shares redeemed		(819,117	)		(939,549	)		(6,131,904	)		(37,068,943	)
Net increase (decrease) from capital transactions		(199,328	)		348,536			5,792,732			(26,462,774	)
CLASS R6
Proceeds from shares sold		24,779,055			16,049,836			7,300,976			26,475,529
Reinvestment of distributions		8,440,765			10,323,682			3,935,384			671,372
Cost of shares redeemed		(1,282,517	)		(70,541	)		(2,870,237	)		(2,904,530	)
Net increase (decrease) from capital transactions		31,937,303			26,302,977			8,366,123			24,242,371
Net increase (decrease) in net assets resulting from capital transactions		176,457,718			31,299,506			70,072,645			(74,515,698	)
Total increase (decrease) in net assets		170,461,025			48,674,070			44,800,199			(17,158,516	)
NET ASSETS:
Beginning of period		189,972,260			141,298,190			405,055,552			422,214,068
End of period		$360,433,285			$189,972,260			$449,855,751			$405,055,552
Undistributed accumulated net investment income (loss)		$406,262			$1,532,540			$(945,562	)		$5,830,715

The accompanying notes are an integral part of these financial statements. (continued on p. 194)

AQR Funds Semi-Annual Report March 2018

193

Statements of Changes in Net Assets March 31, 2018

	AQR GLOBAL EQUITY FUND						AQR INTERNATIONAL EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE YEAR ENDED SEPTEMBER 30, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		4,671,412			4,067,125			29,670,936			36,446,082
Shares sold		18,240,909			1,502,926			6,404,894			8,011,359
Shares issued on reinvestment of distributions		667,629			376,010			2,728,297			1,482,072
Shares redeemed		(3,163,905	)		(1,274,649	)		(4,097,670	)		(16,268,577	)
Shares outstanding, end of period		20,416,045			4,671,412			34,706,457			29,670,936
CLASS N
Shares outstanding, beginning of period		255,046			212,001			1,251,644			3,604,797
Shares sold		57,280			141,204			904,837			875,834
Shares issued on reinvestment of distributions		10,531			17,978			117,593			137,092
Shares redeemed		(90,265	)		(116,137	)		(523,650	)		(3,366,079	)
Shares outstanding, end of period		232,592			255,046			1,750,424			1,251,644
CLASS R6
Shares outstanding, beginning of period		16,309,218			13,023,243			3,560,850			1,335,884
Shares sold		2,702,229			1,934,027			601,106			2,411,991
Shares issued on reinvestment of distributions		939,952			1,360,169			338,673			66,341
Shares redeemed		(140,547	)		(8,221	)		(235,902	)		(253,366	)
Shares outstanding, end of period		19,810,852			16,309,218			4,264,727			3,560,850

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

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194

Statements of Changes in Net Assets March 31, 2018

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND						AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE PERIOD 12/14/16*- 9/30/17			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE PERIOD 12/14/16*- 9/30/17
OPERATIONS:
Net investment income (loss)		$93,271			$69,027			$(6,461	)		$(2,677	)
Net realized gain (loss)		(126,044	)		(39,665	)		(92,228	)		(130,457	)
Net change in unrealized appreciation (depreciation)		961,032			1,198,320			(23,629	)		244,232
Net increase (decrease) in net assets resulting from operations		928,259			1,227,682			(122,318	)		111,098
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(133,818	)		—			(13,898	)		—
Class N		(2,636	)		—			(4,398	)		—
Class R6		(19,501	)		—			(14,910	)		—
Total		(155,955	)		—			(33,206	)		—
Total distributions		(155,955	)		—			(33,206	)		—
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		3,515,065			12,983,234			522,223			1,490,338
Reinvestment of distributions		133,818			—			13,898			—
Cost of shares redeemed		(3,207,141	)		(286,671	)		(14,526	)		(189,170	)
Net increase (decrease) from capital transactions		441,742			12,696,563			521,595			1,301,168
CLASS N
Proceeds from shares sold		38,101			1,186,574			208			652,860
Reinvestment of distributions		2,636			—			4,398			—
Cost of shares redeemed		(473,515	)		(302,831	)		(1,008	)		(92,255	)
Net increase (decrease) from capital transactions		(432,778	)		883,743			3,598			560,605
CLASS R6
Proceeds from shares sold		—			1,754,717			20,000			1,291,979
Reinvestment of distributions		19,501			—			14,910			—
Net increase (decrease) from capital transactions		19,501			1,754,717			34,910			1,291,979
Net increase (decrease) in net assets resulting from capital transactions		28,465			15,335,023			560,103			3,153,752
Total increase (decrease) in net assets		800,769			16,562,705			404,579			3,264,850
NET ASSETS:
Beginning of period		16,562,705			—			3,264,850			—
End of period		$17,363,474			$16,562,705			$3,669,429			$3,264,850
Undistributed accumulated net investment income (loss)		$38,148			$100,832			$(11,038	)		$28,629

The accompanying notes are an integral part of these financial statements. (continued on p. 196)

AQR Funds Semi-Annual Report March 2018

195

Statements of Changes in Net Assets March 31, 2018

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND						AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE PERIOD 12/14/16*- 9/30/17			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE PERIOD 12/14/16*- 9/30/17
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		1,201,816			—			130,756			—
Shares sold		295,650			1,228,307			51,023			150,276
Shares issued on reinvestment of distributions		11,096			—			1,323			—
Shares redeemed		(265,129	)		(26,491	)		(1,422	)		(19,520	)
Shares outstanding, end of period		1,243,433			1,201,816			181,680			130,756
CLASS N
Shares outstanding, beginning of period		90,163			—			55,789			—
Shares sold		3,139			118,572			20			65,305
Shares issued on reinvestment of distributions		218			—			419			—
Shares redeemed		(40,685	)		(28,409	)		(96	)		(9,516	)
Shares outstanding, end of period		52,835			90,163			56,132			55,789
CLASS R6
Shares outstanding, beginning of period		174,492			—			129,090			—
Shares sold		—			174,492			1,907			129,090
Shares issued on reinvestment of distributions		1,616			—			1,420			—
Shares outstanding, end of period		176,108			174,492			132,417			129,090

* Commencement of operations.

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

AQR Funds Semi-Annual Report March 2018

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Statements of Changes in Net Assets March 31, 2018

	AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND						AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE PERIOD 12/14/16*- 9/30/17			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE PERIOD 12/14/16*- 9/30/17
OPERATIONS:
Net investment income (loss)		$231,226			$123,723			$171,570			$43,615
Net realized gain (loss)		(129,385	)		43,434			2,034,437			72,887
Net change in unrealized appreciation (depreciation)		(672,647	)		1,387,106			1,033,030			804,369
Net increase (decrease) in net assets resulting from operations		(570,806	)		1,554,263			3,239,037			920,871
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(155,585	)		—			(56,194	)		—
Class N		(53,147	)		—			(11,434	)		—
Class R6		(19,541	)		—			(164,378	)		—
Total		(228,273	)		—			(232,006	)		—
Net realized gain:
Class I		(24,186	)		—			(27,925	)		—
Class N		(9,101	)		—			(7,723	)		—
Class R6		(2,929	)		—			(77,388	)		—
Total		(36,216	)		—			(113,036	)		—
Total distributions		(264,489	)		—			(345,042	)		—
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		46,727,422			6,484,383			19,190,976			4,817,453
Reinvestment of distributions		179,771			—			82,736			—
Cost of shares redeemed		(2,458,880	)		(76,732	)		(304,342	)		(69,013	)
Net increase (decrease) from capital transactions		44,448,313			6,407,651			18,969,370			4,748,440
CLASS N
Proceeds from shares sold		11,718,292			1,816,453			9,887,397			1,797,659
Reinvestment of distributions		62,248			—			19,157			—
Cost of shares redeemed		(581,008	)		(99,652	)		(407,069	)		(114,361	)
Net increase (decrease) from capital transactions		11,199,532			1,716,801			9,499,485			1,683,298
CLASS R6
Proceeds from shares sold		—			2,099,000			—			17,599,000
Reinvestment of distributions		22,470			—			241,766			—
Cost of shares redeemed		—			—			(1,000,000	)		—
Net increase (decrease) from capital transactions		22,470			2,099,000			(758,234	)		17,599,000
Net increase (decrease) in net assets resulting from capital transactions		55,670,315			10,223,452			27,710,621			24,030,738
Total increase (decrease) in net assets		54,835,020			11,777,715			30,604,616			24,951,609
NET ASSETS:
Beginning of period		11,777,715			—			24,951,609			—
End of period		$66,612,735			$11,777,715			$55,556,225			$24,951,609
Undistributed accumulated net investment income (loss)		$173,932			$170,979			$(21,622	)		$38,814

The accompanying notes are an integral part of these financial statements. (continued on p. 198)

AQR Funds Semi-Annual Report March 2018

197

Statements of Changes in Net Assets March 31, 2018

	AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND						AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
	FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE PERIOD 12/14/16*- 9/30/17			FOR THE SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)			FOR THE PERIOD 12/14/16*- 9/30/17
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		559,080			—			406,006			—
Shares sold		3,548,246			565,347			1,352,907			411,586
Shares issued on reinvestment of distributions		13,957			—			6,249			—
Shares redeemed		(189,972	)		(6,267	)		(21,757	)		(5,580	)
Shares outstanding, end of period		3,931,311			559,080			1,743,405			406,006
CLASS N
Shares outstanding, beginning of period		156,150			—			154,227			—
Shares sold		900,877			164,254			692,831			163,536
Shares issued on reinvestment of distributions		4,844			—			1,448			—
Shares redeemed		(44,662	)		(8,104	)		(29,632	)		(9,309	)
Shares outstanding, end of period		1,017,209			156,150			818,874			154,227
CLASS R6
Shares outstanding, beginning of period		207,857			—			1,405,781			—
Shares sold		—			207,857			—			1,405,781
Shares issued on reinvestment of distributions		1,745			—			18,260			—
Shares redeemed		—			—			(70,872	)		—
Shares outstanding, end of period		209,602			207,857			1,353,169			1,405,781

* Commencement of operations.

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

AQR Funds Semi-Annual Report March 2018

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Statements of Cash Flows March 31, 2018 (Unaudited)

	AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND			AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND			AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	928,259		$	(122,318	)	$	(570,806	)
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		(11,075,311	)		(2,667,721	)		(78,405,175	)
Payments to cover short positions in securities		(3,902,799	)		(679,796	)		(3,641,847	)
Proceeds from sale of securities		10,958,438			2,077,191			10,182,510
Proceeds from short positions in securities		3,847,259			759,860			19,168,194
(Purchases) sales of short-term investments, net		224,082			6,819			(2,124,751	)
Realized (gain) loss on investments in securities		(382,051	)		(23,909	)		(186,074	)
Realized (gain) loss on short positions in securities		508,095			116,703			361,605
Change in unrealized (appreciation) depreciation on investments in securities		(642,019	)		79,321			1,335,715
Change in unrealized (appreciation) depreciation on short positions in securities		(319,013	)		(55,536	)		(666,460	)
(Increases) decreases in operating assets:
Deposits with brokers for futures contracts		—			—			(86,181	)
Variation margin on futures contracts		—			—			(18,416	)
Foreign tax reclaim		—			—			(16,134	)
Dividends		(8,671	)		(172	)		(235,031	)
Due from Investment Adviser		1,051			7,170			—
Prepaid expenses		847			(8,429	)		(10,361	)
Increases (decreases) in operating liabilities
Payable for securities purchased		(18,471	)		—			33
Accrued investment advisory fees		6,730			—			33,745
Accrued distribution fees—Class N		(74	)		7			2,353
Dividends and Interest payable on securities sold short		1,042			1,247			43,037
Other accrued expenses and liabilities		(18,163	)		(16,907	)		(8,513	)
Net cash provided by (used in) operating activities	$	109,231		$	(526,470	)	$	(54,842,557	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		3,573,131			542,431			58,023,126
Payments on shares redeemed		(3,680,656	)		(15,534	)		(3,035,134	)
Net cash provided by (used in) financing activities	$	(107,525	)	$	526,897		$	54,987,992
Net change in cash and cash denominated in foreign currencies		1,706			427			145,435
Cash, beginning of period		13,494			33			59,367
Cash, end of period**	$	15,200		$	460		$	204,802

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $19,508, $6,489 and $60,049.

** The following is a reconciliation of cash and cash held in foreign currencies reported within the Statements of Assets and Liabilities to cash disclosed in the Statements of Cash Flows:

FUND	CASH		CASH DENOMINATED IN FOREIGN CURRENCIES		TOTAL CASH AND CASH DENOMINATED IN FOREIGN CURRENCIES
AQR Large Cap Relaxed Constraint Equity Fund	$	15,200	$	—	$	15,200
AQR Small Cap Relaxed Constraint Equity Fund		460		—		460
AQR International Relaxed Constraint Equity Fund		32,292		172,510		204,802

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

AQR Funds Semi-Annual Report March 2018

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Financial Highlights March 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR LARGE CAP MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	16.87		0.12			1.02			1.14			(0.22	)		(0.18	)		(0.40	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	14.00		0.22			2.84			3.06			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.25		0.19			0.68			0.87			(0.12	)		(0.00	)7		(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	13.36		0.16			(0.15	)		0.01			(0.06	)		(0.06	)		(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.09		0.15			2.21			2.36			(0.04	)		(0.05	)		(0.09	)
FOR THE PERIOD 3/26/138—9/30/13	$	10.00		0.06	9		1.03			1.09			—			—			—
AQR LARGE CAP MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	16.79		0.09			1.02			1.11			(0.18	)		(0.18	)		(0.36	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.94		0.18			2.82			3.00			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.19		0.16			0.68			0.84			(0.09	)		(0.00	)7		(0.09	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	13.33		0.13			(0.16	)		(0.03	)		(0.05	)		(0.06	)		(0.11	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.09		0.11			2.21			2.32			(0.03	)		(0.05	)		(0.08	)
FOR THE PERIOD 3/26/138—9/30/13	$	10.00		0.04	9		1.05			1.09			—			—			—
AQR LARGE CAP MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	16.87		0.12			1.03			1.15			(0.24	)		(0.18	)		(0.42	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	14.00		0.24			2.84			3.08			(0.21	)		—			(0.21	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.25		0.21			0.68			0.89			(0.14	)		(0.00	)7		(0.14	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	13.36		0.18			(0.17	)		0.01			(0.06	)		(0.06	)		(0.12	)
FOR THE PERIOD 7/10/1412—9/30/14	$	13.32		0.04			0.00	7		0.04			—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	16.09		0.06			0.18			0.24			(0.12	)		(1.46	)		(1.58	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.96		0.12	13		2.39			2.51			(0.14	)		(0.24	)		(0.38	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	12.30		0.13			1.56			1.69			(0.03	)		(0.00	)7		(0.03	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.34		0.12	14		0.02	15		0.14			(0.03	)		(0.15	)		(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.88		0.05	16		0.57			0.62			(0.04	)		(0.12	)		(0.16	)
FOR THE PERIOD 3/26/138—9/30/13	$	10.00		0.03	9		1.85			1.88			—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	16.01		0.04			0.19			0.23			(0.07	)		(1.46	)		(1.53	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.90		0.08	13		2.37			2.45			(0.10	)		(0.24	)		(0.34	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	12.25		0.10			1.55			1.65			(0.00	)7		(0.00	)7		(0.00	)7
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.30		0.09	14		0.01	15		0.10			(0.00	)7		(0.15	)		(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.87		0.01	16		0.56			0.57			(0.02	)		(0.12	)		(0.14	)
FOR THE PERIOD 3/26/138—9/30/13	$	10.00		0.01	9		1.86			1.87			—			—			—
AQR SMALL CAP MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	16.11		0.06			0.20			0.26			(0.14	)		(1.46	)		(1.60	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.98		0.13	13		2.39			2.52			(0.15	)		(0.24	)		(0.39	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	12.31		0.16			1.55			1.71			(0.04	)		(0.00	)7		(0.04	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.35		0.15	14		0.00	7,15		0.15			(0.04	)		(0.15	)		(0.19	)
FOR THE PERIOD 7/10/1412—9/30/14	$	12.95		0.01	16		(0.61	)15		(0.60	)		—			—			—

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

AQR Funds Semi-Annual Report March 2018

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Financial Highlights March 31, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
$	17.61		6.72	%	$	460,620		0.44	%		0.44	%		0.44	%		1.32	%		30	%
$	16.87		22.01	%	$	457,339		0.45	%		0.44	%		0.44	%		1.46	%		61	%
$	14.00		6.61	%	$	627,269		0.46	%		0.45	%		0.45	%		1.43	%		80	%
$	13.25		0.03	%	$	490,709		0.54	%		0.49	%		0.49	%		1.17	%		59	%
$	13.36		21.39	%	$	166,058		0.71	%		0.54	%		0.54	%		1.17	%		277	%
$	11.09		10.90	%	$	18,811		1.80	%10,11		0.54	%		0.54	%		1.09	%9		223	%
$	17.54		6.54	%	$	73,451		0.70	%		0.70	%		0.70	%		1.06	%		30	%
$	16.79		21.69	%	$	62,679		0.71	%		0.70	%		0.70	%		1.19	%		61	%
$	13.94		6.40	%	$	64,718		0.71	%		0.70	%		0.70	%		1.18	%		80	%
$	13.19		(0.25	)%	$	59,733		0.79	%		0.74	%		0.74	%		0.93	%		59	%
$	13.33		21.05	%	$	10,328		1.14	%		0.79	%		0.79	%		0.90	%		277	%
$	11.09		10.90	%	$	1,403		4.30	%10,11		0.79	%		0.79	%		0.72	%9		223	%
$	17.60		6.74	%	$	1,412,834		0.35	%		0.35	%		0.35	%		1.40	%		30	%
$	16.87		22.18	%	$	1,246,028		0.36	%		0.35	%		0.35	%		1.54	%		61	%
$	14.00		6.71	%	$	792,665		0.37	%		0.35	%		0.35	%		1.52	%		80	%
$	13.25		0.07	%	$	563,785		0.42	%		0.36	%		0.36	%		1.28	%		59	%
$	13.36		0.30	%	$	42,256		0.61	%		0.44	%		0.44	%		1.23	%		277	%
$	14.75		1.41	%	$	57,679		0.66	%		0.65	%		0.65	%		0.74	%		29	%
$	16.09		18.12	%	$	55,115		0.69	%		0.65	%		0.65	%		0.79	%13		61	%
$	13.96		13.74	%	$	45,483		0.75	%		0.65	%		0.65	%		1.00	%		96	%
$	12.30		1.02	%	$	26,634		1.17	%		0.68	%		0.68	%		0.88	%14		228	%
$	12.34		5.13	%	$	8,233		2.58	%		0.75	%		0.75	%		0.37	%16		189	%
$	11.88		18.80	%	$	2,184		5.84	%10		0.75	%		0.75	%		0.45	%9		70	%
$	14.71		1.30	%	$	6,971		0.92	%		0.90	%		0.90	%		0.48	%		29	%
$	16.01		17.79	%	$	8,624		0.94	%		0.90	%		0.90	%		0.53	%13		61	%
$	13.90		13.51	%	$	9,733		0.99	%		0.90	%		0.90	%		0.76	%		96	%
$	12.25		0.72	%	$	5,681		1.40	%		0.93	%		0.93	%		0.65	%14		228	%
$	12.30		4.78	%	$	1,284		3.27	%		1.00	%		1.00	%		0.11	%16		189	%
$	11.87		18.70	%	$	1,381		6.40	%10		1.00	%		1.00	%		0.17	%9		70	%
$	14.77		1.50	%	$	634,040		0.57	%		0.55	%		0.55	%		0.83	%		29	%
$	16.11		18.17	%	$	733,984		0.59	%		0.55	%		0.55	%		0.89	%13		61	%
$	13.98		13.90	%	$	687,986		0.62	%		0.55	%		0.55	%		1.23	%		96	%
$	12.31		1.06	%	$	9,494		0.96	%		0.55	%		0.55	%		1.17	%14		228	%
$	12.35		(4.63	)%	$	95		2.34	%		0.65	%		0.65	%		0.45	%16		189	%

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

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201

Financial Highlights March 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR INTERNATIONAL MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.95		0.09			0.12			0.21			(0.29	)		—			(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.23		0.24			1.74			1.98			(0.26	)		—			(0.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.21		0.26			(0.09	)		0.17			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.47		0.27	14		(1.26	)		(0.99	)		(0.19	)		(0.08	)		(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.28		0.28			0.01	15		0.29			(0.10	)		—			(0.10	)
FOR THE PERIOD 3/26/138—9/30/13	$	10.00		0.13	9		1.15			1.28			—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.92		0.07			0.12			0.19			(0.26	)		—			(0.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.20		0.21			1.75			1.96			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.20		0.23			(0.10	)		0.13			(0.13	)		—			(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.44		0.24	14		(1.25	)		(1.01	)		(0.15	)		(0.08	)		(0.23	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.27		0.24			0.01	15		0.25			(0.08	)		—			(0.08	)
FOR THE PERIOD 3/26/138—9/30/13	$	10.00		0.15	9		1.12			1.27			—			—			—
AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.94		0.09			0.12			0.21			(0.30	)		—			(0.30	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.22		0.26			1.73			1.99			(0.27	)		—			(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.20		0.25			(0.07	)		0.18			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.47		0.30	14		(1.28	)		(0.98	)		(0.21	)		(0.08	)		(0.29	)
FOR THE PERIOD 7/10/1412—9/30/14	$	11.94		0.13			(0.60	)		(0.47	)		—			—			—
AQR EMERGING MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.71		0.03			0.94			0.97			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.95		0.18			1.75			1.93			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.19		0.15			0.81			0.96			(0.20	)		—			(0.20	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	9.96		0.27			(1.97	)		(1.70	)		(0.07	)		—			(0.07	)
FOR THE PERIOD 5/13/148—9/30/14	$	10.00		0.14			(0.18	)		(0.04	)		—			—			—
AQR EMERGING MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.68		0.02			0.95			0.97			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.93		0.14			1.76			1.90			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.17		0.13			0.81			0.94			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	9.95		0.29			(2.01	)		(1.72	)		(0.06	)		—			(0.06	)
FOR THE PERIOD 5/13/148—9/30/14	$	10.00		0.14			(0.19	)		(0.05	)		—			—			—
AQR EMERGING MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.72		0.05			0.94			0.99			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.97		0.19			1.74			1.93			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.20		0.16			0.81			0.97			(0.20	)		—			(0.20	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	9.96		0.45			(2.14	)		(1.69	)		(0.07	)		—			(0.07	)
FOR THE PERIOD 7/10/1412—9/30/14	$	10.47		0.05			(0.56	)		(0.51	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.09		0.09			0.70			0.79			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.00		0.16			2.05			2.21			(0.12	)		(0.00	)7		(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.42		0.15			0.49			0.64			(0.05	)		(0.01	)		(0.06	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.08			(0.66	)		(0.58	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.05		0.07			0.71			0.78			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	9.97		0.13			2.05			2.18			(0.10	)		(0.00	)7		(0.10	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.40		0.13			0.48			0.61			(0.03	)		(0.01	)		(0.04	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.06			(0.66	)		(0.60	)		—			—			—
AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.10		0.09			0.72			0.81			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.01		0.17			2.05			2.22			(0.13	)		(0.00	)7		(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.42		0.16			0.49			0.65			(0.05	)		(0.01	)		(0.06	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.08			(0.66	)		(0.58	)		—			—			—

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

AQR Funds Semi-Annual Report March 2018

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Financial Highlights March 31, 2018

					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
$	11.87		1.75	%	$	80,923		0.64	%		0.60	%		0.60	%		1.49	%		27	%
$	11.95		19.91	%	$	76,307		0.65	%		0.60	%17		0.60	%17		2.26	%18		55	%
$	10.23		1.62	%	$	68,288		0.68	%		0.59	%		0.59	%		2.62	%		106	%
$	10.21		(8.78	)%	$	40,047		0.82	%		0.64	%		0.64	%		2.45	%14		236	%
$	11.47		2.53	%	$	26,729		1.38	%		0.70	%		0.70	%		2.36	%		204	%
$	11.28		12.80	%	$	15,810		2.16	%10		0.70	%		0.70	%		2.25	%9		218	%
$	11.85		1.54	%	$	7,417		0.89	%		0.85	%		0.85	%		1.15	%		27	%
$	11.92		19.69	%	$	8,836		0.91	%		0.85	%17		0.85	%17		1.95	%18		55	%
$	10.20		1.28	%	$	8,491		0.93	%		0.85	%		0.85	%		2.32	%		106	%
$	10.20		(8.92	)%	$	4,142		1.06	%		0.88	%		0.88	%		2.19	%14		236	%
$	11.44		2.19	%	$	2,756		1.85	%		0.95	%		0.95	%		2.02	%		204	%
$	11.27		12.70	%	$	2,154		4.10	%10		0.95	%		0.95	%		2.65	%9		218	%
$	11.85		1.76	%	$	386,365		0.54	%		0.50	%		0.50	%		1.57	%		27	%
$	11.94		20.04	%	$	385,126		0.56	%		0.50	%17		0.50	%17		2.41	%18		55	%
$	10.22		1.71	%	$	301,294		0.59	%		0.50	%		0.50	%		2.52	%		106	%
$	10.20		(8.68	)%	$	241,780		0.66	%		0.51	%		0.51	%		2.70	%14		236	%
$	11.47		(3.94	)%	$	26,412		1.34	%		0.60	%		0.60	%		5.13	%		204	%
$	11.50		9.15	%	$	42,720		0.86	%		0.75	%		0.75	%		0.51	%		31	%
$	10.71		22.17	%	$	97,264		0.89	%		0.75	%		0.75	%		1.93	%		53	%
$	8.95		11.97	%	$	73,793		0.95	%		0.75	%		0.75	%		1.85	%		94	%
$	8.19		(17.14	)%	$	48,992		1.39	%		0.79	%		0.79	%		2.79	%		317	%
$	9.96		(0.40	)%	$	11,572		3.30	%10,11		0.85	%		0.85	%		3.49	%		154	%
$	11.50		9.13	%	$	6,962		1.11	%		1.00	%		1.00	%		0.39	%		31	%
$	10.68		21.82	%	$	6,726		1.14	%		1.00	%		1.00	%		1.54	%		53	%
$	8.93		11.72	%	$	7,600		1.20	%		1.00	%		1.00	%		1.64	%		94	%
$	8.17		(17.34	)%	$	4,494		1.61	%		1.04	%		1.04	%		2.98	%		317	%
$	9.95		(0.50	)%	$	2,388		3.55	%10,11		1.10	%		1.10	%		3.49	%		154	%
$	11.52		9.33	%	$	293,510		0.76	%		0.65	%		0.65	%		0.84	%		31	%
$	10.72		22.13	%	$	222,511		0.79	%		0.65	%		0.65	%		2.01	%		53	%
$	8.97		12.13	%	$	184,112		0.85	%		0.65	%		0.65	%		1.96	%		94	%
$	8.20		(17.06	)%	$	135,503		0.89	%		0.65	%		0.65	%		4.66	%		317	%
$	9.96		(4.87	)%	$	95		2.73	%10,11		0.75	%		0.75	%		2.09	%		154	%
$	12.73		6.50	%	$	74,966		0.48	%		0.45	%		0.45	%		1.36	%		37	%
$	12.09		22.33	%	$	64,006		0.53	%		0.45	%		0.45	%		1.44	%		77	%
$	10.00		6.82	%	$	39,964		0.59	%10		0.43	%		0.43	%		1.57	%		173	%
$	9.42		(5.80	)%	$	2,087		1.66	%10		0.46	%		0.46	%		1.20	%		207	%
$	12.71		6.44	%	$	2,396		0.74	%		0.70	%		0.70	%		1.11	%		37	%
$	12.05		22.04	%	$	2,210		0.78	%		0.70	%		0.70	%		1.20	%		77	%
$	9.97		6.48	%	$	2,165		0.84	%10		0.69	%		0.69	%		1.34	%		173	%
$	9.40		(6.00	)%	$	135		2.48	%10		0.70	%		0.70	%		0.99	%		207	%
$	12.75		6.67	%	$	184,312		0.39	%		0.35	%		0.35	%		1.46	%		37	%
$	12.10		22.37	%	$	161,560		0.43	%		0.35	%		0.35	%		1.54	%		77	%
$	10.01		6.95	%	$	98,092		0.53	%10		0.35	%		0.35	%		1.63	%		173	%
$	9.42		(5.80	)%	$	26,703		1.41	%10		0.36	%		0.36	%		1.33	%		207	%

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

AQR Funds Semi-Annual Report March 2018

203

Financial Highlights March 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR TM SMALL CAP MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.03		0.04			0.15			0.19			(0.07	)		(0.26	)		(0.33	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.31		0.09			1.74			1.83			(0.11	)		—			(0.11	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.21		0.12	19		1.04			1.16			(0.06	)		—			(0.06	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.05			(0.84	)		(0.79	)		—			—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.98		0.02			0.16			0.18			(0.04	)		(0.26	)		(0.30	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.28		0.05			1.74			1.79			(0.09	)		—			(0.09	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.20		0.10	19		1.03			1.13			(0.05	)		—			(0.05	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.04			(0.84	)		(0.80	)		—			—			—
AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.06		0.04			0.16			0.20			(0.08	)		(0.26	)		(0.34	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.32		0.10			1.76			1.86			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.22		0.12	19		1.04			1.16			(0.06	)		—			(0.06	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.06			(0.84	)		(0.78	)		—			—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.16		0.09			0.15			0.24			(0.27	)		—			(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	9.44		0.23			1.68			1.91			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.40		0.24			(0.08	)15		0.16			(0.12	)		—			(0.12	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.18			(0.78	)		(0.60	)		—			—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.12		0.07			0.15			0.22			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	9.42		0.20			1.68			1.88			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.39		0.22			(0.08	)15		0.14			(0.11	)		—			(0.11	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.15			(0.76	)		(0.61	)		—			—			—
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.18		0.09			0.16			0.25			(0.28	)		—			(0.28	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	9.45		0.24			1.69			1.93			(0.20	)		—			(0.20	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.41		0.25			(0.09	)15		0.16			(0.12	)		—			(0.12	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.18			(0.77	)		(0.59	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.12		0.05			0.88			0.93			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	9.27		0.18			1.88			2.06			(0.21	)		—			(0.21	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.31		0.17			0.82			0.99			(0.03	)		—			(0.03	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.21			(1.90	)		(1.69	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.12		0.03			0.88			0.91			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	9.28		0.15			1.89			2.04			(0.20	)		—			(0.20	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.30		0.17			0.81			0.98			—			—			—
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.19			(1.89	)		(1.70	)		—			—			—
AQR TM EMERGING MULTI-STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.13		0.05			0.89			0.94			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	9.28		0.19			1.88			2.07			(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.32		0.18			0.82			1.00			(0.04	)		—			(0.04	)
FOR THE PERIOD 2/11/158—9/30/15	$	10.00		0.22			(1.90	)		(1.68	)		—			—			—

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

AQR Funds Semi-Annual Report March 2018

204

Financial Highlights March 31, 2018

					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
$	11.89		1.52	%	$	23,535		1.09	%		0.65	%		0.65	%		0.64	%		38	%
$	12.03		17.79	%	$	21,257		1.23	%		0.65	%		0.65	%		0.79	%		92	%
$	10.31		12.64	%	$	13,792		1.90	%10		0.64	%		0.64	%		1.27	%19		179	%
$	9.21		(7.90	)%	$	1,702		5.66	%10		0.65	%		0.65	%		0.77	%		98	%
$	11.86		1.44	%	$	5,703		1.34	%		0.90	%		0.90	%		0.38	%		38	%
$	11.98		17.44	%	$	5,478		1.47	%		0.90	%		0.90	%		0.48	%		92	%
$	10.28		12.34	%	$	2,970		2.03	%10		0.88	%		0.88	%		1.05	%19		179	%
$	9.20		(8.00	)%	$	128		6.53	%10		0.92	%		0.92	%		0.59	%		98	%
$	11.92		1.61	%	$	2,365		0.99	%		0.55	%		0.55	%		0.73	%		38	%
$	12.06		18.04	%	$	2,327		1.13	%		0.55	%		0.55	%		0.90	%		92	%
$	10.32		12.63	%	$	1,973		2.29	%10		0.55	%		0.55	%		1.26	%19		179	%
$	9.22		(7.80	)%	$	1,660		6.28	%10		0.57	%		0.57	%		0.96	%		98	%
$	11.13		2.12	%	$	27,501		0.69	%		0.60	%		0.60	%		1.53	%		27	%
$	11.16		20.71	%	$	25,736		0.71	%		0.60	%		0.60	%		2.31	%		52	%
$	9.44		1.68	%	$	20,094		0.81	%10		0.59	%		0.58	%		2.58	%		135	%
$	9.40		(6.00	)%	$	3,213		1.42	%10		0.61	%		0.61	%		2.85	%		172	%
$	11.10		1.99	%	$	2,265		0.94	%		0.85	%		0.85	%		1.28	%		27	%
$	11.12		20.39	%	$	2,078		0.97	%		0.85	%		0.85	%		2.03	%		52	%
$	9.42		1.43	%	$	1,592		1.07	%10		0.82	%		0.82	%		2.41	%		135	%
$	9.39		(6.10	)%	$	143		2.65	%10		0.81	%		0.81	%		2.28	%		172	%
$	11.15		2.20	%	$	156,696		0.59	%		0.50	%		0.50	%		1.61	%		27	%
$	11.18		20.89	%	$	151,455		0.62	%		0.50	%		0.50	%		2.42	%		52	%
$	9.45		1.71	%	$	116,641		0.72	%10		0.50	%		0.50	%		2.73	%		135	%
$	9.41		(5.90	)%	$	41,373		1.22	%10		0.51	%		0.51	%		2.81	%		172	%
$	11.87		8.44	%	$	19,936		0.84	%		0.74	%		0.74	%		0.85	%		27	%
$	11.12		22.99	%	$	17,013		0.86	%		0.74	%		0.74	%		1.89	%		51	%
$	9.27		12.02	%	$	12,711		0.94	%10		0.72	%		0.72	%		2.00	%		181	%
$	8.31		(16.90	)%	$	2,986		2.66	%10		0.77	%		0.77	%		3.46	%		173	%
$	11.88		8.23	%	$	2,505		1.10	%		1.00	%		1.00	%		0.58	%		27	%
$	11.12		22.64	%	$	2,301		1.12	%		1.00	%		1.00	%		1.58	%		51	%
$	9.28		11.81	%	$	2,163		1.20	%10		0.95	%		0.95	%		2.01	%		181	%
$	8.30		(17.00	)%	$	881		3.06	%10		1.03	%		1.03	%		3.08	%		173	%
$	11.88		8.51	%	$	351,949		0.75	%		0.65	%		0.65	%		0.93	%		27	%
$	11.13		23.05	%	$	333,540		0.77	%		0.65	%		0.65	%		1.94	%		51	%
$	9.28		12.05	%	$	272,799		0.87	%10		0.65	%		0.65	%		2.09	%		181	%
$	8.32		(16.80	)%	$	15,381		2.46	%10		0.67	%		0.67	%		3.66	%		173	%

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

AQR Funds Semi-Annual Report March 2018

205

Financial Highlights March 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR LARGE CAP MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	22.00		0.10			1.94			2.04			(0.21	)		(1.76	)		(1.97	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	20.44		0.24			2.88			3.12			(0.32	)		(1.24	)		(1.56	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	19.96		0.27			1.87			2.14			(0.21	)		(1.45	)		(1.66	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.89		0.23			(0.10	)		0.13			(0.14	)		(1.92	)		(2.06	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	19.65		0.12			3.12			3.24			(0.13	)		(0.87	)		(1.00	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	16.06		0.12	9		3.47			3.59			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	13.89		0.26	20		2.16			2.42			(0.25	)		—			(0.25	)
AQR LARGE CAP MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	21.98		0.07			1.94			2.01			(0.16	)		(1.76	)		(1.92	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	20.42		0.19			2.87			3.06			(0.26	)		(1.24	)		(1.50	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	19.92		0.21			1.88			2.09			(0.14	)		(1.45	)		(1.59	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.85		0.17			(0.10	)		0.07			(0.08	)		(1.92	)		(2.00	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	19.61		0.06			3.13			3.19			(0.08	)		(0.87	)		(0.95	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	16.05		0.09	9		3.47			3.56			—			—			—
FOR THE PERIOD 12/17/1212—12/31/12	$	16.02		0.01	20		0.02			0.03			—			—			—
AQR LARGE CAP MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	21.96		0.11			1.94			2.05			(0.23	)		(1.76	)		(1.99	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	20.41		0.26			2.87			3.13			(0.34	)		(1.24	)		(1.58	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	19.94		0.29			1.86			2.15			(0.23	)		(1.45	)		(1.68	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.89		0.23			(0.08	)		0.15			(0.18	)		(1.92	)		(2.10	)
FOR THE PERIOD 7/10/1412—9/30/14	$	21.90		0.04			(0.05	)15		(0.01	)		—			—			—
AQR SMALL CAP MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	24.83		0.03			1.27			1.30			(0.06	)		(2.26	)		(2.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	20.80		0.10	13		4.10			4.20			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	19.10		0.15			1.79			1.94			(0.16	)		(0.08	)		(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.09		0.15	14		0.26	15		0.41			(0.04	)		(2.36	)		(2.40	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	21.77		0.00	7,16		0.73			0.73			(0.06	)		(1.35	)		(1.41	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	16.43		0.09	9		5.25			5.34			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	13.89		0.22	20		2.50			2.72			(0.18	)		—			(0.18	)
AQR SMALL CAP MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	24.82		(0.00	)11		1.28			1.28			—			(2.26	)		(2.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	20.68		0.05	13		4.09			4.14			—			—			—
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	18.99		0.09			1.78			1.87			(0.10	)		(0.08	)		(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.00		0.09	14		0.26	15		0.35			—			(2.36	)		(2.36	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	21.73		(0.06	)16		0.73			0.67			(0.05	)		(1.35	)		(1.40	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	16.43		0.03	9		5.27			5.30			—			—			—
FOR THE PERIOD 12/17/1212—12/31/12	$	16.09		0.02	20		0.32			0.34			—			—			—
AQR SMALL CAP MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	24.79		0.05			1.27			1.32			(0.09	)		(2.26	)		(2.35	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	20.77		0.12	13		4.09			4.21			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	19.09		0.13			1.81			1.94			(0.18	)		(0.08	)		(0.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	21.10		0.13	14		0.29	15		0.42			(0.07	)		(2.36	)		(2.43	)
FOR THE PERIOD 7/10/1412—9/30/14	$	22.08		0.01	16		(0.99	)15		(0.98	)		—			—			—

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

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Financial Highlights March 31, 2018

					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
$	22.07		9.46	%	$	903,280		0.40	%		0.40	%		0.40	%		0.88	%		30	%
$	22.00		16.37	%	$	869,688		0.41	%		0.40	%		0.40	%		1.19	%		88	%
$	20.44		11.12	%	$	820,914		0.42	%		0.40	%		0.40	%		1.34	%		77	%
$	19.96		0.18	%	$	874,115		0.50	%		0.45	%		0.45	%		1.06	%		90	%
$	21.89		16.86	%	$	953,235		0.55	%		0.49	%		0.49	%		0.55	%		83	%
$	19.65		22.35	%	$	719,389		0.55	%10		0.49	%		0.49	%		0.88	%9		62	%
$	16.06		17.49	%	$	490,442		0.58	%		0.50	%		0.49	%		1.69	%20		68	%
$	22.07		9.30	%	$	65,647		0.65	%		0.65	%		0.65	%		0.63	%		30	%
$	21.98		16.07	%	$	59,044		0.66	%		0.65	%		0.65	%		0.94	%		88	%
$	20.42		10.89	%	$	57,644		0.66	%		0.65	%		0.65	%		1.08	%		77	%
$	19.92		(0.10	)%	$	68,535		0.77	%		0.70	%		0.70	%		0.81	%		90	%
$	21.85		16.59	%	$	79,272		0.83	%		0.74	%		0.74	%		0.30	%		83	%
$	19.61		22.18	%	$	70,265		0.83	%10		0.74	%		0.74	%		0.64	%9		62	%
$	16.05		0.19	%	$	58,422		0.82	%		0.75	%		0.74	%		1.19	%20		68	%
$	22.02		9.54	%	$	69,251		0.30	%		0.30	%		0.30	%		0.97	%		30	%
$	21.96		16.47	%	$	65,920		0.31	%		0.30	%		0.30	%		1.28	%		88	%
$	20.41		11.23	%	$	59,108		0.32	%		0.30	%		0.30	%		1.45	%		77	%
$	19.94		0.28	%	$	62,973		0.36	%		0.31	%		0.31	%		1.09	%		90	%
$	21.89		(0.05	)%	$	131		0.48	%		0.39	%		0.39	%		0.75	%		83	%
$	23.81		5.37	%	$	360,410		0.63	%		0.60	%		0.60	%		0.29	%		29	%
$	24.83		20.30	%	$	359,470		0.64	%		0.60	%		0.60	%		0.46	%13		86	%
$	20.80		10.24	%	$	317,154		0.65	%		0.60	%		0.60	%		0.77	%		85	%
$	19.10		1.17	%	$	316,232		0.68	%		0.63	%		0.62	%		0.69	%14		86	%
$	21.09		3.07	%	$	301,173		0.68	%		0.65	%		0.65	%		0.01	%16		83	%
$	21.77		32.50	%	$	242,675		0.68	%10,11		0.65	%		0.65	%		0.60	%9		49	%
$	16.43		19.62	%	$	145,770		0.72	%		0.66	%		0.65	%		1.44	%20		73	%
$	23.84		5.27	%	$	1,170		0.86	%		0.83	%		0.83	%		0.04	%		29	%
$	24.82		20.02	%	$	1,720		0.86	%		0.82	%		0.82	%		0.24	%13		86	%
$	20.68		9.96	%	$	1,574		0.91	%		0.84	%		0.84	%		0.47	%		85	%
$	18.99		0.89	%	$	8,195		0.94	%		0.88	%		0.87	%		0.43	%14		86	%
$	21.00		2.83	%	$	7,189		1.04	%		0.90	%		0.90	%		(0.26	)%16		83	%
$	21.73		32.26	%	$	1,668		4.82	%10,11		0.90	%		0.90	%		0.18	%9		49	%
$	16.43		2.11	%	$	10		135.33	%21		0.90	%		0.90	%		3.36	%20		73	%
$	23.76		5.44	%	$	13,399		0.53	%		0.50	%		0.50	%		0.39	%		29	%
$	24.79		20.39	%	$	11,914		0.54	%		0.50	%		0.50	%		0.54	%13		86	%
$	20.77		10.30	%	$	8,490		0.56	%		0.50	%		0.50	%		0.69	%		85	%
$	19.09		1.25	%	$	77,416		0.59	%		0.50	%		0.50	%		0.62	%14		86	%
$	21.10		(4.44	)%	$	96		0.63	%		0.55	%		0.55	%		0.13	%16		83	%

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

AQR Funds Semi-Annual Report March 2018

207

Financial Highlights March 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	15.50		0.07			0.65			0.72			(0.34	)		—			(0.34	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.86		0.31			1.65			1.96			(0.32	)		—			(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.24		0.25			0.59			0.84			(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.95		0.28			(1.51	)		(1.23	)		(0.31	)		(0.17	)		(0.48	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	15.29		0.27	16		(0.36	)		(0.09	)		(0.25	)		—			(0.25	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	13.09		0.22	9		1.98			2.20			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	11.37		0.29			1.74			2.03			(0.31	)		—			(0.31	)
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	15.46		0.05			0.66			0.71			(0.31	)		—			(0.31	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.82		0.28			1.65			1.93			(0.29	)		—			(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.19		0.21			0.60			0.81			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.89		0.25			(1.51	)		(1.26	)		(0.27	)		(0.17	)		(0.44	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	15.25		0.22	16		(0.35	)		(0.13	)		(0.23	)		—			(0.23	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	13.08		0.25	9		1.92			2.17			—			—			—
FOR THE PERIOD 12/17/1212—12/31/12	$	12.95		—			0.13			0.13			—			—			—
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	15.49		0.08			0.65			0.73			(0.36	)		—			(0.36	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	13.85		0.33			1.65			1.98			(0.34	)		—			(0.34	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	13.23		0.27			0.59			0.86			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.94		0.33			(1.53	)		(1.20	)		(0.34	)		(0.17	)		(0.51	)
FOR THE PERIOD 7/10/1412—9/30/14	$	15.54		0.05	16		(0.65	)		(0.60	)		—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.63		0.03			1.30			1.33			(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.75		0.20			1.81			2.01			(0.13	)		—			(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.29		0.10			0.59			0.69			(0.23	)		—			(0.23	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.02		0.20			(1.84	)		(1.64	)		(0.09	)		—			(0.09	)
FOR THE PERIOD 5/13/148—9/30/14	$	10.00		0.09			(0.07	)		0.02			—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.62		0.01			1.31			1.32			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.74		0.18			1.80			1.98			(0.10	)		—			(0.10	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.27		0.09			0.59			0.68			(0.21	)		—			(0.21	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.01		0.16			(1.82	)		(1.66	)		(0.08	)		—			(0.08	)
FOR THE PERIOD 5/13/148—9/30/14	$	10.00		0.09			(0.08	)		0.01			—			—			—
AQR EMERGING MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.64		0.04			1.29			1.33			(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.76		0.23			1.78			2.01			(0.13	)		—			(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.30		0.14			0.56			0.70			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.02		0.19			(1.81	)		(1.62	)		(0.10	)		—			(0.10	)
FOR THE PERIOD 7/10/1412—9/30/14	$	10.63		0.05			(0.66	)15		(0.61	)		—			—			—

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

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Financial Highlights March 31, 2018

					RATIOS/SUPPLEMENTAL DATA
							��	Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)			Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
$	15.88		4.70	%	$	341,219			0.60	%		0.55	%		0.55	%		0.83	%		34	%
$	15.50		14.67	%	$	326,526			0.63	%		0.55	%17		0.55	%17		2.26	%18		84	%
$	13.86		6.40	%	$	272,002			0.63	%		0.55	%		0.55	%		1.89	%		85	%
$	13.24		(8.40	)%	$	257,299			0.68	%		0.60	%		0.60	%		1.95	%		112	%
$	14.95		(0.64	)%	$	279,838			0.71	%		0.65	%		0.65	%		1.73	%16		98	%
$	15.29		16.81	%	$	219,002			0.73	%10		0.65	%		0.65	%		2.09	%9		76	%
$	13.09		17.92	%	$	127,673			0.80	%		0.66	%		0.65	%		2.41	%		116	%
$	15.86		4.61	%	$	36,603			0.85	%		0.80	%		0.80	%		0.59	%		34	%
$	15.46		14.38	%	$	34,030			0.88	%		0.80	%17		0.80	%17		1.99	%18		84	%
$	13.82		6.16	%	$	30,502			0.87	%		0.80	%		0.79	%		1.59	%		85	%
$	13.19		(8.62	)%	$	35,343			0.94	%		0.85	%		0.85	%		1.71	%		112	%
$	14.89		(0.91	)%	$	40,054			1.00	%		0.90	%		0.90	%		1.42	%16		98	%
$	15.25		16.59	%	$	41,503			1.03	%10		0.90	%		0.90	%		2.28	%9		76	%
$	13.08		1.00	%	$	11			132.42	%21		0.90	%		0.90	%		0.25	%		116	%
$	15.86		4.74	%	$	50,582			0.50	%		0.45	%		0.45	%		0.94	%		34	%
$	15.49		14.80	%	$	45,913			0.53	%		0.45	%17		0.45	%17		2.35	%18		84	%
$	13.85		6.53	%	$	35,382			0.53	%		0.45	%		0.45	%		1.98	%		85	%
$	13.23		(8.24	)%	$	31,058			0.55	%		0.46	%		0.46	%		2.31	%		112	%
$	14.94		(3.86	)%	$	96			0.64	%		0.55	%		0.55	%		1.38	%16		98	%
$	11.74		12.60	%	$	10,143			2.22	%		0.70	%		0.70	%		0.48	%		53	%
$	10.63		23.48	%	$	10,722			2.52	%		0.68	%		0.68	%		2.19	%		121	%
$	8.75		8.53	%	$	8,784			2.75	%		0.65	%		0.65	%		1.26	%		155	%
$	8.29		(16.45	)%	$	6,612			2.92	%		0.75	%		0.75	%		2.06	%		159	%
$	10.02		0.20	%	$	6,260			4.03	%10,11		0.80	%		0.80	%		2.27	%		72	%
$	11.75		12.58	%	$	1,323			2.47	%		0.95	%		0.95	%		0.23	%		53	%
$	10.62		23.06	%	$	1,198			2.73	%		0.89	%		0.89	%		1.99	%		121	%
$	8.74		8.38	%	$	1,105			2.95	%		0.89	%		0.89	%		1.10	%		155	%
$	8.27		(16.72	)%	$	1,132			3.17	%		1.00	%		1.00	%		1.68	%		159	%
$	10.01		0.10	%	$	1,034			4.18	%10,11		1.05	%		1.05	%		2.13	%		72	%
$	11.75		12.67	%	$	2,237			2.12	%		0.60	%		0.60	%		0.61	%		53	%
$	10.64		23.52	%	$	1,772			2.43	%		0.60	%		0.60	%		2.44	%		121	%
$	8.76		8.63	%	$	938			2.69	%		0.60	%		0.60	%		1.69	%		155	%
$	8.30		(16.34	)%	$	80			3.02	%		0.66	%		0.66	%		1.93	%		159	%
$	10.02		(5.74	)%	$	94			3.73	%10,11		0.70	%		0.70	%		2.01	%		72	%

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

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Financial Highlights March 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	19.43		0.09			1.98			2.07			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	16.97		0.20			2.51			2.71			(0.25	)		—			(0.25	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	15.54		0.23	19		1.35			1.58			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	15.90		0.18			(0.19	)		(0.01	)		(0.08	)		(0.27	)		(0.35	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	13.60		0.09			2.36			2.45			(0.04	)		(0.11	)		(0.15	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.13		0.09	9		2.38			2.47			—			—			—
FOR THE PERIOD 1/27/128—12/31/12	$	10.00		0.19	20		1.17			1.36			(0.14	)		(0.09	)		(0.23	)
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	19.36		0.06			1.97			2.03			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	16.92		0.15			2.51			2.66			(0.22	)		—			(0.22	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	15.50		0.20	19		1.36			1.56			(0.14	)		—			(0.14	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	15.86		0.15			(0.20	)		(0.05	)		(0.04	)		(0.27	)		(0.31	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	13.57		0.04			2.37			2.41			(0.01	)		(0.11	)		(0.12	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.13		0.07	9		2.37			2.44			—			—			—
FOR THE PERIOD 12/17/1212—12/31/12	$	11.12		0.01	20		0.00	7		0.01			—			—			—
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	19.41		0.10			1.98			2.08			(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	16.95		0.22			2.51			2.73			(0.27	)		—			(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	15.54		0.24	19		1.36			1.60			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	15.90		0.19			(0.19	)		0.00	7		(0.09	)		(0.27	)		(0.36	)
FOR THE PERIOD 7/10/1412—9/30/14	$	15.78		0.03			0.09			0.12			—			—			—
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	19.06		0.01			0.89			0.90			(0.05	)		(0.01	)		(0.06	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	15.86		0.08			3.24			3.32			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	14.51		0.12			1.33			1.45			(0.10	)		—			(0.10	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.72		0.11	14		0.23	15		0.34			(0.01	)		(0.54	)		(0.55	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	14.85		0.01			0.15			0.16			(0.04	)		(0.25	)		(0.29	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.15		0.05	9		3.65			3.70			—			—			—
FOR THE PERIOD 1/27/128—12/31/12	$	10.00		0.19	20		1.11			1.30			(0.15	)		—			(0.15	)
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	18.96		(0.01	)		0.88			0.87			(0.04	)		(0.01	)		(0.05	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	15.79		0.03			3.23			3.26			(0.09	)		—			(0.09	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	14.44		0.10			1.33			1.43			(0.08	)		—			(0.08	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.67		0.07	14		0.24	15		0.31			—			(0.54	)		(0.54	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	14.81		(0.03	)		0.14			0.11			(0.00	)7		(0.25	)		(0.25	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.15		0.03	9		3.63			3.66			—			—			—
FOR THE PERIOD 12/17/1212—12/31/12	$	10.91		0.02	20		0.22			0.24			—			—			—
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	19.06		0.02			0.89			0.91			(0.07	)		(0.01	)		(0.08	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	15.86		0.10			3.23			3.33			(0.13	)		—			(0.13	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	14.50		0.14			1.34			1.48			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.72		0.12	14		0.24	15		0.36			(0.04	)		(0.54	)		(0.58	)
FOR THE PERIOD 7/10/1412—9/30/14	$	15.45		0.01			(0.74	)15		(0.73	)		—			—			—

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

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Financial Highlights March 31, 2018

					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
$	21.34		10.66	%	$	98,330		0.46	%		0.40	%		0.40	%		0.83	%		27	%
$	19.43		16.16	%	$	87,151		0.48	%		0.40	%		0.40	%		1.14	%		57	%
$	16.97		10.22	%	$	67,397		0.49	%		0.40	%		0.40	%		1.39	%19		49	%
$	15.54		(0.16	)%	$	56,141		0.65	%		0.48	%		0.48	%		1.08	%		62	%
$	15.90		18.15	%	$	101,336		0.69	%		0.54	%		0.54	%		0.57	%		153	%
$	13.60		22.19	%	$	21,709		1.41	%10,11		0.54	%		0.54	%		1.00	%9		178	%
$	11.13		13.67	%	$	6,041		4.57	%		0.55	%		0.54	%		1.89	%20		93	%
$	21.24		10.49	%	$	9,655		0.71	%		0.65	%		0.65	%		0.58	%		27	%
$	19.36		15.89	%	$	8,524		0.70	%		0.65	%		0.65	%		0.78	%		57	%
$	16.92		10.11	%	$	161		0.65	%		0.56	%		0.56	%		1.22	%19		49	%
$	15.50		(0.39	)%	$	147		0.75	%		0.64	%		0.64	%		0.89	%		62	%
$	15.86		17.81	%	$	137		1.60	%		0.79	%		0.79	%		0.30	%		153	%
$	13.57		21.92	%	$	115		4.11	%10,11		0.79	%		0.79	%		0.71	%9		178	%
$	11.13		0.09	%	$	10		15.32	%21		0.79	%		0.79	%		2.41	%20		93	%
$	21.31		10.72	%	$	91,448		0.36	%		0.30	%		0.30	%		0.93	%		27	%
$	19.41		16.30	%	$	84,514		0.38	%		0.30	%		0.30	%		1.25	%		57	%
$	16.95		10.32	%	$	80,190		0.39	%		0.30	%		0.30	%		1.48	%19		49	%
$	15.54		(0.09	)%	$	70,197		0.43	%		0.31	%		0.31	%		1.15	%		62	%
$	15.90		0.76	%	$	101		0.67	%		0.44	%		0.44	%		0.77	%		153	%
$	19.90		4.75	%	$	54,391		0.83	%		0.60	%		0.60	%		0.15	%		25	%
$	19.06		21.02	%	$	47,847		0.92	%		0.60	%		0.60	%		0.47	%		69	%
$	15.86		10.07	%	$	33,229		1.10	%		0.60	%		0.60	%		0.83	%		92	%
$	14.51		2.13	%	$	19,992		1.34	%		0.64	%		0.64	%		0.68	%14		111	%
$	14.72		0.98	%	$	14,690		1.61	%		0.70	%		0.70	%		0.04	%		154	%
$	14.85		33.18	%	$	6,764		2.67	%10,11		0.70	%		0.70	%		0.49	%9		81	%
$	11.15		13.01	%	$	3,435		5.77	%		0.71	%		0.70	%		1.91	%20		93	%
$	19.78		4.63	%	$	3,954		1.08	%		0.85	%		0.85	%		(0.10	)%		25	%
$	18.96		20.73	%	$	3,230		1.12	%		0.84	%		0.84	%		0.15	%		69	%
$	15.79		9.95	%	$	154		1.26	%		0.76	%		0.76	%		0.65	%		92	%
$	14.44		1.90	%	$	127		1.49	%		0.86	%		0.86	%		0.45	%14		111	%
$	14.67		0.69	%	$	125		2.44	%		0.95	%		0.95	%		(0.21	)%		154	%
$	14.81		32.83	%	$	122		5.05	%10,11		0.95	%		0.95	%		0.26	%9		81	%
$	11.15		2.20	%	$	10		12.32	%		0.95	%		0.95	%		4.19	%20		93	%
$	19.89		4.79	%	$	201		0.73	%		0.50	%		0.50	%		0.25	%		25	%
$	19.06		21.11	%	$	200		0.83	%		0.50	%		0.50	%		0.58	%		69	%
$	15.86		10.24	%	$	166		1.00	%		0.50	%		0.50	%		0.92	%		92	%
$	14.50		2.23	%	$	97		1.24	%		0.54	%		0.54	%		0.77	%14		111	%
$	14.72		(4.72	)%	$	95		1.65	%		0.60	%		0.60	%		0.22	%		154	%

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

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Financial Highlights March 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS I6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	13.70		0.07			0.48			0.55			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	12.27		0.27			1.45			1.72			(0.29	)		—			(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	11.70		0.23			0.49			0.72			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	13.09		0.20			(1.28	)		(1.08	)		(0.25	)		(0.06	)		(0.31	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	13.18		0.23	16		(0.10	)		0.13			(0.06	)		(0.16	)		(0.22	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.24		0.20			1.74			1.94			—			—			—
FOR THE PERIOD 1/27/128—12/31/12	$	10.00		0.23			1.22			1.45			(0.19	)		(0.02	)		(0.21	)
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	13.63		0.06			0.47			0.53			(0.23	)		—			(0.23	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	12.22		0.27			1.41			1.68			(0.27	)		—			(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	11.68		0.19			0.51			0.70			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	13.06		0.21			(1.30	)		(1.09	)		(0.23	)		(0.06	)		(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	13.15		0.17	16		(0.08	)		0.09			(0.02	)		(0.16	)		(0.18	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.24		0.20			1.71			1.91			—			—			—
FOR THE PERIOD 12/17/1212—12/31/12	$	11.14		—			0.10			0.10			—			—			—
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	13.67		0.08			0.47			0.55			(0.25	)		—			(0.25	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	12.24		0.28			1.45			1.73			(0.30	)		—			(0.30	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	11.70		0.23			0.50			0.73			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	13.09		0.31			(1.37	)		(1.06	)		(0.27	)		(0.06	)		(0.33	)
FOR THE PERIOD 7/10/1412—9/30/14	$	13.66		0.03	16		(0.60	)		(0.57	)		—			—			—
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	18.23		0.16			1.21			1.37			(0.27	)		(0.18	)		(0.45	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	15.71		0.29			2.55			2.84			(0.23	)		(0.09	)		(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	14.64		0.27			1.70			1.97			(0.14	)		(0.76	)		(0.90	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.07		0.24			1.04			1.28			(0.29	)		(0.42	)		(0.71	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	12.20		0.20			1.79			1.99			(0.08	)		(0.04	)		(0.12	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.16		0.15			1.89			2.04			—			—			—
FOR THE PERIOD 7/09/128—12/31/12	$	10.00		0.14	20		0.10			0.24			(0.07	)		(0.01	)		(0.08	)
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	18.18		0.13			1.21			1.34			(0.23	)		(0.18	)		(0.41	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	15.68		0.25			2.54			2.79			(0.20	)		(0.09	)		(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	14.64		0.23			1.70			1.93			(0.13	)		(0.76	)		(0.89	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.04		0.20			1.05			1.25			(0.23	)		(0.42	)		(0.65	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	12.19		0.17			1.79			1.96			(0.07	)		(0.04	)		(0.11	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.18		0.13			1.88			2.01			—			—			—
FOR THE PERIOD 7/09/128—12/31/12	$	10.00		0.08	20		0.15			0.23			(0.04	)		(0.01	)		(0.05	)
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	18.21		0.16			1.22			1.38			(0.29	)		(0.18	)		(0.47	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	15.69		0.30			2.55			2.85			(0.24	)		(0.09	)		(0.33	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	14.62		0.29			1.69			1.98			(0.15	)		(0.76	)		(0.91	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	14.07		0.26			1.03			1.29			(0.32	)		(0.42	)		(0.74	)
FOR THE PERIOD 9/02/1412—9/30/14	$	14.13		0.02			(0.08	)15		(0.06	)		—			—			—

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

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Financial Highlights March 31, 2018

					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
$	14.01		4.05	%	$	52,085		0.71	%		0.55	%		0.55	%		1.05	%		19	%
$	13.70		14.49	%	$	44,119		0.74	%		0.55	%17		0.55	%17		2.22	%18		62	%
$	12.27		6.18	%	$	33,887		0.76	%		0.55	%		0.55	%		1.90	%		87	%
$	11.70		(8.36	)%	$	23,699		0.94	%		0.65	%		0.65	%		1.57	%		147	%
$	13.09		0.97	%	$	81,624		0.91	%		0.70	%		0.70	%		1.73	%16		185	%
$	13.18		17.26	%	$	17,418		2.31	%10,11		0.70	%		0.70	%		2.14	%		154	%
$	11.24		14.46	%	$	5,739		5.28	%		0.71	%		0.70	%		2.38	%		131	%
$	13.93		3.94	%	$	5,667		0.96	%		0.80	%		0.80	%		0.80	%		19	%
$	13.63		14.23	%	$	4,800		0.95	%		0.80	%17		0.80	%17		2.08	%18		62	%
$	12.22		6.01	%	$	160		0.93	%		0.72	%		0.72	%		1.61	%		87	%
$	11.68		(8.51	)%	$	103		1.03	%		0.79	%		0.78	%		1.69	%		147	%
$	13.06		0.69	%	$	112		1.92	%		0.95	%		0.95	%		1.26	%16		185	%
$	13.15		16.99	%	$	111		5.00	%10,11		0.95	%		0.95	%		2.19	%		154	%
$	11.24		0.90	%	$	10		15.82	%21		0.95	%		0.95	%		0.15	%		131	%
$	13.97		4.07	%	$	62,812		0.61	%		0.45	%		0.45	%		1.12	%		19	%
$	13.67		14.66	%	$	56,847		0.65	%		0.45	%17		0.45	%17		2.27	%18		62	%
$	12.24		6.25	%	$	55,739		0.66	%		0.45	%		0.45	%		1.97	%		87	%
$	11.70		(8.25	)%	$	48,003		0.70	%		0.46	%		0.46	%		2.40	%		147	%
$	13.09		(4.17	)%	$	96		0.94	%		0.60	%		0.60	%		1.13	%16		185	%
$	19.15		7.52	%	$	852,523		0.39	%		0.39	%		0.39	%		1.63	%		6	%
$	18.23		18.32	%	$	793,828		0.41	%		0.40	%		0.40	%		1.69	%		16	%
$	15.71		14.00	%	$	519,984		0.42	%		0.39	%		0.39	%		1.79	%		8	%
$	14.64		9.13	%	$	158,468		0.55	%		0.45	%		0.45	%		1.65	%		24	%
$	14.07		16.44	%	$	224,826		0.62	%		0.49	%		0.49	%		1.51	%		16	%
$	12.20		20.08	%	$	155,660		0.93	%10		0.52	%		0.52	%		1.69	%		106	%
$	10.16		2.34	%	$	7,842		3.90	%		0.75	%		0.75	%		2.90	%20		141	%
$	19.11		7.35	%	$	277,481		0.65	%		0.65	%		0.65	%		1.37	%		6	%
$	18.18		17.99	%	$	239,074		0.67	%		0.65	%		0.65	%		1.46	%		16	%
$	15.68		13.70	%	$	226,020		0.68	%		0.65	%		0.65	%		1.53	%		8	%
$	14.64		8.97	%	$	30,629		0.81	%		0.70	%		0.70	%		1.38	%		24	%
$	14.04		16.16	%	$	28,843		0.92	%		0.74	%		0.74	%		1.26	%		16	%
$	12.19		19.74	%	$	20,736		1.48	%10		0.77	%		0.77	%		1.44	%		106	%
$	10.18		2.29	%	$	421		9.36	%		1.00	%		1.00	%		1.70	%20		141	%
$	19.12		7.57	%	$	267,536		0.30	%		0.30	%		0.30	%		1.72	%		6	%
$	18.21		18.43	%	$	197,705		0.32	%		0.30	%		0.30	%		1.79	%		16	%
$	15.69		14.13	%	$	127,311		0.33	%		0.30	%		0.30	%		1.87	%		8	%
$	14.62		9.23	%	$	109		0.45	%		0.35	%		0.34	%		1.76	%		24	%
$	14.07		(0.42	)%	$	100		0.54	%		0.39	%		0.39	%		1.69	%		16	%

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

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Financial Highlights March 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	13.27		0.11			0.35			0.46			(0.29	)		(0.02	)		(0.31	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	12.10		0.30	13		1.04			1.34			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.95		0.29			1.09			1.38			(0.23	)		—			(0.23	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.37		0.28			(1.10	)		(0.82	)		(0.32	)		(0.28	)		(0.60	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.88		0.31			0.47			0.78			(0.17	)		(0.12	)		(0.29	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.67		0.23			0.98			1.21			—			—			—
FOR THE PERIOD 7/09/128—12/31/12	$	10.00		0.10			0.67			0.77			(0.06	)		(0.04	)		(0.10	)
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	13.58		0.08			0.38			0.46			(0.25	)		(0.02	)		(0.27	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	12.40		0.28	13		1.06			1.34			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	11.20		0.30			1.09			1.39			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.35		0.23			(1.10	)		(0.87	)		—			(0.28	)		(0.28	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.88		0.27			0.47			0.74			(0.15	)		(0.12	)		(0.27	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.69		0.20			0.99			1.19			—			—			—
FOR THE PERIOD 7/09/128—12/31/12	$	10.00		0.08			0.68			0.76			(0.03	)		(0.04	)		(0.07	)
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	13.26		0.12			0.35			0.47			(0.30	)		(0.02	)		(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	12.09		0.31	13		1.03			1.34			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.94		0.36			1.03			1.39			(0.24	)		—			(0.24	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	12.37		0.29			(1.10	)		(0.81	)		(0.34	)		(0.28	)		(0.62	)
FOR THE PERIOD 9/02/1412—9/30/14	$	13.02		0.03			(0.68	)15		(0.65	)		—			—			—
AQR EMERGING DEFENSIVE STYLE FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	9.44		0.04			0.87			0.91			(0.16	)		—			(0.16	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.80		0.17			0.61			0.78			(0.14	)		—			(0.14	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.21		0.16			0.69			0.85			(0.26	)		—			(0.26	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.46		0.19			(2.26	)		(2.07	)		(0.18	)		—			(0.18	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	10.27		0.25	16		0.03	15		0.28			(0.09	)		(0.00	)7		(0.09	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.92		0.20			(0.85	)		(0.65	)		—			—			—
FOR THE PERIOD 7/09/128—12/31/12	$	10.00		0.10			0.94			1.04			(0.09	)		(0.03	)		(0.12	)
AQR EMERGING DEFENSIVE STYLE FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	9.67		0.03			0.88			0.91			(0.14	)		—			(0.14	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	9.00		0.20			0.59			0.79			(0.12	)		—			(0.12	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.34		0.15			0.70			0.85			(0.19	)		—			(0.19	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.45		0.12			(2.23	)		(2.11	)		—			—			—
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	10.26		0.18	16		0.08	15		0.26			(0.07	)		(0.00	)7		(0.07	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.93		0.16			(0.83	)		(0.67	)		—			—			—
FOR THE PERIOD 7/09/128—12/31/12	$	10.00		0.08			0.94			1.02			(0.06	)		(0.03	)		(0.09	)
AQR EMERGING DEFENSIVE STYLE FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	9.42		0.04			0.87			0.91			(0.17	)		—			(0.17	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.77		0.18			0.62			0.80			(0.15	)		—			(0.15	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	8.21		0.17			0.67			0.84			(0.28	)		—			(0.28	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.46		0.21			(2.27	)		(2.06	)		(0.19	)		—			(0.19	)
FOR THE PERIOD 9/02/1412—9/30/14	$	11.15		0.03	16		(0.72	)		(0.69	)		—			—			—

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

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Financial Highlights March 31, 2018

					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
$	13.42		3.46	%	$	151,324		0.64	%		0.55	%		0.55	%		1.61	%		10	%
$	13.27		11.29	%	$	145,091		0.67	%		0.55	%17		0.55	%17		2.43	%13,18		3	%
$	12.10		12.84	%	$	96,844		0.83	%		0.54	%		0.54	%		2.51	%		83	%
$	10.95		(6.89	)%	$	34,191		1.11	%		0.60	%		0.60	%		2.40	%		47	%
$	12.37		6.68	%	$	27,316		1.24	%		0.65	%		0.65	%		2.53	%		57	%
$	11.88		11.34	%	$	17,631		2.01	%10,11		0.73	%		0.73	%		2.68	%		115	%
$	10.67		7.69	%	$	5,366		5.00	%		0.90	%		0.90	%		1.91	%		81	%
$	13.77		3.35	%	$	19,614		0.88	%		0.80	%		0.80	%		1.20	%		10	%
$	13.58		11.01	%	$	30,102		0.92	%		0.80	%17		0.80	%17		2.21	%13,18		3	%
$	12.40		12.59	%	$	21,135		1.08	%		0.79	%		0.78	%		2.51	%		83	%
$	11.20		(7.15	)%	$	141		1.43	%		0.86	%		0.86	%		1.94	%		47	%
$	12.35		6.32	%	$	462		1.85	%		0.90	%		0.90	%		2.18	%		57	%
$	11.88		11.13	%	$	1,153		4.15	%10,11		1.00	%		1.00	%		2.34	%		115	%
$	10.69		7.62	%	$	850		6.96	%		1.15	%		1.15	%		1.61	%		81	%
$	13.41		3.55	%	$	22,855		0.54	%		0.45	%		0.45	%		1.73	%		10	%
$	13.26		11.38	%	$	19,716		0.57	%		0.45	%17		0.45	%17		2.57	%13,18		3	%
$	12.09		12.95	%	$	14,668		0.67	%		0.45	%		0.45	%		3.06	%		83	%
$	10.94		(6.78	)%	$	89		1.01	%		0.50	%		0.50	%		2.45	%		47	%
$	12.37		(4.99	)%	$	95		1.23	%		0.55	%		0.55	%		3.49	%		57	%
$	10.19		9.69	%	$	74,152		0.97	%		0.70	%		0.70	%		0.81	%		6	%
$	9.44		9.17	%	$	62,261		1.07	%		0.70	%		0.70	%		1.99	%		17	%
$	8.80		10.73	%	$	49,612		1.15	%		0.68	%		0.68	%		1.90	%		23	%
$	8.21		(20.07	)%	$	27,221		1.12	%		0.76	%		0.76	%		1.92	%		117	%
$	10.46		2.78	%	$	70,070		1.23	%		0.85	%		0.85	%		2.35	%16		124	%
$	10.27		(5.95	)%	$	29,471		2.08	%10		0.96	%		0.96	%		2.55	%		181	%
$	10.92		10.39	%	$	5,402		4.14	%		1.15	%		1.15	%		1.92	%		38	%
$	10.44		9.47	%	$	5,597		1.23	%		0.95	%		0.95	%		0.55	%		6	%
$	9.67		9.04	%	$	4,922		1.28	%		0.93	%		0.93	%		2.21	%		17	%
$	9.00		10.42	%	$	207		1.38	%		0.91	%		0.91	%		1.79	%		23	%
$	8.34		(20.19	)%	$	54		1.40	%		1.03	%		1.03	%		1.22	%		117	%
$	10.45		2.60	%	$	1,017		1.68	%		1.10	%		1.10	%		1.73	%16		124	%
$	10.26		(6.13	)%	$	2,594		3.50	%10		1.25	%		1.25	%		2.06	%		181	%
$	10.93		10.22	%	$	1,804		5.41	%		1.40	%		1.40	%		1.67	%		38	%
$	10.16		9.70	%	$	228		0.88	%		0.60	%		0.60	%		0.90	%		6	%
$	9.42		9.40	%	$	208		0.97	%		0.60	%		0.60	%		2.02	%		17	%
$	8.77		10.67	%	$	190		1.05	%		0.60	%		0.60	%		2.06	%		23	%
$	8.21		(19.96	)%	$	75		1.08	%		0.66	%		0.65	%		2.16	%		117	%
$	10.46		(6.19	)%	$	94		1.36	%		0.70	%		0.70	%		4.04	%16		124	%

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

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Financial Highlights March 31, 2018

	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 GLOBAL EQUITY FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	8.89		0.05			0.38			0.43			(0.08	)		(0.37	)		(0.45	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.12		0.11			1.43			1.54			(0.18	)		(0.59	)		(0.77	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	7.80		0.10			0.76			0.86			(0.12	)		(0.42	)		(0.54	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	8.91		0.12	14		(0.23	)		(0.11	)		(0.15	)		(0.85	)		(1.00	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	13.33		0.15	16		1.13			1.28			(0.39	)		(5.31	)		(5.70	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.35		0.14			1.84			1.98			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	9.99		0.20			1.69			1.89			(0.29	)		(0.24	)		(0.53	)
AQR GLOBAL EQUITY FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	8.84		0.03			0.38			0.41			(0.05	)		(0.37	)		(0.42	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.07		0.09			1.43			1.52			(0.16	)		(0.59	)		(0.75	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	7.73		0.10			0.72			0.82			(0.06	)		(0.42	)		(0.48	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	8.85		0.10	14		(0.23	)		(0.13	)		(0.14	)		(0.85	)		(0.99	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	13.27		0.12	16		1.12			1.24			(0.35	)		(5.31	)		(5.66	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	11.32		0.11			1.84			1.95			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	9.97		0.16			1.70			1.86			(0.27	)		(0.24	)		(0.51	)
AQR GLOBAL EQUITY FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	8.96		0.05			0.39			0.44			(0.08	)		(0.37	)		(0.45	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	8.18		0.12			1.45			1.57			(0.20	)		(0.59	)		(0.79	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	7.85		0.12			0.75			0.87			(0.12	)		(0.42	)		(0.54	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	8.96		0.14	14		(0.24	)		(0.10	)		(0.16	)		(0.85	)		(1.01	)
FOR THE PERIOD 1/08/1412—9/30/14	$	8.70		0.15	16		0.11			0.26			—			—			—
AQR INTERNATIONAL EQUITY FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.66		0.05			0.32			0.37			(0.25	)		(0.82	)		(1.07	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.17		0.20			1.73			1.93			(0.30	)		(0.14	)		(0.44	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.61		0.21			0.67			0.88			(0.20	)		(0.12	)		(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	10.99		0.21			(0.71	)		(0.50	)		(0.33	)		(0.55	)		(0.88	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	11.88		0.28	16		(0.09	)		0.19			(0.22	)		(0.86	)		(1.08	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.24		0.17			1.47			1.64			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	8.60		0.20			1.76			1.96			(0.32	)		—			(0.32	)
AQR INTERNATIONAL EQUITY FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.88		0.04			0.32			0.36			(0.20	)		(0.82	)		(1.02	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.35		0.18			1.77			1.95			(0.28	)		(0.14	)		(0.42	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	9.77		0.19			0.68			0.87			(0.17	)		(0.12	)		(0.29	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.15		0.17			(0.70	)		(0.53	)		(0.30	)		(0.55	)		(0.85	)
FOR THE YEAR ENDED SEPTEMBER 30, 2014	$	12.06		0.25	16		(0.10	)		0.15			(0.20	)		(0.86	)		(1.06	)
NINE MONTHS ENDED SEPTEMBER 30, 2013	$	10.43		0.13			1.50			1.63			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2012	$	8.76		0.19			1.76			1.95			(0.28	)		—			(0.28	)
AQR INTERNATIONAL EQUITY FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.39		0.06			0.33			0.39			(0.26	)		(0.82	)		(1.08	)
FOR THE YEAR ENDED SEPTEMBER 30, 2017	$	10.77		0.27			1.81			2.08			(0.32	)		(0.14	)		(0.46	)
FOR THE YEAR ENDED SEPTEMBER 30, 2016	$	10.16		0.16			0.77			0.93			(0.20	)		(0.12	)		(0.32	)
FOR THE YEAR ENDED SEPTEMBER 30, 2015	$	11.56		0.18			(0.68	)		(0.50	)		(0.35	)		(0.55	)		(0.90	)
FOR THE PERIOD 1/08/1412—9/30/14	$	12.08		0.34	16		(0.86	)		(0.52	)		—			—			—
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.30		0.06			0.54			0.60			(0.11	)		—			(0.11	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.09			1.21			1.30			—			—			—
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.27		0.04			0.55			0.59			(0.05	)		—			(0.05	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.06			1.21			1.27			—			—			—
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	11.30		0.07			0.54			0.61			(0.11	)		—			(0.11	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.09			1.21			1.30			—			—			—

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

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Financial Highlights March 31, 2018

					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
$	8.87		4.81	%	$	181,156		0.82	%		0.80	%		0.80	%		1.04	%		41	%
$	8.89		20.70	%	$	41,551		0.89	%		0.82	%		0.82	%		1.37	%		88	%
$	8.12		11.33	%	$	33,013		0.96	%		0.89	%		0.89	%		1.36	%		78	%
$	7.80		(1.64	)%	$	34,186		0.90	%		0.90	%		0.90	%		1.49	%14		73	%
$	8.91		11.55	%	$	2,492		1.14	%		0.91	%		0.91	%		1.62	%16		90	%
$	13.33		17.44	%	$	1,263		2.27	%10,11		0.95	%		0.95	%		1.46	%		71	%
$	11.35		18.95	%	$	626		1.41	%		0.95	%		0.94	%		1.83	%		87	%
$	8.83		4.63	%	$	2,054		1.07	%		1.05	%		1.05	%		0.65	%		41	%
$	8.84		20.57	%	$	2,254		1.14	%		1.07	%		1.07	%		1.09	%		88	%
$	8.07		10.93	%	$	1,712		1.20	%		1.13	%		1.12	%		1.28	%		78	%
$	7.73		(1.86	)%	$	765		1.17	%		1.17	%		1.17	%		1.18	%14		73	%
$	8.85		11.17	%	$	1,128		1.60	%		1.21	%		1.21	%		1.28	%16		90	%
$	13.27		17.23	%	$	712		3.06	%10,11		1.25	%		1.25	%		1.14	%		71	%
$	11.32		18.67	%	$	518		1.87	%		1.25	%		1.24	%		1.51	%		87	%
$	8.95		4.92	%	$	177,223		0.72	%		0.70	%		0.70	%		1.02	%		41	%
$	8.96		20.98	%	$	146,167		0.77	%		0.70	%		0.70	%		1.48	%		88	%
$	8.18		11.33	%	$	106,573		0.77	%		0.70	%		0.70	%		1.59	%		78	%
$	7.85		(1.47	)%	$	85,017		0.71	%		0.70	%		0.70	%		1.69	%14		73	%
$	8.96		2.99	%	$	76,031		0.73	%		0.70	%		0.70	%		2.23	%16		90	%
$	10.96		3.18	%	$	380,327		0.89	%		0.88	%		0.87	%		0.90	%		43	%
$	11.66		19.96	%	$	346,078		0.98	%		0.91	%17		0.91	%17		1.89	%18		83	%
$	10.17		9.34	%	$	370,530		0.97	%		0.95	%		0.95	%		2.14	%		62	%
$	9.61		(4.79	)%	$	320,807		0.92	%		0.92	%		0.92	%		1.98	%		84	%
$	10.99		1.33	%	$	247,847		0.90	%		0.90	%		0.90	%		2.41	%16		71	%
$	11.88		16.02	%	$	241,467		0.90	%10		0.90	%		0.90	%		2.11	%		59	%
$	10.24		22.87	%	$	196,971		0.91	%		0.91	%		0.90	%		2.17	%		74	%
$	11.22		3.00	%	$	19,648		1.13	%		1.12	%		1.11	%		0.72	%		43	%
$	11.88		19.68	%	$	14,873		1.24	%		1.16	%17		1.16	%17		1.71	%18		83	%
$	10.35		9.04	%	$	37,297		1.20	%		1.18	%		1.18	%		1.89	%		62	%
$	9.77		(4.99	)%	$	36,174		1.21	%		1.21	%		1.21	%		1.61	%		84	%
$	11.15		0.96	%	$	39,336		1.25	%		1.25	%		1.25	%		2.11	%16		71	%
$	12.06		15.63	%	$	32,011		1.29	%10		1.29	%		1.29	%		1.52	%		59	%
$	10.43		22.41	%	$	15,562		1.28	%		1.28	%		1.27	%		2.00	%		74	%
$	11.70		3.18	%	$	49,881		0.79	%		0.78	%		0.78	%		1.00	%		43	%
$	12.39		20.20	%	$	44,105		0.85	%		0.81	%17		0.81	%17		2.39	%18		83	%
$	10.77		9.40	%	$	14,387		0.77	%		0.77	%		0.77	%		1.57	%		62	%
$	10.16		(4.59	)%	$	32,648		0.75	%		0.75	%		0.75	%		1.61	%		84	%
$	11.56		(4.30	)%	$	103,882		0.74	%		0.74	%		0.74	%		3.90	%16		71	%
$	11.79		5.25	%	$	14,662		2.06	%10		1.29	%		0.80	%		1.09	%		66	%
$	11.30		13.00	%	$	13,575		2.69	%10		1.40	%		0.78	%		1.06	%		139	%
$	11.81		5.22	%	$	624		2.31	%10		1.52	%		1.04	%		0.75	%		66	%
$	11.27		12.70	%	$	1,016		4.22	%10		1.65	%		1.03	%		0.72	%		139	%
$	11.80		5.39	%	$	2,077		1.97	%10		1.19	%		0.70	%		1.18	%		66	%
$	11.30		13.00	%	$	1,972		3.94	%10		1.32	%		0.70	%		1.02	%		139	%

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

AQR Funds Semi-Annual Report March 2018

217

Financial Highlights March 31, 2018

	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 SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.35		(0.02	)		(0.31	)		(0.33	)		(0.11	)		—			(0.11	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		(0.01	)		0.36			0.35			—			—			—
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.32		(0.03	)		(0.31	)		(0.34	)		(0.08	)		—			(0.08	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		(0.03	)		0.35			0.32			—			—			—
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	10.35		(0.02	)		(0.31	)		(0.33	)		(0.11	)		—			(0.11	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		(0.00	)7		0.35			0.35			—			—			—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.76		0.08			0.18	15		0.26			(0.09	)		(0.01	)		(0.10	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.21			2.55			2.76			—			—			—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.73		0.05			0.19	15		0.24			(0.08	)		(0.01	)		(0.09	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.18			2.55			2.73			—			—			—
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.77		0.05			0.21	15		0.26			(0.09	)		(0.01	)		(0.10	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.21			2.56			2.77			—			—			—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS I
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.69		0.09			1.58			1.67			(0.11	)		(0.06	)		(0.17	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.08			2.61			2.69			—			—			—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS N
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.66		0.09			1.56			1.65			(0.08	)		(0.06	)		(0.14	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.07			2.59			2.66			—			—			—
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS R6
SIX MONTHS ENDED MARCH 31, 2018 (Unaudited)	$	12.70		0.06			1.62			1.68			(0.12	)		(0.06	)		(0.18	)
FOR THE PERIOD 12/14/168—9/30/17	$	10.00		0.07			2.63			2.70			—			—			—

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

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Financial Highlights March 31, 2018

					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
$	9.91		(3.28	)%	$	1,800		5.30	%10		1.59	%		0.99	%		(0.37	)%		65	%
$	10.35		3.50	%	$	1,353		6.62	%10		1.41	%		0.98	%		(0.10	)%		124	%
$	9.90		(3.35	)%	$	556		5.61	%10		1.84	%		1.23	%		(0.63	)%		65	%
$	10.32		3.20	%	$	576		6.82	%10		1.64	%		1.22	%		(0.34	)%		124	%
$	9.91		(3.21	)%	$	1,313		5.27	%10		1.51	%		0.90	%		(0.29	)%		65	%
$	10.35		3.50	%	$	1,336		6.53	%10		1.33	%		0.90	%		(0.02	)%		124	%
$	12.92		2.08	%	$	50,796		1.90	%10		1.67	%		0.95	%		1.27	%		58	%
$	12.76		27.60	%	$	7,136		3.81	%10		1.88	%		0.94	%		2.28	%		162	%
$	12.88		1.94	%	$	13,107		2.15	%10		1.92	%		1.20	%		0.80	%		58	%
$	12.73		27.30	%	$	1,988		4.19	%10		2.12	%		1.18	%		1.98	%		162	%
$	12.93		2.10	%	$	2,710		2.00	%10		1.57	%		0.85	%		0.70	%		58	%
$	12.77		27.70	%	$	2,654		4.18	%10		1.79	%		0.85	%		2.36	%		162	%
$	14.19		13.22	%	$	24,739		1.54	%10		1.15	%		1.15	%		1.24	%		114	%
$	12.69		26.90	%	$	5,151		3.82	%10		1.14	%		1.14	%		0.89	%		114	%
$	14.17		13.08	%	$	11,603		1.75	%10		1.40	%		1.40	%		1.26	%		114	%
$	12.66		26.60	%	$	1,953		4.16	%10		1.38	%		1.38	%		0.77	%		114	%
$	14.20		13.26	%	$	19,214		1.51	%10		1.05	%		1.05	%		0.81	%		114	%
$	12.70		27.00	%	$	17,848		3.66	%10		1.05	%		1.05	%		0.71	%		114	%

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

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Financial Highlights March 31, 2018

  * 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 Effective April 1, 2015, Class L Shares were renamed Class I Shares.

  ⁷ Amount is less than $.005 per share.

  ⁸ Commencement of operations.

  ⁹ For the period ended September 30, 2013 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Large Cap Multi-Style Fund—Class I		$0.06		0.98	%
AQR Large Cap Multi-Style Fund—Class N		0.04		0.61
AQR Small Cap Multi-Style Fund—Class I		0.03		0.38
AQR Small Cap Multi-Style Fund—Class N		0.01		0.10
AQR International Multi-Style Fund—Class I		0.13		2.08
AQR International Multi-Style Fund—Class N		0.15		2.48
AQR Large Cap Momentum Style Fund—Class I		0.11		0.80
AQR Large Cap Momentum Style Fund—Class N		0.08		0.56
AQR Small Cap Momentum Style Fund—Class I		0.07		0.52
AQR Small Cap Momentum Style Fund—Class N		0.01		0.10
AQR International Momentum Style Fund—Class I		0.21		1.97
AQR International Momentum Style Fund—Class N		0.23		2.16
AQR TM Large Cap Momentum Style Fund—Class I		0.09		0.92
AQR TM Large Cap Momentum Style Fund—Class N		0.07		0.63
AQR TM Small Cap Momentum Style Fund—Class I		0.04		0.37
AQR TM Small Cap Momentum Style Fund—Class N		0.01		0.14

¹⁰  Certain expenses incurred by the Fund were not annualized for the period.

¹¹  Ratios are disproportionate between classes due to size of net assets and fixed expenses.

¹²  Commencement of offering of shares.

¹³  For the period ended September 30, 2017 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Small Cap Multi-Style Fund—Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .		$0.10		0.63	%
AQR Small Cap Multi-Style Fund—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .		0.06		0.37
AQR Small Cap Multi-Style Fund—Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .		0.11		0.73
AQR Small Cap Momentum Style Fund—Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .		0.08		0.35
AQR Small Cap Momentum Style Fund—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .		0.03		0.13
AQR Small Cap Momentum Style Fund—Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .		0.10		0.43
AQR International Defensive Style Fund—Class I		0.28		2.24
AQR International Defensive Style Fund —Class N		0.26		2.02
AQR International Defensive Style Fund —Class R6		0.29		2.38

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

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220

Financial Highlights March 31, 2018

¹⁴ For the period ended September 30, 2015 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Small Cap Multi-Style Fund—Class I		$0.10		0.76	%
AQR Small Cap Multi-Style Fund—Class N		0.07		0.53
AQR Small Cap Multi-Style Fund—Class R6		0.13		1.05
AQR International Multi-Style Fund—Class I		0.25		2.28
AQR International Multi-Style Fund—Class N		0.22		2.02
AQR International Multi-Style Fund—Class R6		0.28		2.53
AQR Small Cap Momentum Style Fund—Class I		0.13		0.58
AQR Small Cap Momentum Style Fund—Class N		0.07		0.32
AQR Small Cap Momentum Style Fund—Class R6		0.11		0.51
AQR TM Small Cap Momentum Style Fund—Class I		0.09		0.57
AQR TM Small Cap Momentum Style Fund—Class N		0.05		0.34
AQR TM Small Cap Momentum Style Fund—Class R6		0.10		0.66
AQR Global Equity Fund—Class I		0.10		1.26
AQR Global Equity Fund—Class N		0.08		0.95
AQR Global Equity Fund—Class R6		0.12		1.46

¹⁵  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.

¹⁶  For the period ended September 30, 2014 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE			NET INVESTMENT INCOME RATIO
AQR Small Cap Multi-Style Fund—Class I		$0.04			0.28	%
AQR Small Cap Multi-Style Fund—Class N		(0.00	)		0.02
AQR Small Cap Multi-Style Fund—Class R6		(0.00	)		0.36
AQR Small Cap Momentum Style Fund—Class I		(0.02	)		(0.07	)
AQR Small Cap Momentum Style Fund—Class N		(0.08	)		(0.34	)
AQR Small Cap Momentum Style Fund—Class R6		(0.01	)		0.05
AQR International Momentum Style Fund—Class I		0.25			1.57
AQR International Momentum Style Fund—Class N		0.20			1.26
AQR International Momentum Style Fund—Class R6		0.03			1.22
AQR TM International Momentum Style Fund—Class I		0.22			1.63
AQR TM International Momentum Style Fund—Class N		0.16			1.16
AQR TM International Momentum Style Fund—Class R6		0.02			1.03
AQR Emerging Defensive Style Fund—Class I		0.23			2.13
AQR Emerging Defensive Style Fund—Class N		0.16			1.51
AQR Emerging Defensive Style Fund—Class R6		0.01			3.82
AQR Global Equity Fund—Class I		0.14			1.50
AQR Global Equity Fund—Class N		0.11			1.16
AQR Global Equity Fund—Class R6		0.14			2.11
AQR International Equity Fund—Class I		0.26			2.22
AQR International Equity Fund—Class N		0.23			1.92
AQR International Equity Fund—Class R6		0.32			3.71

¹⁷  Excludes impact of IRS closing agreement tax expense.

¹⁸  Includes impact of IRS closing agreement reimbursement.

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

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Financial Highlights March 31, 2018

¹⁹  For the period ended September 30, 2016 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR TM Small Cap Multi-Style Fund—Class I		$0.11		1.14	%
AQR TM Small Cap Multi-Style Fund—Class N		0.09		0.92
AQR TM Small Cap Multi-Style Fund—Class R6		0.11		1.13
AQR TM Large Cap Momentum Style Fund—Class I		0.21		1.27
AQR TM Large Cap Momentum Style Fund—Class N		0.18		1.10
AQR TM Large Cap Momentum Style Fund—Class R6		0.22		1.36

²⁰  For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Large Cap Momentum Style Fund—Class I		$0.24		1.57	%
AQR Large Cap Momentum Style Fund—Class N		0.01		1.07
AQR Small Cap Momentum Style Fund—Class I		0.15		1.01
AQR Small Cap Momentum Style Fund—Class N		0.02		2.93
AQR TM Large Cap Momentum Style Fund—Class I		0.17		1.76
AQR TM Large Cap Momentum Style Fund—Class N		0.01		2.28
AQR TM Small Cap Momentum Style Fund—Class I		0.12		1.26
AQR TM Small Cap Momentum Style Fund—Class N		0.02		3.54
AQR Large Cap Defensive Style Fund—Class I		0.11		2.58
AQR Large Cap Defensive Style Fund—Class N		0.05		1.38

²¹  The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period.

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

AQR Funds Semi-Annual Report March 2018

222

Notes to Financial Statements March 31, 2018 (Unaudited)

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of March 31, 2018, the Trust consists of thirty-eight active series, twenty-four of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.

The investment objective for AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund is to seek long-term capital appreciation. The investment objective for AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund is to seek total return. The investment objective for AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM International Momentum Style Fund is to seek long-term after-tax capital appreciation. Each Fund offers Class I, N and R6 shares.

2. 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 4.

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

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

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

Realized gains (losses) from settlement of 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 translations 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.

AQR Funds Semi-Annual Report March 2018

223

Notes to Financial Statements March 31, 2018 (Unaudited)

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Realized gains and losses on investment transactions 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. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

The Funds may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Offering Cost: Offering costs, including professional fees, printing fees and initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its 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 March 31, 2018, the Funds had no examinations in progress.

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.

AQR Funds Semi-Annual Report March 2018

224

Notes to Financial Statements March 31, 2018 (Unaudited)

3. 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, if applicable.

Securities Sold Short: Certain Funds may engage in short sales, which is when a Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security. 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.

The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:

FUND
AQR Large Cap Relaxed Constraint Equity Fund	$	11,632
AQR Small Cap Relaxed Constraint Equity Fund		4,915
AQR International Relaxed Constraint Equity Fund		42,145

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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

AQR Funds Semi-Annual Report March 2018

225

Notes to Financial Statements March 31, 2018 (Unaudited)

Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For centrally cleared swaps, the Schedules of Investments includes the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and 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. If there is no up-front payment or receipt, market value will equal unrealized appreciation (depreciation). Periodic payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration or closing of 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 Schedule of Investments. 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) from the expiration or closing of 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 a total return basket swap agreement to obtain exposure to a portfolio of long and/or 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 absolute notional value of the total return basket swap represents the accumulated notional value of the underlying long components and absolute notional value of the short components held within the total return basket swap at period end. The notional value of each component represents the market value at period end. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Prior to the reset, these amounts are included as a component of the swap value in Net cash and other receivables (payables). 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. The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. 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) from expiration or closing of swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Adviser in order to generate additional income. The borrower pledges and maintains with the Funds collateral consisting of cash and/or securities issued or guaranteed by the U.S. Government. Collateral received by each Fund is required to have a value of at least 102% to 105% of the market value of the securities on loan. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. During the term of a loan, the Funds are entitled to all distributions made on or in respect of the loaned securities, but does not receive interest income on securities received as collateral. Loans are subject to termination by the Funds or the borrower at any time.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the lending agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in the Global Securities Lending Agency Agreement between the Funds and the lending agent, Citibank, N.A.

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Notes to Financial Statements March 31, 2018 (Unaudited)

The market value of any securities on loan, all of which were classified as common stocks/investment companies in the Funds’ Schedules of Investments, and the value of any related cash collateral are shown separately in the Statements of Assets and Liabilities as a component of Investments in securities of unaffiliated issues, at value, and Collateral received on securities loaned, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, if any, is disclosed in the Schedules of Investments. Non-cash collateral received, if any, is disclosed in a footnote to the Schedules of Investments for each Fund. Securities lending income, net on the Statement of Operations represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. Certain of the securities on loan may have been sold prior to the close of the reporting period and are included in Receivables for Securities Sold on the Statements of Assets and Liabilities.

The following table presents the liabilities under the outstanding securities lending transactions as of the reporting period end, on the basis of the nature, characteristics and risks associated with the investment of the cash collateral received for each Fund. The remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous.

	COMMON STOCKS
FUND	(OVERNIGHT & CONTINUOUS)		TOTAL BORROWINGS
AQR Large Cap Multi-Style Fund	$	9,679,467	$	9,679,467
AQR Small Cap Multi-Style Fund		39,343,538		39,343,538
AQR International Multi-Style Fund		270,580		270,580
AQR Emerging Multi-Style Fund		8,366,269		8,366,269
AQR TM Large Cap Multi-Style Fund		545,142		545,142
AQR TM Small Cap Multi-Style Fund		1,179,516		1,179,516
AQR TM Emerging Multi-Style Fund		11,233,765		11,233,765
AQR Large Cap Momentum Style Fund		10,012,768		10,012,768
AQR Small Cap Momentum Style Fund		22,327,731		22,327,731
AQR Emerging Momentum Style Fund		246,660		246,660
AQR TM Large Cap Momentum Style Fund		871,039		871,039
AQR TM Small Cap Momentum Style Fund		2,960,030		2,960,030
AQR TM International Momentum Style Fund		403,606		403,606
AQR Large Cap Defensive Style Fund		9,118,070		9,118,070
AQR International Defensive Style Fund		2,617,442		2,617,442
AQR Emerging Defensive Style Fund		2,136,177		2,136,177
AQR Global Equity Fund		272,361		272,361

The securities lending transactions are governed by a Global Securities Lending Agency Agreement, which is not considered to be a master netting arrangement. As a result the liabilities associated with the securities lending transactions are not disclosed in Note 7 of the Notes to Financial Statements.

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.

As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to i.) 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, ii.) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.

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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Notes to Financial Statements March 31, 2018 (Unaudited)

cash deposited is recorded as Deposits with brokers for centrally cleared swaps and Deposits with brokers for futures contracts 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 centrally cleared swaps and Variation margin on futures contracts. 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.

4. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. 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 approaches 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 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 ready market for the investments existed. These differences could be material.

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Notes to Financial Statements March 31, 2018 (Unaudited)

Fair Value Hierarchy: Various inputs are utilized in determining the value of each Fund’s investments. These inputs are summarized in the three broad levels as follows:

Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, in which each security trades and are therefore classified Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over the counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the 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.

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Notes to Financial Statements March 31, 2018 (Unaudited)

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are fair valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Generally, a valuation model is used consistently for similar derivative types. 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.

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments:

AQR LARGE CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	1,894,489,434		$	—	$	—	$	1,894,489,434
Securities Lending Collateral		—			9,679,467		—		9,679,467
Short-Term Investments		—			49,059,765		—		49,059,765
Total Assets	$	1,894,489,434		$	58,739,232	$	—	$	1,953,228,666
LIABILITIES
Futures Contracts*	$	(1,809,297	)	$	—	$	—	$	(1,809,297	)
Total Liabilities	$	(1,809,297	)	$	—	$	—	$	(1,809,297	)
AQR SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	678,746,426		$	—	$	—	$	678,746,426
Preferred Stocks		63,675			—		—		63,675
Rights		—			—		627		627
Securities Lending Collateral		—			39,343,538		—		39,343,538
Short-Term Investments		—			18,827,536		—		18,827,536
Total Assets	$	678,810,101		$	58,171,074	$	627	$	736,981,802
LIABILITIES
Futures Contracts*	$	(572,634	)	$	—	$	—	$	(572,634	)
Total Liabilities	$	(572,634	)	$	—	$	—	$	(572,634	)

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AQR INTERNATIONAL MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	140,449,679		$	316,258,493	$	—	$	456,708,172
Securities Lending Collateral		—			270,580		—		270,580
Short-Term Investments		—			13,726,043		—		13,726,043
Total Assets	$	140,449,679		$	330,255,116	$	—	$	470,704,795
LIABILITIES
Futures Contracts*	$	(136,496	)	$	—	$	—	$	(136,496	)
Total Liabilities	$	(136,496	)	$	—	$	—	$	(136,496	)
AQR EMERGING MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	201,563,608		$	131,010,666	$	—	$	332,574,274
Securities Lending Collateral		—			8,366,269		—		8,366,269
Short-Term Investments		—			8,944,905		—		8,944,905
Total Assets	$	201,563,608		$	148,321,840	$	—	$	349,885,448
LIABILITIES
Futures Contracts*	$	(172,233	)	$	—	$	—	$	(172,233	)
Total Liabilities	$	(172,233	)	$	—	$	—	$	(172,233	)
AQR TM LARGE CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	252,248,361		$	—	$	—	$	252,248,361
Exchange Traded Funds		6,617,433			—		—		6,617,433
Securities Lending Collateral		—			545,142		—		545,142
Short-Term Investments		—			3,879,747		—		3,879,747
Total Assets	$	258,865,794		$	4,424,889	$	—	$	263,290,683
AQR TM SMALL CAP MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	30,287,174		$	—	$	—	$	30,287,174
Exchange Traded Funds		901,567			—		—		901,567
Preferred Stocks		2,452			—		—		2,452
Rights		—			—		13	��	13
Securities Lending Collateral		—			1,179,516		—		1,179,516
Short-Term Investments		—			526,719		—		526,719
Total Assets	$	31,191,193		$	1,706,235	$	13	$	32,897,441
AQR TM INTERNATIONAL MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	54,684,527		$	124,284,142	$	—	$	178,968,669
Short-Term Investments		—			5,275,118		—		5,275,118
Total Assets	$	54,684,527		$	129,559,260	$	—	$	184,243,787
LIABILITIES
Futures Contracts*	$	(65,774	)	$	—	$	—	$	(65,774	)
Total Liabilities	$	(65,774	)	$	—	$	—	$	(65,774	)

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AQR TM EMERGING MULTI-STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	222,916,511		$	140,794,009	$	—		$	363,710,520
Securities Lending Collateral		—			11,233,765		—			11,233,765
Short-Term Investments		—			8,497,585		—			8,497,585
Total Assets	$	222,916,511		$	160,525,359	$	—		$	383,441,870
LIABILITIES
Futures Contracts*	$	(141,157	)	$	—	$	—		$	(141,157	)
Total Liabilities	$	(141,157	)	$	—	$	—		$	(141,157	)
AQR LARGE CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	1,008,163,674		$	—	$	—		$	1,008,163,674
Securities Lending Collateral		—			10,012,768		—			10,012,768
Short-Term Investments		—			27,644,362		—			27,644,362
Total Assets	$	1,008,163,674		$	37,657,130	$	—		$	1,045,820,804
LIABILITIES
Futures Contracts*	$	(1,068,988	)	$	—	$	—		$	(1,068,988	)
Total Liabilities	$	(1,068,988	)	$	—	$	—		$	(1,068,988	)
AQR SMALL CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks	$	366,580,713		$	—	$	—	(a)	$	366,580,713
Rights		—			—		—	(a)		—	(a)
Securities Lending Collateral		—			22,327,731		—			22,327,731
Short-Term Investments		—			8,530,301		—			8,530,301
Warrants		—			—		—	(a)		—	(a)
Total Assets	$	366,580,713		$	30,858,032	$	—	(a)	$	397,438,745
LIABILITIES
Futures Contracts*	$	(240,086	)	$	—	$	—		$	(240,086	)
Total Liabilities	$	(240,086	)	$	—	$	—		$	(240,086	)
AQR INTERNATIONAL MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	153,302,358		$	261,256,843	$	—		$	414,559,201
Short-Term Investments		—			10,851,781		—			10,851,781
Total Assets	$	153,302,358		$	272,108,624	$	—		$	425,410,982
LIABILITIES
Futures Contracts*	$	(154,052	)	$	—	$	—		$	(154,052	)
Total Liabilities	$	(154,052	)	$	—	$	—		$	(154,052	)
AQR EMERGING MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	5,744,688		$	7,625,004	$	—	(a)	$	13,369,692
Exchange Traded Funds†		153,289			—		—			153,289
Securities Lending Collateral		—			246,660		—			246,660
Short-Term Investments		—			149,677		—			149,677
Total Assets	$	5,897,977		$	8,021,341	$	—	(a)	$	13,919,318

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Notes to Financial Statements March 31, 2018 (Unaudited)

AQR TM LARGE CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	194,288,031		$	—	$	—	$	194,288,031
Securities Lending Collateral		—			871,039		—		871,039
Short-Term Investments		—			5,619,129		—		5,619,129
Total Assets	$	194,288,031		$	6,490,168	$	—	$	200,778,199
LIABILITIES
Futures Contracts*	$	(26,416	)	$	—	$	—	$	(26,416	)
Total Liabilities	$	(26,416	)	$	—	$	—	$	(26,416	)
AQR TM SMALL CAP MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	56,305,444		$	—	$	—	$	56,305,444
Exchange Traded Funds		1,394,255			—		—		1,394,255
Securities Lending Collateral		—			2,960,030		—		2,960,030
Short-Term Investments		—			856,203		—		856,203
Total Assets	$	57,699,699		$	3,816,233	$	—	$	61,515,932
AQR TM INTERNATIONAL MOMENTUM STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	43,653,940		$	71,876,458	$	—	$	115,530,398
Securities Lending Collateral		—			403,606		—		403,606
Short-Term Investments		—			4,119,461		—		4,119,461
Total Assets	$	43,653,940		$	76,399,525	$	—	$	120,053,465
LIABILITIES
Futures Contracts*	$	(35,912	)	$	—	$	—	$	(35,912	)
Total Liabilities	$	(35,912	)	$	—	$	—	$	(35,912	)
AQR LARGE CAP DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks	$	1,344,772,797		$	—	$	—	$	1,344,772,797
Securities Lending Collateral		—			9,118,070		—		9,118,070
Short-Term Investments		—			45,734,408		—		45,734,408
Total Assets	$	1,344,772,797		$	54,852,478	$	—	$	1,399,625,275
LIABILITIES
Futures Contracts*	$	(1,077,521	)	$	—	$	—	$	(1,077,521	)
Total Liabilities	$	(1,077,521	)	$	—	$	—	$	(1,077,521	)
AQR INTERNATIONAL DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	78,688,359		$	111,891,312	$	—	$	190,579,671
Securities Lending Collateral		—			2,617,442		—		2,617,442
Short-Term Investments		—			1,695,826		—		1,695,826
Total Assets	$	78,688,359		$	116,204,580	$	—	$	194,892,939
LIABILITIES
Futures Contracts*	$	(17,644	)	$	—	$	—	$	(17,644	)
Total Liabilities	$	(17,644	)	$	—	$	—	$	(17,644	)

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Notes to Financial Statements March 31, 2018 (Unaudited)

AQR EMERGING DEFENSIVE STYLE FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	50,821,844		$	24,604,070		$	1	$	75,425,915
Securities Lending Collateral		—			2,136,177			—		2,136,177
Short-Term Investments		—			3,895,950			—		3,895,950
Total Assets	$	50,821,844		$	30,636,197		$	1	$	81,458,042
LIABILITIES
Futures Contracts*	$	(67,924	)	$	—		$	—	$	(67,924	)
Total Liabilities	$	(67,924	)	$	—		$	—	$	(67,924	)
AQR GLOBAL EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	227,683,438		$	90,789,888		$	146	$	318,473,472
Securities Lending Collateral		—			272,361			—		272,361
Short-Term Investments		—			35,355,117			—		35,355,117
Futures Contracts*		1,265,617			—			—		1,265,617
Forward Foreign Currency Exchange Contracts*		—			1,697,921			—		1,697,921
Total Return Swaps Contracts*		—			391,696			—		391,696
Total Assets	$	228,949,055		$	128,506,983		$	146	$	357,456,184
LIABILITIES
Futures Contracts*	$	(578,223	)	$	—		$	—	$	(578,223	)
Forward Foreign Currency Exchange Contracts*		—			(1,297,333	)		—		(1,297,333	)
Total Return Swaps Contracts*		—			(249,225	)		—		(249,225	)
Total Liabilities	$	(578,223	)	$	(1,546,558	)	$	—	$	(2,124,781	)
AQR INTERNATIONAL EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	94,075,930		$	300,054,698		$	217	$	394,130,845
Short-Term Investments		—			50,669,799			—		50,669,799
Futures Contracts*		1,482,120			—			—		1,482,120
Forward Foreign Currency Exchange Contracts*		—			1,518,658			—		1,518,658
Total Return Swaps Contracts*		—			623,986			—		623,986
Total Assets	$	95,558,050		$	352,867,141		$	217	$	448,425,408
LIABILITIES
Futures Contracts*	$	(697,313	)	$	—		$	—	$	(697,313	)
Forward Foreign Currency Exchange Contracts*		—			(1,478,914	)		—		(1,478,914	)
Total Return Swaps Contracts*		—			(146,471	)		—		(146,471	)
Total Liabilities	$	(697,313	)	$	(1,625,385	)	$	—	$	(2,322,698	)
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks	$	21,664,569		$	—		$	—	$	21,664,569
Exchange Traded Funds		550,510			—			—		550,510
Short-Term Investments		—			326,055			—		326,055
Total Assets	$	22,215,079		$	326,055		$	—	$	22,541,134
LIABILITIES
Common Stocks (Sold Short)	$	(5,032,314	)	$	—		$	—	$	(5,032,314	)
Total Liabilities	$	(5,032,314	)	$	—		$	—	$	(5,032,314	)

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Notes to Financial Statements March 31, 2018 (Unaudited)

AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	4,599,501		$	—		$	—		$	4,599,501
Exchange Traded Funds		91,857			—			—			91,857
Rights		—			969			2			971
Short-Term Investments		—			43,879			—			43,879
Total Assets	$	4,691,358		$	44,848		$	2		$	4,736,208
LIABILITIES
Common Stocks (Sold Short)	$	(1,064,587	)	$	—		$	—		$	(1,064,587	)
Total Liabilities	$	(1,064,587	)	$	—		$	—		$	(1,064,587	)
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	19,968,846		$	62,230,473		$	—		$	82,199,319
Short-Term Investments		—			2,173,641			—			2,173,641
Total Assets	$	19,968,846		$	64,404,114		$	—		$	84,372,960
LIABILITIES
Common Stocks (Sold Short)†	$	(5,016,010	)	$	(13,662,282	)	$	—		$	(18,678,292	)
Futures Contracts*		(4,434	)		—			—			(4,434	)
Total Liabilities	$	(5,020,444	)	$	(13,662,282	)	$	—		$	(18,682,726	)
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	35,726,567		$	6,170,614		$	—	(a)	$	41,897,181
Short-Term Investments		—			13,249,103			—			13,249,103
Total Return Basket Swaps Contracts*		—			218,348			—			218,348
Total Assets	$	35,726,567		$	19,638,065		$	—	(a)	$	55,364,632
LIABILITIES
Futures Contracts*	$	(1,819	)	$	—		$	—		$	(1,819	)
Total Return Basket Swaps Contracts*		—			(145,729	)		—			(145,729	)
Total Liabilities	$	(1,819	)	$	(145,729	)	$	—		$	(147,548	)

* Derivative instruments, including futures, forward foreign currency exchange, total return swap and total return basket swap contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

† Please refer to the Schedule of Investments to view securities segregated by country.

(a) Security has zero value.

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of, or increase in, available market inputs to determine price. During the period ended March 31, 2018, the amount of securities that transferred from Level 1 into Level 2 for the AQR Emerging Relaxed Constraint Equity Fund was $45,674 and the amount of securities that transferred from Level 2 into Level 1 for the AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM International Momentum Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund was $72,016,563, $87,879,531, $30,687,179, $105,096,955, $122,592,285, $3,364,053, $34,634,092, $55,530,207, $32,515,144, $18,620,487, $70,574,762, $13,210,872, $14,083,866 respectively. There were no transfers of investments between levels for any of the remaining Funds.

During the period ended March 31, 2018, there were no transfers of investments between levels for any of the 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

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235

Notes to Financial Statements March 31, 2018 (Unaudited)

quantitatively insignificant in the aggregate for the AQR Small Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund.

The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.

5. Federal Income Tax Matters

At March 31, 2018, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Large Cap Multi-Style Fund	$	1,588,624,199	$	390,346,793	$	(27,551,623	)	$	362,795,170
AQR Small Cap Multi-Style Fund		618,308,492		148,499,230		(30,398,554	)		118,100,676
AQR International Multi-Style Fund		414,064,002		69,075,008		(12,570,711	)		56,504,297
AQR Emerging Multi-Style Fund		266,307,242		87,731,551		(4,325,578	)		83,405,973
AQR TM Large Cap Multi-Style Fund		210,808,007		54,836,478		(2,353,802	)		52,482,676
AQR TM Small Cap Multi-Style Fund		27,535,940		6,363,541		(1,002,040	)		5,361,501
AQR TM International Multi-Style Fund		151,658,896		34,642,515		(2,123,398	)		32,519,117
AQR TM Emerging Multi-Style Fund		266,563,999		117,874,463		(1,137,749	)		116,736,714
AQR Large Cap Momentum Style Fund		803,288,778		253,695,101		(12,232,063	)		241,463,038
AQR Small Cap Momentum Style Fund		310,445,467		97,729,198		(10,976,006	)		86,753,192
AQR International Momentum Style Fund		354,654,560		75,678,742		(5,076,372	)		70,602,370
AQR Emerging Momentum Style Fund		9,851,943		4,170,869		(103,494	)		4,067,375
AQR TM Large Cap Momentum Style Fund		139,636,081		61,615,640		(499,938	)		61,115,702
AQR TM Small Cap Momentum Style Fund		48,278,046		14,563,845		(1,325,959	)		13,237,886
AQR TM International Momentum Style Fund		100,391,554		20,956,168		(1,330,169	)		19,625,999
AQR Large Cap Defensive Style Fund		1,106,735,121		299,738,114		(7,925,481	)		291,812,633
AQR International Defensive Style Fund		170,351,353		29,772,231		(5,248,289	)		24,523,942
AQR Emerging Defensive Style Fund		68,647,451		15,401,750		(2,659,083	)		12,742,667
AQR Global Equity Fund		322,340,571		41,148,528		(8,157,696	)		32,990,832
AQR International Equity Fund		402,125,415		54,709,727		(10,732,432	)		43,977,295
AQR Large Cap Relaxed Constraint Equity Fund		15,375,296		2,938,990		(805,466	)		2,133,524
AQR Small Cap Relaxed Constraint Equity Fund		3,452,432		622,561		(403,372	)		219,189
AQR International Relaxed Constraint Equity Fund		65,007,729		4,420,362		(3,737,857	)		682,505
AQR Emerging Relaxed Constraint Equity Fund		53,383,822		2,908,132		(1,074,870	)		1,833,262

As of September 30, 2017, for federal income tax purposes, the following Funds have capital loss carryforwards, with no expiration, available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations.

FUND	SHORT-TERM		LONG-TERM
AQR Large Cap Multi-Style Fund	$	12,095,245	$	—
AQR International Multi-Style Fund		34,573,646		—
AQR Emerging Multi-Style Fund		35,547,017		1,082,589
AQR TM Large Cap Multi-Style Fund		2,475,802		—
AQR TM International Multi-Style Fund		6,228,584		1,301,700
AQR TM Emerging Multi-Style Fund		11,401,984		—
AQR International Momentum Style Fund		23,357,410		—
AQR Emerging Momentum Style Fund		2,169,373		170,413

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Notes to Financial Statements March 31, 2018 (Unaudited)

FUND	SHORT-TERM		LONG-TERM
AQR TM Large Cap Momentum Style Fund	$	1,032,835	$	—
AQR TM International Momentum Style Fund		11,411,227		1,226,647
AQR Emerging Defensive Style Fund		5,422,226		5,731,401
AQR Large Cap Relaxed Constraint Equity Fund		27,949		11,317
AQR Small Cap Relaxed Constraint Equity Fund		129,706		—

6. Investment Transactions

During the period ended March 31, 2018, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Large Cap Multi-Style Fund	$	631,409,950	$	556,174,443	$	—	$	—
AQR Small Cap Multi-Style Fund		210,988,924		311,022,013		—		—
AQR International Multi-Style Fund		126,821,941		131,607,725		—		—
AQR Emerging Multi-Style Fund		100,374,601		110,444,508		—		—
AQR TM Large Cap Multi-Style Fund		111,723,918		90,825,887		—		—
AQR TM Small Cap Multi-Style Fund		13,849,738		11,541,146		—		—
AQR TM International Multi-Style Fund		52,509,242		49,139,261		—		—
AQR TM Emerging Multi-Style Fund		98,770,077		105,709,396		—		—
AQR Large Cap Momentum Style Fund		299,376,891		346,429,458		—		—
AQR Small Cap Momentum Style Fund		108,169,675		126,737,263		—		—
AQR International Momentum Style Fund		144,327,963		139,782,441		—		—
AQR Emerging Momentum Style Fund		7,243,608		8,866,061		—		—
AQR TM Large Cap Momentum Style Fund		52,425,879		50,779,371		—		—
AQR TM Small Cap Momentum Style Fund		18,408,511		13,881,018		—		—
AQR TM International Momentum Style Fund		31,222,092		21,151,975		—		—
AQR Large Cap Defensive Style Fund		179,751,236		78,684,859		—		—
AQR International Defensive Style Fund		18,559,649		20,242,696		—		—
AQR Emerging Defensive Style Fund		9,667,700		4,499,515		—		—
AQR Global Equity Fund		247,729,342		103,771,667		—		—
AQR International Equity Fund		197,156,113		160,486,023		—		—
AQR Large Cap Relaxed Constraint Equity Fund		10,880,660		10,958,438		3,847,259		3,902,799
AQR Small Cap Relaxed Constraint Equity Fund		2,668,144		2,076,153		759,860		678,759
AQR International Relaxed Constraint Equity Fund		78,394,533		10,170,949		19,168,194		3,643,886
AQR Emerging Relaxed Constraint Equity Fund		51,683,527		31,663,691		—		—

7. Derivative Instruments and Activities

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

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Notes to Financial Statements March 31, 2018 (Unaudited)

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at March 31, 2018:

	ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Large Cap Multi-Style Fund	$	—		$	—		$	—		$	1,809,297		$	—		$	—
AQR Small Cap Multi-Style Fund		—			—			—			572,634			—			—
AQR International Multi-Style Fund		—			—			—			136,496			—			—
AQR Emerging Multi-Style Fund		—			—			—			172,233			—			—
AQR TM International Multi-Style Fund		—			—			—			65,774			—			—
AQR TM Emerging Multi-Style Fund		—			—			—			141,157			—			—
AQR Large Cap Momentum Style Fund		—			—			—			1,068,988			—			—
AQR Small Cap Momentum Style Fund		—			—			—			240,086			—			—
AQR International Momentum Style Fund		—			—			—			154,052			—			—
AQR TM Large Cap Momentum Style Fund		—			—			—			26,416			—			—
AQR TM International Momentum Style Fund		—			—			—			35,912			—			—
AQR Large Cap Defensive Style Fund		—			—			—			1,077,521			—			—
AQR International Defensive Style Fund		—			—			—			17,644			—			—
AQR Emerging Defensive Style Fund		—			—			—			67,924			—			—
AQR Global Equity Fund		1,265,617			391,696			—			578,223			249,225			—
AQR International Equity Fund		1,482,120			623,986			—			697,313			146,471			—
AQR International Relaxed Constraint Equity Fund		—			—			—			4,434			—			—
AQR Emerging Relaxed Constraint Equity Fund		—			218,348			—			1,819			145,729			—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—			—			1,697,921			—			—			1,297,333
AQR International Equity Fund		—			—			1,518,658			—			—			1,478,914
Netting:
AQR Global Equity Fund		(578,223	)		(249,225	)		(1,297,333	)		(578,223	)		(249,225	)		(1,297,333	)
AQR International Equity Fund		(697,313	)		(146,471	)		(1,478,914	)		(697,313	)		(146,471	)		(1,478,914	)
AQR Emerging Relaxed Constraint Equity Fund		—			(145,729	)		—			—			(145,729	)		—
Net Value of Derivative Contracts:
AQR Large Cap Multi-Style Fund		—			—			—			1,809,297			—			—
AQR Small Cap Multi-Style Fund		—			—			—			572,634			—			—
AQR International Multi-Style Fund		—			—			—			136,496			—			—
AQR Emerging Multi-Style Fund		—			—			—			172,233			—			—
AQR TM International Multi-Style Fund		—			—			—			65,774			—			—
AQR TM Emerging Multi-Style Fund		—			—			—			141,157			—			—
AQR Large Cap Momentum Style Fund		—			—			—			1,068,988			—			—
AQR Small Cap Momentum Style Fund		—			—			—			240,086			—			—
AQR International Momentum Style Fund		—			—			—			154,052			—			—
AQR TM Large Cap Momentum Style Fund		—			—			—			26,416			—			—
AQR TM International Momentum Style Fund		—			—			—			35,912			—			—
AQR Large Cap Defensive Style Fund		—			—			—			1,077,521			—			—
AQR International Defensive Style Fund		—			—			—			17,644			—			—
AQR Emerging Defensive Style Fund		—			—			—			67,924			—			—
AQR Global Equity Fund		687,394			142,471			400,588			—			—			—
AQR International Equity Fund		784,807			477,515			39,744			—			—			—
AQR International Relaxed Constraint Equity Fund		—			—			—			4,434			—			—
AQR Emerging Relaxed Constraint Equity Fund		—			72,619			—			1,819			—			—

AQR Funds Semi-Annual Report March 2018

238

Notes to Financial Statements March 31, 2018 (Unaudited)

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended March 31, 2018:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS									NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Large Cap Multi-Style Fund	$	2,254,532		$	—		$	—		$	(2,274,248	)	$	—		$	—
AQR Small Cap Multi-Style Fund		1,602,626			—			—			(1,288,213	)		—			—
AQR International Multi-Style Fund		501,886			—			—			(178,882	)		—			—
AQR Emerging Multi-Style Fund		1,044,900			—			—			(149,255	)		—			—
AQR TM International Multi-Style Fund		101,841			—			—			(87,740	)		—			—
AQR TM Emerging Multi-Style Fund		619,059			—			—			(81,517	)		—			—
AQR Large Cap Momentum Style Fund		2,270,986			—			—			(1,295,379	)		—			—
AQR Small Cap Momentum Style Fund		594,926			—			—			(428,177	)		—			—
AQR International Momentum Style Fund		206,224			—			—			(207,685	)		—			—
AQR TM Large Cap Momentum Style Fund		290,236			—			—			(57,301	)		—			—
AQR TM International Momentum Style Fund		179,225			—			—			(49,355	)		—			—
AQR Large Cap Defensive Style Fund		5,321,095			—			—			(1,821,940	)		—			—
AQR International Defensive Style Fund		69,791			—			—			(52,478	)		—			—
AQR Emerging Defensive Style Fund		273,027			—			—			(49,177	)		—			—
AQR Global Equity Fund		1,621,993			(446,718	)		—			(659,225	)		291,422			—
AQR International Equity Fund		6,359,763			579,055			—			(2,412,214	)		853,512			—
AQR International Relaxed Constraint Equity Fund		87,030			—			—			(4,434	)		—
AQR Emerging Relaxed Constraint Equity Fund		(15,081	)		1,717,292			—			(1,819	)		(102,089	)		—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund		—			—			(696,834	)		—			—			1,732,775
AQR International Equity Fund		—			—			(977,377	)		—			—			3,834,269
AQR International Relaxed Constraint Equity Fund		—			—			65,701			—			—			—

AQR Funds Semi-Annual Report March 2018

239

Notes to Financial Statements March 31, 2018 (Unaudited)

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of March 31, 2018:

AQR GLOBAL EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITG	Forward Foreign Currency Exchange Contracts	$	678,300	$	(517,185	)	$	161,115	$	—	$	—	$	161,115
GSIN	Total Return Swaps Contracts		196,390		(86,363	)		110,027		—		—		110,027
JPMC	Forward Foreign Currency Exchange Contracts		1,019,621		(780,148	)		239,473		—		—		239,473
	Total Return Swaps Contracts		195,306		(162,862	)		32,444		—		—		32,444
	Total JPMC		1,214,927		(943,010	)		271,917		—		—		271,917
Total financial instruments subject to a master netting arrangement or similar arrangement			2,089,617		(1,546,558	)		543,059		—		—		543,059
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
CITG	Forward Foreign Currency Exchange Contracts	$	517,185	$	(517,185	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swaps Contracts		86,363		(86,363	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		780,148		(780,148	)		—		—		—		—
	Total Return Swaps Contracts		162,862		(162,862	)		—		—		—		—
	Total JPMC		943,010		(943,010	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,546,558		(1,546,558	)		—		—		—		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $8,753,980.

AQR Funds Semi-Annual Report March 2018

240

Notes to Financial Statements March 31, 2018 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITG	Forward Foreign Currency Exchange Contracts	$	607,523	$	(591,579	)	$	15,944	$	—	$	—		$	15,944
GSIN	Total Return Swaps Contracts		387,626		(27,861	)		359,765		—		(310,000	)		49,765
JPMC	Forward Foreign Currency Exchange Contracts		911,135		(887,335	)		23,800		—		—			23,800
	Total Return Swaps Contracts		236,360		(118,610	)		117,750		—		—			117,750
	Total JPMC		1,147,495		(1,005,945	)		141,550		—		—			141,550
Total financial instruments subject to a master netting arrangement or similar arrangement			2,142,644		(1,625,385	)		517,259		—		(310,000	)		207,259
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITG	Forward Foreign Currency Exchange Contracts	$	591,579	$	(591,579	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swaps Contracts		27,861		(27,861	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		887,335		(887,335	)		—		—
	Total Return Swaps Contracts		118,610		(118,610	)		—		—
	Total JPMC		1,005,945		(1,005,945	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,625,385		(1,625,385	)		—		—		—			—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $13,796,326.

AQR Funds Semi-Annual Report March 2018

241

Notes to Financial Statements March 31, 2018 (Unaudited)

AQR EMERGING RELAXED CONSTRAINT EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
JPMC	Total Return Basket Swaps Contracts	$	218,348	$	(145,729	)	$	72,619	$	—	$	—	$	72,619
Total financial instruments subject to a master netting arrangement or similar arrangement			218,348		(145,729	)		72,619		—		—		72,619
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
JPMC	Total Return Basket Swaps Contracts	$	145,729	$	(145,729	)	$	—	$	—	$	—	$	—
Total financial instruments subject to a master netting arrangement or similar arrangement			145,729		(145,729	)		—		—		—		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $8,410,000.

For the period ended March 31, 2018, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure *

	AQR LARGE CAP MULTI-STYLE FUND		AQR SMALL CAP MULTI-STYLE FUND		AQR INTERNATIONAL MULTI-STYLE FUND		AQR EMERGING MULTI-STYLE FUND		AQR TM INTERNATIONAL MULTI-STYLE FUND		AQR TM EMERGING MULTI-STYLE FUND
Futures Contracts:
Average Notional Balance—Long	$	29,151,995	$	15,499,330	$	9,774,752	$	4,846,427	$	3,811,758	$	5,422,007
Average Notional Balance—Short		—		—		—		—		—		—
Ending Notional Balance—Long		34,359,000		13,398,000		12,103,630		4,869,980		4,901,470		5,226,320
Ending Notional Balance—Short		—		—		—		—		—		—
	AQR LARGE CAP MOMENTUM STYLE FUND		AQR SMALL CAP MOMENTUM STYLE FUND		AQR INTERNATIONAL MOMENTUM STYLE FUND		AQR TM LARGE CAP MOMENTUM STYLE FUND		AQR TM INTERNATIONAL MOMENTUM STYLE FUND		AQR LARGE CAP DEFENSIVE STYLE FUND
Futures Contracts:
Average Notional Balance—Long	$	13,575,745	$	5,486,968	$	7,170,680	$	5,047,440	$	3,320,547	$	34,590,390
Average Notional Balance—Short		—		—		—		—		—		—
Ending Notional Balance—Long		21,672,600		5,129,520		8,102,430		4,228,800		3,701,110		33,037,500
Ending Notional Balance—Short		—		—		—		—		—		—

AQR Funds Semi-Annual Report March 2018

242

Notes to Financial Statements March 31, 2018 (Unaudited)

	AQR INTERNATIONAL DEFENSIVE STYLE FUND		AQR EMERGING DEFENSIVE STYLE FUND		AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND		AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND		AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
Futures Contracts:
Average Notional Balance—Long	$	3,063,338	$	3,049,590	$	51,530,471	$	117,746,735	$	1,615,073	$	475,120
Average Notional Balance—Short		—		—		39,021,923		67,860,242		—		—
Ending Notional Balance—Long		1,100,330		3,741,570		54,730,049		94,907,290		1,900,570		475,120
Ending Notional Balance—Short		—		—		45,096,856		46,844,421		—		—
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		—		—		142,814,686		189,432,990		—		—
Average Settlement Value—Sold		—		—		126,443,973		142,840,623		—		—
Ending Value—Purchased		—		—		155,186,050		208,869,514		—		—
Ending Value—Sold		—		—		141,345,935		160,376,807		—		—
Total Return Swaps:
Average Notional Balance—Long		—		—		26,579,706		24,430,295		—		—
Average Notional Balance—Short		—		—		8,287,890		25,284,942		—		—
Ending Notional Balance—Long		—		—		40,343,647		32,774,031		—		—
Ending Notional Balance—Short		—		—		9,407,481		25,102,809		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		—		—		—		18,547,064
Average Notional of Underlying Positions—Short		—		—		—		—		—		10,823,197
Ending Notional Balance—Long		—		—		—		—		—		30,043,843
Ending Notional Balance—Short		—		—		—		—		—		16,820,325

* Notional values as of each quarter end are used to calculate the average represented.

8. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds, pursuant to the Third Amended and Restated Investment Management Agreement dated January 29, 2017, as amended (the “Investment Management Agreement”), or the Investment Management Agreement II, dated November 13, 2015, as amended (“Investment Management Agreement II”), each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Management Agreement II collectively referred to herein as the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreements, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Large Cap Multi-Style Fund		0.30	%
AQR Small Cap Multi-Style Fund		0.50
AQR International Multi-Style Fund		0.45
AQR Emerging Multi-Style Fund		0.60
AQR TM Large Cap Multi-Style Fund		0.30
AQR TM Small Cap Multi-Style Fund		0.50
AQR TM International Multi-Style Fund		0.45
AQR TM Emerging Multi-Style Fund		0.60
AQR Large Cap Momentum Style Fund		0.25
AQR Small Cap Momentum Style Fund		0.45
AQR International Momentum Style Fund		0.40
AQR Emerging Momentum Style Fund		0.55
AQR TM Large Cap Momentum Style Fund		0.25
AQR TM Small Cap Momentum Style Fund		0.45

AQR Funds Semi-Annual Report March 2018

243

Notes to Financial Statements March 31, 2018 (Unaudited)

FUND	RATIO
AQR TM International Momentum Style Fund		0.40	%
AQR Large Cap Defensive Style Fund		0.25
AQR International Defensive Style Fund		0.40
AQR Emerging Defensive Style Fund		0.55
AQR Global Equity Fund		0.60
AQR International Equity Fund1		0.65
AQR Large Cap Relaxed Constraint Equity Fund		0.60
AQR Small Cap Relaxed Constraint Equity Fund		0.80
AQR International Relaxed Constraint Equity Fund		0.75
AQR Emerging Relaxed Constraint Equity Fund		0.95

¹  Effective January 29, 2018, the AQR International Equity Fund’s Management Fee was reduced by 0.05% to 0.65%.

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through January 28, 2019 for Class I, N, and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, expenses related to class action claims and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Large Cap Multi-Style Fund		0.45	%		0.70	%		0.35	%
AQR Small Cap Multi-Style Fund		0.65			0.90			0.55
AQR International Multi-Style Fund		0.60			0.85			0.50
AQR Emerging Multi-Style Fund		0.75			1.00			0.65
AQR TM Large Cap Multi-Style Fund		0.45			0.70			0.35
AQR TM Small Cap Multi-Style Fund		0.65			0.90			0.55
AQR TM International Multi-Style Fund		0.60			0.85			0.50
AQR TM Emerging Multi-Style Fund		0.75			1.00			0.65
AQR Large Cap Momentum Style Fund		0.40			0.65			0.30
AQR Small Cap Momentum Style Fund		0.60			0.85			0.50
AQR International Momentum Style Fund		0.55			0.80			0.45
AQR Emerging Momentum Style Fund		0.70			0.95			0.60
AQR TM Large Cap Momentum Style Fund		0.40			0.65			0.30
AQR TM Small Cap Momentum Style Fund		0.60			0.85			0.50
AQR TM International Momentum Style Fund		0.55			0.80			0.45
AQR Large Cap Defensive Style Fund		0.40			0.65			0.30
AQR International Defensive Style Fund		0.55			0.80			0.45
AQR Emerging Defensive Style Fund		0.70			0.95			0.60
AQR Global Equity Fund		0.80			1.05			0.70
AQR International Equity Fund		0.85			1.10			0.75
AQR Large Cap Relaxed Constraint Equity Fund		0.80			1.05			0.70
AQR Small Cap Relaxed Constraint Equity Fund		1.00			1.25			0.90
AQR International Relaxed Constraint Equity Fund		0.95			1.20			0.85
AQR Emerging Relaxed Constraint Equity Fund		1.15			1.40			1.05

Prior to January 29, 2018, the Fee Waiver and Expense Reimbursement Agreement for the AQR International Equity Fund was as follows:

FUND	CLASS I			CLASS N			CLASS R6
AQR International Equity Fund		0.90	%		1.15	%		0.80	%

AQR Funds Semi-Annual Report March 2018

244

Notes to Financial Statements March 31, 2018 (Unaudited)

For the period ended March 31, 2018 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY AND SHAREHOLDER SERVICES FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Small Cap Multi-Style Fund	$	49,033	$	—	$	49,033
AQR International Multi-Style Fund		90,780		—		90,780
AQR Emerging Multi-Style Fund		183,042		—		183,042
AQR TM Large Cap Multi-Style Fund		43,394		—		43,394
AQR TM Small Cap Multi-Style Fund		66,698		—		66,698
AQR TM International Multi-Style Fund		83,945		—		83,945
AQR TM Emerging Multi-Style Fund		179,107		—		179,107
AQR Large Cap Momentum Style Fund		7,872		—		7,872
AQR Small Cap Momentum Style Fund		56,631		4		56,635
AQR International Momentum Style Fund		98,546		—		98,546
AQR Emerging Momentum Style Fund		38,305		66,998		105,303
AQR TM Large Cap Momentum Style Fund		54,006		—		54,006
AQR TM Small Cap Momentum Style Fund		64,327		232		64,559
AQR TM International Momentum Style Fund		90,379		—		90,379
AQR Large Cap Defensive Style Fund		10,527		—		10,527
AQR International Defensive Style Fund		81,163		—		81,163
AQR Emerging Defensive Style Fund		101,750		26		101,776
AQR Global Equity Fund		24,906		6,026		30,932
AQR International Equity Fund		23,355		—		23,355
AQR Large Cap Relaxed Constraint Equity Fund		43,342		26,522		69,864
AQR Small Cap Relaxed Constraint Equity Fund		7,271		58,041		65,312
AQR International Relaxed Constraint Equity Fund		48,788		3,775		52,563
AQR Emerging Relaxed Constraint Equity Fund		61,854		13,999		75,853

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 March 31, 2018, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at March 31, 2018 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
FUND					2018		2019		2020		2021
AQR LARGE CAP MULTI-STYLE FUND
Class I	$	—	$	288,355	$	173,951	$	76,856	$	37,548	$	—
Class N		—		26,791		11,964		9,139		5,688		—
Class R6		—		321,754		120,031		98,770		102,953		—
Totals	$	—	$	636,900	$	305,946	$	184,765	$	146,189	$	—
AQR SMALL CAP MULTI-STYLE FUND
Class I	$	3,755	$	105,085	$	52,176	$	30,910	$	18,244	$	3,755
Class N		511		27,162		15,321		7,778		3,552		511
Class R6		44,767		598,639		10,136		291,127		252,609		44,767
Totals	$	49,033	$	730,886	$	77,633	$	329,815	$	274,405	$	49,033

AQR Funds Semi-Annual Report March 2018

245

Notes to Financial Statements March 31, 2018 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
FUND					2018		2019		2020		2021
AQR INTERNATIONAL MULTI-STYLE FUND
Class I	$	15,023	$	121,962	$	23,351	$	47,320	$	36,268	$	15,023
Class N		1,540		15,081		3,366		5,748		4,427		1,540
Class R6		74,217		635,333		159,159		223,200		178,757		74,217
Totals	$	90,780	$	772,376	$	185,876	$	276,268	$	219,452	$	90,780
AQR EMERGING MULTI-STYLE FUND
Class I	$	43,117	$	302,671	$	31,438	$	117,893	$	110,223	$	43,117
Class N		3,989		31,926		6,076		12,126		9,735		3,989
Class R6		135,936		871,287		157,201		308,433		269,717		135,936
Totals	$	183,042	$	1,205,884	$	194,715	$	438,452	$	389,675	$	183,042
AQR TM LARGE CAP MULTI-STYLE FUND
Class I	$	12,371	$	94,114	$	8,975	$	33,748	$	39,020	$	12,371
Class N		415		4,778		739		2,001		1,623		415
Class R6		30,608		338,700		88,435		123,264		96,393		30,608
Totals	$	43,394	$	437,592	$	98,149	$	159,013	$	137,036	$	43,394
AQR TM SMALL CAP MULTI-STYLE FUND
Class I	$	49,206	$	271,012	$	19,111	$	101,381	$	101,314	$	49,206
Class N		12,329		62,401		3,908		18,924		27,240		12,329
Class R6		5,163		106,585		58,657		30,345		12,420		5,163
Totals	$	66,698	$	439,998	$	81,676	$	150,650	$	140,974	$	66,698
AQR TM INTERNATIONAL MULTI-STYLE FUND
Class I	$	12,224	$	77,450	$	6,570	$	32,691	$	25,965	$	12,224
Class N		1,012		5,243		538		1,603		2,090		1,012
Class R6		70,709		533,359		136,108		174,115		152,427		70,709
Totals	$	83,945	$	616,052	$	143,216	$	208,409	$	180,482	$	83,945
AQR TM EMERGING MULTI-STYLE FUND
Class I	$	9,070	$	67,704	$	20,491	$	20,907	$	17,236	$	9,070
Class N		1,193		17,625		10,505		3,045		2,882		1,193
Class R6		168,844		1,074,484		97,524		451,370		356,746		168,844
Totals	$	179,107	$	1,159,813	$	128,520	$	475,322	$	376,864	$	179,107
AQR LARGE CAP MOMENTUM STYLE FUND
Class I	$	6,875	$	337,043	$	150,689	$	128,280	$	51,199	$	6,875
Class N		472		29,853		16,218		9,604		3,559		472
Class R6		525		27,864		13,726		9,755		3,858		525
Totals	$	7,872	$	394,760	$	180,633	$	147,639	$	58,616	$	7,872
AQR SMALL CAP MOMENTUM STYLE FUND
Class I	$	54,516	$	514,394	$	164,353	$	171,192	$	124,333	$	54,516
Class N		200		10,215		5,430		4,003		582		200
Class R6		1,919		41,280		26,123		9,541		3,697		1,919
Totals	$	56,635	$	565,889	$	195,906	$	184,736	$	128,612	$	56,635

AQR Funds Semi-Annual Report March 2018

246

Notes to Financial Statements March 31, 2018 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
FUND					2018		2019		2020		2021
AQR INTERNATIONAL MOMENTUM STYLE FUND
Class I	$	78,734	$	574,497	$	118,315	$	205,356	$	172,092	$	78,734
Class N		8,307		70,612		19,114		25,144		18,047		8,307
Class R6		11,505		75,084		15,431		25,321		22,827		11,505
Totals	$	98,546	$	720,193	$	152,860	$	255,821	$	212,966	$	98,546
AQR EMERGING MOMENTUM STYLE FUND
Class I	$	79,770	$	475,715	$	68,087	$	158,250	$	169,608	$	79,770
Class N		9,904		68,521		10,351		27,182		21,084		9,904
Class R6		15,629		50,455		747		10,914		23,165		15,629
Totals	$	105,303	$	594,691	$	79,185	$	196,346	$	213,857	$	105,303
AQR TM LARGE CAP MOMENTUM STYLE FUND
Class I	$	26,322	$	217,884	$	78,936	$	55,980	$	56,646	$	26,322
Class N		2,537		3,628		123		143		825		2,537
Class R6		25,147		201,735		45,977		69,392		61,219		25,147
Totals	$	54,006	$	423,247	$	125,036	$	125,515	$	118,690	$	54,006
AQR TM SMALL CAP MOMENTUM STYLE FUND
Class I	$	60,102	$	394,333	$	72,281	$	134,918	$	127,032	$	60,102
Class N		4,225		6,678		453		710		1,290		4,225
Class R6		232		1,919		372		730		585		232
Totals	$	64,559	$	402,930	$	73,106	$	136,358	$	128,907	$	64,559
AQR TM INTERNATIONAL MOMENTUM STYLE FUND
Class I	$	37,989	$	236,162	$	69,030	$	60,845	$	68,298	$	37,989
Class N		4,122		5,826		167		286		1,251		4,122
Class R6		48,268		318,809		56,708		117,481		96,352		48,268
Totals	$	90,379	$	560,797	$	125,905	$	178,612	$	165,901	$	90,379
AQR LARGE CAP DEFENSIVE STYLE FUND
Class I	$	6,315	$	284,212	$	79,484	$	93,642	$	104,771	$	6,315
Class N		2,076		85,712		10,123		35,909		37,604		2,076
Class R6		2,136		51,121		—		22,728		26,257		2,136
Totals	$	10,527	$	421,045	$	89,607	$	152,279	$	168,632	$	10,527
AQR INTERNATIONAL DEFENSIVE STYLE FUND
Class I	$	61,599	$	440,311	$	86,206	$	161,919	$	130,587	$	61,599
Class N		10,520		58,045		413		14,520		32,592		10,520
Class R6		9,044		46,686		240		17,532		19,870		9,044
Totals	$	81,163	$	545,042	$	86,859	$	193,971	$	183,049	$	81,163
AQR EMERGING DEFENSIVE STYLE FUND
Class I	$	94,161	$	630,689	$	146,668	$	192,290	$	197,570	$	94,161
Class N		7,312		18,161		333		607		9,909		7,312
Class R6		303		1,937		253		678		703		303
Totals	$	101,776	$	650,787	$	147,254	$	193,575	$	208,182	$	101,776

AQR Funds Semi-Annual Report March 2018

247

Notes to Financial Statements March 31, 2018 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
FUND					2018		2019		2020		2021
AQR GLOBAL EQUITY FUND
Class I	$	10,330	$	53,869	$	—	$	19,877	$	23,662	$	10,330
Class N		264		2,425		—		986		1,175		264
Class R6		20,338		165,319		—		63,937		81,044		20,338
Totals	$	30,932	$	221,613	$	—	$	84,800	$	105,881	$	30,932
AQR INTERNATIONAL EQUITY FUND
Class I	$	19,831	$	121,419	$	—	$	63,757	$	37,831	$	19,831
Class N		958		11,416		—		7,028		3,430		958
Class R6		2,566		4,894		—		—		2,328		2,566
Totals	$	23,355	$	137,729	$	—	$	70,785	$	43,589	$	23,355
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND
Class I	$	58,516	$	126,161	$	—	$	—	$	67,645	$	58,516
Class N		2,858		26,480		—		—		23,622		2,858
Class R6		8,490		48,480		—		—		39,990		8,490
Totals	$	69,864	$	201,121	$	—	$	—	$	131,257	$	69,864
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND
Class I	$	27,427	$	76,819	$	—	$	—	$	49,392	$	27,427
Class N		11,285		38,626		—		—		27,341		11,285
Class R6		26,600		80,206		—		—		53,606		26,600
Totals	$	65,312	$	195,651	$	—	$	—	$	130,339	$	65,312
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND
Class I	$	35,444	$	93,251	$	—	$	—	$	57,807	$	35,444
Class N		10,845		33,864		—		—		23,019		10,845
Class R6		6,274		54,586		—		—		48,312		6,274
Totals	$	52,563	$	181,701	$	—	$	—	$	129,138	$	52,563
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
Class I	$	21,941	$	75,008	$	—	$	—	$	53,067	$	21,941
Class N		7,440		38,640		—		—		31,200		7,440
Class R6		46,472		124,973		—		—		78,501		46,472
Totals	$	75,853	$	238,621	$	—	$	—	$	162,768	$	75,853

During the period ended March 31, 2018, the Fund recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Large Cap Multi-Style Fund	$	15,687	$	2,334	$	45,777
AQR Large Cap Momentum Style Fund		2,434		176		189
AQR Large Cap Defensive Style Fund		2,280		726		808
AQR Global Equity Fund		2,319		26		2,300
AQR International Equity Fund		1,593		80		209

AQR Funds Semi-Annual Report March 2018

248

Notes to Financial Statements March 31, 2018 (Unaudited)

9. Distribution Plan

The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.

10. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

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.

AQR Funds Semi-Annual Report March 2018

249

Notes to Financial Statements March 31, 2018 (Unaudited)

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.

11. Interfund Lending

Pursuant to an exemptive order issued by the Securities and Exchange Commission (the “SEC”), the Funds may participate in a joint lending and borrowing program (the “Interfund Lending Program”) to the extent such participation is consistent with each Fund’s investment objective and investment policies. This program allows the Funds to borrow money from and lend money to other AQR Funds that permit such transactions. All loans under the Interfund Lending Program are for temporary cash management or emergency purposes. Interest earned or paid on an interfund lending transaction will be based on the average of certain current market rates, as calculated according to a formula established by the Board. No Fund may borrow or lend money through the Interfund Lending Program unless it receives a more favorable rate than is typically available for comparable borrowings from a bank or investments in U.S. Treasury bills, respectively.

A lending Fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing Fund through the Interfund Lending Program. A borrowing Fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets. If a borrowing Fund’s total outstanding borrowings exceed 10% of its total assets, the Fund must (i) repay all of its outstanding loans through the Interfund Lending Program, (ii) reduce its outstanding indebtedness to 10% or less of its total assets, or (iii) secure each of its outstanding borrowings through the Interfund Lending Program with collateral with a market value at least equal to 102% of the outstanding principal value of the loan.

The Funds are not required to borrow money under the Interfund Lending Program and may borrow under other arrangements, including their existing bank line of credit. This could result in a Fund borrowing money at a higher interest rate than it would have received under the Interfund Lending Program.

During the reporting period, the Funds did not utilize the Interfund Lending Program.

12. Line of Credit

Effective February 23, 2018 and terminating on February 22, 2019, 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 available to a Fund 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 $350,000,000, prior to February 23, 2018 the line of credit available was $300,000,000 at substantially similar terms.

AQR Funds Semi-Annual Report March 2018

250

Notes to Financial Statements March 31, 2018 (Unaudited)

The Funds had the following borrowings during the period.

FUND	AVERAGE BORROWINGS		AVERAGE INTEREST RATE%			NUMBER OF DAYS OUTSTANDING		INTEREST PAID
AQR Small Cap Multi-Style Fund	$	12,300,000		2.41	%		8	$	6,501
AQR TM Small Cap Multi-Style Fund		300,000		2.56			5		105
AQR Emerging Momentum Style Fund		325,000		2.54			16		361
AQR Large Cap Relaxed Constraint Equity Fund		1,200,000		2.59			5		427
AQR International Relaxed Constraint Equity Fund		300,000		1.25			2		21

Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.

13. Principal Ownership

As of March 31, 2018, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBEROF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Large Cap Multi-Style Fund		3		66.16	%
AQR Small Cap Multi-Style Fund		3		92.89	%
AQR International Multi-Style Fund		4		94.41	%
AQR Emerging Multi-Style Fund		4		93.47	%
AQR TM Large Cap Multi-Style Fund		4		93.29	%
AQR TM Small Cap Multi-Style Fund*		4		95.89	%
AQR TM International Multi-Style Fund		4		95.31	%
AQR TM Emerging Multi-Style Fund		3		94.14	%
AQR Large Cap Momentum Style Fund		4		92.82	%
AQR Small Cap Momentum Style Fund		3		89.58	%
AQR International Momentum Style Fund		3		93.35	%
AQR Emerging Momentum Style Fund*		4		88.13	%
AQR TM Large Cap Momentum Style Fund		3		94.44	%
AQR TM Small Cap Momentum Style Fund		3		97.04	%
AQR TM International Momentum Style Fund		3		94.80	%
AQR Large Cap Defensive Style Fund		5		84.47	%
AQR International Defensive Style Fund		3		96.42	%
AQR Emerging Defensive Style Fund		3		93.99	%
AQR Global Equity Fund		4		61.59	%
AQR International Equity Fund		4		67.79	%
AQR Large Cap Relaxed Constraint Equity Fund*		3		83.86	%
AQR Small Cap Relaxed Constraint Equity Fund*		7		94.73	%
AQR International Relaxed Constraint Equity Fund		3		90.21	%
AQR Emerging Relaxed Constraint Equity Fund*		4		87.27	%

* The percentage held by the Adviser and/or affiliates is 7.86%, 46.89%, 8.23%, 59.82% and 9.05% 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 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, and adoption of, these rules will have no effect on the Funds’ net assets or results of operations. Management is continuing to evaluate the impact on the disclosure and presentation of 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 those noted above.

AQR Funds Semi-Annual Report March 2018

251

Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 03/31/18” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/18
AQR Large Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,067.20		0.44	%		$2.27
Hypothetical Return		$1,000.00		$1,022.74		0.44	%		$2.22
Class N
Actual Return		$1,000.00		$1,065.40		0.70	%		$3.60
Hypothetical Return		$1,000.00		$1,021.44		0.70	%		$3.53
Class R6
Actual Return		$1,000.00		$1,067.40		0.35	%		$1.80
Hypothetical Return		$1,000.00		$1,023.19		0.35	%		$1.77
AQR Small Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,014.10		0.65	%		$3.26
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class N
Actual Return		$1,000.00		$1,013.00		0.90	%		$4.52
Hypothetical Return		$1,000.00		$1,020.44		0.90	%		$4.53
Class R6
Actual Return		$1,000.00		$1,015.00		0.55	%		$2.76
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/18
AQR International Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,017.50		0.60	%		$3.02
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
Class N
Actual Return		$1,000.00		$1,015.40		0.85	%		$4.27
Hypothetical Return		$1,000.00		$1,020.69		0.85	%		$4.28
Class R6
Actual Return		$1,000.00		$1,017.60		0.50	%		$2.52
Hypothetical Return		$1,000.00		$1,022.44		0.50	%		$2.52
AQR Emerging Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,091.50		0.75	%		$3.91
Hypothetical Return		$1,000.00		$1,021.19		0.75	%		$3.78
Class N
Actual Return		$1,000.00		$1,091.30		1.00	%		$5.21
Hypothetical Return		$1,000.00		$1,019.95		1.00	%		$5.04
Class R6
Actual Return		$1,000.00		$1,093.30		0.65	%		$3.39
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
AQR TM Large Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,065.00		0.45	%		$2.32
Hypothetical Return		$1,000.00		$1,022.69		0.45	%		$2.27
Class N
Actual Return		$1,000.00		$1,064.40		0.70	%		$3.60
Hypothetical Return		$1,000.00		$1,021.44		0.70	%		$3.53
Class R6
Actual Return		$1,000.00		$1,066.70		0.35	%		$1.80
Hypothetical Return		$1,000.00		$1,023.19		0.35	%		$1.77
AQR TM Small Cap Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,015.20		0.65	%		$3.27
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class N
Actual Return		$1,000.00		$1,014.40		0.90	%		$4.52
Hypothetical Return		$1,000.00		$1,020.44		0.90	%		$4.53
Class R6
Actual Return		$1,000.00		$1,016.10		0.55	%		$2.76
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77
AQR TM International Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,021.20		0.59	%		$2.97
Hypothetical Return		$1,000.00		$1,021.99		0.59	%		$2.97
Class N
Actual Return		$1,000.00		$1,019.90		0.85	%		$4.28
Hypothetical Return		$1,000.00		$1,020.69		0.85	%		$4.28
Class R6
Actual Return		$1,000.00		$1,022.00		0.50	%		$2.52
Hypothetical Return		$1,000.00		$1,022.44		0.50	%		$2.52

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/18
AQR TM Emerging Multi-Style Fund
Class I
Actual Return		$1,000.00		$1,084.40		0.74	%		$3.85
Hypothetical Return		$1,000.00		$1,021.24		0.74	%		$3.73
Class N
Actual Return		$1,000.00		$1,082.30		1.00	%		$5.19
Hypothetical Return		$1,000.00		$1,019.95		1.00	%		$5.04
Class R6
Actual Return		$1,000.00		$1,085.10		0.65	%		$3.38
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
AQR Large Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,094.60		0.40	%		$2.09
Hypothetical Return		$1,000.00		$1,022.94		0.40	%		$2.02
Class N
Actual Return		$1,000.00		$1,093.00		0.65	%		$3.39
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class R6
Actual Return		$1,000.00		$1,095.40		0.30	%		$1.57
Hypothetical Return		$1,000.00		$1,023.44		0.30	%		$1.51
AQR Small Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,053.70		0.60	%		$3.07
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
Class N
Actual Return		$1,000.00		$1,052.70		0.83	%		$4.25
Hypothetical Return		$1,000.00		$1,020.79		0.83	%		$4.18
Class R6
Actual Return		$1,000.00		$1,054.40		0.50	%		$2.56
Hypothetical Return		$1,000.00		$1,022.44		0.50	%		$2.52
AQR International Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,047.00		0.55	%		$2.81
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77
Class N
Actual Return		$1,000.00		$1,046.10		0.80	%		$4.08
Hypothetical Return		$1,000.00		$1,020.94		0.80	%		$4.03
Class R6
Actual Return		$1,000.00		$1,047.40		0.45	%		$2.30
Hypothetical Return		$1,000.00		$1,022.69		0.45	%		$2.27
AQR Emerging Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,126.00		0.71	%		$3.76
Hypothetical Return		$1,000.00		$1,021.39		0.71	%		$3.58
Class N
Actual Return		$1,000.00		$1,125.80		0.96	%		$5.09
Hypothetical Return		$1,000.00		$1,020.14		0.96	%		$4.84
Class R6
Actual Return		$1,000.00		$1,126.70		0.61	%		$3.23
Hypothetical Return		$1,000.00		$1,021.89		0.61	%		$3.07

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/18
AQR TM Large Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,106.60		0.40	%		$2.10
Hypothetical Return		$1,000.00		$1,022.94		0.40	%		$2.02
Class N
Actual Return		$1,000.00		$1,104.90		0.65	%		$3.41
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class R6
Actual Return		$1,000.00		$1,107.20		0.30	%		$1.58
Hypothetical Return		$1,000.00		$1,023.44		0.30	%		$1.51
AQR TM Small Cap Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,047.50		0.60	%		$3.06
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
Class N
Actual Return		$1,000.00		$1,046.30		0.85	%		$4.34
Hypothetical Return		$1,000.00		$1,020.69		0.85	%		$4.28
Class R6
Actual Return		$1,000.00		$1,047.90		0.50	%		$2.55
Hypothetical Return		$1,000.00		$1,022.44		0.50	%		$2.52
AQR TM International Momentum Style Fund
Class I
Actual Return		$1,000.00		$1,040.50		0.55	%		$2.80
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77
Class N
Actual Return		$1,000.00		$1,039.40		0.80	%		$4.07
Hypothetical Return		$1,000.00		$1,020.94		0.80	%		$4.03
Class R6
Actual Return		$1,000.00		$1,040.70		0.45	%		$2.29
Hypothetical Return		$1,000.00		$1,022.69		0.45	%		$2.27
AQR Large Cap Defensive Style Fund
Class I
Actual Return		$1,000.00		$1,075.20		0.39	%		$2.02
Hypothetical Return		$1,000.00		$1,022.99		0.39	%		$1.97
Class N
Actual Return		$1,000.00		$1,073.50		0.65	%		$3.36
Hypothetical Return		$1,000.00		$1,021.69		0.65	%		$3.28
Class R6
Actual Return		$1,000.00		$1,075.70		0.30	%		$1.55
Hypothetical Return		$1,000.00		$1,023.44		0.30	%		$1.51
AQR International Defensive Style Fund
Class I
Actual Return		$1,000.00		$1,034.60		0.55	%		$2.79
Hypothetical Return		$1,000.00		$1,022.19		0.55	%		$2.77
Class N
Actual Return		$1,000.00		$1,033.50		0.80	%		$4.06
Hypothetical Return		$1,000.00		$1,020.94		0.80	%		$4.03
Class R6
Actual Return		$1,000.00		$1,035.50		0.45	%		$2.28
Hypothetical Return		$1,000.00		$1,022.69		0.45	%		$2.27

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/18
AQR Emerging Defensive Style Fund
Class I
Actual Return		$1,000.00		$1,096.90		0.70	%		$3.66
Hypothetical Return		$1,000.00		$1,021.44		0.70	%		$3.53
Class N
Actual Return		$1,000.00		$1,094.70		0.95	%		$4.96
Hypothetical Return		$1,000.00		$1,020.19		0.95	%		$4.78
Class R6
Actual Return		$1,000.00		$1,097.00		0.60	%		$3.14
Hypothetical Return		$1,000.00		$1,021.94		0.60	%		$3.02
AQR Global Equity Fund
Class I
Actual Return		$1,000.00		$1,048.10		0.80	%		$4.08
Hypothetical Return		$1,000.00		$1,020.94		0.80	%		$4.03
Class N
Actual Return		$1,000.00		$1,046.30		1.05	%		$5.36
Hypothetical Return		$1,000.00		$1,019.70		1.05	%		$5.29
Class R6
Actual Return		$1,000.00		$1,049.20		0.70	%		$3.58
Hypothetical Return		$1,000.00		$1,021.44		0.70	%		$3.53
AQR International Equity Fund
Class I
Actual Return		$1,000.00		$1,031.80		0.88	%		$4.46
Hypothetical Return		$1,000.00		$1,020.54		0.88	%		$4.43
Class N
Actual Return		$1,000.00		$1,030.00		1.12	%		$5.67
Hypothetical Return		$1,000.00		$1,019.35		1.12	%		$5.64
Class R6
Actual Return		$1,000.00		$1,031.80		0.78	%		$3.95
Hypothetical Return		$1,000.00		$1,021.04		0.78	%		$3.93
AQR Large Cap Relaxed Constraint Equity Fund
Class I
Actual Return		$1,000.00		$1,052.50		1.29	%		$6.60
Hypothetical Return		$1,000.00		$1,018.50		1.29	%		$6.49
Class N
Actual Return		$1,000.00		$1,052.20		1.52	%		$7.78
Hypothetical Return		$1,000.00		$1,017.35		1.52	%		$7.64
Class R6
Actual Return		$1,000.00		$1,053.90		1.19	%		$6.09
Hypothetical Return		$1,000.00		$1,019.00		1.19	%		$5.99
AQR Small Cap Relaxed Constraint Equity Fund
Class I
Actual Return		$1,000.00		$967.20		1.59	%		$7.80
Hypothetical Return		$1,000.00		$1,017.00		1.59	%		$8.00
Class N
Actual Return		$1,000.00		$966.50		1.84	%		$9.02
Hypothetical Return		$1,000.00		$1,015.76		1.84	%		$9.25
Class R6
Actual Return		$1,000.00		$967.90		1.51	%		$7.41
Hypothetical Return		$1,000.00		$1,017.40		1.51	%		$7.59

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 3/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 3/31/18
AQR International Relaxed Constraint Equity Fund
Class I
Actual Return		$1,000.00		$1,020.80		1.67	%		$8.41
Hypothetical Return		$1,000.00		$1,016.60		1.67	%		$8.40
Class N
Actual Return		$1,000.00		$1,019.40		1.92	%		$9.67
Hypothetical Return		$1,000.00		$1,015.36		1.92	%		$9.65
Class R6
Actual Return		$1,000.00		$1,021.00		1.57	%		$7.91
Hypothetical Return		$1,000.00		$1,017.10		1.57	%		$7.90
AQR Emerging Relaxed Constraint Equity Fund
Class I
Actual Return		$1,000.00		$1,132.20		1.15	%		$6.11
Hypothetical Return		$1,000.00		$1,019.20		1.15	%		$5.79
Class N
Actual Return		$1,000.00		$1,130.80		1.40	%		$7.44
Hypothetical Return		$1,000.00		$1,017.95		1.40	%		$7.04
Class R6
Actual Return		$1,000.00		$1,132.60		1.05	%		$5.58
Hypothetical Return		$1,000.00		$1,019.70		1.05	%		$5.29

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/365 (to reflect the one-half year period unless stated otherwise).

AQR Funds Semi-Annual Report March 2018

257

Board Approval of Investment Advisory Agreements

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 16-17, 2017 to consider the continuation of the: (i) Third Amended and Restated Investment Management Agreement between AQR Capital Management, LLC (“AQR” or the “Adviser”) and the AQR Funds on behalf of the AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund and AQR TM Emerging Multi-Style Fund; (ii) the First Amendment to the Third Amended and Restated Investment Management Agreement between AQR and the AQR Funds, to reflect a 5 basis point reduction in the advisory fee for the AQR International Equity Fund, effective on January 29, 2018 (the “Amendment”); (iii) the Investment Management Agreement II, as amended, between AQR and the AQR Funds on behalf of the AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund; and (iv) a Fourth Amended and Restated Fee Waiver and Expense Reimbursement Agreement on behalf of the Funds (the “A&R Fee Waiver Agreement”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” The Investment Management Agreement (including the Amendment) and the Investment Management Agreement II are referred to collectively herein as the “Management Agreement,” as applicable and as the context suggests.

In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on November 11, 2017 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 16-17, 2017, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Management Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and performance relative to peers; (iv) a discussion of the financial information and profitability of AQR and (v) a discussion of the compliance program of AQR and the regulatory exam history of AQR.

At the in-person meeting held on November 16-17, 2017, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additional one-year period for each Fund. In approving the continuation of the Management Agreement for a Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds and the Fund complex; (d) economies of scale; and (e) other factors.

The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

In considering the renewal of the Management Agreement for each Fund, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:

The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had with representatives of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, provides oversight of Fund accounting, provides marketing services, provides risk management, provides compliance oversight, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Funds over time.

Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s efforts to achieve such goals as well as the performance of the Funds relative to funds identified by Morningstar as their peers.

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258

Board Approval of Investment Advisory Agreements

The Board was cognizant of the fact that in some cases Fund performance was challenged over certain measurement periods in comparison to Morningstar peers or benchmarks. The Board considered that Morningstar comparisons may be of limited use in some cases due to the differences between the way a Fund is managed from other funds in the Morningstar category and peer group. In other cases, underperformance in relation to Morningstar peers may be due to differences in a Fund’s investment parameters compared to its peer funds, including risk limits, volatility targets, model limits on exposure to a particular country, and the Fund’s investment universe. Finally, the use of drawdown control and internal risk protections may affect a Fund’s performance in relation to its peers or benchmark. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the performance of each Fund is satisfactory in light of its stated objectives and strategies.

The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees paid by the Funds to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.

To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar Report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses. The Board reviewed the proposed 0.05% decrease in the management fee and expense caps for the AQR International Equity Fund. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, including sub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when it sub-advises third party mutual funds.

The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Adviser provided the Board Members a detailed description of the methodology and inputs used to determine profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, taxes, expense allocations and business mix.

The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s profitability was not excessive.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board noted that, under the Management Agreement, none of the Funds have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.

Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients.

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Management Agreement are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Semi-Annual Report March 2018

259

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248  ^|  p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Item 2. Code of Ethics.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) Not required for this filing.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.

(b) Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

June 1, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

June 1, 2018

By: /s/ Heather Bonner

Heather Bonner,

Principal Financial Officer

June 1, 2018