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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 4^th Floor

                                 Greenwich, CT 06830                                

(Address of principal executive offices) (Zip code)

William J. Fenrich, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza

4^th Floor

                                 Greenwich, CT 06830                                

(Name and Address of Agent for Service)

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

Date of fiscal year end: December 31

Date of reporting period: January 1, 2018 to June 30, 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

June 30, 2018

AQR Alternative Risk Premia Fund

AQR Diversified Arbitrage Fund

AQR Equity Market Neutral Fund

AQR Global Macro Fund

AQR Long-Short Equity Fund

AQR Multi-Strategy Alternative Fund

AQR Risk-Balanced Commodities Strategy Fund

AQR Risk Parity Fund

AQR Risk Parity II HV Fund

AQR Risk Parity II MV Fund

AQR Style Premia Alternative Fund

AQR Style Premia Alternative LV Fund

Table of Contents

Schedule of Investments
AQR Alternative Risk Premia Fund	2
AQR Diversified Arbitrage Fund	24
AQR Equity Market Neutral Fund	51
AQR Global Macro Fund	66
AQR Long-Short Equity Fund	76
AQR Multi-Strategy Alternative Fund	100
AQR Risk-Balanced Commodities Strategy Fund	143
AQR Risk Parity Fund	150
AQR Risk Parity II HV Fund	165
AQR Risk Parity II MV Fund	174
AQR Style Premia Alternative Fund	182
AQR Style Premia Alternative LV Fund	206
Financial Statements and Notes	226
Fund Expense Examples (unaudited)	306

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 176.0%
COMMON STOCKS - 99.4%
Australia - 1.4%
AGL Energy Ltd. (2)		4,039	$	67,204
Ansell Ltd. (2)		5,743		115,382
Aurizon Holdings Ltd. (2)		8,222		26,293
BHP Billiton plc (2)		953		21,388
Caltex Australia Ltd . (2)		5,178		124,612
Coca-Cola Amatil Ltd. (2)		7,449		50,665
Crown Resorts Ltd. (2)		12,084		120,572
CSL Ltd. (2)		543		77,292
Flight Centre Travel Group Ltd. (2)		2,464		115,990
Fortescue Metals Group Ltd. (2)		111,699		362,685
Harvey Norman Holdings Ltd . (2)		92,335		226,842
Newcrest Mining Ltd. (2)		10,677		173,364
Oil Search Ltd. (2)		26,443		173,729
Santos Ltd. (2)*		17,560		81,332
South32 Ltd. (2)		71,531		191,011
Star Entertainment Grp Ltd. (The) (2)		5,191		18,908
Wesfarmers Ltd. (2)		7,388		269,561
Woodside Petroleum Ltd. (2)		31,719		831,245
Woolworths Group Ltd. (2)		4,018		90,741
				3,138,816
Belgium - 0.7%
Ageas (2)(a)		17,859		899,077
Colruyt SA (2)		1,368		77,996
KBC Group NV (2)(a)		2,848		218,727
Solvay SA (2)(a)		1,726		217,370
UCB SA (2)(a)		526		41,233
Umicore SA (2)(a)		696		39,733
				1,494,136
Canada - 2.1%
Air Canada *(a)		5,190		83,891
ARC Resources Ltd. (a)		14,134		146,001
Bank of Montreal (a)		1,080		83,482
BRP, Inc. (a)		4,964		239,317
Canadian Imperial Bank of Commerce (a)		2,972		258,531
Canadian Natural Resources Ltd. (a)		13,380		482,927
Canadian Tire Corp. Ltd., Class A (a)		911		118,912
Cenovus Energy, Inc. (a)		2,125		22,064
CGI Group, Inc., Class A *(a)		4,851		307,410
Constellation Software, Inc. (a)		102		79,104
Dollarama, Inc. (a)		3,648		141,408
Empire Co. Ltd., Class A (a)		6,893		138,369
Encana Corp. (a)		12,492		163,152
Fairfax Financial Holdings Ltd. (a)		256		143,449
Intact Financial Corp. (a)		267		18,939
Kinross Gold Corp. *		36,410		137,093
Linamar Corp. (a)		426		18,733
Magna International, Inc. (a)		3,642		211,819
Methanex Corp. (a)		1,680		118,794
National Bank of Canada(a)		2,926		140,485
Peyto Exploration & Development Corp. (a)		8,502		65,447
Quebecor, Inc., Class B (a)		4,903		100,398
Royal Bank of Canada (a)		446		33,583

INVESTMENTS	SHARES		VALUE
Canada - 2.1% (continued)
Seven Generations Energy Ltd., Class A *(a)		2,270	$	25,020
Sun Life Financial, Inc. (a)		887		35,645
Teck Resources Ltd., Class B (a)		4,044		103,019
Toronto-Dominion Bank (The) (a)		4,702		272,145
Tourmaline Oil Corp. (a)		13,470		240,680
West Fraser Timber Co. Ltd. (a)		8,413		579,083
WestJet Airlines Ltd. (a)		1,386		19,114
Whitecap Resources, Inc. (a)		12,889		87,355
				4,615,369
Chile - 0.0% (b)
Lundin Mining Corp. (a)		4,666		25,945
Denmark - 0.6%
Carlsberg A/S, Class B (2)(a)		848		99,774
Dfds A/S (2)		792		50,412
GN Store Nord A/S (2)(a)		2,553		115,999
Jyske Bank A/S (Registered) (2)(a)		538		29,407
Orsted A/S (2)(a)(c)		4,693		283,556
Pandora A/S (2)(a)		4,477		312,036
Rockwool International A/S, Class B (2)		640		249,476
Vestas Wind Systems A/S (2)(a)		1,267		78,220
William Demant Holding A/S (2)*(a)		1,725		69,228
				1,288,108
Finland - 0.8%
Amer Sports OYJ (2)*		3,617		113,733
Kesko OYJ, Class B (2)		709		43,305
Neste OYJ (2)(a)		10,433		816,267
Sampo OYJ, Class A (2)(a)		4,025		196,020
Stora Enso OYJ, Class R (2)		3,279		63,881
UPM-Kymmene OYJ (2)(a)		12,921		460,054
				1,693,260
France - 1.7%
AXA SA (2)(a)		10,611		259,267
Capgemini SE (2)(a)		269		36,049
Dassault Systemes SE (2)(a)		173		24,210
Electricite de France SA (2)(a)		1,686		23,135
Engie SA (2)(a)		38,196		584,265
Faurecia SA (2)(a)		351		24,951
Peugeot SA (2)(a)		33,857		771,441
Renault SA (2)(a)		9,926		840,945
Thales SA (2)(a)		590		75,906
TOTAL SA (2)(a)		17,441		1,059,119
				3,699,288
Germany - 2.6%
adidas AG (2)		1,461		318,086
Aurubis AG (2)(a)		1,495		114,120
Bayerische Motoren Werke AG (2)(a)		13,950		1,260,975
Covestro AG (2)(a)(c)		2,720		241,763
Daimler AG (Registered) (2)(a)		15,961		1,022,415
Evonik Industries AG (2)(a)		2,709		92,685
Hannover Rueck SE (2)(a)		1,828		227,260
HUGO BOSS AG (2)(a)		1,855		168,228
Infineon Technologies AG (2)(a)		1,841		46,764
MAN SE (2)(a)		276		31,232

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

AQR Funds Semi-Annual Report June 2018

2

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
Germany - 2.6% (continued)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (2)(a)		151	$	31,747
Rheinmetall AG (2)(a)		529		58,202
RWE AG (2)		15,573		353,889
Salzgitter AG (2)(a)		4,822		209,796
SAP SE (2)(a)		694		80,100
STADA Arzneimittel AG (2)(a)		212		19,909
Talanx AG (2)(a)		3,247		118,287
TUI AG (2)		1,238		27,078
United Internet AG (Registered) (2)(a)		720		41,106
Volkswagen AG (Preference) (2)(a)		7,760		1,282,031
				5,745,673
Italy - 1.8%
A2A SpA (2)		33,965		58,791
Assicurazioni Generali SpA (2)(a)		57,422		959,979
Atlantia SpA (2)(a)		647		19,075
BPER Banca (2)(a)		14,853		81,043
DiaSorin SpA (2)		239		27,161
Enel SpA (2)(a)		69,064		382,696
Eni SpA (2)(a)		48,872		906,154
Hera SpA (2)		44,510		138,497
Italgas SpA (2)		9,074		49,943
Moncler SpA (2)(a)		570		25,864
Poste Italiane SpA (2)(c)		90,946		759,093
Terna Rete Elettrica Nazionale SpA (2)(a)		32,688		176,537
UnipolSai Assicurazioni SpA (2)		206,066		454,446
				4,039,279
Japan - 13.1%
Alfresa Holdings Corp. (2)(a)		2,800		65,750
Amada Holdings Co. Ltd. (2)		1,900		18,235
ANA Holdings, Inc. (2)(a)		1,400		51,370
Aozora Bank Ltd. (2)(a)		3,600		136,626
Asahi Glass Co. Ltd. (2)(a)		11,300		439,525
Astellas Pharma, Inc. (2)(a)		25,000		380,465
Benesse Holdings, Inc. (2)(a)		800		28,370
Bridgestone Corp. (2)(a)		5,200		203,127
Central Japan Railway Co. (2)(a)		3,100		641,791
Chiba Bank Ltd. (The) (2)(a)		3,200		22,569
Chubu Electric Power Co., Inc. (2)(a)		28,100		421,342
Citizen Watch Co. Ltd. (2)(a)		10,600		69,507
Concordia Financial Group Ltd. (2)(a)		5,200		26,426
Credit Saison Co. Ltd. (2)(a)		6,700		105,263
Daicel Corp. (2)(a)		1,800		19,884
Daiwa Securities Group, Inc. (2)(a)		22,000		127,509
DeNA Co. Ltd. (2)(a)		3,800		71,158
East Japan Railway Co. (2)(a)		6,900		660,781
Electric Power Development Co. Ltd. (2)(a)		16,500		425,870
Fujitsu Ltd. (2)(a)		13,000		78,670
GungHo Online Entertainment, Inc. (2)		27,500		69,870
Gunma Bank Ltd. (The) (2)(a)		7,200		37,690
Haseko Corp. (2)(a)		25,900		356,982
Hiroshima Bank Ltd. (The) (2)(a)		2,800		18,570
Hitachi Capital Corp. (2)(a)		900		23,228
Hitachi Ltd. (2)(a)		54,000		380,429
Honda Motor Co. Ltd. (2)(a)		4,900		143,673

INVESTMENTS	SHARES		VALUE
Japan - 13.1% (continued)
Idemitsu Kosan Co. Ltd. (2)(a)		13,800	$	490,750
Iida Group Holdings Co. Ltd. (2)(a)		3,800		73,156
Inpex Corp. (2)(a)		41,600		432,053
ITOCHU Corp. (2)(a)		61,100		1,105,045
Japan Airlines Co. Ltd. (2)(a)		18,900		669,647
Japan Post Holdings Co. Ltd. (2)(a)		10,100		110,532
JFE Holdings, Inc. (2)(a)		22,900		432,528
JXTG Holdings, Inc. (2)(a)		232,900		1,615,809
Kaken Pharmaceutical Co. Ltd. (2)(a)		1,000		51,308
Kamigumi Co. Ltd. (2)(a)		3,200		66,419
Kansai Electric Power Co., Inc. (The) (2)(a)		27,600		402,520
Kao Corp. (2)(a)		300		22,866
KDDI Corp. (2)(a)		16,700		456,660
Kirin Holdings Co. Ltd. (2)(a)		3,300		88,456
Kobe Steel Ltd. (2)(a)		29,200		266,845
Kyushu Electric Power Co., Inc. (2)(a)		34,500		385,217
Kyushu Railway Co. (2)(a)		18,300		559,532
Marubeni Corp. (2)(a)		144,900		1,103,180
Mazda Motor Corp. (2)(a)		59,000		723,730
McDonald’s Holdings Co. Japan Ltd. (2)		400		20,397
Medipal Holdings Corp. (2)(a)		2,700		54,236
Mitsubishi Chemical Holdings Corp. (2)(a)		33,900		283,092
Mitsubishi Corp. (2)(a)		41,200		1,142,438
Mitsubishi Gas Chemical Co., Inc. (2)		800		18,078
Mitsubishi Heavy Industries Ltd. (2)(a)		3,300		119,959
Mitsubishi Materials Corp. (2)(a)		800		21,948
Mitsui & Co. Ltd. (2)(a)		71,100		1,183,978
Mizuho Financial Group, Inc. (2)		416,600		701,757
MS&AD Insurance Group Holdings, Inc. (2)(a)		1,400		43,482
Nexon Co. Ltd. (2)*(a)		7,600		110,271
NH Foods Ltd. (2)		800		32,341
NHK Spring Co. Ltd. (2)(a)		23,300		219,325
Nippon Electric Glass Co. Ltd. (2)(a)		3,200		88,704
Nippon Express Co. Ltd. (2)(a)		500		36,231
Nippon Steel & Sumitomo Metal Corp. (2)(a)		11,600		227,443
Nippon Telegraph & Telephone Corp. (2)(a)		9,600		436,109
Nissan Motor Co. Ltd. (2)(a)		51,900		504,997
NOK Corp. (2)(a)		6,600		127,477
Obayashi Corp. (2)(a)		6,300		65,416
Oji Holdings Corp. (2)(a)		3,000		18,591
Oriental Land Co. Ltd. (2)(a)		500		52,423
ORIX Corp. (2)(a)		14,500		228,551
Osaka Gas Co. Ltd. (2)(a)		26,700		552,849
Pola Orbis Holdings, Inc. (2)(a)		800		35,156
Resona Holdings, Inc. (2)(a)		71,100		378,947
Sankyo Co. Ltd. (2)		500		19,552
Sawai Pharmaceutical Co. Ltd. (2)		900		40,929
Sega Sammy Holdings, Inc. (2)(a)		4,000		68,462
Sekisui House Ltd. (2)(a)		20,800		367,627
SG Holdings Co. Ltd. (2)		900		19,689
Shikoku Electric Power Co., Inc. (2)(a)		16,300		218,014
Shimamura Co. Ltd. (2)(a)		3,100		272,546
Shinsei Bank Ltd. (2)(a)		3,500		53,702

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

AQR Funds Semi-Annual Report June 2018

3

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
Japan - 13.1% (continued)
Shionogi & Co. Ltd. (2)(a)		500	$	25,657
Sojitz Corp. (2)		214,000		775,028
Subaru Corp. (2)(a)		600		17,451
Sumitomo Chemical Co. Ltd. (2)(a)		39,000		220,570
Sumitomo Corp. (2)(a)		44,700		733,072
Sumitomo Dainippon Pharma Co. Ltd. (2)(a)		2,000		42,272
Sumitomo Electric Industries Ltd. (2)(a)		5,500		81,799
Sumitomo Heavy Industries Ltd. (2)(a)		6,000		202,158
Sumitomo Mitsui Financial Group, Inc. (2)(a)		10,400		405,662
Suzuken Co. Ltd. (2)(a)		700		29,603
Suzuki Motor Corp. (2)(a)		3,800		209,411
Taiheiyo Cement Corp. (2)(a)		8,000		263,171
Taisei Corp. (2)(a)		5,200		286,361
Teijin Ltd. (2)(a)		11,000		201,495
Toho Gas Co. Ltd. (2)		500		17,321
Tohoku Electric Power Co., Inc. (2)(a)		30,500		372,653
Tokyo Electric Power Co. Holdings, Inc. (2)*		218,400		1,016,772
Tokyo Gas Co. Ltd. (2)(a)		28,100		746,119
Toppan Printing Co. Ltd. (2)(a)		10,000		78,231
Tosoh Corp. (2)(a)		12,300		190,185
Toyota Boshoku Corp. (2)(a)		2,600		47,692
Toyota Motor Corp. (2)(a)		500		32,335
Toyota Tsusho Corp. (2)(a)		4,700		157,059
West Japan Railway Co. (2)(a)		6,300		463,834
Yamada Denki Co. Ltd. (2)		41,500		206,150
Yamaguchi Financial Group, Inc. (2)(a)		10,000		112,496
				28,780,207
Luxembourg - 0.2%
Aperam SA (2)(a)		442		18,945
ArcelorMittal (2)(a)		15,546		453,567
				472,512
Malta - 0.1%
Kindred Group plc, SDR (2)		14,397		180,362
Netherlands - 1.6%
Aegon NV (2)(a)		207,546		1,239,178
Akzo Nobel NV (2)(a)		257		21,920
ASM International NV (2)(a)		337		18,570
ASR Nederland NV (2)(a)		13,206		537,760
Koninklijke Ahold Delhaize NV (2)(a)		42,597		1,017,114
Koninklijke DSM NV (2)(a)		515		51,520
Koninklijke Philips NV (2)(a)		3,068		129,985
NN Group NV (2)(a)		14,391		583,647
				3,599,694
Norway - 0.9%
DNB ASA (2)(a)		1,315		25,607
Equinor ASA (2)(a)		34,733		918,430
Leroy Seafood Group ASA (2)(a)		27,002		181,893
Marine Harvest ASA (2)(a)		26,571		528,308
Norsk Hydro ASA (2)(a)		4,055		24,205
Salmar ASA (2)(a)		4,677		196,171
				1,874,614

INVESTMENTS	SHARES		VALUE
Russia - 0.0% (b)
Evraz plc (2)		6,367	$	42,496
Singapore - 0.2%
ComfortDelGro Corp. Ltd. (2)		31,000		53,350
DBS Group Holdings Ltd. (2)		1,800		35,005
Genting Singapore Ltd. (2)		21,600		19,341
Oversea-Chinese Banking Corp. Ltd. (2)		6,900		58,773
SATS Ltd. (2)		7,500		27,472
Venture Corp. Ltd. (2)		26,200		342,303
				536,244
South Africa - 0.0% (b)
Anglo American plc (2)		2,723		60,453
Spain - 1.3%
Acerinox SA (2)(a)		8,263		109,182
ACS Actividades de Construccion y Servicios SA (2)(a)		6,637		267,776
Amadeus IT Group SA (2)(a)		3,605		283,470
Bankinter SA (2)(a)		11,532		111,895
Enagas SA (2)(a)		12,437		362,741
Endesa SA (2)(a)		24,972		549,174
Gas Natural SDG SA (2)(a)		926		24,480
Gestamp Automocion SA (2)*(c)		8,215		61,334
Iberdrola SA (2)(a)		24,966		192,532
Mapfre SA (2)		53,933		162,109
Repsol SA (2)(a)		35,521		693,337
				2,818,030
Sweden - 0.7%
Ahlsell AB (2)(c)		3,770		22,191
Axfood AB (2)		2,453		47,080
BillerudKorsnas AB (2)		1,651		23,273
Boliden AB (2)*(a)		8,072		260,512
Electrolux AB, Series B (2)(a)		19,330		438,667
Essity AB, Class B (2)(a)		758		18,648
Husqvarna AB, Class B (2)		2,892		27,359
Nordea Bank AB (2)(a)		5,855		56,165
Sandvik AB (2)(a)		5,961		105,277
Securitas AB, Class B (2)(a)		2,603		42,684
SKF AB, Class B (2)		3,130		57,943
SSAB AB, Class A (2)		72,163		339,371
Svenska Cellulosa AB SCA, Class B (2)(a)		10,778		116,680
Swedish Orphan Biovitrum AB (2)*		1,009		21,974
Volvo AB, Class B (2)(a)		4,531		72,012
				1,649,836
Switzerland - 1.0%
Baloise Holding AG (Registered) (2)		951		137,949
Cie Financiere Richemont SA (Registered) (2)		2,078		175,663
Georg Fischer AG (Registered) (2)		142		181,332
Helvetia Holding AG (Registered) (2)		391		223,061
Partners Group Holding AG (2)		207		151,327
Roche Holding AG (2)(a)		275		61,011
Sika AG (Registered) (2)(a)		180		24,871
Sonova Holding AG (Registered) (2)		765		136,846
Swatch Group AG (The) (2)		338		160,003

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

AQR Funds Semi-Annual Report June 2018

4

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
Switzerland - 1.0% (continued)
Swiss Life Holding AG (Registered) (2)*(a)		1,219	$	422,689
Swiss Re AG (2)(a)		1,458		127,296
Temenos AG (Registered) (2)*		359		53,989
Zurich Insurance Group AG (2)*(a)		1,213		358,720
				2,214,757
United Kingdom - 1.4%
Aggreko plc (2)		4,744		42,214
Barclays plc (2)		11,359		28,076
Barratt Developments plc (2)		17,603		119,329
BBA Aviation plc (2)		6,382		28,631
Bellway plc (2)		5,099		201,440
Berkeley Group Holdings plc (2)		6,722		334,843
Britvic plc (2)		4,321		44,307
Dixons Carphone plc (2)		11,797		28,950
Fiat Chrysler Automobiles NV (2)*(a)		46,823		883,281
Greene King plc (2)		5,495		41,625
Hays plc (2)		10,956		26,905
Howden Joinery Group plc (2)		4,044		28,518
Indivior plc (2)*		4,361		21,960
Janus Henderson Group plc		614		18,868
Marks & Spencer Group plc (2)		11,820		45,914
Meggitt plc (2)		5,114		33,186
Moneysupermarket.com Group plc (2)		6,097		25,309
nVent Electric plc *		2,912		73,091
Persimmon plc (2)		2,375		79,111
Petrofac Ltd. (2)		16,533		127,007
Royal Mail plc (2)		85,949		571,812
RPC Group plc (2)		9,291		91,476
Saga plc (2)		24,762		40,965
Taylor Wimpey plc (2)		51,865		122,091
WH Smith plc (2)		1,011		26,612
Whitbread plc (2)		356		18,557
William Hill plc (2)		6,688		26,712
				3,130,790
United States - 67.2%
Aaron’s, Inc. (a)		2,736		118,879
AbbVie, Inc. (a)		10,580		980,237
ABIOMED, Inc. *(a)		363		148,485
Accenture plc, Class A (a)		1,212		198,271
Accenture plc, Class A		1,014		165,880
Activision Blizzard, Inc. (a)		1,542		117,685
Adobe Systems, Inc. *(a)		1,364		332,557
Adtalem Global Education, Inc. *(a)		3,875		186,388
Aflac, Inc. (a)		25,803		1,110,045
Agilent Technologies, Inc. (a)		4,165		257,564
Air Lease Corp. (a)		5,513		231,381
Akamai Technologies, Inc. *(a)		12,902		944,813
Alcoa Corp. *(a)		5,270		247,058
Alexion Pharmaceuticals, Inc. *(a)		1,031		127,999
Allison Transmission Holdings, Inc. (a)		663		26,845
Allstate Corp. (The) (a)		18,569		1,694,792
Ally Financial, Inc. (a)		3,675		96,542
Alphabet, Inc., Class A *(a)		1,157		1,306,473
Amazon.com, Inc. *(a)		777		1,320,745
AMC Networks, Inc., Class A *(a)		8,733		543,193
Amdocs Ltd. (a)		6,912		457,505
AMERCO (a)		1,091		388,560

INVESTMENTS	SHARES		VALUE
United States - 67.2% (continued)
Ameren Corp. (a)		1,576	$	95,900
American Eagle Outfitters, Inc. (a)		6,081		141,383
American Financial Group, Inc. (a)		2,029		217,773
Ameriprise Financial, Inc. (a)		4,311		603,023
Amgen, Inc. (a)		6,448		1,190,236
Analog Devices, Inc.		195		18,704
ANSYS, Inc. *(a)		858		149,446
Antero Resources Corp. *(a)		4,952		105,725
Anthem, Inc. (a)		3,533		840,960
Apple, Inc. (a)		3,926		726,742
Applied Materials, Inc. (a)		17,456		806,293
Archer-Daniels-Midland Co. (a)		3,345		153,301
Arrow Electronics, Inc. *(a)		13,494		1,015,828
Assurant, Inc. (a)		283		29,288
Assured Guaranty Ltd. (a)		18,019		643,819
Athene Holding Ltd., Class A *(a)		17,072		748,436
Athene Holding Ltd., Class A *		2,917		127,881
AutoNation, Inc. *(a)		4,702		228,423
AutoZone, Inc. *(a)		380		254,953
Avnet, Inc. (a)		4,979		213,549
Bank of New York Mellon Corp. (The) (a)		9,409		507,427
Baxter International, Inc. (a)		8,129		600,245
Becton Dickinson and Co. (a)		355		85,044
Best Buy Co., Inc. (a)		5,813		433,534
Big Lots, Inc. (a)		15,188		634,555
Biogen, Inc. *(a)		6,831		1,982,628
Bio-Rad Laboratories, Inc., Class A *		119		34,336
Bio-Techne Corp. (a)		1,362		201,508
BlackRock, Inc. (a)		417		208,100
Boeing Co. (The) (a)		1,802		604,589
Booking Holdings, Inc. *(a)		1,103		2,235,879
Booz Allen Hamilton Holding Corp. (a)		2,070		90,521
Boston Beer Co., Inc. (The), Class A *(a)		1,367		409,690
Brinker International, Inc. (a)		2,125		101,150
Bristol-Myers Squibb Co.		2,529		139,955
Broadcom, Inc. (a)		276		66,969
Broadridge Financial Solutions, Inc. (a)		558		64,226
Brunswick Corp. (a)		6,903		445,105
Burlington Stores, Inc. *(a)		686		103,264
CA, Inc. (a)		25,588		912,212
Cadence Design Systems, Inc. *(a)		805		34,865
Capital One Financial Corp. (a)		6,355		584,025
Cardinal Health, Inc. (a)		1,758		85,843
Carlisle Cos., Inc.		194		21,012
Carnival Corp. (a)		8,077		462,893
Cars.com, Inc. *		3,416		96,980
Carter’s, Inc. (a)		7,184		778,674
CDK Global, Inc. (a)		1,010		65,701
CDW Corp. (a)		9,031		729,614
Celanese Corp., Series A(a)		804		89,292
Celgene Corp. *		7,400		587,708
Centene Corp. *(a)		1,662		204,775
Cerner Corp. *(a)		3,435		205,379
CH Robinson Worldwide, Inc. (a)		4,773		399,309
Charles River Laboratories International, Inc. *(a)		7,284		817,702
Cheesecake Factory, Inc. (The) (a)		2,042		112,433
Chesapeake Energy Corp. *(a)		63,801		334,317

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

AQR Funds Semi-Annual Report June 2018

5

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 67.2% (continued)
Chubb Ltd. (a)		496	$	63,002
Ciena Corp. *(a)		11,534		305,766
Cigna Corp. (a)		5,110		868,445
Cimarex Energy Co.		550		55,957
Cirrus Logic, Inc. *		9,488		363,675
Cisco Systems, Inc. (a)		17,901		770,280
Citrix Systems, Inc. *(a)		2,052		215,132
Clorox Co. (The)		1,607		217,347
CME Group, Inc. (a)		1,095		179,492
CNA Financial Corp. (a)		416		19,003
CNX Resources Corp. *(a)		13,187		234,465
Cognizant Technology Solutions Corp., Class A (a)		4,734		373,939
Coherent, Inc. *(a)		126		19,709
Commerce Bancshares, Inc. (a)		698		45,168
Conagra Brands, Inc. (a)		717		25,618
Consolidated Edison, Inc. (a)		39,471		3,077,948
Constellation Brands, Inc., Class A (a)		4,597		1,006,145
Convergys Corp. (a)		7,769		189,874
Cooper Cos., Inc. (The) (a)		619		145,744
Copart, Inc. *(a)		369		20,871
Costco Wholesale Corp. (a)		3,788		791,616
Cracker Barrel Old Country Store, Inc. (a)		1,679		262,277
Credit Acceptance Corp. *(a)		183		64,672
Cummins, Inc.		2,599		345,667
Curtiss-Wright Corp. (a)		4,343		516,904
Danaher Corp. (a)		9,372		924,829
Darden Restaurants, Inc. (a)		2,985		319,574
Deckers Outdoor Corp. *(a)		6,978		787,746
Deere & Co. (a)		467		65,287
Deluxe Corp. (a)		4,015		265,833
Diamond Offshore Drilling, Inc. *(a)		14,209		296,400
Dillard’s, Inc., Class A (a)		2,325		219,713
Discover Financial Services (a)		1,673		117,796
Dolby Laboratories, Inc., Class A (a)		488		30,105
Dollar General Corp. (a)		1,225		120,785
DR Horton, Inc. (a)		673		27,593
DTE Energy Co. (a)		830		86,013
Dun & Bradstreet Corp. (The)		160		19,624
DXC Technology Co. (a)		6,060		488,497
E*TRADE Financial Corp. *(a)		508		31,069
Eastman Chemical Co. (a)		1,071		107,057
Eaton Corp. plc		3,080		230,199
Eaton Corp. plc(a)		9,107		680,657
Eaton Vance Corp. (a)		460		24,007
eBay, Inc. *(a)		34,533		1,252,167
Electronic Arts, Inc. *(a)		1,688		238,042
Eli Lilly & Co. (a)		6,743		575,380
EMCOR Group, Inc. (a)		860		65,515
Energen Corp. *		263		19,152
Estee Lauder Cos., Inc. (The), Class A (a)		18,218		2,599,525
Esterline Technologies Corp. *(a)		1,225		90,405
Everest Re Group Ltd. (a)		987		227,484
Exelon Corp. (a)		44,267		1,885,773
Expedia Group, Inc. (a)		2,989		359,248
Expeditors International of Washington, Inc. (a)		1,655		120,981

INVESTMENTS	SHARES		VALUE
United States - 67.2% (continued)
F5 Networks, Inc. *(a)		4,557	$	785,855
Facebook, Inc., Class A *(a)		9,471		1,840,404
Fair Isaac Corp. *(a)		860		166,255
Federated Investors, Inc., Class B (a)		15,925		371,371
FedEx Corp. (a)		6,797		1,543,326
First American Financial Corp. (a)		4,892		253,014
First Solar, Inc. *(a)		3,273		172,356
Fiserv, Inc. *(a)		480		35,563
Flex Ltd. *		5,163		72,850
FLIR Systems, Inc. (a)		6,815		354,176
FNF Group (a)		7,652		287,868
Ford Motor Co. (a)		5,374		59,490
Fortive Corp. (a)		1,381		106,489
Gap, Inc. (The) (a)		7,506		243,119
Garmin Ltd.		736		44,896
GATX Corp. (a)		315		23,382
General Dynamics Corp. (a)		6,309		1,176,061
General Motors Co. (a)		4,676		184,234
Genpact Ltd. (a)		3,872		112,017
Gilead Sciences, Inc. (a)		17,943		1,271,082
Globus Medical, Inc., Class A *(a)		3,623		182,817
Goldman Sachs Group, Inc. (The) (a)		400		88,228
Graham Holdings Co., Class B (a)		347		203,377
Hanover Insurance Group, Inc. (The) (a)		196		23,434
Harris Corp. (a)		131		18,935
Hasbro, Inc. (a)		1,284		118,526
HCA Healthcare, Inc. (a)		1,479		151,745
Helen of Troy Ltd. *(a)		836		82,304
Helen of Troy Ltd. *		62		6,104
Herman Miller, Inc.		632		21,425
Hewlett Packard Enterprise Co. (a)		40,254		588,111
HollyFrontier Corp. (a)		12,352		845,247
Honeywell International, Inc. (a)		2,139		308,123
HP, Inc. (a)		25,766		584,631
Humana, Inc. (a)		2,966		882,771
Huntington Ingalls Industries, Inc. (a)		6,421		1,392,009
IAC/InterActiveCorp *(a)		2,283		348,135
ICU Medical, Inc.*		642		188,523
Ingredion, Inc. (a)		1,896		209,887
Integrated Device Technology, Inc. *(a)		869		27,704
Intel Corp. (a)		43,331		2,153,983
International Business Machines Corp. (a)		7,180		1,003,046
Intuit, Inc. (a)		1,612		329,340
Intuitive Surgical, Inc. *(a)		82		39,235
IPG Photonics Corp. *(a)		417		92,003
IQVIA Holdings, Inc. *(a)		11,011		1,099,118
ITT, Inc. (a)		896		46,834
j2 Global, Inc. (a)		8,225		712,367
Jabil, Inc. (a)		18,706		517,408
Jazz Pharmaceuticals plc *(a)		1,688		290,842
JetBlue Airways Corp. *(a)		21,299		404,255
JM Smucker Co. (The)		3,398		365,217
John Wiley & Sons, Inc., Class A (a)		4,649		290,098
Johnson & Johnson (a)		3,569		433,062
JPMorgan Chase & Co. (a)		2,513		261,855
Juniper Networks, Inc. (a)		9,811		269,018
Keysight Technologies, Inc. *(a)		1,199		70,777
KLA-Tencor Corp. (a)		6,637		680,492

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

AQR Funds Semi-Annual Report June 2018

6

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 67.2% (continued)
Kohl’s Corp. (a)		16,854	$	1,228,657
Kroger Co. (The) (a)		12,945		368,285
L3 Technologies, Inc. (a)		4,483		862,171
Laboratory Corp. of America Holdings *(a)		1,421		255,112
Lam Research Corp. (a)		8,264		1,428,431
Landstar System, Inc. (a)		266		29,047
Laredo Petroleum, Inc. *(a)		27,910		268,494
Las Vegas Sands Corp.		2,834		216,404
Lear Corp. (a)		3,247		603,325
LifePoint Health, Inc. *(a)		748		36,502
Littelfuse, Inc. (a)		111		25,328
Lockheed Martin Corp. (a)		572		168,986
Louisiana-Pacific Corp. (a)		11,180		304,320
LPL Financial Holdings, Inc. (a)		332		21,759
Lululemon Athletica, Inc. *(a)		3,813		476,053
LyondellBasell Industries NV, Class A (a)		9,093		998,866
LyondellBasell Industries NV, Class A		2,059		226,181
Macy’s, Inc. (a)		32,208		1,205,545
Mallinckrodt plc *		4,754		88,710
Mallinckrodt plc *(a)		25,823		481,857
Manhattan Associates, Inc. *(a)		461		21,672
ManpowerGroup, Inc. (a)		218		18,761
Marathon Petroleum Corp. (a)		6,944		487,191
Marvell Technology Group Ltd. (a)		20,495		439,413
Masimo Corp. *(a)		483		47,165
Match Group, Inc. *(a)		5,742		222,445
Maxim Integrated Products, Inc. (a)		2,126		124,711
MAXIMUS, Inc. (a)		3,043		189,001
McDermott International, Inc. *		21,407		420,648
McDonald’s Corp. (a)		990		155,123
McKesson Corp. (a)		3,510		468,234
Medtronic plc		2,366		202,553
Medtronic plc(a)		3,104		265,733
Merck & Co., Inc. (a)		13,114		796,020
Mettler-Toledo International, Inc. *(a)		55		31,825
Michael Kors Holdings Ltd. *(a)		20,860		1,389,276
Michaels Cos., Inc. (The) *		2,742		52,564
Microchip Technology, Inc. (a)		484		44,020
Micron Technology, Inc. *(a)		36,549		1,916,629
Microsoft Corp. (a)		7,330		722,811
MKS Instruments, Inc. (a)		5,018		480,223
Molson Coors Brewing Co., Class B		4,165		283,387
MSCI, Inc. (a)		193		31,928
Murphy USA, Inc. *(a)		2,630		195,383
Mylan NV *(a)		10,121		365,773
Mylan NV *		2,839		102,601
Nasdaq, Inc. (a)		1,421		129,695
Navient Corp. (a)		10,519		137,063
Netflix, Inc. *(a)		1,374		537,825
New Jersey Resources Corp. (a)		1,870		83,683
New York Times Co. (The), Class A (a)		874		22,637
NextEra Energy, Inc. (a)		2,405		401,707
NIKE, Inc., Class B (a)		2,415		192,427
Norfolk Southern Corp. (a)		169		25,497
Northrop Grumman Corp. (a)		3,929		1,208,953
NorthWestern Corp. (a)		4,805		275,086
Norwegian Cruise Line Holdings Ltd. *(a)		1,961		92,657

INVESTMENTS	SHARES		VALUE
United States - 67.2% (continued)
Norwegian Cruise Line Holdings Ltd. *		1,309	$	61,850
NRG Energy, Inc. (a)		13,470		413,529
Nu Skin Enterprises, Inc., Class A (a)		5,588		436,926
NVIDIA Corp. (a)		753		178,386
NVR, Inc. *(a)		21		62,377
Oceaneering International, Inc. (a)		4,835		123,099
Old Dominion Freight Line, Inc. (a)		153		22,791
Old Republic International Corp. (a)		15,201		302,652
Omnicom Group, Inc. (a)		1,935		147,582
ON Semiconductor Corp. *(a)		9,801		217,925
OneMain Holdings, Inc. *(a)		928		30,893
Oracle Corp. (a)		21,173		932,882
Oshkosh Corp. (a)		499		35,090
Parker-Hannifin Corp.		585		91,172
PBF Energy, Inc., Class A (a)		10,436		437,581
Penske Automotive Group, Inc. (a)		1,772		83,018
PerkinElmer, Inc. (a)		2,612		191,277
Pfizer, Inc. (a)		40,759		1,478,736
Phillips 66 (a)		2,031		228,102
Pilgrim’s Pride Corp. *		20,341		409,464
PNC Financial Services Group, Inc. (The) (a)		421		56,877
Popular, Inc. (a)		1,439		65,057
PRA Health Sciences, Inc. *		784		73,194
Progressive Corp. (The) (a)		466		27,564
Prudential Financial, Inc. (a)		202		18,889
Public Service Enterprise Group, Inc. (a)		5,052		273,515
PulteGroup, Inc. (a)		18,577		534,089
PVH Corp. (a)		3,594		538,094
QIAGEN NV *(a)		2,197		79,444
Qorvo, Inc. *(a)		2,711		217,341
Quest Diagnostics, Inc. (a)		329		36,170
Qurate Retail, Inc. *(a)		27,253		578,309
Ralph Lauren Corp.		4,171		524,378
Raymond James Financial, Inc. (a)		258		23,052
Raytheon Co. (a)		11,326		2,187,956
Regal Beloit Corp. (a)		550		44,990
Regeneron Pharmaceuticals, Inc. *(a)		187		64,513
Reinsurance Group of America, Inc. (a)		6,462		862,548
Reliance Steel & Aluminum Co. (a)		1,493		130,697
Republic Services, Inc. (a)		2,810		192,092
Robert Half International, Inc. (a)		12,390		806,589
Ross Stores, Inc.		289		24,493
Royal Caribbean Cruises Ltd. (a)		1,003		103,911
Royal Caribbean Cruises Ltd.		888		91,997
RPC, Inc. (a)		31,039		452,238
Ryder System, Inc. (a)		3,831		275,296
Sally Beauty Holdings, Inc. *(a)		9,017		144,543
Sanderson Farms, Inc.		5,296		556,874
Santander Consumer USA Holdings, Inc. (a)		3,090		58,988
Science Applications International Corp. (a)		1,438		116,377
Seagate Technology plc (a)		5,541		312,900
Service Corp. International (a)		3,215		115,065
Signet Jewelers Ltd. (a)		3,494		194,791
Silgan Holdings, Inc. (a)		1,607		43,116
Silicon Laboratories, Inc. *(a)		250		24,900

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

AQR Funds Semi-Annual Report June 2018

7

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 67.2% (continued)
Skechers U.S.A., Inc., Class A *		17,666	$	530,157
Skyworks Solutions, Inc. (a)		13,246		1,280,226
Snap-on, Inc. (a)		3,550		570,556
Southwestern Energy Co. *(a)		84,972		450,352
Spirit AeroSystems Holdings, Inc., Class A (a)		9,402		807,726
SS&C Technologies Holdings, Inc. (a)		964		50,032
Stanley Black & Decker, Inc. (a)		620		82,342
State Street Corp. (a)		4,247		395,353
Stryker Corp. (a)		652		110,097
SunTrust Banks, Inc. (a)		382		25,220
Synaptics, Inc. *(a)		523		26,344
Synchrony Financial (a)		2,873		95,901
SYNNEX Corp. (a)		3,376		325,818
Synopsys, Inc. *(a)		1,976		169,086
T. Rowe Price Group, Inc. (a)		3,793		440,329
Target Corp. (a)		16,514		1,257,046
TE Connectivity Ltd.		946		85,197
TE Connectivity Ltd. (a)		8,558		770,733
Tech Data Corp. *(a)		9,539		783,343
TEGNA, Inc.		3,990		43,292
Teledyne Technologies, Inc. *(a)		1,295		257,783
Texas Instruments, Inc. (a)		9,885		1,089,821
Textron, Inc. (a)		2,957		194,896
Thermo Fisher Scientific, Inc. (a)		5,802		1,201,826
TJX Cos., Inc. (The) (a)		2,513		239,187
Toll Brothers, Inc. (a)		3,546		131,167
Torchmark Corp. (a)		7,053		574,185
Total System Services, Inc. (a)		384		32,456
Travelers Cos., Inc. (The) (a)		2,590		316,861
TRI Pointe Group, Inc. *		1,800		29,448
Tyson Foods, Inc., Class A (a)		18,044		1,242,329
United Rentals, Inc. *(a)		330		48,715
United States Steel Corp. (a)		1,432		49,762
United Technologies Corp. (a)		3,295		411,974
United Therapeutics Corp. *(a)		6,182		699,493
UnitedHealth Group, Inc. (a)		2,257		553,732
Universal Health Services, Inc., Class B (a)		231		25,743
Unum Group (a)		3,035		112,265
Urban Outfitters, Inc. *(a)		3,525		157,039
US Bancorp (a)		500		25,010
Valeant Pharmaceuticals International, Inc. *(a)		2,486		57,865
Valero Energy Corp. (a)		9,522		1,055,323
Varian Medical Systems, Inc. *(a)		599		68,118
VeriSign, Inc. *(a)		4,585		630,071
Verizon Communications, Inc. (a)		15,786		794,194
Versum Materials, Inc. (a)		2,144		79,650
VF Corp. (a)		7,512		612,378
Viacom, Inc., Class B (a)		27,197		820,262
Vishay Intertechnology, Inc. (a)		7,880		182,816
Vistra Energy Corp. *(a)		111,986		2,649,588
VMware, Inc., Class A *(a)		1,145		168,281
Walmart, Inc. (a)		17,586		1,506,240
Walt Disney Co. (The) (a)		6,334		663,867
Waste Management, Inc. (a)		9,329		758,821
Waters Corp. *(a)		1,109		214,691

INVESTMENTS	SHARES			VALUE
United States - 67.2% (continued)
WellCare Health Plans, Inc. *(a)		499		$	122,874
Werner Enterprises, Inc. (a)		7,024			263,751
WESCO International, Inc. *		334			19,071
Western Digital Corp. (a)		7,071			547,366
Westlake Chemical Corp. (a)		2,116			227,745
Whirlpool Corp. (a)		1,169			170,943
Williams-Sonoma, Inc. (a)		9,149			561,566
Woodward, Inc. (a)		2,315			177,931
WW Grainger, Inc.		386			119,042
Xilinx, Inc. (a)		1,666			108,723
Zoetis, Inc. (a)		2,601			221,579
					147,783,115
TOTAL COMMON STOCKS (Cost $216,189,024)					218,882,984
SHORT-TERM INVESTMENTS - 76.6%
INVESTMENT COMPANIES - 76.6%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (2)(d)		404,326			404,326
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (2)(d)		1,617,302			1,617,302
Limited Purpose Cash Investment Fund, 1.85% (2)(d)		164,588,671			164,588,671
UBS Select Treasury Preferred Fund, Class I, 1.76% (2)(d)		2,021,628			2,021,628
TOTAL SHORT-TERM INVESTMENTS (Cost $168,604,473)					168,631,927
TOTAL LONG POSITIONS (Cost $384,793,497)					387,514,911
SHORT POSITIONS - (84.9)%
COMMON STOCKS - (84.9)%
Argentina - (0.6)%
MercadoLibre, Inc.		(4,136	)		(1,236,374	)
Australia - (1.3)%
Alumina Ltd. (2)		(14,086	)		(29,149	)
AMP Ltd. (2)		(145,745	)		(383,338	)
APA Group (2)		(42,428	)		(309,106	)
Challenger Ltd. (2)		(19,936	)		(174,465	)
Computershare Ltd. (2)		(1,631	)		(22,218	)
Domino’s Pizza Enterprises Ltd. (2)		(8,796	)		(339,707	)
Healthscope Ltd. (2)		(115,948	)		(189,193	)
Medibank Pvt Ltd. (2)		(30,856	)		(66,625	)
QBE Insurance Group Ltd. (2)		(99,838	)		(718,758	)
Ramsay Health Care Ltd. (2)		(558	)		(22,283	)
SEEK Ltd. (2)		(10,387	)		(167,388	)
Tabcorp Holdings Ltd. (2)		(15,742	)		(51,895	)
Transurban Group (2)		(23,882	)		(211,483	)
Treasury Wine Estates Ltd. (2)		(7,403	)		(95,114	)
Vocus Group Ltd. (2)*		(99,168	)		(169,308	)
					(2,950,030	)
Austria - (0.1)%
ams AG (2)*		(2,685	)		(199,120	)

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

AQR Funds Semi-Annual Report June 2018

8

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
Belgium - (0.7)%
Anheuser-Busch InBev SA/NV (2)		(7,171	)	$	(723,303	)
Galapagos NV (2)*		(5,319	)		(489,866	)
Telenet Group Holding NV (2)*		(5,367	)		(249,868	)
					(1,463,037	)
Canada - (1.9)%
Agnico Eagle Mines Ltd.		(2,310	)		(105,902	)
AltaGas Ltd.		(5,857	)		(120,958	)
Barrick Gold Corp.		(2,652	)		(34,838	)
Cameco Corp.		(25,971	)		(292,177	)
Canadian National Railway Co.		(1,335	)		(109,195	)
Canadian Utilities Ltd., Class A		(924	)		(23,335	)
CCL Industries, Inc., Class B		(1,325	)		(64,957	)
Element Fleet Management Corp.		(60,173	)		(282,866	)
Enbridge, Inc.		(35,223	)		(1,259,255	)
Finning International, Inc.		(1,027	)		(25,350	)
Franco-Nevada Corp.		(262	)		(19,122	)
Imperial Oil Ltd.		(2,781	)		(92,443	)
Inter Pipeline Ltd.		(7,578	)		(142,032	)
Keyera Corp.		(5,920	)		(164,723	)
Nutrien Ltd.		(1,563	)		(85,031	)
Onex Corp.		(1,032	)		(75,745	)
Pembina Pipeline Corp.		(9,187	)		(318,171	)
PrairieSky Royalty Ltd.		(3,178	)		(62,731	)
Restaurant Brands International, Inc.		(1,366	)		(82,397	)
Ritchie Bros Auctioneers, Inc.		(1,009	)		(34,415	)
SNC-Lavalin Group, Inc.		(2,021	)		(89,255	)
TransCanada Corp.		(11,013	)		(476,491	)
Wheaton Precious Metals Corp.		(10,005	)		(220,854	)
					(4,182,243	)
Colombia - (0.1)%
Millicom International Cellular SA, SDR (2)		(3,657	)		(214,930	)
Denmark - (0.6)%
AP Moller - Maersk A/S, Class B (2)		(624	)		(771,950	)
FLSmidth & Co. A/S (2)		(3,066	)		(182,937	)
Genmab A/S (2)*		(1,792	)		(275,732	)
					(1,230,619	)
Finland - (0.3)%
Cargotec OYJ, Class B (2)		(487	)		(24,572	)
Elisa OYJ (2)		(417	)		(19,264	)
Huhtamaki OYJ (2)		(1,946	)		(71,762	)
Metso OYJ (2)		(3,872	)		(129,151	)
Orion OYJ, Class B (2)		(13,612	)		(366,096	)
					(610,845	)
France - (1.5)%
Airbus SE (2)		(7,244	)		(845,337	)
BioMerieux (2)		(372	)		(33,424	)
Bollore SA (2)		(4,017	)		(18,655	)
Carrefour SA (2)		(1,183	)		(19,083	)
Edenred (2)		(686	)		(21,668	)
Getlink (2)		(1,712	)		(23,471	)
Iliad SA (2)		(5,489	)		(866,084	)
Ingenico Group SA (2)		(4,159	)		(372,914	)
Ipsen SA (2)		(166	)		(25,964	)

INVESTMENTS	SHARES			VALUE
France - (1.5)% (continued)
JCDecaux SA (2)		(4,433	)	$	(148,025	)
Natixis SA (2)		(4,374	)		(30,948	)
Orpea (2)		(578	)		(76,989	)
Remy Cointreau SA (2)		(175	)		(22,656	)
SCOR SE (2)		(762	)		(28,180	)
SPIE SA (2)		(1,414	)		(28,621	)
Suez (2)		(7,230	)		(93,527	)
Technicolor SA (Registered) (2)*		(109,591	)		(134,649	)
Vivendi SA (2)		(18,644	)		(456,086	)
					(3,246,281	)
Germany - (1.9)%
1&1 Drillisch AG (2)		(3,411	)		(193,490	)
Brenntag AG (2)		(506	)		(28,114	)
Commerzbank AG (2)*		(87,871	)		(838,232	)
CTS Eventim AG & Co. KGaA (2)		(1,640	)		(80,520	)
Delivery Hero AG (2)*(c)		(1,683	)		(89,207	)
Deutsche Bank AG (Registered) (2)		(63,905	)		(683,686	)
Deutsche Telekom AG (Registered) (2)*		(51,267	)		(792,301	)
E.ON SE (2)		(28,709	)		(305,880	)
GEA Group AG (2)		(740	)		(24,922	)
LANXESS AG (2)		(600	)		(46,648	)
Merck KGaA (2)		(649	)		(63,178	)
OSRAM Licht AG (2)		(564	)		(22,969	)
ProSiebenSat.1 Media SE (2)		(1,652	)		(41,804	)
Rational AG (2)		(37	)		(24,095	)
Telefonica Deutschland Holding AG (2)		(103,959	)		(408,971	)
thyssenkrupp AG (2)		(19,195	)		(465,285	)
Wirecard AG (2)		(382	)		(61,128	)
					(4,170,430	)
Ghana - (0.1)%
Kosmos Energy Ltd. *		(28,101	)		(232,395	)
Ireland - (0.1)%
James Hardie Industries plc, CHESS (2)		(9,937	)		(166,605	)
Italy - (1.2)%
Brembo SpA (2)		(5,166	)		(69,673	)
Buzzi Unicem SpA (2)		(7,124	)		(174,061	)
Davide Campari-Milano SpA (2)		(18,342	)		(150,550	)
De’ Longhi SpA (2)		(1,126	)		(31,841	)
Ferrari NV (2)		(4,005	)		(541,352	)
Leonardo SpA (2)		(90,870	)		(894,377	)
Recordati SpA (2)		(11,091	)		(439,482	)
Saipem SpA (2)*		(30,267	)		(138,810	)
Telecom Italia SpA (2)*		(48,454	)		(35,899	)
UniCredit SpA (2)		(14,058	)		(233,003	)
Unipol Gruppo SpA (2)		(5,317	)		(20,487	)
					(2,729,535	)
Japan - (13.1)%
Acom Co. Ltd. (2)		(4,800	)		(18,427	)
Advantest Corp. (2)		(13,100	)		(271,732	)
Aeon Co. Ltd. (2)		(3,000	)		(64,177	)
Ajinomoto Co., Inc. (2)		(1,000	)		(18,929	)
Asahi Intecc Co. Ltd. (2)		(7,100	)		(268,068	)
Asahi Kasei Corp. (2)		(2,400	)		(30,435	)
Bank of Kyoto Ltd. (The) (2)		(400	)		(18,469	)

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

AQR Funds Semi-Annual Report June 2018

9

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
Japan - (13.1)% (continued)
Calbee, Inc. (2)		(500	)	$	(18,809	)
Casio Computer Co. Ltd. (2)		(14,900	)		(241,991	)
Chiyoda Corp. (2)		(36,300	)		(314,747	)
Chugai Pharmaceutical Co. Ltd. (2)		(700	)		(36,652	)
Coca-Cola Bottlers Japan Holdings, Inc. (2)		(1,700	)		(68,016	)
Cosmos Pharmaceutical Corp. (2)		(1,700	)		(344,980	)
CyberAgent, Inc. (2)		(14,400	)		(863,616	)
Daifuku Co. Ltd. (2)		(15,800	)		(690,329	)
Dai-ichi Life Holdings, Inc. (2)		(9,600	)		(170,857	)
Daiichi Sankyo Co. Ltd. (2)		(4,300	)		(164,275	)
Daikin Industries Ltd. (2)		(8,800	)		(1,051,715	)
Disco Corp. (2)		(1,800	)		(306,437	)
Don Quijote Holdings Co. Ltd. (2)		(5,800	)		(278,393	)
Eisai Co. Ltd. (2)		(2,200	)		(154,858	)
FANUC Corp. (2)		(2,100	)		(416,245	)
Fast Retailing Co. Ltd. (2)		(1,900	)		(870,838	)
Fuji Electric Co. Ltd. (2)		(23,000	)		(174,711	)
FUJIFILM Holdings Corp. (2)		(600	)		(23,402	)
Hikari Tsushin, Inc. (2)		(500	)		(87,750	)
Hitachi Chemical Co. Ltd. (2)		(1,400	)		(28,184	)
Hitachi Construction Machinery Co. Ltd. (2)		(800	)		(25,936	)
Hitachi High-Technologies Corp. (2)		(1,000	)		(40,680	)
Hokuriku Electric Power Co. (2)*		(1,800	)		(18,079	)
Isetan Mitsukoshi Holdings Ltd. (2)		(14,600	)		(182,148	)
J Front Retailing Co. Ltd. (2)		(5,900	)		(89,627	)
Japan Airport Terminal Co. Ltd. (2)		(4,700	)		(219,807	)
JGC Corp. (2)		(15,300	)		(307,760	)
Kansai Paint Co. Ltd. (2)		(4,600	)		(95,461	)
Keikyu Corp. (2)		(8,300	)		(135,949	)
Keio Corp. (2)		(500	)		(24,160	)
Keyence Corp. (2)		(1,600	)		(902,423	)
Kikkoman Corp. (2)		(1,500	)		(75,733	)
Kintetsu Group Holdings Co. Ltd. (2)		(1,100	)		(44,853	)
Kobayashi Pharmaceutical Co. Ltd. (2)		(900	)		(77,684	)
Kose Corp. (2)		(2,200	)		(473,208	)
Lawson, Inc. (2)		(300	)		(18,736	)
LINE Corp. (2)*		(12,800	)		(528,474	)
Lion Corp. (2)		(6,900	)		(126,258	)
M3, Inc. (2)		(13,100	)		(520,964	)
Makita Corp. (2)		(6,100	)		(272,872	)
Marui Group Co. Ltd. (2)		(23,900	)		(502,738	)
MINEBEA MITSUMI, Inc. (2)		(11,700	)		(197,166	)
MISUMI Group, Inc. (2)		(11,000	)		(320,043	)
Mitsubishi Logistics Corp. (2)		(1,200	)		(25,877	)
Mitsubishi Motors Corp. (2)		(3,300	)		(26,305	)
MonotaRO Co. Ltd. (2)		(10,600	)		(468,262	)
Nabtesco Corp. (2)		(5,800	)		(178,204	)
Nankai Electric Railway Co. Ltd. (2)		(800	)		(22,191	)
Nidec Corp. (2)		(9,100	)		(1,361,266	)
Nifco, Inc. (2)		(1,300	)		(40,175	)
Nikon Corp. (2)		(1,600	)		(25,428	)
Nintendo Co. Ltd. (2)		(1,700	)		(554,930	)
Nippon Paint Holdings Co. Ltd. (2)		(1,400	)		(60,207	)
Nippon Shinyaku Co. Ltd. (2)		(5,700	)		(353,731	)
Nippon Yusen KK (2)		(4,700	)		(93,115	)
Nitto Denko Corp. (2)		(400	)		(30,199	)

INVESTMENTS	SHARES			VALUE
Japan - (13.1)% (continued)
Nomura Research Institute Ltd. (2)		(3,400	)	$	(164,496	)
Obic Co. Ltd. (2)		(1,400	)		(115,663	)
Odakyu Electric Railway Co. Ltd. (2)		(1,200	)		(25,735	)
Olympus Corp. (2)		(500	)		(18,704	)
Ono Pharmaceutical Co. Ltd. (2)		(5,800	)		(135,783	)
Orient Corp. (2)		(18,800	)		(25,264	)
Panasonic Corp. (2)		(1,700	)		(22,924	)
Park24 Co. Ltd. (2)		(9,000	)		(244,760	)
PeptiDream, Inc. (2)*		(16,000	)		(664,751	)
Persol Holdings Co. Ltd. (2)		(29,000	)		(645,841	)
Pigeon Corp. (2)		(4,300	)		(208,968	)
Recruit Holdings Co. Ltd. (2)		(9,700	)		(267,901	)
Renesas Electronics Corp. (2)*		(83,800	)		(819,213	)
Ricoh Co. Ltd. (2)		(12,500	)		(114,472	)
Rinnai Corp. (2)		(300	)		(26,439	)
Rohm Co. Ltd. (2)		(2,900	)		(242,337	)
Ryohin Keikaku Co. Ltd. (2)		(300	)		(105,397	)
Santen Pharmaceutical Co. Ltd. (2)		(3,100	)		(53,929	)
Secom Co. Ltd. (2)		(300	)		(23,005	)
Seibu Holdings, Inc. (2)		(1,400	)		(23,576	)
Seiko Epson Corp. (2)		(4,400	)		(76,390	)
Seven & i Holdings Co. Ltd. (2)		(600	)		(26,169	)
Shimadzu Corp. (2)		(7,400	)		(223,265	)
Shimano, Inc. (2)		(2,300	)		(337,513	)
Shiseido Co. Ltd. (2)		(2,600	)		(206,326	)
SMC Corp. (2)		(100	)		(36,609	)
SoftBank Group Corp. (2)		(21,500	)		(1,535,276	)
Sohgo Security Services Co. Ltd. (2)		(2,500	)		(117,619	)
Sompo Holdings, Inc. (2)		(900	)		(36,315	)
Sony Financial Holdings, Inc. (2)		(20,000	)		(381,062	)
Sosei Group Corp. (2)*		(3,600	)		(57,839	)
Stanley Electric Co. Ltd. (2)		(800	)		(27,240	)
SUMCO Corp. (2)		(43,800	)		(879,699	)
Sundrug Co. Ltd. (2)		(1,600	)		(64,818	)
Sysmex Corp. (2)		(3,600	)		(335,429	)
T&D Holdings, Inc. (2)		(15,700	)		(235,470	)
TDK Corp. (2)		(1,100	)		(112,005	)
Terumo Corp. (2)		(7,300	)		(417,910	)
THK Co. Ltd. (2)		(4,200	)		(119,917	)
Tokio Marine Holdings, Inc. (2)		(1,000	)		(46,783	)
Tokyo Century Corp. (2)		(400	)		(22,644	)
Tokyo Electron Ltd. (2)		(3,000	)		(514,960	)
TOTO Ltd. (2)		(8,700	)		(402,686	)
Trend Micro, Inc. (2)		(600	)		(34,156	)
Tsuruha Holdings, Inc. (2)		(2,200	)		(275,558	)
Unicharm Corp. (2)		(12,600	)		(378,809	)
USS Co. Ltd. (2)		(2,900	)		(55,136	)
Welcia Holdings Co. Ltd. (2)		(4,400	)		(233,950	)
Yakult Honsha Co. Ltd. (2)		(5,200	)		(347,677	)
Yamaha Corp. (2)		(2,500	)		(129,744	)
Yamato Holdings Co. Ltd. (2)		(15,900	)		(467,979	)
Yaskawa Electric Corp. (2)		(26,600	)		(936,722	)
Yokogawa Electric Corp. (2)		(14,500	)		(257,478	)
Yokohama Rubber Co. Ltd. (The) (2)		(1,300	)		(26,965	)
					(28,744,967	)
Luxembourg - (0.1)%
Eurofins Scientific SE (2)		(481	)		(266,768	)
SES SA, FDR (2)		(2,435	)		(44,511	)

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

AQR Funds Semi-Annual Report June 2018

10

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
Luxembourg - (0.1)% (continued)
Tenaris SA (2)		(1,019	)	$	(18,597	)
					(329,876	)
Netherlands - (0.9)%
ALTICE EUROPE NV (2)*		(81,615	)		(331,276	)
ASML Holding NV (2)		(303	)		(59,959	)
Boskalis Westminster (2)		(7,747	)		(225,124	)
Heineken NV (2)		(476	)		(47,690	)
Koninklijke KPN NV (2)		(421,778	)		(1,146,889	)
OCI NV (2)*		(817	)		(21,939	)
SBM Offshore NV (2)		(12,254	)		(190,002	)
					(2,022,879	)
Norway - (0.1)%
Schibsted ASA, Class A (2)		(4,487	)		(136,065	)
Telenor ASA (2)		(1,609	)		(32,953	)
Yara International ASA (2)		(1,049	)		(43,399	)
					(212,417	)
Panama - (0.2)%
Copa Holdings SA, Class A		(5,732	)		(542,362	)
Singapore - (0.2)%
CapitaLand Ltd. (2)		(130,600	)		(302,274	)
City Developments Ltd. (2)		(18,800	)		(150,586	)
Jardine Cycle & Carriage Ltd. (2)		(3,300	)		(77,098	)
					(529,958	)
Spain - (1.3)%
Bankia SA (2)		(73,451	)		(273,904	)
Cellnex Telecom SA (2)(c)		(14,933	)		(375,438	)
Distribuidora Internacional de Alimentacion SA (2)		(19,113	)		(55,522	)
Ferrovial SA (2)		(11,481	)		(234,931	)
Grifols SA (2)		(4,922	)		(147,526	)
Industria de Diseno Textil SA (2)		(45,316	)		(1,543,196	)
Melia Hotels International SA (2)		(1,941	)		(26,550	)
Obrascon Huarte Lain SA (2)		(7,424	)		(23,682	)
Telefonica SA (2)		(15,118	)		(128,313	)
					(2,809,062	)
Sweden - (0.7)%
Getinge AB, Class B (2)		(2,051	)		(18,619	)
Hennes & Mauritz AB, Class B (2)		(21,702	)		(323,035	)
NCC AB, Class B (2)		(3,997	)		(66,276	)
Saab AB, Class B (2)		(3,770	)		(156,124	)
Svenska Handelsbanken AB, Class A (2)		(20,985	)		(232,418	)
Swedish Match AB (2)		(2,008	)		(99,239	)
Telefonaktiebolaget LM Ericsson, Class B (2)		(93,311	)		(718,887	)
					(1,614,598	)
Switzerland - (1.0)%
Aryzta AG (2)*		(10,162	)		(152,003	)
Credit Suisse Group AG (Registered) (2)*		(55,846	)		(835,070	)
Dufry AG (Registered) (2)*		(1,776	)		(225,877	)
Glencore plc (2)*		(29,523	)		(140,169	)
Idorsia Ltd. (2)*		(6,929	)		(182,828	)
LafargeHolcim Ltd. (Registered) (2)*		(2,108	)		(102,496	)

INVESTMENTS	SHARES			VALUE
Switzerland - (1.0)% (continued)
OC Oerlikon Corp. AG (Registered) (2)*		(4,550	)	$	(69,318	)
STMicroelectronics NV (2)		(5,943	)		(131,835	)
UBS Group AG (Registered) (2)*		(7,807	)		(119,684	)
Vifor Pharma AG (2)		(1,865	)		(297,493	)
					(2,256,773	)
United Kingdom - (1.2)%
AA plc (2)		(58,663	)		(95,980	)
Ashtead Group plc (2)		(1,288	)		(38,356	)
AstraZeneca plc (2)		(390	)		(26,975	)
British American Tobacco plc (2)		(8,505	)		(428,425	)
CNH Industrial NV (2)		(33,378	)		(352,588	)
Cobham plc (2)*		(35,564	)		(60,136	)
ConvaTec Group plc (2)(c)		(55,283	)		(154,337	)
easyJet plc (2)		(2,826	)		(62,172	)
Imperial Brands plc (2)		(756	)		(28,076	)
Inmarsat plc (2)		(3,914	)		(28,303	)
International Consolidated Airlines Group SA (2)		(6,672	)		(58,209	)
John Wood Group plc (2)		(4,750	)		(39,225	)
Micro Focus International plc (2)		(1,271	)		(22,054	)
Old Mutual Ltd. (2)*		(72,322	)		(142,978	)
Pentair plc		(634	)		(26,679	)
Provident Financial plc (2)*		(17,972	)		(141,798	)
Prudential plc (2)		(6,781	)		(154,582	)
Quilter plc (2)*(c)		(2,645	)		(5,058	)
Reckitt Benckiser Group plc (2)		(6,356	)		(522,239	)
Rolls-Royce Holdings plc (2)*		(1,702	)		(22,169	)
Rolls-Royce plc (Preference) (3)*(e)		(79,307	)		(105	)
Severn Trent plc (2)		(1,948	)		(50,792	)
Standard Chartered plc (2)		(2,048	)		(18,603	)
Subsea 7 SA (2)		(6,222	)		(98,912	)
Weir Group plc (The) (2)		(2,130	)		(55,939	)
					(2,634,690	)
United States - (55.4)%
Acadia Healthcare Co., Inc. *		(9,625	)		(393,759	)
ACI Worldwide, Inc. *		(1,654	)		(40,804	)
Acuity Brands, Inc.		(994	)		(115,175	)
Acxiom Corp. *		(2,430	)		(72,779	)
Advanced Micro Devices, Inc. *		(130,227	)		(1,952,102	)
Agios Pharmaceuticals, Inc. *		(5,241	)		(441,449	)
Akorn, Inc. *		(33,295	)		(552,364	)
Alaska Air Group, Inc.		(10,758	)		(649,676	)
Albemarle Corp.		(10,524	)		(992,729	)
Alkermes plc *		(9,679	)		(398,388	)
Allegheny Technologies, Inc. *		(6,631	)		(166,571	)
Allegion plc		(515	)		(39,840	)
Allergan plc		(2,414	)		(402,462	)
Alliance Data Systems Corp.		(405	)		(94,446	)
Allscripts Healthcare Solutions, Inc. *		(31,466	)		(377,592	)
Alnylam Pharmaceuticals, Inc. *		(12,133	)		(1,194,979	)
Altria Group, Inc.		(5,992	)		(340,286	)
American Airlines Group, Inc.		(46,304	)		(1,757,699	)
American International Group, Inc.		(16,840	)		(892,857	)
AmerisourceBergen Corp.		(6,824	)		(581,882	)
Anadarko Petroleum Corp.		(2,414	)		(176,826	)
AO Smith Corp.		(5,184	)		(306,634	)
Aon plc		(169	)		(23,182	)

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

AQR Funds Semi-Annual Report June 2018

11

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (55.4)% (continued)
Apache Corp.		(3,150	)	$	(147,263	)
Aqua America, Inc.		(3,265	)		(114,863	)
Arconic, Inc.		(21,556	)		(366,668	)
Arista Networks, Inc. *		(1,860	)		(478,931	)
Ashland Global Holdings, Inc.		(3,504	)		(273,943	)
Aspen Insurance Holdings Ltd.		(18,043	)		(734,350	)
Atlassian Corp. plc, Class A *		(6,370	)		(398,252	)
Autodesk, Inc. *		(3,853	)		(505,090	)
Avis Budget Group, Inc. *		(3,234	)		(105,105	)
Axalta Coating Systems Ltd. *		(19,079	)		(578,284	)
Axis Capital Holdings Ltd.		(7,531	)		(418,874	)
Baker Hughes a GE Co.		(17,870	)		(590,246	)
Ball Corp.		(18,471	)		(656,644	)
BancorpSouth Bank		(832	)		(27,414	)
Bank of the Ozarks		(7,391	)		(332,891	)
Belden, Inc.		(2,606	)		(159,279	)
Bemis Co., Inc.		(1,106	)		(46,684	)
Berry Global Group, Inc. *		(2,524	)		(115,953	)
BGC Partners, Inc., Class A		(15,944	)		(180,486	)
BioMarin Pharmaceutical, Inc. *		(10,999	)		(1,036,106	)
Black Hills Corp.		(3,891	)		(238,168	)
Black Knight, Inc. *		(376	)		(20,135	)
BorgWarner, Inc.		(494	)		(21,321	)
Brighthouse Financial, Inc. *		(13,114	)		(525,478	)
Brink’s Co. (The)		(3,170	)		(252,808	)
Brookdale Senior Living, Inc. *		(65,942	)		(599,413	)
Cable One, Inc.		(44	)		(32,265	)
Cabot Oil & Gas Corp.		(26,016	)		(619,181	)
Campbell Soup Co.		(5,889	)		(238,740	)
CarMax, Inc. *		(1,182	)		(86,132	)
Carpenter Technology Corp.		(2,189	)		(115,076	)
Catalent, Inc. *		(492	)		(20,610	)
Cathay General Bancorp		(512	)		(20,731	)
Cboe Global Markets, Inc.		(7,024	)		(730,988	)
Centennial Resource Development, Inc., Class A *		(9,889	)		(178,595	)
CenterPoint Energy, Inc.		(7,105	)		(196,880	)
CenturyLink, Inc.		(58,381	)		(1,088,222	)
CF Industries Holdings, Inc.		(10,844	)		(481,474	)
Charles Schwab Corp. (The)		(2,422	)		(123,764	)
Charter Communications, Inc., Class A *		(5,824	)		(1,707,654	)
Chemical Financial Corp.		(4,557	)		(253,688	)
Chemours Co. (The)		(3,654	)		(162,091	)
Cheniere Energy, Inc. *		(11,382	)		(741,993	)
Chevron Corp.		(548	)		(69,284	)
Cincinnati Financial Corp.		(744	)		(49,744	)
CIT Group, Inc.		(937	)		(47,234	)
Citigroup, Inc.		(13,636	)		(912,521	)
Citizens Financial Group, Inc.		(13,741	)		(534,525	)
Clean Harbors, Inc. *		(3,476	)		(193,092	)
Coca-Cola Co. (The)		(10,558	)		(463,074	)
Cognex Corp.		(10,567	)		(471,394	)
Colfax Corp. *		(11,083	)		(339,694	)
Colgate-Palmolive Co.		(3,717	)		(240,899	)
Comerica, Inc.		(288	)		(26,185	)
Commercial Metals Co.		(2,127	)		(44,901	)
CommScope Holding Co., Inc. *		(3,905	)		(114,046	)
CommVault Systems, Inc. *		(1,832	)		(120,637	)

INVESTMENTS	SHARES			VALUE
United States - (55.4)% (continued)
Compass Minerals International, Inc.		(601	)	$	(39,516	)
Concho Resources, Inc. *		(3,240	)		(448,254	)
Corning, Inc.		(999	)		(27,482	)
CoStar Group, Inc. *		(122	)		(50,341	)
Coty, Inc., Class A		(5,079	)		(71,614	)
Cree, Inc. *		(4,570	)		(189,975	)
Crown Holdings, Inc. *		(28,667	)		(1,283,135	)
Cullen/Frost Bankers, Inc.		(1,465	)		(158,572	)
Cypress Semiconductor Corp.		(19,189	)		(298,965	)
DaVita, Inc. *		(3,021	)		(209,778	)
Dell Technologies, Inc., Class V *		(795	)		(67,241	)
Delta Air Lines, Inc.		(12,245	)		(606,617	)
DENTSPLY SIRONA, Inc.		(10,861	)		(475,386	)
Devon Energy Corp.		(6,065	)		(266,617	)
Discovery, Inc., Class A *		(4,839	)		(133,073	)
DISH Network Corp., Class A *		(8,092	)		(271,972	)
Dollar Tree, Inc. *		(6,305	)		(535,925	)
Dominion Energy, Inc.		(15,105	)		(1,029,859	)
Domtar Corp.		(4,810	)		(229,629	)
Dover Corp.		(2,825	)		(206,790	)
DowDuPont, Inc.		(6,188	)		(407,913	)
Dril-Quip, Inc. *		(3,716	)		(191,002	)
Dycom Industries, Inc. *		(1,782	)		(168,417	)
Eagle Materials, Inc.		(359	)		(37,684	)
Edgewell Personal Care Co. *		(931	)		(46,978	)
Endo International plc *		(19,844	)		(187,129	)
Energizer Holdings, Inc.		(1,016	)		(63,967	)
Ensco plc, Class A		(17,550	)		(127,413	)
Entergy Corp.		(1,231	)		(99,452	)
EQT Corp.		(20,829	)		(1,149,344	)
Evergy, Inc.		(1,213	)		(68,110	)
Eversource Energy		(1,724	)		(101,044	)
Extraction Oil & Gas, Inc. *		(30,089	)		(442,007	)
Exxon Mobil Corp.		(4,546	)		(376,091	)
Fastenal Co.		(5,363	)		(258,121	)
FireEye, Inc. *		(69,914	)		(1,075,976	)
First Data Corp., Class A *		(7,477	)		(156,494	)
First Hawaiian, Inc.		(2,112	)		(61,290	)
First Horizon National Corp.		(22,501	)		(401,418	)
First Republic Bank		(241	)		(23,326	)
FirstEnergy Corp.		(46,047	)		(1,653,547	)
Five Below, Inc. *		(2,005	)		(195,909	)
Floor & Decor Holdings, Inc., Class A *		(9,567	)		(471,940	)
Flowserve Corp.		(16,776	)		(677,750	)
Fluor Corp.		(8,746	)		(426,630	)
FMC Corp.		(5,000	)		(446,050	)
FNB Corp.		(31,734	)		(425,870	)
Freeport-McMoRan, Inc.		(29,981	)		(517,472	)
Fulton Financial Corp.		(3,089	)		(50,969	)
Gardner Denver Holdings, Inc. *		(3,148	)		(92,520	)
Gartner, Inc. *		(5,798	)		(770,554	)
GCI Liberty, Inc., Class A *		(7,071	)		(318,761	)
General Electric Co.		(98,640	)		(1,342,490	)
Genesee & Wyoming, Inc., Class A *		(3,682	)		(299,420	)
Genuine Parts Co.		(3,357	)		(308,139	)
Global Payments, Inc.		(5,024	)		(560,126	)
Granite Construction, Inc.		(2,314	)		(128,797	)
Graphic Packaging Holding Co.		(58,877	)		(854,305	)

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

AQR Funds Semi-Annual Report June 2018

12

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (55.4)% (continued)
Hain Celestial Group, Inc. (The) *		(28,410	)	$	(846,618	)
Halliburton Co.		(570	)		(25,684	)
Hancock Whitney Corp.		(3,611	)		(168,453	)
Harley-Davidson, Inc.		(8,908	)		(374,849	)
Healthcare Services Group, Inc.		(11,099	)		(479,366	)
Hershey Co. (The)		(1,077	)		(100,226	)
Home BancShares, Inc.		(9,849	)		(222,193	)
Home Depot, Inc. (The)		(377	)		(73,553	)
Howard Hughes Corp. (The) *		(3,595	)		(476,338	)
Huntington Bancshares, Inc.		(20,561	)		(303,480	)
IHS Markit Ltd. *		(4,622	)		(238,449	)
Incyte Corp. *		(11,789	)		(789,863	)
International Game Technology plc		(52,670	)		(1,224,051	)
International Paper Co.		(3,130	)		(163,010	)
Ionis Pharmaceuticals, Inc. *		(15,364	)		(640,218	)
Jack in the Box, Inc.		(388	)		(33,027	)
Jefferies Financial Services, Inc.		(13,752	)		(312,720	)
Kansas City Southern		(630	)		(66,755	)
KBR, Inc.		(1,367	)		(24,497	)
Kellogg Co.		(706	)		(49,328	)
Kemper Corp.		(1,112	)		(84,123	)
Kennametal, Inc.		(6,541	)		(234,822	)
KeyCorp		(20,979	)		(409,930	)
Kinder Morgan, Inc.		(91,881	)		(1,623,536	)
Kraft Heinz Co. (The)		(23,584	)		(1,481,547	)
L Brands, Inc.		(15,939	)		(587,830	)
Lancaster Colony Corp.		(208	)		(28,791	)
Leggett & Platt, Inc.		(1,959	)		(87,450	)
Lennox International, Inc.		(1,434	)		(287,015	)
Liberty Broadband Corp., Class C *		(10,415	)		(788,624	)
Liberty Expedia Holdings, Inc., Class A *		(3,998	)		(175,672	)
Liberty Media Corp.-Liberty SiriusXM, Class C *		(764	)		(34,655	)
Lincoln Electric Holdings, Inc.		(1,303	)		(114,351	)
Lions Gate Entertainment Corp., Class A		(12,683	)		(314,792	)
Live Nation Entertainment, Inc. *		(6,531	)		(317,211	)
LKQ Corp. *		(17,007	)		(542,523	)
Loews Corp.		(3,692	)		(178,250	)
Lowe’s Cos., Inc.		(2,619	)		(250,298	)
M&T Bank Corp.		(112	)		(19,057	)
Macquarie Infrastructure Corp.		(26,069	)		(1,100,112	)
Madison Square Garden Co. (The), Class A *		(535	)		(165,952	)
Marathon Oil Corp.		(8,343	)		(174,035	)
Markel Corp. *		(23	)		(24,940	)
Martin Marietta Materials, Inc.		(6,281	)		(1,402,736	)
Masco Corp.		(2,568	)		(96,095	)
Matador Resources Co. *		(7,540	)		(226,577	)
Mattel, Inc.		(70,629	)		(1,159,728	)
MB Financial, Inc.		(254	)		(11,862	)
McCormick & Co., Inc. (Non-Voting)		(409	)		(47,481	)
MDU Resources Group, Inc.		(11,928	)		(342,095	)
Medidata Solutions, Inc. *		(7,482	)		(602,750	)
Mercury General Corp.		(4,102	)		(186,887	)
MetLife, Inc.		(3,218	)		(140,305	)
Middleby Corp. (The) *		(1,804	)		(188,374	)
Minerals Technologies, Inc.		(314	)		(23,660	)

INVESTMENTS	SHARES			VALUE
United States - (55.4)% (continued)
Mohawk Industries, Inc. *		(92	)	$	(19,713	)
Mondelez International, Inc., Class A		(3,928	)		(161,048	)
Monster Beverage Corp. *		(23,825	)		(1,365,173	)
Mosaic Co. (The)		(16,242	)		(455,588	)
MSA Safety, Inc.		(365	)		(35,164	)
Murphy Oil Corp.		(3,245	)		(109,584	)
Nabors Industries Ltd.		(247,561	)		(1,586,866	)
National Fuel Gas Co.		(5,380	)		(284,925	)
National Oilwell Varco, Inc.		(1,489	)		(64,623	)
NCR Corp. *		(1,145	)		(34,327	)
Nektar Therapeutics *		(19,704	)		(962,146	)
NetScout Systems, Inc. *		(1,566	)		(46,510	)
Neurocrine Biosciences, Inc. *		(3,463	)		(340,205	)
Newell Brands, Inc.		(26,907	)		(693,932	)
Newfield Exploration Co. *		(2,323	)		(70,271	)
Newmont Mining Corp.		(10,770	)		(406,137	)
News Corp., Class A		(12,882	)		(199,671	)
NiSource, Inc.		(9,290	)		(244,141	)
Noble Energy, Inc.		(13,975	)		(493,038	)
Nordstrom, Inc.		(2,420	)		(125,308	)
NOW, Inc. *		(12,644	)		(168,545	)
Nuance Communications, Inc. *		(5,518	)		(76,617	)
Nucor Corp.		(3,329	)		(208,063	)
NuVasive, Inc. *		(716	)		(37,318	)
Oasis Petroleum, Inc. *		(8,091	)		(104,940	)
Olin Corp.		(1,337	)		(38,399	)
ONEOK, Inc.		(10,570	)		(738,103	)
OPKO Health, Inc. *		(5,125	)		(24,088	)
O’Reilly Automotive, Inc. *		(76	)		(20,791	)
Packaging Corp. of America		(688	)		(76,912	)
PacWest Bancorp		(4,034	)		(199,360	)
Palo Alto Networks, Inc. *		(758	)		(155,746	)
Pandora Media, Inc. *		(17,915	)		(141,170	)
Papa John’s International, Inc.		(383	)		(19,426	)
Parsley Energy, Inc., Class A *		(8,087	)		(244,874	)
Patterson Cos., Inc.		(1,008	)		(22,851	)
Paychex, Inc.		(307	)		(20,983	)
People’s United Financial, Inc.		(2,067	)		(37,392	)
Perrigo Co. plc		(494	)		(36,018	)
Philip Morris International, Inc.		(21,422	)		(1,729,611	)
Pinnacle Financial Partners, Inc.		(2,416	)		(148,222	)
Pinnacle Foods, Inc.		(833	)		(54,195	)
Pitney Bowes, Inc.		(3,418	)		(29,292	)
Platform Specialty Products Corp. *		(18,876	)		(218,962	)
Pool Corp.		(1,510	)		(228,765	)
Post Holdings, Inc. *		(3,086	)		(265,458	)
PPL Corp.		(1,596	)		(45,566	)
Premier, Inc., Class A *		(14,983	)		(545,082	)
ProAssurance Corp.		(7,955	)		(282,005	)
Prosperity Bancshares, Inc.		(4,013	)		(274,329	)
QEP Resources, Inc. *		(11,110	)		(136,209	)
QIAGEN NV (2)*		(6,405	)		(232,176	)
QUALCOMM, Inc.		(6,032	)		(338,516	)
Regions Financial Corp.		(8,590	)		(152,730	)
RenaissanceRe Holdings Ltd.		(503	)		(60,521	)
Rockwell Automation, Inc.		(519	)		(86,273	)
Rowan Cos. plc, Class A *		(22,949	)		(372,233	)
Royal Gold, Inc.		(7,523	)		(698,435	)

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

AQR Funds Semi-Annual Report June 2018

13

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (55.4)% (continued)
RPM International, Inc.		(805	)	$	(46,948	)
Schlumberger Ltd.		(13,195	)		(884,461	)
Scientific Games Corp. *		(5,647	)		(277,550	)
Sealed Air Corp.		(22,801	)		(967,902	)
Seattle Genetics, Inc. *		(15,078	)		(1,001,028	)
Sempra Energy		(12,204	)		(1,417,006	)
ServiceNow, Inc. *		(4,137	)		(713,508	)
Sherwin-Williams Co. (The)		(159	)		(64,804	)
Signature Bank *		(882	)		(112,790	)
Six Flags Entertainment Corp.		(880	)		(61,644	)
SLM Corp. *		(8,192	)		(93,798	)
Sotheby’s *		(4,780	)		(259,745	)
Southern Co. (The)		(3,176	)		(147,081	)
Southwest Airlines Co.		(32,611	)		(1,659,247	)
Southwest Gas Holdings, Inc.		(4,112	)		(313,622	)
Spirit Airlines, Inc. *		(20,051	)		(728,854	)
Splunk, Inc. *		(3,415	)		(338,461	)
Square, Inc., Class A *		(21,080	)		(1,299,371	)
Stericycle, Inc. *		(3,324	)		(217,024	)
Sterling Bancorp		(13,376	)		(314,336	)
Superior Energy Services, Inc. *		(28,328	)		(275,915	)
Syneos Health, Inc. *		(20,077	)		(941,611	)
Synovus Financial Corp.		(847	)		(44,747	)
Tableau Software, Inc., Class A *		(2,187	)		(213,779	)
Take-Two Interactive Software, Inc. *		(592	)		(70,069	)
Targa Resources Corp.		(45,387	)		(2,246,202	)
TCF Financial Corp.		(3,809	)		(93,778	)
Telephone & Data Systems, Inc.		(5,945	)		(163,012	)
Tempur Sealy International, Inc. *		(10,766	)		(517,306	)
Teradata Corp. *		(1,719	)		(69,018	)
Terex Corp.		(976	)		(41,177	)
Tesla, Inc. *		(8,654	)		(2,967,888	)
Texas Capital Bancshares, Inc. *		(2,467	)		(225,731	)
Thor Industries, Inc.		(979	)		(95,345	)
T-Mobile US, Inc. *		(3,828	)		(228,723	)
Transocean Ltd. *		(15,161	)		(203,764	)
TreeHouse Foods, Inc. *		(10,941	)		(574,512	)
Trimble, Inc. *		(2,572	)		(84,464	)
Trinity Industries, Inc.		(658	)		(22,543	)
Trustmark Corp.		(2,256	)		(73,613	)
Tupperware Brands Corp.		(5,005	)		(206,406	)
Twitter, Inc. *		(430	)		(18,778	)
Ulta Beauty, Inc. *		(2,237	)		(522,250	)
Under Armour, Inc., Class A *		(29,544	)		(664,149	)
United Bankshares, Inc.		(14,325	)		(521,430	)
United Continental Holdings, Inc. *		(4,704	)		(328,010	)
Univar, Inc. *		(15,324	)		(402,102	)
Universal Display Corp.		(7,510	)		(645,860	)
Valley National Bancorp		(10,253	)		(124,676	)
Valmont Industries, Inc.		(271	)		(40,853	)
Valvoline, Inc.		(13,349	)		(287,938	)
Veeva Systems, Inc., Class A *		(11,406	)		(876,665	)
ViaSat, Inc. *		(2,661	)		(174,881	)
Voya Financial, Inc.		(424	)		(19,928	)
Vulcan Materials Co.		(10,464	)		(1,350,484	)
Waste Connections, Inc.		(671	)		(50,513	)
Wayfair, Inc., Class A *		(1,519	)		(180,396	)
Weatherford International plc *		(87,061	)		(286,431	)

INVESTMENTS	SHARES			VALUE
United States - (55.4)% (continued)
Webster Financial Corp.		(1,838	)	$	(117,081	)
Welbilt, Inc. *		(7,124	)		(158,936	)
Wells Fargo & Co.		(353	)		(19,570	)
Wendy’s Co. (The)		(8,048	)		(138,265	)
WestRock Co.		(1,854	)		(105,715	)
WEX, Inc. *		(100	)		(19,048	)
Williams Cos., Inc. (The)		(42,715	)		(1,158,004	)
Willis Towers Watson plc		(2,448	)		(371,117	)
Workday, Inc., Class A *		(9,119	)		(1,104,493	)
World Fuel Services Corp.		(11,816	)		(241,165	)
Worldpay, Inc. *		(1,847	)		(151,048	)
WPX Energy, Inc. *		(31,593	)		(569,622	)
WR Grace & Co.		(4,209	)		(308,562	)
Zayo Group Holdings, Inc. *		(44,311	)		(1,616,464	)
Zions Bancorp		(4,032	)		(212,446	)
Zynga, Inc., Class A *		(13,534	)		(55,083	)
					(122,055,646	)
Zambia - (0.3)%
First Quantum Minerals Ltd.		(42,250	)		(622,510	)
TOTAL COMMON STOCKS (Proceeds $(190,658,442))					(187,008,182	)
TOTAL SHORT POSITIONS (Proceeds $(190,658,442))					(187,008,182	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 91.1% (Cost $194,135,055)					200,506,729
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.9% (f)					19,727,984
NET ASSETS - 100.0%				$	220,234,713

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	14,084,186			6.4	%
Consumer Staples		22,357			0.0	(b)
Energy		(5,327,657	)		(2.4	)
Financials		5,519,537			2.5
Health Care		5,230,876			2.4
Industrials		2,196,429			1.0
Information Technology		16,401,447			7.4
Materials		(7,555,344	)		(3.4	)
Real Estate		(929,198	)		(0.4	)
Telecommunication Services		(7,356,876	)		(3.3	)
Utilities		9,589,045			4.3
Short-Term Investments		168,631,927			76.6
Total Investments In Securities At Value		200,506,729			91.1
Other Assets in Excess of Liabilities (f)		19,727,984			8.9
Net Assets	$	220,234,713			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 $139,245,763. In addition, $9,861,136 of cash collateral was pledged.

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

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AQR ALTERNATIVE RISK PREMIA FUND

(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 June 30, 2018 amounted to $743,897, which represents approximately 0.34% of net assets of the fund.

(d) Represents 7-day effective yield as of June 30, 2018.

(e) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $(105), which represents approximately (0.00)% of net assets of the fund.

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

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

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

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

Abbreviations

CHESS - Clearing House Electronic Subregister System Depository Interest

OYJ - Public Traded Company

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

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Written Call Options Contracts as of June 30, 2018:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS		NOTIONAL AMOUNT			EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		5	EUR	(169,780	)	EUR	3,400.00		7/20/2018		$(2,727	)
EURO STOXX 50 Index	JPMS		15	EUR	(509,340	)	EUR	3,400.00		8/17/2018		(11,964	)
EURO STOXX 50 Index	JPMS		1	EUR	(33,956	)	EUR	3,425.00		7/20/2018		(390	)
Euro-Bund	JPMS		9	EUR	(900,000	)	EUR	162.00		7/27/2018		(10,615	)
Euro-Bund	JPMS		18	EUR	(1,800,000	)	EUR	163.00		7/27/2018		(10,720	)
Nikkei 225 Index	JPMS		1	JPY	(22,304,510	)	JPY	22,250.00		8/10/2018		(4,426	)
S&P 500 Index	JPMS		3	USD	(815,511	)	USD	2,700.00		7/20/2018		(13,920	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,700.00		8/17/2018		(12,600	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,730.00		8/17/2018		(8,600	)
S&P 500 Index	JPMS		3	USD	(815,511	)	USD	2,755.00		8/17/2018		(8,790	)
U.S. Treasury 10 Year Note	JPMS		17	USD	(1,700,000	)	USD	120.50		7/27/2018		(5,578	)
U.S. Treasury 10 Year Note	JPMS		34	USD	(3,400,000	)	USD	121.00		7/27/2018		(6,375	)
U.S. Treasury 10 Year Note	JPMS		35	USD	(3,500,000	)	USD	121.50		7/27/2018		(3,828	)
												$(100,533	)

Written Put Options Contracts as of June 30, 2018:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS		NOTIONAL AMOUNT			EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		15	EUR	(509,340	)	EUR	3,225.00		8/17/2018		$(5,097	)
EURO STOXX 50 Index	JPMS		6	EUR	(203,736	)	EUR	3,275.00		7/20/2018		(1,163	)
EURO STOXX 50 Index	JPMS		15	EUR	(509,340	)	EUR	3,275.00		8/17/2018		(6,691	)
EURO STOXX 50 Index	JPMS		15	EUR	(509,340	)	EUR	3,300.00		8/17/2018		(7,655	)
EURO STOXX 50 Index	JPMS		9	EUR	(305,604	)	EUR	3,325.00		7/20/2018		(2,680	)
EURO STOXX 50 Index	JPMS		20	EUR	(679,120	)	EUR	3,350.00		7/20/2018		(7,381	)
EURO STOXX 50 Index	JPMS		16	EUR	(543,296	)	EUR	3,350.00		8/17/2018		(10,744	)
EURO STOXX 50 Index	JPMS		22	EUR	(747,032	)	EUR	3,375.00		7/20/2018		(10,097	)
EURO STOXX 50 Index	JPMS		14	EUR	(475,384	)	EUR	3,425.00		7/20/2018		(9,891	)
Euro-Bund	JPMS		20	EUR	(2,000,000	)	EUR	160.00		7/27/2018		(1,868	)
Euro-Bund	JPMS		19	EUR	(1,900,000	)	EUR	161.00		7/27/2018		(4,438	)
Euro-Bund	JPMS		9	EUR	(900,000	)	EUR	162.00		7/27/2018		(4,835	)
FTSE 100 Index	JPMS		3	GBP	(229,108	)	GBP	7,300.00		7/20/2018		(713	)
FTSE 100 Index	JPMS		1	GBP	(76,369	)	GBP	7,350.00		7/20/2018		(284	)

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

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AQR ALTERNATIVE RISK PREMIA FUND

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS		NOTIONAL AMOUNT			EXERCISE PRICE		EXPIRATION DATE		VALUE
FTSE 100 Index	JPMS		2	GBP	(152,739	)	GBP	7,375.00		7/20/2018		$ (620	)
Nikkei 225 Index	JPMS		2	JPY	(44,609,020	)	JPY	21,125.00		8/10/2018		(3,252	)
Nikkei 225 Index	JPMS		1	JPY	(22,304,510	)	JPY	21,250.00		8/10/2018		(1,806	)
Nikkei 225 Index	JPMS		2	JPY	(44,609,020	)	JPY	21,375.00		8/10/2018		(3,884	)
Nikkei 225 Index	JPMS		1	JPY	(22,304,510	)	JPY	21,500.00		7/13/2018		(903	)
Nikkei 225 Index	JPMS		2	JPY	(44,609,020	)	JPY	21,625.00		8/10/2018		(4,606	)
Nikkei 225 Index	JPMS		2	JPY	(44,609,020	)	JPY	21,750.00		7/13/2018		(2,348	)
Nikkei 225 Index	JPMS		3	JPY	(66,913,530	)	JPY	21,875.00		7/13/2018		(4,064	)
Nikkei 225 Index	JPMS		2	JPY	(44,609,020	)	JPY	22,000.00		8/10/2018		(6,323	)
Nikkei 225 Index	JPMS		3	JPY	(66,913,530	)	JPY	22,125.00		7/13/2018		(5,690	)
Nikkei 225 Index	JPMS		1	JPY	(22,304,510	)	JPY	22,375.00		7/13/2018		(2,890	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,565.00		8/17/2018		(3,026	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,595.00		8/17/2018		(4,210	)
S&P 500 Index	JPMS		4	USD	(1,087,348	)	USD	2,605.00		7/20/2018		(3,400	)
S&P 500 Index	JPMS		3	USD	(815,511	)	USD	2,610.00		8/17/2018		(6,360	)
S&P 500 Index	JPMS		8	USD	(2,174,696	)	USD	2,625.00		8/17/2018		(19,600	)
S&P 500 Index	JPMS		4	USD	(1,087,348	)	USD	2,630.00		7/20/2018		(4,400	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,630.00		8/17/2018		(4,690	)
S&P 500 Index	JPMS		3	USD	(815,511	)	USD	2,640.00		8/17/2018		(8,115	)
S&P 500 Index	JPMS		1	USD	(271,837	)	USD	2,645.00		7/20/2018		(1,080	)
S&P 500 Index	JPMS		8	USD	(2,174,696	)	USD	2,650.00		7/20/2018		(11,600	)
S&P 500 Index	JPMS		4	USD	(1,087,348	)	USD	2,655.00		8/17/2018		(12,200	)
S&P 500 Index	JPMS		10	USD	(2,718,370	)	USD	2,660.00		7/20/2018		(14,730	)
S&P 500 Index	JPMS		9	USD	(2,446,533	)	USD	2,660.00		8/17/2018		(27,765	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,665.00		8/17/2018		(5,250	)
S&P 500 Index	JPMS		3	USD	(815,511	)	USD	2,670.00		7/20/2018		(5,220	)
S&P 500 Index	JPMS		3	USD	(815,511	)	USD	2,670.00		8/17/2018		(10,074	)
S&P 500 Index	JPMS		4	USD	(1,087,348	)	USD	2,675.00		7/20/2018		(7,400	)
S&P 500 Index	JPMS		1	USD	(271,837	)	USD	2,675.00		8/17/2018		(3,355	)
S&P 500 Index	JPMS		4	USD	(1,087,348	)	USD	2,685.00		8/17/2018		(13,480	)
S&P 500 Index	JPMS		19	USD	(5,164,903	)	USD	2,690.00		7/20/2018		(37,431	)
S&P 500 Index	JPMS		8	USD	(2,174,696	)	USD	2,690.00		8/17/2018		(30,544	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,700.00		8/17/2018		(8,304	)
S&P 500 Index	JPMS		9	USD	(2,446,533	)	USD	2,710.00		7/20/2018		(25,497	)
S&P 500 Index	JPMS		1	USD	(271,837	)	USD	2,710.00		8/17/2018		(4,185	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,715.00		8/17/2018		(7,800	)
S&P 500 Index	JPMS		9	USD	(2,446,533	)	USD	2,720.00		8/17/2018		(42,391	)
S&P 500 Index	JPMS		1	USD	(271,837	)	USD	2,730.00		8/17/2018		(5,171	)
S&P 500 Index	JPMS		1	USD	(271,837	)	USD	2,740.00		8/17/2018		(5,590	)
S&P 500 Index	JPMS		2	USD	(543,674	)	USD	2,745.00		8/17/2018		(9,922	)
U.S. Treasury 10 Year Note	JPMS		34	USD	(3,400,000	)	USD	119.50		7/27/2018		(6,375	)
U.S. Treasury 10 Year Note	JPMS		33	USD	(3,300,000	)	USD	120.00		7/27/2018		(11,859	)
U.S. Treasury 10 Year Note	JPMS		17	USD	(1,700,000	)	USD	120.50		7/27/2018		(10,891	)
												(481,838	)
Total Written Options Contracts (Premiums Received ($721,439))												$(582,371	)

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

Total return swap contracts outstanding as of June 30, 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)
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2018	HKD	7,181,500			$16,134
MSCI Australia Net Return Index	Decreases in total return of reference entity and pays the Australian Bank- Bill Swap Reference Rate (“BBR”) plus or minus a specified spread (0.08%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	AUD	11,298			258
MSCI France Net Return Index	Decreases in total return of reference entity and pays the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specified spread (0.01%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	EUR	234			1
MSCI Italy Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.09%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	EUR	1,924,052			16,481
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 (-0.09%)	Increases in total return of reference entity	Monthly	BANA		09/25/2018	JPY	1,965			—
MSCI Netherlands Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.01%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	EUR	777,808			6,683
MSCI Spain 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 (-0.63%)	Monthly	BANA		09/19/2018	EUR	(322,514	)		8,339

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

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 (-0.04%)

Monthly

BANA

09/19/2018

SEK

(39,410,292

)

$ 19,938

MSCI Switzerland Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread (-0.03%)

Monthly

BANA

09/19/2018

CHF

(410,144

)

902

MSCI United Kingdom Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.07%)

Increases in total return of reference entity

Monthly

BANA

09/21/2018

GBP

11,818

88

MSCI United Kingdom Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.07%)

Increases in total return of reference entity

Monthly

BANA

09/21/2018

GBP

11,839

60

Swiss Market Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MSCS

09/21/2018

CHF

(13,119,750

)

11,963

80,847

MSCI Australia Net Return Index

Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (0.08%)

Increases in total return of reference entity

Monthly

BANA

09/21/2018

AUD

5,838

(8

)

MSCI Canada Net Return Index

Decreases in total return of reference entity and pays the Canadian Bankers’ Acceptance (“BA”) plus or minus a specified spread (-0.53%)

Increases in total return of reference entity

Monthly

BANA

09/24/2018

CAD

6,593

(46

)

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
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 (0.45%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	HKD	67,719,562		$ (469,183	)
MSCI Italy Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.09%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	EUR	904,730		(9,881	)
MSCI Japan Net Return Index	Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (-0.09%)	Increases in total return of reference entity	Monthly	BANA		09/25/2018	JPY	1,066,829,849		(304,991	)
MSCI Netherlands Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.01%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	EUR	906,641		(17,624	)
MSCI Netherlands Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.01%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	EUR	457,782		(12,240	)
MSCI Netherlands Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.01%)	Increases in total return of reference entity	Monthly	BANA		09/21/2018	EUR	234		(4	)
										(813,977	)
										$(733,130	)

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		45			7/2018	EUR		$5,797,426			$(104,851	)
Hang Seng Index		20			7/2018	HKD		3,661,415			8,820
EURO STOXX 50 Index		58			9/2018	EUR		2,296,806			(33,954	)
Euro-Bobl		225			9/2018	EUR		34,728,328			63,410
Euro-Bund		387			9/2018	EUR		73,462,621			486,702
Euro-Buxl		29			9/2018	EUR		6,018,024			92,200
Euro-OAT		46			9/2018	EUR		8,301,703			70,505
Euro-Schatz		136			9/2018	EUR		17,801,429			1,839
FTSE 100 Index		79			9/2018	GBP		7,925,343			(45,967	)
FTSE/MIB Index		2			9/2018	EUR		251,871			(2,428	)
Japan 10 Year Bond		24			9/2018	JPY		32,698,008			14,750
NASDAQ 100 Emini Index		36			9/2018	USD		5,088,060			(76,660	)
Nikkei 225 Index		9			9/2018	JPY		1,811,950			(12,705	)
Russell 2000 E-Mini Index		65			9/2018	USD		5,354,375			(95,472	)
S&P Midcap 400 E-Mini Index		2			9/2018	USD		391,220			(10,295	)
S&P/TSX 60 Index		21			9/2018	CAD		3,077,519			(1,206	)
SPI 200 Index		118			9/2018	AUD		13,421,990			62,187
TOPIX Index		121			9/2018	JPY		18,912,568			(391,486	)
U.S. Treasury 10 Year Note		18			9/2018	USD		2,163,375			628
											26,017
Short Contracts
IBEX 35 Index		(46	)		7/2018	EUR		(5,157,972	)		80,343
OMXS30 Index		(222	)		7/2018	SEK		(3,869,060	)		(10,718	)
Australia 10 Year Bond		(10	)		9/2018	AUD		(957,341	)		1,011
Canada 10 Year Bond		(149	)		9/2018	CAD		(15,494,459	)		(209,399	)
DAX Index		(35	)		9/2018	EUR		(12,577,133	)		302,234
Euro-BTP		(32	)		9/2018	EUR		(4,754,908	)		(73,708	)
Long Gilt		(271	)		9/2018	GBP		(44,012,683	)		(521,322	)
MSCI EAFE E-Mini Index		(1	)		9/2018	USD		(97,770	)		161
S&P 500 E-Mini Index		(167	)		9/2018	USD		(22,725,360	)		247,100
U.S. Treasury 2 Year Note		(58	)		9/2018	USD		(12,286,031	)		2,529
U.S. Treasury 5 Year Note		(313	)		9/2018	USD		(35,562,180	)		(156,667	)
U.S. Treasury Long Bond		(45	)		9/2018	USD		(6,525,000	)		(102,696	)
											(441,132	)
											$(415,115	)

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	280,000	USD	206,048	CITI		9/19/2018		$1,216
AUD	420,000	USD	309,073	JPMC		9/19/2018		1,823
CAD	2,096,400	USD	1,578,428	CITI		9/19/2018		18,377
CAD	3,144,600	USD	2,367,645	JPMC		9/19/2018		27,562

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

AQR Funds Semi-Annual Report June 2018

20

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CHF	1,844,000	USD	1,870,244	CITI		9/19/2018		$ 4,686
CHF	2,766,000	USD	2,805,369	JPMC		9/19/2018		7,026
DKK	280,800	USD	43,914	CITI		9/19/2018		378
DKK	421,200	USD	65,871	JPMC		9/19/2018		567
EUR	7,462,300	USD	8,699,788	CITI		9/19/2018		67,183
EUR	11,193,447	USD	13,049,594	JPMC		9/19/2018		100,859
GBP	1,197,200	USD	1,572,510	CITI		9/19/2018		13,106
GBP	1,795,800	USD	2,358,768	JPMC		9/19/2018		19,656
HKD	940,000	USD	119,944	CITI		9/19/2018		29
HKD	1,410,000	USD	179,916	JPMC		9/19/2018		43
NOK	413,200	USD	50,663	CITI		9/19/2018		233
NOK	619,800	USD	75,994	JPMC		9/19/2018		349
USD	1,904,221	AUD	2,535,200	CITI		9/19/2018		27,595
USD	2,856,328	AUD	3,802,800	JPMC		9/19/2018		41,389
USD	212,605	CAD	273,200	CITI		9/19/2018		4,512
USD	318,907	CAD	409,800	JPMC		9/19/2018		6,765
USD	15,592,527	CHF	15,250,238	CITI		9/19/2018		86,493
USD	23,388,765	CHF	22,875,360	JPMC		9/19/2018		129,709
USD	4,450	DKK	28,000	CITI		9/19/2018		33
USD	6,675	DKK	42,000	JPMC		9/19/2018		50
USD	12,153,358	EUR	10,272,400	CITI		9/19/2018		84,982
USD	18,240,289	EUR	15,408,600	JPMC		9/19/2018		137,726
USD	469,978	GBP	354,400	CITI		9/19/2018		598
USD	704,966	GBP	531,600	JPMC		9/19/2018		895
USD	3,883,306	JPY	424,030,003	CITI		9/19/2018		32,014
USD	5,824,655	JPY	636,045,005	JPMC		9/19/2018		47,717
USD	3,070,026	NOK	24,785,500	CITI		9/19/2018		17,080
USD	4,604,663	NOK	37,178,250	JPMC		9/19/2018		25,243
USD	6,285,027	NZD	9,100,800	CITI		9/19/2018		120,592
USD	9,427,528	NZD	13,651,200	JPMC		9/19/2018		180,876
USD	3,229,992	SEK	28,142,402	CITI		9/19/2018		68,747
USD	4,844,981	SEK	42,213,598	JPMC		9/19/2018		103,113
USD	898	SGD	1,200	CITI		9/19/2018		15
USD	1,346	SGD	1,800	JPMC		9/19/2018		23
Total unrealized appreciation								1,379,260
AUD	8,789,600	USD	6,666,273	CITI		9/19/2018		(159,967	)
AUD	13,184,400	USD	10,000,168	JPMC		9/19/2018		(240,706	)
CAD	28,572,800	USD	22,116,482	CITI		9/19/2018		(352,893	)
CAD	42,859,200	USD	33,174,764	JPMC		9/19/2018		(529,390	)
CHF	18,800	USD	19,168	CITI		9/19/2018		(53	)
CHF	28,200	USD	28,752	JPMC		9/19/2018		(79	)
DKK	17,200	USD	2,718	CITI		9/19/2018		(5	)
DKK	25,800	USD	4,078	JPMC		9/19/2018		(8	)
EUR	6,111,700	USD	7,219,197	CITI		9/19/2018		(38,959	)
EUR	9,167,553	USD	10,828,812	JPMC		9/19/2018		(58,450	)
GBP	4,127,200	USD	5,543,921	CITI		9/19/2018		(77,705	)
GBP	6,190,800	USD	8,315,891	JPMC		9/19/2018		(116,568	)
HKD	132,800	USD	16,963	CITI		9/19/2018		(13	)
HKD	199,200	USD	25,444	JPMC		9/19/2018		(19	)
JPY	338,452,000	USD	3,099,356	CITI		9/19/2018		(25,334	)
JPY	507,678,000	USD	4,650,880	JPMC		9/19/2018		(39,847	)
NOK	848,000	USD	105,066	CITI		9/19/2018		(615	)
NOK	1,272,000	USD	157,599	JPMC		9/19/2018		(920	)
NZD	2,172,000	USD	1,503,958	CITI		9/19/2018		(32,752	)
NZD	3,258,000	USD	2,255,940	JPMC		9/19/2018		(49,130	)
SEK	1,126,000	USD	130,368	CITI		9/19/2018		(3,884	)

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

AQR Funds Semi-Annual Report June 2018

21

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
SEK	1,689,000	USD	195,553	JPMC		9/19/2018		$ (5,827	)
SGD	13,200	USD	9,855	CITI		9/19/2018		(150	)
SGD	19,800	USD	14,782	JPMC		9/19/2018		(225	)
USD	2,158,039	AUD	2,923,600	CITI		9/19/2018		(6,092	)
USD	3,237,054	AUD	4,385,400	JPMC		9/19/2018		(9,141	)
USD	6,720,836	CAD	8,892,800	CITI		9/19/2018		(52,712	)
USD	10,084,896	CAD	13,339,200	JPMC		9/19/2018		(75,424	)
USD	5,995,293	CHF	5,928,562	CITI		9/19/2018		(32,713	)
USD	8,992,925	CHF	8,892,840	JPMC		9/19/2018		(49,079	)
USD	17,263	DKK	110,400	CITI		9/19/2018		(150	)
USD	25,895	DKK	165,600	JPMC		9/19/2018		(226	)
USD	4,493,912	EUR	3,848,800	CITI		9/19/2018		(27,792	)
USD	6,740,859	EUR	5,773,200	JPMC		9/19/2018		(41,697	)
USD	4,859,257	GBP	3,697,200	CITI		9/19/2018		(37,452	)
USD	7,288,876	GBP	5,545,800	JPMC		9/19/2018		(56,185	)
USD	201,554	JPY	22,248,800	CITI		9/19/2018		(523	)
USD	302,330	JPY	33,373,200	JPMC		9/19/2018		(785	)
USD	1,516,343	NOK	12,386,500	CITI		9/19/2018		(9,362	)
USD	2,274,511	NOK	18,579,750	JPMC		9/19/2018		(14,045	)
USD	3,001,496	SEK	26,910,000	CITI		9/19/2018		(21,314	)
USD	4,502,238	SEK	40,365,000	JPMC		9/19/2018		(31,976	)
USD	586	SGD	800	CITI		9/19/2018		(2	)
USD	879	SGD	1,200	JPMC		9/19/2018		(3	)
Total unrealized depreciation								(2,200,172	)
Net unrealized depreciation								$(820,912	)

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

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 June 2018

22

Schedule of Investments June 30, 2018 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—		$2,790,352		$2,790,352
CITI
Cash		1,280,000		—		1,280,000
GSCO
Cash		—		583,431		583,431
JPMC
Cash		3,040,000		—		3,040,000
JPMS
Cash		—		13,370,763		13,370,763
MLIN
Cash		3,220,000		—		3,220,000
MSCS
Cash		1,768,821		—		1,768,821

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

AQR Funds Semi-Annual Report June 2018

23

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 120.6%
COMMON STOCKS - 36.7%
Aerospace & Defense - 0.0% (a)
KLX, Inc. *		2,968	$	213,399
Automobiles - 0.0% (a)
Tesla, Inc. *		127		43,555
Banks - 0.6%
CoBiz Financial, Inc.		7,346		157,792
First Connecticut Bancorp, Inc.		13,147		402,298
Guaranty Bancorp		5,078		151,324
MB Financial, Inc.		10,161		474,519
Patriot National Bancorp, Inc.		32,947		675,414
State Bank Financial Corp.		23,367		780,458
				2,641,805
Biotechnology - 0.4%
Eidos Therapeutics, Inc. *		1,000		20,340
Foundation Medicine, Inc. *		7,341		1,003,514
Kiniksa Pharmaceuticals Ltd., Class A *		1,000		17,350
MeiraGTx Holdings plc *		1,000		11,460
Shire plc, ADR		3,976		671,149
Surface Oncology, Inc. *		2,600		42,406
Translate Bio, Inc. *		1,000		12,650
				1,778,869
Building Products - 0.3%
USG Corp. *		28,674		1,236,423
Capital Markets - 26.3%
Alignvest Acquisition II Corp., Class A (Canada) *		350,000		2,595,748
Big Rock Partners Acquisition Corp. (2) *		200,000		1,978,000
Bison Capital Acquisition Corp. (China) *		150,000		1,503,000
Black Ridge Acquisition Corp. (2)*		210,000		2,051,700
Cannabis Strategies Acquisition Corp., Class A (Canada) *		250,000		1,892,139
CM Seven Star Acquisition Corp. (Hong Kong) *		250,000		2,462,500
Constellation Alpha Capital Corp. (2)*		349,500		3,477,525
DFB Healthcare Acquisitions Corp. *(b)		399,999		3,859,990
Draper Oakwood Technology Acquisition, Inc., Class A (2)*(b)		150,000		1,497,000
Far Point Acquisition Corp. *		2		20
Far Point Acquisition Corp., Class A *		199,998		1,949,981
Financial Engines, Inc.		12,933		580,692
FinTech Acquisition Corp. II *		150,000		1,507,500
GigCapital, Inc. *		275,000		2,711,500
Gordon Pointe Acquisition Corp. (2)*		122,980		1,195,366
Gordon Pointe Acquisition Corp. (2)*		122,980		1,264,234
GS Acquisition Holdings Corp. (2)*		300,000		3,060,000
Haymaker Acquisition Corp., Class A *		399,960		3,927,607
Hennessy Capital Acquisition Corp. III *		400,000		4,056,000
HL Acquisitions Corp. *		54,000		542,700
I-AM Capital Acquisition Co. *		225,000		2,274,750
Industrea Acquisition Corp., Class A (2)*		400,000		3,944,000
Jensyn Acquisition Corp. (2)*		69,000		728,640
Kayne Anderson Acquisition Corp., Class A (2)*		250,000		2,452,500

INVESTMENTS	SHARES		VALUE
Capital Markets - 26.3% (continued)
Legacy Acquisition Corp., Class A *		500,000	$	4,810,000
Leisure Acquisition Corp. (2)*		450,000		4,347,000
Leo Holdings Corp., Class A (United Kingdom) (2)*		500,000		4,825,000
LF Capital Acquisition Corp. *		240,000		2,416,800
Modern Media Acquisition Corp. *(c)		595,031		5,932,459
MTech Acquisition Corp. *		125,000		1,220,000
Mudrick Capital Acquisition Corp., Class A (2)*		500,000		4,810,000
Nebula Acquisition Corp., Class A (2)*		139,998		1,341,181
New Frontier Corp. (Hong Kong) *		200,000		2,010,000
One Madison Corp., Class A (2)*		250,000		2,422,500
Opes Acquisition Corp. (Mexico) (2)*		250,000		2,427,500
Pensare Acquisition Corp. *		250,000		2,477,500
Platinum Eagle Acquisition Corp. (2)*		159,999		1,555,190
PROMECAP Acquisition Co. SAB de CV (Mexico) (3)*(d)		400,000		3,786,458
Pure Acquisition Corp.*		345,000		3,325,800
Regalwood Global Energy Ltd., Class A *		150,001		1,464,010
Sentinel Energy Services, Inc., Class A (2)*		133,320		1,301,203
Stellar Acquisition III, Inc. (Greece) (2)*(c)		198,700		2,062,506
Thunder Bridge Acquisition Ltd. *		360,000		3,614,400
Tiberius Acquisition Corp. (2)*		235,000		2,246,600
Trinity Merger Corp., Class A (2)*		500,000		4,880,000
Twelve Seas Investment Co. (United Kingdom) *		240,000		2,414,400
Union Acquisition Corp. (2)*		250,000		2,407,500
VectoIQ Acquisition Corp. (2)*		360,000		3,434,400
				123,045,499
Commercial Services & Supplies - 0.0% (a)
BrightView Holdings, Inc. *		1,000		21,950
Communications Equipment - 0.3%
Mitel Networks Corp. *		109,349		1,199,558
Diversified Consumer Services - 0.0% (a)
Education Management Corp. (2)*(b)(c)		8,615,228		25,846
Diversified Financial Services - 0.5%
PNBK Holdings LLC, Class A (3)*(d)		2,090,900		1,692,541
PNBK Holdings LLC, Class B (3)*(d)		3,218		—
Rescap Liquidating Trust *		125,811		786,319
			2,478,860
Diversified Telecommunication Services - 0.5%
AT&T, Inc.		69,601		2,234,888
Electrical Equipment - 0.1%
nVent Electric plc (United Kingdom) *		24,677		619,393
Energy Equipment & Services - 0.3%
Apergy Corp. *		17,544		732,462
Oil States International, Inc. *(b)		24,725		793,672
			1,526,134

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

AQR Funds Semi-Annual Report June 2018

24

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 1.0%
CorePoint Lodging, Inc. *		12,125	$	314,037
DCT Industrial Trust, Inc.		4,330		288,941
Education Realty Trust, Inc.		20,300		842,450
Gramercy Property Trust		25,665		701,168
JBG SMITH Properties		13,274		484,103
LaSalle Hotel Properties		15,030		514,477
Park Hotels & Resorts, Inc.		15,579		477,185
Quality Care Properties, Inc.		35,598		765,713
Spirit MTA REIT *		9,900		101,970
			4,490,044
Food Products - 0.4%
Pinnacle Foods, Inc.		26,294		1,710,688
Health Care Equipment & Supplies - 0.0% (a)
Abaxis, Inc.		2,329		193,330
China Medical Technologies, Inc., ADR (China) (3)*(d)		4,931		—
			193,330
Health Care Providers & Services - 0.8%
Envision Healthcare Corp. *		51,417		2,262,862
Kindred Healthcare, Inc. *		136,743		1,230,687
Rotech Healthcare, Inc. (3)*(d)		16,828		—
			3,493,549
Health Care Technology - 0.3%
athenahealth, Inc. *		2,396		381,300
Cotiviti Holdings, Inc. *		17,486		771,657
			1,152,957
Hotels, Restaurants & Leisure - 0.3%
ILG, Inc.		20,814		687,487
Panera Bread Co., Class A (3)*(d)		10,533		110,424
Wyndham Hotels & Resorts, Inc.		11,027		648,718
Yum China Holdings, Inc. (China) (b)		3,948		151,840
			1,598,469
Household Durables - 0.0% (a)
GoPro, Inc., Class A *(b)		10,956		70,557
Internet & Direct Marketing Retail - 0.2%
Booking Holdings, Inc. *(b)		291		589,883
Expedia Group, Inc. (b)		1,764		212,015
			801,898
Internet Software & Services - 0.5%
Akamai Technologies, Inc. *(b)		7,425		543,733
DocuSign, Inc. *(b)		2,000		105,900
FriendFinder Networks, Inc. (3)*(d)		6,483		1,823
Okta, Inc. *(b)		12,935		651,536
Q2 Holdings, Inc. *(b)		16,547		944,006
Web.com Group, Inc. *		4,526		116,997
Zillow Group, Inc., Class C *		793		46,835
			2,410,830
IT Services - 0.2%
Adyen NV (Netherlands) (2)*(e)		1,000		550,910
Black Knight, Inc. *		4,415		236,423

INVESTMENTS	SHARES		VALUE
IT Services - 0.2% (continued)
Convergys Corp.		6,217	$	151,943
Evo Payments, Inc., Class A *(b)		5,000		102,900
GreenSky, Inc., Class A *		5,000		105,750
			1,147,926
Life Sciences Tools & Services - 0.0% (a)
Illumina, Inc. *(b)		265		74,012
Machinery - 0.1%
Fortive Corp. (b)		3,790		292,247
Pentair plc (United Kingdom)		6,302		265,188
			557,435
Media - 0.0% (a)
China Networks International Holdings Ltd. (3)*(d)		2,287,278		10,499
Discovery, Inc., Class C *		1,024		26,112
			36,611
Metals & Mining - 0.1%
Arizona Mining, Inc. (Canada) *		66,473		311,470
Mortgage Real Estate Investment Trusts (REITs) - 0.2%
CYS Investments, Inc.		51,697		387,727
MTGE Investment Corp.		12,103		237,219
Starwood Property Trust, Inc. (b)		3,850		83,584
			708,530
Multiline Retail - 0.1%
BJ’s Wholesale Club Holdings, Inc. *		10,000		236,500
Multi-Utilities - 0.4%
Vectren Corp.		26,716		1,908,858
Oil, Gas & Consumable Fuels - 1.0%
Amyris, Inc. *(b)		41,195		263,236
Andeavor		21,237		2,785,869
Quicksilver Resources, Inc. (3)*(d)		14,730		197,925
Raging River Exploration, Inc. (Canada) *		10,480		45,439
Vermilion Energy, Inc. (Canada)		38,241		1,379,079
			4,671,548
Pharmaceuticals - 0.0% (a)
Tricida, Inc.*		1,000		29,900
Road & Rail - 0.0%
Jack Cooper Holdings Corp. (Non-Voting), Class B (3)*(d)		2,223		—
Semiconductors & Semiconductor Equipment - 0.5%
NXP Semiconductors NV (Netherlands) *		16,048		1,753,565
Xcerra Corp. *		26,696		372,943
			2,126,508
Software - 1.1%
Avalara, Inc. *		1,000		53,370
Carbon Black, Inc. *		2,000		52,000
Ceridian HCM Holding, Inc. *(b)		1,000		33,190
Domo, Inc., Class B *		5,000		136,500

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

AQR Funds Semi-Annual Report June 2018

25

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Software - 1.1% (continued)
Guidewire Software, Inc. *(b)		2,077	$	184,396
Micro Focus International plc, ADR (United Kingdom)		37,665		650,475
Pivotal Software, Inc., Class A *		5,000		121,350
Proofpoint, Inc. *(b)		29,092		3,354,598
Smartsheet, Inc., Class A *		5,000		129,850
Zendesk, Inc. *(b)		6,754		368,025
Zuora, Inc., Class A*		2,000		54,400
			5,138,154
Specialty Retail - 0.1%
Rent-A-Center, Inc. *		33,764		497,006
Vivo Energy plc (Morocco) (2)*(e)		25,000		48,857
			545,863
Technology Hardware, Storage & Peripherals - 0.0% (a)
Borqs Technologies, Inc. (China) *		10,569		55,487
Western Digital Corp. (b)		1,146		88,712
			144,199
Trading Companies & Distributors - 0.0% (a)
AM Castle & Co. (3)*(b)(d)		8,695		34,272
Water Utilities - 0.0% (a)
Connecticut Water Service, Inc.		1,214		79,299
SJW Group		1,938		128,334
			207,633
Wireless Telecommunication Services - 0.1%
Cleveland Unlimited (3)*(d)		2		277,550
Sprint Corp. *		61,782		336,094
				613,644
TOTAL COMMON STOCKS (Cost $173,691,247)				171,481,564
PREFERRED STOCKS - 0.5%
Banks - 0.1%
First Banks, Inc., Series C (3)*(d)		2,458		671,996
Thrifts & Mortgage Finance - 0.4%
FHLMC, Series V, 5.57%, 8/2/2018 *(b)(f)		83,409		441,234
FHLMC, Series W, 5.66%, 8/2/2018 (2)*(f)		29,460		147,594
FHLMC, Series X, 6.02%, 8/2/2018 (2)*(f)		47,843		253,568
FHLMC, Series Z, 8.38%, 12/31/2022 *(f)(g)		45,876		286,725
FNMA, Series S, 8.25%, 12/31/2020 *(f)(g)		77,876		492,176
			1,621,297
TOTAL PREFERRED STOCKS (Cost $3,488,136)				2,293,293

INVESTMENTS	SHARES		VALUE
CONVERTIBLE PREFERRED STOCKS - 5.8%
Capital Markets - 2.9%
Mandatory Exchangeable Trust (China) $100 par, 5.75%, 6/1/2019 (2)(b)(e)		56,586	$	11,805,600
Virtus Investment Partners, Inc. Series D, $100 par, 7.25%, 2/1/2020 (2)(b)		17,975		1,943,996
			13,749,596
Diversified Financial Services - 0.5%
2017 Mandatory Exchangeable Trust $100 par, 5.19%, 12/1/2020 (2)(b)(e)		18,425		2,388,862
Equity Real Estate Investment Trusts (REITs) - 0.2%
QTS Realty Trust, Inc. Series B, $100 par, 6.50%, 12/31/2049 (2)*(b)(f)		9,525		957,358
Food Products - 1.0%
Bunge Ltd. $100 par, 4.88%, 12/31/2049 (2)(b)(f)		42,625		4,582,537
Gas Utilities - 0.2%
South Jersey Industries, Inc. $50 par, 7.25%, 4/15/2021 (2)(b)		12,425		676,417
Insurance - 0.4%
Assurant, Inc. Series D, $100 par, 6.50%, 3/15/2021 (2)(b)		17,525		1,964,552
Machinery - 0.3%
Fortive Corp. Series A, $1,000 par, 5.00%, 7/1/2021 (2)*		875		882,201
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (2)(b)		4,975		309,144
			1,191,345
Multi-Utilities - 0.1%
Sempra Energy Series A, $100 par, 6.00%, 1/15/2021 (2)(b)		5,500		572,715
Technology Hardware, Storage & Peripherals - 0.2%
NCR Corp. Series A, $1,602.990000 par, 5.50%, 12/31/2049 (2)*(b)(f)(h)		855		1,032,440
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $19,737,998)				27,115,822
CLOSED END FUNDS - 4.8%
Adams Natural Resources Fund, Inc.		4,800		96,432
Alliance California Municipal Income Fund, Inc.		25,727		338,053
AllianceBernstein Global High Income Fund, Inc.		12,292		141,850
AllianceBernstein National Municipal Income Fund, Inc.		23,217		292,998
Bancroft Fund Ltd.		622		13,609
BlackRock California Municipal Income Trust		26,742		348,448
BlackRock Credit Allocation Income Trust		14,189		171,403

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

AQR Funds Semi-Annual Report June 2018

26

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 4.8% (continued)
BlackRock Investment Quality Municipal Trust, Inc.		17,259	$	242,834
BlackRock Long-Term Municipal Advantage Trust		7,223		81,259
BlackRock Muni Intermediate Duration Fund, Inc.		29,380		388,110
BlackRock MuniAssets Fund, Inc.		5,871		77,673
BlackRock Municipal 2030 Target Term Trust		15,930		343,451
BlackRock Municipal Bond Trust		14,076		201,709
BlackRock Municipal Income Investment Quality Trust		3,119		43,011
BlackRock Municipal Income Investment Trust		705		9,271
BlackRock Municipal Income Quality Trust		19,700		255,903
BlackRock Municipal Income Trust		15,880		204,693
BlackRock Municipal Income Trust II		2,199		31,358
BlackRock MuniEnhanced Fund, Inc.		15,901		167,437
BlackRock MuniHoldings California Quality Fund, Inc.		20,152		265,805
BlackRock MuniHoldings Fund II, Inc.		8,479		117,265
BlackRock MuniHoldings Fund, Inc.		4,269		66,639
BlackRock MuniHoldings Investment Quality Fund		15,672		202,639
BlackRock MuniHoldings New Jersey Quality Fund, Inc.		20,404		269,129
BlackRock MuniHoldings New York Quality Fund, Inc.		21,488		267,311
BlackRock MuniHoldings Quality Fund II, Inc.		15,238		186,361
BlackRock MuniHoldings Quality Fund, Inc.		7,701		95,338
BlackRock MuniVest Fund, Inc.		20,681		181,166
BlackRock MuniYield California Fund, Inc.		16,071		214,066
BlackRock MuniYield California Quality Fund, Inc.		20,134		268,588
BlackRock MuniYield Fund, Inc.		17,911		238,574
BlackRock MuniYield Investment Quality Fund		1,446		18,914
BlackRock MuniYield Michigan Quality Fund, Inc.		15,742		206,378
BlackRock MuniYield New Jersey Fund, Inc.		8,822		121,655
BlackRock MuniYield New York Quality Fund, Inc.		28,547		341,993
BlackRock MuniYield Pennsylvania Quality Fund		13,316		178,967
BlackRock MuniYield Quality Fund II, Inc.		17,142		207,590
BlackRock MuniYield Quality Fund III, Inc.		21,284		268,178
BlackRock MuniYield Quality Fund, Inc.		13,114		183,203
BlackRock New York Municipal Income Trust		8,148		104,710
BlackRock Taxable Municipal Bond Trust		12,223		270,128
Brookfield Global Listed Infrastructure Income Fund, Inc.		378		4,570

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 4.8% (continued)
Delaware Investments Minnesota Municipal Income Fund II, Inc.		12,175	$	150,726
Deutsche Municipal Income Trust		24,105		265,637
Deutsche Strategic Municipal Income Trust		12,150		132,192
Dividend and Income Fund		22,006		271,334
Dreyfus Municipal Bond Infrastructure Fund, Inc.		20,120		251,098
Dreyfus Municipal Income, Inc. (b)		10,923		89,022
Dreyfus Strategic Municipal Bond Fund, Inc. (b)		23,617		178,781
Dreyfus Strategic Municipals, Inc. (b)		28,887		221,563
DTF Tax-Free Income, Inc.		17,149		228,939
Eaton Vance California Municipal Bond Fund		18,618		192,324
Eaton Vance Ltd. Duration Income Fund (b)		20,865		262,482
Eaton Vance Municipal Bond Fund		21,601		255,108
Eaton Vance Municipal Bond Fund II		12,498		147,976
Eaton Vance Municipal Income Trust (b)		26,601		314,956
Eaton Vance New York Municipal Bond Fund		15,611		176,560
Federated Premier Municipal Income Fund		14,515		192,179
First Trust Aberdeen Global Opportunity Income Fund (b)		1,910		19,157
First Trust High Income Long/Short Fund		7,007		103,213
Gabelli Healthcare & WellnessRx Trust (The)		6,481		64,940
GDL Fund (The)		232		2,130
Guggenheim Taxable Municipal Managed Duration Trust		3,455		74,939
Invesco Advantage Municipal Income Trust II		21,358		227,676
Invesco California Value Municipal Income Trust		19,956		235,481
Invesco High Income Trust II		832		11,224
Invesco Municipal Opportunity Trust		34,071		399,993
Invesco Municipal Trust		19,159		226,459
Invesco Pennsylvania Value Municipal Income Trust		27,335		327,200
Invesco Quality Municipal Income Trust		26,609		317,179
Invesco Trust for Investment Grade Municipals		14,922		184,585
Invesco Trust for Investment Grade New York Municipals		7,690		98,047
Invesco Value Municipal Income Trust		28,379		400,995
Ivy High Income Opportunities Fund		1,065		15,261
MFS High Income Municipal Trust		1,285		6,399
MFS Investment Grade Municipal Trust		4,518		41,791
MFS Municipal Income Trust		29,026		191,281
Neuberger Berman High Yield Strategies Fund, Inc.		17,628		190,735
Neuberger Berman Intermediate Municipal Fund, Inc.		8,920		121,580
New America High Income Fund, Inc. (The)		631		5,439

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

AQR Funds Semi-Annual Report June 2018

27

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 4.8% (continued)
Nuveen AMT-Free Municipal Credit Income Fund		12,174	$	177,619
Nuveen AMT-Free Quality Municipal Income Fund		25,085		326,356
Nuveen Arizona Quality Municipal Income Fund		1,905		24,327
Nuveen Build America Bond Fund		4,760		98,104
Nuveen Build America Bond Opportunity Fund		100		2,197
Nuveen California AMT-Free Quality Municipal Income Fund		18,797		255,263
Nuveen California Municipal Value Fund, Inc.		13,963		132,230
Nuveen California Quality Municipal Income Fund		29,080		388,509
Nuveen Connecticut Quality Municipal Income Fund		26,387		313,478
Nuveen Enhanced Municipal Value Fund		13,163		179,675
Nuveen Georgia Quality Municipal Income Fund		11,844		134,429
Nuveen Intermediate Duration Municipal Term Fund		21,403		266,253
Nuveen Intermediate Duration Quality Municipal Term Fund		10,586		133,066
Nuveen Maryland Quality Municipal Income Fund		21,074		255,628
Nuveen Massachusetts Quality Municipal Income Fund		1,830		22,763
Nuveen Michigan Quality Municipal Income Fund		20,184		255,529
Nuveen Municipal Credit Income Fund		13,022		186,605
Nuveen Municipal High Income Opportunity Fund		3,100		39,277
Nuveen Municipal Value Fund, Inc.		5,000		47,800
Nuveen New Jersey Quality Municipal Income Fund		25,011		326,394
Nuveen New York AMT-Free Quality Municipal Income Fund		26,229		320,781
Nuveen New York Municipal Value Fund, Inc.		2,392		22,030
Nuveen New York Quality Municipal Income Fund		20,347		256,169
Nuveen North Carolina Quality Municipal Income Fund		19,152		236,336
Nuveen Ohio Quality Municipal Income Fund		18,059		251,020
Nuveen Pennsylvania Quality Municipal Income Fund		22,620		285,691
Nuveen Quality Municipal Income Fund		30,150		400,995
Nuveen Select Maturities Municipal Fund		3,998		39,020
Nuveen Select Tax-Free Income Portfolio		3,134		44,816
Nuveen Select Tax-Free Income3 Portfolio		2,497		36,157
Nuveen Texas Quality Municipal Income Fund		5,062		64,692

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 4.8% (continued)
Nuveen Virginia Quality Municipal Income Fund		26,595	$	331,374
PGIM Global Short Duration High Yield Fund, Inc.		19,469		265,947
PGIM Short Duration High Yield Fund, Inc.		18,376		257,264
Pioneer Diversified High Income Trust		946		13,783
Pioneer Municipal High Income Advantage Trust		7,069		77,406
Pioneer Municipal High Income Trust		20,346		232,351
Putnam Managed Municipal Income Trust		36,153		255,963
Putnam Municipal Opportunities Trust		20,745		242,302
Templeton Global Income Fund		14,966		91,891
Western Asset Global High Income Fund, Inc.		2,914		26,576
Western Asset Intermediate Muni Fund, Inc.		24,079		208,645
Western Asset Managed Municipals Fund, Inc.		13,644		173,006
Western Asset Municipal High Income Fund, Inc.		10,786		77,983
Western Asset Municipal Partners Fund, Inc.		14,354		202,678
TOTAL CLOSED END FUNDS (Cost $23,070,837)				22,305,628
		PRINCIPAL AMOUNT
CORPORATE BONDS - 10.5%
Aerospace & Defense - 0.8%
KLX, Inc. 5.88%, 12/1/2022 (2)(e)	$	2,149,000		2,232,274
Northrop Grumman Innovation Systems, Inc. 5.25%, 10/1/2021 (2)		1,550,000		1,591,850
			3,824,124
Airlines - 0.2%
United Continental Holdings, Inc. 6.00%, 12/1/2020 (2)		1,000,000		1,043,800
Auto Components - 0.0%
Exide Technologies 8.63%, 2/1/2028 (3)(d)(i)		33,550,000		—
Automobiles - 0.2%
General Motors Co. 3.50%, 10/2/2018 (2)		725,000		726,373
Banks - 0.5%
Bank of America Corp. (ICE LIBOR USD 3 Month + 0.65%), 2.99%, 6/25/2022 (2)(j)		2,000,000		1,997,860
CIT Group, Inc. 3.88%, 2/19/2019 (2)		500,000		501,375
Washington Mutual, Inc. Escrow 0.00%, 9/29/2017 (3)(d)		5,000,000		47,500
			2,546,735

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

AQR Funds Semi-Annual Report June 2018

28

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Biotechnology - 0.7%
AMAG Pharmaceuticals, Inc. 7.88%, 9/1/2023 (2)(e)	$	2,910,000	$	3,086,419
Capital Markets - 0.2%
Goldman Sachs Group, Inc. (The) 2.60%, 4/23/2020 (2)		1,000,000		990,564
Chemicals - 1.1%
Momentive Performance Materials USA, Inc. 8.88%, 10/15/2020 (3)(d)(i)		13,550,000		—
Momentive Performance Materials, Inc.
3.88%, 10/24/2021 (3)(d)		5,000,000		5,250,000
			5,250,000
Consumer Finance - 0.7%
Ally Financial, Inc. 3.25%, 11/5/2018 (2)		1,000,000		1,000,000
General Motors Financial Co., Inc. 3.10%, 1/15/2019 (2)		1,250,000		1,251,175
2.40%, 5/9/2019 (2)		1,000,000		995,340
			3,246,515
Diversified Financial Services - 0.8%
Nationstar Mortgage LLC 7.88%, 10/1/2020 (2)		967,000		970,626
6.50%, 7/1/2021 (2)		2,600,000		2,593,500
			3,564,126
Diversified Telecommunication Services - 0.2%
CenturyLink, Inc. Series V, 5.63%, 4/1/2020 (2)		1,000,000		1,011,250
Equity Real Estate Investment Trusts (REITs) - 0.4%
American Tower Corp. 3.40%, 2/15/2019 (2)		947,000		949,549
iStar, Inc. 5.00%, 7/1/2019 (2)		1,000,000		997,500
			1,947,049
Food & Staples Retailing - 0.3%
Rite Aid Corp. 6.13%, 4/1/2023 (2)(e)		1,546,000		1,567,644
Food Products - 0.2%
Viterra, Inc. (Switzerland) 5.95%, 8/1/2020 (2)(e)		923,000		965,347
Health Care Providers & Services - 0.2%
HCA, Inc. 3.75%, 3/15/2019 (2)		1,000,000		1,003,750
Household Durables - 0.2%
DR Horton, Inc. 3.75%, 3/1/2019 (2)		500,000		501,561
Steinhoff Europe AG (Austria) 1.88%, 1/24/2025 (2)(k)		EUR400,000		324,648
			826,209
Independent Power and Renewable Electricity Producers - 0.0% (a)
Energy Future Holdings 0.00%, 12/1/2018 (3)(d)(i)		1,000,000		180,000

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Internet & Direct Marketing Retail - 0.1%
QVC, Inc. 3.13%, 4/1/2019 (2)	$	317,000	$	316,632
Media - 0.0% (a)
iHeartCommunications, Inc. 14.00%, 2/1/2021 (2)(i)		1,010,000		124,988
Oil, Gas & Consumable Fuels - 0.7%
Black Elk Energy Escrow 13.75%, 12/1/2015 (3)(d)		2,833,436		—
Comstock Resources, Inc. 10.00%, 3/15/2020 (2)(h)		443,000		462,935
NSA Bondco Ltd. (Norway) 12.00%, 8/31/2020 (3)(d)(h)(i)		2,857,687		687,176
Penn Virginia Corp. Escrow 7.25%, 4/15/2019 (3)(d)(i)		13,829,000		2
8.50%, 5/1/2020 (3)(d)(i)		43,585,000		4
RSP Permian, Inc. 6.63%, 10/1/2022 (2)		1,300,000		1,365,910
Targa Resources Partners LP 4.13%, 11/15/2019 (2)		1,000,000		1,000,000
			3,516,027
Pharmaceuticals - 0.2%
Concordia International Corp. (Canada) 9.00%, 4/1/2022 (3)(d)(e)		850,000		760,750
Professional Services - 0.1%
Verisk Analytics, Inc. 4.88%, 1/15/2019 (2)		271,000		273,442
Semiconductors & Semiconductor Equipment - 2.0%
QUALCOMM, Inc. 2.10%, 5/20/2020 (2)		9,000,000		8,992,652
SunEdison, Inc. 2.00%, 10/1/2018 (3)(d)(i)		16,350,000		355,787
2.75%, 1/1/2021 (3)(d)(i)		4,400,000		95,747
			9,444,186
Specialty Retail - 0.0%
RS Legacy Corp. 6.75%, 5/15/2019 (3)(d)(i)		6,230,000		—
Wireless Telecommunication Services - 0.7%
Hughes Satellite Systems Corp. 6.50%, 6/15/2019 (2)		1,000,000		1,023,450
T-Mobile USA, Inc. 4.75%, 2/1/2028 (3)(d)(i)		2,301,000		—
4.75%, 2/1/2028(2)		2,301,000		2,131,301
			3,154,751
TOTAL CORPORATE BONDS (Cost $82,908,375)				49,370,681
CONVERTIBLE BONDS - 25.7%
Air Freight & Logistics - 0.3%
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024 (2)(b)		1,175,000		1,557,727

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

AQR Funds Semi-Annual Report June 2018

29

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Auto Components - 0.0% (a)
Exide Technologies (ICE LIBOR USD 3 Month - 1.50%), 0.00%, 9/18/2013 (3)(d)(i)(j)	$	650,000	$	1
Automobiles - 0.2%
Tesla, Inc. 2.38%, 3/15/2022 (2)(b)		725,000		879,639
Banks - 0.3%
BofA Finance LLC 0.25%, 5/1/2023 (2)(b)		1,450,000		1,356,852
Biotechnology - 1.1%
Clovis Oncology, Inc. 1.25%, 5/1/2025 (2)(b)		1,075,000		989,970
Exact Sciences Corp. 1.00%, 1/15/2025 (2)(b)		475,000		499,573
Intrexon Corp. 3.50%, 7/1/2023(2)		2,550,000		2,550,000
Ligand Pharmaceuticals, Inc. 0.75%, 5/15/2023 (2)(b)(e)		825,000		853,298
			4,892,841
Capital Markets - 2.0%
Deutsche Bank AG (Germany) 1.00%, 5/1/2023 (2)(b)		1,975,000		1,825,196
GAIN Capital Holdings, Inc. 5.00%, 8/15/2022 (2)(b)(e)		1,775,000		2,046,625
Hercules Capital, Inc. 4.38%, 2/1/2022 (2)(b)		1,350,000		1,344,635
Prospect Capital Corp. 4.95%, 7/15/2022 (2)(b)		1,450,000		1,406,795
TPG Specialty Lending, Inc. 4.50%, 8/1/2022 (2)(b)		2,750,000		2,740,163
			9,363,414
Communications Equipment - 0.0% (a)
Nortel Networks Corp. (Canada) 1.75%, 12/31/2018 (3)(d)(i)		3,000,000		90,000
Consumer Finance - 1.2%
Encore Capital Group, Inc. 3.25%, 3/15/2022 (2)(b)		1,975,000		1,999,687
EZCORP, Inc. 2.13%, 6/15/2019 (2)(b)(l)		2,250,000		2,277,612
2.38%, 5/1/2025 (2)(b)(e)		1,025,000		1,000,994
PRA Group, Inc. 3.50%, 6/1/2023 (2)(b)		500,000		531,428
			5,809,721
Diversified Financial Services - 0.4%
Element Fleet Management Corp. (Canada) 5.13%, 6/30/2019 (2)(b)(e)		CAD2,783,000		2,086,366
Electrical Equipment - 0.2%
Plug Power, Inc. 5.50%, 3/15/2023 (2)(b)(e)		1,100,000		1,141,690
Energy Equipment & Services - 0.8%
Helix Energy Solutions Group, Inc. 4.13%, 9/15/2023 (2)(b)		1,125,000		1,323,338

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Energy Equipment & Services - 0.8% (continued)
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (2)(b)	$	1,150,000	$	1,256,531
Weatherford International Ltd. 5.88%, 7/1/2021 (2)(b)		1,225,000		1,205,559
			3,785,428
Equity Real Estate Investment Trusts (REITs) - 0.7%
iStar, Inc. 3.13%, 9/15/2022 (2)(b)(e)		375,000		364,655
Spirit Realty Capital, Inc.
2.88%, 5/15/2019 (2)(b)		2,675,000		2,660,601
			3,025,256
Health Care Equipment & Supplies - 0.0%
China Medical Technologies, Inc. (China)
4.00%, 8/15/2013 (3)(d)(i)		250,000		—
6.25%, 12/15/2016(3) (d)(e)(i)		2,625,000		—
			—
Health Care Providers & Services - 0.9%
Anthem, Inc. 2.75%, 10/15/2042 (2)(b)		1,279,000		4,179,189
Household Durables - 0.2%
GoPro, Inc. 3.50%, 4/15/2022 (2)(b)		1,000,000		912,528
Independent Power and Renewable Electricity Producers - 0.7%
NRG Energy, Inc. 2.75%, 6/1/2048 (2)(b)(e)		900,000		869,310
NRG Yield, Inc. 3.50%, 2/1/2019 (2)(b)(e)		2,250,000		2,238,514
			3,107,824
Insurance - 0.8%
AmTrust Financial Services, Inc. 2.75%, 12/15/2044 (2)(b)		1,875,000		1,818,748
AXA SA (France) 7.25%, 5/15/2021 (2)(b)(e)		900,000		940,633
HCI Group, Inc. 4.25%, 3/1/2037 (2)(b)		1,175,000		1,148,574
			3,907,955
Internet Software & Services - 2.8%
Akamai Technologies, Inc. 0.13%, 5/1/2025 (2)(b)(e)		250,000		250,339
Alteryx, Inc. 0.50%, 6/1/2023 (2)(b)(e)		625,000		677,216
Envestnet, Inc. 1.75%, 6/1/2023 (2)(b)(e)		450,000		462,060
Five9, Inc. 0.13%, 5/1/2023 (2)(b)(e)		625,000		652,757
MongoDB, Inc. 0.75%, 6/15/2024 (2)(b)(e)		2,825,000		2,756,369
Quotient Technology, Inc. 1.75%, 12/1/2022 (2)(b)(e)		800,000		826,230
Twitter, Inc. 0.25%, 6/15/2024 (2)(b)(e)		1,150,000		1,187,978
Zillow Group, Inc. 2.00%, 12/1/2021 (2)(b)		3,700,000		4,687,175
1.50%, 7/1/2023 (2)		1,375,000		1,375,000
			12,875,124

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

AQR Funds Semi-Annual Report June 2018

30

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
IT Services - 0.7%
Blackhawk Network Holdings, Inc. 1.50%, 1/15/2022 (2)	$	1,325,000	$	1,478,700
Square, Inc. 0.50%, 5/15/2023 (2)(b)(e)		1,450,000		1,550,594
			3,029,294
Media - 0.3%
GCI Liberty, Inc. 1.75%, 9/30/2046 (2)(b)(e)		900,000		926,051
Liberty Media Corp. 2.13%, 3/31/2048 (2)(b)(e)		675,000		663,909
			1,589,960
Metals & Mining - 1.4%
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (2)(b)		2,700,000		5,117,850
Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (2)(b)		850,000		1,041,845
Endeavour Mining Corp. (Ivory Coast) 3.00%, 2/15/2023 (2)(b)(e)		350,000		355,460
Jaguar Mining, Inc. 10.00%, 6/1/2018 (3)(d)(i)		310,000		—
			6,515,155
Mortgage Real Estate Investment Trusts (REITs) - 2.5%
Apollo Commercial Real Estate Finance, Inc. 4.75%, 8/23/2022 (2)(b)		2,250,000		2,227,275
Blackstone Mortgage Trust, Inc. 4.38%, 5/5/2022 (2)(b)		1,250,000		1,225,470
4.75%, 3/15/2023 (2)(b)		1,800,000		1,744,519
Exantas Capital Corp. 4.50%, 8/15/2022 (2)(b)		600,000		599,280
KKR Real Estate Finance Trust, Inc. 6.13%, 5/15/2023 (2)(b)(e)		1,950,000		1,952,435
New York Mortgage Trust, Inc. 6.25%, 1/15/2022 (2)(b)		1,350,000		1,335,439
Redwood Trust, Inc.
4.75%, 8/15/2023 (2)(b)		1,900,000		1,842,240
5.63%, 7/15/2024 (2)(b)		950,000		939,917
			11,866,575
Oil, Gas & Consumable Fuels - 2.6%
Aegean Marine Petroleum Network, Inc. (Greece) 4.25%, 12/15/2021 (2)		375,000		127,500
Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (3)(d)(i)		800,000		—
Amyris, Inc. 9.50%, 4/15/2019 (2)(b)		6,461,000		6,436,823
Chesapeake Energy Corp. 5.50%, 9/15/2026 (2)(b)		1,300,000		1,321,170
Emerald Oil, Inc. 2.00%, 4/1/2019 (3)(d)(e)(i)		1,600,000		—
Scorpio Tankers, Inc. (Monaco) 3.00%, 5/15/2022 (2)(b)		1,650,000		1,671,886
Ship Finance International Ltd. (Norway) 5.75%, 10/15/2021 (2)(b)		2,600,000		2,674,633
			12,232,012

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Personal Products - 0.1%
Herbalife Nutrition Ltd. 2.63%, 3/15/2024 (2)(b)(e)	$	300,000	$	317,680
Semiconductors & Semiconductor Equipment - 3.7%
GT Advanced Technologies, Inc. 3.00%, 10/1/2017 (3)(d)(i)		2,650,000		—
Inphi Corp. 1.13%, 12/1/2020 (2)(b)		900,000		962,550
Microchip Technology, Inc. 2.25%, 2/15/2037 (2)(b)		1,851,000		2,202,540
Novellus Systems, Inc. 2.63%, 5/15/2041 (2)(b)		2,500,000		12,969,800
SunEdison, Inc. 0.25%, 1/15/2020 (3)(d)(i)		575,000		12,513
Synaptics, Inc. 0.50%, 6/15/2022 (2)(b)		925,000		913,602
			17,061,005
Software - 0.9%
Atlassian, Inc. 0.63%, 5/1/2023 (2)(b)(e)		650,000		672,472
Avaya Holdings Corp.
2.25%, 6/15/2023 (2)(b)(e)		350,000		340,255
Citrix Systems, Inc. 0.50%, 4/15/2019 (2)(b)		350,000		508,198
FireEye, Inc. 0.88%, 6/1/2024 (2)(b)(e)		975,000		918,676
PROS Holdings, Inc. 2.00%, 6/1/2047 (2)(b)(e)		1,875,000		1,845,795
			4,285,396
Specialty Retail - 0.7%
RH 0.00%, 7/15/2020 (2)(b)(e)		725,000		920,327
0.00%, 6/15/2023 (2)(b)(e)		2,275,000		2,121,073
			3,041,400
Technology Hardware, Storage & Peripherals - 0.2%
Pure Storage, Inc. 0.13%, 4/15/2023 (2)(b)(e)		800,000		891,895
Trading Companies & Distributors - 0.0% (a)
AM Castle & Co. 5.00%, 8/31/2022 (3)(b)(d)(e)(h)(i)		94,317		86,059
TOTAL CONVERTIBLE BONDS (Cost $112,783,002)				119,887,986
LOAN PARTICIPATIONS - 1.4%
Distributors - 0.1%
American Tire Distributors, Inc. (ICE LIBOR USD 1 Month + 4.25%), 6.34%, 9/1/2021 (2)(j)		997,423		644,893
Oil, Gas & Consumable Fuels - 1.3%
Southcross Energy Partners LP (ICE LIBOR USD 3 Month + 4.25%), 6.58%, 8/4/2021 (2)(j)		6,295,639		5,944,154
TOTAL LOAN PARTICIPATIONS (Cost $7,046,043)				6,589,047

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

AQR Funds Semi-Annual Report June 2018

31

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF RIGHTS		VALUE
RIGHTS - 0.7%
Banks - 0.0% (a)
EFG International Finance Guernsey Ltd. (Switzerland) (3)*(d)		283,523	$	2,835
Biotechnology - 0.1%
Ambit Biosciences Corp., CVR (3)*(d)		146,272		215,893
Tobira Therapeutics, Inc., CVR (3)*(d)		11,880		86,530
			302,423
Capital Markets - 0.6%
Barington/Hilco Acquisition Corp. (2)*(c)		487,260		92,579
Big Rock Partners Acquisition Corp., expiring 12/1/2022 *		200,000		90,000
Bison Capital Acquisition Corp., expiring 12/31/2049 (China) *		150,000		49,500
Black Ridge Acquisition Corp., expiring 11/16/2020 (2)*		210,000		73,500
Cannabis Strategies Acquisition Corp., expiring 12/29/2018 (Canada) (3)*(d)		250,000		114,099
CM Seven Star Acquisition Corp., expiring 12/31/2019 (Hong Kong) (2)*		250,000		80,000
Constellation Alpha Capital Corp., expiring 12/31/2049 *		700,000		294,000
Draper Oakwood Technology Acquisition, Inc., expiring 9/30/2022 *(b)		150,000		87,765
GigCapital, Inc., expiring 2/15/2018 *		375,000		168,750
I-AM Capital Acquisition Co., expiring 5/22/2019 (2)*		225,000		85,500
Jensyn Acquisition Corp., expiring 3/7/2021 (2)*		174,000		31,320
KBL Merger Corp. IV, expiring 3/6/2019 (2)*(c)		1,000,000		358,500
Modern Media Acquisition Corp., expiring 12/31/2022 *(c)		1,700,000		884,000
Origo Acquisition Corp. *(c)		315,500		56,790
Pensare Acquisition Corp., expiring 8/8/2022 (2)*		1,000,000		490,000
Union Acquisition Corp., expiring 12/2/2018 (3)*(d)		250,000		80,000
			3,036,303
Health Care Providers & Services - 0.0% (a)
Community Health Systems, Inc., CVR *(c)		7,762,436		85,387
TOTAL RIGHTS (Cost $111,420)				3,426,948
		NO. OF WARRANTS
WARRANTS - 5.3%
Aerospace & Defense - 0.0% (a)
Ability, Inc., expiring 12/17/2018 (Israel) (2)*(c)		144,956		7,393
Tempus Applied Solutions Holdings, Inc., expiring 7/31/2020 (2)*		614,551		11,676
			19,069

INVESTMENTS	NO. OF WARRANTS		VALUE
Banks - 0.0%(a)
Valley National Bancorp, expiring 11/14/2018 *		48,657	$	4,379
Capital Markets - 3.4%
Acasta Enterprises, Inc., expiring 1/3/2022 (Canada) *		579,085		6,607
Alignvest Acquisition II Corp., expiring 7/4/2022 (Canada) *		175,000		71,882
Avista Healthcare Public Acquisition Corp., expiring 12/2/2021 *		1,000,000		460,000
Barington/Hilco Acquisition Corp., expiring 2/11/2018 *(c)		487,260		77,962
Big Rock Partners Acquisition Corp., expiring 12/1/2022 (2)*		100,000		38,000
Bison Capital Acquisition Corp., expiring 7/18/2022 (China) (2)*		75,000		27,750
Black Ridge Acquisition Corp., expiring 10/25/2022 (2)*		210,000		90,300
Cannabis Strategies Acquisition Corp., expiring 12/21/2025 (Canada) *		250,000		161,640
Capitol Investment Corp. IV, expiring 1/1/2025 *		166,667		233,334
CM Seven Star Acquisition Corp., expiring 11/6/2018 (Hong Kong) *		125,000		49,375
Constellation Alpha Capital Corp., expiring 3/23/2024 *		700,000		252,000
DFB Healthcare Acquisitions Corp., expiring 4/3/2023 *		133,333		173,333
Draper Oakwood Technology Acquisition, Inc., expiring 9/30/2024 *(b)		75,000		54,750
Easterly Acquisition Corp., expiring 7/29/2020 *(b)		573,250		716,563
Far Point Acquisition Corp., expiring 6/1/2025 *		66,666		92,706
Federal Street Acquisition Corp., expiring 7/24/2022 (2)*		375,000		487,500
FinTech Acquisition Corp. II, expiring 3/13/2022 *		700,000		1,085,000
GigCapital, Inc., expiring 1/17/2023 *		281,250		126,563
Gordon Pointe Acquisition Corp., expiring 3/12/2019 (2)*		122,980		67,639
Gores Holdings II, Inc., expiring 3/6/2022 (2)*		133,333		246,666
Haymaker Acquisition Corp., expiring 11/16/2022 (2)*		199,980		165,983
Hennessy Capital Acquisition Corp. III, expiring 6/15/2024 *		375,000		540,000
Hunter Maritime Acquisition Corp., expiring 10/11/2021 (2)*		470,000		202,100
I-AM Capital Acquisition Co., expiring 10/9/2022 (2)*		225,000		94,860
Industrea Acquisition Corp., expiring 8/1/2024 (2)*		500,000		300,000
Jensyn Acquisition Corp., expiring 4/26/2021 (2)*		174,000		29,580
Kayne Anderson Acquisition Corp., expiring 6/30/2022 *		250,000		300,000

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

AQR Funds Semi-Annual Report June 2018

32

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF WARRANTS		VALUE
Capital Markets - 3.4% (continued)
KBL Merger Corp. IV, expiring 7/1/2023 *(c)		1,000,000	$	238,000
Landcadia Holdings, Inc., expiring 6/1/2023 (2)*		500,000		415,000
Legacy Acquisition Corp., expiring 11/30/2022 *		500,000		215,000
Leisure Acquisition Corp., expiring 12/28/2022 (2)*		250,000		177,500
Leo Holdings Corp., expiring 4/5/2023 (United Kingdom) *		250,000		267,500
M I Acquisitions, Inc., expiring 11/14/2020 *		250,000		377,500
Matlin and Partners Acquisition Corp., expiring 5/28/2021 *(c)		2,500,000		1,625,000
Modern Media Acquisition Corp., expiring 6/7/2022 *(c)		850,000		552,500
MTech Acquisition Corp., expiring 8/1/2024 *		125,000		81,250
Mudrick Capital Acquisition Corp., expiring 3/12/2019 *		500,000		320,000
National Energy Services Reunited Corp., expiring 6/5/2022 *		950,000		1,140,000
Nebula Acquisition Corp., expiring 1/12/2023 *		46,666		116,665
One Madison Corp., expiring 2/22/2023 (2)*		250,000		255,000
Opes Acquisition Corp., expiring 1/15/2023 (2)*		250,000		88,750
Origo Acquisition Corp., expiring 12/17/2021 *(c)		300,000		90,000
Osprey Energy Acquisition Corp., expiring 8/15/2022 *		500,000		800,000
Pensare Acquisition Corp., expiring 8/8/2022 *		500,000		320,000
Platinum Eagle Acquisition Corp., expiring 3/5/2025 *		53,333		74,666
PROMECAP Acquisition Co. SAB de CV, expiring 3/23/2023 (Mexico) (2)*		400,000		1,208
Pure Acquisition Corp., expiring 4/17/2023 (3)*(d)		172,500		220,800
Regalwood Global Energy Ltd., expiring 1/22/2022 (2)*		166,667		207,834
Saban Capital Acquisition Corp., expiring 9/21/2021 (2)*		42,000		52,500
Sentinel Energy Services, Inc., expiring 12/22/2022 (3)*(d)		44,440		46,662
Social Capital Hedosophia Holdings Corp., expiring 9/25/2022 *		83,334		150,001
Stellar Acquisition III, Inc., expiring 3/22/2022 *(c)		600,000		156,000
Tiberius Acquisition Corp., expiring 4/10/2023 *		235,000		129,250
TPG Pace Energy Holdings Corp., expiring 6/21/2022 *		166,667		458,334
TPG Pace Holdings Corp., expiring 8/18/2022 (3)*(d)		66,666		113,332
Trinity Merger Corp., expiring 5/31/2023 *		500,000		200,000

INVESTMENTS	NO. OF WARRANTS		VALUE
Capital Markets - 3.4% (continued)
Union Acquisition Corp., expiring 7/1/2025 (2)*		250,000	$	87,500
Vantage Energy Acquisition Corp., expiring 4/12/2024 (3)*(d)		500,000		650,000
VectoIQ Acquisition Corp., expiring 6/11/2023 (2)*		360,000		183,600
			15,963,445
Commercial Services & Supplies - 0.1%
Estre Ambiental, Inc., expiring 12/22/2022 *(b)		1,323,740		529,496
Construction & Engineering - 0.6%
Infrastructure and Energy Alternatives, Inc., expiring 3/26/2023 *		808,712		768,276
Limbach Holdings, Inc., expiring 7/20/2021 *		336,504		673,008
Willscot Corp., expiring 11/29/2022 *		537,067		1,213,772
				2,655,056
Consumer Finance - 0.0%(a)
China Lending Corp., expiring 7/6/2021 (China) *		142,386		7,119
Diversified Consumer Services - 0.0% (a)
Education Management Corp., expiring 1/5/2022 (3)*(c)(d)		16,528,497		17
Diversified Financial Services - 0.1%
FGL Holdings, expiring 12/1/2022 *		300,000		360,000
Energy Equipment & Services - 0.0% (a)
Glori Energy, Inc., expiring 7/25/2019 (3)*(d)		287,100		57
Hotels, Restaurants & Leisure - 0.1%
Inspired Entertainment, Inc., expiring 12/23/2021 (3)*(d)		1,273,972		394,931
Household Durables - 0.1%
Purple Innovation, Inc., expiring 2/2/2023 *		768,000		526,080
Internet & Direct Marketing Retail - 0.0% (a)
LXRandCo, Inc., expiring 6/9/2022 (Canada) (2)*		1,274,000		9,691
IT Services - 0.1%
Exela Technologies, Inc., expiring 1/1/2023 (3)*(b)(d)		1,860,708		595,427
Machinery - 0.1%
Blue Bird Corp., expiring 2/24/2020 *		107,684		590,108
Jason Industries, Inc., expiring 6/30/2019 (2)*(c)		1,933,070		19,331
				609,439

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

AQR Funds Semi-Annual Report June 2018

33

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF WARRANTS		VALUE
Media - 0.0% (a)
Kew Media Group, Inc., expiring 3/20/2022 (Canada) (2)*		150,000	$	91,279
Oil, Gas & Consumable Fuels - 0.4%
Alta Mesa Resources, Inc., expiring 2/9/2023 *		308,333		431,666
NextDecade Corp., expiring 7/24/2022 (2)*		1,095,541		569,682
Rosehill Resources, Inc., expiring 9/16/2022 *(c)		489,600		587,520
				1,588,868
Road & Rail - 0.1%
Daseke, Inc., expiring 2/27/2022 *		378,003		404,463
Semiconductors & Semiconductor Equipment - 0.0%
GT Advanced Technologies, Inc., expiring 3/17/2019 (3)*(d)		2,101		—
Software - 0.2%
Rimini Street, Inc., expiring 9/30/2022 (2)*		943,380		726,308
Technology Hardware, Storage & Peripherals - 0.0% (a)
Borqs Technologies, Inc., expiring 8/21/2022 (China) (2)*		373,500		74,700
Textiles, Apparel & Luxury Goods - 0.0% (a)
KBS Fashion Group Ltd., expiring 8/1/2019 (3)*(d)		50,869		51
Wireless Telecommunication Services - 0.0% (a)
Trilogy International Partners, Inc., expiring 2/7/2022 (Canada) (2)*		445,000		44,004
TOTAL WARRANTS (Cost $1,669,820)				24,603,879
		NO. OF UNITS
SECURITIES IN LITIGATION - 0.1%
Health Care Equipment & Supplies - 0.1%
DEMC, Ltd., Class A-1 (3)*(d)		12,969		—
DEMC, Ltd., Class A-2 (3)*(d)		310,099,470		313,201
DEMC, Ltd., Class B-1 (3)*(d)		10,488		—
DEMC, Ltd., Class B-2 (3)*(d)		513,897,326		514
				313,715
Software - 0.0% (a)
TimeGate Studios, Inc. (3)*(d)(i)		3,591,250		201,735
TOTAL SECURITIES IN LITIGATION (Cost $4,027,924)				515,450

INVESTMENTS	SHARES			VALUE
SHORT-TERM INVESTMENTS - 29.1%
INVESTMENT COMPANIES - 19.9%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (2)(m)		4,010,552		$	4,010,552
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (2)(m)		16,042,210			16,042,210
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (2)(m)(n)		5,822,095			5,822,095
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (2)(m)(n)		15,718,868			15,718,868
Limited Purpose Cash Investment Fund, 1.85% (2)(m)		31,401,884			31,401,884
UBS Select Treasury Preferred Fund, Class I, 1.76% (2)(m)		20,052,761			20,052,761
TOTAL INVESTMENT COMPANIES (Cost $93,041,040)					93,048,370
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 9.2%
U.S. Treasury Bills 1.61%, 7/19/2018 (2)(o)	$	36,941,000			36,910,690
1.85%, 9/6/2018 (2)(b)(o)		2,182,000			2,174,489
1.91%, 9/27/2018 (2)(b)(o)		1,734,000			1,726,101
1.90%, 10/11/2 018 (2)(o)		2,212,000			2,200,031
TOTAL U.S. TREASURY OBLIGATIONS (Cost $43,012,234)					43,011,311
TOTAL SHORT-TERM INVESTMENTS (Cost $136,053,274)					136,059,681
TOTAL LONG POSITIONS (Cost $564,588,076)					563,649,979
		SHARES
SHORT POSITIONS - (25.6)%
COMMON STOCKS - (23.1)%
Air Freight & Logistics - (0.2)%
Atlas Air Worldwide Holdings, Inc. *		(16,351	)		(1,172,367	)
Automobiles - (0.1)%
Tesla, Inc. *		(1,853	)		(635,486	)
Banks - (0.4)%
BOK Financial Corp.		(1,262	)		(118,640	)
Cadence Bancorp		(27,094	)		(782,204	)
Fifth Third Bancorp		(14,731	)		(422,780	)
Independent Bank Group, Inc.		(2,284	)		(152,571	)
People’s United Financial, Inc.		(22,688	)		(410,426	)
					(1,886,621	)
Biotechnology - (0.2)%
Clovis Oncology, Inc. *		(9,985	)		(454,018	)
Ligand Pharmaceuticals, Inc. *		(2,241	)		(464,268	)
				(918,286)

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

AQR Funds Semi-Annual Report June 2018

34

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
Capital Markets - (0.7)%
CME Group, Inc.		(233	)	$	(38,193	)
GAIN Capital Holdings, Inc.		(139,669	)		(1,054,501	)
Hercules Capital, Inc.		(12,950	)		(163,818	)
Penson Worldwide, Inc. (3)*(d)		(217,523	)		—
Prospect Capital Corp.		(15,260	)		(102,395	)
TPG Specialty Lending, Inc.		(12,400	)		(222,456	)
Virtus Investment Partners, Inc.		(12,011	)		(1,536,807	)
				(3,118,170)
Construction & Engineering - (0.7)%
Willscot Corp. *		(217,000	)		(3,211,600	)
Consumer Finance - (0.5)%
Encore Capital Group, Inc. *		(29,041	)		(1,062,901	)
EZCORP, Inc., Class A *		(76,938	)		(927,103	)
PRA Group, Inc. *		(7,948	)		(306,395	)
				(2,296,399)
Diversified Financial Services - (0.6)%
AXA Equitable Holdings, Inc. *		(34,200	)		(704,862	)
FGL Holdings *		(150,000	)		(1,258,500	)
Voya Financial, Inc.		(23,450	)		(1,102,150	)
				(3,065,512)
Electrical Equipment - (0.1)%
Plug Power, Inc. *		(311,955	)		(630,149	)
Electronic Equipment, Instruments & Components - 0.0% (a)
SYNNEX Corp.		(625	)		(60,319	)
Energy Equipment & Services - (0.4)%
Helix Energy Solutions Group, Inc. *		(87,923	)		(732,399	)
SEACOR Holdings, Inc. *		(17,515	)		(1,003,084	)
Weatherford International plc *		(58,873	)		(193,692	)
				(1,929,175)
Equity Real Estate Investment Trusts (REITs) - (0.1)%
iStar, Inc. *		(10,915	)		(117,773	)
Prologis, Inc.		(4,417	)		(290,153	)
Spirit MTA REIT *		(725	)		(7,468	)
Spirit Realty Capital, Inc.		(4,647	)		(37,315	)
				(452,709)
Food Products - (0.5)%
Bunge Ltd.		(22,107	)		(1,541,079	)
Conagra Brands, Inc.		(17,076	)		(610,125	)
				(2,151,204)
Gas Utilities - (0.1)%
South Jersey Industries, Inc.		(14,110	)		(472,262	)
Health Care Equipment & Supplies - 0.0%
China Medical Technologies, Inc., ADR (China) (3)*(d)		(40,234	)		—
Health Care Providers & Services - (0.9)%
Anthem, Inc.		(17,212	)		(4,096,972	)

INVESTMENTS	SHARES			VALUE
Hotels, Restaurants & Leisure - (0.1)%
Marriott Vacations Worldwide Corp.		(5,688	)	$	(642,516	)
Independent Power and Renewable Electricity Producers - (0.1)%
NRG Energy, Inc.		(10,935	)		(335,705	)
Insurance - (0.4)%
Assurant, Inc.		(13,574	)		(1,404,773	)
HCI Group, Inc.		(8,441	)		(350,893	)
				(1,755,666)
Internet Software & Services - (8.2)%
Akamai Technologies, Inc. *		(9,134	)		(668,883	)
Alibaba Group Holding Ltd., ADR (China) *		(165,691	)		(30,740,651	)
Alteryx, Inc., Class A *		(10,433	)		(398,123	)
Envestnet, Inc. *		(4,018	)		(220,789	)
Five9, Inc. *		(10,718	)		(370,521	)
Quotient Technology, Inc. *		(30,184	)		(395,410	)
Weibo Corp., ADR (China) *		(26,394	)		(2,342,732	)
Zillow Group, Inc., Class A *		(793	)		(47,382	)
Zillow Group, Inc., Class C *		(52,394	)		(3,094,390	)
				(38,278,881)
IT Services - (0.2)%
Square, Inc., Class A *		(12,293	)		(757,741	)
Machinery - (0.3)%
Blue Bird Corp. *		(45,043	)		(1,006,711	)
Rexnord Corp. *		(8,947	)		(260,000	)
				(1,266,711)
Media - (0.6)%
Discovery, Inc., Class A *		(1,024	)		(28,160	)
New York Times Co. (The), Class A		(79,409	)		(2,056,693	)
News Corp., Class B		(17,930	)		(284,190	)
Sirius XM Holdings, Inc.		(44,606	)		(301,983	)
				(2,671,026)
Metals & Mining - (1.1)%
Allegheny Technologies, Inc. *		(170,035	)		(4,271,279	)
Cleveland-Cliffs, Inc. *		(86,899	)		(732,559	)
Endeavour Mining Corp. (Ivory Coast) *		(8,200	)		(147,140	)
				(5,150,978)
Mortgage Real Estate Investment Trusts (REITs) - (0.7)%
Annaly Capital Management, Inc.		(11,065	)		(113,859	)
Apollo Commercial Real Estate Finance, Inc.		(36,919	)		(674,879	)
Blackstone Mortgage Trust, Inc., Class A		(19,415	)		(610,214	)
Exantas Capital Corp.		(24,413	)		(248,524	)
KKR Real Estate Finance Trust, Inc.		(10,930	)		(216,195	)
New York Mortgage Trust, Inc.		(44,313	)		(266,321	)
Redwood Trust, Inc.		(41,941	)		(690,768	)
Two Harbors Investment Corp.		(25,162	)		(397,560	)
				(3,218,320)
Multi-Utilities - (0.1)%
Sempra Energy		(3,289	)		(381,886	)

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

AQR Funds Semi-Annual Report June 2018

35

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
Oil, Gas & Consumable Fuels - (1.3)%
Baytex Energy Corp. (Canada) *		(14,253	)	$	(47,378	)
Chesapeake Energy Corp. *		(77,381	)		(405,476	)
Marathon Petroleum Corp.		(34,085	)		(2,391,404	)
Penn Virginia Corp. *		(565	)		(47,963	)
Scorpio Tankers, Inc. (Monaco)		(289,688	)		(814,023	)
Ship Finance International Ltd. (Norway)		(76,723	)		(1,147,009	)
Vermilion Energy, Inc. (Canada)		(38,244	)		(1,379,187	)
					(6,232,440	)
Personal Products - 0.0% (a)
Herbalife Nutrition Ltd. *		(3,343	)		(179,586	)
Pharmaceuticals - (0.1)%
Takeda Pharmaceutical Co. Ltd. (Japan) (2)		(10,037	)		(422,237	)
Semiconductors & Semiconductor Equipment - (3.5)%
Cohu, Inc.		(5,633	)		(138,065	)
Inphi Corp. *		(13,767	)		(448,942	)
Lam Research Corp.		(75,340	)		(13,022,519	)
Microchip Technology, Inc.		(25,122	)		(2,284,846	)
Synaptics, Inc. *		(6,223	)		(313,452	)
					(16,207,824	)
Software - (0.5)%
Atlassian Corp. plc, Class A *		(4,927	)		(308,036	)
Citrix Systems, Inc. *		(4,672	)		(489,812	)
FireEye, Inc. *		(26,515	)		(408,066	)
PROS Holdings, Inc. *		(22,169	)		(810,720	)
VMware, Inc., Class A *		(1,547	)		(227,363	)
					(2,243,997	)
Specialty Retail - (0.1)%
RH *		(4,787	)		(668,744	)
Technology Hardware, Storage & Peripherals - (0.2)%
NCR Corp. *		(17,812	)		(534,004	)
Pure Storage, Inc., Class A *		(21,941	)		(523,951	)
					(1,057,955	)
Wireless Telecommunication Services - (0.1)%
T-Mobile US, Inc. *		(6,335	)		(378,516	)
TOTAL COMMON STOCKS (Proceeds $(85,851,708))					(107,947,960	)
		PRINCIPAL AMOUNT
CONVERTIBLE BONDS - (2.5)%
Energy Equipment & Services - (0.4)%
Oil States International, Inc.
1.50%, 2/15/2023 (2)(e)	$	(1,850,000	)		(1,924,603	)
Internet & Direct Marketing Retail - (0.4)%
Booking Holdings, Inc. 0.90%, 9/15/2021 (2)		(900,000	)		(1,075,235	)
Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (2)(e)		(950,000	)		(938,160	)
					(2,013,395	)

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
Internet Software & Services - (0.5)%
Okta, Inc.
0.25%, 2/15/2023 (2)(e)	$	(800,000	)	$	(987,475	)
Q2 Holdings, Inc.
0.75%, 2/15/2023 (2)(e)		(1,225,000	)		(1,388,975	)
					(2,376,450	)
Life Sciences Tools & Services - 0.0% (a)
Illumina, Inc. 0.00%, 6/15/2019 (2)		(100,000	)		(117,746	)
Mortgage Real Estate Investment Trusts (REITs) - (0.1)%
Starwood Property Trust, Inc. 4.38%, 4/1/2023 (2)		(525,000	)		(525,473	)
Software - (1.0)%
Guidewire Software, Inc. 1.25%, 3/15/2025 (2)		(350,000	)		(355,324	)
Proofpoint, Inc. 0.75%, 6/15/2020 (2)		(2,375,000	)		(3,483,434	)
Zendesk, Inc. 0.25%, 3/15/2023 (2)(e)		(600,000	)		(648,107	)
					(4,486,865	)
Technology Hardware, Storage & Peripherals - (0.1)%
Western Digital Corp. 1.50%, 2/1/2024 (2)(e)		(325,000	)		(328,582	)
TOTAL CONVERTIBLE BONDS (Proceeds $(11,267,659))					(11,773,114	)
TOTAL SHORT POSITIONS (Proceeds $(97,119,367))					(119,721,074	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.0% (Cost $467,468,709)					443,928,905
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.0% (p)					23,487,020
NET ASSETS - 100.0%				$	467,415,925

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	6,812,802			1.4	%
Consumer Staples		6,813,106			1.5
Energy		23,178,011			5.0
Financials		219,823,369			47.0
Health Care		15,791,848			3.4
Industrials		9,737,754			2.1
Information Technology		(3,323,927	)		(0.8	)
Materials		6,925,647			1.5
Real Estate		9,966,998			2.2
Telecommunication Services		6,680,021			1.4
Utilities		5,463,595			1.2
Short-Term Investments		136,059,681			29.1
Total Investments In Securities At Value		443,928,905			95.0
Other Assets in Excess of Liabilities (p)		23,487,020			5.0
Net Assets	$	467,415,925			100.0	%

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

AQR Funds Semi-Annual Report June 2018

36

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

* Non-income producing security.

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

(b) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $163,095,340. In addition, $17,437,294 of cash collateral was pledged.

(c) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/17	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/18		VALUE AT 06/30/18		DIVIDEND INCOME		INTEREST INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
LONG POSITIONS - 2.9%
COMMON STOCKS - 1.9%
Capital Markets - 1.9%
Forum Merger Corp., Class A *^	683,600	—		(683,600	)		—		$—		$—		$—		$105,497			$13,672
KBL Merger Corp. IV *	900,000	—		(900,000	)		—		—		—		—		(135,205	)		252,000
Matlin and Partners Acquisition Corp., Class A * ^	400,000	—		(400,000	)		—		—		—		—		(101,090	)		96,000
Modern Media Acquisition Corp. *	625,000	—		(29,969	)		595,031		5,932,459		—		—		(1,805	)		94,649
Stellar Acquisition III, Inc. (Greece) (2)*	200,000	—		(1,300	)		198,700		2,062,506		—		—		545			33,506
									7,994,965		—		—		(132,058	)		489,827
Diversified Consumer Services - 0.0% (a)
Education Management Corp. (2)*(b)	8,615,228	—		—			8,615,228		25,846		—		—		—			(4,308	)
TOTAL COMMON STOCKS (Cost $8,368,071)									8,020,811		—		—		(132,058	)		485,519
RIGHTS - 0.3%
Capital Markets- 0.3%
Barington/Hilco Acquisition Corp. (2)*	487,260	—		—			487,260		92,579		—		—		—			14,618
Forum Merger Corp., expiring 4/26/2018 *^	1,500,000	—		(1,500,000	)		—		—		—		—		—			(990,000	)
KBL Merger Corp. IV, expiring 3/6/2019 (2)*	1,000,000	—		—			1,000,000		358,500		—		—		—			68,500
Modern Media Acquisition Corp., expiring 12/31/2022 *	1,700,000	—		—			1,700,000		884,000		—		—		—			221,000
Origo Acquisition Corp. *	315,500	—		—			315,500		56,790		—		—		—			(99,383	)
									1,391,869		—		—		—			(785,265	)

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

AQR Funds Semi-Annual Report June 2018

37

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

AFFILIATE	SHARES HELD AT 12/31/17	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/18		VALUE AT 06/30/18		DIVIDEND INCOME		INTEREST INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Health Care Providers & Services - 0.0% (a)
Community Health Systems, Inc., CVR*	7,762,436	—		—			7,762,436		$85,387		$—		$—		$—		$30,274
TOTAL RIGHTS (Cost $111,420)									1,477,256		—		—		—		(754,991	)
WARRANTS - 0.7%
Aerospace & Defense - 0.0% (a)
Ability, Inc., expiring 12/17/2018 (Israel) (2)*	1,449,557	1		(1,304,602	)		144,956		7,393		—		—		—		6,233
Capital Markets - 0.5%
Barington/Hilco Acquisition Corp., expiring 2/11/2018 *	487,260	—		—			487,260		77,962		—		—		—		43,853
Forum Merger Corp., expiring 5/2/2022 *^	750,000	—		(750,000	)		—		—		—		—		—		(480,000	)
KBL Merger Corp. IV, expiring 7/1/2023 *	1,000,000	—		—			1,000,000		238,000		—		—		—		41,000
Matlin and Partners Acquisition Corp., expiring 5/28/2021 *^	2,500,000	—		—			2,500,000		1,625,000		—		—		—		575,000
Modern Media Acquisition Corp., expiring 6/7/2022 *	850,000	—		—			850,000		552,500		—		—		—		119,000
Origo Acquisition Corp., expiring 12/17/2021 *	300,000	—		—			300,000		90,000		—		—		—		(59,040	)
Stellar Acquisition III, Inc., expiring 3/22/2022 *	600,000	—		—			600,000		156,000		—		—		—		(30,060	)
									2,739,462		—		—		—		209,753
Diversified Consumer Services - 0.0% (a)
Education Management Corp., expiring 1/5/2022 (3)*(d)	16,528,497	—		—			16,528,497		17		—		—		—		—
Machinery - 0.0% (a)
Jason Industries, Inc., expiring 6/30/2019 (2)*	1,933,070	—		—			1,933,070		19,331		—		—		—		(25,130	)
Oil, Gas & Consumable Fuels - 0.1%
Rosehill Resources, Inc., expiring 9/16/2022 *	489,600	—		—			489,600		587,520		—		—		—		102,816

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

AQR Funds Semi-Annual Report June 2018

38

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

AFFILIATE	SHARES HELD AT 12/31/17	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/18		VALUE AT 06/30/18		DIVIDEND INCOME		INTEREST INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Software - 0.1%
RMG Networks Holding Corp., expiring 4/8/2018 (2)*^	631,210	—		(631,210	)		—		$—		$—		$—		$—			$—
TOTAL WARRANTS (Cost $1,322,280)									3,353,723		—		—		—			293,672
Total									$12,851,790		$—		$—		$(132,058	)		$24,200

* Non-income producing security.

^ No longer affiliated as of June 30, 2018.

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

(b) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $25,846.

(d) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $17, which represents approximately 0.00% of net assets of the fund.

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

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

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

(d) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $17,385,111, which represents approximately 3.72% of net assets of the fund.

(e) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2018 amounted to $49,108,476, which represents approximately 10.51% of net assets of the fund.

(f) Perpetual security. The rate reflected was the rate in effect on June 30, 2018. The maturity date reflects the next call date.

(g) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. See Note to Financial Statements for further information. The interest rate shown was the current rate as of June 30, 2018.

(h) Payment in-kind security.

(i) Defaulted security.

(j) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown was the current rate as of June 30, 2018.

(k) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2018, the value of these securities amounted to $324,648 or 0.07% of net assets.

(l) Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency. The interest rate shown was the current rate as of June 30, 2018.

(m) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

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

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

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

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

ADR - American Depositary Receipt

CVR - Contingent Value Rights

FHLMC - Federal Home Loan Mortgage Corp.

FNMA - Federal National Mortgage Association

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

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

AQR Funds Semi-Annual Report June 2018

39

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Credit default swap contracts outstanding — buy protection as of June 30, 2018:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE PAID			FREQUENCY OF PAYMENTS MADE/ RECEIVED	MATURITY DATE		CREDIT SPREAD			NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)			UNREALIZED APPRECIATION (DEPRECIATION)		VALUE
Markit CDX North America High Yield Index Series 30.V1		5.00	%	Quarterly		6/20/2023		3.59	%		USD 13,375,000		$(864,072	)		$65,294		$(798,778	)
Markit CDX North America Investment Grade Index Series 30.V1		1.00		Quarterly		6/20/2023		0.67			USD   2,475,000		(43,468	)		5,548		(37,920	)
													$(907,540	)		$70,842		$(836,698	)

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts
EURO STOXX 50 Index	(32)		9/2018		EUR		$(1,267,203	)		$23,557
S&P 500 E-Mini Index	(378)		9/2018		USD		(51,438,240	)		1,066,296
U.S. Treasury 10 Year Note	(172)		9/2018		USD		(20,672,250	)		(201,373	)
U.S. Treasury 2 Year Note	(186)		9/2018		USD		(39,400,032	)		(59,352	)
U.S. Treasury 5 Year Note	(118)		9/2018		USD		(13,406,828	)		(70,349	)
										$758,779

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	2,164,554	CAD	2,796,001	CITI		9/19/2018		$34,871
USD	3,246,819	CAD	4,193,991	JPMC		9/19/2018		52,302
USD	508,480	EUR	428,500	CITI		9/19/2018		5,063
USD	114,275	EUR	96,749	JPMC		9/19/2018		610
USD	124,652	GBP	93,000	CITI		9/19/2018		1,479
Total unrealized appreciation								94,325
CAD	1,388,572	USD	1,069,086	CITI		9/19/2018		(11,426	)
USD	310,681	CAD	412,133	CITI		9/19/2018		(3,236	)
USD	25,138	EUR	21,500	CITI		9/19/2018		(121	)
USD	37,708	EUR	32,251	JPMC		9/19/2018		(181	)
Total unrealized depreciation								(14,964	)
Net unrealized appreciation							$	79,361

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

USD - United States Dollar

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

AQR Funds Semi-Annual Report June 2018

40

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps Outstanding at June 30, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
BANA	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 (-0.35% to 1.25%), which is denominated in GBP based on the local currencies of the positions within the swap.	24-25 months maturity 05/26/2020		$2,060,028		$21,631			$1,240			$22,871
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Canadian Dollar Offered Rate (“CDOR”) plus or minus a specified spread (0.04%), which is denominated in CAD based on the local currencies of the positions within the swap.	86 months maturity 09/30/2021		$224,059		$(64,702	)		$(75,454	)		$(140,156	)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.	61 months maturity 07/13/2022		$753,631		$44,325			$(1,445	)		$42,880
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread (0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.	61 months maturity 03/30/2022		$1,399,339		$(287,069	)		$47,175			$(239,894	)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR or Canadian Overnight Repurchase Rate Average plus or minus a specified spread (-0.03% to 0.03%), which is denominated in CAD based on the local currencies of the positions within the swap.	60-61 months maturity 04/12/2023		$1,156,093		$(216,617	)		$13,191			$(203,426	)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread (0.04%), which is denominated in AUD based on the local currencies of the positions within the swap.	59-61 months maturity 04/13/2023		$4,150,652		$336,000			$(11,467	)		$324,533

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

AQR Funds Semi-Annual Report June 2018

41

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	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 (-0.04%), which is denominated in CHF based on the local currencies of the positions within the swap.	61 months maturity 04/13/2023		$503,503		$(19,514	)		$(17,539	)		$(37,053	)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread (0.06%), which is denominated in ZAR based on the local currencies of the positions within the swap.	61 months maturity 04/14/2023		$1,218,359		$171,290			$(16,485	)		$154,805
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Hong Kong Overnight Index Average (“HONIX”) plus or minus a specified spread (-0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.	61 months maturity 04/13/2023		$1,642,044		$66,801			$169			$66,970
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	13 months maturity 11/26/2018		$267,514		$42,431			$1,549			$43,980
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR plus or minus a specified spread (0.35%), which is denominated in CAD based on the local currencies of the positions within the swap.	13 months maturity 04/15/2019		$225,918		$(9,772	)		$(112	)		$(9,884	)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (0.33%), which is denominated in USD based on the local currencies of the positions within the swap.	24-25 months maturity 02/26/2020		$1,278,459		$(193,478	)		$(4,850	)		$(198,328	)

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

AQR Funds Semi-Annual Report June 2018

42

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
BANA	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 (-1.50% to 1.25%), which is denominated in USD based on the local currencies of the positions within the swap.	13-14 months maturity ranging from 07/25/2019 – 05/26/2020		$114,730,207		$191,944		$(19,527	)		$172,417

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

REFERENCE ENTITY	PRINCIPAL			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Convertible Bond
United Arab Emirates
NMC Health Jersey Ltd., 1.88%, 04/30/2025		$400,000		$	379,242		$	590			0.3	%
United States
AMAG Pharmaceuticals, Inc., 3.25%, 06/01/2022		1,600,000			1,637,554			(82,411	)		(47.8	)
Corium International, Inc., 5.00%, 03/15/2025		1,475,000			1,253,985			(42,011	)		(24.4	)
Gannett Co., Inc., 4.75%, 04/15/2024		3,275,000			3,581,708			39,183			22.7
Hope Bancorp, Inc., 2.00%, 05/15/2038		5,600,000			5,463,382			(90,320	)		(52.4	)
Innoviva, Inc., 2.13%, 01/15/2023		1,475,000			1,445,361			44,022			25.5
Innoviva, Inc., 2.50%, 08/15/2025		1,000,000			1,064,051			19,481			11.3
Intel Corp., 3.25%, 08/01/2039		14,450,000			34,779,605			(551,079	)		(319.6	)
Invacare Corp., 4.50%, 06/01/2022		2,550,000			3,391,364			(23,221	)		(13.5	)
Paratek Pharmaceuticals, Inc., 4.75%, 05/01/2024		1,950,000			1,898,221			(4,324	)		(2.5	)
PDL BioPharma, Inc., 2.75%, 12/01/2021		1,850,000			1,702,578			32,232			18.7
Vector Group Ltd., 2.50%, 01/15/2019		3,125,000			4,175,237			(27,826	)		(16.1	)
	SHARES
Convertible Preferred Stock
United States
Welltower, Inc., 6.50%, 12/31/2049		68,575			4,076,064			88,427			51.3
Short Positions
Common Stock
United States
AMAG Pharmaceuticals, Inc.		(39,178	)		(763,971	)		69,541			40.3
Corium International, Inc.		(50,523	)		(404,689	)		41,429			24.0
Gannett Co., Inc.		(145,526	)		(1,557,128	)		(11,642	)		(6.8	)
Hope Bancorp, Inc.		(121,564	)		(2,167,486	)		63,093			36.6
Innoviva, Inc.		(89,408	)		(1,233,831	)		(23,542	)		(13.7	)
Intel Corp.		(689,493	)		(34,274,697	)		689,493			399.9
Invacare Corp.		(131,968	)		(2,454,605	)		39,590			23.0
Paratek Pharmaceuticals, Inc.		(95,047	)		(969,480	)		28,514			16.5
PDL BioPharma, Inc.		(259,607	)		(607,480	)		(9,887	)		(5.7	)
Vector Group Ltd.		(204,809	)		(3,907,756	)		(14,215	)		(8.2	)
Welltower, Inc.		(24,577	)		(1,540,732	)		(83,173	)		(48.2	)

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

AQR Funds Semi-Annual Report June 2018

43

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (-0.35% to 0.40%), which is denominated in EUR based on the local currencies of the positions within the swap.	25 months maturity ranging from 11/26/2018 – 01/27/2020	$11,077,493		$346,890		$25,998		$372,888

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

REFERENCE ENTITY	PRINCIPAL			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)		PERCENTAGE OF SWAP VALUE
Long Positions
Convertible Bond
Germany
Bayer Capital Corp. BV, 5.63%, 11/22/2019	$	5,000,000		$	6,575,274		$	241,036		64.6	%
		SHARES
Short Positions
Common Stock
Germany
Bayer AG (Registered)		(40,995	)		(4,502,219	)		105,854		28.4

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Overnight Bank Funding Rate (“OBFR”) plus or minus a specified spread (0.04%), which is denominated in USD based on the local currencies of the positions within the swap.	86 months maturity 09/30/2021	$5,424,997		$108,132		$(102,820	)		$5,312

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
Netherlands
NXP Semiconductors NV		7,187	$	785,324	$	(74,608	)		(1404.5	)%
United States
Akorn, Inc.		4,451		73,842		(39,829	)		(749.8	)
AmTrust Financial Services, Inc.		10,586		154,238		20,777			391.1
Avista Corp.		1,200		63,192		1,705			32.1
Axalta Coating Systems Ltd.		806		24,430		(5,743	)		(108.1	)

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

AQR Funds Semi-Annual Report June 2018

44

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
CorePoint Lodging, Inc.		3,052	$	79,047	$	79,046			1488.1	%
Dr Pepper Snapple Group, Inc.		888		108,336		3,321			62.5
Evergy, Inc.		29,918		1,679,896		17,352			326.7
Genworth Financial, Inc.		28,751		129,379		30,361			571.6
Kindred Healthcare, Inc.		33,405		300,645		(550	)		(10.4	)
MoneyGram International, Inc.		1,591		10,644		(12,077	)		(227.4	)
NxStage Medical, Inc.		11,792		328,997		27,566			518.9
Rite Aid Corp.		99,650		172,394		(9,966	)		(187.6	)
Validus Holdings Ltd.		9,890		668,564		940			17.7
Vectren Corp.		179		12,789		231			4.3
VeriFone Systems, Inc.		1,308		29,849		25			0.5
WGL Holdings, Inc.		3,725		330,594		14,676			276.3
XL Group Ltd.		7,176		401,497		3,451			65.0
Right
United States
Dyax Corp., CVR(a)		50,988		70,400		50,514			950.9
Media General, Inc., CVR(a)		55,436		940		940			17.7

(a) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Sterling Overnight Index Average (“SONIA”) plus or minus a specified spread (-0.06% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/13/2023 – 06/21/2023	$8,085,951		$355,019		$64,056		$419,075

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
United Kingdom
Fidessa Group plc		51,977	$	2,647,537	$	(155,844	)		(37.2	)%
Informa plc		2,684		29,503		3,799			0.9
NEX Group plc		6,220		84,080		2,534			0.6
Sky plc		264,802		5,099,774		505,014			120.5
ZPG plc		35,000		225,057		(484	)		(0.1	)

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

AQR Funds Semi-Annual Report June 2018

45

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.25% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	59-61 months maturity ranging from 4/12/2023 – 06/02/2023	$78,757,109		$2,273,066		$476,182		$2,749,248

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
Hong Kong
Jardine Strategic Holdings Ltd.		8,600	$	313,285	$	(20,237	)		(0.7	)%
Israel
Orbotech Ltd.		18,274		1,129,333		15,596			0.6
United States
A Schulman, Inc.		4,881		217,204		8,298			0.3
Aetna, Inc.		13,275		2,435,962		159,035			5.8
Akorn, Inc.		45,708		758,296		(66,734	)		(2.4	)
AmTrust Financial Services, Inc.		51,820		755,017		95,457			3.5
Avista Corp.		81,349		4,283,838		110,635			4.0
Axalta Coating Systems Ltd.		8,563		259,545		(15,842	)		(0.6	)
Capella Education Co.		11,078		1,093,399		112,996			4.1
Cavium, Inc.		38,487		3,329,126		352,156			12.8
Dr Pepper Snapple Group, Inc.		2,204		268,888		5,510			0.2
Express Scripts Holding Co.		36,259		2,799,557		332,858			12.1
Genworth Financial, Inc.		166,563		749,534		287,449			10.5
HRG Group, Inc.		22,971		300,690		(57,198	)		(2.1	)
ILG, Inc.		32,749		1,081,699		(22	)		(0.0	)
Infinity Property & Casualty Corp.		21,834		3,108,070		552,400			20.1
KapStone Paper and Packaging Corp.		67,237		2,319,677		4,999			0.2
NxStage Medical, Inc.		101,506		2,832,017		257,825			9.4
Oclaro, Inc.		222,959		1,991,024		(1,351	)		(0.0	)
Pinnacle Entertainment, Inc.		77,126		2,601,460		246,838			9.0
Rite Aid Corp.		132,350		228,965		15,882			0.6
Rockwell Collins, Inc.		43,005		5,791,913		34,834			1.3
RSP Permian, Inc.		45,700		2,011,714		103,463			3.8
SCANA Corp.		57,678		2,221,757		81,903			3.0
Stewart Information Services Corp.		48,965		2,108,923		(26,619	)		(1.0	)
Tribune Media Co.		23,216		888,476		29,808			1.1
Twenty-First Century Fox, Inc.		38,353		1,905,761		532,753			19.4
Validus Holdings Ltd.		29,051		1,963,848		3,777			0.1
VeriFone Systems, Inc.		29,789		679,785		1,285			0.0
WGL Holdings, Inc.		39,288		3,486,810		163,831			6.0
XL Group Ltd.		39,179		2,192,065		27,425			1.0

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

AQR Funds Semi-Annual Report June 2018

46

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Hong Kong
Jardine Matheson Holdings Ltd.		(7,000	)	$	(441,093	)	$	(10,521	)		(0.4	) %
United States
Cigna Corp.		(8,825	)		(1,499,809	)		(17,738	)		(0.6	)
Concho Resources, Inc.		(14,611	)		(2,021,432	)		(58,026	)		(2.1	)
CVS Health Corp.		(11,122	)		(715,701	)		(11,567	)		(0.4	)
Dominion Energy, Inc.		(38,587	)		(2,630,862	)		(69,842	)		(2.5	)
Evergy, Inc.		(29,918	)		(1,679,896	)		(130,683	)		(4.8	)
FNF Group		(29,408	)		(1,106,329	)		16,405			0.6
Kemper Corp.		(27,786	)		(2,102,011	)		(486,379	)		(17.7	)
KLA-Tencor Corp.		(4,548	)		(466,306	)		9,289			0.3
Lumentum Holdings, Inc.		(14,228	)		(823,801	)		33,213			1.2
Marriott Vacations Worldwide Corp.		(3,135	)		(354,129	)		30,747			1.1
Marvell Technology Group Ltd.		(83,736	)		(1,795,300	)		(70,338	)		(2.6	)
Penn National Gaming, Inc.		(32,215	)		(1,082,102	)		(230,717	)		(8.4	)
Praxair, Inc.		(16,332	)		(2,582,906	)		(158,825	)		(5.8	)
Sinclair Broadcast Group, Inc.		(5,310	)		(170,716	)		(13,883	)		(0.5	)
Spectrum Brands Holdings, Inc.		(3,760	)		(306,891	)		61,100			2.2
Strayer Education, Inc.		(9,693	)		(1,095,406	)		(110,016	)		(4.0	)
United Technologies Corp.		(9,822	)		(1,228,045	)		(12,422	)		(0.5	)
Walt Disney Co. (The)		(3,287	)		(344,510	)		(16,797	)		(0.6	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or Euro Overnight Index Average (“EONIA”) plus or minus a specified spread (-0.04% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.	61 months maturity 04/13/2023	$15,294,091		$264,720		$(5,488	)		$259,232

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
Germany
Linde AG		10,605		$	2,519,524		$	309,707			119.5	%
Italy
Luxottica Group SpA		68,038			4,380,677			222,555			85.9
Netherlands
Gemalto NV		38,680			2,247,765			1,325			0.5
Short Positions
Common Stock
France
Essilor International Cie Generale d’Optique SA		(31,366	)		(4,422,488	)		(281,168	)		(108.5	)
Unibail-Rodamco-Westfield		(7,828	)		(1,723,637	)		12,301			4.7

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

AQR Funds Semi-Annual Report June 2018

47

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread (-0.04% to 0.03%), which is denominated in SEK based on the local currencies of the positions within the swap.	61 months maturity 04/13/2023	$6,899,043		$124,500		$68,236		$192,736

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
Sweden
Com Hem Holding AB		243,153		$	3,944,624		$	265,612			137.8	%
Short Positions
Common Stock
Sweden
Tele2 AB		(252,247	)		(2,954,419	)		(141,112	)		(73.2	)

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 or Federal Funds Floating Rate plus or minus a specified spread (-1.00% to 0.40%), which is denominated in USD based on the local currencies of the positions within the swap.	1-61 months maturity ranging from 04/15/2022 – 07/03/2023	$44,575,795		$5,487,288		$(182,686	)		$5,304,602

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
Closed-End Fund
United States
Altaba, Inc.		292,093		$21,384,129		$7,025,467		132.4	%
Private Placement
Australia
Penson Technologies LLC, Class B Shares(a)		9,326,216		100,350		100,341		1.9

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

AQR Funds Semi-Annual Report June 2018

48

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Common Stock
China
SINA Corp.		26,694		$	2,260,715		$	(993,550	)		(18.7	) %
Yum China Holdings, Inc.		6,472			248,913			(19,222	)		(0.4	)
Hong Kong
Jardine Matheson Holdings Ltd.		7,000			441,093			(6,919	)		(0.1	)
United States
Adient plc		11,536			567,456			(156,198	)		(2.9	)
AdvanSix, Inc.		10,954			401,245			(78,650	)		(1.5	)
Alcoa Corp.		25,279			1,185,080			(24,773	)		(0.5	)
Aptevo Therapeutics, Inc.		129,902			648,211			241,618			4.6
Black Knight, Inc.		4,848			259,610			24,482			0.5
Brighthouse Financial, Inc.		8,033			321,882			(110,775	)		(2.1	)
Cars.com, Inc.		7,788			221,101			(10,825	)		(0.2	)
Conduent, Inc.		29,470			535,470			(38,900	)		(0.7	)
CONSOL Energy, Inc.		32,089			1,230,613			309,980			5.8
Dell Technologies, Inc.		28,432			2,404,779			302,201			5.7
Delphi Technologies plc		17,950			816,007			(60,492	)		(1.1	)
Donnelley Financial Solutions, Inc.		12,726			221,051			(9,672	)		(0.2	)
FHLMC		78,659			125,068			787			0.0
FNMA		27,686			39,314			(5,814	)		(0.1	)
Fortive Corp.		1,226			94,537			(3,874	)		(0.1	)
Genworth Financial, Inc.		51,097			229,936			35,768			0.7
Hamilton Beach Brands Holding Co.		27,874			809,740			133,516			2.5
Herc Holdings, Inc.		3,641			205,134			(55,088	)		(1.0	)
Hilton Grand Vacations, Inc.		22,703			787,794			(286,058	)		(5.4	)
Lamb Weston Holdings, Inc.		16,346			1,119,864			182,748			3.4
LSC Communications, Inc.		10,871			170,240			(9,240	)		(0.2	)
MoneyGram International, Inc.		71,223			476,482			(504,225	)		(9.5	)
News Corp.		17,720			274,660			(17,188	)		(0.3	)
Varex Imaging Corp.		16,257			602,972			(15,282	)		(0.3	)
Versum Materials, Inc.		6,108			226,912			(15,820	)		(0.3	)
WGL Holdings, Inc.		2,803			248,766			16,510			0.3
Short Positions
Common Stock
Hong Kong
Jardine Strategic Holdings Ltd.		(8,600	)		(313,285	)		47,748			0.9
United States
GoPro, Inc.		(65,480	)		(421,691	)		3,274			0.1
Intrexon Corp.		(98,566	)		(1,374,010	)		(56,182	)		(1.1	)
Praxair, Inc.		(1,734	)		(274,232	)		(50,390	)		(0.9	)
VMware, Inc.		(24,042	)		(3,533,453	)		(408,015	)		(7.7	)

(a) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees.

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

AQR Funds Semi-Annual Report June 2018

49

Schedule of Investments June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BANA
Cash		$(300,000	)		$—		$(300,000	)
Investment Companies		5,790,139			—		5,790,139
BARC
Cash		—			1,438,738		1,438,738
CITG
Cash		—			1,285,891		1,285,891
CITI
Investment Companies		31,949			—		31,949
DTBK
Cash		(30,802	)		—		(30,802	)
Investment Companies		3,740,613			—		3,740,613
GSCO
Investment Companies		—			11,245,507		11,245,507
GSIN
Cash		(3,800,000	)		—		(3,800,000	)
Investment Companies		(3,307	)		—		(3,307	)
JPMC
Cash		(2,707,240	)		—		(2,707,240	)
JPMS
Cash		—			334,203		334,203
MSIP
Investment Companies		718,092			—		718,092

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

AQR Funds Semi-Annual Report June 2018

50

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 107.1%
COMMON STOCKS - 27.9%
Belgium - 1.6%
Ageas (a)		204,898	$	10,315,196
bpost SA (a)		114,541		1,807,912
KBC Group NV (a)		40,384		3,101,495
Proximus SADP		14,289		321,390
Solvay SA (a)		61,096		7,694,341
UCB SA (a)		101,723		7,974,097
				31,214,431
Canada - 3.5%
Agnico Eagle Mines Ltd. (1)		1,992		91,323
Air Canada (1)*(a)		548,595		8,867,489
Atco Ltd., Class I (1)		9,647		297,779
Barrick Gold Corp. (1)		17,100		224,635
BlackBerry Ltd. (1)*		72,003		694,480
Bombardier, Inc., Class B (1)*		84,343		333,612
Canadian Imperial Bank of Commerce (1)(a)		60,588		5,270,485
Canadian Tire Corp. Ltd., Class A (1)(a)		35,065		4,577,001
CGI Group, Inc., Class A (1)*(a)		23,894		1,514,174
Constellation Software, Inc. (1)(a)		3,769		2,922,971
Dollarama, Inc. (1)(a)		296,114		11,478,318
Empire Co. Ltd., Class A (1)		27,704		556,124
Encana Corp. (1)		41,146		537,388
Finning International, Inc. (1)(a)		66,908		1,651,515
Franco-Nevada Corp. (1)		9,986		728,830
George Weston Ltd. (1)		4,059		331,167
Industrial Alliance Insurance & Financial Services, Inc. (1)		16,711		645,102
Linamar Corp. (1)(a)		70,787		3,112,765
Magna International, Inc. (1)(a)		161,677		9,403,129
Manulife Financial Corp. (1)(a)		66,728		1,198,886
Methanex Corp. (1)(a)		59,597		4,214,154
National Bank of Canada (1)(a)		69,786		3,350,620
Ritchie Bros Auctioneers, Inc. (1)		6,926		236,232
Seven Generations Energy Ltd., Class A (1)*		3,100		34,168
Teck Resources Ltd., Class B (1)(a)		135,488		3,451,484
Tourmaline Oil Corp. (1)		2,200		39,309
West Fraser Timber Co. Ltd. (1)(a)		46,549		3,204,061
WestJet Airlines Ltd. (1)		24,763		341,500
Whitecap Resources, Inc. (1)		5,157		34,951
				69,343,652
Chile - 0.1%
Lundin Mining Corp. (1)(a)		508,403		2,826,932
Denmark - 1.9%
Carlsberg A/S, Class B (a)		28,903		3,400,684
Coloplast A/S, Class B		2,764		275,964
Danske Bank A/S (a)		53,047		1,652,621
DSV A/S (a)		32,433		2,610,912
GN Store Nord A/S (a)		206,519		9,383,439
H Lundbeck A/S (a)		88,559		6,206,790
Jyske Bank A/S (Registered) (a)		29,617		1,618,863
Novo Nordisk A/S, Class B (a)		181,451		8,381,324
Orsted A/S (a)(b)		42,527		2,569,530
Vestas Wind Systems A/S		5,243		323,684
				36,423,811

INVESTMENTS	SHARES		VALUE
Finland - 1.4%
Cargotec OYJ, Class B		7,202	$	363,388
Fortum OYJ (a)		248,574		5,920,815
Kesko OYJ, Class B		19,939		1,217,853
Neste OYJ (a)		179,025		14,006,713
UPM-Kymmene OYJ (a)		166,037		5,911,764
				27,420,533
Germany - 0.8%
Aurubis AG (a)		62,705		4,786,543
Deutsche Lufthansa AG (Registered) (a)		366,453		8,779,346
OSRAM Licht AG (a)		49,039		1,997,106
				15,562,995
Italy - 2.7%
A2A SpA (a)		3,994,981		6,915,045
Autogrill SpA		168,174		2,077,212
DiaSorin SpA		11,419		1,297,709
Enel SpA (a)		1,745,342		9,671,257
Eni SpA (a)		879,130		16,300,279
Hera SpA (a)		800,000		2,489,280
Italgas SpA		59,814		329,213
Moncler SpA (a)		208,968		9,481,932
Pirelli & C SpA *(b)		23,386		194,741
Poste Italiane SpA (b)		194,013		1,619,355
Prysmian SpA (a)		72,875		1,808,234
Snam SpA (a)		199,883		832,993
				53,017,250
Luxembourg - 0.4%
Aperam SA		47,391		2,026,575
Aperam SA (a)		11,261		482,677
ArcelorMittal (a)		182,709		5,330,676
				7,839,928
Malta - 0.3%
Kindred Group plc, SDR (a)		447,386		5,604,747
Netherlands - 2.6%
Aalberts Industries NV		9,239		441,351
Aegon NV		32,238		192,481
Akzo Nobel NV (a)		43,713		3,728,381
ASM International NV (a)		98,321		5,417,755
ASR Nederland NV (a)		119,906		4,882,680
Koninklijke Ahold Delhaize NV (a)		622,380		14,860,938
Koninklijke DSM NV (a)		54,092		5,411,312
NN Group NV (a)		186,424		7,560,690
Randstad NV (a)		17,975		1,055,046
Signify NV (a)(b)		188,592		4,879,168
Wolters Kluwer NV (a)		54,643		3,069,665
				51,499,467
Norway - 1.5%
Equinor ASA (a)		156,937		4,149,815
Leroy Seafood Group ASA (a)		542,347		3,653,400
Marine Harvest ASA (a)		364,699		7,251,269
Norsk Hydro ASA (a)		1,217,249		7,266,064
Orkla ASA		80,464		703,970
Salmar ASA (a)		139,531		5,852,457
				28,876,975

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

AQR Funds Semi-Annual Report June 2018

51

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
Portugal - 0.0% (c)
Galp Energia SGPS SA		20,276	$	385,724
Singapore - 0.2%
Genting Singapore Ltd.		4,910,000		4,396,477
StarHub Ltd.		225,100		273,845
				4,670,322
Spain - 3.4%
Acerinox SA (a)		210,428		2,780,461
ACS Actividades de Construccion y Servicios SA (a)		64,396		2,598,117
Amadeus IT Group SA (a)		122,101		9,601,102
Bankinter SA		29,350		284,783
Enagas SA (a)		77,795		2,268,989
Endesa SA (a)		654,046		14,383,521
Iberdrola SA (a)		490,007		3,778,815
Mapfre SA (a)		1,340,407		4,028,916
Mediaset Espana Comunicacion SA		43,661		367,002
Red Electrica Corp. SA (a)		36,222		735,887
Repsol SA (a)		1,276,248		24,911,195
				65,738,788
Sweden - 3.0%
Alfa Laval AB		24,402		576,079
BillerudKorsnas AB		177,864		2,507,183
Boliden AB *(a)		514,049		16,590,153
Electrolux AB, Series B (a)		329,061		7,467,584
Essity AB, Class B (a)		234,498		5,769,022
Holmen AB, Class B		54,231		1,228,325
Husqvarna AB, Class B		102,622		970,819
NCC AB, Class B		41,940		695,427
Nibe Industrier AB, Class B		33,974		363,352
Saab AB, Class B		9,148		378,838
Sandvik AB (a)		196,256		3,466,074
Securitas AB, Class B		25,722		421,791
SKF AB, Class B		35,876		664,147
SSAB AB, Class A (a)		701,800		3,300,454
Svenska Cellulosa AB SCA, Class B (a)		492,875		5,335,732
Swedish Match AB		15,596		770,781
Tele2 AB, Class B		22,960		268,917
Trelleborg AB, Class B		27,054		575,268
Volvo AB, Class B (a)		512,982		8,152,886
				59,502,832
Switzerland - 4.2%
Adecco Group AG (Registered) (a)		185,412		10,941,922
Barry Callebaut AG (Registered)		611		1,094,862
Bucher Industries AG (Registered)		3,784		1,262,224
Cie Financiere Richemont SA (Registered)		5,594		472,886
dormakaba Holding AG *		1,788		1,249,057
Flughafen Zurich AG (Registered)		2,722		553,832
GAM Holding AG *		53,348		733,578
Georg Fischer AG (Registered) (a)		6,128		7,825,362
Givaudan SA (Registered)		224		507,319
Helvetia Holding AG (Registered)		1,246		710,828
OC Oerlikon Corp. AG (Registered) *		55,510		845,680
Partners Group Holding AG		2,307		1,686,523
Roche Holding AG (a)		28,415		6,304,100

INVESTMENTS	SHARES		VALUE
Switzerland - 4.2% (continued)
Schindler Holding AG		1,819	$	390,545
Sika AG (Registered) (a)		68,886		9,517,952
Sonova Holding AG (Registered)		6,266		1,120,884
STMicroelectronics NV (a)		562,734		12,483,310
Sunrise Communications Group AG *(b)		7,452		605,514
Swatch Group AG (The) (a)		1,634		773,505
Swiss Life Holding AG (Registered) *(a)		15,963		5,535,196
Temenos AG (Registered) *(a)		101,467		15,259,274
				79,874,353
United Kingdom - 0.3%
Fiat Chrysler Automobiles NV *(a)		336,492		6,347,666
United States - 0.0% (c)
Valeant Pharmaceuticals International, Inc. (1)*		31,971		744,162
TOTAL COMMON STOCKS (Cost $489,968,974)				546,894,568
SHORT-TERM INVESTMENTS - 79.2%
INVESTMENT COMPANIES - 54.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (d)		15,281,765		15,281,765
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (d)		61,127,060		61,127,060
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (d)(e)		4,923,901		4,923,901
Limited Purpose Cash Investment Fund, 1.85% (d)(f)		904,482,994		904,482,994
UBS Select Treasury Preferred Fund, Class I, 1.76% (d)		76,408,826		76,408,826
TOTAL INVESTMENT COMPANIES (Cost $1,062,081,213)				1,062,224,546
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 25.1%
U.S. Treasury Bills
1.59%, 7/5/2018 (g)	$	22,223,000		22,219,926
1.59%, 7/12/2018 (g)		29,519,000		29,505,255
1.61%, 7/19/2018 (g)		89,833,000		89,759,292
1.63%, 7/26/2018 (g)		33,302,000		33,263,647
1.64%, 8/2/2018 (g)		3,623,000		3,617,354
1.66%, 8/9/2018 (g)		21,467,000		21,425,703
1.79%, 8/16/2018 (g)		10,746,000		10,721,486
1.84%, 8/23/2018 (g)		3,302,000		3,293,302
1.85%, 8/30/2018 (g)		17,236,000		17,183,459
1.85%, 9/6/2018 (g)		30,855,000		30,748,795
1.97%, 9/20/2018 (g)		13,844,000		13,786,317
1.91%, 9/27/2018 (g)		19,530,000		19,441,033
1.92%, 10/4/2018 (g)		12,018,000		11,957,919
1.90%, 10/11/2018 (g)		49,812,000		49,542,455
1.96%, 10/18/2018 (g)		48,456,000		48,174,349
2.01%, 10/25/2018 (g)		6,299,000		6,259,964

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

AQR Funds Semi-Annual Report June 2018

52

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 25.1% (continued)
2.01%, 11/1/2018 (g)	$	33,002,000		$	32,781,675
2.02%, 11/8/2018 (g)		17,160,000			17,037,789
2.06%, 11/15/2018 (g)		2,906,000			2,884,016
2.08%, 12/13/2018 (g)		25,158,000			24,924,915
2.10%, 12/20/2018 (g)		4,058,000			4,018,895
TOTAL U.S. TREASURY OBLIGATIONS (Cost $492,535,871)					492,547,546
TOTAL SHORT-TERM INVESTMENTS (Cost $1,554,617,084)					1,554,772,092
TOTAL LONG POSITIONS (Cost $2,044,586,058)					2,101,666,660
		SHARES
SHORT POSITIONS - (23.0)%
COMMON STOCKS - (23.0)%
Austria - (0.3)%
ams AG *		(68,329	)		(5,067,288	)
Belgium - (1.4)%
Anheuser-Busch InBev SA/NV		(202,634	)		(20,438,676	)
Galapagos NV *		(46,073	)		(4,243,206	)
Telenet Group Holding NV *		(57,813	)		(2,691,564	)
Umicore SA		(1,118	)		(63,824	)
					(27,437,270	)
Brazil - 0.0% (c)
Yamana Gold, Inc. (1)		(96,101	)		(279,973	)
Canada - (2.9)%
AltaGas Ltd. (1)		(86,898	)		(1,794,607	)
Cameco Corp. (1)		(412,414	)		(4,639,716	)
Canadian Utilities Ltd., Class A (1)		(20,419	)		(515,659	)
Cenovus Energy, Inc. (1)		(5,631	)		(58,467	)
Eldorado Gold Corp. (1)*		(365,527	)		(369,795	)
Element Fleet Management Corp. (1)		(446,592	)		(2,099,371	)
Emera, Inc. (1)		(20,875	)		(679,611	)
Enbridge, Inc. (1)		(529,397	)		(18,926,450	)
Goldcorp, Inc. (1)		(98,765	)		(1,356,033	)
Imperial Oil Ltd. (1)		(146,150	)		(4,858,141	)
Inter Pipeline Ltd. (1)		(7,600	)		(142,444	)
Keyera Corp. (1)		(44,550	)		(1,239,599	)
Pembina Pipeline Corp. (1)		(13,495	)		(467,370	)
Peyto Exploration & Development Corp. (1)		(100,544	)		(773,974	)
Stantec, Inc. (1)		(28,818	)		(741,138	)
TransCanada Corp. (1)		(289,211	)		(12,513,081	)
Wheaton Precious Metals Corp. (1)		(245,876	)		(5,427,545	)
WSP Global, Inc. (1)		(3,200	)		(168,489	)
					(56,771,490	)
Denmark - (1.6)%
AP Moller - Maersk A/S, Class B		(5,510	)		(6,816,420	)
Chr Hansen Holding A/S		(31,464	)		(2,896,604	)
Genmab A/S *		(89,335	)		(13,745,812	)
Novozymes A/S, Class B		(50,438	)		(2,551,065	)
Pandora A/S		(71,779	)		(5,002,812	)
					(31,012,713	)

INVESTMENTS	SHARES			VALUE
Finland - (0.5)%
Amer Sports OYJ *		(111,213	)	$	(3,496,997	)
Huhtamaki OYJ		(55,190	)		(2,035,219	)
Metso OYJ		(42,494	)		(1,417,393	)
Orion OYJ, Class B		(93,544	)		(2,515,868	)
Outokumpu OYJ		(52,124	)		(322,835	)
					(9,788,312	)
Hong Kong - 0.0% (c)
Hutchison Port Holdings Trust		(1,010,300	)		(278,843	)
Italy - (2.4)%
Banco BPM SpA *		(1,562,094	)		(4,537,734	)
BPER Banca		(540,974	)		(2,951,736	)
Brembo SpA		(18,859	)		(254,347	)
Buzzi Unicem SpA		(255,372	)		(6,239,520	)
Davide Campari-Milano SpA		(69,702	)		(572,109	)
Ferrari NV		(39,861	)		(5,387,979	)
FinecoBank Banca Fineco SpA		(26,120	)		(294,034	)
Intesa Sanpaolo SpA		(891,187	)		(2,578,446	)
Leonardo SpA		(925,111	)		(9,105,299	)
Recordati SpA		(31,173	)		(1,235,235	)
Saipem SpA *		(756,057	)		(3,467,406	)
Telecom Italia SpA *		(3,820,418	)		(2,830,477	)
UniCredit SpA		(83,197	)		(1,378,941	)
Unione di Banche Italiane SpA		(1,401,008	)		(5,366,284	)
					(46,199,547	)
Luxembourg - (1.1)%
Tenaris SA		(1,191,269	)		(21,740,682	)
Netherlands - (1.6)%
ABN AMRO Group NV, CVA (b)		(30,755	)		(795,379	)
ALTICE EUROPE NV *		(1,096,409	)		(4,450,327	)
ASML Holding NV		(324	)		(64,115	)
Boskalis Westminster		(210,663	)		(6,121,753	)
Heineken NV		(17,937	)		(1,797,081	)
Koninklijke KPN NV		(1,489,427	)		(4,050,019	)
Koninklijke Vopak NV		(102,664	)		(4,731,981	)
OCI NV *		(147,742	)		(3,967,392	)
SBM Offshore NV		(354,070	)		(5,489,968	)
					(31,468,015	)
Norway - (0.4)%
Gjensidige Forsikring ASA		(68,868	)		(1,127,472	)
Schibsted ASA, Class A		(92,664	)		(2,809,953	)
Yara International ASA		(109,309	)		(4,522,354	)
					(8,459,779	)
Portugal - 0.0% (c)
Banco Comercial Portugues SA, Class R *		(1,124,484	)		(336,256	)
Singapore - (0.2)%
CapitaLand Ltd.		(563,000	)		(1,303,064	)
Singapore Post Ltd.		(332,300	)		(306,847	)
Singapore Press Holdings Ltd.		(1,015,400	)		(1,935,010	)
Singapore Telecommunications Ltd.		(251,200	)		(567,159	)
					(4,112,080	)

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

AQR Funds Semi-Annual Report June 2018

53

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES			VALUE
Spain - (3.1)%
Atresmedia Corp. de Medios de Comunicacion SA		(32,791	)	$	(275,071	)
Banco de Sabadell SA		(171,918	)		(287,070	)
Banco Santander SA		(209,941	)		(1,122,023	)
Bankia SA		(2,452,293	)		(9,144,773	)
Cellnex Telecom SA (b)		(367,058	)		(9,228,377	)
Ferrovial SA		(236,799	)		(4,845,525	)
Grifols SA		(310,342	)		(9,301,832	)
Industria de Diseno Textil SA		(688,419	)		(23,443,504	)
Telefonica SA		(571,141	)		(4,847,523	)
					(62,495,698	)
Sweden - (3.1)%
Elekta AB, Class B		(18,006	)		(236,664	)
Getinge AB, Class B		(245,551	)		(2,229,120	)
Hennes & Mauritz AB, Class B		(525,068	)		(7,815,664	)
Hexagon AB, Class B		(52,149	)		(2,897,772	)
Hexpol AB		(185,452	)		(1,918,233	)
Nordea Bank AB		(129,452	)		(1,241,780	)
Svenska Handelsbanken AB, Class A		(1,116,620	)		(12,367,068	)
Swedbank AB, Class A		(50,942	)		(1,085,383	)
Swedish Orphan Biovitrum AB *		(26,954	)		(587,007	)
Telefonaktiebolaget LM Ericsson, Class B		(3,890,265	)		(29,971,393	)
					(60,350,084	)
Switzerland - (2.9)%
Aryzta AG *		(137,236	)		(2,052,768	)
Chocoladefabriken Lindt & Spruengli AG		(1,058	)		(6,857,558	)
Credit Suisse Group AG (Registered) *		(1,842,754	)		(27,554,844	)
Dufry AG (Registered) *		(4,793	)		(609,588	)
Lonza Group AG (Registered) *		(3,782	)		(999,380	)
Straumann Holding AG (Registered)		(596	)		(451,998	)
UBS Group AG (Registered) *		(68,885	)		(1,056,032	)
Vifor Pharma AG		(106,314	)		(16,958,537	)
					(56,540,705	)
United Kingdom - (0.7)%
CNH Industrial NV		(36,931	)		(390,120	)
Subsea 7 SA		(218,343	)		(3,471,021	)
Unilever NV, CVA		(190,026	)		(10,587,676	)
					(14,448,817	)
United States - (0.4)%
Altice USA, Inc., Class A (1)		(447,841	)		(7,640,160	)
Zambia - (0.4)%
First Quantum Minerals Ltd. (1)		(469,692	)		(6,920,423	)
TOTAL COMMON STOCKS (Proceeds $(479,619,383))					(451,348,135	)

INVESTMENTS	NO. OF RIGHTS			VALUE
RIGHTS - 0.0%
Italy - 0.0%
Intesa Sanpaolo SpA (3)*(h) (Proceeds $—)		(1,081,534	)	$	—
TOTAL SHORT POSITIONS (Proceeds $(479,619,383))					(451,348,135	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 84.1% (Cost $1,564,966,675)					1,650,318,525
OTHER ASSETS IN EXCESS OF LIABILITIES - 15.9% (i)				311,663,111
NET ASSETS - 100.0%				$	1,961,981,636

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	912,808			0.1	%
Consumer Staples		3,156,660			0.2
Energy		(20,813,383	)		(1.1	)
Financials		(20,936,332	)		(1.1	)
Health Care		(10,816,189	)		(0.5	)
Industrials		49,334,934			2.5
Information Technology		9,892,499			0.5
Materials		60,276,517			3.1
Real Estate		(1,303,064	)		(0.1	)
Telecommunication Services		(20,053,889	)		(1.0	)
Utilities		45,895,872			2.3
Short-Term Investments		1,554,772,092			79.2
Total Investments In Securities At Value	1,650,318,525			84.1
Other Assets in Excess of Liabilities (i)		311,663,111			15.9
Net Assets	$	1,961,981,636			100.0	%

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

AQR Funds Semi-Annual Report June 2018

54

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $499,422,902.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2018 amounted to $(155,448), which represents approximately -0.01% of net assets of the fund.

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

(d) Represents 7-day effective yield as of June 30, 2018.

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

(f) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/17		SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/18		VALUE AT 06/30/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
SHORT-TERM INVESTMENTS - 46.1 %
INVESTMENT COMPANIES - 46.1%
Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $904,339,661)		1,114,214,887	596,420,067		(806,151,960	)		904,482,994		$904,482,994		$8,060,136		$(62,023	)		145,895

(a) Represents 7-day effective yield as of June 30, 2018.

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

(h) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

(i) Includes appreciation/(depreciation) on forward foreign currency exchange and swaps contracts.

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

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

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

CVA - Dutch Certification

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	4,272,000	USD	3,248,260	CITI		9/19/2018		$5,676
CAD	6,408,000	USD	4,872,396	JPMC		9/19/2018		8,506
CHF	146,000	USD	147,225	CITI		9/19/2018		1,224
CHF	219,000	USD	220,837	JPMC		9/19/2018		1,836
DKK	5,980,400	USD	934,602	CITI		9/19/2018		8,714
DKK	8,970,600	USD	1,401,905	JPMC		9/19/2018		13,070
EUR	2,926,000	USD	3,425,030	CITI		9/19/2018		12,538
EUR	4,389,000	USD	5,137,551	JPMC		9/19/2018		18,800
USD	5,794,657	CAD	7,485,725	CITI		9/19/2018		92,865
USD	8,691,960	CAD	11,228,569	JPMC		9/19/2018		139,283
USD	2,478,071	CHF	2,423,386	CITI		9/19/2018		14,037
USD	3,717,103	CHF	3,635,080	JPMC		9/19/2018		21,050
USD	95,926	DKK	601,600	CITI		9/19/2018		1,033

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

AQR Funds Semi-Annual Report June 2018

55

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	143,889	DKK	902,400	JPMC		9/19/2018		$ 1,549
USD	33,698,276	EUR	28,523,900	CITI		9/19/2018		187,401
USD	50,547,350	EUR	42,785,849	JPMC		9/19/2018		281,037
USD	20,437	HKD	160,000	CITI		9/19/2018		16
USD	30,655	HKD	240,000	JPMC		9/19/2018		24
USD	4,305,667	NOK	34,636,300	CITI		9/19/2018		39,349
USD	6,458,492	NOK	51,954,450	JPMC		9/19/2018		59,016
USD	4,912,867	SEK	42,414,798	CITI		9/19/2018		148,399
USD	7,369,292	SEK	63,622,202	JPMC		9/19/2018		222,589
Total unrealized appreciation								1,278,012
CAD	1,600	USD	1,235	CITI		9/19/2018		(16	)
CAD	2,400	USD	1,853	JPMC		9/19/2018		(25	)
CHF	2,057,200	USD	2,106,059	CITI		9/19/2018		(14,353	)
CHF	3,085,800	USD	3,159,092	JPMC		9/19/2018		(21,533	)
DKK	7,058,400	USD	1,114,672	CITI		9/19/2018		(1,318	)
DKK	10,587,600	USD	1,672,010	JPMC		9/19/2018		(1,978	)
EUR	11,710,800	USD	13,827,884	CITI		9/19/2018		(69,627	)
EUR	17,566,200	USD	20,741,853	JPMC		9/19/2018		(104,466	)
NOK	223,600	USD	27,636	CITI		9/19/2018		(94	)
NOK	335,400	USD	41,454	JPMC		9/19/2018		(141	)
SEK	5,538,000	USD	642,048	CITI		9/19/2018		(19,963	)
SEK	8,307,000	USD	963,073	JPMC		9/19/2018		(29,943	)
SGD	1,633,200	USD	1,219,602	CITI		9/19/2018		(18,870	)
SGD	2,449,800	USD	1,829,405	JPMC		9/19/2018		(28,309	)
USD	1,832,142	CAD	2,430,000	CITI		9/19/2018		(18,764	)
USD	2,748,209	CAD	3,645,000	JPMC		9/19/2018		(28,146	)
USD	302,555	CHF	298,214	CITI		9/19/2018		(662	)
USD	453,831	CHF	447,320	JPMC		9/19/2018		(992	)
USD	3,413,309	DKK	21,750,800	CITI		9/19/2018		(17,547	)
USD	5,119,958	DKK	32,626,200	JPMC		9/19/2018		(26,327	)
USD	9,012,556	EUR	7,709,300	CITI		9/19/2018		(44,599	)
USD	13,518,819	EUR	11,563,951	JPMC		9/19/2018		(66,915	)
USD	2,075,477	NOK	16,943,300	CITI		9/19/2018		(11,509	)
USD	3,113,211	NOK	25,414,950	JPMC		9/19/2018		(17,268	)
USD	77,212	SEK	691,200	CITI		9/19/2018		(431	)
USD	115,818	SEK	1,036,800	JPMC		9/19/2018		(646	)
USD	54,192	SGD	74,000	CITI		9/19/2018		(213	)
USD	81,288	SGD	111,000	JPMC		9/19/2018		(320	)
Total unrealized depreciation								(544,975	)
Net unrealized appreciation								$733,037

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

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 June 2018

56

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

Total Return Basket Swaps Outstanding at June 30, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SONIA plus or minus a specified spread (-0.75% to 0.35%), which is denominated in GBP based on the local currencies of the positions within the swap.	16-61 months maturity 10/14/2019	$289,915,506		$(6,224,243	)		$94,823		$(6,129,420	)

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
Australia
BHP Billiton plc		765,324		$17,175,733		$2,245,284			(36.6	)%
Rio Tinto plc		367,808		20,273,029		1,766,764			(28.8	)
Chile
Antofagasta plc		582,041		7,561,996		109,220			(1.8	)
Russia
Evraz plc		393,042		2,623,330		353,600			(5.8	)
South Africa
Anglo American plc		379,172		8,417,971		(298,076	)		4.9
Investec plc		323,232		2,285,492		(121,225	)		2.0
Switzerland
Coca-Cola HBC AG		111,826		3,722,087		434,202			(7.1	)
United Kingdom
Barratt Developments plc		825,437		5,595,564		(555,482	)		9.1
Bellway plc		90,703		3,583,292		(124,177	)		2.0
BP plc		614,052		4,672,025		32,868			(0.5	)
BT Group plc		2,723,038		7,811,704		(2,361,984	)		38.5
Burberry Group plc		196,569		5,586,598		369,085			(6.0	)
Close Brothers Group plc		118,528		2,313,883		(84,977	)		1.4
Inchcape plc		418,724		4,304,698		(14,597	)		0.2
Indivior plc		455,872		2,295,541		345,304			(5.6	)
Man Group plc		920,040		2,132,758		(66,214	)		1.1
Moneysupermarket.com Group plc		618,600		2,567,801		(13,825	)		0.2
Persimmon plc		88,881		2,960,599		76,893			(1.3	)
Royal Mail plc		699,316		4,652,495		870,273			(14.2	)
Smith & Nephew plc		339,277		6,249,587		296,897			(4.8	)
Standard Life Aberdeen plc		1,176,892		5,039,646		(1,185,105	)		19.3
Tate & Lyle plc		268,689		2,286,639		(451,461	)		7.4
Taylor Wimpey plc		1,912,461		4,501,976		(252,339	)		4.1
Thomas Cook Group plc		1,331,436		1,886,725		(210,114	)		3.4
William Hill plc		771,537		3,081,498		(99,308	)		1.6

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

AQR Funds Semi-Annual Report June 2018

57

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
United Kingdom
AA plc		(1,550,594	)	$	(2,536,971	)	$	1,044,534			(17.0	) %
Auto Trader Group plc		(819,452	)		(4,592,532	)		(821,535	)		13.4
Babcock International Group plc		(486,162	)		(5,223,551	)		(758,693	)		12.4
Balfour Beatty plc		(620,872	)		(2,317,321	)		(78,609	)		1.3
British American Tobacco plc		(130,859	)		(6,591,811	)		477,757			(7.8	)
Capita plc		(1,135,893	)		(2,387,494	)		1,519,581			(24.8	)
Cobham plc		(1,617,128	)		(2,734,441	)		68,522			(1.1	)
ConvaTec Group plc		(1,765,804	)		(4,929,695	)		229,189			(3.7	)
Hargreaves Lansdown plc		(194,347	)		(5,037,807	)		(1,667,919	)		27.2
Inmarsat plc		(991,506	)		(7,169,741	)		469,971			(7.7	)
J Sainsbury plc		(1,340,824	)		(5,674,059	)		(1,148,295	)		18.7
John Wood Group plc		(1,157,796	)		(9,561,078	)		87,694			(1.4	)
Johnson Matthey plc		(58,846	)		(2,802,042	)		(378,481	)		6.2
Merlin Entertainments plc		(1,046,976	)		(5,338,208	)		(123,878	)		2.0
Micro Focus International plc		(516,214	)		(8,956,996	)		(472,629	)		7.7
National Grid plc		(387,699	)		(4,284,487	)		(73,084	)		1.2
Pennon Group plc		(290,507	)		(3,038,134	)		(521,987	)		8.5
Reckitt Benckiser Group plc		(112,629	)		(9,254,143	)		(638,691	)		10.4
Rightmove plc		(30,633	)		(2,141,322	)		(418,790	)		6.8
Rotork plc		(461,695	)		(2,033,376	)		(509,387	)		8.3
Severn Trent plc		(108,048	)		(2,817,219	)		(34,361	)		0.6
Tesco plc		(4,586,105	)		(15,517,527	)		(3,407,084	)		55.6
United Utilities Group plc		(324,117	)		(3,258,442	)		(266,800	)		4.4
Weir Group plc (The)		(156,983	)		(4,122,726	)		(30,203	)		0.5
Wm Morrison Supermarkets plc		(1,167,417	)		(3,872,322	)		(434,899	)		7.1

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

AQR Funds Semi-Annual Report June 2018

58

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-5.17% to 0.33%), which is denominated in USD based on the local currencies of the positions within the swap.	16-49 months maturity 10/16/2019	$3,200,375,169		$(54,885,390	)		$4,185,377		$(50,700,013	)

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
United States
Adobe Systems, Inc.		66,575		$	16,231,651		$	2,029,617			(4.0	)%
Aflac, Inc.		415,609			17,879,499			741,862			(1.5	)
Allstate Corp. (The)		252,431			23,039,377			(404,954	)		0.8
Amazon.com, Inc.		10,466			17,790,107			906,340			(1.8	)
Ameriprise Financial, Inc.		99,432			13,908,548			(1,218,142	)		2.4
Apple, Inc.		78,802			14,587,038			(187,484	)		0.4
Baxter International, Inc.		252,557			18,648,809			3,887,232			(7.7	)
Biogen, Inc.		57,024			16,550,646			(22,635	)		0.0
Boeing Co. (The)		42,850			14,376,603			1,034,217			(2.0	)
Brunswick Corp.		210,964			13,602,959			2,048,677			(4.0	)
Consolidated Edison, Inc.		211,011			16,454,638			90,554			(0.2	)
Electronic Arts, Inc.		119,216			16,811,840			2,733,486			(5.4	)
Exelon Corp.		740,100			31,528,260			3,021,861			(6.0	)
Facebook, Inc.		109,995			21,374,228			788,567			(1.6	)
General Dynamics Corp.		91,873			17,126,046			(3,232,780	)		6.4
Honeywell International, Inc.		115,635			16,657,222			241,758			(0.5	)
International Business Machines Corp.		138,676			19,373,037			(1,891,725	)		3.7
Lear Corp.		107,240			19,926,264			4,375,108			(8.6	)
LyondellBasell Industries NV		266,972			29,326,874			3,317,472			(6.5	)
Micron Technology, Inc.		294,808			15,459,732			(322,031	)		0.6
Microsoft Corp.		134,692			13,281,978			2,260,061			(4.5	)
NVR, Inc.		4,579			13,601,233			(1,006,771	)		2.0
Raytheon Co.		152,277			29,416,871			(1,601,523	)		3.2
Skyworks Solutions, Inc.		186,093			17,985,888			(1,706,573	)		3.4
Spirit AeroSystems Holdings, Inc.		152,175			13,073,354			4,460,314			(8.8	)
Valero Energy Corp.		141,129			15,641,327			1,430,312			(2.8	)
Short Positions
Common Stock
United States
Albemarle Corp.		(255,050	)		(24,058,867	)		5,715,635			(11.3	)
American Airlines Group, Inc.		(509,855	)		(19,354,096	)		4,297,876			(8.5	)
BioMarin Pharmaceutical, Inc.		(193,799	)		(18,255,866	)		(1,631,912	)		3.2
CarMax, Inc.		(210,817	)		(15,362,235	)		(2,217,083	)		4.4
CenturyLink, Inc.		(1,034,402	)		(19,281,253	)		(1,162,743	)		2.3

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

AQR Funds Semi-Annual Report June 2018

59

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Charter Communications, Inc.		(59,133	)	$	(17,338,387	)	$	19,834			(0.0	) %
Cheniere Energy, Inc.		(262,780	)		(17,130,628	)		(5,328,448	)		10.5
Discovery, Inc.		(576,857	)		(15,863,568	)		(3,037,697	)		6.0
Envision Healthcare Corp.		(493,614	)		(21,723,952	)		(3,878,823	)		7.7
First Data Corp.		(614,123	)		(12,853,594	)		(2,553,866	)		5.0
FirstEnergy Corp.		(792,431	)		(28,456,197	)		(3,254,726	)		6.4
Gartner, Inc.		(135,402	)		(17,994,926	)		(1,530,475	)		3.0
Hess Corp.		(278,314	)		(18,616,423	)		(6,295,528	)		12.4
IHS Markit Ltd.		(331,968	)		(17,126,229	)		(1,817,087	)		3.6
Kinder Morgan, Inc.		(839,595	)		(14,835,644	)		(1,670,778	)		3.3
Kraft Heinz Co. (The)		(361,824	)		(22,729,784	)		(1,324,420	)		2.6
Macquarie Infrastructure Corp.		(314,119	)		(13,255,822	)		7,783,894			(15.4	)
Post Holdings, Inc.		(214,325	)		(18,436,237	)		(868,883	)		1.7
PPL Corp.		(732,695	)		(20,918,442	)		(266,950	)		0.5
Targa Resources Corp.		(325,195	)		(16,093,901	)		(1,089,911	)		2.1
TransDigm Group, Inc.		(70,160	)		(24,215,022	)		(4,787,799	)		9.4
Uniti Group, Inc.		(744,845	)		(14,919,245	)		(2,883,224	)		5.7
VEREIT, Inc.		(3,311,370	)		(24,636,593	)		1,015,573			(2.0	)
Zayo Group Holdings, Inc.		(358,813	)		(13,089,498	)		(1,333,449	)		2.6

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-7.13% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	16-61 months maturity 10/14/2019	$304,384,247		$(1,626,465	)		$(2,210,466	)		$(3,836,931	)

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
France
Air France-KLM		182,858	$	1,494,349	$	(1,089,678	)		28.4	%
Atos SE		51,651		7,023,342		(195,667	)		5.1
Cie Generale des Etablissements Michelin SCA		123,225		14,907,525		(2,001,197	)		52.2
Engie SA		833,067		12,743,013		(514,941	)		13.4
Faurecia SA		32,174		2,287,134		(220,440	)		5.7
Peugeot SA		476,777		10,863,496		633,309			(16.5	)
Renault SA		157,350		13,330,921		(2,737,261	)		71.3
Teleperformance		16,788		2,963,009		791,590			(20.6	)
Thales SA		35,696		4,592,429		811,164			(21.1	)
TOTAL SA		157,529		9,566,069		725,004			(18.9	)

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

AQR Funds Semi-Annual Report June 2018

60

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Germany
Continental AG		28,650		$	6,520,105		$	(792,369	)		20.7	%
Covestro AG		202,481			17,997,242			(2,065,005	)		53.8
HeidelbergCement AG		26,162			2,196,731			(255,133	)		6.6
HOCHTIEF AG		10,489			1,891,512			82,556			(2.2	)
Rheinmetall AG		69,478			7,644,132			(987,635	)		25.7
Salzgitter AG		87,674			3,814,521			(817,231	)		21.3
Schaeffler AG (Preference)		236,390			3,068,142			(739,563	)		19.3
Software AG		107,892			5,014,526			(688,791	)		18.0
Suedzucker AG		87,635			1,392,944			(374,336	)		9.8
Talanx AG		44,833			1,633,248			(160,489	)		4.2
Volkswagen AG (Preference)		8,894			1,469,380			(206,351	)		5.4
Short Positions
Common Stock
France
Accor SA		(90,217	)		(4,418,462	)		(89,014	)		2.3
Airbus SE		(44,147	)		(5,151,726	)		(333,012	)		8.7
Bollore SA		(563,575	)		(2,617,209	)		(219,858	)		5.7
Carrefour SA		(506,756	)		(8,174,444	)		2,099,152			(54.7	)
Credit Agricole SA		(191,400	)		(2,540,363	)		130,051			(3.4	)
Edenred		(212,256	)		(6,704,467	)		(1,150,475	)		30.0
Electricite de France SA		(789,518	)		(10,833,655	)		(1,539,361	)		40.1
Getlink		(318,443	)		(4,365,811	)		(761,555	)		19.8
Iliad SA		(48,768	)		(7,694,865	)		2,133,348			(55.6	)
Ingenico Group SA		(107,393	)		(9,629,319	)		677,525			(17.7	)
JCDecaux SA		(68,497	)		(2,287,227	)		169,228			(4.4	)
L’Oreal SA		(11,509	)		(2,837,276	)		(443,428	)		11.6
Orpea		(10,676	)		(1,422,023	)		(168,280	)		4.4
Societe Generale SA		(44,672	)		(1,877,561	)		98,973			(2.6	)
Suez		(404,790	)		(5,236,368	)		208,431			(5.4	)
Valeo SA		(31,394	)		(1,711,714	)		252,595			(6.6	)
Vivendi SA		(360,953	)		(8,829,961	)		60,262			(1.6	)
Germany
Commerzbank AG		(538,112	)		(5,133,238	)		678,113			(17.7	)
Deutsche Bank AG (Registered)		(1,597,561	)		(17,091,465	)		9,085,972			(236.8	)
Deutsche Telekom AG (Registered)		(409,723	)		(6,332,027	)		19,842			(0.5	)
GEA Group AG		(106,901	)		(3,600,234	)		1,438,610			(37.5	)
Henkel AG & Co. KGaA (Preference)		(13,064	)		(1,666,950	)		(61,174	)		1.6
Symrise AG		(17,740	)		(1,551,796	)		(82,556	)		2.2
Telefonica Deutschland Holding AG		(370,852	)		(1,458,917	)		316,014			(8.2	)
thyssenkrupp AG		(70,145	)		(1,700,307	)		124,913			(3.3	)
Wirecard AG		(27,179	)		(4,349,195	)		(1,284,104	)		33.5
Zalando SE		(100,382	)		(5,594,491	)		(217,308	)		5.7
Luxembourg
Eurofins Scientific SE		(10,990	)		(6,095,170	)		(356,061	)		9.3
United States
QIAGEN NV		(209,937	)		(7,610,043	)		(1,032,307	)		26.9

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

AQR Funds Semi-Annual Report June 2018

61

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HONIX plus or minus a specified spread (-2.13% to 0.45%), which is denominated in HKD based on the local currencies of the positions within the swap.	4-49 months maturity 10/16/2018	$33,838,179		$1,137,512		$33,129		$1,170,641

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
Hong Kong
Chow Tai Fook Jewellery Group Ltd.		1,254,600		$	1,411,025		$	50,361			4.3	%
Henderson Land Development Co. Ltd.		134,500			709,256			(56,646	)		(4.8	)
Kerry Properties Ltd.		557,500			2,664,255			647,641			55.3
Li & Fung Ltd.		3,294,000			1,206,536			(412,418	)		(35.2	)
Melco International Development Ltd.		1,470,000			4,509,375			626,001			53.5
Sino Land Co. Ltd.		762,000			1,238,229			(84,907	)		(7.3	)
SJM Holdings Ltd.		331,000			410,517			(34,087	)		(2.9	)
Sun Hung Kai Properties Ltd.		11,000			165,725			(512	)		(0.0	)
Swire Properties Ltd.		93,800			345,931			35,003			3.0
WH Group Ltd.		487,000			394,074			(27,255	)		(2.3	)
Wheelock & Co. Ltd.		175,000			1,216,168			(182,014	)		(15.5	)
Yue Yuen Industrial Holdings Ltd.		408,500			1,151,426			(285,918	)		(24.4	)
Macau
Wynn Macau Ltd.		470,000			1,506,183			(215,937	)		(18.4	)
Short Positions
Common Stock
China
Guotai Junan International Holdings Ltd.		(2,204,000	)		(475,037	)		218,753			18.7
Minth Group Ltd.		(420,000	)		(1,776,479	)		198,876			17.0
Hong Kong
AIA Group Ltd.		(238,200	)		(2,075,058	)		32,761			2.8
ASM Pacific Technology Ltd.		(216,300	)		(2,726,143	)		341,714			29.2
Cathay Pacific Airways Ltd.		(522,000	)		(819,659	)		(81,703	)		(7.0	)
CK Hutchison Holdings Ltd.		(16,000	)		(169,376	)		16,343			1.4
Haitong International Securities Group Ltd.		(3,175,656	)		(1,442,559	)		394,661			33.7
HK Electric Investments & HK Electric Investments Ltd.		(308,000	)		(293,628	)		(7,617	)		(0.7	)
Hong Kong & China Gas Co. Ltd.		(580,880	)		(1,110,372	)		(380,452	)		(32.5	)
Hysan Development Co. Ltd.		(50,000	)		(279,075	)		(40,194	)		(3.4	)
MTR Corp. Ltd.		(655,953	)		(3,623,253	)		37,324			3.2
Techtronic Industries Co. Ltd.		(71,500	)		(397,103	)		23,604			2.0
Value Partners Group Ltd.		(1,801,000	)		(1,416,110	)		296,802			25.4
United States
Samsonite International SA		(86,700	)		(305,627	)		27,328			2.3

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

AQR Funds Semi-Annual Report June 2018

62

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Reserve Bank of Australia Cash Rate (“RBACR”) plus or minus a specified spread (-1.00% to 0.45%), which is denominated in AUD based on the local currencies of the positions within the swap.	24-49 months maturity 10/15/2018	$49,902,385		$(1,074,160	)		$(9,080	)		$(1,083,240	)

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
Australia
Adelaide Brighton Ltd.		62,109		$	319,013		$	38,300			(3.5	)%
Alumina Ltd.		281,413			582,352			63,515			(5.9	)
Aurizon Holdings Ltd.		765,755			2,448,839			(510,861	)		47.2
BlueScope Steel Ltd.		49,090			626,515			(4,893	)		0.5
Caltex Australia Ltd.		23,163			557,435			41,634			(3.8	)
CIMIC Group Ltd.		104,242			3,258,633			419,945			(38.8	)
Fortescue Metals Group Ltd.		234,171			760,347			(52,903	)		4.9
Harvey Norman Holdings Ltd.		131,715			323,588			(88,681	)		8.2
Newcrest Mining Ltd.		434,633			7,057,198			(34,324	)		3.2
Oil Search Ltd.		10,406			68,367			131			(0.0	)
Orica Ltd.		27,328			358,774			(44,414	)		4.1
Origin Energy Ltd.		284,743			2,111,982			349,579			(32.3	)
Qantas Airways Ltd.		78,067			355,486			58,821			(5.4	)
Santos Ltd.		18,715			86,681			(119	)		0.0
South32 Ltd.		1,221,265			3,261,174			220,316			(20.3	)
Woodside Petroleum Ltd.		154,152			4,039,783			643,962			(59.4	)
Short Positions
Common Stock
Australia
AMP Ltd.		(430,935	)		(1,133,446	)		542,971			(50.1	)
APA Group		(640,147	)		(4,663,742	)		(485,340	)		44.8
AusNet Services		(282,843	)		(335,934	)		17,866			(1.6	)
Challenger Ltd.		(140,852	)		(1,232,631	)		51,840			(4.8	)
Computershare Ltd.		(45,381	)		(618,201	)		(27,136	)		2.5
CSL Ltd.		(11,232	)		(1,598,798	)		(242,204	)		22.4
Healthscope Ltd.		(1,703,951	)		(2,780,342	)		(513,080	)		47.4
Ramsay Health Care Ltd.		(6,564	)		(262,121	)		63,798			(5.9	)
REA Group Ltd.		(28,301	)		(1,899,308	)		(587,318	)		54.2
SEEK Ltd.		(342,551	)		(5,520,245	)		(1,326,350	)		122.4
TPG Telecom Ltd.		(388,452	)		(1,484,870	)		120,541			(11.1	)
Transurban Group		(23,343	)		(206,710	)		(12,201	)		1.1
Vocus Group Ltd.		(1,142,091	)		(1,949,870	)		222,445			(20.5	)

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

AQR Funds Semi-Annual Report June 2018

63

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread (-1.50% to 0.45%), which is denominated in JPY based on the local currencies of the positions within the swap.	4-49 months maturity 10/16/2018	$583,678,703		$(17,048,892	)		$(576,715	)		$(17,625,607	)

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
Japan
Astellas Pharma, Inc.		582,500		$	8,864,825		$	719,087			(4.1	)%
Bandai Namco Holdings, Inc.		177,800			7,323,851			1,633,942			(9.3	)
Haseko Corp.		561,000			7,732,321			1,108,479			(6.3	)
Hitachi Ltd.		1,593,000			11,222,659			(89,151	)		0.5
Idemitsu Kosan Co. Ltd.		235,000			8,356,978			959,526			(5.4	)
Inpex Corp.		1,046,900			10,872,981			(758,852	)		4.3
Japan Airlines Co. Ltd.		376,900			13,353,972			(192,131	)		1.1
JFE Holdings, Inc.		236,100			4,459,387			(648,917	)		3.7
JXTG Holdings, Inc.		3,417,200			23,707,774			4,677,943			(26.5	)
Kajima Corp.		1,049,000			8,105,266			(1,217,550	)		6.9
Marubeni Corp.		764,100			5,817,389			734,977			(4.2	)
Matsumotokiyoshi Holdings Co. Ltd.		157,300			7,058,651			2,082,224			(11.8	)
Mitsubishi Gas Chemical Co., Inc.		190,000			4,293,563			273,503			(1.6	)
Nexon Co. Ltd.		462,200			6,706,229			(42,015	)		0.2
Nippon Telegraph & Telephone Corp.		161,100			7,318,453			(365,911	)		2.1
Obayashi Corp.		656,400			6,815,678			(899,057	)		5.1
Otsuka Corp.		103,200			4,040,007			256,725			(1.5	)
Pola Orbis Holdings, Inc.		118,600			5,211,938			1,854,628			(10.5	)
Sega Sammy Holdings, Inc.		253,300			4,335,349			719,208			(4.1	)
Square Enix Holdings Co. Ltd.		233,900			11,468,611			4,063,613			(23.1	)
Start Today Co. Ltd.		178,400			6,454,616			874,583			(5.0	)
Taiheiyo Cement Corp.		124,800			4,105,464			(709,455	)		4.0
Taisei Corp.		271,175			14,933,459			1,764,777			(10.0	)
Tosoh Corp.		439,800			6,800,269			(2,515,815	)		14.3
Short Positions
Common Stock
Japan
Aeon Co. Ltd.		(495,600	)		(10,601,995	)		(3,145,103	)		17.8
Asics Corp.		(347,100	)		(5,859,431	)		(324,511	)		1.8
Calbee, Inc.		(197,600	)		(7,433,237	)		(463,867	)		2.6
FamilyMart UNY Holdings Co. Ltd.		(114,400	)		(12,046,826	)		(5,724,193	)		32.5
Fast Retailing Co. Ltd.		(10,700	)		(4,904,192	)		(1,159,812	)		6.6
Hokuriku Electric Power Co.		(407,800	)		(4,095,942	)		(586,900	)		3.3

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

AQR Funds Semi-Annual Report June 2018

64

Schedule of Investments June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Isetan Mitsukoshi Holdings Ltd.		(586,900	)	$	(7,322,103	)	$	(894,183	)		5.1	%
Kakaku.com, Inc.		(213,700	)		(4,812,092	)		(1,821,002	)		10.3
Keikyu Corp.		(252,400	)		(4,134,168	)		1,226,257			(7.0	)
Kikkoman Corp.		(85,300	)		(4,306,681	)		(1,603,871	)		9.1
Kintetsu Group Holdings Co. Ltd.		(113,300	)		(4,619,848	)		(387,279	)		2.2
Marui Group Co. Ltd.		(534,900	)		(11,251,664	)		(3,509,945	)		19.9
Murata Manufacturing Co. Ltd.		(33,800	)		(5,674,223	)		(1,094,910	)		6.2
NGK Spark Plug Co. Ltd.		(256,500	)		(7,291,980	)		(1,838,480	)		10.4
Nidec Corp.		(31,600	)		(4,727,034	)		(539,409	)		3.1
Nippon Paint Holdings Co. Ltd.		(219,300	)		(9,431,027	)		(1,847,903	)		10.5
Odakyu Electric Railway Co. Ltd.		(236,600	)		(5,074,110	)		(451,591	)		2.6
Ricoh Co. Ltd.		(1,449,900	)		(13,277,797	)		63,933			(0.4	)
Shimano, Inc.		(63,100	)		(9,259,588	)		(230,525	)		1.3
SoftBank Group Corp.		(146,600	)		(10,468,435	)		1,088,880			(6.2	)
Sony Financial Holdings, Inc.		(386,000	)		(7,354,497	)		(1,071,619	)		6.1
T&D Holdings, Inc.		(765,900	)		(11,487,021	)		651,579			(3.7	)
TDK Corp.		(103,400	)		(10,528,482	)		(1,332,517	)		7.6
Tokio Marine Holdings, Inc.		(156,900	)		(7,340,292	)		(68,090	)		0.4
Yamato Holdings Co. Ltd.		(329,900	)		(9,709,833	)		(2,791,036	)		15.8
Yaskawa Electric Corp.		(189,100	)		(6,659,177	)		1,279,447			(7.3	)

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED		TOTAL
CITI
Cash		$(640,000	)	$	—		$(640,000	)
Investment Companies		1,462,423			—		1,462,423
JPMC
Investment Companies		3,461,478			—		3,461,478
MSIP
Cash		391,517,551			—		391,517,551

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

AQR Funds Semi-Annual Report June 2018

65

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 90.1%
INVESTMENT COMPANIES - 50.5%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (a)(b)		5,464,317	$	5,464,317
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (a)(b)		564,969		564,969
Limited Purpose Cash Investment Fund, 1.85% (a)		12,298,799		12,298,799
TOTAL INVESTMENT COMPANIES (Cost $18,325,737)				18,328,085
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 39.6%
U.S. Treasury Bills
1.97%, 9/20/2018 (c)	$	1,649,000		1,642,129
2.06%, 11/15/2018 (c)		12,859,000		12,761,722
TOTAL U.S. TREASURY OBLIGATIONS (Cost $14,401,181)				14,403,851
TOTAL SHORT-TERM INVESTMENTS (Cost $32,726,918)				32,731,936
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 90.1% (Cost $32,726,918)				32,731,936
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.9% (d)			3,592,881
NET ASSETS - 100.0%			$	36,324,817

(a) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

Forward Effective Interest rate swap contracts outstanding as of June 30, 2018:

Exchange Cleared

PAY/RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	MATURITY DATE		NOTIONAL AMOUNT			UPFRONT PREMIUM PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)		VALUE
Pay	3 Month Australian Bank-Bill Reference Rate Quarterly	2.50% Semi-Annually		9/16/2020		NZD	61,000,000		$99,228			$151,512		$250,740
Pay	3 Month Canadian Bankers’ Acceptance Rate Quarterly	3.00% Semi-Annually		9/18/2028		CAD	3,400,000		69,552			27,263		96,815
Pay	3 Month Stockholm Interbank Offered Rate Quarterly	1.50% Annually		9/20/2028		SEK	18,100,000		(954	)		65,925		64,971
Pay	6 Month Euro Interbank Offered Rate Semi-Annually	0.00% Annually		9/21/2020		EUR	600,000		1,797			89		1,886
Pay	6 Month Euro Interbank Offered Rate Semi-Annually	1.00% Annually		9/19/2028		EUR	100,000		(450	)		1,394		944
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.50% Annually		9/20/2028		CHF	1,400,000		(13,582	)		22,760		9,178
Pay	6 Month Norwegian Interbank Offered Rate Semi-Annually	1.50% Annually		9/16/2020		NOK	237,500,000		(44,694	)		47,065		2,371

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

AQR Funds Semi-Annual Report June 2018

66

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

PAY/RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	MATURITY DATE		NOTIONAL AMOUNT			UPFRONT PREMIUM PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Receive	3 Month London Interbank Offered Rate Quarterly	2.25% Semi-Annually		9/21/2020		USD	136,400,000		$ 1,197,302			$ 411,511			$ 1,608,813
Receive	6 Month London Interbank Offered Rate Semi-Annually	1.50% Semi-Annually		9/19/2028		GBP	4,300,000		91,485			(66,177	)		25,308
									1,399,684			661,342			2,061,026
Pay	3 Month Australian Bank-Bill Reference Rate Quarterly	2.00% Quarterly		9/10/2020		AUD	24,800,000		(72,909	)		42,213			(30,696	)
Pay	3 Month London Interbank Offered Rate Quarterly	2.50% Semi-Annually		9/19/2028		USD	14,600,000		(554,310	)		(10,655	)		(564,965	)
Pay	6 Month London Interbank Offered Rate Semi-Annually	1.00% Semi-Annually		9/21/2020		GBP	33,600,000		(145,910	)		75,972			(69,938	)
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.25% Semi-Annually		9/20/2028		JPY	851,400,000		(44,349	)		30,581			(13,768	)
Receive	3 Month Australian Bank-Bill Reference Rate Quarterly	3.50% Semi-Annually		9/13/2028		NZD	8,000,000		(72,980	)		(135,224	)		(208,204	)
Receive	3 Month Canadian Bankers’ Acceptance Rate Quarterly	2.50% Semi-Annually		9/14/2020		CAD	5,800,000		(18,539	)		2,216			(16,323	)
Receive	3 Month Stockholm Interbank Offered Rate Quarterly	0.50% Annually		9/16/2020		SEK	41,000,000		(43,784	)		(10,927	)		(54,711	)
Receive	6 Month Australian Bank-Bill Reference Rate Semi-Annually	3.00% Semi-Annually		9/07/2028		AUD	2,900,000		(1,580	)		(28,057	)		(29,637	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.25% Annually		9/16/2020		CHF	11,500,000		(20,115	)		(37,479	)		(57,594	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.25% Semi-Annually		9/16/2020		JPY	7,845,800,000		(257,158	)		(28,069	)		(285,227	)
Receive	6 Month Norwegian Interbank Offered Rate Semi-Annually	2.50% Annually		9/20/2028		NOK	34,200,000		(49,729	)		(68,109	)		(117,838	)
									(1,281,363	)		(167,538	)		(1,448,901	)
									$118,321			$493,804			$612,125

(a) Floating rate indices at June 30, 2018 were as follows:

3 Month Australian Bank-Bill Reference Rate: 2.11%

3 Month Canadian Bankers’ Acceptance Rate: 1.77%

3 Month London Interbank Offered Rate: 2.34%

3 Month Stockholm Interbank Offered Rate: (0.35)%

6 Month Canadian Bankers’ Acceptance Rate: 1.94%

6 Month Euro Interbank Offered Rate: (0.27)%

6 Month London Interbank Offered Rate: 2.50%

6 Month Norwegian Interbank Offered Rate: 1.18%

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

AQR Funds Semi-Annual Report June 2018

67

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

Total return swap contracts outstanding as of June 30, 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)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/24/2018

USD

(35,950

)

$1,991

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/24/2018

USD

(197,725

)

2,147

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/24/2018

USD

(89,875

)

400

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

15,799,300

672

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

1,436,300

1,404

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

(3,260,700

)

3,820

MSCI Poland Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Warsaw Interbank Offered Rate (“WIBOR”) plus or minus a specified spread (-0.35%)

Monthly

GSIN

09/19/2018

PLN

(340,633

)

4,598

MSCI Singapore Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

SGD

219,600

492

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Johannesburg Interbank Agreed Rate (“JIBAR”) plus or minus a specified spread (-0.60%)

Monthly

GSIN

09/19/2018

ZAR

(4,740,934

)

1,159

MSCI Switzerland Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread (-0.45%)

Monthly

GSIN

09/19/2018

CHF

(479,356

)

1,026

MSCI Taiwan Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

USD

38,760

360

MSCI Taiwan Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

USD

348,840

2,466

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/26/2018

USD

(44,000

)

2,988

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

AQR Funds Semi-Annual Report June 2018

68

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/26/2018

USD

(132,000

)

$ 12,301

Swiss Market Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MLIN

09/21/2018

CHF

(85,750

)

336

Tel Aviv Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/25/2018

ILS

(303,366

)

840

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/24/2018

USD

(25,062

)

1,548

38,548

BIST 30 Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/31/2018

TRY

(1,393,513

)

(3,031

)

Canada 10 Year Bond September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

BANA

09/19/2018

CAD

(683,550

)

(6,415

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/24/2018

USD

89,875

(6,685

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

143,800

(10,670

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/24/2018

USD

35,950

(2,602

)

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/15/2018

BRL

1,829,050

(3,289

)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/13/2018

KRW

75,000,000

(3,667

)

MSCI Brazil Net Return Index

Decreases in total return of reference entity and pays the Brazilian Interbank Certificate of Deposit (“CDI”) plus or minus a specified spread (-0.35%)

Increases in total return of reference entity

Monthly

GSIN

09/24/2018

BRL

330,749

(81

)

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Mexico Equilibrium Interbank Interest Rate (“TIIE”) plus or minus a specified spread (0.05%)

Monthly

GSIN

09/19/2018

MXN

(2,078,950

)

(2,403

)

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

AQR Funds Semi-Annual Report June 2018

69

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO 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 Singapore Swap Offered Rate (“SOR”) plus or minus a specified spread (0.45%)

Increases in total return of reference entity

Monthly

GSIN

09/24/2018

SGD

590,670

$ (23,625

)

TAIEX Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/18/2018

TWD

10,677,000

(369

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/24/2018

USD

25,063

(2,153

)

(64,990

)

$(26,442

)

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		13	7/2018	EUR		$1,674,812		$(38,137	)
Brent Crude Oil		5	7/2018	USD		396,150		15,445
Hang Seng Index		11	7/2018	HKD		2,013,778		2,326
HSCEI		2	7/2018	HKD		138,536		(483	)
IBEX 35 Index		3	7/2018	EUR		336,389		(5,343	)
LME Aluminum Base Metal		1	7/2018	USD		54,100		(8,230	)
LME Copper Base Metal		1	7/2018	USD		165,783		(6,504	)
LME Zinc Base Metal		1	7/2018	USD		72,475		(8,928	)
MSCI Singapore Index		11	7/2018	SGD		295,486		727
MSCI Taiwan Index		27	7/2018	USD		1,046,520		8,745
Natural Gas		21	7/2018	USD		614,040		1,355
NY Harbor ULSD		3	7/2018	USD		278,422		4,591
OMXS30 Index		43	7/2018	SEK		749,412		(4,905	)
RBOB Gasoline		2	7/2018	USD		180,701		4,813
WTI Crude Oil		19	7/2018	USD		1,408,850		153,829
100 oz Gold		2	8/2018	USD		250,900		(9,397	)
LME Aluminum Base Metal		1	8/2018	USD		53,375		(2,984	)
LME Aluminum Base Metal		3	8/2018	USD		159,488		(14,891	)
LME Copper Base Metal		1	8/2018	USD		165,663		(5,028	)
LME Copper Base Metal		3	8/2018	USD		496,919		(12,899	)
LME Nickel Base Metal		1	8/2018	USD		89,198		2,255
Euro-Bund		86	9/2018	EUR		16,325,027		88,309
FTSE/MIB Index		17	9/2018	EUR		2,140,904		(49,783	)
LME Aluminum Base Metal		1	9/2018	USD		53,276		(1,102	)
LME Aluminum Base Metal		1	9/2018	USD		53,318		(758	)
LME Aluminum Base Metal		1	9/2018	USD		53,269		(1,197	)
LME Aluminum Base Metal		6	9/2018	USD		319,762		(21,027	)
LME Copper Base Metal		1	9/2018	USD		165,638		(4,666	)

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

AQR Funds Semi-Annual Report June 2018

70

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		4		9/2018	USD		$ 662,832			$ (51,180	)
LME Copper Base Metal		6		9/2018	USD		994,200			(35,523	)
LME Nickel Base Metal		2		9/2018	USD		178,734			3,337
LME Zinc Base Metal		1		9/2018	USD		71,475			(7,478	)
LME Zinc Base Metal		1		9/2018	USD		71,358			606
LME Zinc Base Metal		2		9/2018	USD		142,850			(12,255	)
Long Gilt		36		9/2018	GBP		5,846,703			70,419
SET50 Index		21		9/2018	THB		132,580			(1,993	)
Silver		3		9/2018	USD		242,970			(2,761	)
SPI 200 Index		21		9/2018	AUD		2,388,659			20,118
TOPIX Index		13		9/2018	JPY		2,031,929			(15,935	)
U.S. Treasury 5 Year Note		256		9/2018	USD		29,086,000			192,696
										246,184
Short Contracts
CAC 40 10 Euro Index		(35	)	7/2018	EUR		(2,174,648	)		55,125
FTSE Bursa Malaysia KLCI Index		(6	)	7/2018	MYR		(125,993	)		(1,807	)
LME Aluminum Base Metal		(1	)	7/2018	USD		(54,100	)		8,397
LME Copper Base Metal		(1	)	7/2018	USD		(165,783	)		7,489
LME Zinc Base Metal		(1	)	7/2018	USD		(72,475	)		8,472
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,375	)		3,160
LME Aluminum Base Metal		(3	)	8/2018	USD		(159,487	)		15,254
LME Copper Base Metal		(1	)	8/2018	USD		(165,662	)		4,460
LME Copper Base Metal		(3	)	8/2018	USD		(496,919	)		12,285
LME Nickel Base Metal		(1	)	8/2018	USD		(89,198	)		(2,417	)
Australia 10 Year Bond		(37	)	9/2018	AUD		(3,542,162	)		(24,316	)
Canada 10 Year Bond		(74	)	9/2018	CAD		(7,695,234	)		(54,616	)
EURO STOXX 50 Index		(34	)	9/2018	EUR		(1,346,403	)		27,235
FTSE 100 Index		(30	)	9/2018	GBP		(3,009,624	)		12,497
FTSE/JSE Top 40 Index		(7	)	9/2018	ZAR		(263,752	)		751
Japan 10 Year Bond		(18	)	9/2018	JPY		(24,523,506	)		(30,012	)
Japan 10 Year Bond Mini		(42	)	9/2018	JPY		(5,722,151	)		(6,890	)
KOSPI 200 Index		(18	)	9/2018	KRW		(1,211,306	)		58,968
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,269	)		1,117
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,276	)		1,007
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,318	)		1,185
LME Aluminum Base Metal		(4	)	9/2018	USD		(213,175	)		4,607
LME Copper Base Metal		(1	)	9/2018	USD		(165,638	)		4,631
LME Copper Base Metal		(4	)	9/2018	USD		(662,832	)		51,969
LME Copper Base Metal		(5	)	9/2018	USD		(828,500	)		56,010
LME Zinc Base Metal		(1	)	9/2018	USD		(71,358	)		229
LME Zinc Base Metal		(1	)	9/2018	USD		(71,475	)		7,622
LME Zinc Base Metal		(2	)	9/2018	USD		(142,850	)		6,851
MEX BOLSA Index		(11	)	9/2018	MXN		(267,215	)		(6,495	)
S&P 500 E-Mini Index		(41	)	9/2018	USD		(5,579,280	)		125,467
S&P/TSX 60 Index		(4	)	9/2018	CAD		(586,194	)		(3,857	)
U.S. Treasury 10 Year Note		(259	)	9/2018	USD		(31,128,562	)		(316,170	)
U.S. Treasury 2 Year Note		(141	)	9/2018	USD		(29,867,766	)		(46,804	)
Wheat		(8	)	9/2018	USD		(200,500	)		4,670
Soybean		(13	)	11/2018	USD		(572,000	)		56,308
Soybean Meal		(8	)	12/2018	USD		(263,920	)		17,912
Soybean Oil		(29	)	12/2018	USD		(517,476	)		14,710
										75,004
										$321,188

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

AQR Funds Semi-Annual Report June 2018

71

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	114,400	USD	84,585	CITI		9/19/2018		$97
AUD	171,600	USD	126,878	JPMC		9/19/2018		145
CAD	272,400	USD	206,750	CITI		9/19/2018		734
CAD	408,600	USD	310,126	JPMC		9/19/2018		1,100
COP	116,000,000	USD	39,338	CITI**		9/19/2018		93
COP	174,000,000	USD	59,008	JPMC**		9/19/2018		139
EUR	6,800	USD	7,987	CITI		9/19/2018		2
EUR	10,200	USD	11,981	JPMC		9/19/2018		3
HKD	1,017,600	USD	129,851	CITI		9/19/2018		26
HKD	1,490,400	USD	190,182	JPMC		9/19/2018		38
MXN	7,713,200	USD	380,760	CITI		9/19/2018		2,789
MXN	11,569,800	USD	571,141	JPMC		9/19/2018		4,182
NOK	3,425,200	USD	417,894	CITI		9/19/2018		4,004
NOK	5,137,800	USD	626,842	JPMC		9/19/2018		6,006
PLN	76,000	USD	20,236	CITI		9/19/2018		80
PLN	114,000	USD	30,354	JPMC		9/19/2018		120
TRY	1,402,400	USD	283,534	CITI		9/19/2018		11,576
TRY	2,103,600	USD	425,302	JPMC		9/19/2018		17,363
USD	1,058,302	AUD	1,392,000	CITI		9/19/2018		27,905
USD	1,587,452	AUD	2,088,000	JPMC		9/19/2018		41,856
USD	891,257	BRL	3,356,800	CITI**		9/19/2018		32,245
USD	1,336,884	BRL	5,035,200	JPMC**		9/19/2018		48,366
USD	2,706,881	CHF	2,660,400	CITI		9/19/2018		1,857
USD	4,060,316	CHF	3,990,600	JPMC		9/19/2018		2,781
USD	15,411	CLP	10,000,000	CITI**		9/20/2018		107
USD	23,117	CLP	15,000,000	JPMC**		9/20/2018		161
USD	817,671	CNY	5,350,298	CITI**		9/19/2018		13,606
USD	448,274	CNY	2,913,600	JPMC**		9/19/2018		10,407
USD	25,124	COP	72,000,000	CITI**		9/19/2018		649
USD	37,685	COP	108,000,000	JPMC**		9/19/2018		974
USD	31,662	CZK	694,163	CITI		9/19/2018		323
USD	47,493	CZK	1,041,245	JPMC		9/19/2018		484
USD	2,729,857	EUR	2,308,000	CITI		9/19/2018		18,338
USD	4,098,915	EUR	3,462,000	JPMC		9/19/2018		31,637
USD	229,597	GBP	172,000	CITI		9/19/2018		1,794
USD	344,395	GBP	258,000	JPMC		9/19/2018		2,691
USD	510,712	HKD	3,997,600	CITI		9/19/2018		497
USD	766,067	HKD	5,996,400	JPMC		9/19/2018		745
USD	352,119	ILS	1,248,000	CITI		9/20/2018		9,025
USD	528,178	ILS	1,872,000	JPMC		9/20/2018		13,537
USD	66,954	HUF	18,448,000	CITI		9/19/2018		1,227
USD	100,430	HUF	27,672,000	JPMC		9/19/2018		1,839
USD	344,995	IDR	4,980,000,000	CITI**		9/19/2018		1,116
USD	517,492	IDR	7,470,000,000	JPMC**		9/19/2018		1,674
USD	11,156	INR	767,600	CITI**		9/19/2018		66
USD	16,733	INR	1,151,400	JPMC**		9/19/2018		99
USD	828,857	JPY	90,662,000	CITI		9/19/2018		5,411
USD	1,243,283	JPY	135,993,000	JPMC		9/19/2018		8,114
USD	563,479	KRW	607,219,600	CITI**		9/19/2018		16,868
USD	845,217	KRW	910,829,400	JPMC**		9/19/2018		25,301
USD	67,470	NOK	545,600	CITI		9/19/2018		266
USD	101,205	NOK	818,400	JPMC		9/19/2018		399
USD	961,338	NZD	1,377,600	CITI		9/19/2018		28,219

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

AQR Funds Semi-Annual Report June 2018

72

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	1,442,005	NZD	2,066,400	JPMC		9/19/2018		$ 42,327
USD	264,256	PHP	14,040,000	CITI**		9/19/2018		2,881
USD	396,384	PHP	21,060,000	JPMC**		9/19/2018		4,322
USD	68,832	PLN	251,600	CITI		9/19/2018		1,575
USD	103,248	PLN	377,400	JPMC		9/19/2018		2,363
USD	3,267,578	SEK	28,008,800	CITI		9/19/2018		121,340
USD	4,901,360	SEK	42,013,200	JPMC		9/19/2018		182,003
USD	43,493	SGD	58,400	CITI		9/19/2018		558
USD	65,240	SGD	87,600	JPMC		9/19/2018		836
USD	46,714	TRY	219,200	CITI		9/19/2018		587
USD	70,071	TRY	328,800	JPMC		9/19/2018		881
USD	328,604	ZAR	4,357,200	CITI		9/19/2018		14,235
USD	492,905	ZAR	6,535,800	JPMC		9/19/2018		21,353
Total unrealized appreciation								794,342
AUD	463,200	USD	349,225	CITI		9/19/2018		(6,352	)
AUD	694,800	USD	523,838	JPMC		9/19/2018		(9,528	)
BRL	674,800	USD	179,858	CITI**		9/19/2018		(7,175	)
BRL	1,012,200	USD	269,787	JPMC**		9/19/2018		(10,763	)
CAD	4,831,200	USD	3,784,424	CITI		9/19/2018		(104,552	)
CAD	7,246,800	USD	5,676,643	JPMC		9/19/2018		(156,835	)
CLP	257,200,000	USD	407,776	CITI**		9/20/2018		(14,156	)
CLP	385,800,000	USD	611,664	JPMC**		9/20/2018		(21,235	)
CNY	3,161,200	USD	492,689	CITI**		9/19/2018		(17,611	)
CNY	4,741,800	USD	739,034	JPMC**		9/19/2018		(26,417	)
COP	216,000,000	USD	74,048	CITI**		9/19/2018		(625	)
COP	324,000,000	USD	111,073	JPMC**		9/19/2018		(937	)
CZK	174,163	USD	7,994	CITI		9/19/2018		(131	)
CZK	261,245	USD	11,991	JPMC		9/19/2018		(197	)
EUR	138,800	USD	163,714	CITI		9/19/2018		(647	)
EUR	208,200	USD	245,571	JPMC		9/19/2018		(971	)
GBP	542,800	USD	726,727	CITI		9/19/2018		(7,822	)
GBP	814,200	USD	1,090,092	JPMC		9/19/2018		(11,735	)
HKD	1,713,200	USD	218,886	CITI		9/19/2018		(230	)
HKD	2,605,800	USD	332,924	JPMC		9/19/2018		(344	)
HUF	26,000,000	USD	96,144	CITI		9/19/2018		(3,510	)
HUF	39,000,000	USD	144,215	JPMC		9/19/2018		(5,265	)
IDR	1,256,000,000	USD	88,678	CITI**		9/19/2018		(1,949	)
IDR	1,884,000,000	USD	133,018	JPMC**		9/19/2018		(2,924	)
INR	28,800,000	USD	420,564	CITI**		9/19/2018		(4,498	)
INR	43,200,000	USD	630,837	JPMC**		9/19/2018		(6,738	)
JPY	174,347,600	USD	1,603,180	CITI		9/19/2018		(19,651	)
JPY	261,521,400	USD	2,404,773	JPMC		9/19/2018		(29,480	)
ILS	72,000	USD	20,214	CITI		9/20/2018		(420	)
ILS	108,000	USD	30,322	JPMC		9/20/2018		(631	)
KRW	139,426,000	USD	129,806	CITI**		9/19/2018		(4,297	)
KRW	209,139,000	USD	194,710	JPMC**		9/19/2018		(6,446	)
MXN	9,524,000	USD	474,443	CITI		9/19/2018		(850	)
MXN	14,286,000	USD	711,666	JPMC		9/19/2018		(1,276	)
NOK	3,756,800	USD	468,899	CITI		9/19/2018		(6,157	)
NOK	5,635,200	USD	703,350	JPMC		9/19/2018		(9,236	)
NZD	874,400	USD	604,890	CITI		9/19/2018		(12,614	)
NZD	1,311,600	USD	907,336	JPMC		9/19/2018		(18,922	)
PHP	1,280,000	USD	24,191	CITI**		9/19/2018		(362	)
PHP	1,920,000	USD	36,287	JPMC**		9/19/2018		(543	)
PLN	452,000	USD	124,388	CITI		9/19/2018		(3,560	)
PLN	678,000	USD	186,582	JPMC		9/19/2018		(5,341	)

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

AQR Funds Semi-Annual Report June 2018

73

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
RUB	12,400,000	USD	198,837	CITI**		9/19/2018		$ (3,010	)
RUB	18,600,000	USD	298,256	JPMC**		9/19/2018		(4,515	)
SEK	3,931,600	USD	450,293	CITI		9/19/2018		(8,655	)
SEK	5,897,400	USD	675,440	JPMC		9/19/2018		(12,983	)
SGD	815,200	USD	608,360	CITI		9/19/2018		(9,024	)
SGD	1,222,800	USD	912,542	JPMC		9/19/2018		(13,538	)
TRY	154,800	USD	32,850	CITI		9/19/2018		(276	)
TRY	232,200	USD	49,276	JPMC		9/19/2018		(413	)
TWD	1,720,000	USD	57,893	CITI**		9/19/2018		(1,172	)
TWD	2,580,000	USD	86,840	JPMC**		9/19/2018		(1,759	)
USD	28,444	BRL	112,000	CITI**		9/19/2018		(217	)
USD	42,665	BRL	168,000	JPMC**		9/19/2018		(326	)
USD	5,672	CHF	5,600	CITI		9/19/2018		(23	)
USD	8,507	CHF	8,400	JPMC		9/19/2018		(34	)
USD	829,013	EUR	712,000	CITI		9/19/2018		(7,470	)
USD	1,243,517	EUR	1,068,000	JPMC		9/19/2018		(11,207	)
USD	32,307	HKD	253,200	CITI		9/19/2018		(8	)
USD	48,461	HKD	379,800	JPMC		9/19/2018		(13	)
USD	14,193	HUF	4,000,000	CITI		9/19/2018		(59	)
USD	21,289	HUF	6,000,000	JPMC		9/19/2018		(88	)
USD	48,008	IDR	700,000,000	CITI**		9/19/2018		(329	)
USD	72,011	IDR	1,050,000,000	JPMC**		9/19/2018		(494	)
USD	242,755	INR	16,840,000	CITI**		9/19/2018		(528	)
USD	364,133	INR	25,260,000	JPMC**		9/19/2018		(792	)
USD	173,983	KRW	194,000,000	CITI**		9/19/2018		(654	)
USD	260,974	KRW	291,000,000	JPMC**		9/19/2018		(981	)
USD	296,602	MXN	6,106,400	CITI		9/19/2018		(7,046	)
USD	444,903	MXN	9,159,600	JPMC		9/19/2018		(10,570	)
USD	5,867	SGD	8,000	CITI		9/19/2018		(15	)
USD	8,800	SGD	12,000	JPMC		9/19/2018		(22	)
USD	285,678	TRY	1,407,200	CITI		9/19/2018		(10,442	)
USD	428,516	TRY	2,110,800	JPMC		9/19/2018		(15,664	)
USD	62,134	ZAR	868,000	CITI		9/19/2018		(492	)
USD	93,200	ZAR	1,302,000	JPMC		9/19/2018		(739	)
ZAR	2,148,800	USD	169,611	CITI		9/19/2018		(14,576	)
ZAR	3,223,200	USD	254,416	JPMC		9/19/2018		(21,865	)
Total unrealized depreciation								(702,932	)
Net unrealized appreciation							$	91,410

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Semi-Annual Report June 2018

74

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—		$1,325,586		$1,325,586
CITI
Investment Companies		243,676		—		243,676
CRSU
Cash		—		211,094		211,094
GSCO
Cash		—		531,837		531,837
GSIN
Investment Companies		564,969		—		564,969
JPMC
Investment Companies		786,748		—		786,748
JPMS
Cash		—		89,966		89,966
MLIN
Cash		50,009		—		50,009
MSCL
Cash		—		412,184		412,184

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Investment Companies		$60,922		$—			$60,922
GSCO
Cash		—		11,374			11,374
JPPC
Cash		—		33,633			33,633
MSCL
Cash		—		(56,566	)		(56,566	)

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

AQR Funds Semi-Annual Report June 2018

75

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 133.5%
COMMON STOCKS - 45.0%
Canada - 3.3%
Air Canada *(a)		1,627,471	$	26,306,438
ARC Resources Ltd.		8,764		90,530
Atco Ltd., Class I		28,051		865,865
Barrick Gold Corp.		34,100		447,957
BlackBerry Ltd. *		128,812		1,242,411
Bombardier, Inc., Class B *		230,840		913,070
BRP, Inc.		4,900		236,232
Canadian Imperial Bank of Commerce (a)		137,749		11,982,638
Canadian Tire Corp. Ltd., Class A (a)		74,369		9,707,314
CGI Group, Inc., Class A *		64,137		4,064,392
Constellation Software, Inc. (a)		8,350		6,475,672
Dollarama, Inc. (a)		822,639		31,888,096
Empire Co. Ltd., Class A		73,878		1,483,011
Encana Corp.		24,397		318,637
Finning International, Inc. (a)		177,347		4,377,523
Franco-Nevada Corp.		3,300		240,851
George Weston Ltd.		11,601		946,505
Industrial Alliance Insurance & Financial Services, Inc.		29,290		1,130,694
Linamar Corp. (a)		165,934		7,296,729
Magna International, Inc. (a)		358,192		20,832,435
Manulife Financial Corp.		142,610		2,562,240
Methanex Corp. (a)		156,457		11,063,205
National Bank of Canada (a)		202,720		9,733,151
Quebecor, Inc., Class B		81,779		1,674,583
Seven Generations Energy Ltd., Class A *		8,900		98,095
Teck Resources Ltd., Class B (a)		391,632		9,976,614
West Fraser Timber Co. Ltd. (a)		125,491		8,637,798
WestJet Airlines Ltd.		63,691		878,346
				175,471,032
Chile - 0.1%
Lundin Mining Corp. (a)		1,367,132		7,601,822
Italy - 2.4%
A2A SpA (2)(a)		8,011,414		13,867,221
DiaSorin SpA (2)		8,497		965,639
Enel SpA (2)(a)		5,192,286		28,771,401
Eni SpA (2)(a)		2,075,985		38,491,615
Hera SpA (2)(a)		1,792,230		5,576,702
Italgas SpA (2)		167,591		922,411
Mediobanca Banca di Credito Finanziario SpA (2)		79,164		732,269
Moncler SpA (2)(a)		593,829		26,945,017
Pirelli & C SpA (2)*(b)		68,314		568,867
Poste Italiane SpA (2)(b)		434,270		3,624,692
Prysmian SpA (2)		122,418		3,037,536
Snam SpA (2)(a)		616,599		2,569,618
				126,072,988
Singapore - 0.2%
Genting Singapore Ltd. (2)(a)		11,899,300		10,654,786
StarHub Ltd. (2)		687,700		836,621
				11,491,407

INVESTMENTS	SHARES		VALUE
Spain - 1.1%
Repsol SA (2)(a)		3,115,086	$	60,803,631
Switzerland - 1.2%
STMicroelectronics NV (2)(a)		1,354,405		30,045,202
Temenos AG (Registered) (2)*(a)		229,858		34,567,559
				64,612,761
United Kingdom - 0.4%
Fiat Chrysler Automobiles NV (2)*(a)		993,893		18,749,038
United States - 36.3%
AbbVie, Inc. (a)		117,343		10,871,829
ABIOMED, Inc. *(a)		20,754		8,489,424
AGCO Corp. (a)		106,461		6,464,312
Agilent Technologies, Inc. (a)		255,871		15,823,063
Align Technology, Inc. *(a)		44,794		15,325,819
Amgen, Inc. (a)		61,478		11,348,224
Anadarko Petroleum Corp.		25,900		1,897,175
Antero Resources Corp. *		181,692		3,879,124
Anthem, Inc. (a)		42,263		10,059,862
AO Smith Corp.		15,200		899,080
Apache Corp.		67,759		3,167,733
Apple, Inc. (a)		196,770		36,424,095
Arista Networks, Inc. *(a)		71,915		18,517,393
Armstrong World Industries, Inc. *		33,613		2,124,342
Arrow Electronics, Inc. *(a)		279,576		21,046,481
Avnet, Inc. (a)		308,664		13,238,599
Baxter International, Inc. (a)		666,949		49,247,513
Biogen, Inc. *(a)		154,024		44,703,925
Bio-Rad Laboratories, Inc., Class A *		4,967		1,433,178
Boeing Co. (The) (a)		124,434		41,748,851
Boston Scientific Corp. *(a)		154,142		5,040,443
Bristol-Myers Squibb Co.		34,110		1,887,647
Bruker Corp. (a)		136,622		3,967,503
Cabot Oil & Gas Corp. (a)		421,325		10,027,535
Cardinal Health, Inc.		19,200		937,536
Caterpillar, Inc. (a)		78,676		10,673,973
CDW Corp. (a)		343,553		27,755,647
Celgene Corp. *(a)		401,123		31,857,189
Centene Corp. *(a)		138,279		17,037,356
Cerner Corp. *(a)		134,670		8,051,919
Charles River Laboratories International, Inc. *(a)		235,782		26,468,887
Chevron Corp. (a)		161,698		20,443,478
Cigna Corp.		172,209		29,266,920
Cimarex Energy Co. (a)		151,211		15,384,207
Cisco Systems, Inc. (a)		467,101		20,099,356
CNX Resources Corp. *(a)		404,417		7,190,534
Coherent, Inc. *(a)		62,056		9,706,800
Comcast Corp., Class A		124,089		4,071,360
Concho Resources, Inc. *		5,600		774,760
ConocoPhillips (a)		436,246		30,371,447
CONSOL Energy, Inc. *		74,506		2,857,305
Crane Co. (a)		93,799		7,516,114
Cummins, Inc. (a)		240,931		32,043,823
Curtiss-Wright Corp. (a)		95,067		11,314,874
Danaher Corp. (a)		113,923		11,241,922
DENTSPLY SIRONA, Inc.		5,800		253,866
Devon Energy Corp. (a)		528,619		23,238,091

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

AQR Funds Semi-Annual Report June 2018

76

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
United States - 36.3% (continued)
Dolby Laboratories, Inc., Class A (a)		113,975	$	7,031,118
Dover Corp.		46,569		3,408,851
Eaton Corp. plc (a)		115,570		8,637,702
Edwards Lifesciences Corp. *		4,500		655,065
EMCOR Group, Inc. (a)		88,257		6,723,418
Emerson Electric Co. (a)		189,712		13,116,688
Endo International plc *		50,100		472,443
Energen Corp. *(a)		175,331		12,767,603
EnerSys		12,882		961,512
EOG Resources, Inc. (a)		91,137		11,340,177
Esterline Technologies Corp. *(a)		137,638		10,157,684
Exelixis, Inc. *(a)		964,399		20,753,866
Exxon Mobil Corp. (a)		232,097		19,201,385
F5 Networks, Inc. *(a)		110,946		19,132,638
Flex Ltd. *(a)		709,101		10,005,415
FLIR Systems, Inc. (a)		353,832		18,388,649
General Dynamics Corp. (a)		232,764		43,389,537
Gilead Sciences, Inc. (a)		383,151		27,142,417
Globus Medical, Inc., Class A *(a)		214,786		10,838,102
Halliburton Co. (a)		225,348		10,154,181
Harris Corp. (a)		66,945		9,676,230
HD Supply Holdings, Inc. *(a)		721,783		30,957,273
Helmerich & Payne, Inc.		22,710		1,447,990
Hewlett Packard Enterprise Co. (a)		1,389,962		20,307,345
Hill-Rom Holdings, Inc.		6,000		524,040
HollyFrontier Corp. (a)		101,927		6,974,865
Honeywell International, Inc. (a)		313,011		45,089,234
HP, Inc. (a)		619,391		14,053,982
Hubbell, Inc.		7,851		830,165
Humana, Inc. (a)		114,146		33,973,274
Huntington Ingalls Industries, Inc. (a)		126,553		27,435,425
ICU Medical, Inc. *		6,150		1,805,948
Illinois Tool Works, Inc.		17,536		2,429,437
Ingersoll-Rand plc (a)		256,773		23,040,241
Intuitive Surgical, Inc. *(a)		40,295		19,280,352
IPG Photonics Corp. *(a)		95,038		20,968,234
IQVIA Holdings, Inc. *(a)		116,962		11,675,147
ITT, Inc. (a)		214,692		11,221,951
John Wiley & Sons, Inc., Class A		45,115		2,815,176
Johnson & Johnson (a)		85,427		10,365,712
Juniper Networks, Inc. (a)		689,343		18,901,785
KBR, Inc.		121,833		2,183,247
L3 Technologies, Inc. (a)		88,562		17,032,244
Laredo Petroleum, Inc. *		95,600		919,672
Lockheed Martin Corp. (a)		34,094		10,072,390
Marathon Oil Corp. (a)		317,888		6,631,144
Marathon Petroleum Corp. (a)		102,820		7,213,851
Masimo Corp. *		9,949		971,520
McKesson Corp. (a)		125,445		16,734,363
Medtronic plc		21,530		1,843,183
Merck & Co., Inc. (a)		115,159		6,990,151
Mettler-Toledo International, Inc. *(a)		8,489		4,911,990
Molina Healthcare, Inc. *		20,964		2,053,214
MSC Industrial Direct Co., Inc., Class A (a)		74,737		6,341,434
Murphy Oil Corp.		38,300		1,293,391
National Instruments Corp.		37,847		1,588,817
NetApp, Inc.		60,989		4,789,466
Newfield Exploration Co. *		51,790		1,566,648

INVESTMENTS	SHARES		VALUE
United States - 36.3% (continued)
Northrop Grumman Corp. (a)		96,429	$	29,671,203
Oasis Petroleum, Inc. *		103,246		1,339,101
Occidental Petroleum Corp.		37,692		3,154,067
Oceaneering International, Inc.		77,583		1,975,263
Omnicom Group, Inc.		16,180		1,234,049
Oshkosh Corp. (a)		273,606		19,239,974
Owens Corning (a)		166,925		10,578,037
PACCAR, Inc.		33,824		2,095,735
Palo Alto Networks, Inc. *(a)		44,762		9,197,248
Patterson Cos., Inc.		20,500		464,735
Patterson-UTI Energy, Inc. (a)		456,351		8,214,318
Pfizer, Inc. (a)		170,477		6,184,906
Phillips 66 (a)		77,603		8,715,593
QEP Resources, Inc. *(a)		594,359		7,286,841
QIAGEN NV *(a)		666,329		24,094,457
Range Resources Corp.		60,790		1,017,017
Raytheon Co. (a)		381,552		73,708,214
Regeneron Pharmaceuticals, Inc. *(a)		25,468		8,786,205
Rockwell Automation, Inc.		6,323		1,051,072
Seagate Technology plc (a)		239,782		13,540,490
Snap-on, Inc. (a)		80,577		12,950,335
Southwestern Energy Co. *(a)		1,754,030		9,296,359
Spirit AeroSystems Holdings, Inc., Class A (a)		386,005		33,161,690
Stanley Black & Decker, Inc. (a)		144,195		19,150,538
Star Group, Inc. (The) *		23,355		847,044
Superior Energy Services, Inc. *		241,541		2,352,609
SYNNEX Corp. (a)		103,789		10,016,676
TE Connectivity Ltd. (a)		157,060		14,144,824
TEGNA, Inc. (a)		528,476		5,733,965
Teledyne Technologies, Inc. *		13,672		2,721,548
Terex Corp.		26,822		1,131,620
Thermo Fisher Scientific, Inc.		6,868		1,422,638
Toro Co. (The)		24,463		1,473,896
United Technologies Corp. (a)		69,529		8,693,211
United Therapeutics Corp. *(a)		143,499		16,236,912
UnitedHealth Group, Inc. (a)		109,200		26,791,128
Valeant Pharmaceuticals International, Inc. *		66,640		1,551,123
Valero Energy Corp. (a)		360,466		39,950,447
Varian Medical Systems, Inc. *(a)		37,659		4,282,581
Veeva Systems, Inc., Class A *		31,376		2,411,559
Vertex Pharmaceuticals, Inc. *(a)		86,081		14,630,327
Viacom, Inc., Class B (a)		401,717		12,115,785
Walt Disney Co. (The)		8,260		865,731
Waters Corp. *		9,454		1,830,200
WellCare Health Plans, Inc. *(a)		48,990		12,063,298
WESCO International, Inc. *(a)		166,670		9,516,857
Western Digital Corp. (a)		405,124		31,360,649
Whiting Petroleum Corp. *		21,400		1,128,208
Woodward, Inc.		35,296		2,712,851
World Fuel Services Corp. (a)		233,259		4,760,816
WW Grainger, Inc. (a)		70,093		21,616,681
Zebra Technologies Corp., Class A *(a)		70,350		10,077,638
				1,915,927,765
TOTAL COMMON STOCKS (Cost $2,291,197,430)				2,380,730,444

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

AQR Funds Semi-Annual Report June 2018

77

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES			VALUE
SHORT-TERM INVESTMENTS - 88.5%
INVESTMENT COMPANIES - 47.4%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (2)(c)		347,734		$	347,734
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (2)(c)		1,390,934			1,390,934
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (2)(c)(d)		84,809,417			84,809,417
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (2)(c)(d)		711,328,520			711,328,520
Limited Purpose Cash Investment Fund, 1.85% (2)(c)(e)		1,703,560,950			1,703,560,950
UBS Select Treasury Preferred Fund, Class I, 1.76% (2)(c)		1,738,668			1,738,668
TOTAL INVESTMENT COMPANIES (Cost $2,502,878,736)					2,503,176,223
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 41.1%
U.S. Treasury Bills
1.59%, 7/5/2018 (2)(f)	$	148,844,000			148,823,410
1.59%, 7/12/2018 (2)(f)		104,599,000			104,550,296
1.61%, 7/19/2018 (2)(f)		209,714,000			209,541,931
1.63%, 7/26/2018 (2)(f)		136,146,000			135,989,205
1.64%, 8/2/2018 (2)(f)		46,668,000			46,595,279
1.66%, 8/9/2018 (2)(f)		118,755,000			118,526,545
1.84%, 8/23/2018 (2)(f)		146,011,000			145,626,362
1.85%, 9/6/2018 (2)(f)		134,001,000			133,539,758
1.87%, 9/13/2018 (2)(f)		102,692,000			102,300,516
1.97%, 9/20/2018 (2)(f)		83,393,000			83,045,529
1.91%, 9/27/2018 (2)(f)		98,977,000			98,526,118
1.92%, 10/4/2018 (2)(f)		42,242,000			42,030,823
1.90%, 10/11/2018 (2)(f)		93,813,000			93,305,357
1.96%, 10/18/2018 (2)(f)		35,279,000			35,073,941
2.01%, 10/25/2018 (2)(f)		142,046,000			141,165,710
2.01%, 11/1/2018 (2)(f)		29,582,000			29,384,507
2.02%, 11/8/2018 (2)(f)		26,680,000			26,489,988
2.06%, 11/15/2018 (2)(f)		21,510,000			21,347,277
2.10%, 11/23/2018 (2)(f)		83,561,000			82,890,005
2.05%, 11/29/2018 (2)(f)		127,562,000			126,484,366
2.09%, 12/6/2018 (2)(f)		105,594,000			104,659,170
2.08%, 12/13/2018 (2)(f)(g)		143,653,000			142,322,075
TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,172,091,498)					2,172,218,168
TOTAL SHORT-TERM INVESTMENTS (Cost $4,674,970,234)					4,675,394,391
TOTAL LONG POSITIONS (Cost $6,966,167,664)					7,056,124,835
		SHARES
SHORT POSITIONS - (36.6)%
COMMON STOCKS - (36.6)%
Brazil - 0.0% (h)
Yamana Gold, Inc.		(288,868	)		(841,566	)

INVESTMENTS	SHARES			VALUE
Canada - (2.8)%
AltaGas Ltd.		(272,626	)	$	(5,630,241	)
Cameco Corp.		(1,201,373	)		(13,515,618	)
Cenovus Energy, Inc.		(131,600	)		(1,366,402	)
Eldorado Gold Corp. *		(427,458	)		(432,449	)
Element Fleet Management Corp.		(1,297,687	)		(6,100,259	)
Emera, Inc.		(52,279	)		(1,702,005	)
Enbridge, Inc.		(1,362,227	)		(48,700,923	)
Goldcorp, Inc.		(211,177	)		(2,899,437	)
Imperial Oil Ltd.		(319,997	)		(10,636,952	)
Inter Pipeline Ltd.		(77,122	)		(1,445,469	)
Keyera Corp.		(116,366	)		(3,237,872	)
Kinross Gold Corp. *		(248,915	)		(937,230	)
Pembina Pipeline Corp.		(68,268	)		(2,364,311	)
Peyto Exploration & Development Corp.		(190,548	)		(1,466,813	)
PrairieSky Royalty Ltd.		(50,930	)		(1,005,312	)
TransCanada Corp.		(791,429	)		(34,242,180	)
Wheaton Precious Metals Corp.		(561,715	)		(12,399,475	)
					(148,082,948	)
Ghana - (0.1)%
Kosmos Energy Ltd. *		(662,745	)		(5,480,901	)
Hong Kong - 0.0% (h)
Hutchison Port Holdings Trust (2)		(2,834,100	)		(782,212	)
Italy - (2.1)%
Banco BPM SpA (2)*		(3,952,610	)		(11,481,956	)
BPER Banca (2)		(1,082,345	)		(5,905,637	)
Brembo SpA (2)		(51,727	)		(697,630	)
Buzzi Unicem SpA (2)		(630,740	)		(15,410,909	)
Davide Campari-Milano SpA (2)		(202,482	)		(1,661,957	)
Ferrari NV (2)		(86,927	)		(11,749,853	)
Intesa Sanpaolo SpA (2)		(480,879	)		(1,391,313	)
Leonardo SpA (2)		(2,265,993	)		(22,302,776	)
Recordati SpA (2)		(151,442	)		(6,000,912	)
Saipem SpA (2) *		(2,819,747	)		(12,931,840	)
Telecom Italia SpA (2)*		(10,889,792	)		(8,068,046	)
UniCredit SpA (2)		(139,500	)		(2,312,130	)
Unione di Banche Italiane SpA (2)		(3,520,138	)		(13,483,193	)
					(113,398,152	)
Luxembourg - (1.1)%
Tenaris SA (2)		(3,133,001	)		(57,177,327	)
Netherlands - (0.2)%
Koninklijke Vopak NV (2)		(275,809	)		(12,712,567	)
Singapore - (0.2)%
CapitaLand Ltd. (2)		(1,479,600	)		(3,424,534	)
Singapore Post Ltd. (2)		(773,200	)		(713,977	)
Singapore Press Holdings Ltd. (2)		(1,519,500	)		(2,895,655	)
Singapore Telecommunications Ltd. (2)		(1,244,100	)		(2,808,926	)
					(9,843,092	)
United Kingdom - 0.0% (h)
CNH Industrial NV (2)		(47,783	)		(504,755	)

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

AQR Funds Semi-Annual Report June 2018

78

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES			VALUE
United States - (29.8)%
Acadia Healthcare Co., Inc. *		(380,286	)	$	(15,557,500	)
AECOM *		(177,520	)		(5,863,486	)
Agios Pharmaceuticals, Inc. *		(236,474	)		(19,918,205	)
Akorn, Inc. *		(346,487	)		(5,748,219	)
Alexion Pharmaceuticals, Inc. *		(10,900	)		(1,353,235	)
Alkermes plc *		(804,640	)		(33,118,982	)
Allergan plc		(218,105	)		(36,362,466	)
Allscripts Healthcare Solutions, Inc. *		(429,973	)		(5,159,676	)
Alnylam Pharmaceuticals, Inc. *		(175,923	)		(17,326,656	)
AmerisourceBergen Corp.		(62,193	)		(5,303,197	)
Arconic, Inc.		(627,570	)		(10,674,966	)
ARRIS International plc *		(291,811	)		(7,133,320	)
Baker Hughes a GE Co.		(165,210	)		(5,456,886	)
Becton Dickinson and Co.		(6,205	)		(1,486,470	)
Belden, Inc.		(298,091	)		(18,219,322	)
BioMarin Pharmaceutical, Inc. *		(533,976	)		(50,300,539	)
Brookdale Senior Living, Inc. *		(858,109	)		(7,800,211	)
Cable One, Inc.		(4,062	)		(2,978,624	)
Callon Petroleum Co. *		(840,015	)		(9,021,761	)
Catalent, Inc. *		(264,710	)		(11,088,702	)
Centennial Resource Development, Inc., Class A *		(210,434	)		(3,800,438	)
Charter Communications, Inc., Class A *		(167,753	)		(49,186,857	)
Cheniere Energy, Inc. *		(695,813	)		(45,360,049	)
Chesapeake Energy Corp. *		(279,887	)		(1,466,608	)
Ciena Corp. *		(239,035	)		(6,336,818	)
Cinemark Holdings, Inc.		(54,954	)		(1,927,786	)
Cognex Corp.		(249,908	)		(11,148,396	)
Colfax Corp. *		(119,853	)		(3,673,494	)
CommScope Holding Co., Inc. *		(98,837	)		(2,886,535	)
Corning, Inc.		(73,221	)		(2,014,310	)
DaVita, Inc. *		(134,548	)		(9,343,013	)
DexCom, Inc. *		(362,428	)		(34,423,411	)
Diebold Nixdorf, Inc.		(97,054	)		(1,159,795	)
Discovery, Inc., Class A *		(1,589,824	)		(43,720,160	)
DISH Network Corp., Class A *		(554,609	)		(18,640,408	)
Donaldson Co., Inc.		(15,592	)		(703,511	)
Dril-Quip, Inc. *		(9,885	)		(508,089	)
Dycom Industries, Inc. *		(20,048	)		(1,894,736	)
EchoStar Corp., Class A *		(28,855	)		(1,281,162	)
Encompass Health Corp.		(52,980	)		(3,587,806	)
Ensco plc, Class A		(2,215,350	)		(16,083,441	)
Envision Healthcare Corp. *		(1,188,095	)		(52,288,061	)
EQT Corp.		(45,085	)		(2,487,790	)
Extraction Oil & Gas, Inc. *		(368,298	)		(5,410,298	)
Flowserve Corp.		(418,930	)		(16,924,772	)
Fluor Corp.		(37,021	)		(1,805,884	)
General Electric Co.		(1,846,500	)		(25,130,865	)
Granite Construction, Inc.		(231,525	)		(12,886,682	)
Halyard Health, Inc. *		(157,906	)		(9,040,119	)
HEICO Corp.		(344,371	)		(25,114,995	)
Henry Schein, Inc. *		(283,115	)		(20,565,474	)
Hess Corp.		(772,318	)		(51,660,351	)
Hologic, Inc. *		(24,080	)		(957,180	)
Illumina, Inc. *		(29,677	)		(8,288,489	)
Incyte Corp. *		(91,233	)		(6,112,611	)
Intrexon Corp. *		(139,909	)		(1,950,331	)

INVESTMENTS	SHARES			VALUE
United States - (29.8)% (continued)
Ionis Pharmaceuticals, Inc. *		(443,066	)	$	(18,462,560	)
Johnson Controls International plc		(526,873	)		(17,623,902	)
Kennametal, Inc.		(219,863	)		(7,893,082	)
Kinder Morgan, Inc.		(2,068,534	)		(36,550,996	)
KLX, Inc. *		(36,008	)		(2,588,975	)
Knowles Corp. *		(441,336	)		(6,752,441	)
Liberty Broadband Corp., Class C *		(283,843	)		(21,492,592	)
Liberty Media Corp.-Liberty SiriusXM, Class C *		(12,210	)		(553,846	)
LifePoint Health, Inc. *		(279,045	)		(13,617,396	)
Lions Gate Entertainment Corp., Class A		(148,481	)		(3,685,298	)
Littelfuse, Inc.		(14,812	)		(3,379,802	)
LivaNova plc *		(77,316	)		(7,717,683	)
Live Nation Entertainment, Inc. *		(48,374	)		(2,349,525	)
Lumentum Holdings, Inc. *		(9,600	)		(555,840	)
Madison Square Garden Co. (The), Class A *		(2,093	)		(649,228	)
Mallinckrodt plc *		(627,349	)		(11,706,332	)
Matador Resources Co. *		(325,809	)		(9,790,560	)
McDermott International, Inc. *		(92,091	)		(1,809,588	)
Medidata Solutions, Inc. *		(228,484	)		(18,406,671	)
Meredith Corp.		(194,446	)		(9,916,746	)
Middleby Corp. (The) *		(152,766	)		(15,951,826	)
Mylan NV *		(48,000	)		(1,734,720	)
Nabors Industries Ltd.		(11,700	)		(74,997	)
National Oilwell Varco, Inc.		(130,425	)		(5,660,445	)
NCR Corp. *		(200,205	)		(6,002,146	)
Nektar Therapeutics *		(474,156	)		(23,153,037	)
NetScout Systems, Inc. *		(526,395	)		(15,633,932	)
Neurocrine Biosciences, Inc. *		(247,299	)		(24,294,654	)
New York Times Co. (The), Class A		(754,671	)		(19,545,979	)
News Corp., Class A		(44,500	)		(689,750	)
Noble Energy, Inc.		(217,760	)		(7,682,573	)
NOW, Inc. *		(719,684	)		(9,593,388	)
NuVasive, Inc. *		(263,156	)		(13,715,691	)
ONEOK, Inc.		(209,971	)		(14,662,275	)
OPKO Health, Inc. *		(1,978,081	)		(9,296,981	)
Parsley Energy, Inc., Class A *		(16,200	)		(490,536	)
PBF Energy, Inc., Class A		(125,442	)		(5,259,783	)
PerkinElmer, Inc.		(12,128	)		(888,133	)
Perrigo Co. plc		(364,875	)		(26,603,036	)
Premier, Inc., Class A *		(568,204	)		(20,671,262	)
Prestige Brands Holdings, Inc. *		(433,309	)		(16,630,399	)
Quest Diagnostics, Inc.		(11,238	)		(1,235,506	)
Roper Technologies, Inc.		(16,032	)		(4,423,389	)
Rowan Cos. plc, Class A *		(712,022	)		(11,548,997	)
Seattle Genetics, Inc. *		(442,375	)		(29,369,276	)
Sensata Technologies Holding plc *		(484,634	)		(23,058,886	)
SM Energy Co.		(771,362	)		(19,816,290	)
STERIS plc		(47,688	)		(5,007,717	)
Syneos Health, Inc. *		(210,722	)		(9,882,862	)
Targa Resources Corp.		(849,084	)		(42,021,167	)
Tenet Healthcare Corp. *		(256,179	)		(8,599,929	)
TransDigm Group, Inc.		(189,101	)		(65,266,319	)
Transocean Ltd. *		(422,437	)		(5,677,553	)
Univar, Inc. *		(176,671	)		(4,635,847	)
Universal Display Corp.		(128,736	)		(11,071,296	)

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES			VALUE
United States - (29.8)% (continued)
VeriFone Systems, Inc. *		(80,652	)	$	(1,840,479	)
ViaSat, Inc. *		(336,814	)		(22,135,416	)
Wabtec Corp.		(467,210	)		(46,057,562	)
Weatherford International plc *		(4,325,150	)		(14,229,744	)
Welbilt, Inc. *		(452,645	)		(10,098,510	)
Williams Cos., Inc. (The)		(692,177	)		(18,764,918	)
WPX Energy, Inc. *		(633,352	)		(11,419,337	)
Zimmer Biomet Holdings, Inc.		(6,015	)		(670,312	)
					(1,570,213,066	)
Zambia - (0.3)%
First Quantum Minerals Ltd.		(1,180,497	)		(17,393,395	)
TOTAL COMMON STOCKS (Proceeds $(1,836,909,055))					(1,936,429,981	)
		NO. OF RIGHTS
RIGHTS - 0.0%
Italy - 0.0%
Intesa Sanpaolo SpA (3)*(i) (Proceeds $—)		(641,173	)		—
TOTAL SHORT POSITIONS (Proceeds $(1,836,909,055))					(1,936,429,981	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.9% (Cost $5,129,258,609)					5,119,694,854
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.1% (j)					167,603,654
NET ASSETS - 100.0%				$	5,287,298,508

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(35,290,778	)	$	(0.7	)%
Consumer Staples		767,559			0.0	(h)
Energy		(168,325,139	)		(3.2	)
Financials		(10,908,804	)		(0.2	)
Health Care		(28,725,103	)		(0.5	)
Industrials		335,154,659			6.4
Information Technology		329,137,572			6.2
Materials		(12,346,213	)		(0.2	)
Real Estate		(3,424,535	)		(0.1	)
Telecommunication Services		(10,040,350	)		(0.2	)
Utilities		48,301,595			0.9
Short-Term Investments		4,675,394,391			88.5
Total Investments In Securities At Value		5,119,694,854			96.9
Other Assets in Excess of Liabilities (j)		167,603,654			3.1
Net Assets	$	5,287,298,508			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 $2,146,520,260.

(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 June 30, 2018 amounted to $4,193,559, which represents approximately 0.08% of net assets of the fund.

(c) Represents 7-day effective yield as of June 30, 2018.

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

(e) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/17	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/18		VALUE AT 06/30/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
SHORT-TERM INVESTMENTS - 32.2%
INVESTMENT COMPANIES - 32.2%
Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $1,703,263,463)	1,987,905,834	3,178,279,748		(3,462,624,632	)		1,703,560,950		$1,703,560,950		$15,216,042		$(150,077	)		$297,487

(a) Represents 7-day effective yield as of June 30, 2018.

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

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

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

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

(i) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

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

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

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

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

Total return swap contracts outstanding as of June 30, 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

Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (-0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/21/2018

AUD

1,372,758

$31,464

MSCI Singapore Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

JPMC

07/30/2018

SGD

(549,000

)

1,659

33,123

MSCI Hong Kong Net Return Index

Decreases in total return of reference entity and pays the HIBOR plus or minus a specified spread (0.25%)

Increases in total return of reference entity

Monthly

JPMC

09/21/2018

HKD

209,518,591

(1,449,836

)

MSCI Italy Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (-0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/21/2018

EUR

9,381,365

(206,765

)

MSCI Italy Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (-0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/21/2018

EUR

442,945

(13,564

)

MSCI Japan Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.14%)

Increases in total return of reference entity

Monthly

JPMC

09/25/2018

JPY

7,752,125,222

(2,220,648

)

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT 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 Netherlands Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (-0.00%)	Increases in total return of reference entity	Monthly	JPMC		09/21/2018	EUR	235,161	��	$(6,287	)
MSCI Singapore Net Return Index	Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.40%)	Increases in total return of reference entity	Monthly	JPMC		09/24/2018	SGD	7,726,436		(308,963	)
MSCI Sweden Net Return Index	Decreases in total return of reference entity and pays the STIBOR plus or minus a specified spread (-0.30%)	Increases in total return of reference entity	Monthly	JPMC		09/21/2018	SEK	188,026		(96	)
Swiss Market Index September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		09/21/2018	CHF	4,544,750		(24,464	)
Swiss Market Index September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	JPMC		09/21/2018	CHF	63,369,250		(198,594	)
										(4,429,217	)
										$(4,396,094	)

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		340		7/2018	EUR		$43,802,777		$(994,327	)
CAC 40 10 Euro Index		1,621		7/2018	EUR		100,717,267		(2,600,294	)
Hang Seng Index		40		7/2018	HKD		7,322,831		6,510
IBEX 35 Index		242		7/2018	EUR		27,135,417		(526,518	)
MSCI Singapore Index		116		7/2018	SGD		3,116,037		6,443
OMXS30 Index		1,917		7/2018	SEK		33,409,853		(193,368	)
DAX Index		231		9/2018	EUR		83,009,078		(3,523,887	)
FTSE 100 Index		1,544		9/2018	GBP		154,895,304		(1,058,528	)
FTSE/MIB Index		62		9/2018	EUR		7,808,004		(183,169	)
S&P 500 E-Mini Index		10,558		9/2018	USD		1,436,732,640		(32,550,772	)
S&P/TSX 60 Index		560		9/2018	CAD		82,067,166		653,517
SPI 200 Index		525		9/2018	AUD		59,716,482		666,118
TOPIX Index		861		9/2018	JPY		134,576,209		(3,336,475	)
									$(43,634,750	)

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	11,576,000	USD	8,801,936	CITI		9/19/2018		$15,375
CAD	17,364,000	USD	13,202,921	JPMC		9/19/2018		23,046
CHF	2,260,084	USD	2,293,028	CITI		9/19/2018		4,965
CHF	3,390,126	USD	3,439,547	JPMC		9/19/2018		7,443
DKK	23,401,377	USD	3,656,008	CITI		9/19/2018		35,202
DKK	35,102,066	USD	5,484,019	JPMC		9/19/2018		52,796
EUR	25,561,987	USD	29,886,058	CITI		9/19/2018		145,059
EUR	38,342,982	USD	44,829,144	JPMC		9/19/2018		217,533
NOK	4,002,151	USD	489,764	CITI		9/19/2018		3,200
NOK	6,003,227	USD	734,646	JPMC		9/19/2018		4,799
USD	1,181,392	AUD	1,546,000	CITI		9/19/2018		36,999
USD	1,772,085	AUD	2,319,000	JPMC		9/19/2018		55,496
USD	229,468	CAD	298,400	CITI		9/19/2018		2,180
USD	344,201	CAD	447,600	JPMC		9/19/2018		3,269
USD	4,666,395	CHF	4,576,800	CITI		9/19/2018		12,826
USD	6,999,583	CHF	6,865,200	JPMC		9/19/2018		19,231
USD	9,233,896	EUR	7,815,600	CITI		9/19/2018		51,855
USD	13,850,827	EUR	11,723,400	JPMC		9/19/2018		77,767
USD	7,773,648	GBP	5,820,800	CITI		9/19/2018		64,366
USD	11,662,515	GBP	8,731,200	JPMC		9/19/2018		98,591
USD	321,741	HKD	2,519,200	CITI		9/19/2018		215
USD	482,611	HKD	3,778,800	JPMC		9/19/2018		322
USD	14,090,563	JPY	1,539,298,800	CITI		9/19/2018		109,739
USD	21,135,819	JPY	2,308,948,200	JPMC		9/19/2018		164,582
USD	607,974	NOK	4,904,800	CITI		9/19/2018		3,827
USD	911,960	NOK	7,357,200	JPMC		9/19/2018		5,739
USD	342,663	NZD	497,200	CITI		9/19/2018		5,884
USD	513,994	NZD	745,800	JPMC		9/19/2018		8,826
USD	587,996	SEK	5,124,400	CITI		9/19/2018		12,370
USD	881,993	SEK	7,686,600	JPMC		9/19/2018		18,554
USD	1,430,887	SGD	1,935,200	CITI		9/19/2018		8,126
USD	2,146,328	SGD	2,902,800	JPMC		9/19/2018		12,186
USD	81,104	ILS	287,600	CITI		9/20/2018		2,038
USD	121,655	ILS	431,400	JPMC		9/20/2018		3,057
Total unrealized appreciation								1,287,463
AUD	39,798,400	USD	30,148,117	CITI		9/19/2018		(688,229	)
AUD	59,697,600	USD	45,222,233	JPMC		9/19/2018		(1,032,399	)
CAD	35,532,166	USD	27,505,346	CITI		9/19/2018		(440,886	)
CAD	53,298,244	USD	41,258,067	JPMC		9/19/2018		(661,385	)
CHF	14,716,548	USD	15,046,565	CITI		9/19/2018		(83,172	)
CHF	22,074,824	USD	22,569,878	JPMC		9/19/2018		(124,786	)
EUR	91,448,364	USD	107,974,752	CITI		9/19/2018		(538,014	)
EUR	137,172,547	USD	161,962,332	JPMC		9/19/2018		(807,223	)
GBP	58,584,400	USD	78,681,159	CITI		9/19/2018		(1,089,815	)
GBP	87,876,601	USD	118,021,888	JPMC		9/19/2018		(1,634,873	)
HKD	128,774,800	USD	16,448,547	CITI		9/19/2018		(12,980	)
HKD	193,162,200	USD	24,672,851	JPMC		9/19/2018		(19,499	)
JPY	12,070,191,600	USD	111,101,224	CITI		9/19/2018		(1,472,586	)
JPY	18,105,287,401	USD	166,652,044	JPMC		9/19/2018		(2,209,085	)
NOK	12,006,455	USD	1,488,689	CITI		9/19/2018		(9,798	)
NOK	18,009,682	USD	2,233,036	JPMC		9/19/2018		(14,699	)
NZD	1,305,600	USD	908,298	CITI		9/19/2018		(23,949	)

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
NZD	1,958,399	USD	1,362,448	JPMC		9/19/2018		$ (35,925	)
SEK	130,541,502	USD	15,024,454	CITI		9/19/2018		(360,683	)
SEK	195,812,260	USD	22,536,709	JPMC		9/19/2018		(541,053	)
SGD	12,656,686	USD	9,449,957	CITI		9/19/2018		(144,747	)
SGD	18,985,029	USD	14,174,953	JPMC		9/19/2018		(217,137	)
USD	663,985	AUD	897,600	CITI		9/19/2018		(443	)
USD	995,977	AUD	1,346,400	JPMC		9/19/2018		(666	)
USD	5,964,371	CAD	7,909,600	CITI		9/19/2018		(60,284	)
USD	8,946,546	CAD	11,864,400	JPMC		9/19/2018		(90,436	)
USD	1,041,959	DKK	6,617,200	CITI		9/19/2018		(1,803	)
USD	1,562,937	DKK	9,925,800	JPMC		9/19/2018		(2,707	)
USD	23,067,523	EUR	19,660,400	CITI		9/19/2018		(30,202	)
USD	34,601,242	EUR	29,490,600	JPMC		9/19/2018		(45,347	)
USD	2,035,621	HKD	15,955,200	CITI		9/19/2018		(746	)
USD	3,053,428	HKD	23,932,800	JPMC		9/19/2018		(1,123	)
USD	124,788	SGD	170,400	CITI		9/19/2018		(491	)
USD	187,181	SGD	255,600	JPMC		9/19/2018		(736	)
ILS	8,015,996	USD	2,262,074	CITI		9/20/2018		(58,355	)
ILS	12,024,004	USD	3,393,117	JPMC		9/20/2018		(87,537	)
Total unrealized depreciation								(12,543,799	)
Net unrealized depreciation								$(11,256,336	)

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

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Total Return Basket Swaps Outstanding at June 30, 2018

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-2.67%), which is denominated in USD based on the local currencies of the positions within the swap.	12-25 months maturity ranging from 07/01/2019 – 06/17/2020	$16,034,453		$(16,034,444	)		$(1,321	)		$(16,035,765	)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.25% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.	62-111 months maturity ranging from 05/18/2022 – 08/19/2022	$730,903,362		$(23,256,316	)		$4,173,507			$(19,082,809	)

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
Australia
BHP Billiton plc		1,828,059	$	41,026,093	$	5,250,154			(27.5	)%
Rio Tinto plc		911,788		50,256,397		3,983,941			(20.9	)
Chile
Antofagasta plc		1,703,641		22,134,055		184,620			(1.0	)
Russia
Evraz plc		1,173,601		7,833,114		946,627			(5.0	)
South Africa
Anglo American plc		985,258		21,873,644		(933,394	)		4.9
Investec plc		680,382		4,810,810		(337,460	)		1.8
Switzerland
Coca-Cola HBC AG		262,473		8,736,317		1,265,872			(6.6	)
United Kingdom
Barratt Developments plc		1,981,410		13,431,803		(1,315,408	)		6.9
Bellway plc		243,794		9,631,271		(346,890	)		1.8
BP plc		1,769,854		13,465,964		181,899			(1.0	)
BT Group plc		6,529,645		18,731,891		(5,663,309	)		29.7
Burberry Group plc		504,712		14,344,191		752,548			(3.9	)
Close Brothers Group plc		266,639		5,205,281		(76,764	)		0.4
Inchcape plc		856,674		8,807,049		537,343			(2.8	)
Man Group plc		2,480,026		5,748,984		(143,658	)		0.8

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

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85

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom (continued)
Moneysupermarket.com Group plc		1,060,525		$	4,402,226		$	162,737			(0.9	) %
Persimmon plc		173,519			5,779,864			(60,042	)		0.3
Royal Mail plc		1,387,737			9,232,507			970,562			(5.1	)
Smith & Nephew plc		1,052,275			19,383,231			1,011,587			(5.3	)
Standard Life Aberdeen plc		2,850,240			12,205,198			(3,022,833	)		15.8
Tate & Lyle plc		584,785			4,976,729			(639,172	)		3.3
Taylor Wimpey plc		4,532,201			10,668,902			(660,451	)		3.5
Thomas Cook Group plc		3,652,465			5,175,763			(451,131	)		2.4
William Hill plc		2,139,108			8,543,539			(262,883	)		1.4
Short Positions
Common Stock
United Kingdom
ASOS plc		(64,876	)		(5,203,891	)		138,071			(0.7	)
Auto Trader Group plc		(1,722,495	)		(9,653,542	)		(1,742,192	)		9.1
Babcock International Group plc		(1,120,811	)		(12,042,516	)		(1,858,187	)		9.7
Balfour Beatty plc		(1,448,832	)		(5,407,570	)		(164,379	)		0.9
British American Tobacco plc		(410,795	)		(20,693,134	)		1,431,752			(7.5	)
Capita plc		(2,319,452	)		(4,875,176	)		389,145			(2.0	)
Cobham plc		(3,170,971	)		(5,361,872	)		37,043			(0.2	)
ConvaTec Group plc		(4,813,025	)		(13,436,795	)		547,305			(2.9	)
Hargreaves Lansdown plc		(341,878	)		(8,862,063	)		(2,964,322	)		15.5
Inmarsat plc		(2,397,900	)		(17,339,604	)		(177,397	)		0.9
J Sainsbury plc		(3,488,770	)		(14,763,673	)		(2,855,496	)		15.0
John Wood Group plc		(3,199,972	)		(26,425,365	)		635,190			(3.3	)
Johnson Matthey plc		(153,862	)		(7,326,372	)		(952,387	)		5.0
Merlin Entertainments plc		(2,221,336	)		(11,325,907	)		(435,166	)		2.3
Micro Focus International plc		(1,429,421	)		(24,802,347	)		(1,146,217	)		6.0
National Grid plc		(1,062,200	)		(11,738,442	)		(210,196	)		1.1
Pennon Group plc		(678,347	)		(7,094,180	)		(1,254,785	)		6.6
Reckitt Benckiser Group plc		(300,207	)		(24,666,457	)		(1,696,106	)		8.9
Rightmove plc		(65,460	)		(4,575,814	)		(869,017	)		4.6
Rotork plc		(1,055,484	)		(4,648,513	)		(1,246,451	)		6.5
Severn Trent plc		(313,810	)		(8,182,210	)		(126,220	)		0.7
Tesco plc		(12,594,466	)		(42,614,585	)		(9,562,457	)		50.1
United Utilities Group plc		(842,569	)		(8,470,591	)		(685,298	)		3.6
Weir Group plc (The)		(431,193	)		(11,324,096	)		(112,306	)		0.6
Wm Morrison Supermarkets plc		(3,157,672	)		(10,473,999	)		(1,172,500	)		6.1
WPP plc		(527,419	)		(8,286,586	)		(92,042	)		0.5

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

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86

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (-0.20% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.	61 months maturity 01/19/2022	$89,317,958		$3,180,931		$(611,516	)		$2,569,415

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
Hong Kong
Chow Tai Fook Jewellery Group Ltd.		3,667,800		$	4,125,106		$	144,182			5.6	%
Henderson Land Development Co. Ltd.		347,600			1,832,991			(152,042	)		(5.9	)
Kerry Properties Ltd.		1,301,000			6,217,391			2,020,425			78.6
Li & Fung Ltd.		2,560,000			937,684			(42,570	)		(1.7	)
Melco International Development Ltd.		4,322,000			13,258,178			1,531,949			59.6
New World Development Co. Ltd.		631,000			882,712			(18,065	)		(0.7	)
Sino Land Co. Ltd.		1,652,000			2,684,454			(47,040	)		(1.8	)
SJM Holdings Ltd.		989,000			1,226,589			(88,331	)		(3.4	)
Sun Hung Kai Properties Ltd.		26,000			391,714			(1,370	)		(0.1	)
Swire Properties Ltd.		253,600			935,268			150,841			5.9
WH Group Ltd.		3,257,500			2,635,926			25,192			1.0
Wharf Holdings Ltd. (The)		71,000			227,365			(1,809	)		(0.1	)
Wheelock & Co. Ltd.		352,000			2,446,235			331,965			12.9
Yue Yuen Industrial Holdings Ltd.		871,000			2,455,059			(272,133	)		(10.6	)
Macau
MGM China Holdings Ltd.		98,400			227,524			2,806			0.1
Wynn Macau Ltd.		1,187,200			3,804,554			(622,593	)		(24.2	)
Short Positions
Common Stock
China
Guotai Junan International Holdings Ltd.		(3,025,000	)		(651,991	)		366,515			14.3
Minth Group Ltd.		(1,144,000	)		(4,838,790	)		542,119			21.1
Hong Kong
AIA Group Ltd.		(1,019,400	)		(8,880,413	)		107,691			4.2
ASM Pacific Technology Ltd.		(655,700	)		(8,264,134	)		975,322			38.0
CK Hutchison Holdings Ltd.		(43,500	)		(460,492	)		44,983			1.8
Haitong International Securities Group Ltd.		(1,464,219	)		(665,129	)		45,277			1.8
Hong Kong & China Gas Co. Ltd.		(3,427,177	)		(6,551,165	)		(1,529,317	)		(59.5	)
Hysan Development Co. Ltd.		(133,000	)		(742,338	)		(77,925	)		(3.0	)
MTR Corp. Ltd.		(2,003,204	)		(11,064,992	)		(473,706	)		(18.4	)
Techtronic Industries Co. Ltd.		(223,500	)		(1,241,295	)		8,313			0.3
Value Partners Group Ltd.		(933,000	)		(733,609	)		123,670			4.8
United States
Samsonite International SA		(265,200	)		(934,860	)		86,582			3.4

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

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87

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread (-0.03% to 0.03%), which is denominated in AUD based on the local currencies of the positions within the swap.	61 months maturity 09/21/2021	$179,158,054		$(1,778,641	)		$(254,415	)		$(2,033,056	)

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
Australia
Adelaide Brighton Ltd.		235,071		$	1,207,406		$	227,052			(11.2	)%
AGL Energy Ltd.		195,591			3,254,394			(129,089	)		6.3
Alumina Ltd.		952,858			1,971,830			188,585			(9.3	)
Aurizon Holdings Ltd.		1,933,821			6,184,245			(526,077	)		25.9
BlueScope Steel Ltd.		283,276			3,615,330			105,080			(5.2	)
Caltex Australia Ltd.		122,109			2,938,645			27,031			(1.3	)
CIMIC Group Ltd.		226,374			7,076,513			1,637,595			(80.5	)
Coca-Cola Amatil Ltd.		172,899			1,175,999			30,416			(1.5	)
Fortescue Metals Group Ltd.		1,323,832			4,298,448			(667,038	)		32.8
Harvey Norman Holdings Ltd.		335,083			823,207			(231,370	)		11.4
Iluka Resources Ltd.		141,077			1,165,269			(46,652	)		2.3
Newcrest Mining Ltd.		1,165,999			18,932,492			81,796			(4.0	)
Oil Search Ltd.		27,065			177,816			371			(0.0	)
Orica Ltd.		205,464			2,697,421			(347,067	)		17.1
Origin Energy Ltd.		1,018,810			7,556,667			1,408,508			(69.3	)
Qantas Airways Ltd.		404,601			1,842,391			216,187			(10.6	)
Santos Ltd.		44,646			206,785			(119	)		0.0
South32 Ltd.		4,327,049			11,554,625			933,867			(45.9	)
Woodside Petroleum Ltd.		680,705			17,838,889			2,677,490			(131.7	)
Short Positions
Common Stock
Australia
AMP Ltd.		(1,680,498	)		(4,420,049	)		1,915,262			(94.2	)
APA Group		(1,347,646	)		(9,818,173	)		(1,473,069	)		72.5
AusNet Services		(907,960	)		(1,078,388	)		18,501			(0.9	)
Challenger Ltd.		(532,320	)		(4,658,467	)		184,574			(9.1	)
Computershare Ltd.		(135,821	)		(1,850,217	)		(79,274	)		3.9
CSL Ltd.		(84,580	)		(12,039,383	)		(2,080,192	)		102.3
Domino’s Pizza Enterprises Ltd.		(43,528	)		(1,681,076	)		(188,673	)		9.3
Healthscope Ltd.		(5,321,301	)		(8,682,782	)		(1,447,325	)		71.2
QBE Insurance Group Ltd.		(146,142	)		(1,052,113	)		(28,117	)		1.4
Ramsay Health Care Ltd.		(65,605	)		(2,619,817	)		546,881			(26.9	)
REA Group Ltd.		(104,626	)		(7,021,554	)		(2,478,283	)		121.9
SEEK Ltd.		(948,723	)		(15,288,770	)		(3,357,460	)		165.1
Sonic Healthcare Ltd.		(42,394	)		(769,030	)		(15,623	)		0.8
TPG Telecom Ltd.		(1,673,945	)		(6,398,707	)		464,353			(22.8	)
Transurban Group		(261,736	)		(2,317,754	)		(143,806	)		7.1
Vocus Group Ltd.		(2,895,483	)		(4,943,402	)		797,044			(39.2	)

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

AQR Funds Semi-Annual Report June 2018

88

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.65% to 0.04%), which is denominated in JPY based on the local currencies of the positions within the swap.	99 months maturity 08/20/2021	$1,614,269,321		$(28,651,565	)		$(2,222,740	)		$(30,874,305	)

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
Japan
ANA Holdings, Inc.		299,700		$	10,996,802		$	(615,999	)		2.0	%
Astellas Pharma, Inc.		2,030,700			30,904,377			2,415,806			(7.8	)
Bandai Namco Holdings, Inc.		486,000			20,019,074			5,027,658			(16.3	)
Haseko Corp.		1,493,500			20,585,064			2,516,037			(8.1	)
Hitachi Ltd.		4,573,000			32,216,710			(344,985	)		1.1
Idemitsu Kosan Co. Ltd.		615,500			21,888,171			4,016,564			(13.0	)
Inpex Corp.		2,596,100			26,962,790			(1,698,491	)		5.5
Japan Airlines Co. Ltd.		951,700			33,719,754			(592,058	)		1.9
JFE Holdings, Inc.		764,100			14,432,095			(1,969,259	)		6.4
JXTG Holdings, Inc.		8,864,000			61,496,463			11,610,442			(37.6	)
Kajima Corp.		2,845,000			21,982,347			(3,026,387	)		9.8
Marubeni Corp.		1,930,400			14,696,883			2,026,923			(6.6	)
Matsumotokiyoshi Holdings Co. Ltd.		372,700			16,724,472			4,600,077			(14.9	)
Mitsubishi Gas Chemical Co., Inc.		494,200			11,167,783			1,389,951			(4.5	)
Nexon Co. Ltd.		1,242,400			18,026,437			1,947,048			(6.3	)
Nippon Telegraph & Telephone Corp.		630,900			28,660,534			(1,180,178	)		3.8
Obayashi Corp.		1,850,700			19,216,600			(2,202,932	)		7.1
Oriental Land Co. Ltd.		104,700			10,977,447			1,029,936			(3.3	)
Pola Orbis Holdings, Inc.		290,500			12,766,171			4,002,429			(13.0	)
Sega Sammy Holdings, Inc.		768,800			13,158,375			2,329,280			(7.5	)
Square Enix Holdings Co. Ltd.		561,000			27,507,014			9,429,328			(30.5	)
Taisei Corp.		694,400			38,240,228			5,245,335			(17.0	)
Tosoh Corp.		1,124,700			17,390,320			(5,206,792	)		16.9
Short Positions
Common Stock
Japan
Aeon Co. Ltd.		(1,168,100	)		(24,988,277	)		(8,403,295	)		27.2
Asics Corp.		(858,900	)		(14,499,180	)		122,092			(0.4	)
Calbee, Inc.		(498,200	)		(18,741,086	)		(1,244,555	)		4.0
Dai-ichi Life Holdings, Inc.		(674,600	)		(12,006,293	)		476,010			(1.5	)
FamilyMart UNY Holdings Co. Ltd.		(234,000	)		(24,641,235	)		(11,643,933	)		37.7
Fast Retailing Co. Ltd.		(33,800	)		(15,491,747	)		(4,066,358	)		13.2
Isetan Mitsukoshi Holdings Ltd.		(1,484,300	)		(18,517,972	)		(2,893,033	)		9.4
Kakaku.com, Inc.		(608,600	)		(13,704,441	)		(4,923,284	)		15.9

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

AQR Funds Semi-Annual Report June 2018

89

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Kikkoman Corp.		(273,000	)	$	(13,783,400	)	$	(4,788,769	)		15.5	%
Marui Group Co. Ltd.		(1,292,000	)		(27,177,323	)		(7,899,921	)		25.6
Murata Manufacturing Co. Ltd.		(93,500	)		(15,696,445	)		(2,864,832	)		9.3
NGK Spark Plug Co. Ltd.		(620,100	)		(17,628,681	)		(4,177,186	)		13.5
Nidec Corp.		(83,600	)		(12,505,697	)		(1,510,319	)		4.9
Nippon Paint Holdings Co. Ltd.		(506,700	)		(21,790,703	)		(4,457,266	)		14.4
Odakyu Electric Railway Co. Ltd.		(512,700	)		(10,995,335	)		(490,558	)		1.6
Ricoh Co. Ltd.		(3,611,900	)		(33,076,816	)		67,399			(0.2	)
Shimano, Inc.		(161,400	)		(23,684,587	)		(265,458	)		0.9
SoftBank Group Corp.		(438,600	)		(31,319,615	)		3,061,906			(9.9	)
Sony Financial Holdings, Inc.		(946,100	)		(18,026,139	)		(2,548,384	)		8.3
Sysmex Corp.		(137,300	)		(12,792,883	)		(4,225,542	)		13.7
T&D Holdings, Inc.		(1,950,500	)		(29,253,733	)		1,634,562			(5.3	)
TDK Corp.		(301,400	)		(30,689,406	)		(3,781,915	)		12.2
Tokio Marine Holdings, Inc.		(381,600	)		(17,852,487	)		(91,503	)		0.3
Toray Industries, Inc.		(1,510,000	)		(11,918,223	)		1,866,300			(6.0	)
Toyota Motor Corp.		(281,700	)		(18,217,254	)		370,621			(1.2	)
Yamato Holdings Co. Ltd.		(836,100	)		(24,608,642	)		(6,544,649	)		21.2
Yaskawa Electric Corp.		(575,200	)		(20,255,729	)		4,469,658			(14.5	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread (-0.20% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	59-61 months maturity ranging from 04/19/2023 - 06/30/2023	$5,559,693,672		$(169,703,296	)		$(27,009,675	)		$(196,712,971	)

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
United States
Adobe Systems, Inc.		186,269	$	45,414,245	$	1,906,284			(1.0	)%
Aflac, Inc.		1,106,454		47,599,651		(2,411,319	)		1.2
Allstate Corp. (The)		687,410		62,739,911		(4,365,901	)		2.2
Amazon.com, Inc.		22,222		37,772,956		1,866,512			(0.9	)
Ameriprise Financial, Inc.		249,601		34,914,188		(1,045,828	)		0.5
Applied Materials, Inc.		759,828		35,096,455		(8,080,577	)		4.1
Brunswick Corp.		512,044		33,016,597		1,449,085			(0.7	)
Consolidated Edison, Inc.		544,669		42,473,289		(122,384	)		0.1
Constellation Brands, Inc.		167,926		36,753,964		(2,104,113	)		1.1
DR Horton, Inc.		745,660		30,572,060		(3,133,375	)		1.6

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

AQR Funds Semi-Annual Report June 2018

90

Schedule of Investments June 30, 2018 (Unaudited)

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Electronic Arts, Inc.		304,692		$	42,967,666		$	4,944,459			(2.5	) %
Exelon Corp.		2,008,919			85,579,949			7,091,484			(3.6	)
Facebook, Inc.		274,086			53,260,392			3,849,648			(2.0	)
FedEx Corp.		159,633			36,246,269			(4,125,993	)		2.1
IAC/InterActiveCorp		204,369			31,164,229			(2,066,171	)		1.1
International Business Machines Corp.		406,732			56,820,460			(8,063,473	)		4.1
Lear Corp.		291,659			54,193,159			(3,461,992	)		1.8
Lululemon Athletica, Inc.		241,694			30,175,496			6,775,246			(3.4	)
LyondellBasell Industries NV		680,725			74,777,641			2,186,660			(1.1	)
Michael Kors Holdings Ltd.		449,066			29,907,796			(107,776	)		0.1
Micron Technology, Inc.		806,617			42,298,995			(2,570,834	)		1.3
Microsoft Corp.		338,733			33,402,461			860,382			(0.4	)
NVR, Inc.		11,887			35,308,550			(967,626	)		0.5
Oracle Corp.		720,666			31,752,544			(1,873,732	)		1.0
Skyworks Solutions, Inc.		501,516			48,471,521			(1,279,952	)		0.7
Texas Instruments, Inc.		300,895			33,173,674			990,388			(0.5	)
Short Positions
Common Stock
Advanced Micro Devices, Inc.		(3,054,530	)		(45,787,405	)		(13,653,749	)		6.9
Albemarle Corp.		(654,477	)		(61,736,815	)		1,505,297			(0.8	)
American Airlines Group, Inc.		(1,378,245	)		(52,318,180	)		8,783,645			(4.5	)
Atlassian Corp. plc		(492,580	)		(30,796,102	)		(229,350	)		0.1
Bank of the Ozarks, Inc.		(706,981	)		(31,842,424	)		789,620			(0.4	)
CarMax, Inc.		(569,652	)		(41,510,541	)		(5,635,009	)		2.9
CenturyLink, Inc.		(2,835,477	)		(52,853,291	)		(2,239,979	)		1.1
Dunkin’ Brands Group, Inc.		(494,080	)		(34,126,106	)		(4,201,360	)		2.1
First Data Corp.		(2,654,165	)		(55,551,673	)		(14,911,034	)		7.6
FirstEnergy Corp.		(2,017,687	)		(72,455,140	)		(1,715,034	)		0.9
Gartner, Inc.		(354,965	)		(47,174,848	)		(5,331,773	)		2.7
Global Payments, Inc.		(317,558	)		(35,404,541	)		163,506			(0.1	)
IHS Markit Ltd.		(814,685	)		(42,029,599	)		(1,994,424	)		1.0
Kraft Heinz Co. (The)		(1,049,313	)		(65,917,843	)		(4,068,585	)		2.1
Macquarie Infrastructure Corp.		(935,648	)		(39,484,346	)		(2,554,319	)		1.3
Post Holdings, Inc.		(548,487	)		(47,180,852	)		(3,137,346	)		1.6
PPL Corp.		(2,073,770	)		(59,206,133	)		(821,966	)		0.4
Sempra Energy		(264,591	)		(30,721,661	)		(1,049,879	)		0.5
Square, Inc.		(509,472	)		(31,403,854	)		(5,661,440	)		2.9
Ultimate Software Group, Inc. (The)		(122,233	)		(31,451,773	)		(1,014,534	)		0.5
Uniti Group, Inc.		(2,231,103	)		(44,688,993	)		(7,518,817	)		3.8
VEREIT, Inc.		(8,512,359	)		(63,331,951	)		(4,679,552	)		2.4
Workday, Inc.		(254,210	)		(30,789,915	)		2,910,705			(1.5	)
Zayo Group Holdings, Inc.		(927,077	)		(33,819,769	)		(55,625	)		0.0

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

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Schedule of Investments June 30, 2018 (Unaudited)

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COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread (-0.08% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.	1-61 months maturity 06/30/2023	$606,544,715		$(17,172,303	)		$(525,761	)		$(17,698,064	)

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
France
Air France-KLM		430,292		$	3,516,425		$	(858,955	)		4.9	%
Alstom SA		53,131			2,437,568			(77,470	)		0.4
Amundi SA		22,759			1,573,211			(164,651	)		0.9
Arkema SA		19,424			2,292,038			(113,730	)		0.6
Atos SE		126,148			17,153,211			722,141			(4.1	)
BioMerieux		11,907			1,069,824			134,895			(0.8	)
Capgemini SE		74,172			9,939,781			880,146			(5.0	)
Cie de Saint-Gobain		211,487			9,420,677			(1,225,460	)		6.9
Cie Generale des Etablissements Michelin SCA		374,755			45,337,144			(6,902,239	)		39.0
CNP Assurances		126,984			2,885,016			(187,826	)		1.1
Dassault Aviation SA		476			905,098			(15,086	)		0.1
Engie SA		2,834,056			43,351,150			(2,817,278	)		15.9
Eutelsat Communications SA		134,456			2,782,599			13,304			(0.1	)
Faurecia SA		118,976			8,457,576			(1,167,078	)		6.6
Hermes International		6,690			4,086,616			(329,054	)		1.9
Lagardere SCA		28,206			743,180			(27,198	)		0.2
Pernod Ricard SA		4,563			744,704			(22,549	)		0.1
Peugeot SA		1,601,947			36,500,807			(2,291,897	)		12.9
Renault SA		478,099			40,505,243			(11,412,286	)		64.5
Teleperformance		36,865			6,506,512			808,221			(4.6	)
Thales SA		113,017			14,540,077			956,023			(5.4	)
TOTAL SA		643,596			39,082,860			1,825,454			(10.3	)
Short Positions
Common Stock
France
Accor SA		(398,207	)		(19,502,560	)		1,073,595			(6.1	)
Airbus SE		(177,422	)		(20,704,228	)		(1,345,988	)		7.6
BNP Paribas SA		(63,957	)		(3,956,184	)		46,839			(0.3	)
Bollore SA		(1,078,021	)		(5,006,266	)		566,566			(3.2	)
Bureau Veritas SA		(50,614	)		(1,349,230	)		(103,129	)		0.6
Carrefour SA		(1,258,970	)		(20,308,354	)		3,263,379			(18.4	)
Casino Guichard Perrachon SA		(20,509	)		(793,714	)		15,382			(0.1	)
Credit Agricole SA		(776,344	)		(10,304,051	)		506,993			(2.9	)
Danone SA		(136,459	)		(9,963,212	)		168,390			(1.0	)
Edenred		(444,274	)		(14,033,151	)		75,658			(0.4	)

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

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Schedule of Investments June 30, 2018 (Unaudited)

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Electricite de France SA		(2,461,637	)	$	(33,778,236	)	$	(965,138	)		5.5	%
Iliad SA		(142,906	)		(22,548,441	)		5,265,189			(29.8	)
Ingenico Group SA		(318,390	)		(28,548,219	)		(3,121,606	)		17.6
Ipsen SA		(9,222	)		(1,442,405	)		(40,104	)		0.2
JCDecaux SA		(167,952	)		(5,608,193	)		(33,231	)		0.2
L’Oreal SA		(52,955	)		(13,054,824	)		(1,087,200	)		6.1
Orange SA		(65,856	)		(1,099,278	)		33,514			(0.2	)
Orpea		(36,321	)		(4,837,889	)		(425,505	)		2.4
Publicis Groupe SA		(17,445	)		(1,197,119	)		(56,849	)		0.3
Remy Cointreau SA		(21,934	)		(2,839,665	)		117,374			(0.7	)
SCOR SE		(107,996	)		(3,993,807	)		419,273			(2.4	)
Societe Generale SA		(234,122	)		(9,840,129	)		520,771			(2.9	)
Suez		(1,178,895	)		(15,250,199	)		1,072,594			(6.1	)
Technicolor SA (Registered)		(1,444,472	)		(1,774,756	)		615,364			(3.5	)
Valeo SA		(118,794	)		(6,477,078	)		1,131,710			(6.4	)
Vivendi SA		(1,281,069	)		(31,338,675	)		(146,072	)		0.8
Luxembourg
Eurofins Scientific SE		(26,641	)		(14,775,379	)		(1,020,022	)		5.8
SES SA		(338,961	)		(6,196,112	)		(1,502,120	)		8.5

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-15.00% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	18-24 months maturity 12/17/2019	$981,356,606		$12,316,623		$(1,900,547	)		$10,416,076

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
Belgium
Ageas		500,365	$	25,189,912	$	632,629			6.1	%
Solvay SA		135,544		17,070,214		(637,715	)		(6.1	)
UCB SA		248,597		19,487,596		(208,080	)		(2.0	)
Finland
Fortum OYJ		386,990		9,217,762		1,206,647			11.6
Neste OYJ		368,357		28,819,836		3,948,810			37.9
UPM-Kymmene OYJ		605,128		21,545,644		1,573,639			15.1
Germany
Aurubis AG		163,652		12,492,263		(2,276,441	)		(21.9	)
Bayerische Motoren Werke AG		73,366		6,631,734		(694,005	)		(6.7	)

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

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Schedule of Investments June 30, 2018 (Unaudited)

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Germany (continued)
Continental AG		61,391		$	13,971,231		$	(1,669,929	)		(16.0	) %
Covestro AG		519,362			46,162,768			(5,343,776	)		(51.3	)
Deutsche Lufthansa AG (Registered)		1,194,488			28,617,104			(9,308,866	)		(89.4	)
Rheinmetall AG		163,797			18,021,330			(2,310,789	)		(22.2	)
Salzgitter AG		216,074			9,400,948			(2,004,523	)		(19.2	)
Schaeffler AG (Preference)		589,129			7,646,396			(1,861,046	)		(17.9	)
Software AG		240,805			11,191,959			(1,449,877	)		(13.9	)
Luxembourg
ArcelorMittal		329,289			9,607,260			(404,768	)		(3.9	)
Netherlands
Akzo Nobel NV		82,029			6,996,440			(300,111	)		(2.9	)
ASM International NV		231,594			12,761,461			(2,587,780	)		(24.8	)
ASR Nederland NV		273,879			11,152,598			164,668			1.6
Koninklijke Ahold Delhaize NV		1,464,812			34,976,190			2,285,682			21.9
Koninklijke DSM NV		105,377			10,541,814			604,252			5.8
NN Group NV		409,690			16,615,560			(1,067,070	)		(10.2	)
Signify NV		495,517			12,819,795			(5,661,765	)		(54.4	)
Spain
Acerinox SA		619,517			8,185,902			(321,800	)		(3.1	)
Amadeus IT Group SA		255,231			20,069,441			2,502,725			24.0
Endesa SA		1,363,937			29,995,162			3,041,912			29.2
Mapfre SA		3,359,467			10,097,687			(756,242	)		(7.3	)
Short Positions
Common Stock
Belgium
Anheuser-Busch InBev SA/NV		(472,724	)		(47,681,301	)		348,138			3.3
Galapagos NV		(127,326	)		(11,726,401	)		2,116,156			20.3
Finland
Amer Sports OYJ		(234,740	)		(7,381,198	)		(1,407,696	)		(13.5	)
Orion OYJ		(241,269	)		(6,488,935	)		763,518			7.3
Germany
Commerzbank AG		(1,421,086	)		(13,556,234	)		1,808,626			17.4
Deutsche Bank AG (Registered)		(4,561,846	)		(48,804,790	)		26,986,347			259.1
Deutsche Telekom AG (Registered)		(1,128,709	)		(17,443,532	)		21,440			0.2
GEA Group AG		(202,337	)		(6,814,348	)		2,722,931			26.1
Wirecard AG		(66,910	)		(10,706,967	)		(3,084,333	)		(29.6	)
Zalando SE		(172,960	)		(9,639,408	)		(374,425	)		(3.6	)
Netherlands
ALTICE EUROPE NV		(1,994,821	)		(8,096,985	)		11,184,406			107.4
Boskalis Westminster		(533,494	)		(15,503,045	)		1,910,342			18.3
Koninklijke KPN NV		(4,159,113	)		(11,309,373	)		769,236			7.4
OCI NV		(401,811	)		(10,790,037	)		(2,006,017	)		(19.3	)
SBM Offshore NV		(774,207	)		(12,004,325	)		647,202			6.2
Spain
Bankia SA		(6,136,043	)		(22,881,736	)		4,570,382			43.9
Cellnex Telecom SA		(754,512	)		(18,969,540	)		(1,065,443	)		(10.2	)
Ferrovial SA		(501,675	)		(10,265,579	)		(99,607	)		(1.0	)
Grifols SA		(723,650	)		(21,689,848	)		(1,587,177	)		(15.2	)
Industria de Diseno Textil SA		(1,287,302	)		(43,837,936	)		(4,590,563	)		(44.1	)
Telefonica SA		(1,965,404	)		(16,681,243	)		915,145			8.8
United Kingdom
Unilever NV		(343,206	)		(19,122,403	)		(1,684,149	)		(16.2	)
United States
QIAGEN NV		(502,618	)		(18,219,488	)		(2,468,883	)		(23.7	)

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

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94

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Copenhagen Interbank Offered Rate (“CIBOR”) plus or minus a specified spread (-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap.	20-24 months maturity 02/12/2020	$140,438,024	$	22,266,389	$	377,903	$	22,644,292

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
Denmark
Carlsberg A/S		64,590		$	7,599,563		$	375,571			1.7	%
Coloplast A/S		7,582			757,005			2,885			0.0
Danske Bank A/S		23,289			725,543			(88,904	)		(0.4	)
DSV A/S		70,028			5,637,374			283,761			1.3
GN Store Nord A/S		570,823			25,936,031			7,701,441			34.0
H Lundbeck A/S		198,998			13,947,072			4,676,505			20.7
Jyske Bank A/S (Registered)		33,841			1,849,746			(142,951	)		(0.6	)
Novo Nordisk A/S		376,567			17,393,842			(597,485	)		(2.6	)
Orsted A/S		90,506			5,468,476			409,197			1.8
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(12,996	)		(16,077,349	)		4,040,228			17.8
Chr Hansen Holding A/S		(32,646	)		(3,005,420	)		(446,963	)		(2.0	)
Genmab A/S		(204,134	)		(31,409,724	)		2,767,552			12.2
Pandora A/S		(152,529	)		(10,630,879	)		3,285,552			14.5

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Swiss Average Rate Overnight (“SARON”) plus or minus a specified spread (-9.00% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap.	11-15 months maturity 05/10/2019	$267,870,924		$(850,980	)		$52,078		$(798,902	)

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 AT VALUE (%)
Long Positions
Common Stock
Switzerland
Adecco Group AG (Registered)		461,407		$	27,229,520		$	(6,817,849	)		853.4	%
Barry Callebaut AG (Registered)		1,252			2,243,481			(128,686	)		16.1
dormakaba Holding AG		5,326			3,720,625			(828,797	)		103.7
Flughafen Zurich AG (Registered)		4,403			895,857			(131,880	)		16.5
Georg Fischer AG (Registered)		14,615			18,663,130			(800,915	)		100.3
Givaudan SA (Registered)		504			1,141,468			40,690			(5.1	)
Helvetia Holding AG (Registered)		2,877			1,641,293			(29,289	)		3.7
OC Oerlikon Corp. AG (Registered)		85,191			1,297,862			(71,176	)		8.9
Partners Group Holding AG		6,288			4,596,817			115,305			(14.4	)
Roche Holding AG		65,141			14,452,064			69,789			(8.7	)
Schindler Holding AG		3,573			767,133			12,992			(1.6	)
Sika AG (Registered)		162,808			22,495,118			1,469,720			(184.0	)
Sonova Holding AG (Registered)		17,209			3,078,407			21,670			(2.7	)
Sunrise Communications Group AG		14,868			1,208,103			(22,828	)		2.9
Swatch Group AG (The)		3,337			1,579,674			(42,481	)		5.3
Swiss Life Holding AG (Registered)		45,395			15,740,788			231,710			(29.0	)
Short Positions
Common Stock
Austria
ams AG		(158,342	)		(11,742,664	)		4,955,121			(620.2	)
Switzerland
Aryzta AG		(94,027	)		(1,406,451	)		902,345			(112.9	)
Chocoladefabriken Lindt & Spruengli AG		(2,091	)		(13,553,075	)		(1,666,592	)		208.6
Credit Suisse Group AG (Registered)		(4,051,616	)		(60,584,128	)		8,681,476			(1086.7	)
DKSH Holding AG		(10,664	)		(749,718	)		145,974			(18.3	)
Dufry AG (Registered)		(39,186	)		(4,983,790	)		464,370			(58.1	)
GAM Holding AG		(63,541	)		(873,740	)		230,737			(28.9	)
Lonza Group AG (Registered)		(20,437	)		(5,400,406	)		81,785			(10.2	)
UBS Group AG (Registered)		(161,595	)		(2,477,310	)		56,827			(7.1	)
Vifor Pharma AG		(284,291	)		(45,348,302	)		(7,790,998	)		975.2

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

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Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Norway Interbank Offered Rate (“NIBOR”) plus or minus a specified spread (-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap.	21-24 months maturity 02/12/2020	$99,902,304		$4,348,409		$1,013,958		$5,362,367

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
Norway
Equinor ASA		596,160		$	15,763,994		$	664,652			12.4	%
Leroy Seafood Group ASA		1,659,059			11,175,883			2,073,982			38.7
Marine Harvest ASA		821,019			16,324,229			1,959,070			36.5
Norsk Hydro ASA		2,753,156			16,434,274			(1,048,672	)		(19.6	)
Orkla ASA		173,484			1,517,792			(69,338	)		(1.3	)
Salmar ASA		280,962			11,784,607			1,717,771			32.0
Short Positions
Common Stock
Norway
Gjensidige Forsikring ASA		(176,161	)		(2,884,019	)		178,409			3.3
Schibsted ASA		(185,306	)		(5,619,239	)		(244,912	)		(4.6	)
Yara International ASA		(216,338	)		(8,950,380	)		125,437			2.3
United Kingdom
Subsea 7 SA		(594,315	)		(9,447,887	)		(1,007,990	)		(18.8	)

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

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97

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread (-3.13% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap.	20-24 months maturity 02/12/2020	$295,704,980		$(23,614,831	)		$1,522,120		$(22,092,711	)

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
Malta
Kindred Group plc		1,213,987		$	15,208,544		$	(1,584,747	)		7.2	%
Sweden
Alfa Laval AB		62,318			1,471,195			37,340			(0.2	)
BillerudKorsnas AB		300,189			4,231,484			73,508			(0.3	)
Boliden AB		1,266,903			40,887,378			1,905,707			(8.6	)
Electrolux AB		845,416			19,185,547			(4,865,309	)		22.0
Essity AB		573,330			14,104,825			(97,021	)		0.4
Husqvarna AB		340,062			3,217,035			(43,529	)		0.2
NCC AB		54,978			911,617			(63,848	)		0.3
Sandvik AB		380,487			6,719,774			135,020			(0.6	)
Securitas AB		64,724			1,061,348			21,560			(0.1	)
SKF AB		77,468			1,434,109			(93,745	)		0.4
SSAB AB		2,154,083			10,130,311			(1,608,492	)		7.3
Svenska Cellulosa AB SCA		1,264,884			13,693,295			2,536,187			(11.5	)
Swedish Match AB		63,090			3,118,016			193,769			(0.9	)
Tele2 AB		83,767			981,113			(91,716	)		0.4
Trelleborg AB		55,625			1,182,794			(72,857	)		0.3
Volvo AB		1,107,120			17,595,594			(1,665,735	)		7.5
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(123,944	)		(7,284,453	)		540,918			(2.4	)
Sweden
Getinge AB		(678,535	)		(6,159,762	)		1,490,685			(6.7	)
Hennes & Mauritz AB		(143,446	)		(2,135,201	)		184,794			(0.8	)
Hexagon AB		(49,998	)		(2,778,247	)		9,626			(0.0	)
Hexpol AB		(331,506	)		(3,428,950	)		(578,235	)		2.6
Nordea Bank AB		(222,053	)		(2,130,063	)		(17,965	)		0.1
Svenska Handelsbanken AB		(2,343,143	)		(25,951,362	)		2,721,384			(12.3	)
Swedbank AB		(73,460	)		(1,565,156	)		(50,069	)		0.2
Swedish Orphan Biovitrum AB		(43,335	)		(943,753	)		(325,993	)		1.5
Telefonaktiebolaget LM Ericsson		(11,447,524	)		(88,194,054	)		(22,306,068	)		101.0

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

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98

Schedule of Investments June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—		$88,315,871		$88,315,871
U.S. Treasury Bills		—		64,435,748		64,435,748
CITI
Investment Companies		15,995,459		—		15,995,459
DTBK
Cash		196,207,057		—		196,207,057
GSIN
Cash		970,000		—		970,000
Investment Companies		711,328,520		—		711,328,520
JPMC
Investment Companies		68,813,958		—		68,813,958
MSIP
Cash		205,316,099		—		205,316,099

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

AQR Funds Semi-Annual Report June 2018

99

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES		Value
LONG POSITIONS - 118.9%
COMMON STOCKS - 0.9%
United States - 0.9%
Akamai Technologies, Inc. (1)*(a)		29,309	$	2,146,298
Booking Holdings, Inc. (1)*(a)		1,682		3,409,565
Evergy, Inc. (1)		139,444		7,829,781
Expedia Group, Inc. (1)		2,413		290,019
Genworth Financial, Inc., Class A (1)*		328,165		1,476,743
Greenbrier Cos., Inc. (The) (1)(a)		2,944		155,296
Guidewire Software, Inc. (1)*(a)		1,780		158,028
Illumina, Inc. (1)*(a)		796		222,315
Kindred Healthcare, Inc. (1)*(a)		173,260		1,559,340
Oil States International, Inc. (1)*(a)		9,355		300,295
Okta, Inc. (1)*		9,298		468,340
Panera Bread Co., Class A (3)*(b)		38,740		406,135
Proofpoint, Inc. (1)*(a)		8,574		988,668
Q2 Holdings, Inc. (1)*(a)		3,715		211,941
Starwood Property Trust, Inc., REIT (1)(a)		4,033		87,556
Tesla, Inc. (1)*(a)		433		148,497
Western Digital Corp. (1)(a)		4,938		382,250
WGL Holdings, Inc. (1)(a)		21,742		1,929,603
Zendesk, Inc. (1)*(a)		14,072		766,783
TOTAL COMMON STOCKS (Cost $21,272,465)				22,937,453
CONVERTIBLE PREFERRED STOCKS - 8.4%
China - 5.0%
Mandatory Exchangeable Trust $100 par, 5.75%, 6/1/2019 (a)(c)		610,168		127,300,021
United States - 3.4%
2017 Mandatory Exchangeable Trust $100 par, 5.19%, 12/1/2020 (a)(c)		25,225		3,270,504
Assurant, Inc. Series D, $100 par, 6.50%, 3/15/2021 (a)		23,600		2,645,560
Black Hills Corp. $50 par, 7.75%, 11/1/2018 (a)		134,716		8,865,485
Bunge Ltd. $100 par, 4.88%, 12/31/2049 (a)(d)		59,900		6,439,741
Fortive Corp. Series A, $1,000 par, 5.00%, 7/1/2021 *		3,475		3,503,599
NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 *(a)(d)(e)		3,665		4,425,604
Post Holdings, Inc. $100 par, 2.50%, 12/31/2049 (a)(d)		244,502		39,548,566
QTS Realty Trust, Inc., REIT Series B, $100 par, 6.50%, 12/31/2049 *(a)(d)		7,650		768,901
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (a)		35,625		2,213,716
Sempra Energy Series A, $100 par, 6.00%, 1/15/2021 (a)		24,575		2,558,995
South Jersey Industries, Inc. $50 par, 7.25%, 4/15/2021 (a)		16,500		898,260
Welltower, Inc., REIT Series I, $50 par, 6.50%, 12/31/2049 (a)(d)		221,875		13,188,139
				88,327,070
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $160,930,398)				215,627,091

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS - 0.0% (f)
United States - 0.0% (f)
SunEdison, Inc.
2.00%, 10/1/2018 (3)(b)(g)	$	5,950,000	$	129,476
2.75%, 1/1/2021(3)(b)(g)		4,925,000		107,172
TOTAL CORPORATE BONDS (Cost $15,555,747)				236,648
CONVERTIBLE BONDS - 19.9%
Canada - 0.2%
Element Fleet Management Corp.
5.13%, 6/30/2019 (a)(c)		1,022,000		766,175
4.25%, 6/30/2020 (a)		6,521,000		4,670,081
				5,436,256
France - 0.4%
AXA SA
7.25%, 5/15/2021 (a)(c)		8,825,000		9,223,422
Germany - 0.1%
Deutsche Bank AG
1.00%, 5/1/2023 (a)		3,250,000		3,003,488
Ivory Coast - 0.0% (f)
Endeavour Mining Corp.
3.00%, 2/15/2023 (a)(c)		625,000		634,750
Monaco - 0.0% (f)
Scorpio Tankers, Inc.
2.38%, 7/1/2019 (a)(c)		1,025,000		993,172
Norway - 0.1%
Ship Finance International Ltd.
5.75%, 10/15/2021 (a)		3,600,000		3,703,338
United States - 19.1%
Acorda Therapeutics, Inc. 1.75%, 6/15/2021 (a)		2,425,000		2,343,554
Akamai Technologies, Inc. 0.13%, 5/1/2025 (a)(c)		1,450,000		1,451,965
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (a)		6,750,000		12,794,625
Allscripts Healthcare Solutions, Inc. 1.25%, 7/1/2020		125,000		126,439
Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (3)(b)(g)		200,000		-
Alteryx, Inc. 0.50%, 6/1/2023 (a)(c)		2,175,000		2,356,713
AMAG Pharmaceuticals, Inc. 3.25%, 6/1/2022		2,450,000		2,501,127
Anthem, Inc. 2.75%, 10/15/2042 (a)		13,475,000		44,030,154
Apollo Commercial Real Estate Finance, Inc., REIT 5.50%, 3/15/2019		5,175,000		5,519,138
4.75%, 8/23/2022 (a)		1,350,000		1,336,365
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024		1,775,000		2,353,162
Atlassian, Inc. 0.63%, 5/1/2023 (a)(c)		7,625,000		7,888,619

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

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100

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 19.1% (continued)
Avaya Holdings Corp. 2.25%, 6/15/2023 (a)(c)	$	600,000	$	583,294
Blackstone Mortgage Trust, Inc., REIT
4.38%, 5/5/2022		2,350,000		2,303,884
4.75%, 3/15/2023 (a)		2,300,000		2,229,107
BofA Finance LLC 0.25%, 5/1/2023 (a)		950,000		888,972
Caesars Entertainment Corp. 5.00%, 10/1/2024 (a)		8,625,000		14,751,217
Chesapeake Energy Corp. 5.50%, 9/15/2026 (a)(h)		9,800,000		9,959,593
Citrix Systems, Inc. 0.50%, 4/15/2019 (a)		625,000		907,497
Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (a)		1,300,000		1,593,410
Clovis Oncology, Inc. 1.25%, 5/1/2025 (a)		1,100,000		1,012,992
Dycom Industries, Inc. 0.75%, 9/15/2021 (a)		1,220,000		1,412,806
Echo Global Logistics, Inc. 2.50%, 5/1/2020 (a)		275,000		284,346
Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 (a)		275,000		255,376
Envestnet, Inc. 1.75%, 6/1/2023 (a)(c)		700,000		718,760
Exact Sciences Corp. 1.00%, 1/15/2025 (a)		8,900,000		9,360,424
EZCORP, Inc. 2.13%, 6/15/2019 (a)(h)		2,500,000		2,530,680
FireEye, Inc. 0.88%, 6/1/2024 (a)(c)		4,250,000		4,004,486
Five9, Inc. 0.13%, 5/1/2023 (a)(c)		525,000		548,316
Gannett Co., Inc. 4.75%, 4/15/2024 (a)(c)		2,250,000		2,436,750
GCI Liberty, Inc. 1.75%, 9/30/2046 (a)(c)		1,775,000		1,826,379
Herbalife Nutrition Ltd. 2.63%, 3/15/2024 (a)(c)		1,425,000		1,508,981
Hope Bancorp, Inc. 2.00%, 5/15/2038 (a)(c)		2,450,000		2,383,605
Huron Consulting Group, Inc. 1.25%, 10/1/2019 (a)		3,000,000		2,815,650
IH Merger Sub LLC, REIT 3.50%, 1/15/2022 (a)		400,000		445,442
Innoviva, Inc. 2.13%, 1/15/2023 (a)		2,175,000		2,110,111
Inphi Corp.
1.13%, 12/1/2020 (a)		536,000		573,252
0.75%, 9/1/2021 (a)		4,500,000		4,204,967
Intel Corp. 3.25%, 8/1/2039 (a)		30,250,000		72,402,557
Intrexon Corp. 3.50%, 7/1/2023		2,025,000		2,025,000
Ironwood Pharmaceuticals, Inc.
2.25%, 6/15/2022 (a)		2,575,000		3,414,795
iStar, Inc., REIT 3.13%, 9/15/2022 (c)		575,000		559,138
LendingTree, Inc. 0.63%, 6/1/2022		1,775,000		2,138,538
Liberty Media Corp. 2.13%, 3/31/2048 (a)(c)		1,450,000		1,426,175

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 19.1% (continued)
Ligand Pharmaceuticals, Inc. 0.75%, 5/15/2023 (a)(c)	$	4,375,000	$	4,525,067
Meritor, Inc. 3.25%, 10/15/2037 (a)(c)		825,000		817,370
Microchip Technology, Inc. 2.25%, 2/15/2037 (a)		10,865,000		12,928,470
Micron Technology, Inc. Series F, 2.13%, 2/15/2033 (a)		7,175,000		34,348,159
Molina Healthcare, Inc. 1.13%, 1/15/2020 (a)		10,525,000		25,485,434
MongoDB, Inc. 0.75%, 6/15/2024 (a)(c)		2,700,000		2,634,406
Novellus Systems, Inc. 2.63%, 5/15/2041 (a)		13,650,000		70,815,107
NRG Energy, Inc. 2.75%, 6/1/2048 (a)(c)		3,775,000		3,646,273
Palo Alto Networks, Inc. 0.00%, 7/1/2019 (a)		900,000		1,673,296
Pattern Energy Group, Inc. 4.00%, 7/15/2020 (h)		975,000		972,521
PRA Group, Inc. 3.50%, 6/1/2023 (a)		325,000		345,428
Prospect Capital Corp. 4.95%, 7/15/2022 (a)		3,025,000		2,934,864
Pure Storage, Inc. 0.13%, 4/15/2023 (a)(c)		2,000,000		2,229,738
Redwood Trust, Inc., REIT
4.75%, 8/15/2023		2,750,000		2,666,400
5.63%, 7/15/2024(a)		1,125,000		1,113,059
RH
0.00%, 7/15/2020 (a)(c)		100,000		126,942
0.00%, 6/15/2023 (a)(c)		3,900,000		3,636,126
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (a)		5,575,000		6,091,446
Spirit Realty Capital, Inc., REIT
2.88%, 5/15/2019 (a)		3,575,000		3,555,756
Square, Inc.
0.38%, 3/1/2022 (a)		5,390,000		14,552,089
0.50%, 5/15/2023(a)(c)		6,375,000		6,817,266
SunEdison, Inc. 0.25%, 1/15/2020 (3)(b)(g)		8,325,000		181,158
Synaptics, Inc. 0.50%, 6/15/2022		8,125,000		8,024,884
Teradyne, Inc. 1.25%, 12/15/2023 (a)		2,600,000		3,460,868
Tesla, Inc. 2.38%, 3/15/2022		2,175,000		2,638,917
TTM Technologies, Inc. 1.75%, 12/15/2020 (a)		5,725,000		10,667,782
Twitter, Inc. 0.25%, 6/15/2024 (a)(c)		7,300,000		7,541,075
Unisys Corp. 5.50%, 3/1/2021 (a)		1,250,000		1,875,336
Vector Group Ltd.
2.50%, 1/15/2019 (a)(i)		1,750,000		2,328,998
1.75%, 4/15/2020 (a)(i)		1,075,000		1,131,348
VEREIT, Inc., REIT 3.00%, 8/1/2018 (a)		4,000,000		4,000,068
Weatherford International Ltd. 5.88%, 7/1/2021 (a)		5,350,000		5,265,096
Workday, Inc. 0.25%, 10/1/2022 (a)(c)		950,000		997,291

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

AQR Funds Semi-Annual Report June 2018

101

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 19.1% (continued)
Zillow Group, Inc. 1.50%, 7/1/2023	$	2,400,000	$	2,400,000
				488,746,399
TOTAL CONVERTIBLE BONDS (Cost $387,721,108)				511,740,825
		SHARES
SHORT-TERM INVESTMENTS - 89.7%
INVESTMENT COMPANIES - 84.7%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (j)		21,619,821		21,619,821
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (j)		86,479,285		86,479,285
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (j)(k)		848,321,005		848,321,005
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (j)(k)		201,507,968		201,507,968
Limited Purpose Cash Investment Fund, 1.85% (j)(l)		917,074,447		917,074,447
UBS Select Treasury Preferred Fund, Class I, 1.76% (j)		108,099,169		108,099,169
TOTAL INVESTMENT COMPANIES (Cost $2,182,925,776)				2,183,101,695
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 5.0%
U.S. Treasury Bills
1.59%, 7/12/2018 (m)	$	300,000		299,860
1.61%, 7/19/2018 (m)		1,465,000		1,463,798
1.63%, 7/26/2018 (m)		24,167,000		24,139,167
1.64%, 8/2/2018 (m)		19,720,000		19,689,271
1.66%, 8/9/2018 (m)		7,773,000		7,758,047
1.79%, 8/16/2018 (m)		1,299,000		1,296,037
1.84%, 8/23/2018 (m)		15,615,000		15,573,865
1.85%, 8/30/2018 (m)		3,953,000		3,940,950
1.87%, 9/13/2018 (m)		3,934,000		3,919,003
1.97%, 9/20/2018 (m)		1,355,000		1,349,354
1.91%, 9/27/2018 (m)		10,102,000		10,055,981
1.92%, 10/4/2018 (m)(n)		10,473,000		10,420,643
1.96%, 10/18/2018 (m)(n)		1,844,000		1,833,282
2.01%, 10/25/2018 (m)(n)		1,339,000		1,330,702
2.06%, 11/15/2018 (m)(n)		18,332,000		18,193,318
2.10%, 11/23/2018 (m)(n)		3,871,000		3,839,916
2.05%, 11/29/2018 (m)(n)		4,396,000		4,358,863
TOTAL U.S. TREASURY OBLIGATIONS (Cost $129,458,778)				129,462,057
TOTAL SHORT-TERM INVESTMENTS (Cost $2,312,384,554)				2,312,563,752
TOTAL LONG POSITIONS (Cost $2,897,864,272)				3,063,105,769

INVESTMENTS	SHARES			VALUE
SHORT POSITIONS - (23.1)%
COMMON STOCKS - (22.5)%
China - (4.9)%
Alibaba Group Holding Ltd., ADR (1)*		(684,266	)	$	(126,951,871	)
Ivory Coast - 0.0% (f)
Endeavour Mining Corp. (1)*		(14,643	)		(262,753	)
Monaco - 0.0% (f)
Scorpio Tankers, Inc. (1)		(2,040	)		(5,732	)
Norway - (0.1)%
Ship Finance International Ltd. (1)		(106,231	)		(1,588,154	)
United States - (17.5)%
Acorda Therapeutics, Inc. (1)*		(25,520	)		(732,424	)
Akamai Technologies, Inc. (1)*		(39,219	)		(2,872,007	)
Allegheny Technologies, Inc. (1)*		(425,087	)		(10,678,185	)
Allscripts Healthcare Solutions, Inc. (1)*		(2,549	)		(30,588	)
Alteryx, Inc., Class A (1)*		(36,306	)		(1,385,437	)
AMAG Pharmaceuticals, Inc. (1)*		(60,992	)		(1,189,344	)
Anthem, Inc. (1)		(181,335	)		(43,163,170	)
Apollo Commercial Real Estate Finance, Inc., REIT (1)		(226,793	)		(4,145,776	)
Assurant, Inc. (1)		(18,279	)		(1,891,694	)
Atlas Air Worldwide Holdings, Inc. (1)*		(24,700	)		(1,770,990	)
Atlassian Corp. plc, Class A (1)*		(57,802	)		(3,613,781	)
AXA Equitable Holdings, Inc. (1)*		(340,200	)		(7,011,522	)
Black Hills Corp. (1)		(138,059	)		(8,450,591	)
Blackstone Mortgage Trust, Inc., Class A, REIT (1)		(29,767	)		(935,577	)
Bunge Ltd. (1)		(31,066	)		(2,165,611	)
Caesars Entertainment Corp. (1)*		(1,007,043	)		(10,775,360	)
Chesapeake Energy Corp. (1)*		(583,334	)		(3,056,670	)
Citrix Systems, Inc. (1)*		(8,344	)		(874,785	)
Cleveland-Cliffs, Inc. (1)*		(132,905	)		(1,120,389	)
Clovis Oncology, Inc. (1)*		(10,218	)		(464,613	)
Dycom Industries, Inc. (1)*		(8,940	)		(844,919	)
Echo Global Logistics, Inc. (1)*		(3,235	)		(94,624	)
Ensco plc, Class A (1)		(11,574	)		(84,027	)
Envestnet, Inc. (1)*		(6,250	)		(343,438	)
Evergy, Inc. (1)		(139,481	)		(7,831,858	)
Exact Sciences Corp. (1)*		(72,815	)		(4,353,609	)
EZCORP, Inc., Class A (1)*		(34,991	)		(421,642	)
FireEye, Inc. (1)*		(115,579	)		(1,778,761	)
Five9, Inc. (1)*		(9,003	)		(311,234	)
Gannett Co., Inc.(1)		(100,049	)		(1,070,524	)
Herbalife Nutrition Ltd. (1)*		(15,881	)		(853,127	)
Hope Bancorp, Inc. (1)		(53,119	)		(947,112	)
Huron Consulting Group, Inc. (1)*		(2,065	)		(84,459	)
Innoviva, Inc. (1)*		(67,659	)		(933,694	)
Inphi Corp. (1)*		(46,980	)		(1,532,018	)
Intel Corp. (1)		(1,443,403	)		(71,751,562	)
Invitation Homes, Inc., REIT (1)		(11,643	)		(268,488	)
Ironwood Pharmaceuticals, Inc. (1)*		(126,053	)		(2,410,133	)
iStar, Inc., REIT (1)*		(16,731	)		(180,528	)
Lam Research Corp. (1)		(411,358	)		(71,103,229	)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
United States - (17.5)% (continued)
LendingTree, Inc. (1)*		(6,455	)	$	(1,380,079	)
Ligand Pharmaceuticals, Inc. (1)*		(11,885	)		(2,462,216	)
Meritor, Inc. (1)*		(12,295	)		(252,908	)
Microchip Technology, Inc. (1)		(147,462	)		(13,411,669	)
Micron Technology, Inc. (1)*		(656,375	)		(34,420,305	)
Molina Healthcare, Inc. (1)*		(255,573	)		(25,030,820	)
NCR Corp. (1)*		(76,354	)		(2,289,092	)
New York Times Co. (The), Class A (1)		(108,715	)		(2,815,719	)
NRG Energy, Inc. (1)		(45,865	)		(1,408,056	)
Palo Alto Networks, Inc. (1)*		(8,020	)		(1,647,869	)
Pattern Energy Group, Inc., Class A (1)		(3,580	)		(67,125	)
Post Holdings, Inc. (1)*		(407,759	)		(35,075,429	)
PRA Group, Inc. (1)*		(5,166	)		(199,149	)
Prospect Capital Corp. (1)		(31,835	)		(213,613	)
Pure Storage, Inc., Class A (1)*		(54,854	)		(1,309,914	)
Redwood Trust, Inc., REIT (1)		(60,704	)		(999,795	)
Rexnord Corp. (1)*		(64,071	)		(1,861,903	)
RH (1)*		(660	)		(92,202	)
SEACOR Holdings, Inc. (1)*		(84,910	)		(4,862,796	)
Sempra Energy (1)		(14,698	)		(1,706,585	)
Sirius XM Holdings, Inc. (1)		(95,822	)		(648,715	)
South Jersey Industries, Inc. (1)		(18,737	)		(627,127	)
Spirit MTA REIT (1)*		(969	)		(9,981	)
Spirit Realty Capital, Inc., REIT (1)		(6,211	)		(49,874	)
Square, Inc., Class A (1)*		(279,522	)		(17,229,736	)
Synaptics, Inc. (1)*		(54,656	)		(2,753,023	)
Teradyne, Inc. (1)		(64,232	)		(2,445,312	)
Tesla, Inc. (1)*		(5,613	)		(1,924,978	)
TTM Technologies, Inc. (1)*		(555,421	)		(9,792,072	)
Unisys Corp. (1)*		(109,565	)		(1,413,389	)
Vector Group Ltd. (1)		(125,757	)		(2,399,444	)
Voya Financial, Inc. (1)		(29,088	)		(1,367,136	)
Weatherford International plc (1)*		(257,118	)		(845,918	)
Welltower, Inc., REIT (1)		(81,084	)		(5,083,156	)
Workday, Inc., Class A (1)*		(4,004	)		(484,965	)
					(452,109,570	)
TOTAL COMMON STOCKS (Proceeds $(439,682,846))					(580,918,080	)
	PRINCIPAL AMOUNT
CONVERTIBLE BONDS - (0.6)%
United States - (0.6)%
Booking Holdings, Inc. 0.90%, 9/15/2021	$	(5,200,000	)		(6,212,466	)
Greenbrier Cos., Inc. (The) 2.88%, 2/1/2024		(325,000	)		(373,992	)

INVESTMENTS	PRINCIPAL AMOUNT
United States - (0.6)% (continued)
Guidewire Software, Inc. 1.25%, 3/15/2025	$	(300,000	)	$	(304,564	)
Illumina, Inc. 0.00%, 6/15/2019		(300,000	)		(353,239	)
Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (c)		(1,300,000	)		(1,283,798	)
Oil States International, Inc. 1.50%, 2/15/2023 (c)		(700,000	)		(728,228	)
Okta, Inc. 0.25%, 2/15/2023 (c)		(575,000	)		(709,748	)
Proofpoint, Inc. 0.75%, 6/15/2020		(700,000	)		(1,026,696	)
Q2 Holdings, Inc. 0.75%, 2/15/2023 (c)		(275,000	)		(311,811	)
Starwood Property Trust, Inc., REIT
4.38%, 4/1/2023		(550,000	)		(550,495	)
Western Digital Corp. 1.50%, 2/1/2024 (c)		(1,400,000	)		(1,415,429	)
Zendesk, Inc. 0.25%, 3/15/2023 (c)		(1,250,000	)		(1,350,223	)
TOTAL CONVERTIBLE BONDS (Proceeds $(13,931,144))					(14,620,689	)
TOTAL SHORT POSITIONS (Proceeds $(453,613,990))					(595,538,769	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.8% (Cost $2,444,250,282)					2,467,567,000
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.2%(o)				109,436,540
NET ASSETS - 100.0%				$	2,577,003,540

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	6,272,959			0.2	%
Consumer Staples		10,464,023			0.4
Energy		15,396,789			0.6
Financials		158,770,000			6.2
Health Care		17,592,905			0.7
Industrials		8,272,150			0.3
Information Technology		(88,262,028	)		(3.4	)
Materials		2,961,457			0.1
Real Estate		16,925,419			0.7
Utilities		6,609,574			0.3
Short-Term Investments		2,312,563,752			89.7
Total Investments In Securities At Value		2,467,567,000			95.8
Other Assets in Excess of Liabilities(o)		109,436,540			4.2
Net Assets	$	2,577,003,540			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 $656,325,370. In addition, $97,623,281 of cash collateral was pledged.

(b) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $823,941, which represents approximately 0.03% of net assets of the fund.

(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 June 30, 2018 amounted to $197,053,542, which represents approximately 7.65% of net assets of the fund.

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

(d) Perpetual security. The rate reflected was the rate in effect on June 30, 2018. The maturity date reflects the next call date.

(e) Payment in-kind security.

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

(g) Defaulted security.

(h) Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency. The interest rate shown was the current rate as of June 30, 2018.

(i) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and repayments on the underlying pool of assets. See Note to Financial Statements for further information. The interest rate shown was the current rate as of June 30, 2018.

(j) Represents 7-day effective yield as of June 30, 2018.

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

(l) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/17	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/18		VALUE AT 06/30/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
SHORT-TERM INVESTMENTS - 35.6%
INVESTMENT COMPANIES - 35.6%
Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $916,898,529)	1,059,378,830	1,436,959,048		(1,579,263,431	)		917,074,447		$917,074,447		$7,834,736		$(80,371	)		$175,918

(a) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

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

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

Abbreviations

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

Credit default swap contracts outstanding — buy protection as of June 30, 2018:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE PAID			PAYMENT FREQUENCY	MATURITY DATE	CREDIT SPREAD			NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)			UNREALIZED APPRECIATION (DEPRECIATION)		VALUE
iTraxx Europe Series 29.V1		1.00	%	Quarterly	6/20/2023		0.73	%		EUR  133,212,000		$(2,787,461	)		$715,806		$(2,071,655	)
Markit CDX North America Investment Grade Index Series 30.V1		1.00		Quarterly	6/20/2023		0.67			USD  239,500,000		(4,267,640	)		597,194		(3,670,446	)
												$(7,055,101	)		$1,313,000		$(5,742,101	)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Credit default swap contracts outstanding — sell protection as of June 30, 2018:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE RECEIVED		PAYMENT FREQUENCY	MATURITY DATE	CREDIT SPREAD		NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)		UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
iTraxx Europe Crossover Series 29.V1		5.00%	Quarterly	6/20/2023		3.19%	EUR	76,279,000		$8,816,433		$(1,558,942	)		$7,257,491
Markit CDX North America High Yield Index Series 30.V1		5.00%	Quarterly	6/20/2023		3.59%	USD	177,829,000		10,879,272		(259,021	)		10,620,251
										$19,695,705		$(1,817,963	)		$17,877,742

Total return swap contracts outstanding as of June 30, 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)
Coffee ‘C’ September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		08/10/2018	USD	(1,424,363	)		$48,252
Coffee ‘C’ September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/10/2018	USD	(1,769,663	)		62,231
Coffee ‘C’ September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/10/2018	USD	(2,158,125	)		77,167
Coffee ‘C’ September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		08/10/2018	USD	(1,855,988	)		65,639
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		08/24/2018	USD	(7,100,125	)		461,314
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/24/2018	USD	(10,695,125	)		552,071
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/24/2018	USD	(8,843,700	)		528,046
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MLIN		08/24/2018	USD	(1,240,275	)		48,350

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		08/24/2018	USD	(3,343,350	)		$ 55,169
Cotton No. 2 December Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		11/09/2018	USD	(209,800	)		1,312
Cotton No. 2 December Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		11/09/2018	USD	(167,840	)		949
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	JPMC		07/30/2018	HKD	114,904,000			53,847
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2018	HKD	15,799,300			5,764
Lean Hogs July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/16/2018	USD	1,756,950			73,874
Lean Hogs July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		07/16/2018	USD	530,400			24,288
Lean Hogs August Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/14/2018	USD	(1,559,580	)		4,080
Lean Hogs August Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		08/14/2018	USD	183,480			3,288
Lean Hogs August Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		08/14/2018	USD	366,960			2,591
Lean Hogs August Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/14/2018	USD	(397,540	)		1,579
Live Cattle August Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		08/03/2018	USD	811,110			21,600
MSCI China Net Return Index	Increases in total return of reference entity	Decreases in total return of reference entity and receives the HIBOR plus or minus a specified spread (0.05%)	Monthly	MSCS		09/19/2018	HKD	(6,989,197	)		80,908

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE 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 Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

07/30/2018

SGD

292,800

$ 545

MSCI Taiwan Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

USD

4,186,080

30,626

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/26/2018

USD

(6,776,000

)

552,691

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/26/2018

USD

(14,432,000

)

1,358,432

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/23/2018

USD

(626,810

)

14,440

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(692,790

)

12,224

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

11/23/2018

USD

(428,870

)

7,030

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/23/2018

USD

(4,519,630

)

239,957

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(2,052,060

)

116,189

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

11/23/2018

USD

(1,356,144

)

80,712

Swiss Market Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MSCS

09/21/2018

CHF

(178,531,500

)

721,120

WIG20 Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

09/21/2018

PLN

(16,463,600

)

222,185

5,528,470

BIST 30 Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/31/2018

TRY

(13,317,133

)

(45,130

)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/03/2018

USD

(527,520

)

$ (630

)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(577,760

)

(11,920

)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/03/2018

USD

(1,105,280

)

(7,628

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/03/2018

USD

527,520

(9,779

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/03/2018

USD

577,760

(12,540

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/03/2018

USD

1,105,280

(20,317

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/10/2018

USD

949,575

(13,034

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/10/2018

USD

906,413

(12,043

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/09/2018

USD

503,520

(54,600

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/09/2018

USD

1,090,960

(120,380

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/09/2018

USD

587,440

(55,516

)

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

(7,064,850

)

(3,457

)

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

07/30/2018

HKD

(26,085,600

)

(28,393

)

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

08/15/2018

BRL

34,386,140

(93,267

)

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

AQR Funds Semi-Annual Report June 2018

108

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

09/13/2018

KRW

30,750,000,000

$ (1,614,303

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/16/2018

USD

(1,756,950

)

(119,366

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

07/16/2018

USD

(530,400

)

(36,454

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(3,030,990

)

(76,957

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/03/2018

USD

(1,835,670

)

(44,305

)

MSCI Emerging Markets Taiwan Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.50%)

Increases in total return of reference entity

Monthly

JPMC

09/21/2018

USD

2,192,891

(95,339

)

MSCI Emerging Markets Thailand Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.75%)

Increases in total return of reference entity

Monthly

JPMC

09/24/2018

USD

4,189,063

(438,178

)

MSCI Israel Daily Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.60%)

Increases in total return of reference entity

Monthly

JPMC

09/21/2018

USD

579,869

(11,112

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/26/2018

USD

2,332,000

(258,971

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

11/23/2018

USD

428,870

(36,440

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/23/2018

USD

626,810

(51,933

)

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

AQR Funds Semi-Annual Report June 2018

109

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Soybean Meal December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		11/23/2018	USD	4,519,630		$ (391,291	)
Soybean Meal December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		11/23/2018	USD	692,790		(60,064	)
TAIEX Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/18/2018	TWD	715,359,000		(24,748	)
Tel Aviv Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/25/2018	ILS	6,219,003		(18,788	)
										(3,766,883	)
										$1,761,587

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Brent Crude Oil		691	7/2018	USD		$54,747,930		$2,165,021
Hang Seng Index		408	7/2018	HKD		74,692,872		117,883
IBEX 35 Index		133	7/2018	EUR		14,913,266		(218,017	)
LME Aluminum Base Metal		1	7/2018	USD		53,554		(2,286	)
LME Aluminum Base Metal		1	7/2018	USD		53,482		(2,215	)
LME Aluminum Base Metal		5	7/2018	USD		269,844		(1,924	)
LME Aluminum Base Metal		7	7/2018	USD		375,125		(14,784	)
LME Aluminum Base Metal		7	7/2018	USD		375,856		(43,543	)
LME Aluminum Base Metal		8	7/2018	USD		430,100		(63,021	)
LME Aluminum Base Metal		8	7/2018	USD		432,800		(67,380	)
LME Aluminum Base Metal		8	7/2018	USD		429,000		(18,145	)
LME Aluminum Base Metal		8	7/2018	USD		431,150		32,726
LME Aluminum Base Metal		9	7/2018	USD		486,743		(51,505	)
LME Aluminum Base Metal		9	7/2018	USD		486,585		(42,891	)
LME Aluminum Base Metal		9	7/2018	USD		486,113		(33,956	)
LME Aluminum Base Metal		9	7/2018	USD		485,888		(19,730	)
LME Aluminum Base Metal		9	7/2018	USD		484,538		29,588
LME Aluminum Base Metal		9	7/2018	USD		486,056		(15,526	)
LME Aluminum Base Metal		17	7/2018	USD		915,875		67,975
LME Copper Base Metal		1	7/2018	USD		165,804		(8,033	)
LME Copper Base Metal		1	7/2018	USD		165,825		(5,778	)
LME Copper Base Metal		1	7/2018	USD		165,908		(6,080	)
LME Copper Base Metal		1	7/2018	USD		165,750		(7,941	)
LME Copper Base Metal		1	7/2018	USD		165,768		(4,854	)
LME Copper Base Metal		1	7/2018	USD		165,950		(8,954	)

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

AQR Funds Semi-Annual Report June 2018

110

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		1	7/2018	USD		$ 165,846		$ (5,328	)
LME Copper Base Metal		1	7/2018	USD		165,788		(8,720	)
LME Copper Base Metal		1	7/2018	USD		165,929		(5,337	)
LME Copper Base Metal		1	7/2018	USD		165,783		(7,325	)
LME Copper Base Metal		1	7/2018	USD		165,625		(4,753	)
LME Copper Base Metal		10	7/2018	USD		1,656,708		(44,896	)
LME Copper Base Metal		21	7/2018	USD		3,482,850		(192,743	)
LME Nickel Base Metal		1	7/2018	USD		88,987		7,069
LME Nickel Base Metal		1	7/2018	USD		89,013		810
LME Nickel Base Metal		1	7/2018	USD		89,026		1,114
LME Nickel Base Metal		1	7/2018	USD		89,005		4,530
LME Nickel Base Metal		1	7/2018	USD		89,052		3,480
LME Nickel Base Metal		1	7/2018	USD		89,090		5,837
LME Nickel Base Metal		1	7/2018	USD		88,992		4,749
LME Nickel Base Metal		1	7/2018	USD		89,009		5,066
LME Nickel Base Metal		1	7/2018	USD		88,938		7,526
LME Nickel Base Metal		1	7/2018	USD		88,954		10,447
LME Nickel Base Metal		1	7/2018	USD		88,976		7,059
LME Nickel Base Metal		1	7/2018	USD		89,045		2,163
LME Nickel Base Metal		1	7/2018	USD		88,981		6,563
LME Nickel Base Metal		2	7/2018	USD		177,898		20,084
LME Zinc Base Metal		1	7/2018	USD		72,663		(9,527	)
LME Zinc Base Metal		1	7/2018	USD		72,005		(7,297	)
LME Zinc Base Metal		1	7/2018	USD		72,076		(5,640	)
LME Zinc Base Metal		1	7/2018	USD		72,588		(7,790	)
LME Zinc Base Metal		1	7/2018	USD		72,438		(5,515	)
LME Zinc Base Metal		1	7/2018	USD		72,400		(6,040	)
LME Zinc Base Metal		1	7/2018	USD		72,475		(8,903	)
LME Zinc Base Metal		2	7/2018	USD		144,293		(19,001	)
LME Zinc Base Metal		2	7/2018	USD		144,725		(12,051	)
LME Zinc Base Metal		2	7/2018	USD		144,650		(11,966	)
LME Zinc Base Metal		2	7/2018	USD		144,434		(18,272	)
LME Zinc Base Metal		2	7/2018	USD		144,363		(17,930	)
LME Zinc Base Metal		2	7/2018	USD		144,222		(15,534	)
LME Zinc Base Metal		2	7/2018	USD		145,250		(16,506	)
LME Zinc Base Metal		2	7/2018	USD		144,575		(15,431	)
LME Zinc Base Metal		2	7/2018	USD		145,025		(16,181	)
MSCI Singapore Index		1,024	7/2018	SGD		27,507,083		58,788
MSCI Taiwan Index		123	7/2018	USD		4,767,480		41,390
Natural Gas		269	7/2018	USD		7,865,560		(86,532	)
NY Harbor ULSD		71	7/2018	USD		6,589,325		114,426
RBOB Gasoline		90	7/2018	USD		8,131,536		218,650
WTI Crude Oil		450	7/2018	USD		33,367,500		3,640,732
LME Aluminum Base Metal		1	8/2018	USD		53,182		(3,752	)
LME Aluminum Base Metal		1	8/2018	USD		53,375		(3,060	)
LME Aluminum Base Metal		1	8/2018	USD		53,186		(3,764	)
LME Aluminum Base Metal		1	8/2018	USD		53,194		(3,624	)
LME Aluminum Base Metal		1	8/2018	USD		53,264		(4,414	)
LME Aluminum Base Metal		1	8/2018	USD		53,286		(5,848	)
LME Aluminum Base Metal		1	8/2018	USD		53,353		(4,175	)
LME Aluminum Base Metal		1	8/2018	USD		53,411		(2,656	)
LME Copper Base Metal		1	8/2018	USD		165,780		(5,153	)
LME Copper Base Metal		1	8/2018	USD		165,794		(5,559	)
LME Copper Base Metal		3	8/2018	USD		496,881		(19,015	)
LME Copper Base Metal		4	8/2018	USD		663,094		(11,588	)

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

AQR Funds Semi-Annual Report June 2018

111

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		13	8/2018	USD		$ 2,155,400		$ (84,687	)
LME Copper Base Metal		33	8/2018	USD		5,465,213		(195,449	)
LME Copper Base Metal		33	8/2018	USD		5,466,178		(175,849	)
LME Nickel Base Metal		1	8/2018	USD		89,161		5,395
LME Nickel Base Metal		1	8/2018	USD		89,154		6,051
LME Nickel Base Metal		1	8/2018	USD		89,193		1,932
LME Nickel Base Metal		1	8/2018	USD		89,116		5,827
Low Sulphur Gasoil		110	8/2018	USD		7,444,250		114,240
3 Month Euro Euribor		83	9/2018	EUR		24,306,969		3,255
3 Month Sterling		641	9/2018	GBP		104,883,144		56,888
ASX 90 Day Bank Accepted Bill		162	9/2018	AUD		119,299,767		(10,185	)
Copper		99	9/2018	USD		7,340,850		(218,904	)
EURO STOXX 50 Index		586	9/2018	EUR		23,205,658		(328,566	)
Euro-Bobl		1,216	9/2018	EUR		187,687,321		539,803
Euro-Bund		2,183	9/2018	EUR		414,389,918		3,235,722
Euro-Buxl		151	9/2018	EUR		31,335,227		660,952
Euro-OAT		250	9/2018	EUR		45,117,953		403,608
Euro-Schatz		733	9/2018	EUR		95,944,469		71,284
FTSE 100 Index		500	9/2018	GBP		50,160,397		(219,209	)
FTSE/MIB Index		466	9/2018	EUR		58,685,967		(1,371,570	)
LME Aluminum Base Metal		2	9/2018	USD		106,650		(1,493	)
LME Aluminum Base Metal		2	9/2018	USD		106,636		(1,515	)
LME Aluminum Base Metal		4	9/2018	USD		213,075		(4,787	)
LME Aluminum Base Metal		7	9/2018	USD		372,930		(6,865	)
LME Aluminum Base Metal		67	9/2018	USD		3,570,681		(237,069	)
LME Copper Base Metal		1	9/2018	USD		165,638		(1,190	)
LME Copper Base Metal		2	9/2018	USD		331,300		(1,806	)
LME Copper Base Metal		2	9/2018	USD		331,275		(9,331	)
LME Copper Base Metal		3	9/2018	USD		496,969		(50,740	)
LME Copper Base Metal		6	9/2018	USD		993,750		(24,599	)
LME Copper Base Metal		9	9/2018	USD		1,491,372		(130,955	)
LME Copper Base Metal		38	9/2018	USD		6,296,059		(592,641	)
LME Copper Base Metal		48	9/2018	USD		7,951,404		(664,379	)
LME Copper Base Metal		122	9/2018	USD		20,215,400		(1,441,554	)
LME Nickel Base Metal		1	9/2018	USD		89,400		(303	)
LME Nickel Base Metal		1	9/2018	USD		89,335		(1,868	)
LME Nickel Base Metal		1	9/2018	USD		89,396		1,820
LME Nickel Base Metal		2	9/2018	USD		178,741		883
LME Nickel Base Metal		4	9/2018	USD		357,497		(7,140	)
LME Nickel Base Metal		34	9/2018	USD		3,038,478		37,480
NASDAQ 100 Emini Index		220	9/2018	USD		31,093,700		(707,115	)
Nikkei 225 Index		14	9/2018	JPY		2,818,588		9,829
Russell 2000 E-Mini Index		1,061	9/2018	USD		87,399,875		(1,422,270	)
S&P Midcap 400 E-Mini Index		23	9/2018	USD		4,499,030		(48,750	)
S&P/TSX 60 Index		49	9/2018	CAD		7,180,877		49,859
SET50 Index		483	9/2018	THB		3,049,329		(46,568	)
Silver		333	9/2018	USD		26,969,670		(306,343	)
TOPIX Index		1,578	9/2018	JPY		246,644,898		(5,523,440	)
U.S. Treasury 10 Year Note		54	9/2018	USD		6,490,125		20,812
3 Month Euro Euribor		61	12/2018	EUR		17,859,706		(252	)
3 Month Euroswiss		27	12/2018	CHF		6,865,874		(631	)
3 Month Sterling		1,227	12/2018	GBP		200,655,624		144,909
ASX 90 Day Bank Accepted Bill		644	12/2018	AUD		474,253,396		19,957
3 Month Euro Euribor		194	3/2019	EUR		56,796,887		988
3 Month Euroswiss		20	3/2019	CHF		5,084,823		(332	)

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

AQR Funds Semi-Annual Report June 2018

112

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
3 Month Sterling		1,470		3/2019	GBP		$ 240,224,515			$ 304,465
ASX 90 Day Bank Accepted Bill		704		3/2019	AUD		518,413,055			43,775
3 Month Euro Euribor		324		6/2019	EUR		94,842,469			22,697
3 Month Euroswiss		15		6/2019	CHF		3,811,724			2,426
3 Month Sterling		1,278		6/2019	GBP		208,721,754			(5,885	)
ASX 90 Day Bank Accepted Bill		548		6/2019	AUD		403,497,837			78,494
3 Month Euro Euribor		262		9/2019	EUR		76,643,882			80,651
3 Month Euro Euribor		204		12/2019	EUR		59,635,225			87,566
3 Month Euro Euribor		192		3/2020	EUR		56,082,427			82,678
3 Month Euro Euribor		156		6/2020	EUR		45,530,537			55,894
										(2,378,813	)
Short Contracts
Amsterdam Exchange Index		(264	)	7/2018	EUR		(34,011,568	)		760,395
CAC 40 10 Euro Index		(160	)	7/2018	EUR		(9,941,248	)		255,911
FTSE Bursa Malaysia KLCI Index		(418	)	7/2018	MYR		(8,777,534	)		(126,909	)
HSCEI		(323	)	7/2018	HKD		(22,373,604	)		129,800
LME Aluminum Base Metal		(1	)	7/2018	USD		(53,554	)		1,700
LME Aluminum Base Metal		(1	)	7/2018	USD		(53,482	)		2,065
LME Aluminum Base Metal		(5	)	7/2018	USD		(269,844	)		767
LME Aluminum Base Metal		(7	)	7/2018	USD		(375,125	)		9,858
LME Aluminum Base Metal		(7	)	7/2018	USD		(375,856	)		60,923
LME Aluminum Base Metal		(8	)	7/2018	USD		(431,150	)		(32,215	)
LME Aluminum Base Metal		(8	)	7/2018	USD		(429,000	)		28,046
LME Aluminum Base Metal		(8	)	7/2018	USD		(430,100	)		67,176
LME Aluminum Base Metal		(8	)	7/2018	USD		(432,800	)		60,176
LME Aluminum Base Metal		(9	)	7/2018	USD		(486,585	)		36,063
LME Aluminum Base Metal		(9	)	7/2018	USD		(486,113	)		38,786
LME Aluminum Base Metal		(9	)	7/2018	USD		(485,888	)		24,836
LME Aluminum Base Metal		(9	)	7/2018	USD		(486,743	)		52,218
LME Aluminum Base Metal		(9	)	7/2018	USD		(484,538	)		(30,030	)
LME Aluminum Base Metal		(9	)	7/2018	USD		(486,056	)		19,267
LME Aluminum Base Metal		(17	)	7/2018	USD		(915,875	)		(69,800	)
LME Copper Base Metal		(1	)	7/2018	USD		(165,908	)		4,814
LME Copper Base Metal		(1	)	7/2018	USD		(165,950	)		7,422
LME Copper Base Metal		(1	)	7/2018	USD		(165,625	)		4,446
LME Copper Base Metal		(1	)	7/2018	USD		(165,783	)		7,823
LME Copper Base Metal		(1	)	7/2018	USD		(165,804	)		8,193
LME Copper Base Metal		(1	)	7/2018	USD		(165,768	)		5,099
LME Copper Base Metal		(1	)	7/2018	USD		(165,750	)		8,622
LME Copper Base Metal		(1	)	7/2018	USD		(165,929	)		4,943
LME Copper Base Metal		(1	)	7/2018	USD		(165,825	)		4,122
LME Copper Base Metal		(1	)	7/2018	USD		(165,846	)		5,651
LME Copper Base Metal		(1	)	7/2018	USD		(165,788	)		8,610
LME Copper Base Metal		(10	)	7/2018	USD		(1,656,708	)		43,136
LME Copper Base Metal		(21	)	7/2018	USD		(3,482,850	)		240,388
LME Nickel Base Metal		(1	)	7/2018	USD		(89,052	)		(3,340	)
LME Nickel Base Metal		(1	)	7/2018	USD		(88,976	)		(7,334	)
LME Nickel Base Metal		(1	)	7/2018	USD		(88,954	)		(10,561	)
LME Nickel Base Metal		(1	)	7/2018	USD		(88,987	)		(6,400	)
LME Nickel Base Metal		(1	)	7/2018	USD		(88,992	)		(4,949	)
LME Nickel Base Metal		(1	)	7/2018	USD		(89,009	)		(4,474	)
LME Nickel Base Metal		(1	)	7/2018	USD		(89,026	)		(823	)
LME Nickel Base Metal		(1	)	7/2018	USD		(89,090	)		(6,258	)
LME Nickel Base Metal		(1	)	7/2018	USD		(89,013	)		1,800

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

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113

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION		NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Nickel Base Metal			(1	)	7/2018	USD		$ (88,981	)		$ (6,334	)
LME Nickel Base Metal			(1	)	7/2018	USD		(89,005	)		(4,053	)
LME Nickel Base Metal			(1	)	7/2018	USD		(89,045	)		(3,719	)
LME Nickel Base Metal			(1	)	7/2018	USD		(88,938	)		(7,599	)
LME Nickel Base Metal			(2	)	7/2018	USD		(177,898	)		(20,703	)
LME Zinc Base Metal			(1	)	7/2018	USD		(72,663	)		9,379
LME Zinc Base Metal			(1	)	7/2018	USD		(72,475	)		8,511
LME Zinc Base Metal			(1	)	7/2018	USD		(72,400	)		5,506
LME Zinc Base Metal			(1	)	7/2018	USD		(72,076	)		5,740
LME Zinc Base Metal			(1	)	7/2018	USD		(72,438	)		6,197
LME Zinc Base Metal			(1	)	7/2018	USD		(72,588	)		8,011
LME Zinc Base Metal			(1	)	7/2018	USD		(72,005	)		7,371
LME Zinc Base Metal			(2	)	7/2018	USD		(145,025	)		16,740
LME Zinc Base Metal			(2	)	7/2018	USD		(145,250	)		16,623
LME Zinc Base Metal			(2	)	7/2018	USD		(144,575	)		16,721
LME Zinc Base Metal			(2	)	7/2018	USD		(144,725	)		12,112
LME Zinc Base Metal			(2	)	7/2018	USD		(144,222	)		13,796
LME Zinc Base Metal			(2	)	7/2018	USD		(144,363	)		17,121
LME Zinc Base Metal			(2	)	7/2018	USD		(144,650	)		12,320
LME Zinc Base Metal			(2	)	7/2018	USD		(144,434	)		18,023
LME Zinc Base Metal			(2	)	7/2018	USD		(144,293	)		18,060
OMXS30 Index			(652	)	7/2018	SEK		(11,363,184	)		28,792
100 oz Gold			(413	)	8/2018	USD		(51,810,850	)		1,337,871
BIST 30 Index			(3,377	)	8/2018	TRY		(8,907,735	)		(129,256	)
LME Aluminum Base Metal			(1	)	8/2018	USD		(53,353	)		4,698
LME Aluminum Base Metal			(1	)	8/2018	USD		(53,264	)		4,882
LME Aluminum Base Metal			(1	)	8/2018	USD		(53,286	)		5,583
LME Aluminum Base Metal			(1	)	8/2018	USD		(53,194	)		3,716
LME Aluminum Base Metal			(1	)	8/2018	USD		(53,375	)		3,160
LME Aluminum Base Metal			(1	)	8/2018	USD		(53,182	)		3,665
LME Aluminum Base Metal	��		(1	)	8/2018	USD		(53,186	)		3,949
LME Aluminum Base Metal			(1	)	8/2018	USD		(53,411	)		2,474
LME Copper Base Metal			(1	)	8/2018	USD		(165,794	)		3,328
LME Copper Base Metal			(1	)	8/2018	USD		(165,780	)		4,913
LME Copper Base Metal			(3	)	8/2018	USD		(496,881	)		18,502
LME Copper Base Metal			(4	)	8/2018	USD		(663,094	)		13,761
LME Copper Base Metal			(13	)	8/2018	USD		(2,155,400	)		77,793
LME Copper Base Metal			(33	)	8/2018	USD		(5,465,213	)		198,565
LME Copper Base Metal			(33	)	8/2018	USD		(5,466,178	)		166,825
LME Nickel Base Metal			(1	)	8/2018	USD		(89,193	)		(2,541	)
LME Nickel Base Metal			(1	)	8/2018	USD		(89,161	)		(5,216	)
LME Nickel Base Metal			(1	)	8/2018	USD		(89,116	)		(5,777	)
LME Nickel Base Metal			(1	)	8/2018	USD		(89,154	)		(6,027	)
3 Month Canadian Bankers Acceptance			(57	)	9/2018	CAD		(10,626,935	)		7,307
3 Month Eurodollar			(404	)	9/2018	USD		(98,520,450	)		38,215
Australia 10 Year Bond			(1,907	)	9/2018	AUD		(182,564,928	)		(2,054,090	)
Canada 10 Year Bond			(1,123	)	9/2018	CAD		(116,780,383	)		(1,696,293	)
Corn			(418	)	9/2018	USD		(7,513,550	)		402,962
DAX Index			(89	)	9/2018	EUR		(31,981,853	)		590,395
Euro-BTP			(235	)	9/2018	EUR		(34,918,855	)		(543,492	)
FTSE/JSE Top 40 Index			(1,026	)	9/2018	ZAR		(38,658,528	)		139,031
Japan 10 Year Bond			(390	)	9/2018	JPY		(531,342,636	)		(659,132	)
KC HRW Wheat			(84	)	9/2018	USD		(2,051,700	)		90,760
KOSPI 200 Index			(219	)	9/2018	KRW		(14,737,551	)		353,257
LME Aluminum Base Metal			(2	)	9/2018	USD		(106,650	)		1,007

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

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114

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(2	)	9/2018	USD		$ (106,636	)		$ 2,397
LME Aluminum Base Metal		(4	)	9/2018	USD		(213,075	)		4,400
LME Aluminum Base Metal		(7	)	9/2018	USD		(372,930	)		6,831
LME Aluminum Base Metal		(19	)	9/2018	USD		(1,012,581	)		19,769
LME Copper Base Metal		(1	)	9/2018	USD		(165,638	)		1,880
LME Copper Base Metal		(2	)	9/2018	USD		(331,275	)		9,269
LME Copper Base Metal		(2	)	9/2018	USD		(331,300	)		462
LME Copper Base Metal		(3	)	9/2018	USD		(496,969	)		47,810
LME Copper Base Metal		(6	)	9/2018	USD		(993,750	)		26,088
LME Copper Base Metal		(9	)	9/2018	USD		(1,491,372	)		126,552
LME Copper Base Metal		(38	)	9/2018	USD		(6,296,059	)		590,379
LME Copper Base Metal		(48	)	9/2018	USD		(7,951,404	)		624,854
LME Copper Base Metal		(110	)	9/2018	USD		(18,227,000	)		896,482
LME Nickel Base Metal		(1	)	9/2018	USD		(89,396	)		(677	)
LME Nickel Base Metal		(1	)	9/2018	USD		(89,400	)		(608	)
LME Nickel Base Metal		(1	)	9/2018	USD		(89,335	)		3,362
LME Nickel Base Metal		(2	)	9/2018	USD		(178,741	)		(147	)
LME Nickel Base Metal		(4	)	9/2018	USD		(357,497	)		6,911
LME Nickel Base Metal		(11	)	9/2018	USD		(983,037	)		4,157
Long Gilt		(1,786	)	9/2018	GBP		(290,061,454	)		(2,658,670	)
MEX BOLSA Index		(168	)	9/2018	MXN		(4,081,097	)		(104,506	)
MSCI EAFE E-Mini Index		(30	)	9/2018	USD		(2,933,100	)		(8,775	)
MSCI Emerging Markets E-Mini Index		(140	)	9/2018	USD		(7,443,100	)		(102,661	)
S&P 500 E-Mini Index		(711	)	9/2018	USD		(96,752,880	)		278,944
SPI 200 Index		(671	)	9/2018	AUD		(76,323,352	)		(752,723	)
Sugar No. 11		(513	)	9/2018	USD		(7,038,360	)		218,602
U.S. Treasury 2 Year Note		(869	)	9/2018	USD		(184,078,640	)		(41,133	)
U.S. Treasury 5 Year Note		(2,712	)	9/2018	USD		(308,129,812	)		(1,547,039	)
Wheat		(177	)	9/2018	USD		(4,436,063	)		(8,572	)
Platinum		(60	)	10/2018	USD		(2,573,100	)		39,712
Soybean		(709	)	11/2018	USD		(31,196,000	)		3,434,712
3 Month Canadian Bankers Acceptance		(298	)	12/2018	CAD		(55,467,691	)		46,223
3 Month Eurodollar		(2,389	)	12/2018	USD		(581,482,599	)		678,955
Soybean Meal		(151	)	12/2018	USD		(4,981,490	)		130,659
Soybean Oil		(24	)	12/2018	USD		(428,256	)		20,354
3 Month Canadian Bankers Acceptance		(358	)	3/2019	CAD		(66,536,968	)		53,736
3 Month Eurodollar		(2,297	)	3/2019	USD		(558,400,699	)		407,701
3 Month Canadian Bankers Acceptance		(204	)	6/2019	CAD		(37,872,247	)		32,851
3 Month Eurodollar		(1,878	)	6/2019	USD		(456,095,774	)		(2,950	)
3 Month Eurodollar		(568	)	9/2019	USD		(137,853,599	)		164,747
3 Month Eurodollar		(573	)	12/2019	USD		(139,002,637	)		82,237
3 Month Eurodollar		(582	)	3/2020	USD		(141,164,099	)		60,180
3 Month Eurodollar		(510	)	6/2020	USD		(123,700,500	)		(42,163	)
										2,903,965
										$525,152

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

AQR Funds Semi-Annual Report June 2018

115

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	7,894,800	USD	5,818,424	CITI		9/19/2018		$25,529
AUD	11,842,200	USD	8,727,646	JPMC		9/19/2018		38,282
CAD	1,357,200	USD	1,032,602	CITI		9/19/2018		1,163
CAD	2,035,800	USD	1,548,904	JPMC		9/19/2018		1,742
CHF	9,785,200	USD	9,893,127	CITI		9/19/2018		56,204
CHF	14,677,800	USD	14,839,709	JPMC		9/19/2018		84,287
COP	27,626,800	USD	9,359	CITI**		9/19/2018		32
COP	41,440,200	USD	14,039	JPMC**		9/19/2018		48
EUR	105,079,600	USD	122,307,147	CITI		9/19/2018		1,144,045
EUR	157,619,400	USD	183,460,949	JPMC		9/19/2018		1,715,837
GBP	1,293,600	USD	1,703,112	CITI		9/19/2018		10,180
GBP	2,910,600	USD	3,840,360	JPMC		9/19/2018		14,546
HKD	42,164,800	USD	5,379,845	CITI		9/19/2018		1,662
HKD	63,247,200	USD	8,069,777	JPMC		9/19/2018		2,483
HUF	72,134,000	USD	255,996	CITI		9/19/2018		1,006
HUF	108,201,000	USD	383,995	JPMC		9/19/2018		1,507
IDR	2,004,722,022	USD	137,516	CITI**		9/19/2018		915
IDR	3,007,083,034	USD	206,274	JPMC**		9/19/2018		1,371
INR	9,526,800	USD	137,057	CITI**		9/19/2018		575
INR	14,290,200	USD	205,586	JPMC**		9/19/2018		862
KRW	742,602,000	USD	667,205	CITI**		9/19/2018		1,276
KRW	1,113,903,000	USD	1,000,809	JPMC**		9/19/2018		1,913
MXN	1,282,408,736	USD	62,867,470	CITI		9/19/2018		901,967
MXN	1,923,613,118	USD	94,301,323	JPMC		9/19/2018		1,352,832
PLN	1,220,400	USD	324,929	CITI		9/19/2018		1,305
PLN	1,830,600	USD	487,394	JPMC		9/19/2018		1,958
SEK	4,481,600	USD	501,809	CITI		9/19/2018		1,611
SEK	6,722,400	USD	752,714	JPMC		9/19/2018		2,415
TRY	58,262,800	USD	11,984,411	CITI		9/19/2018		275,946
TRY	87,394,200	USD	17,976,639	JPMC		9/19/2018		413,896
USD	5,757,935	AUD	7,762,000	CITI		9/19/2018		12,285
USD	8,636,891	AUD	11,643,000	JPMC		9/19/2018		18,417
USD	64,981,375	BRL	244,326,833	CITI**		9/19/2018		2,457,617
USD	97,471,941	BRL	366,490,249	JPMC**		9/19/2018		3,686,303
USD	1,473,104	CAD	1,905,600	CITI		9/19/2018		21,630
USD	2,209,654	CAD	2,858,400	JPMC		9/19/2018		32,442
USD	114,602,649	CHF	112,074,852	CITI		9/19/2018		647,926
USD	171,903,761	CHF	168,112,280	JPMC		9/19/2018		971,674
USD	6,796,124	CNY	44,101,600	CITI**		9/19/2018		168,359
USD	10,194,509	CNY	66,152,400	JPMC**		9/19/2018		252,860
USD	205,964	COP	602,731,994	CITI**		9/19/2018		1,082
USD	308,946	COP	904,097,990	JPMC**		9/19/2018		1,623
USD	4,802,346	CZK	104,000,000	CITI		9/19/2018		107,096
USD	7,203,510	CZK	156,000,000	JPMC		9/19/2018		160,634
USD	132,216,095	EUR	111,526,900	CITI		9/19/2018		1,190,390
USD	198,323,895	EUR	167,290,351	JPMC		9/19/2018		1,785,337
USD	5,848,491	GBP	4,344,400	CITI		9/19/2018		94,607
USD	8,491,254	GBP	6,306,600	JPMC		9/19/2018		138,559
USD	15,971,362	HKD	125,056,400	CITI		9/19/2018		10,376
USD	23,957,028	HKD	187,584,600	JPMC		9/19/2018		15,547
USD	6,236,568	HUF	1,679,491,598	CITI		9/19/2018		252,803
USD	9,354,840	HUF	2,519,237,386	JPMC		9/19/2018		379,193
USD	1,161,150	IDR	16,523,475,004	CITI**		9/19/2018		20,171

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

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116

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	1,741,723	IDR	24,785,212,505	JPMC**		9/19/2018		$ 30,254
USD	744,360	INR	51,093,200	CITI**		9/19/2018		6,230
USD	1,116,555	INR	76,639,800	JPMC**		9/19/2018		9,359
USD	56,599,737	JPY	6,207,681,989	CITI		9/19/2018		217,887
USD	84,899,499	JPY	9,311,522,987	JPMC		9/19/2018		326,725
USD	29,152,640	KRW	31,485,683,814	CITI**		9/19/2018		809,637
USD	43,728,906	KRW	47,228,525,723	JPMC**		9/19/2018		1,214,401
USD	25,541	MXN	512,800	CITI		9/19/2018		41
USD	38,311	MXN	769,200	JPMC		9/19/2018		61
USD	17,868,348	NOK	144,415,300	CITI		9/19/2018		80,033
USD	26,802,489	NOK	216,622,951	JPMC		9/19/2018		120,015
USD	42,608,311	NZD	61,780,000	CITI		9/19/2018		761,571
USD	63,915,157	NZD	92,670,000	JPMC		9/19/2018		1,145,046
USD	456,027	PHP	24,200,800	CITI**		9/19/2018		5,494
USD	684,039	PHP	36,301,200	JPMC**		9/19/2018		8,240
USD	3,571,473	PLN	13,049,600	CITI		9/19/2018		83,092
USD	5,360,739	PLN	19,574,400	JPMC		9/19/2018		128,167
USD	103,655,291	SEK	900,625,996	CITI		9/19/2018		2,487,668
USD	155,482,743	SEK	1,350,939,002	JPMC		9/19/2018		3,731,307
USD	7,177,114	SGD	9,731,200	CITI		9/19/2018		22,724
USD	10,765,543	SGD	14,596,800	JPMC		9/19/2018		33,957
USD	1,779,977	THB	56,990,800	CITI		9/19/2018		55,699
USD	2,669,962	THB	85,486,200	JPMC		9/19/2018		83,546
USD	4,061,089	TRY	19,002,000	CITI		9/19/2018		62,459
USD	6,091,625	TRY	28,503,000	JPMC		9/19/2018		93,682
USD	9,149,366	TWD	273,274,400	CITI**		9/19/2018		137,541
USD	13,723,883	TWD	409,911,600	JPMC**		9/19/2018		206,148
USD	14,719,163	ZAR	195,918,400	CITI		9/19/2018		583,785
USD	23,248,911	ZAR	309,886,200	JPMC		9/19/2018		890,835
ZAR	101,600	USD	7,308	CITI		9/19/2018		23
ZAR	152,400	USD	10,962	JPMC		9/19/2018		34
USD	2,701,169	CLP	1,736,017,999	CITI**		9/20/2018		44,363
USD	4,051,748	CLP	2,604,027,001	JPMC**		9/20/2018		66,540
USD	32,468,808	ILS	115,113,605	CITI		9/20/2018		822,340
USD	48,703,148	ILS	172,670,396	JPMC		9/20/2018		1,233,449
Total unrealized appreciation								33,986,679
AUD	132,678,400	USD	100,407,887	CITI		9/19/2018		(2,195,626	)
AUD	199,017,600	USD	150,612,019	JPMC		9/19/2018		(3,293,626	)
BRL	67,952,800	USD	17,959,533	CITI**		9/19/2018		(570,266	)
BRL	101,929,200	USD	26,939,333	JPMC**		9/19/2018		(855,433	)
CAD	214,525,200	USD	166,359,943	CITI		9/19/2018		(2,958,475	)
CAD	313,972,800	USD	243,494,672	JPMC		9/19/2018		(4,345,069	)
CNY	98,898,800	USD	15,410,815	CITI**		9/19/2018		(547,905	)
CNY	148,348,200	USD	23,116,231	JPMC**		9/19/2018		(821,867	)
COP	3,465,601,037	USD	1,203,236	CITI**		9/19/2018		(25,198	)
COP	5,198,401,555	USD	1,804,856	JPMC**		9/19/2018		(37,800	)
CZK	160,000,000	USD	7,323,115	CITI		9/19/2018		(99,652	)
CZK	240,000,000	USD	10,984,686	JPMC		9/19/2018		(149,492	)
EUR	6,224,400	USD	7,391,144	CITI		9/19/2018		(78,502	)
EUR	9,336,600	USD	11,086,730	JPMC		9/19/2018		(117,766	)
GBP	24,139,600	USD	32,365,612	CITI		9/19/2018		(394,234	)
GBP	35,239,202	USD	47,264,075	JPMC		9/19/2018		(591,973	)
HKD	14,443,200	USD	1,844,862	CITI		9/19/2018		(1,472	)
HKD	21,664,800	USD	2,767,297	JPMC		9/19/2018		(2,212	)
HUF	164,329,600	USD	591,344	CITI		9/19/2018		(5,864	)
HUF	246,494,400	USD	887,017	JPMC		9/19/2018		(8,795	)

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

AQR Funds Semi-Annual Report June 2018

117

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		��	UNREALIZED APPRECIATION (DEPRECIATION)
IDR	16,079,432,354	USD	1,130,069	CITI**		9/19/2018			$ (19,753	)
IDR	24,119,148,534	USD	1,695,106	JPMC**		9/19/2018			(29,631	)
INR	1,344,238,800	USD	19,692,288	CITI**		9/19/2018			(272,412	)
INR	2,016,358,200	USD	29,538,474	JPMC**		9/19/2018			(408,660	)
JPY	10,489,759,125	USD	96,272,681	CITI		9/19/2018			(998,468	)
JPY	15,734,638,685	USD	144,409,202	JPMC		9/19/2018			(1,497,882	)
KRW	3,565,556,000	USD	3,249,232	CITI**		9/19/2018			(39,565	)
KRW	5,348,334,000	USD	4,873,854	JPMC**		9/19/2018			(59,354	)
MXN	324,846,060	USD	16,217,442	CITI		9/19/2018			(64,051	)
MXN	487,269,094	USD	24,326,194	JPMC		9/19/2018			(96,107	)
NZD	78,071,999	USD	54,134,209	CITI		9/19/2018			(1,252,068	)
NZD	117,107,999	USD	81,201,416	JPMC		9/19/2018			(1,878,204	)
PHP	24,200,800	USD	456,451	CITI**		9/19/2018			(5,918	)
PHP	36,301,200	USD	684,677	JPMC**		9/19/2018			(8,877	)
PLN	23,967,600	USD	6,530,017	CITI		9/19/2018			(123,068	)
PLN	35,951,400	USD	9,795,037	JPMC		9/19/2018			(184,615	)
SEK	50,387,600	USD	5,687,680	CITI		9/19/2018			(27,624	)
SEK	75,581,400	USD	8,521,199	JPMC		9/19/2018			(31,114	)
SGD	12,108,400	USD	9,049,279	CITI		9/19/2018			(147,169	)
SGD	18,162,600	USD	13,573,869	JPMC		9/19/2018			(220,703	)
THB	6,456,800	USD	199,168	CITI		9/19/2018			(3,816	)
THB	9,685,200	USD	298,753	JPMC		9/19/2018			(5,724	)
TRY	10,896,000	USD	2,320,194	CITI		9/19/2018			(27,327	)
TRY	16,344,000	USD	3,480,295	JPMC		9/19/2018			(40,994	)
TWD	1,570,800	USD	52,647	CITI**		9/19/2018			(846	)
TWD	2,356,200	USD	78,971	JPMC**		9/19/2018			(1,270	)
USD	44,472,775	AUD	60,263,200	CITI		9/19/2018			(135,731	)
USD	66,709,079	AUD	90,394,800	JPMC		9/19/2018			(203,680	)
USD	4,646,381	BRL	18,207,967	CITI**		9/19/2018			(13,077	)
USD	6,969,562	BRL	27,311,951	JPMC**		9/19/2018			(19,624	)
USD	48,967,512	CAD	64,946,800	CITI		9/19/2018			(501,746	)
USD	73,451,176	CAD	97,420,200	JPMC		9/19/2018			(752,710	)
USD	33,118,304	CHF	32,715,148	CITI		9/19/2018			(145,587	)
USD	49,677,392	CHF	49,072,720	JPMC		9/19/2018			(218,442	)
USD	493,652	COP	1,457,014,797	CITI**		9/19/2018			(1,621	)
USD	740,477	COP	2,185,522,195	JPMC**		9/19/2018			(2,433	)
USD	38,347,202	EUR	32,804,300	CITI		9/19/2018			(192,437	)
USD	57,520,285	EUR	49,206,454	JPMC		9/19/2018			(289,180	)
USD	7,919,321	GBP	6,007,200	CITI		9/19/2018			(36,837	)
USD	11,878,966	GBP	9,010,800	JPMC		9/19/2018			(55,270	)
USD	922,948	HKD	7,233,600	CITI		9/19/2018			(280	)
USD	1,384,420	HKD	10,850,400	JPMC		9/19/2018			(421	)
USD	549,090	IDR	7,964,028,686	CITI**		9/19/2018			(842	)
USD	823,634	IDR	11,946,043,029	JPMC**		9/19/2018			(1,264	)
USD	9,916,206	INR	687,622,400	CITI**		9/19/2018			(17,701	)
USD	14,874,290	INR	1,031,433,600	JPMC**		9/19/2018			(26,569	)
USD	1,796,149	JPY	198,140,006	CITI		9/19/2018			(3,476	)
USD	2,694,220	JPY	297,210,010	JPMC		9/19/2018			(5,218	)
USD	1,651,326	KRW	1,844,738,326	CITI**		9/19/2018			(9,283	)
USD	2,476,986	KRW	2,767,107,490	JPMC**		9/19/2018			(13,928	)
USD	43,643,912	MXN	903,538,000	CITI		9/19/2018			(1,285,686	)
USD	65,465,787	MXN	1,355,307,000	JPMC		9/19/2018			(1,928,610	)
USD	3,117,659	NOK	25,473,100	CITI		9/19/2018			(19,983	)
USD	4,676,483	NOK	38,209,650	JPMC		9/19/2018			(29,980	)
USD	1,350,228	NZD	1,994,400	CITI		9/19/2018			(681	)
USD	2,025,339	NZD	2,991,600	JPMC		9/19/2018			(1,024	)
USD	1,176,083	PLN	4,400,000	CITI		9/19/2018			(113	)

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

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118

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	1,764,122	PLN	6,600,000	JPMC		9/19/2018		$ (171	)
USD	4,920,608	SGD	6,706,000	CITI		9/19/2018		(9,651	)
USD	7,380,903	SGD	10,059,000	JPMC		9/19/2018		(14,485	)
USD	14,681,287	TRY	71,963,200	CITI		9/19/2018		(462,073	)
USD	22,021,902	TRY	107,944,800	JPMC		9/19/2018		(693,137	)
USD	1,350,119	TWD	41,020,000	CITI**		9/19/2018		(2,605	)
USD	2,025,175	TWD	61,530,000	JPMC**		9/19/2018		(3,913	)
USD	3,491,059	ZAR	48,791,600	CITI		9/19/2018		(29,222	)
USD	4,085,253	ZAR	57,178,800	JPMC		9/19/2018		(40,158	)
ZAR	187,842,800	USD	14,735,597	CITI		9/19/2018		(1,182,868	)
ZAR	281,764,198	USD	22,103,422	JPMC		9/19/2018		(1,774,330	)
CLP	4,708,899,990	USD	7,461,187	CITI**		9/20/2018		(254,677	)
CLP	7,063,349,986	USD	11,191,794	JPMC**		9/20/2018		(382,029	)
ILS	18,800,000	USD	5,216,763	CITI		9/20/2018		(48,359	)
ILS	28,200,000	USD	7,824,927	JPMC		9/20/2018		(72,322	)
Total unrealized depreciation								(35,429,881	)
Net unrealized depreciation								$(1,443,202	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps Outstanding at June 30, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
BANA	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 (-0.35% to 1.25%), which is denominated in GBP based on the local currencies of the positions within the swap.	24-25 months maturity 05/26/2020		$3,090,016		$32,446		$1,852		$34,298

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

AQR Funds Semi-Annual Report June 2018

119

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
BANA	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 (1.25%), which is denominated in USD based on the local currencies of the positions within the swap.	14-24 months maturity ranging from 07/25/2019 - 05/26/2020		$2,504,668		$(8,494	)		$9,496			$1,002
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the OBFR plus or minus a specified spread (-0.03% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	85 months maturity 11/22/2021		$7,464,388		$(24,124	)		$(7,234	)		$(31,358	)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread (0.03%), which is denominated in AUD based on the local currencies of the positions within the swap.	61 months maturity 05/23/2022		$13,624,388		$9,091,508			$(9,195,739	)		$(104,231	)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.	61 months maturity 07/13/2022		$5,285,890		$310,892			$(10,139	)		$300,753
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the TIIE plus or minus a specified spread (-0.14% to 0.05%), which is denominated in MXN based on the local currencies of the positions within the swap.	61 months maturity ranging from 04/12/2023 - 06/26/2023		$20,846,426		$695,343			$(47,534	)		$647,809
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the WIBOR plus or minus a specified spread (-0.10% to 0.07%), which is denominated in PLN based on the local currencies of the positions within the swap.	61 months maturity ranging from 04/13/2023 - 06/26/2023		$18,248,987		$417,574			$(38,141	)		$379,433

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-0.04%), which is denominated in EUR based on the local currencies of the positions within the swap.	61 months maturity 04/13/2023		$10,942,497		$78,090			$(3,456	)		$74,634
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR or Canadian Overnight Repurchase Rate Average plus or minus a specified spread (-0.65% to 0.03%), which is denominated in CAD based on the local currencies of the positions within the swap.	61 months maturity 06/21/2023		$2,358,908		$7,534			$(1,634	)		$5,900
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the NIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap.	31-36 months maturity 01/14/2021		$21,258,815		$25,908			$85,144			$111,052
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR plus or minus a specified spread (-0.30% to 0.30%), which is denominated in CAD based on the local currencies of the positions within the swap.	32-39 months maturity 01/14/2021		$1,530,345		$(413,111	)		$(447,119	)		$(860,230	)
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%), which is denominated in CHF based on the local currencies of the positions within the swap.	31-42 months maturity 01/14/2021		$3,664,528		$38,518			$(314,058	)		$(275,540	)
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 (-0.35%), which is denominated in JPY based on the local currencies of the positions within the swap.	33 months maturity 01/14/2021		$2,772,834		$(70,853	)		$(1,542	)		$(72,395	)

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

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121

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE 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 STIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap.	33-37 months maturity 01/14/2021		$24,884,045		$186,054			$(143,373	)		$42,681
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 (0.30%), which is denominated in GBP based on the local currencies of the positions within the swap.	31 months maturity 01/14/2021		$3,985,146		$760,034			$152,102			$912,136
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread (0.33%), which is denominated in CAD based on the local currencies of the positions within the swap.	24-25 months maturity 11/13/2019		$188,321		$(54,728	)		$(73,292	)		$(128,020	)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the RBACR plus or minus a specified spread (0.00%), which is denominated in AUD based on the local currencies of the positions within the swap.	19 months maturity 12/24/2019		$2,322,427		$2,314,920			$(2,480,377	)		$(165,457	)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-0.26%), which is denominated in USD based on the local currencies of the positions within the swap.	24 months maturity 01/23/2020		$1,398,656		$137,344			$925			$138,269

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

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122

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (-0.35% to 0.50%), which is denominated in EUR based on the local currencies of the positions within the swap.	25 months maturity ranging from 11/26/2018 - 01/27/2020		$75,326,731		$2,358,848		$175,088		$2,533,936

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

REFERENCE ENTITY	PRINCIPAL			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)		PERCENTAGE OF SWAP VALUE
Long Positions
Convertible Bond
Germany
Bayer Capital Corp. BV, 5.63%, 11/22/2019	$	34,000,000		$	44,711,863		$	1,639,049		64.7	%
	SHARES
Short Positions
Common Stock
Germany
Bayer AG (Registered)		(278,764	)		(30,614,868	)		719,799		28.4

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

DTBK

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.33% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.

62-73 months maturity ranging from 12/19/2018 - 05/18/2022

$352,589,948

$(4,710,828

)

$2,470,580

$(2,240,248

)

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
Australia
BHP Billiton plc		311,539		$6,991,694		$967,655		(43.2	)%
Rio Tinto plc		108,186		5,963,051		510,823		(22.8	)
Chile
Antofagasta plc		202,875		2,635,794		8,202		(0.4	)

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

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123

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Netherlands
Royal Dutch Shell plc		109,458			$3,788,224			$402,726			(18.0	)%
Russia
Evraz plc		738,040			4,925,994			940,369			(42.0	)
South Africa
Anglo American plc		222,853			4,947,544			(175,665	)		7.8
Investec plc		763,829			5,400,842			285,965			(12.8	)
United Kingdom
AstraZeneca plc		117,424			8,121,887			97,607			(4.4	)
Barclays plc		1,627,435			4,022,587			(236,902	)		10.6
BBA Aviation plc		576,307			2,585,416			124,239			(5.5	)
Berkeley Group Holdings plc		74,848			3,728,403			(201,519	)		9.0
BP plc		589,171			4,482,718			119,678			(5.3	)
BT Group plc		2,907,246			8,340,150			(1,814,902	)		81.0
Burberry Group plc		105,789			3,006,581			46,079			(2.1	)
Close Brothers Group plc		203,859			3,979,700			288,075			(12.9	)
Dixons Carphone plc		1,731,293			4,248,629			(1,364,777	)		60.9
GlaxoSmithKline plc		200,443			4,041,119			139,190			(6.2	)
Imperial Brands plc		186,014			6,908,209			(792,843	)		35.4
Inchcape plc		491,833			5,056,296			590,892			(26.4	)
Intermediate Capital Group plc		426,482			6,178,402			2,451,779			(109.4	)
Man Group plc		1,835,786			4,255,562			237,224			(10.6	)
National Grid plc		260,913			2,883,367			(64,290	)		2.9
Persimmon plc		257,953			8,592,335			550,271			(24.6	)
Royal Mail plc		468,054			3,113,927			520,153			(23.2	)
Smith & Nephew plc		633,483			11,668,953			566,364			(25.3	)
Taylor Wimpey plc		1,397,698			3,290,212			(133,047	)		5.9
Short Positions
Common Stock
Jordan
Hikma Pharmaceuticals plc		(161,371	)		(3,182,974	)		82,621			(3.7	)
United Kingdom
AA plc		(1,654,091	)		(2,706,305	)		325,201			(14.5	)
Admiral Group plc		(194,680	)		(4,892,756	)		618,429			(27.6	)
Aggreko plc		(550,963	)		(4,902,673	)		1,686,827			(75.3	)
Auto Trader Group plc		(1,056,879	)		(5,923,167	)		(851,721	)		38.0
Babcock International Group plc		(506,105	)		(5,437,828	)		(644,540	)		28.8
easyJet plc		(154,365	)		(3,396,013	)		(871,743	)		38.9
Experian plc		(114,555	)		(2,825,915	)		(452,150	)		20.2
Greene King plc		(723,150	)		(5,477,913	)		330,818			(14.8	)
Hargreaves Lansdown plc		(494,888	)		(12,828,343	)		(4,421,532	)		197.4
Inmarsat plc		(358,528	)		(2,592,574	)		367,638			(16.4	)
International Consolidated Airlines Group SA		(588,580	)		(5,135,025	)		(196,454	)		8.8
ITV plc		(1,649,820	)		(3,771,886	)		(133,909	)		6.0
J Sainsbury plc		(849,797	)		(3,596,146	)		(833,140	)		37.2
John Wood Group plc		(1,559,772	)		(12,880,595	)		437,733			(19.5	)
Merlin Entertainments plc		(1,169,202	)		(5,961,401	)		(546,815	)		24.4
Micro Focus International plc		(591,200	)		(10,258,103	)		359,194			(16.0	)
Pearson plc		(259,444	)		(3,021,405	)		(642,418	)		28.7
Petrofac Ltd.		(580,823	)		(4,461,911	)		(989,543	)		44.2
Rightmove plc		(71,825	)		(5,020,743	)		(1,047,619	)		46.8
Rotork plc		(749,775	)		(3,302,124	)		(1,027,676	)		45.9
Travis Perkins plc		(186,092	)		(3,487,117	)		110,370			(4.9	)
Weir Group plc (The)		(201,633	)		(5,295,335	)		(14,581	)		0.7
Wm Morrison Supermarkets plc		(1,136,245	)		(3,768,925	)		(282,075	)		12.6

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread (-0.04% to 0.04%), which is denominated in EUR based on the local currencies of the positions within the swap.	61-73 months maturity ranging from 12/19/2018 - 05/16/2023		$135,635,897		$729,680		$(300,504	)		$429,176

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
France
Aeroports de Paris		914		$	206,464		$	14,936			3.5	%
Air France-KLM		379,115			3,098,197			(2,333,520	)		(543.7	)
Atos SE		57,243			7,783,724			1,484,452			345.9
BioMerieux		1,683			151,215			15,916			3.7
Casino Guichard Perrachon SA		11,670			451,638			(200,087	)		(46.6	)
Cie Generale des Etablissements Michelin SCA		22,247			2,691,399			(453,536	)		(105.7	)
CNP Assurances		90,987			2,067,181			215,390			50.2
Elior Group SA		16,274			234,557			(108,634	)		(25.3	)
Engie SA		481,155			7,359,989			(619,468	)		(144.3	)
Eutelsat Communications SA		55,063			1,139,542			2,091			0.5
Faurecia SA		126,386			8,984,327			2,672,073			622.6
Ipsen SA		7,467			1,167,907			212,658			49.6
Kering SA		6,647			3,744,254			1,051,818			245.1
Lagardere SCA		173,742			4,577,806			(167,166	)		(39.0	)
Peugeot SA		460,346			10,489,111			567,033			132.1
Renault SA		57,513			4,872,585			(1,019,969	)		(237.7	)
Rexel SA		23,510			337,489			(88,496	)		(20.6	)
Teleperformance		12,472			2,201,254			765,241			178.3
Thales SA		15,565			2,002,498			465,605			108.5
Ubisoft Entertainment SA		22,901			2,503,268			841,446			196.1
Veolia Environnement SA		16,045			342,866			(6,983	)		(1.6	)
Vivendi SA		8,792			215,078			(3,205	)		(0.7	)
Short Positions
Common Stock
France
Accor SA		(26,491	)		(1,297,421	)		(363,446	)		(84.7	)
Airbus SE		(45,211	)		(5,275,889	)		(630,104	)		(146.8	)
BNP Paribas SA		(5,691	)		(352,028	)		3,124			0.7
Bollore SA		(474,649	)		(2,204,242	)		(428,492	)		(99.8	)
Bureau Veritas SA		(43,292	)		(1,154,046	)		(201,569	)		(47.0	)
Carrefour SA		(159,393	)		(2,571,157	)		737,018			171.7
Edenred		(171,497	)		(5,417,025	)		(1,498,242	)		(349.1	)
Electricite de France SA		(350,610	)		(4,811,021	)		(969,708	)		(225.9	)
Getlink		(394,938	)		(5,414,547	)		(1,203,739	)		(280.5	)
Hermes International		(313	)		(191,197	)		(18,339	)		(4.3	)
Iliad SA		(72,860	)		(11,496,224	)		3,518,669			819.9

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

��

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125

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Ingenico Group SA		(81,773	)	$	(7,332,120	)	$	(95,164	)		(22.2	) %
JCDecaux SA		(101,681	)		(3,395,296	)		100,775			23.5
LVMH Moet Hennessy Louis Vuitton SE		(1,056	)		(350,612	)		30,694			7.2
Publicis Groupe SA		(5,899	)		(404,804	)		7,083			1.7
Remy Cointreau SA		(42,808	)		(5,542,098	)		(1,688,353	)		(393.4	)
Sanofi		(11,919	)		(956,613	)		(44,239	)		(10.3	)
SEB SA		(396	)		(69,089	)		3,201			0.7
Societe BIC SA		(4,508	)		(417,919	)		21,192			4.9
Societe Generale SA		(33,490	)		(1,407,582	)		9,937			2.3
Sodexo SA		(759	)		(75,767	)		(1,694	)		(0.4	)
SPIE SA		(2,174	)		(44,004	)		1,349			0.3
Suez		(194,196	)		(2,512,122	)		136,561			31.8
Valeo SA		(27,384	)		(1,493,075	)		239,576			55.8
Luxembourg
Eurofins Scientific SE		(2,386	)		(1,323,300	)		(58,218	)		(13.6	)
SES SA		(191,707	)		(3,504,350	)		(185,787	)		(43.3	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-3.20% to 0.08%), which is denominated in USD based on the local currencies of the positions within the swap.	44-61 months maturity ranging from 11/19/2021 - 07/03/2023		$1,622,465,015		$(21,303,790	)		$(2,181,090	)		$(23,484,880	)

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
United States
Aflac, Inc.		451,435	$	19,420,734	$	(921,694	)		3.9	%
Agilent Technologies, Inc.		210,493		13,016,887		(22,548	)		0.1
Alcoa Corp.		487,958		22,875,471		(617,412	)		2.6
Allstate Corp. (The)		136,702		12,476,792		(305,241	)		1.3
Amgen, Inc.		53,203		9,820,742		259,132			(1.1	)
Archer-Daniels-Midland Co.		362,708		16,622,908		765,314			(3.3	)
Assurant, Inc.		112,182		11,609,715		1,137,525			(4.8	)
Biogen, Inc.		49,621		14,401,999		(262,110	)		1.1
Bristol-Myers Squibb Co.		260,672		14,425,588		773,431			(3.3	)
Cabot Corp.		162,192		10,018,600		246,532			(1.0	)
Celanese Corp.		95,566		10,613,560		(177,753	)		0.8
FNF Group		341,710		12,855,130		225,529			(1.0	)

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

AQR Funds Semi-Annual Report June 2018

126

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Gilead Sciences, Inc.		321,618		$	22,783,419		$	1,043,653			(4.4	) %
Halliburton Co.		209,853			9,455,976			(911,276	)		3.9
Hartford Financial Services Group, Inc. (The)		258,339			13,208,873			(310,263	)		1.3
Huntsman Corp.		620,782			18,126,834			(1,725,573	)		7.3
Lincoln National Corp.		159,126			9,905,593			(651,116	)		2.8
LyondellBasell Industries NV		248,267			27,272,130			(563,566	)		2.4
Marathon Oil Corp.		492,258			10,268,502			(201,542	)		0.9
Newmont Mining Corp.		266,074			10,033,651			(313,122	)		1.3
Occidental Petroleum Corp.		159,183			13,320,433			(99,827	)		0.4
Olin Corp.		375,473			10,783,585			(1,351,339	)		5.8
Pinnacle Foods, Inc.		211,410			13,754,335			236,779			(1.0	)
Reinsurance Group of America, Inc.		70,881			9,461,196			(1,131,261	)		4.8
Tyson Foods, Inc.		196,911			13,557,322			222,482			(0.9	)
Valero Energy Corp.		126,677			14,039,612			(1,313,640	)		5.6
WR Grace & Co.		196,995			14,441,703			338,831			(1.4	)
Short Positions
Common Stock
United States
Albemarle Corp.		(197,265	)		(18,608,007	)		(169,648	)		0.7
Allegheny Technologies, Inc.		(429,009	)		(10,776,706	)		1,458,631			(6.2	)
Aon plc		(72,535	)		(9,949,626	)		195,845			(0.8	)
Axalta Coating Systems Ltd.		(398,752	)		(12,086,173	)		319,002			(1.4	)
Ball Corp.		(347,531	)		(12,354,727	)		481,095			(2.0	)
BioMarin Pharmaceutical, Inc.		(213,612	)		(20,122,250	)		(824,542	)		3.5
Campbell Soup Co.		(314,144	)		(12,735,398	)		(1,929,985	)		8.2
Cheniere Energy, Inc.		(250,978	)		(16,361,256	)		358,899			(1.5	)
Compass Minerals International, Inc.		(161,452	)		(10,615,469	)		(56,508	)		0.2
Ensco plc		(1,519,761	)		(11,033,465	)		(1,155,018	)		4.9
Hormel Foods Corp.		(391,762	)		(14,577,464	)		(510,275	)		2.2
Kinder Morgan, Inc.		(853,034	)		(15,073,111	)		(843,794	)		3.6
Kraft Heinz Co. (The)		(389,831	)		(24,489,183	)		(2,058,494	)		8.8
Mosaic Co. (The)		(337,952	)		(9,479,554	)		(159,557	)		0.7
Neurocrine Biosciences, Inc.		(173,302	)		(17,025,188	)		(343,138	)		1.5
ONEOK, Inc.		(189,111	)		(13,205,621	)		(315,815	)		1.3
Platform Specialty Products Corp.		(951,468	)		(11,037,029	)		437,675			(1.9	)
Primerica, Inc.		(145,253	)		(14,467,199	)		(181,566	)		0.8
Seattle Genetics, Inc.		(250,197	)		(16,610,579	)		(1,476,162	)		6.3
Sherwin-Williams Co. (The)		(38,806	)		(15,816,161	)		(936,579	)		4.0
Syneos Health, Inc.		(256,217	)		(12,016,577	)		(999,246	)		4.3
Targa Resources Corp.		(188,318	)		(9,319,858	)		(155,630	)		0.7
Valvoline, Inc.		(614,770	)		(13,260,589	)		(664,728	)		2.8

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

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127

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread (-1.65% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/13/2023 - 06/27/2023		$149,211,569		$2,191,339		$(1,608,082	)		$583,257

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.		168,000		$	2,359,265		$	(501,797	)		(86.0	)%
ANTA Sports Products Ltd.		444,000			2,341,349			74,420			12.8
Beijing Capital International Airport Co. Ltd.		2,842,000			2,985,323			(1,020,522	)		(175.0	)
China Cinda Asset Management Co. Ltd.		4,774,000			1,528,852			(205,287	)		(35.2	)
China Conch Venture Holdings Ltd.		412,000			1,503,692			196,050			33.6
China Huarong Asset Management Co. Ltd.		5,876,000			1,693,898			(814,546	)		(139.7	)
China Petroleum & Chemical Corp.		1,956,000			1,750,850			(125,239	)		(21.5	)
China Resources Power Holdings Co. Ltd.		1,528,000			2,685,336			(111,351	)		(19.1	)
China Shenhua Energy Co. Ltd.		1,029,500			2,435,022			(220,118	)		(37.7	)
CSPC Pharmaceutical Group Ltd.		1,058,000			3,176,964			184,911			31.7
Far East Horizon Ltd.		1,650,000			1,597,674			(201,041	)		(34.5	)
Geely Automobile Holdings Ltd.		857,000			2,204,969			(361,476	)		(62.0	)
Guangdong Investment Ltd.		786,000			1,243,951			1,699			0.3
Haitian International Holdings Ltd.		768,000			1,809,946			(411,927	)		(70.6	)
People’s Insurance Co. Group of China Ltd. (The)		6,750,000			3,159,866			2,464			0.4
PICC Property & Casualty Co. Ltd.		2,324,999			2,500,589			(213,927	)		(36.7	)
Shenzhou International Group Holdings Ltd.		140,000			1,722,754			185,981			31.9
Sinopec Shanghai Petrochemical Co. Ltd.		6,825,000			4,149,029			(113,609	)		(19.5	)
Sunny Optical Technology Group Co. Ltd.		64,700			1,200,014			(50,362	)		(8.6	)
Tencent Holdings Ltd.		25,500			1,280,493			(52,093	)		(8.9	)
Weichai Power Co. Ltd.		1,698,000			2,332,847			222,696			38.2
Hong Kong
Haier Electronics Group Co. Ltd.		429,000			1,463,627			(83,716	)		(14.4	)
Sino Biopharmaceutical Ltd.		2,723,998			4,160,109			718,852			123.2
Sun Art Retail Group Ltd.		1,154,000			1,505,476			99,376			17.0
Short Positions
Common Stock
China
Alibaba Health Information Technology Ltd.		(1,290,000	)		(1,241,364	)		(585,125	)		(100.3	)
Beijing Enterprises Water Group Ltd.		(5,076,000	)		(2,760,147	)		75,873			13.0
Brilliance China Automotive Holdings Ltd.		(1,228,000	)		(2,203,288	)		299,049			51.3
BYD Co. Ltd.		(234,000	)		(1,442,994	)		327,714			56.2
CGN Power Co. Ltd.		(19,560,000	)		(5,050,599	)		135,020			23.1
China Communications Construction Co. Ltd.		(1,226,000	)		(1,180,695	)		126,572			21.7
China Everbright Bank Co. Ltd.		(2,792,000	)		(1,197,838	)		165,088			28.3
China Galaxy Securities Co. Ltd.		(3,340,000	)		(1,707,524	)		461,938			79.2

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

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128

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
China (continued)
China Life Insurance Co. Ltd.		(477,000	)	$	(1,223,740	)	$	95,542			16.4	%
China Merchants Bank Co. Ltd.		(807,500	)		(2,970,317	)		316,199			54.2
China Minsheng Banking Corp. Ltd.		(2,093,400	)		(1,495,923	)		153,883			26.4
China Molybdenum Co. Ltd.		(3,039,000	)		(1,464,720	)		404,612			69.4
China Pacific Insurance Group Co. Ltd.		(958,800	)		(3,693,307	)		547,177			93.8
China Railway Construction Corp. Ltd.		(1,244,500	)		(1,258,912	)		69,810			12.0
China State Construction International Holdings Ltd.		(2,602,000	)		(2,661,466	)		556,305			95.4
China Unicom Hong Kong Ltd.		(2,852,000	)		(3,554,975	)		206,573			35.4
CITIC Securities Co. Ltd.		(1,444,000	)		(2,870,892	)		659,935			113.1
Great Wall Motor Co. Ltd.		(1,673,500	)		(1,273,729	)		391,651			67.1
Haitong Securities Co. Ltd.		(1,987,600	)		(2,005,083	)		692,740			118.8
Huatai Securities Co. Ltd.		(825,000	)		(1,308,355	)		319,318			54.7
Lenovo Group Ltd.		(9,670,000	)		(5,204,981	)		(227,854	)		(39.1	)
New China Life Insurance Co. Ltd.		(274,100	)		(1,135,745	)		176,047			30.2
Ping An Insurance Group Co. of China Ltd.		(312,500	)		(2,861,773	)		323,851			55.5
Shanghai Fosun Pharmaceutical Group Co. Ltd.		(440,500	)		(2,408,296	)		394,044			67.6
Yanzhou Coal Mining Co. Ltd.		(1,764,000	)		(2,297,079	)		(135,794	)		(23.3	)
Hong Kong
China Gas Holdings Ltd.		(633,000	)		(2,537,821	)		(189,205	)		(32.4	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread (-1.10% to 0.06%), which is denominated in ZAR based on the local currencies of the positions within the swap.	61 months maturity 06/27/2023		$30,774,338		$1,811,171		$(206,641	)		$1,604,530

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
South Africa
Anglo American Platinum Ltd.		24,837	$	647,782	$	21,123			1.3	%
Aspen Pharmacare Holdings Ltd.		6,302		118,326		(3,278	)		(0.2	)
Barclays Africa Group Ltd.		130,157		1,511,345		(99,606	)		(6.2	)
Bidvest Group Ltd. (The)		92,566		1,325,543		(30,234	)		(1.9	)
Exxaro Resources Ltd.		334,971		3,058,303		508,815			31.7
Foschini Group Ltd. (The)		28,408		359,627		(83,217	)		(5.2	)
Imperial Holdings Ltd.		10,901		155,491		(9,223	)		(0.6	)
Kumba Iron Ore Ltd.		6,972		149,223		5,084			0.3
Mr Price Group Ltd.		89,308		1,465,677		(334,829	)		(20.9	)
Pick n Pay Stores Ltd.		22,287		121,499		(48	)		(0.0	)
RMB Holdings Ltd.		234,450		1,289,964		(23,907	)		(1.5	)
Sasol Ltd.		13,783		501,244		19,778			1.2
Tiger Brands Ltd.		31,342		756,966		(131,360	)		(8.2	)
Truworths International Ltd.		89,373		499,694		(103,387	)		(6.4	)

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

AQR Funds Semi-Annual Report June 2018

129

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
South Africa (continued)
Woolworths Holdings Ltd.		310,335		$	1,251,285		$	(13,714	)		(0.9	) %
United Kingdom
Mondi Ltd.		64,984			1,760,192			228,234			14.2
Short Positions
Common Stock
South Africa
Brait SE		(319,046	)		(989,256	)		(112,925	)		(7.0	)
Capitec Bank Holdings Ltd.		(2,599	)		(163,742	)		(4,453	)		(0.3	)
Clicks Group Ltd.		(7,355	)		(105,018	)		4,282			0.3
Coronation Fund Managers Ltd.		(269,582	)		(1,144,785	)		286,847			17.9
Discovery Ltd.		(268,907	)		(2,886,063	)		536,092			33.4
Investec Ltd.		(13,052	)		(91,078	)		825			0.1
Life Healthcare Group Holdings Ltd.		(705,090	)		(1,274,800	)		137,809			8.6
MMI Holdings Ltd.		(124,028	)		(159,801	)		47,522			3.0
MTN Group Ltd.		(231,587	)		(1,820,089	)		159,653			10.0
Naspers Ltd.		(2,692	)		(678,771	)		(27,240	)		(1.7	)
Nedbank Group Ltd.		(31,417	)		(570,604	)		78,039			4.9
Netcare Ltd.		(13,409	)		(26,884	)		1,317			0.1
Pioneer Foods Group Ltd.		(108,413	)		(883,615	)		117,220			7.3
PSG Group Ltd.		(51,085	)		(803,581	)		(13,595	)		(0.8	)
Sanlam Ltd.		(158,940	)		(807,517	)		123,820			7.7
Sappi Ltd.		(72,622	)		(483,204	)		(29,559	)		(1.8	)
Shoprite Holdings Ltd.		(10,539	)		(168,927	)		20,848			1.3
SPAR Group Ltd. (The)		(9,867	)		(133,283	)		(316	)		(0.0	)
Telkom SA SOC Ltd.		(174,327	)		(621,817	)		98,410			6.1
Vodacom Group Ltd.		(222,559	)		(1,989,342	)		436,344			27.2

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.11% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.	60-61 months maturity 04/13/2023		$37,679,963		$2,543,503		$27,019		$2,570,522

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
United Kingdom
Fidessa Group plc		12,279		$	625,452		$	(36,816	)		(1.4	)%
NEX Group plc		67,719			915,409			27,590			1.1
Sky plc		1,595,281			30,723,229			3,042,424			118.4
ZPG plc		258,200			1,660,275			(3,572	)		(0.1	)
Short Positions
Common Stock
United Kingdom
Informa plc		(341,664	)		(3,755,598	)		(486,123	)		(18.9	)

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

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130

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.03% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/12/2023 - 06/21/2023		$28,408,389		$159,025		$18,309		$177,334

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
United States
Cotiviti Holdings, Inc.		110,770		$	4,888,280		$	14,479			8.2	%
First Connecticut Bancorp, Inc.		70,396			2,154,118			(39,403	)		(22.2	)
Guaranty Bancorp		19,671			586,196			(60,589	)		(34.2	)
LaSalle Hotel Properties		148,485			5,082,641			78,979			44.5
MB Financial, Inc.		116,375			5,434,712			(365,963	)		(206.4	)
Rent-A-Center, Inc.		178,265			2,624,061			318			0.2
Short Positions
Common Stock
United States
Fifth Third Bancorp		(168,806	)		(4,844,732	)		423,981			239.1
Independent Bank Group, Inc.		(8,900	)		(594,520	)		60,265			34.0
People’s United Financial, Inc.		(121,566	)		(2,199,129	)		46,958			26.5

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

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131

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE 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 or Federal Funds Floating Rate plus or minus a specified spread (-5.75% to 0.70%), which is denominated in USD based on the local currencies of the positions within the swap.	1-61 months maturity ranging from 01/14/2021 - 07/03/2023		$3,443,141,092		$(55,233,165	)		$(44,966,371	)		$(100,199,536	)

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
United States
Baxter International, Inc.		211,058		$	15,584,523		$	1,411,827			(1.4	)%
Best Buy Co., Inc.		189,174			14,108,597			429,640			(0.4	)
Boston Scientific Corp.		392,929			12,848,778			2,108,232			(2.1	)
Centene Corp.		185,146			22,811,839			3,395,882			(3.4	)
Cigna Corp.		84,095			14,291,945			(1,742,205	)		1.7
Consolidated Edison, Inc.		251,245			19,592,085			542,014			(0.5	)
Cummins, Inc.		113,290			15,067,570			(2,824,463	)		2.8
Dell Technologies, Inc.		193,988			16,407,505			2,763,949			(2.8	)
DXC Technology Co.		168,446			13,578,432			(3,114,022	)		3.1
Exelon Corp.		1,070,595			45,607,347			6,122,444			(6.1	)
Humana, Inc.		71,734			21,350,190			2,133,239			(2.1	)
Huntington Ingalls Industries, Inc.		62,660			13,584,061			(1,523,886	)		1.5
Hyatt Hotels Corp.		219,400			16,926,710			(508,884	)		0.5
Jabil, Inc.		528,561			14,619,997			603,935			(0.6	)
KB Home		479,988			13,074,873			(1,767,622	)		1.8
Molina Healthcare, Inc.		174,327			17,073,586			3,759,964			(3.8	)
Northrop Grumman Corp.		42,522			13,084,019			(938,485	)		0.9
NVR, Inc.		4,598			13,657,669			(311,843	)		0.3
Oshkosh Corp.		213,589			15,019,578			(3,027,224	)		3.0
Popular, Inc.		348,406			15,751,435			1,141,817			(1.1	)
Raytheon Co.		159,847			30,879,243			(3,443,549	)		3.4
Spirit AeroSystems Holdings, Inc.		189,188			16,253,141			(1,133,197	)		1.1
Waste Management, Inc.		196,589			15,990,549			(345,092	)		0.3
WellCare Health Plans, Inc.		104,284			25,678,892			5,370,053			(5.4	)
Short Positions
Common Stock
United States
Atlassian Corp. plc		(278,789	)		(17,429,888	)		(2,377,605	)		2.4
Bank of the Ozarks, Inc.		(316,305	)		(14,246,377	)		1,688,537			(1.7	)
Becton Dickinson and Co.		(73,523	)		(17,613,170	)		(1,387,916	)		1.4
CarMax, Inc.		(242,856	)		(17,696,917	)		(2,534,828	)		2.5
Cognex Corp.		(469,589	)		(20,948,365	)		4,077,771			(4.1	)
Copart, Inc.		(448,862	)		(25,387,635	)		(5,129,265	)		5.1

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

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132

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
DexCom, Inc.		(225,774	)	$	(21,444,015	)	$	(8,563,208	)		8.5	%
Discovery, Inc.		(873,759	)		(24,028,373	)		(3,946,846	)		3.9
Fastenal Co.		(314,750	)		(15,148,918	)		2,052,170			(2.0	)
Gartner, Inc.		(163,662	)		(21,750,680	)		(2,257,052	)		2.3
Guidewire Software, Inc.		(166,414	)		(14,774,235	)		(1,508,301	)		1.5
HEICO Corp.		(255,615	)		(18,642,002	)		(2,488,498	)		2.5
Henry Schein, Inc.		(407,050	)		(29,568,112	)		(1,516,661	)		1.5
Integrated Device Technology, Inc.		(405,285	)		(12,920,486	)		(1,211,862	)		1.2
Liberty Broadband Corp.		(206,198	)		(15,613,313	)		1,864,584			(1.9	)
MarketAxess Holdings, Inc.		(119,018	)		(23,548,901	)		235,853			(0.2	)
Middleby Corp. (The)		(201,990	)		(21,091,796	)		3,730,711			(3.7	)
Newell Brands, Inc.		(551,672	)		(14,227,621	)		289,814			(0.3	)
PPL Corp.		(2,090,071	)		(59,671,527	)		92,331			(0.1	)
Sabre Corp.		(526,502	)		(12,973,009	)		(1,738,971	)		1.7
Sensata Technologies Holding plc		(286,920	)		(13,651,654	)		1,520,676			(1.5	)
Six Flags Entertainment Corp.		(251,077	)		(17,587,944	)		(771,991	)		0.8
Southern Co. (The)		(393,041	)		(18,201,729	)		(1,054,723	)		1.1
TransDigm Group, Inc.		(130,161	)		(44,923,768	)		(6,933,270	)		6.9
Ultimate Software Group, Inc. (The)		(61,108	)		(15,723,699	)		(1,067,114	)		1.1
Wabtec Corp.		(216,333	)		(21,326,107	)		(5,490,532	)		5.5

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 EURIBOR plus or minus a specified spread (-14.50 to 0.65%), which is denominated in EUR based on the local currencies of the positions within the swap.

31-36 months maturity 01/14/2021

$317,587,354

$(7,145,014

)

$620,557

$(6,524,457

)

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
Finland
Kesko OYJ		72,111	$	4,404,462	$	440,394			(6.7	)%
Germany
Aurubis AG		65,400		4,992,264		(614,421	)		9.4
Covestro AG		92,060		8,182,625		(1,180,310	)		18.1
Deutsche Lufthansa AG (Registered)		309,018		7,403,339		(2,012,323	)		30.8
HOCHTIEF AG		16,651		3,002,724		452,218			(6.9	)
Rheinmetall AG		79,545		8,751,727		(1,090,923	)		16.7
RWE AG		118,007		2,681,653		(29,132	)		0.4
Salzgitter AG		106,075		4,615,111		(1,129,496	)		17.3
Schaeffler AG (Preference)		185,038		2,401,637		(444,443	)		6.8
Software AG		100,398		4,666,225		(266,428	)		4.1
Suedzucker AG		163,971		2,606,293		(221,001	)		3.4
Talanx AG		75,416		2,747,375		(333,767	)		5.1

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

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133

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Italy
A2A SpA		4,163,502		$	7,206,743		$	296,789			(4.5	) %
Autogrill SpA		245,243			3,029,135			(35,452	)		0.5
Enel SpA		822,184			4,555,871			(37,319	)		0.6
Eni SpA		235,304			4,362,860			565,578			(8.7	)
FinecoBank Banca Fineco SpA		199,201			2,242,418			99,746			(1.5	)
Mediobanca Banca di Credito Finanziario SpA		318,842			2,949,298			(575,163	)		8.8
Moncler SpA		81,903			3,716,352			1,166,391			(17.9	)
Poste Italiane SpA		912,297			7,614,608			752,124			(11.5	)
Unipol Gruppo SpA		1,263,253			4,867,465			(1,154,165	)		17.7
Netherlands
ASM International NV		70,353			3,876,642			(720,723	)		11.0
ASR Nederland NV		125,472			5,109,332			110,771			(1.7	)
NN Group NV		117,766			4,776,167			(201,715	)		3.1
Spain
ACS Actividades de Construccion y Servicios SA		57,662			2,326,428			284,074			(4.4	)
Bankinter SA		358,734			3,480,797			(206,327	)		3.2
Repsol SA		347,213			6,777,280			1,159,861			(17.8	)
Switzerland
STMicroelectronics NV		162,746			3,610,247			217,972			(3.3	)
United Kingdom
Fiat Chrysler Automobiles NV		529,540			9,989,371			(1,292,346	)		19.8
Short Positions
Common Stock
Belgium
Anheuser-Busch InBev SA/NV		(32,361	)		(3,264,092	)		(55,083	)		0.8
Finland
Orion OYJ		(86,664	)		(2,330,830	)		261,144			(4.0	)
Germany
Deutsche Bank AG (Registered)		(409,755	)		(4,383,753	)		1,251,095			(19.2	)
Deutsche Telekom AG (Registered)		(178,103	)		(2,752,477	)		(29,805	)		0.5
FUCHS PETROLUB SE (Preference)		(57,122	)		(2,810,768	)		155,923			(2.4	)
GEA Group AG		(136,213	)		(4,587,410	)		1,447,127			(22.2	)
ProSiebenSat.1 Media SE		(226,503	)		(5,731,661	)		2,318,054			(35.5	)
Symrise AG		(24,657	)		(2,156,857	)		(276,508	)		4.2
Wirecard AG		(22,640	)		(3,622,862	)		(1,133,533	)		17.4
Italy
Azimut Holding SpA		(205,870	)		(3,172,537	)		852,340			(13.1	)
Banca Generali SpA		(86,145	)		(2,138,158	)		567,585			(8.7	)
Ferrari NV		(71,399	)		(9,650,946	)		(1,143,016	)		17.5
Leonardo SpA		(660,527	)		(6,501,161	)		483,441			(7.4	)
Saipem SpA		(518,889	)		(2,379,713	)		(290,661	)		4.5
Unione di Banche Italiane SpA		(588,036	)		(2,252,356	)		357,197			(5.5	)
Luxembourg
Tenaris SA		(1,034,852	)		(18,886,069	)		(3,339,136	)		51.2
Netherlands
Koninklijke Vopak NV		(226,118	)		(10,422,213	)		(1,491,989	)		22.9
SBM Offshore NV		(264,779	)		(4,105,483	)		2,496			(0.0	)
Spain
Bankia SA		(1,733,385	)		(6,463,915	)		1,259,378			(19.3	)
Cellnex Telecom SA		(414,119	)		(10,411,560	)		(752,490	)		11.5
Industria de Diseno Textil SA		(107,730	)		(3,668,650	)		(497,246	)		7.6

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

AQR Funds Semi-Annual Report June 2018

134

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE 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 CIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap.	31-36 months maturity 01/14/2021		$48,795,624		$7,851,248		$(149,585	)		$7,701,663

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
Denmark
Carlsberg A/S		29,893		$	3,517,166		$	182,520			2.4	%
Danske Bank A/S		97,058			3,023,735			(681,526	)		(8.8	)
Dfds A/S		34,902			2,221,569			274,997			3.6
DSV A/S		18,239			1,468,271			121,126			1.6
FLSmidth & Co. A/S		3,187			190,156			(4,908	)		(0.1	)
GN Store Nord A/S		106,494			4,838,683			1,413,125			18.3
H Lundbeck A/S		125,068			8,765,578			2,509,407			32.6
Jyske Bank A/S (Registered)		31,654			1,730,205			21,711			0.3
Novo Nordisk A/S		9,415			434,884			12,113			0.2
Orsted A/S		12,730			769,161			2,887			0.0
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(3,637	)		(4,499,332	)		1,027,492			13.3
Chr Hansen Holding A/S		(11,521	)		(1,060,634	)		(151,150	)		(2.0	)
Novozymes A/S		(31,870	)		(1,611,929	)		(86,629	)		(1.1	)
Pandora A/S		(147,436	)		(10,275,910	)		3,604,966			46.8
Tryg A/S		(26,320	)		(616,372	)		(28,915	)		(0.4	)
Vestas Wind Systems A/S		(23,028	)		(1,421,664	)		129,741			1.7
William Demant Holding A/S		(58,566	)		(2,350,375	)		(495,709	)		(6.4	)

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

AQR Funds Semi-Annual Report June 2018

135

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE 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 (-1.65% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap.	31-36 months maturity 01/14/2021		$66,393,744		$2,964,958		$(63,140	)		$2,901,818

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
Switzerland
Baloise Holding AG (Registered)		12,344		$	1,790,586		$	(24,731	)		(0.9	)%
Barry Callebaut AG (Registered)		251			449,771			(3,399	)		(0.1	)
Bucher Industries AG (Registered)		611			203,810			(40,270	)		(1.4	)
DKSH Holding AG		4,563			320,795			(42,517	)		(1.5	)
Flughafen Zurich AG (Registered)		13,361			2,718,497			(300,563	)		(10.4	)
GAM Holding AG		89,392			1,229,212			(204,484	)		(7.0	)
Georg Fischer AG (Registered)		2,224			2,840,014			(27,018	)		(0.9	)
Helvetia Holding AG (Registered)		5,121			2,921,468			113,650			3.9
Partners Group Holding AG		1,625			1,187,950			72,941			2.5
Roche Holding AG		27,834			6,175,200			38,143			1.3
Sika AG (Registered)		8,588			1,186,601			95,253			3.3
Straumann Holding AG (Registered)		139			105,416			13,609			0.5
Sunrise Communications Group AG		42,737			3,472,606			(410,590	)		(14.1	)
Swiss Life Holding AG (Registered)		1,817			630,048			20,945			0.7
Temenos AG (Registered)		79,693			11,984,758			2,474,265			85.3
Short Positions
Common Stock
Austria
ams AG		(58,922	)		(4,369,663	)		1,973,760			68.0
Switzerland
ABB Ltd. (Registered)		(3,195	)		(69,695	)		5,013			0.2
Adecco Group AG (Registered)		(1,158	)		(68,338	)		938			0.0
Aryzta AG		(54,254	)		(811,528	)		396,934			13.7
Chocoladefabriken Lindt & Spruengli AG		(572	)		(3,707,489	)		(504,697	)		(17.4	)
Credit Suisse Group AG (Registered)		(402,823	)		(6,023,444	)		904,737			31.2
Geberit AG (Registered)		(397	)		(169,981	)		2,016			0.1
Idorsia Ltd.		(11,403	)		(300,879	)		(18,026	)		(0.6	)
Kuehne + Nagel International AG (Registered)		(1,437	)		(215,725	)		3,303			0.1
LafargeHolcim Ltd. (Registered)		(9,235	)		(449,027	)		35,758			1.2
Panalpina Welttransport Holding AG (Registered)		(4,615	)		(628,236	)		63,746			2.2
Swatch Group AG (The)		(1,185	)		(560,957	)		(80,155	)		(2.8	)
Swisscom AG (Registered)		(157	)		(70,074	)		(1,126	)		(0.0	)
UBS Group AG (Registered)		(87,178	)		(1,336,470	)		191,662			6.6
Vifor Pharma AG		(65,170	)		(10,395,506	)		(1,784,139	)		(61.5	)

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

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136

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE 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 STIBOR plus or minus a specified spread (-1.25% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap.	31-36 months maturity 01/14/2021		$47,091,885		$(2,631,864	)		$(105,482	)		$(2,737,346	)

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
Malta
Kindred Group plc		249,238		$	3,122,395		$	(418,693	)		15.3	%
Sweden
Boliden AB		224,476			7,244,623			154,425			(5.6	)
Electrolux AB		109,388			2,482,409			(669,566	)		24.5
Essity AB		23,306			573,364			(6,967	)		0.3
Husqvarna AB		203,433			1,924,505			(23,961	)		0.9
Sandvik AB		10,409			183,833			10,444			(0.4	)
Securitas AB		15,273			250,448			5,479			(0.2	)
SSAB AB		350,683			1,649,207			(226,350	)		8.3
Svenska Cellulosa AB SCA		199,992			2,165,060			358,780			(13.1	)
Swedish Match AB		31,087			1,536,373			350,201			(12.8	)
Swedish Orphan Biovitrum AB		9,023			196,504			13,943			(0.5	)
Tele2 AB		67,353			788,866			79,653			(2.9	)
Volvo AB		15,275			242,767			(18,745	)		0.7
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(49,271	)		(2,895,762	)		168,537			(6.2	)
Sweden
Axfood AB		(9,472	)		(181,796	)		(23,695	)		0.9
Elekta AB		(141,192	)		(1,855,777	)		(771,626	)		28.2
Getinge AB		(64,996	)		(590,036	)		102,337			(3.7	)
Hennes & Mauritz AB		(442,176	)		(6,581,812	)		54,446			(2.0	)
Hexpol AB		(83,941	)		(868,248	)		(188,721	)		6.9
NCC AB		(6,029	)		(99,970	)		9,663			(0.4	)
Nordea Bank AB		(77,706	)		(745,402	)		10,603			(0.4	)
Saab AB		(5,061	)		(209,587	)		1,458			(0.1	)
Skandinaviska Enskilda Banken AB		(29,477	)		(278,981	)		(13,213	)		0.5
Skanska AB		(37,514	)		(679,031	)		10,219			(0.4	)
Svenska Handelsbanken AB		(184,237	)		(2,040,508	)		258,736			(9.5	)
Swedbank AB		(3,505	)		(74,678	)		(2,535	)		0.1
Telefonaktiebolaget LM Ericsson		(990,361	)		(7,629,943	)		(1,856,716	)		67.8

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

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137

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE 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 (-4.75% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swap.	31-36 months maturity 01/14/2021		$885,833,485		$(17,022,924	)		$(4,834,179	)		$(21,857,103	)

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
Japan
Aozora Bank Ltd.		187,900		$	7,131,107		$	(187,854	)		0.9	%
Haseko Corp.		563,300			7,764,022			121,501			(0.6	)
Hikari Tsushin, Inc.		29,300			5,142,129			1,202,014			(5.5	)
Hitachi Ltd.		2,639,000			18,591,712			(538,901	)		2.5
Japan Airlines Co. Ltd.		222,800			7,894,043			(187,890	)		0.9
Kajima Corp.		1,416,000			10,940,950			(1,636,803	)		7.5
Kamigumi Co. Ltd.		239,600			4,973,100			(55,612	)		0.3
Kirin Holdings Co. Ltd.		328,600			8,808,087			1,313,566			(6.0	)
Konami Holdings Corp.		210,600			10,700,942			444,478			(2.0	)
Lion Corp.		354,000			6,477,582			(133,545	)		0.6
Marubeni Corp.		910,200			6,929,705			528,290			(2.4	)
Nexon Co. Ltd.		446,500			6,478,432			2,156,643		��	(9.9	)
Nippon Express Co. Ltd.		74,900			5,427,444			735,144			(3.4	)
Nippon Shinyaku Co. Ltd.		85,900			5,330,788			586,572			(2.7	)
Obayashi Corp.		849,800			8,823,832			(15,487	)		0.1
Oji Holdings Corp.		837,000			5,186,878			61,189			(0.3	)
Resona Holdings, Inc.		1,329,400			7,085,408			(255,411	)		1.2
Sega Sammy Holdings, Inc.		362,600			6,206,070			1,061,733			(4.9	)
Shimadzu Corp.		235,200			7,096,214			1,427,455			(6.5	)
Square Enix Holdings Co. Ltd.		165,000			8,090,298			1,764,099			(8.1	)
Taisei Corp.		315,400			17,368,905			2,872,093			(13.1	)
Short Positions
Common Stock
Japan
AEON Financial Service Co. Ltd.		(238,900	)		(5,091,921	)		68,775			(0.3	)
Alps Electric Co. Ltd.		(451,600	)		(11,598,157	)		(461,698	)		2.1
Asics Corp.		(434,500	)		(7,334,840	)		(577,184	)		2.6
Calbee, Inc.		(373,200	)		(14,038,887	)		(1,990,059	)		9.1
Casio Computer Co. Ltd.		(694,800	)		(11,284,260	)		(2,081,430	)		9.5
Chugoku Electric Power Co., Inc. (The)		(540,300	)		(6,979,647	)		(1,166,370	)		5.3
CyberAgent, Inc.		(112,400	)		(6,741,002	)		(2,546,396	)		11.7
DeNA Co. Ltd.		(579,200	)		(10,845,940	)		(1,241,873	)		5.7
FamilyMart UNY Holdings Co. Ltd.		(60,800	)		(6,402,509	)		(2,410,704	)		11.0
Hokuriku Electric Power Co.		(596,800	)		(5,994,258	)		(1,739,390	)		8.0
Kakaku.com, Inc.		(527,400	)		(11,875,981	)		(3,317,349	)		15.2
Kansai Paint Co. Ltd.		(436,300	)		(9,054,307	)		717,992			(3.3	)

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

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138

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Kikkoman Corp.		(147,900	)	$	(7,467,270	)	$	(1,980,435	)		9.1	%
M3, Inc.		(173,411	)		(6,896,252	)		(513,467	)		2.3
Marui Group Co. Ltd.		(368,500	)		(7,751,427	)		(1,490,388	)		6.8
MonotaRO Co. Ltd.		(119,200	)		(5,265,737	)		(1,571,272	)		7.2
Murata Manufacturing Co. Ltd.		(100,600	)		(16,888,368	)		(3,431,605	)		15.7
NGK Spark Plug Co. Ltd.		(563,600	)		(16,022,456	)		(3,070,903	)		14.0
Nidec Corp.		(55,300	)		(8,272,309	)		(145,885	)		0.7
Nippon Paint Holdings Co. Ltd.		(388,100	)		(16,690,294	)		(4,432,461	)		20.3
Ricoh Co. Ltd.		(1,178,900	)		(10,796,051	)		667,557			(3.1	)
Sawai Pharmaceutical Co. Ltd.		(126,300	)		(5,743,746	)		(69,689	)		0.3
Shimano, Inc.		(67,000	)		(9,831,892	)		(651,152	)		3.0
Sony Financial Holdings, Inc.		(545,400	)		(10,391,561	)		(902,309	)		4.1
Start Today Co. Ltd.		(150,700	)		(5,452,414	)		(535,325	)		2.4
Sumitomo Metal Mining Co. Ltd.		(216,200	)		(8,251,654	)		1,236,983			(5.7	)
Yamaha Corp.		(125,000	)		(6,487,214	)		(1,570,352	)		7.2
Yamato Holdings Co. Ltd.		(308,700	)		(9,085,860	)		(1,630,476	)		7.5
Yaskawa Electric Corp.		(217,600	)		(7,662,807	)		1,411,264			(6.5	)

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 or Federal Funds Floating Rate plus or minus a specified spread (-1.79% to 0.30%), which is denominated in USD based on the local currencies of the positions within the swap.	31-57 months maturity 01/14/2021		$750,920,966		$(5,641,537	)		$5,965,126		$323,589

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
Israel
Orbotech Ltd.		147,776	$	9,132,557	$	(161,705	)		(50.0	)%
Netherlands
NXP Semiconductors NV		386,487		42,231,435		(1,195,721	)		(369.5	)
United States
Aetna, Inc.		121,893		22,367,366		114,766			35.5
Akorn, Inc.		632,000		10,484,880		(10,517,786	)		(3250.4	)
AmTrust Financial Services, Inc.		336,051		4,896,263		486,712			150.4
Andeavor		210,580		27,623,884		(1,623,920	)		(501.8	)
Avista Corp.		491,406		25,877,440		337,924			104.4
Cavium, Inc.		413,546		35,771,729		885,919			273.8
Dr Pepper Snapple Group, Inc.		21,841		2,664,602		68,244			21.1
Education Realty Trust, Inc.		110,000		4,565,000		6,846			2.1
Envision Healthcare Corp.		280,849		12,360,164		(206,435	)		(63.8	)
Express Scripts Holding Co.		414,485		32,002,387		388,219			120.0

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

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139

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Financial Engines, Inc.		70,119		$	3,148,343		$	20,443			6.3	%
Genworth Financial, Inc.		1,230,743			5,538,344			(166,784	)		(51.5	)
Gramercy Property Trust		146,567			4,004,210			(31,187	)		(9.6	)
ILG, Inc.		380,156			12,556,553			23,073			7.1
Infinity Property & Casualty Corp.		25,368			3,611,135			464,005			143.4
KapStone Paper and Packaging Corp.		461,564			15,923,958			(22,900	)		(7.1	)
Mitel Networks Corp.		464,661			5,097,331			(42,476	)		(13.1	)
NxStage Medical, Inc.		513,871			14,337,001			(718,608	)		(222.1	)
Oclaro, Inc.		294,582			2,630,617			76,559			23.7
Pinnacle Entertainment, Inc.		163,881			5,527,706			422,077			130.4
Pinnacle Foods, Inc.		198,000			12,881,880			(13,289	)		(4.1	)
Rockwell Collins, Inc.		259,284			34,920,369			596,412			184.3
RSP Permian, Inc.		610,411			26,870,292			(239,389	)		(74.0	)
SCANA Corp.		464,219			17,881,716			(2,678,057	)		(827.6	)
Shire plc, ADR		26,356			4,448,893			159,491			49.3
Sprint Corp.		1,343,083			7,306,372			199,443			61.6
State Bank Financial Corp.		116,967			3,906,698			(82,840	)		(25.6	)
Tribune Media Co.		151,127			5,783,630			(201,882	)		(62.4	)
Twenty-First Century Fox, Inc.		249,372			12,391,295			3,386,086			1046.4
USG Corp.		217,611			9,383,386			16,646			5.1
Validus Holdings Ltd.		456,423			30,854,195			77,783			24.0
Vectren Corp.		189,169			13,516,125			245,787			76.0
VeriFone Systems, Inc.		600,800			13,710,256			24,280			7.5
WGL Holdings, Inc.		294,373			26,125,604			1,265,287			391.0
XL Group Ltd.		158,625			8,875,069			28,099			8.7
Short Positions
Common Stock
United States
Cadence Bancorp		(135,683	)		(3,917,168	)		120,966			37.4
Cigna Corp.		(100,886	)		(17,145,576	)		298,213			92.2
Conagra Brands, Inc.		(128,580	)		(4,594,163	)		(13,568	)		(4.2	)
Concho Resources, Inc.		(195,333	)		(27,024,321	)		579,377			179.0
CVS Health Corp.		(102,122	)		(6,571,551	)		898,075			277.5
Dominion Energy, Inc.		(310,563	)		(21,174,185	)		2,593,591			801.5
KLA-Tencor Corp.		(37,150	)		(3,808,989	)		341,359			105.5
Marathon Petroleum Corp.		(337,981	)		(23,712,747	)		1,875,495			579.6
Marriott Vacations Worldwide Corp.		(62,727	)		(7,085,642	)		549,142			169.7
Marvell Technology Group Ltd.		(899,752	)		(19,290,683	)		278,483			86.1
Praxair, Inc.		(137,452	)		(21,738,034	)		(3,550,259	)		(1097.2	)
T-Mobile US, Inc.		(137,764	)		(8,231,399	)		(244,468	)		(75.5	)
United Technologies Corp.		(59,220	)		(7,404,277	)		158,309			48.9

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

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140

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE 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 EURIBOR plus or minus a specified spread (-3.35% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	31-47 months maturity 01/14/2021		$89,990,386		$3,561,143		$50,854		$3,611,997

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
Germany
Linde AG		90,452		$	21,489,486		$	3,292,413			91.2	%
Italy
Luxottica Group SpA		428,921			27,616,395			1,626,066			45.0
Netherlands
Gemalto NV		223,791			13,004,899			74,772			2.1
Short Positions
Common Stock
France
Essilor International Cie Generale d’Optique SA		(197,733	)		(27,879,606	)		(1,432,108	)		(39.6	)

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

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141

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Cash		$(2,844,126	)		$—			$(2,844,126	)
BARC
Cash		—			52,078,066			52,078,066
CITG
Cash		—			(2,350,316	)		(2,350,316	)
Investment Companies		—			9,873,931			9,873,931
DTBK
Cash		1,480,000			—			1,480,000
Investment Companies		30,418,893			—			30,418,893
GSCO
Cash		—			18,978,117			18,978,117
GSIN
Investment Companies		170,331,926			—			170,331,926
JPMC
Investment Companies		572,145,869			—			572,145,869
JPMS
Cash		—			11,026,016			11,026,016
MLIN
Cash		660,000			—			660,000
MSCL
Cash		—			4,146,287			4,146,287
MSCS
Cash		32,488,993			—			32,488,993
MSIP
Cash		(600,000	)		—			(600,000	)

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Cash		$(1,110,000	)		$—			$(1,110,000	)
Investment Companies		1,093,386			—			1,093,386
GSCO
Cash		—			1,719,378			1,719,378
GSIN
Cash		1,850,275			—			1,850,275
JPPC
Cash		—			1,239,747			1,239,747
MACQ
Cash		430,000			—			430,000
MLIN
Cash		736,665			—			736,665
MSCL
Cash		—			(8,579,467	)		(8,579,467	)
U.S. Treasury Bills		—			9,634,705			9,634,705
SOCG
Cash		1,190,000			—			1,190,000

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 90.8%
INVESTMENT COMPANIES - 46.7%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (a)		2,279,982	$	2,279,982
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (a)		9,119,928		9,119,928
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (a)(b)		35,225,596		35,225,596
Limited Purpose Cash Investment Fund, 1.85% (a)		97,695,279		97,695,279
UBS Select Treasury Preferred Fund, Class I, 1.76% (a)		11,399,911		11,399,911
TOTAL INVESTMENT COMPANIES (Cost $155,696,756)				155,720,696
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 44.1%
U.S. Treasury Bills
1.59%, 7/5/2018 (c)	$	2,767,000		2,766,617
1.59%, 7/12/2018 (c)		5,839,000		5,836,281
1.61%, 7/19/2018 (c)		7,239,000		7,233,061
1.64%, 8/2/2018 (c)		6,565,000		6,554,770
1.66%, 8/9/2018 (c)		27,452,000		27,399,189
1.84%, 8/23/2018 (c)		12,006,000		11,974,372
1.85%, 8/30/2018 (c)		2,972,000		2,962,940
1.85%, 9/6/2018 (c)		602,000		599,928
1.87%, 9/13/2018 (c)		2,200,000		2,191,613
1.96%, 10/18/2018 (c)		1,093,000		1,086,647
2.01%, 10/25/2018 (c)		9,646,000		9,586,222

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 44.1% (continued)
2.01%, 11/1/2018 (c)	$	11,711,000	$	11,632,816
2.02%, 11/8/2018 (c)		1,200,000		1,191,454
2.06%, 11/15/2018 (c)		26,511,000		26,310,444
2.10%, 11/23/2018 (c)		1,031,000		1,022,721
2.05%, 11/29/2018 (c)		17,497,000		17,349,187
2.09%, 12/6/2018 (c)		3,680,000		3,647,421
2.08%, 12/13/2018 (c)		6,911,000		6,846,971
2.10%, 12/27/2018 (c)		1,131,000		1,119,480
TOTAL U.S. TREASURY OBLIGATIONS (Cost $147,303,930)				147,312,134
TOTAL SHORT-TERM INVESTMENTS (Cost $303,000,686)				303,032,830
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 90.8% (Cost $303,000,686)				303,032,830
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.2% (d)			30,812,638
NET ASSETS - 100.0%			$	333,845,468

(a) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

Total return swap contracts outstanding as of June 30, 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)
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		08/24/2018	USD	(4,367,925	)		$198,853
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/24/2018	USD	(754,950	)		714
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/24/2018	USD	(6,542,900	)		45,959
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		08/24/2018	USD	(215,700	)		3,703
Cotton No. 2 December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		11/09/2018	USD	4,699,520			205,755
Cotton No. 2 December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		11/09/2018	USD	41,960			1,937

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

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143

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

07/16/2018

USD

1,723,800

$ 138,643

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/03/2018

USD

2,390,640

37,487

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/03/2018

USD

4,909,350

81,753

Live Cattle October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/31/2018

USD

484,110

6,021

Live Cattle October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/31/2018

USD

968,220

8,110

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/23/2018

USD

(857,740

)

35,530

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(1,748,470

)

9,535

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/23/2018

USD

(1,418,570

)

175,861

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/24/2018

USD

(200,500

)

9,869

959,730

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/10/2018

USD

1,683,337

(100,041

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/10/2018

USD

129,488

(8,197

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/10/2018

USD

1,165,388

(69,443

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/24/2018

USD

754,950

(104,464

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/24/2018

USD

4,367,925

(601,276

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

6,039,600

(837,671

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/24/2018

USD

215,700

(30,071

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

07/16/2018

USD

(1,723,800

)

(112,105

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/14/2018

USD

1,009,140

(3,232

)

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

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144

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/14/2018

USD

(489,280

)

$ (2

)

Lean Hogs October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/12/2018

USD

119,550

(341

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(469,590

)

(5,953

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/03/2018

USD

(981,870

)

(9,323

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/26/2018

USD

880,000

(142,850

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/26/2018

USD

2,244,000

(364,813

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/26/2018

USD

8,140,000

(1,305,975

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/26/2018

USD

308,000

(49,164

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/23/2018

USD

1,616,510

(225,737

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/23/2018

USD

1,418,570

(198,267

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/23/2018

USD

1,748,470

(244,522

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/23/2018

USD

2,855,040

(183,031

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/23/2018

USD

910,044

(62,810

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/23/2018

USD

3,550,956

(235,267

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/23/2018

USD

463,944

(30,438

)

(4,924,993

)

$(3,965,263

)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION		NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
LME Aluminum Base Metal			18		7/2018	USD		$965,250		$(59,903	)
LME Aluminum Base Metal			29		7/2018	USD		1,553,052		(49,284	)
LME Aluminum Base Metal			41		7/2018	USD		2,208,875		167,592
LME Aluminum Base Metal			154		7/2018	USD		8,298,675		(1,608,899	)
LME Copper Base Metal			11		7/2018	USD		1,822,378		(49,819	)
LME Copper Base Metal			18		7/2018	USD		2,983,500		(173,502	)
LME Copper Base Metal			56		7/2018	USD		9,282,336		(443,709	)
LME Lead Base Metal			5		7/2018	USD		300,765		3,588
LME Lead Base Metal			9		7/2018	USD		542,576		22,016
LME Lead Base Metal			10		7/2018	USD		602,925		20,396
LME Lead Base Metal			10		7/2018	USD		602,887		17,226
LME Nickel Base Metal			2		7/2018	USD		178,103		6,527
LME Nickel Base Metal			10		7/2018	USD		889,866		68,907
LME Nickel Base Metal			15		7/2018	USD		1,334,232		136,438
LME Nickel Base Metal	��		17		7/2018	USD		1,513,330		(132,991	)
LME Nickel Base Metal			28		7/2018	USD		2,493,804		136,146
LME Zinc Base Metal			2		7/2018	USD		144,875		(11,393	)
LME Zinc Base Metal			10		7/2018	USD		726,250		(80,917	)
LME Zinc Base Metal			12		7/2018	USD		867,027		(118,508	)
LME Zinc Base Metal			14		7/2018	USD		1,010,047		(126,880	)
LME Zinc Base Metal			17		7/2018	USD		1,225,288		(98,437	)
100 oz Gold			587		8/2018	USD		73,639,150		(3,190,241	)
Brent Crude Oil			548		8/2018	USD		43,215,280		1,700,457
Lean Hogs			122		8/2018	USD		3,730,760		27,581
Live Cattle			441		8/2018	USD		18,826,290		395,400
LME Aluminum Base Metal			2		8/2018	USD		106,387		(7,285	)
LME Aluminum Base Metal			4		8/2018	USD		213,411		(20,601	)
LME Aluminum Base Metal			17		8/2018	USD		904,749		(65,067	)
LME Aluminum Base Metal			47		8/2018	USD		2,499,730		(177,095	)
LME Aluminum Base Metal			108		8/2018	USD		5,741,550		(536,456	)
LME Copper Base Metal			24		8/2018	USD		3,974,952		(174,719	)
LME Copper Base Metal			31		8/2018	USD		5,139,165		(193,821	)
LME Copper Base Metal			47		8/2018	USD		7,786,138		(209,876	)
LME Lead Base Metal			1		8/2018	USD		60,256		1,953
LME Lead Base Metal			2		8/2018	USD		120,492		(913	)
LME Lead Base Metal			5		8/2018	USD		301,394		17,077
LME Lead Base Metal			8		8/2018	USD		482,030		14,481
LME Lead Base Metal			8		8/2018	USD		481,950		(17,870	)
LME Nickel Base Metal			1		8/2018	USD		89,202		2,319
LME Nickel Base Metal			3		8/2018	USD		267,593		6,854
LME Nickel Base Metal			4		8/2018	USD		356,904		4,542
LME Nickel Base Metal			9		8/2018	USD		802,043		44,220
LME Nickel Base Metal			10		8/2018	USD		892,684		(20,879	)
LME Nickel Base Metal			18		8/2018	USD		1,606,238		21,898
LME Zinc Base Metal			10		8/2018	USD		715,250		(50,904	)
LME Zinc Base Metal			14		8/2018	USD		1,001,256		(58,236	)
LME Zinc Base Metal			14		8/2018	USD		1,001,770		(71,284	)
LME Zinc Base Metal			59		8/2018	USD		4,239,976		(296,561	)
Natural Gas			228		8/2018	USD		6,614,280		(29,707	)
NY Harbor ULSD			97		8/2018	USD		9,028,799		179,572
WTI Crude Oil			717		8/2018	USD		51,953,820		4,614,994

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

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146

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
Cocoa		332			9/2018	USD		$ 8,339,840			$ (438,596	)
Coffee ‘C’		335			9/2018	USD		14,459,438			(790,801	)
Corn		1,072			9/2018	USD		19,269,200			(2,142,999	)
LME Aluminum Base Metal		13			9/2018	USD		692,494			(15,313	)
LME Aluminum Base Metal		18			9/2018	USD		958,455			(92,123	)
LME Aluminum Base Metal		58			9/2018	USD		3,089,994			(55,810	)
LME Aluminum Base Metal		79			9/2018	USD		4,205,940			(386,193	)
LME Aluminum Base Metal		838			9/2018	USD		44,660,162			(3,213,165	)
LME Copper Base Metal		5			9/2018	USD		828,188			(23,577	)
LME Copper Base Metal		12			9/2018	USD		1,987,500			(52,010	)
LME Copper Base Metal		21			9/2018	USD		3,478,781			(330,156	)
LME Copper Base Metal		33			9/2018	USD		5,466,516			(329,262	)
LME Copper Base Metal		34			9/2018	USD		5,632,100			(30,700	)
LME Copper Base Metal		431			9/2018	USD		71,416,700			(3,072,701	)
LME Lead Base Metal		2			9/2018	USD		120,512			(2,885	)
LME Lead Base Metal		5			9/2018	USD		301,187			1,985
LME Lead Base Metal		7			9/2018	USD		421,750			(367	)
LME Lead Base Metal		14			9/2018	USD		843,430			(36,791	)
LME Lead Base Metal		17			9/2018	USD		1,024,207			(55,335	)
LME Lead Base Metal		117			9/2018	USD		7,050,713			552
LME Nickel Base Metal		1			9/2018	USD		89,340			(2,228	)
LME Nickel Base Metal		2			9/2018	USD		178,800			(606	)
LME Nickel Base Metal		4			9/2018	USD		357,211			(20,991	)
LME Nickel Base Metal		7			9/2018	USD		625,620			(6,440	)
LME Nickel Base Metal		23			9/2018	USD		2,053,716			(94,862	)
LME Nickel Base Metal		286			9/2018	USD		25,558,962			1,614,096
LME Zinc Base Metal		4			9/2018	USD		285,567			(12,007	)
LME Zinc Base Metal		9			9/2018	USD		643,484			(68,489	)
LME Zinc Base Metal		38			9/2018	USD		2,711,300			3,707
LME Zinc Base Metal		46			9/2018	USD		3,284,400			(183,561	)
LME Zinc Base Metal		185			9/2018	USD		13,213,625			(1,593,331	)
Low Sulphur Gasoil		386			9/2018	USD		26,199,750			483,322
Silver		609			9/2018	USD		49,322,910			(1,269,716	)
Sugar No. 11		1,312			9/2018	USD		18,000,640			493,793
Wheat		132			9/2018	USD		3,308,250			(140,622	)
Lean Hogs		31			10/2018	USD		741,210			(2,296	)
Live Cattle		110			10/2018	USD		4,841,100			49,752
Soybean		869			11/2018	USD		38,236,000			(5,631,570	)
100 oz Gold		147			12/2018	USD		18,614,610			12,625
Soybean Meal		510			12/2018	USD		16,824,900			(1,809,566	)
Soybean Oil		627			12/2018	USD		11,188,188			(676,369	)
											(20,387,179	)
Short Contracts
LME Aluminum Base Metal		(18	)		7/2018	USD		(965,250	)		40,339
LME Aluminum Base Metal		(29	)		7/2018	USD		(1,553,052	)		64,672
LME Aluminum Base Metal		(41	)		7/2018	USD		(2,208,875	)		(166,171	)
LME Aluminum Base Metal		(154	)		7/2018	USD		(8,298,675	)		1,922,621
LME Copper Base Metal		(11	)		7/2018	USD		(1,822,378	)		47,039
LME Copper Base Metal		(18	)		7/2018	USD		(2,983,500	)		161,947
LME Copper Base Metal		(56	)		7/2018	USD		(9,282,336	)		412,499
LME Lead Base Metal		(5	)		7/2018	USD		(300,765	)		(3,277	)
LME Lead Base Metal		(9	)		7/2018	USD		(542,576	)		(23,528	)
LME Lead Base Metal		(10	)		7/2018	USD		(602,887	)		(16,917	)

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

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147

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Lead Base Metal		(10	)		7/2018	USD		$ (602,925	)		$ (16,275	)
LME Nickel Base Metal		(2	)		7/2018	USD		(178,103	)		(6,329	)
LME Nickel Base Metal		(10	)		7/2018	USD		(889,866	)		(64,291	)
LME Nickel Base Metal		(15	)		7/2018	USD		(1,334,232	)		(131,876	)
LME Nickel Base Metal		(17	)		7/2018	USD		(1,513,330	)		71,119
LME Nickel Base Metal		(28	)		7/2018	USD		(2,493,804	)		(141,886	)
LME Zinc Base Metal		(2	)		7/2018	USD		(144,875	)		11,969
LME Zinc Base Metal		(10	)		7/2018	USD		(726,250	)		81,721
LME Zinc Base Metal		(12	)		7/2018	USD		(867,027	)		105,210
LME Zinc Base Metal		(14	)		7/2018	USD		(1,010,048	)		129,511
LME Zinc Base Metal		(17	)		7/2018	USD		(1,225,288	)		96,625
LME Aluminum Base Metal		(2	)		8/2018	USD		(106,387	)		7,432
LME Aluminum Base Metal		(4	)		8/2018	USD		(213,411	)		20,029
LME Aluminum Base Metal		(17	)		8/2018	USD		(904,749	)		63,026
LME Aluminum Base Metal		(47	)		8/2018	USD		(2,499,730	)		185,594
LME Aluminum Base Metal		(108	)		8/2018	USD		(5,741,550	)		525,641
LME Copper Base Metal		(24	)		8/2018	USD		(3,974,952	)		190,177
LME Copper Base Metal		(31	)		8/2018	USD		(5,139,165	)		207,469
LME Copper Base Metal		(47	)		8/2018	USD		(7,786,138	)		219,410
LME Lead Base Metal		(1	)		8/2018	USD		(60,256	)		(1,556	)
LME Lead Base Metal		(2	)		8/2018	USD		(120,492	)		1,228
LME Lead Base Metal		(5	)		8/2018	USD		(301,394	)		(17,034	)
LME Lead Base Metal		(8	)		8/2018	USD		(481,950	)		17,901
LME Lead Base Metal		(8	)		8/2018	USD		(482,030	)		(15,854	)
LME Nickel Base Metal		(1	)		8/2018	USD		(89,202	)		(2,145	)
LME Nickel Base Metal		(3	)		8/2018	USD		(267,593	)		(6,774	)
LME Nickel Base Metal		(4	)		8/2018	USD		(356,904	)		(2,904	)
LME Nickel Base Metal		(9	)		8/2018	USD		(802,043	)		(39,589	)
LME Nickel Base Metal		(10	)		8/2018	USD		(892,684	)		19,286
LME Nickel Base Metal		(18	)		8/2018	USD		(1,606,238	)		(22,471	)
LME Zinc Base Metal		(10	)		8/2018	USD		(715,250	)		52,471
LME Zinc Base Metal		(14	)		8/2018	USD		(1,001,256	)		56,668
LME Zinc Base Metal		(14	)		8/2018	USD		(1,001,770	)		74,121
LME Zinc Base Metal		(59	)		8/2018	USD		(4,239,976	)		255,892
RBOB Gasoline		(226	)		8/2018	USD		(20,237,893	)		(594,536	)
LME Aluminum Base Metal		(13	)		9/2018	USD		(692,494	)		14,547
LME Aluminum Base Metal		(18	)		9/2018	USD		(958,455	)		86,475
LME Aluminum Base Metal		(58	)		9/2018	USD		(3,089,994	)		56,364
LME Aluminum Base Metal		(78	)		9/2018	USD		(4,156,912	)		225,862
LME Aluminum Base Metal		(79	)		9/2018	USD		(4,205,940	)		402,477
LME Copper Base Metal		(5	)		9/2018	USD		(828,188	)		23,153
LME Copper Base Metal		(12	)		9/2018	USD		(1,987,500	)		50,440
LME Copper Base Metal		(21	)		9/2018	USD		(3,478,781	)		354,544
LME Copper Base Metal		(33	)		9/2018	USD		(5,466,516	)		320,388
LME Copper Base Metal		(34	)		9/2018	USD		(5,632,100	)		8,227
LME Copper Base Metal		(107	)		9/2018	USD		(17,729,900	)		611,953
LME Lead Base Metal		(2	)		9/2018	USD		(120,512	)		3,207
LME Lead Base Metal		(5	)		9/2018	USD		(301,188	)		(390	)
LME Lead Base Metal		(7	)		9/2018	USD		(421,750	)		497
LME Lead Base Metal		(14	)		9/2018	USD		(843,430	)		40,629
LME Lead Base Metal		(17	)		9/2018	USD		(1,024,207	)		59,067
LME Lead Base Metal		(26	)		9/2018	USD		(1,566,825	)		(4,069	)
LME Nickel Base Metal		(1	)		9/2018	USD		(89,340	)		2,667
LME Nickel Base Metal		(2	)		9/2018	USD		(178,800	)		(853	)
LME Nickel Base Metal		(4	)		9/2018	USD		(357,211	)		21,857

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

AQR Funds Semi-Annual Report June 2018

148

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Nickel Base Metal		(7	)		9/2018	USD		$ (625,620	)		$ 7,677
LME Nickel Base Metal		(23	)		9/2018	USD		(2,055,441	)		125,331
LME Nickel Base Metal		(23	)		9/2018	USD		(2,053,716	)		82,456
LME Zinc Base Metal		(4	)		9/2018	USD		(285,567	)		9,696
LME Zinc Base Metal		(9	)		9/2018	USD		(643,484	)		69,064
LME Zinc Base Metal		(38	)		9/2018	USD		(2,711,300	)		31,699
LME Zinc Base Metal		(46	)		9/2018	USD		(3,284,400	)		172,142
LME Zinc Base Metal		(183	)		9/2018	USD		(13,070,775	)		763,464
Cotton No. 2		(15	)		12/2018	USD		(629,400	)		85
											7,306,860
											$(13,080,319	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$3,420,592		$—		$3,420,592
GSCO
Cash		—		2,128,264		2,128,264
GSIN
Cash		640,090		—		640,090
JPPC
Cash		—		13,929,904		13,929,904
MACQ
Cash		1,860,000		—		1,860,000
MSCL
Cash		—		28,116,149		28,116,149
SOCG
Cash		1,210,225		—		1,210,225

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

AQR Funds Semi-Annual Report June 2018

149

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 15.5%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (a)(b)	EUR	8,634,114	$	10,920,274
0.10%, 4/15/2026 (a)(b)	EUR	9,544,724		12,426,195
France Government Bond OAT
1.10%, 7/25/2022 (a)(b)	EUR	4,880,067		6,380,182
0.25%, 7/25/2024 (a)(b)	EUR	3,440,550		4,440,692
0.10%, 3/1/2025	EUR	2,671,500		3,400,445
1.85%, 7/25/2027 (a)(b)	EUR	2,311,029		3,442,290
0.10%, 3/1/2028 (a)(b)	EUR	923,211		1,182,661
0.70%, 7/25/2030 (a)(b)	EUR	722,624		997,838
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024 (a)(b)	GBP	115,392		170,670
0.13%, 3/22/2024	GBP	7,615,872		11,264,208
0.13%, 3/22/2026	GBP	5,524,422		8,427,012
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $61,825,906)				63,052,467
U.S. TREASURY OBLIGATIONS - 25.9%
U.S. Treasury Inflation Linked Notes
0.13%, 4/15/2020	$	19,180,000		20,301,491
0.13%, 4/15/2021 (c)		28,400,000		29,554,870
0.13%, 4/15/2022		16,750,000		16,901,129
0.38%, 7/15/2025		6,180,000		6,413,173
0.63%, 1/15/2026		11,530,000		12,091,552
0.13%, 7/15/2026		12,980,000		12,997,586
0.38%, 7/15/2027		6,680,000		6,656,170
TOTAL U.S. TREASURY OBLIGATIONS (Cost $106,177,895)				104,915,971
	SHARES
SHORT-TERM INVESTMENTS - 51.7%
INVESTMENT COMPANIES - 37.3%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (d)		6,394,562		6,394,562
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (d)		25,578,249		25,578,249
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (d)(e)		32,320,587		32,320,587
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (d)(e)		2,086,310		2,086,310
Limited Purpose Cash Investment Fund, 1.85% (d)		53,010,533		53,010,533
UBS Select Treasury Preferred Fund, Class I, 1.76% (d)		31,973,657		31,973,657
TOTAL INVESTMENT COMPANIES (Cost $151,350,867)				151,363,898

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 14.4%
U.S. Treasury Bills 1.59%, 7/5/2018 (f)	$	1,288,000	$	1,287,822
1.61%, 7/19/2018 (f)		3,544,000		3,541,092
1.63%, 7/26/2018 (f)		3,964,000		3,959,435
1.66%, 8/9/2018 (f)		23,499,000		23,453,794
1.85%, 8/30/2018 (f)		20,528,000		20,465,424
2.06%, 11/15/2018 (f)		1,901,000		1,886,619
2.05%, 11/29/2018 (f)		1,093,000		1,083,766
2.10%, 12/20/2018 (f)		2,920,000		2,891,861
TOTAL U.S. TREASURY OBLIGATIONS (Cost $58,571,905)				58,569,813
TOTAL SHORT-TERM INVESTMENTS (Cost $209,922,772)				209,933,711
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 93.1% (Cost $377,926,573)				377,902,149
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.9% (g)				27,810,925
NET ASSETS - 100.0%			$	405,713,074

(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2018, the value of these securities amounted to $39,960,802 or 9.85% of net assets.

(b) Inflation protected security.

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

(d) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

AQR Funds Semi-Annual Report June 2018

150

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

Credit default swap contracts outstanding — sell protection as of June 30, 2018:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE RECEIVED		PAYMENT FREQUENCY	MATURITY DATE	CREDIT SPREAD			NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
iTraxx Europe Crossover Series 29.V1		5.00%	Quarterly	6/20/2023		3.19%	EUR		55,475,000		$6,446,940			$(1,168,826	)		$5,278,114
iTraxx Europe Series 29.V1		1.00%	Quarterly	6/20/2023		0.73%	EUR		88,500,000		2,149,106			(772,792	)		1,376,314
Markit CDX North America High Yield Index Series 30.V1		5.00%	Quarterly	6/20/2023		3.59%	USD		70,800,000		4,154,245			74,052			4,228,297
Markit CDX North America Investment Grade Index Series 30.V1		1.00%	Quarterly	6/20/2023		0.67%	USD		101,875,000		1,737,196			(175,915	)		1,561,281
											14,487,487			(2,043,481	)		12,444,006
Markit CDX Emerging Market Index Series 29.V1		1.00%	Quarterly	6/20/2023		1.90%	USD		14,750,000		$(287,161	)		$(294,244	)		$(581,405	)
											(287,161	)		(294,244	)		(581,405	)
											$14,200,326			$(2,337,725	)		$11,862,601

Forward Effective Interest rate swap contracts outstanding as of June 30, 2018:

Exchange Cleared

PAY/RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	MATURITY DATE			NOTIONAL AMOUNT		UPFRONT PREMIUM PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Pay	6 Month Prague Interbank Offered Rate Semi-Annually	2.00% Annually		9/20/2023	CZK		110,300,000		$44,080			$(31,873	)		$12,207
Pay	6 Month Singapore Interbank Offered Rate Semi-Annually	2.50% Semi-Annually		9/20/2023	SGD		1,600,000		3,706			3,110			6,816
Pay	6 Month Warsaw Interbank Offered Rate Semi-Annually	3.00% Annually		9/20/2023	PLN		68,600,000		271,165			147,513			418,678
									318,951			118,750			437,701
Pay	1 Month Mexico Equilibrium Interbank Interest Rate Monthly	7.50% Monthly		9/13/2023	MXN		395,500,000		(108,813	)		(189,130	)		(297,943	)
Pay	3 Month Hong Kong Interbank Offered Rate Quarterly	2.50% Quarterly		9/20/2023	HKD		91,900,000		(77,812	)		(63,681	)		(141,493	)
Pay	3 Month Johannesburg Interbank Agreed Rate Quarterly	7.50% Quarterly		9/20/2023	ZAR		150,100,000		84,125			(243,734	)		(159,609	)

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

AQR Funds Semi-Annual Report June 2018

151

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

PAY/RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	MATURITY DATE			NOTIONAL AMOUNT		UPFRONT PREMIUM PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Pay	6 Month Budapest Interbank Offered Rate Semi-Annually	1.50% Annually		9/20/2023	HUF		2,201,000,000		$ 24,035			$ (296,221	)		$ (272,186	)
Pay	6 Month Singapore Interbank Offered Rate Semi-Annually	2.00% Semi-Annually		9/20/2023	SGD		25,900,000		(269,117	)		(73,172	)		(342,289	)
Pay	6 Month Warsaw Interbank Offered Rate Semi-Annually	2.50% Annually		9/20/2023	PLN		10,500,000		(8,823	)		6,951			(1,872	)
Receive	1 Month Mexico Equilibrium Interbank Interest Rate Monthly	8.00% Monthly		9/13/2023	MXN		120,500,000		81,800			(116,743	)		(34,943	)
									(274,605	)		(975,730	)		(1,250,335	)
									$44,346			$(856,980	)		$(812,634	)

Forward Effective Interest rate swap contracts outstanding as of June 30, 2018:

Over the Counter

PAY/ RECEIVE FLOATING RATE

FLOATING RATE INDEX (a)

FIXED RATE

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

UPFRONT PREMIUM PAID (RECEIVED)

UNREALIZED APPRECIATION (DEPRECIATION)

VALUE

Pay

3 Month Korean Certificate of Deposit Quarterly

2.14% Quarterly

CITI

3/15/2023

KRW

42,600,000

**

$—

$60

$60

Pay

3 Month Korean Certificate of Deposit Quarterly

2.17% Quarterly

CITI

3/15/2023

KRW

16,000,000

**

—

45

45

Pay

3 Month Korean Certificate of Deposit Quarterly

2.17% Quarterly

CITI

3/15/2023

KRW

341,700,000

**

—

927

927

Pay

3 Month Korean Certificate of Deposit Quarterly

2.20% Quarterly

CITI

3/15/2023

KRW

598,600,000

**

—

2,350

2,350

Pay

3 Month Korean Certificate of Deposit Quarterly

2.24% Quarterly

CITI

3/15/2023

KRW

1,547,800,000

**

—

8,266

8,266

Pay

3 Month Korean Certificate of Deposit Quarterly

2.24% Quarterly

CITI

3/15/2023

KRW

1,547,900,000

**

—

8,267

8,267

Pay

3 Month Korean Certificate of Deposit Quarterly

2.30% Quarterly

CITI

3/15/2023

KRW

1,097,000,000

**

—

8,518

8,518

Pay

3 Month Korean Certificate of Deposit Quarterly

2.30% Quarterly

CITI

3/15/2023

KRW

1,097,000,000

**

—

8,518

8,518

Pay

3 Month Korean Certificate of Deposit Quarterly

2.31% Quarterly

CITI

3/15/2023

KRW

1,757,600,000

**

—

14,890

14,890

Pay

3 Month Korean Certificate of Deposit Quarterly

2.25% Quarterly

CITI

9/20/2023

KRW

1,189,600,000

**

—

5,485

5,485

Pay

3 Month Korean Certificate of Deposit Quarterly

2.28% Quarterly

CITI

9/20/2023

KRW

1,065,300,000

**

—

6,266

6,266

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

AQR Funds Semi-Annual Report June 2018

152

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

PAY/ RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	COUNTERPARTY	MATURITY DATE			NOTIONAL AMOUNT			UPFRONT PREMIUM PAID (RECEIVED)		UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Pay	3 Month Korean Certificate of Deposit Quarterly	2.32% Quarterly	CITI		9/20/2023	KRW		419,100,000	**		$ —		$ 3,220			$ 3,220
Pay	3 Month Korean Certificate of Deposit Quarterly	2.33% Quarterly	CITI		9/20/2023	KRW		8,681,600,000	**		—		67,616			67,616
Pay	3 Month Korean Certificate of Deposit Quarterly	2.34% Quarterly	CITI		9/20/2023	KRW		2,209,900,000	**		—		18,733			18,733
Pay	3 Month Korean Certificate of Deposit Quarterly	2.35% Quarterly	CITI		9/20/2023	KRW		646,600,000	**		—		5,653			5,653
Pay	3 Month Korean Certificate of Deposit Quarterly	2.35% Quarterly	CITI		9/20/2023	KRW		8,681,700,000	**		—		75,894			75,894
Pay	3 Month Korean Certificate of Deposit Quarterly	2.37% Quarterly	CITI		9/20/2023	KRW		11,575,600,000	**		—		112,229			112,229
Pay	3 Month Korean Certificate of Deposit Quarterly	2.38% Quarterly	CITI		9/20/2023	KRW		17,363,300,000	**		—		175,699			175,699
Receive	3 Month Korean Certificate of Deposit Quarterly	2.02% Quarterly	CITI		3/15/2023	KRW		82,300,000	**		—		267			267
											—		522,903			522,903
Pay	3 Month Korean Certificate of Deposit Quarterly	1.82% Quarterly	CITI		3/15/2023	KRW		282,400,000	**		—		(3,199	)		(3,199	)
Pay	3 Month Korean Certificate of Deposit Quarterly	1.85% Quarterly	CITI		3/15/2023	KRW		14,716,500,000	**		—		(152,991	)		(152,991	)
Pay	3 Month Korean Certificate of Deposit Quarterly	1.85% Quarterly	CITI		3/15/2023	KRW		14,716,600,000	**		—		(150,317	)		(150,317	)
Pay	3 Month Korean Certificate of Deposit Quarterly	1.87% Quarterly	CITI		3/15/2023	KRW		14,496,900,000	**		—		(136,359	)		(136,359	)
Pay	3 Month Korean Certificate of Deposit Quarterly	2.01% Quarterly	CITI		3/15/2023	KRW		663,600,000	**		—		(2,568	)		(2,568	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.17% Quarterly	CITI		3/15/2023	KRW		1,859,800,000	**		—		(5,274	)		(5,274	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.23% Quarterly	CITI		3/15/2023	KRW		679,000,000	**		—		(3,558	)		(3,558	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.24% Quarterly	CITI		3/15/2023	KRW		1,503,900,000	**		—		(8,517	)		(8,517	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.26% Quarterly	CITI		3/15/2023	KRW		8,615,700,000	**		—		(54,715	)		(54,715	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.27% Quarterly	CITI		3/15/2023	KRW		2,193,900,000	**		—		(14,819	)		(14,819	)

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

AQR Funds Semi-Annual Report June 2018

153

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

PAY/ RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	COUNTERPARTY	MATURITY DATE			NOTIONAL AMOUNT			UPFRONT PREMIUM PAID (RECEIVED)		UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Receive	3 Month Korean Certificate of Deposit Quarterly	2.28% Quarterly	CITI		3/15/2023	KRW		8,615,700,000	**		$ —		$ (61,677	)		$ (61,677	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.30% Quarterly	CITI		3/15/2023	KRW		11,487,600,000	**		—		(91,519	)		(91,519	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.31% Quarterly	CITI		3/15/2023	KRW		17,231,300,000	**		—		(144,239	)		(144,239	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.34% Quarterly	CITI		3/15/2023	KRW		652,900,000	**		—		(6,323	)		(6,323	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.26% Quarterly	CITI		9/20/2023	KRW		4,195,000,000	**		—		(21,118	)		(21,118	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.27% Quarterly	CITI		9/20/2023	KRW		1,831,400,000	**		—		(9,802	)		(9,802	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.31% Quarterly	CITI		9/20/2023	KRW		733,600,000	**		—		(5,154	)		(5,154	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.32% Quarterly	CITI		9/20/2023	KRW		873,700,000	**		—		(6,527	)		(6,527	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.36% Quarterly	CITI		9/20/2023	KRW		6,537,600,000	**		—		(60,614	)		(60,614	)
Receive	3 Month Korean Certificate of Deposit Quarterly	2.41% Quarterly	CITI		9/20/2023	KRW		765,100,000	**		—		(8,715	)		(8,715	)
											—		(948,005	)		(948,005	)
											$—		$(425,102	)		$(425,102	)

** Non-deliverable currency.

(a) Floating rate indices at June 30, 2018 were as follows:

1 Month Mexico Equilibrium Interbank Interest Rate: 8.1%

3 Month Hong Kong Interbank Offered Rate: 2.10%

3 Month Johannesburg Interbank Agreed Rate: 6.96%

3 Month Korean Certificate of Deposit: 1.65%

6 Month Budapest Interbank Offered Rate: 0.36%

6 Month Prague Interbank Offered Rate: 1.24%

6 Month Singapore Interbank Offered Rate: 1.66%

6 Month Warsaw Interbank Offered Rate: 1.68%

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

AQR Funds Semi-Annual Report June 2018

154

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

Total return swap contracts outstanding as of June 30, 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)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/24/2018

USD

(269,625

)

$1,398

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/24/2018

USD

(251,650

)

4,914

Corn September Futures

Increases in total return of reference entity

Decreases in total returnof reference entity

At termination

MACQ

08/24/2018

USD

(305,575

)

5,806

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/24/2018

USD

(287,600

)

4,979

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/09/2018

USD

881,160

38,690

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/09/2018

USD

83,920

3,815

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/09/2018

USD

83,920

3,396

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/09/2018

USD

83,920

3,765

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

1,436,300

611

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

JPMC

07/30/2018

HKD

7,181,500

3,365

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

15,799,300

3,343

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

07/30/2018

HKD

7,181,500

2,480

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

07/16/2018

USD

530,400

42,617

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/16/2018

USD

1,160,250

94,005

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

07/16/2018

USD

629,850

50,779

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/14/2018

USD

(183,480

)

—

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

AQR Funds Semi-Annual Report June 2018

155

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/03/2018

USD

597,660

$ 9,362

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/03/2018

USD

(341,520

)

—

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/03/2018

USD

1,835,670

31,075

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/03/2018

USD

1,451,460

23,909

Live Cattle October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/31/2018

USD

88,020

1,095

Live Cattle October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/31/2018

USD

264,060

2,212

MSCI Taiwan Index July Futures

Decreases in total returnof reference entity

Increases in total return of reference entity

At termination

JPMC

07/30/2018

USD

155,040

1,441

MSCI Taiwan Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

USD

775,200

4,334

MSCI Taiwan Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

07/30/2018

USD

969,000

5,549

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

10/26/2018

USD

(132,000

)

1,875

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

11/23/2018

USD

(296,910

)

2,203

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/23/2018

USD

(65,980

)

7,760

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(461,860

)

9,701

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

11/23/2018

USD

(65,980

)

8,500

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/23/2018

USD

(303,348

)

721

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/24/2018

USD

(701,750

)

49,932

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/24/2018

USD

(325,812

)

28,988

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

25,063

611

453,231

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

AQR Funds Semi-Annual Report June 2018

156

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/10/2018

USD

302,138

$ (17,869

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/10/2018

USD

172,650

(9,611

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/10/2018

USD

517,950

(30,984

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

1,348,125

(186,604

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/24/2018

USD

287,600

(40,096

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/24/2018

USD

251,650

(34,606

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/24/2018

USD

557,225

(76,237

)

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

JPMC

07/30/2018

HKD

11,412,450

(1,354

)

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

07/30/2018

HKD

13,042,800

(11,324

)

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

30,433,200

(45,299

)

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

08/15/2018

BRL

4,023,910

(9,730

)

KC HRW Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/24/2018

USD

97,700

(12,774

)

KC HRW Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/24/2018

USD

24,425

(3,068

)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

09/13/2018

KRW

3,675,000,000

(193,417

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/16/2018

USD

(1,160,250

)

(62,290

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

07/16/2018

USD

(530,400

)

(30,898

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

07/16/2018

USD

(629,850

)

(44,740

)

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/14/2018

USD

(183,480

)

(2,754

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/14/2018

USD

1,070,300

(9,590

)

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

AQR Funds Semi-Annual Report June 2018

157

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/14/2018

USD

458,700

$ (2,109

)

Lean Hogs October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

10/12/2018

USD

143,460

(1,830

)

Lean Hogs October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/12/2018

USD

47,820

(241

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(85,380

)

(1,082

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/03/2018

USD

(256,140

)

(2,112

)

Live Cattle October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

10/31/2018

USD

352,080

(40

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/26/2018

USD

2,332,000

(379,908

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

10/26/2018

USD

1,848,000

(297,100

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/26/2018

USD

88,000

(14,134

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/26/2018

USD

968,000

(155,315

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/26/2018

USD

748,000

(121,009

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/23/2018

USD

329,900

(45,690

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

11/23/2018

USD

65,980

(8,961

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/23/2018

USD

593,820

(82,673

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/23/2018

USD

1,253,620

(174,462

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/23/2018

USD

1,588,116

(109,531

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MSCS

09/21/2018

CHF

2,315,250

(10,951

)

TAIEX Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/18/2018

TWD

21,354,000

(739

)

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

AQR Funds Semi-Annual Report June 2018

158

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/24/2018

USD

701,750

$ (31,119

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/24/2018

USD

802,000

(37,868

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/24/2018

USD

125,313

(5,667

)

(2,305,786

)

$(1,852,555

)

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		23	7/2018	EUR		$2,963,129		$(68,545	)
CAC 40 10 Euro Index		32	7/2018	EUR		1,988,250		(56,630	)
Hang Seng Index		23	7/2018	HKD		4,210,628		3,537
HSCEI		32	7/2018	HKD		2,216,580		(15,522	)
LME Aluminum Base Metal		2	7/2018	USD		107,525		(17,217	)
LME Aluminum Base Metal		2	7/2018	USD		107,250		(6,656	)
LME Aluminum Base Metal		4	7/2018	USD		214,214		(6,798	)
LME Aluminum Base Metal		5	7/2018	USD		269,375		20,204
LME Aluminum Base Metal		7	7/2018	USD		377,212		(73,132	)
LME Copper Base Metal		1	7/2018	USD		165,825		(4,428	)
LME Copper Base Metal		1	7/2018	USD		165,788		(8,765	)
LME Copper Base Metal		2	7/2018	USD		331,342		(9,608	)
LME Copper Base Metal		2	7/2018	USD		331,700		(19,806	)
LME Copper Base Metal		2	7/2018	USD		331,512		(15,847	)
LME Nickel Base Metal		1	7/2018	USD		89,019		(7,823	)
LME Nickel Base Metal		1	7/2018	USD		89,052		3,249
LME Nickel Base Metal		4	7/2018	USD		356,103		3,736
LME Zinc Base Metal		1	7/2018	USD		72,146		(9,063	)
LME Zinc Base Metal		1	7/2018	USD		72,437		(5,465	)
LME Zinc Base Metal		1	7/2018	USD		72,076		(5,702	)
LME Zinc Base Metal		2	7/2018	USD		144,434		(17,709	)
LME Zinc Base Metal		4	7/2018	USD		289,009		(39,503	)
100 oz Gold		63	8/2018	USD		7,903,350		(392,758	)
Brent Crude Oil		168	8/2018	USD		13,248,480		516,906
Live Cattle		14	8/2018	USD		597,660		7,948
LME Aluminum Base Metal		1	8/2018	USD		53,242		(4,923	)
LME Aluminum Base Metal		5	8/2018	USD		266,102		(19,137	)
LME Aluminum Base Metal		6	8/2018	USD		319,299		(21,245	)
LME Aluminum Base Metal		10	8/2018	USD		531,935		(36,426	)
LME Copper Base Metal		1	8/2018	USD		165,640		(4,401	)
LME Copper Base Metal		3	8/2018	USD		497,400		(22,381	)
LME Copper Base Metal		3	8/2018	USD		496,881		(19,015	)

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

AQR Funds Semi-Annual Report June 2018

159

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Lead Base Metal		1	8/2018	USD		$ 60,279		$ 3,415
LME Lead Base Metal		1	8/2018	USD		60,272		2,357
LME Nickel Base Metal		1	8/2018	USD		89,264		(299	)
LME Nickel Base Metal		1	8/2018	USD		89,268		(2,088	)
LME Nickel Base Metal		1	8/2018	USD		89,116		4,913
LME Zinc Base Metal		2	8/2018	USD		143,036		(8,319	)
LME Zinc Base Metal		2	8/2018	USD		143,375		(11,581	)
LME Zinc Base Metal		5	8/2018	USD		359,320		(25,132	)
Natural Gas		62	8/2018	USD		1,798,620		(9,974	)
NY Harbor ULSD		47	8/2018	USD		4,374,779		81,991
RBOB Gasoline		32	8/2018	USD		2,865,542		73,038
WTI Crude Oil		338	8/2018	USD		24,491,480		2,276,377
Australia 10 Year Bond		101	9/2018	AUD		9,669,144		123,711
Canada 10 Year Bond		116	9/2018	CAD		12,062,800		281,459
Cocoa		41	9/2018	USD		1,029,920		(98,389	)
Coffee ‘C’		17	9/2018	USD		733,763		(38,279	)
Corn		47	9/2018	USD		844,825		(120,362	)
DAX Index		5	9/2018	EUR		1,796,733		(86,549	)
EURO STOXX 50 Index		191	9/2018	EUR		7,563,619		(184,395	)
Euro-Bund		564	9/2018	EUR		107,061,802		613,877
Feeder Cattle		9	9/2018	USD		679,275		15,759
FTSE 100 Index		69	9/2018	GBP		6,922,135		(48,403	)
FTSE/JSE Top 40 Index		6	9/2018	ZAR		226,073		988
FTSE/MIB Index		9	9/2018	EUR		1,133,420		(26,442	)
Japan 10 Year Bond		15	9/2018	JPY		20,436,255		15,904
KC HRW Wheat		17	9/2018	USD		415,225		(55,841	)
LME Aluminum Base Metal		1	9/2018	USD		53,318		(757	)
LME Aluminum Base Metal		1	9/2018	USD		53,244		(4,974	)
LME Aluminum Base Metal		3	9/2018	USD		159,806		(3,534	)
LME Aluminum Base Metal		3	9/2018	USD		159,827		(2,882	)
LME Aluminum Base Metal		4	9/2018	USD		212,990		(19,450	)
LME Aluminum Base Metal		125	9/2018	USD		6,661,719		(224,796	)
LME Copper Base Metal		1	9/2018	USD		165,654		(13,841	)
LME Copper Base Metal		1	9/2018	USD		165,638		(1,190	)
LME Copper Base Metal		2	9/2018	USD		331,313		(33,827	)
LME Copper Base Metal		2	9/2018	USD		331,275		(9,431	)
LME Copper Base Metal		3	9/2018	USD		496,875		(12,721	)
LME Copper Base Metal		3	9/2018	USD		496,950		(2,709	)
LME Copper Base Metal		65	9/2018	USD		10,770,500		(448,712	)
LME Lead Base Metal		1	9/2018	USD		60,247		(3,255	)
LME Lead Base Metal		16	9/2018	USD		964,200		12,068
LME Nickel Base Metal		1	9/2018	USD		89,400		(303	)
LME Nickel Base Metal		1	9/2018	USD		89,303		(5,248	)
LME Nickel Base Metal		1	9/2018	USD		89,371		125
LME Nickel Base Metal		44	9/2018	USD		3,932,148		332,823
LME Zinc Base Metal		1	9/2018	USD		71,358		606
LME Zinc Base Metal		4	9/2018	USD		285,567		(6,949	)
LME Zinc Base Metal		4	9/2018	USD		285,600		(15,962	)
LME Zinc Base Metal		37	9/2018	USD		2,642,725		(344,029	)
Long Gilt		132	9/2018	GBP		21,437,913		32,818
Low Sulphur Gasoil		89	9/2018	USD		6,040,875		105,999
Russell 2000 E-Mini Index		72	9/2018	USD		5,931,000		(111,147	)
S&P 500 E-Mini Index		478	9/2018	USD		65,046,240		(1,461,619	)
S&P Midcap 400 E-Mini Index		34	9/2018	USD		6,650,740		(161,316	)
S&P/TSX 60 Index		21	9/2018	CAD		3,077,519		23,771

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
Silver		69		9/2018	USD		$ 5,588,310			$ (152,642	)
SPI 200 Index		27		9/2018	AUD		3,071,133			34,109
Sugar No. 11		138		9/2018	USD		1,893,360			75,070
TOPIX Index		80		9/2018	JPY		12,504,177			(289,591	)
U.S. Treasury 10 Year Note		1,073		9/2018	USD		128,961,188			1,299,733
Wheat		49		9/2018	USD		1,228,062			(44,843	)
Live Cattle		2		10/2018	USD		88,020			905
Soybean		27		11/2018	USD		1,188,000			(198,621	)
100 oz Gold		15		12/2018	USD		1,899,450			1,288
Cotton No. 2		8		12/2018	USD		335,680			(1,153	)
										768,624
Short Contracts
LME Aluminum Base Metal		(2	)	7/2018	USD		(107,250	)		4,482
LME Aluminum Base Metal		(2	)	7/2018	USD		(107,525	)		18,195
LME Aluminum Base Metal		(4	)	7/2018	USD		(214,214	)		8,920
LME Aluminum Base Metal		(5	)	7/2018	USD		(269,375	)		(20,499	)
LME Aluminum Base Metal		(7	)	7/2018	USD		(377,212	)		87,392
LME Copper Base Metal		(1	)	7/2018	USD		(165,788	)		8,678
LME Copper Base Metal		(1	)	7/2018	USD		(165,825	)		4,387
LME Copper Base Metal		(2	)	7/2018	USD		(331,700	)		18,262
LME Copper Base Metal		(2	)	7/2018	USD		(331,342	)		8,959
LME Copper Base Metal		(2	)	7/2018	USD		(331,512	)		14,732
LME Nickel Base Metal		(1	)	7/2018	USD		(89,052	)		(3,341	)
LME Nickel Base Metal		(1	)	7/2018	USD		(89,019	)		4,183
LME Nickel Base Metal		(4	)	7/2018	USD		(356,103	)		(3,342	)
LME Zinc Base Metal		(1	)	7/2018	USD		(72,437	)		5,344
LME Zinc Base Metal		(1	)	7/2018	USD		(72,146	)		9,251
LME Zinc Base Metal		(1	)	7/2018	USD		(72,076	)		5,742
LME Zinc Base Metal		(2	)	7/2018	USD		(144,434	)		18,027
LME Zinc Base Metal		(4	)	7/2018	USD		(289,009	)		35,070
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,242	)		5,068
LME Aluminum Base Metal		(5	)	8/2018	USD		(266,102	)		18,508
LME Aluminum Base Metal		(6	)	8/2018	USD		(319,299	)		20,433
LME Aluminum Base Metal		(10	)	8/2018	USD		(531,935	)		37,161
LME Copper Base Metal		(1	)	8/2018	USD		(165,640	)		4,268
LME Copper Base Metal		(3	)	8/2018	USD		(497,400	)		22,229
LME Copper Base Metal		(3	)	8/2018	USD		(496,881	)		18,502
LME Lead Base Metal		(1	)	8/2018	USD		(60,272	)		(2,413	)
LME Lead Base Metal		(1	)	8/2018	USD		(60,279	)		(3,407	)
LME Nickel Base Metal		(1	)	8/2018	USD		(89,268	)		1,929
LME Nickel Base Metal		(1	)	8/2018	USD		(89,264	)		(197	)
LME Nickel Base Metal		(1	)	8/2018	USD		(89,116	)		(4,399	)
LME Zinc Base Metal		(2	)	8/2018	USD		(143,375	)		11,342
LME Zinc Base Metal		(2	)	8/2018	USD		(143,036	)		8,095
LME Zinc Base Metal		(5	)	8/2018	USD		(359,320	)		21,686
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,318	)		1,197
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,244	)		5,104
LME Aluminum Base Metal		(3	)	9/2018	USD		(159,806	)		3,357
LME Aluminum Base Metal		(3	)	9/2018	USD		(159,827	)		2,910
LME Aluminum Base Metal		(4	)	9/2018	USD		(212,990	)		20,798
LME Aluminum Base Metal		(13	)	9/2018	USD		(692,819	)		21,762
LME Copper Base Metal		(1	)	9/2018	USD		(165,654	)		13,018
LME Copper Base Metal		(1	)	9/2018	USD		(165,638	)		1,980
LME Copper Base Metal		(2	)	9/2018	USD		(331,313	)		31,795

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT				VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(2	)	9/2018	USD		$ (331,275	)			$ 9,261
LME Copper Base Metal		(3	)	9/2018	USD		(496,875	)			13,231
LME Copper Base Metal		(3	)	9/2018	USD		(496,950	)	��		726
LME Copper Base Metal		(17	)	9/2018	USD		(2,816,900	)			86,237
LME Lead Base Metal		(1	)	9/2018	USD		(60,247	)			3,475
LME Nickel Base Metal		(1	)	9/2018	USD		(89,371	)			(208	)
LME Nickel Base Metal		(1	)	9/2018	USD		(89,303	)			5,464
LME Nickel Base Metal		(1	)	9/2018	USD		(89,400	)			(427	)
LME Nickel Base Metal		(7	)	9/2018	USD		(625,569	)			226
LME Zinc Base Metal		(1	)	9/2018	USD		(71,358	)			399
LME Zinc Base Metal		(4	)	9/2018	USD		(285,567	)			8,157
LME Zinc Base Metal		(4	)	9/2018	USD		(285,600	)			14,969
LME Zinc Base Metal		(26	)	9/2018	USD		(1,857,050	)			144,980
											771,658
											$1,540,282

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	852,266	USD	217,488	CITI**		9/19/2018		$609
BRL	1,278,399	USD	326,232	JPMC**		9/19/2018		913
EUR	504,000	USD	589,813	CITI		9/19/2018		2,304
EUR	756,000	USD	884,720	JPMC		9/19/2018		3,455
HKD	2,568,000	USD	327,676	CITI		9/19/2018		78
HKD	3,852,000	USD	491,515	JPMC		9/19/2018		117
INR	56,361,200	USD	812,792	CITI**		9/19/2018		1,444
INR	84,541,800	USD	1,219,189	JPMC**		9/19/2018		2,165
MXN	104,602,464	USD	5,106,754	CITI		9/19/2018		94,740
MXN	156,903,690	USD	7,660,140	JPMC		9/19/2018		142,099
TRY	30,071,200	USD	6,150,429	CITI		9/19/2018		177,513
TRY	45,106,800	USD	9,225,655	JPMC		9/19/2018		266,259
USD	531,105	BRL	1,974,800	CITI**		9/19/2018		25,749
USD	796,656	BRL	2,962,200	JPMC**		9/19/2018		38,623
USD	134,430	CNY	862,400	CITI**		9/19/2018		4,825
USD	201,645	CNY	1,293,600	JPMC**		9/19/2018		7,238
USD	25,983,897	EUR	22,001,882	CITI		9/19/2018		135,316
USD	38,977,510	EUR	33,002,820	JPMC		9/19/2018		204,642
USD	8,009,802	GBP	5,965,434	CITI		9/19/2018		108,961
USD	12,014,702	GBP	8,948,161	JPMC		9/19/2018		163,427
USD	86,346	HKD	676,000	CITI		9/19/2018		67
USD	129,518	HKD	1,014,000	JPMC		9/19/2018		101
USD	316,995	HUF	84,823,600	CITI		9/19/2018		14,781
USD	475,491	HUF	127,235,400	JPMC		9/19/2018		22,172
USD	693,127	KRW	748,541,600	CITI**		9/19/2018		19,300
USD	1,039,690	KRW	1,122,812,400	JPMC**		9/19/2018		28,949
USD	362,846	MXN	7,271,200	CITI		9/19/2018		1,276
USD	544,268	MXN	10,906,800	JPMC		9/19/2018		1,913
USD	2,098,827	PLN	7,678,400	CITI		9/19/2018		46,259

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	3,149,338	PLN	11,517,600	JPMC		9/19/2018		$ 70,487
USD	598,830	TRY	2,821,200	CITI		9/19/2018		5,159
USD	898,244	TRY	4,231,800	JPMC		9/19/2018		7,738
USD	408,335	ZAR	5,355,200	CITI		9/19/2018		21,961
USD	612,502	ZAR	8,032,800	JPMC		9/19/2018		32,940
Total unrealized appreciation								1,653,580
BRL	9,814,136	USD	2,612,074	CITI**		9/19/2018		(100,616	)
BRL	14,721,199	USD	3,918,115	JPMC**		9/19/2018		(150,928	)
CNY	10,751,600	USD	1,673,704	CITI**		9/19/2018		(57,910	)
CNY	16,127,400	USD	2,510,559	JPMC**		9/19/2018		(86,869	)
EUR	1,947,200	USD	2,312,203	CITI		9/19/2018		(24,564	)
EUR	2,920,800	USD	3,468,108	JPMC		9/19/2018		(36,649	)
HUF	84,823,600	USD	313,313	CITI		9/19/2018		(11,100	)
HUF	127,235,400	USD	469,970	JPMC		9/19/2018		(16,650	)
INR	49,302,400	USD	720,229	CITI**		9/19/2018		(7,970	)
INR	73,953,600	USD	1,080,345	JPMC**		9/19/2018		(11,956	)
KRW	6,871,870,400	USD	6,415,461	CITI**		9/19/2018		(229,493	)
KRW	10,307,805,599	USD	9,623,203	JPMC**		9/19/2018		(344,251	)
MXN	45,235,940	USD	2,257,850	CITI		9/19/2018		(8,435	)
MXN	67,853,906	USD	3,386,780	JPMC		9/19/2018		(12,656	)
PLN	20,390,400	USD	5,558,902	CITI		9/19/2018		(108,200	)
PLN	30,585,600	USD	8,338,364	JPMC		9/19/2018		(162,310	)
USD	8,773,671	EUR	7,503,294	CITI		9/19/2018		(41,461	)
USD	13,160,491	EUR	11,254,941	JPMC		9/19/2018		(62,208	)
USD	249,017	HKD	1,951,600	CITI		9/19/2018		(66	)
USD	373,525	HKD	2,927,400	JPMC		9/19/2018		(100	)
USD	995,496	MXN	20,351,600	CITI		9/19/2018		(16,514	)
USD	1,493,242	MXN	30,527,400	JPMC		9/19/2018		(24,773	)
USD	211,798	ZAR	2,976,400	CITI		9/19/2018		(2,947	)
USD	317,696	ZAR	4,464,600	JPMC		9/19/2018		(4,421	)
ZAR	52,096,400	USD	4,088,007	CITI		9/19/2018		(329,287	)
ZAR	78,144,602	USD	6,132,018	JPMC		9/19/2018		(493,939	)
Total unrealized depreciation								(2,346,273	)
Net unrealized depreciation								$(692,693	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

PLN - Poland Zloty

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BARC
Cash		$—		$9,105,993			$9,105,993
CITG
Cash		—		2,268,966			2,268,966
CITI
Investment Companies		1,866,785		—			1,866,785
GSCO
Cash		—		(967,159	)		(967,159	)
U.S. Treasury Inflation Linked Notes		—		2,171,265			2,171,265
GSIN
Investment Companies		81,112		—			81,112
JPMC
Investment Companies		9,766,683		—			9,766,683
JPMS
Cash		—		81,266			81,266
MLIN
Cash		410,000		—			410,000
MSCL
Cash		—		(1,299,470	)		(1,299,470	)
U.S. Treasury Inflation Linked Notes		—		1,265,339			1,265,339
MSCS
Investment Companies		2,005,198		—			2,005,198

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$394,533		$—		$394,533
GSCO
Cash		—		578,169		578,169
GSIN
Cash		810,087		—		810,087
JPPC
Cash		—		1,886,441		1,886,441
MACQ
Cash		560,000		—		560,000
MLIN
Cash		1,010,000		—		1,010,000
MSCL
Cash		—		1,543,542		1,543,542
SOCG
Cash		1,061,093		—		1,061,093

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 26.0%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (a)(b)	EUR	1,705,504	$	2,157,091
0.10%, 4/15/2026 (a)(b)	EUR	1,763,699		2,296,145
France Government Bond OAT
1.10%, 7/25/2022 (a)(b)	EUR	915,710		1,197,197
0.25%, 7/25/2024 (a)(b)	EUR	637,914		823,350
0.10%, 3/1/2025	EUR	513,750		653,932
1.85%, 7/25/2027 (a)(b)	EUR	440,196		655,674
0.10%, 3/1/2028 (a)(b)	EUR	205,158		262,814
0.70%, 7/25/2030 (a)(b)	EUR	103,232		142,548
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP	1,430,861		2,116,306
0.13%, 3/22/2026	GBP	974,898		1,487,119
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $11,414,584)				11,792,176
U.S. TREASURY OBLIGATIONS - 41.7%
U.S. Treasury Inflation Linked Notes
0.13%, 4/15/2020 (c)	$	3,370,000		3,567,050
0.13%, 4/15/2021 (c)		5,260,000		5,473,895
0.13%, 4/15/2022 (c)		3,150,000		3,178,421
0.38%, 7/15/2025		1,120,000		1,162,258
0.63%, 1/15/2026		2,000,000		2,097,407
0.13%, 7/15/2026		2,260,000		2,263,062
0.38%, 7/15/2027		1,180,000		1,175,791
TOTAL U.S. TREASURY OBLIGATIONS (Cost $19,154,951)				18,917,884
	SHARES
SHORT-TERM INVESTMENTS - 50.7%
INVESTMENT COMPANIES - 33.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (d)		243,086		243,086
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (d)		972,342		972,342
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (d)(e)		4,212,895		4,212,895
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (d)(e)		296,522		296,522
Limited Purpose Cash Investment Fund, 1.85% (d)		8,089,883		8,089,883
UBS Select Treasury Preferred Fund, Class I, 1.76% (d)		1,215,428		1,215,428
TOTAL INVESTMENT COMPANIES (Cost $15,027,921)				15,030,156

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 17.6%
U.S. Treasury Bills
1.63%, 7/26/2018 (f)	$	3,837,000	$	3,832,581
1.64%, 8/2/2018 (f)		1,148,000		1,146,211
1.85%, 8/30/2018 (f)		1,510,000		1,505,397
2.06%, 11/15/2018 (f)		1,486,000		1,474,759
TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,958,925)				7,958,948
TOTAL SHORT-TERM INVESTMENTS (Cost $22,986,846)				22,989,104
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 118.4% (Cost $53,556,381)				53,699,164
LIABILITIES IN EXCESS OF OTHER ASSETS - (18.4)% (g)				(8,363,548	)
NET ASSETS - 100.0%			$	45,335,616

(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2018, the value of these securities amounted to $7,534,819 or 16.62% of net assets.

(b) Inflation protected security.

(c) On 6/30/2018, securities valued at $12,219,366 were pledged as collateral for reverse repurchase agreements outstanding.

(d) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

Reverse repurchase agreements at June 30, 2018:

Over the Counter

COUNTERPARTY	TRADE DATE		RATE	DUE DATE		PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT
CITI		6/12/2018	2.16%		7/12/2018		$3,146,003
MPFS		6/12/2018	2.15%		7/12/2018		5,398,075
MSCL		6/12/2018	2.18%		7/12/2018		3,509,012
							$12,053,090

The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2018 was $11,976,307 at a net weighted average interest rate of 1.749%

Total return swap contracts outstanding as of June 30, 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)
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/24/2018	USD	(53,925	)		$1,053
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/24/2018	USD	(89,875	)		967
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		08/24/2018	USD	(107,850	)		1,775
Cotton No. 2 December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		11/09/2018	USD	125,880			5,585
Cotton No. 2 December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		11/09/2018	USD	41,960			1,710
Cotton No. 2 December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		11/09/2018	USD	41,960			1,937
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/30/2018	HKD	1,436,300			611
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2018	HKD	2,872,600			388
Lean Hogs July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		07/16/2018	USD	165,750			13,225
Lean Hogs July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		07/16/2018	USD	430,950			34,852

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

AQR Funds Semi-Annual Report June 2018

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/03/2018

USD

512,280

$ 7,790

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/03/2018

USD

213,450

3,228

Live Cattle October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/31/2018

USD

88,020

1,095

Live Cattle October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/31/2018

USD

44,010

369

MSCI Taiwan Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

USD

232,560

1,486

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

11/23/2018

USD

(32,990

)

270

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/23/2018

USD

(32,990

)

3,390

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(98,970

)

2,772

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/23/2018

USD

(107,064

)

787

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/24/2018

USD

(75,188

)

3,057

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/24/2018

USD

(125,313

)

11,362

97,709

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/10/2018

USD

129,488

(7,274

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/10/2018

USD

172,650

(9,951

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/10/2018

USD

43,163

(2,402

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/24/2018

USD

53,925

(7,098

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/24/2018

USD

143,800

(19,434

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/24/2018

USD

305,575

(41,583

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

179,750

(24,459

)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

7,608,300

$ (11,325

)

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

6,521,400

(10,015

)

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/15/2018

BRL

731,620

(1,557

)

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/15/2018

BRL

365,810

(694

)

KC HRW Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

24,425

(3,045

)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

09/13/2018

KRW

375,000,000

(18,845

)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/13/2018

KRW

600,000,000

(29,311

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

07/16/2018

USD

(165,750

)

(9,989

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

07/16/2018

USD

(430,950

)

(28,511

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/14/2018

USD

152,900

(343

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/14/2018

USD

244,640

(786

)

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/14/2018

USD

(61,160

)

(687

)

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/14/2018

USD

(61,160

)

(786

)

Lean Hogs October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/12/2018

USD

23,910

(68

)

Lean Hogs October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/12/2018

USD

23,910

(120

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(85,380

)

(1,082

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/03/2018

USD

(42,690

)

(352

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/26/2018

USD

88,000

(14,344

)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Soybean November Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		10/26/2018	USD	748,000		$ (121,717	)
Soybean November Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		10/26/2018	USD	264,000		(41,950	)
Soybean November Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		10/26/2018	USD	176,000		(28,170	)
Soybean Meal December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		11/23/2018	USD	131,960		(18,030	)
Soybean Meal December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		11/23/2018	USD	98,970		(13,310	)
Soybean Meal December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		11/23/2018	USD	263,920		(36,094	)
Soybean Oil December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		11/23/2018	USD	410,412		(27,669	)
Swiss Market Index September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	Monthly	MLIN		09/21/2018	CHF	514,500		(1,865	)
TAIEX Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/18/2018	TWD	4,270,800		(52	)
TAIEX Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/18/2018	TWD	10,677,000		(369	)
Wheat September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		08/24/2018	USD	150,375		(6,203	)
Wheat September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		08/24/2018	USD	50,125		(1,466	)
Wheat September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		08/24/2018	USD	75,188		(2,579	)
Wheat September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		08/24/2018	USD	75,187		(2,385	)
										(545,920	)
										$(448,211	)

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

AQR Funds Semi-Annual Report June 2018

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		4	7/2018	EUR		$515,327		$(11,947	)
CAC 40 10 Euro Index		6	7/2018	EUR		372,797		(9,764	)
Hang Seng Index		5	7/2018	HKD		915,354		(125	)
HSCEI		7	7/2018	HKD		484,877		(2,770	)
LME Aluminum Base Metal		1	7/2018	USD		53,887		(10,447	)
LME Copper Base Metal		1	7/2018	USD		165,756		(7,923	)
LME Lead Base Metal		1	7/2018	USD		60,131		289
LME Zinc Base Metal		1	7/2018	USD		72,252		(9,876	)
100 oz Gold		16	8/2018	USD		2,007,200		(101,697	)
Brent Crude Oil		35	8/2018	USD		2,760,100		108,758
Live Cattle		7	8/2018	USD		298,830		4,265
LME Aluminum Base Metal		1	8/2018	USD		53,220		(3,827	)
LME Aluminum Base Metal		1	8/2018	USD		53,175		(4,505	)
LME Aluminum Base Metal		2	8/2018	USD		106,387		(7,285	)
LME Aluminum Base Metal		3	8/2018	USD		160,125		(9,720	)
LME Copper Base Metal		1	8/2018	USD		165,776		(4,763	)
LME Nickel Base Metal		2	8/2018	USD		178,219		11,186
LME Zinc Base Metal		2	8/2018	USD		143,798		(11,381	)
Natural Gas		14	8/2018	USD		406,140		(1,723	)
NY Harbor ULSD		10	8/2018	USD		930,804		18,885
RBOB Gasoline		7	8/2018	USD		626,837		16,149
WTI Crude Oil		68	8/2018	USD		4,927,280		455,935
Australia 10 Year Bond		26	9/2018	AUD		2,489,087		31,907
Canada 10 Year Bond		27	9/2018	CAD		2,807,721		68,498
Cocoa		8	9/2018	USD		200,960		(21,758	)
Coffee ‘C’		3	9/2018	USD		129,487		(7,201	)
Corn		9	9/2018	USD		161,775		(22,908	)
DAX Index		1	9/2018	EUR		359,347		(15,703	)
EURO STOXX 50 Index		38	9/2018	EUR		1,504,804		(35,352	)
Euro-Bund		130	9/2018	EUR		24,677,366		145,772
Feeder Cattle		2	9/2018	USD		150,950		4,304
FTSE 100 Index		15	9/2018	GBP		1,504,812		(10,490	)
FTSE/JSE Top 40 Index		5	9/2018	ZAR		188,394		(488	)
FTSE/MIB Index		3	9/2018	EUR		377,807		(8,724	)
Japan 10 Year Bond Mini		34	9/2018	JPY		4,632,218		4,660
KC HRW Wheat		4	9/2018	USD		97,700		(12,265	)
LME Aluminum Base Metal		1	9/2018	USD		53,269		(1,178	)
LME Aluminum Base Metal		28	9/2018	USD		1,492,225		(28,738	)
LME Copper Base Metal		1	9/2018	USD		165,738		(8,090	)
LME Copper Base Metal		1	9/2018	USD		165,638		(1,190	)
LME Copper Base Metal		14	9/2018	USD		2,319,800		(90,665	)
LME Lead Base Metal		4	9/2018	USD		241,050		2,893
LME Nickel Base Metal		9	9/2018	USD		804,303		77,248
LME Zinc Base Metal		1	9/2018	USD		71,442		(5,536	)
LME Zinc Base Metal		1	9/2018	USD		71,392		(1,186	)
LME Zinc Base Metal		8	9/2018	USD		571,400		(74,220	)
Long Gilt		29	9/2018	GBP		4,709,844		4,350
Low Sulphur Gasoil		18	9/2018	USD		1,221,750		20,880
Russell 2000 E-Mini Index		16	9/2018	USD		1,318,000		(24,855	)
S&P 500 E-Mini Index		104	9/2018	USD		14,152,320		(319,940	)
S&P Midcap 400 E-Mini Index		8	9/2018	USD		1,564,880		(38,089	)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
S&P/TSX 60 Index		4		9/2018	CAD		$ 586,194			$ 4,599
Silver		14		9/2018	USD		1,133,860			(30,344	)
SPI 200 Index		5		9/2018	AUD		568,728			6,808
Sugar No. 11		33		9/2018	USD		452,760			21,669
TOPIX Index		18		9/2018	JPY		2,813,440			(69,664	)
U.S. Treasury 10 Year Note		261		9/2018	USD		31,368,938			335,740
Wheat		11		9/2018	USD		275,687			(11,579	)
Soybean		5		11/2018	USD		220,000			(37,446	)
100 oz Gold		3		12/2018	USD		379,890			258
Cotton No. 2		2		12/2018	USD		83,920			3,876
										273,567
Short Contracts
LME Aluminum Base Metal		(1	)	7/2018	USD		(53,887	)		12,485
LME Copper Base Metal		(1	)	7/2018	USD		(165,756	)		7,366
LME Lead Base Metal		(1	)	7/2018	USD		(60,131	)		191
LME Zinc Base Metal		(1	)	7/2018	USD		(72,252	)		8,767
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,175	)		4,325
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,220	)		3,702
LME Aluminum Base Metal		(2	)	8/2018	USD		(106,387	)		7,432
LME Aluminum Base Metal		(3	)	8/2018	USD		(160,125	)		8,754
LME Copper Base Metal		(1	)	8/2018	USD		(165,777	)		4,653
LME Nickel Base Metal		(2	)	8/2018	USD		(178,219	)		(10,645	)
LME Zinc Base Metal		(2	)	8/2018	USD		(143,798	)		10,381
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,269	)		1,119
LME Aluminum Base Metal		(4	)	9/2018	USD		(213,175	)		10,690
LME Copper Base Metal		(1	)	9/2018	USD		(165,738	)		9,158
LME Copper Base Metal		(1	)	9/2018	USD		(165,638	)		1,980
LME Copper Base Metal		(3	)	9/2018	USD		(497,100	)		14,592
LME Nickel Base Metal		(2	)	9/2018	USD		(178,734	)		(11,387	)
LME Zinc Base Metal		(1	)	9/2018	USD		(71,442	)		5,414
LME Zinc Base Metal		(1	)	9/2018	USD		(71,392	)		1,794
LME Zinc Base Metal		(5	)	9/2018	USD		(357,125	)		29,637
										120,408
										$393,975

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	333	USD	85	CITI**		9/19/2018		$—
BRL	500	USD	128	JPMC**		9/19/2018		—
HKD	552,000	USD	70,435	CITI		9/19/2018		17
HKD	828,000	USD	105,653	JPMC		9/19/2018		25
USD	4,088	CHF	4,000	CITI		9/19/2018		20
USD	6,132	CHF	6,000	JPMC		9/19/2018		31
USD	2,418,152	EUR	2,047,291	CITI		9/19/2018		12,923
USD	3,627,225	EUR	3,070,938	JPMC		9/19/2018		19,379
USD	1,442,273	GBP	1,074,164	CITI		9/19/2018		19,610

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	2,163,403	GBP	1,611,243	JPMC		9/19/2018		$ 29,413
USD	18,087	HKD	141,600	CITI		9/19/2018		14
USD	27,130	HKD	212,400	JPMC		9/19/2018		21
Total unrealized appreciation								81,453
BRL	3,665	USD	976	CITI**		9/19/2018		(38	)
BRL	5,502	USD	1,465	JPMC**		9/19/2018		(56	)
USD	12,567	CHF	12,400	CITI		9/19/2018		(41	)
USD	18,850	CHF	18,600	JPMC		9/19/2018		(62	)
USD	867,745	EUR	742,430	CITI		9/19/2018		(4,488	)
USD	1,301,617	EUR	1,113,646	JPMC		9/19/2018		(6,733	)
USD	67,319	HKD	527,600	CITI		9/19/2018		(18	)
USD	100,979	HKD	791,400	JPMC		9/19/2018		(28	)
Total unrealized depreciation								(11,464	)
Net unrealized appreciation								$69,989

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen KRW- Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BARC
Cash		$—			$1,979,517			$1,979,517
CITI
Cash		(50,000	)		—			(50,000	)
Investment Companies		193,859			—			193,859
U.S. Treasury Inflation Linked Notes		3,178,421			—			3,178,421
GSCO
Cash		—			287,028			287,028
GSIN
Investment Companies		296,522			—			296,522
JPMC
Investment Companies		357,411			—			357,411
JPMS
Cash		—			35,524			35,524
MPFS
U.S. Treasury Inflation Linked Notes		5,473,895			—			5,473,895
MSCL
Cash		—			(33,828	)		(33,828	)
U.S. Treasury Inflation Linked Notes		3,567,050			—			3,567,050
MLIN
Cash		130,002			—			130,002

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$211,492		$—		$211,492
GSCO
Cash		—		118,193		118,193
GSIN
Cash		110,017		—		110,017
JPPC
Cash		—		389,143		389,143
MACQ
Cash		220,000		—		220,000
MSCL
Cash		—		357,748		357,748
SOCG
Cash		240,150		—		240,150

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

AQR Funds Semi-Annual Report June 2018

173

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II MV FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 15.8%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (a)(b)	EUR	1,598,910	$	2,022,273
0.10%, 4/15/2026 (a)(b)	EUR	1,867,446		2,431,212
France Government Bond OAT
1.10%, 7/25/2022 (a)(b)	EUR	882,209		1,153,397
0.25%, 7/25/2024 (a)(b)	EUR	533,337		688,375
0.10%, 3/1/2025	EUR	513,750		653,932
1.85%, 7/25/2027 (a)(b)	EUR	440,196		655,674
0.10%, 3/1/2028 (a)(b)	EUR	205,158		262,813
0.70%, 7/25/2030(a)(b)	EUR	103,232		142,548
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP	1,500,096		2,218,708
0.13%, 3/22/2026	GBP	1,083,220		1,652,355
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $11,636,393)				11,881,287
U.S. TREASURY OBLIGATIONS - 26.5%
U.S. Treasury Inflation Linked Notes
0.13%, 4/15/2020 (c)	$	3,870,000		4,096,286
0.13%, 4/15/2021 (c)		5,160,000		5,369,828
0.13%, 4/15/2022		3,050,000		3,077,519
0.38%, 7/15/2025		1,210,000		1,255,654
0.63%, 1/15/2026		2,220,000		2,328,122
0.13%, 7/15/2026		2,450,000		2,453,319
0.38%, 7/15/2027		1,250,000		1,245,541
TOTAL U.S. TREASURY OBLIGATIONS (Cost $20,061,910)				19,826,269
	SHARES
SHORT-TERM INVESTMENTS - 53.5%
INVESTMENT COMPANIES - 37.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (d)		666,907		666,907
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (d)		2,667,628		2,667,628
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (d)(e)		3,567,480		3,567,480
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (d)(e)		345,648		345,648
Limited Purpose Cash Investment Fund, 1.85% (d)		17,181,977		17,181,977
UBS Select Treasury Preferred Fund, Class I, 1.76% (d)		3,334,536		3,334,536
TOTAL INVESTMENT COMPANIES (Cost $27,761,057)				27,764,176

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 16.4%
U.S. Treasury Bills
1.59%, 7/5/2018 (f)	$	1,034,000	$	1,033,857
1.61%, 7/19/2018 (f)		1,275,000		1,273,954
1.63%, 7/26/2018 (f)		5,410,000		5,403,769
1.64%, 8/2/2018 (f)		3,821,000		3,815,046
1.92%, 10/4/2018 (f)		792,000		788,041
TOTAL U.S. TREASURY OBLIGATIONS (Cost $12,315,232)				12,314,667
TOTAL SHORT-TERM INVESTMENTS (Cost $40,076,289)				40,078,843
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.8% (Cost $71,774,592)				71,786,399
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.2% (g)				3,165,360
NET ASSETS - 100.0%			$	74,951,759

(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2018, the value of these securities amounted to $7,356,292 or 9.81% of net assets.

(b) Inflation protected security.

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

(d) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

AQR Funds Semi-Annual Report June 2018

174

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II MV FUND

Total return swap contracts outstanding as of June 30, 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)
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		08/24/2018	USD	(53,925	)		$93
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/24/2018	USD	(71,900	)		578
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		08/24/2018	USD	(53,925	)		765
Cotton No. 2 December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		11/09/2018	USD	209,800			9,335
Cotton No. 2 December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		11/09/2018	USD	83,920			3,815
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/30/2018	HKD	1,436,300			1,238
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2018	HKD	1,436,300			1,404
Lean Hogs July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		07/16/2018	USD	298,350			24,134
Lean Hogs July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		07/16/2018	USD	232,050			18,686
Live Cattle August Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		08/03/2018	USD	512,280			7,790
Live Cattle August Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		08/03/2018	USD	213,450			3,228
Live Cattle October Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		10/31/2018	USD	88,020			1,095
Live Cattle October Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		10/31/2018	USD	44,010			369
MSCI Taiwan Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/30/2018	USD	345,648			3,456
MSCI Taiwan Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2018	USD	38,760			429
Soybean Oil December Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		11/23/2018	USD	(17,844	)		6
Soybean Oil December Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		11/23/2018	USD	(35,688	)		66

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

AQR Funds Semi-Annual Report June 2018

175

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II MV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Sugar No. 11 September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

09/17/2018

USD

13,720

$ 641

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/24/2018

USD

(75,188

)

1,540

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/24/2018

USD

(150,375

)

14,005

92,673

100 oz Gold August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

07/31/2018

USD

125,450

(6,595

)

100 oz Gold August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

07/31/2018

USD

125,450

(6,820

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/03/2018

USD

25,120

(2,665

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/10/2018

USD

43,163

(2,418

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/10/2018

USD

172,650

(9,951

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/10/2018

USD

43,162

(2,402

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/24/2018

USD

71,900

(9,878

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/24/2018

USD

431,400

(58,823

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/24/2018

USD

53,925

(7,167

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

143,800

(19,339

)

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

9,238,650

(14,522

)

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

6,521,400

(9,707

)

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/15/2018

BRL

731,620

(1,387

)

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/15/2018

BRL

731,620

(1,557

)

KC HRW Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/24/2018

USD

24,425

(3,077

)

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

AQR Funds Semi-Annual Report June 2018

176

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II MV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/13/2018

KRW

1,050,000,000

$ (51,311

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

07/16/2018

USD

(232,050

)

(14,130

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

07/16/2018

USD

(298,350

)

(16,816

)

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/14/2018

USD

(30,580

)

(566

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/14/2018

USD

275,220

(819

)

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/14/2018

USD

(30,580

)

(145

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/14/2018

USD

122,320

(744

)

Lean Hogs October Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/12/2018

USD

23,910

(120

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/03/2018

USD

(42,690

)

(352

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(85,380

)

(1,082

)

Silver September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/31/2018

USD

80,990

(1,510

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/26/2018

USD

264,000

(42,699

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/26/2018

USD

176,000

(27,265

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/26/2018

USD

704,000

(114,211

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/26/2018

USD

220,000

(34,858

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/23/2018

USD

98,970

(13,210

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/23/2018

USD

197,940

(27,179

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/23/2018

USD

356,880

(24,326

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/23/2018

USD

35,688

(2,176

)

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

AQR Funds Semi-Annual Report June 2018

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II MV FUND

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Soybean Oil December Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		11/23/2018	USD	17,844		$ (996	)
Swiss Market Index September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	Monthly	MLIN		09/21/2018	CHF	686,000		(2,331	)
TAIEX Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2018	TWD	4,270,800		(148	)
Wheat September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		08/24/2018	USD	225,563		(9,749	)
Wheat September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		08/24/2018	USD	25,063		(733	)
Wheat September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		08/24/2018	USD	125,312		(1,712	)
Wheat September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		08/24/2018	USD	75,187		(2,385	)
										(547,881	)
										$(455,208	)

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		5	7/2018	EUR		$644,158		$(15,164	)
CAC 40 10 Euro Index		8	7/2018	EUR		497,062		(12,991	)
Hang Seng Index		7	7/2018	HKD		1,281,495		1,252
HSCEI		7	7/2018	HKD		484,877		(2,770	)
LME Aluminum Base Metal		1	7/2018	USD		53,887		(10,447	)
LME Aluminum Base Metal		1	7/2018	USD		53,625		(3,328	)
LME Aluminum Base Metal		2	7/2018	USD		107,750		8,082
LME Copper Base Metal		1	7/2018	USD		165,850		(9,903	)
LME Copper Base Metal		1	7/2018	USD		165,750		(8,978	)
LME Nickel Base Metal		1	7/2018	USD		89,026		934
100 oz Gold		15	8/2018	USD		1,881,750		(93,207	)
Brent Crude Oil		39	8/2018	USD		3,075,540		120,218
Live Cattle		7	8/2018	USD		298,830		3,593
LME Aluminum Base Metal		1	8/2018	USD		53,221		(3,827	)
LME Aluminum Base Metal		1	8/2018	USD		53,175		(4,505	)
LME Aluminum Base Metal		2	8/2018	USD		106,387		(7,285	)
LME Copper Base Metal		1	8/2018	USD		165,627		(6,338	)
LME Copper Base Metal		1	8/2018	USD		165,750		(5,180	)
LME Zinc Base Metal		1	8/2018	USD		71,864		(5,026	)
LME Zinc Base Metal		1	8/2018	USD		71,562		(5,440	)

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

AQR Funds Semi-Annual Report June 2018

178

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II MV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
Natural Gas		15		8/2018		USD		$ 435,150			$ (2,102	)
NY Harbor ULSD		10		8/2018		USD		930,804			16,558
RBOB Gasoline		7		8/2018		USD		626,837			16,149
WTI Crude Oil		75		8/2018		USD		5,434,500			493,546
Australia 10 Year Bond		27		9/2018		AUD		2,584,821			33,206
Canada 10 Year Bond		29		9/2018		CAD		3,015,700			70,097
Cocoa		8		9/2018		USD		200,960			(20,512	)
Coffee ‘C’		6		9/2018		USD		258,975			(13,008	)
Corn		10		9/2018		USD		179,750			(25,198	)
DAX Index		2		9/2018		EUR		718,693			(30,687	)
EURO STOXX 50 Index		46		9/2018		EUR		1,821,605			(42,743	)
Euro-Bund		142		9/2018		EUR		26,955,276			146,765
Feeder Cattle		2		9/2018		USD		150,950			4,304
FTSE 100 Index		17		9/2018		GBP		1,705,453			(11,899	)
FTSE/JSE Top 40 Index		6		9/2018		ZAR		226,073			(979	)
FTSE/MIB Index		1		9/2018		EUR		125,936			(2,853	)
Japan 10 Year Bond		4		9/2018		JPY		5,449,668			5,365
Japan 10 Year Bond Mini		4		9/2018		JPY		544,967			544
KC HRW Wheat		4		9/2018		USD		97,700			(12,265	)
LME Aluminum Base Metal		1		9/2018		USD		53,248			(4,863	)
LME Aluminum Base Metal		1		9/2018		USD		53,269			(1,178	)
LME Aluminum Base Metal		28		9/2018		USD		1,492,225			(33,947	)
LME Copper Base Metal		1		9/2018		USD		165,638			(1,190	)
LME Copper Base Metal		16		9/2018		USD		2,651,200			(101,016	)
LME Lead Base Metal		4		9/2018		USD		241,050			2,893
LME Nickel Base Metal		8		9/2018		USD		714,936			70,359
LME Zinc Base Metal		1		9/2018		USD		71,400			(3,990	)
LME Zinc Base Metal		7		9/2018		USD		499,975			(64,667	)
Long Gilt		32		9/2018		GBP		5,197,070			8,673
Low Sulphur Gasoil		20		9/2018		USD		1,357,500			23,793
Russell 2000 E-Mini Index		17		9/2018		USD		1,400,375			(26,298	)
S&P 500 E-Mini Index		115		9/2018		USD		15,649,200			(348,331	)
S&P Midcap 400 E-Mini Index		8		9/2018		USD		1,564,880			(38,346	)
S&P/TSX 60 Index		4		9/2018		CAD		586,194			4,600
Silver		14		9/2018		USD		1,133,860			(32,697	)
SPI 200 Index		6		9/2018		AUD		682,474			7,008
Sugar No. 11		36		9/2018		USD		493,920			21,785
TOPIX Index		20		9/2018		JPY		3,126,044			(77,368	)
U.S. Treasury 10 Year Note		285		9/2018		USD		34,253,438			382,606
Wheat		9		9/2018		USD		225,563			(12,287	)
Live Cattle		1		10/2018		USD		44,010			452
Soybean		5		11/2018	��	USD		220,000			(38,695	)
100 oz Gold		3		12/2018		USD		379,890			258
Cotton No. 2		2		12/2018		USD		83,920			1,293
Soybean Meal		2		12/2018		USD		65,980			(9,698	)
											293,127
Short Contracts
LME Aluminum Base Metal		(1	)	7/2018		USD		(53,625	)		2,241
LME Aluminum Base Metal		(1	)	7/2018		USD		(53,887	)		12,484
LME Aluminum Base Metal		(2	)	7/2018		USD		(107,750	)		(8,200	)
LME Copper Base Metal		(1	)	7/2018		USD		(165,750	)		9,579
LME Copper Base Metal		(1	)	7/2018		USD		(165,850	)		9,131
LME Nickel Base Metal		(1	)	7/2018		USD		(89,026	)		(835	)
LME Aluminum Base Metal		(1	)	8/2018		USD		(53,175	)		4,324

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II MV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(1	)	8/2018	USD		$ (53,220	)		$ 3,702
LME Aluminum Base Metal		(2	)	8/2018	USD		(106,387	)		7,432
LME Copper Base Metal		(1	)	8/2018	USD		(165,750	)		6,285
LME Copper Base Metal		(1	)	8/2018	USD		(165,627	)		6,167
LME Zinc Base Metal		(1	)	8/2018	USD		(71,864	)		4,337
LME Zinc Base Metal		(1	)	8/2018	USD		(71,562	)		5,259
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,248	)		5,200
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,269	)		1,119
LME Aluminum Base Metal		(2	)	9/2018	USD		(106,587	)		4,794
LME Copper Base Metal		(1	)	9/2018	USD		(165,638	)		1,980
LME Copper Base Metal		(4	)	9/2018	USD		(662,800	)		28,051
LME Nickel Base Metal		(1	)	9/2018	USD		(89,367	)		(1,074	)
LME Zinc Base Metal		(1	)	9/2018	USD		(71,400	)		3,742
LME Zinc Base Metal		(3	)	9/2018	USD		(214,275	)		15,098
										120,816
										$413,943

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
HKD	564,000	USD	71,966	CITI		9/19/2018		$17
HKD	846,000	USD	107,950	JPMC		9/19/2018		26
USD	4,881	BRL	18,333	CITI**		9/19/2018		189
USD	7,322	BRL	27,500	JPMC**		9/19/2018		285
USD	1,225	CHF	1,200	CITI		9/19/2018		5
USD	1,837	CHF	1,800	JPMC		9/19/2018		7
USD	2,371,385	EUR	2,007,571	CITI		9/19/2018		12,821
USD	3,557,090	EUR	3,011,371	JPMC		9/19/2018		19,226
USD	1,583,973	GBP	1,179,403	CITI		9/19/2018		21,928
USD	2,375,946	GBP	1,769,097	JPMC		9/19/2018		32,889
USD	17,985	HKD	140,800	CITI		9/19/2018		14
USD	26,977	HKD	211,200	JPMC		9/19/2018		21
Total unrealized appreciation								87,428
USD	425	BRL	1,667	CITI**		9/19/2018		(1	)
USD	638	BRL	2,500	JPMC**		9/19/2018		(2	)
USD	15,406	CHF	15,200	CITI		9/19/2018		(49	)
USD	23,109	CHF	22,800	JPMC		9/19/2018		(73	)
USD	842,042	EUR	720,482	CITI		9/19/2018		(4,406	)
USD	1,263,069	EUR	1,080,729	JPMC		9/19/2018		(6,609	)
USD	69,923	HKD	548,000	CITI		9/19/2018		(19	)
USD	104,884	HKD	822,000	JPMC		9/19/2018		(28	)
Total unrealized depreciation								(11,187	)
Net unrealized appreciation								$76,241

** Non-deliverable forward.

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR RISK PARITY II MV FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BARC
Cash		$—			$2,169,713			$2,169,713
CITI
Cash		(50,000	)		—			(50,000	)
Investment Companies		153,134			—			153,134
GSCO
Cash		—			(234,930	)		(234,930	)
U.S. Treasury Bills		—			544,601			544,601
GSIN
Investment Companies		345,648			—			345,648
JPMC
Investment Companies		367,172			—			367,172
JPMS
Cash		—			40,092			40,092
MLIN
Cash		130,002			—			130,002
MSCL
Cash		—			(382,436	)		(382,436	)
U.S. Treasury Bills		—			343,158			343,158

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CITI
Investment Companies		$291,743		$—		$291,743
GSCO
Cash		—		131,580		131,580
GSIN
Cash		180,011		—		180,011
JPPC
Cash		—		422,977		422,977
MACQ
Cash		280,000		—		280,000
MSCL
Cash		—		373,022		373,022
SOCG
Cash		180,197		—		180,197

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 128.5%
COMMON STOCKS - 50.5%
Brazil - 0.0% (a)
Yamana Gold, Inc.		385,613	$	1,123,415
Canada - 1.8%
Air Canada *(b)		844,183		13,645,372
ARC Resources Ltd.		228,500		2,360,347
BRP, Inc.		20,742		999,983
Canadian Imperial Bank of Commerce		71,718		6,238,672
Canadian Natural Resources Ltd.		111,691		4,031,292
Canadian Tire Corp. Ltd., Class A		26,203		3,420,252
CGI Group, Inc., Class A *		79,096		5,012,351
CI Financial Corp.		43,544		782,676
Constellation Software, Inc.		1,014		786,387
Dollarama, Inc.		164,262		6,367,316
Fairfax Financial Holdings Ltd.		2,699		1,512,376
Fortis, Inc.		29,280		935,873
Franco-Nevada Corp.		44,285		3,232,150
Goldcorp, Inc.		68,424		939,454
Intact Financial Corp.		42,916		3,044,093
Kinross Gold Corp. *		1,339,015		5,041,741
Linamar Corp.		49,073		2,157,920
Magna International, Inc.		50,035		2,910,034
National Bank of Canada		63,675		3,057,214
Peyto Exploration & Development Corp.		206,653		1,590,787
Seven Generations Energy Ltd., Class A *		101,756		1,121,549
Sun Life Financial, Inc.		36,261		1,457,170
Teck Resources Ltd., Class B		23,066		587,594
Toronto-Dominion Bank (The)		204,648		11,844,724
Tourmaline Oil Corp.		196,307		3,507,589
West Fraser Timber Co. Ltd.		41,313		2,843,657
				89,428,573
Chile - 0.0% (a)
Lundin Mining Corp.		180,468		1,003,477
China - 0.0% (a)
Yangzijiang Shipbuilding Holdings Ltd. (2)		1,405,600		930,323
Italy - 2.8%
A2A SpA (2)		5,052,414		8,745,390
Assicurazioni Generali SpA (2)		564,908		9,444,115
Autogrill SpA (2)		188,189		2,324,429
DiaSorin SpA (2)		7,918		899,839
Enel SpA (2)(b)		7,159,948		39,674,574
Eni SpA (2)(b)		1,155,641		21,427,172
Hera SpA (2)		1,055,878		3,285,470
Intesa Sanpaolo SpA (2)(b)		5,897,510		17,063,096
Italgas SpA (2)		361,941		1,992,101
Mediobanca Banca di Credito Finanziario SpA (2)		203,451		1,881,928
Poste Italiane SpA (2)(b)(c)		1,836,069		15,324,993

INVESTMENTS	SHARES		VALUE
Italy - 2.8% (continued)
Terna Rete Elettrica Nazionale SpA (2)		1,533,228	$	8,280,465
UnipolSai Assicurazioni SpA (2)		665,237		1,467,074
				131,810,646
Singapore - 0.0% (a)
DBS Group Holdings Ltd. (2)		28,600		556,185
Genting Singapore Ltd. (2)		744,500		666,635
Venture Corp. Ltd. (2)		66,000		862,290
				2,085,110
Spain - 1.3%
Repsol SA (2)(b)		3,139,846		61,286,923
Switzerland - 0.2%
Temenos AG (Registered) (2)*		73,581		11,065,595
United Kingdom - 0.2%
Fiat Chrysler Automobiles NV (2)*		537,592		10,141,266
United States - 44.2%
Aaron’s, Inc.		35,525		1,543,561
Accenture plc, Class A		38,202		6,249,465
Adobe Systems, Inc. *(b)		62,296		15,188,388
AGCO Corp.		19,501		1,184,101
Air Lease Corp.		142,239		5,969,771
Akamai Technologies, Inc. *(b)		241,009		17,649,089
Alphabet, Inc., Class A *(b)		12,570		14,193,918
Amazon.com, Inc. *(b)		22,727		38,631,355
Amdocs Ltd. (b)		300,008		19,857,530
ANSYS, Inc. *		19,933		3,471,930
Antero Resources Corp. *		521,340		11,130,609
Anthem, Inc. (b)		204,653		48,713,554
Apache Corp.		6,500		303,875
Applied Materials, Inc. (b)		461,084		21,297,470
AutoNation, Inc. *		48,327		2,347,726
AutoZone, Inc. *		918		615,914
Baxter International, Inc. (b)		369,488		27,282,994
Best Buy Co., Inc. (b)		517,599		38,602,533
Big Lots, Inc. (b)		326,556		13,643,510
Boeing Co. (The) (b)		72,414		24,295,621
Booking Holdings, Inc. *(b)		30,946		62,730,326
Booz Allen Hamilton Holding Corp.		55,574		2,430,251
Broadridge Financial Solutions, Inc.		96,116		11,062,952
CA, Inc. (b)		604,527		21,551,388
Cadence Design Systems, Inc. *(b)		363,712		15,752,367
Cardinal Health, Inc.		10,278		501,875
CDK Global, Inc.		119,582		7,778,809
Centene Corp. *(b)		143,530		17,684,331
Chesapeake Energy Corp. *(b)		3,419,566		17,918,526
Cigna Corp. (b)		152,315		25,885,934
Cimarex Energy Co.		4,016		408,588
Cirrus Logic, Inc. *(b)		517,546		19,837,538
Citrix Systems, Inc. *		62,949		6,599,573
CNX Resources Corp. *		466,830		8,300,237
Cognizant Technology Solutions Corp., Class A		26,652		2,105,241
Concho Resources, Inc. *		1,000		138,350
ConocoPhillips		4,700		327,214

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
United States - 44.2% (continued)
CONSOL Energy, Inc. *		49,562	$	1,900,703
Convergys Corp.		338,363		8,269,592
Cooper Cos., Inc. (The)		29,886		7,036,659
CoreLogic, Inc. *		25,803		1,339,176
Cummins, Inc.		30,258		4,024,314
Curtiss-Wright Corp.		13,758		1,637,477
Danaher Corp. (b)		169,943		16,769,975
Diamond Offshore Drilling, Inc. *		127,522		2,660,109
Dillard’s, Inc., Class A		84,857		8,018,987
DXC Technology Co.		76,672		6,180,530
Eaton Corp. plc (b)		276,080		20,634,219
eBay, Inc. *(b)		1,202,047		43,586,224
Electronic Arts, Inc. *		48,634		6,858,367
EMCOR Group, Inc.		12,938		985,617
Energen Corp. *		19,533		1,422,393
EOG Resources, Inc.		1,100		136,873
Esterline Technologies Corp. *		20,863		1,539,689
Euronet Worldwide, Inc. *		11,469		960,758
Expedia Group, Inc.		54,627		6,565,619
Facebook, Inc., Class A *(b)		268,608		52,195,907
Fair Isaac Corp. *		45,982		8,889,240
GameStop Corp., Class A		151,365		2,205,388
Gap, Inc. (The)		74,786		2,422,319
GATX Corp.		84,150		6,246,455
General Dynamics Corp. (b)		93,508		17,430,826
Genpact Ltd.		304,345		8,804,701
Globus Medical, Inc., Class A *		203,848		10,286,170
Harris Corp.		13,105		1,894,197
Helmerich & Payne, Inc.		48,504		3,092,615
HollyFrontier Corp. (b)		512,968		35,102,400
Honeywell International, Inc.		21,629		3,115,657
Humana, Inc. (b)		128,757		38,321,946
Huntington Ingalls Industries, Inc. (b)		177,556		38,492,365
IAC/InterActiveCorp *(b)		130,672		19,926,173
Intel Corp. (b)		1,271,964		63,229,329
International Business Machines Corp. (b)		391,214		54,652,596
Intuitive Surgical, Inc. *		9,774		4,676,664
ITT, Inc.		50,145		2,621,079
j2 Global, Inc.		113,403		9,821,834
Jack Henry & Associates, Inc.		42,813		5,581,103
KLA-Tencor Corp.		81,795		8,386,441
Kohl’s Corp. (b)		596,384		43,476,394
L3 Technologies, Inc. (b)		99,376		19,111,992
Laboratory Corp. of America Holdings *(b)		108,934		19,556,921
Lam Research Corp. (b)		150,964		26,094,127
Laredo Petroleum, Inc. *		938,756		9,030,833
Liberty Expedia Holdings, Inc., Class A *		27,000		1,186,380
Lockheed Martin Corp. (b)		71,983		21,265,938
Macy’s, Inc. (b)		782,935		29,305,257
Manhattan Associates, Inc. *		151,717		7,132,216
Marathon Oil Corp.		16,642		347,152
Marathon Petroleum Corp. (b)		272,812		19,140,490
Marvell Technology Group Ltd.		138,335		2,965,902
Match Group, Inc. *		153,657		5,952,672
Maxim Integrated Products, Inc.		35,952		2,108,944

INVESTMENTS	SHARES		VALUE
United States - 44.2% (continued)
McDermott International, Inc. *		62,182	$	1,221,876
McKesson Corp. (b)		210,335		28,058,689
Medtronic plc		130,038		11,132,553
Micron Technology, Inc. *(b)		638,782		33,497,728
Microsoft Corp. (b)		345,895		34,108,706
MKS Instruments, Inc.		31,360		3,001,152
Murphy Oil Corp.		8,677		293,022
Murphy USA, Inc. *(b)		154,679		11,491,103
Netflix, Inc. *(b)		55,411		21,689,528
Newfield Exploration Co. *		63,861		1,931,795
Northrop Grumman Corp. (b)		149,781		46,087,614
NVIDIA Corp.		36,246		8,586,677
Oasis Petroleum, Inc. *		12,400		160,828
Oceaneering International, Inc.		262,990		6,695,725
ON Semiconductor Corp. *		330,296		7,344,132
Oracle Corp. (b)		1,321,838		58,240,182
Oshkosh Corp.		35,725		2,512,182
Owens Corning (b)		296,556		18,792,754
Patterson-UTI Energy, Inc.		7,100		127,800
PBF Energy, Inc., Class A (b)		609,093		25,539,269
Penske Automotive Group, Inc.		54,655		2,560,587
Phillips 66		51,507		5,784,751
Qorvo, Inc. *		114,580		9,185,879
Qurate Retail, Inc. *(b)		1,193,854		25,333,582
Range Resources Corp.		450,753		7,541,098
Raytheon Co. (b)		326,460		63,065,542
Red Hat, Inc. *		16,045		2,155,967
Rowan Cos. plc, Class A *		508,496		8,247,805
RPC, Inc.		310,817		4,528,604
Sally Beauty Holdings, Inc. *		70,640		1,132,359
Science Applications International Corp.		13,106		1,060,669
Signet Jewelers Ltd.		205,214		11,440,681
Skyworks Solutions, Inc. (b)		552,267		53,376,606
SM Energy Co.		4,965		127,551
Snap-on, Inc.		76,232		12,252,007
Southwestern Energy Co. *(b)		2,838,141		15,042,147
Spirit AeroSystems Holdings, Inc., Class A (b)		436,698		37,516,725
SS&C Technologies Holdings, Inc.		27,032		1,402,961
Star Group, Inc. (The) *		24,891		902,752
Symantec Corp.		50,278		1,038,241
Synopsys, Inc. *(b)		147,782		12,645,706
Target Corp. (b)		357,680		27,226,602
Texas Instruments, Inc. (b)		285,867		31,516,837
Textron, Inc. (b)		248,971		16,409,679
Total System Services, Inc.		6,926		585,386
Trinity Industries, Inc.		57,259		1,961,693
United Rentals, Inc. *(b)		117,360		17,324,683
UnitedHealth Group, Inc.		18,907		4,638,643
Universal Health Services, Inc., Class B		7,943		885,168
Valeant Pharmaceuticals International, Inc. *		152,417		3,547,682
Valero Energy Corp. (b)		452,121		50,108,570
Varian Medical Systems, Inc. *		26,009		2,957,743
VeriSign, Inc. *(b)		111,508		15,323,429
Versum Materials, Inc.		18,152		674,347

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

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183

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
United States - 44.2% (continued)
VMware, Inc., Class A *(b)		137,155	$	20,157,670
WellCare Health Plans, Inc. *(b)		119,191		29,349,592
Whiting Petroleum Corp. *		2,724		143,609
Williams-Sonoma, Inc. (b)		442,715		27,173,847
Woodward, Inc.		86,979		6,685,206
				2,131,310,239
TOTAL COMMON STOCKS (Cost $2,386,589,817)				2,440,185,567
		NO. OF RIGHTS
RIGHTS - 0.0%
Italy - 0.0%
Intesa Sanpaolo SpA (3)*(d) (Cost $—)		11,550,677		—
		SHARES
SHORT-TERM INVESTMENTS - 78.0%
INVESTMENT COMPANIES - 55.7%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (2)(e)		12,430,998		12,430,998
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (2)(e)		49,723,992		49,723,992
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (2)(e)(f)		847,182,909		847,182,909
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (2)(e)(f)		591,122,238		591,122,238
Limited Purpose Cash Investment Fund, 1.85% (2)(e)(g)		1,133,076,465		1,133,076,465
UBS Select Treasury Preferred Fund, Class I, 1.76% (2)(b)(e)		62,154,990		62,154,990
TOTAL INVESTMENT COMPANIES (Cost $2,695,422,239)				2,695,691,592
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 22.3%
U.S. Treasury Bills 1.59%, 7/12/2018 (2)(h)	$	37,360,000		37,342,604
1.61%, 7/19/2018 (2)(h)		398,281,000		397,954,215
1.63%, 7/26/2018 (2)(h)(i)		45,655,000		45,602,421
1.64%, 8/2/2018 (2)(h)(i)		76,102,000		75,983,413
1.66%, 8/9/2018 (2)(h)		22,089,000		22,046,506
1.79%, 8/16/2018 (2)(h)		75,611,000		75,438,512
1.84%, 8/23/2018 (2)(h)		79,554,000		79,344,431
1.85%, 8/30/2018 (2)(h)		47,770,000		47,624,381
1.85%, 9/6/2018 (2)(h)(i)		17,775,000		17,713,817
1.87%, 9/13/2018 (2)(h)(i)		4,246,000		4,229,813
1.97%, 9/20/2018 (2)(h)		31,540,000		31,408,583
1.91%, 9/27/2018 (2)(h)		77,929,000		77,574,001
1.92%, 10/4/2018 (2)(h)		5,068,000		5,042,664
1.90%, 10/11/2018 (2)(h)		2,059,000		2,047,858
1.96%, 10/18/2018 (2)(h)(i)		66,521,000		66,134,347

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 22.3% (continued)
2.01%, 10/25/2018 (2)(h)	$	4,912,000		$	4,881,559
2.02%, 11/8/2018 (2)(h)		4,082,000			4,052,928
2.06%, 11/15/2018 (2)(h)		49,430,000			49,056,062
2.10%, 11/23/2018 (2)(h)		6,186,000			6,136,326
2.05%, 11/29/2018 (2)(h)		7,835,000			7,768,811
2.08%, 12/13/2018 (2)(h)		1,409,000			1,395,946
2.10%, 12/20/2018 (2)(h)		6,711,000			6,646,329
2.10%, 12/27/2018 (2)(h)		13,094,000			12,960,630
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,078,369,957)					1,078,386,157
TOTAL SHORT-TERM INVESTMENTS (Cost $3,773,792,196)					3,774,077,749
TOTAL LONG POSITIONS (Cost $6,160,382,013)					6,214,263,316
		SHARES
SHORT POSITIONS - (35.2)%
COMMON STOCKS - (35.2)%
Argentina - (0.2)%
MercadoLibre, Inc.		(32,094	)		(9,593,859	)
Canada - (1.5)%
AltaGas Ltd.		(92,268	)		(1,905,508	)
Bombardier, Inc., Class B *		(1,007,166	)		(3,983,770	)
Cameco Corp.		(417,449	)		(4,696,361	)
Element Fleet Management Corp.		(648,666	)		(3,049,295	)
Enbridge, Inc.		(618,831	)		(22,123,803	)
Imperial Oil Ltd.		(45,973	)		(1,528,179	)
Inter Pipeline Ltd.		(75,995	)		(1,424,346	)
Keyera Corp.		(53,089	)		(1,477,196	)
Nutrien Ltd.		(62,339	)		(3,391,386	)
Pembina Pipeline Corp.		(149,836	)		(5,189,239	)
Shopify, Inc., Class A *		(49,674	)		(7,243,755	)
TransCanada Corp.		(265,935	)		(11,506,015	)
Wheaton Precious Metals Corp.		(246,678	)		(5,445,248	)
					(72,964,101	)
Ghana - (0.1)%
Kosmos Energy Ltd. *		(733,243	)		(6,063,920	)
Italy - (1.2)%
Brembo SpA (2)		(53,523	)		(721,852	)
Buzzi Unicem SpA (2)		(300,137	)		(7,333,266	)
Ferrari NV (2)		(214,915	)		(29,049,889	)
Leonardo SpA (2)		(1,320,435	)		(12,996,230	)
Recordati SpA (2)		(16,777	)		(664,791	)
Saipem SpA (2)*		(140,250	)		(643,210	)
UniCredit SpA (2)		(120,645	)		(1,999,620	)
Unipol Gruppo SpA (2)		(1,183,101	)		(4,558,630	)
					(57,967,488	)
Luxembourg - (0.4)%
Tenaris SA (2)		(942,238	)		(17,195,861	)
Netherlands - (0.1)%
Koninklijke Vopak NV (2)		(120,353	)		(5,547,301	)

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

AQR Funds Semi-Annual Report June 2018

184

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
Portugal - 0.0% (a)
Banco Espirito Santo SA (Registered) (3)*(d)		(216,618	)	$	(3	)
Singapore - 0.0% (a)
CapitaLand Ltd. (2)		(573,600	)		(1,327,597	)
City Developments Ltd. (2)		(94,900	)		(760,141	)
					(2,087,738	)
Switzerland - (0.2)%
STMicroelectronics NV (2)		(447,037	)		(9,916,766	)
United Kingdom - (0.2)%
CNH Industrial NV (2)		(755,560	)		(7,981,350	)
Pentair plc		(80,602	)		(3,391,732	)
					(11,373,082	)
United States - (30.9)%
Acadia Healthcare Co., Inc. *		(320,193	)		(13,099,096	)
Acxiom Corp. *		(134,761	)		(4,036,092	)
Advance Auto Parts, Inc.		(127,395	)		(17,287,502	)
Advanced Micro Devices, Inc. *		(2,345,418	)		(35,157,816	)
Alliance Data Systems Corp.		(24,761	)		(5,774,265	)
Allscripts Healthcare Solutions, Inc. *		(659,322	)		(7,911,864	)
AmerisourceBergen Corp.		(171,260	)		(14,603,340	)
Anadarko Petroleum Corp.		(369,647	)		(27,076,643	)
AO Smith Corp.		(23,221	)		(1,373,522	)
Arconic, Inc.		(767,923	)		(13,062,370	)
athenahealth, Inc. *		(23,981	)		(3,816,336	)
Atlassian Corp. plc, Class A *		(325,263	)		(20,335,443	)
Autodesk, Inc. *		(202,782	)		(26,582,692	)
Baker Hughes a GE Co.		(420,946	)		(13,903,846	)
Brookdale Senior Living, Inc. *		(1,254,715	)		(11,405,359	)
Cabot Oil & Gas Corp.		(575,460	)		(13,695,948	)
CarMax, Inc. *		(299,164	)		(21,800,081	)
Cheniere Energy, Inc. *		(762,923	)		(49,734,950	)
Colfax Corp. *		(143,096	)		(4,385,892	)
CommVault Systems, Inc. *		(119,670	)		(7,880,270	)
Conduent, Inc. *		(615,194	)		(11,178,075	)
Cree, Inc. *		(165,455	)		(6,877,964	)
Cypress Semiconductor Corp.		(1,405,816	)		(21,902,613	)
DaVita, Inc. *		(241,649	)		(16,780,107	)
DENTSPLY SIRONA, Inc.		(91,327	)		(3,997,383	)
DexCom, Inc. *		(335,498	)		(31,865,600	)
Dollar Tree, Inc. *		(166,869	)		(14,183,865	)
Donaldson Co., Inc.		(110,724	)		(4,995,867	)
Dover Corp.		(14,767	)		(1,080,944	)
Ensco plc, Class A		(444,439	)		(3,226,627	)
Envision Healthcare Corp. *		(821,189	)		(36,140,528	)
EQT Corp.		(250,378	)		(13,815,858	)
Extraction Oil & Gas, Inc. *		(156,996	)		(2,306,271	)
Fastenal Co.		(556,198	)		(26,769,810	)
FireEye, Inc. *		(872,760	)		(13,431,776	)
First Data Corp., Class A *		(2,378,834	)		(49,788,996	)
Floor & Decor Holdings, Inc., Class A *		(16,445	)		(811,232	)
Flowserve Corp.		(402,093	)		(16,244,557	)
Fluor Corp.		(11,293	)		(550,873	)
Gartner, Inc. *		(226,892	)		(30,153,947	)
General Electric Co.		(4,357,672	)		(59,307,916	)
Genuine Parts Co.		(47,151	)		(4,327,990	)
Global Payments, Inc.		(18,609	)		(2,074,717	)

INVESTMENTS	SHARES			VALUE
United States - (30.9)% (continued)
GoDaddy, Inc., Class A *		(114,715	)	$	(8,098,879	)
Graco, Inc.		(105,947	)		(4,790,923	)
Granite Construction, Inc.		(58,702	)		(3,267,353	)
Guidewire Software, Inc. *		(101,574	)		(9,017,740	)
Halliburton Co.		(12,039	)		(542,477	)
Halyard Health, Inc. *		(17,074	)		(977,487	)
Henry Schein, Inc. *		(12,360	)		(897,830	)
Hess Corp.		(1,084,234	)		(72,524,412	)
IDEXX Laboratories, Inc. *		(53,806	)		(11,726,480	)
KBR, Inc.		(117,743	)		(2,109,955	)
Kennametal, Inc.		(213,229	)		(7,654,921	)
Kinder Morgan, Inc.		(1,773,825	)		(31,343,488	)
KLX, Inc. *		(41,030	)		(2,950,057	)
L Brands, Inc.		(669,060	)		(24,674,933	)
Lennox International, Inc.		(28,626	)		(5,729,494	)
Lincoln Electric Holdings, Inc.		(28,887	)		(2,535,123	)
LKQ Corp. *		(217,596	)		(6,941,312	)
Lowe’s Cos., Inc.		(102,830	)		(9,827,463	)
Masco Corp.		(105,638	)		(3,952,974	)
Medidata Solutions, Inc. *		(118,721	)		(9,564,164	)
Middleby Corp. (The) *		(68,679	)		(7,171,461	)
Nabors Industries Ltd.		(1,753,325	)		(11,238,813	)
National Oilwell Varco, Inc.		(306,486	)		(13,301,492	)
Noble Energy, Inc.		(915,071	)		(32,283,705	)
Nordson Corp.		(6,957	)		(893,348	)
Nordstrom, Inc.		(25,161	)		(1,302,837	)
NOW, Inc. *		(337,016	)		(4,492,423	)
NuVasive, Inc. *		(46,151	)		(2,405,390	)
Occidental Petroleum Corp.		(96,165	)		(8,047,087	)
Office Depot, Inc.		(528,553	)		(1,347,810	)
ONEOK, Inc.		(852,130	)		(59,504,238	)
Owens & Minor, Inc.		(17,748	)		(296,569	)
Pandora Media, Inc. *		(1,110,330	)		(8,749,400	)
Patterson Cos., Inc.		(153,447	)		(3,478,643	)
Pool Corp.		(29,679	)		(4,496,369	)
Premier, Inc., Class A *		(405,144	)		(14,739,139	)
PTC, Inc. *		(59,607	)		(5,591,733	)
QUALCOMM, Inc.		(33,230	)		(1,864,868	)
Sabre Corp.		(63,890	)		(1,574,250	)
Schlumberger Ltd.		(577,951	)		(38,740,056	)
Sensata Technologies Holding plc *		(50,257	)		(2,391,228	)
ServiceNow, Inc. *		(53,435	)		(9,215,934	)
Splunk, Inc. *		(241,329	)		(23,918,117	)
Square, Inc., Class A *		(343,115	)		(21,149,609	)
Superior Energy Services, Inc. *		(874,615	)		(8,518,750	)
Tableau Software, Inc., Class A *		(229,967	)		(22,479,274	)
Targa Resources Corp.		(847,413	)		(41,938,469	)
Tenet Healthcare Corp. *		(809,718	)		(27,182,233	)
Terex Corp.		(56,624	)		(2,388,967	)
Tiffany & Co.		(71,392	)		(9,395,187	)
TJX Cos., Inc. (The)		(22,976	)		(2,186,856	)
Transocean Ltd. *		(908,083	)		(12,204,636	)
Twitter, Inc. *		(16,438	)		(717,847	)
Tyler Technologies, Inc. *		(4,380	)		(972,798	)
Ulta Beauty, Inc. *		(89,789	)		(20,962,140	)
Ultimate Software Group, Inc. (The) *		(64,092	)		(16,491,513	)
Univar, Inc. *		(356,265	)		(9,348,394	)
Veeva Systems, Inc., Class A *		(52,349	)		(4,023,544	)
WABCO Holdings, Inc. *		(34,027	)		(3,981,840	)
Wayfair, Inc., Class A *		(115,231	)		(13,684,834	)
Weatherford International plc *		(5,522,722	)		(18,169,755	)

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

AQR Funds Semi-Annual Report June 2018

185

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
United States - (30.9)% (continued)
Welbilt, Inc. *		(532,901	)	$	(11,889,021	)
Williams Cos., Inc. (The)		(1,499,047	)		(40,639,164	)
Workday, Inc., Class A *		(262,709	)		(31,819,314	)
WPX Energy, Inc. *		(586,319	)		(10,571,332	)
					(1,491,624,695	)
Zambia - (0.4)%
First Quantum Minerals Ltd.		(1,165,304	)		(17,169,542	)
TOTAL COMMON STOCKS (Proceeds $(1,565,755,880))					(1,701,504,356	)
TOTAL SHORT POSITIONS (Proceeds $(1,565,755,880))					(1,701,504,356	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 93.3% (Cost $4,594,626,133)					4,512,758,960
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.7% (j)					321,581,708
NET ASSETS - 100.0%				$	4,834,340,668

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	225,329,240			4.7	%
Energy		(268,447,879	)		(5.6	)
Financials		64,066,768			1.3
Health Care		82,611,049			1.7
Industrials		176,863,535			3.7
Information Technology		416,000,317			8.6
Materials		(18,567,954	)		(0.4	)
Real Estate		(2,087,738	)		0.0	(a)
Utilities		62,913,873			1.3
Short-Term Investments		3,774,077,749			78.0
Total Investments In Securities At Value		4,512,758,960			93.3
Other Assets in Excess of Liabilities (j)		321,581,708			6.7
Net Assets	$	4,834,340,668			100.0	%

* Non-income producing security.

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

(b) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,898,183,441.

(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 June 30, 2018 amounted to $15,324,993, which represents approximately 0.32% of net assets of the fund.

(d) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $(3), which represents approximately (0.00)% of net assets of the fund.

(e) Represents 7-day effective yield as of June 30, 2018.

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

(g) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/17	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/18		VALUE AT 06/30/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
SHORT-TERM INVESTMENTS - 23.4%
INVESTMENT COMPANIES - 23.4%
Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $1,132,807,112)	1,084,486,894	1,906,846,553		(1,858,256,982	)		1,133,076,465		$1,133,076,465		$8,395,349		$(128,810	)		$269,353

(a) Represents 7-day effective yield as of June 30, 2018.

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

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

(j) 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 5).

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

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

AQR Funds Semi-Annual Report June 2018

186

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Total return swap contracts outstanding as of June 30, 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)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/24/2018

USD

(18,460,325

)

$813,538

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

1,248,144,700

139,886

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

1,207,928,300

875,034

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

(433,129,650

)

664,374

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

(311,940,300

)

461,822

MSCI Singapore Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

SGD

19,690,800

44,267

MSCI Taiwan Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

USD

1,744,200

11,145

MSCI Taiwan Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2018

USD

10,387,680

58,072

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/26/2018

USD

(5,368,000

)

364,486

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/26/2018

USD

(32,032,000

)

4,142,398

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

10/26/2018

USD

(9,064,000

)

1,268,273

Swiss Market Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MLIN

09/21/2018

CHF

(383,559,750

)

1,162,121

WIG20 Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

09/21/2018

PLN

(31,051,600

)

481,570

10,486,986

iBovespa Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/15/2018

BRL

(162,419,640

)

(587,317

)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

09/13/2018

KRW

20,475,000,000

(1,054,937

)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/13/2018

KRW

117,825,000,000

(5,755,065

)

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

AQR Funds Semi-Annual Report June 2018

187

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
MSCI Emerging Markets Taiwan Net Total Return Index	Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.5%)	Increases in total return of reference entity	Monthly	JPMC		09/21/2018	USD	1,773,967		$ (77,126	)
MSCI Israel Daily Net Total Return Index	Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.6%)	Increases in total return of reference entity	Monthly	JPMC		09/21/2018	USD	360,779		(6,914	)
Soybean November Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		10/26/2018	USD	32,032,000		(3,574,351	)
Soybean November Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		10/26/2018	USD	9,064,000		(1,050,870	)
Soybean November Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		10/26/2018	USD	59,224,000		(6,755,906	)
TAIEX Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/18/2018	TWD	858,430,800		(29,697	)
Tel Aviv Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/25/2018	ILS	26,392,842		(79,733	)
										(18,971,916	)
										$(8,484,930	)

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		1,638		7/2018	EUR		$211,026,319		$(4,773,392	)
Brent Crude Oil		1,459		7/2018	USD		115,596,570		4,814,714
FTSE Bursa Malaysia KLCI Index		20		7/2018	MYR		419,978		8,428
Hang Seng Index		119		7/2018	HKD		21,785,421		386,853
LME Copper Base Metal		67		7/2018	USD		11,110,275		(260,893	)
LME Copper Base Metal		88		7/2018	USD		14,579,026		(419,646	)
LME Copper Base Metal		110		7/2018	USD		18,233,160		(848,865	)
MSCI Singapore Index		2,334		7/2018	SGD		62,696,807		134,771
MSCI Taiwan Index		866		7/2018	USD		33,566,160		260,585
WTI Crude Oil		1,316		7/2018	USD		97,581,400		11,041,014
LME Copper Base Metal		33		8/2018	USD		5,470,724		(224,349	)
LME Copper Base Metal		101		8/2018	USD		16,743,427		(488,896	)
LME Copper Base Metal		116		8/2018	USD		19,214,182		(517,760	)
3 Month Euro Euribor		832		9/2018	EUR		243,655,398		43,709

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

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188

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
3 Month Sterling		2,976			9/2018	GBP		$ 486,945,766			$ 56,283
ASX 90 Day Bank Accepted Bill		760			9/2018	AUD		559,677,922			(114,223	)
Australia 3 Year Bond		8,468			9/2018	AUD		697,761,306			2,502,853
EURO STOXX 50 Index		3,241			9/2018	EUR		128,343,918			(3,021,049	)
Euro-Bobl		1,210			9/2018	EUR		186,761,233			341,241
Euro-Bund		9,202			9/2018	EUR		1,746,777,844			15,383,244
FTSE 100 Index		1,970			9/2018	GBP		197,631,962			(1,342,016	)
FTSE/MIB Index		220			9/2018	EUR		27,705,822			(554,195	)
Japan 10 Year Bond		372			9/2018	JPY		506,819,130			616,798
LME Copper Base Metal		8			9/2018	USD		1,325,200			(2,112	)
LME Copper Base Metal		105			9/2018	USD		17,393,906			(1,775,912	)
LME Copper Base Metal		188			9/2018	USD		31,153,104			(2,238,219	)
LME Copper Base Metal		382			9/2018	USD		63,273,525			(1,773,912	)
LME Copper Base Metal		683			9/2018	USD		113,173,100			(5,935,182	)
SET50 Index		1,744			9/2018	THB		11,010,415			(146,511	)
Silver		2,209			9/2018	USD		178,906,910			(2,059,573	)
SPI 200 Index		2,077			9/2018	AUD		236,249,779			1,938,107
TOPIX Index		5,667			9/2018	JPY		885,764,666			(21,964,291	)
U.S. Treasury 2 Year Note		15,807			9/2018	USD		3,348,367,171			3,742,680
U.S. Treasury 5 Year Note		27			9/2018	USD		3,067,664			19,863
3 Month Euro Euribor		2,467			12/2018	EUR		722,293,338			55,534
3 Month Sterling		8,131			12/2018	GBP		1,329,691,023			546,605
ASX 90 Day Bank Accepted Bill		3,136			12/2018	AUD		2,309,407,845			87,280
3 Month Euro Euribor		2,763			3/2019	EUR		808,916,494			164,466
3 Month Sterling		9,471			3/2019	GBP		1,547,732,241			1,271,992
ASX 90 Day Bank Accepted Bill		3,221			3/2019	AUD		2,371,887,006			173,492
3 Month Euro Euribor		2,275			6/2019	EUR		665,946,345			449,503
3 Month Sterling		7,219			6/2019	GBP		1,179,000,273			286,863
ASX 90 Day Bank Accepted Bill		2,471			6/2019	AUD		1,819,421,819			327,567
											(3,806,551	)
Short Contracts
CAC 40 10 Euro Index		(2,474	)		7/2018	EUR		(153,716,545	)		3,902,325
HSCEI		(246	)		7/2018	HKD		(17,039,959	)		123,860
IBEX 35 Index		(851	)		7/2018	EUR		(95,422,477	)		2,013,466
LME Copper Base Metal		(67	)		7/2018	USD		(11,110,275	)		293,899
LME Copper Base Metal		(88	)		7/2018	USD		(14,579,026	)		394,217
LME Copper Base Metal		(110	)		7/2018	USD		(18,233,160	)		869,296
Natural Gas		(1,471	)		7/2018	USD		(43,012,040	)		388,733
OMXS30 Index		(16,002	)		7/2018	SEK		(278,886,002	)		1,308,001
100 oz Gold		(3,490	)		8/2018	USD		(437,820,500	)		15,719,811
LME Copper Base Metal		(33	)		8/2018	USD		(5,470,724	)		204,411
LME Copper Base Metal		(101	)		8/2018	USD		(16,743,427	)		469,957
LME Copper Base Metal		(116	)		8/2018	USD		(19,214,182	)		495,144
3 Month Canadian Bankers Acceptance		(630	)		9/2018	CAD		(117,455,597	)		30,713
3 Month Eurodollar		(1,531	)		9/2018	USD		(373,353,488	)		294,605
Australia 10 Year Bond		(323	)		9/2018	AUD		(30,922,114	)		(180,790	)
Canada 10 Year Bond		(4,546	)		9/2018	CAD		(472,736,972	)		(12,506,501	)
Corn		(283	)		9/2018	USD		(5,086,925	)		208,955
DAX Index		(784	)		9/2018	EUR		(281,727,780	)		10,216,318
Euro-Buxl		(754	)		9/2018	EUR		(156,468,618	)		(2,199,722	)
Euro-Schatz		(27,452	)		9/2018	EUR		(3,593,270,883	)		(2,051,514	)
FTSE/JSE Top 40 Index		(1,591	)		9/2018	ZAR		(59,947,094	)		331,747
LME Copper Base Metal		(8	)		9/2018	USD		(1,325,200	)		10,776
LME Copper Base Metal		(105	)		9/2018	USD		(17,393,906	)		1,669,098
LME Copper Base Metal		(188	)		9/2018	USD		(31,153,104	)		2,244,442

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

AQR Funds Semi-Annual Report June 2018

189

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(382	)		9/2018	USD		$ (63,273,525	)		$ 1,973,813
LME Copper Base Metal		(2,046	)		9/2018	USD		(339,022,200	)		18,447,998
Long Gilt		(6,650	)		9/2018	GBP		(1,080,016,057	)		(14,784,877	)
MEX BOLSA Index		(16	)		9/2018	MXN		(388,676	)		(9,953	)
S&P 500 E-Mini Index		(3,785	)		9/2018	USD		(515,062,800	)		11,786,973
S&P/TSX 60 Index		(305	)		9/2018	CAD		(44,697,296	)		(320,372	)
U.S. Treasury 10 Year Note		(1,967	)		9/2018	USD		(236,408,813	)		(698,693	)
U.S. Treasury Long Bond		(1,564	)		9/2018	USD		(226,780,000	)		(5,613,333	)
3 Month Canadian Bankers Acceptance		(2,238	)		12/2018	CAD		(416,566,082	)		180,027
3 Month Eurodollar		(6,542	)		12/2018	USD		(1,592,322,799	)		1,045,887
3 Month Canadian Bankers Acceptance		(2,095	)		3/2019	CAD		(389,371,363	)		97,272
3 Month Eurodollar		(6,218	)		3/2019	USD		(1,511,595,800	)		859,775
3 Month Canadian Bankers Acceptance		(1,511	)		6/2019	CAD		(280,514,538	)		60,410
3 Month Eurodollar		(4,687	)		6/2019	USD		(1,138,296,538	)		282,749
											37,558,923
											$33,752,372

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CHF	38,825,200	USD	39,262,027	CITI		9/19/2018		$214,402
CHF	58,237,800	USD	58,893,115	JPMC		9/19/2018		321,529
EUR	58,824,162	USD	68,722,020	CITI		9/19/2018		386,665
EUR	88,236,245	USD	103,083,161	JPMC		9/19/2018		579,867
HKD	169,980,400	USD	21,689,923	CITI		9/19/2018		4,729
HKD	254,970,600	USD	32,534,925	JPMC		9/19/2018		7,051
INR	24,099,476	USD	347,541	CITI**		9/19/2018		618
INR	36,149,214	USD	521,313	JPMC**		9/19/2018		926
MXN	1,631,391,049	USD	79,672,938	CITI		9/19/2018		1,450,097
MXN	2,447,086,572	USD	119,509,557	JPMC		9/19/2018		2,174,994
TRY	200,805,180	USD	41,199,861	CITI		9/19/2018		1,055,974
TRY	301,207,770	USD	61,799,869	JPMC		9/19/2018		1,583,883
USD	17,649,777	AUD	23,752,400	CITI		9/19/2018		67,587
USD	26,474,633	AUD	35,628,600	JPMC		9/19/2018		101,347
USD	88,058,667	BRL	330,736,791	CITI**		9/19/2018		3,422,416
USD	132,087,834	BRL	496,105,185	JPMC**		9/19/2018		5,133,456
USD	5,114,735	CAD	6,594,000	CITI		9/19/2018		92,159
USD	7,672,092	CAD	9,891,000	JPMC		9/19/2018		138,228
USD	470,454,359	CHF	460,136,084	CITI		9/19/2018		2,600,250
USD	705,680,638	CHF	690,204,108	JPMC		9/19/2018		3,899,492
USD	32,108,974	CNY	206,896,000	CITI**		9/19/2018		1,015,811
USD	48,163,665	CNY	310,344,000	JPMC**		9/19/2018		1,523,921
USD	47,640,845	EUR	40,304,000	CITI		9/19/2018		290,296
USD	71,461,179	EUR	60,456,000	JPMC		9/19/2018		435,354
USD	83,499,496	HKD	653,734,000	CITI		9/19/2018		63,222
USD	125,249,088	HKD	980,601,000	JPMC		9/19/2018		94,677
USD	2,008,487	HUF	560,000,000	CITI		9/19/2018		13,295
USD	3,012,727	HUF	840,000,000	JPMC		9/19/2018		19,939
USD	128,501,317	JPY	13,995,138,258	CITI		9/19/2018		1,389,173
USD	192,751,735	JPY	20,992,707,386	JPMC		9/19/2018		2,083,518

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

AQR Funds Semi-Annual Report June 2018

190

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	84,809,953	KRW	90,877,151,584	CITI**		9/19/2018		$ 3,003,522
USD	127,214,770	KRW	136,315,727,376	JPMC**		9/19/2018		4,505,124
USD	5,792,463	MXN	116,000,000	CITI		9/19/2018		24,212
USD	8,688,683	MXN	174,000,000	JPMC		9/19/2018		36,307
USD	42,924,835	NOK	346,196,520	CITI		9/19/2018		282,171
USD	64,387,171	NOK	519,294,779	JPMC		9/19/2018		423,177
USD	88,391,488	NZD	127,213,657	CITI		9/19/2018		2,223,199
USD	132,587,066	NZD	190,820,486	JPMC		9/19/2018		3,334,633
USD	2,368,358	PLN	8,800,000	CITI		9/19/2018		15,968
USD	3,552,532	PLN	13,200,000	JPMC		9/19/2018		23,947
USD	97,841,869	SEK	850,350,106	CITI		9/19/2018		2,321,754
USD	146,762,621	SEK	1,275,525,162	JPMC		9/19/2018		3,482,447
USD	26,238,571	SGD	35,151,000	CITI		9/19/2018		395,512
USD	39,357,806	SGD	52,726,499	JPMC		9/19/2018		593,220
USD	1,870,829	THB	59,773,200	CITI		9/19/2018		62,369
USD	2,806,239	THB	89,659,800	JPMC		9/19/2018		93,550
USD	8,637,692	TRY	40,405,180	CITI		9/19/2018		135,149
USD	12,962,385	TRY	60,607,770	JPMC		9/19/2018		208,571
USD	27,246,255	TWD	808,605,074	CITI**		9/19/2018		580,724
USD	40,869,331	TWD	1,212,907,610	JPMC**		9/19/2018		871,036
USD	9,844,892	ZAR	132,000,000	CITI		9/19/2018		321,182
USD	14,762,707	ZAR	198,000,000	JPMC		9/19/2018		477,144
USD	52,025,870	ILS	184,362,834	CITI		9/20/2018		1,341,744
USD	78,038,709	ILS	276,544,257	JPMC		9/20/2018		2,012,519
Total unrealized appreciation								56,934,057
AUD	122,767,996	USD	93,365,437	CITI		9/19/2018		(2,489,132	)
AUD	184,151,993	USD	140,048,330	JPMC		9/19/2018		(3,733,874	)
BRL	138,400,000	USD	36,629,343	CITI**		9/19/2018		(1,212,488	)
BRL	207,600,000	USD	54,944,083	JPMC**		9/19/2018		(1,818,801	)
CAD	700,286,946	USD	542,132,836	CITI		9/19/2018		(8,732,031	)
CAD	1,050,430,404	USD	813,200,260	JPMC		9/19/2018		(13,099,061	)
CHF	12,333,600	USD	12,600,132	CITI		9/19/2018		(59,656	)
CHF	18,500,400	USD	18,900,748	JPMC		9/19/2018		(90,034	)
CNY	508,514,000	USD	79,156,810	CITI**		9/19/2018		(2,735,282	)
CNY	762,771,000	USD	118,735,364	JPMC**		9/19/2018		(4,103,072	)
EUR	100,396,086	USD	118,583,873	CITI		9/19/2018		(635,037	)
EUR	150,594,135	USD	177,876,039	JPMC		9/19/2018		(952,778	)
GBP	140,342,497	USD	188,485,508	CITI		9/19/2018		(2,610,719	)
GBP	210,513,752	USD	282,728,624	JPMC		9/19/2018		(3,916,433	)
HKD	158,344,800	USD	20,220,398	CITI		9/19/2018		(10,801	)
HKD	237,517,200	USD	30,330,635	JPMC		9/19/2018		(16,241	)
HUF	4,504,400,000	USD	16,637,906	CITI		9/19/2018		(589,437	)
HUF	6,756,600,000	USD	24,956,891	JPMC		9/19/2018		(884,185	)
INR	1,688,000,000	USD	24,733,794	CITI**		9/19/2018		(347,687	)
INR	2,532,000,000	USD	37,100,738	JPMC**		9/19/2018		(521,576	)
JPY	13,723,954,800	USD	126,166,375	CITI		9/19/2018		(1,517,280	)
JPY	20,585,932,200	USD	189,249,799	JPMC		9/19/2018		(2,276,156	)
KRW	37,600,000,000	USD	34,771,584	CITI**		9/19/2018		(924,553	)
KRW	56,400,000,000	USD	52,157,441	JPMC**		9/19/2018		(1,386,894	)
MXN	725,062,688	USD	36,189,875	CITI		9/19/2018		(135,193	)
MXN	1,087,594,032	USD	54,284,880	JPMC		9/19/2018		(202,857	)
PLN	137,600,000	USD	37,508,417	CITI		9/19/2018		(725,587	)
PLN	206,400,000	USD	56,262,581	JPMC		9/19/2018		(1,088,334	)
SGD	22,820,800	USD	17,031,094	CITI		9/19/2018		(253,215	)
SGD	34,231,200	USD	25,546,673	JPMC		9/19/2018		(379,853	)
THB	59,773,200	USD	1,872,370	CITI		9/19/2018		(63,909	)
THB	89,659,800	USD	2,808,558	JPMC		9/19/2018		(95,868	)
TRY	17,600,000	USD	3,750,112	CITI		9/19/2018		(46,509	)
TRY	26,400,000	USD	5,624,257	JPMC		9/19/2018		(68,853	)

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

AQR Funds Semi-Annual Report June 2018

191

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
TWD	104,000,000	USD	3,507,133	CITI**		9/19/2018		$ (77,505	)
TWD	156,000,000	USD	5,260,706	JPMC**		9/19/2018		(116,263	)
USD	17,609,944	AUD	23,857,600	CITI		9/19/2018		(50,119	)
USD	26,414,883	AUD	35,786,400	JPMC		9/19/2018		(75,211	)
USD	7,672,664	BRL	30,066,982	CITI**		9/19/2018		(21,541	)
USD	11,508,982	BRL	45,100,472	JPMC**		9/19/2018		(32,325	)
USD	154,000,672	CAD	203,062,800	CITI		9/19/2018		(670,014	)
USD	231,000,719	CAD	304,594,200	JPMC		9/19/2018		(1,005,309	)
USD	75,921,681	CHF	74,851,214	CITI		9/19/2018		(185,039	)
USD	113,882,374	CHF	112,276,816	JPMC		9/19/2018		(277,700	)
USD	673,187	DKK	4,308,970	CITI		9/19/2018		(6,487	)
USD	1,009,779	DKK	6,463,453	JPMC		9/19/2018		(9,732	)
USD	73,611,089	EUR	62,949,600	CITI		9/19/2018		(344,304	)
USD	110,416,495	EUR	94,424,400	JPMC		9/19/2018		(516,594	)
USD	46,985,465	GBP	35,524,000	CITI		9/19/2018		(63,833	)
USD	70,478,109	GBP	53,286,000	JPMC		9/19/2018		(95,838	)
USD	5,523,559	HKD	43,292,000	CITI		9/19/2018		(1,812	)
USD	8,285,328	HKD	64,938,000	JPMC		9/19/2018		(2,728	)
USD	3,553,153	HUF	1,000,000,000	CITI		9/19/2018		(9,690	)
USD	5,329,723	HUF	1,500,000,000	JPMC		9/19/2018		(14,542	)
USD	47,394,662	MXN	976,000,000	CITI		9/19/2018		(1,138,203	)
USD	71,091,904	MXN	1,464,000,000	JPMC		9/19/2018		(1,707,393	)
USD	14,121,837	NOK	115,398,840	CITI		9/19/2018		(92,384	)
USD	21,182,728	NOK	173,098,259	JPMC		9/19/2018		(138,603	)
USD	960,215	PLN	3,600,000	CITI		9/19/2018		(2,127	)
USD	1,440,320	PLN	5,400,000	JPMC		9/19/2018		(3,192	)
USD	610,055	SGD	832,000	CITI		9/19/2018		(1,632	)
USD	915,082	SGD	1,248,000	JPMC		9/19/2018		(2,450	)
USD	29,323,050	TRY	143,600,000	CITI		9/19/2018		(894,984	)
USD	43,984,520	TRY	215,400,000	JPMC		9/19/2018		(1,342,532	)
USD	2,295,197	ZAR	32,000,000	CITI		9/19/2018		(13,580	)
USD	3,442,791	ZAR	48,000,000	JPMC		9/19/2018		(20,376	)
ZAR	388,000,000	USD	30,484,812	CITI		9/19/2018		(2,490,880	)
ZAR	582,000,000	USD	45,727,275	JPMC		9/19/2018		(3,736,375	)
Total unrealized depreciation								(72,884,683	)
Net unrealized depreciation							$	(15,950,626	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps Outstanding at June 30, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the NIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap.	24 months maturity 02/18/2020		$45,361,869		$1,517,719			$568,917			$2,086,636
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-2.67%), which is denominated in USD based on the local currencies of the positions within the swap.	12-25 months maturity ranging from 07/01/2019 - 06/17/2020		$18,761,602		$(18,761,590	)		$(1,547	)		$(18,763,137	)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.84% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	59-61 months maturity ranging from 04/19/2023 - 06/30/2023		$4,136,653,719		$(79,997,583	)		$(15,612,979	)		$(95,610,562	)

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
United States
AbbVie, Inc.		347,330	$	32,180,124	$	(326,490	)		0.3	%
Aflac, Inc.		1,355,002		58,292,186		(2,928,666	)		3.1
Allstate Corp. (The)		395,461		36,093,725		(2,541,146	)		2.7
Ameriprise Financial, Inc.		245,696		34,367,956		(1,029,466	)		1.1
Amgen, Inc.		180,374		33,295,237		1,751,432			(1.8	)
Arrow Electronics, Inc.		351,158		26,435,174		(606,090	)		0.6
Biogen, Inc.		222,936		64,704,945		4,517,504			(4.7	)
Carnival Corp.		413,194		23,680,148		(2,834,511	)		3.0

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Charles River Laboratories International, Inc.		217,225		$	24,385,678		$	923,206			(1.0	) %
Consolidated Edison, Inc.		657,363			51,261,167			402,745			(0.4	)
Constellation Brands, Inc.		160,501			35,128,854			(2,011,078	)		2.1
Estee Lauder Cos., Inc. (The)		415,191			59,243,604			(3,752,638	)		3.9
Everest Re Group Ltd.		115,779			26,684,744			(1,962,454	)		2.1
Exelon Corp.		1,738,356			74,053,966			5,804,242			(6.1	)
FedEx Corp.		234,482			53,241,483			(5,306,466	)		5.6
Gilead Sciences, Inc.		614,781			43,551,086			(2,846,436	)		3.0
IQVIA Holdings, Inc.		603,111			60,202,540			611,185			(0.6	)
Lear Corp.		164,415			30,549,951			(1,951,606	)		2.0
LyondellBasell Industries NV		670,816			73,689,138			2,555,809			(2.7	)
Pfizer, Inc.		1,166,907			42,335,386			(58,345	)		0.1
Reinsurance Group of America, Inc.		207,104			27,644,242			(4,057,167	)		4.2
Tyson Foods, Inc.		556,217			38,295,540			(1,446,164	)		1.5
United Therapeutics Corp.		213,906			24,203,464			(201,072	)		0.2
Vistra Energy Corp.		1,463,510			34,626,647			1,917,198			(2.0	)
Walmart, Inc.		549,434			47,059,022			(1,236,227	)		1.3
Western Digital Corp.		496,398			38,426,169			(6,929,716	)		7.2
Westlake Chemical Corp.		244,587			26,324,899			(963,673	)		1.0
Short Positions
Common Stock
United States
Albemarle Corp.		(281,068	)		(26,513,144	)		646,456			(0.7	)
Altria Group, Inc.		(434,251	)		(24,661,114	)		43,750			(0.0	)
American Airlines Group, Inc.		(919,321	)		(34,897,425	)		6,228,805			(6.5	)
Axalta Coating Systems Ltd.		(937,932	)		(28,428,719	)		2,007,174			(2.1	)
Ball Corp.		(1,078,107	)		(38,326,704	)		6,317,707			(6.6	)
BioMarin Pharmaceutical, Inc.		(541,267	)		(50,987,351	)		(5,456,260	)		5.7
CenturyLink, Inc.		(4,073,077	)		(75,922,155	)		(4,123,137	)		4.3
Charles Schwab Corp. (The)		(476,643	)		(24,356,457	)		1,196,374			(1.3	)
Charter Communications, Inc.		(133,683	)		(39,197,192	)		(888,707	)		0.9
Citigroup, Inc.		(375,242	)		(25,111,195	)		134,950			(0.1	)
Dominion Energy, Inc.		(413,756	)		(28,209,884	)		(1,030,252	)		1.1
FirstEnergy Corp.		(2,074,526	)		(74,496,229	)		(1,763,347	)		1.8
Incyte Corp.		(394,938	)		(26,460,846	)		736,770			(0.8	)
Kraft Heinz Co. (The)		(819,240	)		(51,464,657	)		(3,353,393	)		3.5
Martin Marietta Materials, Inc.		(187,764	)		(41,933,334	)		(3,945,900	)		4.1
Mattel, Inc.		(2,458,907	)		(40,375,253	)		(5,139,116	)		5.4
Monster Beverage Corp.		(553,853	)		(31,735,777	)		(1,215,622	)		1.3
Philip Morris International, Inc.		(651,668	)		(52,615,674	)		1,260,524			(1.3	)
Sealed Air Corp.		(1,202,953	)		(51,065,355	)		3,380,298			(3.5	)
Southwest Airlines Co.		(561,191	)		(28,553,398	)		800,500			(0.8	)
Tesla, Inc.		(94,768	)		(32,500,686	)		(5,663,178	)		5.9
Vulcan Materials Co.		(586,283	)		(75,665,684	)		(6,592,660	)		6.9
Zayo Group Holdings, Inc.		(894,770	)		(32,641,210	)		(53,686	)		0.1

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

AQR Funds Semi-Annual Report June 2018

194

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

GSIN

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread (-0.18% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.

61 months maturity ranging from 04/19/2023 - 06/07/2023

$79,998,539

$(422,453

)

$301,578

$(120,875

)

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
Hong Kong
CK Hutchison Holdings Ltd.		748,000		$	7,918,345		$	(709,203	)		586.7	%
CLP Holdings Ltd.		1,098,500			11,832,372			502,498			(415.7	)
Henderson Land Development Co. Ltd.		481,800			2,540,665			(267,394	)		221.2
HKT Trust & HKT Ltd.		2,178,000			2,778,287			(64,376	)		53.3
Hong Kong & China Gas Co. Ltd.		726,000			1,387,774			(21,395	)		17.7
Li & Fung Ltd.		10,540,000			3,860,622			(967,798	)		800.7
Melco International Development Ltd.		1,058,000			3,245,523			(398,478	)		329.7
SJM Holdings Ltd.		855,000			1,060,398			256,144			(211.9	)
WH Group Ltd.		912,500			738,383			(148,117	)		122.5
Yue Yuen Industrial Holdings Ltd.		1,680,000			4,735,361			(343,304	)		284.0
Short Positions
Common Stock
China
Guotai Junan International Holdings Ltd.		(2,662,000	)		(573,752	)		184,711			(152.8	)
Minth Group Ltd.		(960,000	)		(4,060,523	)		445,867			(368.9	)
Hong Kong
AIA Group Ltd.		(2,762,800	)		(24,067,887	)		18,179			(15.0	)
ASM Pacific Technology Ltd.		(259,200	)		(3,266,835	)		197,769			(163.6	)
Techtronic Industries Co. Ltd.		(589,000	)		(3,271,243	)		5,789			(4.8	)
Wharf Real Estate Investment Co. Ltd.		(78,000	)		(553,859	)		61,396			(50.8	)
Xinyi Glass Holdings Ltd.		(2,884,000	)		(3,498,129	)		714,277			(590.9	)
Macau
MGM China Holdings Ltd.		(263,200	)		(608,581	)		110,982			(91.8	)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

GSIN

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Tokyo Overnight Average Rate (“TONAR”) or LIBOR plus or minus a specified spread (-0.23% to 0.03%), which is denominated in JPY based on the local currencies of the positions within the swap.

60-61 months maturity ranging from 04/20/2023 - 06/23/2023

$1,531,671,374

$(5,091,859

)

$1,877,015

$(3,214,844

)

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
Japan
Astellas Pharma, Inc.		783,500		$	11,923,760		$	608,487			(18.9	)%
Central Japan Railway Co.		78,500			16,251,803			1,693,435			(52.7	)
East Japan Railway Co.		112,800			10,802,337			661,383			(20.6	)
Haseko Corp.		1,004,000			13,838,235			(870,920	)		27.1
Idemitsu Kosan Co. Ltd.		506,900			18,026,180			462,161			(14.4	)
Inpex Corp.		2,792,900			29,006,732			(6,500,346	)		202.2
ITOCHU Corp.		1,453,600			26,289,570			(1,473,573	)		45.8
Japan Airlines Co. Ltd.		528,300			18,718,237			(1,527,224	)		47.5
JFE Holdings, Inc.		757,400			14,305,547			(1,092,508	)		34.0
JXTG Holdings, Inc.		9,795,300			67,957,615			7,314,697			(227.5	)
Kajima Corp.		1,791,000			13,838,448			(2,136,377	)		66.5
KDDI Corp.		388,800			10,631,702			852,928			(26.5	)
Marubeni Corp.		4,725,300			35,975,539			2,211,540			(68.8	)
Mazda Motor Corp.		1,013,900			12,437,109			(922,249	)		28.7
Mitsubishi Corp.		1,216,200			33,724,098			1,493,719			(46.5	)
Mitsui & Co. Ltd.		1,194,900			19,897,824			(301,077	)		9.4
Nippon Telegraph & Telephone Corp.		384,300			17,457,985			(257,865	)		8.0
Nissan Motor Co. Ltd.		1,712,900			16,666,850			(803,849	)		25.0
Obayashi Corp.		1,499,700			15,572,019			(3,875	)		0.1
Sojitz Corp.		4,419,700			16,006,493			1,850,495			(57.6	)
Sumitomo Corp.		933,100			15,302,680			(394,677	)		12.3
Suzuki Motor Corp.		247,600			13,644,770			583,409			(18.1	)
Taisei Corp.		314,900			17,341,371			2,048,243			(63.7	)
Tokyo Electric Power Co. Holdings, Inc.		4,947,300			23,032,391			1,611,150			(50.1	)
West Japan Railway Co.		156,300			11,507,489			911,530			(28.4	)
Short Positions
Common Stock
Japan
Advantest Corp.		(979,800	)		(20,323,884	)		(285,486	)		8.9
Aeon Co. Ltd.		(750,400	)		(16,052,738	)		(2,217,007	)		69.0
Calbee, Inc.		(296,600	)		(11,157,379	)		(1,296,529	)		40.3
Daifuku Co. Ltd.		(259,600	)		(11,342,361	)		2,591,671			(80.6	)
Daikin Industries Ltd.		(150,100	)		(17,938,916	)		(1,073,612	)		33.4

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

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196

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Fast Retailing Co. Ltd.		(94,500	)	$	(43,312,726	)	$	(3,690,333	)		114.8	%
Isetan Mitsukoshi Holdings Ltd.		(994,400	)		(12,406,031	)		(1,993,517	)		62.0
Kakaku.com, Inc.		(493,400	)		(11,110,370	)		(2,446,601	)		76.1
Kikkoman Corp.		(277,000	)		(13,985,354	)		(3,131,695	)		97.4
M3, Inc.		(278,400	)		(11,071,481	)		318,047			(9.9	)
NGK Spark Plug Co. Ltd.		(391,400	)		(11,127,021	)		(2,050,369	)		63.8
Nidec Corp.		(405,800	)		(60,703,493	)		(205,154	)		6.4
Nintendo Co. Ltd.		(39,500	)		(12,893,951	)		2,942,150			(91.5	)
Nippon Paint Holdings Co. Ltd.		(379,600	)		(16,324,750	)		(2,032,887	)		63.2
Pigeon Corp.		(234,600	)		(11,400,890	)		(962,976	)		30.0
Renesas Electronics Corp.		(1,179,700	)		(11,532,524	)		239,429			(7.4	)
Shimano, Inc.		(73,800	)		(10,829,755	)		(1,182,135	)		36.8
Shiseido Co. Ltd.		(162,600	)		(12,903,284	)		(2,423,746	)		75.4
SoftBank Group Corp.		(286,700	)		(20,472,717	)		200,441			(6.2	)
Sony Financial Holdings, Inc.		(763,000	)		(14,537,516	)		(1,152,128	)		35.8
SUMCO Corp.		(1,793,700	)		(36,025,462	)		8,227,352			(255.9	)
T&D Holdings, Inc.		(698,200	)		(10,471,652	)		102,420			(3.2	)
Tokio Marine Holdings, Inc.		(272,000	)		(12,725,043	)		(660,641	)		20.5
Tokyo Electron Ltd.		(60,400	)		(10,367,860	)		706,301			(22.0	)
Yaskawa Electric Corp.		(1,402,700	)		(49,396,229	)		10,086,383			(313.7	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or Australian Overnight Indexed Swap Rate (“AOISR”) plus or minus a specified spread (-0.10% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/19/2023 - 06/30/2023		$60,583,798		$1,814,246		$(239,834	)		$1,574,412

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
Australia
Fortescue Metals Group Ltd.		1,329,974	$	4,318,390	$	(205,120	)		(13.0	)%
Newcrest Mining Ltd.		421,882		6,850,158		573,289			36.4
South32 Ltd.		49,986		133,479		651			0.0
Woodside Petroleum Ltd.		744,299		19,505,465		2,819,445			179.1

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

AQR Funds Semi-Annual Report June 2018

197

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Australia
Alumina Ltd.		(2,042,175	)	$	(4,226,047	)	$	(211,644	)		(13.4	) %
AMP Ltd.		(1,539,002	)		(4,047,886	)		372,569			23.7
APA Group		(653,252	)		(4,759,218	)		(844,756	)		(53.7	)
Domino’s Pizza Enterprises Ltd.		(35,518	)		(1,371,725	)		(309,343	)		(19.6	)
Healthscope Ltd.		(1,435,396	)		(2,342,140	)		(217,741	)		(13.8	)
Qantas Airways Ltd.		(862,411	)		(3,927,075	)		(134,739	)		(8.6	)
QBE Insurance Group Ltd.		(789,703	)		(5,685,271	)		124,596			7.9
SEEK Ltd.		(81,497	)		(1,313,333	)		(176,661	)		(11.2	)
Tabcorp Holdings Ltd.		(218,678	)		(720,894	)		(21,313	)		(1.4	)
Ireland
James Hardie Industries plc		(82,471	)		(1,382,717	)		45,013			2.9

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 (-3.00% to 0.30%), which is denominated in GBP based on the local currencies of the positions within the swap.	31-39 months maturity 01/14/2021		$369,807,648		$1,521,844		$(263,729	)		$1,258,115

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
Australia
BHP Billiton plc		354,378	$	7,953,105	$	529,615			42.1	%
Rio Tinto plc		84,589		4,662,420		73,909			5.9
Germany
TUI AG		234,760		5,134,670		997,702			79.3
Russia
Evraz plc		495,447		3,306,825		246,423			19.6
South Africa
Anglo American plc		507,017		11,256,249		(656,446	)		(52.2	)
Investec plc		420,823		2,975,533		85,204			6.8
United Kingdom
Barratt Developments plc		2,176,691		14,755,596		(3,084,414	)		(245.2	)
Beazley plc		137,498		1,059,559		55,710			4.4
Bellway plc		322,333		12,734,015		(2,352,583	)		(187.0	)
Berkeley Group Holdings plc		423,660		21,103,774		543,373			43.2
BT Group plc		2,484,745		7,128,102		(1,166,977	)		(92.8	)

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

AQR Funds Semi-Annual Report June 2018

198

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom (continued)
Close Brothers Group plc		181,664		$	3,546,413		$	313,785			24.9	%
Greene King plc		654,491			4,957,816			397,984			31.6
Hays plc		895,195			2,198,328			13,265			1.1
Howden Joinery Group plc		561,111			3,956,913			542,027			43.1
Indivior plc		735,443			3,703,320			(4,218	)		(0.3	)
Intermediate Capital Group plc		152,183			2,204,660			308,260			24.5
Kingfisher plc		726,784			2,842,168			(227,134	)		(18.1	)
Marks & Spencer Group plc		591,184			2,296,435			(69,940	)		(5.6	)
Persimmon plc		541,714			18,044,326			(1,718,372	)		(136.6	)
Playtech plc		205,709			2,039,782			(163,101	)		(13.0	)
Royal Mail plc		1,342,557			8,931,928			2,375,142			188.8
Taylor Wimpey plc		4,964,227			11,685,900			(1,254,577	)		(99.7	)
Travis Perkins plc		281,997			5,284,250			(392,551	)		(31.2	)
Whitbread plc		85,140			4,438,131			411,550			32.7
William Hill plc		1,547,777			6,181,779			196,310			15.6
Short Positions
Common Stock
United Kingdom
AstraZeneca plc		(94,435	)		(6,531,803	)		(307,306	)		(24.4	)
B&M European Value Retail SA		(483,546	)		(2,568,774	)		(72,333	)		(5.7	)
Barclays plc		(704,978	)		(1,742,519	)		68,298			5.4
British American Tobacco plc		(688,404	)		(34,677,237	)		10,675,655			848.5
Capita plc		(1,951,610	)		(4,102,022	)		4,332,377			344.4
Cobham plc		(2,084,255	)		(3,524,318	)		93,089			7.4
ConvaTec Group plc		(1,928,214	)		(5,383,105	)		(528,554	)		(42.0	)
easyJet plc		(55,653	)		(1,224,360	)		(19,106	)		(1.5	)
Experian plc		(230,660	)		(5,690,065	)		(841,000	)		(66.8	)
IMI plc		(173,423	)		(2,580,712	)		347,366			27.6
Imperial Brands plc		(64,793	)		(2,406,290	)		(70,493	)		(5.6	)
Intertek Group plc		(49,408	)		(3,715,016	)		(254,697	)		(20.2	)
John Wood Group plc		(339,326	)		(2,802,154	)		440,099			35.0
Just Eat plc		(258,376	)		(2,649,512	)		204,328			16.2
Micro Focus International plc		(123,211	)		(2,137,874	)		60,538			4.8
Old Mutual Ltd.		(1,631,951	)		(3,226,307	)		2,000,752			159.0
Prudential plc		(864,237	)		(19,701,425	)		1,405,208			111.7
Quilter plc		(543,983	)		(1,040,412	)		(1,033,902	)		(82.2	)
Reckitt Benckiser Group plc		(175,505	)		(14,420,339	)		(628,706	)		(50.0	)
Rolls-Royce Holdings plc		(498,309	)		(6,490,514	)		(170,440	)		(13.5	)
RSA Insurance Group plc		(558,895	)		(4,998,372	)		(532,197	)		(42.3	)
Standard Chartered plc		(1,064,727	)		(9,671,356	)		671,183			53.3
Tesco plc		(10,514,710	)		(35,577,530	)		(10,710,028	)		(851.3	)
Weir Group plc (The)		(93,757	)		(2,462,269	)		(67,805	)		(5.4	)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-7.13% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	17-24 months maturity 11/12/2019	$952,833,125		$9,815,140		$(2,325,859	)		$7,489,281

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
Belgium
Ageas		178,830	$	9,002,852	$	77,465			1.0	%
KBC Group NV		185,179		14,221,766		(1,446,206	)		(19.3	)
Finland
Fortum OYJ		206,320		4,914,361		395,069			5.3
Neste OYJ		338,815		26,508,503		3,631,564			48.5
UPM-Kymmene OYJ		363,092		12,927,928		1,506,666			20.1
France
Air France-KLM		687,426		5,617,772		(3,758,506	)		(50.2	)
Atos SE		83,598		11,367,395		(1,397,104	)		(18.7	)
Cie Generale des Etablissements Michelin SCA		119,288		14,431,234		(2,872,416	)		(38.4	)
Engie SA		2,068,339		31,638,356		(2,462,269	)		(32.9	)
Peugeot SA		742,338		16,914,377		(392,040	)		(5.2	)
Renault SA		308,813		26,163,087		(5,667,784	)		(75.7	)
Thales SA		107,591		13,842,001		2,661,290			35.5
TOTAL SA		686,315		41,677,004		3,999,985			53.4
Germany
Aurubis AG		111,504		8,511,582		(1,155,719	)		(15.4	)
Bayerische Motoren Werke AG		184,311		16,660,326		(2,922,864	)		(39.0	)
Covestro AG		203,709		18,106,391		(1,844,967	)		(24.6	)
Daimler AG (Registered)		216,503		13,868,556		(4,165,090	)		(55.6	)
Deutsche Lufthansa AG (Registered)		1,083,886		25,967,342		(8,389,578	)		(112.0	)
Evonik Industries AG		161,562		5,527,638		(454,225	)		(6.1	)
Hannover Rueck SE		73,807		9,175,815		(100,130	)		(1.3	)
Software AG		158,858		7,383,286		(1,228,764	)		(16.4	)
Volkswagen AG (Preference)		124,106		20,503,587		(4,105,813	)		(54.8	)
Netherlands
Aegon NV		3,441,074		20,545,331		(1,682,009	)		(22.5	)
ASR Nederland NV		228,466		9,303,340		205,321			2.7
NN Group NV		509,556		20,665,767		(779,834	)		(10.4	)
Signify NV		209,809		5,428,085		(2,148,068	)		(28.7	)
Wolters Kluwer NV		194,794		10,942,890		2,054,409			27.4
Spain
Amadeus IT Group SA		148,212		11,654,274		1,590,557			21.2
Endesa SA		758,456		16,679,664		1,559,956			20.8
Iberdrola SA		1,306,597		10,076,159		459,546			6.1

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Belgium
Anheuser-Busch InBev SA/NV		(167,777	)	$	(16,922,825	)	$	(294,928	)		(3.9	) %
Galapagos NV		(129,996	)		(11,972,301	)		1,636,533			21.9
Finland
Nokia OYJ		(2,855,185	)		(16,377,001	)		(1,560,756	)		(20.8	)
France
Accor SA		(263,987	)		(12,929,010	)		(12,179	)		(0.2	)
Airbus SE		(420,140	)		(49,028,161	)		(6,864,521	)		(91.7	)
Carrefour SA		(653,725	)		(10,545,191	)		2,929,119			39.1
Edenred		(482,815	)		(15,250,534	)		(1,193,575	)		(15.9	)
Iliad SA		(80,300	)		(12,670,145	)		4,506,069			60.2
Ingenico Group SA		(99,896	)		(8,957,106	)		216,151			2.9
Remy Cointreau SA		(42,641	)		(5,520,477	)		66,929			0.9
Vivendi SA		(1,301,383	)		(31,835,615	)		515,232			6.9
Germany
Commerzbank AG		(2,010,074	)		(19,174,796	)		8,791,893			117.4
Deutsche Bank AG (Registered)		(4,318,642	)		(46,202,879	)		28,610,824			382.0
Deutsche Telekom AG (Registered)		(313,418	)		(4,843,690	)		268,678			3.6
Telefonica Deutschland Holding AG		(1,446,246	)		(5,689,475	)		1,146,808			15.3
Netherlands
ALTICE EUROPE NV		(2,196,244	)		(8,914,561	)		10,474,879			139.9
Koninklijke KPN NV		(4,279,392	)		(11,636,433	)		976,905			13.0
Spain
Bankia SA		(2,002,016	)		(7,465,659	)		1,545,358			20.6
Cellnex Telecom SA		(701,277	)		(17,631,134	)		(1,517,465	)		(20.3	)
Industria de Diseno Textil SA		(1,365,384	)		(46,496,949	)		(5,033,413	)		(67.2	)

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

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201

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap.	21-24 months maturity 02/18/2020	$57,015,976		$3,672,085		$(381,950	)		$3,290,135

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
Denmark
Danske Bank A/S		381,011		$	11,869,977		$	(2,626,494	)		(79.8	)%
GN Store Nord A/S		48,291			2,194,160			707,912			21.5
H Lundbeck A/S		111,231			7,795,791			2,419,156			73.5
Jyske Bank A/S (Registered)		45,660			2,495,772			77,328			2.4
Orsted A/S		69,733			4,213,348			(114,110	)		(3.5	)
Pandora A/S		14,565			1,015,143			(132,804	)		(4.0	)
William Demant Holding A/S		50,663			2,033,211			595,959			18.1
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(4,243	)		(5,249,015	)		1,389,414			42.2
FLSmidth & Co. A/S		(34,156	)		(2,037,961	)		35,334			1.1
Genmab A/S		(113,907	)		(17,526,661	)		1,360,173			41.3
Novozymes A/S		(11,565	)		(584,937	)		(39,783	)		(1.2	)

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

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202

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SARON plus or minus a specified spread (-9.00% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap.	15 months maturity 05/16/2019	$127,389,833		$10,581,262		$(5,313	)		$10,575,949

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
Switzerland
Adecco Group AG (Registered)		23,224		$	1,370,544		$	(330,897	)		(3.1	)%
DKSH Holding AG		8,274			581,692			(74,182	)		(0.7	)
dormakaba Holding AG		922			644,089			(131,698	)		(1.2	)
Georg Fischer AG (Registered)		5,947			7,594,227			(20,622	)		(0.2	)
Helvetia Holding AG (Registered)		3,938			2,246,581			76,628			0.7
Kuehne + Nagel International AG (Registered)		13,066			1,961,487			(163,829	)		(1.5	)
Lonza Group AG (Registered)		21,699			5,733,885			656,734			6.2
Partners Group Holding AG		12,170			8,896,829			559,477			5.3
Roche Holding AG		26,160			5,803,810			15,236			0.1
Sika AG (Registered)		17,040			2,354,410			173,784			1.6
Sonova Holding AG (Registered)		12,196			2,181,664			398,102			3.8
Swiss Life Holding AG (Registered)		38,637			13,397,441			312,398			3.0
Swiss Re AG		37,233			3,250,771			(271,216	)		(2.6	)
Zurich Insurance Group AG		17,222			5,093,063			(121,819	)		(1.2	)
Short Positions
Common Stock
Austria
ams AG		(133,715	)		(9,916,322	)		4,584,926			43.4
Switzerland
Aryzta AG		(42,976	)		(642,833	)		318,692			3.0
Chocoladefabriken Lindt & Spruengli AG		(260	)		(1,685,222	)		(220,944	)		(2.1	)
Credit Suisse Group AG (Registered)		(2,504,740	)		(37,453,572	)		5,810,287			54.9
Dufry AG (Registered)		(19,277	)		(2,451,705	)		175,226			1.7
Idorsia Ltd.		(113,152	)		(2,985,619	)		(129,139	)		(1.2	)
OC Oerlikon Corp. AG (Registered)		(299,210	)		(4,558,385	)		97,635			0.9
Vifor Pharma AG		(41,286	)		(6,585,682	)		(1,133,517	)		(10.7	)

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

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203

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE	NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread (-0.50% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap.	20-24 months maturity 02/18/2020	$117,222,923		$(15,433,556	)		$79,737		$(15,353,819	)

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
Malta
Kindred Group plc		85,788		$	1,074,732		$	(50,321	)		0.3	%
Sweden
BillerudKorsnas AB		38,308			539,992			(16,798	)		0.1
Boliden AB		826,942			26,688,301			265,976			(1.7	)
Electrolux AB		260,192			5,904,697			(1,659,850	)		10.8
Essity AB		174,944			4,303,899			(27,260	)		0.2
Husqvarna AB		89,830			849,805			(4,465	)		0.0
NCC AB		34,430			570,900			(25,102	)		0.2
Nordea Bank AB		361,254			3,465,361			(133,338	)		0.9
Saab AB		18,912			783,186			8,552			(0.1	)
Securitas AB		209,586			3,436,803			230,575			(1.5	)
Skandinaviska Enskilda Banken AB		171,834			1,626,302			(212,090	)		1.4
SSAB AB		728,982			3,428,287			(517,858	)		3.4
Swedbank AB		161,614			3,443,387			(155,212	)		1.0
Volvo AB		143,625			2,282,650			(130,928	)		0.9
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(77,818	)		(4,573,530	)		270,002			(1.8	)
Sweden
Telefonaktiebolaget LM Ericsson		(7,041,752	)		(54,251,091	)		(13,275,439	)		86.5

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

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204

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—			$99,759,580		$99,759,580
U.S. Treasury Bills		—			24,695,680		24,695,680
CITI
Investment Companies		30,979,651			—		30,979,651
GSCO
Cash		—			23,114,902		23,114,902
U.S. Treasury Bills		—			48,158,370		48,158,370
GSIN
Cash		(1,050,000	)		—		(1,050,000	)
Investment Companies		591,122,223			—		591,122,223
JPMC
Investment Companies		108,369,609			—		108,369,609
JPMS
Cash		—			17,351,092		17,351,092
MLIN
Cash		25,340,000			—		25,340,000
MSCL
Cash		—			8,240,087		8,240,087
MSIP
Cash		207,210,000			—		207,210,000

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Investment Companies		$15,794,183			$—			$15,794,183
GSCO
Cash		—			2,605,413			2,605,413
GSIN
Cash		(470,000	)		—			(470,000	)
JPPC
Cash		—			4,397,053			4,397,053
MACQ
Cash		470,000			—			470,000
MSCL
Cash		—			(11,189,328	)		(11,189,328	)
SOCG
Cash		1,100,000			—			1,100,000

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

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205

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 111.6%
COMMON STOCKS - 16.4%
Belgium - 0.4%
Ageas (a)		7,470	$	376,063
bpost SA (a)		13,429		211,963
KBC Group NV (a)		10,876		835,277
Solvay SA (a)		1,391		175,181
UCB SA (a)		3,077		241,207
				1,839,691
Brazil - 0.0% (b)
Yamana Gold, Inc. (1)(a)		15,346		44,708
Canada - 0.8%
Agnico Eagle Mines Ltd. (1)(a)		400		18,338
Air Canada (1)*(a)		38,327		619,517
ARC Resources Ltd. (1)(a)		7,893		81,533
Bank of Nova Scotia (The ) (1)(a)		707		40,033
Canadian Imperial Bank of Commerce (1)(a)		2,448		212,949
Canadian Natural Resources Ltd. (1)(a)		6,081		219,483
Canadian Tire Corp. Ltd., Class A (1)(a)		1,199		156,504
CGI Group, Inc., Class A (1)*(a)		4,054		256,904
CI Financial Corp. (1)(a)		2,029		36,470
Constellation Software, Inc. (1)(a)		80		62,042
Dollarama, Inc. (1)(a)		6,285		243,627
Empire Co. Ltd., Class A (1)(a)		2,526		50,706
Fairfax Financial Holdings Ltd. (1)(a)		111		62,199
Fortis, Inc. (1)(a)		2,023		64,661
Franco-Nevada Corp. (1)(a)		2,095		152,904
Intact Financial Corp. (1)(a)		1,820		129,095
Kinross Gold Corp. (1)*(a)		55,830		210,215
Linamar Corp. (1)(a)		1,753		77,086
Magna International, Inc. (1)(a)		1,209		70,315
National Bank of Canada (1)(a)		1,842		88,440
Onex Corp. (1)(a)		493		36,184
Peyto Exploration & Development Corp. (1)(a)		9,136		70,328
Seven Generations Energy Ltd., Class A (1)*(a)		4,513		49,742
Sun Life Financial, Inc. (1)(a)		1,424		57,224
Toronto-Dominion Bank (The) (1)(a)		7,988		462,334
Tourmaline Oil Corp. (1)(a)		8,780		156,880
West Fraser Timber Co. Ltd. (1)(a)		1,671		115,018
				3,800,731
Chile - 0.0% (b)
Lundin Mining Corp. (1)(a)		7,163		39,829
China - 0.0% (b)
Yangzijiang Shipbuilding Holdings Ltd.		39,900		26,409
Denmark - 0.4%
Danske Bank A/S (a)		22,454		699,529
GN Store Nord A/S (a)		3,034		137,853
H Lundbeck A/S (a)		6,368		446,311
Jyske Bank A/S (Registered) (a)		2,158		117,956
Orsted A/S (a)(c)		3,480		210,266

INVESTMENTS	SHARES		VALUE
Denmark - 0.4% (continued)
William Demant Holding A/S *(a)		11,923	$	478,495
				2,090,410
Finland - 0.5%
Cargotec OYJ, Class B (a)		1,729		87,239
Fortum OYJ (a)		8,190		195,079
Kesko OYJ, Class B (a)		1,574		96,138
Neste OYJ (a)		17,087		1,336,867
Outokumpu OYJ (a)		27,352		169,407
Sampo OYJ, Class A		251		12,224
UPM-Kymmene OYJ (a)		17,664		628,929
				2,525,883
Germany - 0.4%
Aurubis AG (a)		5,515		420,984
Deutsche Lufthansa AG (Registered) (a)		63,684		1,525,718
				1,946,702
Italy - 1.4%
A2A SpA		290,550		502,923
Assicurazioni Generali SpA (a)		26,390		441,187
Autogrill SpA		9,749		120,415
DiaSorin SpA		370		42,049
Enel SpA (a)		312,901		1,733,840
Eni SpA (a)		52,642		976,055
Hera SpA		47,114		146,600
Intesa Sanpaolo SpA (a)		445,314		1,288,413
Italgas SpA		20,815		114,565
Mediobanca Banca di Credito Finanziario SpA (a)		7,346		67,951
Poste Italiane SpA (c)		101,095		843,803
Terna Rete Elettrica Nazionale SpA (a)		75,617		408,383
UnipolSai Assicurazioni SpA		3,126		6,894
				6,693,078
Japan - 8.5%
Alfresa Holdings Corp. (a)		10,200		239,520
Amada Holdings Co. Ltd. (a)		20,400		195,786
ANA Holdings, Inc. (a)		12,200		447,651
Aozora Bank Ltd. (a)		15,700		595,840
Asahi Glass Co. Ltd. (a)		3,500		136,136
Astellas Pharma, Inc. (a)		41,300		628,527
Central Japan Railway Co. (a)		2,400		496,870
Chubu Electric Power Co., Inc. (a)		14,500		217,419
Citizen Watch Co. Ltd. (a)		5,400		35,409
Daiwa Securities Group, Inc. (a)		17,600		102,007
East Japan Railway Co. (a)		4,500		430,944
Ezaki Glico Co. Ltd. (a)		800		38,429
Fujitsu Ltd. (a)		43,000		260,215
GungHo Online Entertainment, Inc. (a)		48,300		122,717
Hakuhodo DY Holdings, Inc. (a)		2,800		44,895
Haseko Corp. (a)		50,900		701,560
Hino Motors Ltd. (a)		4,300		45,852
Hisamitsu Pharmaceutical Co., Inc. (a)		900		75,834
Hitachi Ltd. (a)		32,000		225,439
Hitachi Metals Ltd. (a)		3,500		36,291
Honda Motor Co. Ltd. (a)		6,900		202,315
Idemitsu Kosan Co. Ltd. (a)		24,500		871,259
Inpex Corp. (a)		151,500		1,573,462

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

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206

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Japan - 8.5% (continued)
Isuzu Motors Ltd. (a)		17,800	$	235,978
Ito En Ltd. (a)		900		41,724
ITOCHU Corp. (a)		70,100		1,267,817
Itochu Techno-Solutions Corp. (a)		11,100		191,472
Izumi Co. Ltd. (a)		500		30,856
Japan Airlines Co. Ltd. (a)		29,300		1,038,130
JFE Holdings, Inc. (a)		38,600		729,065
JXTG Holdings, Inc. (a)		518,100		3,594,464
Kajima Corp. (a)		82,000		633,586
Kaken Pharmaceutical Co. Ltd. (a)		700		35,916
Kamigumi Co. Ltd. (a)		4,500		93,401
Kansai Electric Power Co., Inc. (The) (a)		28,900		421,480
KDDI Corp. (a)		20,400		557,836
Keihan Holdings Co. Ltd.		1,000		35,854
Kirin Holdings Co. Ltd. (a)		4,000		107,220
Kobe Steel Ltd. (a)		7,500		68,539
Konami Holdings Corp. (a)		2,800		142,273
Kuraray Co. Ltd. (a)		12,500		171,918
Kyushu Electric Power Co., Inc. (a)		22,600		252,345
Kyushu Railway Co. (a)		9,800		299,640
Marubeni Corp. (a)		217,100		1,652,867
Maruichi Steel Tube Ltd. (a)		1,000		33,888
Mazda Motor Corp. (a)		55,300		678,343
McDonald’s Holdings Co. Japan Ltd.		1,200		61,192
Mebuki Financial Group, Inc. (a)		11,200		37,569
Medipal Holdings Corp. (a)		10,200		204,890
Mitsubishi Chemical Holdings Corp. (a)		3,600		30,063
Mitsubishi Corp. (a)		55,700		1,544,510
Mitsubishi Gas Chemical Co., Inc. (a)		17,800		402,239
Mitsubishi Heavy Industries Ltd. (a)		1,000		36,351
Mitsubishi Materials Corp. (a)		2,000		54,870
Mitsubishi Tanabe Pharma Corp. (a)		17,000		293,507
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)		27,800		170,424
Mitsui & Co. Ltd. (a)		56,100		934,194
Mitsui Chemicals, Inc. (a)		7,700		204,656
Mitsui OSK Lines Ltd. (a)		900		21,643
Mixi, Inc.		6,000		151,685
Mizuho Financial Group, Inc. (a)		533,800		899,178
Nankai Electric Railway Co. Ltd. (a)		1,200		33,287
Nexon Co. Ltd. *(a)		15,800		229,248
NH Foods Ltd. (a)		1,000		40,426
NHK Spring Co. Ltd. (a)		34,200		321,928
Nippon Electric Glass Co. Ltd. (a)		3,800		105,336
Nippon Express Co. Ltd. (a)		4,700		340,574
Nippon Shokubai Co. Ltd. (a)		1,300		93,886
Nippon Steel & Sumitomo Metal Corp. (a)		16,800		329,400
Nippon Telegraph & Telephone Corp. (a)		19,400		881,303
Nissan Motor Co. Ltd. (a)		107,400		1,045,023
Nisshin Seifun Group, Inc. (a)		1,800		38,140
Nomura Holdings, Inc. (a)		9,600		46,455
Obayashi Corp. (a)		75,300		781,872
Oracle Corp. Japan (a)		3,300		268,967
Osaka Gas Co. Ltd. (a)		20,500		424,472
Otsuka Corp. (a)		5,300		207,481
Otsuka Holdings Co. Ltd. (a)		4,200		203,165
Pola Orbis Holdings, Inc. (a)		16,200		711,917

INVESTMENTS	SHARES		VALUE
Japan - 8.5% (continued)
Resona Holdings, Inc. (a)		86,200	$	459,427
Sekisui House Ltd. (a)		7,500		132,558
Shimamura Co. Ltd. (a)		4,100		360,464
Shimizu Corp. (a)		5,600		57,960
Sojitz Corp. (a)		223,100		807,984
Square Enix Holdings Co. Ltd. (a)		9,200		451,095
Subaru Corp. (a)		9,500		276,308
Sugi Holdings Co. Ltd. (a)		700		40,498
Sumitomo Corp. (a)		42,200		692,073
Sumitomo Dainippon Pharma Co. Ltd. (a)		9,100		192,337
Sumitomo Heavy Industries Ltd. (a)		1,200		40,432
Sumitomo Mitsui Financial Group, Inc. (a)		6,000		234,036
Suzuken Co. Ltd. (a)		2,970		125,600
Suzuki Motor Corp. (a)		11,500		633,743
Taiheiyo Cement Corp. (a)		900		29,607
Taisei Corp. (a)		16,500		908,646
Taisho Pharmaceutical Holdings Co. Ltd. (a)		300		35,095
Toho Gas Co. Ltd. (a)		5,900		204,388
Tohoku Electric Power Co., Inc. (a)		14,000		171,054
Tokyo Broadcasting System Holdings, Inc. (a)		7,800		174,916
Tokyo Electric Power Co. Holdings, Inc. *(a)		243,400		1,133,160
Tokyo Gas Co. Ltd. (a)		14,500		385,008
Tosoh Corp. (a)		21,900		338,622
Toyo Suisan Kaisha Ltd. (a)		4,200		149,850
Toyoda Gosei Co. Ltd. (a)		3,200		80,991
Toyota Motor Corp. (a)		4,500		291,010
Toyota Tsusho Corp. (a)		1,800		60,150
West Japan Railway Co. (a)		6,000		441,746
Yamada Denki Co. Ltd. (a)		61,300		304,506
Yamaguchi Financial Group, Inc. (a)		33,000		371,238
Yamaha Motor Co. Ltd. (a)		1,000		25,104
Yamazaki Baking Co. Ltd. (a)		3,900		102,260
				40,900,706
Luxembourg - 0.0% (b)
Aperam SA (a)		670		28,718
ArcelorMittal (a)		2,115		61,707
				90,425
Malta - 0.0% (b)
Kindred Group plc, SDR		7,772		97,366
Netherlands - 0.9%
ABN AMRO Group NV, CVA (a)(c)		3,823		98,870
Aegon NV (a)		159,281		951,006
Akzo Nobel NV (a)		1,416		120,774
ASM International NV (a)		5,826		321,028
ASR Nederland NV (a)		9,783		398,373
Koninklijke Ahold Delhaize NV (a)		13,033		311,197
NN Group NV (a)		25,772		1,045,219
Signify NV (a)(c)		10,675		276,179
Wolters Kluwer NV (a)		13,235		743,499
				4,266,145

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

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207

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Norway - 0.4%
DNB ASA (a)		16,441	$	320,157
Equinor ASA (a)		14,842		392,460
Gjensidige Forsikring ASA (a)		2,285		37,409
Leroy Seafood Group ASA (a)		27,578		185,773
Marine Harvest ASA (a)		43,754		869,956
Norsk Hydro ASA (a)		9,100		54,320
Salmar ASA (a)		1,995		83,678
				1,943,753
Singapore - 0.0% (b)
Genting Singapore Ltd.		34,700		31,071
Venture Corp. Ltd.		600		7,839
				38,910
Spain - 1.1%
Acerinox SA (a)		2,348		31,025
ACS Actividades de Construccion y Servicios SA (a)		1,006		40,588
Almirall SA (a)		2,237		29,899
Amadeus IT Group SA (a)		5,268		414,236
Bankinter SA (a)		12,004		116,475
Ebro Foods SA (a)		13,078		304,844
Endesa SA (a)		39,660		872,186
Gas Natural SDG SA (a)		4,181		110,528
Iberdrola SA (a)		78,317		603,962
Red Electrica Corp. SA (a)		1,876		38,113
Repsol SA (a)		135,869		2,652,038
				5,213,894
Sweden - 0.6%
Boliden AB *		40,791		1,316,469
Electrolux AB, Series B		15,585		353,680
Essity AB, Class B		5,474		134,669
Husqvarna AB, Class B		4,025		38,077
Nordea Bank AB		25,356		243,230
Saab AB, Class B		858		35,532
Sandvik AB		403		7,117
Securitas AB, Class B		9,457		155,076
Skandinaviska Enskilda Banken AB, Class A		10,178		96,328
SSAB AB, Class A		39,671		186,566
Swedbank AB, Class A		3,756		80,026
Swedish Match AB		143		7,067
Telia Co. AB		1,783		8,127
Volvo AB, Class B		4,979		79,132
				2,741,096
Switzerland - 0.8%
Adecco Group AG (Registered) (a)		687		40,543
Baloise Holding AG (Registered)		227		32,928
Cie Financiere Richemont SA (Registered)		118		9,975
DKSH Holding AG		453		31,848
Flughafen Zurich AG (Registered)		179		36,420
Georg Fischer AG (Registered)		349		445,668
Helvetia Holding AG (Registered)		161		91,849
Kuehne + Nagel International AG (Registered)		465		69,806
Lonza Group AG (Registered) *(a)		817		215,889

INVESTMENTS	SHARES		VALUE
Switzerland - 0.8% (continued)
Nestle SA (Registered)		591	$	45,803
Partners Group Holding AG		609		445,207
Roche Holding AG (a)		1,438		319,032
Sika AG (Registered) (a)		803		110,950
Sonova Holding AG (Registered)		839		150,083
Swatch Group AG (The)		15		7,101
Swiss Life Holding AG (Registered) *(a)		1,816		629,701
Swiss Re AG (a)		1,760		153,664
Swisscom AG (Registered) (a)		83		37,046
Temenos AG (Registered) *		5,019		754,789
Zurich Insurance Group AG *(a)		309		91,381
				3,719,683
United Kingdom - 0.2%
Fiat Chrysler Automobiles NV *		29,353		553,722
Subsea 7 SA (a)		19,343		307,498
				861,220
United States - 0.0% (b)
Valeant Pharmaceuticals International, Inc. (1)*		6,981		162,491
TOTAL COMMON STOCKS (Cost $70,834,511)				79,043,130
	NO. OF RIGHTS
RIGHTS - 0.0%
Italy - 0.0%
Intesa Sanpaolo SpA (3)*(d) (Cost $—)		510,287		—
	SHARES
SHORT-TERM INVESTMENTS - 95.2%
INVESTMENT COMPANIES - 65.5%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (e)		2,349,731		2,349,731
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (e)		9,398,925		9,398,925
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (e)(f)		78,187,602		78,187,602
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (e)(f)		48,919,631		48,919,631
Limited Purpose Cash Investment Fund, 1.85% (e)		165,171,426		165,171,427
UBS Select Treasury Preferred Fund, Class I, 1.76% (e)		11,748,656		11,748,656
TOTAL INVESTMENT COMPANIES (Cost $315,750,960)				315,775,972

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

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208

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 29.7%
U.S. Treasury Bills 1.61%, 7/19/2018 (g)	$	28,699,000		$	28,675,452
1.63%, 7/26/2018 (g)		4,972,000			4,966,274
1.79%, 8/16/2018 (g)		13,224,000			13,193,833
1.84%, 8/23/2018 (g)		3,885,000			3,874,766
1.85%, 8/30/2018 (g)		2,855,000			2,846,297
1.97%, 9/20/2018 (g)		1,826,000			1,818,392
1.91%, 9/27/2018 (g)		8,740,000			8,700,186
1.92%, 10/4/2018 (g)		5,771,000			5,742,149
1.90%, 10/11/2018 (g)		2,058,000			2,046,864
1.96%, 10/18/2018 (g)		17,989,000			17,884,439
2.01%, 10/25/2018 (g)		1,806,000			1,794,808
2.01%, 11/1/2018 (g)		3,754,000			3,728,938
2.02%, 11/8/2018 (g)		20,810,000			20,661,793
2.06%, 11/15/2018 (g)		17,846,000			17,710,995
2.10%, 11/23/2018 (g)		4,562,000			4,525,367
2.08%, 12/13/2018 (g)		3,582,000			3,548,813
2.10%, 12/27/2018 (g)		1,311,000			1,297,647
TOTAL U.S. TREASURY OBLIGATIONS (Cost $143,006,746)					143,017,013
TOTAL SHORT-TERM INVESTMENTS (Cost $458,757,706)					458,792,985
TOTAL LONG POSITIONS (Cost $529,592,217)					537,836,115
	SHARES
SHORT POSITIONS - (13.8)%
COMMON STOCKS - (13.8)%
Austria - (0.1)%
ams AG *		(7,136	)		(529,207	)
Belgium - (0.3)%
Anheuser-Busch InBev SA/NV		(4,747	)		(478,806	)
Galapagos NV *		(6,588	)		(606,738	)
Telenet Group Holding NV *		(5,637	)		(262,438	)
					(1,347,982	)
Canada - (0.7)%
AltaGas Ltd. (1)		(3,486	)		(71,992	)
Bombardier, Inc., Class B (1)*		(43,961	)		(173,884	)
Cameco Corp. (1)		(15,902	)		(178,900	)
Element Fleet Management Corp. (1)		(28,148	)		(132,320	)
Enbridge, Inc. (1)		(26,260	)		(938,821	)
Imperial Oil Ltd. (1)		(2,715	)		(90,249	)
Inter Pipeline Ltd. (1)		(2,328	)		(43,633	)
Keyera Corp. (1)		(2,339	)		(65,082	)
Nutrien Ltd. (1)		(3,008	)		(163,642	)
Pembina Pipeline Corp. (1)		(5,182	)		(179,467	)
Shopify, Inc., Class A (1)*		(2,503	)		(365,002	)
TransCanada Corp. (1)		(11,194	)		(484,323	)
Wheaton Precious Metals Corp. (1)		(12,554	)		(277,121	)
					(3,164,436	)

INVESTMENTS	SHARES			VALUE
Colombia - (0.1)%
Millicom International Cellular SA, SDR		(4,323	)	$	(254,072	)
Denmark - (0.3)%
AP Moller - Maersk A/S, Class B		(240	)		(296,904	)
Chr Hansen Holding A/S		(325	)		(29,920	)
FLSmidth & Co. A/S		(2,554	)		(152,388	)
Genmab A/S *		(6,180	)		(950,904	)
Novozymes A/S, Class B		(1,886	)		(95,391	)
					(1,525,507	)
Finland - (0.2)%
Amer Sports OYJ *		(988	)		(31,067	)
Huhtamaki OYJ		(2,007	)		(74,011	)
Kone OYJ, Class B		(428	)		(21,762	)
Metso OYJ		(4,830	)		(161,105	)
Nokia OYJ		(98,110	)		(562,747	)
Nokian Renkaat OYJ		(735	)		(28,943	)
Orion OYJ, Class B		(5,099	)		(137,138	)
Wartsila OYJ Abp		(1,494	)		(29,248	)
					(1,046,021	)
Germany - 0.0% (b)
OSRAM Licht AG		(147	)		(5,987	)
Italy - (0.5)%
Banco BPM SpA *		(7,697	)		(22,359	)
Brembo SpA		(2,734	)		(36,873	)
Buzzi Unicem SpA		(9,566	)		(233,727	)
Ferrari NV		(10,353	)		(1,399,407	)
Leonardo SpA		(60,982	)		(600,208	)
Recordati SpA		(342	)		(13,552	)
Saipem SpA *		(3,960	)		(18,161	)
UniCredit SpA		(2,918	)		(48,364	)
Unipol Gruppo SpA		(60,718	)		(233,954	)
					(2,606,605	)
Japan - (8.3)%
Acom Co. Ltd.		(80,400	)		(308,655	)
Advantest Corp.		(46,200	)		(958,322	)
Aeon Co. Ltd.		(37,400	)		(800,070	)
AEON Financial Service Co. Ltd.		(9,500	)		(202,483	)
Asahi Intecc Co. Ltd.		(2,200	)		(83,063	)
Asics Corp.		(29,000	)		(489,552	)
Bank of Kyoto Ltd. (The)		(7,700	)		(355,520	)
Benesse Holdings, Inc.		(1,100	)		(39,008	)
Brother Industries Ltd.		(2,000	)		(39,402	)
Calbee, Inc.		(17,800	)		(669,593	)
Casio Computer Co. Ltd.		(9,500	)		(154,290	)
Chiyoda Corp.		(27,500	)		(238,444	)
Chugai Pharmaceutical Co. Ltd.		(8,700	)		(455,537	)
Chugoku Electric Power Co., Inc. (The)		(16,100	)		(207,981	)
Cosmos Pharmaceutical Corp.		(800	)		(162,344	)
CyberAgent, Inc.		(8,500	)		(509,773	)
Daifuku Co. Ltd.		(12,600	)		(550,515	)
Dai-ichi Life Holdings, Inc.		(10,800	)		(192,215	)
Daiichi Sankyo Co. Ltd.		(200	)		(7,641	)
Daikin Industries Ltd.		(6,100	)		(729,030	)
Dentsu, Inc.		(5,200	)		(246,157	)
Disco Corp.		(2,400	)		(408,583	)

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

AQR Funds Semi-Annual Report June 2018

209

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Japan - (8.3)% (continued)
Don Quijote Holdings Co. Ltd.		(2,400	)	$	(115,197	)
Eisai Co. Ltd.		(4,700	)		(330,833	)
FANUC Corp.		(700	)		(138,748	)
Fast Retailing Co. Ltd.		(5,300	)		(2,429,180	)
Fuji Electric Co. Ltd.		(25,000	)		(189,903	)
Hachijuni Bank Ltd. (The)		(7,000	)		(29,826	)
Hamamatsu Photonics KK		(2,300	)		(98,733	)
Hokuriku Electric Power Co. *		(20,400	)		(204,898	)
Ibiden Co. Ltd.		(16,600	)		(265,245	)
IHI Corp.		(4,000	)		(139,136	)
Isetan Mitsukoshi Holdings Ltd.		(47,400	)		(591,357	)
Iyo Bank Ltd. (The)		(32,100	)		(211,516	)
J Front Retailing Co. Ltd.		(2,900	)		(44,054	)
Japan Airport Terminal Co. Ltd.		(4,100	)		(191,746	)
JGC Corp.		(19,800	)		(398,277	)
Kakaku.com, Inc.		(32,500	)		(731,834	)
Kansai Paint Co. Ltd.		(19,400	)		(402,598	)
Keikyu Corp.		(18,399	)		(301,365	)
Keio Corp.		(800	)		(38,656	)
Keyence Corp.		(900	)		(507,613	)
Kikkoman Corp.		(16,400	)		(828,014	)
Kobayashi Pharmaceutical Co. Ltd.		(300	)		(25,895	)
Kose Corp.		(2,100	)		(451,698	)
Kyushu Financial Group, Inc.		(5,700	)		(27,431	)
LINE Corp. *		(6,600	)		(272,494	)
LIXIL Group Corp.		(1,800	)		(35,974	)
M3, Inc.		(13,200	)		(524,941	)
Mabuchi Motor Co. Ltd.		(900	)		(42,717	)
Makita Corp.		(200	)		(8,947	)
Marui Group Co. Ltd.		(14,700	)		(309,216	)
Matsumotokiyoshi Holdings Co. Ltd.		(1,000	)		(44,874	)
MINEBEA MITSUMI, Inc.		(3,000	)		(50,555	)
MISUMI Group, Inc.		(9,800	)		(285,129	)
Mitsubishi Logistics Corp.		(4,800	)		(103,506	)
Mitsubishi Motors Corp.		(30,900	)		(246,313	)
MonotaRO Co. Ltd.		(4,200	)		(185,538	)
Nabtesco Corp.		(3,400	)		(104,465	)
NGK Spark Plug Co. Ltd.		(21,500	)		(611,219	)
Nidec Corp.		(20,200	)		(3,021,713	)
Nintendo Co. Ltd.		(5,300	)		(1,730,074	)
Nippon Paint Holdings Co. Ltd.		(19,300	)		(829,999	)
Nippon Shinyaku Co. Ltd.		(1,900	)		(117,910	)
Nippon Yusen KK		(13,800	)		(273,402	)
Odakyu Electric Railway Co. Ltd.		(4,900	)		(105,085	)
Ono Pharmaceutical Co. Ltd.		(18,800	)		(440,124	)
Orient Corp.		(22,600	)		(30,370	)
Park24 Co. Ltd.		(800	)		(21,756	)
PeptiDream, Inc. *		(16,100	)		(668,906	)
Persol Holdings Co. Ltd.		(6,100	)		(135,849	)
Pigeon Corp.		(14,100	)		(685,220	)
Recruit Holdings Co. Ltd.		(10,100	)		(278,948	)
Renesas Electronics Corp. *		(54,800	)		(535,714	)
Ricoh Co. Ltd.		(34,900	)		(319,605	)
Rohm Co. Ltd.		(2,500	)		(208,911	)
Santen Pharmaceutical Co. Ltd.		(8,900	)		(154,828	)
Shikoku Electric Power Co., Inc.		(11,800	)		(157,826	)
Shimadzu Corp.		(1,600	)		(48,274	)
Shimano, Inc.		(3,500	)		(513,606	)

INVESTMENTS	SHARES			VALUE
Japan - (8.3)% (continued)
Shiseido Co. Ltd.		(9,500	)	$	(753,882	)
SoftBank Group Corp.		(12,100	)		(864,039	)
Sompo Holdings, Inc.		(200	)		(8,070	)
Sony Financial Holdings, Inc.		(41,100	)		(783,082	)
Stanley Electric Co. Ltd.		(3,400	)		(115,770	)
Start Today Co. Ltd.		(500	)		(18,090	)
SUMCO Corp.		(89,300	)		(1,793,542	)
Sundrug Co. Ltd.		(900	)		(36,460	)
Sysmex Corp.		(2,600	)		(242,254	)
T&D Holdings, Inc.		(29,900	)		(448,442	)
Taiyo Nippon Sanso Corp.		(15,200	)		(217,591	)
TDK Corp.		(200	)		(20,365	)
Terumo Corp.		(2,500	)		(143,120	)
THK Co. Ltd.		(5,400	)		(154,180	)
Tokio Marine Holdings, Inc.		(12,500	)		(584,791	)
Tokyo Electron Ltd.		(3,600	)		(617,952	)
TOTO Ltd.		(4,400	)		(203,657	)
Tsuruha Holdings, Inc.		(500	)		(62,627	)
Unicharm Corp.		(5,400	)		(162,347	)
USS Co. Ltd.		(2,300	)		(43,729	)
Yakult Honsha Co. Ltd.		(5,200	)		(347,677	)
Yamaha Corp.		(3,300	)		(171,262	)
Yamato Holdings Co. Ltd.		(15,900	)		(467,979	)
Yaskawa Electric Corp.		(73,700	)		(2,595,354	)
Yokogawa Electric Corp.		(3,500	)		(62,150	)
					(40,524,351	)
Luxembourg - (0.1)%
Tenaris SA		(36,310	)		(662,658	)
Netherlands - (0.5)%
ALTICE EUROPE NV *		(159,626	)		(647,923	)
ASML Holding NV		(803	)		(158,902	)
Boskalis Westminster		(6,867	)		(199,551	)
Koninklijke KPN NV		(230,769	)		(627,502	)
Koninklijke Vopak NV		(7,389	)		(340,573	)
OCI NV *		(7,298	)		(195,977	)
SBM Offshore NV		(2,324	)		(36,034	)
					(2,206,462	)
Norway - (0.1)%
Schibsted ASA, Class A		(9,546	)		(289,474	)
Singapore - 0.0% (b)
CapitaLand Ltd.		(22,700	)		(52,539	)
Spain - (0.8)%
Atresmedia Corp. de Medios de Comunicacion SA		(3,398	)		(28,504	)
Banco Bilbao Vizcaya Argentaria SA		(2,880	)		(20,311	)
Banco de Sabadell SA		(4,546	)		(7,591	)
Banco Santander SA		(12,313	)		(65,806	)
Bankia SA		(102,842	)		(383,505	)
Cellnex Telecom SA (c)		(36,083	)		(907,180	)
Distribuidora Internacional de Alimentacion SA		(17,551	)		(50,985	)
Ferrovial SA		(8,847	)		(181,033	)
Grifols SA		(5,462	)		(163,712	)
Industria de Diseno Textil SA		(59,642	)		(2,031,056	)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Spain - (0.8)% (continued)
Melia Hotels International SA		(2,293	)	$	(31,365	)
					(3,871,048	)
Sweden - (0.6)%
Hennes & Mauritz AB, Class B		(8,192	)		(121,938	)
Telefonaktiebolaget LM Ericsson, Class B		(355,502	)		(2,738,860	)
					(2,860,798	)
Switzerland - (0.7)%
Aryzta AG *		(9,103	)		(136,162	)
Chocoladefabriken Lindt & Spruengli AG		(8	)		(51,853	)
Credit Suisse Group AG (Registered) *		(129,585	)		(1,937,694	)
Dufry AG (Registered) *		(54	)		(6,868	)
OC Oerlikon Corp. AG (Registered) *		(14,240	)		(216,943	)
STMicroelectronics NV		(20,587	)		(456,688	)
Sunrise Communications Group AG *(c)		(470	)		(38,190	)
Vifor Pharma AG		(2,239	)		(357,151	)
					(3,201,549	)
United Kingdom - (0.1)%
CNH Industrial NV		(40,755	)		(430,515	)
United States - (0.2)%
Altice USA, Inc., Class A (1)		(61,123	)		(1,042,754	)
Zambia - (0.2)%
First Quantum Minerals Ltd. (1)		(55,974	)		(824,719	)
TOTAL COMMON STOCKS (Proceeds $(65,118,689))					(66,446,684	)
TOTAL SHORT POSITIONS (Proceeds $(65,118,689))					(66,446,684	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.8% (Cost $464,473,528)					471,389,431
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.2% (H)					10,622,266
NET ASSETS - 100.0%				$	482,011,697

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(5,245,756	)		(1.1	)%
Consumer Staples		(2,388,210	)		(0.5	)
Energy		9,172,175			1.9
Financials		7,527,917			1.6
Health Care		(1,140,653	)		(0.2	)
Industrials		7,043,462			1.5
Information Technology		(11,817,394	)		(2.5	)
Materials		3,064,389			0.6
Real Estate		(52,539	)		0.0	(b)
Telecommunication Services		(1,206,670	)		(0.3	)
Utilities		7,639,726			1.6
Short-Term Investments		458,792,984			95.2
Total Investments In Securities At Value		471,389,431			97.8
Other Assets in Excess of Liabilities (h)		10,622,266			2.2
Net Assets	$	482,011,697			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 $71,262,394. In addition, $1,798,334 of cash collateral was pledged.

(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 June 30, 2018 amounted to $483,748, which represents approximately 0.10% of net assets of the fund.

(d) Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund.

(e) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

(1) Level 1 security (See Note 5).

(3) Level 3 security (See Note 5).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

SDR - Swedish Depositary Receipt

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total return swap contracts outstanding as of June 30, 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)
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/24/2018	USD	(1,509,900	)		$63,414
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2018	HKD	104,849,900			28,694
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MSCS		07/30/2018	HKD	34,471,200			9,960
HSCEI July Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MLIN		07/30/2018	HKD	(14,673,150	)		21,212
HSCEI July Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MSCS		07/30/2018	HKD	(19,564,200	)		16,278
MSCI Singapore Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/30/2018	SGD	36,600			216
MSCI Singapore Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MSCS		07/30/2018	SGD	988,200			1,849
MSCI Taiwan Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/30/2018	USD	193,800			1,126
MSCI Taiwan Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2018	USD	697,680			3,900
Soybean November Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		10/26/2018	USD	(1,364,000	)		164,109
Soybean November Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		10/26/2018	USD	(748,000	)		104,663
Swiss Market Index September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	Monthly	MLIN		09/21/2018	CHF	(14,749,000	)		44,779
TAIEX Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/18/2018	TWD	38,437,200			2,726

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

WIG20 Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

09/21/2018

PLN

(291,760

)

$ 4,434

467,360

iBovespa Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

08/15/2018

BRL

(8,779,440

)

(39,498

)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

09/13/2018

KRW

5,625,000,000

(295,822

)

MSCI Emerging Markets Taiwan Net Total Return Index

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

JPMC

09/21/2018

USD

102,998

(4,478

)

MSCI Emerging Markets Thailand Net Total Return Index

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

JPMC

09/24/2018

USD

43,607

(4,561

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/26/2018

USD

1,496,000

(165,427

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/26/2018

USD

748,000

(85,569

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/26/2018

USD

2,508,000

(285,064

)

Swiss Market Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MSCS

09/21/2018

CHF

(10,032,750

)

(11,602

)

Tel Aviv Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/25/2018

ILS

2,578,611

(7,790

)

(899,811

)

$(432,451

)

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		98		7/2018	EUR		$12,625,506			$(249,937	)
Brent Crude Oil		90		7/2018	USD		7,130,700			282,751
Hang Seng Index		33		7/2018	HKD		6,041,335			48,021
LME Copper Base Metal		3		7/2018	USD		497,475			(11,713	)
LME Copper Base Metal		4		7/2018	USD		662,683			(19,216	)
LME Copper Base Metal		5		7/2018	USD		828,780			(38,685	)
MSCI Singapore Index		123		7/2018	SGD		3,304,073			(14,939	)
MSCI Taiwan Index		154		7/2018	USD		5,969,040			56,285
WTI Crude Oil		104		7/2018	USD		7,711,600			875,890
LME Copper Base Metal		2		8/2018	USD		331,559			(13,597	)
LME Copper Base Metal		4		8/2018	USD		663,106			(19,356	)
LME Copper Base Metal		7		8/2018	USD		1,159,477			(31,307	)
3 Month Sterling		159		9/2018	GBP		26,016,256			8,495
ASX 90 Day Bank Accepted Bill		41		9/2018	AUD		30,193,151			(5,843	)
Australia 3 Year Bond		549		9/2018	AUD		45,237,477			163,883
EURO STOXX 50 Index		119		9/2018	EUR		4,712,412			(111,538	)
Euro-Bobl		64		9/2018	EUR		9,878,280			18,958
Euro-Bund		610		9/2018	EUR		115,793,793			870,014
FTSE 100 Index		95		9/2018	GBP		9,530,475			(64,829	)
FTSE/MIB Index		29		9/2018	EUR		3,652,131			(58,859	)
Japan 10 Year Bond		37		9/2018	JPY		50,409,430			30,756
LME Copper Base Metal		1		9/2018	USD		165,708			(11,882	)
LME Copper Base Metal		5		9/2018	USD		828,281			(84,567	)
LME Copper Base Metal		14		9/2018	USD		2,318,750			(60,678	)
LME Copper Base Metal		20		9/2018	USD		3,314,000			(151,936	)
S&P/TSX 60 Index		23		9/2018	CAD		3,370,616			57
SET50 Index		252		9/2018	THB		1,590,954			(8,608	)
Silver		99		9/2018	USD		8,018,010			(92,282	)
SPI 200 Index		299		9/2018	AUD		34,009,959			99,211
TOPIX Index		316		9/2018	JPY		49,391,501			(1,200,328	)
U.S. Treasury 2 Year Note		823		9/2018	USD		174,334,546			149,850
U.S. Treasury 5 Year Note		27		9/2018	USD		3,067,664			19,863
3 Month Euro Euribor		62		12/2018	EUR		18,152,488			1,107
3 Month Sterling		405		12/2018	GBP		66,231,074			26,794
ASX 90 Day Bank Accepted Bill		159		12/2018	AUD		117,090,513			4,487
3 Month Euro Euribor		80		3/2019	EUR		23,421,397			4,469
3 Month Sterling		465		3/2019	GBP		75,989,388			66,206
ASX 90 Day Bank Accepted Bill		160		3/2019	AUD		117,821,149			8,804
3 Month Euro Euribor		61		6/2019	EUR		17,856,144			10,795
3 Month Sterling		401		6/2019	GBP		65,490,942			12,511
ASX 90 Day Bank Accepted Bill		121		6/2019	AUD		89,093,501			15,940
										525,047
Short Contracts
CAC 40 10 Euro Index		(70	)	7/2018	EUR		(4,349,296	)		112,037
FTSE Bursa Malaysia KLCI Index		(23	)	7/2018	MYR		(482,974	)		(2,200	)
HSCEI		(64	)	7/2018	HKD		(4,433,160	)		(7,149	)
IBEX 35 Index		(82	)	7/2018	EUR		(9,194,645	)		106,249
LME Copper Base Metal		(3	)	7/2018	USD		(497,475	)		13,160
LME Copper Base Metal		(4	)	7/2018	USD		(662,683	)		17,919
LME Copper Base Metal		(5	)	7/2018	USD		(828,780	)		39,513

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
Natural Gas		(68	)	7/2018	USD		$ (1,988,320	)		$ 18,536
OMXS30 Index		(798	)	7/2018	SEK		(13,907,701	)		62,206
100 oz Gold		(187	)	8/2018	USD		(23,459,150	)		855,199
LME Copper Base Metal		(2	)	8/2018	USD		(331,559	)		12,389
LME Copper Base Metal		(4	)	8/2018	USD		(663,106	)		18,612
LME Copper Base Metal		(7	)	8/2018	USD		(1,159,477	)		29,879
3 Month Canadian Bankers Acceptance		(31	)	9/2018	CAD		(5,779,561	)		1,559
3 Month Euro Euribor		(3	)	9/2018	EUR		(878,565	)		(14	)
3 Month Eurodollar		(74	)	9/2018	USD		(18,045,825	)		14,610
Australia 10 Year Bond		(131	)	9/2018	AUD		(12,541,167	)		(63,636	)
Canada 10 Year Bond		(235	)	9/2018	CAD		(24,437,569	)		(585,020	)
Corn		(15	)	9/2018	USD		(269,625	)		10,305
DAX Index		(61	)	9/2018	EUR		(21,920,146	)		758,619
Euro-Buxl		(51	)	9/2018	EUR		(10,583,421	)		(148,978	)
Euro-Schatz		(1,815	)	9/2018	EUR		(237,570,547	)		(57,833	)
FTSE/JSE Top 40 Index		(68	)	9/2018	ZAR		(2,562,164	)		13,208
LME Copper Base Metal		(1	)	9/2018	USD		(165,708	)		12,714
LME Copper Base Metal		(5	)	9/2018	USD		(828,281	)		79,368
LME Copper Base Metal		(14	)	9/2018	USD		(2,318,750	)		58,846
LME Copper Base Metal		(96	)	9/2018	USD		(15,907,200	)		861,966
Long Gilt		(408	)	9/2018	GBP		(66,262,639	)		(921,672	)
S&P 500 E-Mini Index		(271	)	9/2018	USD		(36,877,680	)		743,327
U.S. Treasury 10 Year Note		(42	)	9/2018	USD		(5,047,875	)		1,018
U.S. Treasury Long Bond		(107	)	9/2018	USD		(15,515,000	)		(350,305	)
3 Month Canadian Bankers Acceptance		(111	)	12/2018	CAD		(20,660,784	)		9,273
3 Month Eurodollar		(299	)	12/2018	USD		(72,776,600	)		43,611
3 Month Canadian Bankers Acceptance		(103	)	3/2019	CAD		(19,143,318	)		6,247
3 Month Eurodollar		(279	)	3/2019	USD		(67,824,900	)		30,472
3 Month Canadian Bankers Acceptance		(73	)	6/2019	CAD		(13,552,324	)		3,953
3 Month Eurodollar		(205	)	6/2019	USD		(49,786,813	)		16,097
										1,814,085
										$2,339,132

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	4,400	USD	3,323	CITI		9/19/2018		$28
CAD	6,600	USD	4,985	JPMC		9/19/2018		42
CHF	803,200	USD	812,860	CITI		9/19/2018		3,812
CHF	1,204,800	USD	1,219,291	JPMC		9/19/2018		5,718
DKK	169,200	USD	26,461	CITI		9/19/2018		227
DKK	253,800	USD	39,692	JPMC		9/19/2018		341
EUR	1,620,500	USD	1,893,682	CITI		9/19/2018		10,139
EUR	2,430,749	USD	2,840,525	JPMC		9/19/2018		15,205
HKD	7,772,000	USD	991,676	CITI		9/19/2018		267
HKD	11,658,000	USD	1,487,516	JPMC		9/19/2018		398
INR	1,720,000	USD	24,804	CITI**		9/19/2018		44
INR	2,580,000	USD	37,207	JPMC**		9/19/2018		66

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

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Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
MXN	77,953,536	USD	3,807,566	CITI		9/19/2018		$ 68,775
MXN	116,930,311	USD	5,711,356	JPMC		9/19/2018		103,155
SEK	400	USD	45	CITI		9/19/2018		—
SEK	600	USD	67	JPMC		9/19/2018		—
SGD	400	USD	293	CITI		9/19/2018		1
SGD	600	USD	439	JPMC		9/19/2018		2
TRY	9,912,000	USD	2,034,512	CITI		9/19/2018		51,290
TRY	14,868,000	USD	3,051,772	JPMC		9/19/2018		76,931
USD	812,540	AUD	1,091,200	CITI		9/19/2018		4,803
USD	1,219,934	AUD	1,636,800	JPMC		9/19/2018		8,328
USD	4,581,786	BRL	17,259,999	CITI**		9/19/2018		164,915
USD	6,872,670	BRL	25,890,000	JPMC**		9/19/2018		247,364
USD	124,064	CAD	159,600	CITI		9/19/2018		2,500
USD	186,096	CAD	239,400	JPMC		9/19/2018		3,747
USD	22,389,826	CHF	21,897,920	CITI		9/19/2018		124,605
USD	33,584,697	CHF	32,846,880	JPMC		9/19/2018		186,864
USD	1,609,757	CNY	10,408,000	CITI**		9/19/2018		45,601
USD	2,414,633	CNY	15,612,000	JPMC**		9/19/2018		68,398
USD	37,831	DKK	237,200	CITI		9/19/2018		417
USD	56,747	DKK	355,800	JPMC		9/19/2018		625
USD	2,582,173	EUR	2,185,600	CITI		9/19/2018		14,454
USD	3,873,255	EUR	3,278,400	JPMC		9/19/2018		21,677
USD	3,929,160	HKD	30,762,400	CITI		9/19/2018		2,945
USD	5,893,733	HKD	46,143,600	JPMC		9/19/2018		4,411
USD	42,973	HUF	12,000,000	CITI		9/19/2018		219
USD	64,459	HUF	18,000,000	JPMC		9/19/2018		328
USD	6,743,358	JPY	734,314,800	CITI		9/19/2018		73,875
USD	10,114,800	JPY	1,101,472,200	JPMC		9/19/2018		110,577
USD	4,007,351	KRW	4,294,032,000	CITI**		9/19/2018		141,919
USD	6,011,019	KRW	6,441,048,000	JPMC**		9/19/2018		212,871
USD	259,489	MXN	5,200,000	CITI		9/19/2018		912
USD	389,233	MXN	7,800,000	JPMC		9/19/2018		1,368
USD	2,552,894	NOK	20,591,400	CITI		9/19/2018		16,554
USD	3,829,336	NOK	30,887,100	JPMC		9/19/2018		24,825
USD	4,141,725	NZD	5,960,800	CITI		9/19/2018		104,172
USD	6,212,580	NZD	8,941,200	JPMC		9/19/2018		156,250
USD	7,657,804	SEK	67,063,200	CITI		9/19/2018		124,572
USD	11,486,692	SEK	100,594,800	JPMC		9/19/2018		186,844
USD	1,196,933	SGD	1,603,200	CITI		9/19/2018		18,259
USD	1,795,398	SGD	2,404,800	JPMC		9/19/2018		27,386
USD	73,577	THB	2,350,800	CITI		9/19/2018		2,453
USD	110,366	THB	3,526,200	JPMC		9/19/2018		3,679
USD	407,123	TRY	1,912,000	CITI		9/19/2018		4,778
USD	610,684	TRY	2,868,000	JPMC		9/19/2018		7,164
USD	1,349,163	TWD	40,039,600	CITI**		9/19/2018		28,769
USD	2,023,742	TWD	60,059,400	JPMC**		9/19/2018		43,151
USD	332,509	ZAR	4,400,000	CITI		9/19/2018		15,051
USD	498,762	ZAR	6,600,000	JPMC		9/19/2018		22,577
USD	2,662,772	ILS	9,436,003	CITI		9/20/2018		68,673
USD	3,994,151	ILS	14,153,997	JPMC		9/20/2018		103,004
Total unrealized appreciation								2,738,325
AUD	5,880,000	USD	4,470,772	CITI		9/19/2018		(118,232	)
AUD	8,820,000	USD	6,706,166	JPMC		9/19/2018		(177,355	)
BRL	4,080,000	USD	1,082,793	CITI**		9/19/2018		(38,713	)
BRL	6,120,000	USD	1,624,192	JPMC**		9/19/2018		(58,070	)
CAD	33,248,400	USD	25,738,153	CITI		9/19/2018		(413,215	)

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

AQR Funds Semi-Annual Report June 2018

216

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	49,872,600	USD	38,607,278	JPMC		9/19/2018		$ (619,871	)
CHF	719,600	USD	734,382	CITI		9/19/2018		(2,711	)
CHF	1,079,400	USD	1,101,574	JPMC		9/19/2018		(4,069	)
CNY	33,674,800	USD	5,192,886	CITI**		9/19/2018		(132,101	)
CNY	50,512,200	USD	7,789,339	JPMC**		9/19/2018		(198,163	)
DKK	82,400	USD	13,055	CITI		9/19/2018		(57	)
DKK	123,600	USD	19,582	JPMC		9/19/2018		(86	)
EUR	3,429,900	USD	4,051,191	CITI		9/19/2018		(21,626	)
EUR	5,144,851	USD	6,076,796	JPMC		9/19/2018		(32,445	)
GBP	6,548,400	USD	8,794,759	CITI		9/19/2018		(121,816	)
GBP	9,822,600	USD	13,192,156	JPMC		9/19/2018		(182,742	)
HKD	8,846,800	USD	1,129,557	CITI		9/19/2018		(438	)
HKD	13,270,200	USD	1,694,338	JPMC		9/19/2018		(659	)
HUF	204,000,000	USD	753,515	CITI		9/19/2018		(26,695	)
HUF	306,000,000	USD	1,130,274	JPMC		9/19/2018		(40,044	)
INR	94,400,000	USD	1,381,235	CITI**		9/19/2018		(17,463	)
INR	141,600,000	USD	2,071,856	JPMC**		9/19/2018		(26,197	)
JPY	650,569,600	USD	5,968,365	CITI		9/19/2018		(59,506	)
JPY	975,854,400	USD	8,952,237	JPMC		9/19/2018		(88,949	)
KRW	1,310,700,000	USD	1,217,285	CITI**		9/19/2018		(37,411	)
KRW	1,966,050,000	USD	1,825,930	JPMC**		9/19/2018		(56,116	)
MXN	39,890,460	USD	1,992,828	CITI		9/19/2018		(9,223	)
MXN	59,835,693	USD	2,989,246	JPMC		9/19/2018		(13,839	)
NOK	28,400	USD	3,510	CITI		9/19/2018		(12	)
NOK	42,600	USD	5,265	JPMC		9/19/2018		(18	)
PLN	6,600,000	USD	1,799,093	CITI		9/19/2018		(34,800	)
PLN	9,900,000	USD	2,698,642	JPMC		9/19/2018		(52,203	)
SEK	303,600	USD	34,969	CITI		9/19/2018		(865	)
SEK	455,400	USD	52,453	JPMC		9/19/2018		(1,298	)
SGD	1,121,600	USD	837,853	CITI		9/19/2018		(13,252	)
SGD	1,682,400	USD	1,256,781	JPMC		9/19/2018		(19,878	)
THB	1,796,400	USD	56,276	CITI		9/19/2018		(1,926	)
THB	2,694,600	USD	84,415	JPMC		9/19/2018		(2,889	)
TRY	960,000	USD	203,836	CITI		9/19/2018		(1,822	)
TRY	1,440,000	USD	305,755	JPMC		9/19/2018		(2,733	)
TWD	6,459,600	USD	217,681	CITI**		9/19/2018		(4,661	)
TWD	9,689,400	USD	326,521	JPMC**		9/19/2018		(6,993	)
USD	1,144,860	AUD	1,549,600	CITI		9/19/2018		(2,197	)
USD	1,717,287	AUD	2,324,400	JPMC		9/19/2018		(3,298	)
USD	362,364	BRL	1,420,001	CITI**		9/19/2018		(1,017	)
USD	543,545	BRL	2,130,000	JPMC**		9/19/2018		(1,527	)
USD	3,003,614	CAD	3,981,200	CITI		9/19/2018		(28,823	)
USD	4,505,416	CAD	5,971,800	JPMC		9/19/2018		(43,237	)
USD	3,764,816	CHF	3,712,080	CITI		9/19/2018		(9,529	)
USD	5,647,217	CHF	5,568,120	JPMC		9/19/2018		(14,299	)
USD	75,929	DKK	486,000	CITI		9/19/2018		(730	)
USD	113,894	DKK	729,000	JPMC		9/19/2018		(1,095	)
USD	4,433,957	EUR	3,791,600	CITI		9/19/2018		(20,547	)
USD	6,650,928	EUR	5,687,400	JPMC		9/19/2018		(30,830	)
USD	1,839,361	HKD	14,414,800	CITI		9/19/2018		(404	)
USD	2,759,038	HKD	21,622,200	JPMC		9/19/2018		(610	)
USD	454,715	HUF	128,000,000	CITI		9/19/2018		(1,329	)
USD	682,071	HUF	192,000,000	JPMC		9/19/2018		(1,995	)
USD	1,661,837	MXN	34,000,000	CITI		9/19/2018		(28,856	)
USD	2,492,753	MXN	51,000,000	JPMC		9/19/2018		(43,288	)
USD	834,553	NOK	6,819,400	CITI		9/19/2018		(5,425	)
USD	1,251,829	NOK	10,229,100	JPMC		9/19/2018		(8,138	)

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

AQR Funds Semi-Annual Report June 2018

217

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	33,507	SEK	300,000	CITI		9/19/2018		$ (193	)
USD	50,260	SEK	450,000	JPMC		9/19/2018		(289	)
USD	28,485	SGD	38,800	CITI		9/19/2018		(41	)
USD	42,728	SGD	58,200	JPMC		9/19/2018		(61	)
USD	1,381,400	TRY	6,800,000	CITI		9/19/2018		(49,538	)
USD	2,072,098	TRY	10,200,000	JPMC		9/19/2018		(74,307	)
USD	172,764	ZAR	2,400,000	CITI		9/19/2018		(394	)
USD	259,146	ZAR	3,600,000	JPMC		9/19/2018		(592	)
ZAR	18,800,000	USD	1,477,099	CITI		9/19/2018		(120,691	)
ZAR	28,200,000	USD	2,215,651	JPMC		9/19/2018		(181,041	)
Total unrealized depreciation								(3,315,483	)
Net unrealized depreciation							$	(577,158	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps Outstanding at June 30, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread (-0.18% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.	61 months maturity 04/13/2023 - 06/30/2023		$3,480,106		$925		$8,856			$9,781
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or AOISR plus or minus a specified spread (-0.10% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap.	45-61 months maturity 11/19/2021 - 06/30/2023		$2,601,577		$81,120		$(8,604	)		$72,516

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

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218

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

GSIN

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.03% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.

1-61 months maturity 04/13/2023 - 06/30/2023

$20,335,077

$(429,395

)

$17,635

$(411,760

)

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
Australia
BHP Billiton plc		14,461		$	324,540		$	47,759			(11.6	)%
Rio Tinto plc		2,005			110,513			5,790			(1.4	)
Germany
TUI AG		12,052			263,601			14,872			(3.6	)
Russia
Evraz plc		19,055			127,181			12,119			(2.9	)
South Africa
Anglo American plc		17,424			386,829			(23,468	)		5.7
Investec plc		18,033			127,507			(2,474	)		0.6
United Kingdom
Barratt Developments plc		125,090			847,974			(53,300	)		12.9
Bellway plc		16,249			641,929			(33,034	)		8.0
Berkeley Group Holdings plc		21,497			1,070,830			(15,677	)		3.8
BT Group plc		110,187			316,099			(26,022	)		6.3
Close Brothers Group plc		9,624			187,878			4,431			(1.1	)
Greene King plc		32,994			249,932			48,764			(11.8	)
Howden Joinery Group plc		28,963			204,245			26,898			(6.5	)
Indivior plc		61,833			311,360			(4,588	)		1.1
Intermediate Capital Group plc		22,535			326,462			24,922			(6.1	)
Kingfisher plc		28,992			113,376			735			(0.2	)
Persimmon plc		30,418			1,013,214			(47,086	)		11.4
Playtech plc		13,626			135,114			2,834			(0.7	)
Royal Mail plc		75,124			499,794			(48,210	)		11.7
Sky plc		24,743			476,521			47,188			(11.5	)
Taylor Wimpey plc		256,924			604,805			(30,531	)		7.4
Travis Perkins plc		13,368			250,499			35,259			(8.6	)
WH Smith plc		7,717			203,127			1,945			(0.5	)
Whitbread plc		2,901			151,222			11,069			(2.7	)
William Hill plc		93,533			373,568			(30,727	)		7.5
Short Positions
Common Stock
United Kingdom
AA plc		(69,066	)		(113,001	)		(33,368	)		8.1
Associated British Foods plc		(3,439	)		(124,005	)		(7,804	)		1.9
AstraZeneca plc		(5,016	)		(346,943	)		(16,847	)		4.1

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

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219

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom (continued)
B&M European Value Retail SA		(22,972	)	$	(122,036	)	$	(3,438	)		0.8	%
British American Tobacco plc		(35,026	)		(1,764,378	)		234,581			(57.0	)
Capita plc		(114,873	)		(241,448	)		(45,033	)		10.9
Cobham plc		(148,584	)		(251,244	)		(17,784	)		4.3
ConvaTec Group plc		(92,511	)		(258,268	)		(15,790	)		3.8
easyJet plc		(4,908	)		(107,975	)		1,336			(0.3	)
Experian plc		(14,919	)		(368,031	)		(66,974	)		16.3
Imperial Brands plc		(4,004	)		(148,701	)		(4,271	)		1.0
Inmarsat plc		(18,314	)		(132,431	)		(51,383	)		12.5
John Wood Group plc		(20,516	)		(169,421	)		(17,181	)		4.2
Just Eat plc		(16,417	)		(168,348	)		(16,327	)		4.0
Micro Focus International plc		(8,442	)		(146,480	)		3,430			(0.8	)
Old Mutual Ltd.		(61,076	)		(120,745	)		41,999			(10.2	)
Petrofac Ltd.		(26,584	)		(204,220	)		(20,326	)		4.9
Prudential plc		(45,054	)		(1,027,065	)		41,587			(10.1	)
Reckitt Benckiser Group plc		(8,479	)		(696,676	)		(23,032	)		5.6
Rolls-Royce Holdings plc		(21,000	)		(273,527	)		(29,470	)		7.2
RSA Insurance Group plc		(30,660	)		(274,202	)		(10,661	)		2.6
Serco Group plc		(231,781	)		(302,129	)		(23,225	)		5.6
Standard Chartered plc		(55,360	)		(502,858	)		19,528			(4.7	)
Tesco plc		(512,056	)		(1,732,591	)		(361,977	)		87.9
Weir Group plc (The)		(5,574	)		(146,386	)		(1,212	)		0.3

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.84% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	59-61 months maturity 04/12/2023 - 06/30/2023		$407,233,074		$(10,642,313	)		$(575,697	)		$(11,218,010	)

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
United States
Aflac, Inc.		66,241	$	2,849,688	$	(39,963	)		0.4	%
Allstate Corp. (The)		21,881		1,997,079		(98,387	)		0.9
Amazon.com, Inc.		1,256		2,134,949		334,000			(3.0	)
Anthem, Inc.		12,630		3,006,319		191,471			(1.7	)
Best Buy Co., Inc.		31,564		2,354,043		150,245			(1.3	)
Biogen, Inc.		14,510		4,211,382		393,388			(3.5	)
Booking Holdings, Inc.		2,004		4,062,288		(52,149	)		0.5
Consolidated Edison, Inc.		32,480		2,532,790		18,963			(0.2	)

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

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220

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
eBay, Inc.		85,082		$	3,085,073		$	(222,915	)		2.0	%
Estee Lauder Cos., Inc. (The)		19,533			2,787,164			(127,116	)		1.1
Exelon Corp.		78,283			3,334,856			274,406			(2.4	)
Facebook, Inc.		22,980			4,465,474			794,780			(7.1	)
FedEx Corp.		11,304			2,566,686			(216,042	)		1.9
Gilead Sciences, Inc.		40,838			2,892,964			(120,880	)		1.1
Humana, Inc.		6,658			1,981,621			83,781			(0.7	)
Huntington Ingalls Industries, Inc.		10,424			2,259,819			(420,608	)		3.7
Intel Corp.		77,924			3,873,602			14,299			(0.1	)
International Business Machines Corp.		19,521			2,727,084			(253,578	)		2.3
IQVIA Holdings, Inc.		29,685			2,963,157			127,778			(1.1	)
Kohl’s Corp.		36,572			2,666,099			346,337			(3.1	)
LyondellBasell Industries NV		34,367			3,775,215			358,104			(3.2	)
Micron Technology, Inc.		84,451			4,428,610			378,750			(3.4	)
Netflix, Inc.		5,462			2,137,991			486,672			(4.3	)
Northrop Grumman Corp.		7,236			2,226,517			(288,644	)		2.6
Oracle Corp.		65,012			2,864,429			(54,377	)		0.5
Pfizer, Inc.		54,765			1,986,874			44,907			(0.4	)
Raytheon Co.		16,731			3,232,095			(399,732	)		3.6
Skyworks Solutions, Inc.		27,818			2,688,610			17,385			(0.2	)
Spirit AeroSystems Holdings, Inc.		23,620			2,029,194			154,947			(1.4	)
Valero Energy Corp.		24,079			2,668,676			198,961			(1.8	)
Walmart, Inc.		32,766			2,806,408			(20,508	)		0.2
Western Digital Corp.		31,228			2,417,359			(348,192	)		3.1
Short Positions
Common Stock
United States
Advanced Micro Devices, Inc.		(258,661	)		(3,877,328	)		(1,412,289	)		12.6
BioMarin Pharmaceutical, Inc.		(28,020	)		(2,639,484	)		(414,737	)		3.7
CenturyLink, Inc.		(214,065	)		(3,990,172	)		(270,377	)		2.4
Charter Communications, Inc.		(10,550	)		(3,093,366	)		36,629			(0.3	)
Cheniere Energy, Inc.		(45,527	)		(2,967,905	)		(504,894	)		4.5
Envision Healthcare Corp.		(52,673	)		(2,318,139	)		(281,274	)		2.5
First Data Corp.		(167,946	)		(3,515,110	)		(893,473	)		8.0
FirstEnergy Corp.		(109,895	)		(3,946,329	)		(194,514	)		1.7
General Electric Co.		(258,112	)		(3,512,904	)		(113,938	)		1.0
Hess Corp.		(62,687	)		(4,193,133	)		(958,484	)		8.5
Kraft Heinz Co. (The)		(44,965	)		(2,824,701	)		(191,513	)		1.7
Mattel, Inc.		(133,385	)		(2,190,182	)		(442,838	)		3.9
ONEOK, Inc.		(45,025	)		(3,144,096	)		(588,927	)		5.2
Philip Morris International, Inc.		(47,704	)		(3,851,621	)		336,598			(3.0	)
Sealed Air Corp.		(58,373	)		(2,477,934	)		25,100			(0.2	)
Tesla, Inc.		(15,102	)		(5,179,231	)		(830,974	)		7.4
Vulcan Materials Co.		(27,419	)		(3,538,696	)		(432,216	)		3.9
Williams Cos., Inc. (The)		(86,326	)		(2,340,298	)		(208,590	)		1.9

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

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221

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

GSIN

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread (-0.65% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.

1-61 months maturity 06/30/2023

$30,434,381

$(234,397

)

$62,671

$(171,726

)

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
France
Air France-KLM		54,632		$	446,463		$	(128,605	)		74.9	%
Atos SE		4,200			571,103			14,642			(8.5	)
Cie Generale des Etablissements Michelin SCA		5,998			725,627			(108,689	)		63.3
CNP Assurances		7,553			171,601			(13,977	)		8.1
Dassault Systemes SE		736			102,998			7,524			(4.4	)
Electricite de France SA		9,518			130,605			451			(0.3	)
Engie SA		102,961			1,574,943			(105,466	)		61.4
Lagardere SCA		5,709			150,422			(4,939	)		2.9
Peugeot SA		42,289			963,567			(11,515	)		6.7
Renault SA		16,523			1,399,853			(440,581	)		256.6
Teleperformance		1,951			344,343			58,913			(34.3	)
Thales SA		5,568			716,345			59,651			(34.7	)
TOTAL SA		37,115			2,253,837			136,247			(79.3	)
Veolia Environnement SA		5,486			117,230			(6,891	)		4.0
Germany
Bayerische Motoren Werke AG		7,982			721,513			(97,131	)		56.6
Covestro AG		11,910			1,058,604			(41,050	)		23.9
Daimler AG (Registered)		9,894			633,781			(104,707	)		61.0
Evonik Industries AG		6,710			229,574			3,063			(1.8	)
Hannover Rueck SE		2,975			369,857			(25,185	)		14.7
HOCHTIEF AG		1,375			247,958			8,773			(5.1	)
Rheinmetall AG		4,054			446,031			(106,258	)		61.9
RWE AG		8,244			187,341			(1,279	)		0.7
Salzgitter AG		5,687			247,430			(18,415	)		10.7
Software AG		8,147			378,650			(28,915	)		16.8
Suedzucker AG		18,923			300,778			3,619			(2.1	)
Talanx AG		6,284			228,924			(35,005	)		20.4
Volkswagen AG (Preference)		6,004			991,922			(156,845	)		91.3
Short Positions
Common Stock
France
Accor SA		(16,981	)		(831,660	)		41,162			(24.0	)
Air Liquide SA		(815	)		(102,156	)		(5,958	)		3.5
Airbus SE		(20,314	)		(2,370,539	)		(134,382	)		78.3
Bollore SA		(40,917	)		(190,016	)		21,014			(12.2	)
Carrefour SA		(35,164	)		(567,228	)		111,486			(64.9	)

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

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222

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Danone SA		(1,539	)	$	(112,366	)		$ (2,401	)		1.4	%
Edenred		(25,568	)		(807,609	)		26,981			(15.7	)
Iliad SA		(3,775	)		(595,639	)		99,263			(57.8	)
Ingenico Group SA		(6,887	)		(617,518	)		(80,666	)		47.0
JCDecaux SA		(5,080	)		(169,630	)		(296	)		0.2
Remy Cointreau SA		(1,786	)		(231,223	)		17,649			(10.3	)
Vivendi SA		(70,101	)		(1,714,874	)		31,180			(18.2	)
Germany
Commerzbank AG		(96,357	)		(919,183	)		233,432			(135.9	)
Deutsche Bank AG (Registered)		(217,739	)		(2,329,475	)		575,968			(335.4	)
Deutsche Telekom AG (Registered)		(24,930	)		(385,279	)		7,023			(4.1	)
GEA Group AG		(3,331	)		(112,182	)		21,595			(12.6	)
LANXESS AG		(1,372	)		(106,667	)		(8,142	)		4.7
ProSiebenSat.1 Media SE		(7,306	)		(184,878	)		64,215			(37.4	)
Telefonica Deutschland Holding AG		(80,009	)		(314,752	)		35,791			(20.8	)
Zalando SE		(2,784	)		(155,158	)		(10,222	)		6.0
Luxembourg
Eurofins Scientific SE		(333	)		(184,685	)		(16,832	)		9.8
SES SA		(5,229	)		(95,585	)		(24,780	)		14.4
United States
QIAGEN NV		(7,349	)		(266,395	)		(46,298	)		27.0

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—			$6,121,249		$6,121,249
CITI
Investment Companies		1,680,362			—		1,680,362
GSCO
Cash		—			3,893,187		3,893,187
GSIN
Investment Companies		48,919,631			—		48,919,631
JPMC
Cash		(26,166	)		—		(26,166	)
Investment Companies		3,816,166			—		3,816,166
JPMS
Cash		—			2,805,960		2,805,960
MLIN
Cash		290,000			—		290,000
MSCL
Cash		—			494,120		494,120
MSCS
Cash		3,553,038			—		3,553,038

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

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223

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Investment Companies		$675,186		$—			$675,186
GSCO
Cash		—		176,584			176,584
GSIN
Cash		30,000		—			30,000
JPPC
Cash		—		246,190			246,190
MSCL
Cash		—		(838,684	)		(838,684	)
SOCG
Cash		100,000		—			100,000

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

AQR Funds Semi-Annual Report June 2018

224

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

CITG - Citigroup Global Markets, Inc.

CITI - Citibank NA

CRSU - Credit Suisse Securities (USA) LLC

DTBK - Deutsche Bank AG

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MPFS - Merrill Lynch, Pierce, Fenner & Smith, Inc.

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

MSIP - Morgan Stanley & Co. International plc

SOCG - Societe Generale

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

Australian Bank-Bill Reference Rate (“BBR”): 2.02%

Australian Overnight Indexed Swap Rate (“AOISR”):2.11%

Bank of Japan Estimate Unsecured Overnight Call Rate: -0.00%

Brazilian Interbank Certificate of Deposit (“CDI”): 6.39%

CAD/USD Overnight Forward FX Swap Rate: 1.67%

Canadian Dollar Offered Rate (“CDOR”): 1.67%

Canadian Overnight Repurchase Rate: 1.28%

CHF London Interbank Offered Rate (“LIBOR”): -0.78%

Copenhagen Interbank Offered Rate: -0.37%

EUR/USD 1 Week Forward Swap Rate: -0.38%

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

Euro Overnight Index Average (“EONIA”): -0.36%

Federal Funds Floating Rate: 1.91%

GBP London Interbank Offered Rate (“LIBOR”): 0.50%

GBP/USD 1 Week Forward FX Swap Rate: 4.10%

HKD/USD 1 Month Forward FX Swap Rate: 2.01%

Hong Kong Interbank Offered Rate (“HIBOR”): 2.01 %

Hong Kong Overnight Index Average (“HONIA”): 2.95%

Johannesburg Interbank Offered Rate: 6.73%

JPY London Interbank Offered Rate (“LIBOR”): -0.07%

JPY/USD 1 Week Forward Swap Rate: -0.07%

London Interbank Offered Rate (“LIBOR”): 2.09%

Mexico Equilibrium Interbank Interest Rate: 8.10%

Norway Interbank Offered Rate: 0.77%

Overnight Bank Funding Rate: 1.90%

Rand Overnight Deposit Rate: 0.46%

Reserve Bank of Australia Cash Rate: 1.50%

Swiss Average Rate Overnight (“SARON”): -0.73%

Singapore Interbank Offered Rate (“SIBOR”): 1.40%

Singapore Swap Offered Rate (“SOR”): 1.38%

Sterling Overnight Index Average (“SONIA”): 0.44%

Stockholm Interbank Offered Rate (“STIBOR”): -0.47%

Tokyo Overnight Average Rate: -0.10%

Tomorrow/Next Overnight Indexed Swaps: -0.49%

Warsaw Interbank Offered Rate: 1.54%

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

AQR Funds Semi-Annual Report June 2018

225

Statements of Assets and Liabilities June 30, 2018 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND			AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	384,793,497		$	554,786,305		$	1,140,246,397		$	32,726,918
Investments in securities of affiliated issuers, at cost		—			9,801,771			—			—
Investments in securities of controlled affiliated issuers, at cost		—			—			904,339,661			—
Investments in securities of unaffiliated issuers, at value	$	387,514,911		$	552,423,189		$	1,197,183,666		$	32,731,936
Investments in securities of affiliated issuers, at value		—			11,226,790			—			—
Investments in securities of controlled affiliated issuers, at value		—			—			904,482,994			—
Cash		492,283			3,781,414			125,185			—
Cash denominated in foreign currencies‡		484,791			1,082,191			3,248,550			49,880
Unrealized appreciation on forward foreign currency exchange contracts		1,379,260			94,325			1,278,012			794,342
Unrealized appreciation on OTC swaps		80,847			10,131,549			1,170,641			38,548
Deposits for securities sold short		9,861,136			17,437,294			—			—
Deposits for written options contracts		12,219,550			—			—			—
Due from broker		9,308,823			—			391,517,551			69,877
Deposits with brokers for centrally cleared swaps (unamortized upfront payments, $—, $(907,540), $— and $118,321, respectively)		—			422,635			—			800,878
Deposits with brokers for futures contracts		3,943,038			2,606,433			907			2,635,849
Variation margin on centrally cleared swaps		—			26,558			—			22,341
Variation margin on futures contracts		326,863			22,219			—			44,743
Receivables:
Securities sold		173,809,101			13,918,039			28,898,464			18,436
Foreign tax reclaims		49,128			52,072			1,112,907			—
Dividends and interest		300,041			1,740,488			2,208,537			23,062
Capital shares sold		974,939			1,158,790			1,563,525			68,975
Prepaid expenses		64,243			38,268			124,847			33,834
Total Assets		600,808,954			616,162,254			2,532,915,786			37,332,701
LIABILITIES:
Securities sold short, at value (proceeds $190,658,442, $97,119,367, $479,619,383 and $—, respectively)		187,008,182			119,721,074			451,348,135			—
Option contracts written, at value (proceeds $721,439, $—, $— and $—, respectively)		582,371			—			—			—
Due to custodian		—			—			—			50,012
Due to broker		—			6,838,042			640,000			41,682
Unrealized depreciation on forward foreign currency exchange contracts		2,200,172			14,964			544,975			702,932
Unrealized depreciation on OTC swaps		813,977			828,741			79,375,211			64,990
Deposits from brokers for futures contracts		—			—			2			—
Variation margin on futures contracts		160,020			96,925			—			11,390
Payables:
Securities purchased		189,090,931			19,751,769			31,827,191			18,411
Accrued investment advisory fees		165,476			353,617			1,886,853			21,964
Accrued distribution fees—Class N		706			17,064			61,110			1,005
Accrued Trustee fees		220			5			440			37
Capital shares redeemed		280,749			508,109			3,858,283			—
Dividends and interest payable on securities sold short		222,003			234,707			571,886			—
Other accrued expenses and liabilities		49,434			381,312			820,064			95,461
Total Liabilities		380,574,241			148,746,329			570,934,150			1,007,884
Commitments and contingent liabilities*
Net Assets	$	220,234,713		$	467,415,925		$	1,961,981,636		$	36,324,817
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	233,414,491		$	785,471,481		$	2,109,356,124		$	35,505,250
Undistributed accumulated net investment income (loss)		(259,132	)		(19,392,498	)		(76,502,591	)		(85,789	)
Undistributed accumulated net realized gain (loss)		(17,470,384	)		(285,320,072	)		(79,027,423	)		15,740
Net unrealized appreciation (depreciation)		4,549,738			(13,342,986	)		8,155,526			889,616
Net Assets	$	220,234,713		$	467,415,925		$	1,961,981,636		$	36,324,817
NET ASSETS:
Class I	$	141,828,582		$	367,246,783		$	1,383,765,416		$	16,260,872
Class N		4,956,594			85,064,697			284,072,644			4,963,741
Class R6		73,449,537			15,104,445			294,143,576			15,100,204
SHARES OUTSTANDING:
Class I		15,350,676			38,896,587			123,541,646			1,723,158
Class N		537,139			9,015,887			25,464,448			532,207
Class R6		7,938,001			1,602,260			26,237,934			1,599,550
NET ASSET VALUE:
Class I	$	9.24		$	9.44		$	11.20		$	9.44
Class N	$	9.23		$	9.43		$	11.16		$	9.33
Class R6	$	9.25		$	9.43		$	11.21		$	9.44
‡  Cash denominated in foreign currencies at cost	$	482,827		$	1,122,597		$	3,281,524		$	52,065

* AQR Diversified Arbitrage Fund

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

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

AQR Funds Semi-Annual Report June 2018

226

Statements of Assets and Liabilities June 30, 2018 (Unaudited)

	AQR LONG-SHORT EQUITY FUND			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**			AQR RISK PARITY FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	5,262,904,201		$	1,980,965,743		$	303,000,686		$	377,926,573
Investments in securities of controlled affiliated issuers, at cost		1,703,263,463			916,898,529			—			—
Investments in securities of unaffiliated issuers, at value	$	5,352,563,885		$	2,146,031,322		$	303,032,830		$	377,902,149
Investments in securities of controlled affiliated issuers, at value		1,703,560,950			917,074,447			—			—
Cash		2,697,865			10,530,159			320,579			76,780
Cash denominated in foreign currencies‡		8,349,773			18,106,796			—			800,460
Unrealized appreciation on forward foreign currency exchange contracts		1,287,463			33,986,679			—			1,653,580
Unrealized appreciation on OTC swaps		41,025,273			30,614,259			959,730			976,134
Deposits for securities sold short		—			97,623,281			—			—
Due from broker		402,530,262			37,127,903			3,711,473			3,845,181
Deposits with brokers for centrally cleared swaps (unamortized upfront payments, $—, $12,640,604, $— and $14,244,672, respectively)		—			9,739,495			—			12,986,402
Deposits with brokers for futures contracts		38,606,449			71,943,047			28,214,825			11,111,021
Variation margin on centrally cleared swaps		—			45,830			—			332,531
Variation margin on futures contracts		6,074,672			10,770,405			2,988,563			1,415,160
Receivables:
Securities sold		133,469,555			173,021,579			—			386,186
Foreign tax reclaims		1,417,628			359,658			—			—
Dividends and interest		4,468,726			5,497,392			233,896			433,529
Capital shares sold		5,690,133			1,103,511			247,423			937,823
Prepaid expenses		162,322			72,816			45,966			58,697
Total Assets		7,701,904,956			3,563,648,579			339,755,285			412,915,633
LIABILITIES:
Securities sold short, at value (proceeds $1,836,909,055, $453,613,990, $— and $—, respectively)		1,936,429,981			595,538,769			—			—
Due to broker		—			4,099,617			—			519,718
Unrealized depreciation on forward foreign currency exchange contracts		12,543,799			35,429,881			—			2,346,273
Unrealized depreciation on OTC swaps		309,757,800			162,447,684			4,924,993			3,253,791
Deposits from brokers for futures contracts		—			—			—			1,216
Variation margin on futures contracts		—			1,580,156			109,390			55,901
Payables:
Securities purchased		128,774,876			177,118,300			—			386,120
Accrued investment advisory fees		5,151,738			3,970,195			223,903			246,282
Accrued distribution fees—Class N		62,675			89,764			7,065			3,230
Accrued Trustee fees		1,103			1,013			243			199
Capital shares redeemed		17,615,479			4,871,493			504,999			139,414
Dividends and interest payable on securities sold short		2,255,623			542,495			—			—
Other accrued expenses and liabilities		2,013,374			955,672			139,224			250,415
Total Liabilities		2,414,606,448			986,645,039			5,909,817			7,202,559
Net Assets	$	5,287,298,508		$	2,577,003,540		$	333,845,468		$	405,713,074
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	5,527,314,913		$	3,026,975,405		$	329,866,392		$	396,996,083
Undistributed accumulated net investment income (loss)		(240,371,764	)		(185,797,938	)		13,647,649			831,674
Undistributed accumulated net realized gain (loss)		332,445,339			(154,923,529	)		7,344,865			12,183,482
Net unrealized appreciation (depreciation)		(332,089,980	)		(109,250,398	)		(17,013,438	)		(4,298,165	)
Net Assets	$	5,287,298,508		$	2,577,003,540		$	333,845,468		$	405,713,074
NET ASSETS:
Class I	$	4,135,232,719		$	1,566,088,097		$	141,121,068		$	357,173,550
Class N		280,362,948			430,354,188			34,150,468			15,953,002
Class R6		871,702,841			580,561,255			158,573,932			32,586,522
SHARES OUTSTANDING:
Class I		324,515,685			188,919,941			21,252,096			37,030,515
Class N		22,165,214			52,255,999			5,218,880			1,660,371
Class R6		68,243,557			69,925,537			23,801,596			3,376,122
NET ASSET VALUE:
Class I	$	12.74		$	8.29		$	6.64		$	9.65
Class N	$	12.65		$	8.24		$	6.54		$	9.61
Class R6	$	12.77		$	8.30		$	6.66		$	9.65
‡  Cash denominated in foreign currencies at cost	$	8,468,088		$	18,372,807		$	—		$	874,268

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

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

AQR Funds Semi-Annual Report June 2018

227

Statements of Assets and Liabilities June 30, 2018 (Unaudited)

	AQR RISK PARITY II HV FUND**		AQR RISK PARITY II MV FUND**		AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	53,556,381	$	71,774,592	$	5,027,574,901		$	529,592,217
Investments in securities of controlled affiliated issuers, at cost		—		—		1,132,807,112			—
Investments in securities of unaffiliated issuers, at value	$	53,699,164	$	71,786,399	$	5,081,186,851		$	537,836,115
Investments in securities of controlled affiliated issuers, at value		—		—		1,133,076,465			—
Cash		—		—		30,302,575			1,095,595
Cash denominated in foreign currencies‡		51,869		44,764		28,387,967			1,296,828
Unrealized appreciation on forward foreign currency exchange contracts		81,453		87,428		56,934,057			2,738,325
Unrealized appreciation on OTC swaps		97,709		92,673		36,761,514			549,657
Deposits for securities sold short		—		—		—			1,798,334
Due from broker		700,168		771,439		235,873,345			3,734,785
Deposits with brokers for futures contracts		3,224,929		2,657,927		172,744,588			16,344,637
Variation margin on futures contracts		314,173		298,412		12,279,118			403,560
Receivables:
Securities sold		20,588		46,274		49,219,190			13,487,533
Foreign tax reclaims		—		—		2,568,373			116,456
Dividends and interest		61,944		82,256		4,176,635			504,222
Capital shares sold		20		—		5,998,881			612,909
Prepaid expenses		24,511		24,160		135,125			29,188
Total Assets		58,276,528		75,891,732		6,849,644,684			580,548,144
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $1,565,755,880 and $65,118,689, respectively)		—		—		1,701,504,356			66,446,684
Reverse repurchase agreements, at value		12,053,090		—		—			—
Due to custodian		99,971		75,117		—			—
Due to broker		76,748		105,160		5,194,432			32,303
Unrealized depreciation on forward foreign currency exchange contracts		11,464		11,187		72,884,683			3,315,483
Unrealized depreciation on OTC swaps		545,920		547,881		152,035,153			12,701,307
Deposits from brokers for futures contracts		—		7,734		—			—
Variation margin on futures contracts		11,802		14,644		6,992,535			1,510,459
Payables:
Securities purchased		20,581		46,258		62,107,864			13,545,594
Accrued investment advisory fees		20,424		33,529		5,446,257			259,812
Accrued distribution fees—Class N		2,094		571		34,323			5,597
Accrued Trustee fees		15		—		632			119
Capital shares redeemed		—		14,575		5,266,815			370,695
Dividends and interest payable on securities sold short		—		—		2,678,385			92,777
Interest payable for reverse repurchase agreements		12,302		—		—			—
Other accrued expenses and liabilities		86,501		83,317		1,158,581			255,617
Total Liabilities		12,940,912		939,973		2,015,304,016			98,536,447
Net Assets	$	45,335,616	$	74,951,759	$	4,834,340,668		$	482,011,697
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	43,090,410	$	72,328,754	$	5,013,083,974		$	488,821,983
Undistributed accumulated net investment income (loss)		185,600		521,295		(171,458,263	)		(7,425,656	)
Undistributed accumulated net realized gain (loss)		1,896,042		2,049,372		173,360,904			4,079,335
Net unrealized appreciation (depreciation)		163,564		52,338		(180,645,947	)		(3,463,965	)
Net Assets	$	45,335,616	$	74,951,759	$	4,834,340,668		$	482,011,697
NET ASSETS:
Class I	$	34,372,991	$	71,498,847	$	3,025,751,073		$	366,160,435
Class N		10,070,279		2,772,897		162,724,467			26,934,348
Class R6		892,346		680,015		1,645,865,128			88,916,914
SHARES OUTSTANDING:
Class I		3,889,364		7,705,928		314,532,686			35,877,073
Class N		1,144,223		301,164		16,994,017			2,651,227
Class R6		100,915		73,252		170,658,235			8,693,499
NET ASSET VALUE:
Class I	$	8.84	$	9.28	$	9.62		$	10.21
Class N	$	8.80	$	9.21	$	9.58		$	10.16
Class R6	$	8.84	$	9.28	$	9.64		$	10.23
‡  Cash denominated in foreign currencies at cost	$	52,279	$	45,066	$	28,577,738		$	1,297,496

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

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

AQR Funds Semi-Annual Report June 2018

228

Statements of Operations June 30, 2018 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND			AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	2,092,184		$	1,742,430		$	11,993,343		$	115,404
Controlled affiliated issuers		—			—			8,060,136			—
Interest income		—			4,097,626			4,038,365			98,791
Non-cash dividend income from non-affiliates		—			1,896,000			1,246,748			—
Total Income		2,092,184			7,736,056			25,338,592			214,195
EXPENSES:
Investment advisory fees		778,901			2,265,768			12,322,917			192,754
Custody fees		7,674			—			23,693			27,332
Administration & accounting fees		14,890			55,474			293,085			4,331
Legal fees		1,511			42,392			21,544			342
Audit & tax fees		32,658			92,834			50,575			54,708
Shareholder reporting fees		6,575			22,003			83,494			1,187
Transfer agent fees		44,172			224,562			912,726			15,821
Trustee fees		5,185			9,952			38,600			3,408
Offering costs		22,938			—			—			—
Distribution fees—Class N		3,576			98,167			426,978			5,272
Dividends and interest on securities sold short (Note 4)		1,409,891			1,853,733			10,504,841			—
Recoupment of waiver		—			13,477			23,990			—
Registration fees		37,643			24,920			101,319			20,131
Pricing fee		1,301			98,951			11,428			2,990
Other expenses		2,815			45,288			29,224			1,285
Total Expenses		2,369,730			4,847,521			24,844,414			329,561
Less fee waivers and/or reimbursements		(75,975	)		(139,520	)		—			(108,255	)
Net Expenses		2,293,755			4,708,001			24,844,414			221,306
Net Investment Income (Loss)		(201,571	)		3,028,055			494,178			(7,111	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(4,528,537	)		31,867,306			16,286,962			(9,765	)
Transactions in investment securities of affiliated issuers		—			(132,058	)		—			—
Transactions in investment securities of controlled affiliated issuers		—			—			(62,023	)		—
Settlement of foreign currency and foreign currency transactions		(83,011	)		(76,237	)		48,321			(5,829	)
Settlement of forward foreign currency contracts		(1,309,402	)		75,849			1,414,634			(95,292	)
Expiration or closing of futures contracts		(3,087,988	)		(1,512,623	)		(4,679,326	)		1,178,466
Closed short positions in securities		(8,049,768	)		(18,834,107	)		(26,429,841	)		—
Expiration or closing of swap contracts		(186,686	)		5,476,102			(34,991,089	)		829,664
Expiration or closing of option contracts written		393,347			718			—			—
Net realized gain (loss)		(16,852,045	)		16,864,950			(48,412,362	)		1,897,244
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		1,701,462			(15,243,598	)		(35,781,848	)		7,102
Investment securities of affiliated issuers		—			809,530			—			—
Transactions in investment securities of controlled affiliated issuers		—			—			145,895			—
Foreign currency and foreign currency transactions		9,074			(22,862	)		148,411			(6,803	)
Forward foreign currency exchange contracts		(902,609	)		189,421			1,608,006			229,847
Futures contracts		(117,951	)		930,981			(130,738	)		125,889
Short positions in securities		4,441,428			9,350,922			44,701,575			—
Swap contracts		(1,024,148	)		(173,695	)		(159,650,310	)		(103,447	)
Option contracts written		103,531			—			—			—
Net change in unrealized appreciation (depreciation)		4,210,787			(4,159,301	)		(148,959,009	)		252,588
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(12,641,258	)		12,705,649			(197,371,371	)		2,149,832
Net increase (decrease) in net assets resulting from operations	$	(12,842,829	)	$	15,733,704		$	(196,877,193	)	$	2,142,721
†  Net of foreign taxes withheld of	$	114,102		$	1,471		$	1,887,007		$	—

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

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

AQR Funds Semi-Annual Report June 2018

229

Statements of Operations June 30, 2018 (Unaudited)

	AQR LONG-SHORT EQUITY FUND			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**			AQR RISK PARITY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	20,090,459		$	12,465,111		$	973,828		$	1,135,552
Controlled affiliated issuers		15,216,042			7,834,736			—			—
Interest income		15,384,136			5,008,996			898,831			2,835,049
Total Income		50,690,637			25,308,843			1,872,659			3,970,601
EXPENSES:
Investment advisory fees		32,548,792			25,986,074			1,048,128			1,603,099
Custody fees		11,073			76,880			6,222			12,967
Administration & accounting fees		788,429			451,686			36,176			62,248
Legal fees		55,178			134,129			3,274			1,550
Audit & tax fees		58,917			103,020			44,644			57,825
Shareholder reporting fees		210,043			128,668			8,164			16,585
Transfer agent fees		2,268,030			1,075,310			73,833			189,366
Trustee fees		95,850			49,023			7,277			9,880
Distribution fees—Class N		455,260			556,231			28,525			20,237
Dividends and interest on securities sold short (Note 4)		14,904,217			6,121,117			—			—
Recoupment of waiver		—			24,508			859			14,798
Registration fees		127,009			46,012			26,191			30,797
Pricing fee		11,444			13,803			36			1,582
Other expenses		77,393			44,191			3,555			6,513
Total Expenses		51,611,635			34,810,652			1,286,884			2,027,447
Less fee waivers and/or reimbursements		—			—			(12,186	)		(7,100	)
Net Expenses		51,611,635			34,810,652			1,274,698			2,020,347
Net Investment Income (Loss)		(920,998	)		(9,501,809	)		597,961			1,950,254
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		117,801,336			19,100,341			(11,732	)		430,589
Transactions in investment securities of controlled affiliated issuers		(150,077	)		(80,371	)		—			—
Settlement of foreign currency and foreign currency transactions		527,016			(539,921	)		—			(380,196	)
Settlement of forward foreign currency contracts		(15,825,489	)		(13,053,601	)		—			(551,713	)
Expiration or closing of futures contracts		93,160,102			8,117,016			8,150,019			4,361,982
Closed short positions in securities		(90,426,983	)		(12,946,154	)		—			—
Expiration or closing of swap contracts		140,477,320			52,430,271			(780,792	)		599,101
Expiration or closing of option contracts written		—			955,603			—			—
Net realized gain (loss)		245,563,225			53,983,184			7,357,495			4,459,763
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		(111,936,638	)		28,534,173			41,231			(3,362,597	)
Transactions in investment securities of controlled affiliated issuers		297,487			175,918			—			—
Foreign currency and foreign currency transactions		1,173,880			(1,014,766	)		—			491,924
Forward foreign currency exchange contracts		(18,360,113	)		2,916,266			—			(1,677,560	)
Futures contracts		(52,690,399	)		(13,733,990	)		(21,494,943	)		(3,257,148	)
Short positions in securities		(62,999,211	)		(29,678,019	)		—			—
Swap contracts		(513,866,736	)		(284,522,011	)		(3,050,830	)		(7,115,228	)
Option contracts written		—			2,457,349			—			—
Net change in unrealized appreciation (depreciation)		(758,381,730	)		(294,865,080	)		(24,504,542	)		(14,920,609	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(512,818,505	)		(240,881,896	)		(17,147,047	)		(10,460,846	)
Net increase (decrease) in net assets resulting from operations	$	(513,739,503	)	$	(250,383,705	)	$	(16,549,086	)	$	(8,510,592	)
†  Net of foreign taxes withheld of	$	930,576		$	11,204		$	—		$	47,972

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

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

AQR Funds Semi-Annual Report June 2018

230

Statements of Operations June 30, 2018 (Unaudited)

	AQR RISK PARITY II HV FUND**			AQR RISK PARITY II MV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	134,817		$	213,081		$	37,521,315		$	3,707,284
Controlled affiliated issuers		—			—			8,395,349			—
Interest income		500,872			523,685			7,733,007			1,011,515
Total Income		635,689			736,766			53,649,671			4,718,799
EXPENSES:
Investment advisory fees		248,173			286,214			33,834,438			1,556,308
Custody fees		10,765			10,398			39,350			10,342
Administration & accounting fees		7,705			11,413			680,458			67,092
Legal fees		2,504			2,432			37,386			2,296
Audit & tax fees		54,725			52,262			68,778			64,882
Shareholder reporting fees		2,174			3,012			182,628			19,009
Transfer agent fees		31,985			44,058			1,356,491			191,340
Trustee fees		3,823			4,179			77,839			10,558
Distribution fees—Class N		16,382			3,423			220,277			40,841
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4)		105,245			—			19,502,978			899,983
Recoupment of waiver		—			—			59,178			13,094
Registration fees		21,917			22,046			88,812			28,318
Pricing fee		11			30			11,382			11,366
Other expenses		2,474			2,463			66,555			7,056
Total Expenses		507,883			441,930			56,226,550			2,922,485
Less fee waivers and/or reimbursements		(87,774	)		(77,617	)		(58,020	)		—
Net Expenses		420,109			364,313			56,168,530			2,922,485
Net Investment Income (Loss)		215,580			372,453			(2,518,859	)		1,796,314
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		92,439			72,901			294,123,759			3,797,954
Transactions in investment securities of controlled affiliated issuers		—			—			(128,810	)		—
Settlement of foreign currency and foreign currency transactions		(16,181	)		(13,263	)		(1,543,031	)		(717	)
Settlement of forward foreign currency contracts		206,377			251,430			(1,748,780	)		359,108
Expiration or closing of futures contracts		828,364			1,082,441			13,702,353			1,091,388
Closed short positions in securities		—			—			(200,980,102	)		(3,146,050	)
Expiration or closing of swap contracts		(302,891	)		(357,339	)		140,163,352			6,843,556
Net realized gain (loss)		808,108			1,036,170			243,588,741			8,945,239
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		(630,582	)		(604,433	)		(238,913,659	)		(7,237,648	)
Transactions in investment securities of controlled affiliated issuers		—			—			269,353			—
Foreign currency and foreign currency transactions		4,242			2,369			(1,645,294	)		(35,494	)
Forward foreign currency exchange contracts		187,762			182,364			(9,802,920	)		(228,511	)
Futures contracts		(605,318	)		(532,834	)		(11,469,168	)		(111,261	)
Short positions in securities		—			—			(58,571,016	)		2,655,498
Swap contracts		(403,095	)		(427,470	)		(311,454,280	)		(22,815,222	)
Net change in unrealized appreciation (depreciation)		(1,446,991	)		(1,380,004	)		(631,586,984	)		(27,772,638	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(638,883	)		(343,834	)		(387,998,243	)		(18,827,399	)
Net increase (decrease) in net assets resulting from operations	$	(423,303	)	$	28,619		$	(390,517,102	)	$	(17,031,085	)
†  Net of foreign taxes withheld of	$	2,351		$	4,006		$	2,121,856		$	208,769

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

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

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Statements of Changes in Net Assets June 30, 2018

	AQR ALTERNATIVE RISK PREMIA FUND						AQR DIVERSIFIED ARBITRAGE FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE PERIOD 9/19/17*- 12/31/17			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	(201,571	)	$	(17,470	)	$	3,028,055		$	1,001,428
Net realized gain (loss)		(16,852,045	)		(679,106	)		16,864,950			(10,574,813	)
Net change in unrealized appreciation (depreciation)		4,210,787			338,951			(4,159,301	)		37,246,211
Net increase (decrease) in net assets resulting from operations		(12,842,829	)		(357,625	)		15,733,704			27,672,826
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			—			—			(26,664,397	)
Class N		—			—			—			(5,145,014	)
Class R6		—			—			—			(558,283	)
Total		—			—			—			(32,367,694	)
Total distributions		—			—			—			(32,367,694	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		187,001,557			29,460,090			66,643,831			159,039,676
Reinvestment of distributions		—			—			—			15,220,267
Cost of shares redeemed		(64,393,387	)		(2,476,748	)		(98,880,758	)		(142,617,620	)
Net increase (decrease) from capital transactions		122,608,170			26,983,342			(32,236,927	)		31,642,323
CLASS N
Proceeds from shares sold		5,134,067			2,408,539			17,486,328			19,139,174
Reinvestment of distributions		—			—			—			5,124,877
Cost of shares redeemed		(1,442,728	)		(870,459	)		(11,910,917	)		(48,486,010	)
Net increase (decrease) from capital transactions		3,691,339			1,538,080			5,575,411			(24,221,959	)
CLASS R6
Proceeds from shares sold		43,040,159			51,685,926			9,562,645			3,691,438
Reinvestment of distributions		—			—			—			558,283
Cost of shares redeemed		(14,469,929	)		(1,641,920	)		(3,380,763	)		(830,613	)
Net increase (decrease) from capital transactions		28,570,230			50,044,006			6,181,882			3,419,108
Net increase (decrease) in net assets resulting from capital transactions		154,869,739			78,565,428			(20,479,634	)		10,839,472
Total increase (decrease) in net assets		142,026,910			78,207,803			(4,745,930	)		6,144,604
NET ASSETS:
Beginning of period		78,207,803			—			472,161,855			466,017,251
End of period	$	220,234,713		$	78,207,803		$	467,415,925		$	472,161,855
Undistributed accumulated net investment income (loss)	$	(259,132	)	$	(57,561	)	$	(19,392,498	)	$	(22,420,553	)

The accompanying notes are an integral part of these financial statements. (continued on p. 262)

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Statements of Changes in Net Assets June 30, 2018

	AQR ALTERNATIVE RISK PREMIA FUND						AQR DIVERSIFIED ARBITRAGE FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE PERIOD 9/19/17*- 12/31/17			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,682,282			—			42,440,083			39,012,519
Shares sold		19,391,065			2,928,020			7,229,201			16,738,611
Shares issued on reinvestment of distributions		—			—			—			1,674,397
Shares redeemed		(6,722,671	)		(245,738	)		(10,772,697	)		(14,985,444	)
Shares outstanding, end of period		15,350,676			2,682,282			38,896,587			42,440,083
CLASS N
Shares outstanding, beginning of period		153,729			—			8,415,812			10,932,154
Shares sold		532,482			240,206			1,895,742			2,021,912
Shares issued on reinvestment of distributions		—			—			—			563,793
Shares redeemed		(149,072	)		(86,477	)		(1,295,667	)		(5,102,047	)
Shares outstanding, end of period		537,139			153,729			9,015,887			8,415,812
CLASS R6
Shares outstanding, beginning of period		4,972,362			—			924,895			560,186
Shares sold		4,437,499			5,135,575			1,047,785			389,979
Shares issued on reinvestment of distributions		—			—			—			61,552
Shares redeemed		(1,471,860	)		(163,213	)		(370,420	)		(86,822	)
Shares outstanding, end of period		7,938,001			4,972,362			1,602,260			924,895

* Commencement of operations

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

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Statements of Changes in Net Assets June 30, 2018

	AQR EQUITY MARKET NEUTRAL FUND						AQR GLOBAL MACRO FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	494,178		$	(11,112,530	)	$	(7,111	)	$	(155,507	)
Net realized gain (loss)		(48,412,362	)		35,299,203			1,897,244			(1,675,159	)
Net change in unrealized appreciation (depreciation)		(148,959,009	)		65,277,178			252,588			905,855
Net increase (decrease) in net assets resulting from operations		(196,877,193	)		89,463,851			2,142,721			(924,811	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(51,647,198	)		—			(4,091	)
Class N		—			(11,886,225	)		—			—
Class R6		—			(10,859,269	)		—			(16,957	)
Total		—			(74,392,692	)		—			(21,048	)
Total distributions		—			(74,392,692	)		—			(21,048	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		431,083,039			1,080,261,350			9,999,687			9,413,713
Reinvestment of distributions		—			40,825,774			—			4,091
Cost of shares redeemed		(462,979,812	)		(376,083,911	)		(3,724,513	)		(18,482,929	)
Net increase (decrease) from capital transactions		(31,896,773	)		745,003,213			6,275,174			(9,065,125	)
CLASS N
Proceeds from shares sold		67,451,883			319,225,684			2,057,919			1,132,109
Reinvestment of distributions		—			11,872,249			—			—
Cost of shares redeemed		(112,342,253	)		(122,959,941	)		(234,335	)		(1,354,486	)
Net increase (decrease) from capital transactions		(44,890,370	)		208,137,992			1,823,584			(222,377	)
CLASS R6
Proceeds from shares sold		122,351,722			215,624,249			44,886			9,732,823
Reinvestment of distributions		—			3,793,780			—			16,957
Cost of shares redeemed		(123,740,897	)		(72,646,247	)		(22,850	)		(18,553	)
Net increase (decrease) from capital transactions		(1,389,175	)		146,771,782			22,036			9,731,227
Net increase (decrease) in net assets resulting from capital transactions		(78,176,318	)		1,099,912,987			8,120,794			443,725
Total increase (decrease) in net assets		(275,053,511	)		1,114,984,146			10,263,515			(502,134	)
NET ASSETS:
Beginning of period		2,237,035,147			1,122,051,001			26,061,302			26,563,436
End of period	$	1,961,981,636		$	2,237,035,147		$	36,324,817		$	26,061,302
Undistributed accumulated net investment income (loss)	$	(76,502,591	)	$	(76,996,769	)	$	(85,789	)	$	(78,678	)

The accompanying notes are an integral part of these financial statements. (continued on p. 264)

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Statements of Changes in Net Assets June 30, 2018

	AQR EQUITY MARKET NEUTRAL FUND						AQR GLOBAL MACRO FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		126,740,391			66,027,774			1,051,631			2,093,720
Shares sold		35,416,910			88,121,432			1,072,964			1,070,707
Shares issued on reinvestment of distributions		—			3,276,547			—			469
Shares redeemed		(38,615,655	)		(30,685,362	)		(401,437	)		(2,113,265	)
Shares outstanding, end of period		123,541,646			126,740,391			1,723,158			1,051,631
CLASS N
Shares outstanding, beginning of period		29,297,507			12,899,700			334,118			357,773
Shares sold		5,574,548			25,393,645			223,465			130,287
Shares issued on reinvestment of distributions	��	—			955,897			—			—
Shares redeemed		(9,407,607	)		(9,951,735	)		(25,376	)		(153,942	)
Shares outstanding, end of period		25,464,448			29,297,507			532,207			334,118
CLASS R6
Shares outstanding, beginning of period		26,681,122			14,839,955			1,597,192			482,492
Shares sold		9,997,852			17,476,921			4,766			1,114,858
Shares issued on reinvestment of distributions		—			304,477			—			1,945
Shares redeemed		(10,441,040	)		(5,940,231	)		(2,408	)		(2,103	)
Shares outstanding, end of period		26,237,934			26,681,122			1,599,550			1,597,192

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

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

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Statements of Changes in Net Assets June 30, 2018

	AQR LONG-SHORT EQUITY FUND						AQR MULTI-STRATEGY ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	(920,998	)	$	(24,953,313	)	$	(9,501,809	)	$	(25,089,728	)
Net realized gain (loss)		245,563,225			350,367,220			53,983,184			165,527,250
Net change in unrealized appreciation (depreciation)		(758,381,730	)		299,785,467			(294,865,080	)		(39,445,250	)
Net increase (decrease) in net assets resulting from operations		(513,739,503	)		625,199,374			(250,383,705	)		100,992,272
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(155,690,395	)		—			(127,847,201	)
Class N		—			(13,887,554	)		—			(25,853,587	)
Class R6		—			(36,742,265	)		—			(38,661,644	)
Total		—			(206,320,214	)		—			(192,362,432	)
Net realized gain:
Class I		—			(195,742,211	)		—			(31,061,805	)
Class N		—			(18,658,669	)		—			(6,565,641	)
Class R6		—			(45,336,865	)		—			(9,250,786	)
Total		—			(259,737,745	)		—			(46,878,232	)
Total distributions		—			(466,057,959	)		—			(239,240,664	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,200,910,135			2,781,588,310			308,834,226			592,399,242
Reinvestment of distributions		—			246,544,609			—			121,893,204
Cost of shares redeemed		(815,041,880	)		(798,799,416	)		(571,941,829	)		(1,041,915,240	)
Net increase (decrease) from capital transactions		385,868,255			2,229,333,503			(263,107,603	)		(327,622,794	)
CLASS N
Proceeds from shares sold		97,290,169			271,303,334			86,022,337			80,752,855
Reinvestment of distributions		—			32,265,788			—			32,408,081
Cost of shares redeemed		(173,131,078	)		(224,410,842	)		(49,311,624	)		(129,604,451	)
Net increase (decrease) from capital transactions		(75,840,909	)		79,158,280			36,710,713			(16,443,515	)
CLASS R6
Proceeds from shares sold		282,635,243			558,911,989			75,386,654			114,152,756
Reinvestment of distributions		—			38,588,892			—			46,123,161
Cost of shares redeemed		(287,334,264	)		(109,232,039	)		(53,036,880	)		(144,378,330	)
Net increase (decrease) from capital transactions		(4,699,021	)		488,268,842			22,349,774			15,897,587
Net increase (decrease) in net assets resulting from capital transactions		305,328,325			2,796,760,625			(204,047,116	)		(328,168,722	)
Total increase (decrease) in net assets		(208,411,178	)		2,955,902,040			(454,430,821	)		(466,417,114	)
NET ASSETS:
Beginning of period		5,495,709,686			2,539,807,646			3,031,434,361			3,497,851,475
End of period	$	5,287,298,508		$	5,495,709,686		$	2,577,003,540		$	3,031,434,361
Undistributed accumulated net investment income (loss)	$	(240,371,764	)	$	(239,450,766	)	$	(185,797,938	)	$	(176,296,129	)

The accompanying notes are an integral part of these financial statements. (continued on p. 266)

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236

Statements of Changes in Net Assets June 30, 2018

	AQR LONG-SHORT EQUITY FUND						AQR MULTI-STRATEGY ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		298,568,829			137,770,452			219,604,853			253,175,292
Shares sold		86,319,870			199,716,250			34,921,146			62,004,170
Shares issued on reinvestment of distributions		—			17,485,434			—			13,394,858
Shares redeemed		(60,373,014	)		(56,403,307	)		(65,606,058	)		(108,969,467	)
Shares outstanding, end of period		324,515,685			298,568,829			188,919,941			219,604,853
CLASS N
Shares outstanding, beginning of period		27,927,412			22,112,585			48,119,919			49,655,549
Shares sold		7,035,205			19,567,362			9,788,962			8,464,360
Shares issued on reinvestment of distributions		—			2,303,054			—			3,581,003
Shares redeemed		(12,797,403	)		(16,055,589	)		(5,652,882	)		(13,580,993	)
Shares outstanding, end of period		22,165,214			27,927,412			52,255,999			48,119,919
CLASS R6
Shares outstanding, beginning of period		69,452,664			34,579,765			67,398,448			65,492,180
Shares sold		20,068,170			39,728,027			8,578,300			11,858,560
Shares issued on reinvestment of distributions		—			2,730,990			—			5,062,916
Shares redeemed		(21,277,277	)		(7,586,118	)		(6,051,211	)		(15,015,208	)
Shares outstanding, end of period		68,243,557			69,452,664			69,925,537			67,398,448

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

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

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Statements of Changes in Net Assets June 30, 2018

	AQR RISK-BALANCED COMMODITIES STRATEGY FUND**						AQR RISK PARITY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	597,961		$	(456,433	)	$	1,950,254		$	836,136
Net realized gain (loss)		7,357,495			10,837,777			4,459,763			55,796,887
Net change in unrealized appreciation (depreciation)		(24,504,542	)		9,582,029			(14,920,609	)		10,816,715
Net increase (decrease) in net assets resulting from operations		(16,549,086	)		19,963,373			(8,510,592	)		67,449,738
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(7,748	)		—			(7,460,646	)
Class N		—			(670	)		—			(312,807	)
Class R6		—			(9,893	)		—			(734,994	)
Total		—			(18,311	)		—			(8,508,447	)
Net realized gain:
Class I		—			—			—			(32,756,280	)
Class N		—			—			—			(1,571,227	)
Class R6		—			—			—			(3,102,543	)
Total		—			—			—			(37,430,050	)
Total distributions		—			(18,311	)		—			(45,938,497	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		118,553,526			30,798,302			63,201,397			92,782,113
Reinvestment of distributions		—			6,204			—			38,834,250
Cost of shares redeemed		(57,568,653	)		(44,888,455	)		(114,111,967	)		(84,102,767	)
Net increase (decrease) from capital transactions		60,984,873			(14,083,949	)		(50,910,570	)		47,513,596
CLASS N
Proceeds from shares sold		30,918,197			3,479,417			2,226,210			8,383,608
Reinvestment of distributions		—			670			—			1,884,034
Cost of shares redeemed		(2,874,225	)		(3,711,574	)		(2,615,386	)		(11,247,752	)
Net increase (decrease) from capital transactions		28,043,972			(231,487	)		(389,176	)		(980,110	)
CLASS R6
Proceeds from shares sold		58,126,931			22,487,772			53,458			2,890,454
Reinvestment of distributions		—			6,667			—			3,837,537
Cost of shares redeemed		(2,650,415	)		(25,453,423	)		(7,257,856	)		(2,393,569	)
Net increase (decrease) from capital transactions		55,476,516			(2,958,984	)		(7,204,398	)		4,334,422
Net increase (decrease) in net assets resulting from capital transactions		144,505,361			(17,274,420	)		(58,504,144	)		50,867,908
Total increase (decrease) in net assets		127,956,275			2,670,642			(67,014,736	)		72,379,149
NET ASSETS:
Beginning of period		205,889,193			203,218,551			472,727,810			400,348,661
End of period	$	333,845,468		$	205,889,193		$	405,713,074		$	472,727,810
Undistributed accumulated net investment income (loss)	$	13,647,649		$	13,049,688		$	831,674		$	(1,118,580	)

The accompanying notes are an integral part of these financial statements. (continued on p. 268)

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Statements of Changes in Net Assets June 30, 2018

	AQR RISK-BALANCED COMMODITIES STRATEGY FUND**						AQR RISK PARITY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		12,725,339			15,023,251			42,326,766			37,411,773
Shares sold		16,902,606			4,771,225			6,476,182			9,347,782
Shares issued on reinvestment of distributions		—			947			—			4,020,109
Shares redeemed		(8,375,849	)		(7,070,084	)		(11,772,433	)		(8,452,898	)
Shares outstanding, end of period		21,252,096			12,725,339			37,030,515			42,326,766
CLASS N
Shares outstanding, beginning of period		1,109,579			1,167,206			1,701,531			1,827,019
Shares sold		4,530,247			547,782			227,936			830,983
Shares issued on reinvestment of distributions		—			103			—			195,439
Shares redeemed		(420,946	)		(605,512	)		(269,096	)		(1,151,910	)
Shares outstanding, end of period		5,218,880			1,109,579			1,660,371			1,701,531
CLASS R6
Shares outstanding, beginning of period		15,954,715			16,318,860			4,096,425			3,638,709
Shares sold		8,226,918			3,585,028			5,557			303,627
Shares issued on reinvestment of distributions		—			1,015			—			397,260
Shares redeemed		(380,037	)		(3,950,188	)		(725,860	)		(243,171	)
Shares outstanding, end of period		23,801,596			15,954,715			3,376,122			4,096,425

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

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

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Statements of Changes in Net Assets June 30, 2018

	AQR RISK PARITY II HV FUND**						AQR RISK PARITY II MV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	215,580		$	64,081		$	372,453		$	181,067
Net realized gain (loss)		808,108			7,797,604			1,036,170			7,925,329
Net change in unrealized appreciation (depreciation)		(1,446,991	)		1,618,727			(1,380,004	)		1,524,621
Net increase (decrease) in net assets resulting from operations		(423,303	)		9,480,412			28,619			9,631,017
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(167,670	)		—			(127,613	)
Class N		—			(80,039	)		—			(4,594	)
Class R6		—			(2,754	)		—			(1,094	)
Total		—			(250,463	)		—			(133,301	)
Net realized gain:
Class I		—			(4,177,994	)		—			(6,262,860	)
Class N		—			(1,994,405	)		—			(225,476	)
Class R6		—			(68,617	)		—			(53,679	)
Total		—			(6,241,016	)		—			(6,542,015	)
Total distributions		—			(6,491,479	)		—			(6,675,316	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		5,946,034			15,110,513			2,988,664			7,101,891
Reinvestment of distributions		—			3,036,675			—			5,580,145
Cost of shares redeemed		(10,114,872	)		(28,964,516	)		(9,515,997	)		(16,281,871	)
Net increase (decrease) from capital transactions		(4,168,838	)		(10,817,328	)		(6,527,333	)		(3,599,835	)
CLASS N
Proceeds from shares sold		4,040,750			16,904,780			544,989			208,795
Reinvestment of distributions		—			2,074,444			—			230,070
Cost of shares redeemed		(12,164,260	)		(6,275,267	)		(557,085	)		(3,521,633	)
Net increase (decrease) from capital transactions		(8,123,510	)		12,703,957			(12,096	)		(3,082,768	)
CLASS R6
Proceeds from shares sold		129,261			166,683			—			—
Reinvestment of distributions		—			62,917			—			54,773
Cost of shares redeemed		(4,000	)		(2,725,155	)		—			(5,041	)
Net increase (decrease) from capital transactions		125,261			(2,495,555	)		—			49,732
Net increase (decrease) in net assets resulting from capital transactions		(12,167,087	)		(608,926	)		(6,539,429	)		(6,632,871	)
Total increase (decrease) in net assets		(12,590,390	)		2,380,007			(6,510,810	)		(3,677,170	)
NET ASSETS:
Beginning of period		57,926,006			55,545,999			81,462,569			85,139,739
End of period	$	45,335,616		$	57,926,006		$	74,951,759		$	81,462,569
Undistributed accumulated net investment income (loss)	$	185,600		$	(29,980	)	$	521,295		$	148,842

The accompanying notes are an integral part of these financial statements. (continued on p. 270)

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Statements of Changes in Net Assets June 30, 2018

	AQR RISK PARITY II HV FUND**						AQR RISK PARITY II MV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		4,358,862			5,479,411			8,422,139			8,787,446
Shares sold		686,363			1,691,028			324,776			762,186
Shares issued on reinvestment of distributions		—			352,283			—			613,877
Shares redeemed		(1,155,861	)		(3,163,860	)		(1,040,987	)		(1,741,370	)
Shares outstanding, end of period		3,889,364			4,358,862			7,705,928			8,422,139
CLASS N
Shares outstanding, beginning of period		2,086,431			780,920			302,522			632,594
Shares sold		473,597			1,761,444			59,231			22,607
Shares issued on reinvestment of distributions		—			241,214			—			25,478
Shares redeemed		(1,415,805	)		(697,147	)		(60,589	)		(378,157	)
Shares outstanding, end of period		1,144,223			2,086,431			301,164			302,522
CLASS R6
Shares outstanding, beginning of period		86,209			337,040			73,253			67,769
Shares sold		15,150			18,874			(1	)		—
Shares issued on reinvestment of distributions		—			7,299			—			6,026
Shares redeemed		(444	)		(277,004	)		—			(542	)
Shares outstanding, end of period		100,915			86,209			73,252			73,253

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

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

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Statements of Changes in Net Assets June 30, 2018

	AQR STYLE PREMIA ALTERNATIVE FUND**						AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	(2,518,859	)	$	(29,302,646	)	$	1,796,314		$	(202,469	)
Net realized gain (loss)		243,588,741			297,431,846			8,945,239			17,349,598
Net change in unrealized appreciation (depreciation)		(631,586,984	)		214,060,873			(27,772,638	)		11,371,735
Net increase (decrease) in net assets resulting from operations		(390,517,102	)		482,190,073			(17,031,085	)		28,518,864
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(198,173,947	)		—			(16,573,601	)
Class N		—			(11,434,857	)		—			(1,709,872	)
Class R6		—			(107,819,061	)		—			(4,676,131	)
Total		—			(317,427,865	)		—			(22,959,604	)
Total distributions		—			(317,427,865	)		—			(22,959,604	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		828,138,903			1,236,903,921			86,434,102			175,105,320
Reinvestment of distributions		—			173,061,541			—			16,205,243
Cost of shares redeemed		(515,892,421	)		(813,602,935	)		(43,519,426	)		(109,840,424	)
Net increase (decrease) from capital transactions		312,246,482			596,362,527			42,914,676			81,470,139
CLASS N
Proceeds from shares sold		37,704,360			56,223,970			9,106,417			10,005,272
Reinvestment of distributions		—			11,321,176			—			1,707,961
Cost of shares redeemed		(38,512,285	)		(87,214,527	)		(16,650,905	)		(19,255,880	)
Net increase (decrease) from capital transactions		(807,925	)		(19,669,381	)		(7,544,488	)		(7,542,647	)
CLASS R6
Proceeds from shares sold		348,692,933			500,805,412			11,533,988			11,556,130
Reinvestment of distributions		—			94,724,682			—			4,676,131
Cost of shares redeemed		(182,700,989	)		(391,172,273	)		(13,428,094	)		(14,732,984	)
Net increase (decrease) from capital transactions		165,991,944			204,357,821			(1,894,106	)		1,499,277
Net increase (decrease) in net assets resulting from capital transactions		477,430,501			781,050,967			33,476,082			75,426,769
Total increase (decrease) in net assets		86,913,399			945,813,175			16,444,997			80,986,029
NET ASSETS:
Beginning of period		4,747,427,269			3,801,614,094			465,566,700			384,580,671
End of period	$	4,834,340,668		$	4,747,427,269		$	482,011,697		$	465,566,700
Undistributed accumulated net investment income (loss)	$	(171,458,263	)	$	(168,939,404	)	$	(7,425,656	)	$	(9,221,970	)

The accompanying notes are an integral part of these financial statements. (continued on p. 272)

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242

Statements of Changes in Net Assets June 30, 2018

	AQR STYLE PREMIA ALTERNATIVE FUND**						AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		284,753,468			228,188,253			31,798,558			24,164,696
Shares sold		80,153,348			119,718,870			8,204,593			16,492,368
Shares issued on reinvestment of distributions		—			16,403,938			—			1,523,049
Shares redeemed		(50,374,130	)		(79,557,593	)		(4,126,078	)		(10,381,555	)
Shares outstanding, end of period		314,532,686			284,753,468			35,877,073			31,798,558
CLASS N
Shares outstanding, beginning of period		17,131,773			19,081,538			3,367,115			4,098,530
Shares sold		3,642,756			5,470,866			863,977			947,010
Shares issued on reinvestment of distributions		—			1,077,181			—			160,977
Shares redeemed		(3,780,512	)		(8,497,812	)		(1,579,865	)		(1,839,402	)
Shares outstanding, end of period		16,994,017			17,131,773			2,651,227			3,367,115
CLASS R6
Shares outstanding, beginning of period		155,015,501			135,855,853			8,884,892			8,688,585
Shares sold		33,523,299			48,436,461			1,080,412			1,094,697
Shares issued on reinvestment of distributions		—			8,961,654			—			438,661
Shares redeemed		(17,880,565	)		(38,238,467	)		(1,271,805	)		(1,337,051	)
Shares outstanding, end of period		170,658,235			155,015,501			8,693,499			8,884,892

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

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

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243

Statements of Cash Flows June 30, 2018 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND			AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(12,842,829	)	$	15,733,704		$	(196,877,193	)
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		(185,291,772	)		(709,801,487	)		(283,231,799	)
Payments to cover short positions in securities		(52,202,226	)		(394,468,313	)		(263,243,269	)
Proceeds from short positions in securities		171,733,464			347,559,083			252,235,441
Proceeds from sale of securities		38,591,138			744,118,541			290,773,708
Proceeds from option contracts written		3,955,395			716			—
Payments to close option contracts written		(3,115,572	)		—			—
(Purchases) sales of short-term investments, net		(110,069,211	)		43,310,604			239,328,255
Realized (gain) loss on investments in securities		4,528,537			(31,735,248	)		(16,224,939	)
Realized (gain) loss on short positions in securities		8,049,768			18,834,107			26,429,841
Realized (gain) loss on option contracts written		(393,347	)		(718	)		—
Realized (gain) loss on paydowns		—			(1,602	)		—
Change in unrealized (appreciation) depreciation on investments in securities		(1,701,462	)		14,434,068			35,635,953
Change in unrealized (appreciation) depreciation on short positions in securities		(4,441,428	)		(9,350,922	)		(44,701,575	)
Change in unrealized (appreciation) depreciation on option contracts written		(103,531	)		—			—
Amortization (accretion) of bond premium (discount)		—			(487,850	)		(4,204,656	)
(Increases) decreases in operating assets:
Due from brokers		(6,558,689	)		—			(128,050,000	)
Deposits with brokers for futures contracts		(2,059,680	)		(301,185	)		3,828,962
Unrealized appreciation on forward foreign currency exchange contracts		(655,274	)		(93,545	)		(905,711	)
Unrealized appreciation on OTC swaps		235,062			1,783,008			84,186,401
Deposits for securities sold short		(9,861,136	)		(13,374,427	)		—
Deposits for written options		(9,531,884	)		—			—
Deposits with brokers for centrally cleared swaps		—			(7,572	)		—
Variation margin on centrally cleared swaps		—			(26,558	)		—
Variation margin on futures contracts		(315,555	)		193,853			429,488
Receivable for securities sold		(173,786,404	)		(12,393,856	)		(28,898,464	)
Foreign tax reclaim		(48,289	)		1,588			(437,295	)
Dividends and interest		(210,714	)		(76,503	)		(531,078	)
Prepaid expenses		10,975			(7,153	)		14,883
Increases (decreases) in operating liabilities
Due to broker		—			(341,507	)		640,000
Unrealized depreciation on forward foreign currency exchange contracts		1,557,883			(95,876	)		(702,295	)
Unrealized depreciation on OTC swaps		789,086			(1,370,871	)		75,463,909
Deposits from brokers for futures contracts		—			—			2
Variation margin on centrally cleared swaps		—			(11,478	)		—
Variation margin on futures contracts		49,967			85,489			—
Payable for securities purchased		189,064,052			12,847,309			30,237,198
Accrued investment advisory fees		138,877			(73,210	)		(187,599	)
Accrued distribution fees—Class N		343			222			(12,197	)
Accrued Trustees fees		220			5			440
Dividends and Interest payable on securities sold short and reverse repurchase agreements		175,320			(634	)		32,636
Other accrued expenses and liabilities		(6,317	)		35,051			(22,048	)
Net cash provided by (used in) operating activities	$	(154,315,233	)	$	24,916,833		$	71,006,999
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		234,528,209			94,295,633			627,723,612
Payments on shares redeemed		(80,025,295	)		(115,036,441	)		(703,403,660	)
Net cash provided by (used in) financing activities	$	154,502,914		$	(20,740,808	)	$	(75,680,048	)
Net change in cash and cash denominated in foreign currencies		187,681			4,176,025			(4,673,049	)
Cash, beginning of period		789,393			687,580			8,046,784
Cash, end of period**	$	977,074		$	4,863,605		$	3,373,735

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $321,319, $692,657 and $1,913,422.

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

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244

Statements of Cash Flows June 30, 2018 (Unaudited)

	AQR LONG-SHORT EQUITY FUND			AQR MULTI- STRATEGY ALTERNATIVE FUND***			AQR RISK PARITY II HV FUND***
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(513,739,503	)	$	(250,383,705	)	$	(423,303	)
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		(3,429,680,077	)		(286,863,873	)		(4,648,516	)
Payments to cover short positions in securities		(1,936,884,220	)		(339,203,404	)		—
Proceeds from short positions in securities		2,575,945,147			179,715,176			—
Proceeds from sale of securities		2,374,199,186			491,001,427			4,442,400
(Purchases) sales of short-term investments, net		357,310,083			98,096,653			11,172,146
Realized (gain) loss on investments in securities		(117,651,259	)		(19,019,970	)		(92,439	)
Realized (gain) loss on short positions in securities		90,426,983			12,946,154			—
Realized (gain) loss on option contracts written		—			(955,603	)		—
Change in unrealized (appreciation) depreciation on investments in securities		111,639,151			(28,710,091	)		630,582
Change in unrealized (appreciation) depreciation on short positions in securities		62,999,211			29,678,019			—
Change in unrealized (appreciation) depreciation on option contracts written		—			(2,457,349	)		—
Amortization (accretion) of bond premium (discount)		(17,173,530	)		(1,160,650	)		(542,449	)
(Increases) decreases in operating assets:
Due from brokers		(272,019,454	)		20,129,471			(368,487	)
Deposits with brokers for futures contracts		51,674,431			25,223,133			831,081
Unrealized appreciation on forward foreign currency exchange contracts		7,642,918			8,829,949			(80,673	)
Unrealized appreciation on OTC swaps		219,629,915			137,473,786			26,750
Deposits for securities sold short		—			18,834,913			—
Deposits with brokers for centrally cleared swaps		—			(341,621	)		—
Variation margin on centrally cleared swaps		—			(45,830	)		—
Variation margin on futures contracts		(6,074,672	)		(6,338,901	)		(52,701	)
Receivable for securities sold		(133,469,555	)		(112,430,197	)		(20,516	)
Foreign tax reclaim		135,214			44,084			—
Dividends and interest		(1,357,833	)		306,379			(5,139	)
Prepaid expenses		26,974			8,016			4,477
Increases (decreases) in operating liabilities
Due to broker		(197,508,832	)		(15,861,849	)		56,073
Unrealized depreciation on forward foreign currency exchange contracts		10,717,195			(11,746,215	)		(107,089	)
Unrealized depreciation on OTC swaps		294,236,821			144,987,817			376,345
Deposits from brokers for futures contracts		—			—			—
Variation margin on centrally cleared swaps		—			(902,250	)		—
Variation margin on futures contracts		(5,644,330	)		(427,574	)		(136,428	)
Payable for securities purchased		128,774,876			117,102,240			20,409
Accrued investment advisory fees		(46,773	)		(928,637	)		(23,358	)
Accrued distribution fees—Class N		(21,017	)		(2,772	)		(1,770	)
Accrued Trustees fees		1,103			1,013			15
Dividends and Interest payable on securities sold short and reverse repurchase agreements		978,724			88,550			—
Interest payable for reverse repurchase agreements		—			—			6,700
Other accrued expenses and liabilities		36,111			(212,513	)		(20,368	)
Net cash provided by (used in) operating activities	$	(344,897,012	)	$	206,473,776		$	11,043,742
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		1,596,261,010			475,378,331			10,120,315
Net change in reverse repurchase agreements		—			—			1,023,195
Payments on shares redeemed		(1,267,302,181	)		(682,441,178	)		(22,283,462	)
Due to custodian		—			—			99,971
Net cash provided by (used in) financing activities	$	328,958,829		$	(207,062,847	)	$	(11,039,981	)
Net change in cash and cash denominated in foreign currencies		(15,938,183	)		(589,071	)		3,761
Cash, beginning of period		26,985,821			29,226,026			48,108
Cash, end of period**	$	11,047,638		$	28,636,955		$	51,869

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $4,616,896, $2,990,932 and $105,245.

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

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

AQR Funds Semi-Annual Report June 2018

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Statements of Cash Flows June 30, 2018 (Unaudited)

	AQR STYLE PREMIA ALTERNATIVE FUND***			AQR STYLE PREMIA ALTERNATIVE LV FUND***
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(390,517,102	)	$	(17,031,085	)
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		(3,190,574,779	)		(36,331,086	)
Payments to cover short positions in securities		(2,252,866,858	)		(22,622,418	)
Proceeds from short positions in securities		2,581,327,433			33,472,538
Proceeds from sale of securities		2,270,783,895			26,964,487
(Purchases) sales of short-term investments, net		261,673,957			(31,506,541	)
Realized (gain) loss on investments in securities		(293,994,949	)		(3,797,954	)
Realized (gain) loss on short positions in securities		200,980,102			3,146,050
Change in unrealized (appreciation) depreciation on investments in securities		238,644,306			7,237,648
Change in unrealized (appreciation) depreciation on short positions in securities		58,571,016			(2,655,498	)
Amortization (accretion) of bond premium (discount)		(9,477,125	)		(1,107,342	)
(Increases) decreases in operating assets:
Due from brokers		(131,455,679	)		(456,109	)
Deposits with brokers for futures contracts		68,134,337			(3,228,094	)
Unrealized appreciation on forward foreign currency exchange contracts		(2,749,920	)		10,676
Unrealized appreciation on OTC swaps		172,600,822			10,712,462
Deposits for securities sold short		—			(1,798,334	)
Variation margin on futures contracts		(3,976,331	)		141,844
Receivable for securities sold		(14,750,122	)		(13,487,533	)
Foreign tax reclaim		98,279			(31,524	)
Dividends and interest		(663,782	)		(144,228	)
Prepaid expenses		5,103			7,317
Increases (decreases) in operating liabilities
Due to broker		(195,421,109	)		(11,092,457	)
Unrealized depreciation on forward foreign currency exchange contracts		12,552,840			217,835
Unrealized depreciation on OTC swaps		138,853,458			12,102,760
Deposits from brokers for futures contracts		(492,507	)		—
Variation margin on futures contracts		3,748,151			1,145,214
Payable for securities purchased		27,624,363			13,545,594
Accrued investment advisory fees		54,361			21,867
Accrued distribution fees—Class N		(3,345	)		(2,108	)
Accrued Trustees fees		632			119
Dividends and Interest payable on securities sold short and reverse repurchase agreements		1,576,761			37,170
Other accrued expenses and liabilities		(94,556	)		17,603
Net cash provided by (used in) operating activities	$	(449,808,348	)	$	(36,511,127	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		1,229,603,479			106,698,174
Payments on shares redeemed		(742,087,165	)		(73,445,982	)
Net cash provided by (used in) financing activities	$	487,516,314		$	33,252,192
Net change in cash and cash denominated in foreign currencies		37,707,966			(3,258,935	)
Cash, beginning of period		20,982,576			5,651,358
Cash, end of period**	$	58,690,542		$	2,392,423

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $4,644,536 and $222,165.

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

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

AQR Funds Semi-Annual Report June 2018

246

Statements of Cash Flows June 30, 2018 (Unaudited)

** The following is a reconciliation of cash and cash held in foreign currencies reported within the Statements of Assets and Liabilities that sum to the total of the same such amounts disclosed in the Statements of Cash Flows:

Fund	CASH		CASH DENOMINATED IN FOREIGN CURRENCIES		TOTAL CASH AND CASH DENOMINATED IN FOREIGN CURRENCIES
AQR Alternative Risk Premia Fund		$492,283		$484,791		$977,074
AQR Diversified Arbitrage Fund		3,781,414		1,082,191		4,863,605
AQR Equity Market Neutral Fund		125,185		3,248,550		3,373,735
AQR Long-Short Equity Fund		2,697,865		8,349,773		11,047,638
AQR Multi-Strategy Alternative Fund		10,530,159		18,106,796		28,636,955
AQR Risk Parity II HV Fund		—		51,869		51,869
AQR Style Premia Alternative Fund		30,302,575		28,387,967		58,690,542
AQR Style Premia Alternative LV Fund		1,095,595		1,296,828		2,392,423

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

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247

Financial Highlights June 30, 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			Return of Capital			Total Distributions
AQR ALTERNATIVE RISK PREMIA FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.01		(0.01	)		(0.76	)		(0.77	)		—			—			—			—
FOR THE PERIOD 9/19/177—12/31/17		$10.00		(0.01	)		0.02	8		0.01			—			—			—			—
AQR ALTERNATIVE RISK PREMIA FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.01		(0.04	)		(0.74	)		(0.78	)		—			—			—			—
FOR THE PERIOD 9/19/177—12/31/17		$10.00		(0.01	)		0.02	8		0.01			—			—			—			—
AQR ALTERNATIVE RISK PREMIA FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.02		(0.02	)		(0.75	)		(0.77	)		—			—			—			—
FOR THE PERIOD 9/19/177—12/31/17		$10.00		(0.01	)		0.03	8		0.02			—			—			—			—
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.12		0.06			0.26			0.32			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.23		0.02			0.52			0.54			(0.65	)		—			—			(0.65	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.21		0.07			0.61			0.68			(0.66	)		—			—			(0.66	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		0.07			(0.55	)		(0.48	)		(0.45	)		—			—			(0.45	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.91		0.23			(0.80	)		(0.57	)		(0.20	)		—			—			(0.20	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.05		0.17			0.02			0.19			(0.18	)		(0.06	)		(0.09	)		(0.33	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.12		0.05			0.26			0.31			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.23		0.00	9		0.51			0.51			(0.62	)		—			—			(0.62	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.21		0.05			0.60			0.65			(0.63	)		—			—			(0.63	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.10		0.03			(0.51	)		(0.48	)		(0.41	)		—			—			(0.41	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.87		0.21			(0.81	)		(0.60	)		(0.17	)		—			—			(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.01		0.13			0.04			0.17			(0.16	)		(0.06	)		(0.09	)		(0.31	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.10		0.08			0.25			0.33			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.21		0.03			0.52			0.55			(0.66	)		—			—			(0.66	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.20		0.12			0.56			0.68			(0.67	)		—			—			(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.13		0.09			(0.55	)		(0.46	)		(0.47	)		—			—			(0.47	)
FOR THE PERIOD 9/02/1410—12/31/14		$11.00		0.16			(0.82	)		(0.66	)		(0.21	)		—			—			(0.21	)
AQR EQUITY MARKET NEUTRAL FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$12.25		0.00	9		(1.05	)		(1.05	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$11.97		(0.08	)		0.79			0.71			(0.43	)		—			—			(0.43	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.48		(0.13	)		0.80			0.67			(0.18	)		(0.00	)9		—			(0.18	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.15	)		1.91			1.76			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/147—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)9		(0.59	)
AQR EQUITY MARKET NEUTRAL FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$12.21		(0.01	)		(1.04	)		(1.05	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$11.95		(0.11	)		0.78			0.67			(0.41	)		—			—			(0.41	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.47		(0.15	)		0.77			0.62			(0.14	)		(0.00	)9		—			(0.14	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.19	)		1.94			1.75			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/147—12/31/14		$10.00		(0.03	)		0.62			0.59			(0.58	)		—			(0.00	)9		(0.58	)
AQR EQUITY MARKET NEUTRAL FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$12.25		0.01			(1.05	)		(1.04	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$11.97		(0.08	)		0.79			0.71			(0.43	)		—			—			(0.43	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.49		(0.14	)		0.81			0.67			(0.19	)		(0.00	)9		—			(0.19	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.13	)		1.90			1.77			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/147—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)9		(0.59	)

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

AQR Funds Semi-Annual Report June 2018

248

Financial Highlights June 30, 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
	$9.24		(7.69	)%		$141,829		3.69	%6		3.57	%		1.40	%		(0.26	)%		170	%
	$10.01		0.10	%		$26,852		3.06	%6		2.65	%		1.40	%		(0.25	)%		293	%
	$9.23		(7.79	)%		$4,957		3.95	%6		3.82	%		1.65	%		(0.73	)%		170	%
	$10.01		0.10	%		$1,538		3.70	%6		2.90	%		1.65	%		(0.44	)%		293	%
	$9.25		(7.68	)%		$73,449		3.59	%6		3.47	%		1.30	%		(0.35	)%		170	%
	$10.02		0.20	%		$49,818		3.14	%6		2.55	%		1.30	%		(0.22	)%		293	%
	$9.44		3.51	%		$367,247		2.10	%		2.04	%		1.22	%		1.36	%		243	%
	$9.12		5.92	%		$386,972		2.08	%		2.02	%		1.19	%		0.25	%		205	%
	$9.23		7.51	%		$359,989		2.36	%		2.27	%		1.20	%		0.78	%		277	%
	$9.21		(4.67	)%		$772,394		2.44	%		2.42	%		1.19	%		0.71	%		249	%
	$10.14		(5.25	)%		$1,546,685		1.88	%		1.88	%		1.20	%		2.07	%		380	%
	$10.91		1.75	%		$1,876,481		1.64	%		1.64	%		1.20	%		1.52	%		349	%
	$9.43		3.40	%		$85,065		2.35	%		2.29	%		1.47	%		1.17	%		243	%
	$9.12		5.58	%		$76,774		2.34	%		2.28	%		1.44	%		0.01	%		205	%
	$9.23		7.15	%		$100,869		2.61	%		2.52	%		1.44	%		0.53	%		277	%
	$9.21		(4.75	)%		$183,029		2.69	%		2.67	%		1.45	%		0.32	%		249	%
	$10.10		(5.51	)%		$678,528		2.12	%		2.12	%		1.44	%		1.99	%		380	%
	$10.87		1.51	%		$836,355		1.88	%		1.88	%		1.44	%		1.21	%		349	%
	$9.43		3.63	%		$15,104		2.01	%		1.95	%		1.13	%		1.67	%		243	%
	$9.10		6.02	%		$8,416		1.98	%		1.93	%		1.10	%		0.36	%		205	%
	$9.21		7.52	%		$5,159		2.27	%		2.18	%		1.10	%		1.26	%		277	%
	$9.20		(4.55	)%		$866		2.36	%		2.33	%		1.10	%		0.92	%		249	%
	$10.13		(5.99	)%		$94		1.94	%		1.94	%		1.10	%		4.69	%		380	%
	$11.20		(8.57	)%		$1,383,765		2.19	%		2.19	%		1.25	%		0.07	%		93	%
	$12.25		5.84	%		$1,552,269		2.07	%		2.07	%		1.27	%		(0.66	)%		237	%
	$11.97		5.85	%		$790,179		2.13	%		2.13	%		1.28	%		(1.15	)%		227	%
	$11.48		17.60	%		$179,312		2.17	%6		1.90	%		1.25	%		(1.36	)%		383	%
	$10.01		5.93	%		$1,445		4.57	%6		1.63	%		1.30	%		(1.04	)%		152	%
	$11.16		(8.60	)%		$284,073		2.45	%		2.45	%		1.51	%		(0.25	)%		93	%
	$12.21		5.56	%		$357,839		2.35	%		2.35	%		1.55	%		(0.92	)%		237	%
	$11.95		5.43	%		$154,189		2.40	%		2.40	%		1.55	%		(1.27	)%		227	%
	$11.47		17.43	%		$89,755		2.41	%6		2.16	%		1.51	%		(1.69	)%		383	%
	$10.01		5.88	%		$1,233		4.83	%6		1.88	%		1.55	%		(1.29	)%		152	%
	$11.21		(8.49	)%		$294,144		2.11	%		2.11	%		1.17	%		0.23	%		93	%
	$12.25		5.91	%		$326,927		2.00	%		2.00	%		1.20	%		(0.61	)%		237	%
	$11.97		5.82	%		$177,683		2.05	%		2.05	%		1.20	%		(1.22	)%		227	%
	$11.49		17.72	%		$148		3.05	%6		1.85	%		1.20	%		(1.26	)%		383	%
	$10.01		5.95	%		$3,210		4.49	%6		1.53	%		1.20	%		(0.95	)%		152	%

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

AQR Funds Semi-Annual Report June 2018

249

Financial Highlights June 30, 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			Return of Capital			Total Distributions
AQR GLOBAL MACRO FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$8.75		(0.00	)9		0.69			0.69			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.06		(0.06	)		(0.25	)		(0.31	)		(0.00	)9		—			—			(0.00	)9
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.11	)		0.12	8		0.01			—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.15	)		0.32			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/147—12/31/14		$10.00		(0.10	)		0.06			(0.04	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$8.66		(0.01	)		0.68			0.67			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.99		(0.08	)		(0.25	)		(0.33	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.55		(0.13	)		0.12	8		(0.01	)		—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.92		(0.16	)		0.30			0.14			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/147—12/31/14		$10.00		(0.12	)		0.06			(0.06	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$8.75		0.00	9		0.69			0.69			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.07		(0.03	)		(0.28	)		(0.31	)		(0.01	)		—			—			(0.01	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.10	)		0.12	8		0.02			—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.14	)		0.31			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 9/02/1410—12/31/14		$9.72		(0.04	)		0.28			0.24			—			(0.02	)		—			(0.02	)
AQR LONG-SHORT EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$13.88		(0.00	)9		(1.14	)		(1.14	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$13.07		(0.08	)		2.15			2.07			(0.56	)		(0.70	)		—			(1.26	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.12		(0.14	)		1.48			1.34			(0.24	)		(0.15	)		—			(0.39	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15	)		2.00			1.85			(0.58	)		(0.02	)		—			(0.60	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.14	)		1.67			1.53			(0.74	)		(0.10	)		(0.03	)		(0.87	)
FOR THE PERIOD 7/16/137—12/31/13		$10.00		(0.06	)		1.17			1.11			(0.67	)		(0.23	)		—			(0.90	)
AQR LONG-SHORT EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$13.80		(0.03	)		(1.12	)		(1.15	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$13.00		(0.11	)		2.13			2.02			(0.52	)		(0.70	)		—			(1.22	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.07		(0.17	)		1.47			1.30			(0.22	)		(0.15	)		—			(0.37	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.84		(0.19	)		2.01			1.82			(0.57	)		(0.02	)		—			(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.20	)		1.70			1.50			(0.74	)		(0.10	)		(0.03	)		(0.87	)
FOR THE PERIOD 7/16/137—12/31/13		$10.00		(0.07	)		1.17			1.10			(0.66	)		(0.23	)		—			(0.89	)
AQR LONG-SHORT EQUITY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$13.91		0.00	9		(1.14	)		(1.14	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$13.08		(0.07	)		2.17			2.10			(0.57	)		(0.70	)		—			(1.27	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.13		(0.14	)		1.49			1.35			(0.25	)		(0.15	)		—			(0.40	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15	)		2.02			1.87			(0.59	)		(0.02	)		—			(0.61	)
FOR THE PERIOD 9/02/1410—12/31/14		$11.05		(0.08	)		0.78			0.70			(0.75	)		(0.10	)		(0.03	)		(0.88	)

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

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					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
	$9.44		7.89	%		$16,261		2.14	%		1.44	%		1.44	%		(0.06	)%		0	%
	$8.75		(3.38	)%		$9,199		2.30	%		1.40	%		1.40	%		(0.65	)%		0	%
	$9.06		0.02	%		$18,972		1.98	%		1.41	%		1.41	%		(1.12	)%		0	%
	$9.60		1.71	%		$31,453		1.78	%6		1.38	%		1.38	%		(1.45	)%		0	%
	$9.94		(0.42	)%		$35,466		2.24	%6		1.45	%		1.45	%		(1.44	)%		0	%
	$9.33		7.74	%		$4,964		2.40	%		1.70	%		1.70	%		(0.33	)%		0	%
	$8.66		(3.67	)%		$2,892		2.63	%		1.70	%		1.70	%		(0.89	)%		0	%
	$8.99		(0.19	)%		$3,217		2.17	%		1.65	%		1.65	%		(1.35	)%		0	%
	$9.55		1.41	%		$20,838		1.88	%6		1.70	%		1.70	%		(1.56	)%		0	%
	$9.92		(0.62	)%		$1,050		2.49	%6		1.70	%		1.70	%		(1.69	)%		0	%
	$9.44		7.89	%		$15,100		2.06	%		1.35	%		1.35	%		0.05	%		0	%
	$8.75		(3.41	)%		$13,970		2.32	%		1.35	%		1.35	%		(0.34	)%		0	%
	$9.07		0.14	%		$4,374		1.95	%		1.35	%		1.35	%		(1.09	)%		0	%
	$9.60		1.71	%		$104		1.72	%6		1.35	%		1.35	%		(1.41	)%		0	%
	$9.94		2.45	%		$102		2.02	%6		1.35	%		1.35	%		(1.37	)%		0	%
	$12.74		(8.21	)%		$4,135,233		1.74	%		1.74	%		1.24	%		(0.01	)%		302	%
	$13.88		15.73	%		$4,144,436		2.01	%		2.01	%		1.27	%		(0.60	)%		249	%
	$13.07		11.09	%		$1,799,994		1.99	%		1.99	%		1.28	%		(1.12	)%		247	%
	$12.12		17.04	%		$452,667		1.86	%		1.81	%		1.27	%		(1.28	)%		303	%
	$10.87		14.91	%		$43,667		2.34	%		1.30	%		1.30	%		(1.26	)%		0	%
	$10.21		11.17	%		$5,246		3.56	%6		1.30	%		1.30	%		(1.29	)%		0	%
	$12.65		(8.33	)%		$280,363		2.00	%		2.00	%		1.50	%		(0.38	)%		302	%
	$13.80		15.47	%		$385,302		2.27	%		2.27	%		1.53	%		(0.80	)%		249	%
	$13.00		10.80	%		$287,362		2.25	%		2.25	%		1.54	%		(1.39	)%		247	%
	$12.07		16.79	%		$90,141		2.12	%		2.07	%		1.53	%		(1.58	)%		303	%
	$10.84		14.55	%		$10,688		2.46	%		1.55	%		1.55	%		(1.81	)%		0	%
	$10.21		11.04	%		$910		5.49	%6		1.55	%		1.55	%		(1.54	)%		0	%
	$12.77		(8.20	)%		$871,703		1.65	%		1.65	%		1.15	%		0.02	%		302	%
	$13.91		15.95	%		$965,972		1.92	%		1.92	%		1.17	%		(0.46	)%		249	%
	$13.08		11.13	%		$452,452		1.90	%		1.90	%		1.19	%		(1.07	)%		247	%
	$12.13		17.16	%		$16,200		1.77	%		1.74	%		1.20	%		(1.21	)%		303	%
	$10.87		6.19	%		$427		1.99	%		1.20	%		1.20	%		(2.21	)%		0	%

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

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Financial Highlights June 30, 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			Return of Capital		Total Distributions
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.05		(0.03	)		(0.73	)		(0.76	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.50		(0.07	)		0.37			0.30			(0.60	)		(0.15	)		—		(0.75	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.76		(0.11	)		0.09			(0.02	)		(0.08	)		(0.16	)		—		(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.76		(0.15	)		1.05			0.90			(0.74	)		(0.16	)		—		(0.90	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.78		(0.14	)		0.85			0.71			(0.73	)		—			—		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.90		(0.17	)		0.61			0.44			(0.44	)		(0.12	)		—		(0.56	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.00		(0.04	)		(0.72	)		(0.76	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.45		(0.09	)		0.37			0.28			(0.58	)		(0.15	)		—		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.74		(0.13	)		0.08			(0.05	)		(0.08	)		(0.16	)		—		(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.74		(0.17	)		1.05			0.88			(0.72	)		(0.16	)		—		(0.88	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.76		(0.17	)		0.85			0.68			(0.70	)		—			—		(0.70	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.89		(0.20	)		0.61			0.41			(0.42	)		(0.12	)		—		(0.54	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.06		(0.02	)		(0.74	)		(0.76	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.51		(0.06	)		0.37			0.31			(0.61	)		(0.15	)		—		(0.76	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.76		(0.09	)		0.08			(0.01	)		(0.08	)		(0.16	)		—		(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.75		(0.13	)		1.05			0.92			(0.75	)		(0.16	)		—		(0.91	)
FOR THE PERIOD 9/02/1410—12/31/14		$9.88		(0.11	)		0.71			0.60			(0.73	)		—			—		(0.73	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$6.90		0.01			(0.27	)		(0.26	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.25		(0.02	)		0.67			0.65			(0.00	)9		—			—		(0.00	)9
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.62		(0.04	)		0.97			0.93			(0.30	)		—			—		(0.30	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.98		(0.05	)		(1.31	)		(1.36	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.29		(0.08	)		(1.23	)		(1.31	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.87		(0.09	)		(1.49	)		(1.58	)		—			—			—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$6.81		0.01			(0.28	)		(0.27	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.18		(0.03	)		0.66			0.63			(0.00	)9		—			—		(0.00	)9
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.57		(0.06	)		0.96			0.90			(0.29	)		—			—		(0.29	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.94		(0.08	)		(1.29	)		(1.37	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.27		(0.11	)		(1.22	)		(1.33	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.86		(0.11	)		(1.48	)		(1.59	)		—			—			—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$6.92		0.02			(0.28	)		(0.26	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.26		(0.01	)		0.67			0.66			(0.00	)9		—			—		(0.00	)9
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.63		(0.04	)		0.97			0.93			(0.30	)		—			—		(0.30	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.99		(0.05	)		(1.31	)		(1.36	)		—			—			—		—
FOR THE PERIOD 9/02/1410—12/31/14		$8.60		(0.02	)		(1.59	)		(1.61	)		—			—			—		—

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

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Financial Highlights June 30, 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
	$8.29		(8.40	)%		$1,566,088		2.40	%		2.40	%		1.97	%		(0.66	)%		73	%
	$9.05		3.10	%		$1,987,557		2.30	%		2.30	%		1.97	%		(0.75	)%		110	%
	$9.50		(0.20	)%		$2,405,511		2.47	%		2.47	%		1.97	%		(1.10	)%		261	%
	$9.76		9.25	%		$2,284,285		2.41	%		2.41	%		1.97	%		(1.44	)%		208	%
	$9.76		7.31	%		$1,443,799		3.67	%		3.65	%		1.98	%		(1.46	)%		204	%
	$9.78		4.46	%		$1,453,977		3.37	%		3.34	%		1.98	%		(1.67	)%		137	%
	$8.24		(8.44	)%		$430,354		2.65	%		2.65	%		2.22	%		(0.85	)%		73	%
	$9.00		2.84	%		$433,225		2.56	%		2.56	%		2.23	%		(0.96	)%		110	%
	$9.45		(0.51	)%		$469,478		2.73	%		2.73	%		2.23	%		(1.31	)%		261	%
	$9.74		9.02	%		$103,504		2.68	%		2.67	%		2.23	%		(1.66	)%		208	%
	$9.74		7.03	%		$84,480		3.96	%		3.91	%		2.23	%		(1.75	)%		204	%
	$9.76		4.16	%		$74,641		3.66	%		3.59	%		2.23	%		(1.95	)%		137	%
	$8.30		(8.39	)%		$580,562		2.30	%		2.30	%		1.87	%		(0.53	)%		73	%
	$9.06		3.19	%		$610,652		2.20	%		2.20	%		1.87	%		(0.61	)%		110	%
	$9.51		(0.10	)%		$622,862		2.38	%		2.38	%		1.88	%		(0.94	)%		261	%
	$9.76		9.44	%		$100,959		2.33	%		2.32	%		1.88	%		(1.29	)%		208	%
	$9.75		6.19	%		$35,228		3.21	%		3.14	%		1.88	%		(3.41	)%		204	%
	$6.64		(3.77	)%		$141,121		1.01	%		1.00	%		1.00	%		0.43	%		0	%
	$6.90		10.41	%		$87,863		1.05	%		0.99	%		0.99	%		(0.27	)%		0	%
	$6.25		16.58	%		$93,849		1.04	%		0.96	%		0.96	%		(0.65	)%		0	%
	$5.62		(19.48	)%		$71,321		1.14	%		0.94	%		0.94	%		(0.88	)%		0	%
	$6.98		(15.80	)%		$46,443		1.34	%		1.01	%		1.01	%		(1.00	)%		0	%
	$8.29		(16.01	)%		$28,375		1.32	%		1.05	%		1.05	%		(1.05	)%		0	%
	$6.54		(3.96	)%		$34,150		1.26	%		1.25	%		1.25	%		0.22	%		0	%
	$6.81		10.20	%		$7,559		1.31	%		1.25	%		1.25	%		(0.50	)%		0	%
	$6.18		16.16	%		$7,214		1.33	%		1.25	%		1.25	%		(0.97	)%		0	%
	$5.57		(19.74	)%		$2,083		1.48	%		1.25	%		1.25	%		(1.21	)%		0	%
	$6.94		(16.08	)%		$4,764		1.59	%		1.26	%		1.26	%		(1.25	)%		0	%
	$8.27		(16.13	)%		$3,861		1.70	%		1.30	%		1.30	%		(1.28	)%		0	%
	$6.66		(3.76	)%		$158,574		0.91	%		0.90	%		0.90	%		0.52	%		0	%
	$6.92		10.55	%		$110,467		0.96	%		0.90	%		0.90	%		(0.16	)%		0	%
	$6.26		16.61	%		$102,156		0.98	%		0.90	%		0.90	%		(0.63	)%		0	%
	$5.63		(19.46	)%		$29,122		1.11	%		0.90	%		0.90	%		(0.85	)%		0	%
	$6.99		(18.72	)%		$15,482		1.31	%		0.90	%		0.90	%		(0.89	)%		0	%

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

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Financial Highlights June 30, 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			Return of Capital		Total Distributions
AQR RISK PARITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.82		0.04			(0.21	)		(0.17	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.34		0.02			1.49			1.51			(0.19	)		(0.84	)		—		(1.03	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.09		(0.02	)		0.94			0.92			(0.24	)		(0.43	)		—		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.07	)		(0.75	)		(0.82	)		—			(0.23	)		—		(0.23	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.77		(0.04	)		0.81			0.77			(0.30	)		(1.10	)		—		(1.40	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.49		(0.07	)		0.08	8		0.01			(0.27	)		(0.46	)		—		(0.73	)
AQR RISK PARITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.80		0.03			(0.22	)		(0.19	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.32		(0.01	)		1.50			1.49			(0.17	)		(0.84	)		—		(1.01	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.08		(0.04	)		0.92			0.88			(0.21	)		(0.43	)		—		(0.64	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.10	)		(0.73	)		(0.83	)		—			(0.23	)		—		(0.23	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.76		(0.07	)		0.80			0.73			(0.25	)		(1.10	)		—		(1.35	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.47		(0.11	)		0.08	8		(0.03	)		(0.22	)		(0.46	)		—		(0.68	)
AQR RISK PARITY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.83		0.05			(0.23	)		(0.18	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.34		0.02			1.51			1.53			(0.20	)		(0.84	)		—		(1.04	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.10		(0.04	)		0.95			0.91			(0.24	)		(0.43	)		—		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.04	)		(0.77	)		(0.81	)		—			(0.23	)		—		(0.23	)
FOR THE PERIOD 9/02/1410—12/31/14		$12.01		(0.04	)		(0.43	)8		(0.47	)		(0.30	)		(1.10	)		—		(1.40	)
AQR RISK PARITY II HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$8.88		0.04			(0.08	)		(0.04	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.42		(0.02	)		1.59			1.57			(0.04	)		(1.07	)		—		(1.11	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.79		(0.02	)		1.01			0.99			(0.12	)		(0.24	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.08	)		(1.19	)		(1.27	)		(0.03	)		(0.46	)		—		(0.49	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$ 9.87		(0.03	)		0.95			0.92			(0.06	)		(1.18	)		—		(1.24	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.21		(0.06	)		(0.23	)		(0.29	)		(0.03	)		(0.02	)		—		(0.05	)
AQR RISK PARITY II HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$8.85		0.02			(0.07	)		(0.05	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.43		0.21			1.32			1.53			(0.04	)		(1.07	)		—		(1.11	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.80		(0.04	)		1.00			0.96			(0.09	)		(0.24	)		—		(0.33	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.56		(0.10	)		(1.20	)		(1.30	)		—			(0.46	)		—		(0.46	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.86		(0.04	)		0.93			0.89			(0.01	)		(1.18	)		—		(1.19	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.23		(0.09	)		(0.23	)		(0.32	)		(0.03	)		(0.02	)		—		(0.05	)
AQR RISK PARITY II HV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$8.88		0.05			(0.09	)		(0.04	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.41		(0.13	)		1.71			1.58			(0.04	)		(1.07	)		—		(1.11	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.78		(0.00	)9		0.99			0.99			(0.12	)		(0.24	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.03	)		(1.25	)		(1.28	)		(0.03	)		(0.46	)		—		(0.49	)
FOR THE PERIOD 9/02/1410—12/31/14		$11.37		(0.05	)		(0.53	)8		(0.58	)		(0.06	)		(1.18	)		—		(1.24	)

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

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					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
	$9.65		(1.73	)%	$	357,174		0.95	%		0.95	%		0.95	%		0.91	%		12	%
	$9.82		16.36	%	$	415,799		0.94	%		0.93	%		0.93	%		0.19	%		48	%
	$9.34		10.10	%	$	349,335		0.94	%		0.92	%		0.92	%		(0.22	)%		72	%
	$9.09		(8.10	)%	$	492,977		0.94	%		0.93	%		0.93	%		(0.71	)%		157	%
$	10.14		7.04	%	$	583,927		0.90	%		0.90	%		0.90	%		(0.34	)%		94	%
$	10.77		0.12	%	$	855,024		0.89	%		0.89	%		0.88	%		(0.64	)%		167	%
	$9.61		(1.94	)%		$15,953		1.20	%		1.20	%		1.20	%		0.70	%		12	%
	$9.80		16.13	%		$16,673		1.21	%		1.20	%		1.20	%		(0.06	)%		48	%
	$9.32		9.66	%		$17,027		1.21	%		1.19	%		1.19	%		(0.46	)%		72	%
	$9.08		(8.20	)%		$22,005		1.19	%		1.18	%		1.18	%		(0.96	)%		157	%
$	10.14		6.69	%		$36,232		1.20	%		1.20	%		1.20	%		(0.65	)%		94	%
$	10.76		(0.23	)%		$79,026		1.20	%		1.20	%		1.20	%		(0.92	)%		167	%
	$9.65		(1.83	)%		$32,586		0.85	%		0.85	%		0.85	%		1.01	%		12	%
	$9.83		16.56	%		$40,256		0.87	%		0.85	%		0.85	%		0.24	%		48	%
	$9.34		10.06	%		$33,987		0.88	%		0.85	%		0.85	%		(0.42	)%		72	%
	$9.10		(8.00	)%		$2,796		0.86	%		0.85	%		0.85	%		(0.37	)%		157	%
$	10.14		(3.96	)%		$96		0.86	%		0.85	%		0.85	%		(0.99	)%		94	%
	$8.84		(0.45	)%		$34,373		1.87	%		1.54	%		1.14	%		0.93	%		14	%
	$8.88		19.03	%		$38,689		1.66	%		1.34	%		1.11	%		(0.21	)%		45	%
	$8.42		12.77	%		$46,127		1.61	%		1.23	%		1.11	%		(0.26	)%		68	%
	$7.79		(13.33	)%		$40,890		1.43	%		1.13	%		1.08	%		(0.83	)%		184	%
	$9.55		9.23	%		$42,279		1.54	%		1.20	%		1.15	%		(0.28	)%		108	%
	$9.87		(2.83	)%		$17,577		1.85	%		1.23	%		1.15	%		(0.62	)%		257	%
	$8.80		(0.56	)%		$10,070		2.13	%		1.80	%		1.40	%		0.49	%		14	%
	$8.85		18.52	%		$18,472		1.92	%		1.63	%		1.39	%		2.36	%		45	%
	$8.43		12.47	%		$6,583		1.89	%		1.52	%		1.39	%		(0.51	)%		68	%
	$7.80		(13.64	)%		$5,493		1.77	%		1.45	%		1.40	%		(1.04	)%		184	%
	$9.56		9.02	%		$7,834		1.86	%		1.45	%		1.40	%		(0.37	)%		108	%
	$9.86		(3.12	)%		$8,652		2.22	%		1.48	%		1.40	%		(0.84	)%		257	%
	$8.84		(0.45	)%		$893		1.79	%		1.45	%		1.05	%		1.12	%		14	%
	$8.88		19.17	%		$765		1.62	%		1.28	%		1.05	%		(1.47	)%		45	%
	$8.41		12.85	%		$2,836		1.55	%		1.17	%		1.05	%		(0.06	)%		68	%
	$7.78		(13.42	)%		$2,413		1.43	%		1.11	%		1.05	%		(0.36	)%		184	%
	$9.55		(5.10	)%		$95		1.47	%		1.10	%		1.05	%		(1.49	)%		108	%

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

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Financial Highlights June 30, 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			Return of Capital		Total Distributions
AQR RISK PARITY II MV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.26		0.04			(0.02	)		0.02			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.98		0.02			1.08			1.10			(0.02	)		(0.80	)		—		(0.82	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.51		(0.02	)		0.84			0.82			(0.09	)		(0.26	)		—		(0.35	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.90		(0.08	)		(0.79	)		(0.87	)		(0.02	)		(0.50	)		—		(0.52	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.02		(0.04	)		0.65			0.61			(0.02	)		(0.71	)		—		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.17		(0.06	)		(0.08	)		(0.14	)		(0.01	)		(0.00	)9		—		(0.01	)
AQR RISK PARITY II MV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.20		0.03			(0.02	)		0.01			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.95		(0.05	)		1.12			1.07			(0.02	)		(0.80	)		—		(0.82	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.49		(0.04	)		0.82			0.78			(0.06	)		(0.26	)		—		(0.32	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.10	)		(0.78	)		(0.88	)		—			(0.50	)		—		(0.50	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.99		(0.06	)		0.65			0.59			—			(0.71	)		—		(0.71	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.18		(0.07	)		(0.11	)		(0.18	)		(0.01	)		(0.00	)9		—		(0.01	)
AQR RISK PARITY II MV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.26		0.05			(0.03	)		0.02			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.97		0.04			1.07			1.11			(0.02	)		(0.80	)		—		(0.82	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.51		(0.01	)		0.83			0.82			(0.10	)		(0.26	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.89		(0.07	)		(0.78	)		(0.85	)		(0.03	)		(0.50	)		—		(0.53	)
FOR THE PERIOD 9/02/1410—12/31/14		$11.00		(0.04	)		(0.33	)8		(0.37	)		(0.03	)		(0.71	)		—		(0.74	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.38		(0.01	)		(0.75	)		(0.76	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.92		(0.07	)		1.27			1.20			(0.74	)		—			—		(0.74	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.14		(0.12	)		0.07			(0.05	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.86		(0.14	)		1.01			0.87			(0.56	)		(0.03	)		—		(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.10	)		1.24			1.14			(1.16	)		(0.30	)		—		(1.46	)
FOR THE PERIOD 10/30/137—12/31/13		$10.00		(0.03	)		0.44			0.41			(0.20	)		(0.03	)		—		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.35		(0.02	)		(0.75	)		(0.77	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.89		(0.13	)		1.30			1.17			(0.71	)		—			—		(0.71	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.14		(0.15	)		0.07			(0.08	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.17	)		1.02			0.85			(0.55	)		(0.03	)		—		(0.58	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.16	)		1.28			1.12			(1.13	)		(0.30	)		—		(1.43	)
FOR THE PERIOD 10/30/137—12/31/13		$10.00		(0.04	)		0.45			0.41			(0.20	)		(0.03	)		—		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.41		(0.00	)9		(0.77	)		(0.77	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.94		(0.07	)		1.28			1.21			(0.74	)		—			—		(0.74	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.15		(0.11	)		0.07			(0.04	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.14	)		1.02			0.88			(0.57	)		(0.03	)		—		(0.60	)
FOR THE PERIOD 9/02/1410—12/31/14		$10.35		(0.07	)		0.86			0.79			(1.16	)		(0.11	)		—		(1.27	)

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

AQR Funds Semi-Annual Report June 2018

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Financial Highlights June 30, 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
	$9.28		0.22	%		$71,499		1.15	%		0.95	%		0.95	%		0.98	%		5	%
	$9.26		12.36	%		$78,000		1.15	%		0.93	%		0.93	%		0.26	%		39	%
	$8.98		9.66	%		$78,873		1.15	%		0.94	%		0.94	%		(0.24	)%		58	%
	$8.51		(8.77	)%		$85,918		1.10	%		0.93	%		0.93	%		(0.80	)%		159	%
	$9.90		6.04	%		$106,473		1.12	%		0.95	%		0.95	%		(0.34	)%		128	%
	$10.02		(1.32	)%		$37,848		1.18	%		0.95	%		0.95	%		(0.61	)%		234	%
	$9.21		0.11	%		$2,773		1.41	%		1.20	%		1.20	%		0.76	%		5	%
	$9.20		12.07	%		$2,784		1.43	%		1.20	%		1.20	%		(0.55	)%		39	%
	$8.95		9.25	%		$5,659		1.41	%		1.20	%		1.20	%		(0.41	)%		58	%
	$8.49		(8.94	)%		$4,242		1.38	%		1.20	%		1.20	%		(0.99	)%		159	%
	$9.87		5.87	%		$7,795		1.44	%		1.20	%		1.20	%		(0.54	)%		128	%
	$9.99		(1.71	)%		$9,397		1.59	%		1.20	%		1.20	%		(0.71	)%		234	%
	$9.28		0.22	%		$680		1.06	%		0.85	%		0.85	%		1.09	%		5	%
	$9.26		12.49	%		$679		1.07	%		0.85	%		0.85	%		0.42	%		39	%
	$8.97		9.64	%		$608		1.07	%		0.85	%		0.85	%		(0.06	)%		58	%
	$8.51		(8.59	)%		$99		1.03	%		0.85	%		0.85	%		(0.68	)%		159	%
	$9.89		(3.44	)%		$97		1.03	%		0.85	%		0.85	%		(1.13	)%		128	%
	$9.62		(7.32	)%		$3,025,751		2.26	%		2.26	%		1.48	%		(0.11	)%		259	%
	$10.38		11.94	%		$2,956,926		2.22	%		2.21	%		1.49	%		(0.70	)%		140	%
	$9.92		(0.47	)%		$2,263,101		2.26	%		2.24	%		1.49	%		(1.20	)%		114	%
	$10.14		8.76	%		$1,341,232		2.29	%		2.25	%		1.48	%		(1.39	)%		138	%
	$9.86		11.30	%		$387,666		2.56	%		2.56	%		1.50	%		(0.95	)%		145	%
	$10.18		4.08	%		$403,243		2.11	%6		2.07	%		1.50	%		(1.77	)%		133	%
	$9.58		(7.44	)%		$162,725		2.53	%		2.53	%		1.75	%		(0.45	)%		259	%
	$10.35		11.67	%		$177,319		2.49	%		2.47	%		1.75	%		(1.23	)%		140	%
	$9.89		(0.76	)%		$188,647		2.53	%		2.50	%		1.75	%		(1.46	)%		114	%
	$10.14		8.50	%		$92,947		2.56	%		2.52	%		1.75	%		(1.65	)%		138	%
	$9.87		11.08	%		$26,594		2.92	%		2.81	%		1.75	%		(1.50	)%		145	%
	$10.18		4.05	%		$15,972		2.70	%6		2.44	%		1.75	%		(2.05	)%		133	%
	$9.64		(7.40	)%		$1,645,865		2.18	%		2.18	%		1.40	%		(0.04	)%		259	%
	$10.41		12.10	%		$1,613,182		2.14	%		2.12	%		1.40	%		(0.65	)%		140	%
	$9.94		(0.37	)%		$1,349,866		2.18	%		2.15	%		1.40	%		(1.08	)%		114	%
	$10.15		8.80	%		$394,568		2.21	%		2.17	%		1.40	%		(1.37	)%		138	%
	$9.87		7.67	%		$74,872		2.57	%		2.46	%		1.40	%		(1.94	)%		145	%

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

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257

Financial Highlights June 30, 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			Return of Capital		Total Distributions
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.57		0.04			(0.40	)		(0.36	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$10.41		(0.00	)9		0.71			0.71			(0.55	)		—			—		(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.39		(0.06	)		0.13			0.07			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.18		(0.08	)		0.49			0.41			(0.17	)		(0.03	)		—		(0.20	)
FOR THE PERIOD 9/17/147—12/31/14		$10.00		(0.02	)		0.32			0.30			(0.09	)		(0.03	)		—		(0.12	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.53		0.02			(0.39	)		(0.37	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$10.37		(0.05	)		0.72			0.67			(0.51	)		—			—		(0.51	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.39		(0.08	)		0.11			0.03			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.09	)		0.48			0.39			(0.14	)		(0.03	)		—		(0.17	)
FOR THE PERIOD 9/17/147—12/31/14		$10.00		(0.03	)		0.32			0.29			(0.09	)		(0.03	)		—		(0.12	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$10.59		0.04			(0.40	)		(0.36	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$10.42		(0.00	)9		0.72			0.72			(0.55	)		—			—		(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.40		(0.05	)		0.12			0.07			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.05	)		0.48			0.43			(0.17	)		(0.03	)		—		(0.20	)
FOR THE PERIOD 9/17/147—12/31/14		$10.00		(0.01	)		0.31			0.30			(0.10	)		(0.03	)		—		(0.13	)

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

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258

Financial Highlights June 30, 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
	$10.21		(3.41	)%		$366,161		1.22	%		1.22	%		0.84	%		0.76	%		76	%
	$10.57		6.74	%		$336,047		1.23	%		1.22	%		0.83	%		—	%		136	%
	$10.41		0.65	%		$251,496		1.22	%		1.19	%		0.83	%		(0.54	)%		106	%
	$10.39		4.02	%		$152,172		1.46	%		1.11	%		0.79	%		(0.80	)%		213	%
	$10.18		3.07	%		$28,094		1.49	%6		1.01	%		0.85	%		(0.68	)%		191	%
	$10.16		(3.51	)%		$26,934		1.48	%		1.48	%		1.10	%		0.44	%		76	%
	$10.53		6.46	%		$35,465		1.50	%		1.49	%		1.10	%		(0.48	)%		136	%
	$10.37		0.26	%		$42,514		1.48	%		1.45	%		1.10	%		(0.78	)%		106	%
	$10.39		3.85	%		$13,444		1.90	%		1.41	%		1.09	%		(0.91	)%		213	%
	$10.17		2.94	%		$8,577		1.92	%6		1.32	%		1.10	%		(0.91	)%		191	%
	$10.23		(3.40	)%		$88,917		1.13	%		1.13	%		0.75	%		0.81	%		76	%
	$10.59		6.90	%		$94,055		1.15	%		1.14	%		0.75	%		(0.01	)%		136	%
	$10.42		0.65	%		$90,570		1.14	%		1.11	%		0.75	%		(0.45	)%		106	%
	$10.40		4.23	%		$22,176		1.57	%		1.08	%		0.75	%		(0.50	)%		213	%
	$10.17		2.98	%		$23,695		1.75	%6		1.00	%		0.75	%		(0.32	)%		191	%

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

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259

Financial Highlights June 30, 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 Certain expenses incurred by the Fund were not annualized for the period.

  ⁷ Commencement of operations.

  ⁸ 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.

  ⁹ Amount is less than $.005 per share

¹⁰  Commencement of offering of shares.

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

AQR Funds Semi-Annual Report June 2018

260

Notes to Financial Statements June 30, 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 June 30, 2018, the Trust consists of thirty-nine active series, twelve of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (the “Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.

The investment objective of the AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each fund offers Class I, Class N and Class R6 shares.

The following Funds are closed to new investors, subject to certain exceptions: AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows, where applicable, and Financial Highlights of the AQR Global Macro Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“Consolidated Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd. and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	SUBSIDIARY NET ASSETS AT JUNE 30, 2018		% OF TOTAL NET ASSETS AT JUNE 30, 2018
AQR Global Macro Offshore Fund Ltd	$	8,410,418		23.2	%
AQR Multi-Strategy Alternative Offshore Fund Ltd		417,605,790		16.2	%
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd		79,288,756		23.8	%
AQR Risk Parity Offshore Fund Ltd		81,452,812		20.1	%
AQR Risk Parity II HV Offshore Fund Ltd		10,524,145		23.2	%
AQR Risk Parity II MV Offshore Fund Ltd		11,379,551		15.2	%
AQR Style Premia Alternative Offshore Fund Ltd		1,116,548,544		23.1	%
AQR Style Premia Alternative LV Offshore Fund Ltd		112,745,265		23.4	%

3. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.

AQR Funds Semi-Annual Report June 2018

261

Notes to Financial Statements June 30, 2018 (Unaudited)

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.

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 net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax

AQR Funds Semi-Annual Report June 2018

262

Notes to Financial Statements June 30, 2018 (Unaudited)

liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of June 30, 2018, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.

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

4. Securities and Other Investments

Limited Purpose Cash Investment Fund: Certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising a controlling influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments, if applicable.

Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if they had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuer’s common stock. The premiums attributable to the conversion feature are not amortized.

High Yield Securities: Certain Funds invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.

Inflation-Indexed Bonds: Certain Funds may invest in inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.

Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an

AQR Funds Semi-Annual Report June 2018

263

Notes to Financial Statements June 30, 2018 (Unaudited)

assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.

The Funds may also enter into unfunded commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the commitment may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.

As of June 30, 2018, AQR Diversified Arbitrage Fund’s unfunded commitments were as follows:

BORROWER	COMMITMENT AMOUNT
DEMC, Ltd Class A-2	$322,225
Nationstar Bridge Loan	5,000,000
Centene Corp.	5,000,000
Alberstsons Bridge Loan	2,500,000
Energizer	2,500,000

The fund has no unrealized gain or loss on the unfunded commitments.

Defaulted Securities and Distressed Investments: Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Fund may invest in distressed investments, which are issued by companies that are, or might be, involved in reorganizations or financial restructurings, either out of court or in bankruptcy.

Securities Sold Short: Certain Funds 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.

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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 Alternative Risk Premia Fund	$	187,197
AQR Diversified Arbitrage Fund		248,460
AQR Equity Market Neutral Fund		1,132,804
AQR Long-Short Equity Fund		2,547,841
AQR Multi-Strategy Alternative Fund		1,424,664
AQR Style Premia Alternative Fund		2,377,645
AQR Style Premia Alternative LV Fund		128,334

Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not receive the return of the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as net change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For 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 upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront payments are amortized over the term of the contract. If there is no upfront payment or receipt, market value will equal unrealized appreciation (depreciation). Payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration at a periodic reset date 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 Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to potential unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) 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.

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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 position. 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.

Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations.

Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of

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interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are included within each Fund’s Schedule of Investments.

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.

The collateral held in relation to the repurchase agreements and reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities with a maturity of up to 30 days in the amount of $12,219,366 for AQR Risk Parity II HV Fund.

Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing

transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.

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.

Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.

Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for 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

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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 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).

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 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. Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.

5. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. 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 Adviser has established a Valuation Committee (the “VC”) to assist the board with oversight and monitoring of the valuation of the Funds’ investments. This includes administering, implementing and overseeing 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.

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.

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Level 3 —  Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the fair value hierarchy.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.

The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are 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.

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The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR ALTERNATIVE RISK PREMIA FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	152,516,388		$	66,366,596		$	—		$	218,882,984
Short-Term Investments		—			168,631,927			—			168,631,927
Futures Contracts*		1,434,419			—			—			1,434,419
Forward Foreign Currency Exchange Contracts*		—			1,379,260			—			1,379,260
Total Return Swaps Contracts*		—			80,847			—			80,847
Total Assets	$	153,950,807		$	236,458,630		$	—		$	390,409,437
LIABILITIES
Common Stocks (Sold Short)†	$	(128,666,033	)	$	(58,342,044	)	$	(105	)	$	(187,008,182	)
Written Options (Sold Short)		(582,371	)		—			—			(582,371	)
Futures Contracts*		(1,849,534	)		—			—			(1,849,534	)
Forward Foreign Currency Exchange Contracts*		—			(2,200,172	)		—			(2,200,172	)
Total Return Swaps Contracts*		—			(813,977	)		—			(813,977	)
Total Liabilities	$	(131,097,938	)	$	(61,356,193	)	$	(105	)	$	(192,454,236	)

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Notes to Financial Statements June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	105,034,914		$	60,335,158		$	6,111,492		$	171,481,564
Convertible Preferred Stocks		—			27,115,822			—			27,115,822
Corporate Bonds		—			41,993,715			7,376,966			49,370,681
Convertible Bonds		—			119,699,413			188,573			119,887,986
Closed End Funds		22,305,628			—			—			22,305,628
Loan Participations		—			6,589,047			—			6,589,047
Preferred Stocks		1,220,135			401,162			671,996			2,293,293
Rights		1,716,192			1,211,399			499,357			3,426,948
Securities in Litigation		—			—			515,450			515,450
Warrants		17,809,268			4,773,334			2,021,277			24,603,879
Short-Term Investments		—			136,059,681			—			136,059,681
Futures Contracts*		1,089,853			—			—			1,089,853
Forward Foreign Currency Exchange Contracts*		—			94,325			—			94,325
Total Return Basket Swaps Contracts*		—			10,131,549			—			10,131,549
Total Assets	$	149,175,990		$	408,404,605		$	17,385,111		$	574,965,706
LIABILITIES
Common Stocks (Sold Short)	$	(107,525,723	)	$	(422,237	)	$	—	(a)	$	(107,947,960	)
Convertible Bonds (Sold Short)		—			(11,773,114	)		—			(11,773,114	)
Futures Contracts*		(331,074	)		—			—			(331,074	)
Forward Foreign Currency Exchange Contracts*		—			(14,964	)		—			(14,964	)
Credit Default Swap Contracts*		—			(836,698	)		—			(836,698	)
Total Return Basket Swaps Contracts*		—			(828,741	)		—			(828,741	)
Total Liabilities	$	(107,856,797	)	$	(13,875,754	)	$	—	(a)	$	(121,732,551	)
AQR EQUITY MARKET NEUTRAL FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	72,914,746		$	473,979,822		$	—		$	546,894,568
Short-Term Investments		—			1,554,772,092			—			1,554,772,092
Forward Foreign Currency Exchange Contracts*		—			1,278,012			—			1,278,012
Total Return Basket Swaps Contracts*		—			1,170,641			—			1,170,641
Total Assets	$	72,914,746		$	2,031,200,567		$	—		$	2,104,115,313
LIABILITIES
Common Stocks (Sold Short)†	$	(71,612,046	)	$	(379,736,089	)	$	—		$	(451,348,135	)
Rights†		—			—			—	(a)		—	(a)
Forward Foreign Currency Exchange Contracts*		—			(544,975	)		—			(544,975	)
Total Return Basket Swaps Contracts*		—			(79,375,211	)		—			(79,375,211	)
Total Liabilities	$	(71,612,046	)	$	(459,656,275	)	$	—	(a)	$	(531,268,321	)
AQR GLOBAL MACRO FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Short-Term Investments	$	—		$	32,731,936		$	—		$	32,731,936
Futures Contracts*		1,137,959			—			—			1,137,959
Forward Foreign Currency Exchange Contracts*		—			794,342			—			794,342
Interest Rate Swap Contracts*		—			2,061,026			—			2,061,026
Total Return Swaps Contracts*		—			38,548			—			38,548
Total Assets	$	1,137,959		$	35,625,852		$	—		$	36,763,811
LIABILITIES
Futures Contracts*	$	(816,771	)	$	—		$	—		$	(816,771	)
Forward Foreign Currency Exchange Contracts*		—			(702,932	)		—			(702,932	)
Interest Rate Swap Contracts*		—			(1,448,901	)		—			(1,448,901	)
Total Return Swaps Contracts*		—			(64,990	)		—			(64,990	)
Total Liabilities	$	(816,771	)	$	(2,216,823	)	$	—		$	(3,033,594	)

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Notes to Financial Statements June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	2,099,000,619		$	281,729,825		$	—		$	2,380,730,444
Short-Term Investments		—			4,675,394,391			—			4,675,394,391
Futures Contracts*		1,332,588			—			—			1,332,588
Forward Foreign Currency Exchange Contracts*		—			1,287,463			—			1,287,463
Total Return Basket Swaps Contracts*		—			40,992,150			—			40,992,150
Total Return Swaps Contracts*		—			33,123			—			33,123
Total Assets	$	2,100,333,207		$	4,999,436,952		$	—		$	7,099,770,159
LIABILITIES
Common Stocks (Sold Short)†	$	(1,742,011,876	)	$	(194,418,105	)	$	—		$	(1,936,429,981	)
Rights†		—			—			—	(a)		–(a	)
Futures Contracts*		(44,967,338	)		—			—			(44,967,338	)
Forward Foreign Currency Exchange Contracts*		—			(12,543,799	)		—			(12,543,799	)
Total Return Basket Swaps Contracts*		—			(305,328,583	)		—			(305,328,583	)
Total Return Swaps Contracts*		—			(4,429,217	)		—			(4,429,217	)
Total Liabilities	$	(1,786,979,214	)	$	(516,719,704	)	$	—	(a)	$	(2,303,698,918	)
AQR MULTI-STRATEGY ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	22,531,318		$	—		$	406,135		$	22,937,453
Convertible Preferred Stocks†		—			215,627,091			—			215,627,091
Corporate Bonds†		—			—			236,648			236,648
Convertible Bonds†		—			511,559,667			181,158			511,740,825
Short-Term Investments		—			2,312,563,752			—			2,312,563,752
Futures Contracts*		26,345,730			—			—			26,345,730
Forward Foreign Currency Exchange Contracts*		—			33,986,679			—			33,986,679
Credit Default Swap Contracts*		—			17,877,742			—			17,877,742
Total Return Basket Swaps Contracts*		—			25,085,789			—			25,085,789
Total Return Swaps Contracts*		—			5,528,470			—			5,528,470
Total Assets	$	48,877,048		$	3,122,229,190		$	823,941		$	3,171,930,179
LIABILITIES
Common Stocks (Sold Short)†	$	(580,918,080	)	$	—		$	—		$	(580,918,080	)
Convertible Bonds (Sold Short)†		—			(14,620,689	)		—			(14,620,689	)
Futures Contracts*		(25,820,578	)		—			—			(25,820,578	)
Forward Foreign Currency Exchange Contracts*		—			(35,429,881	)		—			(35,429,881	)
Credit Default Swap Contracts*		—			(5,742,101	)		—			(5,742,101	)
Total Return Basket Swaps Contracts*		—			(158,680,801	)		—			(158,680,801	)
Total Return Swaps Contracts*		—			(3,766,883	)		—			(3,766,883	)
Total Liabilities	$	(606,738,658	)	$	(218,240,355	)	$	—		$	(824,979,013	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Short-Term Investments	$	—		$	303,032,830		$	—		$	303,032,830
Futures Contracts*		18,855,601			—			—			18,855,601
Total Return Swaps Contracts*		—			959,730			—			959,730
Total Assets	$	18,855,601		$	303,992,560		$	—		$	322,848,161
LIABILITIES
Futures Contracts*	$	(31,935,920	)	$	—		$	—		$	(31,935,920	)
Total Return Swaps Contracts*		—			(4,924,993	)		—			(4,924,993	)
Total Liabilities	$	(31,935,920	)	$	(4,924,993	)	$	—		$	(36,860,913	)

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272

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR RISK PARITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	63,052,467		$	—	$	63,052,467
U.S. Treasury Obligations		—			104,915,971			—		104,915,971
Short-Term Investments		—			209,933,711			—		209,933,711
Futures Contracts*		6,778,575			—			—		6,778,575
Forward Foreign Currency Exchange Contracts*		—			1,653,580			—		1,653,580
Interest Rate Swap Contracts*		—			960,604			—		960,604
Credit Default Swap Contracts*		—			12,444,006			—		12,444,006
Total Return Swaps Contracts*		—			453,231			—		453,231
Total Assets	$	6,778,575		$	393,413,570		$	—	$	400,192,145
LIABILITIES
Futures Contracts*	$	(5,238,293	)	$	—		$	—	$	(5,238,293	)
Forward Foreign Currency Exchange Contracts*		—			(2,346,273	)		—		(2,346,273	)
Interest Rate Swap Contracts*		—			(2,198,340	)		—		(2,198,340	)
Credit Default Swap Contracts*		—			(581,405	)		—		(581,405	)
Total Return Swaps Contracts*		—			(2,305,786	)		—		(2,305,786	)
Total Liabilities	$	(5,238,293	)	$	(7,431,804	)	$	—	$	(12,670,097	)
AQR RISK PARITY II HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	11,792,176		$	—	$	11,792,176
U.S. Treasury Obligations		—			18,917,884			—		18,917,884
Short-Term Investments		—			22,989,104			—		22,989,104
Futures Contracts*		1,491,369			—			—		1,491,369
Forward Foreign Currency Exchange Contracts*		—			81,453			—		81,453
Total Return Swaps Contracts*		—			97,709			—		97,709
Total Assets	$	1,491,369		$	53,878,326		$	—	$	55,369,695
LIABILITIES
Reverse Repurchase Agreements (Sold Short)	$	—		$	(12,053,090	)	$	—	$	(12,053,090	)
Futures Contracts*		(1,097,394	)		—			—		(1,097,394	)
Forward Foreign Currency Exchange Contracts*		—			(11,464	)		—		(11,464	)
Total Return Swaps Contracts*		—			(545,920	)		—		(545,920	)
Total Liabilities	$	(1,097,394	)	$	(12,610,474	)	$	—	$	(13,707,868	)
AQR RISK PARITY II MV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	11,881,287		$	—	$	11,881,287
U.S. Treasury Obligations		—			19,826,269			—		19,826,269
Short-Term Investments		—			40,078,843			—		40,078,843
Futures Contracts*		1,575,258			—			—		1,575,258
Forward Foreign Currency Exchange Contracts*		—			87,428			—		87,428
Total Return Swaps Contracts*		—			92,673			—		92,673
Total Assets	$	1,575,258		$	71,966,500		$	—	$	73,541,758
LIABILITIES
Futures Contracts*	$	(1,161,315	)	$	—		$	—	$	(1,161,315	)
Forward Foreign Currency Exchange Contracts*		—			(11,187	)		—		(11,187	)
Total Return Swaps Contracts*		—			(547,881	)		—		(547,881	)
Total Liabilities	$	(1,161,315	)	$	(559,068	)	$	—	$	(1,720,383	)

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273

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	2,222,865,704		$	217,319,863		$	—		$	2,440,185,567
Rights†		—			—			—	(a)		—	(a)
Short-Term Investments		—			3,774,077,749			—			3,774,077,749
Futures Contracts*		120,579,123			—			—			120,579,123
Forward Foreign Currency Exchange Contracts*		—			56,934,057			—			56,934,057
Total Return Basket Swaps Contracts*		—			26,274,528			—			26,274,528
Total Return Swaps Contracts*		—			10,486,986			—			10,486,986
Total Assets	$	2,343,444,827		$	4,085,093,183		$	—	(a)	$	6,428,538,010
LIABILITIES
Common Stocks (Sold Short)†	$	(1,600,807,849	)	$	(100,696,504	)	$	(3	)	$	(1,701,504,356	)
Futures Contracts*		(86,826,751	)		—			—			(86,826,751	)
Forward Foreign Currency Exchange Contracts*		—			(72,884,683	)		—			(72,884,683	)
Total Return Basket Swaps Contracts*		—			(133,063,237	)		—			(133,063,237	)
Total Return Swaps Contracts*		—			(18,971,916	)		—			(18,971,916	)
Total Liabilities	$	(1,687,634,600	)	$	(325,616,340	)	$	(3	)	$	(2,013,250,943	)
AQR STYLE PREMIA ALTERNATIVE LV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	4,047,759		$	74,995,371		$	—		$	79,043,130
Rights†		—			—			—	(a)		—	(a)
Short-Term Investments		—			458,792,985			—			458,792,985
Futures Contracts*		6,726,039			—			—			6,726,039
Forward Foreign Currency Exchange Contracts*		—			2,738,325			—			2,738,325
Total Return Basket Swaps Contracts*		—			82,297			—			82,297
Total Return Swaps Contracts*		—			467,360			—			467,360
Total Assets	$	10,773,798		$	537,076,338		$	—	(a)	$	547,850,136
LIABILITIES
Common Stocks (Sold Short)†	$	(5,031,909	)	$	(61,414,775	)	$	—		$	(66,446,684	)
Futures Contracts*		(4,386,907	)		—			—			(4,386,907	)
Forward Foreign Currency Exchange Contracts*		—			(3,315,483	)		—			(3,315,483	)
Total Return Basket Swaps Contracts*		—			(11,801,496	)		—			(11,801,496	)
Total Return Swaps Contracts*		—			(899,811	)		—			(899,811	)
Total Liabilities	$	(9,418,816	)	$	(77,431,565	)	$	—		$	(86,850,381	)

* Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

† Please refer to the Schedule of Investments to view securities segregated by country.

(a) Security has zero value.

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the period ended June 30, 2018, the amount of securities that transferred from Level 1 into Level 2 for AQR Diversified Arbitrage Fund, AQR Long Short Equity Fund and AQR Equity Market Neutral Fund was $9,802,110, $(782,212) and $(278,843) and the amount of securities transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund was $15,048,342. There were no transfers between level 1 and 2 for any of the remaining Funds.

There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments that are considered quantitatively insignificant in the aggregate for AQR Alternative Risk Premia Fund, AQR Long Short Equity Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund .

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274

Notes to Financial Statements June 30, 2018 (Unaudited)

The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCKS			LOAN PARTICIPATIONS/ CORPORATE BONDS			CONVERTIBLE BONDS			PREFERRED STOCKS		RIGHTS			WARRANTS			SECURITIES IN LITIGATION			SHORT COMMON STOCKS
Balance as of December 31, 2017	$	7,262,232		$	5,913,087		$	5,185,257		$	633,976	$	407,271		$	860,044		$	459,054		$	—	(a)
Accrued discounts/(premiums)		—			56,744			—			—		—			—			—			—
Realized gain/(loss)		(11,740	)		(1,891,736	)		86,478			—		79,371			(240	)		—			—
Change in unrealized appreciation/(depreciation)		(1,830,864	)		(32,517,483	)		30,687,217			38,020		241,086			(627,121	)		(11,435	)		—
Purchases1		4,009,759			67,512,078			1,155,043			—		—			—			67,831			—
Sales2		(3,317,895	)		(31,774,393	)		(32,402,722	)		—		(79,371	)		—			—			—
Transfers in to Level 3		—			5,951,750			—			—		—			2,041,972			—			—
Transfers out of Level 3		—			(5,873,081	)		(4,522,700	)		—		(149,000	)		(253,378	)		—			—
Balance as of June 30, 2018	$	6,111,492		$	7,376,966		$	188,573		$	671,996	$	499,357		$	2,021,277		$	515,450		$	—	(a)
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2018	$	(5,160,488	)	$	(28,848,898	)	$	(627,523	)	$	38,020	$	242,066		$	(621,125	)	$	(15,505	)	$	—

¹   Purchases include all purchases of securities and securities received in corporate actions.

²  Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action.

(a) Security has zero value.

AQR MULTI-STRATEGY ALTERNATIVE FUND	COMMON STOCKS			CORPORATE BONDS			CONVERTIBLE BONDS
Balance as of December 31, 2017	$	12,197,736		$	—		$	384,000
Accrued discounts/(premiums)		—			—			(157,618	)
Realized gain/(loss)		10,678			—			(69	)
Change in unrealized appreciation/(depreciation)		400,821			(15,319,099	)		15,439,323
Purchases1		—			31,071,166			18,047,316
Sales2		(12,203,100	)		(15,515,419	)		(33,531,794	)
Transfers in to Level 3		—			—			—
Transfers out of Level 3		—			—			—
Balance as of June 30, 2018	$	406,135		$	236,648		$	181,158
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2018	$	(11,791,601	)	$	(15,319,099	)	$	(8,857,936	)

¹  Purchases include all purchases of securities and securities received in corporate actions.

²  Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action.

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.

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275

Notes to Financial Statements June 30, 2018 (Unaudited)

The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended June 30, 2018 for the AQR Diversified Arbitrage Fund:

Quantitative Information about Level 3 Fair Value Measurements*

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Common Stocks		$1,892,289	Enterprise Value Waterfall Analysis	Discount for Lack of Marketability**	18.64%—42.51%	20.12%
				EBITDA Multiple	5.0x to 6.75x	N/A
				Revenue Multiple	1.05x to 1.15x	N/A
		$387,974	Probability Weighted Expected Return	Discount for Lack of Marketability**	8.68%—30.00%	23.93%
				Discount Rate	7.50%	N/A
				Equity Cost of Capital	45.00%	N/A
				Legal Fees (% of potential proceeds)	-9.15%	N/A
				Scenario Probability	5.00%—90.00%	33.33%
				Term	1.05 to 2 years	N/A
		$44,771	Public Price Adjusted for Lack of Marketability	Discount for Lack of Marketability**	12.41%—25.91%	15.58%
Convertible Bonds		$12,513	Liquidation Analysis	Discount Rate	9.50%	N/A
				Term	3.51 years	N/A
Corporate Bonds		$451,534	Liquidation Analysis	Discount Rate	9.50%	N/A
				Term	3.51 years	N/A
Preferred Stocks		$671,996	Enterprise Value Waterfall Analysis	Equity Cost of Capital	16.41%	N/A
				Term	10 years	N/A
Rights		$302,423	Probability Weighted Expected Return	Discount for Lack of Marketability**	19.97%—30.52%	27.50%
				Equity Cost of Capital	19.50%	N/A
				Scenario Probability	26.25%—75.00%	48.40%
				Weighted Average Cost of Capital	29.00%	N/A
Securities in Litigation		$514,936	Liquidation Analysis	Discount for Lack of Marketability**	30.00%	N/A
				Discount Rate	6.00%	N/A
				Future Fundings as % of Expected Proceeds	34.77%	N/A
				Term	2.25 years	N/A
				Recovery Probability	50.00%	N/A

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2018, the value of these securities for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund were $18,106,675 and $823,941, respectively. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.

** Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments.

AQR Funds Semi-Annual Report June 2018

276

Notes to Financial Statements June 30, 2018 (Unaudited)

6. Federal Income Tax Matters

At June 30, 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 Alternative Risk Premia Fund	$	193,413,616	$	18,366,485	$	(14,546,339	)	$	3,820,146
AQR Diversified Arbitrage Fund		476,305,669		65,018,063		(83,090,577	)		(18,072,514	)
AQR Equity Market Neutral Fund		1,573,924,142		120,772,515		(121,849,665	)		(1,077,150	)
AQR Global Macro Fund		32,845,239		2,854,368		(1,969,390	)		884,978
AQR Long-Short Equity Fund		5,151,506,031		252,700,938		(608,135,728	)		(355,434,790	)
AQR Multi-Strategy Alternative Fund		2,480,439,544		256,577,672		(407,792,050	)		(151,214,378	)
AQR Risk-Balanced Commodities Strategy Fund		303,000,686		19,852,160		(36,865,598	)		(17,013,438	)
AQR Risk Parity Fund		392,679,945		11,401,837		(16,559,734	)		(5,157,897	)
AQR Risk Parity II HV Fund		41,577,243		2,113,571		(2,028,987	)		84,584
AQR Risk Parity II MV Fund		71,827,330		2,165,474		(2,171,429	)		(5,955	)
AQR Style Premia Alternative Fund		4,596,373,844		404,423,336		(585,510,113	)		(181,086,777	)
AQR Style Premia Alternative LV Fund		464,783,192		25,098,627		(28,882,064	)		(3,783,437	)

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.

As of December 31, 2017, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG-TERM
AQR Alternative Risk Premia Fund	$	63,197	$	28,368
AQR Diversified Arbitrage Fund		57,066,072		222,329,184
AQR Equity Market Neutral Fund		24,696,851		—
AQR Global Macro Fund		1,533,147		248,740
AQR Multi-Strategy Alternative Fund		—		97,744,155
AQR Risk-Balanced Commodities Strategy Fund		12,630		—
AQR Style Premia Alternative Fund		61,106,702		—
AQR Style Premia Alternative LV Fund		4,544,386		—

7. Investment Transactions

During the period ended June 30, 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 Alternative Risk Premia Fund.	$	181,222,394	$	34,201,744	$	171,733,464	$	52,061,698
AQR Diversified Arbitrage Fund		688,009,975		725,394,543		347,559,083		393,165,269
AQR Equity Market Neutral Fund		282,326,593		288,139,695		252,235,441		261,397,238
AQR Long-Short Equity Fund		3,402,879,929		2,365,942,340		2,575,945,147		1,930,850,428
AQR Multi-Strategy Alternative Fund.		277,828,215		488,620,364		179,540,301		339,022,238
AQR Risk Parity Fund.		27,882,029		19,404,432		—		—
AQR Risk Parity II HV Fund.		4,645,086		4,356,317		—		—
AQR Risk Parity II MV Fund.		4,041,561		1,648,109		—		—
AQR Style Premia Alternative Fund		3,188,698,660		2,268,883,866		2,581,327,433		2,252,866,858
AQR Style Premia Alternative LV Fund		36,249,014		26,883,426		33,472,538		22,619,155

AQR Funds Semi-Annual Report June 2018

277

Notes to Financial Statements June 30, 2018 (Unaudited)

During the period ended June 30, 2018, the Funds had purchases and sales of long-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Diversified Arbitrage Fund	$	3,704,845	$	3,663,281	$	245,248,580	$	245,166,487
AQR Risk Parity Fund		18,754,104		10,981,010		—		—
AQR Risk Parity II HV Fund		3,174,241		2,335,557		—		—
AQR Risk Parity II MV Fund		2,741,648		909,358		—		—

8. Derivative Instruments and Activities

The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at June 30, 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		WRITTEN OPTIONS AT MARKET VALUE
Equity Risk Exposure:
AQR Alternative Risk Premia Fund	$	700,845	$	80,847	$	—	$	785,742	$	813,977	$	—	$	504,989
AQR Diversified Arbitrage Fund		1,089,853		9,872,447		—		—		828,741		—		—
AQR Equity Market Neutral Fund		—		1,170,641		—		—		79,375,211		—		—
AQR Global Macro Fund		311,959		17,173		—		128,738		36,465		—		—
AQR Long-Short Equity Fund		1,332,588		41,025,273		—		44,967,338		309,757,800		—		—
AQR Multi-Strategy Alternative Fund		2,814,274		24,440,075		—		11,110,335		161,053,516		—		—
AQR Risk Parity Fund		62,405		21,123		—		2,510,159		272,814		—		—
AQR Risk Parity II HV Fund		11,407		2,485		—		547,911		74,033		—		—
AQR Risk Parity II MV Fund		12,860		6,527		—		610,429		80,963		—		—
AQR Style Premia Alternative Fund		32,411,434		30,172,819		—		32,131,779		140,654,026		—		—
AQR Style Premia Alternative LV Fund		1,999,220		217,471		—		1,718,387		12,165,247		—		—
Foreign Exchange Rate Risk Exposure:
AQR Alternative Risk Premia Fund		—		—		1,379,260		—		—		2,200,172		—
AQR Diversified Arbitrage Fund		—		—		94,325		—		—		14,964		—
AQR Equity Market Neutral Fund		—		—		1,278,012		—		—		544,975		—
AQR Global Macro Fund		—		—		794,342		—		—		702,932		—
AQR Long-Short Equity Fund		—		—		1,287,463		—		—		12,543,799		—
AQR Multi-Strategy Alternative Fund		—		—		33,986,679		—		—		35,429,881		—
AQR Risk Parity Fund		—		—		1,653,580		—		—		2,346,273		—
AQR Risk Parity II HV Fund		—		—		81,453		—		—		11,464		—
AQR Risk Parity II MV Fund		—		—		87,428		—		—		11,187		—
AQR Style Premia Alternative Fund		—		—		56,934,057		—		—		72,884,683		—
AQR Style Premia Alternative LV Fund		—		—		2,738,325		—		—		3,315,483		—
Interest Rate Risk Exposure:
AQR Alternative Risk Premia Fund		733,574		—		—		1,063,792		—		—		77,382
AQR Diversified Arbitrage Fund		—		259,102		—		331,074		—		—		—
AQR Global Macro Fund		351,424		2,061,026		—		478,808		1,455,316		—		—
AQR Multi-Strategy Alternative Fund		7,488,976		1,760,709		—		9,262,247		—		—		—
AQR Risk Parity Fund		2,367,502		960,604		—		—		2,198,340		—		—
AQR Risk Parity II HV Fund		590,927		—		—		—		—		—		—
AQR Risk Parity II MV Fund		647,256		—		—		—		—		—		—
AQR Style Premia Alternative Fund		28,921,411		—		—		38,149,653		—		—		—
AQR Style Premia Alternative LV Fund		1,539,772		—		—		2,133,301		—		—		—

AQR Funds Semi-Annual Report June 2018

278

Notes to Financial Statements June 30, 2018 (Unaudited)

	ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS AT MARKET VALUE
Credit Risk Exposure:
AQR Diversified Arbitrage Fund	$	—		$	—		$	—		$	—		$	836,698		$	—		$	—
AQR Multi-Strategy Alternative Fund		—			17,877,742			—			—			5,742,101			—			—
AQR Risk Parity Fund		—			12,444,006			—			—			581,405			—			—
Commodity Risk Exposure:
AQR Global Macro Fund		474,576			21,375			—			209,225			22,110			—			—
AQR Multi-Strategy Alternative Fund		16,042,480			4,413,475			—			5,447,996			1,394,168			—			—
AQR Risk-Balanced Commodities Strategy Fund		18,855,601			959,730			—			31,935,920			4,924,993			—			—
AQR Risk Parity Fund		4,348,668			432,108			—			2,728,134			2,032,972			—			—
AQR Risk Parity II HV Fund		889,035			95,224			—			549,483			471,887			—			—
AQR Risk Parity II MV Fund		915,142			86,146			—			550,886			466,918			—			—
AQR Style Premia Alternative Fund		59,246,278			6,588,695			—			16,545,319			11,381,127			—			—
AQR Style Premia Alternative LV Fund		3,187,047			332,186			—			535,219			536,060			—			—
Netting:
AQR Alternative Risk Premia Fund		(1,434,419	)		(80,847	)		(1,379,260	)		(1,434,419	)		(80,847	)		(1,379,260	)		—
AQR Diversified Arbitrage Fund		(331,074	)		(1,665,439	)		(14,964	)		(331,074	)		(1,665,439	)		(14,964	)		—
AQR Equity Market Neutral Fund		—			(1,170,641	)		(544,975	)		—			(1,170,641	)		(544,975	)		—
AQR Global Macro Fund		(816,771	)		(1,513,891	)		(702,932	)		(816,771	)		(1,513,891	)		(702,932	)		—
AQR Long-Short Equity Fund		(1,332,588	)		(41,025,273	)		(1,287,463	)		(1,332,588	)		(41,025,273	)		(1,287,463	)		—
AQR Multi-Strategy Alternative Fund		(25,820,578	)		(48,492,001	)		(33,986,679	)		(25,820,578	)		(48,492,001	)		(33,986,679	)		—
AQR Risk-Balanced Commodities Strategy Fund		(18,855,601	)		(959,730	)		—			(18,855,601	)		(959,730	)		—			—
AQR Risk Parity Fund		(5,238,293	)		(5,085,531	)		(1,653,580	)		(5,238,293	)		(5,085,531	)		(1,653,580	)		—
AQR Risk Parity II HV Fund		(1,097,394	)		(97,709	)		(11,464	)		(1,097,394	)		(97,709	)		(11,464	)		—
AQR Risk Parity II MV Fund		(1,161,315	)		(92,673	)		(11,187	)		(1,161,315	)		(92,673	)		(11,187	)		—
AQR Style Premia Alternative Fund		(86,826,751	)		(36,761,514	)		(56,934,057	)		(86,826,751	)		(36,761,514	)		(56,934,057	)		—
AQR Style Premia Alternative LV Fund		(4,386,907	)		(549,657	)		(2,738,325	)		(4,386,907	)		(549,657	)		(2,738,325	)		—
Net Fair Value of Derivative Contracts:
AQR Alternative Risk Premia Fund		—			—			—			415,115			733,130			820,912			582,371
AQR Diversified Arbitrage Fund		758,779			8,466,110			79,361			—			—			—			—
AQR Equity Market Neutral Fund		—			—			733,037			—			78,204,570			—			—
AQR Global Macro Fund		321,188			585,683			91,410			—			—			—			—
AQR Long-Short Equity Fund		—			—			—			43,634,750			268,732,527			11,256,336			—
AQR Multi-Strategy Alternative Fund		525,152			—			—						119,697,784			1,443,202			—
AQR Risk-Balanced Commodities Strategy Fund		—			—			—			13,080,319			3,965,263			—			—
AQR Risk Parity Fund		1,540,282			8,772,310			—			—			—			692,693			—
AQR Risk Parity II HV Fund		393,975			—			69,989			—			448,211			—			—
AQR Risk Parity II MV Fund		413,943			—			76,241			—			455,208			—			—
AQR Style Premia Alternative Fund		33,752,372			—			—			—			115,273,639			15,950,626			—
AQR Style Premia Alternative LV Fund		2,339,132			—			—			—			12,151,650			577,158			—

AQR Funds Semi-Annual Report June 2018

279

Notes to Financial Statements June 30, 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 June 30, 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			WRITTEN OPTIONS		FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS
Equity Risk Exposure:
AQR Alternative Risk Premia Fund	$	(2,152,176	)	$	(186,686	)	$	—		$	355,697	$	87,910		$	(1,024,148	)	$	—		$	5,093
AQR Diversified Arbitrage Fund		(2,605,951	)		10,102,480			—			718		1,421,750			(609,410	)		—			—
AQR Equity Market Neutral Fund		(4,679,326	)		(34,991,089	)		—			—		(130,738	)		(159,650,310	)		—			—
AQR Global Macro Fund		(413,274	)		(169,588	)		—			—		257,579			(65,977	)		—			—
AQR Long-Short Equity Fund		93,160,102			140,477,320			—			—		(52,690,399	)		(513,866,736	)		—			—
AQR Multi-Strategy Alternative Fund		(35,207,335	)		62,510,998			—			955,603		(6,293,529	)		(285,530,332	)		—			2,457,349
AQR Risk Parity Fund		1,181,713			(318,129	)		—			—		(3,585,374	)		(715,346	)		—			—
AQR Risk Parity II HV Fund		483,380			(150,873	)		—			—		(759,939	)		(161,192	)		—			—
AQR Risk Parity II MV Fund		673,308			(197,329	)		—			—		(818,860	)		(163,773	)		—			—
AQR Style Premia Alternative Fund		(82,788,041	)		162,567,798			—			—		(7,464,917	)		(301,369,586	)		—			—
AQR Style Premia Alternative LV Fund		(4,041,984	)		7,881,530			—			—		(35,439	)		(22,344,685	)		—			—
Foreign Exchange Rate Risk Exposure:
AQR Alternative Risk Premia Fund		—			—			(1,309,402	)		—		—			—			(902,609	)		—
AQR Diversified Arbitrage Fund		—			—			75,849			—		—			—			189,421			—
AQR Equity Market Neutral Fund		—			—			1,414,634			—		—			—			1,608,006			—
AQR Global Macro Fund		—			—			(95,292	)		—		—			—			229,847			—
AQR Long-Short Equity Fund		—			—			(15,825,489	)		—		—			—			(18,360,113	)		—
AQR Multi-Strategy Alternative Fund		—			—			(13,053,601	)		—		—			—			2,916,266			—
AQR Risk Parity Fund		—			—			(551,713	)		—		—			—			(1,677,560	)		—
AQR Risk Parity II HV Fund		—			—			206,377			—		—			—			187,762			—
AQR Risk Parity II MV Fund		—			—			251,430			—		—			—			182,364			—
AQR Style Premia Alternative Fund		—			—			(1,748,780	)		—		—			—			(9,802,920	)		—
AQR Style Premia Alternative LV Fund		—			—			359,108			—		—			—			(228,511	)		—
Interest Rate Risk Exposure:
AQR Alternative Risk Premia Fund		(935,812	)		—			—			37,650		(211,278	)		—			—			98,438
AQR Diversified Arbitrage Fund		1,093,328			(4,277,896	)		—			—		(490,769	)		197,273			—			—
AQR Global Macro Fund		996,763			989,125			—			—		(198,659	)		(39,500	)		—			—
AQR Multi-Strategy Alternative Fund		12,597,516			(2,334,347	)		—			—		(2,333,377	)		1,341,385			—			—
AQR Risk Parity Fund		(6,151,034	)		(1,836,178	)		—			—		3,976,272			471,710			—			—
AQR Risk Parity II HV Fund		(1,716,819	)		—			—			—		986,683			—			—			—
AQR Risk Parity II MV Fund		(1,542,476	)		—			—			—		1,027,287			—			—			—
AQR Style Premia Alternative Fund		7,498,588			—			—			—		(17,655,623	)		—			—			—
AQR Style Premia Alternative LV Fund		762,263			—			—			—		(1,030,873	)		—			—			—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—			(348,482	)		—			—		—			238,442			—			—
AQR Multi-Strategy Alternative Fund		—			(938,075	)		—			—		—			(2,060,408	)		—	��		—
AQR Risk Parity Fund		—			3,393,952			—			—		—			(5,955,647	)		—			—
Commodity Risk Exposure:
AQR Alternative Risk Premia Fund		—			—			—			—		5,417			—			—			—
AQR Global Macro Fund		594,977			10,127			—			—		66,969			2,030			—			—

AQR Funds Semi-Annual Report June 2018

280

Notes to Financial Statements June 30, 2018 (Unaudited)

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS									NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS		SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
AQR Multi-Strategy Alternative Fund	$	30,726,835	$	(6,808,305	)	$	—	$	—	$	(5,107,084	)	$	1,727,344		$	—	$	—
AQR Risk-Balanced Commodities Strategy Fund		8,150,019		(780,792	)		—		—		(21,494,943	)		(3,050,830	)		—		—
AQR Risk Parity Fund		9,331,303		(640,544	)		—		—		(3,648,046	)		(915,945	)		—		—
AQR Risk Parity II HV Fund		2,061,803		(152,018	)		—		—		(832,062	)		(241,903	)		—		—
AQR Risk Parity II MV Fund		1,951,609		(160,010	)		—		—		(741,261	)		(263,697	)		—		—
AQR Style Premia Alternative Fund		88,991,806		(22,404,446	)		—		—		13,651,372			(10,084,694	)		—		—
AQR Style Premia Alternative LV Fund		4,371,109		(1,037,974	)		—		—		955,051			(470,537	)		—		—

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of June 30, 2018:

AQR ALTERNATIVE RISK PREMIA FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
BANA	Total Return Swap Contracts	$	52,750	$	(52,750	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		547,869		(547,869	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		831,391		(831,391	)		—		—		—		—
MLIN	Total Return Swap Contracts		16,134		—			16,134		—		—		16,134
MSCS	Total Return Swap Contracts		11,963		—			11,963		—		—		11,963
Total financial instruments subject to a master netting arrangement or similar arrangement			1,460,107		(1,432,010	)		28,097		—		—		28,097

AQR ALTERNATIVE RISK PREMIA FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	813,977	$	(52,750	)	$	761,227	$	—	$	—		$	761,227
CITI	Forward Foreign Currency Exchange Contracts		880,442		(547,869	)		332,573		—		(332,573	)		—
JPMC	Forward Foreign Currency Exchange Contracts		1,319,730		(831,391	)		488,339		—		(488,339	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,014,149		(1,432,010	)		1,582,139		—		(820,912	)		761,227

(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 $ 8,487,909.

AQR Funds Semi-Annual Report June 2018

281

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	568,176	$	—		$	568,176	$	—	$	(300,000	)	$	268,176
CITI	Forward Foreign Currency Exchange Contracts		41,413		(14,783	)		26,630		—		—			26,630
DTBK	Total Return Basket Swaps Contracts		48,192		(48,192	)		—		—		—			—
GSIN	Total Return Basket Swaps Contracts		4,166,599		(240,479	)		3,926,120		—		(3,803,307	)		122,813
JPMC	Forward Foreign Currency Exchange Contracts		52,912		(181	)		52,731
	Total Return Basket Swaps Contracts		5,348,582		(9,884	)		5,338,698
	Total JPMC		5,401,494		(10,065	)		5,391,429		—		(2,707,240	)		2,684,189
Total financial instruments subject to a master netting arrangement or similar arrangement			10,225,874		(313,519	)		9,912,355		—		(6,810,547	)		3,101,808

AQR DIVERSIFIED ARBITRAGE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	14,783	$	(14,783	)	$	—	$	—	$	—		$	—
DTBK	Total Return Basket Swaps Contracts		380,050		(48,192	)		331,858		—		(331,858	)		—
GSIN	Total Return Basket Swaps Contracts		240,479		(240,479	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		181		(181	)		—
	Total Return Basket Swaps Contracts		9,884		(9,884	)		—
	Total JPMC		10,065		(10,065	)		—		—		—			—
MSIP	Total Return Basket Swaps Contracts		198,328		—			198,328		—		(198,328	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			843,705		(313,519	)		530,186		—		(530,186	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $30,802.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 9,750,607.

AQR Funds Semi-Annual Report June 2018

282

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	511,252	$	(217,966	)	$	293,286	$	—	$	(293,286	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		766,760		(327,009	)		439,751		—		—			439,751
MSIP	Total Return Basket Swaps Contracts		1,170,641		(1,170,641	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,448,653		(1,715,616	)		733,037		—		(293,286	)		439,751

AQR EQUITY MARKET NEUTRAL FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	217,966	$	(217,966	)	$	—	$	—	$	—		$	—
JPMC	Forward Foreign Currency Exchange Contracts		327,009		(327,009	)		—		—		—			—
MSIP	Total Return Basket Swaps Contracts		79,375,211		(1,170,641	)		78,204,570		—		(78,204,570	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			79,920,186		(1,715,616	)		78,204,570		—		(78,204,570	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 346,714.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 318,236,882.

AQR GLOBAL MACRO FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	320,096	$	(281,165	)	$	38,931	$	—	$	—	$	38,931
GSIN	Total Return Swap Contracts		12,127		(12,127	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		474,246		(421,767	)		52,479		—		—		52,479
MLIN	Total Return Swap Contracts		5,046		(5,046	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			811,515		(720,105	)		91,410		—		—		91,410

AQR Funds Semi-Annual Report June 2018

283

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR GLOBAL MACRO FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	6,415	$	—		$	6,415	$	—	$	—		$	6,415
CITI	Forward Foreign Currency Exchange Contracts		281,165		(281,165	)		—		—		—			—
GSIN	Total Return Swap Contracts		29,140		(12,127	)		17,013		—		(17,013	)		—
JPMC	Forward Foreign Currency Exchange Contracts		421,767		(421,767	)		—		—		—			—
MLIN	Total Return Swap Contracts		7,325		(5,046	)		2,279		—		(2,279	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			745,812		(720,105	)		25,707		—		(19,292	)		6,415

(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 $ 1,626,110.

AQR GLOBAL MACRO OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	4,979	$	(2,602	)	$	2,377	$	—	$	—	$	2,377
GSIN	Total Return Swap Contracts		13,849		(2,153	)		11,696		—		—		11,696
MACQ	Total Return Swap Contracts		2,147		(2,147	)		—		—		—		—
SOCG	Total Return Swap Contracts		400		(400	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			21,375		(7,302	)		14,073		—		—		14,073
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	2,602	$	(2,602	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		2,153		(2,153	)		—		—		—		—
MACQ	Total Return Swap Contracts		10,670		(2,147	)		8,523		—		—		8,523
SOCG	Total Return Swap Contracts		6,685		(400	)		6,285		—		—		6,285
Total financial instruments subject to a master netting arrangement or similar arrangement			22,110		(7,302	)		14,808		—		—		14,808

(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 $ 60,922.

AQR Funds Semi-Annual Report June 2018

284

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR LONG-SHORT EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	514,226	$	(514,226	)	$	—	$	—	$	—		$	—
DTBK	Total Return Basket Swaps Contracts		2,569,415		(2,569,415	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		773,237		(773,237	)		—
	Total Return Swaps Contracts		33,123		(33,123	)		—
	Total JPMC		806,360		(806,360	)		—		—		—			—
MSIP	Total Return Basket Swaps Contracts		38,422,735		(38,422,735	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			42,312,736		(42,312,736	)		—		—		—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	5,017,183	$	(514,226	)	$	4,502,957	$	—	$	(4,502,957	)	$	—
DTBK	Total Return Basket Swaps Contracts		51,990,170		(2,569,415	)		49,420,755		—		(49,420,755	)		—
GSIN	Total Return Swaps Contracts		24,464		—			24,464
	Total Return Basket Swaps Contracts		214,411,035		—			214,411,035
	Total GSIN		214,435,499		—			214,435,499		—		(214,435,499	)		—
JPMC	Forward Foreign Currency Exchange Contracts		7,526,616		(773,237	)		6,753,379
	Total Return Swaps Contracts		4,404,753		(33,123	)		4,371,630
	Total JPMC		11,931,369		(806,360	)		11,125,009		—		(11,125,009	)		—
MSIP	Total Return Basket Swaps Contracts		38,927,378		(38,422,735	)		504,643		—		(504,643	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			322,301,599		(42,312,736	)		279,988,863		—		(279,988,863	)		—

(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 $ 918,642,230.

AQR Funds Semi-Annual Report June 2018

285

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	2,569,236	$	—		$	2,569,236	$	—	$	(2,569,236	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		13,588,345		(13,588,345	)		—		—		—			—
DTBK	Total Return Basket Swaps Contracts		729,929		(729,929	)		—		—		—			—
GSIN	Total Return Swap Contracts		222,185		(45,130	)		177,055
	Total Return Basket Swaps Contracts		6,043,419		(6,043,419	)		—
	Total GSIN		6,265,604		(6,088,549	)		177,055		—		—			177,055
JPMC	Forward Foreign Currency Exchange Contracts		20,398,334		(20,398,334	)		—
	Total Return Swap Contracts		53,847		(53,847	)		—
	Total Return Basket Swaps Contracts		15,604,936		(15,604,936	)		—
	Total JPMC		36,057,117		(36,057,117	)		—		—		—			—
MLIN	Total Return Swap Contracts		36,390		(36,390	)		—		—		—			—
MSCS	Total Return Swap Contracts		802,573		(802,573	)		—		—		—			—
MSIP	Total Return Basket Swaps Contracts		138,269		(138,269	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			60,187,463		(57,441,172	)		2,746,291		—		(2,569,236	)		177,055

AQR Funds Semi-Annual Report June 2018

286

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	14,213,815	$	(13,588,345	)	$	625,470	$	—	$	—		$	625,470
DTBK	Total Return Basket Swaps Contracts		2,375,837		(729,929	)		1,645,908		—		(1,645,908	)		—
GSIN	Total Return Swap Contracts		45,130		(45,130	)		—
	Total Return Basket Swaps Contracts		23,484,880		(6,043,419	)		17,441,461
	Total GSIN		23,530,010		(6,088,549	)		17,441,461		—		(17,441,461	)		—
JPMC	Forward Foreign Currency Exchange Contracts		21,216,066		(20,398,334	)		817,732
	Total Return Swap Contracts		544,629		(53,847	)		490,782
	Total Return Basket Swaps Contracts		132,526,607		(15,604,936	)		116,921,671
	Total JPMC		154,287,302		(36,057,117	)		118,230,185		—		(118,230,185	)		—
MLIN	Total Return Swap Contracts		46,993		(36,390	)		10,603		—		(10,603	)		—
MSCS	Total Return Swap Contracts		1,735,963		(802,573	)		933,390		—		(933,390	)		—
MSIP	Total Return Basket Swaps Contracts		293,477		(138,269	)		155,208		—		—			155,208
Total financial instruments subject to a master netting arrangement or similar arrangement			196,483,397		(57,441,172	)		139,042,225		—		(138,261,547	)		780,678

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 874,890.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 669,264,134.

AQR Funds Semi-Annual Report June 2018

287

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,063,569	$	(82,545	)	$	981,024	$	—	$	(981,024	)	$	—
GSIN	Total Return Swap Contracts		2,068,416		(561,059	)		1,507,357		—		—			1,507,357
MACQ	Total Return Swap Contracts		762,084		(209,978	)		552,106		—		—			552,106
MLIN	Total Return Swap Contracts		157,692		(80,745	)		76,947		—		—			76,947
SOCG	Total Return Swap Contracts		361,714		(361,714	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			4,413,475		(1,296,041	)		3,117,434		—		(981,024	)		2,136,410

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Total Return Swap Contracts	$	82,545	$	(82,545	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		561,059		(561,059	)		—		—		—			—
MACQ	Total Return Swap Contracts		209,978		(209,978	)		—		—		—			—
MLIN	Total Return Swap Contracts		80,745		(80,745	)		—		—		—			—
SOCG	Total Return Swap Contracts		459,841		(361,714	)		98,127		—		(98,127	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,394,168		(1,296,041	)		98,127		—		(98,127	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 128,976.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 5,202,199.

AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS  & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	404,608	$	(404,608	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		46,113		(46,113	)		—		—		—		—
MACQ	Total Return Swap Contracts		99,002		(99,002	)		—		—		—		—
SOCG	Total Return Swap Contracts		410,007		(410,007	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			959,730		(959,730	)		—		—		—		—

AQR Funds Semi-Annual Report June 2018

288

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	2,242,559	$	(404,608	)	$	1,837,951	$	—	$	(1,837,951	)	$	—
GSIN	Total Return Swap Contracts		409,803		(46,113	)		363,690		—		(363,690	)		—
MACQ	Total Return Swap Contracts		1,523,966		(99,002	)		1,424,964		—		(1,424,964	)		—
SOCG	Total Return Swap Contracts		748,665		(410,007	)		338,658		—		(338,658	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			4,924,993		(959,730	)		3,965,263		—		(3,965,263	)		—

(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 $ 3,165,644.

AQR RISK PARITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	660,342	$	(660,342	)	$	—
	Interest Rate Swap Contracts		522,903		(522,903	)		—
	Total CITI		1,183,245		(1,183,245	)		—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		611		—			611		—		—		611
JPMC	Forward Foreign Currency Exchange Contracts		993,238		(993,238	)		—
	Total Return Swap Contracts		4,806		(1,354	)		3,452
	Total JPMC		998,044		(994,592	)		3,452		—		—		3,452
MLIN	Total Return Swap Contracts		7,677		(7,677	)		—		—		—		—
MSCS	Total Return Swap Contracts		8,029		(8,029	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,197,606		(2,193,543	)		4,063		—		—		4,063

AQR Funds Semi-Annual Report June 2018

289

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR RISK PARITY FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	938,563	$	(660,342	)	$	278,221
	Interest Rate Swap Contracts		948,005		(522,903	)		425,102
	Total CITI		1,886,568		(1,183,245	)		703,323	$	—	$	(703,323	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		1,407,710		(993,238	)		414,472
	Total Return Swap Contracts		1,354		(1,354	)		—
	Total JPMC		1,409,064		(994,592	)		414,472		—		(414,472	)		—
MLIN	Total Return Swap Contracts		46,038		(7,677	)		38,361		—		(38,361	)		—
MSCS	Total Return Swap Contracts		225,422		(8,029	)		217,393		—		(217,393	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,567,092		(2,193,543	)		1,373,549		—		(1,373,549	)		—

(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 $ 12,756,229.

AQR RISK PARITY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	92,223	$	(92,223	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		45,477		(45,477	)		—		—		—		—
MACQ	Total Return Swap Contracts		72,588		(72,588	)		—		—		—		—
MLIN	Total Return Swap Contracts		133,580		(133,580	)		—		—		—		—
SOCG	Total Return Swap Contracts		88,240		(88,240	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			432,108		(432,108	)		—		—		—		—

AQR Funds Semi-Annual Report June 2018

290

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR RISK PARITY OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	201,232	$	(92,223	)	$	109,009	$	—	$	(109,009	)	$	—
GSIN	Total Return Swap Contracts		402,251		(45,477	)		356,774		—		(356,774	)		—
MACQ	Total Return Swap Contracts		436,981		(72,588	)		364,393		—		(364,393	)		—
MLIN	Total Return Swap Contracts		379,811		(133,580	)		246,231		—		(246,231	)		—
SOCG	Total Return Swap Contracts		612,697		(88,240	)		524,457		—		(524,457	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,032,972		(432,108	)		1,600,864		—		(1,600,864	)		—

(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 $ 2,234,849.

AQR RISK PARITY II HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	32,584	$	(4,585	)	$	27,999	$	—	$	(27,999	)	$	—
GSIN	Total Return Swap Contracts		2,097		(2,097	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		48,869		(6,879	)		41,990		—		—			41,990
MLIN	Total Return Swap Contracts		388		(388	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			83,938		(13,949	)		69,989		—		(27,999	)		41,990

AQR Funds Semi-Annual Report June 2018

291

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR RISK PARITY II HV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	4,585	$	(4,585	)	$	—
	Reverse Repurchase Agreements		3,146,003		—			3,146,003
	Total CITI		3,150,588		(4,585	)		3,146,003	$	(3,146,003	)	$	—		$	—
JPMC	Forward Foreign Currency Exchange Contracts		6,879		(6,879	)		—		—			—			—
GSIN	Total Return Swap Contracts		29,606		(2,097	)		27,509		—			(27,509	)		—
MLIN	Total Return Swap Contracts		44,427		(388	)		44,039		—			(44,039	)		—
MPFS	Reverse Repurchase Agreements		5,398,075		—			5,398,075		(5,398,075	)		—			—
MSCL	Reverse Repurchase Agreements		3,509,012		—			3,509,012		(3,509,012	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			12,138,587		(13,949	)		12,124,638		(12,053,090	)		(71,548	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 22,001.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,072,522.

AQR RISK PARITY II HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	8,912	$	(8,912	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		17,515		(17,515	)		—		—		—		—
MACQ	Total Return Swap Contracts		25,849		(25,849	)		—		—		—		—
SOCG	Total Return Swap Contracts		42,948		(42,948	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			95,224		(95,224	)		—		—		—		—

AQR Funds Semi-Annual Report June 2018

292

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR RISK PARITY II HV OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	113,899	$	(8,912	)	$	104,987	$	—	$	(104,987	)	$	—
GSIN	Total Return Swap Contracts		77,565		(17,515	)		60,050		—		(60,050	)		—
MACQ	Total Return Swap Contracts		179,832		(25,849	)		153,983		—		(153,983	)		—
SOCG	Total Return Swap Contracts		100,591		(42,948	)		57,643		—		(57,643	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			471,887		(95,224	)		376,663		—		(376,663	)		—

(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 $ 404,996.

AQR RISK PARITY II MV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	34,974	$	(4,475	)	$	30,499	$	—	$	(30,499	)	$	—
GSIN	Total Return Swap Contracts		4,694		(4,694	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		52,454		(6,712	)		45,742		—		—			45,742
MLIN	Total Return Swap Contracts		1,833		(1,833	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			93,955		(17,714	)		76,241		—		(30,499	)		45,742
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	4,475	$	(4,475	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		15,909		(4,694	)		11,215		—		(11,215	)		—
JPMC	Forward Foreign Currency Exchange Contracts		6,712		(6,712	)		—		—		—			—
MLIN	Total Return Swap Contracts		65,054		(1,833	)		63,221		—		(63,221	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			92,150		(17,714	)		74,436		—		(74,436	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 19,501.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 921,520.

AQR Funds Semi-Annual Report June 2018

293

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR RISK PARITY II MV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	11,609	$	(11,609	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		18,404		(18,404	)		—		—		—			—
MACQ	Total Return Swap Contracts		33,085		(33,085	)		—		—		—			—
SOCG	Total Return Swap Contracts		23,048		(23,048	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			86,146		(86,146	)		—		—		—			—
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	111,634	$	(11,609	)	$	100,025	$	—	$	(100,025	)	$	—
GSIN	Total Return Swap Contracts		82,660		(18,404	)		64,256		—		(64,256	)		—
MACQ	Total Return Swap Contracts		166,927		(33,085	)		133,842		—		(133,842	)		—
SOCG	Total Return Swap Contracts		105,697		(23,048	)		82,649		—		(82,649	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			466,918		(86,146	)		380,772		—		(380,772	)		—

(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 $ 551,179.

AQR Funds Semi-Annual Report June 2018

294

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	22,774,200	$	(22,774,200	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		1,341,242		(1,054,937	)		286,305
	Total Return Basket Swap Contracts		1,574,412		(1,574,412	)		—
	Total GSIN		2,915,654		(2,629,349	)		286,305		—		(286,305	)		—
JPMC	Forward Foreign Currency Exchange Contracts		34,159,857		(34,159,857	)		—
	Total Return Basket Swap Contracts		1,258,115		—			1,258,115
	Total JPMC		35,417,972		(34,159,857	)		1,258,115		—		—			1,258,115
MLIN	Total Return Swap Contracts		2,557,049		(2,557,049	)		—		—		—			—
MSIP	Total Return Basket Swap Contracts		23,442,001		(23,442,001	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			87,106,876		(85,562,456	)		1,544,420		—		(286,305	)		1,258,115
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	29,152,650	$	(22,774,200	)	$	6,378,450	$	—	$	(6,378,450	)	$	—
GSIN	Total Return Swap Contracts		1,054,937		(1,054,937	)		—
	Total Return Basket Swap Contracts		98,946,281		(1,574,412	)		97,371,869
	Total GSIN		100,001,218		(2,629,349	)		97,371,869		—		(97,371,869	)		—
JPMC	Forward Foreign Currency Exchange Contracts		43,732,033		(34,159,857	)		9,572,176
	Total Return Swap Contracts		84,040		—			84,040
	Total JPMC		43,816,073		(34,159,857	)		9,656,216		—		(9,656,216	)		—
MLIN	Total Return Swap Contracts		6,451,812		(2,557,049	)		3,894,763		—		(3,894,763	)		—
MSIP	Total Return Basket Swap Contracts		34,116,956		(23,442,001	)		10,674,955		—		(10,674,955	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			213,538,709		(85,562,456	)		127,976,253		—		(127,976,253	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 763,695.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 835,045,230.

AQR Funds Semi-Annual Report June 2018

295

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	364,486	$	(364,486	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		4,142,398		(3,574,351	)		568,047		—		(470,000	)		98,047
MACQ	Total Return Swap Contracts		813,538		—			813,538		—		—			813,538
SOCG	Total Return Swap Contracts		1,268,273		(1,050,870	)		217,403		—		—			217,403
Total financial instruments subject to a master netting arrangement or similar arrangement			6,588,695		(4,989,707	)		1,598,988		—		(470,000	)		1,128,988
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	6,755,906	$	(364,486	)	$	6,391,420	$	—	$	(6,391,420	)	$	—
GSIN	Total Return Swap Contracts		3,574,351		(3,574,351	)		—		—		—			—
SOCG	Total Return Swap Contracts		1,050,870		(1,050,870	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			11,381,127		(4,989,707	)		6,391,420		—		(6,391,420	)		—

(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 $ 10,972,763.

AQR STYLE PREMIA ALTERNATIVE LV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	1,095,029	$	(1,095,029	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		5,776		—			5,776
	Total Return Basket Swap Contracts		82,297		(82,297	)		—
	Total GSIN		88,073		(82,297	)		5,776		—		—		5,776
JPMC	Forward Foreign Currency Exchange Contracts		1,643,296		(1,643,296	)		—		—		—		—
MLIN	Total Return Swap Contracts		101,311		(7,790	)		93,521		—		—		93,521
MSCS	Total Return Swap Contracts		28,087		(28,087	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,955,796		(2,856,499	)		99,297		—		—		99,297

AQR Funds Semi-Annual Report June 2018

296

Notes to Financial Statements June 30, 2018 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	1,326,259	$	(1,095,029	)	$	231,230	$	—	$	(231,230	)	$	—
GSIN	Total Return Basket Swap Contracts		11,801,496		(82,297	)		11,719,199		—		(11,719,199	)		—
JPMC	Forward Foreign Currency Exchange Contracts		1,989,224		(1,643,296	)		345,928
	Total Return Swap Contracts		9,039		—			9,039
	Total JPMC		1,998,263		(1,643,296	)		354,967		—		(354,967	)		—
MLIN	Total Return Swap Contracts		7,790		(7,790	)		—		—		—			—
MSCS	Total Return Swap Contracts		346,922		(28,087	)		318,835		—		(318,835	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			15,480,730		(2,856,499	)		12,624,231		—		(12,624,231	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 26,166.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 45,634,966.

AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
GSIN	Total Return Swap Contracts	$	164,109	$	(164,109	)	$	—	$	—	$	—		$	—
MACQ	Total Return Swap Contracts		63,414		—			63,414		—		—			63,414
SOCG	Total Return Swap Contracts		104,663		(85,569	)		19,094		—		—			19,094
Total financial instruments subject to a master netting arrangement or similar arrangement			332,186		(249,678	)		82,508		—		—			82,508
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	285,064	$	—		$	285,064	$	—	$	(285,064	)	$	—
GSIN	Total Return Swap Contracts		165,427		(164,109	)		1,318		—		(1,318	)		—
SOCG	Total Return Swap Contracts		85,569		(85,569	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			536,060		(249,678	)		286,382		—		(286,382	)		—

(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 $ 518,804.

AQR Funds Semi-Annual Report June 2018

297

Notes to Financial Statements June 30, 2018 (Unaudited)

For the period ended June 30, 2018, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR ALTERNATIVE RISK PREMIA FUND		AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND		AQR LONG- SHORT EQUITY FUND		AQR MULTI- STRATEGY ALTERNATIVE FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND
Futures Contracts:
Average Notional Balance—Long	$	120,436,135	$	—	$	84,331,501	$	42,911,209	$	2,320,154,273	$	4,580,600,063	$	519,007,358
Average Notional Balance—Short		119,844,556		118,908,329		14,334,880		83,875,007		4,861,648		5,588,249,782		115,345,984
Ending Notional Balance—Long		243,164,031		—		—		71,602,481		2,174,309,065		4,366,086,860		715,866,230
Ending Notional Balance—Short		164,019,897		126,184,553		—		122,170,383		—		4,606,951,259		177,058,801
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		102,923,485		664,421		47,623,992		33,689,419		1,087,426,807		2,269,129,082		—
Average Settlement Value—Sold		107,465,374		6,002,088		141,970,317		39,087,204		93,608,038		2,354,917,698		—
Ending Value—Purchased		151,439,756		1,069,086		66,735,679		33,873,814		1,152,915,810		2,034,670,895		—
Ending Value—Sold		189,440,533		6,532,306		170,183,218		44,868,304		183,616,856		2,383,050,055		—
Exchange-Traded Options:
Average Number of Contracts— Written		453		—		—		—		—		183		—
Ending Number of Contracts— Written		565		—		—		—		—		—		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		—		14,950,000		—		—		—		315,067,991		—
Average Notional Balance—Sell Protection		—		—		—		—		—		226,707,010		—
Ending Notional Balance—Buy Protection		—		15,850,000		—		—		—		395,064,976		—
Ending Notional Balance—Sell Protection		—		—		—		—		—		266,907,617		—
Total Return Swaps:
Average Notional Balance—Long		19,753,394		—		—		4,974,724		166,251,809		250,669,521		73,443,505
Average Notional Balance—Short		1,032,390		—		—		742,592		488,811		340,843,224		30,300,418
Ending Notional Balance—Long		25,037,340		—		—		4,448,582		183,758,328		108,145,917		54,838,212
Ending Notional Balance—Short		8,057,399		—		—		907,746		402,936		271,923,374		19,771,295
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		—		—		239,875,741		—		—		—
Average Notional Balance—Receives Fixed rate		—		—		—		160,211,730		—		—		—
Ending Notional Balance—Pays Fixed Rate		—		—		—		243,276,184		—		—		—
Ending Notional Balance—Receives Fixed Rate		—		—		—		164,331,070		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		190,964,128		2,591,300,029		—		6,887,753,460		4,897,175,480		—
Average Notional of Underlying Positions—Short		—		69,753,345		2,431,379,883		—		6,482,266,143		4,089,608,786		—
Ending Notional Balance—Long		—		205,431,923		2,285,226,721		—		5,347,017,931		4,473,644,740		—
Ending Notional Balance—Short		—		95,320,624		2,176,867,468		—		5,234,297,986		3,756,057,135		—

AQR Funds Semi-Annual Report June 2018

298

Notes to Financial Statements June 30, 2018 (Unaudited)

	AQR RISK PARITY FUND		AQR RISK PARITY II HV FUND		AQR RISK PARITY II MV FUND		AQR STYLE PREMIA ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE LV FUND
Futures Contracts:
Average Notional Balance—Long	$	576,584,066	$	135,901,849	$	135,627,290	$	19,450,763,505	$	1,003,750,871
Average Notional Balance—Short		21,602,279		3,867,705		2,554,612		13,700,117,722		711,600,449
Ending Notional Balance—Long		537,694,630		121,547,168		133,358,263		23,054,085,574		1,213,905,323
Ending Notional Balance—Short		16,540,522		2,986,340		2,740,058		14,086,406,485		783,214,788
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		144,033,501		686,959		339,206		3,844,070,972		183,939,309
Average Settlement Value—Sold		144,295,924		12,864,583		12,188,479		4,006,449,241		197,303,730
Ending Value— Purchased		97,891,608		178,741		179,916		4,186,807,941		191,865,615
Ending Value—Sold		123,639,039		12,075,564		12,268,117		4,508,213,511		216,718,164
Credit Default Swaps:
Average Notional Balance—Buy Protection		—		—		—		—		—
Average Notional Balance—Sell Protection		356,454,796		—		—		—		—
Ending Notional Balance—Buy Protection		—		—		—		—		—
Ending Notional Balance—Sell Protection		355,559,007		—		—		—		—
Total Return Swaps:
Average Notional Balance—Long		61,252,986		13,384,311		13,675,090		767,665,795		39,206,175
Average Notional Balance—Short		11,620,185		2,486,478		2,344,876		665,039,929		32,178,968
Ending Notional Balance—Long		45,088,544		10,445,076		11,089,711		601,551,617		31,312,790
Ending Notional Balance—Short		6,838,591		1,571,254		1,178,475		597,404,324		35,353,396
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		43,639,574		—		—		—		—
Average Notional Balance—Receives Fixed rate		189,805,890		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		69,757,593		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		187,827,117		—		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		—		4,816,835,249		246,041,776
Average Notional of Underlying Positions—Short		—		—		—		4,266,402,347		212,598,153
Ending Notional Balance—Long		—		—		—		3,812,704,177		248,710,175
Ending Notional Balance—Short		—		—		—		3,684,738,442		215,374,040

* Notional values as of each quarter end are used to calculate the average represented.

9. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to the Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of certain Funds (the “Investment Management Agreement”) and the Investment Management Agreement II, dated November 13, 2015, as amended, entered into by the Trust, on behalf of certain Funds (the “Investment Management Agreement II,” together with the Investment Management Agreement, 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.

AQR Funds Semi-Annual Report June 2018

299

Notes to Financial Statements June 30, 2018 (Unaudited)

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Alternative Risk Premia Fund		1.20	%
AQR Diversified Arbitrage Fund		1.00
AQR Equity Market Neutral Fund		1.10
AQR Global Macro Fund		1.25
AQR Long-Short Equity Fund		1.10
AQR Multi-Strategy Alternative Fund		1.80
AQR Risk-Balanced Commodities Strategy Fund		0.80
AQR Risk Parity Fund		0.75	(a)
AQR Risk Parity II HV Fund		0.95	(b)
AQR Risk Parity II MV Fund		0.75	(c)
AQR Style Premia Alternative Fund		1.35
AQR Style Premia Alternative LV Fund		0.65

(a) The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion.

(b) The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion.

(c) The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion.

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 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 (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Alternative Risk Premia Fund		1.40	%		1.65	%		1.30	%
AQR Diversified Arbitrage Fund		1.20			1.45			1.10
AQR Equity Market Neutral Fund		1.30			1.55			1.20
AQR Global Macro Fund		1.45			1.70			1.35
AQR Long-Short Equity Fund		1.30			1.55			1.20
AQR Multi-Strategy Alternative Fund		1.98			2.23			1.88
AQR Risk-Balanced Commodities Strategy Fund		1.00			1.25			0.90
AQR Risk Parity Fund		0.95			1.20			0.85
AQR Risk Parity II HV Fund		1.15			1.40			1.05
AQR Risk Parity II MV Fund		0.95			1.20			0.85
AQR Style Premia Alternative Fund		1.50			1.75			1.40
AQR Style Premia Alternative LV Fund		0.85			1.10			0.75

For the period ended June 30, 2018 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Alternative Risk Premia Fund	$	73,308	$	2,667	$	75,975
AQR Diversified Arbitrage Fund		138,116		1,404		139,520
AQR Global Macro Fund		107,176		1,079		108,255
AQR Risk-Balanced Commodities Strategy Fund		7,397		4,789		12,186
AQR Risk Parity Fund		7,100		—		7,100
AQR Risk Parity II HV Fund		86,453		1,321		87,774
AQR Risk Parity II MV Fund		77,610		7		77,617
AQR Style Premia Alternative Fund		58,020		—		58,020

AQR Funds Semi-Annual Report June 2018

300

Notes to Financial Statements June 30, 2018 (Unaudited)

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture.

For the period ended June 30, 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 June 30, 2018 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING JUNE 30
					2018		2019		2020		2021
AQR ALTERNATIVE RISK PREMIA FUND
Class I	$	39,251	$	59,799	$	—	$	—	$	20,548	$	39,251
Class N		1,811		8,466		—		—		6,655		1,811
Class R6		34,913		100,086		—		—		65,173		34,913
Totals	$	75,975	$	168,351	$	—	$	—	$	92,376	$	75,975
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	111,450	$	855,454	$	141,836	$	388,597	$	213,571	$	111,450
Class N		24,325		244,164		43,173		122,406		54,260		24,325
Class R6		3,745		9,777		—		2,251		3,781		3,745
Totals	$	139,520	$	1,109,395	$	185,009	$	513,254	$	271,612	$	139,520
AQR GLOBAL MACRO FUND
Class I	$	41,240	$	384,221	$	45,712	$	152,972	$	144,297	$	41,240
Class N		14,738		143,620		67,097		35,782		26,003		14,738
Class R6		52,277		154,064		113		25,395		76,279		52,277
Totals	$	108,255	$	681,905	$	112,922	$	214,149	$	246,579	$	108,255
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	5,230	$	174,852	$	60,863	$	55,960	$	52,799	$	5,230
Class N		609		10,111		2,067		3,059		4,376		609
Class R6		6,347		162,182		18,424		70,491		66,920		6,347
Totals	$	12,186	$	347,145	$	81,354	$	129,510	$	124,095	$	12,186
AQR RISK PARITY FUND
Class I	$	6,362	$	154,872	$	20,193	$	74,115	$	54,202	$	6,362
Class N		272		8,516		2,485		3,459		2,300		272
Class R6		466		4,527		—		—		4,061		466
Totals	$	7,100	$	167,915	$	22,678	$	77,574	$	60,563	$	7,100
AQR RISK PARITY II HV FUND
Class I	$	64,682	$	470,239	$	82,852	$	172,084	$	150,621	$	64,682
Class N		21,679		83,469		14,623		22,048		25,119		21,679
Class R6		1,413		23,874		4,428		8,791		9,242		1,413
Totals	$	87,774	$	577,582	$	101,903	$	202,923	$	184,982	$	87,774
AQR RISK PARITY II MV FUND
Class I	$	74,151	$	509,258	$	92,088	$	174,716	$	168,303	$	74,151
Class N		2,787		30,528		5,538		13,156		9,047		2,787
Class R6		679		3,310		79		1,181		1,371		679
Totals	$	77,617	$	543,096	$	97,705	$	189,053	$	178,721	$	77,617

AQR Funds Semi-Annual Report June 2018

301

Notes to Financial Statements June 30, 2018 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING JUNE 30
					2018		2019		2020		2021
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	36,207	$	1,144,726	$	252,215	$	499,572	$	356,732	$	36,207
Class N		2,030		81,943		9,022		44,692		26,199		2,030
Class R6		19,783		545,243		50,188		270,123		205,149		19,783
Totals	$	58,020	$	1,771,912	$	311,425	$	814,387	$	588,080	$	58,020
AQR STYLE PREMIA ALTERNATIVE LV FUND
Class I	$	—	$	267,040	$	137,578	$	79,631	$	49,831	$	—
Class N		—		41,026		22,896		11,465		6,665		—
Class R6		—		46,345		10,604		18,973		16,768		—
Totals	$	—	$	354,411	$	171,078	$	110,069	$	73,264	$	—

During the period ended June 30, 2018, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Diversified Arbitrage Fund	$	10,750	$	2,324	$	403
AQR Equity Market Neutral Fund		—		8,883		15,107
AQR Multi-Strategy Alternative Fund		24,508		—		—
AQR Risk-Balanced Commodities Strategy Fund		329		52		478
AQR Risk Parity Fund		12,975		558		1,265
AQR Style Premia Alternative Fund		36,725		2,103		20,350
AQR Style Premia Alternative LV Fund		9,619		907		2,568

Pursuant to the Sub-Advisory Agreements between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 0.50% and 0.35% of the average daily net assets for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund, respectively.

10. Distribution Plan

The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.

11. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of

slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments

AQR Funds Semi-Annual Report June 2018

302

Notes to Financial Statements June 30, 2018 (Unaudited)

in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater

degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.

Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

12. 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.

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Notes to Financial Statements June 30, 2018 (Unaudited)

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.

13. 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. The Funds did not have any borrowings for the period ended June 30, 2018.

14. Principal Ownership

As of June 30, 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	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Alternative Risk Premia Fund		3		90.39	%
AQR Diversified Arbitrage Fund		5		87.73	%
AQR Equity Market Neutral Fund		4		63.38	%
AQR Global Macro Fund*		7		92.13	%
AQR Long-Short Equity Fund		8		75.77	%
AQR Multi-Strategy Alternative Fund		3		78.59	%
AQR Risk Balanced Commodities Strategy Fund		6		84.71	%
AQR Risk Parity Fund		4		76.82	%
AQR Risk Parity II HV Fund		6		90.86	%
AQR Risk Parity II MV Fund		5		90.06	%
AQR Style Premia Alternative Fund		6		82.72	%
AQR Style Premia Alternative LV Fund		7		91.36	%

* The percentage held by the Adviser and/or affiliates is 40.82%.

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

15. 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 in conjunction with Final Rule Release No. 33-10233, Investment Company Liquidity Risk Management Programs and Final Rule Release No. 33-10234, Investment Company Swing Pricing. Collectively, these rules 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. The amendments to Regulation S-X were applied to the Funds’ financial statements with a reporting period date after August 1, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

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304

Notes to Financial Statements June 30, 2018 (Unaudited)

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2017-08, Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”), which shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. The update applies to securities with explicit, non-contingent call features that are callable at fixed prices and on preset dates. The Funds are required to apply ASU 2017-08 for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact of these changes on the financial statements, if any.

16. 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 June 2018

305

Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 06/30/18” 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 6/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/18
AQR Alternative Risk Premia Fund
Class I
Actual Return		$1,000.00		$923.10		3.57	%		$17.02
Hypothetical Return		$1,000.00		$1,007.09		3.57	%		$17.77
Class N
Actual Return		$1,000.00		$922.10		3.82	%		$18.21
Hypothetical Return		$1,000.00		$1,005.85		3.82	%		$19.00
Class R6
Actual Return		$1,000.00		$923.20		3.47	%		$16.55
Hypothetical Return		$1,000.00		$1,007.59		3.47	%		$17.27
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$1,035.10		2.04	%		$10.29
Hypothetical Return		$1,000.00		$1,014.68		2.04	%		$10.19
Class N
Actual Return		$1,000.00		$1,034.00		2.29	%		$11.55
Hypothetical Return		$1,000.00		$1,013.44		2.29	%		$11.43
Class R6
Actual Return		$1,000.00		$1,036.30		1.95	%		$9.85
Hypothetical Return		$1,000.00		$1,015.12		1.95	%		$9.74

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/18
AQR Equity Market Neutral Fund
Class I
Actual Return		$1,000.00		$914.30		2.19	%		$10.39
Hypothetical Return		$1,000.00		$1,013.93		2.19	%		$10.94
Class N
Actual Return		$1,000.00		$914.00		2.45	%		$11.63
Hypothetical Return		$1,000.00		$1,012.65		2.45	%		$12.23
Class R6
Actual Return		$1,000.00		$915.10		2.11	%		$10.02
Hypothetical Return		$1,000.00		$1,014.33		2.11	%		$10.54
AQR Global Macro Fund
Class I
Actual Return		$1,000.00		$1,078.90		1.44	%		$7.42
Hypothetical Return		$1,000.00		$1,017.65		1.44	%		$7.20
Class N
Actual Return		$1,000.00		$1,077.40		1.70	%		$8.76
Hypothetical Return		$1,000.00		$1,016.36		1.70	%		$8.50
Class R6
Actual Return		$1,000.00		$1,078.90		1.35	%		$6.96
Hypothetical Return		$1,000.00		$1,018.10		1.35	%		$6.76
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$917.90		1.74	%		$8.27
Hypothetical Return		$1,000.00		$1,016.17		1.74	%		$8.70
Class N
Actual Return		$1,000.00		$916.70		2.00	%		$9.50
Hypothetical Return		$1,000.00		$1,014.88		2.00	%		$9.99
Class R6
Actual Return		$1,000.00		$918.00		1.65	%		$7.85
Hypothetical Return		$1,000.00		$1,016.61		1.65	%		$8.25
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$916.00		2.40	%		$11.40
Hypothetical Return		$1,000.00		$1,012.89		2.40	%		$11.98
Class N
Actual Return		$1,000.00		$915.60		2.65	%		$12.59
Hypothetical Return		$1,000.00		$1,011.65		2.65	%		$13.22
Class R6
Actual Return		$1,000.00		$916.10		2.30	%		$10.93
Hypothetical Return		$1,000.00		$1,013.39		2.30	%		$11.48
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$962.30		1.00	%		$4.87
Hypothetical Return		$1,000.00		$1,019.84		1.00	%		$5.01
Class N
Actual Return		$1,000.00		$960.40		1.25	%		$6.08
Hypothetical Return		$1,000.00		$1,018.60		1.25	%		$6.26
Class R6
Actual Return		$1,000.00		$962.40		0.90	%		$4.38
Hypothetical Return		$1,000.00		$1,020.33		0.90	%		$4.51

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/18
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$981.70		0.95	%		$4.67
Hypothetical Return		$1,000.00		$1,020.08		0.95	%		$4.76
Class N
Actual Return		$1,000.00		$980.60		1.20	%		$5.89
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01
Class R6
Actual Return		$1,000.00		$981.70		0.85	%		$4.18
Hypothetical Return		$1,000.00		$1,020.58		0.85	%		$4.26
AQR Risk Parity II HV Fund
Class I
Actual Return		$1,000.00		$995.50		1.54	%		$7.62
Hypothetical Return		$1,000.00		$1,017.16		1.54	%		$7.70
Class N
Actual Return		$1,000.00		$994.40		1.80	%		$8.90
Hypothetical Return		$1,000.00		$1,015.87		1.80	%		$9.00
Class R6
Actual Return		$1,000.00		$995.50		1.45	%		$7.17
Hypothetical Return		$1,000.00		$1,017.60		1.45	%		$7.25
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$1,002.20		0.95	%		$4.72
Hypothetical Return		$1,000.00		$1,020.08		0.95	%		$4.76
Class N
Actual Return		$1,000.00		$1,001.10		1.20	%		$5.95
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01
Class R6
Actual Return		$1,000.00		$1,002.20		0.85	%		$4.22
Hypothetical Return		$1,000.00		$1,020.58		0.85	%		$4.26
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$926.80		2.26	%		$10.80
Hypothetical Return		$1,000.00		$1,013.59		2.26	%		$11.28
Class N
Actual Return		$1,000.00		$925.60		2.53	%		$12.08
Hypothetical Return		$1,000.00		$1,012.25		2.53	%		$12.62
Class R6
Actual Return		$1,000.00		$926.00		2.18	%		$10.41
Hypothetical Return		$1,000.00		$1,013.98		2.18	%		$10.89
AQR Style Premia Alternative LV Fund
Class I
Actual Return		$1,000.00		$965.90		1.22	%		$5.95
Hypothetical Return		$1,000.00		$1,018.74		1.22	%		$6.11
Class N
Actual Return		$1,000.00		$964.90		1.48	%		$7.21
Hypothetical Return		$1,000.00		$1,017.46		1.48	%		$7.40
Class R6
Actual Return		$1,000.00		$966.00		1.13	%		$5.51
Hypothetical Return		$1,000.00		$1,019.19		1.13	%		$5.66

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).

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308

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Sub-Adviser

CNH Partners, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248  ^|  p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Semi-Annual Report

June 30, 2018

AQR Managed Futures Strategy Fund

AQR Managed Futures Strategy HV Fund

Table of Contents

Consolidated Schedule of Investments
AQR Managed Futures Strategy Fund	2
AQR Managed Futures Strategy HV Fund	19
Consolidated Financial Statements and Notes	33
Fund Expense Examples (unaudited)	55

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

INVESTMENTS	SHARES		VALUE ($)
SHORT-TERM INVESTMENTS - 97.6%
INVESTMENT COMPANIES - 11.3%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (a)		21,842,450		21,842,450
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (a)		87,369,799		87,369,799
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (a)(b)		439,762,363		439,762,363
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (a)(b)		17,337,540		17,337,540
Limited Purpose Cash Investment Fund, 1.85% (a)(c)		366,746,923		366,746,923
UBS Select Treasury Preferred Fund, Class I, 1.76% (a)		109,212,249		109,212,249
TOTAL INVESTMENT COMPANIES (Cost $1,042,224,009)				1,042,271,324
	PRINCIPAL AMOUNT ($)
U.S. TREASURY OBLIGATIONS - 86.3%
U.S. Treasury Bills 1.59%, 7/5/2018 (d)		133,201,000		133,182,574
1.59%, 7/12/2018 (d)(e)		104,774,000		104,725,214
1.61%, 7/19/2018 (d)		231,315,000		231,125,208
1.63%, 7/26/2018 (d)(e)		1,057,777,000		1,056,558,790
1.64%, 8/2/2018 (d)(e)		1,547,445,000		1,545,033,663
1.66%, 8/9/2018 (d)(e)		369,196,000		368,485,759

INVESTMENTS	PRINCIPAL AMOUNT ($)		VALUE ($)
U.S. TREASURY OBLIGATIONS - 86.3% (continued)
1.84%, 8/23/2018 (d)		162,833,000		162,404,047
1.85%, 8/30/2018 (d)		414,717,000		413,452,806
1.87%, 9/13/2018 (d)		1,013,332,000		1,009,468,956
1.97%, 9/20/2018 (d)(e)		143,186,000		142,589,391
1.91%, 9/27/2018 (d)		879,238,000		875,232,702
1.92%, 10/4/2018 (d)		294,816,000		293,342,147
1.90%, 10/11/2018 (d)(e)		65,960,000		65,603,076
1.96%, 10/18/2018 (d)(e)		197,463,000		196,315,246
2.01%, 10/25/2018 (d)(e)		280,100,000		278,364,159
2.06%, 11/15/2018 (d)(e)		47,599,000		47,238,914
2.10%, 11/23/2018 (d)		5,281,000		5,238,594
2.09%, 12/6/2018 (d)(e)		517,077,000		512,499,286
2.08%, 12/13/2018 (d)(e)		304,375,000		301,555,008
2.10%, 12/20/2018 (d)(e)		244,178,000		241,824,964
TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,984,071,942)				7,984,240,504
TOTAL SHORT-TERM INVESTMENTS (Cost $9,026,295,951)				9,026,511,828
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.6% (Cost $9,026,295,951)				9,026,511,828
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.4%(f)				218,079,909
NET ASSETS - 100.0%				9,244,591,737

(a) Represents 7-day effective yield as of June 30, 2018.

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

(c) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/17	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 06/30/18		VALUE AT 06/30/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
SHORT-TERM INVESTMENTS - 4.0%
INVESTMENT COMPANIES - 4.0%
Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $366,699,608)	452,535,642	5,174,891,809		(5,260,680,528	)		366,746,923		$366,746,923		$4,775,036		$21,808		$47,315

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

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

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

All Securities are Level 2 with respect to ASC820 (See Note 5).

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

AQR Funds Semi-Annual Report June 2018

2

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Total return swap contracts outstanding as of June 30, 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)
Coffee ‘C’ September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/10/2018	USD	(25,768,013	)		$904,687
Coffee ‘C’ September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/10/2018	USD	(36,990,263	)		1,322,653
Coffee ‘C’ September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		08/10/2018	USD	(13,812,000	)		488,069
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		08/24/2018	USD	(15,152,925	)		290,118
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/24/2018	USD	(32,103,350	)		342,082
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/24/2018	USD	(66,201,925	)		1,903,381
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MLIN		08/24/2018	USD	(30,305,850	)		158,063
Corn September Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		08/24/2018	USD	(30,557,500	)		321,330
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/30/2018	HKD	117,776,600			80,845
Lean Hogs July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/16/2018	USD	12,464,400			520,832
Lean Hogs July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		07/16/2018	USD	12,298,650			553,025
Lean Hogs August Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		08/14/2018	USD	(11,222,860)			29,360
Lean Hogs August Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/14/2018	USD	(9,846,760	)		39,104

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

AQR Funds Semi-Annual Report June 2018

3

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/03/2018

USD

7,897,650

$ 170,842

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/26/2018

USD

(137,808,000

)

8,936,279

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/26/2018

USD

(102,652,000

)

7,070,168

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/23/2018

USD

(13,954,770

)

194,190

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(3,167,040

)

57,739

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

11/23/2018

USD

(3,991,790

)

73,810

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/23/2018

USD

(53,476,790

)

2,679,181

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(33,368,280

)

1,889,336

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

11/23/2018

USD

(19,342,896

)

1,151,208

29,176,302

Canada 10 Year Bond September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

BANA

09/19/2018

CAD

(11,210,220

)

(250,654

)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/03/2018

USD

(6,857,760

)

(265,800

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/03/2018

USD

15,725,120

(300,906

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/03/2018

USD

5,350,560

(122,860

)

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

AQR Funds Semi-Annual Report June 2018

4

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(5,350,560

)

$(128,723

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/03/2018

USD

1,657,920

(37,395

)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/03/2018

USD

(15,272,960

)

(51,703

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/03/2018

USD

8,164,000

(158,545

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

16,824,600

(1,248,418

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/09/2018

USD

6,126,160

(578,956

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/09/2018

USD

13,511,120

(1,490,860

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/09/2018

USD

5,664,600

(614,250

)

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

(230,966,250

)

(133,007

)

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

07/30/2018

HKD

(551,058,300

)

(599,794

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/16/2018

USD

(12,464,400

)

(846,328

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

07/16/2018

USD

(12,298,650

)

(842,694

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/14/2018

USD

61,160

(1,832

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/03/2018

USD

(23,479,500

)

(605,770

)

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

AQR Funds Semi-Annual Report June 2018

5

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(47,129,760

)

$ (1,194,741

)

MSCI Taiwan Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/30/2018

USD

(46,899,600

)

(480,743

)

Soybean November Futures

Decreases in total return of reference entity

��

Increases in total return of reference entity

At termination

CITI

10/26/2018

USD

11,792,000

(1,343,602

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/23/2018

USD

3,167,040

(276,506

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/23/2018

USD

7,026,870

(587,020

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/23/2018

USD

53,476,790

(4,635,991

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

11/23/2018

USD

3,991,790

(351,240

)

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/24/2018

USD

(2,531,313

)

(36,713

)

(17,185,051

)

$11,991,251

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

AQR Funds Semi-Annual Report June 2018

6

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		711	7/2018	EUR		$91,599,336		$(2,006,113	)
Brent Crude Oil		5,551	7/2018	USD		439,805,730		17,688,503
CAC 40 10 Euro Index		3,856	7/2018	EUR		239,584,074		258,325
LME Aluminum Base Metal		11	7/2018	USD		588,305		(24,361	)
LME Aluminum Base Metal		12	7/2018	USD		642,642		(27,429	)
LME Aluminum Base Metal		13	7/2018	USD		697,125		(29,486	)
LME Aluminum Base Metal		13	7/2018	USD		696,660		(27,593	)
LME Aluminum Base Metal		24	7/2018	USD		1,290,300		(189,062	)
LME Aluminum Base Metal		40	7/2018	USD		2,147,750		(248,816	)
LME Aluminum Base Metal		70	7/2018	USD		3,777,812		(26,930	)
LME Aluminum Base Metal		101	7/2018	USD		5,464,100		(850,669	)
LME Aluminum Base Metal		103	7/2018	USD		5,551,056		421,352
LME Aluminum Base Metal		114	7/2018	USD		6,137,475		374,781
LME Aluminum Base Metal		116	7/2018	USD		6,271,540		(552,817	)
LME Aluminum Base Metal		116	7/2018	USD		6,273,570		(663,839	)
LME Aluminum Base Metal		124	7/2018	USD		6,697,550		(467,839	)
LME Aluminum Base Metal		124	7/2018	USD		6,696,775		(211,440	)
LME Aluminum Base Metal		126	7/2018	USD		6,802,425		(276,220	)
LME Aluminum Base Metal		228	7/2018	USD		12,283,500		912,040
LME Copper Base Metal		2	7/2018	USD		331,388		(7,802	)
LME Copper Base Metal		4	7/2018	USD		663,633		(19,329	)
LME Copper Base Metal		5	7/2018	USD		829,125		(21,845	)
LME Copper Base Metal		8	7/2018	USD		1,326,766		(45,258	)
LME Copper Base Metal		11	7/2018	USD		1,825,222		(58,705	)
LME Copper Base Metal		11	7/2018	USD		1,825,450		(98,489	)
LME Copper Base Metal		20	7/2018	USD		3,315,750		(174,407	)
LME Copper Base Metal		21	7/2018	USD		3,478,125		(99,812	)
LME Copper Base Metal		26	7/2018	USD		4,310,911		(208,848	)
LME Copper Base Metal		26	7/2018	USD		4,310,365		(190,439	)
LME Copper Base Metal		26	7/2018	USD		4,307,440		(105,336	)
LME Copper Base Metal		30	7/2018	USD		4,972,680		(237,543	)
LME Copper Base Metal		30	7/2018	USD		4,972,590		(270,870	)
LME Copper Base Metal		30	7/2018	USD		4,973,033		(145,614	)
LME Copper Base Metal		31	7/2018	USD		5,138,250		(299,030	)
LME Copper Base Metal		35	7/2018	USD		5,801,250		(277,949	)
LME Nickel Base Metal		1	7/2018	USD		88,992		5,259
LME Nickel Base Metal		1	7/2018	USD		88,987		6,589
LME Nickel Base Metal		4	7/2018	USD		356,018		15,927
LME Nickel Base Metal		5	7/2018	USD		445,226		10,814
LME Nickel Base Metal		11	7/2018	USD		978,496		114,914
LME Nickel Base Metal		13	7/2018	USD		1,157,114		57,544
LME Nickel Base Metal		13	7/2018	USD		1,157,169		(24,753	)
LME Nickel Base Metal		16	7/2018	USD		1,423,008		120,421
LME Nickel Base Metal		20	7/2018	USD		1,779,624		131,259
LME Nickel Base Metal		22	7/2018	USD		1,956,874		218,419
LME Nickel Base Metal		24	7/2018	USD		2,136,620		26,733
LME Nickel Base Metal		27	7/2018	USD		2,402,347		190,588
LME Nickel Base Metal		29	7/2018	USD		2,582,868		151,843
LME Nickel Base Metal		29	7/2018	USD		2,582,682		147,205
LME Nickel Base Metal		30	7/2018	USD		2,671,547		104,404
LME Nickel Base Metal		34	7/2018	USD		3,029,065		198,465

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

AQR Funds Semi-Annual Report June 2018

7

Consolidated Schedule of Investments June 30, 2018

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Zinc Base Metal		1	7/2018	USD		$ 72,111		$ (7,767	)
LME Zinc Base Metal		1	7/2018	USD		72,005		(7,297	)
LME Zinc Base Metal		1	7/2018	USD		72,146		(8,769	)
LME Zinc Base Metal		2	7/2018	USD		144,151		(11,279	)
LME Zinc Base Metal		7	7/2018	USD		505,270		(59,213	)
LME Zinc Base Metal		13	7/2018	USD		943,637		(101,276	)
LME Zinc Base Metal		14	7/2018	USD		1,017,275		(133,384	)
LME Zinc Base Metal		14	7/2018	USD		1,014,650		(124,641	)
LME Zinc Base Metal		15	7/2018	USD		1,086,562		(90,232	)
LME Zinc Base Metal		23	7/2018	USD		1,670,375		(189,368	)
LME Zinc Base Metal		31	7/2018	USD		2,240,912		(239,179	)
LME Zinc Base Metal		31	7/2018	USD		2,238,727		(283,214	)
LME Zinc Base Metal		39	7/2018	USD		2,820,675		(233,335	)
LME Zinc Base Metal		43	7/2018	USD		3,111,587		(259,094	)
LME Zinc Base Metal		45	7/2018	USD		3,258,000		(271,820	)
LME Zinc Base Metal		46	7/2018	USD		3,335,575		(372,161	)
NY Harbor ULSD		1,216	7/2018	USD		112,853,798		2,192,657
OMXS30 Index		6,387	7/2018	SEK		111,313,892		1,772,934
RBOB Gasoline		1,504	7/2018	USD		135,887,002		3,962,663
WTI Crude Oil		6,131	7/2018	USD		454,613,650		51,764,269
LME Aluminum Base Metal		1	8/2018	USD		53,216		(3,486	)
LME Aluminum Base Metal		4	8/2018	USD		213,056		(17,656	)
LME Aluminum Base Metal		4	8/2018	USD		213,144		(23,393	)
LME Aluminum Base Metal		5	8/2018	USD		265,875		(22,521	)
LME Aluminum Base Metal		6	8/2018	USD		319,183		(24,647	)
LME Aluminum Base Metal		7	8/2018	USD		373,625		(21,896	)
LME Aluminum Base Metal		9	8/2018	USD		479,176		(39,147	)
LME Aluminum Base Metal		10	8/2018	USD		533,527		(45,425	)
LME Aluminum Base Metal		10	8/2018	USD		534,107		(26,556	)
LME Aluminum Base Metal		13	8/2018	USD		691,415		(48,933	)
LME Aluminum Base Metal		14	8/2018	USD		744,653		(43,955	)
LME Aluminum Base Metal		14	8/2018	USD		744,544		(52,529	)
LME Aluminum Base Metal		14	8/2018	USD		744,275		(69,575	)
LME Aluminum Base Metal		15	8/2018	USD		797,902		(56,374	)
LME Aluminum Base Metal		28	8/2018	USD		1,488,655		(131,129	)
LME Aluminum Base Metal		40	8/2018	USD		2,128,820		(154,548	)
LME Copper Base Metal		7	8/2018	USD		1,160,457		(41,183	)
LME Copper Base Metal		8	8/2018	USD		1,326,134		(51,454	)
LME Copper Base Metal		8	8/2018	USD		1,326,000		(41,145	)
LME Copper Base Metal		9	8/2018	USD		1,492,200		(63,775	)
LME Copper Base Metal		9	8/2018	USD		1,491,989		(44,982	)
LME Copper Base Metal		15	8/2018	USD		2,484,375		(83,880	)
LME Copper Base Metal		16	8/2018	USD		2,649,968		(116,336	)
LME Copper Base Metal		18	8/2018	USD		2,981,174		(121,060	)
LME Copper Base Metal		19	8/2018	USD		3,147,588		(89,185	)
LME Copper Base Metal		23	8/2018	USD		3,809,421		(147,312	)
LME Copper Base Metal		29	8/2018	USD		4,807,432		(101,028	)
LME Copper Base Metal		36	8/2018	USD		5,962,050		(204,299	)
LME Copper Base Metal		51	8/2018	USD		8,447,729		(274,446	)
LME Nickel Base Metal		1	8/2018	USD		89,193		2,535
LME Nickel Base Metal		2	8/2018	USD		178,527		(2,204	)
LME Nickel Base Metal		2	8/2018	USD		178,373		5,975
LME Nickel Base Metal		5	8/2018	USD		446,177		5,940
LME Nickel Base Metal		5	8/2018	USD		445,772		30,257
LME Nickel Base Metal		5	8/2018	USD		446,154		8,589

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

AQR Funds Semi-Annual Report June 2018

8

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Nickel Base Metal		5	8/2018		USD		$ 445,740		$ 26,625
LME Nickel Base Metal		6	8/2018		USD		535,328		6,781
LME Nickel Base Metal		6	8/2018		USD		535,356		7,200
LME Nickel Base Metal		6	8/2018		USD		534,965		34,585
LME Nickel Base Metal		7	8/2018		USD		624,384		15,959
LME Nickel Base Metal		14	8/2018		USD		1,248,834		15,786
LME Nickel Base Metal		33	8/2018		USD		2,940,399		247,304
LME Nickel Base Metal		38	8/2018		USD		3,386,158		210,253
LME Nickel Base Metal		38	8/2018		USD		3,392,200		(69,522	)
LME Nickel Base Metal		77	8/2018		USD		6,861,920		405,465
LME Zinc Base Metal		1	8/2018		USD		71,547		(5,674	)
LME Zinc Base Metal		1	8/2018		USD		71,562		(5,472	)
LME Zinc Base Metal		2	8/2018		USD		143,798		(11,207	)
LME Zinc Base Metal		2	8/2018		USD		143,869		(11,237	)
LME Zinc Base Metal		3	8/2018		USD		215,592		(11,791	)
Low Sulphur Gasoil		1,851	8/2018		USD		125,266,425		2,393,210
Cocoa		46	9/2018		USD		1,155,520		40,139
Copper		1,544	9/2018		USD		114,487,600		(3,528,193	)
Corn		24	9/2018		USD		431,400		(33,057	)
DAX Index		322	9/2018		EUR		115,709,624		(2,073,823	)
DJIA CBOT E-Mini Index		1,094	9/2018		USD		132,729,550		(218,415	)
EURO STOXX 50 Index		1,316	9/2018		EUR		52,113,729		(299,206	)
Euro-Bobl		25,437	9/2018		EUR		3,926,153,291		8,562,541
Euro-Bund		19,442	9/2018	��	EUR		3,690,594,963		22,522,224
Euro-Buxl		3,229	9/2018		EUR		670,075,817		10,555,180
Euro-OAT		5,120	9/2018		EUR		924,015,680		7,363,102
Euro-Schatz		15,210	9/2018		EUR		1,990,880,451		582,527
FTSE 100 Index		9,821	9/2018		GBP		985,250,507		(5,025,554	)
FTSE/JSE Top 40 Index		1	9/2018		ZAR		37,679		165
LME Aluminum Base Metal		1	9/2018		USD		53,275		(3,353	)
LME Aluminum Base Metal		3	9/2018		USD		159,812		(10,672	)
LME Aluminum Base Metal		3	9/2018		USD		159,743		(14,979	)
LME Aluminum Base Metal		3	9/2018		USD		159,800		(13,759	)
LME Aluminum Base Metal		3	9/2018		USD		159,788		(12,721	)
LME Aluminum Base Metal		6	9/2018		USD		319,908		(7,457	)
LME Aluminum Base Metal		8	9/2018		USD		426,488		(2,136	)
LME Aluminum Base Metal		9	9/2018		USD		479,419		(10,105	)
LME Aluminum Base Metal		9	9/2018		USD		479,925		(4,266	)
LME Aluminum Base Metal		11	9/2018		USD		586,190		(21,977	)
LME Aluminum Base Metal		18	9/2018		USD		958,964		(17,838	)
LME Aluminum Base Metal		19	9/2018		USD		1,011,626		(97,555	)
LME Aluminum Base Metal		20	9/2018		USD		1,064,795		(99,264	)
LME Aluminum Base Metal		709	9/2018		USD		37,785,269		(2,332,067	)
LME Copper Base Metal		5	9/2018		USD		828,503		(70,700	)
LME Copper Base Metal		6	9/2018		USD		994,115		(93,178	)
LME Copper Base Metal		6	9/2018		USD		994,160		(86,080	)
LME Copper Base Metal		8	9/2018		USD		1,325,664		(110,860	)
LME Copper Base Metal		8	9/2018		USD		1,325,250		(126,174	)
LME Copper Base Metal		9	9/2018		USD		1,490,738		(18,467	)
LME Copper Base Metal		9	9/2018		USD		1,490,625		(19,919	)
LME Copper Base Metal		10	9/2018		USD		1,657,375		(92,626	)
LME Copper Base Metal		10	9/2018		USD		1,656,375		(45,863	)
LME Copper Base Metal		12	9/2018		USD		1,987,800		(2,819	)
LME Copper Base Metal		19	9/2018		USD		3,146,875		(85,793	)
LME Copper Base Metal		25	9/2018		USD		4,141,300		(240,899	)

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

AQR Funds Semi-Annual Report June 2018

9

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		26		9/2018	USD		$ 4,307,011			$ (343,816	)
LME Copper Base Metal		825		9/2018	USD		136,702,500			(5,642,563	)
LME Nickel Base Metal		2		9/2018	USD		178,659			(5,295	)
LME Nickel Base Metal		2		9/2018	USD		178,648			(6,158	)
LME Nickel Base Metal		2		9/2018	USD		178,670			(3,736	)
LME Nickel Base Metal		3		9/2018	USD		268,200			419
LME Nickel Base Metal		3		9/2018	USD		268,189			1,996
LME Nickel Base Metal		3		9/2018	USD		267,908			(12,319	)
LME Nickel Base Metal		3		9/2018	USD		268,178			3,299
LME Nickel Base Metal		3		9/2018	USD		268,021			(6,979	)
LME Nickel Base Metal		6		9/2018	USD		536,224			732
LME Nickel Base Metal		6		9/2018	USD		536,170			(9,810	)
LME Nickel Base Metal		8		9/2018	USD		714,995			(12,413	)
LME Nickel Base Metal		18		9/2018	USD		1,607,256			(65,177	)
LME Nickel Base Metal		19		9/2018	USD		1,696,649			(96,627	)
LME Nickel Base Metal		475		9/2018	USD		42,449,325			484,127
Long Gilt		210		9/2018	GBP		34,105,770			37,309
NASDAQ 100 Emini Index		4,885		9/2018	USD		690,421,475			(15,221,622	)
Nikkei 225 Index		853		9/2018	JPY		171,732,557			45,566
Palladium		275		9/2018	USD		26,149,750			(623,748	)
Russell 2000 E-Mini Index		9,436		9/2018	USD		777,290,500			(15,217,905	)
S&P 500 E-Mini Index		10,116		9/2018	USD		1,376,585,280			(24,517,670	)
S&P Midcap 400 E-Mini Index		580		9/2018	USD		113,453,800			(1,077,754	)
S&P/TSX 60 Index		1,492		9/2018	CAD		218,650,378			1,556,606
SPI 200 Index		2,397		9/2018	AUD		272,648,397			2,983,638
TOPIX Index		3,239		9/2018	JPY		506,262,882			(2,598,720	)
3 Month Euroswiss		612		12/2018	CHF		155,626,477			(14,306	)
3 Month Sterling		291		12/2018	GBP		47,588,253			(3,087	)
Cotton No. 2		124		12/2018	USD		5,203,040			(174,594	)
3 Month Euroswiss		449		3/2019	CHF		114,154,271			(8,790	)
3 Month Euro Euribor		4,674		6/2019	EUR		1,368,190,425			51,804
3 Month Euroswiss		326		6/2019	CHF		82,841,462			35,947
3 Month Euro Euribor		5,641		9/2019	EUR		1,650,183,734			1,644,583
3 Month Euro Euribor		4,382		12/2019	EUR		1,280,988,026			1,704,667
3 Month Euro Euribor		4,137		3/2020	EUR		1,208,401,052			1,752,601
3 Month Euro Euribor		3,357		6/2020	EUR		979,782,130			927,423
										52,078,469
Short Contracts
Hang Seng Index		(1,167	)	7/2018	HKD		(213,643,584	)		(1,959,932	)
HSCEI		(3,723	)	7/2018	HKD		(257,885,229	)		1,104,953
LME Aluminum Base Metal		(11	)	7/2018	USD		(588,305	)		22,713
LME Aluminum Base Metal		(12	)	7/2018	USD		(642,642	)		20,398
LME Aluminum Base Metal		(13	)	7/2018	USD		(697,125	)		45,575
LME Aluminum Base Metal		(13	)	7/2018	USD		(696,660	)		18,308
LME Aluminum Base Metal		(24	)	7/2018	USD		(1,290,300	)		201,529
LME Aluminum Base Metal		(40	)	7/2018	USD		(2,147,750	)		348,132
LME Aluminum Base Metal		(70	)	7/2018	USD		(3,777,812	)		10,731
LME Aluminum Base Metal		(101	)	7/2018	USD		(5,464,100	)		759,727
LME Aluminum Base Metal		(103	)	7/2018	USD		(5,551,056	)		(414,764	)
LME Aluminum Base Metal		(114	)	7/2018	USD		(6,137,475	)		(380,379	)
LME Aluminum Base Metal		(116	)	7/2018	USD		(6,273,570	)		673,038
LME Aluminum Base Metal		(116	)	7/2018	USD		(6,271,540	)		464,818
LME Aluminum Base Metal		(124	)	7/2018	USD		(6,697,550	)		534,384
LME Aluminum Base Metal		(124	)	7/2018	USD		(6,696,775	)		209,659

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

AQR Funds Semi-Annual Report June 2018

10

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(126	)	7/2018	USD		$ (6,802,425	)		$ 347,703
LME Aluminum Base Metal		(228	)	7/2018	USD		(12,283,500	)		(936,123	)
LME Copper Base Metal		(2	)	7/2018	USD		(331,388	)		6,607
LME Copper Base Metal		(4	)	7/2018	USD		(663,633	)		24,015
LME Copper Base Metal		(5	)	7/2018	USD		(829,125	)		21,592
LME Copper Base Metal		(8	)	7/2018	USD		(1,326,766	)		43,065
LME Copper Base Metal		(11	)	7/2018	USD		(1,825,450	)		81,643
LME Copper Base Metal		(11	)	7/2018	USD		(1,825,222	)		54,371
LME Copper Base Metal		(20	)	7/2018	USD		(3,315,750	)		172,191
LME Copper Base Metal		(21	)	7/2018	USD		(3,478,125	)		93,371
LME Copper Base Metal		(26	)	7/2018	USD		(4,307,440	)		106,930
LME Copper Base Metal		(26	)	7/2018	USD		(4,310,911	)		213,013
LME Copper Base Metal		(26	)	7/2018	USD		(4,310,365	)		203,386
LME Copper Base Metal		(30	)	7/2018	USD		(4,972,590	)		263,072
LME Copper Base Metal		(30	)	7/2018	USD		(4,973,033	)		152,979
LME Copper Base Metal		(30	)	7/2018	USD		(4,972,680	)		247,622
LME Copper Base Metal		(31	)	7/2018	USD		(5,138,250	)		280,459
LME Copper Base Metal		(35	)	7/2018	USD		(5,801,250	)		301,772
LME Nickel Base Metal		(1	)	7/2018	USD		(88,987	)		(6,918	)
LME Nickel Base Metal		(1	)	7/2018	USD		(88,992	)		(4,917	)
LME Nickel Base Metal		(4	)	7/2018	USD		(356,018	)		(18,108	)
LME Nickel Base Metal		(5	)	7/2018	USD		(445,226	)		(18,595	)
LME Nickel Base Metal		(11	)	7/2018	USD		(978,496	)		(116,173	)
LME Nickel Base Metal		(13	)	7/2018	USD		(1,157,169	)		(11,056	)
LME Nickel Base Metal		(13	)	7/2018	USD		(1,157,114	)		(66,323	)
LME Nickel Base Metal		(16	)	7/2018	USD		(1,423,008	)		(121,583	)
LME Nickel Base Metal		(20	)	7/2018	USD		(1,779,624	)		(126,683	)
LME Nickel Base Metal		(22	)	7/2018	USD		(1,956,874	)		(223,589	)
LME Nickel Base Metal		(24	)	7/2018	USD		(2,136,620	)		(19,756	)
LME Nickel Base Metal		(27	)	7/2018	USD		(2,402,347	)		(198,011	)
LME Nickel Base Metal		(29	)	7/2018	USD		(2,582,682	)		(131,679	)
LME Nickel Base Metal		(29	)	7/2018	USD		(2,582,868	)		(141,390	)
LME Nickel Base Metal		(30	)	7/2018	USD		(2,671,547	)		(100,186	)
LME Nickel Base Metal		(34	)	7/2018	USD		(3,029,065	)		(212,787	)
LME Zinc Base Metal		(1	)	7/2018	USD		(72,146	)		9,263
LME Zinc Base Metal		(1	)	7/2018	USD		(72,005	)		7,371
LME Zinc Base Metal		(1	)	7/2018	USD		(72,111	)		6,854
LME Zinc Base Metal		(2	)	7/2018	USD		(144,151	)		11,480
LME Zinc Base Metal		(7	)	7/2018	USD		(505,270	)		63,109
LME Zinc Base Metal		(13	)	7/2018	USD		(943,637	)		104,147
LME Zinc Base Metal		(14	)	7/2018	USD		(1,014,650	)		119,147
LME Zinc Base Metal		(14	)	7/2018	USD		(1,017,275	)		131,304
LME Zinc Base Metal		(15	)	7/2018	USD		(1,086,562	)		80,195
LME Zinc Base Metal		(23	)	7/2018	USD		(1,670,375	)		190,493
LME Zinc Base Metal		(31	)	7/2018	USD		(2,238,727	)		279,354
LME Zinc Base Metal		(31	)	7/2018	USD		(2,240,912	)		259,178
LME Zinc Base Metal		(39	)	7/2018	USD		(2,820,675	)		240,243
LME Zinc Base Metal		(43	)	7/2018	USD		(3,111,587	)		260,402
LME Zinc Base Metal		(45	)	7/2018	USD		(3,258,000	)		247,776
LME Zinc Base Metal		(46	)	7/2018	USD		(3,335,575	)		385,018
MSCI Singapore Index		(753	)	7/2018	SGD		(20,227,376	)		(2,221	)
MSCI Taiwan Index		(2,411	)	7/2018	USD		(93,450,360	)		(955,018	)
100 oz Gold		(4,492	)	8/2018	USD		(563,521,400	)		4,778,063
Lean Hogs		(90	)	8/2018	USD		(2,752,200	)		(16,944	)
Live Cattle		(189	)	8/2018	USD		(8,068,410	)		(239,801	)

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

AQR Funds Semi-Annual Report June 2018

11

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	��	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(1	)	8/2018	USD			$ (53,216	)		$ 3,393
LME Aluminum Base Metal		(4	)	8/2018	USD			(213,056	)		19,527
LME Aluminum Base Metal		(4	)	8/2018	USD			(213,144	)		22,333
LME Aluminum Base Metal		(5	)	8/2018	USD			(265,875	)		22,610
LME Aluminum Base Metal		(6	)	8/2018	USD			(319,183	)		20,624
LME Aluminum Base Metal		(7	)	8/2018	USD			(373,625	)		21,089
LME Aluminum Base Metal		(9	)	8/2018	USD			(479,176	)		35,725
LME Aluminum Base Metal		(10	)	8/2018	USD			(534,107	)		24,738
LME Aluminum Base Metal		(10	)	8/2018	USD			(533,527	)		48,117
LME Aluminum Base Metal		(13	)	8/2018	USD			(691,415	)		51,334
LME Aluminum Base Metal		(14	)	8/2018	USD			(744,275	)		71,184
LME Aluminum Base Metal		(14	)	8/2018	USD			(744,653	)		46,656
LME Aluminum Base Metal		(14	)	8/2018	USD			(744,544	)		51,314
LME Aluminum Base Metal		(15	)	8/2018	USD			(797,902	)		57,541
LME Aluminum Base Metal		(28	)	8/2018	USD			(1,488,655	)		119,904
LME Aluminum Base Metal		(40	)	8/2018	USD			(2,128,820	)		152,905
LME Copper Base Metal		(7	)	8/2018	USD			(1,160,457	)		46,261
LME Copper Base Metal		(8	)	8/2018	USD			(1,326,134	)		47,612
LME Copper Base Metal		(8	)	8/2018	USD			(1,326,000	)		50,376
LME Copper Base Metal		(9	)	8/2018	USD			(1,491,989	)		44,847
LME Copper Base Metal		(9	)	8/2018	USD			(1,492,200	)		60,786
LME Copper Base Metal		(15	)	8/2018	USD			(2,484,375	)		87,331
LME Copper Base Metal		(16	)	8/2018	USD			(2,649,968	)		127,385
LME Copper Base Metal		(18	)	8/2018	USD			(2,981,174	)		117,032
LME Copper Base Metal		(19	)	8/2018	USD			(3,147,588	)		84,741
LME Copper Base Metal		(23	)	8/2018	USD			(3,809,421	)		149,486
LME Copper Base Metal		(29	)	8/2018	USD			(4,807,432	)		81,339
LME Copper Base Metal		(36	)	8/2018	USD			(5,962,050	)		211,844
LME Copper Base Metal		(51	)	8/2018	USD			(8,447,729	)		285,326
LME Nickel Base Metal		(1	)	8/2018	USD			(89,193	)		(1,896	)
LME Nickel Base Metal		(2	)	8/2018	USD			(178,527	)		627
LME Nickel Base Metal		(2	)	8/2018	USD			(178,373	)		(5,807	)
LME Nickel Base Metal		(5	)	8/2018	USD			(445,772	)		(30,137	)
LME Nickel Base Metal		(5	)	8/2018	USD			(446,154	)		(6,518	)
LME Nickel Base Metal		(5	)	8/2018	USD			(446,177	)		(6,542	)
LME Nickel Base Metal		(5	)	8/2018	USD			(445,740	)		(25,938	)
LME Nickel Base Metal		(6	)	8/2018	USD			(534,965	)		(35,141	)
LME Nickel Base Metal		(6	)	8/2018	USD			(535,356	)		(4,356	)
LME Nickel Base Metal		(6	)	8/2018	USD			(535,328	)		(6,145	)
LME Nickel Base Metal		(7	)	8/2018	USD			(624,384	)		(16,917	)
LME Nickel Base Metal		(14	)	8/2018	USD			(1,248,834	)		(17,645	)
LME Nickel Base Metal		(33	)	8/2018	USD			(2,940,399	)		(232,959	)
LME Nickel Base Metal		(38	)	8/2018	USD			(3,392,200	)		81,815
LME Nickel Base Metal		(38	)	8/2018	USD			(3,386,158	)		(212,383	)
LME Nickel Base Metal		(77	)	8/2018	USD			(6,861,920	)		(412,134	)
LME Zinc Base Metal		(1	)	8/2018	USD			(71,547	)		5,633
LME Zinc Base Metal		(1	)	8/2018	USD			(71,562	)		5,272
LME Zinc Base Metal		(2	)	8/2018	USD			(143,798	)		11,637
LME Zinc Base Metal		(2	)	8/2018	USD			(143,869	)		10,575
LME Zinc Base Metal		(3	)	8/2018	USD			(215,592	)		11,449
Canada 10 Year Bond		(1,366	)	9/2018	CAD			(142,049,869	)		(3,115,250	)
Coffee ‘C’		(388	)	9/2018	USD			(16,747,050	)		416,282
Euro-BTP		(3,919	)	9/2018	EUR			(582,327,629	)		(7,298,890	)
KC HRW Wheat		(1,400	)	9/2018	USD			(34,195,000	)		793,197
KOSPI 200 Index		(4,867	)	9/2018	KRW			(327,523,553	)		6,831,911

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

AQR Funds Semi-Annual Report June 2018

12

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(1	)	9/2018	USD		$ (53,274	)		$ 3,398
LME Aluminum Base Metal		(3	)	9/2018	USD		(159,811	)		10,961
LME Aluminum Base Metal		(3	)	9/2018	USD		(159,800	)		13,600
LME Aluminum Base Metal		(3	)	9/2018	USD		(159,788	)		13,640
LME Aluminum Base Metal		(3	)	9/2018	USD		(159,742	)		13,842
LME Aluminum Base Metal		(6	)	9/2018	USD		(319,908	)		4,074
LME Aluminum Base Metal		(8	)	9/2018	USD		(426,488	)		1,708
LME Aluminum Base Metal		(9	)	9/2018	USD		(479,419	)		10,065
LME Aluminum Base Metal		(9	)	9/2018	USD		(479,925	)		6,616
LME Aluminum Base Metal		(11	)	9/2018	USD		(586,190	)		23,453
LME Aluminum Base Metal		(18	)	9/2018	USD		(958,964	)		18,788
LME Aluminum Base Metal		(19	)	9/2018	USD		(1,011,626	)		94,315
LME Aluminum Base Metal		(20	)	9/2018	USD		(1,064,795	)		97,285
LME Aluminum Base Metal		(92	)	9/2018	USD		(4,903,025	)		401,611
LME Copper Base Metal		(5	)	9/2018	USD		(828,503	)		74,554
LME Copper Base Metal		(6	)	9/2018	USD		(994,115	)		97,000
LME Copper Base Metal		(6	)	9/2018	USD		(994,160	)		89,298
LME Copper Base Metal		(8	)	9/2018	USD		(1,325,250	)		133,635
LME Copper Base Metal		(8	)	9/2018	USD		(1,325,664	)		104,435
LME Copper Base Metal		(9	)	9/2018	USD		(1,490,738	)		18,986
LME Copper Base Metal		(9	)	9/2018	USD		(1,490,625	)		23,261
LME Copper Base Metal		(10	)	9/2018	USD		(1,656,375	)		46,096
LME Copper Base Metal		(10	)	9/2018	USD		(1,657,375	)		92,346
LME Copper Base Metal		(12	)	9/2018	USD		(1,987,800	)		13,285
LME Copper Base Metal		(19	)	9/2018	USD		(3,146,875	)		86,369
LME Copper Base Metal		(25	)	9/2018	USD		(4,141,300	)		249,026
LME Copper Base Metal		(26	)	9/2018	USD		(4,307,011	)		359,466
LME Copper Base Metal		(135	)	9/2018	USD		(22,369,500	)		1,355,127
LME Nickel Base Metal		(2	)	9/2018	USD		(178,648	)		6,426
LME Nickel Base Metal		(2	)	9/2018	USD		(178,670	)		6,724
LME Nickel Base Metal		(2	)	9/2018	USD		(178,659	)		4,785
LME Nickel Base Metal		(3	)	9/2018	USD		(268,178	)		(4,370	)
LME Nickel Base Metal		(3	)	9/2018	USD		(267,908	)		12,673
LME Nickel Base Metal		(3	)	9/2018	USD		(268,021	)		7,010
LME Nickel Base Metal		(3	)	9/2018	USD		(268,200	)		291
LME Nickel Base Metal		(3	)	9/2018	USD		(268,189	)		(6,118	)
LME Nickel Base Metal		(6	)	9/2018	USD		(536,170	)		10,148
LME Nickel Base Metal		(6	)	9/2018	USD		(536,224	)		(3,442	)
LME Nickel Base Metal		(8	)	9/2018	USD		(714,995	)		11,552
LME Nickel Base Metal		(18	)	9/2018	USD		(1,607,256	)		73,981
LME Nickel Base Metal		(19	)	9/2018	USD		(1,696,649	)		93,633
LME Nickel Base Metal		(89	)	9/2018	USD		(7,953,663	)		267,860
MSCI EAFE E-Mini Index		(898	)	9/2018	USD		(87,797,460	)		(211,010	)
MSCI Emerging Markets E-Mini Index		(4,179	)	9/2018	USD		(222,176,535	)		(2,494,529	)
Silver		(794	)	9/2018	USD		(64,306,060	)		(1,484	)
Sugar No. 11		(8,722	)	9/2018	USD		(119,665,840	)		2,389,850
U.S. Treasury 10 Year Note		(23,286	)	9/2018	USD		(2,798,686,125	)		(22,082,699	)
U.S. Treasury 2 Year Note		(6,733	)	9/2018	USD		(1,426,238,766	)		220,264
U.S. Treasury 5 Year Note		(52,675	)	9/2018	USD		(5,984,785,352	)		(33,346,589	)
Wheat		(2,386	)	9/2018	USD		(59,799,125	)		(113,037	)
Platinum		(1,213	)	10/2018	USD		(52,019,505	)		813,660
Soybean		(418	)	11/2018	USD		(18,392,000	)		439,042
3 Month Canadian Bankers Acceptance		(45	)	12/2018	CAD		(8,375,994	)		(5,888	)
3 Month Euro Euribor		(3,863	)	12/2018	EUR		(1,131,017,091	)		(184,515	)
3 Month Eurodollar		(13,010	)	12/2018	USD		(3,166,634,000	)		9,250,503

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

AQR Funds Semi-Annual Report June 2018

13

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
ASX 90 Day Bank Accepted Bill		(2,140	)	12/2018	AUD		$ (1,575,935,201	)		$ (107,190	)
Soybean Meal		(1,504	)	12/2018	USD		(49,616,960	)		1,150,220
Soybean Oil		(816	)	12/2018	USD		(14,560,704	)		452,194
3 Month Canadian Bankers Acceptance		(1,005	)	3/2019	CAD		(186,786,740	)		(71,370	)
3 Month Eurodollar		(12,256	)	3/2019	USD		(2,979,433,600	)		6,852,730
3 Month Sterling		(1	)	3/2019	GBP		(163,418	)		(33	)
ASX 90 Day Bank Accepted Bill		(1,755	)	3/2019	AUD		(1,292,350,728	)		(99,461	)
3 Month Eurodollar		(11,932	)	6/2019	USD		(2,897,835,350	)		5,328,734
3 Month Sterling		(29	)	6/2019	GBP		(4,736,253	)		(1,082	)
3 Month Eurodollar		(11,889	)	9/2019	USD		(2,885,460,300	)		4,111,485
3 Month Eurodollar		(11,984	)	12/2019	USD		(2,907,168,600	)		2,664,861
3 Month Eurodollar		(12,181	)	3/2020	USD		(2,954,501,550	)		89,580
3 Month Eurodollar		(10,952	)	6/2020	USD		(2,656,407,600	)		(948,583	)
										(15,285,637	)
										$36,792,832

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	117,936,000	USD	86,918,175	CITI		9/19/2018		$381,351
AUD	176,904,000	USD	130,377,426	JPMC		9/19/2018		571,863
BRL	2,635,600	USD	669,327	CITI**		9/19/2018		5,128
BRL	3,953,400	USD	1,003,992	JPMC**		9/19/2018		7,691
CHF	3,881,600	USD	3,922,370	CITI		9/19/2018		24,338
CHF	5,822,400	USD	5,883,562	JPMC		9/19/2018		36,500
COP	3,089,693,594	USD	1,046,553	CITI**		9/19/2018		3,705
COP	4,634,540,390	USD	1,569,832	JPMC**		9/19/2018		5,555
EUR	693,428,520	USD	809,622,725	CITI		9/19/2018		5,041,365
EUR	1,040,142,781	USD	1,214,435,606	JPMC		9/19/2018		7,560,530
GBP	24,237,600	USD	31,980,000	CITI		9/19/2018		121,173
GBP	36,356,400	USD	47,970,060	JPMC		9/19/2018		181,699
IDR	30,286,266,368	USD	2,073,849	CITI**		9/19/2018		17,478
IDR	45,429,399,552	USD	3,110,777	JPMC**		9/19/2018		26,215
JPY	7,724,639,027	USD	70,148,367	CITI		9/19/2018		11,386
JPY	11,586,958,541	USD	105,222,682	JPMC		9/19/2018		16,947
MXN	347	USD	17	CITI		9/19/2018		—
MXN	573	USD	28	JPMC		9/19/2018		—
NOK	4	USD	—	JPMC		9/19/2018		—
TRY	67,601,600	USD	14,064,589	CITI		9/19/2018		160,951
TRY	101,402,400	USD	21,096,720	JPMC		9/19/2018		241,590
USD	571,825,995	AUD	756,652,748	CITI		9/19/2018		11,730,469
USD	857,737,921	AUD	1,134,979,124	JPMC		9/19/2018		17,594,631
USD	82,123,345	BRL	308,449,700	CITI**		9/19/2018		3,190,408
USD	123,184,861	BRL	462,674,542	JPMC**		9/19/2018		4,785,458
USD	4,224,301	CAD	5,482,418	CITI		9/19/2018		48,404
USD	6,336,478	CAD	8,223,631	JPMC		9/19/2018		72,629
USD	3,439,495	CHF	3,364,054	CITI		9/19/2018		19,015
USD	5,159,236	CHF	5,046,080	JPMC		9/19/2018		28,517

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

AQR Funds Semi-Annual Report June 2018

14

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	7,264,419	COP	21,145,353,369	CITI**		9/19/2018		$ 76,626
USD	10,896,615	COP	31,718,030,055	JPMC**		9/19/2018		114,927
USD	1,585,531,950	EUR	1,342,649,984	CITI		9/19/2018		8,139,766
USD	2,378,294,952	EUR	2,013,974,976	JPMC		9/19/2018		12,206,676
USD	21	GBP	16	JPMC		9/19/2018		—
USD	138,656	HKD	1,085,600	CITI		9/19/2018		101
USD	207,984	HKD	1,628,400	JPMC		9/19/2018		150
USD	48,285,702	HUF	13,094,399,877	CITI		9/19/2018		1,632,410
USD	72,427,542	HUF	19,641,599,825	JPMC		9/19/2018		2,447,606
USD	23,284,462	IDR	330,558,906,734	CITI**		9/19/2018		458,708
USD	34,926,649	IDR	495,838,360,104	JPMC**		9/19/2018		688,019
USD	37,345,354	INR	2,573,151,950	CITI**		9/19/2018		171,683
USD	56,018,453	INR	3,859,727,922	JPMC**		9/19/2018		257,944
USD	638,308,004	JPY	69,798,298,460	CITI		9/19/2018		4,358,467
USD	957,460,809	JPY	104,697,447,684	JPMC		9/19/2018		6,536,504
USD	124,983,626	KRW	137,837,963,302	CITI**		9/19/2018		903,683
USD	187,475,204	KRW	206,756,944,954	JPMC**		9/19/2018		1,355,290
USD	660,371,224	NZD	955,848,828	CITI		9/19/2018		12,926,132
USD	990,555,598	NZD	1,433,773,242	JPMC		9/19/2018		19,387,961
USD	10,683,142	PHP	566,942,480	CITI**		9/19/2018		128,683
USD	16,024,694	PHP	850,413,712	JPMC**		9/19/2018		193,005
USD	180,714,216	PLN	664,678,793	CITI		9/19/2018		3,034,218
USD	271,070,985	PLN	997,018,191	JPMC		9/19/2018		4,550,989
USD	229,934,374	SEK	1,998,551,103	CITI		9/19/2018		5,436,451
USD	344,901,129	SEK	2,997,826,648	JPMC		9/19/2018		8,154,246
USD	50,010,185	SGD	67,600,000	CITI		9/19/2018		310,583
USD	75,015,218	SGD	101,400,000	JPMC		9/19/2018		465,814
USD	5,159,901	TRY	24,159,200	CITI		9/19/2018		76,032
USD	7,739,842	TRY	36,238,800	JPMC		9/19/2018		114,039
USD	109,655,060	TWD	3,264,369,209	CITI**		9/19/2018		2,005,308
USD	164,482,279	TWD	4,896,553,808	JPMC**		9/19/2018		3,007,650
USD	220,696,608	ZAR	2,955,708,786	CITI		9/19/2018		7,444,252
USD	331,044,498	ZAR	4,433,563,182	JPMC		9/19/2018		11,165,964
USD	45,980,867	CLP	29,524,443,068	CITI**		9/20/2018		796,600
USD	68,971,214	CLP	44,286,664,604	JPMC**		9/20/2018		1,194,814
USD	23,870,904	ILS	85,920,001	CITI		9/20/2018		250,198
USD	35,806,184	ILS	128,879,999	JPMC		9/20/2018		375,126
Total unrealized appreciation								172,251,621
AUD	1,027,321,194	USD	777,584,263	CITI		9/19/2018		(17,132,383	)
AUD	1,540,981,790	USD	1,166,377,851	JPMC		9/19/2018		(25,700,032	)
BRL	40,986,800	USD	10,821,603	CITI**		9/19/2018		(332,993	)
BRL	61,480,200	USD	16,232,425	JPMC**		9/19/2018		(499,510	)
CAD	925,834,412	USD	717,598,883	CITI		9/19/2018		(12,401,070	)
CAD	1,388,751,620	USD	1,076,399,671	JPMC		9/19/2018		(18,602,950	)
COP	55,106,343,831	USD	19,118,694	CITI**		9/19/2018		(386,781	)
COP	82,659,515,745	USD	28,678,077	JPMC**		9/19/2018		(580,206	)
EUR	892,951,899	USD	1,057,518,020	CITI		9/19/2018		(8,446,882	)
EUR	1,339,427,844	USD	1,586,279,007	JPMC		9/19/2018		(12,672,306	)
GBP	47,125,200	USD	62,734,482	CITI		9/19/2018		(320,126	)
GBP	70,687,800	USD	94,101,840	JPMC		9/19/2018		(480,306	)
HKD	13,886,800	USD	1,773,776	CITI		9/19/2018		(1,400	)
HKD	20,830,200	USD	2,660,668	JPMC		9/19/2018		(2,103	)
HUF	1,486,977,194	USD	5,487,902	CITI		9/19/2018		(190,036	)
HUF	2,230,465,790	USD	8,231,864	JPMC		9/19/2018		(285,065	)
IDR	402,436,381,082	USD	28,286,451	CITI**		9/19/2018		(497,414	)
IDR	603,654,571,622	USD	42,429,730	JPMC**		9/19/2018		(746,175	)

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

AQR Funds Semi-Annual Report June 2018

15

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

CURRENCY PURCHASED			CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
INR	4,558,260,848		USD	66,811,169	CITI**		9/19/2018		$ (959,132	)
INR	6,837,391,272		USD	100,217,914	JPMC**		9/19/2018		(1,439,859	)
JPY	106,817,030,554		USD	979,495,718	CITI		9/19/2018		(9,320,105	)
JPY	160,225,545,830		USD	1,469,245,414	JPMC		9/19/2018		(13,981,993	)
KRW	4,701,128		USD	4,394	CITI**		9/19/2018		(162	)
KRW	7,051,696		USD	6,591	JPMC**		9/19/2018		(243	)
MXN	131,380,098		USD	6,594,448	CITI		9/19/2018		(61,403	)
MXN	197,070,094		USD	9,891,682	JPMC		9/19/2018		(92,116	)
NZD	487,467,603		USD	337,833,812	CITI		9/19/2018		(7,647,178	)
NZD	731,201,405		USD	506,751,228	JPMC		9/19/2018		(11,471,277	)
PHP	567,214,400		USD	10,698,842	CITI**		9/19/2018		(139,321	)
PHP	850,821,600		USD	16,048,284	JPMC**		9/19/2018		(209,002	)
PLN	313,511,200		USD	86,165,940	CITI		9/19/2018		(2,359,040	)
PLN	470,266,800		USD	129,249,072	JPMC		9/19/2018		(3,538,721	)
SEK	3,463,200		USD	400,474	CITI		9/19/2018		(11,451	)
SEK	5,194,800		USD	600,711	JPMC		9/19/2018		(17,178	)
SGD	115,973,200		USD	86,455,127	CITI		9/19/2018		(1,191,489	)
SGD	173,959,800		USD	129,682,852	JPMC		9/19/2018		(1,787,395	)
TRY	48,254,400		USD	10,217,505	CITI		9/19/2018		(63,236	)
TRY	72,381,600		USD	15,325,070	JPMC		9/19/2018		(93,665	)
TWD	451,368,394		USD	15,251,640	CITI**		9/19/2018		(366,775	)
TWD	677,052,590		USD	22,877,489	JPMC**		9/19/2018		(550,191	)
USD	402,908,475		AUD	545,851,609	CITI		9/19/2018		(1,146,153	)
USD	604,361,958		AUD	818,777,415	JPMC		9/19/2018		(1,719,984	)
USD	5,574,455		BRL	21,844,700	CITI**		9/19/2018		(15,650	)
USD	8,361,673		BRL	32,767,050	JPMC**		9/19/2018		(23,486	)
USD	914,355,200		CAD	1,212,529,606	CITI		9/19/2018		(9,215,165	)
USD	1,371,531,086		CAD	1,818,794,410	JPMC		9/19/2018		(13,824,462	)
USD	525,086		CHF	517,546	CITI		9/19/2018		(1,141	)
USD	787,629		CHF	776,320	JPMC		9/19/2018		(1,713	)
USD	6,279,059		COP	18,525,338,419	CITI**		9/19/2018		(18,129	)
USD	9,418,577		COP	27,788,007,629	JPMC**		9/19/2018		(27,206	)
USD	401,588,477		EUR	343,179,987	CITI		9/19/2018		(1,591,381	)
USD	602,381,963		EUR	514,769,981	JPMC		9/19/2018		(2,387,824	)
USD	115,412,891		GBP	87,520,800	CITI		9/19/2018		(502,890	)
USD	173,119,120	��	GBP	131,281,200	JPMC		9/19/2018		(754,551	)
USD	6,036,871		HKD	47,314,400	CITI		9/19/2018		(1,881	)
USD	9,055,295		HKD	70,971,600	JPMC		9/19/2018		(2,832	)
USD	1,032,551		HUF	291,305,603	CITI		9/19/2018		(5,325	)
USD	1,548,824		HUF	436,958,405	JPMC		9/19/2018		(7,990	)
USD	13,308,495		IDR	193,023,156,798	CITI**		9/19/2018		(20,140	)
USD	19,962,718		IDR	289,534,735,196	JPMC**		9/19/2018		(30,235	)
USD	117,228,800		INR	8,130,749,190	CITI**		9/19/2018		(234,069	)
USD	175,842,981		INR	12,196,123,786	JPMC**		9/19/2018		(351,321	)
USD	40,975,397		JPY	4,520,152,269	CITI		9/19/2018		(79,307	)
USD	61,463,018		JPY	6,780,228,403	JPMC		9/19/2018		(119,037	)
USD	73,546,747		KRW	82,043,236,940	CITI**		9/19/2018		(307,508	)
USD	110,319,983		KRW	123,064,855,412	JPMC**		9/19/2018		(461,400	)
USD	254,829,243		MXN	5,313,017,216	CITI		9/19/2018		(9,367,424	)
USD	382,243,386		MXN	7,969,525,824	JPMC		9/19/2018		(14,051,614	)
USD	38,761,229		NZD	57,253,600	CITI		9/19/2018		(19,550	)
USD	58,141,771		NZD	85,880,400	JPMC		9/19/2018		(29,398	)
USD	5,041		PHP	271,600	CITI**		9/19/2018		(15	)
USD	7,561		PHP	407,400	JPMC**		9/19/2018		(23	)
USD	16,728,085		PLN	62,915,200	CITI		9/19/2018		(90,223	)
USD	25,092,096		PLN	94,372,800	JPMC		9/19/2018		(135,366	)
USD	4,617,356		SEK	41,248,800	CITI		9/19/2018		(16,136	)

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

AQR Funds Semi-Annual Report June 2018

16

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	6,926,025	SEK	61,873,200	JPMC		9/19/2018		$ (24,213	)
USD	28,582,887	SGD	38,948,000	CITI		9/19/2018		(51,730	)
USD	42,874,277	SGD	58,422,000	JPMC		9/19/2018		(77,648	)
USD	194,726,942	TRY	952,829,621	CITI		9/19/2018		(5,778,899	)
USD	292,090,049	TRY	1,429,244,435	JPMC		9/19/2018		(8,668,714	)
USD	6,723,833	TWD	204,378,406	CITI**		9/19/2018		(15,995	)
USD	10,085,736	TWD	306,567,610	JPMC**		9/19/2018		(24,005	)
USD	45,727,200	ZAR	637,986,800	CITI		9/19/2018		(303,108	)
USD	68,590,715	ZAR	956,980,200	JPMC		9/19/2018		(454,748	)
ZAR	1,953,326,822	USD	153,255,940	CITI		9/19/2018		(12,324,753	)
ZAR	2,929,990,234	USD	229,884,197	JPMC		9/19/2018		(18,487,417	)
CLP	24,713,004,177	USD	39,365,055	CITI**		9/20/2018		(1,544,224	)
CLP	37,069,506,263	USD	59,047,657	JPMC**		9/20/2018		(2,316,410	)
Total unrealized depreciation								(261,211,063	)
Net unrealized depreciation							$	(88,959,442	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Semi-Annual Report June 2018

17

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
BANA
Investment Companies		$412,098			$—			$412,098
BARC
Cash		—			258,813,467			258,813,467
U.S. Treasury Bills		—			133,736,600			133,736,600
CITI
Investment Companies		99,797,378			—			99,797,378
GSCO
Cash		—			(37,998,057	)		(37,998,057	)
U.S. Treasury Bills		—			123,108,781			123,108,781
GSIN
Investment Companies		3,980,577			—			3,980,577
JPMC
Investment Companies		263,382,336			—			263,382,336
JPMS
Cash		—			(14,685,601	)		(14,685,601	)
U.S. Treasury Bills		—			44,081,130			44,081,130
MLIN
Cash		(500,000	)		—			(500,000	)
MSCL
Cash		—			56,696,916			56,696,916
U.S. Treasury Bills		—			70,859,930			70,859,930
MSCS
Investment Companies		13,356,963			—			13,356,963

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Investment Companies		$8,595,836		$—			$8,595,836
GSCO
Cash		—		(9,115,947	)		(9,115,947	)
U.S. Treasury Bills		—		25,107,672			25,107,672
GSIN
Cash		30,672,459		—			30,672,459
JPPC
Cash		—		1,983,495			1,983,495
U.S. Treasury Bills		—		17,712,358			17,712,358
MACQ
Cash		7,600,000		—			7,600,000
MLIN
Cash		12,450,000		—			12,450,000
MSCL
Cash		—		(60,332,998	)		(60,332,998	)
U.S. Treasury Bills		—		60,966,679			60,966,679
SOCG
Cash		14,322,430		—			14,322,430

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

AQR Funds Semi-Annual Report June 2018

18

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

INVESTMENTS	SHARES		VALUE ($)
SHORT-TERM INVESTMENTS - 90.5%
INVESTMENT COMPANIES - 16.8%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (a)(b)		60,198,371		60,198,371
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (a)(b)		835,498		835,498
Limited Purpose Cash Investment Fund, 1.85% (a)		42,611,781		42,611,782
TOTAL INVESTMENT COMPANIES (Cost $103,640,141)				103,645,651
	Principal Amount ($)
U.S. TREASURY OBLIGATIONS - 73.7%
U.S. Treasury Bills
1.59%, 7/5/2018 (c)		73,116,000		73,105,886
1.59%, 7/12/2018 (c)(d)		32,227,000		32,211,994
1.63%, 7/26/2018 (c)		64,637,000		64,562,560
1.64%, 8/2/2018 (c)(d)		26,867,000		26,825,134
1.66%, 8/9/2018 (c)(d)		125,694,000		125,452,196
1.84%, 8/23/2018 (c)		4,731,000		4,718,537
1.85%, 8/30/2018 (c)(d)		26,036,000		25,956,634
1.91%, 9/27/2018 (c)(d)		6,207,000		6,178,725
1.90%, 10/11/2018 (c)(d)		8,803,000		8,755,365
1.96%, 10/18/2018 (c)(d)		14,687,000		14,601,632
2.01%, 10/25/2018 (c)		18,004,000		17,892,425

INVESTMENTS	PRINCIPAL AMOUNT ($)		VALUE ($)
U.S. TREASURY OBLIGATIONS - 73.7% (continued)
2.06%, 11/15/2018 (c)(d)		7,111,000		7,057,205
2.10%, 12/20/2018 (c)		11,841,000		11,726,893
2.10%, 12/27/2018 (c)		34,531,000		34,179,282
TOTAL U.S. TREASURY OBLIGATIONS (Cost $453,228,476)				453,224,468
TOTAL SHORT-TERM INVESTMENTS (Cost $556,868,617)				556,870,119
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 90.5% (Cost $556,868,617)				556,870,119
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.5% (e)				58,237,850
NET ASSETS - 100.0%				615,107,969

(a) Represents 7-day effective yield as of June 30, 2018.

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

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

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

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

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

Total return swap contracts outstanding as of June 30, 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)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/10/2018

USD

(863,250

)

$29,070

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/10/2018

USD

(2,287,613

)

80,644

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/10/2018

USD

(4,316,250

)

154,335

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/10/2018

USD

(906,413

)

32,048

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/24/2018

USD

(1,455,975

)

27,876

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/24/2018

USD

(3,109,675

)

33,163

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

AQR Funds Semi-Annual Report June 2018

19

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/24/2018

USD

(9,382,950

)

$ 200,695

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/24/2018

USD

(2,840,050

)

29,865

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

11/09/2018

USD

(83,920

)

8,319

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

14,363,000

9,874

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/16/2018

USD

1,458,600

61,776

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

07/16/2018

USD

1,060,800

44,337

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/14/2018

USD

(1,253,780

)

3,280

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/14/2018

USD

(917,400

)

3,643

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/03/2018

USD

811,110

20,318

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/26/2018

USD

(12,672,000

)

970,674

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/26/2018

USD

(11,000,000

)

783,796

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/23/2018

USD

(1,187,640

)

17,610

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(824,750

)

15,263

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/23/2018

USD

(5,806,240

)

289,545

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/23/2018

USD

(3,479,580

)

197,016

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/23/2018

USD

(1,784,400

)

101,280

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/24/2018

USD

(401,000

)

18,444

3,132,871

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

AQR Funds Semi-Annual Report June 2018

20

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/03/2018

USD

��

(1,607,680

)

$ (5,456

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/03/2018

USD

803,840

(15,397

)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(502,400

)

(12,955

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/03/2018

USD

1,858,880

(34,744

)

Cocoa September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/03/2018

USD

(703,360

)

(27,300

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/03/2018

USD

502,400

(11,613

)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/10/2018

USD

129,487

(3,521

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

1,402,050

(104,035

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/09/2018

USD

713,320

(77,350

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/09/2018

USD

713,320

(67,413

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/09/2018

USD

1,258,800

(138,900

)

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/30/2018

HKD

(48,367,050

)

(50,551

)

HSCEI July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/30/2018

HKD

(17,390,400

)

(10,015

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

07/16/2018

USD

(1,060,800

)

(72,473

)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/16/2018

USD

(1,458,600

)

(98,904

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/03/2018

USD

(2,219,880

)

(57,427

)

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/03/2018

USD

(5,080,110

)

(128,894

)

MSCI Taiwan Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/30/2018

USD

(2,751,960

)

(38,416

)

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

AQR Funds Semi-Annual Report June 2018

21

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/26/2018

USD

1,188,000

$ (134,444

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/23/2018

USD

659,800

(54,522

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/23/2018

USD

5,806,240

(503,055

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/23/2018

USD

824,750

(71,642

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/24/2018

USD

150,375

(10,381

)

(1,729,408

)

$1,403,463

Futures contracts outstanding as of June 30, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		69	7/2018	EUR		$8,889,387		$(196,087	)
Brent Crude Oil		542	7/2018	USD		42,942,660		1,716,517
CAC 40 10 Euro Index		376	7/2018	EUR		23,361,932		27,268
LME Aluminum Base Metal		5	7/2018	USD		268,469		(31,102	)
LME Aluminum Base Metal		5	7/2018	USD		268,812		(39,388	)
LME Aluminum Base Metal		7	7/2018	USD		377,781		(2,693	)
LME Aluminum Base Metal		10	7/2018	USD		541,000		(84,225	)
LME Aluminum Base Metal		10	7/2018	USD		538,937		40,908
LME Aluminum Base Metal		12	7/2018	USD		646,050		39,451
LME Aluminum Base Metal		12	7/2018	USD		648,780		(57,188	)
LME Aluminum Base Metal		12	7/2018	USD		648,075		(20,462	)
LME Aluminum Base Metal		12	7/2018	USD		648,990		(68,673	)
LME Aluminum Base Metal		13	7/2018	USD		702,162		(49,048	)
LME Aluminum Base Metal		13	7/2018	USD		701,837		(28,499	)
LME Aluminum Base Metal		23	7/2018	USD		1,239,125		91,976
LME Copper Base Metal		1	7/2018	USD		165,825		(4,369	)
LME Copper Base Metal		1	7/2018	USD		165,950		(8,953	)
LME Copper Base Metal		1	7/2018	USD		165,929		(5,337	)
LME Copper Base Metal		1	7/2018	USD		165,846		(5,657	)
LME Copper Base Metal		2	7/2018	USD		331,512		(15,836	)
LME Copper Base Metal		2	7/2018	USD		331,609		(16,065	)
LME Copper Base Metal		2	7/2018	USD		331,500		(19,292	)
LME Copper Base Metal		2	7/2018	USD		331,506		(18,058	)
LME Copper Base Metal		2	7/2018	USD		331,250		(9,506	)
LME Copper Base Metal		2	7/2018	USD		331,536		(9,708	)
LME Copper Base Metal		2	7/2018	USD		331,575		(17,441	)

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

AQR Funds Semi-Annual Report June 2018

22

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		3	7/2018	USD		$ 497,250		$ (23,824	)
LME Copper Base Metal		3	7/2018	USD		497,350		(21,974	)
LME Copper Base Metal		4	7/2018	USD		662,683		(14,895	)
LME Nickel Base Metal		1	7/2018	USD		88,938		7,526
LME Nickel Base Metal		1	7/2018	USD		89,009		4,426
LME Nickel Base Metal		1	7/2018	USD		89,013		(1,904	)
LME Nickel Base Metal		1	7/2018	USD		89,045		2,163
LME Nickel Base Metal		1	7/2018	USD		88,954		10,447
LME Nickel Base Metal		2	7/2018	USD		177,962		13,126
LME Nickel Base Metal		2	7/2018	USD		177,898		20,084
LME Nickel Base Metal		2	7/2018	USD		178,052		2,228
LME Nickel Base Metal		3	7/2018	USD		266,927		21,176
LME Nickel Base Metal		3	7/2018	USD		267,155		10,440
LME Nickel Base Metal		3	7/2018	USD		267,193		15,708
LME Nickel Base Metal		4	7/2018	USD		356,361		23,349
LME Nickel Base Metal		4	7/2018	USD		356,232		20,304
LME Zinc Base Metal		1	7/2018	USD		72,587		(7,790	)
LME Zinc Base Metal		1	7/2018	USD		72,076		(5,640	)
LME Zinc Base Metal		1	7/2018	USD		72,475		(8,903	)
LME Zinc Base Metal		2	7/2018	USD		145,325		(19,055	)
LME Zinc Base Metal		2	7/2018	USD		145,250		(16,506	)
LME Zinc Base Metal		2	7/2018	USD		144,875		(12,031	)
LME Zinc Base Metal		3	7/2018	USD		216,862		(23,146	)
LME Zinc Base Metal		4	7/2018	USD		289,600		(24,162	)
LME Zinc Base Metal		4	7/2018	USD		289,300		(23,932	)
LME Zinc Base Metal		5	7/2018	USD		362,562		(40,452	)
LME Zinc Base Metal		5	7/2018	USD		361,812		(30,127	)
NY Harbor ULSD		119	7/2018	USD		11,044,081		209,981
OMXS30 Index		626	7/2018	SEK		10,910,051		173,950
RBOB Gasoline		148	7/2018	USD		13,371,859		387,218
WTI Crude Oil		599	7/2018	USD		44,415,850		5,053,767
LME Aluminum Base Metal		1	8/2018	USD		53,197		(4,108	)
LME Aluminum Base Metal		1	8/2018	USD		53,242		(3,956	)
LME Aluminum Base Metal		1	8/2018	USD		53,186		(3,764	)
LME Aluminum Base Metal		1	8/2018	USD		53,162		(4,970	)
LME Aluminum Base Metal		1	8/2018	USD		53,193		(3,624	)
LME Aluminum Base Metal		1	8/2018	USD		53,175		(4,504	)
LME Aluminum Base Metal		1	8/2018	USD		53,182		(3,752	)
LME Aluminum Base Metal		2	8/2018	USD		106,332		(9,366	)
LME Aluminum Base Metal		2	8/2018	USD		106,379		(6,279	)
LME Aluminum Base Metal		4	8/2018	USD		212,882		(15,455	)
LME Copper Base Metal		1	8/2018	USD		165,625		(5,592	)
LME Copper Base Metal		1	8/2018	USD		165,800		(7,426	)
LME Copper Base Metal		1	8/2018	USD		165,623		(7,271	)
LME Copper Base Metal		1	8/2018	USD		165,750		(5,143	)
LME Copper Base Metal		1	8/2018	USD		165,767		(6,432	)
LME Copper Base Metal		1	8/2018	USD		165,627		(6,208	)
LME Copper Base Metal		2	8/2018	USD		331,325		(9,388	)
LME Copper Base Metal		2	8/2018	USD		331,242		(13,451	)
LME Copper Base Metal		2	8/2018	USD		331,553		(9,996	)
LME Copper Base Metal		3	8/2018	USD		496,838		(17,501	)
LME Copper Base Metal		3	8/2018	USD		497,321		(10,451	)
LME Copper Base Metal		5	8/2018	USD		828,898		(27,048	)
LME Copper Base Metal		6	8/2018	USD		993,851		(32,242	)
LME Nickel Base Metal		1	8/2018	USD		89,198		2,280

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

AQR Funds Semi-Annual Report June 2018

23

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Nickel Base Metal		1	8/2018	USD		$ 89,221		$ 1,130
LME Nickel Base Metal		1	8/2018	USD		89,187		2,988
LME Nickel Base Metal		2	8/2018	USD		178,405		2,255
LME Nickel Base Metal		4	8/2018	USD		356,412		29,976
LME Nickel Base Metal		4	8/2018	USD		357,074		(7,318	)
LME Nickel Base Metal		4	8/2018	USD		356,438		22,132
LME Nickel Base Metal		8	8/2018	USD		712,927		42,067
LME Zinc Base Metal		1	8/2018	USD		71,864		(4,451	)
LME Zinc Base Metal		1	8/2018	USD		71,934		(5,618	)
LME Zinc Base Metal		1	8/2018	USD		71,547		(5,674	)
Low Sulphur Gasoil		181	8/2018	USD		12,249,175		230,555
Cocoa		4	9/2018	USD		100,480		(44	)
Copper		152	9/2018	USD		11,270,800		(346,773	)
Corn		3	9/2018	USD		53,925		(4,132	)
DAX Index		31	9/2018	EUR		11,139,746		(199,654	)
DJIA CBOT E-Mini Index		133	9/2018	USD		16,136,225		(30,441	)
EURO STOXX 50 Index		114	9/2018	EUR		4,514,411		(25,919	)
Euro-Bobl		2,506	9/2018	EUR		386,796,405		847,420
Euro-Bund		1,944	9/2018	EUR		369,021,531		2,210,878
Euro-Buxl		317	9/2018	EUR		65,783,225		1,025,860
Euro-OAT		515	9/2018	EUR		92,942,983		733,196
Euro-Schatz		1,502	9/2018	EUR		196,601,081		55,703
FTSE 100 Index		960	9/2018	GBP		96,307,961		(490,986	)
LME Aluminum Base Metal		1	9/2018	USD		53,325		(342	)
LME Aluminum Base Metal		1	9/2018	USD		53,270		(3,557	)
LME Aluminum Base Metal		1	9/2018	USD		53,276		(958	)
LME Aluminum Base Metal		1	9/2018	USD		53,269		(1,123	)
LME Aluminum Base Metal		1	9/2018	USD		53,290		(1,998	)
LME Aluminum Base Metal		2	9/2018	USD		106,487		(10,269	)
LME Aluminum Base Metal		3	9/2018	USD		159,719		(14,890	)
LME Aluminum Base Metal		70	9/2018	USD		3,730,562		(234,357	)
LME Copper Base Metal		1	9/2018	USD		165,638		(4,586	)
LME Copper Base Metal		1	9/2018	USD		165,701		(14,140	)
LME Copper Base Metal		1	9/2018	USD		165,638		(2,052	)
LME Copper Base Metal		1	9/2018	USD		165,625		(2,213	)
LME Copper Base Metal		1	9/2018	USD		165,738		(9,263	)
LME Copper Base Metal		1	9/2018	USD		165,708		(14,495	)
LME Copper Base Metal		1	9/2018	USD		165,650		(147	)
LME Copper Base Metal		2	9/2018	USD		331,250		(9,056	)
LME Copper Base Metal		2	9/2018	USD		331,313		(31,543	)
LME Copper Base Metal		2	9/2018	USD		331,309		(26,447	)
LME Copper Base Metal		3	9/2018	USD		496,956		(28,908	)
LME Copper Base Metal		83	9/2018	USD		13,753,100		(570,934	)
LME Nickel Base Metal		1	9/2018	USD		89,396		665
LME Nickel Base Metal		1	9/2018	USD		89,374		(2,507	)
LME Nickel Base Metal		2	9/2018	USD		178,584		(7,242	)
LME Nickel Base Metal		2	9/2018	USD		178,595		(10,171	)
LME Nickel Base Metal		46	9/2018	USD		4,110,882		49,020
Long Gilt		10	9/2018	GBP		1,624,084		2,496
NASDAQ 100 Emini Index		481	9/2018	USD		67,982,135		(1,485,219	)
Nikkei 225 Index		75	9/2018	JPY		15,099,580		(421	)
Palladium		9	9/2018	USD		855,810		(22,523	)
Russell 2000 E-Mini Index		928	9/2018	USD		76,444,000		(1,492,027	)
S&P 500 E-Mini Index		987	9/2018	USD		134,310,960		(2,334,431	)
S&P Midcap 400 E-Mini Index		58	9/2018	USD		11,345,380		(131,721	)

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

AQR Funds Semi-Annual Report June 2018

24

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
S&P/TSX 60 Index		147		9/2018	CAD		$ 21,542,631			$ 153,655
SPI 200 Index		236		9/2018	AUD		26,843,981			287,519
TOPIX Index		330		9/2018	JPY		51,579,732			(268,037	)
3 Month Euroswiss		60		12/2018	CHF		15,257,498			(1,405	)
3 Month Sterling		29		12/2018	GBP		4,742,472			(308	)
Cotton No. 2		9		12/2018	USD		377,640			(4,255	)
3 Month Euroswiss		44		3/2019	CHF		11,186,610			(872	)
3 Month Euro Euribor		455		6/2019	EUR		133,189,269			5,181
3 Month Euroswiss		32		6/2019	CHF		8,131,677			3,666
3 Month Euro Euribor		551		9/2019	EUR		161,186,179			165,291
3 Month Euro Euribor		429		12/2019	EUR		125,409,371			168,196
3 Month Euro Euribor		404		3/2020	EUR		118,006,774			170,806
3 Month Euro Euribor		328		6/2020	EUR		95,730,872			91,947
										5,133,613
Short Contracts
Hang Seng Index		(107	)	7/2018	HKD		(19,588,572	)		(176,363	)
HSCEI		(399	)	7/2018	HKD		(27,637,982	)		134,578
LME Aluminum Base Metal		(5	)	7/2018	USD		(268,812	)		41,985
LME Aluminum Base Metal		(5	)	7/2018	USD		(268,469	)		43,516
LME Aluminum Base Metal		(7	)	7/2018	USD		(377,781	)		1,073
LME Aluminum Base Metal		(10	)	7/2018	USD		(538,937	)		(40,268	)
LME Aluminum Base Metal		(10	)	7/2018	USD		(541,000	)		75,220
LME Aluminum Base Metal		(12	)	7/2018	USD		(648,075	)		20,290
LME Aluminum Base Metal		(12	)	7/2018	USD		(648,990	)		69,625
LME Aluminum Base Metal		(12	)	7/2018	USD		(646,050	)		(40,040	)
LME Aluminum Base Metal		(12	)	7/2018	USD		(648,780	)		48,085
LME Aluminum Base Metal		(13	)	7/2018	USD		(701,837	)		35,874
LME Aluminum Base Metal		(13	)	7/2018	USD		(702,162	)		56,024
LME Aluminum Base Metal		(23	)	7/2018	USD		(1,239,125	)		(94,435	)
LME Copper Base Metal		(1	)	7/2018	USD		(165,825	)		4,318
LME Copper Base Metal		(1	)	7/2018	USD		(165,929	)		4,943
LME Copper Base Metal		(1	)	7/2018	USD		(165,950	)		7,422
LME Copper Base Metal		(1	)	7/2018	USD		(165,846	)		5,383
LME Copper Base Metal		(2	)	7/2018	USD		(331,512	)		16,508
LME Copper Base Metal		(2	)	7/2018	USD		(331,535	)		10,199
LME Copper Base Metal		(2	)	7/2018	USD		(331,506	)		17,538
LME Copper Base Metal		(2	)	7/2018	USD		(331,500	)		18,094
LME Copper Base Metal		(2	)	7/2018	USD		(331,250	)		8,892
LME Copper Base Metal		(2	)	7/2018	USD		(331,608	)		16,386
LME Copper Base Metal		(2	)	7/2018	USD		(331,575	)		17,219
LME Copper Base Metal		(3	)	7/2018	USD		(497,350	)		23,468
LME Copper Base Metal		(3	)	7/2018	USD		(497,250	)		25,866
LME Copper Base Metal		(4	)	7/2018	USD		(662,683	)		14,818
LME Nickel Base Metal		(1	)	7/2018	USD		(89,013	)		(851	)
LME Nickel Base Metal		(1	)	7/2018	USD		(89,045	)		(3,719	)
LME Nickel Base Metal		(1	)	7/2018	USD		(88,954	)		(10,561	)
LME Nickel Base Metal		(1	)	7/2018	USD		(89,009	)		(5,102	)
LME Nickel Base Metal		(1	)	7/2018	USD		(88,938	)		(7,599	)
LME Nickel Base Metal		(2	)	7/2018	USD		(178,052	)		(1,646	)
LME Nickel Base Metal		(2	)	7/2018	USD		(177,962	)		(12,668	)
LME Nickel Base Metal		(2	)	7/2018	USD		(177,898	)		(20,703	)
LME Nickel Base Metal		(3	)	7/2018	USD		(266,927	)		(22,001	)
LME Nickel Base Metal		(3	)	7/2018	USD		(267,193	)		(14,627	)
LME Nickel Base Metal		(3	)	7/2018	USD		(267,155	)		(10,019	)

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

AQR Funds Semi-Annual Report June 2018

25

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Nickel Base Metal		(4	)	7/2018	USD		$ (356,361	)		$ (25,034	)
LME Nickel Base Metal		(4	)	7/2018	USD		(356,232	)		(18,163	)
LME Zinc Base Metal		(1	)	7/2018	USD		(72,587	)		8,011
LME Zinc Base Metal		(1	)	7/2018	USD		(72,475	)		8,510
LME Zinc Base Metal		(1	)	7/2018	USD		(72,076	)		5,740
LME Zinc Base Metal		(2	)	7/2018	USD		(145,250	)		16,623
LME Zinc Base Metal		(2	)	7/2018	USD		(144,875	)		10,693
LME Zinc Base Metal		(2	)	7/2018	USD		(145,325	)		18,758
LME Zinc Base Metal		(3	)	7/2018	USD		(216,862	)		25,082
LME Zinc Base Metal		(4	)	7/2018	USD		(289,300	)		24,640
LME Zinc Base Metal		(4	)	7/2018	USD		(289,600	)		22,024
LME Zinc Base Metal		(5	)	7/2018	USD		(361,812	)		30,279
LME Zinc Base Metal		(5	)	7/2018	USD		(362,562	)		41,850
MSCI Singapore Index		(74	)	7/2018	SGD		(1,987,817	)		(268	)
MSCI Taiwan Index		(267	)	7/2018	USD		(10,348,920	)		(101,004	)
100 oz Gold		(441	)	8/2018	USD		(55,323,450	)		448,223
Lean Hogs		(7	)	8/2018	USD		(214,060	)		(3,177	)
Live Cattle		(11	)	8/2018	USD		(469,590	)		(11,731	)
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,197	)		3,437
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,242	)		3,501
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,193	)		3,716
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,186	)		3,949
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,182	)		3,665
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,162	)		5,085
LME Aluminum Base Metal		(1	)	8/2018	USD		(53,175	)		4,522
LME Aluminum Base Metal		(2	)	8/2018	USD		(106,379	)		6,665
LME Aluminum Base Metal		(2	)	8/2018	USD		(106,332	)		8,565
LME Aluminum Base Metal		(4	)	8/2018	USD		(212,882	)		15,290
LME Copper Base Metal		(1	)	8/2018	USD		(165,750	)		6,297
LME Copper Base Metal		(1	)	8/2018	USD		(165,627	)		6,195
LME Copper Base Metal		(1	)	8/2018	USD		(165,800	)		6,747
LME Copper Base Metal		(1	)	8/2018	USD		(165,767	)		5,952
LME Copper Base Metal		(1	)	8/2018	USD		(165,625	)		5,822
LME Copper Base Metal		(1	)	8/2018	USD		(165,623	)		7,962
LME Copper Base Metal		(2	)	8/2018	USD		(331,553	)		9,966
LME Copper Base Metal		(2	)	8/2018	USD		(331,325	)		8,920
LME Copper Base Metal		(2	)	8/2018	USD		(331,242	)		13,004
LME Copper Base Metal		(3	)	8/2018	USD		(496,838	)		18,404
LME Copper Base Metal		(3	)	8/2018	USD		(497,321	)		8,414
LME Copper Base Metal		(5	)	8/2018	USD		(828,898	)		29,802
LME Copper Base Metal		(6	)	8/2018	USD		(993,851	)		33,534
LME Nickel Base Metal		(1	)	8/2018	USD		(89,198	)		(2,417	)
LME Nickel Base Metal		(1	)	8/2018	USD		(89,187	)		(2,904	)
LME Nickel Base Metal		(1	)	8/2018	USD		(89,221	)		(1,024	)
LME Nickel Base Metal		(2	)	8/2018	USD		(178,405	)		(2,521	)
LME Nickel Base Metal		(4	)	8/2018	USD		(357,074	)		8,612
LME Nickel Base Metal		(4	)	8/2018	USD		(356,412	)		(28,237	)
LME Nickel Base Metal		(4	)	8/2018	USD		(356,438	)		(22,356	)
LME Nickel Base Metal		(8	)	8/2018	USD		(712,927	)		(42,774	)
LME Zinc Base Metal		(1	)	8/2018	USD		(71,934	)		5,287
LME Zinc Base Metal		(1	)	8/2018	USD		(71,864	)		4,203
LME Zinc Base Metal		(1	)	8/2018	USD		(71,547	)		5,633
Canada 10 Year Bond		(70	)	9/2018	CAD		(7,279,276	)		(152,705	)
Coffee ‘C’		(16	)	9/2018	USD		(690,600	)		8,703
Euro-BTP		(349	)	9/2018	EUR		(51,858,214	)		(690,963	)

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

AQR Funds Semi-Annual Report June 2018

26

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
KC HRW Wheat		(139	)	9/2018	USD		$ (3,395,075	)		$ 77,639
KOSPI 200 Index		(475	)	9/2018	KRW		(31,965,007	)		691,256
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,290	)		2,132
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,269	)		1,118
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,276	)		972
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,270	)		3,654
LME Aluminum Base Metal		(1	)	9/2018	USD		(53,325	)		518
LME Aluminum Base Metal		(2	)	9/2018	USD		(106,487	)		9,928
LME Aluminum Base Metal		(3	)	9/2018	USD		(159,719	)		14,593
LME Aluminum Base Metal		(10	)	9/2018	USD		(532,937	)		43,582
LME Copper Base Metal		(1	)	9/2018	USD		(165,708	)		14,044
LME Copper Base Metal		(1	)	9/2018	USD		(165,738	)		9,235
LME Copper Base Metal		(1	)	9/2018	USD		(165,638	)		4,610
LME Copper Base Metal		(1	)	9/2018	USD		(165,650	)		387
LME Copper Base Metal		(1	)	9/2018	USD		(165,701	)		14,911
LME Copper Base Metal		(1	)	9/2018	USD		(165,638	)		2,110
LME Copper Base Metal		(1	)	9/2018	USD		(165,625	)		2,585
LME Copper Base Metal		(2	)	9/2018	USD		(331,313	)		33,409
LME Copper Base Metal		(2	)	9/2018	USD		(331,309	)		27,651
LME Copper Base Metal		(2	)	9/2018	USD		(331,250	)		9,094
LME Copper Base Metal		(3	)	9/2018	USD		(496,956	)		29,883
LME Copper Base Metal		(15	)	9/2018	USD		(2,485,500	)		148,804
LME Nickel Base Metal		(1	)	9/2018	USD		(89,374	)		1,823
LME Nickel Base Metal		(1	)	9/2018	USD		(89,396	)		(2,039	)
LME Nickel Base Metal		(2	)	9/2018	USD		(178,584	)		8,220
LME Nickel Base Metal		(2	)	9/2018	USD		(178,595	)		9,856
LME Nickel Base Metal		(8	)	9/2018	USD		(714,936	)		24,729
MSCI EAFE E-Mini Index		(88	)	9/2018	USD		(8,603,760	)		(20,601	)
MSCI Emerging Markets E-Mini Index		(409	)	9/2018	USD		(21,744,485	)		(244,828	)
Silver		(78	)	9/2018	USD		(6,317,220	)		(1,161	)
Sugar No. 11		(851	)	9/2018	USD		(11,675,720	)		235,276
U.S. Treasury 10 Year Note		(2,303	)	9/2018	USD		(276,791,812	)		(2,154,070	)
U.S. Treasury 2 Year Note		(822	)	9/2018	USD		(174,122,719	)		8,754
U.S. Treasury 5 Year Note		(5,216	)	9/2018	USD		(592,627,250	)		(3,260,765	)
Wheat		(236	)	9/2018	USD		(5,914,750	)		(18,359	)
Platinum		(118	)	10/2018	USD		(5,060,430	)		78,037
Soybean		(55	)	11/2018	USD		(2,420,000	)		54,522
3 Month Canadian Bankers Acceptance		(5	)	12/2018	CAD		(930,666	)		(939	)
3 Month Euro Euribor		(377	)	12/2018	EUR		(110,378,836	)		(18,321	)
3 Month Eurodollar		(1,271	)	12/2018	USD		(309,361,400	)		965,612
ASX 90 Day Bank Accepted Bill		(208	)	12/2018	AUD		(153,175,010	)		(10,560	)
Soybean Meal		(170	)	12/2018	USD		(5,608,300	)		126,589
Soybean Oil		(74	)	12/2018	USD		(1,320,456	)		39,659
3 Month Canadian Bankers Acceptance		(103	)	3/2019	CAD		(19,143,318	)		(8,189	)
3 Month Eurodollar		(1,198	)	3/2019	USD		(291,233,800	)		832,523
ASX 90 Day Bank Accepted Bill		(171	)	3/2019	AUD		(125,921,353	)		(9,749	)
3 Month Eurodollar		(1,166	)	6/2019	USD		(283,177,675	)		654,096
3 Month Sterling		(4	)	6/2019	GBP		(653,276	)		(331	)
3 Month Eurodollar		(1,162	)	9/2019	USD		(282,017,400	)		513,728
3 Month Eurodollar		(1,171	)	12/2019	USD		(284,069,962	)		357,551
3 Month Eurodollar		(1,190	)	3/2020	USD		(288,634,500	)		37,074
3 Month Eurodollar		(1,070	)	6/2020	USD		(259,528,500	)		(63,307	)
										(659,326	)
										$4,474,287

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

AQR Funds Semi-Annual Report June 2018

27

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Forward foreign currency contracts outstanding as of June 30, 2018:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	11,684,000	USD	8,611,044	CITI		9/19/2018		$37,780
AUD	17,526,000	USD	12,916,582	JPMC		9/19/2018		56,654
BRL	347,200	USD	88,174	CITI**		9/19/2018		676
BRL	520,800	USD	132,261	JPMC**		9/19/2018		1,013
CHF	99,600	USD	100,640	CITI		9/19/2018		631
CHF	149,400	USD	150,960	JPMC		9/19/2018		946
COP	212,897,600	USD	72,113	CITI**		9/19/2018		256
COP	319,346,400	USD	108,169	JPMC**		9/19/2018		384
EUR	68,026,800	USD	79,426,975	CITI		9/19/2018		493,291
EUR	102,040,199	USD	119,140,610	JPMC		9/19/2018		739,786
GBP	2,367,600	USD	3,123,900	CITI		9/19/2018		11,837
GBP	3,551,400	USD	4,685,856	JPMC		9/19/2018		17,749
HKD	5,532,000	USD	705,882	CITI		9/19/2018		169
HKD	8,298,000	USD	1,058,809	JPMC		9/19/2018		268
IDR	3,101,529,702	USD	212,377	CITI**		9/19/2018		1,790
IDR	4,652,294,554	USD	318,566	JPMC**		9/19/2018		2,685
JPY	750,438,810	USD	6,814,824	CITI		9/19/2018		1,106
JPY	1,125,658,214	USD	10,222,249	JPMC		9/19/2018		1,646
KRW	1,307	USD	1	CITI**		9/19/2018		—
NOK	2,373,000	USD	290,396	CITI		9/19/2018		1,898
NOK	3,559,500	USD	435,595	JPMC		9/19/2018		2,846
TRY	9,363,600	USD	1,948,033	CITI		9/19/2018		22,369
TRY	14,045,400	USD	2,925,469	JPMC		9/19/2018		30,133
USD	59,097,010	AUD	78,182,400	CITI		9/19/2018		1,224,211
USD	88,645,405	AUD	117,273,600	JPMC		9/19/2018		1,836,207
USD	8,105,406	BRL	30,461,431	CITI**		9/19/2018		310,262
USD	12,158,096	BRL	45,692,151	JPMC**		9/19/2018		465,377
USD	639,583	CAD	830,400	CITI		9/19/2018		7,077
USD	959,374	CAD	1,245,600	JPMC		9/19/2018		10,613
USD	88,256	CHF	86,320	CITI		9/19/2018		488
USD	132,384	CHF	129,480	JPMC		9/19/2018		732
USD	757,428	COP	2,203,240,383	CITI**		9/19/2018		8,495
USD	1,136,140	COP	3,304,860,577	JPMC**		9/19/2018		12,742
USD	159,359,734	EUR	134,944,800	CITI		9/19/2018		821,861
USD	239,039,302	EUR	202,417,200	JPMC		9/19/2018		1,232,493
USD	3	GBP	2	JPMC		9/19/2018		—
USD	316,821	HKD	2,480,400	CITI		9/19/2018		246
USD	475,231	HKD	3,720,600	JPMC		9/19/2018		369
USD	4,762,368	HUF	1,290,768,414	CITI		9/19/2018		163,563
USD	7,143,542	HUF	1,936,152,618	JPMC		9/19/2018		245,334
USD	2,366,687	IDR	33,602,583,740	CITI**		9/19/2018		46,362
USD	3,550,027	IDR	50,403,875,606	JPMC**		9/19/2018		69,538
USD	3,543,457	INR	244,146,000	CITI**		9/19/2018		16,342
USD	5,315,227	INR	366,219,000	JPMC**		9/19/2018		24,555
USD	63,694,637	JPY	6,965,512,867	CITI		9/19/2018		429,718
USD	95,541,836	JPY	10,448,269,305	JPMC		9/19/2018		644,458
USD	12,064,828	KRW	13,305,094,200	CITI**		9/19/2018		87,757
USD	18,097,220	KRW	19,957,641,304	JPMC**		9/19/2018		131,612
USD	1	MXN	16	JPMC		9/19/2018		—
USD	789,641	NOK	6,377,600	CITI		9/19/2018		4,083
USD	1,184,461	NOK	9,566,400	JPMC		9/19/2018		6,122
USD	65,032,688	NZD	94,122,800	CITI		9/19/2018		1,278,523
USD	97,548,911	NZD	141,184,200	JPMC		9/19/2018		1,917,662

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

AQR Funds Semi-Annual Report June 2018

28

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	1,023,185	PHP	54,299,200	CITI**		9/19/2018		$ 12,326
USD	1,534,775	PHP	81,448,800	JPMC**		9/19/2018		18,487
USD	17,117,935	PLN	62,916,400	CITI		9/19/2018		299,306
USD	27,118,058	PLN	99,748,799	JPMC		9/19/2018		453,500
USD	23,897,699	SEK	207,702,800	CITI		9/19/2018		566,373
USD	35,846,504	SEK	311,554,200	JPMC		9/19/2018		849,515
USD	4,961,452	SGD	6,704,400	CITI		9/19/2018		32,369
USD	7,523,767	SGD	10,166,400	JPMC		9/19/2018		49,417
USD	381,505	TRY	1,789,600	CITI		9/19/2018		4,916
USD	572,257	TRY	2,684,400	JPMC		9/19/2018		7,373
USD	10,825,233	TWD	322,208,800	CITI**		9/19/2018		199,690
USD	16,237,819	TWD	483,313,200	JPMC**		9/19/2018		299,503
USD	21,866,549	ZAR	292,631,600	CITI		9/19/2018		753,380
USD	32,799,782	ZAR	438,947,400	JPMC		9/19/2018		1,130,030
USD	4,635,597	CLP	2,975,238,042	CITI**		9/20/2018		82,287
USD	6,953,387	CLP	4,462,857,070	JPMC**		9/20/2018		123,422
USD	2,748,878	ILS	9,895,196	CITI		9/20/2018		28,539
USD	4,123,314	ILS	14,842,804	JPMC		9/20/2018		42,803
Total unrealized appreciation								17,375,951
AUD	103,430,800	USD	78,273,575	CITI		9/19/2018		(1,711,204	)
AUD	155,146,200	USD	117,410,509	JPMC		9/19/2018		(2,566,953	)
BRL	4,444,800	USD	1,171,639	CITI**		9/19/2018		(34,206	)
BRL	6,667,200	USD	1,757,461	JPMC**		9/19/2018		(51,310	)
CAD	95,245,200	USD	73,824,871	CITI		9/19/2018		(1,277,657	)
CAD	142,867,800	USD	110,737,444	JPMC		9/19/2018		(1,916,624	)
COP	5,585,630,323	USD	1,938,570	CITI**		9/19/2018		(39,886	)
COP	8,378,445,485	USD	2,907,859	JPMC**		9/19/2018		(59,832	)
EUR	90,551,600	USD	107,238,233	CITI		9/19/2018		(855,046	)
EUR	135,827,398	USD	160,857,549	JPMC		9/19/2018		(1,282,769	)
GBP	4,514,800	USD	6,009,500	CITI		9/19/2018		(29,933	)
GBP	6,772,200	USD	9,015,461	JPMC		9/19/2018		(46,109	)
HUF	166,367,200	USD	613,539	CITI		9/19/2018		(20,798	)
HUF	249,550,800	USD	920,309	JPMC		9/19/2018		(31,199	)
IDR	41,212,247,653	USD	2,896,727	CITI**		9/19/2018		(50,939	)
IDR	61,818,371,483	USD	4,345,096	JPMC**		9/19/2018		(76,414	)
INR	448,369,609	USD	6,571,805	CITI**		9/19/2018		(94,323	)
INR	672,554,415	USD	9,857,826	JPMC**		9/19/2018		(141,603	)
JPY	10,544,366,412	USD	96,702,182	CITI		9/19/2018		(931,994	)
JPY	15,816,549,620	USD	145,053,455	JPMC		9/19/2018		(1,398,172	)
KRW	157,581,787	USD	147,543	CITI**		9/19/2018		(5,690	)
KRW	236,374,635	USD	221,317	JPMC**		9/19/2018		(8,536	)
MXN	10,841,600	USD	544,333	CITI		9/19/2018		(5,221	)
MXN	16,262,400	USD	816,501	JPMC		9/19/2018		(7,832	)
NOK	7,119,000	USD	882,690	CITI		9/19/2018		(5,809	)
NOK	10,678,500	USD	1,324,037	JPMC		9/19/2018		(8,715	)
NZD	48,092,400	USD	33,326,744	CITI		9/19/2018		(751,312	)
NZD	72,138,600	USD	49,990,411	JPMC		9/19/2018		(1,127,264	)
PHP	54,299,200	USD	1,024,196	CITI**		9/19/2018		(13,337	)
PHP	81,448,800	USD	1,536,295	JPMC**		9/19/2018		(20,008	)
PLN	32,970,800	USD	9,044,313	CITI		9/19/2018		(230,655	)
PLN	49,456,200	USD	13,583,832	JPMC		9/19/2018		(363,345	)
SEK	9,469,600	USD	1,102,999	CITI		9/19/2018		(39,275	)
SEK	14,204,400	USD	1,654,500	JPMC		9/19/2018		(58,915	)
SGD	11,475,200	USD	8,553,928	CITI		9/19/2018		(117,347	)
SGD	17,212,800	USD	12,830,908	JPMC		9/19/2018		(176,036	)
TRY	5,224,800	USD	1,109,486	CITI		9/19/2018		(10,022	)

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

AQR Funds Semi-Annual Report June 2018

29

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
TRY	7,837,200	USD	1,660,072	JPMC		9/19/2018		$ (10,874	)
TWD	47,668,000	USD	1,610,167	CITI**		9/19/2018		(38,210	)
TWD	71,502,000	USD	2,415,254	JPMC**		9/19/2018		(57,318	)
USD	38,759,932	AUD	52,510,800	CITI		9/19/2018		(110,031	)
USD	58,139,825	AUD	78,766,200	JPMC		9/19/2018		(165,120	)
USD	571,557	BRL	2,239,767	CITI**		9/19/2018		(1,605	)
USD	857,334	BRL	3,359,651	JPMC**		9/19/2018		(2,408	)
USD	92,603,066	CAD	122,781,600	CITI		9/19/2018		(918,319	)
USD	138,901,440	CAD	184,172,400	JPMC		9/19/2018		(1,380,635	)
USD	13,473	CHF	13,280	CITI		9/19/2018		(29	)
USD	20,210	CHF	19,920	JPMC		9/19/2018		(44	)
USD	609,301	COP	1,797,643,571	CITI**		9/19/2018		(1,759	)
USD	913,951	COP	2,696,465,357	JPMC**		9/19/2018		(2,640	)
USD	38,944,307	EUR	33,278,800	CITI		9/19/2018		(152,792	)
USD	58,416,388	EUR	49,918,200	JPMC		9/19/2018		(229,261	)
USD	11,156,731	GBP	8,460,400	CITI		9/19/2018		(48,535	)
USD	16,735,076	GBP	12,690,600	JPMC		9/19/2018		(72,824	)
USD	599,735	HKD	4,700,400	CITI		9/19/2018		(178	)
USD	899,601	HKD	7,050,600	JPMC		9/19/2018		(269	)
USD	108,205	HUF	30,533,200	CITI		9/19/2018		(581	)
USD	162,307	HUF	45,799,800	JPMC		9/19/2018		(870	)
USD	1,380,026	IDR	20,015,782,807	CITI**		9/19/2018		(2,104	)
USD	2,070,037	IDR	30,023,674,207	JPMC**		9/19/2018		(3,158	)
USD	11,573,257	INR	802,678,403	CITI**		9/19/2018		(22,834	)
USD	17,359,864	INR	1,204,017,605	JPMC**		9/19/2018		(34,273	)
USD	4,167,525	JPY	459,735,603	CITI		9/19/2018		(8,066	)
USD	6,251,280	JPY	689,603,405	JPMC		9/19/2018		(12,107	)
USD	7,189,154	KRW	8,019,769,421	CITI**		9/19/2018		(30,139	)
USD	10,783,718	KRW	12,029,654,131	JPMC**		9/19/2018		(45,222	)
USD	24,585,363	MXN	512,777,603	CITI		9/19/2018		(913,168	)
USD	36,877,998	MXN	769,166,405	JPMC		9/19/2018		(1,369,798	)
USD	381,838	NOK	3,114,400	CITI		9/19/2018		(1,778	)
USD	572,756	NOK	4,671,600	JPMC		9/19/2018		(2,667	)
USD	3,778,254	NZD	5,580,800	CITI		9/19/2018		(1,906	)
USD	5,667,375	NZD	8,371,200	JPMC		9/19/2018		(2,866	)
USD	2,710,075	PLN	10,186,800	CITI		9/19/2018		(13,030	)
USD	2,634,101	PLN	9,906,000	JPMC		9/19/2018		(13,942	)
USD	570,898	SEK	5,100,800	CITI		9/19/2018		(2,077	)
USD	856,346	SEK	7,651,200	JPMC		9/19/2018		(3,116	)
USD	2,838,591	SGD	3,870,000	CITI		9/19/2018		(6,638	)
USD	4,179,470	SGD	5,695,200	JPMC		9/19/2018		(7,648	)
USD	19,774,870	TRY	96,755,600	CITI		9/19/2018		(585,604	)
USD	29,662,268	TRY	145,133,400	JPMC		9/19/2018		(878,442	)
USD	654,957	TWD	19,912,000	CITI**		9/19/2018		(1,685	)
USD	982,435	TWD	29,868,000	JPMC**		9/19/2018		(2,528	)
USD	4,422,039	ZAR	61,694,400	CITI		9/19/2018		(29,169	)
USD	6,633,051	ZAR	92,541,600	JPMC		9/19/2018		(43,763	)
ZAR	196,099,200	USD	15,391,458	CITI		9/19/2018		(1,243,036	)
ZAR	294,148,800	USD	23,085,365	JPMC		9/19/2018		(1,862,732	)
CLP	2,496,160,048	USD	3,976,919	CITI**		9/20/2018		(156,791	)
CLP	3,744,240,072	USD	5,965,386	JPMC**		9/20/2018		(235,194	)
Total unrealized depreciation								(26,296,073	)
Net unrealized depreciation							$	(8,920,122	)

** Non-deliverable forward.

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

AQR Funds Semi-Annual Report June 2018

30

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—			$38,438,499		$38,438,499
CITI
Cash		(610,000	)		—		(610,000	)
Investment Companies		9,808,463			—		9,808,463
GSCO
Cash		—			7,133,148		7,133,148
GSIN
Investment Companies		835,498			—		835,498
JPMC
Investment Companies		25,800,288			—		25,800,288
JPMS
Cash		—			2,141,232		2,141,232
MLIN
Cash		30,093			—		30,093
MSCL
Cash		—			12,589,955		12,589,955

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

AQR Funds Semi-Annual Report June 2018

31

Consolidated Schedule of Investments June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Investment Companies		$1,484,654		$—			$1,484,654
GSCO
Cash		—		1,571,707			1,571,707
GSIN
Cash		3,010,180		—			3,010,180
JPPC
Cash		—		1,914,666			1,914,666
MACQ
Cash		1,040,000		—			1,040,000
MSCL
Cash		—		(5,932,021	)		(5,932,021	)
U.S. Treasury Bills		—		5,859,394			5,859,394
SOCG
Cash		1,380,276		—			1,380,276

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

CITI - Citibank NA

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

SOCG - Societe Generale

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

AQR Funds Semi-Annual Report June 2018

32

Consolidated Statements of Assets and Liabilities     June 30, 2018 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	8,659,596,343		$	556,868,617
Investments in securities of controlled affiliated issuers, at cost		366,699,608			—
Investments in securities of unaffiliated issuers, at value	$	8,659,764,905		$	556,870,119
Investments in securities of controlled affiliated issuers, at value		366,746,923			—
Cash		26,166,872			—
Cash denominated in foreign currencies‡		8,435,088			490,776
Unrealized appreciation on forward foreign currency exchange contracts		172,251,621			17,375,951
Unrealized appreciation on OTC swaps		29,176,302			3,132,871
Due from broker		65,074,025			5,576,705
Deposits with brokers for futures contracts		224,693,482			61,303,970
Variation margin on futures contracts		18,037,149			1,687,533
Receivables:
Securities sold		3,621,436,380			337,980,041
Dividends and interest		1,998,283			162,147
Capital shares sold		5,649,894			479,581
Prepaid expenses		252,467			54,250
Total Assets		13,199,683,391			985,113,944
LIABILITIES:
Due to custodian		—			1,168,076
Due to broker		2,720,597			813,683
Unrealized depreciation on forward foreign currency exchange contracts		261,211,063			26,296,073
Unrealized depreciation on OTC swaps		17,185,051			1,729,408
Deposits from brokers for futures contracts		4,025,111			—
Variation margin on futures contracts		6,551,413			660,030
Payables:		—			—
Securities purchased		3,621,901,224			338,027,724
Accrued investment advisory fees		8,358,779			747,580
Accrued distribution fees—Class N		606,920			16,310
Accrued Trustee fees		4,122			569
Capital shares redeemed		29,111,373			421,090
Other accrued expenses and liabilities		3,416,001			125,432
Total Liabilities		3,955,091,654			370,005,975
Net Assets	$	9,244,591,737		$	615,107,969
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	10,228,091,075		$	708,182,894
Undistributed accumulated net investment income (loss)		(13,913,197	)		(3,581,781	)
Undistributed accumulated net realized gain (loss)		(930,733,618	)		(86,548,412	)
Net unrealized appreciation (depreciation)		(38,852,523	)		(2,944,732	)
Net Assets	$	9,244,591,737		$	615,107,969
NET ASSETS:
Class I	$	4,966,241,034		$	301,838,555
Class N		2,707,916,639			78,537,325
Class R6		1,570,434,064			234,732,089
SHARES OUTSTANDING:
Class I		570,113,530			36,336,923
Class N		315,715,795			9,552,646
Class R6		180,031,925			28,197,047
NET ASSET VALUE:
Class I	$	8.71		$	8.31
Class N	$	8.58		$	8.22
Class R6	$	8.72		$	8.32
‡  Cash denominated in foreign currencies at cost	$	8,394,085		$	490,256

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Semi-Annual Report June 2018

33

Consolidated Statements of Operations June 30, 2018 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†		$7,866,814			$1,030,327
Controlled affiliated issuers		4,775,036			—
Interest income		67,791,535			4,259,922
Total Income		80,433,385			5,290,249
EXPENSES:
Investment advisory fees		55,466,498			5,295,825
Custody fees		285,243			77,318
Administration & accounting fees		1,635,648			101,869
Legal fees		104,334			7,168
Audit & tax fees		54,551			54,899
Shareholder reporting fees		389,427			28,755
Transfer agent fees		4,033,644			231,353
Trustee fees		172,416			15,120
Distribution fees—Class N		4,114,576			111,833
Recoupment of waiver		—			38,975
Registration fees		118,514			57,545
Other expenses		160,514			11,034
Total Expenses		66,535,365			6,031,694
Less fee waivers and/or reimbursements		—			(37,259	)
Net Expenses		66,535,365			5,994,435
Net Investment Income (Loss)		13,898,020			(704,186	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(11,483	)		(1,851	)
Transactions in investment securities of controlled affiliated issuers		21,808			—
Settlement of foreign currency and foreign currency transactions		(11,443,978	)		(1,074,518	)
Settlement of forward foreign currency contracts		(331,779,844	)		(33,649,055	)
Expiration or closing of futures contracts		20,343,047			(2,509,178	)
Expiration or closing of swap contracts		(132,944,379	)		(14,172,813	)
Net realized gain (loss)		(455,814,829	)		(51,407,415	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		1,645,634			47,763
Transactions in investment securities of controlled affiliated issuers		47,315			—
Foreign currency and foreign currency transactions		1,077,569			128,229
Forward foreign currency exchange contracts		(46,819,913	)		(4,823,656	)
Futures contracts		(148,910,399	)		(13,528,166	)
Swap contracts		8,095,663			1,063,011
Net change in unrealized appreciation (depreciation)		(184,864,131	)		(17,112,819	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(640,678,960	)		(68,520,234	)
Net increase (decrease) in net assets resulting from operations		($626,780,940	)		($69,224,420	)
†  Net of foreign taxes withheld of		$204,106			$—

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Semi-Annual Report June 2018

34

Consolidated Statements of Changes in Net Assets June 30, 2018

	AQR MANAGED FUTURES STRATEGY FUND **						AQR MANAGED FUTURES STRATEGY HV FUND **
	FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)		$13,898,020			$(53,053,526	)		$(704,186	)		$(6,269,361	)
Net realized gain (loss)		(455,814,829	)		(286,092,542	)		(51,407,415	)		(21,492,358	)
Net change in unrealized appreciation (depreciation)		(184,864,131	)		175,069,336			(17,112,819	)		16,127,707
Net increase (decrease) in net assets resulting from operations		(626,780,940	)		(164,076,732	)		(69,224,420	)		(11,634,012	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,082,801,337			2,926,054,708			75,366,305			412,207,460
Cost of shares redeemed		(1,737,267,275	)		(4,509,138,890	)		(202,732,783	)		(355,005,253	)
Net increase (decrease) from capital transactions		(654,465,938	)		(1,583,084,182	)		(127,366,478	)		57,202,207
CLASS N
Proceeds from shares sold		519,871,598			1,361,742,244			22,396,880			51,469,716
Cost of shares redeemed		(937,346,622	)		(1,329,701,417	)		(33,524,557	)		(65,942,623	)
Net increase (decrease) from capital transactions		(417,475,024	)		32,040,827			(11,127,677	)		(14,472,907	)
CLASS R6
Proceeds from shares sold		316,505,880			1,164,399,126			56,924,318			106,785,812
Cost of shares redeemed		(496,535,929	)		(484,097,033	)		(56,297,644	)		(47,165,170	)
Net increase (decrease) from capital transactions		(180,030,049	)		680,302,093			626,674			59,620,642
Net increase (decrease) in net assets resulting from capital transactions		(1,251,971,011	)		(870,741,262	)		(137,867,481	)		102,349,942
Total increase (decrease) in net assets		(1,878,751,951	)		(1,034,817,994	)		(207,091,901	)		90,715,930
NET ASSETS:
Beginning of period		11,123,343,688			12,158,161,682			822,199,870			731,483,940
End of period		$9,244,591,737			$11,123,343,688			$615,107,969			$822,199,870
Undistributed accumulated net investment income (loss)		$(13,913,197	)		$(27,811,217	)		$(3,581,781	)		$(2,877,595	)
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		645,147,269			821,325,811			50,683,732			44,297,366
Shares sold		118,643,046			320,666,048			8,608,149			46,169,310
Shares redeemed		(193,676,785	)		(496,844,590	)		(22,954,958	)		(39,782,944	)
Shares outstanding, end of period		570,113,530			645,147,269			36,336,923			50,683,732
CLASS N
Shares outstanding, beginning of period		365,313,253			361,866,517			10,760,367			12,612,500
Shares sold		58,273,892			151,983,418			2,584,709			5,702,778
Shares redeemed		(107,871,350	)		(148,536,682	)		(3,792,430	)		(7,554,911	)
Shares outstanding, end of period		315,715,795			365,313,253			9,552,646			10,760,367
CLASS R6
Shares outstanding, beginning of period		199,171,371			125,447,820			28,585,910			21,880,192
Shares sold		34,639,666			126,885,629			6,184,887			12,000,063
Shares redeemed		(53,779,112	)		(53,162,078	)		(6,573,750	)		(5,294,345	)
Shares outstanding, end of period		180,031,925			199,171,371			28,197,047			28,585,910

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Semi-Annual Report June 2018

35

Consolidated Financial Highlights June 30, 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 MANAGED FUTURES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.23		0.01			(0.53	)		(0.52	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.32		(0.03	)		(0.06	)		(0.09	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.18		(0.08	)		(0.78	)		(0.86	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.63		(0.12	)		0.34			0.22			(0.46	)		(0.21	)		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.59		(0.12	)		1.13			1.01			(0.44	)		(0.53	)		(0.97	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.78		(0.12	)		1.04			0.92			—			(0.11	)		(0.11	)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.10		0.00	5		(0.52	)		(0.52	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.21		(0.06	)		(0.05	)		(0.11	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.09		(0.11	)		(0.77	)		(0.88	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.54		(0.15	)		0.34			0.19			(0.43	)		(0.21	)		(0.64	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.51		(0.15	)		1.11			0.96			(0.40	)		(0.53	)		(0.93	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.73		(0.15	)		1.04			0.89			—			(0.11	)		(0.11	)
AQR MANAGED FUTURES STRATEGY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.24		0.02			(0.54	)		(0.52	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.32		(0.02	)		(0.06	)		(0.08	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.18		(0.07	)		(0.79	)		(0.86	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.62		(0.11	)		0.34			0.23			(0.46	)		(0.21	)		(0.67	)
FOR THE PERIOD 9/02/146-12/31/14		$10.28		(0.04	)		1.36			1.32			(0.45	)		(0.53	)		(0.98	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.14		(0.01	)		(0.82	)		(0.83	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.29		(0.08	)		(0.07	)		(0.15	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.70		(0.13	)		(1.28	)		(1.41	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.18	)		0.46			0.28			(0.51	)		(0.30	)		(0.81	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.80		(0.17	)		1.72			1.55			(0.86	)		(0.26	)		(1.12	)
FOR THE PERIOD 7/16/138-12/31/13		$10.00		(0.08	)		0.89			0.81			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.06		(0.02	)		(0.82	)		(0.84	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.23		(0.10	)		(0.07	)		(0.17	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.66		(0.16	)		(1.27	)		(1.43	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.21		(0.21	)		0.46			0.25			(0.50	)		(0.30	)		(0.80	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.79		(0.19	)		1.71			1.52			(0.84	)		(0.26	)		(1.10	)
FOR THE PERIOD 7/16/138-12/31/13		$10.00		(0.09	)		0.89			0.80			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)		$9.15		(0.00	)5		(0.83	)		(0.83	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.30		(0.07	)		(0.08	)		(0.15	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.70		(0.13	)		(1.27	)		(1.40	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.17	)		0.46			0.29			(0.52	)		(0.30	)		(0.82	)
FOR THE PERIOD 9/02/146-12/31/14		$10.33		(0.06	)		2.09			2.03			(0.87	)		(0.26	)		(1.13	)

* Annualized for periods less than one year.

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

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

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

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

5 Amount is less than $.005 per share.

6 Commencement of offering of shares.

7 Certain expenses incurred by the Fund were not annualized for the period.

8 Commencement of operations.

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

AQR Funds Semi-Annual Report June 2018

36

Consolidated Financial Highlights June 30, 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 Rate
	$8.71		(5.63	)%		$4,966,241		1.19	%		1.19	%		1.19	%		0.33	%		0	%
	$9.23		(0.97	)%		$5,956,726		1.19	%		1.19	%		1.19	%		(0.38	)%		0	%
	$9.32		(8.43	)%		$7,654,491		1.20	%		1.20	%		1.20	%		(0.81	)%		0	%
	$10.18		2.00	%		$7,778,072		1.21	%		1.21	%		1.21	%		(1.11	)%		0	%
	$10.63		9.69	%		$5,633,607		1.23	%		1.23	%		1.23	%		(1.20	)%		0	%
	$10.59		9.40	%		$4,506,181		1.23	%		1.23	%		1.23	%		(1.22	)%		0	%
	$8.58		(5.71	)%		$2,707,917		1.46	%		1.46	%		1.46	%		0.07	%		0	%
	$9.10		(1.19	)%		$3,325,717		1.46	%		1.46	%		1.46	%		(0.63	)%		0	%
	$9.21		(8.71	)%		$3,334,207		1.48	%		1.48	%		1.47	%		(1.08	)%		0	%
	$10.09		1.75	%		$1,588,011		1.47	%		1.47	%		1.47	%		(1.38	)%		0	%
	$10.54		9.34	%		$1,310,969		1.50	%		1.50	%		1.50	%		(1.47	)%		0	%
	$10.51		9.14	%		$1,408,085		1.50	%		1.50	%		1.50	%		(1.48	)%		0	%
	$8.72		(5.63	)%		$1,570,434		1.11	%		1.11	%		1.11	%		0.42	%		0	%
	$9.24		(0.86	)%		$1,840,901		1.11	%		1.11	%		1.11	%		(0.27	)%		0	%
	$9.32		(8.43	)%		$1,169,464		1.13	%		1.13	%		1.13	%		(0.73	)%		0	%
	$10.18		2.16	%		$240,185		1.13	%		1.13	%		1.13	%		(1.01	)%		0	%
	$10.62		12.99	%		$113		1.16	%		1.15	%		1.15	%		(1.11	)%		0	%
	$8.31		(9.08	)%		$301,839		1.64	%		1.64	%		1.64	%		(0.20	)%		0	%
	$9.14		(1.61	)%		$463,124		1.64	%		1.64	%		1.64	%		(0.85	)%		0	%
	$9.29		(13.17	)%		$411,599		1.66	%		1.64	%		1.64	%		(1.29	)%		0	%
	$10.70		2.48	%		$258,691		1.65	%		1.61	%		1.61	%		(1.52	)%		0	%
	$11.23		14.68	%		$146,261		1.76	%7		1.65	%		1.65	%		(1.62	)%		0	%
	$10.80		8.14	%		$37,078		2.51	%7		1.68	%		1.65	%		(1.66	)%		0	%
	$8.22		(9.27	)%		$78,537		1.91	%		1.90	%		1.90	%		(0.45	)%		0	%
	$9.06		(1.84	)%		$97,440		1.90	%		1.90	%		1.90	%		(1.13	)%		0	%
	$9.23		(13.40	)%		$116,422		1.91	%		1.90	%		1.90	%		(1.55	)%		0	%
	$10.66		2.19	%		$137,115		1.92	%		1.89	%		1.89	%		(1.78	)%		0	%
	$11.21		14.37	%		$9,367		2.12	%7		1.90	%		1.90	%		(1.88	)%		0	%
	$10.79		8.04	%		$1,644		4.03	%7		1.93	%		1.90	%		(1.92	)%		0	%
	$8.32		(9.07	)%		$234,732		1.56	%		1.55	%		1.55	%		(0.10	)%		0	%
	$9.15		(1.61	)%		$261,636		1.55	%		1.55	%		1.55	%		(0.75	)%		0	%
	$9.30		(13.07	)%		$203,463		1.57	%		1.55	%		1.55	%		(1.20	)%		0	%
	$10.70		2.54	%		$133,722		1.59	%		1.55	%		1.55	%		(1.45	)%		0	%
	$11.23		19.94	%		$45,436		1.68	%7		1.55	%		1.55	%		(1.52	)%		0	%

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

AQR Funds Semi-Annual Report June 2018

37

Notes to Consolidated Financial Statements June 30, 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 June 30, 2018, the Trust consists of thirty-nine active series, two of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.

The investment objective of the AQR Managed Futures Strategy Fund and the AQR Managed Futures Strategy HV Fund is to seek positive absolute returns. Each fund offers Class I, Class N and Class R6 shares.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets and the Financial Highlights of the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund (“Consolidated Funds”) include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., and AQR Managed Futures Strategy HV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	SUBSIDIARY NET ASSETS AT JUNE 30, 2018		% OF TOTAL NET ASSETS AT JUNE 30, 2018
AQR Managed Futures Strategy Offshore Fund Ltd	$	2,187,119,659		23.7	%
AQR Managed Futures Strategy HV Offshore Fund Ltd		143,662,152		23.4	%

3. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

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

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

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Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

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.

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.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of June 30, 2018, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the (“the Code”) and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.

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Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.

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

4. Securities and Other Investments

Limited Purpose Cash Investment Fund: Certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising a controlling influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments, if applicable.

Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not receive the return of the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as net change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For 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 upfront payment or receipt, market value will equal unrealized appreciation (depreciation). Payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration at a periodic reset date 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

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Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to potential unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) 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.

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 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 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).

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 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. Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.

5. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class

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Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

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 Adviser has established a Valuation Committee (the “VC”) to assist the board with oversight and monitoring of the valuation of the Funds’ investments. This includes administering, implementing and overseeing 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.

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, or composite in which each security trades and are therefore classified Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government

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Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the fair value hierarchy.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.

The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

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Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR MANAGED FUTURES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	9,026,511,828		$	—	$	9,026,511,828
Futures Contracts*		207,368,324			—			—		207,368,324
Forward Foreign Currency Exchange Contracts*		—			172,251,621			—		172,251,621
Total Return Swaps Contracts*		—			29,176,302			—		29,176,302
Total Assets	$	207,368,324		$	9,227,939,751		$	—	$	9,435,308,075
LIABILITIES
Futures Contracts*	$	(170,575,492	)	$	—		$	—	$	(170,575,492	)
Forward Foreign Currency Exchange Contracts*		—			(261,211,063	)		—		(261,211,063	)
Total Return Swaps Contracts*		—			(17,185,051	)		—		(17,185,051	)
Total Liabilities	$	(170,575,492	)	$	(278,396,114	)	$	—	$	(448,971,606	)
AQR MANAGED FUTURES STRATEGY HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	—		$	556,870,119		$	—	$	556,870,119
Futures Contracts*		20,916,668			—			—		20,916,668
Forward Foreign Currency Exchange Contracts*		—			17,375,951			—		17,375,951
Total Return Swaps Contracts*		—			3,132,871			—		3,132,871
Total Assets	$	20,916,668		$	577,378,941		$	—	$	598,295,609
LIABILITIES
Futures Contracts*	$	(16,442,381	)	$	—		$	—	$	(16,442,381	)
Forward Foreign Currency Exchange Contracts*		—			(26,296,073	)		—		(26,296,073	)
Total Return Swaps Contracts*		—			(1,729,408	)		—		(1,729,408	)
Total Liabilities	$	(16,442,381	)	$	(28,025,481	)	$	—	$	(44,467,862	)

* Derivative instruments, including futures, total return swap, and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the period ended June 30, 2018, there were no transfers between levels for any of the Funds. There were no Level 3 securities held at period end.

6. Federal Income Tax Matters

At June 30, 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 Managed Futures Strategy Fund	$	9,026,295,951	$	409,290,545	$	(449,250,027	)	$	(39,959,482	)
AQR Managed Futures Strategy HV Fund		556,868,617		4,090,819		(7,131,689	)		(3,040,870	)

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to differences in the tax treatment of mark to market gain/loss on regulated futures contracts and forward foreign currency contracts.

AQR Funds Semi-Annual Report June 2018

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Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

As of December 31, 2017, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG-TERM
AQR Managed Futures Strategy Fund	$	120,619,343	$	366,849,923
AQR Managed Futures Strategy HV Fund		6,382,439		30,194,458

7. Investment Transactions

During the period ended June 30, 2018, there was no cost of purchases or proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments).

8. Derivative Instruments and Activities

The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at June 30, 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 Managed Futures Strategy Fund	$	16,743,827		$	80,845		$	—		$	73,879,492		$	1,213,544		$	—
AQR Managed Futures Strategy HV Fund		1,468,226			9,874			—			7,199,168			98,982			—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—			—			172,251,621			—			—			261,211,063
AQR Managed Futures Strategy HV Fund		—			—			17,375,951			—			—			26,296,073
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		84,258,065			—			—			67,287,733			250,654			—
AQR Managed Futures Strategy HV Fund		8,976,567			—			—			4,227,645			—			—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		106,366,432			29,095,457			—			29,408,267			15,720,853			—
AQR Managed Futures Strategy HV Fund		10,471,875			3,122,997			—			5,015,568			1,630,426			—
Netting:
AQR Managed Futures Strategy Fund	$	(170,575,492	)	$	(17,185,051	)	$	(172,251,621	)	$	(170,575,492	)	$	(17,185,051	)	$	(172,251,621	)
AQR Managed Futures Strategy HV Fund		(16,442,381	)		(1,729,408	)		(17,375,951	)		(16,442,381	)		(1,729,408	)		(17,375,951	)
Net Fair Value of Derivative Contracts:
AQR Managed Futures Strategy Fund		36,792,832			11,991,251			—			—			—			88,959,442
AQR Managed Futures Strategy HV Fund		4,474,287			1,403,463			—			—			—			8,920,122

AQR Funds Semi-Annual Report June 2018

45

Notes to Consolidated Financial Statements June 30, 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 June 30, 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 Managed Futures Strategy Fund	$	(186,478,937	)	$	(53,647,277	)	$	—		$	(82,431,397	)	$	(10,504,428	)	$	—
AQR Managed Futures Strategy HV Fund		(21,846,822	)		(5,822,811	)		—			(8,176,898	)		(1,033,987	)		—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—			—			(331,779,844	)		—			—			(46,819,913	)
AQR Managed Futures Strategy HV Fund		—			—			(33,649,055	)		—			—			(4,823,656	)
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		26,267,873			48,974			—			3,196,056			(250,654	)		—
AQR Managed Futures Strategy HV Fund		2,902,968			—			—			3,659,964			—			—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		180,554,111			(79,346,076	)		—			(69,675,058	)		18,850,745			—
AQR Managed Futures Strategy HV Fund		16,434,676			(8,350,002	)		—			(9,011,232	)		2,096,998			—

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of June 30, 2018:

AQR MANAGED FUTURES STRATEGY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	68,905,072	$	(68,905,072	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		80,845		—			80,845		—		—		80,845
JPMC	Forward Foreign Currency Exchange Contracts		103,346,549		(103,346,549	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			172,332,466		(172,251,621	)		80,845		—		—		80,845

AQR Funds Semi-Annual Report June 2018

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Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
BANA	Total Return Swap Contracts	$	250,654	$	—		$	250,654	$	—	$	(250,654	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		104,479,173		(68,905,072	)		35,574,101		—		(35,574,101	)		—
JPMC	Forward Foreign Currency Exchange Contracts		156,731,890		(103,346,549	)		53,385,341		—		(53,385,341	)		—
MLIN	Total Return Swap Contracts		613,750		—			613,750		—		—			613,750
MSCS	Total Return Swap Contracts		599,794		—			599,794		—		(599,794	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			262,675,261		(172,251,621	)		90,423,640		—		(89,809,890	)		613,750

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $500,000.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $291,119,462.

AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
CITI	Total Return Swap Contracts	$	9,226,397	$	(2,310,461	)	$	6,915,936	$	—	$	—		$	6,915,936
GSIN	Total Return Swap Contracts		9,061,319		(3,350,385	)		5,710,934		—		—	��		5,710,934
MACQ	Total Return Swap Contracts		5,765,238		(3,850,655	)		1,914,583		—		—			1,914,583
MLIN	Total Return Swap Contracts		1,383,081		(351,240	)		1,031,841		—		—			1,031,841
SOCG	Total Return Swap Contracts		3,659,422		(3,659,422	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			29,095,457		(13,522,163	)		15,573,294		—		—			15,573,294

AQR Funds Semi-Annual Report June 2018

47

Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	2,310,461	$	(2,310,461	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		3,350,385		(3,350,385	)		—		—		—			—
MACQ	Total Return Swap Contracts		3,850,655		(3,850,655	)		—		—		—			—
MLIN	Total Return Swap Contracts		351,240		(351,240	)		—		—		—			—
SOCG	Total Return Swap Contracts		5,858,112		(3,659,422	)		2,198,690		—		(2,198,690	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			15,720,853		(13,522,163	)		2,198,690		—		(2,198,690	)		—

(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 $ 71,442,035.

AQR MANAGED FUTURES STRATEGY HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS  & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	6,949,977	$	(6,949,977	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		9,874		(9,874	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		10,425,974		(10,425,974	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			17,385,825		(17,385,825	)		—		—		—		—

AQR Funds Semi-Annual Report June 2018

48

Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	10,514,718	$	(6,949,977	)	$	3,564,741	$	—	$	(3,564,741	)	$	—
GSIN	Total Return Swap Contracts		50,551		(9,874	)		40,677		—		(40,677	)		—
JPMC	Forward Foreign Currency Exchange Contracts		15,781,355		(10,425,974	)		5,355,381		—		(5,355,381	)		—
MLIN	Total Return Swap Contracts		48,431		—			48,431		—		(30,093	)		18,338
Total financial instruments subject to a master netting arrangement or similar arrangement			26,395,055		(17,385,825	)		9,009,230		—		(8,990,892	)		18,338

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $610,000.

(b) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $27,483,450.

AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CITI	Total Return Swap Contracts	$	1,035,939	$	(251,994	)	$	783,945	$	—	$	—	$	783,945
GSIN	Total Return Swap Contracts		980,269		(335,023	)		645,246		—		—		645,246
MACQ	Total Return Swap Contracts		633,733		(415,514	)		218,219		—		—		218,219
SOCG	Total Return Swap Contracts		473,056		(473,056	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,122,997		(1,475,587	)		1,647,410		—		—		1,647,410

AQR Funds Semi-Annual Report June 2018

49

Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	251,994	$	(251,994	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		335,023		(335,023	)		—		—		—			—
MACQ	Total Return Swap Contracts		415,514		(415,514	)		—		—		—			—
SOCG	Total Return Swap Contracts		627,895		(473,056	)		154,839		—		(154,839	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,630,426		(1,475,587	)		154,839		—		(154,839	)		—

(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 $ 6,760,271.

For the period ended June 30, 2018, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND
Futures Contracts:
Average Notional Balance—Long	$	21,942,340,915	$	2,213,195,993
Average Notional Balance—Short		43,121,663,453		4,400,608,822
Ending Notional Balance—Long		25,897,278,158		2,548,598,237
Ending Notional Balance—Short		38,127,990,389		3,763,227,802
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		15,120,158,239		1,516,622,897
Average Settlement Value—Sold		14,139,764,497		1,408,252,725
Ending Value— Purchased		13,734,810,089		1,383,391,747
Ending Value—Sold		18,383,250,919		1,838,683,384
Total Return Swaps:
Average Notional Balance—Long		1,506,616,420		154,088,483
Average Notional Balance— Short		1,183,458,816		118,097,283
Ending Notional Balance— Long		200,212,233		21,172,480
Ending Notional Balance—Short		920,211,496		88,339,117

* Notional values as of each quarter end are used to calculate the average represented.

9. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to the Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of the Funds (the Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

AQR Funds Semi-Annual Report June 2018

50

Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Managed Futures Strategy Fund		1.05	%
AQR Managed Futures Strategy HV Fund		1.45

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 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 (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Managed Futures Strategy Fund		1.25	%		1.50	%		1.15	%
AQR Managed Futures Strategy HV Fund		1.65			1.90			1.55

For the period ended June 30, 2018 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Managed Futures Strategy HV Fund	$	37,259	$	—	$	37,259

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture.

For the period ended June 30, 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 June 30, 2018 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					2018		2019		2020		2021
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	18,307	$	150,988	$	52,994	$	59,386	$	20,301	$	18,307
Class N		4,781		41,833		11,368		19,395		6,289		4,781
Class R6		14,171		59,406		5,748		28,571		10,916		14,171
Totals	$	37,259	$	252,227	$	70,110	$	107,352	$	37,506	$	37,259

During the period ended June 30, 2018, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Managed Futures Strategy HV Fund	$	20,150	$	4,731	$	14,094

10. Distribution Plan

The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.

AQR Funds Semi-Annual Report June 2018

51

Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

11. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of

slower than expected principal payments (extension risk).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater

degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could

AQR Funds Semi-Annual Report June 2018

52

Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.

Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

12. 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.

13. 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 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. The Funds did not have any borrowings for the period ended June 30, 2018.

14. Principal Ownership

As of June 30, 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	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Managed Futures Strategy Fund		7		76.19	%
AQR Managed Futures Strategy HV Fund		5		86.42	%

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

AQR Funds Semi-Annual Report June 2018

53

Notes to Consolidated Financial Statements June 30, 2018 (Unaudited)

15. 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 in conjunction with Final Rule Release No. 33-10233, Investment Company Liquidity Risk Management Programs and Final Rule Release No. 33-10234, Investment Company Swing Pricing. Collectively, these rules 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. The amendments to Regulation S-X were applied to the Funds’ financial statements with a reporting period date after August 1, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2017-08, Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”), which shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. The update applies to securities with explicit, non-contingent call features that are callable at fixed prices and on preset dates. The Funds are required to apply ASU 2017-08 for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact of these changes on the financial statements, if any.

16. 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 June 2018

54

Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 06/30/18” 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 6/30/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/18
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$943.70		1.19	%		$5.73
Hypothetical Return		$1,000.00		$1,018.89		1.19	%		$5.96
Class N
Actual Return		$1,000.00		$942.90		1.46	%		$7.03
Hypothetical Return		$1,000.00		$1,017.55		1.46	%		$7.30
Class R6
Actual Return		$1,000.00		$943.70		1.11	%		$5.35
Hypothetical Return		$1,000.00		$1,019.29		1.11	%		$5.56
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$909.20		1.64	%		$7.76
Hypothetical Return		$1,000.00		$1,016.66		1.64	%		$8.20
Class N
Actual Return		$1,000.00		$907.30		1.90	%		$8.99
Hypothetical Return		$1,000.00		$1,015.37		1.90	%		$9.49
Class R6
Actual Return		$1,000.00		$909.30		1.55	%		$7.34
Hypothetical Return		$1,000.00		$1,017.11		1.55	%		$7.75

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).

AQR Funds Semi-Annual Report June 2018

55

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248  ^|  p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Item 2. Code of Ethics.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the 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.
(a)(4)	Change in the Registrant’s Independent Public Accountant – Not Applicable.

(b) Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Marco Hanig

------------------------------------

Marco Hanig,

Principal Executive Officer

August 31, 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

August 31, 2018

By: /s/ Heather Bonner

------------------------------------

Heather Bonner,

Principal Financial Officer

August 31, 2018