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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-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 December 31, 2018

Item 1. Reports to Shareholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1.)

Annual Report

December 31, 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

AQR Volatility Risk Premium Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, the Funds intend to no longer mail paper copies of the Funds’ annual and semi-annual shareholder reports, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website (https://funds.aqr.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling(866) 290-2688.

You may elect to receive all future reports in paper free of charge. You can inform your financial intermediary or the Funds that you wish to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling (866) 290-2688. Your election to receive reports in paper will apply to all AQR Funds held with the fund complex if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., or all AQR Funds held in your account if you invest through a financial intermediary.

Table of Contents

Shareholder Letters (unaudited)
AQR Alternative Risk Premia Fund	2
AQR Diversified Arbitrage Fund	4
AQR Equity Market Neutral Fund	8
AQR Global Macro Fund	10
AQR Long-Short Equity Fund	13
AQR Multi-Strategy Alternative Fund	15
AQR Risk-Balanced Commodities Strategy Fund	17
AQR Risk Parity Fund	19
AQR Risk Parity II HV Fund	22
AQR Risk Parity II MV Fund	25
AQR Style Premia Alternative Fund	28
AQR Style Premia Alternative LV Fund	30
AQR Volatility Risk Premium Fund	32
Schedule of Investments
AQR Alternative Risk Premia Fund	35
AQR Diversified Arbitrage Fund	57
AQR Equity Market Neutral Fund	86
AQR Global Macro Fund	100
AQR Long-Short Equity Fund	112
AQR Multi-Strategy Alternative Fund	135
AQR Risk-Balanced Commodities Strategy Fund	180
AQR Risk Parity Fund	188
AQR Risk Parity II HV Fund	201
AQR Risk Parity II MV Fund	209
AQR Style Premia Alternative Fund	216
AQR Style Premia Alternative LV Fund	242
AQR Volatility Risk Premium Fund	262
Financial Statements and Notes	269
Report of Independent Registered Public Accounting Firm	355
Other Federal Tax Information (unaudited)	356
Fund Expense Examples (unaudited)	357
Trustees and Officers (unaudited)	361
Board Approval of Investment Advisory Agreements (unaudited)	363

Shareholder Letter (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

Ronen Israel

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

The AQR Alternative Risk Premia Fund (the “Fund”) Class I shares returned -7.51% in 2018. The ICE BofA Merrill Lynch US 3-Month Treasury Bill Index, which is the Fund’s benchmark returned +1.88% over that same period.

The Fund invests in four different asset groups, including through the use of derivatives such as futures and swaps: equities of major developed markets, country specific equity indices, bonds, and currencies. The Fund employs market-neutral and long-short strategies across these asset groups based on six investment styles:

Value – The tendency for cheap assets to outperform expensive ones

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

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

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

Trend – The tendency for an asset’s recent performance to continue in the future

Volatility – The tendency for options to be richly priced

The Fund’s losses were broad based as each of the four asset groups traded detracted as did five of the Fund’s six investment styles. As mentioned, losses were broad based from a style perspective but the largest drivers were Value and Momentum, particularly implemented within the equities of major developed markets asset group. Despite having two of the three styles defined within equities of major developed markets detract meaningfully, the asset group was the smallest detractor as Defensive provided mostly offsetting gains. The worst performing asset group was country specific equity indices which was impacted negatively by each of the five styles defined for the asset group. In particular, long positioning in underperforming Japanese equities and Hong Kong’s Hang Seng and short positioning in the outperforming Swiss Market Index were amongst the largest detractors. The Volatility style also contributed some losses to country specific equity indices as a result of a number of sharp declines in equity markets in February and the more turbulent fourth quarter. Bonds were impacted by an aggregate short view in markets as a function of Trend whereas performance in the other styles netted to smaller aggregate losses. Currencies were impacted by choppy markets which led to losses from both Momentum and Trend, but those losses were tempered by gains in Value.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR ALTERNATIVE RISK PREMIA FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QRPIX		-7.51%		-5.84%		9/19/2017
Fund - Class N: QRPNX		-7.72%		-6.00%		9/19/2017
Fund - Class R6: QRPRX		-7.41%		-5.68%		9/19/2017
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%		1.71%		9/19/2017

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 3.20%, 3.84% and 3.28%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2018

2

Shareholder Letter (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

AQR ALTERNATIVE RISK PREMIA FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 09/19/2017

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

AQR Funds Annual Report December 2018

3

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Jacques Friedman

Principal

Ronen Israel

Principal

Mark Mitchell Ph.D.

Founding Principal, CNH Partners

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

The AQR Diversified Arbitrage Fund (the “Fund”) invests in arbitrage strategies, including merger arbitrage, convertible arbitrage, and event-driven strategies. The investment process seeks to efficiently capture a liquidity premium around corporate control and capital raising events by maintaining a diversified portfolio of securities and instruments. Over the 2018 calendar year, the Fund returned +2.19%, with positive contributions from merger arbitrage (+1.9%) and convertible arbitrage (+0.7%) strategies, and a negative contribution from the event-driven strategy (-0.4%). A discussion of specific performance drivers for each of the three core strategies is included below.

Since its inception on January 15, 2009, the Fund’s correlation with overall equity and credit markets remains low. Based on monthly returns since inception through December 31, 2018, the Fund’s equity market beta (relative to the S&P 500 Total Return Index^®) is less than 0.1, its annualized volatility is 2.3% and its Sharpe ratio is 0.9.

Fund Description

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

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

Performance Attribution

Over a long horizon, we expect arbitrage returns to have a low correlation to equity and credit markets and exceed short-term Treasury bill returns by 3.0% to 4.0% on average. In some years, as in 2016 and 2017, arbitrage strategies will generate returns that are greater than the long-run expected average. In other years, as in 2014, 2015, and most recently in 2018, arbitrage investments will fail to reach this expected excess return. Since its inception in 2009, the Fund has averaged 2.1% above short-term Treasury bills¹ annually, slightly below expectations for the long-term horizon. Albeit below expectations, the Fund’s performance is not surprising given the macro-economic distortions caused by record low interest rates since the financial crisis, including suppression of convertible bond issuance. Since short term interest rates are no longer pegged near zero, we anticipate convertible new issuance will revert to long-term historical averages and will thus increase in the future.

Merger Arbitrage

Merger arbitrage contributed +1.9% to the Fund’s returns in 2018. Positive contributions from competing bids and orderly deal closures more than offset losses from deal failures. During the year there were periods of increased spread volatility particularly during the first half of 2018. At the

¹  The ICE Bank of America Merrill Lynch US 3-Month Treasury Bill Index

AQR Funds Annual Report December 2018

4

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

beginning of the year the median annualized spread was 3.8%. Spread levels peaked at 10.7% (as measured by weekly data) in April, before reverting back to 3.8% at the end of the year. There was a significant decrease in the size of the universe year over year as several “mega-mergers” (deals over $50B) completed and deal activity slowed in the third and fourth quarters over concerns around trade tensions and choppy financial markets. Despite this development, the number of North American transactions over $500 million (51) remains above the historical average (49).

The largest individual contributor to merger arbitrage strategy performance was Sky Plc (“Sky”), which was the target of competing bids from Twenty-First Century Fox and Comcast. The competitive process resulted in the initial buyout offer of £10.75 being ultimately increased to £17.28 per Sky share. This situation contributed 0.4% to the Fund’s 2018 return.

Unfortunately global trade tensions resulted in several merger failures in 2018. The most notable was the NXP Semiconductor / Qualcomm transaction, which was abandoned following the companies’ inability to secure approval from China’s State Administration for Market Regulation ahead of the companies’ self-imposed deadline. This transaction was the largest detractor on the year for the merger arbitrage strategy, detracting -0.2% from Fund performance.

Convertible Arbitrage

Convertible arbitrage contributed +0.7% to the Fund’s returns in 2018. Performance was driven by positive developments in a legacy position, described below, and carry of the portfolio, which was partially offset by cheapening of the convertible market. New issuance in the convertible market hit a post-crisis record of $51b in 2018. We believe this new supply was the key driver of the cheapening experienced during the first three quarters of the year as median valuations moved from -1.0% (“rich”) to +0.2% (“cheap”) from the beginning of the year through the third quarter.² Convertibles continued to cheapen throughout the fourth quarter, ending 2018 at a median valuation of +0.9% cheap. As new issuance slowed considerably we attribute the fourth quarter cheapening to uncertainty and equity market volatility induced by global economic concerns.

The largest contributor to convertible arbitrage returns was the Fund’s legacy position in Amyris, Inc.’s 9.5% convertible bonds. The Fund experienced a +0.7% return from this position as the bonds appreciated in value from 72.5% to 100.3% in response to several financing agreements that removed uncertainty around the company’s ability to pay principal at maturity. On December 6, 2018 the company announced the sale of $60mm of new convertible notes, generating proceeds which it intends to use to repay the 9.5% convertible notes when they mature.

Event-Driven

The event-driven strategy detracted -0.4% from the Fund’s returns in 2018. Losses in the Spinoff strategy (-0.8%) and Closed End Fund strategy (-0.3%), were partially offset by gains in the Special Purpose Acquisition Companies (“SPAC”) strategy (+0.4%). Spinoff strategy underperformance is largely attributable to names underperforming their sectors. There were 20 spinoffs in 2018, the same as in 2017 but below the long term average of 33. In the Closed End Fund (“CEF”) strategy, losses are largely attributable to an overall widening in the discount to NAV. From the start of the year through late-December the median discounts widened across all CEF buckets; municipal bond CEFs went from -6.0% to -13.5%, credit CEFs went from-6.9% to -15.6%, and equity CEFs went from -7.2% to -13.0%. Although widening discounts cause losses to existing positions, they provide attractive investment opportunities. Additional capital was deployed to CEFs when discounts increased and we expect this to generate future profits as discounts revert to normal levels. The Fund’s performance in the SPAC strategy was driven by 33 announced and 20 successfully completed acquirer transactions during 2018. New issuance for SPACs in 2018 topped the robust activity seen in 2017 with 47 SPACs issued raising a combined $10.8 billion of capital. This builds upon a very strong 2017, where 34 SPACs raised $10 billion.

Looking Forward

Overall we are pleased with performance in 2018. Even though merger arbitrage spreads remain slightly below average, we are cautiously optimistic about the opportunity set in 2019. While the scale of the merger arbitrage universe decreased in 2018, the scope of the transactions remains compelling and we believe this will continue to allow for opportunities to construct a diversified portfolio of transactions. Additionally, 2019 is off to a promising start with 4 definitive deals worth $90 billion announced as of January 15^th. We are cognizant of continued global trade tensions and are monitoring potential exposure to these developments within the portfolio. We are encouraged by new issuance in the convertible market during 2018. Looking

²  Cheapness measured as median valuation of convertibles with moneyness > 0.65x

AQR Funds Annual Report December 2018

5

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

ahead to 2019 we believe that heightened new issuance will continue if interest rates remain at or exceed current levels, especially if equity volatility remains high. Elevated volatility increases the value of a convertible bonds embedded call option which allows coupon rates to remain low, making financing via convertibles more affordable for cash constrained companies. In the event-driven strategies, we believe opportunities will continue to persist. CEF discounts remain attractive across all buckets when compared to the last 2 years. In SPACs, 6 registrations are pending listing in 2019 seeking to raise over $1 billion, which is in line with the start of 2018. Lastly, there are 17 spinoffs already in the pipeline for 2019, which is slightly above the 14 in the pipeline at this time last year. Irrespective of where the Fund deploys capital in 2019, we will continue to hedge systematic equity, credit, and interest rate market risks, with the intention of delivering uncorrelated excess returns.³

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR DIVERSIFIED ARBITRAGE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ADAIX		2.19%		5.22%		1.02%		2.47%		1/15/2009
Fund - Class N: ADANX		2.01%		4.93%		0.78%		2.20%		1/15/2009
Fund - Class R6: QDARX		2.41%		5.34%		na		1.08%		9/02/2014
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%		1.02%		0.63%		0.38%		1/15/2009

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.15%, 2.41% and 2.05%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

³  Note that the Fund uses various derivatives instruments (e.g., futures, options, forwards, and swaps), primarily to hedge systematic risks including credit risk and interest rate risk. While the purpose of employing derivatives instruments is to decrease the Fund’s overall risk, hedging instruments are imperfect tools and their effectiveness depends on the degree of price correlation between the derivative instruments and the assets being hedged. Imperfect correlation may be caused by several factors, including temporary price disparities between derivative markets and markets for the underlying assets.

AQR Funds Annual Report December 2018

6

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

AQR DIVERSIFIED ARBITRAGE FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 01/15/2009

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

AQR Funds Annual Report December 2018

7

Shareholder Letter (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Dear Shareholders:

The AQR Equity Market Neutral Fund (the “Fund”) seeks to provide investors with returns from potential gains of its long and short equity positions. The Fund is designed to be market- or beta-neutral, meaning the Fund seeks to achieve returns that are not closely correlated with the returns of the equity markets in which the Fund invests. Accordingly, the Fund, on average, intends to target a portfolio beta of zero over a normal business cycle. The Fund pursues its investment objective by investing at least 80% of its net assets (including borrowings for investment purposes) in equity securities and equity related derivative instruments, such as swaps and futures.

Since the Fund targets a beta of zero, an appropriate benchmark is U.S. cash returns, which remain at relatively low levels. In 2018, the strategy’s performance was disappointing, as it returned -11.73%, bringing the annualized performance of the Fund’s Class I down to 5.05% since inception.

Two major market dynamics drove the performance of the Strategy in 2018: (1) pro-growth exuberance in Q1-Q3, followed by (2) a sharp de-risking by market participants in Q4. The net result was the first calendar year since 2001 in which cheap and improving stocks lagged expensive and deteriorating ones (i.e., the combination of Value and Momentum underperformed). In addition to these key drivers, our Investor Sentiment theme, which aims to capture the positioning of “smart money,” detracted, particularly during the Q4 de-risking. However, this difficult year ended on a good note, with all themes contributing positively to December performance.

Geographically, stocks in the U.S. detracted the most from overall returns, followed by Japan. At the sector level, stock selection within Information Technology and Industrials drove losses in 2018.

Securities remained globally diversified with nearly 40% of the Fund invested outside of the U.S. The Fund does take small industry views. As of the end of the year, our largest sector overweight was in Health Care, while our largest underweight was in Financials.

Good strategies can have very tough years without being broken. We continue to believe 2018 was such an instance. All the reasons, risk-based and behavioral, why we have expected our investment ideas to work over the long run – across geographies and market caps and in our live experience over roughly 20 years – remain applicable today. We remain confident in a recovery, though the path there may not be a straight line.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR EQUITY MARKET NEUTRAL FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QMNIX		-11.73%		-0.37%		5.05%		10/7/2014
Fund - Class N: QMNNX		-11.94%		-0.67%		4.78%		10/7/2014
Fund - Class R6: QMNRX		-11.65%		-0.33%		5.11%		10/7/2014
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%		1.02%		0.73%		10/7/2014

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.18% 2.46% and 2.11%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2018

8

Shareholder Letter (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

AQR EQUITY MARKET NEUTRAL FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 10/07/2014

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

AQR Funds Annual Report December 2018

9

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

John Liew

Founding Principal

Jordan Brooks

Principal

Michael Katz

Principal

David Kupersmith

Principal

Dear Shareholders:

The AQR Global Macro Fund (the “Fund”) invests across a wide range of asset classes, including fixed income, currencies, commodities, equities and through the use of derivatives such as futures and swaps. Within each asset class, the Fund takes both relative value and directional positions. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on attractiveness of opportunities within the different asset classes that the Fund trades. The Fund’s strategy trades predominately on macroeconomic news and trends, using a systematic, bottom-up approach that integrates both quantitative and discretionary trading signals.

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

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

The Fund’s benchmark, the ICE BofA Merrill Lynch US 3-Month Treasury Bill Index, was up +1.88% over the course of 2018. The Fund outperformed this benchmark, with the Class I shares gaining +7.80% net of fees on the year. The Fund saw gains in all traded asset classes. Fixed income added +3.71% (developed bond markets up +2.36%, developed interest rates up +2.24% and slightly offset by yield curve down -0.88%), commodities added +2.34%, currencies added +1.15% (developed currencies up +1.22% and slightly offset by emerging currencies down -0.07%), and equities added +0.59% (developed equity markets up +0.47% and emerging equity markets up +0.12%).

In late 2017, the Trump administration signed into law the Tax Cuts and Jobs Act, which provided a meaningful cut to the corporate tax rate starting in 2018. This led to positive earnings revisions and aided a strong equity market rally in January of 2018. However, increased trade tensions between the U.S. and China and higher interest rates in the U.S. led to increased volatility as 2018 progressed. While volatility had remained low in early 2018, February saw a sharp reversal. Equities sold off in early February after higher than expected wage data in the U.S. increased concerns around margins. Equities were able to partially recover over the second half of February, in part triggered by a budget and debt ceiling deal. Better than expected earnings reports and associated strong technology and energy company performance drove most developed equity markets higher in the second and third quarters. Increased government debt issuance, partially driven by the Tax Cuts and Jobs Act and budget deal, aided fixed income yields higher in the first three quarters of the year.

U.S. economic outperformance was also a theme throughout most of 2018, as U.S. growth surprised to the upside, while European and Chinese growth surprised to the downside. Inflation in the U.S. breached the Federal Reserve’s target and the unemployment rate continued to fall further below the Federal Reserve’s estimate of the natural rate of unemployment. Accounting for the positive economic data, the Federal Reserve hiked its key policy rates four times in 2018 and suggested further interest rate hikes were likely in the coming year. The European Central Bank also took steps to remove accommodative monetary policy, announcing it would cease asset purchases at the end of 2018. However, Europe as a whole faced increased economic and political uncertainty as growth data slowed and as Italy saw the formation of a Eurosceptic government. The period ended with a fair amount of uncertainty, as global economic data slowed and oil and equity markets sold off meaningfully. Oil prices

AQR Funds Annual Report December 2018

10

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

fell on global growth concerns and elevated levels of supply from key producers. Equities were weighed down by weaker than expected GDP growth data in China and Europe and broader cyclical concerns related to earnings, higher yields in the U.S. and a potential policy mistake by the Federal Reserve.

Developed Bond Markets

The Fund’s developed bond markets strategy was the largest positive contributor to the Fund’s performance. Gains were concentrated in a short U.S. Treasuries position in the first three quarters of the year and a short Japanese government bond position in the last two quarters of the year. The short U.S. Treasuries position was based on positive growth surprises and revisions, equity market outperformance, upward inflation revisions and negative price momentum. U.S. Treasuries underperformed over the period, weighed down by upside surprises to wage inflation, as well as increased fiscal deficit expectations in coming years. The short Japanese government bonds position was driven by upside inflation surprises, negative price momentum and unattractive carry and value. The Bank of Japan’s maintenance of yield curve control led to underperformance versus the cross-section, as other developed market bonds rallied in the last two quarters of the year on increased concerns around trade and global growth. Japanese government bonds further underperformed in August as the Bank of Japan adjusted its yield curve control policy to allow modestly higher 10-year Japanese government bond yields.

Commodities

The Fund’s commodities strategies performed well. A long position in WTI and Brent Crude oil in the first and second quarter of the year and a long natural gas position in November added to returns. The Fund was long WTI and Brent early in the year driven by positive GDP and industrial production forecast changes in oil consuming countries and bullish supply changes. Oil rallied over the period, aided by DOE data showing larger than expected inventory draws, supply disruptions and concerns around Iranian production, as the U.S. announced it would withdraw from a nuclear deal with Iran. The Fund was long natural gas in November based on forecast and realized weather factors and positive price momentum. Natural gas rallied meaningfully in November on larger than expected draws in inventory, forecasts for colder than expected weather and concerns around unseasonably low inventory levels.

Developed Currencies

The developed currency strategy added to returns. A short position in the Swedish krona in the first and second quarter and a long U.S. dollar position in the second, third and fourth quarter performed well. The short Swedish krona position was driven by equity market underperformance, negative earnings revisions, negative changes in terms of trade and unattractive carry. The Swedish krona underperformed in the first and second quarter on increased global trade uncertainty, lower than expected inflation data and a more dovish than expected Riksbank, which pushed back the expected timing of its first interest rate hike from the middle of 2018 to the end of 2018. The long U.S. dollar position was based on equity market outperformance, positive economic data surprises, positive changes in terms of trade and attractive price momentum and carry. Increasing interest rate differentials and policy divergence between the Federal Reserve and major foreign central banks drove outperformance in the dollar. Worse than expected economic data in a number of countries and better than expected economic data in the U.S. aided divergence.

Yield Curve

The Fund’s yield curve strategy was the largest detractor to the Fund’s performance. A steepener position in U.K. interest rate swaps and a flattener position in U.S. interest rate swaps performed poorly in the fourth quarter. The steepener position in U.K. interest rate swaps was supported by downside surprises to inflation, negative earnings revisions, carry and value. U.K. interest rate swaps flattened on a weaker British pound and continued Brexit uncertainty, which helped to weigh on longer term yields. The flattener position in U.S. interest rate swaps was based on positive growth surprises, relative flattening price momentum and carry. The U.S. curve flattened by less than the cross-section during the fourth quarter, as global growth concerns and concerns around a potential policy mistake by the Federal Reserve led to a sharp drop in shorter dated yields, as future Fed rate hikes were priced out.

AQR Funds Annual Report December 2018

11

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR GLOBAL MACRO FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QGMIX		7.80%		1.37%		1.14%		4/8/2014
Fund - Class N: QGMNX		7.57%		1.13%		0.88%		4/8/2014
Fund - Class R6: QGMRX		7.84%		1.42%		1.94%		9/2/2014
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%		1.02%		0.66%		4/8/2014

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.38% 2.71% and 2.40%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR GLOBAL MACRO FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 04/08/2014

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

AQR Funds Annual Report December 2018

12

Shareholder Letter (Unaudited)

AQR LONG-SHORT EQUITY FUND

Michele Aghassi

Principal

Andrea Frazzini

Principal

Jacques Friedman

Principal

Dear Shareholder:

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

Both the long-short stock selection and the Fund’s overall exposure to global developed equity markets underperformed in 2018, with Class I returning -16.32% net of fees. The Fund’s custom benchmark (50% MSCI World + 50% ICE BofA Merrill Lynch US 3-Month Treasury Bill Index) delivered a return of -3.33% over this period. As such, the Fund underperformed its benchmark.

Two major market dynamics drove the performance of the Strategy in 2018: (1) pro-growth exuberance in Q1-Q3, followed by (2) a sharp de-risking by market participants in Q4. The net result was the first calendar year since 2001 in which cheap and improving stocks lagged expensive and deteriorating ones (i.e., the combination of Value and Momentum underperformed). In addition to these key drivers, our Investor Sentiment theme, which aims to capture the positioning of “smart money,” detracted, particularly during the Q4 de-risking. However, this difficult year ended on a good note, with all themes contributing positively to December performance. Geographically, stocks in the U.S. detracted the most from overall returns, followed by Japan.

At the sector level, stock selection within Information Technology and Industrials drove losses in 2018.

The Fund also experienced underperformance from its static long-term beta exposure of 0.5 to the MSCI World, given this index’s negative performance in 2018. However, our tactical market exposure (the desired deviation from a beta of 0.5) modestly contributed to performance.

Securities remained globally diversified, with nearly 40% of the Fund invested outside of the U.S. The stock selection strategy does take small industry views. As of the end of the year, our largest sector overweight was in Health Care, while our largest underweight was in Financials.

Good strategies can have very tough years without being broken. We continue to believe 2018 was such an instance. All the reasons, risk-based and behavioral, why we have expected our investment ideas to work over the long run – across geographies and market caps and in our live experience over roughly 20 years – remain applicable today. We remain confident in a recovery, though the path there may not be a straight line.

AQR Funds Annual Report December 2018

13

Shareholder Letter (Unaudited)

AQR LONG-SHORT EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR LONG-SHORT EQUITY FUND
	1 Year			3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: QLEIX		-16.32%	*		2.46%		7.66%		9.09%		7/16/2013
Fund - Class N: QLENX		-16.64%			2.17%		7.37%		8.79%		7/16/2013
Fund - Class R6: QLERX		-16.29%	*		2.56%		na		7.03%		9/02/2014
50% MSCI World index/50% ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		-3.33%			3.77%		2.72%		3.54%		7/16/2013

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.11% 2.37% and 2.02%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2018 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR LONG-SHORT EQUITY FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 07/16/2013

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

AQR Funds Annual Report December 2018

14

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

John Liew

Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Michael Katz

Principal

Mark Mitchell, Ph.D.

Founding Principal, CNH Partners

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

The AQR Multi-Strategy Alternative Fund (the “Fund”) is built from the bottom up, seeking relative value and directional opportunities across more than two thousand positions in global stock, bond, commodity, and currency markets. The Fund is risk-balanced across three broad categories (Arbitrage, Stock Selection, and Macro) and underlying that are 9 classic hedge fund strategies. The Fund utilizes a variety of instrument types including, but not limited to, derivatives such as futures and swaps on equities of major developed markets, country specific equity indices, bonds, and currencies.

The Fund’s Class I shares returned -13.70% in 2018. For the year, the Fund realized +6.6% annualized daily volatility and a +0.1 beta to the MSCI World Index. The ICE BofA Merrill Lynch US3-Month Treasury Bill Index, which is the fund’s benchmark, had returned +1.88%. The hedge fund industry, as represented by the Credit Suisse Hedge Fund Index^SM (“CS Index”) and the HFRI^TM Fund Weighted Composite Index (“HFRI Index”) lost -3.19% and -4.49%, respectively, net of fees for the year. These indices have had correlations to global equities, as represented by the MSCI World Index, of +0.8 and +0.9 respectively, over the past 24 months, which is slightly higher than longer-term correlations, and detracted from performance during a year of equity market decline.

Seven of the Fund’s nine strategies had negative results for the year, though performance in two of the detracting strategies was close to flat. The stock selection strategies, in aggregate, were the largest source of losses and each contributed negatively. The macro strategy group also detracted, while the arbitrage strategy group contributed positively.

Following is a more detailed review of the three strategy groups:

Stock Selection Strategies – Dedicated Short Bias (“DSB”) (-6.3%), Equity Market Neutral (“EMN”)(-4.4%) and Long/Short Equity (-0.8%) all detracted. Losses in the first three quarters of the year were roughly half attributed to EMN, a strategy focused on differentiated stocks by valuation with considerations for growth quality and low-risk measures. Embedded value themes were effectively the sole driver of EMN losses for most of this year but saw a rebound in the fourth quarter. In contrast to EMN, DSB losses continued apace for almost the entire year, losing in 9 of 11 months prior to December’s gain. Long/Short Equity losses were comparably modest, and mostly driven by valuation based themes.

Arbitrage Strategies – Both Event Driven (+2.2%) and Convertible and Volatility Arbitrage (+0.4%) contributed to performance this year. Gains from merger arbitrage portion of Event Driven were not concentrated in any particular deal but were rather widespread, largely driven by successful deal completions. The strategy was also helped by a benign rate of adverse deal terminations. Gains in Convertible and Volatility Arbitrage were similarly broad-based.

Macro Strategies – As a group, macro strategies generated negative returns as all strategies in the group detracted. Managed Futures was the largest source of losses (-2.3%) within the group and particularly struggled during the fourth quarter. Managed Futures losses were incurred across all asset groups but were most significant in currencies. Global Macro (-1.9%) was negatively impacted by relative value positioning in equity indices as well as currencies. Emerging Markets (-0.2%) detracted modestly as losses in stock selection and equity indices were largely offset by gains in currencies. Fixed Income Relative Value (-0.2%) was essentially flat for the year, as losses from the relative value bonds strategy were nearly offset by gains in the remaining sub-strategies.

AQR Funds Annual Report December 2018

15

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR MULTI-STRATEGY ALTERNATIVE FUND
	1 Year			3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ASAIX		-13.70%			-3.88%		0.81%		1.09%		7/18/2011
Fund - Class N: ASANX		-13.89%	*		-4.13%		0.55%		0.84%		7/18/2011
Fund - Class R6: QSARX		-13.69%			-3.82%		na		0.78%		9/02/2014
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%			1.02%		0.63%		0.45%		7/18/2011

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.42% 2.68% and 2.32%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2018 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR MULTI-STRATEGY ALTERNATIVE FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 07/18/2011

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

AQR Funds Annual Report December 2018

16

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Brian Hurst

Principal

Ari Levine

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

The AQR Risk-Balanced Commodities Fund (the “Fund”) Class I shares returned-17.58% in 2018, with each sector detracting from performance. Base metals were the greatest detractor, falling mostly due to concerns about China demand, as Chinese economic data disappointed and the continuing trade war between the U.S. and China weighed on growth expectations. Energies also fell significantly, despite having gained through the first three quarters of the year, weighed down by concerns around slower global growth and increased production in the U.S., Saudi Arabia, and Russia. Grains fell on strong production data and, like base metals, were impacted by the escalating U.S./China trade war. Most softs fell on favorable growth conditions, with the exception of cocoa, which rose on strong demand and poor weather in key growing regions. Precious metals fell on the year due to rising real rates in the U.S., though prices somewhat recovered in the final quarter of the year as global growth concerns led investors to seek safe-haven assets.

The Bloomberg Commodity TR Index (“BCOM”), the Fund’s benchmark, was down-11.25%, leading to underperformance of-6.33%. Despite this year’s underperformance, the Fund has still outperformed over a three-year period (1.99% vs. 0.30%) and since inception(-7.67% vs.-8.34%). Note that, while we use BCOM as a benchmark, we do not aim to replicate it. The Fund’s construction is sufficiently different that we would expect a difference in the performance of the Fund and this benchmark. Specifically, we expect the magnitude of performance differences to be 10% per year on average, in either direction.

The underperformance in 2018 relative to the passive BCOM benchmark was due primarily to the volatility targeting, as the Fund’s volatility targeting required more than 100% notional exposure due to the low volatility of the underlying assets, leading to losses as commodities underperformed. We aim to maintain a target level of volatility by varying the level of exposure in the Fund. This reduces the likelihood that short periods can determine outcomes over long investment horizons. In years like 2018, when asset volatilities are low and performance is negative, the Fund is more likely to underperform the benchmark as it increases its risk exposure to commodities. This is consistent with the thesis of volatility targeting and does not change our view on its merits. Tactical models offset some of this underperformance, with gains driven primarily by tactical views in energies and softs. The underperformance to the benchmark was also reduced due to the Fund’s allocation to deferred – rather than front-month – futures contracts.

The Fund began the year at a volatility target of 15.1% due to low asset volatilities and a leverage cap on the Fund. Atyear-end, the Fund was no longer constrained due to the leverage cap but had bearish tactical views, so the volatility target increased to 17.1%, just below its 18% long run target.

The strategic portion of the portfolio returned-20.73%, and tactical tilts added 3.16%. The strategic return in this attribution is the return to a long-only portfolio with risk-balanced sector weights and an annual volatility target of 18% (subject to drawdown control). The tactical returns are the returns from the active views in the individual commodities and sectors. The Fund obtains exposure to the individual commodities and sectors by investing in commodity-linked derivative instruments, such as swaps and futures.

The tactical portion of the Fund gained on the year, with much of the positive returns coming from relative value signals within petroleum and softs, more than offsetting losses in base metals. Within petroleum, value contributed much of the positive returns. Value was bullish crude oil and bearish the refined products, which benefited the Fund in the first half of the year as inventory levels were lower than expected for crude and higher than expected for products. Momentum signals gained in softs as they took long positions in cocoa (which outperformed) and short positions in sugar and coffee (which underperformed). In base metals, momentum was the primary detractor. Positive performance from individual asset timing models contributed positively to tactical returns.

AQR Funds Annual Report December 2018

17

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Atyear-end, the Fund’s tactical positioning reflected generally bearish views on commodities, with the largest underweight in base metals and the sole overweight in precious metals. The Fund finished its sixth full year down-17.58%. The Fund’s volatility targeting led it to underperform the BCOM benchmark by-6.33%, with active tilts and deferred contract allocations mitigating losses. While short term results can be noisy, we believe the Fund’s broader diversification, strong risk management and active commodity selection can ultimately deliver more steady volatility and strong returns across market environments in the long term.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR RISK-BALANCED COMMODITIES STRATEGY FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ARCIX		-17.58%		1.99%		-6.38%		-7.67%		7/9/2012
Fund - Class N: ARCNX		-17.82%		1.70%		-6.64%		-7.92%		7/9/2012
Fund - Class R6: QRCRX		-17.60%		2.03%		na		-8.05%		9/2/2014
Bloomberg Commodity Total Return IndexSM		-11.25%		0.30%		-8.80%		-8.34%		7/9/2012

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.13% 1.39% and 1.04%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

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

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

AQR Funds Annual Report December 2018

18

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

John Liew

Founding Principal

Brian Hurst

Principal

John J. Huss

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

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

The targeted annualized volatility for the Fund ranges between 7% and 13% based on our perceptions of tactical opportunities within the different asset classes it trades. We expect the Fund to average 10% annualized volatility over time. The Fund started the year targeting a volatility level below its long-term average despite being bullish most asset classes due to the Fund’s exposure limits. These limits are designed to prevent the fund from taking unusually large positions when volatility is forecasted to be very low. At the end of the year, the Fund had bearish views on equities, commodities, inflation-linked bonds and credit spreads and bullish views on nominal bonds. Due to mostly bearish views on asset classes, the Fund ended the year targeting a volatility level below its long-term average.

For the year ended December 31, 2018, the Fund’s Class I shares returned-6.96% and realized an annualized volatility of 9.0%. During this period, the Fund’s benchmark consisting of 60% S&P 500^®/40% Bloomberg Barclays U.S. Aggregate Bond Index returned-2.35% at an average realized volatility of 10.0%. The Fund’s net assets across all share classes were over $256 million at the end of 2018. The Fund experienced losses in three of its four major risk categories for the full year: equities detracted-3.5%, inflation-sensitive assets detracted-2.7%, credit-related assets detracted-2.3% and fixed income contributed +1.5%. Tactical tilts contributed modestly to performance with gains spread across fixed income, inflation-sensitive assets and credit-related assets, while active views on equities mildly detracted.

Equities detracted as major equity indices were down across developed and emerging markets. Equity markets were weighed down by weaker-than-expected economic data outside of the U.S., global trade tensions and concerns related to a hawkish Federal Reserve. Nominal bonds contributed over the year, most notably German bunds, which benefited from weaker-than-expected economic data, a relatively dovish ECB and increased political risk. Inflation-sensitive assets detracted from the Fund on poor commodity performance, while inflation-linked bonds contributed modestly. Commodities experienced losses across most sectors, but most notably in energies, which suffered significantly in the fourth quarter on increased production and inventories, as well as concerns surrounding future production and economic growth. Base metals also suffered from weak economic data in China and global trade tensions. Credit markets, like equities, fell on global growth concerns. Emerging currencies weakened against a stronger U.S. dollar, and were mixed against the euro.

Tactical tilts contributed positively on the year, as losses from active views on equities were more than offset by gains from active views elsewhere. Tactical tilts in equities detracted from performance, driven mostly from a bearish trend reversal early in the year and, to a lesser extent, poor performance from relative-value views. Active views on nominal bonds contributed to performance, with bearish asset-class-timing signals profiting early in the year as bonds fell. Tactical tilts in commodities gained across relative-value, trend following and asset-class-timing signals. Active views on credit spreads

AQR Funds Annual Report December 2018

19

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

gained on asset-class-timing views in the second half of the year. Emerging currency views gained on relative value and asset-class-timing. As of the end of 2018, the portfolio was tactically overweight in fixed income and underweight in equities, inflation-sensitive assets and credit-related assets. Total exposures ended the year higher than where they began, despite increased forecasted risk in equities and commodities, due to the bullish active view on nominal bonds.

As most major asset classes fell on the year, it is no surprise the Fund underperformed. While nominal bonds gained mildly, lower prices in equity, commodity and credit markets drove the disappointing performance of the Fund. Despite the year’s losses, we remain confident in the value of a risk balanced approach. One of the strengths of the Fund is the limited, humble assumptions necessary to believe in the strategy. If investors believe that taking market risk in the major asset classes is rewarded on average, that the risk-adjusted returns to these asset classes are more similar than they are different and that they tend to pay off at somewhat different times, then the case for our investment approach is a sound one. We remain confident that the diversification benefits of the Fund provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

As of 1/30/2019, AQR Risk Parity Fund will become AQR Multi-Asset Fund.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR RISK PARITY FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQRIX		-6.96%		6.03%		3.23%		4.76%		9/29/2010
Fund - Class N: AQRNX		-7.23%		5.71%		2.96%		4.48%		9/29/2010
Fund - Class R6: AQRRX		-6.94%		6.08%		na		1.24%		9/02/2014
60% S&P 500 Index®/40% Bloomberg Barclays U.S. Aggregate Bond Index		-2.35%		6.50%		6.24%		8.48%		9/29/2010

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.01%, 1.28% and 0.94%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2018

20

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

AQR RISK PARITY FUND VS. 60% S&P 500^®/40% BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 09/29/2010

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

AQR Funds Annual Report December 2018

21

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

John J. Huss

Dear Shareholder:

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

The Fund is generally expected to remain long all of the markets in which it invests. The targeted annualized volatility for the Fund is 15%, on average, which varies over time based on our perceptions of tactical opportunities within the different asset classes it trades. The Fund started the year targeting a volatility level below its long-term average despite being bullish most asset classes due to the Fund’s exposure limits. These limits are designed to prevent the fund from taking unusually large positions when volatility is forecasted to be very low. At the end of the year, the Fund had bearish views on equities, commodities and inflation-linked bonds and bullish views on nominal bonds. Due to mostly bearish views on asset classes, the Fund ended the year targeting a volatility level below its long-term average.

For the year ended December 31, 2018, the Fund’s Class I shares returned-10.76% and realized an annualized volatility of 13.0%. During this period, the Fund’s benchmark consisting of 60% S&P 500^®/40% Bloomberg Barclays U.S. Aggregate Bond Index returned-2.35% at an average realized volatility of 10.0%. The Fund’s net assets across all share classes were over $25 million at the end of 2018. The Fund experienced losses in two of its three major risk categories for the full year: equities detracted-6.8%, inflation-sensitive assets detracted-5.7% and fixed income contributed +1.8%. Tactical tilts contributed modestly to performance with gains spread across fixed income and inflation-sensitive assets, while active views on equities mildly detracted.

Equities detracted as major equity indices were down across developed and emerging markets. Equity markets were weighed down by weaker-than-expected economic data outside of the U.S., global trade tensions and concerns related to a hawkish Federal Reserve. Nominal bonds contributed over the year, most notably German bunds, which benefited from weaker-than-expected economic data, a relatively dovish ECB and increased political risk. Inflation-sensitive assets detracted from the Fund on poor commodity performance, while inflation-linked bonds contributed modestly. Commodities experienced losses across most sectors, but most notably in energies, which suffered significantly in the fourth quarter on increased production and inventories, as well as concerns surrounding future production and economic growth. Base metals also suffered from weak economic data in China and global trade tensions.

Tactical tilts contributed positively on the year, as losses from active views on equities were more than offset by gains from active views elsewhere. Tactical tilts in equities detracted from performance, driven mostly from a bearish trend reversal early in the year and, to a lesser extent, poor performance from relative-value views. Active views on nominal bonds contributed to performance, with bearish asset-class-timing signals profiting early in the year as bonds fell. Tactical tilts in commodities gained across relative-value, trend following and asset-class-timing signals. As of the end of 2018, the portfolio was tactically overweight in fixed income and underweight in equities and inflation-sensitive

AQR Funds Annual Report December 2018

22

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

assets. Total exposures ended the year increased forecasted risk and bearish views were more than offset by larger exposures in bonds due to bullish active views.

As most major asset classes fell on the year, it is no surprise the Fund underperformed. While nominal bonds gained mildly, lower prices in equity and commodity markets drove the disappointing performance of the Fund. Despite the year’s losses, we remain confident in the value of a risk balanced approach. One of the strengths of risk parity is the limited, humble assumptions necessary to believe in the strategy. If investors believe that taking market risk in the major asset classes is rewarded on average, that the risk-adjusted returns to these asset classes are more similar than they are different and that they tend to pay off at somewhat different times, then the case for a risk-balanced approach is a sound one. We remain confident that the diversification benefits of the Fund provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR RISK PARITY II HV FUND
	1 Year		3 Year		5 year		Since Inception		Date of Inception
Fund - Class I: QRHIX		-10.76%		6.21%		2.55%		1.99%		11/5/2012
Fund - Class N: QRHNX		-10.92%		5.89%		2.23%		1.69%		11/5/2012
Fund - Class R6: QRHRX		-10.68%		6.30%		na		-0.30%		9/2/2014
60% S&P 500 Index®/40% Bloomberg Barclays U.S. Aggregate Bond Index		-2.35%		6.50%		6.24%		7.95%		11/5/2012

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.73%, 1.99% and 1.69%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2018

23

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

AQR RISK PARITY II HV FUND VS. 60% S&P 500^®/40% BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 11/05/2012

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

AQR Funds Annual Report December 2018

24

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

John J. Huss

Dear Shareholder:

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

The Fund is generally expected to remain long all of the markets in which it invests. The targeted annualized volatility for the Fund is 10%, on average, which varies over time based on our perceptions of tactical opportunities within the different asset classes it trades. The Fund started the year targeting a volatility level below its long-term average despite being bullish most asset classes due to the Fund’s exposure limits. These limits are designed to prevent the fund from taking unusually large positions when volatility is forecasted to be very low. At the end of the year, the Fund had bearish views on equities, commodities and inflation-linked bonds and bullish views on nominal bonds. Due to mostly bearish views on asset classes, the Fund ended the year targeting a volatility level below its long-term average.

For the year ended December 31, 2018, the Fund’s Class I shares returned -6.22% and realized an annualized volatility of 8.7%. During this period, the Fund’s benchmark consisting of 60% S&P 500^®/40% Bloomberg Barclays U.S. Aggregate Bond Index returned-2.35% at an average realized volatility of 10.0%. The Fund’s net assets across all share classes were over $65 million at the end of 2018. The Fund experienced losses in two of its three major risk categories for the full year: equities detracted-4.2%, inflation-sensitive assets detracted-3.5% and fixed income contributed +1.5%. Tactical tilts contributed modestly to performance with gains spread across fixed income and inflation-sensitive assets, while active views on equities mildly detracted.

Equities detracted as major equity indices were down across developed and emerging markets. Equity markets were weighed down by weaker-than-expected economic data outside of the U.S., global trade tensions and concerns related to a hawkish Federal Reserve. Nominal bonds contributed over the year, most notably German bunds, which benefited from weaker-than-expected economic data, a relatively dovish ECB and increased political risk. Inflation-sensitive assets detracted from the Fund on poor commodity performance, while inflation-linked bonds contributed modestly. Commodities experienced losses across most sectors, but most notably in energies, which suffered significantly in the fourth quarter on increased production and inventories, as well as concerns surrounding future production and economic growth. Base metals also suffered from weak economic data in China and global trade tensions.

Tactical tilts contributed positively on the year, as losses from active views on equities were more than offset by gains from active views elsewhere. Tactical tilts in equities detracted from performance, driven mostly from a bearish trend reversal early in the year and, to a lesser extent, poor performance from relative-value views. Active views on nominal bonds contributed to performance, with bearish asset-class-timing signals profiting in early in the year as bonds fell. Tactical tilts in commodities gained across relative-value, trend following and asset-class-timing signals. As of the end of 2018, the portfolio was tactically overweight in fixed income and underweight in equities and inflation-sensitive

AQR Funds Annual Report December 2018

25

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

assets. Total exposures ended the year about where they began as smaller exposures in equities and commodities due to increased forecasted risk and bearish views were offset by larger exposures in bonds due to bullish active views.

As most major asset classes fell on the year, it is no surprise the Fund underperformed. While nominal bonds gained mildly, lower prices in equity and commodity markets drove the disappointing performance of the Fund. Despite the year’s losses, we remain confident in the value of a risk balanced approach. One of the strengths of risk parity is the limited, humble assumptions necessary to believe in the strategy. If investors believe that taking market risk in the major asset classes is rewarded on average, that the risk-adjusted returns to these asset classes are more similar than they are different and that they tend to pay off at somewhat different times, then the case for a risk-balanced approach is a sound one. We remain confident that the diversification benefits of the Fund provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR RISK PARITY II MV FUND
	1 Year			3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: QRMIX		-6.22%	*		4.93%		2.27%		1.91%		11/5/2012
Fund - Class N: QRMNX		-6.54%	*		4.59%		1.98%		1.62%		11/5/2012
Fund - Class R6: QRMRX		-6.23%	*		4.97%		na		0.47%		9/2/2014
60% S&P 500 Index®/40% Bloomberg Barclays U.S. Aggregate Bond Index		-2.35%			6.50%		6.24%		7.95%		11/5/2012

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.23%, 1.51% and 1.15%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2018 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR Funds Annual Report December 2018

26

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

AQR RISK PARITY II MV FUND VS. 60% S&P 500^®/40% BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 11/05/2012

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

AQR Funds Annual Report December 2018

27

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Michael Katz

Principal

Dear Shareholder:

The AQR Style Premia Alternative Fund (the “Fund”) Class I shares returned-12.35% in 2018. For the year ended December 31, 2018, the Fund realized +8.0% annualized daily volatility and a +0.2 correlation to global equities, as represented by the MSCI World Index. The ICE BofA Merrill Lynch US 3-Month Treasury Bill Index, which is the Fund’s benchmark, returned +1.88% over this period.

The Fund invests in several different asset groups, including through the use of derivatives such as futures and swaps: equities of major developed markets, country specific equity indices, fixed income and interest rate futures, currencies and commodities. The Fund employs market-neutral, long-short strategies across these asset groups based on four investment styles:

Value – The tendency for cheap assets to outperform expensive ones

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

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

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

Losses occurred in all asset groups described above and two of the four styles traded in the Fund. Value(-15.1%) was the largest style detractor with Momentum(-5.3%) also having a negative impact, while Defensive (+7.4%) was the only meaningful contributor and Carry (+0.6%) gained modestly. Among asset groups, equities of major developed markets ended the year with the largest losses, driven by Value, while Momentum not only failed to provide a positive offset, but exacerbated overall losses. Helpful contributions were provided by Defensive within equities of major developed markets. Performance in country specific equity indices was unique in that all styles detracted during the year, making it the second worst performing asset group. Its developed markets portfolio drove losses with Japan and more generally Asian markets being heavily impacted by the uncertainty surrounding trade policy between the U.S. and key trading partners. Performance in Fixed Income was also unique in that, despite significantly poor performance in Value, the aggregate Fixed Income portfolio was roughly flat, as the remaining three styles produced a near equal offset. The developed market bonds (“Bonds”)sub-strategy within Fixed Income was the primary detractor, particularly due to the Value style. Value’s performance in Bonds was very concentrated, with its long U.S. and short Germany exposure explaining about 90% of Value’s negative return contribution. Currencies and Commodities were each down modestly, and were each driven primarily by fourth quarter losses in Momentum. Currencies losses were driven by long positions in the Canadian and Australian dollars, most of which occurred in the fourth quarter. Commodity losses were largely a function of energy exposure, with spot prices of WTI crude oil and Brent declining nearly-40% during the fourth quarter over growing concern thatU.S-China trade disputes and recent Federal Reserve actions may be weakening global demand.

AQR Funds Annual Report December 2018

28

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR STYLE PREMIA ALTERNATIVE FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: QSPIX		-12.35%*		-0.76%		3.42%		4.11%		10/30/2013
Fund - Class N: QSPNX		-12.60%		-1.06%		3.14%		3.83%		10/30/2013
Fund - Class R6: QSPRX		-12.32%		-0.69%		na		3.22%		9/02/2014
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%		1.02%		0.63%		0.61%		10/30/2013

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.33%, 2.60% and 2.25%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2018 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR STYLE PREMIA ALTERNATIVE FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 10/30/2013

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

AQR Funds Annual Report December 2018

29

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Andrea Frazzini

Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Michael Katz

Principal

Dear Shareholder:

The AQR Style Premia Alternative LV Fund (the “Fund”) Class I shares returned-5.21% in 2018. For the year ended December 31, the Fund realized +4.2% annualized daily volatility and a +0.2 correlation to global equities, as represented by the MSCI World Index. The BofA Merrill Lynch3-Month U.S Treasury Bill Index^SM, which is the fund’s benchmark, returned +1.88% over this period.

The Fund invests in several different asset groups, including through the use of derivatives such as futures and swaps: equities of major developed markets, country specific equity indices, fixed income and interest rate futures, currencies and commodities. The Fund employs market-neutral and long-short strategies across these asset groups based on four investment styles:

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

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

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

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

Losses occurred in four of the asset groups and two of the four styles traded in the Fund. Value(-6.1%) was the largest style detractor with Momentum(-3.1%) also having a negative impact, while Defensive (+3.8%) was the only meaningful contributor and Carry (+0.2%) gained modestly. Among asset groups, equities of major developed markets ended the year with the largest losses, driven by Value, while Momentum not only failed to provide a positive offset, but exacerbated overall losses. Helpful contributions were provided by Defensive within equities of major developed markets. Performance in country specific equity indices was unique in that all styles detracted during the year, making it the second worst performing asset group. Its developed markets portfolio drove losses with Japan and more generally Asian markets being heavily impacted by the uncertainty surrounding trade policy between the U.S. and key trading partners. Performance in Fixed Income was also unique in that, despite significantly poor performance in Value, the aggregate Fixed Income portfolio was roughly flat, as the remaining three styles produced a near equal offset. The developed market bonds (“Bonds”)sub-strategy within Fixed Income was the primary detractor, particularly due to the Value style. Value’s performance in Bonds was very concentrated, with its long U.S. and short Germany exposure explaining about 90% of Value’s negative return contribution. Currencies and Commodities were each down modestly, and were each driven primarily by fourth quarter losses in Momentum. Currencies losses were driven by long positions in the Canadian and Australian dollars, most of which occurred in the fourth quarter. Commodities losses were largely a function of energy exposure, with spot prices of WTI crude oil and Brent declining nearly-40% during the fourth quarter over growing concern thatU.S-China trade disputes and recent Federal Reserve actions may be weakening global demand.

AQR Funds Annual Report December 2018

30

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR STYLE PREMIA ALTERNATIVE LV FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QSLIX		-5.21%		0.61%		2.07%		9/17/2014
Fund - Class N: QSLNX		-5.51%		0.29%		1.77%		9/17/2014
Fund - Class R6: QSLRX		-5.23%		0.65%		2.13%		9/17/2014
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%		1.02%		0.72%		9/17/2014

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.34%, 1.61% and 1.26%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR STYLE PREMIA ALTERNATIVE LV FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 09/17/2014

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

AQR Funds Annual Report December 2018

31

Shareholder Letter (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

Jacques Friedman

Principal

Ronen Israel

Principal

Roni Israelov

Principal

Dear Shareholder:

AQR Volatility Risk Premium Fund (the “Fund”) seeks to deliver equity market-like returns with lower overall risk than global equity markets. It invests globally in a broad range of instruments – including, but not limited to, equities, futures, currency futures and forwards, options and swaps. The Fund combines two distinct sources of potential return:

Volatility Risk Premium Strategy – The Fund seeks to capture the volatility risk premium across global developed equity and bond markets by selling (i.e., writing) call and put options to buyers seeking financial insurance in exchange for a premium, or payment, from the option buyer.

Systematic Equity Strategy – The Fund invests approximately 50% of its total assets in an actively managed portfolio of global equities that seeks to outperform the MSCI World Index while targeting a consistent level of risk relative to this benchmark.

The Fund is not designed to be market neutral. Over the long term, the Fund targets a portfolio beta of 0.5, typically within a range of range of 0.4 and 0.6, to the MSCI World Index.

The AQR Volatility Risk Premium Fund Class I Shares returned -4.34% since its inception on November 1, 2018. The Fund’s custom benchmark (50% MSCI World Index + 50% ICE BofA Merrill Lynch US 3-Month Treasury Bill) delivered a return of -3.52% over this period. As such, the Fund underperformed its benchmark.

The Volatility Risk Premium Strategy was close to flat in November and down moderately in December. Losses were concentrated in the Equity Volatility sleeve of the strategy, while the Bond Volatility sleeve was close to flat. Within the Equity Volatility sleeve, the S&P 500 was the primary detractor due to a quick increase in market volatility. For reference, during the month of December the VIX started at 18.1, peaked as high as 36.1, and ended the month at 25.4.

The major market dynamic driving performance of the Stock Selection Strategy in November and December was a sharp de-risking by market participants. Our Investor Sentiment theme, which aims to capture the positioning of “smart money,” detracted, particularly during November when this de-risking was most pronounced. However the year ended on a good note for the strategy, with all themes contributing positively to December performance, offsetting November’s losses.

AQR Funds Annual Report December 2018

32

Shareholder Letter (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR VOLATILITY RISK PREMIUM FUND
	Since Inception		Date of Inception
Fund - Class I:QVPIX		-4.34%		11/01/2018
Fund - Class N: QVPNX		-4.38%		11/01/2018
Fund - Class R6: QVPRX		-4.32%		11/01/2018
50% MSCI World index/50% ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		-3.52%		11/01/2018

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.07%, 1.32% and 0.97% respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR VOLATILITY RISK PREMIUM FUND VS. 50% MSCI WORLD INDEX**/50% ICE BofA MERRILL LYNCH
US 3-MONTH TREASURY BILL INDEX

VALUE OF $10,000 INVESTED ON 11/01/2018

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

AQR Funds Annual Report December 2018

33

Shareholder Letter (Unaudited)

DEFINITIONS:

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

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

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

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

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

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

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

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

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

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

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

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

Volatility:is a statistical measurement of up and down asset price fluctuations over time. If an asset has rapid dramatic price swings, its “volatility” will likely be relatively high. If prices are consistent and rarely change, “volatility” of that asset will likely be relatively low. “Volatility” can be measured as the standard deviation of an asset with a specific time horizon. It is often used to quantify the risk of such asset over a time period, typically expressed in annualized terms.

AQR Funds Annual Report December 2018

34

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 163.7%
COMMON STOCKS - 89.5%
Australia - 1.3%
AGL Energy Ltd. (2)		58,445	$	848,752
Ansell Ltd. (2)		8,149		126,592
Aurizon Holdings Ltd. (2)		23,877		72,037
BHP Group plc (2)		1,446		30,555
BlueScope Steel Ltd. (2)		28,149		217,145
CIMIC Group Ltd. (2)		4,236		129,537
Coca-Cola Amatil Ltd. (2)		26,859		154,911
Crown Resorts Ltd. (2)		21,803		182,214
CSL Ltd. (2)		224		29,258
Flight Centre Travel Group Ltd. (2)		2,701		81,683
Harvey Norman Holdings Ltd. (2)		138,588		308,480
Newcrest Mining Ltd. (2)		30,011		461,241
Santos Ltd. (2)		66,058		254,761
South32 Ltd. (2)		15,081		35,875
Star Entertainment Grp Ltd. (The) (2)		23,995		77,096
Telstra Corp. Ltd. (2)		384,986		772,615
Wesfarmers Ltd. (2)		10,543		239,523
Woodside Petroleum Ltd. (2)		28,273		622,781
Woolworths Group Ltd. (2)		9,612		199,391
				4,844,447
Belgium - 0.5%
Ageas (2)(a)		17,859		803,934
Colruyt SA (2)(a)		2,719		193,922
KBC Group NV (2)(a)		3,988		256,584
Proximus SADP (2)(a)		1,718		46,487
UCB SA (2)(a)		5,374		438,930
				1,739,857
Brazil - 0.0% (b)
Yamana Gold, Inc.		17,153		40,332
Canada - 2.0%
Air Canada *(a)		40,900		777,735
ARC Resources Ltd. (a)		5,305		31,476
Atco Ltd., Class I (a)		1,692		47,852
Bank of Montreal (a)		2,368		154,704
Bank of Nova Scotia (The) (a)		701		34,942
Barrick Gold Corp. (a)		6,147		82,984
CAE, Inc. (a)		1,714		31,500
Canadian Imperial Bank of Commerce (a)		9,309		693,334
Canadian Natural Resources Ltd. (a)		9,234		222,801
Canadian Tire Corp. Ltd., Class A (a)		3,157		330,084
CGI Group, Inc., Class A *(a)		6,663		407,530
CI Financial Corp. (a)		7,152		90,526
Constellation Software, Inc. (a)		57		36,486
Empire Co. Ltd., Class A (a)		13,549		286,125
Fairfax Financial Holdings Ltd. (a)		131		57,668
Franco-Nevada Corp. (a)		395		27,698
Gildan Activewear, Inc. (a)		924		28,048
Husky Energy, Inc. (a)		3,610		37,311
Hydro One Ltd. (a)(c)		11,888		176,335
Intact Financial Corp. (a)		402		29,208
Kinross Gold Corp. *		99,326		320,125
Linamar Corp. (a)		1,055		35,007

INVESTMENTS	SHARES		VALUE
Canada - 2.0% (continued)
Magna International, Inc. (a)		6,147	$	279,028
Methanex Corp. (a)		7,689		369,806
Metro, Inc. (a)		947		32,838
National Bank of Canada (a)		10,662		437,742
Northland Power, Inc. (a)		2,610		41,486
Peyto Exploration & Development Corp. (a)		21,707		112,574
Quebecor, Inc., Class B (a)		12,621		265,696
Royal Bank of Canada (a)		962		65,843
Seven Generations Energy Ltd., Class A *(a)		32,763		267,345
TMX Group Ltd. (a)		697		36,111
Toronto-Dominion Bank (The) (a)		8,263		410,729
Tourmaline Oil Corp. (a)		35,378		440,022
West Fraser Timber Co. Ltd. (a)		15,982		789,500
WestJet Airlines Ltd. (a)		5,797		76,433
				7,564,632
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd. (2)		453,600		416,787
Denmark - 0.6%
Carlsberg A/S, Class B (2)(a)		1,370		145,739
Coloplast A/S, Class B (2)(a)		1,613		150,034
GN Store Nord A/S (2)(a)		5,510		206,454
H Lundbeck A/S (2)(a)		6,285		276,621
Jyske Bank A/S (Registered) (2)(a)		778		28,167
Novo Nordisk A/S, Class B (2)(a)		3,300		151,559
Orsted A/S (2)(a)(c)		4,384		293,369
Pandora A/S (2)(a)		3,853		157,298
Rockwool International A/S, Class B (2)		1,952		510,456
Tryg A/S (2)		3,766		94,982
Vestas Wind Systems A/S (2)(a)		2,102		159,119
William Demant Holding A/S (2)*(a)		3,139		89,373
				2,263,171
Finland - 0.5%
Amer Sports OYJ (2)*(a)		2,027		89,113
Elisa OYJ (2)(a)		1,313		54,384
Fortum OYJ (2)(a)		1,689		36,971
Kesko OYJ, Class B (2)(a)		3,768		203,354
Neste OYJ (2)(a)		11,118		860,784
Sampo OYJ, Class A (2)(a)		12,017		532,589
UPM-Kymmene OYJ (2)(a)		5,213		131,961
				1,909,156
France - 1.9%
Alstom SA (2)(a)		1,055		42,616
AXA SA (2)(a)		61,521		1,327,741
Casino Guichard Perrachon SA (2)(a)		2,712		112,937
CNP Assurances (2)(a)		6,388		135,595
Electricite de France SA (2)(a)		64,960		1,028,113
Engie SA (2)(a)		35,958		516,642
Eutelsat Communications SA (2)(a)		3,972		78,253
Peugeot SA (2)(a)		50,454		1,076,074
Renault SA (2)(a)		7,694		479,284
Societe BIC SA (2)(a)		319		32,587
Societe Generale SA (2)(a)		8,606		272,849

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

AQR Funds Annual Report December 2018

35

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
France - 1.9% (continued)
Suez (2)(a)		3,064	$	40,545
Thales SA (2)(a)		590		68,946
TOTAL SA (2)(a)		32,365		1,707,095
				6,919,277
Germany - 1.9%
adidas AG (2)(a)		1,461		305,333
Allianz SE (Registered) (2)(a)		2,470		496,360
Bayer AG (Registered) (2)(a)		758		52,718
Bayerische Motoren Werke AG (2)(a)		8,292		672,524
Daimler AG (Registered) (2)(a)		11,646		613,918
E.ON SE (2)(a)		137,571		1,358,008
Hannover Rueck SE (2)(a)		4,425		596,358
MAN SE (2)(a)		1,084		111,835
METRO AG (2)(a)		12,753		196,232
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (2)(a)		1,614		352,011
ProSiebenSat.1 Media SE (2)(a)		5,780		102,847
RWE AG (2)(a)		14,396		313,543
Salzgitter AG (2)(a)		6,352		185,372
Schaeffler AG (Preference) (2)(a)		19,219		163,718
Talanx AG (2)		5,928		202,434
Volkswagen AG (Preference) (2)(a)		9,490		1,513,235
				7,236,446
Italy - 2.5%
A2A SpA (2)		183,219		330,431
Assicurazioni Generali SpA (2)(a)		125,113		2,091,137
BPER Banca (2)		65,055		250,565
Enel SpA (2)(a)		301,946		1,750,455
Eni SpA (2)(a)		151,196		2,388,476
Hera SpA (2)		44,510		135,790
Italgas SpA (2)		13,029		74,715
Poste Italiane SpA (2)(c)		141,982		1,138,512
Saipem SpA (2)*		43,804		164,150
Telecom Italia SpA (2)*		686,341		379,965
Terna Rete Elettrica Nazionale SpA (2)(a)		11,150		63,322
Unipol Gruppo SpA (2)		16,286		65,678
UnipolSai Assicurazioni SpA (2)		240,733		545,049
				9,378,245
Japan - 12.4%
AGC, Inc. (2)(a)		24,400		758,424
Alfresa Holdings Corp. (2)(a)		10,100		257,445
Alps Alpine Co. Ltd. (2)(a)		1,400		27,147
Amada Holdings Co. Ltd. (2)(a)		4,100		36,805
Aozora Bank Ltd. (2)(a)		11,700		348,717
Asahi Group Holdings Ltd. (2)(a)		2,300		89,134
Astellas Pharma, Inc. (2)(a)		25,000		319,416
Bandai Namco Holdings, Inc. (2)(a)		1,600		71,839
Bridgestone Corp. (2)(a)		6,200		237,868
Central Japan Railway Co. (2)(a)		3,100		654,061
Chubu Electric Power Co., Inc. (2)(a)		40,600		576,902
Citizen Watch Co. Ltd. (2)		41,000		201,917
Daicel Corp. (2)(a)		14,200		145,772
Dai-ichi Life Holdings, Inc. (2)(a)		9,700		150,637
Daiwa Securities Group, Inc. (2)(a)		43,400		220,283

INVESTMENTS	SHARES		VALUE
Japan - 12.4% (continued)
DeNA Co. Ltd. (2)		3,800	$	63,383
East Japan Railway Co. (2)(a)		4,900		432,720
Electric Power Development Co. Ltd. (2)(a)		24,800		588,501
Fujitsu Ltd. (2)(a)		2,700		168,308
Fukuoka Financial Group, Inc. (2)(a)		3,600		72,985
GungHo Online Entertainment, Inc. (2)		50,000		91,512
Gunma Bank Ltd. (The) (2)		10,600		44,104
Haseko Corp. (2)(a)		38,600		404,204
Hiroshima Bank Ltd. (The) (2)(a)		7,200		38,035
Hitachi Capital Corp. (2)(a)		1,400		29,436
Hitachi High-Technologies Corp. (2)(a)		2,600		81,417
Hitachi Ltd. (2)(a)		20,700		548,762
Honda Motor Co. Ltd. (2)(a)		1,100		28,980
Idemitsu Kosan Co. Ltd. (2)(a)		13,800		448,868
Iida Group Holdings Co. Ltd. (2)(a)		2,900		50,231
Inpex Corp. (2)(a)		145,100		1,285,705
ITOCHU Corp. (2)(a)		121,200		2,058,313
Japan Airlines Co. Ltd. (2)(a)		6,400		226,823
Japan Post Holdings Co. Ltd. (2)(a)		34,500		398,338
JFE Holdings, Inc. (2)(a)		35,400		563,863
JTEKT Corp. (2)(a)		19,500		215,665
JXTG Holdings, Inc. (2)(a)		304,800		1,582,987
Kajima Corp. (2)(a)		12,000		161,197
Kaken Pharmaceutical Co. Ltd. (2)(a)		1,900		84,364
Kamigumi Co. Ltd. (2)(a)		7,200		147,303
Kansai Electric Power Co., Inc. (The) (2)(a)		27,600		413,910
KDDI Corp. (2)(a)		18,900		451,614
Kirin Holdings Co. Ltd. (2)(a)		1,900		39,618
Kobe Steel Ltd. (2)(a)		73,600		510,137
Konica Minolta, Inc. (2)(a)		11,500		103,516
Kyushu Electric Power Co., Inc. (2)(a)		39,900		475,115
Kyushu Railway Co. (2)(a)		22,800		771,387
Mabuchi Motor Co. Ltd. (2)(a)		2,600		79,646
Marubeni Corp. (2)(a)		214,500		1,505,042
Mazda Motor Corp. (2)(a)		69,600		715,516
Medipal Holdings Corp. (2)(a)		15,300		327,331
Mitsubishi Chemical Holdings Corp. (2)(a)		77,900		588,532
Mitsubishi Corp. (2)(a)		63,800		1,749,175
Mitsubishi Electric Corp. (2)(a)		12,800		141,153
Mitsubishi Heavy Industries Ltd. (2)(a)		1,500		53,824
Mitsubishi Materials Corp. (2)(a)		1,200		31,621
Mitsubishi UFJ Financial Group, Inc. (2)		134,500		660,080
Mitsubishi UFJ Lease & Finance Co. Ltd. (2)		7,600		36,427
Mitsui & Co. Ltd. (2)(a)		120,900		1,857,424
Mitsui Chemicals, Inc. (2)(a)		9,600		216,732
Mixi, Inc. (2)		14,600		306,394
Mizuho Financial Group, Inc. (2)		691,400		1,069,760
MS&AD Insurance Group Holdings, Inc. (2)(a)		2,800		79,591
Nexon Co. Ltd. (2)*(a)		3,900		50,347
NGK Insulators Ltd. (2)(a)		3,400		46,084
NGK Spark Plug Co. Ltd. (2)(a)		4,000		79,180
NH Foods Ltd. (2)(a)		1,800		67,666
NHK Spring Co. Ltd. (2)(a)		30,900		269,964
Nippon Electric Glass Co. Ltd. (2)		3,200		78,399

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

AQR Funds Annual Report December 2018

36

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
Japan - 12.4% (continued)
Nippon Express Co. Ltd. (2)(a)		800	$	44,443
Nippon Shokubai Co. Ltd. (2)(a)		500		31,874
Nippon Steel & Sumitomo Metal Corp. (2)(a)		29,100		499,964
Nippon Telegraph & Telephone Corp. (2)(a)		38,900		1,587,093
Nissan Motor Co. Ltd. (2)(a)		57,500		459,961
Obayashi Corp. (2)(a)		20,100		182,004
ORIX Corp. (2)(a)		19,200		280,549
Osaka Gas Co. Ltd. (2)(a)		32,700		596,513
Resona Holdings, Inc. (2)		256,800		1,231,737
Sankyo Co. Ltd. (2)(a)		800		30,424
Sawai Pharmaceutical Co. Ltd. (2)(a)		1,800		85,745
Sekisui House Ltd. (2)(a)		2,400		35,244
SG Holdings Co. Ltd. (2)(a)		4,700		122,212
Shikoku Electric Power Co., Inc. (2)(a)		6,900		83,283
Shimamura Co. Ltd. (2)(a)		2,900		222,069
Shimizu Corp. (2)(a)		13,400		109,008
Shinsei Bank Ltd. (2)(a)		22,300		265,108
Shionogi & Co. Ltd. (2)(a)		500		28,538
Showa Denko KK (2)(a)		11,900		353,365
Sojitz Corp. (2)		417,900		1,447,060
Sompo Holdings, Inc. (2)(a)		1,200		40,764
Sumitomo Chemical Co. Ltd. (2)		96,000		464,901
Sumitomo Corp. (2)(a)		101,000		1,433,066
Sumitomo Dainippon Pharma Co. Ltd. (2)(a)		1,600		51,025
Sumitomo Heavy Industries Ltd. (2)(a)		14,600		432,907
Sumitomo Mitsui Financial Group, Inc. (2)(a)		25,300		834,016
Sumitomo Mitsui Trust Holdings, Inc. (2)(a)		7,200		262,202
Sumitomo Rubber Industries Ltd. (2)(a)		3,600		42,382
Suzuken Co. Ltd. (2)(a)		3,700		188,414
Taiheiyo Cement Corp. (2)(a)		10,700		329,295
Taisei Corp. (2)(a)		4,900		209,859
Teijin Ltd. (2)(a)		32,600		520,293
Toho Gas Co. Ltd. (2)(a)		800		33,651
Tohoku Electric Power Co., Inc. (2)(a)		35,500		467,390
Tokio Marine Holdings, Inc. (2)(a)		1,700		80,765
Tokyo Electric Power Co. Holdings, Inc. (2)*(a)		559,300		3,322,262
Tokyo Gas Co. Ltd. (2)(a)		46,000		1,163,439
Toppan Printing Co. Ltd. (2)(a)		8,000		117,594
Tosoh Corp. (2)(a)		26,000		337,249
Toyo Seikan Group Holdings Ltd. (2)(a)		8,800		201,416
Toyota Tsusho Corp. (2)(a)		5,600		164,542
West Japan Railway Co. (2)(a)		7,700		544,014
Yamada Denki Co. Ltd. (2)		76,200		365,967
Yamaguchi Financial Group, Inc. (2)		10,000		95,588
				46,086,751
Luxembourg - 0.2%
ArcelorMittal (2)(a)		25,445		526,721
SES SA, FDR (2)(a)		5,364		102,700
				629,421
Malta - 0.0% (b)
Kindred Group plc, SDR (2)		18,254		167,804

INVESTMENTS	SHARES		VALUE
Netherlands - 1.6%
Aegon NV (2)		264,556	$	1,239,086
ASR Nederland NV (2)(a)		16,661		659,259
Koninklijke Ahold Delhaize NV (2)(a)		106,246		2,684,008
Koninklijke Philips NV (2)(a)		3,068		107,563
NN Group NV (2)(a)		29,070		1,155,782
				5,845,698
Norway - 0.7%
Equinor ASA (2)(a)		66,134		1,402,843
Leroy Seafood Group ASA (2)(a)		31,847		242,371
Marine Harvest ASA (2)(a)		28,981		610,847
Salmar ASA (2)(a)		5,083		252,111
Telenor ASA (2)(a)		1,931		37,501
				2,545,673
Russia - 0.1%
Evraz plc (2)		35,679		218,480
Singapore - 0.2%
ComfortDelGro Corp. Ltd. (2)		175,500		277,211
SATS Ltd. (2)		15,600		53,431
Venture Corp. Ltd. (2)		24,100		247,430
				578,072
Spain - 1.3%
Acciona SA (2)(a)		946		80,017
ACS Actividades de Construccion y Servicios SA (2)(a)		6,209		240,333
Amadeus IT Group SA (2)(a)		416		28,944
Banco Bilbao Vizcaya Argentaria SA (2)(a)		133,370		708,437
CaixaBank SA (2)		14,324		51,873
Cia de Distribucion Integral Logista Holdings SA (2)		4,223		105,668
Distribuidora Internacional de Alimentacion SA (2)		142,584		75,208
Enagas SA (2)(a)		7,745		209,363
Endesa SA (2)(a)		36,054		831,430
Mapfre SA (2)		172,126		457,152
Mediaset Espana Comunicacion SA (2)(a)		5,170		32,500
Naturgy Energy Group SA (2)(a)		9,186		234,342
Repsol SA (2)(a)		96,524		1,551,822
Telefonica SA (2)(a)		7,051		59,351
				4,666,440
Sweden - 0.5%
Axfood AB (2)		9,066		155,067
Electrolux AB, Series B (2)(a)		1,338		28,203
Elekta AB, Class B (2)		2,960		35,147
Essity AB, Class B (2)(a)		1,656		40,707
ICA Gruppen AB (2)		1,659		59,266
Securitas AB, Class B (2)(a)		5,424		87,380
SSAB AB, Class A (2)		93,842		323,645
Swedish Orphan Biovitrum AB (2)*		25,574		559,000
Telefonaktiebolaget LM Ericsson, Class B (2)(a)		10,636		94,150
Telia Co. AB (2)		101,154		481,179
				1,863,744

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

AQR Funds Annual Report December 2018

37

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
Switzerland - 1.3%
Baloise Holding AG (Registered) (2)		1,176	$	162,359
Helvetia Holding AG (Registered) (2)		763		446,212
Novartis AG (Registered) (2)(a)		6,496		556,345
Roche Holding AG (2)(a)		3,055		758,431
Sonova Holding AG (Registered) (2)		865		142,246
Swiss Life Holding AG (Registered) (2)*(a)		4,500		1,736,864
Swiss Re AG (2)(a)		1,458		134,137
Swisscom AG (Registered) (2)(a)		336		160,600
Temenos AG (Registered) (2)*		359		43,138
Zurich Insurance Group AG (2)(a)		2,298		685,008
				4,825,340
United Kingdom - 1.9%
Aggreko plc (2)		14,698		137,044
Barratt Developments plc (2)		29,006		171,098
Bellway plc (2)		6,646		213,234
Berkeley Group Holdings plc (2)		7,693		341,208
Britvic plc (2)		6,626		67,485
BT Group plc (2)		152,121		462,539
Centrica plc (2)		385,683		665,294
Dialog Semiconductor plc (2)*(a)		10,526		272,767
Dixons Carphone plc (2)		50,214		76,908
Drax Group plc (2)		27,193		124,406
Fiat Chrysler Automobiles NV (2)*(a)		101,540		1,464,042
Greene King plc (2)		8,786		59,145
Hays plc (2)		16,803		29,996
Howden Joinery Group plc (2)		24,718		137,148
Indivior plc (2)*		36,730		52,626
John Wood Group plc (2)		20,911		134,540
Marks & Spencer Group plc (2)		29,415		92,257
Meggitt plc (2)		5,114		30,720
Moneysupermarket.com Group plc (2)		24,188		84,923
National Grid plc (2)		78,935		772,248
nVent Electric plc (a)		7,431		166,900
Pennon Group plc (2)		11,146		98,530
Persimmon plc (2)		5,747		141,524
Petrofac Ltd. (2)		16,434		99,757
Royal Mail plc (2)		109,772		381,006
RPC Group plc (2)		20,258		168,412
Saga plc (2)		24,762		32,682
Taylor Wimpey plc (2)		102,489		178,214
United Utilities Group plc (2)		19,976		187,824
WH Smith plc (2)		1,664		36,502
Whitbread plc (2)		568		33,169
				6,914,148
United States - 58.0%
Aaron’s, Inc. (a)		6,641		279,254
Abbott Laboratories (a)		13,685		989,836
AbbVie, Inc. (a)		16,555		1,526,205
ABIOMED, Inc. *(a)		363		117,990
Accenture plc, Class A (a)		2,226		313,888
Adobe, Inc. *(a)		3,846		870,119
Adtalem Global Education, Inc. *(a)		9,295		439,839
Advance Auto Parts, Inc. (a)		211		33,224
AES Corp. (a)		98,624		1,426,103
Aflac, Inc. (a)		36,755		1,674,558

INVESTMENTS	SHARES		VALUE
United States - 58.0% (continued)
Agilent Technologies, Inc. (a)		6,816	$	459,807
Air Lease Corp. (a)		10,962		331,162
Akamai Technologies, Inc. *(a)		14,217		868,374
Alexion Pharmaceuticals, Inc. *(a)		11,733		1,142,325
Alleghany Corp. (a)		456		284,234
Allergan plc (a)		1,527		204,099
Allison Transmission Holdings, Inc. (a)		663		29,112
Allstate Corp. (The) (a)		16,136		1,333,318
Ally Financial, Inc. (a)		1,255		28,438
Alphabet, Inc., Class A *(a)		1,141		1,192,299
Amazon.com, Inc. *(a)		123		184,742
AMC Networks, Inc., Class A *(a)		19,242		1,056,001
Amdocs Ltd. (a)		3,078		180,309
AMERCO (a)		1,168		383,232
Ameren Corp. (a)		3,040		198,299
American Eagle Outfitters, Inc. (a)		35,715		690,371
American Financial Group, Inc. (a)		2,193		198,532
Ameriprise Financial, Inc. (a)		2,217		231,388
Amgen, Inc. (a)		13,592		2,645,956
ANSYS, Inc. *(a)		852		121,785
Anthem, Inc. (a)		9,569		2,513,107
Archer-Daniels-Midland Co. (a)		5,044		206,653
Arrow Electronics, Inc. *(a)		14,410		993,570
Aspen Technology, Inc. *(a)		1,968		161,730
Assurant, Inc. (a)		1,655		148,023
Assured Guaranty Ltd. (a)		23,737		908,652
AT&T, Inc. (a)		14,802		422,449
Athene Holding Ltd., Class A *(a)		43,068		1,715,398
AutoZone, Inc. *(a)		397		332,821
Avnet, Inc. (a)		5,865		211,727
AXA Equitable Holdings, Inc. (a)		35,182		585,077
Bank of New York Mellon Corp. (The) (a)		4,436		208,803
Bausch Health Cos., Inc. *(a)		1,518		28,076
Baxter International, Inc. (a)		9,302		612,258
Becton Dickinson and Co. (a)		355		79,989
Bed Bath & Beyond, Inc. (a)		37,656		426,266
Best Buy Co., Inc. (a)		4,680		247,853
Biogen, Inc. *(a)		11,539		3,472,317
Bio-Rad Laboratories, Inc., Class A *(a)		630		146,299
Bio-Techne Corp. (a)		3,820		552,830
Boeing Co. (The) (a)		4,093		1,319,993
Booking Holdings, Inc. *(a)		1,187		2,044,513
Booz Allen Hamilton Holding Corp. (a)		4,703		211,964
Boston Beer Co., Inc. (The), Class A *(a)		2,398		577,534
Boyd Gaming Corp. (a)		1,685		35,014
Brinker International, Inc. (a)		8,351		367,277
Bristol-Myers Squibb Co. (a)		13,178		684,992
Broadridge Financial Solutions, Inc. (a)		419		40,329
BRP, Inc. (a)		13,116		339,525
Bruker Corp. (a)		4,248		126,463
Brunswick Corp. (a)		11,692		543,093
Burlington Stores, Inc. *(a)		2,271		369,424
Cadence Design Systems, Inc. *(a)		10,709		465,627
Capital One Financial Corp. (a)		4,086		308,861
Cardinal Health, Inc. (a)		6,385		284,771
Carlisle Cos., Inc. (a)		314		31,563
Carnival Corp. (a)		3,933		193,897

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

AQR Funds Annual Report December 2018

38

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 58.0% (continued)
Cars.com, Inc. *(a)		2,259	$	48,569
CDK Global, Inc. (a)		608		29,111
CDW Corp. (a)		9,589		777,188
Celanese Corp. (a)		496		44,625
Celgene Corp. *(a)		23,014		1,474,967
Centene Corp. *(a)		2,480		285,944
CenturyLink, Inc. (a)		77,450		1,173,368
Cerner Corp. *(a)		3,435		180,131
CH Robinson Worldwide, Inc. (a)		7,653		643,541
Charles River Laboratories International, Inc. *(a)		18,115		2,050,256
Cheesecake Factory, Inc. (The) (a)		2,289		99,594
Chemed Corp. (a)		363		102,831
Chesapeake Energy Corp. *		318,139		668,092
Chubb Ltd. (a)		310		40,046
Church & Dwight Co., Inc. (a)		582		38,272
Churchill Downs, Inc. (a)		755		184,175
Ciena Corp. *(a)		19,990		677,861
Cigna Corp. (a)		13,183		2,503,716
Cinemark Holdings, Inc. (a)		4,848		173,558
Cirrus Logic, Inc. *(a)		12,945		429,515
Cisco Systems, Inc. (a)		18,149		786,396
Citrix Systems, Inc. (a)		5,693		583,305
Clorox Co. (The) (a)		1,693		260,959
CME Group, Inc. (a)		1,095		205,991
CNX Resources Corp. *		11,087		126,614
Cognizant Technology Solutions Corp., Class A (a)		8,124		515,712
Columbia Sportswear Co. (a)		3,713		312,226
Comcast Corp., Class A (a)		8,057		274,341
Commerce Bancshares, Inc. (a)		732		41,263
CommScope Holding Co., Inc. *(a)		14,996		245,784
ConocoPhillips (a)		1,930		120,336
Consolidated Edison, Inc. (a)		45,973		3,515,097
Constellation Brands, Inc., Class A (a)		892		143,451
Cooper Cos., Inc. (The) (a)		1,709		434,941
Costco Wholesale Corp. (a)		8,240		1,678,570
Cracker Barrel Old Country Store, Inc. (a)		3,800		607,468
Crane Co. (a)		1,397		100,835
Credit Acceptance Corp. *(a)		308		117,582
Cummins, Inc. (a)		2,599		347,330
Curtiss-Wright Corp. (a)		6,374		650,913
Dana, Inc. (a)		3,261		44,447
Danaher Corp. (a)		18,170		1,873,690
Darden Restaurants, Inc. (a)		4,424		441,781
DaVita, Inc. *(a)		1,048		53,930
Deckers Outdoor Corp. *(a)		9,908		1,267,729
Deere & Co. (a)		467		69,662
Dell Technologies, Inc., Class C *		10,052		491,237
Delphi Technologies plc		4,395		62,936
Delta Air Lines, Inc. (a)		14,353		716,215
Dick’s Sporting Goods, Inc. (a)		23,136		721,843
Dillard’s, Inc., Class A (a)		11,706		705,989
Discover Financial Services (a)		3,099		182,779
Dolby Laboratories, Inc., Class A (a)		488		30,178
Dollar General Corp. (a)		2,532		273,659

INVESTMENTS	SHARES		VALUE
United States - 58.0% (continued)
DR Horton, Inc. (a)		1,067	$	36,982
DTE Energy Co. (a)		5,813		641,174
Dun & Bradstreet Corp. (The) (a)		612		87,357
DXC Technology Co. (a)		3,073		163,391
Eastman Chemical Co. (a)		630		46,059
Eaton Corp. plc (a)		13,466		924,576
eBay, Inc. *(a)		7,252		203,564
EchoStar Corp., Class A *(a)		1,764		64,774
Edwards Lifesciences Corp. *(a)		4,058		621,564
Eldorado Resorts, Inc. *(a)		17,016		616,149
Electronic Arts, Inc. *(a)		8,452		666,947
Eli Lilly & Co. (a)		16,351		1,892,138
EMCOR Group, Inc. (a)		1,485		88,640
Encompass Health Corp. (a)		3,565		219,961
EnerSys (a)		2,486		192,938
EPAM Systems, Inc. *(a)		419		48,608
Estee Lauder Cos., Inc. (The), Class A (a)		9,977		1,298,008
Everest Re Group Ltd. (a)		4,421		962,717
Exelixis, Inc. *(a)		58,261		1,145,994
Exelon Corp. (a)		45,081		2,033,153
Expedia Group, Inc. (a)		1,356		152,753
Expeditors International of Washington, Inc. (a)		4,489		305,656
F5 Networks, Inc. *(a)		6,070		983,522
Facebook, Inc., Class A *(a)		10,858		1,423,375
Fair Isaac Corp. *(a)		1,038		194,106
Federated Investors, Inc., Class B (a)		10,143		269,297
Fidelity National Financial, Inc. (a)		2,929		92,088
First American Financial Corp. (a)		2,660		118,742
Fiserv, Inc. *(a)		480		35,275
FLIR Systems, Inc. (a)		6,481		282,183
Foot Locker, Inc. (a)		27,157		1,444,752
Fortinet, Inc. *(a)		9,967		701,976
Gap, Inc. (The) (a)		22,515		579,986
GATX Corp. (a)		2,145		151,887
General Dynamics Corp. (a)		1,602		251,850
Gilead Sciences, Inc. (a)		25,763		1,611,476
Globus Medical, Inc., Class A *(a)		16,331		706,806
Goodyear Tire & Rubber Co. (The) (a)		1,854		37,840
Graham Holdings Co., Class B (a)		942		603,426
Grand Canyon Education, Inc. *(a)		595		57,203
GrubHub, Inc. *(a)		2,179		167,369
H&R Block, Inc. (a)		40,348		1,023,629
Haemonetics Corp. *(a)		3,240		324,162
Hanover Insurance Group, Inc. (The) (a)		1,149		134,169
Hasbro, Inc. (a)		1,523		123,744
HCA Healthcare, Inc. (a)		14,597		1,816,597
Helen of Troy Ltd. *(a)		2,751		360,876
Helmerich & Payne, Inc. (a)		13,268		636,068
Herman Miller, Inc. (a)		4,872		147,378
Hewlett Packard Enterprise Co. (a)		25,133		332,007
Hill-Rom Holdings, Inc. (a)		4,075		360,841
HollyFrontier Corp. (a)		25,786		1,318,180
Honeywell International, Inc. (a)		3,841		507,473
Hormel Foods Corp. (a)		1,594		68,032
HP, Inc. (a)		24,335		497,894

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

AQR Funds Annual Report December 2018

39

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 58.0% (continued)
Humana, Inc. (a)		6,046	$	1,732,058
Huntington Ingalls Industries, Inc. (a)		7,667		1,459,107
IAC/InterActiveCorp *(a)		4,166		762,545
ICU Medical, Inc. *(a)		1,287		295,534
Illumina, Inc. *(a)		1,001		300,230
Ingredion, Inc. (a)		1,776		162,326
Intel Corp. (a)		19,424		911,568
InterDigital, Inc. (a)		710		47,165
International Business Machines Corp. (a)		6,252		710,665
International Paper Co. (a)		16,043		647,495
Intuit, Inc. (a)		2,860		562,991
Intuitive Surgical, Inc. *(a)		473		226,529
IQVIA Holdings, Inc. *(a)		13,854		1,609,419
ITT, Inc. (a)		3,071		148,237
j2 Global, Inc. (a)		14,375		997,338
Jabil, Inc. (a)		17,269		428,099
Jacobs Engineering Group, Inc. (a)		3,374		197,244
Jazz Pharmaceuticals plc *(a)		2,308		286,100
JetBlue Airways Corp. *(a)		58,333		936,828
John Wiley & Sons, Inc., Class A (a)		4,949		232,455
Johnson & Johnson (a)		8,841		1,140,931
JPMorgan Chase & Co. (a)		2,513		245,319
Juniper Networks, Inc. (a)		13,499		363,258
KB Home (a)		5,452		104,133
Keysight Technologies, Inc. *(a)		3,685		228,765
Kirby Corp. *(a)		1,921		129,399
KLA-Tencor Corp. (a)		430		38,481
Kohl’s Corp. (a)		34,780		2,307,306
Kroger Co. (The) (a)		38,261		1,052,178
Laboratory Corp. of America Holdings *(a)		10,890		1,376,060
Lam Research Corp. (a)		3,756		511,455
Landstar System, Inc. (a)		2,300		220,041
Lennar Corp., Class A (a)		5,816		227,696
Lockheed Martin Corp. (a)		1,040		272,314
LogMeIn, Inc. (a)		3,952		322,365
Lowe’s Cos., Inc. (a)		3,401		314,116
LPL Financial Holdings, Inc. (a)		572		34,938
Lululemon Athletica, Inc. *(a)		5,132		624,103
Lumentum Holdings, Inc. *(a)		15,546		653,087
LyondellBasell Industries NV, Class A (a)		3,810		316,839
Macy’s, Inc. (a)		75,971		2,262,416
Mallinckrodt plc *(a)		30,577		483,116
Manhattan Associates, Inc. *(a)		2,708		114,738
ManpowerGroup, Inc. (a)		13,053		845,834
Marathon Petroleum Corp. (a)		6,944		409,765
Masimo Corp. *(a)		4,247		456,000
Match Group, Inc. (a)		10,282		439,761
MAXIMUS, Inc. (a)		4,095		266,544
McDermott International, Inc. *(a)		118,329		773,872
McKesson Corp. (a)		2,303		254,412
MEDNAX, Inc. *(a)		8,769		289,377
Medtronic plc (a)		20,110		1,829,205
Merck & Co., Inc. (a)		34,486		2,635,076
Mettler-Toledo International, Inc. *(a)		150		84,837
Michael Kors Holdings Ltd. *(a)		3,983		151,035
Michaels Cos., Inc. (The) *(a)		14,298		193,595
Micron Technology, Inc. *(a)		105,275		3,340,377

INVESTMENTS	SHARES		VALUE
United States - 58.0% (continued)
Microsoft Corp. (a)		12,520	$	1,271,656
MKS Instruments, Inc. (a)		7,827		505,702
Molina Healthcare, Inc. *(a)		664		77,170
Molson Coors Brewing Co., Class B (a)		676		37,964
Morgan Stanley (a)		2,214		87,785
MSA Safety, Inc. (a)		1,115		105,111
MSCI, Inc. (a)		292		43,050
Murphy USA, Inc. *(a)		2,943		225,552
Mylan NV *(a)		31,835		872,279
Nasdaq, Inc. (a)		821		66,969
Netflix, Inc. *(a)		139		37,205
New Jersey Resources Corp. (a)		5,579		254,793
NextEra Energy, Inc. (a)		1,765		306,792
NIKE, Inc., Class B (a)		6,522		483,541
Nordstrom, Inc. (a)		2,623		122,258
Norfolk Southern Corp. (a)		264		39,479
Northrop Grumman Corp. (a)		1,078		264,002
NorthWestern Corp. (a)		10,415		619,068
Norwegian Cruise Line Holdings Ltd. *(a)		4,427		187,661
NRG Energy, Inc. (a)		14,381		569,488
Nu Skin Enterprises, Inc., Class A (a)		6,735		413,058
NuVasive, Inc. *(a)		2,201		109,082
Old Dominion Freight Line, Inc. (a)		801		98,915
Old Republic International Corp. (a)		28,392		584,023
Omnicom Group, Inc. (a)		1,143		83,713
ON Semiconductor Corp. *(a)		33,144		547,207
OneMain Holdings, Inc. *(a)		9,099		221,015
Oracle Corp. (a)		28,920		1,305,738
Oshkosh Corp. (a)		578		35,437
Packaging Corp. of America (a)		2,028		169,257
Parker-Hannifin Corp. (a)		585		87,247
Patterson Cos., Inc. (a)		2,583		50,782
Patterson-UTI Energy, Inc. (a)		43,799		453,320
Paycom Software, Inc. *(a)		352		43,102
PBF Energy, Inc., Class A (a)		55,033		1,797,928
Penske Automotive Group, Inc. (a)		5,080		204,826
PerkinElmer, Inc. (a)		2,366		185,849
Pfizer, Inc. (a)		64,349		2,808,835
Phillips 66 (a)		1,881		162,048
Pilgrim’s Pride Corp. *(a)		28,682		444,858
Popular, Inc. (a)		2,087		98,548
PRA Health Sciences, Inc. *(a)		15,877		1,460,049
Progressive Corp. (The) (a)		880		53,090
PTC, Inc. *(a)		460		38,134
Public Service Enterprise Group, Inc. (a)		15,360		799,488
PulteGroup, Inc. (a)		62,967		1,636,512
QIAGEN NV *(a)		9,723		334,957
Qorvo, Inc. *(a)		1,743		105,852
Quanta Services, Inc. (a)		21,957		660,906
Quest Diagnostics, Inc. (a)		3,856		321,089
Qurate Retail, Inc. *(a)		25,830		504,202
Ralph Lauren Corp. (a)		2,794		289,067
Raytheon Co. (a)		8,152		1,250,109
Regal Beloit Corp. (a)		2,881		201,814
Regeneron Pharmaceuticals, Inc. *(a)		3,578		1,336,383
Reinsurance Group of America, Inc. (a)		6,606		926,359
Reliance Steel & Aluminum Co. (a)		496		35,300

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

AQR Funds Annual Report December 2018

40

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 58.0% (continued)
Republic Services, Inc. (a)		2,989	$	215,477
ResMed, Inc. (a)		7,337		835,464
Robert Half International, Inc. (a)		27,468		1,571,170
Ross Stores, Inc. (a)		4,871		405,267
Royal Caribbean Cruises Ltd. (a)		1,891		184,921
RPC, Inc. (a)		44,975		443,903
Sally Beauty Holdings, Inc. *(a)		31,758		541,474
Sanderson Farms, Inc. (a)		443		43,985
Santander Consumer USA Holdings, Inc. (a)		9,509		167,263
Schneider National, Inc., Class B (a)		3,747		69,956
Science Applications International Corp. (a)		1,438		91,601
Seagate Technology plc (a)		25,229		973,587
Service Corp. International (a)		16,956		682,649
ServiceMaster Global Holdings, Inc. *(a)		7,656		281,281
Silgan Holdings, Inc. (a)		2,956		69,821
Skechers U.S.A., Inc., Class A *(a)		12,783		292,603
SM Energy Co. (a)		17,982		278,361
Snap-on, Inc. (a)		3,884		564,306
Sonoco Products Co. (a)		4,559		242,220
Southwest Airlines Co. (a)		1,400		65,072
Southwestern Energy Co. *		181,706		619,617
Spirit AeroSystems Holdings, Inc., Class A (a)		15,399		1,110,114
SS&C Technologies Holdings, Inc. (a)		964		43,486
STERIS plc (a)		3,615		386,263
Stryker Corp. (a)		3,731		584,834
SunTrust Banks, Inc. (a)		582		29,356	��
Symantec Corp. (a)		45,825		865,863
Synchrony Financial (a)		5,750		134,895
Synopsys, Inc. *(a)		1,976		166,458
T. Rowe Price Group, Inc. (a)		1,627		150,205
Tapestry, Inc.		12,441		419,884
Target Corp. (a)		16,514		1,091,410
Tech Data Corp. *(a)		11,417		934,025
TEGNA, Inc. (a)		31,178		338,905
Teledyne Technologies, Inc. *(a)		4,185		866,588
Telephone & Data Systems, Inc. (a)		12,447		405,025
Texas Instruments, Inc. (a)		449		42,431
Textron, Inc. (a)		31,470		1,447,305
Thermo Fisher Scientific, Inc. (a)		10,495		2,348,677
TJX Cos., Inc. (The) (a)		6,470		289,468
T-Mobile US, Inc. *(a)		13,862		881,762
Toll Brothers, Inc. (a)		5,730		188,689
Torchmark Corp. (a)		12,202		909,415
Total System Services, Inc. (a)		384		31,215
Tractor Supply Co. (a)		491		40,969
Travelers Cos., Inc. (The) (a)		2,353		281,772
TRI Pointe Group, Inc. *(a)		17,485		191,111
TripAdvisor, Inc. *(a)		3,344		180,375
Tyson Foods, Inc., Class A (a)		5,350		285,690
Ubiquiti Networks, Inc. (a)		793		78,832
UGI Corp. (a)		8,431		449,794
United Continental Holdings, Inc. *(a)		15,881		1,329,716
United Rentals, Inc. *(a)		1,712		175,531
United Technologies Corp. (a)		3,830		407,818

INVESTMENTS	SHARES		VALUE
United States - 58.0% (continued)
United Therapeutics Corp. *(a)		13,559	$	1,476,575
UnitedHealth Group, Inc. (a)		5,183		1,291,189
Universal Health Services, Inc., Class B (a)		10,190		1,187,746
Urban Outfitters, Inc. *(a)		22,576		749,523
Valero Energy Corp. (a)		12,123		908,861
Varian Medical Systems, Inc. *(a)		5,977		677,254
Veeva Systems, Inc., Class A *(a)		3,192		285,109
VeriSign, Inc. *(a)		4,105		608,730
Verizon Communications, Inc. (a)		62,075		3,489,858
Vertex Pharmaceuticals, Inc. *(a)		1,381		228,846
VF Corp. (a)		6,284		448,301
Viacom, Inc., Class B (a)		88,658		2,278,511
Vishay Intertechnology, Inc. (a)		13,801		248,556
Vistra Energy Corp. *(a)		83,188		1,904,173
VMware, Inc., Class A (a)		3,290		451,158
Voya Financial, Inc. (a)		3,324		133,425
Walgreens Boots Alliance, Inc. (a)		16,561		1,131,613
Walmart, Inc. (a)		17,586		1,638,136
Walt Disney Co. (The) (a)		5,803		636,299
Waste Management, Inc. (a)		9,753		867,919
Waters Corp. *(a)		2,597		489,924
Weight Watchers International, Inc. *(a)		8,285		319,387
Werner Enterprises, Inc. (a)		19,366		572,072
WESCO International, Inc. *(a)		1,561		74,928
West Pharmaceutical Services, Inc. (a)		1,944		190,570
Westlake Chemical Corp. (a)		549		36,327
Williams-Sonoma, Inc. (a)		7,114		358,901
Woodward, Inc. (a)		3,115		231,413
WW Grainger, Inc. (a)		383		108,144
Zebra Technologies Corp., Class A *(a)		3,113		495,683
Zimmer Biomet Holdings, Inc. (a)		4,534		470,266
Zoetis, Inc. (a)		14,273		1,220,912
				215,701,887
TOTAL COMMON STOCKS (Cost $349,299,104)				332,355,808
		NO. OF RIGHTS
RIGHTS - 0.0% (b)
Spain - 0.0% (b)
Repsol SA, expiring 1/18/2019 (2)* (Cost $32,019)		69,647		31,919
		SHARES
SHORT-TERM INVESTMENTS - 74.2%
INVESTMENT COMPANIES - 51.1%
BlackRock Liquidity FundsT-Fund Portfolio, Institutional Shares, 2.32% (d)		21,640		21,640
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (d)		86,560		86,560
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (d)(e)		9,540,000		9,540,000

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

AQR Funds Annual Report December 2018

41

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
INVESTMENT COMPANIES - 51.1% (continued)
Limited Purpose Cash Investment Fund, 2.50% (d)		180,042,255		$	180,042,255
UBS Select Treasury Preferred Fund, Class I, 2.34% (d)		108,200			108,200
TOTAL INVESTMENT COMPANIES (Cost $189,768,872)					189,798,655
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 23.1%
U.S. Treasury Bills 2.20%, 1/24/2019 (2)(f)	$	11,800,000			11,783,540
2.20%, 1/31/2019 (2)(f)		11,800,000			11,778,232
2.22%, 2/7/2019 (2)(f)		11,800,000			11,772,108
2.22%, 2/14/2019 (2)(f)		11,800,000			11,766,244
2.22%, 2/21/2019 (2)(f)		11,800,000			11,761,281
2.24%, 2/28/2019 (2)(f)		11,800,000			11,755,510
2.27%, 3/7/2019 (2)(f)(g)		7,903,000			7,869,544
2.29%, 3/14/2019 (2)(f)(g)		1,214,000			1,208,293
2.51%, 6/27/2019 (2)(f)		3,092,000			3,055,135
2.54%, 7/5/2019 (2)(f)		2,940,000			2,902,563
TOTAL U.S. TREASURY OBLIGATIONS (Cost $85,661,307)					85,652,450
					��
TOTAL SHORT-TERM INVESTMENTS (Cost $275,430,179)					275,451,105
TOTAL LONG POSITIONS (Cost $624,761,302)					607,838,832
		SHARES
SHORT POSITIONS - (75.3)%
COMMON STOCKS - (75.3)%
Argentina - (0.3)%
MercadoLibre, Inc. *		(3,454	)		(1,011,504	)
Australia - (1.2)%
Alumina Ltd. (2)		(21,225	)		(34,380	)
AMP Ltd. (2)		(295,383	)		(509,912	)
APA Group (2)		(45,776	)		(274,205	)
Caltex Australia Ltd. (2)		(2,141	)		(38,412	)
Challenger Ltd. (2)		(49,901	)		(333,619	)
Domino’s Pizza Enterprises Ltd. (2)		(11,470	)		(328,583	)
Iluka Resources Ltd. (2)		(16,241	)		(87,264	)
LendLease Group (2)		(15,996	)		(131,043	)
Medibank Pvt Ltd. (2)		(82,903	)		(150,086	)
Origin Energy Ltd. (2)*		(52,266	)		(238,418	)
QBE Insurance Group Ltd. (2)		(122,392	)		(871,507	)
Ramsay Health Care Ltd. (2)		(2,718	)		(110,559	)
SEEK Ltd. (2)		(34,676	)		(413,691	)
Tabcorp Holdings Ltd. (2)		(13,666	)		(41,315	)
Transurban Group (2)		(36,357	)		(298,401	)
Treasury Wine Estates Ltd. (2)		(35,377	)		(368,904	)
Vocus Group Ltd. (2)*		(75,131	)		(169,453	)
					(4,399,752	)

INVESTMENTS	SHARES			VALUE
Austria - (0.1)%
ams AG (2)		(21,803	)	$	(525,022	)
Belgium - (0.5)%
Anheuser-Busch InBev SA/NV (2)		(12,473	)		(821,709	)
Galapagos NV (2)*		(5,319	)		(487,545	)
Telenet Group Holding NV (2)		(8,107	)		(377,077	)
					(1,686,331	)
Canada - (2.0)%
Agnico Eagle Mines Ltd.		(2,310	)		(93,232	)
AltaGas Ltd.		(48,843	)		(497,303	)
BlackBerry Ltd. *		(39,604	)		(281,684	)
Bombardier, Inc., Class B *		(76,119	)		(113,186	)
Cameco Corp.		(36,725	)		(416,425	)
Canadian Utilities Ltd., Class A		(1,462	)		(33,541	)
CCL Industries, Inc., Class B		(1,558	)		(57,130	)
Cenovus Energy, Inc.		(20,976	)		(147,502	)
Dollarama, Inc.		(12,319	)		(292,996	)
Element Fleet Management Corp.		(55,081	)		(278,794	)
Enbridge, Inc.		(37,534	)		(1,165,995	)
Imperial Oil Ltd.		(2,129	)		(53,942	)
Inter Pipeline Ltd.		(17,493	)		(247,813	)
Keyera Corp.		(11,317	)		(213,955	)
Onex Corp.		(1,269	)		(69,111	)
Pembina Pipeline Corp.		(15,109	)		(448,334	)
PrairieSky Royalty Ltd.		(9,816	)		(127,050	)
Restaurant Brands International, Inc.		(3,599	)		(188,017	)
Shopify, Inc., Class A *		(3,954	)		(546,789	)
SNC-Lavalin Group, Inc.		(2,021	)		(67,979	)
Stars Group, Inc. (The) *		(17,079	)		(281,981	)
Teck Resources Ltd., Class B		(1,648	)		(35,478	)
TransCanada Corp.		(27,216	)		(971,858	)
Wheaton Precious Metals Corp.		(38,103	)		(743,807	)
					(7,373,902	)
Chile - 0.0% (b)
Antofagasta plc (2)		(8,858	)		(88,594	)
Lundin Mining Corp.		(8,733	)		(36,078	)
					(124,672	)
Colombia - (0.1)%
Millicom International Cellular SA, SDR (2)		(4,215	)		(266,707	)
Denmark - (0.6)%
AP Moller - Maersk A/S, Class B (2)		(1,238	)		(1,557,320	)
Chr Hansen Holding A/S (2)		(386	)		(34,264	)
FLSmidth & Co. A/S (2)		(4,295	)		(193,725	)
Genmab A/S (2)*		(2,858	)		(469,914	)
					(2,255,223	)
Finland - (0.2)%
Cargotec OYJ, Class B (2)		(1,200	)		(36,825	)
Huhtamaki OYJ (2)		(4,253	)		(131,603	)
Metso OYJ (2)		(4,238	)		(111,342	)
Nokian Renkaat OYJ (2)		(1,392	)		(42,753	)
Orion OYJ, Class B (2)		(8,958	)		(311,639	)
Outokumpu OYJ (2)		(7,905	)		(28,815	)
Wartsila OYJ Abp (2)		(3,801	)		(60,675	)
					(723,652	)

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

AQR Funds Annual Report December 2018

42

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
France - (1.5)%
Accor SA (2)		(7,283	)	$	(309,705	)
Airbus SE (2)		(7,668	)		(731,065	)
Altran Technologies SA (2)		(13,806	)		(110,961	)
BioMerieux (2)		(1,283	)		(84,627	)
Bollore SA (2)*		(36	)		(141	)
Bollore SA (2)		(27,444	)		(110,030	)
Bureau Veritas SA (2)		(1,428	)		(29,099	)
Cie Plastic Omnium SA (2)		(3,182	)		(73,441	)
Dassault Systemes SE (2)		(3,179	)		(377,601	)
Edenred (2)		(12,431	)		(457,821	)
Elior Group SA (2)(c)		(2,695	)		(40,326	)
Getlink SE (2)		(2,749	)		(36,939	)
Iliad SA (2)		(7,153	)		(1,003,869	)
Ingenico Group SA (2)		(5,950	)		(337,528	)
JCDecaux SA (2)		(4,826	)		(135,587	)
Natixis SA (2)		(7,408	)		(34,940	)
Orpea (2)		(1,693	)		(172,921	)
Remy Cointreau SA (2)		(1,865	)		(211,395	)
Safran SA (2)		(684	)		(82,036	)
SEB SA (2)		(459	)		(59,321	)
Sopra Steria Group (2)		(313	)		(28,917	)
SPIE SA (2)		(3,359	)		(44,596	)
Technicolor SA (Registered) (2)*		(75,575	)		(82,589	)
Valeo SA (2)		(20,326	)		(592,820	)
Vivendi SA (2)		(18,644	)		(451,881	)
Worldline SA (2)*(c)		(634	)		(30,660	)
					(5,630,816	)
Germany - (1.8)%
1&1 Drillisch AG (2)		(8,873	)		(453,156	)
Beiersdorf AG (2)		(408	)		(42,555	)
CECONOMY AG (2)		(41,062	)		(148,101	)
Commerzbank AG (2)*		(23,904	)		(158,725	)
Continental AG (2)		(271	)		(37,733	)
CTS Eventim AG & Co. KGaA (2)		(1,037	)		(38,726	)
Delivery Hero SE (2)*(c)		(7,207	)		(269,066	)
Deutsche Bank AG (Registered) (2)		(206,467	)		(1,646,614	)
Deutsche Post AG (Registered) (2)		(1,077	)		(29,412	)
Duerr AG (2)		(988	)		(34,797	)
Fielmann AG (2)		(1,447	)		(89,608	)
GEA Group AG (2)		(12,915	)		(332,505	)
Infineon Technologies AG (2)		(58,188	)		(1,165,021	)
KION Group AG (2)		(1,120	)		(56,956	)
LANXESS AG (2)		(629	)		(28,919	)
OSRAM Licht AG (2)		(19,981	)		(869,545	)
Telefonica Deutschland Holding AG (2)		(94,278	)		(371,071	)
thyssenkrupp AG (2)		(21,488	)		(369,120	)
United Internet AG (Registered) (2)		(3,949	)		(172,842	)
Zalando SE (2)*(c)		(8,733	)		(225,647	)
					(6,540,119	)
Ghana - (0.1)%
Kosmos Energy Ltd. *		(143,078	)		(556,573	)
Ireland - (0.1)%
James Hardie Industries plc, CHESS (2)		(38,607	)		(420,615	)

INVESTMENTS	SHARES			VALUE
Italy - (1.3)%
Atlantia SpA (2)		(11,298	)	$	(233,814	)
Banca Generali SpA (2)		(10,489	)		(218,058	)
Brembo SpA (2)		(18,680	)		(190,644	)
Buzzi Unicem SpA (2)		(10,221	)		(176,294	)
Davide Campari-Milano SpA (2)		(32,975	)		(279,245	)
Ferrari NV (2)		(13,582	)		(1,351,466	)
FinecoBank Banca Fineco SpA (2)		(22,618	)		(227,570	)
Leonardo SpA (2)		(72,856	)		(641,877	)
Moncler SpA (2)		(10,255	)		(341,262	)
Pirelli & C SpA (2)*(c)		(5,672	)		(36,449	)
Prysmian SpA (2)		(21,531	)		(418,929	)
Recordati SpA (2)		(13,227	)		(458,054	)
UniCredit SpA (2)		(11,961	)		(135,481	)
					(4,709,143	)
Japan - (11.9)%
Acom Co. Ltd. (2)		(14,100	)		(45,867	)
Advantest Corp. (2)		(10,300	)		(210,745	)
Aeon Co. Ltd. (2)		(25,700	)		(502,334	)
Ajinomoto Co., Inc. (2)		(1,600	)		(28,431	)
ANA Holdings, Inc. (2)		(8,200	)		(294,372	)
Asahi Intecc Co. Ltd. (2)		(7,900	)		(334,213	)
Asics Corp. (2)		(4,200	)		(53,343	)
Bank of Kyoto Ltd. (The) (2)		(900	)		(36,985	)
Benesse Holdings, Inc. (2)		(4,100	)		(104,298	)
Calbee, Inc. (2)		(1,200	)		(37,481	)
Casio Computer Co. Ltd. (2)		(12,500	)		(148,203	)
Chiyoda Corp. (2)		(36,300	)		(101,998	)
Chugai Pharmaceutical Co. Ltd. (2)		(700	)		(40,599	)
Chugoku Electric Power Co., Inc. (The) (2)		(4,800	)		(62,380	)
Coca-Cola Bottlers Japan Holdings, Inc. (2)		(9,100	)		(271,372	)
Cosmos Pharmaceutical Corp. (2)		(3,700	)		(617,342	)
CyberAgent, Inc. (2)		(21,600	)		(835,004	)
Daifuku Co. Ltd. (2)		(23,300	)		(1,056,434	)
Daiichi Sankyo Co. Ltd. (2)		(14,000	)		(447,800	)
Daikin Industries Ltd. (2)		(15,000	)		(1,593,833	)
Denso Corp. (2)		(2,900	)		(128,376	)
Disco Corp. (2)		(1,800	)		(209,284	)
Don Quijote Holdings Co. Ltd. (2)		(10,300	)		(636,813	)
Eisai Co. Ltd. (2)		(5,600	)		(433,551	)
FamilyMart UNY Holdings Co. Ltd. (2)		(4,200	)		(528,588	)
FANUC Corp. (2)		(2,200	)		(333,871	)
Fast Retailing Co. Ltd. (2)		(2,400	)		(1,225,778	)
Fuji Electric Co. Ltd. (2)		(5,000	)		(147,262	)
Hamamatsu Photonics KK (2)		(1,200	)		(40,215	)
Hikari Tsushin, Inc. (2)		(1,500	)		(234,459	)
Hirose Electric Co. Ltd. (2)		(800	)		(78,267	)
Hisamitsu Pharmaceutical Co., Inc. (2)		(700	)		(38,642	)
Hitachi Chemical Co. Ltd. (2)		(2,100	)		(31,592	)
Isetan Mitsukoshi Holdings Ltd. (2)		(14,600	)		(161,311	)
Itochu Techno-Solutions Corp. (2)		(6,100	)		(118,124	)
Izumi Co. Ltd. (2)		(1,400	)		(65,122	)
J Front Retailing Co. Ltd. (2)		(15,500	)		(177,408	)
Japan Airport Terminal Co. Ltd. (2)		(7,900	)		(273,099	)
JGC Corp. (2)		(14,500	)		(204,077	)
Kakaku.com, Inc. (2)		(13,700	)		(242,336	)
Kansai Paint Co. Ltd. (2)		(18,300	)		(351,494	)

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

AQR Funds Annual Report December 2018

43

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
Japan - (11.9)% (continued)
Keihan Holdings Co. Ltd. (2)		(1,100	)	$	(44,821	)
Keikyu Corp. (2)		(23,100	)		(377,485	)
Keio Corp. (2)		(3,500	)		(203,675	)
Keisei Electric Railway Co. Ltd. (2)		(1,200	)		(37,597	)
Keyence Corp. (2)		(2,600	)		(1,314,159	)
Kikkoman Corp. (2)		(8,900	)		(476,280	)
Kintetsu Group Holdings Co. Ltd. (2)		(4,400	)		(191,194	)
Kobayashi Pharmaceutical Co. Ltd. (2)		(1,200	)		(81,379	)
Koito Manufacturing Co. Ltd. (2)		(3,800	)		(196,055	)
Kose Corp. (2)		(4,500	)		(706,851	)
Lawson, Inc. (2)		(2,900	)		(183,438	)
LINE Corp. (2)*		(23,000	)		(785,513	)
Lion Corp. (2)		(6,300	)		(130,205	)
LIXIL Group Corp. (2)		(30,900	)		(383,068	)
M3, Inc. (2)		(45,700	)		(615,635	)
Makita Corp. (2)		(6,100	)		(216,648	)
Marui Group Co. Ltd. (2)		(43,000	)		(833,336	)
Matsumotokiyoshi Holdings Co. Ltd. (2)		(1,300	)		(39,971	)
MEIJI Holdings Co. Ltd. (2)		(2,800	)		(228,193	)
Mercari, Inc. (2)*		(1,800	)		(30,049	)
MINEBEA MITSUMI, Inc. (2)		(11,700	)		(168,714	)
MISUMI Group, Inc. (2)		(27,600	)		(581,443	)
Mitsubishi Logistics Corp. (2)		(2,200	)		(49,990	)
Mitsui OSK Lines Ltd. (2)		(8,100	)		(175,283	)
MonotaRO Co. Ltd. (2)		(46,200	)		(1,138,893	)
Murata Manufacturing Co. Ltd. (2)		(5,500	)		(741,124	)
Nabtesco Corp. (2)		(10,300	)		(223,004	)
Nankai Electric Railway Co. Ltd. (2)		(2,400	)		(63,584	)
Nidec Corp. (2)		(13,800	)		(1,561,429	)
Nifco, Inc. (2)		(7,400	)		(175,075	)
Nikon Corp. (2)		(2,600	)		(38,727	)
Nintendo Co. Ltd. (2)		(5,600	)		(1,487,019	)
Nippon Paint Holdings Co. Ltd. (2)		(8,300	)		(282,794	)
Nippon Shinyaku Co. Ltd. (2)		(9,000	)		(570,433	)
Nippon Yusen KK (2)		(4,700	)		(71,868	)
Nissin Foods Holdings Co. Ltd. (2)		(1,800	)		(112,782	)
Nitori Holdings Co. Ltd. (2)		(2,400	)		(300,577	)
Nitto Denko Corp. (2)		(600	)		(30,093	)
Nomura Research Institute Ltd. (2)		(4,900	)		(181,705	)
Obic Co. Ltd. (2)		(2,300	)		(177,534	)
Odakyu Electric Railway Co. Ltd. (2)		(8,300	)		(182,522	)
Olympus Corp. (2)		(4,600	)		(140,690	)
Ono Pharmaceutical Co. Ltd. (2)		(5,800	)		(118,440	)
Oriental Land Co. Ltd. (2)		(7,100	)		(714,043	)
Panasonic Corp. (2)		(4,400	)		(39,527	)
Park24 Co. Ltd. (2)		(8,200	)		(180,573	)
PeptiDream, Inc. (2)*		(27,200	)		(1,073,867	)
Persol Holdings Co. Ltd. (2)		(58,300	)		(864,791	)
Pigeon Corp. (2)		(12,500	)		(533,159	)
Rakuten, Inc. (2)		(27,300	)		(183,146	)
Recruit Holdings Co. Ltd. (2)		(27,700	)		(669,197	)
Renesas Electronics Corp. (2)*		(114,800	)		(521,413	)
Ricoh Co. Ltd. (2)		(6,900	)		(67,426	)
Rinnai Corp. (2)		(700	)		(46,092	)
Rohm Co. Ltd. (2)		(4,600	)		(293,595	)
Ryohin Keikaku Co. Ltd. (2)		(1,100	)		(267,061	)
Santen Pharmaceutical Co. Ltd. (2)		(2,500	)		(36,071	)
Sega Sammy Holdings, Inc. (2)		(7,900	)		(110,132	)

INVESTMENTS	SHARES			VALUE
Japan - (11.9)% (continued)
Seibu Holdings, Inc. (2)		(2,100	)	$	(36,526	)
Seiko Epson Corp. (2)		(3,600	)		(50,280	)
Sharp Corp. (2)		(20,100	)		(201,238	)
Shimadzu Corp. (2)		(10,200	)		(201,142	)
Shimano, Inc. (2)		(2,200	)		(310,128	)
Shiseido Co. Ltd. (2)		(8,300	)		(519,812	)
SMC Corp. (2)		(300	)		(90,322	)
SoftBank Group Corp. (2)		(8,200	)		(537,093	)
Sohgo Security Services Co. Ltd. (2)		(3,700	)		(172,874	)
Sony Corp. (2)		(900	)		(43,389	)
Sony Financial Holdings, Inc. (2)		(20,700	)		(385,777	)
Sosei Group Corp. (2)*		(24,400	)		(176,694	)
Square Enix Holdings Co. Ltd. (2)		(5,100	)		(138,837	)
Stanley Electric Co. Ltd. (2)		(1,200	)		(33,569	)
SUMCO Corp. (2)		(22,000	)		(245,014	)
Sundrug Co. Ltd. (2)		(2,200	)		(65,514	)
Suruga Bank Ltd. (2)		(53,000	)		(195,347	)
Sysmex Corp. (2)		(5,600	)		(265,950	)
T&D Holdings, Inc. (2)		(13,900	)		(160,789	)
TDK Corp. (2)		(6,200	)		(434,033	)
Terumo Corp. (2)		(12,900	)		(727,626	)
THK Co. Ltd. (2)		(3,700	)		(69,123	)
Tobu Railway Co. Ltd. (2)		(3,100	)		(83,701	)
Tokyo Electron Ltd. (2)		(3,000	)		(337,723	)
Tokyu Corp. (2)		(3,400	)		(55,559	)
TOTO Ltd. (2)		(20,100	)		(695,263	)
Trend Micro, Inc. (2)		(600	)		(32,421	)
Tsuruha Holdings, Inc. (2)		(6,100	)		(522,355	)
Unicharm Corp. (2)		(12,300	)		(397,806	)
USS Co. Ltd. (2)		(5,800	)		(97,315	)
Welcia Holdings Co. Ltd. (2)		(9,400	)		(424,883	)
Yahoo Japan Corp. (2)		(24,700	)		(61,447	)
Yakult Honsha Co. Ltd. (2)		(7,700	)		(539,029	)
Yamaha Corp. (2)		(900	)		(38,285	)
Yamato Holdings Co. Ltd. (2)		(28,300	)		(775,891	)
Yaskawa Electric Corp. (2)		(31,200	)		(762,658	)
Yokogawa Electric Corp. (2)		(16,900	)		(291,734	)
Yokohama Rubber Co. Ltd. (The) (2)		(2,000	)		(37,405	)
ZOZO, Inc. (2)		(27,000	)		(494,669	)
					(44,441,292	)
Luxembourg - 0.0% (b)
Eurofins Scientific SE (2)		(437	)		(163,211	)
Netherlands - (0.8)%
Aalberts Industries NV (2)		(860	)		(28,602	)
ALTICE EUROPE NV (2)*		(130,688	)		(253,578	)
ASML Holding NV (2)		(5,418	)		(848,782	)
Boskalis Westminster (2)		(5,210	)		(129,310	)
Heineken NV (2)		(476	)		(42,072	)
Koninklijke KPN NV (2)		(459,991	)		(1,343,633	)
OCI NV (2)*		(1,975	)		(40,333	)
SBM Offshore NV (2)		(10,937	)		(161,599	)
					(2,847,909	)
Norway - (0.1)%
Schibsted ASA, Class A (2)		(7,017	)		(235,753	)
Yara International ASA (2)		(942	)		(36,313	)
					(272,066	)

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

AQR Funds Annual Report December 2018

44

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
Panama - (0.2)%
Copa Holdings SA, Class A		(7,391	)	$	(581,746	)
Singapore - (0.3)%
CapitaLand Ltd. (2)		(201,800	)		(460,191	)
City Developments Ltd. (2)		(35,100	)		(209,256	)
Jardine Cycle & Carriage Ltd. (2)		(8,100	)		(209,700	)
Singapore Airlines Ltd. (2)		(4,100	)		(28,325	)
Singapore Telecommunications Ltd. (2)		(29,600	)		(63,706	)
					(971,178	)
South Africa - 0.0% (b)
Old Mutual Ltd. (2)		(77,110	)		(114,994	)
Spain - (1.1)%
Aena SME SA (2)(c)		(402	)		(62,459	)
Bankia SA (2)		(73,451	)		(214,904	)
Cellnex Telecom SA (2)(c)		(24,528	)		(627,267	)
Ferrovial SA (2)		(34,582	)		(700,379	)
Grifols SA (2)		(11,439	)		(300,294	)
Industria de Diseno Textil SA (2)		(84,162	)		(2,148,210	)
					(4,053,513	)
Sweden - (0.5)%
Assa Abloy AB, Class B (2)		(18,142	)		(324,865	)
Atlas Copco AB, Class A (2)		(18,045	)		(430,518	)
Epiroc AB, Class A (2)*		(6,232	)		(59,233	)
Getinge AB, Class B (2)		(3,653	)		(33,033	)
Holmen AB, Class B (2)		(1,400	)		(27,686	)
Husqvarna AB, Class B (2)		(11,901	)		(88,352	)
NCC AB, Class B (2)		(3,594	)		(55,895	)
Nibe Industrier AB, Class B (2)		(3,435	)		(35,310	)
Saab AB, Class B (2)		(9,293	)		(321,968	)
Svenska Cellulosa AB SCA, Class B (2)		(45,503	)		(353,589	)
Swedish Match AB (2)		(909	)		(35,785	)
					(1,766,234	)
Switzerland - (1.6)%
ABB Ltd. (Registered) (2)		(19,532	)		(372,985	)
Bucher Industries AG (Registered) (2)		(160	)		(43,160	)
Cie Financiere Richemont SA (Registered) (2)		(3,481	)		(224,481	)
Credit Suisse Group AG (Registered) (2)*		(74,298	)		(812,203	)
Dufry AG (Registered) (2)*		(2,577	)		(245,388	)
EMS-Chemie Holding AG (Registered) (2)		(262	)		(124,743	)
Glencore plc (2)*		(234,122	)		(870,481	)
Idorsia Ltd. (2)*		(13,709	)		(227,793	)
Julius Baer Group Ltd. (2)*		(970	)		(34,567	)
Kuehne + Nagel International AG (Registered) (2)		(437	)		(56,254	)
LafargeHolcim Ltd. (Registered) (2)*		(22,514	)		(929,121	)
OC Oerlikon Corp. AG (Registered) (2)*		(13,495	)		(151,956	)
Schindler Holding AG (2)		(1,209	)		(240,051	)
Sika AG (Registered) (2)		(229	)		(29,088	)
STMicroelectronics NV (2)		(91,178	)		(1,285,236	)
UBS Group AG (Registered) (2)*		(7,807	)		(97,379	)
Vifor Pharma AG (2)		(769	)		(83,679	)
					(5,828,565	)

INVESTMENTS	SHARES			VALUE
United Arab Emirates - (0.1)%
NMC Health plc (2)		(6,781	)	$	(236,665	)
United Kingdom - (1.3)%
AA plc (2)		(28,306	)		(27,049	)
Ashtead Group plc (2)		(1,977	)		(41,239	)
British American Tobacco plc (2)		(8,505	)		(270,621	)
Capita plc (2)*		(318,239	)		(456,240	)
CNH Industrial NV (2)		(77,063	)		(696,287	)
Cobham plc (2)*		(29,023	)		(36,186	)
ConvaTec Group plc (2)(c)		(55,288	)		(97,932	)
easyJet plc (2)		(2,826	)		(39,821	)
Hargreaves Lansdown plc (2)		(7,620	)		(179,718	)
Hiscox Ltd. (2)		(2,646	)		(54,689	)
Informa plc (2)		(3,633	)		(29,161	)
International Consolidated Airlines Group SA (2)		(6,672	)		(52,626	)
Melrose Industries plc (2)		(326,341	)		(681,761	)
Ocado Group plc (2)*		(5,282	)		(53,240	)
Pentair plc		(1,004	)		(37,931	)
Provident Financial plc (2)*		(26,706	)		(195,612	)
Prudential plc (2)		(42,345	)		(756,131	)
Quilter plc (2)(c)		(24,564	)		(37,037	)
Reckitt Benckiser Group plc (2)		(6,149	)		(470,868	)
Rentokil Initial plc (2)		(37,992	)		(163,442	)
RSA Insurance Group plc (2)		(14,266	)		(93,624	)
Severn Trent plc (2)		(1,948	)		(45,156	)
St James’s Place plc (2)		(6,913	)		(83,259	)
Standard Chartered plc (2)		(4,965	)		(38,586	)
Standard Life Aberdeen plc (2)		(38,258	)		(125,270	)
Subsea 7 SA (2)		(3,904	)		(38,043	)
Weir Group plc (The) (2)		(2,130	)		(35,271	)
					(4,836,800	)
United States - (47.4)%
2U, Inc. *		(8,775	)		(436,293	)
3M Co.		(549	)		(104,606	)
Acadia Healthcare Co., Inc. *		(12,984	)		(333,819	)
ACI Worldwide, Inc. *		(1,065	)		(29,469	)
Acuity Brands, Inc.		(1,697	)		(195,070	)
Adient plc		(43,831	)		(660,095	)
Advanced Micro Devices, Inc. *		(14,934	)		(275,682	)
Agios Pharmaceuticals, Inc. *		(17,691	)		(815,732	)
Akorn, Inc. *		(109,625	)		(371,629	)
Alaska Air Group, Inc.		(9,609	)		(584,708	)
Albemarle Corp.		(14,488	)		(1,116,590	)
Alcoa Corp. *		(43,629	)		(1,159,659	)
Alkermes plc *		(9,140	)		(269,721	)
Allegheny Technologies, Inc. *		(35,118	)		(764,519	)
Allegion plc		(899	)		(71,659	)
Alliance Data Systems Corp.		(405	)		(60,782	)
Allscripts Healthcare Solutions, Inc. *		(26,550	)		(255,942	)
Alnylam Pharmaceuticals, Inc. *		(18,707	)		(1,363,927	)
Altria Group, Inc.		(10,433	)		(515,286	)
American Airlines Group, Inc.		(13,604	)		(436,824	)
American International Group, Inc.		(47,585	)		(1,875,325	)
AmerisourceBergen Corp.		(863	)		(64,207	)
Amphenol Corp., Class A		(774	)		(62,709	)
Anadarko Petroleum Corp.		(9,789	)		(429,150	)

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

AQR Funds Annual Report December 2018

45

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (47.4)% (continued)
AO Smith Corp.		(4,147	)	$	(177,077	)
Aon plc		(758	)		(110,183	)
Apache Corp.		(37,030	)		(972,038	)
Apple, Inc.		(4,483	)		(707,148	)
AptarGroup, Inc.		(858	)		(80,712	)
Aptiv plc		(23,804	)		(1,465,612	)
Aqua America, Inc.		(2,676	)		(91,492	)
Arconic, Inc.		(14,064	)		(237,119	)
Arista Networks, Inc. *		(2,067	)		(435,517	)
Ashland Global Holdings, Inc.		(3,233	)		(229,414	)
Aspen Insurance Holdings Ltd.		(4,676	)		(196,345	)
Atlassian Corp. plc, Class A *		(5,900	)		(524,982	)
Autodesk, Inc. *		(4,695	)		(603,824	)
Avanos Medical, Inc. *		(3,820	)		(171,098	)
Axalta Coating Systems Ltd. *		(47,351	)		(1,108,960	)
Axis Capital Holdings Ltd.		(12,214	)		(630,731	)
Baker Hughes a GE Co.		(65,658	)		(1,411,647	)
Ball Corp.		(25,331	)		(1,164,719	)
BancorpSouth Bank		(5,959	)		(155,768	)
Bank OZK		(7,831	)		(178,782	)
Belden, Inc.		(2,606	)		(108,853	)
Berry Global Group, Inc. *		(12,815	)		(609,097	)
BGC Partners, Inc., Class A		(55,662	)		(287,773	)
BioMarin Pharmaceutical, Inc. *		(874	)		(74,421	)
Bluebird Bio, Inc. *		(10,954	)		(1,086,637	)
BorgWarner, Inc.		(11,898	)		(413,337	)
Brighthouse Financial, Inc. *		(21,958	)		(669,280	)
Brink’s Co. (The)		(8,899	)		(575,320	)
Broadcom, Inc.		(525	)		(133,497	)
Brookdale Senior Living, Inc. *		(34,448	)		(230,802	)
Brown-Forman Corp., Class B		(18,898	)		(899,167	)
Bunge Ltd.		(3,866	)		(206,599	)
BWX Technologies, Inc.		(9,357	)		(357,718	)
Cabot Corp.		(3,491	)		(149,904	)
Cabot Oil & Gas Corp.		(61,255	)		(1,369,049	)
Caesars Entertainment Corp. *		(66,382	)		(450,734	)
Campbell Soup Co.		(13,202	)		(435,534	)
CarMax, Inc. *		(4,169	)		(261,521	)
Carpenter Technology Corp.		(4,043	)		(143,971	)
Cathay General Bancorp		(1,199	)		(40,202	)
Cboe Global Markets, Inc.		(10,846	)		(1,061,064	)
CenterPoint Energy, Inc.		(3,157	)		(89,122	)
CF Industries Holdings, Inc.		(3,429	)		(149,196	)
Charles Schwab Corp. (The)		(19,741	)		(819,844	)
Charter Communications, Inc., Class A *		(6,099	)		(1,738,032	)
Chemical Financial Corp.		(4,557	)		(166,832	)
Chemours Co. (The)		(16,093	)		(454,144	)
Cheniere Energy, Inc. *		(49,560	)		(2,933,455	)
Chevron Corp.		(2,581	)		(280,787	)
Chipotle Mexican Grill, Inc. *		(780	)		(336,796	)
Cincinnati Financial Corp.		(744	)		(57,600	)
CIT Group, Inc.		(10,053	)		(384,728	)
Citigroup, Inc.		(17,250	)		(898,035	)
Citizens Financial Group, Inc.		(16,829	)		(500,326	)
Clean Harbors, Inc. *		(1,542	)		(76,098	)
CNO Financial Group, Inc.		(12,308	)		(183,143	)
Coca-Cola Co. (The)		(15,386	)		(728,527	)
Cognex Corp.		(14,885	)		(575,603	)

INVESTMENTS	SHARES			VALUE
United States - (47.4)% (continued)
Coherent, Inc. *		(275	)	$	(29,070	)
Colfax Corp. *		(15,713	)		(328,402	)
Comerica, Inc.		(423	)		(29,056	)
Commercial Metals Co.		(2,127	)		(34,075	)
CommVault Systems, Inc. *		(3,179	)		(187,847	)
Compass Minerals International, Inc.		(9,631	)		(401,516	)
Concho Resources, Inc. *		(5,087	)		(522,893	)
Conduent, Inc. *		(4,964	)		(52,767	)
Core Laboratories NV		(3,968	)		(236,731	)
CoStar Group, Inc. *		(1,419	)		(478,685	)
Coty, Inc., Class A		(104,624	)		(686,333	)
Cree, Inc. *		(35,381	)		(1,513,422	)
Crown Holdings, Inc. *		(43,379	)		(1,803,265	)
Cullen/Frost Bankers, Inc.		(1,977	)		(173,857	)
CVS Health Corp.		(5,669	)		(371,433	)
Cypress Semiconductor Corp.		(15,518	)		(197,389	)
DENTSPLY SIRONA, Inc.		(13,844	)		(515,135	)
Devon Energy Corp.		(39,101	)		(881,337	)
DexCom, Inc. *		(2,894	)		(346,701	)
Diamond Offshore Drilling, Inc. *		(23,193	)		(218,942	)
DISH Network Corp., Class A *		(5,844	)		(145,925	)
Dollar Tree, Inc. *		(13,116	)		(1,184,637	)
Dominion Energy, Inc.		(15,105	)		(1,079,403	)
DowDuPont, Inc.		(13,231	)		(707,594	)
Dril-Quip, Inc. *		(7,984	)		(239,760	)
Dycom Industries, Inc. *		(1,782	)		(96,299	)
Eagle Materials, Inc.		(593	)		(36,191	)
Edgewell Personal Care Co. *		(5,527	)		(206,433	)
Ensco plc, Class A		(295,241	)		(1,051,058	)
EOG Resources, Inc.		(2,206	)		(192,385	)
EQT Corp.		(68,766	)		(1,298,990	)
Exact Sciences Corp. *		(3,249	)		(205,012	)
Extraction Oil & Gas, Inc. *		(26,648	)		(114,320	)
Exxon Mobil Corp.		(10,122	)		(690,219	)
Fastenal Co.		(7,811	)		(408,437	)
FireEye, Inc. *		(86,900	)		(1,408,649	)
First Data Corp., Class A *		(23,677	)		(400,378	)
First Hawaiian, Inc.		(2,112	)		(47,541	)
First Horizon National Corp.		(43,622	)		(574,066	)
First Republic Bank		(4,197	)		(364,719	)
FirstEnergy Corp.		(65,548	)		(2,461,327	)
Five Below, Inc. *		(4,904	)		(501,777	)
Flex Ltd. *		(14,421	)		(109,744	)
Floor & Decor Holdings, Inc., Class A *		(28,786	)		(745,557	)
Flowserve Corp.		(10,922	)		(415,254	)
Fluor Corp.		(3,192	)		(102,782	)
FMC Corp.		(5,577	)		(412,475	)
FNB Corp.		(33,713	)		(331,736	)
Ford Motor Co.		(10,523	)		(80,501	)
Fortune Brands Home & Security, Inc.		(2,075	)		(78,829	)
Freeport-McMoRan, Inc.		(83,041	)		(856,153	)
Fulton Financial Corp.		(3,089	)		(47,818	)
Gardner Denver Holdings, Inc. *		(3,148	)		(64,377	)
Gartner, Inc. *		(4,920	)		(628,973	)
GCI Liberty, Inc., Class A *		(22,560	)		(928,570	)
General Electric Co.		(302,409	)		(2,289,236	)
General Mills, Inc.		(11,487	)		(447,304	)
General Motors Co.		(17,401	)		(582,063	)

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

AQR Funds Annual Report December 2018

46

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (47.4)% (continued)
Genesee & Wyoming, Inc., Class A *		(7,156	)	$	(529,687	)
Gentex Corp.		(1,688	)		(34,114	)
Global Payments, Inc.		(3,443	)		(355,077	)
GoDaddy, Inc., Class A *		(459	)		(30,120	)
Granite Construction, Inc.		(2,314	)		(93,208	)
Graphic Packaging Holding Co.		(94,026	)		(1,000,437	)
Guidewire Software, Inc. *		(5,347	)		(428,990	)
Hain Celestial Group, Inc. (The) *		(61,507	)		(975,501	)
Halliburton Co.		(7,153	)		(190,127	)
Hancock Whitney Corp.		(3,611	)		(125,121	)
Hanesbrands, Inc.		(51,722	)		(648,077	)
Harley-Davidson, Inc.		(16,290	)		(555,815	)
Healthcare Services Group, Inc.		(14,194	)		(570,315	)
HealthEquity, Inc. *		(11,090	)		(661,519	)
Hershey Co. (The)		(946	)		(101,392	)
Hess Corp.		(34,627	)		(1,402,394	)
Hilton Grand Vacations, Inc. *		(4,777	)		(126,065	)
Home BancShares, Inc.		(9,849	)		(160,933	)
Howard Hughes Corp. (The) *		(4,672	)		(456,081	)
Huntington Bancshares, Inc.		(20,561	)		(245,087	)
Incyte Corp. *		(13,043	)		(829,404	)
Insulet Corp. *		(9,055	)		(718,243	)
International Flavors & Fragrances, Inc.		(5,682	)		(762,922	)
International Game Technology plc		(56,395	)		(825,059	)
Ionis Pharmaceuticals, Inc. *		(3,287	)		(177,695	)
IPG Photonics Corp. *		(4,485	)		(508,106	)
Jack in the Box, Inc.		(582	)		(45,181	)
Jefferies Financial Group, Inc.		(27,717	)		(481,167	)
Johnson Controls International plc		(7,146	)		(211,879	)
Kansas City Southern		(2,718	)		(259,433	)
Kemper Corp.		(879	)		(58,348	)
Kennametal, Inc.		(6,239	)		(207,634	)
KeyCorp		(20,979	)		(310,070	)
Kinder Morgan, Inc.		(101,300	)		(1,557,994	)
Kraft Heinz Co. (The)		(41,445	)		(1,783,793	)
L Brands, Inc.		(23,701	)		(608,405	)
Leggett & Platt, Inc.		(1,671	)		(59,889	)
Lennox International, Inc.		(1,305	)		(285,612	)
Liberty Broadband Corp., Class C *		(13,050	)		(939,992	)
Liberty Expedia Holdings, Inc., Class A *		(651	)		(25,461	)
Liberty Media Corp.-Liberty SiriusXM, Class C *		(4,031	)		(149,066	)
Lincoln Electric Holdings, Inc.		(544	)		(42,894	)
Lions Gate Entertainment Corp., Class A		(31,540	)		(507,794	)
Littelfuse, Inc.		(235	)		(40,298	)
Live Nation Entertainment, Inc. *		(9,548	)		(470,239	)
LKQ Corp. *		(52,947	)		(1,256,432	)
Loews Corp.		(3,692	)		(168,060	)
M&T Bank Corp.		(274	)		(39,218	)
Macquarie Infrastructure Corp.		(31,079	)		(1,136,248	)
Madison Square Garden Co. (The), Class A *		(2,097	)		(561,367	)
MarketAxess Holdings, Inc.		(313	)		(66,140	)
Marriott International, Inc., Class A		(269	)		(29,203	)
Martin Marietta Materials, Inc.		(12,925	)		(2,221,420	)
Marvell Technology Group Ltd.		(61,652	)		(998,146	)
Masco Corp.		(8,126	)		(237,604	)
Matador Resources Co. *		(11,493	)		(178,486	)

INVESTMENTS	SHARES			VALUE
United States - (47.4)% (continued)
Mattel, Inc. *		(116,163	)	$	(1,160,468	)
Maxim Integrated Products, Inc.		(1,863	)		(94,734	)
McDonald’s Corp.		(618	)		(109,738	)
MDU Resources Group, Inc.		(11,928	)		(284,364	)
Medidata Solutions, Inc. *		(9,229	)		(622,219	)
Mercury General Corp.		(5,765	)		(298,108	)
Meredith Corp.		(2,759	)		(143,302	)
MetLife, Inc.		(1,448	)		(59,455	)
MGM Resorts International		(27,193	)		(659,702	)
Microchip Technology, Inc.		(1,843	)		(132,549	)
Middleby Corp. (The) *		(3,817	)		(392,120	)
Minerals Technologies, Inc.		(756	)		(38,813	)
Mohawk Industries, Inc. *		(2,455	)		(287,137	)
Monolithic Power Systems, Inc.		(2,875	)		(334,219	)
Monster Beverage Corp. *		(34,365	)		(1,691,445	)
Mosaic Co. (The)		(1,261	)		(36,834	)
Nabors Industries Ltd.		(455,159	)		(910,318	)
National Fuel Gas Co.		(10,394	)		(531,965	)
National Oilwell Varco, Inc.		(18,181	)		(467,252	)
NCR Corp. *		(24,480	)		(564,998	)
NetScout Systems, Inc. *		(2,613	)		(61,745	)
Newell Brands, Inc.		(28,280	)		(525,725	)
Newmark Group, Inc., Class A		(17,117	)		(137,278	)
Newmont Mining Corp.		(32,276	)		(1,118,363	)
News Corp., Class A		(105,348	)		(1,195,700	)
Nielsen Holdings plc		(25,608	)		(597,435	)
NiSource, Inc.		(43,408	)		(1,100,393	)
Noble Energy, Inc.		(4,595	)		(86,202	)
NOW, Inc. *		(16,706	)		(194,458	)
Nuance Communications, Inc. *		(5,214	)		(68,981	)
Nucor Corp.		(3,329	)		(172,475	)
Nutanix, Inc., Class A *		(14,609	)		(607,588	)
NVIDIA Corp.		(7,593	)		(1,013,666	)
Occidental Petroleum Corp.		(16,948	)		(1,040,268	)
Oceaneering International, Inc. *		(10,635	)		(128,684	)
Okta, Inc. *		(605	)		(38,599	)
Olin Corp.		(9,994	)		(200,979	)
ONEOK, Inc.		(49,119	)		(2,649,969	)
Owens-Illinois, Inc. *		(7,047	)		(121,490	)
PacWest Bancorp		(19,210	)		(639,309	)
Palo Alto Networks, Inc. *		(554	)		(104,346	)
Papa John’s International, Inc.		(1,811	)		(72,096	)
People’s United Financial, Inc.		(2,067	)		(29,827	)
Perrigo Co. plc		(900	)		(34,875	)
Philip Morris International, Inc.		(10,936	)		(730,087	)
Pinnacle Financial Partners, Inc.		(6,575	)		(303,108	)
Pitney Bowes, Inc.		(12,603	)		(74,484	)
Plantronics, Inc.		(10,950	)		(362,445	)
PolyOne Corp.		(1,813	)		(51,852	)
Pool Corp.		(680	)		(101,082	)
PPG Industries, Inc.		(2,324	)		(237,583	)
PPL Corp.		(1,096	)		(31,050	)
Premier, Inc., Class A *		(16,359	)		(611,009	)
ProAssurance Corp.		(6,635	)		(269,116	)
Proofpoint, Inc. *		(2,980	)		(249,754	)
Prosperity Bancshares, Inc.		(4,477	)		(278,917	)
Pure Storage, Inc., Class A *		(77,801	)		(1,251,040	)
QEP Resources, Inc. *		(18,271	)		(102,866	)

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

AQR Funds Annual Report December 2018

47

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (47.4)% (continued)
QUALCOMM, Inc.		(28,380	)	$	(1,615,106	)
Range Resources Corp.		(15,635	)		(149,627	)
Regions Financial Corp.		(19,698	)		(263,559	)
RenaissanceRe Holdings Ltd.		(1,129	)		(150,947	)
RingCentral, Inc., Class A *		(5,669	)		(467,352	)
Rockwell Automation, Inc.		(801	)		(120,534	)
Royal Gold, Inc.		(13,699	)		(1,173,319	)
Sage Therapeutics, Inc. *		(7,748	)		(742,181	)
Schlumberger Ltd.		(53,016	)		(1,912,817	)
Scientific Games Corp. *		(12,816	)		(229,150	)
ScottsMiracle-Gro Co. (The)		(7,922	)		(486,886	)
Sealed Air Corp.		(73,058	)		(2,545,341	)
Seattle Genetics, Inc. *		(707	)		(40,059	)
Sempra Energy		(23,105	)		(2,499,730	)
Sensient Technologies Corp.		(499	)		(27,869	)
ServiceNow, Inc. *		(2,850	)		(507,443	)
Sherwin-Williams Co. (The)		(354	)		(139,285	)
Signature Bank		(2,376	)		(244,277	)
Silicon Laboratories, Inc. *		(460	)		(36,253	)
Six Flags Entertainment Corp.		(7,189	)		(399,924	)
SLM Corp. *		(8,192	)		(68,076	)
Sotheby’s *		(6,796	)		(270,073	)
Southern Co. (The)		(3,176	)		(139,490	)
Southwest Gas Holdings, Inc.		(5,979	)		(457,394	)
Splunk, Inc. *		(5,035	)		(527,920	)
Square, Inc., Class A *		(8,309	)		(466,052	)
Stericycle, Inc. *		(14,089	)		(516,925	)
Sterling Bancorp		(47,985	)		(792,232	)
Stifel Financial Corp.		(722	)		(29,905	)
Superior Energy Services, Inc. *		(45,065	)		(150,968	)
SVB Financial Group *		(200	)		(37,984	)
Syneos Health, Inc. *		(12,896	)		(507,458	)
Synovus Financial Corp.		(11,664	)		(373,131	)
Tableau Software, Inc., Class A *		(3,110	)		(373,200	)
Take-Two Interactive Software, Inc. *		(2,946	)		(303,261	)
Targa Resources Corp.		(60,811	)		(2,190,412	)
TCF Financial Corp.		(4,330	)		(84,392	)
Tempur Sealy International, Inc. *		(19,629	)		(812,641	)
Tenet Healthcare Corp. *		(23,762	)		(407,281	)
Teradata Corp. *		(12,820	)		(491,775	)
Tesla, Inc. *		(7,851	)		(2,612,813	)
Texas Capital Bancshares, Inc. *		(4,070	)		(207,936	)
Thor Industries, Inc.		(5,797	)		(301,444	)
Tiffany & Co.		(1,017	)		(81,879	)
Toro Co. (The)		(570	)		(31,852	)
Transocean Ltd. *		(195,943	)		(1,359,844	)
TransUnion		(4,756	)		(270,141	)
TreeHouse Foods, Inc. *		(19,305	)		(978,957	)
Trimble, Inc. *		(3,000	)		(98,730	)
Trustmark Corp.		(2,256	)		(64,138	)
Tupperware Brands Corp.		(9,539	)		(301,146	)
Twilio, Inc., Class A *		(636	)		(56,795	)
Tyler Technologies, Inc. *		(225	)		(41,810	)
UMB Financial Corp.		(660	)		(40,240	)
Umpqua Holdings Corp.		(9,325	)		(148,268	)
Under Armour, Inc., Class A *		(35,635	)		(629,670	)
United Bankshares, Inc.		(13,774	)		(428,509	)

INVESTMENTS	SHARES			VALUE
United States - (47.4)% (continued)
United Parcel Service, Inc., Class B		(9,688	)	$	(944,871	)
United States Steel Corp.		(1,726	)		(31,482	)
Univar, Inc. *		(42,950	)		(761,933	)
Universal Display Corp.		(7,492	)		(701,026	)
Valley National Bancorp		(31,379	)		(278,646	)
Valmont Industries, Inc.		(1,073	)		(119,049	)
Valvoline, Inc.		(23,887	)		(462,213	)
ViaSat, Inc. *		(5,651	)		(333,126	)
Virtu Financial, Inc., Class A		(7,243	)		(186,580	)
Visteon Corp. *		(7,623	)		(459,514	)
Vulcan Materials Co.		(18,755	)		(1,852,994	)
WABCO Holdings, Inc. *		(1,268	)		(136,107	)
Wabtec Corp.		(3,812	)		(267,793	)
Waste Connections, Inc.		(6,825	)		(506,756	)
Watsco, Inc.		(288	)		(40,072	)
Wayfair, Inc., Class A *		(6,784	)		(611,103	)
Webster Financial Corp.		(2,284	)		(112,578	)
Welbilt, Inc. *		(33,025	)		(366,908	)
WellCare Health Plans, Inc. *		(1,521	)		(359,093	)
Wells Fargo & Co.		(842	)		(38,799	)
Wendy’s Co. (The)		(13,446	)		(209,892	)
Western Alliance Bancorp *		(1,066	)		(42,096	)
Whirlpool Corp.		(5,196	)		(555,297	)
Williams Cos., Inc. (The)		(94,883	)		(2,092,170	)
Willis Towers Watson plc		(6,388	)		(970,082	)
Workday, Inc., Class A *		(3,535	)		(564,469	)
World Fuel Services Corp.		(7,899	)		(169,118	)
Worldpay, Inc. *		(3,494	)		(267,046	)
WPX Energy, Inc. *		(125,549	)		(1,424,981	)
WR Grace & Co.		(11,689	)		(758,733	)
Wyndham Destinations, Inc.		(1,110	)		(39,782	)
Wynn Resorts Ltd.		(663	)		(65,577	)
Xerox Corp.		(2,089	)		(41,279	)
Xilinx, Inc.		(845	)		(71,969	)
XPO Logistics, Inc. *		(23,352	)		(1,331,998	)
Zayo Group Holdings, Inc. *		(68,706	)		(1,569,245	)
Zillow Group, Inc., Class C *		(26,105	)		(824,396	)
Zions Bancorp NA		(6,384	)		(260,084	)
Zynga, Inc., Class A *		(9,116	)		(35,826	)
					(176,523,297	)
Zambia - (0.2)%
First Quantum Minerals Ltd.		(82,863	)		(670,090	)
TOTAL COMMON STOCKS (Proceeds $(330,260,275))					(279,531,591	)
TOTAL SHORT POSITIONS (Proceeds $(330,260,275))					(279,531,591	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 88.4% (Cost $294,501,027)					328,307,241
OTHER ASSETS IN EXCESS OF LIABILITIES - 11.6% (h)					43,116,662
NET ASSETS - 100.0%				$	371,423,903

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

AQR Funds Annual Report December 2018

48

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	2,108,257			0.6	%
Consumer Discretionary		8,248,538			2.2
Consumer Staples		(4,486,494	)		(1.2	)
Energy		(13,258,831	)		(3.6	)
Financials		12,430,360			3.4
Health Care		50,106,096			13.5
Industrials		166,087			0.0
Information Technology		(1,240,873	)		(0.3	)
Materials		(20,633,648	)		(5.6	)
Real Estate		(1,393,848	)		(0.4	)
Utilities		20,810,492			5.6
Short-Term Investments		275,451,105			74.2
Total Investments In Securities At Value		328,307,241			88.4
Other Assets in Excess of Liabilities (h)		43,116,662			11.6
Net Assets	$	371,423,903			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 $303,793,620. In addition, $3,448,308 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 December 31, 2018 amounted to $181,373, which represents approximately 0.05% of net assets of the fund.

(d) Represents7-day effective yield as of December 31, 2018.

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

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

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

(h) 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).

Abbreviations

CHESS - Clearing House Electronic Subregister System Depository Interest

FDR - Fiduciary Depositary Receipt

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 December 31, 2018:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS		NOTIONAL AMOUNT			EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		10	EUR	(300,142	)	EUR	3,000.00		1/18/2019		$(6,072	)
EURO STOXX 50 Index	JPMS		11	EUR	(330,156	)	EUR	3,000.00		2/15/2019		(9,843	)
EURO STOXX 50 Index	JPMS		7	EUR	(210,099	)	EUR	3,050.00		1/18/2019		(2,414	)
EURO STOXX 50 Index	JPMS		19	EUR	(570,270	)	EUR	3,050.00		2/15/2019		(11,799	)
EURO STOXX 50 Index	JPMS		7	EUR	(210,099	)	EUR	3,075.00		1/18/2019		(1,740	)
Euro-Bund	JPMS		2	EUR	(200,000	)	EUR	160.00		2/22/2019		(4,517	)
Euro-Bund	JPMS		5	EUR	(500,000	)	EUR	161.00		2/22/2019		(8,849	)
Euro-Bund	JPMS		17	EUR	(1,700,000	)	EUR	162.00		1/25/2019		(16,798	)
Euro-Bund	JPMS		5	EUR	(500,000	)	EUR	162.00		2/22/2019		(6,638	)
Euro-Bund	JPMS		32	EUR	(3,200,000	)	EUR	162.50		1/25/2019		(25,443	)
Euro-Bund	JPMS		34	EUR	(3,400,000	)	EUR	163.00		1/25/2019		(21,233	)
Euro-Bund	JPMS		5	EUR	(500,000	)	EUR	163.00		2/22/2019		(957	)
Euro-Bund	JPMS		1	EUR	(100,000	)	EUR	163.50		1/25/2019		68
Euro-Bund	JPMS		8	EUR	(800,000	)	EUR	163.50		2/22/2019		(664	)
Euro-Bund	JPMS		7	EUR	(700,000	)	EUR	163.50		2/22/2019		507
Euro-Bund	JPMS		2	EUR	(200,000	)	EUR	164.00		1/25/2019		113
Euro-Bund	JPMS		16	EUR	(1,600,000	)	EUR	164.00		2/22/2019		(1,190	)
Euro-Bund	JPMS		2	EUR	(200,000	)	EUR	164.50		1/25/2019		91
Euro-Bund	JPMS		13	EUR	(1,300,000	)	EUR	164.50		2/22/2019		(380	)
Euro-Bund	JPMS		14	EUR	(1,400,000	)	EUR	165.00		2/22/2019		(233	)
FTSE 100 Index	JPMS		5	GBP	(336,407	)	GBP	6,700.00		2/15/2019		(12,555	)
FTSE 100 Index	JPMS		5	GBP	(336,407	)	GBP	6,725.00		1/18/2019		(7,839	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	21,125.00		2/8/2019		(4,744	)

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

AQR Funds Annual Report December 2018

49

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS		NOTIONAL AMOUNT			EXERCISE PRICE		EXPIRATION DATE		VALUE
S&P 500 Index	JPMS		23	USD	(5,765,755	)	USD	2,555.00		2/15/2019		$ (113,459	)
U.S. Treasury 10 Year Note	JPMS		42	USD	(4,200,000	)	USD	119.50		1/25/2019		(106,969	)
U.S. Treasury 10 Year Note	JPMS		44	USD	(4,400,000	)	USD	120.00		1/25/2019		(90,750	)
U.S. Treasury 10 Year Note	JPMS		18	USD	(1,800,000	)	USD	120.50		1/25/2019		(28,968	)
U.S. Treasury 10 Year Note	JPMS		12	USD	(1,200,000	)	USD	121.00		1/25/2019		(14,250	)
												$(497,525	)

Written Put Options Contracts as of December 31, 2018:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS		NOTIONAL AMOUNT			EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		12	EUR	(360,170	)	EUR	2,775.00		2/15/2019		$(4,826	)
EURO STOXX 50 Index	JPMS		31	EUR	(930,440	)	EUR	2,825.00		2/15/2019		(15,806	)
EURO STOXX 50 Index	JPMS		11	EUR	(330,156	)	EUR	2,850.00		1/18/2019		(2,836	)
EURO STOXX 50 Index	JPMS		19	EUR	(570,270	)	EUR	2,875.00		1/18/2019		(5,921	)
EURO STOXX 50 Index	JPMS		32	EUR	(960,454	)	EUR	2,875.00		2/15/2019		(20,679	)
EURO STOXX 50 Index	JPMS		9	EUR	(270,128	)	EUR	2,900.00		1/18/2019		(3,393	)
EURO STOXX 50 Index	JPMS		29	EUR	(870,412	)	EUR	2,925.00		1/18/2019		(13,158	)
EURO STOXX 50 Index	JPMS		31	EUR	(930,440	)	EUR	2,925.00		2/15/2019		(25,360	)
EURO STOXX 50 Index	JPMS		28	EUR	(840,398	)	EUR	2,950.00		1/18/2019		(15,271	)
EURO STOXX 50 Index	JPMS		19	EUR	(570,270	)	EUR	2,975.00		1/18/2019		(12,408	)
EURO STOXX 50 Index	JPMS		19	EUR	(570,270	)	EUR	2,975.00		2/15/2019		(19,658	)
EURO STOXX 50 Index	JPMS		39	EUR	(1,170,554	)	EUR	3,000.00		1/18/2019		(30,341	)
EURO STOXX 50 Index	JPMS		10	EUR	(300,142	)	EUR	3,025.00		1/18/2019		(9,235	)
EURO STOXX 50 Index	JPMS		32	EUR	(960,454	)	EUR	3,050.00		1/18/2019		(34,868	)
EURO STOXX 50 Index	JPMS		3	EUR	(90,043	)	EUR	3,075.00		1/18/2019		(3,840	)
Euro-Bund	JPMS		2	EUR	(200,000	)	EUR	160.00		2/22/2019		3,176
Euro-Bund	JPMS		34	EUR	(3,400,000	)	EUR	161.00		1/25/2019		20,865
Euro-Bund	JPMS		11	EUR	(1,100,000	)	EUR	161.50		2/22/2019		3,210
Euro-Bund	JPMS		17	EUR	(1,700,000	)	EUR	162.00		1/25/2019		15,644
Euro-Bund	JPMS		24	EUR	(2,400,000	)	EUR	162.00		2/22/2019		4,092
Euro-Bund	JPMS		4	EUR	(400,000	)	EUR	162.50		1/25/2019		48
Euro-Bund	JPMS		8	EUR	(800,000	)	EUR	162.50		2/22/2019		1,378
Euro-Bund	JPMS		3	EUR	(300,000	)	EUR	163.00		1/25/2019		3
Euro-Bund	JPMS		11	EUR	(1,100,000	)	EUR	163.00		2/22/2019		2,329
Euro-Bund	JPMS		1	EUR	(100,000	)	EUR	163.50		1/25/2019		1
FTSE 100 Index	JPMS		6	GBP	(403,688	)	GBP	6,200.00		2/15/2019		(4,856	)
FTSE 100 Index	JPMS		3	GBP	(201,844	)	GBP	6,300.00		1/18/2019		(1,032	)
FTSE 100 Index	JPMS		3	GBP	(201,844	)	GBP	6,350.00		1/18/2019		(1,243	)
FTSE 100 Index	JPMS		5	GBP	(336,407	)	GBP	6,350.00		2/15/2019		(5,672	)
FTSE 100 Index	JPMS		3	GBP	(201,844	)	GBP	6,400.00		1/18/2019		(1,491	)
FTSE 100 Index	JPMS		2	GBP	(134,563	)	GBP	6,450.00		1/18/2019		(1,198	)
FTSE 100 Index	JPMS		6	GBP	(403,688	)	GBP	6,450.00		2/15/2019		(8,489	)
FTSE 100 Index	JPMS		3	GBP	(201,844	)	GBP	6,500.00		1/18/2019		(2,160	)
FTSE 100 Index	JPMS		5	GBP	(336,407	)	GBP	6,550.00		1/18/2019		(4,334	)
FTSE 100 Index	JPMS		5	GBP	(336,407	)	GBP	6,575.00		2/15/2019		(9,305	)
FTSE 100 Index	JPMS		6	GBP	(403,688	)	GBP	6,600.00		1/18/2019		(6,233	)
FTSE 100 Index	JPMS		5	GBP	(336,407	)	GBP	6,625.00		1/18/2019		(5,672	)
FTSE 100 Index	JPMS		3	GBP	(201,844	)	GBP	6,650.00		1/18/2019		(3,728	)
FTSE 100 Index	JPMS		6	GBP	(403,688	)	GBP	6,700.00		1/18/2019		(8,909	)
FTSE 100 Index	JPMS		3	GBP	(201,844	)	GBP	6,750.00		1/18/2019		(5,296	)
FTSE 100 Index	JPMS		6	GBP	(403,688	)	GBP	6,800.00		1/18/2019		(12,542	)
FTSE 100 Index	JPMS		3	GBP	(201,844	)	GBP	6,850.00		1/18/2019		(7,380	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	19,500.00		2/8/2019		(10,036	)

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

AQR Funds Annual Report December 2018

50

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS		NOTIONAL AMOUNT			EXERCISE PRICE		EXPIRATION DATE		VALUE
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	19,875.00		1/11/2019		$ (7,025	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	19,875.00		2/8/2019		(12,499	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	20,125.00		1/11/2019		(9,397	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	20,250.00		2/8/2019		(15,601	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	20,500.00		1/11/2019		(13,047	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	20,625.00		1/11/2019		(14,507	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	20,625.00		2/8/2019		(19,342	)
Nikkei 225 Index	JPMS		1	JPY	(20,014,770	)	JPY	20,750.00		1/11/2019		(8,029	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	21,000.00		2/8/2019		(23,539	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	21,375.00		2/8/2019		(28,466	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	21,750.00		2/8/2019		(33,940	)
Nikkei 225 Index	JPMS		2	JPY	(40,029,540	)	JPY	22,125.00		2/8/2019		(39,962	)
S&P 500 Index	JPMS		23	USD	(5,765,755	)	USD	2,345.00		2/15/2019		(78,959	)
S&P 500 Index	JPMS		15	USD	(3,760,275	)	USD	2,395.00		1/18/2019		(29,445	)
S&P 500 Index	JPMS		23	USD	(5,765,755	)	USD	2,395.00		2/15/2019		(109,250	)
S&P 500 Index	JPMS		16	USD	(4,010,960	)	USD	2,435.00		1/18/2019		(43,152	)
S&P 500 Index	JPMS		23	USD	(5,765,755	)	USD	2,450.00		2/15/2019		(128,132	)
S&P 500 Index	JPMS		15	USD	(3,760,275	)	USD	2,475.00		1/18/2019		(56,850	)
S&P 500 Index	JPMS		4	USD	(1,002,740	)	USD	2,480.00		1/18/2019		(15,960	)
S&P 500 Index	JPMS		22	USD	(5,515,070	)	USD	2,500.00		2/15/2019		(161,237	)
S&P 500 Index	JPMS		16	USD	(4,010,960	)	USD	2,515.00		1/18/2019		(104,848	)
S&P 500 Index	JPMS		3	USD	(752,055	)	USD	2,525.00		1/18/2019		(17,256	)
S&P 500 Index	JPMS		4	USD	(1,002,740	)	USD	2,530.00		1/18/2019		(24,912	)
U.S. Treasury 10 Year Note	JPMS		12	USD	(1,200,000	)	USD	119.50		1/25/2019		(375	)
U.S. Treasury 10 Year Note	JPMS		12	USD	(1,200,000	)	USD	120.00		1/25/2019		(563	)
U.S. Treasury 10 Year Note	JPMS		6	USD	(600,000	)	USD	120.50		1/25/2019		(563	)
												(1,263,286	)
Total Written Options Contracts (Premiums Received ($1,252,769))												$(1,760,811	)

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

Over the Counter

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE			NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
MSCI Australia Net Return Index	Decreases in total return of reference entity and pays the Australian Bank-Bill Swap Reference Rate (“BBR”) plus or minus a specified spread (0.20%)	Increases in total return of reference entity	Monthly	BANA		03/22/2019	AUD		647,334		$729

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

AQR Funds Annual Report December 2018

51

Schedule of Investments December 31, 2018

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 specifiedspread (-0.30%)

Monthly

BANA

03/20/2019

SEK

(36,991,758

)

$ 164,656

165,385

MSCI Canada Net Return Index

Decreases in total return of reference entity and pays the Canadian Bankers’ Acceptance (“BA”) plus or minus a specifiedspread (-0.67%)

Increases in total return of reference entity

Monthly

BANA

03/22/2019

CAD

459,365

(10,036

)

MSCI France Net Return Index

Decreases in total return of reference entity and pays the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specifiedspread (-0.14%)

Increases in total return of reference entity

Monthly

BANA

03/22/2019

EUR

1,083

(41

)

MSCI Japan Net Return Index

Decreases in total return of reference entity and pays the London Interbank Offered Rate (“LIBOR”) plus or minus a specifiedspread (-0.20%)

Increases in total return of reference entity

Monthly

BANA

03/26/2019

JPY

981,668,055

(654,028

)

MSCI Netherlands Net Return Index

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

Increases in total return of reference entity

Monthly

BANA

03/22/2019

EUR

1,998,163

(112,298

)

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

AQR Funds Annual Report December 2018

52

Schedule of Investments December 31, 2018

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 Spain Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.03%)

Increases in total return of reference entity

Monthly

BANA

03/22/2019

EUR

242,550

$ (9,677

)

MSCI Spain Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.03%)

Increases in total return of reference entity

Monthly

BANA

03/22/2019

EUR

269,938

(11,183

)

MSCI United Kingdom 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

BANA

03/22/2019

GBP

10,933

(322

)

Swiss Market Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

��

MSCS

03/15/2019

CHF

9,639,600

(241,678

)

(1,039,263

)

$(873,878

)

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		42	1/2019	EUR		$4,693,964		$(91,748	)
IBEX 35 Index		104	1/2019	EUR		10,148,806		(229,681	)
Australia 10 Year Bond		908	3/2019	AUD		84,852,241		897,047
Australia 3 Year Bond		389	3/2019	AUD		30,745,324		77,564
Euro-Bobl		117	3/2019	EUR		17,764,670		40,340
Euro-BTP		6	3/2019	EUR		878,699		1,689
Euro-Bund		912	3/2019	EUR		170,886,868		1,305,479
Euro-Buxl		8	3/2019	EUR		1,655,563		4,021
Euro-OAT		106	3/2019	EUR		18,314,584		(13,489	)
Euro-Schatz		168	3/2019	EUR		21,546,883		7,524
FTSE 100 Index		190	3/2019	GBP		16,126,366		(30,078	)
Japan 10 Year Bond		154	3/2019	JPY		214,241,320		477,535
S&P/TSX 60 Index		3	3/2019	CAD		376,780		1,321
SPI 200 Index		186	3/2019	AUD		18,213,539		89,355
U.S. Treasury 2 Year Note		27	3/2019	USD		5,732,438		3,808
U.S. Treasury 5 Year Note		12	3/2019	USD		1,376,250		2,027
								2,542,714

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

AQR Funds Annual Report December 2018

53

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts
CAC 40 10 Euro Index		(45	)	1/2019	EUR		$ (2,437,955	)		$ 34,358
Hang Seng Index		(22	)	1/2019	HKD		(3,631,875	)		(20,098	)
OMXS30 Index		(68	)	1/2019	SEK		(1,080,464	)		32,435
Canada 10 Year Bond		(137	)	3/2019	CAD		(13,725,088	)		(411,030	)
DAX Index		(62	)	3/2019	EUR		(18,756,300	)		379,536
DJIA CBOTE-Mini Index		(10	)	3/2019	USD		(1,163,400	)		58,897
EURO STOXX 50 Index		(282	)	3/2019	EUR		(9,609,038	)		175,576
FTSE/MIB Index		(36	)	3/2019	EUR		(3,754,714	)		103,069
Long Gilt		(232	)	3/2019	GBP		(36,422,255	)		(202,981	)
MSCI EAFEE-Mini Index		(4	)	3/2019	USD		(343,200	)		6,017
NASDAQ 100E-Mini Index		(9	)	3/2019	USD		(1,139,985	)		56,012
Nikkei 225 Index		(24	)	3/2019	JPY		(4,379,362	)		201,674
Russell 2000E-Mini Index		(37	)	3/2019	USD		(2,495,650	)		135,755
S&P 500E-Mini Index		(530	)	3/2019	USD		(66,387,800	)		1,556,194
S&P Midcap 400E-Mini Index		(5	)	3/2019	USD		(831,100	)		36,633
TOPIX Index		(36	)	3/2019	JPY		(4,905,433	)		275,976
U.S. Treasury 10 Year Note		(1,526	)	3/2019	USD		(186,195,845	)		(1,943,290	)
U.S. Treasury Long Bond		(11	)	3/2019	USD		(1,606,000	)		(75,321	)
U.S. Treasury Ultra Bond		(15	)	3/2019	USD		(2,409,844	)		(125,763	)
										273,649
										$2,816,363

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CHF	3,395,200	USD	3,453,563	CITI		3/20/2019		$25,675
CHF	5,092,800	USD	5,179,485	JPMC		3/20/2019		39,376
DKK	477,600	USD	73,515	CITI		3/20/2019		276
DKK	716,400	USD	110,273	JPMC		3/20/2019		417
EUR	1,677,840	USD	1,930,956	CITI		3/20/2019		3,837
EUR	2,516,760	USD	2,896,438	JPMC		3/20/2019		5,755
JPY	891,190,000	USD	7,992,187	CITI		3/20/2019		189,106
JPY	1,336,785,000	USD	11,988,169	JPMC		3/20/2019		283,770
NOK	29,600	USD	3,403	CITI		3/20/2019		32
NOK	44,400	USD	5,104	JPMC		3/20/2019		48
SEK	14,760,800	USD	1,649,385	CITI		3/20/2019		26,332
SEK	22,141,200	USD	2,474,086	JPMC		3/20/2019		39,496
SGD	47,200	USD	34,446	CITI		3/20/2019		244
SGD	70,800	USD	51,670	JPMC		3/20/2019		367
USD	7,898,687	AUD	10,932,000	CITI		3/20/2019		188,672
USD	11,848,016	AUD	16,398,000	JPMC		3/20/2019		282,994
USD	3,210,324	CAD	4,290,007	CITI		3/20/2019		62,318
USD	4,815,467	CAD	6,434,993	JPMC		3/20/2019		93,470
USD	61,922	CHF	60,400	CITI		3/20/2019		27
USD	92,883	CHF	90,600	JPMC		3/20/2019		40
USD	1,776,614	EUR	1,538,800	CITI		3/20/2019		2,154
USD	2,664,918	EUR	2,308,200	JPMC		3/20/2019		3,227
USD	3,685,046	GBP	2,866,002	CITI		3/20/2019		18,439

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

AQR Funds Annual Report December 2018

54

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	5,527,555	GBP	4,298,998	JPMC		3/20/2019		$ 27,652
USD	18,135	HKD	141,500	CITI		3/20/2019		23
USD	27,203	HKD	212,250	JPMC		3/20/2019		36
USD	11,831,837	NOK	100,576,400	CITI		3/20/2019		160,307
USD	17,747,733	NOK	150,864,600	JPMC		3/20/2019		240,438
USD	1,587,444	NZD	2,324,000	CITI		3/20/2019		25,480
USD	2,381,163	NZD	3,486,000	JPMC		3/20/2019		38,217
Total unrealized appreciation								1,758,225
AUD	13,679,200	USD	9,959,295	CITI		3/20/2019		(311,761	)
AUD	20,518,800	USD	14,938,962	JPMC		3/20/2019		(467,663	)
CAD	36,496,805	USD	27,546,548	CITI		3/20/2019		(765,196	)
CAD	54,745,195	USD	41,319,864	JPMC		3/20/2019		(1,147,857	)
EUR	1,313,360	USD	1,516,376	CITI		3/20/2019		(1,881	)
EUR	1,970,040	USD	2,274,566	JPMC		3/20/2019		(2,822	)
GBP	13,265,608	USD	17,048,712	CITI		3/20/2019		(77,414	)
GBP	19,898,392	USD	25,573,077	JPMC		3/20/2019		(116,153	)
HKD	182,400	USD	23,378	CITI		3/20/2019		(32	)
HKD	273,600	USD	35,068	JPMC		3/20/2019		(48	)
NOK	4,556,400	USD	536,638	CITI		3/20/2019		(7,885	)
NOK	6,834,600	USD	804,957	JPMC		3/20/2019		(11,827	)
NZD	24,260,400	USD	16,635,099	CITI		3/20/2019		(329,647	)
NZD	36,390,600	USD	24,952,882	JPMC		3/20/2019		(494,701	)
USD	36,110,984	CHF	35,552,401	CITI		3/20/2019		(321,433	)
USD	54,166,950	CHF	53,328,599	JPMC		3/20/2019		(481,671	)
USD	190,709	DKK	1,238,000	CITI		3/20/2019		(570	)
USD	286,063	DKK	1,857,000	JPMC		3/20/2019		(855	)
USD	33,861,773	EUR	29,517,202	CITI		3/20/2019		(175,859	)
USD	50,793,758	EUR	44,275,798	JPMC		3/20/2019		(262,684	)
USD	5,964,293	GBP	4,695,600	CITI		3/20/2019		(43,003	)
USD	8,946,428	GBP	7,043,400	JPMC		3/20/2019		(64,516	)
USD	5,234	HKD	40,900	CITI		3/20/2019		(1	)
USD	7,851	HKD	61,350	JPMC		3/20/2019		(2	)
USD	15,683,517	JPY	1,756,897,604	CITI		3/20/2019		(445,133	)
USD	23,526,985	JPY	2,635,346,404	JPMC		3/20/2019		(665,991	)
USD	695,991	NOK	6,041,200	CITI		3/20/2019		(5,069	)
USD	1,043,985	NOK	9,061,800	JPMC		3/20/2019		(7,604	)
USD	131,693	NZD	196,000	CITI		3/20/2019		(38	)
USD	197,540	NZD	294,000	JPMC		3/20/2019		(58	)
USD	10,366,665	SEK	92,873,599	CITI		3/20/2019		(176,810	)
USD	15,549,979	SEK	139,310,401	JPMC		3/20/2019		(265,235	)
USD	61,654	SGD	84,400	CITI		3/20/2019		(379	)
USD	92,481	SGD	126,600	JPMC		3/20/2019		(568	)
Total unrealized depreciation								(6,652,366	)
Net unrealized depreciation							$	(4,894,141	)

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 Annual Report December 2018

55

Schedule of Investments December 31, 2018

AQR ALTERNATIVE RISK PREMIA FUND

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

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BANA
Cash		$1,400,000		$—		$1,400,000
BARC
Cash		—		3,836,467		3,836,467
CITI
Cash		4,290,000		—		4,290,000
GSCO
Cash		—		835,412		835,412
JPMC
Investment Companies		9,540,000		—		9,540,000
JPMS
Cash		—		20,531,309		20,531,309
MSCS
U.S. Treasury Bills		1,729,246		—		1,729,246

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

AQR Funds Annual Report December 2018

56

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 126.0%
COMMON STOCKS - 31.7%
Aerospace & Defense - 1.2%
Engility Holdings, Inc. *(a)		6,569	$	186,954
Esterline Technologies Corp. *		3,756		456,166
L3 Technologies, Inc. (a)		23,871		4,145,438
				4,788,558
Auto Components - 0.2%
Garrett Motion, Inc. (Switzerland) *		34,856		430,123
Veoneer, Inc. (Sweden) *		15,635		368,517
				798,640
Automobiles - 0.1%
Tesla, Inc. *(a)		1,246		414,669
Banks - 0.9%
Blue Hills Bancorp, Inc. (a)		13,199		281,667
FCB Financial Holdings, Inc., Class A *(a)		25,902		869,789
Fidelity Southern Corp.		2,035		52,951
Green Bancorp, Inc. (a)		4,131		70,805
Guaranty Bancorp (a)		9,960		206,670
MB Financial, Inc. (a)		22,383		887,038
National Commerce Corp. *(a)		870		31,320
Patriot National Bancorp, Inc.		17,287		246,340
State Bank Financial Corp. (a)		34,796		751,246
				3,397,826
Biotechnology - 0.9%
Allogene Therapeutics, Inc. *		1,000		26,930
BioMarin Pharmaceutical, Inc. *(a)		15,766		1,342,475
Intrexon Corp. *(a)		18,457		120,709
Moderna, Inc. *		500		7,635
Shire plc, ADR (a)		3,976		691,983
TESARO, Inc. *		17,639		1,309,695
				3,499,427
Building Products - 0.1%
Resideo Technologies, Inc. *		23,483		482,576
Capital Markets - 18.8%
Allegro Merger Corp. *		30,000		292,500
AMCI Acquisition Corp. *		460,000		4,577,000
Big Rock Partners Acquisition Corp. (2)*		200,000		2,000,000
Black Ridge Acquisition Corp. *		210,000		2,108,400
Boxwood Merger Corp. *		500,000		4,965,000
CF Finance Acquisition Corp. *		400,000		4,000,000
Churchill Capital Corp., Class A *		60,000		573,000
Constellation Alpha Capital Corp. *		349,500		3,571,890
DFB Healthcare Acquisitions Corp. (2)*		150,000		1,441,500
FinTech Acquisition Corp. III *		460,000		4,613,800
GigCapital, Inc. *		175,000		1,767,500
Gordon Pointe Acquisition Corp. (2)*		245,960		2,459,600
Gores Holdings III, Inc., Class A (2)*		49,998		483,481
Graf Industrial Corp. *		66,000		633,600
GS Acquisition Holdings Corp., Class A *		150,000		1,470,000
Haymaker Acquisition Corp., Class A *		399,960		4,003,600
Investment Technology Group, Inc.		2,014		60,903
Jensyn Acquisition Corp. (2)*(b)		69,000		759,000

INVESTMENTS	SHARES		VALUE
Capital Markets - 18.8% (continued)
Legacy Acquisition Corp., Class A *		250,000	$	2,455,000
Leisure Acquisition Corp. *		150,000		1,477,500
Leo Holdings Corp., Class A (United Kingdom) (2)*		146,700		1,415,655
Longevity Acquisition Corp. (China) (2)*		125,000		50,000
Megalith Financial Acquisition Corp., Class A (2)*		6,400		62,080
Modern Media Acquisition Corp. *(b)		595,031		6,069,316
MTech Acquisition Corp. *		75,000		755,250
Mudrick Capital Acquisition Corp., Class A (2)*		150,000		1,480,500
Nebula Acquisition Corp., Class A (2)*		139,998		1,364,980
One Madison Corp., Class A (2)*		100,000		1,003,000
Opes Acquisition Corp. (Mexico) (2)*		100,000		970,000
Pensare Acquisition Corp. *		250,000		2,532,500
Platinum Eagle Acquisition Corp. *		159,999		1,612,790
PROMECAP Acquisition Co. SAB de CV (Mexico) (2)*		400,000		3,908,049
Reebonz Holding Ltd. *		15,000		31,200
Regalwood Global Energy Ltd., Class A *		150,001		1,473,010
Schultze Special Purpose Acquisition Corp. (2)*		288,000		2,865,600
Spartan Energy Acquisition Corp., Class A *		89,998		866,681
TheStreet, Inc. *		136,752		277,606
TKK Symphony Acquisition Corp. (Hong Kong) *		50,000		482,500
Twelve Seas Investment Co. (United Kingdom) *		240,000		84,000
Union Acquisition Corp. *		250,000		2,517,500
VectoIQ Acquisition Corp. *		150,000		1,455,000
				74,990,491
Chemicals - 0.0% (c)
Amyris, Inc. *		40,739		136,068
Communications Equipment - 0.5%
ARRIS International plc *		20,689		632,463
Finisar Corp. *(a)		56,333		1,216,793
				1,849,256
Construction & Engineering - 0.1%
Arcosa, Inc. *		11,826		327,462
Consumer Finance - 0.1%
Encore Capital Group, Inc. *		7,897		185,580
Diversified Consumer Services - 0.1%
frontdoor, Inc. *		20,106		535,021
Diversified Financial Services - 0.4%
FGL Holdings *		33,000		219,780
PNBK Holdings LLC, Class A (3)*(d)(e)		2,090,900		1,200,302
PNBK Holdings LLC, Class B (3)*(d)(e)		3,218		—
Rescap Liquidating Trust *		125,811		276,784
				1,696,866

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

AQR Funds Annual Report December 2018

57

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Diversified Telecommunication Services - 0.5%
AT&T, Inc. (a)		69,601	$	1,986,413
Electrical Equipment - 0.1%
nVent Electric plc (United Kingdom)		18,138		407,379
Electronic Equipment, Instruments & Components - 0.0% (c)
Electro Scientific Industries, Inc. *		5,130		153,695
Energy Equipment & Services - 0.4%
Apergy Corp. *		13,217		357,916
KLX Energy Services Holdings, Inc. *		12,542		294,110
Oil States International, Inc. *(a)		9,478		135,346
Rowan Cos. plc, Class A *(a)		27,002		226,547
Transocean Ltd. *		54,191		376,085
				1,390,004
Entertainment - 0.1%
Pandora Media, Inc. *(a)		34,749		281,119
Smaaash Entertainment, Inc. *		18,800		38,164
Tencent Music Entertainment Group, ADR (China) *		5,000		66,100
				385,383
Equity Real Estate Investment Trusts (REITs) - 0.5%
CorePoint Lodging, Inc.		12,125		148,531
Industrial Logistics Properties Trust		4,885		96,096
InfraREIT, Inc.		7,097		149,179
JBG SMITH Properties		11,597		403,692
Park Hotels & Resorts, Inc.		15,579		404,742
Pebblebrook Hotel Trust		84		2,378
Retail Value, Inc.		13,469		344,672
Select Income REIT (a)		9,722		71,554
Spirit MTA REIT		26,740		190,656
				1,811,500
Health Care Equipment & Supplies - 0.0% (c)
China Medical Technologies, Inc., ADR (China) (3) *(d)		4,931		—
SI-BONE, Inc. *		2,500		52,225
				52,225
Health Care Providers & Services - 0.0% (c)
Guardant Health, Inc. *		1,000		37,590
Hotels, Restaurants & Leisure - 0.7%
Belmond Ltd., Class A (United Kingdom) *		48,254		1,207,798
Panera Bread Co., Class A(3) *(d)		10,533		116,579
Wyndham Hotels & Resorts, Inc.		9,295		421,714
Wynn Resorts Ltd.		12,450		1,231,430
				2,977,521
Household Durables - 0.0% (c)
GoPro, Inc., Class A *(a)		30,937		131,173
Independent Power and Renewable Electricity Producers - 0.0% (c)
NRG Energy, Inc.		379		15,008

INVESTMENTS	SHARES		VALUE
Insurance - 0.0% (c)
Greenlight Capital Re Ltd., Class A *		112	$	965
Navigators Group, Inc. (The)		447		31,062
				32,027
Internet & Direct Marketing Retail - 0.4%
Booking Holdings, Inc. *(a)		219		377,210
Expedia Group, Inc. (a)		1,225		137,996
Nutrisystem, Inc.		26,352		1,156,326
				1,671,532
IT Services - 0.3%
Black Knight, Inc. *		4,415		198,940
StoneCo Ltd., Class A (Brazil) *		5,000		92,200
Travelport Worldwide Ltd.		25,185		393,390
Wix.com Ltd. (Israel) *(a)		4,060		366,780
				1,051,310
Leisure Products - 0.3%
Amer Sports OYJ (Finland) (2)*		26,696		1,173,636
YETI Holdings, Inc. *		1,000		14,840
				1,188,476
Life Sciences Tools & Services - 0.2%
Illumina, Inc. *(a)		1,689		506,582
Pacific Biosciences of California, Inc. *		40,409		299,026
				805,608
Machinery - 0.1%
Altra Industrial Motion Corp.		320		8,048
Pentair plc (United Kingdom)		6,302		238,090
				246,138
Media - 0.3%
Altice USA, Inc., Class A		26,952		445,247
Discovery, Inc., Class C *		1,024		23,634
Tribune Media Co., Class A		14,325		650,068
				1,118,949
Metals & Mining - 0.8%
Nevsun Resources Ltd. (Canada) *		72,822		319,516
Randgold Resources Ltd., ADR (2)(a)		32,398		2,775,314
Tahoe Resources, Inc. *(a)		65,253		238,174
				3,333,004
Mortgage Real Estate Investment Trusts (REITs) - 0.2%
Starwood Property Trust, Inc. (a)		30,610		603,323
Oil, Gas & Consumable Fuels - 0.6%
Diamondback Energy, Inc.		100		9,270
Newfield Exploration Co. *(a)		97,222		1,425,274
Penn Virginia Corp. *(a)		2,828		152,882
Quicksilver Resources, Inc.(3) *(d)(e)		14,730		199,324
Resolute Energy Corp. *(a)		5,741		166,374
WildHorse Resource Development Corp. *(a)		39,770		561,155
				2,514,279

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

AQR Funds Annual Report December 2018

58

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Pharmaceuticals - 0.2%
Jazz Pharmaceuticals plc *(a)		563	$	69,789
Medicines Co. (The) *(a)		33,654		644,138
				713,927
Professional Services - 0.0% (c)
Upwork, Inc. *		1,000		18,110
Real Estate Management & Development - 0.1%
Newmark Group, Inc., Class A		37,258		298,809
Semiconductors & Semiconductor Equipment - 0.8%
Integrated Device Technology, Inc. *(a)		65,094		3,152,502
Software - 1.0%
Anaplan, Inc. *		1,000		26,540
Apptio, Inc., Class A *		14,184		538,425
Elastic NV *		1,000		71,480
FireEye, Inc. *		472		7,651
Guidewire Software, Inc. *(a)		1,596		128,047
Hortonworks, Inc. *(a)		36,825		531,016
Imperva, Inc. *		2,714		151,143
Micro Focus International plc, ADR (United Kingdom)		23,338		401,647
MINDBODY, Inc., Class A *		19,829		721,776
Q2 Holdings, Inc. *		14,570		721,943
SendGrid, Inc. *(a)		19,187		828,303
SolarWinds Corp. *		1,000		13,830
				4,141,801
Specialty Retail - 0.1%
RH *		4,380		524,812
Thrifts & Mortgage Finance - 0.1%
Beneficial Bancorp, Inc. (a)		23,126		330,471
Trading Companies & Distributors - 0.1%
Ahlsell AB (Sweden) (2)(f)		73,925		434,736
AM Castle & Co. *(a)		8,695		24,694
				459,430
Water Utilities - 0.0% (c)
Connecticut Water Service, Inc.		1,143		76,432
Wireless Telecommunication Services - 0.4%
Cleveland Unlimited (3)*(d)(e)		1		277,550
Sprint Corp. *(a)		225,550		1,312,701
				1,590,251
TOTAL COMMON STOCKS (Cost $133,897,862)				126,321,522
PREFERRED STOCKS - 0.6%
Banks - 0.2%
First Banks, Inc., Series C, (3)*(d)(e)		2,458		737,083
Thrifts & Mortgage Finance - 0.4%
FHLMC, Series V, 5.57%, 2/4/2019 (2)*(a)(g)		83,409		450,409

INVESTMENTS	SHARES			VALUE
Thrifts & Mortgage Finance - 0.4% (continued)
FHLMC, Series W, 5.66%, 2/4/2019 (2)*(g)		29,460		$	159,084
FHLMC, Series X, 6.02%, 2/4/2019 *(g)		47,843	��		263,136
FHLMC, Series Z, 8.38%, 12/31/2022 *(g)(h)		45,876			321,132
FNMA, Series S, 8.25%, 12/31/2020 *(g)(h)		77,876			541,238
					1,734,999
TOTAL PREFERRED STOCKS (Cost $3,488,136)					2,472,082
CONVERTIBLE PREFERRED STOCKS - 3.1%
Capital Markets - 0.6%
Mandatory Exchangeable Trust (China)
$100 par, 5.75%, 6/1/2019 (2)(a)(f)		6,586			1,016,418
Virtus Investment Partners, Inc.
Series D, $100 par, 7.25%, 2/1/2020 (2)(a)		17,975			1,356,753
					2,373,171
Diversified Financial Services - 0.5%
2017 Mandatory Exchangeable Trust
$100 par, 5.19%, 12/1/2020 (2)(a)(f)		18,425			2,102,630
Equity Real Estate Investment Trusts (REITs) - 0.2%
QTS Realty Trust, Inc. Series B, $100 par, 6.50%, 12/31/2049 (2)(a)(g)		9,525			898,798
Gas Utilities - 0.2%
South Jersey Industries, Inc. $50 par, 7.25%, 4/15/2021 (2)(a)		12,425			575,650
Insurance - 0.4%
Assurant, Inc. Series D, $100 par, 6.50%, 3/15/2021 (2)(a)		17,525			1,717,534
Machinery - 0.3%
Fortive Corp. Series A, $1,000 par, 5.00%, 7/1/2021 (2)(a)		875			794,719
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (2)(a)		4,975			250,522
					1,045,241
Multi-Utilities - 0.7%
CenterPoint Energy, Inc. Series B, $50 par, 7.00%, 9/1/2021 (2)(a)		39,775			2,001,478
Sempra Energy Series A, $100 par, 6.00%, 1/15/2021 (2)(a)		7,925			760,536
					2,762,014
Technology Hardware, Storage & Peripherals - 0.2%
NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 (2)*(a)(g)(i)		877			892,468
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $12,682,482)					12,367,506

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

AQR Funds Annual Report December 2018

59

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 7.2%
Aberdeen Global Dynamic Dividend Fund		3,235	$	27,530
Aberdeen Income Credit Strategies Fund		2,600		27,248
Aberdeen Total Dynamic Dividend Fund		20,221		145,793
Adams Natural Resources Fund, Inc.		12,416		180,901
Advent Claymore Convertible Securities and Income Fund		4,900		61,446
Alliance California Municipal Income Fund, Inc.		18,969		259,496
AllianceBernstein Global High Income Fund, Inc. (a)		20,541		216,297
AllianceBernstein National Municipal Income Fund, Inc.		23,392		283,745
AllianzGI Equity & Convertible Income Fund		400		7,416
AllianzGI NFJ Dividend Interest & Premium Strategy Fund		12,334		131,727
Apollo Senior Floating Rate Fund, Inc.		2,618		37,673
Apollo Tactical Income Fund, Inc.		3,851		53,028
Ares Dynamic Credit Allocation Fund, Inc.		6,282		86,692
Bancroft Fund Ltd.		1,027		19,133
Barings Global Short Duration High Yield Fund		2,600		41,470
BlackRock California Municipal Income Trust		30,985		370,890
BlackRock Corporate High Yield Fund, Inc.		15,797		146,596
BlackRock Credit Allocation Income Trust		20,818		232,745
BlackRock Debt Strategies Fund, Inc.		13,098		127,967
BlackRock Energy and Resources Trust		3,509		36,669
BlackRock Enhanced Capital and Income Fund, Inc.		1,000		14,080
BlackRock Enhanced Equity Dividend Trust		17,506		136,022
BlackRock Enhanced Global Dividend Trust		15,647		146,612
BlackRock Floating Rate Income Strategies Fund, Inc.		8,175		97,282
BlackRock Floating Rate Income Trust		4,100		47,355
BlackRock Investment Quality Municipal Trust, Inc.		18,001		237,793
BlackRock Limited Duration Income Trust		7,202		96,291
BlackRock Long-Term Municipal Advantage Trust		3,835		40,919
BlackRock Multi-Sector Income Trust		6,376		97,935
BlackRock Muni Intermediate Duration Fund, Inc.		29,380		371,657
BlackRock MuniAssets Fund, Inc.		5,847		75,251
BlackRock Municipal 2030 Target Term Trust		18,329		375,928
BlackRock Municipal Bond Trust		15,281		204,307
BlackRock Municipal Income Investment Quality Trust		5,046		66,103
BlackRock Municipal Income Investment Trust		243		2,921
BlackRock Municipal Income Quality Trust		20,913		260,994
BlackRock Municipal Income Trust		18,615		226,917
BlackRock Municipal Income Trust II		8,418		108,676
BlackRock MuniEnhanced Fund, Inc.		24,893		246,441

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 7.2% (continued)
BlackRock MuniHoldings California Quality Fund, Inc.		24,595	$	303,256
BlackRock MuniHoldings Fund II, Inc.		13,240		171,590
BlackRock MuniHoldings Fund, Inc.		4,032		59,391
BlackRock MuniHoldings Investment Quality Fund		21,281		271,120
BlackRock MuniHoldings New Jersey Quality Fund, Inc.		24,109		303,291
BlackRock MuniHoldings New York Quality Fund, Inc.		24,205		289,976
BlackRock MuniHoldings Quality Fund II, Inc.		20,076		230,272
BlackRock MuniHoldings Quality Fund, Inc.		14,532		164,502
BlackRock MuniVest Fund II, Inc.		4,764		62,218
BlackRock MuniVest Fund, Inc.		9,374		77,429
BlackRock MuniYield California Fund, Inc.		19,396		250,402
BlackRock MuniYield California Quality Fund, Inc.		23,556		297,748
BlackRock MuniYield Fund, Inc.		7,727		96,742
BlackRock MuniYield Investment Quality Fund		2,242		27,464
BlackRock MuniYield Michigan Quality Fund, Inc.		21,670		269,141
BlackRock MuniYield New Jersey Fund, Inc.		19,130		247,733
BlackRock MuniYield New York Quality Fund, Inc.		30,162		347,466
BlackRock MuniYield Pennsylvania Quality Fund		17,983		225,687
BlackRock MuniYield Quality Fund II, Inc.		19,628		224,348
BlackRock MuniYield Quality Fund III, Inc.		26,067		314,107
BlackRock MuniYield Quality Fund, Inc.		19,091		247,801
BlackRock New York Municipal Income Trust		12,104		148,153
BlackRock Resources & Commodities Strategy Trust		19,668		138,856
BlackRock Taxable Municipal Bond Trust		8,661		182,054
Blackstone/GSO Long-Short Credit Income Fund		1,300		17,862
Blackstone/GSO Strategic Credit Fund		4,487		60,440
Boulder Growth & Income Fund, Inc.		300		3,129
Brookfield Global Listed Infrastructure Income Fund, Inc.		6,455		65,389
Brookfield Real Assets Income Fund, Inc.		4,400		83,908
Calamos Convertible Opportunities and Income Fund		7,011		62,117
Calamos Global Dynamic Income Fund		5,411		35,442
CBRE Clarion Global Real Estate Income Fund		27,603		170,034
Clough Global Equity Fund		800		8,672
Clough Global Opportunities Fund		3,508		28,871
Cohen & Steers Global Income Builder, Inc.		2,199		16,383
Cohen & Steers Infrastructure Fund, Inc.		5,560		109,866
Cohen & Steers Quality Income Realty Fund, Inc.		13,030		134,991

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

AQR Funds Annual Report December 2018

60

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 7.2% (continued)
Cohen & Steers REIT and Preferred Income Fund, Inc.		4,632	$	82,450
Cohen & Steers Total Return Realty Fund, Inc.		2,882		30,982
Delaware Enhanced Global Dividend & Income Fund		1,243		10,814
Delaware Investments Minnesota Municipal Income Fund II, Inc.		15,117		179,288
Dividend and Income Fund		26,875		256,119
Dreyfus Municipal Bond Infrastructure Fund, Inc. (a)		18,390		218,289
Dreyfus Municipal Income, Inc.		15,363		117,066
Dreyfus Strategic Municipal Bond Fund, Inc.		32,572		227,353
Dreyfus Strategic Municipals, Inc.		33,543		240,839
DTF Tax-Free Income, Inc.		18,227		225,650
DWS Municipal Income Trust		29,025		298,958
DWS Strategic Municipal Income Trust		15,073		155,553
Eaton Vance California Municipal Bond Fund		24,534		242,887
Eaton Vance Floating-Rate Income Plus Fund		2,414		34,327
Eaton Vance Floating-Rate Income Trust		7,125		90,203
Eaton Vance Limited Duration Income Fund		23,140		275,829
Eaton Vance Municipal Bond Fund		23,581		266,229
Eaton Vance Municipal Bond Fund II		10,364		114,108
Eaton Vance Municipal Income Trust		25,482		288,201
Eaton Vance New York Municipal Bond Fund		18,297		201,267
Eaton Vance Risk-Managed Diversified Equity Income Fund		6,563		53,292
Eaton Vance Senior Floating-Rate Trust		4,990		62,625
Eaton Vance Senior Income Trust		13,165		78,990
Eaton Vance Short Duration Diversified Income Fund		4,758		59,237
Eaton Vance Tax-Advantaged Dividend Income Fund		2,100		39,879
Eaton Vance Tax-Advantaged Global Dividend Income Fund		5,238		70,923
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund		400		7,508
Federated Premier Municipal Income Fund		16,461		201,976
First Trust Aberdeen Global Opportunity Income Fund		6,523		61,186
First Trust Dynamic Europe Equity Income Fund		3,692		46,667
First Trust High Income Long/Short Fund		16,333		216,902
First Trust Senior Floating Rate Income Fund II		7,766		86,979
Franklin Ltd. Duration Income Trust		3,316		29,910
Gabelli Dividend & Income Trust (The)		8,381		153,372
Gabelli Healthcare & WellnessRx Trust (The)		7,819		72,326
General American Investors Co., Inc.		1,963		55,828
Invesco Advantage Municipal Income Trust II		23,157		228,560

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 7.2% (continued)
Invesco California Value Municipal Income Trust		15,148	$	171,324
Invesco Dynamic Credit Opportunities Fund		21,688		222,736
Invesco High Income Trust II		653		8,182
Invesco Municipal Opportunity Trust		34,071		380,914
Invesco Municipal Trust		22,761		253,558
Invesco Pennsylvania Value Municipal Income Trust		1,434		16,649
Invesco Quality Municipal Income Trust		25,329		284,191
Invesco Trust for Investment Grade Municipals		24,188		277,678
Invesco Trust for Investment Grade New York Municipals		13,063		155,972
Invesco Value Municipal Income Trust		21,791		294,614
Ivy High Income Opportunities Fund		3,208		38,913
John Hancock Hedged Equity & Income Fund		1,323		17,305
John Hancock Tax-Advantaged Dividend Income Fund		1,600		32,672
KKR Income Opportunities Fund		3,600		51,300
Lazard Global Total Return and Income Fund, Inc.		600		8,172
LMP Capital and Income Fund, Inc.		1,271		13,574
Macquarie Global Infrastructure Total Return Fund, Inc.		3,097		58,255
Madison Covered Call & Equity Strategy Fund		2,361		14,544
MFS Investment Grade Municipal Trust		6,813		59,614
MFS Municipal Income Trust		31,693		194,595
Neuberger Berman High Yield Strategies Fund, Inc.		22,189		214,568
Neuberger Berman Municipal Fund, Inc.		13,182		166,884
New America High Income Fund, Inc. (The)		5,729		43,311
New Germany Fund, Inc. (The)		398		4,657
Nuveen AMT-Free Municipal Credit Income Fund		18,167		253,975
Nuveen AMT-Free Municipal Value Fund		5,646		83,391
Nuveen AMT-Free Quality Municipal Income Fund		25,085		308,796
Nuveen Arizona Quality Municipal Income Fund		7,314		86,817
Nuveen California AMT-Free Quality Municipal Income Fund		22,493		285,211
Nuveen California Municipal Value Fund, Inc.		14,889		135,639
Nuveen California Quality Municipal Income Fund		29,080		370,770
Nuveen Connecticut Quality Municipal Income Fund		26,387		297,118
Nuveen Credit Strategies Income Fund		27,474		203,308
Nuveen Diversified Dividend & Income Fund		600		5,538
Nuveen Emerging Markets Debt 2022 Target Term Fund		300		2,289
Nuveen Enhanced Municipal Value Fund		11,677		150,283

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

AQR Funds Annual Report December 2018

61

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 7.2% (continued)
Nuveen Floating Rate Income Opportunity Fund		7,852	$	70,825
Nuveen Georgia Quality Municipal Income Fund		14,550		159,177
Nuveen Intermediate Duration Municipal Term Fund		22,836		282,710
Nuveen Intermediate Duration Quality Municipal Term Fund		11,413		140,951
Nuveen Maryland Quality Municipal Income Fund		22,540		264,169
Nuveen Massachusetts Quality Municipal Income Fund		3,713		43,591
Nuveen Michigan Quality Municipal Income Fund		21,719		270,619
Nuveen Municipal Credit Income Fund		12,722		170,729
Nuveen Municipal High Income Opportunity Fund		1,749		20,358
Nuveen New Jersey Quality Municipal Income Fund		24,811		316,092
Nuveen New York AMT-Free Quality Municipal Income Fund		27,029		314,888
Nuveen New York Quality Municipal Income Fund		21,437		262,603
Nuveen North Carolina Quality Municipal Income Fund		19,345		228,078
Nuveen Ohio Quality Municipal Income Fund		18,523		246,356
Nuveen Pennsylvania Quality Municipal Income Fund		22,620		275,964
Nuveen Quality Municipal Income Fund		30,150		378,081
Nuveen Real Asset Income and Growth Fund		8,533		116,305
Nuveen Real Estate Income Fund		2,494		21,099
Nuveen Select Maturities Municipal Fund		5,034		48,427
Nuveen Select Tax-Free Income Portfolio		744		10,468
Nuveen Senior Income Fund		4,700		25,850
Nuveen Short Duration Credit Opportunities Fund		1,000		14,330
Nuveen Taxable Municipal Income Fund		649		12,565
Nuveen Tax-Advantaged Dividend Growth Fund		204		2,734
Nuveen Texas Quality Municipal Income Fund		7,734		95,824
Nuveen Virginia Quality Municipal Income Fund		26,695		312,865
PGIM Global Short Duration High Yield Fund, Inc.		21,319		275,441
PGIM Short Duration High Yield Fund, Inc.		20,132		262,320
Pioneer Diversified High Income Trust		3,146		40,898
Pioneer Floating Rate Trust		8,350		82,164
Pioneer High Income Trust		6,819		54,347
Pioneer Municipal High Income Trust		14,067		154,174
Putnam Managed Municipal Income Trust		36,364		244,366

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 7.2% (continued)
Putnam Municipal Opportunities Trust		22,938	$	257,594
RMR Real Estate Income Fund		1,762		26,553
Royce Micro-Cap Trust, Inc.		7,289		54,084
Royce Value Trust, Inc.		12,527		147,819
Source Capital, Inc.		1,163		37,856
Sprott Focus Trust, Inc.		1,674		9,709
Tekla Healthcare Investors		8,366		150,170
Tekla Life Sciences Investors		1,308		19,764
Templeton Emerging Markets Fund		795		10,494
Templeton Global Income Fund		26,747		161,284
THL Credit Senior Loan Fund		600		8,916
Virtus Global Dividend & Income Fund, Inc.		1,000		8,930
Virtus Total Return Fund, Inc.		2,712		23,486
Voya Emerging Markets High Income Dividend Equity Fund		3,368		24,553
Voya Global Advantage and Premium Opportunity Fund		2,785		25,622
Voya Global Equity Dividend and Premium Opportunity Fund		13,992		81,993
Voya Infrastructure Industrials and Materials Fund		2,580		28,535
Wells Fargo Income Opportunities Fund		10,921		78,959
Wells Fargo Multi-Sector Income Fund		2,800		31,052
Western Asset Global Corporate Defined Opportunity Fund, Inc.		1,213		18,171
Western Asset Global High Income Fund, Inc.		15,422		127,540
Western Asset High Income Fund II, Inc.		28,635		164,938
Western Asset High Yield Defined Opportunity Fund, Inc.		1,856		24,406
Western Asset Intermediate Muni Fund, Inc.		30,187		252,061
Western Asset Municipal High Income Fund, Inc.		10,830		75,052
Western Asset Municipal Partners Fund, Inc.		14,665		203,844
TOTAL CLOSED END FUNDS (Cost $30,629,885)				28,618,439
EXCHANGE TRADED FUNDS - 0.0% (c)
Gabelli Global Small and Mid Cap Value Trust (The) * (Cost $8,815)		801		7,850
		PRINCIPAL AMOUNT
CORPORATE BONDS - 6.0%
Aerospace & Defense - 0.3%
Bombardier, Inc. (Canada) 7.75%, 3/15/2020 (2)(f)	$	1,000,000		1,015,000
Airlines - 0.3%
United Continental Holdings, Inc. 6.00%, 12/1/2020 (2)(a)		1,000,000		1,025,000

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

AQR Funds Annual Report December 2018

62

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Banks - 0.0% (c)
Washington Mutual, Inc. Escrow 0.00%, 9/29/2017 (3)(d)	$	5,000,000	$	60,000
Chemicals - 0.1%
Platform Specialty Products Corp. 6.50%, 2/1/2022 (2)(f)		542,000		542,000
Consumer Finance - 0.6%
General Motors Financial Co., Inc.
3.10%, 1/15/2019 (2)		1,250,000		1,249,950
2.40%, 5/9/2019 (2)		1,000,000		996,242
				2,246,192
Diversified Telecommunication Services - 0.2%
CenturyLink, Inc. Series V, 5.63%, 4/1/2020 (2)		1,000,000		995,000
Equity Real Estate Investment Trusts (REITs) - 0.4%
American Tower Corp. 3.40%, 2/15/2019 (2)		947,000		947,536
iStar, Inc. 5.00%, 7/1/2019 (2)		486,000		484,481
				1,432,017
Food Products - 0.2%
Viterra, Inc. (Switzerland) 5.95%, 8/1/2020 (2)(f)		923,000		950,935
Health Care Equipment & Supplies - 0.1%
DJO Finance LLC 10.75%, 4/15/2020 (2)(a)		614,000		614,000
Health Care Providers & Services - 0.4%
Agiliti Health, Inc. 7.63%, 8/15/2020 (2)		462,000		458,535
HCA, Inc. 6.50%, 2/15/2020 (2)		1,000,000		1,025,000
				1,483,535
Household Durables - 0.1%
DR Horton, Inc. 3.75%, 3/1/2019 (2)		500,000		499,959
Independent Power and Renewable Electricity Producers - 0.0%
Energy Future Holdings 0.00%, 12/1/2018 (3)(d)(j)		1,000,000		—
Internet & Direct Marketing Retail - 0.1%
QVC, Inc. 3.13%, 4/1/2019 (2)		317,000		316,277
Media - 0.0% (c)
iHeartCommunications, Inc. 14.00%, 2/1/2021 (2)(j)		1,010,000		111,100
Metals & Mining - 0.3%
Aleris International, Inc. 10.75%, 7/15/2023 (2)(a)(f)		1,095,000		1,118,871
Oil, Gas & Consumable Fuels - 1.3%
Black Elk Energy Escrow 13.75%, 12/1/2015 (3)(d)		2,833,436		—
DCP Midstream Operating LP 2.70%, 4/1/2019 (2)		1,000,000		991,875

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Oil, Gas & Consumable Fuels - 1.3% (continued)
Energy Transfer LP 7.50%, 10/15/2020 (2)		$   1,000,000	$	1,040,000
EnLink Midstream Partners LP 2.70%, 4/1/2019 (2)		1,000,000		993,751
NSA Bondco Ltd. (Norway) 12.00%, 8/31/2020 (3)(d)(i)(j)		3,031,719		666,978
Resolute Energy Corp. 8.50%, 5/1/2020 (2)		602,000		592,970
Targa Resources Partners LP 4.13%, 11/15/2019 (2)		1,000,000		991,250
				5,276,824
Pharmaceuticals - 0.1%
Advanz Pharma Corp. (Canada) 8.00%, 9/6/2024 (2)(a)		549,000		516,060
Professional Services - 0.1%
Verisk Analytics, Inc. 4.88%, 1/15/2019 (2)		271,000		271,094
Semiconductors & Semiconductor Equipment - 0.1%
SunEdison, Inc.
2.00%, 10/1/2018 (3)(d)(j)		16,350,000		363,923
2.75%, 1/1/2021 (3)(d)(j)		4,400,000		97,937
				461,860
Specialty Retail - 0.5%
L Brands, Inc. 7.00%, 5/1/2020 (2)		2,000,000		2,060,000
Wireless Telecommunication Services - 0.8%
Hughes Satellite Systems Corp. 6.50%, 6/15/2019 (2)(a)		1,000,000		1,008,750
T-Mobile USA, Inc.
4.75%, 2/1/2028 (2)(a)		2,301,000		2,082,405
4.75%, 2/1/2028 (3)(d)(j)		2,301,000		—
				3,091,155
TOTAL CORPORATE BONDS (Cost $57,273,026)				24,086,879
CONVERTIBLE BONDS - 36.4%
Air Freight & Logistics - 0.3%
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024 (2)(a)		1,175,000		1,120,089
Automobiles - 0.0% (c)
Tesla, Inc. 2.38%, 3/15/2022 (2)(a)		75,000		91,000
Biotechnology - 2.2%
Clovis Oncology, Inc. 1.25%, 5/1/2025 (2)(a)		900,000		629,842
Intrexon Corp. 3.50%, 7/1/2023 (2)(a)		2,550,000		1,778,543
Karyopharm Therapeutics, Inc. 3.00%, 10/15/2025 (2)(a)(f)		1,900,000		1,660,980
Ligand Pharmaceuticals, Inc. 0.75%, 5/15/2023 (2)(a)(f)		50,000		44,275

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

AQR Funds Annual Report December 2018

63

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Biotechnology - 2.2% (continued)
TESARO, Inc. 3.00%, 10/1/2021 (2)	$	123,000	$	267,567
Verastem, Inc. 5.00%, 11/1/2048 (2)(a)		5,675,000		4,425,189
				8,806,396
Capital Markets - 2.4%
Deutsche Bank AG (Germany) 1.00%, 5/1/2023 (2)(a)		1,975,000		1,723,820
Hercules Capital, Inc. 4.38%, 2/1/2022 (2)(a)		1,350,000		1,277,640
New Mountain Finance Corp. 5.75%, 8/15/2023 (2)(a)		2,600,000		2,569,658
Prospect Capital Corp. 4.95%, 7/15/2022 (2)(a)		1,450,000		1,386,674
TPG Specialty Lending, Inc. 4.50%, 8/1/2022 (2)(a)		2,750,000		2,697,024
				9,654,816
Chemicals - 1.6%
Amyris, Inc. 9.50%, 4/15/2019 (2)(a)		6,461,000		6,448,569
Communications Equipment - 1.7%
CalAmp Corp. 2.00%, 8/1/2025 (2)(a)(f)		3,875,000		2,978,906
Finisar Corp. 0.50%, 12/15/2036 (2)		721,000		684,388
Infinera Corp. 2.13%, 9/1/2024 (2)(a)		1,725,000		1,248,555
Palo Alto Networks, Inc. 0.75%, 7/1/2023 (2)(a)(f)		1,700,000		1,681,281
				6,593,130
Construction & Engineering - 0.4%
KBR, Inc. 2.50%, 11/1/2023 (2)(a)(f)		1,850,000		1,644,737
Consumer Finance - 1.3%
Encore Capital Group, Inc. 3.25%, 3/15/2022 (2)(a)		1,975,000		1,614,377
EZCORP, Inc. 2.13%, 6/15/2019 (2)(a)(k)		2,250,000		2,190,326
2.38%, 5/1/2025 (2)(a)(f)		1,025,000		777,208
PRA Group, Inc. 3.50%, 6/1/2023 (2)(a)		500,000		421,224
				5,003,135
Diversified Financial Services - 0.5%
Element Fleet Management Corp. (Canada) 5.13%, 6/30/2019 (2)(a)(f)		CAD 2,783,000		2,015,084
Electrical Equipment - 0.7%
Enphase Energy, Inc. 4.00%, 8/1/2023 (2)(a)(f)		1,850,000		1,928,893
Plug Power, Inc. 5.50%, 3/15/2023 (2)(a)(f)		1,100,000		916,694
				2,845,587
Energy Equipment & Services - 0.7%
Helix Energy Solutions Group, Inc. 4.13%, 9/15/2023 (2)(a)		1,125,000		1,036,324
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (2)(a)		1,150,000		1,009,988

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Energy Equipment & Services - 0.7% (continued)
Weatherford International Ltd. 5.88%, 7/1/2021 (2)(a)	$	1,225,000	$	768,006
				2,814,318
Equity Real Estate Investment Trusts (REITs) - 0.1%
iStar, Inc. 3.13%, 9/15/2022 (2)(a)		375,000		337,890
Health Care Equipment & Supplies - 0.4%
China Medical Technologies, Inc. (China) 4.00%, 8/15/2013 (3)(d)(j)		250,000		—
6.25%, 12/15/2016 (3)(d)(f)(j)		2,625,000		—
DexCom, Inc. 0.75%, 12/1/2023 (2)(a)(f)		1,450,000		1,464,580
				1,464,580
Health Care Providers & Services - 1.2%
Anthem, Inc. 2.75%, 10/15/2042 (2)(a)		1,279,000		4,624,711
Household Durables - 0.2%
GoPro, Inc. 3.50%, 4/15/2022 (2)(a)		1,000,000		818,750
Insurance - 0.9%
AmTrust Financial Services, Inc. 2.75%, 12/15/2044 (2)(a)		1,875,000		1,762,969
AXA SA (France) 7.25%, 5/15/2021 (2)(a)(f)		900,000		784,738
HCI Group, Inc. 4.25%, 3/1/2037 (2)(a)		1,175,000		1,185,202
				3,732,909
Interactive Media & Services - 1.4%
Twitter, Inc. 0.25%, 6/15/2024 (2)(a)(f)		1,150,000		1,002,251
Zillow Group, Inc. 2.00%, 12/1/2021 (2)(a)		3,700,000		3,595,394
1.50%, 7/1/2023 (2)(a)		1,375,000		1,181,151
				5,778,796
Internet & Direct Marketing Retail - 0.9%
MercadoLibre, Inc. (Argentina) 2.00%, 8/15/2028 (2)(a)(f)		1,250,000		1,125,000
Quotient Technology, Inc. 1.75%, 12/1/2022 (2)(a)		800,000		754,480
Wayfair, Inc. 1.13%, 11/1/2024 (2)(a)(f)		1,875,000		1,904,323
				3,783,803
IT Services - 1.4%
MongoDB, Inc. 0.75%, 6/15/2024 (2)(a)(f)		2,825,000		3,888,344
Square, Inc. 0.38%, 3/1/2022 (2)(a)		250,000		610,927
0.50%, 5/15/2023 (2)(a)(f)		875,000		910,526
				5,409,797
Life Sciences Tools & Services - 0.3%
Illumina, Inc. 0.00%, 6/15/2019 (2)(a)		1,150,000		1,402,532
Media - 0.6%
Liberty Media Corp.
2.13%, 3/31/2048 (2)(a)(f)		850,000		794,852
2.25%, 12/1/2048 (2)(a)(f)		1,525,000		1,505,119
				2,299,971

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

AQR Funds Annual Report December 2018

64

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Metals & Mining - 1.5%
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (2)(a)	$	2,700,000	$	4,529,552
Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (2)(a)		850,000		945,368
Endeavour Mining Corp. (Ivory Coast) 3.00%, 2/15/2023 (2)(a)(f)		350,000		338,835
				5,813,755
Mortgage Real Estate Investment Trusts (REITs) - 3.7%
Apollo Commercial Real Estate Finance, Inc. 4.75%, 8/23/2022 (2)(a)		2,250,000		2,106,650
5.38%, 10/15/2023 (2)(a)		1,550,000		1,484,576
Blackstone Mortgage Trust, Inc.
4.38%, 5/5/2022 (2)(a)		900,000		875,795
4.75%, 3/15/2023 (2)(a)		1,800,000		1,749,287
Granite Point Mortgage Trust, Inc. 6.38%, 10/1/2023 (2)(a)		1,900,000		1,869,220
KKR Real Estate Finance Trust, Inc. 6.13%, 5/15/2023 (2)(a)(f)		975,000		961,197
New York Mortgage Trust, Inc. 6.25%, 1/15/2022 (2)(a)		1,350,000		1,325,531
Redwood Trust, Inc.
4.75%, 8/15/2023 (2)(a)		1,900,000		1,740,794
5.63%, 7/15/2024 (2)(a)		2,775,000		2,604,673
				14,717,723
Oil, Gas & Consumable Fuels - 2.1%
Aegean Marine Petroleum Network, Inc. (Greece) 4.25%, 12/15/2021 (2)(j)		375,000		88,125
Chesapeake Energy Corp. 5.50%, 9/15/2026 (2)(a)(k)		1,000,000		804,862
DHT Holdings, Inc. 4.50%, 8/15/2021 (2)(a)(f)		3,025,000		2,813,250
Legacy Reserves LP 8.00%, 9/20/2023 (2)(a)		3,775,000		943,750
Scorpio Tankers, Inc. (Monaco) 3.00%, 5/15/2022 (2)(a)		1,650,000		1,297,209
Ship Finance International Ltd. (Norway) 5.75%, 10/15/2021 (2)(a)		2,600,000		2,415,457
				8,362,653
Personal Products - 0.1%
Herbalife Nutrition Ltd.
2.63%, 3/15/2024 (2)(a)(f)		300,000		336,502
Pharmaceuticals - 1.1%
Medicines Co. (The)
3.50%, 1/15/2024 (2)(a)(f)		2,050,000		2,024,869
Omeros Corp.
6.25%, 11/15/2023 (2)(a)(f)		2,250,000		1,960,695
Tilray, Inc. (Canada)
5.00%, 10/1/2023 (2)(a)(f)		725,000		513,880
				4,499,444

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Professional Services - 0.3%
FTI Consulting, Inc. 2.00%, 8/15/2023 (2)(a)(f)	$	1,100,000	$	1,048,437
Semiconductors & Semiconductor Equipment - 3.8%
Cree, Inc. 0.88%, 9/1/2023 (2)(a)(f)		900,000		870,810
Inphi Corp. 1.13%, 12/1/2020 (2)(a)		400,000		419,664
Integrated Device Technology, Inc. 0.88%, 11/15/2022 (2)		1,388,000		2,146,656
Microchip Technology, Inc. 2.25%, 2/15/2037 (2)(a)		1,851,000		1,815,029
Novellus Systems, Inc. 2.63%, 5/15/2041 (2)(a)		2,400,000		9,897,115
SunEdison, Inc. 0.25%, 1/15/2020 (3)(d)(j)		575,000		12,799
				15,162,073
Software - 2.7%
Atlassian, Inc. 0.63%, 5/1/2023 (2)(a)(f)		550,000		697,265
Benefitfocus, Inc. 1.25%, 12/15/2023 (2)(a)(f)		1,250,000		1,327,716
Citrix Systems, Inc. 0.50%, 4/15/2019 (2)(a)		350,000		496,953
Envestnet, Inc. 1.75%, 6/1/2023 (2)(a)(f)		450,000		449,097
FireEye, Inc. 0.88%, 6/1/2024 (2)(a)(f)		525,000		526,518
Five9, Inc. 0.13%, 5/1/2023 (2)(a)(f)		625,000		761,619
MINDBODY, Inc. 0.38%, 6/1/2023 (2)(f)		571,000		562,663
PROS Holdings, Inc. 2.00%, 6/1/2047 (2)(a)		1,875,000		1,739,803
Rapid7, Inc. 1.25%, 8/1/2023 (2)(a)(f)		400,000		405,174
Red Hat, Inc. 0.25%, 10/1/2019 (2)		303,000		719,644
Splunk, Inc.
0.50%, 9/15/2023 (2)(a)(f)		1,525,000		1,514,873
1.13%, 9/15/2025 (2)(a)(f)		1,450,000		1,426,755
				10,628,080
Specialty Retail - 0.7%
RH
0.00%, 7/15/2020 (2)(a)		725,000		841,036
0.00%, 6/15/2023 (2)(a)(f)		2,275,000		2,024,106
				2,865,142
Technology Hardware, Storage & Peripherals - 0.8%
Electronics For Imaging, Inc. 2.25%, 11/15/2023 (2)(a)(f)		2,475,000		2,400,126
Pure Storage, Inc. 0.13%, 4/15/2023 (2)(a)(f)		800,000		743,040
				3,143,166
Trading Companies & Distributors - 0.0% (c)
AM Castle & Co.
7.00%, 8/31/2022 (3)(a)(d)		97,646		85,440
Wireless Telecommunication Services - 0.4%
Gogo, Inc. 6.00%, 5/15/2022 (2)(a)(f)		1,975,000		1,714,892
TOTAL CONVERTIBLE BONDS (Cost $150,717,039)				145,067,907

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

AQR Funds Annual Report December 2018

65

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
LOAN PARTICIPATIONS - 0.3%
Distributors - 0.3%
American Tire Distributors, Inc., U.S. Senior Secured Term Loan
(ICE LIBOR USD 1 Month + 7.50%), 10.02%, 9/1/2024 (2)(l)		$ 1,071,412	$	869,633
American Tire Distributors, Inc., U.S. Junior FILO Facility (ICE LIBOR USD 6 Month + 6.00%), 8.48%, 9/1/2023 (3)(d)(l)		107,388		106,851
TOTAL LOAN PARTICIPATIONS (Cost $985,588)				976,484
		NO. OF RIGHTS
RIGHTS - 0.6%
Biotechnology - 0.0% (c)
Ambit Biosciences Corp., CVR (3)*(d)(e)		146,272		61,814
Tobira Therapeutics, Inc., CVR (3)*(d)(e)		11,880		106,764
				168,578
Capital Markets - 0.6%
Allegro Merger Corp., expiring 12/31/2023 *		180,000		52,200
Big Rock Partners Acquisition Corp., expiring 12/1/2022 *		200,000		72,000
Bison Capital Acquisition Corp., expiring 12/31/2049 (China) *		150,000		42,000
Black Ridge Acquisition Corp., expiring 11/16/2020 *		210,000		81,900
Cannabis Strategies Acquisition Corp., expiring 12/29/2018 (Canada) (2)*		250,000		219,748
CM Seven Star Acquisition Corp., expiring 12/31/2019 (Hong Kong) (2)*(a)		250,000		100,000
Constellation Alpha Capital Corp., expiring 12/31/2049 (2) *		700,000		133,000
GigCapital, Inc., expiring 2/15/2018 *		375,000		103,088
HL Acquisitions Corp., expiring 6/1/2026 *		54,000		40,775
Jensyn Acquisition Corp., expiring 3/7/2021 (2)*(b)		174,000		34,626
KBL Merger Corp. IV, expiring 3/6/2019 *(b)		1,000,000		390,000
Modern Media Acquisition Corp., expiring 12/31/2022 *(b)		1,700,000		425,000
Pensare Acquisition Corp., expiring 8/8/2022 *		1,000,000		290,000
TKK Symphony Acquisition Corp., expiring 10/31/2018 (Hong Kong) *		370,000		129,500
Union Acquisition Corp., expiring 12/2/2018 *		250,000		95,000
				2,208,837
Health Care Providers & Services - 0.0% (c)
Community Health Systems, Inc., CVR *(b)		7,762,436		6,986
TOTAL RIGHTS (Cost $111,420)				2,384,401

INVESTMENTS	NO. OF WARRANTS		VALUE
WARRANTS - 2.5%
Aerospace & Defense - 0.0% (c)
Tempus Applied Solutions Holdings, Inc., expiring 7/31/2020 (2)*		614,551	$	8,911
Biotechnology - 0.1%
Organogenesis Holdings, Inc., expiring 12/2/2021 (3)*(d)		1,000,000		210,000
Capital Markets - 1.2%
Acasta Enterprises, Inc., expiring 1/3/2022 (Canada) (2)*		579,085		6,363
Alignvest Acquisition II Corp., expiring 7/4/2022 (Canada) *		175,000		51,275
Allegro Merger Corp., expiring 1/6/2025 *		180,000		54,000
Big Rock Partners Acquisition Corp., expiring 12/1/2022 *		100,000		38,430
Bison Capital Acquisition Corp., expiring 7/18/2022 (China) (2)*		75,000		17,850
Black Ridge Acquisition Corp., expiring 10/25/2022 *		210,000		63,000
Cannabis Strategies Acquisition Corp., expiring 12/21/2025 (Canada) *		200,000		549,370
Capitol Investment Corp. IV, expiring 1/1/2025 *(a)		83,333		83,333
ChaSerg Technology Acquisition Corp., expiring 9/30/2023 (3)*(d)		90,000		65,736
Churchill Capital Corp., expiring 10/29/2023 (3)*(d)		77,500		67,425
CM Seven Star Acquisition Corp., expiring 11/6/2018 (Hong Kong) (2)*(a)		125,000		31,250
Constellation Alpha Capital Corp., expiring 3/23/2024 *		700,000		73,500
DFB Healthcare Acquisitions Corp., expiring 4/3/2023 (3)*(d)		66,666		81,999
Far Point Acquisition Corp., expiring 6/1/2025 (2)*		33,333		43,333
Federal Street Acquisition Corp., expiring 7/24/2022 (2)*		187,500		150,000
Forum Merger II Corp., expiring 9/30/2025 *		180,000		81,000
GigCapital, Inc., expiring 1/17/2023 *		281,250		68,062
Gordon Pointe Acquisition Corp., expiring 3/12/2019 *		122,980		47,839
Gores Holdings III, Inc., expiring 10/28/2023 (3)*(d)		66,666		86,666
Graf Industrial Corp., expiring 12/31/2025 *		198,000		79,200
GS Acquisition Holdings Corp., expiring 7/30/2023 *		100,000		125,000
GTY Technology Holdings, Inc., expiring 11/14/2021 *		324,900		253,097
Haymaker Acquisition Corp., expiring 11/16/2022 *		99,990		82,002
HL Acquisitions Corp., expiring 7/18/2023 (3)*(d)		54,000		16,200
Hunter Maritime Acquisition Corp., expiring 10/11/2021 (2)*		470,000		79,900

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

AQR Funds Annual Report December 2018

66

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF WARRANTS		VALUE
Capital Markets - 1.2% (continued)
Jensyn Acquisition Corp., expiring 4/26/2021 *(b)		174,000	$	12,180
KBL Merger Corp. IV, expiring 7/1/2023 *(b)		500,000		45,000
Legacy Acquisition Corp., expiring 11/30/2022 *		250,000		82,750
Leisure Acquisition Corp., expiring 12/28/2022 *		125,000		98,750
Leo Holdings Corp., expiring 4/5/2023 (United Kingdom) *		125,000		133,750
LF Capital Acquisition Corp., expiring 6/27/2023 *		240,000		100,800
Longevity Acquisition Corp., expiring 7/31/2025 (China) (3)*(d)		125,000		18,750
Megalith Financial Acquisition Corp., expiring 9/21/2023 (2)*		128,200		51,280
Modern Media Acquisition Corp., expiring 6/7/2022 *(b)		425,000		85,000
MTech Acquisition Corp., expiring 8/1/2024 *		62,500		37,469
Mudrick Capital Acquisition Corp., expiring 3/12/2019 *		250,000		112,500
Nebula Acquisition Corp., expiring 1/12/2023 (3)*(d)		46,666		62,775
New Frontier Corp., expiring 7/25/2023 (Hong Kong) (2)*		50,000		44,995
One Madison Corp., expiring 2/22/2023 (2)*		125,000		97,487
Opes Acquisition Corp., expiring 1/15/2023 *		250,000		74,175
Pensare Acquisition Corp., expiring 8/8/2022 *		250,000		50,000
Phunware, Inc., expiring 3/22/2022 *(b)		600,000		174,000
Platinum Eagle Acquisition Corp., expiring 3/5/2025 *		53,333		69,333
PROMECAP Acquisition Co. SAB de CV, expiring 3/23/2023 (Mexico) (3)*(d)		400,000		4,071
Pure Acquisition Corp., expiring 4/17/2023 *		172,500		196,650
Reebonz Holding Ltd., expiring 9/19/2024 *		75,000		14,175
Regalwood Global Energy Ltd., expiring 1/22/2022 (3)*(d)		83,333		90,000
Saban Capital Acquisition Corp., expiring 9/21/2021 *		42,000		25,200
Sentinel Energy Services, Inc., expiring 12/22/2022 *		44,440		36,885
Social Capital Hedosophia Holdings Corp., expiring 9/25/2022 *		83,334		60,000
Spartan Energy Acquisition Corp., expiring 10/1/2023 *		48,333		46,883
Tenzing Acquisition Corp., expiring 10/17/2023 *		250,000		82,500
Thunder Bridge Acquisition Ltd., expiring 7/17/2022 (3)*(d)		180,000		66,600
Tiberius Acquisition Corp., expiring 4/10/2023 *		117,500		45,825

INVESTMENTS	NO. OF WARRANTS		VALUE
Capital Markets - 1.2% (continued)
TKK Symphony Acquisition Corp., expiring 8/20/2023 (Hong Kong) *		370,000	$	55,500
TPG Pace Holdings Corp., expiring 8/18/2022 *		66,666		69,333
Trinity Merger Corp., expiring 5/31/2023 *		250,000		98,750
Twelve Seas Investment Co., expiring 7/13/2023 (United Kingdom) *		240,000		62,400
Union Acquisition Corp., expiring 7/1/2025 *		250,000		62,500
Vantage Energy Acquisition Corp., expiring 4/12/2024 *		250,000		117,500
VectoIQ Acquisition Corp., expiring 6/11/2023 (2)*		180,000		90,000
				4,871,596
Commercial Services & Supplies - 0.0% (c)
Estre Ambiental, Inc., expiring 12/22/2022 *		661,870		36,469
NRC Group Holdings Corp., expiring 6/15/2024 *		187,500		151,875
				188,344
Construction & Engineering - 0.2%
Concrete Pumping Holdings, Inc., expiring 8/1/2024 *		500,000		390,000
Infrastructure and Energy Alternatives, Inc., expiring 3/26/2023 *		343,006		312,135
Limbach Holdings, Inc., expiring 7/20/2021 *		168,252		67,301
				769,436
Consumer Finance - 0.0%(c)
China Lending Corp., expiring 7/6/2021 (China) (3)*(d)		142,386		14
Energy Equipment & Services - 0.2%
Glori Energy, Inc., expiring 7/25/2019 *		287,100		144
National Energy Services Reunited Corp., expiring 6/5/2022 *		409,500		491,400
US Well Services, Inc., expiring 5/28/2021 *(b)		757,700		454,620
				946,164
Entertainment - 0.0% (c)
Kew Media Group, Inc., expiring 3/20/2022 (Canada) (3)*(d)		150,000		54,937
Smaaash Entertainment, Inc., expiring 5/22/2024 *		225,000		39,128
				94,065
Hotels, Restaurants & Leisure - 0.0% (c)
Inspired Entertainment, Inc., expiring 12/23/2021 (3)*(d)		636,986		95,548
Household Durables - 0.0%(c)
Purple Innovation, Inc., expiring 2/2/2023 *(a)		384,000		57,600

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

AQR Funds Annual Report December 2018

67

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF WARRANTS		VALUE
Insurance - 0.1%
Sirius International Insurance Group Ltd., expiring 12/31/2023 *		286,625	$	257,962
Internet & Direct Marketing Retail - 0.1%
LXRandCo, Inc., expiring 6/9/2022 (Canada) (3)*(d)		1,274,000		9,332
Waitr Holdings, Inc., expiring 6/1/2023 *		175,000		253,750
				263,082
IT Services - 0.3%
Exela Technologies, Inc., expiring 1/1/2023 *		930,354		139,553
International Money Express, Inc., expiring 7/26/2023 *		167,500		438,850
Priority Technology Holdings, Inc., expiring 11/14/2020 *		250,000		325,000
Verra Mobility Corp., expiring 10/17/2023 *		66,666		123,332
				1,026,735
Machinery - 0.0% (c)
Blue Bird Corp., expiring 2/24/2020 (2)*		53,842		153,450
Jason Industries, Inc., expiring 6/30/2019 *(b)		1,933,070		7,732
				161,182
Oil, Gas & Consumable Fuels - 0.2%
Alta Mesa Resources, Inc., expiring 2/9/2023 *		308,333		26,054
Altus Midstream Co., expiring 11/12/2023 *		125,000		82,500
Falcon Minerals Corp., expiring 8/15/2022 *		250,000		150,000
Magnolia Oil & Gas Corp., expiring 7/31/2023 *		83,333		252,499
NextDecade Corp., expiring 7/24/2022 *		547,770		125,987
Rosehill Resources, Inc., expiring 9/16/2022 *		244,800		88,128
				725,168
Road & Rail - 0.0% (c)
Daseke, Inc., expiring 2/27/2022 *		378,003		60,480
Software - 0.1%
Rimini Street, Inc., expiring 9/30/2022 *		471,690		330,183
Technology Hardware, Storage & Peripherals - 0.0% (c)
Borqs Technologies, Inc., expiring 8/21/2022 (China) *		373,500		31,710
Wireless Telecommunication Services - 0.0% (c)
Trilogy International Partners, Inc., expiring 2/7/2022 (Canada) *		445,000		3,260
TOTAL WARRANTS (Cost $413,372)				10,101,440

INVESTMENTS	NO. OF UNITS			VALUE
SECURITIES IN LITIGATION - 0.1%
Health Care Equipment & Supplies - 0.1%
DEMC, Ltd., Class A-1 (3)*(d)(e)		12,969		$	—
DEMC, Ltd., Class A-2 (3)*(d)(e)		368,190,309			231,960
DEMC, Ltd., Class B-1 (3)*(d)(e)		10,488			—
DEMC, Ltd., Class B-2 (3)*(d)(e)		513,897,326			514
					232,474
Software - 0.0% (c)
TimeGate Studios, Inc. (3)*(d)(e)(j)		3,591,250			201,735
TOTAL SECURITIES IN LITIGATION (Cost $4,086,015)					434,209
		SHARES
SHORT-TERM INVESTMENTS - 37.5%
INVESTMENT COMPANIES - 25.5%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (m)		373,960			373,960
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (m)		1,495,841			1,495,841
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (m)(n)		13,446,610			13,446,610
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (m)(n)		7,343,497			7,343,497
Limited Purpose Cash Investment Fund, 2.50% (m)		77,426,011			77,426,010
UBS Select Treasury Preferred Fund, Class I, 2.34% (m)		1,869,801			1,869,801
TOTAL INVESTMENT COMPANIES (Cost $101,943,416)					101,955,719
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 12.0%
U.S. Treasury Bills
2.16%, 1/17/2019 (2)(o)(p)		$  31,905,000			31,874,624
2.48%, 5/16/2019 (2)(a)(o)		738,000			731,328
2.49%, 5/23/2019 (2)(o)		1,500,000			1,485,739
2.49%, 5/30/2019 (2)(o)(p)		1,500,000			1,485,038
2.50%, 6/6/2019 (2)(o)(p)		1,500,000			1,484,209
2.51%, 6/13/2019 (2)(o)(p)		10,902,000			10,782,235
TOTAL U.S. TREASURY OBLIGATIONS (Cost $47,839,522)					47,843,173
TOTAL SHORT-TERM INVESTMENTS (Cost $149,782,938)					149,798,892
TOTAL LONG POSITIONS (Cost $544,076,578)					502,637,611
	SHARES
SHORT POSITIONS - (28.3)%
COMMON STOCKS - (26.2)%
Aerospace & Defense - (1.1)%
Harris Corp.		(31,003	)		(4,174,554	)

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

AQR Funds Annual Report December 2018

68

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
Air Freight & Logistics - (0.1)%
Atlas Air Worldwide Holdings, Inc. *		(11,456	)	$	(483,329	)
Automobiles - (0.1)%
Tesla, Inc. *		(1,410	)		(469,248	)
Banks - (0.7)%
Ameris Bancorp		(1,620	)		(51,305	)
Cadence Bancorp		(40,350	)		(677,073	)
CenterState Bank Corp.		(1,435	)		(30,192	)
Fifth Third Bancorp		(32,442	)		(763,360	)
Independent Bank Corp./MA		(3,041	)		(213,813	)
Independent Bank Group, Inc.		(4,484	)		(205,233	)
Synovus Financial Corp.		(27,272	)		(872,431	)
Veritex Holdings, Inc.*		(3,252	)		(69,528	)
					(2,882,935	)
Biotechnology - (0.6)%
BioMarin Pharmaceutical, Inc. *		(4,312	)		(367,167	)
Clovis Oncology, Inc.*		(4,017	)		(72,145	)
Karyopharm Therapeutics, Inc.*		(86,284	)		(808,481	)
Ligand Pharmaceuticals, Inc.*		(97	)		(13,163	)
Verastem, Inc.*		(344,564	)		(1,157,735	)
					(2,418,691	)
Capital Markets - (0.5)%
Hercules Capital, Inc.		(403	)		(4,453	)
New Mountain Finance Corp.		(29,974	)		(377,073	)
Penson Worldwide, Inc.(3)*(d)		(217,523	)		—
Prospect Capital Corp.		(3,633	)		(22,924	)
TPG Specialty Lending, Inc.		(24,333	)		(440,184	)
Virtus Investment Partners, Inc.		(13,904	)		(1,104,395	)
					(1,949,029	)
Chemicals - 0.0% (c)
Amyris, Inc.*		(40,739	)		(136,068	)
Communications Equipment - (0.4)%
CalAmp Corp. *		(49,154	)		(639,494	)
Infinera Corp.*		(86,475	)		(345,035	)
Palo Alto Networks, Inc.*		(3,000	)		(565,050	)
					(1,549,579	)
Construction & Engineering - (0.1)%
KBR, Inc.		(30,455	)		(462,307	)
Consumer Finance - (0.2)%
Encore Capital Group, Inc. *		(23,150	)		(544,025	)
EZCORP, Inc., Class A*		(30,943	)		(239,189	)
PRA Group, Inc.*		(5,515	)		(134,401	)
					(917,615	)
Diversified Financial Services - (0.3)%
AXA Equitable Holdings, Inc.		(33,525	)		(557,521	)
FGL Holdings*		(33,000	)		(219,780	)
Voya Financial, Inc.		(8,343	)		(334,888	)
					(1,112,189	)

INVESTMENTS	SHARES			VALUE
Electrical Equipment - (0.3)%
Enphase Energy, Inc. *		(184,204	)	$	(871,285	)
Plug Power, Inc.*		(177,574	)		(220,192	)
					(1,091,477	)
Electronic Equipment, Instruments & Components - (0.1)%
II-VI, Inc. *		(9,260	)		(300,579	)
Energy Equipment & Services - (0.3)%
Ensco plc, Class A		(59,814	)		(212,938	)
Helix Energy Solutions Group, Inc.*		(70,245	)		(380,025	)
SEACOR Holdings, Inc.*		(6,330	)		(234,210	)
Transocean Ltd.*		(54,192	)		(376,093	)
					(1,203,266	)
Entertainment - (0.1)%
Live Nation Entertainment, Inc. *		(6,128	)		(301,804	)
Equity Real Estate Investment Trusts (REITs) - (0.2)%
Government Properties Income Trust		(10,111	)		(69,462	)
Industrial Logistics Properties Trust		(4,885	)		(96,088	)
iStar, Inc.		(6,260	)		(57,404	)
QTS Realty Trust, Inc., Class A		(10,937	)		(405,216	)
					(628,170	)
Gas Utilities - (0.1)%
South Jersey Industries, Inc.		(14,741	)		(409,800	)
Health Care Equipment & Supplies - (0.1)%
China Medical Technologies, Inc., ADR (China) (3)*(d)		(40,234	)		—
DexCom, Inc.*		(4,772	)		(571,686	)
					(571,686	)
Health Care Providers & Services - (1.2)%
Anthem, Inc.		(17,711	)		(4,651,440	)
Tivity Health, Inc.*		(6,375	)		(158,164	)
					(4,809,604	)
Independent Power and Renewable Electricity Producers - 0.0% (c)
NRG Energy, Inc.		(379	)		(15,008	)
Insurance - (0.4)%
Assurant, Inc.		(13,574	)		(1,214,059	)
Greenlight Capital Re Ltd., Class A*		(112	)		(965	)
HCI Group, Inc.		(10,319	)		(524,308	)
					(1,739,332	)
Interactive Media & Services - (0.7)%
Twitter, Inc. *		(9,598	)		(275,847	)
Weibo Corp., ADR (China)*		(26,394	)		(1,542,201	)
Zillow Group, Inc., Class C*		(29,810	)		(941,400	)
					(2,759,448	)
Internet & Direct Marketing Retail - (5.5)%
Alibaba Group Holding Ltd., ADR (China) *		(147,907	)		(20,273,612	)
MercadoLibre, Inc. (Argentina)*		(2,002	)		(586,286	)
Quotient Technology, Inc.*		(24,654	)		(263,305	)

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

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INVESTMENTS	SHARES			VALUE
Internet & Direct Marketing Retail - (5.5)% (continued)
Wayfair, Inc., Class A*		(11,115	)	$	(1,001,239	)
					(22,124,442	)
IT Services - (1.4)%
MongoDB, Inc. *		(33,577	)		(2,811,738	)
Priority Technology Holdings, Inc.*		(4,288	)		(34,261	)
Science Applications International Corp.		(2,951	)		(187,979	)
Square, Inc., Class A*		(16,593	)		(930,701	)
Twilio, Inc., Class A*		(9,306	)		(831,026	)
Verra Mobility Corp.*		(84,000	)		(819,840	)
					(5,615,545	)
Life Sciences Tools & Services - (0.3)%
Illumina, Inc.*		(4,202	)		(1,260,306	)
Machinery - (0.4)%
Altra Industrial Motion Corp.		(320	)		(8,048	)
Blue Bird Corp.*		(45,043	)		(819,332	)
Fortive Corp.		(8,378	)		(566,856	)
Rexnord Corp.*		(8,118	)		(186,308	)
					(1,580,544	)
Media - (0.6)%
Discovery, Inc., Class A *		(928	)		(22,959	)
New York Times Co. (The), Class A		(75,256	)		(1,677,456	)
News Corp., Class B		(6,748	)		(77,939	)
Sirius XM Holdings, Inc.		(77,066	)		(440,047	)
					(2,218,401	)
Metals & Mining - (1.8)%
Allegheny Technologies, Inc. *		(162,411	)		(3,535,688	)
Barrick Gold Corp. (Canada)		(198,387	)		(2,686,160	)
Cleveland-Cliffs, Inc.*		(82,515	)		(634,540	)
Endeavour Mining Corp. (Ivory Coast)*		(6,882	)		(112,616	)
Pan American Silver Corp. (Canada)		(11,886	)		(173,536	)
					(7,142,540	)
Mortgage Real Estate Investment Trusts (REITs) - (1.0)%
Apollo Commercial Real Estate Finance, Inc.		(34,477	)		(574,387	)
Blackstone Mortgage Trust, Inc., Class A		(19,980	)		(636,563	)
Granite Point Mortgage Trust, Inc.		(30,439	)		(548,815	)
KKR Real Estate Finance Trust, Inc.		(8,490	)		(162,584	)
New York Mortgage Trust, Inc.		(33,716	)		(198,587	)
Redwood Trust, Inc.		(79,319	)		(1,195,337	)
Starwood Property Trust, Inc.		(29,090	)		(573,364	)
					(3,889,637	)
Multi-Utilities - (0.5)%
CenterPoint Energy, Inc.		(45,979	)		(1,297,987	)
Sempra Energy		(4,629	)		(500,812	)
					(1,798,799	)

INVESTMENTS	SHARES			VALUE
Oil, Gas & Consumable Fuels - (1.2)%
Chesapeake Energy Corp. *		(259,910	)	$	(545,811	)
Cimarex Energy Co.		(1,015	)		(62,575	)
Denbury Resources, Inc.*		(33,772	)		(57,750	)
DHT Holdings, Inc.		(173,964	)		(681,939	)
Diamondback Energy, Inc.		(100	)		(9,270	)
Encana Corp. (Canada)		(259,492	)		(1,499,864	)
Legacy Reserves, Inc.*		(98,087	)		(151,054	)
Magnolia Oil & Gas Corp.*		(115,737	)		(1,297,412	)
Scorpio Tankers, Inc. (Monaco)		(186,135	)		(327,597	)
Ship Finance International Ltd. (Norway)		(27,393	)		(288,448	)
					(4,921,720	)
Personal Products - (0.1)%
Herbalife Nutrition Ltd. *		(3,536	)		(208,447	)
Pharmaceuticals - (0.2)%
Omeros Corp. *		(50,328	)		(560,654	)
Takeda Pharmaceutical Co. Ltd. (Japan) (2)		(10,037	)		(340,199	)
					(900,853	)
Professional Services - (0.1)%
FTI Consulting, Inc. *		(5,154	)		(343,462	)
Semiconductors & Semiconductor Equipment - (3.0)%
Cree, Inc. *		(8,179	)		(349,857	)
Inphi Corp.*		(5,229	)		(168,112	)
Lam Research Corp.		(73,330	)		(9,985,346	)
Microchip Technology, Inc.		(19,893	)		(1,430,705	)
					(11,934,020	)
Software - (1.3)%
Atlassian Corp. plc, Class A *		(5,001	)		(444,989	)
Citrix Systems, Inc.		(4,818	)		(493,652	)
Cloudera, Inc. *		(47,990	)		(530,769	)
Envestnet, Inc. *		(3,491	)		(171,722	)
FireEye, Inc. *		(13,956	)		(226,227	)
Five9, Inc. *		(11,849	)		(518,038	)
PROS Holdings, Inc. *		(16,964	)		(532,670	)
Q2 Holdings, Inc. *		(14,570	)		(721,943	)
Rapid7, Inc. *		(6,348	)		(197,804	)
Splunk, Inc. *		(11,116	)		(1,165,513	)
VMware, Inc., Class A		(214	)		(29,346	)
					(5,032,673	)
Specialty Retail - (0.4)%
RH *		(14,448	)		(1,731,159	)
Technology Hardware, Storage & Peripherals - (0.3)%
Electronics For Imaging, Inc. *		(25,095	)		(622,356	)
NCR Corp. *		(20,949	)		(483,503	)
Pure Storage, Inc., Class A*		(16,137	)		(259,483	)
					(1,365,342	)
Thrifts & Mortgage Finance - (0.1)%
WSFS Financial Corp.		(6,946	)		(263,323	)

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

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INVESTMENTS	SHARES			VALUE
Wireless Telecommunication Services - (0.4)%
Gogo, Inc. *		(99,610	)	$	(297,834	)
T-Mobile US, Inc. *		(23,138	)		(1,471,808	)
					(1,769,642	)
TOTAL COMMON STOCKS (Proceeds $(110,203,082))					(104,486,573	)
		PRINCIPAL AMOUNT
CONVERTIBLE BONDS - (2.1)%
Biotechnology - (0.6)%
BioMarin Pharmaceutical, Inc.
1.50%, 10/15/2020 (2)	$	(1,300,000	)		(1,446,250	)
0.60%, 8/1/2024(2)		(875,000	)		(870,099	)
					(2,316,349	)
Energy Equipment & Services - (0.4)%
Oil States International, Inc. 1.50%, 2/15/2023(2)(f)		(1,850,000	)		(1,516,297	)
Internet & Direct Marketing Retail - (0.5)%
Booking Holdings, Inc. 0.90%, 9/15/2021 (2)		(900,000	)		(993,183	)
Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (2)(f)		(950,000	)		(907,964	)
					(1,901,147	)
IT Services - (0.2)%
Wix.com Ltd. (Israel) 0.00%, 7/1/2023 (2)(f)		(1,025,000	)		(969,844	)
Life Sciences Tools & Services - (0.2)%
Illumina, Inc. 0.00%, 8/15/2023 (2)(f)		(800,000	)		(820,602	)
Mortgage Real Estate Investment Trusts (REITs) - (0.1)%
Starwood Property Trust, Inc. 4.38%, 4/1/2023 (2)		(525,000	)		(518,422	)

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
Pharmaceuticals - 0.0%(c)
Jazz Investments I Ltd. 1.50%, 8/15/2024 (2)	$	(275,000	)	$	(248,647	)
Software - (0.1)%
Guidewire Software, Inc.
1.25%, 3/15/2025 (2)		(350,000	)		(335,380	)
TOTAL CONVERTIBLE BONDS (Proceeds $(9,536,086))					(8,626,688	)
TOTAL SHORT POSITIONS (Proceeds $(119,739,168))					(113,113,261	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.7% (Cost $424,337,410)					389,524,350
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.3% (q)					9,532,265
NET ASSETS - 100.0%				$	399,056,615

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	12,119,940			3.0	%
Consumer Discretionary		(6,138,398	)		(1.6	)
Consumer Staples		1,078,989			0.3
Energy		14,388,127			3.6
Exchange Traded Funds		7,850			0.0	(b)
Financials		150,016,225			37.7
Health Care		15,791,336			4.0
Industrials		9,864,850			2.5
Information Technology		27,126,538			6.8
Materials		10,113,659			2.5
Real Estate		4,150,844			1.1
Utilities		1,205,498			0.3
Short-Term Investments		149,798,892			37.5
Total Investments In Securities At Value		389,524,350			97.7
Other Assets in Excess of Liabilities (p)		9,532,265			2.3
Net Assets	$	399,056,615			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 $185,048,787. In addition, $11,899,825 of cash collateral was pledged.

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

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(b) As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended December 31, 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 12/31/18		VALUE AT 12/31/18		DIVIDEND INCOME		INTEREST INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
LONG POSITIONS - 2.2%
COMMON STOCKS - 1.7%
Capital Markets - 1.7%
Forum Merger II Corp., Class A *^	683,600	360,000		(1,043,600	)		—		$—		$—		$—		$(24,348	)		$13,672
Jensyn Acquisition Corp. (2)*	69,000	—		—			69,000		759,000						—			48,300
KBL Merger Corp. IV *	900,000	—		(900,000	)		—		—		—		—		(135,205	)		252,000
US Well Services, Inc., Class A *^	400,000	—		(400,000	)		—		—		—		—		(101,090	)		96,000
Modern Media Acquisition Corp. *	625,000	—		(29,969	)		595,031		6,069,316		—		—		(1,805	)		231,506
Phunware, Inc. *	200,000	—		(200,000	)		—		—		—		—		127,713			(42,000	)
									6,828,316		—		—		(134,735	)		599,478
Diversified Consumer Services - 0.0% (a)
Education Management Corp. *^	8,615,228	—		(8,615,228	)		—		—		—		—		(430,713	)		400,608
TOTAL COMMON STOCKS (Cost $6,640,310)									6,828,316		—		—		(565,448	)		1,000,086
RIGHTS - 0.2%
Capital Markets - 0.2%
Barington/Hilco Acquisition Corp. *^	487,260	—		(487,260	)		—		—		—		—		—			(77,962	)
Forum Merger II Corp., expiring 4/26/2018 *^	1,500,000	—		(1,500,000	)		—		—		—		—		—			(990,000	)
Jensyn Acquisition Corp., expiring 3/7/2021 (2)*	174,000	—		—			174,000		34,626		—		—		—			(30,624	)
KBL Merger Corp. IV, expiring 3/6/2019 *	1,000,000	—		—			1,000,000		390,000		—		—		—			100,000
Modern Media Acquisition Corp., expiring 12/31/2022 *	1,700,000	—		—			1,700,000		425,000		—		—		—			(238,000	)
Origo Acquisition Corp. *^	315,500	—		(315,500	)		—		—		—		—		—			(156,173	)
									849,626		—		—		—			(1,392,759	)
Health Care Providers & Services - 0.0% (a)
Community Health Systems, Inc., CVR expiring 12/31/2019 *	7,762,436	—		—			7,762,436		6,986		—		—		—			(48,127	)
TOTAL RIGHTS (Cost $111,420)									856,612		—		—		—			(1,440,886	)

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

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AFFILIATE	SHARES HELD AT 12/31/17	SHARES PURCHASED	SHARES SOLD			SHARES HELD AT 12/31/18		VALUE AT 12/31/18		DIVIDEND INCOME		INTEREST INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
WARRANTS - 0.3%
Aerospace & Defense - 0.0% (a)
Ability, Inc., expiring 12/17/2018 (2)*^	1,449,557	1		(1,449,558	)		—		$ —		$ —		$ —		$ —			$ (1,160	)
Capital Markets - 0.3%
Barington/Hilco Acquisition Corp., expiring 2/11/2018 *^	487,260	—		(487,260	)		—		—		—		—		—			(34,108	)
Forum Merger II Corp., expiring 9/30/2025 *^	750,000	360,000		(930,000	)		180,000		81,000		—		—		989,099			(399,000	)
Jensyn Acquisition Corp., expiring 4/26/2021 *	174,000	—		—			174,000		12,180						—			(26,970	)
KBL Merger Corp. IV, expiring 7/1/2023 (2)*	1,000,000	—		(500,000	)		500,000		45,000		—		—		48,399			(152,000	)
US Well Services, Inc., expiring 5/28/2021 *^	2,500,000	—		(1,742,300	)		757,700		454,620		—		—		1,231,197			(595,380	)
Modern Media Acquisition Corp., expiring 6/7/2022 *	850,000	—		(425,000	)		425,000		85,000		—		—		156,398			(348,500	)
Origo Acquisition Corp., expiring 12/17/2021 *^	300,000	—		(300,000	)		—		—		—		—		—			(149,040	)
Phunware, Inc., expiring 3/22/2022 *	600,000	—		—			600,000		174,000		—		—		—			(12,060	)
									851,800		—		—		2,425,093			(1,717,058	)
Diversified ConsumerServices - 0.0% (a)
Education Management Corp., expiring 1/5/2022 *^	16,528,497	—		(16,528,497	)		—		—		—		—		(1,322,280	)		1,322,263
Machinery - 0.0% (a)
Jason Industries, Inc., expiring 6/30/2019 *	1,933,070	—		—			1,933,070		7,732		—		—		—			(36,728	)
Oil, Gas & Consumable Fuels - 0.0% (a)
Rosehill Resources, Inc., expiring 9/16/2022 *^	489,600	—		(244,800	)		244,800		88,128		—		—		(89,228	)		(396,576	)
Software - 0.0% (a)
RMG Networks Holding Corp., expiring 4/8/2018 *^	631,210	—		(631,210	)		—		—		—		—		—			(252	)
TOTAL WARRANTS (Cost $—)									947,660		—		—		1,013,585			(829,511	)
Total									$8,632,588		$—		$—		$448,137			$(1,270,311	)

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

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* Non-income producing security.

^ No longer affiliated as of December 31, 2018.

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

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

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

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

(d) Security fair valued as of December 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at December 31, 2018 amounted to $5,457,606, which represents approximately 1.37% of net assets of the fund.

(e) Restricted Security.

(f) 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 December 31, 2018 amounted to $55,415,993, which represents approximately 13.89% of net assets of the fund.

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

(h) 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 December 31, 2018.

(i) Payment in-kind security.

(j) Defaulted security.

(k) 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 December 31, 2018.

(l) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown was the current rate as of December 31, 2018.

(m) Represents 7-day effective yield as of December 31, 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) All or a portion of the security pledged as collateral for swap contracts.

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

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

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

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

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

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

Abbreviations

ADR - American Depositary Receipt

CAD - Canadian Dollar

CVR - Contingent Value Rights

DIP - Debtor-in-Possession

FHLMC - Federal Home Loan Mortgage Corp.

FNMA - Federal National Mortgage Association

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

OYJ - Public Traded Company

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

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Credit default swap contracts outstanding — buy protection as of December 31, 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 31.V1		5.00	%	Quarterly	12/20/2023		4.49	%	USD		20,050,000		$(1,003,632	)		$565,829		$(437,803	)
Markit CDX North America Investment Grade Index Series 31.V1		1.00		Quarterly	12/20/2023		0.88		USD		275,000		(4,694	)		3,056		(1,638	)
													$(1,008,326	)		$568,885		$(439,441	)

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts
S&P 500 E-Mini Index		(336	)		3/2019	USD		$(42,087,360	)		$1,919,617
U.S. Treasury 10 Year Note		(176	)		3/2019	USD		(21,474,750	)		(516,058	)
U.S. Treasury 2 Year Note		(302	)		3/2019	USD		(64,118,375	)		(427,347	)
U.S. Treasury 5 Year Note		(215	)		3/2019	USD		(24,657,813	)		(388,948	)
											$587,264

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

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
EUR	7,382	USD	8,466	CITI		3/20/2019		$49
EUR	11,074	USD	12,695	JPMC		3/20/2019		73
GBP	40,000	USD	50,847	CITI		3/20/2019		328
USD	2,294,307	CAD	3,046,724	CITI		3/20/2019		58,621
USD	2,946,262	CAD	3,906,983	JPMC		3/20/2019		79,319
USD	608	EUR	527	CITI		3/20/2019		1
USD	913	EUR	791	JPMC		3/20/2019		1
USD	51,936	GBP	40,396	CITI		3/20/2019		256
USD	58,638	GBP	45,604	JPMC		3/20/2019		294
Total unrealized appreciation								138,942
CAD	716,515	USD	540,656	CITI		3/20/2019		(14,876	)
CAD	1,062,944	USD	802,138	JPMC		3/20/2019		(22,151	)
EUR	527	USD	609	CITI		3/20/2019		(1	)
EUR	791	USD	913	JPMC		3/20/2019		(1	)
USD	1,125,376	EUR	981,742	CITI		3/20/2019		(6,715	)
USD	12,698	EUR	11,074	JPMC		3/20/2019		(71	)
USD	451,748	SEK	4,065,875	CITI		3/20/2019		(9,831	)
Total unrealized depreciation								(53,646	)
Net unrealized appreciation								$85,296

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

SEK - Swedish Krona

USD - United States Dollar

Total Return Basket Swaps Outstanding at December 31, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
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 ranging from 09/25/2020- 11/25/2020		$1,478,033		$(15,125	)		$42,534			$27,409
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.	24 months maturity 09/25/2020		$328,035		$(33,589	)		$(48	)		$(33,637	)

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

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Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE 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 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		$3,786,542		$(1,011,899	)		$(75,205	)		$(1,087,104	)
GSIN	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 (0.03%), which is denominated in CAD based on the local currencies of the positions within the swap.	61 months maturity 12/06/2023		$684,471		$3,378			$5,310			$8,688
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 (-0.04% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap.	61 months maturity ranging from 08/09/2023- 01/02/2024		$626,369		$21,727			$44,832			$66,559
GSIN	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 (0.11%), which is denominated in CAD based on the local currencies of the positions within the swap.	61 months maturity 10/06/2023		$2,563,727		$28,787			$(11,639	)		$17,148
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 (0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	13 months maturity 01/13/2020		$19,666		$15			$—			$15
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 (0.30%), which is denominated in EUR based on the local currencies of the positions within the swap.	13 months maturity 01/06/2020		$2,409		$29			$4,429			$4,458

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

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Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE 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 Hong Kong Interbank Offered Rate (“HIBOR”) plus or minus a specified spread (-0.35%), which is denominated in HKD based on the local currencies of the positions within the swap.	13 months maturity 12/02/2019		$935,018		$4,017			$1,299		$5,316
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 ranging from 02/26/2020		$857,376		$(614,561	)		$873		$(613,688	)
BANA	The Fund receives the total return on a portfolio of long and short equity and fixed income 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.	24-25 months maturity ranging from 09/25/2020- 12/28/2020		$8,106,979		$(127,363	)		$81,800		$(45,563	)

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		$	4,380,833		$	(877,868	)		1926.7	%
		SHARES
Short Positions
Common Stock
Germany
Bayer AG (Registered)		(53,576	)		(3,726,146	)		750,505			(1647.2	)

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

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Schedule of Investments December 31, 2018

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 and fixed income positions and pays or receives the LIBOR plus or minus a specified spread(-4.15% to 0.85%), which is denominated in USD based on the local currencies of the positions within the swap.

12-14 months maturity ranging from 08/26/2019- 02/25/2020

$92,219,940

$(2,620,204

)

$673,218

$(1,946,986

)

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 States
AMAG Pharmaceuticals, Inc., 3.25%, 6/1/2022		$1,600,000		$	1,462,660		$	(280,841	)		14.4	%
Corium International, Inc., 5.00%, 3/15/2025		1,075,000			1,070,163			156,200			(8.0	)
Gannett Co., Inc., 4.75%, 4/15/2024		3,275,000			3,180,120			(336,801	)		15.6
Hope Bancorp, Inc., 2.00%, 5/15/2038		5,600,000			4,696,692			(653,497	)		33.6
Innoviva, Inc., 2.13%, 1/15/2023		1,475,000			1,593,922			171,718			(8.8	)
Innoviva, Inc., 2.50%, 8/15/2025		1,000,000			1,201,250			147,759			(7.6	)
Intel Corp., 3.25%, 8/1/2039		14,450,000			33,009,218			(3,574,569	)		183.6
Invacare Corp., 4.50%, 6/1/2022		2,550,000			1,706,847			(1,565,560	)		80.4
Paratek Pharmaceuticals, Inc., 4.75%, 5/1/2024		1,950,000			1,479,908			(431,978	)		22.2
Vector Group Ltd., 2.50%, 1/15/2019		2,675,000			2,744,550			(643,423	)		33.0
Convertible Preferred Stock
United States
Welltower, Inc., 6.50%, 12/31/2049		68,575			4,324,237			196,022			(10.1	)
		SHARES
Short Positions
Common Stock
United States
AMAG Pharmaceuticals, Inc.		(28,360	)		(430,788	)		169,293			(8.7	)
Gannett Co., Inc.		(108,818	)		(928,218	)		179,749			(9.2	)
Hope Bancorp, Inc.		(34,477	)		(408,897	)		88,591			(4.6	)
Innoviva, Inc.		(92,974	)		(1,622,396	)		(258,953	)		13.3
Intel Corp.		(708,202	)		(33,235,920	)		3,713,177			(190.7	)
Invacare Corp.		(17,281	)		(74,308	)		101,333			(5.2	)
Paratek Pharmaceuticals, Inc.		(56,415	)		(289,409	)		222,211			(11.4	)
Vector Group Ltd.		(5,813	)		(56,560	)		21,174			(1.1	)
Welltower, Inc.		(24,548	)		(1,703,877	)		(41,809	)		2.1

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

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Schedule of Investments December 31, 2018

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 warrants and pays or receives the LIBOR plus or minus a specified spread (0.11%), which is denominated in USD based on the local currencies of the positions within the swap.	61 months maturity ranging from10/06/2023- 12/13/2023		$40,274,707		$(518,713	)		$(119,707	)		$(638,420	)

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
China
Bison Capital Acquisition Corp.		150,000	$	1,560,000	$	30,000			(4.7	)%
Longevity Acquisition Corp.		125,000		1,243,750		29,375			(4.6	)
Hong Kong
CM Seven Star Acquisition Corp.		250,000		2,525,000		—			—
New Frontier Corp.		100,000		980,000		13,000			(2.0	)
TKK Symphony Acquisition Corp.		150,000		1,447,500		(15,000	)		2.3
Mexico
Opes Acquisition Corp.		150,000		1,455,000		(33,750	)		5.3
United Kingdom
Twelve Seas Investment Co.		150,000		1,473,000		7,500			(1.2	)
United States
Allegro Merger Corp.		150,000		1,462,500		5,250			(0.8	)
ChaSerg Technology Acquisition Corp.		150,000		1,452,000		4,500			(0.7	)
Churchill Capital Corp.		150,000		1,432,500		—			—
Far Point Acquisition Corp.		150,000		1,447,500		—			—
Forum Merger II Corp.		150,000		1,447,500		—			—
Gores Holdings III, Inc.		150,000		1,450,500		7,500			(1.2	)
Graf Industrial Corp.		150,000		1,440,000		(1,500	)		0.2
HL Acquisitions Corp.		54,000		518,400		(18,900	)		3.0
LF Capital Acquisition Corp.		140,000		1,372,000		7,000			(1.1	)
Megalith Financial Acquisition Corp.		150,000		1,455,000		1,500			(0.2	)
Pure Acquisition Corp.		150,000		1,476,000		4,500			(0.7	)
Spartan Energy Acquisition Corp.		150,000		1,444,500		4,500			(0.7	)
Tenzing Acquisition Corp.		150,000		1,473,000		(37,500	)		5.9
Thunder Bridge Acquisition Ltd.		150,000		1,485,000		13,500			(2.1	)
Tiberius Acquisition Corp.		150,000		1,470,000		22,500			(3.5	)
Trinity Merger Corp.		100,000		997,000		3,000			(0.5	)
VectoIQ Acquisition Corp.		150,000		1,455,000		(1,500	)		0.2
		NO. OF WARRANTS
Warrant
United Kingdom
Leo Holdings Corp., expiring 4/5/2023		125,000		133,750		(12,500	)		2.0
United States
Blue Bird Corp., expiring 2/24/2020		53,842		153,450		(45,766	)		7.2

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

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Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	NO. OF WARRANTS		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Exela Technologies, Inc., expiring 1/1/2023		930,354	$	139,553	$	(9,304	)		1.5	%
Falcon Minerals Corp., expiring 8/15/2022		250,000		150,000		(20,000	)		3.1
Federal Street Acquisition Corp., expiring 7/24/2022		187,500		150,000		(37,500	)		5.9
Infrastructure and Energy Alternatives, Inc., expiring 3/26/2023		343,006		312,135		16,258			(2.5	)
Inspired Entertainment, Inc., expiring 12/23/2021(a)		636,986		95,548		(95,548	)		15.0
International Money Express, Inc., expiring 7/26/2023		167,500		438,850		(23,450	)		3.7
Leisure Acquisition Corp., expiring 12/28/2022		125,000		98,750		(1,250	)		0.2
Magnolia Oil & Gas Corp., expiring 7/31/2023		83,334		252,502		(9,167	)		1.4
Modern Media Acquisition Corp., expiring 6/7/2022		425,000		85,000		(71,400	)		11.2
Mudrick Capital Acquisition Corp., expiring 3/12/2019		250,000		112,500		(11,000	)		1.7
National Energy Services Reunited Corp., expiring 6/5/2022		409,500		491,400		(40,950	)		6.4
NextDecade Corp., expiring 7/24/2022		547,771		125,987		(27,389	)		4.3
NRC Group Holdings Corp., expiring 6/15/2024		187,500		151,875		16,406			(2.6	)
One Madison Corp., expiring 2/22/2023		125,000		97,488		(20,012	)		3.1
Regalwood Global Energy Ltd., expiring 1/22/2022(a)		83,334		90,001		(5,833	)		0.9
Rimini Street, Inc., expiring 9/30/2022		471,690		330,183		23,585			(3.7	)
Rosehill Resources, Inc., expiring 9/16/2022		244,800		88,128		(1,102	)		0.2
Sirius International Insurance Group Ltd., expiring 12/31/2023		286,625		257,962		(28,662	)		4.5
Trinity Merger Corp., expiring 5/31/2023		250,000		98,750		13,750			(2.2	)
US Well Services, Inc., expiring 5/28/2021		757,700		454,620		(30,687	)		4.8
Vantage Energy Acquisition Corp., expiring 4/12/2024		250,000		117,500		(23,725	)		3.7
VectoIQ Acquisition Corp., expiring 6/11/2023		180,000		90,000		19,440			(3.0	)
Verra Mobility Corp., expiring 10/17/2023		66,667		123,334		10,000			(1.6	)
Waitr Holdings, Inc., expiring 6/1/2023		225,000		326,250		33,750			(5.3	)

(a) Security fair valued as of December 31, 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 plus or minus a specified spread (0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.	61 months maturity ranging from 08/16/2023- 11/22/2023		$5,066,264		$33,295		$(2,394	)		$30,901

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
BTG plc		164,414	$	1,743,486	$	10,185		33.0	%
Jardine Lloyd Thompson Group plc		137,731		3,322,778		23,110		74.8

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

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81

Schedule of Investments December 31, 2018

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 and 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.	52-61 months maturity ranging from 04/12/2023- 12/06/2023		$48,406,500		$666,637		$551,936		$1,218,573

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.		39,201		$2,216,425		$(156,145	)		(12.8	)%
Netherlands
NXP Semiconductors NV		16,048		1,175,997		(198,835	)		(16.3	)
United States
A Schulman, Inc. CVR(a)		5,231		9,969		5,713			0.5
Akorn, Inc.		9,475		32,120		(138,903	)		(11.4	)
Apptio, Inc.		11,920		452,483		(1,192	)		(0.1	)
ARRIS International plc		73,910		2,259,429		(19,217	)		(1.6	)
Aspen Insurance Holdings Ltd.		56,038		2,353,036		4,483			0.4
athenahealth, Inc.		12,224		1,612,712		(7,823	)		(0.6	)
Avista Corp.		81,349		3,455,706		(717,498	)		(58.9	)
Bemis Co., Inc.		7,113		326,487		(20,201	)		(1.7	)
Cigna Corp.		14		2,659		1,487			0.1
Connecticut Water Service, Inc.		5,030		336,356		(13,983	)		(1.1	)
CorePoint Lodging, Inc.		6,546		80,188		80,188			6.6
Dun & Bradstreet Corp. (The)		19,395		2,768,442		(20,365	)		(1.7	)
Electro Scientific Industries, Inc.		34,128		1,022,475		13,992			1.1
Esterline Technologies Corp.		18,142		2,203,346		9,797			0.8
Genworth Financial, Inc.		174,790		814,521		314,621			25.8
Imperva, Inc.		13,452		749,142		2,152			0.2
InfraREIT, Inc.		30,735		646,050		(61,163	)		(5.0	)
Investment Technology Group, Inc.		17,223		520,824		1,206			0.1
Navigators Group, Inc. (The)		4,825		335,289		241			0.0
NxStage Medical, Inc.		101,506		2,905,102		330,910			27.2
Pacific Biosciences of California, Inc.		141,196		1,044,850		(42,359	)		(3.5	)
Red Hat, Inc.		9,635		1,692,291		(26,207	)		(2.2	)
Rent-A-Center, Inc.		65,997		1,068,491		104,935			8.6
SCANA Corp.		57,678		2,755,855		616,001			50.6
Stewart Information Services Corp.		48,965		2,027,151		(108,390	)		(8.9	)
Tribune Media Co.		23,696		1,075,324		211,408			17.3
Twenty-First Century Fox, Inc.		49,461		2,380,063		390,212			32.0
USG Corp.		59,925		2,556,400		(27,566	)		(2.3	)
Vectren Corp.		39,888		2,871,138		1,197			0.1

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

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82

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
United States
CVS Health Corp.		(1	)	$	(66	)	$	(2	)		(0.0	) %
Dominion Energy, Inc.		(38,587	)		(2,757,427	)		(196,408	)		(16.1	)
Fidelity National Financial, Inc.		(26,144	)		(821,967	)		176,639			14.5
KLA-Tencor Corp.		(9,800	)		(877,002	)		142,570			11.7
Lumentum Holdings, Inc.		(48	)		(2,016	)		811			0.1
Pebblebrook Hotel Trust		(74	)		(2,095	)		631			0.1
United Technologies Corp.		(3	)		(319	)		69			0.0
Walt Disney Co. (The)		(1,781	)		(195,287	)		13,631			1.1

(a) Security fair valued as of December 31, 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 EURIBOR or Euro Overnight Index Average (“EONIA”) plus or minus a specified spread (-0.03% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.	61 months maturity ranging from 04/13/2023- 10/23/2023		$4,588,705		$2,495		$(1,340	)		$1,155

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
Talanx AG		33,693			$1,150,576			$(83,345	)		(7216.0	)%
Netherlands
Gemalto NV		40,448			2,348,377			43,596			3774.5
Short Positions
Common Stock
Germany
Hannover Rueck SE		(8,086	)		(1,089,752	)		42,244			3657.5

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

AQR Funds Annual Report December 2018

83

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE 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 and Federal Funds Floating Rate plus or minus a specified spread (-1.00% to 0.35%), which is denominated in USD based on the local currencies of the positions within the swap.

61 months maturity ranging from 04/15/2022- 07/03/2023

$25,332,487

$(8,455,442

)

$872,093

$(7,583,349

)

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.		212,645			$12,320,651			$(3,079,233	)		40.6	%
Private Placement
Australia
Penson Technologies LLC, Class B Shares(a)		9,326,216			100,350			100,341			(1.3	)
Common Stock
China
Alibaba Group Holding Ltd., ADR		47,129			6,459,972			(2,143,469	)		28.3
SINA Corp.		26,694			1,431,866			(1,822,400	)		24.0
United States
Black Knight, Inc.		4,848			218,451			(16,677	)		0.2
Brighthouse Financial, Inc.		8,033			244,846			(187,811	)		2.5
Cars.com, Inc.		7,788			167,442			(64,485	)		0.9
Conduent, Inc.		29,470			313,266			(261,104	)		3.4
CONSOL Energy, Inc.		13,221			419,238			39,927			(0.5	)
Dell Technologies, Inc.		6,512			318,241			28,521			(0.4	)
Delphi Technologies plc		17,950			257,044			(619,454	)		8.2
FHLMC		78,659			83,379			(40,903	)		0.5
FNMA		27,686			29,347			(15,781	)		0.2
Genworth Financial, Inc.		51,097			238,112			43,944			(0.6	)
Hamilton Beach Brands Holding Co.		21,791			511,217			(17,433	)		0.2
Hilton Grand Vacations, Inc.		16,204			427,624			(338,826	)		4.5
News Corp.		7,371			83,661			(37,739	)		0.5
Varex Imaging Corp.		16,257			384,966			(233,288	)		3.1
Short Positions
Common Stock
United States
GoPro, Inc.		(65,480	)		(277,635	)		21,608			(0.3	)
Intrexon Corp.		(98,566	)		(644,622	)		126,165			(1.7	)
VMware, Inc.		(2,921	)		(400,557	)		62,655			(0.8	)

(a) Security fair valued as of December 31, 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 Annual Report December 2018

84

Schedule of Investments December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND

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

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BANA
Cash		$140,000			$—		$140,000
Investment Companies		7,343,497			—		7,343,497
BARC
Cash		—			391,638		391,638
CITG
Cash		—			1,094,275		1,094,275
CITI
Cash		62,426			—		62,426
DTBK
Cash		4,402,733			—		4,402,733
GSIN
Cash		(1,156,204	)		—		(1,156,204	)
U.S. Treasury Bills		32,365,386			—		32,365,386
JPMC
Investment Companies		13,446,610			—		13,446,610
JPMS
Cash		—			1,063,818		1,063,818
MSIP
U.S. Treasury Bills		869,172			—		869,172

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

AQR Funds Annual Report December 2018

85

Schedule of Investments December 31, 2018

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 123.9%
COMMON STOCKS - 30.8%
Belgium - 1.8%
Ageas (a)		192,022	$	8,643,994
bpost SA		34,270		314,211
Proximus SADP		28,621		774,450
Solvay SA (a)		25,994		2,599,461
UCB SA (a)		95,505		7,800,525
				20,132,641
Canada - 3.7%
Air Canada (1)*(a)		443,239		8,428,423
Alimentation Couche-Tard, Inc., Class B (1)		26,465		1,316,465
Atco Ltd., Class I (1)		8,380		237,000
Bank of Montreal (1)		7,510		490,636
Bank of Nova Scotia (The) (1)		7,689		383,267
Bombardier, Inc., Class B (1)*		101,274		150,591
Canadian Imperial Bank of Commerce (1)(a)		46,048		3,429,652
Canadian Tire Corp. Ltd., Class A (1)(a)		32,446		3,392,428
CGI Group, Inc., Class A (1)*		15,319		936,959
Constellation Software, Inc. (1)		1,086		695,145
Dollarama, Inc. (1)(a)		153,041		3,639,936
Empire Co. Ltd., Class A (1)		56,127		1,185,278
Finning International, Inc. (1)		73,648		1,283,931
George Weston Ltd. (1)		2,017		133,043
Industrial Alliance Insurance & Financial Services, Inc. (1)		9,704		309,701
Linamar Corp. (1)		35,159		1,166,644
Loblaw Cos. Ltd. (1)		4,164		186,392
Magna International, Inc. (1)(a)		130,496		5,923,555
Methanex Corp. (1)(a)		64,743		3,113,848
National Bank of Canada (1)(a)		47,241		1,939,539
Toronto-Dominion Bank (The) (1)		2,743		136,346
West Fraser Timber Co. Ltd. (1)(a)		59,465		2,937,533
WestJet Airlines Ltd. (1)		27,829		366,922
				41,783,234
China - 0.0% (b)
Yangzijiang Shipbuilding Holdings Ltd.		269,600		247,720
Denmark - 2.3%
Carlsberg A/S, Class B (a)		27,867		2,964,467
Coloplast A/S, Class B		2,074		192,914
DSV A/S (a)		24,307		1,605,294
GN Store Nord A/S (a)		171,270		6,417,318
H Lundbeck A/S (a)		110,637		4,869,453
Novo Nordisk A/S, Class B (a)		99,760		4,581,686
Orsted A/S (a)(c)		65,167		4,360,832
Rockwool International A/S, Class B		4,121		1,077,657
				26,069,621
Finland - 2.2%
Cargotec OYJ, Class B		5,211		159,913
Fortum OYJ (a)		194,300		4,253,104
Kesko OYJ, Class B (a)		28,593		1,543,123
Neste OYJ (a)		166,051		12,856,103

INVESTMENTS	SHARES		VALUE
Finland - 2.2% (continued)
Nokia OYJ (a)		323,062	$	1,875,414
UPM-Kymmene OYJ (a)		157,006		3,974,422
				24,662,079
Germany - 0.9%
Aurubis AG (a)		46,083		2,283,518
Deutsche Lufthansa AG (Registered) (a)		339,346		7,663,639
				9,947,157
Italy - 4.2%
A2A SpA (a)		2,971,130		5,358,361
Assicurazioni Generali SpA		50,089		837,187
Autogrill SpA		152,455		1,286,229
BPER Banca		352,488		1,357,637
DiaSorin SpA		5,305		430,669
Enel SpA (a)		1,624,561		9,417,980
Eni SpA (a)		944,076		14,913,765
Hera SpA (a)		561,638		1,713,435
Italgas SpA		165,203		947,362
Moncler SpA (a)		130,981		4,358,741
Poste Italiane SpA (c)		186,134		1,492,554
Snam SpA		286,257		1,253,337
Telecom Italia SpA *		900,622		498,593
Terna Rete Elettrica Nazionale SpA		40,101		227,739
UniCredit SpA		260,929		2,955,518
				47,049,107
Luxembourg - 0.1%
Aperam SA		38,852		1,035,218
Aperam SA(Euronext Amsterdam)		3,010		79,203
ArcelorMittal		13,529		280,055
				1,394,476
Malta - 0.3%
Kindred Group plc, SDR		338,310		3,109,983
Netherlands - 3.4%
Aegon NV		57,325		268,490
ASM International NV (a)		50,475		2,081,149
ASR Nederland NV (a)		119,906		4,744,556
Koninklijke Ahold Delhaize NV (a)		632,513		15,978,670
Koninklijke DSM NV (a)		35,228		2,857,898
NN Group NV (a)		125,342		4,983,422
Randstad NV		3,154		144,611
Signify NV (a)(c)		188,592		4,411,832
Wolters Kluwer NV (a)		54,880		3,227,339
				38,697,967
Norway - 1.9%
Equinor ASA (a)		323,637		6,865,032
Leroy Seafood Group ASA (a)		367,173		2,794,365
Marine Harvest ASA (a)		196,917		4,150,519
Norsk Hydro ASA (a)		482,117		2,184,501
Orkla ASA		84,991		665,472
Salmar ASA (a)		80,011		3,968,449
Telenor ASA		61,907		1,202,253
				21,830,591

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

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86

Schedule of Investments December 31, 2018

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
Singapore - 0.2%
Genting Singapore Ltd.		2,482,200	$	1,776,805
StarHub Ltd.		159,100		204,127
				1,980,932
Spain - 4.0%
Acerinox SA		115,782		1,147,905
ACS Actividades de Construccion y Servicios SA (a)		42,609		1,649,278
Amadeus IT Group SA (a)		63,502		4,418,316
Banco Bilbao Vizcaya Argentaria SA(a)		453,182		2,407,220
CaixaBank SA (a)		748,741		2,711,518
Enagas SA		42,992		1,162,161
Endesa SA (a)		499,040		11,508,199
Iberdrola SA		116,981		939,344
Mapfre SA (a)		1,302,550		3,459,460
Mediaset Espana Comunicacion SA		62,067		390,165
Naturgy Energy Group SA		8,006		204,239
Red Electrica Corp. SA (a)		50,934		1,135,840
Repsol SA (a)		843,447		13,560,150
				44,693,795
Sweden - 2.6%
Boliden AB		253,959		5,503,041
Electrolux AB, Series B (a)		190,098		4,007,025
Elekta AB, Class B		72,252		857,930
Essity AB, Class B		151,204		3,716,818
Holmen AB, Class B		54,634		1,080,420
NCC AB, Class B		10,930		169,988
Nibe Industrier AB, Class B		15,092		155,137
Sandvik AB		38,582		552,814
SSAB AB, Class A		90,804		313,168
Svenska Cellulosa AB SCA, Class B		33,119		257,357
Swedish Match AB (a)		71,705		2,822,842
Swedish Orphan Biovitrum AB *		196,666		4,298,750
Telia Co. AB (a)		305,156		1,451,594
Volvo AB, Class B		283,618		3,713,711
				28,900,595
Switzerland - 3.0%
Adecco Group AG (Registered) (a)		95,462		4,486,944
Barry Callebaut AG (Registered)		281		438,546
Flughafen Zurich AG (Registered)		936		154,893
GAM Holding AG *		190,558		751,388
Georg Fischer AG (Registered) (a)		2,662		2,135,670
Helvetia Holding AG (Registered)		1,450		847,978
Roche Holding AG (a)		5,896		1,463,734
Sika AG (Registered) (a)		17,808		2,262,036
Sonova Holding AG (Registered) (a)		12,422		2,042,751
Sunrise Communications Group AG *(c)		3,769		331,835
Swiss Life Holding AG (Registered) *(a)		13,064		5,042,308
Temenos AG (Registered) *(a)		79,518		9,555,110
Zurich Insurance Group AG (a)		12,387		3,692,427
				33,205,620
United Kingdom - 0.1%
Fiat Chrysler Automobiles NV *(a)		99,495		1,434,556

INVESTMENTS	SHARES		VALUE
United States - 0.1%
BRP, Inc. (1)(a)		62,597	$	1,620,406
TOTAL COMMON STOCKS (Cost $334,093,639)				346,760,480
		NO. OF RIGHTS
RIGHTS - 0.0% (b)
Spain - 0.0% (b)
Repsol SA, expiring 1/18/2019 * (Cost $279,790)		608,589		278,916
		SHARES
SHORT-TERM INVESTMENTS - 93.1%
INVESTMENT COMPANIES - 66.5%
BlackRock Liquidity FundsT-Fund Portfolio, Institutional Shares, 2.32% (1)(d)		284,461		284,461
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (1)(d)		1,137,844		1,137,844
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (1)(d)(e)		3,492,407		3,492,407
Limited Purpose Cash Investment Fund, 2.50% (1)(d)(f)		740,706,994		740,706,994
UBS Select Treasury Preferred Fund, Class I, 2.34% (1)(d)		1,422,305		1,422,305
TOTAL INVESTMENT COMPANIES (Cost $746,917,015)				747,044,011
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 26.6%
U.S. Treasury Bills 2.12%, 1/10/2019 (g)	$	16,246,000		16,237,864
2.16%, 1/17/2019 (g)		88,505,000		88,420,735
2.16%, 1/24/2019 (g)(h)		32,949,000		32,903,041
2.20%, 2/7/2019 (g)(h)		16,202,000		16,163,703
2.20%, 2/14/2019 (g)(h)		3,734,000		3,723,318
2.21%, 2/21/2019 (g)(h)		4,342,000		4,327,753
2.23%, 2/28/2019 (g)(h)		17,236,000		17,171,015
2.27%, 3/7/2019 (g)(h)		6,661,000		6,632,802
2.36%, 4/4/2019 (g)(h)		6,601,000		6,560,071
2.41%, 4/11/2019 (g)(h)		42,393,000		42,112,914
2.44%, 4/18/2019 (g)(h)		35,037,000		34,790,050
2.46%, 5/2/2019 (g)(h)		27,283,000		27,063,713
2.50%, 5/16/2019 (g)(h)		2,770,000		2,744,958
TOTAL U.S. TREASURY OBLIGATIONS (Cost $298,853,229)				298,851,937
TOTAL SHORT-TERM INVESTMENTS (Cost $1,045,770,244)				1,045,895,948
TOTAL LONG POSITIONS (Cost $1,380,143,673)				1,392,935,344

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

AQR Funds Annual Report December 2018

87

Schedule of Investments December 31, 2018

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES			VALUE
SHORT POSITIONS - (23.2)%
COMMON STOCKS - (23.2)%
Austria - (0.5)%
ams AG		(252,500	)	$	(6,080,262	)
Belgium - (1.4)%
Anheuser-Busch InBev SA/NV		(172,185	)		(11,343,381	)
Telenet Group Holding NV		(38,779	)		(1,803,707	)
Umicore SA		(69,346	)		(2,767,254	)
					(15,914,342	)
Brazil - 0.0% (b)
Yamana Gold, Inc. (1)		(67,465	)		(158,631	)
Canada - (3.5)%
Agnico Eagle Mines Ltd. (1)		(57,763	)		(2,331,337	)
AltaGas Ltd. (1)		(68,984	)		(702,372	)
Barrick Gold Corp. (1)		(63,742	)		(860,508	)
Cameco Corp. (1)		(237,287	)		(2,690,597	)
Canadian Utilities Ltd., Class A (1)		(8,906	)		(204,319	)
Cenovus Energy, Inc. (1)		(365,037	)		(2,566,917	)
Element Fleet Management Corp. (1)		(374,136	)		(1,893,700	)
Enbridge, Inc. (1)		(283,427	)		(8,804,672	)
Encana Corp. (1)		(432,714	)		(2,497,646	)
Franco-Nevada Corp. (1)		(21,282	)		(1,492,328	)
Goldcorp, Inc. (1)		(163,431	)		(1,600,551	)
Peyto Exploration & Development Corp. (1)		(48,892	)		(253,557	)
PrairieSky Royalty Ltd. (1)		(73,899	)		(956,486	)
Seven Generations Energy Ltd., Class A (1)*		(40,818	)		(333,074	)
TransCanada Corp. (1)		(181,531	)		(6,482,300	)
Wheaton Precious Metals Corp. (1)		(232,174	)		(4,532,257	)
Whitecap Resources, Inc. (1)		(58,311	)		(185,799	)
					(38,388,420	)
Denmark - (2.3)%
AP Moller - Maersk A/S, Class B		(8,902	)		(11,198,112	)
Chr Hansen Holding A/S		(20,620	)		(1,830,370	)
Genmab A/S *		(68,925	)		(11,332,685	)
ISS A/S		(6,901	)		(193,206	)
Novozymes A/S, Class B		(8,569	)		(382,884	)
Vestas Wind Systems A/S		(17,959	)		(1,359,472	)
					(26,296,729	)
Finland - (0.8)%
Amer Sports OYJ *		(34,653	)		(1,523,449	)
Huhtamaki OYJ		(64,666	)		(2,000,991	)
Metso OYJ		(35,526	)		(933,349	)
Nokian Renkaat OYJ		(8,888	)		(272,983	)
Orion OYJ, Class B		(40,070	)		(1,393,993	)
Outokumpu OYJ		(570,057	)		(2,077,936	)
Wartsila OYJ Abp		(24,519	)		(391,396	)
					(8,594,097	)
Germany - (0.5)%
OSRAM Licht AG		(125,553	)		(5,463,891	)

INVESTMENTS	SHARES			VALUE
Italy - (2.3)%
Banco BPM SpA *		(593,132	)	$	(1,334,393	)
Brembo SpA		(106,239	)		(1,084,253	)
Buzzi Unicem SpA		(250,244	)		(4,316,271	)
Davide Campari-Milano SpA		(56,607	)		(479,370	)
Ferrari NV		(68,575	)		(6,823,493	)
Leonardo SpA		(573,699	)		(5,054,415	)
Pirelli & C SpA *(c)		(317,234	)		(2,038,601	)
Prysmian SpA		(14,912	)		(290,143	)
Recordati SpA		(15,680	)		(543,002	)
Unione di Banche Italiane SpA		(1,292,676	)		(3,752,207	)
					(25,716,148	)
Luxembourg - (0.8)%
Tenaris SA		(835,246	)		(8,977,050	)
Netherlands - (1.6)%
ALTICE EUROPE NV *		(1,123,019	)		(2,179,025	)
ASML Holding NV		(25,939	)		(4,063,594	)
Boskalis Westminster		(96,104	)		(2,385,267	)
Koninklijke Philips NV		(8,787	)		(308,068	)
Koninklijke Vopak NV		(70,064	)		(3,177,287	)
OCI NV *		(64,205	)		(1,311,186	)
SBM Offshore NV		(315,246	)		(4,657,903	)
					(18,082,330	)
Norway - (0.6)%
Gjensidige Forsikring ASA		(45,551	)		(712,590	)
Schibsted ASA, Class A		(76,690	)		(2,576,577	)
Yara International ASA		(101,152	)		(3,899,345	)
					(7,188,512	)
Singapore - (0.2)%
CapitaLand Ltd.		(321,000	)		(732,018	)
Singapore Post Ltd.		(255,200	)		(171,259	)
Singapore Press Holdings Ltd.		(210,600	)		(362,913	)
Singapore Telecommunications Ltd.		(346,900	)		(746,610	)
Wilmar International Ltd.		(94,600	)		(216,639	)
					(2,229,439	)
Spain - (3.0)%
Bankia SA		(2,039,924	)		(5,968,451	)
Cellnex Telecom SA (c)		(223,008	)		(5,703,094	)
Ferrovial SA		(239,922	)		(4,859,069	)
Grifols SA		(272,178	)		(7,145,165	)
Industria de Diseno Textil SA		(390,116	)		(9,957,591	)
					(33,633,370	)
Sweden - (2.5)%
Assa Abloy AB, Class B		(11,836	)		(211,945	)
Atlas Copco AB, Class A		(15,614	)		(372,519	)
Getinge AB, Class B		(328,309	)		(2,968,780	)
Hexpol AB		(85,718	)		(680,279	)
Husqvarna AB, Class B		(35,593	)		(264,240	)
Svenska Handelsbanken AB, Class A		(859,091	)		(9,557,968	)
Telefonaktiebolaget LM Ericsson, Class B		(1,631,154	)		(14,438,919	)
Trelleborg AB, Class B		(10,806	)		(170,255	)
					(28,664,905	)

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

AQR Funds Annual Report December 2018

88

Schedule of Investments December 31, 2018

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES			VALUE
Switzerland - (2.4)%
Bucher Industries AG (Registered)		(575	)	$	(155,106	)
Chocoladefabriken Lindt & Spruengli AG		(737	)		(4,579,621	)
Credit Suisse Group AG (Registered) *		(953,371	)		(10,421,957	)
LafargeHolcim Ltd. (Registered) *		(21,250	)		(876,957	)
Lonza Group AG (Registered) *		(15,562	)		(4,045,418	)
OC Oerlikon Corp. AG (Registered) *		(38,908	)		(438,112	)
STMicroelectronics NV		(56,574	)		(797,461	)
Vifor Pharma AG		(48,937	)		(5,325,101	)
					(26,639,733	)
United Kingdom - (0.3)%
Subsea 7 SA		(310,637	)		(3,027,018	)
Zambia-(0.5)%
First Quantum Minerals Ltd.(1)		(652,934	)		(5,280,099	)
TOTAL COMMON STOCKS (Proceeds $(333,674,415))					(260,334,976	)
TOTAL SHORT POSITIONS (Proceeds $(333,674,415))					(260,334,976	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.7% (Cost $1,046,469,258)					1,132,600,368
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.7)% (i)				(8,674,568)
NET ASSETS - 100.0%				$	1,123,925,800

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	(8,518,910	)		(0.8	)%
Consumer Discretionary		9,751,697			0.9
Consumer Staples		25,245,437			2.2
Energy		6,279,157			0.6
Financials		17,243,531			1.5
Health Care		(106,480	)		0.0(b	)
Industrials		8,453,001			0.7
Information Technology		(5,818,143	)		(0.5	)
Materials		(4,489,597	)		(0.4	)
Real Estate		(732,018	)		(0.1	)
Utilities		39,396,745			3.5
Short-Term Investments		1,045,895,948			93.1
Total Investments In Securities At Value	1,132,600,368			100.7
Liabilities in Excess of Other Assets (i)		(8,674,568	)		(0.7	)
Net Assets	$	1,123,925,800			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 $285,127,955.

(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 December 31, 2018 amounted to $2,855,358, which represents approximately 0.25% of net assets of the fund.

(d) Represents7-day effective yield as of December 31, 2018.

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

(f) As defined inSection 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 December 31, 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 12/31/18		VALUE AT 12/31/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
SHORT-TERM INVESTMENTS - 65.9%
INVESTMENT COMPANIES - 65.9%
Limited Purpose Cash Investment Fund, 2.50%(a) (Cost $740,579,998)	1,114,214,887	1,405,688,914		(1,779,196,807	)		740,706,994	$	740,706,994	$	18,063,709	$	(59,707	)		129,558

(a) Represents7-day effective yield as of December 31, 2018.

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

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

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

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

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Schedule of Investments December 31, 2018

AQR EQUITY MARKET NEUTRAL FUND

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

(1) Level 1 security (See Note 5).

Abbreviations

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CHF	2,940,800	USD	2,992,785	CITI		3/20/2019		$20,808
CHF	4,411,200	USD	4,489,183	JPMC		3/20/2019		31,205
DKK	3,427,600	USD	528,148	CITI		3/20/2019		1,438
DKK	5,141,400	USD	792,223	JPMC		3/20/2019		2,156
EUR	4,144,000	USD	4,762,508	CITI		3/20/2019		16,127
EUR	6,216,000	USD	7,143,772	JPMC		3/20/2019		24,181
NOK	2,154,000	USD	249,271	CITI		3/20/2019		693
NOK	3,231,000	USD	373,907	JPMC		3/20/2019		1,039
SEK	3,802,800	USD	423,822	CITI		3/20/2019		7,890
SEK	5,704,200	USD	635,734	JPMC		3/20/2019		11,835
SGD	1,336,400	USD	976,462	CITI		3/20/2019		5,773
SGD	2,004,600	USD	1,464,697	JPMC		3/20/2019		8,658
USD	2,613,581	CAD	3,474,922	CITI		3/20/2019		63,684
USD	3,920,359	CAD	5,212,372	JPMC		3/20/2019		95,521
USD	9,402	DKK	60,800	CITI		3/20/2019		8
USD	14,104	DKK	91,200	JPMC		3/20/2019		13
USD	1,829,262	EUR	1,584,400	CITI		3/20/2019		2,218
USD	2,743,889	EUR	2,376,600	JPMC		3/20/2019		3,323
USD	15,379	HKD	120,000	CITI		3/20/2019		19
USD	23,068	HKD	180,000	JPMC		3/20/2019		29
USD	4,547,271	NOK	38,648,400	CITI		3/20/2019		62,263
USD	6,820,898	NOK	57,972,600	JPMC		3/20/2019		93,386
Total unrealized appreciation								452,267
CAD	3,896,000	USD	2,934,471	CITI		3/20/2019		(75,587	)
CAD	5,844,000	USD	4,401,712	JPMC		3/20/2019		(113,385	)
DKK	1,998,400	USD	308,875	CITI		3/20/2019		(109	)
DKK	2,997,600	USD	463,311	JPMC		3/20/2019		(164	)
NOK	6,496,400	USD	763,912	CITI		3/20/2019		(10,029	)
NOK	9,744,600	USD	1,145,870	JPMC		3/20/2019		(15,045	)
USD	2,779,116	CHF	2,727,199	CITI		3/20/2019		(15,588	)
USD	4,168,672	CHF	4,090,801	JPMC		3/20/2019		(23,387	)
USD	2,135,988	DKK	13,883,200	CITI		3/20/2019		(9,054	)
USD	3,203,978	DKK	20,824,800	JPMC		3/20/2019		(13,586	)
USD	31,144,507	EUR	27,160,400	CITI		3/20/2019		(175,390	)
USD	46,716,702	EUR	40,740,600	JPMC		3/20/2019		(263,141	)
USD	5,119	HKD	40,000	CITI		3/20/2019		(1	)
USD	7,678	HKD	60,000	JPMC		3/20/2019		(2	)
USD	1,716,376	SEK	15,376,008	CITI		3/20/2019		(29,185	)
USD	2,574,559	SEK	23,063,992	JPMC		3/20/2019		(43,781	)
Total unrealized depreciation								(787,434	)
Net unrealized depreciation								$(335,167	)

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

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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

Total Return Basket Swaps Outstanding at December 31, 2018

Over the Counter

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

MSIP

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Sterling Overnight Index Average (“SONIA”) plus or minus a specified spread(-2.50% to 0.35%), which is denominated in GBP based on the local currencies of the positions within the swap.

11-61 months maturity 10/14/2019

$123,503,680

$(2,823,567

)

$470,583

$(2,352,984

)

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
Russia
Evraz plc		510,247	$	3,124,487	$	155,202			(6.6	)%
South Africa
Anglo American plc		72,760		1,626,963		58,262			(2.5	)
Investec plc		305,711		1,718,623		(484,795	)		20.6
Switzerland
Coca-Cola HBC AG		23,226		726,920		(3,541	)		0.2
IWG plc		214,555		570,912		(76,105	)		3.2
United Kingdom
Bellway plc		30,432		976,396		(232,643	)		9.9
BP plc		131,857		833,559		(42,131	)		1.8
BT Group plc		4,184,371		12,722,984		(269,731	)		11.5
Burberry Group plc		341,279		7,494,151		(1,710,972	)		72.7
Centrica plc		3,581,949		6,178,767		(522,685	)		22.2
Close Brothers Group plc		94,845		1,740,602		(106,381	)		4.5
Drax Group plc		494,376		2,261,730		(147,838	)		6.3
Inchcape plc		386,629		2,720,624		(1,135,022	)		48.2
Indivior plc		871,155		1,248,168		(751,604	)		31.9
Man Group plc		1,396,947		2,366,855		(854,371	)		36.3
Meggitt plc		224,565		1,348,970		(183,355	)		7.8
Moneysupermarket.com Group plc		816,051		2,865,133		(375,666	)		16.0
National Grid plc		378,272		3,700,758		(301,256	)		12.8

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

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom (continued)
Royal Mail plc		348,992		$	1,211,312		$	(734,073	)		31.2	%
Smith & Nephew plc		23,495			439,795			39,422			(1.7	)
Standard Life Aberdeen plc		524,154			1,716,263			(1,048,428	)		44.6
Tate & Lyle plc		268,689			2,260,943			(396,388	)		16.8
WH Smith plc		33,105			726,210			(127,143	)		5.4
William Hill plc		893,854			1,766,197			(1,743,282	)		74.1
Short Positions
Common Stock
Switzerland
Glencore plc		(286,735	)		(1,066,100	)		161,971			(6.9	)
Mediclinic International plc		(160,528	)		(659,149	)		434,079			(18.4	)
United Arab Emirates
NMC Health plc		(98,655	)		(3,443,182	)		677,734			(28.8	)
United Kingdom
AA plc		(857,822	)		(819,733	)		662,449			(28.2	)
Admiral Group plc		(25,195	)		(657,430	)		(53,495	)		2.3
ASOS plc		(86,923	)		(2,523,437	)		2,848,956			(121.1	)
Babcock International Group plc		(388,131	)		(2,420,883	)		979,131			(41.6	)
Balfour Beatty plc		(241,032	)		(765,665	)		99,529			(4.2	)
Berkeley Group Holdings plc		(8,599	)		(381,392	)		(11,680	)		0.5
Capita plc		(668,491	)		(958,375	)		124,243			(5.3	)
ConvaTec Group plc		(919,794	)		(1,629,232	)		687,968			(29.2	)
Hargreaves Lansdown plc		(127,491	)		(3,006,874	)		(754,901	)		32.1
HSBC Holdings plc		(153,323	)		(1,264,874	)		(10,417	)		0.4
J Sainsbury plc		(453,288	)		(1,532,341	)		106,459			(4.5	)
John Wood Group plc		(1,093,129	)		(7,033,144	)		1,826,494			(77.6	)
Legal & General Group plc		(305,039	)		(898,757	)		53,445			(2.3	)
Melrose Industries plc		(1,502,507	)		(3,138,895	)		118,203			(5.0	)
Merlin Entertainments plc		(915,531	)		(3,708,423	)		522,314			(22.2	)
Micro Focus International plc		(642,988	)		(11,264,265	)		(1,257,203	)		53.4
Persimmon plc		(57,547	)		(1,417,141	)		173,930			(7.4	)
Rotork plc		(122,441	)		(386,629	)		39,269			(1.7	)
Sage Group plc (The)		(146,835	)		(1,126,143	)		34,809			(1.5	)
St James’s Place plc		(144,851	)		(1,744,559	)		198,486			(8.4	)
Travis Perkins plc		(35,293	)		(481,156	)		(17,137	)		0.7
Weir Group plc (The)		(149,586	)		(2,477,033	)		1,106,515			(47.0	)
Whitbread plc		(11,621	)		(678,630	)		(6,912	)		0.3

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

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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(-1.20% to 0.33%), which is denominated in USD based on the local currencies of the positions within the swap.	10-49 months maturity 10/16/2019		$1,563,828,318		$22,652,776		$(12,143,998	)		$10,508,778

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, Inc.		53,813		$	12,174,653		$	(1,839,461	)		(16.8	)%
Aflac, Inc.		234,591			10,687,966			295,801			2.7
Agilent Technologies, Inc.		117,870			7,951,510			180,397			1.6
Allstate Corp. (The)		152,649			12,613,387			(1,909,762	)		(17.4	)
Apple, Inc.		54,975			8,671,756			(2,696,093	)		(24.6	)
Biogen, Inc.		46,405			13,964,193			(1,400,364	)		(12.8	)
Bristol-Myers Squibb Co.		236,665			12,301,847			(1,476,319	)		(13.5	)
CDW Corp.		104,771			8,491,690			1,225,503			11.2
Celgene Corp.		245,283			15,720,187			(4,221,309	)		(38.5	)
Charles River Laboratories International, Inc.		68,163			7,714,688			674,282			6.1
Cognizant Technology Solutions Corp.		115,621			7,339,621			(1,118,446	)		(10.2	)
Comcast Corp.		280,512			9,551,434			(661,610	)		(6.0	)
ConocoPhillips		153,691			9,582,634			(1,515,854	)		(13.8	)
Electronic Arts, Inc.		119,963			9,466,280			(3,644,623	)		(33.2	)
Exelon Corp.		152,612			6,882,801			702,496			6.4
Facebook, Inc.		69,889			9,161,749			(800,195	)		(7.3	)
Foot Locker, Inc.		149,941			7,976,861			766,701			7.0
Gilead Sciences, Inc.		198,605			12,422,743			(2,367,514	)		(21.6	)
Honeywell International, Inc.		74,630			9,860,116			(541,458	)		(4.9	)
IAC/InterActiveCorp		41,765			7,644,666			1,614,345			14.7
International Business Machines Corp.		95,440			10,848,665			(3,945,504	)		(36.0	)
Intuit, Inc.		63,545			12,508,833			(1,155,130	)		(10.5	)
Merck & Co., Inc.		168,435			12,870,118			1,288,183			11.7
Micron Technology, Inc.		331,862			10,529,981			(1,157,859	)		(10.6	)
Microsoft Corp.		172,314			17,501,933			(1,452,455	)		(13.2	)
Pfizer, Inc.		358,947			15,668,037			438,204			4.0
QIAGEN NV		257,745			8,879,315			296,716			2.7
Raytheon Co.		59,090			9,061,452			(3,509,363	)		(32.0	)
Walmart, Inc.		82,734			7,706,672			(268,361	)		(2.4	)
Short Positions
Common Stock
United States
Albemarle Corp.		(161,677	)		(12,460,446	)		4,601,115			41.9
CarMax, Inc.		(137,305	)		(8,613,143	)		(135,518	)		(1.2	)

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

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Cree, Inc.		(169,804	)	$	(7,263,366	)	$	(2,241,595	)		(20.4	) %
CVS Health Corp.		(152,338	)		(9,981,186	)		2,055,094			18.7
Dunkin’ Brands Group, Inc.		(107,675	)		(6,904,121	)		(878,782	)		(8.0	)
FirstEnergy Corp.		(255,529	)		(9,595,114	)		(1,275,521	)		(11.6	)
Gartner, Inc.		(56,130	)		(7,175,659	)		(468,794	)		(4.3	)
Global Payments, Inc.		(113,270	)		(11,681,535	)		284,442			2.6
IHS Markit Ltd.		(184,574	)		(8,854,015	)		(108,527	)		(1.0	)
Kraft Heinz Co. (The)		(167,541	)		(7,210,965	)		2,647,864			24.1
Macquarie Infrastructure Corp.		(187,936	)		(6,870,940	)		4,024,454			36.7
McCormick & Co., Inc.(Non-Voting)		(79,343	)		(11,047,719	)		(2,440,175	)		(22.2	)
New York Community Bancorp, Inc.		(778,498	)		(7,325,666	)		876,531			8.0
Post Holdings, Inc.		(117,777	)		(10,497,464	)		(954,875	)		(8.7	)
PPL Corp.		(349,386	)		(9,898,105	)		(47,690	)		(0.4	)
Sempra Energy		(98,200	)		(10,624,258	)		389,045			3.5
Sterling Bancorp		(635,779	)		(10,496,711	)		3,994,520			36.4
Tesla, Inc.		(51,820	)		(17,245,696	)		(1,928,180	)		(17.6	)
TransDigm Group, Inc.		(20,411	)		(6,940,965	)		(1,061,210	)		(9.7	)
Uniti Group, Inc.		(536,206	)		(8,348,727	)		748,023			6.8
VEREIT, Inc.		(2,059,044	)		(14,722,165	)		461,675			4.2

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(-1.38% to 0.45%), which is denominated in JPY based on the local currencies of the positions within the swap.	22-73 months maturity 10/15/2020		$364,161,735		$(14,039,118	)		$(2,051,064	)		$(16,090,182	)

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
Alfresa Holdings Corp.		169,800	$	4,328,138	$	721,186			(4.5	)%
Bandai Namco Holdings, Inc.		128,400		5,765,063		1,444,348			(9.0	)
Haseko Corp.		510,700		5,347,851		(778,810	)		4.8
Hitachi Ltd.		159,200		4,220,432		(1,553,235	)		9.7
Idemitsu Kosan Co. Ltd.		147,700		4,804,189		(1,469,722	)		9.1
Inpex Corp.		828,400		7,340,303		(2,691,675	)		16.7
Itochu Techno-Solutions Corp.		226,900		4,393,814		720,497			(4.5	)
Japan Airlines Co. Ltd.		391,300		13,868,094		(434,993	)		2.7
JFE Holdings, Inc.		186,000		2,962,670		(1,162,935	)		7.2
JXTG Holdings, Inc.		1,834,000		9,524,927		(1,621,729	)		10.1
Kajima Corp.		474,500		6,374,002		(2,284,871	)		14.2

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

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Common Stock (continued)
Japan (continued)
Marubeni Corp.		504,800		$	3,541,935		$	51,204			(0.3	) %
Matsumotokiyoshi Holdings Co. Ltd.		136,400			4,193,859			(293,057	)		1.8
Medipal Holdings Corp.		164,900			3,527,903			524,944			(3.3	)
Obayashi Corp.		545,500			4,939,467			(1,675,529	)		10.4
Otsuka Corp.		118,600			3,264,045			(1,159,454	)		7.2
Sega Sammy Holdings, Inc.		218,200			3,041,871			(310,356	)		1.9
Square Enix Holdings Co. Ltd.		183,300			4,989,951			(943,095	)		5.9
Taiheiyo Cement Corp.		174,400			5,367,193			(866,811	)		5.4
Taisei Corp.		198,875			8,517,500			(1,837,424	)		11.4
Tokyo Electric Power Co. Holdings, Inc.		801,800			4,762,722			437,858			(2.7	)
Tosoh Corp.		348,400			4,519,132			(3,151,801	)		19.6
Short Positions
Common Stock
Japan
AEON Financial Service Co. Ltd.		(146,400	)		(2,597,259	)		339,611			(2.1	)
Asics Corp.		(231,800	)		(2,944,003	)		758,406			(4.7	)
Calbee, Inc.		(145,900	)		(4,557,103	)		661,764			(4.1	)
Daifuku Co. Ltd.		(133,300	)		(6,043,890	)		287,745			(1.8	)
Fast Retailing Co. Ltd.		(16,200	)		(8,274,004	)		(227,797	)		1.4
Isetan Mitsukoshi Holdings Ltd.		(332,700	)		(3,675,900	)		82,851			(0.5	)
Keikyu Corp.		(202,100	)		(3,302,585	)		986,911			(6.1	)
Kikkoman Corp.		(69,400	)		(3,713,911	)		(1,215,585	)		7.6
Kintetsu Group Holdings Co. Ltd.		(62,200	)		(2,702,782	)		(290,093	)		1.8
M3, Inc.		(246,200	)		(3,316,616	)		1,276,216			(7.9	)
Marui Group Co. Ltd.		(379,400	)		(7,352,740	)		(1,595,608	)		9.9
Murata Manufacturing Co. Ltd.		(30,400	)		(4,096,395	)		644,262			(4.0	)
NGK Spark Plug Co. Ltd.		(134,200	)		(2,656,480	)		158,304			(1.0	)
Nidec Corp.		(25,700	)		(2,907,877	)		621,824			(3.9	)
Nintendo Co. Ltd.		(25,400	)		(6,744,695	)		2,521,552			(15.7	)
Nippon Paint Holdings Co. Ltd.		(200,800	)		(6,841,561	)		159,335			(1.0	)
Odakyu Electric Railway Co. Ltd.		(180,900	)		(3,978,105	)		(388,185	)		2.4
Ricoh Co. Ltd.		(870,900	)		(8,510,368	)		80,010			(0.5	)
Shimano, Inc.		(48,000	)		(6,766,432	)		49,507			(0.3	)
Showa Denko KK		(91,400	)		(2,714,078	)		1,588,860			(9.9	)
Sony Financial Holdings, Inc.		(170,500	)		(3,177,539	)		(225,659	)		1.4
Suzuki Motor Corp.		(66,800	)		(3,367,484	)		746,673			(4.6	)
T&D Holdings, Inc.		(245,700	)		(2,842,143	)		1,006,546			(6.3	)
TDK Corp.		(77,000	)		(5,390,415	)		1,754,075			(10.9	)
Terumo Corp.		(48,400	)		(2,730,008	)		117,493			(0.7	)
Toyota Motor Corp.		(63,200	)		(3,658,433	)		416,828			(2.6	)
Yamato Holdings Co. Ltd.		(162,200	)		(4,446,979	)		(890,034	)		5.5
Yaskawa Electric Corp.		(268,600	)		(6,565,704	)		3,964,262			(24.6	)

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

AQR Funds Annual Report December 2018

95

Schedule of Investments December 31, 2018

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 Hong Kong Overnight Index Average (“HONIX”) plus or minus a specified spread(-1.63% to 0.45%), which is denominated in HKD based on the local currencies of the positions within the swap.

31-73 months maturity 10/15/2020

$27,293,138

$(621,229

)

$61,046

$(560,183

)

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.		1,511,000		$	1,257,899		$	(346,709	)		61.9	%
CK Asset Holdings Ltd.		43,000			314,613			4,229			(0.8	)
CLP Holdings Ltd.		28,000			316,425			(4,904	)		0.9
Henderson Land Development Co. Ltd.		81,500			405,631			(18,647	)		3.3
Kerry Properties Ltd.		772,500			2,636,609			(96,621	)		17.2
Li & Fung Ltd.		5,752,000			907,572			(1,302,200	)		232.5
Melco International Development Ltd.		1,321,000			2,678,712			(826,440	)		147.5
Power Assets Holdings Ltd.		32,500			225,791			494			(0.1	)
Sino Land Co. Ltd.		592,000			1,014,262			(12,627	)		2.3
Swire Properties Ltd.		93,800			329,580			17,980			(3.2	)
Wheelock & Co. Ltd.		198,000			1,133,543			(405,570	)		72.4
Yue Yuen Industrial Holdings Ltd.		607,500			1,944,785			238,801			(42.6	)
Macau
SJM Holdings Ltd.		307,000			285,237			(80,627	)		14.4
Wynn Macau Ltd.		108,800			236,843			16,565			(3.0	)
Short Positions
Common Stock
China
Minth Group Ltd.		(550,000	)		(1,774,834	)		667,168			(119.1	)
Hong Kong
AIA Group Ltd.		(574,800	)		(4,774,757	)		96,578			(17.2	)
ASM Pacific Technology Ltd.		(241,800	)		(2,334,382	)		947,890			(169.2	)
Cathay Pacific Airways Ltd.		(326,000	)		(463,902	)		(6,130	)		1.1
Haitong International Securities Group Ltd.		(603,944	)		(189,394	)		144,168			(25.7	)
HK Electric Investments & HK Electric Investments Ltd.		(189,000	)		(190,490	)		(11,926	)		2.1
Hysan Development Co. Ltd.		(35,000	)		(166,438	)		1,236			(0.2	)
MTR Corp. Ltd.		(616,953	)		(3,246,916	)		194,167			(34.7	)
Value Partners Group Ltd.		(669,000	)		(464,523	)		161,896			(28.9	)

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

AQR Funds Annual Report December 2018

96

Schedule of Investments December 31, 2018

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 EONIA plus or minus a specified spread(-6.38% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	10-61 months maturity 10/14/2019		$193,435,260		$(4,996,277	)		$(212,820	)		$(5,209,097	)

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
Atos SE		51,352		$	4,207,558		$	(2,732,307	)		52.5	%
AXA SA		43,720			943,561			(96,397	)		1.9
Cie Generale des Etablissements Michelin SCA		41,515			4,086,197			(1,444,292	)		27.7
CNP Assurances		50,818			1,078,689			(39,848	)		0.8
Engie SA		695,173			9,988,201			(659,310	)		12.7
Eutelsat Communications SA		63,913			1,259,160			(140,313	)		2.7
Hermes International		1,801			1,000,565			(114,874	)		2.2
Peugeot SA		268,272			5,721,655			(190,887	)		3.7
Teleperformance		24,550			3,927,260			338,477			(6.5	)
Thales SA		36,148			4,224,154			441,492			(8.5	)
TOTAL SA		157,821			8,324,288			(1,182,857	)		22.7
Germany
Allianz SE (Registered)		28,147			5,656,289			(388,227	)		7.5
Covestro AG		217,749			10,783,910			(9,804,706	)		188.2
E.ON SE		304,900			3,009,768			(56,716	)		1.1
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		5,496			1,198,671			29,993			(0.6	)
Rheinmetall AG		50,757			4,501,074			(1,738,258	)		33.4
Salzgitter AG		70,008			2,043,063			(1,578,542	)		30.3
Schaeffler AG (Preference)		96,637			823,205			(600,460	)		11.5
Software AG		79,172			2,860,115			(1,213,769	)		23.3
Talanx AG		44,833			1,530,994			(229,153	)		4.4
Wirecard AG		54,621			8,234,240			(2,615,682	)		50.2
Luxembourg
SES SA		292,016			5,590,973			(544,065	)		10.4
Short Positions
Common Stock
France
Accor SA		(8,583	)		(364,987	)		49,371			(0.9	)
AirFrance-KLM		(246,130	)		(2,672,908	)		(222,108	)		4.3
Altran Technologies SA		(235,125	)		(1,889,729	)		173,013			(3.3	)
Bollore SA		(584,543	)		(2,343,583	)		94,670			(1.8	)
Edenred		(65,594	)		(2,415,759	)		(704,553	)		13.5
Electricite de France SA		(122,542	)		(1,939,456	)		(437,762	)		8.4

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

AQR Funds Annual Report December 2018

97

Schedule of Investments December 31, 2018

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Getlink SE		(170,492	)	$	(2,290,961	)	$	(386,739	)		7.4	%
Iliad SA		(63,419	)		(8,900,383	)		2,566,478			(49.3	)
Ingenico Group SA		(90,942	)		(5,158,909	)		2,955,749			(56.7	)
JCDecaux SA		(51,589	)		(1,449,402	)		330,796			(6.4	)
Orpea		(7,644	)		(780,747	)		100,881			(1.9	)
SEB SA		(4,918	)		(635,601	)		126,477			(2.4	)
Suez		(233,976	)		(3,096,125	)		56,893			(1.1	)
Valeo SA		(322,922	)		(9,418,212	)		2,465,445			(47.3	)
Vivendi SA		(241,113	)		(5,843,933	)		(274	)		0.0
Germany
1&1 Drillisch AG		(50,087	)		(2,558,010	)		(177,352	)		3.4
Continental AG		(19,664	)		(2,737,936	)		359,460			(6.9	)
Daimler AG (Registered)		(100,047	)		(5,273,970	)		912,949			(17.5	)
Deutsche Bank AG (Registered)		(1,079,493	)		(8,609,159	)		4,248,372			(81.6	)
Fielmann AG		(6,666	)		(412,802	)		155,056			(3.0	)
Fraport AG Frankfurt Airport Services Worldwide		(5,937	)		(424,900	)		96,722			(1.9	)
GEA Group AG		(148,645	)		(3,826,966	)		2,452,319			(47.1	)
Infineon Technologies AG		(293,815	)		(5,882,668	)		15,438			(0.3	)
thyssenkrupp AG		(157,043	)		(2,697,678	)		1,094,018			(21.0	)
United Internet AG (Registered)		(21,249	)		(930,038	)		2,147			(0.0	)
Zalando SE		(115,422	)		(2,982,328	)		2,675,513			(51.4	)
Luxembourg
Eurofins Scientific SE		(12,859	)		(4,802,584	)		1,689,894			(32.4	)
United States
QIAGEN NV		(196,583	)		(6,717,390	)		(698,260	)		13.4

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(-0.50% to 0.45%), which is denominated in AUD based on the local currencies of the positions within the swap.	25-73 months maturity 10/14/2020		$22,146,186		$(747,483	)		$(84,659	)		$(832,142	)

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.		50,049	$	150,654	$	(69,864	)		8.4	%
Aurizon Holdings Ltd.		753,442		2,273,136		(456,877	)		54.9
Brambles Ltd.		41,258		295,187		(18,123	)		2.2
Caltex Australia Ltd.		61,621		1,105,564		(277,150	)		33.3

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

AQR Funds Annual Report December 2018

98

Schedule of Investments December 31, 2018

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Australia (continued)
CIMIC Group Ltd.		92,790		$	2,837,513		$	415,841			(50.0	) %
Harvey Norman Holdings Ltd.		100,169			222,964			(74,046	)		8.9
Newcrest Mining Ltd.		199,511			3,066,299			87,029			(10.5	)
Origin Energy Ltd.		65,049			296,730			(100,295	)		12.1
Qantas Airways Ltd.		165,503			675,174			23,989			(2.9	)
Woodside Petroleum Ltd.		15,024			330,940			(51,675	)		6.2
Short Positions
Common Stock
Australia
APA Group		(192,894	)		(1,155,463	)		(15,506	)		1.9
AusNet Services		(152,111	)		(166,701	)		16,084			(1.9	)
Challenger Ltd.		(329,269	)		(2,201,369	)		422,460			(50.8	)
CSL Ltd.		(1,480	)		(193,315	)		3,429			(0.4	)
Healthscope Ltd.		(771,382	)		(1,212,442	)		(218,693	)		26.3
Ramsay Health Care Ltd.		(11,610	)		(472,254	)		37,192			(4.5	)
REA Group Ltd.		(2,695	)		(140,604	)		(18,244	)		2.2
SEEK Ltd.		(305,283	)		(3,642,080	)		(69,920	)		8.4
Vocus Group Ltd.		(757,192	)		(1,707,797	)		(383,114	)		46.0

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

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
CITI
Cash		$1,137,029		$—		$1,137,029
JPMC
Investment Companies		3,492,407		—		3,492,407
MSIP
U.S. Treasury Bills		162,350,455		—		162,350,455

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

AQR Funds Annual Report December 2018

99

Consolidated Schedule of Investments December 31, 2018

AQR GLOBAL MACRO FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 97.7%
INVESTMENT COMPANIES - 40.4%
Goldman Sachs Financial SquareFunds -Treasury Instruments Fund, 2.22% (1)(a)(b)		2,025,487	$	2,025,487
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(a)		4,736,802		4,736,802
Limited Purpose Cash Investment Fund, 2.50% (1)(a)		13,209,182		13,209,182
TOTAL INVESTMENT COMPANIES (Cost $19,969,011)				19,971,471
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 57.3%
U.S. Treasury Bills
2.12%, 1/10/2019 (c)	$	1,163,000		1,162,418
2.21%, 2/21/2019 (c)(d)		1,117,000		1,113,335
2.41%, 4/11/2019 (c)(d)		1,331,000		1,322,206
2.48%, 5/9/2019 (c)		10,735,000		10,642,690
2.50%, 5/16/2019 (c)		13,026,000		12,908,240
2.53%, 6/6/2019 (c)(d)		1,154,000		1,141,852
TOTAL U.S. TREASURY OBLIGATIONS (Cost $28,286,733)				28,290,741
TOTAL SHORT-TERM INVESTMENTS (Cost $48,255,744)				48,262,212
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.7% (Cost $48,255,744)				48,262,212
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.3% (e)				1,114,998
NET ASSETS - 100.0%			$	49,377,210

(a) Represents 7-day effective yield as of December 31, 2018.

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

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

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

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

Forward Effective Interest rate swap contracts outstanding as of December 31, 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

3/10/2021

NZD

39,300,000

$216,115

$47,146

$263,261

Pay

3 Month Australian Bank-Bill Reference Rate Quarterly

2.00% Quarterly

3/11/2021

AUD

7,200,000

(10,356

)

20,635

10,279

Pay

3 Month Australian Bank-Bill Reference Rate Quarterly

2.00% Quarterly

6/10/2021

AUD

4,300,000

1,058

5,320

6,378

Pay

3 Month Canadian Bankers’ Acceptance Rate Quarterly

2.50% Semi-Annually

6/14/2021

CAD

200,000

620

134

754

Pay

3 Month Canadian Bankers’ Acceptance Rate Quarterly

3.00% Semi-Annually

3/19/2029

CAD

15,900,000

156,742

382,436

539,178

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

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Consolidated Schedule of Investments December 31, 2018

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
Pay	3 Month Canadian Bankers’ Acceptance Rate Quarterly	3.00% Semi-Annually		6/18/2029		CAD	700,000		$ 18,323			$ 4,562			$ 22,885
Pay	3 Month London Interbank Offered Rate Quarterly	3.00% Semi-Annually		3/20/2029		USD	18,900,000		(234,198	)		705,448			471,250
Pay	3 Month London Interbank Offered Rate Quarterly	3.00% Semi-Annually		6/19/2029		USD	3,900,000		(48,858	)		143,495			94,637
Pay	3 Month Stockholm Interbank Offered Rate Quarterly	1.50% Annually		3/21/2029		SEK	18,300,000		38,818			26,610			65,428
Pay	3 Month Stockholm Interbank Offered Rate Quarterly	1.50% Annually		6/20/2029		SEK	5,100,000		14,225			877			15,102
Pay	6 Month Australian Bank-Bill Reference Rate Semi-Annually	3.00% Semi-Annually		3/08/2029		AUD	3,800,000		19,774			84,744			104,518
Pay	6 Month Australian Bank-Bill Reference Rate Semi-Annually	3.00% Semi-Annually		6/07/2029		AUD	100,000		1,636			953			2,589
Pay	6 Month Euro Interbank Offered RateSemi-Annually	0.00% Annually		6/21/2021		EUR	18,100,000		10,431			35,869			46,300
Pay	6 Month Euro Interbank Offered RateSemi-Annually	1.00% Annually		3/20/2029		EUR	900,000		(11,193	)		25,896			14,703
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.25% Semi-Annually		3/17/2021		JPY	1,335,900,000		44,565			14,482			59,047
Pay	6 Month London Interbank Offered Rate Semi-Annually	1.25% Semi-Annually		3/22/2021		GBP	66,000,000		(56,224	)		157,796			101,572
Pay	6 Month London Interbank Offered Rate Semi-Annually	1.25% Semi-Annually		6/21/2021		GBP	5,600,000		(5,554	)		8,097			2,543
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.50% Annually		3/21/2029		CHF	1,400,000		(3,608	)		28,332			24,724
Pay	6 Month Norwegian Interbank Offered Rate Semi-Annually	2.00% Annually		3/17/2021		NOK	238,900,000		201,765			40,521			242,286
Receive	3 Month Canadian Bankers’ Acceptance Rate Quarterly	2.50% Semi-Annually		6/18/2029		CAD	900,000		5,531			(5,411	)		120
Receive	3 Month Stockholm Interbank Offered Rate Quarterly	0.00% Annually		6/16/2021		SEK	24,800,000		8,182			2,236			10,418
									367,794			1,730,178			2,097,972
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.00% Semi-Annually		3/17/2021		JPY	2,170,300,000		(23,190	)		20,436			(2,754	)
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.00% Semi-Annually		6/16/2021		JPY	1,731,100,000		(13,166	)		11,219			(1,947	)

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

AQR Funds Annual Report December 2018

101

Consolidated Schedule of Investments December 31, 2018

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
Pay	6 Month Norwegian Interbank Offered Rate Semi-Annually	1.50% Annually		3/17/2021		NOK	22,000,000		$ (10,220	)		$ 7,653			$ (2,567	)
Receive	3 Month Australian Bank-Bill Reference Rate Quarterly	2.00% Semi-Annually		6/16/2021		NZD	3,600,000		(293	)		(1	)		(294	)
Receive	3 Month Australian Bank-Bill Reference Rate Quarterly	3.00% Semi-Annually		3/14/2029		NZD	7,000,000		(34,602	)		(98,465	)		(133,067	)
Receive	3 Month Canadian Bankers’ Acceptance Rate Quarterly	2.50% Semi-Annually		3/15/2021		CAD	91,300,000		252,032			(596,451	)		(344,419	)
Receive	3 Month London Interbank Offered Rate Quarterly	2.75% Semi-Annually		3/22/2021		USD	93,200,000		565,177			(794,074	)		(228,897	)
Receive	3 Month London Interbank Offered Rate Quarterly	3.00% Semi-Annually		6/21/2021		USD	19,300,000		3,628			(158,025	)		(154,397	)
Receive	3 Month Stockholm Interbank Offered Rate Quarterly	0.50% Annually		3/17/2021		SEK	96,900,000		(69,421	)		(15,022	)		(84,443	)
Receive	6 Month Euro Interbank Offered RateSemi-Annually	0.00% Annually		3/22/2021		EUR	500,000		26			(1,761	)		(1,735	)
Receive	6 Month Euro Interbank Offered RateSemi-Annually	1.00% Annually		6/19/2029		EUR	1,200,000		(5,524	)		(7,037	)		(12,561	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.25% Annually		3/17/2021		CHF	11,500,000		(37,356	)		(34,093	)		(71,449	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	1.50% Semi-Annually		3/20/2029		GBP	9,000,000		119,357			(178,378	)		(59,021	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.50% Semi-Annually		3/21/2029		JPY	433,600,000		(57,189	)		(67,422	)		(124,611	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	1.50% Semi-Annually		6/19/2029		GBP	1,900,000		(1,524	)		(7,072	)		(8,596	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.50% Semi-Annually		6/20/2029		JPY	342,300,000		(56,115	)		(37,595	)		(93,710	)
Receive	6 Month Norwegian Interbank Offered Rate Semi-Annually	2.50% Annually		3/21/2029		NOK	38,900,000		(97,414	)		(59,140	)		(156,554	)
									534,206			(2,015,228	)		(1,481,022	)
									$902,000			$(285,050	)		$616,950

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

AQR Funds Annual Report December 2018

102

Consolidated Schedule of Investments December 31, 2018

AQR GLOBAL MACRO FUND

(a) Floating rate indices at December 31, 2018 were as follows:

3 Month Australian Bank-Bill Reference Rate: 2.09%

3 Month Canadian Bankers’ Acceptance Rate: 2.31%

3 Month London Interbank Offered Rate: 2.81%

3 Month Stockholm Interbank Offered Rate: (0.13)%

6 Month Australian Bank-Bill Reference Rate: 2.22%

6 Month Euro Interbank Offered Rate: (0.24)%

6 Month London Interbank Offered Rate: 2.88%

6 Month Norwegian Interbank Offered Rate: 1.41%

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

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

BIST 30 Index February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/28/2019

TRY

(3,115,860

)

$4,056

HSCEI January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

01/30/2019

HKD

9,091,800

2,454

HSCEI January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/30/2019

HKD

5,051,000

5,777

iBovespa Index February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

02/13/2019

BRL

(2,213,000

)

12,422

KOSPI 200 Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

03/14/2019

KRW

(786,000,000

)

955

MSCI Brazil Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Brazilian Interbank Certificate of Deposit (“CDI”) plus or minus a specifiedspread (-0.90%)

Monthly

GSIN

03/20/2019

BRL

(919,058

)

343

MSCI Emerging Markets Thailand Net Total 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 (0.20%)

Monthly

JPMC

03/20/2019

USD

(9,199

)

203

MSCI Israel Daily Net Total 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 (0.00%)

Monthly

JPMC

03/20/2019

USD

(4,906

)

376

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

AQR Funds Annual Report December 2018

103

Consolidated Schedule of Investments December 31, 2018

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 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 (0.00%)

Monthly

GSIN

03/20/2019

MXN

(977,513

)

$ 267

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

03/20/2019

CHF

(485,927

)

22,466

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(30,990

)

231

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(185,940

)

3,016

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(185,940

)

2,979

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(384,330

)

16,421

Swiss Market Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MLIN

03/15/2019

CHF

(415,500

)

7,337

Tel Aviv Index January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

01/23/2019

ILS

(439,161

)

5,179

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(201,300

)

6,360

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(75,487

)

2,504

WIG20 Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

03/15/2019

PLN

(410,040

)

1,763

95,109

Canada 10 Year Bond Fu March Bond

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

BANA

03/20/2019

CAD

(3,008,940

)

(54,757

)

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

AQR Funds Annual Report December 2018

104

Consolidated Schedule of Investments December 31, 2018

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 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

03/20/2019

PLN

(44,615

)

$ (98

)

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 (0.05%)

Increases in total return of reference entity

Monthly

GSIN

03/25/2019

SGD

540,278

(6,045

)

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 (-0.20%)

Monthly

GSIN

03/20/2019

ZAR

(6,866,089

)

(8,964

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (-0.20%)

Monthly

GSIN

03/20/2019

ZAR

(75,067

)

(110

)

TAIEX Index January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/16/2019

TWD

21,271,800

(2,836

)

(72,810

)

$22,299

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

AQR Funds Annual Report December 2018

105

Consolidated Schedule of Investments December 31, 2018

AQR GLOBAL MACRO FUND

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		15	1/2019	EUR		$1,676,416		$(34,745	)
HSCEI		3	1/2019	HKD		193,513		(639	)
LME Aluminum Base Metal		1	1/2019	USD		45,694		(4,359	)
LME Aluminum Base Metal		1	1/2019	USD		46,011		(4,995	)
LME Aluminum Base Metal		2	1/2019	USD		91,292		(9,055	)
LME Aluminum Base Metal		2	1/2019	USD		91,407		(7,673	)
LME Copper Base Metal		1	1/2019	USD		148,937		(6,957	)
LME Copper Base Metal		1	1/2019	USD		149,007		(5,933	)
LME Copper Base Metal		2	1/2019	USD		297,759		(15,996	)
LME Nickel Base Metal		1	1/2019	USD		63,812		(6,688	)
LME Nickel Base Metal		1	1/2019	USD		63,740		(11,399	)
LME Nickel Base Metal		2	1/2019	USD		127,367		(27,019	)
LME Zinc Base Metal		2	1/2019	USD		124,000		(7,695	)
LME Zinc Base Metal		3	1/2019	USD		187,387		(14,371	)
MSCI Singapore Index		18	1/2019	SGD		451,271		3,451
MSCI Taiwan Index		26	1/2019	USD		934,440		17,282
NY Harbor ULSD		2	1/2019	USD		141,070		(15,304	)
OMXS30 Index		110	1/2019	SEK		1,747,810		(50,871	)
RBOB Gasoline		3	1/2019	USD		164,065		(19,300	)
LME Aluminum Base Metal		1	2/2019	USD		45,982		(2,133	)
LME Aluminum Base Metal		2	2/2019	USD		91,562		(7,194	)
LME Aluminum Base Metal		2	2/2019	USD		91,812		(5,793	)
LME Copper Base Metal		1	2/2019	USD		149,106		(6,647	)
LME Nickel Base Metal		1	2/2019	USD		63,933		(2,799	)
Australia 10 Year Bond		34	3/2019	AUD		3,177,287		31,557
DAX Index		2	3/2019	EUR		605,042		(12,429	)
Euro-Bund		156	3/2019	EUR		29,230,649		218,338
FTSE/MIB Index		10	3/2019	EUR		1,042,976		(27,224	)
LME Aluminum Base Metal		3	3/2019	USD		138,567		(5,611	)
LME Aluminum Base Metal		3	3/2019	USD		138,339		(7,057	)
LME Aluminum Base Metal		5	3/2019	USD		230,891		(9,499	)
LME Aluminum Base Metal		5	3/2019	USD		230,750		(7,515	)
LME Copper Base Metal		2	3/2019	USD		298,342		(563	)
LME Copper Base Metal		2	3/2019	USD		298,575		(1,931	)
LME Nickel Base Metal		1	3/2019	USD		64,084		(2,081	)
LME Nickel Base Metal		1	3/2019	USD		64,089		(1,104	)
LME Nickel Base Metal		2	3/2019	USD		128,235		(2,930	)
LME Nickel Base Metal		2	3/2019	USD		128,105		(1,567	)
LME Zinc Base Metal		1	3/2019	USD		61,800		(1,553	)
LME Zinc Base Metal		1	3/2019	USD		61,763		(3,302	)
LME Zinc Base Metal		1	3/2019	USD		61,781		(1,697	)
LME Zinc Base Metal		1	3/2019	USD		61,796		(2,670	)
LME Zinc Base Metal		2	3/2019	USD		123,383		(1,180	)
Long Gilt		58	3/2019	GBP		9,105,564		42,481
Silver		3	3/2019	USD		233,100		15,791
SPI 200 Index		54	3/2019	AUD		5,287,802		24,664
U.S. Treasury 10 Year Note		3	3/2019	USD		366,047		643
U.S. Treasury 5 Year Note		184	3/2019	USD		21,102,500		351,745
								348,474

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

AQR Funds Annual Report December 2018

106

Consolidated Schedule of Investments December 31, 2018

AQR GLOBAL MACRO FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts
Brent Crude Oil		(8	)	1/2019	USD		$ (430,400	)		$ 53,494
CAC 40 10 Euro Index		(16	)	1/2019	EUR		(866,829	)		(9,309	)
FTSE Bursa Malaysia KLCI Index		(17	)	1/2019	MYR		(347,919	)		(2,710	)
Hang Seng Index		(7	)	1/2019	HKD		(1,155,597	)		(6,431	)
IBEX 35 Index		(8	)	1/2019	EUR		(780,677	)		18,489
LME Aluminum Base Metal		(1	)	1/2019	USD		(46,011	)		5,099
LME Aluminum Base Metal		(1	)	1/2019	USD		(45,694	)		4,156
LME Aluminum Base Metal		(2	)	1/2019	USD		(91,292	)		8,824
LME Aluminum Base Metal		(2	)	1/2019	USD		(91,407	)		7,458
LME Copper Base Metal		(1	)	1/2019	USD		(149,007	)		5,928
LME Copper Base Metal		(1	)	1/2019	USD		(148,938	)		7,406
LME Copper Base Metal		(2	)	1/2019	USD		(297,760	)		15,778
LME Nickel Base Metal		(1	)	1/2019	USD		(63,740	)		11,737
LME Nickel Base Metal		(1	)	1/2019	USD		(63,812	)		6,902
LME Nickel Base Metal		(2	)	1/2019	USD		(127,367	)		26,990
LME Zinc Base Metal		(2	)	1/2019	USD		(124,000	)		7,744
LME Zinc Base Metal		(3	)	1/2019	USD		(187,387	)		12,465
Natural Gas		(13	)	1/2019	USD		(382,200	)		91,498
WTI Crude Oil		(1	)	1/2019	USD		(45,410	)		(237	)
100 oz Gold		(2	)	2/2019	USD		(256,260	)		(10,363	)
LME Aluminum Base Metal		(1	)	2/2019	USD		(45,983	)		2,160
LME Aluminum Base Metal		(2	)	2/2019	USD		(91,812	)		5,785
LME Aluminum Base Metal		(2	)	2/2019	USD		(91,562	)		6,767
LME Copper Base Metal		(1	)	2/2019	USD		(149,106	)		6,624
LME Nickel Base Metal		(1	)	2/2019	USD		(63,933	)		2,550
Canada 10 Year Bond		(95	)	3/2019	CAD		(9,517,397	)		(299,105	)
Copper		(2	)	3/2019	USD		(131,550	)		6,104
Corn		(36	)	3/2019	USD		(675,000	)		8,035
EURO STOXX 50 Index		(229	)	3/2019	EUR		(7,803,084	)		185,568
FTSE 100 Index		(7	)	3/2019	GBP		(594,129	)		(4,773	)
FTSE/JSE Top 40 Index		(41	)	3/2019	ZAR		(1,341,010	)		(41,612	)
Japan 10 Year Bond		(3	)	3/2019	JPY		(4,173,532	)		(16,198	)
Japan 10 Year Bond Mini		(28	)	3/2019	JPY		(3,899,129	)		(17,097	)
KOSPI 200 Index		(49	)	3/2019	KRW		(2,876,412	)		2,592
LME Aluminum Base Metal		(3	)	3/2019	USD		(138,567	)		5,949
LME Aluminum Base Metal		(3	)	3/2019	USD		(138,339	)		6,834
LME Aluminum Base Metal		(5	)	3/2019	USD		(230,891	)		10,200
LME Aluminum Base Metal		(5	)	3/2019	USD		(230,750	)		6,248
LME Aluminum Base Metal		(25	)	3/2019	USD		(1,155,000	)		53,000
LME Copper Base Metal		(2	)	3/2019	USD		(298,342	)		(114	)
LME Copper Base Metal		(2	)	3/2019	USD		(298,575	)		1,809
LME Copper Base Metal		(6	)	3/2019	USD		(895,462	)		17,722
LME Nickel Base Metal		(1	)	3/2019	USD		(64,084	)		2,224
LME Nickel Base Metal		(1	)	3/2019	USD		(64,089	)		1,181
LME Nickel Base Metal		(2	)	3/2019	USD		(128,235	)		2,798
LME Nickel Base Metal		(2	)	3/2019	USD		(128,105	)		1,428
LME Nickel Base Metal		(8	)	3/2019	USD		(512,712	)		14,597
LME Zinc Base Metal		(1	)	3/2019	USD		(61,781	)		1,650
LME Zinc Base Metal		(1	)	3/2019	USD		(61,796	)		2,705
LME Zinc Base Metal		(1	)	3/2019	USD		(61,800	)		1,688
LME Zinc Base Metal		(2	)	3/2019	USD		(123,383	)		839
LME Zinc Base Metal		(5	)	3/2019	USD		(308,813	)		7,079
MEX BOLSA Index		(9	)	3/2019	MXN		(191,333	)		(9	)
S&P 500 E-Mini Index		(33	)	3/2019	USD		(4,133,580	)		68,614
S&P/TSX 60 Index		(12	)	3/2019	CAD		(1,507,120	)		32,917

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

AQR Funds Annual Report December 2018

107

Consolidated Schedule of Investments December 31, 2018

AQR GLOBAL MACRO FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
SET50 Index		(27	)	3/2019	THB		$ (172,979	)		$ 1,012
Soybean		(7	)	3/2019	USD		(313,250	)		7,534
Soybean Meal		(23	)	3/2019	USD		(712,770	)		10,783
Soybean Oil		(46	)	3/2019	USD		(768,660	)		30,140
TOPIX Index		(2	)	3/2019	JPY		(272,524	)		1,018
U.S. Treasury 2 Year Note		(209	)	3/2019	USD		(44,373,312	)		(304,510	)
U.S. Treasury Long Bond		(49	)	3/2019	USD		(7,154,000	)		(331,978	)
Wheat		(14	)	3/2019	USD		(352,275	)		12,550
										(231,774	)
										$116,700

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	1,686,200	USD	430,185	CITI**		3/20/2019		$2,415
BRL	2,529,300	USD	645,279	JPMC**		3/20/2019		3,623
CNY	5,247,740	USD	760,255	CITI**		3/20/2019		3,639
CNY	7,871,609	USD	1,140,380	JPMC**		3/20/2019		5,458
EUR	2,978,000	USD	3,419,542	CITI		3/20/2019		14,526
EUR	4,467,000	USD	5,129,318	JPMC		3/20/2019		21,783
GBP	1,287,200	USD	1,635,289	CITI		3/20/2019		11,485
GBP	1,930,800	USD	2,452,936	JPMC		3/20/2019		17,224
HUF	29,060,000	USD	103,692	CITI		3/20/2019		571
HUF	43,590,000	USD	155,538	JPMC		3/20/2019		857
IDR	3,120,000,000	USD	211,424	CITI**		3/20/2019		3,025
IDR	4,680,000,000	USD	317,137	JPMC**		3/20/2019		4,538
INR	77,672,000	USD	1,086,022	CITI**		3/20/2019		21,513
INR	116,508,000	USD	1,629,036	JPMC**		3/20/2019		32,268
JPY	315,082,400	USD	2,854,077	CITI		3/20/2019		38,438
JPY	472,623,600	USD	4,280,862	JPMC		3/20/2019		57,911
KRW	753,970,500	USD	671,673	CITI**		3/20/2019		7,163
KRW	1,130,955,750	USD	1,007,513	JPMC**		3/20/2019		10,743
MXN	19,528,406	USD	952,865	CITI		3/20/2019		29,087
MXN	29,292,594	USD	1,429,300	JPMC		3/20/2019		43,628
PHP	4,120,000	USD	77,772	CITI**		3/20/2019		399
PHP	6,180,000	USD	116,660	JPMC**		3/20/2019		599
PLN	1,901,600	USD	505,132	CITI		3/20/2019		3,910
PLN	2,852,400	USD	757,698	JPMC		3/20/2019		5,863
SEK	27,679,600	USD	3,089,842	CITI		3/20/2019		52,484
SEK	41,519,400	USD	4,634,097	JPMC		3/20/2019		79,394
SGD	1,391,600	USD	1,016,819	CITI		3/20/2019		5,990
SGD	2,087,400	USD	1,525,229	JPMC		3/20/2019		8,983
THB	123,200	USD	3,743	CITI		3/20/2019		49
THB	184,800	USD	5,614	JPMC		3/20/2019		73
USD	817,246	AUD	1,156,800	CITI		3/20/2019		1,389
USD	1,225,777	AUD	1,735,200	JPMC		3/20/2019		1,992
USD	383,543	BRL	1,473,600	CITI**		3/20/2019		5,486
USD	575,314	BRL	2,210,400	JPMC**		3/20/2019		8,227

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

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Consolidated Schedule of Investments December 31, 2018

AQR GLOBAL MACRO FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	4,384,520	CAD	5,810,400	CITI**		3/20/2019		$ 120,850
USD	6,573,172	CAD	8,715,600	JPMC		3/20/2019		177,667
USD	295,617	CLP	202,800,000	CITI**		3/20/2019		3,154
USD	443,426	CLP	304,200,000	JPMC**		3/20/2019		4,731
USD	438,548	COP	1,404,000,000	CITI**		3/20/2019		7,792
USD	657,821	COP	2,106,000,000	JPMC**		3/20/2019		11,688
USD	709,287	EUR	614,187	CITI		3/20/2019		1,040
USD	1,063,929	EUR	921,280	JPMC		3/20/2019		1,559
USD	3,263,260	GBP	2,539,200	CITI		3/20/2019		14,745
USD	4,896,551	GBP	3,808,800	JPMC		3/20/2019		23,780
USD	177,113	HKD	1,381,700	CITI		3/20/2019		261
USD	265,669	HKD	2,072,550	JPMC		3/20/2019		390
USD	19,760	IDR	286,000,000	CITI**		3/20/2019		103
USD	29,640	IDR	429,000,000	JPMC**		3/20/2019		154
USD	778,721	KRW	863,154,000	CITI**		3/20/2019		1,581
USD	1,168,080	KRW	1,294,731,000	JPMC**		3/20/2019		2,371
USD	197,701	RUB	13,600,000	CITI**		3/20/2019		4,483
USD	296,550	RUB	20,400,000	JPMC**		3/20/2019		6,725
USD	223	THB	7,200	CITI		3/20/2019		1
USD	334	THB	10,800	JPMC		3/20/2019		2
USD	210,277	ZAR	3,000,800	CITI		3/20/2019		3,612
USD	315,415	ZAR	4,501,200	JPMC		3/20/2019		5,419
ZAR	591,600	USD	40,539	CITI		3/20/2019		204
ZAR	887,400	USD	60,809	JPMC		3/20/2019		307
Total unrealized appreciation								897,352
AUD	4,184,800	USD	3,036,841	CITI		3/20/2019		(85,426	)
AUD	6,277,200	USD	4,555,268	JPMC		3/20/2019		(128,144	)
BRL	1,023,000	USD	264,341	CITI**		3/20/2019		(1,886	)
BRL	1,534,500	USD	396,512	JPMC**		3/20/2019		(2,831	)
CAD	7,496,800	USD	5,657,372	CITI		3/20/2019		(156,221	)
CAD	11,245,200	USD	8,486,067	JPMC		3/20/2019		(234,342	)
CLP	68,400,000	USD	101,918	CITI**		3/20/2019		(3,277	)
CLP	102,600,000	USD	152,877	JPMC**		3/20/2019		(4,915	)
COP	404,000,000	USD	123,968	CITI**		3/20/2019		(18	)
COP	606,000,000	USD	185,952	JPMC**		3/20/2019		(27	)
EUR	322,800	USD	372,642	CITI		3/20/2019		(407	)
EUR	484,200	USD	558,964	JPMC		3/20/2019		(611	)
GBP	393,600	USD	509,481	CITI		3/20/2019		(5,931	)
GBP	590,400	USD	764,223	JPMC		3/20/2019		(8,897	)
HKD	10,828,200	USD	1,387,838	CITI		3/20/2019		(1,866	)
HKD	16,242,300	USD	2,081,757	JPMC		3/20/2019		(2,802	)
HUF	11,435,600	USD	41,031	CITI		3/20/2019		(1	)
HUF	17,153,400	USD	61,546	JPMC		3/20/2019		(2	)
IDR	1,160,000,000	USD	80,112	CITI**		3/20/2019		(381	)
IDR	1,740,000,000	USD	120,169	JPMC**		3/20/2019		(572	)
ILS	731,200	USD	198,247	CITI		3/20/2019		(1,524	)
ILS	1,096,800	USD	297,369	JPMC		3/20/2019		(2,286	)
KRW	100,249,900	USD	90,682	CITI**		3/20/2019		(422	)
KRW	150,374,850	USD	136,022	JPMC**		3/20/2019		(633	)
NOK	20,582,000	USD	2,429,982	CITI		3/20/2019		(41,515	)
NOK	30,873,000	USD	3,645,677	JPMC		3/20/2019		(62,976	)
NZD	8,314,400	USD	5,682,463	CITI		3/20/2019		(94,341	)
NZD	12,471,600	USD	8,523,501	JPMC		3/20/2019		(141,319	)
PHP	1,920,000	USD	36,436	CITI**		3/20/2019		(6	)
PHP	2,880,000	USD	54,654	JPMC**		3/20/2019		(10	)
PLN	206,000	USD	55,245	CITI		3/20/2019		(101	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR GLOBAL MACRO FUND

CURRENCY PURCHASED		CURRENCY SOLD			COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
PLN	309,000	USD	82,868		JPMC		3/20/2019		$ (151	)
RUB	28,400,000	USD	419,696		CITI**		3/20/2019		(16,211	)
RUB	42,600,000	USD	629,543	��	JPMC**		3/20/2019		(24,318	)
USD	209,646	BRL	822,800		CITI**		3/20/2019		(1,447	)
USD	314,468	BRL	1,234,200		JPMC**		3/20/2019		(2,169	)
USD	2,264,671	CHF	2,230,000		CITI		3/20/2019		(20,528	)
USD	3,397,002	CHF	3,345,000		JPMC		3/20/2019		(30,796	)
USD	89,836	CLP	62,400,000		CITI**		3/20/2019		(152	)
USD	134,754	CLP	93,600,000		JPMC**		3/20/2019		(228	)
USD	1,437,986	CNY	10,006,540		CITI**		3/20/2019		(18,629	)
USD	2,156,976	CNY	15,009,809		JPMC**		3/20/2019		(27,947	)
USD	4,855	COP	16,000,000		CITI**		3/20/2019		(54	)
USD	7,282	COP	24,000,000		JPMC**		3/20/2019		(81	)
USD	180,472	CZK	4,120,000		CITI		3/20/2019		(3,361	)
USD	270,707	CZK	6,180,000		JPMC		3/20/2019		(5,042	)
USD	8,343,526	EUR	7,277,414		CITI		3/20/2019		(48,392	)
USD	12,515,271	EUR	10,916,119		JPMC		3/20/2019		(72,604	)
USD	422,315	GBP	332,800		CITI		3/20/2019		(3,451	)
USD	633,472	GBP	499,200		JPMC		3/20/2019		(5,178	)
USD	416,576	HKD	3,256,100		CITI		3/20/2019		(194	)
USD	624,863	HKD	4,884,150		JPMC		3/20/2019		(290	)
USD	82,437	HUF	23,200,000		CITI		3/20/2019		(802	)
USD	123,655	HUF	34,800,000		JPMC		3/20/2019		(1,203	)
USD	63,856	IDR	938,000,000		CITI**		3/20/2019		(617	)
USD	95,784	IDR	1,407,000,000		JPMC**		3/20/2019		(926	)
USD	1,174	ILS	4,400		CITI		3/20/2019		(10	)
USD	1,761	ILS	6,600		JPMC		3/20/2019		(15	)
USD	122,929	INR	8,760,000		CITI**		3/20/2019		(1,981	)
USD	184,393	INR	13,140,000		JPMC**		3/20/2019		(2,972	)
USD	3,799,392	JPY	425,469,600		CITI		3/20/2019		(106,499	)
USD	5,699,081	JPY	638,204,400		JPMC		3/20/2019		(159,755	)
USD	1,360,504	KRW	1,526,255,200		CITI**		3/20/2019		(13,658	)
USD	2,040,754	KRW	2,289,382,800		JPMC**		3/20/2019		(20,490	)
USD	238,084	MXN	4,888,808		CITI		3/20/2019		(7,742	)
USD	357,124	MXN	7,333,192		JPMC		3/20/2019		(11,613	)
USD	1,684,959	NOK	14,630,400		CITI		3/20/2019		(12,846	)
USD	2,527,435	NOK	21,945,600		JPMC		3/20/2019		(19,273	)
USD	122,667	PHP	6,480,000		CITI**		3/20/2019		(284	)
USD	184,000	PHP	9,720,000		JPMC**		3/20/2019		(426	)
USD	78,468	PLN	294,800		CITI		3/20/2019		(447	)
USD	117,703	PLN	442,200		JPMC		3/20/2019		(670	)
USD	4,241,912	SEK	38,005,200		CITI		3/20/2019		(72,628	)
USD	6,362,860	SEK	57,007,800		JPMC		3/20/2019		(108,951	)
USD	5,538	SGD	7,600		CITI		3/20/2019		(47	)
USD	8,308	SGD	11,400		JPMC		3/20/2019		(71	)
USD	242,274	TWD	7,399,992		CITI**		3/20/2019		(1,370	)
USD	363,411	TWD	11,100,008		JPMC**		3/20/2019		(2,055	)
USD	67,728	ZAR	989,200		CITI		3/20/2019		(397	)
USD	101,593	ZAR	1,483,800		JPMC		3/20/2019		(597	)
ZAR	2,585,600	USD	183,838		CITI		3/20/2019		(5,770	)
ZAR	3,878,400	USD	275,760		JPMC		3/20/2019		(8,657	)
Total unrealized depreciation									(1,827,685	)
Net unrealized depreciation									$(930,333	)

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

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110

Consolidated Schedule of Investments December 31, 2018

AQR GLOBAL MACRO FUND

** 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

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

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BARC
Cash		$—		$1,802,506		$1,802,506
CRSU
Cash		—		575,448		575,448
CITI
Cash		786,739		—		786,739
GSCO
Cash		—		799,775		799,775
GSIN
U.S. Treasury Bills		437,288		—		437,288
JPMC
Investment Companies		1,705,487		—		1,705,487
JPMS
Cash		—		37,639		37,639
MSCL
Cash		—		450,090		450,090

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
CITI
Cash		$61,508		$—			$61,508
GSCO
Cash		—		(17,649	)		(17,649	)
JPPC
Cash		—		173,637			173,637
MSCL
Cash		—		172,430			172,430

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

AQR Funds Annual Report December 2018

111

Schedule of Investments December 31, 2018

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 116.5%
COMMON STOCKS - 50.1%
Canada - 4.2%
Air Canada *(a)		1,063,312	$	20,219,441
Alimentation Couche-Tard, Inc., Class B		22,099		1,099,284
Atco Ltd., Class I		9,906		280,157
Bank of Montreal		4,295		280,597
Bank of Nova Scotia (The)		25,056		1,248,946
Canadian Imperial Bank of Commerce		71,271		5,308,259
Canadian Tire Corp. Ltd., Class A		50,438		5,273,601
CGI Group, Inc., Class A *		16,868		1,031,701
Dollarama, Inc. (a)		320,609		7,625,384
Empire Co. Ltd., Class A		136,185		2,875,926
Finning International, Inc.		183,419		3,197,606
Industrial Alliance Insurance & Financial Services, Inc.		8,914		284,488
Linamar Corp.		71,745		2,380,639
Magna International, Inc. (a)		292,318		13,269,079
Methanex Corp. (a)		167,345		8,048,544
National Bank of Canada		116,146		4,768,520
Quebecor, Inc., Class B		36,467		767,698
West Fraser Timber Co. Ltd. (a)		124,374		6,143,995
WestJet Airlines Ltd.		43,469		573,134
				84,676,999
China - 0.0% (b)
Yangzijiang Shipbuilding Holdings Ltd. (2)		333,200		306,158
Italy - 5.2%
A2A SpA (2)(a)		6,998,980		12,622,491
Assicurazioni Generali SpA (2)		152,850		2,554,733
BPER Banca (2)		872,407		3,360,148
Enel SpA (2)(a)		3,200,751		18,555,542
Eni SpA (2)(a)		2,219,354		35,059,595
Hera SpA (2)		1,365,565		4,166,041
Italgas SpA (2)		364,468		2,090,053
Moncler SpA (2)(a)		331,586		11,034,407
Poste Italiane SpA (2)(c)		406,030		3,255,835
Snam SpA (2)		621,314		2,720,339
Telecom Italia SpA (2)*		3,162,391		1,750,729
Terna Rete Elettrica Nazionale SpA (2)		106,002		602,001
UniCredit SpA (2)		609,134		6,899,603
Unipol Gruppo SpA (2)		256,179		1,033,108
				105,704,625
Singapore - 0.2%
Genting Singapore Ltd. (2)		3,732,400		2,671,721
StarHub Ltd. (2)		463,600		594,804
				3,266,525
Spain - 1.2%
Repsol SA (2)(a)		1,484,988		23,874,242
Switzerland - 1.0%
Temenos AG (Registered) (2)*(a)		174,329		20,947,870
United Kingdom - 0.2%
Fiat Chrysler Automobiles NV (2) *		297,991		4,296,544

INVESTMENTS	SHARES		VALUE
United Kingdom - 0.2% (continued)
nVent Electric plc		32,297	$	725,391
			5,021,935
United States - 38.1%
AbbVie, Inc.		9,161		844,553
ABIOMED, Inc. *		17,295		5,621,567
Agilent Technologies, Inc. (a)		280,118		18,896,760
Allergan plc		56,595		7,564,488
Amgen, Inc. (a)		114,332		22,257,010
Anadarko Petroleum Corp. (a)		245,076		10,744,132
Anthem, Inc.		1,530		401,824
Apple, Inc. (a)		66,898		10,552,491
Arrow Electronics, Inc. *		66,200		4,564,490
Avnet, Inc.		15,936		575,290
Baxter International, Inc. (a)		137,924		9,078,158
Biogen, Inc. *(a)		90,116		27,117,707
Bio-Techne Corp.		18,187		2,632,023
Boston Scientific Corp. *		24,054		850,068
Bristol-Myers Squibb Co. (a)		457,932		23,803,305
BRP, Inc.		126,235		3,267,759
Bruker Corp. (a)		263,188		7,835,107
Cardinal Health, Inc. (a)		140,168		6,251,493
CBS Corp. (Non-Voting), Class B (a)		151,200		6,610,464
CDW Corp. (a)		235,966		19,125,044
Celgene Corp. *(a)		436,985		28,006,368
Centene Corp. *		11,443		1,319,378
Charles River Laboratories International, Inc. *(a)		153,807		17,407,876
Ciena Corp. *		70,314		2,384,348
Cisco Systems, Inc. (a)		267,196		11,577,603
CNX Resources Corp. *		207,143		2,365,573
Comcast Corp., Class A (a)		601,855		20,493,163
CommScope Holding Co., Inc. *		31,307		513,122
ConocoPhillips (a)		327,126		20,396,306
Crane Co.		49,180		3,549,812
Cummins, Inc. (a)		75,857		10,137,529
Curtiss-Wright Corp. (a)		94,093		9,608,777
DexCom, Inc. *		33,719		4,039,536
DISH Network Corp., Class A *		163,320		4,078,100
Dolby Laboratories, Inc., Class A		46,659		2,885,393
Dover Corp.		21,966		1,558,488
Eaton Corp. plc		30,189		2,072,777
Edwards Lifesciences Corp. *		4,351		666,443
Eli Lilly & Co.		37,586		4,349,452
Emerson Electric Co.		21,336		1,274,826
EnerSys		6,182		479,785
Exelixis, Inc. *(a)		597,548		11,753,769
F5 Networks, Inc. *(a)		69,087		11,194,167
Flex Ltd. *		740,906		5,638,295
FLIR Systems, Inc. (a)		152,521		6,640,764
Gilead Sciences, Inc. (a)		384,376		24,042,719
Globus Medical, Inc., Class A *(a)		188,708		8,167,282
Haemonetics Corp. *		18,157		1,816,608
HCA Healthcare, Inc.		12,013		1,495,018
HD Supply Holdings, Inc. *		156,618		5,876,307
HollyFrontier Corp.		89,311		4,565,578
Honeywell International, Inc. (a)		166,465		21,993,356
HP, Inc. (a)		706,589		14,456,811

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

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112

Schedule of Investments December 31, 2018

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
United States - 38.1% (continued)
Humana, Inc.		13,874	$	3,974,624
Huntington Ingalls Industries, Inc. (a)		64,025		12,184,598
IDEXX Laboratories, Inc. *		2,058		382,829
Illumina, Inc. *		3,019		905,489
Incyte Corp. *		22,212		1,412,461
Ingersoll-Rand plc		55,845		5,094,739
IQVIA Holdings, Inc. *(a)		76,479		8,884,565
ITT, Inc.		39,387		1,901,210
Jazz Pharmaceuticals plc *		13,183		1,634,165
John Wiley & Sons, Inc., Class A		35,672		1,675,514
Juniper Networks, Inc. (a)		234,072		6,298,878
Keysight Technologies, Inc. *		80,522		4,998,806
Liberty Media Corp.-Liberty SiriusXM, Class C *		26,960		996,981
LivaNova plc *		8,717		797,344
Lockheed Martin Corp. (a)		61,602		16,129,868
Marathon Oil Corp.		102,413		1,468,602
Marathon Petroleum Corp. (a)		104,154		6,146,128
Masimo Corp. *		40,609		4,360,188
McKesson Corp. (a)		128,702		14,217,710
MEDNAX, Inc. *		28,713		947,529
Medtronic plc		13,821		1,257,158
Merck & Co., Inc. (a)		323,397		24,710,765
Motorola Solutions, Inc.		44,491		5,118,245
MSC Industrial Direct Co., Inc., Class A		57,520		4,424,438
Mylan NV *		53,271		1,459,625
National Instruments Corp.		140,331		6,368,221
NetApp, Inc.		62,507		3,729,793
Oshkosh Corp.		89,381		5,479,949
Parker-Hannifin Corp.		6,229		928,993
Patterson-UTI Energy, Inc.		76,927		796,194
Pfizer, Inc. (a)		654,571		28,572,023
Phillips 66		26,596		2,291,245
PRA Health Sciences, Inc. *		53,943		4,960,598
QIAGEN NV *		572,344		19,717,251
Raytheon Co. (a)		93,920		14,402,632
Seagate Technology plc		102,277		3,946,869
Spirit AeroSystems Holdings, Inc., Class A (a)		155,747		11,227,801
SYNNEX Corp.		9,378		758,118
TE Connectivity Ltd.		47,266		3,574,728
TEGNA, Inc.		428,633		4,659,241
Teledyne Technologies, Inc. *		8,540		1,768,378
United Therapeutics Corp. *(a)		159,125		17,328,713
Valero Energy Corp. (a)		155,973		11,693,296
Varian Medical Systems, Inc. *		36,895		4,180,572
Vertex Pharmaceuticals, Inc. *(a)		61,842		10,247,838
Viacom, Inc., Class B		30,620		786,934
WESCO International, Inc. *(a)		152,670		7,328,160
Western Digital Corp.		22,535		833,119
World Fuel Services Corp.		13,023		278,822
WW Grainger, Inc.		17,836		5,036,173
Zebra Technologies Corp., Class A *(a)		55,391		8,819,909
Zoetis, Inc.		21,254		1,818,067
			768,315,158
TOTAL COMMON STOCKS (Cost $1,056,417,372)				1,012,113,512

INVESTMENTS	NO. OF RIGHTS			VALUE
RIGHTS - 0.0% (b)
Spain - 0.0% (b)
Repsol SA, expiring 1/18/2019 (2)* (Cost $492,603)		1,071,492		$	491,065
		SHARES
SHORT-TERM INVESTMENTS - 66.4%
INVESTMENT COMPANIES - 12.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (d)		1,329,039			1,329,039
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (d)		5,316,155			5,316,155
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (d)(e)		36,319,681			36,319,681
Limited Purpose Cash Investment Fund, 2.50% (d)(f)		193,083,657			193,083,657
UBS Select Treasury Preferred Fund, Class I, 2.34% (d)		6,645,194			6,645,194
TOTAL INVESTMENT COMPANIES (Cost $242,632,884)					242,693,726
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 54.4%
U.S. Treasury Bills
2.29%, 3/14/2019 (2)(g)(h)	$	105,306,000			104,810,927
2.32%, 3/21/2019 (2)(g)(i)		80,140,000			79,733,473
2.35%, 3/28/2019 (2)(g)(h)		83,596,000			83,127,964
2.41%, 4/11/2019 (2)(g)(h)		18,543,000			18,420,489
2.46%, 5/2/2019 (2)(g)(h)		5,598,000			5,553,006
2.46%, 5/9/2019 (2)(g)		100,000,000			99,140,104
2.46%, 5/16/2019 (2)(g)(h)		100,000,000			99,095,965
2.49%, 5/23/2019 (2)(g)(h)		100,000,000			99,049,229
2.51%, 5/30/2019 (2)(g)(h)		127,562,000			126,289,623
2.53%, 6/6/2019 (2)(g)(i)		165,000,000			163,263,032
2.51%, 6/13/2019 (2)(g)(h)		223,594,000			221,137,678
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,099,477,032)					1,099,621,490
TOTAL SHORT-TERM INVESTMENTS (Cost $1,342,109,916)					1,342,315,216
TOTAL LONG POSITIONS (Cost $2,399,019,891)					2,354,919,793
		SHARES
SHORT POSITIONS - (32.6)%
COMMON STOCKS - (32.6)%
Brazil - 0.0% (b)
Yamana Gold, Inc.		(237,477	)		(558,381	)
Canada - (3.8)%
Agnico Eagle Mines Ltd.		(121,195	)		(4,891,477	)
AltaGas Ltd.		(121,669	)		(1,238,792	)
Barrick Gold Corp.		(154,172	)		(2,081,299	)

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

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INVESTMENTS	SHARES			VALUE
Canada - (3.8)% (continued)
Cameco Corp.		(585,071	)	$	(6,634,119	)
Cenovus Energy, Inc.		(571,602	)		(4,019,469	)
Element Fleet Management Corp.		(948,244	)		(4,799,565	)
Enbridge, Inc.		(592,276	)		(18,399,081	)
Encana Corp.		(673,534	)		(3,887,671	)
Franco-Nevada Corp.		(8,020	)		(562,375	)
Goldcorp, Inc.		(333,859	)		(3,269,627	)
Keyera Corp.		(23,898	)		(451,807	)
Kinross Gold Corp. *		(254,857	)		(821,397	)
Peyto Exploration & Development Corp.		(53,296	)		(276,396	)
PrairieSky Royalty Ltd.		(227,022	)		(2,938,382	)
Seven Generations Energy Ltd., Class A *		(87,759	)		(716,111	)
TransCanada Corp.		(302,511	)		(10,802,382	)
Wheaton Precious Metals Corp.		(529,912	)		(10,344,385	)
Whitecap Resources, Inc.		(238,712	)		(760,619	)
				(76,894,954)
Ghana - (0.1)%
Kosmos Energy Ltd. *		(325,041	)		(1,264,409	)
Italy - (2.8)%
Banco BPM SpA (2)*		(593,198	)		(1,334,542	)
Brembo SpA (2)		(170,256	)		(1,737,597	)
Buzzi Unicem SpA (2)		(596,967	)		(10,296,637	)
Davide Campari-Milano SpA (2)		(169,908	)		(1,438,848	)
Ferrari NV (2)		(115,737	)		(11,516,304	)
Leonardo SpA (2)		(1,252,690	)		(11,036,475	)
Pirelli & C SpA (2)*(c)		(727,535	)		(4,675,266	)
Prysmian SpA (2)		(41,746	)		(812,253	)
Recordati SpA (2)		(104,854	)		(3,631,119	)
Saipem SpA (2)*		(221,951	)		(831,735	)
Unione di Banche Italiane SpA (2)		(3,274,642	)		(9,505,192	)
				(56,815,968)
Luxembourg - (1.0)%
Tenaris SA (2)		(1,949,939	)		(20,957,538	)
Netherlands - (0.4)%
Koninklijke Vopak NV (2)		(164,293	)		(7,450,418	)
Singapore - (0.2)%
CapitaLand Ltd. (2)		(502,500	)		(1,145,916	)
Singapore Post Ltd. (2)		(445,500	)		(298,964	)
Singapore Telecommunications Ltd. (2)		(991,100	)		(2,133,080	)
					(3,577,960	)
Switzerland - (0.1)%
STMicroelectronics NV (2)		(158,233	)		(2,230,436	)
United States - (23.6)%
Acadia Healthcare Co., Inc. *		(326,300	)		(8,389,173	)
AECOM *		(218,418	)		(5,788,077	)
Agios Pharmaceuticals, Inc. *		(219,061	)		(10,100,903	)
Alkermes plc *		(251,527	)		(7,422,562	)
Allegion plc		(3,392	)		(270,376	)
Allscripts Healthcare Solutions, Inc. *		(48,910	)		(471,492	)
Alnylam Pharmaceuticals, Inc. *		(39,147	)		(2,854,208	)
AmerisourceBergen Corp.		(107,102	)		(7,968,389	)

INVESTMENTS	SHARES			VALUE
United States - (23.6)% (continued)
Avanos Medical, Inc. *		(128,055	)	$	(5,735,583	)
Baker Hughes a GE Co.		(147,755	)		(3,176,733	)
Belden, Inc.		(248,179	)		(10,366,437	)
Bluebird Bio, Inc. *		(83,743	)		(8,307,306	)
BWX Technologies, Inc.		(44,176	)		(1,688,848	)
Callon Petroleum Co. *		(1,566,210	)		(10,164,703	)
Catalent, Inc. *		(39,254	)		(1,223,940	)
Centennial Resource Development, Inc., Class A *		(202,116	)		(2,227,318	)
Charter Communications, Inc., Class A *		(3,893	)		(1,109,388	)
Cheniere Energy, Inc. *		(122,676	)		(7,261,192	)
Cognex Corp.		(261,097	)		(10,096,621	)
Coherent, Inc. *		(71,663	)		(7,575,496	)
Colfax Corp. *		(157,934	)		(3,300,821	)
Concho Resources, Inc. *		(80,241	)		(8,247,972	)
Core Laboratories NV		(45,808	)		(2,732,905	)
CVS Health Corp.		(213,858	)		(14,011,976	)
Diamond Offshore Drilling, Inc. *		(115,806	)		(1,093,209	)
Discovery, Inc., Class A *		(329,205	)		(8,144,532	)
Dril-Quip, Inc. *		(90,203	)		(2,708,796	)
Dycom Industries, Inc. *		(35,313	)		(1,908,315	)
Ensco plc, Class A		(1,990,620	)		(7,086,607	)
EQT Corp.		(152,159	)		(2,874,284	)
Exact Sciences Corp. *		(144,202	)		(9,099,146	)
Extraction Oil & Gas, Inc. *		(62,972	)		(270,150	)
Fastenal Co.		(31,359	)		(1,639,762	)
Flowserve Corp.		(166,272	)		(6,321,661	)
GCI Liberty, Inc., Class A *		(78,253	)		(3,220,893	)
General Electric Co.		(376,300	)		(2,848,591	)
Granite Construction, Inc.		(223,985	)		(9,022,116	)
HealthEquity, Inc. *		(36,684	)		(2,188,201	)
HEICO Corp.		(185,081	)		(14,340,075	)
Henry Schein, Inc. *		(64,476	)		(5,062,656	)
Hess Corp.		(66,389	)		(2,688,755	)
Insulet Corp. *		(149,550	)		(11,862,306	)
Ionis Pharmaceuticals, Inc. *		(25,770	)		(1,393,126	)
IPG Photonics Corp. *		(63,427	)		(7,185,645	)
Kennametal, Inc.		(20,739	)		(690,194	)
Liberty Broadband Corp., Class C *		(25,233	)		(1,817,533	)
Littelfuse, Inc.		(4,537	)		(778,005	)
Live Nation Entertainment, Inc. *		(15,604	)		(768,497	)
Lumentum Holdings, Inc. *		(74,757	)		(3,140,542	)
Matador Resources Co. *		(531,629	)		(8,256,198	)
Medidata Solutions, Inc. *		(159,498	)		(10,753,355	)
Meredith Corp.		(187,636	)		(9,745,814	)
Middleby Corp. (The) *		(105,502	)		(10,838,220	)
Nabors Industries Ltd.		(857,851	)		(1,715,702	)
NCR Corp. *		(195,607	)		(4,514,610	)
Nektar Therapeutics *		(115,665	)		(3,801,909	)
NetScout Systems, Inc. *		(184,512	)		(4,360,019	)
New York Times Co. (The), Class A		(306,884	)		(6,840,444	)
NewMarket Corp.		(858	)		(353,573	)
NOW, Inc. *		(799,540	)		(9,306,646	)
NuVasive, Inc. *		(57,782	)		(2,863,676	)
Oasis Petroleum, Inc. *		(662,204	)		(3,661,988	)
Oceaneering International, Inc. *		(47,124	)		(570,200	)
ONEOK, Inc.		(29,165	)		(1,573,452	)

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

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INVESTMENTS	SHARES			VALUE
United States - (23.6)% (continued)
PerkinElmer, Inc.		(43,194	)	$	(3,392,889	)
Plantronics, Inc.		(121,242	)		(4,013,110	)
Premier, Inc., Class A *		(283,298	)		(10,581,180	)
Prestige Consumer Healthcare, Inc. *		(354,155	)		(10,936,306	)
Range Resources Corp.		(54,412	)		(520,723	)
Sage Therapeutics, Inc. *		(34,439	)		(3,298,912	)
Seattle Genetics, Inc. *		(233,854	)		(13,250,168	)
Sensata Technologies Holding plc *		(269,950	)		(12,104,558	)
SM Energy Co.		(107,225	)		(1,659,843	)
Syneos Health, Inc. *		(189,256	)		(7,447,224	)
Targa Resources Corp.		(264,567	)		(9,529,703	)
Tenet Healthcare Corp. *		(127,306	)		(2,182,025	)
Terex Corp.		(118,657	)		(3,271,373	)
TransDigm Group, Inc. *		(36,408	)		(12,380,904	)
Transocean Ltd. *		(528,325	)		(3,666,576	)
Univar, Inc. *		(50,219	)		(890,885	)
Valmont Industries, Inc.		(4,335	)		(480,968	)
ViaSat, Inc. *		(236,243	)		(13,926,525	)
Wabtec Corp.		(246,095	)		(17,288,173	)
Welbilt, Inc. *		(408,515	)		(4,538,602	)
WellCare Health Plans, Inc. *		(49,130	)		(11,599,102	)
Williams Cos., Inc. (The)		(40,549	)		(894,105	)
WPX Energy, Inc. *		(117,006	)		(1,328,018	)
				(476,983,694)
Zambia - (0.6)%
First Quantum Minerals Ltd.		(1,436,728	)		(11,618,427	)
TOTAL COMMON STOCKS (Proceeds $(824,673,117))					(658,352,185	)
TOTAL SHORT POSITIONS (Proceeds $(824,673,117))					(658,352,185	)
TOTAL INVESTMENTS IN SECURITIES ATVALUE - 83.9% (Cost $1,574,346,774)					1,696,567,608
OTHER ASSETS IN EXCESS OFLIABILITIES - 16.1% (j)					324,522,580
NET ASSETS - 100.0%				$	2,021,090,188

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	8,633,446			0.4	%
Consumer Discretionary		31,889,968			1.6
Consumer Staples		2,536,362			0.1
Energy		(40,408,149	)		(2.0	)
Financials		13,354,939			0.7
Health Care		208,159,197			10.3
Industrials		36,413,466			1.8
Information Technology		88,346,626			4.4
Materials		(30,605,039	)		(1.5	)
Real Estate		(1,145,916	)		(0.1	)
Utilities		37,077,492			1.8
Short-Term Investments		1,342,315,216			66.4
Total Investments In Securities At Value		1,696,567,608			83.9
Other Assets in Excess of Liabilities (j)		324,522,580			16.1
Net Assets	$	2,021,090,188			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 $724,527,382.

(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 December 31, 2018 amounted to $(1,419,431), which represents approximately (0.07)% of net assets of the fund.

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

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

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

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AQR LONG-SHORT EQUITY FUND

(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 December 31, 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 12/31/18		VALUE AT 12/31/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
SHORT-TERM INVESTMENTS - 9.6%
INVESTMENT COMPANIES - 9.6%
Limited Purpose Cash Investment Fund, 2.50% (a) (Cost $193,022,815)	1,987,905,834	7,082,079,374		(8,876,901,551	)		193,083,657		$193,083,657		$30,094,822		$57,024		$60,842

(a) Represents 7-day effective yield as of December 31, 2018.

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

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

(i) All or a portion of the security pledged as collateral for swap and 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).

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

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Australia Net Return Index

Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (-0.13%)

Increases in total return of reference entity

Monthly

JPMC

03/22/2019

AUD

1,757,049

$2,113

2,113

MSCI Hong Kong Net Return Index

Decreases in total return of reference entity and pays the HIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

JPMC

03/22/2019

HKD

131,461,753

(249,795

)

MSCI Italy Net Return Index

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

Increases in total return of reference entity

Monthly

JPMC

03/22/2019

EUR

7,989,582

(363,214

)

MSCI Japan Net Return Index

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

Increases in total return of reference entity

Monthly

JPMC

03/26/2019

JPY

6,678,460,202

(4,450,379

)

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

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Schedule of Investments December 31, 2018

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

03/22/2019

EUR

215,330

$ (11,071

)

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.35%)

Increases in total return of reference entity

Monthly

JPMC

03/25/2019

SGD

4,524,143

(50,948

)

MSCI Sweden Net Return Index

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

Increases in total return of reference entity

Monthly

JPMC

03/22/2019

SEK

177,334

(788

)

Swiss Market Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

JPMC

03/15/2019

CHF

29,666,700

(617,312

)

(5,743,507

)

$(5,741,394

)

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		178		1/2019	EUR		$19,893,465		$(400,294	)
CAC 40 10 Euro Index		969		1/2019	EUR		52,497,308		(774,592	)
Hang Seng Index		6		1/2019	HKD		990,511		2,246
IBEX 35 Index		110		1/2019	EUR		10,734,314		(251,895	)
MSCI Singapore Index		14		1/2019	SGD		350,989		2,940
OMXS30 Index		898		1/2019	SEK		14,268,483		(410,806	)
DAX Index		135		3/2019	EUR		40,840,330		(740,645	)
FTSE 100 Index		831		3/2019	GBP		70,531,634		(322,438	)
FTSE/MIB Index		7		3/2019	EUR		730,083		(22,215	)
S&P 500 E-Mini Index		5,597		3/2019	USD		701,080,219		(33,163,525	)
S&P/TSX 60 Index		325		3/2019	CAD		40,817,829		(1,038,292	)
SPI 200 Index		316		3/2019	AUD		30,943,433		181,864
TOPIX Index		327		3/2019	JPY		44,557,684		(2,607,444	)
									$(39,545,096	)

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

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Schedule of Investments December 31, 2018

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CHF	26,185,200	USD	26,614,614	CITI		3/20/2019		$218,742
CHF	39,277,800	USD	39,921,970	JPMC		3/20/2019		328,059
DKK	48,878,400	USD	7,524,232	CITI		3/20/2019		27,793
DKK	73,317,600	USD	11,286,362	JPMC		3/20/2019		41,674
EUR	66,313,812	USD	76,048,929	CITI		3/20/2019		420,552
EUR	99,470,723	USD	114,073,542	JPMC		3/20/2019		630,687
JPY	6,278,664,400	USD	56,070,878	CITI		3/20/2019		1,568,441
JPY	9,417,996,601	USD	84,106,423	JPMC		3/20/2019		2,352,552
SEK	82,245,110	USD	9,184,058	CITI		3/20/2019		152,820
SEK	123,367,652	USD	13,776,101	JPMC		3/20/2019		229,212
SGD	8,077,486	USD	5,900,220	CITI		3/20/2019		36,629
SGD	12,116,229	USD	8,850,341	JPMC		3/20/2019		54,931
USD	4,633,398	AUD	6,396,800	CITI		3/20/2019		121,925
USD	6,950,395	AUD	9,595,200	JPMC		3/20/2019		183,186
USD	13,095,222	CAD	17,449,044	CITI		3/20/2019		291,117
USD	19,640,070	CAD	26,173,545	JPMC		3/20/2019		433,928
USD	1,504,207	EUR	1,302,857	CITI		3/20/2019		1,824
USD	2,256,308	EUR	1,954,285	JPMC		3/20/2019		2,733
USD	4,571,709	GBP	3,560,000	CITI		3/20/2019		17,239
USD	6,857,555	GBP	5,340,000	JPMC		3/20/2019		25,850
USD	2,203,445	HKD	17,190,000	CITI		3/20/2019		3,186
USD	3,305,163	HKD	25,785,000	JPMC		3/20/2019		4,775
USD	217,710	ILS	803,200	CITI		3/20/2019		1,616
USD	326,565	ILS	1,204,800	JPMC		3/20/2019		2,424
USD	1,418,085	NOK	12,042,194	CITI		3/20/2019		20,632
USD	2,127,125	NOK	18,063,291	JPMC		3/20/2019		30,946
USD	137,582	NZD	200,000	CITI		3/20/2019		3,162
USD	206,373	NZD	300,000	JPMC		3/20/2019		4,743
Total unrealized appreciation								7,211,378
AUD	21,355,600	USD	15,504,732	CITI		3/20/2019		(443,263	)
AUD	32,033,400	USD	23,257,128	JPMC		3/20/2019		(664,923	)
CAD	37,866,400	USD	28,574,650	CITI		3/20/2019		(788,295	)
CAD	56,799,599	USD	42,862,025	JPMC		3/20/2019		(1,182,491	)
EUR	4,226,586	USD	4,880,576	CITI		3/20/2019		(6,706	)
EUR	6,339,880	USD	7,320,874	JPMC		3/20/2019		(10,069	)
GBP	30,718,805	USD	39,478,968	CITI		3/20/2019		(179,002	)
GBP	46,078,196	USD	59,218,514	JPMC		3/20/2019		(268,574	)
HKD	64,501,200	USD	8,266,289	CITI		3/20/2019		(10,366	)
HKD	96,751,800	USD	12,399,449	JPMC		3/20/2019		(15,565	)
ILS	4,859,200	USD	1,317,380	CITI		3/20/2019		(10,055	)
ILS	7,288,800	USD	1,976,071	JPMC		3/20/2019		(15,084	)
NOK	14,486,400	USD	1,704,425	CITI		3/20/2019		(23,331	)
NOK	21,729,600	USD	2,556,641	JPMC		3/20/2019		(34,999	)
NZD	741,200	USD	508,154	CITI		3/20/2019		(9,992	)
NZD	1,111,799	USD	762,231	JPMC		3/20/2019		(14,988	)
USD	21,990,039	CHF	21,638,170	CITI		3/20/2019		(183,733	)
USD	32,985,010	CHF	32,457,248	JPMC		3/20/2019		(275,640	)
USD	4,750,386	DKK	30,851,023	CITI		3/20/2019		(16,293	)
USD	7,125,570	DKK	46,276,534	JPMC		3/20/2019		(24,449	)
USD	48,584,486	EUR	42,343,992	CITI		3/20/2019		(244,302	)
USD	72,876,637	EUR	63,515,987	JPMC		3/20/2019		(366,545	)
USD	7,525,298	GBP	5,922,400	CITI		3/20/2019		(51,499	)

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

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Schedule of Investments December 31, 2018

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CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	11,287,932	GBP	8,883,600	JPMC		3/20/2019		$ (77,263	)
USD	8,446	HKD	66,000	CITI		3/20/2019		(2	)
USD	12,669	HKD	99,000	JPMC		3/20/2019		(3	)
USD	125,723	ILS	470,000	CITI		3/20/2019		(726	)
USD	188,585	ILS	705,000	JPMC		3/20/2019		(1,089	)
USD	18,476,885	JPY	2,061,269,200	CITI		3/20/2019		(445,954	)
USD	27,715,293	JPY	3,091,903,800	JPMC		3/20/2019		(668,965	)
USD	178,438	NOK	1,545,200	CITI		3/20/2019		(877	)
USD	267,657	NOK	2,317,800	JPMC		3/20/2019		(1,316	)
USD	1,825,110	SEK	16,354,000	CITI		3/20/2019		(31,478	)
USD	2,737,661	SEK	24,531,000	JPMC		3/20/2019		(47,220	)
USD	965,123	SGD	1,318,400	CITI		3/20/2019		(3,884	)
USD	1,447,682	SGD	1,977,600	JPMC		3/20/2019		(5,828	)
Total unrealized depreciation								(6,124,769	)
Net unrealized appreciation								$1,086,609

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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Total Return Basket Swaps Outstanding at December 31, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
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 (-0.08% to 0.04%), which is denominated in USD based on the local currencies of the positions within the swap.	61 months maturity 01/19/2022		$12,300		$12,299			$—			$12,299
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 (-0.23% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.	111 months maturity 08/19/2022		$242,998,703		$(1,640,714	)		$(10,129,809	)		$(11,770,523	)

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
Russia
Evraz plc		1,268,597	$	7,768,229	$	380,136			(3.2	)%
South Africa
Anglo American plc		58,766		1,314,047		39,648			(0.3	)
Investec plc		723,107		4,065,109		(1,189,118	)		10.1
Switzerland
IWG plc		654,863		1,742,533		(231,871	)		2.0
United Kingdom
Bellway plc		16,017		513,898		(125,109	)		1.1
BT Group plc		9,109,622		27,698,684		(129,460	)		1.1
Burberry Group plc		827,504		18,171,175		(4,032,742	)		34.3
Centrica plc		6,598,850		11,382,841		(1,036,646	)		8.8
Close Brothers Group plc		196,282		3,602,182		(199,132	)		1.7
Drax Group plc		1,348,878		6,171,006		(357,247	)		3.0
Inchcape plc		824,829		5,804,141		(1,944,407	)		16.5
Indivior plc		2,174,313		3,115,299		(1,120,499	)		9.5
Man Group plc		2,962,172		5,018,824		(1,740,404	)		14.8
Meggitt plc		528,244		3,173,180		(476,301	)		4.0
Moneysupermarket.com Group plc		1,698,905		5,964,811		(510,114	)		4.3

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

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Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom (continued)
National Grid plc		546,815		$	5,349,669		$	(385,815	)		3.3	%
Royal Mail plc		188,633			654,724			(507,594	)		4.3
RPC Group plc		87,872			730,509			(196,956	)		1.7
Smith & Nephew plc		55,150			1,032,334			84,948			(0.7	)
Standard Life Aberdeen plc		339,048			1,110,161			(733,026	)		6.2
Tate & Lyle plc		559,559			4,708,533			(478,196	)		4.1
WH Smith plc		48,159			1,056,444			(166,813	)		1.4
William Hill plc		1,939,969			3,833,252			(3,708,215	)		31.5
Short Positions
Common Stock
Switzerland
Mediclinic International plc		(241,930	)		(993,397	)		78,453			(0.7	)
United Arab Emirates
NMC Health plc		(280,954	)		(9,805,644	)		1,799,565			(15.3	)
United Kingdom
AA plc		(693,485	)		(662,693	)		286,017			(2.4	)
ASOS plc		(232,593	)		(6,752,342	)		6,948,241			(59.0	)
Babcock International Group plc		(734,329	)		(4,580,218	)		1,781,988			(15.1	)
Balfour Beatty plc		(499,007	)		(1,585,152	)		218,133			(1.9	)
Barratt Developments plc		(148,079	)		(873,478	)		35,777			(0.3	)
Capita plc		(863,534	)		(1,237,996	)		56,934			(0.5	)
ConvaTec Group plc		(2,447,394	)		(4,335,072	)		1,798,156			(15.3	)
Halma plc		(40,356	)		(703,019	)		(101,502	)		0.9
Hargreaves Lansdown plc		(184,219	)		(4,344,803	)		(1,001,975	)		8.5
IMI plc		(57,251	)		(689,453	)		40,646			(0.3	)
J Sainsbury plc		(872,760	)		(2,950,367	)		359,604			(3.1	)
John Wood Group plc		(2,725,834	)		(17,537,897	)		4,398,678			(37.4	)
Legal & General Group plc		(328,755	)		(968,634	)		43,673			(0.4	)
Melrose Industries plc		(2,925,423	)		(6,111,516	)		108,191			(0.9	)
Merlin Entertainments plc		(1,870,343	)		(7,575,956	)		990,337			(8.4	)
Micro Focus International plc		(1,569,394	)		(27,493,624	)		(3,828,138	)		32.5
Ocado Group plc		(108,074	)		(1,089,341	)		91,135			(0.8	)
Persimmon plc		(44,821	)		(1,103,753	)		78,196			(0.7	)
Petrofac Ltd.		(94,032	)		(570,788	)		214,203			(1.8	)
Rotork plc		(175,098	)		(552,903	)		62,963			(0.5	)
Sage Group plc (The)		(272,603	)		(2,090,713	)		(23,029	)		0.2
Spirax-Sarco Engineering plc		(8,635	)		(687,311	)		(9,914	)		0.1
St James’s Place plc		(260,355	)		(3,135,668	)		369,532			(3.1	)
Taylor Wimpey plc		(304,218	)		(528,992	)		34,204			(0.3	)
Weir Group plc (The)		(361,941	)		(5,993,473	)		2,853,009			(24.2	)

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

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Schedule of Investments December 31, 2018

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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 (-0.15% 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	$807,447,781		$(20,698,938	)		$(9,589,601	)		$(30,288,539	)

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
Alfresa Holdings Corp.		424,400		$	10,817,795		$	1,522,907			(5.0	)%
Astellas Pharma, Inc.		524,400			6,700,065			(955,000	)		3.2
Bandai Namco Holdings, Inc.		358,700			16,105,359			4,054,801			(13.4	)
Haseko Corp.		1,195,200			12,515,667			(2,530,207	)		8.4
Hitachi Ltd.		350,000			9,278,588			(3,471,807	)		11.5
Idemitsu Kosan Co. Ltd.		338,000			10,994,015			(3,649,205	)		12.0
Inpex Corp.		1,698,700			15,051,874			(5,617,107	)		18.5
Itochu Techno-Solutions Corp.		530,000			10,263,206			1,975,575			(6.5	)
Japan Airlines Co. Ltd.		839,900			29,766,963			(1,657,086	)		5.5
JFE Holdings, Inc.		529,100			8,427,682			(3,315,507	)		10.9
JXTG Holdings, Inc.		3,189,700			16,565,791			(2,716,988	)		9.0
Kajima Corp.		1,070,200			14,376,095			(4,780,278	)		15.8
Marubeni Corp.		906,900			6,363,275			129,169			(0.4	)
Matsumotokiyoshi Holdings Co. Ltd.		311,800			9,586,842			(688,120	)		2.3
Medipal Holdings Corp.		338,900			7,250,493			910,959			(3.0	)
Nippon Telegraph & Telephone Corp.		156,200			6,372,854			(738,959	)		2.4
Obayashi Corp.		1,227,100			11,111,310			(3,760,980	)		12.4
Otsuka Corp.		291,800			8,030,762			(3,140,346	)		10.4
Sega Sammy Holdings, Inc.		632,500			8,817,524			(657,186	)		2.2
Square Enix Holdings Co. Ltd.		381,700			10,390,967			(2,327,193	)		7.7
Taiheiyo Cement Corp.		403,800			12,427,022			(1,964,211	)		6.5
Taisei Corp.		446,000			19,101,470			(2,973,278	)		9.8
Tokyo Electric Power Co. Holdings, Inc.		1,798,600			10,683,751			1,311,367			(4.3	)
Tokyo Gas Co. Ltd.		246,600			6,237,047			(147,626	)		0.5
Tosoh Corp.		810,900			10,518,268			(6,148,468	)		20.3
Short Positions
Common Stock
Japan
Asics Corp.		(564,300	)		(7,166,958	)		1,981,992			(6.5	)
Calbee, Inc.		(336,800	)		(10,519,756	)		1,427,012			(4.7	)
Daifuku Co. Ltd.		(301,300	)		(13,661,097	)		766,824			(2.5	)
Fast Retailing Co. Ltd.		(27,300	)		(13,943,229	)		(1,018,174	)		3.4
Isetan Mitsukoshi Holdings Ltd.		(826,900	)		(9,136,164	)		208,538			(0.7	)
Keikyu Corp.		(495,600	)		(8,098,768	)		1,907,971			(6.3	)

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

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Keio Corp.		(110,200	)	$	(6,412,867	)	$	(1,764,001	)		5.8	%
Kikkoman Corp.		(169,300	)		(9,060,015	)		(2,824,512	)		9.3
Kintetsu Group Holdings Co. Ltd.		(148,700	)		(6,461,475	)		(702,788	)		2.3
M3, Inc.		(714,900	)		(9,630,581	)		3,384,425			(11.2	)
Marui Group Co. Ltd.		(878,800	)		(17,031,070	)		(3,247,365	)		10.7
Nintendo Co. Ltd.		(54,700	)		(14,524,992	)		5,537,214			(18.3	)
Nippon Paint Holdings Co. Ltd.		(449,500	)		(15,315,147	)		428,924			(1.4	)
Odakyu Electric Railway Co. Ltd.		(392,200	)		(8,624,725	)		(608,816	)		2.0
PeptiDream, Inc.		(156,500	)		(6,178,682	)		(31,662	)		0.1
Ricoh Co. Ltd.		(2,225,900	)		(21,751,323	)		(27,242	)		0.1
Shimano, Inc.		(120,300	)		(16,958,371	)		305,900			(1.0	)
Showa Denko KK		(229,300	)		(6,808,952	)		4,083,434			(13.5	)
Sony Financial Holdings, Inc.		(358,700	)		(6,684,945	)		(498,003	)		1.6
Suzuki Motor Corp.		(184,200	)		(9,285,788	)		1,971,377			(6.5	)
T&D Holdings, Inc.		(574,000	)		(6,639,764	)		2,346,997			(7.7	)
TDK Corp.		(134,900	)		(9,443,727	)		3,144,095			(10.4	)
Terumo Corp.		(173,400	)		(9,780,649	)		(53,482	)		0.2
Yamato Holdings Co. Ltd.		(385,600	)		(10,571,856	)		(1,767,186	)		5.8
Yaskawa Electric Corp.		(678,600	)		(16,587,814	)		11,377,566			(37.6	)

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 (-0.08% 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	$64,113,652		$564,939		$(77,772	)		$487,167

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.		3,662,400	$	3,048,927	$	(840,474	)		(172.5	)%
CK Asset Holdings Ltd.		130,000		951,155		29,301			6.0
CLP Holdings Ltd.		61,000		689,355		(9,495	)		(1.9	)
Hang Lung Properties Ltd.		838,000		1,592,808		(75,185	)		(15.4	)
Henderson Land Development Co. Ltd.		224,600		1,117,848		(64,562	)		(13.3	)
Kerry Properties Ltd.		1,825,000		6,228,882		107,518			22.1
Li & Fung Ltd.		9,984,000		1,575,312		(1,438,697	)		(295.3	)
Melco International Development Ltd.		3,475,000		7,046,574		(2,612,492	)		(536.3	)
Power Assets Holdings Ltd.		71,000		493,265		914			0.2
Sino Land Co. Ltd.		950,000		1,627,616		32,287			6.6
Swire Properties Ltd.		253,600		891,060		104,818			21.5
Wheelock & Co. Ltd.		406,000		2,324,336		(132,435	)		(27.2	)

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

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Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)		PERCENTAGE OF SWAP VALUE
Hong Kong (continued)
Yue Yuen Industrial Holdings Ltd.		1,266,000		$	4,052,837		$	506,839		104.0	%
Macau
Wynn Macau Ltd.		224,000			487,618			35,377		7.3
Short Positions
Common Stock
China
Minth Group Ltd.		(1,484,000	)		(4,788,824	)		1,847,108		379.2
Hong Kong
AIA Group Ltd.		(1,307,800	)		(10,863,652	)		433,891		89.1
ASM Pacific Technology Ltd.		(636,000	)		(6,140,063	)		2,503,610		513.9
Hysan Development Co. Ltd.		(88,000	)		(418,474	)		50,265		10.3
MTR Corp. Ltd.		(1,857,376	)		(9,775,046	)		86,351		17.7

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	$71,878,802		$(40,019	)		$(2,550,183	)		$(2,590,202	)

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.		132,063	$	397,526	$	(147,719	)		5.7	%
AGL Energy Ltd.		64,048		930,119		(160,110	)		6.2
Aurizon Holdings Ltd.		1,952,773		5,891,519		(519,838	)		20.1
Brambles Ltd.		89,578		640,899		(37,299	)		1.4
Caltex Australia Ltd.		246,844		4,428,717		(999,541	)		38.6
CIMIC Group Ltd.		218,495		6,681,566		1,547,013			(59.7	)
Harvey Norman Holdings Ltd.		193,915		431,631		(173,550	)		6.7
Newcrest Mining Ltd.		446,373		6,860,340		144,417			(5.6	)
Origin Energy Ltd.		232,980		1,062,769		(497,695	)		19.2
Qantas Airways Ltd.		666,299		2,718,184		94,189			(3.6	)
Santos Ltd.		135,562		522,812		(163,427	)		6.3
Woodside Petroleum Ltd.		267,843		5,899,888		214,657			(8.3	)

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

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Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Australia
AMP Ltd.		(471,277	)	$	(813,551	)	$	610,074			(23.6	) %
APA Group		(451,288	)		(2,703,281	)		(178,526	)		6.9
AusNet Services		(281,932	)		(308,975	)		5,304			(0.2	)
Challenger Ltd.		(954,376	)		(6,380,600	)		1,429,698			(55.2	)
Healthscope Ltd.		(1,995,006	)		(3,135,708	)		(487,253	)		18.8
Ramsay Health Care Ltd.		(73,900	)		(3,005,993	)		355,255			(13.7	)
REA Group Ltd.		(20,670	)		(1,078,401	)		(124,005	)		4.8
SEEK Ltd.		(847,836	)		(10,114,834	)		310,031			(12.0	)
TPG Telecom Ltd.		(526,822	)		(2,389,689	)		(499,848	)		19.3
Transurban Group		(212,950	)		(1,747,794	)		(74,536	)		2.9
Vocus Group Ltd.		(1,655,559	)		(3,734,006	)		(687,310	)		26.5

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 (-0.17% 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 - 01/02/2024	$1,888,827,350		$5,197,284		$(33,738,397	)		$(28,541,113	)

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, Inc.		102,513	$	23,192,541	$	(4,372,425	)		15.3	%
Aflac, Inc.		505,495		23,030,352		173,844			(0.6	)
Allstate Corp. (The)		296,913		24,533,921		(4,400,809	)		15.4
Assured Guaranty Ltd.		416,055		15,926,585		549,193			(1.9	)
Booking Holdings, Inc.		6,985		12,031,104		(1,636,795	)		5.7
Brunswick Corp.		286,902		13,326,598		(4,360,910	)		15.3
Celanese Corp.		172,690		15,536,919		(3,765,645	)		13.2
Cognizant Technology Solutions Corp.		333,590		21,176,293		(5,866,803	)		20.6
Consolidated Edison, Inc.		197,421		15,094,810		(255,785	)		0.9
Electronic Arts, Inc.		228,034		17,994,163		(9,538,595	)		33.4
Exelon Corp.		338,138		15,250,024		1,957,982			(6.9	)
Facebook, Inc.		124,912		16,374,714		(2,985,475	)		10.5
Fidelity National Financial, Inc.		408,566		12,845,315		(2,995,655	)		10.5
Foot Locker, Inc.		369,356		19,649,739		2,073,833			(7.3	)
IAC/InterActiveCorp		85,728		15,691,653		1,752,280			(6.1	)
Intel Corp.		274,820		12,897,303		(250,363	)		0.9
International Business Machines Corp.		222,199		25,257,360		(9,823,159	)		34.4
Intuit, Inc.		114,360		22,511,766		(2,746,724	)		9.6

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

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Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Micron Technology, Inc.		474,517		$	15,056,424		$	(2,079,545	)		7.3	%
Microsoft Corp.		407,550			41,394,854			(3,830,979	)		13.4
NIKE, Inc.		185,774			13,773,284			(1,695,766	)		5.9
Reinsurance Group of America, Inc.		99,213			13,912,639			(1,273,895	)		4.5
Symantec Corp.		833,166			15,742,672			(812,365	)		2.8
Short Positions
Common Stock
United States
Albemarle Corp.		(307,517	)		(23,700,335	)		6,072,386			(21.3	)
Allegheny Technologies, Inc.		(735,919	)		(16,020,957	)		3,028,819			(10.6	)
CarMax, Inc.		(259,944	)		(16,306,287	)		66,932			(0.2	)
Charles Schwab Corp. (The)		(293,646	)		(12,195,118	)		3,249,963			(11.4	)
Colony Capital, Inc.		(3,196,140	)		(14,957,935	)		3,680,402			(12.9	)
Cree, Inc.		(377,662	)		(16,154,492	)		(1,025,753	)		3.6
Dunkin’ Brands Group, Inc.		(261,704	)		(16,780,460	)		(928,405	)		3.3
First Data Corp.		(2,654,165	)		(44,881,930	)		(4,241,291	)		14.9
FNB Corp.		(1,201,987	)		(11,827,552	)		3,828,193			(13.4	)
Global Payments, Inc.		(215,403	)		(22,214,511	)		2,106,037			(7.4	)
IHS Markit Ltd.		(305,619	)		(14,660,543	)		379,491			(1.3	)
Kraft Heinz Co. (The)		(312,950	)		(13,469,368	)		4,680,937			(16.4	)
Macquarie Infrastructure Corp.		(557,946	)		(20,398,506	)		1,951,062			(6.8	)
McCormick & Co., Inc. (Non-Voting)		(155,640	)		(21,671,314	)		(4,742,199	)		16.6
New York Community Bancorp, Inc.		(1,649,889	)		(15,525,455	)		2,325,853			(8.1	)
Newell Brands, Inc.		(644,808	)		(11,986,981	)		734,783			(2.6	)
Post Holdings, Inc.		(279,756	)		(24,934,652	)		(2,470,245	)		8.7
PPL Corp.		(586,949	)		(16,628,265	)		(516,850	)		1.8
Sempra Energy		(186,842	)		(20,214,436	)		831,190			(2.9	)
Sterling Bancorp		(1,316,098	)		(21,728,778	)		7,494,582			(26.3	)
Tesla, Inc.		(90,749	)		(30,201,267	)		(6,549,115	)		22.9
TreeHouse Foods, Inc.		(238,516	)		(12,095,146	)		(2,076,332	)		7.3
Under Armour, Inc.		(663,025	)		(11,715,652	)		871,833			(3.1	)
United Bankshares, Inc.		(410,291	)		(12,764,153	)		1,325,249			(4.6	)
Uniti Group, Inc.		(1,325,198	)		(20,633,333	)		2,163,906			(7.6	)
Universal Display Corp.		(162,425	)		(15,198,107	)		4,439,587			(15.6	)
VEREIT, Inc.		(3,823,099	)		(27,335,158	)		(980,751	)		3.4

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

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Schedule of Investments December 31, 2018

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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(-0.50% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.	1-61 months maturity ranging from 01/10/2019 - 12/13/2023	$278,714,694		$2,004,189		$(10,349,925	)		$(8,345,736	)

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
France
Alstom SA		9,173		$	370,538		$	(37,960	)		0.5	%
Arkema SA		9,932			852,644			(348,668	)		4.2
Atos SE		125,931			10,318,235			(5,600,713	)		67.1
AXA SA		40,158			866,686			(180,970	)		2.2
Capgemini SE		49,187			4,892,388			(993,689	)		11.9
Cie Generale des Etablissements Michelin SCA		111,911			11,015,064			(3,956,231	)		47.4
CNP Assurances		95,990			2,037,534			(239,895	)		2.9
Engie SA		2,337,226			33,581,114			(3,687,016	)		44.2
Eutelsat Communications SA		150,164			2,958,405			(318,475	)		3.8
Hermes International		3,215			1,786,128			(249,728	)		3.0
Peugeot SA		692,702			14,773,819			(1,871,291	)		22.4
Sanofi		4,796			416,053			(16,873	)		0.2
Sartorius Stedim Biotech		4,593			459,848			(52,179	)		0.6
Teleperformance		52,261			8,360,186			(113,797	)		1.4
Thales SA		96,654			11,294,715			(110,347	)		1.3
TOTAL SA		434,525			22,919,075			(2,464,597	)		29.5
Luxembourg
SES SA		606,156			11,605,534			(1,283,851	)		15.4
Short Positions
Common Stock
France
Accor SA		(136,095	)		(5,787,358	)		1,108,805			(13.3	)
Air France-KLM		(793,001	)		(8,611,785	)		(614,204	)		7.4
Altran Technologies SA		(673,161	)		(5,410,280	)		365,932			(4.4	)
Bollore SA		(1,141,235	)		(4,575,505	)		1,173,453			(14.1	)
Bollore SA		(3,946	)		(15,507	)		(15,683	)		0.2
Edenred		(71,499	)		(2,633,234	)		(853,263	)		10.2
Electricite de France SA		(609,341	)		(9,643,959	)		(2,466,981	)		29.6
Elior Group SA		(52,816	)		(790,294	)		(50,418	)		0.6
Iliad SA		(171,318	)		(24,043,201	)		6,438,475			(77.1	)
Imerys SA		(7,351	)		(353,273	)		55,077			(0.7	)
Ingenico Group SA		(241,869	)		(13,720,614	)		5,032,091			(60.3	)
JCDecaux SA		(114,579	)		(3,219,117	)		484,961			(5.8	)
Orpea		(29,569	)		(3,020,134	)		492,587			(5.9	)
Remy Cointreau SA		(21,944	)		(2,487,321	)		349,479			(4.2	)

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

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Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
SEB SA		(6,661	)	$	(860,865	)	$	2,769			(0.0	) %
Suez		(591,034	)		(7,820,952	)		230,763			(2.8	)
Technicolor SA (Registered)		(222,435	)		(243,078	)		31,024			(0.4	)
Valeo SA		(674,913	)		(19,684,239	)		7,802,447			(93.5	)
Vivendi SA		(654,291	)		(15,858,260	)		(35,664	)		0.4
Luxembourg
Eurofins Scientific SE		(30,598	)		(11,427,752	)		3,998,819			(47.9	)

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 (-2.63% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	12-24 months maturity 12/17/2019	$541,934,588		$(13,274,264	)		$2,289,566		$(10,984,698	)

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		422,542	$	19,020,999	$	(1,258,622	)		11.5	%
UCB SA		212,869		17,386,420		872,585			(7.9	)
Finland
Fortum OYJ		177,427		3,883,765		98,175			(0.9	)
Neste OYJ		377,940		29,261,102		3,745,239			(34.1	)
UPM-Kymmene OYJ		379,888		9,616,419		(2,804,612	)		25.5
Germany
Allianz SE (Registered)		38,226		7,681,718		(617,230	)		5.6
Aurubis AG		72,993		3,616,970		(2,505,753	)		22.8
Covestro AG		500,966		24,810,089		(23,350,807	)		212.6
Deutsche Lufthansa AG (Registered)		989,819		22,353,633		(8,448,283	)		76.9
Rheinmetall AG		100,914		8,948,941		(3,495,828	)		31.8
Salzgitter AG		141,571		4,131,506		(3,188,133	)		29.0
Software AG		196,518		7,099,279		(2,961,811	)		27.0
Talanx AG		81,052		2,767,830		(414,278	)		3.8
Wirecard AG		121,965		18,386,500		(6,679,329	)		60.8
Netherlands
ASM International NV		94,332		3,889,429		(2,270,993	)		20.7
ASR Nederland NV		273,879		10,837,108		122,937			(1.1	)
Koninklijke Ahold Delhaize NV		1,325,297		33,479,920		4,307,240			(39.2	)
NN Group NV		195,468		7,771,533		(432,909	)		3.9
Signify NV		436,847		10,219,391		(5,862,764	)		53.4

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

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Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Spain
Acerinox SA		286,772		$	2,843,162		$	(1,036,777	)		9.4	%
Amadeus IT Group SA		106,977			7,443,201			234,716			(2.1	)
Banco Bilbao Vizcaya Argentaria SA		648,668			3,445,607			(251,572	)		2.3
CaixaBank SA		1,288,736			4,667,075			(778,523	)		7.1
Endesa SA		1,126,217			25,971,324			3,990,252			(36.3	)
Mapfre SA		2,757,627			7,324,020			(1,373,366	)		12.5
Short Positions
Common Stock
Belgium
Anheuser-Busch InBev SA/NV		(348,481	)		(22,957,591	)		10,363,901			(94.3	)
Umicore SA		(72,987	)		(2,912,548	)		801,342			(7.3	)
Finland
Huhtamaki OYJ		(132,653	)		(4,104,745	)		852,899			(7.8	)
Orion OYJ		(75,985	)		(2,643,438	)		(393,465	)		3.6
Outokumpu OYJ		(1,426,844	)		(5,201,040	)		2,253,023			(20.5	)
Germany
1&1 Drillisch AG		(103,024	)		(5,261,572	)		(529,062	)		4.8
Continental AG		(40,532	)		(5,643,512	)		803,535			(7.3	)
Daimler AG (Registered)		(225,693	)		(11,897,390	)		1,791,158			(16.3	)
Deutsche Bank AG (Registered)		(2,414,475	)		(19,255,891	)		8,821,249			(80.3	)
Fielmann AG		(45,698	)		(2,829,920	)		1,062,971			(9.7	)
GEA Group AG		(279,885	)		(7,205,829	)		4,671,402			(42.5	)
Infineon Technologies AG		(479,785	)		(9,606,098	)		227,139			(2.1	)
OSRAM Licht AG		(282,210	)		(12,281,385	)		(478,864	)		4.4
thyssenkrupp AG		(153,443	)		(2,635,837	)		961,203			(8.8	)
Zalando SE		(203,860	)		(5,267,430	)		4,555,603			(41.5	)
Netherlands
ASML Holding NV		(18,329	)		(2,871,414	)		145,072			(1.3	)
Boskalis Westminster		(310,731	)		(7,712,234	)		1,487,501			(13.5	)
OCI NV		(198,082	)		(4,045,205	)		132,354			(1.2	)
SBM Offshore NV		(542,055	)		(8,009,108	)		540,475			(4.9	)
Spain
Bankia SA		(4,600,294	)		(13,459,634	)		6,431,626			(58.6	)
Cellnex Telecom SA		(511,777	)		(13,087,927	)		(1,064,507	)		9.7
Ferrovial SA		(485,969	)		(9,842,186	)		(191,740	)		1.7
Grifols SA		(589,481	)		(15,474,942	)		403,910			(3.7	)
Industria de Diseno Textil SA		(244,857	)		(6,249,900	)		1,235,948			(11.3	)
United States
QIAGEN NV		(439,015	)		(15,001,475	)		(1,515,343	)		13.8

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

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129

Schedule of Investments December 31, 2018

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.	14-24 months maturity 02/12/2020	$99,203,673		$6,419,470		$(184,541	)		$6,234,929

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		54,600		$	5,808,300		$	(165,919	)		(2.7	)%
DSV A/S		33,074			2,184,288			(374,474	)		(6.0	)
GN Store Nord A/S		417,114			15,628,852			2,619,893			42.0
H Lundbeck A/S		245,369			10,799,396			(477,316	)		(7.7	)
Novo Nordisk A/S		155,976			7,163,523			(180,248	)		(2.9	)
Orsted A/S		120,349			8,053,490			1,184,517			19.0
Rockwool International A/S		1,108			289,746			(1,433	)		(0.0	)
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(19,068	)		(23,986,249	)		3,902,046			62.6
Chr Hansen Holding A/S		(8,345	)		(740,758	)		(41,285	)		(0.7	)
Genmab A/S		(146,477	)		(24,083,827	)		(11,115	)		(0.2	)
Vestas Wind Systems A/S		(6,146	)		(465,244	)		(35,196	)		(0.6	)

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

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Schedule of Investments December 31, 2018

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(-1.38% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap.	5-15 months maturity 05/10/2019	$93,803,892		$31,306,016		$2,726,876		$34,032,892

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)		157,541		$	7,404,807		$	(4,068,442	)		(12.0	)%
Barry Callebaut AG (Registered)		415			647,675			(160,595	)		(0.5	)
GAM Holding AG		94,401			372,232			(284,293	)		(0.8	)
Georg Fischer AG (Registered)		4,547			3,647,968			(2,391,057	)		(7.0	)
Helvetia Holding AG (Registered)		2,746			1,605,894			(17,995	)		(0.1	)
Roche Holding AG		17,978			4,463,198			308,543			0.9
Sonova Holding AG (Registered)		26,634			4,379,861			(479,469	)		(1.4	)
Sunrise Communications Group AG		8,963			789,132			41,885			0.1
Swiss Life Holding AG (Registered)		24,629			9,506,048			928,546			2.7
Zurich Insurance Group AG		15,950			4,754,517			(210,613	)		(0.6	)
Short Positions
Common Stock
Austria
ams AG		(558,675	)		(13,453,032	)		25,115,992			73.8
Switzerland
Chocoladefabriken Lindt & Spruengli AG		(1,053	)		(6,543,203	)		(504,513	)		(1.5	)
Credit Suisse Group AG (Registered)		(1,596,991	)		(17,457,810	)		9,423,342			27.7
DKSH Holding AG		(11,133	)		(769,726	)		117,984			0.3
Lonza Group AG (Registered)		(26,169	)		(6,802,759	)		1,028,088			3.0
Panalpina Welttransport Holding AG (Registered)		(2,147	)		(286,400	)		(7,340	)		(0.0	)
Vifor Pharma AG		(100,350	)		(10,919,630	)		2,465,953			7.2

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

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Schedule of Investments December 31, 2018

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	$59,767,283		$3,064,909		$275,181		$3,340,090

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		699,735		$	14,842,876		$	(2,436,325	)		(72.9	)%
Leroy Seafood Group ASA		916,797			6,977,270			2,020,194			60.5
Marine Harvest ASA		318,231			6,707,515			1,025,039			30.7
Norsk Hydro ASA		349,391			1,583,112			(514,577	)		(15.4	)
Orkla ASA		35,289			276,310			(28,737	)		(0.9	)
Salmar ASA		191,407			9,493,556			2,270,582			68.0
Telenor ASA		71,942			1,397,135			30,423			0.9
Short Positions
Common Stock
Norway
Gjensidige Forsikring ASA		(67,031	)		(1,048,619	)		35,888			1.1
Schibsted ASA		(162,989	)		(5,475,990	)		(1,038,604	)		(31.1	)
Yara International ASA		(187,590	)		(7,231,474	)		151,942			4.5
United Kingdom
Subsea 7 SA		(485,751	)		(4,733,426	)		1,549,084			46.4

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

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Schedule of Investments December 31, 2018

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 (-0.50% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap.	14-24 months maturity 02/12/2020	$136,777,091		$(28,293,127	)		$(3,333,277	)		$(31,626,404	)

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		797,206		$	7,328,477		$	(3,485,900	)		11.0	%
Sweden
Boliden AB		579,167			12,549,980			(5,311,266	)		16.8
Electrolux AB		379,062			7,990,146			(2,153,992	)		6.8
Elekta AB		226,814			2,693,220			(422,205	)		1.3
Essity AB		337,978			8,307,999			(152,920	)		0.5
SSAB AB		442,108			1,524,755			(896,375	)		2.8
Swedish Match AB		177,382			6,983,074			(1,247,853	)		3.9
Swedish Orphan Biovitrum AB		606,940			13,266,572			(2,190,084	)		6.9
Telia Co. AB		494,459			2,352,088			(11,542	)		0.0
Volvo AB		456,973			5,983,632			(1,985,698	)		6.3
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(80,828	)		(5,114,453	)		18,294			(0.1	)
Sweden
Getinge AB		(735,150	)		(6,647,696	)		1,694,722			(5.4	)
Hexpol AB		(52,490	)		(416,573	)		36,818			(0.1	)
Svenska Handelsbanken AB		(1,368,335	)		(15,223,652	)		1,214,298			(3.8	)
Telefonaktiebolaget LM Ericsson		(4,563,368	)		(40,394,774	)		(13,399,424	)		42.4

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

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Schedule of Investments December 31, 2018

AQR LONG-SHORT EQUITY FUND

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

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
BARC
Cash		$—			$64,619,449		$64,619,449
U.S. Treasury Bills		—			39,851,404		39,851,404
CITI
Cash		3,940,683			—		3,940,683
DTBK
Cash		109,811,895			—		109,811,895
GSIN
U.S. Treasury Bills		209,496,644			—		209,496,644
JPMC
Investment Companies		33,049,681			—		33,049,681
MSIP
Cash		(1,940,000	)		—		(1,940,000	)
U.S. Treasury Bills		79,779,739			—		79,779,739

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

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134

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 114.5%
COMMON STOCKS - 1.2%
Israel - 0.0% (a)
Wix.com Ltd. (1)*(b)		3,862	$	348,893
United States - 1.2%
BioMarin Pharmaceutical, Inc. (1)*(b)		11,637		990,891
Black Hills Corp. (1)		143,079		8,982,499
Booking Holdings, Inc. (1)*(b)		1,265		2,178,860
Expedia Group, Inc. (1)(b)		1,676		188,801
FireEye, Inc. (1)*		1,041		16,875
Genworth Financial, Inc., Class A (1)*		328,165		1,529,249
Guidewire Software, Inc. (1)*(b)		1,368		109,755
Illumina, Inc. (1)*(b)		4,435		1,330,190
Intrexon Corp. (1)*(b)		14,660		95,876
Jazz Pharmaceuticals plc (1)*(b)		2,099		260,192
NRG Energy, Inc. (1)		1,503		59,519
Oil States International, Inc. (1)*(b)		3,586		51,208
Panera Bread Co., Class A (3)*(c)(d)		38,740		428,775
Q2 Holdings, Inc. (1)*		3,273		162,177
RH (1)*		2,418		289,725
Starwood Property Trust, Inc., REIT (1)(b)		8,776		172,975
Tesla, Inc. (1)*(b)		257		85,530
			16,933,097
TOTAL COMMON STOCKS (Cost $14,692,289)				17,281,990
CONVERTIBLE PREFERRED STOCKS - 10.5%
China - 5.1%
Mandatory Exchangeable Trust $100 par, 5.75%, 6/1/2019 (b)(e)		485,168		74,875,977
United States - 5.4%
2017 Mandatory Exchangeable Trust $100 par, 5.19%, 12/1/2020 (b)(e)		25,225		2,878,634
Assurant, Inc. Series D, $100 par, 6.50%, 3/15/2021 (b)		23,600		2,312,913
CenterPoint Energy, Inc. Series B, $50 par, 7.00%, 9/1/2021 (b)		122,675		6,173,006
Fortive Corp. Series A, $1,000 par, 5.00%, 7/1/2021 (b)		3,475		3,156,169
NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 *(b)(f)(g)		3,766		3,832,423
Post Holdings, Inc. $100 par, 2.50%, 12/31/2049 (b)(f)		244,502		40,371,363
QTS Realty Trust, Inc., REIT Series B, $100 par, 6.50%, 12/31/2049 (b)(f)		7,650		721,869
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (b)		35,625		1,793,940
Sempra Energy Series A, $100 par, 6.00%, 1/15/2021 (b)		33,975		3,260,469
South Jersey Industries, Inc. $50 par, 7.25%, 4/15/2021 (b)		16,500		764,445
Welltower, Inc., REIT Series I, $50 par, 6.50%, 12/31/2049 (b)(f)		221,875		13,991,105
			79,256,336
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $131,266,570)				154,132,313

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS - 0.0% (a)
United States - 0.0% (a)
SunEdison, Inc.
2.00%, 10/1/2018 (3)(c)(d)(h)	$	5,950,000	$	132,437
2.75%, 1/1/2021 (3)(c)(d)(h)		4,925,000		109,622
TOTAL CORPORATE BONDS (Cost $15,555,747)				242,059
CONVERTIBLE BONDS - 20.5%
Argentina - 0.3%
MercadoLibre, Inc. 2.00%, 8/15/2028 (b)(e)		4,300,000		3,870,000
Canada - 0.4%
Element Fleet Management Corp.
5.13%, 6/30/2019 (b)(e)		1,022,000		739,999
4.25%, 6/30/2020 (b)		6,521,000		4,598,661
Tilray, Inc. 5.00%, 10/1/2023 (b)(e)		1,425,000		1,010,040
			6,348,700
France - 0.5%
AXA SA 7.25%, 5/15/2021 (b)(e)		8,825,000		7,694,791
Germany - 0.2%
Deutsche Bank AG
1.00%, 5/1/2023 (b)		3,250,000		2,836,665
Ivory Coast - 0.0% (a)
Endeavour Mining Corp.
3.00%, 2/15/2023 (b)(e)		625,000		605,063
Monaco - 0.1%
Scorpio Tankers, Inc. 3.00%, 5/15/2022 (b)		1,025,000		805,842
Norway - 0.2%
Ship Finance International Ltd. 5.75%, 10/15/2021 (b)		3,600,000		3,344,479
United States - 18.8%
Acorda Therapeutics, Inc. 1.75%, 6/15/2021 (b)		2,425,000		2,006,392
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (b)		6,750,000		11,323,881
AMAG Pharmaceuticals, Inc. 3.25%, 6/1/2022		2,450,000		2,239,699
Apollo Commercial Real Estate Finance, Inc., REIT 4.75%, 8/23/2022 (b)		1,350,000		1,263,990
5.38%, 10/15/2023 (b)		1,925,000		1,843,748
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024		1,775,000		1,692,049
Atlassian, Inc. 0.63%, 5/1/2023 (b)(e)		7,325,000		9,286,305
Benefitfocus, Inc. 1.25%, 12/15/2023 (b)(e)		800,000		849,738
Blackstone Mortgage Trust, Inc., REIT 4.38%, 5/5/2022		1,700,000		1,654,280

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

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Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 18.8% (continued)
4.75%, 3/15/2023 (b)	$	2,300,000	$	2,235,200
Caesars Entertainment Corp. 5.00%, 10/1/2024 (b)		8,625,000		10,705,919
CalAmp Corp. 2.00%, 8/1/2025 (b)(e)		2,075,000		1,595,156
Chesapeake Energy Corp. 5.50%, 9/15/2026 (b)(i)		8,425,000		6,780,962
Citrix Systems, Inc. 0.50%, 4/15/2019 (b)		625,000		887,416
Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (b)		1,300,000		1,445,856
Clovis Oncology, Inc. 1.25%, 5/1/2025 (b)		925,000		647,337
Cree, Inc. 0.88%, 9/1/2023 (b)(e)		3,150,000		3,047,836
DexCom, Inc. 0.75%, 12/1/2023 (b)(e)		5,500,000		5,555,303
Envestnet, Inc. 1.75%, 6/1/2023 (b)(e)		700,000		698,594
EZCORP, Inc. 2.13%, 6/15/2019 (b)(i)		2,500,000		2,433,695
FireEye, Inc. 0.88%, 6/1/2024 (b)(e)		2,700,000		2,707,808
Five9, Inc. 0.13%, 5/1/2023 (b)(e)		525,000		639,760
FTI Consulting, Inc. 2.00%, 8/15/2023 (b)(e)		1,350,000		1,286,719
Gannett Co., Inc. 4.75%, 4/15/2024 (b)(e)		2,250,000		2,184,815
Gogo, Inc. 6.00%, 5/15/2022 (b)(e)		1,325,000		1,150,498
Herbalife Nutrition Ltd. 2.63%, 3/15/2024 (b)(e)		1,425,000		1,598,386
Hope Bancorp, Inc. 2.00%, 5/15/2038 (b)(e)		2,450,000		2,054,803
Huron Consulting Group, Inc. 1.25%, 10/1/2019 (b)		3,000,000		2,939,670
Illumina, Inc. 0.00%, 6/15/2019 (b)		50,000		60,980
Infinera Corp. 2.13%, 9/1/2024 (b)		2,225,000		1,610,455
Innoviva, Inc. 2.13%, 1/15/2023 (b)		2,175,000		2,350,359
Inphi Corp. 1.13%, 12/1/2020 (b)		236,000		247,602
0.75%, 9/1/2021 (b)		4,500,000		4,159,989
Intrexon Corp. 3.50%, 7/1/2023 (b)		2,025,000		1,412,373
Ironwood Pharmaceuticals, Inc. 2.25%, 6/15/2022 (b)		2,575,000		2,407,375
iStar, Inc., REIT 3.13%, 9/15/2022		575,000		518,098
KBR, Inc. 2.50%, 11/1/2023 (b)(e)		2,950,000		2,622,689
Liberty Media Corp. 2.13%, 3/31/2048 (b)(e)		1,275,000		1,192,278
2.25%, 12/1/2048 (b)(e)		2,950,000		2,911,541
Ligand Pharmaceuticals, Inc. 0.75%, 5/15/2023 (b)(e)		675,000		597,719
Medicines Co. (The) 2.50%, 1/15/2022 (b)		550,000		471,868
Microchip Technology, Inc. 2.25%, 2/15/2037 (b)		10,865,000		10,653,861
Micron Technology, Inc. Series F, 2.13%, 2/15/2033 (b)		6,725,000		19,447,294
MongoDB, Inc. 0.75%, 6/15/2024 (b)(e)		2,700,000		3,716,294

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 18.8% (continued)
Novellus Systems, Inc. 2.63%, 5/15/2041 (b)	$	13,275,000	$	54,743,418
Omeros Corp. 6.25%, 11/15/2023 (b)(e)		1,575,000		1,372,487
Palo Alto Networks, Inc. 0.00%, 7/1/2019 (b)		900,000		1,527,328
0.75%, 7/1/2023 (b)(e)		6,525,000		6,453,153
PRA Group, Inc. 3.50%, 6/1/2023 (b)		325,000		273,796
Prospect Capital Corp. 4.95%, 7/15/2022 (b)		3,025,000		2,892,889
Pure Storage, Inc. 0.13%, 4/15/2023 (b)(e)		2,000,000		1,857,600
Redwood Trust, Inc., REIT 4.75%, 8/15/2023		2,750,000		2,519,569
5.63%, 7/15/2024 (b)		1,900,000		1,783,380
RH 0.00%, 7/15/2020 (b)		100,000		116,005
0.00%, 6/15/2023 (b)(e)		3,900,000		3,469,896
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (b)		5,575,000		4,896,244
Splunk, Inc. 0.50%, 9/15/2023 (b)(e)		4,900,000		4,867,459
1.13%, 9/15/2025 (b)(e)		4,650,000		4,575,456
Square, Inc. 0.38%, 3/1/2022 (b)		5,440,000		13,293,765
0.50%, 5/15/2023 (b)(e)		3,800,000		3,954,284
SunEdison, Inc. 0.25%, 1/15/2020 (3)(c)(d)(h)		8,325,000		185,300
Teradyne, Inc. 1.25%, 12/15/2023 (b)		1,900,000		2,252,688
Tesla, Inc. 2.38%, 3/15/2022		300,000		364,002
TTM Technologies, Inc. 1.75%, 12/15/2020 (b)		5,725,000		6,641,000
Twitter, Inc. 0.25%, 6/15/2024 (b)(e)		8,225,000		7,168,277
Vector Group Ltd. 2.50%, 1/15/2019 (b)(j)		1,525,000		1,564,650
1.75%, 4/15/2020 (b)(j)		1,075,000		1,078,357
Wayfair, Inc. 1.13%, 11/1/2024 (b)(e)		5,300,000		5,382,887
Weatherford International Ltd. 5.88%, 7/1/2021 (b)		5,350,000		3,354,150
Zillow Group, Inc. 1.50%, 7/1/2023 (b)		2,400,000		2,061,646
				275,786,276
TOTAL CONVERTIBLE BONDS (Cost $286,750,510)				301,291,816
		SHARES
SHORT-TERM INVESTMENTS - 82.3%
INVESTMENT COMPANIES - 76.6%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (1)(k)		2,015,527		2,015,527
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (1)(k)		8,062,110		8,062,110

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

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INVESTMENTS	SHARES			VALUE
INVESTMENT COMPANIES - 76.6% (continued)
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (1)(k)		316,117,612		$	316,117,612
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(k)(l)		257,133,757			257,133,757
Limited Purpose Cash Investment Fund, 2.50% (1)(k)(m)		533,760,562			533,760,562
UBS Select Treasury Preferred Fund, Class I, 2.34% (1)(k)		10,077,700			10,077,700
TOTAL INVESTMENT COMPANIES(Cost $1,127,029,924)					1,127,167,268
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 5.7%
U.S. Treasury Bills
2.16%, 1/24/2019 (n)	$	13,146,000			13,127,663
2.18%, 1/31/2019 (n)		19,610,000			19,573,826
2.20%, 2/7/2019 (n)		1,445,000			1,441,584
2.21%, 2/21/2019 (n)		12,084,000			12,044,349
2.23%, 2/28/2019 (n)		3,953,000			3,938,096
2.35%, 3/28/2019 (n)(o)		3,609,000			3,588,794
2.36%, 4/4/2019 (n)(p)		8,767,000			8,712,641
2.46%, 4/25/2019 (n)(p)		1,782,000			1,768,541
2.50%, 5/16/2019 (n)(o)		15,074,000			14,937,726
2.49%, 5/23/2019 (n)(o)		1,172,000			1,160,857
2.51%, 5/30/2019 (n)(p)		3,908,000			3,869,019
TOTAL U.S. TREASURY OBLIGATIONS (Cost $84,164,720)					84,163,096
TOTAL SHORT-TERM INVESTMENTS (Cost $1,211,194,644)					1,211,330,364
TOTAL LONG POSITIONS (Cost $1,659,459,760)					1,684,278,542
		SHARES
SHORT POSITIONS - (22.4)%
COMMON STOCKS - (21.4)%
Argentina - (0.1)%
MercadoLibre, Inc. (1)*		(6,885	)		(2,016,272	)
China - (5.0)%
Alibaba Group Holding Ltd., ADR (1)*		(528,174	)		(72,396,810	)
Ivory Coast - 0.0% (a)
Endeavour Mining Corp. (1)*		(12,289	)		(201,096	)
Monaco - 0.0% (a)
Scorpio Tankers, Inc. (1)		(115,630	)		(203,509	)
Norway - 0.0% (a)
Ship Finance International Ltd. (1)		(37,929	)		(399,392	)
United States - (16.3)%
Acorda Therapeutics, Inc. (1)*		(10,826	)		(168,669	)
Allegheny Technologies, Inc. (1)*		(406,028	)		(8,839,230	)
AMAG Pharmaceuticals, Inc. (1)*		(43,641	)		(662,907	)

INVESTMENTS	SHARES			VALUE
United States - (16.3)% (continued)
Apollo Commercial Real Estate Finance, Inc., REIT (1)		(28,856	)	$	(480,741	)
Assurant, Inc. (1)		(18,279	)		(1,634,874	)
Atlas Air Worldwide Holdings, Inc. (1)*		(17,305	)		(730,098	)
Atlassian Corp. plc, Class A (1)*		(66,599	)		(5,925,979	)
AXA Equitable Holdings, Inc. (1)		(328,731	)		(5,466,797	)
BioMarin Pharmaceutical, Inc. (1)*		(165	)		(14,050	)
Black Hills Corp. (1)		(143,079	)		(8,982,499	)
Blackstone Mortgage Trust, Inc., Class A, REIT (1)		(29,692	)		(945,987	)
Caesars Entertainment Corp. (1)*		(767,271	)		(5,209,770	)
CalAmp Corp. (1)*		(26,321	)		(342,436	)
CenterPoint Energy, Inc. (1)		(141,811	)		(4,003,325	)
Chesapeake Energy Corp. (1)*		(393,324	)		(825,980	)
Citrix Systems, Inc. (1)		(8,604	)		(881,566	)
Cleveland-Cliffs, Inc. (1)*		(126,200	)		(970,478	)
Clovis Oncology, Inc. (1)*		(4,129	)		(74,157	)
Cree, Inc. (1)*		(28,626	)		(1,224,477	)
DexCom, Inc. (1)*		(18,638	)		(2,232,832	)
Envestnet, Inc. (1)*		(5,431	)		(267,151	)
FireEye, Inc. (1)*		(70,388	)		(1,140,990	)
Five9, Inc. (1)*		(9,953	)		(435,145	)
Fortive Corp. (1)		(33,271	)		(2,251,116	)
FTI Consulting, Inc. (1)*		(6,325	)		(421,498	)
Gannett Co., Inc. (1)		(76,067	)		(648,852	)
Gogo, Inc. (1)*		(66,821	)		(199,795	)
Herbalife Nutrition Ltd. (1)*		(16,795	)		(990,065	)
Hope Bancorp, Inc. (1)		(15,117	)		(179,288	)
Huron Consulting Group, Inc. (1)*		(2,629	)		(134,894	)
Illumina, Inc. (1)*		(2,165	)		(649,349	)
Infinera Corp. (1)*		(111,540	)		(445,045	)
Innoviva, Inc. (1)*		(71,511	)		(1,247,867	)
Inphi Corp. (1)*		(34,238	)		(1,100,752	)
Ironwood Pharmaceuticals, Inc. (1)*		(75,826	)		(785,557	)
iStar, Inc., REIT (1)		(9,599	)		(88,023	)
KBR, Inc. (1)		(48,564	)		(737,202	)
Lam Research Corp. (1)		(405,606	)		(55,231,368	)
Ligand Pharmaceuticals, Inc. (1)*		(1,304	)		(176,953	)
Live Nation Entertainment, Inc. (1)*		(11,851	)		(583,662	)
Medicines Co. (The) (1)*		(7,560	)		(144,698	)
Microchip Technology, Inc. (1)		(116,767	)		(8,397,883	)
Micron Technology, Inc. (1)*		(609,056	)		(19,325,346	)
MongoDB, Inc. (1)*		(32,092	)		(2,687,384	)
NCR Corp. (1)*		(89,960	)		(2,076,277	)
New York Times Co. (The), Class A (1)		(103,031	)		(2,296,561	)
NRG Energy, Inc. (1)		(1,503	)		(59,519	)
Omeros Corp. (1)*		(35,229	)		(392,451	)
Palo Alto Networks, Inc. (1)*		(19,512	)		(3,675,085	)
Post Holdings, Inc. (1)*		(435,954	)		(38,856,579	)
PRA Group, Inc. (1)*		(3,585	)		(87,367	)
Prospect Capital Corp. (1)		(7,580	)		(47,830	)
Pure Storage, Inc., Class A (1)*		(40,343	)		(648,715	)
Q2 Holdings, Inc. (1)*		(3,273	)		(162,177	)
QTS Realty Trust, Inc., Class A, REIT (1)		(8,784	)		(325,447	)
Redwood Trust, Inc., REIT (1)		(77,715	)		(1,171,165	)
Rexnord Corp. (1)*		(58,131	)		(1,334,107	)
RH (1)*		(13,437	)		(1,610,021	)

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

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Consolidated Schedule of Investments December 31, 2018

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INVESTMENTS	SHARES			VALUE
United States - (16.3)% (continued)
SEACOR Holdings, Inc. (1)*		(30,690	)	$	(1,135,530	)
Sempra Energy (1)		(19,844	)		(2,146,922	)
Sirius XM Holdings, Inc. (1)		(40,541	)		(231,489	)
South Jersey Industries, Inc. (1)		(19,576	)		(544,213	)
Splunk, Inc. (1)*		(35,682	)		(3,741,258	)
Square, Inc., Class A (1)*		(249,463	)		(13,992,379	)
Starwood Property Trust, Inc., REIT (1)		(7,184	)		(141,597	)
Teradyne, Inc. (1)		(40,344	)		(1,265,995	)
Tesla, Inc. (1)*		(916	)		(304,845	)
TTM Technologies, Inc. (1)*		(410,744	)		(3,996,539	)
Twitter, Inc. (1)*		(68,646	)		(1,972,886	)
Vector Group Ltd. (1)		(3,314	)		(32,245	)
Voya Financial, Inc. (1)		(13,728	)		(551,042	)
Wayfair, Inc., Class A (1)*		(31,417	)		(2,830,043	)
Welltower, Inc., REIT (1)		(74,420	)		(5,165,492	)
Zillow Group, Inc., Class C (1)*		(9,363	)		(295,684	)
					(238,978,195	)
TOTAL COMMON STOCKS(Proceeds $(286,707,540))					(314,195,274	)
		PRINCIPAL AMOUNT
CONVERTIBLE BONDS - (1.0)%
Israel - (0.1)%
Wix.com Ltd. 0.00%, 7/1/2023 (e)	$	(975,000	)		(922,534	)
United States - (0.9)%
BioMarin Pharmaceutical, Inc. 1.50%, 10/15/2020		(850,000	)		(945,625	)
0.60%, 8/1/2024		(1,475,000	)		(1,466,739	)
Booking Holdings, Inc. 0.90%, 9/15/2021		(5,200,000	)		(5,738,393	)
Guidewire Software, Inc. 1.25%, 3/15/2025		(300,000	)		(287,468	)
Illumina, Inc. 0.00%, 8/15/2023 (e)		(2,175,000	)		(2,231,011	)
Jazz Investments I Ltd. 1.50%, 8/15/2024		(1,025,000	)		(926,776	)

INVESTMENTS	SHARES			VALUE
UnitedStates - (0.9)% (continued)
Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (e)		(1,300,000	)	$	(1,242,476	)
Oil States International, Inc. 1.50%, 2/15/2023 (e)		(700,000	)		(573,734	)
Starwood Property Trust, Inc., REIT 4.38%, 4/1/2023		(550,000	)		(543,109	)
					(13,955,331	)
TOTAL CONVERTIBLE BONDS (Proceeds $(15,527,887))					(14,877,865	)
TOTAL SHORT POSITIONS (Proceeds $(302,235,427))					(329,073,139	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 92.1% (Cost $1,357,224,333)					1,355,205,403
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.9% (q)					116,350,838
NET ASSETS - 100.0%				$	1,471,556,241

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	10,440,126			0.7	%
Consumer Discretionary		(64,268,230	)		(4.4	)
Consumer Staples		4,733,866			0.3
Energy		16,094,740			1.1
Financials		105,345,419			7.2
Health Care		10,689,439			0.7
Industrials		7,882,321			0.5
Information Technology		36,437,792			2.5
Materials		3,363,996			0.2
Real Estate		9,652,110			0.7
Utilities		3,503,460			0.3
Short-Term Investments		1,211,330,364			82.3
Total Investments In Securities At Value		1,355,205,403			92.1
Other Assets in Excess of Liabilities (q)		116,350,838			7.9
Net Assets	$	1,471,556,241			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 $430,269,368. In addition $54,949,991 of cash collateral was pledged.

(c) Security fair valued as of December 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at December 31, 2018 amounted to $856,134, which represents approximately 0.06% of net assets of the fund.

(d) Restricted Security.

(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 December 31, 2018 amounted to $169,502,490, which represents approximately 11.52% of net assets of the fund.

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

(g) Payment in-kind security.

(h) Defaulted security.

(i) 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 December 31, 2018.

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

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Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

(j) 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 Notes to Financial Statements for further information. The interest rate shown was the current rate as of December 31, 2018.

(k) Represents 7-day effective yield as of December 31, 2018.

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

(m) 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 December 31, 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 12/31/18		VALUE AT 12/31/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
SHORT-TERM INVESTMENTS - 36.3%
INVESTMENT COMPANIES - 36.3%
Limited Purpose Cash Investment Fund, 2.50% (1)(a) (Cost $533,623,218)	1,059,378,830	2,519,486,162		(3,045,104,430	)		533,760,562		$533,760,562		$15,543,780		$(71,866	)		$137,344

(a) Represents 7-day effective yield as of December 31, 2018.

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

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

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

(q) 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 December 31, 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 Crossover Series 30.V2		5.00	%	Quarterly	12/20/2023		3.55	%	EUR		40,589,000		$(4,315,275	)		$1,336,510		$(2,978,765	)
Markit CDX North America High Yield Index Series 31.V1		5.00		Quarterly	12/20/2023		4.49		USD		26,121,000		(859,381	)		289,014		(570,367	)
Markit CDX North America Investment Grade Index Series 31.V1		1.00		Quarterly	12/20/2023		0.88		USD		152,800,000		(2,619,023	)		1,709,064		(909,959	)
													$(7,793,679	)		$3,334,588		$(4,459,091	)

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

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Consolidated Schedule of Investments December 31, 2018

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Credit default swap contracts outstanding — sell protection as of December 31, 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 30.V1		1.00%	Quarterly	12/20/2023		0.88%	EUR		4,588,000		$67,696		$(35,503	)		$32,193
											$67,696		$(35,503	)		$32,193

Written Call Options Contracts as of December 31, 2018:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		8	EUR		(240,114	)	EUR		3,000.00		1/18/2019		$(4,858	)
EURO STOXX 50 Index	JPMS		7	EUR		(210,099	)	EUR		3,000.00		2/15/2019		(6,264	)
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		3,050.00		1/18/2019		(690	)
EURO STOXX 50 Index	JPMS		10	EUR		(300,142	)	EUR		3,050.00		2/15/2019		(6,210	)
EURO STOXX 50 Index	JPMS		4	EUR		(120,057	)	EUR		3,075.00		1/18/2019		(995	)
Euro-Bund	JPMS		9	EUR		(900,000	)	EUR		162.00		1/25/2019		(8,893	)
Euro-Bund	JPMS		18	EUR		(1,800,000	)	EUR		162.50		1/25/2019		(14,312	)
Euro-Bund	JPMS		20	EUR		(2,000,000	)	EUR		163.00		1/25/2019		(12,490	)
Euro-Bund	JPMS		2	EUR		(200,000	)	EUR		163.00		2/22/2019		(298	)
Euro-Bund	JPMS		2	EUR		(200,000	)	EUR		163.50		2/22/2019		(114	)
Euro-Bund	JPMS		2	EUR		(200,000	)	EUR		163.50		2/22/2019		113
Euro-Bund	JPMS		4	EUR		(400,000	)	EUR		164.00		2/22/2019		(367	)
Euro-Bund	JPMS		8	EUR		(800,000	)	EUR		164.50		2/22/2019		(140	)
Euro-Bund	JPMS		4	EUR		(400,000	)	EUR		165.00		2/22/2019		90
FTSE 100 Index	JPMS		1	GBP		(67,281	)	GBP		6,700.00		2/15/2019		(2,511	)
FTSE 100 Index	JPMS		4	GBP		(269,125	)	GBP		6,725.00		1/18/2019		(6,271	)
Nikkei 225 Index	JPMS		2	JPY		(40,029,540	)	JPY		21,125.00		2/8/2019		(4,744	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,385.00		2/15/2019		(2,700	)
S&P 500 Index	JPMS		14	USD		(3,509,590	)	USD		2,555.00		2/15/2019		(69,062	)
U.S. Treasury 10 Year Note	JPMS		32	USD		(3,200,000	)	USD		119.50		1/25/2019		(81,500	)
U.S. Treasury 10 Year Note	JPMS		32	USD		(3,200,000	)	USD		120.00		1/25/2019		(66,000	)
														$(288,216	)

Written Put Options Contracts as of December 31, 2018:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		7	EUR		(210,099	)	EUR		2,775.00		2/15/2019		$(2,815	)
EURO STOXX 50 Index	JPMS		17	EUR		(510,241	)	EUR		2,825.00		2/15/2019		(8,668	)
EURO STOXX 50 Index	JPMS		10	EUR		(300,142	)	EUR		2,850.00		1/18/2019		(2,578	)
EURO STOXX 50 Index	JPMS		15	EUR		(450,213	)	EUR		2,875.00		1/18/2019		(4,675	)
EURO STOXX 50 Index	JPMS		18	EUR		(540,256	)	EUR		2,875.00		2/15/2019		(11,632	)
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		2,900.00		1/18/2019		(754	)
EURO STOXX 50 Index	JPMS		21	EUR		(630,298	)	EUR		2,925.00		1/18/2019		(9,528	)
EURO STOXX 50 Index	JPMS		17	EUR		(510,241	)	EUR		2,925.00		2/15/2019		(13,907	)
EURO STOXX 50 Index	JPMS		14	EUR		(420,199	)	EUR		2,950.00		1/18/2019		(7,635	)
EURO STOXX 50 Index	JPMS		6	EUR		(180,085	)	EUR		2,975.00		1/18/2019		(3,919	)
EURO STOXX 50 Index	JPMS		10	EUR		(300,142	)	EUR		2,975.00		2/15/2019		(10,346	)

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

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Consolidated Schedule of Investments December 31, 2018

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DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		36	EUR		(1,080,511	)	EUR		3,000.00		1/18/2019		$ (28,007	)
EURO STOXX 50 Index	JPMS		4	EUR		(120,057	)	EUR		3,025.00		1/18/2019		(3,694	)
EURO STOXX 50 Index	JPMS		33	EUR		(990,469	)	EUR		3,050.00		1/18/2019		(35,957	)
Euro-Bund	JPMS		18	EUR		(1,800,000	)	EUR		161.00		1/25/2019		10,569
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		161.50		1/25/2019		477
Euro-Bund	JPMS		6	EUR		(600,000	)	EUR		161.50		2/22/2019		962
Euro-Bund	JPMS		9	EUR		(900,000	)	EUR		162.00		1/25/2019		8,282
Euro-Bund	JPMS		5	EUR		(500,000	)	EUR		162.00		2/22/2019		(53	)
Euro-Bund	JPMS		6	EUR		(600,000	)	EUR		162.50		2/22/2019		1,374
Euro-Bund	JPMS		7	EUR		(700,000	)	EUR		163.00		2/22/2019		554
FTSE 100 Index	JPMS		2	GBP		(134,563	)	GBP		6,200.00		2/15/2019		(1,619	)
FTSE 100 Index	JPMS		4	GBP		(269,125	)	GBP		6,300.00		1/18/2019		(1,377	)
FTSE 100 Index	JPMS		2	GBP		(134,563	)	GBP		6,350.00		2/15/2019		(2,269	)
FTSE 100 Index	JPMS		4	GBP		(269,125	)	GBP		6,400.00		1/18/2019		(1,988	)
FTSE 100 Index	JPMS		1	GBP		(67,281	)	GBP		6,450.00		2/15/2019		(1,415	)
FTSE 100 Index	JPMS		4	GBP		(269,125	)	GBP		6,500.00		1/18/2019		(2,881	)
FTSE 100 Index	JPMS		2	GBP		(134,563	)	GBP		6,575.00		2/15/2019		(3,722	)
FTSE 100 Index	JPMS		7	GBP		(470,969	)	GBP		6,600.00		1/18/2019		(7,272	)
FTSE 100 Index	JPMS		3	GBP		(201,844	)	GBP		6,625.00		1/18/2019		(3,403	)
FTSE 100 Index	JPMS		7	GBP		(470,969	)	GBP		6,700.00		1/18/2019		(10,394	)
FTSE 100 Index	JPMS		7	GBP		(470,969	)	GBP		6,800.00		1/18/2019		(14,632	)
FTSE 100 Index	JPMS		2	GBP		(134,563	)	GBP		6,900.00		1/18/2019		(5,748	)
Nikkei 225 Index	JPMS		3	JPY		(60,044,310	)	JPY		19,500.00		2/8/2019		(15,054	)
Nikkei 225 Index	JPMS		2	JPY		(40,029,540	)	JPY		19,875.00		1/11/2019		(7,025	)
Nikkei 225 Index	JPMS		3	JPY		(60,044,310	)	JPY		19,875.00		2/8/2019		(18,749	)
Nikkei 225 Index	JPMS		2	JPY		(40,029,540	)	JPY		20,125.00		1/11/2019		(9,397	)
Nikkei 225 Index	JPMS		3	JPY		(60,044,310	)	JPY		20,250.00		2/8/2019		(23,402	)
Nikkei 225 Index	JPMS		2	JPY		(40,029,540	)	JPY		20,500.00		1/11/2019		(13,047	)
Nikkei 225 Index	JPMS		3	JPY		(60,044,310	)	JPY		20,625.00		2/8/2019		(29,013	)
Nikkei 225 Index	JPMS		5	JPY		(100,073,850	)	JPY		20,750.00		1/11/2019		(40,144	)
Russell 2000 Index	JPMS		2	USD		(269,712	)	USD		1,250.00		2/15/2019		(4,150	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,285.00		1/18/2019		(1,214	)
Russell 2000 Index	JPMS		2	USD		(269,712	)	USD		1,285.00		2/15/2019		(6,188	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,310.00		1/18/2019		(2,005	)
Russell 2000 Index	JPMS		2	USD		(269,712	)	USD		1,315.00		2/15/2019		(7,040	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,330.00		1/18/2019		(2,523	)
Russell 2000 Index	JPMS		2	USD		(269,712	)	USD		1,350.00		1/18/2019		(7,066	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,350.00		2/15/2019		(5,358	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,355.00		1/18/2019		(4,095	)
S&P 500 Index	JPMS		15	USD		(3,760,275	)	USD		2,345.00		2/15/2019		(51,495	)
S&P 500 Index	JPMS		10	USD		(2,506,850	)	USD		2,395.00		1/18/2019		(19,630	)
S&P 500 Index	JPMS		15	USD		(3,760,275	)	USD		2,395.00		2/15/2019		(71,250	)
S&P 500 Index	JPMS		10	USD		(2,506,850	)	USD		2,435.00		1/18/2019		(26,970	)
S&P 500 Index	JPMS		15	USD		(3,760,275	)	USD		2,450.00		2/15/2019		(83,565	)
S&P 500 Index	JPMS		10	USD		(2,506,850	)	USD		2,475.00		1/18/2019		(37,900	)
S&P 500 Index	JPMS		15	USD		(3,760,275	)	USD		2,500.00		2/15/2019		(109,935	)
S&P 500 Index	JPMS		9	USD		(2,256,165	)	USD		2,515.00		1/18/2019		(58,977	)
S&P 500 Index	JPMS		4	USD		(1,002,740	)	USD		2,525.00		1/18/2019		(23,008	)
														(856,870	)
Total Written Options Contracts(Premiums Received ($822,697))														$(1,145,086	)

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

AQR Funds Annual Report December 2018

141

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

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

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Coffee ‘C’ March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/08/2019

USD

(1,145,813

)

$185,827

Coffee ‘C’ March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/08/2019

USD

(1,107,619

)

179,719

Corn March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(1,912,500

)

33,888

Cotton No. 2 March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/08/2019

USD

(288,800

)

24,670

HSCEI January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/30/2019

HKD

115,162,800

131,706

KOSPI 200 Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

03/14/2019

KRW

(11,462,500,000

)

7,190

MSCI Emerging Markets Korea Net Total 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 (0.00%)

Monthly

JPMC

03/20/2019

USD

(4,923,671

)

56,346

MSCI Emerging Markets Thailand Net Total 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 (0.20%)

Monthly

JPMC

03/20/2019

USD

(94,617

)

2,083

MSCI Emerging Markets Thailand Net Total 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 (0.20%)

Monthly

JPMC

03/20/2019

USD

(1,386,407

)

30,525

MSCI Israel Daily Net Total 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 (0.00%)

Monthly

JPMC

03/20/2019

USD

(640,276

)

49,131

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread (-0.55%)

Monthly

CITI

03/20/2019

MXN

(10,103,318

)

2,657

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

AQR Funds Annual Report December 2018

142

Consolidated Schedule of Investments December 31, 2018

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 Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread (-0.55%)

Monthly

CITI

03/20/2019

MXN

(2,493,624

)

$ 733

MSCI Poland Net Return Index

Increases in total return of reference entity

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

Monthly

CITI

03/20/2019

PLN

(432,151

)

1,941

Soybean March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(89,500

)

3,513

Soybean March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(3,445,750

)

123,600

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(4,059,690

)

68,617

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(557,820

)

7,299

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(1,456,530

)

23,520

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

02/22/2019

USD

(526,830

)

6,150

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(960,690

)

15,501

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(735,240

)

31,535

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(2,339,400

)

101,576

Swiss Market Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MSCS

03/15/2019

CHF

(60,496,800

)

1,194,739

TAIEX Index January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

01/16/2019

TWD

(433,171,200

)

138,049

Tel Aviv Index January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

01/23/2019

ILS

(4,830,771

)

56,971

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(402,600

)

4,458

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(226,463

)

8,082

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

AQR Funds Annual Report December 2018

143

Consolidated Schedule of Investments December 31, 2018

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)

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

02/22/2019

USD

(201,300

)

$ 5,613

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(226,463

)

4,963

WIG20 Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

03/15/2019

PLN

(637,840

)

3,373

2,503,975

Canada 10 Year Bond March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

BANA

03/20/2019

CAD

(18,600,720

)

(458,200

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

267,356

(45,264

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

112,500

(3,441

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/08/2019

USD

324,900

(36,675

)

iBovespa Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

02/13/2019

BRL

75,242,000

(452,035

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/01/2019

USD

(148,650

)

(4,875

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/01/2019

USD

(99,100

)

(2,572

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

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

Monthly

CITI

03/20/2019

ZAR

(2,930,834

)

(6,247

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

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

Monthly

CITI

03/20/2019

ZAR

(11,612,977

)

(36,236

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.40%)

Monthly

CITI

03/20/2019

ZAR

(63,876,031

)

(157,888

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.40%)

Monthly

CITI

03/20/2019

ZAR

(34,609,679

)

(52,341

)

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

AQR Funds Annual Report December 2018

144

Consolidated Schedule of Investments December 31, 2018

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 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

89,500

$ (3,054

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

671,250

(14,534

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/22/2019

USD

526,830

(5,990

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

960,690

(17,057

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

1,270,590

(16,787

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

735,240

(29,364

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

768,660

(26,911

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/22/2019

USD

150,975

(8,138

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

176,138

(5,948

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

125,813

(6,470

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

125,812

(7,651

)

(1,397,678

)

$1,106,297

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		129		1/2019	EUR		$14,417,174		$(288,150	)
CAC 40 10 Euro Index		815		1/2019	EUR		44,154,081		(614,908	)
Hang Seng Index		64		1/2019	HKD		10,565,456		92,889
HSCEI		34		1/2019	HKD		2,193,142		(18,073	)
IBEX 35 Index		23		1/2019	EUR		2,244,447		(39,485	)
LME Aluminum Base Metal		4		1/2019	USD		182,622		(16,090	)
LME Aluminum Base Metal		4		1/2019	USD		182,776		(17,436	)
LME Aluminum Base Metal		5		1/2019	USD		228,519		(19,496	)

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

AQR Funds Annual Report December 2018

145

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Aluminum Base Metal		6		1/2019	USD		$ 274,281		$ (20,637	)
LME Copper Base Metal		1		1/2019	USD		149,013		(6,545	)
LME Copper Base Metal		1		1/2019	USD		148,858		(7,358	)
LME Copper Base Metal		1		1/2019	USD		149,023		(1,783	)
LME Copper Base Metal		2		1/2019	USD		297,671		(11,685	)
LME Copper Base Metal		3		1/2019	USD		447,022		(17,895	)
LME Copper Base Metal		6		1/2019	USD		893,412		(34,448	)
LME Copper Base Metal		7		1/2019	USD		1,042,934		(58,932	)
LME Copper Base Metal		11		1/2019	USD		1,638,313		(56,152	)
LME Copper Base Metal		11		1/2019	USD		1,638,725		(58,576	)
LME Copper Base Metal		16		1/2019	USD		2,384,244		(47,465	)
LME Copper Base Metal		28		1/2019	USD		4,164,916		(242,241	)
LME Copper Base Metal		36		1/2019	USD		5,362,524		(288,638	)
LME Copper Base Metal		42		1/2019	USD		6,255,375		(316,566	)
LME Copper Base Metal		43		1/2019	USD		6,401,829		(339,029	)
LME Copper Base Metal		52		1/2019	USD		7,733,700		(429,861	)
LME Nickel Base Metal		1		1/2019	USD		63,812		(6,688	)
LME Nickel Base Metal		1		1/2019	USD		63,806		(6,817	)
LME Nickel Base Metal		1		1/2019	USD		63,784		(7,769	)
LME Nickel Base Metal		2		1/2019	USD		127,635		(12,711	)
LME Zinc Base Metal		1		1/2019	USD		61,938		(4,582	)
LME Zinc Base Metal		1		1/2019	USD		61,888		(2,593	)
LME Zinc Base Metal		1		1/2019	USD		61,913		(4,588	)
LME Zinc Base Metal		1		1/2019	USD		61,888		(1,990	)
LME Zinc Base Metal		1		1/2019	USD		62,000		(3,796	)
LME Zinc Base Metal		1		1/2019	USD		62,863		(3,865	)
LME Zinc Base Metal		1		1/2019	USD		62,663		(2,065	)
LME Zinc Base Metal		1		1/2019	USD		62,163		(3,665	)
LME Zinc Base Metal		2		1/2019	USD		123,775		(8,136	)
LME Zinc Base Metal		2		1/2019	USD		123,775		(7,936	)
Natural Gas		96		1/2019	USD		2,822,400		(734,382	)
OMXS30 Index		317		1/2019	SEK		5,036,870		(2,922	)
100 oz Gold		220		2/2019	USD		28,188,600		585,600
LME Aluminum Base Metal		2		2/2019	USD		91,922		(4,784	)
LME Aluminum Base Metal		2		2/2019	USD		91,943		(4,840	)
LME Aluminum Base Metal		2		2/2019	USD		91,813		(5,893	)
LME Aluminum Base Metal		2		2/2019	USD		91,835		(6,021	)
LME Aluminum Base Metal		3		2/2019	USD		137,948		(7,186	)
LME Aluminum Base Metal		4		2/2019	USD		183,625		(10,187	)
LME Aluminum Base Metal		5		2/2019	USD		229,194		(14,634	)
LME Aluminum Base Metal		5		2/2019	USD		228,808		(18,982	)
LME Aluminum Base Metal		5		2/2019	USD		229,145		(14,932	)
LME Aluminum Base Metal		5		2/2019	USD		229,483		(13,470	)
LME Aluminum Base Metal		5		2/2019	USD		229,243		(13,397	)
LME Aluminum Base Metal		5		2/2019	USD		228,856		(18,084	)
LME Aluminum Base Metal		10		2/2019	USD		458,580		(28,356	)
LME Aluminum Base Metal		10		2/2019	USD		457,905		(36,375	)
LME Aluminum Base Metal		12		2/2019	USD		548,676		(46,409	)
LME Copper Base Metal		1		2/2019	USD		149,128		(3,446	)
LME Copper Base Metal		1		2/2019	USD		149,142		(5,789	)
LME Copper Base Metal		2		2/2019	USD		298,438		(13,765	)
LME Copper Base Metal		2		2/2019	USD		298,227		(13,597	)
LME Copper Base Metal		2		2/2019	USD		298,298		(8,387	)
LME Copper Base Metal		2		2/2019	USD		298,143		(11,175	)
LME Copper Base Metal		2		2/2019	USD		298,213		(13,283	)

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

AQR Funds Annual Report December 2018

146

Consolidated Schedule of Investments December 31, 2018

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		2		2/2019	USD		$ 298,063		$ (15,466	)
LME Copper Base Metal		3		2/2019	USD		447,581		(20,299	)
LME Copper Base Metal		7		2/2019	USD		1,043,445		(44,860	)
LME Copper Base Metal		9		2/2019	USD		1,341,788		(30,205	)
LME Copper Base Metal		10		2/2019	USD		1,491,563		(61,919	)
LME Copper Base Metal		26		2/2019	USD		3,877,738		(141,166	)
LME Nickel Base Metal		1		2/2019	USD		63,927		(3,336	)
LME Nickel Base Metal		1		2/2019	USD		63,963		(960	)
LME Nickel Base Metal		1		2/2019	USD		63,969		(798	)
LME Nickel Base Metal		1		2/2019	USD		63,933		(2,853	)
LME Nickel Base Metal		1		2/2019	USD		63,894		(3,639	)
LME Nickel Base Metal		1		2/2019	USD		63,939		(2,307	)
LME Nickel Base Metal		1		2/2019	USD		63,845		(6,973	)
LME Nickel Base Metal		1		2/2019	USD		63,850		(7,154	)
LME Nickel Base Metal		2		2/2019	USD		127,777		(9,929	)
LME Nickel Base Metal		2		2/2019	USD		127,766		(8,200	)
LME Nickel Base Metal		2		2/2019	USD		127,843		(7,403	)
LME Nickel Base Metal		3		2/2019	USD		191,468		(20,050	)
LME Nickel Base Metal		3		2/2019	USD		191,699		(14,182	)
LME Nickel Base Metal		4		2/2019	USD		255,445		(23,513	)
LME Nickel Base Metal		6		2/2019	USD		383,850		(10,233	)
LME Zinc Base Metal		1		2/2019	USD		61,788		1,000
LME Zinc Base Metal		1		2/2019	USD		61,888		(2,834	)
LME Zinc Base Metal		1		2/2019	USD		61,888		(40	)
LME Zinc Base Metal		1		2/2019	USD		61,888		(3,401	)
LME Zinc Base Metal		1		2/2019	USD		61,888		(2,539	)
LME Zinc Base Metal		1		2/2019	USD		61,888		(1,115	)
LME Zinc Base Metal		1		2/2019	USD		61,788		(739	)
LME Zinc Base Metal		2		2/2019	USD		123,775		(2,856	)
LME Zinc Base Metal		2		2/2019	USD		123,775		(231	)
LME Zinc Base Metal		2		2/2019	USD		123,650		(5,223	)
LME Zinc Base Metal		2		2/2019	USD		123,775		(2,763	)
LME Zinc Base Metal		2		2/2019	USD		123,713		(4,498	)
LME Zinc Base Metal		5		2/2019	USD		309,438		(9,701	)
LME Zinc Base Metal		6		2/2019	USD		371,325		132
3 Month Euro Euribor		150		3/2019	EUR		43,092,372		(591	)
3 Month Sterling		308		3/2019	GBP		48,610,820		(2,986	)
ASX 90 Day Bank Accepted Bill		377		3/2019	AUD		264,275,759		(121	)
Australia 10 Year Bond		473		3/2019	AUD		44,201,662		477,165
Australia 3 Year Bond		861		3/2019	AUD		68,050,703		203,165
Cocoa		1		3/2019	GBP		22,509		34
Cocoa		4		3/2019	USD		96,640		(280	)
Corn		577		3/2019	USD		10,818,750		(188,932	)
Euro-Bobl		423		3/2019	EUR		64,226,114		109,289
Euro-BTP		14		3/2019	EUR		2,050,297		4,123
Euro-Bund		1,299		3/2019	EUR		243,401,361		1,885,590
Euro-Buxl		22		3/2019	EUR		4,552,798		7,286
Euro-OAT		272		3/2019	EUR		46,995,914		(36,647	)
Euro-Schatz		616		3/2019	EUR		79,005,235		26,949
FTSE 100 Index		74		3/2019	GBP		6,280,795		12,664
FTSE/MIB Index		25		3/2019	EUR		2,607,441		(61,950	)
LME Aluminum Base Metal		1		3/2019	USD		46,189		(1,998	)
LME Aluminum Base Metal		1		3/2019	USD		46,150		(1,640	)
LME Aluminum Base Metal		1		3/2019	USD		46,150		(124	)
LME Aluminum Base Metal		1		3/2019	USD		46,150		100

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

AQR Funds Annual Report December 2018

147

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Aluminum Base Metal		1		3/2019	USD		$ 46,150		$ (1,307	)
LME Aluminum Base Metal		2		3/2019	USD		92,357		(4,327	)
LME Aluminum Base Metal		2		3/2019	USD		92,270		(3,894	)
LME Aluminum Base Metal		2		3/2019	USD		92,248		(4,373	)
LME Aluminum Base Metal		3		3/2019	USD		138,176		(8,993	)
LME Aluminum Base Metal		3		3/2019	USD		138,143		(7,521	)
LME Aluminum Base Metal		3		3/2019	USD		138,110		(9,754	)
LME Aluminum Base Metal		3		3/2019	USD		138,339		(6,839	)
LME Aluminum Base Metal		4		3/2019	USD		184,104		(13,882	)
LME Aluminum Base Metal		6		3/2019	USD		276,612		(16,112	)
LME Aluminum Base Metal		39		3/2019	USD		1,801,800		(93,589	)
LME Copper Base Metal		1		3/2019	USD		149,273		(4,415	)
LME Copper Base Metal		1		3/2019	USD		149,125		(1,015	)
LME Copper Base Metal		1		3/2019	USD		149,171		(282	)
LME Copper Base Metal		1		3/2019	USD		149,194		(659	)
LME Copper Base Metal		1		3/2019	USD		149,288		(965	)
LME Copper Base Metal		1		3/2019	USD		149,224		(4,756	)
LME Copper Base Metal		1		3/2019	USD		149,137		(1,416	)
LME Copper Base Metal		2		3/2019	USD		298,527		(8,297	)
LME Copper Base Metal		5		3/2019	USD		745,976		(40,088	)
LME Copper Base Metal		11		3/2019	USD		1,642,110		(62,488	)
LME Copper Base Metal		12		3/2019	USD		1,790,574		(34,824	)
LME Copper Base Metal		39		3/2019	USD		5,816,772		(32,543	)
LME Copper Base Metal		49		3/2019	USD		7,317,231		(96,351	)
LME Copper Base Metal		52		3/2019	USD		7,760,675		(320,099	)
LME Nickel Base Metal		1		3/2019	USD		64,063		(1,114	)
LME Nickel Base Metal		1		3/2019	USD		64,021		(1,650	)
LME Nickel Base Metal		1		3/2019	USD		64,140		(783	)
LME Nickel Base Metal		1		3/2019	USD		64,058		(1,105	)
LME Nickel Base Metal		2		3/2019	USD		128,029		(3,026	)
LME Nickel Base Metal		2		3/2019	USD		128,168		(3,897	)
LME Nickel Base Metal		2		3/2019	USD		128,105		(1,464	)
LME Nickel Base Metal		2		3/2019	USD		128,015		(5,720	)
LME Nickel Base Metal		3		3/2019	USD		192,141		(2,988	)
LME Nickel Base Metal		4		3/2019	USD		256,005		(14,200	)
LME Nickel Base Metal		25		3/2019	USD		1,602,225		(47,834	)
LME Zinc Base Metal		1		3/2019	USD		61,692		(590	)
LME Zinc Base Metal		1		3/2019	USD		61,781		(1,697	)
LME Zinc Base Metal		1		3/2019	USD		61,675		222
LME Zinc Base Metal		1		3/2019	USD		61,679		(1,036	)
LME Zinc Base Metal		2		3/2019	USD		123,600		(3,376	)
LME Zinc Base Metal		2		3/2019	USD		123,595		(3,028	)
LME Zinc Base Metal		2		3/2019	USD		123,594		(5,460	)
LME Zinc Base Metal		2		3/2019	USD		123,586		(7,743	)
LME Zinc Base Metal		2		3/2019	USD		123,583		(6,292	)
LME Zinc Base Metal		3		3/2019	USD		185,376		(8,532	)
LME Zinc Base Metal		3		3/2019	USD		185,388		(8,082	)
LME Zinc Base Metal		4		3/2019	USD		247,163		(12,011	)
LME Zinc Base Metal		5		3/2019	USD		308,978		(15,016	)
LME Zinc Base Metal		27		3/2019	USD		1,667,588		(67,553	)
Palladium		11		3/2019	USD		1,316,920		76,011
Russell 2000 E-Mini Index		689		3/2019	USD		46,473,049		(2,056,523	)
Silver		194		3/2019	USD		15,073,800		931,092
TOPIX Index		244		3/2019	JPY		33,247,935		(1,778,998	)
3 Month Euro Euribor		612		6/2019	EUR		175,808,116		(1,292	)

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

AQR Funds Annual Report December 2018

148

Consolidated Schedule of Investments December 31, 2018

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 Euroswiss		3			6/2019	CHF		$ 768,542			$ 71
3 Month Sterling		1,628			6/2019	GBP		256,761,344			32,340
ASX 90 Day Bank Accepted Bill		1,503			6/2019	AUD		1,053,675,631			104,121
3 Month Euro Euribor		697			9/2019	EUR		200,195,963			24,357
3 Month Euroswiss		7			9/2019	CHF		1,793,087			454
3 Month Sterling		1,647			9/2019	GBP		259,639,861			58,375
ASX 90 Day Bank Accepted Bill		1,507			9/2019	AUD		1,056,557,608			263,892
3 Month Euro Euribor		678			12/2019	EUR		194,690,133			83,020
3 Month Euroswiss		9			12/2019	CHF		2,304,024			(82	)
3 Month Sterling		1,236			12/2019	GBP		194,739,819			78,272
ASX 90 Day Bank Accepted Bill		1,149			12/2019	AUD		805,583,601			281,431
3 Month Euro Euribor		378			3/2020	EUR		108,511,574			151,397
3 Month Sterling		20			3/2020	GBP		3,150,333			465
3 Month Euro Euribor		374			6/2020	EUR		107,309,740			172,254
3 Month Sterling		21			6/2020	GBP		3,306,679			761
3 Month Euro Euribor		337			9/2020	EUR		96,640,444			149,397
3 Month Eurodollar		3			9/2020	USD		731,588			116
3 Month Sterling		20			9/2020	GBP		3,148,103			674
3 Month Euro Euribor		190			12/2020	EUR		54,453,056			66,788
3 Month Eurodollar		6			12/2020	USD		1,462,950			259
3 Month Sterling		20			12/2020	GBP		3,147,147			887
											(3,802,839	)
Short Contracts
Brent Crude Oil		(132	)		1/2019	USD		(7,101,600	)		839,280
FTSE Bursa Malaysia KLCI Index		(26	)		1/2019	MYR		(532,111	)		(4,082	)
LME Aluminum Base Metal		(4	)		1/2019	USD		(182,622	)		15,802
LME Aluminum Base Metal		(4	)		1/2019	USD		(182,776	)		16,642
LME Aluminum Base Metal		(5	)		1/2019	USD		(228,519	)		18,653
LME Aluminum Base Metal		(6	)		1/2019	USD		(274,281	)		21,126
LME Copper Base Metal		(1	)		1/2019	USD		(148,858	)		6,580
LME Copper Base Metal		(1	)		1/2019	USD		(149,023	)		1,836
LME Copper Base Metal		(1	)		1/2019	USD		(149,013	)		5,910
LME Copper Base Metal		(2	)		1/2019	USD		(297,671	)		11,876
LME Copper Base Metal		(3	)		1/2019	USD		(447,022	)		19,319
LME Copper Base Metal		(6	)		1/2019	USD		(893,412	)		30,036
LME Copper Base Metal		(7	)		1/2019	USD		(1,042,934	)		53,421
LME Copper Base Metal		(11	)		1/2019	USD		(1,638,725	)		61,597
LME Copper Base Metal		(11	)		1/2019	USD		(1,638,313	)		64,030
LME Copper Base Metal		(16	)		1/2019	USD		(2,384,244	)		57,940
LME Copper Base Metal		(28	)		1/2019	USD		(4,164,916	)		260,484
LME Copper Base Metal		(36	)		1/2019	USD		(5,362,524	)		306,120
LME Copper Base Metal		(42	)		1/2019	USD		(6,255,375	)		291,831
LME Copper Base Metal		(43	)		1/2019	USD		(6,401,829	)		345,606
LME Copper Base Metal		(52	)		1/2019	USD		(7,733,699	)		443,437
LME Nickel Base Metal		(1	)		1/2019	USD		(63,806	)		7,053
LME Nickel Base Metal		(1	)		1/2019	USD		(63,812	)		6,875
LME Nickel Base Metal		(1	)		1/2019	USD		(63,784	)		7,530
LME Nickel Base Metal		(2	)		1/2019	USD		(127,635	)		12,298
LME Zinc Base Metal		(1	)		1/2019	USD		(61,938	)		5,012
LME Zinc Base Metal		(1	)		1/2019	USD		(61,913	)		4,835
LME Zinc Base Metal		(1	)		1/2019	USD		(62,863	)		3,522
LME Zinc Base Metal		(1	)		1/2019	USD		(62,663	)		2,264
LME Zinc Base Metal		(1	)		1/2019	USD		(62,163	)		3,998
LME Zinc Base Metal		(1	)		1/2019	USD		(62,000	)		3,872

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

AQR Funds Annual Report December 2018

149

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Zinc Base Metal		(1	)		1/2019	USD		$ (61,888	)		$ 3,035
LME Zinc Base Metal		(1	)		1/2019	USD		(61,888	)		1,406
LME Zinc Base Metal		(2	)		1/2019	USD		(123,775	)		8,119
LME Zinc Base Metal		(2	)		1/2019	USD		(123,775	)		7,219
MSCI Singapore Index		(121	)		1/2019	SGD		(3,033,545	)		(19,489	)
MSCI Taiwan Index		(136	)		1/2019	USD		(4,887,840	)		(101,849	)
NY Harbor ULSD		(26	)		1/2019	USD		(1,833,905	)		123,968
RBOB Gasoline		(40	)		1/2019	USD		(2,187,528	)		245,803
SGX FTSE China A50 Index		(197	)		1/2019	USD		(2,051,263	)		2,767
WTI Crude Oil		(195	)		1/2019	USD		(8,854,949	)		1,168,204
Lean Hogs		(23	)		2/2019	USD		(560,970	)		11,627
Live Cattle		(45	)		2/2019	USD		(2,229,750	)		(67,118	)
LME Aluminum Base Metal		(2	)		2/2019	USD		(91,943	)		4,951
LME Aluminum Base Metal		(2	)		2/2019	USD		(91,922	)		4,832
LME Aluminum Base Metal		(2	)		2/2019	USD		(91,835	)		5,871
LME Aluminum Base Metal		(2	)		2/2019	USD		(91,813	)		5,780
LME Aluminum Base Metal		(3	)		2/2019	USD		(137,948	)		6,944
LME Aluminum Base Metal		(4	)		2/2019	USD		(183,625	)		10,292
LME Aluminum Base Metal		(5	)		2/2019	USD		(228,808	)		18,390
LME Aluminum Base Metal		(5	)		2/2019	USD		(228,856	)		17,307
LME Aluminum Base Metal		(5	)		2/2019	USD		(229,145	)		14,451
LME Aluminum Base Metal		(5	)		2/2019	USD		(229,194	)		13,390
LME Aluminum Base Metal		(5	)		2/2019	USD		(229,483	)		12,948
LME Aluminum Base Metal		(5	)		2/2019	USD		(229,243	)		13,331
LME Aluminum Base Metal		(10	)		2/2019	USD		(457,905	)		36,354
LME Aluminum Base Metal		(10	)		2/2019	USD		(458,580	)		26,356
LME Aluminum Base Metal		(12	)		2/2019	USD		(548,676	)		45,650
LME Copper Base Metal		(1	)		2/2019	USD		(149,142	)		6,005
LME Copper Base Metal		(1	)		2/2019	USD		(149,128	)		2,719
LME Copper Base Metal		(2	)		2/2019	USD		(298,227	)		13,442
LME Copper Base Metal		(2	)		2/2019	USD		(298,298	)		8,121
LME Copper Base Metal		(2	)		2/2019	USD		(298,063	)		14,733
LME Copper Base Metal		(2	)		2/2019	USD		(298,143	)		11,851
LME Copper Base Metal		(2	)		2/2019	USD		(298,213	)		13,257
LME Copper Base Metal		(2	)		2/2019	USD		(298,438	)		13,707
LME Copper Base Metal		(3	)		2/2019	USD		(447,581	)		18,910
LME Copper Base Metal		(7	)		2/2019	USD		(1,043,445	)		47,185
LME Copper Base Metal		(9	)		2/2019	USD		(1,341,788	)		34,367
LME Copper Base Metal		(10	)		2/2019	USD		(1,491,563	)		60,213
LME Copper Base Metal		(26	)		2/2019	USD		(3,877,738	)		125,481
LME Nickel Base Metal		(1	)		2/2019	USD		(63,939	)		2,040
LME Nickel Base Metal		(1	)		2/2019	USD		(63,969	)		648
LME Nickel Base Metal		(1	)		2/2019	USD		(63,845	)		6,751
LME Nickel Base Metal		(1	)		2/2019	USD		(63,850	)		7,262
LME Nickel Base Metal		(1	)		2/2019	USD		(63,927	)		3,393
LME Nickel Base Metal		(1	)		2/2019	USD		(63,963	)		1,049
LME Nickel Base Metal		(1	)		2/2019	USD		(63,894	)		3,877
LME Nickel Base Metal		(1	)		2/2019	USD		(63,933	)		2,538
LME Nickel Base Metal		(2	)		2/2019	USD		(127,777	)		9,365
LME Nickel Base Metal		(2	)		2/2019	USD		(127,843	)		7,148
LME Nickel Base Metal		(2	)		2/2019	USD		(127,766	)		8,799
LME Nickel Base Metal		(3	)		2/2019	USD		(191,468	)		21,070
LME Nickel Base Metal		(3	)		2/2019	USD		(191,699	)		14,095
LME Nickel Base Metal		(4	)		2/2019	USD		(255,445	)		23,163
LME Nickel Base Metal		(6	)		2/2019	USD		(383,850	)		9,726

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

AQR Funds Annual Report December 2018

150

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Zinc Base Metal		(1	)		2/2019	USD		$ (61,888	)		$ 2,831
LME Zinc Base Metal		(1	)		2/2019	USD		(61,888	)		2,235
LME Zinc Base Metal		(1	)		2/2019	USD		(61,888	)		867
LME Zinc Base Metal		(1	)		2/2019	USD		(61,888	)		240
LME Zinc Base Metal		(1	)		2/2019	USD		(61,788	)		(753	)
LME Zinc Base Metal		(1	)		2/2019	USD		(61,788	)		634
LME Zinc Base Metal		(1	)		2/2019	USD		(61,888	)		3,810
LME Zinc Base Metal		(2	)		2/2019	USD		(123,650	)		5,470
LME Zinc Base Metal		(2	)		2/2019	USD		(123,713	)		4,274
LME Zinc Base Metal		(2	)		2/2019	USD		(123,775	)		2,224
LME Zinc Base Metal		(2	)		2/2019	USD		(123,775	)		571
LME Zinc Base Metal		(2	)		2/2019	USD		(123,775	)		1,974
LME Zinc Base Metal		(5	)		2/2019	USD		(309,438	)		9,467
LME Zinc Base Metal		(6	)		2/2019	USD		(371,325	)		2,014
Low Sulphur Gasoil		(174	)		2/2019	USD		(8,895,749	)		464,994
Sugar No. 11		(142	)		2/2019	USD		(1,913,251	)		105,920
3 Month Canadian Bankers Acceptance		(94	)		3/2019	CAD		(16,826,288	)		(46,844	)
3 Month Eurodollar		(314	)		3/2019	USD		(76,372,649	)		(122,006	)
Canada 10 Year Bond		(1,078	)		3/2019	CAD		(107,997,406	)		(3,410,953	)
Coffee ‘C’		(23	)		3/2019	USD		(878,456	)		77,839
Copper		(72	)		3/2019	USD		(4,735,800	)		124,724
Cotton No. 2		(26	)		3/2019	USD		(938,600	)		72,848
DAX Index		(288	)		3/2019	EUR		(87,126,036	)		1,696,877
DJIA CBOT E-Mini Index		(26	)		3/2019	USD		(3,024,840	)		159,785
EURO STOXX 50 Index		(473	)		3/2019	EUR		(16,117,287	)		244,574
Euro-Bund		(12	)		3/2019	EUR		(2,248,511	)		(10,844	)
FTSE/JSE Top 40 Index		(562	)		3/2019	ZAR		(18,381,647	)		(542,886	)
Japan 10 Year Bond		(13	)		3/2019	JPY		(18,085,305	)		(12,918	)
KC HRW Wheat		(45	)		3/2019	USD		(1,099,688	)		27,112
KOSPI 200 Index		(306	)		3/2019	KRW		(17,962,896	)		15,995
LME Aluminum Base Metal		(1	)		3/2019	USD		(46,150	)		435
LME Aluminum Base Metal		(1	)		3/2019	USD		(46,150	)		1,510
LME Aluminum Base Metal		(1	)		3/2019	USD		(46,150	)		1,597
LME Aluminum Base Metal		(1	)		3/2019	USD		(46,150	)		(378	)
LME Aluminum Base Metal		(1	)		3/2019	USD		(46,189	)		1,859
LME Aluminum Base Metal		(2	)		3/2019	USD		(92,248	)		4,447
LME Aluminum Base Metal		(2	)		3/2019	USD		(92,270	)		4,025
LME Aluminum Base Metal		(2	)		3/2019	USD		(92,357	)		4,088
LME Aluminum Base Metal		(3	)		3/2019	USD		(138,339	)		6,965
LME Aluminum Base Metal		(3	)		3/2019	USD		(138,176	)		8,603
LME Aluminum Base Metal		(3	)		3/2019	USD		(138,143	)		7,373
LME Aluminum Base Metal		(3	)		3/2019	USD		(138,110	)		9,831
LME Aluminum Base Metal		(4	)		3/2019	USD		(184,104	)		14,109
LME Aluminum Base Metal		(6	)		3/2019	USD		(276,612	)		15,521
LME Aluminum Base Metal		(91	)		3/2019	USD		(4,204,200	)		249,119
LME Copper Base Metal		(1	)		3/2019	USD		(149,224	)		4,811
LME Copper Base Metal		(1	)		3/2019	USD		(149,171	)		(127	)
LME Copper Base Metal		(1	)		3/2019	USD		(149,288	)		908
LME Copper Base Metal		(1	)		3/2019	USD		(149,137	)		1,638
LME Copper Base Metal		(1	)		3/2019	USD		(149,125	)		687
LME Copper Base Metal		(1	)		3/2019	USD		(149,273	)		4,274
LME Copper Base Metal		(1	)		3/2019	USD		(149,194	)		993
LME Copper Base Metal		(2	)		3/2019	USD		(298,527	)		7,655
LME Copper Base Metal		(5	)		3/2019	USD		(745,976	)		40,407
LME Copper Base Metal		(11	)		3/2019	USD		(1,642,110	)		59,644

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

AQR Funds Annual Report December 2018

151

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(12	)		3/2019	USD		$ (1,790,574	)		$ 38,560
LME Copper Base Metal		(39	)		3/2019	USD		(5,816,772	)		26,095
LME Copper Base Metal		(49	)		3/2019	USD		(7,317,231	)		91,507
LME Copper Base Metal		(124	)		3/2019	USD		(18,506,224	)		256,063
LME Nickel Base Metal		(1	)		3/2019	USD		(64,140	)		122
LME Nickel Base Metal		(1	)		3/2019	USD		(64,063	)		884
LME Nickel Base Metal		(1	)		3/2019	USD		(64,021	)		1,796
LME Nickel Base Metal		(1	)		3/2019	USD		(64,058	)		1,253
LME Nickel Base Metal		(2	)		3/2019	USD		(128,015	)		5,659
LME Nickel Base Metal		(2	)		3/2019	USD		(128,029	)		3,487
LME Nickel Base Metal		(2	)		3/2019	USD		(128,105	)		1,550
LME Nickel Base Metal		(2	)		3/2019	USD		(128,168	)		3,527
LME Nickel Base Metal		(3	)		3/2019	USD		(192,141	)		2,970
LME Nickel Base Metal		(4	)		3/2019	USD		(256,005	)		15,910
LME Nickel Base Metal		(29	)		3/2019	USD		(1,858,581	)		60,312
LME Zinc Base Metal		(1	)		3/2019	USD		(61,675	)		(363	)
LME Zinc Base Metal		(1	)		3/2019	USD		(61,692	)		328
LME Zinc Base Metal		(1	)		3/2019	USD		(61,781	)		1,641
LME Zinc Base Metal		(1	)		3/2019	USD		(61,679	)		295
LME Zinc Base Metal		(2	)		3/2019	USD		(123,600	)		3,144
LME Zinc Base Metal		(2	)		3/2019	USD		(123,595	)		2,701
LME Zinc Base Metal		(2	)		3/2019	USD		(123,594	)		5,676
LME Zinc Base Metal		(2	)		3/2019	USD		(123,586	)		7,834
LME Zinc Base Metal		(2	)		3/2019	USD		(123,583	)		6,711
LME Zinc Base Metal		(3	)		3/2019	USD		(185,388	)		8,066
LME Zinc Base Metal		(3	)		3/2019	USD		(185,376	)		7,778
LME Zinc Base Metal		(4	)		3/2019	USD		(247,163	)		12,675
LME Zinc Base Metal		(5	)		3/2019	USD		(308,978	)		14,634
LME Zinc Base Metal		(34	)		3/2019	USD		(2,099,925	)		31,691
Long Gilt		(744	)		3/2019	GBP		(116,802,403	)		(468,134	)
MEX BOLSA Index		(228	)		3/2019	MXN		(4,847,092	)		(8,744	)
MSCI EAFE E-Mini Index		(3	)		3/2019	USD		(257,400	)		5,754
MSCI Emerging Markets E-Mini Index		(54	)		3/2019	USD		(2,610,360	)		(19,964	)
NASDAQ 100 E-Mini Index		(26	)		3/2019	USD		(3,293,290	)		201,765
Nikkei 225 Index		(45	)		3/2019	JPY		(8,211,303	)		406,620
S&P 500 E-Mini Index		(2,143	)		3/2019	USD		(268,432,179	)		7,641,218
S&P Midcap 400 E-Mini Index		(10	)		3/2019	USD		(1,662,200	)		71,996
S&P/TSX 60 Index		(55	)		3/2019	CAD		(6,907,633	)		102,788
SET50 Index		(285	)		3/2019	THB		(1,825,891	)		9,697
Soybean		(132	)		3/2019	USD		(5,907,000	)		191,940
Soybean Oil		(4	)		3/2019	USD		(66,840	)		(64	)
SPI 200 Index		(202	)		3/2019	AUD		(19,780,295	)		(137,430	)
U.S. Treasury 10 Year Note		(41	)		3/2019	USD		(5,002,640	)		(60,391	)
U.S. Treasury 10 Year Note		(1,100	)		3/2019	USD		(134,217,187	)		(1,562,228	)
U.S. Treasury 2 Year Note		(620	)		3/2019	USD		(131,633,749	)		(847,920	)
U.S. Treasury 5 Year Note		(170	)		3/2019	USD		(19,496,874	)		(241,673	)
U.S. Treasury Long Bond		(34	)		3/2019	USD		(4,964,000	)		(221,449	)
U.S. Treasury Ultra Bond		(46	)		3/2019	USD		(7,390,188	)		(390,401	)
Wheat		(20	)		3/2019	USD		(503,250	)		5,778
Platinum		(18	)		4/2019	USD		(720,540	)		(3,171	)
3 Month Canadian Bankers Acceptance		(312	)		6/2019	CAD		(55,857,529	)		(171,005	)
3 Month Eurodollar		(1,323	)		6/2019	USD		(321,869,362	)		(1,087,852	)
3 Month Canadian Bankers Acceptance		(328	)		9/2019	CAD		(58,719,015	)		(216,347	)
3 Month Eurodollar		(1,251	)		9/2019	USD		(304,430,849	)		(1,412,736	)
3 Month Canadian Bankers Acceptance		(250	)		12/2019	CAD		(44,753,057	)		(131,817	)

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

AQR Funds Annual Report December 2018

152

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
3 Month Eurodollar		(964	)		12/2019	USD		$ (234,613,499	)		$ (949,208	)
3 Month Eurodollar		(3	)		3/2020	USD		(730,838	)		(5,536	)
3 Month Eurodollar		(2	)		6/2020	USD		(487,525	)		(4,049	)
											5,676,169
											$1,873,330

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	350,000	USD	89,613	CITI**		3/20/2019		$181
BRL	525,000	USD	134,420	JPMC**		3/20/2019		271
CHF	9,576,800	USD	9,722,411	CITI		3/20/2019		91,443
CHF	14,365,200	USD	14,583,178	JPMC		3/20/2019		137,599
CNY	7,624,400	USD	1,103,150	CITI**		3/20/2019		6,706
CNY	11,436,600	USD	1,654,727	JPMC**		3/20/2019		10,057
COP	353,306,800	USD	107,888	CITI**		3/20/2019		509
COP	529,960,200	USD	161,832	JPMC**		3/20/2019		763
CZK	167,600,000	USD	7,337,064	CITI		3/20/2019		141,167
CZK	251,400,000	USD	11,005,610	JPMC		3/20/2019		211,737
EUR	30,932,800	USD	35,522,366	CITI		3/20/2019		147,656
EUR	46,399,200	USD	53,280,625	JPMC		3/20/2019		224,411
GBP	1,840,400	USD	2,334,194	CITI		3/20/2019		20,314
GBP	2,670,600	USD	3,386,891	JPMC		3/20/2019		29,730
HUF	715,494,800	USD	2,535,119	CITI		3/20/2019		31,986
HUF	1,073,242,200	USD	3,802,679	JPMC		3/20/2019		47,974
IDR	21,568,525,600	USD	1,465,309	CITI**		3/20/2019		17,182
IDR	32,352,788,400	USD	2,197,948	JPMC**		3/20/2019		25,788
ILS	613,600	USD	164,662	CITI		3/20/2019		423
ILS	920,400	USD	246,991	JPMC		3/20/2019		633
INR	768,851,200	USD	10,789,489	CITI**		3/20/2019		173,667
INR	1,153,276,800	USD	16,184,492	JPMC**		3/20/2019		260,244
JPY	8,417,583,200	USD	75,868,736	CITI		3/20/2019		1,406,259
JPY	12,626,374,800	USD	113,803,040	JPMC		3/20/2019		2,109,455
KRW	1,860,507,500	USD	1,661,832	CITI**		3/20/2019		13,275
KRW	2,790,761,250	USD	2,492,751	JPMC**		3/20/2019		19,908
MXN	1,033,206,804	USD	49,907,813	CITI		3/20/2019		2,045,231
MXN	1,549,810,196	USD	74,861,814	JPMC		3/20/2019		3,067,754
PHP	51,422,000	USD	972,848	CITI**		3/20/2019		2,822
PHP	77,133,000	USD	1,459,274	JPMC**		3/20/2019		4,232
PLN	39,880,800	USD	10,582,759	CITI		3/20/2019		92,961
PLN	59,821,200	USD	15,874,156	JPMC		3/20/2019		139,421
SEK	148,141,200	USD	16,555,970	CITI		3/20/2019		261,759
SEK	222,211,800	USD	24,834,472	JPMC		3/20/2019		392,124
SGD	13,268,000	USD	9,698,086	CITI		3/20/2019		53,722
SGD	19,902,000	USD	14,546,934	JPMC		3/20/2019		80,779
THB	26,305,600	USD	800,101	CITI		3/20/2019		9,466
THB	39,458,400	USD	1,200,151	JPMC		3/20/2019		14,198
TWD	90,242,400	USD	2,951,739	CITI**		3/20/2019		19,481

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

AQR Funds Annual Report December 2018

153

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
TWD	135,363,600	USD	4,427,615	JPMC**		3/20/2019		$ 29,216
USD	30,557,813	AUD	42,236,800	CITI		3/20/2019		769,453
USD	45,833,743	AUD	63,355,200	JPMC		3/20/2019		1,151,202
USD	15,130,314	BRL	58,154,000	CITI**		3/20/2019		210,689
USD	22,695,443	BRL	87,231,000	JPMC**		3/20/2019		316,005
USD	49,886,480	CAD	66,935,195	CITI		3/20/2019		769,448
USD	74,829,679	CAD	100,402,805	JPMC		3/20/2019		1,154,121
USD	146,369	CHF	142,400	CITI		3/20/2019		444
USD	219,553	CHF	213,600	JPMC		3/20/2019		666
USD	9,107,572	CLP	6,158,217,168	CITI**		3/20/2019		226,653
USD	13,661,341	CLP	9,237,325,752	JPMC**		3/20/2019		339,963
USD	850,004	COP	2,760,197,769	CITI**		3/20/2019		3,159
USD	1,275,004	COP	4,140,296,655	JPMC**		3/20/2019		4,736
USD	10,443,555	EUR	9,045,600	CITI		3/20/2019		12,661
USD	15,665,313	EUR	13,568,400	JPMC		3/20/2019		18,972
USD	31,905,098	GBP	24,796,400	CITI		3/20/2019		181,931
USD	49,105,286	GBP	38,169,600	JPMC		3/20/2019		273,176
USD	2,239,569	HKD	17,477,700	CITI		3/20/2019		2,486
USD	3,359,350	HKD	26,216,550	JPMC		3/20/2019		3,725
USD	364,068	IDR	5,269,347,157	CITI**		3/20/2019		1,885
USD	546,101	IDR	7,904,020,735	JPMC**		3/20/2019		2,827
USD	24,512,283	ILS	90,492,000	CITI		3/20/2019		166,208
USD	36,768,379	ILS	135,738,001	JPMC		3/20/2019		249,266
USD	6,309,586	KRW	6,993,509,402	CITI**		3/20/2019		12,987
USD	9,464,366	KRW	10,490,264,105	JPMC**		3/20/2019		19,467
USD	17,551,741	NOK	149,210,000	CITI		3/20/2019		236,456
USD	26,327,579	NOK	223,815,001	JPMC		3/20/2019		354,653
USD	4,668,427	NZD	6,878,400	CITI		3/20/2019		45,444
USD	7,002,309	NZD	10,317,600	JPMC		3/20/2019		67,833
USD	43,841	PHP	2,308,400	CITI**		3/20/2019		41
USD	65,761	PHP	3,462,600	JPMC**		3/20/2019		62
USD	89,444	PLN	333,600	CITI		3/20/2019		143
USD	134,166	PLN	500,400	JPMC		3/20/2019		214
USD	4,701,522	ZAR	66,983,600	CITI		3/20/2019		88,371
USD	7,062,676	ZAR	100,475,400	JPMC		3/20/2019		142,947
Total unrealized appreciation								18,170,798
AUD	96,436,000	USD	70,171,037	CITI		3/20/2019		(2,157,590	)
AUD	144,654,000	USD	105,258,965	JPMC		3/20/2019		(3,238,795	)
BRL	372,000	USD	96,546	CITI**		3/20/2019		(1,107	)
BRL	558,000	USD	144,818	JPMC**		3/20/2019		(1,661	)
CAD	118,028,199	USD	89,082,926	CITI		3/20/2019		(2,473,857	)
CAD	177,004,801	USD	133,595,439	JPMC		3/20/2019		(3,709,353	)
CLP	3,795,100,400	USD	5,661,593	CITI**		3/20/2019		(188,581	)
CLP	5,692,650,600	USD	8,492,395	JPMC**		3/20/2019		(282,883	)
COP	1,785,332,000	USD	557,362	CITI**		3/20/2019		(9,613	)
COP	2,677,998,000	USD	836,048	JPMC**		3/20/2019		(14,420	)
EUR	7,860,000	USD	9,071,813	CITI		3/20/2019		(8,087	)
EUR	11,790,000	USD	13,607,736	JPMC		3/20/2019		(12,148	)
GBP	22,568,398	USD	29,004,287	CITI		3/20/2019		(131,509	)
GBP	33,852,604	USD	43,506,497	JPMC		3/20/2019		(197,316	)
HKD	126,102,600	USD	16,163,083	CITI		3/20/2019		(22,402	)
HKD	189,153,900	USD	24,244,590	JPMC		3/20/2019		(33,568	)
IDR	9,715,318,400	USD	671,092	CITI**		3/20/2019		(3,319	)
IDR	14,572,977,600	USD	1,006,638	JPMC**		3/20/2019		(4,979	)
ILS	3,494,400	USD	946,987	CITI		3/20/2019		(6,851	)
ILS	5,241,600	USD	1,420,484	JPMC		3/20/2019		(10,276	)

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

AQR Funds Annual Report December 2018

154

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
KRW	993,253,300	USD	896,880	CITI**		3/20/2019		$ (2,606	)
KRW	1,489,879,950	USD	1,345,323	JPMC**		3/20/2019		(3,910	)
MXN	6,858,800	USD	345,091	CITI		3/20/2019		(208	)
MXN	10,288,200	USD	517,638	JPMC		3/20/2019		(313	)
NOK	54,309,200	USD	6,392,924	CITI		3/20/2019		(90,537	)
NOK	81,463,800	USD	9,589,400	JPMC		3/20/2019		(135,817	)
NZD	107,583,600	USD	73,838,636	CITI		3/20/2019		(1,531,525	)
NZD	161,375,398	USD	110,758,089	JPMC		3/20/2019		(2,297,426	)
TWD	3,521,200	USD	115,944	CITI**		3/20/2019		(9	)
TWD	5,281,800	USD	173,916	JPMC**		3/20/2019		(13	)
USD	14,942,442	BRL	58,519,600	CITI**		3/20/2019		(70,980	)
USD	22,413,634	BRL	87,779,400	JPMC**		3/20/2019		(106,498	)
USD	93,642,925	CHF	92,207,602	CITI		3/20/2019		(847,058	)
USD	140,464,207	CHF	138,311,398	JPMC		3/20/2019		(1,270,762	)
USD	64,455	CLP	44,778,000	CITI**		3/20/2019		(121	)
USD	96,682	CLP	67,167,000	JPMC**		3/20/2019		(182	)
USD	14,637,760	CNY	101,829,660	CITI**		3/20/2019		(185,209	)
USD	21,956,613	CNY	152,744,490	JPMC**		3/20/2019		(277,841	)
USD	36,752	COP	121,130,800	CITI**		3/20/2019		(412	)
USD	55,127	COP	181,696,200	JPMC**		3/20/2019		(618	)
USD	158,432,451	EUR	138,174,803	CITI		3/20/2019		(903,216	)
USD	237,647,266	EUR	207,262,202	JPMC		3/20/2019		(1,356,232	)
USD	14,010,766	GBP	11,038,400	CITI		3/20/2019		(111,162	)
USD	19,757,008	GBP	15,561,600	JPMC		3/20/2019		(151,657	)
USD	464,952	HKD	3,633,300	CITI		3/20/2019		(97	)
USD	697,427	HKD	5,449,950	JPMC		3/20/2019		(147	)
USD	11,321,066	HUF	3,186,053,594	CITI		3/20/2019		(110,080	)
USD	16,981,578	HUF	4,779,080,390	JPMC		3/20/2019		(165,141	)
USD	1,131,066	IDR	16,621,335,471	CITI**		3/20/2019		(11,385	)
USD	1,696,597	IDR	24,932,003,205	JPMC**		3/20/2019		(17,080	)
USD	26,479	ILS	98,800	CITI		3/20/2019		(102	)
USD	39,718	ILS	148,200	JPMC		3/20/2019		(154	)
USD	2,727,291	INR	195,716,400	CITI**		3/20/2019		(63,457	)
USD	4,090,931	INR	293,574,600	JPMC**		3/20/2019		(95,191	)
USD	55,879,841	JPY	6,264,737,332	CITI		3/20/2019		(1,631,625	)
USD	83,819,657	JPY	9,397,105,994	JPMC		3/20/2019		(2,447,542	)
USD	13,609,188	KRW	15,264,434,338	CITI**		3/20/2019		(134,130	)
USD	20,413,859	KRW	22,896,651,508	JPMC**		3/20/2019		(201,118	)
USD	12,715,380	MXN	261,762,796	CITI		3/20/2019		(446,917	)
USD	19,074,762	MXN	392,644,196	JPMC		3/20/2019		(668,683	)
USD	10,572,969	NOK	92,182,000	CITI		3/20/2019		(124,420	)
USD	15,859,433	NOK	138,273,000	JPMC		3/20/2019		(186,652	)
USD	2,358,116	NZD	3,510,000	CITI		3/20/2019		(961	)
USD	3,537,170	NZD	5,265,000	JPMC		3/20/2019		(1,445	)
USD	717,420	PHP	38,136,400	CITI**		3/20/2019		(6,172	)
USD	1,076,128	PHP	57,204,600	JPMC**		3/20/2019		(9,261	)
USD	2,095,818	PLN	7,940,800	CITI		3/20/2019		(29,860	)
USD	3,143,724	PLN	11,911,200	JPMC		3/20/2019		(44,794	)
USD	83,073,025	SEK	744,283,211	CITI		3/20/2019		(1,421,729	)
USD	124,609,378	SEK	1,116,424,787	JPMC		3/20/2019		(2,132,750	)
USD	1,556,488	SGD	2,128,800	CITI		3/20/2019		(8,153	)
USD	2,334,729	SGD	3,193,200	JPMC		3/20/2019		(12,232	)
USD	215,044	THB	7,028,400	CITI		3/20/2019		(1,258	)
USD	322,566	THB	10,542,600	JPMC		3/20/2019		(1,887	)
USD	12,023,947	TWD	367,321,606	CITI**		3/20/2019		(70,074	)
USD	18,035,899	TWD	550,982,394	JPMC**		3/20/2019		(105,131	)
USD	1,325,352	ZAR	19,361,200	CITI		3/20/2019		(8,053	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	1,988,025	ZAR	29,041,800	JPMC		3/20/2019		$ (12,080	)
ZAR	224,541,200	USD	16,037,702	CITI		3/20/2019		(573,577	)
ZAR	336,811,803	USD	24,056,585	JPMC		3/20/2019		(860,396	)
Total unrealized depreciation								(33,456,361	)
Net unrealized depreciation							$	(15,285,563	)

** 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

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps Outstanding at December 31, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
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 (0.25%), which is denominated in USD based on the local currencies of the positions within the swap.	14 months maturity 07/25/2019		$914,923		$(22,057	)		$(512,309	)		$(534,366	)
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 ranging from 09/25/2020 - 11/25/2020		$2,217,048		$(5,451	)		$52,733			$47,282

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

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Consolidated Schedule of Investments December 31, 2018

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.	24 months maturity 09/25/2020		$1,455,359		$(6,773	)		$(58,263	)		$(65,036	)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Johannesburg Interbank Agreed Rate (“JIBAR”) plus or minus a specified spread (-0.08%), which is denominated in ZAR based on the local currencies of the positions within the swap.	61 months maturity 10/16/2023		$409,138		$(408,949	)		$(189	)		$(409,138	)
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 05/23/2022		$3,382,338		$106,146			$(3,044	)		$103,102
GSIN	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 (0.03%), which is denominated in CAD based on the local currencies of the positions within the swap.	61 months maturity 09/07/2023		$4,574,474		$112,513			$(48,010	)		$64,503
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 (-0.70% to 0.70%), which is denominated in NOK based on the local currencies of the positions within the swap.	25-36 months maturity 01/14/2021		$14,484,635		$631,944			$113,076			$745,020
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 (-1.00%), which is denominated in JPY based on the local currencies of the positions within the swap.	33 months maturity 01/14/2021		$2,234,088		$479,000			$(41,560	)		$437,440

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

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Consolidated Schedule of Investments December 31, 2018

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%), which is denominated in SEK based on the local currencies of the positions within the swap.	25-26 months maturity 01/14/2021		$2,629,766		$(63,706	)		$(1,295	)		$(65,001	)
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 (-0.25%), which is denominated in USD based on the local currencies of the positions within the swap.	24-25 months maturity 07/21/2020		$937,984		$211,072			$(2,216	)		$208,856
BANA	The Fund receives the total return on a portfolio of long and short equity and fixed income 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.	24-25 months maturity ranging from 09/25/2020 - 12/28/2020		$55,127,675		$327,906			$478,252			$806,158

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		$	29,789,660		$	970,771			120.4	%
		SHARES
Short Positions
Common Stock
Germany
Bayer AG (Registered)		(364,320	)		(25,338,015	)		(642,865	)		(79.7	)

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

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Consolidated Schedule of Investments December 31, 2018

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 GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread(-0.23% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.	85 months maturity 12/19/2019		$198,417,983		$(2,610,452	)		$(2,621,080	)		$(5,231,532	)

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 Group plc		136,914	$	2,893,132	$	158,902			(3.0	)%
Rio Tinto plc		113,193		5,421,087		69,329			(1.3	)
Netherlands
Royal Dutch Shell plc		83,695		2,463,382		(177,151	)		3.4
Russia
Evraz plc		685,368		4,196,837		368,329			(7.0	)
South Africa
Anglo American plc		222,466		4,974,490		112,136			(2.1	)
Investec plc		666,133		3,744,817		(624,084	)		11.9
Switzerland
IWG plc		806,309		2,145,517		(276,087	)		5.3
United Kingdom
BAE Systems plc		249,562		1,459,653		(440,845	)		8.4
Bellway plc		54,216		1,739,493		(397,683	)		7.6
BP plc		848,417		5,363,428		(547,130	)		10.5
BT Group plc		1,488,984		4,527,399		174,162			(3.3	)
Close Brothers Group plc		169,096		3,103,262		95,155			(1.8	)
Direct Line Insurance Group plc		443,529		1,802,921		(159,743	)		3.1
Dixons Carphone plc		1,558,095		2,386,400		(2,109,548	)		40.3
Drax Group plc		379,996		1,738,450		(82,222	)		1.6
Inchcape plc		510,120		3,589,603		(863,087	)		16.5
Intermediate Capital Group plc		293,017		3,495,171		1,033,828			(19.8	)
Man Group plc		1,781,042		3,017,629		(864,572	)		16.5
Moneysupermarket.com Group plc		552,718		1,940,578		(125,232	)		2.4
National Grid plc		250,082		2,446,633		(180,355	)		3.4
Persimmon plc		125,940		3,101,374		(940,269	)		18.0
Royal Mail plc		651,988		2,262,977		(1,219,406	)		23.3
Smith & Nephew plc		386,920		7,242,627		583,401			(11.2	)
Spectris plc		47,126		1,369,524		(3,855	)		0.1
Standard Life Aberdeen plc		459,458		1,504,425		(757,678	)		14.5
Tate & Lyle plc		248,653		2,092,346		(90,175	)		1.7
Vodafone Group plc		963,136		1,872,616		(115,319	)		2.2

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

AQR Funds	Annual Report		December 2018
		��

159

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Switzerland
Mediclinic International plc		(404,932	)	$	(1,662,705	)	$	1,663,938			(31.8	) %
United Arab Emirates
NMC Health plc		(37,564	)		(1,311,030	)		237,695			(4.5	)
United Kingdom
Admiral Group plc		(129,893	)		(3,389,387	)		160,415			(3.1	)
Aggreko plc		(426,315	)		(3,974,947	)		911,499			(17.4	)
Auto Trader Group plc		(439,945	)		(2,553,174	)		(603,000	)		11.5
Babcock International Group plc		(457,497	)		(2,853,538	)		1,165,200			(22.3	)
Capita plc		(1,504,713	)		(2,157,216	)		312,115			(6.0	)
Greene King plc		(469,143	)		(3,158,161	)		148,747			(2.8	)
Hargreaves Lansdown plc		(357,963	)		(8,442,553	)		(2,655,095	)		50.8
International Consolidated Airlines Group SA		(242,927	)		(1,916,094	)		65,123			(1.2	)
J Sainsbury plc		(548,000	)		(1,852,515	)		(113,692	)		2.2
John Wood Group plc		(1,211,738	)		(7,796,269	)		2,347,421			(44.9	)
Just Eat plc		(269,752	)		(2,017,284	)		493,512			(9.4	)
Legal & General Group plc		(705,456	)		(2,078,534	)		194,373			(3.7	)
Merlin Entertainments plc		(1,023,860	)		(4,147,217	)		457,921			(8.8	)
Micro Focus International plc		(563,632	)		(9,874,057	)		(1,055,045	)		20.2
Pearson plc		(167,581	)		(2,007,603	)		(471,513	)		9.0
Petrofac Ltd.		(323,818	)		(1,965,624	)		88,943			(1.7	)
Rentokil Initial plc		(330,923	)		(1,423,630	)		(33,236	)		0.6
Rightmove plc		(458,747	)		(2,528,199	)		(24,943	)		0.5
Rotork plc		(472,331	)		(1,491,468	)		(36,982	)		0.7
Spirax-Sarco Engineering plc		(22,532	)		(1,793,455	)		(353,080	)		6.7
Weir Group plc (The)		(104,777	)		(1,735,029	)		844,033			(16.1	)

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 (-0.05% to 0.04%), which is denominated in EUR based on the local currencies of the positions within the swap.	85 months maturity 12/19/2019		$77,736,092		$(299,135	)		$300,034		$899

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		3,550	$	673,177	$	(95,943	)		(10672.2	)%
Air France-KLM		165,723		1,799,709		(267,826	)		(29791.5	)
Airbus SE		5,202		495,958		(32,892	)		(3658.7	)

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

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AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Alstom SA		13,421		$	542,134		$	(46,836	)		(5209.8	) %
Amundi SA		5,294			279,899			(32,965	)		(3666.9	)
Atos SE		27,108			2,221,111			(815,414	)		(90702.3	)
BNP Paribas SA		10,237			462,311			(63,572	)		(7071.4	)
Casino Guichard Perrachon SA		5,685			236,742			(27,993	)		(3113.8	)
Cie Generale des Etablissements Michelin SCA		2,689			264,670			(18,273	)		(2032.6	)
CNP Assurances		78,049			1,656,709			76,035			8457.7
Dassault Systemes SE		2,320			275,569			(20,997	)		(2335.6	)
Electricite de France SA		25,538			404,187			(37,462	)		(4167.1	)
Engie SA		153,110			2,199,875			(154,762	)		(17214.9	)
Eutelsat Communications SA		58,059			1,143,830			(47,792	)		(5316.1	)
Faurecia SA		73,799			2,784,534			(1,290,055	)		(143498.9	)
Hermes International		774			430,004			(5,806	)		(645.8	)
Ipsen SA		8,266			1,069,511			(133,406	)		(14839.4	)
Kering SA		805			377,117			17,193			1912.5
Lagardere SCA		33,634			848,766			(56,851	)		(6323.8	)
Natixis SA		65,178			307,411			(110,087	)		(12245.5	)
Orange SA		25,031			405,647			(18,665	)		(2076.2	)
Peugeot SA		462,622			9,866,716			(502,782	)		(55926.8	)
Renault SA		31,603			1,968,651			(994,131	)		(110581.9	)
Sanofi		10,899			945,487			(24,663	)		(2743.4	)
Teleperformance		14,681			2,348,518			478,756			53254.3
Thales SA		10,161			1,187,386			167,402			18620.9
TOTAL SA		15,937			840,599			(103,452	)		(11507.5	)
Ubisoft Entertainment SA		12,383			997,599			(174,754	)		(19438.7	)
Luxembourg
SES SA		62,397			1,194,660			(160,299	)		(17830.8	)
Short Positions
Common Stock
France
Altran Technologies SA		(189,189	)		(1,520,536	)		196,376			21843.8
Bollore SA		(438,720	)		(1,758,941	)		(144,449	)		(16067.7	)
Bureau Veritas SA		(24,227	)		(493,683	)		21,992			2446.3
Capgemini SE		(3,140	)		(312,320	)		61,286			6817.1
Carrefour SA		(36,478	)		(623,297	)		34,106			3793.8
Cie de Saint-Gobain		(13,343	)		(442,941	)		87,008			9678.3
Edenred		(61,145	)		(2,251,907	)		(961,505	)		(106952.7	)
Elior Group SA		(34,786	)		(520,508	)		(3,184	)		(354.2	)
Getlink SE		(228,413	)		(3,069,266	)		(650,590	)		(72368.2	)
Iliad SA		(62,067	)		(8,710,640	)		2,769,926			308111.9
Ingenico Group SA		(54,146	)		(3,071,565	)		1,142,142			127045.8
JCDecaux SA		(73,773	)		(2,072,665	)		355,951			39594.1
L’Oreal SA		(1,668	)		(381,679	)		(20,253	)		(2252.8	)
LVMH Moet Hennessy Louis Vuitton SE		(1,680	)		(491,864	)		13,126			1460.1
Remy Cointreau SA		(42,389	)		(4,804,733	)		(1,086,052	)		(120806.7	)
Societe BIC SA		(4,791	)		(489,423	)		(52,935	)		(5888.2	)
Sodexo SA		(3,859	)		(395,762	)		(10,050	)		(1117.9	)
SPIE SA		(26,840	)		(356,340	)		120,237			13374.5
Suez		(70,654	)		(934,940	)		29,625			3295.3
Valeo SA		(121,602	)		(3,546,595	)		1,812,624			201626.7
Luxembourg
Eurofins Scientific SE		(4,384	)		(1,637,338	)		487,167			54189.9

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

AQR Funds Annual Report December 2018

161

Consolidated Schedule of Investments December 31, 2018

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 and fixed income 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.	61 months maturity 08/02/2023		$38,505,723		$(21,071	)		$154,837		$133,766

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
China
Mandatory Exchangeable Trust, 5.75%, 06/01/2019	$	125,000		$	19,291,250		$	(7,052,500	)		(5272.3	)%
Short Positions
Common Stock
China
Alibaba Group Holding Ltd., ADR		(140,180	)		(19,214,473	)		7,031,429			5256.5

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 (-1.40% 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 11/22/2021 - 12/20/2023		$842,648,569		$(10,779,924	)		$(1,235,370	)		$(12,015,294	)

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.		107,250	$	4,886,310	$	52,850			(0.4	)%
Agilent Technologies, Inc.		68,764		4,638,819		369,748			(3.1	)
Alleghany Corp.		7,914		4,932,954		396,810			(3.3	)
Allstate Corp. (The)		56,124		4,637,526		(612,075	)		5.1
Anadarko Petroleum Corp.		123,393		5,409,549		(2,949,722	)		24.5

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

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162

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)				PERCENTAGE OF SWAP VALUE
United States (continued)
Archer-Daniels-Midland Co.		194,981		$	7,988,372		$	(562,113	)			4.7	%
Ashland Global Holdings, Inc.		62,361			4,425,137			(450,018	)			3.7
Biogen, Inc.		15,205			4,575,489			(140,595	)			1.2
Bruker Corp.		157,359			4,684,577			(78,679	)			0.7
Cabot Corp.		129,018			5,540,033			(2,229,003	)			18.6
Celanese Corp.		55,038			4,951,769			(1,217,177	)			10.1
ConocoPhillips		136,508			8,511,274			(1,613,778	)			13.4
Fidelity National Financial, Inc.		202,970			6,381,377			(1,120,394	)			9.3
Gilead Sciences, Inc.		111,616			6,981,581			(674,299	)			5.6
Hanover Insurance Group, Inc. (The)		40,203			4,694,504			(178,710	)			1.5
Hartford Financial Services Group, Inc. (The)		160,688			7,142,582			(1,178,699	)			9.8
Lamb Weston Holdings, Inc.		127,590			9,385,520			918,173				(7.6	)
LyondellBasell Industries NV		69,844			5,808,227			(1,643,636	)			13.7
Marathon Petroleum Corp.		81,207			4,792,025			(600,713	)			5.0
Mondelez International, Inc.		158,486			6,344,195			(237,951	)	��		2.0
Prudential Financial, Inc.		64,651			5,272,289			(1,035,252	)			8.6
Reinsurance Group of America, Inc.		40,673			5,703,575			(357,800	)			3.0
Tyson Foods, Inc.		160,385			8,564,559			(1,882,232	)			15.7
US Foods Holding Corp.		170,657			5,399,587			(518,194	)			4.3
Valero Energy Corp.		76,076			5,703,418			(3,230,742	)			26.9
Walmart, Inc.		49,798			4,638,684			(70,691	)			0.6
WR Grace & Co.		96,770			6,281,341			(646,424	)			5.4
Short Positions
Common Stock
United States
Albemarle Corp.		(86,110	)		(6,636,498	)		1,462,363				(12.2	)
Arch Capital Group Ltd.		(182,534	)		(4,877,308	)		(73,006	)			0.6
Brown-Forman Corp.		(98,746	)		(4,698,335	)		805,107				(6.7	)
Campbell Soup Co.		(287,383	)		(9,480,765	)		1,930,606				(16.1	)
Centennial Resource Development, Inc.		(462,513	)		(5,096,893	)		3,291,268				(27.4	)
Chemours Co. (The)		(164,415	)		(4,639,791	)		855,314				(7.1	)
Compass Minerals International, Inc.		(118,898	)		(4,956,858	)		2,769,729				(23.1	)
Crown Holdings, Inc.		(243,686	)		(10,130,027	)		795,492				(6.6	)
Hormel Foods Corp.		(199,141	)		(8,499,338	)		(1,197,639	)			10.0
Kinder Morgan, Inc.		(324,551	)		(4,991,594	)		458,444				(3.8	)
Kraft Heinz Co. (The)		(167,444	)		(7,206,790	)		2,295,246				(19.1	)
Marsh & McLennan Cos., Inc.		(56,695	)		(4,521,426	)		179,966				(1.5	)
McCormick & Co., Inc. (Non-Voting)		(43,297	)		(6,028,674	)		(1,497,208	)			12.5
Mercury General Corp.		(94,259	)		(4,874,133	)		(412,749	)			3.4
PerkinElmer, Inc.		(59,482	)		(4,672,311	)		(62,445	)			0.5
Prestige Consumer Healthcare, Inc.		(160,890	)		(4,968,283	)		495,131				(4.1	)
Primerica, Inc.		(70,237	)		(6,862,857	)		44,952				(0.4	)
Seattle Genetics, Inc.		(141,994	)		(8,045,380	)		640,923				(5.3	)
Sprouts Farmers Market, Inc.		(232,108	)		(5,456,859	)		(298,421	)			2.5
Syneos Health, Inc.		(180,907	)		(7,118,690	)		733,853				(6.1	)
Valvoline, Inc.		(512,330	)		(9,913,586	)		600,005				(5.0	)
Williams Cos., Inc. (The)		(388,468	)		(8,565,719	)		2,458,806				(20.5	)
WR Berkley Corp.		(81,276	)		(6,007,109	)		203,949				(1.7	)

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

AQR Funds Annual Report December 2018

163

Consolidated Schedule of Investments December 31, 2018

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 TIIE plus or minus a specified spread (-0.08% 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 - 11/13/2023		$17,943,723		$(311,504	)		$(48,920	)		$(360,424	)

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

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Mexico
Alfa SAB de CV		444,700		$	529,067		$	34,537			(9.6	)%
Arca Continental SAB de CV		274,900			1,535,526			(198,152	)		55.0
Gruma SAB de CV		156,930			1,778,382			(28,456	)		7.9
Grupo Mexico SAB de CV		499,600			1,028,093			(438,456	)		121.7
Mexichem SAB de CV		630,153			1,601,376			(269,715	)		74.8
Promotora y Operadora de Infraestructura SAB de CV		26,766			256,236			(8,234	)		2.3
Wal-Mart de Mexico SAB de CV		2,236,900			5,687,936			(32,141	)		8.9
Short Positions
Common Stock
Mexico
Alsea SAB de CV		(322,800	)		(840,191	)		62,930			(17.5	)
El Puerto de Liverpool SAB de CV		(129,140	)		(829,117	)		81,389			(22.6	)
Grupo Bimbo SAB de CV		(28,800	)		(57,375	)		(3,435	)		1.0
Grupo Financiero Inbursa SAB de CV		(989,391	)		(1,424,294	)		112,460			(31.2	)
Industrias Penoles SAB de CV		(27,365	)		(334,116	)		99,456			(27.6	)
Infraestructura Energetica Nova SAB de CV		(324,900	)		(1,211,364	)		235,808			(65.4	)
Kimberly-Clark de Mexico SAB de CV		(523,700	)		(830,650	)		40,505			(11.2	)

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

AQR Funds Annual Report December 2018

164

Consolidated Schedule of Investments December 31, 2018

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 (-0.85% 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 - 12/08/2023		$149,195,916		$(4,243,349	)		$(62,538	)		$(4,305,887	)

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
ANTA Sports Products Ltd.		588,000		$	2,814,968		$	182,124			(4.2	)%
BAIC Motor Corp. Ltd.		2,334,000			1,234,701			(487,027	)		11.3
Beijing Capital International Airport Co. Ltd.		2,066,000			2,192,699			(622,227	)		14.5
China Huarong Asset Management Co. Ltd.		8,516,000			1,554,480			(938,329	)		21.8
China Longyuan Power Group Corp. Ltd.		1,831,000			1,249,926			(174,792	)		4.1
China Medical System Holdings Ltd.		1,514,000			1,413,319			(899,774	)		20.9
China Mobile Ltd.		218,000			2,109,498			2			(0.0	)
China Petroleum & Chemical Corp.		5,890,000			4,198,451			(1,093,739	)		25.4
China Resources Cement Holdings Ltd.		2,468,000			2,225,482			(404,402	)		9.4
China Resources Gas Group Ltd.		522,000			2,068,460			(53,766	)		1.2
China Resources Power Holdings Co. Ltd.		1,628,000			3,131,352			202,115			(4.7	)
CNOOC Ltd.		892,000			1,373,968			(210,725	)		4.9
CSPC Pharmaceutical Group Ltd.		1,176,000			1,688,114			(1,020,050	)		23.7
ENN Energy Holdings Ltd.		221,300			1,966,864			73,591			(1.7	)
Far East Horizon Ltd.		1,882,000			1,900,350			(112,214	)		2.6
Guangdong Investment Ltd.		812,000			1,568,931			272,707			(6.3	)
Haitian International Holdings Ltd.		799,000			1,536,982			(730,311	)		17.0
MMG Ltd.		2,788,000			1,197,733			(248,410	)		5.8
People’s Insurance Co. Group of China Ltd. (The)		2,846,000			1,142,439			(190,901	)		4.4
PICC Property & Casualty Co. Ltd.		2,938,999			2,998,854			439,867			(10.2	)
Shandong Weigao Group Medical Polymer Co. Ltd.		1,932,000			1,560,715			(7,317	)		0.2
Sinopec Engineering Group Co. Ltd.		2,204,000			1,809,086			(449,143	)		10.4
Sinopec Shanghai Petrochemical Co. Ltd.		5,881,000			2,574,346			(1,100,082	)		25.5
Tingyi Cayman Islands Holding Corp.		1,190,000			1,593,776			(551,403	)		12.8
Uni-President China Holdings Ltd.		2,202,000			1,906,836			(495,906	)		11.5
Hong Kong
Haier Electronics Group Co. Ltd.		539,000			1,325,698			(475,792	)		11.0
Kingboard Laminates Holdings Ltd.		1,750,000			1,445,575			(403,498	)		9.4
Sino Biopharmaceutical Ltd.		2,201,998			1,449,550			(513,283	)		11.9
Sun Art Retail Group Ltd.		1,574,000			1,600,654			(333,673	)		7.7
Short Positions
Common Stock
China
BBMG Corp.		(5,402,000	)		(1,701,125	)		110,515			(2.6	)
Beijing Enterprises Water Group Ltd.		(7,732,000	)		(3,946,609	)		252,908			(5.9	)
Brilliance China Automotive Holdings Ltd.		(2,400,000	)		(1,786,299	)		2,185,782			(50.8	)
BYD Co. Ltd.		(207,000	)		(1,325,922	)		(90,427	)		2.1

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

AQR Funds Annual Report December 2018

165

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
China (continued)
CGN Power Co. Ltd.		(14,847,000	)	$	(3,525,107	)	$	413,490			(9.6	) %
China Everbright International Ltd.		(1,586,000	)		(1,421,259	)		(125,970	)		2.9
China Galaxy Securities Co. Ltd.		(4,225,500	)		(1,908,414	)		643,990			(15.0	)
China International Capital Corp. Ltd.		(1,130,000	)		(2,116,069	)		(14,881	)		0.3
China Merchants Bank Co. Ltd.		(596,500	)		(2,178,295	)		75,207			(1.7	)
China Minsheng Banking Corp. Ltd.		(1,830,400	)		(1,262,455	)		141,432			(3.3	)
China Pacific Insurance Group Co. Ltd.		(826,400	)		(2,670,484	)		933,785			(21.7	)
China Railway Construction Corp. Ltd.		(846,500	)		(1,175,761	)		(105,933	)		2.5
China State Construction International Holdings Ltd.		(2,528,000	)		(2,010,764	)		974,290			(22.6	)
Dali Foods Group Co. Ltd.		(1,653,000	)		(1,219,527	)		(58,983	)		1.4
Great Wall Motor Co. Ltd.		(3,664,500	)		(2,106,845	)		446,850			(10.4	)
Haitong Securities Co. Ltd.		(1,929,200	)		(1,842,018	)		563,401			(13.1	)
Huatai Securities Co. Ltd.		(807,400	)		(1,277,148	)		236,911			(5.5	)
Lenovo Group Ltd.		(2,614,000	)		(1,765,856	)		(427,060	)		9.9
Ping An Insurance Group Co. of China Ltd.		(417,500	)		(3,683,192	)		421,576			(9.8	)
Semiconductor Manufacturing International Corp.		(2,546,000	)		(2,219,750	)		199,298			(4.6	)
Hong Kong
China Gas Holdings Ltd.		(510,600	)		(1,820,695	)		(195,017	)		4.5

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 Rand Overnight Deposit Rate plus or minus a specified spread (-0.30% to 0.06%), which is denominated in ZAR based on the local currencies of the positions within the swap.	53-61 months maturity ranging from 04/14/2023 - 12/11/2023		$28,238,885		$834,128		$261,439		$1,095,567

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
Absa Group Ltd.		148,801	$	1,670,095	$	42,899			3.9	%
Anglo American Platinum Ltd.		31,975		1,192,116		245,510			22.4
Aspen Pharmacare Holdings Ltd.		37,451		350,456		(71,381	)		(6.5	)
Exxaro Resources Ltd.		50,927		491,279		128,634			11.7
Imperial Logistics Ltd.		88,581		418,902		26,428			2.4
MMI Holdings Ltd.		216,687		257,301		(9,721	)		(0.9	)
Motus Holdings Ltd.		88,581		541,860		(129,723	)		(11.8	)
Mr Price Group Ltd.		32,780		560,038		61,837			5.6
Netcare Ltd.		503,272		920,988		19,940			1.8
Pick n Pay Stores Ltd.		109,499		516,574		(32,389	)		(3.0	)
RMB Holdings Ltd.		51,463		281,930		10,003			0.9
Sasol Ltd.		21,975		653,020		5,032			0.5
Shoprite Holdings Ltd.		46,483		614,023		1,797			0.2
Telkom SA SOC Ltd.		38,643		170,166		33,210			3.0

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

AQR Funds Annual Report December 2018

166

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
South Africa (continued)
Tiger Brands Ltd.		85,214		$	1,620,596		$	16,599			1.5	%
Truworths International Ltd.		257,381			1,573,947			107,906			9.8
Woolworths Holdings Ltd.		187,747			719,040			41,881			3.8
United Kingdom
Mondi Ltd.		76,519			1,648,263			(77,825	)		(7.1	)
Short Positions
Common Stock
South Africa
Capitec Bank Holdings Ltd.		(6,045	)		(468,449	)		(41,277	)		(3.8	)
Clicks Group Ltd.		(46,480	)		(617,925	)		5,520			0.5
Coronation Fund Managers Ltd.		(205,179	)		(589,174	)		232,357			21.2
Discovery Ltd.		(178,769	)		(1,985,001	)		166,277			15.2
FirstRand Ltd.		(374,126	)		(1,704,096	)		(96,479	)		(8.8	)
Foschini Group Ltd. (The)		(20,273	)		(234,115	)		3,575			0.3
Investec Ltd.		(16,685	)		(91,152	)		16,064			1.5
Kumba Iron Ore Ltd.		(4,524	)		(88,970	)		(6,422	)		(0.6	)
Liberty Holdings Ltd.		(18,218	)		(138,718	)		3,783			0.3
Life Healthcare Group Holdings Ltd.		(40,084	)		(73,704	)		2,946			0.3
MTN Group Ltd.		(152,682	)		(943,768	)		100,706			9.2
Naspers Ltd.		(3,442	)		(689,145	)		58,380			5.3
Nedbank Group Ltd.		(9,692	)		(184,851	)		5,206			0.5
Pioneer Foods Group Ltd.		(98,996	)		(582,971	)		252,388			23.0
PSG Group Ltd.		(98,036	)		(1,662,319	)		(218,279	)		(19.9	)
Sanlam Ltd.		(64,232	)		(355,793	)		(30,008	)		(2.7	)
Sappi Ltd.		(17,030	)		(96,606	)		9,114			0.8
SPAR Group Ltd. (The)		(53,917	)		(776,765	)		(110,991	)		(10.1	)
Vodacom Group Ltd.		(299,517	)		(2,754,769	)		60,631			5.5

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 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 - 12/08/2023		$16,007,104		$1,167,869		$(22,112	)		$1,145,757

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
Poland
Cyfrowy Polsat SA		8,724	$	52,782	$	(772	)		(0.1	)%
Grupa Lotos SA		6,739		159,667		7,807			0.7
Jastrzebska Spolka Weglowa SA		52,645		951,813		(218,378	)		(19.1	)
LPP SA		272		571,875		(66,894	)		(5.8	)
PGE Polska Grupa Energetyczna SA		638,427		1,711,869		(16,247	)		(1.4	)

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

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Consolidated Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Poland (continued)
Polski Koncern Naftowy ORLEN SA		59,056		$	1,711,074		$	257,375			22.5	%
Polskie Gornictwo Naftowe i Gazownictwo SA		1,390,038			2,570,142			333,539			29.1
Powszechna Kasa Oszczednosci Bank Polski SA		26,320			278,033			(7,353	)		(0.6	)
Short Positions
Common Stock
Poland
Alior Bank SA		(1,438	)		(20,474	)		3,337			0.3
Bank Polska Kasa Opieki SA		(20,029	)		(583,930	)		75,865			6.6
CCC SA		(44,458	)		(2,306,540	)		421,336			36.8
CD Projekt SA		(10,000	)		(389,039	)		42,631			3.7
Dino Polska SA		(27,788	)		(713,598	)		(87,513	)		(7.6	)
KGHM Polska Miedz SA		(46,535	)		(1,104,007	)		(902	)		(0.1	)
Orange Polska SA		(1,491,498	)		(1,914,178	)		426,220			37.2
Santander Bank Polska SA		(10,072	)		(968,083	)		(2,182	)		(0.2	)

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 and Federal Funds Floating Rate plus or minus a specified spread (-0.13% 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 - 12/06/2023		$71,356,864		$312,952		$150,684		$463,636

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
Guaranty Bancorp		54,114		$	1,122,866		$	(487,209	)		(105.1	)%
L3 Technologies, Inc.		130,508			22,664,019			(2,955,445	)		(637.4	)
MB Financial, Inc.		97,792			3,875,497			(1,006,972	)		(217.2	)
Navigators Group, Inc. (The)		27,372			1,902,080			(2,578	)		(0.6	)
Pebblebrook Hotel Trust		64,202			1,817,559			(555,021	)		(119.7	)
Rent-A-Center, Inc.		333,673			5,402,166			484,187			104.4
SendGrid, Inc.		84,250			3,637,072			450,164			97.1
Short Positions
Common Stock
Fifth Third Bancorp		(142,088	)		(3,343,331	)		1,098,800			237.0
Harris Corp.		(169,710	)		(22,851,452	)		3,234,261			697.6
Independent Bank Group, Inc.		(23,857	)		(1,091,935	)		496,332			107.1
Twilio, Inc.		(40,861	)		(3,648,887	)		(443,567	)		(95.7	)

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

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Consolidated Schedule of Investments December 31, 2018

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 and Federal Funds Floating Rate plus or minus a specified spread (-12.40% to 1.40%), which is denominated in USD based on the local currencies of the positions within the swap.

25-36 months maturity 01/14/2021

$1,697,738,996

$1,385,375

$(20,912,390

)

$(19,527,015

)

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
Centene Corp.		60,522		$	6,978,187		$	(584,199	)		3.0	%
Crane Co.		84,509			6,099,860			(1,739,375	)		8.9
Curtiss-Wright Corp.		85,801			8,761,998			(1,886,758	)		9.7
Deckers Outdoor Corp.		63,785			8,161,291			2,211,238			(11.3	)
Evergy, Inc.		151,622			8,607,581			848,906			(4.3	)
Exelon Corp.		407,068			18,358,767			3,094,483			(15.8	)
Hyatt Hotels Corp.		127,975			8,651,110			(1,421,115	)		7.3
Jabil, Inc.		333,579			8,269,423			(647,807	)		3.3
JetBlue Airways Corp.		406,299			6,525,162			(1,270,425	)		6.5
KB Home		438,020			8,366,182			(4,143,214	)		21.2
Keysight Technologies, Inc.		120,929			7,507,272			(126,335	)		0.6
Lear Corp.		52,044			6,394,126			(2,694,525	)		13.8
McKesson Corp.		64,238			7,096,372			(1,561,216	)		8.0
Molina Healthcare, Inc.		83,777			9,736,563			1,790,781			(9.2	)
NorthWestern Corp.		136,783			8,130,382			1,118,041			(5.7	)
NVR, Inc.		2,596			6,326,426			(1,241,668	)		6.4
Pinnacle West Capital Corp.		79,182			6,746,306			611,496			(3.1	)
Popular, Inc.		288,531			13,624,434			1,461,752			(7.5	)
Public Service Enterprise Group, Inc.		160,853			8,372,399			(71,818	)		0.4
Spirit AeroSystems Holdings, Inc.		84,176			6,068,248			(1,534,127	)		7.9
Waste Management, Inc.		74,850			6,660,902			462,490			(2.4	)
Zebra Technologies Corp.		62,070			9,883,406			1,018,114			(5.2	)
Short Positions
Common Stock
United States
3M Co.		(37,205	)		(7,089,041	)		469,913			(2.4	)
ACI Worldwide, Inc.		(246,432	)		(6,818,773	)		(1,306,654	)		6.7
Black Hills Corp.		(119,331	)		(7,491,600	)		(1,281,551	)		6.6
CarMax, Inc.		(112,045	)		(7,028,583	)		(165,460	)		0.8
Cognex Corp.		(242,723	)		(9,386,098	)		2,553,154			(13.1	)
Copart, Inc.		(149,562	)		(7,146,072	)		(95,284	)		0.5
Fastenal Co.		(134,967	)		(7,057,424	)		334,383			(1.7	)
First Republic Bank		(80,975	)		(7,036,728	)		668,497			(3.4	)
Fortive Corp.		(114,579	)		(7,752,415	)		1,364,542			(7.0	)
Hanesbrands, Inc.		(513,644	)		(6,435,959	)		2,714,944			(13.9	)
Healthcare Services Group, Inc.		(242,535	)		(9,745,056	)		(81,666	)		0.4

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

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Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
HEICO Corp.		(145,275	)	$	(11,255,907	)	$	(3,654,857	)		18.7	%
Henry Schein, Inc.		(151,536	)		(11,898,607	)		(1,267,313	)		6.5
Insulet Corp.		(88,908	)		(7,052,183	)		549,953			(2.8	)
Liberty Broadband Corp.		(149,889	)		(10,796,505	)		1,502,961			(7.7	)
MarketAxess Holdings, Inc.		(73,723	)		(15,578,407	)		(743,945	)		3.8
Medidata Solutions, Inc.		(98,485	)		(6,639,859	)		(233,860	)		1.2
Meredith Corp.		(167,616	)		(8,705,975	)		346,033			(1.8	)
Microchip Technology, Inc.		(101,552	)		(7,303,620	)		702,005			(3.6	)
Middleby Corp. (The)		(150,829	)		(15,494,663	)		2,329,466			(11.9	)
NuVasive, Inc.		(141,892	)		(7,032,168	)		(368,693	)		1.9
PPL Corp.		(1,026,477	)		(29,080,093	)		(648,864	)		3.3
Sempra Energy		(95,570	)		(10,339,718	)		715,203			(3.7	)
Six Flags Entertainment Corp.		(110,701	)		(6,158,297	)		1,179,413			(6.0	)
Square, Inc.		(124,202	)		(6,966,490	)		1,136,091			(5.8	)
TransDigm Group, Inc.		(42,196	)		(14,349,172	)		(1,902,831	)		9.7
Under Armour, Inc.		(449,082	)		(7,935,279	)		1,484,198			(7.6	)
ViaSat, Inc.		(110,958	)		(6,540,974	)		947,717			(4.9	)

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(-10.00% to 0.70%), which is denominated in JPY based on the local currencies of the positions within the swap.	25-36 months maturity 01/14/2021		$493,518,115		$9,478,827		$2,737,343		$12,216,170

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
Aisin Seiki Co. Ltd.		92,500	$	3,179,777	$	(1,616,571	)			(13.2	)%
Alfresa Holdings Corp.		184,500		4,702,835		753,113				6.2
Bandai Namco Holdings, Inc.		89,800		4,031,952		1,192,458				9.8
Eisai Co. Ltd.		41,345		3,200,923		(25,351	)			(0.2	)
Hankyu Hanshin Holdings, Inc.		98,300		3,268,246		(242,222	)			(2.0	)
Haseko Corp.		376,200		3,939,419		(1,190,405	)			(9.7	)
Hikari Tsushin, Inc.		29,400		4,595,397		466,914				3.8
Hitachi Ltd.		274,900		7,287,668		4,840,893				39.6
Isuzu Motors Ltd.		224,200		3,144,877		(293,389	)	��		(2.4	)
Japan Airlines Co. Ltd.		179,200		6,351,041		(262,926	)			(2.2	)
Kajima Corp.		369,400		4,962,184		1,535,739				12.6
Kamigumi Co. Ltd.		166,500		3,406,383		(131,886	)			(1.1	)
Kirin Holdings Co. Ltd.		150,200		3,131,905		(320,410	)			(2.6	)
Lion Corp.		240,600		4,972,605		425,288				3.5
Marubeni Corp.		459,900		3,226,894		(72,304	)			(0.6	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Medipal Holdings Corp.		147,500		$	3,155,644		$	360,960			3.0	%
Nippon Express Co. Ltd.		66,800			3,710,960			(503,127	)		(4.1	)
Obayashi Corp.		461,625			4,179,984			(664,512	)		(5.4	)
Resona Holdings, Inc.		1,017,100			4,878,503			(793,248	)		(6.5	)
Sega Sammy Holdings, Inc.		215,700			3,007,020			(131,787	)		(1.1	)
Shimadzu Corp.		210,900			4,158,915			(1,018,867	)		(8.3	)
Sojitz Corp.		1,022,500			3,540,606			(34,802	)		(0.3	)
Sony Corp.		103,400			4,984,874			(618,018	)		(5.1	)
Stanley Electric Co. Ltd.		133,000			3,720,616			(1,112,377	)		(9.1	)
Sumitomo Dainippon Pharma Co. Ltd.		113,700			3,625,929			1,029,778			8.4
Taisei Corp.		192,300			8,235,903			(670,611	)		(5.5	)
Tokyo Gas Co. Ltd.		122,800			3,105,877			100,337			0.8
Toyota Boshoku Corp.		226,700			3,357,482			(1,144,581	)		(9.4	)
Short Positions
Common Stock
Japan
AEON Financial Service Co. Ltd.		(188,100	)		(3,337,052	)		756,625			6.2
Asics Corp.		(318,800	)		(4,048,957	)		948,335			7.8
Calbee, Inc.		(252,900	)		(7,899,188	)		348,134			2.8
Casio Computer Co. Ltd.		(458,600	)		(5,437,273	)		742,353			6.1
Chugoku Electric Power Co., Inc. (The)		(373,200	)		(4,850,008	)		(782,728	)		(6.4	)
DeNA Co. Ltd.		(386,719	)		(6,450,402	)		66,492			0.5
Hokuriku Electric Power Co.		(365,300	)		(3,183,431	)		(550,430	)		(4.5	)
Japan Tobacco, Inc.		(132,200	)		(3,141,217	)		295,036			2.4
Kakaku.com, Inc.		(277,300	)		(4,905,094	)		(334,247	)		(2.7	)
Kansai Paint Co. Ltd.		(375,000	)		(7,202,737	)		1,158,484			9.5
Kikkoman Corp.		(101,600	)		(5,437,079	)		(1,531,626	)		(12.5	)
Kyushu Electric Power Co., Inc.		(268,000	)		(3,191,245	)		(372,813	)		(3.1	)
Marui Group Co. Ltd.		(242,300	)		(4,695,754	)		(544,284	)		(4.5	)
Murata Manufacturing Co. Ltd.		(39,200	)		(5,282,193	)		271,774			2.2
NGK Spark Plug Co. Ltd.		(312,200	)		(6,179,977	)		1,042,369			8.5
Nippon Paint Holdings Co. Ltd.		(263,600	)		(8,981,252	)		(565,704	)		(4.6	)
Ricoh Co. Ltd.		(653,857	)		(6,389,440	)		65,955			0.5
Sawai Pharmaceutical Co. Ltd.		(90,000	)		(4,287,237	)		(204,804	)		(1.7	)
Seven Bank Ltd.		(1,107,700	)		(3,162,093	)		531,337			4.3
Shimano, Inc.		(43,900	)		(6,188,466	)		(116,505	)		(1.0	)
Sony Financial Holdings, Inc.		(260,700	)		(4,858,559	)		(270,066	)		(2.2	)
Sumitomo Metal Mining Co. Ltd.		(134,300	)		(3,596,482	)		2,270,237			18.6

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

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Consolidated Schedule of Investments December 31, 2018

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(-29.00% to 1.30%), which is denominated in EUR based on the local currencies of the positions within the swap.	25-36 months maturity 01/14/2021		$197,079,592		$(5,845,645	)		$(695,818	)		$(6,541,463	)

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		66,613	$	3,595,007		$(8,537	)		0.1	%
Neste OYJ		22,373		1,732,176		(110,579	)		1.7
Germany
Aurubis AG		44,415		2,200,865		(1,480,552	)		22.6
Covestro AG		46,241		2,290,062		(2,168,243	)		33.1
Deutsche Lufthansa AG (Registered)		258,881		5,846,454		(1,864,245	)		28.5
Rheinmetall AG		48,901		4,336,486		(1,610,881	)		24.6
RWE AG		61,259		1,334,214		(52,528	)		0.8
Salzgitter AG		74,715		2,180,429		(1,780,755	)		27.2
Software AG		81,744		2,953,030		(973,566	)		14.9
Talanx AG		50,248		1,715,910		(299,339	)		4.6
Wirecard AG		13,665		2,060,030		(642,959	)		9.8
Italy
A2A SpA		3,111,738		5,611,944		546,181			(8.3	)
Autogrill SpA		191,719		1,617,491		(728,945	)		11.1
FinecoBank Banca Fineco SpA		288,782		2,905,561		(244,301	)		3.7
Mediobanca Banca di Credito Finanziario SpA		239,701		2,028,216		(485,991	)		7.4
Poste Italiane SpA		726,880		5,828,637		475,109			(7.3	)
Telecom Italia SpA		4,284,786		2,372,097		(257,060	)		3.9
Unipol Gruppo SpA		792,167		3,194,619		(525,607	)		8.0
Netherlands
ASM International NV		35,626		1,468,906		(818,563	)		12.5
ASR Nederland NV		118,267		4,679,703		85,021			(1.3	)
Koninklijke Ahold Delhaize NV		67,993		1,717,653		203,624			(3.1	)
NN Group NV		98,003		3,896,462		(175,811	)		2.7
Signify NV		57,547		1,346,227		(723,164	)		11.1
Spain
ACS Actividades de Construccion y Servicios SA		37,633		1,456,671		58,163			(0.9	)
Banco Bilbao Vizcaya Argentaria SA		325,550		1,729,262		(197,434	)		3.0
Bankinter SA		256,046		2,054,543		(527,155	)		8.1
Repsol SA		308,373		4,957,731		14,361			(0.2	)
United Kingdom
Fiat Chrysler Automobiles NV		500,276		7,213,165		(2,237,771	)		34.2

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

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172

Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Germany
1&1 Drillisch AG		(62,447	)	$	(3,189,251	)		$ (201,289	)		3.1	%
Continental AG		(11,542	)		(1,607,061	)		245,127			(3.7	)
Daimler AG (Registered)		(65,623	)		(3,459,312	)		673,437			(10.3	)
Deutsche Bank AG (Registered)		(238,970	)		(1,905,831	)		821,138			(12.6	)
FUCHS PETROLUB SE (Preference)		(46,653	)		(1,928,732	)		440,921			(6.7	)
GEA Group AG		(141,279	)		(3,637,324	)		2,380,748			(36.4	)
Henkel AG & Co. KGaA (Preference)		(12,589	)		(1,375,084	)		82,997			(1.3	)
OSRAM Licht AG		(35,166	)		(1,530,375	)		(36,968	)		0.6
ProSiebenSat.1 Media SE		(74,077	)		(1,318,095	)		1,276,529			(19.5	)
Symrise AG		(19,146	)		(1,418,586	)		8,429			(0.1	)
Italy
Banca Generali SpA		(92,865	)		(1,930,592	)		802,560			(12.3	)
Banco BPM SpA		(968,514	)		(2,178,905	)		247,134			(3.8	)
Ferrari NV		(60,126	)		(5,982,783	)		1,157,115			(17.7	)
Leonardo SpA		(348,817	)		(3,073,155	)		624,768			(9.6	)
Saipem SpA		(638,947	)		(2,394,378	)		454,097			(6.9	)
Unione di Banche Italiane SpA		(443,896	)		(1,288,482	)		503,718			(7.7	)
Luxembourg
Tenaris SA		(393,273	)		(4,226,816	)		1,601,528			(24.5	)
Netherlands
Koninklijke Vopak NV		(131,272	)		(5,952,970	)		(899,206	)		13.7
SBM Offshore NV		(178,043	)		(2,630,666	)		75,459			(1.2	)
Spain
Bankia SA		(1,082,277	)		(3,166,548	)		1,550,342			(23.7	)
Cellnex Telecom SA		(326,895	)		(8,359,848	)		(893,215	)		13.7
United Kingdom
Dialog Semiconductor plc		(49,958	)		(1,294,595	)		(301,093	)		4.6

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 (-0.70% to 0.70%), which is denominated in DKK based on the local currencies of the positions within the swap.	25-36 months maturity 01/14/2021		$29,650,353		$2,623,611		$(125,912	)		$2,497,699

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		13,689	$	1,456,224	$	(34,979	)		(1.4	)%
Danske Bank A/S		66,860		1,327,332		(968,220	)		(38.8	)

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

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Denmark (continued)
Dfds A/S		38,802		$	1,565,999		$	(530,072	)		(21.2	) %
DSV A/S		13,654			901,743			(80,824	)		(3.2	)
FLSmidth & Co. A/S		2,293			103,425			(33,522	)		(1.3	)
GN Store Nord A/S		86,913			3,256,545			530,359			21.2
H Lundbeck A/S		120,550			5,305,753			(578,470	)		(23.2	)
Jyske Bank A/S (Registered)		29,773			1,077,923			(465,163	)		(18.6	)
Novo Nordisk A/S		16,948			778,372			(26,730	)		(1.1	)
Orsted A/S		14,918			998,280			85,877			3.4
Rockwool International A/S		566			148,011			(68,319	)		(2.7	)
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(3,214	)		(4,042,994	)		639,307			25.6
Chr Hansen Holding A/S		(9,115	)		(809,109	)		(87,832	)		(3.5	)
Genmab A/S		(863	)		(141,895	)		(18,114	)		(0.7	)
Novozymes A/S		(20,849	)		(931,584	)		42,533			1.7
Pandora A/S		(92,583	)		(3,779,694	)		4,199,657			168.1
Tryg A/S		(18,016	)		(454,381	)		(61,737	)		(2.5	)
Vestas Wind Systems A/S		(11,006	)		(833,139	)		(108,990	)		(4.4	)
William Demant Holding A/S		(61,041	)		(1,737,950	)		188,850			7.6

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 (-3.30% to 0.70%), which is denominated in CHF based on the local currencies of the positions within the swap.	25-36 months maturity 01/14/2021		$34,929,774		$5,759,149		$76,224		$5,835,373

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
Aryzta AG		57,386	$	63,581	$	(14,973	)		(0.3	)%
Baloise Holding AG (Registered)		7,687		1,061,273		(77,634	)		(1.3	)
Barry Callebaut AG (Registered)		713		1,112,752		(161,769	)		(2.8	)
DKSH Holding AG		2,117		146,368		(19,276	)		(0.3	)
Flughafen Zurich AG (Registered)		12,101		2,002,518		(742,029	)		(12.7	)
GAM Holding AG		66,375		261,723		(188,089	)		(3.2	)
Georg Fischer AG (Registered)		862		691,565		(426,326	)		(7.3	)
Helvetia Holding AG (Registered)		3,967		2,319,949		128,432			2.2
Idorsia Ltd.		1,748		29,045		(5,810	)		(0.1	)
Lonza Group AG (Registered)		504		131,017		(36,953	)		(0.6	)
Novartis AG (Registered)		6,270		536,990		(10,163	)		(0.2	)
Partners Group Holding AG		1,068		649,714		(87,056	)		(1.5	)

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

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Switzerland (continued)
Roche Holding AG		11,166		$	2,772,058		$	281,747			4.8	%
Sonova Holding AG (Registered)		6,211			1,021,376			(94,669	)		(1.6	)
Sunrise Communications Group AG		41,101			3,618,667			(138,021	)		(2.4	)
Temenos AG (Registered)		30,632			3,680,829			(7,651	)		(0.1	)
Zurich Insurance Group AG		1,421			423,584			(21,230	)		(0.4	)
Short Positions
Common Stock
Austria
ams AG		(93,715	)		(2,256,680	)		5,587,946			95.8
Switzerland
ABB Ltd. (Registered)		(11,574	)		(221,018	)		48,452			0.8
Adecco Group AG (Registered)		(14,167	)		(665,883	)		92,035			1.6
Bucher Industries AG (Registered)		(503	)		(135,684	)		19,745			0.3
Chocoladefabriken Lindt & Spruengli AG		(241	)		(1,497,542	)		(136,027	)		(2.3	)
Cie Financiere Richemont SA (Registered)		(11,624	)		(749,604	)		28,426			0.5
Credit Suisse Group AG (Registered)		(20,676	)		(226,024	)		103,804			1.8
dormakaba Holding AG		(156	)		(94,375	)		14,904			0.3
Julius Baer Group Ltd.		(5,025	)		(179,074	)		53,903			0.9
Kuehne + Nagel International AG (Registered)		(3,643	)		(468,951	)		56,583			1.0
LafargeHolcim Ltd. (Registered)		(16,950	)		(699,502	)		113,689			1.9
Panalpina Welttransport Holding AG (Registered)		(4,615	)		(615,620	)		81,338			1.4
Straumann Holding AG (Registered)		(3,429	)		(2,165,629	)		336,243			5.8
Swatch Group AG (The)		(5,600	)		(1,634,404	)		290,341			5.0
Vifor Pharma AG		(25,702	)		(2,796,775	)		689,237			11.8

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 (-4.40% to 0.70%), which is denominated in SEK based on the local currencies of the positions within the swap.	25-36 months maturity 01/14/2021		$17,724,443		$(2,310,683	)		$(54,636	)		$(2,365,319	)

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		227,231	$	2,088,867	$	(1,121,814	)		47.4	%
Sweden
Boliden AB		78,971		1,711,224		(777,552	)		32.9
Electrolux AB		9,752		205,560		(40,699	)		1.7
Elekta AB		61,623		731,720		(63,925	)		2.7
Modern Times Group MTG AB		1,923		63,722		(8,282	)		0.4
SSAB AB		79,990		275,872		(136,912	)		5.8
Svenska Cellulosa AB SCA		108,375		842,148		(197,985	)		8.4

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

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Consolidated Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Sweden (continued)
Swedish Match AB		36,783		$	1,448,052		$	(206,622	)		8.7	%
Swedish Orphan Biovitrum AB		55,081			1,203,968			(199,783	)		8.4
Tele2 AB		86,317			1,100,869			150,540			(6.4	)
Telia Co. AB		32,231			153,319			3,373			(0.1	)
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(32,821	)		(2,076,774	)		(19,688	)		0.8
Sweden
Atlas Copco AB		(13,007	)		(310,321	)		19,804			(0.8	)
Epiroc AB		(13,986	)		(132,932	)		5,360			(0.2	)
Getinge AB		(95,684	)		(865,236	)		149,262			(6.3	)
Hennes & Mauritz AB		(51,460	)		(731,817	)		53,749			(2.3	)
Hexpol AB		(46,116	)		(365,988	)		11,966			(0.5	)
Husqvarna AB		(47,597	)		(353,357	)		20,020			(0.8	)
Saab AB		(5,315	)		(184,145	)		33,230			(1.4	)
Skandinaviska Enskilda Banken AB		(15,273	)		(148,467	)		(4,066	)		0.2
Skanska AB		(6,843	)		(109,113	)		17,671			(0.7	)
Svenska Handelsbanken AB		(173,699	)		(1,932,519	)		228,357			(9.7	)
Telefonaktiebolaget LM Ericsson		(77,774	)		(688,453	)		(226,687	)		9.6

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (0.30%), which is denominated in GBP based on the local currencies of the positions within the swap.	25-29 months maturity 01/14/2021		$30,294,615		$199,937		$(33,863	)		$166,074

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
BTG plc		962,341	$	10,204,897	$	60,185		36.2	%
Jardine Lloyd Thompson Group plc		832,730		20,089,718		139,752		84.2

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

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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 and Federal Funds Floating Rate plus or minus a specified spread(-7.03% to 0.50%), which is denominated in USD based on the local currencies of the positions within the swap.

25-56 months maturity ranging from 01/14/2021 - 07/03/2023

$529,323,993

$(11,321,334

)

$2,876,214

$(8,445,120

)

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.		326,076	$	18,436,337	$	(1,409,215	)		16.7	%
Netherlands
NXP Semiconductors NV		386,487		28,321,767		(15,105,388	)		178.9
United Kingdom
Belmond Ltd.		262,012		6,558,160		87,765			(1.0	)
United States
Apptio, Inc.		194,331		7,376,805		52,085			(0.6	)
ARRIS International plc		719,900		22,007,343		(99,187	)		1.2
Aspen Insurance Holdings Ltd.		355,679		14,934,961		219,479			(2.6	)
athenahealth, Inc.		124,366		16,407,606		(210,907	)		2.5
Avista Corp.		491,406		20,874,927		(4,664,589	)		55.2
Connecticut Water Service, Inc.		34,758		2,324,267		(40,079	)		0.5
Dun & Bradstreet Corp. (The)		107,066		15,282,601		28,689			(0.3	)
Electro Scientific Industries, Inc.		190,659		5,712,144		293,227			(3.5	)
Esterline Technologies Corp.		140,905		17,112,912		645,274			(7.6	)
FCB Financial Holdings, Inc.		115,080		3,864,386		(1,513,822	)		17.9
Finisar Corp.		338,000		7,300,800		(314,924	)		3.7
Genworth Financial, Inc.		1,230,743		5,735,262		30,135			(0.4	)
Hortonworks, Inc.		163,199		2,353,330		(1,080,531	)		12.8
Imperva, Inc.		76,944		4,285,011		37,307			(0.4	)
InfraREIT, Inc.		153,217		3,220,621		(9,711	)		0.1
Integrated Device Technology, Inc.		396,861		19,219,978		637,021			(7.5	)
Investment Technology Group, Inc.		91,488		2,766,597		23,232			(0.3	)
MB Financial, Inc.		46,417		1,839,506		(33,143	)		0.4
MINDBODY, Inc.		93,547		3,405,111		28,236			(0.3	)
Newfield Exploration Co.		603,229		8,843,337		(2,527,896	)		29.9
Nutrisystem, Inc.		151,500		6,647,820		(3,188	)		0.0
NxStage Medical, Inc.		578,510		16,556,956		(292,756	)		3.5
Pacific Biosciences of California, Inc.		745,263		5,514,946		(135,844	)		1.6
Randgold Resources Ltd., ADR		189,233		16,210,289		1,331,191			(15.8	)
Red Hat, Inc.		101,322		17,796,196		336,960			(4.0	)
SCANA Corp.		332,841		15,903,143		1,619,844			(19.2	)
Shire plc, ADR		26,356		4,586,998		297,596			(3.5	)
Sprint Corp.		2,216,958		12,902,696		915,969			(10.8	)
State Bank Financial Corp.		147,981		3,194,910		(1,730,259	)		20.5

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

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Consolidated Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
TESARO, Inc.		175,800		$	13,053,150		$	107,085			(1.3	) %
Travelport Worldwide Ltd.		146,000			2,280,520			9,677			(0.1	)
Tribune Media Co.		379,003			17,199,156			1,178,163			(14.0	)
Twenty-First Century Fox, Inc.		359,924			17,319,543			3,122,214			(37.0	)
USG Corp.		448,633			19,138,684			(140,436	)		1.7
Vectren Corp.		237,021			17,060,772			377,045			(4.5	)
WildHorse Resource Development Corp.		193,592			2,731,583			(1,214,153	)		14.4
Short Positions
Common Stock
Canada
Barrick Gold Corp.		(1,159,615	)		(15,701,187	)		(1,088,107	)		12.9
Encana Corp.		(1,611,768	)		(9,316,019	)		2,631,695			(31.2	)
United States
Cadence Bancorp		(171,651	)		(2,880,304	)		2,097,162			(24.8	)
Chesapeake Energy Corp.		(1,037,423	)		(2,178,588	)		1,287,511			(15.2	)
Cloudera, Inc.		(212,984	)		(2,355,603	)		1,113,460			(13.2	)
Dominion Energy, Inc.		(222,675	)		(15,912,356	)		1,063,679			(12.6	)
II-VI, Inc.		(55,537	)		(1,802,731	)		278,439			(3.3	)
KLA-Tencor Corp.		(81,519	)		(7,295,135	)		1,326,547			(15.7	)
Pebblebrook Hotel Trust		(64,192	)		(1,817,276	)		288,270			(3.4	)
Synovus Financial Corp.		(121,454	)		(3,885,313	)		1,600,418			(19.0	)
T-Mobile US, Inc.		(227,372	)		(14,463,133	)		(1,048,693	)		12.4

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 (-0.35% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	25-47 months maturity 01/14/2021		$24,161,311		$377,949		$452,047		$829,996

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
Amer Sports OYJ		163,403	$	7,183,684	$	8,361			1.0	%
France
EssilorLuxottica SA		128		16,225		(246	)		(0.0	)
Netherlands
Gemalto NV		292,140		16,961,402		369,834			44.6

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

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Consolidated Schedule of Investments December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

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

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BANA
Investment Companies		$390,315			$—		$390,315
BARC
Cash		—			27,762,255		27,762,255
CITG
Cash		15,114,366			7,800,652		22,915,018
DTBK
Cash		22,363,978			—		22,363,978
GSCO
Cash		—			10,593,369		10,593,369
GSIN
Investment Companies		105,215,439			—		105,215,439
JPMC
Investment Companies		316,117,612			—		316,117,612
JPMS
Cash		—			11,015,281		11,015,281
MLIN
Cash		(170,000	)		—		(170,000	)
MSCL
Cash		—			4,946,786		4,946,786
MSCS
Cash		12,851,845			—		12,851,845

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Cash		$351,944			$—			$351,944
GSCO
Cash		—			(480,178	)		(480,178	)
GSIN
Cash		(330,000	)		—			(330,000	)
U.S. Treasury Bills		686,599			—			686,599
JPPC
Cash		—			1,058,472			1,058,472
MLIN
Cash		318,252			—			318,252
MSCL
Cash		—			(2,940,376	)		(2,940,376	)
U.S. Treasury Bills		—			6,000,176			6,000,176
SOCG
Cash		137,456			—			137,456

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

AQR Funds Annual Report December 2018

179

Consolidated Schedule of Investments December 31, 2018

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 90.5%
INVESTMENT COMPANIES - 46.4%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (1)(a)		304,742	$	304,742
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (1)(a)		1,218,970		1,218,970
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(a)(b)		25,255,121		25,255,121
Limited Purpose Cash Investment Fund, 2.50% (1)(a)		97,103,854		97,103,854
UBS Select Treasury Preferred Fund, Class I, 2.34% (1)(a)		1,523,713		1,523,713
TOTAL INVESTMENT COMPANIES(Cost $125,383,131)				125,406,400
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 44.1%
U.S. Treasury Bills
2.12%, 1/10/2019 (c)	$	5,774,000		5,771,108
2.16%, 1/17/2019 (c)		3,757,000		3,753,423
2.16%, 1/24/2019 (c)		2,115,000		2,112,050
2.18%, 1/31/2019 (c)		9,404,000		9,386,652
2.20%, 2/7/2019 (c)(b)		24,794,000		24,735,393
2.35%, 2/14/2019 (c)		1,131,000		1,127,765
2.21%, 2/21/2019 (c)		3,706,000		3,693,840
2.23%, 2/28/2019 (c)		2,972,000		2,960,795
2.35%, 3/28/2019 (c)		1,544,000		1,535,355
2.36%, 4/4/2019 (c)		3,201,000		3,181,152
2.41%, 4/11/2019 (c)		3,455,000		3,432,173
2.46%, 4/25/2019 (c)		9,062,000		8,993,555
2.46%, 5/2/2019 (c)		9,609,000		9,531,768

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 44.1% (continued)
2.50%, 5/16/2019 (c)	$	19,778,000	$	19,599,200
2.49%, 5/23/2019 (c)		1,006,000		996,435
2.51%, 5/30/2019 (c)		9,101,000		9,010,221
2.53%, 6/6/2019 (c)		2,159,000		2,136,272
2.51%, 6/13/2019 (c)		7,413,000		7,331,564
TOTAL U.S. TREASURY OBLIGATIONS (Cost $119,282,583)				119,288,721
TOTAL SHORT-TERM INVESTMENTS (Cost $244,665,714)				244,695,121
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 90.5% (Cost $244,665,714)				244,695,121
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.5% (d)			25,587,849
NET ASSETS - 100.0%			$	270,282,970

(a) Represents 7-day effective yield as of December 31, 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, unless otherwise noted in parentheses.

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

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

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Cocoa March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/01/2019

USD

410,720

$52,029

Cocoa March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/01/2019

USD

217,440

27,096

Cocoa March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/01/2019

USD

241,600

30,879

Lean Hogs February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/14/2019

USD

(195,120

)

16

Lean Hogs February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/14/2019

USD

(146,340

)

62

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

AQR Funds Annual Report December 2018

180

Consolidated Schedule of Investments December 31, 2018

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 February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/14/2019

USD

(121,950

)

$ 141

Lean Hogs April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

04/12/2019

USD

214,640

624

Lean Hogs April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

04/12/2019

USD

160,980

472

Lean Hogs April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

04/12/2019

USD

134,150

201

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/01/2019

USD

(49,550

)

2

Live Cattle February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/01/2019

USD

445,950

8,906

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/01/2019

USD

(545,050

)

708

Live Cattle February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/01/2019

USD

2,576,600

45,110

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/01/2019

USD

(1,189,200

)

1,931

Live Cattle February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/01/2019

USD

6,292,850

112,416

Live Cattle April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

04/05/2019

USD

50,500

8

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

13,425,000

2,788

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

2,103,250

1,128

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

2,282,250

5,485

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

31,056,500

40,871

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(2,417,220

)

6,544

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(650,790

)

1,004

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(167,100

)

4,710

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

AQR Funds Annual Report December 2018

181

Consolidated Schedule of Investments December 31, 2018

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)

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(434,460

)

$ 10,764

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(855,525

)

12,150

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(10,039,838

)

338,440

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(1,081,987

)

69,004

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(3,623,400

)

230,205

1,003,694

Cocoa March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/01/2019

USD

(338,240

)

(24,240

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/08/2019

USD

1,031,231

(137,250

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

2,406,206

(334,519

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/08/2019

USD

114,581

(14,045

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

6,731,250

(46,637

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

18,750

(213

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

6,412,500

(85,128

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

4,043,200

(323,436

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/08/2019

USD

180,500

(14,385

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/14/2019

USD

512,190

(30,681

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/14/2019

USD

756,090

(45,902

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/14/2019

USD

999,990

(53,546

)

Live Cattle April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

04/05/2019

USD

1,212,000

(1,849

)

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

AQR Funds Annual Report December 2018

182

Consolidated Schedule of Investments December 31, 2018

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)

Live Cattle April Futures

Decreases in total return of reference entity

��

Increases in total return of reference entity

At termination

MACQ

04/05/2019

USD

555,500

$ (719

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

434,460

(15,312

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

852,210

(26,248

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

11,295,960

(357,350

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

1,169,700

(36,681

)

(1,548,141

)

$(544,447

)

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
LME Aluminum Base Metal		1	1/2019	USD		$45,694		$(4,164	)
LME Aluminum Base Metal		10	1/2019	USD		457,135		(34,645	)
LME Aluminum Base Metal		21	1/2019	USD		977,944		(166,618	)
LME Aluminum Base Metal		31	1/2019	USD		1,433,223		(173,728	)
LME Aluminum Base Metal		34	1/2019	USD		1,580,787		(321,151	)
LME Aluminum Base Metal		52	1/2019	USD		2,373,085		(238,138	)
LME Aluminum Base Metal		92	1/2019	USD		4,200,306		(405,978	)
LME Copper Base Metal		4	1/2019	USD		594,900		(33,030	)
LME Copper Base Metal		6	1/2019	USD		893,013		(32,505	)
LME Copper Base Metal		9	1/2019	USD		1,338,723		(67,777	)
LME Copper Base Metal		12	1/2019	USD		1,787,571		(65,577	)
LME Copper Base Metal		12	1/2019	USD		1,788,087		(75,848	)
LME Copper Base Metal		13	1/2019	USD		1,937,302		(22,486	)
LME Lead Base Metal		1	1/2019	USD		50,175		(1,191	)
LME Lead Base Metal		1	1/2019	USD		50,313		1,921
LME Lead Base Metal		4	1/2019	USD		201,531		(6,606	)
LME Lead Base Metal		5	1/2019	USD		252,279		3,891
LME Lead Base Metal		5	1/2019	USD		252,042		67
LME Lead Base Metal		9	1/2019	USD		453,946		3,120
LME Lead Base Metal		20	1/2019	USD		1,005,230		11,421
LME Nickel Base Metal		1	1/2019	USD		63,627		(11,463	)
LME Nickel Base Metal		4	1/2019	USD		255,094		(42,861	)
LME Nickel Base Metal		4	1/2019	USD		254,666		(44,613	)
LME Nickel Base Metal		4	1/2019	USD		255,225		(28,331	)
LME Nickel Base Metal		13	1/2019	USD		827,229		(177,878	)
LME Zinc Base Metal		2	1/2019	USD		123,775		(7,206	)

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

AQR Funds Annual Report December 2018

183

Consolidated Schedule of Investments December 31, 2018

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Zinc Base Metal		5	1/2019	USD		$ 314,812		$ (16,734	)
LME Zinc Base Metal		5	1/2019	USD		309,438		(21,296	)
LME Zinc Base Metal		15	1/2019	USD		932,437		(59,763	)
LME Zinc Base Metal		15	1/2019	USD		928,313		(31,526	)
LME Zinc Base Metal		19	1/2019	USD		1,184,887		(59,669	)
LME Zinc Base Metal		24	1/2019	USD		1,508,700		(85,528	)
LME Zinc Base Metal		25	1/2019	USD		1,566,562		(54,761	)
100 oz Gold		915	2/2019	USD		117,238,950		3,955,313
Brent Crude Oil		348	2/2019	USD		18,798,960		(2,332,264	)
Lean Hogs		79	2/2019	USD		1,926,810		(57,677	)
Live Cattle		86	2/2019	USD		4,261,300		34,199
LME Aluminum Base Metal		5	2/2019	USD		228,953		(19,346	)
LME Aluminum Base Metal		12	2/2019	USD		551,790		(31,745	)
LME Aluminum Base Metal		24	2/2019	USD		1,097,352		(86,519	)
LME Aluminum Base Metal		28	2/2019	USD		1,285,375		(83,908	)
LME Aluminum Base Metal		65	2/2019	USD		2,980,153		(174,164	)
LME Aluminum Base Metal		107	2/2019	USD		4,906,806		(293,820	)
LME Aluminum Base Metal		230	2/2019	USD		10,570,973		(578,956	)
LME Copper Base Metal		6	2/2019	USD		894,188		(9,877	)
LME Copper Base Metal		24	2/2019	USD		3,578,550		(158,321	)
LME Copper Base Metal		26	2/2019	USD		3,876,275		(88,802	)
LME Copper Base Metal		40	2/2019	USD		5,965,750		(199,368	)
LME Copper Base Metal		50	2/2019	USD		7,456,788		(102,110	)
LME Copper Base Metal		93	2/2019	USD		13,870,206		(541,464	)
LME Lead Base Metal		3	2/2019	USD		151,405		5,147
LME Lead Base Metal		5	2/2019	USD		252,750		5,423
LME Lead Base Metal		9	2/2019	USD		454,718		15,942
LME Lead Base Metal		11	2/2019	USD		556,050		17,293
LME Lead Base Metal		19	2/2019	USD		960,041		32,048
LME Lead Base Metal		27	2/2019	USD		1,364,850		41,784
LME Lead Base Metal		46	2/2019	USD		2,325,300		35,164
LME Nickel Base Metal		2	2/2019	USD		127,646		(12,708	)
LME Nickel Base Metal		4	2/2019	USD		255,732		(11,520	)
LME Nickel Base Metal		7	2/2019	USD		447,825		(12,936	)
LME Nickel Base Metal		9	2/2019	USD		574,751		(57,911	)
LME Nickel Base Metal		12	2/2019	USD		766,729		(45,107	)
LME Nickel Base Metal		14	2/2019	USD		894,594		(68,213	)
LME Nickel Base Metal		16	2/2019	USD		1,023,408		(18,815	)
LME Nickel Base Metal		27	2/2019	USD		1,726,029		(91,931	)
LME Zinc Base Metal		3	2/2019	USD		185,663		(3,509	)
LME Zinc Base Metal		8	2/2019	USD		494,306		82
LME Zinc Base Metal		9	2/2019	USD		556,200		(2,195	)
LME Zinc Base Metal		13	2/2019	USD		804,131		(27,745	)
LME Zinc Base Metal		20	2/2019	USD		1,237,750		(9,309	)
LME Zinc Base Metal		21	2/2019	USD		1,299,638		(52,642	)
Natural Gas		113	2/2019	USD		3,221,630		(1,223,585	)
RBOB Gasoline		103	2/2019	USD		5,675,712		(647,525	)
Sugar No. 11		502	2/2019	USD		6,763,747		400,147
WTI Crude Oil		580	2/2019	USD		26,517,600		(3,923,461	)
Cocoa		224	3/2019	USD		5,411,840		527,217
Coffee ‘C’		294	3/2019	USD		11,228,963		(1,645,525	)
Corn		1,271	3/2019	USD		23,831,250		(242,595	)
Cotton No. 2		10	3/2019	USD		361,000		(27,398	)
LME Aluminum Base Metal		49	3/2019	USD		2,261,350		(48,226	)
LME Aluminum Base Metal		76	3/2019	USD		3,499,629		(188,045	)

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

AQR Funds Annual Report December 2018

184

Consolidated Schedule of Investments December 31, 2018

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Aluminum Base Metal		108		3/2019	USD		$ 4,981,365			$ (238,054	)
LME Aluminum Base Metal		549		3/2019	USD		25,363,800			(2,803,384	)
LME Copper Base Metal		2		3/2019	USD		298,296			(1,672	)
LME Copper Base Metal		5		3/2019	USD		746,073			(16,065	)
LME Copper Base Metal		443		3/2019	USD		66,114,981			(2,339,498	)
LME Lead Base Metal		5		3/2019	USD		252,750			6,454
LME Lead Base Metal		24		3/2019	USD		1,213,200			36,229
LME Lead Base Metal		140		3/2019	USD		7,077,000			131,190
LME Nickel Base Metal		5		3/2019	USD		320,071			(8,743	)
LME Nickel Base Metal		19		3/2019	USD		1,218,445			(7,283	)
LME Nickel Base Metal		25		3/2019	USD		1,601,437			(32,136	)
LME Nickel Base Metal		379		3/2019	USD		24,289,731			(4,176,450	)
LME Zinc Base Metal		3		3/2019	USD		185,050			(1,503	)
LME Zinc Base Metal		7		3/2019	USD		432,577			(19,993	)
LME Zinc Base Metal		21		3/2019	USD		1,297,632			(59,753	)
LME Zinc Base Metal		142		3/2019	USD		8,770,275			(430,959	)
Low Sulphur Gasoil		110		3/2019	USD		5,629,250			(221,852	)
Silver		378		3/2019	USD		29,370,600			1,232,227
Soybean		53		3/2019	USD		2,371,750			(4,766	)
Soybean Meal		142		3/2019	USD		4,400,580			3,459
Wheat		208		3/2019	USD		5,233,800			(237,526	)
100 oz Gold		227		4/2019	USD		29,230,790			(35,779	)
Lean Hogs		20		4/2019	USD		536,600			1,431
Live Cattle		22		4/2019	USD		1,111,000			(2,341	)
										(19,546,901	)
Short Contracts
LME Aluminum Base Metal		(1	)	1/2019	USD		(45,694	)		4,328
LME Aluminum Base Metal		(10	)	1/2019	USD		(457,135	)		35,240
LME Aluminum Base Metal		(21	)	1/2019	USD		(977,944	)		166,979
LME Aluminum Base Metal		(31	)	1/2019	USD		(1,433,223	)		177,911
LME Aluminum Base Metal		(34	)	1/2019	USD		(1,580,788	)		334,162
LME Aluminum Base Metal		(52	)	1/2019	USD		(2,373,085	)		238,462
LME Aluminum Base Metal		(92	)	1/2019	USD		(4,200,306	)		393,939
LME Copper Base Metal		(4	)	1/2019	USD		(594,900	)		34,131
LME Copper Base Metal		(6	)	1/2019	USD		(893,013	)		31,869
LME Copper Base Metal		(9	)	1/2019	USD		(1,338,723	)		65,096
LME Copper Base Metal		(12	)	1/2019	USD		(1,788,087	)		71,134
LME Copper Base Metal		(12	)	1/2019	USD		(1,787,571	)		73,894
LME Copper Base Metal		(13	)	1/2019	USD		(1,937,302	)		22,879
LME Lead Base Metal		(1	)	1/2019	USD		(50,313	)		(2,939	)
LME Lead Base Metal		(1	)	1/2019	USD		(50,175	)		773
LME Lead Base Metal		(4	)	1/2019	USD		(201,531	)		7,257
LME Lead Base Metal		(5	)	1/2019	USD		(252,279	)		(4,956	)
LME Lead Base Metal		(5	)	1/2019	USD		(252,042	)		1,693
LME Lead Base Metal		(9	)	1/2019	USD		(453,946	)		(4,673	)
LME Lead Base Metal		(20	)	1/2019	USD		(1,005,230	)		(12,888	)
LME Nickel Base Metal		(1	)	1/2019	USD		(63,627	)		11,400
LME Nickel Base Metal		(4	)	1/2019	USD		(255,225	)		27,483
LME Nickel Base Metal		(4	)	1/2019	USD		(255,094	)		42,735
LME Nickel Base Metal		(4	)	1/2019	USD		(254,666	)		45,360
LME Nickel Base Metal		(13	)	1/2019	USD		(827,229	)		171,982
LME Zinc Base Metal		(2	)	1/2019	USD		(123,775	)		7,720
LME Zinc Base Metal		(5	)	1/2019	USD		(314,812	)		15,302
LME Zinc Base Metal		(5	)	1/2019	USD		(309,437	)		21,298

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

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Consolidated Schedule of Investments December 31, 2018

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 Zinc Base Metal		(15	)	1/2019	USD		$ (928,313	)		$ 21,215
LME Zinc Base Metal		(15	)	1/2019	USD		(932,437	)		55,081
LME Zinc Base Metal		(19	)	1/2019	USD		(1,184,887	)		59,352
LME Zinc Base Metal		(24	)	1/2019	USD		(1,508,700	)		81,540
LME Zinc Base Metal		(25	)	1/2019	USD		(1,566,562	)		51,697
LME Aluminum Base Metal		(5	)	2/2019	USD		(228,953	)		19,095
LME Aluminum Base Metal		(12	)	2/2019	USD		(551,790	)		29,465
LME Aluminum Base Metal		(24	)	2/2019	USD		(1,097,352	)		87,655
LME Aluminum Base Metal		(28	)	2/2019	USD		(1,285,375	)		80,993
LME Aluminum Base Metal		(65	)	2/2019	USD		(2,980,153	)		172,637
LME Aluminum Base Metal		(107	)	2/2019	USD		(4,906,806	)		295,753
LME Aluminum Base Metal		(230	)	2/2019	USD		(10,570,973	)		557,620
LME Copper Base Metal		(6	)	2/2019	USD		(894,188	)		15,201
LME Copper Base Metal		(24	)	2/2019	USD		(3,578,550	)		158,981
LME Copper Base Metal		(26	)	2/2019	USD		(3,876,275	)		101,031
LME Copper Base Metal		(40	)	2/2019	USD		(5,965,750	)		215,863
LME Copper Base Metal		(50	)	2/2019	USD		(7,456,788	)		136,114
LME Copper Base Metal		(93	)	2/2019	USD		(13,870,206	)		474,770
LME Lead Base Metal		(3	)	2/2019	USD		(151,405	)		(5,217	)
LME Lead Base Metal		(5	)	2/2019	USD		(252,750	)		(5,728	)
LME Lead Base Metal		(9	)	2/2019	USD		(454,718	)		(18,348	)
LME Lead Base Metal		(11	)	2/2019	USD		(556,050	)		(20,214	)
LME Lead Base Metal		(19	)	2/2019	USD		(960,041	)		(27,198	)
LME Lead Base Metal		(27	)	2/2019	USD		(1,364,850	)		(55,933	)
LME Lead Base Metal		(46	)	2/2019	USD		(2,325,300	)		(45,561	)
LME Nickel Base Metal		(2	)	2/2019	USD		(127,646	)		11,489
LME Nickel Base Metal		(4	)	2/2019	USD		(255,732	)		10,199
LME Nickel Base Metal		(7	)	2/2019	USD		(447,825	)		12,810
LME Nickel Base Metal		(9	)	2/2019	USD		(574,751	)		55,916
LME Nickel Base Metal		(12	)	2/2019	USD		(766,729	)		46,532
LME Nickel Base Metal		(14	)	2/2019	USD		(894,594	)		65,905
LME Nickel Base Metal		(16	)	2/2019	USD		(1,023,408	)		16,749
LME Nickel Base Metal		(27	)	2/2019	USD		(1,726,029	)		93,961
LME Zinc Base Metal		(3	)	2/2019	USD		(185,663	)		4,079
LME Zinc Base Metal		(8	)	2/2019	USD		(494,306	)		(2,364	)
LME Zinc Base Metal		(9	)	2/2019	USD		(556,200	)		6,273
LME Zinc Base Metal		(13	)	2/2019	USD		(804,131	)		28,414
LME Zinc Base Metal		(20	)	2/2019	USD		(1,237,750	)		4,194
LME Zinc Base Metal		(21	)	2/2019	USD		(1,299,638	)		63,736
NY Harbor ULSD		(18	)	2/2019	USD		(1,262,444	)		124,267
LME Aluminum Base Metal		(49	)	3/2019	USD		(2,261,350	)		34,611
LME Aluminum Base Metal		(76	)	3/2019	USD		(3,499,629	)		190,421
LME Aluminum Base Metal		(108	)	3/2019	USD		(4,981,365	)		236,197
LME Aluminum Base Metal		(774	)	3/2019	USD		(35,758,800	)		1,967,999
LME Copper Base Metal		(2	)	3/2019	USD		(298,296	)		1,338
LME Copper Base Metal		(5	)	3/2019	USD		(746,073	)		16,038
LME Copper Base Metal		(186	)	3/2019	USD		(27,759,338	)		657,551
LME Lead Base Metal		(5	)	3/2019	USD		(252,750	)		(7,702	)
LME Lead Base Metal		(24	)	3/2019	USD		(1,213,200	)		(34,721	)
LME Lead Base Metal		(106	)	3/2019	USD		(5,358,300	)		(142,652	)
LME Nickel Base Metal		(5	)	3/2019	USD		(320,071	)		7,629
LME Nickel Base Metal		(19	)	3/2019	USD		(1,218,445	)		5,208
LME Nickel Base Metal		(25	)	3/2019	USD		(1,601,437	)		27,689
LME Nickel Base Metal		(121	)	3/2019	USD		(7,754,769	)		227,437
LME Zinc Base Metal		(3	)	3/2019	USD		(185,050	)		1,145

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

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Consolidated Schedule of Investments December 31, 2018

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 Zinc Base Metal		(7	)	3/2019	USD		$ (432,577	)		$ 18,796
LME Zinc Base Metal		(21	)	3/2019	USD		(1,297,632	)		56,817
LME Zinc Base Metal		(154	)	3/2019	USD		(9,511,425	)		324,466
Soybean Oil		(115	)	3/2019	USD		(1,921,650	)		(11,335	)
										8,532,527
										$(11,014,374	)

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Cash		$1,760,424		$—		$1,760,424
GSCO
Cash		—		4,960,308		4,960,308
GSIN
Investment Companies		1,578,097		—		1,578,097
JPPC
Cash		—		12,333,621		12,333,621
MACQ
U.S. Treasury Bills		1,037,542		—		1,037,542
MSCL
Cash		—		14,767,368		14,767,368
SOCG
Cash		2,619,942		—		2,619,942

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

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Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 16.8%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (a)(b)	EUR	7,759,800	$	9,365,861
0.10%, 4/15/2026 (a)(b)	EUR	7,342,790		9,115,471
France Government Bond OAT
0.25%, 7/25/2024 (a)(b)	EUR	3,055,742		3,740,529
0.10%, 3/1/2025	EUR	2,690,636		3,210,177
1.85%, 7/25/2027 (a)(b)	EUR	445,072		620,984
0.10%, 3/1/2028 (a)(b)	EUR	413,256		493,278
0.70%, 7/25/2030 (a)(b)	EUR	313,128		402,507
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP	6,454,800		9,252,474
0.13%, 3/22/2026	GBP	4,516,929		6,708,892
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $44,269,310)				42,910,173
U.S. TREASURY OBLIGATIONS - 28.4%
U.S. Treasury Inflation Linked Notes
0.13%, 4/15/2020	$	17,907,000		18,902,396
0.13%, 4/15/2021 (c)		14,620,000		15,168,583
0.13%, 4/15/2022		16,650,000		16,748,398
0.63%, 4/15/2023 (c)		2,796,000		2,799,285
0.38%, 7/15/2025		3,080,000		3,166,330
0.63%, 1/15/2026		5,730,000		5,935,941
0.13%, 7/15/2026		6,380,000		6,319,158
0.38%, 7/15/2027		3,280,000		3,216,742
TOTAL U.S. TREASURY OBLIGATIONS (Cost $73,994,952)				72,256,833
	SHARES
SHORT-TERM INVESTMENTS - 48.6%
INVESTMENT COMPANIES - 35.1%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (1)(d)		314,759		314,759
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (1)(d)		1,259,036		1,259,036
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (1)(d)(e)		8,589,889		8,589,889
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(d)(e)		32,919,194		32,919,194
Limited Purpose Cash Investment Fund, 2.50% (1)(d)		44,616,392		44,616,392
UBS Select Treasury Preferred Fund, Class I, 2.34% (1)(d)		1,574,640		1,574,640
TOTAL INVESTMENT COMPANIES (Cost $89,264,743)				89,273,910

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 13.5%
U.S. Treasury Bills
2.16%, 1/17/2019 (f)	$	4,563,000	$	4,558,656
2.16%, 1/24/2019 (f)		3,312,000		3,307,380
2.18%, 1/31/2019 (f)		1,331,000		1,328,545
2.20%, 2/7/2019 (f)(g)		5,587,000		5,573,794
2.36%, 2/14/2019 (f)		1,524,000		1,519,640
2.23%, 2/28/2019 (f)(g)		2,528,000		2,518,468
2.52%, 6/20/2019 (f)(g)		13,411,000		13,257,227
2.51%, 6/27/2019 (f)		2,354,000		2,325,934
TOTAL U.S. TREASURY OBLIGATIONS (Cost $34,386,753)				34,389,644
TOTAL SHORT-TERM INVESTMENTS (Cost $123,651,496)				123,663,554
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 93.8% (Cost $241,915,758)				238,830,560
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.2% (h)				15,803,907
NET ASSETS - 100.0%			$	254,634,467

(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 December 31, 2018, the value of these securities amounted to $23,738,630 or 9.32% 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 December 31, 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) All or a portion of the security pledged as collateral for swap contracts.

(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).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

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

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Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY FUND

Credit default swap contracts outstanding — sell protection as of December 31, 2018:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE RECEIVED		PAYMENTS FREQUENCY	MATURITY DATE	CREDIT SPREAD			NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
iTraxx Europe Crossover Series 30.V2		5.00%	Quarterly	12/20/2023		3.55%	EUR		26,225,000		$3,128,131			$(1,203,517	)		$1,924,614
iTraxx Europe Series 30.V1		1.00%	Quarterly	12/20/2023		0.88%	EUR		57,000,000		1,041,864			(641,906	)		399,958
Markit CDX North America High Yield Index Series 31.V1		5.00%	Quarterly	12/20/2023		4.49%	USD		30,800,000		2,124,977			(1,452,442	)		672,535
Markit CDX North America Investment Grade Index Series 31.V1		1.00%	Quarterly	12/20/2023		0.88%	USD		64,875,000		1,154,187			(767,842	)		386,345
											7,449,159			(4,065,707	)		3,383,452
Markit CDX Emerging Market Index Series 30.V1		1.00%	Quarterly	12/20/2023		2.07%	USD		9,750,000		(411,935	)		(44,004	)		(455,939	)
											(411,935	)		(44,004	)		(455,939	)
											$7,037,224			$(4,109,711	)		$2,927,513

Forward effective interest rate swap contracts outstanding as of December 31, 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 Hong Kong Interbank Offered Rate Quarterly	3.00% Quarterly		3/20/2024	HKD		76,700,000		$51,222			$261,332		$312,554
Pay	3 Month Hong Kong Interbank Offered Rate Quarterly	2.50% Quarterly		6/19/2024	HKD		100,000		(7	)		101		94
Pay	3 Month Hong Kong Interbank Offered Rate Quarterly	3.00% Quarterly		6/19/2024	HKD		18,500,000		28,793			44,433		73,226
Pay	3 Month Johannesburg Interbank Agreed Rate Quarterly	8.00% Quarterly		3/20/2024	ZAR		213,800,000		(174,408	)		340,324		165,916
Pay	3 Month Johannesburg Interbank Agreed Rate Quarterly	8.00% Quarterly		6/19/2024	ZAR		32,800,000		(4,474	)		23,541		19,067
Pay	3 Month Korean Certificate of Deposit Quarterly	2.00% Quarterly		3/20/2024	KRW		33,225,100,000		(12,394	)		344,378		331,984
Pay	6 Month Budapest Interbank Offered Rate Semi-Annually	2.50% Annually		3/20/2024	HUF		1,070,300,000		(11,317	)		168,623		157,306

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

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Consolidated Schedule of Investments December 31, 2018

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	2.50% Annually		6/19/2024	HUF		263,600,000		$ 14,491			$ 19,222			$ 33,713
Pay	6 Month Budapest Interbank Offered Rate Semi-Annually	2.00% Annually		6/19/2024	HUF		132,100,000		(3,333	)		8,830			5,497
Pay	6 Month Prague Interbank Offered Rate Semi-Annually	2.50% Annually		3/20/2024	CZK		109,900,000		23,363			147,216			170,579
Pay	6 Month Singapore Interbank Offered Rate Semi-Annually	2.50% Semi-Annually		3/20/2024	SGD		20,900,000		155,864			271,283			427,147
Pay	6 Month Singapore Interbank Offered Rate Semi-Annually	2.00% Semi-Annually		6/19/2024	SGD		600,000		(3,379	)		4,788			1,409
Pay	6 Month Singapore Interbank Offered Rate Semi-Annually	2.50% Semi-Annually		6/19/2024	SGD		2,900,000		37,306			20,438			57,744
Pay	6 Month Warsaw Interbank Offered Rate Semi-Annually	2.50% Annually		3/20/2024	PLN		70,100,000		(98,191	)		405,038			306,847
Pay	6 Month Warsaw Interbank Offered Rate Semi-Annually	2.50% Annually		6/19/2024	PLN		700,000		1,256			1,431			2,687
									4,792			2,060,978			2,065,770
Pay	1 Month Mexico Equilibrium Interbank Interest Rate Monthly	8.00% Monthly		3/13/2024	MXN		222,100,000		$(37,636	)		$(233,854	)		$(271,490	)
Pay	1 Month Mexico Equilibrium Interbank Interest Rate Monthly	8.50% Monthly		3/13/2024	MXN		8,800,000		(5,700	)		3,981			(1,719	)
									(43,336	)		(229,873	)		(273,209	)
									$(38,544	)		$1,831,105			$1,792,561

(a) Floating rate indices at December 31, 2018 were as follows:

1 Month Mexico Equilibrium Interbank Interest Rate: 8.59%

3 Month Hong Kong Interbank Offered Rate: 2.33%

3 Month Johannesburg Interbank Agreed Rate: 7.15%

3 Month Korean Certificate of Deposit: 1.93%

6 Month Budapest Interbank Offered Rate: 0.27%

6 Month Prague Interbank Offered Rate: 2.07%

6 Month Singapore Interbank Offered Rate: 1.91%

6 Month Warsaw Interbank Offered Rate: 1.69%

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

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Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY FUND

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

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Cocoa March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/01/2019

USD

48,320

$5,932

Cocoa March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/01/2019

USD

24,160

2,917

Cocoa March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/01/2019

USD

24,160

3,002

Corn March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(131,250

)

235

Cotton No. 2 March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/08/2019

USD

(324,900

)

22,744

Cotton No. 2 March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/08/2019

USD

(72,200

)

5,905

Hang Seng Index January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/30/2019

HKD

5,170,800

8,468

HSCEI January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/30/2019

HKD

21,719,300

24,967

HSCEI January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

01/30/2019

HKD

13,132,600

7,770

Lean Hogs February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/14/2019

USD

(268,290

)

17,473

Lean Hogs February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

02/14/2019

USD

(414,630

)

10,760

Lean Hogs February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/14/2019

USD

(219,510

)

16,420

Lean Hogs April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

04/12/2019

USD

107,320

312

Live Cattle February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/01/2019

USD

297,300

7,438

Live Cattle February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/01/2019

USD

2,180,200

40,255

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

02/01/2019

USD

(396,400

)

80

Live Cattle February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/01/2019

USD

1,684,700

31,075

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

AQR Funds Annual Report December 2018

191

Consolidated Schedule of Investments December 31, 2018

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)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

89,500

$ 260

Soybean March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(89,500

)

191

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

984,500

772

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

760,750

1,572

Soybean March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(760,750

)

19,934

Soybean March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

02/22/2019

USD

(1,745,250

)

14,096

Soybean March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(716,000

)

16,252

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

2,506,000

3,233

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(309,900

)

1,250

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(434,460

)

15,071

278,384

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/08/2019

USD

152,775

(21,077

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

458,325

(60,963

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/08/2019

USD

152,775

(21,197

)

Coffee ‘C’ March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/08/2019

USD

(38,194

)

(239

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

450,000

(8,066

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

1,087,500

(7,603

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

300,000

(2,764

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/22/2019

USD

206,250

(5,225

)

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

AQR Funds Annual Report December 2018

192

Consolidated Schedule of Investments December 31, 2018

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)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/08/2019

USD

72,200

$ (5,955

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

758,100

(60,615

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/08/2019

USD

72,200

(5,870

)

iBovespa Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

02/13/2019

BRL

5,753,800

(38,442

)

KC HRW Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

24,438

(2,418

)

KC HRW Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

97,750

(10,566

)

KOSPI 200 Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

03/14/2019

KRW

1,703,000,000

(1,739

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/14/2019

USD

73,170

(1,842

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/14/2019

USD

268,290

(12,491

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/14/2019

USD

219,510

(12,183

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/14/2019

USD

853,650

(45,420

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/01/2019

USD

(1,585,600

)

(36,472

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/01/2019

USD

(297,300

)

(3,822

)

Live Cattle April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

04/05/2019

USD

404,000

(160

)

Live Cattle April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

04/05/2019

USD

50,500

(77

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/22/2019

USD

1,745,250

(6,171

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

898,710

(1,576

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

1,587,450

(50,139

)

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

AQR Funds Annual Report December 2018

193

Consolidated Schedule of Investments December 31, 2018

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 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

276,788

$ (16,350

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

125,813

(7,799

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

50,325

(2,900

)

(450,141

)

$(171,757

)

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
LME Aluminum Base Metal		1		1/2019	USD		$45,713		$(3,464	)
LME Aluminum Base Metal		1		1/2019	USD		45,646		(4,407	)
LME Aluminum Base Metal		1		1/2019	USD		45,588		(4,780	)
LME Aluminum Base Metal		1		1/2019	USD		45,901		(4,727	)
LME Aluminum Base Metal		1		1/2019	USD		46,569		(7,969	)
LME Aluminum Base Metal		4		1/2019	USD		185,975		(35,812	)
LME Aluminum Base Metal		6		1/2019	USD		273,933		(26,685	)
LME Copper Base Metal		1		1/2019	USD		148,836		(5,167	)
LME Copper Base Metal		1		1/2019	USD		149,023		(1,730	)
LME Lead Base Metal		1		1/2019	USD		50,434		(94	)
LME Lead Base Metal		2		1/2019	USD		100,384		(9	)
LME Nickel Base Metal		1		1/2019	USD		63,784		(9,869	)
LME Nickel Base Metal		1		1/2019	USD		63,746		(9,894	)
LME Nickel Base Metal		1		1/2019	USD		63,667		(11,153	)
LME Nickel Base Metal		1		1/2019	USD		63,627		(11,406	)
LME Nickel Base Metal		2		1/2019	USD		127,266		(25,623	)
LME Zinc Base Metal		1		1/2019	USD		62,362		(3,140	)
MSCI Taiwan Index		33		1/2019	USD		1,186,020		24,710
100 oz Gold		79		2/2019	USD		10,122,270		349,680
Brent Crude Oil		77		2/2019	USD		4,159,540		(533,988	)
LME Aluminum Base Metal		1		2/2019	USD		45,790		(3,869	)
LME Aluminum Base Metal		1		2/2019	USD		45,839		(2,614	)
LME Aluminum Base Metal		1		2/2019	USD		45,849		(2,679	)
LME Aluminum Base Metal		1		2/2019	USD		45,906		(2,997	)
LME Aluminum Base Metal		2		2/2019	USD		91,922		(5,034	)
LME Aluminum Base Metal		3		2/2019	USD		137,574		(8,238	)
LME Aluminum Base Metal		4		2/2019	USD		182,892		(14,420	)
LME Aluminum Base Metal		10		2/2019	USD		459,825		(25,942	)
LME Aluminum Base Metal		19		2/2019	USD		873,459		(47,148	)
LME Copper Base Metal		1		2/2019	USD		149,156		(6,702	)
LME Copper Base Metal		2		2/2019	USD		298,063		(3,292	)
LME Copper Base Metal		2		2/2019	USD		298,298		(8,108	)

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

AQR Funds Annual Report December 2018

194

Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		3		2/2019	USD		$ 447,263		$ (10,246	)
LME Copper Base Metal		4		2/2019	USD		596,575		(19,937	)
LME Lead Base Metal		1		2/2019	USD		50,528		1,550
LME Nickel Base Metal		1		2/2019	USD		63,933		(2,880	)
LME Nickel Base Metal		1		2/2019	USD		63,969		(744	)
LME Nickel Base Metal		1		2/2019	USD		63,823		(6,354	)
LME Nickel Base Metal		1		2/2019	USD		63,975		(1,848	)
LME Zinc Base Metal		1		2/2019	USD		61,788		10
LME Zinc Base Metal		1		2/2019	USD		61,856		(2,134	)
LME Zinc Base Metal		1		2/2019	USD		61,887		(2,507	)
LME Zinc Base Metal		1		2/2019	USD		61,887		435
Natural Gas		31		2/2019	USD		883,810		(335,616	)
NY Harbor ULSD		7		2/2019	USD		490,951		(49,084	)
RBOB Gasoline		14		2/2019	USD		771,456		(88,622	)
Sugar No. 11		49		2/2019	USD		660,206		36,190
WTI Crude Oil		111		2/2019	USD		5,074,920		(722,978	)
Australia 10 Year Bond		62		3/2019	AUD		5,793,875		50,983
Canada 10 Year Bond		67		3/2019	CAD		6,712,269		212,757
Cocoa		23		3/2019	USD		555,680		63,778
Coffee ‘C’		9		3/2019	USD		343,744		(67,244	)
Corn		139		3/2019	USD		2,606,250		(12,689	)
EURO STOXX 50 Index		15		3/2019	EUR		511,119		(10,759	)
Euro-Bund		455		3/2019	EUR		85,256,058		685,930
Feeder Cattle		6		3/2019	USD		440,250		12,091
FTSE 100 Index		19		3/2019	GBP		1,612,637		(2,311	)
Japan 10 Year Bond		26		3/2019	JPY		36,170,613		137,157
KC HRW Wheat		7		3/2019	USD		171,062		(18,567	)
LME Aluminum Base Metal		1		3/2019	USD		46,178		(2,525	)
LME Aluminum Base Metal		1		3/2019	USD		46,150		(478	)
LME Aluminum Base Metal		1		3/2019	USD		46,150		(1,628	)
LME Aluminum Base Metal		1		3/2019	USD		46,059		(2,906	)
LME Aluminum Base Metal		1		3/2019	USD		46,189		(1,870	)
LME Aluminum Base Metal		2		3/2019	USD		92,270		(4,086	)
LME Aluminum Base Metal		2		3/2019	USD		92,204		(4,814	)
LME Aluminum Base Metal		8		3/2019	USD		368,382		(19,829	)
LME Aluminum Base Metal		73		3/2019	USD		3,372,600		(418,919	)
LME Copper Base Metal		1		3/2019	USD		149,224		(5,016	)
LME Copper Base Metal		1		3/2019	USD		149,288		(965	)
LME Copper Base Metal		1		3/2019	USD		149,137		(1,416	)
LME Copper Base Metal		1		3/2019	USD		149,331		(1,972	)
LME Copper Base Metal		1		3/2019	USD		149,263		(4,077	)
LME Copper Base Metal		2		3/2019	USD		298,585		(6,346	)
LME Copper Base Metal		45		3/2019	USD		6,715,969		(241,622	)
LME Lead Base Metal		1		3/2019	USD		50,550		2,035
LME Lead Base Metal		2		3/2019	USD		101,100		1,857
LME Lead Base Metal		2		3/2019	USD		101,100		4,794
LME Lead Base Metal		14		3/2019	USD		707,700		15,522
LME Nickel Base Metal		1		3/2019	USD		64,014		(1,749	)
LME Nickel Base Metal		3		3/2019	USD		192,141		(2,448	)
LME Nickel Base Metal		4		3/2019	USD		256,335		(6,980	)
LME Nickel Base Metal		5		3/2019	USD		320,314		(4,181	)
LME Nickel Base Metal		44		3/2019	USD		2,819,916		(523,910	)
LME Zinc Base Metal		1		3/2019	USD		61,797		(1,443	)
LME Zinc Base Metal		1		3/2019	USD		61,800		(1,303	)
LME Zinc Base Metal		1		3/2019	USD		61,796		(2,982	)

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

AQR Funds Annual Report December 2018

195

Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Zinc Base Metal		12			3/2019	USD		$ 741,150			$ (40,502	)
Long Gilt		137			3/2019	GBP		21,507,970			81,499
Low Sulphur Gasoil		22			3/2019	USD		1,125,850			(106,425	)
Russell 2000 E-Mini Index		35			3/2019	USD		2,360,750			(129,486	)
S&P 500 E-Mini Index		194			3/2019	USD		24,300,440			(1,104,676	)
S&P Midcap 400 E-Mini Index		15			3/2019	USD		2,493,300			(123,424	)
Silver		25			3/2019	USD		1,942,500			97,510
TOPIX Index		31			3/2019	JPY		4,224,123			(250,762	)
U.S. Treasury 10 Year Note		1,117			3/2019	USD		136,291,453			3,116,846
Wheat		2			3/2019	USD		50,325			(2,815	)
100 oz Gold		19			4/2019	USD		2,446,630			(2,995	)
											(314,696	)
Short Contracts
LME Aluminum Base Metal		(1	)		1/2019	USD		(45,646	)		4,412
LME Aluminum Base Metal		(1	)		1/2019	USD		(45,588	)		4,934
LME Aluminum Base Metal		(1	)		1/2019	USD		(45,713	)		3,524
LME Aluminum Base Metal		(1	)		1/2019	USD		(45,901	)		4,829
LME Aluminum Base Metal		(1	)		1/2019	USD		(46,569	)		7,929
LME Aluminum Base Metal		(4	)		1/2019	USD		(185,975	)		36,813
LME Aluminum Base Metal		(6	)		1/2019	USD		(273,933	)		25,805
LME Copper Base Metal		(1	)		1/2019	USD		(148,836	)		5,396
LME Copper Base Metal		(1	)		1/2019	USD		(149,023	)		1,760
LME Lead Base Metal		(1	)		1/2019	USD		(50,434	)		(25	)
LME Lead Base Metal		(2	)		1/2019	USD		(100,384	)		127
LME Nickel Base Metal		(1	)		1/2019	USD		(63,627	)		11,446
LME Nickel Base Metal		(1	)		1/2019	USD		(63,667	)		11,340
LME Nickel Base Metal		(1	)		1/2019	USD		(63,746	)		9,751
LME Nickel Base Metal		(1	)		1/2019	USD		(63,784	)		9,533
LME Nickel Base Metal		(2	)		1/2019	USD		(127,266	)		24,607
LME Zinc Base Metal		(1	)		1/2019	USD		(62,362	)		3,124
LME Aluminum Base Metal		(1	)		2/2019	USD		(45,839	)		2,687
LME Aluminum Base Metal		(1	)		2/2019	USD		(45,906	)		2,893
LME Aluminum Base Metal		(1	)		2/2019	USD		(45,849	)		2,656
LME Aluminum Base Metal		(1	)		2/2019	USD		(45,790	)		3,819
LME Aluminum Base Metal		(2	)		2/2019	USD		(91,922	)		4,849
LME Aluminum Base Metal		(3	)		2/2019	USD		(137,574	)		8,292
LME Aluminum Base Metal		(4	)		2/2019	USD		(182,892	)		14,609
LME Aluminum Base Metal		(10	)		2/2019	USD		(459,825	)		24,259
LME Aluminum Base Metal		(19	)		2/2019	USD		(873,459	)		45,813
LME Copper Base Metal		(1	)		2/2019	USD		(149,156	)		6,916
LME Copper Base Metal		(2	)		2/2019	USD		(298,298	)		8,121
LME Copper Base Metal		(2	)		2/2019	USD		(298,063	)		5,067
LME Copper Base Metal		(3	)		2/2019	USD		(447,263	)		11,657
LME Copper Base Metal		(4	)		2/2019	USD		(596,575	)		21,586
LME Lead Base Metal		(1	)		2/2019	USD		(50,528	)		(1,801	)
LME Nickel Base Metal		(1	)		2/2019	USD		(63,823	)		5,744
LME Nickel Base Metal		(1	)		2/2019	USD		(63,933	)		2,550
LME Nickel Base Metal		(1	)		2/2019	USD		(63,969	)		762
LME Nickel Base Metal		(1	)		2/2019	USD		(63,975	)		1,830
LME Zinc Base Metal		(1	)		2/2019	USD		(61,856	)		2,186
LME Zinc Base Metal		(1	)		2/2019	USD		(61,887	)		(391	)
LME Zinc Base Metal		(1	)		2/2019	USD		(61,887	)		3,035
LME Zinc Base Metal		(1	)		2/2019	USD		(61,788	)		(296	)
LME Aluminum Base Metal		(1	)		3/2019	USD		(46,150	)		1,635

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

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AQR RISK PARITY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(1	)		3/2019	USD		$ (46,189	)		$ 1,983
LME Aluminum Base Metal	��	(1	)		3/2019	USD		(46,178	)		2,250
LME Aluminum Base Metal		(1	)		3/2019	USD		(46,059	)		2,867
LME Aluminum Base Metal		(1	)		3/2019	USD		(46,150	)		192
LME Aluminum Base Metal		(2	)		3/2019	USD		(92,270	)		3,945
LME Aluminum Base Metal		(2	)		3/2019	USD		(92,204	)		5,302
LME Aluminum Base Metal		(8	)		3/2019	USD		(368,382	)		20,044
LME Aluminum Base Metal		(64	)		3/2019	USD		(2,956,800	)		174,135
LME Copper Base Metal		(1	)		3/2019	USD		(149,263	)		4,606
LME Copper Base Metal		(1	)		3/2019	USD		(149,224	)		4,792
LME Copper Base Metal		(1	)		3/2019	USD		(149,288	)		904
LME Copper Base Metal		(1	)		3/2019	USD		(149,331	)		1,867
LME Copper Base Metal		(1	)		3/2019	USD		(149,137	)		1,643
LME Copper Base Metal		(2	)		3/2019	USD		(298,585	)		5,835
LME Copper Base Metal		(21	)		3/2019	USD		(3,134,119	)		60,748
LME Lead Base Metal		(1	)		3/2019	USD		(50,550	)		(1,928	)
LME Lead Base Metal		(2	)		3/2019	USD		(101,100	)		(4,268	)
LME Lead Base Metal		(2	)		3/2019	USD		(101,100	)		(2,275	)
LME Lead Base Metal		(8	)		3/2019	USD		(404,400	)		(11,140	)
LME Nickel Base Metal		(1	)		3/2019	USD		(64,014	)		1,526
LME Nickel Base Metal		(3	)		3/2019	USD		(192,141	)		3,263
LME Nickel Base Metal		(4	)		3/2019	USD		(256,335	)		7,735
LME Nickel Base Metal		(5	)		3/2019	USD		(320,314	)		5,871
LME Nickel Base Metal		(19	)		3/2019	USD		(1,217,691	)		45,484
LME Zinc Base Metal		(1	)		3/2019	USD		(61,795	)		2,726
LME Zinc Base Metal		(1	)		3/2019	USD		(61,797	)		1,625
LME Zinc Base Metal		(1	)		3/2019	USD		(61,800	)		1,809
LME Zinc Base Metal		(7	)		3/2019	USD		(432,338	)		10,329
											695,653
											$380,957

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	7,189,800	USD	1,835,420	CITI**		3/20/2019		$9,150
BRL	10,784,700	USD	2,753,133	JPMC**		3/20/2019		13,722
CHF	1,600	USD	1,637	CITI		3/20/2019		3
CHF	2,400	USD	2,455	JPMC		3/20/2019		4
CNY	15,656,400	USD	2,248,754	CITI**		3/20/2019		30,291
CNY	23,484,600	USD	3,373,136	JPMC**		3/20/2019		45,432
CZK	5,069,600	USD	223,854	CITI		3/20/2019		2,349
CZK	7,604,400	USD	335,782	JPMC		3/20/2019		3,522
EUR	12,634,756	USD	14,462,422	CITI		3/20/2019		107,291
EUR	18,952,146	USD	21,693,820	JPMC		3/20/2019		160,763
GBP	1,160,866	USD	1,472,449	CITI		3/20/2019		12,700
GBP	1,741,299	USD	2,208,677	JPMC		3/20/2019		19,047
HUF	848,839,600	USD	3,016,875	CITI		3/20/2019		28,651
HUF	1,273,259,400	USD	4,525,318	JPMC		3/20/2019		42,971

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

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Consolidated Schedule of Investments December 31, 2018

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CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
INR	319,862,400	USD	4,452,503	CITI**		3/20/2019		$ 108,461
INR	479,793,600	USD	6,678,763	JPMC**		3/20/2019		162,683
KRW	6,568,328,500	USD	5,868,780	CITI**		3/20/2019		45,008
KRW	9,852,492,750	USD	8,803,181	JPMC**		3/20/2019		67,501
MXN	194,488,795	USD	9,388,123	CITI		3/20/2019		391,416
MXN	291,733,205	USD	14,082,203	JPMC		3/20/2019		587,109
PLN	26,522,800	USD	7,034,818	CITI		3/20/2019		65,090
PLN	39,784,200	USD	10,552,239	JPMC		3/20/2019		97,621
USD	335,264	BRL	1,300,000	CITI**		3/20/2019		1,744
USD	502,895	BRL	1,950,000	JPMC**		3/20/2019		2,615
USD	2,824,460	EUR	2,446,387	CITI		3/20/2019		3,419
USD	4,236,684	EUR	3,669,580	JPMC		3/20/2019		5,124
USD	10,336,748	GBP	8,039,150	CITI		3/20/2019		51,897
USD	15,505,099	GBP	12,058,722	JPMC		3/20/2019		77,825
USD	212,774	HKD	1,660,600	CITI		3/20/2019		224
USD	319,161	HKD	2,490,900	JPMC		3/20/2019		335
USD	91,648	KRW	101,583,000	CITI**		3/20/2019		189
USD	137,473	KRW	152,374,500	JPMC**		3/20/2019		283
USD	504,284	ZAR	7,304,800	CITI		3/20/2019		1,203
USD	756,424	ZAR	10,957,200	JPMC		3/20/2019		1,804
Total unrealized appreciation								2,147,447
BRL	17,658,600	USD	4,574,693	CITI**		3/20/2019		(44,312	)
BRL	26,487,900	USD	6,862,047	JPMC**		3/20/2019		(66,477	)
CLP	138,777,600	USD	202,490	CITI**		3/20/2019		(2,356	)
CLP	208,166,400	USD	303,735	JPMC**		3/20/2019		(3,534	)
EUR	323,440	USD	373,487	CITI		3/20/2019		(514	)
EUR	485,161	USD	560,233	JPMC		3/20/2019		(771	)
GBP	2,073,714	USD	2,665,081	CITI		3/20/2019		(12,085	)
GBP	3,110,563	USD	3,997,615	JPMC		3/20/2019		(18,131	)
HKD	1,976,000	USD	253,458	CITI		3/20/2019		(538	)
HKD	2,964,000	USD	380,188	JPMC		3/20/2019		(807	)
HUF	70,254,000	USD	252,155	CITI		3/20/2019		(92	)
HUF	105,381,000	USD	378,232	JPMC		3/20/2019		(139	)
KRW	2,180,476,300	USD	1,969,034	CITI**		3/20/2019		(5,844	)
KRW	3,270,714,449	USD	2,953,554	JPMC**		3/20/2019		(8,770	)
USD	1,650,731	BRL	6,486,400	CITI**		3/20/2019		(13,380	)
USD	2,476,093	BRL	9,729,600	JPMC**		3/20/2019		(20,072	)
USD	1,625	CHF	1,600	CITI		3/20/2019		(14	)
USD	2,438	CHF	2,400	JPMC		3/20/2019		(22	)
USD	172,748	CNY	1,193,600	CITI**		3/20/2019		(1,000	)
USD	259,122	CNY	1,790,400	JPMC**		3/20/2019		(1,500	)
USD	40,246,713	EUR	35,098,613	CITI		3/20/2019		(227,098	)
USD	60,369,992	EUR	52,647,917	JPMC		3/20/2019		(340,723	)
USD	309,670	GBP	244,000	CITI		3/20/2019		(2,490	)
USD	464,505	GBP	366,000	JPMC		3/20/2019		(3,735	)
USD	123,902	HKD	968,200	CITI		3/20/2019		(25	)
USD	185,854	HKD	1,452,300	JPMC		3/20/2019		(36	)
USD	1,942,756	HUF	551,254,000	CITI		3/20/2019		(35,071	)
USD	2,914,131	HUF	826,881,000	JPMC		3/20/2019		(52,611	)
USD	385,101	INR	27,954,800	CITI**		3/20/2019		(13,510	)
USD	577,651	INR	41,932,200	JPMC**		3/20/2019		(20,266	)
USD	2,653,094	KRW	2,983,279,800	CITI**		3/20/2019		(32,900	)
USD	3,979,635	KRW	4,474,919,700	JPMC**		3/20/2019		(49,355	)
USD	2,446,461	MXN	50,226,400	CITI		3/20/2019		(79,088	)
USD	3,668,667	MXN	75,339,600	JPMC		3/20/2019		(119,656	)
USD	3,007,027	PLN	11,367,600	CITI		3/20/2019		(35,974	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	4,512,212	PLN	17,051,400	JPMC		3/20/2019		$ (52,290	)
USD	818,248	ZAR	11,948,400	CITI		3/20/2019		(4,637	)
USD	1,227,370	ZAR	17,922,600	JPMC		3/20/2019		(6,958	)
ZAR	81,046,000	USD	5,789,692	CITI		3/20/2019		(208,064	)
ZAR	121,569,002	USD	8,684,551	JPMC		3/20/2019		(312,107	)
Total unrealized depreciation								(1,796,952	)
Net unrealized appreciation								$350,495

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

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

USD - United States Dollar

ZAR - South African Rand

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

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—		$3,768,614			$3,768,614
CITG
Cash		—		4,532,715			4,532,715
CITI
Cash		943,897		—			943,897
GSCO
Cash		—		(1,146,396	)		(1,146,396	)
U.S. Treasury Inflation Linked Notes		—		1,736,511			1,736,511
JPMC
Investment Companies		8,589,889		—			8,589,889
JPMS
Cash		—		74,308			74,308
MLIN
Cash		140,739		—			140,739
MSCL
Cash		—		(2,680,487	)		(2,680,487	)
U.S. Treasury Inflation Linked Notes		—		1,325,335			1,325,335
MSCS
U.S. Treasury Bills		822,958		—			822,958

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

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Consolidated Schedule of Investments December 31, 2018

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Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Cash		$267,248		$—		$267,248
GSCO
Cash		—		1,167,698		1,167,698
GSIN
Investment Companies		436,337		—		436,337
JPPC
Cash		—		1,444,289		1,444,289
MACQ
U.S. Treasury Bills		52,875		—		52,875
MLIN
Cash		475,677		—		475,677
MSCL
Cash		—		2,201,019		2,201,019
SOCG
Cash		185,372		—		185,372

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

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Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II HV FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 24.2%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (a)(b)	EUR	1,077,750	$	1,300,814
0.10%, 4/15/2026 (a)(b)	EUR	1,048,970	��	1,302,210
France Government Bond OAT
0.25%, 7/25/2024 (a)(b)	EUR	433,514		530,663
0.10%, 3/1/2025	EUR	413,944		493,873
1.85%, 7/25/2027 (a)(b)	EUR	111,268		155,246
0.10%, 3/1/2028 (a)(b)	EUR	103,314		123,320
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP	868,464		1,244,879
0.13%, 3/22/2026	GBP	661,014		981,789
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $6,220,964)				6,132,794
U.S. TREASURY OBLIGATIONS - 36.7%
U.S. Treasury Inflation Linked Notes
0.13%, 4/15/2020 (c)	$	1,311,000		1,383,875
0.13%, 4/15/2021 (c)		2,310,000		2,396,677
0.13%, 4/15/2022 (c)		2,450,000		2,464,479
0.63%, 4/15/2023 (c)		482,000		482,566
0.38%, 7/15/2025		420,000		431,772
0.63%, 1/15/2026		800,000		828,753
0.13%, 7/15/2026		860,000		851,799
0.38%, 7/15/2027		480,000		470,743
TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,544,662)				9,310,664
SHORT-TERM INVESTMENTS - 83.2%
REPURCHASE AGREEMENTS - 23.4%
Citigroup Global Markets Holdings, Inc., 2.60%, dated 12/28/2018, due 1/3/2019, repurchase price $100,862, collateralized by U.S. Treasury Inflation Linked Notes, 0.13%, due 4/15/2022		100,818		100,818
Merrill Lynch Pierce Fenner & Smith, Inc., 2.43%, dated 11/28/2018, due 1/10/2019, repurchase price $1,166,626 , collateralized by U.S. Treasury Inflation Linked Notes, 0.13%, due 4/15/2020		1,163,250		1,163,250
Morgan Stanley & Co. LLC Incorporated, 2.50%, dated 12/27/2018, due 1/3/2019, repurchase price $1,863,906, collateralized by U.S. Treasury Inflation Linked Notes, 0.13%, due 4/15/2021		1,863,000		1,863,000
Morgan Stanley & Co. LLC Incorporated, 2.50%, dated 12/27/2018, due 1/3/2019, repurchase price $422,205, collateralized by U.S. Treasury Inflation Linked Notes, 0.13%, due 4/15/2020		422,000		422,000
Morgan Stanley & Co. LLC, 2.46%, dated 1/3/2019, due 1/10/2019, repurchase price $1,868,393 (i)		1,867,500		1,867,500

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
REPURCHASE AGREEMENTS - 23.4% (continued)
Morgan Stanley & Co. LLC, 2.46%, dated 1/3/2019, due 1/10/2019, repurchase price $422,702 (i)	$	422,500	$	422,500
Morgan Stanley & Co. LLC, 2.46%, dated 1/3/2019, due 1/10/2019, repurchase price $100,548 (i)		100,500		100,500
TOTAL REPURCHASE AGREEMENTS (Cost $5,939,568)				5,939,568
	SHARES
INVESTMENT COMPANIES - 38.0%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (1)(d)		5,019		5,019
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (1)(d)		20,077		20,077
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (1)(d)(e)		230,066		230,066
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(d)(e)		3,620,973		3,620,973
Limited Purpose Cash Investment Fund, 2.50% (1)(d)		5,722,129		5,722,129
UBS Select Treasury Preferred Fund, Class I, 2.34% (1)(d)		25,096		25,096
TOTAL INVESTMENT COMPANIES (Cost $9,621,891)				9,623,360
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 21.8%
U.S. Treasury Bills
2.16%, 1/24/2019 (f)	$	1,098,000		1,096,468
2.18%, 1/31/2019 (f)		1,178,000		1,175,827
2.24%, 2/28/2019 (f)		1,510,000		1,504,307
2.50%, 5/16/2019 (f)(g)		1,773,000		1,756,972
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,533,613)				5,533,574
TOTAL SHORT-TERM INVESTMENTS (Cost $21,095,072)				21,096,502
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 144.1% (Cost $36,860,698)				36,539,960
LIABILITIES IN EXCESS OF OTHER ASSETS - (44.1)% (h)				(11,187,246	)
NET ASSETS - 100.0%			$	25,352,714

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

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Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II HV FUND

(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 December 31, 2018, the value of these securities amounted to $3,412,253 or 13.46% of net assets.

(b) Inflation protected security.

(c) On 12/31/2018, securities valued at $6,727,597 were pledged as collateral for reverse repurchase agreements outstanding.

(d) Represents 7-day effective yield as of December 31, 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) All or a portion of the security pledged as collateral for swap contracts.

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

(i) Total unsettled repurchase agreements in the amount of $2,390,500 is outstanding at period end to be collateralized by $2,300,000 U.S. Treasury Inflation Linked Notes with a value of $2,391,643, inclusive of accrued interest, upon settlement.

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

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

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

Reverse repurchase agreements at December 31, 2018:

Over the Counter

COUNTERPARTY	TRADE DATE		RATE	DUE DATE	PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT
CITI		11/6/2018	2.48%	1/10/2019		$2,525,473
MPFS		11/6/2018	2.48%	1/10/2019		4,212,750
MPFS		11/6/2018	2.48%	1/10/2019		2,944,522
MPFS		11/6/2018	2.48%	1/10/2019		376,270
MPFS		12/6/2018	2.65%	1/10/2019		98,875
						$10,157,890

The weighted average daily balance of the reverse repurchase agreements during the period ended December 31, 2018 was $11,364,632 at a net weighted average interest rate of 1.994%

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

Over the Counter

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Coffee ‘C’ March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		02/08/2019	USD	(152,775	)		$3,900
Coffee ‘C’ March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/08/2019	USD	(38,194	)		834
Coffee ‘C’ March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		02/08/2019	USD	(38,194	)		1,125
Corn March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		02/22/2019	USD	(318,750	)		7,721
Corn March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		02/22/2019	USD	(75,000	)		1,872

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

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Consolidated Schedule of Investments December 31, 2018

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)
Corn March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/22/2019	USD	(93,750	)		$ 806
Corn March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		02/22/2019	USD	(37,500	)		925
Cotton No. 2 March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		02/08/2019	USD	(108,300	)		11,754
Cotton No. 2 March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		02/08/2019	USD	(36,100	)		3,810
Cotton No. 2 March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		02/08/2019	USD	(36,100	)		2,630
Hang Seng Index January Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		01/30/2019	HKD	1,292,700			2,395
HSCEI January Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		01/30/2019	HKD	6,566,300			7,638
KC HRW Wheat March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/22/2019	USD	(24,438	)		1,006
Lean Hogs February Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/14/2019	USD	(48,780	)		4,540
Lean Hogs February Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		02/14/2019	USD	(195,120	)		18,130
Live Cattle February Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		02/01/2019	USD	445,950			9,370
Live Cattle February Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		02/01/2019	USD	247,750			5,003
Soybean March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		02/22/2019	USD	(268,500	)		9,176
Soybean March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		02/22/2019	USD	268,500			357
Soybean March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/22/2019	USD	(581,750	)		11,877
Soybean March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		02/22/2019	USD	581,750			1,073
Soybean March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		02/22/2019	USD	44,750			9
Soybean March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		02/22/2019	USD	(44,750	)		1,500

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

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Consolidated Schedule of Investments December 31, 2018

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 Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(154,950

)

$ 1,760

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(233,940

)

10,164

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(50,325

)

2,288

121,663

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

152,775

(21,590

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/08/2019

USD

38,194

(5,426

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/08/2019

USD

38,194

(5,322

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

93,750

(774

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

37,500

(401

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

318,750

(2,714

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

75,000

(1,000

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/08/2019

USD

36,100

(3,014

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/08/2019

USD

36,100

(2,955

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

108,300

(8,876

)

HSCEI January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

01/30/2019

HKD

1,010,200

(349

)

iBovespa Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/13/2019

BRL

1,327,800

(7,453

)

KC HRW Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

24,438

(2,594

)

KOSPI 200 Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

03/14/2019

KRW

458,500,000

(441

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/14/2019

USD

195,120

(9,377

)

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

AQR Funds Annual Report December 2018

204

Consolidated Schedule of Investments December 31, 2018

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)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/14/2019

USD

48,780

$ (3,890

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/01/2019

USD

(445,950

)

(9,033

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/01/2019

USD

(247,750

)

(7,011

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

154,950

(147

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

233,940

(7,520

)

TAIEX Index January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/16/2019

TWD

7,735,200

(2,465

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

50,325

(2,900

)

(105,252

)

$16,411

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
LME Aluminum Base Metal		1	1/2019	USD		$45,655		$(4,447	)
LME Aluminum Base Metal		1	1/2019	USD		45,704		(3,793	)
LME Lead Base Metal		1	1/2019	USD		50,313		(64	)
MSCI Taiwan Index		1	1/2019	USD		35,940		1,033
100 oz Gold		14	2/2019	USD		1,793,820		60,797
Brent Crude Oil		16	2/2019	USD		864,320		(115,441	)
Lean Hogs		5	2/2019	USD		121,950		(7,980	)
Live Cattle		7	2/2019	USD		346,850		4,536
LME Aluminum Base Metal		1	2/2019	USD		45,723		(3,605	)
LME Aluminum Base Metal		2	2/2019	USD		91,812		(5,168	)
LME Aluminum Base Metal		5	2/2019	USD		229,857		(12,407	)
LME Copper Base Metal		1	2/2019	USD		149,194		(7,872	)
LME Copper Base Metal		1	2/2019	USD		149,120		(2,558	)
LME Copper Base Metal		1	2/2019	USD		149,071		(5,931	)
LME Nickel Base Metal		1	2/2019	USD		63,927		(3,456	)
LME Nickel Base Metal		1	2/2019	USD		63,969		(744	)
LME Zinc Base Metal		1	2/2019	USD		61,887		(2,865	)
Natural Gas		6	2/2019	USD		171,060		(64,751	)
NY Harbor ULSD		1	2/2019	USD		70,136		(6,425	)
RBOB Gasoline		2	2/2019	USD		110,208		(12,326	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
Sugar No. 11		13		2/2019	USD		$ 175,157			$ 8,152
WTI Crude Oil		22		2/2019	USD		1,005,840			(144,895	)
Australia 10 Year Bond		15		3/2019	AUD		1,401,744			16,188
Canada 10 Year Bond		16		3/2019	CAD		1,602,930			51,219
Cocoa		5		3/2019	USD		120,800			15,655
Coffee ‘C’		5		3/2019	USD		190,969			(3,975	)
Corn		31		3/2019	USD		581,250			(8,115	)
Cotton No. 2		3		3/2019	USD		108,300			(11,389	)
EURO STOXX 50 Index		5		3/2019	EUR		170,373			(3,586	)
Euro-Bund		80		3/2019	EUR		14,990,076			112,264
Feeder Cattle		1		3/2019	USD		73,375			2,135
FTSE 100 Index		6		3/2019	GBP		509,254			(2,120	)
FTSE/JSE Top 40 Index		1		3/2019	ZAR		32,708			1,003
Japan 10 Year Bond Mini		57		3/2019	JPY		7,937,512			34,158
KC HRW Wheat		1		3/2019	USD		24,437			(2,587	)
LME Aluminum Base Metal		1		3/2019	USD		46,048			(2,430	)
LME Aluminum Base Metal		13		3/2019	USD		600,600			(77,378	)
LME Copper Base Metal		1		3/2019	USD		149,194			(659	)
LME Copper Base Metal		8		3/2019	USD		1,193,950			(42,075	)
LME Lead Base Metal		3		3/2019	USD		151,650			3,385
LME Nickel Base Metal		2		3/2019	USD		128,189			(2,557	)
LME Nickel Base Metal		7		3/2019	USD		448,623			(82,885	)
LME Zinc Base Metal		1		3/2019	USD		61,700			(1,753	)
LME Zinc Base Metal		3		3/2019	USD		185,288			(10,116	)
Long Gilt		22		3/2019	GBP		3,453,835			5,915
Low Sulphur Gasoil		4		3/2019	USD		204,700			(18,988	)
Russell 2000 E-Mini Index		8		3/2019	USD		539,600			(29,855	)
S&P 500 E-Mini Index		42		3/2019	USD		5,260,920			(237,701	)
S&P Midcap 400 E-Mini Index		3		3/2019	USD		498,660			(24,685	)
Silver		6		3/2019	USD		466,200			24,370
Soybean		12		3/2019	USD		537,000			(18,960	)
Soybean Meal		4		3/2019	USD		123,960			(1,318	)
Soybean Oil		13		3/2019	USD		217,230			(10,225	)
TOPIX Index		6		3/2019	JPY		817,572			(48,801	)
U.S. Treasury 10 Year Note		209		3/2019	USD		25,501,266			563,815
Wheat		5		3/2019	USD		125,813			(6,343	)
100 oz Gold		3		4/2019	USD		386,310			(473	)
Live Cattle		1		4/2019	USD		50,500			(106	)
										(149,183	)
Short Contracts
LME Aluminum Base Metal		(1	)	1/2019	USD		(45,704	)		3,729
LME Aluminum Base Metal		(1	)	1/2019	USD		(45,655	)		4,301
LME Lead Base Metal		(1	)	1/2019	USD		(50,313	)		574
LME Aluminum Base Metal		(1	)	2/2019	USD		(45,723	)		3,652
LME Aluminum Base Metal		(2	)	2/2019	USD		(91,812	)		5,132
LME Aluminum Base Metal		(5	)	2/2019	USD		(229,858	)		12,056
LME Copper Base Metal		(1	)	2/2019	USD		(149,120	)		2,324
LME Copper Base Metal		(1	)	2/2019	USD		(149,072	)		5,706
LME Copper Base Metal		(1	)	2/2019	USD		(149,194	)		6,666
LME Nickel Base Metal		(1	)	2/2019	USD		(63,969	)		762
LME Nickel Base Metal		(1	)	2/2019	USD		(63,927	)		3,366
LME Zinc Base Metal		(1	)	2/2019	USD		(61,887	)		2,510
LME Aluminum Base Metal		(1	)	3/2019	USD		(46,048	)		2,505
LME Aluminum Base Metal		(11	)	3/2019	USD		(508,200	)		30,992

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

AQR Funds Annual Report December 2018

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Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(1	)	3/2019	USD		$ (149,194	)		$ 1,002
LME Copper Base Metal		(4	)	3/2019	USD		(596,975	)		16,313
LME Lead Base Metal		(1	)	3/2019	USD		(50,550	)		(240	)
LME Nickel Base Metal		(2	)	3/2019	USD		(128,189	)		2,593
LME Nickel Base Metal		(4	)	3/2019	USD		(256,356	)		6,726
LME Zinc Base Metal		(1	)	3/2019	USD		(61,700	)		1,253
LME Zinc Base Metal		(2	)	3/2019	USD		(123,525	)		4,444
										116,366
										$(32,817	)

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	1,000	USD	255	CITI**		3/20/2019		$1
BRL	1,500	USD	383	JPMC**		3/20/2019		2
EUR	2,067,153	USD	2,369,635	CITI		3/20/2019		14,094
EUR	3,100,731	USD	3,554,457	JPMC		3/20/2019		21,136
GBP	52,988	USD	67,257	CITI		3/20/2019		533
GBP	79,481	USD	100,884	JPMC		3/20/2019		799
USD	273,116	EUR	236,557	CITI		3/20/2019		331
USD	409,675	EUR	354,837	JPMC		3/20/2019		496
USD	2,206,562	GBP	1,716,099	CITI		3/20/2019		11,078
USD	3,309,846	GBP	2,574,154	JPMC		3/20/2019		16,613
USD	32,524	HKD	253,900	CITI		3/20/2019		25
USD	48,786	HKD	380,850	JPMC		3/20/2019		39
Total unrealized appreciation								65,147
BRL	3,000	USD	777	CITI**		3/20/2019		(7	)
BRL	4,500	USD	1,165	JPMC**		3/20/2019		(11	)
EUR	112,754	USD	130,201	CITI		3/20/2019		(179	)
EUR	169,131	USD	195,302	JPMC		3/20/2019		(269	)
GBP	968,080	USD	1,243,972	CITI		3/20/2019		(5,464	)
GBP	1,452,119	USD	1,865,959	JPMC		3/20/2019		(8,197	)
HKD	244,000	USD	31,298	CITI		3/20/2019		(66	)
HKD	366,000	USD	46,946	JPMC		3/20/2019		(100	)
USD	3,797,574	EUR	3,311,808	CITI		3/20/2019		(21,422	)
USD	5,696,360	EUR	4,967,717	JPMC		3/20/2019		(32,140	)
USD	18,184	HKD	142,100	CITI		3/20/2019		(4	)
USD	27,276	HKD	213,150	JPMC		3/20/2019		(7	)
Total unrealized depreciation								(67,866	)
Net unrealized depreciation								$(2,719)

** Non-deliverable forward.

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

AQR Funds Annual Report December 2018

207

Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II HV FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

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 December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—			$805,442			$805,442
CITI
Cash		15,450			—			15,450
U.S. Treasury Inflation Linked Notes		2,464,479			—			2,464,479
GSCO
Cash		—			126,246			126,246
GSIN
Investment Companies		88,355			—			88,355
JPMC
Investment Companies		230,066			—			230,066
JPMS
Cash		—			16,036			16,036
MPFS
U.S. Treasury Inflation Linked Notes		6,552,894			—			6,552,894
MSCL
Cash		—			(240,691	)		(240,691	)
U.S. Treasury Inflation Linked Notes		(2,289,776	)		—			(2,289,776	)

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Cash		$3,262		$—		$3,262
GSCO
Cash		—		240,504		240,504
GSIN
U.S. Treasury Bills		10,901		—		10,901
JPPC
Cash		—		238,106		238,106
MSCL
Cash		—		547,924		547,924
SOCG
Cash		30,904		—		30,904

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

AQR Funds Annual Report December 2018

208

Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II MV FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 14.9%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (a)(b)	EUR	1,616,625	$	1,951,221
0.10%, 4/15/2026 (a)(b)	EUR	1,888,146		2,343,978
France Government Bond OAT
0.25%, 7/25/2024 (a)(b)	EUR	539,249		660,093
0.10%, 3/1/2025 (a)(b)	EUR	517,430		617,342
1.85%, 7/25/2027 (a)(b)	EUR	222,536		310,492
0.10%, 3/1/2028 (a)(b)	EUR	103,314		123,320
0.70%, 7/25/2030 (a)(b)	EUR	104,376		134,169
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP	1,525,680		2,186,949
0.13%, 3/22/2026	GBP	1,101,690		1,636,315
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $10,185,240)				9,963,879
U.S. TREASURY OBLIGATIONS - 27.0%
U.S. Treasury Inflation Linked Notes
0.13%, 4/15/2020		3,499,000		3,693,499
0.13%, 4/15/2021 (c)		5,300,000		5,498,870
0.13%, 4/15/2022		3,250,000		3,269,207
0.63%, 4/15/2023 (c)		700,000		700,822
0.38%, 7/15/2025		810,000		832,704
0.63%, 1/15/2026		1,520,000		1,574,630
0.13%, 7/15/2026		1,650,000		1,634,265
0.38%, 7/15/2027		850,000		833,607
TOTAL U.S. TREASURY OBLIGATIONS (Cost $18,489,262)				18,037,604
	SHARES
SHORT-TERM INVESTMENTS - 53.0%
INVESTMENT COMPANIES - 34.3%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (1)(d)		88,561		88,561
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (1)(d)		354,243		354,243
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (1)(d)(e)		380,081		380,081
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(d)(e)		6,047,026		6,047,026
Limited Purpose Cash Investment Fund, 2.50% (1)(d)		15,595,325		15,595,325
UBS Select Treasury Preferred Fund, Class I, 2.34% (1)(d)		442,804		442,804
TOTAL INVESTMENT COMPANIES (Cost $22,905,028)				22,908,040

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 18.7%
U.S. Treasury Bills
2.16%, 1/17/2019 (f)	$	1,973,000	$	1,971,121
2.16%, 1/24/2019 (f)(g)		5,265,000		5,257,656
2.18%, 1/31/2019 (f)(g)		3,973,000		3,965,671
2.36%, 4/4/2019 (f)		1,352,000		1,343,617
TOTAL U.S. TREASURY OBLIGATIONS (Cost $12,538,618)				12,538,065
TOTAL SHORT-TERM INVESTMENTS (Cost $35,443,646)				35,446,105
TOTAL INVESTMENTS IN SECURITIES ATVALUE - 94.9% (Cost $64,118,148)				63,447,588
OTHER ASSETS IN EXCESS OFLIABILITIES - 5.1% (h)				3,439,721
NET ASSETS - 100.0%			$	66,887,309

(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 December 31, 2018, the value of these securities amounted to $5,523,273 or 8.26% 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 December 31, 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) All or a portion of the security pledged as collateral for swap contracts.

(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).

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 Annual Report December 2018

209

Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II MV FUND

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

Over the Counter

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Cocoa March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		02/01/2019	USD	24,160			$2,986
Cotton No. 2 March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		02/08/2019	USD	(36,100	)		2,671
Hang Seng Index January Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		01/30/2019	HKD	1,292,700			1,957
Hang Seng Index January Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		01/30/2019	HKD	1,292,700			1,284
HSCEI January Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		01/30/2019	HKD	8,081,600			1,971
HSCEI January Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		01/30/2019	HKD	6,061,200			6,932
Lean Hogs February Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/14/2019	USD	(146,340	)		7,282
Lean Hogs February Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		02/14/2019	USD	(24,390	)		28
Lean Hogs April Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		04/12/2019	USD	26,830			40
Live Cattle February Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		02/01/2019	USD	594,600			11,859
Live Cattle February Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/01/2019	USD	(99,100	)		129
Live Cattle February Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		02/01/2019	USD	247,750			5,003
Soybean March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		02/22/2019	USD	179,000			326
Soybean March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		02/22/2019	USD	223,750			497
Soybean March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		02/22/2019	USD	716,000			1,632
Soybean March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/22/2019	USD	(358,000	)		7,366
Soybean March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		02/22/2019	USD	268,500			302

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

AQR Funds Annual Report December 2018

210

Consolidated Schedule of Investments December 31, 2018

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 Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(30,990

)

$ 110

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

92,970

258

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(50,130

)

272

Sugar No. 11 February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/15/2019

USD

13,474

784

Sugar No. 11 February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/15/2019

USD

26,947

912

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(50,325

)

2,888

57,489

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/08/2019

USD

38,194

(5,426

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

152,775

(21,590

)

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/08/2019

USD

38,194

(5,322

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

225,000

(4,554

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

393,750

(3,515

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

150,000

(1,174

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/08/2019

USD

72,200

(5,870

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

180,500

(14,979

)

iBovespa Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/13/2019

BRL

1,770,400

(9,937

)

KC HRW Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

24,437

(2,639

)

KOSPI 200 Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

03/14/2019

KRW

589,500,000

(653

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/14/2019

USD

195,120

(9,940

)

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

AQR Funds Annual Report December 2018

211

Consolidated Schedule of Investments December 31, 2018

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)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/14/2019

USD

24,390

$ (290

)

Lean Hogs February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/14/2019

USD

146,340

(7,611

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/01/2019

USD

(148,650

)

(3,404

)

Live Cattle April Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

04/05/2019

USD

101,000

(131

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

185,940

(225

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

417,750

(13,125

)

TAIEX Index January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/16/2019

TWD

1,933,800

(616

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

125,812

(7,779

)

(118,780

)

$(61,291

)

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
HSCEI		1	1/2019	HKD		$64,504		$(532	)
LME Aluminum Base Metal		1	1/2019	USD		45,646		(4,407	)
LME Aluminum Base Metal		1	1/2019	USD		45,656		(4,447	)
MSCI Taiwan Index		14	1/2019	USD		503,160		10,617
100 oz Gold		24	2/2019	USD		3,075,120		105,663
Brent Crude Oil		26	2/2019	USD		1,404,520		(172,202	)
LME Aluminum Base Metal		1	2/2019	USD		45,972		(2,481	)
LME Aluminum Base Metal		1	2/2019	USD		45,858		(2,620	)
LME Aluminum Base Metal		4	2/2019	USD		183,930		(10,582	)
LME Copper Base Metal		1	2/2019	USD		149,156		(6,702	)
LME Copper Base Metal		1	2/2019	USD		149,136		(2,042	)
LME Copper Base Metal		1	2/2019	USD		149,144		(4,984	)
LME Copper Base Metal		1	2/2019	USD		149,088		(3,415	)
LME Copper Base Metal		1	2/2019	USD		149,031		(1,646	)
LME Lead Base Metal		1	2/2019	USD		50,550		2,272
Natural Gas		11	2/2019	USD		313,610		(111,039	)
NY Harbor ULSD		3	2/2019	USD		210,407		(20,645	)

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

AQR Funds Annual Report December 2018

212

Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II MV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
RBOB Gasoline		4		2/2019	USD		$ 220,416			$ (24,652	)
Sugar No. 11		17		2/2019	USD		229,051			7,978
WTI Crude Oil		37		2/2019	USD		1,691,640			(241,147	)
Australia 10 Year Bond		26		3/2019	AUD		2,429,690			28,346
Canada 10 Year Bond		27		3/2019	CAD		2,704,944			87,312
Cocoa		7		3/2019	USD		169,120			19,559
Coffee ‘C’		4		3/2019	USD		152,775			(22,711	)
Corn		23		3/2019	USD		431,250			(2,366	)
EURO STOXX 50 Index		12		3/2019	EUR		408,895			(8,607	)
Euro-Bund		141		3/2019	EUR		26,420,009			215,772
Feeder Cattle		2		3/2019	USD		146,750			4,411
FTSE 100 Index		8		3/2019	GBP		679,005			(1,565	)
FTSE/JSE Top 40 Index		2		3/2019	ZAR		65,415			1,942
Japan 10 Year Bond Mini		75		3/2019	JPY		10,444,095			46,000
KC HRW Wheat		3		3/2019	USD		73,312			(7,913	)
KOSPI 200 Index		3		3/2019	KRW		176,107			(21	)
LME Aluminum Base Metal		2		3/2019	USD		92,096			(4,910	)
LME Aluminum Base Metal		3		3/2019	USD		138,371			(6,613	)
LME Aluminum Base Metal		18		3/2019	USD		831,600			(105,648	)
LME Copper Base Metal		2		3/2019	USD		298,273			(2,833	)
LME Copper Base Metal		13		3/2019	USD		1,940,169			(72,129	)
LME Lead Base Metal		4		3/2019	USD		202,200			3,988
LME Nickel Base Metal		1		3/2019	USD		64,134			(41	)
LME Nickel Base Metal		9		3/2019	USD		576,801			(109,713	)
LME Zinc Base Metal		3		3/2019	USD		185,288			(10,116	)
Long Gilt		47		3/2019	GBP		7,378,646			36,302
Low Sulphur Gasoil		8		3/2019	USD		409,400			(38,684	)
Russell 2000 E-Mini Index		14		3/2019	USD		944,300			(52,998	)
S&P 500 E-Mini Index		76		3/2019	USD		9,519,760			(450,485	)
S&P Midcap 400 E-Mini Index		7		3/2019	USD		1,163,540			(59,335	)
Silver		10		3/2019	USD		777,000			31,152
TOPIX Index		13		3/2019	JPY		1,771,406			(104,107	)
U.S. Treasury 10 Year Note		363		3/2019	USD		44,291,672			975,077
Wheat		4		3/2019	USD		100,650			(5,827	)
100 oz Gold		5		4/2019	USD		643,850			(788	)
										(104,562	)
Short Contracts
LME Aluminum Base Metal		(1	)	1/2019	USD		(45,655	)		4,301
LME Aluminum Base Metal		(1	)	1/2019	USD		(45,646	)		4,412
LME Aluminum Base Metal		(1	)	2/2019	USD		(45,972	)		2,411
LME Aluminum Base Metal		(1	)	2/2019	USD		(45,858	)		2,733
LME Aluminum Base Metal		(4	)	2/2019	USD		(183,930	)		9,822
LME Copper Base Metal		(1	)	2/2019	USD		(149,088	)		3,886
LME Copper Base Metal		(1	)	2/2019	USD		(149,031	)		2,534
LME Copper Base Metal		(1	)	2/2019	USD		(149,144	)		5,397
LME Copper Base Metal		(1	)	2/2019	USD		(149,156	)		6,916
LME Copper Base Metal		(1	)	2/2019	USD		(149,136	)		2,722
LME Lead Base Metal		(1	)	2/2019	USD		(50,550	)		(2,354	)
LME Aluminum Base Metal		(2	)	3/2019	USD		(92,096	)		5,011
LME Aluminum Base Metal		(3	)	3/2019	USD		(138,371	)		6,561
LME Aluminum Base Metal		(14	)	3/2019	USD		(646,800	)		36,954
LME Copper Base Metal		(2	)	3/2019	USD		(298,273	)		3,285
LME Copper Base Metal		(6	)	3/2019	USD		(895,462	)		13,664
LME Lead Base Metal		(1	)	3/2019	USD		(50,550	)		(2,244	)

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

AQR Funds Annual Report December 2018

213

Consolidated Schedule of Investments December 31, 2018

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 Nickel Base Metal		(1	)	3/2019	USD		$ (64,134	)		$ (14	)
LME Nickel Base Metal		(2	)	3/2019	USD		(128,178	)		1,661
										107,658
										$3,096

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
EUR	989,873	USD	1,134,736	CITI		3/20/2019		$6,732
EUR	1,484,818	USD	1,702,116	JPMC		3/20/2019		10,097
USD	2,603	BRL	10,000	CITI**		3/20/2019		37
USD	3,904	BRL	15,000	JPMC**		3/20/2019		56
USD	249,767	EUR	216,334	CITI		3/20/2019		303
USD	374,649	EUR	324,500	JPMC		3/20/2019		454
USD	2,039,197	GBP	1,585,935	CITI		3/20/2019		10,238
USD	3,058,785	GBP	2,378,897	JPMC		3/20/2019		15,353
USD	46,495	HKD	362,900	CITI		3/20/2019		45
USD	69,742	HKD	544,350	JPMC		3/20/2019		67
Total unrealized appreciation								43,382
EUR	104,575	USD	120,854	CITI		3/20/2019		(264	)
EUR	156,863	USD	181,282	JPMC		3/20/2019		(397	)
GBP	406,531	USD	522,464	CITI		3/20/2019		(2,369	)
GBP	609,801	USD	783,700	JPMC		3/20/2019		(3,554	)
HKD	440,000	USD	56,438	CITI		3/20/2019		(120	)
HKD	660,000	USD	84,657	JPMC		3/20/2019		(179	)
USD	2,554	BRL	10,000	CITI**		3/20/2019		(12	)
USD	3,830	BRL	15,000	JPMC**		3/20/2019		(18	)
USD	3,472,909	EUR	3,028,672	CITI		3/20/2019		(19,591	)
USD	5,209,352	EUR	4,543,004	JPMC		3/20/2019		(29,393	)
USD	40,268	HKD	314,700	CITI		3/20/2019		(13	)
USD	60,401	HKD	472,050	JPMC		3/20/2019		(19	)
Total unrealized depreciation								(55,929	)
Net unrealized depreciation								$(12,547)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

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)

AQR Funds Annual Report December 2018

214

Consolidated Schedule of Investments December 31, 2018

AQR RISK PARITY II MV FUND

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

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—		$1,593,596			$1,593,596
CITI
Cash		154,732		—			154,732
GSCO
Cash		—		(390,577	)		(390,577	)
U.S. Treasury Inflation Linked Notes		—		610,819			610,819
GSIN
Investment Companies		128,163		—			128,163
JPMC
Investment Companies		380,081		—			380,081
JPMS
Cash		—		27,937			27,937
MSCL
Cash		—		(788,045	)		(788,045	)
U.S. Treasury Inflation Linked Notes		—		382,413			382,413

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Cash		$83,296		$—		$83,296
GSCO
Cash		—		394,602		394,602
GSIN
U.S. Treasury Bills		180,748		—		180,748
JPPC
Cash		—		410,915		410,915
MACQ
U.S. Treasury Bills		40,924		—		40,924
MSCL
Cash		—		742,795		742,795
SOCG
Cash		61,120		—		61,120

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

AQR Funds Annual Report December 2018

215

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 128.0%
COMMON STOCKS - 50.2%
Brazil - 0.0% (a)
Yamana Gold, Inc.		339,016	$	797,130
Canada - 2.7%
Air Canada *(b)		1,025,069		19,492,228
ARC Resources Ltd.		179,517		1,065,110
Barrick Gold Corp.		42,672		576,066
Canadian Imperial Bank of Commerce (b)		109,234		8,135,740
Canadian Natural Resources Ltd. (b)		324,543		7,830,682
Canadian Tire Corp. Ltd., Class A		34,410		3,597,776
CGI Group, Inc., Class A *(b)		100,335		6,136,810
CI Financial Corp.		43,544		551,158
Constellation Software, Inc.		665		425,664
Fairfax Financial Holdings Ltd.		2,212		973,753
Franco-Nevada Corp.		6,087		426,830
Intact Financial Corp.		40,295		2,927,674
Kinross Gold Corp. *		1,346,824		4,340,775
Linamar Corp.		49,073		1,628,338
Magna International, Inc.		67,824		3,078,709
Methanex Corp.		30,566		1,470,088
National Bank of Canada		69,346		2,847,087
Peyto Exploration & Development Corp.		190,967		990,365
Quebecor, Inc., Class B		20,328		427,942
Rogers Communications, Inc., Class B		8,094		414,779
Seven Generations Energy Ltd., Class A *		264,677		2,159,758
Toronto-Dominion Bank (The) (b)		210,791		10,477,788
Tourmaline Oil Corp.		332,276		4,132,762
West Fraser Timber Co. Ltd. (b)		128,924		6,368,763
				90,476,645
Chile - 0.0% (a)
Lundin Mining Corp.		131,717		544,158
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd. (2)		2,443,700		2,245,375
Italy - 4.1%
A2A SpA (2)		5,602,025		10,103,116
Assicurazioni Generali SpA (2)(b)		1,180,319		19,727,839
Autogrill SpA (2)		114,687		967,589
BPER Banca (2)		759,624		2,925,755
Enel SpA (2)(b)		5,463,574		31,673,683
Eni SpA (2)(b)		1,890,243		29,860,561
Hera SpA (2)		1,160,444		3,540,261
Italgas SpA (2)		281,201		1,612,556
Poste Italiane SpA (2)(c)		2,376,359		19,055,323
Telecom Italia SpA (2)*		3,260,189		1,804,871
Terna Rete Elettrica Nazionale SpA (2)(b)		1,315,750		7,472,333
UniCredit SpA (2)		66,900		757,770
UnipolSai Assicurazioni SpA (2)		2,050,513		4,642,615
				134,144,272

INVESTMENTS	SHARES		VALUE
Singapore - 0.1%
ComfortDelGro Corp. Ltd. (2)		426,400	$	673,518
Venture Corp. Ltd. (2)		306,400		3,145,753
				3,819,271
Spain - 1.6%
Repsol SA (2)(b)		3,334,109		53,602,673
Switzerland - 0.1%
Temenos AG (Registered) (2)*		26,486		3,182,633
United Kingdom - 0.8%
Fiat Chrysler Automobiles NV (2)*		1,791,150		25,825,465
United States - 40.7%
Aaron’s, Inc.		14,516		610,398
Abbott Laboratories (b)		89,197		6,451,619
ABIOMED, Inc. *(b)		28,297		9,197,657
Accenture plc, Class A		22,629		3,190,915
Adobe, Inc. *(b)		86,007		19,458,224
Air Lease Corp.		136,091		4,111,309
Akamai Technologies, Inc. *(b)		241,069		14,724,495
Alphabet, Inc., Class A *(b)		8,058		8,420,288
Amdocs Ltd. (b)		216,209		12,665,523
American Eagle Outfitters, Inc. (b)		677,598		13,097,969
ANSYS, Inc. *		19,933		2,849,223
Anthem, Inc. (b)		197,550		51,882,556
athenahealth, Inc. *		2,882		380,222
AutoNation, Inc. *		42,430		1,514,751
Bausch Health Cos., Inc. *		82,918		1,533,606
Baxter International, Inc. (b)		289,492		19,054,363
Bed Bath & Beyond, Inc.		277,589		3,142,307
Best Buy Co., Inc. (b)		294,254		15,583,692
Big Lots, Inc.		159,606		4,615,806
Boeing Co. (The) (b)		65,903		21,253,718
Booking Holdings, Inc. *(b)		17,158		29,553,282
Booz Allen Hamilton Holding Corp.		42,121		1,898,393
Broadridge Financial Solutions, Inc. (b)		69,470		6,686,488
BRP, Inc.		118,041		3,055,647
Burlington Stores, Inc. *		2,409		391,872
Cadence Design Systems, Inc. *(b)		260,384		11,321,496
Cardinal Health, Inc.		8,632		384,987
CDK Global, Inc.		110,837		5,306,876
Centene Corp. *(b)		118,902		13,709,401
Chesapeake Energy Corp. *		820,820		1,723,722
Cigna Corp. (b)		210,539		39,985,567
Cirrus Logic, Inc. *		451,723		14,988,169
Citrix Systems, Inc.		32,056		3,284,458
CNX Resources Corp. *		237,013		2,706,688
Cognizant Technology Solutions Corp., Class A		26,652		1,691,869
ConocoPhillips		14,521		905,384
Cooper Cos., Inc. (The) (b)		29,017		7,384,827
Curtiss-Wright Corp.		37,604		3,840,120
Danaher Corp. (b)		194,679		20,075,298
Dick’s Sporting Goods, Inc.		128,243		4,001,182
Dillard’s, Inc., Class A (b)		128,492		7,749,353
DXC Technology Co. (b)		144,981		7,708,640

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

AQR Funds Annual Report December 2018

216

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
United States - 40.7% (continued)
Eaton Corp. plc (b)		270,728	$	18,588,184
Edwards Lifesciences Corp. *(b)		51,277		7,854,098
Electronic Arts, Inc. *		38,654		3,050,187
EMCOR Group, Inc.		12,938		772,269
Encompass Health Corp.		13,514		833,814
Facebook, Inc., Class A *(b)		104,663		13,720,273
Fair Isaac Corp. *(b)		38,131		7,130,497
Foot Locker, Inc. (b)		274,247		14,589,940
Fortinet, Inc. *		60,266		4,244,534
Gap, Inc. (The) (b)		375,851		9,681,922
GATX Corp.		63,045		4,464,216
General Dynamics Corp.		23,931		3,762,193
Genpact Ltd.		126,120		3,403,979
Globus Medical, Inc., Class A *(b)		236,610		10,240,481
GrubHub, Inc. *		5,212		400,334
Haemonetics Corp. *		8,352		835,618
Harris Corp.		3,711		499,686
HCA Healthcare, Inc. (b)		148,239		18,448,344
Helmerich & Payne, Inc.		90,857		4,355,685
Henry Schein, Inc. *		14,361		1,127,626
HollyFrontier Corp. (b)		631,800		32,297,616
Humana, Inc. (b)		119,130		34,128,362
Huntington Ingalls Industries, Inc. (b)		177,843		33,845,301
IAC/InterActiveCorp *(b)		70,305		12,868,627
ICU Medical, Inc. *		23,524		5,401,816
Intel Corp. (b)		301,006		14,126,212
International Business Machines Corp. (b)		234,892		26,700,174
Interpublic Group of Cos., Inc. (The)		25,932		534,977
Intuit, Inc.		7,694		1,514,564
Intuitive Surgical, Inc. *(b)		17,004		8,143,556
ITT, Inc.		50,145		2,420,499
j2 Global, Inc. (b)		128,516		8,916,440
Jack Henry & Associates, Inc.		25,697		3,251,184
Kohl’s Corp. (b)		572,075		37,951,456
Laboratory Corp. of America Holdings *(b)		115,786		14,630,719
Lam Research Corp. (b)		106,306		14,475,688
Lockheed Martin Corp. (b)		23,659		6,194,873
LogMeIn, Inc.		27,909		2,276,537
Macy’s, Inc. (b)		1,303,273		38,811,470
Manhattan Associates, Inc. *(b)		146,820		6,220,763
Marathon Petroleum Corp. (b)		237,444		14,011,570
Match Group, Inc.		119,908		5,128,465
McDermott International, Inc. *		1,164,850		7,618,119
McKesson Corp.		40,201		4,441,004
MEDNAX, Inc. *		25,717		848,661
Medtronic plc		160,037		14,556,966
Michaels Cos., Inc. (The) *		54,724		740,963
Micron Technology, Inc. *(b)		1,419,898		45,053,363
Microsoft Corp. (b)		327,034		33,216,843
MKS Instruments, Inc.		51,842		3,349,512
Molina Healthcare, Inc. *		15,079		1,752,481
Murphy USA, Inc. *(b)		134,603		10,315,974
Northrop Grumman Corp. (b)		72,114		17,660,719
Ollie’s Bargain Outlet Holdings, Inc. *		12,401		824,791
ON Semiconductor Corp. *		102,241		1,687,999
Oracle Corp. (b)		551,429		24,897,019

INVESTMENTS	SHARES		VALUE
United States - 40.7% (continued)
Patterson-UTI Energy, Inc.		87,931	$	910,086
PBF Energy, Inc., Class A (b)		848,665		27,725,886
Penske Automotive Group, Inc.		59,926		2,416,216
Qorvo, Inc. *		26,745		1,624,224
Quanta Services, Inc.		43,154		1,298,935
Quest Diagnostics, Inc.		6,247		520,188
Qurate Retail, Inc. *(b)		903,455		17,635,442
Raytheon Co. (b)		246,526		37,804,762
ResMed, Inc.		9,385		1,068,670
Ross Stores, Inc. (b)		39,965		3,325,088
RPC, Inc.		446,712		4,409,047
Sally Beauty Holdings, Inc. *		210,876		3,595,436
Science Applications International Corp.		12,940		824,278
Signet Jewelers Ltd.		14,873		472,515
Skyworks Solutions, Inc. (b)		233,258		15,632,951
SM Energy Co.		203,638		3,152,316
Snap-on, Inc. (b)		71,416		10,376,031
Southwestern Energy Co. *		569,065		1,940,512
Spirit AeroSystems Holdings, Inc., Class A (b)		387,939		27,966,523
Symantec Corp.		311,605		5,887,776
SYNNEX Corp.		8,062		651,732
Synopsys, Inc. *		59,907		5,046,566
Target Corp. (b)		217,412		14,368,759
Teledyne Technologies, Inc. *		10,233		2,118,947
Textron, Inc. (b)		311,549		14,328,139
TJX Cos., Inc. (The) (b)		75,028		3,356,753
TripAdvisor, Inc. *		8,056		434,541
Twitter, Inc. *		189,240		5,438,758
United Rentals, Inc. *		6,692		686,131
UnitedHealth Group, Inc. (b)		53,786		13,399,168
Universal Health Services, Inc., Class B		37,197		4,335,682
Urban Outfitters, Inc. *(b)		223,617		7,424,084
Valero Energy Corp. (b)		367,819		27,575,390
Varian Medical Systems, Inc. *		28,456		3,224,349
Veeva Systems, Inc., Class A *		24,842		2,218,887
VeriSign, Inc. *(b)		80,009		11,864,535
VMware, Inc., Class A (b)		119,726		16,418,026
Whiting Petroleum Corp. *		17,297		392,469
Williams-Sonoma, Inc. (b)		277,985		14,024,343
Woodward, Inc. (b)		82,289		6,113,250
				1,342,918,914
TOTAL COMMON STOCKS (Cost $1,854,282,378)				1,657,556,536
		NO. OF RIGHTS
RIGHTS - 0.0% (a)
Spain - 0.0% (a)
Repsol SA, expiring 1/18/2019 (2)* (Cost $1,110,347)		2,415,186		1,106,880

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

AQR Funds Annual Report December 2018

217

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
SHORT-TERM INVESTMENTS - 77.8%
INVESTMENT COMPANIES - 50.5%
BlackRock Liquidity FundsT-Fund Portfolio, Institutional Shares, 2.32% (d)		2,846,757		$	2,846,757
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (d)		11,387,027			11,387,027
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (d)(e)		121,235,336			121,235,336
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (d)(e)		750,404,689			750,404,689
Limited Purpose Cash Investment Fund, 2.50% (d)(f)		766,394,439			766,394,439
UBS Select Treasury Preferred Fund, Class I, 2.34% (d)		14,233,784			14,233,784
TOTAL INVESTMENT COMPANIES (Cost $1,666,294,298)					1,666,502,032
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 27.3%
U.S. Treasury Bills 2.12%, 1/10/2019 (2)(g)	$	8,701,000			8,696,642
2.16%, 1/17/2019 (2)(g)(h)		373,891,000			373,535,027
2.16%, 1/24/2019 (2)(g)		32,796,000			32,750,254
2.18%, 1/31/2019 (2)(g)(i)		86,661,000			86,501,135
2.20%, 2/7/2019 (2)(g)		11,698,000			11,670,349
2.20%, 2/14/2019 (2)(g)(h)		69,609,000			69,409,870
2.21%, 2/21/2019 (2)(g)(h)		93,085,000			92,779,565
2.23%, 2/28/2019 (2)(g)(h)		47,770,000			47,589,892
2.35%, 3/28/2019 (2)(g)		16,031,000			15,941,246
2.36%, 4/4/2019 (2)(g)(i)		7,888,000			7,839,091
2.41%, 4/11/2019 (2)(g)(h)		27,803,000			27,619,309
2.44%, 4/18/2019 (2)(g)(h)		60,981,000			60,551,190
2.46%, 4/25/2019 (2)(g)		2,356,000			2,338,205
2.50%, 5/16/2019 (2)(g)(h)		54,106,000			53,616,863
2.49%, 5/23/2019 (2)(g)		5,107,000			5,058,444
2.51%, 5/30/2019 (2)(g)		5,124,000			5,072,890
TOTAL U.S. TREASURY OBLIGATIONS (Cost $900,995,395)					900,969,972
TOTAL SHORT-TERM INVESTMENTS (Cost $2,567,289,693)					2,567,472,004
TOTAL LONG POSITIONS (Cost $4,422,682,418)					4,226,135,420
	SHARES
SHORT POSITIONS - (37.3)%
COMMON STOCKS - (37.3)%
Argentina - (0.5)%
MercadoLibre, Inc. *		(58,649	)		(17,175,360	)
Canada - (2.6)%
AltaGas Ltd.		(533,137	)		(5,428,219	)
BlackBerry Ltd. *		(293,991	)		(2,091,014	)

INVESTMENTS	SHARES			VALUE
Canada - (2.6)% (continued)
Bombardier, Inc., Class B *		(668,869	)	$	(994,583	)
Cameco Corp.		(511,296	)		(5,797,584	)
Cenovus Energy, Inc.		(428,947	)		(3,016,328	)
Dollarama, Inc.		(73,465	)		(1,747,296	)
Element Fleet Management Corp.		(868,777	)		(4,397,340	)
Enbridge, Inc.		(678,305	)		(21,071,575	)
Inter Pipeline Ltd.		(121,583	)		(1,722,396	)
Keyera Corp.		(57,569	)		(1,088,380	)
Pembina Pipeline Corp.		(171,167	)		(5,079,091	)
Shopify, Inc., Class A *		(63,251	)		(8,746,818	)
Stars Group, Inc. (The) *		(44,106	)		(728,208	)
TransCanada Corp.		(435,229	)		(15,541,616	)
Wheaton Precious Metals Corp.		(366,795	)		(7,160,187	)
					(84,610,635	)
Ghana - (0.2)%
Kosmos Energy Ltd. *		(1,831,291	)		(7,123,722	)
Italy - (1.7)%
Atlantia SpA (2)		(131,104	)		(2,713,216	)
Brembo SpA (2)		(255,845	)		(2,611,101	)
Buzzi Unicem SpA (2)		(323,764	)		(5,584,363	)
Ferrari NV (2)		(224,533	)		(22,341,951	)
FinecoBank Banca Fineco SpA (2)		(77,821	)		(782,991	)
Leonardo SpA (2)		(1,422,409	)		(12,531,737	)
Prysmian SpA (2)		(320,289	)		(6,231,870	)
Recordati SpA (2)		(30,378	)		(1,051,997	)
Unipol Gruppo SpA (2)		(506,865	)		(2,044,065	)
					(55,893,291	)
Luxembourg - (0.1)%
Tenaris SA (2)		(427,019	)		(4,589,511	)
Netherlands - (0.2)%
Koninklijke Vopak NV (2)		(112,882	)		(5,119,014	)
Portugal - 0.0% (a)
Banco Espirito Santo SA (Registered) (3)*(j)		(216,618	)		(2	)
Singapore - (0.2)%
CapitaLand Ltd. (2)		(1,646,500	)		(3,754,727	)
City Developments Ltd. (2)		(216,100	)		(1,288,326	)
					(5,043,053	)
Switzerland - (0.6)%
STMicroelectronics NV (2)		(1,313,344	)		(18,512,765	)
United Kingdom - (0.3)%
CNH Industrial NV (2)		(1,177,765	)		(10,641,450	)
United States - (30.5)%
2U, Inc. *		(46,778	)		(2,325,802	)
3M Co.		(41,303	)		(7,869,874	)
Acadia Healthcare Co., Inc. *		(288,793	)		(7,424,868	)
Acuity Brands, Inc.		(29,731	)		(3,417,578	)
Advanced Micro Devices, Inc. *		(546,345	)		(10,085,529	)
Allegion plc		(6,149	)		(490,137	)
Alliance Data Systems Corp.		(10,723	)		(1,609,308	)

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

AQR Funds Annual Report December 2018

218

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
United States - (30.5)% (continued)
Allscripts Healthcare Solutions, Inc. *		(586,952	)	$	(5,658,217	)
AmerisourceBergen Corp.		(47,637	)		(3,544,193	)
Anadarko Petroleum Corp.		(39,740	)		(1,742,202	)
Apache Corp.		(254,999	)		(6,693,724	)
Arconic, Inc.		(642,364	)		(10,830,257	)
Atlassian Corp. plc, Class A *		(125,280	)		(11,147,414	)
Autodesk, Inc. *		(37,633	)		(4,839,980	)
Avanos Medical, Inc. *		(22,010	)		(985,828	)
Baker Hughes a GE Co.		(923,387	)		(19,852,821	)
Brookdale Senior Living, Inc. *		(657,124	)		(4,402,731	)
BWX Technologies, Inc.		(61,046	)		(2,333,789	)
Cabot Oil & Gas Corp.		(1,163,000	)		(25,993,050	)
CarMax, Inc. *		(233,531	)		(14,649,400	)
Cheniere Energy, Inc. *		(834,960	)		(49,421,281	)
Chevron Corp.		(41,344	)		(4,497,814	)
Colfax Corp. *		(174,251	)		(3,641,846	)
CommVault Systems, Inc. *		(112,099	)		(6,623,930	)
Concho Resources, Inc. *		(63,092	)		(6,485,227	)
Conduent, Inc. *		(380,839	)		(4,048,319	)
Core Laboratories NV		(34,714	)		(2,071,037	)
Cree, Inc. *		(474,748	)		(20,307,346	)
Cypress Semiconductor Corp.		(732,163	)		(9,313,113	)
DENTSPLY SIRONA, Inc.		(176,365	)		(6,562,542	)
Devon Energy Corp.		(583,280	)		(13,147,131	)
DexCom, Inc. *		(70,391	)		(8,432,842	)
Diamond Offshore Drilling, Inc. *		(122,448	)		(1,155,909	)
Dollar Tree, Inc. *		(179,875	)		(16,246,310	)
Donaldson Co., Inc.		(101,781	)		(4,416,278	)
Dril-Quip, Inc. *		(95,888	)		(2,879,517	)
Dycom Industries, Inc. *		(11,266	)		(608,815	)
Ensco plc, Class A		(2,138,843	)		(7,614,281	)
EOG Resources, Inc.		(6,262	)		(546,109	)
EQT Corp.		(819,834	)		(15,486,664	)
Equitrans Midstream Corp. *		(90,621	)		(1,814,232	)
Extraction Oil & Gas, Inc. *		(152,142	)		(652,689	)
Exxon Mobil Corp.		(133,333	)		(9,091,977	)
Fastenal Co.		(345,432	)		(18,062,639	)
FireEye, Inc. *		(1,092,378	)		(17,707,447	)
First Data Corp., Class A *		(730,052	)		(12,345,179	)
Five Below, Inc. *		(16,603	)		(1,698,819	)
Floor & Decor Holdings, Inc., Class A *		(284,009	)		(7,355,833	)
Flowserve Corp.		(339,219	)		(12,897,106	)
Gartner, Inc. *		(148,958	)		(19,042,791	)
General Electric Co.		(5,016,679	)		(37,976,259	)
Genuine Parts Co.		(32,228	)		(3,094,533	)
Global Payments, Inc.		(18,609	)		(1,919,146	)
Graco, Inc.		(9,351	)		(391,339	)
Granite Construction, Inc.		(64,847	)		(2,612,037	)
Guidewire Software, Inc. *		(140,209	)		(11,248,968	)
Halliburton Co.		(85,749	)		(2,279,208	)
HealthEquity, Inc. *		(30,818	)		(1,838,294	)
Hess Corp.		(622,787	)		(25,222,874	)
Illinois Tool Works, Inc.		(3,508	)		(444,429	)
Insulet Corp. *		(56,958	)		(4,517,909	)
Johnson Controls International plc		(159,587	)		(4,731,755	)
Kennametal, Inc.		(126,533	)		(4,211,018	)
Kinder Morgan, Inc.		(2,100,193	)		(32,300,967	)

INVESTMENTS	SHARES			VALUE
United States - (30.5)% (continued)
L Brands, Inc.		(224,757	)	$	(5,769,512	)
Lennox International, Inc.		(31,103	)		(6,807,203	)
Lincoln Electric Holdings, Inc.		(5,840	)		(460,484	)
LKQ Corp. *		(534,461	)		(12,682,760	)
Marvell Technology Group Ltd.		(339,601	)		(5,498,140	)
Masco Corp.		(31,815	)		(930,271	)
Matador Resources Co. *		(34,672	)		(538,456	)
Maxim Integrated Products, Inc.		(47,084	)		(2,394,221	)
Medidata Solutions, Inc. *		(137,505	)		(9,270,587	)
Microchip Technology, Inc.		(36,266	)		(2,608,251	)
Middleby Corp. (The) *		(66,612	)		(6,843,051	)
Monolithic Power Systems, Inc.		(49,514	)		(5,756,003	)
Nabors Industries Ltd.		(3,295,523	)		(6,591,046	)
National Oilwell Varco, Inc.		(312,153	)		(8,022,332	)
Noble Energy, Inc.		(315,868	)		(5,925,684	)
NOW, Inc. *		(451,551	)		(5,256,054	)
Nutanix, Inc., Class A *		(109,350	)		(4,547,867	)
NVIDIA Corp.		(84,535	)		(11,285,423	)
Occidental Petroleum Corp.		(213,732	)		(13,118,870	)
Oceaneering International, Inc. *		(36,600	)		(442,860	)
ONEOK, Inc.		(802,600	)		(43,300,269	)
Pool Corp.		(24,641	)		(3,662,885	)
Premier, Inc., Class A *		(399,533	)		(14,922,558	)
Proofpoint, Inc. *		(27,837	)		(2,333,019	)
QEP Resources, Inc. *		(128,155	)		(721,513	)
QUALCOMM, Inc.		(203,319	)		(11,570,884	)
Range Resources Corp.		(336,131	)		(3,216,774	)
RingCentral, Inc., Class A *		(30,479	)		(2,512,689	)
Rockwell Automation, Inc.		(16,121	)		(2,425,888	)
Schlumberger Ltd.		(829,517	)		(29,928,973	)
Silicon Laboratories, Inc. *		(7,127	)		(561,679	)
Splunk, Inc. *		(67,785	)		(7,107,257	)
Square, Inc., Class A *		(105,583	)		(5,922,150	)
Superior Energy Services, Inc. *		(713,391	)		(2,389,860	)
Tableau Software, Inc., Class A *		(101,968	)		(12,236,160	)
Take-Two Interactive Software, Inc. *		(15,840	)		(1,630,570	)
Targa Resources Corp.		(907,387	)		(32,684,079	)
Tenet Healthcare Corp. *		(684,518	)		(11,732,639	)
Teradata Corp. *		(32,082	)		(1,230,666	)
Toro Co. (The)		(7,811	)		(436,479	)
Transocean Ltd. *		(1,241,263	)		(8,614,365	)
Ultimate Software Group, Inc. (The) *		(5,394	)		(1,320,829	)
Univar, Inc. *		(530,680	)		(9,414,263	)
Universal Display Corp.		(247,136	)		(23,124,516	)
WABCO Holdings, Inc. *		(46,224	)		(4,961,684	)
Watsco, Inc.		(4,589	)		(638,513	)
Wayfair, Inc., Class A *		(118,555	)		(10,679,434	)
Weatherford International plc *		(7,618,047	)		(4,258,488	)
Welbilt, Inc. *		(730,973	)		(8,121,110	)
Williams Cos., Inc. (The)		(1,695,218	)		(37,379,556	)
Workday, Inc., Class A *		(37,930	)		(6,056,662	)
World Fuel Services Corp.		(154,767	)		(3,313,561	)
WPX Energy, Inc. *		(1,247,744	)		(14,161,894	)
Zillow Group, Inc., Class C *		(285,648	)		(9,020,764	)
					(1,009,202,166	)

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

AQR Funds Annual Report December 2018

219

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
Zambia - (0.4)%
First Quantum Minerals Ltd.		(1,517,857	)	$	(12,274,496	)
TOTAL COMMON STOCKS (Proceeds $(1,501,255,867))					(1,230,185,465	)
TOTAL SHORT POSITIONS (Proceeds $(1,501,255,867))					(1,230,185,465	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 90.7%(Cost $2,921,426,551)					2,995,949,955
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.3% (k)					305,397,342
NET ASSETS - 100.0%				$	3,301,347,297

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	41,592,374			1.3	%
Consumer Discretionary		177,906,220			5.3
Energy		(283,233,236	)		(8.6	)
Financials		65,798,104			2.0
Health Care		237,705,391			7.2
Industrials		46,173,915			1.4
Information Technology		109,099,741			3.3
Materials		(10,495,237	)		(0.3	)
Real Estate		(5,043,053	)		(0.2	)
Utilities		48,973,732			1.5
Short-Term Investments		2,567,472,004			77.8
Total Investments In Securities At Value		2,995,949,955			90.7
Other Assets in Excess of Liabilities (k)		305,397,342			9.3
Net Assets	$	3,301,347,297			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 $1,369,520,618.

(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 December 31, 2018 amounted to $19,055,323, which represents approximately 0.58% of net assets of the fund.

(d) Represents7-day effective yield as of December 31, 2018.

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

(f) As defined inSection 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 December 31, 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 12/31/18		VALUE AT 12/31/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Controlled Affiliates:
SHORT-TERM INVESTMENTS - 23.2%
INVESTMENT COMPANIES - 23.2%
Limited Purpose Cash Investment Fund, 2.50% (a) (Cost $766,186,705)		1,084,486,894		3,448,278,355		(3,766,370,810	)		766,394,439		$766,394,439		$20,249,381		$(105,283	)		$207,734

(a) Represents7-day effective yield as of December 31, 2018.

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

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

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

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

(k) 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 Annual Report December 2018

220

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

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

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Corn March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(18,150,000

)

$310,436

Corn March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(19,256,250

)

359,559

iBovespa Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/13/2019

BRL

16,376,200

59,004

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 (0.00%)

Monthly

GSIN

03/20/2019

HKD

(128,801,622

)

866,698

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread(-0.55%)

Monthly

CITI

03/20/2019

MXN

(5,173,243

)

1,168

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread(-1.15%)

Monthly

CITI

03/20/2019

MXN

(6,178,884

)

1,261

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread(-1.15%)

Monthly

CITI

03/20/2019

MXN

(2,735,375

)

1,988

MSCI Poland Net Return Index

Increases in total return of reference entity

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

Monthly

CITI

03/20/2019

PLN

(780,363

)

3,504

TAIEX Index January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

01/16/2019

TWD

(657,492,000

)

209,539

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

AQR Funds Annual Report December 2018

221

Consolidated Schedule of Investments December 31, 2018

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)

WIG20 Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

03/15/2019

PLN

(364,480

)

$ 1,524

1,814,681

BIST 30 Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/28/2019

TRY

8,910,887

(11,672

)

HSCEI January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

01/30/2019

HKD

(114,657,700

)

(131,001

)

KOSPI 200 Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

03/14/2019

KRW

87,704,500,000

(91,567

)

MSCI Israel Daily Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

JPMC

03/22/2019

USD

1,135,680

(87,300

)

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread (0.00%)

Monthly

CITI

03/20/2019

MXN

(2,214,305

)

(1,311

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.40%)

Monthly

CITI

03/20/2019

ZAR

(12,878,297

)

(31,833

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.40%)

Monthly

CITI

03/20/2019

ZAR

(18,743,944

)

(28,347

)

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

AQR Funds Annual Report December 2018

222

Consolidated Schedule of Investments December 31, 2018

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 South Africa Net Return Index

Increases in total return of reference entity

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

Monthly

CITI

03/20/2019

ZAR

(7,012,723

)

$ (21,882

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

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

Monthly

CITI

03/20/2019

ZAR

(355,605,644

)

(460,919

)

MSCI Spain Net Return Index

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

Increases in total return of reference entity

Monthly

CITI

03/22/2019

EUR

4,329,459

(38,863

)

MSCI Spain Net Return Index

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

Increases in total return of reference entity

Monthly

CITI

03/22/2019

EUR

4,654,826

(191,173

)

MSCI Spain Net Return Index

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

Increases in total return of reference entity

Monthly

CITI

03/22/2019

EUR

9,763,273

(390,635

)

MSCI Switzerland Net Return Index

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

Increases in total return of reference entity

Monthly

CITI

03/22/2019

CHF

32,214,100

(1,498,264

)

MSCI United Kingdom Net Returm Index

Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (0.35%)

Increases in total return of reference entity

Monthly

CITI

03/22/2019

GBP

76,530

(2,263

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

42,154,500

(1,519,003

)

Swiss Market Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MLIN

03/15/2019

CHF

193,041,300

(3,602,542

)

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

AQR Funds Annual Report December 2018

223

Consolidated Schedule of Investments December 31, 2018

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)

Tel Aviv Index January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/23/2019

ILS

27,227,982

$ (327,904

)

(8,436,479

)

$(6,621,798

)

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		1,656		1/2019	EUR		$185,076,276		$(3,923,454	)
Brent Crude Oil		62		1/2019	USD		3,335,600		(426,332	)
CAC 40 10 Euro Index		690		1/2019	EUR		37,381,984		(572,078	)
IBEX 35 Index		1,095		1/2019	EUR		106,855,216		(2,452,327	)
LME Copper Base Metal		62		1/2019	USD		9,236,450		(349,708	)
LME Copper Base Metal		88		1/2019	USD		13,103,376		(523,775	)
LME Copper Base Metal		107		1/2019	USD		15,915,929		(1,011,726	)
MSCI Singapore Index		631		1/2019	SGD		15,819,561		114,592
Natural Gas		2,411		1/2019	USD		70,883,400		(21,258,121	)
WTI Crude Oil		341		1/2019	USD		15,484,810		(2,187,655	)
LME Copper Base Metal		1		2/2019	USD		149,120		(2,708	)
LME Copper Base Metal		68		2/2019	USD		10,142,625		(464,726	)
LME Copper Base Metal		95		2/2019	USD		14,168,490		(520,015	)
LME Copper Base Metal		105		2/2019	USD		15,654,188		(308,572	)
3 Month Canadian Bankers Acceptance		521		3/2019	CAD		93,260,603		24,681
3 Month Euro Euribor		2,620		3/2019	EUR		752,680,115		77,705
ASX 90 Day Bank Accepted Bill		286		3/2019	AUD		200,485,059		5,874
Australia 10 Year Bond		7,528		3/2019	AUD		703,488,622		8,174,583
Australia 3 Year Bond		10,590		3/2019	AUD		836,999,945		3,395,722
Euro-Bobl		1,619		3/2019	EUR		245,820,522		759,133
Euro-Bund		14,509		3/2019	EUR		2,718,637,694		22,302,718
FTSE 100 Index		3,305		3/2019	GBP		280,513,898		(1,043,227	)
Japan 10 Year Bond		1,139		3/2019	JPY		1,584,551,070		5,496,400
KOSPI 200 Index		1,137		3/2019	KRW		66,744,488		(85,636	)
LME Copper Base Metal		61		3/2019	USD		9,102,085		(175,420	)
LME Copper Base Metal		82		3/2019	USD		12,241,186		(468,544	)
LME Copper Base Metal		86		3/2019	USD		12,842,488		(169,229	)
LME Copper Base Metal		98		3/2019	USD		14,628,754		(445,160	)
S&P/TSX 60 Index		943		3/2019	CAD		118,434,500		(2,448,464	)
SET50 Index		1,038		3/2019	THB		6,650,086		(40,813	)
Silver		1,729		3/2019	USD		134,343,300		9,141,375
SPI 200 Index		3,375		3/2019	AUD		330,487,610		1,723,744
TOPIX Index		365		3/2019	JPY		49,735,642		(1,786,258	)
U.S. Treasury 2 Year Note		13,072		3/2019	USD		2,775,348,999		19,187,728
U.S. Treasury 5 Year Note		1,325		3/2019	USD		151,960,938		2,518,636
3 Month Canadian Bankers Acceptance		1,557		6/2019	CAD		278,750,559		147,177
3 Month Euro Euribor		11,295		6/2019	EUR		3,244,693,922		483,704
ASX 90 Day Bank Accepted Bill		837		6/2019	AUD		586,777,448		48,414

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

AQR Funds Annual Report December 2018

224

Consolidated Schedule of Investments December 31, 2018

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 Canadian Bankers Acceptance		1,429			9/2019	CAD		$ 255,821,565			$ 162,620
3 Month Euro Euribor		11,295			9/2019	EUR		3,244,208,625			1,705,828
ASX 90 Day Bank Accepted Bill		866			9/2019	AUD		607,152,548			106,778
3 Month Canadian Bankers Acceptance		1,013			12/2019	CAD		181,339,392			121,604
3 Month Euro Euribor		8,804			12/2019	EUR		2,528,100,206			1,586,538
ASX 90 Day Bank Accepted Bill		708			12/2019	AUD		496,390,940			84,333
											36,705,939
Short Contracts
FTSE Bursa Malaysia KLCI Index		(26	)		1/2019	MYR		(532,111	)		(4,082	)
Hang Seng Index		(221	)		1/2019	HKD		(36,483,839	)		(266,248	)
LME Copper Base Metal		(62	)		1/2019	USD		(9,236,450	)		373,389
LME Copper Base Metal		(88	)		1/2019	USD		(13,103,376	)		399,414
LME Copper Base Metal		(107	)		1/2019	USD		(15,915,929	)		952,510
MSCI Taiwan Index		(472	)		1/2019	USD		(16,963,680	)		(355,047	)
OMXS30 Index		(3,945	)		1/2019	SEK		(62,682,812	)		1,897,128
100 oz Gold		(2,539	)		2/2019	USD		(325,322,070	)		(12,245,734	)
LME Copper Base Metal		(1	)		2/2019	USD		(149,120	)		2,324
LME Copper Base Metal		(68	)		2/2019	USD		(10,142,625	)		453,367
LME Copper Base Metal		(95	)		2/2019	USD		(14,168,490	)		551,056
LME Copper Base Metal		(105	)		2/2019	USD		(15,654,188	)		273,150
3 Month Eurodollar		(765	)		3/2019	USD		(186,067,125	)		(297,260	)
3 Month Sterling		(786	)		3/2019	GBP		(124,052,290	)		(98,981	)
Canada 10 Year Bond		(3,147	)		3/2019	CAD		(315,276,289	)		(9,600,022	)
Copper		(1,253	)		3/2019	USD		(82,416,075	)		3,530,691
DAX Index		(915	)		3/2019	EUR		(276,806,680	)		5,624,650
EURO STOXX 50 Index		(643	)		3/2019	EUR		(21,909,971	)		480,828
Euro-Buxl		(1,145	)		3/2019	EUR		(236,952,440	)		(5,217,087	)
Euro-Schatz		(25,942	)		3/2019	EUR		(3,327,197,780	)		(1,905,431	)
FTSE/JSE Top 40 Index		(1,525	)		3/2019	ZAR		(49,879,027	)		(1,566,797	)
FTSE/MIB Index		(832	)		3/2019	EUR		(86,775,621	)		2,382,046
LME Copper Base Metal		(61	)		3/2019	USD		(9,102,085	)		196,045
LME Copper Base Metal		(82	)		3/2019	USD		(12,241,186	)		443,148
LME Copper Base Metal		(86	)		3/2019	USD		(12,842,488	)		160,604
LME Copper Base Metal		(98	)		3/2019	USD		(14,628,754	)		432,846
LME Copper Base Metal		(1,683	)		3/2019	USD		(251,177,231	)		9,114,810
Long Gilt		(3,525	)		3/2019	GBP		(553,398,486	)		(3,411,249	)
MEX BOLSA Index		(4	)		3/2019	MXN		(85,037	)		(902	)
S&P 500E-Mini Index		(4,756	)		3/2019	USD		(595,736,560	)		23,977,292
U.S. Treasury 10 Year Note		(18,596	)		3/2019	USD		(2,269,002,562	)		(31,653,244	)
U.S. Treasury Long Bond		(2,199	)		3/2019	USD		(321,054,000	)		(14,911,025	)
3 Month Eurodollar		(5,019	)		6/2019	USD		(1,221,059,962	)		(3,013,648	)
3 Month Sterling		(3,188	)		6/2019	GBP		(502,798,015	)		(244,135	)
3 Month Eurodollar		(5,302	)		9/2019	USD		(1,290,241,699	)		(4,401,106	)
3 Month Sterling		(3,560	)		9/2019	GBP		(561,213,059	)		(300,627	)
3 Month Eurodollar		(3,972	)		12/2019	USD		(966,685,500	)		(3,086,870	)
3 Month Sterling		(2,485	)		12/2019	GBP		(391,527,875	)		(230,928	)
											(41,565,125	)
											$(4,859,186	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	1,464,560	USD	373,804	CITI**		3/20/2019		$1,934
BRL	2,196,841	USD	560,708	JPMC**		3/20/2019		2,900
CHF	94,298,850	USD	95,998,817	CITI		3/20/2019		634,180
CHF	141,448,259	USD	143,998,143	JPMC		3/20/2019		951,332
CNY	97,306,000	USD	13,981,956	CITI**		3/20/2019		182,521
CNY	145,959,000	USD	20,972,962	JPMC**		3/20/2019		273,755
EUR	31,508,000	USD	36,164,030	CITI		3/20/2019		169,283
EUR	47,262,000	USD	54,246,111	JPMC		3/20/2019		253,856
GBP	3,882,000	USD	4,933,429	CITI		3/20/2019		32,991
GBP	5,823,000	USD	7,400,153	JPMC		3/20/2019		49,477
HKD	572,400	USD	73,251	CITI		3/20/2019		14
HKD	858,600	USD	109,877	JPMC		3/20/2019		21
HUF	664,400,000	USD	2,361,906	CITI		3/20/2019		21,875
HUF	996,600,000	USD	3,542,863	JPMC		3/20/2019		32,808
ILS	143,200	USD	38,433	CITI		3/20/2019		93
ILS	214,800	USD	57,650	JPMC		3/20/2019		140
INR	2,196,000,000	USD	30,787,048	CITI**		3/20/2019		526,023
INR	3,294,000,000	USD	46,180,632	JPMC**		3/20/2019		788,982
JPY	1,157,654,965	USD	10,350,340	CITI		3/20/2019		277,150
JPY	1,736,482,449	USD	15,525,529	JPMC		3/20/2019		415,707
KRW	3,057,651,000	USD	2,731,726	CITI**		3/20/2019		21,226
KRW	4,586,476,500	USD	4,097,595	JPMC**		3/20/2019		31,836
MXN	2,332,453,737	USD	112,588,509	CITI		3/20/2019		4,694,955
MXN	3,498,680,604	USD	168,882,976	JPMC		3/20/2019		7,042,224
PLN	93,200,000	USD	24,720,050	CITI		3/20/2019		228,722
PLN	139,800,000	USD	37,080,122	JPMC		3/20/2019		343,038
SEK	124,057,820	USD	13,896,252	CITI		3/20/2019		187,411
SEK	186,086,727	USD	20,844,404	JPMC		3/20/2019		281,094
SGD	8,241,000	USD	6,017,646	CITI		3/20/2019		39,382
SGD	12,361,501	USD	9,026,482	JPMC		3/20/2019		59,062
TWD	1	USD	—	JPMC**		3/20/2019		—
USD	2,347,297	AUD	3,320,400	CITI		3/20/2019		5,517
USD	3,520,940	AUD	4,980,600	JPMC		3/20/2019		8,271
USD	25,542,297	BRL	98,131,006	CITI**		3/20/2019		366,422
USD	38,313,398	BRL	147,196,510	JPMC**		3/20/2019		549,585
USD	173,258,652	CAD	232,980,400	CITI		3/20/2019		2,297,684
USD	259,887,654	CAD	349,470,600	JPMC		3/20/2019		3,446,201
USD	13,764,223	EUR	11,921,769	CITI		3/20/2019		16,687
USD	20,646,310	EUR	17,882,655	JPMC		3/20/2019		25,005
USD	73,494,752	GBP	57,108,800	CITI		3/20/2019		432,858
USD	110,241,990	GBP	85,663,200	JPMC		3/20/2019		649,150
USD	12,002,591	HKD	93,648,400	CITI		3/20/2019		15,931
USD	18,003,864	HKD	140,472,600	JPMC		3/20/2019		23,874
USD	43,813,719	ILS	161,695,636	CITI		3/20/2019		310,933
USD	65,720,497	ILS	242,543,455	JPMC		3/20/2019		466,318
USD	22,692,163	KRW	25,151,950,344	CITI**		3/20/2019		46,629
USD	34,038,201	KRW	37,727,925,516	JPMC**		3/20/2019		69,901
USD	124,246,624	NOK	1,056,004,765	CITI		3/20/2019		1,701,068
USD	186,369,704	NOK	1,584,007,150	JPMC		3/20/2019		2,551,368
USD	5,908,362	ZAR	84,000,000	CITI		3/20/2019		123,292
USD	8,862,533	ZAR	126,000,000	JPMC		3/20/2019		184,928
Total unrealized appreciation								30,835,614

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	136,079,997	USD	99,662,900	CITI		3/20/2019		$ (3,689,719	)
AUD	204,119,992	USD	149,494,534	JPMC		3/20/2019		(5,534,768	)
BRL	20,793,680	USD	5,357,159	CITI**		3/20/2019		(22,463	)
BRL	31,190,523	USD	8,035,748	JPMC**		3/20/2019		(33,704	)
CAD	507,018,945	USD	382,567,252	CITI		3/20/2019		(10,516,852	)
CAD	760,528,405	USD	573,851,586	JPMC		3/20/2019		(15,776,008	)
CHF	74,800	USD	76,830	CITI		3/20/2019		(179	)
CHF	112,200	USD	115,245	JPMC		3/20/2019		(268	)
GBP	172,651,310	USD	221,886,749	CITI		3/20/2019		(1,006,051	)
GBP	258,976,939	USD	332,830,506	JPMC		3/20/2019		(1,509,491	)
HKD	16,590,000	USD	2,126,641	CITI		3/20/2019		(3,183	)
HKD	24,885,000	USD	3,189,968	JPMC		3/20/2019		(4,776	)
KRW	6,419,217,000	USD	5,806,441	CITI**		3/20/2019		(26,904	)
KRW	9,628,825,500	USD	8,709,672	JPMC**		3/20/2019		(40,368	)
NOK	129,523,007	USD	15,264,412	CITI		3/20/2019		(233,733	)
NOK	194,284,510	USD	22,896,645	JPMC		3/20/2019		(350,628	)
NZD	204,419,544	USD	140,006,788	CITI		3/20/2019		(2,616,089	)
NZD	306,629,313	USD	210,010,444	JPMC		3/20/2019		(3,924,394	)
USD	25,057,968	BRL	98,131,007	CITI**		3/20/2019		(117,907	)
USD	37,586,906	BRL	147,196,511	JPMC**		3/20/2019		(176,908	)
USD	467,896,452	CHF	460,730,131	CITI		3/20/2019		(4,237,961	)
USD	701,843,805	CHF	691,095,200	JPMC		3/20/2019		(6,357,819	)
USD	2,082,067	CNY	14,395,600	CITI**		3/20/2019		(13,448	)
USD	3,123,097	CNY	21,593,400	JPMC**		3/20/2019		(20,175	)
USD	663,327	DKK	4,308,970	CITI		3/20/2019		(2,437	)
USD	994,989	DKK	6,463,453	JPMC		3/20/2019		(3,656	)
USD	234,883,603	EUR	204,715,578	CITI		3/20/2019		(1,183,266	)
USD	352,324,968	EUR	307,073,370	JPMC		3/20/2019		(1,775,340	)
USD	77,558,858	GBP	61,064,400	CITI		3/20/2019		(563,615	)
USD	116,338,142	GBP	91,596,600	JPMC		3/20/2019		(845,568	)
USD	3,540,800	HKD	27,670,400	CITI		3/20/2019		(912	)
USD	5,311,193	HKD	41,505,600	JPMC		3/20/2019		(1,375	)
USD	5,739,797	INR	411,900,524	CITI**		3/20/2019		(133,551	)
USD	8,609,685	INR	617,850,786	JPMC**		3/20/2019		(200,337	)
USD	44,569,288	JPY	4,992,238,422	CITI		3/20/2019		(1,260,400	)
USD	66,853,848	JPY	7,488,357,636	JPMC		3/20/2019		(1,890,683	)
USD	61,733,422	KRW	69,282,521,240	CITI**		3/20/2019		(645,027	)
USD	92,600,017	KRW	103,923,781,860	JPMC**		3/20/2019		(967,656	)
USD	25,880,839	MXN	532,000,000	CITI		3/20/2019		(869,876	)
USD	38,821,210	MXN	798,000,000	JPMC		3/20/2019		(1,304,862	)
USD	4,783,099	PLN	18,000,000	CITI		3/20/2019		(35,334	)
USD	7,177,329	PLN	27,000,000	JPMC		3/20/2019		(50,320	)
USD	147,813,392	SEK	1,324,326,724	CITI		3/20/2019		(2,530,803	)
USD	221,719,811	SEK	1,986,490,091	JPMC		3/20/2019		(3,796,482	)
USD	1,587,756	SGD	2,172,400	CITI		3/20/2019		(8,930	)
USD	2,381,632	SGD	3,258,600	JPMC		3/20/2019		(13,397	)
USD	23,432,023	TWD	715,705,471	CITI**		3/20/2019		(132,495	)
USD	35,147,991	TWD	1,073,558,214	JPMC**		3/20/2019		(198,786	)
USD	4,134,832	ZAR	60,400,000	CITI		3/20/2019		(24,909	)
USD	6,202,240	ZAR	90,600,000	JPMC		3/20/2019		(37,372	)
ZAR	344,000,000	USD	24,587,833	CITI		3/20/2019		(896,592	)
ZAR	516,000,000	USD	36,881,794	JPMC		3/20/2019		(1,344,937	)
Total unrealized depreciation								(76,932,714	)
Net unrealized depreciation							$	(46,097,100	)

** Non-deliverable forward.

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

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 December 31, 2018

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
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.	60-61 months maturity ranging from 04/19/2023 - 01/02/2024		$3,084,890,721		$100,414,440		$(12,940,125	)		$87,474,315

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.		358,268	$	33,028,727	$	(1,199,091	)		(1.4	)%
Aflac, Inc.		932,640		42,491,078		273,305			0.3
Amgen, Inc.		272,041		52,958,221		140,166			0.2
Arrow Electronics, Inc.		340,795		23,497,815		(2,744,772	)		(3.1	)
Assured Guaranty Ltd.		485,947		18,602,051		641,450			0.7
Biogen, Inc.		193,893		58,346,282		1,052,578			1.2
Charles River Laboratories International, Inc.		273,374		30,940,469		577,909			0.7
Consolidated Edison, Inc.		666,282		50,943,922		(641,336	)		(0.7	)
Eli Lilly & Co.		200,683		23,223,037		1,214,814			1.4
Estee Lauder Cos., Inc. (The)		295,825		38,486,832		(5,684,792	)		(6.5	)
Everest Re Group Ltd.		97,442		21,218,970		(2,891,104	)		(3.3	)
Exelon Corp.		1,078,563		48,643,191		6,171,580			7.1
F5 Networks, Inc.		107,405		17,402,832		(1,683,961	)		(1.9	)
Gilead Sciences, Inc.		622,884		38,961,394		(8,151,366	)		(9.3	)
IQVIA Holdings, Inc.		404,957		47,043,855		6,298,456			7.2
Kroger Co. (The)		637,417		17,528,968		(1,673,375	)		(1.9	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
LyondellBasell Industries NV		243,496		$	20,249,127		$	(5,571,188	)		(6.4	) %
Merck & Co., Inc.		255,556			19,527,034			2,222,011			2.5
Pfizer, Inc.		1,022,914			44,650,196			3,236,151			3.7
PulteGroup, Inc.		697,689			18,132,937			(2,034,869	)		(2.3	)
Reinsurance Group of America, Inc.		158,899			22,282,407			(2,040,263	)		(2.3	)
Seagate Technology plc		497,464			19,197,136			(6,998,327	)		(8.0	)
Tech Data Corp.		250,368			20,482,606			(37,555	)		(0.0	)
Thermo Fisher Scientific, Inc.		169,668			37,970,002			(84,314	)		(0.1	)
Tyson Foods, Inc.		388,684			20,755,726			(7,015,746	)		(8.0	)
United Therapeutics Corp.		233,982			25,480,640			(1,383,918	)		(1.6	)
Verizon Communications, Inc.		661,865			37,210,050			531,253			0.6
Viacom, Inc.		1,079,742			27,749,369			(5,532,015	)		(6.3	)
Vistra Energy Corp.		1,418,237			32,463,445			242,526			0.3
Zoetis, Inc.		240,617			20,582,378			(1,265,180	)		(1.4	)
Short Positions
Common Stock
United States
Albemarle Corp.		(273,524	)		(21,080,495	)		5,341,116			6.1
Alnylam Pharmaceuticals, Inc.		(256,770	)		(18,721,101	)		5,738,404			6.6
American International Group, Inc.		(755,666	)		(29,780,797	)		9,875,292			11.3
Axalta Coating Systems Ltd.		(922,280	)		(21,599,798	)		8,328,188			9.5
Ball Corp.		(493,722	)		(22,701,338	)		(2,256,310	)		(2.6	)
Charter Communications, Inc.		(89,714	)		(25,565,799	)		841,003			1.0
Crown Holdings, Inc.		(609,489	)		(25,336,458	)		1,859,389			2.1
FirstEnergy Corp.		(1,554,258	)		(58,362,388	)		(3,857,243	)		(4.4	)
Kraft Heinz Co. (The)		(695,205	)		(29,921,623	)		9,923,928			11.3
Martin Marietta Materials, Inc.		(257,136	)		(44,193,964	)		5,426,342			6.2
Mattel, Inc.		(2,658,489	)		(26,558,305	)		11,663,843			13.3
Monster Beverage Corp.		(597,821	)		(29,424,750	)		3,409,252			3.9
National Fuel Gas Co.		(371,154	)		(18,995,662	)		477,533			0.5
Newell Brands, Inc.		(1,003,715	)		(18,659,062	)		1,793,430			2.1
Royal Gold, Inc.		(227,249	)		(19,463,877	)		(268,937	)		(0.3	)
Sealed Air Corp.		(1,303,892	)		(45,427,597	)		12,404,818			14.2
Sempra Energy		(159,687	)		(17,276,537	)		1,316,705			1.5
Tesla, Inc.		(156,957	)		(52,235,290	)		(10,194,134	)		(11.7	)
Vulcan Materials Co.		(508,199	)		(50,210,061	)		9,255,128			10.6
Zayo Group Holdings, Inc.		(1,164,380	)		(26,594,439	)		15,178,513			17.4

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

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Consolidated Schedule of Investments December 31, 2018

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(-0.35% 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 - 01/05/2024		$1,085,795,950		$26,690,452		$7,112,789		$33,803,241

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
Central Japan Railway Co.		54,700		$	11,541,009		$	1,264,876			3.7	%
Haseko Corp.		973,100			10,189,923			(4,074,517	)		(12.1	)
Idemitsu Kosan Co. Ltd.		421,600			13,713,245			(957,234	)		(2.8	)
Inpex Corp.		2,181,900			19,333,422			(8,487,734	)		(25.1	)
ITOCHU Corp.		1,636,900			27,799,122			(3,496,852	)		(10.3	)
Japan Airlines Co. Ltd.		325,900			11,550,248			(1,059,086	)		(3.1	)
JFE Holdings, Inc.		507,700			8,086,816			(2,391,840	)		(7.1	)
JXTG Holdings, Inc.		8,117,600			42,158,970			(8,835,883	)		(26.1	)
Kajima Corp.		691,100			9,283,610			(3,081,737	)		(9.1	)
KDDI Corp.		325,900			7,787,355			(472,848	)		(1.4	)
Marubeni Corp.		4,572,100			32,080,193			(1,037,444	)		(3.1	)
Mazda Motor Corp.		945,900			9,724,230			(2,777,815	)		(8.2	)
Mitsubishi Corp.		1,147,100			31,449,533			691,305			2.0
Mitsui & Co. Ltd.		1,318,800			20,261,137			(2,165,799	)		(6.4	)
Nippon Telegraph & Telephone Corp.		397,100			16,201,411			(1,937,015	)		(5.7	)
Nissan Motor Co. Ltd.		1,721,800			13,773,231			(3,837,954	)		(11.4	)
Obayashi Corp.		1,228,600			11,124,892			(1,745,170	)		(5.2	)
Sojitz Corp.		4,829,600			16,723,434			942,912			2.8
Sumitomo Corp.		967,500			13,727,634			(2,651,415	)		(7.8	)
Taisei Corp.		234,000			10,021,848			(1,429,746	)		(4.2	)
Tokyo Electric Power Co. Holdings, Inc.		7,492,600			44,506,323			9,006,816			26.6
Tokyo Gas Co. Ltd.		330,800			8,366,646			(164,833	)		(0.5	)
West Japan Railway Co.		129,700			9,163,461			270,030			0.8
Short Positions
Common Stock
Japan
Aeon Co. Ltd.		(713,400	)		(13,944,163	)		(617,395	)		(1.8	)
Calbee, Inc.		(283,400	)		(8,851,838	)		662,500			2.0
CyberAgent, Inc.		(248,400	)		(9,602,550	)		3,174,294			9.4
Daifuku Co. Ltd.		(332,600	)		(15,080,255	)		2,320,244			6.9
Daikin Industries Ltd.		(168,200	)		(17,872,167	)		1,525,869			4.5
FamilyMart UNY Holdings Co. Ltd.		(92,300	)		(11,616,356	)		(714,835	)		(2.1	)
Fast Retailing Co. Ltd.		(36,600	)		(18,693,121	)		(3,091,502	)		(9.1	)

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

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Consolidated Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Isetan Mitsukoshi Holdings Ltd.		(971,900	)	$	(10,738,224	)	$	(463,302	)		(1.4	) %
Kakaku.com, Inc.		(430,700	)		(7,618,551	)		63,946			0.2
Kansai Paint Co. Ltd.		(441,400	)		(8,478,101	)		1,114,145			3.3
Keyence Corp.		(23,000	)		(11,625,255	)		1,684,310			5.0
Kikkoman Corp.		(281,500	)		(15,064,349	)		(3,765,865	)		(11.1	)
M3, Inc.		(707,900	)		(9,536,282	)		4,221,528			12.5
Marui Group Co. Ltd.		(537,400	)		(10,414,767	)		525,166			1.6
MonotaRO Co. Ltd.		(365,100	)		(9,000,209	)		(712,671	)		(2.1	)
Nidec Corp.		(302,100	)		(34,181,700	)		11,117,605			32.9
Nintendo Co. Ltd.		(66,000	)		(17,525,585	)		7,579,756			22.4
Nippon Paint Holdings Co. Ltd.		(379,600	)		(12,933,548	)		1,487,848			4.4
PeptiDream, Inc.		(201,600	)		(7,959,248	)		678,184			2.0
Pigeon Corp.		(266,200	)		(11,354,148	)		851,292			2.5
Ricoh Co. Ltd.		(822,500	)		(8,037,407	)		151,450			0.4
Shimano, Inc.		(66,700	)		(9,402,521	)		(597,184	)		(1.8	)
Sony Financial Holdings, Inc.		(653,600	)		(12,180,876	)		(582,701	)		(1.7	)
TOTO Ltd.		(240,100	)		(8,305,104	)		2,288,578			6.8
Yakult Honsha Co. Ltd.		(104,900	)		(7,343,393	)		51,472			0.2
Yamato Holdings Co. Ltd.		(414,100	)		(11,353,231	)		(473,754	)		(1.4	)
Yaskawa Electric Corp.		(1,147,200	)		(28,042,352	)		20,632,638			61.0

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 AOISR plus or minus a specified spread(-0.08% 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 - 01/02/2024		$65,132,171		$4,290,180		$(214,478	)		$4,075,702

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
AGL Energy Ltd.		302,016	$	4,385,944	$	266,124			6.5	%
Ansell Ltd.		34,426		534,798		(163,797	)		(4.0	)
BlueScope Steel Ltd.		219,818		1,695,702		(67,283	)		(1.7	)
Flight Centre Travel Group Ltd.		15,656		473,463		(280,153	)		(6.9	)
Harvey Norman Holdings Ltd.		747,019		1,662,774		(194,478	)		(4.8	)
Newcrest Mining Ltd.		547,085		8,408,190		645,045			15.8
Santos Ltd.		275,772		1,063,550		(218,495	)		(5.4	)
Telstra Corp. Ltd.		1,172,027		2,352,096		(46,536	)		(1.1	)
Wesfarmers Ltd.		16,529		375,517		(48,251	)		(1.2	)
Woodside Petroleum Ltd.		532,057		11,719,838		461,682			11.3

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

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Consolidated Schedule of Investments December 31, 2018

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.		(242,682	)	$	(393,098	)	$	61,258			1.5	%
AMP Ltd.		(3,557,928	)		(6,141,943	)		2,508,071			61.5
APA Group		(537,119	)		(3,217,421	)		(104,663	)		(2.6	)
Challenger Ltd.		(435,999	)		(2,914,926	)		362,444			8.9
Domino’s Pizza Enterprises Ltd.		(28,364	)		(812,549	)		(4,009	)		(0.1	)
Iluka Resources Ltd.		(90,521	)		(486,378	)		143,364			3.5
LendLease Group		(74,922	)		(613,777	)		3,202			0.1
Medibank Pvt Ltd.		(600,425	)		(1,087,000	)		(54,273	)		(1.3	)
Origin Energy Ltd.		(706,376	)		(3,222,228	)		324,867			8.0
Qantas Airways Ltd.		(222,681	)		(908,433	)		21,765			0.5
QBE Insurance Group Ltd.		(862,975	)		(6,144,911	)		33,964			0.8
SEEK Ltd.		(214,846	)		(2,563,151	)		151,615			3.7
Treasury Wine Estates Ltd.		(36,138	)		(376,840	)		(1,452	)		(0.0	)
Ireland
James Hardie Industries plc		(328,381	)		(3,577,644	)		490,169			12.0

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(-0.15% 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 - 09/08/2023		$87,968,727		$441,272		$218,809		$660,081

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.		797,000	$	7,649,774	$	(1,555,642	)		(235.7	)%
CLP Holdings Ltd.		1,322,500		14,945,436		944,432			143.1
Henderson Land Development Co. Ltd.		636,800		3,169,393		(436,600	)		(66.1	)
HKT Trust & HKT Ltd.		1,173,000		1,689,742		155,803			23.6
Hong Kong & China Gas Co. Ltd.		1,746,000		3,607,323		210,686			31.9
Li & Fung Ltd.		10,936,000		1,725,522		(2,649,257	)		(401.4	)
Lifestyle International Holdings Ltd.		982,000		1,488,670		(456,486	)		(69.2	)
Melco International Development Ltd.		1,075,000		2,179,875		(1,412,014	)		(213.9	)
Sun Hung Kai Properties Ltd.		116,500		1,662,644		(69,065	)		(10.5	)
Yue Yuen Industrial Holdings Ltd.		1,658,000		5,307,743		378,453			57.3

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
China
Minth Group Ltd.		(2,152,000	)	$	(6,944,441	)	$	1,867,569			282.9	%
Hong Kong
AIA Group Ltd.		(2,903,600	)		(24,119,666	)		1,187,746			179.9
ASM Pacific Technology Ltd.		(504,600	)		(4,871,503	)		1,052,105			159.4
Power Assets Holdings Ltd.		(201,000	)		(1,396,428	)		(2,435	)		(0.4	)
Techtronic Industries Co. Ltd.		(589,000	)		(3,125,627	)		157,975			23.9
Wharf Real Estate Investment Co. Ltd.		(124,000	)		(741,634	)		173,600			26.3
Macau
MGM China Holdings Ltd.		(717,200	)		(1,197,341	)		319,432			48.4
United States
Samsonite International SA		(755,400	)		(2,145,965	)		574,970			87.1

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(-3.15% to 0.30%), which is denominated in GBP based on the local currencies of the positions within the swap.

25-39 months maturity 01/14/2021

$239,135,554

$(2,643,336

)

$924,045

$(1,719,291

)

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
TUI AG		192,944	$	2,773,133	$	(505,220	)		29.4	%
Russia
Evraz plc		383,279		2,347,001		(91,625	)		5.3
South Africa
Investec plc		362,638		2,038,651		(364,029	)		21.2
United Kingdom
Barratt Developments plc		1,910,582		11,270,003		(3,886,763	)		226.1
Bellway plc		315,251		10,114,672		(4,206,539	)		244.7
Berkeley Group Holdings plc		391,569		17,367,300		(1,019,829	)		59.3
BT Group plc		2,965,343		9,016,411		(548,370	)		31.9
Centrica plc		2,583,425		4,456,340		15,763			(0.9	)
Close Brothers Group plc		181,664		3,333,911		227,113			(13.2	)
Drax Group plc		237,602		1,087,010		(36,237	)		2.1
Greene King plc		654,491		4,405,877		(347	)		0.0
Hays plc		895,195		1,598,071		(521,514	)		30.3

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

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Consolidated Schedule of Investments December 31, 2018

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REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom (continued)
Howden Joinery Group plc		619,264		$	3,435,991		$	(204,106	)		11.9	%
Kingfisher plc		467,442			1,229,042			(709,066	)		41.2
National Grid plc		1,045,478			10,228,251			(609,311	)		35.4
Next plc		20,299			1,033,562			(409,478	)		23.8
Persimmon plc		513,278			12,639,883			(5,537,604	)		322.1
Royal Mail plc		2,113,463			7,335,592			(3,159,214	)		183.8
RPC Group plc		232,859			1,935,835			(456,595	)		26.6
Taylor Wimpey plc		4,964,227			8,632,091			(3,942,651	)		229.3
United Utilities Group plc		169,717			1,595,764			(45,151	)		2.6
Whitbread plc		18,127			1,058,559			236,247			(13.7	)
William Hill plc		1,547,777			3,058,306			(2,763,398	)		160.7
Short Positions
Common Stock
Chile
Antofagasta plc		(255,998	)		(2,560,369	)		55,098			(3.2	)
South Africa
Old Mutual Ltd.		(6,167,698	)		(9,197,863	)		4,412,272			(256.6	)
Switzerland
Glencore plc		(3,326,673	)		(12,368,792	)		884,070			(51.4	)
United Arab Emirates
NMC Health plc		(48,232	)		(1,683,357	)		215,872			(12.6	)
United Kingdom
Ashtead Group plc		(59,408	)		(1,239,215	)		106,419			(6.2	)
B&M European Value Retail SA		(390,775	)		(1,402,345	)		531,043			(30.9	)
Barclays plc		(497,982	)		(952,774	)		109,563			(6.4	)
BP plc		(156,245	)		(987,732	)		99,865			(5.8	)
British American Tobacco plc		(174,121	)		(5,540,361	)		5,326,513			(309.8	)
Capita plc		(5,488,515	)		(7,868,552	)		6,073,117			(353.2	)
Cobham plc		(1,807,465	)		(2,253,563	)		785,714			(45.7	)
ConvaTec Group plc		(1,632,181	)		(2,891,084	)		1,109,317			(64.5	)
Hargreaves Lansdown plc		(80,491	)		(1,898,379	)		(34,979	)		2.0
HSBC Holdings plc		(222,938	)		(1,839,180	)		74,738			(4.3	)
IMI plc		(233,026	)		(2,806,246	)		816,959			(47.5	)
Just Eat plc		(258,376	)		(1,932,211	)		841,939			(49.0	)
Melrose Industries plc		(4,778,905	)		(9,983,635	)		1,210,915			(70.4	)
Micro Focus International plc		(68,503	)		(1,200,078	)		(24,710	)		1.4
Provident Financial plc		(140,109	)		(1,026,250	)		156,853			(9.1	)
Prudential plc		(435,988	)		(7,785,203	)		2,394,147			(139.3	)
Reckitt Benckiser Group plc		(52,858	)		(4,047,672	)		(116,204	)		6.8
Rentokil Initial plc		(311,534	)		(1,340,219	)		(45,988	)		2.7
RSA Insurance Group plc		(363,233	)		(2,383,810	)		350,790			(20.4	)
St James’s Place plc		(79,029	)		(951,811	)		112,605			(6.5	)
Standard Chartered plc		(1,093,721	)		(8,500,035	)		1,614,075			(93.9	)
Standard Life Aberdeen plc		(666,588	)		(2,182,641	)		484,232			(28.2	)
Tesco plc		(2,501,344	)		(6,066,165	)		119,954			(7.0	)

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

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Consolidated Schedule of Investments December 31, 2018

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(-2.63% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.

11-24 months maturity 11/12/2019

$821,850,231

$5,376,975

$(11,872,070

)

$(6,495,095

)

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		226,347	$	10,189,155	$	(969,002	)		14.9	%
KBC Group NV		174,857		11,250,113		(2,869,757	)		44.2
Finland
Neste OYJ		312,471		24,192,321		3,583,907			(55.2	)
UPM-Kymmene OYJ		295,814		7,488,184		(1,741,130	)		26.8
France
AXA SA		347,914		7,508,649		(1,140,923	)		17.6
CNP Assurances		224,751		4,770,682		(352,076	)		5.4
Electricite de France SA		576,050		9,117,067		335,364			(5.2	)
Engie SA		1,897,539		27,263,719		(3,364,991	)		51.8
Peugeot SA		723,329		15,427,026		(1,158,996	)		17.8
Renault SA		241,976		15,073,448		(9,223,824	)		142.0
Societe Generale SA		252,561		8,007,334		(1,693,886	)		26.1
Thales SA		54,099		6,321,857		847,551			(13.0	)
TOTAL SA		780,527		41,168,994		(1,732,054	)		26.7
Germany
Allianz SE (Registered)		119,323		23,978,591		(1,855,891	)		28.6
Aurubis AG		102,109		5,059,734		(3,621,253	)		55.8
Bayerische Motoren Werke AG		163,402		13,252,743		(3,006,392	)		46.3
Covestro AG		140,459		6,956,161		(6,286,559	)		96.8
Deutsche Lufthansa AG (Registered)		1,083,886		24,478,000		(9,399,646	)		144.7
E.ON SE		1,033,448		10,201,503		(646,816	)		10.0
Hannover Rueck SE		95,009		12,804,384		843,679			(13.0	)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		44,128		9,624,263		49,770			(0.8	)
Volkswagen AG (Preference)		135,443		21,597,151		(4,275,872	)		65.8
Netherlands
Aegon NV		3,421,755		16,026,285		(5,570,226	)		85.8
ASR Nederland NV		234,907		9,295,027		143,139			(2.2	)
Koninklijke Ahold Delhaize NV		1,189,286		30,043,983		1,903,297			(29.3	)
NN Group NV		553,895		22,022,087		(951,589	)		14.7
Wolters Kluwer NV		114,433		6,729,484		1,637,451			(25.2	)
Spain
Banco Bilbao Vizcaya Argentaria SA		954,571		5,070,508		(476,459	)		7.3
Endesa SA		700,480		16,153,542		2,225,323			(34.3	)

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

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Consolidated Schedule of Investments December 31, 2018

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		(107,311	)	$	(7,069,545	)	$	3,300,721			(50.8	) %
Galapagos NV		(129,996	)		(11,915,579	)		1,384,447			(21.3	)
Telenet Group Holding NV		(131,116	)		(6,098,529	)		1,714,008			(26.4	)
Finland
Orion OYJ		(145,024	)		(5,045,232	)		(458,226	)		7.1
France
Accor SA		(220,221	)		(9,364,766	)		1,197,826			(18.4	)
Airbus SE		(333,386	)		(31,784,968	)		1,409,242			(21.7	)
Edenred		(483,974	)		(17,824,259	)		(3,973,909	)		61.2
Iliad SA		(114,528	)		(16,073,149	)		5,250,569			(80.8	)
Ingenico Group SA		(142,839	)		(8,102,894	)		4,176,856			(64.3	)
Remy Cointreau SA		(44,592	)		(5,054,440	)		595,294			(9.2	)
Valeo SA		(370,947	)		(10,818,890	)		2,008,389			(30.9	)
Vivendi SA		(557,889	)		(13,521,734	)		87,978			(1.4	)
Germany
Continental AG		(50,537	)		(7,036,567	)		1,471,494			(22.7	)
Deutsche Bank AG (Registered)		(4,050,968	)		(32,307,230	)		27,492,724			(423.3	)
Infineon Technologies AG		(865,659	)		(17,331,941	)		488,503			(7.5	)
OSRAM Licht AG		(320,199	)		(13,934,614	)		(423,113	)		6.5
Telefonica Deutschland Holding AG		(1,597,074	)		(6,285,958	)		953,912			(14.7	)
Netherlands
ASML Holding NV		(75,486	)		(11,825,608	)		1,421,807			(21.9	)
Koninklijke KPN NV		(4,496,608	)		(13,134,583	)		(640,781	)		9.9
Spain
Cellnex Telecom SA		(581,820	)		(14,879,171	)		(1,615,385	)		24.9
Industria de Diseno Textil SA		(1,338,393	)		(34,162,070	)		5,455,125			(84.0	)

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

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Consolidated Schedule of Investments December 31, 2018

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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.	16-24 months maturity 02/18/2020		$74,734,016		$(2,335,162	)		$(1,457,669	)		$(3,792,831	)

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		17,264		$	1,836,529		$	(73,256	)		1.9	%
Coloplast A/S		30,618			2,847,952			(207,565	)		5.5
Danske Bank A/S		49,816			988,968			(368,428	)		9.7
GN Store Nord A/S		79,105			2,963,987			187,905			(5.0	)
H Lundbeck A/S		138,464			6,094,199			(276,674	)		7.3
Jyske Bank A/S (Registered)		48,996			1,773,886			(651,622	)		17.2
Novo Nordisk A/S		117,897			5,414,665			(278,995	)		7.4
Orsted A/S		77,525			5,187,802			426,156			(11.2	)
Pandora A/S		81,328			3,320,210			(1,635,960	)		43.1
Rockwool International A/S		16,717			4,371,559			(1,356,745	)		35.8
William Demant Holding A/S		85,755			2,441,603			(331,245	)		8.7
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(15,907	)		(20,009,926	)		1,828,276			(48.2	)
FLSmidth & Co. A/S		(37,413	)		(1,687,507	)		509,364			(13.4	)
Genmab A/S		(96,066	)		(15,795,223	)		(106,373	)		2.8

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

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Consolidated Schedule of Investments December 31, 2018

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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		$40,738,774		$872,543		$(422,391	)		$450,152

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
DNB ASA		277,166		$	4,448,976		$	(716,466	)		(159.2	)%
Equinor ASA		353,045			7,488,840			(1,302,423	)		(289.3	)
Gjensidige Forsikring ASA		33,944			531,013			(41,141	)		(9.1	)
Marine Harvest ASA		903,923			19,052,440			4,186,119			929.9
Salmar ASA		52,364			2,597,191			513,696			114.1
Short Positions
Common Stock
Norway
Schibsted ASA		(197,049	)		(6,620,314	)		(1,767,242	)		(392.6	)

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

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Consolidated Schedule of Investments December 31, 2018

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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(-1.38% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap.	7-15 months maturity 05/16/2019		$102,443,343		$34,329,303		$288,664		$34,617,967

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
Helvetia Holding AG (Registered)		4,110		$	2,403,578		$	113,166			0.3	%
Nestle SA (Registered)		5,569			451,996			(28,036	)		(0.1	)
Partners Group Holding AG		1,749			1,063,998			(140,668	)		(0.4	)
Roche Holding AG		74,898			18,594,092			601,812			1.7
Sonova Holding AG (Registered)		11,035			1,814,664			131,653			0.4
Swiss Life Holding AG (Registered)		69,816			26,946,861			2,252,468			6.5
Zurich Insurance Group AG		25,195			7,510,348			(206,485	)		(0.6	)
Short Positions
Common Stock
Austria
ams AG		(335,761	)		(8,085,208	)		14,710,704			42.5
Switzerland
Credit Suisse Group AG (Registered)		(2,065,739	)		(22,582,018	)		13,236,478			38.2
dormakaba Holding AG		(720	)		(435,576	)		88,715			0.3
Idorsia Ltd.		(167,755	)		(2,787,471	)		1,105,307			3.2
LafargeHolcim Ltd. (Registered)		(60,316	)		(2,489,155	)		302,898			0.9
OC Oerlikon Corp. AG (Registered)		(379,749	)		(4,276,051	)		1,441,227			4.2
Vifor Pharma AG		(27,591	)		(3,002,327	)		720,064			2.1

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

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Consolidated Schedule of Investments December 31, 2018

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(-0.75% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap.	15-24 months maturity 02/18/2020		$77,248,589		$(19,187,480	)		$(1,729,306	)		$(20,916,786	)

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
Nordea Bank Abp		322,180		$	2,712,175		$	(361,506	)		1.7	%
Malta
Kindred Group plc		85,788			788,624			(343,994	)		1.6
Sweden
Axfood AB		68,419			1,170,254			(189,850	)		0.9
Boliden AB		520,766			11,284,487			(5,402,050	)		25.8
Electrolux AB		18,641			392,929			(94,685	)		0.5
Elekta AB		50,458			599,145			(120,920	)		0.6
Essity AB		109,940			2,702,488			(58,649	)		0.3
Modern Times Group MTG AB		19,720			653,457			(81,873	)		0.4
Securitas AB		209,586			3,376,411			142,770			(0.7	)
Skandinaviska Enskilda Banken AB		46,547			452,478			(57,516	)		0.3
SSAB AB		678,091			2,338,620			(1,355,126	)		6.5
Swedbank AB		137,919			3,082,650			(4,348	)		0.0
Swedish Orphan Biovitrum AB		246,946			5,397,777			(740,012	)		3.5
Telia Co. AB		438,465			2,085,730			13,253			(0.1	)
Volvo AB		97,174			1,272,402			(399,100	)		1.9
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(73,203	)		(4,631,975	)		(37,245	)		0.2
Sweden
Assa Abloy AB		(25,417	)		(455,137	)		26,751			(0.1	)
Svenska Cellulosa AB SCA		(362,960	)		(2,820,446	)		115,765			(0.6	)
Telefonaktiebolaget LM Ericsson		(3,505,595	)		(31,031,404	)		(10,239,145	)		49.0

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND

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

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—			$85,622,188			$85,622,188
U.S. Treasury Bills		—			30,023,552			30,023,552
CITI
Cash		53,928,566			—			53,928,566
GSCO
Cash		—			(8,091,696	)		(8,091,696	)
U.S. Treasury Bills		—			48,372,706			48,372,706
GSIN
Cash		(123,186,579	)		—			(123,186,579	)
Investment Companies		344,726,476			—			344,726,476
JPMC
Investment Companies		121,235,336			—			121,235,336
JPMS
Cash		—			26,396,928			26,396,928
MLIN
Cash		2,950,000			—			2,950,000
MSCL
Cash		—			43,625,462			43,625,462
MSIP
Cash		(4,280,086	)		—			(4,280,086	)
U.S. Treasury Bills		81,751,003			—			81,751,003

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Cash		$2,572,300		$—		$2,572,300
GSCO
Cash		—		3,090,292		3,090,292
JPPC
Cash		—		11,525,283		11,525,283
MSCL
Cash		—		42,899,954		42,899,954
MACQ
U.S. Treasury Bills		1,253,181		—		1,253,181

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

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Consolidated Schedule of Investments December 31, 2018

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INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 110.3%
COMMON STOCKS - 19.3%
Belgium - 0.3%
Ageas (a)		11,019	$	496,026
Colruyt SA (a)		1,450		103,416
KBC Group NV (a)		4,278		275,242
Proximus SADP		2,324		62,885
UCB SA (a)		3,687		301,142
				1,238,711
Brazil - 0.0% (b)
Yamana Gold, Inc. (1)		40,989		96,378
Canada - 1.7%
Air Canada (1)*(a)		65,825		1,251,696
ARC Resources Ltd. (1)(a)		27,287		161,899
Atco Ltd., Class I (1)		1,141		32,269
Bank of Montreal (1)(a)		2,490		162,674
Bank of Nova Scotia (The) (1)(a)		3,324		165,689
Barrick Gold Corp. (1)		1,988		26,838
Canadian Imperial Bank of Commerce (1)(a)		13,109		976,357
Canadian Natural Resources Ltd. (1)(a)		33,617		811,122
Canadian Tire Corp. Ltd., Class A (1)(a)		2,713		283,661
CGI Group, Inc., Class A (1)*(a)		8,829		540,010
CI Financial Corp. (1)		3,140		39,745
Empire Co. Ltd., Class A (1)		3,867		81,662
Fairfax Financial Holdings Ltd. (1)		168		73,956
Fortis, Inc. (1)		2,358		78,606
Franco-Nevada Corp. (1)		504		35,341
Gildan Activewear, Inc. (1)		917		27,835
Hydro One Ltd. (1)(c)		4,445		65,933
Intact Financial Corp. (1)		1,055		76,652
Kinross Gold Corp. (1)*(a)		70,111		225,966
Linamar Corp. (1)		2,752		91,317
Magna International, Inc. (1)(a)		6,969		316,341
Methanex Corp. (1)(a)		5,562		267,507
National Bank of Canada (1)(a)		6,868		281,974
Northland Power, Inc. (1)		2,531		40,231
Peyto Exploration & Development Corp. (1)		31,817		165,005
Quebecor, Inc., Class B (1)		4,044		85,134
Royal Bank of Canada (1)(a)		2,405		164,608
Seven Generations Energy Ltd., Class A (1)*(a)		35,754		291,752
Sun Life Financial, Inc. (1)		1,022		33,904
Teck Resources Ltd., Class B (1)		3,996		86,026
Toronto-Dominion Bank (The) (1)(a)		11,137		553,587
Tourmaline Oil Corp. (1)(a)		30,947		384,911
West Fraser Timber Co. Ltd. (1)(a)		10,679		527,536
				8,407,744
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd.		358,000		328,946
Denmark - 0.6%
Carlsberg A/S, Class B		996		105,954
Coloplast A/S, Class B (a)		1,879		174,776

INVESTMENTS	SHARES		VALUE
Denmark - 0.6% (continued)
GN Store Nord A/S (a)		5,521	$	206,866
H Lundbeck A/S (a)		6,983		307,342
Jyske Bank A/S (Registered)		1,590		57,565
Novo Nordisk A/S, Class B (a)		6,287		288,744
Orsted A/S (a)(c)		1,779		119,047
Pandora A/S (a)		12,273		501,044
Rockwool International A/S, Class B		1,973		515,947
Tryg A/S		3,048		76,874
Vestas Wind Systems A/S		936		70,854
William Demant Holding A/S *(a)		11,239		319,995
				2,745,008
Finland - 0.5%
Elisa OYJ(a)		2,656		110,010
Fortum OYJ (a)		6,400		140,092
Kesko OYJ, Class B (a)		3,201		172,753
Neste OYJ (a)		12,355		956,556
Nokia OYJ		16,672		96,783
Sampo OYJ, Class A (a)		8,117		359,743
UPM-Kymmene OYJ (a)		21,537		545,184
				2,381,121
Germany - 0.3%
Aurubis AG (a)		4,387		217,386
Deutsche Lufthansa AG (Registered) (a)		63,684		1,438,211
				1,655,597
Italy - 1.7%
A2A SpA		364,040		656,537
Assicurazioni Generali SpA (a)		107,286		1,793,177
Autogrill SpA		3,514		29,647
BPER Banca (a)		49,482		190,584
Enel SpA (a)		303,732		1,760,809
Eni SpA (a)		115,714		1,827,957
Hera SpA		54,513		166,307
Italgas SpA		18,738		107,454
Poste Italiane SpA (c)		155,922		1,250,293
Saipem SpA *		37,619		140,973
Telecom Italia SpA *(a)		482,483		267,107
Terna Rete Elettrica Nazionale SpA (a)		34,736		197,271
Unipol Gruppo SpA		22,484		90,673
UnipolSai Assicurazioni SpA (a)		162,289		367,442
				8,846,231
Japan - 9.0%
AGC, Inc. (a)		16,400		509,761
Alfresa Holdings Corp. (a)		15,700		400,187
Amada Holdings Co. Ltd. (a)		10,900		97,848
Aozora Bank Ltd. (a)		11,700		348,717
Asahi Group Holdings Ltd. (a)		1,300		50,380
Astellas Pharma, Inc. (a)		26,100		333,470
Bandai Namco Holdings, Inc. (a)		3,600		161,637
Central Japan Railway Co. (a)		2,400		506,370
Chubu Electric Power Co., Inc. (a)		30,000		426,283
Citizen Watch Co. Ltd. (a)		13,100		64,515
Daicel Corp.		4,200		43,116
Dai-ichi Life Holdings, Inc. (a)		26,300		408,429
East Japan Railway Co. (a)		2,600		229,606

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

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Consolidated Schedule of Investments December 31, 2018

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INVESTMENTS	SHARES		VALUE
Japan - 9.0% (continued)
Electric Power Development Co. Ltd. (a)		12,900	$	306,116
Fujitsu Ltd. (a)		4,400		274,279
GungHo Online Entertainment, Inc. (a)		64,100		117,318
Hakuhodo DY Holdings, Inc.		2,900		41,384
Haseko Corp. (a)		59,900		627,249
Hitachi High-Technologies Corp.		1,200		37,577
Hitachi Ltd. (a)		21,100		559,366
Honda Motor Co. Ltd. (a)		1,100		28,980
Idemitsu Kosan Co. Ltd. (a)		22,000		715,587
Inpex Corp. (a)		149,800		1,327,351
ITOCHU Corp. (a)		114,100		1,937,736
Japan Airlines Co. Ltd. (a)		20,700		733,630
Japan Post Holdings Co. Ltd. (a)		46,800		540,354
JFE Holdings, Inc. (a)		16,800		267,596
JTEKT Corp. (a)		7,500		82,948
JXTG Holdings, Inc. (a)		467,700		2,429,013
Kajima Corp. (a)		42,400		569,563
Kaken Pharmaceutical Co. Ltd.		1,400		62,163
Kamigumi Co. Ltd. (a)		9,500		194,358
Kansai Electric Power Co., Inc. (The) (a)		25,300		379,417
KDDI Corp. (a)		38,800		927,123
Kobe Steel Ltd. (a)		39,300		272,396
Konica Minolta, Inc.		4,500		40,506
Kyushu Electric Power Co., Inc. (a)		12,700		151,227
Kyushu Railway Co. (a)		12,800		433,060
Marubeni Corp. (a)		196,000		1,375,236
Mazda Motor Corp. (a)		66,400		682,619
Mebuki Financial Group, Inc.		11,600		30,677
Medipal Holdings Corp. (a)		22,500		481,369
Mitsubishi Chemical Holdings Corp. (a)		32,200		243,270
Mitsubishi Corp. (a)		74,000		2,028,825
Mitsubishi Electric Corp.		6,200		68,371
Mitsubishi Gas Chemical Co., Inc. (a)		19,400		290,604
Mitsubishi Tanabe Pharma Corp. (a)		10,900		157,348
Mitsubishi UFJ Financial Group, Inc. (a)		141,900		696,396
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)		22,900		109,760
Mitsui & Co. Ltd. (a)		107,300		1,648,483
Mitsui Chemicals, Inc. (a)		9,900		223,505
Mixi, Inc.		13,400		281,211
Mizuho Financial Group, Inc. (a)		560,000		866,453
Nexon Co. Ltd. *(a)		13,300		171,697
NH Foods Ltd.		1,000		37,592
NHK Spring Co. Ltd. (a)		32,700		285,690
Nippon Electric Glass Co. Ltd. (a)		3,000		73,499
Nippon Express Co. Ltd. (a)		2,600		144,439
Nippon Shokubai Co. Ltd. (a)		1,500		95,622
Nippon Steel & Sumitomo Metal Corp.		2,300		39,516
Nippon Telegraph & Telephone Corp. (a)		51,900		2,117,486
Nissan Motor Co. Ltd. (a)		105,200		841,529
Obayashi Corp. (a)		69,200		626,601
Oracle Corp. Japan (a)		1,500		95,217
ORIX Corp.		4,200		61,370
Osaka Gas Co. Ltd. (a)		25,100		457,874
Resona Holdings, Inc. (a)		186,400		894,064
Shimamura Co. Ltd. (a)		4,600		352,248
Shimizu Corp.		7,900		64,266

INVESTMENTS	SHARES		VALUE
Japan - 9.0% (continued)
Shinsei Bank Ltd.		3,400	$	40,420
Showa Denko KK (a)		3,100		92,053
Sojitz Corp. (a)		437,300		1,514,237
Sompo Holdings, Inc.		1,000		33,970
Sumitomo Chemical Co. Ltd. (a)		44,000		213,079
Sumitomo Corp. (a)		73,600		1,044,293
Sumitomo Dainippon Pharma Co. Ltd. (a)		2,200		70,159
Sumitomo Heavy Industries Ltd. (a)		6,100		180,872
Sumitomo Mitsui Financial Group, Inc. (a)		20,500		675,784
Sumitomo Mitsui Trust Holdings, Inc. (a)		900		32,775
Sumitomo Rubber Industries Ltd.		2,900		34,141
Suzuken Co. Ltd. (a)		6,070		309,100
Taiheiyo Cement Corp.		3,600		110,791
Taisei Corp. (a)		12,000		513,941
Taisho Pharmaceutical Holdings Co. Ltd.		300		30,110
Teijin Ltd. (a)		10,900		173,963
Toho Gas Co. Ltd. (a)		5,900		248,179
Tohoku Electric Power Co., Inc. (a)		18,900		248,836
Tokyo Broadcasting System Holdings, Inc. (a)		7,800		123,290
Tokyo Electric Power Co. Holdings, Inc. *(a)		566,700		3,366,220
Tokyo Gas Co. Ltd. (a)		23,800		601,953
Tosoh Corp. (a)		29,900		387,836
Toyo Seikan Group Holdings Ltd. (a)		5,600		128,174
Toyo Suisan Kaisha Ltd. (a)		3,000		104,469
Toyoda Gosei Co. Ltd. (a)		1,700		33,467
Toyota Tsusho Corp. (a)		1,800		52,888
West Japan Railway Co. (a)		5,200		367,386
Yamada Denki Co. Ltd. (a)		84,500		405,830
Yamaguchi Financial Group, Inc. (a)		29,100		278,162
				43,595,831
Luxembourg - 0.1%
ArcelorMittal (a)		13,501		279,476
Malta - 0.0% (b)
Kindred Group plc, SDR		10,091		92,764
Netherlands - 1.3%
Aegon NV (a)		272,074		1,274,298
ASM International NV		1,069		44,076
ASR Nederland NV (a)		9,459		374,283
Koninklijke Ahold Delhaize NV (a)		97,312		2,458,314
NN Group NV (a)		39,048		1,552,494
Signify NV (a)(c)		8,111		189,745
Wolters Kluwer NV (a)		4,992		293,566
				6,186,776
Norway - 0.6%
DNB ASA (a)		13,886		222,893
Equinor ASA (a)		51,297		1,088,119
Leroy Seafood Group ASA (a)		27,578		209,882
Marine Harvest ASA (a)		43,773		922,626
Salmar ASA (a)		4,202		208,414
				2,651,934

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

AQR Funds Annual Report December 2018

243

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Singapore - 0.1%
ComfortDelGro Corp. Ltd.		166,400	$	262,836
Venture Corp. Ltd.		24,800		254,617
				517,453
Spain - 1.0%
Acciona SA		765		64,708
Banco Bilbao Vizcaya Argentaria SA (a)		99,139		526,608
CaixaBank SA (a)		59,221		214,465
Cia de Distribucion Integral Logista Holdings SA (a)		4,638		116,052
Distribuidora Internacional de Alimentacion SA		221,905		117,047
Ebro Foods SA (a)		4,797		95,793
Endesa SA (a)		38,348		884,331
Iberdrola SA		9,904		79,528
Mapfre SA (a)		104,509		277,567
Naturgy Energy Group SA (a)		7,470		190,565
Red Electrica Corp. SA		4,581		102,157
Repsol SA (a)		132,668		2,132,911
				4,801,732
Sweden - 0.4%
Axfood AB		5,920		101,257
Boliden AB		13,503		292,597
Modern Times Group MTG AB, Class B		1,306		43,277
Securitas AB, Class B		10,313		166,141
SSAB AB, Class A		57,470		198,204
Swedbank AB, Class A		2,409		53,844
Swedish Orphan Biovitrum AB *		26,198		572,639
Telia Co. AB (a)		44,794		213,080
Volvo AB, Class B		3,674		48,108
				1,689,147
Switzerland - 1.1%
Helvetia Holding AG (Registered)		447		261,411
Lonza Group AG (Registered) *		731		190,027
Novartis AG (Registered) (a)		10,488		898,237
Roche Holding AG (a)		4,740		1,176,747
Swiss Life Holding AG (Registered) *(a)		4,332		1,672,022
Swisscom AG (Registered) (a)		196		93,683
Temenos AG (Registered) *		540		64,888
Zurich Insurance Group AG (a)		3,584		1,068,350
				5,425,365
United Kingdom - 0.4%
Fiat Chrysler Automobiles NV *		116,278		1,676,540
Subsea 7 SA		3,040		29,623
				1,706,163
United States - 0.1%
Bausch Health Cos., Inc. (1)*		3,200		59,185
BRP, Inc.(1) (a)		10,084		261,038
				320,223
TOTAL COMMON STOCKS (Cost $94,051,557)				92,966,600

INVESTMENTS	NO. OF RIGHTS		VALUE
RIGHTS - 0.0% (b)
Spain - 0.0% (b)
Repsol SA, expiring 1/18/2019 * (Cost $44,009)		95,727	$	43,872
		SHARES
SHORT-TERM INVESTMENTS - 91.0%
INVESTMENT COMPANIES - 61.4%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (1)(d)		436,874		436,874
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (1)(d)		1,747,495		1,747,495
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (1)(d)(e)		6,582,874		6,582,874
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(d)(e)		70,436,669		70,436,669
Limited Purpose Cash Investment Fund, 2.50% (1)(d)(i)		213,737,105		213,737,105
UBS Select Treasury Preferred Fund, Class I, 2.34% (1)(d)		2,184,369		2,184,369
TOTAL INVESTMENT COMPANIES (Cost $295,095,398)				295,125,386
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 29.6%
U.S. Treasury Bills
2.16%, 1/17/2019 (f)	$	27,884,000		27,857,452
2.16%, 1/24/2019 (f)		5,001,000		4,994,024
2.26%, 2/14/2019 (f)(g)		14,783,000		14,740,710
2.23%, 2/28/2019 (f)		2,855,000		2,844,236
2.27%, 3/7/2019 (f)(g)		28,041,000		27,922,293
2.36%, 4/4/2019 (f)(g)		3,419,000		3,397,801
2.48%, 5/9/2019 (f)		2,486,000		2,464,623
2.50%, 5/16/2019 (f)(g)		17,955,000		17,792,681
2.49%, 5/23/2019 (f)(g)		2,991,000		2,962,562
2.53%, 6/6/2019 (f)(g)		4,639,000		4,590,165
2.51%, 6/13/2019 (f)(g)		29,008,000		28,689,329
2.52%, 6/20/2019 (f)(g)		3,068,000		3,032,822
2.51%, 6/27/2019 (f)(g)		1,404,000		1,387,260
TOTAL U.S. TREASURY OBLIGATIONS (Cost $142,671,202)				142,675,958
TOTAL SHORT-TERM INVESTMENTS (Cost $437,766,600)				437,801,344
TOTAL LONG POSITIONS (Cost $531,862,166)				530,811,816

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

AQR Funds Annual Report December 2018

244

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
SHORT POSITIONS - (15.8)%
COMMON STOCKS - (15.8)%
Austria - (0.1)%
ams AG		(17,577	)	$	(423,259	)
Belgium - (0.3)%
Anheuser-Busch InBev SA/NV		(3,180	)		(209,495	)
Galapagos NV *		(6,588	)		(603,864	)
Telenet Group Holding NV		(9,720	)		(452,101	)
					(1,265,460	)
Canada - (1.7)%
AltaGas Ltd. (1)		(44,148	)		(449,500	)
BlackBerry Ltd. (1)*		(40,201	)		(285,930	)
Bombardier, Inc., Class B (1)*		(99,247	)		(147,576	)
Cameco Corp. (1)		(32,231	)		(365,467	)
CCL Industries, Inc., Class B (1)		(2,557	)		(93,762	)
Cenovus Energy, Inc. (1)		(74,096	)		(521,038	)
Dollarama, Inc. (1)		(18,308	)		(435,439	)
Element Fleet Management Corp. (1)		(54,241	)		(274,542	)
Enbridge, Inc. (1)		(62,245	)		(1,933,645	)
Inter Pipeline Ltd. (1)		(11,039	)		(156,383	)
Keyera Corp. (1)		(1,536	)		(29,039	)
Manulife Financial Corp. (1)		(11,105	)		(157,562	)
Onex Corp. (1)		(1,133	)		(61,704	)
Pembina Pipeline Corp. (1)		(18,292	)		(542,784	)
PrairieSky Royalty Ltd. (1)		(12,966	)		(167,821	)
Restaurant Brands International, Inc. (1)		(1,332	)		(69,586	)
Shopify, Inc., Class A (1)*		(4,409	)		(609,709	)
Stars Group, Inc. (The) (1)*		(10,059	)		(166,078	)
TransCanada Corp. (1)		(37,003	)		(1,321,342	)
Wheaton Precious Metals Corp. (1)		(23,428	)		(457,337	)
					(8,246,244	)
Chile - 0.0% (b)
Lundin Mining Corp. (1)		(7,262	)		(30,001	)
Colombia - (0.1)%
Millicom International Cellular SA, SDR		(4,713	)		(298,219	)
Denmark - (0.6)%
AP Moller - Maersk A/S, Class B		(1,336	)		(1,680,597	)
FLSmidth & Co. A/S		(4,739	)		(213,752	)
Genmab A/S *		(5,284	)		(868,798	)
					(2,763,147	)
Finland - (0.1)%
Huhtamaki OYJ		(3,237	)		(100,164	)
Metso OYJ		(4,267	)		(112,104	)
Orion OYJ, Class B		(5,805	)		(201,950	)
Wartsila OYJ Abp		(2,526	)		(40,322	)
					(454,540	)
Germany - (0.3)%
OSRAM Licht AG		(28,101	)		(1,222,916	)
Italy - (0.9)%
Atlantia SpA		(30,655	)		(634,409	)
Banca Generali SpA		(5,140	)		(106,857	)

INVESTMENTS	SHARES			VALUE
Italy - (0.9)% (continued)
Brembo SpA		(21,102	)	$	(215,363	)
Buzzi Unicem SpA		(15,253	)		(263,088	)
Davide Campari-Milano SpA		(21,824	)		(184,814	)
Ferrari NV		(13,884	)		(1,381,514	)
FinecoBank Banca Fineco SpA		(11,313	)		(113,825	)
Intesa Sanpaolo SpA		(18,168	)		(40,453	)
Leonardo SpA		(46,509	)		(409,755	)
Moncler SpA		(1,904	)		(63,361	)
Pirelli & C SpA*(c)		(8,591	)		(55,207	)
Prysmian SpA		(30,908	)		(601,378	)
Recordati SpA		(3,568	)		(123,561	)
Unione di Banche Italiane SpA		(10,869	)		(31,549	)
					(4,225,134	)
Japan - (8.7)%
Acom Co. Ltd.		(80,400	)		(261,542	)
Aeon Co. Ltd.		(45,300	)		(885,437	)
AEON Financial Service Co. Ltd.		(11,000	)		(195,149	)
ANA Holdings, Inc.		(4,300	)		(154,366	)
Asahi Intecc Co. Ltd.		(5,000	)		(211,527	)
Asics Corp.		(31,800	)		(403,880	)
Bank of Kyoto Ltd. (The)		(7,100	)		(291,774	)
Benesse Holdings, Inc.		(2,400	)		(61,052	)
Calbee, Inc.		(13,100	)		(409,171	)
Casio Computer Co. Ltd.		(8,600	)		(101,964	)
Chiyoda Corp.		(20,200	)		(56,759	)
Chugai Pharmaceutical Co. Ltd.		(1,800	)		(104,399	)
Chugoku Electric Power Co., Inc. (The)		(14,700	)		(191,037	)
Coca-Cola Bottlers Japan Holdings, Inc.		(6,300	)		(187,873	)
Cosmos Pharmaceutical Corp.		(3,300	)		(550,602	)
Credit Saison Co. Ltd.		(4,200	)		(49,209	)
CyberAgent, Inc.		(20,900	)		(807,944	)
Daifuku Co. Ltd.		(28,100	)		(1,274,069	)
Daiichi Sankyo Co. Ltd.		(5,500	)		(175,921	)
Daikin Industries Ltd.		(13,900	)		(1,476,952	)
Denso Corp.		(1,600	)		(70,828	)
Disco Corp.		(2,600	)		(302,298	)
Don Quijote Holdings Co. Ltd.		(5,300	)		(327,681	)
Eisai Co. Ltd.		(6,300	)		(487,745	)
FamilyMart UNY Holdings Co. Ltd.		(9,400	)		(1,183,032	)
FANUC Corp.		(3,300	)		(500,807	)
Fast Retailing Co. Ltd.		(2,200	)		(1,123,631	)
Fuji Electric Co. Ltd.		(4,300	)		(126,646	)
Hachijuni Bank Ltd. (The)		(9,600	)		(39,210	)
Hamamatsu Photonics KK		(1,300	)		(43,566	)
Hikari Tsushin, Inc.		(1,600	)		(250,090	)
Hirose Electric Co. Ltd.		(1,400	)		(136,967	)
Hisamitsu Pharmaceutical Co., Inc.		(1,300	)		(71,763	)
Hitachi Chemical Co. Ltd.		(2,700	)		(40,618	)
Hokuriku Electric Power Co.*		(15,400	)		(134,204	)
Ibiden Co. Ltd.		(2,900	)		(40,754	)
Isetan Mitsukoshi Holdings Ltd.		(45,300	)		(500,506	)
Iyo Bank Ltd. (The)		(21,900	)		(115,277	)
Izumi Co. Ltd.		(1,100	)		(51,167	)
J Front Retailing Co. Ltd.		(6,200	)		(70,963	)
Japan Airport Terminal Co. Ltd.		(8,400	)		(290,384	)
JGC Corp.		(25,800	)		(363,117	)
Kakaku.com, Inc.		(33,400	)		(590,805	)

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

AQR Funds Annual Report December 2018

245

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Japan - (8.7)% (continued)
Kansai Paint Co. Ltd.		(35,600	)	$	(683,780	)
Kao Corp.		(600	)		(44,411	)
Kawasaki Heavy Industries Ltd.		(1,300	)		(27,742	)
Keikyu Corp.		(28,499	)		(465,712	)
Keio Corp.		(2,700	)		(157,121	)
Keisei Electric Railway Co. Ltd.		(3,000	)		(93,993	)
Keyence Corp.		(2,100	)		(1,061,436	)
Kikkoman Corp.		(17,800	)		(952,559	)
Kintetsu Group Holdings Co. Ltd.		(1,800	)		(78,216	)
Kobayashi Pharmaceutical Co. Ltd.		(600	)		(40,689	)
Koito Manufacturing Co. Ltd.		(5,600	)		(288,924	)
Kose Corp.		(3,400	)		(534,065	)
Lawson, Inc.		(2,200	)		(139,160	)
LINE Corp. *		(7,100	)		(242,484	)
LIXIL Group Corp.		(37,800	)		(468,607	)
M3, Inc.		(35,000	)		(471,493	)
Makita Corp.		(3,300	)		(117,203	)
Marui Group Co. Ltd.		(34,900	)		(676,359	)
Matsumotokiyoshi Holdings Co. Ltd.		(1,500	)		(46,120	)
McDonald’s Holdings Co. Japan Ltd.		(900	)		(38,230	)
MEIJI Holdings Co. Ltd.		(1,200	)		(97,797	)
MISUMI Group, Inc.		(29,500	)		(621,470	)
Mitsubishi Logistics Corp.		(7,400	)		(168,148	)
Mitsui OSK Lines Ltd.		(18,700	)		(404,665	)
MonotaRO Co. Ltd.		(28,100	)		(692,703	)
Murata Manufacturing Co. Ltd.		(3,100	)		(417,724	)
Nabtesco Corp.		(12,200	)		(264,141	)
Nankai Electric Railway Co. Ltd.		(2,000	)		(52,986	)
Nidec Corp.		(17,100	)		(1,934,814	)
Nifco, Inc.		(7,300	)		(172,709	)
Nintendo Co. Ltd.		(6,800	)		(1,805,667	)
Nippon Paint Holdings Co. Ltd.		(22,900	)		(780,238	)
Nippon Shinyaku Co. Ltd.		(7,300	)		(462,685	)
Nippon Yusen KK		(7,200	)		(110,096	)
Nissin Foods Holdings Co. Ltd.		(800	)		(50,125	)
Nitori Holdings Co. Ltd.		(1,100	)		(137,764	)
Nomura Research Institute Ltd.		(1,100	)		(40,791	)
Obic Co. Ltd.		(600	)		(46,313	)
Odakyu Electric Railway Co. Ltd.		(11,900	)		(261,688	)
Oji Holdings Corp.		(7,700	)		(39,343	)
Olympus Corp.		(3,600	)		(110,105	)
Omron Corp.		(1,600	)		(58,003	)
Ono Pharmaceutical Co. Ltd.		(6,000	)		(122,524	)
Oriental Land Co. Ltd.		(2,700	)		(271,538	)
Panasonic Corp.		(16,200	)		(145,531	)
Park24 Co. Ltd.		(2,300	)		(50,649	)
PeptiDream, Inc. *		(15,700	)		(619,842	)
Persol Holdings Co. Ltd.		(43,400	)		(643,772	)
Pigeon Corp.		(18,100	)		(772,014	)
Rakuten, Inc.		(70,900	)		(475,642	)
Recruit Holdings Co. Ltd.		(15,500	)		(374,460	)
Renesas Electronics Corp. *		(83,500	)		(379,251	)
Ricoh Co. Ltd.		(33,800	)		(330,291	)
Rinnai Corp.		(800	)		(52,676	)
Rohm Co. Ltd.		(1,600	)		(102,120	)
Ryohin Keikaku Co. Ltd.		(700	)		(169,948	)
Sega Sammy Holdings, Inc.		(9,800	)		(136,619	)

INVESTMENTS	SHARES			VALUE
Japan - (8.7)% (continued)
Seibu Holdings, Inc.		(1,600	)	$	(27,830	)
Sekisui Chemical Co. Ltd.		(2,600	)		(38,651	)
Seven Bank Ltd.		(9,600	)		(27,405	)
Shikoku Electric Power Co., Inc.		(8,200	)		(98,974	)
Shimadzu Corp.		(5,100	)		(100,571	)
Shimano, Inc.		(2,700	)		(380,612	)
Shiseido Co. Ltd.		(3,200	)		(200,409	)
SMC Corp.		(100	)		(30,107	)
SoftBank Group Corp.		(4,900	)		(320,946	)
Sony Financial Holdings, Inc.		(35,500	)		(661,599	)
Sosei Group Corp. *		(3,800	)		(27,518	)
Square Enix Holdings Co. Ltd.		(1,400	)		(38,112	)
Sundrug Co. Ltd.		(1,100	)		(32,757	)
Suntory Beverage & Food Ltd.		(900	)		(40,637	)
Suruga Bank Ltd.		(7,600	)		(28,012	)
Sysmex Corp.		(4,300	)		(204,212	)
T&D Holdings, Inc.		(7,100	)		(82,129	)
TDK Corp.		(3,000	)		(210,016	)
Terumo Corp.		(10,200	)		(575,332	)
Tobu Railway Co. Ltd.		(3,800	)		(102,601	)
Tokyu Corp.		(1,700	)		(27,780	)
TOTO Ltd.		(22,100	)		(764,443	)
Toyota Industries Corp.		(1,100	)		(50,655	)
Tsuruha Holdings, Inc.		(4,700	)		(402,470	)
Unicharm Corp.		(2,700	)		(87,323	)
USS Co. Ltd.		(3,500	)		(58,724	)
Welcia Holdings Co. Ltd.		(3,700	)		(167,241	)
Yakult Honsha Co. Ltd.		(8,000	)		(560,030	)
Yamato Holdings Co. Ltd.		(26,500	)		(726,541	)
Yaskawa Electric Corp.		(55,500	)		(1,356,652	)
Yokogawa Electric Corp.		(7,000	)		(120,836	)
ZOZO, Inc.		(13,400	)		(245,502	)
					(42,514,469	)
Netherlands - (0.5)%
Aalberts Industries NV		(2,226	)		(74,033	)
Akzo Nobel NV		(879	)		(70,789	)
ALTICE EUROPE NV *		(108,654	)		(210,824	)
ASML Holding NV		(6,582	)		(1,031,134	)
Heineken NV		(445	)		(39,332	)
Koninklijke KPN NV		(252,848	)		(738,568	)
Koninklijke Vopak NV		(3,323	)		(150,693	)
OCI NV *		(4,721	)		(96,412	)
SBM Offshore NV		(11,972	)		(176,892	)
					(2,588,677	)
Norway - (0.1)%
Schibsted ASA, Class A		(9,689	)		(325,524	)
Singapore - (0.1)%
CapitaLand Ltd.		(163,500	)		(372,850	)
City Developments Ltd.		(33,700	)		(200,910	)
Jardine Cycle & Carriage Ltd.		(3,400	)		(88,022	)
Singapore Telecommunications Ltd.		(22,700	)		(48,856	)
					(710,638	)
Spain - (0.8)%
Aena SME SA (c)		(899	)		(139,679	)

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

AQR Funds Annual Report December 2018

246

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Spain - (0.8)% (continued)
Bankia SA		(52,110	)	$	(152,465	)
Cellnex Telecom SA (c)		(26,912	)		(688,234	)
Ferrovial SA		(33,150	)		(671,377	)
Grifols SA		(4,865	)		(127,715	)
Industria de Diseno Textil SA		(72,321	)		(1,845,971	)
					(3,625,441	)
Sweden - (0.3)%
Assa Abloy AB, Class B		(20,686	)		(370,420	)
Atlas Copco AB, Class A		(1,333	)		(31,803	)
Electrolux AB, Series B		(2,729	)		(57,524	)
Husqvarna AB, Class B		(7,505	)		(55,717	)
Saab AB, Class B		(2,660	)		(92,159	)
Svenska Cellulosa AB SCA, Class B		(70,913	)		(551,042	)
Telefonaktiebolaget LM Ericsson, Class B		(5,989	)		(53,014	)
					(1,211,679	)
Switzerland - (1.0)%
Bucher Industries AG (Registered)		(217	)		(58,536	)
Cie Financiere Richemont SA (Registered)		(5,974	)		(385,249	)
Credit Suisse Group AG (Registered) *		(83,895	)		(917,114	)
EMS-Chemie Holding AG (Registered)		(228	)		(108,555	)
Georg Fischer AG (Registered)		(65	)		(52,148	)
Idorsia Ltd. *		(7,815	)		(129,857	)
Julius Baer Group Ltd. *		(3,221	)		(114,785	)
Kuehne + Nagel International AG (Registered)		(750	)		(96,545	)
LafargeHolcim Ltd. (Registered) *		(28,271	)		(1,166,704	)
OC Oerlikon Corp. AG (Registered) *		(32,589	)		(366,959	)
Schindler Holding AG		(798	)		(158,445	)
Sika AG (Registered)		(488	)		(61,988	)
STMicroelectronics NV		(93,311	)		(1,315,302	)
Vifor Pharma AG		(351	)		(38,194	)
					(4,970,381	)
United Kingdom - (0.1)%
CNH Industrial NV		(65,876	)		(595,209	)

INVESTMENTS	SHARES			VALUE
Zambia - (0.1)%
First Quantum Minerals Ltd. (1)		(80,202	)	$	(648,572	)
TOTAL COMMON STOCKS (Proceeds $(86,324,953))					(76,119,510	)
TOTAL SHORT POSITIONS (Proceeds $(86,324,953))					(76,119,510	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 94.5% (Cost $445,537,213)					454,692,306
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.5% (h)					26,514,704
NET ASSETS - 100.0%				$	481,207,010

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	(1,913,601	)		(0.4	)%
Consumer Discretionary		(4,387,301	)		(0.9	)
Consumer Staples		(3,048,005	)		(0.7	)
Energy		7,141,548			1.5
Financials		16,280,171			3.4
Health Care		600,603			0.1
Industrials		(1,073,886	)		(0.2	)
Information Technology		(6,320,606	)		(1.3	)
Materials		187,567			0.0(b	)
Real Estate		(573,760	)		(0.1	)
Utilities		9,998,232			2.1
Short-Term Investments		437,801,344			91.0
Total Investments In Securities At Value		454,692,306			94.5
Other Assets in Excess of Liabilities (h)		26,514,704			5.5
Net Assets	$	481,207,010			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 $79,020,196.

(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 December 31, 2018 amounted to $741,898, which represents approximately 0.15% of net assets of the fund.

(d) Represents 7-day effective yield as of December 31, 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) All or a portion of the security pledged as collateral for swap contracts.

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

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

AQR Funds Annual Report December 2018

247

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

(i) 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 December 31, 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 12/31/18		VALUE AT 12/31/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)			NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
SHORT-TERM INVESTMENTS - 44.4%
INVESTMENT COMPANIES - 44.4%
Limited Purpose Cash Investment Fund, 2.50% (a) (Cost $213,707,117)		159,080,914	518,819,487	(464,163,296)		213,737,105		$213,737,105		$3,121,612		$(5,397	)		$29,988

(a) Represents 7-day effective yield as of December 31, 2018.

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

(1) Level 1 security Update (See note 5).

Abbreviations

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

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

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Corn March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(1,575,000

)

$29,268

iBovespa Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

02/13/2019

BRL

885,200

2,866

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 (-0.15%)

Monthly

MSCS

03/20/2019

HKD

(7,604,321

)

51,117

TAIEX Index January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

01/16/2019

TWD

(25,139,400

)

8,012

WIG20 Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

03/15/2019

PLN

(45,560

)

241

91,504

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

AQR Funds Annual Report December 2018

248

Consolidated Schedule of Investments December 31, 2018

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)

BIST 30 Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/28/2019

TRY

625,533

$ (819

)

HSCEI January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

01/30/2019

HKD

(5,556,100

)

(6,482

)

KOSPI 200 Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

03/14/2019

KRW

3,078,500,000

(3,596

)

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 (0.35%)

Increases in total return of reference entity

Monthly

JPMC

03/25/2019

USD

144,554

(3,191

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

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

Monthly

CITI

03/20/2019

ZAR

(21,017,327

)

(27,242

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.40%)

Monthly

CITI

03/20/2019

ZAR

(1,599,906

)

(2,420

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.40%)

Monthly

CITI

03/20/2019

ZAR

(3,113,151

)

(7,695

)

MSCI South Africa Net Return Index

Increases in total return of reference entity

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

Monthly

CITI

03/20/2019

ZAR

(1,668,892

)

(4,827

)

MSCI Spain Net Return Index

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

Increases in total return of reference entity

Monthly

CITI

03/22/2019

EUR

219,263

(8,773

)

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

AQR Funds Annual Report December 2018

249

Consolidated Schedule of Investments December 31, 2018

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)

MSCI Switzerland Net Return Index

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

Increases in total return of reference entity

Monthly

CITI

03/22/2019

CHF

488,526

$ (22,721

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

134,250

(4,880

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

1,834,750

(65,879

)

Swiss Market Index March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MSCS

03/15/2019

CHF

24,597,600

(630,420

)

Tel Aviv Index January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/23/2019

ILS

2,049,418

(24,681

)

(813,626

)

$(722,122

)

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		98	1/2019	EUR		$10,952,582		$(231,617	)
Brent Crude Oil		4	1/2019	USD		215,200		(27,505	)
CAC 40 10 Euro Index		59	1/2019	EUR		3,196,431		(48,628	)
IBEX 35 Index		146	1/2019	EUR		14,247,362		(344,275	)
LME Copper Base Metal		2	1/2019	USD		297,950		(11,281	)
LME Copper Base Metal		4	1/2019	USD		594,988		(37,822	)
LME Copper Base Metal		4	1/2019	USD		595,608		(23,808	)
LME Copper Base Metal		15	1/2019	USD		2,232,866		(98,949	)
MSCI Singapore Index		1	1/2019	SGD		25,071		526
Natural Gas		176	1/2019	USD		5,174,400		(1,522,300	)
WTI Crude Oil		25	1/2019	USD		1,135,250		(160,385	)
LME Copper Base Metal		5	2/2019	USD		745,438		(14,677	)
LME Copper Base Metal		5	2/2019	USD		745,781		(34,096	)
LME Copper Base Metal		5	2/2019	USD		745,710		(27,255	)
3 Month Canadian Bankers Acceptance		15	3/2019	CAD		2,685,046		7,550
3 Month Euro Euribor		183	3/2019	EUR		52,572,695		8,712
ASX 90 Day Bank Accepted Bill		47	3/2019	AUD		32,946,845		(939	)
Australia 10 Year Bond		486	3/2019	AUD		45,416,508		528,313
Australia 3 Year Bond		586	3/2019	AUD		46,315,578		188,136
Euro-Bobl		62	3/2019	EUR		9,413,757		28,589
Euro-Bund		1,002	3/2019	EUR		187,750,703		1,428,138
FTSE 100 Index		222	3/2019	GBP		18,842,386		(81,664	)
Japan 10 Year Bond		74	3/2019	JPY		102,947,128		351,090
KOSPI 200 Index		126	3/2019	KRW		7,396,487		(17,505	)

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

AQR Funds Annual Report December 2018

250

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		4		3/2019	USD		$ 597,131			$ (22,856	)
LME Copper Base Metal		5		3/2019	USD		745,740			(4,250	)
LME Copper Base Metal		6		3/2019	USD		895,988			(17,568	)
LME Copper Base Metal		46		3/2019	USD		6,862,982			(355,681	)
S&P/TSX 60 Index		54		3/2019	CAD		6,782,039			(176,726	)
SET50 Index		9		3/2019	THB		57,660			(1,055	)
Silver		107		3/2019	USD		8,313,900			511,918
Soybean		33		3/2019	USD		1,476,750			(39,089	)
SPI 200 Index		190		3/2019	AUD		18,605,228			(16,517	)
TOPIX Index		21		3/2019	JPY		2,861,503			(185,317	)
U.S. Treasury 2 Year Note		819		3/2019	USD		173,883,938			1,191,482
U.S. Treasury 5 Year Note		27		3/2019	USD		3,096,563			51,649
3 Month Canadian Bankers Acceptance		21		6/2019	CAD		3,759,641			14,155
3 Month Euro Euribor		780		6/2019	EUR		224,069,168			32,653
ASX 90 Day Bank Accepted Bill		188		6/2019	AUD		131,797,085			9,084
3 Month Canadian Bankers Acceptance		21		9/2019	CAD		3,759,449			12,973
3 Month Euro Euribor		799		9/2019	EUR		229,492,933			106,872
ASX 90 Day Bank Accepted Bill		196		9/2019	AUD		137,415,588			23,281
3 Month Canadian Bankers Acceptance		8		12/2019	CAD		1,432,098			1,590
3 Month Euro Euribor		622		12/2019	EUR		178,609,533			88,612
ASX 90 Day Bank Accepted Bill		149		12/2019	AUD		104,466,455			20,453
										1,104,011
Short Contracts
FTSE Bursa Malaysia KLCI Index		(2	)	1/2019	MYR		(40,932	)		(101	)
Hang Seng Index		(15	)	1/2019	HKD		(2,476,279	)		(12,786	)
HSCEI		(1	)	1/2019	HKD		(64,504	)		529
LME Copper Base Metal		(2	)	1/2019	USD		(297,950	)		12,045
LME Copper Base Metal		(4	)	1/2019	USD		(595,608	)		18,155
LME Copper Base Metal		(4	)	1/2019	USD		(594,988	)		35,653
LME Copper Base Metal		(15	)	1/2019	USD		(2,232,866	)		109,902
MSCI Taiwan Index		(39	)	1/2019	USD		(1,401,660	)		(28,475	)
OMXS30 Index		(375	)	1/2019	SEK		(5,958,442	)		178,502
100 oz Gold		(181	)	2/2019	USD		(23,191,530	)		(771,142	)
LME Copper Base Metal		(5	)	2/2019	USD		(745,710	)		29,003
LME Copper Base Metal		(5	)	2/2019	USD		(745,781	)		33,336
LME Copper Base Metal		(5	)	2/2019	USD		(745,438	)		13,007
3 Month Eurodollar		(85	)	3/2019	USD		(20,674,125	)		(30,002	)
3 Month Sterling		(68	)	3/2019	GBP		(10,732,259	)		(4,898	)
Canada 10 Year Bond		(204	)	3/2019	CAD		(20,437,357	)		(486,728	)
Copper		(66	)	3/2019	USD		(4,341,150	)		178,658
DAX Index		(63	)	3/2019	EUR		(19,058,821	)		388,249
EURO STOXX 50 Index		(108	)	3/2019	EUR		(3,680,057	)		84,579
Euro-Buxl		(69	)	3/2019	EUR		(14,279,230	)		(313,489	)
Euro-Schatz		(1,693	)	3/2019	EUR		(217,136,143	)		(93,989	)
FTSE/JSE Top 40 Index		(101	)	3/2019	ZAR		(3,303,463	)		(104,169	)
FTSE/MIB Index		(87	)	3/2019	EUR		(9,073,893	)		249,084
LME Copper Base Metal		(4	)	3/2019	USD		(597,131	)		21,617
LME Copper Base Metal		(5	)	3/2019	USD		(745,740	)		3,345
LME Copper Base Metal		(6	)	3/2019	USD		(895,988	)		17,190
LME Copper Base Metal		(46	)	3/2019	USD		(6,862,982	)		338,909
LME Copper Base Metal		(128	)	3/2019	USD		(19,103,200	)		756,540
Long Gilt		(223	)	3/2019	GBP		(35,009,323	)		(115,618	)
MEX BOLSA Index		(4	)	3/2019	MXN		(85,037	)		50
S&P 500 E-Mini Index		(349	)	3/2019	USD		(43,715,740	)		1,300,757
U.S. Treasury 10 Year Note		(1,207	)	3/2019	USD		(147,272,858	)		(2,131,043	)
U.S. Treasury Long Bond		(147	)	3/2019	USD		(21,462,000	)		(964,421	)

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

AQR Funds Annual Report December 2018

251

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
3 Month Eurodollar		(335	)	6/2019	USD		$ (81,501,313	)		$ (192,188	)
3 Month Sterling		(180	)	6/2019	GBP		(28,388,847	)		(7,173	)
3 Month Eurodollar		(355	)	9/2019	USD		(86,389,250	)		(282,383	)
3 Month Sterling		(207	)	9/2019	GBP		(32,632,332	)		(8,800	)
3 Month Eurodollar		(288	)	12/2019	USD		(70,092,000	)		(223,870	)
3 Month Sterling		(139	)	12/2019	GBP		(21,900,352	)		(9,552	)
										(2,011,717	)
										$(907,706	)

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	61,000	USD	15,569	CITI**		3/20/2019		$81
BRL	91,500	USD	23,354	JPMC**		3/20/2019		121
CHF	2,474,804	USD	2,521,391	CITI		3/20/2019		14,674
CHF	3,712,196	USD	3,781,252	JPMC		3/20/2019		22,830
CNY	5,691,600	USD	817,977	CITI**		3/20/2019		10,528
CNY	8,537,400	USD	1,226,966	JPMC**		3/20/2019		15,793
DKK	160,400	USD	24,662	CITI		3/20/2019		120
DKK	240,600	USD	36,996	JPMC		3/20/2019		179
EUR	402,800	USD	462,617	CITI		3/20/2019		1,869
EUR	604,200	USD	693,927	JPMC		3/20/2019		2,803
HKD	24,400	USD	3,123	CITI		3/20/2019		1
HKD	36,600	USD	4,684	JPMC		3/20/2019		1
HUF	52,000,000	USD	184,857	CITI		3/20/2019		1,712
HUF	78,000,000	USD	277,286	JPMC		3/20/2019		2,568
INR	130,400,000	USD	1,829,972	CITI**		3/20/2019		29,422
INR	195,600,000	USD	2,744,961	JPMC**		3/20/2019		44,127
JPY	125,052,000	USD	1,125,947	CITI		3/20/2019		22,054
JPY	187,578,000	USD	1,688,923	JPMC		3/20/2019		33,078
KRW	106,092,000	USD	94,783	CITI**		3/20/2019		737
KRW	159,138,000	USD	142,175	JPMC**		3/20/2019		1,105
MXN	129,443,996	USD	6,270,666	CITI		3/20/2019		238,202
MXN	194,166,004	USD	9,406,014	JPMC		3/20/2019		357,294
NOK	18,000	USD	2,073	CITI		3/20/2019		16
NOK	27,000	USD	3,109	JPMC		3/20/2019		24
PLN	4,200,000	USD	1,113,995	CITI		3/20/2019		10,308
PLN	6,300,000	USD	1,670,993	JPMC		3/20/2019		15,458
SEK	991,600	USD	110,472	CITI		3/20/2019		2,099
SEK	1,487,400	USD	165,708	JPMC		3/20/2019		3,150
SGD	675,600	USD	494,772	CITI		3/20/2019		1,786
SGD	1,013,400	USD	742,159	JPMC		3/20/2019		2,677
THB	127,600	USD	3,896	CITI		3/20/2019		31
THB	191,400	USD	5,844	JPMC		3/20/2019		46
USD	1,794,325	BRL	6,902,000	CITI**		3/20/2019		23,591
USD	2,691,484	BRL	10,353,000	JPMC**		3/20/2019		35,383
USD	2,020,403	CAD	2,695,601	CITI		3/20/2019		42,372
USD	3,030,017	CAD	4,043,399	JPMC		3/20/2019		62,971
USD	468,776	CHF	457,200	CITI		3/20/2019		259
USD	703,163	CHF	685,800	JPMC		3/20/2019		388
USD	699,624	EUR	605,974	CITI		3/20/2019		848
USD	1,049,434	EUR	908,960	JPMC		3/20/2019		1,271

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

CURRENCY PURCHASED		CURRENCY SOLD			COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	1,042,978	GBP	810,000		CITI		3/20/2019		$ 6,708
USD	1,564,465	GBP	1,215,000		JPMC		3/20/2019		10,060
USD	691,072	HKD	5,391,992		CITI		3/20/2019		917
USD	1,036,607	HKD	8,087,989		JPMC		3/20/2019		1,374
USD	2,448,536	ILS	9,036,000		CITI		3/20/2019		17,480
USD	3,672,800	ILS	13,554,000		JPMC		3/20/2019		26,215
USD	1,954,628	KRW	2,167,037,500		CITI**		3/20/2019		3,538
USD	2,931,939	KRW	3,250,556,250		JPMC**		3/20/2019		5,304
USD	8,486,033	NOK	72,142,800		CITI		3/20/2019		114,121
USD	12,729,033	NOK	108,214,200		JPMC		3/20/2019		171,165
USD	140,340	ZAR	2,000,000		CITI		3/20/2019		2,600
USD	210,510	ZAR	3,000,000		JPMC		3/20/2019		3,900
Total unrealized appreciation									1,365,359
AUD	9,633,200	USD	7,080,576		CITI		3/20/2019		(286,568	)
AUD	14,449,800	USD	10,620,877		JPMC		3/20/2019		(429,862	)
BRL	183,000	USD	47,410		CITI**		3/20/2019		(460	)
BRL	274,500	USD	71,114		JPMC**		3/20/2019		(690	)
CAD	26,578,401	USD	20,077,440		CITI		3/20/2019		(574,218	)
CAD	39,867,599	USD	30,116,196		JPMC		3/20/2019		(861,362	)
GBP	7,469,996	USD	9,600,236		CITI		3/20/2019		(43,527	)
GBP	11,205,004	USD	14,400,383		JPMC		3/20/2019		(65,311	)
HKD	1,428,556	USD	183,183	��	CITI		3/20/2019		(335	)
HKD	2,142,834	USD	274,776		JPMC		3/20/2019		(502	)
KRW	35,364,000	USD	31,933		CITI**		3/20/2019		(93	)
KRW	53,046,000	USD	47,898		JPMC**		3/20/2019		(138	)
NOK	660,800	USD	77,771		CITI		3/20/2019		(1,087	)
NOK	991,200	USD	116,656		JPMC		3/20/2019		(1,631	)
NZD	11,035,200	USD	7,577,803		CITI		3/20/2019		(161,026	)
NZD	16,552,800	USD	11,366,716		JPMC		3/20/2019		(241,553	)
TWD	1,134,400	USD	37,423		CITI**		3/20/2019		(73	)
TWD	1,701,600	USD	56,135		JPMC**		3/20/2019		(110	)
USD	1,098,452	BRL	4,302,000		CITI**		3/20/2019		(5,242	)
USD	1,647,676	BRL	6,453,000		JPMC**		3/20/2019		(7,865	)
USD	26,880,665	CHF	26,482,398		CITI		3/20/2019		(257,242	)
USD	40,320,952	CHF	39,723,602		JPMC		3/20/2019		(385,913	)
USD	150,075	CNY	1,034,674		CITI**		3/20/2019		(539	)
USD	225,112	CNY	1,552,010		JPMC**		3/20/2019		(809	)
USD	168,975	DKK	1,104,800		CITI		3/20/2019		(1,723	)
USD	253,463	DKK	1,657,200		JPMC		3/20/2019		(2,585	)
USD	16,837,135	EUR	14,681,631		CITI		3/20/2019		(92,923	)
USD	25,255,658	EUR	22,022,435		JPMC		3/20/2019		(139,417	)
USD	4,266,740	GBP	3,359,200		CITI		3/20/2019		(30,838	)
USD	6,400,195	GBP	5,038,800		JPMC		3/20/2019		(46,172	)
USD	170,181	HKD	1,329,900		CITI		3/20/2019		(42	)
USD	255,271	HKD	1,994,850		JPMC		3/20/2019		(63	)
USD	176,695	INR	12,680,000		CITI**		3/20/2019		(4,111	)
USD	265,042	INR	19,020,000		JPMC**		3/20/2019		(6,167	)
USD	3,863,921	JPY	433,281,600		CITI		3/20/2019		(113,686	)
USD	5,795,874	JPY	649,922,400		JPMC		3/20/2019		(170,535	)
USD	2,667,607	KRW	2,993,062,500		CITI**		3/20/2019		(27,194	)
USD	4,001,406	KRW	4,489,593,750		JPMC**		3/20/2019		(40,796	)
USD	58,310	NOK	506,800		CITI		3/20/2019		(503	)
USD	87,464	NOK	760,200		JPMC		3/20/2019		(754	)
USD	6,790,342	SEK	60,833,604		CITI		3/20/2019		(115,793	)
USD	10,185,499	SEK	91,250,396		JPMC		3/20/2019		(173,703	)
USD	507,677	SGD	694,800		CITI		3/20/2019		(2,992	)
USD	761,514	SGD	1,042,200		JPMC		3/20/2019		(4,489	)
USD	61,415	THB	2,020,000		CITI		3/20/2019		(751	)
USD	92,122	THB	3,030,000		JPMC		3/20/2019		(1,127	)

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

AQR Funds Annual Report December 2018

253

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	1,137,438	TWD	34,734,401	CITI**		3/20/2019		$ (6,188	)
USD	1,706,155	TWD	52,101,599	JPMC**		3/20/2019		(9,284	)
USD	246,608	ZAR	3,600,000	CITI		3/20/2019		(1,323	)
USD	369,912	ZAR	5,400,000	JPMC		3/20/2019		(1,985	)
ZAR	17,600,000	USD	1,258,071	CITI		3/20/2019		(45,962	)
ZAR	26,400,000	USD	1,887,110	JPMC		3/20/2019		(68,946	)
Total unrealized depreciation								(4,436,208	)
Net unrealized depreciation							$	(3,070,849	)

** 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 December 31, 2018

Over the Counter

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

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 (-0.07% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.

1-61 months maturity ranging from 04/13/2023 - 01/02/2024

$20,724,314

$(446,846

)

$88,437

$(358,409

)

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
Russia
Evraz plc		55,609	$	340,521	$	(3,902	)		1.1	%
United Kingdom
Aggreko plc		23,938		223,197		(10,083	)		2.8
Barratt Developments plc		127,956		754,778		(82,315	)		23.0
Bellway plc		17,921		574,986		(107,184	)		29.9

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

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254

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom (continued)
Berkeley Group Holdings plc		19,893		$	882,316		$	(54,693	)		15.3	%
BT Group plc		294,720			896,125			(37,450	)		10.4
Centrica plc		555,536			958,285			(11,242	)		3.1
Dixons Carphone plc		98,554			150,947			(42,118	)		11.8
Drax Group plc		39,289			179,744			(10,139	)		2.8
Greene King plc		30,528			205,507			19,255			(5.4	)
Howden Joinery Group plc		54,802			304,069			(20,857	)		5.8
Intermediate Capital Group plc		10,282			122,646			(10,143	)		2.8
Marks & Spencer Group plc		42,897			134,542			(20,991	)		5.9
Moneysupermarket.com Group plc		48,173			169,134			(6,857	)		1.9
National Grid plc		95,694			936,205			(48,087	)		13.4
Pennon Group plc		18,988			167,853			(6,675	)		1.9
Persimmon plc		23,424			576,835			(150,992	)		42.1
Royal Mail plc		196,362			681,550			(433,771	)		121.0
RPC Group plc		17,590			146,232			(17,447	)		4.9
Severn Trent plc		8,297			192,330			(3,882	)		1.1
Taylor Wimpey plc		247,346			430,100			(86,387	)		24.1
United Utilities Group plc		20,311			190,974			(2,956	)		0.8
WH Smith plc		7,717			169,285			(25,659	)		7.2
Short Positions
Common Stock
Australia
Rio Tinto plc		(3,828	)		(183,332	)		(2,973	)		0.8
Chile
Antofagasta plc		(40,585	)		(405,912	)		19,099			(5.3	)
Netherlands
Royal Dutch Shell plc		(5,212	)		(153,404	)		905			(0.3	)
South Africa
Old Mutual Ltd.		(319,361	)		(476,262	)		151,602			(42.3	)
Switzerland
Glencore plc		(215,629	)		(801,723	)		41,382			(11.5	)
United Arab Emirates
NMC Health plc		(11,686	)		(407,856	)		84,536			(23.6	)
United Kingdom
Aviva plc		(68,667	)		(328,640	)		806			(0.2	)
BP plc		(49,825	)		(314,978	)		24,465			(6.8	)
British American Tobacco plc		(10,513	)		(334,513	)		59,194			(16.5	)
Capita plc		(366,852	)		(525,934	)		91,980			(25.7	)
Compass Group plc		(5,332	)		(112,211	)		(789	)		0.2
ConvaTec Group plc		(62,266	)		(110,292	)		51,332			(14.3	)
Diageo plc		(16,459	)		(588,153	)		185			(0.1	)
Experian plc		(6,838	)		(165,766	)		306			(0.1	)
Hargreaves Lansdown plc		(14,620	)		(344,813	)		7,894			(2.2	)
Hiscox Ltd.		(7,409	)		(153,133	)		2,784			(0.8	)
HSBC Holdings plc		(25,392	)		(209,477	)		(1,220	)		0.3
IMI plc		(10,378	)		(124,978	)		7,569			(2.1	)
Informa plc		(23,180	)		(186,060	)		7,872			(2.2	)
InterContinental Hotels Group plc		(2,014	)		(108,943	)		(1,512	)		0.4
Melrose Industries plc		(616,052	)		(1,286,997	)		189,437			(52.9	)
Prudential plc		(9,245	)		(165,083	)		13,245			(3.7	)
Rentokil Initial plc		(101,893	)		(438,343	)		(11,027	)		3.1
RSA Insurance Group plc		(51,519	)		(338,107	)		21,794			(6.1	)
St James’s Place plc		(14,021	)		(168,866	)		17,023			(4.7	)
Standard Chartered plc		(33,540	)		(260,662	)		33,837			(9.4	)
Standard Life Aberdeen plc		(81,325	)		(266,286	)		58,717			(16.4	)

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

AQR Funds Annual Report December 2018

255

Consolidated Schedule of Investments December 31, 2018

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 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.	54-61 months maturity ranging from 04/12/2023 - 1/02/2024		$395,110,865		$4,539,384		$727,486		$5,266,870

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.		18,212	$	1,678,964	$	(36,826	)		(0.7	)%
Aflac, Inc.		44,180		2,012,841		83,886			1.6
Alphabet, Inc.		1,973		2,061,706		(170,320	)		(3.2	)
Amgen, Inc.		13,239		2,577,236		36,790			0.7
Anthem, Inc.		9,034		2,372,599		253,953			4.8
Biogen, Inc.		10,643		3,202,692		167,055			3.2
Booking Holdings, Inc.		1,292		2,225,367		(301,801	)		(5.7	)
Charles River Laboratories International, Inc.		17,314		1,959,599		27,871			0.5
Cigna Corp.		10,808		2,052,655		11,973			0.2
Cisco Systems, Inc.		46,007		1,993,483		(163,719	)		(3.1	)
Consolidated Edison, Inc.		35,383		2,705,384		(32,308	)		(0.6	)
Estee Lauder Cos., Inc. (The)		12,995		1,690,650		(208,694	)		(4.0	)
Exelon Corp.		49,700		2,241,470		171,498			3.3
Facebook, Inc.		13,399		1,756,475		(255,752	)		(4.9	)
Gilead Sciences, Inc.		29,713		1,858,548		(296,701	)		(5.6	)
HCA Healthcare, Inc.		14,685		1,827,548		(153,365	)		(2.9	)
HollyFrontier Corp.		35,857		1,833,010		(219,174	)		(4.2	)
Humana, Inc.		6,310		1,807,689		(17,160	)		(0.3	)
Huntington Ingalls Industries, Inc.		10,102		1,922,512		(638,401	)		(12.1	)
IQVIA Holdings, Inc.		18,651		2,166,687		356,295			6.8
Kohl’s Corp.		36,832		2,443,435		(89,633	)		(1.7	)
Macy’s, Inc.		78,088		2,325,461		(406,195	)		(7.7	)
Merck & Co., Inc.		30,382		2,321,489		52,355			1.0
Micron Technology, Inc.		116,667		3,701,844		(798,007	)		(15.2	)
Microsoft Corp.		20,661		2,098,538		(189,513	)		(3.6	)
PBF Energy, Inc.		60,108		1,963,728		(233,100	)		(4.4	)
Pfizer, Inc.		53,107		2,318,121		185,765			3.5
Raytheon Co.		12,140		1,861,669		(686,023	)		(13.0	)
Thermo Fisher Scientific, Inc.		12,821		2,869,212		(121,830	)		(2.3	)
United Therapeutics Corp.		16,509		1,797,830		(55,431	)		(1.1	)
Verizon Communications, Inc.		66,189		3,721,146		4,987			0.1
Viacom, Inc.		84,144		2,162,501		(339,661	)		(6.4	)

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

AQR Funds Annual Report December 2018

256

Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
United States
American International Group, Inc.		(51,442	)	$	(2,027,329	)	$	426,404			8.1	%
Cheniere Energy, Inc.		(53,494	)		(3,166,310	)		(24,665	)		(0.5	)
Crown Holdings, Inc.		(42,758	)		(1,777,450	)		64,546			1.2
First Data Corp.		(167,946	)		(2,839,967	)		(218,330	)		(4.1	)
FirstEnergy Corp.		(68,844	)		(2,585,092	)		(196,923	)		(3.7	)
General Electric Co.		(405,605	)		(3,070,430	)		260,574			4.9
Kraft Heinz Co. (The)		(48,779	)		(2,099,448	)		397,672			7.6
Martin Marietta Materials, Inc.		(14,510	)		(2,493,834	)		312,205			5.9
Monster Beverage Corp.		(36,288	)		(1,786,095	)		203,663			3.9
Newell Brands, Inc.		(98,759	)		(1,835,930	)		321,585			6.1
ONEOK, Inc.		(50,742	)		(2,737,531	)		372,843			7.1
Schlumberger Ltd.		(54,841	)		(1,978,663	)		634,645			12.0
Sealed Air Corp.		(89,253	)		(3,109,575	)		429,801			8.2
Targa Resources Corp.		(64,091	)		(2,308,558	)		615,895			11.7
Tesla, Inc.		(12,111	)		(4,030,541	)		(212,813	)		(4.0	)
Vulcan Materials Co.		(21,642	)		(2,138,230	)		272,110			5.2
Williams Cos., Inc. (The)		(105,009	)		(2,315,448	)		432,634			8.2
Zayo Group Holdings, Inc.		(80,011	)		(1,827,451	)		915,611			17.4

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 HIBOR or HONIX plus or minus a specified spread (-0.04% 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 - 12/06/2023		$6,408,982		$85,236		$(7,615	)		$77,621

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.		41,000	$	393,527	$	(77,907	)		(100.4	)%
CLP Holdings Ltd.		71,500		808,014		41,084			52.9
Henderson Land Development Co. Ltd.		66,900		332,965		(30,374	)		(39.1	)
Hong Kong & China Gas Co. Ltd.		60,300		124,583		5,860			7.5
Kerry Properties Ltd.		29,000		98,980		(7,394	)		(9.5	)
Li & Fung Ltd.		224,000		35,344		(27,305	)		(35.2	)
Lifestyle International Holdings Ltd.		95,000		144,016		(41,305	)		(53.2	)
Melco International Development Ltd.		28,000		56,778		(21,354	)		(27.5	)
New World Development Co. Ltd.		96,000		126,794		(5,037	)		(6.5	)
Sino Land Co. Ltd.		66,000		113,076		(307	)		(0.4	)
Sun Hung Kai Properties Ltd.		13,000		185,531		(3,996	)		(5.1	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Hong Kong (continued)
Swire Properties Ltd.		72,800		$	255,793		$	(14,381	)		(18.5	) %
Xinyi Glass Holdings Ltd.		48,000			53,023			(59	)		(0.1	)
Yue Yuen Industrial Holdings Ltd.		83,500			267,308			21,252			27.4
Macau
SJM Holdings Ltd.		187,000			173,744			(3,224	)		(4.2	)
Short Positions
Common Stock
China
Minth Group Ltd.		(108,000	)		(348,513	)		74,621			96.1
Hong Kong
AIA Group Ltd.		(231,600	)		(1,923,858	)		57,930			74.6
ASM Pacific Technology Ltd.		(29,000	)		(279,971	)		44,686			57.6
Power Assets Holdings Ltd.		(22,000	)		(152,843	)		(2,347	)		(3.0	)
Techtronic Industries Co. Ltd.		(37,000	)		(196,347	)		15,405			19.8
Wharf Holdings Ltd. (The)		(25,000	)		(65,178	)		633			0.8
Wharf Real Estate Investment Co. Ltd.		(5,000	)		(29,905	)		3,343			4.3
United States
Samsonite International SA		(85,500	)		(242,891	)		55,412			71.4

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 BBR or AOISR plus or minus a specified spread (-0.08% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap.	58-61 months maturity ranging from 04/13/2023 - 01/02/2024		$6,385,695		$258,779		$(24,705	)		$234,074

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
AGL Energy Ltd.		63,746	$	925,734	$	42,609			18.2	%
Ansell Ltd.		1,890		29,361		(2,879	)		(1.2	)
BlueScope Steel Ltd.		26,841		207,055		(13,461	)		(5.8	)
CIMIC Group Ltd.		1,157		35,381		1,199			0.5
Crown Resorts Ltd.		6,290		52,567		(10,197	)		(4.4	)
Flight Centre Travel Group Ltd.		1,517		45,877		(21,840	)		(9.3	)
Harvey Norman Holdings Ltd.		106,702		237,506		(22,396	)		(9.6	)
Iluka Resources Ltd.		5,386		28,939		705			0.3
Newcrest Mining Ltd.		25,046		384,934		25,337			10.8
Santos Ltd.		57,639		222,292		(26,886	)		(11.5	)
South32 Ltd.		46,147		109,775		100			0.0
Telstra Corp. Ltd.		305,572		613,241		(23,383	)		(10.0	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Australia (continued)
Wesfarmers Ltd.		4,596		$	104,415		$	(15,935	)		(6.8	) %
Woodside Petroleum Ltd.		9,395			206,948			11,164			4.8
Short Positions
Common Stock
Australia
AMP Ltd.		(267,524	)		(461,819	)		157,959			67.5
APA Group		(12,564	)		(75,260	)		2,744			1.2
Caltex Australia Ltd.		(1,604	)		(28,778	)		2,012			0.9
Challenger Ltd.		(54,452	)		(364,046	)		42,582			18.2
Domino’s Pizza Enterprises Ltd.		(1,451	)		(41,567	)		9,398			4.0
LendLease Group		(9,564	)		(78,350	)		409			0.2
Medibank Pvt Ltd.		(56,901	)		(103,013	)		(5,247	)		(2.2	)
Origin Energy Ltd.		(85,482	)		(389,937	)		33,961			14.5
QBE Insurance Group Ltd.		(52,353	)		(372,785	)		6,745			2.9
SEEK Ltd.		(24,170	)		(288,352	)		36,410			15.6
Sydney Airport		(20,985	)		(99,507	)		2,069			0.9
Transurban Group		(25,248	)		(207,224	)		(3,710	)		(1.6	)
Treasury Wine Estates Ltd.		(19,503	)		(203,373	)		(3,867	)		(1.7	)
Ireland
James Hardie Industries plc		(42,925	)		(467,659	)		33,177			14.2

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 EURIBOR or EONIA plus or minus a specified spread (-0.20% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.

1-61 months maturity ranging from 01/10/2019 - 01/02/2024

$32,764,958

$(407,246

)

$2,738

$(404,508

)

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
AXA SA		91,586	$	1,976,601	$	(216,759	)		53.6	%
CNP Assurances		17,376		368,832		(38,251	)		9.5
Electricite de France SA		71,932		1,138,458		(10,240	)		2.5
Engie SA		45,331		651,313		(78,272	)		19.3
Eutelsat Communications SA		10,704		210,881		(14,556	)		3.6
Peugeot SA		64,618		1,378,161		(49,055	)		12.1
Renault SA		14,221		885,871		(581,075	)		143.6
Societe Generale SA		13,015		412,635		(108,979	)		26.9
Suez		13,304		176,047		(6,893	)		1.7
TOTAL SA		42,917		2,263,662		(185,503	)		45.9

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Germanyadidas AG		601		$	125,602		$	(21,864	)		5.4	%
Allianz SE (Registered)		6,671			1,340,573			(123,086	)		30.4
Covestro AG		15,817			783,329			(618,557	)		152.9
Germany
E.ON SE		129,969			1,282,966			(48,778	)		12.1
Hannover Rueck SE		5,091			686,115			11,617			(2.9	)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		3,251			709,039			7,688			(1.9	)
Salzgitter AG		7,293			212,834			(76,772	)		19.0
Software AG		3,485			125,897			(45,255	)		11.2
Suedzucker AG		9,821			127,279			(24,147	)		6.0
Talanx AG		5,731			195,707			(35,180	)		8.7
Volkswagen AG (Preference)		8,905			1,419,953			(112,227	)		27.7
Luxembourg
SES SA		10,807			206,912			(23,300	)		5.8
United Kingdom
Dialog Semiconductor plc		10,316			267,325			(5,081	)		1.3
Short Positions
Common Stock
France
Accor SA		(9,786	)		(416,144	)		66,775			(16.5	)
Airbus SE		(10,788	)		(1,028,526	)		159,297			(39.4	)
Altran Technologies SA		(27,227	)		(218,827	)		24,487			(6.1	)
Bollore SA		(82,894	)		(332,343	)		56,503			(14.0	)
Dassault Systemes SE		(2,454	)		(291,486	)		2,546			(0.6	)
Edenred		(25,156	)		(926,469	)		(105,459	)		26.1
Faurecia SA		(3,317	)		(125,155	)		54,114			(13.4	)
Iliad SA		(7,820	)		(1,097,479	)		110,135			(27.2	)
Ingenico Group SA		(8,857	)		(502,435	)		165,535			(40.9	)
JCDecaux SA		(5,341	)		(150,056	)		24,274			(6.0	)
L’Oreal SA		(1,330	)		(304,336	)		5,528			(1.4	)
Orpea		(1,256	)		(128,286	)		4,419			(1.1	)
Remy Cointreau SA		(4,202	)		(476,291	)		43,061			(10.6	)
Valeo SA		(36,025	)		(1,050,691	)		175,506			(43.4	)
Vivendi SA		(14,472	)		(350,762	)		2,281			(0.6	)
Germany
1&1 Drillisch AG		(3,252	)		(166,084	)		(17,808	)		4.4
CECONOMY AG		(56,198	)		(202,693	)		105,451			(26.1	)
Continental AG		(2,419	)		(336,812	)		44,779			(11.1	)
Delivery Hero SE		(5,879	)		(219,487	)		(2,558	)		0.6
Deutsche Bank AG (Registered)		(257,717	)		(2,055,341	)		865,383			(213.9	)
Deutsche Telekom AG (Registered)		(24,930	)		(423,728	)		(39,151	)		9.7
GEA Group AG		(13,833	)		(356,140	)		89,421			(22.1	)
Infineon Technologies AG		(75,257	)		(1,506,771	)		48,881			(12.1	)
KION Group AG		(2,671	)		(135,830	)		10,954			(2.7	)
Telefonica Deutschland Holding AG		(91,009	)		(358,204	)		30,374			(7.5	)
United Internet AG (Registered)		(7,529	)		(329,534	)		2,941			(0.7	)
Zalando SE		(14,294	)		(369,335	)		63,249			(15.6	)

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

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Consolidated Schedule of Investments December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV FUND

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

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BARC
Cash		$—			$7,719,606		$7,719,606
CITI
Cash		3,175,832			—		3,175,832
GSCO
Cash		—			2,421,494		2,421,494
GSIN
Cash		(4,514,126	)		—		(4,514,126	)
U.S. Treasury Bills		36,738,865			—		36,738,865
JPMC
Investment Companies		6,582,874			—		6,582,874
JPMS
Cash		—			3,547,190		3,547,190
MSCL
Cash		—			3,098,422		3,098,422
MSCS
U.S. Treasury Bills		5,240,067			—		5,240,067

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Cash		$99,265		$—		$99,265
GSCO
Cash		—		180,628		180,628
GSIN
Investment Companies		30,188		—		30,188
JPPC
Cash		—		815,538		815,538
MACQ
U.S. Treasury Bills		109,318		—		109,318
MSCL
Cash		—		3,249,194		3,249,194

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

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261

Schedule of Investments December 31, 2018

AQR VOLATILITY RISK PREMIUM FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 45.7%
Australia - 0.8%
BHP Group Ltd. (2)		446	$	10,780
Caltex Australia Ltd. (2)		359		6,441
CIMIC Group Ltd. (2)		527		16,116
Dexus, REIT (2)		458		3,428
Flight Centre Travel Group Ltd. (2)		48		1,452
Goodman Group, REIT (2)		1,206		9,034
Origin Energy Ltd. (2)*		308		1,405
Rio Tinto plc (2)		419		20,067
Scentre Group, REIT (2)		1,888		5,190
Wesfarmers Ltd. (2)		91		2,067
Woodside Petroleum Ltd. (2)		578		12,732
				88,712
Belgium - 0.2%
UCB SA (2)		216		17,642
Canada - 1.0%
Alimentation Couche-Tard, Inc., Class B		362		18,006
Canadian National Railway Co.		77		5,703
CGI Group, Inc., Class A *		236		14,435
Constellation Software, Inc.		27		17,283
Empire Co. Ltd., Class A		243		5,132
Husky Energy, Inc.		857		8,858
Magna International, Inc.		306		13,890
Methanex Corp.		267		12,842
Open Text Corp.		128		4,172
RioCan REIT		122		2,127
Toronto-Dominion Bank (The)		30		1,491
West Fraser Timber Co. Ltd.		76		3,754
				107,693
Denmark - 0.6%
H Lundbeck A/S (2)		536		23,591
Novo Nordisk A/S, Class B (2)		925		42,482
Pandora A/S (2)		30		1,225
				67,298
Finland - 0.5%
Neste OYJ (2)		611		47,306
Nokia OYJ (2)		557		3,233
				50,539
France - 1.6%
Atos SE (2)		20		1,639
AXA SA (2)		1,584		34,185
BNP Paribas SA (2)		156		7,045
CNP Assurances (2)		469		9,955
Dassault Aviation SA (2)		2		2,774
Electricite de France SA (2)		1,175		18,597
Hermes International (2)		21		11,667
Kering SA (2)		51		23,892
Klepierre SA, REIT (2)		79		2,441
Peugeot SA (2)		292		6,228
TOTAL SA (2)		612		32,280
Unibail-Rodamco-Westfield, REIT (2)		110		17,022
				167,725

INVESTMENTS	SHARES		VALUE
Germany - 1.1%
Allianz SE (Registered) (2)		265	$	53,253
E.ON SE (2)		2,738		27,028
SAP SE (2)		349		34,638
Volkswagen AG (Preference) (2)		18		2,870
Wirecard AG (2)		10		1,508
				119,297
Hong Kong - 0.4%
CK Asset Holdings Ltd. (2)		500		3,658
Kerry Properties Ltd. (2)		3,000		10,239
Link REIT (2)		500		5,069
Sun Hung Kai Properties Ltd. (2)		500		7,136
Swire Properties Ltd. (2)		3,600		12,649
WH Group Ltd. (2)(a)		2,000		1,536
				40,287
Italy - 0.8%
Enel SpA (2)		4,158		24,105
Eni SpA (2)		2,822		44,580
Moncler SpA (2)		367		12,213
				80,898
Japan - 3.3%
Astellas Pharma, Inc. (2)		400		5,111
Bandai Namco Holdings, Inc. (2)		100		4,490
Dai-ichi Life Holdings, Inc. (2)		1,100		17,083
Hitachi Ltd. (2)		400		10,604
Inpex Corp. (2)		500		4,430
ITOCHU Corp. (2)		500		8,491
Japan Airlines Co. Ltd. (2)		400		14,176
Japan Retail Fund Investment Corp., REIT (2)		1		1,996
JFE Holdings, Inc. (2)		400		6,371
JXTG Holdings, Inc. (2)		4,300		22,332
Kobe Steel Ltd. (2)		1,000		6,931
Marubeni Corp. (2)		800		5,613
Mitsubishi Corp. (2)		800		21,933
Mitsubishi Motors Corp. (2)		2,300		12,525
Mitsubishi UFJ Financial Group, Inc. (2)		2,100		10,306
Mitsui & Co. Ltd. (2)		1,400		21,509
Mizuho Financial Group, Inc. (2)		2,800		4,332
Nippon Telegraph & Telephone Corp. (2)		400		16,320
ORIX Corp. (2)		100		1,461
Resona Holdings, Inc. (2)		6,700		32,136
Shinsei Bank Ltd. (2)		1,200		14,266
Sony Corp. (2)		400		19,284
Sumitomo Corp. (2)		1,200		17,027
Sumitomo Heavy Industries Ltd. (2)		100		2,965
Sumitomo Mitsui Financial Group, Inc. (2)		500		16,483
Sumitomo Mitsui Trust Holdings, Inc. (2)		300		10,925
Taiheiyo Cement Corp. (2)		200		6,155
THK Co. Ltd. (2)		300		5,605
Tokio Marine Holdings, Inc. (2)		400		19,003
Tokyo Electric Power Co. Holdings, Inc. (2)*		3,000		17,820
Tosoh Corp. (2)		200		2,594
				360,277
Luxembourg - 0.3%
SES SA, FDR (2)		1,607		30,768

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

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262

Schedule of Investments December 31, 2018

AQR VOLATILITY RISK PREMIUM FUND

INVESTMENTS	SHARES		VALUE
Netherlands - 1.5%
ING Groep NV (2)		533	$	5,733
Koninklijke Ahold Delhaize NV (2)		3,090		78,060
NN Group NV (2)		576		22,901
Royal Dutch Shell plc, Class A (2)		1,047		30,816
Royal Dutch Shell plc, Class B (2)		505		15,098
Wolters Kluwer NV (2)		64		3,764
				156,372
Singapore - 0.1%
ComfortDelGro Corp. Ltd. (2)		9,200		14,532
South Africa - 0.1%
Anglo American plc (2)		292		6,529
Spain - 0.4%
Banco Bilbao Vizcaya Argentaria SA (2)		6,164		32,743
CaixaBank SA (2)		2,709		9,810
				42,553
Sweden - 0.8%
Swedish Match AB (2)		455		17,912
Telefonaktiebolaget LM Ericsson, Class B (2)		4,834		42,791
Telia Co. AB (2)		5,553		26,415
				87,118
Switzerland - 1.9%
Adecco Group AG (Registered) (2)		482		22,655
Novartis AG (Registered) (2)		110		9,421
Roche Holding AG (2)		335		83,167
Sonova Holding AG (Registered) (2)		127		20,885
Swiss Life Holding AG (Registered) (2)		60		23,158
Zurich Insurance Group AG (2)*		136		40,540
				199,826
United Kingdom - 2.2%
Aviva plc (2)		2,262		10,826
Barclays plc (2)		8,119		15,534
BP plc (2)		8,979		56,763
BT Group plc (2)		7,533		22,905
Burberry Group plc (2)		673		14,778
Centrica plc (2)		22,295		38,459
Fiat Chrysler Automobiles NV (2)*		660		9,516
GlaxoSmithKline plc (2)		662		12,616
International Consolidated Airlines Group SA (2)		4,298		34,073
RELX plc (2)		269		5,547
Royal Bank of Scotland Group plc (2)		1,497		4,153
Standard Life Aberdeen plc (2)		2,210		7,236
Unilever plc (2)		171		8,978
				241,384
United States - 28.1%
AbbVie, Inc.		126		11,616
ABIOMED, Inc. *		46		14,952
Adobe, Inc. *		272		61,537
Advance Auto Parts, Inc.		27		4,251
AES Corp.		2,413		34,892
Aflac, Inc.		61		2,779
Allergan plc		66		8,822
Allstate Corp. (The)		404		33,383

INVESTMENTS	SHARES		VALUE
United States - 28.1% (continued)
Alphabet, Inc., Class A *		39	$	40,753
Alphabet, Inc., Class C *		42		43,496
Amazon.com, Inc. *		58		87,114
American Tower Corp., REIT		43		6,802
Amgen, Inc.		50		9,734
Anadarko Petroleum Corp.		218		9,557
Annaly Capital Management, Inc., REIT		1,264		12,412
Anthem, Inc.		180		47,273
Apple, Inc.		540		85,180
Applied Materials, Inc.		196		6,417
AT&T, Inc.		124		3,539
AutoZone, Inc. *		15		12,575
Bausch Health Cos., Inc. *		292		5,401
Berkshire Hathaway, Inc., Class B *		174		35,527
Biogen, Inc. *		179		53,865
Boeing Co. (The)		155		49,988
Boston Scientific Corp. *		112		3,958
Bristol-Myers Squibb Co.		1,282		66,638
Broadridge Financial Solutions, Inc.		16		1,540
Cardinal Health, Inc.		134		5,976
Celgene Corp. *		473		30,315
Centene Corp. *		290		33,437
Chevron Corp.		126		13,708
Chipotle Mexican Grill, Inc. *		37		15,976
Cigna Corp.		71		13,484
Cisco Systems, Inc.		764		33,104
Cognizant Technology Solutions Corp., Class A		421		26,725
Comcast Corp., Class A		1,251		42,597
ConocoPhillips		302		18,830
Costco Wholesale Corp.		364		74,150
Crown Castle International Corp., REIT		37		4,019
CSX Corp.		64		3,976
CVS Health Corp.		37		2,424
Darden Restaurants, Inc.		199		19,872
Dell Technologies, Inc., Class C *		125		6,109
Delta Air Lines, Inc.		708		35,329
Edwards Lifesciences Corp. *		34		5,208
Electronic Arts, Inc. *		184		14,519
Eli Lilly & Co.		315		36,452
Exelon Corp.		586		26,429
Exxon Mobil Corp.		76		5,182
Facebook, Inc., Class A *		547		71,706
First Data Corp., Class A *		416		7,035
Fortinet, Inc. *		296		20,847
Gap, Inc. (The)		1,008		25,966
Gilead Sciences, Inc.		186		11,634
HCA Healthcare, Inc.		321		39,948
HollyFrontier Corp.		512		26,173
Home Depot, Inc. (The)		274		47,079
HP, Inc.		1,137		23,263
Humana, Inc.		262		75,058
IAC/InterActiveCorp *		118		21,599
Intel Corp.		1,207		56,645
Intuit, Inc.		207		40,748
Johnson & Johnson		168		21,680
JPMorgan Chase & Co.		15		1,464
Kroger Co. (The)		818		22,495
L Brands, Inc.		535		13,733

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

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INVESTMENTS	SHARES		VALUE
United States - 28.1% (continued)
Laboratory Corp. of America Holdings *		48	$	6,065
Lincoln National Corp.		54		2,771
Lockheed Martin Corp.		5		1,309
Lowe’s Cos., Inc.		512		47,288
Lululemon Athletica, Inc. *		73		8,878
Macy’s, Inc.		764		22,752
ManpowerGroup, Inc.		351		22,745
Marathon Petroleum Corp.		794		46,854
Mastercard, Inc., Class A		177		33,391
McKesson Corp.		312		34,467
Medtronic plc		16		1,455
Merck & Co., Inc.		663		50,660
Michael Kors Holdings Ltd. *		115		4,361
Micron Technology, Inc. *		551		17,483
Microsoft Corp.		1,748		177,543
Mylan NV *		139		3,809
NIKE, Inc., Class B		770		57,088
Oracle Corp.		259		11,694
O’Reilly Automotive, Inc. *		24		8,264
PepsiCo, Inc.		105		11,600
Pfizer, Inc.		2,298		100,308
Philip Morris International, Inc.		437		29,174
Phillips 66		228		19,642
PNC Financial Services Group, Inc. (The)		327		38,230
Progressive Corp. (The)		146		8,808
Prologis, Inc., REIT		140		8,221
Public Service Enterprise Group, Inc.		267		13,897
Public Storage, REIT		22		4,453
Ralph Lauren Corp.		228		23,589
Robert Half International, Inc.		328		18,762
Ross Stores, Inc.		20		1,664
S&P Global, Inc.		34		5,778
Seagate Technology plc		179		6,908
Shire plc (2)		124		7,215
Simon Property Group, Inc., REIT		80		13,439
Southwest Airlines Co.		1,517		70,510
Steel Dynamics, Inc.		683		20,517
Symantec Corp.		783		14,795
Synchrony Financial		963		22,592
Texas Instruments, Inc.		241		22,775
TJX Cos., Inc. (The)		131		5,861
Twenty-First Century Fox, Inc., Class A		146		7,026
Tyson Foods, Inc., Class A		55		2,937
Ulta Beauty, Inc. *		6		1,469
United Continental Holdings, Inc. *		324		27,129
United Therapeutics Corp. *		254		27,661
Valero Energy Corp.		311		23,316
Verizon Communications, Inc.		170		9,557
Viacom, Inc., Class B		265		6,811
Walgreens Boots Alliance, Inc.		342		23,369
Walmart, Inc.		960		89,424
Walt Disney Co. (The)		86		9,430
Waste Management, Inc.		68		6,051
Welltower, Inc., REIT		23		1,596
Zoetis, Inc.		232		19,845
				3,032,131
TOTAL COMMON STOCKS (Cost $5,291,933)				4,911,581

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 41.8%
INVESTMENT COMPANIES - 41.8%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (b)		8,292	$	8,292
Limited Purpose Cash Investment Fund, 2.50% (b)		4,495,370		4,495,370
TOTAL SHORT-TERM INVESTMENTS (Cost $4,503,217)				4,503,662
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 87.5% (Cost $9,795,150)				9,415,243
OTHER ASSETS IN EXCESS OF LIABILITIES - 12.5% (c)			1,349,554
NET ASSETS - 100.0%			$	10,764,797

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	367,440		3.4	%
Consumer Discretionary		543,877		5.1
Consumer Staples		382,775		3.5
Energy		446,302		4.1
Financials		568,304		5.3
Health Care		964,275		9.0
Industrials		438,281		4.1
Information Technology		784,040		7.3
Materials		96,541		0.9
Real Estate		118,520		1.1
Utilities		201,226		1.9
Short-Term Investments		4,503,662		41.8
Total Investments In Securities At Value		9,415,243		87.5
Other Assets in Excess of Liabilities (c)		1,349,554		12.5
Net Assets	$	10,764,797		100.0	%

* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at December 31, 2018 amounted to $1,536, which represents approximately 0.01% of net assets of the fund.

(b) Represents7-day effective yield as of December 31, 2018.

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

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

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Abbreviations

FDR - Fiduciary Depositary Receipt

OYJ - Public Traded Company

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

REIT - Real Estate Investment Trust

Written Call Options Contracts as of December 31, 2018:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		3,000.00		2/15/2019		$(1,790	)
EURO STOXX 50 Index	JPMS		1	EUR		(30,014	)	EUR		3,050.00		2/15/2019		(621	)
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		162.00		1/25/2019		(988	)
Euro-Bund	JPMS		2	EUR		(200,000	)	EUR		162.50		1/25/2019		(1,591	)
Euro-Bund	JPMS		2	EUR		(200,000	)	EUR		163.00		1/25/2019		(1,249	)
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		163.50		2/22/2019		169
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		163.50		2/22/2019		(103	)
Euro-Bund	JPMS		2	EUR		(200,000	)	EUR		164.00		2/22/2019		(161	)
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		164.50		1/25/2019		34
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		164.50		2/22/2019		(34	)
Euro-Bund	JPMS		2	EUR		(200,000	)	EUR		165.00		2/22/2019		(92	)
Nikkei 225 Index	JPMS		1	JPY		(20,014,770	)	JPY		20,375.00		1/11/2019		(2,509	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,465.00		2/15/2019		(10,360	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,490.00		2/15/2019		(8,950	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,585.00		2/15/2019		(4,290	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,610.00		2/15/2019		(3,180	)
U.S. Treasury 10 Year Note	JPMS		7	USD		(700,000	)	USD		119.50		1/25/2019		(17,827	)
U.S. Treasury 10 Year Note	JPMS		6	USD		(600,000	)	USD		120.00		1/25/2019		(12,374	)
U.S. Treasury 10 Year Note	JPMS		1	USD		(100,000	)	USD		120.50		1/25/2019		(1,609	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		120.50		2/22/2019		(3,500	)
U.S. Treasury 10 Year Note	JPMS		4	USD		(400,000	)	USD		121.00		2/22/2019		(5,438	)
U.S. Treasury 10 Year Note	JPMS		4	USD		(400,000	)	USD		121.50		2/22/2019		(4,125	)
														$(80,588	)

Written Put Options Contracts as of December 31, 2018:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		2,775.00		2/15/2019		$(804	)
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		2,850.00		1/18/2019		(516	)
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		2,875.00		1/18/2019		(623	)
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		2,875.00		2/15/2019		(1,292	)
EURO STOXX 50 Index	JPMS		4	EUR		(120,057	)	EUR		2,925.00		1/18/2019		(1,815	)
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		2,925.00		2/15/2019		(1,636	)
EURO STOXX 50 Index	JPMS		6	EUR		(180,085	)	EUR		2,950.00		1/18/2019		(3,272	)
EURO STOXX 50 Index	JPMS		1	EUR		(30,014	)	EUR		2,975.00		1/18/2019		(653	)
EURO STOXX 50 Index	JPMS		1	EUR		(30,014	)	EUR		2,975.00		2/15/2019		(1,035	)
EURO STOXX 50 Index	JPMS		2	EUR		(60,028	)	EUR		3,000.00		1/18/2019		(1,556	)
EURO STOXX 50 Index	JPMS		4	EUR		(120,057	)	EUR		3,025.00		1/18/2019		(3,694	)
EURO STOXX 50 Index	JPMS		1	EUR		(30,014	)	EUR		3,050.00		1/18/2019		(1,090	)
Euro-Bund	JPMS		5	EUR		(500,000	)	EUR		161.00		1/25/2019		2,850

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

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DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		161.50		2/22/2019		$ 307
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		162.00		1/25/2019		658
Euro-Bund	JPMS		4	EUR		(400,000	)	EUR		162.00		2/22/2019		552
Euro-Bund	JPMS		1	EUR		(100,000	)	EUR		162.50		1/25/2019		795
Euro-Bund	JPMS		2	EUR		(200,000	)	EUR		162.50		2/22/2019		344
FTSE 100 Index	JPMS		2	GBP		(134,563	)	GBP		6,350.00		1/18/2019		(828	)
FTSE 100 Index	JPMS		1	GBP		(67,281	)	GBP		6,550.00		1/18/2019		(867	)
Nikkei 225 Index	JPMS		1	JPY		(20,014,770	)	JPY		19,125.00		1/11/2019		(1,688	)
Nikkei 225 Index	JPMS		1	JPY		(20,014,770	)	JPY		20,500.00		1/11/2019		(6,523	)
Nikkei 225 Index	JPMS		1	JPY		(20,014,770	)	JPY		20,750.00		1/11/2019		(8,029	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,270.00		1/18/2019		(1,037	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,305.00		1/18/2019		(1,998	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,325.00		1/18/2019		(2,536	)
Russell 2000 Index	JPMS		1	USD		(134,856	)	USD		1,345.00		1/18/2019		(3,809	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,260.00		2/15/2019		(2,039	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,285.00		2/15/2019		(2,441	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,310.00		1/18/2019		(965	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,310.00		2/15/2019		(2,847	)
S&P 500 Index	JPMS		2	USD		(501,370	)	USD		2,335.00		1/18/2019		(2,310	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,345.00		1/18/2019		(1,502	)
S&P 500 Index	JPMS		2	USD		(501,370	)	USD		2,360.00		2/15/2019		(6,560	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,375.00		1/18/2019		(1,800	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,385.00		2/15/2019		(4,110	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,410.00		1/18/2019		(2,260	)
S&P 500 Index	JPMS		2	USD		(501,370	)	USD		2,415.00		2/15/2019		(10,750	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,430.00		1/18/2019		(2,982	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,435.00		1/18/2019		(2,697	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,440.00		2/15/2019		(5,900	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,450.00		1/18/2019		(3,580	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,475.00		1/18/2019		(3,790	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,480.00		1/18/2019		(3,990	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,490.00		1/18/2019		(4,690	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,495.00		2/15/2019		(7,350	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,525.00		1/18/2019		(5,752	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,535.00		2/15/2019		(9,155	)
S&P 500 Index	JPMS		1	USD		(250,685	)	USD		2,555.00		2/15/2019		(11,130	)
U.S. Treasury 10 Year Note	JPMS		4	USD		(400,000	)	USD		119.50		1/25/2019		(125	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		119.50		2/22/2019		(219	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		120.00		1/25/2019		(94	)
U.S. Treasury 10 Year Note	JPMS		1	USD		(100,000	)	USD		120.50		1/25/2019		(94	)
U.S. Treasury 10 Year Note	JPMS		1	USD		(100,000	)	USD		120.50		2/22/2019		(234	)
														$(139,161	)
Total Written Options Contracts (Premiums Received ($185,775))														$(219,749	)

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

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Schedule of Investments December 31, 2018

AQR VOLATILITY RISK PREMIUM FUND

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Euro-Bund		2		3/2019	EUR		$374,752			$2,541
MSCI EAFEE-Mini Index		2		3/2019	USD		171,600			6
U.S. Treasury 10 Year Note		17		3/2019	USD		2,074,266			32,674
										35,221
Short Contracts
EURO STOXX 50 Index		(11	)	3/2019	EUR		(374,821	)		3,532
FTSE 100 Index		(1	)	3/2019	GBP		(84,876	)		(104	)
Nikkei 225 Index		(1	)	3/2019	JPY		(182,473	)		9,917
Russell 2000E-Mini Index		(4	)	3/2019	USD		(269,800	)		95
S&P 500E-Mini Index		(18	)	3/2019	USD		(2,254,680	)		20,158
										33,598
										$68,819

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

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

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
JPMS
Cash		$—		$189,875		$189,875

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

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Schedule of Investments December 31, 2018

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 ofperiod-end, are used for security descriptions:

Australian Bank-Bill Reference Rate (“BBR”): 2.05%

Australian Overnight Indexed Swap Rate (“AOISR”):2.09%

Bank of Japan Estimate Unsecured Overnight Call Rate:-0.05%

Brazilian Interbank Certificate of Deposit (“CDI”): 6.40%

CAD/USD Overnight Forward FX Swap Rate: 2.30%

Canadian Dollar Offered Rate (“CDOR”): 2.30%

Canadian Overnight Repurchase Rate: 1.82%

CHF London Interbank Offered Rate (“LIBOR”):-0.80%

Copenhagen Interbank Offered Rate:-0.35%

EUR/USD 1 Week Forward Swap Rate:-0.37%

Euro Interbank Offered Rate (“EURIBOR”):-0.36%

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

Federal Funds Floating Rate: 2.40%

GBP London Interbank Offered Rate (“LIBOR”): 0.73%

GBP/USD 1 Week Forward FX Swap Rate: 4.50%

HKD/USD 1 Month Forward FX Swap Rate: 2.24%

Hong Kong Interbank Offered Rate (“HIBOR”): 2.24 %

Hong Kong Overnight Index Average (“HONIA”): 3.74%

Johannesburg Interbank Agreed Rate: 6.96%

JPY London Interbank Offered Rate (“LIBOR”):-0.11%

JPY/USD 1 Week Forward Swap Rate:-0.09%

London Interbank Offered Rate (“LIBOR”): 2.50%

Mexico Equilibrium Interbank Interest Rate: 8.59%

Norway Interbank Offered Rate: 1.07%

Overnight Bank Funding Rate: 2.40%

Rand Overnight Deposit Rate: 6.59%

Reserve Bank of Australia Cash Rate: 1.50%

Swiss Average Rate Overnight (“SARON”):-0.74%

Singapore Interbank Offered Rate (“SIBOR”): 1.76%

Singapore Swap Offered Rate (“SOR”): 1.75%

Sterling Overnight Index Average (“SONIA”): 0.70%

Stockholm Interbank Offered Rate (“STIBOR”):-0.29%

Tokyo Overnight Average Rate:-0.10%

Tomorrow/Next Overnight Indexed Swaps:-0.47%

Warsaw Interbank Offered Rate: 1.54%

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

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268

Statements of Assets and Liabilities December 31, 2018

	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	$	624,761,302		$	537,324,848		$	639,563,675	$	48,255,744
Investments in securities of affiliated issuers, at cost		—			6,751,730			740,579,998		—
Investments in securities of unaffiliated issuers, at value	$	607,838,832		$	494,628,771		$	652,228,350	$	48,262,212
Investments in securities of affiliated issuers, at value		—			8,008,840			740,706,994		—
Cash		15,746,811			—			21,799		—
Cash denominated in foreign currencies‡		—			1,095,189			2,846,780		138,418
Unrealized appreciation on forward foreign currency exchange contracts		1,758,225			138,942			452,267		897,352
Unrealized appreciation on OTC swaps		165,385			1,380,222			10,508,778		95,109
Deposits for securities sold short		3,448,308			11,899,825			—		—
Deposits for written options contracts		12,795,426			—			—		—
Due from broker		5,692,915			4,605,159			1,137,029		865,137
Deposits with brokers for centrally cleared swaps (unamortized upfront payments (receipts), $—, $(1,008,326), $— and $902,000, respectively)		—			678,714			—		974,902
Deposits with brokers for futures contracts		16,119,641			2,537,037			954		3,546,173
Variation margin on centrally cleared swaps		—			—			—		217,496
Variation margin on futures contracts		—			4			—		88,562
Receivables:
Securities sold		325,521			6,565,395			108,628		9,530,425
Foreign tax reclaims		53,380			51,257			1,016,957		—
Dividends and interest		593,262			2,131,674			1,931,515		51,025
Capital shares sold		1,968,731			376,992			6,218,759		179,900
Prepaid expenses		73,372			38,569			90,636		25,310
Total Assets		666,579,809			534,136,590			1,417,269,446		64,872,021
LIABILITIES:
Securities sold short, at value (proceeds $330,260,275, $119,739,168, $333,674,415 and $—, respectively)		279,531,591			113,113,261			260,334,976		—
Option contracts written, at value (proceeds $1,252,769, $—, $— and $—, respectively)		1,760,811			—			—		—
Due to custodian		—			63,476			—		5,520
Foreign currency due to custodian, at value		316,078			—			—		—
Due to broker		2,914			1,156,204			—		31,709
Unrealized depreciation on forward foreign currency exchange contracts		6,652,366			53,646			787,434		1,827,685
Unrealized depreciation on OTC swaps		1,039,263			11,948,747			25,044,588		72,810
Deposits from brokers for futures contracts		—			—			2		—
Variation margin on centrally cleared swaps		—			23,880			—		—
Variation margin on futures contracts		895,517			494,316			—		99,607
Payables:
Securities purchased		2,996,926			5,555,336			—		9,535,434
Accrued investment advisory fees		301,449			370,602			1,093,488		41,203
Accrued distribution fees—Class N		2,090			15,154			44,745		5,209
Capital shares redeemed		1,122,280			1,717,880			5,182,258		3,738,877
Dividends and interest payable on securities sold short		378,088			250,308			313,459		—
Other accrued expenses and liabilities		156,533			317,165			542,696		136,757
Total Liabilities		295,155,906			135,079,975			293,343,646		15,494,811
Commitments and contingent liabilities*
Net Assets	$	371,423,903		$	399,056,615		$	1,123,925,800	$	49,377,210
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	382,323,764		$	749,229,050		$	1,088,060,456	$	52,049,159
Total distributable earnings (loss)		(10,899,861	)		(350,172,435	)		35,865,344		(2,671,949	)
Net Assets	$	371,423,903		$	399,056,615		$	1,123,925,800	$	49,377,210
NET ASSETS:
Class I	$	260,989,716		$	319,151,661		$	708,591,874	$	20,230,196
Class N		11,466,707			66,251,378			209,290,283		17,074,504
Class R6		98,967,480			13,653,576			206,043,643		12,072,510
SHARES OUTSTANDING:
Class I		28,218,036			36,459,796			65,873,312		2,227,724
Class N		1,242,488			7,561,487			19,566,477		1,903,036
Class R6		10,679,328			1,563,194			19,134,890		1,329,111
NET ASSET VALUE:
Class I	$	9.25		$	8.75		$	10.76	$	9.08
Class N	$	9.23		$	8.76		$	10.70	$	8.97
Class R6	$	9.27		$	8.73		$	10.77	$	9.08
‡  Cash denominated in foreign currencies at cost	$	(325,762	)	$	1,138,126		$	2,839,508	$	136,854

* AQR Diversified Arbitrage Fund, see Note 4 in the Notes to Financial Statements for additional information.

** 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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269

Statements of Assets and Liabilities December 31, 2018

	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	$	2,205,997,076		$	1,125,836,542		$	244,665,714		$	241,915,758
Investments in securities of affiliated issuers, at cost		193,022,815			533,623,218			—			—
Investments in securities of unaffiliated issuers, at value	$	2,161,836,136		$	1,150,517,980		$	244,695,121		$	238,830,560
Investments in securities of affiliated issuers, at value		193,083,657			533,760,562			—			—
Cash		1,395,676			—			620,143			2,472
Cash denominated in foreign currencies‡		5,613,623			11,702,017			—			321,097
Unrealized appreciation on forward foreign currency exchange contracts		7,211,378			18,170,798			—			2,147,447
Unrealized appreciation on OTC swaps		44,109,490			29,301,273			1,003,694			278,384
Deposits for securities sold short		—			54,949,991			—			—
Deposits for written options contracts		—			266,169			—			—
Due from broker		113,809,372			51,048,331			4,381,523			1,923,269
Deposits with brokers for centrally cleared swaps (unamortized upfront payments (receipts), $—, $(7,725,983), $— and $6,998,680, respectively)		—			3,609,350			—			8,886,258
Deposits with brokers for futures contracts		18,997,228			51,986,768			21,552,952			4,572,842
Variation margin on centrally cleared swaps		—			—			—			366,530
Variation margin on futures contracts		6,077,125			2,505,081			336,132			797,052
Receivables:
Securities sold		316,967,182			279,129,008			—			89,190
Foreign tax reclaims		1,348,390			300,910			—			—
Dividends and interest		2,364,441			4,562,173			252,665			275,541
Capital shares sold		8,505,124			2,136,322			482,119			412,744
Prepaid expenses		117,745			81,403			52,361			51,853
Total Assets		2,881,436,567			2,194,028,136			273,376,710			258,955,239
LIABILITIES:
Securities sold short, at value (proceeds $824,673,117, $302,235,427, $— and $—, respectively)		658,352,185			329,073,139			—			—
Option contracts written, at value (proceeds $—, $822,697, $— and $—, respectively)		—			1,145,086			—			—
Due to custodian		—			1,821,806			—			—
Due to broker		2,004,143			966,473			—			48,582
Unrealized depreciation on forward foreign currency exchange contracts		6,124,769			33,456,361			—			1,796,952
Unrealized depreciation on OTC swaps		129,890,722			61,263,273			1,548,141			450,141
Deposits from brokers for futures contracts		—			32,494			—			49,592
Variation margin on centrally cleared swaps		—			235,596			—			—
Variation margin on futures contracts		—			896,585			842,161			110,300
Payables:
Securities purchased		15,097,289			275,889,059			—			89,191
Accrued investment advisory fees		2,290,253			2,472,948			156,506			164,250
Accrued distribution fees—Class N		27,391			79,915			3,901			2,888
Capital shares redeemed		44,401,307			13,822,030			369,936			1,388,097
Dividends and interest payable on securities sold short		777,966			705,195			—			—
Other accrued expenses and liabilities		1,380,354			611,935			173,095			220,779
Total Liabilities		860,346,379			722,471,895			3,093,740			4,320,772
Net Assets	$	2,021,090,188		$	1,471,556,241		$	270,282,970		$	254,634,467
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	2,248,495,356		$	1,844,765,727		$	282,318,748		$	283,458,413
Total distributable earnings (loss)		(227,405,168	)		(373,209,486	)		(12,035,778	)		(28,823,946	)
Net Assets	$	2,021,090,188		$	1,471,556,241		$	270,282,970		$	254,634,467
NET ASSETS:
Class I	$	1,697,553,980		$	776,088,309		$	96,392,588		$	217,405,765
Class N		117,288,736			370,597,014			17,457,580			12,303,370
Class R6		206,247,472			324,870,918			156,432,802			24,925,332
SHARES OUTSTANDING:
Class I		155,099,515			99,406,698			17,068,772			25,535,240
Class N		10,817,989			47,853,329			3,130,810			1,449,019
Class R6		18,792,779			41,536,191			27,627,748			2,928,896
NET ASSET VALUE:
Class I	$	10.94		$	7.81		$	5.65		$	8.51
Class N	$	10.84		$	7.74		$	5.58		$	8.49
Class R6	$	10.97		$	7.82		$	5.66		$	8.51
‡  Cash denominated in foreign currencies at cost	$	5,615,562		$	11,942,124		$	—		$	403,379

** 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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270

Statements of Assets and Liabilities December 31, 2018

	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	$	30,921,130		$	64,118,148		$	3,656,495,713		$	318,155,049
Investments in securities of affiliated issuers, at cost		—			—			—			213,707,117
Investments in securities of controlled affiliated issuers, at cost		—			—			766,186,705			—
Repurchase agreements, at cost		5,939,568			—			—			—
Investments in securities of unaffiliated issuers, at value	$	30,600,392		$	63,447,588		$	3,459,740,981		$	317,074,711
Investments in securities of affiliated issuers, at value		—			—			—			213,737,105
Investments in securities of controlled affiliated issuers, at value		—			—			766,394,439			—
Repurchase agreements, at value		5,939,568			—			—			—
Cash		79			68			21,215,767			8,663,151
Cash denominated in foreign currencies‡		24,499			22,473			16,766,597			923,132
Unrealized appreciation on forward foreign currency exchange contracts		65,147			43,382			30,835,614			1,365,359
Unrealized appreciation on OTC swaps		121,663			57,489			162,896,139			5,670,069
Due from broker		49,616			299,148			60,168,745			3,316,549
Deposits with brokers for futures contracts		1,578,276			1,736,406			211,861,490			20,927,312
Variation margin on futures contracts		150,709			319,943			6,450,878			373,791
Receivables:
Securities sold		30,831			27,615			179,537,206			10,698,133
Foreign tax reclaims		—			—			2,318,337			107,104
Dividends and interest		34,500			68,477			4,354,777			635,723
Capital shares sold		20			1,585,471			10,345,605			2,668,909
Due from Investment Adviser		2,661			—			—			—
Prepaid expenses		34,237			34,531			177,619			51,344
Total Assets		38,632,198			67,642,591			4,933,064,194			586,212,392
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $1,501,255,867 and $86,324,953, respectively)		—			—			1,230,185,465			76,119,510
Reverse repurchase agreements, at value		10,157,890			—			—			—
Due to broker		31,444			29,224			127,492,909			4,515,049
Unrealized depreciation on forward foreign currency exchange contracts		67,866			55,929			76,932,714			4,436,208
Unrealized depreciation on OTC swaps		105,252			118,780			41,360,482			1,576,543
Deposits from brokers for futures contracts		—			30,315			299,610			—
Variation margin on futures contracts		28,235			31,715			17,803,533			1,176,737
Payables:
Securities purchased		2,421,333			27,616			104,076,919			10,526,761
Accrued investment advisory fees		—			21,112			4,024,777			259,026
Accrued distribution fees—Class N		912			475			18,861			4,492
Capital shares redeemed		300,245			209,493			26,535,512			6,044,952
Dividends and interest payable on securities sold short		—			—			2,256,102			99,905
Interest payable for reverse repurchase agreements		37,601			—			—			—
Other accrued expenses and liabilities		128,706			230,623			730,013			246,199
Total Liabilities		13,279,484			755,282			1,631,716,897			105,005,382
Net Assets	$	25,352,714		$	66,887,309		$	3,301,347,297		$	481,207,010
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	28,767,317		$	70,901,061		$	3,752,906,923		$	492,617,948
Total distributable earnings (loss)		(3,414,603	)		(4,013,752	)		(451,559,626	)		(11,410,938	)
Net Assets	$	25,352,714		$	66,887,309		$	3,301,347,297		$	481,207,010
NET ASSETS:
Class I	$	20,456,865		$	63,972,282		$	1,759,075,140		$	407,402,067
Class N		4,125,494			2,220,694			82,850,358			21,870,940
Class R6		770,355			694,333			1,459,421,799			51,934,003
SHARES OUTSTANDING:
Class I		2,796,989			7,567,807			195,099,458			40,707,426
Class N		563,726			264,351			9,202,006			2,197,135
Class R6		105,366			82,163			161,609,679			5,182,314
NET ASSET VALUE:
Class I	$	7.31		$	8.45		$	9.02		$	10.01
Class N	$	7.32		$	8.40		$	9.00		$	9.95
Class R6	$	7.31		$	8.45		$	9.03		$	10.02
‡  Cash denominated in foreign currencies at cost	$	25,139		$	23,022		$	16,933,014		$	920,424

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

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

AQR Funds Annual Report December 2018

271

Statements of Assets and Liabilities December 31, 2018

	AQR VOLATILITY RISK PREMIUM FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	9,795,150
Investments in securities of unaffiliated issuers, at value	$	9,415,243
Cash		1,114,922
Deposits for written options contracts		16,041
Deposits with brokers for futures contracts		249,807
Receivables:
Securities sold		2,236
Foreign tax reclaims		67
Dividends and interest		14,025
Capital shares sold		163,826
Due from Investment Adviser		50,629
Prepaid expenses		81,681
Total Assets		11,108,477
LIABILITIES:
Option contracts written, at value (proceeds $185,775, respectively)		219,749
Foreign currency due to custodian, at value		21,292
Variation margin on futures contracts		7,154
Payables:
Securities purchased		2,238
Accrued distribution fees—Class N		205
Other accrued expenses and liabilities		93,042
Total Liabilities		343,680
Net Assets	$	10,764,797
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	11,260,870
Total distributable earnings (loss)		(496,073	)
Net Assets	$	10,764,797
NET ASSETS:
Class I	$	1,065,234
Class N		955,060
Class R6		8,744,503
SHARES OUTSTANDING:
Class I		111,628
Class N		100,126
Class R6		916,760
NET ASSET VALUE:
Class I	$	9.54
Class N	$	9.54
Class R6	$	9.54
‡  Cash denominated in foreign currencies at cost	$	(20,742	)

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

AQR Funds Annual Report December 2018

272

Statements of Operations December 31, 2018

	AQR ALTERNATIVE RISK PREMIA FUND			AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	6,401,466		$	4,500,414		$	18,351,056		$	354,056
Affiliated issuers		—			—			18,063,709			—
Interest income		600,190			7,323,197			8,153,806			317,090
Total Income		7,001,656			11,823,611			44,568,571			671,146
EXPENSES:
Investment advisory fees		2,539,351			4,574,817			21,172,268			489,499
Custody fees		12,780			17,847			48,756			35,716
Administration & accounting fees		70,793			132,055			650,984			17,596
Legal fees		5,664			47,970			46,718			6,263
Audit & tax fees		101,865			113,640			102,452			102,275
Shareholder reporting fees		19,238			67,625			207,843			3,791
Transfer agent fees		155,346			441,716			1,241,680			37,143
Trustee fees		12,659			21,402			71,390			7,079
Offering costs		48,509			—			—			—
Distribution fees—Class N		11,857			198,256			733,766			20,922
Dividends and interest on securities sold short (Note 4)		4,070,309			3,249,987			14,372,178			—
Recoupment of waiver		—			21,159			23,990			—
Registration fees		78,742			51,605			204,654			43,401
Pricing fee		4,965			162,073			23,750			—
Other expenses		5,945			59,450			65,033			3,106
Total Expenses		7,138,023			9,159,602			38,965,462			766,791
Less fee waivers and/or reimbursements		(163,654	)		(208,409	)		—			(199,153	)
Net Expenses		6,974,369			8,951,193			38,965,462			567,638
Net Investment Income (Loss)		27,287			2,872,418			5,603,109			103,508
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(20,300,952	)		42,523,710			128,863			(28,300	)
Transactions in investment securities of affiliated issuers		—			448,137			(59,707	)		—
Settlement of foreign currency and foreign currency transactions		(100,357	)		928,656			352,681			(34,530	)
Settlement of forward foreign currency contracts		(704,397	)		202,050			5,214,117			565,500
Expiration or closing of futures contracts		(5,558,045	)		1,826,421			(5,487,528	)		2,286,143
Closed short positions in securities		(13,154,693	)		(18,714,430	)		(18,113,515	)		—
Expiration or closing of swap contracts		(3,580,326	)		14,971,150			(173,552,286	)		(175,416	)
Expiration or closing of option contracts written		(186,110	)		7,979			—			—
Net realized gain (loss)		(43,584,880	)		42,193,673			(191,517,375	)		2,613,397
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		(17,942,422	)		(54,631,735	)		(80,054,442	)		8,552
Investment securities of affiliated issuers		—			(303,203	)		129,558			—
Foreign currency and foreign currency transactions		31,535			(143,482	)		78,975			14,779
Forward foreign currency exchange contracts		(4,975,838	)		195,356			539,802			(791,896	)
Futures contracts		3,113,527			759,466			(130,738	)		(78,599	)
Short positions in securities		51,519,852			38,578,536			89,769,766			—
Swap contracts		(1,164,896	)		(19,546,985	)		(95,981,550	)		(833,560	)
Option contracts written		(543,579	)		—			—			—
Net change in unrealized appreciation (depreciation)		30,038,179			(35,092,047	)		(85,648,629	)		(1,680,724	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(13,546,701	)		7,101,626			(277,166,004	)		932,673
Net increase (decrease) in net assets resulting from operations	$	(13,519,414	)	$	9,974,044		$	(271,562,895	)	$	1,036,181
†  Net of foreign taxes withheld of	$	226,956		$	7,568		$	2,393,192		$	—

** 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 Operations December 31, 2018

	AQR LONG-SHORT EQUITY FUND			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK-BALANCED COMMODITIES STRATEGY FUND**			AQR RISK PARITY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	38,695,147		$	23,058,988		$	2,529,755		$	2,543,981
Affiliated issuers		30,094,822			15,543,780			—			—
Interest income		30,897,904			9,073,122			2,347,423			4,996,801
Total Income		99,687,873			47,675,890			4,877,178			7,540,782
EXPENSES:
Investment advisory fees		54,763,079			44,766,678			2,300,561			3,012,885
Custody fees		55,571			124,316			18,375			34,803
Administration & accounting fees		1,661,971			750,152			90,248			128,232
Legal fees		125,148			174,617			14,121			22,676
Audit & tax fees		129,599			174,495			95,513			104,148
Shareholder reporting fees		421,807			283,237			27,679			20,837
Transfer agent fees		3,348,231			1,629,058			122,792			267,766
Trustee fees		175,348			90,555			15,978			19,788
Distribution fees—Class N		713,075			1,060,502			60,707			38,925
Dividends and interest on securities sold short (Note 4)		24,684,189			10,368,965			—			—
Recoupment of waiver		—			24,508			4,329			14,798
Registration fees		257,433			85,379			64,515			72,320
Pricing fee		25,577			38,907			81			2,088
Other expenses		170,386			89,483			9,235			14,454
Total Expenses		86,531,414			59,660,852			2,824,134			3,753,720
Less fee waivers and/or reimbursements		—			—			(67,029	)		(44,324	)
Net Expenses		86,531,414			59,660,852			2,757,105			3,709,396
Net Investment Income (Loss)		13,156,459			(11,984,962	)		2,120,073			3,831,386
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		57,986,497			95,499,554			(10,779	)		(412,238	)
Transactions in investment securities of affiliated issuers		57,024			(71,866	)		—			—
Settlement of foreign currency and foreign currency transactions		1,977,889			1,711,935			—			(461,567	)
Settlement of forward foreign currency contracts		(49,056,960	)		(17,120,340	)		—			(2,630,924	)
Expiration or closing of futures contracts		(18,546,283	)		(18,585,440	)		(44,141,003	)		(11,946,347	)
Closed short positions in securities		(235,784,017	)		(62,523,909	)		—			—
Expiration or closing of swap contracts		(216,457,894	)		(139,928,928	)		(4,556,112	)		(1,376,988	)
Expiration or closing of option contracts written		—			91,414			—			—
Net realized gain (loss)		(459,823,744	)		(140,927,580	)		(48,707,894	)		(16,828,064	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		(245,757,262	)		(111,849,968	)		38,494			(6,423,371	)
Investment securities of affiliated issuers		60,842			137,344			—			—
Foreign currency and foreign currency transactions		80,174			(2,007,705	)		—			224,393
Forward foreign currency exchange contracts		(6,017,168	)		(10,926,095	)		—			(634,372	)
Futures contracts		(48,600,745	)		(12,385,812	)		(19,428,998	)		(4,416,473	)
Short positions in securities		202,842,647			85,409,048			—			—
Swap contracts		(330,915,441	)		(180,846,538	)		369,986			(4,093,230	)
Option contracts written		—			2,134,960			—			—
Net change in unrealized appreciation (depreciation)		(428,306,953	)		(230,334,766	)		(19,020,518	)		(15,343,053	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(888,130,697	)		(371,262,346	)		(67,728,412	)		(32,171,117	)
Net increase (decrease) in net assets resulting from operations	$	(874,974,238	)	$	(383,247,308	)	$	(65,608,339	)	$	(28,339,731	)
†  Net of foreign taxes withheld of	$	1,355,836		$	21,252		$	—		$	70,393

** 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 Operations December 31, 2018

	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 YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	261,207		$	501,505		$	72,667,834		$	4,368,357
Affiliated issuers		—			—			—			3,121,612
Controlled affiliated issuers		—			—			20,249,381			—
Interest income		810,354			961,515			17,904,148			2,501,587
Total Income		1,071,561			1,463,020			110,821,363			9,991,556
EXPENSES:
Investment advisory fees		413,361			564,263			63,681,565			3,035,852
Custody fees		22,969			21,261			90,662			22,264
Administration & accounting fees		19,722			28,609			1,474,500			146,095
Legal fees		9,222			9,799			96,062			10,723
Audit & tax fees		99,670			95,343			133,928			105,772
Shareholder reporting fees		5,072			5,485			404,367			46,192
Transfer agent fees		43,314			80,848			2,266,837			326,082
Trustee fees		7,455			8,525			162,731			21,086
Distribution fees—Class N		22,777			6,508			368,682			71,577
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4)		227,946			—			36,297,567			1,588,324
Recoupment of waiver		—			—			59,178			19,499
Registration fees		43,353			42,917			193,424			52,827
Pricing fee		133			7			23,773			23,643
Other expenses		4,172			4,810			149,605			15,674
Total Expenses		919,166			868,375			105,402,881			5,485,610
Less fee waivers and/or reimbursements		(184,961	)		(157,511	)		(384,856	)		(8,073	)
Net Expenses		734,205			710,864			105,018,025			5,477,537
Net Investment Income (Loss)		337,356			752,156			5,803,338			4,514,019
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(52,059	)		(86,205	)		188,758,926			4,102,331
Transactions in investment securities of affiliated issuers		—			—			—			(5,397	)
Transactions in investment securities of controlled affiliated issuers		—			—			(105,283	)		—
Settlement of foreign currency and foreign currency transactions		(15,368	)		(12,574	)		(2,813,093	)		(23,507	)
Settlement of forward foreign currency contracts		638,737			753,938			(6,713,576	)		1,434,558
Expiration or closing of futures contracts		(1,849,970	)		(2,939,953	)		(105,152,361	)		(3,665,858	)
Closed short positions in securities		—			—			(337,870,095	)		(2,723,509	)
Expiration or closing of swap contracts		(1,097,584	)		(1,237,509	)		(63,281,349	)		(12,573,312	)
Net realized gain (loss)		(2,376,244	)		(3,522,303	)		(327,176,831	)		(13,454,694	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		(1,094,103	)		(1,286,800	)		(489,280,341	)		(16,561,884	)
Investment securities of affiliated issuers		—			—			—			29,988
Investment securities of controlled affiliated issuers		—			—			207,734			—
Foreign currency and foreign currency transactions		(2,118	)		(5,543	)		(1,805,460	)		(37,738	)
Forward foreign currency exchange contracts		115,054			93,576			(39,949,394	)		(2,722,202	)
Futures contracts		(1,032,110	)		(943,681	)		(50,080,726	)		(3,358,099	)
Short positions in securities		—			—			348,247,862			14,188,936
Swap contracts		61,527			(33,553	)		(74,644,984	)		(6,570,046	)
Net change in unrealized appreciation (depreciation)		(1,951,750	)		(2,176,001	)		(307,305,309	)		(15,031,045	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(4,327,994	)		(5,698,304	)		(634,482,140	)		(28,485,739	)
Net increase (decrease) in net assets resulting from operations	$	(3,990,638	)	$	(4,946,148	)	$	(628,678,802	)	$	(23,971,720	)
†  Net of foreign taxes withheld of	$	4,182		$	6,734		$	2,549,961		$	322,013

** 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 Operations December 31, 2018

	AQR VOLATILITY RISK PREMIUM FUND
	FOR THE PERIOD 11/01/18*-12/31/18
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	33,794
Total Income		33,794
EXPENSES:
Investment advisory fees		9,786
Custody fees		2,500
Administration & accounting fees		2,983
Legal fees		500
Audit & tax fees		83,275
Shareholder reporting fees		2,000
Transfer agent fees		3,129
Trustee fees		1,604
Offering costs		3,287
Distribution fees—Class N		402
Registration fees		9,044
Pricing fee		834
Other expenses		451
Total Expenses		119,795
Less fee waivers and/or reimbursements		(107,408	)
Net Expenses		12,387
Net Investment Income (Loss)		21,407
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(126,860	)
Settlement of foreign currency and foreign currency transactions		2,003
Expiration or closing of futures contracts		91,864
Expiration or closing of option contracts written		(121,920	)
Net realized gain (loss)		(154,913	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		(379,907	)
Foreign currency and foreign currency transactions		(229	)
Futures contracts		68,819
Option contracts written		(33,974	)
Net change in unrealized appreciation (depreciation)		(345,291	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(500,204	)
Net increase (decrease) in net assets resulting from operations	$	(478,797	)
†  Net of foreign taxes withheld of	$	336

* Commencement of operations.

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

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Statements of Changes in Net Assets December 31, 2018

	AQR ALTERNATIVE RISK PREMIA FUND						AQR DIVERSIFIED ARBITRAGE FUND
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE PERIOD 9/19/17*- 12/31/17			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	27,287		$	(17,470	)	$	2,872,418		$	1,001,428
Net realized gain (loss)		(43,584,880	)		(679,106	)		42,193,673			(10,574,813	)
Net change in unrealized appreciation (depreciation)		30,038,179			338,951			(35,092,047	)		37,246,211
Net increase (decrease) in net assets resulting from operations		(13,519,414	)		(357,625	)		9,974,044			27,672,826
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(197,523	)		—			(21,292,398	)		(26,664,397	)
Class N		(7,379	)		—			(4,193,660	)		(5,145,014	)
Class R6		(86,658	)		—			(871,174	)		(558,283	)
Total distributions		(291,560	)		—			(26,357,232	)		(32,367,694	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		469,503,958			29,460,090			133,439,029			159,039,676
Reinvestment of distributions		197,507			—			13,354,400			15,220,267
Cost of shares redeemed		(226,403,359	)		(2,476,748	)		(201,260,502	)		(142,617,620	)
Net increase (decrease) from capital transactions		243,298,106			26,983,342			(54,467,073	)		31,642,323
CLASS N
Proceeds from shares sold		13,543,561			2,408,539			20,304,675			19,139,174
Reinvestment of distributions		7,379			—			4,179,442			5,124,877
Cost of shares redeemed		(3,304,248	)		(870,459	)		(32,515,274	)		(48,486,010	)
Net increase (decrease) from capital transactions		10,246,692			1,538,080			(8,031,157	)		(24,221,959	)
CLASS R6
Proceeds from shares sold		143,810,607			51,685,926			11,477,232			3,691,438
Reinvestment of distributions		71,249			—			489,696			558,283
Cost of shares redeemed		(90,399,580	)		(1,641,920	)		(6,190,750	)		(830,613	)
Net increase (decrease) from capital transactions		53,482,276			50,044,006			5,776,178			3,419,108
Net increase (decrease) in net assets resulting from capital transactions		307,027,074			78,565,428			(56,722,052	)		10,839,472
Total increase (decrease) in net assets		293,216,100			78,207,803			(73,105,240	)		6,144,604
NET ASSETS:
Beginning of period		78,207,803			—			472,161,855			466,017,251
End of period	$	371,423,903		$	78,207,803		$	399,056,615		$	472,161,855

The accompanying notes are an integral part of these financial statements. (continued on p. 278)

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277

Statements of Changes in Net Assets December 31, 2018

	AQR ALTERNATIVE RISK PREMIA FUND						AQR DIVERSIFIED ARBITRAGE FUND
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE PERIOD 9/19/17*- 12/31/17			FOR THE YEAR ENDED DECEMBER 31, 2018			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		49,682,754			2,928,020			14,381,039			16,738,611
Shares issued on reinvestment of distributions		21,237			—			1,522,737			1,674,397
Shares redeemed		(24,168,237	)		(245,738	)		(21,884,063	)		(14,985,444	)
Shares outstanding, end of period		28,218,036			2,682,282			36,459,796			42,440,083
CLASS N
Shares outstanding, beginning of period		153,729			—			8,415,812			10,932,154
Shares sold		1,436,820			240,206			2,195,480			2,021,912
Shares issued on reinvestment of distributions		795			—			476,018			563,793
Shares redeemed		(348,856	)		(86,477	)		(3,525,823	)		(5,102,047	)
Shares outstanding, end of period		1,242,488			153,729			7,561,487			8,415,812
CLASS R6
Shares outstanding, beginning of period		4,972,362			—			924,895			560,186
Shares sold		15,254,295			5,135,575			1,255,278			389,979
Shares issued on reinvestment of distributions		7,645			—			55,965			61,552
Shares redeemed		(9,554,974	)		(163,213	)		(672,944	)		(86,822	)
Shares outstanding, end of period		10,679,328			4,972,362			1,563,194			924,895

(a) As disclosed in Note 15, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 6 to review the character of each respective Funds’ distributable earnings for the year ended December 31, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

* Commencement of operations.

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

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Statements of Changes in Net Assets December 31, 2018

	AQR EQUITY MARKET NEUTRAL FUND						AQR GLOBAL MACRO FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	5,603,109		$	(11,112,530	)	$	103,508		$	(155,507	)
Net realized gain (loss)		(191,517,375	)		35,299,203			2,613,397			(1,675,159	)
Net change in unrealized appreciation (depreciation)		(85,648,629	)		65,277,178			(1,680,724	)		905,855
Net increase (decrease) in net assets resulting from operations		(271,562,895	)		89,463,851			1,036,181			(924,811	)
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(3,514,719	)		(51,647,198	)		(938,655	)		(4,091	)
Class N		(1,041,810	)		(11,886,225	)		(986,322	)		—
Class R6		(1,017,912	)		(10,859,269	)		(460,233	)		(16,957	)
Total distributions		(5,574,441	)		(74,392,692	)		(2,385,210	)		(21,048	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		683,095,837			1,080,261,350			29,356,686			9,413,713
Reinvestment of distributions		2,641,777			40,825,774			936,110			4,091
Cost of shares redeemed		(1,335,331,827	)		(376,083,911	)		(18,886,754	)		(18,482,929	)
Net increase (decrease) from capital transactions		(649,594,213	)		745,003,213			11,406,042			(9,065,125	)
CLASS N
Proceeds from shares sold		106,888,936			319,225,684			29,248,233			1,132,109
Reinvestment of distributions		1,041,355			11,872,249			986,322			—
Cost of shares redeemed		(216,570,707	)		(122,959,941	)		(14,299,996	)		(1,354,486	)
Net increase (decrease) from capital transactions		(108,640,416	)		208,137,992			15,934,559			(222,377	)
CLASS R6
Proceeds from shares sold		135,403,341			215,624,249			49,551			9,732,823
Reinvestment of distributions		919,463			3,793,780			459,833			16,957
Cost of shares redeemed		(214,060,186	)		(72,646,247	)		(3,185,048	)		(18,553	)
Net increase (decrease) from capital transactions		(77,737,382	)		146,771,782			(2,675,664	)		9,731,227
Net increase (decrease) in net assets resulting from capital transactions		(835,972,011	)		1,099,912,987			24,664,937			443,725
Total increase (decrease) in net assets		(1,113,109,347	)		1,114,984,146			23,315,908			(502,134	)
NET ASSETS:
Beginning of period		2,237,035,147			1,122,051,001			26,061,302			26,563,436
End of period	$	1,123,925,800		$	2,237,035,147		$	49,377,210		$	26,061,302

The accompanying notes are an integral part of these financial statements. (continued on p. 280)

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Statements of Changes in Net Assets December 31, 2018

	AQR EQUITY MARKET NEUTRAL FUND						AQR GLOBAL MACRO FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			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		58,626,776			88,121,432			3,084,850			1,070,707
Shares issued on reinvestment of distributions		247,821			3,276,547			102,084			469
Shares redeemed		(119,741,676	)		(30,685,362	)		(2,010,841	)		(2,113,265	)
Shares outstanding, end of period		65,873,312			126,740,391			2,227,724			1,051,631
CLASS N
Shares outstanding, beginning of period		29,297,507			12,899,700			334,118			357,773
Shares sold		9,239,426			25,393,645			3,017,567			130,287
Shares issued on reinvestment of distributions		98,241			955,897			108,866			—
Shares redeemed		(19,068,697	)		(9,951,735	)		(1,557,515	)		(153,942	)
Shares outstanding, end of period		19,566,477			29,297,507			1,903,036			334,118
CLASS R6
Shares outstanding, beginning of period		26,681,122			14,839,955			1,597,192			482,492
Shares sold		11,197,870			17,476,921			5,248			1,114,858
Shares issued on reinvestment of distributions		86,173			304,477			50,145			1,945
Shares redeemed		(18,830,275	)		(5,940,231	)		(323,474	)		(2,103	)
Shares outstanding, end of period		19,134,890			26,681,122			1,329,111			1,597,192

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) As disclosed in Note 15, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 6 to review the character of each respective Funds’ distributable earnings for the year ended December 31, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

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Statements of Changes in Net Assets December 31, 2018

	AQR LONG-SHORT EQUITY FUND						AQR MULTI-STRATEGY ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	13,156,459		$	(24,953,313	)	$	(11,984,962	)	$	(25,089,728	)
Net realized gain (loss)		(459,823,744	)		350,367,220			(140,927,580	)		165,527,250
Net change in unrealized appreciation (depreciation)		(428,306,953	)		299,785,467			(230,334,766	)		(39,445,250	)
Net increase (decrease) in net assets resulting from operations		(874,974,238	)		625,199,374			(383,247,308	)		100,992,272
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(110,914,912	)		(351,432,606	)		—			(158,909,006	)
Class N		(7,317,725	)		(32,546,223	)		—			(32,419,228	)
Class R6		(13,197,027	)		(82,079,130	)		—			(47,912,430	)
Total distributions		(131,429,664	)		(466,057,959	)		—			(239,240,664	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,661,241,345			2,781,588,310			527,868,704			592,399,242
Reinvestment of distributions		79,782,800			246,544,609			—			121,893,204
Cost of shares redeemed		(3,387,400,801	)		(798,799,416	)		(1,505,699,183	)		(1,041,915,240	)
Net increase (decrease) from capital transactions		(1,646,376,656	)		2,229,333,503			(977,830,479	)		(327,622,794	)
CLASS N
Proceeds from shares sold		123,395,387			271,303,334			118,995,277			80,752,855
Reinvestment of distributions		7,230,423			32,265,788			—			32,408,081
Cost of shares redeemed		(344,172,803	)		(224,410,842	)		(117,174,916	)		(129,604,451	)
Net increase (decrease) from capital transactions		(213,546,993	)		79,158,280			1,820,361			(16,443,515	)
CLASS R6
Proceeds from shares sold		308,186,315			558,911,989			128,136,646			114,152,756
Reinvestment of distributions		8,033,877			38,588,892			—			46,123,161
Cost of shares redeemed		(924,512,139	)		(109,232,039	)		(328,757,340	)		(144,378,330	)
Net increase (decrease) from capital transactions		(608,291,947	)		488,268,842			(200,620,694	)		15,897,587
Net increase (decrease) in net assets resulting from capital transactions		(2,468,215,596	)		2,796,760,625			(1,176,630,812	)		(328,168,722	)
Total increase (decrease) in net assets		(3,474,619,498	)		2,955,902,040			(1,559,878,120	)		(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	$	2,021,090,188		$	5,495,709,686		$	1,471,556,241		$	3,031,434,361

The accompanying notes are an integral part of these financial statements. (continued on p. 282)

AQR Funds Annual Report December 2018

281

Statements of Changes in Net Assets December 31, 2018

	AQR LONG-SHORT EQUITY FUND						AQR MULTI-STRATEGY ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			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		124,006,619			199,716,250			62,383,598			62,004,170
Shares issued on reinvestment of distributions		7,332,952			17,485,434			—			13,394,858
Shares redeemed		(274,808,885	)		(56,403,307	)		(182,581,753	)		(108,969,467	)
Shares outstanding, end of period		155,099,515			298,568,829			99,406,698			219,604,853
CLASS N
Shares outstanding, beginning of period		27,927,412			22,112,585			48,119,919			49,655,549
Shares sold		9,163,590			19,567,362			13,941,914			8,464,360
Shares issued on reinvestment of distributions		670,726			2,303,054			—			3,581,003
Shares redeemed		(26,943,739	)		(16,055,589	)		(14,208,504	)		(13,580,993	)
Shares outstanding, end of period		10,817,989			27,927,412			47,853,329			48,119,919
CLASS R6
Shares outstanding, beginning of period		69,452,664			34,579,765			67,398,448			65,492,180
Shares sold		22,146,443			39,728,027			15,159,212			11,858,560
Shares issued on reinvestment of distributions		736,377			2,730,990			—			5,062,916
Shares redeemed		(73,542,705	)		(7,586,118	)		(41,021,469	)		(15,015,208	)
Shares outstanding, end of period		18,792,779			69,452,664			41,536,191			67,398,448

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) As disclosed in Note 15, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 6 to review the character of each respective Funds’ distributable earnings for the year ended December 31, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report December 2018

282

Statements of Changes in Net Assets December 31, 2018

	AQR RISK-BALANCED COMMODITIES STRATEGY FUND**						AQR RISK PARITY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	2,120,073		$	(456,433	)	$	3,831,386		$	836,136
Net realized gain (loss)		(48,707,894	)		10,837,777			(16,828,064	)		55,796,887
Net change in unrealized appreciation (depreciation)		(19,020,518	)		9,582,029			(15,343,053	)		10,816,715
Net increase (decrease) in net assets resulting from operations		(65,608,339	)		19,963,373			(28,339,731	)		67,449,738
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(679,036	)		(7,748	)		(15,136,783	)		(40,216,926	)
Class N		(53,834	)		(670	)		(848,775	)		(1,884,034	)
Class R6		(1,167,121	)		(9,893	)		(1,726,240	)		(3,837,537	)
Total distributions		(1,899,991	)		(18,311	)		(17,711,798	)		(45,938,497	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		162,258,558			30,798,302			83,151,316			92,782,113
Reinvestment of distributions		590,639			6,204			14,317,789			38,834,250
Cost of shares redeemed		(126,629,068	)		(44,888,455	)		(255,486,888	)		(84,102,767	)
Net increase (decrease) from capital transactions		36,220,129			(14,083,949	)		(158,017,783	)		47,513,596
CLASS N
Proceeds from shares sold		36,762,086			3,479,417			5,543,736			8,383,608
Reinvestment of distributions		53,834			670			848,775			1,884,034
Cost of shares redeemed		(21,013,348	)		(3,711,574	)		(8,771,264	)		(11,247,752	)
Net increase (decrease) from capital transactions		15,802,572			(231,487	)		(2,378,753	)		(980,110	)
CLASS R6
Proceeds from shares sold		89,268,198			22,487,772			420,039			2,890,454
Reinvestment of distributions		875,880			6,667			1,726,240			3,837,537
Cost of shares redeemed		(10,264,672	)		(25,453,423	)		(13,791,557	)		(2,393,569	)
Net increase (decrease) from capital transactions		79,879,406			(2,958,984	)		(11,645,278	)		4,334,422
Net increase (decrease) in net assets resulting from capital transactions		131,902,107			(17,274,420	)		(172,041,814	)		50,867,908
Total increase (decrease) in net assets		64,393,777			2,670,642			(218,093,343	)		72,379,149
NET ASSETS:
Beginning of period		205,889,193			203,218,551			472,727,810			400,348,661
End of period	$	270,282,970		$	205,889,193		$	254,634,467		$	472,727,810

The accompanying notes are an integral part of these financial statements. (continued on p. 284)

AQR Funds Annual Report December 2018

283

Statements of Changes in Net Assets December 31, 2018

	AQR RISK-BALANCED COMMODITIES STRATEGY FUND**						AQR RISK PARITY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			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		24,119,599			4,771,225			8,664,776			9,347,782
Shares issued on reinvestment of distributions		103,803			947			1,684,446			4,020,109
Shares redeemed		(19,879,969	)		(7,070,084	)		(27,140,748	)		(8,452,898	)
Shares outstanding, end of period		17,068,772			12,725,339			25,535,240			42,326,766
CLASS N
Shares outstanding, beginning of period		1,109,579			1,167,206			1,701,531			1,827,019
Shares sold		5,502,638			547,782			585,761			830,983
Shares issued on reinvestment of distributions		9,596			103			100,091			195,439
Shares redeemed		(3,491,003	)		(605,512	)		(938,364	)		(1,151,910	)
Shares outstanding, end of period		3,130,810			1,109,579			1,449,019			1,701,531
CLASS R6
Shares outstanding, beginning of period		15,954,715			16,318,860			4,096,425			3,638,709
Shares sold		13,160,776			3,585,028			46,099			303,627
Shares issued on reinvestment of distributions		153,663			1,015			203,087			397,260
Shares redeemed		(1,641,406	)		(3,950,188	)		(1,416,715	)		(243,171	)
Shares outstanding, end of period		27,627,748			15,954,715			2,928,896			4,096,425

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) As disclosed in Note 15, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 6 to review the character of each respective Funds’ distributable earnings for the year ended December 31, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report December 2018

284

Statements of Changes in Net Assets December 31, 2018

	AQR RISK PARITY II HV FUND**						AQR RISK PARITY II MV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	337,356		$	64,081		$	752,156		$	181,067
Net realized gain (loss)		(2,376,244	)		7,797,604			(3,522,303	)		7,925,329
Net change in unrealized appreciation (depreciation)		(1,951,750	)		1,618,727			(2,176,001	)		1,524,621
Net increase (decrease) in net assets resulting from operations		(3,990,638	)		9,480,412			(4,946,148	)		9,631,017
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(1,723,903	)		(4,345,664	)		(1,595,156	)		(6,390,473	)
Class N		(307,214	)		(2,074,444	)		(48,815	)		(230,070	)
Class R6		(61,357	)		(71,371	)		(18,019	)		(54,773	)
Total distributions		(2,092,474	)		(6,491,479	)		(1,661,990	)		(6,675,316	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		6,786,842			15,110,513			10,645,365			7,101,891
Reinvestment of distributions		1,193,325			3,036,675			1,415,709			5,580,145
Cost of shares redeemed		(21,362,946	)		(28,964,516	)		(19,758,283	)		(16,281,871	)
Net increase (decrease) from capital transactions		(13,382,779	)		(10,817,328	)		(7,697,209	)		(3,599,835	)
CLASS N
Proceeds from shares sold		4,158,546			16,904,780			595,649			208,795
Reinvestment of distributions		307,214			2,074,444			48,816			230,070
Cost of shares redeemed		(17,727,816	)		(6,275,267	)		(993,794	)		(3,521,633	)
Net increase (decrease) from capital transactions		(13,262,056	)		12,703,957			(349,329	)		(3,082,768	)
CLASS R6
Proceeds from shares sold		133,573			166,683			66,000			—
Reinvestment of distributions		57,045			62,917			18,018			54,773
Cost of shares redeemed		(35,963	)		(2,725,155	)		(4,602	)		(5,041	)
Net increase (decrease) from capital transactions		154,655			(2,495,555	)		79,416			49,732
Net increase (decrease) in net assets resulting from capital transactions		(26,490,180	)		(608,926	)		(7,967,122	)		(6,632,871	)
Total increase (decrease) in net assets		(32,573,292	)		2,380,007			(14,575,260	)		(3,677,170	)
NET ASSETS:
Beginning of period		57,926,006			55,545,999			81,462,569			85,139,739
End of period	$	25,352,714		$	57,926,006		$	66,887,309		$	81,462,569

The accompanying notes are an integral part of these financial statements. (continued on p. 286)

AQR Funds Annual Report December 2018

285

Statements of Changes in Net Assets December 31, 2018

	AQR RISK PARITY II HV FUND**						AQR RISK PARITY II MV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			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		789,267			1,691,028			1,184,037			762,186
Shares issued on reinvestment of distributions		162,578			352,283			166,947			613,877
Shares redeemed		(2,513,718	)		(3,163,860	)		(2,205,316	)		(1,741,370	)
Shares outstanding, end of period		2,796,989			4,358,862			7,567,807			8,422,139
CLASS N
Shares outstanding, beginning of period		2,086,431			780,920			302,522			632,594
Shares sold		487,124			1,761,444			65,208			22,607
Shares issued on reinvestment of distributions		41,855			241,214			5,790			25,478
Shares redeemed		(2,051,684	)		(697,147	)		(109,169	)		(378,157	)
Shares outstanding, end of period		563,726			2,086,431			264,351			302,522
CLASS R6
Shares outstanding, beginning of period		86,209			337,040			73,253			67,769
Shares sold		15,739			18,874			7,330			—
Shares issued on reinvestment of distributions		7,782			7,299			2,125			6,026
Shares redeemed		(4,364	)		(277,004	)		(545	)		(542	)
Shares outstanding, end of period		105,366			86,209			82,163			73,253

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) As disclosed in Note 15, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 6 to review the character of each respective Funds’ distributable earnings for the year ended December 31, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

AQR Funds Annual Report December 2018

286

Statements of Changes in Net Assets December 31, 2018

	AQR STYLE PREMIA ALTERNATIVE FUND**						AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	5,803,338		$	(29,302,646	)	$	4,514,019		$	(202,469	)
Net realized gain (loss)		(327,176,831	)		297,431,846			(13,454,694	)		17,349,598
Net change in unrealized appreciation (depreciation)		(307,305,309	)		214,060,873			(15,031,045	)		11,371,735
Net increase (decrease) in net assets resulting from operations		(628,678,802	)		482,190,073			(23,971,720	)		28,518,864
DISTRIBUTIONS TO SHAREHOLDERS(a):
Class I		(18,380,634	)		(198,173,947	)		(382,170	)		(16,573,601	)
Class N		(440,477	)		(11,434,857	)		—			(1,709,872	)
Class R6		(15,833,509	)		(107,819,061	)		(77,879	)		(4,676,131	)
Total distributions		(34,654,620	)		(317,427,865	)		(460,049	)		(22,959,604	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,353,376,419			1,236,903,921			421,189,135			175,105,320
Reinvestment of distributions		15,448,117			173,061,541			323,831			16,205,243
Cost of shares redeemed		(2,160,681,716	)		(813,602,935	)		(331,296,543	)		(109,840,424	)
Net increase (decrease) from capital transactions		(791,857,180	)		596,362,527			90,216,423			81,470,139
CLASS N
Proceeds from shares sold		51,415,274			56,223,970			12,719,467			10,005,272
Reinvestment of distributions		433,236			11,321,176			—			1,707,961
Cost of shares redeemed		(126,110,000	)		(87,214,527	)		(24,841,098	)		(19,255,880	)
Net increase (decrease) from capital transactions		(74,261,490	)		(19,669,381	)		(12,121,631	)		(7,542,647	)
CLASS R6
Proceeds from shares sold		555,928,288			500,805,412			17,844,154			11,556,130
Reinvestment of distributions		13,877,968			94,724,682			77,879			4,676,131
Cost of shares redeemed		(486,434,136	)		(391,172,273	)		(55,944,746	)		(14,732,984	)
Net increase (decrease) from capital transactions		83,372,120			204,357,821			(38,022,713	)		1,499,277
Net increase (decrease) in net assets resulting from capital transactions		(782,746,550	)		781,050,967			40,072,079			75,426,769
Total increase (decrease) in net assets		(1,446,079,972	)		945,813,175			15,640,310			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	$	3,301,347,297		$	4,747,427,269		$	481,207,010		$	465,566,700

The accompanying notes are an integral part of these financial statements. (continued on p. 288)

AQR Funds Annual Report December 2018

287

Statements of Changes in Net Assets December 31, 2018

	AQR STYLE PREMIA ALTERNATIVE FUND**						AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			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		135,388,138			119,718,870			41,258,381			16,492,368
Shares issued on reinvestment of distributions		1,710,755			16,403,938			32,286			1,523,049
Shares redeemed		(226,752,903	)		(79,557,593	)		(32,381,799	)		(10,381,555	)
Shares outstanding, end of period		195,099,458			284,753,468			40,707,426			31,798,558
CLASS N
Shares outstanding, beginning of period		17,131,773			19,081,538			3,367,115			4,098,530
Shares sold		5,095,016			5,470,866			1,223,931			947,010
Shares issued on reinvestment of distributions		48,031			1,077,181			—			160,977
Shares redeemed		(13,072,814	)		(8,497,812	)		(2,393,911	)		(1,839,402	)
Shares outstanding, end of period		9,202,006			17,131,773			2,197,135			3,367,115
CLASS R6
Shares outstanding, beginning of period		155,015,501			135,855,853			8,884,892			8,688,585
Shares sold		55,361,426			48,436,461			1,705,485			1,094,697
Shares issued on reinvestment of distributions		1,535,173			8,961,654			7,749			438,661
Shares redeemed		(50,302,421	)		(38,238,467	)		(5,415,812	)		(1,337,051	)
Shares outstanding, end of period		161,609,679			155,015,501			5,182,314			8,884,892

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

(a) As disclosed in Note 15, the AQR Funds adopted amendments to Regulation S-X included in the Securities and Exchange Commission’s Disclosure Update and Simplification rule. Accordingly, the prior year distributions have been revised to conform to current period presentation. Please refer to Note 6 to review the character of each respective Funds’ distributable earnings for the year ended December 31, 2017, which was previously reported in the Statement of Changes of Net Assets prior to the adoption of the Disclosure Update and Simplification rule.

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

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288

Statements of Changes in Net Assets December 31, 2018

	AQR VOLATILITY RISK PREMIUM FUND
	FOR THE PERIOD 11/01/18*-12/31/18
OPERATIONS:
Net investment income (loss)	$	21,407
Net realized gain (loss)		(154,913	)
Net change in unrealized appreciation (depreciation)		(345,291	)
Net increase (decrease) in net assets resulting from operations		(478,797	)
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		(2,866	)
Class N		(2,213	)
Class R6		(24,930	)
Total distributions		(30,009	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,112,219
Reinvestment of distributions		1,667
Net increase (decrease) from capital transactions		1,113,886
CLASS N
Proceeds from shares sold		1,000,000
Reinvestment of distributions		1,200
Net increase (decrease) from capital transactions		1,001,200
CLASS R6
Proceeds from shares sold		9,145,000
Reinvestment of distributions		13,517
Net increase (decrease) from capital transactions		9,158,517
Net increase (decrease) in net assets resulting from capital transactions		11,273,603
Total increase (decrease) in net assets		10,764,797
NET ASSETS:
Beginning of period		—
End of period	$	10,764,797
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		—
Shares sold		111,453
Shares issued on reinvestment of distributions		175
Shares outstanding, end of period		111,628
CLASS N
Shares outstanding, beginning of period		—
Shares sold		100,001
Shares issued on reinvestment of distributions		125
Shares outstanding, end of period		100,126
CLASS R6
Shares outstanding, beginning of period		—
Shares sold		915,343
Shares issued on reinvestment of distributions		1,417
Shares outstanding, end of period		916,760

* Commencement of operations.

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

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289

Statements of Cash Flows December 31, 2018

	AQR ALTERNATIVE RISK PREMIA FUND			AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND
CASH FLOWS FROM (USED IN) OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(13,519,414	)	$	9,974,044		$	(271,562,895	)
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		(412,485,065	)		(1,154,329,083	)		(388,685,584	)
Payments to cover short positions in securities		(123,673,332	)		(576,936,498	)		(519,538,523	)
Proceeds from sale of securities		119,385,933			1,215,172,127			533,966,318
Proceeds from short positions in securities		377,701,477			565,296,877			370,902,052
Proceeds from option contracts written		11,768,333			7,979			—
Payments to close option contracts written		(11,057,495	)		—			—
(Purchases) sales of short-term investments, net		(216,060,564	)		29,975,169			752,292,400
Realized (gain) loss on investments in securities		20,300,952			(42,971,847	)		(69,156	)
Realized (gain) loss on short positions in securities		13,154,693			18,714,430			18,113,515
Realized (gain) loss on option contracts written		186,110			(7,979	)		—
Realized (gain) loss on paydowns		—			(2,014	)		—
Change in unrealized (appreciation) depreciation on investments in securities		17,942,422			54,934,938			79,924,884
Change in unrealized (appreciation) depreciation on short positions in securities		(51,519,852	)		(38,578,536	)		(89,769,766	)
Change in unrealized (appreciation) depreciation on option contracts written		543,579			—			—
Amortization (accretion) of bond premium (discount)		(602,288	)		(850,365	)		(8,319,644	)
(Increases) decreases in operating assets:
Due from brokers		(2,942,781	)		(4,605,159	)		262,330,522
Deposits with brokers for futures contracts		(14,236,283	)		(231,789	)		3,828,915
Unrealized appreciation on forward foreign currency exchange contracts		(1,034,239	)		(138,162	)		(79,966	)
Unrealized appreciation on OTC swaps		150,524			10,534,335			74,848,264
Deposits for securities sold short		(3,448,308	)		(7,836,958	)		—
Deposits for written options		(10,107,760	)		—			—
Deposits with brokers for centrally cleared swaps		—			(263,651	)		—
Variation margin on futures contracts		11,308			216,068			429,488
Foreign tax reclaim		(52,541	)		2,403			(341,345	)
Dividends and interest		(503,935	)		(467,689	)		(254,056	)
Prepaid expenses		1,846			(7,454	)		49,094
Increases (decreases) in operating liabilities:
Due to broker		2,914			(6,023,345	)		—
Unrealized depreciation on forward foreign currency exchange contracts		6,010,077			(57,194	)		(459,836	)
Unrealized depreciation on OTC swaps		1,014,372			9,749,135			21,133,286
Deposits from brokers for futures contracts		—			—			2
Variation margin on centrally cleared swaps		—			12,402			—
Variation margin on futures contracts		785,464			482,880			—
Accrued investment advisory fees		274,851			(56,225	)		(980,964	)
Accrued distribution fees—Class N		1,727			(1,688	)		(28,562	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		331,405			14,967			(225,791	)
Other accrued expenses and liabilities		100,782			(29,096	)		(299,416	)
Net cash provided by (used in) operating activities	$	(291,575,088	)	$	81,693,022		$	837,203,236
CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES
Proceeds from shares sold		625,216,760			166,605,563			927,569,848
Payments on shares redeemed		(318,984,907	)		(239,620,758	)		(1,768,979,443	)
Cash distributions paid		(15,425	)		(8,333,694	)		(971,846	)
Due to custodian		—			63,476			—
Foreign currency due to custodian		316,078			—			—
Net cash provided by (used in) financing activities	$	306,532,506		$	(81,285,413	)	$	(842,381,441	)
Net change in cash and cash denominated in foreign currencies		14,957,418			407,609			(5,178,205	)
Cash, beginning of period		789,393			687,580			8,046,784
Cash, end of period**	$	15,746,811		$	1,095,189		$	2,868,579

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $1,048,038, $1,199,549 and $3,295,629.

Non-cash financing activities consist of reinvestment of distributions in the amount $276,135, $18,023,538, and $4,602,595.

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

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290

Statements of Cash Flows December 31, 2018

	AQR LONG-SHORT EQUITY FUND			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK PARITY II HV FUND**
CASH FLOWS FROM (USED IN) OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(874,974,238	)	$	(383,247,308	)	$	(3,990,638	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Payments to purchase securities		(4,603,009,848	)		(164,333,727	)		(2,756,459	)
Payments to cover short positions in securities		(3,735,228,793	)		(657,854,358	)		—
Proceeds from sale of securities		4,420,273,123			570,466,511			19,918,653
Proceeds from short positions in securities		3,216,696,747			306,492,222			—
Proceeds from option contracts written		—			2,655,626			—
Payments to close option contracts written		—			(2,652,636	)		—
(Purchases) sales of short-term investments, net		3,705,792,237			1,200,357,837			18,984,301
Realized (gain) loss on investments in securities		(58,043,521	)		(95,427,688	)		52,059
Realized (gain) loss on short positions in securities		235,784,017			62,523,909			—
Realized (gain) loss on option contracts written		—			(91,414	)		—
Change in unrealized (appreciation) depreciation on investments in securities		245,696,420			111,712,624			1,094,103
Change in unrealized (appreciation) depreciation on short positions in securities		(202,842,647	)		(85,409,048	)		—
Change in unrealized (appreciation) depreciation on option contracts written		—			(2,134,960	)		—
Amortization (accretion) of bond premium (discount)		(32,729,707	)		(2,396,353	)		(841,759	)
(Increases) decreases in operating assets:
Due from brokers		16,701,436			6,209,043			282,065
Deposits with brokers for futures contracts		71,283,652			45,179,412			2,477,734
Repurchase Agreements		—			—			(5,939,568	)
Unrealized appreciation on forward foreign currency exchange contracts		1,719,003			24,645,830			(64,367	)
Unrealized appreciation on OTC swaps		216,545,698			138,786,772			2,796
Deposits for securities sold short		—			61,508,203			—
Deposits for written options		—			(266,169	)		—
Deposits with brokers for centrally cleared swaps		—			5,788,458			—
Variation margin on futures contracts		(6,077,125	)		1,926,423			110,763
Foreign tax reclaim		204,452			102,832			—
Dividends and interest		746,452			1,241,598			22,305
Due from Investment Adviser		—			—			(2,661	)
Prepaid expenses		71,551			(571	)		(5,249	)
Increases (decreases) in operating liabilities:
Due to broker		(195,504,689	)		(18,994,992	)		10,769
Unrealized depreciation on forward foreign currency exchange contracts		4,298,165			(13,719,735	)		(50,687	)
Unrealized depreciation on OTC swaps		114,369,743			43,803,406			(64,323	)
Deposits from brokers for futures contracts		—			32,494			—
Variation margin on centrally cleared swaps		—			(666,654	)		—
Variation margin on futures contracts		(5,644,330	)		(1,111,145	)		(119,995	)
Accrued investment advisory fees		(2,908,258	)		(2,425,885	)		(43,782	)
Accrued distribution fees—Class N		(56,301	)		(12,621	)		(2,952	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		(498,933	)		251,250			—
Interest payable for reverse repurchase agreements		—			—			31,999
Other accrued expenses and liabilities		(596,909	)		(556,184	)		21,837
Net cash provided by (used in) operating activities	$	2,532,067,397		$	1,152,383,002		$	29,126,944
CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES
Proceeds from shares sold		2,105,433,519			779,102,930			11,083,231
Net change in reverse repurchase agreements		—			—			(872,005	)
Payments on shares redeemed		(4,621,094,874	)		(1,950,831,747	)		(38,826,810	)
Cash distributions paid		(36,382,564	)		—			(534,890	)
Due to custodian		—			1,821,806			—
Net cash provided by (used in) financing activities	$	(2,552,043,919	)	$	(1,169,907,011	)	$	(29,150,474	)
Net change in cash and cash denominated in foreign currencies		(19,976,522	)		(17,524,009	)		(23,530	)
Cash, beginning of period		26,985,821			29,226,026			48,108
Cash, end of period**	$	7,009,299		$	11,702,017		$	24,578

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $8,650,438, $4,362,367 and $227,946.

Non-cash financing activities consist of reinvestment of distributions in the amount $95,047,100, $—, and $1,557,584.

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

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291

Statements of Cash Flows December 31, 2018

	AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
CASH FLOWS FROM (USED IN) OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(628,678,802	)	$	(23,971,720	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Payments to purchase securities		(4,066,598,432	)		(82,371,979	)
Payments to cover short positions in securities		(3,289,256,214	)		(58,489,240	)
Proceeds from sale of securities		3,497,230,087			49,870,370
Proceeds from short positions in securities		3,416,311,782			90,968,165
(Purchases) sales of short-term investments, net		1,478,377,112			(9,024,846	)
Realized (gain) loss on investments in securities		(188,653,643	)		(4,096,934	)
Realized (gain) loss on short positions in securities		337,870,095			2,723,509
Change in unrealized (appreciation) depreciation on investments in securities		489,072,607			16,531,896
Change in unrealized (appreciation) depreciation on short positions in securities		(348,247,862	)		(14,188,936	)
Amortization (accretion) of bond premium (discount)		(19,704,250	)		(2,596,369	)
(Increases) decreases in operating assets:
Due from brokers		44,248,921			(37,873	)
Deposits with brokers for futures contracts		29,017,435			(7,810,769	)
Unrealized appreciation on forward foreign currency exchange contracts		23,348,523			1,383,642
Unrealized appreciation on OTC swaps		46,466,197			5,592,050
Variation margin on futures contracts		1,851,909			171,613
Foreign tax reclaim		348,315			(22,172	)
Dividends and interest		(841,924	)		(275,729	)
Prepaid expenses		(37,391	)		(14,839	)
Increases (decreases) in operating liabilities:
Due to broker		(73,122,631	)		(6,609,710	)
Unrealized depreciation on forward foreign currency exchange contracts		16,600,871			1,338,560
Unrealized depreciation on OTC swaps		28,178,787			977,996
Deposits from brokers for futures contracts		(192,897	)		—
Variation margin on futures contracts		14,559,149			811,492
Accrued investment advisory fees		(1,367,119	)		21,081
Accrued distribution fees—Class N		(18,807	)		(3,213	)
Dividends and Interest payable on securities sold short and reverse repurchase agreements		1,154,478			44,298
Other accrued expenses and liabilities		(523,124	)		8,185
Net cash provided by (used in) operating activities	$	807,393,172		$	(39,071,472	)
CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES
Proceeds from shares sold		1,971,440,540			449,320,423
Payments on shares redeemed		(2,756,938,625	)		(406,255,687	)
Cash distributions paid		(4,895,299	)		(58,339	)
Net cash provided by (used in) financing activities	$	(790,393,384	)	$	43,006,397
Net change in cash and cash denominated in foreign currencies		16,999,788			3,934,925
Cash, beginning of period		20,982,576			5,651,358
Cash, end of period**	$	37,982,364		$	9,586,283

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $9,090,652 and $441,230.

Non-cash financing activities consist of reinvestment of distributions in the amount $29,759,321 and $401,710.

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

AQR Funds Annual Report December 2018

292

Statements of Cash Flows December 31, 2018

** 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		$15,746,811		$—		$15,746,811
AQR Diversified Arbitrage Fund		—		1,095,189		1,095,189
AQR Equity Market Neutral Fund		21,799		2,846,780		2,868,579
AQR Long-Short Equity Fund		1,395,676		5,613,623		7,009,299
AQR Multi-Strategy Alternative Fund		—		11,702,017		11,702,017
AQR Risk Parity II HV Fund		79		24,499		24,578
AQR Style Premia Alternative Fund		21,215,767		16,766,597		37,982,364
AQR Style Premia Alternative LV Fund		8,663,151		923,132		9,586,283

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

AQR Funds Annual Report December 2018

293

Financial Highlights December 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1								Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains			Return of Capital			Total Distributions
AQR ALTERNATIVE RISK PREMIA FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.01		(0.00)	6		(0.75)			(0.75)		(0.01)		—			—			(0.01)
FOR THE PERIOD 9/19/178—12/31/17		$10.00		(0.01)			0.02	9		0.01		—		—			—			—
AQR ALTERNATIVE RISK PREMIA FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.01		(0.03)			(0.74)			(0.77)		(0.01)		—			—			(0.01)
FOR THE PERIOD 9/19/178—12/31/17		$10.00		(0.01)			0.02	9		0.01		—		—			—			—
AQR ALTERNATIVE RISK PREMIA FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.02		0.01			(0.75)			(0.74)		(0.01)		—			—			(0.01)
FOR THE PERIOD 9/19/178—12/31/17		$10.00		(0.01)			0.03	9		0.02		—		—			—			—
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.12		0.06			0.14			0.20		(0.57)		—			—			(0.57)
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)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.12		0.04			0.14			0.18		(0.54)		—			—			(0.54)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.23		0.00	6		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)
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.10		0.08			0.13			0.21		(0.58)		—			—			(0.58)
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
FOR THE YEAR ENDED DECEMBER 31, 2018		$12.25		0.04			(1.48)			(1.44)		(0.05)		—			—			(0.05)
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)	6		—			(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 10/07/148—12/31/14		$10.00		(0.02)			0.62			0.60		(0.59)		—			(0.00)	6		(0.59)
AQR EQUITY MARKET NEUTRAL FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$12.21		0.00	6		(1.46)			(1.46)		(0.05)		—			—			(0.05)
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)	6		—			(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 10/07/148—12/31/14		$10.00		(0.03)			0.62			0.59		(0.58)		—			(0.00)	6		(0.58)
AQR EQUITY MARKET NEUTRAL FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$12.25		0.05			(1.48)			(1.43)		(0.05)		—			—			(0.05)
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		$11.49		(0.14)			0.81			0.67		(0.19)		(0.00)	6		—			(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 10/07/148—12/31/14		$10.00		(0.02)			0.62			0.60		(0.59)		—			(0.00)	6		(0.59)

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

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Financial Highlights December 31, 2018

				RATIOS/SUPPLEMENTAL DATA
						Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3		Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4		Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4		Net Investment Income (Loss)		Portfolio Turnover Rate5
	$9.25		(7.51)%		$260,990		3.40%	7		3.32%		1.40%		(0.00)%		253%
	$10.01		0.10%		$26,852		3.06%	7		2.65%		1.40%		(0.25)%		293%
	$9.23		(7.72)%		$11,467		3.64%	7		3.55%		1.63%		(0.27)%		253%
	$10.01		0.10%		$1,538		3.70%	7		2.90%		1.65%		(0.44)%		293%
	$9.27		(7.41)%		$98,967		3.31%	7		3.23%		1.30%		0.06%		253%
	$10.02		0.20%		$49,818		3.14%	7		2.55%		1.30%		(0.22)%		293%
	$8.75		2.19%		$319,152		1.96%			1.92%		1.20%		0.66%		390%
	$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%
	$8.76		2.01%		$66,251		2.21%			2.17%		1.45%		0.44%		390%
	$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%
	$8.73		2.41%		$13,654		1.87%			1.82%		1.10%		0.79%		390%
	$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%
	$10.76		(11.73)%		$708,592		1.99%			1.99%		1.24%		0.32%		175%
	$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%	7		1.90%		1.25%		(1.36)%		383%
	$10.01		5.93%		$1,445		4.57%	7		1.63%		1.30%		(1.04)%		152%
	$10.70		(11.94)%		$209,290		2.27%			2.27%		1.53%		0.02%		175%
	$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%	7		2.16%		1.51%		(1.69)%		383%
	$10.01		5.88%		$1,233		4.83%	7		1.88%		1.55%		(1.29)%		152%
	$10.77		(11.65)%		$206,044		1.93%			1.93%		1.18%		0.44%		175%
	$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%	7		1.85%		1.20%		(1.26)%		383%
	$10.01		5.95%		$3,210		4.49%	7		1.53%		1.20%		(0.95)%		152%

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

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Financial Highlights December 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1								Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income			Distributions from Net Realized Gains		Return of Capital		Total Distributions
AQR GLOBAL MACRO FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.75		0.03			0.65			0.68		(0.15)			(0.20)		—		(0.35)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.06		(0.06)			(0.25)			(0.31)		(0.00)	6		—		—		(0.00)	6
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.11)			0.12	9		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 4/08/148—12/31/14		$10.00		(0.10)			0.06			(0.04)		—			(0.02)		—		(0.02)
AQR GLOBAL MACRO FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.66		(0.00)	6		0.66			0.66		(0.15)			(0.20)		—		(0.35)
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	9		(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 4/08/148—12/31/14		$10.00		(0.12)			0.06			(0.06)		—			(0.02)		—		(0.02)
AQR GLOBAL MACRO FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.75		0.04			0.65			0.69		(0.16)			(0.20)		—		(0.36)
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	9		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
FOR THE YEAR ENDED DECEMBER 31, 2018		$13.88		0.04			(2.32)			(2.28)		(0.04)			(0.62)		—		(0.66)
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)
AQR LONG-SHORT EQUITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$13.80		(0.01)			(2.29)			(2.30)		(0.04)			(0.62)		—		(0.66)
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)
AQR LONG-SHORT EQUITY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$13.91		0.04			(2.32)			(2.28)		(0.04)			(0.62)		—		(0.66)
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.

AQR Funds Annual Report December 2018

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Financial Highlights December 31, 2018

				RATIOS/SUPPLEMENTAL DATA
						Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3		Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4		Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4		Net Investment Income (Loss)		Portfolio Turnover Rate5
	$9.08		7.80%		$20,230		1.93%			1.42%		1.42%		0.29%		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%	7		1.38%		1.38%		(1.45)%		0%
	$9.94		(0.42)%		$35,466		2.24%	7		1.45%		1.45%		(1.44)%		0%
	$8.97		7.57%		$17,074		2.11%			1.68%		1.68%		(0.04)%		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%	7		1.70%		1.70%		(1.56)%		0%
	$9.92		(0.62)%		$1,050		2.49%	7		1.70%		1.70%		(1.69)%		0%
	$9.08		7.84%		$12,073		1.91%			1.35%		1.35%		0.41%		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%	7		1.35%		1.35%		(1.41)%		0%
	$9.94		2.45%		$102		2.02%	7		1.35%		1.35%		(1.37)%		0%
	$10.94		(16.40)%		$1,697,554		1.73%			1.73%		1.24%		0.28%		462%
	$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%
	$10.84		(16.64)%		$117,289		2.01%			2.01%		1.51%		(0.04)%		462%
	$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%
	$10.97		(16.36)%		$206,247		1.66%			1.66%		1.16%		0.32%		462%
	$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.

AQR Funds Annual Report December 2018

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Financial Highlights December 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1							Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income			Distributions from Net Realized Gains		Return of Capital		Total Distributions
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.05		(0.04)		(1.20)			(1.24)		—			—		—		—
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)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.00		(0.06)		(1.20)			(1.26)		—			—		—		—
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)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.06		(0.03)		(1.21)			(1.24)		—			—		—		—
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
FOR THE YEAR ENDED DECEMBER 31, 2018		$6.90		0.05		(1.26)			(1.21)		(0.04)			—		—		(0.04)
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.25		(0.02)		0.67			0.65		(0.00)	6		—		—		(0.00)
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)		—			—		—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$6.81		0.03		(1.24)			(1.21)		(0.02)			—		—		(0.02)
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.18		(0.03)		0.66			0.63		(0.00)	6		—		—		(0.00)	6
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)		—			—		—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$6.92		0.05		(1.27)			(1.22)		(0.04)			—		—		(0.04)
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.26		(0.01)		0.67			0.66		(0.00)	6		—		—		(0.00)	6
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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				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
	$7.81		(13.70)%		$776,088		2.37%		2.37%		1.95%		(0.45)%		136%
	$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%
	$7.74		(14.00)%		$370,597		2.64%		2.64%		2.22%		(0.74)%		136%
	$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%
	$7.82		(13.69)%		$324,871		2.29%		2.29%		1.87%		(0.37)%		136%
	$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%
	$5.65		(17.58)%		$96,393		0.99%		0.97%		0.97%		0.71%		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%
	$5.58		(17.82)%		$17,457		1.27%		1.25%		1.25%		0.45%		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%
	$5.66		(17.60)%		$156,433		0.93%		0.90%		0.90%		0.80%		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 December 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1								Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Return of Capital		Total Distributions
AQR RISK PARITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.82		0.09			(0.78)			(0.69)		(0.28)		(0.34)		—		(0.62)
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)
AQR RISK PARITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.80		0.06			(0.77)			(0.71)		(0.26)		(0.34)		—		(0.60)
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)
AQR RISK PARITY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.83		0.09			(0.78)			(0.69)		(0.29)		(0.34)		—		(0.63)
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)	9		(0.47)		(0.30)		(1.10)		—		(1.40)
AQR RISK PARITY II HV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.88		0.07			(1.02)			(0.95)		(0.34)		(0.28)		—		(0.62)
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)
AQR RISK PARITY II HV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.85		0.04			(1.00)			(0.96)		(0.29)		(0.28)		—		(0.57)
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)
AQR RISK PARITY II HV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.88		0.08			(1.02)			(0.94)		(0.35)		(0.28)		—		(0.63)
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)	6		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)	9		(0.58)		(0.06)		(1.18)		—		(1.24)
AQR RISK PARITY II MV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.26		0.09			(0.69)			(0.60)		(0.10)		(0.11)		—		(0.21)
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)
AQR RISK PARITY II MV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.20		0.07			(0.68)			(0.61)		(0.08)		(0.11)		—		(0.19)
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)
AQR RISK PARITY II MV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.26		0.10			(0.69)			(0.59)		(0.11)		(0.11)		—		(0.22)
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)	9		(0.37)		(0.03)		(0.71)		—		(0.74)

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

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Financial Highlights December 31, 2018

				RATIOS/SUPPLEMENTAL DATA
						Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3		Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4		Expenses, Net of Reimbursements and/or Waivers4		Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4		Net Investment Income (Loss)		Portfolio Turnover Rate5
	$8.51		(6.96)%		$217,406		0.93%		0.92%		0.92%		0.96%		21%
	$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%
	$8.49		(7.23)%		$12,303		1.20%		1.18%		1.18%		0.68%		21%
	$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%
	$8.51		(6.94)%		$24,925		0.86%		0.85%		0.85%		0.98%		21%
	$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%
	$7.31		(10.76)%		$20,457		2.06%		1.63%		1.10%		0.85%		19%
	$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%
	$7.32		(10.92)%		$4,126		2.32%		1.92%		1.40%		0.47%		19%
	$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%
	$7.31		(10.68)%		$770		2.04%		1.58%		1.05%		0.94%		19%
	$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%
	$8.45		(6.44)%		$63,972		1.15%		0.94%		0.94%		1.01%		20%
	$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%
	$8.40		(6.66)%		$2,221		1.41%		1.20%		1.20%		0.78%		20%
	$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%
	$8.45		(6.34)%		$694		1.06%		0.85%		0.85%		1.10%		20%
	$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%

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

AQR Funds Annual Report December 2018

301

Financial Highlights December 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1							Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)		Net Increase (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Return of Capital		Total Distributions
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.38		0.01			(1.28)		(1.27)		(0.09)		—		—		(0.09)
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)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.35		(0.02)			(1.28)		(1.30)		(0.05)		—		—		(0.05)
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)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.41		0.02			(1.30)		(1.28)		(0.10)		—		—		(0.10)
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)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.57		0.10			(0.65)		(0.55)		(0.01)		—		—		(0.01)
FOR THE YEAR ENDED DECEMBER 31, 2017		$10.41		(0.00)	6		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 9/17/148—12/31/14		$10.00		(0.02)			0.32		0.30		(0.09)		(0.03)		—		(0.12)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.53		0.07			(0.65)		(0.58)		—		—		—		—
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 9/17/148—12/31/14		$10.00		(0.03)			0.32		0.29		(0.09)		(0.03)		—		(0.12)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.59		0.10			(0.65)		(0.55)		(0.02)		—		—		(0.02)
FOR THE YEAR ENDED DECEMBER 31, 2017		$10.42		(0.00)	6		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 9/17/148—12/31/14		$10.00		(0.01)			0.31		0.30		(0.10)		(0.03)		—		(0.13)
AQR VOLATILITY RISK PREMIUM FUND CLASS I
FOR THE PERIOD 11/01/188—12/31/18		$10.00		0.02			(0.45)		(0.43)		(0.03)		—		—		(0.03)
AQR VOLATILITY RISK PREMIUM FUND CLASS N
FOR THE PERIOD 11/01/188—12/31/18		$10.00		0.01			(0.45)		(0.44)		(0.02)		—		—		(0.02)
AQR VOLATILITY RISK PREMIUM FUND CLASS R6
FOR THE PERIOD 11/01/188—12/31/18		$10.00		0.02			(0.45)		(0.43)		(0.03)		—		—		(0.03)

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

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Financial Highlights December 31, 2018

				RATIOS/SUPPLEMENTAL DATA
						Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3		Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4		Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4		Net Investment Income (Loss)		Portfolio Turnover Rate5
	$9.02		(12.26)%		$1,759,075		2.25%			2.24%		1.47%		0.09%		345%
	$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%
	$9.00		(12.60)%		$82,850		2.51%			2.50%		1.74%		(0.22)%		345%
	$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%
	$9.03		(12.32)%		$1,459,422		2.18%			2.17%		1.40%		0.21%		345%
	$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%
	$10.01		(5.21)%		$407,402		1.17%			1.17%		0.83%		0.99%		191%
	$10.57		6.74%		$336,047		1.23%			1.22%		0.83%		(0.00)%		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%	7		1.01%		0.85%		(0.68)%		191%
	$9.95		(5.51)%		$21,871		1.44%			1.44%		1.10%		0.63%		191%
	$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%	7		1.32%		1.10%		(0.91)%		191%
	$10.02		(5.23)%		$51,934		1.10%			1.10%		0.75%		0.98%		191%
	$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%	7		1.00%		0.75%		(0.32)%		191%
	$9.54		(4.34)%		$1,065		2.63%	7		0.76%		0.75%		1.14%		18%
	$9.54		(4.38)%		$955		2.88%	7		1.00%		1.00%		0.89%		18%
	$9.54		(4.32)%		$8,745		2.53%	7		0.65%		0.65%		1.24%		18%

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

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Financial Highlights December 31, 2018

  * Annualized for periods less than one year.

  ¹ Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  ² Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

  ³ Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

  ⁴ Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  ⁵ Portfolio turnover is not annualized.

  ⁶ Amount is less than $.005 per share.

  ⁷ Certain expenses incurred by the Fund were not annualized for the period.

  ⁸ Commencement of operations.

  ⁹ 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.

¹⁰  Commencement of offering of shares.

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

AQR Funds Annual Report December 2018

304

Notes to Financial Statements December 31, 2018

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2018, the Trust consists of thirty-nine active series, thirteen 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, AQR Style Premia Alternative LV Fund and AQR Volatility Risk Premium 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.

AQR Volatility Risk Premium Fund commenced operations on November 1, 2018.

The investment objective of the AQR Alternative Risk Premia Fund, the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund, the AQR Risk Parity II MV Fund and the AQR Volatility Risk Premium 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 and the 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, which are 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 (on a tax basis) 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 DECEMBER 31, 2018		% OF TOTAL ASSETS AT DECEMBER 31, 2018
AQR Global Macro Offshore Fund Ltd.	$	12,430,374		17.0	%
AQR Multi-Strategy Alternative Offshore Fund Ltd.		241,862,127		7.1	%
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd.		61,998,943		22.9	%
AQR Risk Parity Offshore Fund Ltd.		51,171,900		18.8	%
AQR Risk Parity II HV Offshore Fund Ltd.		5,952,602		12.0	%
AQR Risk Parity II MV Offshore Fund Ltd.		9,930,522		14.6	%
AQR Style Premia Alternative Offshore Fund Ltd.		767,345,220		10.4	%
AQR Style Premia Alternative LV Offshore Fund Ltd.		111,123,204		15.0	%

3. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard CodificationTopic 946 Financial Services — Investment Companies. The accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior period amounts have been reclassified to reflect current period presentation.

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305

Notes to Financial Statements December 31, 2018

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 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. Certain fixed-income investments may pay interest in-kind, which represents contractual interest accrued and increases the principal balance. 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. 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. The Funds are 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.

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306

Notes to Financial Statements December 31, 2018

Federal Income Taxes:Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of December 31, 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 Statements of Changes in Net Assets and have been recorded to paid in capital.

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. Further, pursuant to the 1940 Act, control is presumed to exist when, among other things, a Fund owns more than 25% of the outstanding voting securities of portfolio company. However, the Funds do not invest in the LPCI Fund for the purpose of exercising significant 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.

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307

Notes to Financial Statements December 31, 2018

Inflation-Indexed Bonds: Certain Funds may invest in inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.

Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.

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. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.

As of December 31, 2018, AQR Diversified Arbitrage Fund’s unfunded commitments were as follows:

BORROWER	COMMITMENT AMOUNT
DEMC, Ltd Class A-2	$196,227

The Fund has no unrealized gain or loss on the unfunded commitment.

Defaulted Securities and Distressed Investments:Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Funds 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	$	561,748
AQR Diversified Arbitrage Fund		419,369
AQR Equity Market Neutral Fund		1,933,204
AQR Long-Short Equity Fund		4,608,750
AQR Multi-Strategy Alternative Fund		1,563,269
AQR Style Premia Alternative Fund		4,342,201
AQR Style Premia Alternative LV Fund		252,393

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 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.

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

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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 generally monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Prior to the reset, these amounts are included as a component of the swap value in Net cash and other receivables (payables). Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. A change in the market value of a total return basket swap contract is recognized as net change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net realized gain (loss) from expiration or closing of swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

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 Liabilites. 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 Schedule of Investments. 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. Investments in repurchase agreements are reflected as assets on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses

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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 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 greater than 90 days in the amount of $6,727,597 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.

The maximum financial exposure for written put options is limited to the number of contracts written and the related strike prices. The number contracts, strike price, and expiration date for each written put option contract is disclosed in each respective Fund’s Schedule of Investments, as applicable.

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 are 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. Investments in mutual funds are valued daily at their NAVs which are also classified as 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, 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 generally 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. For option contracts, if no sales occurred on such date, at the mid 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.

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OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR ALTERNATIVE RISK PREMIA FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	223,473,751		$	108,882,057		$	—	$	332,355,808
Rights†		—			31,919			—		31,919
Short-Term Investments		189,798,655			85,652,450			—		275,451,105
Futures Contracts*		5,959,842			—			—		5,959,842
Forward Foreign Currency Exchange Contracts*		—			1,758,225			—		1,758,225
Total Return Swaps Contracts*		—			165,385			—		165,385
Total Assets	$	419,232,248		$	196,490,036		$	—	$	615,722,284
LIABILITIES
Common Stocks (Sold Short)†	$	(186,791,121	)	$	(92,740,470	)	$	—	$	(279,531,591	)
Written Options (Sold Short)		(1,760,811	)		—			—		(1,760,811	)
Futures Contracts*		(3,143,479	)		—			—		(3,143,479	)
Forward Foreign Currency Exchange Contracts*		—			(6,652,366	)		—		(6,652,366	)
Total Return Swaps Contracts*		—			(1,039,263	)		—		(1,039,263	)
Total Liabilities	$	(191,695,411	)	$	(100,432,099	)	$	—	$	(292,127,510	)

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314

Notes to Financial Statements December 31, 2018

AQR DIVERSIFIED ARBITRAGE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	99,880,636		$	24,647,131		$	1,793,755		$	126,321,522
Convertible Preferred Stocks		—			12,367,506			—			12,367,506
Corporate Bonds		—			22,898,041			1,188,838			24,086,879
Convertible Bonds		—			144,969,668			98,239			145,067,907
Closed End Funds		28,618,439			—			—			28,618,439
Exchange-Traded Funds		7,850			—			—			7,850
Loan Participations		—			869,633			106,851			976,484
Preferred Stocks		1,125,506			609,493			737,083			2,472,082
Rights		1,728,449			487,374			168,578			2,384,401
Securities in Litigation		—			—			434,209			434,209
Warrants		8,396,568			774,819			930,053			10,101,440
Short-Term Investments		101,955,719			47,843,173			—			149,798,892
Futures Contracts*		1,919,617			—			—			1,919,617
Forward Foreign Currency Exchange Contracts*		—			138,942			—			138,942
Total Return Basket Swaps Contracts*		—			1,380,222			—			1,380,222
Total Assets	$	243,632,784		$	256,986,002		$	5,457,606		$	506,076,392
LIABILITIES
Common Stocks (Sold Short)	$	(104,146,374	)	$	(340,199	)	$	—	(a)	$	(104,486,573	)
Convertible Bonds (Sold Short)		—			(8,626,688	)		—			(8,626,688	)
Futures Contracts*		(1,332,353	)		—			—			(1,332,353	)
Forward Foreign Currency Exchange Contracts*		—			(53,646	)		—			(53,646	)
Credit Default Swap Contracts*		—			(439,441	)		—			(439,441	)
Total Return Basket Swaps Contracts*		—			(11,948,747	)		—			(11,948,747	)
Total Liabilities	$	(105,478,727	)	$	(21,408,721	)	$	—	(a)	$	(126,887,448	)
AQR EQUITY MARKET NEUTRAL FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	43,403,640		$	303,356,840		$	—		$	346,760,480
Rights†		—			278,916			—			278,916
Short-Term Investments		747,044,011			298,851,937			—			1,045,895,948
Forward Foreign Currency Exchange Contracts*		—			452,267			—			452,267
Total Return Basket Swaps Contracts*		—			10,508,778			—			10,508,778
Total Assets	$	790,447,651		$	613,448,738		$	—		$	1,403,896,389
LIABILITIES
Common Stocks (Sold Short)†	$	(43,827,150	)	$	(216,507,826	)	$	—		$	(260,334,976	)
Forward Foreign Currency Exchange Contracts*		—			(787,434	)		—			(787,434	)
Total Return Basket Swaps Contracts*		—			(25,044,588	)		—			(25,044,588	)
Total Liabilities	$	(43,827,150	)	$	(242,339,848	)	$	—		$	(286,166,998	)
AQR GLOBAL MACRO FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Short-Term Investments	$	19,971,471		$	28,290,741		$	—		$	48,262,212
Futures Contracts*		1,518,624			—			—			1,518,624
Forward Foreign Currency Exchange Contracts*		—			897,352			—			897,352
Interest Rate Swap Contracts*		—			2,097,972			—			2,097,972
Total Return Swaps Contracts*		—			95,109			—			95,109
Total Assets	$	21,490,095		$	31,381,174		$	—		$	52,871,269
LIABILITIES
Futures Contracts*	$	(1,401,924	)	$	—		$	—		$	(1,401,924	)
Forward Foreign Currency Exchange Contracts*		—			(1,827,685	)		—			(1,827,685	)
Interest Rate Swap Contracts*		—			(1,481,022	)		—			(1,481,022	)
Total Return Swaps Contracts*		—			(72,810	)		—			(72,810	)
Total Liabilities	$	(1,401,924	)	$	(3,381,517	)	$	—		$	(4,783,441	)

AQR Funds Annual Report December 2018

315

Notes to Financial Statements December 31, 2018

AQR LONG-SHORT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	853,717,548		$	158,395,964		$	—	$	1,012,113,512
Rights†		—			491,065			—		491,065
Short-Term Investments		242,693,726			1,099,621,490			—		1,342,315,216
Futures Contracts*		187,050			—			—		187,050
Forward Foreign Currency Exchange Contracts*		—			7,211,378			—		7,211,378
Total Return Basket Swaps Contracts*		—			44,107,377			—		44,107,377
Total Return Swaps Contracts*		—			2,113			—		2,113
Total Assets	$	1,096,598,324		$	1,309,829,387		$	—	$	2,406,427,711
LIABILITIES
Common Stocks (Sold Short)†	$	(567,319,865	)	$	(91,032,320	)	$	—	$	(658,352,185	)
Futures Contracts*		(39,732,146	)		—			—		(39,732,146	)
Forward Foreign Currency Exchange Contracts*		—			(6,124,769	)		—		(6,124,769	)
Total Return Basket Swaps Contracts*		—			(124,147,215	)		—		(124,147,215	)
Total Return Swaps Contracts*		—			(5,743,507	)		—		(5,743,507	)
Total Liabilities	$	(607,052,011	)	$	(227,047,811	)	$	—	$	(834,099,822	)
AQR MULTI-STRATEGY ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	16,853,215		$	—		$	428,775	$	17,281,990
Convertible Preferred Stocks†		—			154,132,313			—		154,132,313
Corporate Bonds†		—			—			242,059		242,059
Convertible Bonds†		—			301,106,516			185,300		301,291,816
Short-Term Investments		1,127,167,268			84,163,096			—		1,211,330,364
Futures Contracts*		23,839,540			—			—		23,839,540
Forward Foreign Currency Exchange Contracts*		—			18,170,798			—		18,170,798
Credit Default Swap Contracts*		—			32,193			—		32,193
Total Return Basket Swaps Contracts*		—			26,797,298			—		26,797,298
Total Return Swaps Contracts*		—			2,503,975			—		2,503,975
Total Assets	$	1,167,860,023		$	586,906,189		$	856,134	$	1,755,622,346
LIABILITIES
Common Stocks (Sold Short)†	$	(314,195,274	)	$	—		$	—	$	(314,195,274	)
Convertible Bonds (Sold Short)†		—			(14,877,865	)		—		(14,877,865	)
Written Options (Sold Short)		(1,145,086	)		—			—		(1,145,086	)
Futures Contracts*		(21,966,210	)		—			—		(21,966,210	)
Forward Foreign Currency Exchange Contracts*		—			(33,456,361	)		—		(33,456,361	)
Credit Default Swap Contracts*		—			(4,459,091	)		—		(4,459,091	)
Total Return Basket Swaps Contracts*		—			(59,865,595	)		—		(59,865,595	)
Total Return Swaps Contracts*		—			(1,397,678	)		—		(1,397,678	)
Total Liabilities	$	(337,306,570	)	$	(114,056,590	)	$	—	$	(451,363,160	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	125,406,400		$	119,288,721		$	—	$	244,695,121
Futures Contracts*		15,436,125			—			—		15,436,125
Total Return Swaps Contracts*		—			1,003,694			—		1,003,694
Total Assets	$	140,842,525		$	120,292,415		$	—	$	261,134,940
LIABILITIES
Futures Contracts*	$	(26,450,499	)	$	—		$	—	$	(26,450,499	)
Total Return Swaps Contracts*		—			(1,548,141	)		—		(1,548,141	)
Total Liabilities	$	(26,450,499	)	$	(1,548,141	)	$	—	$	(27,998,640	)

AQR Funds Annual Report December 2018

316

Notes to Financial Statements December 31, 2018

AQR RISK PARITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	42,910,173		$	—	$	42,910,173
U.S. Treasury Obligations		—			72,256,833			—		72,256,833
Short-Term Investments		89,273,910			34,389,644			—		123,663,554
Futures Contracts*		5,613,111			—			—		5,613,111
Forward Foreign Currency Exchange Contracts*		—			2,147,447			—		2,147,447
Interest Rate Swap Contracts*		—			2,065,770			—		2,065,770
Credit Default Swap Contracts*		—			3,383,452			—		3,383,452
Total Return Swaps Contracts*		—			278,384			—		278,384
Total Assets	$	94,887,021		$	157,431,703		$	—	$	252,318,724
LIABILITIES
Futures Contracts*		(5,232,154	)		—			—		(5,232,154	)
Forward Foreign Currency Exchange Contracts*		—			(1,796,952	)		—		(1,796,952	)
Interest Rate Swap Contracts*		—			(273,209	)		—		(273,209	)
Credit Default Swap Contracts*		—			(455,939	)		—		(455,939	)
Total Return Swaps Contracts*		—			(450,141	)		—		(450,141	)
Total Liabilities	$	(5,232,154	)	$	(2,976,241	)	$	—	$	(8,208,395	)
AQR RISK PARITY II HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	6,132,794		$	—	$	6,132,794
U.S. Treasury Obligations		—			9,310,664			—		9,310,664
Short-Term Investments		9,623,360			11,473,142			—		21,096,502
Futures Contracts*		1,021,231			—			—		1,021,231
Forward Foreign Currency Exchange Contracts*		—			65,147			—		65,147
Total Return Swaps Contracts*		—			121,663			—		121,663
Total Assets	$	10,644,591		$	27,103,410		$	—	$	37,748,001
LIABILITIES
Reverse Repurchase Agreements (Sold Short)	$	—		$	(10,157,890	)	$	—	$	(10,157,890	)
Futures Contracts*		(1,054,048	)		—			—		(1,054,048	)
Forward Foreign Currency Exchange Contracts*		—			(67,866	)		—		(67,866	)
Total Return Swaps Contracts*		—			(105,252	)		—		(105,252	)
Total Liabilities	$	(1,054,048	)	$	(10,331,008	)	$	—	$	(11,385,056	)
AQR RISK PARITY II MV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	9,963,879		$	—	$	9,963,879
U.S. Treasury Obligations		—			18,037,604			—		18,037,604
Short-Term Investments		22,908,040			12,538,065			—		35,446,105
Futures Contracts*		1,688,661			—			—		1,688,661
Forward Foreign Currency Exchange Contracts*		—			43,382			—		43,382
Total Return Swaps Contracts*		—			57,489			—		57,489
Total Assets	$	24,596,701		$	40,640,419		$	—	$	65,237,120
LIABILITIES
Futures Contracts*	$	(1,685,565	)	$	—		$	—	$	(1,685,565	)
Forward Foreign Currency Exchange Contracts*		—			(55,929	)		—		(55,929	)
Total Return Swaps Contracts*		—			(118,780	)		—		(118,780	)
Total Liabilities	$	(1,685,565	)	$	(174,709	)	$	—	$	(1,860,274	)

AQR Funds Annual Report December 2018

317

Notes to Financial Statements December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	1,434,736,847		$	222,819,689		$	—		$	1,657,556,536
Rights†		—			1,106,880			—			1,106,880
Short-Term Investments		1,666,502,032			900,969,972			—			2,567,472,004
Futures Contracts*		128,615,185			—			—			128,615,185
Forward Foreign Currency Exchange Contracts*		—			30,835,614			—			30,835,614
Total Return Basket Swaps Contracts*		—			161,081,458			—			161,081,458
Total Return Swaps Contracts*		—			1,814,681			—			1,814,681
Total Assets	$	3,229,854,064		$	1,318,628,294		$	—		$	4,548,482,358
LIABILITIES
Common Stocks (Sold Short)†	$	(1,130,386,379	)	$	(99,799,084	)	$	(2	)	$	(1,230,185,465	)
Futures Contracts*		(133,474,371	)		—			—			(133,474,371	)
Forward Foreign Currency Exchange Contracts*		—			(76,932,714	)		—			(76,932,714	)
Total Return Basket Swaps Contracts*		—			(32,924,003	)		—			(32,924,003	)
Total Return Swaps Contracts*		—			(8,436,479	)		—			(8,436,479	)
Total Liabilities	$	(1,263,860,750	)	$	(218,092,280	)	$	(2	)	$	(1,481,953,032	)
AQR STYLE PREMIA ALTERNATIVE LV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	8,824,345		$	84,142,255		$	—		$	92,966,600
Rights†		—			43,872			—			43,872
Short-Term Investments		295,125,386			142,675,958			—			437,801,344
Futures Contracts*		8,374,886			—			—			8,374,886
Forward Foreign Currency Exchange Contracts*		—			1,365,359			—			1,365,359
Total Return Basket Swaps Contracts*		—			5,578,565			—			5,578,565
Total Return Swaps Contracts*		—			91,504			—			91,504
Total Assets	$	312,324,617		$	233,897,513		$	—		$	546,222,130
LIABILITIES
Common Stocks (Sold Short)†	$	(8,924,817	)	$	(67,194,693	)	$	—		$	(76,119,510	)
Futures Contracts*		(9,282,592	)		—			—			(9,282,592	)
Forward Foreign Currency Exchange Contracts*		—			(4,436,208	)		—			(4,436,208	)
Total Return Basket Swaps Contracts*		—			(762,917	)		—			(762,917	)
Total Return Swaps Contracts*		—			(813,626	)		—			(813,626	)
Total Liabilities	$	(18,207,409	)	$	(73,207,444	)	$	—		$	(91,414,853	)
AQR VOLATILITY RISK PREMIUM FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	3,132,609		$	1,778,972		$	—		$	4,911,581
Short-Term Investments		4,503,662			—			—			4,503,662
Futures Contracts*		68,923			—			—			68,923
Total Assets	$	7,705,194		$	1,778,972		$	—		$	9,484,166
LIABILITIES
Written Options (Sold Short)	$	(219,749	)	$	—		$	—		$	(219,749	)
Futures Contracts*		(104	)		—			—			(104	)
Total Liabilities	$	(219,853	)	$	—		$	—		$	(219,853	)

* Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

† Please refer to the Schedule of Investments to view securities segregated by country.

(a) Security has zero value.

AQR Funds Annual Report December 2018

318

Notes to Financial Statements December 31, 2018

Transfers to Level 3 or from Level 3 are generally 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.

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)		—			26,808			—			—		—			—			—			—
Realized gain/(loss)		(972,557	)		(3,684,413	)		(3,257,873	)		—		79,371			(749,436	)		—			—
Change in unrealized appreciation/(depreciation)		(1,143,245	)		(119,197	)		2,891,893			103,107		(164,693	)		894,122			(150,767	)		—
Purchases1		560,530			36,810,944			670,997			—		—			4,000			125,922			—
Sales2		(3,913,205	)		(37,651,540	)		(869,335	)		—		(79,371	)		(573,084	)		—			—
Transfers in to Level 3		—			—			—			—		—			1,348,073			—			—
Transfers out of Level 3		—			—			(4,522,700	)		—		(74,000	)		(853,666	)		—			—
Balance as of December 31, 2018	$	1,793,755		$	1,295,689		$	98,239		$	737,083	$	168,578		$	930,053		$	434,209		$	—	(a)
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2018	$	(5,397,283	)	$	(1,551,823	)	$	(566,819	)	$	103,106	$	(85,877	)	$	(1,610	)	$	(158,322	)	$	—

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)		423,461			201,731			(71,954	)
Purchases1		—			15,555,747			9,039,094
Sales2		(12,203,100	)		(15,515,419	)		(9,008,153	)
Transfers in to Level 3		—			—			—
Transfers out of Level 3		—			—			—
Balance as of December 31, 2018	$	428,775		$	242,059		$	185,300
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2018	$	(11,768,961	)	$	245,788		$	110,373

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 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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Notes to Financial Statements December 31, 2018

The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended December 31, 2018 for the AQR Diversified Arbitrage Fund and AQR Multi–Strategy Alternative Fund:

Quantitative Information about Level 3 Fair Value Measurements*

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE***
Common Stocks		$1,399,626	Enterprise Value Waterfall Analysis	Discount for Lack of Marketability**	18.86%—32.10%	20.75%
				EBITDA Multiple	5.75x to 6.75x	N/A
		$394,129	Probability Weighted Expected Return	Discount for Lack of Marketability**	7.11%—30.00%	23.23%
				Discount Rate	8.00%	N/A
				Equity Cost of Capital	47.50%	N/A
				Legal Fees (% of potential proceeds)	9.15%	N/A
				Scenario Probability	5.00%—90.00%	33.33%
				Term	0.55 to 3 years	N/A
Convertible Bonds		$12,799	Liquidation Analysis	Discount Rate	9.50%	N/A
				Term	2.97 years	N/A
Corporate Bonds		$461,860	Liquidation Analysis	Discount Rate	9.50%	9.50%
				Term	2.97 years	2.97 years
Preferred Stocks		$737,083	Enterprise Value Waterfall Analysis	Equity Cost of Capital	15.34%	N/A
				Term	10 years	N/A
Rights		$168,578	Probability Weighted Expected Return	Discount for Lack of Marketability**	14.75%—31.61%	20.93%
				Equity Cost of Capital	20.50%	N/A
				Scenario Probability	0.00%—70.00%	44.87%
				Weighted Average Cost of Capital	28.00%	N/A
Securities in Litigation		$433,695	Liquidation Analysis	Discount for Lack of Marketability**	30.00%	N/A
				Discount Rate	6.00%	N/A
				Future Fundings as % of Expected Proceeds	48.54%	N/A
				Recovery Probability	50.00%	N/A
				Term	4.24 years	N/A

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Notes to Financial Statements December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE***
Common Stocks		$428,775	Probability Weighted Expected Return	Discount for Lack of Marketability**	7.11%	N/A
				Discount Rate	8.00%	N/A
				Term	0.55 years	N/A
Convertible Bonds		$185,300	Liquidation Analysis	Discount Rate	9.50%	9.50%
				Term	2.97 years	2.97 years
Corporate Bonds		$242,059	Liquidation Analysis	Discount Rate	9.50%	N/A
				Term	2.97 years	N/A

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At December 31, 2018, the value of these securities for the AQR Diversified Arbitrage Fund was $1,921,071. 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.

*** The weighted averages disclosed in the table above were weighted by relative fair value.

There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments of AQR Style Premia Alternative Fund which are considered quantitatively insignificant for additional disclosure.

6. Federal Income Tax Matters

At December 31, 2018, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Alternative Risk Premia Fund	$	288,749,796	$	71,008,265	$	(36,163,287	)	$	34,844,978
AQR Diversified Arbitrage Fund		423,953,250		45,376,251		(90,140,557	)		(44,764,306	)
AQR Equity Market Neutral Fund		1,039,517,336		106,732,005		(28,519,950	)		78,212,055
AQR Global Macro Fund		48,447,745		4,563,231		(4,923,148	)		(359,917	)
AQR Long-Short Equity Fund		1,481,102,345		331,043,235		(239,817,691	)		91,225,544
AQR Multi-Strategy Alternative Fund		1,342,113,342		180,863,152		(218,717,308	)		(37,854,156	)
AQR Risk-Balanced Commodities Strategy Fund		234,204,342		20,349,535		(21,417,577	)		(1,068,042	)
AQR Risk Parity Fund		249,111,929		6,621,609		(11,623,209	)		(5,001,600	)
AQR Risk Parity II HV Fund		26,697,536		1,338,696		(1,673,287	)		(334,591	)
AQR Risk Parity II MV Fund		64,022,475		2,021,413		(2,667,042	)		(645,629	)
AQR Style Premia Alternative Fund		3,026,142,187		603,952,574		(563,565,435	)		40,387,139
AQR Style Premia Alternative LV Fund		447,928,787		31,448,201		(24,569,711	)		6,878,490
AQR Volatility Risk Premium Fund		9,644,105		140,126		(519,918	)		(379,792	)

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, and differences in the tax treatment of passive foreign investment companies (“PFIC”), investments in partnerships, convertible securities, contingent payment debt instruments (“CPDI”) and certain forward foreign currency, swap and futures contracts.

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321

Notes to Financial Statements December 31, 2018

As of December 31, 2018, the components of net assets (excluding paid-in capital) on a tax basis were as follows:

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR TAX BASIS CAPITAL LOSS CARRYFORWARDS			NET UNREALIZED APPRECIATION (DEPRECIATION)			POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS			OTHER TEMPORARY DIFFERENCES			TOTAL ACCUMULATED EARNINGS
AQR Alternative Risk Premia Fund	$	—	$	(26,776,669	)	$	34,799,193		$	(18,922,751	)	$	366		$	(10,899,861	)
AQR Diversified Arbitrage Fund		505,539		(297,071,429	)		(52,187,859	)		(1,426,411	)		7,725			(350,172,435	)
AQR Equity Market Neutral Fund		—		(35,310,741	)		78,417,828			(7,241,743	)		—			35,865,344
AQR Global Macro Fund		1,260		—			(337,709	)		(2,297,678	)		(37,822	)		(2,671,949	)
AQR Long-Short Equity Fund		—		(129,047,560	)		91,229,226			(189,596,885	)		10,051			(227,405,168	)
AQR Multi-Strategy Alternative Fund		—		(228,828,086	)		(60,581,228	)		(80,749,644	)		(3,050,528	)		(373,209,486	)
AQR Risk-Balanced Commodities Strategy Fund		12,083		(22,066	)		(1,136,614	)		(278	)		(10,888,903	)		(12,035,778	)
AQR Risk Parity Fund		2,449,083		(21,593,748	)		(6,076,615	)		—			(3,602,667	)		(28,823,947	)
AQR Risk Parity II HV Fund		339,532		(2,477,406	)		(529,919	)		(199,706	)		(547,103	)		(3,414,602	)
AQR Risk Parity II MV Fund		479,512		(2,615,326	)		(947,303	)		(8,310	)		(922,326	)		(4,013,753	)
AQR Style Premia Alternative Fund		34,450,943		(231,150,903	)		28,795,082			(250,928,440	)		(32,726,309	)		(451,559,627	)
AQR Style Premia Alternative LV Fund		—		(9,195,162	)		6,370,302			(7,067,573	)		(1,518,505	)		(11,410,938	)
AQR Volatility Risk Premium Fund		10,161		(116,296	)		(389,938	)		—			—			(496,073	)

The differences between book basis and tax basis components of net assets are primarily attributable to wash sale loss deferrals and other book and tax differences including, mark to market on PFICs, mark to market on forward foreign currency exchange contracts, mark to market on regulated futures and options contracts, mark to market and income on certain swaps, certain late year loss deferrals, straddle loss deferrals, loss deferrals on unsettled short sales, gain/(loss) recognition on constructive sales, investments in partnerships, investments in inflation protected securities, deemed dividends from convertible securities, Cayman subsidiary taxable income, CPDI accrued income, capital loss carryforwards and finance charges on equity swaps.

As of December 31, 2018, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	TOTAL DISTRIBUTABLE EARNINGS (LOSS)		PAID-IN CAPITAL
AQR Alternative Risk Premia Fund	$	3,248,062	$	(3,248,062	)
AQR Diversified Arbitrage Fund		13		(13	)
AQR Equity Market Neutral Fund		263,499,975		(263,499,975	)
AQR Global Macro Fund		234		(234	)
AQR Long-Short Equity Fund		505,275,636		(505,275,636	)
AQR Multi-Strategy Alternative Fund		209,625,982		(209,625,982	)
AQR Risk-Balanced Commodities Strategy Fund		34,944,390		(34,944,390	)
AQR Style Premia Alternative LV Fund		2,800,032		(2,800,032	)
AQR Volatility Risk Premium Fund		12,733		(12,733	)

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the difference in tax treatment of certain non-deductible expenses, net operating losses, and income from investments in the Cayman subsidiary. The result of operations and net assets were not affected by the reclassifications.

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322

Notes to Financial Statements December 31, 2018

The tax character of distributions paid during the fiscal year-ends December 31, 2018 and December 31, 2017 were as follows:

	DECEMBER 31, 2018						DECEMBER 31, 2017
FUND	ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL		ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL
AQR Alternative Risk Premia Fund	$	291,560	$	—	$	—	$	—	$	—	$	—
AQR Diversified Arbitrage Fund		26,357,232		—		—		32,367,694		—		—
AQR Equity Market Neutral Fund		5,574,441		—		—		74,392,692		—		—
AQR Global Macro Fund		1,253,455		1,131,755		—		21,048		—		—
AQR Long-Short Equity Fund		54,755,443		76,674,221		—		303,946,721		162,111,238		—
AQR Multi-Strategy Alternative Fund		—		—		—		239,240,662		—		—
AQR Risk-Balanced Commodities Strategy Fund		1,899,991		—		—		18,311		—		—
AQR Risk Parity Fund		14,018,673		3,693,125		—		34,837,112		11,101,385		—
AQR Risk Parity II HV Fund		1,872,155		220,319		—		4,059,743		2,431,736		—
AQR Risk Parity II MV Fund		1,492,536		169,454		—		4,190,271		2,485,045		—
AQR Style Premia Alternative Fund		34,654,620		—		—		317,427,865		—		—
AQR Style Premia Alternative LV Fund		460,049		—		—		22,959,604		—		—
AQR Volatility Risk Premium Fund		30,009		—		—		—		—		—

During the year ended December 31, 2018, the Funds utilized capital loss carryforwards in the amounts listed below:

FUND	SHORT-TERM		LONG-TERM
AQR Alternative Risk Premia Fund	$	—	$	28,368
AQR Global Macro Fund		1,533,147		248,740

As of December 31, 2018, 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	$	26,776,669	$	—
AQR Diversified Arbitrage Fund		57,429,966		239,641,463
AQR Equity Market Neutral Fund		35,310,741		—
AQR Long-Short Equity Fund		129,047,560		—
AQR Multi-Strategy Alternative Fund		52,486,468		176,341,618
AQR Risk-Balanced Commodities Strategy Fund		22,066		—
AQR Risk Parity Fund		9,346,571		12,247,177
AQR Risk Parity II HV Fund		1,539,268		938,138
AQR Risk Parity II MV Fund		1,656,137		959,189
AQR Style Premia Alternative Fund		231,150,903		—
AQR Style Premia Alternative LV Fund		9,195,162		—
AQR Volatility Risk Premium Fund		116,296		—

7. Investment Transactions

During the year ended December 31, 2018, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Alternative Risk Premia Fund	$	425,255,359	$	119,888,146	$	377,701,477	$	123,551,393
AQR Diversified Arbitrage Fund		1,103,900,007		1,175,587,492		564,427,537		576,874,439
AQR Equity Market Neutral Fund		389,552,009		533,259,667		370,902,052		519,226,619
AQR Long-Short Equity Fund		4,590,621,181		4,734,848,135		3,216,696,747		3,735,228,749
AQR Multi-Strategy Alternative Fund		370,169,820		784,387,362		306,012,544		657,419,183
AQR Risk Parity Fund		33,972,578		75,829,332		—		—
AQR Risk Parity II HV Fund		5,255,792		19,842,257		—		—
AQR Risk Parity II MV Fund		6,018,830		6,865,802		—		—
AQR Style Premia Alternative Fund		4,256,981,690		3,642,854,643		3,416,311,782		3,289,256,819
AQR Style Premia Alternative LV Fund		99,491,084		60,622,882		90,968,165		58,467,193
AQR Volatility Risk Premium Fund		6,010,499		591,601		—		—

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323

Notes to Financial Statements December 31, 2018

During the year ended December 31, 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	$	5,716,990	$	5,715,337	$	344,441,366	$	344,361,059
AQR Risk Parity Fund		24,277,560		48,497,207		—		—
AQR Risk Parity II HV Fund		3,653,967		12,328,360		—		—
AQR Risk Parity II MV Fund		4,576,968		4,413,889		—		—

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 December 31, 2018.

	ASSETS								LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE**		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE		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	$	3,142,808	$	165,385	$	—	$	—	$	371,605	$	1,039,263	$	—	$	1,482,996
AQR Diversified Arbitrage Fund		1,919,617		6,818,470		—		—		—		9,956,198		—		—
AQR Equity Market Neutral Fund		—		10,508,778		—		—		—		25,044,588		—		—
AQR Global Macro Fund		355,607		63,598		—		—		190,752		18,053		—		—
AQR Long-Short Equity Fund		187,050		44,109,490		—		—		39,732,146		129,890,722		—		—
AQR Multi-Strategy Alternative Fund		10,665,389		34,641,550		—		—		5,695,453		61,022,674		—		983,340
AQR Risk Parity Fund		24,710		41,205		—		—		1,621,418		40,181		—		—
AQR Risk Parity II HV Fund		2,036		10,033		—		—		346,748		10,708		—		—
AQR Risk Parity II MV Fund		12,559		12,144		—		—		677,650		11,206		—		—
AQR Style Premia Alternative Fund		36,200,280		162,226,144		—		—		14,545,333		39,841,479		—		—
AQR Style Premia Alternative LV Fund		2,202,276		5,640,801		—		—		1,248,835		1,505,784		—		—
AQR Volitality Risk Premium Fund		33,708		—		—		—		104		—		—		175,601

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Notes to Financial Statements December 31, 2018

	ASSETS								LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE**		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE**		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE
Foreign Exchange Rate Risk Exposure:
AQR Alternative Risk Premia Fund	$	—	$	—	$	1,758,225	$	—	$	—	$	—	$	6,652,366	$	—
AQR Diversified Arbitrage Fund		—		—		138,942		—		—		—		53,646		—
AQR Equity Market Neutral Fund		—		—		452,267		—		—		—		787,434		—
AQR Global Macro Fund		—		—		897,352		—		—		—		1,827,685		—
AQR Long-Short Equity Fund		—		—		7,211,378		—		—		—		6,124,769		—
AQR Multi-Strategy Alternative Fund		—		—		18,170,798		—		—		—		33,456,361		—
AQR Risk Parity Fund		—		—		2,147,447		—		—		—		1,796,952		—
AQR Risk Parity II HV Fund		—		—		65,147		—		—		—		67,866		—
AQR Risk Parity II MV Fund		—		—		43,382		—		—		—		55,929		—
AQR Style Premia Alternative Fund		—		—		30,835,614		—		—		—		76,932,714		—
AQR Style Premia Alternative LV Fund		—		—		1,365,359		—		—		—		4,436,208		—
Interest Rate Risk Exposure:
AQR Alternative Risk Premia Fund		2,817,034		—		—		51,525		2,771,874		—		—		329,340
AQR Diversified Arbitrage Fund		—		—		—		—		1,332,353		7,430,797		—		—
AQR Global Macro Fund		644,764		2,097,972		—		—		968,888		1,535,779		—		—
AQR Multi-Strategy Alternative Fund		4,182,898		1,258,490		—		22,421		11,416,030		7,433,166		—		184,167
AQR Risk Parity Fund		4,285,172		2,065,770		—		—		—		273,209		—		—
AQR Risk Parity II HV Fund		783,559		—		—		—		—		—		—		—
AQR Risk Parity II MV Fund		1,388,809		—		—		—		—		—		—		—
AQR Style Premia Alternative Fund		66,390,176		—		—		—		78,371,613		—		—		—
AQR Style Premia Alternative LV Fund		4,093,332		—		—		—		4,865,093		—		—		—
AQR Volitality Risk Premium Fund		35,215		—		—		5,709		—		—		—		49,857
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		—		—		—		439,441		—		—
AQR Multi-Strategy Alternative Fund		—		32,193		—		—		—		4,459,091		—		—
AQR Risk Parity Fund		—		3,383,452		—		—		—		455,939		—		—

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Notes to Financial Statements December 31, 2018

	ASSETS								LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE**		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE**		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE
Commodity Risk Exposure:
AQR Global Macro Fund	$	518,253	$	31,511	$	—	$	—	$	242,284	$	—	$	—	$	—
AQR Multi-Strategy Alternative Fund		8,991,253		828,531		—		—		4,854,727		234,731		—		—
AQR Risk-Balanced Commodities Strategy Fund		15,436,125		1,003,694		—		—		26,450,499		1,548,141		—		—
AQR Risk Parity Fund		1,303,229		237,179		—		—		3,610,736		409,960		—		—
AQR Risk Parity II HV Fund		235,636		111,630		—		—		707,300		94,544		—		—
AQR Risk Parity II MV Fund		287,293		45,345		—		—		1,007,915		107,574		—		—
AQR Style Premia Alternative Fund		26,024,729		669,995		—		—		40,557,425		1,519,003		—		—
AQR Style Premia Alternative LV Fund		2,079,278		29,268		—		—		3,168,664		70,759		—		—
Net Fair Value of Derivative Contracts:
AQR Alternative Risk Premia Fund		2,816,363		—		—		—		—		873,878		4,894,141		1,760,811
AQR Diversified Arbitrage Fund		587,264		—		85,296		—		—		11,007,966		—		—
AQR Equity Market Neutral Fund		—		—		—		—		—		14,535,810		335,167		—
AQR Global Macro Fund		116,700		639,249		—		—		—		—		930,333		—
AQR Long-Short Equity Fund		—		—		1,086,609		—		39,545,096		85,781,232		—		—
AQR Multi-Strategy Alternative Fund		1,873,330		—		—		—		—		36,388,898		15,285,563		1,145,086
AQR Risk-Balanced Commodities Strategy Fund		—		—		—		—		11,014,374		544,447		—		—
AQR Risk Parity Fund		380,957		4,548,317		350,495		—		—		—		—		—
AQR Risk Parity II HV Fund		—		16,411		—		—		32,817		—		2,719		—
AQR Risk Parity II MV Fund		3,096		—		—		—		—		61,291		12,547		—
AQR Style Premia Alternative Fund		—		121,535,657		—		—		4,859,186		—		46,097,100		—
AQR Style Premia Alternative LV Fund		—		4,093,526		—		—		907,706		—		3,070,849		—
AQR Volitality Risk Premium Fund		68,819		—		—		—		—		—		—		219,749

* Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

** Includes the fair value of centrally cleared swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

AQR Funds Annual Report December 2018

326

Notes to Financial Statements December 31, 2018

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended December 31, 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	$	(2,428,066	)	$	(3,580,326	)	$	—		$	(866,530	)	$	2,944,010		$	(1,164,896	)	$	—		$	(330,851	)
AQR Diversified Arbitrage Fund		833,148			19,306,000			—			7,979			2,251,514			(12,790,844	)		—			—
AQR Equity Market Neutral Fund		(5,487,528	)		(173,552,286	)		—			—			(130,738	)		(95,981,550	)		—			—
AQR Global Macro Fund		979,215			(651,342	)		—			—			239,213			(1,140	)		—			—
AQR Long-Short Equity Fund		(18,546,283	)		(216,457,894	)		—			—			(48,600,745	)		(330,915,441	)		—			—
AQR Multi-Strategy Alternative Fund		(48,729,138	)		(121,457,907	)		—			174,007			6,972,468			(183,368,548	)		—			2,260,212
AQR Risk Parity Fund		(8,012,928	)		(1,857,929	)		—			—			(2,734,328	)		(462,631	)		—			—
AQR Risk Parity II HV Fund		(1,085,978	)		(454,274	)		—			—			(568,147	)		(90,319	)		—			—
AQR Risk Parity II MV Fund		(1,692,804	)		(545,590	)		—			—			(886,382	)		(88,399	)		—			—
AQR Style Premia Alternative Fund		(178,022,644	)		(36,990,241	)		—			—			13,910,375			(68,503,714	)		—			—
AQR Style Premia Alternative LV Fund		(8,398,125	)		(11,347,836	)		—			—			637,169			(6,261,892	)		—			—
AQR Volatility Risk Premium Fund		91,834			—			—			(129,712	)		33,604			—			—			(7,183	)
Foreign Exchange Rate Risk Exposure:
AQR Alternative Risk Premia Fund		—			—			(704,397	)		—			—			—			(4,975,838	)		—
AQR Diversified Arbitrage Fund		—			—			202,050			—			—			—			195,356			—
AQR Equity Market Neutral Fund		—			—			5,214,117			—			—			—			539,802			—
AQR Global Macro Fund		—			—			565,500			—			—			—			(791,896	)		—
AQR Long-Short Equity Fund		—			—			(49,056,960	)		—			—			—			(6,017,168	)		—
AQR Multi-Strategy Alternative Fund		—			—			(17,120,340	)		—			—			—			(10,926,095	)		—
AQR Risk Parity Fund		—			—			(2,630,924	)		—			—			—			(634,372	)		—
AQR Risk Parity II HV Fund		—			—			638,737			—			—			—			115,054			—
AQR Risk Parity II MV Fund		—			—			753,938			—			—			—			93,576			—
AQR Style Premia Alternative Fund		—			—			(6,713,576	)		—			—			—			(39,949,394	)		—
AQR Style Premia Alternative LV Fund		—			—			1,434,558			—			—			—			(2,722,202	)		—
Interest Rate Risk Exposure:
AQR Alternative Risk Premia Fund		(3,129,979	)		—			—			680,420			164,100			—			—			(212,728	)
AQR Diversified Arbitrage Fund		993,273			(3,564,342	)		—			—			(1,492,048	)		(7,492,626	)		—			—
AQR Global Macro Fund		592,310			485,797			—			—			(395,399	)		(866,696	)		—			—
AQR Multi-Strategy Alternative Fund		1,265,380			(15,973,538	)		—			(82,593	)		(7,793,238	)		1,476,533			—			(125,252	)
AQR Risk Parity Fund		(3,626,575	)		(2,860,754	)		—			—			5,893,942			3,584,897			—			—
AQR Risk Parity II HV Fund		(1,252,244	)		—			—			—			1,179,315			—			—			—
AQR Risk Parity II MV Fund		(970,492	)		—			—			—			1,768,840			—			—			—
AQR Style Premia Alternative Fund		16,281,087			—			—			—			(20,408,818	)		—			—			—
AQR Style Premia Alternative LV Fund		887,888			—			—			—			(1,209,105	)		—			—			—
AQR Volatility Risk Premium Fund		30			—			—			7,792			35,215			—			—			(26,791	)
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—			(770,508	)		—			—			—			736,485			—			—
AQR Multi-Strategy Alternative Fund		—			1,704,002			—			—			—			1,743,640			—			—
AQR Risk Parity Fund		—			5,805,284			—			—			—			(7,727,633	)		—			—
Commodity Risk Exposure:
AQR Alternative Risk Premia Fund		—			—			—			—			5,417			—			—			—
AQR Global Macro Fund		714,618			(9,871	)		—			—			77,587			34,276			—			—
AQR Multi-Strategy Alternative Fund		28,878,318			(4,201,485	)		—			—			(11,565,042	)		(698,163	)		—			—
AQR Risk-Balanced Commodities Strategy Fund		(44,141,003	)		(4,556,112	)		—			—			(19,428,998	)		369,986			—			—
AQR Risk Parity Fund		(306,844	)		(2,463,589	)		—			—			(7,576,087	)		512,137			—			—
AQR Risk Parity II HV Fund		488,252			(643,310	)		—			—			(1,643,278	)		151,846			—			—
AQR Risk Parity II MV Fund		(276,657	)		(691,919	)		—			—			(1,826,139	)		54,846			—			—
AQR Style Premia Alternative Fund		56,589,196			(26,291,108	)		—			—			(43,582,283	)		(6,141,270	)		—			—
AQR Style Premia Alternative LV Fund		3,844,379			(1,225,476	)		—			—			(2,786,163	)		(308,154	)		—			—

AQR Funds Annual Report December 2018

327

Notes to Financial Statements December 31, 2018

The following tables present the Funds’ gross OTC derivative, repurchase agreements and reverse repurchase agreements assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of December 31, 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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
BANA	Total Return Swap Contracts	$	165,385	$	(165,385	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		702,922		(702,922	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		1,055,303		(1,055,303	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,923,610		(1,923,610	)		—		—		—		—

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	797,585	$	(165,385	)	$	632,200	$	—		$	(632,200	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		2,662,111		(702,922	)		1,959,189		—			(1,959,189	)		—
JPMC	Forward Foreign Currency Exchange Contracts		3,990,255		(1,055,303	)		2,934,952		—			(2,934,952	)		—
MSCS	Total Return Swap Contracts		241,678		—			241,678		(241,678	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			7,691,629		(1,923,610	)		5,768,019		(241,678	)		(5,526,341	)		—

(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 $ 11,191,227 .

AQR Funds Annual Report December 2018

328

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	27,409	$	(27,409	)	$	—	$	—	$	—		$	—
CITI	Forward Foreign Currency Exchange Contracts		59,255		(31,423	)		27,832		—		—			27,832
GSIN	Total Return Basket Swaps Contracts		1,343,039		(638,420	)		704,619		—		(704,619	)		—
JPMC	Forward Foreign Currency Exchange Contracts		79,687		(22,223	)		57,464
	Total Return Basket Swaps Contracts		9,774		(9,774	)		—
			89,461		(31,997	)		57,464		—		—			57,464
Total financial instruments subject to a master netting arrangement or similar arrangement			1,519,164		(729,249	)		789,915		—		(704,619	)		85,296

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	2,026,186	$	(27,409	)	$	1,998,777	$	—		$	(1,998,777	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		31,423		(31,423	)		—		—						—
DTBK	Total Return Basket Swaps Contracts		1,087,104		—			1,087,104		—			(1,087,104	)		—
GSIN	Total Return Basket Swaps Contracts		638,420		(638,420	)		—		—			—			—
JPMC	Forward Foreign Currency Exchange Contracts		22,223		(22,223	)		—
	Total Return Basket Swaps Contracts		7,583,349		(9,774	)		7,573,575
			7,605,572		(31,997	)		7,573,575		—			(7,573,575	)		—
MSIP	Total Return Basket Swaps Contracts		613,688		—			613,688		(613,688	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			12,002,393		(729,249	)		11,273,144		(613,688	)		(10,659,456	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 451,585 and total additional collateral pledged was $ 47,356,680.

AQR Funds Annual Report December 2018

329

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	180,921	$	(180,921	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		271,346		(271,346	)		—		—		—		—
MSIP	Total Return Basket Swaps Contracts		10,508,778		(10,508,778	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			10,961,045		(10,961,045	)		—		—		—		—

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	314,943	$	(180,921	)	$	134,022	$	—		$	(134,022	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		472,491		(271,346	)		201,145		—			(201,145	)		—
MSIP	Total Return Basket Swaps Contracts		25,044,588		(10,508,778	)		14,535,810		(14,535,810	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			25,832,022		(10,961,045	)		14,870,977		(14,535,810	)		(335,167	)		—

(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 $ 152,108,914.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	359,395	$	(359,395	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		31,350		(15,217	)		16,133		—		—		16,133
JPMC	Forward Foreign Currency Exchange Contracts		537,957		(537,957	)		—
	Total Return Swap Contracts		579		—			579
	Totl JPMC		538,536		(537,957	)		579		—		—		579
MLIN	Total Return Swap Contracts		31,670		(2,836	)		28,834		—		—		28,834
Total financial instruments subject to a master netting arrangement or similar arrangement			960,951		(915,405	)		45,546		—		—		45,546

AQR Funds Annual Report December 2018

330

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	54,757	$	—		$	54,757	$	—	$	—		$	54,757
CITI	Forward Foreign Currency Exchange Contracts		730,840		(359,395	)		371,445		—		(371,445	)		—
GSIN	Total Return Swap Contracts		15,217		(15,217	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		1,096,845		(537,957	)		558,888		—		(558,888	)		—
MLIN	Total Return Swap Contracts		2,836		(2,836	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,900,495		(915,405	)		985,090		—		(930,333	)		54,757

(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 $ 1,999,181.

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 ELIGIBLE TO OFFSET		NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	6,360	$	—	$	6,360	$	—	$	—	$	6,360
GSIN	Total Return Swap Contracts		2,734		—		2,734		—		—		2,734
MACQ	Total Return Swap Contracts		3,016		—		3,016		—		—		3,016
SOCG	Total Return Swap Contracts		19,400		—		19,400		—		—		19,400
Total financial instruments subject to a master netting arrangement or similar arrangement			31,510		—		31,510		—		—		31,510

(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 $ 61,508.

AQR Funds Annual Report December 2018

331

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	2,885,678	$	(2,449,758	)	$	435,920	$	—	$	—		$	435,920
DTBK	Total Return Basket Swaps Contracts		499,466		(499,466	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		4,325,700		(3,675,011	)		650,689
	Total Return Swaps Contracts		2,113		(2,113	)		—
	Total JPMC		4,327,813		(3,677,124	)		650,689		—		—			650,689
MSIP	Total Return Basket Swaps Contracts		43,607,911		(42,611,102	)		996,809		—		(996,809	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			51,320,868		(49,237,450	)		2,083,418		—		(996,809	)		1,086,609

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	2,449,758	$	(2,449,758	)	$	—	$	—		$	—		$	—
DTBK	Total Return Basket Swaps Contracts		44,649,264		(499,466	)		44,149,798		—			(44,149,798	)		—
GSIN	Total Return Basket Swaps Contracts		36,886,849		—			36,886,849		(36,886,849	)		—			—
JPMC	Forward Foreign Currency Exchange Contracts		3,675,011		(3,675,011	)		—
	Total Return Swaps Contracts		5,743,507		(2,113	)		5,741,394
	Total JPMC		9,418,518		(3,677,124	)		5,741,394		—			(5,741,394	)		—
MSIP	Total Return Basket Swaps Contracts		42,611,102		(42,611,102	)		—		—			—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			136,015,491		(49,237,450	)		86,778,041		(36,886,849	)		(49,891,192	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 943,191 and total additional collateral pledged was $ 349,300,601.

AQR Funds Annual Report December 2018

332

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
BANA	Total Return Basket Swaps Contracts	$	853,440	$	(599,402	)	$	254,038	$	—	$	—		$	254,038
CITI	Forward Foreign Currency Exchange Contracts		7,264,669		(7,264,669	)		—
	Total Return Swap Contracts		5,331		(5,331	)		—
	Total CITI		7,270,000		(7,270,000	)		—		—		—			—
DTBK	Total Return Basket Swaps Contracts		237,767		(237,767	)		—		—		—			—
GSIN	Total Return Swap Contracts		3,373		—			3,373
	Total Return Basket Swaps Contracts		2,769,463		(2,769,463	)		—
	Total GSIN		2,772,836		(2,769,463	)		3,373		—		—			3,373
JPMC	Forward Foreign Currency Exchange Contracts		10,906,129		(10,906,129	)		—
	Total Return Swap Contracts		138,085		—			138,085
	Total Return Basket Swaps Contracts		22,727,772		(22,727,772	)		—
	Total JPMC		33,771,986		(33,633,901	)		138,085		—		—			138,085
MLIN	Total Return Swap Contracts		326,725					326,725		—		(170,000	)		156,725
MSCS	Total Return Swap Contracts		1,201,929		(452,035	)		749,894		—		—			749,894
MSIP	Total Return Basket Swaps Contracts		208,856		—			208,856		—		—			208,856
Total financial instruments subject to a master netting arrangement or similar arrangement			46,643,539		(44,962,568	)		1,680,971		—		(170,000	)		1,510,971

AQR Funds Annual Report December 2018

333

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	458,200	$	—		$	458,200
	Total Return Basket Swaps Contracts		599,402		(599,402	)		—
	Total BANA		1,057,602		(599,402	)		458,200	$	—	$	(390,315	)	$	67,885
CITI	Forward Foreign Currency Exchange Contracts		13,388,009	$	(7,264,669	)		6,123,340
	Total Return Swap Contracts		252,712		(5,331	)		247,381
	Total CITI		13,640,721		(7,270,000	)		6,370,721		—		—			6,370,721
DTBK	Total Return Basket Swaps Contracts		5,640,670		(237,767	)		5,402,903		—		(5,402,903	)		—
GSIN	Total Return Basket Swaps Contracts		16,681,605		(2,769,463	)		13,912,142		—		(13,912,142	)		—
JPMC	Forward Foreign Currency Exchange Contracts		20,068,352		(10,906,129	)		9,162,223
	Total Return Basket Swaps Contracts		36,943,918		(22,727,772	)		14,216,146
	Total JPMC		57,012,270		(33,633,901	)		23,378,369		—		(23,378,369	)		—
MSCS	Total Return Swap Contracts		452,035		(452,035	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			94,484,903		(44,962,568	)		49,522,335		—		(43,083,729	)		6,438,606

(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 $ 428,969,826.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	262,415	$	(55,969	)	$	206,446	$	—	$	—		$	206,446
GSIN	Total Return Swap Contracts		369,176		(57,222	)		311,954		—		(311,954	)		—
MACQ	Total Return Swap Contracts		63,137		(57,496	)		5,641		—		—			5,641
MLIN	Total Return Swap Contracts		11,764		(11,764	)		—		—		—			—
SOCG	Total Return Swap Contracts		122,040		(49,916	)		72,124		—		—			72,124
Total financial instruments subject to a master netting arrangement or similar arrangement			828,532		(232,367	)		596,165		—		(311,954	)		284,211

AQR Funds Annual Report December 2018

334

Notes to Financial Statements December 31, 2018

AQR MULTI-STRATEGY ALTERNATIVE 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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	55,969	$	(55,969	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		57,222		(57,222	)		—		—		—			—
MACQ	Total Return Swap Contracts		57,496		(57,496	)		—		—		—			—
MLIN	Total Return Swap Contracts		14,128		(11,764	)		2,364		—		(2,364	)		—
SOCG	Total Return Swap Contracts		49,916		(49,916	)		—		—					—
Total financial instruments subject to a master netting arrangement or similar arrangement			234,731		(232,367	)		2,364		—		(2,364	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 18,046 and total additional collateral pledged was $ 1,491,887.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	78,221	$	(78,221	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		386,984		(168,371	)		218,613		—		—		218,613
MACQ	Total Return Swap Contracts		151,720		(133,551	)		18,169		—		—		18,169
SOCG	Total Return Swap Contracts		386,769		(386,769	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,003,694		(766,912	)		236,782		—		—		236,782

AQR Funds Annual Report December 2018

335

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	718,876	$	(78,221	)	$	640,655	$	—	$	(640,655	)	$	—
GSIN	Total Return Swap Contracts		168,371		(168,371	)		—		—		—			—
MACQ	Total Return Swap Contracts		133,551		(133,551	)		—		—		—			—
SOCG	Total Return Swap Contracts		527,343		(386,769	)		140,574		—		(140,574	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,548,141		(766,912	)		781,229		—		(781,229	)		—

(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 $ 6,214,776.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	859,086	$	(718,992	)	$	140,094	$	—	$	—	$	140,094
JPMC	Forward Foreign Currency Exchange Contracts		1,288,361		(1,077,960	)		210,401		—		—		210,401
MLIN	Total Return Swap Contracts		33,435		—			33,435		—		—		33,435
MSCS	Total Return Swap Contracts		7,770		(7,770	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,188,652		(1,804,722	)		383,930		—		—		383,930

AQR Funds Annual Report December 2018

336

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	718,992	$	(718,992	)	$	—	$	—		$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		1,077,960		(1,077,960	)		—		—			—		—
MSCS	Total Return Swap Contracts		40,181		(7,770	)		32,411		(32,411	)		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,837,133		(1,804,722	)		32,411		(32,411	)		—		—

(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 $ 10,465,072.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	29,127	$	(29,127	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		4,939		(4,939	)		—		—		—		—
MACQ	Total Return Swap Contracts		49,654		(48,013	)		1,641		—		—		1,641
MLIN	Total Return Swap Contracts		65,503		(56,976	)		8,527		—		—		8,527
SOCG	Total Return Swap Contracts		87,956		(87,956	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			237,179		(227,011	)		10,168		—		—		10,168

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	126,999	$	(29,127	)	$	97,872	$	—	$	(97,872	)	$	—
GSIN	Total Return Swap Contracts		33,704		(4,939	)		28,765		—		(28,765	)		—
MACQ	Total Return Swap Contracts		48,013		(48,013	)		—		—		—			—
MLIN	Total Return Swap Contracts		56,976		(56,976	)		—		—		—			—
SOCG	Total Return Swap Contracts		144,268		(87,956	)		56,312		—		(56,312	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			409,960		(227,011	)		182,949		—		(182,949	)		—

(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 $ 1,234,560.

AQR Funds Annual Report December 2018

337

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	26,062	$	(26,062	)	$	—	$	—		$	—	$	—
CITI	Repurchase Agreements		100,818		(100,818	)		—		—			—		—
	Total CITI		126,880		(126,880	)		—		—			—		—
JPMC	Forward Foreign Currency Exchange Contracts		39,085		(39,085	)		—		—			—		—
MLIN	Total Return Swap Contracts		10,033		(10,033	)		—		—			—		—
MPFS	Repurchase Agreements		1,163,250		(1,163,250	)		—		—			—		—
MSCL	Repurchase Agreements		4,675,000		—			4,675,000		(2,289,776	)		—		2,385,224
Total financial instruments subject to a master netting arrangement or similar arrangement			6,014,248		(1,339,248	)		4,675,000		(2,289,776	)		—		2,385,224

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (b)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	27,142	$	(26,062	)	$	1,080	$	—		$	(1,080	)	$	—
CITI	Reverse Repurchase Agreements		2,525,473		(100,818	)		2,424,655		(2,424,655	)		—			—
	Total CITI		2,552,615		(126,880	)		2,425,735		(2,424,655	)		(1,080	)		—
GSIN	Total Return Swap Contracts		350		—			350		—			(350	)		—
JPMC	Forward Foreign Currency Exchange Contracts		40,724		(39,085	)		1,639		—			(1,639	)		—
MLIN	Total Return Swap Contracts		10,359		(10,033	)		326		—			—			326
MPFS	Reverse Repurchase Agreements		7,632,417		(1,163,250	)		6,469,167		(6,469,167	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			10,236,465		(1,339,248	)		8,897,217		(8,893,822	)		(3,069	)		326

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received to the counterparty. Total additional collateral received was $ 1,281,736.

(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 $ 1,736,090.

AQR Funds Annual Report December 2018

338

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED)		NET AMOUNT
CITI	Total Return Swap Contracts	$	32,908	$	(32,908	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		7,442		(4,101	)		3,341		—		—		3,341
MACQ	Total Return Swap Contracts		31,794		(24,513	)		7,281		—		—		7,281
SOCG	Total Return Swap Contracts		39,486		(32,749	)		6,737		—		—		6,737
Total financial instruments subject to a master netting arrangement or similar arrangement			111,630		(94,271	)		17,359		—		—		17,359

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	33,180	$	(32,908	)	$	272	$	—	$	(272	)	$	—
GSIN	Total Return Swap Contracts		4,101		(4,101	)		—		—					—
MACQ	Total Return Swap Contracts		24,513		(24,513	)		—		—					—
SOCG	Total Return Swap Contracts		32,749		(32,749	)		—		—					—
Total financial instruments subject to a master netting arrangement or similar arrangement			94,543		(94,271	)		272		—		(272	)		—

(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 $ 44,795.

AQR Funds Annual Report December 2018

339

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	17,355	$	(17,355	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		3,928		—			3,928		—		—		3,928
JPMC	Forward Foreign Currency Exchange Contracts		26,027		(26,027	)		—		—		—		—
MLIN	Total Return Swap Contracts		8,216		(8,216	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			55,526		(51,598	)		3,928		—		—		3,928

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	22,369	$	(17,355	)	$	5,014	$	—	$	(5,014	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		33,560		(26,027	)		7,533		—		(7,533	)		—
MLIN	Total Return Swap Contracts		11,206		(8,216	)		2,990		—		—			2,990
Total financial instruments subject to a master netting arrangement or similar arrangement			67,135		(51,598	)		15,537		—		(12,547	)		2,990

(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 $ 650,429.

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 ELIGIBLE TO OFFSET				NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	4,149	$	(4,149	)	��	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		497		(497	)			—		—		—		—
MACQ	Total Return Swap Contracts		32,068		(24,346	)			7,722		—		—		7,722
SOCG	Total Return Swap Contracts		8,631		(8,631	)			—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			45,345		(37,623	)			7,722		—		—		7,722

AQR Funds Annual Report December 2018

340

Notes to Financial Statements December 31, 2018

AQR RISK PARITY II MV OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	40,084	$	(4,149	)	$	35,935	$	—		$	(35,935	)	$	—
GSIN	Total Return Swap Contracts		10,939		(497	)		10,442		(10,442	)		—			—
MACQ	Total Return Swap Contracts		24,346		(24,346	)		—		—			—			—
SOCG	Total Return Swap Contracts		32,205		(8,631	)		23,574		—			(23,574	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			107,574		(37,623	)		69,951		(10,442	)		(59,509	)		—

(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 $ 296,137.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	12,334,781	$	(12,334,781	)	$	—
	Total Return Swap Contracts		7,921		(7,921	)		—
	Total CITI		12,342,702		(12,342,702	)		—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		868,222		(11,672	)		856,550
	Total Return Basket Swap Contracts		126,013,339		—			126,013,339
	Total GSIN		126,881,561		(11,672	)		126,869,889		—		(123,186,579	)		3,683,310
JPMC	Forward Foreign Currency Exchange Contracts		18,500,833		(18,500,833	)		—		—		—			—
MLIN	Total Return Swap Contracts		268,543		(268,543	)		—		—		—			—
MSIP	Total Return Basket Swap Contracts		35,068,119		(31,204,712	)		3,863,407		—		(3,863,407	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			193,061,758		(62,328,462	)		130,733,296		—		(127,049,986	)		3,683,310

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341

Notes to Financial Statements December 31, 2018

AQR STYLE PREMIA ALTERNATIVE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	30,772,636	$	(12,334,781	)	$	18,437,855
	Total Return Swap Contracts		2,665,490		(7,921	)		2,657,569
	Total CITI		33,438,126		(12,342,702	)		21,095,424	$	—	$	(21,095,424	)	$	—
GSIN	Total Return Swap Contracts		11,672		(11,672	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		46,160,078		(18,500,833	)		27,659,245
	Total Return Swap Contracts		87,300		—			87,300
	Total Return Basket Swap Contracts		1,719,291		—			1,719,291
	Total JPMC		47,966,669		(18,500,833	)		29,465,836		—		(29,465,836	)		—
MLIN	Total Return Swap Contracts		4,153,014		(268,543	)		3,884,471		—		(2,950,000	)		934,471
MSIP	Total Return Basket Swap Contracts		31,204,712		(31,204,712	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			116,774,193		(62,328,462	)		54,445,731		—		(53,511,260	)		934,471

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 416,679 and total additional collateral pledged was $ 551,080,121.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	310,436	$	(310,436	)	$	—	$	—	$	—	$	—
MACQ	Total Return Swap Contracts		359,559		—			359,559		—		—		359,559
Total financial instruments subject to a master netting arrangement or similar arrangement			669,995		(310,436	)		359,559		—		—		359,559

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342

Notes to Financial Statements December 31, 2018

AQR STYLE PREMIA ALTERNATIVE 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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,519,003	$	(310,436	)	$	1,208,567	$	—	$	(1,208,567	)	$	—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,519,003		(310,436	)		1,208,567		—		(1,208,567	)		—

(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 $ 2,616,914.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	546,074	$	(546,074	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		241		(241	)		—
	Total Return Basket Swap Contracts		5,578,565		(762,917	)		4,815,648
	Total GSIN		5,578,806		(763,158	)		4,815,648		—		(4,514,126	)		301,522
JPMC	Forward Foreign Currency Exchange Contracts		819,285		(819,285	)		—		—		—			—
MLIN	Total Return Swap Contracts		8,012		(8,012	)		—		—		—			—
MSCS	Total Return Swap Contracts		53,983		(53,983	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			7,006,160		(2,190,512	)		4,815,648		—		(4,514,126	)		301,522

AQR Funds Annual Report December 2018

343

Notes to Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	1,774,439	$	(546,074	)	$	1,228,365
	Total Return Swap Contracts		73,678		—			73,678
	Total CITI		1,848,117		(546,074	)		1,302,043	$	—		$	(1,302,043	)	$	—
GSIN	Total Return Swap Contracts		819		(241	)		578
	Total Return Basket Swap Contracts		762,917		(762,917	)		—
	Total GSIN		763,736		(763,158	)		578		(578	)		—			—
JPMC	Forward Foreign Currency Exchange Contracts		2,661,769		(819,285	)		1,842,484
	Total Return Swap Contracts		3,191		—			3,191
	Total JPMC		2,664,960		(819,285	)		1,845,675		—			(1,845,675	)		—
MLIN	Total Return Swap Contracts		31,163		(8,012	)		23,151		—			—			23,151
MSCS	Total Return Swap Contracts		634,016		(53,983	)		580,033		(580,033	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,941,992		(2,190,512	)		3,751,480		(580,611	)		(3,147,718	)		23,151

(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 $48,009,309.

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 ELIGIBLE TO OFFSET		NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
MACQ	Total Return Swap Contracts	$	29,268	$	—	$	29,268	$	—	$	—	$	29,268
Total financial instruments subject to a master netting arrangement or similar arrangement			29,268		—		29,268		—		—		29,268

AQR Funds Annual Report December 2018

344

Notes to Financial Statements December 31, 2018

AQR STYLE PREMIA ALTERNATIVE LV 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 ELIGIBLE TO OFFSET		NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	65,879	$	—	$	65,879	$	—	$	(65,879	)	$	—
GSIN	Total Return Swap Contracts		4,880		—		4,880		—		(4,880	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			70,759		—		70,759		—		(70,759	)		—

(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 $ 168,012.

For the year ended December 31, 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	$	233,377,982	$	—	$	84,331,501	$	52,010,016	$	1,929,174,974	$	4,376,227,632	$	555,534,351
Average Notional Balance—Short		210,346,437		133,968,672		14,334,880		91,675,538		2,715,205		4,705,916,096		157,018,054
Ending Notional Balance—Long		617,554,295		—		—		79,428,860		1,028,236,282		5,812,527,898		556,966,520
Ending Notional Balance—Short		361,275,308		152,338,298		—		102,007,873		—		2,289,834,010		211,555,327
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		154,503,692		1,054,375		42,243,953		44,408,008		991,002,826		1,989,043,815		—
Average Settlement Value—Sold		196,478,752		6,451,660		131,829,181		50,308,567		167,104,191		2,207,104,691		—
Ending Value— Purchased		221,008,102		1,416,324		34,850,663		93,827,139		703,945,777		1,397,919,213		—
Ending Value—Sold		332,859,480		6,942,486		116,989,908		92,891,956		330,525,542		1,790,216,846		—
Exchange-Traded Options:
Average Number of Contracts—Written		746		—		—		—		—		408		—
Ending Number of Contracts—Written		1,099		—		—		—		—		632		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		—		—		—		—		—		278,220,898		—
Average Notional Balance—Sell Protection		—		15,090,000		—		—		—		184,586,018		—
Ending Notional Balance—Buy Protection		—		—		—		—		—		225,425,833		—
Ending Notional Balance—Sell Protection		—		20,325,000		—		—		—		5,256,699		—
Total Return Swaps:
Average Notional Balance—Long		21,071,063		—		—		4,621,417		156,607,144		181,582,555		87,065,499
Average Notional Balance—Short		259,038		—		—		1,348,478		468,172		279,762,332		30,636,927
Ending Notional Balance—Long		22,447,906		—		—		2,894,579		121,881,065		40,426,741		98,338,749
Ending Notional Balance—Short		4,173,752		—		—		4,492,181		—		105,275,495		21,855,770

AQR Funds Annual Report December 2018

345

Notes to Financial Statements December 31, 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
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate	$	—	$	—	$	—	$	206,103,343	$	—	$	—	$	—
Average Notional Balance—Receives Fixed rate		—		—		—		237,810,699		—		—		—
Ending Notional Balance—Pays Fixed Rate		—		—		—		172,314,928		—		—		—
Ending Notional Balance—Receives Fixed Rate		—		—		—		335,069,644		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		188,097,237		2,165,746,333		—		5,380,226,055		4,203,959,473		—
Average Notional of Underlying Positions—Short		—		67,429,043		2,028,748,518		—		5,175,023,394		3,454,119,042		—
Ending Notional Balance—Long		—		190,790,865		1,184,012,800		—		2,123,471,194		2,590,562,009		—
Ending Notional Balance—Short		—		48,740,252		1,112,554,717		—		2,162,008,628		1,993,322,626		—

Derivatives Volume Disclosure

	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		AQR VOLATILITY RISK PREMIUM FUND
Futures Contracts:
Average Notional Balance—Long	$	518,094,884	$	113,308,140	$	129,532,697	$	19,669,252,364	$	1,162,866,196	$	2,620,618
Average Notional Balance—Short		19,090,795		3,429,902		2,592,697		13,251,233,024		818,517,656		3,166,650
Ending Notional Balance—Long		383,577,274		74,734,049		124,506,118		23,035,399,834		1,786,173,142		2,620,618
Ending Notional Balance—Short		17,099,215		3,066,971		3,477,030		14,200,482,487		958,462,279		3,166,650
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		143,949,236		3,600,670		1,860,156		3,510,334,727		170,980,464		—
Average Settlement Value—Sold		146,931,166		14,070,815		13,190,443		3,942,650,233		200,242,638		—
Ending Value—Purchased		165,214,587		9,608,491		4,586,247		3,130,902,551		152,620,830		—
Ending Value—Sold		170,158,660		15,819,903		14,634,456		4,071,070,157		212,071,718		—
Exchange-Traded Options:
Average Number of Contracts—Written		—		—		—		—		—		133
Ending Number of Contracts—Written		—		—		—		—		—		133
Credit Default Swaps:
Average Notional Balance—Buy Protection		—		—		—		—		—		—
Average Notional Balance—Sell Protection		245,760,044		—		—		—		—		—
Ending Notional Balance—Buy Protection		—		—		—		—		—		—
Ending Notional Balance—Sell Protection		200,780,016		—		—		—		—		—
Total Return Swaps:
Average Notional Balance—Long		52,954,995		11,286,446		12,408,468		604,566,827		33,927,074		—
Average Notional Balance—Short		11,218,309		2,697,105		2,195,132		542,417,811		27,461,594		—
Ending Notional Balance—Long		27,214,631		5,368,728		8,069,694		385,835,115		31,541,020		—
Ending Notional Balance—Short		7,804,134		3,230,915		944,025		28,648,617		239,111		—
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		44,411,606		—		—		—		—		—
Average Notional Balance—Receives Fixed rate		171,971,456		—		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		—		—		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		117,782,530		—		—		—		—		—

AQR Funds Annual Report December 2018

346

Notes to Financial Statements December 31, 2018

	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		AQR VOLATILITY RISK PREMIUM FUND
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long	$	—	$	—	$	—	$	4,258,285,947	$	248,862,056	$	—
Average Notional of Underlying Positions—Short		—		—		—		3,787,492,351		211,069,185		—
Ending Notional Balance—Long		—		—		—		3,033,112,109		251,407,095		—
Ending Notional Balance—Short		—		—		—		2,646,825,960		209,987,707		—

* 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 (the “Investment Management Agreement”), or the Investment Management Agreement II, dated November 13, 2015, as amended (“Investment Management Agreement II”), each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Management Agreement II collectively referred to herein as the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for each Fund, and manages each Fund’s investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR 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
AQR Volatility Risk Premium Fund		0.55

(a) The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion.

(b) The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion.

(c) The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion.

AQR Funds Annual Report December 2018

347

Notes to Financial Statements December 31, 2018

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
AQR Volatility Risk Premium Fund		0.75			1.00			0.65

For the year ended December 31, 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	$	156,436	$	7,218	$	163,654
AQR Diversified Arbitrage Fund		199,636		8,773		208,409
AQR Global Macro Fund		167,234		31,919		199,153
AQR Risk-Balanced Commodities Strategy Fund		53,160		13,869		67,029
AQR Risk Parity Fund		43,675		649		44,324
AQR Risk Parity II HV Fund		172,268		12,693		184,961
AQR Risk Parity II MV Fund		157,495		16		157,511
AQR Style Premia Alternative Fund		341,630		43,226		384,856
AQR Style Premia Alternative LV Fund		8,073		—		8,073
AQR Volatility Risk Premium Fund		9,786		97,622		107,408

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.

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Notes to Financial Statements December 31, 2018

For the year ended December 31, 2018, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at December 31, 2018 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED DECEMBER 31, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2019		2020		2021
AQR ALTERNATIVE RISK PREMIA FUND
Class I	$	99,276	$	119,824	$	—	$	20,548	$	99,276
Class N		4,004		10,659		—		6,655		4,004
Class R6		60,374		125,547		—		65,173		60,374
Totals	$	163,654	$	256,030	$	—	$	92,376	$	163,654
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	165,779	$	767,947	$	388,597	$	213,571	$	165,779
Class N		36,654		213,320		122,406		54,260		36,654
Class R6		5,976		11,759		2,002		3,781		5,976
Totals	$	208,409	$	993,026	$	513,005	$	271,612	$	208,409
AQR GLOBAL MACRO FUND
Class I	$	81,977	$	379,246	$	152,972	$	144,297	$	81,977
Class N		35,758		97,543		35,782		26,003		35,758
Class R6		81,418		183,092		25,395		76,279		81,418
Totals	$	199,153	$	659,881	$	214,149	$	246,579	$	199,153
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	25,631	$	134,390	$	55,960	$	52,799	$	25,631
Class N		4,454		11,889		3,059		4,376		4,454
Class R6		36,944		174,355		70,491		66,920		36,944
Totals	$	67,029	$	320,634	$	129,510	$	124,095	$	67,029
AQR RISK PARITY FUND
Class I	$	38,484	$	166,801	$	74,115	$	54,202	$	38,484
Class N		1,924		7,683		3,459		2,300		1,924
Class R6		3,916		7,977		—		4,061		3,916
Totals	$	44,324	$	182,461	$	77,574	$	60,563	$	44,324
AQR RISK PARITY II HV FUND
Class I	$	145,047	$	467,752	$	172,084	$	150,621	$	145,047
Class N		36,047		83,214		22,048		25,119		36,047
Class R6		3,867		21,900		8,791		9,242		3,867
Totals	$	184,961	$	572,866	$	202,923	$	184,982	$	184,961
AQR RISK PARITY II MV FUND
Class I	$	150,622	$	493,641	$	174,716	$	168,303	$	150,622
Class N		5,451		27,654		13,156		9,047		5,451
Class R6		1,438		3,990		1,181		1,371		1,438
Totals	$	157,511	$	525,285	$	189,053	$	178,721	$	157,511
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	227,967	$	1,084,271	$	499,572	$	356,732	$	227,967
Class N		10,389		81,280		44,692		26,199		10,389
Class R6		146,500		621,772		270,123		205,149		146,500
Totals	$	384,856	$	1,787,323	$	814,387	$	588,080	$	384,856

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Notes to Financial Statements December 31, 2018

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED DECEMBER 31, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2019		2020		2021
AQR STYLE PREMIA ALTERNATIVE LV FUND
Class I	$	7,234	$	136,696	$	79,631	$	49,831	$	7,234
Class N		380		18,510		11,465		6,665		380
Class R6		459		36,200		18,973		16,768		459
Totals	$	8,073	$	191,406	$	110,069	$	73,264	$	8,073
AQR VOLATILITY RISK PREMIUM FUND
Class I	$	10,112	$	10,112	$	—	$	—	$	10,112
Class N		9,717		9,717		—		—		9,717
Class R6		87,579		87,579		—		—		87,579
Totals	$	107,408	$	107,408	$	—	$	—	$	107,408

During the year ended December 31, 2018, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Diversified Arbitrage Fund	$	16,896	$	3,611	$	652
AQR Equity Market Neutral Fund		—		8,883		15,107
AQR Multi-Strategy Alternative Fund		24,508		—		—
AQR Risk-Balanced Commodities Strategy Fund		1,690		384		2,255
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		15,197		1,121		3,181

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

With the exception of AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, and AQR Long-Short Equity Fund, the Funds are non-diversified. Because the Funds may invest in securities of a smaller number of issuers, the Funds may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may, therefore, have a greater impact on the Funds’ performance.

The investment techniques and strategies utilized by the Funds, including investments made on a shorter-term basis or in derivative instruments or instruments with a maturity of one year or less at the time of acquisition, may result in frequent portfolio trading and high portfolio turnover. High portfolio turnover rates will cause the Funds to incur higher levels of brokerage fees and commissions, which may reduce performance, and may cause higher levels of current tax liability to shareholders in the Funds.

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.

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

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Notes to Financial Statements December 31, 2018

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.

Fixed income securities are subject to the risk that the securities could lose value because of interest rate changes. For example, bonds tend to decrease in value if interest rates rise. Fixed income securities with longer maturities sometimes offer higher yields, but are subject to greater price shifts as a result of interest rate changes than fixed income securities with shorter maturities. Fixed income securities are generally subject to the risk that the issuer may be unable to make principal and interest payments when they are due.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. The Funds may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated. Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income producing securities in the Funds portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Investment in securities of foreign issuers may involve certain risks that are greater than those associated with investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions; changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges); the imposition of economic sanctions or other government restrictions; differing accounting, auditing, financial reporting and legal standards and practices; differing securities market structures; and higher transaction costs. To the extent a fund’s investments in a single country or a limited number of countries represent a higher percentage of the Fund’s assets, the Fund assumes the risk that economic, political and social conditions in those countries will have a significant impact on its investment performance and it may be subject to increased price volatility.

Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.

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. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The Funds may have investments that appreciate or decrease significantly in value over short periods of time. This may cause the Funds’ net asset value per share to experience significant increases or declines in value over short periods of time, however, all investments long-term or short-term are subject to risk of loss.

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 deposited with or returned to 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.

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Notes to Financial Statements December 31, 2018

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 Funds to potential risks. Such models may produce unexpected results, which can result in losses for the Funds.

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.

Please refer to the Funds’ prospectuses for a more complete description of the principal risks of investing in the Funds.

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 and lend 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 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 secure each of its outstanding borrowings through the Interfund Lending Program with collateral 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 March 22, 2019, the Trust renewed a $350,000,000 committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Prior to February 23, 2018 the line of credit commitment amount was $300,000,000 at substantially similar terms. 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 Fund’s 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 Funds did not have any borrowings for the period ended December 31, 2018.

The unused amount available on the line of credit as of December 31, 2018 is $344,600,000.

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Notes to Financial Statements December 31, 2018

14. Principal Ownership

As of December 31, 2018, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Alternative Risk Premia Fund		3		83.00	%
AQR Diversified Arbitrage Fund		5		87.33	%
AQR Equity Market Neutral Fund		3		58.68	%
AQR Global Macro Fund*		5		86.01	%
AQR Long-Short Equity Fund		6		67.76	%
AQR Multi-Strategy Alternative Fund		3		78.81	%
AQR Risk Balanced Commodities Strategy Fund		6		88.77	%
AQR Risk Parity Fund		4		77.75	%
AQR Risk Parity II HV Fund		5		90.61	%
AQR Risk Parity II MV Fund		3		81.46	%
AQR Style Premia Alternative Fund		5		75.20	%
AQR Style Premia Alternative LV Fund		6		95.43	%
AQR Volatility Risk Premium Fund*		3		97.62	%

* The percentage held by the Adviser and/or affiliates is 19.32% and 97.62% respectively.

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 fund, 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. The adoption had no effect on the Funds’ net assets or results of operations.

In August 2018, the SEC adopted Final Rule Release No. 33-10532, Disclosure Update and Simplification. The new rule amends certain disclosure requirements that the SEC determined to be redundant, duplicative, overlapping, outdated, or superseded, in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The amendments to Regulation S-X were applied to the Funds’ financial statements in the current period. 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 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 has determined that the adoption of ASU 2017-08 will not have a material impact on the financial statements.

In August 2018, the Financial Accounting Standards Board issued ASU No. 2018-13, Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The amendments generally modified the disclosure requirements for fair value measurements such that it removes the following requirements: 1) the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy; 2) the requirement to disclose the Funds’ policy for timing of transfers between levels; and, 3) the requirement to disclose the valuation processes for Level 3 fair value measurements. ASU 2018-13 also added the requirement to disclose how weighted average is calculated when the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements is required to be disclosed, in addition to making various other clarifying amendments to the disclosure guidance. The amendments in ASU 2018-13 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The amendments related to the range and weighted average of significant unobservable inputs used to develop Level 3 fair value

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Notes to Financial Statements December 31, 2018

measurements should be applied prospectively for only the most recent interim or annual period presented in the initial fiscal year of adoption. All other amendments should be applied retrospectively to all periods presented upon their effective date. Early adoption is permitted. The Funds have elected to early adopt ASU 2018-13 and the amendments are reflected in the current year financial statements.

16. Subsequent Events

The Board of AQR Funds has approved certain changes to the AQR Risk Parity Fund. In particular, the Board approved a change in the name of the Fund from “AQR Risk Parity Fund” to “AQR Multi-Asset Fund.” The Board also approved revisions to the principal investment strategies of the Fund. These changes became effective on January 30, 2019.

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.

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354

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of AQR Funds and Shareholders of 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, and AQR Volatility Risk Premium Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the thirteen funds listed in the table below (thirteen of the funds constituting AQR Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations, statements of changes in net assets, and for the eight funds designated in the table below, the statements of cash flows for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations, the changes in each of their net assets, and for the eight funds designated in the table below, each of their cash flows for the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

AQR Alternative Risk Premia Fund (1)	AQR Risk Parity Fund (3)
AQR Diversified Arbitrage Fund (2)	AQR Risk Parity II HV Fund (2)
AQR Equity Market Neutral Fund (2)	AQR Risk Parity II MV Fund (3)
AQR Global Macro Fund (3)	AQR Style Premia Alternative Fund (2)
AQR Long-Short Equity Fund (2)	AQR Style Premia Alternative LV Fund (2)
AQR Multi-Strategy Alternative Fund (2)	AQR Volatility Risk Premium Fund (4)
AQR Risk-Balanced Commodities Strategy Fund (3)

(1) Statement of operations and cash flows for the year ended December 31, 2018 and statements of changes in net assets for the year ended December 31, 2018 and for the period September 19, 2017 (commencement of operations) through December 31, 2017.

(2) Statement of operations and cash flows for the year ended December 31, 2018 and statements of changes in net assets for each of the two years ended December 31, 2018.

(3) Statement of operations for the year ended December 31, 2018 and statements of changes in net assets for each of the two years ended December 31, 2018.

(4) Statement of operations and statement of changes in changes in net assets for the period November 1, 2018 (commencement of operations) through December 31, 2018.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodians, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

New York, New York

February 25, 2019

We have served as the auditor of one or more investment companies in AQR Funds since 2008.

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Other Federal Tax Information (Unaudited)

For the fiscal year ended December 31, 2018, the Funds designate the following percentages of ordinary income dividends, or maximum amount allowable, as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief Reconciliation Act of 2003:

FUND	PERCENTAGE
AQR Alternative Risk Premia Fund		22.42	%
AQR Diversified Arbitrage Fund		3.38	%
AQR Style Premia Alternative Fund		100.00	%
AQR Style Premia Alternative LV Fund		100.00	%
AQR Volatility Risk Premium Fund		40.17	%

For the fiscal year ended December 31, 2018, the following percentages of income dividends paid by the Fund qualify for the dividends received deduction available to corporations:

FUND	PERCENTAGE
AQR Volatility Risk Premium Fund		28.46	%

The Funds designate the following amounts, or the maximum allowable under Section 852 of the Internal Revenue Code, as long term capital gain dividends paid during the fiscal year ended December 31, 2018:

FUND	TOTAL
AQR Global Macro Fund	$	1,131,755
AQR Long-Short Equity Fund		76,674,221
AQR Risk Parity Fund		3,693,125
AQR Risk Parity II HV Fund		220,319
AQR Risk Parity II MV Fund		169,454

The Funds designate the following amounts, or the maximum allowable under Section 871(k) of the Internal Revenue Code, as short-term capital gain dividends paid during the fiscal year ended December 31, 2018 to non-resident alien shareholders:

FUND	TOTAL
AQR Global Macro Fund	$	224,569
AQR Long-Short Equity Fund		46,759,706
AQR Risk Parity Fund		6,018,513
AQR Risk Parity II HV Fund		726,840
AQR Risk Parity II MV Fund		695,124

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356

Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 12/31/18” to estimate the expenses you paid on your account during this period. 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.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/18
AQR Alternative Risk Premia Fund
Class I
Actual Return		$1,000.00		$1,001.90		3.24	%		$16.35
Hypothetical Return		$1,000.00		$1,008.87		3.24	%		$16.41
Class N
Actual Return		$1,000.00		$1,000.70		3.44	%		$17.35
Hypothetical Return		$1,000.00		$1,007.86		3.44	%		$17.41
Class R6
Actual Return		$1,000.00		$1,003.00		3.06	%		$15.45
Hypothetical Return		$1,000.00		$1,009.78		3.06	%		$15.50
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$987.30		1.80	%		$9.02
Hypothetical Return		$1,000.00		$1,016.13		1.80	%		$9.15
Class N
Actual Return		$1,000.00		$986.60		2.05	%		$10.27
Hypothetical Return		$1,000.00		$1,014.87		2.05	%		$10.41
Class R6
Actual Return		$1,000.00		$988.30		1.73	%		$8.67
Hypothetical Return		$1,000.00		$1,016.48		1.73	%		$8.79

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/18
AQR Equity Market Neutral Fund
Class I
Actual Return		$1,000.00		$965.40		1.71	%		$8.47
Hypothetical Return		$1,000.00		$1,016.59		1.71	%		$8.69
Class N
Actual Return		$1,000.00		$963.50		2.03	%		$10.05
Hypothetical Return		$1,000.00		$1,014.97		2.03	%		$10.31
Class R6
Actual Return		$1,000.00		$965.40		1.69	%		$8.37
Hypothetical Return		$1,000.00		$1,016.69		1.69	%		$8.59
AQR Global Macro Fund
Class I
Actual Return		$1,000.00		$999.20		1.40	%		$7.05
Hypothetical Return		$1,000.00		$1,018.15		1.40	%		$7.12
Class N
Actual Return		$1,000.00		$998.50		1.67	%		$8.41
Hypothetical Return		$1,000.00		$1,016.79		1.67	%		$8.49
Class R6
Actual Return		$1,000.00		$999.60		1.35	%		$6.80
Hypothetical Return		$1,000.00		$1,018.40		1.35	%		$6.87
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$910.80		1.72	%		$8.28
Hypothetical Return		$1,000.00		$1,016.53		1.72	%		$8.74
Class N
Actual Return		$1,000.00		$909.40		2.01	%		$9.67
Hypothetical Return		$1,000.00		$1,015.07		2.01	%		$10.21
Class R6
Actual Return		$1,000.00		$911.00		1.67	%		$8.04
Hypothetical Return		$1,000.00		$1,016.79		1.67	%		$8.49
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$942.10		2.34	%		$11.45
Hypothetical Return		$1,000.00		$1,013.41		2.34	%		$11.88
Class N
Actual Return		$1,000.00		$939.30		2.63	%		$12.86
Hypothetical Return		$1,000.00		$1,011.95		2.63	%		$13.34
Class R6
Actual Return		$1,000.00		$942.20		2.28	%		$11.16
Hypothetical Return		$1,000.00		$1,013.71		2.28	%		$11.57
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$856.50		0.94	%		$4.40
Hypothetical Return		$1,000.00		$1,020.47		0.94	%		$4.79
Class N
Actual Return		$1,000.00		$855.70		1.25	%		$5.85
Hypothetical Return		$1,000.00		$1,018.90		1.25	%		$6.36
Class R6
Actual Return		$1,000.00		$856.20		0.90	%		$4.21
Hypothetical Return		$1,000.00		$1,020.67		0.90	%		$4.58

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Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/18
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$946.80		0.89	%		$4.37
Hypothetical Return		$1,000.00		$1,020.72		0.89	%		$4.53
Class N
Actual Return		$1,000.00		$946.00		1.17	%		$5.74
Hypothetical Return		$1,000.00		$1,019.31		1.17	%		$5.96
Class R6
Actual Return		$1,000.00		$948.00		0.85	%		$4.17
Hypothetical Return		$1,000.00		$1,020.92		0.85	%		$4.33
AQR Risk Parity II HV Fund
Class I
Actual Return		$1,000.00		$896.50		1.73	%		$8.27
Hypothetical Return		$1,000.00		$1,016.48		1.73	%		$8.79
Class N
Actual Return		$1,000.00		$895.80		2.23	%		$10.66
Hypothetical Return		$1,000.00		$1,013.96		2.23	%		$11.32
Class R6
Actual Return		$1,000.00		$897.30		1.71	%		$8.18
Hypothetical Return		$1,000.00		$1,016.59		1.71	%		$8.69
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$933.60		0.93	%		$4.53
Hypothetical Return		$1,000.00		$1,020.52		0.93	%		$4.74
Class N
Actual Return		$1,000.00		$932.40		1.19	%		$5.80
Hypothetical Return		$1,000.00		$1,019.21		1.19	%		$6.06
Class R6
Actual Return		$1,000.00		$934.60		0.85	%		$4.14
Hypothetical Return		$1,000.00		$1,020.92		0.85	%		$4.33
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$946.70		2.23	%		$10.94
Hypothetical Return		$1,000.00		$1,013.96		2.23	%		$11.32
Class N
Actual Return		$1,000.00		$944.20		2.46	%		$12.06
Hypothetical Return		$1,000.00		$1,012.80		2.46	%		$12.48
Class R6
Actual Return		$1,000.00		$946.90		2.16	%		$10.60
Hypothetical Return		$1,000.00		$1,014.32		2.16	%		$10.97
AQR Style Premia Alternative LV Fund
Class I
Actual Return		$1,000.00		$981.30		1.12	%		$5.59
Hypothetical Return		$1,000.00		$1,019.56		1.12	%		$5.70
Class N
Actual Return		$1,000.00		$979.30		1.40	%		$6.98
Hypothetical Return		$1,000.00		$1,018.15		1.40	%		$7.12
Class R6
Actual Return		$1,000.00		$981.00		1.04	%		$5.19
Hypothetical Return		$1,000.00		$1,019.96		1.04	%		$5.30

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359

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/18
AQR Volatility Risk Premium Fund (1)
Class I
Actual Return		$1,000.00		$956.60		0.76	%	$	1.22	(a)
Hypothetical Return		$1,000.00		$1,021.37		0.76	%		$3.87
Class N
Actual Return		$1,000.00		$956.20		1.01	%		1.62	(a)
Hypothetical Return		$1,000.00		$1,020.11		1.01	%		$5.14
Class R6
Actual Return		$1,000.00		$956.80		0.66	%		1.06	(a)
Hypothetical Return		$1,000.00		$1,021.88		0.66	%		$3.36

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the one-half year period unless stated otherwise).

(1) Commencement of operations was November 01, 2018.

(a) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 60/365 (to reflect the period since commencement of operations).

AQR Funds Annual Report December 2018

360

Trustees and Officers (Unaudited) December 31, 2018

Listed in the chart below is basic information regarding the Trustees and officers of the Trust. The address of each officer and Trustee is Two Greenwich Plaza, Greenwich CT 06830.

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE		OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Disinterested Trustees2
Timothy K. Armour, M.B.A., 1948	Chairman of the Board, since 2010; Trustee, since 2008	Interim Chief Executive Officer of Janus Capital Group (retired) (2009-2010) (financial services)		49	Janus Capital Group (2008-2016)
L. Joe Moravy, M.B.A., CPA, 1950	Trustee, since 2008	Independent Consultant (retired) (2014-2016); Managing Director, Finance Scholars Group (2010-2014) (consulting)		49	Nuveen Exchange Traded Commodities Funds (2012-2016)
William L. Atwell, M.B.A., 1950	Trustee, since 2011	Consultant, Atwell Partners, LLC (since 2012) (consulting); President (Cigna International), Cigna Corp. (2008-2012) (insurance)		49	Webster Financial Corporation (since 2014); Blucora, Inc. (since 2017)
Gregg D. Behrens, M.M., 1952	Trustee, since 2011	Retired from Northern Trust Company (since 2009) (banking)		49	None
Brian Posner, M.B.A., 1961	Trustee, since 2011	President, Point Rider Group LLC (since 2008) (consulting)		49	Biogen Inc. (since 2008); Arch Capital Group (since 2010); Bioverativ Inc. (2017-2018); BG Medicine (2012-2015)
Mark A. Zurack, M.B.A., CFA 1957	Trustee, since 2014	Senior Lecturer, Columbia Business School (since 2002); Visiting Senior Lecturer, Cornell University (2004-2013)		49	Exchange Traded Concepts Trust (since 2011); Source ETF Trust (2014-2015)
Interested Trustees3
David Kabiller, CFA, 1963	Trustee, since 2010	Founding Principal, AQR Capital Management, LLC (since 1998)		49	None
Marco Hanig, Ph.D., 1958	Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008	Principal, AQR Capital Management, LLC (since 2008)		49	None
Officers
H.J. Willcox, J.D., 1966	Chief Compliance Officer, since 2013; Anti-Money Laundering Officer, since 2017	Principal and Chief Compliance Officer, AQR Capital Management, LLC (since 2013)		N/A	N/A
Heather Bonner, CPA, 1977	Chief Financial Officer, since 2014; Treasurer, since 2018	Vice President, AQR Capital Management, LLC (since 2013)		N/A	N/A
Bradley Asness, J.D., M.B.A., 1969	Vice President, since 2009	Principal and Co-Chief Operating Officer, AQR Capital Management, LLC (since 1998)		N/A	N/A

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361

Trustees and Officers (Unaudited) December 31, 2018

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
William J. Fenrich, J.D., 1969	Vice President, since 2018	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 2017); Managing Director and Chief Compliance Officer, Morgan Stanley (2016-2017); Managing Director and Chief Counsel, Morgan Stanley (2014-2016); General Counsel and Chief Operating Officer, PointState Capital (2010-2014)	N/A	N/A
Nicole DonVito, J.D., 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Managing Director, Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007)	N/A	N/A
Tara Bongiorni, CPA 1977	Assistant Treasurer, since 2017	Vice President, AQR Capital Management, LLC (since 2015); Vice President, Goldman Sachs Asset Management (2002-2015)	N/A	N/A
John Hadermayer, J.D., 1977	Secretary, since 2018	Vice President, AQR Capital Management, LLC (since 2013)	N/A	N/A

1 Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 75.

2 A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act.

3 An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser.

AQR Funds Annual Report December 2018

362

Board Approval of Investment Advisory Agreements  (Unaudited)

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November15-16, 2018 to consider the continuation of the: (i) Third Amended and Restated Investment Management Agreement, as amended, between AQR Capital Management, LLC (“AQR”) and the AQR Funds on behalf of the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund, AQR Style Premia Alternative LV Fund and certain other AQR Funds; (ii) Second Amendment to the Third Amended and Restated Investment Management Agreement between AQR and the AQR Funds (the “Amendment”), to reflect a 5 basis point reduction in the advisory fee for the AQR Multi-Strategy Alternative Fund, effective on May 1, 2019; (iii) Investment Management Agreement II, as amended, between AQR and the AQR Funds on behalf of the AQR Alternative Risk Premia Fund and certain other AQR Funds; (iv) the Second Amended and Restated InvestmentSub-Advisory Agreement between AQR and CNH Partners, LLC (“CNH” or the“Sub-Adviser”) on behalf of the AQR Diversified Arbitrage Fund and the InvestmentSub-Advisory Agreement between AQR and theSub-Adviser for the AQR Multi-Strategy Alternative Fund (collectively, the“Sub-Advisory Agreements”); and (v) Fifth Amended and Restated Fee Waiver and Expense Reimbursement Agreement on behalf of the Funds (the “A&R Fee Waiver Agreement”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” The Investment Management Agreement (including the Amendment), the Investment Management Agreement II and theSub-Advisory Agreements are referred to collectively herein as the “Management Agreement,” as applicable and as the context suggests.

In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on November 9, 2018 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with thein-person meeting held on November15-16, 2018, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) memoranda and materials provided by AQR, describing the personnel and services provided by CNH to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund; (iii) performance information for the Funds relevant to the consideration of the Management Agreement; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) and Broadridge relating to the Funds’ fees and expenses and performance relative to peers; (v) financial information for AQR and a profitability analysis showing the profitability of AQR and CNH from providing services to the Funds; and (vi) a discussion of the compliance programs of AQR and CNH and the regulatory exam histories of each. AQR and CNH are referred to herein as the “Adviser,” as applicable.

At thein-person meeting held on November15-16, 2018, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additionalone-year period for each Fund. In approving the continuation of the Management Agreement for a Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services provided and profits realized by the Adviser from the relationship with the Funds and the fund complex; (d) economies of scale;(e) fall-out benefits; and (f) other factors.

The Board also considered other matters it deemed important to the approval process, such as AQR’s services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s consideration. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

In considering the renewal of the Management Agreement for each Fund, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:

The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had regularly as part of quarterly Board meetings with representatives of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, has responsibility for overseeing CNH with respect to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, provides oversight of Fund accounting, provides risk management, provides compliance oversight, oversees third party service providers and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members considered the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board recognized that AQR’s oversight of CNH was extensive, including portfolio risk monitoring, compliance testing, trade monitoring and execution, liquidity risk management, and negotiation of agreements with derivative counterparties. The Board Members recognized the enterprise risk of AQR and CNH involved in providing services to the Funds over time.

AQR Funds Annual Report December 2018

363

Board Approval of Investment Advisory Agreements (Unaudited)

Finally, the Independent Board Members had several opportunities to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings and their familiarity gained through regular Board presentations over time, the Board concluded that the services provided to the Funds by AQR and, as applicable, CNH pursuant to the Management Agreement were of a high quality and benefit the Funds.

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s efforts to achieve such goals as well as the performance of the Funds relative to funds identified by Morningstar as their peers. The Board was cognizant of the fact that in some cases Fund performance was challenged over certain measurement periods in comparison to Morningstar peers or benchmarks. The Board considered that Morningstar comparisons may be of limited use in some cases due to the differences between the way a Fund is managed from other funds in the Morningstar category and peer group. In other cases, underperformance in relation to Morningstar peers may be due to differences in a Fund’s investment parameters compared to its peer funds, including risk limits, volatility targets, model limits on exposure to a particular country, and the Fund’s investment universe. Finally, the use of drawdown control and internal risk protections may affect a Fund’s performance in relation to its peers or benchmark. The Board noted the underperformance of several Funds during theone-year period ended September 30, 2018, which had been the subject of specific presentations by AQR, at the Board’s request, at regular Board meetings during the year. The presentations, which addressed in detail the drivers of underperformance, supported a conclusion that the Funds were being managed consistent with their stated policies and strategies.. Certain Funds also underperformed their Morningstar Category peers for the three-year period, which in some cases may have been impacted by theone-year performance. The Board also was cognizant of significant redemptions from certain Funds over the prior year due to underperformance. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the performance of each Fund is consistent with its stated objectives and strategies and the Adviser’s investment process.

The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received information regarding the management fees paid by the Funds to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds and the costs incurred by and benefits to the Adviser in providing those services, and other relevant factors.

To assist in this analysis, the Board received a report independently prepared by Broadridge (the “Broadridge Report”). The Broadridge Report showed comparative fee information for each Fund’s respective Broadridge category, including expense comparisons of contractual investment management fees and actual net expenses. The Board considered (i) the proposed 0.05% decrease in the management fee for the AQR Multi-Strategy Alternative Fund and (ii) the proposed 0.02% and 0.05% increase in the expense caps pursuant to the A&R Fee Waiver Agreement for the AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund, respectively. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, includingsub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when itsub-advises third party mutual funds or advises separate accounts or hedge funds.

The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities and the profitability of CNH with respect to itssub-advisory services for two of the Funds. The Adviser provided the Board Members a detailed description of the methodology and inputs used to determine profitability. AQR advised that an independent third party expert had reviewed the methodology for allocating costs to different lines of business and to individual AQR Funds and reminded the Board that it had met with the third party to discuss its review at a previous meeting. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, costs of recruiting and retaining personnel, taxes, expense allocations and business mix.

The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s and CNH’s profitability were not excessive.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. It also provided Morningstar data for the purpose of showing the hypothetical effective management fee for each Fund (other than the AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund) at higher asset levels compared to its peers, some of which have breakpoints. At the request of the Independent Trustees, additional information was provided highlighting a Fund’s management fee relative to its category and peer group for the AQR Funds with more than $2 billion in assets under management (“AUM”) as of September 30, 2018. The Board considered this information in determining the reasonableness of continuing to operate each Fund (other than the AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund) without management fee breakpoints at the Fund’s current AUM level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board noted that, under the Management Agreement, none of the Funds, except for the AQR Risk Parity Fund, AQR Risk Parity II MV

AQR Funds Annual Report December 2018

364

Board Approval of Investment Advisory Agreements (Unaudited)

Fund and AQR Risk Parity II HV Fund, have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations. In particular, the Board noted the continuing enhancements to AQR’s services to the Funds in areas such as compliance, portfolio management, technology and administration. AQR advised that its growth as a firm has resulted in additional benefits to the AQR Funds, such as the ability to negotiate better terms with service providers, to undertake securities lending activities and to establish a dedicated money market fund for the AQR Funds. The principals of the Adviser have also provided seed capital in excess of regulatory minimums for extended periods.

Other Factors. The Board also took into account other ancillary or“fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible, including thesub-advisory fees paid to CNH, noting that no payments are received by the Adviser from the Funds beyond the fees under the Management Agreement. The Board was advised by AQR that AQR may obtain greater exposure to the public as a result of managing the AQR Funds, which could lead to additional business opportunities, such assub-advisory mandates. The Adviser may also obtain reputational benefits. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients.

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Management Agreement are reasonable in relation to the services provided by the Adviser (including CNH, when applicable) to the Funds, as well as the costs incurred and benefits to be gained by the Adviser (including CNH, when applicable) in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Annual Report December 2018

365

Board Approval of Investment Advisory Agreements (Unaudited)

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on August 15-16, 2018 to consider the approval of the Investment Management Agreement II between the Trust, on behalf of the AQR Volatility Risk Premium Fund (the “New Fund”), and AQR Capital Management, LLC (“AQR” or the “Adviser”) (the “Investment Management Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on August 13, 2018 with independent legal counsel and representatives of AQR and Fund counsel to review the materials provided and the relevant legal considerations (together with thein-person meeting held on August 15-16, 2018, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the Investment Management Agreement. These materials included: (1) memoranda and materials provided by AQR describing the personnel and services to be provided to the New Fund; (2) performance information for comparable accounts, if available, relevant to the consideration of the Investment Management Agreement; (3) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the New Fund’s proposed fees and expenses; (4) a discussion of the financial information of AQR; and (5) a discussion of the compliance program and the regulatory exam history of AQR.

At the in-person meeting held on August 15-16, 2018, the Board, including the Independent Board Members, approved the Investment Management Agreement for an initial two-year period for the New Fund. The Board considered all factors it believed to be relevant with respect to the New Fund, including, among other factors: (a) the nature, extent and quality of the services expected to be provided by the Adviser; (b) the investment performance of the Adviser and the Adviser’s portfolio management capabilities; (c) the management fee and the cost of the services and profits that may be realized by the Adviser from the relationship with the New Fund; (d) economies of scale; and (e) other factors.

The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the New Fund’s portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the New Fund and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

In considering the approval of the Investment Management Agreement for the New Fund, the Board did not view the Investment Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Investment Management Agreement against the Adviser.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Investment Management Agreement:

The Nature, Extent and Quality of the Services to be Provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the New Fund under the Investment Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the New Fund’s stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the New Fund, the Board Members took into account discussions they had with representatives of the Adviser regarding the management of the New Fund’s investments in accordance with the New Fund’s stated investment objectives and policies and the types of transactions that would be entered into on behalf of the New Fund. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and proposed implementation of the New Fund’s investment strategies, their efficacy and potential risks.

In addition to the investment advisory services to be provided to the New Fund, the Board Members considered that AQR also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, risk management, compliance oversight, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the New Fund. In particular, the Board Members reviewed the compliance, shareholder and administrative services to be provided to the New Fund by AQR under the Investment Management Agreement. The Board Members recognized the entrepreneurial risk that AQR would assume in connection with launching the New Fund and the enterprise risk involved in providing services to the New Fund over time.

Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Investment Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the New Fund by AQR pursuant to the Investment Management Agreement were expected to be of a high quality and would benefit the New Fund.

Investment Performance and the Adviser’s Portfolio Management. Because the New Fund is newly formed, the Board did not consider the investment performance of the New Fund. The Board based its review of the Adviser’s performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the New Fund. The Board also considered the resources and strengths of the Adviser and the experience of the portfolio management team with respect to the investment strategies proposed for the New Fund. Based on these factors, the Board Members determined that AQR would be an appropriate investment adviser for the New Fund.

The Management Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the New Fund. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the New Fund to the Adviser pursuant to the Investment Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the New Fund.

AQR Funds Annual Report December 2018

366

Board Approval of Investment Advisory Agreements (Unaudited)

To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for the New Fund’s prospective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses.

The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to New Fund-related activities. The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, taxes, expense allocations and business mix.

The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the New Fund and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the proposed management fees under the Investment Management Agreement are reasonable.

Economies of Scale. Because the New Fund is newly formed and had not commenced operations as of August 15-16, 2018, and the eventual aggregate amount of the New Fund’s assets was uncertain, the Adviser was not able to provide the Board with specific information concerning the extent to which economies of scale would be realized as the New Fund grows. The Board considered the Adviser’s representation that the proposed management fee does not include breakpoints because AQR believes the New Fund is priced competitively compared to its peers even at higher asset levels. The Board recognized that economies would also be shared through the adoption of an expense limitation agreement for the New Fund. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit the New Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.

Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the New Fund, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the New Fund, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of an investment management agreement. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board, including all of the Independent Board Members, concluded that the proposed management fee rates under the Investment Management Agreement are reasonable in relation to the services to be provided by the Adviser to the New Fund, as well as the costs expected to be incurred and benefits expected to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of an anticipated size. As a result, the Board, including the Independent Board Members voting separately, approved the Investment Management Agreement with respect to the New Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Annual Report December 2018

367

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 calling1-866-290-2688 or visiting the funds websitehttps://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 calling1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248  ^|  p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Annual Report

December 31, 2018

AQR Managed Futures Strategy Fund

AQR Managed Futures Strategy HV Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, the Funds intend to no longer mail paper copies of the Funds’ annual and semi-annual shareholder reports, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website (https://funds.aqr.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling(866) 290-2688.

You may elect to receive all future reports in paper free of charge. You can inform your financial intermediary or the Funds that you wish to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling (866) 290-2688. Your election to receive reports in paper will apply to all AQR Funds held with the fund complex if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., or all AQR Funds held in your account if you invest through a financial intermediary.

Table of Contents

Shareholder Letters (unaudited)
AQR Managed Futures Strategy Fund	2
AQR Managed Futures Strategy HV Fund	5
Consolidated Schedule of Investments
AQR Managed Futures Strategy Fund	9
AQR Managed Futures Strategy HV Fund	26
Consolidated Financial Statements and Notes	40
Report of Independent Registered Public Accounting Firm	63
Fund Expense Examples (unaudited)	64
Trustees and Officers (unaudited)	65
Board Approval of Investment Advisory Agreements (unaudited)	67

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Ari Levine

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

The AQR Managed Futures Strategy Fund (the “Fund”) actively invests in futures, futures-related instruments, forward contracts and swaps, both long and short across the global equity, fixed income, commodity and currency markets. The Fund uses both short-term and long-term trend-following signals to attempt to profit from different trends that occur in all of these markets. Trend following can be simply described as going long markets that are rising in price and going short markets that are falling in price.

In addition to trend-following signals, we also incorporate signals that seek to identify over-extended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies.

We expect that the correlation of this strategy to equity markets will average close to zero over a full economic cycle. That said, it is the nature of the strategy to exhibit a positive beta when markets have been rising and a negative beta when the markets have been falling.

A difficult fourth quarter extended losses for the Fund in 2018. The Fund’s Class I shares returned-8.88% versus a +1.88% return for its benchmark, the ICE BofA Merrill Lynch US 3-Month Treasury Bill Index. The strategy performed in line with the SG Trend Index, which returned -8.11% in 2018. This index is an equal weighted composite of 10 of the largest trend-following managed futures hedge funds. By asset class, gross of fees, equities detracted -0.25%, fixed income detracted -0.98%, commodities detracted -1.86%, and currencies detracted -4.75%.

2018 was a challenging year for our Fund and for the trend-following industry more broadly, with the fourth quarter being particularly difficult. A number of transitionary themes impacted markets: 2017’s broadly-based upswing in global growth gave way to global deceleration (outside the U.S.), global monetary conditions tightened with the tone of forward guidance from the U.S. altering frequently, and political risks rose with more populist and protectionist policies gaining traction around the world. Against this backdrop, several markets across asset classes experienced large reversals in the fourth quarter and a lack of sustained direction over the full year.

After a broad upswing in global growth in 2017, 2018 saw a continuation of mainly U.S. economic strength. Data for third quarter U.S. GDP growth showed a 3.0% year-over-year increase, the strongest pace since 2015. Despite the early-2018 large pullback in U.S. equities caused by increasing inflationary pressures, strong economic growth coupled with significantly reduced tax liabilities led to rising corporate profits, and U.S. equities resumed a profitable uptrend, making new highs before the start of the fourth quarter. Strong U.S. growth also provided justification for tighter monetary policy in 2018, which helped drive a profitable rising-rate trend over the first three quarters of the year. Early in the fourth quarter, the fixed income trend continued as U.S. Treasury yields rose to new multi-year highs, as the unemployment rate fell to a new multi-decade low of 3.7% and a key gauge of growth in the service sector rose to a record high. Comments from Federal Reserve Chairman Powell at the time struck a hawkish tone on the extent of future rate hikes, noting that policymakers “may go past neutral” and that rates are “a long way from neutral at this point.” In contrast, the rest of the world experienced deteriorating economic conditions for most of 2018, with economies such as the Eurozone, Canada and China decelerating in the first half, reversing the positive economic trends they enjoyed in 2017. In the midst of the deceleration, some trends sharply reversed and were key loss drivers for the year, such as the appreciating euro and depreciating U.S. dollar trends in the second quarter. Additionally, international equities reversed bullish trends, causing losses for the Fund in the middle of the year, with bearish trends forming in Europe and emerging markets before the fourth quarter.

In the fourth quarter, global growth showed signs of continued deterioration, with particularly worrisome developments in Europe and China. Economic data delivered negative surprises in the Eurozone, with GDP, Industrial Production, and PMIs pointing towards the weakest growth in several years. Concerns about Europe were exacerbated by a standoff between the new populist government

AQR Funds Annual Report December 2018

2

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

in Italy and the European Commission over deficit spending targets, as well as continued Brexit risks and increasing likelihood of a “no deal” Brexit. In China, economic data also disappointed relative to consensus forecasts in the fourth quarter, fueling speculation that trade tensions with the U.S. might be weighing on growth.

European and emerging market equity indices declined further and were profitable trends for the Fund during the fourth quarter.

These gains more than offset losses from U.S. equity markets in the fourth quarter, as the S&P 500’s bullish trend sharply reversed in October given Chairman Powell’s hawkish guidance and a worsening of global economic conditions. With mounting global growth concerns and weakness in equity markets, the Chairman meaningfully changed his rhetoric at the end of November, highlighting that rates were “just below” neutral. This prompted significant reversals in, and losses from, U.S. fixed income markets during the quarter, causing the Fund to give back gains from fixed income trends earned earlier in the year. Bond yields and short-term rates fell sharply, to the point where markets even priced in a small chance for a surprise pause in rate hikes at December’s Fed meeting. The Fed not only raised rates, but by committing to further rate hikes and describing balance sheet normalization as “on automatic pilot”, it reversed tone (again) and went back to being perceived as hawkish. Given heightened risk of a policy error, market participants’ outlook on U.S. growth deteriorated, causing government bonds to rally further and global equities to extend their losses. Notably, continued bearish equity trends contributed positively to Fund returns in December. This led to positive returns from equities during the fourth quarter, which partially offset losses in equities caused by reversals earlier in the year.

Finally, after oil and related commodities exhibited a sustained and profitable rally of nearly 30% in the first three quarters of the year, prices sharply reversed in the fourth quarter and ended the year lower. Throughout the year, planned U.S. sanctions on Iranian oil imports by early November and other supply concerns helped support prices, but crude oil came under significant downward pressure in October and November. U.S. crude production hit new record highs during the quarter, while output from OPEC and Russia reached the highest levels since the production cuts agreed to in late 2016 and renewed in 2017. Critically, the U.S. decided to grant waivers allowing countries to continue importing Iranian crude in spite of sanctions, meaning the world had access to ample energy supplies. The result was a significant reversal which caused losses from commodities in the fourth quarter and the year overall.

By signal type, long-term signals and over-extended signals drove losses in 2018 due to a number of reversals of longer-term trends throughout the year. In contrast, short-term signals contributed positively to performance as their views changed to align with a number of notable reversals through the year, some of which led to sustained directional moves.

The strategy’s average annualized volatility target is 10.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a below-average 7.9% volatility, due to signal disagreement in some fixed income and currency markets. The Fund ended the year with a volatility level of 9.4%.

In 2018, the Fund performed roughly in line with the industry, as gauged by the SG Trend Index. The strategy’s outperformance in Q1 and Q3 was likely due to its risk management and portfolio construction processes, respectively. Underperformance in other quarters was likely driven by being balanced across signal horizons and by our over-extended signals.

AQR Funds Annual Report December 2018

3

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR MANAGED FUTURES STRATEGY FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQMIX		-8.88%		-6.16%		-1.56%		0.31%		1/5/2010
Fund - Class N: AQMNX		-9.12%		-6.41%		-1.82%		0.04%		1/5/2010
Fund - Class R6: AQMRX		-8.87%		-6.13%		na		-1.06%		9/2/2014
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%		1.02%		0.63%		0.39%		1/5/2010

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.22%, 1.49% and 1.14%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR MANAGED FUTURES STRATEGY FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 01/05/2010

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

AQR Funds Annual Report December 2018

4

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Ari Levine

Principal

Yao Hua Ooi

Principal

Dear Shareholder:

The AQR Managed Futures Strategy HV Fund (the “Fund”) actively invests in futures, futures-related instruments, forward contracts and swaps, both long and short across the global equity, fixed income, commodity and currency markets. The Fund uses both short-term and long-term trend-following signals to attempt to profit from different trends that occur in all of these markets. Trend following can be simply described as going long markets that are rising in price and going short markets that are falling in price. The Fund applies substantially the same strategies as the AQR Managed Futures Strategy Fund except targets a higher volatility.

In addition to trend-following signals, we also incorporate signals that seek to identify over-extended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies.

We expect that the correlation of this strategy to equity markets will average close to zero over a full economic cycle. That said, it is the nature of the strategy to exhibit a positive beta when markets have been rising and a negative beta when the markets have been falling.

A difficult fourth quarter extended losses for the Fund in 2018. The Fund’s Class I shares returned-14.44% versus a +1.88% return for its benchmark, the ICE BofA Merrill Lynch US 3-Month Treasury Bill Index. The strategy performed in line with the SG Trend Index which returned -8.11% in 2018, after accounting for differences in volatility targets between the Fund and the index. This index is an equal weighted composite of 10 of the largest trend-following managed futures hedge funds. By asset class, gross of fees, equities detracted -1.13%, fixed income detracted -1.63%, commodities detracted -3.32%, and currencies detracted -7.20%.

2018 was a challenging year for our Fund and for the trend-following industry more broadly, with the fourth quarter being particularly difficult. A number of transitionary themes impacted markets: 2017’s broadly-based upswing in global growth gave way to global deceleration (outside the U.S.), global monetary conditions tightened with the tone of forward guidance from the U.S. altering frequently, and political risks rose with more populist and protectionist policies gaining traction around the world. Against this backdrop, several markets across asset classes experienced large reversals in the fourth quarter and a lack of sustained direction over the full year.

After a broad upswing in global growth in 2017, 2018 saw a continuation of mainly U.S. economic strength. Data for third quarter U.S. GDP growth showed a 3.0% year-over-year increase, the strongest pace since 2015. Despite the early-2018 large pullback in U.S. equities caused by increasing inflationary pressures, strong economic growth coupled with significantly reduced tax liabilities led to rising corporate profits, and U.S. equities resumed a profitable uptrend, making new highs before the start of the fourth quarter. Strong U.S. growth also provided justification for tighter monetary policy in 2018, which helped drive a profitable rising-rate trend over the first three quarters of the year. Early in the fourth quarter, the fixed income trend continued as U.S. Treasury yields rose to new multi-year highs, as the unemployment rate fell to a new multi-decade low of 3.7% and a key gauge of growth in the service sector rose to a record high. Comments from Federal Reserve Chairman Powell at the time struck a hawkish tone on the extent of future rate hikes, noting that policymakers “may go past neutral” and that rates are “a long way from neutral at this point.” In contrast, the rest of the world experienced deteriorating economic conditions for most of 2018, with economies such as the Eurozone, Canada and China decelerating in the first half, reversing the positive economic trends they enjoyed in 2017. In the midst of the deceleration, some trends sharply reversed and were key loss drivers for the year, such as the appreciating euro and depreciating U.S. dollar trends in the second quarter. Additionally, international equities reversed bullish trends, causing losses for the Fund in the middle of the year, with bearish trends forming in Europe and emerging markets before the fourth quarter.

In the fourth quarter, global growth showed signs of continued deterioration, with particularly worrisome developments in Europe and China. Economic data delivered negative surprises in the Eurozone, with GDP, Industrial Production, and PMIs pointing towards the weakest growth in several

AQR Funds Annual Report December 2018

5

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

years. Concerns about Europe were exacerbated by a standoff between the new populist government in Italy and the European Commission over deficit spending targets, as well as continued Brexit risks and increasing likelihood of a “no deal” Brexit. In China, economic data also disappointed relative to consensus forecasts in the fourth quarter, fueling speculation that trade tensions with the U.S. might be weighing on growth.

European and emerging market equity indices declined further and were profitable trends for the Fund during the fourth quarter.

These gains more than offset losses from U.S. equity markets in the fourth quarter, as the S&P 500’s bullish trend sharply reversed in October given Chairman Powell’s hawkish guidance and a worsening of global economic conditions. With mounting global growth concerns and weakness in equity markets, the Chairman meaningfully changed his rhetoric at the end of November, highlighting that rates were “just below” neutral. This prompted significant reversals in, and losses from, U.S. fixed income markets during the quarter, causing the Fund to give back gains from fixed income trends earned earlier in the year. Bond yields and short-term rates fell sharply, to the point where markets even priced in a small chance for a surprise pause in rate hikes at December’s Fed meeting. The Fed not only raised rates, but by committing to further rate hikes and describing balance sheet normalization as “on automatic pilot”, it reversed tone (again) and went back to being perceived as hawkish. Given heightened risk of a policy error, market participants’ outlook on U.S. growth deteriorated, causing government bonds to rally further and global equities to extend their losses. Notably, continued bearish equity trends contributed positively to Fund returns in December. This led to positive returns from equities during the fourth quarter, which partially offset losses in equities caused by reversals earlier in the year.

Finally, after oil and related commodities exhibited a sustained and profitable rally of nearly 30% in the first three quarters of the year, prices sharply reversed in the fourth quarter and ended the year lower. Throughout the year, planned U.S. sanctions on Iranian oil imports by early November and other supply concerns helped support prices, but crude oil came under significant downward pressure in October and November. U.S. crude production hit new record highs during the quarter, while output from OPEC and Russia reached the highest levels since the production cuts agreed to in late 2016 and renewed in 2017. Critically, the U.S. decided to grant waivers allowing countries to continue importing Iranian crude in spite of sanctions, meaning the world had access to ample energy supplies. The result was a significant reversal which caused losses from commodities in the fourth quarter and the year overall.

By signal type, long-term signals and over-extended signals drove losses in 2018 due to a number of reversals of longer-term trends throughout the year. In contrast, short-term signals contributed positively to performance as their views changed to align with a number of notable reversals through the year, some of which led to sustained directional moves.

The strategy’s average annualized volatility target is 15.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a below-average 10.8% volatility, due to signal disagreement in some fixed income and currency markets. The Fund ended the year with a volatility level of 14.3%.

In 2018, the Fund performed roughly in line with the industry, as gauged by the SG Trend Index after accounting for differences in volatility targets. The strategy’s volatility-adjusted outperformance in Q1 and Q3 was likely due to its risk management and portfolio construction processes, respectively. Underperformance in other quarters was likely driven by being balanced across signal horizons and by our over-extended signals.

AQR Funds Annual Report December 2018

6

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2018 AQR MANAGED FUTURES STRATEGY HV FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: QMHIX		-14.44%		-9.92%		-2.99%		-1.34%		7/16/2013
Fund - Class N: QMHNX		-14.59%*		-10.15%		-3.25%		-1.60%		7/16/2013
Fund - Class R6: QMHRX		-14.32%		-9.84%		na		-2.37%		9/02/2014
ICE BofA Merrill Lynch US 3-Month Treasury Bill Index		1.88%		1.02%		0.63%		0.58%		7/16/2013

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.68%, 1.94% and 1.59%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2018 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR MANAGED FUTURES STRATEGY HV FUND VS. ICE BofA MERRILL LYNCH US 3-MONTH TREASURY BILL INDEX
VALUE OF $10,000 INVESTED ON 07/16/2013

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

AQR Funds Annual Report December 2018

7

Shareholder Letter (Unaudited)

DEFINITIONS:

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

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

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

SG Trend Index: is designed to track the 10 largest (by AUM) trend following Commodity Trading Advisors (“CTAs”) and be representative of the trend followers in the managed futures space.

Volatility: is a statistical measurement of up and down asset price fluctuations over time. If an asset has rapid dramatic price swings, its “volatility” will likely be relatively high. If prices are consistent and rarely change, “volatility” of that asset will likely be relatively low. “Volatility” can be measured as the standard deviation of an asset with a specific time

AQR Funds Annual Report December 2018

8

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 98.6%
INVESTMENT COMPANIES - 14.2%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 2.32% (1)(a)		9,486,710	$	9,486,710
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.32% (1)(a)		37,946,838		37,946,838
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (1)(a)(b)		222,778,899		222,778,899
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(a)		127,657,979		127,657,979
Limited Purpose Cash Investment Fund, 2.50% (1)(a)(c)		548,985,680		548,985,680
UBS Select Treasury Preferred Fund, Class I, 2.34% (1)(a)		47,433,547		47,433,547
TOTAL INVESTMENT COMPANIES (Cost $994,224,114)				994,289,653
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 84.4%
U.S. Treasury Bills
2.16%, 1/24/2019 (d)	$	123,332,000		123,159,969
2.18%, 1/31/2019 (d)		288,827,000		288,294,195
2.20%, 2/7/2019 (d)		352,536,000		351,702,693

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 84.4% (continued)
2.34%, 2/14/2019 (d)	$	122,089,000	$	121,739,741
2.21%, 2/21/2019 (d)		280,676,000		279,755,032
2.23%, 2/28/2019 (d)		414,717,000		413,153,388
2.34%, 3/7/2019 (d)		500,000,000		497,883,335
2.29%, 3/14/2019 (d)		899,450,000		895,221,434
2.35%, 3/21/2019 (d)(e)		630,070,000		626,873,838
2.35%, 3/28/2019 (d)		846,173,000		841,435,464
2.36%, 4/4/2019 (d)		389,426,000		387,011,396
2.41%, 4/11/2019 (d)(e)		258,659,000		256,950,071
2.46%, 4/25/2019 (d)(e)		260,450,000		258,482,834
2.51%, 5/30/2019 (d)(e)		33,965,000		33,626,213
2.53%, 6/6/2019 (d)(e)		279,452,000		276,510,187
2.51%, 6/13/2019 (d)(e)		293,586,000		290,360,773
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,943,469,483)				5,942,160,563
TOTAL SHORT-TERM INVESTMENTS (Cost $6,937,693,597)				6,936,450,216
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.6% (Cost $6,937,693,597)				6,936,450,216
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% (f)				101,851,574
NET ASSETS - 100.0%			$	7,038,301,790

(a) Represents 7-day effective yield as of December 31, 2018.

(b) All or a portion of the security pledged as collateral for forward foreign currency exchange 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 December 31, 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 12/31/18		VALUE AT 12/31/18		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
SHORT-TERM INVESTMENTS - 7.8%
INVESTMENT COMPANIES - 7.8%
Limited Purpose Cash Investment Fund, 2.50% (1)(a) (Cost $548,920,141)	452,535,642	12,911,709,999		(12,815,259,961	)		548,985,680		$548,985,680		$10,671,558		$46,767		$65,539

(a) Represents 7-day effective yield as of December 31, 2018.

(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 swap and futures contracts.

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

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

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

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

AQR Funds Annual Report December 2018

9

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

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

Over the Counter

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Coffee ‘C’ March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		02/08/2019	USD	(6,263,775	)		$1,018,170
Coffee ‘C’ March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/08/2019	USD	(23,909,287	)		3,952,918
Corn March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		02/22/2019	USD	(33,318,750	)		590,363
Corn March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MLIN		02/22/2019	USD	(9,093,750	)		205,581
Corn March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		02/22/2019	USD	(22,312,500	)		306,305
Cotton No. 2 March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		02/08/2019	USD	(4,729,100	)		404,945
Cotton No. 2 March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MLIN		02/08/2019	USD	(72,200	)		5,710
KC HRW Wheat March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		02/22/2019	USD	(48,875	)		2,438
KOSPI 200 Index March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MSCS		03/14/2019	KRW	(249,686,000,000	)		155,788
Soybean March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		02/22/2019	USD	(44,615,750	)		1,608,078
Soybean March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		02/22/2019	USD	(34,726,000	)		1,243,913
Soybean Meal March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		02/22/2019	USD	(50,885,580	)		858,558
Soybean Meal March Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		02/22/2019	USD	(28,014,960	)		363,189

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

AQR Funds Annual Report December 2018

10

Consolidated Schedule of Investments December 31, 2018

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)

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(18,191,130

)

$ 295,521

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

02/22/2019

USD

(8,863,140

)

120,430

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(16,375,800

)

702,460

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(31,214,280

)

1,355,326

Swiss Market Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MSCS

03/15/2019

CHF

(14,459,400

)

212,734

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(19,702,237

)

389,520

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(13,034,175

)

411,744

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

02/22/2019

USD

(2,918,850

)

81,600

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(4,327,950

)

95,240

14,380,531

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/08/2019

USD

3,093,694

(523,231

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/22/2019

USD

7,481,250

(193,125

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

7,350,000

(214,494

)

Corn March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

12,431,250

(272,937

)

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

AQR Funds Annual Report December 2018

11

Consolidated Schedule of Investments December 31, 2018

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)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/08/2019

USD

72,200

$(8,150

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/08/2019

USD

4,801,300

(541,975

)

HSCEI January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

01/30/2019

HKD

(11,617,300

)

(15,945

)

HSCEI January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

01/30/2019

HKD

(198,504,300

)

(227,148

)

iBovespa Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

02/13/2019

BRL

146,058,000

(975,832

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/01/2019

USD

(545,050

)

(13,678

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/01/2019

USD

(20,067,750

)

(647,757

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

22,375,000

(838,462

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

24,120,250

(808,141

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/22/2019

USD

8,863,140

(155,650

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

18,191,130

(345,156

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

14,038,470

(208,000

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

16,375,800

(719,208

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

9,792,060

(346,622

)

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

AQR Funds Annual Report December 2018

12

Consolidated Schedule of Investments December 31, 2018

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)
TAIEX Index January Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		01/16/2019	TWD	15,470,400		$ (3,132	)
Wheat March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		02/22/2019	USD	2,918,850		(176,900	)
Wheat March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		02/22/2019	USD	4,327,950		(164,575	)
Wheat March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		02/22/2019	USD	13,034,175		(619,609	)
Wheat March Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		02/22/2019	USD	8,379,113		(476,604	)
										(8,496,331	)
										$5,884,200

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
LME Aluminum Base Metal		66	1/2019	USD		$3,013,263		$(265,482	)
LME Aluminum Base Metal		70	1/2019	USD		3,198,580		(305,126	)
LME Aluminum Base Metal		89	1/2019	USD		4,067,634		(347,029	)
LME Aluminum Base Metal		103	1/2019	USD		4,708,490		(354,263	)
LME Copper Base Metal		1	1/2019	USD		148,880		(7,940	)
LME Copper Base Metal		1	1/2019	USD		148,858		(7,358	)
LME Copper Base Metal		1	1/2019	USD		148,964		(5,526	)
LME Copper Base Metal		1	1/2019	USD		148,970		(5,913	)
LME Copper Base Metal		2	1/2019	USD		297,494		(14,193	)
LME Copper Base Metal		2	1/2019	USD		297,450		(16,386	)
LME Copper Base Metal		2	1/2019	USD		297,671		(11,685	)
LME Copper Base Metal		2	1/2019	USD		297,875		(9,849	)
LME Copper Base Metal		3	1/2019	USD		446,877		(23,986	)
LME Copper Base Metal		4	1/2019	USD		596,050		(26,178	)
LME Copper Base Metal		4	1/2019	USD		595,750		(27,936	)
LME Copper Base Metal		5	1/2019	USD		744,953		(42,171	)
LME Copper Base Metal		6	1/2019	USD		893,412		(47,585	)
LME Copper Base Metal		14	1/2019	USD		2,086,326		(24,958	)
LME Copper Base Metal		53	1/2019	USD		7,897,808		(157,212	)
LME Copper Base Metal		53	1/2019	USD		7,897,384		(316,142	)
LME Copper Base Metal		63	1/2019	USD		9,385,425		(283,744	)

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

AQR Funds Annual Report December 2018

13

Consolidated Schedule of Investments December 31, 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 Nickel Base Metal		17	1/2019	USD		$ 1,084,334		$ (132,066	)
LME Nickel Base Metal		23	1/2019	USD		1,467,546		(156,782	)
LME Nickel Base Metal		26	1/2019	USD		1,659,249		(165,248	)
LME Nickel Base Metal		26	1/2019	USD		1,659,107		(173,892	)
LME Zinc Base Metal		1	1/2019	USD		61,912		(4,588	)
LME Zinc Base Metal		1	1/2019	USD		61,887		(4,283	)
LME Zinc Base Metal		1	1/2019	USD		62,062		(2,815	)
LME Zinc Base Metal		1	1/2019	USD		62,162		(3,665	)
LME Zinc Base Metal		1	1/2019	USD		62,462		(3,872	)
LME Zinc Base Metal		1	1/2019	USD		61,937		(4,582	)
LME Zinc Base Metal		1	1/2019	USD		62,562		(3,815	)
LME Zinc Base Metal		1	1/2019	USD		62,862		(3,553	)
LME Zinc Base Metal		1	1/2019	USD		62,000		(3,796	)
LME Zinc Base Metal		2	1/2019	USD		123,775		(10,535	)
LME Zinc Base Metal		2	1/2019	USD		125,925		(6,163	)
LME Zinc Base Metal		3	1/2019	USD		187,087		(10,484	)
LME Zinc Base Metal		8	1/2019	USD		495,100		(20,743	)
LME Zinc Base Metal		16	1/2019	USD		990,200		(65,086	)
LME Zinc Base Metal		17	1/2019	USD		1,052,087		(67,739	)
LME Zinc Base Metal		27	1/2019	USD		1,670,962		(53,742	)
Natural Gas		1,425	1/2019	USD		41,895,000		(16,382,268	)
100 oz Gold		716	2/2019	USD		91,741,080		1,169,514
LME Aluminum Base Metal		6	2/2019	USD		275,504		(17,667	)
LME Aluminum Base Metal		11	2/2019	USD		505,568		(26,314	)
LME Aluminum Base Metal		11	2/2019	USD		504,969		(31,982	)
LME Aluminum Base Metal		35	2/2019	USD		1,604,015		(104,526	)
LME Aluminum Base Metal		47	2/2019	USD		2,152,154		(170,660	)
LME Aluminum Base Metal		49	2/2019	USD		2,252,604		(118,580	)
LME Aluminum Base Metal		49	2/2019	USD		2,246,577		(131,293	)
LME Aluminum Base Metal		50	2/2019	USD		2,291,938		(146,335	)
LME Aluminum Base Metal		65	2/2019	USD		2,983,906		(165,535	)
LME Aluminum Base Metal		113	2/2019	USD		5,181,954		(318,311	)
LME Aluminum Base Metal		126	2/2019	USD		5,793,795		(301,820	)
LME Aluminum Base Metal		148	2/2019	USD		6,792,682		(397,780	)
LME Aluminum Base Metal		213	2/2019	USD		9,738,999		(824,004	)
LME Aluminum Base Metal		231	2/2019	USD		10,575,411		(803,408	)
LME Aluminum Base Metal		231	2/2019	USD		10,570,906		(884,325	)
LME Aluminum Base Metal		232	2/2019	USD		10,618,930		(839,654	)
LME Copper Base Metal		1	2/2019	USD		149,128		(3,375	)
LME Copper Base Metal		5	2/2019	USD		745,745		(20,968	)
LME Copper Base Metal		6	2/2019	USD		894,852		(36,516	)
LME Copper Base Metal		16	2/2019	USD		2,386,172		(47,475	)
LME Copper Base Metal		16	2/2019	USD		2,385,916		(43,331	)
LME Copper Base Metal		34	2/2019	USD		5,070,888		(187,639	)
LME Copper Base Metal		38	2/2019	USD		5,667,938		(221,434	)
LME Copper Base Metal		39	2/2019	USD		5,814,413		(151,379	)
LME Copper Base Metal		40	2/2019	USD		5,961,250		(299,024	)
LME Copper Base Metal		58	2/2019	USD		8,646,611		(318,522	)
LME Copper Base Metal		74	2/2019	USD		11,034,399		(503,079	)
LME Copper Base Metal		74	2/2019	USD		11,033,863		(491,481	)
LME Copper Base Metal		76	2/2019	USD		11,340,625		(523,081	)
LME Copper Base Metal		76	2/2019	USD		11,338,725		(514,240	)
LME Copper Base Metal		82	2/2019	USD		12,223,863		(458,176	)
LME Copper Base Metal		127	2/2019	USD		18,931,065		(811,246	)
LME Nickel Base Metal		10	2/2019	USD		639,330		(28,529	)

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

AQR Funds Annual Report December 2018

14

Consolidated Schedule of Investments December 31, 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 Nickel Base Metal		11	2/2019	USD		$ 703,329		$ (25,376	)
LME Nickel Base Metal		14	2/2019	USD		894,517		(50,944	)
LME Nickel Base Metal		14	2/2019	USD		894,440		(69,501	)
LME Nickel Base Metal		14	2/2019	USD		895,482		(13,439	)
LME Nickel Base Metal		16	2/2019	USD		1,022,130		(65,597	)
LME Nickel Base Metal		24	2/2019	USD		1,535,256		(19,142	)
LME Nickel Base Metal		26	2/2019	USD		1,662,102		(86,735	)
LME Nickel Base Metal		32	2/2019	USD		2,044,787		(146,898	)
LME Nickel Base Metal		43	2/2019	USD		2,746,031		(257,075	)
LME Nickel Base Metal		51	2/2019	USD		3,254,962		(360,057	)
LME Nickel Base Metal		58	2/2019	USD		3,707,449		(214,682	)
LME Nickel Base Metal		61	2/2019	USD		3,894,529		(425,366	)
LME Nickel Base Metal		61	2/2019	USD		3,894,862		(436,379	)
LME Nickel Base Metal		61	2/2019	USD		3,895,195		(416,465	)
LME Nickel Base Metal		113	2/2019	USD		7,229,175		(195,717	)
LME Zinc Base Metal		2	2/2019	USD		123,575		1,569
LME Zinc Base Metal		2	2/2019	USD		123,775		(1,648	)
LME Zinc Base Metal		3	2/2019	USD		185,662		(121	)
LME Zinc Base Metal		9	2/2019	USD		556,987		(1,039	)
LME Zinc Base Metal		15	2/2019	USD		927,000		(10,732	)
LME Zinc Base Metal		16	2/2019	USD		988,612		(81	)
LME Zinc Base Metal		47	2/2019	USD		2,908,713		(125,822	)
LME Zinc Base Metal		48	2/2019	USD		2,970,600		7,058
LME Zinc Base Metal		76	2/2019	USD		4,698,700		(198,488	)
LME Zinc Base Metal		97	2/2019	USD		6,000,056		(218,174	)
LME Zinc Base Metal		98	2/2019	USD		6,064,975		(248,832	)
LME Zinc Base Metal		101	2/2019	USD		6,250,637		(205,175	)
LME Zinc Base Metal		105	2/2019	USD		6,498,188		(357,065	)
LME Zinc Base Metal		113	2/2019	USD		6,993,287		(41,296	)
LME Zinc Base Metal		131	2/2019	USD		8,107,262		(181,003	)
LME Zinc Base Metal		131	2/2019	USD		8,107,262		(187,061	)
Australia 10 Year Bond		3,177	3/2019	AUD		296,889,393		2,957,794
Australia 3 Year Bond		16,691	3/2019	AUD		1,319,203,596		4,020,318
Canada 10 Year Bond		351	3/2019	CAD		35,164,276		240,137
Cocoa		58	3/2019	USD		1,401,280		(4,055	)
Euro-Bobl		8,299	3/2019	EUR		1,260,076,906		1,929,079
Euro-BTP		322	3/2019	EUR		47,156,824		92,153
Euro-Bund		2,686	3/2019	EUR		503,291,808		2,616,297
Euro-Buxl		426	3/2019	EUR		88,158,724		220,002
Euro-OAT		5,561	3/2019	EUR		960,824,562		(1,092,220	)
Euro-Schatz		12,399	3/2019	EUR		1,590,236,886		486,497
Japan 10 Year Bond		1,958	3/2019	JPY		2,723,925,368		9,420,007
LME Aluminum Base Metal		1	3/2019	USD		46,135		(1,947	)
LME Aluminum Base Metal		2	3/2019	USD		92,300		(3,279	)
LME Aluminum Base Metal		2	3/2019	USD		92,248		(4,358	)
LME Aluminum Base Metal		3	3/2019	USD		138,450		(4,509	)
LME Aluminum Base Metal		3	3/2019	USD		138,450		760
LME Aluminum Base Metal		4	3/2019	USD		184,756		(7,992	)
LME Aluminum Base Metal		5	3/2019	USD		230,750		(2,390	)
LME Aluminum Base Metal		8	3/2019	USD		369,426		(17,975	)
LME Aluminum Base Metal		12	3/2019	USD		553,356		(27,355	)
LME Aluminum Base Metal		99	3/2019	USD		4,556,574		(343,502	)
LME Aluminum Base Metal		172	3/2019	USD		7,922,062		(515,592	)
LME Aluminum Base Metal		172	3/2019	USD		7,920,213		(431,186	)
LME Aluminum Base Metal		172	3/2019	USD		7,918,321		(559,245	)

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

AQR Funds Annual Report December 2018

15

Consolidated Schedule of Investments December 31, 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 Aluminum Base Metal		184	3/2019	USD		$ 8,482,768		$ (495,653	)
LME Aluminum Base Metal		1,000	3/2019	USD		46,200,000		(2,797,781	)
LME Copper Base Metal		2	3/2019	USD		298,546		(8,830	)
LME Copper Base Metal		5	3/2019	USD		746,414		(26,741	)
LME Copper Base Metal		9	3/2019	USD		1,342,931		(28,809	)
LME Copper Base Metal		9	3/2019	USD		1,343,018		(42,806	)
LME Copper Base Metal		10	3/2019	USD		1,491,250		(10,155	)
LME Copper Base Metal		10	3/2019	USD		1,492,633		(41,484	)
LME Copper Base Metal		11	3/2019	USD		1,640,502		(15,581	)
LME Copper Base Metal		11	3/2019	USD		1,642,163		(10,620	)
LME Copper Base Metal		14	3/2019	USD		2,088,391		(3,944	)
LME Copper Base Metal		14	3/2019	USD		2,088,713		(9,229	)
LME Copper Base Metal		60	3/2019	USD		8,951,715		(478,822	)
LME Copper Base Metal		138	3/2019	USD		20,595,638		(855,471	)
LME Nickel Base Metal		1	3/2019	USD		64,089		(1,229	)
LME Nickel Base Metal		1	3/2019	USD		64,117		(1,352	)
LME Nickel Base Metal		1	3/2019	USD		64,095		(1,336	)
LME Nickel Base Metal		2	3/2019	USD		128,168		(3,897	)
LME Nickel Base Metal		6	3/2019	USD		384,806		(247	)
LME Nickel Base Metal		12	3/2019	USD		769,680		(9,395	)
LME Nickel Base Metal		74	3/2019	USD		4,737,542		(122,071	)
LME Nickel Base Metal		75	3/2019	USD		4,801,072		(113,459	)
LME Nickel Base Metal		75	3/2019	USD		4,800,577		(214,490	)
LME Nickel Base Metal		75	3/2019	USD		4,800,087		(266,237	)
LME Nickel Base Metal		76	3/2019	USD		4,867,572		(70,553	)
LME Nickel Base Metal		518	3/2019	USD		33,198,102		(1,075,654	)
LME Zinc Base Metal		1	3/2019	USD		61,796		(2,694	)
LME Zinc Base Metal		1	3/2019	USD		61,797		(1,443	)
LME Zinc Base Metal		2	3/2019	USD		123,600		(2,718	)
LME Zinc Base Metal		10	3/2019	USD		617,000		(17,530	)
LME Zinc Base Metal		11	3/2019	USD		679,594		(18,664	)
LME Zinc Base Metal		16	3/2019	USD		987,068		(9,439	)
LME Zinc Base Metal		17	3/2019	USD		1,048,547		(17,615	)
LME Zinc Base Metal		22	3/2019	USD		1,356,850		4,885
LME Zinc Base Metal		63	3/2019	USD		3,892,817		(189,433	)
LME Zinc Base Metal		72	3/2019	USD		4,449,078		(278,754	)
LME Zinc Base Metal		72	3/2019	USD		4,449,276		(204,342	)
LME Zinc Base Metal		72	3/2019	USD		4,448,988		(226,511	)
LME Zinc Base Metal		73	3/2019	USD		4,510,816		(207,609	)
LME Zinc Base Metal		363	3/2019	USD		22,419,788		(1,101,032	)
Long Gilt		2,213	3/2019	GBP		347,424,355		1,986,007
Palladium		164	3/2019	USD		19,634,080		1,182,344
U.S. Treasury 10 Year Note		141	3/2019	USD		17,204,203		34,369
U.S. Treasury 2 Year Note		1,545	3/2019	USD		328,022,813		209,677
U.S. Treasury 5 Year Note		721	3/2019	USD		82,689,687		121,726
3 Month Canadian Bankers Acceptance		222	6/2019	CAD		39,744,781		18,266
3 Month Euro Euribor		2,330	6/2019	EUR		669,334,824		3,560
3 Month Euroswiss		73	6/2019	CHF		18,701,190		(2,063	)
3 Month Sterling		457	6/2019	GBP		72,076,127		(763	)
ASX 90 Day Bank Accepted Bill		263	6/2019	AUD		184,375,709		3,992
3 Month Canadian Bankers Acceptance		233	9/2019	CAD		41,711,984		44,664
3 Month Euro Euribor		3,209	9/2019	EUR		921,705,665		238,212
3 Month Eurodollar		56	9/2019	USD		13,627,600		1,397
3 Month Euroswiss		130	9/2019	CHF		33,300,183		4,654
3 Month Sterling		484	9/2019	GBP		76,299,753		3,428

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

AQR Funds Annual Report December 2018

16

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
ASX 90 Day Bank Accepted Bill		518		9/2019	AUD		$ 363,169,769			$ 39,972
3 Month Euro Euribor		5,893		12/2019	EUR		1,692,196,106			1,369,290
3 Month Euroswiss		178		12/2019	CHF		45,568,471			(1,390	)
3 Month Sterling		438		12/2019	GBP		69,009,742			476
3 Month Euro Euribor		7,543		3/2020	EUR		2,165,351,349			2,715,534
3 Month Sterling		424		3/2020	GBP		66,787,063			9,432
3 Month Euro Euribor		7,457		6/2020	EUR		2,139,595,549			3,205,073
3 Month Sterling		442		6/2020	GBP		69,597,715			18,728
3 Month Euro Euribor		6,836		9/2020	EUR		1,960,338,524			2,900,477
3 Month Eurodollar		37		9/2020	USD		9,022,912			1,433
3 Month Sterling		437		9/2020	GBP		68,786,042			17,651
3 Month Euro Euribor		3,932		12/2020	EUR		1,126,891,685			1,341,226
3 Month Eurodollar		132		12/2020	USD		32,184,900			5,698
3 Month Sterling		419		12/2020	GBP		65,932,722			22,150
										(7,419,923	)
Short Contracts
Amsterdam Exchange Index		(429	)	1/2019	EUR		(47,945,485	)		721,875
Brent Crude Oil		(1,465	)	1/2019	USD		(78,817,000	)		7,233,400
CAC 40 10 Euro Index		(1,459	)	1/2019	EUR		(79,043,934	)		1,099,789
Hang Seng Index		(629	)	1/2019	HKD		(103,838,618	)		(515,901	)
HSCEI		(860	)	1/2019	HKD		(55,473,597	)		(98,758	)
IBEX 35 Index		(303	)	1/2019	EUR		(29,568,156	)		622,242
LME Aluminum Base Metal		(66	)	1/2019	USD		(3,013,263	)		260,730
LME Aluminum Base Metal		(70	)	1/2019	USD		(3,198,580	)		291,236
LME Aluminum Base Metal		(89	)	1/2019	USD		(4,067,634	)		332,019
LME Aluminum Base Metal		(103	)	1/2019	USD		(4,708,490	)		362,663
LME Copper Base Metal		(1	)	1/2019	USD		(148,858	)		6,580
LME Copper Base Metal		(1	)	1/2019	USD		(148,970	)		6,027
LME Copper Base Metal		(1	)	1/2019	USD		(148,880	)		8,367
LME Copper Base Metal		(1	)	1/2019	USD		(148,964	)		5,908
LME Copper Base Metal		(2	)	1/2019	USD		(297,875	)		11,719
LME Copper Base Metal		(2	)	1/2019	USD		(297,671	)		11,876
LME Copper Base Metal		(2	)	1/2019	USD		(297,450	)		17,294
LME Copper Base Metal		(2	)	1/2019	USD		(297,494	)		15,279
LME Copper Base Metal		(3	)	1/2019	USD		(446,877	)		25,014
LME Copper Base Metal		(4	)	1/2019	USD		(595,750	)		29,623
LME Copper Base Metal		(4	)	1/2019	USD		(596,050	)		23,638
LME Copper Base Metal		(5	)	1/2019	USD		(744,953	)		38,158
LME Copper Base Metal		(6	)	1/2019	USD		(893,412	)		43,623
LME Copper Base Metal		(14	)	1/2019	USD		(2,086,326	)		25,708
LME Copper Base Metal		(53	)	1/2019	USD		(7,897,808	)		202,423
LME Copper Base Metal		(53	)	1/2019	USD		(7,897,384	)		341,309
LME Copper Base Metal		(63	)	1/2019	USD		(9,385,425	)		283,321
LME Nickel Base Metal		(17	)	1/2019	USD		(1,084,334	)		128,013
LME Nickel Base Metal		(23	)	1/2019	USD		(1,467,546	)		162,219
LME Nickel Base Metal		(26	)	1/2019	USD		(1,659,107	)		178,739
LME Nickel Base Metal		(26	)	1/2019	USD		(1,659,249	)		159,872
LME Zinc Base Metal		(1	)	1/2019	USD		(62,000	)		3,872
LME Zinc Base Metal		(1	)	1/2019	USD		(62,162	)		3,998
LME Zinc Base Metal		(1	)	1/2019	USD		(62,462	)		4,660
LME Zinc Base Metal		(1	)	1/2019	USD		(61,937	)		5,012
LME Zinc Base Metal		(1	)	1/2019	USD		(62,062	)		2,060
LME Zinc Base Metal		(1	)	1/2019	USD		(61,887	)		4,235
LME Zinc Base Metal		(1	)	1/2019	USD		(61,912	)		4,835

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

AQR Funds Annual Report December 2018

17

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Zinc Base Metal		(1	)	1/2019	USD		$ (62,862	)		$ 3,635
LME Zinc Base Metal		(1	)	1/2019	USD		(62,562	)		4,797
LME Zinc Base Metal		(2	)	1/2019	USD		(123,775	)		11,069
LME Zinc Base Metal		(2	)	1/2019	USD		(125,925	)		6,119
LME Zinc Base Metal		(3	)	1/2019	USD		(187,087	)		10,504
LME Zinc Base Metal		(8	)	1/2019	USD		(495,100	)		24,276
LME Zinc Base Metal		(16	)	1/2019	USD		(990,200	)		64,953
LME Zinc Base Metal		(17	)	1/2019	USD		(1,052,087	)		62,312
LME Zinc Base Metal		(27	)	1/2019	USD		(1,670,962	)		37,949
MSCI Singapore Index		(512	)	1/2019	SGD		(12,836,157	)		(52,233	)
MSCI Taiwan Index		(2,069	)	1/2019	USD		(74,359,860	)		(1,558,723	)
NY Harbor ULSD		(445	)	1/2019	USD		(31,387,986	)		2,638,470
OMXS30 Index		(957	)	1/2019	SEK		(15,205,944	)		393,445
RBOB Gasoline		(660	)	1/2019	USD		(36,094,212	)		4,055,757
SGX FTSE China A50 Index		(3,895	)	1/2019	USD		(40,556,688	)		54,566
WTI Crude Oil		(1,345	)	1/2019	USD		(61,076,450	)		8,611,689
Lean Hogs		(344	)	2/2019	USD		(8,390,160	)		241,426
Live Cattle		(338	)	2/2019	USD		(16,747,900	)		(457,164	)
LME Aluminum Base Metal		(6	)	2/2019	USD		(275,504	)		17,879
LME Aluminum Base Metal		(11	)	2/2019	USD		(504,969	)		31,249
LME Aluminum Base Metal		(11	)	2/2019	USD		(505,568	)		26,577
LME Aluminum Base Metal		(35	)	2/2019	USD		(1,604,015	)		101,157
LME Aluminum Base Metal		(47	)	2/2019	USD		(2,152,154	)		170,207
LME Aluminum Base Metal		(49	)	2/2019	USD		(2,246,577	)		130,649
LME Aluminum Base Metal		(49	)	2/2019	USD		(2,252,604	)		121,302
LME Aluminum Base Metal		(50	)	2/2019	USD		(2,291,938	)		133,897
LME Aluminum Base Metal		(65	)	2/2019	USD		(2,983,906	)		167,249
LME Aluminum Base Metal		(113	)	2/2019	USD		(5,181,954	)		297,095
LME Aluminum Base Metal		(126	)	2/2019	USD		(5,793,795	)		291,654
LME Aluminum Base Metal		(148	)	2/2019	USD		(6,792,682	)		383,262
LME Aluminum Base Metal		(213	)	2/2019	USD		(9,738,999	)		810,430
LME Aluminum Base Metal		(231	)	2/2019	USD		(10,570,907	)		849,638
LME Aluminum Base Metal		(231	)	2/2019	USD		(10,575,411	)		785,471
LME Aluminum Base Metal		(232	)	2/2019	USD		(10,618,930	)		803,064
LME Copper Base Metal		(1	)	2/2019	USD		(149,128	)		3,813
LME Copper Base Metal		(5	)	2/2019	USD		(745,745	)		20,303
LME Copper Base Metal		(6	)	2/2019	USD		(894,852	)		34,123
LME Copper Base Metal		(16	)	2/2019	USD		(2,385,916	)		37,037
LME Copper Base Metal		(16	)	2/2019	USD		(2,386,172	)		44,257
LME Copper Base Metal		(34	)	2/2019	USD		(5,070,888	)		163,572
LME Copper Base Metal		(38	)	2/2019	USD		(5,667,938	)		216,163
LME Copper Base Metal		(39	)	2/2019	USD		(5,814,413	)		127,951
LME Copper Base Metal		(40	)	2/2019	USD		(5,961,250	)		285,126
LME Copper Base Metal		(58	)	2/2019	USD		(8,646,611	)		362,793
LME Copper Base Metal		(74	)	2/2019	USD		(11,034,399	)		497,358
LME Copper Base Metal		(74	)	2/2019	USD		(11,033,863	)		490,494
LME Copper Base Metal		(76	)	2/2019	USD		(11,338,725	)		479,051
LME Copper Base Metal		(76	)	2/2019	USD		(11,340,625	)		520,851
LME Copper Base Metal		(82	)	2/2019	USD		(12,223,863	)		485,895
LME Copper Base Metal		(127	)	2/2019	USD		(18,931,065	)		861,511
LME Nickel Base Metal		(10	)	2/2019	USD		(639,330	)		25,377
LME Nickel Base Metal		(11	)	2/2019	USD		(703,329	)		22,443
LME Nickel Base Metal		(14	)	2/2019	USD		(894,440	)		65,556
LME Nickel Base Metal		(14	)	2/2019	USD		(895,482	)		14,680
LME Nickel Base Metal		(14	)	2/2019	USD		(894,517	)		54,277

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

AQR Funds Annual Report December 2018

18

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Nickel Base Metal		(16	)	2/2019	USD		$ (1,022,130	)		$ 70,390
LME Nickel Base Metal		(24	)	2/2019	USD		(1,535,256	)		15,553
LME Nickel Base Metal		(26	)	2/2019	USD		(1,662,102	)		88,214
LME Nickel Base Metal		(32	)	2/2019	USD		(2,044,787	)		147,175
LME Nickel Base Metal		(43	)	2/2019	USD		(2,746,031	)		259,711
LME Nickel Base Metal		(51	)	2/2019	USD		(3,254,962	)		372,638
LME Nickel Base Metal		(58	)	2/2019	USD		(3,707,449	)		207,284
LME Nickel Base Metal		(61	)	2/2019	USD		(3,895,195	)		389,747
LME Nickel Base Metal		(61	)	2/2019	USD		(3,894,862	)		443,003
LME Nickel Base Metal		(61	)	2/2019	USD		(3,894,529	)		411,821
LME Nickel Base Metal		(113	)	2/2019	USD		(7,229,175	)		185,775
LME Zinc Base Metal		(2	)	2/2019	USD		(123,575	)		(1,922	)
LME Zinc Base Metal		(2	)	2/2019	USD		(123,775	)		2,469
LME Zinc Base Metal		(3	)	2/2019	USD		(185,662	)		720
LME Zinc Base Metal		(9	)	2/2019	USD		(556,987	)		2,568
LME Zinc Base Metal		(15	)	2/2019	USD		(927,000	)		3,306
LME Zinc Base Metal		(16	)	2/2019	USD		(988,612	)		794
LME Zinc Base Metal		(47	)	2/2019	USD		(2,908,712	)		117,124
LME Zinc Base Metal		(48	)	2/2019	USD		(2,970,600	)		11,526
LME Zinc Base Metal		(76	)	2/2019	USD		(4,698,700	)		207,864
LME Zinc Base Metal		(97	)	2/2019	USD		(6,000,056	)		207,294
LME Zinc Base Metal		(98	)	2/2019	USD		(6,064,975	)		277,418
LME Zinc Base Metal		(101	)	2/2019	USD		(6,250,637	)		198,267
LME Zinc Base Metal		(105	)	2/2019	USD		(6,498,187	)		400,003
LME Zinc Base Metal		(113	)	2/2019	USD		(6,993,287	)		(19,483	)
LME Zinc Base Metal		(131	)	2/2019	USD		(8,107,262	)		145,653
LME Zinc Base Metal		(131	)	2/2019	USD		(8,107,262	)		129,304
Low Sulphur Gasoil		(3,498	)	2/2019	USD		(178,835,250	)		12,289,362
Sugar No. 11		(2,358	)	2/2019	USD		(31,770,749	)		1,733,199
Cocoa		(2	)	3/2019	GBP		(45,019	)		(4,244	)
Coffee ‘C’		(521	)	3/2019	USD		(19,898,944	)		1,819,990
Copper		(375	)	3/2019	USD		(24,665,625	)		636,961
Corn		(178	)	3/2019	USD		(3,337,500	)		1,925
Cotton No. 2		(436	)	3/2019	USD		(15,739,600	)		1,124,722
DAX Index		(1,064	)	3/2019	EUR		(321,882,303	)		6,771,673
DJIA CBOT E-Mini Index		(492	)	3/2019	USD		(57,239,280	)		3,014,350
EURO STOXX 50 Index		(7,830	)	3/2019	EUR		(266,804,154	)		6,131,956
FTSE 100 Index		(2,853	)	3/2019	GBP		(242,150,121	)		299,762
FTSE/JSE Top 40 Index		(261	)	3/2019	ZAR		(8,536,673	)		(257,210	)
FTSE/MIB Index		(369	)	3/2019	EUR		(38,485,822	)		1,056,460
KC HRW Wheat		(719	)	3/2019	USD		(17,570,562	)		573,047
KOSPI 200 Index		(3,593	)	3/2019	KRW		(210,917,279	)		179,021
LME Aluminum Base Metal		(1	)	3/2019	USD		(46,135	)		2,012
LME Aluminum Base Metal		(2	)	3/2019	USD		(92,300	)		3,194
LME Aluminum Base Metal		(2	)	3/2019	USD		(92,248	)		4,378
LME Aluminum Base Metal		(3	)	3/2019	USD		(138,450	)		3,835
LME Aluminum Base Metal		(3	)	3/2019	USD		(138,450	)		(489	)
LME Aluminum Base Metal		(4	)	3/2019	USD		(184,756	)		7,434
LME Aluminum Base Metal		(5	)	3/2019	USD		(230,750	)		853
LME Aluminum Base Metal		(8	)	3/2019	USD		(369,426	)		16,835
LME Aluminum Base Metal		(12	)	3/2019	USD		(553,356	)		27,859
LME Aluminum Base Metal		(99	)	3/2019	USD		(4,556,574	)		349,034
LME Aluminum Base Metal		(172	)	3/2019	USD		(7,920,213	)		421,342
LME Aluminum Base Metal		(172	)	3/2019	USD		(7,922,062	)		493,456
LME Aluminum Base Metal		(172	)	3/2019	USD		(7,918,321	)		562,922

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

AQR Funds Annual Report December 2018

19

Consolidated Schedule of Investments December 31, 2018

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		(184	)	3/2019	USD		$ (8,482,768	)		$ 502,307
LME Aluminum Base Metal		(1,754	)	3/2019	USD		(81,034,800	)		4,786,856
LME Copper Base Metal		(2	)	3/2019	USD		(298,546	)		8,548
LME Copper Base Metal		(5	)	3/2019	USD		(746,414	)		28,009
LME Copper Base Metal		(9	)	3/2019	USD		(1,343,018	)		43,297
LME Copper Base Metal		(9	)	3/2019	USD		(1,342,931	)		28,868
LME Copper Base Metal		(10	)	3/2019	USD		(1,492,633	)		38,275
LME Copper Base Metal		(10	)	3/2019	USD		(1,491,250	)		6,866
LME Copper Base Metal		(11	)	3/2019	USD		(1,642,163	)		9,986
LME Copper Base Metal		(11	)	3/2019	USD		(1,640,502	)		18,023
LME Copper Base Metal		(14	)	3/2019	USD		(2,088,713	)		13,903
LME Copper Base Metal		(14	)	3/2019	USD		(2,088,391	)		(1,774	)
LME Copper Base Metal		(60	)	3/2019	USD		(8,951,715	)		483,363
LME Copper Base Metal		(230	)	3/2019	USD		(34,326,063	)		1,022,550
LME Nickel Base Metal		(1	)	3/2019	USD		(64,095	)		1,272
LME Nickel Base Metal		(1	)	3/2019	USD		(64,089	)		1,158
LME Nickel Base Metal		(1	)	3/2019	USD		(64,117	)		1,580
LME Nickel Base Metal		(2	)	3/2019	USD		(128,168	)		3,527
LME Nickel Base Metal		(6	)	3/2019	USD		(384,806	)		(82	)
LME Nickel Base Metal		(12	)	3/2019	USD		(769,680	)		1,465
LME Nickel Base Metal		(74	)	3/2019	USD		(4,737,542	)		132,920
LME Nickel Base Metal		(75	)	3/2019	USD		(4,800,087	)		298,453
LME Nickel Base Metal		(75	)	3/2019	USD		(4,801,072	)		130,744
LME Nickel Base Metal		(75	)	3/2019	USD		(4,800,577	)		212,201
LME Nickel Base Metal		(76	)	3/2019	USD		(4,867,572	)		84,004
LME Nickel Base Metal		(582	)	3/2019	USD		(37,299,798	)		1,208,677
LME Zinc Base Metal		(1	)	3/2019	USD		(61,797	)		1,550
LME Zinc Base Metal		(1	)	3/2019	USD		(61,796	)		2,689
LME Zinc Base Metal		(2	)	3/2019	USD		(123,600	)		3,369
LME Zinc Base Metal		(10	)	3/2019	USD		(617,000	)		12,456
LME Zinc Base Metal		(11	)	3/2019	USD		(679,594	)		18,054
LME Zinc Base Metal		(16	)	3/2019	USD		(987,068	)		5,256
LME Zinc Base Metal		(17	)	3/2019	USD		(1,048,547	)		5,011
LME Zinc Base Metal		(22	)	3/2019	USD		(1,356,850	)		(7,996	)
LME Zinc Base Metal		(63	)	3/2019	USD		(3,892,817	)		199,797
LME Zinc Base Metal		(72	)	3/2019	USD		(4,449,276	)		210,712
LME Zinc Base Metal		(72	)	3/2019	USD		(4,448,988	)		241,600
LME Zinc Base Metal		(72	)	3/2019	USD		(4,449,078	)		282,010
LME Zinc Base Metal		(73	)	3/2019	USD		(4,510,816	)		189,256
LME Zinc Base Metal		(462	)	3/2019	USD		(28,534,275	)		455,450
MSCI EAFE E-Mini Index		(63	)	3/2019	USD		(5,405,400	)		120,823
MSCI Emerging Markets E-Mini Index		(307	)	3/2019	USD		(14,840,380	)		125,210
NASDAQ 100 E-Mini Index		(501	)	3/2019	USD		(63,459,165	)		4,159,681
Nikkei 225 Index		(591	)	3/2019	JPY		(107,841,796	)		5,997,545
Russell 2000 E-Mini Index		(2,476	)	3/2019	USD		(167,006,200	)		9,060,404
S&P 500 E-Mini Index		(454	)	3/2019	USD		(56,868,040	)		2,618,800
S&P Midcap 400 E-Mini Index		(224	)	3/2019	USD		(37,233,280	)		1,672,760
S&P/TSX 60 Index		(645	)	3/2019	CAD		(81,007,691	)		1,910,655
Silver		(129	)	3/2019	USD		(10,023,300	)		(627,325	)
Soybean		(266	)	3/2019	USD		(11,903,500	)		12,034
Soybean Meal		(87	)	3/2019	USD		(2,696,130	)		23,523
Soybean Oil		(131	)	3/2019	USD		(2,189,010	)		(524	)
SPI 200 Index		(554	)	3/2019	AUD		(54,248,929	)		(339,471	)
TOPIX Index		(986	)	3/2019	JPY		(134,354,363	)		9,003,193
U.S. Treasury Long Bond		(685	)	3/2019	USD		(100,010,000	)		(4,364,343	)

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

AQR Funds Annual Report December 2018

20

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
U.S. Treasury Ultra Bond		(946	)	3/2019	USD		$ (151,980,813	)		$ (8,031,211	)
Wheat		(93	)	3/2019	USD		(2,340,113	)		27,541
Platinum		(309	)	4/2019	USD		(12,369,270	)		(55,210	)
3 Month Eurodollar		(785	)	6/2019	USD		(190,980,687	)		(443,041	)
3 Month Eurodollar		(40	)	12/2019	USD		(9,735,000	)		(60,302	)
3 Month Eurodollar		(36	)	3/2020	USD		(8,770,050	)		(66,161	)
3 Month Eurodollar		(57	)	6/2020	USD		(13,894,462	)		(114,917	)
										109,000,664
										$101,580,741

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	9,283,200	USD	2,373,013	CITI**		3/20/2019		$8,627
BRL	13,924,800	USD	3,559,524	JPMC**		3/20/2019		12,936
CHF	139,133,200	USD	141,221,793	CITI		3/20/2019		1,355,322
CHF	208,699,800	USD	211,832,950	JPMC		3/20/2019		2,032,718
COP	7,812,294,800	USD	2,385,492	CITI**		3/20/2019		11,367
COP	11,718,442,200	USD	3,578,242	JPMC**		3/20/2019		17,047
EUR	273,866,400	USD	314,743,305	CITI		3/20/2019		1,064,531
EUR	410,799,600	USD	472,115,257	JPMC		3/20/2019		1,596,498
GBP	8,894,400	USD	11,318,682	CITI		3/20/2019		60,331
GBP	13,341,600	USD	16,978,043	JPMC		3/20/2019		90,475
HUF	16,797,654,000	USD	59,500,949	CITI		3/20/2019		766,849
HUF	25,196,481,000	USD	89,251,859	JPMC		3/20/2019		1,149,840
IDR	416,145,594,400	USD	28,273,187	CITI**		3/20/2019		330,167
IDR	624,218,391,600	USD	42,409,484	JPMC**		3/20/2019		495,541
ILS	12,654,000	USD	3,392,637	CITI		3/20/2019		11,810
ILS	18,981,000	USD	5,088,963	JPMC		3/20/2019		17,709
INR	6,052,431,200	USD	84,620,625	CITI**		3/20/2019		1,681,844
INR	9,078,646,800	USD	126,932,501	JPMC**		3/20/2019		2,521,206
JPY	74,701,715,600	USD	669,358,122	CITI		3/20/2019		16,417,671
JPY	112,052,573,400	USD	1,004,038,438	JPMC		3/20/2019		24,625,252
MXN	779,208,800	USD	38,356,691	CITI		3/20/2019		824,497
MXN	1,168,813,200	USD	57,534,956	JPMC		3/20/2019		1,236,827
PHP	1,139,899,523	USD	21,567,678	CITI**		3/20/2019		60,549
PHP	1,709,849,285	USD	32,351,557	JPMC**		3/20/2019		90,784
PLN	507,040,805	USD	134,605,134	CITI		3/20/2019		1,124,976
PLN	760,561,211	USD	201,906,925	JPMC		3/20/2019		1,688,242
SEK	1,271,081,600	USD	142,220,024	CITI		3/20/2019		2,079,519
SEK	1,906,622,400	USD	213,330,301	JPMC		3/20/2019		3,119,012
SGD	79,370,400	USD	58,039,241	CITI		3/20/2019		296,976
SGD	119,055,600	USD	87,058,972	JPMC		3/20/2019		445,355
TWD	730,658,800	USD	23,930,657	CITI**		3/20/2019		126,198
TWD	1,095,988,200	USD	35,896,031	JPMC**		3/20/2019		189,251
USD	601,642,596	AUD	831,837,964	CITI		3/20/2019		14,971,989
USD	902,462,768	AUD	1,247,756,948	JPMC		3/20/2019		22,456,856
USD	12,804,940	BRL	49,479,598	CITI**		3/20/2019		110,766

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

AQR Funds Annual Report December 2018

21

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	19,207,387	BRL	74,219,398	JPMC**		3/20/2019		$ 166,123
USD	354,644,882	CAD	473,376,000	CITI		3/20/2019		7,281,673
USD	531,966,658	CAD	710,064,000	JPMC		3/20/2019		10,921,844
USD	32,841,128	CLP	22,064,426,664	CITI**		3/20/2019		1,021,466
USD	49,261,630	CLP	33,096,639,992	JPMC**		3/20/2019		1,532,138
USD	18,441,002	COP	59,885,391,049	CITI**		3/20/2019		67,805
USD	27,661,469	COP	89,828,086,575	JPMC**		3/20/2019		101,673
USD	111,235,667	EUR	96,345,864	CITI		3/20/2019		134,857
USD	166,853,293	EUR	144,518,797	JPMC		3/20/2019		202,077
USD	339,622,670	GBP	263,862,800	CITI		3/20/2019		2,050,950
USD	509,433,368	GBP	395,794,200	JPMC		3/20/2019		3,075,788
USD	2,705,143	HKD	21,105,100	CITI		3/20/2019		3,766
USD	4,057,710	HKD	31,657,650	JPMC		3/20/2019		5,644
USD	4,263,366	IDR	61,705,925,828	CITI**		3/20/2019		22,071
USD	6,395,041	IDR	92,558,888,744	JPMC**		3/20/2019		33,099
USD	41,793,609	ILS	154,302,800	CITI		3/20/2019		279,800
USD	62,690,335	ILS	231,454,200	JPMC		3/20/2019		419,622
USD	10,552,632	KRW	11,695,123,274	CITI**		3/20/2019		22,939
USD	15,828,928	KRW	17,542,684,911	JPMC**		3/20/2019		34,389
USD	53,624,691	NOK	456,582,000	CITI		3/20/2019		639,991
USD	80,436,935	NOK	684,872,996	JPMC		3/20/2019		959,887
USD	89,294,154	NZD	131,594,000	CITI		3/20/2019		849,617
USD	133,941,188	NZD	197,391,000	JPMC		3/20/2019		1,274,384
USD	1,123,995	PHP	59,184,800	CITI**		3/20/2019		1,034
USD	1,685,991	PHP	88,777,200	JPMC**		3/20/2019		1,550
USD	558,974	PLN	2,084,800	CITI		3/20/2019		892
USD	838,460	PLN	3,127,200	JPMC		3/20/2019		1,337
USD	24,404,772	ZAR	349,501,200	CITI		3/20/2019		334,666
USD	36,607,766	ZAR	524,251,800	JPMC		3/20/2019		502,607
Total unrealized appreciation								135,033,227
AUD	220,429,600	USD	160,628,053	CITI		3/20/2019		(5,165,603	)
AUD	330,644,400	USD	240,942,378	JPMC		3/20/2019		(7,748,706	)
BRL	11,174,800	USD	2,910,567	CITI**		3/20/2019		(43,632	)
BRL	16,762,200	USD	4,365,857	JPMC**		3/20/2019		(65,453	)
CAD	299,967,979	USD	226,623,019	CITI		3/20/2019		(6,506,578	)
CAD	449,951,980	USD	339,934,959	JPMC		3/20/2019		(9,760,291	)
CLP	18,880,570,400	USD	28,152,882	CITI**		3/20/2019		(924,739	)
CLP	28,320,855,600	USD	42,229,377	JPMC**		3/20/2019		(1,387,162	)
COP	39,519,551,600	USD	12,339,951	CITI**		3/20/2019		(215,115	)
COP	59,279,327,400	USD	18,509,948	JPMC**		3/20/2019		(322,696	)
EUR	223,036,800	USD	257,511,418	CITI		3/20/2019		(317,510	)
EUR	334,555,200	USD	386,267,608	JPMC		3/20/2019		(476,749	)
GBP	205,521,193	USD	264,132,485	CITI		3/20/2019		(1,199,844	)
GBP	308,281,791	USD	396,199,222	JPMC		3/20/2019		(1,800,262	)
HUF	987,639,600	USD	3,544,887	CITI		3/20/2019		(1,364	)
HUF	1,481,459,400	USD	5,317,337	JPMC		3/20/2019		(2,054	)
IDR	188,580,047,200	USD	13,026,218	CITI**		3/20/2019		(64,357	)
IDR	282,870,070,800	USD	19,539,351	JPMC**		3/20/2019		(96,558	)
ILS	62,014,000	USD	16,804,385	CITI		3/20/2019		(120,064	)
ILS	93,021,000	USD	25,206,608	JPMC		3/20/2019		(180,128	)
KRW	10,284,613,600	USD	9,279,138	CITI**		3/20/2019		(19,396	)
KRW	15,426,920,400	USD	13,918,724	JPMC**		3/20/2019		(29,112	)
MXN	159,084,800	USD	8,001,540	CITI		3/20/2019		(2,232	)
MXN	238,627,200	USD	12,002,326	JPMC		3/20/2019		(3,363	)
NOK	413,717,600	USD	48,747,401	CITI		3/20/2019		(736,962	)
NOK	620,576,400	USD	73,121,195	JPMC		3/20/2019		(1,105,534	)

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

AQR Funds Annual Report December 2018

22

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
NZD	1,115,689,175	USD	765,466,285	CITI		3/20/2019		$ (15,609,816	)
NZD	1,673,533,763	USD	1,148,200,862	JPMC		3/20/2019		(23,416,160	)
TWD	57,372,400	USD	1,889,121	CITI**		3/20/2019		(142	)
TWD	86,058,600	USD	2,833,686	JPMC**		3/20/2019		(216	)
USD	6,993,114	BRL	27,467,198	CITI**		3/20/2019		(53,699	)
USD	10,489,658	BRL	41,200,798	JPMC**		3/20/2019		(80,560	)
USD	79,628,530	CHF	78,335,600	CITI		3/20/2019		(646,082	)
USD	119,442,646	CHF	117,503,400	JPMC		3/20/2019		(969,272	)
USD	1,368,077	CLP	950,434,000	CITI**		3/20/2019		(2,568	)
USD	2,052,113	CLP	1,425,651,000	JPMC**		3/20/2019		(3,854	)
USD	1,099,053	COP	3,619,314,800	CITI**		3/20/2019		(11,375	)
USD	1,648,577	COP	5,428,972,200	JPMC**		3/20/2019		(17,064	)
USD	1,743,808,472	EUR	1,520,960,900	CITI		3/20/2019		(10,080,912	)
USD	2,615,709,445	EUR	2,281,441,355	JPMC		3/20/2019		(15,124,637	)
USD	36,414,708	GBP	28,547,600	CITI		3/20/2019		(107,539	)
USD	54,621,994	GBP	42,821,400	JPMC		3/20/2019		(161,377	)
USD	345,723	HKD	2,701,700	CITI		3/20/2019		(85	)
USD	518,584	HKD	4,052,550	JPMC		3/20/2019		(127	)
USD	66,561,260	HUF	18,732,883,887	CITI		3/20/2019		(649,892	)
USD	99,841,765	HUF	28,099,325,831	JPMC		3/20/2019		(974,963	)
USD	12,920,338	IDR	189,800,583,085	CITI**		3/20/2019		(125,415	)
USD	19,380,483	IDR	284,700,874,631	JPMC**		3/20/2019		(188,147	)
USD	57,994,712	INR	4,161,828,680	CITI**		3/20/2019		(1,349,390	)
USD	86,991,960	INR	6,242,743,024	JPMC**		3/20/2019		(2,024,193	)
USD	983,476,977	JPY	110,207,342,176	CITI		3/20/2019		(28,247,144	)
USD	1,475,213,621	JPY	165,311,013,264	JPMC		3/20/2019		(42,372,559	)
USD	73,695,600	KRW	82,653,059,590	CITI**		3/20/2019		(721,000	)
USD	110,545,781	KRW	123,979,589,385	JPMC**		3/20/2019		(1,079,119	)
USD	65,629,823	MXN	1,361,653,897	CITI		3/20/2019		(2,838,625	)
USD	98,444,612	MXN	2,042,480,855	JPMC		3/20/2019		(4,258,061	)
USD	7,333,662	NOK	63,517,200	CITI		3/20/2019		(37,281	)
USD	10,995,032	NOK	95,275,800	JPMC		3/20/2019		(61,383	)
USD	45,934,508	NZD	68,372,400	CITI		3/20/2019		(18,691	)
USD	68,901,676	NZD	102,558,600	JPMC		3/20/2019		(28,123	)
USD	17,560,408	PHP	932,762,400	CITI**		3/20/2019		(137,640	)
USD	26,340,579	PHP	1,399,143,600	JPMC**		3/20/2019		(206,494	)
USD	21,103,050	PLN	79,609,600	CITI		3/20/2019		(207,699	)
USD	31,652,919	PLN	119,414,400	JPMC		3/20/2019		(313,206	)
USD	180,720,198	SEK	1,619,319,905	CITI		3/20/2019		(3,113,099	)
USD	271,079,957	SEK	2,428,979,846	JPMC		3/20/2019		(4,669,987	)
USD	34,616,890	SGD	47,341,200	CITI		3/20/2019		(178,280	)
USD	51,925,334	SGD	71,011,800	JPMC		3/20/2019		(267,421	)
USD	57,931,578	TWD	1,769,708,819	CITI**		3/20/2019		(335,876	)
USD	86,897,359	TWD	2,654,563,230	JPMC**		3/20/2019		(503,822	)
USD	19,246,755	ZAR	281,242,000	CITI		3/20/2019		(122,348	)
USD	28,870,096	ZAR	421,863,000	JPMC		3/20/2019		(183,558	)
ZAR	1,655,722,840	USD	118,129,152	CITI		3/20/2019		(4,099,721	)
ZAR	2,483,584,264	USD	177,193,286	JPMC		3/20/2019		(6,149,136	)
Total unrealized depreciation								(210,043,222	)
Net unrealized depreciation							$	(75,009,995	)

** Non-deliverable forward.

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

AQR Funds Annual Report December 2018

23

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—			$67,281,882			$67,281,882
U.S. Treasury Bills		—			23,792,796			23,792,796
CITI
Cash		75,691,250			—			75,691,250
GSCO
Cash		—			(16,452,882	)		(16,452,882	)
U.S. Treasury Bills		—			48,748,975			48,748,975
JPMC
Investment Companies		218,848,899			—			218,848,899
JPMS
Cash		—			(18,912,889	)		(18,912,889	)
U.S. Treasury Bills		—			32,917,353			32,917,353
MLIN
Cash		(640,000	)		—			(640,000	)
MSCL
Cash		—			11,062,409			11,062,409
U.S. Treasury Bills		—			9,764,125			9,764,125
MSCS
U.S. Treasury Bills		42,470,380			—			42,470,380

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

AQR Funds Annual Report December 2018

24

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
CITI
Cash		$8,198,318			$—			$8,198,318
GSCO
Cash		—			(26,165,149	)		(26,165,149	)
U.S. Treasury Bills		—			18,016,160			18,016,160
GSIN
Cash		(1,720,000	)		—			(1,720,000	)
U.S. Treasury Bills		10,355,953			—			10,355,953
JPPC
Cash		—			50,139			50,139
U.S. Treasury Bills		—			4,337,154			4,337,154
MACQ
U.S. Treasury Bills		286,814			—			286,814
MLIN
Cash		6,225,232			—			6,225,232
MSCL
Cash		—			(10,892,780	)		(10,892,780	)
U.S. Treasury Bills		—			32,978,896			32,978,896
SOCG
Cash		3,599,215			—			3,599,215

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

AQR Funds Annual Report December 2018

25

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY HV FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 99.4%
INVESTMENT COMPANIES - 21.5%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.22% (1)(a)(b)		23,548,332	$	23,548,332
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.39% (1)(a)		10,274,429		10,274,429
Limited Purpose Cash Investment Fund, 2.50% (1)(a)		70,725,575		70,725,575
TOTAL INVESTMENT COMPANIES (Cost $104,539,413)				104,548,336
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 77.9%
U.S. Treasury Bills
2.12%, 1/10/2019 (c)	$	34,119,000		34,101,912
2.16%, 1/24/2019 (c)		78,478,000		78,368,534
2.18%, 1/31/2019 (c)		18,209,000		18,175,409
2.20%, 2/7/2019 (c)		123,470,000		123,178,148
2.36%, 2/14/2019 (c)		15,180,000		15,136,575
2.21%, 2/21/2019 (c)		8,396,000		8,368,451
2.24%, 2/28/2019 (c)		26,036,000		25,937,836
2.35%, 3/28/2019 (c)		3,692,000		3,671,329
2.41%, 4/11/2019 (c)(d)		28,034,000		27,848,783
2.46%, 4/25/2019 (c)(d)		9,931,000		9,855,992
2.46%, 5/2/2019 (c)(d)		3,594,000		3,565,113

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 77.9% (continued)
2.51%, 6/27/2019 (c)	$	6,496,000	$	6,418,550
2.54%, 7/5/2019 (c)		23,584,000		23,283,687
TOTAL U.S. TREASURY OBLIGATIONS(Cost $377,931,054)				377,910,319
TOTAL SHORT-TERM INVESTMENTS(Cost $482,470,467)				482,458,655
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.4% (Cost $482,470,467)				482,458,655
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% (e)				2,744,852
NET ASSETS - 100.0%			$	485,203,507

(a) Represents 7-day effective yield as of December 31, 2018.

(b) All or a portion of the security pledged as collateral for forward foreign currency exchange 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 swap and 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, unless otherwise noted in parentheses.

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

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

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Coffee ‘C’ March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/08/2019

USD

(458,325

)

$73,622

Coffee ‘C’ March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/08/2019

USD

(2,749,950

)

454,128

Cotton No. 2 March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/08/2019

USD

(469,300

)

41,090

KOSPI 200 Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

03/14/2019

KRW

(27,182,500,000

)

28,406

Soybean March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(2,953,500

)

106,451

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

AQR Funds Annual Report December 2018

26

Consolidated Schedule of Investments December 31, 2018

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 March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(4,654,000

)

$ 166,604

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(5,299,290

)

89,560

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

02/22/2019

USD

(2,293,260

)

29,539

Soybean Meal March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(3,749,790

)

60,801

Soybean Oil March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(5,163,390

)

224,206

Swiss Market Index March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

Monthly

MLIN

03/15/2019

CHF

(1,495,800

)

19,052

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

02/22/2019

USD

(1,962,675

)

37,599

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/22/2019

USD

(1,232,963

)

42,630

Wheat March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(729,713

)

17,801

1,391,489

Coffee ‘C’ March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/08/2019

USD

305,550

(51,358

)

Corn March Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

02/22/2019

USD

(600,000

)

(8,274

)

Cotton No. 2 March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/08/2019

USD

505,400

(57,050

)

HSCEI January Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

01/30/2019

HKD

(23,234,600

)

(6,062

)

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

AQR Funds Annual Report December 2018

27

Consolidated Schedule of Investments December 31, 2018

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)

iBovespa Index February Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

02/13/2019

BRL

15,933,600

$ (89,435

)

Live Cattle February Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

02/01/2019

USD

(2,229,750

)

(73,813

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

2,013,750

(75,709

)

Soybean March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

02/22/2019

USD

2,192,750

(73,305

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

309,900

(2,457

)

Soybean Meal March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

3,749,790

(64,544

)

Soybean Oil March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

2,857,410

(114,500

)

TAIEX Index January Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

01/16/2019

TWD

1,933,800

(392

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

02/22/2019

USD

729,713

(31,035

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

02/22/2019

USD

1,031,663

(46,934

)

Wheat March Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

02/22/2019

USD

1,006,500

(61,144

)

(756,012

)

$635,477

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

AQR Funds Annual Report December 2018

28

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY HV FUND

Futures contracts outstanding as of December 31, 2018:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
LME Aluminum Base Metal		7	1/2019	USD		$319,588		$(28,157	)
LME Aluminum Base Metal		8	1/2019	USD		365,552		(34,872	)
LME Aluminum Base Metal		9	1/2019	USD		411,334		(35,093	)
LME Aluminum Base Metal		11	1/2019	USD		502,848		(37,834	)
LME Copper Base Metal		1	1/2019	USD		148,938		(6,984	)
LME Copper Base Metal		1	1/2019	USD		148,991		(8,434	)
LME Copper Base Metal		1	1/2019	USD		148,902		(8,579	)
LME Copper Base Metal		1	1/2019	USD		149,023		(1,783	)
LME Copper Base Metal		6	1/2019	USD		894,044		(35,790	)
LME Copper Base Metal		6	1/2019	USD		894,092		(17,798	)
LME Copper Base Metal		7	1/2019	USD		1,042,825		(31,388	)
LME Nickel Base Metal		2	1/2019	USD		127,613		(13,633	)
LME Nickel Base Metal		2	1/2019	USD		127,569		(15,537	)
LME Nickel Base Metal		3	1/2019	USD		191,452		(19,067	)
LME Nickel Base Metal		3	1/2019	USD		191,435		(20,064	)
LME Zinc Base Metal		1	1/2019	USD		61,887		(5,268	)
LME Zinc Base Metal		1	1/2019	USD		61,887		(2,593	)
LME Zinc Base Metal		1	1/2019	USD		61,937		(4,582	)
LME Zinc Base Metal		2	1/2019	USD		123,775		(7,936	)
LME Zinc Base Metal		2	1/2019	USD		123,775		(8,136	)
LME Zinc Base Metal		3	1/2019	USD		185,662		(5,971	)
Natural Gas		151	1/2019	USD		4,439,400		(1,736,467	)
100 oz Gold		76	2/2019	USD		9,737,880		128,624
LME Aluminum Base Metal		1	2/2019	USD		45,961		(2,392	)
LME Aluminum Base Metal		1	2/2019	USD		45,906		(2,908	)
LME Aluminum Base Metal		4	2/2019	USD		183,316		(11,946	)
LME Aluminum Base Metal		5	2/2019	USD		229,858		(12,100	)
LME Aluminum Base Metal		5	2/2019	USD		229,242		(13,397	)
LME Aluminum Base Metal		5	2/2019	USD		228,952		(18,087	)
LME Aluminum Base Metal		5	2/2019	USD		229,194		(14,634	)
LME Aluminum Base Metal		8	2/2019	USD		367,250		(20,374	)
LME Aluminum Base Metal		13	2/2019	USD		597,773		(31,290	)
LME Aluminum Base Metal		13	2/2019	USD		596,154		(36,628	)
LME Aluminum Base Metal		16	2/2019	USD		734,344		(43,003	)
LME Aluminum Base Metal		22	2/2019	USD		1,005,906		(85,084	)
LME Aluminum Base Metal		24	2/2019	USD		1,098,744		(83,477	)
LME Aluminum Base Metal		24	2/2019	USD		1,098,276		(91,895	)
LME Aluminum Base Metal		25	2/2019	USD		1,144,281		(90,468	)
LME Copper Base Metal		1	2/2019	USD		149,149		(4,194	)
LME Copper Base Metal		2	2/2019	USD		298,272		(5,934	)
LME Copper Base Metal		2	2/2019	USD		298,240		(5,416	)
LME Copper Base Metal		3	2/2019	USD		447,431		(16,633	)
LME Copper Base Metal		4	2/2019	USD		596,625		(23,967	)
LME Copper Base Metal		4	2/2019	USD		596,125		(30,931	)
LME Copper Base Metal		6	2/2019	USD		894,525		(23,289	)
LME Copper Base Metal		6	2/2019	USD		894,477		(32,951	)
LME Copper Base Metal		7	2/2019	USD		1,043,795		(47,589	)
LME Copper Base Metal		7	2/2019	USD		1,043,744		(46,491	)
LME Copper Base Metal		8	2/2019	USD		1,193,550		(54,130	)
LME Copper Base Metal		8	2/2019	USD		1,193,750		(55,061	)
LME Copper Base Metal		9	2/2019	USD		1,341,644		(50,288	)

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

AQR Funds Annual Report December 2018

29

Consolidated Schedule of Investments December 31, 2018

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		14	2/2019	USD		$ 2,086,889		$ (89,429	)
LME Nickel Base Metal		1	2/2019	USD		63,939		(2,307	)
LME Nickel Base Metal		1	2/2019	USD		63,933		(2,853	)
LME Nickel Base Metal		2	2/2019	USD		127,788		(7,278	)
LME Nickel Base Metal		2	2/2019	USD		127,766		(8,200	)
LME Nickel Base Metal		2	2/2019	USD		127,926		(1,920	)
LME Nickel Base Metal		2	2/2019	USD		127,777		(9,929	)
LME Nickel Base Metal		3	2/2019	USD		191,781		(10,008	)
LME Nickel Base Metal		3	2/2019	USD		191,907		(2,393	)
LME Nickel Base Metal		4	2/2019	USD		255,445		(24,020	)
LME Nickel Base Metal		4	2/2019	USD		255,598		(18,511	)
LME Nickel Base Metal		6	2/2019	USD		383,134		(40,964	)
LME Nickel Base Metal		6	2/2019	USD		382,937		(42,844	)
LME Nickel Base Metal		6	2/2019	USD		383,101		(42,923	)
LME Nickel Base Metal		6	2/2019	USD		383,068		(41,839	)
LME Nickel Base Metal		6	2/2019	USD		383,529		(22,208	)
LME Nickel Base Metal		12	2/2019	USD		767,700		(20,466	)
LME Zinc Base Metal		1	2/2019	USD		61,887		(115	)
LME Zinc Base Metal		2	2/2019	USD		123,577		721
LME Zinc Base Metal		2	2/2019	USD		123,600		(1,431	)
LME Zinc Base Metal		5	2/2019	USD		309,437		(13,500	)
LME Zinc Base Metal		6	2/2019	USD		371,325		1,132
LME Zinc Base Metal		8	2/2019	USD		494,600		(20,893	)
LME Zinc Base Metal		10	2/2019	USD		618,875		(25,391	)
LME Zinc Base Metal		10	2/2019	USD		618,562		(22,492	)
LME Zinc Base Metal		11	2/2019	USD		680,762		(37,407	)
LME Zinc Base Metal		11	2/2019	USD		680,762		(22,180	)
LME Zinc Base Metal		12	2/2019	USD		742,650		(4,385	)
LME Zinc Base Metal		14	2/2019	USD		866,425		(19,991	)
LME Zinc Base Metal		14	2/2019	USD		866,425		(19,344	)
Australia 10 Year Bond		333	3/2019	AUD		31,118,718		311,940
Australia 3 Year Bond		1,752	3/2019	AUD		138,472,512		425,893
Canada 10 Year Bond		36	3/2019	CAD		3,606,592		25,444
Cocoa		5	3/2019	USD		120,800		(350	)
Euro-Bobl		886	3/2019	EUR		134,525,622		214,721
Euro-BTP		33	3/2019	EUR		4,832,842		9,685
Euro-Bund		286	3/2019	EUR		53,589,522		290,114
Euro-Buxl		44	3/2019	EUR		9,105,596		24,173
Euro-OAT		588	3/2019	EUR		101,594,109		(115,915	)
Euro-Schatz		1,305	3/2019	EUR		167,373,106		51,942
Japan 10 Year Bond		202	3/2019	JPY		281,017,837		981,117
LME Aluminum Base Metal		1	3/2019	USD		46,178		(2,263	)
LME Aluminum Base Metal		1	3/2019	USD		46,189		(1,998	)
LME Aluminum Base Metal		1	3/2019	USD		46,113		(2,280	)
LME Aluminum Base Metal		11	3/2019	USD		506,286		(38,167	)
LME Aluminum Base Metal		18	3/2019	USD		829,053		(53,957	)
LME Aluminum Base Metal		18	3/2019	USD		828,662		(58,526	)
LME Aluminum Base Metal		19	3/2019	USD		874,907		(47,631	)
LME Aluminum Base Metal		20	3/2019	USD		922,040		(53,881	)
LME Aluminum Base Metal		107	3/2019	USD		4,943,400		(299,599	)
LME Copper Base Metal		1	3/2019	USD		149,288		(965	)
LME Copper Base Metal		1	3/2019	USD		149,283		(5,348	)
LME Copper Base Metal		1	3/2019	USD		149,215		(3,201	)
LME Copper Base Metal		1	3/2019	USD		149,171		(282	)
LME Copper Base Metal		1	3/2019	USD		149,224		(4,756	)

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

AQR Funds Annual Report December 2018

30

Consolidated Schedule of Investments December 31, 2018

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		1	3/2019	USD		$ 149,125		$ (1,015	)
LME Copper Base Metal		2	3/2019	USD		298,388		(1,318	)
LME Copper Base Metal		2	3/2019	USD		298,273		(2,833	)
LME Copper Base Metal		7	3/2019	USD		1,044,367		(55,900	)
LME Copper Base Metal		15	3/2019	USD		2,238,656		(96,370	)
LME Nickel Base Metal		1	3/2019	USD		64,140		(783	)
LME Nickel Base Metal		8	3/2019	USD		512,376		(7,404	)
LME Nickel Base Metal		8	3/2019	USD		512,167		(13,197	)
LME Nickel Base Metal		8	3/2019	USD		512,114		(12,102	)
LME Nickel Base Metal		8	3/2019	USD		512,062		(22,879	)
LME Nickel Base Metal		8	3/2019	USD		512,009		(28,399	)
LME Nickel Base Metal		55	3/2019	USD		3,524,895		(113,777	)
LME Zinc Base Metal		1	3/2019	USD		61,700		(1,753	)
LME Zinc Base Metal		1	3/2019	USD		61,781		(1,697	)
LME Zinc Base Metal		2	3/2019	USD		123,350		444
LME Zinc Base Metal		2	3/2019	USD		123,359		(2,072	)
LME Zinc Base Metal		2	3/2019	USD		123,384		(1,180	)
LME Zinc Base Metal		6	3/2019	USD		370,745		(18,016	)
LME Zinc Base Metal		7	3/2019	USD		432,549		(27,101	)
LME Zinc Base Metal		8	3/2019	USD		494,336		(22,752	)
LME Zinc Base Metal		8	3/2019	USD		494,364		(23,513	)
LME Zinc Base Metal		8	3/2019	USD		494,332		(25,168	)
LME Zinc Base Metal		38	3/2019	USD		2,346,975		(114,846	)
Long Gilt		231	3/2019	GBP		36,265,262		206,213
Palladium		16	3/2019	USD		1,915,520		115,351
U.S. Treasury 10 Year Note		14	3/2019	USD		1,708,219		3,412
U.S. Treasury 2 Year Note		160	3/2019	USD		33,970,000		21,883
U.S. Treasury 5 Year Note		76	3/2019	USD		8,716,250		12,831
3 Month Canadian Bankers Acceptance		23	6/2019	CAD		4,117,703		1,997
3 Month Euro Euribor		246	6/2019	EUR		70,667,969		473
3 Month Euroswiss		7	6/2019	CHF		1,793,265		(160	)
3 Month Sterling		48	6/2019	GBP		7,570,359		(97	)
ASX 90 Day Bank Accepted Bill		28	6/2019	AUD		19,629,353		440
3 Month Canadian Bankers Acceptance		25	9/2019	CAD		4,475,535		4,489
3 Month Euro Euribor		335	9/2019	EUR		96,220,442		25,245
3 Month Eurodollar		4	9/2019	USD		973,400		100
3 Month Euroswiss		14	9/2019	CHF		3,586,174		303
3 Month Sterling		50	9/2019	GBP		7,882,206		321
ASX 90 Day Bank Accepted Bill		53	9/2019	AUD		37,158,297		4,081
3 Month Euro Euribor		617	12/2019	EUR		177,173,765		142,402
3 Month Euroswiss		19	12/2019	CHF		4,864,050		(152	)
3 Month Sterling		46	12/2019	GBP		7,247,598		110
3 Month Euro Euribor		788	3/2020	EUR		226,209,315		288,862
3 Month Sterling		44	3/2020	GBP		6,930,733		1,027
3 Month Euro Euribor		779	6/2020	EUR		223,514,139		337,956
3 Month Sterling		46	6/2020	GBP		7,243,201		1,953
3 Month Euro Euribor		712	9/2020	EUR		204,178,032		305,194
3 Month Eurodollar		2	9/2020	USD		487,725		77
3 Month Sterling		45	9/2020	GBP		7,083,231		1,736
3 Month Euro Euribor		410	12/2020	EUR		117,503,965		139,191
3 Month Eurodollar		13	12/2020	USD		3,169,725		561
3 Month Sterling		43	12/2020	GBP		6,766,365		2,206
								(814,983	)

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

AQR Funds Annual Report December 2018

31

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts
Amsterdam Exchange Index		(45	)	1/2019	EUR		$ (5,029,247	)		$ 76,077
Brent Crude Oil		(152	)	1/2019	USD		(8,177,600	)		751,934
CAC 40 10 Euro Index		(153	)	1/2019	EUR		(8,289,049	)		115,331
Hang Seng Index		(66	)	1/2019	HKD		(10,895,626	)		(54,291	)
HSCEI		(88	)	1/2019	HKD		(5,676,368	)		(9,344	)
IBEX 35 Index		(32	)	1/2019	EUR		(3,122,709	)		65,252
LME Aluminum Base Metal		(7	)	1/2019	USD		(319,588	)		27,653
LME Aluminum Base Metal		(8	)	1/2019	USD		(365,552	)		33,284
LME Aluminum Base Metal		(9	)	1/2019	USD		(411,334	)		33,575
LME Aluminum Base Metal		(11	)	1/2019	USD		(502,848	)		38,731
LME Copper Base Metal		(1	)	1/2019	USD		(148,902	)		7,433
LME Copper Base Metal		(1	)	1/2019	USD		(149,023	)		1,836
LME Copper Base Metal		(1	)	1/2019	USD		(148,938	)		7,406
LME Copper Base Metal		(1	)	1/2019	USD		(148,991	)		7,632
LME Copper Base Metal		(6	)	1/2019	USD		(894,044	)		38,639
LME Copper Base Metal		(6	)	1/2019	USD		(894,092	)		22,916
LME Copper Base Metal		(7	)	1/2019	USD		(1,042,825	)		31,308
LME Nickel Base Metal		(2	)	1/2019	USD		(127,569	)		15,060
LME Nickel Base Metal		(2	)	1/2019	USD		(127,613	)		14,106
LME Nickel Base Metal		(3	)	1/2019	USD		(191,452	)		18,447
LME Nickel Base Metal		(3	)	1/2019	USD		(191,435	)		20,624
LME Zinc Base Metal		(1	)	1/2019	USD		(61,937	)		5,012
LME Zinc Base Metal		(1	)	1/2019	USD		(61,887	)		3,034
LME Zinc Base Metal		(1	)	1/2019	USD		(61,887	)		5,534
LME Zinc Base Metal		(2	)	1/2019	USD		(123,775	)		8,119
LME Zinc Base Metal		(2	)	1/2019	USD		(123,775	)		7,219
LME Zinc Base Metal		(3	)	1/2019	USD		(185,662	)		4,217
MSCI Singapore Index		(52	)	1/2019	SGD		(1,303,672	)		(6,079	)
MSCI Taiwan Index		(218	)	1/2019	USD		(7,834,920	)		(164,561	)
NY Harbor ULSD		(48	)	1/2019	USD		(3,385,670	)		277,410
OMXS30 Index		(100	)	1/2019	SEK		(1,588,918	)		41,009
RBOB Gasoline		(70	)	1/2019	USD		(3,828,174	)		430,156
SGX FTSE China A50 Index		(403	)	1/2019	USD		(4,196,238	)		5,611
WTI Crude Oil		(141	)	1/2019	USD		(6,402,810	)		902,851
Lean Hogs		(36	)	2/2019	USD		(878,040	)		26,165
Live Cattle		(35	)	2/2019	USD		(1,734,250	)		(47,231	)
LME Aluminum Base Metal		(1	)	2/2019	USD		(45,906	)		2,841
LME Aluminum Base Metal		(1	)	2/2019	USD		(45,961	)		2,416
LME Aluminum Base Metal		(4	)	2/2019	USD		(183,316	)		11,561
LME Aluminum Base Metal		(5	)	2/2019	USD		(228,953	)		17,958
LME Aluminum Base Metal		(5	)	2/2019	USD		(229,243	)		13,331
LME Aluminum Base Metal		(5	)	2/2019	USD		(229,194	)		13,390
LME Aluminum Base Metal		(5	)	2/2019	USD		(229,858	)		12,378
LME Aluminum Base Metal		(8	)	2/2019	USD		(367,250	)		20,584
LME Aluminum Base Metal		(13	)	2/2019	USD		(597,773	)		30,154
LME Aluminum Base Metal		(13	)	2/2019	USD		(596,154	)		34,182
LME Aluminum Base Metal		(16	)	2/2019	USD		(734,344	)		41,434
LME Aluminum Base Metal		(22	)	2/2019	USD		(1,005,906	)		83,691
LME Aluminum Base Metal		(24	)	2/2019	USD		(1,098,744	)		81,607
LME Aluminum Base Metal		(24	)	2/2019	USD		(1,098,276	)		88,274
LME Aluminum Base Metal		(25	)	2/2019	USD		(1,144,281	)		86,537
LME Copper Base Metal		(1	)	2/2019	USD		(149,149	)		4,061
LME Copper Base Metal		(2	)	2/2019	USD		(298,240	)		4,630
LME Copper Base Metal		(2	)	2/2019	USD		(298,272	)		5,532
LME Copper Base Metal		(3	)	2/2019	USD		(447,431	)		14,560

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

AQR Funds Annual Report December 2018

32

Consolidated Schedule of Investments December 31, 2018

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 Copper Base Metal		(4	)	2/2019	USD		$ (596,625	)		$ 23,576
LME Copper Base Metal		(4	)	2/2019	USD		(596,125	)		29,465
LME Copper Base Metal		(6	)	2/2019	USD		(894,477	)		37,530
LME Copper Base Metal		(6	)	2/2019	USD		(894,525	)		19,685
LME Copper Base Metal		(7	)	2/2019	USD		(1,043,744	)		46,398
LME Copper Base Metal		(7	)	2/2019	USD		(1,043,795	)		47,047
LME Copper Base Metal		(8	)	2/2019	USD		(1,193,750	)		54,826
LME Copper Base Metal		(8	)	2/2019	USD		(1,193,550	)		50,426
LME Copper Base Metal		(9	)	2/2019	USD		(1,341,644	)		53,330
LME Copper Base Metal		(14	)	2/2019	USD		(2,086,889	)		94,970
LME Nickel Base Metal		(1	)	2/2019	USD		(63,939	)		2,040
LME Nickel Base Metal		(1	)	2/2019	USD		(63,933	)		2,538
LME Nickel Base Metal		(2	)	2/2019	USD		(127,926	)		2,097
LME Nickel Base Metal		(2	)	2/2019	USD		(127,766	)		8,799
LME Nickel Base Metal		(2	)	2/2019	USD		(127,788	)		7,754
LME Nickel Base Metal		(2	)	2/2019	USD		(127,777	)		9,365
LME Nickel Base Metal		(3	)	2/2019	USD		(191,781	)		10,179
LME Nickel Base Metal		(3	)	2/2019	USD		(191,907	)		1,944
LME Nickel Base Metal		(4	)	2/2019	USD		(255,598	)		18,505
LME Nickel Base Metal		(4	)	2/2019	USD		(255,445	)		24,423
LME Nickel Base Metal		(6	)	2/2019	USD		(383,134	)		38,336
LME Nickel Base Metal		(6	)	2/2019	USD		(383,101	)		43,574
LME Nickel Base Metal		(6	)	2/2019	USD		(383,529	)		21,443
LME Nickel Base Metal		(6	)	2/2019	USD		(382,937	)		44,204
LME Nickel Base Metal		(6	)	2/2019	USD		(383,068	)		40,507
LME Nickel Base Metal		(12	)	2/2019	USD		(767,700	)		19,453
LME Zinc Base Metal		(1	)	2/2019	USD		(61,887	)		285
LME Zinc Base Metal		(2	)	2/2019	USD		(123,576	)		(416	)
LME Zinc Base Metal		(2	)	2/2019	USD		(123,600	)		441
LME Zinc Base Metal		(5	)	2/2019	USD		(309,437	)		12,273
LME Zinc Base Metal		(6	)	2/2019	USD		(371,325	)		1,249
LME Zinc Base Metal		(8	)	2/2019	USD		(494,600	)		21,880
LME Zinc Base Metal		(10	)	2/2019	USD		(618,562	)		21,370
LME Zinc Base Metal		(10	)	2/2019	USD		(618,875	)		28,308
LME Zinc Base Metal		(11	)	2/2019	USD		(680,762	)		21,467
LME Zinc Base Metal		(11	)	2/2019	USD		(680,762	)		41,905
LME Zinc Base Metal		(12	)	2/2019	USD		(742,650	)		(2,069	)
LME Zinc Base Metal		(14	)	2/2019	USD		(866,425	)		13,819
LME Zinc Base Metal		(14	)	2/2019	USD		(866,425	)		15,566
Low Sulphur Gasoil		(366	)	2/2019	USD		(18,711,750	)		1,298,568
Sugar No. 11		(248	)	2/2019	USD		(3,341,453	)		181,889
Cocoa		(1	)	3/2019	GBP		(22,509	)		(2,455	)
Coffee ‘C’		(55	)	3/2019	USD		(2,100,656	)		191,942
Copper		(38	)	3/2019	USD		(2,499,450	)		62,577
Corn		(175	)	3/2019	USD		(3,281,250	)		(23,938	)
Cotton No. 2		(45	)	3/2019	USD		(1,624,500	)		115,959
DAX Index		(113	)	3/2019	EUR		(34,184,869	)		719,293
DJIA CBOT E-Mini Index		(51	)	3/2019	USD		(5,933,340	)		312,991
EURO STOXX 50 Index		(831	)	3/2019	EUR		(28,315,996	)		650,786
FTSE 100 Index		(298	)	3/2019	GBP		(25,292,932	)		29,818
FTSE/JSE Top 40 Index		(28	)	3/2019	ZAR		(915,812	)		(27,608	)
FTSE/MIB Index		(40	)	3/2019	EUR		(4,171,905	)		114,521
KC HRW Wheat		(75	)	3/2019	USD		(1,832,812	)		57,211
KOSPI 200 Index		(358	)	3/2019	KRW		(21,015,415	)		19,354
LME Aluminum Base Metal		(1	)	3/2019	USD		(46,113	)		2,321

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

AQR Funds Annual Report December 2018

33

Consolidated Schedule of Investments December 31, 2018

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 Aluminum Base Metal		(1	)	3/2019	USD		$ (46,189	)		$ 1,859
LME Aluminum Base Metal		(1	)	3/2019	USD		(46,178	)		2,194
LME Aluminum Base Metal		(11	)	3/2019	USD		(506,286	)		38,781
LME Aluminum Base Metal		(18	)	3/2019	USD		(829,053	)		51,644
LME Aluminum Base Metal		(18	)	3/2019	USD		(828,662	)		58,910
LME Aluminum Base Metal		(19	)	3/2019	USD		(874,907	)		46,549
LME Aluminum Base Metal		(20	)	3/2019	USD		(922,040	)		54,706
LME Aluminum Base Metal		(186	)	3/2019	USD		(8,593,200	)		510,528
LME Copper Base Metal		(1	)	3/2019	USD		(149,224	)		4,811
LME Copper Base Metal		(1	)	3/2019	USD		(149,283	)		5,602
LME Copper Base Metal		(1	)	3/2019	USD		(149,215	)		3,208
LME Copper Base Metal		(1	)	3/2019	USD		(149,171	)		(127	)
LME Copper Base Metal		(1	)	3/2019	USD		(149,125	)		687
LME Copper Base Metal		(1	)	3/2019	USD		(149,288	)		908
LME Copper Base Metal		(2	)	3/2019	USD		(298,273	)		3,277
LME Copper Base Metal		(2	)	3/2019	USD		(298,388	)		1,986
LME Copper Base Metal		(7	)	3/2019	USD		(1,044,367	)		56,418
LME Copper Base Metal		(26	)	3/2019	USD		(3,880,338	)		117,568
LME Nickel Base Metal		(1	)	3/2019	USD		(64,140	)		122
LME Nickel Base Metal		(8	)	3/2019	USD		(512,009	)		31,819
LME Nickel Base Metal		(8	)	3/2019	USD		(512,114	)		13,946
LME Nickel Base Metal		(8	)	3/2019	USD		(512,062	)		22,635
LME Nickel Base Metal		(8	)	3/2019	USD		(512,167	)		14,370
LME Nickel Base Metal		(8	)	3/2019	USD		(512,376	)		8,880
LME Nickel Base Metal		(62	)	3/2019	USD		(3,973,518	)		129,450
LME Zinc Base Metal		(1	)	3/2019	USD		(61,700	)		1,246
LME Zinc Base Metal		(1	)	3/2019	USD		(61,781	)		1,641
LME Zinc Base Metal		(2	)	3/2019	USD		(123,383	)		657
LME Zinc Base Metal		(2	)	3/2019	USD		(123,350	)		(727	)
LME Zinc Base Metal		(2	)	3/2019	USD		(123,359	)		590
LME Zinc Base Metal		(6	)	3/2019	USD		(370,744	)		19,013
LME Zinc Base Metal		(7	)	3/2019	USD		(432,549	)		27,418
LME Zinc Base Metal		(8	)	3/2019	USD		(494,332	)		26,844
LME Zinc Base Metal		(8	)	3/2019	USD		(494,364	)		23,413
LME Zinc Base Metal		(8	)	3/2019	USD		(494,336	)		20,740
LME Zinc Base Metal		(49	)	3/2019	USD		(3,026,363	)		48,081
MSCI EAFE E-Mini Index		(6	)	3/2019	USD		(514,800	)		11,507
MSCI Emerging Markets E-Mini Index		(31	)	3/2019	USD		(1,498,540	)		12,643
NASDAQ 100 E-Mini Index		(52	)	3/2019	USD		(6,586,580	)		432,976
Nikkei 225 Index		(63	)	3/2019	JPY		(11,495,826	)		636,325
Russell 2000 E-Mini Index		(262	)	3/2019	USD		(17,671,900	)		956,461
S&P 500 E-Mini Index		(47	)	3/2019	USD		(5,887,220	)		270,103
S&P Midcap 400 E-Mini Index		(24	)	3/2019	USD		(3,989,280	)		180,099
S&P/TSX 60 Index		(68	)	3/2019	CAD		(8,540,346	)		200,194
Silver		(12	)	3/2019	USD		(932,400	)		(58,193	)
Soybean		(27	)	3/2019	USD		(1,208,250	)		1,001
Soybean Meal		(4	)	3/2019	USD		(123,960	)		1,153
Soybean Oil		(12	)	3/2019	USD		(200,520	)		(75	)
SPI 200 Index		(58	)	3/2019	AUD		(5,679,491	)		(35,626	)
TOPIX Index		(105	)	3/2019	JPY		(14,307,513	)		960,803
U.S. Treasury Long Bond		(73	)	3/2019	USD		(10,658,000	)		(463,047	)
U.S. Treasury Ultra Bond		(100	)	3/2019	USD		(16,065,625	)		(849,298	)
Wheat		(9	)	3/2019	USD		(226,463	)		2,576
Platinum		(32	)	4/2019	USD		(1,280,960	)		(5,740	)
3 Month Eurodollar		(85	)	6/2019	USD		(20,679,437	)		(53,337	)

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

AQR Funds Annual Report December 2018

34

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
3 Month Eurodollar		(6	)	12/2019	USD		$ (1,460,250	)		$ (9,050	)
3 Month Eurodollar		(5	)	3/2020	USD		(1,218,062	)		(9,203	)
3 Month Eurodollar		(8	)	6/2020	USD		(1,950,100	)		(16,110	)
										11,478,726
										$10,663,743

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

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	981,200	USD	250,816	CITI**		3/20/2019		$916
BRL	1,471,800	USD	376,223	JPMC**		3/20/2019		1,373
CHF	15,000,800	USD	15,226,369	CITI		3/20/2019		145,740
CHF	22,501,200	USD	22,839,265	JPMC		3/20/2019		218,900
COP	816,144,800	USD	249,211	CITI**		3/20/2019		1,187
COP	1,224,217,200	USD	373,816	JPMC**		3/20/2019		1,781
EUR	28,567,600	USD	32,834,517	CITI		3/20/2019		108,086
EUR	42,851,400	USD	49,252,753	JPMC		3/20/2019		161,152
GBP	918,000	USD	1,168,288	CITI		3/20/2019		6,153
GBP	1,377,000	USD	1,752,433	JPMC		3/20/2019		9,226
HUF	1,953,463,600	USD	6,925,712	CITI		3/20/2019		83,061
HUF	2,930,195,400	USD	10,388,579	JPMC		3/20/2019		124,579
IDR	43,638,854,400	USD	2,964,633	CITI**		3/20/2019		34,841
IDR	65,458,281,600	USD	4,446,915	JPMC**		3/20/2019		52,294
ILS	1,304,000	USD	349,395	CITI		3/20/2019		1,435
ILS	1,956,000	USD	524,092	JPMC		3/20/2019		2,152
INR	638,723,200	USD	8,928,333	CITI**		3/20/2019		179,310
INR	958,084,800	USD	13,392,648	JPMC**		3/20/2019		268,817
JPY	8,090,450,000	USD	72,489,529	CITI		3/20/2019		1,782,323
JPY	12,135,675,000	USD	108,734,430	JPMC		3/20/2019		2,673,349
KRW	5,476,800	USD	4,910	CITI**		3/20/2019		21
KRW	8,215,200	USD	7,364	JPMC**		3/20/2019		32
MXN	82,417,200	USD	4,057,858	CITI		3/20/2019		86,350
MXN	123,625,800	USD	6,086,797	JPMC		3/20/2019		129,518
PHP	121,526,400	USD	2,299,345	CITI**		3/20/2019		6,472
PHP	182,289,600	USD	3,449,024	JPMC**		3/20/2019		9,703
PLN	53,774,800	USD	14,275,674	CITI		3/20/2019		119,344
PLN	80,662,201	USD	21,413,535	JPMC		3/20/2019		178,989
SEK	139,094,400	USD	15,566,329	CITI		3/20/2019		224,363
SEK	208,641,600	USD	23,348,204	JPMC		3/20/2019		337,832
SGD	8,551,600	USD	6,253,496	CITI		3/20/2019		31,820
SGD	12,827,400	USD	9,380,253	JPMC		3/20/2019		47,718
TWD	78,951,200	USD	2,585,786	CITI**		3/20/2019		13,672
TWD	118,426,800	USD	3,878,685	JPMC**		3/20/2019		20,504
USD	62,728,942	AUD	86,718,800	CITI		3/20/2019		1,568,749
USD	94,093,703	AUD	130,078,200	JPMC		3/20/2019		2,353,412
USD	1,388,622	BRL	5,363,200	CITI**		3/20/2019		12,674
USD	2,082,931	BRL	8,044,800	JPMC**		3/20/2019		19,008
USD	37,211,597	CAD	49,668,400	CITI		3/20/2019		764,936

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

AQR Funds Annual Report December 2018

35

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY HV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	55,817,558	CAD	74,502,600	JPMC		3/20/2019		$ 1,147,566
USD	129,512	CHF	126,000	CITI		3/20/2019		393
USD	194,268	CHF	189,000	JPMC		3/20/2019		589
USD	3,479,574	CLP	2,337,711,224	CITI**		3/20/2019		108,302
USD	5,219,355	CLP	3,506,566,840	JPMC**		3/20/2019		162,447
USD	1,987,716	COP	6,454,609,603	CITI**		3/20/2019		7,402
USD	2,981,570	COP	9,681,914,405	JPMC**		3/20/2019		11,100
USD	11,738,031	EUR	10,166,800	CITI		3/20/2019		14,231
USD	17,607,025	EUR	15,250,200	JPMC		3/20/2019		21,324
USD	36,015,904	GBP	27,981,200	CITI		3/20/2019		218,278
USD	54,023,788	GBP	41,971,800	JPMC		3/20/2019		327,349
USD	163,478	HKD	1,275,200	CITI		3/20/2019		257
USD	245,217	HKD	1,912,800	JPMC		3/20/2019		385
USD	458,703	IDR	6,639,045,370	CITI**		3/20/2019		2,375
USD	688,053	IDR	9,958,568,052	JPMC**		3/20/2019		3,561
USD	4,421,580	ILS	16,323,200	CITI		3/20/2019		29,967
USD	6,632,362	ILS	24,484,800	JPMC		3/20/2019		44,942
USD	1,058,580	KRW	1,173,209,787	CITI**		3/20/2019		2,281
USD	1,587,867	KRW	1,759,814,680	JPMC**		3/20/2019		3,421
USD	5,737,382	NOK	48,851,600	CITI		3/20/2019		68,330
USD	8,606,247	NOK	73,277,400	JPMC		3/20/2019		102,668
USD	9,414,961	NZD	13,876,000	CITI		3/20/2019		88,879
USD	14,122,401	NZD	20,814,000	JPMC		3/20/2019		133,278
USD	116,645	PHP	6,142,000	CITI**		3/20/2019		108
USD	174,967	PHP	9,213,000	JPMC**		3/20/2019		162
USD	55,018	PLN	205,200	CITI		3/20/2019		88
USD	82,527	PLN	307,800	JPMC		3/20/2019		132
USD	2,350,053	ZAR	33,605,600	CITI		3/20/2019		35,641
USD	3,525,075	ZAR	50,408,400	JPMC		3/20/2019		53,454
Total unrealized appreciation								14,370,702
AUD	22,521,600	USD	16,412,169	CITI		3/20/2019		(528,355	)
AUD	33,782,400	USD	24,620,594	JPMC		3/20/2019		(794,871	)
BRL	1,483,200	USD	387,555	CITI**		3/20/2019		(7,035	)
BRL	2,224,800	USD	581,333	JPMC**		3/20/2019		(10,552	)
CAD	31,656,800	USD	23,916,901	CITI		3/20/2019		(687,146	)
CAD	47,485,200	USD	35,875,394	JPMC		3/20/2019		(1,030,763	)
CLP	2,004,637,200	USD	2,989,246	CITI**		3/20/2019		(98,309	)
CLP	3,006,955,800	USD	4,483,878	JPMC**		3/20/2019		(147,469	)
COP	4,294,782,400	USD	1,341,208	CITI**		3/20/2019		(23,543	)
COP	6,442,173,600	USD	2,011,814	JPMC**		3/20/2019		(35,318	)
EUR	22,569,600	USD	26,057,432	CITI		3/20/2019		(31,397	)
EUR	33,854,400	USD	39,086,197	JPMC		3/20/2019		(47,145	)
GBP	21,888,400	USD	28,130,616	CITI		3/20/2019		(127,786	)
GBP	32,832,598	USD	42,195,971	JPMC		3/20/2019		(191,730	)
HKD	1,266,000	USD	162,248	CITI		3/20/2019		(203	)
HKD	1,899,000	USD	243,371	JPMC		3/20/2019		(305	)
IDR	20,322,736,400	USD	1,403,791	CITI**		3/20/2019		(6,928	)
IDR	30,484,104,600	USD	2,105,690	JPMC**		3/20/2019		(10,395	)
ILS	6,508,400	USD	1,763,570	CITI		3/20/2019		(12,543	)
ILS	9,762,600	USD	2,645,360	JPMC		3/20/2019		(18,818	)
KRW	1,270,920,400	USD	1,146,663	CITI**		3/20/2019		(2,391	)
KRW	1,906,380,600	USD	1,719,998	JPMC**		3/20/2019		(3,589	)
MXN	16,814,800	USD	846,014	CITI		3/20/2019		(510	)
MXN	25,222,200	USD	1,269,022	JPMC		3/20/2019		(767	)
NOK	43,931,600	USD	5,176,804	CITI		3/20/2019		(78,699	)
NOK	65,897,400	USD	7,764,912	JPMC		3/20/2019		(117,757	)

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

AQR Funds Annual Report December 2018

36

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY HV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
NZD	117,287,200	USD	80,460,918	CITI		3/20/2019		$ (1,632,006	)
NZD	175,930,800	USD	120,691,530	JPMC		3/20/2019		(2,448,160	)
TWD	6,157,200	USD	202,740	CITI**		3/20/2019		(15	)
TWD	9,235,800	USD	304,111	JPMC**		3/20/2019		(23	)
USD	774,860	BRL	3,041,600	CITI**		3/20/2019		(5,475	)
USD	1,162,288	BRL	4,562,400	JPMC**		3/20/2019		(8,213	)
USD	8,553,521	CHF	8,415,200	CITI		3/20/2019		(69,977	)
USD	12,830,266	CHF	12,622,800	JPMC		3/20/2019		(104,981	)
USD	142,769	CLP	99,184,800	CITI**		3/20/2019		(268	)
USD	214,153	CLP	148,777,200	JPMC**		3/20/2019		(402	)
USD	111,299	COP	366,529,600	CITI**		3/20/2019		(1,154	)
USD	166,949	COP	549,794,400	JPMC**		3/20/2019		(1,732	)
USD	182,462,179	EUR	159,145,199	CITI		3/20/2019		(1,055,409	)
USD	273,692,933	EUR	238,717,804	JPMC		3/20/2019		(1,583,454	)
USD	3,788,157	GBP	2,974,000	CITI		3/20/2019		(16,617	)
USD	5,688,840	GBP	4,461,000	JPMC		3/20/2019		(18,321	)
USD	7,302,643	HUF	2,055,244,413	CITI		3/20/2019		(71,307	)
USD	10,953,950	HUF	3,082,866,619	JPMC		3/20/2019		(106,975	)
USD	1,388,666	IDR	20,399,629,710	CITI**		3/20/2019		(13,482	)
USD	2,082,997	IDR	30,599,444,556	JPMC**		3/20/2019		(20,225	)
USD	6,095,336	INR	437,414,788	CITI**		3/20/2019		(141,823	)
USD	9,142,993	INR	656,122,180	JPMC**		3/20/2019		(212,746	)
USD	105,990,419	JPY	11,877,301,660	CITI		3/20/2019		(3,045,443	)
USD	158,985,429	JPY	17,815,952,488	JPMC		3/20/2019		(4,568,364	)
USD	8,044,205	KRW	9,025,454,710	CITI**		3/20/2019		(81,854	)
USD	12,066,546	KRW	13,538,182,070	JPMC**		3/20/2019		(122,543	)
USD	6,928,229	MXN	143,846,791	CITI		3/20/2019		(304,863	)
USD	10,399,108	MXN	215,770,201	JPMC		3/20/2019		(450,529	)
USD	744,540	NOK	6,450,800	CITI		3/20/2019		(4,053	)
USD	1,116,809	NOK	9,676,200	JPMC		3/20/2019		(6,079	)
USD	4,916,181	NZD	7,317,600	CITI		3/20/2019		(1,990	)
USD	7,374,262	NZD	10,976,400	JPMC		3/20/2019		(2,993	)
USD	1,875,058	PHP	99,598,800	CITI**		3/20/2019		(14,710	)
USD	2,812,583	PHP	149,398,200	JPMC**		3/20/2019		(22,069	)
USD	2,305,129	PLN	8,696,000	CITI		3/20/2019		(22,710	)
USD	3,457,689	PLN	13,044,000	JPMC		3/20/2019		(34,069	)
USD	19,647,839	SEK	176,061,598	CITI		3/20/2019		(339,555	)
USD	29,471,722	SEK	264,092,402	JPMC		3/20/2019		(509,369	)
USD	3,752,641	SGD	5,132,400	CITI		3/20/2019		(19,607	)
USD	5,628,954	SGD	7,698,600	JPMC		3/20/2019		(29,417	)
USD	6,157,058	TWD	188,087,602	CITI**		3/20/2019		(35,704	)
USD	9,235,586	TWD	282,131,398	JPMC**		3/20/2019		(53,557	)
USD	2,461,362	ZAR	35,966,000	CITI		3/20/2019		(15,614	)
USD	3,692,038	ZAR	53,949,000	JPMC		3/20/2019		(23,423	)
ZAR	177,884,000	USD	12,689,657	CITI		3/20/2019		(438,806	)
ZAR	266,826,000	USD	19,036,154	JPMC		3/20/2019		(659,881	)
Total unrealized depreciation								(22,334,291	)
Net unrealized depreciation							$	(7,963,589	)

** Non-deliverable forward.

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

AQR Funds Annual Report December 2018

37

Consolidated Schedule of Investments December 31, 2018

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

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

COUNTERPARTY	OVER THE COUNTER				EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BARC
Cash		$—				$9,457,948		$9,457,948
CITI
Cash		8,014,262				—		8,014,262
GSCO
Cash		—				3,194,916		3,194,916
GSIN
Cash		(110,000	)			—		(110,000	)
U.S. Treasury Bills		327,649				—		327,649
JPMC
Investment Companies		23,118,332				—		23,118,332
JPMS
Cash		—				1,198,240		1,198,240
MLIN				��
Cash		120,000				—		120,000
MSCL
Cash		—				2,188,583		2,188,583

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

AQR Funds Annual Report December 2018

38

Consolidated Schedule of Investments December 31, 2018

AQR MANAGED FUTURES STRATEGY HV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2018 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
CITI
Cash		$876,361			$—			$876,361
GSCO
Cash		—			(857,585	)		(857,585	)
GSIN
Cash		(150,000	)		—			(150,000	)
U.S. Treasury Bills		744,315			—			744,315
JPPC
Cash		—			385,443			385,443
MSCL
Cash		—			(1,112,980	)		(1,112,980	)
U.S. Treasury Bills		—			3,614,280			3,614,280
SOCG
Cash		275,022			—			275,022

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

CITI - Citibank NA

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

SOCG - Societe Generale

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

AQR Funds Annual Report December 2018

39

Consolidated Statements of Assets and Liabilities December 31, 2018

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	6,388,773,456		$	482,470,467
Investments in securities of affiliated issuers, at cost	$	548,920,141		$	—
Investments in securities of unaffiliated issuers, at value	$	6,387,464,536		$	482,458,655
Investments in securities of affiliated issuers, at value		548,985,680			—
Cash		12,725			—
Cash denominated in foreign currencies‡		7,487,509			494,482
Unrealized appreciation on forward foreign currency exchange contracts		135,033,227			14,370,702
Unrealized appreciation on OTC swaps		14,380,531			1,391,489
Due from broker		93,895,866			9,420,987
Deposits with brokers for futures contracts		125,866,373			26,216,708
Variation margin on futures contracts		4,855,109			654,592
Receivables:
Securities sold		1,692,474,378			163,503,107
Dividends and interest		1,948,666			169,694
Capital shares sold		23,418,879			3,223,629
Prepaid expenses		231,219			58,780
Total Assets		9,036,054,698			701,962,825
LIABILITIES:
Due to custodian		—			799,119
Due to broker		1,904,657			267,285
Unrealized depreciation on forward foreign currency exchange contracts		210,043,222			22,334,291
Unrealized depreciation on OTC swaps		8,496,331			756,012
Deposits from brokers for futures contracts		5,038,272			29,764
Variation margin on futures contracts		18,131,739			1,723,228
Payables:
Securities purchased		1,692,498,375			186,793,275
Accrued investment advisory fees		6,592,032			636,305
Accrued distribution fees—Class N		389,384			13,169
Capital shares redeemed		52,733,027			3,177,193
Other accrued expenses and liabilities		1,925,869			229,677
Total Liabilities		1,997,752,908			216,759,318
Net Assets	$	7,038,301,790		$	485,203,507
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	8,184,240,042		$	592,362,335
Total distributable earnings (loss)		(1,145,938,252	)		(107,158,828	)
Net Assets	$	7,038,301,790		$	485,203,507
NET ASSETS:
Class I	$	4,254,641,683		$	244,568,848
Class N		1,811,668,535			59,230,851
Class R6		971,991,572			181,403,808
SHARES OUTSTANDING:
Class I		505,883,440			31,271,904
Class N		219,062,904			7,661,123
Class R6		115,388,592			23,133,614
NET ASSET VALUE:
Class I	$	8.41		$	7.82
Class N	$	8.27		$	7.73
Class R6	$	8.42		$	7.84
‡  Cash denominated in foreign currencies at cost	$	7,433,482		$	489,682

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Annual Report December 2018

40

Consolidated Statements of Operations December 31, 2018

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†	$	15,922,351		$	2,198,667
Affiliated issuers		10,671,558			—
Interest income		142,375,059			8,842,728
Total Income		168,968,968			11,041,395
EXPENSES:
Investment advisory fees		100,166,735			9,675,230
Custody fees		479,004			122,651
Administration & accounting fees		2,647,175			199,102
Legal fees		174,299			19,843
Audit & tax fees		109,701			111,482
Shareholder reporting fees		704,158			55,984
Transfer agent fees		5,799,589			411,471
Trustee fees		327,719			28,701
Distribution fees—Class N		6,779,531			213,382
Interest expense		—			1,877
Recoupment of waiver		—			44,118
Registration fees		221,912			104,962
Pricing fee		191			74
Other expenses		331,221			23,727
Total Expenses		117,741,235			11,012,604
Less fee waivers and/or reimbursements		—			(58,604	)
Net Expenses		117,741,235			10,954,000
Net Investment Income (Loss)		51,227,733			87,395
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(356,970	)		(1,616	)
Transactions in investment securities of affiliated issuers		46,767			—
Settlement of foreign currency and foreign currency transactions		(30,632,126	)		(3,154,810	)
Settlement of forward foreign currency contracts		(457,144,250	)		(46,362,782	)
Expiration or closing of futures contracts		(210,883,223	)		(28,111,871	)
Expiration or closing of swap contracts		(141,553,396	)		(14,984,503	)
Net realized gain (loss)		(840,523,198	)		(92,615,582	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		168,152			34,449
Investment securities of affiliated issuers		65,539			—
Foreign currency and foreign currency transactions		574,382			96,692
Forward foreign currency exchange contracts		(32,870,466	)		(3,867,123	)
Futures contracts		(84,122,490	)		(7,338,710	)
Swap contracts		1,988,612			295,025
Net change in unrealized appreciation (depreciation)		(114,196,271	)		(10,779,667	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(954,719,469	)		(103,395,249	)
Net increase (decrease) in net assets resulting from operations	$	(903,491,736	)	$	(103,307,854	)
†  Net of foreign taxes withheld of		$348,939			$1,569

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

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

AQR Funds Annual Report December 2018

41

Consolidated Statements of Changes in Net Assets December 31, 2018

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE YEAR ENDED DECEMBER 31, 2017
OPERATIONS:
Net investment income (loss)	$	51,227,733		$	(53,053,526	)	$	87,395		$	(6,269,361	)
Net realized gain (loss)		(840,523,198	)		(286,092,542	)		(92,615,582	)		(21,492,358	)
Net change in unrealized appreciation (depreciation)		(114,196,271	)		175,069,336			(10,779,667	)		16,127,707
Net increase (decrease) in net assets resulting from operations		(903,491,736	)		(164,076,732	)		(103,307,854	)		(11,634,012	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		2,614,472,764			2,926,054,708			179,261,874			412,207,460
Cost of shares redeemed		(3,801,315,537	)		(4,509,138,890	)		(348,055,614	)		(355,005,253	)
Net increase (decrease) from capital transactions		(1,186,842,773	)		(1,583,084,182	)		(168,793,740	)		57,202,207
CLASS N
Proceeds from shares sold		678,584,221			1,361,742,244			59,101,705			51,469,716
Cost of shares redeemed		(1,931,685,708	)		(1,329,701,417	)		(87,274,290	)		(65,942,623	)
Net increase (decrease) from capital transactions		(1,253,101,487	)		32,040,827			(28,172,585	)		(14,472,907	)
CLASS R6
Proceeds from shares sold		444,551,835			1,164,399,126			101,293,925			106,785,812
Cost of shares redeemed		(1,186,157,737	)		(484,097,033	)		(138,016,109	)		(47,165,170	)
Net increase (decrease) from capital transactions		(741,605,902	)		680,302,093			(36,722,184	)		59,620,642
Net increase (decrease) in net assets resulting from capital transactions		(3,181,550,162	)		(870,741,262	)		(233,688,509	)		102,349,942
Total increase (decrease) in net assets		(4,085,041,898	)		(1,034,817,994	)		(336,996,363	)		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	$	7,038,301,790		$	11,123,343,688		$	485,203,507		$	822,199,870
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		294,436,420			320,666,048			21,493,989			46,169,310
Shares redeemed		(433,700,249	)		(496,844,590	)		(40,905,817	)		(39,782,944	)
Shares outstanding, end of period		505,883,440			645,147,269			31,271,904			50,683,732
CLASS N
Shares outstanding, beginning of period		365,313,253			361,866,517			10,760,367			12,612,500
Shares sold		76,718,388			151,983,418			7,085,031			5,702,778
Shares redeemed		(222,968,737	)		(148,536,682	)		(10,184,275	)		(7,554,911	)
Shares outstanding, end of period		219,062,904			365,313,253			7,661,123			10,760,367
CLASS R6
Shares outstanding, beginning of period		199,171,371			125,447,820			28,585,910			21,880,192
Shares sold		49,367,498			126,885,629			11,373,363			12,000,063
Shares redeemed		(133,150,277	)		(53,162,078	)		(16,825,659	)		(5,294,345	)
Shares outstanding, end of period		115,388,592			199,171,371			23,133,614			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 Annual Report December 2018

42

[Intentionally Left Blank]

Consolidated Financial Highlights December 31, 2018

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR MANAGED FUTURES STRATEGY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.23		0.06			(0.88	)		(0.82	)		—			—			—
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	)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.10		0.03			(0.86	)		(0.83	)		—			—			—
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	)
AQR MANAGED FUTURES STRATEGY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.24		0.06			(0.88	)		(0.82	)		—			—			—
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
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.14		0.00	5		(1.32	)		(1.32	)		—			—			—
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	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.06		(0.02	)		(1.31	)		(1.33	)		—			—			—
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	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.15		0.01			(1.32	)		(1.31	)		—			—			—
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.

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

AQR Funds Annual Report December 2018

44

Consolidated Financial Highlights December 31, 2018

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate
	$8.41		(8.88	)%		$4,254,642		1.16	%		1.16	%		1.16	%		0.62	%		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	%
	$8.27		(9.12	)%		$1,811,668		1.45	%		1.45	%		1.45	%		0.30	%		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	%
	$8.42		(8.87	)%		$971,992		1.11	%		1.11	%		1.11	%		0.66	%		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	%
	$7.82		(14.44	)%		$244,569		1.65	%		1.64	%		1.64	%		0.00	%		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	%
	$7.73		(14.68	)%		$59,231		1.91	%		1.90	%		1.90	%		(0.24	)%		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	%
	$7.84		(14.32	)%		$181,404		1.56	%		1.55	%		1.55	%		0.12	%		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 Annual Report December 2018

45

Notes to Consolidated Financial Statements December 31, 2018

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 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 the 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, which are 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 (on a tax basis) 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 DECEMBER 31, 2018		% OF TOTAL ASSETS AT DECEMBER 31, 2018
AQR Managed Futures Strategy Offshore Fund Ltd	$	1,636,439,762		14.0	%
AQR Managed Futures Strategy HV Offshore Fund Ltd		111,756,154		13.9	%

3. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard CodificationTopic 946 Financial Services — Investment Companies. The accounting policies are in in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior period amounts have been reclassified to reflect current period presentation.

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 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.

AQR Funds Annual Report December 2018

46

Notes to Consolidated Financial Statements December 31, 2018

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. Certain fixed-income investments may pay interest in-kind, which represents contractual interest accrued and increases the principal balance. 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. 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. The Funds are charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

The Funds may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Federal Income Taxes:Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of December 31, 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 Statements of Changes in Net Assets and have been recorded to paid in capital.

AQR Funds Annual Report December 2018

47

Notes to Consolidated Financial Statements December 31, 2018

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: The 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. Further, pursuant to the 1940 Act, control is presumed to exist when, among other things, a Fund owns more than 25% of the outstanding voting securities of portfolio company. However, the Funds do not invest in the LPCI Fund for the purpose of exercising significant 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:The 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:The 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:The 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 include 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:The 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

AQR Funds Annual Report December 2018

48

Notes to Consolidated Financial Statements December 31, 2018

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:The 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 the 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 are 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 the 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”).

AQR Funds Annual Report December 2018

49

Notes to Consolidated Financial Statements December 31, 2018

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. Investments in mutual funds are valued daily at their NAVs which are also classified as 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 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 generally 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.

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50

Notes to Consolidated Financial Statements December 31, 2018

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. For option contracts, if no sales occurred on such date, contracts will be valued at the mid price published by the exchange at the close of business. 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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51

Notes to Consolidated Financial Statements December 31, 2018

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	$	994,289,653		$	5,942,160,563		$	—	$	6,936,450,216
Futures Contracts*		164,744,654			—			—		164,744,654
Forward Foreign Currency Exchange Contracts*		—			135,033,227			—		135,033,227
Total Return Swaps Contracts*		—			14,380,531			—		14,380,531
Total Assets	$	1,159,034,307		$	6,091,574,321		$	—	$	7,250,608,628
LIABILITIES
Futures Contracts*	$	(63,163,913	)	$	—		$	—	$	(63,163,913	)
Forward Foreign Currency Exchange Contracts*		—			(210,043,222	)		—		(210,043,222	)
Total Return Swaps Contracts*		—			(8,496,331	)		—		(8,496,331	)
Total Liabilities	$	(63,163,913	)	$	(218,539,553	)	$	—	$	(281,703,466	)
AQR MANAGED FUTURES STRATEGY HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	104,548,336		$	377,910,319		$	—	$	482,458,655
Futures Contracts*		17,401,615			—			—		17,401,615
Forward Foreign Currency Exchange Contracts*		—			14,370,702			—		14,370,702
Total Return Swaps Contracts*		—			1,391,489			—		1,391,489
Total Assets	$	121,949,951		$	393,672,510		$	—	$	515,622,461
LIABILITIES
Futures Contracts*	$	(6,737,872	)	$	—		$	—	$	(6,737,872	)
Forward Foreign Currency Exchange Contracts*		—			(22,334,291	)		—		(22,334,291	)
Total Return Swaps Contracts*		—			(756,012	)		—		(756,012	)
Total Liabilities	$	(6,737,872	)	$	(23,090,303	)	$	—	$	(29,828,175	)

* 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.

During the period ended December 31, 2018, there were no transfers to or from Level 3 for either of the Funds. There were no Level 3 securities held at period end.

6. Federal Income Tax Matters

At December 31, 2018, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Managed Futures Strategy Fund	$	6,903,768,532	$	332,301,589	$	(267,164,959	)	$	65,136,630
AQR Managed Futures Strategy HV Fund		478,947,890		35,031,585		(28,185,189	)		6,846,396

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 Annual Report December 2018

52

Notes to Consolidated Financial Statements December 31, 2018

As of December 31, 2018, the components of net assets (excluding paid-in capital) on a tax basis were as follows:

Fund	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR TAX BASIS CAPITAL LOSS CARRYFORWARDS			NET UNREALIZED APPRECIATION (DEPRECIATION)		POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS			OTHER TEMPORARY DIFFERENCES			TOTAL ACCUMULATED EARNINGS
AQR Managed Futures Strategy Fund	$	—	$	(1,004,625,127	)	$	63,410,720	$	(166,273,048	)	$	(38,450,797	)	$	(1,145,938,252	)
AQR Managed Futures Strategy HV Fund		—		(91,738,657	)		6,660,674		(17,983,872	)		(4,096,973	)		(107,158,828	)

The differences between book basis and tax basis components of net assets are primarily attributable to mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, loss deferrals from tax straddles, certain late year loss deferrals, and capital loss carryforwards.

As of December 31, 2018, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	TOTAL DISTRIBUTABLE EARNINGS (LOSS)		PAID-IN CAPITAL
AQR Managed Futures Strategy Fund	$	114,271,882	$	(114,271,882	)
AQR Managed Futures Strategy HV Fund		19,999,531		(19,999,531	)

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the difference in tax treatment of net operating losses and income from investments in the Cayman subsidiary. The result of operations and net assets were not affected by the reclassifications.

As of December 31, 2018, 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	$	468,771,673	$	535,853,454
AQR Managed Futures Strategy HV Fund		44,549,685		47,188,972

7. Investment Transactions

During the year ended December 31, 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.

AQR Funds Annual Report December 2018

53

Notes to Consolidated Financial Statements December 31, 2018

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at December 31, 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	$	55,014,210	$	368,522	$	—	$	2,822,296	$	1,222,057	$	—
AQR Managed Futures Strategy HV Fund		5,811,154		47,458		—		297,509		95,889		—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—		—		135,033,227		—		—		210,043,222
AQR Managed Futures Strategy HV Fund		—		—		14,370,702		—		—		22,334,291
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		36,299,376		—		—		14,176,411		—		—
AQR Managed Futures Strategy HV Fund		3,838,092		—		—		1,516,369		—		—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		73,431,068		14,012,009		—		46,165,206		7,274,274		—
AQR Managed Futures Strategy HV Fund		7,752,369		1,344,031		—		4,923,994		660,123		—
Net Fair Value of Derivative Contracts:
AQR Managed Futures Strategy Fund		101,580,741		5,884,200		—		—		—		75,009,995
AQR Managed Futures Strategy HV Fund		10,663,743		635,477		—		—		—		7,963,589

* Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

** Includes the fair value of centrally cleared swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended December 31, 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	$	(76,437,598	)	$	(70,284,561	)	$	—		$	26,896,182		$	(10,225,264	)	$	—
AQR Managed Futures Strategy HV Fund		(10,704,239	)		(7,641,185	)		—			3,067,689			(993,310	)		—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—			—			(457,144,250	)		—			—		��	(32,870,466	)
AQR Managed Futures Strategy HV Fund		—			—			(46,362,782	)		—			—			(3,867,123	)
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		(116,131,197	)		(666,905	)		—			8,348,689			—			—
AQR Managed Futures Strategy HV Fund		(11,856,976	)		(37,670	)		—			1,232,765			—			—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		(18,314,428	)		(70,601,930	)		—			(119,367,361	)		12,213,876			—
AQR Managed Futures Strategy HV Fund		(5,550,656	)		(7,305,648	)		—			(11,639,164	)		1,288,335			—

AQR Funds Annual Report December 2018

54

Notes to Consolidated Financial Statements December 31, 2018

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of December 31, 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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS			CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	54,015,516	$	(54,015,516	)	$	—	$	—		$	—		$	—
JPMC	Forward Foreign Currency Exchange Contracts		81,017,711		(81,017,711	)		—		—			—			—
MSCS	Total Return Swap Contracts		368,522		(368,522	)		—		—			—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			135,401,749		(135,401,749	)		—		—			—			—
				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	84,011,715	$	(54,015,516	)	$	29,996,199	$	—		$	(29,996,199	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		126,031,507		(81,017,711	)		45,013,796		—			(45,013,796	)		—
MLIN	Total Return Swap Contracts		230,280		—			230,280		—			—			230,280
MSCS	Total Return Swap Contracts		991,777		(368,522	)		623,255		(623,255	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			211,265,279		(135,401,749	)		75,863,530		(623,255	)		(75,009,995	)		230,280

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 640,000 and total additional collateral pledged was $ 261,377,279.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	2,856,156	$	(1,523,066	)	$	1,333,090	$	—	$	—		$	1,333,090
GSIN	Total Return Swap Contracts		3,620,580		(1,636,731	)		1,983,849		—		(1,720,000	)		263,849
MACQ	Total Return Swap Contracts		5,365,081		(2,854,961	)		2,510,120		—		—			2,510,120
MLIN	Total Return Swap Contracts		413,321		(413,321	)		—		—		—			—
SOCG	Total Return Swap Contracts		1,756,871		(725,691	)		1,031,180		—		—			1,031,180
Total financial instruments subject to a master netting arrangement or similar arrangement			14,012,009		(7,153,770	)		6,858,239		—		(1,720,000	)		5,138,239

AQR Funds Annual Report December 2018

55

Notes to Consolidated Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	1,523,066	$	(1,523,066	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		1,636,731		(1,636,731	)		—		—		—			—
MACQ	Total Return Swap Contracts		2,854,961		(2,854,961	)		—		—		—			—
MLIN	Total Return Swap Contracts		533,825		(413,321	)		120,504		—		(120,504	)		—
SOCG	Total Return Swap Contracts		725,691		(725,691	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			7,274,274		(7,153,770	)		120,504		—		(120,504	)		—

(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 $ 28,545,028.

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	5,747,985	$	(5,747,985	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		8,622,717		(8,622,717	)		—		—		—		—
MLIN	Total Return Swap Contracts		47,458		(47,458	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			14,418,160		(14,418,160	)		—		—		—		—

				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	8,937,287	$	(5,747,985	)	$	3,189,302	$	—		$	(3,189,302	)	$	—
GSIN	Total Return Swap Contracts		6,062		—			6,062		(6,062	)		—			—
JPMC	Forward Foreign Currency Exchange Contracts		13,397,004		(8,622,717	)		4,774,287		—			(4,774,287	)		—
MLIN	Total Return Swap Contracts		89,827		(47,458	)		42,369		—			(42,369	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			22,430,180		(14,418,160	)		8,012,020		(6,062	)		(8,005,958	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 110,000 and total additional collateral pledged was $ 23,568,223.

AQR Funds Annual Report �� December 2018

56

Notes to Consolidated Financial Statements December 31, 2018

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 ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	307,232	$	(190,668	)	$	116,564	$	—	$	—		$	116,564
GSIN	Total Return Swap Contracts		237,233		(130,355	)		106,878		—		(106,878	)		—
MACQ	Total Return Swap Contracts		557,559		(185,291	)		372,268		—		—			372,268
SOCG	Total Return Swap Contracts		242,007		(153,809	)		88,198		—		—			88,198
Total financial instruments subject to a master netting arrangement or similar arrangement			1,344,031		(660,123	)		683,908		—		(106,878	)		577,030
				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 ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	190,668	$	(190,668	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		130,355		(130,355	)		—		—		—			—
MACQ	Total Return Swap Contracts		185,291		(185,291	)		—		—		—			—
SOCG	Total Return Swap Contracts		153,809		(153,809	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			660,123		(660,123	)		—		—		—			—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 43,122 and total additional collateral pledged was $ 1,895,698.

For the year ended December 31, 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		19,088,059,742		1,951,235,596
Average Notional Balance—Short		35,612,747,386		3,687,426,929
Ending Notional Balance—Long		22,283,133,415		2,330,623,508
Ending Notional Balance—Short		4,010,042,223		426,250,129
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		13,016,586,973		1,329,614,226
Average Settlement Value—Sold		14,014,715,128		1,433,737,517
Ending Value— Purchased		9,182,740,459		973,798,078
Ending Value—Sold		13,034,830,775		1,379,759,398
Total Return Swaps:
Average Notional Balance—Long		1,058,608,037		108,121,449
Average Notional Balance—Short		1,049,593,666		104,923,100
Ending Notional Balance—Long		215,834,039		18,876,440
Ending Notional Balance—Short		658,548,665		63,396,365

* Notional values as of each quarter end are used to calculate the average represented.

AQR Funds Annual Report December 2018

57

Notes to Consolidated Financial Statements December 31, 2018

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 (the “Investment Management Agreement”). Under the Investment Management Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for each Fund, and manages each Fund’s investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Managed Futures Strategy Fund		1.05	%
AQR Managed Futures Strategy HV Fund		1.45

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 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 year ended December 31, 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	$	56,489	$	2,115	$	58,604

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 year ended December 31, 2018, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at December 31, 2018 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED DECEMBER 31, 2018		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2018		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2019		2020		2021
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	28,563	$	108,250	$	59,386	$	20,301	$	28,563
Class N		7,022		32,706		19,395		6,289		7,022
Class R6		23,019		62,506		28,571		10,916		23,019
Totals	$	58,604	$	203,462	$	107,352	$	37,506	$	58,604

AQR Funds Annual Report December 2018

58

Notes to Consolidated Financial Statements December 31, 2018

During the year ended December 31, 2018, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Managed Futures Strategy HV Fund	$	22,900	$	5,369	$	15,849

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

The Funds are non-diversified. Because the Funds may invest in securities of a smaller number of issuers, the Funds may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may, therefore, have a greater impact on the Funds’ performance.

The investment techniques and strategies utilized by the Funds, including investments made on a shorter-term basis or in derivative instruments or instruments with a maturity of one year or less at the time of acquisition, may result in frequent portfolio trading and high portfolio turnover. High portfolio turnover will cause the Funds to incur higher levels of brokerage fees and commissions, which may reduce performance, and may cause higher levels of current tax liability to shareholders in the Funds.

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.

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.

Fixed income securities are subject to the risk that the securities could lose value because of interest rate changes. For example, bonds tend to decrease in value if interest rates rise. Fixed income securities with longer maturities sometimes offer higher yields, but are subject to greater price shifts as a result of interest rate changes than fixed income securities with shorter maturities. Fixed income securities are generally subject to the risk that the issuer may be unable to make principal and interest payments when they are due.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. The Funds may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated.

Investment in securities of foreign issuers may involve certain risks that are greater than those associated with investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions; changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges); the imposition of economic sanctions or other government restrictions; differing accounting, auditing, financial reporting and legal standards and practices; differing securities market structures; and higher transaction costs. To the extent a fund’s investments in a single country or a limited number of countries represent a higher percentage of the fund’s assets, the fund assumes the risk that economic, political and social conditions in those countries will have a significant impact on its investment performance and it may be subject to increased price volatility.

Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.

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. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. 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

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Notes to Consolidated Financial Statements December 31, 2018

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.

The Funds may have investments that appreciate or decrease significantly in value over short periods of time. This may cause the Funds’ net asset value per share to experience significant increases or declines in value over short periods of time, however, all investments long- or short-term are subject to risk of loss.

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. The 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 deposited with or returned to 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 Funds to potential risks. Such models may produce unexpected results, which can result in losses for the Funds.

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.

Please refer to the Funds’ prospectuses for a more complete description of the principal risks of investing in the Funds.

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 and lend 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

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Notes to Consolidated Financial Statements December 31, 2018

may borrow or lend money through the 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 secure each of its outstanding borrowings through the Interfund Lending Program with collateral 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 March 22, 2019, the Trust renewed a $350,000,000 committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Prior to February 23, 2018 the line of credit commitment amount was $300,000,000 at substantially similar terms. 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 Fund’s 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 unused amount available on the line of credit as of December 31, 2018 is $344,600,000.

The Fund had the following borrowings for the year ended December 31, 2018:

FUND	AVERAGE BORROWINGS		AVERAGE INTEREST RATE%			NUMBER OF DAYS OUTSTANDING		OUTSTANDING BALANCE		INTEREST PAID
AQR Managed Futures Strategy HV Fund	$	20,000,000		3.38	%		1		—	$	1,877

Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.

14. Principal Ownership

As of December 31, 2018, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Managed Futures Strategy Fund		6		75.84	%
AQR Managed Futures Strategy HV Fund		5		84.36	%

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 fund, 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. The adoption had no effect on the Funds’ net assets or results of operations.

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Notes to Consolidated Financial Statements December 31, 2018

In August 2018, the SEC adopted Final Rule Release No. 33-10532, Disclosure Update and Simplification. The new rule amends certain disclosure requirements that the SEC determined to be redundant, duplicative, overlapping, outdated, or superseded, in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The amendments to Regulation S-X were applied to the Funds’ financial statements in the current period. The adoption had no effect on the Funds’ net assets or results of operations.

In August 2018, the Financial Accounting Standards Board issued ASU No. 2018-13, Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The amendments generally modified the disclosure requirements for fair value measurements such that it removes the following requirements: 1) the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy; 2) the requirement to disclose the Funds’ policy for timing of transfers between levels; and, 3) the requirement to disclose the valuation processes for Level 3 fair value measurements. ASU 2018-13 also added the requirement to disclose how weighted average is calculated when the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements is required to be disclosed, in addition to making various other clarifying amendments to the disclosure guidance. The amendments in ASU 2018-13 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The amendments related to the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements should be applied prospectively for only the most recent interim or annual period presented in the initial fiscal year of adoption. All other amendments should be applied retrospectively to all periods presented upon their effective date. Early adoption is permitted. The Funds have elected to early adopt ASU 2018-13 and the amendments are reflected in the current year financial statements.

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.

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62

Report of Independent Registered Public Accounting  Firm

To the Board of Trustees of AQR Funds and Shareholders of AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund

Opinions on the Consolidated Financial Statements

We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, ofAQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund and their subsidiaries (two of the funds constituting AQR Funds, hereafter collectively referred to as the “Funds” ) as of December 31, 2018, the related consolidated statements of operations for the year ended December 31, 2018, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes,and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the consolidated financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These consolidated financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodians, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

New York, New York

February 25, 2019

We have served as the auditor of one or more investment companies in AQR Funds since 2008.

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Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 12/31/18” to estimate the expenses you paid on your account during this period. 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.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/18		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/18
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$965.60		1.13	%		$5.60
Hypothetical Return		$1,000.00		$1,019.51		1.13	%		$5.75
Class N
Actual Return		$1,000.00		$963.90		1.43	%		$7.08
Hypothetical Return		$1,000.00		$1,018.00		1.43	%		$7.27
Class R6
Actual Return		$1,000.00		$965.60		1.10	%		$5.45
Hypothetical Return		$1,000.00		$1,019.66		1.10	%		$5.60
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$941.00		1.64	%		$8.02
Hypothetical Return		$1,000.00		$1,016.94		1.64	%		$8.34
Class N
Actual Return		$1,000.00		$940.40		1.90	%		$9.29
Hypothetical Return		$1,000.00		$1,015.63		1.90	%		$9.65
Class R6
Actual Return		$1,000.00		$942.30		1.55	%		$7.59
Hypothetical Return		$1,000.00		$1,017.39		1.55	%		$7.88

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the one-half year period unless stated otherwise).

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Trustees and Officers (Unaudited) December 31, 2018

Listed in the chart below is basic information regarding the Trustees and officers of the Trust. The address of each officer and Trustee is Two Greenwich Plaza, Greenwich CT 06830.

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE		OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Disinterested Trustees2
Timothy K. Armour, M.B.A., 1948	Chairman of the Board, since 2010; Trustee, since 2008	Interim Chief Executive Officer of Janus Capital Group (retired) (2009-2010) (financial services)		49	Janus Capital Group (2008-2016)
L. Joe Moravy, M.B.A., CPA, 1950	Trustee, since 2008	Independent Consultant (retired) (2014-2016); Managing Director, Finance Scholars Group (2010-2014) (consulting)		49	Nuveen Exchange Traded Commodities Funds (2012-2016)
William L. Atwell, M.B.A., 1950	Trustee, since 2011	Consultant, Atwell Partners, LLC (since 2012) (consulting); President (Cigna International), Cigna Corp. (2008-2012) (insurance)		49	Webster Financial Corporation (since 2014); Blucora, Inc. (since 2017)
Gregg D. Behrens, M.M., 1952	Trustee, since 2011	Retired from Northern Trust Company (since 2009) (banking)		49	None
Brian Posner, M.B.A., 1961	Trustee, since 2011	President, Point Rider Group LLC (since 2008) (consulting)		49	Biogen Inc. (since 2008); Arch Capital Group (since 2010); Bioverativ Inc. (2017-2018); BG Medicine (2012-2015)
Mark A. Zurack, M.B.A., CFA 1957	Trustee, since 2014	Senior Lecturer, Columbia Business School (since 2002); Visiting Senior Lecturer, Cornell University (2004-2013)		49	Exchange Traded Concepts Trust (since 2011); Source ETF Trust (2014-2015)
Interested Trustees3
David Kabiller, CFA, 1963	Trustee, since 2010	Founding Principal, AQR Capital Management, LLC (since 1998)		49	None
Marco Hanig, Ph.D., 1958	Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008	Principal, AQR Capital Management, LLC (since 2008)		49	None
Officers
H.J. Willcox, J.D., 1966	Chief Compliance Officer, since 2013; Anti-Money Laundering Officer, since 2017	Principal and Chief Compliance Officer, AQR Capital Management, LLC (since 2013)		N/A	N/A
Heather Bonner, CPA, 1977	Chief Financial Officer, since 2014; Treasurer, since 2018	Vice President, AQR Capital Management, LLC (since 2013)		N/A	N/A
Bradley Asness, J.D., M.B.A., 1969	Vice President, since 2009	Principal and Co-Chief Operating Officer, AQR Capital Management, LLC (since 1998)		N/A	N/A

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Trustees and Officers (Unaudited) December 31, 2018

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
William J. Fenrich, J.D., 1969	Vice President, since 2018	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 2017); Managing Director and Chief Compliance Officer, Morgan Stanley (2016-2017); Managing Director and Chief Counsel, Morgan Stanley (2014-2016); General Counsel and Chief Operating Officer, PointState Capital (2010-2014)	N/A	N/A
Nicole DonVito, J.D., 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Managing Director, Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007)	N/A	N/A
Tara Bongiorni, CPA 1977	Assistant Treasurer, since 2017	Vice President, AQR Capital Management, LLC (since 2015); Vice President, Goldman Sachs Asset Management (2002-2015)	N/A	N/A
John Hadermayer, J.D., 1977	Secretary, since 2018	Vice President, AQR Capital Management, LLC (since 2013)	N/A	N/A

1 Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 75.

2 A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act.

3 An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser.

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Board Approval of Investment Advisory Agreements  (Unaudited)

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November15-16, 2018 to consider the continuation of the Third Amended and Restated Investment Management Agreement, as amended, between AQR Capital Management, LLC (“AQR” or the “Adviser”) and the AQR Funds on behalf of the AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund and certain other AQR Funds (the “Management Agreement”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.”

In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on November 9, 2018 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with thein-person meeting held on November15-16, 2018, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Management Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) and Broadridge relating to the Funds’ fees and expenses and performance relative to peers; (iv) financial information for AQR and a profitability analysis showing AQR’s profitability from providing services to the Funds; and (v) a discussion of the compliance program of AQR and the regulatory exam history of AQR.

At thein-person meeting held on November15-16, 2018, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additionalone-year period for each Fund. In approving the continuation of the Management Agreement for a Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services provided and profits realized by the Adviser from the relationship with the Funds and the fund complex; (d) economies of scale;(e) fall-out benefits; and (f) other factors.

The Board also considered other matters it deemed important to the approval process, such as AQR’s services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s consideration. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

In considering the renewal of the Management Agreement for each Fund, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:

The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had regularly as part of quarterly Board meetings with representatives of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, provides oversight of Fund accounting, provides risk management, provides compliance oversight, oversees third party service providers and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members considered the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Funds over time.

Finally, the Independent Board Members had several opportunities to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings and their familiarity gained through regular Board presentations over time, the Board concluded that the services provided to the Funds by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s efforts to achieve such goals as well as the performance of the Funds relative to funds identified by Morningstar as their peers. The Board was cognizant of the fact that Fund performance was challenged over the three- and five-year periods ended September 30, 2018 in comparison to Morningstar peers, which had been discussed with the Board during a portfolio overview presentation during the year. The presentation, which addressed in detail the drivers of underperformance, supported a conclusion that the Funds were being managed consistent with their stated policies and strategies. The Board also was cognizant of significant redemptions from the Funds over the prior year due to underperformance. The Board considered that Morningstar comparisons may be of limited use due to the differences between the way the Funds are managed from other funds in the Morningstar managed futures category and peer group, noting that underperformance in relation to Morningstar peers may be due to differences in a Fund’s investment parameters compared to its peer funds, including risk limits, volatility targets, and each Fund’s investment universe. In addition, the use of drawdown control and internal risk protections may affect a

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Board Approval of Investment Advisory Agreements (Unaudited)

Fund’s performance in relation to its peers. The Adviser also informed the Board that many peer funds use strategies in addition to trend-following. Finally, because the AQR Managed Futures Strategy HV Fund is managed with a higher volatility level, its performance was more adversely impacted. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the performance of each Fund is consistent with its stated objectives and strategies and AQR’s investment process.

The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received information regarding the management fees paid by the Funds to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds and the costs incurred by and benefits to the Adviser in providing those services, and other relevant factors.

To assist in this analysis, the Board received a report independently prepared by Broadridge (the “Broadridge Report”). The Broadridge Report showed comparative fee information for each Fund’s respective Broadridge category, including expense comparisons of contractual investment management fees and actual net expenses. The Board considered that (i) the AQR Managed Futures Strategy Fund’s management fee and net expense ratio were below the Broadridge category and peer group medians; and (ii) the management fee for the AQR Managed Futures Strategy HV Fund, which is managed with a higher volatility target, was in line with the Broadridge category and peer group medians and its net expense ratio was in line with the Broadridge peer group median and slightly above the category median. The Board was aware that the AQR Managed Futures Strategy HV Fund has a higher expense ratio and management fee in light of its higher volatility approach. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, includingsub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when itsub-advises third party mutual funds or advises separate accounts or hedge funds.

The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Adviser provided the Board Members a detailed description of the methodology and inputs used to determine profitability. AQR advised that an independent third party expert had reviewed the methodology for allocating costs to different lines of business and to individual AQR Funds and reminded the Board that it had met with the third party to discuss its review at a previous meeting. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, costs of recruiting and retaining personnel, taxes, expense allocations and business mix.

The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s profitability was not excessive.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. It also provided Morningstar data for the purpose of showing the hypothetical effective management fee for each Fund at higher asset levels compared to its peers, some of which have breakpoints. At the request of the Independent Trustees, additional information was provided highlighting a Fund’s management fee relative to its category and peer group for the AQR Funds with more than $2 billion in assets under management (“AUM”) as of September 30, 2018. The Board considered this information in determining the reasonableness of continuing to operate each Fund without management fee breakpoints at the Fund’s current AUM level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board noted that, under the Management Agreement, neither of the Funds have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations. In particular, the Board noted the continuing enhancements to AQR’s services to the Funds in areas such as compliance, portfolio management, technology and administration. AQR advised that its growth as a firm has resulted in additional benefits to the AQR Funds, such as the ability to negotiate better terms with service providers, to undertake securities lending activities and to establish a dedicated money market fund for the AQR Funds. The principals of the Adviser have also provided seed capital in excess of regulatory minimums for extended periods.

Other Factors. The Board also took into account other ancillary or“fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible, noting that no payments are received by the Adviser from the Funds beyond the fees under the Management Agreement. The Board was advised by AQR that AQR may obtain greater exposure to the public as a result of managing the AQR Funds, which could lead to additional business opportunities, such assub-advisory mandates. The Adviser may also obtain reputational benefits. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients.

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Board Approval of Investment Advisory Agreements (Unaudited)

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Management Agreement are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Annual Report December 2018

69

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 calling1-866-290-2688 or visiting the funds websitehttps://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 calling1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248  ^|  p: +1.866.290.2688  ^|  w: https://funds.aqr.com

Item 2. Code of Ethics.

a). As of the end of the period, December 31, 2018, the Registrant has adopted a code of ethics, as defined in Item 2 of FormN-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 13 (a)(1).

b). Not Applicable.

c). There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended December 31, 2018 (“Reporting Period”).

d). Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a). The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy and Mr. Brian S. Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the fiscal years ended December 31, 2017 and December 31, 2018 were:

	2017	2018
Audit Fees (a)	$1,336,375	$1,303,622
Audit Related Fees (b)	$8,000	$0
Tax Fees (c)	$336,501	$361,261
All Other Fees (d)	$450	$450
Total:	$1,681,326	$1,665,333

(a) Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b) Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of the audit of the Registrant’s December 31, 2017 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2017 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement. There were no audit related services provided by PricewaterhouseCoopers LLP for the year December 31, 2018.

(c) Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review.

(d) All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e) Audit CommitteePre-approval Policies and Procedures:

(i) Per Rule2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant,pre-approves (i) the principal accountant’s provision of all audit and permissiblenon-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissiblenon-audit services to the Registrant’s investment adviser (the “Adviser”),sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser orsub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule2-01 of RegulationS-X.

(f) Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g) Disclose the aggregatenon-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2017 and December 31, 2018: $900 and $1,800, respectively.

(h) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined inSection 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark A. Zurack, are members of the Audit Committee.

(b) Not Applicable.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers ofClosed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities byClosed-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 Rule30a-3(d) under the Investment Company Act of 1940) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)	The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.
(a)(2)	Certifications pursuant to Rule30a-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 Rule23c-1 under the 1940 Act – Not Applicable.
(a)(4)	Any change in the Registrant’s independent public accountant – Not Applicable.
(b)	Certification required by Rule30a-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

March 1, 2019

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

March 1, 2019

By: /s/ Heather Bonner

---------------------------------

Heather Bonner,

Principal Financial Officer

March 1, 2019